Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2016 | May. 02, 2016 | |
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 | Mar. 31, 2016 | |
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 | 134,357,143 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 |
Consolidated Balance Sheets (un
Consolidated Balance Sheets (unaudited) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Investment portfolio: | ||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $10,123 and $10,275) | $ 10,588 | $ 10,627 |
Short-term investments, at fair value | 459 | 396 |
Other invested assets | 167 | 169 |
Total investment portfolio | 11,214 | 11,192 |
Cash | 112 | 166 |
Premiums receivable, net of commissions payable | 662 | 693 |
Ceded unearned premium reserve | 236 | 232 |
Deferred acquisition costs | 113 | 114 |
Reinsurance recoverable on unpaid losses | 72 | 69 |
Salvage and subrogation recoverable | 206 | 126 |
Credit derivative assets | 55 | 81 |
Deferred tax asset, net | 278 | 276 |
Current income tax receivable | 11 | 40 |
Financial guaranty variable interest entities’ assets, at fair value | 1,191 | 1,261 |
Other assets | 302 | 294 |
Total assets | 14,452 | 14,544 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 3,810 | 3,996 |
Loss and loss adjustment expense reserve | 1,112 | 1,067 |
Reinsurance balances payable, net | 58 | 51 |
Long-term debt | 1,302 | 1,300 |
Credit derivative liabilities | 489 | 446 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 1,165 | 1,225 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 119 | 124 |
Other liabilities | 284 | 272 |
Total liabilities | $ 8,339 | $ 8,481 |
Commitments and contingencies | ||
Common stock ($0.01 par value, 500,000,000 shares authorized; 135,083,637 and 137,928,552 shares issued and outstanding) | $ 1 | $ 1 |
Additional paid-in capital | 1,269 | 1,342 |
Retained earnings | 4,519 | 4,478 |
Accumulated other comprehensive income, net of tax of $127 and $104 | 319 | 237 |
Deferred equity compensation (320,193 and 320,193 shares) | 5 | 5 |
Total shareholders’ equity | 6,113 | 6,063 |
Total liabilities and shareholders’ equity | $ 14,452 | $ 14,544 |
Consolidated Balance Sheets (u3
Consolidated Balance Sheets (unaudited) (Parenthetical) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Fixed maturity securities, available-for-sale, at fair value | $ 10,123 | $ 10,275 |
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) | 135,083,637 | 137,928,552 |
Common stock, shares outstanding (in shares) | 135,083,637 | 137,928,552 |
Accumulated other comprehensive income, tax provision | $ 127 | $ 104 |
Deferred equity compensation (in shares) | 320,193 | 320,193 |
Consolidated Statements of Oper
Consolidated Statements of Operations (unaudited) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Revenues | |||
Net earned premiums | $ 183 | [1] | $ 142 |
Net investment income | 99 | 101 | |
Net realized investment gains (losses): | |||
Other-than-temporary impairment losses | (20) | (5) | |
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income | (4) | 2 | |
Net impairment loss | (16) | (7) | |
Other net realized investment gains (losses) | 3 | 23 | |
Net realized investment gains (losses) | (13) | 16 | |
Net change in fair value of credit derivatives: | |||
Realized gains (losses) and other settlements | 8 | 21 | |
Net unrealized gains (losses) | (68) | 103 | |
Net change in fair value of credit derivatives | (60) | 124 | |
Fair value gains (losses) on committed capital securities | (16) | 2 | |
Fair value gains (losses) on financial guaranty variable interest entities | 18 | (7) | |
Other income (loss) | 34 | (9) | |
Total revenues | 245 | 369 | |
Expenses | |||
Loss and loss adjustment expenses | 90 | 18 | |
Amortization of deferred acquisition costs | 4 | 4 | |
Interest expense | 26 | 25 | |
Other operating expenses | 60 | 56 | |
Total expenses | 180 | 103 | |
Income (loss) before income taxes | 65 | 266 | |
Provision (benefit) for income taxes | |||
Current | 30 | 13 | |
Deferred | (24) | 52 | |
Total provision (benefit) for income taxes | 6 | 65 | |
Net income (loss) | $ 59 | $ 201 | |
Earnings per share: | |||
Basic (in dollars per share) | $ 0.43 | $ 1.29 | |
Diluted (in dollars per share) | 0.43 | 1.28 | |
Dividends (in dollars per share) | $ 0.13 | $ 0.12 | |
[1] | Excludes $5 million and $5 million for First Quarter 2016 and 2015, respectively, related to consolidated FG VIEs. |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (unaudited) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Statement of Comprehensive Income [Abstract] | ||
Net income (loss) | $ 59 | $ 201 |
Unrealized holding gains (losses) arising during the period on: | ||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $31, and $1 | 95 | 18 |
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(10) and $(2) | (17) | (2) |
Unrealized holding gains (losses) arising during the period, net of tax | 78 | 16 |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(4) and $6 | (6) | 10 |
Change in net unrealized gains on investments | 84 | 6 |
Other, net of tax provision | (2) | (6) |
Other comprehensive income (loss) | 82 | 0 |
Comprehensive income (loss) | $ 141 | $ 201 |
Consolidated Statements of Com6
Consolidated Statements of Comprehensive Income (unaudited) (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Statement of Comprehensive Income [Abstract] | ||
Investments with no other-than-temporary impairment, tax provision (benefit) | $ 31 | $ 1 |
Investments with other-than-temporary impairment, tax provision (benefit) | (10) | (2) |
Reclassification adjustment for gains (losses) included in net income (loss), tax provision (benefit) | $ (4) | $ 6 |
Consolidated Statement of Share
Consolidated Statement of Shareholders' Equity (unaudited) - 3 months ended Mar. 31, 2016 - 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, 2015 | 137,928,552 | |||||
Beginning balance at Dec. 31, 2015 | $ 6,063 | $ 1 | $ 1,342 | $ 4,478 | $ 237 | $ 5 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 59 | 59 | ||||
Dividends ($0.13 per share) | (18) | (18) | ||||
Common stock repurchases (in shares) | (3,038,928) | |||||
Common stock repurchases | (75) | $ 0 | (75) | |||
Share-based compensation and other (in shares) | 194,013 | |||||
Share-based compensation and other | 2 | 2 | ||||
Other comprehensive income | 82 | 82 | ||||
Ending balance (in shares) at Mar. 31, 2016 | 135,083,637 | |||||
Ending balance at Mar. 31, 2016 | $ 6,113 | $ 1 | $ 1,269 | $ 4,519 | $ 319 | $ 5 |
Consolidated Statement of Shar8
Consolidated Statement of Shareholders' Equity (unaudited) (Parenthetical) - $ / shares | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Statement of Stockholders' Equity [Abstract] | ||
Dividends, per share (in dollars per share) | $ 0.13 | $ 0.12 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (unaudited) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Statement of Cash Flows [Abstract] | ||
Net cash flows provided by (used in) operating activities | $ (90) | $ 23 |
Fixed-maturity securities: | ||
Purchases | (296) | (448) |
Sales | 162 | 841 |
Maturities | 301 | 155 |
Net sales (purchases) of short-term investments | (63) | 420 |
Net proceeds from paydowns on financial guaranty variable interest entities’ assets | 66 | 30 |
Other | 2 | 3 |
Net cash flows provided by (used in) investing activities | 172 | 1,001 |
Financing activities | ||
Dividends paid | (18) | (19) |
Repurchases of common stock | (75) | (152) |
Share activity under option and incentive plans | 0 | (5) |
Net paydowns of financial guaranty variable interest entities’ liabilities | (42) | (39) |
Repayment of long-term debt | 0 | (1) |
Other | (1) | 4 |
Net cash flows provided by (used in) financing activities | (136) | (212) |
Effect of foreign exchange rate changes | 0 | (2) |
Increase (decrease) in cash | (54) | 810 |
Cash at beginning of period | 166 | 75 |
Cash at end of period | 112 | 885 |
Supplemental cash flow information | ||
Income taxes | 1 | 17 |
Interest | $ 7 | $ 7 |
Business and Basis of Presentat
Business and Basis of Presentation | 3 Months Ended |
Mar. 31, 2016 | |
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 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 March 31, 2016 and cover the three-month period ended March 31, 2016 (" First Quarter 2016 ") and the three-month period ended March 31, 2015 (" First Quarter 2015 "). 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. Certain prior year balances have been reclassified to conform to the current year's presentation. 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, 2015 , filed with the U.S. Securities and Exchange Commission (the “SEC”). The Company's principal insurance company subsidiaries are: • Assured Guaranty Municipal Corp. ("AGM"), domiciled in New York; • Municipal Assurance Corp. ("MAC"), domiciled in New York; • Assured Guaranty Corp. ("AGC"), domiciled in Maryland; • Assured Guaranty (Europe) Ltd. ("AGE"), organized in the United Kingdom; and • Assured Guaranty Re Ltd. (“AG Re”), domiciled in Bermuda. The Company’s organizational structure includes various holding companies, two of which - Assured Guaranty US Holdings Inc. (“AGUS”) and Assured Guaranty Municipal Holdings Inc. (“AGMH”) - have public debt outstanding. See Note 15, Long-Term Debt and Credit Facilities and Note 18, Subsidiary Information. Future Application of Accounting Standards Share-Based Payments In March 2016, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") 2016-09, Compensation - Stock Compensation (Topic 718) - Improvements to Employee Share-Based Payment , which simplifies several aspects of the accounting for employee share-based payment transactions, including the accounting for income taxes, forfeitures, and statutory tax withholding requirements, as well as classification in the statement of cash flows. The new guidance will require all income tax effects of awards to be recognized in the income statement when the awards vest or are settled. It also will allow an employer to repurchase more of an employee’s shares than it can today for tax withholding purposes without triggering liability accounting and to make a policy election to account for forfeitures as they occur. The ASU is effective for fiscal years beginning after December 15, 2016, including interim periods within those fiscal years, and early adoption is permitted. The Company is currently evaluating the effect of adopting this ASU on its Consolidated Financial Statements. |
Acquisitions
Acquisitions | 3 Months Ended |
Mar. 31, 2016 | |
Business Combinations [Abstract] | |
Acquisitions | Acquisitions Consistent with one of its key business strategies of supplementing its book of business through acquisitions, the Company has acquired or agreed to acquire two financial guaranty companies within the last 12 months. CIFG Holding Inc. On April 12, 2016, AGC entered into an agreement and plan of merger to acquire CIFG Holding Inc. ("CIFG"), the parent of financial guaranty insurer CIFG Assurance North America, Inc. ("CIFG NA"). AGC expects to pay $450 million in cash to acquire CIFG, subject to adjustments as contemplated in the agreement, and the acquisition is expected to be completed mid-2016, subject to receipt of anti-trust and insurance regulatory approvals as well as satisfaction of customary closing conditions. CIFG’s stockholders have already approved the acquisition. As part of the transaction, CIFG NA will merge into AGC, which will be the surviving entity. As of December 31, 2015, CIFG had a consolidated insured portfolio of $5.6 billion of net par and approximately $637 million of consolidated qualified statutory capital. 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 . 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. Please refer to Note 2, Acquisition of Radian Asset Assurance Inc., in Part II, Item 8. “Financial Statements and Supplementary Data” of AGL’s Annual Report on Form 10-K for the year ended December 31, 2015 for additional information on the acquisition of Radian Asset including the purchase price and the allocation of the purchase price to net assets acquired and the resulting bargain purchase gain and the gains on settlement of pre-existing relationships. |
Rating Actions
Rating Actions | 3 Months Ended |
Mar. 31, 2016 | |
Rating Actions [Abstract] | |
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. The Company periodically assesses the value of each rating assigned to each of its companies, and as a result of such assessment may request that a rating agency add or drop a rating from certain of its companies. For example, the Kroll Bond Rating Agency ("KBRA") ratings were first assigned to MAC in 2013 and to AGM in 2014 and the A.M. Best Company, Inc. ("Best") rating was first assigned to Assured Guaranty Re Overseas Ltd. ("AGRO") in 2015, while a Moody's Investors Service, Inc. ("Moody's") rating was never requested for MAC and was dropped from AG Re and AGRO in 2015. In the last several years, Standard & Poor's Ratings Services ("S&P") and Moody's have changed, multiple times, their financial strength ratings of AGL's insurance subsidiaries, or changed the outlook on such ratings. More recently, KBRA and Best have assigned financial strength ratings to some of AGL's insurance subsidiaries. The rating agencies' most recent actions related to AGL's insurance subsidiaries are: • On December 8, 2015 Moody's published credit opinions maintaining its existing insurance financial strength ratings of A2 (stable outlook) on AGM and AGE and A3 (negative outlook) on AGC and AGC's subsidiary Assured Guaranty (UK) Ltd. ("AGUK"). Effective April 8, 2015, at the Company's request, Moody’s withdrew the financial strength ratings it had assigned to AG Re and AGRO. • On August 3, 2015 and December 10, 2015, KBRA affirmed the AA+ (stable outlook) financial strength ratings of MAC and AGM, respectively. • On June 29, 2015, S&P affirmed the AA (stable) financial strength ratings of all of AGL's insurance subsidiaries. • On May 5, 2015, Best assigned to AGRO a financial strength rating of A+ (Stable), which is their second highest rating. 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 6, Financial Guaranty Insurance • Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives • Note 13, Reinsurance and Other Monoline Exposures • Note 15, Long-Term Debt and Credit Facilities |
Outstanding Exposure
Outstanding Exposure | 3 Months Ended |
Mar. 31, 2016 | |
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 may be used 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. The Company also includes within public finance similar obligations issued by territorial and non-U.S. sovereign and sub-sovereign issuers and governmental authorities. 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 9, Consolidated Variable Interest Entities. Unless otherwise specified, the outstanding par and Debt Service amounts presented in this note include outstanding exposures on VIEs whether or not they are consolidated. Surveillance Categories The Company segregates its insured portfolio into investment grade and BIG surveillance categories to facilitate the appropriate allocation of resources to monitoring and loss mitigation efforts and to aid in establishing the appropriate cycle for periodic review for each exposure. BIG exposures include all exposures with internal credit ratings below BBB-. The Company’s internal credit ratings are based on internal assessments of the likelihood of default and loss severity in the event of default. Internal credit ratings are expressed on a ratings scale similar to that used by the rating agencies and are generally reflective of an approach similar to that employed by the rating agencies, except that the Company's internal credit ratings focus on future performance rather than lifetime performance. The Company monitors its investment grade credits to determine whether any 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. Credits identified as BIG are subjected to further review to determine the probability of a loss. See Note 5, Expected Loss to be Paid, for additional information. Surveillance personnel then assign each BIG transaction to the appropriate BIG surveillance category based upon whether a future loss is expected and whether a claim has been paid. For surveillance purposes, the Company calculates present value using a constant discount rate of 4% 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 are claims 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. The following table presents the gross and net debt service for all financial guaranty contracts. Financial Guaranty Debt Service Outstanding Gross Debt Service Outstanding Net Debt Service Outstanding March 31, December 31, March 31, December 31, (in millions) Public finance $ 496,630 $ 515,494 $ 476,362 $ 494,426 Structured finance 42,012 43,976 40,037 41,915 Total financial guaranty $ 538,642 $ 559,470 $ 516,399 $ 536,341 In addition to the amounts shown in the table above, the Company’s net mortgage guaranty insurance debt service was approximately $107 million as of March 31, 2016 and $102 million as of December 31, 2015 , related to loans originated in Ireland. The increase in the net mortgage guaranty insurance debt service is due to exchange rate fluctuations. Financial Guaranty Portfolio by Internal Rating As of March 31, 2016 Public Finance U.S. Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Category Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 2,541 0.9 % $ 688 2.3 % $ 13,953 45.8 % $ 2,529 49.4 % $ 19,711 5.7 % AA 65,310 23.2 1,969 6.7 7,505 24.7 154 3.0 74,938 21.6 A 145,515 51.6 6,695 22.8 2,584 8.5 551 10.8 155,345 44.7 BBB 60,736 21.5 18,622 63.4 1,279 4.2 1,267 24.7 81,904 23.6 BIG 7,953 2.8 1,411 4.8 5,131 16.8 622 12.1 15,117 4.4 Total net par outstanding (1) $ 282,055 100.0 % $ 29,385 100.0 % $ 30,452 100.0 % $ 5,123 100.0 % $ 347,015 100.0 % _____________________ (1) Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of March 31, 2016 , which are primarily BIG. Financial Guaranty Portfolio by Internal Rating As of December 31, 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 $ 3,053 1.1 % $ 709 2.4 % $ 14,366 45.2 % $ 2,709 50.6 % $ 20,837 5.8 % AA 69,274 23.7 2,017 6.8 7,934 25.0 177 3.3 79,402 22.1 A 157,440 53.9 6,765 22.9 2,486 7.8 555 10.3 167,246 46.7 BBB 54,315 18.6 18,708 63.2 1,515 4.8 1,365 25.5 75,903 21.2 BIG 7,784 2.7 1,378 4.7 5,469 17.2 552 10.3 15,183 4.2 Total net par outstanding (1) $ 291,866 100.0 % $ 29,577 100.0 % $ 31,770 100.0 % $ 5,358 100.0 % $ 358,571 100.0 % _____________________ (1) Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015 , which are primarily BIG. In addition to amounts shown in the tables above, the Company had outstanding commitments to provide guaranties of $240 million for public finance obligations as of March 31, 2016 . The expiration dates for the public finance commitments range between April 1, 2016 and February 25, 2017 , with $66 million expiring prior to the date of this filing and an additional $110 million expiring prior to December 31, 2016. 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 March 31, 2016 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 4,608 $ 3,191 $ 154 $ 7,953 $ 282,055 Non-U.S. public finance 882 529 — 1,411 29,385 Structured finance: First lien U.S. residential mortgage-backed securities ("RMBS"): Prime first lien 192 32 24 248 425 Alt-A first lien 125 66 507 698 1,238 Option ARM 50 7 78 135 235 Subprime 82 281 866 1,229 3,305 Second lien U.S. RMBS 225 47 1,100 1,372 1,474 Total U.S. RMBS 674 433 2,575 3,682 6,677 Triple-X life insurance transactions — — 216 216 2,650 Trust preferred securities (“TruPS”) 650 127 — 777 4,296 Student loans — 68 81 149 1,815 Other structured finance 743 147 39 929 20,137 Total $ 7,557 $ 4,495 $ 3,065 $ 15,117 $ 347,015 Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of December 31, 2015 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 4,765 $ 2,883 $ 136 $ 7,784 $ 291,866 Non-U.S. public finance 875 503 — 1,378 29,577 Structured finance: First lien U.S. RMBS: Prime first lien 225 34 25 284 445 Alt-A first lien 119 73 601 793 1,353 Option ARM 39 12 90 141 252 Subprime 146 228 930 1,304 3,457 Second lien U.S. RMBS 491 50 910 1,451 1,560 Total U.S. RMBS 1,020 397 2,556 3,973 7,067 Triple-X life insurance transactions — — 216 216 2,750 TruPS 679 127 — 806 4,379 Student loans 12 68 83 163 1,818 Other structured finance 672 151 40 863 21,114 Total $ 8,023 $ 4,129 $ 3,031 $ 15,183 $ 358,571 BIG Net Par Outstanding and Number of Risks As of March 31, 2016 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 6,585 $ 972 $ 7,557 202 12 214 Category 2 4,015 480 4,495 86 7 93 Category 3 2,938 127 3,065 129 12 141 Total BIG $ 13,538 $ 1,579 $ 15,117 417 31 448 BIG Net Par Outstanding and Number of Risks As of December 31, 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 $ 7,019 $ 1,004 $ 8,023 202 12 214 Category 2 3,655 474 4,129 85 8 93 Category 3 2,900 131 3,031 132 12 144 Total BIG $ 13,574 $ 1,609 $ 15,183 419 32 451 _____________________ (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 March 31, 2016 , all of which are rated BIG. Puerto Rico has experienced significant general fund budget deficits in recent years. 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, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling. Oral arguments were held on March 22, 2016. Typical Supreme Court practice suggests a decision could be announced in June 2016, but there is no assurance that an opinion will be announced at such time, especially in light of the Supreme Court vacancy. 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, and he has made similar statements since then. 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 included a recommendation that the Commonwealth’s advisors begin to work on a voluntary exchange offer to its creditors as part of the FEGP. On November 30, 2015, and December 8, 2015, the Governor issued executive orders (“Clawback Orders”) directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes pledged to secure the payment of bonds issued by PRHTA, PRIFA and Puerto Rico Convention Center District Authority ("PRCCDA"). On January 7, 2016 the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes is unconstitutional, and demanding declaratory and injunctive relief. The Puerto Rico credits insured by the Company impacted by the Clawback Orders are shown in the table “Puerto Rico Net Par Outstanding” below. On January 1, 2016 Puerto Rico Infrastructure Finance Authority ("PRIFA") defaulted on payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately $451 thousand of claims for the interest payments on which PRIFA had defaulted. On April 6, 2016 the Governor signed into law the Puerto Rico Emergency Moratorium & Financial Rehabilitation Act (the “Moratorium Act”). The Moratorium Act purportedly empowers the Governor to declare a moratorium, entity by entity, on debt service payments on debt of the commonwealth and its related authorities and public corporations, as well as instituting a stay against related litigation, among other things. It is possible that a court may find any attempt to exercise the power to declare a moratorium on debt service payments purportedly granted by the Moratorium Act to be unconstitutional, and the impact of any attempt to exercise such power on the Puerto Rico credits insured by the Company is uncertain. Shortly after signing it into law, the Governor used the authority of the Moratorium Act to declare an emergency period with respect to the Government Development Bank (the “GDB”), placing restrictions on its disbursements and certain of its other activities and moving the clearing of payroll of Commonwealth and GDB employees from the GDB. On April 30, 2016, the Governor signed an order under the Moratorium Act ordering a moratorium on the debt service payment of approximately $422 million due to be made by the GDB on May 2, 2016. On May 1, 2016, the GDB announced a tentative agreement with a group of creditors of the GDB (the “Ad Hoc Group”) for a restructuring of GDB’s notes and that the GDB would pay the interest due on May 2, 2016. According to the announcement, the Ad Hoc Group agreed to forbear from initiating litigation for 30 days during the pendency of negotiations. The GDB noted in its May 1 announcement that the tentative agreement requires 100% participation of the GDB’s creditors and that it would be unlikely to reach that level of participation without a restructuring law enabling it to bind non-consenting creditors. The Company does not insure any debt issued by the GDB. 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. Among the responses proposed is a federal financial control board and access to bankruptcy courts or another restructuring mechanism. In addition, the Working Group has made several proposals for voluntary exchanges that include terms such as discounts, extensions and subordination. The final shape and timing 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 Working Group or any other proposals or plans described in the press or 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 March 31, 2016 , the Company had $744 million insured net par outstanding of PREPA obligations. 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; the bonds were repaid in full in 2016. On December 24, 2015, AGM and AGC entered into a Restructuring Support Agreement (“RSA”) with PREPA, an ad hoc group of uninsured bondholders and a group of fuel-line lenders that would, subject to certain conditions, result in, among other things, modernization of the utility and a restructuring of current debt. Upon finalization of the contemplated restructuring transaction, insured PREPA revenue bonds (with no reduction to par or stated interest rate or extension of maturity) will be supported by securitization bonds issued by a special purpose corporation and secured by a transition charge assessed on ratepayers. To facilitate the securitization transaction, which enables PREPA to achieve debt relief and more efficient capital markets financing, Assured Guaranty will issue surety insurance policies in an aggregate amount not expected to exceed $113 million in exchange for a market premium and to support a portion of the reserve fund for the securitization bonds. Certain of the creditors also agreed, subject to certain conditions, to participate in a bridge financing. The Company’s share of the bridge financing is approximately $15 million . Legislation meeting the requirements of the RSA was enacted on February 16, 2016. The closing of the restructuring transaction, the issuance of the surety bonds and the closing of the bridge financing are subject to certain conditions, including confirmation that the enacted legislation meets all requirements of the RSA and execution of acceptable documentation and legal opinions. There can be no assurance that the conditions in the RSA will be met or that, if the conditions are met, the RSA's other provisions, including those related to the restructuring of the insured PREPA revenue bonds, will be implemented. In addition, the impact of the Moratorium Act or any attempt to exercise the power purportedly granted by the Moratorium Act on the implementation of the RSA is uncertain. PREPA, during the pendency of the agreements, has suspended deposits into its debt service fund. PRHTA As of March 31, 2016 , the Company had $910 million insured net par outstanding of PRHTA (Transportation revenue) bonds and $369 million net par of PRHTA (Highway revenue) bonds. The Clawback Orders cover Commonwealth-derived taxes that are allocated to PRHTA. The Company believes that such sources represented a substantial majority of PRHTA’s revenues in 2015. Puerto Rico Sales Tax Financing Corporation (“COFINA”) As of March 31, 2016 , the Company had $270 million insured net par outstanding of junior COFINA bonds, which are secured by a lien on certain sales and use taxes. There have been proposals from both the Commonwealth and from holders of certain senior COFINA bonds to restructure COFINA debt. Puerto Rico Convention Center District Authority As of March 31, 2016, the Company had $164 million insured net par outstanding of PRCCDA bonds, which are secured by certain hotel tax revenues. These revenues are sensitive to the level of economic activity in the area and are subject to the Clawback Orders. Puerto Rico Aqueduct and Sewer Authority (“PRASA”) As of March 31, 2016, the Company had $388 million insured par outstanding to PRASA bonds, which are secured by the gross revenues of the system. On September 15, 2015, PRASA entered into a settlement with the U.S. Justice Department and the U.S. Environmental Protection Agency that requires it to spend $1.6 billion to upgrade and improve its sewer system island-wide. According to a material event notice PRASA filed on March 4, 2016, it owed its contractors $140 million . Municipal Finance Agency ("MFA") As of March 31, 2016 , the Company had $387 million net par outstanding of bonds issued by 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 was 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 March 31, December 31, March 31, December 31, (in millions) Previously Subject to the Voided Recovery Act (1) $ 2,965 $ 2,965 $ 5,090 $ 5,162 Not Previously Subject to the Voided Recovery Act 2,791 2,790 4,398 4,470 Total $ 5,756 $ 5,755 $ 9,488 $ 9,632 ____________________ (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 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, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling. Puerto Rico Net Par Outstanding As of As of Total Internal Rating Total Internal Rating (in millions) Exposures Previously Subject to the Voided Recovery Act: PRHTA (Transportation revenue) (1) $ 910 CCC- $ 909 CCC- PREPA 744 CC 744 CC PRASA 388 CCC 388 CCC PRHTA (Highway revenue)(1) 369 CCC 370 CCC PRCCDA (1) 164 CCC- 164 CCC- Total 2,575 2,575 Exposures Not Previously Subject to the Voided Recovery Act: Commonwealth of Puerto Rico - General Obligation Bonds 1,615 CCC 1,615 CCC MFA 387 CCC- 387 CCC- COFINA 270 CCC+ 269 CCC+ Puerto Rico Public Buildings Authority 188 CCC 188 CCC PRIFA (1) (2) 18 C 18 CCC- University of Puerto Rico 1 CCC- 1 CCC- Total 2,479 2,478 Total net exposure to Puerto Rico $ 5,054 $ 5,053 ____________________ (1) The Governor issued executive orders on November 30, 2015, and December 8, 2015, directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes and revenues pledged to secure the payment of bonds issued by PRHTA, PRIFA and PRCCDA. On January 7, 2016 the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes and revenues is unconstitutional, and demanding declaratory and injunctive relief. (2) On January 1, 2016 PRIFA defaulted on full payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately $451 thousand of claims for the interest payments on which PRIFA had defaulted. 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 March 31, 2016 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) 2016 (April 1 – June 30) $ 0 $ 0 $ 0 $ 2 $ 0 $ 2 2016 (July 1 – September 30) 98 204 302 161 267 428 2016 (October 1 – December 31) 0 0 0 2 0 2 2017 51 171 222 175 288 463 2018 56 123 179 178 232 410 2019 74 130 204 192 232 424 2020 87 183 270 202 280 482 2021 66 59 125 177 146 323 2022 47 68 115 153 152 305 2023 110 40 150 214 123 337 2024 89 85 174 188 164 352 2025 111 85 196 206 159 365 2026-2030 590 353 943 974 660 1,634 2031-2035 583 548 1,131 838 761 1,599 2036-2040 308 271 579 427 355 782 2041-2045 137 159 296 206 174 380 2046-2047 168 — 168 181 — 181 Total $ 2,575 $ 2,479 $ 5,054 $ 4,476 $ 3,993 $ 8,469 Exposure to the Selected European Countries 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’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 March 31, 2016 Hungary Italy Portugal Spain Total (in millions) Sub-sovereign exposure(2) $ 271 $ 827 $ 84 $ 375 $ 1,557 Non-sovereign exposure(3) 179 458 — — 637 Total $ 450 $ 1,285 $ 84 $ 375 $ 2,194 Total BIG (See Note 5) $ 379 $ — $ 84 $ 375 $ 838 ____________________ (1) While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. (2) Sub-sovereign exposure in Selected European Countries includes transactions backed by receivables from or supported by sub-sovereigns, which are governmental or government-backed entities other than the ultimate governing body of the country. (3) Non-sovereign exposure in Selected European Countries includes debt of regulated utilities and RMBS. 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 $206 million to Selected European Countries (plus Greece) in transactions with $4.1 billion of net par outstanding. The indirect exposure to credits with a nexus to Greece is $6 million across several highly rated pooled corporate obligations with net par outstanding of $231 million . |
Expected Loss to be Paid
Expected Loss to be Paid | 3 Months Ended |
Mar. 31, 2016 | |
Expected Losses [Abstract] | |
Expected Loss to be Paid | Expected Loss to be Paid Loss Estimation Process This note provides information regarding expected claim payments to be made under all contracts in the insured portfolio, regardless of the accounting model. The Company’s loss reserve committees estimate expected loss to be paid for all contracts by reviewing analyses that consider 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. 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. 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. 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. For information on the Company's loss estimation process, please refer to Note 5, Expected Losses to be Paid, of Part II, Item 8, Financial Statements and Supplementary Data in AGL's Annual Report on Form 10-K for the year ended December 31, 2015. 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 financial guaranty ("FG") VIEs, by sector, after the benefit for expected recoveries for breaches of representations and warranties ("R&W") and other expected recoveries. The Company used weighted average risk-free rates for U.S. dollar denominated obligations that ranged from 0.0% to 2.88% as of March 31, 2016 and 0.0% to 3.25% as of December 31, 2015 . Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward First Quarter 2016 2015 (in millions) Net expected loss to be paid, beginning of period $ 1,391 $ 1,169 Economic loss development due to: Accretion of discount 9 7 Changes in discount rates 63 7 Changes in timing and assumptions (13 ) (17 ) Total economic loss development 59 (3 ) Paid losses (113 ) (12 ) Net expected loss to be paid, end of period $ 1,337 $ 1,154 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector First Quarter 2016 Net Expected Loss to be Paid (Recovered) as of December 31, 2015 (2) Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 771 $ 98 $ (5 ) $ 864 Non-U.S. public finance 38 1 — 39 Public Finance 809 99 (5 ) 903 Structured Finance: U.S. RMBS: First lien: Prime first lien (2 ) 0 1 (1 ) Alt-A first lien 127 (16 ) (75 ) 36 Option ARM (28 ) (21 ) 2 (47 ) Subprime 251 1 (12 ) 240 Total first lien 348 (36 ) (84 ) 228 Second lien 61 5 (1 ) 65 Total U.S. RMBS 409 (31 ) (85 ) 293 Triple-X life insurance transactions 99 4 (1 ) 102 Student loans 54 (14 ) (8 ) 32 Other structured finance 20 1 (14 ) 7 Structured Finance 582 (40 ) (108 ) 434 Total $ 1,391 $ 59 $ (113 ) $ 1,337 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector First Quarter 2015 Net Expected Loss to be Paid (Recovered ) as of December 31, 2014 Economic Loss Development (Paid) Recovered Losses (1) Net Expected ) as of (in millions) Public Finance: U.S. public finance $ 303 $ 9 $ (2 ) $ 310 Non-U.S. public finance 45 (3 ) — 42 Public Finance 348 6 (2 ) 352 Structured Finance: U.S. RMBS: First lien: Prime first lien 4 0 (1 ) 3 Alt-A first lien 304 (5 ) (10 ) 289 Option ARM (16 ) 4 (4 ) (16 ) Subprime 303 (1 ) (9 ) 293 Total first lien 595 (2 ) (24 ) 569 Second lien (11 ) 6 6 1 Total U.S. RMBS 584 4 (18 ) 570 Triple-X life insurance transactions 161 5 (1 ) 165 Student loans 68 (6 ) — 62 Other structured finance 8 (12 ) 9 5 Structured Finance 821 (9 ) (10 ) 802 Total $ 1,169 $ (3 ) $ (12 ) $ 1,154 ____________________ (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 $2 million and $4 million in l oss adjustment expenses (" LAE") for First Quarter 2016 and 2015 , respectively. (2) Includes expected LAE to be paid of $9 million as of March 31, 2016 and $12 million as of December 31, 2015 . Future Net R&W Benefit Receivable (Payable)(1) As of As of (in millions) U.S. RMBS: First lien $ (30 ) $ 0 Second lien 77 79 Total $ 47 $ 79 ____________________ (1) The Company’s agreements with providers of breaches of R&W generally provide for reimbursement to the Company as claim payments are made and, to the extent the Company later receives reimbursements of such claims from excess spread or other sources, for the Company to provide reimbursement to the R&W providers. See the section “Breaches of Representations and Warranties” for information about the R&W agreements and eligible assets held in trust with respect to such agreements. When the Company projects receiving more reimbursements in the future than it projects to pay in claims, the Company will have a net R&W payable. 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 expected recoveries for breaches of R&W. Net Expected Loss to be Paid (Recovered) By Accounting Model As of March 31, 2016 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 864 $ — $ 0 $ 864 Non-U.S. public finance 39 — — 39 Public Finance 903 — 0 903 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — (3 ) (1 ) Alt-A first lien 19 18 (1 ) 36 Option ARM (44 ) — (3 ) (47 ) Subprime 148 55 37 240 Total first lien 125 73 30 228 Second lien 19 43 3 65 Total U.S. RMBS 144 116 33 293 Triple-X life insurance transactions 91 — 11 102 Student loans 32 — — 32 Other structured finance 40 2 (35 ) 7 Structured Finance 307 118 9 434 Total $ 1,210 $ 118 $ 9 $ 1,337 Net Expected Loss to be Paid (Recovered) By Accounting Model As of December 31, 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 771 $ — $ 0 $ 771 Non-U.S. public finance 38 — — 38 Public Finance 809 — 0 809 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — (4 ) (2 ) Alt-A first lien 110 17 0 127 Option ARM (27 ) — (1 ) (28 ) Subprime 153 59 39 251 Total first lien 238 76 34 348 Second lien 13 44 4 61 Total U.S. RMBS 251 120 38 409 Triple-X life insurance transactions 88 — 11 99 Student loans 54 — — 54 Other structured finance 37 16 (33 ) 20 Structured Finance 430 136 16 582 Total $ 1,239 $ 136 $ 16 $ 1,391 ___________________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, 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 expected recoveries for breaches of R&W. Net Economic Loss Development (Benefit) By Accounting Model First Quarter 2016 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 98 $ — $ 0 $ 98 Non-U.S. public finance 1 — 0 1 Public Finance 99 — 0 99 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — 0 0 Alt-A first lien (17 ) 1 0 (16 ) Option ARM (19 ) — (2 ) (21 ) Subprime 3 0 (2 ) 1 Total first lien (33 ) 1 (4 ) (36 ) Second lien 2 3 0 5 Total U.S. RMBS (31 ) 4 (4 ) (31 ) Triple-X life insurance transactions 3 — 1 4 Student loans (14 ) — — (14 ) Other structured finance 4 0 (3 ) 1 Structured Finance (38 ) 4 (6 ) (40 ) Total $ 61 $ 4 $ (6 ) $ 59 Net Economic Loss Development (Benefit) By Accounting Model First Quarter 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 9 $ — $ — $ 9 Non-U.S. public finance (3 ) — — (3 ) Public Finance 6 — — 6 Structured Finance: U.S. RMBS: First lien: Prime first lien 1 — (1 ) 0 Alt-A first lien 2 — (7 ) (5 ) Option ARM 1 — 3 4 Subprime (4 ) 4 (1 ) (1 ) Total first lien — 4 (6 ) (2 ) Second lien 8 (1 ) (1 ) 6 Total U.S. RMBS 8 3 (7 ) 4 Triple-X life insurance transactions 4 — 1 5 Student loans (6 ) — — (6 ) Other structured finance 0 (1 ) (11 ) (12 ) Structured Finance 6 2 (17 ) (9 ) Total $ 12 $ 2 $ (17 ) $ (3 ) _________________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, 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 March 31, 2016 , 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 March 31, 2016 , 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 has approximately $21 million of net par exposure as of March 31, 2016 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. On April 27, 2016, the court granted the Company's motion for summary judgment in a declaratory judgment action, agreeing with the Company's interpretation of the County's obligations under the contribution agreement. See "Recovery Litigation" below. The Company also has $14.6 billion of net par exposure to healthcare transactions. The BIG net par outstanding in this sector is $315 million . The Company projects that its total net expected loss across its troubled U.S. public finance credits as of March 31, 2016 , which incorporated the likelihood of the various outcomes, will be $864 million , compared with a net expected loss of $771 million as of December 31, 2015. Economic loss development in First Quarter 2016 was $98 million , which was 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 $471 million and $90 million , respectively, and exposure net of reinsurance for Spanish and Portuguese credits is $375 million and $84 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 $274 million and its exposure net of reinsurance is $271 million , all of which is rated BIG. The Company estimated net expected losses of $36 million related to these Spanish, Portuguese and Hungarian credits. The economic loss of approximately $1 million during First Quarter 2016 was primarily related to changes in the exchange rate between the Euro and U.S. Dollar. 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. First Quarter 2016 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 March 31, 2016 as it used as of December 31, 2015 , but increased severities for specific vintages of Alt-A first lien and subprime transactions based on observed data. 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 quarter the Company reviews the most recent twelve 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 March 31, 2016 December 31, 2015 Current Loans Modified in the Previous 12 Months Alt A and Prime 25% 25% Option ARM 25 25 Subprime 25 25 Current Loans Delinquent in the Previous 12 Months Alt A and Prime 25 25 Option ARM 25 25 Subprime 25 25 30 – 59 Days Delinquent Alt A and Prime 35 35 Option ARM 40 40 Subprime 45 45 60 – 89 Days Delinquent Alt A and Prime 45 45 Option ARM 50 50 Subprime 55 55 90+ Days Delinquent Alt A and Prime 55 55 Option ARM 60 60 Subprime 60 60 Bankruptcy Alt A and Prime 45 45 Option ARM 50 50 Subprime 40 40 Foreclosure Alt A and Prime 65 65 Option ARM 70 70 Subprime 70 70 Real Estate Owned All 100 100 While the Company uses liquidation rates as described above to project defaults of non-performing loans (including current loans modified or delinquent within the last 12 months), it projects defaults on presently current loans by applying a conditional default rate (" CDR") trend. The start of that CDR trend is based on the defaults the Company projects will emerge from currently nonperforming, recently nonperforming and modified loans. The total amount of expected defaults from the non-performing loans is translated into a constant CDR ( i.e ., the CDR plateau), which, if applied for each of the next 36 months, would be sufficient to produce approximately the amount of defaults that were calculated to emerge from the various delinquency categories. The CDR thus calculated individually on the delinquent collateral pool for each RMBS is then used as the starting point for the CDR curve used to project defaults of the presently performing loans. In the base case, after the initial 36 -month CDR plateau period, each transaction’s CDR is projected to improve over 12 months to an intermediate CDR (calculated as 20% of its CDR plateau); that intermediate CDR is held constant for 36 months and then trails off in steps to a final CDR of 5% of the CDR plateau. In the base case, the Company assumes the final CDR will be reached 7.5 years after the initial 36-month CDR plateau period, which is the same assumption used at December 31, 2015 . Under the Company’s methodology, defaults projected to occur in the first 36 months represent defaults that can be attributed to loans that were modified or delinquent in the last 12 months or that are currently delinquent or in foreclosure, while the defaults projected to occur using the projected CDR trend after the first 36 month period represent defaults attributable to borrowers that are currently performing or are projected to reperform. Another important driver of loss projections is loss severity, which is the amount of loss the transaction incurs on a loan after the application of net proceeds from the disposal of the underlying property. Loss severities experienced in first lien transactions have reached historically high levels, and the Company is assuming in the base case that these high levels generally will continue for another 18 months. The Company determines its initial loss severity based on actual recent experience. As a result, as of March 31, 2016, the Company updated severities for specific vintages of Alt-A first lien and subprime transactions based on observed data. The Company then assumes that loss severities begin returning to levels consistent with underwriting assumptions beginning after the initial 18 month period, declining to 40% in the base case over 2.5 years. The following table shows the range as well as the average, weighted by outstanding net insured par, for key assumptions used in the calculation of expected loss to be paid for individual transactions for direct vintage 2004 - 2008 first lien U.S. RMBS. Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS(1) As of As of Range Weighted Average Range Weighted Average Alt-A First Lien Plateau CDR 0.9 % - 27.8% 6.4% 1.7 % – 26.4% 6.4% Intermediate CDR 0.2 % - 5.6% 1.3% 0.3 % – 5.3% 1.3% Period until intermediate CDR 48 months 48 months Final CDR 0.0 % - 1.4% 0.3% 0.1 % – 1.3% 0.3% Initial loss severity: 2005 and prior 60.0% 60.0% 2006 80.0% 70.0% 2007 65.0% 65.0% Initial conditional prepayment rate ("CPR") 2.7 % - 31.6% 11.8% 2.7 % – 32.5% 11.5% Final CPR(2) 15% 15% Option ARM Plateau CDR 3.4 % - 10.6% 7.8% 3.5 % – 10.3% 7.8% Intermediate CDR 0.7 % - 2.1% 1.6% 0.7 % – 2.1% 1.6% Period until intermediate CDR 48 months 48 months Final CDR 0.2 % - 0.5% 0.4% 0.2 % – 0.5% 0.4% Initial loss severity: 2005 and prior 60.0% 60.0% 2006 70.0% 70.0% 2007 65.0% 65.0% Initial CPR 2.0 % - 13.7% 5.5% 1.5 % – 10.9% 5.1% Final CPR(2) 15% 15% Subprime Plateau CDR 4.2 % - 14.4% 9.4% 4.7 % – 13.2% 9.5% Intermediate CDR 0.8 % - 2.9% 1.9% 0.9 % – 2.6% 1.9% Period until intermediate CDR 48 months 48 months Final CDR 0.2 % - 0.7% 0.4% 0.2 % – 0.7% 0.4% Initial loss severity: 2005 and prior 80.0% 75.0% 2006 90.0% 90.0% 2007 90.0% 90.0% Initial CPR 0.3 % - 9.2% 4.2% 0.0 % – 10.1% 3.6% Final CPR(2) 15% 15% ____________________ (1) Represents variables for most heavily weighted scenario (the “base case”). (2) For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. The rate at which the principal amount of loans is voluntarily prepaid may impact both the amount of losses projected (since that amount is a function of the CDR, the loss severity and the loan balance over time) as well as the amount of excess spread (the amount by which the interest paid by the borrowers on the underlying loan exceeds the amount of interest owed on the insured obligations). The assumption for the voluntary CPR follows a similar pattern to that of the CDR. The current level of voluntary prepayments is assumed to continue for the plateau period before gradually increasing over 12 months to the final CPR, which is assumed to be 15% in the base case. For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. These CPR assumptions are the same as those the Company used for December 31, 2015 . In estimating expected losses, the Company modeled and probability weighted sensitivities for first lien transactions by varying its assumptions of how fast a recovery is expected to occur. One of the variables used to model sensitivities was how quickly the CDR returned to its modeled equilibrium, which was defined as 5% of the initial CDR. The Company also stressed CPR and the speed of recovery of loss severity rates. The Company probability weighted a total of five scenarios as of March 31, 2016 . The Company used a similar approach to establish its pessimistic and optimistic scenarios as of March 31, 2016 as it used as of December 31, 2015 , increasing and decreasing the periods of stress from those used in the base case. In a somewhat more stressful environment than that of the base case, where the CDR plateau was extended six months (to be 42 months long) before the same more gradual CDR recovery and loss severities were assumed to recover over 4.5 rather than 2.5 years (and subprime loss severities were assumed to recover only to 60% and Option ARM and Alt A loss severities to only 45% ), expected loss to be paid would increase from current projections by approximately $12 million for Alt-A first liens, $7 million for Option ARM, $43 million for subprime and $0.1 million for prime transactions. In an even more stressful scenario where loss severities were assumed to rise and then recover over nine years and the initial ramp-down of the CDR was assumed to occur over 15 months and other assumptions were the same as the other stress scenario, expected loss to be paid would increase from current projections by approximately $31 million for Alt-A first liens, $14 million for Option ARM, $59 million for subprime and $0.5 million for prime transactions. In a scenario with a somewhat less stressful environment than the base case, where CDR recovery was somewhat less gradual, expected loss to be paid would decrease from current projections by approximately $2 million for Alt-A first liens, $19 million for Option ARM, $10 million for subprime and $19 thousand for prime transactions. In an even less stressful scenario where the CDR plateau was six months shorter ( 30 months, effectively assuming that liquidation rates would improve) and the CDR recovery was more pronounced, (including an initial ramp-down of the CDR over nine months), expected loss to be paid would decrease from current projections by approximately $14 million for Alt-A first liens, $31 million for Option ARM, $33 million for subprime and $0.2 million for prime transactions. U.S. Second Lien RMBS Loss Projections Second lien RMBS transactions include both home equity lines of credit (" HELOC") and closed end second lien. The Company believes the primary variable affecting its expected losses in second lien RMBS transactions is the amount and timing of future losses in the collateral pool supporting the transactions. Expected losses are also a function of the structure of the transaction; the voluntary prepayment rate (typically also referred to as CPR of the collateral); the interest rate environment; and assumptions about the draw rate and loss severity. In second lien transactions the projection of near-term defaults from currently delinquent loans is relatively straightforward because loans in second lien transactions are generally “charged off” (treated as defaulted) by the securitization’s servicer once the loan is 180 days past due. Most second lien transactions report the amount of loans in five monthly delinquency categories ( i.e. , 30 - 59 days past due, 60 - 89 days past due, 90 - 119 days past due, 120 - 149 days past due and 150 - 179 days past due). The Company estimates the amount of loans that will default over the next five months by calculating current representative liquidation rates. A liquidation rate is the percent of loans in a given cohort (in this instance, delinquency category) that ultimately default. Similar to first liens, the Company then calculates a CDR for six months, which is the period over which the currently delinquent collateral is expected to be liquidated. That CDR is then used as the basis for the plateau period that follows the embedded five months of losses. Liquidation rates assumed as of March 31, 2016 , were from 25% to 100% . For the base case scenario, the CDR (the “plateau CDR”) was held constant for six months. Once the plateau period has ended, the CDR is assumed to gradually trend down in uniform increments to its final long-term steady state CDR. (The long-term steady state CDR is calculated as the constant CDR that would have yielded the amount of losses originally expected at underwriting.) In the base case scenario, the time over which the CDR trends down to its final CDR is 28 months. Therefore, the total stress period for second lien transactions is 34 months, comprising five months of delinquent data, a one month plateau period and 28 months of decrease to the steady state CDR, the same as of December 31, 2015 . HELOC loans generally permit the borrower to pay only interest for an initial period (often ten years ) and, after that period, require the borrower to make both the monthly interest payment and a monthly principal payment, and so increase the borrower's aggregate monthly payment. Some of the HELOC loans underlying the Company's insured HELOC transactions have reached their principal amortization period. The Company has observed that the increase in monthly payments occurring when a loan reaches its principal amortization period, even if mitigated by borrower relief offered by the servicer, is associated with increased borrower defaults. Thus, most of the Company's HELOC projections incorporate an assumption that a percentage of loans reaching their amortization periods will default around the time of the payment increase. These projected defaults are in addition to those generated using the CDR curve as described above. This assumption is similar to the one used as of December 31, 2015 . For March 31, 2016 the Company used the same general approach it had refined in the fourth quarter of 2015 to calculate the number of additional delinquencies as a function of the number of modified loans in the transaction and the final steady state CDR. When a second lien loan defaults, there is generally a very low recovery. The Company had assumed as of March 31, 2016 that it will generally recover only 2% of the collateral defaulting in the future and declining additional amounts of post-default receipts on previously defaulted collateral. This is the same assumption used as of December 31, 2015 . The rate at which the principal amount of loans is prepaid may impact both the amount of losses projected as well as the amount of excess spread. In the base case, an average CPR (based on experience of the most recent three quarters) is assumed to continue until the end of the plateau before gradually increasing to the final CPR over the same period the CDR decreases. The final CPR is assumed to be 15% for second lien transactions, which is lower than the historical average but reflects the Company’s continued uncertainty about the projected performance of the borrowers in these transactions. 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. This pattern is generally consistent with how the Company modeled the CPR as of December 31, 2015 and March 31, 2015. To the extent that prepayments differ from projected levels it could materially change the Company’s projected excess spread and losses. The Company uses a number of other variables in its second lien loss projections, including the spread between relevant interest rate indices. These variables have been relatively stable and in the relevant ranges have less impact on the projection results than the variables discussed above. However, in a number of HELOC transactions the servicers have been modifying poorly performing loans from floating to fixed rates, and, as a result, rising interest rates would negatively impact the excess spread available from these modified loans to support the transactions. The Company incorporated these modifications in its assumptions. In estimating expected losses, the Company modeled and probability weighted five possible CDR curves applicable to the period preceding the return to the long-term steady state CDR. The Company used five scenarios at March 31, 2016 and December 31, 2015 . The Company believes that the level of the elevated CDR and the length of time it will persist, the ultimate prepayment rate, and the amount of additional defaults because of the expiry of the interest only period, are the primary drivers behind the likely amount of losses the collateral will suffer. The Company continues to evaluate the assumptions affecting its modeling results. Most of the Company's projected second lien RMBS losses are from HELOC transactions. The following table shows the range as well as the average, weighted by outstanding net insured par, for key assumptions for the calculation of expected loss to be paid for individual transactions for direct vintage 2004 - 2008 HELOCs. Key Assumptions in Base Case Expected Loss Estimates HELOCs (1) As of As of Range Weighted Average Range Weighted Average Plateau CDR 5.3 % – 26.1% 11.9% 4.9 % – 23.5% 10.3% Final CDR trended down to 0.5 % – 3.2% 1.2% 0.5 % – 3.2% 1.2% Period until final CDR 34 months 34 months Initial CPR 11.0 % – 14.9% 11.1% 10.9% Final CPR(2) 10.0 % – 15.0% 13.3% 10.0 % – 15.0% 13.3% Loss severity 98.0% 98.0% ____________________ (1) Represents variables for most heavily weighted scenario (the “base case”). (2) For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. The Company’s base case assumed a six month CDR plateau and a 28 month ramp-down (for a total stress period of 34 months). The Company also modeled a scenario with a longer period of elevated defaults and another with a shorter period of elevated defaults. Increasing the CDR plateau to eight months and increasing the ramp-down by three months to 31 months (for a total stress period of 39 months), and doubling the defaults relating to the end of the interest only period would increase the expected loss by approximately $52 million for HELOC transactions. On the other hand, reducing the CDR plateau to four months and decreasing the length of the CDR ramp-down to 25 months (for a total stress period of 29 months), and lowering the ultimate prepayment rate to 10% would decrease the expected loss by approximately $31 million for HELOC transactions. Brea |
Financial Guaranty Insurance
Financial Guaranty Insurance | 3 Months Ended |
Mar. 31, 2016 | |
Insurance [Abstract] | |
Financial Guaranty Insurance | Financial Guaranty Insurance 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 8, Financial Guaranty Contracts Accounted for as Credit Derivatives for amounts that relate to CDS and Note 9, Consolidated Variable Interest Entities for amounts that relate to FG VIEs. Net Earned Premiums First Quarter 2016 2015 (in millions) Scheduled net earned premiums $ 91 $ 96 Acceleration of net earned premiums (1) 89 41 Accretion of discount on net premiums receivable 3 4 Financial guaranty insurance net earned premiums 183 141 Other 0 1 Net earned premiums (2) $ 183 $ 142 ___________________ (1) Reflects the unscheduled refunding or termination of the insurance on an insured obligation as well as changes in scheduled earnings due to changes in the expected lives of the insured obligations. (2) Excludes $5 million and $5 million for First Quarter 2016 and 2015 , respectively, related to consolidated FG VIEs. Components of Unearned Premium Reserve As of March 31, 2016 As of December 31, 2015 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue 3,829 241 3,588 4,008 238 3,770 Contra-paid (2) (19 ) (5 ) (14 ) (12 ) (6 ) (6 ) Unearned premium reserve $ 3,810 $ 236 $ 3,574 $ 3,996 $ 232 $ 3,764 ____________________ (1) Excludes $105 million and $110 million of deferred premium revenue, and $29 million and $30 million of contra-paid related to FG VIEs as of March 31, 2016 and December 31, 2015 , respectively. (2) See "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" below for an explanation of "contra-paid". Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward First Quarter 2016 2015 (in millions) Beginning of period, December 31 $ 693 $ 729 Gross premium written, net of commissions on assumed business 41 36 Gross premiums received, net of commissions on assumed business (49 ) (36 ) Adjustments: Changes in the expected term (22 ) (6 ) Accretion of discount, net of commissions on assumed business 0 5 Foreign exchange translation (1 ) (25 ) Consolidation/deconsolidation of FG VIEs 0 (4 ) End of period, March 31 (1) $ 662 $ 699 ____________________ (1) Excludes $16 million and $22 million as of March 31, 2016 and March 31, 2015 , respectively, related to consolidated FG VIEs. Excludes $1 million related to non-financial guaranty line of business as of March 31, 2015. Foreign exchange translation relates to installment premium receivables denominated in currencies other than the U.S. dollar. Approximately 55% , 52% and 49% of installment premiums at March 31, 2016 , December 31, 2015 and March 31, 2015, 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 Insurance Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of March 31, 2016 (in millions) 2016 (April 1 – June 30) $ 31 2016 (July 1 – September 30) 18 2016 (October 1 – December 31) 17 2017 66 2018 58 2019 55 2020 55 2021-2025 222 2026-2030 147 2031-2035 103 After 2035 82 Total(1) $ 854 ____________________ (1) Excludes expected cash collections on FG VIEs of $20 million . Scheduled Financial Guaranty Insurance Net Earned Premiums As of March 31, 2016 (in millions) 2016 (April 1 – June 30) $ 92 2016 (July 1 – September 30) 89 2016 (October 1 – December 31) 85 2017 313 2018 290 2019 264 2020 245 2021-2025 955 2026-2030 610 2031-2035 363 After 2035 282 Net deferred premium revenue(1) 3,588 Future accretion 179 Total future net earned premiums $ 3,767 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $105 million . Selected Information for Financial Guaranty Insurance Policies Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 662 $ 693 Gross deferred premium revenue 1,156 1,240 Weighted-average risk-free rate used to discount premiums 3.1 % 3.1 % Weighted-average period of premiums receivable (in years) 9.4 9.4 Financial Guaranty Insurance Losses Insurance Contracts' Loss Information The following table provides 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 2.88% as of March 31, 2016 and 0.0% to 3.25% as of December 31, 2015 . Financial guaranty insurance expected LAE reserve was $8 million as of March 31, 2016 and $10 million as of December 31, 2015 . Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts As of March 31, 2016 As of December 31, 2015 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 $ 695 $ 7 $ 688 $ 604 $ 7 $ 597 Non-U.S. public finance 27 — 27 25 — 25 Public Finance 722 7 715 629 7 622 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 2 — 2 Alt-A first lien 35 73 (38 ) 46 — 46 Option ARM 10 51 (41 ) 13 42 (29 ) Subprime 161 21 140 169 21 148 First lien 208 145 63 230 63 167 Second lien 34 49 (15 ) 32 53 (21 ) Total U.S. RMBS 242 194 48 262 116 146 Triple-X life insurance transactions 85 — 85 82 — 82 Student loans 30 — 30 51 — 51 Other structured finance 32 — 32 48 — 48 Structured Finance 389 194 195 443 116 327 Subtotal 1,111 201 910 1,072 123 949 Other recoverables — 3 (3 ) — 3 (3 ) Subtotal 1,111 204 907 1,072 126 946 Effect of consolidating FG VIEs (71 ) — (71 ) (74 ) 0 (74 ) Total (1) $ 1,040 $ 204 $ 836 $ 998 $ 126 $ 872 ____________________ (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 $ 1,112 $ 1,067 Reinsurance recoverable on unpaid losses (72 ) (69 ) Loss and LAE reserve, net 1,040 998 Salvage and subrogation recoverable (206 ) (126 ) Salvage and subrogation payable(1) 5 3 Other recoverables (3 ) (3 ) Salvage and subrogation recoverable, net and other recoverable (204 ) (126 ) Net reserves (salvage) $ 836 $ 872 ____________________ (1) Recorded as a component of reinsurance balances payable. 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 - financial guaranty insurance (1) $ 1,210 Contra-paid, net 14 Salvage and subrogation recoverable, net of reinsurance 201 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (1,038 ) Other recoveries 2 Net expected loss to be expensed (present value) (2) $ 389 ____________________ (1) See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid. (2) Excludes $74 million as of March 31, 2016 , 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) 2016 (April 1 – June 30) $ 11 2016 (July 1 – September 30) 10 2016 (October 1 – December 31) 9 Subtotal 2016 30 2017 34 2018 33 2019 30 2020 27 2021-2025 100 2026-2030 70 2031-2035 45 After 2035 20 Net expected loss to be expensed 389 Future accretion 156 Total expected future loss and LAE $ 545 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 First Quarter 2016 2015 (in millions) Public Finance: U.S. public finance $ 97 $ 13 Non-U.S. public finance 0 5 Public finance 97 18 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 0 Alt-A first lien 8 (2 ) Option ARM (14 ) (1 ) Subprime 4 0 First lien (2 ) (3 ) Second lien 13 10 Total U.S. RMBS 11 7 Triple-X life insurance transactions 3 6 Student loans (14 ) (6 ) Other structured finance 0 (2 ) Structured finance 0 5 Loss and LAE on insurance contracts before FG VIE consolidation 97 23 Effect of consolidating FG VIEs (7 ) (5 ) Loss and LAE $ 90 $ 18 The following table provides information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of March 31, 2016 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 202 (43 ) 86 (14 ) 129 (45 ) 417 — 417 Remaining weighted-average contract period (in years) 10.1 7.4 13.1 10.4 7.2 5.4 10.6 — 10.6 Outstanding exposure: Principal $ 7,084 $ (499 ) $ 4,461 $ (446 ) $ 3,145 $ (207 ) $ 13,538 $ — $ 13,538 Interest 3,764 (214 ) 3,058 (233 ) 962 (44 ) 7,293 — 7,293 Total(2) $ 10,848 $ (713 ) $ 7,519 $ (679 ) $ 4,107 $ (251 ) $ 20,831 $ — $ 20,831 Expected cash outflows (inflows) $ 337 $ (28 ) $ 1,418 $ (77 ) $ 1,372 $ (58 ) $ 2,964 $ (345 ) $ 2,619 Potential recoveries Undiscounted R&W 97 (2 ) (42 ) 1 (88 ) 5 (29 ) 6 (23 ) Other(3) (590 ) 16 (250 ) 10 (631 ) 25 (1,420 ) 190 (1,230 ) Total potential recoveries (493 ) 14 (292 ) 11 (719 ) 30 (1,449 ) 196 (1,253 ) Subtotal (156 ) (14 ) 1,126 (66 ) 653 (28 ) 1,515 (149 ) 1,366 Discount 153 (3 ) (288 ) 14 29 (94 ) (189 ) 33 (156 ) Present value of expected cash flows $ (3 ) $ (17 ) $ 838 $ (52 ) $ 682 $ (122 ) $ 1,326 $ (116 ) $ 1,210 Deferred premium revenue $ 280 $ (10 ) $ 156 $ (7 ) $ 380 $ (33 ) $ 766 $ (96 ) $ 670 Reserves (salvage) $ (96 ) $ (12 ) $ 717 $ (47 ) $ 352 $ (8 ) $ 906 $ (71 ) $ 835 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 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) 202 (46 ) 85 (13 ) 132 (44 ) 419 — 419 Remaining weighted-average contract period (in years) 10.0 8.7 13.8 9.5 7.7 5.9 10.7 — 10.7 Outstanding exposure: Principal $ 7,751 $ (732 ) $ 3,895 $ (240 ) $ 3,087 $ (187 ) $ 13,574 $ — $ 13,574 Interest 4,109 (354 ) 2,805 (110 ) 1,011 (42 ) 7,419 — 7,419 Total(2) $ 11,860 $ (1,086 ) $ 6,700 $ (350 ) $ 4,098 $ (229 ) $ 20,993 $ — $ 20,993 Expected cash outflows (inflows) $ 386 $ (42 ) $ 1,158 $ (60 ) $ 1,464 $ (53 ) $ 2,853 $ (343 ) $ 2,510 Potential recoveries Undiscounted R&W 69 (2 ) (49 ) 1 (85 ) 5 (61 ) 7 (54 ) Other(3) (441 ) 14 (118 ) 7 (587 ) 19 (1,106 ) 175 (931 ) Total potential recoveries (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Subtotal 14 (30 ) 991 (52 ) 792 (29 ) 1,686 (161 ) 1,525 Discount 91 3 (286 ) 12 (58 ) (89 ) (327 ) 41 (286 ) Present value of expected cash flows $ 105 $ (27 ) $ 705 $ (40 ) $ 734 $ (118 ) $ 1,359 $ (120 ) $ 1,239 Deferred premium revenue $ 371 $ (37 ) $ 150 $ (4 ) $ 386 $ (32 ) $ 834 $ (100 ) $ 734 Reserves (salvage) $ 2 $ (19 ) $ 591 $ (38 ) $ 404 $ (9 ) $ 931 $ (74 ) $ 857 ____________________ (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. 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 $176 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 $430 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 March 31, 2016 , AGM and AGC had insured approximately $5.5 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 $1.7 billion as of March 31, 2016 were terminated, the assets of the GIC issuers (which had an aggregate market value which exceed the liabilities by $0.8 billion ) would be sufficient to fund the withdrawal of the GIC funds. |
Fair Value Measurement
Fair Value Measurement | 3 Months Ended |
Mar. 31, 2016 | |
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 First Quarter 2016 , 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 categorization within 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 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 their value is 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. As of March 31, 2016 , the Company used models to price 36 fixed-maturity securities (which were purchased or obtained for loss mitigation or other risk management purposes), which were 9.8% or $1,080 million of the Company’s fixed-maturity securities and short-term investments at fair value. Most 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 March 31, 2016 and December 31, 2015 , other invested assets include investments carried and measured at fair value on a recurring basis of $53 million and $53 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. Fair values for the majority of these investments are based on their respective net asset value ("NAV") per share or equivalent. 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 15, 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 NAV of the funds if a published daily value is not available (Level 2). The NAV 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 and hedges on other financial guarantors that fall under derivative accounting standards requiring fair value accounting through the statement of operations. The following is a description of the fair value methodology applied to the Company's insured credit default swaps that are accounted for as credit derivatives, which constitute the vast majority of the net credit derivative liability in the consolidated balance sheets. The Company did 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 such contracts; 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 a negotiated amount. 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 March 31, 2016 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 0.44% to 2.06% at March 31, 2016 and 0.44% to 2.51% at December 31, 2015 . 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 14 % 13 % Based on market indices 72 % 73 % Provided by the CDS counterparty 14 % 14 % 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 18% a nd 20% based on number of deals, of the Company's CDS contracts are fair valued using this minimum premium as of March 31, 2016 and December 31, 2015 , 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. • The markets for the inputs to the model were highly illiquid, which impacts their reliability. • Due to the non-standard terms under which the Company enters into derivative contracts, the fair value of its credit derivatives may not reflect the same prices observed in an actively traded market of credit derivatives that do not contain terms and conditions similar to those observed in the financial guaranty market. These contracts were classified as Level 3 in the fair value hierarchy because there is a reliance on at least one unobservable input deemed significant to the valuation model, most significantly the Company's estimate of the value of non-standard terms and conditions of its credit derivative contracts and amount of protection purchased on AGC or AGM's name. Fair Value Option on FG VIEs’ Assets and Liabilities The Company elected the fair value option for all the FG VIEs’ assets and liabilities. See Note 9, Consolidated Variable Interest Entities. The FG VIEs issued securities collateralized by first lien and second lien RMBS as well as loans and receivables. The lowest level input that is significant to the fair value measurement of these assets and liabilities was a Level 3 input (i.e., unobservable), therefore management classified them as Level 3 in the fair value hierarchy. Prices are generally determined with the assistance of an independent third-party, 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: his |
Financial Guaranty Contracts Ac
Financial Guaranty Contracts Accounted for as Credit Derivatives | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Financial Guaranty Contracts Accounted for as Credit Derivatives | Financial Guaranty Contracts Accounted for as 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 5.0 years at March 31, 2016 and 5.4 years at December 31, 2015 . The components of the Company’s credit derivative net par outstanding are presented below. Credit Derivatives Subordination and Ratings As of March 31, 2016 As of December 31, 2015 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 $ 5,197 30.7 % 42.8 % AAA $ 5,873 30.9 % 42.3 % AAA Synthetic investment grade pooled corporate 7,127 21.7 19.4 AAA 7,108 21.7 19.4 AAA TruPS CDOs 3,394 45.6 42.9 A- 3,429 45.8 42.6 A- Market value CDOs of corporate obligations 1,113 17.0 27.8 AAA 1,113 17.0 30.1 AAA Total pooled corporate obligations 16,831 29.0 31.9 AAA 17,523 29.2 32.3 AAA U.S. RMBS: Option ARM and Alt-A first lien 336 10.5 12.8 AA- 351 10.5 12.7 AA- Subprime first lien 951 27.7 45.0 AA 981 27.7 45.2 AA Prime first lien 169 10.9 0.0 BB 177 10.9 0.0 BB Closed-end second lien 16 — — CCC 17 — — CCC Total U.S. RMBS 1,472 24.1 37.3 A+ 1,526 24.1 37.4 A+ CMBS 496 44.7 53.8 AAA 530 44.8 52.6 AAA Other 6,067 — — A 6,015 — — A Total $ 24,866 AA+ $ 25,594 AA+ ____________________ (1) Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses. Except for TruPS CDOs, the Company’s exposure to pooled corporate obligations is highly diversified in terms of obligors and industries. Most pooled corporate transactions are structured to limit exposure to any given obligor and industry. The majority of the Company’s pooled corporate exposure consists of collateralized loan obligation ("CLO") or synthetic pooled corporate obligations. Most of these CLOs have an average obligor size of less than 1% of the total transaction and typically restrict the maximum exposure to any one industry to approximately 10% . The Company’s exposure also benefits from embedded credit enhancement in the transactions which allows a transaction to sustain a certain level of losses in the underlying collateral, further insulating the Company from industry specific concentrations of credit risk on these deals. The Company’s TruPS CDO asset pools are generally less diversified by obligors and industries than the typical CLO asset pool. Also, the underlying collateral in TruPS CDOs consists primarily of subordinated debt instruments such as TruPS issued by bank holding companies and similar instruments issued by insurance companies, real estate investment trusts 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 $1.8 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 $4.3 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 March 31, 2016 As of December 31, 2015 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 14,302 57.5 % $ 14,808 57.9 % AA 4,624 18.6 4,821 18.8 A 2,253 9.1 2,144 8.4 BBB 2,108 8.5 2,212 8.6 BIG 1,579 6.3 1,609 6.3 Credit derivative net par outstanding $ 24,866 100.0 % $ 25,594 100.0 % Fair Value of Credit Derivatives Net Change in Fair Value of Credit Derivatives Gain (Loss) First Quarter 2016 2015 (in millions) Realized gains on credit derivatives $ 10 $ 23 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (2 ) (2 ) Realized gains (losses) and other settlements on credit derivatives 8 21 Net change in unrealized gains (losses) on credit derivatives: Pooled corporate obligations (48 ) 17 U.S. RMBS (15 ) 75 CMBS 0 0 Other (5 ) 11 Net change in unrealized gains (losses) on credit derivatives (68 ) 103 Net change in fair value of credit derivatives $ (60 ) $ 124 Net Par and Realized Gains from Terminations and Settlements of Credit Derivative Contracts First Quarter 2016 2015 (in millions) Net par of terminated credit derivative contracts $ — $ 93 Realized gains on credit derivatives 0 11 During First Quarter 2016 , unrealized fair value losses were generated primarily in the trust preferred, and U.S. RMBS prime first lien and subprime sectors, due to wider implied net spreads. The wider implied net spreads were primarily a result of the decreased cost to buy protection on AGC and AGM, particularly for the one year and five year CDS spreads. 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. Unrealized fair value losses in the Other Sector were generated primarily by a price decline on a hedge the Company has against another financial guarantor. These losses were partially offset by an unrealized fair value gain on a terminated toll road securitization. During First Quarter 2015 , unrealized fair value gains were generated primarily in the U.S. RMBS prime first lien and Option ARM sectors. The change in fair value of credit derivatives in First Quarter 2015 was primarily due to a refinement in methodology to address an instance in a U.S. RMBS transaction that changed from an expected loss to an expected recovery position. This refinement resulted in approximately $49 million in fair value gains in First Quarter 2015 . In addition, there were unrealized gains in the TruPS CDO and Other sectors as result of price improvements on the underlying collateral. The changes in the Company’s CDS spreads did not have a material impact during the quarter. 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. CDS Spread on AGC and AGM Quoted price of CDS contract (in basis points) As of As of As of As of Five-year CDS spread: AGC 307 376 317 323 AGM 309 366 341 325 One-year CDS spread AGC 105 139 60 80 AGM 102 131 80 85 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 $ (1,509 ) $ (1,448 ) Plus: Effect of AGC and AGM credit spreads 1,075 1,083 Net fair value of credit derivatives (1) $ (434 ) $ (365 ) The fair value of CDS contracts at March 31, 2016 , 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 March 31, 2016 with December 31, 2015 , there was a widening of spreads primarily related to the Company's TruPS obligations which resulted in mark to market deterioration. 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 Asset Type As of As of As of As of (in millions) Pooled corporate obligations $ (131 ) $ (82 ) $ (4 ) $ (5 ) U.S. RMBS (113 ) (98 ) (33 ) (38 ) CMBS 0 0 — — Other (190 ) (185 ) 28 27 Total $ (434 ) $ (365 ) $ (9 ) $ (16 ) Ratings Sensitivities of Credit Derivative Contracts Within the Company's insured CDS portfolio, the transaction documentation for approximately $3.7 billion in CDS gross par insured as of March 31, 2016 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 $3.5 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 an aggregate of 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 $219 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 March 31, 2016 , the Company was posting approximately $308 million to secure its obligations under CDS, of which approximately $23 million related to the $219 million of notional described above, as to which the obligation to collateralize is not capped. In contrast, as of December 31, 2015 , the Company was posting approximately $305 million to secure its obligations under CDS, of which approximately $23 million related to $221 million of notional as to which the obligation to collateralize was not capped. The obligation to post collateral could impair the Company's liquidity and results of operations. 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 March 31, 2016 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (883 ) $ (449 ) 50% widening in spreads (658 ) (224 ) 25% widening in spreads (547 ) (113 ) 10% widening in spreads (479 ) (45 ) Base Scenario (434 ) — 10% narrowing in spreads (392 ) 42 25% narrowing in spreads (329 ) 105 50% narrowing in spreads (226 ) 208 ____________________ (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 | 3 Months Ended |
Mar. 31, 2016 | |
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 interest income 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 5, Expected Loss to be Paid. As part of the terms of its financial guaranty contracts, the Company obtains certain protective rights with respect to the VIE that are triggered by the occurrence of certain events, such as failure to be in compliance with a covenant due to poor deal performance or a deterioration in a servicer or collateral manager's financial condition. At deal inception, the Company typically is not deemed to control a VIE; however, once a trigger event occurs, the Company's control of the VIE typically increases. The Company continuously evaluates its power to direct the activities that most significantly impact the economic performance of VIEs that have debt obligations insured by the Company and, accordingly, where the Company is obligated to absorb VIE losses or receive benefits that could potentially be significant to the VIE. The Company obtains protective rights under its insurance contracts that give the Company additional controls over a VIE if there is either deterioration of deal performance or in the financial health of the deal servicer. The Company is deemed to be the control party for certain VIEs under GAAP, typically when its protective rights give it the power to both terminate and replace the deal servicer, which are characteristics specific to the Company's financial guaranty contracts. If the protective rights that could make the Company the control party have not been triggered, then the VIE is not consolidated. If the Company is deemed no longer to have those protective rights, the transaction is deconsolidated. Number of FG VIEs Consolidated First Quarter 2016 2015 Beginning of the period, December 31 34 32 Consolidated (1) — 1 Deconsolidated (1) (1 ) — End of the period, September 30 33 33 ____________________ (1) Net loss on deconsolidation was de minimis in First Quarter 2016 , and net loss on consolidation was $26 million in First Quarter 2015 , 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 $146 million at March 31, 2016 and $154 million at December 31, 2015 . The aggregate unpaid principal of the FG VIEs’ assets was approximately $776 million greater than the aggregate fair value at March 31, 2016 , excluding the effect of R&W settlements. The aggregate unpaid principal of the FG VIEs’ assets was approximately $804 million greater than the aggregate fair value at December 31, 2015 , excluding the effect of R&W settlements. The change in the instrument-specific credit risk of the FG VIEs’ assets held as of March 31, 2016 that was recorded in the consolidated statements of operations for First Quarter 2016 were gains of $34 million The change in the instrument-specific credit risk of the FG VIEs’ assets held as of March 31, 2015 that was recorded in the consolidated statements of operations for First Quarter 2015 were gains of $18 million . To calculate the instrument specific credit risk, the changes in the fair value of the FG VIE assets are allocated between changes that are due to the instrument specific credit risk and changes 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, which represent obligations insured by AGC or AGM, was $1,382 million and $1,436 million as of March 31, 2016 and December 31, 2015 , respectively. FG VIE liabilities with recourse will mature at various dates ranging from 2025 to 2038 . The aggregate unpaid principal balance of the FG VIE liabilities with and without recourse was approximately $407 million greater than the aggregate fair value of the FG VIEs’ liabilities as of March 31, 2016 . The aggregate unpaid principal balance was approximately $423 million greater than the aggregate fair value of the FG VIEs' liabilities as of December 31, 2015 . 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 March 31, 2016 As of December 31, 2015 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 457 $ 495 $ 506 $ 521 U.S. RMBS second lien 189 250 194 273 Life insurance 339 339 347 347 Manufactured housing 81 81 84 84 Total with recourse 1,066 1,165 1,131 1,225 Without recourse 125 119 130 124 Total $ 1,191 $ 1,284 $ 1,261 $ 1,349 The consolidation of FG VIEs has a significant effect on net income and shareholders’ 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 First Quarter 2016 2015 (in millions) Net earned premiums $ (5 ) $ (5 ) Net investment income (5 ) (3 ) Net realized investment gains (losses) 1 0 Fair value gains (losses) on FG VIEs 18 (7 ) Loss and LAE 6 5 Effect on income before tax 15 (10 ) Less: tax provision (benefit) 5 (4 ) Effect on net income (loss) $ 10 $ (6 ) Effect on cash flows from operating activities $ 6 $ 18 As of As of (in millions) Effect on shareholders’ equity (decrease) increase $ (12 ) $ (23 ) Fair value gains (losses) on FG VIEs represent the net change in fair value on the consolidated FG VIEs’ assets and liabilities. During First Quarter 2016 , the Company recorded a pre-tax net fair value gain on consolidated FG VIEs of $18 million . The primary driver of the gain was price appreciation on the FG VIE assets during the quarter resulting from improvements in the underlying collateral. During First Quarter 2015 , the Company recorded a pre-tax net fair value loss on consolidated FG VIEs of $7 million . The primary driver of the loss was a pre-tax net fair value loss of $26 million on the consolidation of one new FG VIE. The net fair value loss on consolidation was partially offset by price appreciation on the FG VIE assets during the quarter resulting from improvements in the underlying collateral. 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 March 31, 2016 and December 31, 2015 , the Company had financial guaranty contracts outstanding for approximately 720 and 750 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. 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 | 3 Months Ended |
Mar. 31, 2016 | |
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, which is recorded in Other Assets, was $ 98 million and $ 99 million as of March 31, 2016 and December 31, 2015 , respectively. Net Investment Income First Quarter 2016 2015 (in millions) Income from fixed-maturity securities managed by third parties $ 79 $ 82 Income from internally managed securities: Fixed maturities 17 15 Other 5 6 Gross investment income 101 103 Investment expenses (2 ) (2 ) Net investment income $ 99 $ 101 Net Realized Investment Gains (Losses) First Quarter 2016 2015 (in millions) Gross realized gains on available-for-sale securities $ 6 $ 24 Gross realized gains on other assets in investment portfolio — 1 Gross realized losses on available-for-sale securities (2 ) (1 ) Gross realized losses on other assets in investment portfolio (1 ) (1 ) Other-than-temporary impairment (16 ) (7 ) Net realized investment gains (losses) $ (13 ) $ 16 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 First Quarter 2016 2015 (in millions) Balance, beginning of period $ 108 $ 124 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 1 — Reductions for securities sold and other settlement during the period (2 ) (21 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 0 3 Balance, end of period $ 107 $ 106 Investment Portfolio Fixed-Maturity Securities and Short-Term Investments by Security Type As of March 31, 2016 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 51 % $ 5,417 $ 360 $ (1 ) $ 5,776 $ 3 AA U.S. government and agencies 4 379 26 0 405 — AA+ Corporate securities 14 1,473 69 (17 ) 1,525 (11 ) A- Mortgage-backed securities(4): 0 RMBS 11 1,222 37 (20 ) 1,239 (13 ) A CMBS 5 531 25 0 556 — AAA Asset-backed securities 8 821 3 (13 ) 811 (11 ) B+ Foreign government securities 3 280 5 (9 ) 276 — AA+ Total fixed-maturity securities 96 10,123 525 (60 ) 10,588 (32 ) A+ Short-term investments 4 459 0 0 459 — AAA Total investment portfolio 100 % $ 10,582 $ 525 $ (60 ) $ 11,047 $ (32 ) A+ Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2015 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 52 % $ 5,528 $ 323 $ (10 ) $ 5,841 $ 5 AA U.S. government and agencies 3 377 23 0 400 — AA+ Corporate securities 14 1,505 38 (23 ) 1,520 (13 ) A- Mortgage-backed securities(4): RMBS 11 1,238 29 (22 ) 1,245 (7 ) A CMBS 5 506 9 (2 ) 513 — AAA Asset-backed securities 8 831 4 (10 ) 825 (6 ) B+ Foreign government securities 3 290 4 (11 ) 283 — AA+ Total fixed-maturity securities 96 10,275 430 (78 ) 10,627 (21 ) A+ Short-term investments 4 396 0 0 396 — AA- Total investment portfolio 100 % $ 10,671 $ 430 $ (78 ) $ 11,023 $ (21 ) A+ ____________________ (1) Based on amortized cost. (2) Accumulated OCI. See also Note 17, Shareholders' Equity. (3) Ratings in the tables above represent the lower of the Moody’s and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company’s portfolio consists primarily of high-quality, liquid instruments. (4) Government-agency obligations were approximately 52% of mortgage backed securities as of March 31, 2016 and 54% as of December 31, 2015 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. Under the Company's investment guidelines, securities rated lower than A-/A3 by S&P or Moody’s are typically not purchased for the Company’s portfolio unless acquired for loss mitigation or risk management strategies. The majority of the investment portfolio is managed by four outside managers. The Company has established detailed guidelines regarding credit quality, exposure to a particular sector and exposure to a particular obligor within a sector. The following tables summarize, for all securities in an unrealized loss position, the aggregate fair value and gross unrealized loss by length of time the amounts have continuously been in an unrealized loss position. Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of March 31, 2016 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 $ 58 $ 0 $ 87 $ (1 ) $ 145 $ (1 ) U.S. government and agencies 7 0 — — 7 0 Corporate securities 78 (2 ) 122 (15 ) 200 (17 ) Mortgage-backed securities: RMBS 123 (5 ) 182 (15 ) 305 (20 ) CMBS 7 0 5 0 12 0 Asset-backed securities 456 (13 ) — — 456 (13 ) Foreign government securities 91 (4 ) 53 (5 ) 144 (9 ) Total $ 820 $ (24 ) $ 449 $ (36 ) $ 1,269 $ (60 ) Number of securities (1) 110 82 185 Number of securities with other-than-temporary impairment 12 6 18 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2015 Less than 12 months 12 months or more Total Fair Unrealized Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 316 $ (10 ) $ 7 $ 0 $ 323 $ (10 ) U.S. government and agencies 77 0 — — 77 0 Corporate securities 381 (8 ) 95 (15 ) 476 (23 ) Mortgage-backed securities: RMBS 438 (8 ) 90 (14 ) 528 (22 ) CMBS 140 (2 ) 2 0 142 (2 ) Asset-backed securities 517 (10 ) — — 517 (10 ) Foreign government securities 97 (4 ) 82 (7 ) 179 (11 ) Total $ 1,966 $ (42 ) $ 276 $ (36 ) $ 2,242 $ (78 ) Number of securities (1) 335 71 396 Number of securities with other-than-temporary impairment 9 4 13 ___________________ (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 March 31, 2016 , eleven securities had unrealized losses greater than 10% of book value. The total unrealized loss for these securities as of March 31, 2016 was $ 26 million . The Company has determined that the unrealized losses recorded as of March 31, 2016 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 March 31, 2016 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 March 31, 2016 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 469 $ 470 Due after one year through five years 1,654 1,719 Due after five years through 10 years 2,195 2,320 Due after 10 years 4,052 4,284 Mortgage-backed securities: RMBS 1,222 1,239 CMBS 531 556 Total $ 10,123 $ 10,588 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 $ 300 million and $ 283 million as of March 31, 2016 and December 31, 2015 , 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 $1,550 million and $1,411 million as of March 31, 2016 and December 31, 2015 , respectively, based on fair value. The fair value of the Company’s pledged securities to secure its obligations under its CDS exposure totaled $ 308 million and $ 305 million as of March 31, 2016 and December 31, 2015 , respectively. No material investments of the Company were non-income producing for First Quarter 2016 and First Quarter 2015 , 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 13% and 13% of the investment portfolio, on a fair value basis as of March 31, 2016 and December 31, 2015 , 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 $ 1,264 $ 1,266 Other invested assets 112 114 Other 55 55 Total $ 1,431 $ 1,435 |
