Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2016 | Nov. 01, 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 | Sep. 30, 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 | 130,375,131 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q3 |
Consolidated Balance Sheets (un
Consolidated Balance Sheets (unaudited) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Investment portfolio: | ||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $10,219 and $10,275) | $ 10,752 | $ 10,627 |
Short-term investments, at fair value | 528 | 396 |
Other invested assets | 165 | 169 |
Total investment portfolio | 11,445 | 11,192 |
Cash | 98 | 166 |
Premiums receivable, net of commissions payable | 608 | 693 |
Ceded unearned premium reserve | 213 | 232 |
Deferred acquisition costs | 108 | 114 |
Reinsurance recoverable on unpaid losses | 87 | 69 |
Salvage and subrogation recoverable | 455 | 126 |
Credit derivative assets | 28 | 81 |
Deferred tax asset, net | 459 | 276 |
Current income tax receivable | 0 | 40 |
Financial guaranty variable interest entities’ assets, at fair value | 877 | 1,261 |
Other assets | 291 | 294 |
Total assets | 14,669 | 14,544 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 3,668 | 3,996 |
Loss and loss adjustment expense reserve | 1,091 | 1,067 |
Reinsurance balances payable, net | 71 | 51 |
Long-term debt | 1,304 | 1,300 |
Credit derivative liabilities | 509 | 446 |
Current income tax payable | 26 | 0 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 832 | 1,225 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 153 | 124 |
Other liabilities | 375 | 272 |
Total liabilities | 8,029 | 8,481 |
Commitments and contingencies (See Note 14) | ||
Common stock ($0.01 par value, 500,000,000 shares authorized; 130,972,620 and 137,928,552 shares issued and outstanding) | 1 | 1 |
Additional paid-in capital | 1,166 | 1,342 |
Retained earnings | 5,110 | 4,478 |
Accumulated other comprehensive income, net of tax of $144 and $104 | 358 | 237 |
Deferred equity compensation (320,193 and 320,193 shares) | 5 | 5 |
Total shareholders’ equity | 6,640 | 6,063 |
Total liabilities and shareholders’ equity | $ 14,669 | $ 14,544 |
Consolidated Balance Sheets (u3
Consolidated Balance Sheets (unaudited) (Parenthetical) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Fixed maturity securities, available-for-sale, at fair value | $ 10,219 | $ 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) | 130,972,620 | 137,928,552 |
Common stock, shares outstanding (in shares) | 130,972,620 | 137,928,552 |
Accumulated other comprehensive income, tax provision | $ 144 | $ 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 | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Revenues | |||||
Net earned premiums | [1] | $ 231 | $ 213 | $ 628 | $ 574 |
Net investment income | 94 | 112 | 291 | 311 | |
Net realized investment gains (losses): | |||||
Other-than-temporary impairment losses | (4) | (18) | (32) | (34) | |
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income | 1 | 0 | (6) | 3 | |
Net impairment loss | (5) | (18) | (26) | (37) | |
Other net realized investment gains (losses) | 3 | (9) | 21 | 17 | |
Net realized investment gains (losses) | (2) | (27) | (5) | (20) | |
Net change in fair value of credit derivatives: | |||||
Realized gains (losses) and other settlements | 15 | 6 | 47 | 35 | |
Net unrealized gains (losses) | 6 | 80 | (23) | 265 | |
Net change in fair value of credit derivatives | 21 | 86 | 24 | 300 | |
Fair value gains (losses) on committed capital securities | (23) | (15) | (50) | 10 | |
Fair value gains (losses) on financial guaranty variable interest entities | (11) | 2 | 11 | 0 | |
Bargain purchase gain and settlement of pre-existing relationships | 259 | 0 | 259 | 214 | |
Other income (loss) | (3) | (3) | 49 | 43 | |
Total revenues | 566 | 368 | 1,207 | 1,432 | |
Expenses | |||||
Loss and loss adjustment expenses | (9) | 112 | 183 | 318 | |
Amortization of deferred acquisition costs | 4 | 5 | 13 | 15 | |
Interest expense | 26 | 25 | 77 | 76 | |
Other operating expenses | 65 | 54 | 188 | 176 | |
Total expenses | 86 | 196 | 461 | 585 | |
Income (loss) before income taxes | 480 | 172 | 746 | 847 | |
Provision (benefit) for income taxes | |||||
Current | 18 | 41 | 80 | 78 | |
Deferred | (17) | 2 | (18) | 142 | |
Total provision (benefit) for income taxes | 1 | 43 | 62 | 220 | |
Net income (loss) | $ 479 | $ 129 | $ 684 | $ 627 | |
Earnings per share: | |||||
Basic (in dollars per share) | $ 3.63 | $ 0.88 | $ 5.10 | $ 4.16 | |
Diluted (in dollars per share) | 3.60 | 0.88 | 5.06 | 4.13 | |
Dividends (in dollars per share) | $ 0.13 | $ 0.12 | $ 0.39 | $ 0.36 | |
[1] | Excludes $4 million and $6 million for Third Quarter 2016 and 2015, respectively, and $12 million and $16 million for Nine Months 2016 and 2015, respectively, related to consolidated FG VIEs. |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (unaudited) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income (loss) | $ 479 | $ 129 | $ 684 | $ 627 |
Unrealized holding gains (losses) arising during the period on: | ||||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $(14), $17, $48 and $(36) | (33) | 41 | 146 | (77) |
Investments with other-than-temporary impairment, net of tax provision (benefit) of $8, $(9), $(5) and $(12) | 13 | (15) | (10) | (23) |
Unrealized holding gains (losses) arising during the period, net of tax | (20) | 26 | 136 | (100) |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(1), $(6), $(1) and $(4) | 0 | (12) | (1) | (7) |
Change in net unrealized gains on investments | (20) | 38 | 137 | (93) |
Other, net of tax provision | (5) | (4) | (16) | (4) |
Other comprehensive income (loss) | (25) | 34 | 121 | (97) |
Comprehensive income (loss) | $ 454 | $ 163 | $ 805 | $ 530 |
Consolidated Statements of Com6
Consolidated Statements of Comprehensive Income (unaudited) (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Statement of Comprehensive Income [Abstract] | ||||
Investments with no other-than-temporary impairment, tax provision (benefit) | $ (14) | $ 17 | $ 48 | $ (36) |
Investments with other-than-temporary impairment, tax provision (benefit) | 8 | (9) | (5) | (12) |
Reclassification adjustment for gains (losses) included in net income (loss), tax provision (benefit) | $ (1) | $ (6) | $ (1) | $ (4) |
Consolidated Statement of Share
Consolidated Statement of Shareholders' Equity (unaudited) - 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 at Dec. 31, 2014 | $ 370 | |||||
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | $ 627 | |||||
Other comprehensive income | (97) | |||||
Ending balance at Sep. 30, 2015 | 273 | |||||
Beginning balance at Jun. 30, 2015 | 239 | |||||
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 129 | |||||
Other comprehensive income | 34 | |||||
Ending balance at Sep. 30, 2015 | 273 | |||||
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 | 684 | 684 | ||||
Dividends ($0.39 per share) | (52) | (52) | ||||
Common stock repurchases (in shares) | (7,420,631) | |||||
Common stock repurchases | (190) | (190) | ||||
Share-based compensation and other (in shares) | 464,699 | |||||
Share-based compensation and other | 14 | 14 | ||||
Other comprehensive income | 121 | 121 | ||||
Ending balance (in shares) at Sep. 30, 2016 | 130,972,620 | |||||
Ending balance at Sep. 30, 2016 | 6,640 | $ 1 | 1,166 | 5,110 | 358 | 5 |
Beginning balance at Jun. 30, 2016 | 383 | |||||
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 479 | |||||
Other comprehensive income | (25) | |||||
Ending balance (in shares) at Sep. 30, 2016 | 130,972,620 | |||||
Ending balance at Sep. 30, 2016 | $ 6,640 | $ 1 | $ 1,166 | $ 5,110 | $ 358 | $ 5 |
Consolidated Statement of Shar8
Consolidated Statement of Shareholders' Equity (unaudited) (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Statement of Stockholders' Equity [Abstract] | ||||
Dividends, per share (in dollars per share) | $ 0.13 | $ 0.12 | $ 0.39 | $ 0.36 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (unaudited) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2015 | |
Statement of Cash Flows [Abstract] | ||
Net cash flows provided by (used in) operating activities | $ (190) | $ (39) |
Fixed-maturity securities: | ||
Purchases | (1,028) | (1,844) |
Sales | 877 | 1,719 |
Maturities | 861 | 635 |
Net sales (purchases) of short-term investments | 80 | 751 |
Net proceeds from paydowns on financial guaranty variable interest entities’ assets | 590 | 114 |
Acquisition of Radian Asset, net of cash acquired | 0 | (800) |
Acquisition of CIFG, net of cash acquired (see Note 2) | (435) | 0 |
Other | (12) | 59 |
Net cash flows provided by (used in) investing activities | 933 | 634 |
Financing activities | ||
Dividends paid | (52) | (55) |
Repurchases of common stock | (190) | (420) |
Share activity under option and incentive plans | 4 | (2) |
Net paydowns of financial guaranty variable interest entities’ liabilities | (567) | (122) |
Repayment of long-term debt | (2) | (3) |
Net cash flows provided by (used in) financing activities | (807) | (602) |
Effect of foreign exchange rate changes | (4) | (2) |
Increase (decrease) in cash | (68) | (9) |
Cash at beginning of period | 166 | 75 |
Cash at end of period | 98 | 66 |
Supplemental cash flow information | ||
Income taxes | 2 | 71 |
Interest | $ 55 | $ 55 |
Business and Basis of Presentat
Business and Basis of Presentation | 9 Months Ended |
Sep. 30, 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 September 30, 2016 and cover the three-month period ended September 30, 2016 (" Third Quarter 2016 "), the three-month period ended September 30, 2015 (" Third Quarter 2015 "), the nine-month period ended September 30, 2016 (" Nine Months 2016 ") and the nine-month period ended September 30, 2015 (" Nine Months 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 Income Taxes In October 2016, the FASB issued Accounting Standards Update ("ASU") 2016-16, Income Taxes (Topic 740) - Intra-Entity Transfers of Assets Other Than Inventory, which removes the current prohibition against immediate recognition of the current and deferred income tax effects of intra-entity transfers of assets other than inventory. Under the ASU, the selling (transferring) entity is required to recognize a current income tax expense or benefit upon transfer of the asset. Similarly, the purchasing (receiving) entity is required to recognize a deferred tax asset or deferred tax liability, as well as the related deferred tax benefit or expense, upon receipt of the asset. The ASU is effective for annual periods beginning after December 15, 2017, including interim periods within those annual periods, and early adoption is permitted. The ASU’s amendments are to be applied on a modified retrospective basis recognizing the effects in retained earnings as of the beginning of the year of adoption. The Company is currently evaluating the effect on its Consolidated Financial Statements of adopting this ASU. Statement of Cash Flows In August 2016, the FASB issued ASU 2016-15, Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments (a consensus of the Emerging Issues Task Force), which addresses eight specific cash flow issues with the objective of reducing the existing diversity in practice. The issues addressed in the new guidance include debt prepayment or debt extinguishment costs, settlement of zero-coupon debt instruments, contingent consideration payments made after a business combination, proceeds from the settlement of insurance claims, proceeds from the settlement of corporate-owned life insurance policies, including bank-owned life insurance policies, distributions received from equity method investments, beneficial interests in securitization transactions and separately identifiable cash flows and application of the predominance principle. The amendments in this ASU are effective for public business entities for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. Early adoption is permitted, including adoption in an interim period. If an entity early adopts the amendments in an interim period, any adjustments should be reflected as of the beginning of the fiscal year that includes that interim period. An entity that elects early adoption must adopt all of the amendments in the same period. The Company is currently evaluating the effect on its Consolidated Financial Statements of adopting this ASU. Credit Losses on Financial Instruments In June 2016, the Financial Accounting Standards Board ("FASB") issued ASU 2016-13, Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments . The amendments in this ASU are intended to improve financial reporting by requiring timelier recording of credit losses on loans and other financial instruments held by financial institutions and other organizations. The ASU requires the measurement of all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts. Financial institutions will use forward-looking information to better inform their credit loss estimates as a result of the ASU. While many of the loss estimation techniques applied today will still be permitted, the inputs to those techniques will change to reflect the full amount of expected credit losses. The ASU requires enhanced disclosures to help investors and other financial statement users to better understand significant estimates and judgments used in estimating credit losses, as well as credit quality and underwriting standards of an organization’s portfolio. In addition, the ASU amends the accounting for credit losses on available-for-sale securities and purchased financial assets with credit deterioration. The ASU makes targeted improvements to the existing “other than temporary” impairment model for certain available-for-sale debt securities to eliminate the concept of “other than temporary” from that model. Accordingly, the ASU states that an entity must use an allowance approach, must limit the allowance to an amount at which the security’s fair value is less than its amortized cost basis, may not consider the length of time fair value has been less than amortized cost, and may not consider recoveries in fair value after the balance sheet date when assessing whether a credit loss exists. For purchased financial assets with credit deterioration, the ASU requires an entity’s method for measuring credit losses to be consistent with its method for measuring expected losses for originated and purchased non-credit-deteriorated assets. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. For most debt instruments, entities will be required to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the first reporting period in which the guidance is adopted. The changes to the impairment model for available-for-sale securities and changes to purchased financial assets with credit deterioration are to be applied prospectively. For the Company, this would be as of January 1, 2020. Early adoption is permitted for fiscal years, and interim periods with those fiscal years, beginning after December 15, 2018. The Company is currently evaluating the effect on its Consolidated Financial Statements of adopting this ASU. Share-Based Payments In March 2016, the FASB issued 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 does not expect that the ASU will have a material effect on its Consolidated Financial Statements. |
Acquisitions
Acquisitions | 9 Months Ended |
Sep. 30, 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 two financial guaranty companies since January 1, 2015 and has entered into an agreement to acquire another financial guaranty company, as described below. CIFG Holding Inc. On July 1, 2016, AGC acquired all of the issued and outstanding capital stock of CIFG Holding Inc. (together with its subsidiaries “CIFGH"), the parent of financial guaranty insurer CIFG Assurance North America, Inc. ("CIFG"), (the "CIFG Acquisition"), for $450.6 million in cash. AGUS previously owned 1.6% of the outstanding shares of CIFGH, for which it received $7.1 million in consideration from AGC, resulting in a net consolidated purchase price of $443 million . AGC merged CIFG with and into AGC, with AGC as the surviving company, on July 5, 2016. The CIFG Acquisition added $4.2 billion of net par insured on July 1, 2016. At the time of the CIFG Acquisition, CIFG had a subsidiary financial guaranty company domiciled and licensed in France, CIFG Europe S.A. (“CIFGE”). CIFG had reinsured all of CIFGE’s outstanding financial guaranty business and also had issued a “second-to-pay policy” pursuant to which CIFG guaranteed the full and complete payment of any shortfall in amounts due from CIFGE on its insured portfolio; AGC assumed these obligations as part of the CIFG merger with and into AGC. CIFGE is in run-off, and remains a separate subsidiary, now owned by AGC. At September 30, 2016 , CIFGE had investment assets of $43 million and gross par exposure of $828 million , and is not currently expected to pay dividends. The CIFG Acquisition was accounted for under the acquisition method of accounting which requires that the assets and liabilities acquired be recorded at fair value. The Company exercised significant judgment to determine the fair value of the assets it acquired and liabilities it assumed in the CIFG Acquisition. The most significant of these determinations related to the valuation of CIFGH's financial guaranty insurance and credit derivative contracts. On an aggregate basis, CIFGH's contractual premiums for financial guaranty contracts were less than the premiums a market participant of similar credit quality would demand to acquire those contracts at the date of the CIFG Acquisition (the "CIFG Acquisition Date"), particularly for below-investment-grade transactions, resulting in a significant amount of the purchase price being allocated to these contracts. For information on the methodology the Company used to measure the fair value of assets it acquired and liabilities it assumed in the CIFG Acquisition, including financial guaranty insurance and credit derivative contracts, please refer to Note 7, Fair Value Measurement. The fair value of the Company's stand-ready obligation on the CIFG Acquisition Date is recorded in unearned premium reserve. After the CIFG Acquisition Date, loss reserves and loss and loss adjustment expenses ("LAE") will be recorded when the expected losses for each contract exceeds the remaining unearned premium reserve, in accordance with the Company's accounting policy described in the Annual Report on Form 10-K. The expected losses acquired by the Company as part of the CIFG Acquisition are included in the description of expected losses to be paid under Note 5, Expected Losses to be Paid. The excess of the fair value of net assets acquired over the consideration transferred was recorded as a bargain purchase gain in "bargain purchase gain and settlement of pre-existing relationships" in net income. In addition, the Company and CIFG had pre-existing reinsurance relationships, which were also effectively settled at fair value on the CIFG Acquisition Date. The loss on settlement of these pre-existing reinsurance relationships represents the net difference between the historical assumed balances that were recorded by AGC and the fair value of ceded balances acquired from CIFG. The Company believes the bargain purchase gain resulted from the nature of the financial guaranty business and the desire of investors in CIFGH to monetize their investments in CIFGH. The bargain purchase gain reflects the fair value of CIFGH’s assets and liabilities, as well as tax attributes that were recorded in deferred taxes comprising net operating losses (after Internal Revenue Code change in control provisions) and other temporary book-to-tax differences for which CIFGH had recorded a full valuation allowance. The following table shows the net effect of the CIFG Acquisition, including the effects of the settlement of pre-existing relationships. Fair Value of Net Assets Acquired, before Settlement of Pre-existing Relationships Net effect of Settlement of Pre-existing Relationships Net Effect of CIFG Acquisition (in millions) Cash Purchase Price (1) $ 443 $ — $ 443 Identifiable assets acquired: Investments 770 — 770 Cash 8 — 8 Premiums receivable, net of commissions payable 18 — 18 Ceded unearned premium reserve 173 (173 ) — Deferred acquisition costs 1 (1 ) — Salvage and subrogation recoverable 23 — 23 Credit derivative assets 1 — 1 Deferred tax asset, net 194 34 228 Other assets 4 — 4 Total assets 1,192 (140 ) 1,052 Liabilities assumed: Unearned premium reserves 306 (10 ) 296 Loss and loss adjustment expense reserve 1 (66 ) (65 ) Credit derivative liabilities 68 0 68 Other liabilities 17 — 17 Total liabilities 392 (76 ) 316 Net asset effect of CIFG Acquisition 800 (64 ) 736 Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, after-tax 357 (64 ) 293 Deferred tax — (34 ) (34 ) Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, pre-tax $ 357 $ (98 ) $ 259 _____________________ (1) The cash purchase price of $443 million was the cash transferred for the acquisition which was allocated as follows: (1) $270 million for the purchase of net assets of $627 million , and (2) the settlement of pre-existing relationships between CIFG and Assured Guaranty at a fair value of $173 million . Revenue and net income related to CIFGH from the CIFG Acquisition Date through September 30, 2016 included in the consolidated statement of operations were approximately $282 million and $308 million , respectively. For Third Quarter 2016 and Nine Months 2016 , the Company recognized transaction expenses related to the CIFG Acquisition. These expenses were primarily driven by the fees paid to the Company's legal and financial advisors and to the Company's independent auditor. CIFG Acquisition-Related Expenses Third Quarter 2016 Nine Months 2016 (in millions) Professional services $ 1 $ 2 Financial advisory fees 3 4 Total $ 4 $ 6 The Company has determined that the presentation of pro-forma information is impractical for the CIFG Acquisition as historical financial records are not available on a U.S. GAAP basis. Radian Asset Assurance Inc. On April 1, 2015, 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 gain on settlement of pre-existing relationships. MBIA UK Insurance Limited On September 29, 2016, Assured Guaranty Ltd. announced that its subsidiary AGC entered into an agreement to acquire MBIA UK Insurance Limited ("MBIA UK"), the European operating subsidiary of MBIA Insurance Corporation (together with its subsidiaries, "MBIA"). The parties expect the transaction to close in early January 2017, subject to receipt of regulatory approvals and the satisfaction of other customary closing conditions. There can be no assurance that regulatory approvals will be obtained. Under the agreement, AGC will deliver to MBIA all of the notes issued in the Zohar II 2005-1 transaction that AGC holds, and the seller, MBIA UK (Holdings) Limited, will transfer to AGC all of the outstanding shares of MBIA UK plus $23 million in cash. The Zohar notes to be transferred had, as of September 30, 2016, a total outstanding principal of approximately $347 million . MBIA Insurance Corporation insures all of the notes issued in the Zohar II 2005-1 transaction. As of June 30, 2016, MBIA UK had an insured portfolio of approximately $13 billion of net par. Assured Guaranty currently plans to maintain MBIA UK as a stand-alone entity but could combine it with other European affiliates in the future. |
