Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2015 | Nov. 03, 2015 | |
Document And Entity Information [Abstract] | ||
Entity Registrant Name | ASSURED GUARANTY LTD | |
Entity Central Index Key | 1,273,813 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2015 | |
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 | 141,324,493 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q3 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Investment portfolio: | |||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $10,242 and $9,972) | $ 10,640 | $ 10,491 | |
Short-term investments, at fair value | 522 | 767 | |
Other invested assets | 181 | 126 | |
Total investment portfolio | 11,343 | 11,384 | |
Cash | 66 | 75 | |
Premiums receivable, net of commissions payable | 676 | 729 | |
Ceded unearned premium reserve | 263 | 381 | |
Deferred acquisition costs | 118 | 121 | |
Reinsurance recoverable on unpaid losses | 89 | 78 | |
Salvage and subrogation recoverable | 135 | 151 | |
Credit derivative assets | 71 | 68 | |
Deferred tax asset, net | 426 | 260 | |
Financial guaranty variable interest entities’ assets, at fair value | 1,547 | [1] | 1,402 |
Other assets | 300 | 276 | |
Total assets | 15,034 | 14,925 | |
Liabilities and shareholders’ equity | |||
Unearned premium reserve | 4,112 | 4,261 | |
Loss and loss adjustment expense reserve | 1,007 | 799 | |
Reinsurance balances payable, net | 61 | 107 | |
Long-term debt | 1,306 | 1,303 | |
Credit derivative liabilities | 918 | 963 | |
Current income tax payable | 0 | 5 | |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 1,315 | [1] | 1,277 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 167 | [1] | 142 |
Other liabilities | 329 | 310 | |
Total liabilities | $ 9,215 | $ 9,167 | |
Commitments and contingencies (See Note 15) | |||
Common stock ($0.01 par value, 500,000,000 shares authorized; 142,919,399 and 158,306,661 shares issued and outstanding) | $ 1 | $ 2 | |
Additional paid-in capital | 1,474 | 1,887 | |
Retained earnings | 4,066 | 3,494 | |
Accumulated other comprehensive income, net of tax of $113 and $159 | 273 | 370 | |
Deferred equity compensation (320,193 and 320,193 shares) | 5 | 5 | |
Total shareholders’ equity | 5,819 | 5,758 | |
Total liabilities and shareholders’ equity | $ 15,034 | $ 14,925 | |
[1] | The September 30, 2015 amounts include $115 million of FG VIE assets and $111 million of FG VIE liabilities acquired from Radian Asset. |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Statement of Financial Position [Abstract] | ||
Fixed maturity securities, available-for-sale, at fair value | $ 10,242 | $ 9,972 |
Common stock par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 500,000,000 | 500,000,000 |
Common stock, shares issued (in shares) | 142,919,399 | 158,306,661 |
Common stock, shares outstanding (in shares) | 142,919,399 | 158,306,661 |
Accumulated other comprehensive income, tax provision | $ 113 | $ 159 |
Deferred equity compensation (in shares) | 320,193 | 320,193 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Revenues | |||||
Net earned premiums | [1] | $ 213 | $ 144 | $ 574 | $ 412 |
Net investment income | 112 | 102 | 311 | 301 | |
Net realized investment gains (losses): | |||||
Other-than-temporary impairment losses | (18) | (17) | (34) | (47) | |
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income | 0 | 4 | 3 | (9) | |
Net impairment loss | (18) | (21) | (37) | (38) | |
Other net realized investment gains (losses) | (9) | 2 | 17 | 13 | |
Net realized investment gains (losses) | (27) | (19) | (20) | (25) | |
Net change in fair value of credit derivatives: | |||||
Realized gains (losses) and other settlements | 6 | (14) | 35 | 20 | |
Net unrealized gains (losses) | 80 | 269 | 265 | 127 | |
Net change in fair value of credit derivatives | [2] | 86 | 255 | 300 | 147 |
Fair value gains (losses) on committed capital securities | (15) | 4 | 10 | (11) | |
Fair value gains (losses) on financial guaranty variable interest entities | 2 | 50 | 0 | 232 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 0 | 214 | 0 | |
Other income (loss) | (3) | (11) | 43 | 17 | |
Total revenues | 368 | 525 | 1,432 | 1,073 | |
Expenses | |||||
Loss and loss adjustment expenses | 112 | (44) | 318 | 54 | |
Amortization of deferred acquisition costs | 5 | 4 | 15 | 12 | |
Interest expense | 25 | 27 | 76 | 67 | |
Other operating expenses | 54 | 50 | 176 | 165 | |
Total expenses | 196 | 37 | 585 | 298 | |
Income (loss) before income taxes | 172 | 488 | 847 | 775 | |
Provision (benefit) for income taxes | |||||
Current | 41 | 36 | 78 | 75 | |
Deferred | 2 | 97 | 142 | 144 | |
Total provision (benefit) for income taxes | 43 | 133 | 220 | 219 | |
Net income (loss) | $ 129 | $ 355 | $ 627 | $ 556 | |
Earnings per share: | |||||
Basic (in dollars per share) | $ 0.88 | $ 2.10 | $ 4.16 | $ 3.15 | |
Diluted (in dollars per share) | 0.88 | 2.09 | 4.13 | 3.13 | |
Dividends (in dollars per share) | $ 0.12 | $ 0.11 | $ 0.36 | $ 0.33 | |
[1] | Excludes $6 million and $5 million for Third Quarter 2015 and 2014, respectively, and $16 million and $27 million for Nine Months 2015 and 2014, respectively, related to consolidated financial guaranty ("FG") VIEs. | ||||
[2] | On October 9, 2015, the Company reached a settlement agreement with a CDS counterparty to terminate five Alt-A first lien CDS transactions. This termination agreement will generate a net fair value gain of approximately $293 million in the Company’s fourth quarter 2015 financial statements. In addition, on October 13, 2015, the Company terminated a CMBS transaction with a CDS counterparty and this termination agreement will generate a net fair value gain of approximately $34 million in the Company's fourth quarter 2015 financial statements. |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income (loss) | $ 129 | $ 355 | $ 627 | $ 556 |
Unrealized holding gains (losses) arising during the period on: | ||||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $17, $4, $(36) and $74 | 41 | (5) | (77) | 164 |
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(9), $1, $(12) and $(4) | (15) | 1 | (23) | (8) |
Unrealized holding gains (losses) arising during the period, net of tax | 26 | (4) | (100) | 156 |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(6), $(5), $(4) and $(9) | (12) | (10) | (7) | (19) |
Change in net unrealized gains on investments | 38 | 6 | (93) | 175 |
Other, net of tax provision | (4) | (5) | (4) | (2) |
Other comprehensive income (loss) | 34 | 1 | (97) | 173 |
Comprehensive income (loss) | $ 163 | $ 356 | $ 530 | $ 729 |
Consolidated Statements of Com6
Consolidated Statements of Comprehensive Income (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Statement of Comprehensive Income [Abstract] | ||||
Investments with no other-than-temporary impairment, tax provision (benefit) | $ 17 | $ 4 | $ (36) | $ 74 |
Investments with other-than-temporary impairment, tax provision (benefit) | (9) | 1 | (12) | (4) |
Reclassification adjustment for gains (losses) included in net income (loss), tax provision (benefit) | $ (6) | $ (5) | $ (4) | $ (9) |
Consolidated Statement of Share
Consolidated Statement of Shareholders' Equity - 9 months ended Sep. 30, 2015 - USD ($) $ in Millions | Total | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings [Member] | Accumulated Other Comprehensive Income [Member] | Deferred Equity Compensation [Member] |
Beginning balance (in shares) at Dec. 31, 2014 | 158,306,661 | |||||
Beginning balance at Dec. 31, 2014 | $ 5,758 | $ 2 | $ 1,887 | $ 3,494 | $ 370 | $ 5 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 627 | 627 | ||||
Dividends ($0.36 per share) | (55) | (55) | ||||
Common stock repurchases (in shares) | (15,959,782) | |||||
Common stock repurchases | (420) | $ (1) | (419) | |||
Share-based compensation and other (in shares) | 572,520 | |||||
Share-based compensation and other | 6 | 6 | ||||
Other comprehensive loss | (97) | (97) | ||||
Ending balance (in shares) at Sep. 30, 2015 | 142,919,399 | |||||
Ending balance at Sep. 30, 2015 | $ 5,819 | $ 1 | $ 1,474 | $ 4,066 | $ 273 | $ 5 |
Consolidated Statement of Shar8
Consolidated Statement of Shareholders' Equity (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Statement of Stockholders' Equity [Abstract] | ||||
Dividends, per share (in dollars per share) | $ 0.12 | $ 0.11 | $ 0.36 | $ 0.33 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Statement of Cash Flows [Abstract] | ||
Net cash flows provided by (used in) operating activities | $ (39) | $ 347 |
Fixed-maturity securities: | ||
Purchases | (1,844) | (2,031) |
Sales | 1,719 | 951 |
Maturities | 635 | 557 |
Net sales (purchases) of short-term investments | 751 | 89 |
Net proceeds from paydowns on financial guaranty variable interest entities’ assets | 114 | 346 |
Acquisition of Radian Asset, net of cash acquired | (800) | 0 |
Other | 59 | 9 |
Net cash flows provided by (used in) investing activities | 634 | (79) |
Financing activities | ||
Dividends paid | (55) | (58) |
Repurchases of common stock | (420) | (438) |
Share activity under option and incentive plans | (2) | (1) |
Net paydowns of financial guaranty variable interest entities’ liabilities | (122) | (348) |
Proceeds from issuance of long-term debt | 0 | 495 |
Repayment of long-term debt | (3) | (18) |
Net cash flows provided by (used in) financing activities | (602) | (368) |
Effect of foreign exchange rate changes | (2) | (2) |
Increase (decrease) in cash | (9) | (102) |
Cash at beginning of period | 75 | 184 |
Cash at end of period | 66 | 82 |
Supplemental cash flow information | ||
Income taxes | 71 | 68 |
Interest | $ 55 | $ 45 |
Business and Basis of Presentat
Business and Basis of Presentation | 9 Months Ended |
Sep. 30, 2015 | |
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. 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."), and 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 variable interest entities (“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, 2015 and cover the three-month period ended September 30, 2015 (" Third Quarter 2015 "), the three-month period ended September 30, 2014 (" Third Quarter 2014 "), the nine-month period ended September 30, 2015 (" Nine Months 2015 ") and the nine-month period ended September 30, 2014 (" Nine Months 2014 "). 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 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, 2014 , 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 16, Long-Term Debt and Credit Facilities. Future Application of Accounting Standards Consolidation In February 2015, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis , which is intended to improve certain areas of consolidation guidance for legal entities such as limited partnerships, limited liability companies, and securitization structures. The ASU will be effective on January 1, 2016. Early adoption is permitted, including adoption in an interim period. The Company does not expect that ASU 2015-02 will have any material effect on its Consolidated Financial Statements. Interest In April 2015, the FASB issued ASU No. 2015-03, Interest - Imputation of Interest (Topic 835-30): Simplifying the Presentation of Debt Issuance Costs , which requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The ASU will be effective on January 1, 2016 and should be applied retrospectively. The adoption of this ASU will require the Company to reclassify its debt issuance costs from other assets to long-term debt on the Consolidated Balance Sheet. As of September 30, 2015 , the debt issuance costs were approximately $5 million . Investments In May 2015, the FASB issued ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share , which removes the requirement to make certain disclosures and categorize within the fair value hierarchy, certain investments for which fair value is measured using the net asset value per share. The ASU will be effective on January 1, 2016 and should be applied retrospectively to all periods presented; earlier adoption is permitted. The Company has investments with a fair value of $45 million and $76 million , as of September 30, 2015 and December 31, 2014, respectively, that are carried at fair value using the net asset value per share subject to this ASU. Short Duration Insurance Contracts In May 2015, the FASB issued ASU 2015-09, Financial Services - Insurance (Topic 944) - Disclosures about Short-Duration Contracts. The primary objective of this ASU is to improve disclosures for insurance entities which issue short-duration contracts. As a financial guaranty insurance provider, ASU 2015-09 is not expected to have a material impact on the Company's financial statement disclosures. The ASU is effective for annual periods beginning after December 15, 2015, and interim periods within annual periods beginning after December 15, 2016. |
Acquisition of Radian Asset Ass
Acquisition of Radian Asset Assurance Inc. | 9 Months Ended |
Sep. 30, 2015 | |
Business Combinations [Abstract] | |
Acquisition of Radian Asset Assurance Inc. | Acquisition of Radian Asset Assurance Inc. On April 1, 2015 (“Acquisition Date”), AGC completed the acquisition (“Radian Asset Acquisition”) of all of the issued and outstanding capital stock of financial guaranty insurer Radian Asset Assurance Inc. (“Radian Asset”) for $804.5 million ; the cash consideration was paid from AGC's available funds and from the proceeds of a $200 million loan from AGC’s direct parent, AGUS. AGC repaid the loan in full to AGUS on April 14, 2015. Radian Asset was merged with and into AGC, with AGC as the surviving company of the merger. The Radian Asset Acquisition added $13.6 billion to the Company's net par outstanding on April 1, 2015, and is consistent with one of the Company's key business strategies of supplementing its book of business through acquisitions. Radian Asset Acquisition was accounted for under the acquisition method of accounting which required that the assets and liabilities acquired be recorded at fair value. The Company was required to exercise significant judgment to determine the fair value of the assets it acquired and liabilities it assumed in the Radian Asset Acquisition. The most significant of these determinations related to the valuation of Radian Asset's financial guaranty insurance and credit derivative contracts. On an aggregate basis, Radian Asset’s contractual premiums for financial guaranty contracts were less than the premiums a market participant of similar credit quality would demand to acquire those contracts at the Acquisition Date, particularly for below-investment-grade transactions, resulting in a significant amount of the purchase price being allocated to these contracts. For information on the methodology the Company used to measure the fair value of assets it acquired and liabilities it assumed in the Radian Asset Acquisition, including financial guaranty insurance and credit derivative contracts, please refer to Note 8, Fair Value Measurement. The fair value of the Company's stand-ready obligation for financial guaranty insurance contracts on the Acquisition Date is recorded in unearned premium reserve. At the Acquisition Date, the fair value of each financial guaranty insurance contract acquired was in excess of the expected losses for each contract and therefore no explicit loss reserves were recorded on the Acquisition Date. Instead, loss reserves and loss and loss adjustment expenses ("LAE") will be recorded when the expected losses for each contract exceeds the remaining unearned premium reserve, in accordance with the Company's accounting policy described in the Annual Report on Form 10-K. The expected losses acquired by the Company as part of the Radian Asset Acquisition are included in the description of expected losses to be paid under Note 6, Expected Losses to be Paid. The excess of the fair value of net assets acquired over the consideration transferred was recorded as a bargain purchase gain in "bargain purchase gain and settlement of pre-existing relationships" in net income. In addition, the Company and Radian Asset had pre-existing reinsurance relationships, which were also effectively settled at fair value on the Acquisition Date. The gain on settlement of these pre-existing reinsurance relationships represents the net difference between the historical ceded balances that were recorded by AGM and the fair value of assumed balances acquired from Radian. The Company believes the bargain purchase resulted from the announced desire of Radian Guaranty Inc. to focus its business strategy on the mortgage and real estate markets and to monetize its investment in Radian Asset and thereby accelerate its ability to comply with the financial requirements of the final Private Mortgage Insurer Eligibility Requirements. The following table shows the net effect of the Radian Asset Acquisition at the Acquisition Date, including the effects of the settlement of pre-existing relationships. Fair Value of Net Assets Acquired, before Settlement of Pre-existing Relationships Net effect of Settlement of Pre-existing Relationships Net Effect of Radian Asset Acquisition (in millions) Cash purchase price(1) $ 804 $ — $ 804 Identifiable assets acquired: Investments 1,473 — 1,473 Cash 4 — 4 Ceded unearned premium reserve (3 ) (65 ) (68 ) Credit derivative assets 30 — 30 Deferred tax asset, net 263 (56 ) 207 Financial guaranty VIE assets 122 — 122 Other assets 86 (67 ) 19 Total assets 1,975 (188 ) 1,787 Liabilities assumed: Unearned premium reserves 697 (216 ) 481 Credit derivative liabilities 271 (26 ) 245 Financial guaranty VIE liabilities 118 — 118 Other liabilities 30 (49 ) (19 ) Total liabilities 1,116 (291 ) 825 Net asset effect of Radian Asset Acquisition 859 103 962 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax 55 103 158 Deferred tax — 56 56 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, pre-tax $ 55 $ 159 $ 214 _____________________ (1) The cash purchase price of $804 million was the cash transferred for the acquisition which was allocated as follows: (1) $987 million for the purchase of net assets of $1,042 million , and (2) the settlement of pre-existing relationships between Radian and Assured Guaranty at a fair value of $(183) million . Revenue and net income related to Radian Asset from the Acquisition Date through September 30, 2015 included in the consolidated statement of operations were approximately $348 million and $228 million , respectively. In the second quarter of 2015, the Company recorded transaction expenses related to the Radian Asset Acquisition in net income as part of other operating expenses. These expenses were primarily driven by the fees paid to the Company's legal and financial advisors and to the Company's independent auditor. Radian Asset Acquisition-Related Expenses Nine Months 2015 (in millions) Professional services $ 2 Financial advisory fees 10 Total $ 12 Unaudited Pro Forma Results of Operations The following unaudited pro forma information presents the combined results of operations of Assured Guaranty and Radian Asset as if the acquisition had been completed on January 1, 2014, as required under GAAP. The pro forma accounts include the estimated historical results of the Company and Radian Asset and pro forma adjustments primarily comprising the earning of the unearned premium reserve and the expected losses that would be recognized in net income for each prior period presented, as well as the accounting for bargain purchase gain, settlement of pre-existing relationships and Radian acquisition related expenses, all net of tax at the applicable statutory rate. The unaudited pro forma combined financial information is presented for illustrative purposes only and does not indicate the financial results of the combined company had the companies actually been combined as of January 1, 2014, nor is it indicative of the results of operations in future periods. Pro Forma Unaudited Results of Operations Nine Months 2015 Nine Months 2014 (in millions, except per share amounts) Pro forma revenues $ 1,255 $ 1,542 Pro forma net income 493 958 Pro forma earnings per share: Basic 3.27 5.43 Diluted 3.25 5.40 |
Rating Actions
Rating Actions | 9 Months Ended |
Sep. 30, 2015 | |
Rating Actions [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 AGL's insurance subsidiaries, or changed the outlook on such ratings. More recently, Kroll Bond Rating Agency ("KBRA") and A.M. Best Company, Inc. have assigned financial strength ratings to some of AGL's insurance subsidiaries. The rating agencies' most recent actions, proposals and statements 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 most recently affirmed such ratings in a credit analysis issued on June 29, 2015. • On July 2, 2014, Moody's affirmed the ratings of AGL’s insurance subsidiaries, but changed to negative the outlook of the financial strength ratings of AGC and its subsidiary Assured Guaranty (UK) Ltd. ("AGUK"). Moody's adopted changes to its credit methodology for financial guaranty insurance companies on January 20, 2015 and, on February 18, 2015, Moody's published a credit opinion maintaining its existing ratings of AGL and its subsidiaries under that that new methodology. Effective April 8, 2015, at the Company's request, Moody’s withdrew the financial strength ratings it had assigned to Assured Guaranty Re Ltd. (“AG Re”) and Assured Guaranty Re Overseas Ltd. ("AGRO"). In an August 10, 2015 issuer comment, Moody's indicated that it was a "credit negative" for the Company that the Puerto Rico Public Finance Corporation (as to which the Company has no exposure) failed to make its full debt service payment due on August 1, 2015. However, in a summary opinion published on June 4, 2015, Moody’s noted that, despite adverse developments in Puerto Rico, Moody’s believed its current ratings on the financial guarantors remained well positioned. • On June 22, 2013, KBRA assigned a financial strength rating of AA+ (stable outlook) to MAC, and affirmed that rating on August 3, 2015. On November 13, 2014, KBRA assigned a financial strength rating of AA+ (stable outlook) to AGM. On July 6, 2015, KBRA released a comment reviewing the approach it had taken to Puerto Rico exposures in its stress loss analysis of AGM, noting that its financial model showed AGM’s claims paying resources were sufficient to meet all requirements by a comfortable margin. • On May 5, 2015, A.M. Best Company, Inc. assigned a financial strength rating of A+ (Stable) to AGRO. There can be no assurance that any of the rating agencies will not take negative action on their financial strength ratings of AGL's insurance subsidiaries in the future. For a discussion of the effects of rating actions on the Company, see the following: • Note 7, Financial Guaranty Insurance Losses • Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives • Note 14, Reinsurance and Other Monoline Exposures • Note 16, Long-Term Debt and Credit Facilities |
Outstanding Exposure
Outstanding Exposure | 9 Months Ended |
Sep. 30, 2015 | |
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 it views as investment grade at inception, although, as part of its loss mitigation strategy for existing troubled credits, it may underwrite new issuances that it views as below-investment-grade ("BIG"). The Company diversifies its insured portfolio across asset classes and, in the structured finance portfolio, requires 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 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 10, 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 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. Credits identified as BIG are subjected to further review to determine the probability of a loss. See Note 6, 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 4.5% or 5% depending on the insurance subsidiary. (Risk-free rates are used for calculating the expected loss for financial statement measurement 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 in 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. The Company purchases securities that it has insured, and for which it has expected losses to be paid, in order to mitigate the economic effect of insured losses ("loss mitigation securities"). The Company excludes amounts attributable to loss mitigation securities (unless otherwise indicated) from par and Debt Service outstanding, because it manages such securities as investments and not insurance exposure. Financial Guaranty Debt Service Outstanding Gross Debt Service Outstanding Net Debt Service Outstanding September 30, December 31, September 30, December 31, (in millions) Public finance $ 532,771 $ 587,245 $ 509,645 $ 553,612 Structured finance 49,272 59,477 46,736 56,010 Total financial guaranty $ 582,043 $ 646,722 $ 556,381 $ 609,622 In addition to the amounts shown in the table above, the Company’s net mortgage guaranty insurance debt service was approximately $105 million as of September 30, 2015 and $127 million as of December 31, 2014, related to loans originated in Ireland. As of September 30, 2015 , the Company also had exposure to €12 million of reinsurance contracts relating to Spanish housing cooperatives risk. Financial Guaranty Portfolio by Internal Rating As of September 30, 2015 Public Finance U.S. Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Category Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 3,067 1.0 % $ 702 2.4 % $ 16,730 (3) 47.2 % $ 3,028 49.7 % $ 23,527 6.3 % AA 73,224 24.3 2,416 8.0 8,624 24.3 322 5.3 84,586 22.7 A 168,963 56.2 6,906 22.9 2,279 6.5 332 5.4 178,480 48.0 BBB 45,998 15.3 18,565 61.7 1,744 4.9 1,850 30.4 68,157 18.3 BIG 9,480 3.2 1,514 5.0 6,058 17.1 559 9.2 17,611 4.7 Total net par outstanding (1)(2) $ 300,732 100.0 % $ 30,103 100.0 % $ 35,435 100.0 % $ 6,091 100.0 % $ 372,361 100.0 % _____________________ (1) Excludes $1.6 billion of loss mitigation securities insured and held by the Company as of September 30, 2015 , which are primarily BIG. (2) The September 30, 2015 amounts include $12.4 billion of net par acquired from Radian Asset. (3) Includes $1,351 million net par in the form of CDS that was upgraded from BIG as of September 30, 2015, in anticipation of the termination of such CDS that occurred early in the fourth quarter of 2015. In the fourth quarter of 2015, the exposure will be removed. Financial Guaranty Portfolio by Internal Rating As of December 31, 2014 Public Finance U.S. Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Category Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 4,082 1.3 % $ 615 2.0 % $ 20,037 48.7 % $ 5,409 59.6 % $ 30,143 7.5 % AA 90,464 28.1 2,785 8.9 8,213 19.9 503 5.5 101,965 25.3 A 176,298 54.7 7,192 22.9 2,940 7.1 445 4.9 186,875 46.3 BBB 43,429 13.5 19,363 61.7 1,795 4.4 1,912 21.1 66,499 16.4 BIG 7,850 2.4 1,404 4.5 8,186 19.9 807 8.9 18,247 4.5 Total net par outstanding (1) $ 322,123 100.0 % $ 31,359 100.0 % $ 41,171 100.0 % $ 9,076 100.0 % $ 403,729 100.0 % _____________________ (1) Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014 , which are primarily BIG. In addition to amounts shown in the tables above, the Company had outstanding commitments to provide guaranties of $504 million for public finance obligations as of September 30, 2015 . The expiration dates for the public finance commitments range between October 1, 2015 and February 25, 2017 , with $357 million expiring prior to the date of this filing and an additional $23 million expiring prior to December 31, 2015. 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, 2015 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 7,132 $ 2,212 $ 136 $ 9,480 $ 300,732 Non-U.S. public finance 913 601 — 1,514 30,103 Structured finance: First lien U.S. residential mortgage-backed securities ("RMBS"): Prime first lien 228 57 27 312 465 Alt-A first lien 106 77 638 821 2,189 Option ARM 48 8 95 151 308 Subprime 153 474 709 1,336 3,759 Second lien U.S. RMBS: Closed-end second lien — 19 109 128 203 Home equity lines of credit (“HELOCs”) 609 36 737 1,382 1,476 Total U.S. RMBS 1,144 671 2,315 4,130 8,400 Triple-X life insurance transactions — — 216 216 2,750 Trust preferred securities (“TruPS”) 549 291 — 840 4,647 Student loans — 80 85 165 1,823 Other structured finance 1,061 165 40 1,266 23,906 Total $ 10,799 $ 4,020 $ 2,792 $ 17,611 $ 372,361 Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of December 31, 2014 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 6,577 $ 1,156 $ 117 $ 7,850 $ 322,123 Non-U.S. public finance 1,402 2 — 1,404 31,359 Structured finance: First lien U.S. RMBS: Prime first lien 68 33 252 353 471 Alt-A first lien 585 531 725 1,841 2,532 Option ARM 47 18 118 183 407 Subprime 156 654 765 1,575 4,051 Second lien U.S. RMBS: Closed-end second lien — 19 115 134 218 HELOCs 1,012 36 509 1,557 1,738 Total U.S. RMBS 1,868 1,291 2,484 5,643 9,417 Triple-X life insurance transactions — — 598 598 3,133 TruPS 997 — 336 1,333 4,326 Student loans 14 68 113 195 1,857 Other structured finance 1,007 172 45 1,224 31,514 Total $ 11,865 $ 2,689 $ 3,693 $ 18,247 $ 403,729 BIG Net Par Outstanding and Number of Risks As of September 30, 2015 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 9,552 $ 1,247 $ 10,799 239 13 252 Category 2 3,410 610 4,020 87 8 95 Category 3 2,620 172 2,792 125 12 137 Total BIG $ 15,582 $ 2,029 $ 17,611 451 33 484 BIG Net Par Outstanding and Number of Risks As of December 31, 2014 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 10,195 $ 1,670 $ 11,865 164 18 182 Category 2 2,135 554 2,689 75 14 89 Category 3 2,892 801 3,693 119 24 143 Total BIG $ 15,222 $ 3,025 $ 18,247 358 56 414 _____________________ (1) Includes net par outstanding for VIEs. (2) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. Exposure to Puerto Rico The Company has insured exposure to general obligation bonds of the Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations aggregating $5.1 billion net par as of September 30, 2015 , all of which are rated BIG. In Nine Months 2015, the Company's Puerto Rico exposures increased due to (1) net par acquired in the Radian Asset Acquisition, which equals $385 million as of September 30, 2015, and (2) a commutation of previously ceded Puerto Rico exposures. 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, interim financings provided by Government Development Bank for Puerto Rico (“GDB”) and, in some cases, one-time 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, including Puerto Rico Highway and Transportation Authority ("PRHTA") and Puerto Rico Electric Power Authority ("PREPA"). Subsequently, the Commonwealth stated PREPA might need to seek relief under the Recovery Act due to liquidity constraints. Investors in bonds issued by PREPA filed suit in the United States District Court for the District of Puerto Rico challenging the Recovery Act. On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled the Recovery Act is preempted by the U.S. Bankruptcy Code and is therefore void; on July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling. In addition, the Commonwealth's Resident Commissioner has introduced a bill to the U.S. Congress that, if passed, would enable the Commonwealth to authorize one or more of its public corporations to restructure their debts under chapter 9 of the U.S. Bankruptcy Code if they were to become insolvent. The passage of the Recovery Act, its subsequent invalidation, and the introduction of legislation that would enable the Commonwealth to authorize chapter 9 protection for its public corporations have resulted in uncertainty among investors about the rights of creditors of the Commonwealth and its related authorities and public corporations. On June 28, 2015, Governor García Padilla of Puerto Rico (the “Governor”) publicly stated that the Commonwealth’s public debt, considering the current level of economic activity, is unpayable and that a comprehensive debt restructuring may be necessary. On June 29, 2015 a report commissioned by the Commonwealth and authored by former World Bank Chief Economist and former Deputy Director of the International Monetary Fund Dr. Anne Krueger and economists Dr. Ranjit Teja and Dr. Andrew Wolfe and calling for debt restructuring of all Puerto Rico bonds was released ("Krueger Report"). The Governor recently formed a task force to prepare a five-year stability plan and start broad debt negotiation discussions. Puerto Rico Public Finance Corporation (“PFC”), a subsidiary of the GDB, failed to make most of an approximately $58 million Debt Service payment on August 3, 2015 and to make subsequent Debt Service payments because the Commonwealth’s legislature did not appropriate funds for payment. The Company does not insure any obligations of the PFC. Also on August 3, 2015, the Commonwealth announced that it had temporarily suspended its monthly deposits to the general obligation redemption fund. On September 9, 2015, the Working Group for the Fiscal and Economic Recovery of Puerto Rico (“Working Group”) established by the Governor published its “Puerto Rico Fiscal and Economic Growth Plan” (the “FEGP”). The FEGP projects that the Commonwealth would face a cumulative financing gap of $27.8 billion from fiscal year 2016 to fiscal year 2020 without corrective action. Various stakeholders and analysts have publicly questioned the accuracy of the $27.8 billion gap projected by the Working Group. The FEGP recommends economic development, structural, fiscal and institutional reform measures that it projects would reduce that gap to $14.0 billion . The Working Group asserts that the Commonwealth’s debt, including debt with a constitutional priority, is not sustainable. The FEGP includes a recommendation that the Commonwealth’s advisors begin to work on a voluntary exchange offer to its creditors as part of the FEGP. The FEGP does not have the force of law and implementation of its recommendations would require actions by the governments of the Commonwealth and of the United States as well as the cooperation and agreement of various creditors. On October 21, 2015, the U.S. Treasury Department proposed a four-point plan for Puerto Rico which, most significantly, would extend some form of bankruptcy protection not only to Puerto Rico’s municipalities and instrumentalities but also the Commonwealth itself. The plan also calls for an independent fiscal oversight board. The Treasury Department’s plan requires congressional action to be implemented. There have been a number of other proposals, plans and legislative initiatives offered in Puerto Rico and in the United States aimed at addressing Puerto Rico’s fiscal issues. The final shape of responses to Puerto Rico’s distress eventually enacted or implemented by Puerto Rico or the United States, if any, and the impact of any such actions on obligations insured by the Company, is uncertain and may differ substantially from the recommendations of the FEGP, the four-point plan offered by the Treasury Department, or any other proposals or plans offered to date or in the future. S&P, Moody’s and Fitch Ratings have lowered the credit rating of the Commonwealth’s bonds and on its public corporations several times over the past approximately two years, and the Commonwealth has disclosed its liquidity has been adversely affected by rating agency downgrades and by the limited market access for its debt, and also 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. PREPA As of September 30, 2015 , the Company had $744 million insured net par outstanding of PREPA obligations. In August 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 AGM and AGC, 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. It also agreed it would develop a five year business plan and a recovery program in respect of its operations; a preliminary business plan was released in December 2014. Subsequently, most of the parties extended these forbearance agreements several times. On July 1, 2015, PREPA made full payment of the $416 million of principal and interest due on its bonds, including bonds insured by AGM and AGC. However, that payment was conditioned on and facilitated by AGM and AGC agreeing, also on July 1, to purchase a portion of $131 million of interest-bearing bonds to help replenish certain of the operating funds PREPA used to make the $416 million of principal and interest payments. On July 31, 2015, AGM and AGC purchased $74 million aggregate principal amount of those bonds. On September 2, 2015, PREPA announced that on September 1, 2015, it and an ad hoc group of uninsured bondholders (the “Ad Hoc Group”) had reached an agreement on certain economic terms of a recovery plan, subject to certain terms and conditions. On September 22, 2015, PREPA announced it and a group of fuel-line lenders had reached an agreement on the economic terms of a recovery plan, subject to certain terms and conditions. Neither AGM nor AGC are parties to either of those agreements. Other than AGM, AGC, National Public Finance Guarantee Corporation (“National”) and Syncora Guarantee Inc. (together the "Monolines"), parties to the original forbearance agreements continued to extend the forbearance agreements through November 5, 2015, when, according to a public announcement from PREPA, those other parties entered into a restructuring support agreement formalizing the previously announced agreements. PREPA continues to negotiate with the Monolines, including AGM and AGC. There can be no assurance that the negotiations will result in agreement or that the consensual recovery plan reportedly outlined in the recovery support agreement will be implemented. PREPA, during the pendency of the agreements, has suspended deposits into its Debt Service fund. PRHTA As of September 30, 2015 , the Company had $909 million insured net par outstanding of PRHTA (Transportation revenue) bonds and $370 million net par of PRHTA (Highway revenue) bonds. In March 2015, legislation was passed in the Commonwealth that, among other things, provided for an increase in oil taxes that would benefit PRHTA, the transfer out of PRHTA of certain deficit-producing transit facilities, and a statutory lien on revenues at PRHTA, subject to certain conditions, including the issuance of at least $1.0 billion of bonds by the Puerto Rico Infrastructure Finance Authority ("PRIFA"). That legislative package would have supported proposals involving the GDB and PRIFA that contemplated PRIFA issuing up to $2.95 billion of bonds and a series of potential actions that would have, among other things, strengthened PRHTA. However, the Governor’s statement in late June 2015 that a comprehensive debt restructuring may be necessary has created uncertainty around this effort, and published reports suggest that there may not be a market for the debt issuance by PRIFA that was contemplated as part of a series of actions that would have strengthened PRHTA. In addition, because certain revenues supporting PRHTA are subject to a prior constitutional claim of the Commonwealth, the increased financial difficulties of the Commonwealth itself has increased the uncertainty regarding the full and timely receipt by PRHTA of such revenues. Municipal Finance Agency As of September 30, 2015, the Company had $387 million net par outstanding of bonds issued by the Puerto Rico Municipal Finance Agency (“MFA”) secured by a pledge of local property tax revenues. On October 13, 2015, the Company filed a motion to intervene in litigation between Centro de Recaudación de Ingresos Municipales (“CRIM”) and the GDB in which CRIM is seeking to ensure that the pledged tax revenues are, and will continue to be, available to support the MFA bonds. While the Company’s motion to intervene was denied, the GDB and CRIM have reported that they executed a new deed of trust that requires the GDB, as fiduciary, to keep the pledged tax revenues separate from any other GDB monies or accounts and that governs the manner in which the pledged revenues may be invested and dispersed. The following tables show the Company’s insured exposure to general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. Puerto Rico Gross Par and Gross Debt Service Outstanding Gross Par Outstanding Gross Debt Service Outstanding September 30, December 31, September 30, December 31, (in millions) Previously Subject to the Voided Recovery Act (1) $ 2,965 $ 3,058 $ 5,164 $ 5,326 Not Previously Subject to the Voided Recovery Act 2,833 2,977 4,520 4,748 Total $ 5,798 $ 6,035 $ 9,684 $ 10,074 ____________________ (1) On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the Federal Bankruptcy Code and is therefore void, and on July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling. Puerto Rico Net Par Outstanding As of As of Total (1) Internal Rating Total Internal Rating (in millions) Exposures Previously Subject to the Voided Recovery Act: PRHTA (Transportation revenue) $ 909 CCC- $ 844 BB- PREPA 744 CC 772 B- Puerto Rico Aqueduct and Sewer Authority 388 CCC 384 BB- PRHTA (Highway revenue) 370 CCC 273 BB Puerto Rico Convention Center District Authority 164 CCC- 174 BB- Total 2,575 2,447 Exposures Not Previously Subject to the Voided Recovery Act: Commonwealth of Puerto Rico - General Obligation Bonds 1,620 CCC 1,672 BB MFA 387 CCC- 399 BB- Puerto Rico Sales Tax Financing Corporation 269 CCC+ 269 BBB Puerto Rico Public Buildings Authority 188 CCC 100 BB GDB 33 CCC 33 BB PRIFA 18 CCC- 18 BB- University of Puerto Rico 1 CCC- 1 BB- Total 2,516 2,492 Total net exposure to Puerto Rico $ 5,091 $ 4,939 ____________________ (1) As of September 30, 2015, the Company's Puerto Rico exposures increased due to (1) net par of $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million of PRHTA, and (2) a commutation of previously ceded Puerto Rico exposures. The following table shows the scheduled amortization of the insured general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. The Company guarantees 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 Net Par Outstanding and Net Debt Service Outstanding As of September 30, 2015 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization Previously Subject to the Voided Recovery Act Not Previously Subject to the Voided Recovery Act Total Previously Subject to the Voided Recovery Act Not Previously Subject to the Voided Recovery Act Total (in millions) 2015 (October 1 - December 31) $ 0 $ 33 $ 33 $ 2 $ 34 $ 36 2016 98 204 302 229 330 559 2017 51 171 222 175 289 464 2018 56 123 179 178 232 410 2019 74 130 204 192 232 424 2020 87 183 270 202 280 482 2021 66 59 125 176 147 323 2022 47 68 115 153 152 305 2023 110 41 151 214 123 337 2024 89 85 174 188 164 352 2025-2029 619 395 1,014 1,032 723 1,755 2030-2034 506 474 980 788 713 1,501 2035 -2039 429 284 713 569 384 953 2040 -2044 97 266 363 171 297 468 2045 -2047 246 — 246 272 — 272 Total $ 2,575 $ 2,516 $ 5,091 $ 4,541 $ 4,100 $ 8,641 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 has exposure and believes heightened uncertainties exist are: 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. The Company’s direct 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, 2015 Hungary Italy Portugal Spain Total (in millions) Sovereign and sub-sovereign exposure: Non-infrastructure public finance (2) $ — $ 815 $ 89 $ 256 $ 1,160 Infrastructure finance 279 11 — 123 413 Total sovereign and sub-sovereign exposure 279 826 89 379 1,573 Non-sovereign exposure: Regulated utilities — 218 — — 218 RMBS and other structured finance 176 254 — 13 443 Total non-sovereign exposure 176 472 — 13 661 Total $ 455 $ 1,298 $ 89 $ 392 $ 2,234 Total BIG (See Note 6) $ 385 $ — $ 89 $ 392 $ 866 ____________________ (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 calculates indirect exposure to a country by multiplying the par amount of a transaction insured by the Company times the percent of the relevant collateral pool reported as having a nexus to the country. On that basis, the Company has calculated exposure of $278 million to Selected European Countries (plus Greece) in transactions with $4.8 billion of net par outstanding. The indirect exposure to credits with a nexus to Greece is $8 million across several highly rated pooled corporate obligations with net par outstanding of $333 million . |
Financial Guaranty Insurance Pr
Financial Guaranty Insurance Premiums | 9 Months Ended |
Sep. 30, 2015 | |
Insurance [Abstract] | |
Financial Guaranty Insurance Premiums | Financial Guaranty Insurance Premiums The portfolio of outstanding exposures discussed in Note 4, 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 to financial guaranty insurance contracts, unless otherwise noted. See Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives for amounts that relate to CDS. Net Earned Premiums Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Scheduled net earned premiums $ 104 $ 105 $ 318 $ 318 Acceleration of net earned premiums 105 36 242 79 Accretion of discount on net premiums receivable 4 3 13 14 Financial guaranty insurance net earned premiums 213 144 573 411 Other 0 0 1 1 Net earned premiums(1) $ 213 $ 144 $ 574 $ 412 ___________________ (1) Excludes $6 million and $5 million for Third Quarter 2015 and 2014 , respectively, and $16 million and $27 million for Nine Months 2015 and 2014 , respectively, related to consolidated financial guaranty ("FG") VIEs. Components of Unearned Premium Reserve As of September 30, 2015 As of December 31, 2014 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue: Financial guaranty insurance $ 4,126 $ 271 $ 3,855 $ 4,167 $ 387 $ 3,780 Other 0 — 0 0 — 0 Deferred premium revenue $ 4,126 $ 271 $ 3,855 $ 4,167 $ 387 $ 3,780 Contra-paid (2) (14 ) (8 ) (6 ) 94 (6 ) 100 Unearned premium reserve $ 4,112 $ 263 $ 3,849 $ 4,261 $ 381 $ 3,880 ____________________ (1) Excludes $120 million and $125 million of deferred premium revenue, and $35 million and $42 million of contra-paid related to FG VIEs as of September 30, 2015 and December 31, 2014 , respectively. (2) See Note 7, "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 2015 2014 (in millions) Beginning of period, December 31 $ 729 $ 876 Premiums receivable acquired in Radian Asset Acquisition on April 1, 2015 2 — Gross premium written, net of commissions on assumed business 103 116 Gross premiums received, net of commissions on assumed business (140 ) (172 ) Adjustments: Changes in the expected term (11 ) (21 ) Accretion of discount, net of commissions on assumed business 15 17 Foreign exchange translation (18 ) (16 ) Consolidation/deconsolidation of FG VIEs (4 ) 1 End of period, September 30 (1) $ 676 $ 801 ____________________ (1) Excludes $23 million and $18 million as of September 30, 2015 and September 30, 2014 , respectively, related to consolidated FG VIEs. Foreign exchange translation relates to installment premium receivables denominated in currencies other than the U.S. dollar. Approximately 50% and 51% of installment premiums at September 30, 2015 and December 31, 2014 , 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 Financial Guaranty Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of September 30, 2015 (in millions) 2015 (October 1 – December 31) $ 25 2016 77 2017 68 2018 61 2019 57 2020-2024 240 2025-2029 155 2030-2034 108 After 2034 99 Total(1) $ 890 ____________________ (1) Excludes expected cash collections on FG VIEs of $28 million . Scheduled Financial Guaranty Net Earned Premiums As of September 30, 2015 (in millions) 2015 (October 1 – December 31) $ 99 2016 379 2017 331 2018 299 2019 272 2020-2024 1,066 2025-2029 678 2030-2034 405 After 2034 326 Net deferred premium revenue(1) 3,855 Future accretion 197 Total future net earned premiums $ 4,052 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $120 million . Selected Information for Financial Guaranty Policies Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 676 $ 729 Gross deferred premium revenue 1,250 1,370 Weighted-average risk-free rate used to discount premiums 3.4 % 3.5 % Weighted-average period of premiums receivable (in years) 9.3 9.4 |
Expected Loss to be Paid
Expected Loss to be Paid | 9 Months Ended |
Sep. 30, 2015 | |
Expected Losses [Abstract] | |
Expected Loss to be Paid | Expected Loss to be Paid Loss Estimation Process The Company’s loss reserve committees estimate expected loss to be paid for all contracts. Surveillance personnel present analyses related to potential losses to the Company’s loss reserve committees for consideration in estimating the expected loss to be paid. Such analyses include the consideration of various scenarios with corresponding probabilities assigned to them. Depending upon the nature of the risk, the Company’s view of the potential size of any loss and the information available to the Company, that analysis may be based upon individually developed cash flow models, internal credit rating assessments and sector-driven loss severity assumptions or judgmental assessments. In the case of its assumed business, the Company may conduct its own analysis as just described or, depending on the Company’s view of the potential size of any loss and the information available to the Company, the Company may use loss estimates provided by ceding insurers. The Company monitors the performance of its transactions with expected losses and each quarter the Company’s loss reserve committees review and refresh their loss projection assumptions and scenarios and the probabilities they assign to those scenarios based on actual developments during the quarter and their view of future performance. The financial guaranties issued by the Company insure the credit performance of the guaranteed obligations over an extended period of time, in some cases over 30 years, and in most circumstances, the Company has no right to cancel such financial guaranties. As a result, the Company's estimate of ultimate losses on a policy is subject to significant uncertainty over the life of the insured transaction. Credit performance can be adversely affected by economic, fiscal and financial market variability over the long duration of most contracts. The determination of expected loss to be paid is an inherently subjective process involving numerous estimates, assumptions and judgments by management, using both internal and external data sources with regard to frequency, severity of loss, economic projections, governmental actions, negotiations and other factors that affect credit performance. These estimates, assumptions and judgments, and the factors on which they are based, may change materially over a quarter, and as a result the Company’s loss estimates may change materially over that same period. Changes over a quarter in the Company’s loss estimates for structured finance transactions generally will be influenced by factors impacting the performance of the assets supporting those transactions. For example, changes over a quarter in the Company’s loss estimates for its RMBS transactions may be influenced by such factors as the level and timing of loan defaults experienced; changes in housing prices; results from the Company’s loss mitigation activities; and other variables. Similarly, changes over a quarter in the Company’s loss estimates for municipal obligations supported by specified revenue streams, such as revenue bonds issued by toll road authorities, municipal utilities or airport authorities, generally will be influenced by factors impacting their revenue levels, such as changes in demand; changing demographics; and other economic factors, especially if the obligations do not benefit from financial support from other tax revenues or governmental authorities. On the other hand, changes over a quarter in the Company’s loss estimates for its tax-supported public finance transactions generally will be influenced by factors impacting the public issuer’s ability and willingness to pay, such as changes in the economy and population of the relevant area; changes in the issuer’s ability or willingness to raise taxes, decrease spending or receive federal assistance; new legislation; rating agency downgrades that reduce the issuer’s ability to refinance maturing obligations or issue new debt at a reasonable cost; changes in the priority or amount of pensions and other obligations owed to workers; developments in restructuring or settlement negotiations; and other political and economic factors. The Company does not use traditional actuarial approaches to determine its estimates of expected losses. Actual losses will ultimately depend on future events or transaction performance and may be influenced by many interrelated factors that are difficult to predict. As a result, the Company's current projections of probable and estimable losses may be subject to considerable volatility and may not reflect the Company's ultimate claims paid. The following tables present 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 3.34% as of September 30, 2015 and 0.0% to 3.37% as of December 31, 2014 . Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward Third Quarter 2015 Nine Months 2015 (in millions) Net expected loss to be paid, beginning of period $ 1,510 $ 1,169 Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 — 190 Economic loss development due to: Accretion of discount 10 24 Changes in discount rates 11 (29 ) Changes in timing and assumptions (24 ) 191 Total economic loss development (3 ) 186 Paid losses (200 ) (238 ) Net expected loss to be paid, end of period $ 1,307 $ 1,307 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Third Quarter 2015 Net Expected Loss to be Paid (Recovered) as of June 30, 2015 Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 613 $ 92 $ (18 ) $ 687 Non-U.S public finance 44 (1 ) — 43 Public Finance 657 91 (18 ) 730 Structured Finance: U.S. RMBS: First lien: Prime first lien 1 0 (1 ) 0 Alt-A first lien 265 (111 ) (108 ) 46 Option ARM (18 ) (4 ) 6 (16 ) Subprime 273 26 (20 ) 279 Total first lien 521 (89 ) (123 ) 309 Second lien: Closed-end second lien 9 0 2 11 HELOCs (6 ) 13 8 15 Total second lien 3 13 10 26 Total U.S. RMBS 524 (76 ) (113 ) 335 Triple-X life insurance transactions 165 1 (68 ) 98 TruPS 10 (5 ) — 5 Student loans 58 (2 ) 0 56 Other structured finance 96 (12 ) (1 ) 83 Structured Finance 853 (94 ) (182 ) 577 Total $ 1,510 $ (3 ) $ (200 ) $ 1,307 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Third Quarter 2014 Net Expected Loss to be Paid (Recovered ) as of June 30, 2014 Economic Loss Development (Paid) Recovered Losses (1) Net Expected ) as of (in millions) Public Finance: U.S. public finance $ 339 $ 2 $ (8 ) $ 333 Non-U.S public finance 52 (1 ) — 51 Public Finance 391 1 (8 ) 384 Structured Finance: 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 Triple-X life insurance transactions 90 3 (1 ) 92 TruPS 32 (5 ) (1 ) 26 Student loans 58 6 — 64 Other structured finance (12 ) (6 ) 4 (14 ) Structured Finance 644 (64 ) (31 ) 549 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 Nine Months 2015 Net Expected Loss to be Paid (Recovered) as of December 31, 2014 (2) Net Expected Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 303 $ 81 $ 327 $ (24 ) $ 687 Non-U.S public finance 45 4 (6 ) — 43 Public Finance 348 85 321 (24 ) 730 Structured Finance: U.S. RMBS: First lien: Prime first lien 4 — (1 ) (3 ) 0 Alt-A first lien 304 7 (132 ) (133 ) 46 Option ARM (16 ) 0 (3 ) 3 (16 ) Subprime 303 (4 ) 19 (39 ) 279 Total first lien 595 3 (117 ) (172 ) 309 Second lien: Closed-end second lien 8 — (2 ) 5 11 HELOCs (19 ) 1 15 18 15 Total second lien (11 ) 1 13 23 26 Total U.S. RMBS 584 4 (104 ) (149 ) 335 Triple-X life insurance transactions 161 — 8 (71 ) 98 TruPS 23 — (18 ) — 5 Student loans 68 — (7 ) (5 ) 56 Other structured finance (15 ) 101 (14 ) 11 83 Structured Finance 821 105 (135 ) (214 ) 577 Total $ 1,169 $ 190 $ 186 $ (238 ) $ 1,307 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Nine Months 2014 Net Expected Loss to be Paid (Recovered ) as of December 31, 2013 Economic Loss Development (Paid) Recovered Losses (1) Net Expected ) as of (in millions) Public Finance: U.S. public finance $ 264 $ 107 $ (38 ) $ 333 Non-U.S public finance 57 (6 ) — 51 Public Finance 321 101 (38 ) 384 Structured Finance: 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 Triple-X life insurance transactions 75 21 (4 ) 92 TruPS 51 (24 ) (1 ) 26 Student loans 52 12 — 64 Other structured finance (10 ) (7 ) 3 (14 ) Structured Finance 661 (129 ) 17 549 Total $ 982 $ (28 ) $ (21 ) $ 933 ____________________ (1) Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. The Company paid $7 million and $6 million in LAE for Third Quarter 2015 and 2014 , respectively, and $16 million and $20 million in LAE for Nine Months 2015 and 2014 , respectively. (2) Includes expected LAE to be paid of $13 million as of September 30, 2015 and $16 million as of December 31, 2014 . Net Expected Recoveries from Breaches of R&W Rollforward Third Quarter 2015 Future Net R&W Benefit as of June 30, 2015 R&W Development R&W (Recovered) Future Net (1) (in millions) U.S. RMBS: First lien: Prime first lien $ 1 $ 0 $ 0 $ 1 Alt-A first lien 93 9 (2 ) 100 Option ARM (33 ) (5 ) (20 ) (58 ) Subprime 81 (4 ) (3 ) 74 Total first lien 142 0 (25 ) 117 Second lien: Closed-end second lien 83 (1 ) (1 ) 81 HELOC — — — — Total second lien 83 (1 ) (1 ) 81 Total $ 225 $ (1 ) $ (26 ) $ 198 Net Expected Recoveries from Breaches of R&W Rollforward Third Quarter 2014 Future Net R&W Benefit as of June 30, 2014 R&W Development R&W (Recovered) Future Net (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 Net Expected Recoveries from Breaches of R&W Rollforward Nine Months 2015 Future Net R&W Benefit as of December 31, 2014 Future Net R&W Development R&W (Recovered) Future Net (1) (in millions) U.S. RMBS: First lien: Prime first lien $ 2 $ — $ (1 ) $ 0 $ 1 Alt-A first lien 106 — (1 ) (5 ) 100 Option ARM 15 — (19 ) (54 ) (58 ) Subprime 109 1 (27 ) (9 ) 74 Total first lien 232 1 (48 ) (68 ) 117 Second lien: Closed-end second lien 85 1 0 (5 ) 81 HELOC — — — — — Total second lien 85 1 — (5 ) 81 Total $ 317 $ 2 $ (48 ) $ (73 ) $ 198 Net Expected Recoveries from Breaches of R&W Rollforward Nine Months 2014 Future Net R&W Benefit as of December 31, 2013 R&W Development R&W (Recovered) Future Net (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. 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, 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 687 $ — $ 0 $ 687 Non-U.S. public finance 43 — — 43 Public Finance 730 — 0 730 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — (2 ) 0 Alt-A first lien 109 16 (79 ) 46 Option ARM (17 ) — 1 (16 ) Subprime 159 63 57 279 Total first lien 253 79 (23 ) 309 Second lien: Closed-end second lien (23 ) 30 4 11 HELOCs 7 8 — 15 Total second lien (16 ) 38 4 26 Total U.S. RMBS 237 117 (19 ) 335 Triple-X life insurance transactions 88 — 10 98 TruPS 0 — 5 5 Student loans 56 — — 56 Other structured finance 34 18 31 83 Structured Finance 415 135 27 577 Total $ 1,145 $ 135 $ 27 $ 1,307 Net Expected Loss to be Paid (Recovered) By Accounting Model As of December 31, 2014 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 303 $ — $ — $ 303 Non-U.S. public finance 45 — — 45 Public Finance 348 — — 348 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 4 Alt-A first lien 288 17 (1 ) 304 Option ARM (15 ) — (1 ) (16 ) Subprime 163 71 69 303 Total first lien 438 88 69 595 Second lien: Closed-end second lien (27 ) 31 4 8 HELOCs (26 ) 7 — (19 ) Total second lien (53 ) 38 4 (11 ) Total U.S. RMBS 385 126 73 584 Triple-X life insurance transactions 153 — 8 161 TruPS 1 — 22 23 Student loans 68 — — 68 Other structured finance 34 (4 ) (45 ) (15 ) Structured Finance 641 122 58 821 Total $ 989 $ 122 $ 58 $ 1,169 ___________________ (1) Refer to Note 10, Consolidated Variable Interest Entities. (2) Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. 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 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 91 $ — $ 1 $ 92 Non-U.S. public finance (1 ) — 0 (1 ) Public Finance 90 — 1 91 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — 0 0 Alt-A first lien (44 ) 0 (67 ) (111 ) Option ARM (2 ) — (2 ) (4 ) Subprime 16 7 3 26 Total first lien (30 ) 7 (66 ) (89 ) Second lien: Closed-end second lien (1 ) 1 0 0 HELOCs 12 1 — 13 Total second lien 11 2 0 13 Total U.S. RMBS (19 ) 9 (66 ) (76 ) Triple-X life insurance transactions (1 ) — 2 1 TruPS 0 — (5 ) (5 ) Student loans (2 ) — — (2 ) Other structured finance (1 ) 0 (11 ) (12 ) Structured Finance (23 ) 9 (80 ) (94 ) Total $ 67 $ 9 $ (79 ) $ (3 ) Net Economic Loss Development (Benefit) By Accounting Model Third Quarter 2014 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 2 $ — $ — $ 2 Non-U.S. public finance (1 ) — — (1 ) Public Finance 1 — — 1 Structured Finance: 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 ) Triple-X life insurance transactions 3 — — 3 TruPS (1 ) — (4 ) (5 ) Student loans 6 — — 6 Other structured finance (4 ) — (2 ) (6 ) Structured Finance (51 ) 21 (34 ) (64 ) Total $ (50 ) $ 21 $ (34 ) $ (63 ) Net Economic Loss Development (Benefit) By Accounting Model Nine Months 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 332 $ — $ (5 ) $ 327 Non-U.S. public finance (6 ) — 0 (6 ) Public Finance 326 — (5 ) 321 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — (1 ) (1 ) Alt-A first lien (54 ) (1 ) (77 ) (132 ) Option ARM (5 ) — 2 (3 ) Subprime 12 10 (3 ) 19 Total first lien (47 ) 9 (79 ) (117 ) Second lien: Closed-end second lien (2 ) 0 0 (2 ) HELOCs 14 1 — 15 Total second lien 12 1 0 13 Total U.S. RMBS (35 ) 10 (79 ) (104 ) Triple-X life insurance transactions 4 — 4 8 TruPS (1 ) — (17 ) (18 ) Student loans (7 ) — — (7 ) Other structured finance (1 ) 0 (13 ) (14 ) Structured Finance (40 ) 10 (105 ) (135 ) Total $ 286 $ 10 $ (110 ) $ 186 Net Economic Loss Development (Benefit) By Accounting Model Nine Months 2014 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 107 $ — $ — $ 107 Non-U.S. public finance (5 ) — (1 ) (6 ) Public Finance 102 — (1 ) 101 Structured Finance: 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 ) Triple-X life insurance transactions 20 — 1 21 TruPS (2 ) — (22 ) (24 ) Student loans 12 — — 12 Other structured finance (6 ) (1 ) — (7 ) Structured Finance (139 ) 74 (64 ) (129 ) Total $ (37 ) $ 74 $ (65 ) $ (28 ) _________________ (1) Refer to Note 10, Consolidated Variable Interest Entities. (2) Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. Selected U.S. Public Finance Transactions The Company insures general obligation bonds of the Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations aggregating $5.1 billion net par as of September 30, 2015 , all of which are 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 4, Outstanding Exposure. On February 25, 2015, a plan of adjustment resolving the bankruptcy filing of the City of Stockton, California under chapter 9 of the U.S. Bankruptcy Code became effective. As of September 30, 2015 , the Company’s net exposure subject to the plan consists of $115 million of pension obligation bonds. As part of the plan settlement, the City will repay the pension obligation bonds from certain fixed payments and certain variable payments contingent on the City's revenue growth. The Company agreed as part of the plan to cancel its $40 million of the City’s lease revenue bonds in exchange for the irrevocable option to take title to the office building that served as collateral for the lease revenue bonds. The Company also receives net rental payments from the office building. The Company no longer reflects the canceled lease revenue bonds as outstanding insured net par, but instead the financial statements reflect an investment in the office building and related lease revenue and expenses. As of September 30, 2015 , the office building is carried at approximately $29 million and is reported as part of Other Assets. The Company has $337 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. In December 2014, the City of Detroit emerged from bankruptcy under chapter 9 of the U.S. Bankruptcy Code. The Company still expects to make debt service payments on the 15.5% of the City’s unlimited tax general obligation that were not exchanged as part of the related settlement. As of September 30, 2015 , these bonds had a net debt service outstanding of $23 million . As a result of the Radian Asset Acquisition, the Company has approximately $21 million of net par exposure as of September 30, 2015 to bonds issued by Parkway East Public Improvement District, which is located in Madison County, Mississippi. The bonds, which are rated BIG, are payable from special assessments on properties within the District, as well as amounts paid under a contribution agreement with the County in which the County covenants that it will provide funds in the event special assessments are not sufficient to make a debt service payment. The special assessments have not been sufficient to pay debt service in full. In earlier years, the County provided funding to cover the balance of the debt service requirement, but the County now claims that the District’s failure to reimburse it within the two years stipulated in the contribution agreement means that the County is not required to provide funding until it is reimbursed. A declaratory judgment action is pending against the District and the County to establish the Company's rights under the contribution agreement. See "Recovery Litigation" below. The Company also has $15.4 billion of net par exposure to healthcare transactions. The BIG net par outstanding in this sector is $351 million , $301 million of which was acquired as part of the Radian Asset Acquisition. The Company projects that its total net expected loss across its troubled U.S. public finance credits as of September 30, 2015 , which incorporated the likelihood of the outcomes mentioned above, will be $687 million , compared with a net expected loss of $613 million as of June 30, 2015 and $303 million as of December 31, 2014. On April 1, 2015, the Radian Asset Acquisition added $81 million in net economic losses to be paid for U.S. public finance credits. Economic loss development in Third Quarter 2015 was $92 million , which was primarily attributable to Puerto Rico exposures. Economic loss development in Nine Months 2015 was $327 million , which was also primarily attributable to Puerto Rico exposures. Certain Selected European Country Sub-Sovereign 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 sub-sovereigns also to default. The Company's gross exposure to these Spanish and Portuguese credits is $474 million and $96 million , respectively, and exposure net of reinsurance for Spanish and Portuguese credits is $379 million and $89 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. The Company's gross exposure to these Hungarian credits is $282 million and its exposure net of reinsurance is $279 million , all of which is rated BIG. The Company estimated net expected losses of $41 million related to these Spanish, Portuguese and Hungarian credits. The economic benefit of approximately $1 million during Third Quarter 2015 and $5 million during Nine Months 2015 was primarily related to changes in the exchange rate between the Euro and US Dollar. 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. 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 expects the cash flows from these projects to be sufficient to repay all of the debt over the life of the project concession, but also expects 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 $2.0 billion on a gross basis; such claims would be payable from 2017 through 2022. 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 and any R&W agreements to the projected performance of the collateral over time. The resulting projected claim payments or reimbursements are then discounted using risk-free rates. 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 loss severities as new information becomes available. The Company has been enforcing claims for breaches of R&W regarding the characteristics of the loans included in the collateral pools, and by reaching agreements with certain R&W providers in early October, has completed its pursuit of R&W claims. The Company calculates a credit for R&W recoveries to include in its cash flow projections based on agreements it has with R&W providers, which are described in more detail under "Breaches of Representations and Warranties" below. In some instances, the terms of the Company's policy gives it the option to pay principal on an accelerated basis, thereby reducing the amount of guaranteed interest due in the future. The Company has at times exercised this option, which uses cash but reduces projected future losses. 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 Company's RMBS loss projection methodology assumes that the housing and mortgage markets will continue improving. Each period 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 period of the performance of its insured transactions (including early stage delinquencies, late stage delinquencies and loss severity) as well as the residential property market and economy in general, and, to the extent it observes changes, it makes a judgment as whether those changes are normal fluctuations or part of a trend. Third Quarter and Nine Months 2015 U.S. RMBS Loss Projections Based on its observation during the period of the performance of its insured transactions (including early stage delinquencies, late stage delinquencies and loss severity) as well as the residential property market and economy in general, the Company chose to use the same general assumptions to project RMBS losses as of September 30, 2015 as it used as of June 30, 2015 , except that, for its first lien RMBS loss projections it again this quarter shortened by three months the period it is projecting it will take in the base case to reach the final CDR. For the Nine Months 2015, first lien RMBS projections reflect a shortening of the period it is projecting it will take in the base case to reach the final CDR by nine months as compared with December 31, 2014. 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 are or in the past twelve months have been two or more payments behind, have been modified, are in foreclosure, or have been foreclosed upon). 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. Each year the Company reviews the most recent twenty-four months of this data and (if necessary) adjusts its liquidation rates based on its observations. The following table shows liquidation assumptions for various non-performing categories. First Lien Liquidation Rates September 30, 2015 June 30, 2015 December 31, 2014 Current Loans Modified in the Previous 12 Months |