Insurance Company Regulatory Re
Insurance Company Regulatory Requirements | 3 Months Ended |
Mar. 31, 2016 | |
Insurance Company Regulatory Requirements [Abstract] | |
Insurance Company Regulatory Requirements | Insurance Company Regulatory Requirements Dividend Restrictions and Capital Requirements Under New York insurance law, AGM may only pay dividends out of "earned surplus," which is the portion of the 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 its 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 2016 for AGM to distribute as dividends without regulatory approval is estimated to be approximately $236 million , of which approximately $32 million is estimated to be available for distribution in the second quarter of 2016. 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 2016 for AGC to distribute as ordinary dividends is approximately $79 million , of which approximately $24 million is available for distribution in the second quarter of 2016. 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 $246 million , without AG Re certifying to the Authority that it will continue to meet required margins. Based on the foregoing limitations, in 2016 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 $140 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 March 31, 2016 , AG Re had unencumbered assets of approximately $594 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 First Quarter 2016 2015 (in millions) Dividends paid by AGC to AGUS $ — $ 20 Dividends paid by AGM to AGMH 95 66 Dividends paid by AG Re to AGL 25 50 Repayment of surplus note by AGM to AGMH — 25 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2016 | |
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 U.K. tax resident company, AGL is required to file a corporation tax return with Her Majesty’s Revenue & Customs (“HMRC”). AGL is subject to U.K. corporation tax in respect of its worldwide profits (both income and capital gains), subject to any applicable exemptions. The main rate of corporation tax remains at 20% for 2016. 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 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. AGUS files a consolidated federal income tax return with AGC, AG Financial Products Inc. ("AGFP"), AG Analytics Inc., AGMH, beginning May 12, 2012 MAC and MAC Holdings, and beginning April 1, 2015 Radian Asset and Van American (“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 2016. 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. marginal corporate tax rate of 20% 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% and will remain unchanged until April 1, 2017. 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. 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 First Quarter 2016 2015 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 18 $ 77 Tax-exempt interest (13 ) (14 ) Change in liability for uncertain tax positions 0 1 Other 1 1 Total provision (benefit) for income taxes $ 6 $ 65 Effective tax rate 10.0 % 24.2 % 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 First Quarter 2016 2015 (in millions) United States $ 55 $ 223 Bermuda 17 50 U.K. (7 ) (7 ) Total $ 65 $ 266 Revenue by Tax Jurisdiction First Quarter 2016 2015 (in millions) United States $ 205 $ 300 Bermuda 42 73 U.K. (2 ) (4 ) Total $ 245 $ 369 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 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 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. Assured Guaranty Oversees US Holdings Inc. has open tax years of 2012 forward. The Company's U.K. subsidiaries are not currently under examination and have open tax years of 2014 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 $0.4 million for First Quarter 2016 and $1 million for 2015. As of March 31, 2016 and December 31, 2015 , the Company has accrued $5.8 million and $5.4 million of interest, respectively. The total amount of unrecognized tax benefits as of March 31, 2016 and December 31, 2015 , that would affect the effective tax rate, if recognized, was $46 million and $45 million , respectively. |
Reinsurance and Other Monoline
Reinsurance and Other Monoline Exposures | 3 Months Ended |
Mar. 31, 2016 | |
Insurance [Abstract] | |
Reinsurance and Other Monoline Exposures | Reinsurance and Other Monoline Exposures The Company assumes exposure on insured obligations (“Assumed Business”) and may cede portions of its exposure on obligations it has insured (“Ceded Business”) in exchange for premiums, net of ceding commissions. The Company 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 March 31, 2016 , 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 $50 million and $33 million , respectively. The Company has Ceded Business to non-affiliated companies to limit its exposure to risk. Under these relationships, the Company ceded 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. 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 First Quarter 2016 2015 (in millions) Premiums Written: Direct $ 21 $ 29 Assumed (2 ) 3 Ceded (17 ) 0 Net $ 2 $ 32 Premiums Earned: Direct $ 190 $ 148 Assumed 8 10 Ceded (15 ) (16 ) Net $ 183 $ 142 Loss and LAE: Direct $ 109 $ 26 Assumed (14 ) (7 ) Ceded (5 ) (1 ) Net $ 90 $ 18 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 March 31, 2016 , based on fair value, the Company had fixed-maturity securities in its investment portfolio consisting of $157 million insured by National Public Finance Guarantee Corporation ("National"), $139 million insured by Ambac and $8 million insured by other guarantors. In addition, the Company acquired bonds for loss mitigation or other risk management purposes. As of March 31, 2016 these bonds had a fair value of $247 million insured by MBIA Insurance Corp. and $127 million insured by FGIC UK Limited. Exposure by Reinsurer Ratings at Par Outstanding (1) May 3, 2016 As of March 31, 2016 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 (2) WR (3) WR $ 4,960 $ — $ 30 Tokio Marine & Nichido Fire Insurance Co., Ltd. (2) Aa3 (4) A+ (4) 4,171 — — Syncora Guarantee Inc. (2) WR WR 2,411 1,319 700 Mitsui Sumitomo Insurance Co. Ltd. (2) A1 A+ (4) 1,718 — — ACA Financial Guaranty Corp. NR (5) WR 700 38 — Ambac WR WR 117 3,892 9,589 National (6) A3 AA- — 5,139 5,065 MBIA (7) (7) — 1,591 428 FGIC (8) (8) — 1,437 636 Ambac Assurance Corp. Segregated Account NR NR — 86 823 CIFG Assurance North America Inc. WR WR — 43 2,784 Other (2) Various Various 76 776 128 Total $ 14,153 $ 14,321 $ 20,183 ____________________ (1) Includes par related to insured credit derivatives. (2) The total collateral posted by all non-affiliated reinsurers required or agreeing to post collateral as of March 31, 2016 was approximately $436 million . (3) Represents “Withdrawn Rating.” (4) The Company benefits from trust arrangements that satisfy the triple-A credit requirement of S&P and/or Moody’s. (5) Represents “Not Rated.” (6) Rated AA+ by KBRA. (7) MBIA includes subsidiaries MBIA Insurance Corp. rated B by S&P and B3 by Moody's and MBIA U.K. Insurance Ltd. rated BB by S&P and Ba2 by Moody’s. (8) FGIC includes subsidiaries Financial Guaranty Insurance Company and FGIC UK Limited both of which had their ratings withdrawn by rating agencies. Amounts Due (To) From Reinsurers As of March 31, 2016 Assumed Premium, net of Commissions Ceded Premium, net of Commissions Assumed Ceded (in millions) American Overseas Reinsurance Company Limited $ — $ (6 ) $ — $ 25 Tokio Marine & Nichido Fire Insurance Co., Ltd. — (11 ) — 44 Syncora Guarantee Inc. 15 (21 ) — 5 Mitsui Sumitomo Insurance Co. Ltd. — (3 ) — 18 Ambac 39 — (3 ) — National 6 — (4 ) — MBIA 5 — (10 ) — FGIC 4 — (15 ) — Ambac Assurance Corp. Segregated Account 10 — (46 ) — CIFG Assurance North America Inc. 0 — (63 ) — Other — (12 ) — — Total $ 79 $ (53 ) $ (141 ) $ 92 Excess of Loss Reinsurance Facility AGC, AGM and MAC entered into a $360 million aggregate excess of loss reinsurance facility with a number of reinsurers, effective as of January 1, 2016. This facility replaces a similar $450 million aggregate excess of loss reinsurance facility that AGC, AGM and MAC had entered into effective January 1, 2014 and which terminated on December 31, 2015. The new facility covers losses occurring either from January 1, 2016 through December 31, 2023, or January 1, 2017 through December 31, 2024, at the option of AGC, AGM and MAC. It terminates on January 1, 2018, unless AGC, AGM and MAC choose to extend it. The new facility covers certain U.S. public finance credits insured or reinsured by AGC, AGM and MAC as of September 30, 2015, excluding credits that were rated non-investment grade as of December 31, 2015 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 new 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 $1.25 billion in the aggregate. The new facility covers a portion of the next $400 million of losses, with the reinsurers assuming pro rata in the aggregate $360 million of the $400 million of losses and AGC, AGM and MAC jointly retaining the remaining $40 million . 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 $9 million of premiums in 2016 for the term January 1, 2016 through December 31, 2016 and deposited approximately $9 million of securities into trust accounts for the benefit of the reinsurers to be used to pay the premium for January 1, 2017 through December 31, 2017. The main differences between the new facility and the prior facility that terminated on December 31, 2015 are the reinsurance attachment point ( $1.25 billion versus $1.5 billion ), the total reinsurance coverage ( $360 million part of $400 million versus $450 million part of $500 million ) and the annual premium ( $9 million versus $19 million ). |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies 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. 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 or prevent losses in the future. For example, as described in the "Recovery Litigation" section of Note 5, Expected Loss to be Paid, in January 2016 the Company commenced an action for declaratory judgment and injunctive relief in the U.S. District Court for the District of Puerto Rico to invalidate executive orders issued by the Governor of Puerto Rico directing the retention or transfer of certain taxes and revenues pledged to secure the payment of certain bonds insured by the Company. Also, 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. The amounts, if any, the Company will recover in proceedings to recover losses are uncertain, and recoveries, or failure to obtain recoveries, in any one or more of these proceedings during any quarter or year could be material to the Company’s results of operations in that particular quarter or year. 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. 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 agreement between AGFP and LBIE, and calculated the termination payment properly. 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 counts relating to the remaining transactions. On February 22, 2016, AGFP filed a motion for summary judgment on the remaining causes of action asserted by LBIE and on AGFP's counterclaims. LBIE's administrators disclosed in an April 10, 2015 report to LBIE’s unsecured creditors 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. 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. Proceedings Resolved Since December 31, 2015 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. Through November 30, 2015, HCCE had presented AGC, as successor to Radian Asset, with approximately €15 million in claims. In January 2016, Assured Guaranty and HCCE settled all the claims related to the Spanish housing cooperative losses. 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. 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, and a motion for preliminary approval of those putative class claims was filed on February 24, 2016. The parties have reported that final settlement with those remaining defendants would resolve the putative class case. The settlement fairness hearing for those putative class cases is scheduled for July 8, 2016. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from these lawsuits. In 2008, AGMH and AGM also were named in five non-class action lawsuits originally filed in the California Superior Courts alleging violations of California law related to the municipal derivatives industry: (a) City of Los Angeles, California v. Bank of America, N.A. ; (b) City of Stockton, California v. Bank of America, N.A. ; (c) County of San Diego, California v. Bank of America, N.A. ; (d) County of San Mateo, California v. Bank of America, N.A. ; and (e) County of Contra Costa, California v. Bank of America, N.A. Amended complaints in these actions were filed in September 2009, adding a federal antitrust claim and naming AGM (but not AGMH) and AGUS, among other defendants. These cases have been transferred to the Southern District of New York and consolidated with MDL 1950 for pretrial proceedings. In late 2009, AGM and AGUS, among other defendants, were named in six additional non-class action cases filed in federal court, which also have been coordinated and consolidated for pretrial proceedings with MDL 1950; one was voluntarily dismissed with prejudice in October 2010, leaving five that are currently pending: (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 the eleven complaints that were pending as of 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 | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 As of December 31, 2015 Principal Carrying Value Principal Carrying Value (in millions) AGUS: 7% Senior Notes $ 200 $ 197 $ 200 $ 197 5% Senior Notes 500 496 500 495 Series A Enhanced Junior Subordinated Debentures 150 150 150 150 Total AGUS 850 843 850 842 AGMH: 6 7 / 8 % QUIBS 100 69 100 69 6.25% Notes 230 140 230 140 5.6% Notes 100 56 100 56 Junior Subordinated Debentures 300 182 300 180 Total AGMH 730 447 730 445 AGM: Notes Payable 11 12 12 13 Total AGM 11 12 12 13 Total $ 1,591 $ 1,302 $ 1,592 $ 1,300 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 the “strip coverage”) from its own sources. AGM issued financial guaranty insurance policies (known as “strip policies”) that guaranteed the payment of these unfunded strip coverage amounts to the lessor, in the event that a tax-exempt entity defaulted on its obligation to pay this portion of its early termination payment. AGM can then seek reimbursement of its strip policy payments from the tax-exempt entity, and can also sell the transferred depreciable asset and reimburse itself from the sale proceeds. Currently, all the leveraged lease transactions in which AGM acts as strip coverage provider are breaching a rating trigger related to AGM and are subject to early termination. However, early termination of a lease does not result in a draw on the AGM policy if the tax-exempt entity makes the required termination payment. If all the leases were to terminate early and the tax-exempt entities do not make the required early termination payments, then AGM would be exposed to possible liquidity claims on gross exposure of approximately $1.1 billion as of March 31, 2016 . 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 March 31, 2016 , 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, which is currently $495 million. 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 March 31, 2016 . 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 March 31, 2016 , 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. In addition, in 2012 AGUS borrowed $90 million from its affiliate AGRO to fund the acquisition of MAC. That loan remained outstanding as of March 31, 2016 . 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. Beginning 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. 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 March 31, 2016 the put option had not been exercised. The Company does not consider itself to be the primary beneficiary of the trusts. See Note 7, Fair Value Measurement, –Other Assets–Committed Capital Securities, for a fair value measurement discussion. |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Mar. 31, 2016 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share Computation of Earnings Per Share First Quarter 2016 2015 (in millions) Basic earnings per share ("EPS"): Net income (loss) attributable to AGL $ 59 $ 201 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 58 $ 201 Basic shares 136.2 155.8 Basic EPS $ 0.43 $ 1.29 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 58 $ 201 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 58 $ 201 Basic shares 136.2 155.8 Dilutive securities: Options and restricted stock awards 0.8 1.0 Diluted shares 137.0 156.8 Diluted EPS $ 0.43 $ 1.28 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.8 0.7 |
Shareholders' Equity
Shareholders' Equity | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Shareholders' Equity | Shareholders' Equity Other Comprehensive Income The following tables present the changes in each component of accumulated other comprehensive income ("AOCI") and the effect of reclassifications out of AOCI on the respective line items in net income. Changes in Accumulated Other Comprehensive Income by Component First Quarter 2016 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, 2015 $ 260 $ (15 ) $ (16 ) $ 8 $ 237 Other comprehensive income (loss) before reclassifications 95 (17 ) (2 ) — 76 Amounts reclassified from AOCI to: Net realized investment gains (losses) (4 ) 17 — — 13 Net investment income (3 ) — — — (3 ) Interest expense — — — 0 0 Total before tax (7 ) 17 — 0 10 Tax (provision) benefit 2 (6 ) — 0 (4 ) Total amount reclassified from AOCI, net of tax (5 ) 11 — 0 6 Net current period other comprehensive income (loss) 90 (6 ) (2 ) 0 82 Balance, March 31, 2016 $ 350 $ (21 ) $ (18 ) $ 8 $ 319 Changes in Accumulated Other Comprehensive Income by Component First 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, December 31, 2014 $ 367 $ 4 $ (10 ) $ 9 $ 370 Other comprehensive income (loss) before reclassifications 18 (2 ) (5 ) — 11 Amounts reclassified from AOCI to: Net realized investment gains (losses) (20 ) 4 — — (16 ) Interest expense — — — (1 ) (1 ) Total before tax (20 ) 4 — (1 ) (17 ) Tax (provision) benefit 7 (1 ) — 0 6 Total amount reclassified from AOCI, net of tax (13 ) 3 — (1 ) (11 ) Net current period other comprehensive income (loss) 5 1 (5 ) (1 ) 0 Balance, March 31, 2015 $ 372 $ 5 $ (15 ) $ 8 $ 370 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 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 2015 (October 1 - December 31) 5,035,637 135 26.81 Total 2015 20,995,419 555 26.43 2016 (January 1 - March 31) 3,038,928 75 24.69 2016 (April 1 - through May 4, 2016) 793,672 20 25.20 Total 2016 3,832,600 95 24.80 Cumulative repurchases since the beginning of 2013 61,754,559 $ 1,504 $ 24.36 On February 24, 2016, the Board of Directors approved a $250 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 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. As of March 31, 2016 , the Company's remaining share repurchase authorization was $230 million , and as of May 4, 2016, it was approximately $210 million . |
Subsidiary Information
Subsidiary Information | 3 Months Ended |
Mar. 31, 2016 | |
Condensed Financial Information of Parent Company Only Disclosure [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 15, 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 MARCH 31, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 80 $ 94 $ 23 $ 11,489 $ (360 ) $ 11,326 Investment in subsidiaries 6,003 5,570 4,077 389 (16,039 ) — Premiums receivable, net of commissions payable — — — 792 (130 ) 662 Ceded unearned premium reserve — — — 1,236 (1,000 ) 236 Deferred acquisition costs — — — 172 (59 ) 113 Reinsurance recoverable on unpaid losses — — — 491 (419 ) 72 Credit derivative assets — — — 163 (108 ) 55 Deferred tax asset, net — 40 — 368 (130 ) 278 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,191 — 1,191 Other 34 46 28 645 (234 ) 519 TOTAL ASSETS $ 6,117 $ 5,750 $ 4,128 $ 17,026 $ (18,569 ) $ 14,452 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,914 $ (1,104 ) $ 3,810 Loss and LAE reserve — — — 1,605 (493 ) 1,112 Long-term debt — 842 447 13 — 1,302 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 597 (108 ) 489 Deferred tax liabilities, net — — 90 — (90 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,284 — 1,284 Other 4 26 18 655 (361 ) 342 TOTAL LIABILITIES 4 958 555 9,368 (2,546 ) 8,339 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,113 4,792 3,573 7,269 (15,634 ) 6,113 Noncontrolling interest — — — 389 (389 ) — TOTAL SHAREHOLDERS' EQUITY 6,113 4,792 3,573 7,658 (16,023 ) 6,113 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,117 $ 5,750 $ 4,128 $ 17,026 $ (18,569 ) $ 14,452 CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 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 $ 10 $ 156 $ 22 $ 11,530 $ (360 ) $ 11,358 Investment in subsidiaries 5,961 5,569 4,081 377 (15,988 ) — Premiums receivable, net of commissions payable — — — 833 (140 ) 693 Ceded unearned premium reserve — — — 1,266 (1,034 ) 232 Deferred acquisition costs — — — 176 (62 ) 114 Reinsurance recoverable on unpaid losses — — — 467 (398 ) 69 Credit derivative assets — — — 207 (126 ) 81 Deferred tax asset, net — 52 — 357 (133 ) 276 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,261 — 1,261 Other 98 29 26 571 (264 ) 460 TOTAL ASSETS $ 6,069 $ 5,806 $ 4,129 $ 17,135 $ (18,595 ) $ 14,544 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 5,143 $ (1,147 ) $ 3,996 Loss and LAE reserve — — — 1,537 (470 ) 1,067 Long-term debt — 842 445 13 — 1,300 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 572 (126 ) 446 Deferred tax liabilities, net — — 91 — (91 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,349 — 1,349 Other 6 82 15 622 (402 ) 323 TOTAL LIABILITIES 6 1,014 551 9,536 (2,626 ) 8,481 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,063 4,792 3,578 7,222 (15,592 ) 6,063 Noncontrolling interest — — — 377 (377 ) — TOTAL SHAREHOLDERS’ EQUITY 6,063 4,792 3,578 7,599 (15,969 ) 6,063 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,069 $ 5,806 $ 4,129 $ 17,135 $ (18,595 ) $ 14,544 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED MARCH 31, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 192 $ (9 ) $ 183 Net investment income 0 0 0 100 (1 ) 99 Net realized investment gains (losses) 0 — — (12 ) (1 ) (13 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 8 0 8 Net unrealized gains (losses) — — — (68 ) — (68 ) Net change in fair value of credit derivatives — — — (60 ) 0 (60 ) Bargain purchase gain and settlement of pre-existing relationships — — — — — — Other 0 — — 36 — 36 TOTAL REVENUES 0 0 0 256 (11 ) 245 EXPENSES Loss and LAE — — — 93 (3 ) 90 Amortization of deferred acquisition costs — — — 7 (3 ) 4 Interest expense — 13 13 3 (3 ) 26 Other operating expenses 8 0 1 52 (1 ) 60 TOTAL EXPENSES 8 13 14 155 (10 ) 180 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (8 ) (13 ) (14 ) 101 (1 ) 65 Total (provision) benefit for income taxes — 5 5 (16 ) 0 (6 ) Equity in net earnings of subsidiaries 67 50 77 9 (203 ) — NET INCOME (LOSS) $ 59 $ 42 $ 68 $ 94 $ (204 ) $ 59 Less: noncontrolling interest — — — 9 (9 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 59 $ 42 $ 68 $ 85 $ (195 ) $ 59 COMPREHENSIVE INCOME (LOSS) $ 141 $ 80 $ 92 $ 178 $ (350 ) $ 141 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED MARCH 31, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 140 $ 2 $ 142 Net investment income 0 0 0 104 (3 ) 101 Net realized investment gains (losses) 0 0 0 19 (3 ) 16 Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 21 0 21 Net unrealized gains (losses) — — — 103 — 103 Net change in fair value of credit derivatives — — — 124 0 124 Other — — — (14 ) — (14 ) TOTAL REVENUES 0 0 0 373 (4 ) 369 EXPENSES Loss and LAE — — — 18 0 18 Amortization of deferred acquisition costs — — — 6 (2 ) 4 Interest expense — 13 13 4 (5 ) 25 Other operating expenses 8 0 0 48 0 56 TOTAL EXPENSES 8 13 13 76 (7 ) 103 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (8 ) (13 ) (13 ) 297 3 266 Total (provision) benefit for income taxes — 5 5 (72 ) (3 ) (65 ) Equity in net earnings of subsidiaries 209 163 92 9 (473 ) — NET INCOME (LOSS) $ 201 $ 155 $ 84 $ 234 $ (473 ) $ 201 Less: noncontrolling interest — — — 9 (9 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 201 $ 155 $ 84 $ 225 $ (464 ) $ 201 COMPREHENSIVE INCOME (LOSS) $ 201 $ 134 $ 80 $ 233 $ (447 ) $ 201 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE THREE MONTHS ENDED MARCH 31, 2016 (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 $ 166 $ 17 $ 88 $ (74 ) $ (287 ) $ (90 ) Cash flows from investing activities Fixed-maturity securities: Purchases (4 ) (11 ) — (281 ) — (296 ) Sales 1 — — 161 — 162 Maturities — — — 301 — 301 Sales (purchases) of short-term investments, net (69 ) 11 — (5 ) — (63 ) Net proceeds from financial guaranty variable entities’ assets — — — 66 — 66 Intercompany debt — — — — — — Investment in subsidiary — — — — — — Other — — — 2 — 2 Net cash flows provided by (used in) investing activities (72 ) 0 — 244 — 172 Cash flows from financing activities Return of capital — — — — — — Dividends paid (18 ) (80 ) (87 ) (120 ) 287 (18 ) Repurchases of common stock (75 ) — — — — (75 ) Share activity under option and incentive plans 0 — — — — 0 Net paydowns of financial guaranty variable entities’ liabilities — — — (42 ) — (42 ) Payment of long-term debt — — — 0 — 0 Intercompany debt — — — — — — Other — — — (1 ) — (1 ) Net cash flows provided by (used in) financing activities (93 ) (80 ) (87 ) (163 ) 287 (136 ) Effect of exchange rate changes — — — 0 — 0 Increase (decrease) in cash 1 (63 ) 1 7 — (54 ) Cash at beginning of period 0 95 8 63 — 166 Cash at end of period $ 1 $ 32 $ 9 $ 70 $ — $ 112 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE THREE MONTHS ENDED MARCH 31, 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 $ 97 $ 127 $ 59 $ 34 $ (294 ) $ 23 Cash flows from investing activities Fixed-maturity securities: Purchases — (46 ) (6 ) (396 ) — (448 ) Sales — 122 11 708 — 841 Maturities — 4 — 151 — 155 Sales (purchases) of short-term investments, net 79 43 19 279 — 420 Net proceeds from financial guaranty variable entities’ assets — — — 30 — 30 Intercompany debt — (200 ) — — 200 — Investment in subsidiary — — 25 — (25 ) — Other — — — 3 — 3 Net cash flows provided by (used in) investing activities 79 (77 ) 49 775 175 1,001 Cash flows from financing activities Return of capital — — — (25 ) 25 — Dividends paid (19 ) (50 ) (108 ) (136 ) 294 (19 ) Repurchases of common stock (152 ) — — — — (152 ) Share activity under option and incentive plans (5 ) — — — — (5 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (39 ) — (39 ) Payment of long-term debt — — — (1 ) — (1 ) Intercompany debt — — — 200 (200 ) — Other — — — 4 — 4 Net cash flows provided by (used in) financing activities (176 ) (50 ) (108 ) 3 119 (212 ) Effect of exchange rate changes — — — (2 ) — (2 ) Increase (decrease) in cash — — — 810 — 810 Cash at beginning of period 0 — 4 71 — 75 Cash at end of period $ 0 $ — $ 4 $ 881 $ — $ 885 |
Business and Basis of Present28
Business and Basis of Presentation (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 and cover the three-month period ended March 31, 2016 (" First Quarter 2016 ") and the three-month period ended March 31, 2015 (" First Quarter 2015 "). 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 Share-Based Payments In March 2016, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") 2016-09, Compensation - Stock Compensation (Topic 718) - Improvements to Employee Share-Based Payment , which simplifies several aspects of the accounting for employee share-based payment transactions, including the accounting for income taxes, forfeitures, and statutory tax withholding requirements, as well as classification in the statement of cash flows. The new guidance will require all income tax effects of awards to be recognized in the income statement when the awards vest or are settled. It also will allow an employer to repurchase more of an employee’s shares than it can today for tax withholding purposes without triggering liability accounting and to make a policy election to account for forfeitures as they occur. The ASU is effective for fiscal years beginning after December 15, 2016, including interim periods within those fiscal years, and early adoption is permitted. The Company is currently evaluating the effect of adopting this ASU on its Consolidated Financial Statements. |
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 First Quarter 2016 , 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 categorization within 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 is based on the lowest level of significant input to its valuation. Level 1—Quoted prices for identical instruments in active markets. The Company generally defines an active market as a market in which trading occurs at significant volumes. Active markets generally are more liquid and have a lower bid-ask spread than an inactive market. Level 2—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and observable inputs other than quoted prices, such as interest rates or yield curves and other inputs derived from or corroborated by observable market inputs. Level 3—Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Financial instruments are considered Level 3 when their values are determined using pricing models, discounted cash flow methodologies or similar techniques and at least one significant model assumption or input is unobservable. Level 3 financial instruments also include those for which the determination of fair value requires significant management judgment or estimation. Transfers between Levels 1, 2 and 3 are recognized at the end of the period when the transfer occurs. The Company reviews the classification between Levels 1, 2 and 3 quarterly to determine whether a transfer is necessary. |
Consolidation, Variable Interest Entity | As part of the terms of its financial guaranty contracts, the Company obtains certain protective rights with respect to the VIE that are triggered by the occurrence of certain events, such as failure to be in compliance with a covenant due to poor deal performance or a deterioration in a servicer or collateral manager's financial condition. At deal inception, the Company typically is not deemed to control a VIE; however, once a trigger event occurs, the Company's control of the VIE typically increases. The Company continuously evaluates its power to direct the activities that most significantly impact the economic performance of VIEs that have debt obligations insured by the Company and, accordingly, where the Company is obligated to absorb VIE losses or receive benefits that could potentially be significant to the VIE. The Company obtains protective rights under its insurance contracts that give the Company additional controls over a VIE if there is either deterioration of deal performance or in the financial health of the deal servicer. The Company is deemed to be the control party for certain VIEs under GAAP, typically when its protective rights give it the power to both terminate and replace the deal servicer, which are characteristics specific to the Company's financial guaranty contracts. If the protective rights that could make the Company the control party have not been triggered, then the VIE is not consolidated. If the Company is deemed no longer to have those protective rights, the transaction is deconsolidated. |
Outstanding Exposure (Tables)
Outstanding Exposure (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Schedule of Insured Financial Obligations [Line Items] | |
Debt Service Outstanding | The following table presents the gross and net debt service for all financial guaranty contracts. Financial Guaranty Debt Service Outstanding Gross Debt Service Outstanding Net Debt Service Outstanding March 31, December 31, March 31, December 31, (in millions) Public finance $ 496,630 $ 515,494 $ 476,362 $ 494,426 Structured finance 42,012 43,976 40,037 41,915 Total financial guaranty $ 538,642 $ 559,470 $ 516,399 $ 536,341 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating As of March 31, 2016 Public Finance U.S. Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Category Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 2,541 0.9 % $ 688 2.3 % $ 13,953 45.8 % $ 2,529 49.4 % $ 19,711 5.7 % AA 65,310 23.2 1,969 6.7 7,505 24.7 154 3.0 74,938 21.6 A 145,515 51.6 6,695 22.8 2,584 8.5 551 10.8 155,345 44.7 BBB 60,736 21.5 18,622 63.4 1,279 4.2 1,267 24.7 81,904 23.6 BIG 7,953 2.8 1,411 4.8 5,131 16.8 622 12.1 15,117 4.4 Total net par outstanding (1) $ 282,055 100.0 % $ 29,385 100.0 % $ 30,452 100.0 % $ 5,123 100.0 % $ 347,015 100.0 % _____________________ (1) Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of March 31, 2016 , which are primarily BIG. Financial Guaranty Portfolio by Internal Rating As of December 31, 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 $ 3,053 1.1 % $ 709 2.4 % $ 14,366 45.2 % $ 2,709 50.6 % $ 20,837 5.8 % AA 69,274 23.7 2,017 6.8 7,934 25.0 177 3.3 79,402 22.1 A 157,440 53.9 6,765 22.9 2,486 7.8 555 10.3 167,246 46.7 BBB 54,315 18.6 18,708 63.2 1,515 4.8 1,365 25.5 75,903 21.2 BIG 7,784 2.7 1,378 4.7 5,469 17.2 552 10.3 15,183 4.2 Total net par outstanding (1) $ 291,866 100.0 % $ 29,577 100.0 % $ 31,770 100.0 % $ 5,358 100.0 % $ 358,571 100.0 % _____________________ (1) Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015 , 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 March 31, 2016 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 4,608 $ 3,191 $ 154 $ 7,953 $ 282,055 Non-U.S. public finance 882 529 — 1,411 29,385 Structured finance: First lien U.S. residential mortgage-backed securities ("RMBS"): Prime first lien 192 32 24 248 425 Alt-A first lien 125 66 507 698 1,238 Option ARM 50 7 78 135 235 Subprime 82 281 866 1,229 3,305 Second lien U.S. RMBS 225 47 1,100 1,372 1,474 Total U.S. RMBS 674 433 2,575 3,682 6,677 Triple-X life insurance transactions — — 216 216 2,650 Trust preferred securities (“TruPS”) 650 127 — 777 4,296 Student loans — 68 81 149 1,815 Other structured finance 743 147 39 929 20,137 Total $ 7,557 $ 4,495 $ 3,065 $ 15,117 $ 347,015 Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of December 31, 2015 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 4,765 $ 2,883 $ 136 $ 7,784 $ 291,866 Non-U.S. public finance 875 503 — 1,378 29,577 Structured finance: First lien U.S. RMBS: Prime first lien 225 34 25 284 445 Alt-A first lien 119 73 601 793 1,353 Option ARM 39 12 90 141 252 Subprime 146 228 930 1,304 3,457 Second lien U.S. RMBS 491 50 910 1,451 1,560 Total U.S. RMBS 1,020 397 2,556 3,973 7,067 Triple-X life insurance transactions — — 216 216 2,750 TruPS 679 127 — 806 4,379 Student loans 12 68 83 163 1,818 Other structured finance 672 151 40 863 21,114 Total $ 8,023 $ 4,129 $ 3,031 $ 15,183 $ 358,571 |
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 March 31, 2016 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 202 (43 ) 86 (14 ) 129 (45 ) 417 — 417 Remaining weighted-average contract period (in years) 10.1 7.4 13.1 10.4 7.2 5.4 10.6 — 10.6 Outstanding exposure: Principal $ 7,084 $ (499 ) $ 4,461 $ (446 ) $ 3,145 $ (207 ) $ 13,538 $ — $ 13,538 Interest 3,764 (214 ) 3,058 (233 ) 962 (44 ) 7,293 — 7,293 Total(2) $ 10,848 $ (713 ) $ 7,519 $ (679 ) $ 4,107 $ (251 ) $ 20,831 $ — $ 20,831 Expected cash outflows (inflows) $ 337 $ (28 ) $ 1,418 $ (77 ) $ 1,372 $ (58 ) $ 2,964 $ (345 ) $ 2,619 Potential recoveries Undiscounted R&W 97 (2 ) (42 ) 1 (88 ) 5 (29 ) 6 (23 ) Other(3) (590 ) 16 (250 ) 10 (631 ) 25 (1,420 ) 190 (1,230 ) Total potential recoveries (493 ) 14 (292 ) 11 (719 ) 30 (1,449 ) 196 (1,253 ) Subtotal (156 ) (14 ) 1,126 (66 ) 653 (28 ) 1,515 (149 ) 1,366 Discount 153 (3 ) (288 ) 14 29 (94 ) (189 ) 33 (156 ) Present value of expected cash flows $ (3 ) $ (17 ) $ 838 $ (52 ) $ 682 $ (122 ) $ 1,326 $ (116 ) $ 1,210 Deferred premium revenue $ 280 $ (10 ) $ 156 $ (7 ) $ 380 $ (33 ) $ 766 $ (96 ) $ 670 Reserves (salvage) $ (96 ) $ (12 ) $ 717 $ (47 ) $ 352 $ (8 ) $ 906 $ (71 ) $ 835 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 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) 202 (46 ) 85 (13 ) 132 (44 ) 419 — 419 Remaining weighted-average contract period (in years) 10.0 8.7 13.8 9.5 7.7 5.9 10.7 — 10.7 Outstanding exposure: Principal $ 7,751 $ (732 ) $ 3,895 $ (240 ) $ 3,087 $ (187 ) $ 13,574 $ — $ 13,574 Interest 4,109 (354 ) 2,805 (110 ) 1,011 (42 ) 7,419 — 7,419 Total(2) $ 11,860 $ (1,086 ) $ 6,700 $ (350 ) $ 4,098 $ (229 ) $ 20,993 $ — $ 20,993 Expected cash outflows (inflows) $ 386 $ (42 ) $ 1,158 $ (60 ) $ 1,464 $ (53 ) $ 2,853 $ (343 ) $ 2,510 Potential recoveries Undiscounted R&W 69 (2 ) (49 ) 1 (85 ) 5 (61 ) 7 (54 ) Other(3) (441 ) 14 (118 ) 7 (587 ) 19 (1,106 ) 175 (931 ) Total potential recoveries (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Subtotal 14 (30 ) 991 (52 ) 792 (29 ) 1,686 (161 ) 1,525 Discount 91 3 (286 ) 12 (58 ) (89 ) (327 ) 41 (286 ) Present value of expected cash flows $ 105 $ (27 ) $ 705 $ (40 ) $ 734 $ (118 ) $ 1,359 $ (120 ) $ 1,239 Deferred premium revenue $ 371 $ (37 ) $ 150 $ (4 ) $ 386 $ (32 ) $ 834 $ (100 ) $ 734 Reserves (salvage) $ 2 $ (19 ) $ 591 $ (38 ) $ 404 $ (9 ) $ 931 $ (74 ) $ 857 ____________________ (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. |
Net Direct Economic Exposure to Selected European Countries | Net Direct Economic Exposure to Selected European Countries(1) As of March 31, 2016 Hungary Italy Portugal Spain Total (in millions) Sub-sovereign exposure(2) $ 271 $ 827 $ 84 $ 375 $ 1,557 Non-sovereign exposure(3) 179 458 — — 637 Total $ 450 $ 1,285 $ 84 $ 375 $ 2,194 Total BIG (See Note 5) $ 379 $ — $ 84 $ 375 $ 838 ____________________ (1) While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. (2) Sub-sovereign exposure in Selected European Countries includes transactions backed by receivables from or supported by sub-sovereigns, which are governmental or government-backed entities other than 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 March 31, 2016 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 6,585 $ 972 $ 7,557 202 12 214 Category 2 4,015 480 4,495 86 7 93 Category 3 2,938 127 3,065 129 12 141 Total BIG $ 13,538 $ 1,579 $ 15,117 417 31 448 BIG Net Par Outstanding and Number of Risks As of December 31, 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 $ 7,019 $ 1,004 $ 8,023 202 12 214 Category 2 3,655 474 4,129 85 8 93 Category 3 2,900 131 3,031 132 12 144 Total BIG $ 13,574 $ 1,609 $ 15,183 419 32 451 _____________________ (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 March 31, 2016 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) 2016 (April 1 – June 30) $ 0 $ 0 $ 0 $ 2 $ 0 $ 2 2016 (July 1 – September 30) 98 204 302 161 267 428 2016 (October 1 – December 31) 0 0 0 2 0 2 2017 51 171 222 175 288 463 2018 56 123 179 178 232 410 2019 74 130 204 192 232 424 2020 87 183 270 202 280 482 2021 66 59 125 177 146 323 2022 47 68 115 153 152 305 2023 110 40 150 214 123 337 2024 89 85 174 188 164 352 2025 111 85 196 206 159 365 2026-2030 590 353 943 974 660 1,634 2031-2035 583 548 1,131 838 761 1,599 2036-2040 308 271 579 427 355 782 2041-2045 137 159 296 206 174 380 2046-2047 168 — 168 181 — 181 Total $ 2,575 $ 2,479 $ 5,054 $ 4,476 $ 3,993 $ 8,469 |
Gross Par and Gross Debt Service Outstanding | 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 March 31, December 31, March 31, December 31, (in millions) Previously Subject to the Voided Recovery Act (1) $ 2,965 $ 2,965 $ 5,090 $ 5,162 Not Previously Subject to the Voided Recovery Act 2,791 2,790 4,398 4,470 Total $ 5,756 $ 5,755 $ 9,488 $ 9,632 ____________________ (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 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, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling. |
Schedule of Geographic Exposure of Net Par Outstanding | Puerto Rico Net Par Outstanding As of As of Total Internal Rating Total Internal Rating (in millions) Exposures Previously Subject to the Voided Recovery Act: PRHTA (Transportation revenue) (1) $ 910 CCC- $ 909 CCC- PREPA 744 CC 744 CC PRASA 388 CCC 388 CCC PRHTA (Highway revenue)(1) 369 CCC 370 CCC PRCCDA (1) 164 CCC- 164 CCC- Total 2,575 2,575 Exposures Not Previously Subject to the Voided Recovery Act: Commonwealth of Puerto Rico - General Obligation Bonds 1,615 CCC 1,615 CCC MFA 387 CCC- 387 CCC- COFINA 270 CCC+ 269 CCC+ Puerto Rico Public Buildings Authority 188 CCC 188 CCC PRIFA (1) (2) 18 C 18 CCC- University of Puerto Rico 1 CCC- 1 CCC- Total 2,479 2,478 Total net exposure to Puerto Rico $ 5,054 $ 5,053 ____________________ (1) The Governor issued executive orders on November 30, 2015, and December 8, 2015, directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes and revenues pledged to secure the payment of bonds issued by PRHTA, PRIFA and PRCCDA. On January 7, 2016 the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes and revenues is unconstitutional, and demanding declaratory and injunctive relief. (2) On January 1, 2016 PRIFA defaulted on full payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately $451 thousand of claims for the interest payments on which PRIFA had defaulted. |
Expected Loss to be Paid (Table
Expected Loss to be Paid (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Expected Losses [Abstract] | |
Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward | 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 financial guaranty ("FG") VIEs, by sector, after the benefit for expected recoveries for breaches of representations and warranties ("R&W") and other expected recoveries. The Company used weighted average risk-free rates for U.S. dollar denominated obligations that ranged from 0.0% to 2.88% as of March 31, 2016 and 0.0% to 3.25% as of December 31, 2015 . Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward First Quarter 2016 2015 (in millions) Net expected loss to be paid, beginning of period $ 1,391 $ 1,169 Economic loss development due to: Accretion of discount 9 7 Changes in discount rates 63 7 Changes in timing and assumptions (13 ) (17 ) Total economic loss development 59 (3 ) Paid losses (113 ) (12 ) Net expected loss to be paid, end of period $ 1,337 $ 1,154 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector First Quarter 2016 Net Expected Loss to be Paid (Recovered) as of December 31, 2015 (2) Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 771 $ 98 $ (5 ) $ 864 Non-U.S. public finance 38 1 — 39 Public Finance 809 99 (5 ) 903 Structured Finance: U.S. RMBS: First lien: Prime first lien (2 ) 0 1 (1 ) Alt-A first lien 127 (16 ) (75 ) 36 Option ARM (28 ) (21 ) 2 (47 ) Subprime 251 1 (12 ) 240 Total first lien 348 (36 ) (84 ) 228 Second lien 61 5 (1 ) 65 Total U.S. RMBS 409 (31 ) (85 ) 293 Triple-X life insurance transactions 99 4 (1 ) 102 Student loans 54 (14 ) (8 ) 32 Other structured finance 20 1 (14 ) 7 Structured Finance 582 (40 ) (108 ) 434 Total $ 1,391 $ 59 $ (113 ) $ 1,337 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector First Quarter 2015 Net Expected Loss to be Paid (Recovered ) as of December 31, 2014 Economic Loss Development (Paid) Recovered Losses (1) Net Expected ) as of (in millions) Public Finance: U.S. public finance $ 303 $ 9 $ (2 ) $ 310 Non-U.S. public finance 45 (3 ) — 42 Public Finance 348 6 (2 ) 352 Structured Finance: U.S. RMBS: First lien: Prime first lien 4 0 (1 ) 3 Alt-A first lien 304 (5 ) (10 ) 289 Option ARM (16 ) 4 (4 ) (16 ) Subprime 303 (1 ) (9 ) 293 Total first lien 595 (2 ) (24 ) 569 Second lien (11 ) 6 6 1 Total U.S. RMBS 584 4 (18 ) 570 Triple-X life insurance transactions 161 5 (1 ) 165 Student loans 68 (6 ) — 62 Other structured finance 8 (12 ) 9 5 Structured Finance 821 (9 ) (10 ) 802 Total $ 1,169 $ (3 ) $ (12 ) $ 1,154 ____________________ (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 $2 million and $4 million in l oss adjustment expenses (" LAE") for First Quarter 2016 and 2015 , respectively. (2) Includes expected LAE to be paid of $9 million as of March 31, 2016 and $12 million as of December 31, 2015 . |
Schedule Of Net Expected Losses To Be Paid For Future Benefits, Net Representations And Warranties | Future Net R&W Benefit Receivable (Payable)(1) As of As of (in millions) U.S. RMBS: First lien $ (30 ) $ 0 Second lien 77 79 Total $ 47 $ 79 ____________________ (1) The Company’s agreements with providers of breaches of R&W generally provide for reimbursement to the Company as claim payments are made and, to the extent the Company later receives reimbursements of such claims from excess spread or other sources, for the Company to provide reimbursement to the R&W providers. See the section “Breaches of Representations and Warranties” for information about the R&W agreements and eligible assets held in trust with respect to such agreements. When the Company projects receiving more reimbursements in the future than it projects to pay in claims, the Company will have a net R&W payable. |