Rating Actions
Rating Actions | 9 Months Ended |
Sep. 30, 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, to AGM in 2014, and to AGC in 2016, while the A.M. Best Company, Inc. ("Best") rating was first assigned to Assured Guaranty Re Overseas Ltd. ("AGRO") in 2015, and 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, S&P Global Ratings, a division of Standard & Poor's Financial Services LLC ("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 September 20, 2016, KBRA assigned a financial strength rating of AA (stable outlook) to AGC. On July 8, 2016 and December 10, 2015, KBRA affirmed the AA+ (stable outlook) financial strength ratings of MAC and AGM, respectively. • On August 8, 2016, Moody's affirmed the A2 (stable outlook) on AGM and AGE and A3 insurance financial strength rating on AGC and AGC's subsidiary Assured Guaranty (UK) Ltd. ("AGUK") raising the outlook to stable from negative. 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 July 27, 2016, S&P affirmed the AA (stable) financial strength ratings of AGL's insurance subsidiaries. • On May 27, 2016, Best affirmed the A+ (stable) financial strength rating, which is their second highest rating, of AGRO. There can be no assurance that any of the rating agencies will not take negative action on their financial strength ratings of AGL's insurance subsidiaries in the future. For a discussion of the effects of rating actions on the Company, see the following: • Note 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 | 9 Months Ended |
Sep. 30, 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 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 September 30, December 31, September 30, December 31, (in millions) Public finance $ 451,287 $ 515,494 $ 433,621 $ 494,426 Structured finance 33,284 43,976 31,938 41,915 Total financial guaranty $ 484,571 $ 559,470 $ 465,559 $ 536,341 In addition to the financial guaranty debt service shown in the table above, the Company provides a structured capital relief Triple-X excess of loss life reinsurance on approximately $275 million of exposure as of September 30, 2016 and $0 as of December 31, 2015 , which is expected to increase to approximately $1 billion prior to September 30, 2036 . The Company also has mortgage guaranty reinsurance related to loans originated in Ireland on debt service of approximately $38 million as of September 30, 2016 , and $102 million as of December 31, 2015 . Financial Guaranty Portfolio by Internal Rating (1) As of September 30, 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 $ 2,182 0.9 % $ 703 2.5 % $ 11,187 45.9 % $ 1,526 37.7 % $ 15,598 5.0 % AA 53,330 20.6 1,768 6.2 6,246 25.6 134 3.4 61,478 19.5 A 137,270 53.1 6,466 22.9 1,744 7.1 669 16.5 146,149 46.3 BBB 58,274 22.5 17,872 63.3 869 3.6 1,172 28.9 78,187 24.8 BIG 7,594 2.9 1,430 5.1 4,341 17.8 548 13.5 13,913 4.4 Total net par outstanding (2) $ 258,650 100.0 % $ 28,239 100.0 % $ 24,387 100.0 % $ 4,049 100.0 % $ 315,325 100.0 % _____________________ (1) The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG. (2) As of September 30, 2016 , excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, 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) As of December 31, 2015 , excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. In addition to amounts shown in the tables above, the Company had outstanding commitments to provide guaranties of $1.2 billion for public finance obligations as of September 30, 2016 . The expiration dates for the public finance commitments range between October 1, 2016 and February 25, 2017 , with $918 million expiring prior to the date of this filing. The commitments are contingent on the satisfaction of all conditions set forth in them and may expire unused or be canceled at the counterparty’s request. Therefore, the total commitment amount does not necessarily reflect actual future guaranteed amounts. Components of BIG Portfolio Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of September 30, 2016 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 2,632 $ 3,107 $ 1,855 $ 7,594 $ 258,650 Non-U.S. public finance 1,370 60 — 1,430 28,239 Structured finance: First lien U.S. residential mortgage-backed securities ("RMBS"): Prime first lien 16 103 22 141 217 Alt-A first lien 85 41 472 598 1,047 Option ARM 22 6 59 87 172 Subprime 80 260 826 1,166 3,136 Second lien U.S. RMBS 29 71 1,204 1,304 1,307 Total U.S. RMBS 232 481 2,583 3,296 5,879 Triple-X life insurance transactions — — 126 126 2,060 Trust preferred securities (“TruPS”) 428 127 — 555 2,557 Student loans — 68 41 109 1,423 Other structured finance 548 217 38 803 16,517 Total $ 5,210 $ 4,060 $ 4,643 $ 13,913 $ 315,325 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 September 30, 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 $ 4,470 $ 740 $ 5,210 182 11 193 Category 2 3,861 199 4,060 76 5 81 Category 3 4,503 140 4,643 144 11 155 Total BIG $ 12,834 $ 1,079 $ 13,913 402 27 429 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 (“Puerto Rico” or the “Commonwealth”) and various obligations of its related authorities and public corporations aggregating $4.8 billion net par as of September 30, 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; the economy has declined nearly every year since 2007, while the population has shrunk every year since 2006 as residents have emigrated. 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, was unpayable and that a comprehensive debt restructuring might be necessary. 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 the Puerto Rico Highways and Transportation Authority ("PRHTA"), Puerto Rico Infrastructure Financing Authority ("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 subject to the Clawback Orders are shown in the table “Puerto Rico Net Par Outstanding” below. On January 1, 2016, PRIFA defaulted on payment of a portion of the interest due on its bonds on that date, resulting in a claim on the Company for those PRIFA bonds the Company insures. There have been additional payment defaults on this and other Puerto Rico credits since then, including, on July 1, 2016, a default on the payment of the Commonwealth’s general obligation bonds. The Company has now paid claims on several Puerto Rico credits as shown in the table “Puerto Rico Net Par Outstanding” below. 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, entity by entity, states of emergencies and moratoriums on debt service payments on obligations of the Commonwealth and its related authorities and public corporations, as well as instituting a stay against related litigation, among other things. The Governor has used the authority of the Moratorium Act to take a number of actions related to issuers of obligations the Company insures. National Public Finance Guarantee Corporation ("National") (another financial guarantor), holders of the Commonwealth general obligation bonds and certain Puerto Rico residents have filed suits to invalidate the Moratorium Act, and on July 21, 2016, the Company filed a motion and form of complaint in the U.S. District Court for the District of Puerto Rico seeking relief from the stay of litigation imposed by the Puerto Rico Oversight, Management, and Economic Stability Act (“PROMESA”) to seek a declaration that the Moratorium Act is preempted by Federal bankruptcy law; that motion was denied on November 2, 2016, on procedural grounds. The PROMESA stay expires on February 15, 2017. On June 13, 2016, the Supreme Court of the United States affirmed rulings of lower courts finding that the Puerto Rico Public Corporation Debt Enforcement and Recovery Act, which was enacted by Puerto Rico in June 2014 in order to provide a legislative framework for certain public corporations experiencing severe financial stress to restructure their debt, was preempted by the U.S. Bankruptcy Code and therefore void. On June 30, 2016, PROMESA was signed into law by the President of the United States. PROMESA establishes a seven-member federal financial oversight board (“Oversight Board”) with authority to require that balanced budgets and fiscal plans be adopted and implemented by Puerto Rico. PROMESA provides a legal framework under which the debt of the Commonwealth and its related authorities and public corporations may be voluntarily restructured, and grants the Oversight Board the sole authority to file restructuring petitions in a federal court to restructure the debt of the Commonwealth and its related authorities and public corporations if voluntary negotiations fail, provided that any such restructuring must be in accordance with an Oversight Board approved fiscal plan that respects the liens and priorities provided under Puerto Rico law. PROMESA also appears to preempt at least portions of the Moratorium Act and appears to stay debt-related litigation, possibly including the Company’s litigation regarding the Clawback Orders. On August 31, 2016, the President of the United States appointed the seven members of the Oversight Board. The Oversight Board has begun meeting. Press reports indicate that the Oversight Board has set a target of mid-January 2017 for hiring an executive director and is considering intervening in certain litigation relating to the Moratorium Act or otherwise related to Puerto Rico’s debt problems. On October 28, 2016, the Oversight Board filed a motion to intervene in the litigation noted above initiated by the Company on July 21, 2016, and seeking relief from the PROMESA stay. That motion was denied on November 1, 2016, without prejudice, on procedural grounds. The Oversight Board also may seek in the future to intervene in litigation initiated by the Company. The final shape, timing and validity of responses to Puerto Rico’s distress eventually enacted or implemented under the auspices of PROMESA and the Oversight Board or otherwise, and the impact of any such responses on obligations insured by the Company, is uncertain. The Company groups its Puerto Rico exposure into three categories: • Constitutionally Guaranteed. The Company includes in this category public debt benefiting from Article VI of the Constitution of the Commonwealth, which expressly provides that interest and principal payments on the public debt are to be paid before other disbursements are made. • Public Corporations – Certain Revenues Potentially Subject to Clawback. The Company includes in this category the debt of public corporations for which applicable law permits the Commonwealth to claw back, subject to certain conditions and for the payment of public debt, at least a portion of the revenues supporting the bonds the Company insures. As a Constitutional condition to clawback, available Commonwealth revenues for any fiscal year must be insufficient to pay Commonwealth debt service before the payment of any appropriations for that year. The Company believes that this condition has not been satisfied to date, and accordingly that the Commonwealth has not to date been entitled to clawback revenues supporting debt insured by the Company. As noted above, the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that Puerto Rico's recent attempt to “claw back” pledged taxes is unconstitutional, and demanding declaratory and injunctive relief. • Other Public Corporations. The Company includes in this category the debt of public corporations that are supported by revenues it does not believe are subject to clawback. Constitutionally Guaranteed General Obligation. As of September 30, 2016 , the Company had $1,476 million insured net par outstanding of the general obligations of Puerto Rico, which are supported by the good faith, credit and taxing power of the Commonwealth. On July 1, 2016, despite the requirements of Article VI of its Constitution but pursuant to an executive order issued by the Governor under the Moratorium Act, the Commonwealth defaulted on most of the debt service payment due that day, and the Company made its first claim payments on these bonds. Puerto Rico Public Buildings Authority (“PBA”). As of September 30, 2016 , the Company had $169 million insured net par outstanding of PBA bonds, which are supported by a pledge of the rents due under leases of government facilities to departments, agencies, instrumentalities and municipalities of the Commonwealth, and that benefit from a Commonwealth guaranty supported by a pledge of the Commonwealth’s good faith, credit and taxing power. On July 1, 2016, despite the requirements of Article VI of its Constitution but pursuant to an executive order issued by the Governor under the Moratorium Act, the PBA defaulted on most of the debt service payment due that day, and the Company made its first claim payments on these bonds. Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA. As of September 30, 2016 , the Company had $918 million insured net par outstanding of PRHTA (Transportation revenue) bonds and $350 million insured net par of PRHTA (Highways revenue) bonds. The transportation revenue bonds are secured by a subordinate gross pledge of gasoline and gas oil and diesel oil taxes, motor vehicle license fees and certain tolls, plus a first lien on up to $120 million annually of taxes on crude oil, unfinished oil and derivative products. The highways revenue bonds are secured by a gross pledge of gasoline and gas oil and diesel oil taxes, motor vehicle license fees and certain tolls. 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. The PRHTA bonds are subject to executive orders issued pursuant to the Moratorium Act. As noted above, the Company filed a motion and form of complaint in the U.S. District Court for the District of Puerto Rico seeking relief from the PROMESA stay to seek a declaration that the Moratorium Act is preempted by Federal bankruptcy law and that certain gubernatorial executive orders diverting PRHTA pledged toll revenues (which are not subject to the Clawback Orders) are preempted by PROMESA and violate the U.S. Constitution, and also seeking damages and injunctive relief. That motion was denied on November 2, 2016, on procedural grounds. The PROMESA stay expires on February 15, 2017. There were sufficient funds in the PRHTA bond accounts to make the July 1, 2016 PRHTA debt service payments guaranteed by the Company, and those payments were made in full. PRCCDA. As of September 30, 2016 , the Company had $152 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, and the bonds are subject to an executive order issued pursuant to the Moratorium Act. There were sufficient funds in the PRCCDA bond accounts to make the July 1, 2016 PRCCDA bond payments guaranteed by the Company, and those payments were made in full. PRIFA. As of September 30, 2016 , the Company had $18 million insured net par outstanding of PRIFA bonds, which are secured primarily by the return to Puerto Rico of federal excise taxes paid on rum. These revenues are subject to the Clawback Orders and the bonds are subject to an executive order issued pursuant to the Moratorium Act. The Company made its first claim payment on PRIFA bonds in January 2016, and has continued to make claim payments on PRIFA bonds. Other Public Corporations Puerto Rico Electric Power Authority ("PREPA"). As of September 30, 2016 , the Company had $724 million insured net par outstanding of PREPA obligations, which are payable from a pledge of net revenues of the electric system. 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 and in exchange for a market premium, Assured Guaranty will issue surety insurance policies in an aggregate amount not expected to exceed $113 million ( $14 million for AGC and $99 million for AGM) 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, which was closed in two tranches on May 19, 2016 and June 22, 2016. AGM's and AGC's share of the bridge financing was approximately $15 million ( $2 million for AGC and $13 million for AGM). Legislation meeting the requirements of the RSA was enacted on February 16, 2016, and a transition charge to be paid by PREPA rate payers for debt service on the securitization bonds as contemplated by the RSA was approved by the Puerto Rico Energy Commission on June 20, 2016. The closing of the restructuring transaction and the issuance of the surety bonds are subject to certain conditions, including execution of acceptable documentation and legal opinions. On July 1, 2016, PREPA made full payment of the $41 million of principal and interest due on PREPA revenue bonds insured by AGM and AGC. That payment was funded in part by AGM’s purchase of $26 million of PREPA bonds maturing in 2020. Upon finalization of the RSA, these new PREPA revenue bonds will be supported by securitization bonds contemplated by the RSA. In early 2016, PREPA repaid in full the $74 million in aggregate principal amount of PREPA revenue bonds purchased by AGM and AGC in July 2015 to replenish some of the operating funds PREPA used to make the July 2015 payments on the PREPA revenue bonds insured by AGM and AGC. 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 insured PREPA revenue bonds, will be implemented. In addition, the impact of PROMESA and 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. Puerto Rico Aqueduct and Sewer Authority (“PRASA”). As of September 30, 2016 , the Company had $373 million of insured net par outstanding to PRASA bonds, which are secured by the gross revenues of the water and sewer system. On September 15, 2015, PRASA entered into a settlement with the U.S.Department of Justice 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, PRASA owed its contractors $140 million . The PRASA Revitalization Act, which establishes a securitization mechanism that could facilitate debt issuance, was signed into law on July 13, 2016. While certain bonds benefiting from a guarantee by the Commonwealth are subject to an executive order issued under the Moratorium Act, bonds insured by the Company are not subject to that order. There were sufficient funds in the PRASA bond accounts to make the July 1, 2016, PRASA bond payments guaranteed by the Company, and those payments were made in full. Municipal Finance Agency ("MFA"). As of September 30, 2016 , the Company had $334 million net par outstanding of bonds issued by MFA secured by a pledge of local property tax revenues. There were sufficient funds in the MFA bond accounts to make the July 1, 2016 MFA bond payments guaranteed by the Company, and those payments were made in full. Puerto Rico Sales Tax Financing Corporation (“COFINA”). As of September 30, 2016 , the Company had $271 million insured net par outstanding of junior COFINA bonds, which are secured primarily by a second lien on certain sales and use taxes. There were no debt service payments due on July 1, 2016 on Company-insured COFINA bonds, and, as of the date of this filing, all payments on Company-insured COFINA bonds had been made. University of Puerto Rico (“U of PR”). As of September 30, 2016 , the Company had $1 million insured net par outstanding of U of PR bonds, which are general obligations of the university and are secured by a subordinate lien on the proceeds, profits and other income of the University, subject to a senior pledge and lien for the benefit of outstanding university system revenue bonds. The U of PR bonds are subject to an executive order issued under the Moratorium Act. There were no debt service payments due on July 1, 2016 on Company-insured U of PR bonds, and, as of the date of this filing, all payments on Company-insured U of PR bonds had been made. All Puerto Rico exposures are internally rated triple-C or below. The following tables show the Company’s insured exposure to general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. Puerto Rico Gross Par and Gross Debt Service Outstanding Gross Par Outstanding Gross Debt Service Outstanding September 30, December 31, September 30, December 31, (in millions) Exposure to Puerto Rico $ 5,437 $ 5,755 $ 9,041 $ 9,632 Puerto Rico Net Par Outstanding As of As of (in millions) Commonwealth Constitutionally Guaranteed Commonwealth of Puerto Rico - General Obligation Bonds (1) $ 1,476 $ 1,615 Puerto Rico Public Buildings Authority (1) 169 188 Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA (Transportation revenue) (2) 918 909 PRHTA (Highways revenue) 350 370 PRCCDA 152 164 PRIFA (1) 18 18 Other Public Corporations PREPA 724 744 PRASA 373 388 MFA 334 387 COFINA 271 269 U of PR 1 1 Total net exposure to Puerto Rico $ 4,786 $ 5,053 ____________________ (1) As of the date of this filing, the Company has paid claims on these credits. (2) The September 30, 2016 amount includes $46 million of net par acquired from CIFG. The following table shows the scheduled amortization of the insured general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. The Company guarantees payments of interest and principal when those amounts are scheduled to be paid and cannot be required to pay on an accelerated basis. In the event that obligors default on their obligations, the Company would only be required to pay the shortfall between the principal and interest due in any given period and the amount paid by the obligors. Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of September 30, 2016 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization (in millions) 2016 (October 1 – December 31) $ 0 $ 2 2017 (January 1 - March 31) 0 118 2017 (April 1 - June 30) 0 2 2017 (July 1 - September 30) 220 339 2017 (October 1 - December 31) 0 2 Subtotal 2017 220 461 2018 175 407 2019 206 430 2020 266 480 2021-2025 787 1,718 2026-2030 955 1,647 2031-2035 1,134 1,605 2036-2040 579 781 2041-2045 296 381 2046-2047 168 181 Total $ 4,786 $ 8,093 Exposure to Selected European Countries The European countries where the Company has exposure and believes heightened uncertainties exist are: Hungary, Italy, Portugal, Spain and Turkey (collectively, the “Selected European Countries”). The Company added Turkey to its list of Selected European Countries as of June 30, 2016, as a result of the recent political turmoil in the country. The Company’s direct economic exposure to the Selected European Countries (based on par for financial guaranty contracts and notional amount for financial guaranty contracts accounted for as derivatives) is shown in the following table, net of ceded reinsurance. Net Direct Economic Exposure to Selected European Countries(1) As of September 30, 2016 Hungary Italy Portugal Spain Turkey Total (in millions) Sub-sovereign exposure(2) $ 252 $ 955 $ 80 $ 366 $ — $ |
Expected Loss to be Paid
Expected Loss to be Paid | 9 Months Ended |