Financial Guaranty Insurance Lo
Financial Guaranty Insurance Losses | 9 Months Ended |
Sep. 30, 2015 | |
Insurance [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 3.34% as of September 30, 2015 and 0.0% to 2.95% as of December 31, 2014 . Financial guaranty insurance expected LAE reserve was $10 million as of September 30, 2015 and $12 million as of December 31, 2014 . Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts As of September 30, 2015 As of December 31, 2014 Loss and LAE Reserve, net Salvage and Subrogation Recoverable, net Net Reserve (Recoverable) Loss and LAE Reserve, net Salvage and Subrogation Recoverable, net Net Reserve (Recoverable) (in millions) Public Finance: U.S. public finance $ 525 $ 11 $ 514 $ 243 $ 8 $ 235 Non-U.S. public finance 30 — 30 30 — 30 Public Finance 555 11 544 273 8 265 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 2 — 2 Alt-A first lien 43 — 43 87 — 87 Option ARM 18 34 (16 ) 28 40 (12 ) Subprime 176 22 154 166 8 158 First lien 239 56 183 283 48 235 Second lien: Closed-end second lien 4 35 (31 ) 4 39 (35 ) HELOCs 13 30 (17 ) 3 39 (36 ) Second lien 17 65 (48 ) 7 78 (71 ) Total U.S. RMBS 256 121 135 290 126 164 Triple-X life insurance transactions 80 — 80 140 — 140 TruPS — — — 0 — 0 Student loans 53 — 53 64 — 64 Other structured finance 47 — 47 34 8 26 Structured Finance 436 121 315 528 134 394 Subtotal 991 132 859 801 142 659 Other recoverables — 5 (5 ) — 13 (13 ) Subtotal 991 137 854 801 155 646 Effect of consolidating FG VIEs (73 ) (1 ) (72 ) (80 ) (1 ) (79 ) Total (1) $ 918 $ 136 $ 782 $ 721 $ 154 $ 567 ____________________ (1) See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. Components of Net Reserves (Salvage) As of As of (in millions) Loss and LAE reserve $ 1,007 $ 799 Reinsurance recoverable on unpaid losses (89 ) (78 ) Loss and LAE reserve, net 918 721 Salvage and subrogation recoverable (135 ) (151 ) Salvage and subrogation payable(1) 4 10 Other recoverables (5 ) (13 ) Salvage and subrogation recoverable, net and other recoverable (136 ) (154 ) Net reserves (salvage) $ 782 $ 567 ____________________ (1) Recorded as a component of reinsurance balances payable. Balance Sheet Classification of Net Expected Recoveries for Breaches of R&W Insurance Contracts As of September 30, 2015 As of December 31, 2014 For all Financial Guaranty Insurance Contracts Effect of Consolidating FG VIEs Reported on Balance Sheet(1) For all Financial Guaranty Insurance Contracts Effect of Consolidating FG VIEs Reported on Balance Sheet(1) (in millions) Salvage and subrogation recoverable, net $ (19 ) $ — $ (19 ) $ 20 $ — $ 20 Loss and LAE reserve, net 119 (7 ) 112 185 (8 ) 177 ____________________ (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 claim payments made and recoveries received that have not yet been recognized in the statement of operations, (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 (in millions) Net expected loss to be paid $ 1,280 Less: net expected loss to be paid for FG VIEs and other 135 Total 1,145 Contra-paid, net 6 Salvage and subrogation recoverable, net of reinsurance 131 Loss and LAE reserve, net of reinsurance (899 ) Other recoveries 4 Net expected loss to be expensed (present value) (1) $ 387 ____________________ (1) Excludes $79 million as of September 30, 2015 , 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 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 (in millions) 2015 (October 1 – December 31) $ 7 Subtotal 2015 7 2016 38 2017 31 2018 29 2019 28 2020-2024 104 2025-2029 75 2030-2034 51 After 2034 24 Net expected loss to be expensed 387 Discount 406 Total expected future loss and LAE $ 793 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 2015 2014 2015 2014 (in millions) Public Finance: U.S. public finance $ 89 $ 3 $ 298 $ 112 Non-U.S. public finance (2 ) (1 ) 4 (1 ) Public finance 87 2 302 111 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 0 (1 ) 0 Alt-A first lien (15 ) 4 (26 ) 21 Option ARM (4 ) 9 (5 ) (21 ) Subprime 31 (7 ) 32 (5 ) First lien 12 6 0 (5 ) Second lien: Closed-end second lien 1 1 0 0 HELOCs 18 (45 ) 29 (55 ) Second lien 19 (44 ) 29 (55 ) Total U.S. RMBS 31 (38 ) 29 (60 ) Triple-X life insurance transactions 7 3 14 20 TruPS — 0 (1 ) (1 ) Student loans (2 ) 6 (7 ) 12 Other structured finance (1 ) (3 ) (2 ) (7 ) Structured finance 35 (32 ) 33 (36 ) Loss and LAE on insurance contracts before FG VIE consolidation 122 (30 ) 335 75 Effect of consolidating FG VIEs (10 ) (14 ) (17 ) (21 ) Loss and LAE $ 112 $ (44 ) $ 318 $ 54 The following table provides information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 2015 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 239 (50 ) 87 (13 ) 125 (41 ) 451 — 451 Remaining weighted-average contract period (in years) 9.9 6.8 11.0 9.2 8.0 6.2 10.2 — 10.2 Outstanding exposure: Principal $ 11,001 $ (1,449 ) $ 3,673 $ (263 ) $ 2,780 $ (160 ) $ 15,582 $ — $ 15,582 Interest 5,676 (509 ) 2,102 (118 ) 926 (34 ) 8,043 — 8,043 Total(2) $ 16,677 $ (1,958 ) $ 5,775 $ (381 ) $ 3,706 $ (194 ) $ 23,625 $ — $ 23,625 Expected cash outflows (inflows) $ 1,809 $ (566 ) $ 1,110 $ (67 ) $ 1,402 $ (44 ) $ 3,644 $ (333 ) $ 3,311 Potential recoveries Undiscounted R&W 42 (1 ) (49 ) 1 (94 ) 5 (96 ) 8 (88 ) Other(3) (1,663 ) 514 (258 ) 11 (467 ) 18 (1,845 ) 173 (1,672 ) Total potential recoveries (1,621 ) 513 (307 ) 12 (561 ) 23 (1,941 ) 181 (1,760 ) Subtotal 188 (53 ) 803 (55 ) 841 (21 ) 1,703 (152 ) 1,551 Discount (21 ) 8 (194 ) 10 (158 ) (86 ) (441 ) 35 (406 ) Present value of expected cash flows $ 167 $ (45 ) $ 609 $ (45 ) $ 683 $ (107 ) $ 1,262 $ (117 ) $ 1,145 Deferred premium revenue $ 510 $ (47 ) $ 144 $ (4 ) $ 333 $ (26 ) $ 910 $ (103 ) $ 807 Reserves (salvage) $ 30 $ (36 ) $ 502 $ (42 ) $ 389 $ (7 ) $ 836 $ (72 ) $ 764 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2014 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 164 (59 ) 75 (15 ) 119 (38 ) 358 — 358 Remaining weighted-average contract period (in years) 9.9 7.4 10.1 8.9 9.6 6.9 10.3 — 10.3 Outstanding exposure: Principal $ 12,358 $ (2,163 ) $ 2,421 $ (286 ) $ 3,067 $ (175 ) $ 15,222 $ — $ 15,222 Interest 6,350 (838 ) 1,274 (121 ) 1,034 (48 ) 7,651 — 7,651 Total(2) $ 18,708 $ (3,001 ) $ 3,695 $ (407 ) $ 4,101 $ (223 ) $ 22,873 $ — $ 22,873 Expected cash outflows (inflows) $ 1,762 $ (626 ) $ 763 $ (77 ) $ 1,716 $ (75 ) $ 3,463 $ (345 ) $ 3,118 Potential recoveries Undiscounted R&W (39 ) 0 (48 ) 2 (171 ) 9 (247 ) 8 (239 ) Other(3) (1,687 ) 608 (206 ) 5 (404 ) 30 (1,654 ) 177 (1,477 ) Total potential recoveries (1,726 ) 608 (254 ) 7 (575 ) 39 (1,901 ) 185 (1,716 ) Subtotal 36 (18 ) 509 (70 ) 1,141 (36 ) 1,562 (160 ) 1,402 Discount 3 0 (117 ) 11 (353 ) 9 (447 ) 34 (413 ) Present value of expected cash flows $ 39 $ (18 ) $ 392 $ (59 ) $ 788 $ (27 ) $ 1,115 $ (126 ) $ 989 Deferred premium revenue $ 378 $ (70 ) $ 119 $ (6 ) $ 312 $ (33 ) $ 700 $ (116 ) $ 584 Reserves (salvage) $ (42 ) $ (5 ) $ 278 $ (53 ) $ 482 $ (10 ) $ 650 $ (79 ) $ 571 ____________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. (2) Includes BIG amounts related to FG VIEs. (3) Includes excess spread and draws on HELOCs. Ratings Impact on Financial Guaranty Business A downgrade of one of AGL’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. AGM insures periodic payments owed by the municipal obligors to the bank counterparties. In certain cases, 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 $157 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 $399 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, 2015 , AGM and AGC had insured approximately $5.8 billion net par of VRDOs, of which approximately $0.3 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 $1.9 billion as of September 30, 2015 were terminated, the assets of the GIC issuers (which had an aggregate market value which exceed the liabilities by $0.9 billion ) would be sufficient to fund the withdrawal of the GIC funds. |
Fair Value Measurement
Fair Value Measurement | 9 Months Ended |
Sep. 30, 2015 | |
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 2015 , 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 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. Short term securities that were obtained as part of loss mitigation efforts and whose prices were 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. Annually, the Company reviews each pricing service’s procedures, controls and models used in the valuations of the Company’s investment portfolio, as well as the competency of the pricing service’s key personnel. In addition, on a quarterly basis, the Company holds a meeting of the internal valuation committee (comprised of individuals within the Company with market, valuation, accounting, and/or finance experience) that reviews and approves prices and assumptions used by the pricing services. For Level 1 and 2 securities, the Company, on a quarterly basis, reviews internally developed analytic packages that highlight, at a CUSIP level, price changes from the previous quarter to the current quarter. Where unexpected price movements are noted for a specific CUSIP, the Company formally challenges the price provided, and reviews all key inputs utilized in the third party’s pricing model, and compares such information to management’s own market information. For Level 3 securities, the Company, on a quarterly basis: • reviews methodologies, any model updates and inputs and compares such information to management’s own market information and, where applicable, the internal models, • reviews internally developed analytic packages that highlight, at a CUSIP level, price changes from the previous quarter to the current quarter, and evaluates, documents, and resolves any significant pricing differences with the assistance of the third party pricing source, and • compares prices received from different third party pricing sources, and evaluates, documents the rationale for, and resolves any significant pricing differences. 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, 2015 , the Company used models to price 35 fixed-maturity securities and short-term investments (which were purchased or obtained for loss mitigation or other risk management purposes), which was 8.4% or $933 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 As of September 30, 2015 and December 31, 2014 , other invested assets include investments carried and measured at fair value on a recurring basis of $54 million and $95 million , respectively, and include primarily an investment in the global property catastrophe risk market and an investment in a fund that invests primarily in senior loans and bonds. Both of these investments were classified as Level 3. Other invested assets also include fixed-maturity securities classified as trading carried as Level 2. 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 16, Long Term Debt and Credit Facilities). The AGC CCS and AGM CPS are carried at fair value with changes in fair value recorded in 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, AGM and AGC CDS spreads, 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 not completed at fair value but instead for an amount that approximates the present value of future premiums or for an amount negotiated as part of an R&W settlement. 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, 2015 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 The various inputs and assumptions that are key to the establishment of the Company’s fair value for CDS contracts are as follows: • 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 0.20% to 2.47% at September 30, 2015 and 0.26% to 2.70% at December 31, 2014 . 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. No transactions closed during the periods presented. • 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 Based on actual collateral specific spreads 12 % 9 % Based on market indices 76 % 82 % Provided by the CDS counterparty 12 % 9 % 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 16% , 17% and 21% based on number of deals, of the Company's CDS contracts are fair valued using this minimum premium as of September 30, 2015 , June 30, 2015 and December 31, 2014 , respectively. The percentage of deals that price using the minimum premiums fluctuates 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 discounted at the corresponding LIBOR over the weighted average remaining life of the contract. Example The 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% = 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% = 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. 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, 2015 and December 31, 2014 , the markets for the inputs to the model were highly illiquid, which impacts their reliability. • Due to the non-standard terms under which the Company enters into derivative contracts, the fair value of its credit derivatives may not reflect the same prices observed in an actively traded market of credit derivatives that do not contain terms and conditions similar to those observed in the financial guaranty market. These contracts were classified as Level 3 in the fair value hierarchy because there is a reliance on at least one unobservable input deemed significant to the valuation model, most significantly the Company's estimate of the value of non-standard terms and conditions of its credit derivative contracts and amount of protection purchased on AGC or AGM's name. Fair Value Option on FG VIEs’ Assets and Liabilities The Company elected the fair value option for all the FG VIEs’ assets and liabilities. See Note 10, 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, based on a discounted cash flow approach. 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 relevan |
Financial Guaranty Contracts Ac
Financial Guaranty Contracts Accounted for as Credit Derivatives | 9 Months Ended |
Sep. 30, 2015 | |
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 becomes 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 5.3 years at September 30, 2015 and 4.7 years at December 31, 2014 . The components of the Company’s credit derivative net par outstanding are presented below. Credit Derivatives Subordination and Ratings As of September 30, 2015 As of December 31, 2014 Asset Type Net Par Outstanding Original Subordination(1) Current Subordination(1) Weighted Average Credit Rating Net Par Outstanding Original Subordination(1) Current Subordination(1) Weighted Average Credit Rating (dollars in millions) Pooled corporate obligations: Collateralized loan obligation/collateral bond obligations $ 7,299 31.1 % 39.6 % AAA $ 11,688 32.0 % 36.9 % AAA Synthetic investment grade pooled corporate 7,119 21.7 19.4 AAA 7,640 22.6 20.6 AAA TruPS CDOs 3,604 45.7 41.6 BBB+ 3,119 45.3 35.8 BBB- Market value CDOs of corporate obligations 1,113 17.0 10.5 AAA 1,174 19.1 20.7 AAA Total pooled corporate obligations 19,135 29.5 30.8 AAA 23,621 30.1 30.7 AAA U.S. RMBS: Option ARM and Alt-A first lien 1,186 15.7 10.5 AAA 1,378 16.3 10.7 BB+ Subprime first lien 1,215 27.2 41.8 AA 1,366 31.1 50.5 A Prime first lien 183 10.9 0.0 BB 223 10.9 0.0 B Closed-end second lien 17 — — CCC 19 — — CCC Total U.S. RMBS 2,601 22.6 29.6 AA 2,986 24.8 33.9 BBB CMBS 1,127 28.4 35.8 AAA 1,952 35.3 43.6 AAA Other 6,770 — — A 6,437 — — A Total(2) $ 29,633 AA $ 34,996 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) The September 30, 2015 total amount includes $4.3 billion net par outstanding of credit derivatives acquired from Radian Asset. 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 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 $ 1.9 billion of exposure to one pooled infrastructure transaction 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. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of September 30, 2015 As of December 31, 2014 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 17,080 57.7 % $ 21,817 62.3 % AA 5,785 19.5 5,398 15.4 A 2,065 7.0 1,982 5.7 BBB 2,674 9.0 2,774 8.0 BIG(1) 2,029 6.8 3,025 8.6 Credit derivative net par outstanding $ 29,633 100.0 % $ 34,996 100.0 % ____________________ (1) The September 30, 2015 BIG amount includes $489 million net par outstanding of credit derivatives acquired from Radian Asset. Fair Value of Credit Derivatives Net Change in Fair Value of Credit Derivatives Gain (Loss) Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Realized gains on credit derivatives (1) $ 14 $ 17 $ 52 $ 58 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (8 ) (31 ) (17 ) (38 ) Realized gains (losses) and other settlements on credit derivatives 6 (14 ) 35 20 Net change in unrealized gains (losses) on credit derivatives: Pooled corporate obligations (24 ) 4 0 10 U.S. RMBS 11 252 148 117 CMBS (3 ) 0 1 2 Other 96 13 116 (2 ) Net change in unrealized gains (losses) on credit derivatives 80 269 265 127 Net change in fair value of credit derivatives (2) $ 86 $ 255 $ 300 $ 147 ____________________ (1) Includes realized gain due to terminations of CDS contracts. CDS terminations in Nine Months 2015 also included a payment received from the resolution of a dispute related to a termination of CDS in 2008. (2) On October 9, 2015, the Company reached a settlement agreement with a CDS counterparty to terminate five Alt-A first lien CDS transactions. This termination agreement will generate a net fair value gain of approximately $293 million in the Company’s fourth quarter 2015 financial statements. In addition, on October 13, 2015, the Company terminated a CMBS transaction with a CDS counterparty and this termination agreement will generate a net fair value gain of approximately $34 million in the Company's fourth quarter 2015 financial statements. Net Par and Realized Gain from Terminations of CDS Contracts Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Net par of terminated CDS contracts $ 405 $ 1,631 $ 969 $ 2,931 Realized gain due to termination of CDS contracts 0.3 (0.1 ) 12.9 0.6 During Third Quarter 2015 , unrealized fair value gains were driven primarily by the termination of a Triple-X life-securitization transaction in the Other sector. These unrealized gains were partially offset by wider implied net spreads in the Company’s pooled corporate CLO sector. The wider implied net spreads were primarily a result of the decreased cost to buy protection in AGC’s and AGM’s name, particularly for the one year and five year CDS spreads, as the market cost of AGC’s and AGM’s credit protection decreased during the period. 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 and AGM, which management refers to as the CDS spread on AGC and AGM, decreased the implied spreads that the Company would expect to receive on these transactions increased. During Nine Months 2015 , unrealized fair value gains were generated primarily in the U.S. RMBS prime first lien and Option ARM and subprime sectors, 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 and AGM’s name, particularly for the one year CDS spread, as the market cost of AGC’s and AGM’s credit protection increased during the period. These transactions were pricing at or above their floor levels, therefore when the cost of purchasing CDS protection on AGC and AGM increased, the implied spreads that the Company would expect to receive on these transactions decreased. The unrealized fair value gains in the other sector were a result of the termination of a Triple-X life-securitization transaction, referenced above. In addition, during Nine Months 2015 there was a refinement in methodology to address an instance in a U.S. RMBS transaction where the Company now expects recoveries. This refinement resulted in approximately $49 million in fair value gains in Nine Months 2015 . 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; 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. 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 As of As of AGC 331 390 323 345 327 460 AGM 337 410 325 344 346 525 One-Year CDS Spread on AGC and AGM Quoted price of CDS contract (in basis points) As of As of As of As of As of As of AGC 112 120 80 125 85 185 AGM 104 125 85 120 115 220 Fair Value of Credit Derivatives Assets (Liabilities) and Effect of AGC and AGM Credit Spreads As of As of (in millions) Fair value of credit derivatives before effect of AGC and AGM credit spreads $ (1,973 ) $ (2,029 ) Plus: Effect of AGC and AGM credit spreads 1,126 1,134 Net fair value of credit derivatives (1) $ (847 ) $ (895 ) ____________________ (1) September 30, 2015 amount includes $174 million of net fair value loss of credit derivatives acquired from Radian Asset. The fair value of CDS contracts at September 30, 2015 , 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 TruPS and pooled corporate securities. Comparing September 30, 2015 with December 31, 2014 , there was a narrowing of spreads primarily related to the Company's pooled corporate obligations which resulted in a mark to market benefit. This benefit was partially offset by the Company's acquisition of Radian Asset Assurance’s CDS portfolio which increased the Company's mark to market liability. This narrowing of spreads combined with the acquisition of Radian Asset, resulted in a gain of approximately $56 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 6) for contracts accounted for as derivatives. Net Fair Value and Expected Losses of Credit Derivatives by Sector Fair Value of Credit Derivative Asset (Liability), net Expected Loss to be (Paid) Recovered (1) Asset Type As of As of As of As of (in millions) Pooled corporate obligations $ (231 ) $ (49 ) $ (67 ) $ (23 ) U.S. RMBS (346 ) (494 ) 19 (73 ) CMBS (40 ) 0 (7 ) — Other (230 ) (352 ) 28 38 Total $ (847 ) $ (895 ) $ (27 ) $ (58 ) ____________________ (1) Includes R&W benefit of $82 million as of September 30, 2015 and $86 million as of December 31, 2014 . Ratings Sensitivities of Credit Derivative Contracts Within the Company's insured CDS portfolio, the transaction documentation for approximately $4.9 billion in CDS gross par insured as of September 30, 2015 requires AGC 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 $4.7 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 $575 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 $ 235 million of such contracts, AGC 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, 2015 , the Company posted approximately $333 million to secure obligations under its CDS exposure, of which approximately $20 million related to such $235 million of notional. As of December 31, 2014 , the Company posted approximately $376 million , of which approximately $25 million related to $242 million of notional where AGC or AGRO could be required to post additional collateral based on movements in the mark-to-market valuation of the underlying exposure. Sensitivity to Changes in Credit Spread The following table summarizes the estimated change in fair values on the net balance of the Company’s credit derivative positions assuming immediate parallel shifts in credit spreads on AGC and AGM and on the risks that they both assume. Effect of Changes in Credit Spread As of September 30, 2015 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (1,723 ) $ (876 ) 50% widening in spreads (1,285 ) (438 ) 25% widening in spreads (1,067 ) (220 ) 10% widening in spreads (935 ) (88 ) Base Scenario (847 ) — 10% narrowing in spreads (765 ) 82 25% narrowing in spreads (643 ) 204 50% narrowing in spreads (441 ) 406 ____________________ (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, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Consolidated Variable Interest Entities | Consolidated Variable Interest Entities Consolidated FG VIEs The Company provides financial guaranties with respect to debt obligations of special purpose entities, including VIEs. Assured Guaranty does not act as the servicer or collateral manager for any VIE obligations insured by its companies. 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. Assured Guaranty is not primarily liable for the debt obligations issued by the VIEs it insures and would only be required to make payments on those 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 Assured Guaranty under the financial guaranty insurance contract. The Company’s estimate of expected loss to be paid for FG VIEs is included in Note 6, Expected Loss to be Paid. 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. Number of FG VIEs Consolidated Nine Months 2015 2014 Beginning of the period, December 31 32 40 Radian Asset Acquisition 4 — Consolidated (1) 1 1 Deconsolidated (1) — (8 ) Matured — (2 ) End of the period, September 30 37 31 ____________________ (1) Net loss on consolidation was $26 million in Nine Months 2015 , and net gain on deconsolidation was $120 million in Nine Months 2014 , 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 $198 million at September 30, 2015 and $183 million at December 31, 2014 . The aggregate unpaid principal of the FG VIEs’ assets was approximately $923 million greater than the aggregate fair value at September 30, 2015 , excluding the effect of R&W settlements and restricted cash. The aggregate unpaid principal of the FG VIEs’ assets was approximately $941 million greater than the aggregate fair value at December 31, 2014 , excluding the effect of R&W settlements and restricted cash. The change in the instrument-specific credit risk of the FG VIEs’ assets held as of September 30, 2015 that was recorded in the consolidated statements of operations for Third Quarter 2015 and Nine Months 2015 were gains of $56 million and $25 million , respectively. 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. To calculate the instrument specific credit risk, the changes in the fair value of the FG VIE assets are allocated between those changes that are due to the instrument specific credit risk and those are due to other factors, including interest rates. The instrument specific credit risk amount is determined by using expected contractual cash flows versus current expected cash flows discounted at original contractual rate. The net present value is calculated by discounting the expected cash flows of the underlying security, excluding the Company’s financial guaranty insurance, at the relevant effective interest rate. The unpaid principal for FG VIE liabilities with recourse was $2,045 million and $1,912 million as of September 30, 2015 and December 31, 2014 , respectively. FG VIE liabilities with recourse will mature at various dates ranging from 2025 to 2046 . The aggregate unpaid principal balance of the FG VIE liabilities with and without recourse was approximately $981 million greater than the aggregate fair value of the FG VIEs’ liabilities as of September 30, 2015 . The aggregate unpaid principal balance was approximately $916 million greater than the aggregate fair value of the FG VIEs' liabilities as of December 31, 2014 . 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 for FG VIE liabilities with recourse. Consolidated FG VIEs By Type of Collateral As of September 30, 2015 (1) As of December 31, 2014 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 713 $ 572 $ 632 $ 581 U.S. RMBS second lien 208 295 238 327 Other 448 448 369 369 Total with recourse 1,369 1,315 1,239 1,277 Without recourse 178 167 163 142 Total $ 1,547 $ 1,482 $ 1,402 $ 1,419 ____________________ (1) The September 30, 2015 amounts include $115 million of FG VIE assets and $111 million of FG VIE liabilities acquired from Radian Asset. 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 2015 2014 2015 2014 (in millions) Net earned premiums $ (6 ) $ (5 ) $ (16 ) $ (27 ) Net investment income (3 ) (2 ) (9 ) (8 ) Net realized investment gains (losses) 6 0 9 (5 ) Fair value gains (losses) on FG VIEs 2 50 0 232 Bargain purchase gain — — 2 — Other income (loss) 0 0 0 (2 ) Loss and LAE 11 14 18 21 Effect on income before tax 10 57 4 211 Less: tax provision (benefit) 4 20 1 74 Effect on net income (loss) $ 6 $ 37 $ 3 $ 137 Effect on cash flows from operating activities $ 11 $ 18 $ 44 $ 57 As of As of (in millions) Effect on shareholders’ equity (decrease) increase $ (38 ) $ (44 ) 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 2015 , the Company recorded a pre-tax net fair value gain on consolidated FG VIEs of $2 million . The primary driver of the gain was mark-to-market gains due to price appreciation on the FG VIE assets during the quarter resulting from improvements in the underlying collateral. During Nine Months 2015 , the Company recorded a pre-tax net fair value loss on consolidated FG VIEs of less than $1 million . The primary driver of the loss was a pre-tax loss of $26 million on the consolidation of one new FG VIE which was mostly offset by net mark-to-market gains due to price appreciation on the FG VIE assets resulting from improvements in the underlying collateral. 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 first quarter 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. Other Consolidated VIEs In certain instances where the Company consolidates a VIE that was established as part of a loss mitigation negotiation settlement agreement that results in the termination of the original insured financial guaranty insurance or credit derivative contract the Company classifies the assets and liabilities of those VIEs in the line items that most accurately reflect the nature of the items, as opposed to within the FG VIE assets and FG VIE liabilities. Non-Consolidated VIEs As of September 30, 2015 and December 31, 2014 , the Company had financial guaranty contracts outstanding for approximately 840 and 930 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 4, Outstanding Exposure. |
Investments and Cash
Investments and Cash | 9 Months Ended |
Sep. 30, 2015 | |
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 $ 103 million and $ 98 million as of September 30, 2015 and December 31, 2014 , respectively. Net Investment Income Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Income from fixed-maturity securities managed by third parties $ 85 $ 83 $ 252 $ 244 Income from internally managed securities: Fixed maturities 15 15 44 52 Other 14 6 21 11 Gross investment income 114 104 317 307 Investment expenses (2 ) (2 ) (6 ) (6 ) Net investment income $ 112 $ 102 $ 311 $ 301 Net Realized Investment Gains (Losses) Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Gross realized gains on available-for-sale securities $ 3 $ 3 $ 35 $ 10 Gross realized gains on other assets in investment portfolio 0 1 3 8 Gross realized losses on available-for-sale securities (3 ) (1 ) (10 ) (4 ) Gross realized losses on other assets in investment portfolio (9 ) (1 ) (11 ) (1 ) Other-than-temporary impairment (18 ) (21 ) (37 ) (38 ) Net realized investment gains (losses) $ (27 ) $ (19 ) $ (20 ) $ (25 ) 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 2015 2014 2015 2014 (in millions) Balance, beginning of period $ 104 $ 84 $ 124 $ 80 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 2 3 2 29 Reductions for securities sold and other settlement during the period — — (28 ) (12 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 0 17 8 7 Balance, end of period $ 106 $ 104 $ 106 $ 104 Investment Portfolio Fixed-Maturity Securities and Short-Term Investments by Security Type As of September 30, 2015 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 53 % $ 5,668 $ 308 $ (18 ) $ 5,958 $ 3 AA U.S. government and agencies 4 449 28 0 477 0 AA+ Corporate securities 13 1,403 45 (12 ) 1,436 (3 ) A Mortgage-backed securities(4): 0 RMBS 13 1,349 38 (16 ) 1,371 (2 ) A CMBS 4 492 19 0 511 — AAA Asset-backed securities 5 584 6 0 590 4 BB- Foreign government securities 3 297 6 (6 ) 297 — AA+ Total fixed-maturity securities 95 10,242 450 (52 ) 10,640 2 AA- Short-term investments 5 526 0 (4 ) 522 — AA Total investment portfolio 100 % $ 10,768 $ 450 $ (56 ) $ 11,162 $ 2 AA- Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2014 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 50 % $ 5,416 $ 380 $ (1 ) $ 5,795 $ 7 AA U.S. government and agencies 6 635 31 (1 ) 665 — AA+ Corporate securities 12 1,320 53 (5 ) 1,368 (2 ) A Mortgage-backed securities(4): RMBS 12 1,255 51 (21 ) 1,285 0 A- CMBS 6 639 20 0 659 — AAA Asset-backed securities 4 411 9 (3 ) 417 3 BBB- Foreign government securities 3 296 8 (2 ) 302 — AA+ Total fixed-maturity securities 93 9,972 552 (33 ) 10,491 8 AA- Short-term investments 7 767 0 0 767 0 AA+ Total investment portfolio 100 % $ 10,739 $ 552 $ (33 ) $ 11,258 $ 8 AA- ____________________ (1) Based on amortized cost. (2) Accumulated OCI. See also Note 18, 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 55% of mortgage backed securities as of September 30, 2015 and 44% as of December 31, 2014 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 five 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, 2015 Less than 12 months 12 months or more Total Fair Value Unrealized Loss Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 587 $ (18 ) $ 4 $ 0 $ 591 $ (18 ) U.S. government and agencies 31 0 — — 31 0 Corporate securities 373 (8 ) 99 (4 ) 472 (12 ) Mortgage-backed securities: RMBS 315 (2 ) 91 (14 ) 406 (16 ) CMBS 24 0 2 0 26 0 Asset-backed securities 2 0 — — 2 0 Foreign government securities 97 (3 ) 54 (3 ) 151 (6 ) Total $ 1,429 $ (31 ) $ 250 $ (21 ) $ 1,679 $ (52 ) Number of securities (1) 342 37 372 Number of securities with other-than-temporary impairment 5 4 9 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2014 Less than 12 months 12 months or more Total Fair Unrealized Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 64 $ 0 $ 25 $ (1 ) $ 89 $ (1 ) U.S. government and agencies 139 0 68 (1 ) 207 (1 ) Corporate securities 189 (3 ) 104 (2 ) 293 (5 ) Mortgage-backed securities: RMBS 205 (3 ) 159 (18 ) 364 (21 ) CMBS 36 0 19 0 55 0 Asset-backed securities 56 (2 ) 18 (1 ) 74 (3 ) Foreign government securities 108 (2 ) 0 0 108 (2 ) Total $ 797 $ (10 ) $ 393 $ (23 ) $ 1,190 $ (33 ) Number of securities (1) 125 82 198 Number of securities with other-than-temporary impairment 3 7 10 ___________________ (1) The number of securities does not add across because lots of the same securities 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, 2015 , four securities had unrealized losses greater than 10% of book value. The total unrealized loss for these securities as of September 30, 2015 was $ 13 million . The Company has determined that the unrealized losses recorded as of September 30, 2015 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, 2015 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, 2015 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 260 $ 261 Due after one year through five years 1,579 1,637 Due after five years through 10 years 2,241 2,349 Due after 10 years 4,321 4,511 Mortgage-backed securities: RMBS 1,349 1,371 CMBS 492 511 Total $ 10,242 $ 10,640 The investment portfolio contains securities and cash that are either held in trust for the benefit of third party reinsurers in accordance with statutory requirements, invested in a guaranteed investment contract for future claims payments, placed on deposit to fulfill state licensing requirements, or otherwise restricted in the amount of $ 299 million and $ 236 million as of September 30, 2015 and December 31, 2014 , respectively, based on fair value. The investment portfolio also contains securities that are held in trust by certain AGL subsidiaries for the benefit of other AGL subsidiaries in accordance with statutory and regulatory requirements in the amount of $1,456 million and $1,395 million as of September 30, 2015 and December 31, 2014 , respectively, based on fair value. The fair value of the Company’s pledged securities to secure its obligations under its CDS exposure totaled $ 333 million and $ 376 million as of September 30, 2015 and December 31, 2014 , respectively. No material investments of the Company were non-income producing for Nine Months 2015 and Nine Months 2014 , 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 8% of the investment portfolio, on a fair value basis as of September 30, 2015 and December 31, 2014 , 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. 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). Internally Managed Portfolio Carrying Value As of As of (in millions) Assets purchased for loss mitigation and other risk management purposes: Fixed-maturity securities, at fair value $ 940 $ 835 Other invested assets 117 46 Other 64 79 Total $ 1,121 $ 960 |
Insurance Company Regulatory Re
Insurance Company Regulatory Requirements | 9 Months Ended |
Sep. 30, 2015 | |
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") and AGC, were notified that the New York State Department of Financial Services ("NYDFS") and the Maryland Insurance Administration (“MIA”) do not object to the AGM Group and AGC, respectively, reassuming all of the outstanding contingency reserves that the AGM Group and AGC had ceded to AG Re and electing to cease ceding future contingency reserves to AG Re. The insurance regulators permitted the AGM Group and AGC to reassume the contingency reserves in increments over three years . In Third Quarter 2015, the AGM Group and AGC each reassumed their respective final installments and as of September 30, 2015, the AGM Group and AGC had collectively reassumed an aggregate of approximately $522 million . With respect to the regular, quarterly contributions to contingency reserves required by the applicable Maryland and New York laws and regulations, such laws and regulations permit the discontinuation of such quarterly contributions to a company’s contingency reserves when such company’s aggregate contingency reserves for a particular line of business (i.e., municipal or non-municipal) exceed the sum of the company’s outstanding principal for each specified category of obligations within the particular line of business multiplied by the specified contingency reserve factor for each such category. In accordance with such laws and regulations, and with the approval of the MIA and the NYDFS, respectively, AGC ceased making quarterly contributions to its contingency reserves for both municipal and non-municipal business and AGM ceased making quarterly contributions to its contingency reserves for non-municipal business, in each case beginning in the fourth quarter of 2014. Such cessations are expected to continue for as long as AGC and AGM satisfy the foregoing condition for their applicable line(s) of business. 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 New York Superintendent of Financial Services ("New York Superintendent") 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) or 100% of its adjusted net investment income during that period. The maximum amount available during 2015 for AGM to distribute as dividends without regulatory approval is estimated to be approximately $215 million , of which approximately $52 million is estimated to be available for distribution in the fourth quarter of 2015. Under Maryland's insurance law, AGC may, with prior notice to the Maryland Insurance Commissioner, pay an ordinary dividend that, together with all dividends paid in the prior 12 months, does not exceed 10% of its policyholders' surplus (as of the prior December 31) or 100% of its adjusted net investment income during that period. The maximum amount available during 2015 for AGC to distribute as ordinary dividends is approximately $90 million , of which approximately $40 million is available for distribution in the fourth quarter of 2015. MAC is a New York domiciled insurance company subject to the same dividend limitations described above for AGM. The Company does not currently anticipate that MAC will distribute any dividends. For AG Re, any distribution (including repurchase of shares) of any share capital, contributed surplus or other statutory capital that would reduce its total statutory capital by 15% or more of its total statutory capital as set out in its previous year's financial statements requires the prior approval of the Bermuda Monetary Authority ("Authority"). Separately, dividends are paid out of an insurer's statutory surplus and cannot exceed that surplus. Further, annual dividends cannot exceed 25% of total statutory capital and surplus as set out in its previous year's financial statements, which is $279 million , without AG Re certifying to the Authority that it will continue to meet required margins. Based on the foregoing limitations, in 2015 AG Re has the capacity to (i) make capital distributions in an aggregate amount up to $127 million without the prior approval of the Authority and (ii) declare and pay dividends in an aggregate amount up to the limit of its outstanding statutory surplus, which is $271 million . Such dividend capacity is further limited by the actual amount of AG Re’s unencumbered assets, which amount changes from time to time due in part to collateral posting requirements. As of September 30, 2015 , AG Re had unencumbered assets of approximately $611 million . 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 2015 2014 2015 2014 (in millions) Dividends paid by AGC to AGUS $ 15 $ 15 $ 50 $ 30 Dividends paid by AGM to AGMH 57 60 163 105 Dividends paid by AG Re to AGL 35 — 120 82 Repayment of surplus note by AGM to AGMH — 25 25 50 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2015 | |
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 manages 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. 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 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 2015. 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 20.25% unless subject to U.S. tax by election or as a U.S. controlled foreign corporation, and no taxes for the Company’s Bermuda subsidiaries unless subject to U.S. tax by election or as a U.S. controlled foreign corporation. For periods subsequent to April 1, 2015, the U.K. corporation tax rate has been reduced to 20% , for the period April 1, 2014 to April 1, 2015 the U.K. corporation tax rate was 21% resulting in a blended tax rate of 20.25% in 2015, and prior to April 1, 2014, the U.K. corporation tax rate was 23% resulting in a blended tax rate of 21.5% in 2014. The Company’s overall 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 2015 2014 2015 2014 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 56 $ 145 $ 276 $ 255 Tax-exempt interest (14 ) (15 ) (41 ) (43 ) Gain on bargain purchase — — (19 ) — Change in liability for uncertain tax positions 10 6 12 7 Other (9 ) (3 ) (8 ) 0 Total provision (benefit) for income taxes $ 43 $ 133 $ 220 $ 219 Effective tax rate 25.0 % 27.3 % 26.0 % 28.3 % 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 2015 2014 2015 2014 (in millions) United States $ 166 $ 419 $ 803 $ 741 Bermuda 12 76 67 57 U.K. (6 ) (7 ) (23 ) (23 ) Total $ 172 $ 488 $ 847 $ 775 Revenue by Tax Jurisdiction Third Quarter Nine Months 2015 2014 2015 2014 (in millions) United States $ 311 $ 420 $ 1,229 $ 908 Bermuda 58 106 209 168 U.K. (1 ) (1 ) (6 ) (3 ) Total $ 368 $ 525 $ 1,432 $ 1,073 Pretax income by jurisdiction may be disproportionate to revenue by jurisdiction to the extent that insurance losses incurred are disproportionate. Valuation Allowance As part of the Radian Asset Acquisition, the Company acquired $11 million of foreign tax credits (“FTC”) which will expire between 2018 and 2020. After reviewing positive and negative evidence, the Company came to the conclusion that it is more likely than not that the FTC credit will not be utilized, and therefore recorded a valuation allowance with respect to this tax attribute. The Company came to the conclusion that it is more likely than not that the remaining 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. 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 2012 forward. The IRS concluded its field work, without adjustment, with respect to tax years through 2009 for AGMH and subsidiaries while members of the Dexia Holdings Inc. consolidated tax group. The Company's U.K. subsidiaries are not currently under examination and have open tax years of 2012 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 $0.7 million for Nine Months 2015 and $1 million for 2014. As of September 30, 2015 and December 31, 2014, the Company has accrued $5.2 million and $4.5 million of interest, respectively. The total amount of unrecognized tax benefits as of September 30, 2015 and December 31, 2014, that would affect the effective tax rate, if recognized, was $39 million and $28 million , respectively. |
Reinsurance and Other Monoline
Reinsurance and Other Monoline Exposures | 9 Months Ended |
Sep. 30, 2015 | |
Insurance [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 ceding companies the right to recapture business they had ceded to AG Re and AGC, 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 business it had ceded to AG Re and/or AGC, and in connection therewith, to receive payment from AG Re or AGC of an amount equal to the 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, 2015 , if each third party insurer 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 $72 million and $37 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 2015 , the Company entered into a commutation agreement to reassume previously ceded U.S. public finance par. 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 2014 reassumptions, the Company received the statutory unearned premium outstanding as of the commutation dates plus, in one case, a commutation premium. 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 2015 2014 2015 2014 (in millions) Premiums Written: Direct $ 41 $ 52 $ 93 $ 100 Assumed (1 ) (5 ) 1 (6 ) Ceded 0 0 2 (22 ) Net $ 40 $ 47 $ 96 $ 72 Premiums Earned: Direct $ 224 $ 151 $ 596 $ 438 Assumed 7 12 29 32 Ceded (18 ) (19 ) (51 ) (58 ) Net $ 213 $ 144 $ 574 $ 412 Loss and LAE: Direct $ 111 $ (58 ) $ 323 $ 46 Assumed 23 11 35 26 Ceded (22 ) 3 (40 ) (18 ) Net $ 112 $ (44 ) $ 318 $ 54 Other Monoline Exposures 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 change based on the rating of the monoline. As of September 30, 2015 , based on fair value, the Company had fixed-maturity securities in its investment portfolio consisting of $258 million insured by National, $217 million insured by Ambac Assurance Corporation ("Ambac") and $31 million insured by other guarantors. Exposure by Reinsurer Ratings at Par Outstanding (1) November 4, 2015 As of September 30, 2015 Reinsurer Moody’s Reinsurer Rating S&P Reinsurer Rating Ceded Par Outstanding Second-to- Pay Insured Par Outstanding Assumed Par Outstanding (dollars in millions) American Overseas Reinsurance Company Limited (f/k/a Ram Re) WR (2) WR $ 5,480 $ — $ 30 Tokio Marine & Nichido Fire Insurance Co., Ltd. Aa3 (3) A+ (3) 4,426 — — Syncora Guarantee Inc. WR WR 3,505 1,538 159 Mitsui Sumitomo Insurance Co. Ltd. A1 A+ (3) 1,854 — — ACA Financial Guaranty Corp. NR (4) WR 714 19 — Ambac WR WR 117 4,370 11,633 National (5) A3 AA- — 5,448 5,259 MBIA (6) (6) — 2,584 449 Financial Guaranty Insurance Co. WR WR — 1,551 674 Ambac Assurance Corp. Segregated Account NR NR — 95 888 CIFG Assurance North America Inc. WR WR — 96 3,663 Other Various Various 215 821 134 Total $ 16,311 $ 16,522 $ 22,889 ____________________ (1) Includes par related to insured credit derivatives. (2) Represents “Withdrawn Rating.” (3) The Company benefits from trust arrangements that satisfy the triple-A credit requirement of S&P and/or Moody’s. (4) Represents “Not Rated.” (5) National is also rated AA+ by KBRA. (6) 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. Amounts Due (To) From Reinsurers As of September 30, 2015 Assumed Premium, net of Commissions Ceded Premium, net of Commissions Assumed Expected Loss to be Paid Ceded Expected Loss to be Paid (in millions) American Overseas Reinsurance Company Limited (f/k/a Ram Re) $ — $ (7 ) $ — $ 25 Tokio Marine & Nichido Fire Insurance Co., Ltd. — (11 ) — 56 Syncora Guarantee Inc. — (26 ) — 6 Mitsui Sumitomo Insurance Co. Ltd. — (3 ) — 23 Ambac 42 — (13 ) — Ambac Assurance Corp. Segregated Account 11 — (68 ) — CIFG Assurance North America Inc. — — (48 ) — MBIA 5 — (10 ) — National 6 — (7 ) — Financial Guaranty Insurance Co. 4 — (10 ) — Other 1 (5 ) — — Total $ 69 $ (52 ) $ (156 ) $ 110 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. Currently, the facility covers losses occurring from January 1, 2015 through December 31, 2021, subject to the payment of certain additional premium by AGC, AGM and MAC on or before January 1, 2016. If AGC, AGM and MAC elect not to pay such additional premium, the facility terminates on January 1, 2016, and those companies are currently considering what actions to take with respect to the facility. 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 paid approximately $19 million of premiums for the term January 1, 2014 through December 31, 2014 and also paid approximately $19 million of premiums for the term January 1, 2015 through December 31, 2015. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Leases AGL and its subsidiaries lease office space and certain other items. AGM entered into an operating lease as of September 30, 2015 for new office space comprising one full floor and one partial floor at 1633 Broadway in New York City. The Company plans to move the headquarters of its U.S. affiliates from 31 West 52 nd Street to this new location during the summer of 2016. The new lease is for approximately 88,000 square feet and runs until 2032, with an option, subject to certain conditions, to renew for five years at a fair market rent. The fixed annual rent, which commences after an initial rent holiday, begins at $6.2 million , rising in two steps to $7.3 million for the last five years of the initial term. In connection with the move and in return for rent abatement and certain other concessions, AGM agreed to terminate, eight months after its new space is delivered, its lease on its existing office space at 31 West 52 nd Street, which had been scheduled to run until 2026 . Legal Proceedings Lawsuits arise in the ordinary course of the Company’s business. It is the opinion of the Company’s management, based upon the information available, that the expected outcome of litigation against the Company, individually or in the aggregate, will not have a material adverse effect on the Company’s financial position or liquidity, although an adverse resolution of litigation against the Company in a fiscal quarter or year could have a material adverse effect on the Company’s results of operations in a particular quarter or year. The Company establishes accruals for litigation and regulatory matters to the extent it is probable that a loss has been incurred and the amount of that loss can be reasonably estimated. For litigation and regulatory matters where a loss may be reasonably possible, but not probable, or is probable but not reasonably estimable, no accrual is established, but if the matter is material, it is disclosed, including matters discussed below. The Company reviews relevant information with respect to its litigation and regulatory matters on a quarterly, and annual basis and updates its accruals, disclosures and estimates of reasonably possible loss based on such reviews. In addition, in the ordinary course of their respective businesses, certain of the Company’s subsidiaries assert claims in legal proceedings against third parties to recover losses paid in prior periods. For example, as described in the "Recovery Litigation" section of Note 6, Expected Loss to be Paid, in December 2008, the Company filed a claim in the Supreme Court of the State of New York against an investment manager in a transaction it insured alleging breach of fiduciary duty, gross negligence and breach of contract; discovery on the matter is ongoing. In the past, AGC and AGM have filed complaints against certain sponsors and underwriters of RMBS securities that AGC or AGM had insured, alleging that such persons had breached representations and warranties 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 of these proceedings during any quarter or year could be material to the Company’s results of operations in that particular quarter or year. Litigation Proceedings Relating to the Company’s Financial Guaranty Business The Company receives subpoenas duces tecum and interrogatories from regulators from time to time. 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. Following defaults by LBIE, AGFP properly terminated the transactions in question in compliance with the requirements of the agreement between AGFP and LBIE, and calculated the termination payment. AGFP calculated that LBIE owes AGFP approximately $29 million in connection with the termination of the credit derivative transactions, whereas LBIE asserted in the complaint that AGFP owes LBIE a termination payment of approximately $1.4 billion . 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. In their April 10, 2015 report to LBIE’s unsecured creditors, LBIE’s administrators disclosed that LBIE's valuation expert has calculated LBIE's damages in aggregate for the 28 transactions to range between a minimum of approximately $200 million and a maximum of approximately $500 million , depending on what adjustment, if any, is made for AGFP's credit risk and excluding any applicable interest. Discovery has been ongoing. Notwithstanding the range calculated by LBIE's valuation expert, 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 of the MASTR Adjustable Rate Mortgages Trust 2007-3, 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 in respect of insured certificates. 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. On May 28, 2014, Houston Casualty Company Europe, Seguros y Reseguros, S.A. (“HCCE”) notified Radian Asset that it was demanding arbitration against Radian Asset in connection with housing cooperative losses presented to Radian Asset by HCCE under several years of quota-share surety reinsurance contracts. HCCE claims AGC, as successor to Radian Asset, is required to pay to it, as ceding company, among other amounts, its share of certain current and future housing cooperative losses, together with certain fees, expenses and costs relating thereto. HCCE has presented approximately €15 million in claims to AGC through September 30, 2015 and is still in the process of settling additional similar claims. Based on the experience to date, AGC estimates HCCE may submit additional claims of approximately €2.9 million under the reinsurance contracts. AGC is disputing the claims and intends to assert its defenses in the arbitration. The reinsurance contracts provide for arbitration in Madrid and are governed by Spanish law. Arbitration proceedings may commence in early 2016. Proceedings Resolved Since December 31, 2014 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 sought 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 . On January 30, 2015, the parties signed an agreement pursuant to which LBHI and LBSF dismissed their litigation related to CPT 283's and CPT 207's CDS terminations and the parties agreed that CPT 283 and CPT 207 have a total allowed claim in bankruptcy against LBSF and LBHI of $20 million . 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 has been 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. Pursuant to that subpoena, AGMH has furnished to the Department of Justice records and other information with respect to AGMH’s municipal GIC business. The ultimate loss that may arise from these investigations remains uncertain. 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 for these five cases, 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. On September 22, 2015, the remaining parties to the putative class action reported to the MDL 1950 Court that settlements in principle had been reached. The parties also reported that final settlement with those remaining defendants would resolve the putative class case. 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; one has since been voluntarily dismissed with prejudice, leaving five : (f) City of Riverside, California v. Bank of America, N.A. ; (g) Los Angeles World Airports v. Bank of America, N.A. ; (h) Redevelopment Agency of the City of Stockton v. Bank of America, N.A. ; (i) Sacramento Suburban Water District v. Bank of America, N.A. ; and (j) County of Tulare, California v. Bank of America, N.A. The MDL 1950 court denied AGM and AGUS’s motions to dismiss these ten complaints in April 2010. Amended complaints were filed in May 2010. 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. |