Net Expected Loss to be Paid By Accounting Model | The following tables present the present value of net expected loss to be paid for all contracts by accounting model, by sector and after the benefit for expected recoveries for breaches of R&W. Net Expected Loss to be Paid (Recovered) By Accounting Model As of March 31, 2016 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 864 $ — $ 0 $ 864 Non-U.S. public finance 39 — — 39 Public Finance 903 — 0 903 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — (3 ) (1 ) Alt-A first lien 19 18 (1 ) 36 Option ARM (44 ) — (3 ) (47 ) Subprime 148 55 37 240 Total first lien 125 73 30 228 Second lien 19 43 3 65 Total U.S. RMBS 144 116 33 293 Triple-X life insurance transactions 91 — 11 102 Student loans 32 — — 32 Other structured finance 40 2 (35 ) 7 Structured Finance 307 118 9 434 Total $ 1,210 $ 118 $ 9 $ 1,337 Net Expected Loss to be Paid (Recovered) By Accounting Model As of December 31, 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 771 $ — $ 0 $ 771 Non-U.S. public finance 38 — — 38 Public Finance 809 — 0 809 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — (4 ) (2 ) Alt-A first lien 110 17 0 127 Option ARM (27 ) — (1 ) (28 ) Subprime 153 59 39 251 Total first lien 238 76 34 348 Second lien 13 44 4 61 Total U.S. RMBS 251 120 38 409 Triple-X life insurance transactions 88 — 11 99 Student loans 54 — — 54 Other structured finance 37 16 (33 ) 20 Structured Finance 430 136 16 582 Total $ 1,239 $ 136 $ 16 $ 1,391 ___________________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Schedule of Net Economic Loss Development | The following tables present the net economic loss development for all contracts by accounting model, by sector and after the benefit for expected recoveries for breaches of R&W. Net Economic Loss Development (Benefit) By Accounting Model First Quarter 2016 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 98 $ — $ 0 $ 98 Non-U.S. public finance 1 — 0 1 Public Finance 99 — 0 99 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — 0 0 Alt-A first lien (17 ) 1 0 (16 ) Option ARM (19 ) — (2 ) (21 ) Subprime 3 0 (2 ) 1 Total first lien (33 ) 1 (4 ) (36 ) Second lien 2 3 0 5 Total U.S. RMBS (31 ) 4 (4 ) (31 ) Triple-X life insurance transactions 3 — 1 4 Student loans (14 ) — — (14 ) Other structured finance 4 0 (3 ) 1 Structured Finance (38 ) 4 (6 ) (40 ) Total $ 61 $ 4 $ (6 ) $ 59 Net Economic Loss Development (Benefit) By Accounting Model First Quarter 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 9 $ — $ — $ 9 Non-U.S. public finance (3 ) — — (3 ) Public Finance 6 — — 6 Structured Finance: U.S. RMBS: First lien: Prime first lien 1 — (1 ) 0 Alt-A first lien 2 — (7 ) (5 ) Option ARM 1 — 3 4 Subprime (4 ) 4 (1 ) (1 ) Total first lien — 4 (6 ) (2 ) Second lien 8 (1 ) (1 ) 6 Total U.S. RMBS 8 3 (7 ) 4 Triple-X life insurance transactions 4 — 1 5 Student loans (6 ) — — (6 ) Other structured finance 0 (1 ) (11 ) (12 ) Structured Finance 6 2 (17 ) (9 ) Total $ 12 $ 2 $ (17 ) $ (3 ) _________________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS | Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS(1) As of As of Range Weighted Average Range Weighted Average Alt-A First Lien Plateau CDR 0.9 % - 27.8% 6.4% 1.7 % – 26.4% 6.4% Intermediate CDR 0.2 % - 5.6% 1.3% 0.3 % – 5.3% 1.3% Period until intermediate CDR 48 months 48 months Final CDR 0.0 % - 1.4% 0.3% 0.1 % – 1.3% 0.3% Initial loss severity: 2005 and prior 60.0% 60.0% 2006 80.0% 70.0% 2007 65.0% 65.0% Initial conditional prepayment rate ("CPR") 2.7 % - 31.6% 11.8% 2.7 % – 32.5% 11.5% Final CPR(2) 15% 15% Option ARM Plateau CDR 3.4 % - 10.6% 7.8% 3.5 % – 10.3% 7.8% Intermediate CDR 0.7 % - 2.1% 1.6% 0.7 % – 2.1% 1.6% Period until intermediate CDR 48 months 48 months Final CDR 0.2 % - 0.5% 0.4% 0.2 % – 0.5% 0.4% Initial loss severity: 2005 and prior 60.0% 60.0% 2006 70.0% 70.0% 2007 65.0% 65.0% Initial CPR 2.0 % - 13.7% 5.5% 1.5 % – 10.9% 5.1% Final CPR(2) 15% 15% Subprime Plateau CDR 4.2 % - 14.4% 9.4% 4.7 % – 13.2% 9.5% Intermediate CDR 0.8 % - 2.9% 1.9% 0.9 % – 2.6% 1.9% Period until intermediate CDR 48 months 48 months Final CDR 0.2 % - 0.7% 0.4% 0.2 % – 0.7% 0.4% Initial loss severity: 2005 and prior 80.0% 75.0% 2006 90.0% 90.0% 2007 90.0% 90.0% Initial CPR 0.3 % - 9.2% 4.2% 0.0 % – 10.1% 3.6% Final CPR(2) 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. First Lien Liquidation Rates March 31, 2016 December 31, 2015 Current Loans Modified in the Previous 12 Months Alt A and Prime 25% 25% Option ARM 25 25 Subprime 25 25 Current Loans Delinquent in the Previous 12 Months Alt A and Prime 25 25 Option ARM 25 25 Subprime 25 25 30 – 59 Days Delinquent Alt A and Prime 35 35 Option ARM 40 40 Subprime 45 45 60 – 89 Days Delinquent Alt A and Prime 45 45 Option ARM 50 50 Subprime 55 55 90+ Days Delinquent Alt A and Prime 55 55 Option ARM 60 60 Subprime 60 60 Bankruptcy Alt A and Prime 45 45 Option ARM 50 50 Subprime 40 40 Foreclosure Alt A and Prime 65 65 Option ARM 70 70 Subprime 70 70 Real Estate Owned All 100 100 |
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | Key Assumptions in Base Case Expected Loss Estimates HELOCs (1) As of As of Range Weighted Average Range Weighted Average Plateau CDR 5.3 % – 26.1% 11.9% 4.9 % – 23.5% 10.3% Final CDR trended down to 0.5 % – 3.2% 1.2% 0.5 % – 3.2% 1.2% Period until final CDR 34 months 34 months Initial CPR 11.0 % – 14.9% 11.1% 10.9% Final CPR(2) 10.0 % – 15.0% 13.3% 10.0 % – 15.0% 13.3% Loss severity 98.0% 98.0% ____________________ (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. |
Financial Guaranty Insurance (T
Financial Guaranty Insurance (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Insurance [Abstract] | |
Net Earned Premiums | Net Earned Premiums First Quarter 2016 2015 (in millions) Scheduled net earned premiums $ 91 $ 96 Acceleration of net earned premiums (1) 89 41 Accretion of discount on net premiums receivable 3 4 Financial guaranty insurance net earned premiums 183 141 Other 0 1 Net earned premiums (2) $ 183 $ 142 ___________________ (1) Reflects the unscheduled refunding or termination of the insurance on an insured obligation as well as changes in scheduled earnings due to changes in the expected lives of the insured obligations. (2) Excludes $5 million and $5 million for First Quarter 2016 and 2015 , respectively, related to consolidated FG VIEs. |
Components of Unearned Premium Reserve | Components of Unearned Premium Reserve As of March 31, 2016 As of December 31, 2015 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue 3,829 241 3,588 4,008 238 3,770 Contra-paid (2) (19 ) (5 ) (14 ) (12 ) (6 ) (6 ) Unearned premium reserve $ 3,810 $ 236 $ 3,574 $ 3,996 $ 232 $ 3,764 ____________________ (1) Excludes $105 million and $110 million of deferred premium revenue, and $29 million and $30 million of contra-paid related to FG VIEs as of March 31, 2016 and December 31, 2015 , respectively. (2) See "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" below 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 First Quarter 2016 2015 (in millions) Beginning of period, December 31 $ 693 $ 729 Gross premium written, net of commissions on assumed business 41 36 Gross premiums received, net of commissions on assumed business (49 ) (36 ) Adjustments: Changes in the expected term (22 ) (6 ) Accretion of discount, net of commissions on assumed business 0 5 Foreign exchange translation (1 ) (25 ) Consolidation/deconsolidation of FG VIEs 0 (4 ) End of period, March 31 (1) $ 662 $ 699 ____________________ (1) Excludes $16 million and $22 million as of March 31, 2016 and March 31, 2015 , respectively, related to consolidated FG VIEs. Excludes $1 million related to non-financial guaranty line of business as of March 31, 2015. Expected Collections of Financial Guaranty Insurance Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of March 31, 2016 (in millions) 2016 (April 1 – June 30) $ 31 2016 (July 1 – September 30) 18 2016 (October 1 – December 31) 17 2017 66 2018 58 2019 55 2020 55 2021-2025 222 2026-2030 147 2031-2035 103 After 2035 82 Total(1) $ 854 ____________________ (1) Excludes expected cash collections on FG VIEs of $20 million . |
Schedule of Net Earned Premiums | Scheduled Financial Guaranty Insurance Net Earned Premiums As of March 31, 2016 (in millions) 2016 (April 1 – June 30) $ 92 2016 (July 1 – September 30) 89 2016 (October 1 – December 31) 85 2017 313 2018 290 2019 264 2020 245 2021-2025 955 2026-2030 610 2031-2035 363 After 2035 282 Net deferred premium revenue(1) 3,588 Future accretion 179 Total future net earned premiums $ 3,767 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $105 million . |
Selected Information for Policies Paid in Installments | Selected Information for Financial Guaranty Insurance Policies Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 662 $ 693 Gross deferred premium revenue 1,156 1,240 Weighted-average risk-free rate used to discount premiums 3.1 % 3.1 % Weighted-average period of premiums receivable (in years) 9.4 9.4 |
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 March 31, 2016 As of December 31, 2015 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 $ 695 $ 7 $ 688 $ 604 $ 7 $ 597 Non-U.S. public finance 27 — 27 25 — 25 Public Finance 722 7 715 629 7 622 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 2 — 2 Alt-A first lien 35 73 (38 ) 46 — 46 Option ARM 10 51 (41 ) 13 42 (29 ) Subprime 161 21 140 169 21 148 First lien 208 145 63 230 63 167 Second lien 34 49 (15 ) 32 53 (21 ) Total U.S. RMBS 242 194 48 262 116 146 Triple-X life insurance transactions 85 — 85 82 — 82 Student loans 30 — 30 51 — 51 Other structured finance 32 — 32 48 — 48 Structured Finance 389 194 195 443 116 327 Subtotal 1,111 201 910 1,072 123 949 Other recoverables — 3 (3 ) — 3 (3 ) Subtotal 1,111 204 907 1,072 126 946 Effect of consolidating FG VIEs (71 ) — (71 ) (74 ) 0 (74 ) Total (1) $ 1,040 $ 204 $ 836 $ 998 $ 126 $ 872 ____________________ (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 $ 1,112 $ 1,067 Reinsurance recoverable on unpaid losses (72 ) (69 ) Loss and LAE reserve, net 1,040 998 Salvage and subrogation recoverable (206 ) (126 ) Salvage and subrogation payable(1) 5 3 Other recoverables (3 ) (3 ) Salvage and subrogation recoverable, net and other recoverable (204 ) (126 ) Net reserves (salvage) $ 836 $ 872 ____________________ (1) Recorded as a component of reinsurance balances payable. |
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 - financial guaranty insurance (1) $ 1,210 Contra-paid, net 14 Salvage and subrogation recoverable, net of reinsurance 201 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (1,038 ) Other recoveries 2 Net expected loss to be expensed (present value) (2) $ 389 ____________________ (1) See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid. (2) Excludes $74 million as of March 31, 2016 , 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) 2016 (April 1 – June 30) $ 11 2016 (July 1 – September 30) 10 2016 (October 1 – December 31) 9 Subtotal 2016 30 2017 34 2018 33 2019 30 2020 27 2021-2025 100 2026-2030 70 2031-2035 45 After 2035 20 Net expected loss to be expensed 389 Future accretion 156 Total expected future loss and LAE $ 545 |
Loss and LAE Reported on the Consolidated Statements of Operations | Loss and LAE Reported on the Consolidated Statements of Operations First Quarter 2016 2015 (in millions) Public Finance: U.S. public finance $ 97 $ 13 Non-U.S. public finance 0 5 Public finance 97 18 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 0 Alt-A first lien 8 (2 ) Option ARM (14 ) (1 ) Subprime 4 0 First lien (2 ) (3 ) Second lien 13 10 Total U.S. RMBS 11 7 Triple-X life insurance transactions 3 6 Student loans (14 ) (6 ) Other structured finance 0 (2 ) Structured finance 0 5 Loss and LAE on insurance contracts before FG VIE consolidation 97 23 Effect of consolidating FG VIEs (7 ) (5 ) Loss and LAE $ 90 $ 18 |
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 March 31, 2016 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 202 (43 ) 86 (14 ) 129 (45 ) 417 — 417 Remaining weighted-average contract period (in years) 10.1 7.4 13.1 10.4 7.2 5.4 10.6 — 10.6 Outstanding exposure: Principal $ 7,084 $ (499 ) $ 4,461 $ (446 ) $ 3,145 $ (207 ) $ 13,538 $ — $ 13,538 Interest 3,764 (214 ) 3,058 (233 ) 962 (44 ) 7,293 — 7,293 Total(2) $ 10,848 $ (713 ) $ 7,519 $ (679 ) $ 4,107 $ (251 ) $ 20,831 $ — $ 20,831 Expected cash outflows (inflows) $ 337 $ (28 ) $ 1,418 $ (77 ) $ 1,372 $ (58 ) $ 2,964 $ (345 ) $ 2,619 Potential recoveries Undiscounted R&W 97 (2 ) (42 ) 1 (88 ) 5 (29 ) 6 (23 ) Other(3) (590 ) 16 (250 ) 10 (631 ) 25 (1,420 ) 190 (1,230 ) Total potential recoveries (493 ) 14 (292 ) 11 (719 ) 30 (1,449 ) 196 (1,253 ) Subtotal (156 ) (14 ) 1,126 (66 ) 653 (28 ) 1,515 (149 ) 1,366 Discount 153 (3 ) (288 ) 14 29 (94 ) (189 ) 33 (156 ) Present value of expected cash flows $ (3 ) $ (17 ) $ 838 $ (52 ) $ 682 $ (122 ) $ 1,326 $ (116 ) $ 1,210 Deferred premium revenue $ 280 $ (10 ) $ 156 $ (7 ) $ 380 $ (33 ) $ 766 $ (96 ) $ 670 Reserves (salvage) $ (96 ) $ (12 ) $ 717 $ (47 ) $ 352 $ (8 ) $ 906 $ (71 ) $ 835 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 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) 202 (46 ) 85 (13 ) 132 (44 ) 419 — 419 Remaining weighted-average contract period (in years) 10.0 8.7 13.8 9.5 7.7 5.9 10.7 — 10.7 Outstanding exposure: Principal $ 7,751 $ (732 ) $ 3,895 $ (240 ) $ 3,087 $ (187 ) $ 13,574 $ — $ 13,574 Interest 4,109 (354 ) 2,805 (110 ) 1,011 (42 ) 7,419 — 7,419 Total(2) $ 11,860 $ (1,086 ) $ 6,700 $ (350 ) $ 4,098 $ (229 ) $ 20,993 $ — $ 20,993 Expected cash outflows (inflows) $ 386 $ (42 ) $ 1,158 $ (60 ) $ 1,464 $ (53 ) $ 2,853 $ (343 ) $ 2,510 Potential recoveries Undiscounted R&W 69 (2 ) (49 ) 1 (85 ) 5 (61 ) 7 (54 ) Other(3) (441 ) 14 (118 ) 7 (587 ) 19 (1,106 ) 175 (931 ) Total potential recoveries (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Subtotal 14 (30 ) 991 (52 ) 792 (29 ) 1,686 (161 ) 1,525 Discount 91 3 (286 ) 12 (58 ) (89 ) (327 ) 41 (286 ) Present value of expected cash flows $ 105 $ (27 ) $ 705 $ (40 ) $ 734 $ (118 ) $ 1,359 $ (120 ) $ 1,239 Deferred premium revenue $ 371 $ (37 ) $ 150 $ (4 ) $ 386 $ (32 ) $ 834 $ (100 ) $ 734 Reserves (salvage) $ 2 $ (19 ) $ 591 $ (38 ) $ 404 $ (9 ) $ 931 $ (74 ) $ 857 ____________________ (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. |
Fair Value Measurement (Tables)
Fair Value Measurement (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 14 % 13 % Based on market indices 72 % 73 % Provided by the CDS counterparty 14 % 14 % 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 March 31, 2016 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 $ 5,776 $ — $ 5,769 $ 7 U.S. government and agencies 405 — 405 — Corporate securities 1,525 — 1,451 74 Mortgage-backed securities: RMBS 1,239 — 879 360 CMBS 556 — 556 — Asset-backed securities 811 — 172 639 Foreign government securities 276 — 276 — Total fixed-maturity securities 10,588 — 9,508 1,080 Short-term investments 459 332 127 — Other invested assets (1) 12 — 5 7 Credit derivative assets 55 — — 55 FG VIEs’ assets, at fair value 1,191 — — 1,191 Other assets 93 26 21 46 Total assets carried at fair value $ 12,398 $ 358 $ 9,661 $ 2,379 Liabilities: Credit derivative liabilities $ 489 $ — $ — $ 489 FG VIEs’ liabilities with recourse, at fair value 1,165 — — 1,165 FG VIEs’ liabilities without recourse, at fair value 119 — — 119 Total liabilities carried at fair value $ 1,773 $ — $ — $ 1,773 Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 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 $ 5,841 $ — $ 5,833 $ 8 U.S. government and agencies 400 — 400 — Corporate securities 1,520 — 1,449 71 Mortgage-backed securities: RMBS 1,245 — 897 348 CMBS 513 — 513 — Asset-backed securities 825 — 168 657 Foreign government securities 283 — 283 — Total fixed-maturity securities 10,627 — 9,543 1,084 Short-term investments 396 305 31 60 Other invested assets (1) 12 — 5 7 Credit derivative assets 81 — — 81 FG VIEs’ assets, at fair value 1,261 — — 1,261 Other assets 106 23 21 62 Total assets carried at fair value $ 12,483 $ 328 $ 9,600 $ 2,555 Liabilities: Credit derivative liabilities $ 446 $ — $ — $ 446 FG VIEs’ liabilities with recourse, at fair value 1,225 — — 1,225 FG VIEs’ liabilities without recourse, at fair value 124 — — 124 Total liabilities carried at fair value $ 1,795 $ — $ — $ 1,795 ____________________ (1) Excluded from the table above are investments funds of $45 million and $45 million as of March 31, 2016 and December 31, 2015 , respectively, measured using NAV per share. Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. |
Fair Value Assets Measured on Recurring Basis | Fair Value Level 3 Rollforward Recurring Basis First Quarter 2016 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- Short-Term Investments FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of December 31, 2015 $ 8 $ 71 $ 348 $ 657 $ 60 $ 1,261 $ 65 $ (365 ) $ (1,225 ) $ (124 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 0 (2 ) 2 (2 ) (2 ) (2 ) 1 (2 ) 0 (2 ) (4 ) (3 ) (16 ) (4 ) (60 ) (6 ) 21 (3 ) 2 (3 ) Other comprehensive income (loss) 0 1 (5 ) (5 ) 0 — 0 — — — Purchases — — 34 — — — — — — — Settlements (1 ) — (15 ) (14 ) (60 ) (66 ) — (9 ) 39 3 FG VIE consolidations — — — — — — — — — — FG VIE deconsolidations — — 0 — — 0 — — 0 — Fair value as of March 31, 2016 $ 7 $ 74 $ 360 $ 639 $ — $ 1,191 $ 49 $ (434 ) $ (1,165 ) $ (119 ) Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2016 $ 0 $ 1 $ (6 ) $ (5 ) $ — $ 4 $ (16 ) $ (79 ) $ 21 $ 1 Fair Value Level 3 Rollforward Recurring Basis First Quarter 2015 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of December 31, 2014 $ 38 $ 79 $ 425 $ 228 $ 1,398 $ 37 $ (895 ) $ (1,277 ) $ (142 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 3 (2 ) 2 (2 ) 9 (2 ) (2 ) (2 ) 23 (3 ) 2 (4 ) 124 (6 ) 93 (3 ) (5 ) (3 ) Other comprehensive income (loss) (2 ) (2 ) 5 1 — 1 — — — Purchases — — 9 — — — — — — Settlements (31 ) (7 ) — (65 ) (1 ) (30 ) — (11 ) 37 2 FG VIE consolidations — — — — 104 — — (131 ) — FG VIE deconsolidations — — — — — — — — — Fair value as of March 31, 2015 $ 8 $ 79 $ 383 $ 226 $ 1,495 $ 40 $ (782 ) $ (1,278 ) $ (145 ) Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2015 $ 0 $ (2 ) $ 7 $ 1 $ 34 $ 3 $ 103 $ (6 ) $ (4 ) ____________________ (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, net investment income and other income. (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) Primarily non-cash transaction. (8) Includes CCS and other invested assets. |
Fair Value, Liabilities Measured on Recurring Basis | Fair Value Level 3 Rollforward Recurring Basis First Quarter 2016 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- Short-Term Investments FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of December 31, 2015 $ 8 $ 71 $ 348 $ 657 $ 60 $ 1,261 $ 65 $ (365 ) $ (1,225 ) $ (124 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 0 (2 ) 2 (2 ) (2 ) (2 ) 1 (2 ) 0 (2 ) (4 ) (3 ) (16 ) (4 ) (60 ) (6 ) 21 (3 ) 2 (3 ) Other comprehensive income (loss) 0 1 (5 ) (5 ) 0 — 0 — — — Purchases — — 34 — — — — — — — Settlements (1 ) — (15 ) (14 ) (60 ) (66 ) — (9 ) 39 3 FG VIE consolidations — — — — — — — — — — FG VIE deconsolidations — — 0 — — 0 — — 0 — Fair value as of March 31, 2016 $ 7 $ 74 $ 360 $ 639 $ — $ 1,191 $ 49 $ (434 ) $ (1,165 ) $ (119 ) Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2016 $ 0 $ 1 $ (6 ) $ (5 ) $ — $ 4 $ (16 ) $ (79 ) $ 21 $ 1 Fair Value Level 3 Rollforward Recurring Basis First Quarter 2015 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of December 31, 2014 $ 38 $ 79 $ 425 $ 228 $ 1,398 $ 37 $ (895 ) $ (1,277 ) $ (142 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 3 (2 ) 2 (2 ) 9 (2 ) (2 ) (2 ) 23 (3 ) 2 (4 ) 124 (6 ) 93 (3 ) (5 ) (3 ) Other comprehensive income (loss) (2 ) (2 ) 5 1 — 1 — — — Purchases — — 9 — — — — — — Settlements (31 ) (7 ) — (65 ) (1 ) (30 ) — (11 ) 37 2 FG VIE consolidations — — — — 104 — — (131 ) — FG VIE deconsolidations — — — — — — — — — Fair value as of March 31, 2015 $ 8 $ 79 $ 383 $ 226 $ 1,495 $ 40 $ (782 ) $ (1,278 ) $ (145 ) Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2015 $ 0 $ (2 ) $ 7 $ 1 $ 34 $ 3 $ 103 $ (6 ) $ (4 ) ____________________ (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, net investment income and other income. (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) Primarily non-cash transaction. (8) Includes CCS and other invested assets. |
Schedule of Quantitative Information About Level 3 Assets, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At March 31, 2016 Financial Instrument Description (1) Fair Value at March 31, 2016 (in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (2): Fixed-maturity securities (3): Corporate securities $ 74 Yield 20.2% RMBS 360 CPR 1.0 % - 9.8% 2.8% CDR 4.8 % - 12.8% 9.7% Loss severity 65.0 % - 100.0% 78.0% Yield 3.9 % - 8.9% 6.0% Asset-backed securities: Investor owned utility 71 Cash flow receipts 100.0% Collateral recovery period 2.7 years Discount factor 7.0% Triple-X life insurance transactions 321 Yield 3.5 % - 7.3% 4.9% Collateralized debt obligations ("CDO") 247 Yield 15.0% FG VIEs’ assets, at fair value 1,191 CPR 2.5 % - 8.6% 5.1% CDR 1.2 % - 23.1% 5.6% Loss severity 40.0 % - 100.0% 86.8% Yield 3.5 % - 20.9% 6.8% Other assets 46 Quotes from third party pricing $ 51 - $54 $53 Term (years) 5 years Financial Instrument Description (1) Fair Value at March 31, 2016 (in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Liabilities: Credit derivative liabilities, net (434 ) Year 1 loss estimates 0.0 % - 41.0% 0.8% Hedge cost (in bps) 25.5 - 231.8 52.8 Bank profit (in bps) 3.8 - 1,544.4 112.3 Internal floor (in bps) 7.0 - 100.0 18.2 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (1,284 ) CPR 2.5 % - 8.6% 5.1% CDR 1.2 % - 23.1% 5.6% Loss severity 40.0 % - 100.0% 86.8% Yield 3.5 % - 20.9% 5.9% ___________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. (2) Excludes several investments recorded in other invested assets with fair value of $7 million . (3) Excludes obligations of state and political subdivisions investments with fair value of $7 million . Quantitative Information About Level 3 Fair Value Inputs At December 31, 2015 Financial Instrument Description (1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (2): Fixed-maturity securities (3): Corporate securities 71 Yield 21.8% RMBS 348 CPR 0.3 % - 9.0% 2.6% CDR 2.7 % - 9.3% 7.0% Loss severity 60.0 % - 100.0% 74.0% Yield 4.7 % - 8.2% 6.0% Asset-backed securities: Investor owned utility 69 Cash flow receipts 100.0% Collateral recovery period 2.9 years Discount factor 7.0% Triple-X life insurance transactions 329 Yield 3.5 % - 7.5% 5.0% CDO 259 Yield 20.0% Short-term investments 60 Yield 17.0% FG VIEs’ assets, at fair value 1,261 CPR 0.3 % - 9.2% 3.9% CDR 1.2 % - 16.0% 4.7% Loss severity 40.0 % - 100.0% 85.9% Yield 1.9 % - 20.0% 6.4% Other assets 62 Quotes from third party pricing $44 - $46 $45 Term (years) 5 years Financial Instrument Description (1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Liabilities: Credit derivative liabilities, net (365 ) Year 1 loss estimates 0.0 % - 41.0% 0.6% Hedge cost (in bps) 32.8 - 282.0 66.3 Bank profit (in bps) 3.8 - 1,017.5 110.8 Internal floor (in bps) 7.0 - 100.0 16.8 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (1,349 ) CPR 0.3 % - 9.2% 3.9% CDR 1.2 % - 16.0% 4.7% Loss severity 40.0 % - 100.0% 85.9% Yield 1.9 % - 20.0% 5.6% ____________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. (2) Excludes several investments recorded in other invested assets with fair value of $7 million . (3) Excludes obligations of state and political subdivisions investments with fair value of $8 million . |
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At March 31, 2016 Financial Instrument Description (1) Fair Value at March 31, 2016 (in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (2): Fixed-maturity securities (3): Corporate securities $ 74 Yield 20.2% RMBS 360 CPR 1.0 % - 9.8% 2.8% CDR 4.8 % - 12.8% 9.7% Loss severity 65.0 % - 100.0% 78.0% Yield 3.9 % - 8.9% 6.0% Asset-backed securities: Investor owned utility 71 Cash flow receipts 100.0% Collateral recovery period 2.7 years Discount factor 7.0% Triple-X life insurance transactions 321 Yield 3.5 % - 7.3% 4.9% Collateralized debt obligations ("CDO") 247 Yield 15.0% FG VIEs’ assets, at fair value 1,191 CPR 2.5 % - 8.6% 5.1% CDR 1.2 % - 23.1% 5.6% Loss severity 40.0 % - 100.0% 86.8% Yield 3.5 % - 20.9% 6.8% Other assets 46 Quotes from third party pricing $ 51 - $54 $53 Term (years) 5 years Financial Instrument Description (1) Fair Value at March 31, 2016 (in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Liabilities: Credit derivative liabilities, net (434 ) Year 1 loss estimates 0.0 % - 41.0% 0.8% Hedge cost (in bps) 25.5 - 231.8 52.8 Bank profit (in bps) 3.8 - 1,544.4 112.3 Internal floor (in bps) 7.0 - 100.0 18.2 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (1,284 ) CPR 2.5 % - 8.6% 5.1% CDR 1.2 % - 23.1% 5.6% Loss severity 40.0 % - 100.0% 86.8% Yield 3.5 % - 20.9% 5.9% ___________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. (2) Excludes several investments recorded in other invested assets with fair value of $7 million . (3) Excludes obligations of state and political subdivisions investments with fair value of $7 million . Quantitative Information About Level 3 Fair Value Inputs At December 31, 2015 Financial Instrument Description (1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (2): Fixed-maturity securities (3): Corporate securities 71 Yield 21.8% RMBS 348 CPR 0.3 % - 9.0% 2.6% CDR 2.7 % - 9.3% 7.0% Loss severity 60.0 % - 100.0% 74.0% Yield 4.7 % - 8.2% 6.0% Asset-backed securities: Investor owned utility 69 Cash flow receipts 100.0% Collateral recovery period 2.9 years Discount factor 7.0% Triple-X life insurance transactions 329 Yield 3.5 % - 7.5% 5.0% CDO 259 Yield 20.0% Short-term investments 60 Yield 17.0% FG VIEs’ assets, at fair value 1,261 CPR 0.3 % - 9.2% 3.9% CDR 1.2 % - 16.0% 4.7% Loss severity 40.0 % - 100.0% 85.9% Yield 1.9 % - 20.0% 6.4% Other assets 62 Quotes from third party pricing $44 - $46 $45 Term (years) 5 years Financial Instrument Description (1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Liabilities: Credit derivative liabilities, net (365 ) Year 1 loss estimates 0.0 % - 41.0% 0.6% Hedge cost (in bps) 32.8 - 282.0 66.3 Bank profit (in bps) 3.8 - 1,017.5 110.8 Internal floor (in bps) 7.0 - 100.0 16.8 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (1,349 ) CPR 0.3 % - 9.2% 3.9% CDR 1.2 % - 16.0% 4.7% Loss severity 40.0 % - 100.0% 85.9% Yield 1.9 % - 20.0% 5.6% ____________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. (2) Excludes several investments recorded in other invested assets with fair value of $7 million . (3) Excludes obligations of state and political subdivisions investments with fair value of $8 million . |
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 $ 10,588 $ 10,588 $ 10,627 $ 10,627 Short-term investments 459 459 396 396 Other invested assets (1) 150 152 150 152 Credit derivative assets 55 55 81 81 FG VIEs’ assets, at fair value 1,191 1,191 1,261 1,261 Other assets 211 211 206 206 Liabilities: Financial guaranty insurance contracts (2) 3,804 9,500 3,998 8,712 Long-term debt 1,302 1,500 1,300 1,512 Credit derivative liabilities 489 489 446 446 FG VIEs’ liabilities with recourse, at fair value 1,165 1,165 1,225 1,225 FG VIEs’ liabilities without recourse, at fair value 119 119 124 124 Other liabilities 73 73 9 9 ____________________ (1) Includes investments not carried at fair value with a carrying value of $93 million and $93 million as of March 31, 2016 and December 31, 2015 , respectively. Excludes investments carried under the equity method. (2) 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 33
Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 As of December 31, 2015 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 14,302 57.5 % $ 14,808 57.9 % AA 4,624 18.6 4,821 18.8 A 2,253 9.1 2,144 8.4 BBB 2,108 8.5 2,212 8.6 BIG 1,579 6.3 1,609 6.3 Credit derivative net par outstanding $ 24,866 100.0 % $ 25,594 100.0 % Credit Derivatives Subordination and Ratings As of March 31, 2016 As of December 31, 2015 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 $ 5,197 30.7 % 42.8 % AAA $ 5,873 30.9 % 42.3 % AAA Synthetic investment grade pooled corporate 7,127 21.7 19.4 AAA 7,108 21.7 19.4 AAA TruPS CDOs 3,394 45.6 42.9 A- 3,429 45.8 42.6 A- Market value CDOs of corporate obligations 1,113 17.0 27.8 AAA 1,113 17.0 30.1 AAA Total pooled corporate obligations 16,831 29.0 31.9 AAA 17,523 29.2 32.3 AAA U.S. RMBS: Option ARM and Alt-A first lien 336 10.5 12.8 AA- 351 10.5 12.7 AA- Subprime first lien 951 27.7 45.0 AA 981 27.7 45.2 AA Prime first lien 169 10.9 0.0 BB 177 10.9 0.0 BB Closed-end second lien 16 — — CCC 17 — — CCC Total U.S. RMBS 1,472 24.1 37.3 A+ 1,526 24.1 37.4 A+ CMBS 496 44.7 53.8 AAA 530 44.8 52.6 AAA Other 6,067 — — A 6,015 — — A Total $ 24,866 AA+ $ 25,594 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. |
Net Change in Fair Value of Credit Derivatives | Net Change in Fair Value of Credit Derivatives Gain (Loss) First Quarter 2016 2015 (in millions) Realized gains on credit derivatives $ 10 $ 23 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (2 ) (2 ) Realized gains (losses) and other settlements on credit derivatives 8 21 Net change in unrealized gains (losses) on credit derivatives: Pooled corporate obligations (48 ) 17 U.S. RMBS (15 ) 75 CMBS 0 0 Other (5 ) 11 Net change in unrealized gains (losses) on credit derivatives (68 ) 103 Net change in fair value of credit derivatives $ (60 ) $ 124 |
Par and Accelerations From Termination of CDS Contracts | Net Par and Realized Gains from Terminations and Settlements of Credit Derivative Contracts First Quarter 2016 2015 (in millions) Net par of terminated credit derivative contracts $ — $ 93 Realized gains on credit derivatives 0 11 |
CDS Spread on AGC and AGM | CDS Spread on AGC and AGM Quoted price of CDS contract (in basis points) As of As of As of As of Five-year CDS spread: AGC 307 376 317 323 AGM 309 366 341 325 One-year CDS spread AGC 105 139 60 80 AGM 102 131 80 85 |
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 $ (1,509 ) $ (1,448 ) Plus: Effect of AGC and AGM credit spreads 1,075 1,083 Net fair value of credit derivatives (1) $ (434 ) $ (365 ) |
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 Asset Type As of As of As of As of (in millions) Pooled corporate obligations $ (131 ) $ (82 ) $ (4 ) $ (5 ) U.S. RMBS (113 ) (98 ) (33 ) (38 ) CMBS 0 0 — — Other (190 ) (185 ) 28 27 Total $ (434 ) $ (365 ) $ (9 ) $ (16 ) |
Effects of Changes in Credit Spread | Effect of Changes in Credit Spread As of March 31, 2016 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (883 ) $ (449 ) 50% widening in spreads (658 ) (224 ) 25% widening in spreads (547 ) (113 ) 10% widening in spreads (479 ) (45 ) Base Scenario (434 ) — 10% narrowing in spreads (392 ) 42 25% narrowing in spreads (329 ) 105 50% narrowing in spreads (226 ) 208 ____________________ (1) Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Consolidated Variable Interes34
Consolidated Variable Interest Entities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 First Quarter 2016 2015 (in millions) Net earned premiums $ (5 ) $ (5 ) Net investment income (5 ) (3 ) Net realized investment gains (losses) 1 0 Fair value gains (losses) on FG VIEs 18 (7 ) Loss and LAE 6 5 Effect on income before tax 15 (10 ) Less: tax provision (benefit) 5 (4 ) Effect on net income (loss) $ 10 $ (6 ) Effect on cash flows from operating activities $ 6 $ 18 As of As of (in millions) Effect on shareholders’ equity (decrease) increase $ (12 ) $ (23 ) Number of FG VIEs Consolidated First Quarter 2016 2015 Beginning of the period, December 31 34 32 Consolidated (1) — 1 Deconsolidated (1) (1 ) — End of the period, September 30 33 33 ____________________ (1) Net loss on deconsolidation was de minimis in First Quarter 2016 , and net loss on consolidation was $26 million in First Quarter 2015 , 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 March 31, 2016 As of December 31, 2015 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 457 $ 495 $ 506 $ 521 U.S. RMBS second lien 189 250 194 273 Life insurance 339 339 347 347 Manufactured housing 81 81 84 84 Total with recourse 1,066 1,165 1,131 1,225 Without recourse 125 119 130 124 Total $ 1,191 $ 1,284 $ 1,261 $ 1,349 |
Investments and Cash (Tables)
Investments and Cash (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Net Investment Income | Net Investment Income First Quarter 2016 2015 (in millions) Income from fixed-maturity securities managed by third parties $ 79 $ 82 Income from internally managed securities: Fixed maturities 17 15 Other 5 6 Gross investment income 101 103 Investment expenses (2 ) (2 ) Net investment income $ 99 $ 101 |
Net Realized Investment Gains (Losses) | Net Realized Investment Gains (Losses) First Quarter 2016 2015 (in millions) Gross realized gains on available-for-sale securities $ 6 $ 24 Gross realized gains on other assets in investment portfolio — 1 Gross realized losses on available-for-sale securities (2 ) (1 ) Gross realized losses on other assets in investment portfolio (1 ) (1 ) Other-than-temporary impairment (16 ) (7 ) Net realized investment gains (losses) $ (13 ) $ 16 |
Roll Forward of Credit Losses in the Investment Portfolio | Roll Forward of Credit Losses in the Investment Portfolio First Quarter 2016 2015 (in millions) Balance, beginning of period $ 108 $ 124 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 1 — Reductions for securities sold and other settlement during the period (2 ) (21 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 0 3 Balance, end of period $ 107 $ 106 |
Fixed Maturity Securities and Short Term Investments by Security Type | Fixed-Maturity Securities and Short-Term Investments by Security Type As of March 31, 2016 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 51 % $ 5,417 $ 360 $ (1 ) $ 5,776 $ 3 AA U.S. government and agencies 4 379 26 0 405 — AA+ Corporate securities 14 1,473 69 (17 ) 1,525 (11 ) A- Mortgage-backed securities(4): 0 RMBS 11 1,222 37 (20 ) 1,239 (13 ) A CMBS 5 531 25 0 556 — AAA Asset-backed securities 8 821 3 (13 ) 811 (11 ) B+ Foreign government securities 3 280 5 (9 ) 276 — AA+ Total fixed-maturity securities 96 10,123 525 (60 ) 10,588 (32 ) A+ Short-term investments 4 459 0 0 459 — AAA Total investment portfolio 100 % $ 10,582 $ 525 $ (60 ) $ 11,047 $ (32 ) A+ Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2015 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 52 % $ 5,528 $ 323 $ (10 ) $ 5,841 $ 5 AA U.S. government and agencies 3 377 23 0 400 — AA+ Corporate securities 14 1,505 38 (23 ) 1,520 (13 ) A- Mortgage-backed securities(4): RMBS 11 1,238 29 (22 ) 1,245 (7 ) A CMBS 5 506 9 (2 ) 513 — AAA Asset-backed securities 8 831 4 (10 ) 825 (6 ) B+ Foreign government securities 3 290 4 (11 ) 283 — AA+ Total fixed-maturity securities 96 10,275 430 (78 ) 10,627 (21 ) A+ Short-term investments 4 396 0 0 396 — AA- Total investment portfolio 100 % $ 10,671 $ 430 $ (78 ) $ 11,023 $ (21 ) A+ ____________________ (1) Based on amortized cost. (2) Accumulated OCI. See also Note 17, Shareholders' Equity. (3) Ratings in the tables above represent the lower of the Moody’s and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company’s portfolio consists primarily of high-quality, liquid instruments. (4) Government-agency obligations were approximately 52% of mortgage backed securities as of March 31, 2016 and 54% as of December 31, 2015 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 March 31, 2016 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 $ 58 $ 0 $ 87 $ (1 ) $ 145 $ (1 ) U.S. government and agencies 7 0 — — 7 0 Corporate securities 78 (2 ) 122 (15 ) 200 (17 ) Mortgage-backed securities: RMBS 123 (5 ) 182 (15 ) 305 (20 ) CMBS 7 0 5 0 12 0 Asset-backed securities 456 (13 ) — — 456 (13 ) Foreign government securities 91 (4 ) 53 (5 ) 144 (9 ) Total $ 820 $ (24 ) $ 449 $ (36 ) $ 1,269 $ (60 ) Number of securities (1) 110 82 185 Number of securities with other-than-temporary impairment 12 6 18 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2015 Less than 12 months 12 months or more Total Fair Unrealized Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 316 $ (10 ) $ 7 $ 0 $ 323 $ (10 ) U.S. government and agencies 77 0 — — 77 0 Corporate securities 381 (8 ) 95 (15 ) 476 (23 ) Mortgage-backed securities: RMBS 438 (8 ) 90 (14 ) 528 (22 ) CMBS 140 (2 ) 2 0 142 (2 ) Asset-backed securities 517 (10 ) — — 517 (10 ) Foreign government securities 97 (4 ) 82 (7 ) 179 (11 ) Total $ 1,966 $ (42 ) $ 276 $ (36 ) $ 2,242 $ (78 ) Number of securities (1) 335 71 396 Number of securities with other-than-temporary impairment 9 4 13 ___________________ (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 March 31, 2016 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 469 $ 470 Due after one year through five years 1,654 1,719 Due after five years through 10 years 2,195 2,320 Due after 10 years 4,052 4,284 Mortgage-backed securities: RMBS 1,222 1,239 CMBS 531 556 Total $ 10,123 $ 10,588 |
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 $ 1,264 $ 1,266 Other invested assets 112 114 Other 55 55 Total $ 1,431 $ 1,435 |
Insurance Company Regulatory 36
Insurance Company Regulatory Requirements (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Insurance Company Regulatory Requirements [Abstract] | |
Schedule of Dividends Paid by Insurance Company Subsidiaries | Dividends and Surplus Notes By Insurance Company Subsidiaries First Quarter 2016 2015 (in millions) Dividends paid by AGC to AGUS $ — $ 20 Dividends paid by AGM to AGMH 95 66 Dividends paid by AG Re to AGL 25 50 Repayment of surplus note by AGM to AGMH — 25 |
Income Taxes (Tables)
Income Taxes (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Effective Tax Rate Reconciliation | Effective Tax Rate Reconciliation First Quarter 2016 2015 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 18 $ 77 Tax-exempt interest (13 ) (14 ) Change in liability for uncertain tax positions 0 1 Other 1 1 Total provision (benefit) for income taxes $ 6 $ 65 Effective tax rate 10.0 % 24.2 % |
Pretax Income (Loss) by Tax Jurisdiction | Pretax Income (Loss) by Tax Jurisdiction First Quarter 2016 2015 (in millions) United States $ 55 $ 223 Bermuda 17 50 U.K. (7 ) (7 ) Total $ 65 $ 266 |
Revenue by Tax Jurisdiction | Revenue by Tax Jurisdiction First Quarter 2016 2015 (in millions) United States $ 205 $ 300 Bermuda 42 73 U.K. (2 ) (4 ) Total $ 245 $ 369 |
Reinsurance and Other Monolin38
Reinsurance and Other Monoline Exposures (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Insurance [Abstract] | |
Effects of Reinsurance on Statement of Operations | Effect of Reinsurance on Statement of Operations First Quarter 2016 2015 (in millions) Premiums Written: Direct $ 21 $ 29 Assumed (2 ) 3 Ceded (17 ) 0 Net $ 2 $ 32 Premiums Earned: Direct $ 190 $ 148 Assumed 8 10 Ceded (15 ) (16 ) Net $ 183 $ 142 Loss and LAE: Direct $ 109 $ 26 Assumed (14 ) (7 ) Ceded (5 ) (1 ) Net $ 90 $ 18 |
Exposure by Reinsurer | Exposure by Reinsurer Ratings at Par Outstanding (1) May 3, 2016 As of March 31, 2016 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 (2) WR (3) WR $ 4,960 $ — $ 30 Tokio Marine & Nichido Fire Insurance Co., Ltd. (2) Aa3 (4) A+ (4) 4,171 — — Syncora Guarantee Inc. (2) WR WR 2,411 1,319 700 Mitsui Sumitomo Insurance Co. Ltd. (2) A1 A+ (4) 1,718 — — ACA Financial Guaranty Corp. NR (5) WR 700 38 — Ambac WR WR 117 3,892 9,589 National (6) A3 AA- — 5,139 5,065 MBIA (7) (7) — 1,591 428 FGIC (8) (8) — 1,437 636 Ambac Assurance Corp. Segregated Account NR NR — 86 823 CIFG Assurance North America Inc. WR WR — 43 2,784 Other (2) Various Various 76 776 128 Total $ 14,153 $ 14,321 $ 20,183 ____________________ (1) Includes par related to insured credit derivatives. (2) The total collateral posted by all non-affiliated reinsurers required or agreeing to post collateral as of March 31, 2016 was approximately $436 million . (3) Represents “Withdrawn Rating.” (4) The Company benefits from trust arrangements that satisfy the triple-A credit requirement of S&P and/or Moody’s. (5) Represents “Not Rated.” (6) Rated AA+ by KBRA. (7) MBIA includes subsidiaries MBIA Insurance Corp. rated B by S&P and B3 by Moody's and MBIA U.K. Insurance Ltd. rated BB by S&P and Ba2 by Moody’s. (8) FGIC includes subsidiaries Financial Guaranty Insurance Company and FGIC UK Limited both of which had their ratings withdrawn by rating agencies. |
Amounts Due (To) From Reinsurers | Amounts Due (To) From Reinsurers As of March 31, 2016 Assumed Premium, net of Commissions Ceded Premium, net of Commissions Assumed Ceded (in millions) American Overseas Reinsurance Company Limited $ — $ (6 ) $ — $ 25 Tokio Marine & Nichido Fire Insurance Co., Ltd. — (11 ) — 44 Syncora Guarantee Inc. 15 (21 ) — 5 Mitsui Sumitomo Insurance Co. Ltd. — (3 ) — 18 Ambac 39 — (3 ) — National 6 — (4 ) — MBIA 5 — (10 ) — FGIC 4 — (15 ) — Ambac Assurance Corp. Segregated Account 10 — (46 ) — CIFG Assurance North America Inc. 0 — (63 ) — Other — (12 ) — — Total $ 79 $ (53 ) $ (141 ) $ 92 |
Long-Term Debt and Credit Fac39
Long-Term Debt and Credit Facilities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Principal and Carrying Amounts of Debt | Principal and Carrying Amounts of Debt As of March 31, 2016 As of December 31, 2015 Principal Carrying Value Principal Carrying Value (in millions) AGUS: 7% Senior Notes $ 200 $ 197 $ 200 $ 197 5% Senior Notes 500 496 500 495 Series A Enhanced Junior Subordinated Debentures 150 150 150 150 Total AGUS 850 843 850 842 AGMH: 6 7 / 8 % QUIBS 100 69 100 69 6.25% Notes 230 140 230 140 5.6% Notes 100 56 100 56 Junior Subordinated Debentures 300 182 300 180 Total AGMH 730 447 730 445 AGM: Notes Payable 11 12 12 13 Total AGM 11 12 12 13 Total $ 1,591 $ 1,302 $ 1,592 $ 1,300 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Earnings Per Share [Abstract] | |
Schedule of computation of basic and diluted earnings per share | Computation of Earnings Per Share First Quarter 2016 2015 (in millions) Basic earnings per share ("EPS"): Net income (loss) attributable to AGL $ 59 $ 201 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 58 $ 201 Basic shares 136.2 155.8 Basic EPS $ 0.43 $ 1.29 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 58 $ 201 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 58 $ 201 Basic shares 136.2 155.8 Dilutive securities: Options and restricted stock awards 0.8 1.0 Diluted shares 137.0 156.8 Diluted EPS $ 0.43 $ 1.28 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.8 0.7 |
Schedule of antidilutive securities excluded from computation of earnings per share | Computation of Earnings Per Share First Quarter 2016 2015 (in millions) Basic earnings per share ("EPS"): Net income (loss) attributable to AGL $ 59 $ 201 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 58 $ 201 Basic shares 136.2 155.8 Basic EPS $ 0.43 $ 1.29 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 58 $ 201 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 58 $ 201 Basic shares 136.2 155.8 Dilutive securities: Options and restricted stock awards 0.8 1.0 Diluted shares 137.0 156.8 Diluted EPS $ 0.43 $ 1.28 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.8 0.7 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Changes in Accumulated Other Comprehensive Income by Component | Changes in Accumulated Other Comprehensive Income by Component First Quarter 2016 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, 2015 $ 260 $ (15 ) $ (16 ) $ 8 $ 237 Other comprehensive income (loss) before reclassifications 95 (17 ) (2 ) — 76 Amounts reclassified from AOCI to: Net realized investment gains (losses) (4 ) 17 — — 13 Net investment income (3 ) — — — (3 ) Interest expense — — — 0 0 Total before tax (7 ) 17 — 0 10 Tax (provision) benefit 2 (6 ) — 0 (4 ) Total amount reclassified from AOCI, net of tax (5 ) 11 — 0 6 Net current period other comprehensive income (loss) 90 (6 ) (2 ) 0 82 Balance, March 31, 2016 $ 350 $ (21 ) $ (18 ) $ 8 $ 319 Changes in Accumulated Other Comprehensive Income by Component First 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, December 31, 2014 $ 367 $ 4 $ (10 ) $ 9 $ 370 Other comprehensive income (loss) before reclassifications 18 (2 ) (5 ) — 11 Amounts reclassified from AOCI to: Net realized investment gains (losses) (20 ) 4 — — (16 ) Interest expense — — — (1 ) (1 ) Total before tax (20 ) 4 — (1 ) (17 ) Tax (provision) benefit 7 (1 ) — 0 6 Total amount reclassified from AOCI, net of tax (13 ) 3 — (1 ) (11 ) Net current period other comprehensive income (loss) 5 1 (5 ) (1 ) 0 Balance, March 31, 2015 $ 372 $ 5 $ (15 ) $ 8 $ 370 |
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 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 2015 (October 1 - December 31) 5,035,637 135 26.81 Total 2015 20,995,419 555 26.43 2016 (January 1 - March 31) 3,038,928 75 24.69 2016 (April 1 - through May 4, 2016) 793,672 20 25.20 Total 2016 3,832,600 95 24.80 Cumulative repurchases since the beginning of 2013 61,754,559 $ 1,504 $ 24.36 |
Subsidiary Information (Tables)
Subsidiary Information (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Condensed Financial Information of Parent Company Only Disclosure [Abstract] | |