Sep. 30, 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 financial guaranty 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 2.42% as of September 30, 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 Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Net expected loss to be paid, beginning of period $ 1,326 $ 1,510 $ 1,391 $ 1,169 Net expected loss to be paid on CIFG portfolio as of July 1, 2016 22 — 22 — Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 — — — 190 Economic loss development due to: Accretion of discount 5 10 20 24 Changes in discount rates (29 ) 11 79 (29 ) Changes in timing and assumptions (20 ) (24 ) (62 ) 191 Total economic loss development (44 ) (3 ) 37 186 Paid losses (214 ) (200 ) (360 ) (238 ) Net expected loss to be paid, end of period $ 1,090 $ 1,307 $ 1,090 $ 1,307 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Third Quarter 2016 Net Expected Loss to be Paid (Recovered) as of June 30, 2016 Net Expected Loss to be Paid (Recovered) on CIFG as of July 1, 2016 Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 963 $ 40 $ 9 $ (196 ) $ 816 Non-U.S. public finance 37 2 (1 ) — 38 Public Finance 1,000 42 8 (196 ) 854 Structured Finance: U.S. RMBS: First lien: Prime first lien 3 — 0 0 3 Alt-A first lien (96 ) 0 3 5 (88 ) Option ARM (56 ) — (3 ) 3 (56 ) Subprime 227 — (17 ) (12 ) 198 Total first lien 78 0 (17 ) (4 ) 57 Second lien 114 (22 ) (10 ) 9 91 Total U.S. RMBS 192 (22 ) (27 ) 5 148 Triple-X life insurance transactions 100 — (23 ) (23 ) 54 Student loans 31 — 0 0 31 Other structured finance 3 2 (2 ) 0 3 Structured Finance 326 (20 ) (52 ) (18 ) 236 Total $ 1,326 $ 22 $ (44 ) $ (214 ) $ 1,090 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Third Quarter 2015 Net Expected Loss to be Paid (Recovered) as of June 30, 2015 Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 613 $ 92 $ (18 ) $ 687 Non-U.S public finance 44 (1 ) — 43 Public Finance 657 91 (18 ) 730 Structured Finance: U.S. RMBS: First lien: Prime first lien 1 0 (1 ) 0 Alt-A first lien 265 (111 ) (108 ) 46 Option ARM (18 ) (4 ) 6 (16 ) Subprime 273 26 (20 ) 279 Total first lien 521 (89 ) (123 ) 309 Second lien 3 13 10 26 Total U.S. RMBS 524 (76 ) (113 ) 335 Triple-X life insurance transactions 165 1 (68 ) 98 Student loans 58 (2 ) — 56 Other structured finance 106 (17 ) (1 ) 88 Structured Finance 853 (94 ) (182 ) 577 Total $ 1,510 $ (3 ) $ (200 ) $ 1,307 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Nine Months 2016 Net Expected Loss to be Paid (Recovered) as of December 31, 2015 (2) Net Expected Loss to be Paid (Recovered) on CIFG as of July 1, 2016 Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 771 $ 40 $ 218 $ (213 ) $ 816 Non-U.S. public finance 38 2 (2 ) — 38 Public Finance 809 42 216 (213 ) 854 Structured Finance: U.S. RMBS: First lien: Prime first lien (2 ) — 0 5 3 Alt-A first lien 127 0 (51 ) (164 ) (88 ) Option ARM (28 ) — (34 ) 6 (56 ) Subprime 251 — (42 ) (11 ) 198 Total first lien 348 0 (127 ) (164 ) 57 Second lien 61 (22 ) (12 ) 64 91 Total U.S. RMBS 409 (22 ) (139 ) (100 ) 148 Triple-X life insurance transactions 99 — (21 ) (24 ) 54 Student loans 54 — (15 ) (8 ) 31 Other structured finance 20 2 (4 ) (15 ) 3 Structured Finance 582 (20 ) (179 ) (147 ) 236 Total $ 1,391 $ 22 $ 37 $ (360 ) $ 1,090 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Nine Months 2015 Net Expected Loss to be Paid (Recovered) as of December 31, 2014 Net Expected Loss to be Paid (Recovered) on Radian Asset portfolio as of April 1, 2015 Economic Loss Development (Paid) Recovered Losses (1) Net Expected as of (in millions) Public Finance: U.S. public finance $ 303 $ 81 $ 327 $ (24 ) $ 687 Non-U.S. public finance 45 4 (6 ) — 43 Public Finance 348 85 321 (24 ) 730 Structured Finance: U.S. RMBS: First lien: Prime first lien 4 — (1 ) (3 ) 0 Alt-A first lien 304 7 (132 ) (133 ) 46 Option ARM (16 ) 0 (3 ) 3 (16 ) Subprime 303 (4 ) 19 (39 ) 279 Total first lien 595 3 (117 ) (172 ) 309 Second lien (11 ) 1 13 23 26 Total U.S. RMBS 584 4 (104 ) (149 ) 335 Triple-X life insurance transactions 161 — 8 (71 ) 98 Student loans 68 — (7 ) (5 ) 56 Other structured finance 8 101 (32 ) 11 88 Structured Finance 821 105 (135 ) (214 ) 577 Total $ 1,169 $ 190 $ 186 $ (238 ) $ 1,307 ____________________ (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 $3 million and $7 million in LAE for Third Quarter 2016 and 2015 , respectively, and $12 million and $16 million in LAE for Nine Months 2016 and 2015 , respectively. (2) Includes expected LAE to be paid of $12 million as of September 30, 2016 and $12 million as of December 31, 2015 . Future Net R&W Recoverable (Payable)(1) As of As of (in millions) U.S. RMBS: First lien $ (87 ) $ 0 Second lien 50 79 Total $ (37 ) $ 79 ____________________ (1) The Company’s agreements with R&W providers generally provide that, as the Company makes claim payments, the R&W providers reimburse it for those claims; if the Company later receives reimbursement through the transaction (for example, from excess spread), the Company repays 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 paying in claims on transactions covered by R&W settlement agreements, 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 September 30, 2016 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 816 $ — $ 0 $ 816 Non-U.S. public finance 38 — — 38 Public Finance 854 — 0 854 Structured Finance: U.S. RMBS: First lien: Prime first lien 3 — — 3 Alt-A first lien (110 ) 20 2 (88 ) Option ARM (52 ) — (4 ) (56 ) Subprime 119 45 34 198 Total first lien (40 ) 65 32 57 Second lien 54 42 (5 ) 91 Total U.S. RMBS 14 107 27 148 Triple-X life insurance transactions 43 — 11 54 Student loans 31 — — 31 Other structured finance 35 1 (33 ) 3 Structured Finance 123 108 5 236 Total $ 977 $ 108 $ 5 $ 1,090 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 Third Quarter 2016 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 (1 ) — — (1 ) Public Finance 8 — — 8 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — — 0 Alt-A first lien 4 (1 ) 0 3 Option ARM (3 ) — 0 (3 ) Subprime (17 ) 0 0 (17 ) Total first lien (16 ) (1 ) 0 (17 ) Second lien (1 ) (1 ) (8 ) (10 ) Total U.S. RMBS (17 ) (2 ) (8 ) (27 ) Triple-X life insurance transactions (23 ) — 0 (23 ) Student loans 0 — — 0 Other structured finance (3 ) (1 ) 2 (2 ) Structured Finance (43 ) (3 ) (6 ) (52 ) Total $ (35 ) $ (3 ) $ (6 ) $ (44 ) Net Economic Loss Development (Benefit) By Accounting Model Third Quarter 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 91 $ — $ 1 $ 92 Non-U.S. public finance (1 ) — 0 (1 ) Public Finance 90 — 1 91 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — 0 0 Alt-A first lien (44 ) 0 (67 ) (111 ) Option ARM (2 ) — (2 ) (4 ) Subprime 16 7 3 26 Total first lien (30 ) 7 (66 ) (89 ) Second lien 11 2 0 13 Total U.S. RMBS (19 ) 9 (66 ) (76 ) Triple-X life insurance transactions (1 ) — 2 1 Student loans (2 ) — — (2 ) Other structured finance (1 ) 0 (16 ) (17 ) Structured Finance (23 ) 9 (80 ) (94 ) Total $ 67 $ 9 $ (79 ) $ (3 ) Net Economic Loss Development (Benefit) By Accounting Model Nine Months 2016 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 218 $ — $ — $ 218 Non-U.S. public finance (2 ) — — (2 ) Public Finance 216 — — 216 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 0 0 0 Alt-A first lien (52 ) 2 (1 ) (51 ) Option ARM (31 ) 0 (3 ) (34 ) Subprime (31 ) (2 ) (9 ) (42 ) Total first lien (114 ) 0 (13 ) (127 ) Second lien 0 (4 ) (8 ) (12 ) Total U.S. RMBS (114 ) (4 ) (21 ) (139 ) Triple-X life insurance transactions (21 ) 0 0 (21 ) Student loans (15 ) — — (15 ) Other structured finance 0 (2 ) (2 ) (4 ) Structured Finance (150 ) (6 ) (23 ) (179 ) Total $ 66 $ (6 ) $ (23 ) $ 37 Net Economic Loss Development (Benefit) By Accounting Model Nine Months 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 332 $ — $ (5 ) $ 327 Non-U.S. public finance (6 ) — 0 (6 ) Public Finance 326 — (5 ) 321 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — (1 ) (1 ) Alt-A first lien (54 ) (1 ) (77 ) (132 ) Option ARM (5 ) — 2 (3 ) Subprime 12 10 (3 ) 19 Total first lien (47 ) 9 (79 ) (117 ) Second lien 12 1 0 13 Total U.S. RMBS (35 ) 10 (79 ) (104 ) Triple-X life insurance transactions 4 — 4 8 Student loans (7 ) — — (7 ) Other structured finance (2 ) 0 (30 ) (32 ) Structured Finance (40 ) 10 (105 ) (135 ) Total $ 286 $ 10 $ (110 ) $ 186 _________________ (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 $4.8 billion net par as of September 30, 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 September 30, 2016 , the Company’s net par subject to the plan consists of $113 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 also has $12.4 billion of net par exposure to healthcare transactions. The BIG net par outstanding in this sector is $246 million . The Company projects that its total net expected loss across its troubled U.S. public finance credits as of September 30, 2016 including those mentioned above, which incorporated the likelihood of the various outcomes, will be $816 million , compared with a net expected loss of $771 million as of December 31, 2015. On July 1, 2016, the CIFG Acquisition added $40 million in net economic losses to be paid for U.S. public finance credits. Economic loss development in Third Quarter 2016 and Nine Months 2016 was $9 million and $218 million , respectively, 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 exposure net of reinsurance to these Spanish and Portuguese credits is $366 million and $80 million , respectively. The Company rates most of these issuers in the BB category due to the financial condition of Spain and Portugal and their dependence on the sovereign. The Company's Hungary exposure is to infrastructure bonds dependent on payments from Hungarian governmental entities. The Company's exposure net of reinsurance to these Hungarian credits is $252 million , all of which is rated BIG. The Company estimated net expected losses of $35 million related to these Spanish, Portuguese and Hungarian credits. The economic benefit of approximately $1 million during Third Quarter 2016 and approximately $2 million during Nine Months 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. Third Quarter and Nine Months 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 September 30, 2016 as it used as of June 30, 2016. For Nine Months 2016, the Company chose to use the same general assumptions to project RMBS losses as of September 30, 2016 as it used as of December 31, 2015 , except it (1) increased severities for specific vintages of Alt-A first lien, Option ARM and subprime transactions, (2) decreased liquidation rates for certain vintages of subprime and (3) increased liquidation rates for second lien 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 September 30, 2016 June 30, 2016 December 31, 2015 Current Loans Modified in the Previous 12 Months Alt A and Prime 25% 25% 25% Option ARM 25 25 25 Subprime 25 25 25 Current Loans Delinquent in the Previous 12 Months Alt A and Prime 25 25 25 Option ARM 25 25 25 Subprime 25 25 25 30 – 59 Days Delinquent Alt A and Prime 35 35 35 Option ARM 40 40 40 Subprime 45 45 45 60 – 89 Days Delinquent Alt A and Prime 45 45 45 Option ARM 50 50 50 Subprime 50 50 55 90+ Days Delinquent Alt A and Prime 55 55 55 Option ARM 60 60 60 Subprime 55 55 60 Bankruptcy Alt A and Prime 45 45 45 Option ARM 50 50 50 Subprime 40 40 40 Foreclosure Alt A and Prime 65 65 65 Option ARM 70 70 70 Subprime 65 65 70 Real Estate Owned All 100 100 100 While the Company uses liquidation rates as described above to project defaults of non-performing loans (including current loans modified 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 6.75 years after the initial 36 -month CDR plateau period. 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 and as of June 30, 2016 the Company updated severities again for certain vintages of Alt-A, as well as Option ARM. The Company then assumes that loss severities begin returning to levels consistent with underwriting assumptions beginning after the initial 18 month period, declining to 40% in the base case over 2.5 years. The following table shows the range as well as the average, weighted by outstanding net insured par, for key assumptions used in the calculation of expected loss to be paid for individual transactions for direct vintage 2004 - 2008 first lien U.S. RMBS. Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS(1) As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Alt-A First Lien Plateau CDR 0.1 % - 20.8% 6.0% 0.9 % - 27.0% 6.1% 1.7 % – 26.4% 6.4% Intermediate CDR 0.0 % - 4.2% 1.2% 0.2 % - 5.4% 1.2% 0.3 % – 5.3% 1.3% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.0 % - 1.0% 0.3% 0.0 % - 1.3% 0.3% 0.1 % – 1.3% 0.3% Initial loss severity: 2005 and prior 60.0% 60.0% 60.0% 2006 80.0% 80.0% 70.0% 2007 70.0% 70.0% 65.0% Initial conditional prepayment rate ("CPR") 1.8 % - 26.6% 10.7% 3.5 % - 29.3% 11.0% 2.7 % – 32.5% 11.5% Final CPR(2) 15% 15% 15% Option ARM Plateau CDR 3.4 % - 9.1% 7.1% 3.2 % - 10.1% 7.4% 3.5 % – 10.3% 7.8% Intermediate CDR 0.7 % - 1.8% 1.4% 0.6 % - 2.0% 1.5% 0.7 % – 2.1% 1.6% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.2 % - 0.5% 0.3% 0.2 % - 0.5% 0.3% 0.2 % – 0.5% 0.4% Initial loss severity: 2005 and prior 60.0% 60.0% 60.0% 2006 70.0% 70.0% 70.0% 2007 75.0% 75.0% 65.0% Initial CPR 1.7 % - 14.4% 6.8% 2.0 % - 13.2% 5.7% 1.5 % – 10.9% 5.1% Final CPR(2) 15% 15% 15% Subprime Plateau CDR 4.5 % - 12.8% 8.2% 4.4 % - 12.7% 8.5% 4.7 % – 13.2% 9.5% Intermediate CDR 0.9 % - 2.6% 1.6% 0.9 % - 2.5% 1.7% 0.9 % – 2.6% 1.9% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.2 % - 0.6% 0.4% 0.2 % - 0.6% 0.4% 0.2 % – 0.7% 0.4% Initial loss severity: 2005 and prior 80.0% 80.0% 75.0% 2006 90.0% 90.0% 90.0% 2007 90.0% 90.0% 90.0% Initial CPR 0.4 % - 12.1% 5.2% 0.6 % - 11.3% 4.9% 0.0 % – 10.1% 3.6% Final CPR(2) 15% 15% 15% ____________________ (1) Represents variables for most heavily weighted scenario (the “base case”). (2) For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. The rate at which the principal amount of loans is voluntarily prepaid may impact both the amount of losses projected (since that amount is a function of the 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 June 30, 2016 and 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 September 30, 2016 . The Company used a similar approach to establish its pessimistic and optimistic scenarios as of September 30, 2016 as it used as of June 30, 2016 and 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, $6 million for Option ARM, $38 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 $30 million for Alt-A first liens, $12 million for Option ARM, $51 million for subprime and $0.4 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 $5 million for Alt-A first liens, $21 million for Option ARM, $10 million for subprime and $15 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 $17 million for Alt-A first liens, $32 million for Option ARM, $33 million for subprime and $0.1 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. The Company estimates the amount of loans that will default over the next six 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 CDR period that follows the embedded five months of losses. Liquidation rates assumed as of September 30, 2016 were from 25% to 100% , which were the same as of June 30, 2016 and December 31, 2015 . 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 June 30, 2016 and 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 June 30, 2016 and December 31, 2015 . For September 30, 2016 the Company used the same general approach as of June 30, 2016 and December 31, 2015 . When a second lien loan defaults, there is generally a very low recovery. The Company had assumed as of September 30, 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 June 30, 2016 and 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 past year) 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 |
Financial Guaranty Insurance
Financial Guaranty Insurance | 9 Months Ended |
Sep. 30, 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 Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Scheduled net earned premiums $ 101 $ 104 $ 285 $ 318 Accelerations Refundings 105 77 267 213 Terminations 21 28 65 29 Total Accelerations 126 105 332 242 Accretion of discount on net premiums receivable 4 4 11 13 Financial guaranty insurance net earned premiums 231 213 628 573 Other — 0 0 1 Net earned premiums (1) $ 231 $ 213 $ 628 $ 574 ___________________ (1) Excludes $4 million and $6 million for Third Quarter 2016 and 2015 , respectively, and $12 million and $16 million for Nine Months 2016 and 2015 , respectively, related to consolidated FG VIEs. Components of Unearned Premium Reserve As of September 30, 2016 As of December 31, 2015 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue 3,710 217 3,493 4,008 238 3,770 Contra-paid (2) (42 ) (4 ) (38 ) (12 ) (6 ) (6 ) Unearned premium reserve $ 3,668 $ 213 $ 3,455 $ 3,996 $ 232 $ 3,764 ____________________ (1) Excludes $93 million and $110 million of deferred premium revenue, and $28 million and $30 million of contra-paid related to FG VIEs as of September 30, 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 Nine Months 2016 2015 (in millions) Beginning of period, December 31 $ 693 $ 729 Premiums receivable from acquisitions (see Note 2) 18 2 Gross written premiums on new business, net of commissions on assumed business 111 103 Gross premiums received, net of commissions on assumed business (155 ) (140 ) Adjustments: Changes in the expected term (39 ) (11 ) Accretion of discount, net of commissions on assumed business 5 15 Foreign exchange translation (25 ) (18 ) Consolidation/deconsolidation of FG VIEs 0 (4 ) End of period, September 30 (1) $ 608 $ 676 ____________________ (1) Excludes $11 million and $23 million as of September 30, 2016 and September 30, 2015 , respectively, related to consolidated FG VIEs. Foreign exchange translation relates to installment premium receivables denominated in currencies other than the U.S. dollar. Approximately 52% , 52% and 50% of installment premiums at September 30, 2016 , December 31, 2015 and September 30, 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 September 30, 2016 (in millions) 2016 (October 1 – December 31) $ 25 2017 70 2018 60 2019 54 2020 52 2021-2025 207 2026-2030 135 2031-2035 95 After 2035 75 Total(1) $ 773 ____________________ (1) Excludes expected cash collections on FG VIEs of $14 million . Scheduled Financial Guaranty Insurance Net Earned Premiums As of September 30, 2016 (in millions) 2016 (October 1 – December 31) $ 96 2017 344 2018 309 2019 274 2020 249 2021-2025 959 2026-2030 608 2031-2035 366 After 2035 288 Net deferred premium revenue(1) 3,493 Future accretion 154 Total future net earned premiums $ 3,647 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $93 million . Selected Information for Financial Guaranty Insurance Policies Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 608 $ 693 Gross deferred premium revenue 1,080 1,240 Weighted-average risk-free rate used to discount premiums 3.1 % 3.1 % Weighted-average period of premiums receivable (in years) 9.1 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 2.42% as of September 30, 2016 and 0.0% to 3.25% as of December 31, 2015 . Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts As of September 30, 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 $ 674 $ 117 $ 557 $ 604 $ 7 $ 597 Non-U.S. public finance 24 — 24 25 — 25 Public Finance 698 117 581 629 7 622 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 2 — 2 Alt-A first lien 38 174 (136 ) 46 — 46 Option ARM 8 56 (48 ) 13 42 (29 ) Subprime 147 24 123 169 21 148 First lien 195 254 (59 ) 230 63 167 Second lien 84 61 23 32 53 (21 ) Total U.S. RMBS 279 315 (36 ) 262 116 146 Triple-X life insurance transactions 36 — 36 82 — 82 Student loans 30 — 30 51 — 51 Other structured finance 27 — 27 48 — 48 Structured Finance 372 315 57 443 116 327 Subtotal 1,070 432 638 1,072 123 949 Other recoverables — 5 (5 ) — 3 (3 ) Subtotal 1,070 437 633 1,072 126 946 Effect of consolidating FG VIEs (66 ) — (66 ) (74 ) 0 (74 ) Total (1) $ 1,004 $ 437 $ 567 $ 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 $ 1,091 $ 1,067 Reinsurance recoverable on unpaid losses (87 ) (69 ) Loss and LAE reserve, net 1,004 998 Salvage and subrogation recoverable (455 ) (126 ) Salvage and subrogation payable(1) 23 3 Other recoverables (5 ) (3 ) Salvage and subrogation recoverable, net and other recoverable (437 ) (126 ) Net reserves (salvage) $ 567 $ 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: (i) the contra-paid which represent the claim payments made and recoveries received that have not yet been recognized in the statement of operations, (ii) 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 (iii) 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) $ 977 Contra-paid, net 38 Salvage and subrogation recoverable, net of reinsurance 432 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (1,003 ) Other recoveries 5 Net expected loss to be expensed (present value) (2) $ 449 ____________________ (1) See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid. (2) Excludes $70 million as of September 30, 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 (October 1 – December 31) $ 8 Subtotal 2016 8 2017 37 2018 37 2019 33 2020 31 2021-2025 129 2026-2030 95 2031-2035 56 After 2035 23 Net expected loss to be expensed 449 Future accretion 242 Total expected future loss and LAE $ 691 The following table presents the loss and LAE recorded in the consolidated statements of operations by sector for insurance contracts. Amounts presented are net of reinsurance. Loss and LAE Reported on the Consolidated Statements of Operations Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Public Finance: U.S. public finance $ 20 $ 89 $ 233 $ 298 Non-U.S. public finance — (2 ) (1 ) 4 Public finance 20 87 232 302 Structured Finance: U.S. RMBS: First lien: Prime first lien 1 0 0 (1 ) Alt-A first lien (1 ) (15 ) 10 (26 ) Option ARM 1 (4 ) (20 ) (5 ) Subprime (6 ) 31 (13 ) 32 First lien (5 ) 12 (23 ) 0 Second lien 3 19 20 29 Total U.S. RMBS (2 ) 31 (3 ) 29 Triple-X life insurance transactions (24 ) 7 (22 ) 14 Student loans 0 (2 ) (14 ) (7 ) Other structured finance (3 ) (1 ) (6 ) (3 ) Structured finance (29 ) 35 (45 ) 33 Loss and LAE on insurance contracts before FG VIE consolidation (9 ) 122 187 335 Effect of consolidating FG VIEs 0 (10 ) (4 ) (17 ) Loss and LAE $ (9 ) $ 112 $ 183 $ 318 The following table provides information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 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) 182 (39 ) 76 (10 ) 144 (48 ) 402 — 402 Remaining weighted-average contract period (in years) 9.1 7.4 13.5 10.8 8.1 6.0 10.2 — 10.2 Outstanding exposure: Principal $ 4,813 $ (343 ) $ 4,277 $ (416 ) $ 4,834 $ (331 ) $ 12,834 $ — $ 12,834 Interest 2,326 (154 ) 2,973 (224 ) 1,929 (91 ) 6,759 — 6,759 Total(2) $ 7,139 $ (497 ) $ 7,250 $ (640 ) $ 6,763 $ (422 ) $ 19,593 $ — $ 19,593 Expected cash outflows (inflows) $ 210 $ (21 ) $ 1,302 $ (86 ) $ 1,286 $ (60 ) $ 2,631 $ (326 ) $ 2,305 Potential recoveries Undiscounted R&W 138 (3 ) (2 ) — (52 ) 1 82 — 82 Other(3) (668 ) 29 (125 ) 3 (648 ) 41 (1,368 ) 200 (1,168 ) Total potential recoveries (530 ) 26 (127 ) 3 (700 ) 42 (1,286 ) 200 (1,086 ) Subtotal (320 ) 5 1,175 (83 ) 586 (18 ) 1,345 (126 ) 1,219 Discount 54 (3 ) (249 ) 14 19 (96 ) (261 ) 19 (242 ) Present value of expected cash flows $ (266 ) $ 2 $ 926 $ (69 ) $ 605 $ (114 ) $ 1,084 $ (107 ) $ 977 Deferred premium revenue $ 172 $ (5 ) $ 256 $ (6 ) $ 496 $ (32 ) $ 881 $ (90 ) $ 791 Reserves (salvage) $ (325 ) $ 5 $ 749 $ (64 ) $ 272 $ (5 ) $ 632 $ (66 ) $ 566 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) (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Total potential recoveries (303 ) 10 (216 ) 9 (757 ) 29 (1,228 ) 189 (1,039 ) Subtotal 83 (32 ) 942 (51 ) 707 (24 ) 1,625 (154 ) 1,471 Discount 22 5 (237 ) 11 27 (94 ) (266 ) 34 (232 ) 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 $191 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 $439 million in respect of such termination payments. As another example, with respect to variable rate demand obligations ("VRDOs") for which a bank has agreed to provide a liquidity facility, a downgrade of AGM or AGC may provide the bank with the right to give notice to bondholders that the bank will terminate the liquidity facility, causing the bondholders to tender their bonds to the bank. Bonds held by the bank accrue interest at a “bank bond rate” that is higher than the rate otherwise borne by the bond (typically the prime rate plus 2.00% — 3.00% , and capped at the lesser of 25% and the maximum legal limit). In the event the bank holds such bonds for longer than a specified period of time, usually 90 - 180 days , the bank has the right to demand accelerated repayment of bond principal, usually through payment of equal installments over a period of not less than five years . In the event that a municipal obligor is unable to pay interest accruing at the bank bond rate or to pay principal during the shortened amortization period, a claim could be submitted to AGM or AGC under its financial guaranty policy. As of September 30, 2016 , AGM and AGC had insured approximately $5.3 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 $1.6 billion as of September 30, 2016 were terminated, the assets of the GIC issuers (which had an aggregate market value which exceed the liabilities by $0.9 billion ) would be sufficient to fund the withdrawal of the GIC funds. |