Long-Term Debt and Credit Facil
Long-Term Debt and Credit Facilities | 9 Months Ended |
Sep. 30, 2015 | |
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, 2015 As of December 31, 2014 Principal Carrying Value Principal Carrying Value (in millions) AGUS: 7.0% Senior Notes $ 200 $ 198 $ 200 $ 198 5.0% Senior Notes 500 499 500 499 Series A Enhanced Junior Subordinated Debentures 150 150 150 150 Total AGUS 850 847 850 847 AGMH: 6 7 / 8 % QUIBS 100 69 100 68 6.25% Notes 230 140 230 139 5.60% Notes 100 55 100 55 Junior Subordinated Debentures 300 180 300 175 Total AGMH 730 444 730 437 AGM: Notes Payable 13 15 16 19 Total AGM 13 15 16 19 Total $ 1,593 $ 1,306 $ 1,596 $ 1,303 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, 2015 . 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, 2015 , 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 the original maturity date of 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, 2015 . 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, 2015 , no amounts were outstanding under this facility, nor have there been any borrowings during the life of this facility. Intercompany Credit Facility and Intercompany Debt On October 25, 2013, AGL, as borrower, and AGUS, as lender, entered into a revolving credit facility pursuant to which AGL may, from time to time, borrow for general corporate purposes. Under the credit facility, AGUS committed to lend a principal amount not exceeding $225 million in the aggregate. Such commitment terminates on October 25, 2018 (the “loan termination date”). The unpaid principal amount of each loan will bear interest at a fixed rate equal to 100% of the then applicable Federal short-term or mid-term interest rate, as the case may be, as determined under Internal Revenue Code Sec. 1274(d), and interest on all loans will be computed for the actual number of days elapsed on the basis of a year consisting of 360 days. Accrued interest on all loans will be paid on the last day of each June and December, beginning on December 31, 2013, and at maturity. AGL must repay the then unpaid principal amounts of the loans by the third anniversary of the loan termination date. No amounts are currently outstanding under the credit facility. On March 30, 2015, AGUS loaned $200 million to AGC to facilitate the acquisition of Radian Asset on April 1, 2015. AGC repaid the loan in full on April 14, 2015. In addition, in 2012 AGUS borrowed $90 million from its affiliate AGRO to fund the acquisition of MAC. That loan remained outstanding as of September 30, 2015 . Committed Capital Securities On April 8, 2005, AGC entered into separate agreements (the “Put Agreements”) with four custodial trusts (each, a “Custodial Trust”) pursuant to which AGC may, at its option, cause each of the Custodial Trusts to purchase up to $ 50 million of perpetual preferred stock of AGC (the “AGC Preferred Stock”). The custodial trusts were created as a vehicle for providing capital support to AGC by allowing AGC to obtain immediate access to new capital at its sole discretion at any time through the exercise of the put option. If the put options were exercised, AGC would receive $ 200 million in return for the issuance of its own perpetual preferred stock, the proceeds of which may be used for any purpose, including the payment of claims. The put options have not been exercised through the date of this filing. Distributions on the AGC CCS are determined pursuant to an auction process. On April 7, 2008 this auction process failed, thereby increasing the annualized rate on the AGC CCS to one-month LIBOR plus 250 basis points. Distributions on the AGC preferred stock will be determined pursuant to the same process. In June 2003, $ 200 million of “AGM CPS”, money market preferred trust securities, were issued by trusts created for the primary purpose of issuing the AGM CPS, investing the proceeds in high-quality commercial paper and selling put options to AGM, allowing AGM to issue the trusts non-cumulative redeemable perpetual preferred stock (the “AGM Preferred Stock”) of AGM in exchange for cash. There are four trusts, each with an initial aggregate face amount of $ 50 million . These trusts hold auctions every 28 days, at which time investors submit bid orders to purchase AGM CPS. If AGM were to exercise a put option, the applicable trust would transfer the portion of the proceeds attributable to principal received upon maturity of its assets, net of expenses, to AGM in exchange for AGM Preferred Stock. AGM pays a floating put premium to the trusts, which represents the difference between the commercial paper yield and the winning auction rate (plus all fees and expenses of the trust). If an auction does not attract sufficient clearing bids, however, the auction rate is subject to a maximum rate of one-month LIBOR plus 200 basis points for the next succeeding distribution period. Beginning in August 2007, the AGM CPS required the maximum rate for each of the relevant trusts. AGM continues to have the ability to exercise its put option and cause the related trusts to purchase AGM Preferred Stock. The trusts provide AGM access to new capital at its sole discretion through the exercise of the put options. As of September 30, 2015 the put option had not been exercised. The Company does not consider itself to be the primary beneficiary of the trusts. See Note 8, Fair Value Measurement, –Other Assets–Committed Capital Securities, for a fair value measurement discussion. |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2015 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share Computation of Earnings Per Share Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Basic earnings per share ("EPS"): Net income (loss) attributable to AGL $ 129 $ 355 $ 627 $ 556 Less: Distributed and undistributed income (loss) available to nonvested shareholders 0 1 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 129 $ 354 $ 627 $ 556 Basic shares 145.8 168.8 150.7 176.4 Basic EPS $ 0.88 $ 2.10 $ 4.16 $ 3.15 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 129 $ 354 $ 627 $ 556 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 $ 129 $ 354 $ 627 $ 556 Basic shares 145.8 168.8 150.7 176.4 Effect of dilutive securities: Options and restricted stock awards 0.7 0.9 0.9 1.0 Diluted shares 146.5 169.7 151.6 177.4 Diluted EPS $ 0.88 $ 2.09 $ 4.13 $ 3.13 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 1.3 1.9 0.7 1.6 |
Shareholders' Equity
Shareholders' Equity | 9 Months Ended |
Sep. 30, 2015 | |
Equity [Abstract] | |
Shareholders' Equity | Shareholders' Equity Other Comprehensive Income The following tables present the changes in each component of AOCI 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 2015 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, June 30, 2015 $ 236 $ 4 $ (9 ) $ 8 $ 239 Other comprehensive income (loss) before reclassifications 41 (15 ) (4 ) — 22 Amounts reclassified from AOCI to: Net realized investment gains (losses) 10 17 — — 27 Net investment income (9 ) — — — (9 ) Interest expense — — — 0 0 Total before tax 1 17 — 0 18 Tax (provision) benefit 0 (6 ) — 0 (6 ) Total amount reclassified from AOCI, net of tax 1 11 — 0 12 Net current period other comprehensive income (loss) 42 (4 ) (4 ) 0 34 Balance, September 30, 2015 $ 278 $ 0 $ (13 ) $ 8 $ 273 Changes in Accumulated Other Comprehensive Income by Component Third Quarter 2014 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other 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 (loss) (8 ) 14 (5 ) 0 1 Balance, September 30, 2014 $ 337 $ (8 ) $ (4 ) $ 8 $ 333 Changes in Accumulated Other Comprehensive Income by Component Nine Months 2015 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2014 $ 367 $ 4 $ (10 ) $ 9 $ 370 Other comprehensive income (loss) before reclassifications (77 ) (23 ) (3 ) — (103 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (9 ) 29 — — 20 Net investment income (9 ) — — — (9 ) Interest expense — — — (1 ) (1 ) Total before tax (18 ) 29 — (1 ) 10 Tax (provision) benefit 6 (10 ) — 0 (4 ) Total amount reclassified from AOCI, net of tax (12 ) 19 — (1 ) 6 Net current period other comprehensive income (loss) (89 ) (4 ) (3 ) (1 ) (97 ) Balance, September 30, 2015 $ 278 $ 0 $ (13 ) $ 8 $ 273 Changes in Accumulated Other Comprehensive Income by Component Nine Months 2014 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other 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: 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 (loss) 159 16 (1 ) (1 ) 173 Balance, September 30, 2014 $ 337 $ (8 ) $ (4 ) $ 8 $ 333 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 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 2014 (October 1 - December 31) 6,388,187 152 23.83 Total 2014 24,413,781 590 24.17 2015 (January 1 - March 31) 5,860,291 152 25.87 2015 (April 1 - June 30) 4,737,388 133 28.13 2015 (July 1 - September 30) 5,362,103 135 25.17 Total 2015 (through September 30) 15,959,782 420 26.31 2015 (October 1 through November 5) 1,750,310 48 27.16 Total 2015 17,710,092 468 26.39 Cumulative repurchases since the beginning of 2013 54,636,632 $ 1,322 $ 24.19 As of November 5, 2015, approximately $143 million of capacity remains from the May 6, 2015 $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. |
Subsidiary Information
Subsidiary Information | 9 Months Ended |
Sep. 30, 2015 | |
Subsidiary Information [abstract] | |
Subsidiary Information | Subsidiary Information The following tables present the condensed consolidating financial information for AGUS and AGMH, 100%-owned subsidiaries of AGL, which have issued publicly traded debt securities (see Note 16, Long Term Debt and Credit Facilities). The information for AGL, AGUS and AGMH presents its subsidiaries on the equity method of accounting. CONDENSED CONSOLIDATING BALANCE SHEET AS OF SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 100 $ 61 $ 22 $ 11,595 $ (369 ) $ 11,409 Investment in subsidiaries 5,696 5,348 4,042 369 (15,455 ) — Premiums receivable, net of commissions payable — — — 814 (138 ) 676 Ceded unearned premium reserve — — — 1,316 (1,053 ) 263 Deferred acquisition costs — — — 182 (64 ) 118 Reinsurance recoverable on unpaid losses — — — 461 (372 ) 89 Credit derivative assets — — — 249 (178 ) 71 Deferred tax asset, net — 37 — 517 (128 ) 426 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,547 — 1,547 Other 28 107 39 599 (338 ) 435 TOTAL ASSETS $ 5,824 $ 5,553 $ 4,103 $ 17,739 $ (18,185 ) $ 15,034 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 5,285 $ (1,173 ) $ 4,112 Loss and LAE reserve — — — 1,438 (431 ) 1,007 Long-term debt — 847 444 15 — 1,306 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 1,096 (178 ) 918 Deferred tax liabilities, net — — 91 — (91 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,482 — 1,482 Other 5 24 20 816 (475 ) 390 TOTAL LIABILITIES 5 961 555 10,432 (2,738 ) 9,215 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 5,819 4,592 3,548 6,938 (15,078 ) 5,819 Noncontrolling interest — — — 369 (369 ) — TOTAL SHAREHOLDERS' EQUITY 5,819 4,592 3,548 7,307 (15,447 ) 5,819 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 5,824 $ 5,553 $ 4,103 $ 17,739 $ (18,185 ) $ 15,034 CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 126 $ 204 $ 47 $ 11,382 $ (300 ) $ 11,459 Investment in subsidiaries 5,612 5,072 3,965 339 (14,988 ) — Premiums receivable, net of commissions payable — — — 864 (135 ) 729 Ceded unearned premium reserve — — — 1,469 (1,088 ) 381 Deferred acquisition costs — — — 186 (65 ) 121 Reinsurance recoverable on unpaid losses — — — 338 (260 ) 78 Credit derivative assets — — — 277 (209 ) 68 Deferred tax asset, net — 54 — 295 (89 ) 260 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,402 — 1,402 Other 27 77 27 538 (242 ) 427 TOTAL ASSETS $ 5,765 $ 5,407 $ 4,039 $ 17,180 $ (17,466 ) $ 14,925 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 5,328 $ (1,067 ) $ 4,261 Loss and LAE reserve — — — 1,066 (267 ) 799 Long-term debt — 847 437 19 — 1,303 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 1,172 (209 ) 963 Deferred tax liabilities, net — — 94 — (94 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,419 — 1,419 Other 7 9 16 764 (374 ) 422 TOTAL LIABILITIES 7 946 547 10,068 (2,401 ) 9,167 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 5,758 4,461 3,492 6,773 (14,726 ) 5,758 Noncontrolling interest — — — 339 (339 ) — TOTAL SHAREHOLDERS’ EQUITY 5,758 4,461 3,492 7,112 (15,065 ) 5,758 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 5,765 $ 5,407 $ 4,039 $ 17,180 $ (17,466 ) $ 14,925 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 219 $ (6 ) $ 213 Net investment income 0 0 0 113 (1 ) 112 Net realized investment gains (losses) 0 0 0 (22 ) (5 ) (27 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 6 0 6 Net unrealized gains (losses) — — — 81 (1 ) 80 Net change in fair value of credit derivatives — — — 87 (1 ) 86 Bargain purchase gain and settlement of pre-existing relationships — — — — — — Other 0 — — (16 ) — (16 ) TOTAL REVENUES 0 0 0 381 (13 ) 368 EXPENSES Loss and LAE — — — 114 (2 ) 112 Amortization of deferred acquisition costs — — — 8 (3 ) 5 Interest expense — 13 13 4 (5 ) 25 Other operating expenses 7 0 1 47 (1 ) 54 TOTAL EXPENSES 7 13 14 173 (11 ) 196 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (13 ) (14 ) 208 (2 ) 172 Total (provision) benefit for income taxes — 5 5 (55 ) 2 (43 ) Equity in net earnings of subsidiaries 136 126 133 10 (405 ) — NET INCOME (LOSS) $ 129 $ 118 $ 124 $ 163 $ (405 ) $ 129 Less: noncontrolling interest — — — 10 (10 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 129 $ 118 $ 124 $ 153 $ (395 ) $ 129 COMPREHENSIVE INCOME (LOSS) $ 163 $ 138 $ 139 $ 199 $ (476 ) $ 163 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (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 ) — (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 NINE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 585 $ (11 ) $ 574 Net investment income 0 0 0 318 (7 ) 311 Net realized investment gains (losses) 0 0 1 (13 ) (8 ) (20 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 35 0 35 Net unrealized gains (losses) — — — 292 (27 ) 265 Net change in fair value of credit derivatives — — — 327 (27 ) 300 Bargain purchase gain and settlement of pre-existing relationships — — — 54 160 214 Other 0 0 — 53 0 53 TOTAL REVENUES 0 0 1 1,324 107 1,432 EXPENSES Loss and LAE — — — 316 2 318 Amortization of deferred acquisition costs — — — 22 (7 ) 15 Interest expense — 39 40 11 (14 ) 76 Other operating expenses 24 1 1 152 (2 ) 176 TOTAL EXPENSES 24 40 41 501 (21 ) 585 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (24 ) (40 ) (40 ) 823 128 847 Total (provision) benefit for income taxes — 14 14 (205 ) (43 ) (220 ) Equity in net earnings of subsidiaries 651 594 347 30 (1,622 ) — NET INCOME (LOSS) $ 627 $ 568 $ 321 $ 648 $ (1,537 ) $ 627 Less: noncontrolling interest — — — 30 (30 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 627 $ 568 $ 321 $ 618 $ (1,507 ) $ 627 COMPREHENSIVE INCOME (LOSS) $ 530 $ 482 $ 269 $ 554 $ (1,305 ) $ 530 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (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 CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 451 $ 209 $ 134 $ 99 $ (932 ) $ (39 ) Cash flows from investing activities Fixed-maturity securities: Purchases — (72 ) (8 ) (1,830 ) 66 (1,844 ) Sales — 170 27 1,522 — 1,719 Maturities — 8 — 627 — 635 Sales (purchases) of short-term investments, net 26 42 4 679 — 751 Net proceeds from financial guaranty variable entities’ assets — — — 114 — 114 Intercompany debt — — — — — — Investment in subsidiary — — 25 — (25 ) — Acquisition of Radian Asset, net of cash acquired — — — (800 ) — (800 ) Other — (5 ) — 64 — 59 Net cash flows provided by (used in) investing activities 26 143 48 376 41 634 Cash flows from financing activities Return of capital — — — (25 ) 25 — Dividends paid (55 ) (351 ) (182 ) (333 ) 866 (55 ) Repurchases of common stock (420 ) — — — — (420 ) Share activity under option and incentive plans (2 ) — — — — (2 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (122 ) — (122 ) Payment of long-term debt — — — (3 ) — (3 ) Intercompany debt — — — — — — Net cash flows provided by (used in) financing activities (477 ) (351 ) (182 ) (483 ) 891 (602 ) Effect of exchange rate changes — — — (2 ) — (2 ) Increase (decrease) in cash — 1 — (10 ) — (9 ) Cash at beginning of period 0 0 4 71 — 75 Cash at end of period $ 0 $ 1 $ 4 $ 61 $ — $ 66 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 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 Intercompany debt — — — — — — 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 ) Intercompany debt — — — — — — 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 |
Business and Basis of Present29
Business and Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 2015 | |
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 variable interest entities (“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, 2015 and cover the three-month period ended September 30, 2015 (" Third Quarter 2015 "), the three-month period ended September 30, 2014 (" Third Quarter 2014 "), the nine-month period ended September 30, 2015 (" Nine Months 2015 ") and the nine-month period ended September 30, 2014 (" Nine Months 2014 "). 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 VIEs. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. |
Future Application of Accounting Standards | Future Application of Accounting Standards Consolidation In February 2015, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis , which is intended to improve certain areas of consolidation guidance for legal entities such as limited partnerships, limited liability companies, and securitization structures. The ASU will be effective on January 1, 2016. Early adoption is permitted, including adoption in an interim period. The Company does not expect that ASU 2015-02 will have any material effect on its Consolidated Financial Statements. Interest In April 2015, the FASB issued ASU No. 2015-03, Interest - Imputation of Interest (Topic 835-30): Simplifying the Presentation of Debt Issuance Costs , which requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The ASU will be effective on January 1, 2016 and should be applied retrospectively. The adoption of this ASU will require the Company to reclassify its debt issuance costs from other assets to long-term debt on the Consolidated Balance Sheet. |
Business Combinations | Radian Asset Acquisition was accounted for under the acquisition method of accounting which required that the assets and liabilities acquired be recorded at fair value. The Company was required to exercise significant judgment to determine the fair value of the assets it acquired and liabilities it assumed in the Radian Asset Acquisition. The most significant of these determinations related to the valuation of Radian Asset's financial guaranty insurance and credit derivative contracts. On an aggregate basis, Radian Asset’s contractual premiums for financial guaranty contracts were less than the premiums a market participant of similar credit quality would demand to acquire those contracts at the Acquisition Date, particularly for below-investment-grade transactions, resulting in a significant amount of the purchase price being allocated to these contracts. For information on the methodology the Company used to measure the fair value of assets it acquired and liabilities it assumed in the Radian Asset Acquisition, including financial guaranty insurance and credit derivative contracts, please refer to Note 8, Fair Value Measurement. The fair value of the Company's stand-ready obligation for financial guaranty insurance contracts on the Acquisition Date is recorded in unearned premium reserve. At the Acquisition Date, the fair value of each financial guaranty insurance contract acquired was in excess of the expected losses for each contract and therefore no explicit loss reserves were recorded on the Acquisition Date. Instead, loss reserves and loss and loss adjustment expenses ("LAE") will be recorded when the expected losses for each contract exceeds the remaining unearned premium reserve, in accordance with the Company's accounting policy described in the Annual Report on Form 10-K. The expected losses acquired by the Company as part of the Radian Asset Acquisition are included in the description of expected losses to be paid under Note 6, Expected Losses to be Paid. The excess of the fair value of net assets acquired over the consideration transferred was recorded as a bargain purchase gain in "bargain purchase gain and settlement of pre-existing relationships" in net income. In addition, the Company and Radian Asset had pre-existing reinsurance relationships, which were also effectively settled at fair value on the Acquisition Date. The gain on settlement of these pre-existing reinsurance relationships represents the net difference between the historical ceded balances that were recorded by AGM and the fair value of assumed balances acquired from Radian. |
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 2015 , 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 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. |
Acquisition of Radian Asset A30
Acquisition of Radian Asset Assurance Inc. (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Business Combinations [Abstract] | |
Schedule of fair values of assets and liabilities acquired from acquisition | The following table shows the net effect of the Radian Asset Acquisition at the Acquisition Date, including the effects of the settlement of pre-existing relationships. Fair Value of Net Assets Acquired, before Settlement of Pre-existing Relationships Net effect of Settlement of Pre-existing Relationships Net Effect of Radian Asset Acquisition (in millions) Cash purchase price(1) $ 804 $ — $ 804 Identifiable assets acquired: Investments 1,473 — 1,473 Cash 4 — 4 Ceded unearned premium reserve (3 ) (65 ) (68 ) Credit derivative assets 30 — 30 Deferred tax asset, net 263 (56 ) 207 Financial guaranty VIE assets 122 — 122 Other assets 86 (67 ) 19 Total assets 1,975 (188 ) 1,787 Liabilities assumed: Unearned premium reserves 697 (216 ) 481 Credit derivative liabilities 271 (26 ) 245 Financial guaranty VIE liabilities 118 — 118 Other liabilities 30 (49 ) (19 ) Total liabilities 1,116 (291 ) 825 Net asset effect of Radian Asset Acquisition 859 103 962 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax 55 103 158 Deferred tax — 56 56 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, pre-tax $ 55 $ 159 $ 214 _____________________ (1) The cash purchase price of $804 million was the cash transferred for the acquisition which was allocated as follows: (1) $987 million for the purchase of net assets of $1,042 million , and (2) the settlement of pre-existing relationships between Radian and Assured Guaranty at a fair value of $(183) million . |
Schedule of settlement of pre-existing relationships | The following table shows the net effect of the Radian Asset Acquisition at the Acquisition Date, including the effects of the settlement of pre-existing relationships. Fair Value of Net Assets Acquired, before Settlement of Pre-existing Relationships Net effect of Settlement of Pre-existing Relationships Net Effect of Radian Asset Acquisition (in millions) Cash purchase price(1) $ 804 $ — $ 804 Identifiable assets acquired: Investments 1,473 — 1,473 Cash 4 — 4 Ceded unearned premium reserve (3 ) (65 ) (68 ) Credit derivative assets 30 — 30 Deferred tax asset, net 263 (56 ) 207 Financial guaranty VIE assets 122 — 122 Other assets 86 (67 ) 19 Total assets 1,975 (188 ) 1,787 Liabilities assumed: Unearned premium reserves 697 (216 ) 481 Credit derivative liabilities 271 (26 ) 245 Financial guaranty VIE liabilities 118 — 118 Other liabilities 30 (49 ) (19 ) Total liabilities 1,116 (291 ) 825 Net asset effect of Radian Asset Acquisition 859 103 962 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax 55 103 158 Deferred tax — 56 56 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, pre-tax $ 55 $ 159 $ 214 _____________________ (1) The cash purchase price of $804 million was the cash transferred for the acquisition which was allocated as follows: (1) $987 million for the purchase of net assets of $1,042 million , and (2) the settlement of pre-existing relationships between Radian and Assured Guaranty at a fair value of $(183) million . |
Schedule of business combination related expenses | Radian Asset Acquisition-Related Expenses Nine Months 2015 (in millions) Professional services $ 2 Financial advisory fees 10 Total $ 12 |
Schedule of unaudited pro forma results of operations | Pro Forma Unaudited Results of Operations Nine Months 2015 Nine Months 2014 (in millions, except per share amounts) Pro forma revenues $ 1,255 $ 1,542 Pro forma net income 493 958 Pro forma earnings per share: Basic 3.27 5.43 Diluted 3.25 5.40 |
Outstanding Exposure (Tables)
Outstanding Exposure (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Schedule of Insured Financial Obligations [Line Items] | |
Debt Service Outstanding | The Company excludes amounts attributable to loss mitigation securities (unless otherwise indicated) from par and Debt Service outstanding, because it manages such securities as investments and not insurance exposure. Financial Guaranty Debt Service Outstanding Gross Debt Service Outstanding Net Debt Service Outstanding September 30, December 31, September 30, December 31, (in millions) Public finance $ 532,771 $ 587,245 $ 509,645 $ 553,612 Structured finance 49,272 59,477 46,736 56,010 Total financial guaranty $ 582,043 $ 646,722 $ 556,381 $ 609,622 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating As of September 30, 2015 Public Finance U.S. Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Category Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 3,067 1.0 % $ 702 2.4 % $ 16,730 (3) 47.2 % $ 3,028 49.7 % $ 23,527 6.3 % AA 73,224 24.3 2,416 8.0 8,624 24.3 322 5.3 84,586 22.7 A 168,963 56.2 6,906 22.9 2,279 6.5 332 5.4 178,480 48.0 BBB 45,998 15.3 18,565 61.7 1,744 4.9 1,850 30.4 68,157 18.3 BIG 9,480 3.2 1,514 5.0 6,058 17.1 559 9.2 17,611 4.7 Total net par outstanding (1)(2) $ 300,732 100.0 % $ 30,103 100.0 % $ 35,435 100.0 % $ 6,091 100.0 % $ 372,361 100.0 % _____________________ (1) Excludes $1.6 billion of loss mitigation securities insured and held by the Company as of September 30, 2015 , which are primarily BIG. (2) The September 30, 2015 amounts include $12.4 billion of net par acquired from Radian Asset. (3) Includes $1,351 million net par in the form of CDS that was upgraded from BIG as of September 30, 2015, in anticipation of the termination of such CDS that occurred early in the fourth quarter of 2015. In the fourth quarter of 2015, the exposure will be removed. Financial Guaranty Portfolio by Internal Rating As of December 31, 2014 Public Finance U.S. Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Category Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 4,082 1.3 % $ 615 2.0 % $ 20,037 48.7 % $ 5,409 59.6 % $ 30,143 7.5 % AA 90,464 28.1 2,785 8.9 8,213 19.9 503 5.5 101,965 25.3 A 176,298 54.7 7,192 22.9 2,940 7.1 445 4.9 186,875 46.3 BBB 43,429 13.5 19,363 61.7 1,795 4.4 1,912 21.1 66,499 16.4 BIG 7,850 2.4 1,404 4.5 8,186 19.9 807 8.9 18,247 4.5 Total net par outstanding (1) $ 322,123 100.0 % $ 31,359 100.0 % $ 41,171 100.0 % $ 9,076 100.0 % $ 403,729 100.0 % _____________________ (1) Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014 , which are primarily BIG. |
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) | Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of September 30, 2015 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 7,132 $ 2,212 $ 136 $ 9,480 $ 300,732 Non-U.S. public finance 913 601 — 1,514 30,103 Structured finance: First lien U.S. residential mortgage-backed securities ("RMBS"): Prime first lien 228 57 27 312 465 Alt-A first lien 106 77 638 821 2,189 Option ARM 48 8 95 151 308 Subprime 153 474 709 1,336 3,759 Second lien U.S. RMBS: Closed-end second lien — 19 109 128 203 Home equity lines of credit (“HELOCs”) 609 36 737 1,382 1,476 Total U.S. RMBS 1,144 671 2,315 4,130 8,400 Triple-X life insurance transactions — — 216 216 2,750 Trust preferred securities (“TruPS”) 549 291 — 840 4,647 Student loans — 80 85 165 1,823 Other structured finance 1,061 165 40 1,266 23,906 Total $ 10,799 $ 4,020 $ 2,792 $ 17,611 $ 372,361 Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of December 31, 2014 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 6,577 $ 1,156 $ 117 $ 7,850 $ 322,123 Non-U.S. public finance 1,402 2 — 1,404 31,359 Structured finance: First lien U.S. RMBS: Prime first lien 68 33 252 353 471 Alt-A first lien 585 531 725 1,841 2,532 Option ARM 47 18 118 183 407 Subprime 156 654 765 1,575 4,051 Second lien U.S. RMBS: Closed-end second lien — 19 115 134 218 HELOCs 1,012 36 509 1,557 1,738 Total U.S. RMBS 1,868 1,291 2,484 5,643 9,417 Triple-X life insurance transactions — — 598 598 3,133 TruPS 997 — 336 1,333 4,326 Student loans 14 68 113 195 1,857 Other structured finance 1,007 172 45 1,224 31,514 Total $ 11,865 $ 2,689 $ 3,693 $ 18,247 $ 403,729 |
BIG Net Par Outstanding and Number of Risks | The following table provides information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 2015 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 239 (50 ) 87 (13 ) 125 (41 ) 451 — 451 Remaining weighted-average contract period (in years) 9.9 6.8 11.0 9.2 8.0 6.2 10.2 — 10.2 Outstanding exposure: Principal $ 11,001 $ (1,449 ) $ 3,673 $ (263 ) $ 2,780 $ (160 ) $ 15,582 $ — $ 15,582 Interest 5,676 (509 ) 2,102 (118 ) 926 (34 ) 8,043 — 8,043 Total(2) $ 16,677 $ (1,958 ) $ 5,775 $ (381 ) $ 3,706 $ (194 ) $ 23,625 $ — $ 23,625 Expected cash outflows (inflows) $ 1,809 $ (566 ) $ 1,110 $ (67 ) $ 1,402 $ (44 ) $ 3,644 $ (333 ) $ 3,311 Potential recoveries Undiscounted R&W 42 (1 ) (49 ) 1 (94 ) 5 (96 ) 8 (88 ) Other(3) (1,663 ) 514 (258 ) 11 (467 ) 18 (1,845 ) 173 (1,672 ) Total potential recoveries (1,621 ) 513 (307 ) 12 (561 ) 23 (1,941 ) 181 (1,760 ) Subtotal 188 (53 ) 803 (55 ) 841 (21 ) 1,703 (152 ) 1,551 Discount (21 ) 8 (194 ) 10 (158 ) (86 ) (441 ) 35 (406 ) Present value of expected cash flows $ 167 $ (45 ) $ 609 $ (45 ) $ 683 $ (107 ) $ 1,262 $ (117 ) $ 1,145 Deferred premium revenue $ 510 $ (47 ) $ 144 $ (4 ) $ 333 $ (26 ) $ 910 $ (103 ) $ 807 Reserves (salvage) $ 30 $ (36 ) $ 502 $ (42 ) $ 389 $ (7 ) $ 836 $ (72 ) $ 764 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2014 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 164 (59 ) 75 (15 ) 119 (38 ) 358 — 358 Remaining weighted-average contract period (in years) 9.9 7.4 10.1 8.9 9.6 6.9 10.3 — 10.3 Outstanding exposure: Principal $ 12,358 $ (2,163 ) $ 2,421 $ (286 ) $ 3,067 $ (175 ) $ 15,222 $ — $ 15,222 Interest 6,350 (838 ) 1,274 (121 ) 1,034 (48 ) 7,651 — 7,651 Total(2) $ 18,708 $ (3,001 ) $ 3,695 $ (407 ) $ 4,101 $ (223 ) $ 22,873 $ — $ 22,873 Expected cash outflows (inflows) $ 1,762 $ (626 ) $ 763 $ (77 ) $ 1,716 $ (75 ) $ 3,463 $ (345 ) $ 3,118 Potential recoveries Undiscounted R&W (39 ) 0 (48 ) 2 (171 ) 9 (247 ) 8 (239 ) Other(3) (1,687 ) 608 (206 ) 5 (404 ) 30 (1,654 ) 177 (1,477 ) Total potential recoveries (1,726 ) 608 (254 ) 7 (575 ) 39 (1,901 ) 185 (1,716 ) Subtotal 36 (18 ) 509 (70 ) 1,141 (36 ) 1,562 (160 ) 1,402 Discount 3 0 (117 ) 11 (353 ) 9 (447 ) 34 (413 ) Present value of expected cash flows $ 39 $ (18 ) $ 392 $ (59 ) $ 788 $ (27 ) $ 1,115 $ (126 ) $ 989 Deferred premium revenue $ 378 $ (70 ) $ 119 $ (6 ) $ 312 $ (33 ) $ 700 $ (116 ) $ 584 Reserves (salvage) $ (42 ) $ (5 ) $ 278 $ (53 ) $ 482 $ (10 ) $ 650 $ (79 ) $ 571 ____________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. (2) Includes BIG amounts related to FG VIEs. (3) Includes excess spread and draws on HELOCs. |
Net Direct Economic Exposure to Selected European Countries | Net Direct Economic Exposure to Selected European Countries(1) As of September 30, 2015 Hungary Italy Portugal Spain Total (in millions) Sovereign and sub-sovereign exposure: Non-infrastructure public finance (2) $ — $ 815 $ 89 $ 256 $ 1,160 Infrastructure finance 279 11 — 123 413 Total sovereign and sub-sovereign exposure 279 826 89 379 1,573 Non-sovereign exposure: Regulated utilities — 218 — — 218 RMBS and other structured finance 176 254 — 13 443 Total non-sovereign exposure 176 472 — 13 661 Total $ 455 $ 1,298 $ 89 $ 392 $ 2,234 Total BIG (See Note 6) $ 385 $ — $ 89 $ 392 $ 866 ____________________ (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. |
Schedule Of Insured Financial Obligations With Outstanding Principal Amount With Below Investment Grade [Table Text Block] | BIG Net Par Outstanding and Number of Risks As of September 30, 2015 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 9,552 $ 1,247 $ 10,799 239 13 252 Category 2 3,410 610 4,020 87 8 95 Category 3 2,620 172 2,792 125 12 137 Total BIG $ 15,582 $ 2,029 $ 17,611 451 33 484 BIG Net Par Outstanding and Number of Risks As of December 31, 2014 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 10,195 $ 1,670 $ 11,865 164 18 182 Category 2 2,135 554 2,689 75 14 89 Category 3 2,892 801 3,693 119 24 143 Total BIG $ 15,222 $ 3,025 $ 18,247 358 56 414 _____________________ (1) Includes net par outstanding for VIEs. (2) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. |
Puerto Rico [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
BIG Net Par Outstanding and Number of Risks | Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of September 30, 2015 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization Previously Subject to the Voided Recovery Act Not Previously Subject to the Voided Recovery Act Total Previously Subject to the Voided Recovery Act Not Previously Subject to the Voided Recovery Act Total (in millions) 2015 (October 1 - December 31) $ 0 $ 33 $ 33 $ 2 $ 34 $ 36 2016 98 204 302 229 330 559 2017 51 171 222 175 289 464 2018 56 123 179 178 232 410 2019 74 130 204 192 232 424 2020 87 183 270 202 280 482 2021 66 59 125 176 147 323 2022 47 68 115 153 152 305 2023 110 41 151 214 123 337 2024 89 85 174 188 164 352 2025-2029 619 395 1,014 1,032 723 1,755 2030-2034 506 474 980 788 713 1,501 2035 -2039 429 284 713 569 384 953 2040 -2044 97 266 363 171 297 468 2045 -2047 246 — 246 272 — 272 Total $ 2,575 $ 2,516 $ 5,091 $ 4,541 $ 4,100 $ 8,641 |
Gross Par and Gross Debt Service Outstanding | Puerto Rico Gross Par and Gross Debt Service Outstanding Gross Par Outstanding Gross Debt Service Outstanding September 30, December 31, September 30, December 31, (in millions) Previously Subject to the Voided Recovery Act (1) $ 2,965 $ 3,058 $ 5,164 $ 5,326 Not Previously Subject to the Voided Recovery Act 2,833 2,977 4,520 4,748 Total $ 5,798 $ 6,035 $ 9,684 $ 10,074 ____________________ (1) On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the Federal Bankruptcy Code and is therefore void, and on July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling. |
Schedule of Geographic Exposure of Net Par Outstanding | Puerto Rico Net Par Outstanding As of As of Total (1) Internal Rating Total Internal Rating (in millions) Exposures Previously Subject to the Voided Recovery Act: PRHTA (Transportation revenue) $ 909 CCC- $ 844 BB- PREPA 744 CC 772 B- Puerto Rico Aqueduct and Sewer Authority 388 CCC 384 BB- PRHTA (Highway revenue) 370 CCC 273 BB Puerto Rico Convention Center District Authority 164 CCC- 174 BB- Total 2,575 2,447 Exposures Not Previously Subject to the Voided Recovery Act: Commonwealth of Puerto Rico - General Obligation Bonds 1,620 CCC 1,672 BB MFA 387 CCC- 399 BB- Puerto Rico Sales Tax Financing Corporation 269 CCC+ 269 BBB Puerto Rico Public Buildings Authority 188 CCC 100 BB GDB 33 CCC 33 BB PRIFA 18 CCC- 18 BB- University of Puerto Rico 1 CCC- 1 BB- Total 2,516 2,492 Total net exposure to Puerto Rico $ 5,091 $ 4,939 ____________________ (1) As of September 30, 2015, the Company's Puerto Rico exposures increased due to (1) net par of $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million of PRHTA, and (2) a commutation of previously ceded Puerto Rico exposures. |
Financial Guaranty Insurance 32
Financial Guaranty Insurance Premiums (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Insurance [Abstract] | |
Net Earned Premiums | Net Earned Premiums Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Scheduled net earned premiums $ 104 $ 105 $ 318 $ 318 Acceleration of net earned premiums 105 36 242 79 Accretion of discount on net premiums receivable 4 3 13 14 Financial guaranty insurance net earned premiums 213 144 573 411 Other 0 0 1 1 Net earned premiums(1) $ 213 $ 144 $ 574 $ 412 ___________________ (1) Excludes $6 million and $5 million for Third Quarter 2015 and 2014 , respectively, and $16 million and $27 million for Nine Months 2015 and 2014 , respectively, related to consolidated financial guaranty ("FG") VIEs. |
Components of Unearned Premium Reserve | Components of Unearned Premium Reserve As of September 30, 2015 As of December 31, 2014 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue: Financial guaranty insurance $ 4,126 $ 271 $ 3,855 $ 4,167 $ 387 $ 3,780 Other 0 — 0 0 — 0 Deferred premium revenue $ 4,126 $ 271 $ 3,855 $ 4,167 $ 387 $ 3,780 Contra-paid (2) (14 ) (8 ) (6 ) 94 (6 ) 100 Unearned premium reserve $ 4,112 $ 263 $ 3,849 $ 4,261 $ 381 $ 3,880 ____________________ (1) Excludes $120 million and $125 million of deferred premium revenue, and $35 million and $42 million of contra-paid related to FG VIEs as of September 30, 2015 and December 31, 2014 , respectively. (2) See Note 7, "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 | Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward Nine Months 2015 2014 (in millions) Beginning of period, December 31 $ 729 $ 876 Premiums receivable acquired in Radian Asset Acquisition on April 1, 2015 2 — Gross premium written, net of commissions on assumed business 103 116 Gross premiums received, net of commissions on assumed business (140 ) (172 ) Adjustments: Changes in the expected term (11 ) (21 ) Accretion of discount, net of commissions on assumed business 15 17 Foreign exchange translation (18 ) (16 ) Consolidation/deconsolidation of FG VIEs (4 ) 1 End of period, September 30 (1) $ 676 $ 801 ____________________ (1) Excludes $23 million and $18 million as of September 30, 2015 and September 30, 2014 , respectively, related to consolidated FG VIEs. |
Expected Collections of Gross Premiums Receivable, Net of Ceding Commissions (Undiscounted) | Expected Collections of Financial Guaranty Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of September 30, 2015 (in millions) 2015 (October 1 – December 31) $ 25 2016 77 2017 68 2018 61 2019 57 2020-2024 240 2025-2029 155 2030-2034 108 After 2034 99 Total(1) $ 890 ____________________ (1) Excludes expected cash collections on FG VIEs of $28 million . |
Schedule of Net Earned Premiums | Scheduled Financial Guaranty Net Earned Premiums As of September 30, 2015 (in millions) 2015 (October 1 – December 31) $ 99 2016 379 2017 331 2018 299 2019 272 2020-2024 1,066 2025-2029 678 2030-2034 405 After 2034 326 Net deferred premium revenue(1) 3,855 Future accretion 197 Total future net earned premiums $ 4,052 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $120 million . |
Selected Information for Policies Paid in Installments | Selected Information for Financial Guaranty Policies Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 676 $ 729 Gross deferred premium revenue 1,250 1,370 Weighted-average risk-free rate used to discount premiums 3.4 % 3.5 % Weighted-average period of premiums receivable (in years) 9.3 9.4 |
Expected Loss to be Paid (Table
Expected Loss to be Paid (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Expected Losses [Abstract] | |
Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward | Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward Third Quarter 2015 Nine Months 2015 (in millions) Net expected loss to be paid, beginning of period $ 1,510 $ 1,169 Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 — 190 Economic loss development due to: Accretion of discount 10 24 Changes in discount rates 11 (29 ) Changes in timing and assumptions (24 ) 191 Total economic loss development (3 ) 186 Paid losses (200 ) (238 ) Net expected loss to be paid, end of period $ 1,307 $ 1,307 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Third Quarter 2015 Net Expected Loss to be Paid (Recovered) as of June 30, 2015 Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 613 $ 92 $ (18 ) $ 687 Non-U.S public finance 44 (1 ) — 43 Public Finance 657 91 (18 ) 730 Structured Finance: U.S. RMBS: First lien: Prime first lien 1 0 (1 ) 0 Alt-A first lien 265 (111 ) (108 ) 46 Option ARM (18 ) (4 ) 6 (16 ) Subprime 273 26 (20 ) 279 Total first lien 521 (89 ) (123 ) 309 Second lien: Closed-end second lien 9 0 2 11 HELOCs (6 ) 13 8 15 Total second lien 3 13 10 26 Total U.S. RMBS 524 (76 ) (113 ) 335 Triple-X life insurance transactions 165 1 (68 ) 98 TruPS 10 (5 ) — 5 Student loans 58 (2 ) 0 56 Other structured finance 96 (12 ) (1 ) 83 Structured Finance 853 (94 ) (182 ) 577 Total $ 1,510 $ (3 ) $ (200 ) $ 1,307 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Third Quarter 2014 Net Expected Loss to be Paid (Recovered ) as of June 30, 2014 Economic Loss Development (Paid) Recovered Losses (1) Net Expected ) as of (in millions) Public Finance: U.S. public finance $ 339 $ 2 $ (8 ) $ 333 Non-U.S public finance 52 (1 ) — 51 Public Finance 391 1 (8 ) 384 Structured Finance: 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 Triple-X life insurance transactions 90 3 (1 ) 92 TruPS 32 (5 ) (1 ) 26 Student loans 58 6 — 64 Other structured finance (12 ) (6 ) 4 (14 ) Structured Finance 644 (64 ) (31 ) 549 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 Nine Months 2015 Net Expected Loss to be Paid (Recovered) as of December 31, 2014 (2) Net Expected Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 303 $ 81 $ 327 $ (24 ) $ 687 Non-U.S public finance 45 4 (6 ) — 43 Public Finance 348 85 321 (24 ) 730 Structured Finance: U.S. RMBS: First lien: Prime first lien 4 — (1 ) (3 ) 0 Alt-A first lien 304 7 (132 ) (133 ) 46 Option ARM (16 ) 0 (3 ) 3 (16 ) Subprime 303 (4 ) 19 (39 ) 279 Total first lien 595 3 (117 ) (172 ) 309 Second lien: Closed-end second lien 8 — (2 ) 5 11 HELOCs (19 ) 1 15 18 15 Total second lien (11 ) 1 13 23 26 Total U.S. RMBS 584 4 (104 ) (149 ) 335 Triple-X life insurance transactions 161 — 8 (71 ) 98 TruPS 23 — (18 ) — 5 Student loans 68 — (7 ) (5 ) 56 Other structured finance (15 ) 101 (14 ) 11 83 Structured Finance 821 105 (135 ) (214 ) 577 Total $ 1,169 $ 190 $ 186 $ (238 ) $ 1,307 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Nine Months 2014 Net Expected Loss to be Paid (Recovered ) as of December 31, 2013 Economic Loss Development (Paid) Recovered Losses (1) Net Expected ) as of (in millions) Public Finance: U.S. public finance $ 264 $ 107 $ (38 ) $ 333 Non-U.S public finance 57 (6 ) — 51 Public Finance 321 101 (38 ) 384 Structured Finance: 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 Triple-X life insurance transactions 75 21 (4 ) 92 TruPS 51 (24 ) (1 ) 26 Student loans 52 12 — 64 Other structured finance (10 ) (7 ) 3 (14 ) Structured Finance 661 (129 ) 17 549 Total $ 982 $ (28 ) $ (21 ) $ 933 ____________________ (1) Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. The Company paid $7 million and $6 million in LAE for Third Quarter 2015 and 2014 , respectively, and $16 million and $20 million in LAE for Nine Months 2015 and 2014 , respectively. (2) Includes expected LAE to be paid of $13 million as of September 30, 2015 and $16 million as of December 31, 2014 . |
Net Expected Recoveries from Breaches of R&W Rollforward | Net Expected Recoveries from Breaches of R&W Rollforward Third Quarter 2015 Future Net R&W Benefit as of June 30, 2015 R&W Development R&W (Recovered) Future Net (1) (in millions) U.S. RMBS: First lien: Prime first lien $ 1 $ 0 $ 0 $ 1 Alt-A first lien 93 9 (2 ) 100 Option ARM (33 ) (5 ) (20 ) (58 ) Subprime 81 (4 ) (3 ) 74 Total first lien 142 0 (25 ) 117 Second lien: Closed-end second lien 83 (1 ) (1 ) 81 HELOC — — — — Total second lien 83 (1 ) (1 ) 81 Total $ 225 $ (1 ) $ (26 ) $ 198 Net Expected Recoveries from Breaches of R&W Rollforward Third Quarter 2014 Future Net R&W Benefit as of June 30, 2014 R&W Development R&W (Recovered) Future Net (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 Net Expected Recoveries from Breaches of R&W Rollforward Nine Months 2015 Future Net R&W Benefit as of December 31, 2014 Future Net R&W Development R&W (Recovered) Future Net (1) (in millions) U.S. RMBS: First lien: Prime first lien $ 2 $ — $ (1 ) $ 0 $ 1 Alt-A first lien 106 — (1 ) (5 ) 100 Option ARM 15 — (19 ) (54 ) (58 ) Subprime 109 1 (27 ) (9 ) 74 Total first lien 232 1 (48 ) (68 ) 117 Second lien: Closed-end second lien 85 1 0 (5 ) 81 HELOC — — — — — Total second lien 85 1 — (5 ) 81 Total $ 317 $ 2 $ (48 ) $ (73 ) $ 198 Net Expected Recoveries from Breaches of R&W Rollforward Nine Months 2014 Future Net R&W Benefit as of December 31, 2013 R&W Development R&W (Recovered) Future Net (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 Loss to be Paid By Accounting Model | Net Expected Loss to be Paid (Recovered) By Accounting Model As of September 30, 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 687 $ — $ 0 $ 687 Non-U.S. public finance 43 — — 43 Public Finance 730 — 0 730 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — (2 ) 0 Alt-A first lien 109 16 (79 ) 46 Option ARM (17 ) — 1 (16 ) Subprime 159 63 57 279 Total first lien 253 79 (23 ) 309 Second lien: Closed-end second lien (23 ) 30 4 11 HELOCs 7 8 — 15 Total second lien (16 ) 38 4 26 Total U.S. RMBS 237 117 (19 ) 335 Triple-X life insurance transactions 88 — 10 98 TruPS 0 — 5 5 Student loans 56 — — 56 Other structured finance 34 18 31 83 Structured Finance 415 135 27 577 Total $ 1,145 $ 135 $ 27 $ 1,307 Net Expected Loss to be Paid (Recovered) By Accounting Model As of December 31, 2014 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 303 $ — $ — $ 303 Non-U.S. public finance 45 — — 45 Public Finance 348 — — 348 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 4 Alt-A first lien 288 17 (1 ) 304 Option ARM (15 ) — (1 ) (16 ) Subprime 163 71 69 303 Total first lien 438 88 69 595 Second lien: Closed-end second lien (27 ) 31 4 8 HELOCs (26 ) 7 — (19 ) Total second lien (53 ) 38 4 (11 ) Total U.S. RMBS 385 126 73 584 Triple-X life insurance transactions 153 — 8 161 TruPS 1 — 22 23 Student loans 68 — — 68 Other structured finance 34 (4 ) (45 ) (15 ) Structured Finance 641 122 58 821 Total $ 989 $ 122 $ 58 $ 1,169 ___________________ (1) Refer to Note 10, Consolidated Variable Interest Entities. (2) Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Schedule of Net Economic Loss Development | Net Economic Loss Development (Benefit) By Accounting Model Third Quarter 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 91 $ — $ 1 $ 92 Non-U.S. public finance (1 ) — 0 (1 ) Public Finance 90 — 1 91 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — 0 0 Alt-A first lien (44 ) 0 (67 ) (111 ) Option ARM (2 ) — (2 ) (4 ) Subprime 16 7 3 26 Total first lien (30 ) 7 (66 ) (89 ) Second lien: Closed-end second lien (1 ) 1 0 0 HELOCs 12 1 — 13 Total second lien 11 2 0 13 Total U.S. RMBS (19 ) 9 (66 ) (76 ) Triple-X life insurance transactions (1 ) — 2 1 TruPS 0 — (5 ) (5 ) Student loans (2 ) — — (2 ) Other structured finance (1 ) 0 (11 ) (12 ) Structured Finance (23 ) 9 (80 ) (94 ) Total $ 67 $ 9 $ (79 ) $ (3 ) Net Economic Loss Development (Benefit) By Accounting Model Third Quarter 2014 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 2 $ — $ — $ 2 Non-U.S. public finance (1 ) — — (1 ) Public Finance 1 — — 1 Structured Finance: 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 ) Triple-X life insurance transactions 3 — — 3 TruPS (1 ) — (4 ) (5 ) Student loans 6 — — 6 Other structured finance (4 ) — (2 ) (6 ) Structured Finance (51 ) 21 (34 ) (64 ) Total $ (50 ) $ 21 $ (34 ) $ (63 ) Net Economic Loss Development (Benefit) By Accounting Model Nine Months 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 332 $ — $ (5 ) $ 327 Non-U.S. public finance (6 ) — 0 (6 ) Public Finance 326 — (5 ) 321 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — (1 ) (1 ) Alt-A first lien (54 ) (1 ) (77 ) (132 ) Option ARM (5 ) — 2 (3 ) Subprime 12 10 (3 ) 19 Total first lien (47 ) 9 (79 ) (117 ) Second lien: Closed-end second lien (2 ) 0 0 (2 ) HELOCs 14 1 — 15 Total second lien 12 1 0 13 Total U.S. RMBS (35 ) 10 (79 ) (104 ) Triple-X life insurance transactions 4 — 4 8 TruPS (1 ) — (17 ) (18 ) Student loans (7 ) — — (7 ) Other structured finance (1 ) 0 (13 ) (14 ) Structured Finance (40 ) 10 (105 ) (135 ) Total $ 286 $ 10 $ (110 ) $ 186 Net Economic Loss Development (Benefit) By Accounting Model Nine Months 2014 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 107 $ — $ — $ 107 Non-U.S. public finance (5 ) — (1 ) (6 ) Public Finance 102 — (1 ) 101 Structured Finance: 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 ) Triple-X life insurance transactions 20 — 1 21 TruPS (2 ) — (22 ) (24 ) Student loans 12 — — 12 Other structured finance (6 ) (1 ) — (7 ) Structured Finance (139 ) 74 (64 ) (129 ) Total $ (37 ) $ 74 $ (65 ) $ (28 ) _________________ (1) Refer to Note 10, Consolidated Variable Interest Entities. (2) Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS | First Lien Liquidation Rates September 30, 2015 June 30, 2015 December 31, 2014 Current Loans Modified in the Previous 12 Months Alt A and Prime 25% 25% 25% Option ARM 25 25 25 Subprime 25 25 25 Current Loans Delinquent in the Previous 12 Months Alt A and Prime 25 25 25 Option ARM 25 25 25 Subprime 25 25 25 30 – 59 Days Delinquent Alt A and Prime 35 35 35 Option ARM 45 40 40 Subprime 50 35 35 60 – 89 Days Delinquent Alt A and Prime 45 50 50 Option ARM 55 55 55 Subprime 55 40 40 90+ Days Delinquent Alt A and Prime 55 60 60 Option ARM 65 65 65 Subprime 60 55 55 Bankruptcy Alt A and Prime 45 45 45 Option ARM 50 50 50 Subprime 40 40 40 Foreclosure Alt A and Prime 65 75 75 Option ARM 75 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 Range Weighted Average Range Weighted Average Range Weighted Average Alt-A First Lien Plateau CDR 2.4 % - 15.4% 6.4% 1.7 % – 13.3% 7.1% 2.0 % – 13.4% 7.3% Intermediate CDR 0.5 % - 3.1% 1.3% 0.3 % – 2.7% 1.4% 0.4 % – 2.7% 1.5% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.1 % - 0.8% 0.3% 0.1 % – 0.7% 0.3% 0.1 % – 0.7% 0.3% Initial loss severity: 2005 and prior 60.0% 60.0% 60.0% 2006 70.0% 70.0% 70.0% 2007 65.0% 65.0% 65.0% Initial conditional prepayment rate ("CPR") 2.7 % - 32.0% 8.9% 1.6 % – 27.7% 8.5% 1.7 % – 21.0% 7.7% Final CPR(2) 15.0 % - 32.0% 15.5% 15.0 % – 27.7% 15.3% 15% Option ARM Plateau CDR 3.6 % - 11.2% 8.5% 4.0 % – 12.1% 9.2% 4.3 % – 14.2% 10.6% Intermediate CDR 0.7 % - 2.2% 1.7% 0.8 % – 2.4% 1.8% 0.9 % – 2.8% 2.1% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.2 % - 0.6% 0.4% 0.2 % – 0.6% 0.5% 0.2 % – 0.7% 0.5% Initial loss severity: 2005 and prior 60.0% 60.0% 60.0% 2006 70.0% 70.0% 70.0% 2007 65.0% 65.0% 65.0% Initial CPR 2.2 % - 7.8% 4.9% 1.6 % – 12.3% 5.0% 1.1 % – 11.8% 4.9% Final CPR(2) 15% 15% 15% Subprime Plateau CDR 5.0 % - 13.7% 10.0% 4.9 % – 13.5% 9.7% 4.9 % – 15.0% 10.6% Intermediate CDR 1.0 % - 2.7% 2.0% 1.0 % – 2.7% 1.9% 1.0 % – 3.0% 2.1% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.3 % - 0.7% 0.4% 0.2 % – 0.7% 0.4% 0.2 % – 0.7% 0.4% Initial loss severity: 2005 and prior 75.0% 75.0% 75.0% 2006 90.0% 90.0% 90.0% 2007 90.0% 90.0% 90.0% Initial CPR 0.0 % - 9.3% 3.9% 0.0 % – 8.7% 4.0% 0.0 % – 10.5% 6.1% 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. |
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS(1) HELOC key assumptions As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Plateau CDR 6.0 % – 24.0% 9.5% 5.3 % – 23.3% 8.9% 2.8 % – 6.8% 4.1% Final CDR trended down to 0.5 % – 3.2% 1.2% 0.5 % – 3.2% 1.2% 0.5 % – 3.2% 1.2% Period until final CDR 34 months 34 months 34 months Initial CPR 9.8% 9.8% 9.3% 9.3% 6.9 % – 21.8% 11.0% Final CPR(2) 10.0 % – 15.0% 13.3% 10.0 % – 15.0% 13.25% 15.0 % – 21.8% 15.5% Loss severity 90.0 % – 98.0% 90.3% 90.0 % – 98.0% 90.5% 90.0 % – 98.0% 90.4% Closed-end second lien key assumptions As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Plateau CDR 6.0 % – 19.7% 10.2% 6.0 % – 21.4% 10.8% 5.5 % – 12.5% 7.2% Final CDR trended down to 3.5 % – 9.2% 4.8% 3.5 % – 9.2% 4.8% 3.5 % – 9.1% 4.9% Period until final CDR 34 months 34 months 34 months Initial CPR 5.7 % – 15.1% 9% 5.3 % – 13.4% 8.6% 2.8 % – 13.9% 9.9% Final CPR(2) 15.0 % – 15.1% 15% 15% 15% 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. |
Components of Development and Accretion Amounts of Estimated Recoveries | The following table provides a breakdown of the development and accretion amount in the roll forward of estimated recoveries associated with claims for breaches of R&W. Components of R&W Development Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Estimated increase (decrease) in defaults that will result in additional (lower) breaches $ (16 ) $ (4 ) $ (65 ) $ (15 ) Inclusion or removal of deals with breaches of R&W during period — — 0 — Change in recovery assumptions — 4 — 31 Settlements and anticipated settlements 14 90 14 96 Accretion of discount on balance 1 3 3 48 Total $ (1 ) $ 93 $ (48 ) $ 160 |
Financial Guaranty Insurance 34
Financial Guaranty Insurance Losses (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Insurance [Abstract] | |
Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts | Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts As of September 30, 2015 As of December 31, 2014 Loss and LAE Reserve, net Salvage and Subrogation Recoverable, net Net Reserve (Recoverable) Loss and LAE Reserve, net Salvage and Subrogation Recoverable, net Net Reserve (Recoverable) (in millions) Public Finance: U.S. public finance $ 525 $ 11 $ 514 $ 243 $ 8 $ 235 Non-U.S. public finance 30 — 30 30 — 30 Public Finance 555 11 544 273 8 265 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 2 — 2 Alt-A first lien 43 — 43 87 — 87 Option ARM 18 34 (16 ) 28 40 (12 ) Subprime 176 22 154 166 8 158 First lien 239 56 183 283 48 235 Second lien: Closed-end second lien 4 35 (31 ) 4 39 (35 ) HELOCs 13 30 (17 ) 3 39 (36 ) Second lien 17 65 (48 ) 7 78 (71 ) Total U.S. RMBS 256 121 135 290 126 164 Triple-X life insurance transactions 80 — 80 140 — 140 TruPS — — — 0 — 0 Student loans 53 — 53 64 — 64 Other structured finance 47 — 47 34 8 26 Structured Finance 436 121 315 528 134 394 Subtotal 991 132 859 801 142 659 Other recoverables — 5 (5 ) — 13 (13 ) Subtotal 991 137 854 801 155 646 Effect of consolidating FG VIEs (73 ) (1 ) (72 ) (80 ) (1 ) (79 ) Total (1) $ 918 $ 136 $ 782 $ 721 $ 154 $ 567 ____________________ (1) See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. |
Components of Net Reserves (Salvage) Insurance Contracts | Components of Net Reserves (Salvage) As of As of (in millions) Loss and LAE reserve $ 1,007 $ 799 Reinsurance recoverable on unpaid losses (89 ) (78 ) Loss and LAE reserve, net 918 721 Salvage and subrogation recoverable (135 ) (151 ) Salvage and subrogation payable(1) 4 10 Other recoverables (5 ) (13 ) Salvage and subrogation recoverable, net and other recoverable (136 ) (154 ) Net reserves (salvage) $ 782 $ 567 ____________________ (1) Recorded as a component of reinsurance balances payable. |
Balance Sheet Classification of Net Expected Recoveries for Breaches of R&W Insurance Contracts | Balance Sheet Classification of Net Expected Recoveries for Breaches of R&W Insurance Contracts As of September 30, 2015 As of December 31, 2014 For all Financial Guaranty Insurance Contracts Effect of Consolidating FG VIEs Reported on Balance Sheet(1) For all Financial Guaranty Insurance Contracts Effect of Consolidating FG VIEs Reported on Balance Sheet(1) (in millions) Salvage and subrogation recoverable, net $ (19 ) $ — $ (19 ) $ 20 $ — $ 20 Loss and LAE reserve, net 119 (7 ) 112 185 (8 ) 177 ____________________ (1) The remaining benefit for R&W is either recorded at fair value in FG VIE assets, or not recorded on the balance sheet until the total loss, net of R&W, exceeds unearned premium reserve. |
Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts | Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of (in millions) Net expected loss to be paid $ 1,280 Less: net expected loss to be paid for FG VIEs and other 135 Total 1,145 Contra-paid, net 6 Salvage and subrogation recoverable, net of reinsurance 131 Loss and LAE reserve, net of reinsurance (899 ) Other recoveries 4 Net expected loss to be expensed (present value) (1) $ 387 ____________________ (1) Excludes $79 million as of September 30, 2015 , related to consolidated FG VIEs. |
Net Expected Loss to be Expensed Insurance Contracts | Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of (in millions) 2015 (October 1 – December 31) $ 7 Subtotal 2015 7 2016 38 2017 31 2018 29 2019 28 2020-2024 104 2025-2029 75 2030-2034 51 After 2034 24 Net expected loss to be expensed 387 Discount 406 Total expected future loss and LAE $ 793 |
Loss and LAE Reported on the Consolidated Statements of Operations | Loss and LAE Reported on the Consolidated Statements of Operations Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Public Finance: U.S. public finance $ 89 $ 3 $ 298 $ 112 Non-U.S. public finance (2 ) (1 ) 4 (1 ) Public finance 87 2 302 111 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 0 (1 ) 0 Alt-A first lien (15 ) 4 (26 ) 21 Option ARM (4 ) 9 (5 ) (21 ) Subprime 31 (7 ) 32 (5 ) First lien 12 6 0 (5 ) Second lien: Closed-end second lien 1 1 0 0 HELOCs 18 (45 ) 29 (55 ) Second lien 19 (44 ) 29 (55 ) Total U.S. RMBS 31 (38 ) 29 (60 ) Triple-X life insurance transactions 7 3 14 20 TruPS — 0 (1 ) (1 ) Student loans (2 ) 6 (7 ) 12 Other structured finance (1 ) (3 ) (2 ) (7 ) Structured finance 35 (32 ) 33 (36 ) Loss and LAE on insurance contracts before FG VIE consolidation 122 (30 ) 335 75 Effect of consolidating FG VIEs (10 ) (14 ) (17 ) (21 ) Loss and LAE $ 112 $ (44 ) $ 318 $ 54 |