Condensed Consolidating Balance Sheet | CONDENSED CONSOLIDATING BALANCE SHEET AS OF MARCH 31, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 80 $ 94 $ 23 $ 11,489 $ (360 ) $ 11,326 Investment in subsidiaries 6,003 5,570 4,077 389 (16,039 ) — Premiums receivable, net of commissions payable — — — 792 (130 ) 662 Ceded unearned premium reserve — — — 1,236 (1,000 ) 236 Deferred acquisition costs — — — 172 (59 ) 113 Reinsurance recoverable on unpaid losses — — — 491 (419 ) 72 Credit derivative assets — — — 163 (108 ) 55 Deferred tax asset, net — 40 — 368 (130 ) 278 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,191 — 1,191 Other 34 46 28 645 (234 ) 519 TOTAL ASSETS $ 6,117 $ 5,750 $ 4,128 $ 17,026 $ (18,569 ) $ 14,452 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,914 $ (1,104 ) $ 3,810 Loss and LAE reserve — — — 1,605 (493 ) 1,112 Long-term debt — 842 447 13 — 1,302 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 597 (108 ) 489 Deferred tax liabilities, net — — 90 — (90 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,284 — 1,284 Other 4 26 18 655 (361 ) 342 TOTAL LIABILITIES 4 958 555 9,368 (2,546 ) 8,339 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,113 4,792 3,573 7,269 (15,634 ) 6,113 Noncontrolling interest — — — 389 (389 ) — TOTAL SHAREHOLDERS' EQUITY 6,113 4,792 3,573 7,658 (16,023 ) 6,113 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,117 $ 5,750 $ 4,128 $ 17,026 $ (18,569 ) $ 14,452 CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 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 $ 10 $ 156 $ 22 $ 11,530 $ (360 ) $ 11,358 Investment in subsidiaries 5,961 5,569 4,081 377 (15,988 ) — Premiums receivable, net of commissions payable — — — 833 (140 ) 693 Ceded unearned premium reserve — — — 1,266 (1,034 ) 232 Deferred acquisition costs — — — 176 (62 ) 114 Reinsurance recoverable on unpaid losses — — — 467 (398 ) 69 Credit derivative assets — — — 207 (126 ) 81 Deferred tax asset, net — 52 — 357 (133 ) 276 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,261 — 1,261 Other 98 29 26 571 (264 ) 460 TOTAL ASSETS $ 6,069 $ 5,806 $ 4,129 $ 17,135 $ (18,595 ) $ 14,544 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 5,143 $ (1,147 ) $ 3,996 Loss and LAE reserve — — — 1,537 (470 ) 1,067 Long-term debt — 842 445 13 — 1,300 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 572 (126 ) 446 Deferred tax liabilities, net — — 91 — (91 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,349 — 1,349 Other 6 82 15 622 (402 ) 323 TOTAL LIABILITIES 6 1,014 551 9,536 (2,626 ) 8,481 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,063 4,792 3,578 7,222 (15,592 ) 6,063 Noncontrolling interest — — — 377 (377 ) — TOTAL SHAREHOLDERS’ EQUITY 6,063 4,792 3,578 7,599 (15,969 ) 6,063 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,069 $ 5,806 $ 4,129 $ 17,135 $ (18,595 ) $ 14,544 |
Condensed Consolidating Statement of Operations and Comprehensive Income | CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED MARCH 31, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 192 $ (9 ) $ 183 Net investment income 0 0 0 100 (1 ) 99 Net realized investment gains (losses) 0 — — (12 ) (1 ) (13 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 8 0 8 Net unrealized gains (losses) — — — (68 ) — (68 ) Net change in fair value of credit derivatives — — — (60 ) 0 (60 ) Bargain purchase gain and settlement of pre-existing relationships — — — — — — Other 0 — — 36 — 36 TOTAL REVENUES 0 0 0 256 (11 ) 245 EXPENSES Loss and LAE — — — 93 (3 ) 90 Amortization of deferred acquisition costs — — — 7 (3 ) 4 Interest expense — 13 13 3 (3 ) 26 Other operating expenses 8 0 1 52 (1 ) 60 TOTAL EXPENSES 8 13 14 155 (10 ) 180 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (8 ) (13 ) (14 ) 101 (1 ) 65 Total (provision) benefit for income taxes — 5 5 (16 ) 0 (6 ) Equity in net earnings of subsidiaries 67 50 77 9 (203 ) — NET INCOME (LOSS) $ 59 $ 42 $ 68 $ 94 $ (204 ) $ 59 Less: noncontrolling interest — — — 9 (9 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 59 $ 42 $ 68 $ 85 $ (195 ) $ 59 COMPREHENSIVE INCOME (LOSS) $ 141 $ 80 $ 92 $ 178 $ (350 ) $ 141 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED MARCH 31, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 140 $ 2 $ 142 Net investment income 0 0 0 104 (3 ) 101 Net realized investment gains (losses) 0 0 0 19 (3 ) 16 Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 21 0 21 Net unrealized gains (losses) — — — 103 — 103 Net change in fair value of credit derivatives — — — 124 0 124 Other — — — (14 ) — (14 ) TOTAL REVENUES 0 0 0 373 (4 ) 369 EXPENSES Loss and LAE — — — 18 0 18 Amortization of deferred acquisition costs — — — 6 (2 ) 4 Interest expense — 13 13 4 (5 ) 25 Other operating expenses 8 0 0 48 0 56 TOTAL EXPENSES 8 13 13 76 (7 ) 103 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (8 ) (13 ) (13 ) 297 3 266 Total (provision) benefit for income taxes — 5 5 (72 ) (3 ) (65 ) Equity in net earnings of subsidiaries 209 163 92 9 (473 ) — NET INCOME (LOSS) $ 201 $ 155 $ 84 $ 234 $ (473 ) $ 201 Less: noncontrolling interest — — — 9 (9 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 201 $ 155 $ 84 $ 225 $ (464 ) $ 201 COMPREHENSIVE INCOME (LOSS) $ 201 $ 134 $ 80 $ 233 $ (447 ) $ 201 |
Condensed Consolidating Statement of Cash Flows | CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE THREE MONTHS ENDED MARCH 31, 2016 (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 $ 166 $ 17 $ 88 $ (74 ) $ (287 ) $ (90 ) Cash flows from investing activities Fixed-maturity securities: Purchases (4 ) (11 ) — (281 ) — (296 ) Sales 1 — — 161 — 162 Maturities — — — 301 — 301 Sales (purchases) of short-term investments, net (69 ) 11 — (5 ) — (63 ) Net proceeds from financial guaranty variable entities’ assets — — — 66 — 66 Intercompany debt — — — — — — Investment in subsidiary — — — — — — Other — — — 2 — 2 Net cash flows provided by (used in) investing activities (72 ) 0 — 244 — 172 Cash flows from financing activities Return of capital — — — — — — Dividends paid (18 ) (80 ) (87 ) (120 ) 287 (18 ) Repurchases of common stock (75 ) — — — — (75 ) Share activity under option and incentive plans 0 — — — — 0 Net paydowns of financial guaranty variable entities’ liabilities — — — (42 ) — (42 ) Payment of long-term debt — — — 0 — 0 Intercompany debt — — — — — — Other — — — (1 ) — (1 ) Net cash flows provided by (used in) financing activities (93 ) (80 ) (87 ) (163 ) 287 (136 ) Effect of exchange rate changes — — — 0 — 0 Increase (decrease) in cash 1 (63 ) 1 7 — (54 ) Cash at beginning of period 0 95 8 63 — 166 Cash at end of period $ 1 $ 32 $ 9 $ 70 $ — $ 112 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE THREE MONTHS ENDED MARCH 31, 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 $ 97 $ 127 $ 59 $ 34 $ (294 ) $ 23 Cash flows from investing activities Fixed-maturity securities: Purchases — (46 ) (6 ) (396 ) — (448 ) Sales — 122 11 708 — 841 Maturities — 4 — 151 — 155 Sales (purchases) of short-term investments, net 79 43 19 279 — 420 Net proceeds from financial guaranty variable entities’ assets — — — 30 — 30 Intercompany debt — (200 ) — — 200 — Investment in subsidiary — — 25 — (25 ) — Other — — — 3 — 3 Net cash flows provided by (used in) investing activities 79 (77 ) 49 775 175 1,001 Cash flows from financing activities Return of capital — — — (25 ) 25 — Dividends paid (19 ) (50 ) (108 ) (136 ) 294 (19 ) Repurchases of common stock (152 ) — — — — (152 ) Share activity under option and incentive plans (5 ) — — — — (5 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (39 ) — (39 ) Payment of long-term debt — — — (1 ) — (1 ) Intercompany debt — — — 200 (200 ) — Other — — — 4 — 4 Net cash flows provided by (used in) financing activities (176 ) (50 ) (108 ) 3 119 (212 ) Effect of exchange rate changes — — — (2 ) — (2 ) Increase (decrease) in cash — — — 810 — 810 Cash at beginning of period 0 — 4 71 — 75 Cash at end of period $ 0 $ — $ 4 $ 881 $ — $ 885 |
Business and Basis of Present43
Business and Basis of Presentation Business and Basis of Presentation (Details) | Mar. 31, 2016Company |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of holding companies having outstanding public debt | 2 |
Acquisitions - Narrative (Detai
Acquisitions - Narrative (Details) $ in Millions | Apr. 01, 2015USD ($) | Jun. 30, 2016USD ($) | Mar. 31, 2016Company | Dec. 31, 2015USD ($) |
Business Acquisition [Line Items] | ||||
Financial guaranty companies acquired | Company | 2 | |||
Radian [Member] | ||||
Business Acquisition [Line Items] | ||||
Net par amount outstanding assumed in business acquisition | $ 13,600 | |||
Subsidiaries [Member] | Radian [Member] | ||||
Business Acquisition [Line Items] | ||||
Cash purchase price | $ 804.5 | |||
CIFG Holding Inc. [Member] | ||||
Business Acquisition [Line Items] | ||||
Statutory capital | $ 637 | |||
Net par amount outstanding assumed in business acquisition | $ 5,600 | |||
Forecast [Member] | Subsidiaries [Member] | CIFG Holding Inc. [Member] | ||||
Business Acquisition [Line Items] | ||||
Expected payments in cash to acquire business | $ 450 |
Outstanding Exposure - Debt Ser
Outstanding Exposure - Debt Service Outstanding (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 538,642 | $ 559,470 |
Net Debt Service Outstanding | 516,399 | 536,341 |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 496,630 | 515,494 |
Net Debt Service Outstanding | 476,362 | 494,426 |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 42,012 | 43,976 |
Net Debt Service Outstanding | $ 40,037 | $ 41,915 |
Outstanding Exposure - Financia
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 347,015 | [1] | $ 358,571 | [2] |
% of total net par outstanding | 100.00% | [1] | 100.00% | [2] |
Loss mitigation bonds | $ 1,500 | $ 1,500 | ||
AAA [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 19,711 | $ 20,837 | ||
% of total net par outstanding | 5.70% | 5.80% | ||
AA [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 74,938 | $ 79,402 | ||
% of total net par outstanding | 21.60% | 22.10% | ||
A [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 155,345 | $ 167,246 | ||
% of total net par outstanding | 44.70% | 46.70% | ||
BBB [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 81,904 | $ 75,903 | ||
% of total net par outstanding | 23.60% | 21.20% | ||
BIG [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 15,117 | $ 15,183 | ||
% of total net par outstanding | 4.40% | 4.20% | ||
Public Finance [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 282,055 | [1] | $ 291,866 | [2] |
% of total net par outstanding | 100.00% | [1] | 100.00% | [2] |
Public Finance [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 29,385 | [1] | $ 29,577 | [2] |
% of total net par outstanding | 100.00% | [1] | 100.00% | [2] |
Public Finance [Member] | AAA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 2,541 | $ 3,053 | ||
% of total net par outstanding | 0.90% | 1.10% | ||
Public Finance [Member] | AAA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 688 | $ 709 | ||
% of total net par outstanding | 2.30% | 2.40% | ||
Public Finance [Member] | AA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 65,310 | $ 69,274 | ||
% of total net par outstanding | 23.20% | 23.70% | ||
Public Finance [Member] | AA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,969 | $ 2,017 | ||
% of total net par outstanding | 6.70% | 6.80% | ||
Public Finance [Member] | A [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 145,515 | $ 157,440 | ||
% of total net par outstanding | 51.60% | 53.90% | ||
Public Finance [Member] | A [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 6,695 | $ 6,765 | ||
% of total net par outstanding | 22.80% | 22.90% | ||
Public Finance [Member] | BBB [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 60,736 | $ 54,315 | ||
% of total net par outstanding | 21.50% | 18.60% | ||
Public Finance [Member] | BBB [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 18,622 | $ 18,708 | ||
% of total net par outstanding | 63.40% | 63.20% | ||
Public Finance [Member] | BIG [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 7,953 | $ 7,784 | ||
% of total net par outstanding | 2.80% | 2.70% | ||
Public Finance [Member] | BIG [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,411 | $ 1,378 | ||
% of total net par outstanding | 4.80% | 4.70% | ||
Structured Finance [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 30,452 | [1] | $ 31,770 | [2] |
% of total net par outstanding | 100.00% | [1] | 100.00% | [2] |
Structured Finance [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 5,123 | [1] | $ 5,358 | [2] |
% of total net par outstanding | 100.00% | [1] | 100.00% | [2] |
Structured Finance [Member] | AAA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 13,953 | $ 14,366 | ||
% of total net par outstanding | 45.80% | 45.20% | ||
Structured Finance [Member] | AAA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 2,529 | $ 2,709 | ||
% of total net par outstanding | 49.40% | 50.60% | ||
Structured Finance [Member] | AA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 7,505 | $ 7,934 | ||
% of total net par outstanding | 24.70% | 25.00% | ||
Structured Finance [Member] | AA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 154 | $ 177 | ||
% of total net par outstanding | 3.00% | 3.30% | ||
Structured Finance [Member] | A [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 2,584 | $ 2,486 | ||
% of total net par outstanding | 8.50% | 7.80% | ||
Structured Finance [Member] | A [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 551 | $ 555 | ||
% of total net par outstanding | 10.80% | 10.30% | ||
Structured Finance [Member] | BBB [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,279 | $ 1,515 | ||
% of total net par outstanding | 4.20% | 4.80% | ||
Structured Finance [Member] | BBB [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,267 | $ 1,365 | ||
% of total net par outstanding | 24.70% | 25.50% | ||
Structured Finance [Member] | BIG [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 5,131 | $ 5,469 | ||
% of total net par outstanding | 16.80% | 17.20% | ||
Structured Finance [Member] | BIG [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 622 | $ 552 | ||
% of total net par outstanding | 12.10% | 10.30% | ||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of March 31, 2016, which are primarily BIG. | |||
[2] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. |
Outstanding Exposure - Componen
Outstanding Exposure - Components of BIG Net Par Outstanding (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 347,015 | [1] | $ 358,571 | [2] |
Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,650 | 2,750 | ||
Trust Preferred Securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,296 | 4,379 | ||
Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,815 | 1,818 | ||
Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 20,137 | 21,114 | ||
BIG [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 15,117 | 15,183 | ||
BIG [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 216 | 216 | ||
BIG [Member] | Trust Preferred Securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 777 | 806 | ||
BIG [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 149 | 163 | ||
BIG [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 929 | 863 | ||
BIG [Member] | BIG 1 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 7,557 | 8,023 | ||
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 | 650 | 679 | ||
BIG [Member] | BIG 1 [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 12 | ||
BIG [Member] | BIG 1 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 743 | 672 | ||
BIG [Member] | BIG 2 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,495 | 4,129 | ||
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 | 127 | 127 | ||
BIG [Member] | BIG 2 [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 68 | 68 | ||
BIG [Member] | BIG 2 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 147 | 151 | ||
BIG [Member] | BIG 3 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,065 | 3,031 | ||
BIG [Member] | BIG 3 [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 216 | 216 | ||
BIG [Member] | BIG 3 [Member] | Trust Preferred Securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 0 | ||
BIG [Member] | BIG 3 [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 81 | 83 | ||
BIG [Member] | BIG 3 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 39 | 40 | ||
United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 282,055 | [1] | 291,866 | [2] |
United States [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 6,677 | 7,067 | ||
United States [Member] | BIG [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 7,953 | 7,784 | ||
United States [Member] | BIG [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,682 | 3,973 | ||
United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,608 | 4,765 | ||
United States [Member] | BIG [Member] | BIG 1 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 674 | 1,020 | ||
United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,191 | 2,883 | ||
United States [Member] | BIG [Member] | BIG 2 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 433 | 397 | ||
United States [Member] | BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 154 | 136 | ||
United States [Member] | BIG [Member] | BIG 3 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,575 | 2,556 | ||
Non United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 29,385 | [1] | 29,577 | [2] |
Non United States [Member] | BIG [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,411 | 1,378 | ||
Non United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 882 | 875 | ||
Non United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 529 | 503 | ||
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 | 425 | 445 | ||
First Lien [Member] | United States [Member] | Alt-A [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,238 | 1,353 | ||
First Lien [Member] | United States [Member] | Option ARM [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 235 | 252 | ||
First Lien [Member] | United States [Member] | Subprime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,305 | 3,457 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Prime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 248 | 284 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Alt-A [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 698 | 793 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Option ARM [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 135 | 141 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Subprime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,229 | 1,304 | ||
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 | 192 | 225 | ||
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 | 125 | 119 | ||
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 | 50 | 39 | ||
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 | 82 | 146 | ||
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 | 32 | 34 | ||
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 | 66 | 73 | ||
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 | 7 | 12 | ||
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 | 281 | 228 | ||
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 | 24 | 25 | ||
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 | 507 | 601 | ||
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 | 78 | 90 | ||
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 | 866 | 930 | ||
Second Lien [Member] | United States [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,474 | 1,560 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,372 | 1,451 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 225 | 491 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 47 | 50 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,100 | $ 910 | ||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of March 31, 2016, which are primarily BIG. | |||
[2] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. |
Outstanding Exposure - BIG Net
Outstanding Exposure - BIG Net Par Outstanding (Details) $ in Millions | Mar. 31, 2016USD ($)risk | Dec. 31, 2015USD ($)risk | |||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Credit Derivative | $ 24,866 | $ 25,594 | |||
Net par amount outstanding | 347,015 | [1] | 358,571 | [2] | |
BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [3] | 13,538 | 13,574 | ||
Net Par Outstanding, Credit Derivative | 1,579 | 1,609 | |||
Net par amount outstanding | $ 15,117 | $ 15,183 | |||
Number of Risks, Financial Guaranty Insurance | risk | [3],[4],[5] | 417 | 419 | ||
Number of Risks, Credit Derivative | risk | [4] | 31 | 32 | ||
Number of Risks | risk | [4] | 448 | 451 | ||
BIG [Member] | BIG 1 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [3] | $ 6,585 | $ 7,019 | ||
Net Par Outstanding, Credit Derivative | 972 | 1,004 | |||
Net par amount outstanding | $ 7,557 | $ 8,023 | |||
Number of Risks, Financial Guaranty Insurance | risk | [3],[4] | 202 | 202 | ||
Number of Risks, Credit Derivative | risk | [4] | 12 | 12 | ||
Number of Risks | risk | [4] | 214 | 214 | ||
BIG [Member] | BIG 2 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [3] | $ 4,015 | $ 3,655 | ||
Net Par Outstanding, Credit Derivative | 480 | 474 | |||
Net par amount outstanding | $ 4,495 | $ 4,129 | |||
Number of Risks, Financial Guaranty Insurance | risk | [3],[4] | 86 | 85 | ||
Number of Risks, Credit Derivative | risk | [4] | 7 | 8 | ||
Number of Risks | risk | [4] | 93 | 93 | ||
BIG [Member] | BIG 3 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [3] | $ 2,938 | $ 2,900 | ||
Net Par Outstanding, Credit Derivative | 127 | 131 | |||
Net par amount outstanding | $ 3,065 | $ 3,031 | |||
Number of Risks, Financial Guaranty Insurance | risk | [3],[4] | 129 | 132 | ||
Number of Risks, Credit Derivative | risk | [4] | 12 | 12 | ||
Number of Risks | risk | [4] | 141 | 144 | ||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of March 31, 2016, which are primarily BIG. | ||||
[2] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | ||||
[3] | Includes net par outstanding for VIEs. | ||||
[4] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. | ||||
[5] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure |
Outstanding Exposure - Puerto R
Outstanding Exposure - Puerto Rico Gross Par and Gross Debt Service Outstanding (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule of Insured Financial Obligations [Line Items] | |||
Gross Debt Service Outstanding | $ 538,642 | $ 559,470 | |
Puerto Rico [Member] | |||
Schedule of Insured Financial Obligations [Line Items] | |||
Gross par outstanding | 5,756 | 5,755 | |
Gross Debt Service Outstanding | 9,488 | 9,632 | |
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 | 2,965 |
Gross Debt Service Outstanding | [1] | 5,090 | 5,162 |
Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | |||
Schedule of Insured Financial Obligations [Line Items] | |||
Gross par outstanding | 2,791 | 2,790 | |
Gross Debt Service Outstanding | $ 4,398 | $ 4,470 | |
[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 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, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling. |
Outstanding Exposure - Puerto50
Outstanding Exposure - Puerto Rico Net Par Outstanding (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 347,015 | [1] | $ 358,571 | [2] | |
Puerto Rico [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 5,054 | 5,053 | |||
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 | 2,575 | |||
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 | [3] | 910 | 909 | ||
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 | 744 | |||
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 | 388 | |||
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 | [3] | 369 | 370 | ||
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 | 164 | [3] | ||
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 2,479 | 2,478 | |||
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 | 1,615 | 1,615 | |||
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | MFA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 387 | 387 | |||
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 | 270 | 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 | 188 | |||
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 | [3],[4] | 18 | 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 | $ 1 | |||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of March 31, 2016, which are primarily BIG. | ||||
[2] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | ||||
[3] | The Governor issued executive orders on November 30, 2015, and December 8, 2015, directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes and revenues pledged to secure the payment of bonds issued by PRHTA, PRIFA and PRCCDA. On January 7, 2016 the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes and revenues is unconstitutional, and demanding declaratory and injunctive relief. | ||||
[4] | On January 1, 2016 PRIFA defaulted on full payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately $451 thousand of claims for the interest payments on which PRIFA had defaulted. |
Outstanding Exposure - Amortiza
Outstanding Exposure - Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | ||
Estimated Net Par Amortization [Abstract] | ||||
Net par amount outstanding | $ 347,015 | [1] | $ 358,571 | [2] |
Estimated Net Debt Service Amortization [Abstract] | ||||
Total | 516,399 | 536,341 | ||
Puerto Rico [Member] | ||||
Estimated Net Par Amortization [Abstract] | ||||
2016 (April 1 – June 30) | 0 | |||
2016 (July 1 – September 30) | 302 | |||
2016 (October 1 – December 31) | 0 | |||
2,017 | 222 | |||
2,018 | 179 | |||
2,019 | 204 | |||
2,020 | 270 | |||
2,021 | 125 | |||
2,022 | 115 | |||
2,023 | 150 | |||
2,024 | 174 | |||
2,025 | 196 | |||
2026-2030 | 943 | |||
2031-2035 | 1,131 | |||
2036-2040 | 579 | |||
2041-2045 | 296 | |||
2046-2047 | 168 | |||
Net par amount outstanding | 5,054 | 5,053 | ||
Estimated Net Debt Service Amortization [Abstract] | ||||
2016 (April 1 – June 30) | 2 | |||
2016 (July 1 – September 30) | 428 | |||
2016 (October 1 – December 31) | 2 | |||
2,017 | 463 | |||
2,018 | 410 | |||
2,019 | 424 | |||
2,020 | 482 | |||
2,021 | 323 | |||
2,022 | 305 | |||
2,023 | 337 | |||
2,024 | 352 | |||
2,025 | 365 | |||
2026-2030 | 1,634 | |||
2031-2035 | 1,599 | |||
2036-2040 | 782 | |||
2041-2045 | 380 | |||
2046-2047 | 181 | |||
Total | 8,469 | |||
BIG [Member] | ||||
Estimated Net Par Amortization [Abstract] | ||||
Net par amount outstanding | 15,117 | 15,183 | ||
Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||
Estimated Net Par Amortization [Abstract] | ||||
2016 (April 1 – June 30) | 0 | |||
2016 (July 1 – September 30) | 98 | |||
2016 (October 1 – December 31) | 0 | |||
2,017 | 51 | |||
2,018 | 56 | |||
2,019 | 74 | |||
2,020 | 87 | |||
2,021 | 66 | |||
2,022 | 47 | |||
2,023 | 110 | |||
2,024 | 89 | |||
2,025 | 111 | |||
2026-2030 | 590 | |||
2031-2035 | 583 | |||
2036-2040 | 308 | |||
2041-2045 | 137 | |||
2046-2047 | 168 | |||
Net par amount outstanding | 2,575 | 2,575 | ||
Estimated Net Debt Service Amortization [Abstract] | ||||
2016 (April 1 – June 30) | 2 | |||
2016 (July 1 – September 30) | 161 | |||
2016 (October 1 – December 31) | 2 | |||
2,017 | 175 | |||
2,018 | 178 | |||
2,019 | 192 | |||
2,020 | 202 | |||
2,021 | 177 | |||
2,022 | 153 | |||
2,023 | 214 | |||
2,024 | 188 | |||
2,025 | 206 | |||
2026-2030 | 974 | |||
2031-2035 | 838 | |||
2036-2040 | 427 | |||
2041-2045 | 206 | |||
2046-2047 | 181 | |||
Total | 4,476 | |||
Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||
Estimated Net Par Amortization [Abstract] | ||||
2016 (April 1 – June 30) | 0 | |||
2016 (July 1 – September 30) | 204 | |||
2016 (October 1 – December 31) | 0 | |||
2,017 | 171 | |||
2,018 | 123 | |||
2,019 | 130 | |||
2,020 | 183 | |||
2,021 | 59 | |||
2,022 | 68 | |||
2,023 | 40 | |||
2,024 | 85 | |||
2,025 | 85 | |||
2026-2030 | 353 | |||
2031-2035 | 548 | |||
2036-2040 | 271 | |||
2041-2045 | 159 | |||
2046-2047 | 0 | |||
Net par amount outstanding | 2,479 | $ 2,478 | ||
Estimated Net Debt Service Amortization [Abstract] | ||||
2016 (April 1 – June 30) | 0 | |||
2016 (July 1 – September 30) | 267 | |||
2016 (October 1 – December 31) | 0 | |||
2,017 | 288 | |||
2,018 | 232 | |||
2,019 | 232 | |||
2,020 | 280 | |||
2,021 | 146 | |||
2,022 | 152 | |||
2,023 | 123 | |||
2,024 | 164 | |||
2,025 | 159 | |||
2026-2030 | 660 | |||
2031-2035 | 761 | |||
2036-2040 | 355 | |||
2041-2045 | 174 | |||
2046-2047 | 0 | |||
Total | $ 3,993 | |||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of March 31, 2016, which are primarily BIG. | |||
[2] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. |
Outstanding Exposure - Net Dire
Outstanding Exposure - Net Direct Economic Exposure to Selected European Countries (Details) $ in Millions | Mar. 31, 2016USD ($) | [1] |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | $ 2,194 | |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 838 | |
Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 450 | |
Hungary [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 379 | |
Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,285 | |
Italy [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | |
Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 84 | |
Portugal [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 84 | |
Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 375 | |
Spain [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 375 | |
Total Sovereign Exposure [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,557 | [2] |
Total Sovereign Exposure [Member] | Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 271 | [2] |
Total Sovereign Exposure [Member] | Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 827 | [2] |
Total Sovereign Exposure [Member] | Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 84 | [2] |
Total Sovereign Exposure [Member] | Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 375 | [2] |
Total Non-sovereign Exposure [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 637 | [3] |
Total Non-sovereign Exposure [Member] | Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 179 | [3] |
Total Non-sovereign Exposure [Member] | Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 458 | [3] |
Total Non-sovereign Exposure [Member] | Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [3] |
Total Non-sovereign Exposure [Member] | Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | $ 0 | [3] |
[1] | While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. | |
[2] | Sub-sovereign exposure in Selected European Countries includes transactions backed by receivables from or supported by sub-sovereigns, which are governmental or government-backed entities other than the ultimate governing body of the country. | |
[3] | Non-sovereign exposure in Selected European Countries includes debt of regulated utilities and RMBS. |
Outstanding Exposure - Narrativ
Outstanding Exposure - Narrative (Details) - USD ($) | Apr. 30, 2016 | Jan. 01, 2016 | Jul. 31, 2015 | Jul. 01, 2015 | Mar. 31, 2016 | Mar. 04, 2016 | Dec. 31, 2015 | Dec. 24, 2015 | Sep. 15, 2015 | |||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | $ 516,399,000,000 | $ 536,341,000,000 | ||||||||||
Indirect European exposure | 4,100,000,000 | |||||||||||
Net par amount outstanding | 347,015,000,000 | [1] | 358,571,000,000 | [2] | ||||||||
Pooled corporate obligations [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Indirect European exposure | 231,000,000 | |||||||||||
Structured Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | 40,037,000,000 | 41,915,000,000 | ||||||||||
Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | $ 476,362,000,000 | 494,426,000,000 | ||||||||||
BIG [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Maximum period of liquidity claims (in years) | 1 year | |||||||||||
Net par amount outstanding | $ 15,117,000,000 | 15,183,000,000 | ||||||||||
AAA [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 19,711,000,000 | 20,837,000,000 | ||||||||||
Ireland [Member] | Mortgage Loans on Real Estate [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | 107,000,000 | 102,000,000 | ||||||||||
United States [Member] | RMBS [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 6,677,000,000 | 7,067,000,000 | ||||||||||
United States [Member] | Structured Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 30,452,000,000 | [1] | 31,770,000,000 | [2] | ||||||||
United States [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 282,055,000,000 | [1] | 291,866,000,000 | [2] | ||||||||
United States [Member] | BIG [Member] | RMBS [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 3,682,000,000 | 3,973,000,000 | ||||||||||
United States [Member] | BIG [Member] | Structured Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 5,131,000,000 | 5,469,000,000 | ||||||||||
United States [Member] | BIG [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 7,953,000,000 | 7,784,000,000 | ||||||||||
United States [Member] | AAA [Member] | Structured Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 13,953,000,000 | 14,366,000,000 | ||||||||||
United States [Member] | AAA [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 2,541,000,000 | 3,053,000,000 | ||||||||||
Select European Countries [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Indirect European exposure | 206,000,000 | |||||||||||
Greece [Member] | Pooled corporate obligations [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Indirect European exposure | 6,000,000 | |||||||||||
Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | 8,469,000,000 | |||||||||||
Net par amount outstanding | 5,054,000,000 | 5,053,000,000 | ||||||||||
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 | 240,000,000 | |||||||||||
Commitments due before expiration date | 66,000,000 | |||||||||||
Other commitments, future minimum payments, Remainder of Fiscal Year | $ 110,000,000 | |||||||||||
Minimum [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Probability of paying more claims than being reimbursed (as a percent) | 50.00% | |||||||||||
Minimum [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Expiration date for insured financial obligation commitments | Apr. 1, 2016 | |||||||||||
Minimum [Member] | BIG [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Constant discount rate (as a percent) | 4.00% | |||||||||||
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% | |||||||||||
PRIFA [Member] | Puerto Rico [Member] | Public Finance [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Payment On Outstanding Principal Amount | $ 451,000 | |||||||||||
Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net Debt Service Outstanding | $ 4,476,000,000 | |||||||||||
Net par amount outstanding | 2,575,000,000 | 2,575,000,000 | ||||||||||
Subject to the Terms of the Recovery Act [Member] | PRHTA (Highway revenue) [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | [3] | 369,000,000 | 370,000,000 | |||||||||
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 | [3] | 910,000,000 | 909,000,000 | |||||||||
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 | 744,000,000 | ||||||||||
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 | 3,993,000,000 | |||||||||||
Net par amount outstanding | 2,479,000,000 | 2,478,000,000 | ||||||||||
Not Subject to the Terms of the Recovery Act [Member] | PRIFA [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | [3],[4] | 18,000,000 | 18,000,000 | |||||||||
Not Subject to the Terms of the Recovery Act [Member] | MFA [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | 387,000,000 | 387,000,000 | ||||||||||
Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico Sales Tax Financing Corporation [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Net par amount outstanding | $ 270,000,000 | $ 269,000,000 | ||||||||||
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 | |||||||||||
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 | |||||||||||
Puerto Rico Aqueduct and Sewer Authority [Member] | U.S. Justice Department and U.S. Environmental Protection Agency [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Settlement Agreement, Required Spending Threshold | $ 1,600,000,000 | |||||||||||
Settlement Agreement, Required Spending, Payable To Contractor | $ 140,000,000 | |||||||||||
Surety Bond [Member] | Restructuring Support Agreement [Member] | PREPA [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Possible liquidity claims, gross exposure | $ 113,000,000 | |||||||||||
Bridge Loan [Member] | Restructuring Support Agreement [Member] | PREPA [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Guarantor Obligations, Debt Financing Amount | $ 15,000,000 | |||||||||||
Subsequent Event [Member] | Government Development Bank [Member] | Puerto Rico [Member] | ||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||
Insured Financial Obligations, Insured Contractual Payments Under Moratorium, Amount | $ 422,000,000 | |||||||||||
Insured Financial Obligations, Debt Restructuring, Initial Litigation Period Forgone | 30 days | |||||||||||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of March 31, 2016, which are primarily BIG. | |||||||||||
[2] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | |||||||||||
[3] | The Governor issued executive orders on November 30, 2015, and December 8, 2015, directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes and revenues pledged to secure the payment of bonds issued by PRHTA, PRIFA and PRCCDA. On January 7, 2016 the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes and revenues is unconstitutional, and demanding declaratory and injunctive relief. | |||||||||||
[4] | On January 1, 2016 PRIFA defaulted on full payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately $451 thousand of claims for the interest payments on which PRIFA had defaulted. |
Expected Loss to be Paid - Net
Expected Loss to be Paid - Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Rollforward (Details) - USD ($) $ in Millions | 3 Months Ended | ||||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |||
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 | $ 1,391 | [1] | $ 1,169 | ||
Economic loss development after recoveries for R&W | 59 | (3) | |||
Accretion of discount | 9 | 7 | |||
Changes in discount rates | 63 | 7 | |||
Changes in timing and assumptions | (13) | (17) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (113) | (12) | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | $ 1,337 | [1] | 1,154 | ||
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 | $ 2 | 4 | |||
Expected LAE to be paid | 9 | $ 12 | |||
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 | 1,391 | ||||
Economic loss development after recoveries for R&W | 59 | (3) | |||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 1,337 | ||||
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 | 809 | [1] | 348 | ||
Economic loss development after recoveries for R&W | 99 | 6 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (5) | (2) | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 903 | [1] | 352 | ||
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 | 771 | [1] | 303 | ||
Economic loss development after recoveries for R&W | 98 | 9 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (5) | (2) | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 864 | [1] | 310 | ||
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 | 38 | [1] | 45 | ||
Economic loss development after recoveries for R&W | 1 | (3) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 0 | 0 | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 39 | [1] | 42 | ||
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 | 409 | [1] | 584 | ||
Economic loss development after recoveries for R&W | (31) | 4 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (85) | (18) | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 293 | [1] | 570 | ||
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 | 348 | [1] | 595 | ||
Economic loss development after recoveries for R&W | (36) | (2) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (84) | (24) | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 228 | [1] | 569 | ||
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 | (2) | [1] | 4 | ||
Economic loss development after recoveries for R&W | 0 | 0 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 1 | (1) | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | (1) | [1] | 3 | ||
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 | 127 | [1] | 304 | ||
Economic loss development after recoveries for R&W | (16) | (5) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (75) | (10) | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 36 | [1] | 289 | ||
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 | (28) | [1] | (16) | ||
Economic loss development after recoveries for R&W | (21) | 4 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 2 | (4) | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | (47) | [1] | (16) | ||
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 | 251 | [1] | 303 | ||
Economic loss development after recoveries for R&W | 1 | (1) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (12) | (9) | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 240 | [1] | 293 | ||
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 | 61 | [1] | (11) | ||
Economic loss development after recoveries for R&W | 5 | 6 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (1) | 6 | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 65 | [1] | 1 | ||
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 | 99 | [1] | 161 | ||
Economic loss development after recoveries for R&W | 4 | 5 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (1) | (1) | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 102 | [1] | 165 | ||
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 | 54 | [1] | 68 | ||
Economic loss development after recoveries for R&W | (14) | (6) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (8) | 0 | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 32 | [1] | 62 | ||
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 | 20 | [1] | 8 | ||
Economic loss development after recoveries for R&W | 1 | (12) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (14) | 9 | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 7 | [1] | 5 | ||
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 | 582 | [1] | 821 | ||
Economic loss development after recoveries for R&W | (40) | (9) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (108) | (10) | ||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | $ 434 | [1] | $ 802 | ||
[1] | Includes expected LAE to be paid of $9 million as of March 31, 2016 and $12 million as of December 31, 2015. | ||||
[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 $2 million and $4 million in loss adjustment expenses ("LAE") for First Quarter 2016 and 2015, respectively. |
Expected Loss to be Paid - Ne55
Expected Loss to be Paid - Net Expected Recoveries from Breaches of R&W Rollforward (Details) - RMBS [Member] - United States [Member] - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule of Expected Losses to be Paid [Line Items] | |||
Future net R&W benefit | [1] | $ 47 | $ 79 |
First Lien [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Future net R&W benefit | [1] | (30) | 0 |
Second Lien [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Future net R&W benefit | [1] | $ 77 | $ 79 |
[1] | The Company’s agreements with providers of breaches of R&W generally provide for reimbursement to the Company as claim payments are made and, to the extent the Company later receives reimbursements of such claims from excess spread or other sources, for the Company to provide reimbursement to the R&W providers. See the section “Breaches of Representations and Warranties” for information about the R&W agreements and eligible assets held in trust with respect to such agreements. When the Company projects receiving more reimbursements in the future than it projects to pay in claims, the Company will have a net R&W payable |
Expected Loss to be Paid - Ne56
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 | |||||||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | $ 1,337 | [1] | $ 1,154 | $ 1,391 | [1] | $ 1,169 | ||
Economic loss development after recoveries for R&W | 59 | (3) | ||||||
Subtotal [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 1,337 | 1,391 | ||||||
Economic loss development after recoveries for R&W | 59 | (3) | ||||||
Public Finance [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 903 | [1] | 352 | 809 | [1] | 348 | ||
Economic loss development after recoveries for R&W | 99 | 6 | ||||||
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 | 864 | [1] | 310 | 771 | [1] | $ 771 | 303 | |
Economic loss development after recoveries for R&W | 98 | 9 | ||||||
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 | 39 | [1] | 42 | 38 | [1] | 45 | ||
Economic loss development after recoveries for R&W | 1 | (3) | ||||||
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 | 293 | [1] | 570 | 409 | [1] | 584 | ||
Economic loss development after recoveries for R&W | (31) | 4 | ||||||
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 | 228 | [1] | 569 | 348 | [1] | 595 | ||
Economic loss development after recoveries for R&W | (36) | (2) | ||||||
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 | (1) | [1] | 3 | (2) | [1] | 4 | ||
Economic loss development after recoveries for R&W | 0 | 0 | ||||||
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 | 36 | [1] | 289 | 127 | [1] | 304 | ||
Economic loss development after recoveries for R&W | (16) | (5) | ||||||
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 | (47) | [1] | (16) | (28) | [1] | (16) | ||
Economic loss development after recoveries for R&W | (21) | 4 | ||||||
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 | 240 | [1] | 293 | 251 | [1] | 303 | ||
Economic loss development after recoveries for R&W | 1 | (1) | ||||||
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 | 65 | [1] | 1 | 61 | [1] | (11) | ||
Economic loss development after recoveries for R&W | 5 | 6 | ||||||
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 | 102 | [1] | 165 | 99 | [1] | 161 | ||
Economic loss development after recoveries for R&W | 4 | 5 | ||||||
Student Loan [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 32 | [1] | 62 | 54 | [1] | 68 | ||
Economic loss development after recoveries for R&W | (14) | (6) | ||||||
Other structured finance [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 7 | [1] | 5 | 20 | [1] | 8 | ||
Economic loss development after recoveries for R&W | 1 | (12) | ||||||
Structured Finance [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 434 | [1] | 802 | 582 | [1] | $ 821 | ||
Economic loss development after recoveries for R&W | (40) | (9) | ||||||
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 | 1,210 | 1,239 | ||||||
Economic loss development after recoveries for R&W | 61 | 12 | ||||||