Fair Value Measurement
Fair Value Measurement | 9 Months Ended |
Sep. 30, 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 Nine Months 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 and Level 2. There were transfers of fixed-maturity securities from Level 2 into Level 3 during Third Quarter 2016 and Nine Months 2016 because of a lack of observability relating to the valuation inputs and collateral pricing. There were no transfers into or out Level 3 during Nine Months 2015. 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 September 30, 2016 , the Company used models to price 83 fixed-maturity securities (primarily securities that were purchased or obtained for loss mitigation or other risk management purposes), which were 10.4% or $1,175 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 appreciation/depreciation rates based on macroeconomic forecasts and recent trading activity. The yield used to discount the projected cash flows is determined by reviewing various attributes of the bond including collateral type, weighted average life, sensitivity to losses, vintage, and convexity, in conjunction with market data on comparable securities. Significant changes to any of these inputs could materially change the expected timing of cash flows within these securities which is a significant factor in determining the fair value of the securities. Other Invested Assets As of September 30, 2016 and December 31, 2015 , other invested assets include investments carried and measured at fair value on a recurring basis of $56 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 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 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 September 30, 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 0.87% to 1.85% at September 30, 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 9 % 13 % Based on market indices 76 % 73 % Provided by the CDS counterparty 15 % 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 25% , 16% a nd 20% based on number of deals, of the Company's CDS contracts are fair valued using this minimum premium as of September 30, 2016 , June 30, 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’ |
Financial Guaranty Contracts Ac
Financial Guaranty Contracts Accounted for as Credit Derivatives | 9 Months Ended |
Sep. 30, 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. Absent such an event of default or termination event, 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 5.1 years at September 30, 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 September 30, 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 $ 2,583 29.2 % 45.3 % AAA $ 5,873 30.9 % 42.3 % AAA Synthetic investment grade pooled corporate 7,920 22.2 19.9 AAA 7,108 21.7 19.4 AAA TruPS CDOs 1,771 42.2 41.6 BBB 3,429 45.8 42.6 A- Market value CDOs of corporate obligations — — — -- 1,113 17.0 30.1 AAA Total pooled corporate obligations 12,274 26.6 28.4 AAA 17,523 29.2 32.3 AAA U.S. RMBS: Option ARM and Alt-A first lien 277 9.4 12.7 AA- 351 10.5 12.7 AA- Subprime first lien 891 27.8 45.0 AA 981 27.7 45.2 AA Prime first lien — — — -- 177 10.9 0.0 BB Closed-end second lien 14 — — BB 17 — — CCC Total U.S. RMBS 1,182 25.1 40.3 AA 1,526 24.1 37.4 A+ CMBS 159 56.9 78.9 AAA 530 44.8 52.6 AAA Other 6,344 — — A 6,015 — — A Total(2) $ 19,959 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. (2) The September 30, 2016 total amount includes $2.3 million net par outstanding of credit derivatives acquired from CIFG. Except for TruPS CDOs, the Company’s exposure to pooled corporate obligations is highly diversified in terms of obligors and industries. Most pooled corporate transactions are structured to limit exposure to any given obligor and industry. The majority of the Company’s pooled corporate exposure consists of CLO or synthetic pooled corporate obligations. Most of these CLOs have an average obligor size of less than 1% of the total transaction and typically restrict the maximum exposure to any one industry to approximately 10% . The Company’s exposure also benefits from embedded credit enhancement in the transactions which allows a transaction to sustain a certain level of losses in the underlying collateral, further insulating the Company from industry specific concentrations of credit risk on these deals. The Company’s TruPS CDO asset pools are generally less diversified by obligors and industries than the typical CLO asset pool. Also, the underlying collateral in TruPS CDOs consists primarily of subordinated debt instruments such as TruPS issued by bank holding companies and similar instruments issued by insurance companies, 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 $1.6 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 $4.7 billion of exposure in “Other” CDS contracts comprises numerous deals across various asset classes, such as commercial receivables, international RMBS, infrastructure, regulated utilities and consumer receivables. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of September 30, 2016 As of December 31, 2015 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 10,778 54.0 % $ 14,808 57.9 % AA 4,025 20.2 4,821 18.8 A 2,037 10.2 2,144 8.4 BBB 2,040 10.2 2,212 8.6 BIG 1,079 5.4 1,609 6.3 Credit derivative net par outstanding $ 19,959 100.0 % $ 25,594 100.0 % Fair Value of Credit Derivatives Net Change in Fair Value of Credit Derivatives Gain (Loss) Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Realized gains on credit derivatives $ 11 $ 14 $ 39 $ 52 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements 4 (8 ) 8 (17 ) Realized gains (losses) and other settlements 15 6 47 35 Net unrealized gains (losses): Pooled corporate obligations 3 (24 ) (37 ) 0 U.S. RMBS (12 ) 11 0 148 CMBS 0 (3 ) 0 1 Other 15 96 14 116 Net unrealized gains (losses) 6 80 (23 ) 265 Net change in fair value of credit derivatives $ 21 $ 86 $ 24 $ 300 Net Par and Realized Gains from Terminations and Settlements of Credit Derivative Contracts Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Net par of terminated credit derivative contracts $ 1,071 $ 405 $ 3,507 $ 969 Realized gains on credit derivatives 3 0 11 13 Net unrealized gains (losses) on credit derivatives 11 99 81 98 During Third Quarter 2016, unrealized fair value gains were generated primarily as a result of CDS terminations in the pooled corporate and other sectors and price improvements on the underlying collateral of the Company’s CDS. This was the primary driver of the unrealized fair value gains in the pooled corporate CLO, and other sectors. The unrealized fair value gains were partially offset by unrealized losses resulting from wider implied net spreads across all sectors. The wider implied net spreads were primarily a result of the decreased cost to buy protection in AGC’s and AGM’s name, particularly for the one year CDS spread, as the market cost of AGC’s and AGM’s credit protection decreased significantly during the period. These transactions were pricing at or above their floor levels (or the minimum rate at which the Company would consider assuming these risks based on historical experience); therefore when the cost of purchasing CDS protection on AGC and AGM, which management refers to as the CDS spread on AGC and AGM, decreased the implied spreads that the Company would expect to receive on these transactions increased. During Nine Months 2016, unrealized fair value losses were generated primarily in the trust preferred sector, due to wider implied net spreads. The wider implied net spreads were primarily a result of the decreased cost to buy protection in AGC’s and AGM’s name, particularly for the one year and five year CDS spread, as the market cost of AGC’s and AGM’s credit protection decreased during the period. These transactions were pricing at or above their floor levels, therefore when the cost of purchasing CDS protection on AGC and AGM decreased, the implied spreads that the Company would expect to receive on these transactions increased. The unrealized fair value losses were partially offset by unrealized fair value gains which resulted from the terminations of several CDS transactions during the period. The majority of the CDS transactions were terminated as a result of settlement agreements with several CDS counterparties. During Third Quarter 2015, unrealized fair value gains were driven primarily by the termination of a Triple-X life-securitization transaction in the other sector. These unrealized gains were partially offset by wider implied net spreads in the Company’s pooled corporate CLO sector. The wider implied net spreads were primarily a result of the decreased cost to buy protection in AGC’s and AGM’s name, particularly for the one year and five year CDS spreads, as the market cost of AGC’s and AGM’s credit protection decreased during the period. For those CDS transactions that were pricing above their floor levels, when the cost of purchasing CDS protection on AGC and AGM decreased, the implied spreads that the Company would expect to receive on these transactions increased. During Nine Months 2015, unrealized fair value gains were generated primarily in the U.S. RMBS prime first lien and Option ARM and subprime sectors, due to tighter implied net spreads. The tighter implied net spreads were primarily a result of the increased cost to buy protection in AGC’s and AGM’s name, particularly for the one year CDS spread, as the market cost of AGC’s and AGM’s credit protection increased during the period. For those CDS transactions that were pricing above their floor levels, when the cost of purchasing CDS protection on AGC and AGM increased, the implied spreads that the Company would expect to receive on these transactions decreased. The unrealized fair value gains in the other sector were a result of the termination of a Triple-X life-securitization transaction, referenced above. In addition, during Nine Months 2015 there was a refinement in methodology to address an instance in a U.S. RMBS transaction that changed from an expected loss to an expected recovery position. This refinement resulted in approximately $49 million in fair value gains in Nine Months 2015. 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 As of As of Five-year CDS spread: AGC 170 265 376 331 390 323 AGM 170 265 366 337 410 325 One-year CDS spread AGC 31 45 139 112 120 80 AGM 31 47 131 104 125 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 $ (1,020 ) $ (1,448 ) Plus: Effect of AGC and AGM credit spreads 539 1,083 Net fair value of credit derivatives $ (481 ) $ (365 ) The fair value of CDS contracts at September 30, 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 TruPS and pooled corporate securities as well as 2005-2007 vintages of prime first lien, Alt-A, Option ARM and subprime RMBS deals. The mark to market benefit between September 30, 2016 , and December 31, 2015 , resulted primarily from several CDS terminations and a narrowing of credit spreads related to the Company's TruPS obligations. 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, as well as the overall lack of liquidity in the CDS market. Offsetting the benefit attributable to AGC’s and AGM’s credit spread were higher credit spreads in the fixed income security markets. The higher credit spreads in the fixed income security market are due to the lack of liquidity in the high yield CDO, TruPS CDO, and CLO markets as well as continuing market concerns over the 2005-2007 vintages of RMBS. The following table presents the fair value and the present value of expected claim payments or recoveries (i.e. net expected loss to be paid as described in Note 5) for contracts accounted for as derivatives. Net Fair Value and Expected Losses of Credit Derivatives by Sector Fair Value of Credit Derivative Asset (Liability), net Expected Loss to be (Paid) Recovered Asset Type As of As of As of As of (in millions) Pooled corporate obligations $ (126 ) $ (82 ) $ (4 ) $ (5 ) U.S. RMBS (97 ) (98 ) (27 ) (38 ) Other (258 ) (185 ) 26 27 Total $ (481 ) $ (365 ) $ (5 ) $ (16 ) Ratings Sensitivities of Credit Derivative Contracts Within the Company's insured CDS portfolio, the transaction documentation for approximately $0.7 billion in CDS gross par insured as of September 30, 2016 requires AGC to post eligible collateral to secure its obligations to make payments under such contracts. This constitutes a reduction of approximately $3.1 billion from the $3.8 billion subject to such a requirement as of December 31, 2015, primarily due to an agreement reached in May 2016 with a CDS counterparty reducing the collateral posting requirement with respect to that counterparty to zero . 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 $0.6 billion gross par 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 $500 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 $178 million gross par of such contracts, AGC could be required from time to time to post additional collateral without such cap based on movements in the mark-to-market valuation of the underlying exposure. As of September 30, 2016 , the Company was posting approximately $130 million to secure its obligations under CDS, of which approximately $17 million related to the $178 million of gross par described above, as to which the obligation to collateralize is not capped. 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 gross par 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 September 30, 2016 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (978 ) $ (497 ) 50% widening in spreads (730 ) (249 ) 25% widening in spreads (606 ) (125 ) 10% widening in spreads (531 ) (50 ) Base Scenario (481 ) — 10% narrowing in spreads (435 ) 46 25% narrowing in spreads (365 ) 116 50% narrowing in spreads (251 ) 230 ____________________ (1) Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Consolidated Variable Interest
Consolidated Variable Interest Entities | 9 Months Ended |
Sep. 30, 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 Nine Months 2016 2015 Beginning of the period, December 31 34 32 Radian Asset Acquisition — 4 Consolidated (1) 1 1 Deconsolidated (1) (2 ) — Matured (1 ) — End of the period, September 30 32 37 ____________________ (1) Net loss on consolidation and deconsolidation was de minimis in Nine Months 2016 , and net loss on consolidation was $26 million in Nine Months 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 $154 million at September 30, 2016 and $154 million at December 31, 2015 . The aggregate unpaid principal of the FG VIEs’ assets was approximately $478 million greater than the aggregate fair value at September 30, 2016 . 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 September 30, 2016 that was recorded in the consolidated statements of operations for Third Quarter 2016 and Nine Months 2016 were gains of $1 million and $36 million , respectively. The change in the instrument-specific credit risk of the FG VIEs’ assets held as of September 30, 2015 that was recorded in the consolidated statements of operations for Third Quarter 2015 and Nine Months 2015 were gains of $56 million and $25 million , respectively. 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 $909 million and $1,436 million as of September 30, 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 $126 million greater than the aggregate fair value of the FG VIEs’ liabilities as of September 30, 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 September 30, 2016 As of December 31, 2015 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 482 $ 523 $ 506 $ 521 U.S. RMBS second lien 165 232 194 273 Life insurance — — 347 347 Manufactured housing 77 77 84 84 Total with recourse 724 832 1,131 1,225 Without recourse 153 153 130 124 Total $ 877 $ 985 $ 1,261 $ 1,349 The consolidation of FG VIEs affects net income and shareholders' equity due to (i) changes in fair value gains (losses) on FG VIE assets and liabilities, (ii) the elimination of premiums and losses related to the AGC and AGM FG VIE liabilities with recourse and (iii) the elimination of investment balances related to the Company’s purchase of AGC and AGM insured FG VIE debt. Upon consolidation of a FG VIE, the related insurance and, if applicable, the related investment balances, are considered intercompany transactions and therefore eliminated. Such eliminations are included in the table below to present the full effect of consolidating FG VIEs. Effect of Consolidating FG VIEs on Net Income, Cash Flows From Operating Activities and Shareholders' Equity Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Net earned premiums $ (4 ) $ (6 ) $ (12 ) $ (16 ) Net investment income (1 ) (3 ) (8 ) (9 ) Net realized investment gains (losses) 0 6 1 9 Fair value gains (losses) on FG VIEs (11 ) 2 11 0 Bargain purchase gain — — — 2 Loss and LAE (1 ) 11 3 18 Effect on income before tax (17 ) 10 (5 ) 4 Less: tax provision (benefit) (6 ) 4 (2 ) 1 Effect on net income (loss) $ (11 ) $ 6 $ (3 ) $ 3 Effect on cash flows from operating activities $ 11 $ 11 $ 16 $ 44 As of As of (in millions) Effect on shareholders' equity (decrease) increase $ (25 ) $ (23 ) Fair value gains (losses) on FG VIEs represent the net change in fair value on the consolidated FG VIEs’ assets and liabilities. During Third Quarter 2016 , the Company recorded a pre-tax net fair value loss on consolidated FG VIEs of $11 million and during Nine Months 2016 , the Company recorded a gain of $11 million . The primary drivers of the loss during Third Quarter 2016 were the net mark-to-market losses due to price depreciation on the FG VIE assets, resulting from declines in value in the underlying collateral, and the price appreciation on the FG VIE recourse liabilities during the quarter, resulting from the tightening of the Company's credit spread. The primary driver of the Nine Months 2016 gain in fair value of FG VIEs assets and liabilities was net mark-to-market gains due to price appreciation on the FG VIE assets during the nine months period resulting from improvements in the underlying collateral. During Third Quarter 2015, the Company recorded a pre-tax net fair value gain on consolidated FG VIEs of $2 million . The primary driver of the gain was mark-to-market gains due to price appreciation on the FG VIE assets during the quarter resulting from improvements in the underlying collateral. During Nine Months 2015, the Company recorded a pre-tax net fair value loss on consolidated FG VIEs of less than $1 million . The primary driver of the loss was a pre-tax loss of $26 million on the consolidation of one new FG VIE which was mostly offset by net mark-to-market gains due to price appreciation on the FG VIE assets resulting from improvements in the underlying collateral. Other Consolidated VIEs In certain instances where the Company consolidates a VIE that was established as part of a loss mitigation negotiation settlement agreement that results in the termination of the original insured financial guaranty insurance or credit derivative contract the Company classifies the assets and liabilities of those VIEs in the line items that most accurately reflect the nature of the items, as opposed to within the FG VIE assets and FG VIE liabilities. Non-Consolidated VIEs As of September 30, 2016 and December 31, 2015 , the Company had financial guaranty contracts outstanding for approximately 640 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 | 9 Months Ended |