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, 2015 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 239 (50 ) 87 (13 ) 125 (41 ) 451 — 451 Remaining weighted-average contract period (in years) 9.9 6.8 11.0 9.2 8.0 6.2 10.2 — 10.2 Outstanding exposure: Principal $ 11,001 $ (1,449 ) $ 3,673 $ (263 ) $ 2,780 $ (160 ) $ 15,582 $ — $ 15,582 Interest 5,676 (509 ) 2,102 (118 ) 926 (34 ) 8,043 — 8,043 Total(2) $ 16,677 $ (1,958 ) $ 5,775 $ (381 ) $ 3,706 $ (194 ) $ 23,625 $ — $ 23,625 Expected cash outflows (inflows) $ 1,809 $ (566 ) $ 1,110 $ (67 ) $ 1,402 $ (44 ) $ 3,644 $ (333 ) $ 3,311 Potential recoveries Undiscounted R&W 42 (1 ) (49 ) 1 (94 ) 5 (96 ) 8 (88 ) Other(3) (1,663 ) 514 (258 ) 11 (467 ) 18 (1,845 ) 173 (1,672 ) Total potential recoveries (1,621 ) 513 (307 ) 12 (561 ) 23 (1,941 ) 181 (1,760 ) Subtotal 188 (53 ) 803 (55 ) 841 (21 ) 1,703 (152 ) 1,551 Discount (21 ) 8 (194 ) 10 (158 ) (86 ) (441 ) 35 (406 ) Present value of expected cash flows $ 167 $ (45 ) $ 609 $ (45 ) $ 683 $ (107 ) $ 1,262 $ (117 ) $ 1,145 Deferred premium revenue $ 510 $ (47 ) $ 144 $ (4 ) $ 333 $ (26 ) $ 910 $ (103 ) $ 807 Reserves (salvage) $ 30 $ (36 ) $ 502 $ (42 ) $ 389 $ (7 ) $ 836 $ (72 ) $ 764 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2014 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 164 (59 ) 75 (15 ) 119 (38 ) 358 — 358 Remaining weighted-average contract period (in years) 9.9 7.4 10.1 8.9 9.6 6.9 10.3 — 10.3 Outstanding exposure: Principal $ 12,358 $ (2,163 ) $ 2,421 $ (286 ) $ 3,067 $ (175 ) $ 15,222 $ — $ 15,222 Interest 6,350 (838 ) 1,274 (121 ) 1,034 (48 ) 7,651 — 7,651 Total(2) $ 18,708 $ (3,001 ) $ 3,695 $ (407 ) $ 4,101 $ (223 ) $ 22,873 $ — $ 22,873 Expected cash outflows (inflows) $ 1,762 $ (626 ) $ 763 $ (77 ) $ 1,716 $ (75 ) $ 3,463 $ (345 ) $ 3,118 Potential recoveries Undiscounted R&W (39 ) 0 (48 ) 2 (171 ) 9 (247 ) 8 (239 ) Other(3) (1,687 ) 608 (206 ) 5 (404 ) 30 (1,654 ) 177 (1,477 ) Total potential recoveries (1,726 ) 608 (254 ) 7 (575 ) 39 (1,901 ) 185 (1,716 ) Subtotal 36 (18 ) 509 (70 ) 1,141 (36 ) 1,562 (160 ) 1,402 Discount 3 0 (117 ) 11 (353 ) 9 (447 ) 34 (413 ) Present value of expected cash flows $ 39 $ (18 ) $ 392 $ (59 ) $ 788 $ (27 ) $ 1,115 $ (126 ) $ 989 Deferred premium revenue $ 378 $ (70 ) $ 119 $ (6 ) $ 312 $ (33 ) $ 700 $ (116 ) $ 584 Reserves (salvage) $ (42 ) $ (5 ) $ 278 $ (53 ) $ 482 $ (10 ) $ 650 $ (79 ) $ 571 ____________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. (2) Includes BIG amounts related to FG VIEs. (3) Includes excess spread and draws on HELOCs. |
Fair Value Measurement (Tables)
Fair Value Measurement (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Information by Credit Spread Type | Information by Credit Spread Type (1) As of As of Based on actual collateral specific spreads 12 % 9 % Based on market indices 76 % 82 % Provided by the CDS counterparty 12 % 9 % 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 | 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, 2015 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 $ 5,958 $ — $ 5,950 $ 8 U.S. government and agencies 477 — 477 — Corporate securities 1,436 — 1,357 79 Mortgage-backed securities: RMBS 1,371 — 1,010 361 CMBS 511 — 511 — Asset-backed securities 590 — 155 435 Foreign government securities 297 — 297 — Total fixed-maturity securities 10,640 — 9,757 883 Short-term investments 522 406 66 50 Other invested assets (1) 59 — 6 53 Credit derivative assets 71 — — 71 FG VIEs’ assets, at fair value (2) 1,541 — — 1,541 Other assets 90 24 21 45 Total assets carried at fair value $ 12,923 $ 430 $ 9,850 $ 2,643 Liabilities: Credit derivative liabilities $ 918 $ — $ — $ 918 FG VIEs’ liabilities with recourse, at fair value 1,315 — — 1,315 FG VIEs’ liabilities without recourse, at fair value 167 — — 167 Total liabilities carried at fair value $ 2,400 $ — $ — $ 2,400 Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 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 $ 5,795 $ — $ 5,757 $ 38 U.S. government and agencies 665 — 665 — Corporate securities 1,368 — 1,289 79 Mortgage-backed securities: RMBS 1,285 — 860 425 CMBS 659 — 659 — Asset-backed securities 417 — 189 228 Foreign government securities 302 — 302 — Total fixed-maturity securities 10,491 — 9,721 770 Short-term investments 767 359 408 — Other invested assets (1) 100 0 17 83 Credit derivative assets 68 — — 68 FG VIEs’ assets, at fair value (2) 1,398 — — 1,398 Other assets 78 26 17 35 Total assets carried at fair value $ 12,902 $ 385 $ 10,163 $ 2,354 Liabilities: Credit derivative liabilities $ 963 $ — $ — $ 963 FG VIEs’ liabilities with recourse, at fair value 1,277 — — 1,277 FG VIEs’ liabilities without recourse, at fair value 142 — — 142 Total liabilities carried at fair value $ 2,382 $ — $ — $ 2,382 ____________________ (1) Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. (2) Excludes restricted cash. |
Fair Value Assets Measured on Recurring Basis | Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2015 Fixed-Maturity Securities Short-Term Investments Other FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of June 30, 2015 $ 655 $ — $ 78 $ 1,596 $ 60 $ (926 ) $ (1,361 ) $ (171 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) (3 ) (2 ) 8 (2 ) 4 (2 ) (11 ) (3 ) (15 ) (4 ) 86 (6 ) 6 (3 ) 0 (3 ) Other comprehensive income (loss) (10 ) (4 ) (4 ) — — — — — Purchases 250 52 (7 ) — — — — — — Settlements (9 ) (6 ) (30 ) (44 ) — (7 ) 40 4 FG VIE consolidations — — — — — — — — FG VIE deconsolidations — — — — — — — — Fair value as of September 30, 2015 $ 883 $ 50 $ 48 $ 1,541 $ 45 $ (847 ) $ (1,315 ) $ (167 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2015 $ (10 ) $ (4 ) $ 0 $ 3 $ (15 ) $ (19 ) $ 7 $ (1 ) Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2014 Fixed-Maturity Securities Other FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of June 30, 2014 $ 748 $ 49 $ 1,284 $ 31 $ (1,837 ) $ (1,366 ) $ (124 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) (4 ) (2 ) — 43 (3 ) 4 (4 ) 255 (6 ) 7 (3 ) (13 ) (3 ) Other comprehensive income (loss) 25 2 — — — — — Purchases 159 25 — — — — — Settlements (15 ) 0 (31 ) — 14 33 4 FG VIE consolidations — — — — — — — FG VIE deconsolidations — — — — — — — Fair value as of September 30, 2014 $ 913 $ 76 $ 1,296 $ 35 $ (1,568 ) $ (1,326 ) $ (133 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2014 $ 25 $ 2 $ 55 $ 4 $ 98 $ 6 $ (5 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2015 Fixed-Maturity Securities Short-Term Investments Other FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of December 31, 2014 $ 770 $ — $ 78 $ 1,398 $ 35 $ (895 ) $ (1,277 ) $ (142 ) Radian Asset Acquisition 4 — 2 122 — (215 ) (114 ) (4 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 17 (2 ) 8 (2 ) 8 (2 ) 31 (3 ) 10 (4 ) 300 (6 ) 94 (3 ) (30 ) (3 ) Other comprehensive income (loss) (9 ) (4 ) (6 ) — — — — — Purchases 260 52 (7 ) — — — — — — Settlements (158 ) (7 ) (6 ) (34 ) (114 ) — (37 ) 113 9 FG VIE consolidations (1 ) — — 104 — — (131 ) — FG VIE deconsolidations — — — — — — — — Fair value as of September 30, 2015 $ 883 $ 50 $ 48 $ 1,541 $ 45 $ (847 ) $ (1,315 ) $ (167 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2015 $ (4 ) $ (4 ) $ (2 ) $ 68 $ 10 $ 166 $ (5 ) $ (19 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2014 Fixed-Maturity Securities Other FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of December 31, 2013 $ 730 $ 2 $ 2,565 $ 46 $ (1,693 ) $ (1,790 ) $ (1,081 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 14 (2 ) — 160 (3 ) (11 ) (4 ) 147 (6 ) (90 ) (3 ) (49 ) (3 ) Other comprehensive income (loss) 27 4 — — — — — Purchases 212 70 (7 ) — — — — — Settlements (83 ) 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 $ 913 $ 76 $ 1,296 $ 35 $ (1,568 ) $ (1,326 ) $ (133 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2014 $ 25 $ 4 $ 120 $ (11 ) $ (47 ) $ (46 ) $ (10 ) ______________ (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) Includes a non-cash transaction. |
Fair Value, Liabilities Measured on Recurring Basis | Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2015 Fixed-Maturity Securities Short-Term Investments Other FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of June 30, 2015 $ 655 $ — $ 78 $ 1,596 $ 60 $ (926 ) $ (1,361 ) $ (171 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) (3 ) (2 ) 8 (2 ) 4 (2 ) (11 ) (3 ) (15 ) (4 ) 86 (6 ) 6 (3 ) 0 (3 ) Other comprehensive income (loss) (10 ) (4 ) (4 ) — — — — — Purchases 250 52 (7 ) — — — — — — Settlements (9 ) (6 ) (30 ) (44 ) — (7 ) 40 4 FG VIE consolidations — — — — — — — — FG VIE deconsolidations — — — — — — — — Fair value as of September 30, 2015 $ 883 $ 50 $ 48 $ 1,541 $ 45 $ (847 ) $ (1,315 ) $ (167 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2015 $ (10 ) $ (4 ) $ 0 $ 3 $ (15 ) $ (19 ) $ 7 $ (1 ) Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2014 Fixed-Maturity Securities Other FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of June 30, 2014 $ 748 $ 49 $ 1,284 $ 31 $ (1,837 ) $ (1,366 ) $ (124 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) (4 ) (2 ) — 43 (3 ) 4 (4 ) 255 (6 ) 7 (3 ) (13 ) (3 ) Other comprehensive income (loss) 25 2 — — — — — Purchases 159 25 — — — — — Settlements (15 ) 0 (31 ) — 14 33 4 FG VIE consolidations — — — — — — — FG VIE deconsolidations — — — — — — — Fair value as of September 30, 2014 $ 913 $ 76 $ 1,296 $ 35 $ (1,568 ) $ (1,326 ) $ (133 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2014 $ 25 $ 2 $ 55 $ 4 $ 98 $ 6 $ (5 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2015 Fixed-Maturity Securities Short-Term Investments Other FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of December 31, 2014 $ 770 $ — $ 78 $ 1,398 $ 35 $ (895 ) $ (1,277 ) $ (142 ) Radian Asset Acquisition 4 — 2 122 — (215 ) (114 ) (4 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 17 (2 ) 8 (2 ) 8 (2 ) 31 (3 ) 10 (4 ) 300 (6 ) 94 (3 ) (30 ) (3 ) Other comprehensive income (loss) (9 ) (4 ) (6 ) — — — — — Purchases 260 52 (7 ) — — — — — — Settlements (158 ) (7 ) (6 ) (34 ) (114 ) — (37 ) 113 9 FG VIE consolidations (1 ) — — 104 — — (131 ) — FG VIE deconsolidations — — — — — — — — Fair value as of September 30, 2015 $ 883 $ 50 $ 48 $ 1,541 $ 45 $ (847 ) $ (1,315 ) $ (167 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2015 $ (4 ) $ (4 ) $ (2 ) $ 68 $ 10 $ 166 $ (5 ) $ (19 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2014 Fixed-Maturity Securities Other FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of December 31, 2013 $ 730 $ 2 $ 2,565 $ 46 $ (1,693 ) $ (1,790 ) $ (1,081 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 14 (2 ) — 160 (3 ) (11 ) (4 ) 147 (6 ) (90 ) (3 ) (49 ) (3 ) Other comprehensive income (loss) 27 4 — — — — — Purchases 212 70 (7 ) — — — — — Settlements (83 ) 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 $ 913 $ 76 $ 1,296 $ 35 $ (1,568 ) $ (1,326 ) $ (133 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2014 $ 25 $ 4 $ 120 $ (11 ) $ (47 ) $ (46 ) $ (10 ) ______________ (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) Includes a non-cash transaction. |
Schedule of Quantitative Information About Level 3 Assets, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At September 30, 2015 Financial Instrument Description (1) Fair Value at September 30, 2015 Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets: Fixed-maturity securities (2): Corporate securities $ 79 Yield 20.6% RMBS 361 CPR 0.3 % - 8.2% 2.6% CDR 2.6 % - 11.9% 5.9% Loss severity 60.0 % - 100.0% 75.6% Yield 4.3 % - 7.8% 5.7% Asset-backed securities: Investor owned utility 99 Cash flow receipts 100.0% Collateral recovery period 3.3 years Discount factor 7.0% Triple-X life insurance transactions 336 Yield 3.0 % - 7.0% 4.5% Short-term investments 50 Yield 15.0% Other invested assets (3) 45 Net asset value (per share) $ 906 - $1,113 $998 FG VIEs’ assets, at fair value 1,541 CPR 0.3 % - 12.0% 3.6% CDR 1.0 % - 22.0% 4.8% Loss severity 40.0 % - 100.0% 81.7% Yield 1.5 % - 17.3% 6.3% Other assets 45 Quotes from third party pricing $ 48 - $53 $51 Term (years) 5 years Financial Instrument Description (1) Fair Value at September 30, 2015 Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Liabilities: Credit derivative liabilities, net (847 ) Year 1 loss estimates 0.0 % - 100.0% 4.0% Hedge cost (in bps) 26.0 - 252.8 64.0 Bank profit (in bps) 3.8 - 1,170.4 148.9 Internal floor (in bps) 7.0 - 100.0 25.6 Internal credit rating AAA - CCC AA FG VIEs’ liabilities, at fair value (1,482 ) CPR 0.3 % - 12.0% 3.6% CDR 1.0 % - 22.0% 4.8% Loss severity 40.0 % - 100.0% 81.7% Yield 1.5 % - 17.3% 5.4% ___________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. (2) Excludes obligations of state and political subdivisions investments with fair value of $8 million . (3) Excludes several investments with fair value of $8 million . Quantitative Information About Level 3 Fair Value Inputs At December 31, 2014 Financial Instrument Description (1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets: Fixed-maturity securities: Obligations of state and political subdivisions $ 38 Rate of inflation 1.0 % - 3.0% 2.0% Cash flow receipts 0.5 % - 74.3% 63.0% Discount rates 4.6 % - 8.0% 7.3% Collateral recovery period 1 month - 34 years 28 years Corporate securities 79 Yield 17.8% RMBS 425 CPR 0.3 % - 8.1% 3.3% CDR 2.7 % - 10.6% 5.3% Loss severity 52.6 % - 100.0% 75.2% Yield 4.7 % - 11.7% 6.4% Asset-backed securities: Investor owned utility 95 Cash flow receipts 100% Collateral recovery period 4 years Discount factor 7.0% Triple-X life insurance transactions 133 Yield 7.3% Other invested assets 83 Discount for lack of liquidity 20.0% Recovery on delinquent loans 40.0% Default rates 0.0 % - 7.0% 5.8% Loss severity 40.0 % - 75.0% 68.3% Prepayment speeds 5.0 % - 15.0% 12.3% Net asset value (per share) $ 965 - $1,159 $1,082 FG VIEs’ assets, at fair value 1,398 CPR 0.3 % - 11.0% 3.3% CDR 1.6 % - 11.8% 5.1% Loss severity 40.0 % - 100.0% 82.2% Yield 2.7 % - 17.7% 7.9% Financial Instrument Description (1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Other assets 35 Quotes from third party pricing $52 - $61 $57 Term (years) 5 years Liabilities: Credit derivative liabilities, net (895 ) Year 1 loss estimates 0.0 % - 93.0% 2.1% Hedge cost (in bps) 20.0 - 243.8 61.5 Bank profit (in bps) 1.0 - 994.4 127.0 Internal floor (in bps) 7.0 - 100.0 15.9 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (1,419 ) CPR 0.3 % - 11.0% 3.3% CDR 1.6 % - 11.8% 5.1% Loss severity 40.0 % - 100.0% 82.2% Yield 2.7 % - 17.7% 5.8% ____________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. |
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At September 30, 2015 Financial Instrument Description (1) Fair Value at September 30, 2015 Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets: Fixed-maturity securities (2): Corporate securities $ 79 Yield 20.6% RMBS 361 CPR 0.3 % - 8.2% 2.6% CDR 2.6 % - 11.9% 5.9% Loss severity 60.0 % - 100.0% 75.6% Yield 4.3 % - 7.8% 5.7% Asset-backed securities: Investor owned utility 99 Cash flow receipts 100.0% Collateral recovery period 3.3 years Discount factor 7.0% Triple-X life insurance transactions 336 Yield 3.0 % - 7.0% 4.5% Short-term investments 50 Yield 15.0% Other invested assets (3) 45 Net asset value (per share) $ 906 - $1,113 $998 FG VIEs’ assets, at fair value 1,541 CPR 0.3 % - 12.0% 3.6% CDR 1.0 % - 22.0% 4.8% Loss severity 40.0 % - 100.0% 81.7% Yield 1.5 % - 17.3% 6.3% Other assets 45 Quotes from third party pricing $ 48 - $53 $51 Term (years) 5 years Financial Instrument Description (1) Fair Value at September 30, 2015 Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Liabilities: Credit derivative liabilities, net (847 ) Year 1 loss estimates 0.0 % - 100.0% 4.0% Hedge cost (in bps) 26.0 - 252.8 64.0 Bank profit (in bps) 3.8 - 1,170.4 148.9 Internal floor (in bps) 7.0 - 100.0 25.6 Internal credit rating AAA - CCC AA FG VIEs’ liabilities, at fair value (1,482 ) CPR 0.3 % - 12.0% 3.6% CDR 1.0 % - 22.0% 4.8% Loss severity 40.0 % - 100.0% 81.7% Yield 1.5 % - 17.3% 5.4% ___________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. (2) Excludes obligations of state and political subdivisions investments with fair value of $8 million . (3) Excludes several investments with fair value of $8 million . Quantitative Information About Level 3 Fair Value Inputs At December 31, 2014 Financial Instrument Description (1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets: Fixed-maturity securities: Obligations of state and political subdivisions $ 38 Rate of inflation 1.0 % - 3.0% 2.0% Cash flow receipts 0.5 % - 74.3% 63.0% Discount rates 4.6 % - 8.0% 7.3% Collateral recovery period 1 month - 34 years 28 years Corporate securities 79 Yield 17.8% RMBS 425 CPR 0.3 % - 8.1% 3.3% CDR 2.7 % - 10.6% 5.3% Loss severity 52.6 % - 100.0% 75.2% Yield 4.7 % - 11.7% 6.4% Asset-backed securities: Investor owned utility 95 Cash flow receipts 100% Collateral recovery period 4 years Discount factor 7.0% Triple-X life insurance transactions 133 Yield 7.3% Other invested assets 83 Discount for lack of liquidity 20.0% Recovery on delinquent loans 40.0% Default rates 0.0 % - 7.0% 5.8% Loss severity 40.0 % - 75.0% 68.3% Prepayment speeds 5.0 % - 15.0% 12.3% Net asset value (per share) $ 965 - $1,159 $1,082 FG VIEs’ assets, at fair value 1,398 CPR 0.3 % - 11.0% 3.3% CDR 1.6 % - 11.8% 5.1% Loss severity 40.0 % - 100.0% 82.2% Yield 2.7 % - 17.7% 7.9% Financial Instrument Description (1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Other assets 35 Quotes from third party pricing $52 - $61 $57 Term (years) 5 years Liabilities: Credit derivative liabilities, net (895 ) Year 1 loss estimates 0.0 % - 93.0% 2.1% Hedge cost (in bps) 20.0 - 243.8 61.5 Bank profit (in bps) 1.0 - 994.4 127.0 Internal floor (in bps) 7.0 - 100.0 15.9 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (1,419 ) CPR 0.3 % - 11.0% 3.3% CDR 1.6 % - 11.8% 5.1% Loss severity 40.0 % - 100.0% 82.2% Yield 2.7 % - 17.7% 5.8% ____________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. |
Fair Value of Financial Instruments | Fair Value of Financial Instruments As of As of Carrying Amount Estimated Fair Value Carrying Amount Estimated Fair Value (in millions) Assets: Fixed-maturity securities $ 10,640 $ 10,640 $ 10,491 $ 10,491 Short-term investments 522 522 767 767 Other invested assets 153 155 108 110 Credit derivative assets 71 71 68 68 FG VIEs’ assets, at fair value 1,541 1,541 1,398 1,398 Other assets 194 194 184 184 Liabilities: Financial guaranty insurance contracts(1) 4,019 8,807 3,823 6,205 Long-term debt 1,306 1,513 1,303 1,603 Credit derivative liabilities 918 918 963 963 FG VIEs’ liabilities with recourse, at fair value 1,315 1,315 1,277 1,277 FG VIEs’ liabilities without recourse, at fair value 167 167 142 142 Other liabilities 65 65 27 27 ____________________ (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 36
Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating | Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of September 30, 2015 As of December 31, 2014 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 17,080 57.7 % $ 21,817 62.3 % AA 5,785 19.5 5,398 15.4 A 2,065 7.0 1,982 5.7 BBB 2,674 9.0 2,774 8.0 BIG(1) 2,029 6.8 3,025 8.6 Credit derivative net par outstanding $ 29,633 100.0 % $ 34,996 100.0 % ____________________ (1) The September 30, 2015 BIG amount includes $489 million net par outstanding of credit derivatives acquired from Radian Asset. Credit Derivatives Subordination and Ratings As of September 30, 2015 As of December 31, 2014 Asset Type Net Par Outstanding Original Subordination(1) Current Subordination(1) Weighted Average Credit Rating Net Par Outstanding Original Subordination(1) Current Subordination(1) Weighted Average Credit Rating (dollars in millions) Pooled corporate obligations: Collateralized loan obligation/collateral bond obligations $ 7,299 31.1 % 39.6 % AAA $ 11,688 32.0 % 36.9 % AAA Synthetic investment grade pooled corporate 7,119 21.7 19.4 AAA 7,640 22.6 20.6 AAA TruPS CDOs 3,604 45.7 41.6 BBB+ 3,119 45.3 35.8 BBB- Market value CDOs of corporate obligations 1,113 17.0 10.5 AAA 1,174 19.1 20.7 AAA Total pooled corporate obligations 19,135 29.5 30.8 AAA 23,621 30.1 30.7 AAA U.S. RMBS: Option ARM and Alt-A first lien 1,186 15.7 10.5 AAA 1,378 16.3 10.7 BB+ Subprime first lien 1,215 27.2 41.8 AA 1,366 31.1 50.5 A Prime first lien 183 10.9 0.0 BB 223 10.9 0.0 B Closed-end second lien 17 — — CCC 19 — — CCC Total U.S. RMBS 2,601 22.6 29.6 AA 2,986 24.8 33.9 BBB CMBS 1,127 28.4 35.8 AAA 1,952 35.3 43.6 AAA Other 6,770 — — A 6,437 — — A Total(2) $ 29,633 AA $ 34,996 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) The September 30, 2015 total amount includes $4.3 billion net par outstanding of credit derivatives acquired from Radian Asset. |
Net Change in Fair Value of Credit Derivatives | Net Change in Fair Value of Credit Derivatives Gain (Loss) Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Realized gains on credit derivatives (1) $ 14 $ 17 $ 52 $ 58 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (8 ) (31 ) (17 ) (38 ) Realized gains (losses) and other settlements on credit derivatives 6 (14 ) 35 20 Net change in unrealized gains (losses) on credit derivatives: Pooled corporate obligations (24 ) 4 0 10 U.S. RMBS 11 252 148 117 CMBS (3 ) 0 1 2 Other 96 13 116 (2 ) Net change in unrealized gains (losses) on credit derivatives 80 269 265 127 Net change in fair value of credit derivatives (2) $ 86 $ 255 $ 300 $ 147 ____________________ (1) Includes realized gain due to terminations of CDS contracts. CDS terminations in Nine Months 2015 also included a payment received from the resolution of a dispute related to a termination of CDS in 2008. (2) On October 9, 2015, the Company reached a settlement agreement with a CDS counterparty to terminate five Alt-A first lien CDS transactions. This termination agreement will generate a net fair value gain of approximately $293 million in the Company’s fourth quarter 2015 financial statements. In addition, on October 13, 2015, the Company terminated a CMBS transaction with a CDS counterparty and this termination agreement will generate a net fair value gain of approximately $34 million in the Company's fourth quarter 2015 financial statements. |
Par and Accelerations From Termination of CDS Contracts | Net Par and Realized Gain from Terminations of CDS Contracts Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Net par of terminated CDS contracts $ 405 $ 1,631 $ 969 $ 2,931 Realized gain due to termination of CDS contracts 0.3 (0.1 ) 12.9 0.6 |
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 As of As of AGC 331 390 323 345 327 460 AGM 337 410 325 344 346 525 One-Year CDS Spread on AGC and AGM Quoted price of CDS contract (in basis points) As of As of As of As of As of As of AGC 112 120 80 125 85 185 AGM 104 125 85 120 115 220 |
Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads | Fair Value of Credit Derivatives Assets (Liabilities) and Effect of AGC and AGM Credit Spreads As of As of (in millions) Fair value of credit derivatives before effect of AGC and AGM credit spreads $ (1,973 ) $ (2,029 ) Plus: Effect of AGC and AGM credit spreads 1,126 1,134 Net fair value of credit derivatives (1) $ (847 ) $ (895 ) ____________________ (1) September 30, 2015 amount includes $174 million of net fair value loss of credit derivatives acquired from Radian Asset. |
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 Asset (Liability), net Expected Loss to be (Paid) Recovered (1) Asset Type As of As of As of As of (in millions) Pooled corporate obligations $ (231 ) $ (49 ) $ (67 ) $ (23 ) U.S. RMBS (346 ) (494 ) 19 (73 ) CMBS (40 ) 0 (7 ) — Other (230 ) (352 ) 28 38 Total $ (847 ) $ (895 ) $ (27 ) $ (58 ) ____________________ (1) Includes R&W benefit of $82 million as of September 30, 2015 and $86 million as of December 31, 2014 . |
Effects of Changes in Credit Spread | Effect of Changes in Credit Spread As of September 30, 2015 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (1,723 ) $ (876 ) 50% widening in spreads (1,285 ) (438 ) 25% widening in spreads (1,067 ) (220 ) 10% widening in spreads (935 ) (88 ) Base Scenario (847 ) — 10% narrowing in spreads (765 ) 82 25% narrowing in spreads (643 ) 204 50% narrowing in spreads (441 ) 406 ____________________ (1) Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Consolidated Variable Interes37
Consolidated Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated FG VIE's | Effect of Consolidating FG VIEs on Net Income, Cash Flows From Operating Activities and Shareholders’ Equity Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Net earned premiums $ (6 ) $ (5 ) $ (16 ) $ (27 ) Net investment income (3 ) (2 ) (9 ) (8 ) Net realized investment gains (losses) 6 0 9 (5 ) Fair value gains (losses) on FG VIEs 2 50 0 232 Bargain purchase gain — — 2 — Other income (loss) 0 0 0 (2 ) Loss and LAE 11 14 18 21 Effect on income before tax 10 57 4 211 Less: tax provision (benefit) 4 20 1 74 Effect on net income (loss) $ 6 $ 37 $ 3 $ 137 Effect on cash flows from operating activities $ 11 $ 18 $ 44 $ 57 As of As of (in millions) Effect on shareholders’ equity (decrease) increase $ (38 ) $ (44 ) Number of FG VIEs Consolidated Nine Months 2015 2014 Beginning of the period, December 31 32 40 Radian Asset Acquisition 4 — Consolidated (1) 1 1 Deconsolidated (1) — (8 ) Matured — (2 ) End of the period, September 30 37 31 ____________________ (1) Net loss on consolidation was $26 million in Nine Months 2015 , and net gain on deconsolidation was $120 million in Nine Months 2014 , and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations. Consolidated FG VIEs By Type of Collateral As of September 30, 2015 (1) As of December 31, 2014 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 713 $ 572 $ 632 $ 581 U.S. RMBS second lien 208 295 238 327 Other 448 448 369 369 Total with recourse 1,369 1,315 1,239 1,277 Without recourse 178 167 163 142 Total $ 1,547 $ 1,482 $ 1,402 $ 1,419 ____________________ (1) The September 30, 2015 amounts include $115 million of FG VIE assets and $111 million of FG VIE liabilities acquired from Radian Asset. |
Investments and Cash (Tables)
Investments and Cash (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Net Investment Income | Net Investment Income Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Income from fixed-maturity securities managed by third parties $ 85 $ 83 $ 252 $ 244 Income from internally managed securities: Fixed maturities 15 15 44 52 Other 14 6 21 11 Gross investment income 114 104 317 307 Investment expenses (2 ) (2 ) (6 ) (6 ) Net investment income $ 112 $ 102 $ 311 $ 301 |
Net Realized Investment Gains (Losses) | Net Realized Investment Gains (Losses) Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Gross realized gains on available-for-sale securities $ 3 $ 3 $ 35 $ 10 Gross realized gains on other assets in investment portfolio 0 1 3 8 Gross realized losses on available-for-sale securities (3 ) (1 ) (10 ) (4 ) Gross realized losses on other assets in investment portfolio (9 ) (1 ) (11 ) (1 ) Other-than-temporary impairment (18 ) (21 ) (37 ) (38 ) Net realized investment gains (losses) $ (27 ) $ (19 ) $ (20 ) $ (25 ) |
Roll Forward of Credit Losses in the Investment Portfolio | Roll Forward of Credit Losses in the Investment Portfolio Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Balance, beginning of period $ 104 $ 84 $ 124 $ 80 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 2 3 2 29 Reductions for securities sold and other settlement during the period — — (28 ) (12 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 0 17 8 7 Balance, end of period $ 106 $ 104 $ 106 $ 104 |
Fixed Maturity Securities and Short Term Investments by Security Type | Fixed-Maturity Securities and Short-Term Investments by Security Type As of September 30, 2015 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 53 % $ 5,668 $ 308 $ (18 ) $ 5,958 $ 3 AA U.S. government and agencies 4 449 28 0 477 0 AA+ Corporate securities 13 1,403 45 (12 ) 1,436 (3 ) A Mortgage-backed securities(4): 0 RMBS 13 1,349 38 (16 ) 1,371 (2 ) A CMBS 4 492 19 0 511 — AAA Asset-backed securities 5 584 6 0 590 4 BB- Foreign government securities 3 297 6 (6 ) 297 — AA+ Total fixed-maturity securities 95 10,242 450 (52 ) 10,640 2 AA- Short-term investments 5 526 0 (4 ) 522 — AA Total investment portfolio 100 % $ 10,768 $ 450 $ (56 ) $ 11,162 $ 2 AA- Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2014 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 50 % $ 5,416 $ 380 $ (1 ) $ 5,795 $ 7 AA U.S. government and agencies 6 635 31 (1 ) 665 — AA+ Corporate securities 12 1,320 53 (5 ) 1,368 (2 ) A Mortgage-backed securities(4): RMBS 12 1,255 51 (21 ) 1,285 0 A- CMBS 6 639 20 0 659 — AAA Asset-backed securities 4 411 9 (3 ) 417 3 BBB- Foreign government securities 3 296 8 (2 ) 302 — AA+ Total fixed-maturity securities 93 9,972 552 (33 ) 10,491 8 AA- Short-term investments 7 767 0 0 767 0 AA+ Total investment portfolio 100 % $ 10,739 $ 552 $ (33 ) $ 11,258 $ 8 AA- ____________________ (1) Based on amortized cost. (2) Accumulated OCI. See also Note 18, 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 55% of mortgage backed securities as of September 30, 2015 and 44% as of December 31, 2014 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, 2015 Less than 12 months 12 months or more Total Fair Value Unrealized Loss Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 587 $ (18 ) $ 4 $ 0 $ 591 $ (18 ) U.S. government and agencies 31 0 — — 31 0 Corporate securities 373 (8 ) 99 (4 ) 472 (12 ) Mortgage-backed securities: RMBS 315 (2 ) 91 (14 ) 406 (16 ) CMBS 24 0 2 0 26 0 Asset-backed securities 2 0 — — 2 0 Foreign government securities 97 (3 ) 54 (3 ) 151 (6 ) Total $ 1,429 $ (31 ) $ 250 $ (21 ) $ 1,679 $ (52 ) Number of securities (1) 342 37 372 Number of securities with other-than-temporary impairment 5 4 9 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2014 Less than 12 months 12 months or more Total Fair Unrealized Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 64 $ 0 $ 25 $ (1 ) $ 89 $ (1 ) U.S. government and agencies 139 0 68 (1 ) 207 (1 ) Corporate securities 189 (3 ) 104 (2 ) 293 (5 ) Mortgage-backed securities: RMBS 205 (3 ) 159 (18 ) 364 (21 ) CMBS 36 0 19 0 55 0 Asset-backed securities 56 (2 ) 18 (1 ) 74 (3 ) Foreign government securities 108 (2 ) 0 0 108 (2 ) Total $ 797 $ (10 ) $ 393 $ (23 ) $ 1,190 $ (33 ) Number of securities (1) 125 82 198 Number of securities with other-than-temporary impairment 3 7 10 ___________________ (1) The number of securities does not add across because lots of the same securities 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, 2015 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 260 $ 261 Due after one year through five years 1,579 1,637 Due after five years through 10 years 2,241 2,349 Due after 10 years 4,321 4,511 Mortgage-backed securities: RMBS 1,349 1,371 CMBS 492 511 Total $ 10,242 $ 10,640 |
Internally Managed Investment Portfolio | Internally Managed Portfolio Carrying Value As of As of (in millions) Assets purchased for loss mitigation and other risk management purposes: Fixed-maturity securities, at fair value $ 940 $ 835 Other invested assets 117 46 Other 64 79 Total $ 1,121 $ 960 |
Insurance Company Regulatory 39
Insurance Company Regulatory Requirements (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
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 2015 2014 2015 2014 (in millions) Dividends paid by AGC to AGUS $ 15 $ 15 $ 50 $ 30 Dividends paid by AGM to AGMH 57 60 163 105 Dividends paid by AG Re to AGL 35 — 120 82 Repayment of surplus note by AGM to AGMH — 25 25 50 |
Income Taxes (Tables)
Income Taxes (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Income Tax Disclosure [Abstract] | |
Effective Tax Rate Reconciliation | Effective Tax Rate Reconciliation Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 56 $ 145 $ 276 $ 255 Tax-exempt interest (14 ) (15 ) (41 ) (43 ) Gain on bargain purchase — — (19 ) — Change in liability for uncertain tax positions 10 6 12 7 Other (9 ) (3 ) (8 ) 0 Total provision (benefit) for income taxes $ 43 $ 133 $ 220 $ 219 Effective tax rate 25.0 % 27.3 % 26.0 % 28.3 % |
Pretax Income (Loss) by Tax Jurisdiction | Pretax Income (Loss) by Tax Jurisdiction Third Quarter Nine Months 2015 2014 2015 2014 (in millions) United States $ 166 $ 419 $ 803 $ 741 Bermuda 12 76 67 57 U.K. (6 ) (7 ) (23 ) (23 ) Total $ 172 $ 488 $ 847 $ 775 |
Revenue by Tax Jurisdiction | Revenue by Tax Jurisdiction Third Quarter Nine Months 2015 2014 2015 2014 (in millions) United States $ 311 $ 420 $ 1,229 $ 908 Bermuda 58 106 209 168 U.K. (1 ) (1 ) (6 ) (3 ) Total $ 368 $ 525 $ 1,432 $ 1,073 |
Reinsurance and Other Monolin41
Reinsurance and Other Monoline Exposures (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Insurance [Abstract] | |
Effects of Reinsurance on Statement of Operations | Effect of Reinsurance on Statement of Operations Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Premiums Written: Direct $ 41 $ 52 $ 93 $ 100 Assumed (1 ) (5 ) 1 (6 ) Ceded 0 0 2 (22 ) Net $ 40 $ 47 $ 96 $ 72 Premiums Earned: Direct $ 224 $ 151 $ 596 $ 438 Assumed 7 12 29 32 Ceded (18 ) (19 ) (51 ) (58 ) Net $ 213 $ 144 $ 574 $ 412 Loss and LAE: Direct $ 111 $ (58 ) $ 323 $ 46 Assumed 23 11 35 26 Ceded (22 ) 3 (40 ) (18 ) Net $ 112 $ (44 ) $ 318 $ 54 |
Exposure by Reinsurer | Exposure by Reinsurer Ratings at Par Outstanding (1) November 4, 2015 As of September 30, 2015 Reinsurer Moody’s Reinsurer Rating S&P Reinsurer Rating Ceded Par Outstanding Second-to- Pay Insured Par Outstanding Assumed Par Outstanding (dollars in millions) American Overseas Reinsurance Company Limited (f/k/a Ram Re) WR (2) WR $ 5,480 $ — $ 30 Tokio Marine & Nichido Fire Insurance Co., Ltd. Aa3 (3) A+ (3) 4,426 — — Syncora Guarantee Inc. WR WR 3,505 1,538 159 Mitsui Sumitomo Insurance Co. Ltd. A1 A+ (3) 1,854 — — ACA Financial Guaranty Corp. NR (4) WR 714 19 — Ambac WR WR 117 4,370 11,633 National (5) A3 AA- — 5,448 5,259 MBIA (6) (6) — 2,584 449 Financial Guaranty Insurance Co. WR WR — 1,551 674 Ambac Assurance Corp. Segregated Account NR NR — 95 888 CIFG Assurance North America Inc. WR WR — 96 3,663 Other Various Various 215 821 134 Total $ 16,311 $ 16,522 $ 22,889 ____________________ (1) Includes par related to insured credit derivatives. (2) Represents “Withdrawn Rating.” (3) The Company benefits from trust arrangements that satisfy the triple-A credit requirement of S&P and/or Moody’s. (4) Represents “Not Rated.” (5) National is also rated AA+ by KBRA. (6) 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. |
Amounts Due (To) From Reinsurers | Amounts Due (To) From Reinsurers As of September 30, 2015 Assumed Premium, net of Commissions Ceded Premium, net of Commissions Assumed Expected Loss to be Paid Ceded Expected Loss to be Paid (in millions) American Overseas Reinsurance Company Limited (f/k/a Ram Re) $ — $ (7 ) $ — $ 25 Tokio Marine & Nichido Fire Insurance Co., Ltd. — (11 ) — 56 Syncora Guarantee Inc. — (26 ) — 6 Mitsui Sumitomo Insurance Co. Ltd. — (3 ) — 23 Ambac 42 — (13 ) — Ambac Assurance Corp. Segregated Account 11 — (68 ) — CIFG Assurance North America Inc. — — (48 ) — MBIA 5 — (10 ) — National 6 — (7 ) — Financial Guaranty Insurance Co. 4 — (10 ) — Other 1 (5 ) — — Total $ 69 $ (52 ) $ (156 ) $ 110 |
Long-Term Debt and Credit Fac42
Long-Term Debt and Credit Facilities (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Debt Disclosure [Abstract] | |
Principal and Carrying Amounts of Debt | Principal and Carrying Amounts of Debt As of September 30, 2015 As of December 31, 2014 Principal Carrying Value Principal Carrying Value (in millions) AGUS: 7.0% Senior Notes $ 200 $ 198 $ 200 $ 198 5.0% Senior Notes 500 499 500 499 Series A Enhanced Junior Subordinated Debentures 150 150 150 150 Total AGUS 850 847 850 847 AGMH: 6 7 / 8 % QUIBS 100 69 100 68 6.25% Notes 230 140 230 139 5.60% Notes 100 55 100 55 Junior Subordinated Debentures 300 180 300 175 Total AGMH 730 444 730 437 AGM: Notes Payable 13 15 16 19 Total AGM 13 15 16 19 Total $ 1,593 $ 1,306 $ 1,596 $ 1,303 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Earnings Per Share [Abstract] | |
Schedule of computation of basic and diluted earnings per share | Computation of Earnings Per Share Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Basic earnings per share ("EPS"): Net income (loss) attributable to AGL $ 129 $ 355 $ 627 $ 556 Less: Distributed and undistributed income (loss) available to nonvested shareholders 0 1 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 129 $ 354 $ 627 $ 556 Basic shares 145.8 168.8 150.7 176.4 Basic EPS $ 0.88 $ 2.10 $ 4.16 $ 3.15 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 129 $ 354 $ 627 $ 556 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 $ 129 $ 354 $ 627 $ 556 Basic shares 145.8 168.8 150.7 176.4 Effect of dilutive securities: Options and restricted stock awards 0.7 0.9 0.9 1.0 Diluted shares 146.5 169.7 151.6 177.4 Diluted EPS $ 0.88 $ 2.09 $ 4.13 $ 3.13 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 1.3 1.9 0.7 1.6 |
Schedule of antidilutive securities excluded from computation of earnings per share | Computation of Earnings Per Share Third Quarter Nine Months 2015 2014 2015 2014 (in millions) Basic earnings per share ("EPS"): Net income (loss) attributable to AGL $ 129 $ 355 $ 627 $ 556 Less: Distributed and undistributed income (loss) available to nonvested shareholders 0 1 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 129 $ 354 $ 627 $ 556 Basic shares 145.8 168.8 150.7 176.4 Basic EPS $ 0.88 $ 2.10 $ 4.16 $ 3.15 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 129 $ 354 $ 627 $ 556 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 $ 129 $ 354 $ 627 $ 556 Basic shares 145.8 168.8 150.7 176.4 Effect of dilutive securities: Options and restricted stock awards 0.7 0.9 0.9 1.0 Diluted shares 146.5 169.7 151.6 177.4 Diluted EPS $ 0.88 $ 2.09 $ 4.13 $ 3.13 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 1.3 1.9 0.7 1.6 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Equity [Abstract] | |
Changes in Accumulated Other Comprehensive Income by Component | Changes in Accumulated Other Comprehensive Income by Component Third Quarter 2015 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, June 30, 2015 $ 236 $ 4 $ (9 ) $ 8 $ 239 Other comprehensive income (loss) before reclassifications 41 (15 ) (4 ) — 22 Amounts reclassified from AOCI to: Net realized investment gains (losses) 10 17 — — 27 Net investment income (9 ) — — — (9 ) Interest expense — — — 0 0 Total before tax 1 17 — 0 18 Tax (provision) benefit 0 (6 ) — 0 (6 ) Total amount reclassified from AOCI, net of tax 1 11 — 0 12 Net current period other comprehensive income (loss) 42 (4 ) (4 ) 0 34 Balance, September 30, 2015 $ 278 $ 0 $ (13 ) $ 8 $ 273 Changes in Accumulated Other Comprehensive Income by Component Third Quarter 2014 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other 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 (loss) (8 ) 14 (5 ) 0 1 Balance, September 30, 2014 $ 337 $ (8 ) $ (4 ) $ 8 $ 333 Changes in Accumulated Other Comprehensive Income by Component Nine Months 2015 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2014 $ 367 $ 4 $ (10 ) $ 9 $ 370 Other comprehensive income (loss) before reclassifications (77 ) (23 ) (3 ) — (103 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (9 ) 29 — — 20 Net investment income (9 ) — — — (9 ) Interest expense — — — (1 ) (1 ) Total before tax (18 ) 29 — (1 ) 10 Tax (provision) benefit 6 (10 ) — 0 (4 ) Total amount reclassified from AOCI, net of tax (12 ) 19 — (1 ) 6 Net current period other comprehensive income (loss) (89 ) (4 ) (3 ) (1 ) (97 ) Balance, September 30, 2015 $ 278 $ 0 $ (13 ) $ 8 $ 273 Changes in Accumulated Other Comprehensive Income by Component Nine Months 2014 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other 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: 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 (loss) 159 16 (1 ) (1 ) 173 Balance, September 30, 2014 $ 337 $ (8 ) $ (4 ) $ 8 $ 333 |
Schedule of Share Repurchases | Share Repurchases Period Number of Shares Repurchased Total Payments(in millions) Average Price Paid Per Share 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 2014 (October 1 - December 31) 6,388,187 152 23.83 Total 2014 24,413,781 590 24.17 2015 (January 1 - March 31) 5,860,291 152 25.87 2015 (April 1 - June 30) 4,737,388 133 28.13 2015 (July 1 - September 30) 5,362,103 135 25.17 Total 2015 (through September 30) 15,959,782 420 26.31 2015 (October 1 through November 5) 1,750,310 48 27.16 Total 2015 17,710,092 468 26.39 Cumulative repurchases since the beginning of 2013 54,636,632 $ 1,322 $ 24.19 |
Subsidiary Information (Tables)
Subsidiary Information (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Subsidiary Information [abstract] | |
Condensed Consolidating Balance Sheet | CONDENSED CONSOLIDATING BALANCE SHEET AS OF SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 100 $ 61 $ 22 $ 11,595 $ (369 ) $ 11,409 Investment in subsidiaries 5,696 5,348 4,042 369 (15,455 ) — Premiums receivable, net of commissions payable — — — 814 (138 ) 676 Ceded unearned premium reserve — — — 1,316 (1,053 ) 263 Deferred acquisition costs — — — 182 (64 ) 118 Reinsurance recoverable on unpaid losses — — — 461 (372 ) 89 Credit derivative assets — — — 249 (178 ) 71 Deferred tax asset, net — 37 — 517 (128 ) 426 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,547 — 1,547 Other 28 107 39 599 (338 ) 435 TOTAL ASSETS $ 5,824 $ 5,553 $ 4,103 $ 17,739 $ (18,185 ) $ 15,034 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 5,285 $ (1,173 ) $ 4,112 Loss and LAE reserve — — — 1,438 (431 ) 1,007 Long-term debt — 847 444 15 — 1,306 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 1,096 (178 ) 918 Deferred tax liabilities, net — — 91 — (91 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,482 — 1,482 Other 5 24 20 816 (475 ) 390 TOTAL LIABILITIES 5 961 555 10,432 (2,738 ) 9,215 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 5,819 4,592 3,548 6,938 (15,078 ) 5,819 Noncontrolling interest — — — 369 (369 ) — TOTAL SHAREHOLDERS' EQUITY 5,819 4,592 3,548 7,307 (15,447 ) 5,819 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 5,824 $ 5,553 $ 4,103 $ 17,739 $ (18,185 ) $ 15,034 CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 126 $ 204 $ 47 $ 11,382 $ (300 ) $ 11,459 Investment in subsidiaries 5,612 5,072 3,965 339 (14,988 ) — Premiums receivable, net of commissions payable — — — 864 (135 ) 729 Ceded unearned premium reserve — — — 1,469 (1,088 ) 381 Deferred acquisition costs — — — 186 (65 ) 121 Reinsurance recoverable on unpaid losses — — — 338 (260 ) 78 Credit derivative assets — — — 277 (209 ) 68 Deferred tax asset, net — 54 — 295 (89 ) 260 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,402 — 1,402 Other 27 77 27 538 (242 ) 427 TOTAL ASSETS $ 5,765 $ 5,407 $ 4,039 $ 17,180 $ (17,466 ) $ 14,925 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 5,328 $ (1,067 ) $ 4,261 Loss and LAE reserve — — — 1,066 (267 ) 799 Long-term debt — 847 437 19 — 1,303 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 1,172 (209 ) 963 Deferred tax liabilities, net — — 94 — (94 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,419 — 1,419 Other 7 9 16 764 (374 ) 422 TOTAL LIABILITIES 7 946 547 10,068 (2,401 ) 9,167 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 5,758 4,461 3,492 6,773 (14,726 ) 5,758 Noncontrolling interest — — — 339 (339 ) — TOTAL SHAREHOLDERS’ EQUITY 5,758 4,461 3,492 7,112 (15,065 ) 5,758 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 5,765 $ 5,407 $ 4,039 $ 17,180 $ (17,466 ) $ 14,925 |
Condensed Consolidating Statement of Operations and Comprehensive Income | CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 219 $ (6 ) $ 213 Net investment income 0 0 0 113 (1 ) 112 Net realized investment gains (losses) 0 0 0 (22 ) (5 ) (27 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 6 0 6 Net unrealized gains (losses) — — — 81 (1 ) 80 Net change in fair value of credit derivatives — — — 87 (1 ) 86 Bargain purchase gain and settlement of pre-existing relationships — — — — — — Other 0 — — (16 ) — (16 ) TOTAL REVENUES 0 0 0 381 (13 ) 368 EXPENSES Loss and LAE — — — 114 (2 ) 112 Amortization of deferred acquisition costs — — — 8 (3 ) 5 Interest expense — 13 13 4 (5 ) 25 Other operating expenses 7 0 1 47 (1 ) 54 TOTAL EXPENSES 7 13 14 173 (11 ) 196 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (13 ) (14 ) 208 (2 ) 172 Total (provision) benefit for income taxes — 5 5 (55 ) 2 (43 ) Equity in net earnings of subsidiaries 136 126 133 10 (405 ) — NET INCOME (LOSS) $ 129 $ 118 $ 124 $ 163 $ (405 ) $ 129 Less: noncontrolling interest — — — 10 (10 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 129 $ 118 $ 124 $ 153 $ (395 ) $ 129 COMPREHENSIVE INCOME (LOSS) $ 163 $ 138 $ 139 $ 199 $ (476 ) $ 163 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (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 ) — (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 NINE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 585 $ (11 ) $ 574 Net investment income 0 0 0 318 (7 ) 311 Net realized investment gains (losses) 0 0 1 (13 ) (8 ) (20 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 35 0 35 Net unrealized gains (losses) — — — 292 (27 ) 265 Net change in fair value of credit derivatives — — — 327 (27 ) 300 Bargain purchase gain and settlement of pre-existing relationships — — — 54 160 214 Other 0 0 — 53 0 53 TOTAL REVENUES 0 0 1 1,324 107 1,432 EXPENSES Loss and LAE — — — 316 2 318 Amortization of deferred acquisition costs — — — 22 (7 ) 15 Interest expense — 39 40 11 (14 ) 76 Other operating expenses 24 1 1 152 (2 ) 176 TOTAL EXPENSES 24 40 41 501 (21 ) 585 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (24 ) (40 ) (40 ) 823 128 847 Total (provision) benefit for income taxes — 14 14 (205 ) (43 ) (220 ) Equity in net earnings of subsidiaries 651 594 347 30 (1,622 ) — NET INCOME (LOSS) $ 627 $ 568 $ 321 $ 648 $ (1,537 ) $ 627 Less: noncontrolling interest — — — 30 (30 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 627 $ 568 $ 321 $ 618 $ (1,507 ) $ 627 COMPREHENSIVE INCOME (LOSS) $ 530 $ 482 $ 269 $ 554 $ (1,305 ) $ 530 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (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 Cash Flows | CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 451 $ 209 $ 134 $ 99 $ (932 ) $ (39 ) Cash flows from investing activities Fixed-maturity securities: Purchases — (72 ) (8 ) (1,830 ) 66 (1,844 ) Sales — 170 27 1,522 — 1,719 Maturities — 8 — 627 — 635 Sales (purchases) of short-term investments, net 26 42 4 679 — 751 Net proceeds from financial guaranty variable entities’ assets — — — 114 — 114 Intercompany debt — — — — — — Investment in subsidiary — — 25 — (25 ) — Acquisition of Radian Asset, net of cash acquired — — — (800 ) — (800 ) Other — (5 ) — 64 — 59 Net cash flows provided by (used in) investing activities 26 143 48 376 41 634 Cash flows from financing activities Return of capital — — — (25 ) 25 — Dividends paid (55 ) (351 ) (182 ) (333 ) 866 (55 ) Repurchases of common stock (420 ) — — — — (420 ) Share activity under option and incentive plans (2 ) — — — — (2 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (122 ) — (122 ) Payment of long-term debt — — — (3 ) — (3 ) Intercompany debt — — — — — — Net cash flows provided by (used in) financing activities (477 ) (351 ) (182 ) (483 ) 891 (602 ) Effect of exchange rate changes — — — (2 ) — (2 ) Increase (decrease) in cash — 1 — (10 ) — (9 ) Cash at beginning of period 0 0 4 71 — 75 Cash at end of period $ 0 $ 1 $ 4 $ 61 $ — $ 66 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 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 Intercompany debt — — — — — — 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 ) Intercompany debt — — — — — — 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 |
Business and Basis of Present46
Business and Basis of Presentation (Details) $ in Millions | 9 Months Ended | |
Sep. 30, 2015USD ($)Company | Dec. 31, 2014USD ($) | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Number of holding companies having public debt outstanding | Company | 2 | |
Debt issuance cost | $ 5 | |
Fair value of investments elected to calculate net asset per share | $ 45 | $ 76 |
Acquisition of Radian Asset A47
Acquisition of Radian Asset Assurance Inc. - Narrative (Details) - Radian [Member] - USD ($) $ in Millions | Apr. 01, 2015 | Sep. 30, 2015 | |
Business Acquisition [Line Items] | |||
Cash purchase price | [1] | $ 804 | |
Net par amount outstanding assumed in business acquisition | 13,600 | ||
Revenue | $ 348 | ||
Net income (loss) | $ 228 | ||
AGC [Member] | |||
Business Acquisition [Line Items] | |||
Cash purchase price | 804.5 | ||
AGUS [Member] | AGC [Member] | |||
Business Acquisition [Line Items] | |||
Acquisition loan from parent company | $ 200 | ||
[1] | The cash purchase price of $804 million was the cash transferred for the acquisition which was allocated as follows: (1) $987 million for the purchase of net assets of $1,042 million, and (2) the settlement of pre-existing relationships between Radian and Assured Guaranty at a fair value of $(183) million. |
Acquisition of Radian Asset A48
Acquisition of Radian Asset Assurance Inc. - Assets and Liabilities Assumed (Details) - Radian [Member] $ in Millions | Apr. 01, 2015USD ($) | |
Business Acquisition [Line Items] | ||
Cash purchase price | $ 804 | [1] |
Identifiable assets acquired: | ||
Investments | 1,473 | |
Cash | 4 | |
Ceded unearned premium reserve, fair value of net assets acquired, before settlement of pre-existing relationships | (3) | |
Ceded unearned premium reserve, net effect of settlement of pre-existing relationships | (65) | |
Ceded unearned premium reserve | (68) | |
Credit derivative assets | 30 | |
Deferred tax asset, net, fair value of net assets acquired | 263 | |
Deferred tax asset, net, settlement of pre-existing relationships | (56) | |
Deferred tax asset, net | 207 | |
Financial guaranty VIE assets | 122 | |
Other assets, fair value of net assets acquired | 86 | |
Other assets, settlement of pre-existing relationship | (67) | |
Other assets | 19 | |
Total assets, fair value of net assets acquired | 1,975 | |
Total assets, settlement of pre-existing relationships | (188) | |
Total assets | 1,787 | |
Liabilities assumed: | ||
Unearned premium reserves, fair value of net assets acquired | 697 | |
Unearned premium reserves, settlement of pre-existing relationships | (216) | |
Unearned premium reserves | 481 | |
Credit derivative liabilities, fair value of net assets acquired | 271 | |
Credit derivative liabilities, settlement of pre-existing relationship | (26) | |
Credit derivative liabilities | 245 | |
Financial guaranty VIE liabilities | 118 | |
Other liabilities, fair value of net assets acquired | 30 | |
Other liabilities, settlement of pre-existing relationship | (49) | |
Other liabilities | (19) | |
Total liabilities, fair value of net assets acquired | 1,116 | |
Total liabilities, settlement of pre-existing relationships | (291) | |
Total liabilities | 825 | |
Net assets resulting from acquisition, fair value of net assets acquired | 859 | |
Net assets resulting from acquisition, settlement of pre-existing relationships | 103 | |
Net asset effect of Radian Asset Acquisition | 962 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after tax, fair value of net assets acquired | 55 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax, settlement of pre-existing relationships | 103 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax | 158 | |
Deferred tax, settlement of pre-existing relationships | 56 | |
Deferred tax | 56 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisitions, pre-tax, fair value of net assets acquired | 55 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, pre-tax, settlement of pre-existing relationships | 159 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, pre-tax | 214 | |
Consideration transferred | 987 | |
Assumed assets including pre-existing relationship | 1,042 | |
Settlement of pre-existing relationship | $ (183) | |
[1] | The cash purchase price of $804 million was the cash transferred for the acquisition which was allocated as follows: (1) $987 million for the purchase of net assets of $1,042 million, and (2) the settlement of pre-existing relationships between Radian and Assured Guaranty at a fair value of $(183) million. |
Acquisition of Radian Asset A49
Acquisition of Radian Asset Assurance Inc. - Acquisition Costs (Details) - Radian [Member] $ in Millions | 9 Months Ended |
Sep. 30, 2015USD ($) | |
Business Acquisition [Line Items] | |
Professional services | $ 2 |
Financial Advisory fees | 10 |
Total | $ 12 |
Acquisition of Radian Asset A50
Acquisition of Radian Asset Assurance Inc. - Pro Forma Information (Details) - Radian [Member] - USD ($) $ / shares in Units, $ in Millions | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Business Acquisition [Line Items] | ||
Pro forma revenues | $ 1,255 | $ 1,542 |
Pro forma net income | $ 493 | $ 958 |
Pro forma earnings per share: | ||
Basic (in dollars per share) | $ 3.27 | $ 5.43 |
Diluted (in dollars per share) | $ 3.25 | $ 5.40 |
Outstanding Exposure - Debt Ser
Outstanding Exposure - Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 582,043 | $ 646,722 |
Net Debt Service Outstanding | 556,381 | 609,622 |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 532,771 | 587,245 |
Net Debt Service Outstanding | 509,645 | 553,612 |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 49,272 | 59,477 |
Net Debt Service Outstanding | $ 46,736 | $ 56,010 |
Outstanding Exposure - Financia
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 372,361 | [1],[2] | $ 403,729 | [3] | |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] | |
Loss mitigation bonds | $ 1,600 | $ 1,300 | |||
AAA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 23,527 | $ 30,143 | |||
% of total net par outstanding | 6.30% | 7.50% | |||
AA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 84,586 | $ 101,965 | |||
% of total net par outstanding | 22.70% | 25.30% | |||
A [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 178,480 | $ 186,875 | |||
% of total net par outstanding | 48.00% | 46.30% | |||
BBB [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 68,157 | $ 66,499 | |||
% of total net par outstanding | 18.30% | 16.40% | |||
BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 17,611 | $ 18,247 | |||
% of total net par outstanding | 4.70% | 4.50% | |||
Public Finance [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 300,732 | [1],[2] | $ 322,123 | [3] | |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] | |
Public Finance [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 30,103 | [1],[2] | $ 31,359 | [3] | |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] | |
Public Finance [Member] | AAA [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 3,067 | $ 4,082 | |||
% of total net par outstanding | 1.00% | 1.30% | |||
Public Finance [Member] | AAA [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 702 | $ 615 | |||
% of total net par outstanding | 2.40% | 2.00% | |||
Public Finance [Member] | AA [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 73,224 | $ 90,464 | |||
% of total net par outstanding | 24.30% | 28.10% | |||
Public Finance [Member] | AA [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 2,416 | $ 2,785 | |||
% of total net par outstanding | 8.00% | 8.90% | |||
Public Finance [Member] | A [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 168,963 | $ 176,298 | |||
% of total net par outstanding | 56.20% | 54.70% | |||
Public Finance [Member] | A [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 6,906 | $ 7,192 | |||
% of total net par outstanding | 22.90% | 22.90% | |||
Public Finance [Member] | BBB [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 45,998 | $ 43,429 | |||
% of total net par outstanding | 15.30% | 13.50% | |||
Public Finance [Member] | BBB [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 18,565 | $ 19,363 | |||
% of total net par outstanding | 61.70% | 61.70% | |||
Public Finance [Member] | BIG [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 9,480 | $ 7,850 | |||
% of total net par outstanding | 3.20% | 2.40% | |||
Public Finance [Member] | BIG [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 1,514 | $ 1,404 | |||
% of total net par outstanding | 5.00% | 4.50% | |||
Structured Finance [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 35,435 | [1],[2] | $ 41,171 | [3] | |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] | |
Structured Finance [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 6,091 | [1],[2] | $ 9,076 | [3] | |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] | |
Structured Finance [Member] | AAA [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 16,730 | [4] | $ 20,037 | ||
% of total net par outstanding | 47.20% | 48.70% | |||
Structured Finance [Member] | AAA [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 3,028 | $ 5,409 | |||
% of total net par outstanding | 49.70% | 59.60% | |||
Structured Finance [Member] | AA [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 8,624 | $ 8,213 | |||
% of total net par outstanding | 24.30% | 19.90% | |||
Structured Finance [Member] | AA [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 322 | $ 503 | |||
% of total net par outstanding | 5.30% | 5.50% | |||
Structured Finance [Member] | A [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 2,279 | $ 2,940 | |||
% of total net par outstanding | 6.50% | 7.10% | |||
Structured Finance [Member] | A [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 332 | $ 445 | |||
% of total net par outstanding | 5.40% | 4.90% | |||
Structured Finance [Member] | BBB [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 1,744 | $ 1,795 | |||
% of total net par outstanding | 4.90% | 4.40% | |||
Structured Finance [Member] | BBB [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 1,850 | $ 1,912 | |||
% of total net par outstanding | 30.40% | 21.10% | |||
Structured Finance [Member] | BIG [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 6,058 | $ 8,186 | |||
% of total net par outstanding | 17.10% | 19.90% | |||
Structured Finance [Member] | BIG [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 559 | $ 807 | |||
% of total net par outstanding | 9.20% | 8.90% | |||
Radian [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | [1],[2] | $ 12,400 | |||
[1] | Excludes $1.6 billion of loss mitigation securities insured and held by the Company as of September 30, 2015, which are primarily BIG. | ||||
[2] | The September 30, 2015 amounts include $12.4 billion of net par acquired from Radian Asset. | ||||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. | ||||
[4] | (3)Includes $1,351 million net par in the form of CDS that was upgraded from BIG as of September 30, 2015, in anticipation of the termination of such CDS that occurred early in the fourth quarter of 2015. In the fourth quarter of 2015, the exposure will be removed. |
Outstanding Exposure - Componen
Outstanding Exposure - Components of BIG Net Par Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 372,361 | [1],[2] | $ 403,729 | [3] |
Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,750 | 3,133 | ||
Trust Preferred Securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,647 | 4,326 | ||
Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,823 | 1,857 | ||
Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 23,906 | 31,514 | ||
BIG [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 17,611 | 18,247 | ||
BIG [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 216 | 598 | ||
BIG [Member] | Trust Preferred Securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 840 | 1,333 | ||
BIG [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 165 | 195 | ||
BIG [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,266 | 1,224 | ||
BIG [Member] | BIG 1 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 10,799 | 11,865 | ||
BIG [Member] | BIG 1 [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 0 | ||
BIG [Member] | BIG 1 [Member] | Trust Preferred Securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 549 | 997 | ||
BIG [Member] | BIG 1 [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 14 | ||
BIG [Member] | BIG 1 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,061 | 1,007 | ||
BIG [Member] | BIG 2 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,020 | 2,689 | ||
BIG [Member] | BIG 2 [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 0 | ||
BIG [Member] | BIG 2 [Member] | Trust Preferred Securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 291 | 0 | ||
BIG [Member] | BIG 2 [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 80 | 68 | ||
BIG [Member] | BIG 2 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 165 | 172 | ||
BIG [Member] | BIG 3 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,792 | 3,693 | ||
BIG [Member] | BIG 3 [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 216 | 598 | ||
BIG [Member] | BIG 3 [Member] | Trust Preferred Securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 336 | ||
BIG [Member] | BIG 3 [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 85 | 113 | ||
BIG [Member] | BIG 3 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 40 | 45 | ||
United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 300,732 | [1],[2] | 322,123 | [3] |
United States [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 8,400 | 9,417 | ||
United States [Member] | BIG [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 9,480 | 7,850 | ||
United States [Member] | BIG [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,130 | 5,643 | ||
United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 7,132 | 6,577 | ||
United States [Member] | BIG [Member] | BIG 1 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,144 | 1,868 | ||
United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,212 | 1,156 | ||