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 | 903 | 809 | ||||||
Economic loss development after recoveries for R&W | 99 | 6 | ||||||
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 | 864 | 771 | ||||||
Economic loss development after recoveries for R&W | 98 | 9 | ||||||
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 | 39 | 38 | ||||||
Economic loss development after recoveries for R&W | 1 | (3) | ||||||
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 | 144 | 251 | ||||||
Economic loss development after recoveries for R&W | (31) | 8 | ||||||
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 | 125 | 238 | ||||||
Economic loss development after recoveries for R&W | (33) | 0 | ||||||
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 | ||||||
Economic loss development after recoveries for R&W | 0 | 1 | ||||||
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 | 19 | 110 | ||||||
Economic loss development after recoveries for R&W | (17) | 2 | ||||||
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 | (44) | (27) | ||||||
Economic loss development after recoveries for R&W | (19) | 1 | ||||||
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 | 148 | 153 | ||||||
Economic loss development after recoveries for R&W | 3 | (4) | ||||||
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 | 19 | 13 | ||||||
Economic loss development after recoveries for R&W | 2 | 8 | ||||||
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 | 91 | 88 | ||||||
Economic loss development after recoveries for R&W | 3 | 4 | ||||||
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 | 32 | 54 | ||||||
Economic loss development after recoveries for R&W | (14) | (6) | ||||||
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 | 40 | 37 | ||||||
Economic loss development after recoveries for R&W | 4 | 0 | ||||||
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 | 307 | 430 | ||||||
Economic loss development after recoveries for R&W | (38) | 6 | ||||||
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 | [2] | 118 | 136 | |||||
Economic loss development after recoveries for R&W | [3] | 4 | 2 | |||||
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 | [2] | 0 | 0 | |||||
Economic loss development after recoveries for R&W | [3] | 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 | [2] | 0 | 0 | |||||
Economic loss development after recoveries for R&W | [3] | 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 | [2] | 0 | 0 | |||||
Economic loss development after recoveries for R&W | [3] | 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 | [2] | 116 | 120 | |||||
Economic loss development after recoveries for R&W | [3] | 4 | 3 | |||||
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 | [2] | 73 | 76 | |||||
Economic loss development after recoveries for R&W | [3] | 1 | 4 | |||||
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 | [2] | 0 | 0 | |||||
Economic loss development after recoveries for R&W | [3] | 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 | [2] | 18 | 17 | |||||
Economic loss development after recoveries for R&W | [3] | 1 | 0 | |||||
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 | [2] | 0 | 0 | |||||
Economic loss development after recoveries for R&W | [3] | 0 | 0 | |||||
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 | [2] | 55 | 59 | |||||
Economic loss development after recoveries for R&W | [3] | 0 | 4 | |||||
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 | [2] | 43 | 44 | |||||
Economic loss development after recoveries for R&W | [3] | 3 | (1) | |||||
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 | [2] | 0 | 0 | |||||
Economic loss development after recoveries for R&W | [3] | 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 | [2] | 0 | 0 | |||||
Economic loss development after recoveries for R&W | [3] | 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 | [2] | 2 | 16 | |||||
Economic loss development after recoveries for R&W | [3] | 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 | [2] | 118 | 136 | |||||
Economic loss development after recoveries for R&W | [3] | 4 | 2 | |||||
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 | [4] | 9 | 16 | |||||
Economic loss development after recoveries for R&W | [5] | (6) | (17) | |||||
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 | [4] | 0 | 0 | |||||
Economic loss development after recoveries for R&W | [5] | 0 | 0 | |||||
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 | [4] | 0 | 0 | |||||
Economic loss development after recoveries for R&W | [5] | 0 | 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 | [4] | 0 | 0 | |||||
Economic loss development after recoveries for R&W | [5] | 0 | 0 | |||||
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 | [4] | 33 | 38 | |||||
Economic loss development after recoveries for R&W | [5] | (4) | (7) | |||||
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 | [4] | 30 | 34 | |||||
Economic loss development after recoveries for R&W | [5] | (4) | (6) | |||||
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 | [4] | (3) | (4) | |||||
Economic loss development after recoveries for R&W | [5] | 0 | (1) | |||||
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 | [4] | (1) | 0 | |||||
Economic loss development after recoveries for R&W | [5] | 0 | (7) | |||||
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 | [4] | (3) | (1) | |||||
Economic loss development after recoveries for R&W | [5] | (2) | 3 | |||||
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 | [4] | 37 | 39 | |||||
Economic loss development after recoveries for R&W | [5] | (2) | (1) | |||||
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 | [4] | 3 | 4 | |||||
Economic loss development after recoveries for R&W | [5] | 0 | (1) | |||||
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 | [4] | 11 | 11 | |||||
Economic loss development after recoveries for R&W | [5] | 1 | 1 | |||||
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 | [4] | 0 | 0 | |||||
Economic loss development after recoveries for R&W | [5] | 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 | [4] | (35) | (33) | |||||
Economic loss development after recoveries for R&W | [5] | (3) | (11) | |||||
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 | [4] | 9 | $ 16 | |||||
Economic loss development after recoveries for R&W | [5] | $ (6) | $ (17) | |||||
[1] | Includes expected LAE to be paid of $9 million as of March 31, 2016 and $12 million as of December 31, 2015. | |||||||
[2] | Refer to Note 9, Consolidated Variable Interest Entities. | |||||||
[3] | Refer to Note 9, Consolidated Variable Interest Entities. | |||||||
[4] | Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. | |||||||
[5] | Refer to Note 8, 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) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | ||
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% | |
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% | |
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% | |
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% | |
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% | |
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% | |
Financing Receivables, 30 to 59 Days Past Due [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 45.00% | 45.00% | |
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% | |
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% | 40.00% | |
Financing Receivables, 60 to 89 Days Past Due [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 55.00% | 55.00% | |
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 | 45.00% | 45.00% | |
Financing Receivables, 60 to 89 Days Past Due [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 50.00% | 50.00% | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 60.00% | 60.00% | |
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 | 55.00% | 55.00% | |
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 | 60.00% | 60.00% | |
Financing Receivables, Bankruptcy [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 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% | |
Financing Receivables, Bankruptcy [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 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% | |
Financing Receivable, Foreclosure [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 65.00% | 65.00% | |
Financing Receivable, Foreclosure [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 70.00% | 70.00% | |
Financing Receivable, Real Estate Owned [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 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 |
Final CPR | [1],[2] | 15.00% | 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% |
United States [Member] | Alt-A [Member] | 2006 [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | [1] | 80.00% | 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% |
United States [Member] | Alt-A [Member] | Minimum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | [1] | 0.90% | 1.70% |
Intermediate CDR | [1] | 0.20% | 0.30% |
Final CDR | [1] | 0.00% | 0.10% |
Initial CPR | [1] | 2.70% | 2.70% |
United States [Member] | Alt-A [Member] | Maximum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | [1] | 27.80% | 26.40% |
Intermediate CDR | [1] | 5.60% | 5.30% |
Final CDR | [1] | 1.40% | 1.30% |
Initial CPR | [1] | 31.60% | 32.50% |
United States [Member] | Alt-A [Member] | Weighted Average [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | [1] | 6.40% | 6.40% |
Intermediate CDR | [1] | 1.30% | 1.30% |
Final CDR | [1] | 0.30% | 0.30% |
Initial CPR | [1] | 11.80% | 11.50% |
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 |
Final CPR | [1],[2] | 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% |
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% |
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% |
United States [Member] | Option ARM [Member] | Minimum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | [1] | 3.40% | 3.50% |
Intermediate CDR | [1] | 0.70% | 0.70% |
Final CDR | [1] | 0.20% | 0.20% |
Initial CPR | [1] | 2.00% | 1.50% |
United States [Member] | Option ARM [Member] | Maximum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | [1] | 10.60% | 10.30% |
Intermediate CDR | [1] | 2.10% | 2.10% |
Final CDR | [1] | 0.50% | 0.50% |
Initial CPR | [1] | 13.70% | 10.90% |
United States [Member] | Option ARM [Member] | Weighted Average [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | [1] | 7.80% | 7.80% |
Intermediate CDR | [1] | 1.60% | 1.60% |
Final CDR | [1] | 0.40% | 0.40% |
Initial CPR | [1] | 5.50% | 5.10% |
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 |
Final CPR | [1],[2] | 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] | 80.00% | 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% |
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% |
United States [Member] | Subprime [Member] | Minimum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | [1] | 4.20% | 4.70% |
Intermediate CDR | [1] | 0.80% | 0.90% |
Final CDR | [1] | 0.20% | 0.20% |
Initial CPR | [1] | 0.30% | 0.00% |
United States [Member] | Subprime [Member] | Maximum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | [1] | 14.40% | 13.20% |
Intermediate CDR | [1] | 2.90% | 2.60% |
Final CDR | [1] | 0.70% | 0.70% |
Initial CPR | [1] | 9.20% | 10.10% |
United States [Member] | Subprime [Member] | Weighted Average [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | [1] | 9.40% | 9.50% |
Intermediate CDR | [1] | 1.90% | 1.90% |
Final CDR | [1] | 0.40% | 0.40% |
Initial CPR | [1] | 4.20% | 3.60% |
First Lien [Member] | United States [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 12 months | ||
Base Scenario [Member] | First Lien [Member] | United States [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 7 years 6 months | 7 years 6 months | |
Final CPR | 15.00% | ||
[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. |
Expected Loss to be Paid - Key
Expected Loss to be Paid - Key Assumptions in Base Case Expected Loss Second Lien RMBS (Details) - scenario | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2016 | Dec. 31, 2015 | |||
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 | [1] | 34 months | 34 months | [2] |
RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | Minimum [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 5.30% | 4.90% | |
Final CDR | [1] | 0.50% | 0.50% | |
Initial CPR | [1],[2] | 11.00% | 10.90% | |
Final CPR | [1],[2] | 10.00% | 10.00% | |
Loss severity | [1] | 98.00% | 98.00% | |
RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | Maximum [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 26.10% | 23.50% | |
Final CDR | [1] | 3.20% | 3.20% | |
Initial CPR | 14.90% | |||
Final CPR | [1],[2] | 15.00% | 15.00% | |
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 | [1] | 11.90% | 10.30% | |
Final CDR | [1] | 1.20% | 1.20% | |
Initial CPR | [1] | 11.10% | ||
Final CPR | [1],[2] | 13.30% | 13.30% | |
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 | |
Final CPR | [3],[4] | 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] | 4.20% | 4.70% | |
Final CDR | [3] | 0.20% | 0.20% | |
Initial CPR | [3] | 0.30% | 0.00% | |
RMBS [Member] | United States [Member] | Subprime [Member] | Maximum [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [3] | 14.40% | 13.20% | |
Final CDR | [3] | 0.70% | 0.70% | |
Initial CPR | [3] | 9.20% | 10.10% | |
RMBS [Member] | United States [Member] | Subprime [Member] | Weighted Average [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [3] | 9.40% | 9.50% | |
Final CDR | [3] | 0.40% | 0.40% | |
Initial CPR | [3] | 4.20% | 3.60% | |
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% | ||
Second Lien [Member] | RMBS [Member] | United States [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Loss recovery assumption (as a percent) | 2.00% | 2.00% | ||
Number of scenarios weighted in estimating expected losses | 5 | 5 | ||
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% | ||
First Lien [Member] | RMBS [Member] | United States [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Number of scenarios weighted in estimating expected losses | 5 | |||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 12 months | |||
Base Scenario [Member] | First Lien [Member] | RMBS [Member] | United States [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Final CPR | 15.00% | |||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 7 years 6 months | 7 years 6 months | ||
[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] | 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 - Narr
Expected Loss to be Paid - Narrative (Details) | May. 06, 2013Transaction | Mar. 31, 2016USD ($)scenarioCounterpartyPaymentTransactionCurvequarter | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($)scenario | Jun. 30, 2015USD ($) | Dec. 31, 2014USD ($) | May. 31, 2012USD ($) | Apr. 14, 2011USD ($) | |||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 1,337,000,000 | [1] | $ 1,154,000,000 | $ 1,391,000,000 | [1] | $ 1,169,000,000 | |||||
Economic loss development after recoveries for R&W | 59,000,000 | (3,000,000) | |||||||||
Net par amount outstanding | $ 347,015,000,000 | [2] | $ 358,571,000,000 | [3] | |||||||
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 | 25.00% | ||||||||||
Maximum [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Discount factor (as a percent) | 2.88% | 3.25% | |||||||||
Liquidation Rate for Bankruptcy Delinquent Category | 100.00% | ||||||||||
Puerto Rico [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | $ 5,054,000,000 | $ 5,053,000,000 | |||||||||
Gross par outstanding | 5,756,000,000 | 5,755,000,000 | |||||||||
RMBS [Member] | United States [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 | [4] | $ 47,000,000 | 79,000,000 | ||||||||
Guarantor Obligations, Aggregate Lifetime Collateral Losses, Number Of Counterparties With Collateralized By Eligible Assets Held In Trust | Counterparty | 3 | ||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 293,000,000 | [1] | 570,000,000 | 409,000,000 | [1] | 584,000,000 | |||||
Economic loss development after recoveries for R&W | (31,000,000) | 4,000,000 | |||||||||
Net par amount outstanding | $ 6,677,000,000 | $ 7,067,000,000 | |||||||||
RMBS [Member] | United States [Member] | Subprime [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Final CPR | [5],[6] | 15.00% | 15.00% | ||||||||
RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Final CPR | [5],[6] | 15.00% | 15.00% | ||||||||
RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Final CPR | [5],[6] | 15.00% | 15.00% | ||||||||
RMBS [Member] | United States [Member] | Minimum [Member] | HELOCs [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Final CPR | [7],[8] | 10.00% | 10.00% | ||||||||
RMBS [Member] | United States [Member] | Maximum [Member] | HELOCs [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Final CPR | [7],[8] | 15.00% | 15.00% | ||||||||
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] | |||||||||||
Net par amount outstanding | $ 4,296,000,000 | $ 4,379,000,000 | |||||||||
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 | 7,000,000 | [1] | 5,000,000 | 20,000,000 | [1] | 8,000,000 | |||||
Economic loss development after recoveries for R&W | 1,000,000 | (12,000,000) | |||||||||
Net par amount outstanding | 20,137,000,000 | 21,114,000,000 | |||||||||
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 | 102,000,000 | [1] | 165,000,000 | 99,000,000 | [1] | 161,000,000 | |||||
Economic loss development after recoveries for R&W | 4,000,000 | 5,000,000 | |||||||||
Net par amount outstanding | 2,650,000,000 | 2,750,000,000 | |||||||||
Student Loan [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 32,000,000 | [1] | 62,000,000 | 54,000,000 | [1] | 68,000,000 | |||||
Economic loss development after recoveries for R&W | (14,000,000) | (6,000,000) | |||||||||
Net par amount outstanding | 1,815,000,000 | 1,818,000,000 | |||||||||
Other Structured Finance and TruPS [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 7,000,000 | ||||||||||
Economic loss development after recoveries for R&W | 1,000,000 | ||||||||||
Public Finance [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 903,000,000 | [1] | 352,000,000 | 809,000,000 | [1] | 348,000,000 | |||||
Economic loss development after recoveries for R&W | 99,000,000 | 6,000,000 | |||||||||
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 | 864,000,000 | [1] | 310,000,000 | 771,000,000 | [1] | $ 771,000,000 | 303,000,000 | ||||
Economic loss development after recoveries for R&W | 98,000,000 | 9,000,000 | |||||||||
Net par amount outstanding | 282,055,000,000 | [2] | 291,866,000,000 | [3] | |||||||
Public Finance [Member] | Puerto Rico [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Economic loss development after recoveries for R&W | 98,000,000 | ||||||||||
Net par amount outstanding | 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 | ||||||||||
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 | 375,000,000 | ||||||||||
Gross par outstanding | 471,000,000 | ||||||||||
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 | 84,000,000 | ||||||||||
Gross par outstanding | 90,000,000 | ||||||||||
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 | 36,000,000 | ||||||||||
Economic loss development after recoveries for R&W | 1,000,000 | ||||||||||
Deutsche Bank [Member] | RMBS [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Assets held under trust for reimbursement payment | 70,000,000 | ||||||||||
BIG [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 15,117,000,000 | 15,183,000,000 | |||||||||
BIG [Member] | RMBS [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 3,682,000,000 | 3,973,000,000 | |||||||||
BIG [Member] | Trust Preferred Securities (TruPS) [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 777,000,000 | 806,000,000 | |||||||||
BIG [Member] | Other structured finance [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 929,000,000 | 863,000,000 | |||||||||
BIG [Member] | Triple-X Life Insurance Transaction [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | $ 216,000,000 | 216,000,000 | |||||||||
Insured Financial Obligations, Outstanding Principle Amount, Transactions Related Below Investment Grade | Transaction | 2 | ||||||||||
BIG [Member] | Student Loan [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | $ 149,000,000 | 163,000,000 | |||||||||
BIG [Member] | Public Finance [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 7,953,000,000 | 7,784,000,000 | |||||||||
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 | 271,000,000 | ||||||||||
Gross par outstanding | 274,000,000 | ||||||||||
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 | ||||||||||
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% | ||||||||||
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 | [4] | $ (30,000,000) | 0 | ||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 228,000,000 | [1] | 569,000,000 | 348,000,000 | [1] | 595,000,000 | |||||
Economic loss development after recoveries for R&W | (36,000,000) | (2,000,000) | |||||||||
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 | 240,000,000 | [1] | 293,000,000 | 251,000,000 | [1] | 303,000,000 | |||||
Economic loss development after recoveries for R&W | 1,000,000 | (1,000,000) | |||||||||
Net par amount outstanding | 3,305,000,000 | 3,457,000,000 | |||||||||
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 | (1,000,000) | [1] | 3,000,000 | (2,000,000) | [1] | 4,000,000 | |||||
Economic loss development after recoveries for R&W | 0 | 0 | |||||||||
Net par amount outstanding | 425,000,000 | 445,000,000 | |||||||||
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 | (47,000,000) | [1] | (16,000,000) | (28,000,000) | [1] | (16,000,000) | |||||
Economic loss development after recoveries for R&W | (21,000,000) | 4,000,000 | |||||||||
Net par amount outstanding | 235,000,000 | 252,000,000 | |||||||||
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 | 36,000,000 | [1] | 289,000,000 | 127,000,000 | [1] | 304,000,000 | |||||
Economic loss development after recoveries for R&W | (16,000,000) | (5,000,000) | |||||||||
Net par amount outstanding | $ 1,238,000,000 | $ 1,353,000,000 | |||||||||
First Lien [Member] | Base Scenario [Member] | RMBS [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Final CPR | 15.00% | ||||||||||
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% | ||||||||||
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% | ||||||||||
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 6 months | 7 years 6 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 | $ 43,000,000 | ||||||||||
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 | $ 100,000 | ||||||||||
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% | ||||||||||
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 | $ 7,000,000 | ||||||||||
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 | $ 12,000,000 | ||||||||||
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% | ||||||||||
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 | $ 59,000,000 | ||||||||||
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 | 500,000 | ||||||||||
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 | 14,000,000 | ||||||||||
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 | 31,000,000 | ||||||||||
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 | (10,000,000) | ||||||||||
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 | (19,000) | ||||||||||
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 | (19,000,000) | ||||||||||
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 | $ (2,000,000) | ||||||||||
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 | $ (33,000,000) | ||||||||||
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 | (31,000,000) | ||||||||||
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 | (14,000,000) | ||||||||||
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 | 4,400,000,000 | ||||||||||
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 | ||||||||||
Assets held under trust for reimbursement payment | 578,000,000 | ||||||||||
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% | ||||||||||
Guarantor Obligations, Representations And Warranties Insurance, Number Of Future Losses Transactions Reimbursed | Transaction | 3 | ||||||||||
Assets held under trust for reimbursement payment | 49,000,000 | ||||||||||
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 | 1,229,000,000 | $ 1,304,000,000 | |||||||||
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 | 248,000,000 | 284,000,000 | |||||||||
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 | 135,000,000 | 141,000,000 | |||||||||
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 | $ 698,000,000 | $ 793,000,000 | |||||||||
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 | ||||||||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | 5 | |||||||||
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 | ||||||||||
Loss recovery assumption (as a percent) | 2.00% | 2.00% | |||||||||
Conditional prepayment rate base case, average number of quarters | quarter | 3 | ||||||||||
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 | [4] | $ 77,000,000 | $ 79,000,000 | ||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 65,000,000 | [1] | 1,000,000 | 61,000,000 | [1] | $ (11,000,000) | |||||
Economic loss development after recoveries for R&W | 5,000,000 | 6,000,000 | |||||||||
Net par amount outstanding | $ 1,474,000,000 | $ 1,560,000,000 | |||||||||
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% | |||||||||
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 | $ 52,000,000 | ||||||||||
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 | $ 31,000,000 | ||||||||||
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 | |||||||||
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 | ||||||||||
Loss sharing percentage, first layer | 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 | ||||||||||
Second Lien [Member] | BIG [Member] | RMBS [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 1,372,000,000 | $ 1,451,000,000 | |||||||||
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 | ||||||||||
Payment time period on annual debt service | 2 years | ||||||||||
Healthcare [Member] | Public Finance [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | $ 14,600,000,000 | ||||||||||
Healthcare [Member] | BIG [Member] | Public Finance [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 315,000,000 | ||||||||||
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 | [9] | 33,000,000 | 38,000,000 | ||||||||
Economic loss development after recoveries for R&W | [10] | (4,000,000) | (7,000,000) | ||||||||
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 | [9] | (35,000,000) | (33,000,000) | ||||||||
Economic loss development after recoveries for R&W | [10] | (3,000,000) | (11,000,000) | ||||||||
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 | [9] | 11,000,000 | 11,000,000 | ||||||||
Economic loss development after recoveries for R&W | [10] | 1,000,000 | 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 | [9] | 0 | 0 | ||||||||
Economic loss development after recoveries for R&W | [10] | 0 | 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 | [9] | 0 | 0 | ||||||||
Economic loss development after recoveries for R&W | [10] | 0 | 0 | ||||||||
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 | [9] | 0 | 0 | ||||||||
Economic loss development after recoveries for R&W | [10] | 0 | 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 | [9] | 30,000,000 | 34,000,000 | ||||||||
Economic loss development after recoveries for R&W | [10] | (4,000,000) | (6,000,000) | ||||||||
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 | [9] | 37,000,000 | 39,000,000 | ||||||||
Economic loss development after recoveries for R&W | [10] | (2,000,000) | (1,000,000) | ||||||||
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 | [9] | (3,000,000) | (4,000,000) | ||||||||
Economic loss development after recoveries for R&W | [10] | 0 | (1,000,000) | ||||||||
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 | [9] | (3,000,000) | (1,000,000) | ||||||||
Economic loss development after recoveries for R&W | [10] | (2,000,000) | 3,000,000 | ||||||||
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 | [9] | (1,000,000) | 0 | ||||||||
Economic loss development after recoveries for R&W | [10] | 0 | (7,000,000) | ||||||||
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 | [9] | 3,000,000 | $ 4,000,000 | ||||||||
Economic loss development after recoveries for R&W | [10] | $ 0 | $ (1,000,000) | ||||||||
[1] | Includes expected LAE to be paid of $9 million as of March 31, 2016 and $12 million as of December 31, 2015. | ||||||||||
[2] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of March 31, 2016, which are primarily BIG. | ||||||||||
[3] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | ||||||||||
[4] | The Company’s agreements with providers of breaches of R&W generally provide for reimbursement to the Company as claim payments are made and, to the extent the Company later receives reimbursements of such claims from excess spread or other sources, for the Company to provide reimbursement to the R&W providers. See the section “Breaches of Representations and Warranties” for information about the R&W agreements and eligible assets held in trust with respect to such agreements. When the Company projects receiving more reimbursements in the future than it projects to pay in claims, the Company will have a net R&W payable | ||||||||||
[5] | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. | ||||||||||
[6] | Represents variables for most heavily weighted scenario (the “base case”). | ||||||||||
[7] | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. | ||||||||||
[8] | Represents variables for most heavily weighted scenario (the “base case”). | ||||||||||
[9] | Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. | ||||||||||
[10] | Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Financial Guaranty Insurance -
Financial Guaranty Insurance - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |||
Guarantor Obligations [Line Items] | |||||
Financial guaranty insurance expected LAE reserve, amount | $ 8 | $ 10 | |||
Net par amount outstanding | 347,015 | [1] | $ 358,571 | [2] | |
Guaranteed investment contract, aggregate accreted balance | 1,700 | ||||
Assets of GIC issuers, aggregate market value | $ 800 | ||||
Variable Rate Demand Obligation [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 Obligation [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 | 2.88% | 3.25% | |||
Maximum [Member] | Variable Rate Demand Obligation [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 | $ 176 | ||||
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 | 430 | ||||
Variable Rate Demand Obligation [Member] | AGM and AGC [Member] | |||||
Guarantor Obligations [Line Items] | |||||
Net par amount outstanding | 5,500 | ||||
Internal Credit, BBB Minus Rating [Member] | Variable Rate Demand Obligation [Member] | AGM and AGC [Member] | |||||
Guarantor Obligations [Line Items] | |||||
Net par amount outstanding | $ 300 | ||||
Foreign Currency Concentration Risk [Member] | Premiums Receivable [Member] | |||||
Guarantor Obligations [Line Items] | |||||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 55.00% | 49.00% | 52.00% | ||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of March 31, 2016, which are primarily BIG. | ||||
[2] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. |
Financial Guaranty Insurance 61
Financial Guaranty Insurance - Net Earned Premiums (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | |||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Scheduled net earned premiums | $ 91 | $ 96 | ||
Acceleration of net earned premiums | [1] | 89 | 41 | |
Accretion of discount on net premiums receivable | 3 | 4 | ||
Financial guaranty insurance net earned premiums | 183 | 141 | ||
Other | 0 | 1 | ||
Net | 183 | [2] | 142 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Net | $ 5 | $ 5 | ||
[1] | Reflects the unscheduled refunding or termination of the insurance on an insured obligation as well as changes in scheduled earnings due to changes in the expected lives of the insured obligations. | |||
[2] | Excludes $5 million and $5 million for First Quarter 2016 and 2015, respectively, related to consolidated FG VIEs. |
Financial Guaranty Insurance 62
Financial Guaranty Insurance - Components of Unearned Premium Reserve (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |
Insurance [Abstract] | |||
Deferred premium revenue, gross | $ 3,829 | $ 4,008 | |
Deferred premium revenue, ceded | 241 | 238 | |
Deferred premium revenue, net | [1] | 3,588 | 3,770 |
Contra-paid, gross | [2] | (19) | (12) |
Contra-paid, ceded | [2] | (5) | (6) |
Contra-paid, net | [1],[2] | (14) | (6) |
Unearned premium reserve, gross | 3,810 | 3,996 | |
Unearned premium reserve, ceded | 236 | 232 | |
Unearned premium reserve, net | [1] | 3,574 | 3,764 |
Total net unearned premium reserve related to FG VIE | 105 | 110 | |
Contra-paid related to FG VIE | $ 29 | $ 30 | |
[1] | Excludes $105 million and $110 million of deferred premium revenue, and $29 million and $30 million of contra-paid related to FG VIEs as of March 31, 2016 and December 31, 2015, respectively. | ||
[2] | See "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" below for an explanation of "contra-paid". |
Financial Guaranty Insurance 63
Financial Guaranty Insurance - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |||
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | |||||
Beginning of period | $ 693 | $ 729 | $ 729 | ||
Gross premium written, net of commissions on assumed business | 41 | 36 | |||
Gross premiums received, net of commissions on assumed business | (49) | (36) | |||
Adjustments: | |||||
Changes in the expected term | (22) | (6) | |||
Foreign exchange translation | (1) | (25) | |||
Consolidation/deconsolidation of FG VIEs | 0 | (4) | |||
End of period | 662 | [1] | 699 | [1] | 693 |
Accretion of discount, net of commissions on assumed business | 0 | 5 | |||
Premiums receivable, net of commissions payable | 662 | $ 693 | |||
Variable Interest Entity, Primary Beneficiary [Member] | |||||
Adjustments: | |||||
End of period | $ 16 | 22 | |||
Non-financial Guaranty Line of business [Member] | |||||
Adjustments: | |||||
Premiums receivable, net of commissions payable | $ 1 | ||||
Premiums Receivable [Member] | Foreign Currency Concentration Risk [Member] | |||||
Adjustments: | |||||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 55.00% | 49.00% | 52.00% | ||
[1] | Excludes $16 million and $22 million as of March 31, 2016 and March 31, 2015, respectively, related to consolidated FG VIEs. Excludes $1 million related to non-financial guaranty line of business as of March 31, 2015 |
Financial Guaranty Insurance 64
Financial Guaranty Insurance - Expected Collections of Gross Premiums Receivable Net of Commissions on Assumed Business (Details) $ in Millions | Mar. 31, 2016USD ($) | |
Financial Guarantee Insurance Premiums [Line Items] | ||
2016 (April 1 – June 30) | $ 31 | |
2016 (July 1 – September 30) | 18 | |
2016 (October 1 – December 31) | 17 | |
2,017 | 66 | |
2,018 | 58 | |
2,019 | 55 | |
2,020 | 55 | |
2021-2025 | 222 | |
2026-2030 | 147 | |
2031-2035 | 103 | |
After 2,035 | 82 | |
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
Total | 854 | [1] |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
Cash collections on FG VIEs | $ 20 | |
[1] | Excludes expected cash collections on FG VIEs of $20 million |
Financial Guaranty Insurance 65
Financial Guaranty Insurance - Scheduled Net Earned Premiums Insurance Contracts (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |
Financial Guarantee Insurance Premiums [Line Items] | |||
Deferred premium revenue, net | [1] | $ 3,588 | $ 3,770 |
Financial Guarantee Insurance Product Line [Member] | |||
Financial Guarantee Insurance Premiums [Line Items] | |||
2016 (April 1 – June 30) | 92 | ||
2016 (July 1 – September 30) | 89 | ||
2016 (October 1 – December 31) | 85 | ||
2,017 | 313 | ||
2,018 | 290 | ||
2,019 | 264 | ||
2,020 | 245 | ||
2021-2025 | 955 | ||
2026-2030 | 610 | ||
2031-2035 | 363 | ||
After 2,035 | 282 | ||
Deferred premium revenue, net | [2] | 3,588 | |
Future accretion | 179 | ||
Total future net earned premiums | 3,767 | ||
Variable Interest Entity, Primary Beneficiary [Member] | |||
Financial Guarantee Insurance Premiums [Line Items] | |||
Deferred premium revenue, net | $ 105 | ||
[1] | Excludes $105 million and $110 million of deferred premium revenue, and $29 million and $30 million of contra-paid related to FG VIEs as of March 31, 2016 and December 31, 2015, respectively. | ||
[2] | Excludes scheduled net earned premiums on consolidated FG VIEs of $105 million. |
Financial Guaranty Insurance 66
Financial Guaranty Insurance - Selected Information for Policies Paid In Installments (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | [1] | Dec. 31, 2014 | ||
Financial Guarantee Insurance Premiums [Line Items] | ||||||
Premiums receivable, net of commission payable | $ 662 | [1] | $ 693 | $ 699 | $ 729 | |
Financial Guarantee Policies Paid in Installments [Member] | ||||||
Financial Guarantee Insurance Premiums [Line Items] | ||||||
Premiums receivable, net of commission payable | 662 | 693 | ||||
Gross deferred premium revenue | $ 1,156 | $ 1,240 | ||||
Weighted-average risk-free rate used to discount premiums | 3.10% | 3.10% | ||||
Weighted-average period of premiums receivable (in years) | 9 years 4 months 24 days | 9 years 4 months 24 days | ||||
[1] | Excludes $16 million and $22 million as of March 31, 2016 and March 31, 2015, respectively, related to consolidated FG VIEs. Excludes $1 million related to non-financial guaranty line of business as of March 31, 2015 |
Financial Guaranty Insurance 67
Financial Guaranty Insurance - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | [1] | $ 1,040 | $ 998 |
Salvage and Subrogation Recoverable, net | [1] | 204 | 126 |
Net Reserve (Recoverable) | [1] | 836 | 872 |
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 | 1,038 | ||
Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 1,111 | 1,072 | |
Salvage and Subrogation Recoverable, net | 204 | 126 | |
Net Reserve (Recoverable) | 907 | 946 | |
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 | (71) | (74) | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | (71) | (74) | |
Triple-X Life Insurance Transaction [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 85 | 82 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 85 | 82 | |
Student Loan [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 | 51 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 30 | 51 | |
Other structured finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 32 | 48 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 32 | 48 | |
Structured Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 389 | 443 | |
Salvage and Subrogation Recoverable, net | 194 | 116 | |
Net Reserve (Recoverable) | 195 | 327 | |
Financial Guarantee [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 1,111 | 1,072 | |
Salvage and Subrogation Recoverable, net | 201 | 123 | |
Net Reserve (Recoverable) | 910 | 949 | |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 722 | 629 | |
Salvage and Subrogation Recoverable, net | 7 | 7 | |
Net Reserve (Recoverable) | 715 | 622 | |
Other [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 | 3 | 3 | |
Net Reserve (Recoverable) | (3) | (3) | |
United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 242 | 262 | |
Salvage and Subrogation Recoverable, net | 194 | 116 | |
Net Reserve (Recoverable) | 48 | 146 | |
United States [Member] | Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 695 | 604 | |
Salvage and Subrogation Recoverable, net | 7 | 7 | |
Net Reserve (Recoverable) | 688 | 597 | |
Non United States [Member] | Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 27 | 25 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 27 | 25 | |
First Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 208 | 230 | |
Salvage and Subrogation Recoverable, net | 145 | 63 | |
Net Reserve (Recoverable) | 63 | 167 | |
Second Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 34 | 32 | |
Salvage and Subrogation Recoverable, net | 49 | 53 | |
Net Reserve (Recoverable) | (15) | (21) | |
Financing Receivable, Prime [Member] | First Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 | |
Net Reserve (Recoverable) | 2 | 2 | |
Alt-A [Member] | First Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 35 | 46 | |
Salvage and Subrogation Recoverable, net | 73 | 0 | |
Net Reserve (Recoverable) | (38) | 46 | |
Option ARM [Member] | First Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 10 | 13 | |
Salvage and Subrogation Recoverable, net | 51 | 42 | |
Net Reserve (Recoverable) | (41) | (29) | |
Subprime [Member] | First Lien [Member] | United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 161 | 169 | |
Salvage and Subrogation Recoverable, net | 21 | 21 | |
Net Reserve (Recoverable) | $ 140 | $ 148 | |
[1] | See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. |
Financial Guaranty Insurance 68
Financial Guaranty Insurance - Components of Net Reserves (Salvage) Insurance Contracts (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |
Insurance [Abstract] | |||
Loss and LAE reserve | $ 1,112 | $ 1,067 | |
Reinsurance recoverable on unpaid losses | (72) | (69) | |
Loss and LAE reserve, net | [1] | 1,040 | 998 |
Salvage and subrogation recoverable | (206) | (126) | |
Salvage and subrogation payable | [2] | 5 | 3 |
Other recoverables | (3) | (3) | |
Salvage and subrogation recoverable, net and other recoverable | (204) | (126) | |
Net reserves (salvage) | $ 836 | $ 872 | |
[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 69
Financial Guaranty Insurance - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |||
Guarantor Obligations [Line Items] | |||||||
Net expected loss to be paid after recoveries for R&W | $ 1,337 | [1] | $ 1,391 | [1] | $ 1,154 | $ 1,169 | |
Contra-paid, net | [2],[3] | 14 | 6 | ||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | [4] | (1,040) | (998) | ||||
Other recoveries | 3 | 3 | |||||
Net expected loss to be expensed (present value) | 389 | ||||||
Variable Interest Entity, Primary Beneficiary [Member] | |||||||
Guarantor Obligations [Line Items] | |||||||
Net expected loss to be expensed (present value) | 74 | ||||||
Financial Guarantee Insurance And Other Product Line [Member] | |||||||
Guarantor Obligations [Line Items] | |||||||
Net expected loss to be paid after recoveries for R&W | [5] | 1,210 | |||||
Contra-paid, net | 14 | ||||||
Salvage and subrogation recoverable, net of reinsurance | 201 | ||||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (1,038) | ||||||
Other recoveries | 2 | ||||||
Net expected loss to be expensed (present value) | [6] | 389 | |||||
Financial Guarantee Insurance And Other Product Line [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||||||
Guarantor Obligations [Line Items] | |||||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | 71 | 74 | |||||
Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||||||
Guarantor Obligations [Line Items] | |||||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | $ (1,111) | $ (1,072) | |||||
[1] | Includes expected LAE to be paid of $9 million as of March 31, 2016 and $12 million as of December 31, 2015. | ||||||
[2] | Excludes $105 million and $110 million of deferred premium revenue, and $29 million and $30 million of contra-paid related to FG VIEs as of March 31, 2016 and December 31, 2015, respectively. | ||||||
[3] | See "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" below 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] | See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid. | ||||||
[6] | Excludes $74 million as of March 31, 2016, related to consolidated FG VIEs. |
Financial Guaranty Insurance 70
Financial Guaranty Insurance - Net Expected Loss to be Expensed Insurance Contracts (Details) $ in Millions | Mar. 31, 2016USD ($) |
Insurance [Abstract] | |
2016 (April 1 – June 30) | $ 11 |
2016 (July 1 – September 30) | 10 |
2016 (October 1 – December 31) | 9 |
Subtotal 2,016 | 30 |
2,017 | 34 |
2,018 | 33 |
2,019 | 30 |
2,020 | 27 |
2021-2025 | 100 |
2026-2030 | 70 |
2031-2035 | 45 |
After 2,035 | 20 |
Net expected loss to be expensed | 389 |
Future accretion | 156 |
Total expected future loss and LAE | $ 545 |
Financial Guaranty Insurance 71
Financial Guaranty Insurance - Loss and LAE Reported on the Statements of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE | $ 90 | $ 18 |
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE | 97 | 23 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE | (7) | (5) |
RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 | 11 | 7 |
Triple-X Life Insurance Transaction [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE | 3 | 6 |
Student Loan [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE | (14) | (6) |
Other structured finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE | 0 | (2) |
Structured Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE | 0 | 5 |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE | 97 | 18 |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 | 97 | 13 |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 | 0 | 5 |
First Lien [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 | (2) | (3) |
Second Lien [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 | 13 | 10 |
Financing Receivable, Prime [Member] | First Lien [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 |
Alt-A [Member] | First Lien [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 | 8 | (2) |
Option ARM [Member] | First Lien [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 | (14) | (1) |