Sep. 30, 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 $95 million and $99 million as of September 30, 2016 and December 31, 2015 , respectively. Net Investment Income Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Income from fixed-maturity securities managed by third parties $ 75 $ 85 $ 231 $ 252 Income from internally managed securities: Fixed maturities 19 15 58 44 Other 2 14 8 21 Gross investment income 96 114 297 317 Investment expenses (2 ) (2 ) (6 ) (6 ) Net investment income $ 94 $ 112 $ 291 $ 311 Net Realized Investment Gains (Losses) Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Gross realized gains on available-for-sale securities $ 4 $ 3 $ 24 $ 35 Gross realized losses on available-for-sale securities (1 ) (3 ) (3 ) (10 ) Net realized gains (losses) on other invested assets 0 (9 ) 0 (8 ) Other-than-temporary impairment (5 ) (18 ) (26 ) (37 ) Net realized investment gains (losses) $ (2 ) $ (27 ) $ (5 ) $ (20 ) The following table presents the roll-forward of the credit losses of fixed-maturity securities for which the Company has recognized an other-than-temporary-impairment and where the portion of the fair value adjustment related to other factors was recognized in other comprehensive income ("OCI"). Roll Forward of Credit Losses in the Investment Portfolio Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Balance, beginning of period $ 108 $ 104 $ 108 $ 124 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 1 2 3 2 Reductions for securities sold and other settlement during the period — — (4 ) (28 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 1 0 3 8 Balance, end of period $ 110 $ 106 $ 110 $ 106 Investment Portfolio Fixed-Maturity Securities and Short-Term Investments by Security Type As of September 30, 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 49 % $ 5,272 $ 398 $ (1 ) $ 5,669 $ 16 AA- U.S. government and agencies 3 381 24 0 405 — AA+ Corporate securities 16 1,733 82 (40 ) 1,775 (29 ) A- Mortgage-backed securities(4): 0 RMBS 10 1,082 39 (16 ) 1,105 (7 ) A- CMBS 6 618 32 (1 ) 649 — AAA Asset-backed securities 8 860 42 (10 ) 892 9 B+ Foreign government securities 3 273 6 (22 ) 257 — AA Total fixed-maturity securities 95 10,219 623 (90 ) 10,752 (11 ) A+ Short-term investments 5 528 0 0 528 — AA+ Total investment portfolio 100 % $ 10,747 $ 623 $ (90 ) $ 11,280 $ (11 ) 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 for additional information as applicable. (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 44% of mortgage backed securities as of September 30, 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 fixed-maturity securities in an unrealized loss position, the aggregate fair value and gross unrealized loss by length of time the amounts have continuously been in an unrealized loss position. Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of September 30, 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 $ 180 $ (1 ) $ 7 $ 0 $ 187 $ (1 ) U.S. government and agencies 52 0 — — 52 0 Corporate securities 237 (6 ) 85 (34 ) 322 (40 ) Mortgage-backed securities: RMBS 64 (2 ) 149 (14 ) 213 (16 ) CMBS 102 (1 ) — — 102 (1 ) Asset-backed securities 28 0 210 (10 ) 238 (10 ) Foreign government securities 98 (7 ) 74 (15 ) 172 (22 ) Total $ 761 $ (17 ) $ 525 $ (73 ) $ 1,286 $ (90 ) Number of securities (1) 219 52 263 Number of securities with other-than-temporary impairment 5 12 17 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 consisting of the same securities have been purchased at different times and appear in both categories above (i.e., less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column. Of the securities in an unrealized loss position for 12 months or more as of September 30, 2016 , 28 securities had unrealized losses greater than 10% of book value. The total unrealized loss for these securities as of September 30, 2016 was $60 million . As of December 31, 2015, of the securities in an unrealized loss position for 12 months or more, nine securities had unrealized losses greater than 10% of book value with unrealized loss amount of $26 million . The Company has determined that the unrealized losses recorded as of September 30, 2016 and December 31, 2015 were yield related and not the result of other-than-temporary-impairment. The amortized cost and estimated fair value of available-for-sale fixed maturity securities by contractual maturity as of September 30, 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 September 30, 2016 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 416 $ 436 Due after one year through five years 1,928 1,974 Due after five years through 10 years 2,110 2,216 Due after 10 years 4,065 4,372 Mortgage-backed securities: RMBS 1,082 1,105 CMBS 618 649 Total $ 10,219 $ 10,752 The investment portfolio contains securities and cash that are either held in trust for the benefit of third party reinsurers in accordance with statutory requirements, invested in a guaranteed investment contract for future claims payments, placed on deposit to fulfill state licensing requirements, or otherwise restricted in the amount of $299 million and $283 million , based on fair value, as of September 30, 2016 and December 31, 2015 , respectively. 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 $1,485 million and $1,411 million , based on fair value. as of September 30, 2016 and December 31, 2015 , respectively. The fair value of the Company’s pledged securities to secure its obligations under its CDS exposure totaled $130 million and $305 million as of September 30, 2016 and December 31, 2015 , respectively. No material investments of the Company were non-income producing for Nine Months 2016 and Nine Months 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 14% and 13% of the investment portfolio, on a fair value basis as of September 30, 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 (loss mitigation securities). 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 $ 1,414 $ 1,266 Other invested assets 110 114 Other 55 55 Total $ 1,579 $ 1,435 |
Insurance Company Regulatory Re
Insurance Company Regulatory Requirements | 9 Months Ended |
Sep. 30, 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 $247 million , of which approximately $55 million is estimated to be available for distribution in the fourth 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 the lesser of 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 $41 million is available for distribution in the fourth 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. On June 30, 2016, MAC obtained approval from the New York State Department of Financial Services to repay its $300 million surplus note to Municipal Assurance Holdings Inc. ("MAC Holdings") and its $100 million surplus note (plus accrued interest) to AGM. Accordingly, on June 30, 2016, MAC transferred cash and/or marketable securities to (i) MAC Holdings in an aggregate amount equal to $300 million , and (ii) AGM in an aggregate amount of $102.5 million . MAC Holdings, upon receipt of such $300 million from MAC, distributed cash and/or marketable securities in an aggregate amount of $300 million to its shareholders, AGM and AGC, in proportion to their respective 60.7% and 39.3% ownership interests such that AGM received $182 million and AGC received $118 million . 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 was approximately $235 million as of September 30, 2016 . Such dividend capacity is further limited by the actual amount of AG Re’s unencumbered assets, which amount changes from time to time due in part to collateral posting requirements. As of September 30, 2016 , AG Re had unencumbered assets of approximately $625 million . U.K. company law prohibits each of AGE and AGUK from declaring a dividend to its shareholders unless it has “profits available for distribution.” The determination of whether a company has profits available for distribution is based on its accumulated realized profits less its accumulated realized losses. While the U.K. insurance regulatory laws impose no statutory restrictions on a general insurer's ability to declare a dividend, the Prudential Regulation Authority's capital requirements may in practice act as a restriction on dividends. The Company does not expect AGE or AGUK to distribute any dividends at this time. Dividends and Surplus Notes By Insurance Company Subsidiaries Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Dividends paid by AGC to AGUS $ 15 $ 15 $ 38 $ 50 Dividends paid by AGM to AGMH 65 57 192 163 Dividends paid by AG Re to AGL 35 35 85 120 Repayment of surplus note by AGM to AGMH — — — 25 Repayment of surplus note by MAC to AGM — — 100 — Repayment of surplus note by MAC to MAC Holdings (1) — — 300 — ____________________ (1) MAC Holdings returned $300 million to AGM and AGC, in proportion to their ownership percentages, in the second quarter of 2016. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 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 Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 150 $ 56 $ 234 $ 276 Tax-exempt interest (12 ) (14 ) (38 ) (41 ) Gain on bargain purchase (125 ) 0 (125 ) (19 ) Change in liability for uncertain tax positions 8 10 10 12 True-up from tax return filing (16 ) (11 ) (16 ) (11 ) Other (4 ) 2 (3 ) 3 Total provision (benefit) for income taxes $ 1 $ 43 $ 62 $ 220 Effective tax rate 0.3 % 25.0 % 8.3 % 26.0 % The expected tax provision at statutory rates in taxable jurisdictions is calculated as the sum of pretax income in each jurisdiction multiplied by the statutory tax rate of the jurisdiction by which it will be taxed. Pretax income of the Company’s subsidiaries which are not U.S. or U.K. domiciled but are subject to U.S. or U.K. tax by election, establishment of tax residency or as controlled foreign corporations, are included at the U.S. or U.K. statutory tax rate. Where there is a pretax loss in one jurisdiction and pretax income in another, the total combined expected tax rate may be higher or lower than any of the individual statutory rates. The following table presents pretax income and revenue by jurisdiction. Pretax Income (Loss) by Tax Jurisdiction Third Quarter Nine Months 2016 2015 2016 2015 (in millions) United States $ 432 $ 166 $ 681 $ 803 Bermuda 56 12 88 67 U.K. (8 ) (6 ) (23 ) (23 ) Total $ 480 $ 172 $ 746 $ 847 Revenue by Tax Jurisdiction Third Quarter Nine Months 2016 2015 2016 2015 (in millions) United States $ 499 $ 311 $ 1,041 $ 1,229 Bermuda 69 58 170 209 U.K. (2 ) (1 ) (4 ) (6 ) Total $ 566 $ 368 $ 1,207 $ 1,432 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 $19 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 2013 forward. The Company's U.K. subsidiaries are not currently under examination and have open tax years of 2014 forward. CIFG, which was acquired by AGC during 2016, is not currently under examination and has open tax years of 2013 forward. Uncertain Tax Positions The Company's policy is to recognize interest and penalties related to uncertain tax positions in income tax expense and has accrued $1 million for Nine Months 2016 and $1 million for 2015. As of September 30, 2016 and December 31, 2015 , the Company has accrued $6.7 million and $5.4 million of interest, respectively. The total amount of unrecognized tax benefits as of September 30, 2016 and December 31, 2015 , that would affect the effective tax rate, if recognized, was $55 million and $45 million , respectively. |
Reinsurance and Other Monoline
Reinsurance and Other Monoline Exposures | 9 Months Ended |
Sep. 30, 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 September 30, 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 $51 million and $21 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. In Nine Months 2016, the Company entered into a commutation agreement to reassume previously ceded U.S. structured finance business. In Nine Months 2015, the Company entered into a commutation agreement to reassume previously ceded U.S. public finance business. For such reassumptions, the Company received the statutory unearned premium outstanding as of the commutation date plus a commutation premium. The following table presents the components of premiums and losses reported in the consolidated statement of operations and the contribution of the Company's Assumed and Ceded Businesses. Effect of Reinsurance on Statement of Operations Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Premiums Written: Direct $ 17 $ 41 $ 80 $ 93 Assumed (1) (1 ) (1 ) (9 ) 1 Ceded 0 0 (17 ) 2 Net $ 16 $ 40 $ 54 $ 96 Premiums Earned: Direct $ 237 $ 224 $ 647 $ 596 Assumed 6 7 19 29 Ceded (12 ) (18 ) (38 ) (51 ) Net $ 231 $ 213 $ 628 $ 574 Loss and LAE: Direct $ 7 $ 111 $ 217 $ 323 Assumed (1 ) 23 (4 ) 35 Ceded (15 ) (22 ) (30 ) (40 ) Net $ (9 ) $ 112 $ 183 $ 318 ____________________ (1) Negative assumed premiums written were due to changes in expected debt service schedules. Other Monoline Exposures In addition to assumed and ceded reinsurance arrangements, the Company may also have exposure to some financial guaranty reinsurers (i.e., monolines) in other areas. Second-to-pay insured par outstanding represents transactions the Company has insured that were previously insured by other monolines. The Company underwrites such transactions based on the underlying insured obligation without regard to the primary insurer. Another area of exposure is in the investment portfolio where the Company holds fixed-maturity securities that are wrapped by monolines and whose value may change based on the rating of the monoline. As of September 30, 2016 , based on fair value, the Company had fixed-maturity securities in its investment portfolio consisting of $150 million insured by National, $104 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 September 30, 2016 these bonds had a fair value of $260 million insured by MBIA Insurance Corporation and $135 million insured by FGIC UK Limited. Monoline and Reinsurer Exposure by Company Ratings at Par Outstanding (1) November 2, 2016 As of September 30, 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 $ 4,052 $ — $ 30 Tokio Marine & Nichido Fire Insurance Co., Ltd. (2) Aa3 (4) A+ (4) 3,681 — — Syncora (2) WR WR 2,185 1,326 677 Mitsui Sumitomo Insurance Co. Ltd. (2) A1 A+ (4) 1,394 — — ACA Financial Guaranty Corp. NR (5) WR 637 33 — Ambac WR WR 115 3,393 7,911 National (6) A3 AA- — 4,946 4,696 MBIA (7) (7) — 1,583 380 FGIC (8) (8) — 1,296 572 Ambac Assurance Corp. Segregated Account NR NR — 77 638 Other (2) Various Various 67 558 123 Total $ 12,131 $ 13,212 $ 15,027 ____________________ (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 September 30, 2016 was approximately $427 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 Corporation rated CCC by S&P and Caa1 by Moody's and MBIA UK rated BB by S&P and Ba2 by Moody’s. See Note 2, Acquisitions, for more information on MBIA UK. (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 September 30, 2016 Assumed Premium, net of Commissions Ceded Premium, net of Commissions Assumed Ceded (in millions) American Overseas Reinsurance Company Limited $ — $ (5 ) $ — $ 30 Tokio Marine & Nichido Fire Insurance Co., Ltd. — (10 ) — 45 Syncora 14 (19 ) — (7 ) Mitsui Sumitomo Insurance Co. Ltd. — (2 ) — 20 Ambac 34 — (1 ) — National 6 — 2 — MBIA 4 — (8 ) — FGIC 4 — (15 ) — Ambac Assurance Corp. Segregated Account 6 — (44 ) — Other — (12 ) — — Total $ 68 $ (48 ) $ (66 ) $ 88 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 | 9 Months Ended |
Sep. 30, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Leases AGL and its subsidiaries lease office space and certain other items. In 2015, AGM entered into an operating lease for new office space comprising one full floor and one partial floor at 1633 Broadway in New York City. On September 23, 2016, AGM entered into an amendment to that lease to include the remaining portion of the partial floor for the remainder of the lease term. The fixed annual rent, which commences after an initial rent holiday, begins at $1.1 million per annum, rising in two steps to $1.3 million for the last five years of the initial term. 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, as described in the "Recovery Litigation" section of Note 5, Expected Loss to be Paid. For example, 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, and in July 2016, the Company filed a motion and form of complaint in the U.S. District Court for the District of Puerto Rico seeking relief from the PROMESA stay in order to file a complaint to protect its interest in certain pledged PRHTA toll revenues. The amounts, if any, the Company will recover in these and other 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. Oral argument on AGFP's motion took place on July 21, 2016. LBIE's administrators disclosed in an April 10, 2015 report to LBIE’s unsecured creditors that LBIE's valuation expert has calculated LBIE's claim for 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. 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 seeking adjudication of a dispute between Wales LLC and Assured Guaranty Municipal Corp. as to whether AGM is entitled to reimbursement payments from certain cashflows for principal claims paid in respect of insured certificates. On September 30, 2016, the court issued an opinion denying the motion for judgment on the pleadings filed by Wales. The Company estimates that an adverse outcome to the interpleader proceeding could increase losses on the transaction by approximately $10 - $20 million , net of expected settlement payments and reinsurance in force. On December 22, 2014, Deutsche Bank National Trust Company, as indenture trustee for the AAA Trust 2007-2 Re-REMIC (the Trustee), filed a “trust instructional proceeding” petition in the State of California Superior Court (Probate Division, Orange County), seeking the court’s instruction as to how it should allocate the losses resulting from its December 2014 sale of four RMBS owned by the AAA Trust 2007-2 Re-REMIC. This sale of approximately $70 million principal balance of RMBS was made pursuant to AGC’s liquidation direction in November 2014, and resulted in approximately $27 million of gross proceeds to the Re-REMIC. On December 22, 2014, AGC directed the indenture trustee to allocate to the uninsured Class A-3 Notes the losses realized from the sale. On May 4, 2015, the Superior Court rejected AGC’s allocation direction, and ordered the Trustee to allocate to the Class A-3 noteholders a pro rata share of the $27 million of gross proceeds. AGC is appealing the Superior Court’s decision to the California Court of Appeal. 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 were against entities that the Company did acquire. While Dexia SA and Dexia Crédit Local S.A. (together, "Dexia") have paid all expenses and settlement amounts due to date as a result 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 as a result of any potential newly asserted claims related to these matters. Governmental Investigations into Former Financial Products Business AGMH and/or AGM 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. 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. AGMH responded to such requests when they were received several years ago. While it is possible AGMH may receive additional inquiries from these or other regulators, the Company is not currently aware that any governmental authority, including such Attorneys General or the Department of Justice, are actively pursuing or contemplating legal proceedings with respect to AGMH's former Financial Products Business. Lawsuits Relating to Former Financial Products Business From 2008 through 2010, complaints were brought on behalf of a purported class of state, local and municipal government entities 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 actions were consolidated before one judge in the Southern District of New York as Municipal Derivatives Antitrust Litigation ("MDL 1950"). Following motions to dismiss, amended class action complaints were filed on behalf of a putative class of plaintiffs. The most recently amended, operative class action complaint does not list AGMH or its affiliates as defendants or co-conspirators. On July 8, 2016, the MDL 1950 Court entered an order approving settlement of the remaining class claims, resolving the putative class case. In addition, the Attorney General of the State of West Virginia filed a lawsuit that, as amended, named AGM and Assured Guaranty US Holdings as defendants and alleged a conspiracy to decrease the returns that West Virginia public entities earned on municipal derivative instruments. Also, approximately 19 California and New York government entities brought individual lawsuits that were not a part of the class action and that did not dismiss AGMH or its affiliates. All these cases were transferred to the Southern District of New York and consolidated with MDL 1950 for pretrial purposes. In June and July 2016, Dexia executed settlement agreements covering the action brought by the Attorney General of the State of West Virginia and the actions brought by the individual California and New York plaintiffs, and on July 1, 2016 and July 27, 2016, respectively, the MDL 1950 court dismissed with prejudice the claims against Assured Guaranty US Holdings and AGM in all such actions. Those settlements release all claims as to Assured Guaranty US Holdings, AGMH and AGM, as well as their parents, subsidiaries and affiliates. |
Long-Term Debt and Credit Facil
Long-Term Debt and Credit Facilities | 9 Months Ended |
Sep. 30, 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 September 30, 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 500 495 500 495 Series A Enhanced Junior Subordinated Debentures 150 150 150 150 Total AGUS 850 842 850 842 AGMH: 6 7 / 8 % QUIBS 100 69 100 69 6.25% Notes 230 141 230 140 5.6% Notes 100 56 100 56 Junior Subordinated Debentures 300 185 300 180 Total AGMH 730 451 730 445 AGM: Notes Payable 10 11 12 13 Total AGM 10 11 12 13 Total $ 1,590 $ 1,304 $ 1,592 $ 1,300 AGL fully and unconditionally guarantees the payment of the principal of, and interest on, the senior notes issued by AGUS and AGMH, and the junior subordinated debentures issued by AGUS and AGMH 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. 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 $991 million as of September 30, 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. At September 30, 2016 , approximately $1.5 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 was $495 million at the time the Strip Coverage Facility was terminated. There have never been any borrowings under the Strip Coverage Facility, the amount of the leveraged leases covered by the Strip Coverage Facility has declined since July 1, 2009 and, as noted above, to date, none of the leveraged lease transactions in which AGM acts as the strip coverage provider has experienced an early termination due to a lease default. Consequently, and in view of the credit quality of the relevant tax-exempt entities and the cost of the Strip Coverage Facility, the Company determined that maintaining the Strip Coverage Facility was no longer warranted. On July 29, 2016, the parties terminated the 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 September 30, 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 September 30, 2016 the put option had not been exercised. See Note 7, Fair Value Measurement, –Other Assets–Committed Capital Securities, for a fair value measurement discussion. |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2016 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share Computation of Earnings Per Share Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Basic earnings per share ("EPS"): Net income (loss) attributable to AGL $ 479 $ 129 $ 684 $ 627 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 0 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 478 $ 129 $ 683 $ 627 Basic shares 131.9 145.8 134.0 150.7 Basic EPS $ 3.63 $ 0.88 $ 5.10 $ 4.16 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 478 $ 129 $ 683 $ 627 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries 0 0 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 478 $ 129 $ 683 $ 627 Basic shares 131.9 145.8 134.0 150.7 Dilutive securities: Options and restricted stock awards 0.9 0.7 0.9 0.9 Diluted shares 132.8 146.5 134.9 151.6 Diluted EPS $ 3.60 $ 0.88 $ 5.06 $ 4.13 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.0 1.3 0.5 0.7 |
Shareholders' Equity
Shareholders' Equity | 9 Months Ended |
Sep. 30, 2016 | |
Equity [Abstract] | |