United States [Member] | BIG [Member] | BIG 2 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 671 | 1,291 | ||
United States [Member] | BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 136 | 117 | ||
United States [Member] | BIG [Member] | BIG 3 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,315 | 2,484 | ||
Non United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 30,103 | [1],[2] | 31,359 | [3] |
Non United States [Member] | BIG [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,514 | 1,404 | ||
Non United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 913 | 1,402 | ||
Non United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 601 | 2 | ||
Non United States [Member] | BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 0 | ||
First Lien [Member] | United States [Member] | Prime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 465 | 471 | ||
First Lien [Member] | United States [Member] | Alt-A [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,189 | 2,532 | ||
First Lien [Member] | United States [Member] | Option ARM [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 308 | 407 | ||
First Lien [Member] | United States [Member] | Subprime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,759 | 4,051 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Prime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 312 | 353 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Alt-A [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 821 | 1,841 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Option ARM [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 151 | 183 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Subprime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,336 | 1,575 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | Prime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 228 | 68 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | Alt-A [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 106 | 585 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | Option ARM [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 48 | 47 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | Subprime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 153 | 156 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | Prime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 57 | 33 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | Alt-A [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 77 | 531 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | Option ARM [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 8 | 18 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | Subprime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 474 | 654 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | Prime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 27 | 252 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | Alt-A [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 638 | 725 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | Option ARM [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 95 | 118 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | Subprime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 709 | 765 | ||
Second Lien [Member] | United States [Member] | Closed-end [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 203 | 218 | ||
Second Lien [Member] | United States [Member] | HELOCs [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,476 | 1,738 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | Closed-end [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 128 | 134 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | HELOCs [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,382 | 1,557 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | Closed-end [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 0 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | HELOCs [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 609 | 1,012 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | Closed-end [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 19 | 19 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | HELOCs [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 36 | 36 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | Closed-end [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 109 | 115 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | HELOCs [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 737 | $ 509 | ||
[1] | Excludes $1.6 billion of loss mitigation securities insured and held by the Company as of September 30, 2015, which are primarily BIG. | |||
[2] | The September 30, 2015 amounts include $12.4 billion of net par acquired from Radian Asset. | |||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. |
Outstanding Exposure - BIG Net
Outstanding Exposure - BIG Net Par Outstanding (Details) $ in Millions | Sep. 30, 2015USD ($)risk | Dec. 31, 2014USD ($)risk | |||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Credit Derivative | $ 29,633 | [1] | $ 34,996 | ||
Net par amount outstanding | 372,361 | [2],[3] | 403,729 | [4] | |
BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | 15,582 | 15,222 | |||
Net Par Outstanding, Credit Derivative | [5] | 2,029 | 3,025 | ||
Net par amount outstanding | $ 17,611 | $ 18,247 | |||
Number of Risks, Financial Guaranty Insurance | risk | [6] | 451 | 358 | ||
Number of Risks, Credit Derivative | risk | [7] | 33 | 56 | ||
Number of Risks | risk | [7] | 484 | 414 | ||
BIG [Member] | BIG 1 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Credit Derivative | $ 1,247 | $ 1,670 | |||
Net par amount outstanding | $ 10,799 | $ 11,865 | |||
Number of Risks, Credit Derivative | risk | [7] | 13 | 18 | ||
Number of Risks | risk | [7] | 252 | 182 | ||
BIG [Member] | BIG 2 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Credit Derivative | $ 610 | $ 554 | |||
Net par amount outstanding | $ 4,020 | $ 2,689 | |||
Number of Risks, Credit Derivative | risk | [7] | 8 | 14 | ||
Number of Risks | risk | [7] | 95 | 89 | ||
BIG [Member] | BIG 3 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Credit Derivative | $ 172 | $ 801 | |||
Net par amount outstanding | $ 2,792 | $ 3,693 | |||
Number of Risks, Credit Derivative | risk | [7] | 12 | 24 | ||
Number of Risks | risk | [7] | 137 | 143 | ||
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [8] | $ 15,582 | $ 15,222 | ||
Number of Risks, Financial Guaranty Insurance | risk | [6],[7],[8] | 451 | 358 | ||
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG [Member] | BIG 1 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [8] | $ 9,552 | $ 10,195 | ||
Number of Risks, Financial Guaranty Insurance | risk | [6],[7],[8] | 239 | 164 | ||
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG [Member] | BIG 2 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [8] | $ 3,410 | $ 2,135 | ||
Number of Risks, Financial Guaranty Insurance | risk | [6],[7],[8] | 87 | 75 | ||
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG [Member] | BIG 3 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [8] | $ 2,620 | $ 2,892 | ||
Number of Risks, Financial Guaranty Insurance | risk | [6],[7],[8] | 125 | 119 | ||
[1] | The September 30, 2015 total amount includes $4.3 billion net par outstanding of credit derivatives acquired from Radian Asset. | ||||
[2] | Excludes $1.6 billion of loss mitigation securities insured and held by the Company as of September 30, 2015, which are primarily BIG. | ||||
[3] | The September 30, 2015 amounts include $12.4 billion of net par acquired from Radian Asset. | ||||
[4] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. | ||||
[5] | The September 30, 2015 BIG amount includes $489 million net par outstanding of credit derivatives acquired from Radian Asset. | ||||
[6] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure | ||||
[7] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. | ||||
[8] | Includes net par outstanding for VIEs. |
Outstanding Exposure - Puerto R
Outstanding Exposure - Puerto Rico Gross Par and Gross Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Schedule of Insured Financial Obligations [Line Items] | |||
Gross Debt Service Outstanding | $ 582,043 | $ 646,722 | |
Puerto Rico [Member] | |||
Schedule of Insured Financial Obligations [Line Items] | |||
Gross par outstanding | 5,798 | 6,035 | |
Gross Debt Service Outstanding | 9,684 | 10,074 | |
Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | |||
Schedule of Insured Financial Obligations [Line Items] | |||
Gross par outstanding | [1] | 2,965 | 3,058 |
Gross Debt Service Outstanding | [1] | 5,164 | 5,326 |
Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | |||
Schedule of Insured Financial Obligations [Line Items] | |||
Gross par outstanding | 2,833 | 2,977 | |
Gross Debt Service Outstanding | $ 4,520 | $ 4,748 | |
[1] | On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the Federal Bankruptcy Code and is therefore void, and on July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling. |
Outstanding Exposure - Puerto56
Outstanding Exposure - Puerto Rico Net Par Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 372,361 | [1],[2] | $ 403,729 | [3] |
Puerto Rico [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 5,091 | [4] | 4,939 | |
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,575 | [4] | 2,447 | |
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | PRHTA (Transportation revenue) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 909 | [4] | 844 | |
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | PREPA [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 744 | [4] | 772 | |
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | Puerto Rico Aqueduct and Sewer Authority [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 388 | [4] | 384 | |
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | PRHTA (Highway revenue) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 370 | [4] | 273 | |
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | Puerto Rico Convention Center District Authority [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 164 | [4] | 174 | |
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,516 | [4] | 2,492 | |
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | Commonwealth of Puerto Rico - General Obligation Bonds [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,620 | [4] | 1,672 | |
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico Municipal Finance Agency [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 387 | [4] | 399 | |
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico Sales Tax Financing Corporation [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 269 | [4] | 269 | |
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico Public Buildings Authority [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 188 | [4] | 100 | |
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | GDB [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 33 | [4] | 33 | |
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | PRIFA [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 18 | [4] | 18 | |
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | University of Puerto Rico [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1 | [4] | $ 1 | |
[1] | Excludes $1.6 billion of loss mitigation securities insured and held by the Company as of September 30, 2015, which are primarily BIG. | |||
[2] | The September 30, 2015 amounts include $12.4 billion of net par acquired from Radian Asset. | |||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. | |||
[4] | $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million |
Outstanding Exposure - Amortiza
Outstanding Exposure - Amortization Schedule of Puerto Rico BIG Net Par Outstanding and BIG Net Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | ||
Estimated BIG Net Par Amortization [Abstract] | ||||
Net Par Outstanding (excluding loss mitigation bonds) | $ 372,361 | [1],[2] | $ 403,729 | [3] |
Estimated BIG Net Debt Service Amortization [Abstract] | ||||
Total | 556,381 | 609,622 | ||
Puerto Rico [Member] | ||||
Estimated BIG Net Par Amortization [Abstract] | ||||
2015 (October 1 - December 31) | 33 | |||
2,016 | 302 | |||
2,017 | 222 | |||
2,018 | 179 | |||
2,019 | 204 | |||
2,020 | 270 | |||
2,021 | 125 | |||
2,022 | 115 | |||
2,023 | 151 | |||
2,024 | 174 | |||
2025-2029 | 1,014 | |||
2030-2034 | 980 | |||
2035-2039 | 713 | |||
2040-2044 | 363 | |||
2045-2047 | 246 | |||
Net Par Outstanding (excluding loss mitigation bonds) | 5,091 | [4] | 4,939 | |
Estimated BIG Net Debt Service Amortization [Abstract] | ||||
2015 (October 1 - December 31) | 36 | |||
2,016 | 559 | |||
2,017 | 464 | |||
2,018 | 410 | |||
2,019 | 424 | |||
2,020 | 482 | |||
2,021 | 323 | |||
2,022 | 305 | |||
2,023 | 337 | |||
2,024 | 352 | |||
2025-2029 | 1,755 | |||
2030-2034 | 1,501 | |||
2035-2039 | 953 | |||
2040-2044 | 468 | |||
2045-2047 | 272 | |||
Total | 8,641 | |||
BIG [Member] | ||||
Estimated BIG Net Par Amortization [Abstract] | ||||
Net Par Outstanding (excluding loss mitigation bonds) | 17,611 | 18,247 | ||
Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||
Estimated BIG Net Par Amortization [Abstract] | ||||
2015 (October 1 - December 31) | 0 | |||
2,016 | 98 | |||
2,017 | 51 | |||
2,018 | 56 | |||
2,019 | 74 | |||
2,020 | 87 | |||
2,021 | 66 | |||
2,022 | 47 | |||
2,023 | 110 | |||
2,024 | 89 | |||
2025-2029 | 619 | |||
2030-2034 | 506 | |||
2035-2039 | 429 | |||
2040-2044 | 97 | |||
2045-2047 | 246 | |||
Net Par Outstanding (excluding loss mitigation bonds) | 2,575 | [4] | 2,447 | |
Estimated BIG Net Debt Service Amortization [Abstract] | ||||
2015 (October 1 - December 31) | 2 | |||
2,016 | 229 | |||
2,017 | 175 | |||
2,018 | 178 | |||
2,019 | 192 | |||
2,020 | 202 | |||
2,021 | 176 | |||
2,022 | 153 | |||
2,023 | 214 | |||
2,024 | 188 | |||
2025-2029 | 1,032 | |||
2030-2034 | 788 | |||
2035-2039 | 569 | |||
2040-2044 | 171 | |||
2045-2047 | 272 | |||
Total | 4,541 | |||
Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||
Estimated BIG Net Par Amortization [Abstract] | ||||
2015 (October 1 - December 31) | 33 | |||
2,016 | 204 | |||
2,017 | 171 | |||
2,018 | 123 | |||
2,019 | 130 | |||
2,020 | 183 | |||
2,021 | 59 | |||
2,022 | 68 | |||
2,023 | 41 | |||
2,024 | 85 | |||
2025-2029 | 395 | |||
2030-2034 | 474 | |||
2035-2039 | 284 | |||
2040-2044 | 266 | |||
2045-2047 | 0 | |||
Net Par Outstanding (excluding loss mitigation bonds) | 2,516 | [4] | $ 2,492 | |
Estimated BIG Net Debt Service Amortization [Abstract] | ||||
2015 (October 1 - December 31) | 34 | |||
2,016 | 330 | |||
2,017 | 289 | |||
2,018 | 232 | |||
2,019 | 232 | |||
2,020 | 280 | |||
2,021 | 147 | |||
2,022 | 152 | |||
2,023 | 123 | |||
2,024 | 164 | |||
2025-2029 | 723 | |||
2030-2034 | 713 | |||
2035-2039 | 384 | |||
2040-2044 | 297 | |||
2045-2047 | 0 | |||
Total | $ 4,100 | |||
[1] | Excludes $1.6 billion of loss mitigation securities insured and held by the Company as of September 30, 2015, which are primarily BIG. | |||
[2] | The September 30, 2015 amounts include $12.4 billion of net par acquired from Radian Asset. | |||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. | |||
[4] | $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million |
Outstanding Exposure - Net Dire
Outstanding Exposure - Net Direct Economic Exposure to Selected European Countries (Details) $ in Millions | Sep. 30, 2015USD ($) | |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | $ 2,234 | [1] |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 866 | [1] |
Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 455 | [1] |
Hungary [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 385 | [1] |
Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,298 | [1] |
Italy [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [1] |
Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 89 | [1] |
Portugal [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 89 | [1] |
Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 392 | [1] |
Spain [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 392 | [1] |
Total Sovereign Exposure [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,573 | [1] |
Total Sovereign Exposure [Member] | Non-Infrastructure Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,160 | [1],[2] |
Total Sovereign Exposure [Member] | Infrastructure finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 413 | [1] |
Total Sovereign Exposure [Member] | Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 279 | [1] |
Total Sovereign Exposure [Member] | Hungary [Member] | Non-Infrastructure Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [1],[2] |
Total Sovereign Exposure [Member] | Hungary [Member] | Infrastructure finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 279 | [1] |
Total Sovereign Exposure [Member] | Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 826 | [1] |
Total Sovereign Exposure [Member] | Italy [Member] | Non-Infrastructure Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 815 | [1],[2] |
Total Sovereign Exposure [Member] | Italy [Member] | Infrastructure finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 11 | [1] |
Total Sovereign Exposure [Member] | Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 89 | [1] |
Total Sovereign Exposure [Member] | Portugal [Member] | Non-Infrastructure Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 89 | [1],[2] |
Total Sovereign Exposure [Member] | Portugal [Member] | Infrastructure finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [1] |
Total Sovereign Exposure [Member] | Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 379 | [1] |
Total Sovereign Exposure [Member] | Spain [Member] | Non-Infrastructure Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 256 | [1],[2] |
Total Sovereign Exposure [Member] | Spain [Member] | Infrastructure finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 123 | |
Total Non-sovereign Exposure [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 661 | [1] |
Total Non-sovereign Exposure [Member] | Regulated utilities [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 218 | [1] |
Total Non-sovereign Exposure [Member] | Residential Mortgage Backed Securities And Other Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 443 | [1] |
Total Non-sovereign Exposure [Member] | Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 176 | [1] |
Total Non-sovereign Exposure [Member] | Hungary [Member] | Regulated utilities [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [1] |
Total Non-sovereign Exposure [Member] | Hungary [Member] | Residential Mortgage Backed Securities And Other Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 176 | [1] |
Total Non-sovereign Exposure [Member] | Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 472 | [1] |
Total Non-sovereign Exposure [Member] | Italy [Member] | Regulated utilities [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 218 | [1] |
Total Non-sovereign Exposure [Member] | Italy [Member] | Residential Mortgage Backed Securities And Other Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 254 | [1] |
Total Non-sovereign Exposure [Member] | Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [1] |
Total Non-sovereign Exposure [Member] | Portugal [Member] | Regulated utilities [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [1] |
Total Non-sovereign Exposure [Member] | Portugal [Member] | Residential Mortgage Backed Securities And Other Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [1] |
Total Non-sovereign Exposure [Member] | Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 13 | [1] |
Total Non-sovereign Exposure [Member] | Spain [Member] | Regulated utilities [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | |
Total Non-sovereign Exposure [Member] | Spain [Member] | Residential Mortgage Backed Securities And Other Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | $ 13 | [1] |
[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 - Narrativ
Outstanding Exposure - Narrative (Details) € in Millions | Jul. 31, 2015USD ($) | Jul. 01, 2015USD ($) | Sep. 30, 2015USD ($) | Sep. 30, 2015EUR (€) | Sep. 30, 2015USD ($) | Sep. 09, 2015USD ($) | Aug. 03, 2015USD ($) | Dec. 31, 2014USD ($) | Aug. 14, 2014 | |||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Probability of paying more claims than being reimbursed (as a percent) | 50.00% | 50.00% | ||||||||||
Net Debt Service Outstanding | $ 556,381,000,000 | $ 609,622,000,000 | ||||||||||
Indirect European exposure | 4,800,000,000 | |||||||||||
Net par amount outstanding | 372,361,000,000 | [1],[2] | 403,729,000,000 | [3] | ||||||||
Surety reinsurance contracts [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | € | € 12 | |||||||||||
Pooled corporate obligations [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Indirect European exposure | 333,000,000 | |||||||||||
Structured Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | 46,736,000,000 | 56,010,000,000 | ||||||||||
Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | 509,645,000,000 | 553,612,000,000 | ||||||||||
BIG [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Maximum period of liquidity claims (in years) | 1 year | |||||||||||
Net par amount outstanding | 17,611,000,000 | 18,247,000,000 | ||||||||||
AAA [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 23,527,000,000 | 30,143,000,000 | ||||||||||
United Kingdom and Ireland [Member] | Mortgage Loans on Real Estate [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | 105,000,000 | 127,000,000 | ||||||||||
United States [Member] | RMBS [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 8,400,000,000 | 9,417,000,000 | ||||||||||
United States [Member] | Structured Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 35,435,000,000 | [1],[2] | 41,171,000,000 | [3] | ||||||||
United States [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 300,732,000,000 | [1],[2] | 322,123,000,000 | [3] | ||||||||
United States [Member] | BIG [Member] | RMBS [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 4,130,000,000 | 5,643,000,000 | ||||||||||
United States [Member] | BIG [Member] | Structured Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 6,058,000,000 | 8,186,000,000 | ||||||||||
United States [Member] | BIG [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 9,480,000,000 | 7,850,000,000 | ||||||||||
United States [Member] | AAA [Member] | Structured Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 16,730,000,000 | [4] | 20,037,000,000 | |||||||||
Net par outstanding updated from BIG | 1,351,000,000 | |||||||||||
United States [Member] | AAA [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 3,067,000,000 | 4,082,000,000 | ||||||||||
Select European Countries [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Indirect European exposure | 278,000,000 | |||||||||||
Greece [Member] | Pooled corporate obligations [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Indirect European exposure | 8,000,000 | |||||||||||
Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | 8,641,000,000 | |||||||||||
Net par amount outstanding | 5,091,000,000 | [5] | 4,939,000,000 | |||||||||
Puerto Rico [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 5,100,000,000 | |||||||||||
Commitment to Provide Guarantees [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Outstanding commitments to provide guaranties | 504,000,000 | |||||||||||
Commitments due before expiration date | 357,000,000 | |||||||||||
Other commitments, future minimum payments, Remainder of Fiscal Year | $ 23,000,000 | |||||||||||
Minimum [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Expiration date for insured financial obligation commitments | Oct. 1, 2015 | |||||||||||
Minimum [Member] | BIG [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Constant discount rate (as a percent) | 4.50% | 4.50% | ||||||||||
Maximum [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Expiration date for insured financial obligation commitments | Feb. 25, 2017 | |||||||||||
Maximum [Member] | BIG [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Constant discount rate (as a percent) | 5.00% | 5.00% | ||||||||||
Radian [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | [1],[2] | $ 12,400,000,000 | ||||||||||
Radian [Member] | Puerto Rico [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Increase in net par due to acquisition | $ 385,000,000 | |||||||||||
PREPA [Member] | Radian [Member] | Puerto Rico [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Increase in net par due to acquisition | 21,000,000 | |||||||||||
Puerto Rico Highways and Transportation Authority [Member] [Member] | Radian [Member] | Puerto Rico [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Increase in net par due to acquisition | $ 166,000,000 | |||||||||||
Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | 4,541,000,000 | |||||||||||
Net par amount outstanding | 2,575,000,000 | [5] | 2,447,000,000 | |||||||||
Subject to the Terms of the Recovery Act [Member] | PRHTA [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 909,000,000 | [5] | 844,000,000 | |||||||||
Subject to the Terms of the Recovery Act [Member] | PREPA [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 744,000,000 | [5] | 772,000,000 | |||||||||
Payments received on par scheduled to be paid | $ 416,000,000 | |||||||||||
Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | 4,100,000,000 | |||||||||||
Net par amount outstanding | 2,516,000,000 | [5] | 2,492,000,000 | |||||||||
Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico Municipal Finance Authority [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 387,000,000 | [5] | $ 399,000,000 | |||||||||
Working Group For The Fiscal And Economic Recovery Of Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Cumulative Financing Gap, Amount Before Corrective Action | $ 27,800,000,000 | |||||||||||
Cumulative Financing Gap, Net Of Corrective Action | $ 14,000,000,000 | |||||||||||
PREPA [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Percentage of outstanding bonds of PREPA | 60.00% | |||||||||||
PREPA [Member] | Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Bonds purchased in settlement | $ 131,000,000 | |||||||||||
Puerto Rico Public Finance Corporation [Member] | Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Overdue debt service payment | $ 58,000,000 | |||||||||||
AGM and AGC [Member] | Subject to the Terms of the Recovery Act [Member] | PREPA [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Bonds bought in settlement | $ 74,000,000 | |||||||||||
PRHTA [Member] | Subject to the Terms of the Recovery Act [Member] | Minimum [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Special assessment bond, contingently issuable | 1,000,000,000 | |||||||||||
PRHTA [Member] | Subject to the Terms of the Recovery Act [Member] | Maximum [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Special assessment bond, contingently issuable | $ 2,950,000,000 | |||||||||||
[1] | Excludes $1.6 billion of loss mitigation securities insured and held by the Company as of September 30, 2015, which are primarily BIG. | |||||||||||
[2] | The September 30, 2015 amounts include $12.4 billion of net par acquired from Radian Asset. | |||||||||||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. | |||||||||||
[4] | (3)Includes $1,351 million net par in the form of CDS that was upgraded from BIG as of September 30, 2015, in anticipation of the termination of such CDS that occurred early in the fourth quarter of 2015. In the fourth quarter of 2015, the exposure will be removed. | |||||||||||
[5] | $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million |
Financial Guaranty Insurance 60
Financial Guaranty Insurance Premiums - Net Earned Premiums (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Financial Guarantee Insurance Premiums [Line Items] | |||||
Scheduled net earned premiums | $ 104 | $ 105 | $ 318 | $ 318 | |
Acceleration of net earned premiums | 105 | 36 | 242 | 79 | |
Accretion of discount on net premiums receivable | 4 | 3 | 13 | 14 | |
Financial guaranty insurance net earned premiums | 213 | 144 | 573 | 411 | |
Other | 0 | 0 | 1 | 1 | |
Net | [1] | 213 | 144 | 574 | 412 |
Variable Interest Entity, Primary Beneficiary [Member] | |||||
Financial Guarantee Insurance Premiums [Line Items] | |||||
Net | $ 6 | $ 5 | $ 16 | $ 27 | |
[1] | Excludes $6 million and $5 million for Third Quarter 2015 and 2014, respectively, and $16 million and $27 million for Nine Months 2015 and 2014, respectively, related to consolidated financial guaranty ("FG") VIEs. |
Financial Guaranty Insurance 61
Financial Guaranty Insurance Premiums - Components of Unearned Premium Reserve (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | ||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Deferred premium revenue, gross | $ 4,126 | $ 4,167 | ||
Deferred premium revenue, ceded | 271 | 387 | ||
Deferred premium revenue, net | [1] | 3,855 | 3,780 | |
Contra-paid, gross | [2] | (14) | 94 | |
Contra-paid, ceded | [2] | (8) | (6) | |
Contra-paid, net | [1],[2] | (6) | 100 | |
Unearned premium reserve, gross | 4,112 | 4,261 | ||
Unearned premium reserve, ceded | 263 | 381 | ||
Unearned premium reserve, net | [1] | 3,849 | 3,880 | |
Total net unearned premium reserve related to FG VIE | 120 | 125 | ||
Contra-paid related to FG and VIEs | 35 | 42 | ||
Financial Guarantee Insurance Product Line [Member] | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Deferred premium revenue, gross | 4,126 | 4,167 | ||
Deferred premium revenue, ceded | 271 | 387 | ||
Deferred premium revenue, net | [1] | 3,855 | [3] | 3,780 |
Other Insurance Product Line [Member] | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Deferred premium revenue, gross | 0 | 0 | ||
Deferred premium revenue, ceded | 0 | 0 | ||
Deferred premium revenue, net | [1] | $ 0 | $ 0 | |
[1] | Excludes $120 million and $125 million of deferred premium revenue, and $35 million and $42 million of contra-paid related to FG VIEs as of September 30, 2015 and December 31, 2014, respectively. | |||
[2] | See Note 7, "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" for an explanation of "contra-paid". | |||
[3] | Excludes scheduled net earned premiums on consolidated FG VIEs of $120 million |
Financial Guaranty Insurance 62
Financial Guaranty Insurance Premiums - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |||
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | |||||
Beginning of period, December 31 | $ 729 | $ 876 | $ 876 | ||
Premiums receivable acquired in Radian Asset Acquisition on April 1, 2015 | 2 | 0 | |||
Gross premium written, net of commissions on assumed business | 103 | 116 | |||
Gross premiums received, net of commissions on assumed business | (140) | (172) | |||
Changes in the expected term | (11) | (21) | |||
Accretion of discount, net of commissions on assumed business | 15 | 17 | |||
Foreign exchange translation | (18) | (16) | |||
Consolidation/deconsolidation of FG VIEs | (4) | 1 | |||
End of period, September 30 | 676 | [1] | 801 | [1] | $ 729 |
Variable Interest Entity, Primary Beneficiary [Member] | |||||
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | |||||
End of period, September 30 | $ 23 | $ 18 | |||
Foreign Currency Concentration Risk [Member] | Premiums Receivable [Member] | |||||
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | |||||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 50.00% | 51.00% | |||
[1] | Excludes $23 million and $18 million as of September 30, 2015 and September 30, 2014, respectively, related to consolidated FG VIEs. |
Financial Guaranty Insurance 63
Financial Guaranty Insurance Premiums - Expected Collections of Gross Premiums Receivable Net of Commissions on Assumed Business (Details) $ in Millions | Sep. 30, 2015USD ($) | |
Financial Guarantee Insurance Premiums [Line Items] | ||
2015 (October 1 – December 31) | $ 25 | |
2,016 | 77 | |
2,017 | 68 | |
2,018 | 61 | |
2,019 | 57 | |
2020-2024 | 240 | |
2025-2029 | 155 | |
2030-2034 | 108 | |
After 2,034 | 99 | |
Total | 890 | [1] |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
Cash collections on FG VIEs | $ 28 | |
[1] | Excludes expected cash collections on FG VIEs of $28 million. |
Financial Guaranty Insurance 64
Financial Guaranty Insurance Premiums - Scheduled Net Earned Premiums Insurance Contracts (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | ||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Deferred premium revenue, net | [1] | $ 3,855 | $ 3,780 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Deferred premium revenue, net | 120 | |||
Financial Guarantee Insurance Product Line [Member] | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
2015 (October 1 – December 31) | 99 | |||
2,016 | 379 | |||
2,017 | 331 | |||
2,018 | 299 | |||
2,019 | 272 | |||
2020-2024 | 1,066 | |||
2025-2029 | 678 | |||
2030-2034 | 405 | |||
After 2,034 | 326 | |||
Deferred premium revenue, net | [1] | 3,855 | [2] | $ 3,780 |
Future accretion | 197 | |||
Total future net earned premiums | $ 4,052 | |||
[1] | Excludes $120 million and $125 million of deferred premium revenue, and $35 million and $42 million of contra-paid related to FG VIEs as of September 30, 2015 and December 31, 2014, respectively. | |||
[2] | Excludes scheduled net earned premiums on consolidated FG VIEs of $120 million |
Financial Guaranty Insurance 65
Financial Guaranty Insurance Premiums - Selected Information for Policies Paid in Installments (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | [1] | Dec. 31, 2013 | ||
Financial Guarantee Insurance Premiums [Line Items] | ||||||
Premiums receivable, net of commission payable | $ 676 | [1] | $ 729 | $ 801 | $ 876 | |
Policies Paid in Installments [Member] | ||||||
Financial Guarantee Insurance Premiums [Line Items] | ||||||
Premiums receivable, net of commission payable | 676 | 729 | ||||
Gross deferred premium revenue | $ 1,250 | $ 1,370 | ||||
Weighted-average risk-free rate used to discount premiums | 3.40% | 3.50% | ||||
Weighted-average period of premiums receivable (in years) | 9 years 3 months 24 days | 9 years 4 months 24 days | ||||
[1] | Excludes $23 million and $18 million as of September 30, 2015 and September 30, 2014, respectively, related to consolidated FG VIEs. |
Expected Loss to be Paid - Net
Expected Loss to be Paid - Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Rollforward (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |||||
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 | $ 1,510 | $ 1,035 | $ 1,169 | [1] | $ 982 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 190 | ||||||||
Economic loss development after recoveries for R&W | (3) | (63) | 186 | (28) | |||||
Accretion of discount | 10 | 24 | |||||||
Changes in discount rates | 11 | (29) | |||||||
Changes in timing and assumptions | (24) | 191 | |||||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (200) | (39) | (238) | (21) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 1,307 | [1] | 933 | $ 1,307 | [1] | 933 | |||
Period after the end of the reporting period within which the ceded paid losses are typically settled (in days) | 45 days | ||||||||
Loss and LAE Reserve paid | 7 | 6 | $ 16 | 20 | |||||
Expected LAE to be paid | 13 | 13 | $ 16 | ||||||
Subtotal [Member] | |||||||||
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 | 1,169 | ||||||||
Economic loss development after recoveries for R&W | (3) | (63) | 186 | (28) | |||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 1,307 | 1,307 | |||||||
Public Finance [Member] | |||||||||
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 | 657 | 391 | 348 | [1] | 321 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 85 | ||||||||
Economic loss development after recoveries for R&W | 91 | 1 | 321 | 101 | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (18) | (8) | (24) | (38) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 730 | [1] | 384 | 730 | [1] | 384 | |||
Public Finance [Member] | United States [Member] | |||||||||
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 | 613 | 339 | 303 | [1] | 264 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 81 | ||||||||
Economic loss development after recoveries for R&W | 92 | 2 | 327 | 107 | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (18) | (8) | (24) | (38) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 687 | [1] | 333 | 687 | [1] | 333 | |||
Public Finance [Member] | Non United States [Member] | |||||||||
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 | 44 | 52 | 45 | [1] | 57 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 4 | ||||||||
Economic loss development after recoveries for R&W | (1) | (1) | (6) | (6) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 0 | 0 | 0 | 0 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 43 | [1] | 51 | 43 | [1] | 51 | |||
RMBS [Member] | United States [Member] | |||||||||
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 | 524 | 476 | 584 | [1] | 493 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 4 | ||||||||
Economic loss development after recoveries for R&W | (76) | (62) | (104) | (131) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (113) | (33) | (149) | 19 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 335 | [1] | 381 | 335 | [1] | 381 | |||
RMBS [Member] | First Lien [Member] | United States [Member] | |||||||||
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 | 521 | 602 | 595 | [1] | 620 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 3 | ||||||||
Economic loss development after recoveries for R&W | (89) | (30) | (117) | (68) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (123) | (38) | (172) | (18) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 309 | [1] | 534 | 309 | [1] | 534 | |||
RMBS [Member] | First Lien [Member] | Prime [Member] | United States [Member] | |||||||||
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 | 11 | 4 | [1] | 21 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 0 | ||||||||
Economic loss development after recoveries for R&W | 0 | (1) | (1) | (11) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (1) | 0 | (3) | 0 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 0 | [1] | 10 | 0 | [1] | 10 | |||
RMBS [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | |||||||||
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 | 265 | 301 | 304 | [1] | 304 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 7 | ||||||||
Economic loss development after recoveries for R&W | (111) | (18) | (132) | (6) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (108) | (35) | (133) | (50) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 46 | [1] | 248 | 46 | [1] | 248 | |||
RMBS [Member] | First Lien [Member] | Option ARM [Member] | United States [Member] | |||||||||
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 | (18) | (51) | (16) | [1] | (9) | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 0 | ||||||||
Economic loss development after recoveries for R&W | (4) | 0 | (3) | (39) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 6 | 20 | 3 | 17 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | (16) | [1] | (31) | (16) | [1] | (31) | |||
RMBS [Member] | First Lien [Member] | Subprime [Member] | United States [Member] | |||||||||
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 | 273 | 341 | 303 | [1] | 304 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | (4) | ||||||||
Economic loss development after recoveries for R&W | 26 | (11) | 19 | (12) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (20) | (23) | (39) | 15 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 279 | [1] | 307 | 279 | [1] | 307 | |||
RMBS [Member] | Second Lien [Member] | United States [Member] | |||||||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||||||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 3 | (126) | (11) | [1] | (127) | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 1 | ||||||||
Economic loss development after recoveries for R&W | 13 | (32) | 13 | (63) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 10 | 5 | 23 | 37 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 26 | [1] | (153) | 26 | [1] | (153) | |||
RMBS [Member] | Second Lien [Member] | Closed-end [Member] | United States [Member] | |||||||||
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 | 9 | (9) | 8 | [1] | (11) | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 0 | ||||||||
Economic loss development after recoveries for R&W | 0 | 2 | (2) | 2 | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 2 | 2 | 5 | 4 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 11 | [1] | (5) | 11 | [1] | (5) | |||
RMBS [Member] | Second Lien [Member] | HELOCs [Member] | United States [Member] | |||||||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||||||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | (6) | (117) | (19) | [1] | (116) | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 1 | ||||||||
Economic loss development after recoveries for R&W | 13 | (34) | 15 | (65) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 8 | 3 | 18 | 33 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 15 | [1] | (148) | 15 | [1] | (148) | |||
Triple-X Life Insurance Transaction [Member] | |||||||||
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 | 165 | 90 | 161 | [1] | 75 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 0 | ||||||||
Economic loss development after recoveries for R&W | 1 | 3 | 8 | 21 | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (68) | (1) | (71) | (4) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 98 | [1] | 92 | 98 | [1] | 92 | |||
Trust Preferred Securities (TruPS) [Member] | |||||||||
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 | 10 | 32 | 23 | [1] | 51 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 0 | ||||||||
Economic loss development after recoveries for R&W | (5) | (5) | (18) | (24) | [3] | ||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 0 | (1) | 0 | (1) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 5 | [1] | 26 | 5 | [1] | 26 | |||
Student Loan [Member] | |||||||||
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 | 58 | 58 | 68 | [1] | 52 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 0 | ||||||||
Economic loss development after recoveries for R&W | (2) | 6 | (7) | 12 | [3] | ||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 0 | 0 | (5) | 0 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 56 | [1] | 64 | 56 | [1] | 64 | |||
Other structured finance [Member] | |||||||||
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 | 96 | (12) | (15) | [1] | (10) | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 101 | ||||||||
Economic loss development after recoveries for R&W | (12) | (6) | (14) | (7) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (1) | 4 | 11 | 3 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 83 | [1] | (14) | 83 | [1] | (14) | |||
Structured Finance [Member] | |||||||||
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 | 853 | 644 | 821 | [1] | 661 | ||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 105 | ||||||||
Economic loss development after recoveries for R&W | (94) | (64) | (135) | (129) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (182) | (31) | (214) | 17 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 577 | [1] | $ 549 | 577 | [1] | $ 549 | |||
Radian [Member] | |||||||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | $ 0 | $ 190 | |||||||
[1] | Includes expected LAE to be paid of $13 million as of September 30, 2015 and $16 million as of December 31, 2014. | ||||||||
[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. The Company paid $7 million and $6 million in LAE for Third Quarter 2015 and 2014, respectively, and $16 million and $20 million in LAE for Nine Months 2015 and 2014, respectively. | ||||||||
[3] | Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Expected Loss to be Paid - Ne67
Expected Loss to be Paid - Net Expected Recoveries from Breaches of R&W Rollforward (Details) - RMBS [Member] - United States [Member] - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |||
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 | $ 225 | $ 651 | $ 317 | $ 712 | ||
R&W development and accretion of discount during period | (1) | 93 | (48) | 160 | ||
R&W recovered during period | (26) | (166) | (73) | (294) | ||
Future net R&W benefit at the end of the period | 198 | [1] | 578 | 198 | [1] | 578 |
First Lien [Member] | ||||||
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 | 509 | 232 | 569 | ||
R&W development and accretion of discount during period | 0 | 35 | (48) | 84 | ||
R&W recovered during period | (25) | (163) | (68) | (272) | ||
Future net R&W benefit at the end of the period | 117 | [1] | 381 | 117 | [1] | 381 |
First Lien [Member] | Prime [Member] | ||||||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ||||||
Future net R&W benefit at the beginning of the period | 1 | 3 | 2 | 4 | ||
R&W development and accretion of discount during period | 0 | 1 | (1) | 0 | ||
R&W recovered during period | 0 | (1) | 0 | (1) | ||
Future net R&W benefit at the end of the period | 1 | [1] | 3 | 1 | [1] | 3 |
First Lien [Member] | Alt-A [Member] | ||||||
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 | 263 | 106 | 274 | ||
R&W development and accretion of discount during period | 9 | 19 | (1) | 20 | ||
R&W recovered during period | (2) | (79) | (5) | (91) | ||
Future net R&W benefit at the end of the period | 100 | [1] | 203 | 100 | [1] | 203 |
First Lien [Member] | Option ARM [Member] | ||||||
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 | (33) | 144 | 15 | 173 | ||
R&W development and accretion of discount during period | (5) | 10 | (19) | 30 | ||
R&W recovered during period | (20) | (76) | (54) | (125) | ||
Future net R&W benefit at the end of the period | (58) | [1] | 78 | (58) | [1] | 78 |
First Lien [Member] | Subprime [Member] | ||||||
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 | 81 | 99 | 109 | 118 | ||
R&W development and accretion of discount during period | (4) | 5 | (27) | 34 | ||
R&W recovered during period | (3) | (7) | (9) | (55) | ||
Future net R&W benefit at the end of the period | 74 | [1] | 97 | 74 | [1] | 97 |
Second Lien [Member] | ||||||
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 | 83 | 142 | 85 | 143 | ||
R&W development and accretion of discount during period | (1) | 58 | 0 | 76 | ||
R&W recovered during period | (1) | (3) | (5) | (22) | ||
Future net R&W benefit at the end of the period | 81 | [1] | 197 | 81 | [1] | 197 |
Second Lien [Member] | Closed-end [Member] | ||||||
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 | 83 | 93 | 85 | 98 | ||
R&W development and accretion of discount during period | (1) | (1) | 0 | (4) | ||
R&W recovered during period | (1) | (3) | (5) | (5) | ||
Future net R&W benefit at the end of the period | 81 | [1] | 89 | 81 | [1] | 89 |
Second Lien [Member] | HELOCs [Member] | ||||||
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 | 0 | 49 | 0 | 45 | ||
R&W development and accretion of discount during period | 0 | 59 | 0 | 80 | ||
R&W recovered during period | 0 | 0 | 0 | (17) | ||
Future net R&W benefit at the end of the period | $ 0 | [1] | $ 108 | $ 0 | [1] | $ 108 |
[1] | See the section "Breaches of Representations and Warranties" below for eligible assets held in trust. |
Expected Loss to be Paid - Ne68
Expected Loss to be Paid - Net Expected Loss to be Paid and Net Economic Loss Development by Accounting Model (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||||||||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | ||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | $ 1,307 | [1] | $ 933 | $ 1,307 | [1] | $ 933 | $ 1,510 | $ 1,169 | [1] | $ 1,035 | $ 982 | ||
Economic loss development after recoveries for R&W | (3) | (63) | 186 | (28) | |||||||||
Subtotal [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 1,307 | 1,307 | 1,169 | ||||||||||
Economic loss development after recoveries for R&W | (3) | (63) | 186 | (28) | |||||||||
Public Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 730 | [1] | 384 | 730 | [1] | 384 | 657 | 348 | [1] | 391 | 321 | ||
Economic loss development after recoveries for R&W | 91 | 1 | 321 | 101 | |||||||||
Public Finance [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 687 | [1] | 333 | 687 | [1] | 333 | 613 | 303 | [1] | 339 | 264 | ||
Economic loss development after recoveries for R&W | 92 | 2 | 327 | 107 | |||||||||
Public Finance [Member] | Non United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 43 | [1] | 51 | 43 | [1] | 51 | 44 | 45 | [1] | 52 | 57 | ||
Economic loss development after recoveries for R&W | (1) | (1) | (6) | (6) | |||||||||
RMBS [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 335 | [1] | 381 | 335 | [1] | 381 | 524 | 584 | [1] | 476 | 493 | ||
Economic loss development after recoveries for R&W | (76) | (62) | (104) | (131) | |||||||||
RMBS [Member] | First Lien [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 309 | [1] | 534 | 309 | [1] | 534 | 521 | 595 | [1] | 602 | 620 | ||
Economic loss development after recoveries for R&W | (89) | (30) | (117) | (68) | |||||||||
RMBS [Member] | First Lien [Member] | Financing Receivable, Prime [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 0 | [1] | 10 | 0 | [1] | 10 | 1 | 4 | [1] | 11 | 21 | ||
Economic loss development after recoveries for R&W | 0 | (1) | (1) | (11) | |||||||||
RMBS [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 46 | [1] | 248 | 46 | [1] | 248 | 265 | 304 | [1] | 301 | 304 | ||
Economic loss development after recoveries for R&W | (111) | (18) | (132) | (6) | |||||||||
RMBS [Member] | First Lien [Member] | Option ARM [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | (16) | [1] | (31) | (16) | [1] | (31) | (18) | (16) | [1] | (51) | (9) | ||
Economic loss development after recoveries for R&W | (4) | 0 | (3) | (39) | |||||||||
RMBS [Member] | First Lien [Member] | Subprime [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 279 | [1] | 307 | 279 | [1] | 307 | 273 | 303 | [1] | 341 | 304 | ||
Economic loss development after recoveries for R&W | 26 | (11) | 19 | (12) | |||||||||
RMBS [Member] | Second Lien [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 26 | [1] | (153) | 26 | [1] | (153) | 3 | (11) | [1] | (126) | (127) | ||
Economic loss development after recoveries for R&W | 13 | (32) | 13 | (63) | |||||||||
RMBS [Member] | Second Lien [Member] | Closed-end [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 11 | [1] | (5) | 11 | [1] | (5) | 9 | 8 | [1] | (9) | (11) | ||
Economic loss development after recoveries for R&W | 0 | 2 | (2) | 2 | |||||||||
RMBS [Member] | Second Lien [Member] | HELOCs [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 15 | [1] | (148) | 15 | [1] | (148) | (6) | (19) | [1] | (117) | (116) | ||
Economic loss development after recoveries for R&W | 13 | (34) | 15 | (65) | |||||||||
Triple-X Life Insurance Transaction [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 98 | [1] | 92 | 98 | [1] | 92 | 165 | 161 | [1] | 90 | 75 | ||
Economic loss development after recoveries for R&W | 1 | 3 | 8 | 21 | |||||||||
Trust Preferred Securities (TruPS) [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 5 | [1] | 26 | 5 | [1] | 26 | 10 | 23 | [1] | 32 | 51 | ||
Economic loss development after recoveries for R&W | (5) | (5) | (18) | (24) | [2] | ||||||||
Student Loan [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 56 | [1] | 64 | 56 | [1] | 64 | 58 | 68 | [1] | 58 | 52 | ||
Economic loss development after recoveries for R&W | (2) | 6 | (7) | 12 | [2] | ||||||||
Other structured finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 83 | [1] | (14) | 83 | [1] | (14) | 96 | (15) | [1] | (12) | (10) | ||
Economic loss development after recoveries for R&W | (12) | (6) | (14) | (7) | |||||||||
Structured Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 577 | [1] | 549 | 577 | [1] | 549 | $ 853 | 821 | [1] | $ 644 | $ 661 | ||
Economic loss development after recoveries for R&W | (94) | (64) | (135) | (129) | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Subtotal [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 1,145 | 1,145 | 989 | ||||||||||
Economic loss development after recoveries for R&W | 67 | (50) | 286 | (37) | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Public Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 730 | 730 | 348 | ||||||||||
Economic loss development after recoveries for R&W | 90 | 1 | 326 | 102 | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Public Finance [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 687 | 687 | 303 | ||||||||||
Economic loss development after recoveries for R&W | 91 | 2 | 332 | 107 | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Public Finance [Member] | Non United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 43 | 43 | 45 | ||||||||||
Economic loss development after recoveries for R&W | (1) | (1) | (6) | (5) | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | RMBS [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 237 | 237 | 385 | ||||||||||
Economic loss development after recoveries for R&W | (19) | (55) | (35) | (163) | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | RMBS [Member] | First Lien [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 253 | 253 | 438 | ||||||||||
Economic loss development after recoveries for R&W | (30) | (9) | (47) | (25) | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | RMBS [Member] | First Lien [Member] | Financing Receivable, Prime [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 2 | 2 | 2 | ||||||||||
Economic loss development after recoveries for R&W | 0 | (1) | 0 | 0 | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | RMBS [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 109 | 109 | 288 | ||||||||||
Economic loss development after recoveries for R&W | (44) | 6 | (54) | 32 | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | RMBS [Member] | First Lien [Member] | Option ARM [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | (17) | (17) | (15) | ||||||||||
Economic loss development after recoveries for R&W | (2) | 7 | (5) | (32) | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | RMBS [Member] | First Lien [Member] | Subprime [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 159 | 159 | 163 | ||||||||||
Economic loss development after recoveries for R&W | 16 | (21) | 12 | (25) | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | RMBS [Member] | Second Lien [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | (16) | (16) | (53) | ||||||||||
Economic loss development after recoveries for R&W | 11 | (46) | 12 | (138) | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | RMBS [Member] | Second Lien [Member] | Closed-end [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | (23) | (23) | (27) | ||||||||||
Economic loss development after recoveries for R&W | (1) | 2 | (2) | 0 | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | RMBS [Member] | Second Lien [Member] | HELOCs [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 7 | 7 | (26) | ||||||||||
Economic loss development after recoveries for R&W | 12 | (48) | 14 | (138) | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Triple-X Life Insurance Transaction [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 88 | 88 | 153 | ||||||||||
Economic loss development after recoveries for R&W | (1) | 3 | 4 | 20 | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Trust Preferred Securities (TruPS) [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 0 | 0 | 1 | ||||||||||
Economic loss development after recoveries for R&W | 0 | (1) | (1) | (2) | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Student Loan [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 56 | 56 | 68 | ||||||||||
Economic loss development after recoveries for R&W | (2) | 6 | (7) | 12 | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Other structured finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 34 | 34 | 34 | ||||||||||
Economic loss development after recoveries for R&W | (1) | (4) | (1) | (6) | |||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Structured Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 415 | 415 | 641 | ||||||||||
Economic loss development after recoveries for R&W | (23) | (51) | (40) | (139) | |||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Subtotal [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 135 | 135 | 122 | |||||||||
Economic loss development after recoveries for R&W | [4] | 9 | 21 | 10 | 74 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Public Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [4] | 0 | 0 | 0 | 0 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Public Finance [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [4] | 0 | 0 | 0 | 0 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Public Finance [Member] | Non United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [4] | 0 | 0 | 0 | 0 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 117 | 117 | 126 | |||||||||
Economic loss development after recoveries for R&W | [4] | 9 | 21 | 10 | 75 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | First Lien [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 79 | 79 | 88 | |||||||||
Economic loss development after recoveries for R&W | [4] | 7 | 6 | 9 | (2) | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | First Lien [Member] | Financing Receivable, Prime [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [4] | 0 | 0 | 0 | 0 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 16 | 16 | 17 | |||||||||
Economic loss development after recoveries for R&W | [4] | 0 | (2) | (1) | (12) | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | First Lien [Member] | Option ARM [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [4] | 0 | 0 | 0 | 1 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | First Lien [Member] | Subprime [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 63 | 63 | 71 | |||||||||
Economic loss development after recoveries for R&W | [4] | 7 | 8 | 10 | 9 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | Second Lien [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 38 | 38 | 38 | |||||||||
Economic loss development after recoveries for R&W | [4] | 2 | 15 | 1 | 77 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | Second Lien [Member] | Closed-end [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 30 | 30 | 31 | |||||||||
Economic loss development after recoveries for R&W | [4] | 1 | 1 | 0 | 4 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | Second Lien [Member] | HELOCs [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 8 | 8 | 7 | |||||||||
Economic loss development after recoveries for R&W | [4] | 1 | 14 | 1 | 73 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Triple-X Life Insurance Transaction [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [4] | 0 | 0 | 0 | 0 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Trust Preferred Securities (TruPS) [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [4] | 0 | 0 | 0 | 0 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Student Loan [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [4] | 0 | 0 | 0 | 0 | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Other structured finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 18 | 18 | (4) | |||||||||
Economic loss development after recoveries for R&W | [4] | 0 | 0 | 0 | (1) | ||||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Structured Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [3] | 135 | 135 | 122 | |||||||||
Economic loss development after recoveries for R&W | [4] | 9 | 21 | 10 | 74 | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Subtotal [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 27 | 27 | 58 | |||||||||
Economic loss development after recoveries for R&W | [2] | (79) | (34) | (110) | (65) | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [2] | 1 | 0 | (5) | (1) | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [2] | 1 | 0 | (5) | 0 | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | Non United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [2] | 0 | 0 | 0 | (1) | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | RMBS [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | (19) | (19) | 73 | |||||||||
Economic loss development after recoveries for R&W | [2] | (66) | (28) | (79) | (43) | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | RMBS [Member] | First Lien [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | (23) | (23) | 69 | |||||||||
Economic loss development after recoveries for R&W | [2] | (66) | (27) | (79) | (41) | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | RMBS [Member] | First Lien [Member] | Financing Receivable, Prime [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | (2) | (2) | 2 | |||||||||
Economic loss development after recoveries for R&W | [2] | 0 | 0 | (1) | (11) | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | RMBS [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | (79) | (79) | (1) | |||||||||
Economic loss development after recoveries for R&W | [2] | (67) | (22) | (77) | (26) | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | RMBS [Member] | First Lien [Member] | Option ARM [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 1 | 1 | (1) | |||||||||
Economic loss development after recoveries for R&W | [2] | (2) | (7) | 2 | (8) | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | RMBS [Member] | First Lien [Member] | Subprime [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 57 | 57 | 69 | |||||||||