Subprime [Member] | First Lien [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding 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 | $ 0 |
Financial Guaranty Insurance 72
Financial Guaranty Insurance - BIG Transaction Loss Summary (Details) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016USD ($)risk | Dec. 31, 2015USD ($)risk | ||
Discount | |||
Total | $ (156) | ||
Reserves (salvage) | |||
Total | $ 836 | $ 872 | |
BIG [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[2],[3] | 417 | 419 |
Remaining weighted average contract period | |||
Total (in years) | 10 years 7 months 2 days | 10 years 8 months 4 days | |
Principal | |||
Total | [3] | $ 13,538 | $ 13,574 |
Interest | |||
Total | 7,293 | 7,419 | |
Total net outstanding exposure | |||
Total | [4] | 20,831 | 20,993 |
Expected cash outflows (inflows) | |||
Total | 2,619 | 2,510 | |
Potential recoveries | |||
Total, Undiscounted R&W | (23) | (54) | |
Total, Other | [5] | (1,230) | (931) |
Total | (1,253) | (985) | |
Subtotal | |||
Total | 1,366 | 1,525 | |
Discount | |||
Total | (156) | (286) | |
Present value of expected cash flows | |||
Net expected loss to be paid | 1,210 | 1,239 | |
Deferred premium revenue | |||
Total | 670 | 734 | |
Reserves (salvage) | |||
Total | $ 835 | $ 857 | |
BIG [Member] | BIG 1 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[3] | 202 | 202 |
Principal | |||
Total | [3] | $ 6,585 | $ 7,019 |
BIG [Member] | BIG 2 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[3] | 86 | 85 |
Principal | |||
Total | [3] | $ 4,015 | $ 3,655 |
BIG [Member] | BIG 3 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[3] | 129 | 132 |
Principal | |||
Total | [3] | $ 2,938 | $ 2,900 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [2] | 417 | 419 |
Remaining weighted average contract period | |||
Total (in years) | 10 years 7 months 2 days | 10 years 8 months 4 days | |
Principal | |||
Total | $ 13,538 | $ 13,574 | |
Interest | |||
Total | 7,293 | 7,419 | |
Total net outstanding exposure | |||
Total | [4] | 20,831 | 20,993 |
Expected cash outflows (inflows) | |||
Total | 2,964 | 2,853 | |
Potential recoveries | |||
Total, Undiscounted R&W | (29) | (61) | |
Total, Other | [5] | (1,420) | (1,106) |
Total | (1,449) | (1,167) | |
Subtotal | |||
Total | 1,515 | 1,686 | |
Discount | |||
Total | (189) | (327) | |
Present value of expected cash flows | |||
Net expected loss to be paid | 1,326 | 1,359 | |
Deferred premium revenue | |||
Total | 766 | 834 | |
Reserves (salvage) | |||
Total | $ 906 | $ 931 | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 1 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [2] | (43) | (46) |
Total (in contracts) | risk | [2] | 202 | 202 |
Remaining weighted average contract period | |||
Gross (in years) | 10 years 1 month 2 days | 10 years | |
Ceded (in years) | 7 years 4 months 8 days | 8 years 8 months 4 days | |
Principal | |||
Gross | $ 7,084 | $ 7,751 | |
Ceded | (499) | (732) | |
Interest | |||
Gross | 3,764 | 4,109 | |
Ceded | (214) | (354) | |
Total net outstanding exposure | |||
Gross | [4] | 10,848 | 11,860 |
Ceded | [4] | (713) | (1,086) |
Expected cash outflows (inflows) | |||
Gross | 337 | 386 | |
Ceded | (28) | (42) | |
Total | (3) | 105 | |
Potential recoveries | |||
Gross, Undiscounted R&W | 97 | 69 | |
Ceded, Undiscounted R&W | (2) | (2) | |
Gross, Other | [5] | (590) | (441) |
Ceded, Other | [5] | 16 | 14 |
Gross | (493) | (372) | |
Ceded | 14 | 12 | |
Subtotal | |||
Gross | (156) | 14 | |
Ceded | (14) | (30) | |
Discount | |||
Gross | 153 | 91 | |
Ceded | (3) | 3 | |
Present value of expected cash flows | |||
Ceded | (17) | (27) | |
Deferred premium revenue | |||
Gross | 280 | 371 | |
Ceded | (10) | (37) | |
Reserves (salvage) | |||
Gross | (96) | 2 | |
Ceded | $ (12) | $ (19) | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 2 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [2] | (14) | (13) |
Total (in contracts) | risk | [2] | 86 | 85 |
Remaining weighted average contract period | |||
Gross (in years) | 13 years 1 month 2 days | 13 years 9 months 6 days | |
Ceded (in years) | 10 years 4 months 8 days | 9 years 6 months | |
Principal | |||
Gross | $ 4,461 | $ 3,895 | |
Ceded | (446) | (240) | |
Interest | |||
Gross | 3,058 | 2,805 | |
Ceded | (233) | (110) | |
Total net outstanding exposure | |||
Gross | [4] | 7,519 | 6,700 |
Ceded | [4] | (679) | (350) |
Expected cash outflows (inflows) | |||
Gross | 1,418 | 1,158 | |
Ceded | (77) | (60) | |
Total | 838 | 705 | |
Potential recoveries | |||
Gross, Undiscounted R&W | (42) | (49) | |
Ceded, Undiscounted R&W | 1 | 1 | |
Gross, Other | [5] | (250) | (118) |
Ceded, Other | [5] | 10 | 7 |
Gross | (292) | (167) | |
Ceded | 11 | 8 | |
Subtotal | |||
Gross | 1,126 | 991 | |
Ceded | (66) | (52) | |
Discount | |||
Gross | (288) | (286) | |
Ceded | 14 | 12 | |
Present value of expected cash flows | |||
Ceded | (52) | (40) | |
Deferred premium revenue | |||
Gross | 156 | 150 | |
Ceded | (7) | (4) | |
Reserves (salvage) | |||
Gross | 717 | 591 | |
Ceded | $ (47) | $ (38) | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 3 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [2] | (45) | (44) |
Total (in contracts) | risk | [2] | 129 | 132 |
Remaining weighted average contract period | |||
Gross (in years) | 7 years 2 months 4 days | 7 years 8 months 4 days | |
Ceded (in years) | 5 years 4 months 8 days | 5 years 10 months 8 days | |
Principal | |||
Gross | $ 3,145 | $ 3,087 | |
Ceded | (207) | (187) | |
Interest | |||
Gross | 962 | 1,011 | |
Ceded | (44) | (42) | |
Total net outstanding exposure | |||
Gross | [4] | 4,107 | 4,098 |
Ceded | [4] | (251) | (229) |
Expected cash outflows (inflows) | |||
Gross | 1,372 | 1,464 | |
Ceded | (58) | (53) | |
Total | 682 | 734 | |
Potential recoveries | |||
Gross, Undiscounted R&W | (88) | (85) | |
Ceded, Undiscounted R&W | 5 | 5 | |
Gross, Other | [5] | (631) | (587) |
Ceded, Other | [5] | 25 | 19 |
Gross | (719) | (672) | |
Ceded | 30 | 24 | |
Subtotal | |||
Gross | 653 | 792 | |
Ceded | (28) | (29) | |
Discount | |||
Gross | 29 | (58) | |
Ceded | (94) | (89) | |
Present value of expected cash flows | |||
Ceded | (122) | (118) | |
Deferred premium revenue | |||
Gross | 380 | 386 | |
Ceded | (33) | (32) | |
Reserves (salvage) | |||
Gross | 352 | 404 | |
Ceded | (8) | (9) | |
BIG [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Expected cash outflows (inflows) | |||
Total | 345 | 343 | |
Potential recoveries | |||
Total, Undiscounted R&W | 6 | 7 | |
Total, Other | [5] | 190 | 175 |
Total | 196 | 182 | |
Subtotal | |||
Total | (149) | (161) | |
Discount | |||
Total | 33 | 41 | |
Present value of expected cash flows | |||
Net expected loss to be paid | (116) | (120) | |
Deferred premium revenue | |||
Total | (96) | (100) | |
Reserves (salvage) | |||
Total | $ (71) | $ (74) | |
[1] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. | ||
[2] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure | ||
[3] | Includes net par outstanding for VIEs. | ||
[4] | Includes BIG amounts related to FG VIEs. | ||
[5] | Includes excess spread. |
Fair Value Measurement - Measur
Fair Value Measurement - Measured and Carried at Fair Value (Details) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016USD ($)sourceSecurity | Dec. 31, 2015USD ($) | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Percentage of CDS contracts which are fair valued using minimum premium | 18.00% | 20.00% | |
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] | 14.00% | 13.00% |
Based on market indices [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Gross spread percentage | [1] | 72.00% | 73.00% |
Provided by the CDS counterparty [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Gross spread percentage | [1] | 14.00% | 14.00% |
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 | $ 53 | $ 53 | |
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 | 36 | ||
Fixed maturity securities | $ 1,080 | ||
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) | 0.44% | 0.44% | |
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) | 2.06% | 2.51% | |
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 | 9.80% | ||
[1] | Based on par. |
Fair Value Measurement - Financ
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |
Assets: | |||
Fixed-maturity securities | $ 11,047 | $ 11,023 | |
Other invested assets | 167 | 169 | |
Credit derivative assets | 55 | 81 | |
Liabilities: | |||
Credit derivative liabilities | 489 | 446 | |
Investment funds, fair value | 45 | 45 | |
Recurring [Member] | |||
Assets: | |||
Other invested assets | [1] | 12 | 12 |
Credit derivative assets | 55 | 81 | |
FG VIEs’ assets, at fair value | 1,191 | 1,261 | |
Other assets | 93 | 106 | |
Total assets carried at fair value | 12,398 | 12,483 | |
Liabilities: | |||
Credit derivative liabilities | 489 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 1,165 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 119 | 124 | |
Total liabilities carried at fair value | 1,773 | 1,795 | |
Recurring [Member] | Level 1 [Member] | |||
Assets: | |||
Other invested assets | [1] | 0 | 0 |
Credit derivative assets | 0 | 0 | |
FG VIEs’ assets, at fair value | 0 | 0 | |
Other assets | 26 | 23 | |
Total assets carried at fair value | 358 | 328 | |
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] | 5 | 5 |
Credit derivative assets | 0 | 0 | |
FG VIEs’ assets, at fair value | 0 | 0 | |
Other assets | 21 | 21 | |
Total assets carried at fair value | 9,661 | 9,600 | |
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] | 7 | 7 |
Credit derivative assets | 55 | 81 | |
FG VIEs’ assets, at fair value | 1,191 | 1,261 | |
Other assets | 46 | 62 | |
Total assets carried at fair value | 2,379 | 2,555 | |
Liabilities: | |||
Credit derivative liabilities | 489 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 1,165 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 119 | 124 | |
Total liabilities carried at fair value | 1,773 | 1,795 | |
Fixed Maturities [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,588 | 10,627 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,776 | 5,841 | |
Fixed Maturities [Member] | US government and agencies [Member] | |||
Assets: | |||
Fixed-maturity securities | 405 | 400 | |
Fixed Maturities [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,525 | 1,520 | |
Fixed Maturities [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | [2] | 1,239 | 1,245 |
Fixed Maturities [Member] | CMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | [2] | 556 | 513 |
Fixed Maturities [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 811 | 825 | |
Fixed Maturities [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 276 | 283 | |
Fixed Maturities [Member] | Recurring [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,588 | 10,627 | |
Fixed Maturities [Member] | Recurring [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,776 | 5,841 | |
Fixed Maturities [Member] | Recurring [Member] | US government and agencies [Member] | |||
Assets: | |||
Fixed-maturity securities | 405 | 400 | |
Fixed Maturities [Member] | Recurring [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,525 | 1,520 | |
Fixed Maturities [Member] | Recurring [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,239 | 1,245 | |
Fixed Maturities [Member] | Recurring [Member] | CMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 556 | 513 | |
Fixed Maturities [Member] | Recurring [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 811 | 825 | |
Fixed Maturities [Member] | Recurring [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 276 | 283 | |
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 government and agencies [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 | 9,508 | 9,543 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,769 | 5,833 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | US government and agencies [Member] | |||
Assets: | |||
Fixed-maturity securities | 405 | 400 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,451 | 1,449 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 879 | 897 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | CMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 556 | 513 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 172 | 168 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 276 | 283 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,080 | 1,084 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 7 | 8 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | US government and agencies [Member] | |||
Assets: | |||
Fixed-maturity securities | 0 | 0 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 74 | 71 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 360 | 348 | |
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 | 639 | 657 | |
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 | 459 | 396 | |
Short-term Investments [Member] | Recurring [Member] | |||
Assets: | |||
Fixed-maturity securities | 459 | 396 | |
Short-term Investments [Member] | Recurring [Member] | Level 1 [Member] | |||
Assets: | |||
Fixed-maturity securities | 332 | 305 | |
Short-term Investments [Member] | Recurring [Member] | Level 2 [Member] | |||
Assets: | |||
Fixed-maturity securities | 127 | 31 | |
Short-term Investments [Member] | Recurring [Member] | Level 3 [Member] | |||
Assets: | |||
Fixed-maturity securities | $ 0 | $ 60 | |
[1] | Excluded from the table above are investments funds of $45 million and $45 million as of March 31, 2016 and December 31, 2015, respectively, measured using NAV per share. Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. | ||
[2] | Government-agency obligations were approximately 52% of mortgage backed securities as of March 31, 2016 and 54% as of December 31, 2015 based on fair value. |
Fair Value Measurement - Fair V
Fair Value Measurement - Fair Value Level 3 Rollforward Recurring Basis (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | |||
Short-term Investments [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | $ 60 | |||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | [1],[2] | 0 | ||
Other comprehensive income (loss) | [2] | 0 | ||
Purchases | 0 | |||
Settlements | (60) | |||
FG VIE Consolidations | 0 | |||
FG VIE deconsolidations | 0 | |||
Fair value at end of period | 0 | |||
Change in unrealized gains/(losses) related to financial instruments held | 0 | |||
FG VIEs' assets, at fair value [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 1,261 | $ 1,398 | ||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | [2],[3] | (4) | 23 | |
Other comprehensive income (loss) | [2] | 0 | 0 | |
Purchases | 0 | 0 | ||
Settlements | (66) | (30) | ||
FG VIE Consolidations | 0 | 104 | ||
FG VIE deconsolidations | 0 | 0 | ||
Fair value at end of period | 1,191 | 1,495 | ||
Change in unrealized gains/(losses) related to financial instruments held | 4 | 34 | ||
Other Assets and Other Invested Assets [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | [4] | 65 | 37 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | [2],[4],[5] | (16) | 2 | |
Other comprehensive income (loss) | [2],[4] | 0 | 1 | |
Purchases | [4] | 0 | 0 | |
Settlements | [4] | 0 | 0 | |
FG VIE Consolidations | [4] | 0 | 0 | |
FG VIE deconsolidations | [4] | 0 | 0 | |
Fair value at end of period | [4] | 49 | 40 | |
Change in unrealized gains/(losses) related to financial instruments held | [4] | (16) | 3 | |
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 8 | 38 | ||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | [1],[2] | 0 | 3 | |
Other comprehensive income (loss) | [2] | 0 | (2) | |
Purchases | 0 | 0 | ||
Settlements | (1) | (31) | [6] | |
FG VIE Consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Fair value at end of period | 7 | 8 | ||
Change in unrealized gains/(losses) related to financial instruments held | 0 | 0 | ||
Corporate securities [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 71 | 79 | ||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | [1],[2] | 2 | 2 | |
Other comprehensive income (loss) | [2] | 1 | (2) | |
Purchases | 0 | 0 | ||
Settlements | 0 | 0 | ||
FG VIE Consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Fair value at end of period | 74 | 79 | ||
Change in unrealized gains/(losses) related to financial instruments held | 1 | (2) | ||
RMBS [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 348 | 425 | ||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | [1],[2] | (2) | 9 | |
Other comprehensive income (loss) | [2] | (5) | 5 | |
Purchases | 34 | 9 | ||
Settlements | (15) | (65) | ||
FG VIE Consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Fair value at end of period | 360 | 383 | ||
Change in unrealized gains/(losses) related to financial instruments held | (6) | 7 | ||
Asset-backed Securities [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 657 | 228 | ||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | [1],[2] | 1 | (2) | |
Other comprehensive income (loss) | [2] | (5) | 1 | |
Purchases | 0 | 0 | ||
Settlements | (14) | (1) | ||
FG VIE Consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Fair value at end of period | 639 | 226 | ||
Change in unrealized gains/(losses) related to financial instruments held | (5) | 1 | ||
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 | (1,225) | (1,277) | ||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | ||||
Net income (loss) | [2],[3] | 21 | 93 | |
Other comprehensive income (loss) | [2] | 0 | 0 | |
Purchases | 0 | 0 | ||
Settlements | 39 | 37 | ||
FG VIE consolidations | 0 | (131) | ||
FG VIE deconsolidations | 0 | 0 | ||
Fair value at end of period | (1,165) | (1,278) | ||
Change in unrealized gains/(losses) related to financial instruments held | 21 | (6) | ||
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 | (124) | (142) | ||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | ||||
Net income (loss) | [2],[3] | 2 | (5) | |
Other comprehensive income (loss) | [2] | 0 | 0 | |
Purchases | 0 | 0 | ||
Settlements | 3 | 2 | ||
FG VIE consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Fair value at end of period | (119) | (145) | ||
Change in unrealized gains/(losses) related to financial instruments held | 1 | (4) | ||
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 | [7] | (365) | (895) | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Net Derivative Asset (Liability) [Abstract] | ||||
Net income (loss) | [2],[7],[8] | (60) | 124 | |
Other comprehensive income (loss) | [2],[7] | 0 | 0 | |
Purchases | [7] | 0 | 0 | |
Settlements | [7] | (9) | (11) | |
FG VIE consolidations | [7] | 0 | 0 | |
FG VIE deconsolidations | [7] | 0 | 0 | |
Fair value at end of period | [7] | (434) | (782) | |
Change in unrealized gains/(losses) related to financial instruments held | [7] | $ (79) | $ 103 | |
[1] | Included in net realized investment gains (losses) and net investment income. | |||
[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] | Included in fair value gains (losses) on FG VIEs. | |||
[4] | Includes CCS and other invested assets. | |||
[5] | Recorded in fair value gains (losses) on CCS, net investment income and other income. | |||
[6] | Primarily non-cash transaction. | |||
[7] | Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure. | |||
[8] | Reported in net change in fair value of credit derivatives. |
- Quantitative Information - As
- Quantitative Information - Assets (Details) - Income Approach Valuation Technique [Member] - Level 3 [Member] - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2016 | Dec. 31, 2015 | ||||
Obligations of state and political subdivisions [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 7 | $ 8 | |||
Corporate securities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 74 | [1],[2],[3] | $ 71 | [4],[5],[6] | |
Yield (as a percent) | 20.20% | [1],[2],[3] | 21.80% | [4],[5],[6] | |
RMBS [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 360 | [1],[2],[3] | $ 348 | [4],[5],[6] | |
RMBS [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 3.90% | [1],[2],[3] | 4.70% | [4],[5],[6] | |
Conditional prepayment rate (as a percent) | 1.00% | [1],[2],[3] | 0.30% | [4],[5],[6] | |
Conditional default rate (as a percent) | 4.80% | [1],[2],[3] | 2.70% | [4],[5],[6] | |
Loss severity rate (as a percent) | 65.00% | [1],[2],[3] | 60.00% | [4],[5],[6] | |
RMBS [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 8.90% | [1],[2],[3] | 8.20% | [4],[5],[6] | |
Conditional prepayment rate (as a percent) | 9.80% | [1],[2],[3] | 9.00% | [4],[5],[6] | |
Conditional default rate (as a percent) | 12.80% | [1],[2],[3] | 9.30% | [4],[5],[6] | |
Loss severity rate (as a percent) | 100.00% | [1],[2],[3] | 100.00% | [4],[5],[6] | |
RMBS [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 6.00% | [1],[2],[3] | 6.00% | [4],[5],[6] | |
Conditional prepayment rate (as a percent) | 2.80% | [1],[2],[3] | 2.60% | [4],[5],[6] | |
Conditional default rate (as a percent) | 9.70% | [1],[2],[3] | 7.00% | [4],[5],[6] | |
Loss severity rate (as a percent) | 78.00% | [1],[2],[3] | 74.00% | [4],[5],[6] | |
Investor-owned utilities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 71 | [1],[3] | $ 69 | [4],[6] | |
Cash flow receipts (as a percent) | 100.00% | [1],[3] | 100.00% | [4],[6] | |
Discount factor (as a percent) | 7.00% | [1],[3] | 7.00% | [4],[6] | |
Collateral recovery period (in years) | 2 years 8 months | [1],[3] | 2 years 11 months | [4],[6] | |
Triple-X Life Insurance Transaction [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 321 | [1],[3] | $ 329 | [4],[6] | |
Triple-X Life Insurance Transaction [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 3.50% | [1],[3] | 3.50% | [4],[6] | |
Triple-X Life Insurance Transaction [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 7.30% | [1],[3] | 7.50% | [4],[6] | |
Triple-X Life Insurance Transaction [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 4.90% | [1],[3] | 5.00% | [4],[6] | |
Pooled corporate obligations [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 247 | [1],[3] | $ 259 | [4],[6] | |
Discount factor (as a percent) | 15.00% | [1],[3] | 20.00% | [4],[6] | |
Short-term Investments [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [4],[6] | $ 60 | |||
Yield (as a percent) | [4],[6] | 17.00% | |||
Other invested assets [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 7 | $ 7 | |||
Financial Guaranty Variable Interest Entities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 1,191 | [1],[3] | $ 1,261 | [4],[6] | |
Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 3.50% | [1],[3] | 1.90% | [4],[6] | |
Conditional prepayment rate (as a percent) | 2.50% | [1],[3] | 0.30% | [4],[6] | |
Conditional default rate (as a percent) | 1.20% | [1],[3] | 1.20% | [4],[6] | |
Loss severity rate (as a percent) | 40.00% | [1],[3] | 40.00% | [4],[6] | |
Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 20.90% | [1],[3] | 20.00% | [4],[6] | |
Conditional prepayment rate (as a percent) | 8.60% | [1],[3] | 9.20% | [4],[6] | |
Conditional default rate (as a percent) | 23.10% | [1],[3] | 16.00% | [4],[6] | |
Loss severity rate (as a percent) | 100.00% | [1],[3] | 100.00% | [4],[6] | |
Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 6.80% | [1],[3] | 6.40% | [4],[6] | |
Conditional prepayment rate (as a percent) | 5.10% | [1],[3] | 3.90% | [4],[6] | |
Conditional default rate (as a percent) | 5.60% | [1],[3] | 4.70% | [4],[6] | |
Loss severity rate (as a percent) | 86.80% | [1],[3] | 85.90% | [4],[6] | |
Other Assets [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 46 | [1],[3] | $ 62 | [4],[6] | |
Fair Value Inputs Term | 5 years | [1],[3] | 5 years | [4],[6] | |
Other Assets [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | $ 51 | [1],[3] | $ 44 | [4],[6] | |
Other Assets [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | 54 | [1],[3] | 46 | [4],[6] | |
Other Assets [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | $ 53 | [1],[3] | $ 45 | [4],[6] | |
[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 $7 million. | ||||
[3] | Excludes several investments recorded in other invested assets with fair value of $7 million. | ||||
[4] | Discounted cash flow is used as valuation technique for all financial instruments. | ||||
[5] | Excludes obligations of state and political subdivisions investments with fair value of $8 million. | ||||
[6] | Excludes several investments recorded in other invested assets with fair value of $7 million. |
- Quantitative Information - Li
- Quantitative Information - Liabilities (Details) - Income Approach Valuation Technique [Member] - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2016 | Dec. 31, 2015 | |||
Credit derivative liabilities, net [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Total liabilities carried at fair value | $ (434) | [1] | $ (365) | [2] |
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% | 0.038% | ||
Hedge cost (as a percent) | 0.255% | 0.328% | ||
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% | [1] | 0.00% | [2] |
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) | 15.444% | 10.175% | ||
Hedge cost (as a percent) | 2.318% | 2.82% | ||
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) | 41.00% | [1] | 41.00% | [2] |
Credit derivative liabilities, net [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Internal floor (as a percent) | 0.182% | 0.168% | ||
Bank profit (as a percent) | 1.123% | 1.108% | ||
Hedge cost (as a percent) | 0.528% | 0.663% | ||
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) | 0.80% | [1] | 0.60% | [2] |
Financial Guaranty Variable Interest Entities [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Total liabilities carried at fair value | $ (1,284) | [1] | $ (1,349) | [2] |
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% | [1] | 40.00% | [2] |
Conditional default rate (as a percent) | 1.20% | [1] | 1.20% | [2] |
Conditional prepayment rate (as a percent) | 2.50% | [1] | 0.30% | [2] |
Yield (as a percent) | 3.50% | [1] | 1.90% | [2] |
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% | [1] | 100.00% | [2] |
Conditional default rate (as a percent) | 23.10% | [1] | 16.00% | [2] |
Conditional prepayment rate (as a percent) | 8.60% | [1] | 9.20% | [2] |
Yield (as a percent) | 20.90% | [1] | 20.00% | [2] |
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) | 86.80% | [1] | 85.90% | [2] |
Conditional default rate (as a percent) | 5.60% | [1] | 4.70% | [2] |
Conditional prepayment rate (as a percent) | 5.10% | [1] | 3.90% | [2] |
Yield (as a percent) | 5.90% | [1] | 5.60% | [2] |
[1] | Discounted cash flow is used as valuation technique for all financial instruments. | |||
[2] | Discounted cash flow is used as valuation technique for all financial instruments. |
Fair Value Measurement - Fair78
Fair Value Measurement - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |
Assets: | |||
Fixed-maturity securities | $ 11,047 | $ 11,023 | |
Short-term investments | 459 | 396 | |
Other invested assets | 167 | 169 | |
Credit derivative assets | 55 | 81 | |
Liabilities: | |||
Credit derivative liabilities | 489 | 446 | |
Investments not carried at fair value, carrying value | 93 | 93 | |
Carrying Amount [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,588 | 10,627 | |
Short-term investments | 459 | 396 | |
Other invested assets | [1] | 150 | 150 |
Credit derivative assets | 55 | 81 | |
FG VIEs’ assets, at fair value | 1,191 | 1,261 | |
Other assets | 211 | 206 | |
Liabilities: | |||
Financial guaranty insurance contracts | [2] | 3,804 | 3,998 |
Long-term debt | 1,302 | 1,300 | |
Credit derivative liabilities | 489 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 1,165 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 119 | 124 | |
Other liabilities | 73 | 9 | |
Estimated Fair Value [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,588 | 10,627 | |
Short-term investments | 459 | 396 | |
Other invested assets | [1] | 152 | 152 |
Credit derivative assets | 55 | 81 | |
FG VIEs’ assets, at fair value | 1,191 | 1,261 | |
Other assets | 211 | 206 | |
Liabilities: | |||
Financial guaranty insurance contracts | [2] | 9,500 | 8,712 |
Long-term debt | 1,500 | 1,512 | |
Credit derivative liabilities | 489 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 1,165 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 119 | 124 | |
Other liabilities | $ 73 | $ 9 | |
[1] | Includes investments not carried at fair value with a carrying value of $93 million and $93 million as of March 31, 2016 and December 31, 2015, respectively. Excludes investments carried under the equity method. | ||
[2] | Carrying amount includes the assets and liabilities related to financial guaranty insurance contract premiums, losses, and salvage and subrogation and other recoverables net of reinsurance. |
Financial Guaranty Contracts 79
Financial Guaranty Contracts Accounted for as Credit Derivatives - Credit Derivatives Subordination and Ratings (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 24,866 | $ 25,594 | |
Pooled corporate obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 16,831 | $ 17,523 | |
Original Subordination (as a percent) | [1] | 29.00% | 29.20% |
Current Subordination (as a percent) | [1] | 31.90% | 32.30% |
Pooled corporate obligations [Member] | Collateralized loan obligations and collateral bond obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 5,197 | $ 5,873 | |
Original Subordination (as a percent) | [1] | 30.70% | 30.90% |
Current Subordination (as a percent) | [1] | 42.80% | 42.30% |
Pooled corporate obligations [Member] | Synthetic investment grade pooled corporate [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 7,127 | $ 7,108 | |
Original Subordination (as a percent) | [1] | 21.70% | 21.70% |
Current Subordination (as a percent) | [1] | 19.40% | 19.40% |
Pooled corporate obligations [Member] | TruPS CDOs [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 3,394 | $ 3,429 | |
Original Subordination (as a percent) | [1] | 45.60% | 45.80% |
Current Subordination (as a percent) | [1] | 42.90% | 42.60% |
Pooled corporate obligations [Member] | Market Value of CDOs of corporate obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 1,113 | $ 1,113 | |
Original Subordination (as a percent) | [1] | 17.00% | 17.00% |
Current Subordination (as a percent) | [1] | 27.80% | 30.10% |
RMBS [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 1,472 | $ 1,526 | |
Original Subordination (as a percent) | [1] | 24.10% | 24.10% |
Current Subordination (as a percent) | [1] | 37.30% | 37.40% |
RMBS [Member] | Option Adjustable Rate Mortgage and Alt-A Mortgage [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 336 | $ 351 | |
Original Subordination (as a percent) | [1] | 10.50% | 10.50% |
Current Subordination (as a percent) | [1] | 12.80% | 12.70% |
RMBS [Member] | Subprime [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 951 | $ 981 | |
Original Subordination (as a percent) | [1] | 27.70% | 27.70% |
Current Subordination (as a percent) | [1] | 45.00% | 45.20% |
RMBS [Member] | Prime [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 169 | $ 177 | |
Original Subordination (as a percent) | [1] | 10.90% | 10.90% |
Current Subordination (as a percent) | [1] | 0.00% | 0.00% |
RMBS [Member] | Closed-end [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 16 | $ 17 | |
Original Subordination (as a percent) | [1] | 0.00% | 0.00% |
Current Subordination (as a percent) | [1] | 0.00% | 0.00% |
CMBS [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 496 | $ 530 | |
Original Subordination (as a percent) | [1] | 44.70% | 44.80% |
Current Subordination (as a percent) | [1] | 53.80% | 52.60% |
Other [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 6,067 | $ 6,015 | |
Original Subordination (as a percent) | [1] | 0.00% | 0.00% |
Current Subordination (as a percent) | [1] | 0.00% | 0.00% |
[1] | Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses. |
Financial Guaranty Contracts 80
Financial Guaranty Contracts Accounted for as Credit Derivatives - Distribution of Credit Derivative Net Par Outstanding by Internal Rating (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Credit Derivatives | ||
Net Par Outstanding | $ 24,866 | $ 25,594 |
Internal Credit Rating, AAA [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | 14,302 | 14,808 |
Internal Credit Rating, AA [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | 4,624 | 4,821 |
Internal Credit Rating, A [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | 2,253 | 2,144 |
Internal Credit Rating, BBB [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | 2,108 | 2,212 |
BIG [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,579 | $ 1,609 |
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 | 57.50% | 57.90% |
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 | 18.60% | 18.80% |
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 | 9.10% | 8.40% |
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 | 8.50% | 8.60% |
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 | 6.30% | 6.30% |
Financial Guaranty Contracts 81
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 | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Credit Derivatives | ||
Realized gains on credit derivatives | $ 10 | $ 23 |
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | (2) | (2) |
Realized gains (losses) and other settlements | 8 | 21 |
Net change in unrealized gains (losses) on credit derivatives | (68) | 103 |
Net change in fair value of credit derivatives | (60) | 124 |
Pooled corporate obligations [Member] | ||
Credit Derivatives | ||
Net change in unrealized gains (losses) on credit derivatives | (48) | 17 |
CMBS [Member] | ||
Credit Derivatives | ||
Net change in unrealized gains (losses) on credit derivatives | 0 | 0 |
Other [Member] | ||
Credit Derivatives | ||
Net change in unrealized gains (losses) on credit derivatives | (5) | 11 |
United States [Member] | RMBS [Member] | ||
Credit Derivatives | ||
Net change in unrealized gains (losses) on credit derivatives | (15) | 75 |
Credit Risk Contract [Member] | ||
Credit Derivatives | ||
Net par of terminated credit derivative contracts | 0 | 93 |
Realized gains on credit derivatives | $ 0 | $ 11 |
Financial Guaranty Contracts 82
Financial Guaranty Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Credit Derivatives | |||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ (1,509) | $ (1,448) | |||
Plus: Effect of AGC and AGM credit spreads | 1,075 | 1,083 | |||
Net fair value of credit derivatives | $ (434) | [1] | $ (365) | ||
Credit Risk Contract, 5 Year Spread [Member] | AGC [Member] | |||||
Credit Derivatives | |||||
Quoted price of CDS contract (as a percent) | 3.07% | 3.76% | 3.17% | 3.23% | |
Credit Risk Contract, 5 Year Spread [Member] | AGM [Member] | |||||
Credit Derivatives | |||||
Quoted price of CDS contract (as a percent) | 3.09% | 3.66% | 3.41% | 3.25% | |
Credit Risk Contract, 1 Year Spread [Member] | AGC [Member] | |||||
Credit Derivatives | |||||
Quoted price of CDS contract (as a percent) | 1.05% | 1.39% | 0.60% | 0.80% | |
Credit Risk Contract, 1 Year Spread [Member] | AGM [Member] | |||||
Credit Derivatives | |||||
Quoted price of CDS contract (as a percent) | 1.02% | 1.31% | 0.80% | 0.85% | |
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Financial Guaranty Contracts 83
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Fair Value and Expected Losses of Credit Derivatives by Sector (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |
Credit Derivatives | |||
Net fair value of credit derivatives | $ (434) | [1] | $ (365) |
Expected Loss to be (Paid) Recovered | (9) | (16) | |
Pooled corporate obligations [Member] | |||
Credit Derivatives | |||
Net fair value of credit derivatives | (131) | (82) | |
Expected Loss to be (Paid) Recovered | (4) | (5) | |
RMBS [Member] | United States [Member] | |||
Credit Derivatives | |||
Net fair value of credit derivatives | (113) | (98) | |
Expected Loss to be (Paid) Recovered | (33) | (38) | |
CMBS [Member] | |||
Credit Derivatives | |||
Net fair value of credit derivatives | 0 | 0 | |
Expected Loss to be (Paid) Recovered | 0 | 0 | |
Other [Member] | |||
Credit Derivatives | |||
Net fair value of credit derivatives | (190) | (185) | |
Expected Loss to be (Paid) Recovered | $ 28 | $ 27 | |
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Financial Guaranty Contracts 84
Financial Guaranty Contracts Accounted for as Credit Derivatives - Effect of Changes in Credit Spread (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2016 | Dec. 31, 2015 | |||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Fair Value | [1] | $ (883) | ||
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Fair Value | [1] | (658) | ||
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Fair Value | [1] | (547) | ||
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Fair Value | [1] | (479) | ||
Net fair value of credit derivatives | (434) | [1] | $ (365) | |
Credit Risk Derivatives, 10 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (392) | ||
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (329) | ||
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (226) | ||
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (449) | ||
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (224) | ||
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (113) | ||
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (45) | ||
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] | 42 | ||
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | 105 | ||
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | $ 208 | ||
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Financial Guaranty Contracts 85
Financial Guaranty Contracts Accounted for as Credit Derivatives - Narrative (Details) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016USD ($)Transaction | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($) | |
Credit Derivatives | |||
Estimated remaining weighted average life of credit derivatives (in years) | 5 years | 5 years 4 months 24 days | |
Net par outstanding | $ 24,866 | $ 25,594 | |
Gain due to change in methodology in expected recoveries | $ 49 | ||
Collateral agreed to be posted | $ 308 | 305 | |
Market value collateralized debt obligations of corporate obligations [Member] | |||
Credit Derivatives | |||
Average obligor size (less than) | 1.00% | ||
Maximum exposure of one industry (as a percent) | 10.00% | ||
Net par outstanding | $ 16,831 | 17,523 | |
Other pooled infrastructure [Member] | |||
Credit Derivatives | |||
Net par outstanding | $ 1,800 | ||
Pooled infrastructure [Member] | |||
Credit Derivatives | |||
Number of transactions | Transaction | 1 | ||
Remaining other CDS [Member] | |||
Credit Derivatives | |||
Net par outstanding | $ 4,300 | ||
CMBS [Member] | |||
Credit Derivatives | |||
Net par outstanding | 496 | 530 | |
Collateral Debt Obligations, Collateral Requirement [Member] | |||
Credit Derivatives | |||
Amount of par subject to collateral for which the amount of collateral is capped | 3,700 | ||
Collateral Debt Obligations, Collateral Cap Negotiated [Member] | |||
Credit Derivatives | |||
Amount of par subject to collateral for which the amount of collateral is capped | 3,500 | ||
Collateral Debt Obligations, No Cap Negotiated [Member] | |||
Credit Derivatives | |||
Amount of par subject to collateral for which the amount of collateral is capped | 575 | ||
Collateral agreed to be posted | 308 | 305 | |
Notional amount subject to collateral based on movements in the mark-to-market valuation of the underlying exposure | 219 | 221 | |
Collateral posted, based on mark-to-market valuation | 23 | $ 23 | |
Credit Risk Contract [Member] | |||
Credit Derivatives | |||
Realized gains on credit derivatives | $ 0 | $ 11 |
Consolidated Variable Interes86
Consolidated Variable Interest Entities - Narrative (Details) | 3 Months Ended | ||||
Mar. 31, 2016USD ($)Entity | Mar. 31, 2015USD ($)Entity | Dec. 31, 2015USD ($)Entity | Dec. 31, 2014Entity | ||
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 | ||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||
Fair value gains (losses) on FG VIEs | $ 18,000,000 | $ (7,000,000) | |||
Variable Interest Entity, Primary Beneficiary [Member] | |||||
Variable Interest Entity [Line Items] | |||||
Net loss on consolidation | $ 26,000,000 | ||||
Variable Interest Entity, Number of Entities to be Consolidated | Entity | [1] | 0 | 1 | ||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||
Fair value gains (losses) on FG VIEs | $ 18,000,000 | $ (7,000,000) | |||
Number of VIE that did not require consolidation | Entity | 33 | 33 | 34 | 32 | |
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 | 720 | 750 | |||
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 | $ 146,000,000 | $ 154,000,000 | |||
Difference between the aggregate unpaid principal and aggregate fair value of the VIEs' Assets | 776,000,000 | 804,000,000 | |||
Change in the instrument specific credit risk of the VIEs' assets | 34,000,000 | $ 18,000,000 | |||
Unpaid principal for FG VIEs’ liabilities with recourse | 1,382,000,000 | 1,436,000,000 | |||
Unpaid principal for FG VIEs' liabilities with and without recourse | $ 407,000,000 | $ 423,000,000 | |||
[1] | Net loss on deconsolidation was de minimis in First Quarter 2016, and net loss on consolidation was $26 million in First Quarter 2015, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations. |
Consolidated Variable Interes87
Consolidated Variable Interest Entities - Number of FG VIE's Consolidated (Details) - Variable Interest Entity, Primary Beneficiary [Member] - Entity | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Number of FG VIEs Consolidated [Roll Forward] | |||
Number of FG VIE's consolidated, beginning of period | 34 | 32 | |
Number of FG VIE's consolidated | [1] | 0 | 1 |
Number of FG VIE's deconsolidated | [1] | (1) | 0 |
Number of FG VIE's consolidated, end of period | 33 | 33 | |
[1] | Net loss on deconsolidation was de minimis in First Quarter 2016, and net loss on consolidation was $26 million in First Quarter 2015, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations. |
Consolidated Variable Interes88
Consolidated Variable Interest Entities - Consolidated FG VIE's By Type of Collateral (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | $ 1,066 | $ 1,131 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 1,165 | 1,225 |
Financial guaranty variable interest entities' assets without recourse, at fair value | 125 | 130 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 119 | 124 |
Financial guaranty variable interest entities’ assets, at fair value | 1,191 | 1,261 |
Financial guaranty variable interest entities’ liabilities, at fair value | 1,284 | 1,349 |
Life Insurance [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 339 | 347 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 339 | 347 |
Manufactured Housing Loans [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 81 | 84 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 81 | 84 |
United States [Member] | First Lien [Member] | RMBS [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 457 | 506 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 495 | 521 |
United States [Member] | Second Lien [Member] | RMBS [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 189 | 194 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | $ 250 | $ 273 |
Consolidated Variable Interes89
Consolidated Variable Interest Entities - Effect of Consolidating FG VIE's on Financial Information (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | ||
Variable Interest Entity [Line Items] | ||||
Net earned premiums | $ 183 | [1] | $ 142 | |
Net investment income | 99 | 101 | ||
Net realized investment gains (losses) | (13) | 16 | ||
Fair value gains (losses) on FG VIEs | 18 | (7) | ||
Other income (loss) | 34 | (9) | ||
Loss and LAE | 90 | 18 | ||
Income (loss) before income taxes | 65 | 266 | ||
Provision (benefit) for income taxes | 6 | 65 | ||
Net income (loss) | 59 | 201 | ||
Net cash flows provided by (used in) operating activities | (90) | 23 | ||
Effect on shareholders’ equity (decrease) increase | 6,113 | $ 6,063 | ||
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Variable Interest Entity [Line Items] | ||||
Net earned premiums | (5) | (5) | ||
Net investment income | (5) | (3) | ||
Net realized investment gains (losses) | 1 | 0 | ||
Fair value gains (losses) on FG VIEs | 18 | (7) | ||
Loss and LAE | 6 | 5 | ||
Income (loss) before income taxes | 15 | (10) | ||
Provision (benefit) for income taxes | 5 | (4) | ||
Net income (loss) | 10 | (6) | ||
Net cash flows provided by (used in) operating activities | 6 | $ 18 | ||
Effect on shareholders’ equity (decrease) increase | $ (12) | $ (23) | ||
[1] | Excludes $5 million and $5 million for First Quarter 2016 and 2015, respectively, related to consolidated FG VIEs. |
Investments and Cash - Net Inve
Investments and Cash - Net Investment Income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Net Investment Income | ||
Gross investment income | $ 101 | $ 103 |
Investment expenses | (2) | (2) |
Net investment income | 99 | 101 |
Fixed Maturities, Managed Externally [Member] | ||
Net Investment Income | ||
Gross investment income | 79 | 82 |
Fixed Maturities, Managed Internally [Member] | ||
Net Investment Income | ||
Gross investment income | 17 | 15 |
Other Investments, Internally Managed [Member] | ||
Net Investment Income | ||
Gross investment income | $ 5 | $ 6 |
Investments and Cash - Net Real
Investments and Cash - Net Realized Investment Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Net Realized Investment Gains (Losses) | ||
Gross realized gains on available-for-sale securities | $ 6 | $ 24 |
Gross realized gains on other assets in investment portfolio | 0 | 1 |
Gross realized losses on available-for-sale securities | (2) | (1) |
Gross realized losses on other assets in investment portfolio | (1) | (1) |
Other-than-temporary impairment | (16) | (7) |
Net realized investment gains (losses) | $ (13) | $ 16 |
Investments and Cash - Roll For
Investments and Cash - Roll Forward of Credit Losses in the Investment Portfolio (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Roll Forward of Credit Losses in the Investment Portfolio | ||