Shareholders' Equity | Shareholders' Equity Other Comprehensive Income The following tables present the changes in each component of 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 Third 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, June 30, 2016 $ 426 $ (24 ) $ (26 ) $ 7 $ 383 Other comprehensive income (loss) before reclassifications (33 ) 13 (5 ) — (25 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (3 ) 4 — — 1 Net investment income — — — — — Interest expense — — — 0 0 Total before tax (3 ) 4 — 0 1 Tax (provision) benefit 0 (1 ) — 0 (1 ) Total amount reclassified from AOCI, net of tax (3 ) 3 — 0 — Net current period other comprehensive income (loss) (36 ) 16 (5 ) 0 (25 ) Balance, September 30, 2016 $ 390 $ (8 ) $ (31 ) $ 7 $ 358 Changes in Accumulated Other Comprehensive Income by Component Third Quarter 2015 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, June 30, 2015 $ 236 $ 4 $ (9 ) $ 8 $ 239 Other comprehensive income (loss) before reclassifications 41 (15 ) (4 ) — 22 Amounts reclassified from AOCI to: Net realized investment gains (losses) 10 17 — — 27 Net investment income (9 ) — — — (9 ) Interest expense — — — 0 0 Total before tax 1 17 — 0 18 Tax (provision) benefit 0 (6 ) — 0 (6 ) Total amount reclassified from AOCI, net of tax 1 11 — 0 12 Net current period other comprehensive income (loss) 42 (4 ) (4 ) 0 34 Balance, September 30, 2015 $ 278 $ 0 $ (13 ) $ 8 $ 273 Changes in Accumulated Other Comprehensive Income by Component Nine Months 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 146 (10 ) (15 ) — 121 Amounts reclassified from AOCI to: Net realized investment gains (losses) (20 ) 25 — — 5 Net investment income (3 ) — — — (3 ) Interest expense — — — (1 ) (1 ) Total before tax (23 ) 25 — (1 ) 1 Tax (provision) benefit 7 (8 ) — 0 (1 ) Total amount reclassified from AOCI, net of tax (16 ) 17 — (1 ) 0 Net current period other comprehensive income (loss) 130 7 (15 ) (1 ) 121 Balance, September 30, 2016 $ 390 $ (8 ) $ (31 ) $ 7 $ 358 Changes in Accumulated Other Comprehensive Income by Component Nine Months 2015 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2014 $ 367 $ 4 $ (10 ) $ 9 $ 370 Other comprehensive income (loss) before reclassifications (77 ) (23 ) (3 ) — (103 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (9 ) 29 — — 20 Net investment income (9 ) — — — (9 ) Interest expense — — — (1 ) (1 ) Total before tax (18 ) 29 — (1 ) 10 Tax (provision) benefit 6 (10 ) — 0 (4 ) Total amount reclassified from AOCI, net of tax (12 ) 19 — (1 ) 6 Net current period other comprehensive income (loss) (89 ) (4 ) (3 ) (1 ) (97 ) Balance, September 30, 2015 $ 278 $ 0 $ (13 ) $ 8 $ 273 Share Repurchase The following table presents share repurchases 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 - June 30) 2,331,474 60 25.73 2016 (July 1 - September 30) 2,050,229 55 26.83 Total 2016 (through September 30) 7,420,631 190 25.61 2016 (October 1 - through November 3, 2016) 692,002 20 28.90 Total 2016 8,112,633 210 25.89 Cumulative repurchases since the beginning of 2013 66,034,592 $ 1,619 $ 24.52 On February 24, 2016, the Board of Directors approved a $250 million share repurchase authorization, and on November 2, 2016, it approved an incremental $250 million in share repurchases. As of September 30, 2016 , the Company's remaining share repurchase authorization was $115 million , and as of November 3, 2016, it was approximately $345 million . 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. The Board of Directors has specifically authorized the Company to use a portion of its share repurchase program to repurchase up to 297,131 common shares from its Chief Executive Officer and up to 23,062 common shares from its General Counsel. These officers will also receive 297,131 and 23,062 common shares, respectively, in January 2017 in settlement of 297,131 share units and 23,062 share units, respectively, held by them in the employer stock fund of the Assured Guaranty Ltd. Supplemental Employee Retirement Plan (the “AGL SERP”). The distribution of shares in settlement of the units must occur in January 2017 pursuant to the terms of an amendment adopted in 2011 to the AGL SERP. Such amendment was adopted to comply with requirements of Section 409A of the Internal Revenue Code (the “Code”) and Section 457A of the Code, which required all grandfathered amounts (within the meaning of Section 457A of the Code), including the units in the employer stock fund in the AGL SERP, to be included in the income of the applicable participant no later than 2017. The Company would repurchase shares on the date that these officers receive shares in settlement of the units. The shares would be purchased at the closing price of a common share of the Company on the New York Stock Exchange on that same date, which is currently expected to be January 6, 2017. |
Subsidiary Information
Subsidiary Information | 9 Months Ended |
Sep. 30, 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 SEPTEMBER 30, 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 $ 60 $ 107 $ 23 $ 11,712 $ (359 ) $ 11,543 Investment in subsidiaries 6,524 6,056 4,164 293 (17,037 ) — Premiums receivable, net of commissions payable — — — 720 (112 ) 608 Ceded unearned premium reserve — — — 1,122 (909 ) 213 Deferred acquisition costs — — — 161 (53 ) 108 Reinsurance recoverable on unpaid losses — — — 485 (398 ) 87 Credit derivative assets — — — 95 (67 ) 28 Deferred tax asset, net — 32 — 549 (122 ) 459 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 877 — 877 Other 61 62 39 974 (390 ) 746 TOTAL ASSETS $ 6,645 $ 6,257 $ 4,226 $ 17,078 $ (19,537 ) $ 14,669 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,666 $ (998 ) $ 3,668 Loss and LAE reserve — — — 1,554 (463 ) 1,091 Long-term debt — 842 451 11 — 1,304 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 576 (67 ) 509 Deferred tax liabilities, net — — 89 — (89 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 985 — 985 Other 5 53 19 898 (503 ) 472 TOTAL LIABILITIES 5 985 559 8,990 (2,510 ) 8,029 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,640 5,272 3,667 7,795 (16,734 ) 6,640 Noncontrolling interest — — — 293 (293 ) — TOTAL SHAREHOLDERS' EQUITY 6,640 5,272 3,667 8,088 (17,027 ) 6,640 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,645 $ 6,257 $ 4,226 $ 17,078 $ (19,537 ) $ 14,669 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 SEPTEMBER 30, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 239 $ (8 ) $ 231 Net investment income 0 0 0 95 (1 ) 94 Net realized investment gains (losses) 0 3 0 (2 ) (3 ) (2 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 15 0 15 Net unrealized gains (losses) — — — 6 — 6 Net change in fair value of credit derivatives — — — 21 0 21 Bargain purchase gain and settlement of pre-existing relationships — — — 257 2 259 Other 0 — — (37 ) 0 (37 ) TOTAL REVENUES 0 3 0 573 (10 ) 566 EXPENSES Loss and LAE — — — (15 ) 6 (9 ) Amortization of deferred acquisition costs — — — 9 (5 ) 4 Interest expense — 13 13 3 (3 ) 26 Other operating expenses 7 1 1 58 (2 ) 65 TOTAL EXPENSES 7 14 14 55 (4 ) 86 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (11 ) (14 ) 518 (6 ) 480 Total (provision) benefit for income taxes — 4 5 (13 ) 3 (1 ) Equity in net earnings of subsidiaries 486 433 92 11 (1,022 ) — NET INCOME (LOSS) $ 479 $ 426 $ 83 $ 516 $ (1,025 ) $ 479 Less: noncontrolling interest — — — 11 (11 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 479 $ 426 $ 83 $ 505 $ (1,014 ) $ 479 COMPREHENSIVE INCOME (LOSS) $ 454 $ 414 $ 64 $ 497 $ (975 ) $ 454 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 219 $ (6 ) $ 213 Net investment income 0 0 0 113 (1 ) 112 Net realized investment gains (losses) 0 0 0 (22 ) (5 ) (27 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 6 0 6 Net unrealized gains (losses) — — — 81 (1 ) 80 Net change in fair value of credit derivatives — — — 87 (1 ) 86 Bargain purchase gain and settlement of pre-existing relationships — — — — — — Other 0 — — (16 ) — (16 ) TOTAL REVENUES 0 0 0 381 (13 ) 368 EXPENSES Loss and LAE — — — 114 (2 ) 112 Amortization of deferred acquisition costs — — — 8 (3 ) 5 Interest expense — 13 13 4 (5 ) 25 Other operating expenses 7 0 1 47 (1 ) 54 TOTAL EXPENSES 7 13 14 173 (11 ) 196 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (13 ) (14 ) 208 (2 ) 172 Total (provision) benefit for income taxes — 5 5 (55 ) 2 (43 ) Equity in net earnings of subsidiaries 136 126 133 10 (405 ) — NET INCOME (LOSS) $ 129 $ 118 $ 124 $ 163 $ (405 ) $ 129 Less: noncontrolling interest — — — 10 (10 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 129 $ 118 $ 124 $ 153 $ (395 ) $ 129 COMPREHENSIVE INCOME (LOSS) $ 163 $ 138 $ 139 $ 199 $ (476 ) $ 163 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 653 $ (25 ) $ 628 Net investment income 0 0 0 293 (2 ) 291 Net realized investment gains (losses) 0 3 0 (4 ) (4 ) (5 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 47 — 47 Net unrealized gains (losses) — — — (23 ) — (23 ) Net change in fair value of credit derivatives — — — 24 — 24 Bargain purchase gain and settlement of pre-existing relationships — — — 257 2 259 Other 0 0 0 10 0 10 TOTAL REVENUES 0 3 0 1,233 (29 ) 1,207 EXPENSES Loss and LAE — — — 182 1 183 Amortization of deferred acquisition costs — — — 23 (10 ) 13 Interest expense — 39 40 8 (10 ) 77 Other operating expenses 23 1 2 165 (3 ) 188 TOTAL EXPENSES 23 40 42 378 (22 ) 461 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (23 ) (37 ) (42 ) 855 (7 ) 746 Total (provision) benefit for income taxes — 13 15 (94 ) 4 (62 ) Equity in net earnings of subsidiaries 707 623 282 34 (1,646 ) — NET INCOME (LOSS) $ 684 $ 599 $ 255 $ 795 $ (1,649 ) $ 684 Less: noncontrolling interest — — — 34 (34 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 684 $ 599 $ 255 $ 761 $ (1,615 ) $ 684 COMPREHENSIVE INCOME (LOSS) $ 805 $ 660 $ 281 $ 923 $ (1,864 ) $ 805 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 585 $ (11 ) $ 574 Net investment income 0 0 0 318 (7 ) 311 Net realized investment gains (losses) 0 0 1 (13 ) (8 ) (20 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 35 0 35 Net unrealized gains (losses) — — — 292 (27 ) 265 Net change in fair value of credit derivatives — — — 327 (27 ) 300 Bargain purchase gain and settlement of pre-existing relationships — — — 54 160 214 Other 0 — — 53 0 53 TOTAL REVENUES 0 0 1 1,324 107 1,432 EXPENSES Loss and LAE — — — 316 2 318 Amortization of deferred acquisition costs — — — 22 (7 ) 15 Interest expense — 39 40 11 (14 ) 76 Other operating expenses 24 1 1 152 (2 ) 176 TOTAL EXPENSES 24 40 41 501 (21 ) 585 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (24 ) (40 ) (40 ) 823 128 847 Total (provision) benefit for income taxes — 14 14 (205 ) (43 ) (220 ) Equity in net earnings of subsidiaries 651 594 347 30 (1,622 ) — NET INCOME (LOSS) $ 627 $ 568 $ 321 $ 648 $ (1,537 ) $ 627 Less: noncontrolling interest — — — 30 (30 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 627 $ 568 $ 321 $ 618 $ (1,507 ) $ 627 COMPREHENSIVE INCOME (LOSS) $ 530 $ 482 $ 269 $ 554 $ (1,305 ) $ 530 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 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 $ 287 $ 171 $ 159 $ 3 $ (810 ) $ (190 ) Cash flows from investing activities Fixed-maturity securities: Purchases (4 ) (44 ) (10 ) (970 ) — (1,028 ) Sales 4 — 12 861 — 877 Maturities — 23 — 838 — 861 Sales (purchases) of short-term investments, net (49 ) (3 ) (1 ) 133 — 80 Net proceeds from financial guaranty variable entities’ assets — — — 590 — 590 Investment in subsidiary — — — 4 (4 ) — Acquisition of CIFG, net of cash acquired — — — (442 ) 7 (435 ) Other — 7 — (12 ) (7 ) (12 ) Net cash flows provided by (used in) investing activities (49 ) (17 ) 1 1,002 (4 ) 933 Cash flows from financing activities Return of capital — — — (4 ) 4 — Dividends paid (52 ) (223 ) (158 ) (429 ) 810 (52 ) Repurchases of common stock (190 ) — — — — (190 ) Share activity under option and incentive plans 5 — — (1 ) — 4 Net paydowns of financial guaranty variable entities’ liabilities — — — (567 ) — (567 ) Payment of long-term debt — — — (2 ) — (2 ) Net cash flows provided by (used in) financing activities (237 ) (223 ) (158 ) (1,003 ) 814 (807 ) Effect of exchange rate changes — — — (4 ) — (4 ) Increase (decrease) in cash 1 (69 ) 2 (2 ) — (68 ) Cash at beginning of period 0 95 8 63 — 166 Cash at end of period $ 1 $ 26 $ 10 $ 61 $ — $ 98 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 451 $ 209 $ 134 $ 99 $ (932 ) $ (39 ) Cash flows from investing activities Fixed-maturity securities: Purchases — (72 ) (8 ) (1,830 ) 66 (1,844 ) Sales — 170 27 1,522 — 1,719 Maturities — 8 — 627 — 635 Sales (purchases) of short-term investments, net 26 42 4 679 — 751 Net proceeds from financial guaranty variable entities’ assets — — — 114 — 114 Investment in subsidiary — — 25 — (25 ) — Acquisition of Radian Asset, net of cash acquired — — — (800 ) — (800 ) Other — (5 ) — 64 — 59 Net cash flows provided by (used in) investing activities 26 143 48 376 41 634 Cash flows from financing activities Return of capital — — — (25 ) 25 — Dividends paid (55 ) (351 ) (182 ) (333 ) 866 (55 ) Repurchases of common stock (420 ) — — — — (420 ) Share activity under option and incentive plans (2 ) — — — — (2 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (122 ) — (122 ) Payment of long-term debt — — — (3 ) — (3 ) Net cash flows provided by (used in) financing activities (477 ) (351 ) (182 ) (483 ) 891 (602 ) Effect of exchange rate changes — — — (2 ) — (2 ) Increase (decrease) in cash — 1 — (10 ) — (9 ) Cash at beginning of period 0 0 4 71 — 75 Cash at end of period $ 0 $ 1 $ 4 $ 61 $ — $ 66 |
Business and Basis of Present28
Business and Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Basis of Presentation The unaudited interim consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and, in the opinion of management, reflect all adjustments that are of a normal recurring nature, necessary for a fair statement of the financial condition, results of operations and cash flows of the Company and its consolidated variable interest entities (“VIEs”) for the periods presented. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. These unaudited interim consolidated financial statements are as of September 30, 2016 and cover the three-month period ended September 30, 2016 (" Third Quarter 2016 "), the three-month period ended September 30, 2015 (" Third Quarter 2015 "), the nine-month period ended September 30, 2016 (" Nine Months 2016 ") and the nine-month period ended September 30, 2015 (" Nine Months 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 Income Taxes In October 2016, the FASB issued Accounting Standards Update ("ASU") 2016-16, Income Taxes (Topic 740) - Intra-Entity Transfers of Assets Other Than Inventory, which removes the current prohibition against immediate recognition of the current and deferred income tax effects of intra-entity transfers of assets other than inventory. Under the ASU, the selling (transferring) entity is required to recognize a current income tax expense or benefit upon transfer of the asset. Similarly, the purchasing (receiving) entity is required to recognize a deferred tax asset or deferred tax liability, as well as the related deferred tax benefit or expense, upon receipt of the asset. The ASU is effective for annual periods beginning after December 15, 2017, including interim periods within those annual periods, and early adoption is permitted. The ASU’s amendments are to be applied on a modified retrospective basis recognizing the effects in retained earnings as of the beginning of the year of adoption. The Company is currently evaluating the effect on its Consolidated Financial Statements of adopting this ASU. Statement of Cash Flows In August 2016, the FASB issued ASU 2016-15, Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments (a consensus of the Emerging Issues Task Force), which addresses eight specific cash flow issues with the objective of reducing the existing diversity in practice. The issues addressed in the new guidance include debt prepayment or debt extinguishment costs, settlement of zero-coupon debt instruments, contingent consideration payments made after a business combination, proceeds from the settlement of insurance claims, proceeds from the settlement of corporate-owned life insurance policies, including bank-owned life insurance policies, distributions received from equity method investments, beneficial interests in securitization transactions and separately identifiable cash flows and application of the predominance principle. The amendments in this ASU are effective for public business entities for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. Early adoption is permitted, including adoption in an interim period. If an entity early adopts the amendments in an interim period, any adjustments should be reflected as of the beginning of the fiscal year that includes that interim period. An entity that elects early adoption must adopt all of the amendments in the same period. The Company is currently evaluating the effect on its Consolidated Financial Statements of adopting this ASU. Credit Losses on Financial Instruments In June 2016, the Financial Accounting Standards Board ("FASB") issued ASU 2016-13, Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments . The amendments in this ASU are intended to improve financial reporting by requiring timelier recording of credit losses on loans and other financial instruments held by financial institutions and other organizations. The ASU requires the measurement of all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts. Financial institutions will use forward-looking information to better inform their credit loss estimates as a result of the ASU. While many of the loss estimation techniques applied today will still be permitted, the inputs to those techniques will change to reflect the full amount of expected credit losses. The ASU requires enhanced disclosures to help investors and other financial statement users to better understand significant estimates and judgments used in estimating credit losses, as well as credit quality and underwriting standards of an organization’s portfolio. In addition, the ASU amends the accounting for credit losses on available-for-sale securities and purchased financial assets with credit deterioration. The ASU makes targeted improvements to the existing “other than temporary” impairment model for certain available-for-sale debt securities to eliminate the concept of “other than temporary” from that model. Accordingly, the ASU states that an entity must use an allowance approach, must limit the allowance to an amount at which the security’s fair value is less than its amortized cost basis, may not consider the length of time fair value has been less than amortized cost, and may not consider recoveries in fair value after the balance sheet date when assessing whether a credit loss exists. For purchased financial assets with credit deterioration, the ASU requires an entity’s method for measuring credit losses to be consistent with its method for measuring expected losses for originated and purchased non-credit-deteriorated assets. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. For most debt instruments, entities will be required to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the first reporting period in which the guidance is adopted. The changes to the impairment model for available-for-sale securities and changes to purchased financial assets with credit deterioration are to be applied prospectively. For the Company, this would be as of January 1, 2020. Early adoption is permitted for fiscal years, and interim periods with those fiscal years, beginning after December 15, 2018. The Company is currently evaluating the effect on its Consolidated Financial Statements of adopting this ASU. Share-Based Payments In March 2016, the FASB issued 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 does not expect that the ASU will have a material effect 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 Nine Months 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. |
Acquisitions (Tables)
Acquisitions (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Business Combinations [Abstract] | |
Schedule of fair values of assets and liabilities acquired from acquisition | The following table shows the net effect of the CIFG Acquisition, including the effects of the settlement of pre-existing relationships. Fair Value of Net Assets Acquired, before Settlement of Pre-existing Relationships Net effect of Settlement of Pre-existing Relationships Net Effect of CIFG Acquisition (in millions) Cash Purchase Price (1) $ 443 $ — $ 443 Identifiable assets acquired: Investments 770 — 770 Cash 8 — 8 Premiums receivable, net of commissions payable 18 — 18 Ceded unearned premium reserve 173 (173 ) — Deferred acquisition costs 1 (1 ) — Salvage and subrogation recoverable 23 — 23 Credit derivative assets 1 — 1 Deferred tax asset, net 194 34 228 Other assets 4 — 4 Total assets 1,192 (140 ) 1,052 Liabilities assumed: Unearned premium reserves 306 (10 ) 296 Loss and loss adjustment expense reserve 1 (66 ) (65 ) Credit derivative liabilities 68 0 68 Other liabilities 17 — 17 Total liabilities 392 (76 ) 316 Net asset effect of CIFG Acquisition 800 (64 ) 736 Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, after-tax 357 (64 ) 293 Deferred tax — (34 ) (34 ) Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, pre-tax $ 357 $ (98 ) $ 259 _____________________ (1) The cash purchase price of $443 million was the cash transferred for the acquisition which was allocated as follows: (1) $270 million for the purchase of net assets of $627 million , and (2) the settlement of pre-existing relationships between CIFG and Assured Guaranty at a fair value of $173 million . |
Schedule of settlement of pre-existing relationships | The following table shows the net effect of the CIFG Acquisition, including the effects of the settlement of pre-existing relationships. Fair Value of Net Assets Acquired, before Settlement of Pre-existing Relationships Net effect of Settlement of Pre-existing Relationships Net Effect of CIFG Acquisition (in millions) Cash Purchase Price (1) $ 443 $ — $ 443 Identifiable assets acquired: Investments 770 — 770 Cash 8 — 8 Premiums receivable, net of commissions payable 18 — 18 Ceded unearned premium reserve 173 (173 ) — Deferred acquisition costs 1 (1 ) — Salvage and subrogation recoverable 23 — 23 Credit derivative assets 1 — 1 Deferred tax asset, net 194 34 228 Other assets 4 — 4 Total assets 1,192 (140 ) 1,052 Liabilities assumed: Unearned premium reserves 306 (10 ) 296 Loss and loss adjustment expense reserve 1 (66 ) (65 ) Credit derivative liabilities 68 0 68 Other liabilities 17 — 17 Total liabilities 392 (76 ) 316 Net asset effect of CIFG Acquisition 800 (64 ) 736 Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, after-tax 357 (64 ) 293 Deferred tax — (34 ) (34 ) Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, pre-tax $ 357 $ (98 ) $ 259 _____________________ (1) The cash purchase price of $443 million was the cash transferred for the acquisition which was allocated as follows: (1) $270 million for the purchase of net assets of $627 million , and (2) the settlement of pre-existing relationships between CIFG and Assured Guaranty at a fair value of $173 million . |
Schedule of business combination related expenses | CIFG Acquisition-Related Expenses Third Quarter 2016 Nine Months 2016 (in millions) Professional services $ 1 $ 2 Financial advisory fees 3 4 Total $ 4 $ 6 |
Outstanding Exposure (Tables)