Economic loss development after recoveries for R&W | [2] | 3 | 2 | (3) | 4 | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | RMBS [Member] | Second Lien [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 4 | 4 | 4 | |||||||||
Economic loss development after recoveries for R&W | [2] | 0 | (1) | 0 | (2) | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | RMBS [Member] | Second Lien [Member] | Closed-end [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 4 | 4 | 4 | |||||||||
Economic loss development after recoveries for R&W | [2] | 0 | (1) | 0 | (2) | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | RMBS [Member] | Second Lien [Member] | HELOCs [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [2] | 0 | 0 | 0 | 0 | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Triple-X Life Insurance Transaction [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 10 | 10 | 8 | |||||||||
Economic loss development after recoveries for R&W | [2] | 2 | 0 | 4 | 1 | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Trust Preferred Securities (TruPS) [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 5 | 5 | 22 | |||||||||
Economic loss development after recoveries for R&W | [2] | (5) | (4) | (17) | (22) | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Student Loan [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 0 | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | [2] | 0 | 0 | 0 | 0 | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Other structured finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 31 | 31 | (45) | |||||||||
Economic loss development after recoveries for R&W | [2] | (11) | (2) | (13) | 0 | ||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Structured Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 27 | 27 | $ 58 | |||||||||
Economic loss development after recoveries for R&W | [2] | $ (80) | $ (34) | $ (105) | $ (64) | ||||||||
[1] | Includes expected LAE to be paid of $13 million as of September 30, 2015 and $16 million as of December 31, 2014. | ||||||||||||
[2] | Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. | ||||||||||||
[3] | Refer to Note 10, Consolidated Variable Interest Entities. | ||||||||||||
[4] | Refer to Note 10, Consolidated Variable Interest Entities. | ||||||||||||
[5] | Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Expected Loss to be Paid - Liqu
Expected Loss to be Paid - Liquidation Rates and Key Assumptions in Base Case Expected Loss First Lien RMBS (Details) | 6 Months Ended | 9 Months Ended | 12 Months Ended | |||
Jun. 30, 2015 | Sep. 30, 2015 | Dec. 31, 2014 | ||||
Financing Receivable, Modified in Previous 12 Months [Member] | Subprime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |||
Financing Receivable, Modified in Previous 12 Months [Member] | Alt-A and Prime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |||
Financing Receivable, Modified in Previous 12 Months [Member] | Option ARM [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |||
Financing Receivable, Delinquent in the Previous 12 Months [Member] | Subprime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |||
Financing Receivable, Delinquent in the Previous 12 Months [Member] | Alt-A and Prime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |||
Financing Receivable, Delinquent in the Previous 12 Months [Member] | Option ARM [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |||
Financing Receivables, 30 to 59 Days Past Due [Member] | Subprime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 35.00% | 50.00% | 35.00% | |||
Financing Receivables, 30 to 59 Days Past Due [Member] | Alt-A and Prime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 35.00% | 35.00% | 35.00% | |||
Financing Receivables, 30 to 59 Days Past Due [Member] | Option ARM [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 40.00% | 45.00% | 40.00% | |||
Financing Receivables, 60 to 89 Days Past Due [Member] | Subprime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 40.00% | 55.00% | 40.00% | |||
Financing Receivables, 60 to 89 Days Past Due [Member] | Alt-A and Prime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 50.00% | 45.00% | 50.00% | |||
Financing Receivables, 60 to 89 Days Past Due [Member] | Option ARM [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 55.00% | 55.00% | 55.00% | |||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Subprime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 55.00% | 60.00% | 55.00% | |||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Alt-A and Prime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 60.00% | 55.00% | 60.00% | |||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Option ARM [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 65.00% | 65.00% | 65.00% | |||
Financing Receivables, Bankruptcy [Member] | Subprime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 40.00% | 40.00% | 40.00% | |||
Financing Receivables, Bankruptcy [Member] | Alt-A and Prime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 45.00% | 45.00% | 45.00% | |||
Financing Receivables, Bankruptcy [Member] | Option ARM [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 50.00% | 50.00% | 50.00% | |||
Financing Receivable, Foreclosure [Member] | Subprime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 70.00% | 70.00% | 70.00% | |||
Financing Receivable, Foreclosure [Member] | Alt-A and Prime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 75.00% | 65.00% | 75.00% | |||
Financing Receivable, Foreclosure [Member] | Option ARM [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 80.00% | 75.00% | 80.00% | |||
Financing Receivable, Real Estate Owned [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 100.00% | 100.00% | 100.00% | |||
United States [Member] | Alt-A [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Period until intermediate CDR | [1] | 48 months | 48 months | 48 months | ||
Final CPR | [1],[2] | 15.00% | ||||
United States [Member] | Alt-A [Member] | 2005 and prior [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Initial loss severity | [1] | 60.00% | 60.00% | 60.00% | ||
United States [Member] | Alt-A [Member] | 2006 [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Initial loss severity | [1] | 70.00% | 70.00% | 70.00% | ||
United States [Member] | Alt-A [Member] | 2007 [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Initial loss severity | [1] | 65.00% | 65.00% | 65.00% | ||
United States [Member] | Alt-A [Member] | Minimum [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [1] | 1.70% | 2.40% | 2.00% | ||
Intermediate CDR | [1] | 0.30% | 0.50% | 0.40% | ||
Final CDR | [1] | 0.10% | 0.10% | 0.10% | ||
Initial CPR | [1] | 1.60% | 2.70% | 1.70% | ||
Final CPR | [1],[2] | 15.00% | 15.00% | |||
United States [Member] | Alt-A [Member] | Maximum [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [1] | 13.30% | 15.40% | 13.40% | ||
Intermediate CDR | [1] | 2.70% | 3.10% | 2.70% | ||
Final CDR | [1] | 0.70% | 0.80% | 0.70% | ||
Initial CPR | [1] | 27.70% | 32.00% | 21.00% | ||
Final CPR | [1],[2] | 27.70% | 32.00% | |||
United States [Member] | Alt-A [Member] | Weighted Average [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [1] | 7.10% | 6.40% | 7.30% | ||
Intermediate CDR | [1] | 1.40% | 1.30% | 1.50% | ||
Final CDR | [1] | 0.30% | 0.30% | 0.30% | ||
Initial CPR | [1] | 8.50% | 8.90% | 7.70% | ||
Final CPR | 15.30% | [1],[2] | 15.50% | [3],[4] | ||
United States [Member] | Option ARM [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Period until intermediate CDR | [1] | 48 months | 48 months | 48 months | ||
Final CPR | [1],[2] | 15.00% | 15.00% | 15.00% | ||
United States [Member] | Option ARM [Member] | 2005 and prior [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Initial loss severity | [1] | 60.00% | 60.00% | 60.00% | ||
United States [Member] | Option ARM [Member] | 2006 [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Initial loss severity | [1] | 70.00% | 70.00% | 70.00% | ||
United States [Member] | Option ARM [Member] | 2007 [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Initial loss severity | [1] | 65.00% | 65.00% | 65.00% | ||
United States [Member] | Option ARM [Member] | Minimum [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [1] | 4.00% | 3.60% | 4.30% | ||
Intermediate CDR | [1] | 0.80% | 0.70% | 0.90% | ||
Final CDR | [1] | 0.20% | 0.20% | 0.20% | ||
Initial CPR | [1] | 1.60% | 2.20% | 1.10% | ||
United States [Member] | Option ARM [Member] | Maximum [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [1] | 12.10% | 11.20% | 14.20% | ||
Intermediate CDR | [1] | 2.40% | 2.20% | 2.80% | ||
Final CDR | [1] | 0.60% | 0.60% | 0.70% | ||
Initial CPR | [1] | 12.30% | 7.80% | 11.80% | ||
United States [Member] | Option ARM [Member] | Weighted Average [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [1] | 9.20% | 8.50% | 10.60% | ||
Intermediate CDR | [1] | 1.80% | 1.70% | 2.10% | ||
Final CDR | [1] | 0.50% | 0.40% | 0.50% | ||
Initial CPR | [1] | 5.00% | 4.90% | 4.90% | ||
United States [Member] | Subprime [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Period until intermediate CDR | [1] | 48 months | 48 months | 48 months | ||
Final CPR | [1],[2] | 15.00% | 15.00% | 15.00% | ||
United States [Member] | Subprime [Member] | 2005 and prior [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Initial loss severity | [1] | 75.00% | 75.00% | 75.00% | ||
United States [Member] | Subprime [Member] | 2006 [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Initial loss severity | [1] | 90.00% | 90.00% | 90.00% | ||
United States [Member] | Subprime [Member] | 2007 [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Initial loss severity | [1] | 90.00% | 90.00% | 90.00% | ||
United States [Member] | Subprime [Member] | Minimum [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [1] | 4.90% | 5.00% | 4.90% | ||
Intermediate CDR | [1] | 1.00% | 1.00% | 1.00% | ||
Final CDR | [1] | 0.20% | 0.30% | 0.20% | ||
Initial CPR | [1] | 0.00% | 0.00% | 0.00% | ||
United States [Member] | Subprime [Member] | Maximum [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [1] | 13.50% | 13.70% | 15.00% | ||
Intermediate CDR | [1] | 2.70% | 2.70% | 3.00% | ||
Final CDR | [1] | 0.70% | 0.70% | 0.70% | ||
Initial CPR | [1] | 8.70% | 9.30% | 10.50% | ||
United States [Member] | Subprime [Member] | Weighted Average [Member] | RMBS [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [1] | 9.70% | 10.00% | 10.60% | ||
Intermediate CDR | [1] | 1.90% | 2.00% | 2.10% | ||
Final CDR | [1] | 0.40% | 0.40% | 0.40% | ||
Initial CPR | [1] | 4.00% | 3.90% | 6.10% | ||
[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. | |||||
[3] | 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. | |||||
[4] | Represents variables for most heavily weighted scenario (the “base case”). |
Expected Loss to be Paid - Key
Expected Loss to be Paid - Key Assumptions in Base Case Expected Loss Second Lien RMBS (Details) | 6 Months Ended | 9 Months Ended | 12 Months Ended | |||
Jun. 30, 2015 | Sep. 30, 2015 | Dec. 31, 2014 | ||||
RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Expected period until final CDR | [2] | 34 months | [1] | 34 months | 34 months | [1] |
RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | Minimum [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [2] | 5.30% | 6.00% | 2.80% | ||
Final CDR | [2] | 0.50% | 0.50% | 0.50% | ||
Initial CPR | [2] | 9.30% | [1] | 9.80% | 6.90% | [1] |
Final CPR | [1],[2] | 10.00% | 10.00% | 15.00% | ||
Loss severity | [2] | 90.00% | 90.00% | 90.00% | ||
RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | Maximum [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [2] | 23.30% | 24.00% | 6.80% | ||
Final CDR | [2] | 3.20% | 3.20% | 3.20% | ||
Initial CPR | [1],[2] | 21.80% | ||||
Final CPR | [1],[2] | 15.00% | 15.00% | 21.80% | ||
Loss severity | [2] | 98.00% | 98.00% | 98.00% | ||
RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | Weighted Average [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [2] | 8.90% | 9.50% | 4.10% | ||
Final CDR | [2] | 1.20% | 1.20% | 1.20% | ||
Initial CPR | [2] | 9.30% | [1] | 9.80% | 11.00% | [1] |
Final CPR | [1],[2] | 13.25% | 13.30% | 15.50% | ||
Loss severity | [2] | 90.50% | 90.30% | 90.40% | ||
RMBS [Member] | United States [Member] | Subprime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Period until intermediate CDR | [3] | 48 months | 48 months | 48 months | ||
Final CPR | [3],[4] | 15.00% | 15.00% | 15.00% | ||
RMBS [Member] | United States [Member] | Subprime [Member] | Minimum [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [3] | 4.90% | 5.00% | 4.90% | ||
Final CDR | [3] | 0.20% | 0.30% | 0.20% | ||
Initial CPR | [3] | 0.00% | 0.00% | 0.00% | ||
RMBS [Member] | United States [Member] | Subprime [Member] | Maximum [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [3] | 13.50% | 13.70% | 15.00% | ||
Final CDR | [3] | 0.70% | 0.70% | 0.70% | ||
Initial CPR | [3] | 8.70% | 9.30% | 10.50% | ||
RMBS [Member] | United States [Member] | Subprime [Member] | Weighted Average [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [3] | 9.70% | 10.00% | 10.60% | ||
Final CDR | [3] | 0.40% | 0.40% | 0.40% | ||
Initial CPR | [3] | 4.00% | 3.90% | 6.10% | ||
RMBS [Member] | United States [Member] | Closed-end [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Expected period until final CDR | [2] | 34 months | 34 months | 34 months | ||
Final CPR | [1],[2] | 15.00% | 15.00% | |||
Loss severity | [2] | 98.00% | 98.00% | 98.00% | ||
RMBS [Member] | United States [Member] | Closed-end [Member] | Minimum [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [2] | 6.00% | 6.00% | 5.50% | ||
Final CDR | [2] | 3.50% | 3.50% | 3.50% | ||
Initial CPR | [2] | 5.30% | 5.70% | 2.80% | ||
Final CPR | [1],[2] | 15.00% | ||||
RMBS [Member] | United States [Member] | Closed-end [Member] | Maximum [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [2] | 21.40% | 19.70% | 12.50% | ||
Final CDR | [2] | 9.20% | 9.20% | 9.10% | ||
Initial CPR | [2] | 13.40% | 15.10% | 13.90% | ||
Final CPR | [1],[2] | 15.10% | ||||
RMBS [Member] | United States [Member] | Closed-end [Member] | Weighted Average [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Plateau CDR | [2] | 10.80% | 10.20% | 7.20% | ||
Final CDR | [2] | 4.80% | 4.80% | 4.90% | ||
Initial CPR | [2] | 8.60% | 9.00% | 9.90% | ||
Final CPR | [1],[2] | 15.00% | ||||
Financing Receivable, Modified in Previous 12 Months [Member] | Alt-A and Prime [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |||
[1] | 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. | |||||
[2] | Represents variables for most heavily weighted scenario (the “base case”). | |||||
[3] | Represents variables for most heavily weighted scenario (the “base case”). | |||||
[4] | 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 Loss to be Paid - Comp
Expected Loss to be Paid - Components of Development and Accretion Amounts of Estimated Recoveries (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Expected Losses [Abstract] | ||||
Estimated increase (decrease) in defaults that will result in additional (lower) breaches(1) | $ (16) | $ (4) | $ (65) | $ (15) |
Inclusion or removal of deals with breaches of R&W during period | 0 | 0 | 0 | 0 |
Change in recovery assumptions | 0 | 4 | 0 | 31 |
Settlements and anticipated settlements | 14 | 90 | 14 | 96 |
Accretion of discount on balance | 1 | 3 | 3 | 48 |
Total | $ (1) | $ 93 | $ (48) | $ 160 |
Expected Loss to be Paid - Narr
Expected Loss to be Paid - Narrative (Details) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||||||||||
Dec. 31, 2014USD ($)risk | Sep. 30, 2015USD ($)riskTransaction | Jun. 30, 2015USD ($) | Sep. 30, 2014USD ($) | Sep. 30, 2015USD ($)riskTransactionCurvePaymentscenario | Sep. 30, 2014USD ($) | Dec. 31, 2014USD ($)risk | Oct. 31, 2015USD ($) | Apr. 01, 2015USD ($) | Mar. 31, 2015USD ($) | Jun. 30, 2014USD ($) | Dec. 31, 2013USD ($) | May. 06, 2013 | May. 31, 2012USD ($) | Apr. 14, 2011USD ($) | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Number of risks subject to R&W recovery | risk | 29 | 28 | 28 | 29 | |||||||||||||||||
Risks subject to R&W recovery, related net debt service amount | $ 2,100,000,000 | $ 1,900,000,000 | $ 1,900,000,000 | $ 2,100,000,000 | |||||||||||||||||
Number of risk subject to R&W recovery, terminated in next fiscal quarter | risk | 1 | 1 | |||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 1,169,000,000 | [1] | $ 1,307,000,000 | [1] | $ 1,510,000,000 | $ 933,000,000 | $ 1,307,000,000 | [1] | $ 933,000,000 | 1,169,000,000 | [1] | $ 1,035,000,000 | $ 982,000,000 | ||||||||
Economic loss development after recoveries for R&W | (3,000,000) | (63,000,000) | 186,000,000 | (28,000,000) | |||||||||||||||||
Net par amount outstanding | 403,729,000,000 | [2] | 372,361,000,000 | [3],[4] | 372,361,000,000 | [3],[4] | 403,729,000,000 | [2] | |||||||||||||
Net Debt Service Outstanding | 609,622,000,000 | $ 556,381,000,000 | $ 556,381,000,000 | $ 609,622,000,000 | |||||||||||||||||
Minimum [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Discount factor (as a percent) | 0.00% | 0.00% | |||||||||||||||||||
Liquidation Rate for Bankruptcy Delinquent Category | 10.00% | 10.00% | |||||||||||||||||||
Maximum [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Discount factor (as a percent) | 3.34% | 3.37% | |||||||||||||||||||
Liquidation Rate for Bankruptcy Delinquent Category | 100.00% | 100.00% | |||||||||||||||||||
Puerto Rico [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 4,939,000,000 | $ 5,091,000,000 | [5] | $ 5,091,000,000 | [5] | $ 4,939,000,000 | |||||||||||||||
Net Debt Service Outstanding | 8,641,000,000 | 8,641,000,000 | |||||||||||||||||||
Gross par outstanding | 6,035,000,000 | 5,798,000,000 | 5,798,000,000 | 6,035,000,000 | |||||||||||||||||
RMBS [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Risks subject to R&W recovery, related net debt service amount terminated in next fiscal quarter | 568,000,000 | $ 568,000,000 | |||||||||||||||||||
RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Maximum number of payments behind to be considered performing borrower | Payment | 1 | ||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 317,000,000 | 198,000,000 | [6] | 225,000,000 | 578,000,000 | $ 198,000,000 | [6] | 578,000,000 | 317,000,000 | $ 2,000,000 | 651,000,000 | 712,000,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 584,000,000 | [1] | 335,000,000 | [1] | $ 524,000,000 | 381,000,000 | 335,000,000 | [1] | 381,000,000 | 584,000,000 | [1] | 476,000,000 | 493,000,000 | ||||||||
Economic loss development after recoveries for R&W | (76,000,000) | (62,000,000) | (104,000,000) | (131,000,000) | |||||||||||||||||
Net par amount outstanding | $ 9,417,000,000 | $ 8,400,000,000 | $ 8,400,000,000 | $ 9,417,000,000 | |||||||||||||||||
RMBS [Member] | United States [Member] | Subprime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | [7],[8] | 15.00% | 15.00% | 15.00% | 15.00% | 15.00% | |||||||||||||||
RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | [7],[8] | 15.00% | 15.00% | 15.00% | 15.00% | 15.00% | |||||||||||||||
RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | [7],[8] | 15.00% | 15.00% | ||||||||||||||||||
RMBS [Member] | United States [Member] | Closed-end [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | [9],[10] | 15.00% | 15.00% | 15.00% | |||||||||||||||||
RMBS [Member] | United States [Member] | Minimum [Member] | Alt-A [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | [7],[8] | 15.00% | 15.00% | 15.00% | |||||||||||||||||
RMBS [Member] | United States [Member] | Minimum [Member] | HELOCs [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | [9],[10] | 15.00% | 10.00% | 10.00% | 10.00% | 15.00% | |||||||||||||||
RMBS [Member] | United States [Member] | Minimum [Member] | Closed-end [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | [9],[10] | 15.00% | 15.00% | ||||||||||||||||||
RMBS [Member] | United States [Member] | Maximum [Member] | Alt-A [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | [7],[8] | 32.00% | 27.70% | 32.00% | |||||||||||||||||
RMBS [Member] | United States [Member] | Maximum [Member] | HELOCs [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | [9],[10] | 21.80% | 15.00% | 15.00% | 15.00% | 21.80% | |||||||||||||||
RMBS [Member] | United States [Member] | Maximum [Member] | Closed-end [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | [9],[10] | 15.10% | 15.10% | ||||||||||||||||||
HELOCs [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Initial period for which borrower can pay only interest payments | 10 years | ||||||||||||||||||||
Trust Preferred Securities (TruPS) [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 23,000,000 | [1] | $ 5,000,000 | [1] | $ 10,000,000 | 26,000,000 | $ 5,000,000 | [1] | 26,000,000 | $ 23,000,000 | [1] | 32,000,000 | 51,000,000 | ||||||||
Economic loss development after recoveries for R&W | (5,000,000) | (5,000,000) | (18,000,000) | (24,000,000) | [11] | ||||||||||||||||
Net par amount outstanding | 4,326,000,000 | 4,647,000,000 | 4,647,000,000 | 4,326,000,000 | |||||||||||||||||
Triple-X Life Insurance Transaction [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 161,000,000 | [1] | 98,000,000 | [1] | 165,000,000 | 92,000,000 | 98,000,000 | [1] | 92,000,000 | 161,000,000 | [1] | 90,000,000 | 75,000,000 | ||||||||
Economic loss development after recoveries for R&W | 1,000,000 | 3,000,000 | 8,000,000 | 21,000,000 | |||||||||||||||||
Net par amount outstanding | 3,133,000,000 | 2,750,000,000 | 2,750,000,000 | 3,133,000,000 | |||||||||||||||||
Student Loan [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 68,000,000 | [1] | 56,000,000 | [1] | 58,000,000 | 64,000,000 | 56,000,000 | [1] | 64,000,000 | 68,000,000 | [1] | 58,000,000 | 52,000,000 | ||||||||
Economic loss development after recoveries for R&W | (2,000,000) | 6,000,000 | (7,000,000) | 12,000,000 | [11] | ||||||||||||||||
Net par amount outstanding | 1,857,000,000 | 1,823,000,000 | 1,823,000,000 | 1,857,000,000 | |||||||||||||||||
Other structured finance [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | (15,000,000) | [1] | 83,000,000 | [1] | 96,000,000 | (14,000,000) | 83,000,000 | [1] | (14,000,000) | (15,000,000) | [1] | (12,000,000) | (10,000,000) | ||||||||
Economic loss development after recoveries for R&W | (12,000,000) | (6,000,000) | (14,000,000) | (7,000,000) | |||||||||||||||||
Net par amount outstanding | 31,514,000,000 | 23,906,000,000 | 23,906,000,000 | 31,514,000,000 | |||||||||||||||||
Collateralized Loan Obligations [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Increase in net expected losses to be paid after R&W in pessimistic scenario | 120,000,000 | ||||||||||||||||||||
Public Finance [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 348,000,000 | [1] | 730,000,000 | [1] | 657,000,000 | 384,000,000 | 730,000,000 | [1] | 384,000,000 | 348,000,000 | [1] | 391,000,000 | 321,000,000 | ||||||||
Economic loss development after recoveries for R&W | 91,000,000 | 1,000,000 | 321,000,000 | 101,000,000 | |||||||||||||||||
Net Debt Service Outstanding | 553,612,000,000 | 509,645,000,000 | 509,645,000,000 | 553,612,000,000 | |||||||||||||||||
Public Finance [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 303,000,000 | [1] | 687,000,000 | [1] | 613,000,000 | 333,000,000 | 687,000,000 | [1] | 333,000,000 | 303,000,000 | [1] | 339,000,000 | 264,000,000 | ||||||||
Economic loss development after recoveries for R&W | 92,000,000 | 2,000,000 | 327,000,000 | 107,000,000 | |||||||||||||||||
Net par amount outstanding | $ 322,123,000,000 | [2] | 300,732,000,000 | [3],[4] | 300,732,000,000 | [3],[4] | 322,123,000,000 | [2] | |||||||||||||
Public Finance [Member] | Puerto Rico [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Economic loss development after recoveries for R&W | 92,000,000 | 327,000,000 | |||||||||||||||||||
Net par amount outstanding | 5,100,000,000 | 5,100,000,000 | |||||||||||||||||||
Public Finance Stockton Pension Oblgiation Bonds [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 115,000,000 | 115,000,000 | |||||||||||||||||||
Cancelled lease revenue bonds | 40,000,000 | 40,000,000 | |||||||||||||||||||
Non-Infrastructure Public Finance [Member] | Spain [Member] | Sovereign and Sub Sovereign [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 379,000,000 | 379,000,000 | |||||||||||||||||||
Gross par outstanding | 474,000,000 | 474,000,000 | |||||||||||||||||||
Non-Infrastructure Public Finance [Member] | Portugal [Member] | Sovereign and Sub Sovereign [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 89,000,000 | 89,000,000 | |||||||||||||||||||
Gross par outstanding | 96,000,000 | 96,000,000 | |||||||||||||||||||
Non-Infrastructure Public Finance [Member] | Spain, Hungry and Portugal [Member] | Sovereign and Sub Sovereign [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 41,000,000 | 41,000,000 | |||||||||||||||||||
Economic loss development after recoveries for R&W | (1,000,000) | (5,000,000) | |||||||||||||||||||
Deutsche Bank [Member] | RMBS [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Assets held under trust for reimbursement payment | 71,000,000 | 71,000,000 | |||||||||||||||||||
City of Detroit [Member] | Public Finance [Member] | United States [Member] | Unlimited Tax General Obligation [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Guarantor obligation on un-exchanged balance, percent | 15.50% | ||||||||||||||||||||
Net Debt Service Outstanding | 23,000,000 | 23,000,000 | |||||||||||||||||||
Louisville Arena Authority [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 337,000,000 | 337,000,000 | |||||||||||||||||||
BIG [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | $ 18,247,000,000 | 17,611,000,000 | 17,611,000,000 | 18,247,000,000 | |||||||||||||||||
BIG [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 5,643,000,000 | 4,130,000,000 | 4,130,000,000 | 5,643,000,000 | |||||||||||||||||
BIG [Member] | Trust Preferred Securities (TruPS) [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 1,333,000,000 | 840,000,000 | 840,000,000 | 1,333,000,000 | |||||||||||||||||
BIG [Member] | Triple-X Life Insurance Transaction [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 598,000,000 | 216,000,000 | 216,000,000 | 598,000,000 | |||||||||||||||||
BIG [Member] | Triple-X Life Insurance Transaction [Member] | Series A-1 Note [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 382,500,000 | 382,500,000 | |||||||||||||||||||
BIG [Member] | Student Loan [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 195,000,000 | 165,000,000 | 165,000,000 | 195,000,000 | |||||||||||||||||
BIG [Member] | Other structured finance [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 1,224,000,000 | 1,266,000,000 | 1,266,000,000 | 1,224,000,000 | |||||||||||||||||
BIG [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 7,850,000,000 | 9,480,000,000 | 9,480,000,000 | 7,850,000,000 | |||||||||||||||||
BIG [Member] | Non-Infrastructure Public Finance [Member] | Hungary [Member] | Sovereign and Sub Sovereign [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 279,000,000 | 279,000,000 | |||||||||||||||||||
Gross par outstanding | 282,000,000 | 282,000,000 | |||||||||||||||||||
BIG [Member] | Parkway East [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 21,000,000 | 21,000,000 | |||||||||||||||||||
Refinancing Risk on Infrastructure Transactions [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | $ 3,000,000,000 | $ 3,000,000,000 | |||||||||||||||||||
Financial insurance guaranty, infrastructure finance, number of possible claims requiring payment, gross before reinsurance | Transaction | 2 | 2 | |||||||||||||||||||
Financial insurance guaranty, infrastructure finance, possible claims requiring payment, gross before reinsurance | $ 2,000,000,000 | $ 2,000,000,000 | |||||||||||||||||||
Refinancing Risk on Infrastructure Transactions [Member] | Minimum [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Estimated years for recoveries of infrastructure transactions | 10 years | ||||||||||||||||||||
Refinancing Risk on Infrastructure Transactions [Member] | Maximum [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Estimated years for recoveries of infrastructure transactions | 35 years | ||||||||||||||||||||
First Lien [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Number of delinquent payments | Payment | 2 | ||||||||||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | ||||||||||||||||||||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 12 months | ||||||||||||||||||||
Intermediate conditional default rate (as a percent) | 5.00% | 5.00% | |||||||||||||||||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | ||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 232,000,000 | $ 117,000,000 | [6] | 142,000,000 | 381,000,000 | $ 117,000,000 | [6] | 381,000,000 | 232,000,000 | 1,000,000 | 509,000,000 | 569,000,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 595,000,000 | [1] | 309,000,000 | [1] | 521,000,000 | 534,000,000 | 309,000,000 | [1] | 534,000,000 | 595,000,000 | [1] | 602,000,000 | 620,000,000 | ||||||||
Economic loss development after recoveries for R&W | (89,000,000) | (30,000,000) | (117,000,000) | (68,000,000) | |||||||||||||||||
First Lien [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 109,000,000 | 74,000,000 | [6] | 81,000,000 | 97,000,000 | 74,000,000 | [6] | 97,000,000 | 109,000,000 | 1,000,000 | 99,000,000 | 118,000,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 303,000,000 | [1] | 279,000,000 | [1] | 273,000,000 | 307,000,000 | 279,000,000 | [1] | 307,000,000 | 303,000,000 | [1] | 341,000,000 | 304,000,000 | ||||||||
Economic loss development after recoveries for R&W | 26,000,000 | (11,000,000) | 19,000,000 | (12,000,000) | |||||||||||||||||
Net par amount outstanding | 4,051,000,000 | 3,759,000,000 | 3,759,000,000 | 4,051,000,000 | |||||||||||||||||
First Lien [Member] | RMBS [Member] | United States [Member] | Financing Receivable, Prime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 2,000,000 | 1,000,000 | [6] | 1,000,000 | 3,000,000 | 1,000,000 | [6] | 3,000,000 | 2,000,000 | 0 | 3,000,000 | 4,000,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 4,000,000 | [1] | 0 | [1] | 1,000,000 | 10,000,000 | 0 | [1] | 10,000,000 | 4,000,000 | [1] | 11,000,000 | 21,000,000 | ||||||||
Economic loss development after recoveries for R&W | 0 | (1,000,000) | (1,000,000) | (11,000,000) | |||||||||||||||||
Net par amount outstanding | 471,000,000 | 465,000,000 | 465,000,000 | 471,000,000 | |||||||||||||||||
First Lien [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 15,000,000 | (58,000,000) | [6] | (33,000,000) | 78,000,000 | (58,000,000) | [6] | 78,000,000 | 15,000,000 | 0 | 144,000,000 | 173,000,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | (16,000,000) | [1] | (16,000,000) | [1] | (18,000,000) | (31,000,000) | (16,000,000) | [1] | (31,000,000) | (16,000,000) | [1] | (51,000,000) | (9,000,000) | ||||||||
Economic loss development after recoveries for R&W | (4,000,000) | 0 | (3,000,000) | (39,000,000) | |||||||||||||||||
Net par amount outstanding | 407,000,000 | 308,000,000 | 308,000,000 | 407,000,000 | |||||||||||||||||
First Lien [Member] | RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 106,000,000 | 100,000,000 | [6] | 93,000,000 | 203,000,000 | 100,000,000 | [6] | 203,000,000 | 106,000,000 | 0 | 263,000,000 | 274,000,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 304,000,000 | [1] | 46,000,000 | [1] | $ 265,000,000 | 248,000,000 | 46,000,000 | [1] | 248,000,000 | 304,000,000 | [1] | 301,000,000 | 304,000,000 | ||||||||
Economic loss development after recoveries for R&W | (111,000,000) | (18,000,000) | (132,000,000) | (6,000,000) | |||||||||||||||||
Net par amount outstanding | 2,532,000,000 | $ 2,189,000,000 | $ 2,189,000,000 | $ 2,532,000,000 | |||||||||||||||||
First Lien [Member] | Base Scenario [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | 15.00% | 15.00% | |||||||||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | ||||||||||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 12 months | ||||||||||||||||||||
Period of constant intermediate conditional default rate (in months) | 36 months | ||||||||||||||||||||
Intermediate conditional default rate as a percentage of plateau conditional default rate | 20.00% | ||||||||||||||||||||
Final conditional default rate as a percentage of plateau conditional default rate | 5.00% | ||||||||||||||||||||
Final conditional default rate, shortened term | 3 months | 9 months | |||||||||||||||||||
Default from delinquentor rate, term | 36 months | ||||||||||||||||||||
Guarantor Obligations, Default Period Currently Performing | 36 months | ||||||||||||||||||||
Projected loss assumptions, loss severity, subsequent period | 18 months | ||||||||||||||||||||
Estimated loss severity rate, one through six months (as a percent) | 18 months | ||||||||||||||||||||
Loss severity (as a percent) | 40.00% | 40.00% | |||||||||||||||||||
Projected loss assumptions, period to reach final loss severity rate | 2 years 6 months | ||||||||||||||||||||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 7 years 9 months | ||||||||||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 42 months | ||||||||||||||||||||
Projected loss assumptions, period to reach final loss severity rate | 4 years 6 months | ||||||||||||||||||||
Increase in the plateau period used to calculate potential change in loss estimate (in months) | 6 months | ||||||||||||||||||||
Projected loss assumptions, prior period to reach final loss severity rate | 2 years 6 months | ||||||||||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 49,000,000 | ||||||||||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | RMBS [Member] | United States [Member] | Financing Receivable, Prime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 1,000,000 | ||||||||||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | RMBS [Member] | United States [Member] | Option Adjustable Rate Mortgage and Alt-A Mortgage [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Loss severity (as a percent) | 45.00% | 45.00% | |||||||||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 5,000,000 | ||||||||||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 13,000,000 | ||||||||||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | Subprime [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Loss severity (as a percent) | 60.00% | 60.00% | |||||||||||||||||||
First Lien [Member] | More Stressful Environment [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 15 months | ||||||||||||||||||||
Projected loss assumptions, period to reach final loss severity rate | 9 years | ||||||||||||||||||||
First Lien [Member] | More Stressful Environment [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 69,000,000 | ||||||||||||||||||||
First Lien [Member] | More Stressful Environment [Member] | RMBS [Member] | United States [Member] | Financing Receivable, Prime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | 4,000,000 | ||||||||||||||||||||
First Lien [Member] | More Stressful Environment [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | 12,000,000 | ||||||||||||||||||||
First Lien [Member] | More Stressful Environment [Member] | RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | 33,000,000 | ||||||||||||||||||||
First Lien [Member] | Somewhat Less Stressful Environment [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (8,000,000) | ||||||||||||||||||||
First Lien [Member] | Somewhat Less Stressful Environment [Member] | RMBS [Member] | United States [Member] | Financing Receivable, Prime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (40,000) | ||||||||||||||||||||
First Lien [Member] | Somewhat Less Stressful Environment [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (14,000,000) | ||||||||||||||||||||
First Lien [Member] | Somewhat Less Stressful Environment [Member] | RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ (1,000,000) | ||||||||||||||||||||
First Lien [Member] | Least Stressful Environment [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 30 months | ||||||||||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 9 months | ||||||||||||||||||||
Decrease in the plateau period used to calculate potential change in loss estimate (in months) | 6 months | ||||||||||||||||||||
First Lien [Member] | Least Stressful Environment [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ (36,000,000) | ||||||||||||||||||||
First Lien [Member] | Least Stressful Environment [Member] | RMBS [Member] | United States [Member] | Financing Receivable, Prime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (200,000) | ||||||||||||||||||||
First Lien [Member] | Least Stressful Environment [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (22,000,000) | ||||||||||||||||||||
First Lien [Member] | Least Stressful Environment [Member] | RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (13,000,000) | ||||||||||||||||||||
First Lien [Member] | Bank of America [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Agreed reimbursement of R&W, percentage | 80.00% | ||||||||||||||||||||
Maximum loss up to which loss sharing percentage applicable | $ 6,600,000,000 | ||||||||||||||||||||
Collateral losses | $ 4,300,000,000 | 4,300,000,000 | |||||||||||||||||||
First Lien [Member] | Bank of America [Member] | Base Scenario [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Collateral losses | 5,200,000,000 | 5,200,000,000 | |||||||||||||||||||
Assets held under trust for reimbursement payment | 551,000,000 | 551,000,000 | |||||||||||||||||||
First Lien [Member] | UBS [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Agreed reimbursement of R&W, percentage | 85.00% | ||||||||||||||||||||
Assets held under trust for reimbursement payment | 62,000,000 | 62,000,000 | |||||||||||||||||||
First Lien [Member] | BIG [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 1,575,000,000 | 1,336,000,000 | 1,336,000,000 | $ 1,575,000,000 | |||||||||||||||||
First Lien [Member] | BIG [Member] | RMBS [Member] | United States [Member] | Financing Receivable, Prime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 353,000,000 | 312,000,000 | 312,000,000 | 353,000,000 | |||||||||||||||||
First Lien [Member] | BIG [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 183,000,000 | 151,000,000 | 151,000,000 | 183,000,000 | |||||||||||||||||
First Lien [Member] | BIG [Member] | RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 1,841,000,000 | 821,000,000 | $ 821,000,000 | 1,841,000,000 | |||||||||||||||||
Second Lien [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 28 months | ||||||||||||||||||||
Period of loan default estimate | 5 months | ||||||||||||||||||||
Number of preceding months average liquidation rates used to estimate loan default rate | 6 months | ||||||||||||||||||||
Projected loss assumptions, period of consistent conditional default rate | 6 months | ||||||||||||||||||||
Stress period (in months) | 34 months | ||||||||||||||||||||
Number of months of delinquent data | 5 months | ||||||||||||||||||||
Period of constant conditional default rate (in months) | 1 month | ||||||||||||||||||||
Conditional prepayment rate base case, average number of quarters | 3 months | ||||||||||||||||||||
Number of conditional default rate curves modeled in estimating losses | Curve | 5 | ||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 85,000,000 | 81,000,000 | [6] | $ 83,000,000 | 197,000,000 | $ 81,000,000 | [6] | 197,000,000 | 85,000,000 | 1,000,000 | 142,000,000 | 143,000,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | (11,000,000) | [1] | 26,000,000 | [1] | 3,000,000 | (153,000,000) | 26,000,000 | [1] | (153,000,000) | (11,000,000) | [1] | (126,000,000) | (127,000,000) | ||||||||
Economic loss development after recoveries for R&W | 13,000,000 | (32,000,000) | 13,000,000 | (63,000,000) | |||||||||||||||||
Second Lien [Member] | RMBS [Member] | United States [Member] | HELOCs [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 0 | 0 | [6] | 0 | 108,000,000 | 0 | [6] | 108,000,000 | 0 | 0 | 49,000,000 | 45,000,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | (19,000,000) | [1] | 15,000,000 | [1] | (6,000,000) | (148,000,000) | 15,000,000 | [1] | (148,000,000) | (19,000,000) | [1] | (117,000,000) | (116,000,000) | ||||||||
Economic loss development after recoveries for R&W | 13,000,000 | (34,000,000) | 15,000,000 | (65,000,000) | |||||||||||||||||
Net par amount outstanding | 1,738,000,000 | 1,476,000,000 | 1,476,000,000 | 1,738,000,000 | |||||||||||||||||
Second Lien [Member] | RMBS [Member] | United States [Member] | Closed-end [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 85,000,000 | 81,000,000 | [6] | 83,000,000 | 89,000,000 | 81,000,000 | [6] | 89,000,000 | 85,000,000 | $ 1,000,000 | 93,000,000 | 98,000,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 8,000,000 | [1] | 11,000,000 | [1] | $ 9,000,000 | (5,000,000) | 11,000,000 | [1] | (5,000,000) | 8,000,000 | [1] | $ (9,000,000) | $ (11,000,000) | ||||||||
Economic loss development after recoveries for R&W | 0 | 2,000,000 | (2,000,000) | 2,000,000 | |||||||||||||||||
Net par amount outstanding | $ 218,000,000 | $ 203,000,000 | $ 203,000,000 | $ 218,000,000 | |||||||||||||||||
Second Lien [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit and Closed-end Mortgage [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Final CPR | 15.00% | 15.00% | 15.00% | 15.00% | 15.00% | ||||||||||||||||
Second Lien [Member] | HELOCs [Member] | Maximum [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Loss recovery assumption (as a percent) | 10.00% | 10.00% | 10.00% | 10.00% | 10.00% | ||||||||||||||||
Second Lien [Member] | Base Scenario [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 28 months | ||||||||||||||||||||
Stress period (in months) | 34 months | ||||||||||||||||||||
Period of constant conditional default rate (in months) | 6 months | ||||||||||||||||||||
Second Lien [Member] | Base Scenario One [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 8 months | ||||||||||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 31 months | ||||||||||||||||||||
Stress period (in months) | 39 months | ||||||||||||||||||||
Increase in conditional default rate ramp down period | 3 months | ||||||||||||||||||||
Second Lien [Member] | Base Scenario One [Member] | RMBS [Member] | United States [Member] | HELOCs [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Change in estimate for increased conditional default rate plateau period | $ 37,000,000 | ||||||||||||||||||||
Second Lien [Member] | Base Scenario One [Member] | RMBS [Member] | United States [Member] | Closed-end [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Change in estimate for decreased conditional default rate ramp down period | $ 1,000,000 | ||||||||||||||||||||
Second Lien [Member] | Based Scenario Two [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Stress period (in months) | 29 months | ||||||||||||||||||||
Period of constant conditional default rate (in months) | 4 months | ||||||||||||||||||||
Change in estimate for decreased prepayment rate, Percent | 10.00% | ||||||||||||||||||||
Decreased conditional default rate ramp down period | 25 months | ||||||||||||||||||||
Second Lien [Member] | Based Scenario Two [Member] | RMBS [Member] | United States [Member] | HELOCs [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Change in estimate for decreased conditional default rate ramp down period | $ 36,000,000 | ||||||||||||||||||||
Second Lien [Member] | Based Scenario Two [Member] | RMBS [Member] | United States [Member] | Closed-end [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Change in estimate for decreased conditional default rate ramp down period | 600,000 | ||||||||||||||||||||
Second Lien [Member] | Guarantor Obligations, Group One [Member] | Deutsche Bank [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Maximum aggregate collateral losses up to which first layer of loss sharing will be applicable | $ 319,000,000 | 319,000,000 | $ 319,000,000 | ||||||||||||||||||
Loss sharing percentage, first layer | 80.00% | ||||||||||||||||||||
Second Lien [Member] | Guarantor Obligations, Group Two [Member] | Deutsche Bank [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Maximum aggregate collateral losses up to which first layer of loss sharing will be applicable | $ 389,000,000 | $ 389,000,000 | |||||||||||||||||||
Loss sharing percentage, first layer | 85.00% | 85.00% | |||||||||||||||||||
Second Lien [Member] | Guarantor Obligations, Group Two [Member] | Deutsche Bank [Member] | RMBS [Member] | United States [Member] | Maximum [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Maximum aggregate collateral losses up to which first layer of loss sharing will be applicable | $ 600,000,000 | $ 600,000,000 | |||||||||||||||||||
Second Lien [Member] | BIG [Member] | RMBS [Member] | United States [Member] | HELOCs [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | $ 1,557,000,000 | 1,382,000,000 | 1,382,000,000 | $ 1,557,000,000 | |||||||||||||||||
Second Lien [Member] | BIG [Member] | RMBS [Member] | United States [Member] | Closed-end [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 134,000,000 | 128,000,000 | 128,000,000 | 134,000,000 | |||||||||||||||||
Other Assets [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Office building, carrying value | 29,000,000 | 29,000,000 | |||||||||||||||||||
Southern District of Mississippi Vs Madison County, Mississippi [Member] | Parkway East [Member] | Public Finance [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 21,000,000 | $ 21,000,000 | |||||||||||||||||||
Payment time period on annual debt service | 2 years | ||||||||||||||||||||
Radian [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | [3],[4] | 12,400,000,000 | $ 12,400,000,000 | ||||||||||||||||||
Radian [Member] | Other structured finance [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 101,000,000 | ||||||||||||||||||||
Radian [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 81,000,000 | ||||||||||||||||||||
Healthcare [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 15,400,000,000 | 15,400,000,000 | |||||||||||||||||||
Healthcare [Member] | BIG [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 351,000,000 | 351,000,000 | |||||||||||||||||||
Healthcare [Member] | Radian [Member] | BIG [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Net par amount outstanding | 301,000,000 | 301,000,000 | |||||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | 73,000,000 | (19,000,000) | (19,000,000) | 73,000,000 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | (66,000,000) | (28,000,000) | $ (79,000,000) | (43,000,000) | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Trust Preferred Securities (TruPS) [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 78.00% | ||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | 22,000,000 | 5,000,000 | $ 5,000,000 | 22,000,000 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | (5,000,000) | (4,000,000) | (17,000,000) | (22,000,000) | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Triple-X Life Insurance Transaction [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | 8,000,000 | 10,000,000 | 10,000,000 | 8,000,000 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | 2,000,000 | 0 | 4,000,000 | 1,000,000 | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Student Loan [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | 0 | 0 | 0 | 0 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | 0 | 0 | 0 | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Other structured finance [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | (45,000,000) | 31,000,000 | 31,000,000 | (45,000,000) | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | (11,000,000) | (2,000,000) | (13,000,000) | 0 | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | 0 | 0 | 0 | 0 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | 1,000,000 | 0 | (5,000,000) | (1,000,000) | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | 0 | 0 | 0 | 0 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | 1,000,000 | 0 | (5,000,000) | 0 | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | First Lien [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | 69,000,000 | (23,000,000) | (23,000,000) | 69,000,000 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | (66,000,000) | (27,000,000) | (79,000,000) | (41,000,000) | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | First Lien [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | 69,000,000 | 57,000,000 | 57,000,000 | 69,000,000 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | 3,000,000 | 2,000,000 | (3,000,000) | 4,000,000 | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | First Lien [Member] | RMBS [Member] | United States [Member] | Financing Receivable, Prime [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | 2,000,000 | (2,000,000) | (2,000,000) | 2,000,000 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | 0 | (1,000,000) | (11,000,000) | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | First Lien [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | (1,000,000) | 1,000,000 | 1,000,000 | (1,000,000) | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | (2,000,000) | (7,000,000) | 2,000,000 | (8,000,000) | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | First Lien [Member] | RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | (1,000,000) | (79,000,000) | (79,000,000) | (1,000,000) | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | (67,000,000) | (22,000,000) | (77,000,000) | (26,000,000) | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Second Lien [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | 4,000,000 | 4,000,000 | 4,000,000 | 4,000,000 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | (1,000,000) | 0 | (2,000,000) | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Second Lien [Member] | RMBS [Member] | United States [Member] | HELOCs [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | 0 | 0 | 0 | 0 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | 0 | 0 | 0 | ||||||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Second Lien [Member] | RMBS [Member] | United States [Member] | Closed-end [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [12] | $ 4,000,000 | 4,000,000 | 4,000,000 | $ 4,000,000 | ||||||||||||||||
Economic loss development after recoveries for R&W | [11] | $ 0 | $ (1,000,000) | $ 0 | $ (2,000,000) | ||||||||||||||||
Subsequent Event [Member] | RMBS [Member] | |||||||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||||||
Amount of liabilities agreed to be paid by entities providing R&W for transaction in which the Company provided insurance | $ 4,200,000,000 | ||||||||||||||||||||
[1] | Includes expected LAE to be paid of $13 million as of September 30, 2015 and $16 million as of December 31, 2014. | ||||||||||||||||||||
[2] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. | ||||||||||||||||||||
[3] | Excludes $1.6 billion of loss mitigation securities insured and held by the Company as of September 30, 2015, which are primarily BIG. | ||||||||||||||||||||
[4] | The September 30, 2015 amounts include $12.4 billion of net par acquired from Radian Asset. | ||||||||||||||||||||
[5] | $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million | ||||||||||||||||||||
[6] | See the section "Breaches of Representations and Warranties" below for eligible assets held in trust. | ||||||||||||||||||||
[7] | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. | ||||||||||||||||||||
[8] | Represents variables for most heavily weighted scenario (the “base case”). | ||||||||||||||||||||
[9] | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. | ||||||||||||||||||||
[10] | Represents variables for most heavily weighted scenario (the “base case”). | ||||||||||||||||||||
[11] | Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. | ||||||||||||||||||||
[12] | Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Financial Guaranty Insurance 73
Financial Guaranty Insurance Losses - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | [1] | $ 918 | $ 721 |
Salvage and Subrogation Recoverable, net | [1] | 136 | 154 |
(in millions) | [1] | 782 | 567 |
Financial Guarantee Insurance And Other Product Line [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 899 | ||
Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 991 | 801 | |
Salvage and Subrogation Recoverable, net | 137 | 155 | |
(in millions) | 854 | 646 | |
Financial Guarantee Insurance And Other Product Line [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | (73) | (80) | |
Salvage and Subrogation Recoverable, net | (1) | (1) | |
(in millions) | (72) | (79) | |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 555 | 273 | |
Salvage and Subrogation Recoverable, net | 11 | 8 | |
(in millions) | 544 | 265 | |
Triple-X Life Insurance Transaction [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 80 | 140 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
(in millions) | 80 | 140 | |
Trust Preferred Securities (TruPS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 0 | 0 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
(in millions) | 0 | 0 | |
Student Loan [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 53 | 64 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
(in millions) | 53 | 64 | |
Other structured finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 47 | 34 | |
Salvage and Subrogation Recoverable, net | 0 | 8 | |
(in millions) | 47 | 26 | |
Structured Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 436 | 528 | |
Salvage and Subrogation Recoverable, net | 121 | 134 | |
(in millions) | 315 | 394 | |
Financial Guarantee [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 991 | 801 | |
Salvage and Subrogation Recoverable, net | 132 | 142 | |
(in millions) | 859 | 659 | |
Other [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 0 | 0 | |
Salvage and Subrogation Recoverable, net | 5 | 13 | |
(in millions) | (5) | (13) | |
United States [Member] | Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 525 | 243 | |
Salvage and Subrogation Recoverable, net | 11 | 8 | |
(in millions) | 514 | 235 | |
United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 256 | 290 | |
Salvage and Subrogation Recoverable, net | 121 | 126 | |
(in millions) | 135 | 164 | |
Non United States [Member] | Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 30 | 30 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
(in millions) | 30 | 30 | |
First Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 239 | 283 | |
Salvage and Subrogation Recoverable, net | 56 | 48 | |
(in millions) | 183 | 235 | |
Second Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 17 | 7 | |
Salvage and Subrogation Recoverable, net | 65 | 78 | |
(in millions) | (48) | (71) | |
Prime [Member] | First Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 2 | 2 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
(in millions) | 2 | 2 | |
Alt-A [Member] | First Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 43 | 87 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
(in millions) | 43 | 87 | |
Option ARM [Member] | First Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 18 | 28 | |
Salvage and Subrogation Recoverable, net | 34 | 40 | |
(in millions) | (16) | (12) | |
Subprime [Member] | First Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 176 | 166 | |
Salvage and Subrogation Recoverable, net | 22 | 8 | |
(in millions) | 154 | 158 | |
Closed-end [Member] | Second Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 4 | 4 | |
Salvage and Subrogation Recoverable, net | 35 | 39 | |
(in millions) | (31) | (35) | |
HELOCs [Member] | Second Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 13 | 3 | |
Salvage and Subrogation Recoverable, net | 30 | 39 | |
(in millions) | $ (17) | $ (36) | |
[1] | See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. |
Financial Guaranty Insurance 74
Financial Guaranty Insurance Losses - Components of Net Reserves (Salvage) Insurance Contracts (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Insurance [Abstract] | |||
Loss and LAE reserve | $ 1,007 | $ 799 | |
Reinsurance recoverable on unpaid losses | (89) | (78) | |
Loss and LAE reserve, net | [1] | 918 | 721 |
Salvage and subrogation recoverable | (135) | (151) | |
Salvage and subrogation payable | [2] | 4 | 10 |
Other recoverables | (5) | (13) | |
Salvage and subrogation recoverable, net and other recoverable | (136) | (154) | |
Net reserves (salvage) | $ 782 | $ 567 | |
[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. |
Financial Guaranty Insurance 75
Financial Guaranty Insurance Losses - Balance Sheet Classification of Net Expected Recoveries for Breaches of R&W Insurance Contracts (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Salvage and subrogation recoverable, net [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Net expected recoveries for breaches of R&W insurance contracts | [1] | $ (19) | $ 20 |
Salvage and subrogation recoverable, net [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Net expected recoveries for breaches of R&W insurance contracts | 0 | 0 | |
Loss and LAE reserve, net [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Net expected recoveries for breaches of R&W insurance contracts | [1] | 112 | 177 |
Loss and LAE reserve, net [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Net expected recoveries for breaches of R&W insurance contracts | (7) | (8) | |
Financial Guarantee Insurance Product Line [Member] | Salvage and subrogation recoverable, net [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Net expected recoveries for breaches of R&W insurance contracts | (19) | 20 | |
Financial Guarantee Insurance Product Line [Member] | Loss and LAE reserve, net [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Net expected recoveries for breaches of R&W insurance contracts | $ 119 | $ 185 | |
[1] | The remaining benefit for R&W is either recorded at fair value in FG VIE assets, or not recorded on the balance sheet until the total loss, net of R&W, exceeds unearned premium reserve. |
Financial Guaranty Insurance 76
Financial Guaranty Insurance Losses - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | |||
Guarantor Obligations [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | $ 1,307 | [1] | $ 1,510 | $ 1,169 | [1] | $ 933 | $ 1,035 | $ 982 | |
Contra-paid, net | [2],[3] | 6 | (100) | ||||||
Loss and LAE reserve, net of reinsurance | [4] | (918) | (721) | ||||||
Other recoveries | 5 | 13 | |||||||
Net expected loss to be expensed (present value) | 387 | ||||||||
Variable Interest Entity, Primary Beneficiary [Member] | |||||||||
Guarantor Obligations [Line Items] | |||||||||
Net expected loss to be expensed (present value) | 79 | ||||||||
Financial Guarantee Insurance And Other Product Line [Member] | |||||||||
Guarantor Obligations [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | 1,145 | ||||||||
Contra-paid, net | 6 | ||||||||
Salvage and subrogation recoverable, net of reinsurance | 131 | ||||||||
Loss and LAE reserve, net of reinsurance | (899) | ||||||||
Other recoveries | 4 | ||||||||
Net expected loss to be expensed (present value) | [5] | 387 | |||||||
Financial Guarantee Insurance And Other Product Line [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||||||||
Guarantor Obligations [Line Items] | |||||||||
Loss and LAE reserve, net of reinsurance | 73 | 80 | |||||||
Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||||||||
Guarantor Obligations [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | 1,280 | ||||||||
Loss and LAE reserve, net of reinsurance | (991) | $ (801) | |||||||
Financial Guarantee Insurance And Other Product Line [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||||||||
Guarantor Obligations [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | $ 135 | ||||||||
[1] | Includes expected LAE to be paid of $13 million as of September 30, 2015 and $16 million as of December 31, 2014. | ||||||||
[2] | Excludes $120 million and $125 million of deferred premium revenue, and $35 million and $42 million of contra-paid related to FG VIEs as of September 30, 2015 and December 31, 2014, respectively. | ||||||||
[3] | See Note 7, "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" for an explanation of "contra-paid". | ||||||||
[4] | See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. | ||||||||
[5] | Excludes $79 million as of September 30, 2015, related to consolidated FG VIEs. |
Financial Guaranty Insurance 77
Financial Guaranty Insurance Losses - Net Expected Loss to be Expensed Insurance Contracts (Details) $ in Millions | Sep. 30, 2015USD ($) |
Insurance [Abstract] | |
2015 (October 1 – December 31) | $ 7 |
Subtotal 2,015 | 7 |
2,016 | 38 |
2,017 | 31 |
2,018 | 29 |
2,019 | 28 |
2020-2024 | 104 |
2025-2029 | 75 |
2030-2034 | 51 |
After 2,034 | 24 |
Net expected loss to be expensed | 387 |
Discount | 406 |
Total future value | $ 793 |
Financial Guaranty Insurance 78
Financial Guaranty Insurance Losses - Loss and LAE Reported on the Statements of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | $ 112 | $ (44) | $ 318 | $ 54 |
Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 122 | (30) | 335 | 75 |
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | (10) | (14) | (17) | (21) |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 87 | 2 | 302 | 111 |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 89 | 3 | 298 | 112 |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | Non United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | (2) | (1) | 4 | (1) |
RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 31 | (38) | 29 | (60) |
RMBS [Member] | First Lien [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 12 | 6 | 0 | (5) |
RMBS [Member] | Second Lien [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 19 | (44) | 29 | (55) |
RMBS [Member] | Prime [Member] | First Lien [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 0 | 0 | (1) | 0 |
RMBS [Member] | Alt-A [Member] | First Lien [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | (15) | 4 | (26) | 21 |
RMBS [Member] | Option ARM [Member] | First Lien [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | (4) | 9 | (5) | (21) |
RMBS [Member] | Subprime [Member] | First Lien [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 31 | (7) | 32 | (5) |
RMBS [Member] | Closed-end [Member] | Second Lien [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 1 | 1 | 0 | 0 |
RMBS [Member] | HELOCs [Member] | Second Lien [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 18 | (45) | 29 | (55) |
Triple-X Life Insurance Transaction [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 7 | 3 | 14 | 20 |
Trust Preferred Securities (TruPS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 0 | 0 | (1) | (1) |
Student Loan [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | (2) | 6 | (7) | 12 |
Other structured finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | (1) | (3) | (2) | (7) |
Structured Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | $ 35 | $ (32) | $ 33 | $ (36) |
Financial Guaranty Insurance 79
Financial Guaranty Insurance Losses - BIG Transaction Loss Summary (Details) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2015USD ($)risk | Dec. 31, 2014USD ($)risk | ||
Discount | |||
Total | $ (406) | ||
Reserves (salvage) | |||
Total | $ 782 | $ 567 | |
BIG [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1] | 451 | 358 |
Remaining weighted average contract period | |||
Total (in years) | 10 years 2 months | 10 years 3 months 18 days | |
Principal | |||
Total | $ 15,582 | $ 15,222 | |
Interest | |||
Total | 8,043 | 7,651 | |
Total net outstanding exposure | |||
Total | [2] | 23,625 | 22,873 |
Expected cash outflows (inflows) | |||
Total | 3,311 | 3,118 | |
Potential recoveries | |||
Total, Undiscounted R&W | (88) | (239) | |
Total, Other | [3] | (1,672) | (1,477) |
Total | (1,760) | (1,716) | |
Subtotal | |||
Total | 1,551 | 1,402 | |
Discount | |||
Total | (406) | (413) | |
Present value of expected cash flows | |||
Net expected loss to be paid | 1,145 | 989 | |
Deferred premium revenue | |||
Total | 807 | 584 | |
Reserves (salvage) | |||
Total | $ 764 | $ 571 | |
BIG [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[4],[5] | 451 | 358 |
Remaining weighted average contract period | |||
Total (in years) | 10 years 2 months | 10 years 3 months 18 days | |
Principal | |||
Total | [5] | $ 15,582 | $ 15,222 |
Interest | |||
Total | 8,043 | 7,651 | |
Total net outstanding exposure | |||
Total | [2] | 23,625 | 22,873 |
Expected cash outflows (inflows) | |||
Total | 3,644 | 3,463 | |
Potential recoveries | |||
Total, Undiscounted R&W | (96) | (247) | |
Total, Other | [3] | (1,845) | (1,654) |
Total | (1,941) | (1,901) | |
Subtotal | |||
Total | 1,703 | 1,562 | |
Discount | |||
Total | (441) | (447) | |
Present value of expected cash flows | |||
Net expected loss to be paid | 1,262 | 1,115 | |
Deferred premium revenue | |||
Total | 910 | 700 | |
Reserves (salvage) | |||
Total | $ 836 | $ 650 | |
BIG [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | BIG 1 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [1] | (50) | (59) |
Total (in contracts) | risk | [1],[4],[5] | 239 | 164 |
Remaining weighted average contract period | |||
Gross (in years) | 9 years 10 months 24 days | 9 years 10 months 24 days | |
Ceded (in years) | 6 years 9 months | 7 years 4 months 24 days | |
Principal | |||
Gross | $ 11,001 | $ 12,358 | |
Ceded | (1,449) | (2,163) | |
Total | [5] | 9,552 | 10,195 |
Interest | |||
Gross | 5,676 | 6,350 | |
Ceded | (509) | (838) | |
Total net outstanding exposure | |||
Gross | [2] | 16,677 | 18,708 |
Ceded | [2] | (1,958) | (3,001) |
Expected cash outflows (inflows) | |||
Gross | 1,809 | 1,762 | |
Ceded | (566) | (626) | |
Total | 167 | 39 | |
Potential recoveries | |||
Gross, Undiscounted R&W | 42 | (39) | |
Ceded, Undiscounted R&W | (1) | 0 | |
Gross, Other | [3] | (1,663) | (1,687) |
Ceded, Other | [3] | 514 | 608 |
Ceded | 513 | 608 | |
Gross | (1,621) | (1,726) | |
Subtotal | |||
Gross | 188 | 36 | |
Ceded | (53) | (18) | |
Discount | |||
Gross | (21) | 3 | |
Ceded | 8 | 0 | |
Present value of expected cash flows | |||
Ceded | (45) | (18) | |
Deferred premium revenue | |||
Gross | 510 | 378 | |
Ceded | (47) | (70) | |
Reserves (salvage) | |||
Gross | 30 | (42) | |
Ceded | $ (36) | $ (5) | |
BIG [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | BIG 2 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [1] | (13) | (15) |
Total (in contracts) | risk | [1],[4],[5] | 87 | 75 |
Remaining weighted average contract period | |||
Gross (in years) | 11 years | 10 years 1 month 6 days | |
Ceded (in years) | 9 years 2 months | 8 years 10 months 24 days | |
Principal | |||
Gross | $ 3,673 | $ 2,421 | |
Ceded | (263) | (286) | |
Total | [5] | 3,410 | 2,135 |
Interest | |||
Gross | 2,102 | 1,274 | |
Ceded | (118) | (121) | |
Total net outstanding exposure | |||
Gross | [2] | 5,775 | 3,695 |
Ceded | [2] | (381) | (407) |
Expected cash outflows (inflows) | |||
Gross | 1,110 | 763 | |
Ceded | (67) | (77) | |
Total | 609 | 392 | |
Potential recoveries | |||
Gross, Undiscounted R&W | (49) | (48) | |
Ceded, Undiscounted R&W | 1 | 2 | |
Gross, Other | [3] | (258) | (206) |
Ceded, Other | [3] | 11 | 5 |
Ceded | 12 | 7 | |
Gross | (307) | (254) | |
Subtotal | |||
Gross | 803 | 509 | |
Ceded | (55) | (70) | |
Discount | |||
Gross | (194) | (117) | |
Ceded | 10 | 11 | |
Present value of expected cash flows | |||
Ceded | (45) | (59) | |
Deferred premium revenue | |||
Gross | 144 | 119 | |
Ceded | (4) | (6) | |
Reserves (salvage) | |||
Gross | 502 | 278 | |
Ceded | $ (42) | $ (53) | |
BIG [Member] | Consolidated Entity Excluding Consolidation of Variable Interest Entities (VIE) [Member] | BIG 3 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [1] | (41) | (38) |
Total (in contracts) | risk | [1],[4],[5] | 125 | 119 |
Remaining weighted average contract period | |||
Gross (in years) | 8 years | 9 years 7 months 6 days | |
Ceded (in years) | 6 years 2 months | 6 years 10 months 24 days | |
Principal | |||
Gross | $ 2,780 | $ 3,067 | |
Ceded | (160) | (175) | |
Total | [5] | 2,620 | 2,892 |
Interest | |||
Gross | 926 | 1,034 | |
Ceded | (34) | (48) | |
Total net outstanding exposure | |||
Gross | [2] | 3,706 | 4,101 |
Ceded | [2] | (194) | (223) |
Expected cash outflows (inflows) | |||
Gross | 1,402 | 1,716 | |
Ceded | (44) | (75) | |
Total | 683 | 788 | |
Potential recoveries | |||
Gross, Undiscounted R&W | (94) | (171) | |
Ceded, Undiscounted R&W | 5 | 9 | |
Gross, Other | [3] | (467) | (404) |
Ceded, Other | [3] | 18 | 30 |
Ceded | 23 | 39 | |
Gross | (561) | (575) | |
Subtotal | |||
Gross | 841 | 1,141 | |
Ceded | (21) | (36) | |
Discount | |||
Gross | (158) | (353) | |
Ceded | (86) | 9 | |
Present value of expected cash flows | |||
Ceded | (107) | (27) | |
Deferred premium revenue | |||
Gross | 333 | 312 | |
Ceded | (26) | (33) | |
Reserves (salvage) | |||
Gross | 389 | 482 | |
Ceded | (7) | (10) | |
BIG [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Expected cash outflows (inflows) | |||
Total | (333) | (345) | |
Potential recoveries | |||
Total, Undiscounted R&W | 8 | 8 | |
Total, Other | [3] | 173 | 177 |
Total | 181 | 185 | |
Subtotal | |||
Total | (152) | (160) | |
Discount | |||
Total | 35 | 34 | |
Present value of expected cash flows | |||
Net expected loss to be paid | (117) | (126) | |
Deferred premium revenue | |||
Total | (103) | (116) | |
Reserves (salvage) | |||
Total | $ (72) | $ (79) | |
[1] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure | ||
[2] | Includes BIG amounts related to FG VIEs. | ||
[3] | Includes excess spread and draws on HELOCs. | ||
[4] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. | ||
[5] | Includes net par outstanding for VIEs. |
Financial Guaranty Insurance 80
Financial Guaranty Insurance Losses - Narrative (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015 | Dec. 31, 2014 | |||
Guarantor Obligations [Line Items] | ||||
Financial guaranty insurance expected LAE reserve, amount | $ 10 | $ 12 | ||
Net par amount outstanding | 372,361 | [1],[2] | $ 403,729 | [3] |
Guaranteed investment contract, aggregate accreted balance | 1,900 | |||
Assets of GIC issuers, aggregate market value | $ 900 | |||
Variable rate demand obligations [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Rate basis for bank bond rate | prime rate | |||
Minimum [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 0.00% | 0.00% | ||
Minimum [Member] | Variable rate demand obligations [Member] | ||||
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 [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 3.34% | 2.95% | ||
Maximum [Member] | Variable rate demand obligations [Member] | ||||
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 [Member] | Minimum [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Collateralization as a percentage of GIC balance | 100.00% | |||
Asset-backed Securities [Member] | Maximum [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Collateralization as a percentage of GIC balance | 108.00% | |||
Termination of Swap Obligation due to Rating Downgrade [Member] | AGM [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Maximum possible estimated termination payment on swap obligations after taking account the rating downgrade in January 2013 | $ 157 | |||
Termination of Swap Obligation due to Further Rating Downgrade [Member] | AGM [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Maximum possible estimated termination payment on swap obligations after taking account the rating downgrade in January 2013 | 399 | |||
Variable rate demand obligations [Member] | AGM and AGC [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Net par amount outstanding | 5,800 | |||
Internal Credit, B Minus Rating [Member] | Variable rate demand obligations [Member] | AGM and AGC [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Net par amount outstanding | $ 300 | |||
[1] | Excludes $1.6 billion of loss mitigation securities insured and held by the Company as of September 30, 2015, which are primarily BIG. | |||
[2] | The September 30, 2015 amounts include $12.4 billion of net par acquired from Radian Asset. | |||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. |
Fair Value Measurement - Measur
Fair Value Measurement - Measured and Carried at Fair Value (Details) $ in Millions | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015USD ($)sourceSecurity | Dec. 31, 2014USD ($) | Jun. 30, 2015 | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Percentage of CDS contracts which are fair valued using minimum premium | 16.00% | 21.00% | 17.00% | |
CDS contracts [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Gross spread percentage | [1] | 100.00% | 100.00% | |
Number of sources of credit spread | source | 3 | |||
Based on actual collateral specific spreads [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Gross spread percentage | [1] | 12.00% | 9.00% | |
Based on market indices [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Gross spread percentage | [1] | 76.00% | 82.00% | |
Provided by the CDS counterparty [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Gross spread percentage | [1] | 12.00% | 9.00% | |
Scenario 1 [Member] | CDS contracts [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Bank profit as % of total | 62.00% | |||
Hedge cost as % of total | 16.00% | |||
Premium received per annum as % of total | 22.00% | |||
Original gross spread/cash bond price (as a percent) | 1.85% | |||
Bank profit (as a percent) | 1.15% | |||
Hedge cost (as a percent) | 0.30% | |||
The Company premium received per annum (as a percent) | 0.40% | |||
Scenario 1 [Member] | CDS contracts [Member] | AGC [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Original gross spread/cash bond price (as a percent) | 3.00% | |||
Percentage of exposure hedged | 10.00% | |||
Scenario 2 [Member] | CDS contracts [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Bank profit as % of total | 10.00% | |||
Hedge cost as % of total | 88.00% | |||
Premium received per annum as % of total | 2.00% | |||
Original gross spread/cash bond price (as a percent) | 5.00% | |||
Bank profit (as a percent) | 0.50% | |||
Hedge cost (as a percent) | 4.40% | |||
The Company premium received per annum (as a percent) | 0.10% | |||
Scenario 2 [Member] | CDS contracts [Member] | AGC [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Original gross spread/cash bond price (as a percent) | 17.60% | |||
Percentage of exposure hedged | 25.00% | |||
Recurring [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Other invested assets | $ 54 | $ 95 | ||
Recurring [Member] | Level 3 [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Number of fixed maturity securities valued using model processes | Security | 35 | |||
Fixed maturity securities | $ 933 | |||
Recurring [Member] | Level 3 [Member] | CDS contracts [Member] | Minimum [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Discount factor (as a percent) | 0.20% | 0.26% | ||
Recurring [Member] | Level 3 [Member] | CDS contracts [Member] | Maximum [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Discount factor (as a percent) | 2.47% | 2.70% | ||
Available-for-Sale Debt Securities and Short Term Investments [Member] | Recurring [Member] | Level 3 [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Percentage of fixed maturity securities valued using model processes to the Company's fixed-income securities and short-term investments at fair value | 8.40% | |||
[1] | Based on par. |
Fair Value Measurement - Financ
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Assets: | |||
Fixed-maturity securities | $ 11,162 | $ 11,258 | |
Other invested assets | 181 | 126 | |
Credit derivative assets | 71 | 68 | |
Liabilities: | |||
Credit derivative liabilities | 918 | 963 | |
Recurring [Member] | |||
Assets: | |||
Other invested assets | [1] | 59 | 100 |
Credit derivative assets | 71 | 68 | |
FG VIEs’ assets, at fair value | [2] | 1,541 | 1,398 |
Other assets | 90 | 78 | |
Total assets carried at fair value | 12,923 | 12,902 | |
Liabilities: | |||
Credit derivative liabilities | 918 | 963 | |
FG VIEs’ liabilities with recourse, at fair value | 1,315 | 1,277 | |
FG VIEs’ liabilities without recourse, at fair value | 167 | 142 | |
Total liabilities carried at fair value | 2,400 | 2,382 | |
Recurring [Member] | Level 1 [Member] | |||
Assets: | |||
Other invested assets | [1] | 0 | 0 |
Credit derivative assets | 0 | 0 | |
FG VIEs’ assets, at fair value | [2] | 0 | 0 |
Other assets | 24 | 26 | |
Total assets carried at fair value | 430 | 385 | |
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 | |
Recurring [Member] | Level 2 [Member] | |||
Assets: | |||
Other invested assets | [1] | 6 | 17 |
Credit derivative assets | 0 | 0 | |
FG VIEs’ assets, at fair value | [2] | 0 | 0 |
Other assets | 21 | 17 | |
Total assets carried at fair value | 9,850 | 10,163 | |
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 | |
Recurring [Member] | Level 3 [Member] | |||
Assets: | |||
Other invested assets | [1] | 53 | 83 |
Credit derivative assets | 71 | 68 | |
FG VIEs’ assets, at fair value | [2] | 1,541 | 1,398 |
Other assets | 45 | 35 | |
Total assets carried at fair value | 2,643 | 2,354 | |
Liabilities: | |||
Credit derivative liabilities | 918 | 963 | |
FG VIEs’ liabilities with recourse, at fair value | 1,315 | 1,277 | |
FG VIEs’ liabilities without recourse, at fair value | 167 | 142 | |
Total liabilities carried at fair value | 2,400 | 2,382 | |
Fixed Maturities [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,640 | 10,491 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,958 | 5,795 | |
Fixed Maturities [Member] | US Treasury and Government [Member] | |||
Assets: | |||
Fixed-maturity securities | 477 | 665 | |
Fixed Maturities [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,436 | 1,368 | |
Fixed Maturities [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | [3] | 1,371 | 1,285 |
Fixed Maturities [Member] | CMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | [3] | 511 | 659 |
Fixed Maturities [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 590 | 417 | |
Fixed Maturities [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 297 | 302 | |
Fixed Maturities [Member] | Recurring [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,640 | 10,491 | |
Fixed Maturities [Member] | Recurring [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,958 | 5,795 | |
Fixed Maturities [Member] | Recurring [Member] | US Treasury and Government [Member] | |||
Assets: | |||
Fixed-maturity securities | 477 | 665 | |
Fixed Maturities [Member] | Recurring [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,436 | 1,368 | |
Fixed Maturities [Member] | Recurring [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,371 | 1,285 | |
Fixed Maturities [Member] | Recurring [Member] | CMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 511 | 659 | |
Fixed Maturities [Member] | Recurring [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 590 | 417 | |
Fixed Maturities [Member] | Recurring [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 297 | 302 | |
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | US Treasury and Government [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | CMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | |||
Assets: | |||
Fixed-maturity securities | 9,757 | 9,721 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,950 | 5,757 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | US Treasury and Government [Member] | |||
Assets: | |||
Fixed-maturity securities | 477 | 665 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,357 | 1,289 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,010 | 860 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | CMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 511 | 659 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 155 | 189 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 297 | 302 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | |||
Assets: | |||
Fixed-maturity securities | 883 | 770 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 8 | 38 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | US Treasury and Government [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 79 | 79 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 361 | 425 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | CMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 435 | 228 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Short-term Investments [Member] | |||
Assets: | |||
Fixed-maturity securities | 522 | 767 | |
Short-term Investments [Member] | Recurring [Member] | |||
Assets: | |||
Fixed-maturity securities | 522 | 767 | |
Short-term Investments [Member] | Recurring [Member] | Level 1 [Member] | |||
Assets: | |||
Fixed-maturity securities | 406 | 359 | |
Short-term Investments [Member] | Recurring [Member] | Level 2 [Member] | |||
Assets: | |||
Fixed-maturity securities | 66 | 408 | |
Short-term Investments [Member] | Recurring [Member] | Level 3 [Member] | |||
Assets: | |||
Fixed-maturity securities | $ 50 | $ 0 | |
[1] | Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. | ||
[2] | Excludes restricted cash. | ||
[3] | Government-agency obligations were approximately 55% of mortgage backed securities as of September 30, 2015 and 44% as of December 31, 2014 based on fair value. |
Fair Value Measurement - Fair V
Fair Value Measurement - Fair Value Level 3 Rollforward Recurring Basis (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||||||
FG VIEs' liabilities with recourse, at fair value [Member] | |||||||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||||
Fair value at beginning of period | $ (1,361) | $ (1,366) | $ (1,277) | $ (1,790) | |||||
Radian Asset Acquisition | (114) | ||||||||
Net income (loss) | [1],[2] | 6 | 7 | 94 | (90) | ||||
Other comprehensive income (loss) | [2] | 0 | 0 | 0 | 0 | ||||
Purchases | 0 | 0 | 0 | 0 | |||||
Settlements | 40 | 33 | 113 | 332 | |||||
FG VIE consolidations | 0 | 0 | (131) | (25) | |||||
FG VIE deconsolidations | 0 | 0 | 0 | 247 | |||||
Fair value at end of period | (1,315) | (1,326) | (1,315) | (1,326) | |||||
Change in unrealized gains/(losses) related to financial instruments held | 7 | 6 | (5) | (46) | |||||
FG VIEs' liabilities without recourse, at fair value [Member] | |||||||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||||
Fair value at beginning of period | (171) | (124) | (142) | (1,081) | |||||
Radian Asset Acquisition | (4) | ||||||||
Net income (loss) | [1],[2] | 0 | (13) | (30) | (49) | ||||
Other comprehensive income (loss) | [2] | 0 | 0 | 0 | 0 | ||||
Purchases | 0 | 0 | 0 | 0 | |||||
Settlements | 4 | 4 | 9 | 16 | |||||
FG VIE consolidations | 0 | 0 | 0 | (21) | |||||
FG VIE deconsolidations | 0 | 0 | 0 | 1,002 | |||||
Fair value at end of period | (167) | (133) | (167) | (133) | |||||
Change in unrealized gains/(losses) related to financial instruments held | (1) | (5) | (19) | (10) | |||||
Credit Risk Contract [Member] | |||||||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||||||||
Fair value at beginning of period | [3] | (926) | (1,837) | (895) | (1,693) | ||||
Radian Asset Acquisition | [3] | (215) | |||||||
Net income (loss) | [2],[3],[4] | 86 | 255 | 300 | 147 | ||||
Other comprehensive income (loss) | [2],[3] | 0 | 0 | 0 | 0 | ||||
Purchases | [3] | 0 | 0 | 0 | 0 | ||||
Settlements | [3] | (7) | 14 | (37) | (22) | ||||
FG VIE consolidations | [3] | 0 | 0 | 0 | 0 | ||||
FG VIE deconsolidations | [3] | 0 | 0 | 0 | 0 | ||||
Fair value at end of period | [3] | (847) | (1,568) | (847) | (1,568) | ||||
Change in unrealized gains/(losses) related to financial instruments held | [3] | (19) | 98 | 166 | (47) | ||||
Obligations of state and political subdivisions [Member] | |||||||||
Fair Value Level 3 Rollforward | |||||||||
Fair value at beginning of period | 655 | 748 | 770 | 730 | |||||
Radian Asset Acquisition | 4 | ||||||||
Net Income (loss) | [2],[5] | (3) | (4) | 17 | 14 | ||||
Other comprehensive income (loss) | [2] | (10) | 25 | (9) | 27 | ||||
Purchases | 250 | 159 | 260 | 212 | |||||
Settlements | (9) | (15) | (158) | [6] | (83) | ||||
FG VIE Consolidations | 0 | 0 | (1) | 0 | |||||
FG VIE deconsolidations | 0 | 0 | 0 | 13 | |||||
Fair value at end of period | 883 | 913 | 883 | 913 | |||||
Change in unrealized gains/(losses) related to financial instruments held | (10) | 25 | (4) | 25 | |||||
Short-term Investments [Member] | |||||||||
Fair Value Level 3 Rollforward | |||||||||
Fair value at beginning of period | 0 | 0 | |||||||
Radian Asset Acquisition | 0 | ||||||||
Net Income (loss) | [2],[5] | 8 | 8 | ||||||
Other comprehensive income (loss) | [2] | (4) | (4) | ||||||
Purchases | [6] | 52 | 52 | ||||||
Settlements | (6) | (6) | |||||||
FG VIE Consolidations | 0 | 0 | |||||||
FG VIE deconsolidations | 0 | 0 | |||||||
Fair value at end of period | 50 | 50 | |||||||
Change in unrealized gains/(losses) related to financial instruments held | (4) | (4) | |||||||
Other invested assets [Member] | |||||||||
Fair Value Level 3 Rollforward | |||||||||
Fair value at beginning of period | 78 | 49 | 78 | 2 | |||||
Radian Asset Acquisition | 2 | ||||||||
Net Income (loss) | [2] | 4 | [5] | 0 | [5] | 8 | [5] | 0 | |
Other comprehensive income (loss) | [2] | (4) | 2 | (6) | 4 | ||||
Purchases | 0 | 25 | 0 | 70 | [6] | ||||
Settlements | (30) | 0 | (34) | 0 | |||||
FG VIE Consolidations | 0 | 0 | 0 | 0 | |||||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | |||||
Fair value at end of period | 48 | 76 | 48 | 76 | |||||
Change in unrealized gains/(losses) related to financial instruments held | 0 | 2 | (2) | 4 | |||||
FG VIEs' assets, at fair value [Member] | |||||||||
Fair Value Level 3 Rollforward | |||||||||
Fair value at beginning of period | 1,596 | 1,284 | 1,398 | 2,565 | |||||
Radian Asset Acquisition | 122 | ||||||||
Net Income (loss) | [1],[2] | (11) | 43 | 31 | 160 | ||||
Other comprehensive income (loss) | [2] | 0 | 0 | 0 | 0 | ||||
Purchases | 0 | 0 | 0 | 0 | |||||
Settlements | (44) | (31) | (114) | (346) | |||||
FG VIE Consolidations | 0 | 0 | 104 | 46 | |||||
FG VIE deconsolidations | 0 | 0 | 0 | (1,129) | |||||
Fair value at end of period | 1,541 | 1,296 | 1,541 | 1,296 | |||||
Change in unrealized gains/(losses) related to financial instruments held | 3 | 55 | 68 | 120 | |||||
Other assets [Member] | |||||||||
Fair Value Level 3 Rollforward | |||||||||
Fair value at beginning of period | 60 | 31 | 35 | 46 | |||||
Radian Asset Acquisition | 0 | ||||||||
Net Income (loss) | [2],[7] | (15) | 4 | 10 | (11) | ||||
Other comprehensive income (loss) | [2] | 0 | 0 | 0 | 0 | ||||
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 | 45 | 35 | 45 | 35 | |||||
Change in unrealized gains/(losses) related to financial instruments held | $ (15) | $ 4 | $ 10 | $ (11) | |||||
[1] | Included in fair value gains (losses) on FG VIEs. | ||||||||
[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] | Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure. | ||||||||
[4] | Reported in net change in fair value of credit derivatives. | ||||||||
[5] | Included in net realized investment gains (losses) and net investment income. | ||||||||
[6] | Includes a non-cash transaction. | ||||||||
[7] | Recorded in fair value gains (losses) on CCS. |
- Quantitative Information - As
- Quantitative Information - Assets (Details) - Income Approach Valuation Technique [Member] - Level 3 [Member] - USD ($) $ / shares in Units, $ in Millions | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2015 | Dec. 31, 2014 | ||||
Obligations of state and political subdivisions [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1] | $ 8 | $ 38 | ||
Obligations of state and political subdivisions [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Rate of inflation (as a percent) | 1.00% | ||||
Cash flow receipts (as a percent) | 0.50% | ||||
Yield (as a percent) | 4.60% | ||||
Collateral recovery period (in years) | 1 month | ||||
Obligations of state and political subdivisions [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Rate of inflation (as a percent) | 3.00% | ||||
Cash flow receipts (as a percent) | 74.30% | ||||
Yield (as a percent) | 8.00% | ||||
Collateral recovery period (in years) | 34 years | ||||
Obligations of state and political subdivisions [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Rate of inflation (as a percent) | 2.00% | ||||
Cash flow receipts (as a percent) | 63.00% | ||||
Yield (as a percent) | 7.30% | ||||
Collateral recovery period (in years) | 28 years | ||||
Corporate securities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1] | $ 79 | [2] | $ 79 | |
Yield (as a percent) | 20.60% | [2] | 17.80% | ||
RMBS [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1] | $ 361 | [2] | $ 425 | |
RMBS [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 4.30% | [2] | 4.70% | ||
Conditional prepayment rate (as a percent) | 0.30% | [2] | 0.30% | ||
Conditional default rate (as a percent) | 2.60% | [2] | 2.70% | ||
Loss severity rate (as a percent) | 60.00% | [2] | 52.60% | ||
RMBS [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 7.80% | [2] | 11.70% | ||
Conditional prepayment rate (as a percent) | 8.20% | [2] | 8.10% | ||
Conditional default rate (as a percent) | 11.90% | [2] | 10.60% | ||
Loss severity rate (as a percent) | 100.00% | [2] | 100.00% | ||
RMBS [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 5.70% | [2] | 6.40% | ||
Conditional prepayment rate (as a percent) | 2.60% | [2] | 3.30% | ||
Conditional default rate (as a percent) | 5.90% | [2] | 5.30% | ||
Loss severity rate (as a percent) | 75.60% | [2] | 75.20% | ||
Investor-owned utilities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1] | $ 99 | [2] | $ 95 | |
Cash flow receipts (as a percent) | 100.00% | [2] | 100.00% | ||
Discount factor (as a percent) | 7.00% | [2] | 7.00% | ||
Collateral recovery period (in years) | 3 years 3 months | [2] | 4 years | ||
Triple-X Life Insurance Transaction [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1] | $ 336 | [2] | $ 133 | |
XXX life insurance transactions [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 7.30% | ||||
XXX life insurance transactions [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [2] | 3.00% | |||
XXX life insurance transactions [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [2] | 7.00% | |||
XXX life insurance transactions [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [2] | 4.50% | |||
Short-term Investments [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1] | $ 50 | |||
Yield (as a percent) | 15.00% | ||||
Alternative Other Invested Asset [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1],[3] | $ 45 | |||
Alternative Other Invested Asset [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Net asset value (per share) | [3] | $ 906 | |||
Alternative Other Invested Asset [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Net asset value (per share) | [3] | 1,113 | |||
Alternative Other Invested Asset [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Net asset value (per share) | [3] | $ 998 | |||
Other invested assets [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 8 | [4] | $ 83 | [1] | |
Liquidity discount (as a percent) | 20.00% | ||||
Recovery on delinquent loans (as a percent) | 40.00% | ||||
Other invested assets [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Conditional prepayment rate (as a percent) | 5.00% | ||||
Conditional default rate (as a percent) | 0.00% | ||||
Loss severity rate (as a percent) | 40.00% | ||||
Net asset value (per share) | $ 965 | ||||
Other invested assets [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Conditional prepayment rate (as a percent) | 15.00% | ||||
Conditional default rate (as a percent) | 7.00% | ||||
Loss severity rate (as a percent) | 75.00% | ||||
Net asset value (per share) | $ 1,159 | ||||
Other invested assets [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Conditional prepayment rate (as a percent) | 12.30% | ||||
Conditional default rate (as a percent) | 5.80% | ||||
Loss severity rate (as a percent) | 68.30% | ||||
Net asset value (per share) | $ 1,082 | ||||
Financial Guaranty Variable Interest Entities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1] | $ 1,541 | $ 1,398 | ||
Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 1.50% | 2.70% | |||
Conditional prepayment rate (as a percent) | 0.30% | 0.30% | |||
Conditional default rate (as a percent) | 1.00% | 1.60% | |||
Loss severity rate (as a percent) | 40.00% | 40.00% | |||
Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 17.30% | 17.70% | |||
Conditional prepayment rate (as a percent) | 12.00% | 11.00% | |||
Conditional default rate (as a percent) | 22.00% | 11.80% | |||
Loss severity rate (as a percent) | 100.00% | 100.00% | |||
Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 6.30% | 7.90% | |||
Conditional prepayment rate (as a percent) | 3.60% | 3.30% | |||
Conditional default rate (as a percent) | 4.80% | 5.10% | |||
Loss severity rate (as a percent) | 81.70% | 82.20% | |||
Other Assets [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1] | $ 45 | $ 35 | ||
Fair Value Inputs Term | 5 years | 5 years | |||
Other Assets [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | $ 48 | $ 52 | |||
Other Assets [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | 53 | 61 | |||
Other Assets [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | $ 51 | $ 57 | |||
[1] | Discounted cash flow is used as valuation technique for all financial instruments. | ||||
[2] | Excludes obligations of state and political subdivisions investments with fair value of $8 million. | ||||
[3] | Excludes several investments with fair value of $8 million. | ||||
[4] | Discounted cash flow is used as valuation technique for all financial instruments. |
- Quantitative Information - Li
- Quantitative Information - Liabilities (Details) - Income Approach Valuation Technique [Member] - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2015 | Dec. 31, 2014 | ||
Credit derivative liabilities, net [Member] | Level 3 [Member] | |||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||
Total liabilities carried at fair value | [1] | $ (847) | $ (895) |
Credit derivative liabilities, net [Member] | Minimum [Member] | |||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||
Internal floor (as a percent) | 0.07% | 0.07% | |
Bank profit (as a percent) | 0.038% | 0.01% | |
Hedge cost (as a percent) | 0.26% | 0.20% | |
Credit derivative liabilities, net [Member] | Minimum [Member] | Level 3 [Member] | |||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||
Year 1 loss estimates (as a percent) | 0.00% | 0.00% | |
Credit derivative liabilities, net [Member] | Maximum [Member] | |||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||
Internal floor (as a percent) | 1.00% | 1.00% | |
Bank profit (as a percent) | 11.704% | 9.944% | |
Hedge cost (as a percent) | 2.528% | 2.438% | |
Credit derivative liabilities, net [Member] | Maximum [Member] | Level 3 [Member] | |||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||
Year 1 loss estimates (as a percent) | 100.00% | 93.00% | |
Credit derivative liabilities, net [Member] | Weighted Average [Member] | |||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||
Internal floor (as a percent) | 0.256% | 0.159% | |
Bank profit (as a percent) | 1.489% | 1.27% | |
Hedge cost (as a percent) | 0.64% | 0.615% | |
Credit derivative liabilities, net [Member] | Weighted Average [Member] | Level 3 [Member] | |||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||
Year 1 loss estimates (as a percent) | 4.00% | 2.10% | |
Financial Guaranty Variable Interest Entities [Member] | Level 3 [Member] | |||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||
Total liabilities carried at fair value | [1] | $ (1,482) | $ (1,419) |
Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | Level 3 [Member] | |||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||
Loss severity rate (as a percent) | 40.00% | 40.00% | |
Conditional default rate (as a percent) | 1.00% | 1.60% | |
Conditional prepayment rate (as a percent) | 0.30% | 0.30% | |
Yield (as a percent) | 1.50% | 2.70% | |
Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | Level 3 [Member] | |||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||
Loss severity rate (as a percent) | 100.00% | 100.00% | |
Conditional default rate (as a percent) | 22.00% | 11.80% | |
Conditional prepayment rate (as a percent) | 12.00% | 11.00% | |
Yield (as a percent) | 17.30% | 17.70% | |
Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | Level 3 [Member] | |||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||
Loss severity rate (as a percent) | 81.70% | 82.20% | |
Conditional default rate (as a percent) | 4.80% | 5.10% | |
Conditional prepayment rate (as a percent) | 3.60% | 3.30% | |
Yield (as a percent) | 5.40% | 5.80% | |
[1] | Discounted cash flow is used as valuation technique for all financial instruments. |
Fair Value Measurement - Fair86
Fair Value Measurement - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Assets: | |||
Fixed-maturity securities | $ 11,162 | $ 11,258 | |
Short-term investments | 522 | 767 | |
Other invested assets | 181 | 126 | |
Credit derivative assets | 71 | 68 | |
Liabilities: | |||
Credit derivative liabilities | 918 | 963 | |
Carrying Amount [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,640 | 10,491 | |
Short-term investments | 522 | 767 | |
Other invested assets | 153 | 108 | |
Credit derivative assets | 71 | 68 | |
FG VIEs’ assets, at fair value | 1,541 | 1,398 | |
Other assets | 194 | 184 | |
Liabilities: | |||
Financial guaranty insurance contracts | [1] | 4,019 | 3,823 |
Long-term debt | 1,306 | 1,303 | |
Credit derivative liabilities | 918 | 963 | |
FG VIEs’ liabilities with recourse, at fair value | 1,315 | 1,277 | |
FG VIEs’ liabilities without recourse, at fair value | 167 | 142 | |
Other liabilities | 65 | 27 | |
Estimated Fair Value [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,640 | 10,491 | |
Short-term investments | 522 | 767 | |
Other invested assets | 155 | 110 | |
Credit derivative assets | 71 | 68 | |
FG VIEs’ assets, at fair value | 1,541 | 1,398 | |
Other assets | 194 | 184 | |
Liabilities: | |||
Financial guaranty insurance contracts | [1] | 8,807 | 6,205 |
Long-term debt | 1,513 | 1,603 | |
Credit derivative liabilities | 918 | 963 | |
FG VIEs’ liabilities with recourse, at fair value | 1,315 | 1,277 | |
FG VIEs’ liabilities without recourse, at fair value | 167 | 142 | |
Other liabilities | $ 65 | $ 27 | |
[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 87
Financial Guaranty Contracts Accounted for as Credit Derivatives - Credit Derivatives Subordination and Ratings (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | ||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 29,633 | [1] | $ 34,996 | |
Pooled corporate obligations [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 19,135 | $ 23,621 | ||
Original Subordination (as a percent) | [2] | 29.50% | 30.10% | |
Current Subordination (as a percent) | [2] | 30.80% | 30.70% | |
Pooled corporate obligations [Member] | Collateralized loan obligations and collateral bond obligations [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 7,299 | $ 11,688 | ||
Original Subordination (as a percent) | [2] | 31.10% | 32.00% | |
Current Subordination (as a percent) | [2] | 39.60% | 36.90% | |
Pooled corporate obligations [Member] | Synthetic investment grade pooled corporate [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 7,119 | $ 7,640 | ||
Original Subordination (as a percent) | [2] | 21.70% | 22.60% | |
Current Subordination (as a percent) | [2] | 19.40% | 20.60% | |
Pooled corporate obligations [Member] | TruPS CDOs [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 3,604 | $ 3,119 | ||
Original Subordination (as a percent) | [2] | 45.70% | 45.30% | |
Current Subordination (as a percent) | [2] | 41.60% | 35.80% | |
Pooled corporate obligations [Member] | Market Value of CDOs of corporate obligations [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 1,113 | $ 1,174 | ||
Original Subordination (as a percent) | [2] | 17.00% | 19.10% | |
Current Subordination (as a percent) | [2] | 10.50% | 20.70% | |
RMBS [Member] | United States [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 2,601 | $ 2,986 | ||
Original Subordination (as a percent) | [2] | 22.60% | 24.80% | |
Current Subordination (as a percent) | [2] | 29.60% | 33.90% | |
RMBS [Member] | Option Adjustable Rate Mortgage and Alt-A Mortgage [Member] | United States [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 1,186 | $ 1,378 | ||
Original Subordination (as a percent) | [2] | 15.70% | 16.30% | |
Current Subordination (as a percent) | [2] | 10.50% | 10.70% | |
RMBS [Member] | Subprime [Member] | United States [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 1,215 | $ 1,366 | ||
Original Subordination (as a percent) | [2] | 27.20% | 31.10% | |
Current Subordination (as a percent) | [2] | 41.80% | 50.50% | |
RMBS [Member] | Prime [Member] | United States [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 183 | $ 223 | ||
Original Subordination (as a percent) | [2] | 10.90% | 10.90% | |
Current Subordination (as a percent) | [2] | 0.00% | 0.00% | |
RMBS [Member] | Closed-end [Member] | United States [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 17 | $ 19 | ||
Original Subordination (as a percent) | [2] | 0.00% | 0.00% | |
Current Subordination (as a percent) | [2] | 0.00% | 0.00% | |
CMBS [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 1,127 | $ 1,952 | ||
Original Subordination (as a percent) | [2] | 28.40% | 35.30% | |
Current Subordination (as a percent) | [2] | 35.80% | 43.60% | |
Other [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | $ 6,770 | $ 6,437 | ||
Original Subordination (as a percent) | [2] | 0.00% | 0.00% | |
Current Subordination (as a percent) | [2] | 0.00% | 0.00% | |
Radian [Member] | ||||
Net Par Outstanding on Credit Derivatives | ||||
Net Par Outstanding | [1] | $ 4,300 | ||
[1] | The September 30, 2015 total amount includes $4.3 billion net par outstanding of credit derivatives acquired from Radian Asset. | |||
[2] | Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses. |
Financial Guaranty Contracts 88
Financial Guaranty Contracts Accounted for as Credit Derivatives - Distribution of Credit Derivative Net Par Outstanding by Internal Rating (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015 | Dec. 31, 2014 | |||
Credit Derivatives | ||||
Net Par Outstanding | $ 29,633 | [1] | $ 34,996 | |
Internal Credit Rating, AAA [Member] | ||||
Credit Derivatives | ||||
Net Par Outstanding | 17,080 | 21,817 | ||
Internal Credit Rating, AA [Member] | ||||
Credit Derivatives | ||||
Net Par Outstanding | 5,785 | 5,398 | ||
Internal Credit Rating, A [Member] | ||||
Credit Derivatives | ||||
Net Par Outstanding | 2,065 | 1,982 | ||
Internal Credit Rating, BBB [Member] | ||||
Credit Derivatives | ||||
Net Par Outstanding | 2,674 | 2,774 | ||
BIG [Member] | ||||
Credit Derivatives | ||||
Net Par Outstanding | [2] | $ 2,029 | $ 3,025 | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | ||||
Credit Derivatives | ||||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 100.00% | 100.00% | ||
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, AAA [Member] | ||||
Credit Derivatives | ||||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 57.70% | 62.30% | ||
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, AA [Member] | ||||
Credit Derivatives | ||||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 19.50% | 15.40% | ||
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, A [Member] | ||||
Credit Derivatives | ||||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 7.00% | 5.70% | ||
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, BBB [Member] | ||||
Credit Derivatives | ||||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 9.00% | 8.00% | ||
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | BIG [Member] | ||||
Credit Derivatives | ||||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | [2] | 6.80% | 8.60% | |
Radian [Member] | ||||
Credit Derivatives | ||||
Net Par Outstanding | [1] | $ 4,300 | ||
Radian [Member] | BIG [Member] | ||||
Credit Derivatives | ||||
Net Par Outstanding | [2] | $ 489 | ||
[1] | The September 30, 2015 total amount includes $4.3 billion net par outstanding of credit derivatives acquired from Radian Asset. | |||
[2] | The September 30, 2015 BIG amount includes $489 million net par outstanding of credit derivatives acquired from Radian Asset. |
Financial Guaranty Contracts 89
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Change in Fair Value of Credit Derivatives Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||
Dec. 31, 2015 | Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Credit Derivatives | ||||||
Realized gains on credit derivatives | [1] | $ 14 | $ 17 | $ 52 | $ 58 | |
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | (8) | (31) | (17) | (38) | ||
Realized gains (losses) and other settlements | 6 | (14) | 35 | 20 | ||
Net change in unrealized gains (losses) on credit derivatives | 80 | 269 | 265 | 127 | ||
Net change in fair value of credit derivatives | [2] | 86 | 255 | 300 | 147 | |
Pooled corporate obligations [Member] | ||||||
Credit Derivatives | ||||||
Net change in unrealized gains (losses) on credit derivatives | (24) | 4 | 0 | 10 | ||
CMBS [Member] | ||||||
Credit Derivatives | ||||||
Net change in unrealized gains (losses) on credit derivatives | (3) | 0 | 1 | 2 | ||
Other [Member] | ||||||
Credit Derivatives | ||||||
Net change in unrealized gains (losses) on credit derivatives | 96 | 13 | 116 | (2) | ||
United States [Member] | RMBS [Member] | ||||||
Credit Derivatives | ||||||
Net change in unrealized gains (losses) on credit derivatives | 11 | 252 | 148 | 117 | ||
Credit Risk Contract [Member] | ||||||
Credit Derivatives | ||||||
Net par of terminated CDS contracts | 405 | 1,631 | 969 | 2,931 | ||
Realized gain due to termination of CDS contracts | $ 0.3 | $ (0.1) | $ 12.9 | $ 0.6 | ||
Scenario, Forecast [Member] | Credit Risk Contract [Member] | CMBS [Member] | ||||||
Credit Derivatives | ||||||
Realized gain due to termination of CDS contracts | $ 34 | |||||
[1] | Includes realized gain due to terminations of CDS contracts. CDS terminations in Nine Months 2015 also included a payment received from the resolution of a dispute related to a termination of CDS in 2008. | |||||
[2] | On October 9, 2015, the Company reached a settlement agreement with a CDS counterparty to terminate five Alt-A first lien CDS transactions. This termination agreement will generate a net fair value gain of approximately $293 million in the Company’s fourth quarter 2015 financial statements. In addition, on October 13, 2015, the Company terminated a CMBS transaction with a CDS counterparty and this termination agreement will generate a net fair value gain of approximately $34 million in the Company's fourth quarter 2015 financial statements. |
Financial Guaranty Contracts 90
Financial Guaranty Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | ||
Credit Derivatives | ||||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ (1,973) | $ (2,029) | ||||||
Plus: Effect of AGC and AGM credit spreads | 1,126 | 1,134 | ||||||
Net fair value of credit derivatives | [2] | $ (847) | [1] | $ (895) | ||||
Credit Risk Contract, 5 Year Spread [Member] | AGC [Member] | ||||||||
Credit Derivatives | ||||||||
Quoted price of CDS contract (as a percent) | 3.31% | 3.90% | 3.23% | 3.45% | 3.27% | 4.60% | ||
Credit Risk Contract, 5 Year Spread [Member] | AGM [Member] | ||||||||
Credit Derivatives | ||||||||
Quoted price of CDS contract (as a percent) | 3.37% | 4.10% | 3.25% | 3.44% | 3.46% | 5.25% | ||
Credit Risk Contract, 1 Year Spread [Member] | AGC [Member] | ||||||||
Credit Derivatives | ||||||||
Quoted price of CDS contract (as a percent) | 1.12% | 1.20% | 0.80% | 1.25% | 0.85% | 1.85% | ||
Credit Risk Contract, 1 Year Spread [Member] | AGM [Member] | ||||||||
Credit Derivatives | ||||||||
Quoted price of CDS contract (as a percent) | 1.04% | 1.25% | 0.85% | 1.20% | 1.15% | 2.20% | ||
Radian [Member] | ||||||||
Credit Derivatives | ||||||||
Net fair value of credit derivatives | $ 174 | |||||||
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. | |||||||
[2] | September 30, 2015 amount includes $174 million of net fair value loss of credit derivatives acquired from Radian Asset. |
Financial Guaranty Contracts 91
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Fair Value and Expected Losses of Credit Derivatives by Sector (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | ||
Credit Derivatives | ||||
Net fair value of credit derivatives | [2] | $ (847) | [1] | $ (895) |
Expected Loss to be (Paid) Recovered | [3] | (27) | (58) | |
Pooled corporate obligations [Member] | ||||
Credit Derivatives | ||||
Net fair value of credit derivatives | (231) | (49) | ||
Expected Loss to be (Paid) Recovered | [3] | (67) | (23) | |
RMBS [Member] | United States [Member] | ||||
Credit Derivatives | ||||
Net fair value of credit derivatives | (346) | (494) | ||
Expected Loss to be (Paid) Recovered | [3] | 19 | (73) | |
CMBS [Member] | ||||
Credit Derivatives | ||||
Net fair value of credit derivatives | (40) | 0 | ||
Expected Loss to be (Paid) Recovered | [3] | (7) | 0 | |
Other [Member] | ||||
Credit Derivatives | ||||
Net fair value of credit derivatives | (230) | (352) | ||
Expected Loss to be (Paid) Recovered | [3] | 28 | 38 | |
Credit Risk Contract [Member] | ||||
Credit Derivatives | ||||
R&W Included in Credit Derivative Asset (Liability) | $ 82 | $ 86 | ||
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. | |||
[2] | September 30, 2015 amount includes $174 million of net fair value loss of credit derivatives acquired from Radian Asset. | |||
[3] | Includes R&W benefit of $82 million as of September 30, 2015 and $86 million as of December 31, 2014. |
Financial Guaranty Contracts 92
Financial Guaranty Contracts Accounted for as Credit Derivatives - Effect of Changes in Credit Spread (Details) - USD ($) $ in Millions | 9 Months Ended | |||
Sep. 30, 2015 | Dec. 31, 2014 | |||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Fair Value | [1] | $ (1,723) | ||
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Fair Value | [1] | (1,285) | ||
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Fair Value | [1] | (1,067) | ||
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Fair Value | [1] | (935) | ||
Net fair value of credit derivatives | [2] | (847) | [1] | $ (895) |
Credit Risk Derivatives, 10 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (765) | ||
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (643) | ||
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (441) | ||
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (876) | ||
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (438) | ||
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (220) | ||
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (88) | ||
Credit Risk Derivatives, Base Scenario, Effect on Unrealized Gain (Loss) | [1] | 0 | ||
Credit Risk Derivatives, 10 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | 82 | ||
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | 204 | ||
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | $ 406 | ||
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. | |||
[2] | September 30, 2015 amount includes $174 million of net fair value loss of credit derivatives acquired from Radian Asset. |
Financial Guaranty Contracts 93
Financial Guaranty Contracts Accounted for as Credit Derivatives - Narrative (Details) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||||
Dec. 31, 2015USD ($) | Sep. 30, 2015USD ($)Transaction | Sep. 30, 2014USD ($) | Sep. 30, 2015USD ($)Transaction | Sep. 30, 2014USD ($) | Dec. 31, 2014USD ($) | Oct. 09, 2015Transaction | ||||
Credit Derivatives | ||||||||||
Estimated remaining weighted average life of credit derivatives (in years) | 5 years 3 months 23 days | 4 years 7 months 30 days | ||||||||
Net par outstanding | $ 29,633 | [1] | $ 29,633 | [1] | $ 34,996 | |||||
Gain due to change in methodology in expected recoveries | 49 | |||||||||
Gain from narrowing of spreads | 56 | |||||||||
Collateral agreed to be posted | $ 333 | $ 333 | 376 | |||||||
Market value collateralized debt obligations of corporate obligations [Member] | ||||||||||
Credit Derivatives | ||||||||||
Maximum average obligor size (as a percent) | 1.00% | 1.00% | ||||||||
Maximum exposure of one industry (as a percent) | 10.00% | 10.00% | ||||||||
Net par outstanding | $ 19,135 | $ 19,135 | 23,621 | |||||||
Other pooled infrastructure [Member] | ||||||||||
Credit Derivatives | ||||||||||
Net par outstanding | $ 1,900 | $ 1,900 | ||||||||
Pooled infrastructure [Member] | ||||||||||
Credit Derivatives | ||||||||||
Number of transactions | Transaction | 1 | 1 | ||||||||
Remaining other CDS [Member] | ||||||||||
Credit Derivatives | ||||||||||
Net par outstanding | $ 4,900 | $ 4,900 | ||||||||
CMBS [Member] | ||||||||||
Credit Derivatives | ||||||||||
Net par outstanding | 1,127 | 1,127 | 1,952 | |||||||
Collateral Debt Obligations, Collateral Requirement [Member] | ||||||||||
Credit Derivatives | ||||||||||
Amount of par subject to collateral for which the amount of collateral is capped | 4,900 | 4,900 | ||||||||
Collateral Debt Obligations, Collateral Cap Negotiated [Member] | ||||||||||
Credit Derivatives | ||||||||||
Amount of par subject to collateral for which the amount of collateral is capped | 4,700 | 4,700 | ||||||||
Collateral Debt Obligations, No Cap Negotiated [Member] | ||||||||||
Credit Derivatives | ||||||||||
Amount of par subject to collateral for which the amount of collateral is capped | 575 | 575 | ||||||||
Collateral agreed to be posted | 333 | 333 | 376 | |||||||
Notional amount subject to collateral based on movements in the mark-to-market valuation of the underlying exposure | 235 | 235 | 242 | |||||||
Collateral posted, based on mark-to-market valuation | 20 | 20 | $ 25 | |||||||
Credit Risk Contract [Member] | ||||||||||
Credit Derivatives | ||||||||||
Realized gain due to termination of CDS contracts | 0.3 | $ (0.1) | 12.9 | $ 0.6 | ||||||
Radian [Member] | ||||||||||
Credit Derivatives | ||||||||||
Net par outstanding | [1] | $ 4,300 | $ 4,300 | |||||||
Scenario, Forecast [Member] | Credit Risk Contract [Member] | CMBS [Member] | ||||||||||
Credit Derivatives | ||||||||||
Realized gain due to termination of CDS contracts | $ 34 | |||||||||
First Lien [Member] | Scenario, Forecast [Member] | Credit Risk Contract [Member] | RMBS [Member] | ||||||||||
Credit Derivatives | ||||||||||
Realized gain due to termination of CDS contracts | $ 293 | |||||||||
First Lien [Member] | Subsequent Event [Member] | Credit Risk Contract [Member] | RMBS [Member] | ||||||||||
Credit Derivatives | ||||||||||
Number of transactions terminated | Transaction | 5 | |||||||||
[1] | The September 30, 2015 total amount includes $4.3 billion net par outstanding of credit derivatives acquired from Radian Asset. |
Consolidated Variable Interes94
Consolidated Variable Interest Entities - Narrative (Details) | 3 Months Ended | 9 Months Ended | |||||
Sep. 30, 2015USD ($)Entity | Sep. 30, 2014USD ($)Entity | Mar. 31, 2014Entity | Sep. 30, 2015USD ($)Entity | Sep. 30, 2014USD ($)Entity | Dec. 31, 2014USD ($)Entity | Dec. 31, 2013Entity | |
Variable Interest Entity [Line Items] | |||||||
Net fair value gains and losses on FG VIEs are expected to reverse to zero at maturity of the VIE debt | $ 0 | $ 0 | |||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||||
Fair value gains (losses) on FG VIEs | 2,000,000 | $ 50,000,000 | 0 | $ 232,000,000 | |||
Number of entities to be deconsolidated | Entity | 7 | ||||||
Number of FG VIE's matured | Entity | (2) | ||||||
Variable Interest Entity, Primary Beneficiary [Member] | |||||||
Variable Interest Entity [Line Items] | |||||||
Net loss on consolidation | 26,000,000 | ||||||
Net gain on deconsolidation | $ 120,000,000 | ||||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||||
Fair value gains (losses) on FG VIEs | $ 2,000,000 | $ 50,000,000 | $ 0 | 232,000,000 | |||
Gain from Company's exercise of options | $ 37,000,000 | ||||||
Number of FG VIE's matured | Entity | 0 | (2) | |||||
Number of VIE that did not require consolidation | Entity | 37 | 31 | 37 | 31 | 32 | 40 | |
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] | |||||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||||
Number of VIE that did not require consolidation | Entity | 840 | 840 | 930 | ||||
Residential Mortgage Backed Securities and Other Insurance Products [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||||
Total unpaid principal balance for the VIEs' assets that were over 90 days or more past due | $ 198,000,000 | $ 198,000,000 | $ 183,000,000 | ||||
Difference between the aggregate unpaid principal and aggregate fair value of the VIEs' Assets | 923,000,000 | 923,000,000 | 941,000,000 | ||||
Change in the instrument specific credit risk of the VIEs' assets | 56,000,000 | $ 86,000,000 | 25,000,000 | $ 140,000,000 | |||
Unpaid principal for FG VIEs’ liabilities with recourse | 2,045,000,000 | 2,045,000,000 | 1,912,000,000 | ||||
Unpaid principal for FG VIEs' liabilities with and without recourse | $ 981,000,000 | 981,000,000 | $ 916,000,000 | ||||
Maximum [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||||
Fair value gains (losses) on FG VIEs | $ 1,000,000 |
Consolidated Variable Interes95
Consolidated Variable Interest Entities - Number of FG VIE's Consolidated (Details) - Entity | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | ||
Number of FG VIEs Consolidated [Roll Forward] | |||
Number of FG VIE's matured | (2) | ||
Variable Interest Entity, Primary Beneficiary [Member] | |||
Number of FG VIEs Consolidated [Roll Forward] | |||
Number of FG VIE's consolidated, beginning of period | 32 | 40 | |
Number of FG VIE's acquired | 4 | 0 | |
Number of FG VIE's consolidated | [1] | 1 | 1 |
Number of FG VIE's deconsolidated | [1] | 0 | (8) |
Number of FG VIE's matured | 0 | (2) | |
Number of FG VIE's consolidated, end of period | 37 | 31 | |
[1] | Net loss on consolidation was $26 million in Nine Months 2015, and net gain on deconsolidation was $120 million in Nine Months 2014, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations. |
Consolidated Variable Interes96
Consolidated Variable Interest Entities - Consolidated FG VIE's By Type of Collateral (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Variable Interest Entity [Line Items] | |||
Financial guaranty variable interest entities' assets with recourse, at fair value | $ 1,369 | [1] | $ 1,239 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 1,315 | [1] | 1,277 |
Financial guaranty variable interest entities' assets without recourse, at fair value | 178 | [1] | 163 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 167 | [1] | 142 |
Financial guaranty variable interest entities’ assets, at fair value | 1,547 | [1] | 1,402 |
Financial guaranty variable interest entities’ liabilities, at fair value | 1,482 | [1] | 1,419 |
Other Insurance Product Line [Member] | |||
Variable Interest Entity [Line Items] | |||
Financial guaranty variable interest entities' assets with recourse, at fair value | 448 | [1] | 369 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 448 | [1] | 369 |
United States [Member] | First Lien [Member] | RMBS [Member] | |||
Variable Interest Entity [Line Items] | |||
Financial guaranty variable interest entities' assets with recourse, at fair value | 713 | [1] | 632 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 572 | [1] | 581 |
United States [Member] | Second Lien [Member] | RMBS [Member] | |||
Variable Interest Entity [Line Items] | |||
Financial guaranty variable interest entities' assets with recourse, at fair value | 208 | [1] | 238 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 295 | [1] | $ 327 |
Radian [Member] | |||
Variable Interest Entity [Line Items] | |||
Financial guaranty variable interest entities’ assets, at fair value | 115 | ||
Financial guaranty variable interest entities’ liabilities, at fair value | $ 111 | ||
[1] | The September 30, 2015 amounts include $115 million of FG VIE assets and $111 million of FG VIE liabilities acquired from Radian Asset. |
Consolidated Variable Interes97
Consolidated Variable Interest Entities - Effect of Consolidating FG VIE's on Financial Information (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | ||
Variable Interest Entity [Line Items] | ||||||
Net earned premiums | [1] | $ 213 | $ 144 | $ 574 | $ 412 | |
Net investment income | 112 | 102 | 311 | 301 | ||
Net realized investment gains (losses) | (27) | (19) | (20) | (25) | ||
Fair value gains (losses) on FG VIEs | 2 | 50 | 0 | 232 | ||
Other income (loss) | (3) | (11) | 43 | 17 | ||
Loss and LAE | 112 | (44) | 318 | 54 | ||
Income (loss) before income taxes | 172 | 488 | 847 | 775 | ||
Provision (benefit) for income taxes | 43 | 133 | 220 | 219 | ||
Net income (loss) | 129 | 355 | 627 | 556 | ||
Net cash flows provided by (used in) operating activities | (39) | 347 | ||||
Effect on shareholders’ equity (decrease) increase | 5,819 | 5,819 | $ 5,758 | |||
Variable Interest Entity, Primary Beneficiary [Member] | ||||||
Variable Interest Entity [Line Items] | ||||||
Net earned premiums | (6) | (5) | (16) | (27) | ||
Net investment income | (3) | (2) | (9) | (8) | ||
Net realized investment gains (losses) | 6 | 0 | 9 | (5) | ||
Fair value gains (losses) on FG VIEs | 2 | 50 | 0 | 232 | ||
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax | 0 | 0 | 2 | 0 | ||
Other income (loss) | 0 | 0 | 0 | (2) | ||
Loss and LAE | 11 | 14 | 18 | 21 | ||
Income (loss) before income taxes | 10 | 57 | 4 | 211 | ||
Provision (benefit) for income taxes | 4 | 20 | 1 | 74 | ||
Net income (loss) | 6 | 37 | 3 | 137 | ||
Net cash flows provided by (used in) operating activities | 11 | $ 18 | 44 | $ 57 | ||
Effect on shareholders’ equity (decrease) increase | $ (38) | $ (38) | $ (44) | |||
[1] | Excludes $6 million and $5 million for Third Quarter 2015 and 2014, respectively, and $16 million and $27 million for Nine Months 2015 and 2014, respectively, related to consolidated financial guaranty ("FG") VIEs. |
Investments and Cash - Net Inve
Investments and Cash - Net Investment Income (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Net Investment Income | ||||
Gross investment income | $ 114 | $ 104 | $ 317 | $ 307 |
Investment expenses | (2) | (2) | (6) | (6) |
Net investment income | 112 | 102 | 311 | 301 |
Fixed Maturities, Managed Externally [Member] | ||||
Net Investment Income | ||||
Gross investment income | 85 | 83 | 252 | 244 |
Fixed Maturities, Managed Internally [Member] | ||||
Net Investment Income | ||||
Gross investment income | 15 | 15 | 44 | 52 |
Other Investments, Internally Managed [Member] | ||||
Net Investment Income | ||||
Gross investment income | $ 14 | $ 6 | $ 21 | $ 11 |
Investments and Cash - Net Real