Credit losses, beginning of period | $ 108 | $ 124 |
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized | 1 | 0 |
Reductions for securities sold and other settlement during the period | (2) | (21) |
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized | 0 | 3 |
Credit losses, end of period | $ 107 | $ 106 |
Investments and Cash - Fixed Ma
Investments and Cash - Fixed Maturity Securities and Short Term Investments (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | ||
Investments | ||||
Percent of Total | [1] | 100.00% | 100.00% | |
Amortized Cost | $ 10,582 | $ 10,671 | ||
Gross Unrealized Gains | 525 | 430 | ||
Gross Unrealized Losses | (60) | (78) | ||
Estimated Fair Value | 11,047 | 11,023 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (32) | [2] | $ (21) | |
Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 96.00% | 96.00% | |
Amortized Cost | $ 10,123 | $ 10,275 | ||
Gross Unrealized Gains | 525 | 430 | ||
Gross Unrealized Losses | (60) | (78) | ||
Estimated Fair Value | 10,588 | 10,627 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (32) | [2] | $ (21) | |
Short-term Investments [Member] | ||||
Investments | ||||
Percent of Total | [1] | 4.00% | 4.00% | |
Amortized Cost | $ 459 | $ 396 | ||
Gross Unrealized Gains | 0 | 0 | ||
Gross Unrealized Losses | 0 | 0 | ||
Estimated Fair Value | 459 | 396 | ||
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] | 51.00% | 52.00% | |
Amortized Cost | $ 5,417 | $ 5,528 | ||
Gross Unrealized Gains | 360 | 323 | ||
Gross Unrealized Losses | (1) | (10) | ||
Estimated Fair Value | 5,776 | 5,841 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 3 | [2] | $ 5 | |
US government and agencies [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 4.00% | 3.00% | |
Amortized Cost | $ 379 | $ 377 | ||
Gross Unrealized Gains | 26 | 23 | ||
Gross Unrealized Losses | 0 | 0 | ||
Estimated Fair Value | 405 | 400 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | [2] | $ 0 | |
Corporate securities [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 14.00% | 14.00% | |
Amortized Cost | $ 1,473 | $ 1,505 | ||
Gross Unrealized Gains | 69 | 38 | ||
Gross Unrealized Losses | (17) | (23) | ||
Estimated Fair Value | 1,525 | 1,520 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (11) | [2] | $ (13) | |
RMBS [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1],[3] | 11.00% | 11.00% | |
Amortized Cost | [3] | $ 1,222 | $ 1,238 | |
Gross Unrealized Gains | [3] | 37 | 29 | |
Gross Unrealized Losses | [3] | (20) | (22) | |
Estimated Fair Value | [3] | 1,239 | 1,245 | |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | [3] | $ (13) | [2] | $ (7) |
CMBS [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1],[3] | 5.00% | 5.00% | |
Amortized Cost | [3] | $ 531 | $ 506 | |
Gross Unrealized Gains | [3] | 25 | 9 | |
Gross Unrealized Losses | [3] | 0 | (2) | |
Estimated Fair Value | [3] | 556 | 513 | |
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] | 8.00% | 8.00% | |
Amortized Cost | $ 821 | $ 831 | ||
Gross Unrealized Gains | 3 | 4 | ||
Gross Unrealized Losses | (13) | (10) | ||
Estimated Fair Value | 811 | 825 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (11) | [2] | $ (6) | |
Foreign government securities [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 3.00% | 3.00% | |
Amortized Cost | $ 280 | $ 290 | ||
Gross Unrealized Gains | 5 | 4 | ||
Gross Unrealized Losses | (9) | (11) | ||
Estimated Fair Value | 276 | 283 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | [2] | $ 0 | |
[1] | Based on amortized cost. | |||
[2] | Accumulated OCI. See also Note 17, Shareholders' Equity. | |||
[3] | Government-agency obligations were approximately 52% of mortgage backed securities as of March 31, 2016 and 54% as of December 31, 2015 based on fair value. |
Investments and Cash - Gross Un
Investments and Cash - Gross Unrealized Loss by Length of Time (Details) $ in Millions | Mar. 31, 2016USD ($)Security | Dec. 31, 2015USD ($)Security | |
Less than 12 months | |||
Fair value | $ 820 | $ 1,966 | |
Unrealized loss | (24) | (42) | |
12 months or more | |||
Fair Value | 449 | 276 | |
Unrealized loss | (36) | (36) | |
Total | |||
Fair value | 1,269 | 2,242 | |
Unrealized loss | $ (60) | $ (78) | |
Number of securities | |||
Less than 12 months (in securities) | Security | [1] | 110 | 335 |
12 months or more (in securities) | Security | [1] | 82 | 71 |
Total (in securities) | Security | [1] | 185 | 396 |
Number of securities with OTTI | |||
Less than 12 months (in securities) | Security | 12 | 9 | |
12 months or more (in securities) | Security | 6 | 4 | |
Total (in securities) | Security | 18 | 13 | |
Obligations of state and political subdivisions [Member] | |||
Less than 12 months | |||
Fair value | $ 58 | $ 316 | |
Unrealized loss | 0 | (10) | |
12 months or more | |||
Fair Value | 87 | 7 | |
Unrealized loss | (1) | 0 | |
Total | |||
Fair value | 145 | 323 | |
Unrealized loss | (1) | (10) | |
US government and agencies [Member] | |||
Less than 12 months | |||
Fair value | 7 | 77 | |
Unrealized loss | 0 | 0 | |
12 months or more | |||
Fair Value | 0 | 0 | |
Unrealized loss | 0 | 0 | |
Total | |||
Fair value | 7 | 77 | |
Unrealized loss | 0 | 0 | |
Corporate securities [Member] | |||
Less than 12 months | |||
Fair value | 78 | 381 | |
Unrealized loss | (2) | (8) | |
12 months or more | |||
Fair Value | 122 | 95 | |
Unrealized loss | (15) | (15) | |
Total | |||
Fair value | 200 | 476 | |
Unrealized loss | (17) | (23) | |
RMBS [Member] | |||
Less than 12 months | |||
Fair value | 123 | 438 | |
Unrealized loss | (5) | (8) | |
12 months or more | |||
Fair Value | 182 | 90 | |
Unrealized loss | (15) | (14) | |
Total | |||
Fair value | 305 | 528 | |
Unrealized loss | (20) | (22) | |
CMBS [Member] | |||
Less than 12 months | |||
Fair value | 7 | 140 | |
Unrealized loss | 0 | (2) | |
12 months or more | |||
Fair Value | 5 | 2 | |
Unrealized loss | 0 | 0 | |
Total | |||
Fair value | 12 | 142 | |
Unrealized loss | 0 | (2) | |
Asset-backed Securities [Member] | |||
Less than 12 months | |||
Fair value | 456 | 517 | |
Unrealized loss | (13) | (10) | |
12 months or more | |||
Fair Value | 0 | 0 | |
Unrealized loss | 0 | 0 | |
Total | |||
Fair value | 456 | 517 | |
Unrealized loss | (13) | (10) | |
Foreign government securities [Member] | |||
Less than 12 months | |||
Fair value | 91 | 97 | |
Unrealized loss | (4) | (4) | |
12 months or more | |||
Fair Value | 53 | 82 | |
Unrealized loss | (5) | (7) | |
Total | |||
Fair value | 144 | 179 | |
Unrealized loss | $ (9) | $ (11) | |
[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 | Mar. 31, 2016 | Dec. 31, 2015 | |
Amortized Cost | |||
Amortized cost | $ 10,123 | $ 10,275 | |
Estimated Fair Value | |||
Estimated Fair Value | 11,047 | 11,023 | |
Fixed Maturities [Member] | |||
Amortized Cost | |||
Due within one year | 469 | ||
Due after one year through five years | 1,654 | ||
Due after five years through 10 years | 2,195 | ||
Due after 10 years | 4,052 | ||
Amortized cost | 10,123 | ||
Estimated Fair Value | |||
Due within one year | 470 | ||
Due after one year through five years | 1,719 | ||
Due after five years through 10 years | 2,320 | ||
Due after 10 years | 4,284 | ||
Estimated Fair Value | 10,588 | 10,627 | |
Fixed Maturities [Member] | RMBS [Member] | |||
Amortized Cost | |||
Amortized cost | 1,222 | ||
Estimated Fair Value | |||
Estimated Fair Value | [1] | 1,239 | 1,245 |
Fixed Maturities [Member] | CMBS [Member] | |||
Amortized Cost | |||
Amortized cost | 531 | ||
Estimated Fair Value | |||
Estimated Fair Value | [1] | $ 556 | $ 513 |
[1] | Government-agency obligations were approximately 52% of mortgage backed securities as of March 31, 2016 and 54% as of December 31, 2015 based on fair value. |
Investments and Cash - Internal
Investments and Cash - Internally Managed Investment Portfolio (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | $ 11,047 | $ 11,023 |
Other invested assets | 167 | 169 |
Internally managed portfolio | 11,214 | 11,192 |
Fixed Maturities, Managed Internally [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | 1,264 | 1,266 |
Other Invested Assets, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 112 | 114 |
Other, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 55 | 55 |
Internally Managed Portfolio [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Internally managed portfolio | $ 1,431 | $ 1,435 |
Investments and Cash - Narrativ
Investments and Cash - Narrative (Details) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016USD ($)PersonSecurity | Dec. 31, 2015USD ($) | |
Investment [Line Items] | ||
Accrued investment income | $ 98 | $ 99 |
Government agency obligations as a percentage of total mortgage backed securities | 52.00% | 54.00% |
Number of outside managers managing investment portfolio | Person | 4 | |
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | Security | 11 | |
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $ 26 | |
Assets held-in-trust | 300 | $ 283 |
Fair market value of company's pledged securities | $ 308 | $ 305 |
Investments [Member] | Internally Managed Portfolio [Member] | ||
Investment [Line Items] | ||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 13.00% | 13.00% |
AGL Subsidiaries [Member] | ||
Investment [Line Items] | ||
Assets held-in-trust | $ 1,550 | $ 1,411 |
Insurance Company Regulatory 98
Insurance Company Regulatory Requirements - Narrative (Details) $ in Millions | 3 Months Ended |
Mar. 31, 2016USD ($) | |
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 | $ 236 |
Amount available for distribution, next fiscal quarter | $ 32 |
Maryland [Member] | 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 | $ 24 |
Maryland [Member] | AGUS [Member] | AGC [Member] | |
Statutory Accounting Practices [Line Items] | |
Amount available for distribution, current year | 79 |
Bermuda [Member] | Assured Guaranty Re [Member] | |
Statutory Accounting Practices [Line Items] | |
Amount available for distribution, current year | $ 246 |
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 | $ 140 |
Unencumbered assets | $ 594 |
Insurance Company Regulatory 99
Insurance Company Regulatory Requirements - Dividends and Surplus Notes By Insurance Company Subsidiaries (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Statutory Accounting Practices [Line Items] | ||
Dividends paid | $ 18 | $ 19 |
AGMH [Member] | Affiliated Entity [Member] | AGM [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Dividends paid | 95 | 66 |
Repayment of surplus notes | 0 | 25 |
AGL [Member] | Affiliated Entity [Member] | Assured Guaranty Re [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Dividends paid | 25 | 50 |
AGUS [Member] | Affiliated Entity [Member] | AGC [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Dividends paid | $ 0 | $ 20 |
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 | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Pre-tax Income Taxes and Revenue [Line Items] | ||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $ 18 | $ 77 |
Tax-exempt interest | (13) | (14) |
Change in liability for uncertain tax positions | 0 | 1 |
Other | 1 | 1 |
Total provision (benefit) for income taxes | $ 6 | $ 65 |
Effective tax rate (as a percent) | 10.00% | 24.20% |
Income (loss) before provision for income taxes | $ 65 | $ 266 |
Revenue | 245 | 369 |
United States [Member] | ||
Pre-tax Income Taxes and Revenue [Line Items] | ||
Income (loss) before provision for income taxes | 55 | 223 |
Revenue | 205 | 300 |
Bermuda [Member] | ||
Pre-tax Income Taxes and Revenue [Line Items] | ||
Income (loss) before provision for income taxes | 17 | 50 |
Revenue | 42 | 73 |
United Kingdom [Member] | ||
Pre-tax Income Taxes and Revenue [Line Items] | ||
Income (loss) before provision for income taxes | (7) | (7) |
Revenue | $ (2) | $ (4) |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | |
Income Taxes [Line Items] | |||
Realization assessment period | 3 years | ||
Accrued interest and penalties, uncertain tax positions | $ 5.8 | $ 5.4 | |
Interest and penalties related to uncertain tax positions | 0.4 | 1 | |
Unrecognized tax benefits that would impact effective tax rate | $ 46 | $ 45 | |
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% | ||
United Kingdom [Member] | |||
Income Taxes [Line Items] | |||
Corporate tax rate | 20.00% | 20.25% | |
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 Monoli102
Reinsurance and Other Monoline Exposures - Effect of Reinsurance on Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Premiums Written: | |||
Direct | $ 21 | $ 29 | |
Assumed | (2) | 3 | |
Ceded | (17) | 0 | |
Net | 2 | 32 | |
Premiums Earned: | |||
Direct | 190 | 148 | |
Assumed | 8 | 10 | |
Ceded | (15) | (16) | |
Net | 183 | [1] | 142 |
Loss and LAE: | |||
Direct | 109 | 26 | |
Assumed | (14) | (7) | |
Ceded | (5) | (1) | |
Net | $ 90 | $ 18 | |
[1] | Excludes $5 million and $5 million for First Quarter 2016 and 2015, respectively, related to consolidated FG VIEs. |
Reinsurance and Other Monoli103
Reinsurance and Other Monoline Exposures - Exposure by Reinsurer (Details) $ in Millions | Mar. 31, 2016USD ($) | |
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | $ 14,153 | [1] |
Second-to- Pay Insured Par Outstanding | 14,321 | [1] |
Assumed Par Outstanding | 20,183 | [1] |
American Overseas Reinsurance Company Limited [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 4,960 | [1],[2] |
Second-to- Pay Insured Par Outstanding | 0 | [1],[2] |
Assumed Par Outstanding | 30 | [1],[2] |
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 4,171 | [1],[2] |
Second-to- Pay Insured Par Outstanding | 0 | [1],[2] |
Assumed Par Outstanding | 0 | [1],[2] |
Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 2,411 | [1],[2] |
Second-to- Pay Insured Par Outstanding | 1,319 | [1],[2] |
Assumed Par Outstanding | 700 | [1],[2] |
Mitsui Sumitomo Insurance Co. Ltd. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 1,718 | [1],[2] |
Second-to- Pay Insured Par Outstanding | 0 | [1],[2] |
Assumed Par Outstanding | 0 | [1],[2] |
Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 700 | [1] |
Second-to- Pay Insured Par Outstanding | 38 | [1] |
Assumed Par Outstanding | 0 | [1] |
Ambac Assurance Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 117 | [1] |
Second-to- Pay Insured Par Outstanding | 3,892 | [1] |
Assumed Par Outstanding | 9,589 | [1] |
National [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | [1],[3] |
Second-to- Pay Insured Par Outstanding | 5,139 | [1],[3] |
Assumed Par Outstanding | 5,065 | [1],[3] |
MBIA [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | [1] |
Second-to- Pay Insured Par Outstanding | 1,591 | [1] |
Assumed Par Outstanding | 428 | [1] |
FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | [1] |
Second-to- Pay Insured Par Outstanding | 1,437 | [1] |
Assumed Par Outstanding | 636 | [1] |
Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | [1] |
Second-to- Pay Insured Par Outstanding | 86 | [1] |
Assumed Par Outstanding | 823 | [1] |
CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | [1] |
Second-to- Pay Insured Par Outstanding | 43 | [1] |
Assumed Par Outstanding | 2,784 | [1] |
Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 76 | [1],[2] |
Second-to- Pay Insured Par Outstanding | 776 | [1],[2] |
Assumed Par Outstanding | 128 | [1],[2] |
Non-affiliated Reinsurers [Member] | ||
Ceded Credit Risk [Line Items] | ||
Funds held under reinsurance agreements | $ 436 | |
[1] | Includes par related to insured credit derivatives. | |
[2] | The total collateral posted by all non-affiliated reinsurers required or agreeing to post collateral as of March 31, 2016 was approximately $436 million. | |
[3] | Rated AA+ by KBRA. |
Reinsurance and Other Monoli104
Reinsurance and Other Monoline Exposures - Reinsurance and Other Monoline Exposures (Details) $ in Millions | Mar. 31, 2016USD ($) |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | $ 79 |
Ceded Premium, net of Commissions | (53) |
Assumed Expected Loss to be Paid | (141) |
Ceded Expected Loss to be Paid | 92 |
American Overseas Reinsurance Company Limited [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (6) |
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 | 44 |
Syncora Guarantee Inc. [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 15 |
Ceded Premium, net of Commissions | (21) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 5 |
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 | 18 |
Ambac Assurance Corporation [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 39 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (3) |
Ceded Expected Loss to be Paid | 0 |
Ambac Assurance Corp. Segregated account [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 10 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (46) |
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 | (63) |
Ceded Expected Loss to be Paid | 0 |
MBIA [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 [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 6 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (4) |
Ceded Expected Loss to be Paid | 0 |
FGIC [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 4 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (15) |
Ceded Expected Loss to be Paid | 0 |
Other [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (12) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | $ 0 |
Reinsurance and Other Monoli105
Reinsurance and Other Monoline Exposures - Narrative (Details) - USD ($) | Jan. 01, 2016 | Jan. 01, 2014 | Mar. 31, 2016 | Dec. 31, 2014 | Dec. 31, 2015 |
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | $ 11,047,000,000 | $ 11,023,000,000 | |||
Assured Guaranty Re [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Amounts could be required to pay if third party exercised right to recapture business | 50,000,000 | ||||
AGC [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Amounts could be required to pay if third party exercised right to recapture business | 33,000,000 | ||||
Fixed Maturities [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | 10,588,000,000 | $ 10,627,000,000 | |||
Fixed Maturities [Member] | National [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | 157,000,000 | ||||
Fixed Maturities [Member] | Ambac Assurance Corporation [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | 139,000,000 | ||||
Fixed Maturities [Member] | Other [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | 8,000,000 | ||||
Fixed Maturities [Member] | FGIC UK Limited [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | 127,000,000 | ||||
Fixed Maturities [Member] | MBIA [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | 247,000,000 | ||||
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 | $ 1,250,000,000 | $ 1,500,000,000 | |||
Amount of losses covered under the facility | 400,000,000 | 500,000,000 | |||
Reinsurance retention policy, excess retention, amount reinsured | 360,000,000 | $ 450,000,000 | |||
Remaining amount of losses covered under the facility | 40,000,000 | ||||
Premiums paid during the period | $ 9,000,000 | $ 19,000,000 | |||
Fixed maturity securities held for benefit of reinsured companies | $ 9,000,000 |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) € in Millions | May. 28, 2014EUR (€) | May. 31, 2010Lawsuit | Apr. 30, 2010Lawsuit | Sep. 30, 2009Plaintiff | Mar. 31, 2016Lawsuit | 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 | |||||||||
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 | |||||||||
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 | 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 | 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 | 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 | 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 | 5 | 6 | ||||||||
Number of cases voluntarily dismissed with prejudice | 1 | |||||||||
Number of claims remaining after dismissals | 5 | |||||||||
Number of non-class action lawsuits for which dismissal was denied | 11 | |||||||||
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 Fa107
Long-Term Debt and Credit Facilities - Narrative (Details) | Apr. 07, 2008 | Jun. 30, 2003USD ($)Trust | Mar. 31, 2016USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2012USD ($) | Dec. 31, 2015 | Oct. 25, 2013USD ($) | Jul. 01, 2009 | Apr. 08, 2005USD ($)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] | |||||||||
Line of credit, outstanding amount | $ 0 | ||||||||
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 | ||||||||
Line of credit, outstanding amount | 0 | ||||||||
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 | $ 1,100,000,000 |
Long-Term Debt and Credit Fa108
Long-Term Debt and Credit Facilities - Principal and Carrying Amounts of Debt (Details) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Debt Instrument [Line Items] | ||
Principal | $ 1,591,000,000 | $ 1,592,000,000 |
Carrying Value | 1,302,000,000 | 1,300,000,000 |
AGUS [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 850,000,000 | 850,000,000 |
Carrying Value | 843,000,000 | 842,000,000 |
AGMH [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 730,000,000 | 730,000,000 |
Carrying Value | 447,000,000 | 445,000,000 |
AGM [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 11,000,000 | 12,000,000 |
Carrying Value | $ 12,000,000 | $ 13,000,000 |
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 | $ 197,000,000 | $ 197,000,000 |
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 | 496,000,000 | 495,000,000 |
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 | $ 69,000,000 |
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 | $ 140,000,000 |
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 | 56,000,000 | 56,000,000 |
Notes Payable, Other Payables [Member] | AGM [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 11,000,000 | 12,000,000 |
Carrying Value | 12,000,000 | 13,000,000 |
Junior Subordinated Debt [Member] | AGMH [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 300,000,000 | 300,000,000 |
Carrying Value | $ 182,000,000 | $ 180,000,000 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Basic EPS: | ||
Net income (loss) attributable to AGL | $ 59 | $ 201 |
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 1 | 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 58 | $ 201 |
Basic shares | 136.2 | 155.8 |
Basic EPS (in dollars per share) | $ 0.43 | $ 1.29 |
Diluted EPS: | ||
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | $ 0 | $ 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ 58 | $ 201 |
Basic shares | 136.2 | 155.8 |
Effect of dilutive securities: | ||
Options and restricted stock awards (in shares) | 0.8 | 1 |
Diluted shares | 137 | 156.8 |
Diluted EPS (in dollars per share) | $ 0.43 | $ 1.28 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | 0.8 | 0.7 |
Shareholders' Equity - Changes
Shareholders' Equity - Changes in AOCI by Component (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||
Balance at beginning of period | $ 237 | $ 370 |
Other comprehensive income (loss) before reclassifications | 76 | 11 |
Amounts reclassified from AOCI to: | ||
Net realized investment gains (losses) | (13) | 16 |
Net investment income | 99 | 101 |
Interest expense | (26) | (25) |
Total (provision) benefit for income taxes | (6) | (65) |
Total amount reclassified from AOCI, net of tax | 6 | (10) |
Net current period other comprehensive income (loss) | 82 | 0 |
Balance at end of period | 319 | 370 |
Reclassification out of Accumulated Other Comprehensive Income [Member] | ||
Amounts reclassified from AOCI to: | ||
Net realized investment gains (losses) | 13 | (16) |
Net investment income | (3) | |
Interest expense | 0 | (1) |
Total before tax | 10 | (17) |
Total (provision) benefit for income taxes | (4) | 6 |
Total amount reclassified from AOCI, net of tax | 6 | (11) |
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 | 260 | 367 |
Other comprehensive income (loss) before reclassifications | 95 | 18 |
Amounts reclassified from AOCI to: | ||
Net current period other comprehensive income (loss) | 90 | 5 |
Balance at end of period | 350 | 372 |
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) | (4) | (20) |
Net investment income | (3) | |
Interest expense | 0 | 0 |
Total before tax | (7) | (20) |
Total (provision) benefit for income taxes | 2 | 7 |
Total amount reclassified from AOCI, net of tax | (5) | (13) |
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 | (15) | 4 |
Other comprehensive income (loss) before reclassifications | (17) | (2) |
Amounts reclassified from AOCI to: | ||
Net current period other comprehensive income (loss) | (6) | 1 |
Balance at end of period | (21) | 5 |
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 | 4 |
Net investment income | 0 | |
Interest expense | 0 | 0 |
Total before tax | 17 | 4 |
Total (provision) benefit for income taxes | (6) | (1) |
Total amount reclassified from AOCI, net of tax | 11 | 3 |
Accumulated Translation Adjustment [Member] | ||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||
Balance at beginning of period | (16) | (10) |
Other comprehensive income (loss) before reclassifications | (2) | (5) |
Amounts reclassified from AOCI to: | ||
Net current period other comprehensive income (loss) | (2) | (5) |
Balance at end of period | (18) | (15) |
Accumulated Translation Adjustment [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||
Amounts reclassified from AOCI to: | ||
Net realized investment gains (losses) | 0 | 0 |
Net investment income | 0 | |
Interest expense | 0 | 0 |
Total before tax | 0 | 0 |
Total (provision) benefit for income taxes | 0 | 0 |
Total amount reclassified from AOCI, net of tax | 0 | 0 |
Cash Flow Hedge [Member] | ||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||
Balance at beginning of period | 8 | 9 |
Other comprehensive income (loss) before reclassifications | 0 | 0 |
Amounts reclassified from AOCI to: | ||
Net current period other comprehensive income (loss) | 0 | (1) |
Balance at end of period | 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 |
Net investment income | 0 | |
Interest expense | 0 | (1) |
Total before tax | 0 | (1) |
Total (provision) benefit for income taxes | 0 | 0 |
Total amount reclassified from AOCI, net of tax | $ 0 | $ (1) |
Shareholders' Equity - Shares R
Shareholders' Equity - Shares Repurchased (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 4 Months Ended | 12 Months Ended | 40 Months Ended | |||||||
May. 04, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | May. 04, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | May. 04, 2016 | Feb. 24, 2016 | |
Equity, Class of Treasury Stock [Line Items] | ||||||||||||
Repurchases of common stock | $ 75,000,000 | $ 152,000,000 | ||||||||||
Common Stock [Member] | ||||||||||||
Equity, Class of Treasury Stock [Line Items] | ||||||||||||
Shares repurchased | 3,038,928 | 5,035,637 | 5,362,103 | 4,737,388 | 5,860,291 | 20,995,419 | 24,413,781 | 12,512,759 | ||||
Repurchases of common stock | $ 75,000,000 | $ 135,000,000 | $ 135,000,000 | $ 133,000,000 | $ 152,000,000 | $ 555,000,000 | $ 590,000,000 | $ 264,000,000 | ||||
Average price paid (in dollars per share) | $ 24.69 | $ 26.81 | $ 25.17 | $ 28.13 | $ 25.87 | $ 26.43 | $ 24.17 | $ 21.12 | ||||
Authorized repurchase amount | $ 230,000,000 | $ 250,000,000 | ||||||||||
Subsequent Event [Member] | Common Stock [Member] | ||||||||||||
Equity, Class of Treasury Stock [Line Items] | ||||||||||||
Shares repurchased | 793,672 | 3,832,600 | 61,754,559 | |||||||||
Repurchases of common stock | $ 20,000,000 | $ 95,000,000 | $ 1,504,000,000 | |||||||||
Average price paid (in dollars per share) | $ 25.20 | $ 24.80 | $ 24.36 | |||||||||
Remaining capacity of shares repurchase program | $ 210,000,000 | $ 210,000,000 | $ 210,000,000 |
Subsidiary Information - Conden
Subsidiary Information - Condensed Consolidating Balance Sheet (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Assets | ||
Total investment portfolio and cash | $ 11,326 | $ 11,358 |
Investment in subsidiaries | 0 | 0 |
Premiums receivable, net of commissions payable | 662 | 693 |
Ceded unearned premium reserve | 236 | 232 |
Deferred acquisition costs | 113 | 114 |
Reinsurance recoverable on unpaid losses | 72 | 69 |
Credit derivative assets | 55 | 81 |
Deferred tax asset, net | 278 | 276 |
Intercompany receivable | 0 | 0 |
Financial guaranty variable interest entities’ assets, at fair value | 1,191 | 1,261 |
Other | 519 | 460 |
Total assets | 14,452 | 14,544 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 3,810 | 3,996 |
Loss and loss adjustment expense reserve | 1,112 | 1,067 |
Long-term debt | 1,302 | 1,300 |
Intercompany payable | 0 | 0 |
Credit derivative liabilities | 489 | 446 |
Deferred tax liabilities, net | 0 | 0 |
Financial guaranty variable interest entities’ liabilities, at fair value | 1,284 | 1,349 |
Other | 342 | 323 |
Total liabilities | 8,339 | 8,481 |
Effect on shareholders’ equity (decrease) increase | 6,113 | 6,063 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 6,113 | 6,063 |
Total liabilities and shareholders’ equity | 14,452 | 14,544 |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | ||
Assets | ||
Total investment portfolio and cash | 80 | 10 |
Investment in subsidiaries | 6,003 | 5,961 |
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 | 34 | 98 |
Total assets | 6,117 | 6,069 |
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 | 4 | 6 |
Total liabilities | 4 | 6 |
Effect on shareholders’ equity (decrease) increase | 6,113 | 6,063 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 6,113 | 6,063 |
Total liabilities and shareholders’ equity | 6,117 | 6,069 |
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | ||
Assets | ||
Total investment portfolio and cash | 94 | 156 |
Investment in subsidiaries | 5,570 | 5,569 |
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 | 40 | 52 |
Intercompany receivable | 0 | 0 |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 |
Other | 46 | 29 |
Total assets | 5,750 | 5,806 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 0 | 0 |
Loss and loss adjustment expense reserve | 0 | 0 |
Long-term debt | 842 | 842 |
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 | 26 | 82 |
Total liabilities | 958 | 1,014 |
Effect on shareholders’ equity (decrease) increase | 4,792 | 4,792 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 4,792 | 4,792 |
Total liabilities and shareholders’ equity | 5,750 | 5,806 |
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | ||
Assets | ||
Total investment portfolio and cash | 23 | 22 |
Investment in subsidiaries | 4,077 | 4,081 |
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 | 26 |
Total assets | 4,128 | 4,129 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 0 | 0 |
Loss and loss adjustment expense reserve | 0 | 0 |
Long-term debt | 447 | 445 |
Intercompany payable | 0 | 0 |
Credit derivative liabilities | 0 | 0 |
Deferred tax liabilities, net | 90 | 91 |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 |
Other | 18 | 15 |
Total liabilities | 555 | 551 |
Effect on shareholders’ equity (decrease) increase | 3,573 | 3,578 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 3,573 | 3,578 |
Total liabilities and shareholders’ equity | 4,128 | 4,129 |
Reportable Legal Entities [Member] | Other Entities [Member] | ||
Assets | ||
Total investment portfolio and cash | 11,489 | 11,530 |
Investment in subsidiaries | 389 | 377 |
Premiums receivable, net of commissions payable | 792 | 833 |
Ceded unearned premium reserve | 1,236 | 1,266 |
Deferred acquisition costs | 172 | 176 |
Reinsurance recoverable on unpaid losses | 491 | 467 |
Credit derivative assets | 163 | 207 |
Deferred tax asset, net | 368 | 357 |
Intercompany receivable | 90 | 90 |
Financial guaranty variable interest entities’ assets, at fair value | 1,191 | 1,261 |
Other | 645 | 571 |
Total assets | 17,026 | 17,135 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 4,914 | 5,143 |
Loss and loss adjustment expense reserve | 1,605 | 1,537 |
Long-term debt | 13 | 13 |
Intercompany payable | 300 | 300 |
Credit derivative liabilities | 597 | 572 |
Deferred tax liabilities, net | 0 | 0 |
Financial guaranty variable interest entities’ liabilities, at fair value | 1,284 | 1,349 |
Other | 655 | 622 |
Total liabilities | 9,368 | 9,536 |
Effect on shareholders’ equity (decrease) increase | 7,269 | 7,222 |
Noncontrolling interest | 389 | 377 |
Total shareholders' equity | 7,658 | 7,599 |
Total liabilities and shareholders’ equity | 17,026 | 17,135 |
Consolidating Adjustments [Member] | ||
Assets | ||
Total investment portfolio and cash | (360) | (360) |
Investment in subsidiaries | (16,039) | (15,988) |
Premiums receivable, net of commissions payable | (130) | (140) |
Ceded unearned premium reserve | (1,000) | (1,034) |
Deferred acquisition costs | (59) | (62) |
Reinsurance recoverable on unpaid losses | (419) | (398) |
Credit derivative assets | (108) | (126) |
Deferred tax asset, net | (130) | (133) |
Intercompany receivable | (90) | (90) |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 |
Other | (234) | (264) |
Total assets | (18,569) | (18,595) |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | (1,104) | (1,147) |
Loss and loss adjustment expense reserve | (493) | (470) |
Long-term debt | 0 | 0 |
Intercompany payable | (390) | (390) |
Credit derivative liabilities | (108) | (126) |
Deferred tax liabilities, net | (90) | (91) |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 |
Other | (361) | (402) |
Total liabilities | (2,546) | (2,626) |
Effect on shareholders’ equity (decrease) increase | (15,634) | (15,592) |
Noncontrolling interest | (389) | (377) |
Total shareholders' equity | (16,023) | (15,969) |
Total liabilities and shareholders’ equity | $ (18,569) | $ (18,595) |
Subsidiary Information - Con113
Subsidiary Information - Condensed Consolidating Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Revenues | |||
Net earned premiums | $ 183 | [1] | $ 142 |
Net investment income | 99 | 101 | |
Net realized investment gains (losses) | (13) | 16 | |
Net change in fair value of credit derivatives: | |||
Realized gains (losses) and other settlements | 8 | 21 | |
Net unrealized gains (losses) | (68) | 103 | |
Net change in fair value of credit derivatives | (60) | 124 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | ||
Other | 36 | (14) | |
Total revenues | 245 | 369 | |
Expenses | |||
Loss and LAE | 90 | 18 | |
Amortization of DAC | 4 | 4 | |
Interest expense | 26 | 25 | |
Other operating expenses | 60 | 56 | |
Total expenses | 180 | 103 | |
Income (loss) before income taxes | 65 | 266 | |
Total (provision) benefit for income taxes | (6) | (65) | |
Equity in net earnings of subsidiaries | 0 | 0 | |
Net income (loss) | 59 | 201 | |
Less: noncontrolling interest | 0 | 0 | |
Net income (loss) | 59 | 201 | |
Comprehensive income (loss) | 141 | 201 | |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | |||
Revenues | |||
Net earned premiums | 0 | 0 | |
Net investment income | 0 | 0 | |
Net realized investment gains (losses) | 0 | 0 | |
Net change in fair value of credit derivatives: | |||
Realized gains (losses) and other settlements | 0 | 0 | |
Net unrealized gains (losses) | 0 | 0 | |
Net change in fair value of credit derivatives | 0 | 0 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | ||
Other | 0 | 0 | |
Total revenues | 0 | 0 | |
Expenses | |||
Loss and LAE | 0 | 0 | |
Amortization of DAC | 0 | 0 | |
Interest expense | 0 | 0 | |
Other operating expenses | 8 | 8 | |
Total expenses | 8 | 8 | |
Income (loss) before income taxes | (8) | (8) | |
Total (provision) benefit for income taxes | 0 | 0 | |
Equity in net earnings of subsidiaries | 67 | 209 | |
Net income (loss) | 59 | 201 | |
Less: noncontrolling interest | 0 | 0 | |
Net income (loss) | 59 | 201 | |
Comprehensive income (loss) | 141 | 201 | |
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | |||
Revenues | |||
Net earned premiums | 0 | 0 | |
Net investment income | 0 | 0 | |
Net realized investment gains (losses) | 0 | 0 | |
Net change in fair value of credit derivatives: | |||
Realized gains (losses) and other settlements | 0 | 0 | |
Net unrealized gains (losses) | 0 | 0 | |
Net change in fair value of credit derivatives | 0 | 0 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | ||
Other | 0 | 0 | |
Total revenues | 0 | 0 | |
Expenses | |||
Loss and LAE | 0 | 0 | |
Amortization of DAC | 0 | 0 | |
Interest expense | 13 | 13 | |
Other operating expenses | 0 | 0 | |
Total expenses | 13 | 13 | |
Income (loss) before income taxes | (13) | (13) | |
Total (provision) benefit for income taxes | 5 | 5 | |
Equity in net earnings of subsidiaries | 50 | 163 | |
Net income (loss) | 42 | 155 | |
Less: noncontrolling interest | 0 | 0 | |
Net income (loss) | 42 | 155 | |
Comprehensive income (loss) | 80 | 134 | |
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | |||
Revenues | |||
Net earned premiums | 0 | 0 | |
Net investment income | 0 | 0 | |
Net realized investment gains (losses) | 0 | 0 | |
Net change in fair value of credit derivatives: | |||
Realized gains (losses) and other settlements | 0 | 0 | |
Net unrealized gains (losses) | 0 | 0 | |
Net change in fair value of credit derivatives | 0 | 0 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | ||
Other | 0 | 0 | |
Total revenues | 0 | 0 | |
Expenses | |||
Loss and LAE | 0 | 0 | |
Amortization of DAC | 0 | 0 | |
Interest expense | 13 | 13 | |
Other operating expenses | 1 | 0 | |
Total expenses | 14 | 13 | |
Income (loss) before income taxes | (14) | (13) | |
Total (provision) benefit for income taxes | 5 | 5 | |
Equity in net earnings of subsidiaries | 77 | 92 | |
Net income (loss) | 68 | 84 | |
Less: noncontrolling interest | 0 | 0 | |
Net income (loss) | 68 | 84 | |
Comprehensive income (loss) | 92 | 80 | |
Reportable Legal Entities [Member] | Other Entities [Member] | |||
Revenues | |||
Net earned premiums | 192 | 140 | |
Net investment income | 100 | 104 | |
Net realized investment gains (losses) | (12) | 19 | |
Net change in fair value of credit derivatives: | |||
Realized gains (losses) and other settlements | 8 | 21 | |
Net unrealized gains (losses) | (68) | 103 | |
Net change in fair value of credit derivatives | (60) | 124 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | ||
Other | 36 | (14) | |
Total revenues | 256 | 373 | |
Expenses | |||
Loss and LAE | 93 | 18 | |
Amortization of DAC | 7 | 6 | |
Interest expense | 3 | 4 | |
Other operating expenses | 52 | 48 | |
Total expenses | 155 | 76 | |
Income (loss) before income taxes | 101 | 297 | |
Total (provision) benefit for income taxes | (16) | (72) | |
Equity in net earnings of subsidiaries | 9 | 9 | |
Net income (loss) | 94 | 234 | |
Less: noncontrolling interest | 9 | 9 | |
Net income (loss) | 85 | 225 | |
Comprehensive income (loss) | 178 | 233 | |
Consolidating Adjustments [Member] | |||
Revenues | |||
Net earned premiums | (9) | 2 | |
Net investment income | (1) | (3) | |
Net realized investment gains (losses) | (1) | (3) | |
Net change in fair value of credit derivatives: | |||
Realized gains (losses) and other settlements | 0 | 0 | |
Net unrealized gains (losses) | 0 | 0 | |
Net change in fair value of credit derivatives | 0 | 0 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | ||
Other | 0 | 0 | |
Total revenues | (11) | (4) | |
Expenses | |||
Loss and LAE | (3) | 0 | |
Amortization of DAC | (3) | (2) | |
Interest expense | (3) | (5) | |
Other operating expenses | (1) | 0 | |
Total expenses | (10) | (7) | |
Income (loss) before income taxes | (1) | 3 | |
Total (provision) benefit for income taxes | 0 | (3) | |
Equity in net earnings of subsidiaries | (203) | (473) | |
Net income (loss) | (204) | (473) | |
Less: noncontrolling interest | (9) | (9) | |
Net income (loss) | (195) | (464) | |
Comprehensive income (loss) | $ (350) | $ (447) | |
[1] | Excludes $5 million and $5 million for First Quarter 2016 and 2015, respectively, related to consolidated FG VIEs. |
Subsidiary Information - Con114
Subsidiary Information - Condensed Consolidating Statement of Cash Flows (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | $ (90) | $ 23 | |
Fixed-maturity securities: | |||
Purchases | (296) | (448) | |
Sales | 162 | 841 | |
Maturities | 301 | 155 | |
Net sales (purchases) of short-term investments | (63) | 420 | |
Net proceeds from financial guaranty variable entities’ assets | 66 | 30 | |
Intercompany debt | 0 | 0 | |
Investment in subsidiary | 0 | 0 | |
Other | 2 | 3 | |
Net cash flows provided by (used in) investing activities | 172 | 1,001 | |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | |
Dividends paid | (18) | (19) | |
Repurchases of common stock | (75) | (152) | |
Share activity under option and incentive plans | 0 | (5) | |
Net paydowns of financial guaranty variable interest entities’ liabilities | (42) | (39) | |
Payment of long-term debt | 0 | (1) | |
Intercompany debt | 0 | 0 | |
Other | (1) | 4 | |
Net cash flows provided by (used in) financing activities | (136) | (212) | |
Effect of foreign exchange rate changes | 0 | (2) | |
Increase (decrease) in cash | (54) | 810 | |
Cash at beginning of period | 166 | 75 | $ 75 |
Cash at end of period | 112 | 885 | 166 |
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 | 166 | 97 | |
Fixed-maturity securities: | |||
Purchases | (4) | 0 | |
Sales | 1 | 0 | |
Maturities | 0 | 0 | |
Net sales (purchases) of short-term investments | (69) | 79 | |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | |
Intercompany debt | 0 | 0 | |
Investment in subsidiary | 0 | 0 | |
Other | 0 | 0 | |
Net cash flows provided by (used in) investing activities | (72) | 79 | |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | |
Dividends paid | (18) | (19) | |
Repurchases of common stock | (75) | (152) | |
Share activity under option and incentive plans | 0 | (5) | |
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | |
Payment of long-term debt | 0 | 0 | |
Intercompany debt | 0 | 0 | |
Other | 0 | 0 | |
Net cash flows provided by (used in) financing activities | (93) | (176) | |
Effect of foreign exchange rate changes | 0 | 0 | |
Increase (decrease) in cash | 1 | 0 | |
Cash at beginning of period | 0 | 0 | 0 |
Cash at end of period | 1 | 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 | 17 | 127 | |
Fixed-maturity securities: | |||
Purchases | (11) | (46) | |
Sales | 0 | 122 | |
Maturities | 0 | 4 | |
Net sales (purchases) of short-term investments | 11 | 43 | |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | |
Intercompany debt | 0 | (200) | |
Investment in subsidiary | 0 | 0 | |
Other | 0 | 0 | |
Net cash flows provided by (used in) investing activities | 0 | (77) | |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | |
Dividends paid | (80) | (50) | |
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 | |
Payment of long-term debt | 0 | 0 | |
Intercompany debt | 0 | 0 | |
Other | 0 | 0 | |
Net cash flows provided by (used in) financing activities | (80) | (50) | |
Effect of foreign exchange rate changes | 0 | 0 | |
Increase (decrease) in cash | (63) | 0 | |
Cash at beginning of period | 95 | 0 | 0 |
Cash at end of period | 32 | 0 | 95 |
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | 88 | 59 | |
Fixed-maturity securities: | |||
Purchases | 0 | (6) | |
Sales | 0 | 11 | |
Maturities | 0 | 0 | |
Net sales (purchases) of short-term investments | 0 | 19 | |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | |
Intercompany debt | 0 | 0 | |
Investment in subsidiary | 0 | 25 | |
Other | 0 | 0 | |
Net cash flows provided by (used in) investing activities | 0 | 49 | |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | |
Dividends paid | (87) | (108) | |
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 | |
Payment of long-term debt | 0 | 0 | |
Intercompany debt | 0 | 0 | |
Other | 0 | 0 | |
Net cash flows provided by (used in) financing activities | (87) | (108) | |
Effect of foreign exchange rate changes | 0 | 0 | |
Increase (decrease) in cash | 1 | 0 | |
Cash at beginning of period | 8 | 4 | 4 |
Cash at end of period | 9 | 4 | 8 |
Reportable Legal Entities [Member] | Other Entities [Member] | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | (74) | 34 | |
Fixed-maturity securities: | |||
Purchases | (281) | (396) | |
Sales | 161 | 708 | |
Maturities | 301 | 151 | |
Net sales (purchases) of short-term investments | (5) | 279 | |
Net proceeds from financial guaranty variable entities’ assets | 66 | 30 | |
Intercompany debt | 0 | 0 | |
Investment in subsidiary | 0 | 0 | |
Other | 2 | 3 | |
Net cash flows provided by (used in) investing activities | 244 | 775 | |
Cash flows from financing activities | |||
Return of capital | 0 | (25) | |
Dividends paid | (120) | (136) | |
Repurchases of common stock | 0 | 0 | |
Share activity under option and incentive plans | 0 | 0 | |
Net paydowns of financial guaranty variable interest entities’ liabilities | (42) | (39) | |
Payment of long-term debt | 0 | (1) | |
Intercompany debt | 0 | 200 | |
Other | (1) | 4 | |
Net cash flows provided by (used in) financing activities | (163) | 3 | |
Effect of foreign exchange rate changes | 0 | (2) | |
Increase (decrease) in cash | 7 | 810 | |
Cash at beginning of period | 63 | 71 | 71 |
Cash at end of period | 70 | 881 | 63 |
Consolidating Adjustments [Member] | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | (287) | (294) | |
Fixed-maturity securities: | |||
Purchases | 0 | 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 | 200 | |
Investment in subsidiary | 0 | (25) | |
Other | 0 | 0 | |
Net cash flows provided by (used in) investing activities | 0 | 175 | |
Cash flows from financing activities | |||
Return of capital | 0 | 25 | |
Dividends paid | 287 | 294 | |
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 | |
Payment of long-term debt | 0 | 0 | |
Intercompany debt | 0 | (200) | |
Other | 0 | 0 | |
Net cash flows provided by (used in) financing activities | 287 | 119 | |
Effect of foreign exchange rate changes | 0 | 0 | |
Increase (decrease) in cash | 0 | 0 | |
Cash at beginning of period | 0 | 0 | 0 |
Cash at end of period | $ 0 | $ 0 | $ 0 |