Outstanding Exposure (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, December 31, September 30, December 31, (in millions) Public finance $ 451,287 $ 515,494 $ 433,621 $ 494,426 Structured finance 33,284 43,976 31,938 41,915 Total financial guaranty $ 484,571 $ 559,470 $ 465,559 $ 536,341 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating (1) As of September 30, 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 $ 2,182 0.9 % $ 703 2.5 % $ 11,187 45.9 % $ 1,526 37.7 % $ 15,598 5.0 % AA 53,330 20.6 1,768 6.2 6,246 25.6 134 3.4 61,478 19.5 A 137,270 53.1 6,466 22.9 1,744 7.1 669 16.5 146,149 46.3 BBB 58,274 22.5 17,872 63.3 869 3.6 1,172 28.9 78,187 24.8 BIG 7,594 2.9 1,430 5.1 4,341 17.8 548 13.5 13,913 4.4 Total net par outstanding (2) $ 258,650 100.0 % $ 28,239 100.0 % $ 24,387 100.0 % $ 4,049 100.0 % $ 315,325 100.0 % _____________________ (1) The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG. (2) As of September 30, 2016 , excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, 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) As of December 31, 2015 , excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. |
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) | Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of September 30, 2016 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 2,632 $ 3,107 $ 1,855 $ 7,594 $ 258,650 Non-U.S. public finance 1,370 60 — 1,430 28,239 Structured finance: First lien U.S. residential mortgage-backed securities ("RMBS"): Prime first lien 16 103 22 141 217 Alt-A first lien 85 41 472 598 1,047 Option ARM 22 6 59 87 172 Subprime 80 260 826 1,166 3,136 Second lien U.S. RMBS 29 71 1,204 1,304 1,307 Total U.S. RMBS 232 481 2,583 3,296 5,879 Triple-X life insurance transactions — — 126 126 2,060 Trust preferred securities (“TruPS”) 428 127 — 555 2,557 Student loans — 68 41 109 1,423 Other structured finance 548 217 38 803 16,517 Total $ 5,210 $ 4,060 $ 4,643 $ 13,913 $ 315,325 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 |
Schedule of BIG Net Par Outstanding and Number of Risks | BIG Net Par Outstanding and Number of Risks As of September 30, 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 $ 4,470 $ 740 $ 5,210 182 11 193 Category 2 3,861 199 4,060 76 5 81 Category 3 4,503 140 4,643 144 11 155 Total BIG $ 12,834 $ 1,079 $ 13,913 402 27 429 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. |
BIG Net Par Outstanding and Number of Risks | The following table provides information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 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) 182 (39 ) 76 (10 ) 144 (48 ) 402 — 402 Remaining weighted-average contract period (in years) 9.1 7.4 13.5 10.8 8.1 6.0 10.2 — 10.2 Outstanding exposure: Principal $ 4,813 $ (343 ) $ 4,277 $ (416 ) $ 4,834 $ (331 ) $ 12,834 $ — $ 12,834 Interest 2,326 (154 ) 2,973 (224 ) 1,929 (91 ) 6,759 — 6,759 Total(2) $ 7,139 $ (497 ) $ 7,250 $ (640 ) $ 6,763 $ (422 ) $ 19,593 $ — $ 19,593 Expected cash outflows (inflows) $ 210 $ (21 ) $ 1,302 $ (86 ) $ 1,286 $ (60 ) $ 2,631 $ (326 ) $ 2,305 Potential recoveries Undiscounted R&W 138 (3 ) (2 ) — (52 ) 1 82 — 82 Other(3) (668 ) 29 (125 ) 3 (648 ) 41 (1,368 ) 200 (1,168 ) Total potential recoveries (530 ) 26 (127 ) 3 (700 ) 42 (1,286 ) 200 (1,086 ) Subtotal (320 ) 5 1,175 (83 ) 586 (18 ) 1,345 (126 ) 1,219 Discount 54 (3 ) (249 ) 14 19 (96 ) (261 ) 19 (242 ) Present value of expected cash flows $ (266 ) $ 2 $ 926 $ (69 ) $ 605 $ (114 ) $ 1,084 $ (107 ) $ 977 Deferred premium revenue $ 172 $ (5 ) $ 256 $ (6 ) $ 496 $ (32 ) $ 881 $ (90 ) $ 791 Reserves (salvage) $ (325 ) $ 5 $ 749 $ (64 ) $ 272 $ (5 ) $ 632 $ (66 ) $ 566 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) (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Total potential recoveries (303 ) 10 (216 ) 9 (757 ) 29 (1,228 ) 189 (1,039 ) Subtotal 83 (32 ) 942 (51 ) 707 (24 ) 1,625 (154 ) 1,471 Discount 22 5 (237 ) 11 27 (94 ) (266 ) 34 (232 ) 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 September 30, 2016 Hungary Italy Portugal Spain Turkey Total (in millions) Sub-sovereign exposure(2) $ 252 $ 955 $ 80 $ 366 $ — $ 1,653 Non-sovereign exposure(3) 180 427 — — 203 810 Total $ 432 $ 1,382 $ 80 $ 366 $ 203 $ 2,463 Total BIG (See Note 5) $ 360 $ — $ 80 $ 366 $ — $ 806 ____________________ (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, RMBS and diversified payment rights ("DPR") securitizations. |
Puerto Rico [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Gross Par and Gross Debt Service Outstanding | Puerto Rico Gross Par and Gross Debt Service Outstanding Gross Par Outstanding Gross Debt Service Outstanding September 30, December 31, September 30, December 31, (in millions) Exposure to Puerto Rico $ 5,437 $ 5,755 $ 9,041 $ 9,632 |
Schedule of Geographic Exposure of Net Par Outstanding | Puerto Rico Net Par Outstanding As of As of (in millions) Commonwealth Constitutionally Guaranteed Commonwealth of Puerto Rico - General Obligation Bonds (1) $ 1,476 $ 1,615 Puerto Rico Public Buildings Authority (1) 169 188 Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA (Transportation revenue) (2) 918 909 PRHTA (Highways revenue) 350 370 PRCCDA 152 164 PRIFA (1) 18 18 Other Public Corporations PREPA 724 744 PRASA 373 388 MFA 334 387 COFINA 271 269 U of PR 1 1 Total net exposure to Puerto Rico $ 4,786 $ 5,053 ____________________ (1) As of the date of this filing, the Company has paid claims on these credits. (2) The September 30, 2016 amount includes $46 million of net par acquired from CIFG. |
BIG Net Par Outstanding and Number of Risks | Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of September 30, 2016 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization (in millions) 2016 (October 1 – December 31) $ 0 $ 2 2017 (January 1 - March 31) 0 118 2017 (April 1 - June 30) 0 2 2017 (July 1 - September 30) 220 339 2017 (October 1 - December 31) 0 2 Subtotal 2017 220 461 2018 175 407 2019 206 430 2020 266 480 2021-2025 787 1,718 2026-2030 955 1,647 2031-2035 1,134 1,605 2036-2040 579 781 2041-2045 296 381 2046-2047 168 181 Total $ 4,786 $ 8,093 |
Expected Loss to be Paid (Table
Expected Loss to be Paid (Tables) | 9 Months Ended |
Sep. 30, 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 2.42% as of September 30, 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 Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Net expected loss to be paid, beginning of period $ 1,326 $ 1,510 $ 1,391 $ 1,169 Net expected loss to be paid on CIFG portfolio as of July 1, 2016 22 — 22 — Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 — — — 190 Economic loss development due to: Accretion of discount 5 10 20 24 Changes in discount rates (29 ) 11 79 (29 ) Changes in timing and assumptions (20 ) (24 ) (62 ) 191 Total economic loss development (44 ) (3 ) 37 186 Paid losses (214 ) (200 ) (360 ) (238 ) Net expected loss to be paid, end of period $ 1,090 $ 1,307 $ 1,090 $ 1,307 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Third Quarter 2016 Net Expected Loss to be Paid (Recovered) as of June 30, 2016 Net Expected Loss to be Paid (Recovered) on CIFG as of July 1, 2016 Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 963 $ 40 $ 9 $ (196 ) $ 816 Non-U.S. public finance 37 2 (1 ) — 38 Public Finance 1,000 42 8 (196 ) 854 Structured Finance: U.S. RMBS: First lien: Prime first lien 3 — 0 0 3 Alt-A first lien (96 ) 0 3 5 (88 ) Option ARM (56 ) — (3 ) 3 (56 ) Subprime 227 — (17 ) (12 ) 198 Total first lien 78 0 (17 ) (4 ) 57 Second lien 114 (22 ) (10 ) 9 91 Total U.S. RMBS 192 (22 ) (27 ) 5 148 Triple-X life insurance transactions 100 — (23 ) (23 ) 54 Student loans 31 — 0 0 31 Other structured finance 3 2 (2 ) 0 3 Structured Finance 326 (20 ) (52 ) (18 ) 236 Total $ 1,326 $ 22 $ (44 ) $ (214 ) $ 1,090 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Third Quarter 2015 Net Expected Loss to be Paid (Recovered) as of June 30, 2015 Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 613 $ 92 $ (18 ) $ 687 Non-U.S public finance 44 (1 ) — 43 Public Finance 657 91 (18 ) 730 Structured Finance: U.S. RMBS: First lien: Prime first lien 1 0 (1 ) 0 Alt-A first lien 265 (111 ) (108 ) 46 Option ARM (18 ) (4 ) 6 (16 ) Subprime 273 26 (20 ) 279 Total first lien 521 (89 ) (123 ) 309 Second lien 3 13 10 26 Total U.S. RMBS 524 (76 ) (113 ) 335 Triple-X life insurance transactions 165 1 (68 ) 98 Student loans 58 (2 ) — 56 Other structured finance 106 (17 ) (1 ) 88 Structured Finance 853 (94 ) (182 ) 577 Total $ 1,510 $ (3 ) $ (200 ) $ 1,307 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Nine Months 2016 Net Expected Loss to be Paid (Recovered) as of December 31, 2015 (2) Net Expected Loss to be Paid (Recovered) on CIFG as of July 1, 2016 Economic Loss Development (Paid) Recovered Losses (1) Net Expected (Recovered) as of (in millions) Public Finance: U.S. public finance $ 771 $ 40 $ 218 $ (213 ) $ 816 Non-U.S. public finance 38 2 (2 ) — 38 Public Finance 809 42 216 (213 ) 854 Structured Finance: U.S. RMBS: First lien: Prime first lien (2 ) — 0 5 3 Alt-A first lien 127 0 (51 ) (164 ) (88 ) Option ARM (28 ) — (34 ) 6 (56 ) Subprime 251 — (42 ) (11 ) 198 Total first lien 348 0 (127 ) (164 ) 57 Second lien 61 (22 ) (12 ) 64 91 Total U.S. RMBS 409 (22 ) (139 ) (100 ) 148 Triple-X life insurance transactions 99 — (21 ) (24 ) 54 Student loans 54 — (15 ) (8 ) 31 Other structured finance 20 2 (4 ) (15 ) 3 Structured Finance 582 (20 ) (179 ) (147 ) 236 Total $ 1,391 $ 22 $ 37 $ (360 ) $ 1,090 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Nine Months 2015 Net Expected Loss to be Paid (Recovered) as of December 31, 2014 Net Expected Loss to be Paid (Recovered) on Radian Asset portfolio as of April 1, 2015 Economic Loss Development (Paid) Recovered Losses (1) Net Expected as of (in millions) Public Finance: U.S. public finance $ 303 $ 81 $ 327 $ (24 ) $ 687 Non-U.S. public finance 45 4 (6 ) — 43 Public Finance 348 85 321 (24 ) 730 Structured Finance: U.S. RMBS: First lien: Prime first lien 4 — (1 ) (3 ) 0 Alt-A first lien 304 7 (132 ) (133 ) 46 Option ARM (16 ) 0 (3 ) 3 (16 ) Subprime 303 (4 ) 19 (39 ) 279 Total first lien 595 3 (117 ) (172 ) 309 Second lien (11 ) 1 13 23 26 Total U.S. RMBS 584 4 (104 ) (149 ) 335 Triple-X life insurance transactions 161 — 8 (71 ) 98 Student loans 68 — (7 ) (5 ) 56 Other structured finance 8 101 (32 ) 11 88 Structured Finance 821 105 (135 ) (214 ) 577 Total $ 1,169 $ 190 $ 186 $ (238 ) $ 1,307 ____________________ (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 $3 million and $7 million in LAE for Third Quarter 2016 and 2015 , respectively, and $12 million and $16 million in LAE for Nine Months 2016 and 2015 , respectively. (2) Includes expected LAE to be paid of $12 million as of September 30, 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 Recoverable (Payable)(1) As of As of (in millions) U.S. RMBS: First lien $ (87 ) $ 0 Second lien 50 79 Total $ (37 ) $ 79 ____________________ (1) The Company’s agreements with R&W providers generally provide that, as the Company makes claim payments, the R&W providers reimburse it for those claims; if the Company later receives reimbursement through the transaction (for example, from excess spread), the Company repays 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 paying in claims on transactions covered by R&W settlement agreements, 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 September 30, 2016 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 816 $ — $ 0 $ 816 Non-U.S. public finance 38 — — 38 Public Finance 854 — 0 854 Structured Finance: U.S. RMBS: First lien: Prime first lien 3 — — 3 Alt-A first lien (110 ) 20 2 (88 ) Option ARM (52 ) — (4 ) (56 ) Subprime 119 45 34 198 Total first lien (40 ) 65 32 57 Second lien 54 42 (5 ) 91 Total U.S. RMBS 14 107 27 148 Triple-X life insurance transactions 43 — 11 54 Student loans 31 — — 31 Other structured finance 35 1 (33 ) 3 Structured Finance 123 108 5 236 Total $ 977 $ 108 $ 5 $ 1,090 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 Third Quarter 2016 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 (1 ) — — (1 ) Public Finance 8 — — 8 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — — 0 Alt-A first lien 4 (1 ) 0 3 Option ARM (3 ) — 0 (3 ) Subprime (17 ) 0 0 (17 ) Total first lien (16 ) (1 ) 0 (17 ) Second lien (1 ) (1 ) (8 ) (10 ) Total U.S. RMBS (17 ) (2 ) (8 ) (27 ) Triple-X life insurance transactions (23 ) — 0 (23 ) Student loans 0 — — 0 Other structured finance (3 ) (1 ) 2 (2 ) Structured Finance (43 ) (3 ) (6 ) (52 ) Total $ (35 ) $ (3 ) $ (6 ) $ (44 ) Net Economic Loss Development (Benefit) By Accounting Model Third Quarter 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 91 $ — $ 1 $ 92 Non-U.S. public finance (1 ) — 0 (1 ) Public Finance 90 — 1 91 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — 0 0 Alt-A first lien (44 ) 0 (67 ) (111 ) Option ARM (2 ) — (2 ) (4 ) Subprime 16 7 3 26 Total first lien (30 ) 7 (66 ) (89 ) Second lien 11 2 0 13 Total U.S. RMBS (19 ) 9 (66 ) (76 ) Triple-X life insurance transactions (1 ) — 2 1 Student loans (2 ) — — (2 ) Other structured finance (1 ) 0 (16 ) (17 ) Structured Finance (23 ) 9 (80 ) (94 ) Total $ 67 $ 9 $ (79 ) $ (3 ) Net Economic Loss Development (Benefit) By Accounting Model Nine Months 2016 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 218 $ — $ — $ 218 Non-U.S. public finance (2 ) — — (2 ) Public Finance 216 — — 216 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 0 0 0 Alt-A first lien (52 ) 2 (1 ) (51 ) Option ARM (31 ) 0 (3 ) (34 ) Subprime (31 ) (2 ) (9 ) (42 ) Total first lien (114 ) 0 (13 ) (127 ) Second lien 0 (4 ) (8 ) (12 ) Total U.S. RMBS (114 ) (4 ) (21 ) (139 ) Triple-X life insurance transactions (21 ) 0 0 (21 ) Student loans (15 ) — — (15 ) Other structured finance 0 (2 ) (2 ) (4 ) Structured Finance (150 ) (6 ) (23 ) (179 ) Total $ 66 $ (6 ) $ (23 ) $ 37 Net Economic Loss Development (Benefit) By Accounting Model Nine Months 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 332 $ — $ (5 ) $ 327 Non-U.S. public finance (6 ) — 0 (6 ) Public Finance 326 — (5 ) 321 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — (1 ) (1 ) Alt-A first lien (54 ) (1 ) (77 ) (132 ) Option ARM (5 ) — 2 (3 ) Subprime 12 10 (3 ) 19 Total first lien (47 ) 9 (79 ) (117 ) Second lien 12 1 0 13 Total U.S. RMBS (35 ) 10 (79 ) (104 ) Triple-X life insurance transactions 4 — 4 8 Student loans (7 ) — — (7 ) Other structured finance (2 ) 0 (30 ) (32 ) Structured Finance (40 ) 10 (105 ) (135 ) Total $ 286 $ 10 $ (110 ) $ 186 _________________ (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 | First Lien Liquidation Rates September 30, 2016 June 30, 2016 December 31, 2015 Current Loans Modified in the Previous 12 Months Alt A and Prime 25% 25% 25% Option ARM 25 25 25 Subprime 25 25 25 Current Loans Delinquent in the Previous 12 Months Alt A and Prime 25 25 25 Option ARM 25 25 25 Subprime 25 25 25 30 – 59 Days Delinquent Alt A and Prime 35 35 35 Option ARM 40 40 40 Subprime 45 45 45 60 – 89 Days Delinquent Alt A and Prime 45 45 45 Option ARM 50 50 50 Subprime 50 50 55 90+ Days Delinquent Alt A and Prime 55 55 55 Option ARM 60 60 60 Subprime 55 55 60 Bankruptcy Alt A and Prime 45 45 45 Option ARM 50 50 50 Subprime 40 40 40 Foreclosure Alt A and Prime 65 65 65 Option ARM 70 70 70 Subprime 65 65 70 Real Estate Owned All 100 100 100 Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS(1) As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Alt-A First Lien Plateau CDR 0.1 % - 20.8% 6.0% 0.9 % - 27.0% 6.1% 1.7 % – 26.4% 6.4% Intermediate CDR 0.0 % - 4.2% 1.2% 0.2 % - 5.4% 1.2% 0.3 % – 5.3% 1.3% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.0 % - 1.0% 0.3% 0.0 % - 1.3% 0.3% 0.1 % – 1.3% 0.3% Initial loss severity: 2005 and prior 60.0% 60.0% 60.0% 2006 80.0% 80.0% 70.0% 2007 70.0% 70.0% 65.0% Initial conditional prepayment rate ("CPR") 1.8 % - 26.6% 10.7% 3.5 % - 29.3% 11.0% 2.7 % – 32.5% 11.5% Final CPR(2) 15% 15% 15% Option ARM Plateau CDR 3.4 % - 9.1% 7.1% 3.2 % - 10.1% 7.4% 3.5 % – 10.3% 7.8% Intermediate CDR 0.7 % - 1.8% 1.4% 0.6 % - 2.0% 1.5% 0.7 % – 2.1% 1.6% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.2 % - 0.5% 0.3% 0.2 % - 0.5% 0.3% 0.2 % – 0.5% 0.4% Initial loss severity: 2005 and prior 60.0% 60.0% 60.0% 2006 70.0% 70.0% 70.0% 2007 75.0% 75.0% 65.0% Initial CPR 1.7 % - 14.4% 6.8% 2.0 % - 13.2% 5.7% 1.5 % – 10.9% 5.1% Final CPR(2) 15% 15% 15% Subprime Plateau CDR 4.5 % - 12.8% 8.2% 4.4 % - 12.7% 8.5% 4.7 % – 13.2% 9.5% Intermediate CDR 0.9 % - 2.6% 1.6% 0.9 % - 2.5% 1.7% 0.9 % – 2.6% 1.9% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.2 % - 0.6% 0.4% 0.2 % - 0.6% 0.4% 0.2 % – 0.7% 0.4% Initial loss severity: 2005 and prior 80.0% 80.0% 75.0% 2006 90.0% 90.0% 90.0% 2007 90.0% 90.0% 90.0% Initial CPR 0.4 % - 12.1% 5.2% 0.6 % - 11.3% 4.9% 0.0 % – 10.1% 3.6% Final CPR(2) 15% 15% 15% ____________________ (1) Represents variables for most heavily weighted scenario (the “base case”). (2) For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. |
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | Key Assumptions in Base Case Expected Loss Estimates HELOCs (1) As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Plateau CDR 5.1 % – 20.6% 13.0% 2.5 % – 26.3% 12.6% 4.9 % – 23.5% 10.3% Final CDR trended down to 0.5 % – 3.2% 1.2% 0.5 % – 3.2% 1.2% 0.5 % – 3.2% 1.2% Period until final CDR 34 months 34 months 34 months Initial CPR 11.5 % – 17.7% 12.9% 11.0 % – 15.4% 11.1% 10.9% Final CPR(2) 15.0 % – 17.7% 15.3% 10.0 % – 15.4% 13.3% 10.0 % – 15.0% 13.3% Loss severity 98.0% 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) | 9 Months Ended |
Sep. 30, 2016 | |
Insurance [Abstract] | |
Net Earned Premiums | Net Earned Premiums Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Scheduled net earned premiums $ 101 $ 104 $ 285 $ 318 Accelerations Refundings 105 77 267 213 Terminations 21 28 65 29 Total Accelerations 126 105 332 242 Accretion of discount on net premiums receivable 4 4 11 13 Financial guaranty insurance net earned premiums 231 213 628 573 Other — 0 0 1 Net earned premiums (1) $ 231 $ 213 $ 628 $ 574 ___________________ (1) Excludes $4 million and $6 million for Third Quarter 2016 and 2015 , respectively, and $12 million and $16 million for Nine Months 2016 and 2015 , respectively, related to consolidated FG VIEs. |
Components of Unearned Premium Reserve | Components of Unearned Premium Reserve As of September 30, 2016 As of December 31, 2015 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue 3,710 217 3,493 4,008 238 3,770 Contra-paid (2) (42 ) (4 ) (38 ) (12 ) (6 ) (6 ) Unearned premium reserve $ 3,668 $ 213 $ 3,455 $ 3,996 $ 232 $ 3,764 ____________________ (1) Excludes $93 million and $110 million of deferred premium revenue, and $28 million and $30 million of contra-paid related to FG VIEs as of September 30, 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 Nine Months 2016 2015 (in millions) Beginning of period, December 31 $ 693 $ 729 Premiums receivable from acquisitions (see Note 2) 18 2 Gross written premiums on new business, net of commissions on assumed business 111 103 Gross premiums received, net of commissions on assumed business (155 ) (140 ) Adjustments: Changes in the expected term (39 ) (11 ) Accretion of discount, net of commissions on assumed business 5 15 Foreign exchange translation (25 ) (18 ) Consolidation/deconsolidation of FG VIEs 0 (4 ) End of period, September 30 (1) $ 608 $ 676 ____________________ (1) Excludes $11 million and $23 million as of September 30, 2016 and September 30, 2015 , respectively, related to consolidated FG VIEs. Expected Collections of Financial Guaranty Insurance Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of September 30, 2016 (in millions) 2016 (October 1 – December 31) $ 25 2017 70 2018 60 2019 54 2020 52 2021-2025 207 2026-2030 135 2031-2035 95 After 2035 75 Total(1) $ 773 ____________________ (1) Excludes expected cash collections on FG VIEs of $14 million . |
Schedule of Net Earned Premiums | Scheduled Financial Guaranty Insurance Net Earned Premiums As of September 30, 2016 (in millions) 2016 (October 1 – December 31) $ 96 2017 344 2018 309 2019 274 2020 249 2021-2025 959 2026-2030 608 2031-2035 366 After 2035 288 Net deferred premium revenue(1) 3,493 Future accretion 154 Total future net earned premiums $ 3,647 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $93 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 $ 608 $ 693 Gross deferred premium revenue 1,080 1,240 Weighted-average risk-free rate used to discount premiums 3.1 % 3.1 % Weighted-average period of premiums receivable (in years) 9.1 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 September 30, 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 $ 674 $ 117 $ 557 $ 604 $ 7 $ 597 Non-U.S. public finance 24 — 24 25 — 25 Public Finance 698 117 581 629 7 622 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 2 — 2 Alt-A first lien 38 174 (136 ) 46 — 46 Option ARM 8 56 (48 ) 13 42 (29 ) Subprime 147 24 123 169 21 148 First lien 195 254 (59 ) 230 63 167 Second lien 84 61 23 32 53 (21 ) Total U.S. RMBS 279 315 (36 ) 262 116 146 Triple-X life insurance transactions 36 — 36 82 — 82 Student loans 30 — 30 51 — 51 Other structured finance 27 — 27 48 — 48 Structured Finance 372 315 57 443 116 327 Subtotal 1,070 432 638 1,072 123 949 Other recoverables — 5 (5 ) — 3 (3 ) Subtotal 1,070 437 633 1,072 126 946 Effect of consolidating FG VIEs (66 ) — (66 ) (74 ) 0 (74 ) Total (1) $ 1,004 $ 437 $ 567 $ 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 $ 1,091 $ 1,067 Reinsurance recoverable on unpaid losses (87 ) (69 ) Loss and LAE reserve, net 1,004 998 Salvage and subrogation recoverable (455 ) (126 ) Salvage and subrogation payable(1) 23 3 Other recoverables (5 ) (3 ) Salvage and subrogation recoverable, net and other recoverable (437 ) (126 ) Net reserves (salvage) $ 567 $ 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) $ 977 Contra-paid, net 38 Salvage and subrogation recoverable, net of reinsurance 432 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (1,003 ) Other recoveries 5 Net expected loss to be expensed (present value) (2) $ 449 ____________________ (1) See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid. (2) Excludes $70 million as of September 30, 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 (October 1 – December 31) $ 8 Subtotal 2016 8 2017 37 2018 37 2019 33 2020 31 2021-2025 129 2026-2030 95 2031-2035 56 After 2035 23 Net expected loss to be expensed 449 Future accretion 242 Total expected future loss and LAE $ 691 |
Loss and LAE Reported on the Consolidated Statements of Operations | Loss and LAE Reported on the Consolidated Statements of Operations Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Public Finance: U.S. public finance $ 20 $ 89 $ 233 $ 298 Non-U.S. public finance — (2 ) (1 ) 4 Public finance 20 87 232 302 Structured Finance: U.S. RMBS: First lien: Prime first lien 1 0 0 (1 ) Alt-A first lien (1 ) (15 ) 10 (26 ) Option ARM 1 (4 ) (20 ) (5 ) Subprime (6 ) 31 (13 ) 32 First lien (5 ) 12 (23 ) 0 Second lien 3 19 20 29 Total U.S. RMBS (2 ) 31 (3 ) 29 Triple-X life insurance transactions (24 ) 7 (22 ) 14 Student loans 0 (2 ) (14 ) (7 ) Other structured finance (3 ) (1 ) (6 ) (3 ) Structured finance (29 ) 35 (45 ) 33 Loss and LAE on insurance contracts before FG VIE consolidation (9 ) 122 187 335 Effect of consolidating FG VIEs 0 (10 ) (4 ) (17 ) Loss and LAE $ (9 ) $ 112 $ 183 $ 318 |