Investments and Cash - Net Realized Investment Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Net Realized Investment Gains (Losses) | ||||
Gross realized gains on available-for-sale securities | $ 3 | $ 3 | $ 35 | $ 10 |
Gross realized gains on other assets in investment portfolio | 0 | 1 | 3 | 8 |
Gross realized losses on available-for-sale securities | (3) | (1) | (10) | (4) |
Gross realized losses on other assets in investment portfolio | (9) | (1) | (11) | (1) |
Other-than-temporary impairment | (18) | (21) | (37) | (38) |
Net realized investment gains (losses) | $ (27) | $ (19) | $ (20) | $ (25) |
Investments and Cash - Roll For
Investments and Cash - Roll Forward of Credit Losses in the Investment Portfolio (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Roll Forward of Credit Losses in the Investment Portfolio | ||||
Credit losses, beginning of period | $ 104 | $ 84 | $ 124 | $ 80 |
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized | 2 | 3 | 2 | 29 |
Reductions for securities sold and other settlement during the period | 0 | 0 | (28) | (12) |
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized | 0 | 17 | 8 | 7 |
Credit losses, end of period | $ 106 | $ 104 | $ 106 | $ 104 |
Investments and Cash - Fixed Ma
Investments and Cash - Fixed Maturity Securities and Short Term Investments (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | ||
Investments | ||||
Percent of Total | [1] | 100.00% | 100.00% | |
Amortized Cost | $ 10,768 | $ 10,739 | ||
Gross Unrealized Gains | 450 | 552 | ||
Gross Unrealized Losses | (56) | (33) | ||
Estimated Fair Value | 11,162 | 11,258 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 2 | [2] | $ 8 | |
Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 95.00% | 93.00% | |
Amortized Cost | $ 10,242 | $ 9,972 | ||
Gross Unrealized Gains | 450 | 552 | ||
Gross Unrealized Losses | (52) | (33) | ||
Estimated Fair Value | 10,640 | 10,491 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 2 | [2] | $ 8 | |
Short-term Investments [Member] | ||||
Investments | ||||
Percent of Total | [1] | 5.00% | 7.00% | |
Amortized Cost | $ 526 | $ 767 | ||
Gross Unrealized Gains | 0 | 0 | ||
Gross Unrealized Losses | (4) | 0 | ||
Estimated Fair Value | 522 | 767 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | [2] | $ 0 | |
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 53.00% | 50.00% | |
Amortized Cost | $ 5,668 | $ 5,416 | ||
Gross Unrealized Gains | 308 | 380 | ||
Gross Unrealized Losses | (18) | (1) | ||
Estimated Fair Value | 5,958 | 5,795 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 3 | [2] | $ 7 | |
US Treasury and Government [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 4.00% | 6.00% | |
Amortized Cost | $ 449 | $ 635 | ||
Gross Unrealized Gains | 28 | 31 | ||
Gross Unrealized Losses | 0 | (1) | ||
Estimated Fair Value | 477 | 665 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | [2] | $ 0 | |
Corporate securities [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 13.00% | 12.00% | |
Amortized Cost | $ 1,403 | $ 1,320 | ||
Gross Unrealized Gains | 45 | 53 | ||
Gross Unrealized Losses | (12) | (5) | ||
Estimated Fair Value | 1,436 | 1,368 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (3) | [2] | $ (2) | |
RMBS [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1],[3] | 13.00% | 12.00% | |
Amortized Cost | [3] | $ 1,349 | $ 1,255 | |
Gross Unrealized Gains | [3] | 38 | 51 | |
Gross Unrealized Losses | [3] | (16) | (21) | |
Estimated Fair Value | [3] | 1,371 | 1,285 | |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | [3] | $ (2) | [2] | $ 0 |
CMBS [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1],[3] | 4.00% | 6.00% | |
Amortized Cost | [3] | $ 492 | $ 639 | |
Gross Unrealized Gains | [3] | 19 | 20 | |
Gross Unrealized Losses | [3] | 0 | 0 | |
Estimated Fair Value | [3] | 511 | 659 | |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | [3] | $ 0 | [2] | $ 0 |
Asset-backed Securities [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 5.00% | 4.00% | |
Amortized Cost | $ 584 | $ 411 | ||
Gross Unrealized Gains | 6 | 9 | ||
Gross Unrealized Losses | 0 | (3) | ||
Estimated Fair Value | 590 | 417 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 4 | [2] | $ 3 | |
Foreign government securities [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 3.00% | 3.00% | |
Amortized Cost | $ 297 | $ 296 | ||
Gross Unrealized Gains | 6 | 8 | ||
Gross Unrealized Losses | (6) | (2) | ||
Estimated Fair Value | 297 | 302 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | [2] | $ 0 | |
[1] | Based on amortized cost. | |||
[2] | Accumulated OCI. See also Note 18, Shareholders' Equity. | |||
[3] | Government-agency obligations were approximately 55% of mortgage backed securities as of September 30, 2015 and 44% as of December 31, 2014 based on fair value. |
Investments and Cash - Gross Un
Investments and Cash - Gross Unrealized Loss by Length of Time (Details) $ in Millions | Sep. 30, 2015USD ($)Security | Dec. 31, 2014USD ($)Security | |
Less than 12 months | |||
Fair value | $ 1,429 | $ 797 | |
Unrealized loss | (31) | (10) | |
12 months or more | |||
Fair Value | 250 | 393 | |
Unrealized loss | (21) | (23) | |
Total | |||
Fair value | 1,679 | 1,190 | |
Unrealized loss | $ (52) | $ (33) | |
Number of securities | |||
Less than 12 months (in securities) | Security | [1] | 342 | 125 |
12 months or more (in securities) | Security | [1] | 37 | 82 |
Total (in securities) | Security | [1] | 372 | 198 |
Number of securities with OTTI | |||
Less than 12 months (in securities) | Security | 5 | 3 | |
12 months or more (in securities) | Security | 4 | 7 | |
Total (in securities) | Security | 9 | 10 | |
Obligations of state and political subdivisions [Member] | |||
Less than 12 months | |||
Fair value | $ 587 | $ 64 | |
Unrealized loss | (18) | 0 | |
12 months or more | |||
Fair Value | 4 | 25 | |
Unrealized loss | 0 | (1) | |
Total | |||
Fair value | 591 | 89 | |
Unrealized loss | (18) | (1) | |
US Treasury and Government [Member] | |||
Less than 12 months | |||
Fair value | 31 | 139 | |
Unrealized loss | 0 | 0 | |
12 months or more | |||
Fair Value | 0 | 68 | |
Unrealized loss | 0 | (1) | |
Total | |||
Fair value | 31 | 207 | |
Unrealized loss | 0 | (1) | |
Corporate securities [Member] | |||
Less than 12 months | |||
Fair value | 373 | 189 | |
Unrealized loss | (8) | (3) | |
12 months or more | |||
Fair Value | 99 | 104 | |
Unrealized loss | (4) | (2) | |
Total | |||
Fair value | 472 | 293 | |
Unrealized loss | (12) | (5) | |
RMBS [Member] | |||
Less than 12 months | |||
Fair value | 315 | 205 | |
Unrealized loss | (2) | (3) | |
12 months or more | |||
Fair Value | 91 | 159 | |
Unrealized loss | (14) | (18) | |
Total | |||
Fair value | 406 | 364 | |
Unrealized loss | (16) | (21) | |
CMBS [Member] | |||
Less than 12 months | |||
Fair value | 24 | 36 | |
Unrealized loss | 0 | 0 | |
12 months or more | |||
Fair Value | 2 | 19 | |
Unrealized loss | 0 | 0 | |
Total | |||
Fair value | 26 | 55 | |
Unrealized loss | 0 | 0 | |
Asset-backed Securities [Member] | |||
Less than 12 months | |||
Fair value | 2 | 56 | |
Unrealized loss | 0 | (2) | |
12 months or more | |||
Fair Value | 0 | 18 | |
Unrealized loss | 0 | (1) | |
Total | |||
Fair value | 2 | 74 | |
Unrealized loss | 0 | (3) | |
Foreign government securities [Member] | |||
Less than 12 months | |||
Fair value | 97 | 108 | |
Unrealized loss | (3) | (2) | |
12 months or more | |||
Fair Value | 54 | 0 | |
Unrealized loss | (3) | 0 | |
Total | |||
Fair value | 151 | 108 | |
Unrealized loss | $ (6) | $ (2) | |
[1] | The number of securities does not add across because lots of the same securities 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 - Distribu
Investments and Cash - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Amortized Cost | |||
Amortized cost | $ 10,242 | $ 9,972 | |
Estimated Fair Value | |||
Estimated Fair Value | 11,162 | 11,258 | |
Fixed Maturities [Member] | |||
Amortized Cost | |||
Due within one year | 260 | ||
Due after one year through five years | 1,579 | ||
Due after five years through 10 years | 2,241 | ||
Due after 10 years | 4,321 | ||
Amortized cost | 10,242 | ||
Estimated Fair Value | |||
Due within one year | 261 | ||
Due after one year through five years | 1,637 | ||
Due after five years through 10 years | 2,349 | ||
Due after 10 years | 4,511 | ||
Estimated Fair Value | 10,640 | 10,491 | |
Fixed Maturities [Member] | RMBS [Member] | |||
Amortized Cost | |||
Amortized cost | 1,349 | ||
Estimated Fair Value | |||
Estimated Fair Value | [1] | 1,371 | 1,285 |
Fixed Maturities [Member] | CMBS [Member] | |||
Amortized Cost | |||
Amortized cost | 492 | ||
Estimated Fair Value | |||
Estimated Fair Value | [1] | $ 511 | $ 659 |
[1] | Government-agency obligations were approximately 55% of mortgage backed securities as of September 30, 2015 and 44% as of December 31, 2014 based on fair value. |
Investments and Cash - Internal
Investments and Cash - Internally Managed Investment Portfolio (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | $ 11,162 | $ 11,258 |
Other invested assets | 181 | 126 |
Internally managed portfolio | 11,343 | 11,384 |
Fixed Maturities, Managed Internally [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | 940 | 835 |
Other Invested Assets, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 117 | 46 |
Other, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 64 | 79 |
Internally Managed Portfolio [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Internally managed portfolio | $ 1,121 | $ 960 |
Investments and Cash - Narrativ
Investments and Cash - Narrative (Details) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015USD ($)SecurityPerson | Dec. 31, 2014USD ($) | |
Investment [Line Items] | ||
Accrued investment income | $ 103 | $ 98 |
Government agency obligations as a percentage of total mortgage backed securities | 55.00% | 44.00% |
Number of outside managers managing investment portfolio | Person | 5 | |
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | Security | 4 | |
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $ 13 | |
Assets held-in-trust | 299 | $ 236 |
Fair market value of company's pledged securities | $ 333 | $ 376 |
Investments [Member] | Internally Managed Portfolio [Member] | ||
Investment [Line Items] | ||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 10.00% | 8.00% |
AGL Subsidiaries [Member] | ||
Investment [Line Items] | ||
Assets held-in-trust | $ 1,456 | $ 1,395 |
Insurance Company Regulatory106
Insurance Company Regulatory Requirements - Narrative (Details) - USD ($) $ in Millions | Jul. 13, 2013 | Sep. 30, 2015 |
AGM and AGC [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Reserves for contingencies reassumed, incremental reassumption, period | 3 years | |
Reserves for contingencies reassumed | $ 522 | |
New York [Member] | AGM [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Threshold for dividend payments as a percentage of policyholder surplus | 10.00% | |
Threshold for dividend payments, percentage of adjusted net investment income | 100.00% | |
Amount available for distribution, current year | $ 215 | |
Amount available for distribution, next fiscal quarter | $ 52 | |
MARYLAND | AGC [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Threshold for dividend payments as a percentage of policyholder surplus | 10.00% | |
Threshold for dividend payments, percentage of adjusted net investment income | 100.00% | |
Amount available for distribution, next fiscal quarter | $ 40 | |
MARYLAND | AGUS [Member] | AGC [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Amount available for distribution, current year | 90 | |
Bermuda [Member] | Assured Guaranty Re [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Amount available for distribution, current year | $ 279 | |
Dividend payment restrictions schedule, percentage of statutory capital | 15.00% | |
Dividend payment restrictions schedule amount of statutory capital | $ 127 | |
Dividend restrictions on statutory capital and surplus (as a percent) | 25.00% | |
Statutory surplus | $ 271 | |
Unencumbered assets | $ 611 |
Insurance Company Regulatory107
Insurance Company Regulatory Requirements - Dividends and Surplus Notes By Insurance Company Subsidiaries (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | $ 55 | $ 58 | ||
AGMH [Member] | Affiliated Entity [Member] | AGM [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | $ 57 | $ 60 | 163 | 105 |
Repayment of surplus notes | 0 | 25 | 25 | 50 |
AGL [Member] | Affiliated Entity [Member] | Assured Guaranty Re [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | 35 | 0 | 120 | 82 |
AGUS [Member] | Affiliated Entity [Member] | AGC [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | $ 15 | $ 15 | $ 50 | $ 30 |
Income Taxes - Effective Tax Ra
Income Taxes - Effective Tax Rate Reconciliation and Pretax Income (Loss) and Revenue by Tax Jurisdiction (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $ 56 | $ 145 | $ 276 | $ 255 |
Tax-exempt interest | (14) | (15) | (41) | (43) |
Gain on bargain purchase | 0 | 0 | (19) | 0 |
Change in liability for uncertain tax positions | 10 | 6 | 12 | 7 |
Other | (9) | (3) | (8) | 0 |
Total provision (benefit) for income taxes | $ 43 | $ 133 | $ 220 | $ 219 |
Effective tax rate (as a percent) | 25.00% | 27.30% | 26.00% | 28.30% |
Income (loss) before provision for income taxes | $ 172 | $ 488 | $ 847 | $ 775 |
Revenue | 368 | 525 | 1,432 | 1,073 |
United States [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before provision for income taxes | 166 | 419 | 803 | 741 |
Revenue | 311 | 420 | 1,229 | 908 |
Bermuda [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before provision for income taxes | 12 | 76 | 67 | 57 |
Revenue | 58 | 106 | 209 | 168 |
United Kingdom [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before provision for income taxes | (6) | (7) | (23) | (23) |
Revenue | $ (1) | $ (1) | $ (6) | $ (3) |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | |
Income Taxes [Line Items] | ||||
Realization assessment period | 3 years | |||
Accrued interest and penalties, uncertain tax positions | $ 5.2 | $ 4.5 | ||
Interest and penalties related to uncertain tax positions | 0.7 | 1 | ||
Unrecognized tax benefits that would impact effective tax rate | $ 39 | $ 28 | ||
United States [Member] | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 35.00% | |||
United Kingdom [Member] | ||||
Income Taxes [Line Items] | ||||
Value added tax rate | 20.00% | |||
Corporate tax rate | 21.00% | 23.00% | ||
United Kingdom [Member] | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 20.25% | 21.50% | ||
Subsequent to April 1, 2015 | United Kingdom [Member] | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 20.00% | |||
Radian [Member] | ||||
Income Taxes [Line Items] | ||||
Foreign tax credits acquired | $ 11 |
Reinsurance and Other Monoli110
Reinsurance and Other Monoline Exposures - Effect of Reinsurance on Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Premiums Written: | |||||
Direct | $ 41 | $ 52 | $ 93 | $ 100 | |
Assumed | (1) | (5) | 1 | (6) | |
Ceded | 0 | 0 | 2 | (22) | |
Net | 40 | 47 | 96 | 72 | |
Premiums Earned: | |||||
Direct | 224 | 151 | 596 | 438 | |
Assumed | 7 | 12 | 29 | 32 | |
Ceded | (18) | (19) | (51) | (58) | |
Net | [1] | 213 | 144 | 574 | 412 |
Loss and LAE: | |||||
Direct | 111 | (58) | 323 | 46 | |
Assumed | 23 | 11 | 35 | 26 | |
Ceded | (22) | 3 | (40) | (18) | |
Net | $ 112 | $ (44) | $ 318 | $ 54 | |
[1] | Excludes $6 million and $5 million for Third Quarter 2015 and 2014, respectively, and $16 million and $27 million for Nine Months 2015 and 2014, respectively, related to consolidated financial guaranty ("FG") VIEs. |
Reinsurance and Other Monoli111
Reinsurance and Other Monoline Exposures - Exposure by Reinsurer (Details) $ in Millions | Sep. 30, 2015USD ($) | [1] |
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | $ 16,311 | |
Second-to- Pay Insured Par Outstanding | 16,522 | |
Assumed Par Outstanding | 22,889 | |
American Overseas Reinsurance Company Limited (f/k/a Ram Re) [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 5,480 | [2] |
Second-to- Pay Insured Par Outstanding | 0 | [2] |
Assumed Par Outstanding | 30 | [2] |
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 4,426 | [3] |
Second-to- Pay Insured Par Outstanding | 0 | [3] |
Assumed Par Outstanding | 0 | [3] |
Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 3,505 | |
Second-to- Pay Insured Par Outstanding | 1,538 | |
Assumed Par Outstanding | 159 | |
Mitsui Sumitomo Insurance Co. Ltd. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 1,854 | [3] |
Second-to- Pay Insured Par Outstanding | 0 | [3] |
Assumed Par Outstanding | 0 | [3] |
Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 714 | [4] |
Second-to- Pay Insured Par Outstanding | 19 | [4] |
Assumed Par Outstanding | 0 | [4] |
Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 117 | |
Second-to- Pay Insured Par Outstanding | 4,370 | |
Assumed Par Outstanding | 11,633 | |
National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | |
Second-to- Pay Insured Par Outstanding | 5,448 | |
Assumed Par Outstanding | 5,259 | |
MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | [5] |
Second-to- Pay Insured Par Outstanding | 2,584 | [5] |
Assumed Par Outstanding | 449 | [5] |
Financial Guaranty Insurance Co [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | |
Second-to- Pay Insured Par Outstanding | 1,551 | |
Assumed Par Outstanding | 674 | |
Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | |
Second-to- Pay Insured Par Outstanding | 95 | |
Assumed Par Outstanding | 888 | |
CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | |
Second-to- Pay Insured Par Outstanding | 96 | |
Assumed Par Outstanding | 3,663 | |
Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 215 | |
Second-to- Pay Insured Par Outstanding | 821 | |
Assumed Par Outstanding | $ 134 | |
[1] | Includes par related to insured credit derivatives. | |
[2] | Represents “Withdrawn Rating.” | |
[3] | The Company benefits from trust arrangements that satisfy the triple-A credit requirement of S&P and/or Moody’s. | |
[4] | Represents “Not Rated.” | |
[5] | 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. |
Reinsurance and Other Monoli112
Reinsurance and Other Monoline Exposures - Reinsurance and Other Monoline Exposures (Details) $ in Millions | Sep. 30, 2015USD ($) |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | $ 69 |
Ceded Premium, net of Commissions | (52) |
Assumed Expected Loss to be Paid | (156) |
Ceded Expected Loss to be Paid | 110 |
American Overseas Reinsurance Company Limited (f/k/a Ram Re) [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (7) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 25 |
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (11) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 56 |
Syncora Guarantee Inc. [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (26) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 6 |
Mitsui Sumitomo Insurance Co. Ltd. [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (3) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 23 |
Ambac [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 42 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (13) |
Ceded Expected Loss to be Paid | 0 |
Ambac Assurance Corp. Segregated account [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 11 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (68) |
Ceded Expected Loss to be Paid | 0 |
CIFG Assurance North America Inc. [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (48) |
Ceded Expected Loss to be Paid | 0 |
MBIA Inc. [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 5 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (10) |
Ceded Expected Loss to be Paid | 0 |
National Public Finance Guarantee Corporation [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 6 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | 7 |
Ceded Expected Loss to be Paid | 0 |
Financial Guaranty Insurance Co [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 4 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (10) |
Ceded Expected Loss to be Paid | 0 |
Other [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 1 |
Ceded Premium, net of Commissions | (5) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | $ 0 |
Reinsurance and Other Monoli113
Reinsurance and Other Monoline Exposures - Narrative (Details) - USD ($) | Jan. 01, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 |
Ceded Credit Risk [Line Items] | ||||
Reassumed ceded business, par due to commutations | $ 856,000,000 | |||
Fixed-maturity securities | $ 11,162,000,000 | $ 11,258,000,000 | ||
Assured Guaranty Re [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Amounts could be required to pay if third party exercised right to recapture business | 72,000,000 | |||
AGC [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Amounts could be required to pay if third party exercised right to recapture business | 37,000,000 | |||
Fixed Maturities [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Fixed-maturity securities | 10,640,000,000 | 10,491,000,000 | ||
Fixed Maturities [Member] | National Public Finance Guarantee Corporation [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Fixed-maturity securities | 258,000,000 | |||
Fixed Maturities [Member] | Ambac [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Fixed-maturity securities | 217,000,000 | |||
Fixed Maturities [Member] | Other [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Fixed-maturity securities | 31,000,000 | |||
Excess of Loss Reinsurance Facility [Member] | AGM, AGC and MAC [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Minimum net losses required for attachment of excess of loss reinsurance facility | $ 1,500,000,000 | |||
Amount of losses covered under the facility | 500,000,000 | |||
Reinsurance retention policy, excess retention, amount reinsured | 450,000,000 | |||
Remaining amount of losses covered under the facility | $ 50,000,000 | |||
Premiums paid during the period | $ 19,000,000 | $ 19,000,000 |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) ft² in Thousands, € in Millions | Jan. 30, 2015USD ($) | May. 28, 2014EUR (€) | Nov. 19, 2012USD ($) | May. 31, 2010Lawsuit | Apr. 30, 2010Lawsuit | Sep. 30, 2009Plaintiff | Sep. 30, 2015USD ($)ft²Lawsuitstep | Dec. 31, 2009Lawsuit | Dec. 31, 2008Lawsuit | Apr. 10, 2015USD ($) | Sep. 25, 2013USD ($) | Nov. 28, 2011USD ($)Transaction |
Governmental Investigations [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Number of plaintiffs filing consolidated complaints | Plaintiff | 4 | |||||||||||
AGM [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Lease space | ft² | 88 | |||||||||||
Lessee Leasing Arrangements, Operating Leases, Renewal Term | 5 years | |||||||||||
Operating lease, beginning rent expense | $ 6,200,000 | |||||||||||
Operating lease, number of step increases in operating lease expense | step | 2 | |||||||||||
Operating leases, rent expense after step increases, net | $ 7,300,000 | |||||||||||
Operating leases, rent expense after step increases, term | 5 years | |||||||||||
Operating leases, canceled term of existing leases | 8 months | |||||||||||
LBIE vs. AG Financial Products [Member] | AG Financial Products Inc. [Member] | Guarantee Obligations [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Number of credit derivative transactions for which termination payment is alleged to be improperly calculated | Transaction | 9 | |||||||||||
LBIE vs. AG Financial Products [Member] | Lehman Brothers International (Europe) [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Gain contingency, number of credit derivative transactions with improperly calculated payments | Transaction | 28 | |||||||||||
Pending Litigation [Member] | Wells Fargo Bank, N.A., Interpleader Complaint [Member] | AGM [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Increase in losses as a result of an adverse outcome, minimum | $ 10,000,000 | |||||||||||
Increase in losses as a result of an adverse outcome, maximum | $ 20,000,000 | |||||||||||
Pending Litigation [Member] | Houston Casualty Company Europe Vs Assured Guaranty [Member] | AGC [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Damages sought | € | € 15 | |||||||||||
Estimated additional damage sought | € | € 2.9 | |||||||||||
Pending Litigation [Member] | MDL 1950 [Member] | Proceedings Related to Former Financial Products Business [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Number of putative class action lawsuits filed in federal court | Lawsuit | 9 | |||||||||||
Pending Litigation [Member] | MDL 1950 [Member] | AGMH [Member] | Proceedings Related to Former Financial Products Business [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Number of putative class action lawsuits filed in federal court | Lawsuit | 4 | |||||||||||
Pending Litigation [Member] | MDL 1950 [Member] | AGM and AGMH [Member] | Proceedings Related to Former Financial Products Business [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Number of putative class action lawsuits filed in federal court | Lawsuit | 5 | |||||||||||
Pending Litigation [Member] | Non-class Action Cases Consolidated with MDL 1950 for Pretrial Proceedings [Member] | AGM and AGMH [Member] | Proceedings Related to Former Financial Products Business [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Number of putative class action lawsuits filed in federal court | Lawsuit | 5 | |||||||||||
Pending Litigation [Member] | Non-class Action Cases Consolidated with MDL 1950 for Pretrial Proceedings [Member] | AGM and AGUS [Member] | Proceedings Related to Former Financial Products Business [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Number of putative class action lawsuits filed in federal court | Lawsuit | 5 | 6 | ||||||||||
Number of cases voluntarily dismissed with prejudice | Lawsuit | 1 | |||||||||||
Number of claims remaining after dismissals | Lawsuit | 5 | |||||||||||
Number of non-class action lawsuits for which dismissal was denied | Lawsuit | 10 | |||||||||||
Pending Litigation [Member] | LBHI and LBSF vs CPT 283, FSA and AGM [Member] | AGM [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Termination payments which LBIE owes to AG Financial Products as per calculation of AG Financial Products | $ 43,800,000 | |||||||||||
Damages sought | 67,300,000 | |||||||||||
Pending Litigation [Member] | LBHI and LBSF vs CPT 207, FSA and AGM [Member] | AGM [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Termination payments which LBIE owes to AG Financial Products as per calculation of AG Financial Products | 492,555 | |||||||||||
Damages sought | $ 1,500,000 | |||||||||||
Settled Litigation [Member] | LBHI and LBSF vs CPT 207, FSA and AGM [Member] | AGM [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Litigation settlement, amount | $ 20,000,000 | |||||||||||
Positive Outcome of Litigation [Member] | Pending Litigation [Member] | LBIE vs. AG Financial Products [Member] | AG Financial Products Inc. [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Termination payments which LBIE owes to AG Financial Products as per calculation of AG Financial Products | $ 29,000,000 | |||||||||||
Positive Outcome of Litigation [Member] | Pending Litigation [Member] | LBIE vs. AG Financial Products [Member] | Lehman Brothers International (Europe) [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Termination payments which AG Financial Products owes to LBIE as per calculation of LBIE | $ 1,400,000,000 | |||||||||||
Minimum [Member] | Positive Outcome of Litigation [Member] | LBIE vs. AG Financial Products [Member] | Lehman Brothers International (Europe) [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Gain contingency, unrecorded amount | $ 200,000,000 | |||||||||||
Maximum [Member] | Positive Outcome of Litigation [Member] | LBIE vs. AG Financial Products [Member] | Lehman Brothers International (Europe) [Member] | ||||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||||
Gain contingency, unrecorded amount | $ 500,000,000 |
Long-Term Debt and Credit Fa115
Long-Term Debt and Credit Facilities - Narrative (Details) | Mar. 30, 2015USD ($) | Apr. 07, 2008 | Jun. 30, 2003USD ($)Trust | Sep. 30, 2015USD ($) | Sep. 30, 2014USD ($) | Dec. 31, 2012USD ($) | Dec. 31, 2014 | Oct. 25, 2013USD ($) | Jul. 01, 2009USD ($) | Apr. 08, 2005USD ($)Trust |
Debt Instrument [Line Items] | ||||||||||
Intercompany debt | $ 0 | $ 0 | ||||||||
AGC Trust Preferred Securities [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Basis points | 2.50% | |||||||||
AGM Trust Preferred Securities [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Basis points | 2.00% | |||||||||
AGM [Member] | AGM CPS securities [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Maximum stock purchase obligation of each custodial trust | $ 50,000,000 | |||||||||
Aggregate maximum stock purchase obligation of the custodial trusts | $ 200,000,000 | |||||||||
Number of custodial trusts | Trust | 4 | |||||||||
Rate basis for income distributions | one-month LIBOR | |||||||||
Auction interval (in days) | 28 days | |||||||||
AGC [Member] | AGM CPS securities [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Maximum stock purchase obligation of each custodial trust | $ 200,000,000 | |||||||||
Aggregate maximum stock purchase obligation of the custodial trusts | $ 50,000,000 | |||||||||
Number of custodial trusts | Trust | 4 | |||||||||
Rate basis for income distributions | one-month LIBOR | |||||||||
Line of Credit [Member] | Strip Coverage Facility [Member] | AGM [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Cumulative strip par exposure terminated | 1,400,000,000 | |||||||||
Commitment amount | 1,000,000,000 | |||||||||
Covenant terms, additional net worth requirement under reduced borrowing capacity | $ 0 | |||||||||
Covenant terms, maximum debt-to-capital ratio | 30.00% | |||||||||
Covenant terms, minimum net worth percentage | 75.00% | |||||||||
Covenant terms, minimum percentage of aggregate consolidated net income (or loss) | 25.00% | |||||||||
Line of Credit [Member] | Revolving Credit Facility [Member] | Wilbur L. Ross [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Interest rate, as a percentage of Federal short-term or mid-term interest rate | 100.00% | |||||||||
Notes Payable 5.60 Percent [Member] | Notes Payable, Other Payables [Member] | AGMH [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Interest rate of debt (as a percent) | 5.60% | 5.60% | ||||||||
6.25% Notes [Member] | Notes Payable, Other Payables [Member] | AGMH [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Interest rate of debt (as a percent) | 6.25% | 6.25% | ||||||||
QUIBS 6.875 Percent [Member] | Corporate securities [Member] | AGMH [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Interest rate of debt (as a percent) | 6.875% | 6.875% | ||||||||
Senior Notes 7.0 Percent [Member] | Senior Notes [Member] | AGUS [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Interest rate of debt (as a percent) | 7.00% | 7.00% | ||||||||
Senior Notes 5.0 Percent [Member] | Senior Notes [Member] | AGUS [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Interest rate of debt (as a percent) | 5.00% | 5.00% | ||||||||
Intercompany Credit Facility [Member] | Line of Credit [Member] | Revolving Credit Facility [Member] | Wilbur L. Ross [Member] | AGL [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Related party, maximum borrowing capacity | $ 225,000,000 | |||||||||
Dexia Credit Local (NY) [Member] | Line of Credit [Member] | Strip Coverage Facility [Member] | AGM [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Commitment amount | $ 495,000,000 | $ 1,000,000,000 | ||||||||
Radian [Member] | AGUS [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Intercompany debt | $ 200,000,000 | |||||||||
Municipal Assurance Corp [Member] | AGUS [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Intercompany debt | $ 90,000,000 | |||||||||
Leveraged Leases [Member] | Structured Finance [Member] | Financial Guarantee [Member] | AGM [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Possible liquidity claims, gross exposure | $ 1,200,000,000 |
Long-Term Debt and Credit Fa116
Long-Term Debt and Credit Facilities - Principal and Carrying Amounts of Debt (Details) - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 |
Debt Instrument [Line Items] | ||
Principal | $ 1,593,000,000 | $ 1,596,000,000 |
Carrying Value | 1,306,000,000 | 1,303,000,000 |
AGUS [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 850,000,000 | 850,000,000 |
Carrying Value | 847,000,000 | 847,000,000 |
AGMH [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 730,000,000 | 730,000,000 |
Carrying Value | 444,000,000 | 437,000,000 |
AGM [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 13,000,000 | 16,000,000 |
Carrying Value | $ 15,000,000 | $ 19,000,000 |
Senior Notes [Member] | AGUS [Member] | Senior Notes 7.0 Percent [Member] | ||
Debt Instrument [Line Items] | ||
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 |
Senior Notes [Member] | AGUS [Member] | Senior Notes 5.0 Percent [Member] | ||
Debt Instrument [Line Items] | ||
Interest rate of debt (as a percent) | 5.00% | 5.00% |
Principal | $ 500,000,000 | $ 500,000,000 |
Carrying Value | 499,000,000 | 499,000,000 |
Enhanced Junior Subordinated Debentures [Member] | AGUS [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 150,000,000 | 150,000,000 |
Carrying Value | $ 150,000,000 | $ 150,000,000 |
Corporate securities [Member] | AGMH [Member] | QUIBS 6.875 Percent [Member] | ||
Debt Instrument [Line Items] | ||
Interest rate of debt (as a percent) | 6.875% | 6.875% |
Principal | $ 100,000,000 | $ 100,000,000 |
Carrying Value | $ 69,000,000 | $ 68,000,000 |
Notes Payable, Other Payables [Member] | AGMH [Member] | 6.25% Notes [Member] | ||
Debt Instrument [Line Items] | ||
Interest rate of debt (as a percent) | 6.25% | 6.25% |
Principal | $ 230,000,000 | $ 230,000,000 |
Carrying Value | $ 140,000,000 | $ 139,000,000 |
Notes Payable, Other Payables [Member] | AGMH [Member] | Notes Payable 5.60 Percent [Member] | ||
Debt Instrument [Line Items] | ||
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 |
Notes Payable, Other Payables [Member] | AGM [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 13,000,000 | 16,000,000 |
Carrying Value | 15,000,000 | 19,000,000 |
Junior Subordinated Debt [Member] | AGMH [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 300,000,000 | 300,000,000 |
Carrying Value | $ 180,000,000 | $ 175,000,000 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Basic EPS: | ||||
Net income (loss) | $ 129 | $ 355 | $ 627 | $ 556 |
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 0 | 1 | 0 | 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 129 | $ 354 | $ 627 | $ 556 |
Basic shares | 145.8 | 168.8 | 150.7 | 176.4 |
Basic EPS (in dollars per share) | $ 0.88 | $ 2.10 | $ 4.16 | $ 3.15 |
Diluted EPS: | ||||
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 | $ 129 | $ 354 | $ 627 | $ 556 |
Basic shares | 145.8 | 168.8 | 150.7 | 176.4 |
Effect of dilutive securities: | ||||
Options and restricted stock awards (in shares) | 0.7 | 0.9 | 0.9 | 1 |
Diluted shares | 146.5 | 169.7 | 151.6 | 177.4 |
Diluted EPS (in dollars per share) | $ 0.88 | $ 2.09 | $ 4.13 | $ 3.13 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | 1.3 | 1.9 | 0.7 | 1.6 |
Shareholders' Equity - Changes
Shareholders' Equity - Changes in AOCI by Component (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Balance at beginning of period | $ 239 | $ 332 | $ 370 | $ 160 |
Other comprehensive income (loss) before reclassifications | 22 | (9) | (103) | 155 |
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | (27) | (19) | (20) | (25) |
Net investment income | 112 | 102 | 311 | 301 |
Interest expense | (25) | (27) | (76) | (67) |
Total (provision) benefit for income taxes | (43) | (133) | (220) | (219) |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(21), $5 and $(7) | 12 | 10 | 7 | 19 |
Net current period other comprehensive income (loss) | 34 | 1 | (97) | 173 |
Balance at end of period | 273 | 333 | 273 | 333 |
Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | 27 | 15 | 20 | 28 |
Net investment income | (9) | (9) | ||
Interest expense | 0 | 0 | (1) | 0 |
Total before tax | 18 | 15 | 10 | 28 |
Total (provision) benefit for income taxes | (6) | (5) | (4) | (10) |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(21), $5 and $(7) | 12 | 10 | 6 | 18 |
Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Balance at beginning of period | 236 | 345 | 367 | 178 |
Other comprehensive income (loss) before reclassifications | 41 | (5) | (77) | 164 |
Amounts reclassified from AOCI to: | ||||
Net current period other comprehensive income (loss) | 42 | (8) | (89) | 159 |
Balance at end of period | 278 | 337 | 278 | 337 |
Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | 10 | (5) | (9) | (9) |
Net investment income | (9) | (9) | ||
Interest expense | 0 | 0 | 0 | 0 |
Total before tax | 1 | (5) | (18) | (9) |
Total (provision) benefit for income taxes | 0 | 2 | 6 | 4 |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(21), $5 and $(7) | 1 | (3) | (12) | (5) |
Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Balance at beginning of period | 4 | (22) | 4 | (24) |
Other comprehensive income (loss) before reclassifications | (15) | 1 | (23) | (8) |
Amounts reclassified from AOCI to: | ||||
Net current period other comprehensive income (loss) | (4) | 14 | (4) | 16 |
Balance at end of period | 0 | (8) | 0 | (8) |
Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | 17 | 20 | 29 | 37 |
Net investment income | 0 | 0 | ||
Interest expense | 0 | 0 | 0 | 0 |
Total before tax | 17 | 20 | 29 | 37 |
Total (provision) benefit for income taxes | (6) | (7) | (10) | (13) |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(21), $5 and $(7) | 11 | 13 | 19 | 24 |
Accumulated Translation Adjustment [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Balance at beginning of period | (9) | 1 | (10) | (3) |
Other comprehensive income (loss) before reclassifications | (4) | (5) | (3) | (1) |
Amounts reclassified from AOCI to: | ||||
Net current period other comprehensive income (loss) | (4) | (5) | (3) | (1) |
Balance at end of period | (13) | (4) | (13) | (4) |
Accumulated Translation Adjustment [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Net investment income | 0 | 0 | ||
Interest expense | 0 | 0 | 0 | 0 |
Total before tax | 0 | 0 | 0 | 0 |
Total (provision) benefit for income taxes | 0 | 0 | 0 | 0 |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(21), $5 and $(7) | 0 | 0 | 0 | 0 |
Cash Flow Hedge [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Balance at beginning of period | 8 | 8 | 9 | 9 |
Other comprehensive income (loss) before reclassifications | 0 | 0 | 0 | 0 |
Amounts reclassified from AOCI to: | ||||
Net current period other comprehensive income (loss) | 0 | 0 | (1) | (1) |
Balance at end of period | 8 | 8 | 8 | 8 |
Cash Flow Hedge [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Net investment income | 0 | 0 | ||
Interest expense | 0 | (1) | 0 | |
Total before tax | 0 | 0 | (1) | 0 |
Total (provision) benefit for income taxes | 0 | 0 | 0 | (1) |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(21), $5 and $(7) | $ 0 | $ 0 | $ (1) | $ (1) |
Subsidiary Information - Conden
Subsidiary Information - Condensed Consolidating Balance Sheet (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Assets | |||
Total investment portfolio and cash | $ 11,409 | $ 11,459 | |
Investment in subsidiaries | 0 | 0 | |
Premiums receivable, net of commissions payable | 676 | 729 | |
Ceded unearned premium reserve | 263 | 381 | |
Deferred acquisition costs | 118 | 121 | |
Reinsurance recoverable on unpaid losses | 89 | 78 | |
Credit derivative assets | 71 | 68 | |
Deferred tax asset, net | 426 | 260 | |
Intercompany receivable | 0 | 0 | |
Financial guaranty variable interest entities’ assets, at fair value | 1,547 | [1] | 1,402 |
Other | 435 | 427 | |
Total assets | 15,034 | 14,925 | |
Liabilities and shareholders’ equity | |||
Unearned premium reserve | 4,112 | 4,261 | |
Loss and loss adjustment expense reserve | 1,007 | 799 | |
Long-term debt | 1,306 | 1,303 | |
Intercompany payable | 0 | 0 | |
Credit derivative liabilities | 918 | 963 | |
Deferred tax liabilities, net | 0 | 0 | |
Financial guaranty variable interest entities’ liabilities, at fair value | 1,482 | [1] | 1,419 |
Other | 390 | 422 | |
Total liabilities | 9,215 | 9,167 | |
Effect on shareholders’ equity (decrease) increase | 5,819 | 5,758 | |
Noncontrolling interest | 0 | 0 | |
Total shareholders' equity | 5,819 | 5,758 | |
Total liabilities and shareholders’ equity | 15,034 | 14,925 | |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | |||
Assets | |||
Total investment portfolio and cash | 100 | 126 | |
Investment in subsidiaries | 5,696 | 5,612 | |
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 | 28 | 27 | |
Total assets | 5,824 | 5,765 | |
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 | 5 | 7 | |
Total liabilities | 5 | 7 | |
Effect on shareholders’ equity (decrease) increase | 5,819 | 5,758 | |
Noncontrolling interest | 0 | 0 | |
Total shareholders' equity | 5,819 | 5,758 | |
Total liabilities and shareholders’ equity | 5,824 | 5,765 | |
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | |||
Assets | |||
Total investment portfolio and cash | 61 | 204 | |
Investment in subsidiaries | 5,348 | 5,072 | |
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 | 37 | 54 | |
Intercompany receivable | 0 | 0 | |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | |
Other | 107 | 77 | |
Total assets | 5,553 | 5,407 | |
Liabilities and shareholders’ equity | |||
Unearned premium reserve | 0 | 0 | |
Loss and loss adjustment expense reserve | 0 | 0 | |
Long-term debt | 847 | 847 | |
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 | 24 | 9 | |
Total liabilities | 961 | 946 | |
Effect on shareholders’ equity (decrease) increase | 4,592 | 4,461 | |
Noncontrolling interest | 0 | 0 | |
Total shareholders' equity | 4,592 | 4,461 | |
Total liabilities and shareholders’ equity | 5,553 | 5,407 | |
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | |||
Assets | |||
Total investment portfolio and cash | 22 | 47 | |
Investment in subsidiaries | 4,042 | 3,965 | |
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 | 39 | 27 | |
Total assets | 4,103 | 4,039 | |
Liabilities and shareholders’ equity | |||
Unearned premium reserve | 0 | 0 | |
Loss and loss adjustment expense reserve | 0 | 0 | |
Long-term debt | 444 | 437 | |
Intercompany payable | 0 | 0 | |
Credit derivative liabilities | 0 | 0 | |
Deferred tax liabilities, net | 91 | 94 | |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | |
Other | 20 | 16 | |
Total liabilities | 555 | 547 | |
Effect on shareholders’ equity (decrease) increase | 3,548 | 3,492 | |
Noncontrolling interest | 0 | 0 | |
Total shareholders' equity | 3,548 | 3,492 | |
Total liabilities and shareholders’ equity | 4,103 | 4,039 | |
Reportable Legal Entities [Member] | Other Entities [Member] | |||
Assets | |||
Total investment portfolio and cash | 11,595 | 11,382 | |
Investment in subsidiaries | 369 | 339 | |
Premiums receivable, net of commissions payable | 814 | 864 | |
Ceded unearned premium reserve | 1,316 | 1,469 | |
Deferred acquisition costs | 182 | 186 | |
Reinsurance recoverable on unpaid losses | 461 | 338 | |
Credit derivative assets | 249 | 277 | |
Deferred tax asset, net | 517 | 295 | |
Intercompany receivable | 90 | 90 | |
Financial guaranty variable interest entities’ assets, at fair value | 1,547 | 1,402 | |
Other | 599 | 538 | |
Total assets | 17,739 | 17,180 | |
Liabilities and shareholders’ equity | |||
Unearned premium reserve | 5,285 | 5,328 | |
Loss and loss adjustment expense reserve | 1,438 | 1,066 | |
Long-term debt | 15 | 19 | |
Intercompany payable | 300 | 300 | |
Credit derivative liabilities | 1,096 | 1,172 | |
Deferred tax liabilities, net | 0 | 0 | |
Financial guaranty variable interest entities’ liabilities, at fair value | 1,482 | 1,419 | |
Other | 816 | 764 | |
Total liabilities | 10,432 | 10,068 | |
Effect on shareholders’ equity (decrease) increase | 6,938 | 6,773 | |
Noncontrolling interest | 369 | 339 | |
Total shareholders' equity | 7,307 | 7,112 | |
Total liabilities and shareholders’ equity | 17,739 | 17,180 | |
Consolidating Adjustments [Member] | |||
Assets | |||
Total investment portfolio and cash | (369) | (300) | |
Investment in subsidiaries | (15,455) | (14,988) | |
Premiums receivable, net of commissions payable | (138) | (135) | |
Ceded unearned premium reserve | (1,053) | (1,088) | |
Deferred acquisition costs | (64) | (65) | |
Reinsurance recoverable on unpaid losses | (372) | (260) | |
Credit derivative assets | (178) | (209) | |
Deferred tax asset, net | (128) | (89) | |
Intercompany receivable | (90) | (90) | |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | |
Other | (338) | (242) | |
Total assets | (18,185) | (17,466) | |
Liabilities and shareholders’ equity | |||
Unearned premium reserve | (1,173) | (1,067) | |
Loss and loss adjustment expense reserve | (431) | (267) | |
Long-term debt | 0 | 0 | |
Intercompany payable | (390) | (390) | |
Credit derivative liabilities | (178) | (209) | |
Deferred tax liabilities, net | (91) | (94) | |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | |
Other | (475) | (374) | |
Total liabilities | (2,738) | (2,401) | |
Effect on shareholders’ equity (decrease) increase | (15,078) | (14,726) | |
Noncontrolling interest | (369) | (339) | |
Total shareholders' equity | (15,447) | (15,065) | |
Total liabilities and shareholders’ equity | $ (18,185) | $ (17,466) | |
[1] | The September 30, 2015 amounts include $115 million of FG VIE assets and $111 million of FG VIE liabilities acquired from Radian Asset. |
Shareholders' Equity - Shares R
Shareholders' Equity - Shares Repurchased (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 10 Months Ended | 12 Months Ended | 34 Months Ended | |||||||||
Nov. 05, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Nov. 05, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Nov. 05, 2015 | May. 06, 2015 | |
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||
Repurchases of common stock | $ 420,000,000 | $ 438,000,000 | |||||||||||||
Common Stock [Member] | |||||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||
Shares repurchased | 5,362,103 | 4,737,388 | 5,860,291 | 6,388,187 | 9,623,309 | 7,051,842 | 1,350,443 | 15,959,782 | 24,413,781 | 12,512,759 | |||||
Repurchases of common stock | $ 135,000,000 | $ 133,000,000 | $ 152,000,000 | $ 152,000,000 | $ 226,000,000 | $ 177,000,000 | $ 35,000,000 | $ 420,000,000 | $ 590,000,000 | $ 264,000,000 | |||||
Average price paid (in dollars per share) | $ 25.17 | $ 28.13 | $ 25.87 | $ 23.83 | $ 23.47 | $ 25.14 | $ 25.92 | $ 26.31 | $ 24.17 | $ 21.12 | |||||
Authorized repurchase amount | $ 400,000,000 | ||||||||||||||
Subsequent Event [Member] | Common Stock [Member] | |||||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||
Shares repurchased | 1,750,310 | 17,710,092 | 54,636,632 | ||||||||||||
Repurchases of common stock | $ 48,000,000 | $ 468,000,000 | $ 1,322,000,000 | ||||||||||||
Average price paid (in dollars per share) | $ 27.16 | $ 26.39 | $ 24.19 | ||||||||||||
Remaining capacity of shares repurchase program | $ 143,000,000 | $ 143,000,000 | $ 143,000,000 |
Subsidiary Information - Con121
Subsidiary Information - Condensed Consolidating Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Revenues | |||||
Net earned premiums | [1] | $ 213 | $ 144 | $ 574 | $ 412 |
Net investment income | 112 | 102 | 311 | 301 | |
Net realized investment gains (losses) | (27) | (19) | (20) | (25) | |
Net change in fair value of credit derivatives: | |||||
Realized gains (losses) and other settlements | 6 | (14) | 35 | 20 | |
Net unrealized gains (losses) | 80 | 269 | 265 | 127 | |
Net change in fair value of credit derivatives | [2] | 86 | 255 | 300 | 147 |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 0 | 214 | 0 | |
Other | (16) | 43 | 53 | 238 | |
Total revenues | 368 | 525 | 1,432 | 1,073 | |
Expenses | |||||
Loss and LAE | 112 | (44) | 318 | 54 | |
Amortization of DAC | 5 | 4 | 15 | 12 | |
Interest expense | 25 | 27 | 76 | 67 | |
Other operating expenses | 54 | 50 | 176 | 165 | |
Total expenses | 196 | 37 | 585 | 298 | |
Income (loss) before income taxes | 172 | 488 | 847 | 775 | |
Total (provision) benefit for income taxes | (43) | (133) | (220) | (219) | |
Equity in net earnings of subsidiaries | 0 | 0 | 0 | 0 | |
Net income (loss) | 129 | 355 | 627 | 556 | |
Less: noncontrolling interest | 0 | 0 | 0 | 0 | |
Net income (loss) | 129 | 355 | 627 | 556 | |
Comprehensive income (loss) | 163 | 356 | 530 | 729 | |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | |||||
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 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 0 | |||
Other | 0 | 0 | 0 | 0 | |
Total revenues | 0 | 0 | 0 | 0 | |
Expenses | |||||
Loss and LAE | 0 | 0 | 0 | 0 | |
Amortization of DAC | 0 | 0 | 0 | 0 | |
Interest expense | 0 | 0 | 0 | 0 | |
Other operating expenses | 7 | 8 | 24 | 24 | |
Total expenses | 7 | 8 | 24 | 24 | |
Income (loss) before income taxes | (7) | (8) | (24) | (24) | |
Total (provision) benefit for income taxes | 0 | 0 | 0 | 0 | |
Equity in net earnings of subsidiaries | 136 | 363 | 651 | 580 | |
Net income (loss) | 129 | 355 | 627 | 556 | |
Less: noncontrolling interest | 0 | 0 | 0 | 0 | |
Net income (loss) | 129 | 355 | 627 | 556 | |
Comprehensive income (loss) | 163 | 356 | 530 | 729 | |
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | |||||
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 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 0 | |||
Other | 0 | 0 | 0 | 0 | |
Total revenues | 0 | 0 | 0 | 0 | |
Expenses | |||||
Loss and LAE | 0 | 0 | 0 | 0 | |
Amortization of DAC | 0 | 0 | 0 | 0 | |
Interest expense | 13 | 13 | 39 | 27 | |
Other operating expenses | 0 | 0 | 1 | 1 | |
Total expenses | 13 | 13 | 40 | 28 | |
Income (loss) before income taxes | (13) | (13) | (40) | (28) | |
Total (provision) benefit for income taxes | 5 | 4 | 14 | 9 | |
Equity in net earnings of subsidiaries | 126 | 290 | 594 | 529 | |
Net income (loss) | 118 | 281 | 568 | 510 | |
Less: noncontrolling interest | 0 | 0 | 0 | 0 | |
Net income (loss) | 118 | 281 | 568 | 510 | |
Comprehensive income (loss) | 138 | 294 | 482 | 650 | |
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | |||||
Revenues | |||||
Net earned premiums | 0 | 0 | 0 | 0 | |
Net investment income | 0 | 1 | 0 | 1 | |
Net realized investment gains (losses) | 0 | 0 | 1 | 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 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 0 | |||
Other | 0 | 0 | 0 | 0 | |
Total revenues | 0 | 1 | 1 | 1 | |
Expenses | |||||
Loss and LAE | 0 | 0 | 0 | 0 | |
Amortization of DAC | 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 | (14) | (13) | (40) | (40) | |
Total (provision) benefit for income taxes | 5 | 5 | 14 | 14 | |
Equity in net earnings of subsidiaries | 133 | 147 | 347 | 436 | |
Net income (loss) | 124 | 139 | 321 | 410 | |
Less: noncontrolling interest | 0 | 0 | 0 | 0 | |
Net income (loss) | 124 | 139 | 321 | 410 | |
Comprehensive income (loss) | 139 | 146 | 269 | 495 | |
Reportable Legal Entities [Member] | Other Entities [Member] | |||||
Revenues | |||||
Net earned premiums | 219 | 142 | 585 | 408 | |
Net investment income | 113 | 104 | 318 | 307 | |
Net realized investment gains (losses) | (22) | (19) | (13) | (23) | |
Net change in fair value of credit derivatives: | |||||
Realized gains (losses) and other settlements | 6 | (14) | 35 | 20 | |
Net unrealized gains (losses) | 81 | 269 | 292 | 127 | |
Net change in fair value of credit derivatives | 87 | 255 | 327 | 147 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 54 | |||
Other | (16) | 43 | 53 | 239 | |
Total revenues | 381 | 525 | 1,324 | 1,078 | |
Expenses | |||||
Loss and LAE | 114 | (44) | 316 | 48 | |
Amortization of DAC | 8 | 6 | 22 | 17 | |
Interest expense | 4 | 5 | 11 | 13 | |
Other operating expenses | 47 | 43 | 152 | 142 | |
Total expenses | 173 | 10 | 501 | 220 | |
Income (loss) before income taxes | 208 | 515 | 823 | 858 | |
Total (provision) benefit for income taxes | (55) | (140) | (205) | (240) | |
Equity in net earnings of subsidiaries | 10 | 8 | 30 | 24 | |
Net income (loss) | 163 | 383 | 648 | 642 | |
Less: noncontrolling interest | 10 | 24 | 30 | 24 | |
Net income (loss) | 153 | 359 | 618 | 618 | |
Comprehensive income (loss) | 199 | 397 | 554 | 957 | |
Consolidating Adjustments [Member] | |||||
Revenues | |||||
Net earned premiums | (6) | 2 | (11) | 4 | |
Net investment income | (1) | (3) | (7) | (7) | |
Net realized investment gains (losses) | (5) | 0 | (8) | (2) | |
Net change in fair value of credit derivatives: | |||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | 0 | |
Net unrealized gains (losses) | (1) | 0 | (27) | 0 | |
Net change in fair value of credit derivatives | (1) | 0 | (27) | 0 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 160 | |||
Other | 0 | 0 | 0 | (1) | |
Total revenues | (13) | (1) | 107 | (6) | |
Expenses | |||||
Loss and LAE | (2) | 0 | 2 | 6 | |
Amortization of DAC | (3) | (2) | (7) | (5) | |
Interest expense | (5) | (4) | (14) | (13) | |
Other operating expenses | (1) | (2) | (2) | (3) | |
Total expenses | (11) | (8) | (21) | (15) | |
Income (loss) before income taxes | (2) | 7 | 128 | 9 | |
Total (provision) benefit for income taxes | 2 | (2) | (43) | (2) | |
Equity in net earnings of subsidiaries | (405) | (808) | (1,622) | (1,569) | |
Net income (loss) | (405) | (803) | (1,537) | (1,562) | |
Less: noncontrolling interest | (10) | (24) | (30) | (24) | |
Net income (loss) | (395) | (779) | (1,507) | (1,538) | |
Comprehensive income (loss) | $ (476) | $ (837) | $ (1,305) | $ (2,102) | |
[1] | Excludes $6 million and $5 million for Third Quarter 2015 and 2014, respectively, and $16 million and $27 million for Nine Months 2015 and 2014, respectively, related to consolidated financial guaranty ("FG") VIEs. | ||||
[2] | On October 9, 2015, the Company reached a settlement agreement with a CDS counterparty to terminate five Alt-A first lien CDS transactions. This termination agreement will generate a net fair value gain of approximately $293 million in the Company’s fourth quarter 2015 financial statements. In addition, on October 13, 2015, the Company terminated a CMBS transaction with a CDS counterparty and this termination agreement will generate a net fair value gain of approximately $34 million in the Company's fourth quarter 2015 financial statements. |
Subsidiary Information - Con122
Subsidiary Information - Condensed Consolidating Statement of Cash Flows (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | |
Dec. 31, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | $ (39) | $ 347 | ||
Fixed-maturity securities: | ||||
Purchases | (1,844) | (2,031) | ||
Sales | 1,719 | 951 | ||
Maturities | 635 | 557 | ||
Net sales (purchases) of short-term investments | 751 | 89 | ||
Net proceeds from financial guaranty variable entities’ assets | 114 | 346 | ||
Intercompany debt | 0 | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Acquisition of Radian Asset, net of cash acquired | (800) | 0 | ||
Other | 59 | 9 | ||
Net cash flows provided by (used in) investing activities | 634 | (79) | ||
Cash flows from financing activities | ||||
Return of capital | 0 | 0 | ||
Dividends paid | (55) | (58) | ||
Repurchases of common stock | (420) | (438) | ||
Share activity under option and incentive plans | (2) | (1) | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | (122) | (348) | ||
Proceeds from issuance of long-term debt | 0 | 495 | ||
Payment of long-term debt | (3) | (18) | ||
Intercompany debt | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | (602) | (368) | ||
Effect of foreign exchange rate changes | (2) | (2) | ||
Increase (decrease) in cash | (9) | (102) | ||
Cash at beginning of period | $ 82 | 75 | 184 | $ 184 |
Cash at end of period | 75 | 66 | 82 | 75 |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | 451 | 762 | ||
Fixed-maturity securities: | ||||
Purchases | 0 | 0 | ||
Sales | 0 | 0 | ||
Maturities | 0 | 0 | ||
Net sales (purchases) of short-term investments | 26 | (265) | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Intercompany debt | 0 | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Acquisition of Radian Asset, net of cash acquired | 0 | |||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | 26 | (265) | ||
Cash flows from financing activities | ||||
Return of capital | 0 | 0 | ||
Dividends paid | (55) | (58) | ||
Repurchases of common stock | (420) | (438) | ||
Share activity under option and incentive plans | (2) | (1) | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Proceeds from issuance of long-term debt | 0 | |||
Payment of long-term debt | 0 | 0 | ||
Intercompany debt | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | (477) | (497) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 0 | 0 | ||
Cash at beginning of period | 0 | 0 | 0 | 0 |
Cash at end of period | 0 | 0 | 0 | 0 |
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | 209 | 170 | ||
Fixed-maturity securities: | ||||
Purchases | (72) | (356) | ||
Sales | 170 | 399 | ||
Maturities | 8 | 4 | ||
Net sales (purchases) of short-term investments | 42 | (74) | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Intercompany debt | 0 | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Acquisition of Radian Asset, net of cash acquired | 0 | |||
Other | (5) | 0 | ||
Net cash flows provided by (used in) investing activities | 143 | (27) | ||
Cash flows from financing activities | ||||
Return of capital | 0 | 0 | ||
Dividends paid | (351) | (700) | ||
Repurchases of common stock | 0 | 0 | ||
Share activity under option and incentive plans | 0 | 0 | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Proceeds from issuance of long-term debt | 495 | |||
Payment of long-term debt | 0 | 0 | ||
Intercompany debt | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | (351) | (205) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 1 | (62) | ||
Cash at beginning of period | 5 | 0 | 67 | 67 |
Cash at end of period | 0 | 1 | 5 | 0 |
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | 134 | 84 | ||
Fixed-maturity securities: | ||||
Purchases | (8) | (7) | ||
Sales | 27 | 8 | ||
Maturities | 0 | 1 | ||
Net sales (purchases) of short-term investments | 4 | 14 | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Intercompany debt | 0 | 0 | ||
Investment in subsidiary | 25 | 50 | ||
Acquisition of Radian Asset, net of cash acquired | 0 | |||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | 48 | 66 | ||
Cash flows from financing activities | ||||
Return of capital | 0 | 0 | ||
Dividends paid | (182) | (150) | ||
Repurchases of common stock | 0 | 0 | ||
Share activity under option and incentive plans | 0 | 0 | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Proceeds from issuance of long-term debt | 0 | |||
Payment of long-term debt | 0 | 0 | ||
Intercompany debt | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | (182) | (150) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 0 | 0 | ||
Cash at beginning of period | 0 | 4 | 0 | 0 |
Cash at end of period | 4 | 4 | 0 | 4 |
Reportable Legal Entities [Member] | Other Entities [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | 99 | 408 | ||
Fixed-maturity securities: | ||||
Purchases | (1,830) | (1,668) | ||
Sales | 1,522 | 544 | ||
Maturities | 627 | 552 | ||
Net sales (purchases) of short-term investments | 679 | 414 | ||
Net proceeds from financial guaranty variable entities’ assets | 114 | 346 | ||
Intercompany debt | 0 | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Acquisition of Radian Asset, net of cash acquired | (800) | |||
Other | 64 | 9 | ||
Net cash flows provided by (used in) investing activities | 376 | 197 | ||
Cash flows from financing activities | ||||
Return of capital | (25) | (50) | ||
Dividends paid | (333) | (227) | ||
Repurchases of common stock | 0 | 0 | ||
Share activity under option and incentive plans | 0 | 0 | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | (122) | (348) | ||
Proceeds from issuance of long-term debt | 0 | |||
Payment of long-term debt | (3) | (18) | ||
Intercompany debt | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | (483) | (643) | ||
Effect of foreign exchange rate changes | (2) | (2) | ||
Increase (decrease) in cash | (10) | (40) | ||
Cash at beginning of period | 77 | 71 | 117 | 117 |
Cash at end of period | 71 | 61 | 77 | 71 |
Consolidating Adjustments [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | (932) | (1,077) | ||
Fixed-maturity securities: | ||||
Purchases | 66 | 0 | ||
Sales | 0 | 0 | ||
Maturities | 0 | 0 | ||
Net sales (purchases) of short-term investments | 0 | 0 | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Intercompany debt | 0 | 0 | ||
Investment in subsidiary | (25) | (50) | ||
Acquisition of Radian Asset, net of cash acquired | 0 | |||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | 41 | (50) | ||
Cash flows from financing activities | ||||
Return of capital | 25 | 50 | ||
Dividends paid | 866 | 1,077 | ||
Repurchases of common stock | 0 | 0 | ||
Share activity under option and incentive plans | 0 | 0 | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Proceeds from issuance of long-term debt | 0 | |||
Payment of long-term debt | 0 | 0 | ||
Intercompany debt | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | 891 | 1,127 | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 0 | 0 | ||
Cash at beginning of period | 0 | 0 | 0 | 0 |
Cash at end of period | $ 0 | $ 0 | $ 0 | $ 0 |