BIG Net Par Outstanding and Number of Risks | The following table provides information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 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) 182 (39 ) 76 (10 ) 144 (48 ) 402 — 402 Remaining weighted-average contract period (in years) 9.1 7.4 13.5 10.8 8.1 6.0 10.2 — 10.2 Outstanding exposure: Principal $ 4,813 $ (343 ) $ 4,277 $ (416 ) $ 4,834 $ (331 ) $ 12,834 $ — $ 12,834 Interest 2,326 (154 ) 2,973 (224 ) 1,929 (91 ) 6,759 — 6,759 Total(2) $ 7,139 $ (497 ) $ 7,250 $ (640 ) $ 6,763 $ (422 ) $ 19,593 $ — $ 19,593 Expected cash outflows (inflows) $ 210 $ (21 ) $ 1,302 $ (86 ) $ 1,286 $ (60 ) $ 2,631 $ (326 ) $ 2,305 Potential recoveries Undiscounted R&W 138 (3 ) (2 ) — (52 ) 1 82 — 82 Other(3) (668 ) 29 (125 ) 3 (648 ) 41 (1,368 ) 200 (1,168 ) Total potential recoveries (530 ) 26 (127 ) 3 (700 ) 42 (1,286 ) 200 (1,086 ) Subtotal (320 ) 5 1,175 (83 ) 586 (18 ) 1,345 (126 ) 1,219 Discount 54 (3 ) (249 ) 14 19 (96 ) (261 ) 19 (242 ) Present value of expected cash flows $ (266 ) $ 2 $ 926 $ (69 ) $ 605 $ (114 ) $ 1,084 $ (107 ) $ 977 Deferred premium revenue $ 172 $ (5 ) $ 256 $ (6 ) $ 496 $ (32 ) $ 881 $ (90 ) $ 791 Reserves (salvage) $ (325 ) $ 5 $ 749 $ (64 ) $ 272 $ (5 ) $ 632 $ (66 ) $ 566 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) (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Total potential recoveries (303 ) 10 (216 ) 9 (757 ) 29 (1,228 ) 189 (1,039 ) Subtotal 83 (32 ) 942 (51 ) 707 (24 ) 1,625 (154 ) 1,471 Discount 22 5 (237 ) 11 27 (94 ) (266 ) 34 (232 ) 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) | 9 Months Ended |
Sep. 30, 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 9 % 13 % Based on market indices 76 % 73 % Provided by the CDS counterparty 15 % 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 September 30, 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 $ 5,669 $ — $ 5,626 $ 43 U.S. government and agencies 405 — 405 — Corporate securities 1,775 — 1,717 58 Mortgage-backed securities: RMBS 1,105 — 722 383 Commercial mortgage-backed securities ("CMBS") 649 — 649 — Asset-backed securities 892 — 201 691 Foreign government securities 257 — 257 — Total fixed-maturity securities 10,752 — 9,577 1,175 Short-term investments 528 369 159 0 Other invested assets (1) 12 — 4 8 Credit derivative assets 28 — — 28 FG VIEs’ assets, at fair value 877 — — 877 Other assets 62 23 27 12 Total assets carried at fair value $ 12,259 $ 392 $ 9,767 $ 2,100 Liabilities: Credit derivative liabilities $ 509 $ — $ — $ 509 FG VIEs’ liabilities with recourse, at fair value 832 — — 832 FG VIEs’ liabilities without recourse, at fair value 153 — — 153 Total liabilities carried at fair value $ 1,494 $ — $ — $ 1,494 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 $48 million and $45 million as of September 30, 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 | The table below presents a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during Third Quarter 2016 and 2015 and Nine Months 2016 and 2015 . Fair Value Level 3 Rollforward Recurring Basis Third 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 June 30, 2016 $ 41 $ 58 $ 349 $ 564 $ — $ 814 $ 38 $ (396 ) $ (790 ) $ (115 ) CIFG Acquisition 1 — 20 36 0 — — (67 ) — — Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 1 (2 ) 0 (2 ) 3 (2 ) 9 (2 ) — 20 (3 ) (23 ) (4 ) 21 (6 ) (21 ) (3 ) (18 ) (3 ) Other comprehensive income (loss) 0 0 2 47 0 — 0 — — — Purchases — — 24 53 — — — — — — Settlements 0 — (15 ) (40 ) — (34 ) — (39 ) 33 3 FG VIE consolidations — — — — — 97 — — (54 ) (43 ) FG VIE deconsolidations — — — — — (20 ) — — — 20 Transfers into Level 3 — — — 22 — — — — — — Fair value as of September 30, 2016 $ 43 $ 58 $ 383 $ 691 $ 0 $ 877 $ 15 $ (481 ) $ (832 ) $ (153 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2016 $ 0 $ 0 $ 1 $ 47 $ 0 $ 29 $ (23 ) $ (5 ) $ (18 ) $ (17 ) Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2015 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 June 30, 2015 $ 7 $ 77 $ 335 $ 236 $ — $ 1,596 $ 64 $ (926 ) $ (1,361 ) $ (171 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 0 (2 ) 2 (2 ) 0 (2 ) (5 ) (2 ) 8 (2 ) (11 ) (3 ) (16 ) (4 ) 86 (6 ) 6 (3 ) 0 (3 ) Other comprehensive income (loss) 1 0 (3 ) (8 ) (4 ) — 0 — — — Purchases — — 38 212 52 (7 ) — — — — — Settlements 0 — (9 ) 0 (6 ) (44 ) — (7 ) 40 4 FG VIE consolidations — — — — — — — — — — FG VIE deconsolidations — — — — — — — — — — Fair value as of September 30, 2015 $ 8 $ 79 $ 361 $ 435 $ 50 $ 1,541 $ 48 $ (847 ) $ (1,315 ) $ (167 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2015 $ 0 $ 0 $ (3 ) $ (7 ) $ (4 ) $ 3 $ (15 ) $ (19 ) $ 7 $ (1 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 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 ) CIFG Acquisition 1 — 20 36 0 — — (67 ) — — Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 1 (2 ) 4 (2 ) 5 (2 ) 20 (2 ) 0 (2 ) 129 (3 ) (50 ) (4 ) 24 (6 ) (112 ) (3 ) (14 ) (3 ) Other comprehensive income (loss) 1 (17 ) 0 37 0 — 0 — — — Purchases 33 — 64 53 — — — — — — Settlements (1 ) — (54 ) (134 ) (60 ) (590 ) — (73 ) 559 8 FG VIE consolidations — — — — — 97 — — (54 ) (43 ) FG VIE deconsolidations — — 0 — — (20 ) — — — 20 Transfers into Level 3 — — — 22 — — — — — — Fair value as of September 30, 2016 $ 43 $ 58 $ 383 $ 691 $ 0 $ 877 $ 15 $ (481 ) $ (832 ) $ (153 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2016 $ 1 $ (17 ) $ (1 ) $ 37 $ 0 $ 44 $ (50 ) $ (104 ) $ 1 $ (14 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2015 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, 2014 $ 38 $ 79 $ 425 $ 228 $ — $ 1,398 $ 37 $ (895 ) $ (1,277 ) $ (142 ) Radian Asset Acquisition — — 4 — — 122 2 (215 ) (114 ) (4 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 3 (2 ) 1 (2 ) 17 (2 ) (4 ) (2 ) 8 (2 ) 31 (3 ) 9 (4 ) 300 (6 ) 94 (3 ) (30 ) (3 ) Other comprehensive income (loss) (2 ) (1 ) (7 ) 1 (4 ) — 0 — — — Purchases — — 48 212 52 (7 ) — — — — — Settlements (31 ) (7 ) — (125 ) (2 ) (6 ) (114 ) 0 (37 ) 113 9 FG VIE consolidations — — (1 ) — — 104 — — (131 ) — FG VIE deconsolidations — — — — — — — — — — Fair value as of September 30, 2015 $ 8 $ 79 $ 361 $ 435 $ 50 $ 1,541 $ 48 $ (847 ) $ (1,315 ) $ (167 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2015 $ 0 $ (1 ) $ (5 ) $ 2 $ (4 ) $ 68 $ 10 $ 166 $ (5 ) $ (19 ) ____________________ (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 | The table below presents a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during Third Quarter 2016 and 2015 and Nine Months 2016 and 2015 . Fair Value Level 3 Rollforward Recurring Basis Third 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 June 30, 2016 $ 41 $ 58 $ 349 $ 564 $ — $ 814 $ 38 $ (396 ) $ (790 ) $ (115 ) CIFG Acquisition 1 — 20 36 0 — — (67 ) — — Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 1 (2 ) 0 (2 ) 3 (2 ) 9 (2 ) — 20 (3 ) (23 ) (4 ) 21 (6 ) (21 ) (3 ) (18 ) (3 ) Other comprehensive income (loss) 0 0 2 47 0 — 0 — — — Purchases — — 24 53 — — — — — — Settlements 0 — (15 ) (40 ) — (34 ) — (39 ) 33 3 FG VIE consolidations — — — — — 97 — — (54 ) (43 ) FG VIE deconsolidations — — — — — (20 ) — — — 20 Transfers into Level 3 — — — 22 — — — — — — Fair value as of September 30, 2016 $ 43 $ 58 $ 383 $ 691 $ 0 $ 877 $ 15 $ (481 ) $ (832 ) $ (153 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2016 $ 0 $ 0 $ 1 $ 47 $ 0 $ 29 $ (23 ) $ (5 ) $ (18 ) $ (17 ) Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2015 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 June 30, 2015 $ 7 $ 77 $ 335 $ 236 $ — $ 1,596 $ 64 $ (926 ) $ (1,361 ) $ (171 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 0 (2 ) 2 (2 ) 0 (2 ) (5 ) (2 ) 8 (2 ) (11 ) (3 ) (16 ) (4 ) 86 (6 ) 6 (3 ) 0 (3 ) Other comprehensive income (loss) 1 0 (3 ) (8 ) (4 ) — 0 — — — Purchases — — 38 212 52 (7 ) — — — — — Settlements 0 — (9 ) 0 (6 ) (44 ) — (7 ) 40 4 FG VIE consolidations — — — — — — — — — — FG VIE deconsolidations — — — — — — — — — — Fair value as of September 30, 2015 $ 8 $ 79 $ 361 $ 435 $ 50 $ 1,541 $ 48 $ (847 ) $ (1,315 ) $ (167 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2015 $ 0 $ 0 $ (3 ) $ (7 ) $ (4 ) $ 3 $ (15 ) $ (19 ) $ 7 $ (1 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 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 ) CIFG Acquisition 1 — 20 36 0 — — (67 ) — — Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 1 (2 ) 4 (2 ) 5 (2 ) 20 (2 ) 0 (2 ) 129 (3 ) (50 ) (4 ) 24 (6 ) (112 ) (3 ) (14 ) (3 ) Other comprehensive income (loss) 1 (17 ) 0 37 0 — 0 — — — Purchases 33 — 64 53 — — — — — — Settlements (1 ) — (54 ) (134 ) (60 ) (590 ) — (73 ) 559 8 FG VIE consolidations — — — — — 97 — — (54 ) (43 ) FG VIE deconsolidations — — 0 — — (20 ) — — — 20 Transfers into Level 3 — — — 22 — — — — — — Fair value as of September 30, 2016 $ 43 $ 58 $ 383 $ 691 $ 0 $ 877 $ 15 $ (481 ) $ (832 ) $ (153 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2016 $ 1 $ (17 ) $ (1 ) $ 37 $ 0 $ 44 $ (50 ) $ (104 ) $ 1 $ (14 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2015 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, 2014 $ 38 $ 79 $ 425 $ 228 $ — $ 1,398 $ 37 $ (895 ) $ (1,277 ) $ (142 ) Radian Asset Acquisition — — 4 — — 122 2 (215 ) (114 ) (4 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 3 (2 ) 1 (2 ) 17 (2 ) (4 ) (2 ) 8 (2 ) 31 (3 ) 9 (4 ) 300 (6 ) 94 (3 ) (30 ) (3 ) Other comprehensive income (loss) (2 ) (1 ) (7 ) 1 (4 ) — 0 — — — Purchases — — 48 212 52 (7 ) — — — — — Settlements (31 ) (7 ) — (125 ) (2 ) (6 ) (114 ) 0 (37 ) 113 9 FG VIE consolidations — — (1 ) — — 104 — — (131 ) — FG VIE deconsolidations — — — — — — — — — — Fair value as of September 30, 2015 $ 8 $ 79 $ 361 $ 435 $ 50 $ 1,541 $ 48 $ (847 ) $ (1,315 ) $ (167 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2015 $ 0 $ (1 ) $ (5 ) $ 2 $ (4 ) $ 68 $ 10 $ 166 $ (5 ) $ (19 ) ____________________ (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 September 30, 2016 Financial Instrument Description (1) Fair Value at September 30, 2016 (in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (2): Fixed-maturity securities: Obligations of state and political subdivisions $ 43 Yield 4.3 % - 24.6% 12.2% Corporate securities 58 Yield 20.5% RMBS 383 CPR 1.2 % - 20.0% 4.0% CDR 1.5 % - 10.5% 6.8% Loss severity 30.0 % - 100.0% 75.6% Yield 3.3 % - 8.0% 5.2% Asset-backed securities: Triple-X life insurance transactions 392 Yield 5.3% Collateralized debt obligations ("CDO") 260 Yield 15.0% CLO/TruPS 22 Yield 1.4 % - 3.8% 2.2% Others 17 Yield 5.8% FG VIEs’ assets, at fair value 877 CPR 3.5 % - 9.3% 5.5% CDR 1.2 % - 21.6% 5.7% Loss severity 50.0 % - 100.0% 81.8% Yield 3.2 % - 22.1% 6.3% Other assets 12 Estimated pricing $79 - $84 $82 Term (years) 5 years Liabilities: Credit derivative liabilities, net (481 ) Year 1 loss estimates 0.0 % - 55.0% 1.4% Hedge cost (in bps) 7.6 - 127.5 24.4 Bank profit (in bps) 3.8 - 1,575.7 73.4 Internal floor (in bps) 7.0 - 100.0 13.9 Internal credit rating AAA - CCC AA FG VIEs’ liabilities, at fair value (985 ) CPR 3.5 % - 9.3% 5.5% CDR 1.2 % - 21.6% 5.7% Loss severity 50.0 % - 100.0% 81.8% Yield 2.9 % - 22.1% 5.0% ___________________ (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 $8 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 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 September 30, 2016 Financial Instrument Description (1) Fair Value at September 30, 2016 (in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (2): Fixed-maturity securities: Obligations of state and political subdivisions $ 43 Yield 4.3 % - 24.6% 12.2% Corporate securities 58 Yield 20.5% RMBS 383 CPR 1.2 % - 20.0% 4.0% CDR 1.5 % - 10.5% 6.8% Loss severity 30.0 % - 100.0% 75.6% Yield 3.3 % - 8.0% 5.2% Asset-backed securities: Triple-X life insurance transactions 392 Yield 5.3% Collateralized debt obligations ("CDO") 260 Yield 15.0% CLO/TruPS 22 Yield 1.4 % - 3.8% 2.2% Others 17 Yield 5.8% FG VIEs’ assets, at fair value 877 CPR 3.5 % - 9.3% 5.5% CDR 1.2 % - 21.6% 5.7% Loss severity 50.0 % - 100.0% 81.8% Yield 3.2 % - 22.1% 6.3% Other assets 12 Estimated pricing $79 - $84 $82 Term (years) 5 years Liabilities: Credit derivative liabilities, net (481 ) Year 1 loss estimates 0.0 % - 55.0% 1.4% Hedge cost (in bps) 7.6 - 127.5 24.4 Bank profit (in bps) 3.8 - 1,575.7 73.4 Internal floor (in bps) 7.0 - 100.0 13.9 Internal credit rating AAA - CCC AA FG VIEs’ liabilities, at fair value (985 ) CPR 3.5 % - 9.3% 5.5% CDR 1.2 % - 21.6% 5.7% Loss severity 50.0 % - 100.0% 81.8% Yield 2.9 % - 22.1% 5.0% ___________________ (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 $8 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 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 $ 10,752 $ 10,752 $ 10,627 $ 10,627 Short-term investments 528 528 396 396 Other invested assets (1) 150 151 150 152 Credit derivative assets 28 28 81 81 FG VIEs’ assets, at fair value 877 877 1,261 1,261 Other assets 183 183 206 206 Liabilities: Financial guaranty insurance contracts (2) 3,468 9,232 3,998 8,712 Long-term debt 1,304 1,603 1,300 1,512 Credit derivative liabilities 509 509 446 446 FG VIEs’ liabilities with recourse, at fair value 832 832 1,225 1,225 FG VIEs’ liabilities without recourse, at fair value 153 153 124 124 Other liabilities 130 130 9 9 ____________________ (1) Includes investments not carried at fair value with a carrying value of $90 million and $93 million as of September 30, 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 34
Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating | Credit Derivatives Subordination and Ratings As of September 30, 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 $ 2,583 29.2 % 45.3 % AAA $ 5,873 30.9 % 42.3 % AAA Synthetic investment grade pooled corporate 7,920 22.2 19.9 AAA 7,108 21.7 19.4 AAA TruPS CDOs 1,771 42.2 41.6 BBB 3,429 45.8 42.6 A- Market value CDOs of corporate obligations — — — -- 1,113 17.0 30.1 AAA Total pooled corporate obligations 12,274 26.6 28.4 AAA 17,523 29.2 32.3 AAA U.S. RMBS: Option ARM and Alt-A first lien 277 9.4 12.7 AA- 351 10.5 12.7 AA- Subprime first lien 891 27.8 45.0 AA 981 27.7 45.2 AA Prime first lien — — — -- 177 10.9 0.0 BB Closed-end second lien 14 — — BB 17 — — CCC Total U.S. RMBS 1,182 25.1 40.3 AA 1,526 24.1 37.4 A+ CMBS 159 56.9 78.9 AAA 530 44.8 52.6 AAA Other 6,344 — — A 6,015 — — A Total(2) $ 19,959 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. (2) The September 30, 2016 total amount includes $2.3 million net par outstanding of credit derivatives acquired from CIFG. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of September 30, 2016 As of December 31, 2015 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 10,778 54.0 % $ 14,808 57.9 % AA 4,025 20.2 4,821 18.8 A 2,037 10.2 2,144 8.4 BBB 2,040 10.2 2,212 8.6 BIG 1,079 5.4 1,609 6.3 Credit derivative net par outstanding $ 19,959 100.0 % $ 25,594 100.0 % |
Net Change in Fair Value of Credit Derivatives | Net Change in Fair Value of Credit Derivatives Gain (Loss) Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Realized gains on credit derivatives $ 11 $ 14 $ 39 $ 52 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements 4 (8 ) 8 (17 ) Realized gains (losses) and other settlements 15 6 47 35 Net unrealized gains (losses): Pooled corporate obligations 3 (24 ) (37 ) 0 U.S. RMBS (12 ) 11 0 148 CMBS 0 (3 ) 0 1 Other 15 96 14 116 Net unrealized gains (losses) 6 80 (23 ) 265 Net change in fair value of credit derivatives $ 21 $ 86 $ 24 $ 300 |
Par and Accelerations From Termination of CDS Contracts | Net Par and Realized Gains from Terminations and Settlements of Credit Derivative Contracts Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Net par of terminated credit derivative contracts $ 1,071 $ 405 $ 3,507 $ 969 Realized gains on credit derivatives 3 0 11 13 Net unrealized gains (losses) on credit derivatives 11 99 81 98 |
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 As of As of Five-year CDS spread: AGC 170 265 376 331 390 323 AGM 170 265 366 337 410 325 One-year CDS spread AGC 31 45 139 112 120 80 AGM 31 47 131 104 125 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 $ (1,020 ) $ (1,448 ) Plus: Effect of AGC and AGM credit spreads 539 1,083 Net fair value of credit derivatives $ (481 ) $ (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 $ (126 ) $ (82 ) $ (4 ) $ (5 ) U.S. RMBS (97 ) (98 ) (27 ) (38 ) Other (258 ) (185 ) 26 27 Total $ (481 ) $ (365 ) $ (5 ) $ (16 ) |
Effects of Changes in Credit Spread | Effect of Changes in Credit Spread As of September 30, 2016 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (978 ) $ (497 ) 50% widening in spreads (730 ) (249 ) 25% widening in spreads (606 ) (125 ) 10% widening in spreads (531 ) (50 ) Base Scenario (481 ) — 10% narrowing in spreads (435 ) 46 25% narrowing in spreads (365 ) 116 50% narrowing in spreads (251 ) 230 ____________________ (1) Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Consolidated Variable Interes35
Consolidated Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated FG VIE's | Number of FG VIEs Consolidated Nine Months 2016 2015 Beginning of the period, December 31 34 32 Radian Asset Acquisition — 4 Consolidated (1) 1 1 Deconsolidated (1) (2 ) — Matured (1 ) — End of the period, September 30 32 37 ____________________ (1) Net loss on consolidation and deconsolidation was de minimis in Nine Months 2016 , and net loss on consolidation was $26 million in Nine Months 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 September 30, 2016 As of December 31, 2015 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 482 $ 523 $ 506 $ 521 U.S. RMBS second lien 165 232 194 273 Life insurance — — 347 347 Manufactured housing 77 77 84 84 Total with recourse 724 832 1,131 1,225 Without recourse 153 153 130 124 Total $ 877 $ 985 $ 1,261 $ 1,349 Effect of Consolidating FG VIEs on Net Income, Cash Flows From Operating Activities and Shareholders' Equity Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Net earned premiums $ (4 ) $ (6 ) $ (12 ) $ (16 ) Net investment income (1 ) (3 ) (8 ) (9 ) Net realized investment gains (losses) 0 6 1 9 Fair value gains (losses) on FG VIEs (11 ) 2 11 0 Bargain purchase gain — — — 2 Loss and LAE (1 ) 11 3 18 Effect on income before tax (17 ) 10 (5 ) 4 Less: tax provision (benefit) (6 ) 4 (2 ) 1 Effect on net income (loss) $ (11 ) $ 6 $ (3 ) $ 3 Effect on cash flows from operating activities $ 11 $ 11 $ 16 $ 44 As of As of (in millions) Effect on shareholders' equity (decrease) increase $ (25 ) $ (23 ) |
Investments and Cash (Tables)
Investments and Cash (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Net Investment Income | Net Investment Income Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Income from fixed-maturity securities managed by third parties $ 75 $ 85 $ 231 $ 252 Income from internally managed securities: Fixed maturities 19 15 58 44 Other 2 14 8 21 Gross investment income 96 114 297 317 Investment expenses (2 ) (2 ) (6 ) (6 ) Net investment income $ 94 $ 112 $ 291 $ 311 |
Net Realized Investment Gains (Losses) | Net Realized Investment Gains (Losses) Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Gross realized gains on available-for-sale securities $ 4 $ 3 $ 24 $ 35 Gross realized losses on available-for-sale securities (1 ) (3 ) (3 ) (10 ) Net realized gains (losses) on other invested assets 0 (9 ) 0 (8 ) Other-than-temporary impairment (5 ) (18 ) (26 ) (37 ) Net realized investment gains (losses) $ (2 ) $ (27 ) $ (5 ) $ (20 ) |
Roll Forward of Credit Losses in the Investment Portfolio | The following table presents the roll-forward of the credit losses of fixed-maturity securities for which the Company has recognized an other-than-temporary-impairment and where the portion of the fair value adjustment related to other factors was recognized in other comprehensive income ("OCI"). Roll Forward of Credit Losses in the Investment Portfolio Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Balance, beginning of period $ 108 $ 104 $ 108 $ 124 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 1 2 3 2 Reductions for securities sold and other settlement during the period — — (4 ) (28 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 1 0 3 8 Balance, end of period $ 110 $ 106 $ 110 $ 106 |
Fixed Maturity Securities and Short Term Investments by Security Type | Fixed-Maturity Securities and Short-Term Investments by Security Type As of September 30, 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 49 % $ 5,272 $ 398 $ (1 ) $ 5,669 $ 16 AA- U.S. government and agencies 3 381 24 0 405 — AA+ Corporate securities 16 1,733 82 (40 ) 1,775 (29 ) A- Mortgage-backed securities(4): 0 RMBS 10 1,082 39 (16 ) 1,105 (7 ) A- CMBS 6 618 32 (1 ) 649 — AAA Asset-backed securities 8 860 42 (10 ) 892 9 B+ Foreign government securities 3 273 6 (22 ) 257 — AA Total fixed-maturity securities 95 10,219 623 (90 ) 10,752 (11 ) A+ Short-term investments 5 528 0 0 528 — AA+ Total investment portfolio 100 % $ 10,747 $ 623 $ (90 ) $ 11,280 $ (11 ) 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 for additional information as applicable. (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 44% of mortgage backed securities as of September 30, 2016 and 54% as of December 31, 2015 based on fair value. |
Fixed Maturity Securities Gross Unrealized Loss by Length of Time | The following tables summarize, for all fixed-maturity securities in an unrealized loss position, the aggregate fair value and gross unrealized loss by length of time the amounts have continuously been in an unrealized loss position. Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of September 30, 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 $ 180 $ (1 ) $ 7 $ 0 $ 187 $ (1 ) U.S. government and agencies 52 0 — — 52 0 Corporate securities 237 (6 ) 85 (34 ) 322 (40 ) Mortgage-backed securities: RMBS 64 (2 ) 149 (14 ) 213 (16 ) CMBS 102 (1 ) — — 102 (1 ) Asset-backed securities 28 0 210 (10 ) 238 (10 ) Foreign government securities 98 (7 ) 74 (15 ) 172 (22 ) Total $ 761 $ (17 ) $ 525 $ (73 ) $ 1,286 $ (90 ) Number of securities (1) 219 52 263 Number of securities with other-than-temporary impairment 5 12 17 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 consisting 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 | The amortized cost and estimated fair value of available-for-sale fixed maturity securities by contractual maturity as of September 30, 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 September 30, 2016 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 416 $ 436 Due after one year through five years 1,928 1,974 Due after five years through 10 years 2,110 2,216 Due after 10 years 4,065 4,372 Mortgage-backed securities: RMBS 1,082 1,105 CMBS 618 649 Total $ 10,219 $ 10,752 |
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 $ 1,414 $ 1,266 Other invested assets 110 114 Other 55 55 Total $ 1,579 $ 1,435 |
Insurance Company Regulatory 37
Insurance Company Regulatory Requirements (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Insurance Company Regulatory Requirements [Abstract] | |
Schedule of Dividends Paid by Insurance Company Subsidiaries | Dividends and Surplus Notes By Insurance Company Subsidiaries Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Dividends paid by AGC to AGUS $ 15 $ 15 $ 38 $ 50 Dividends paid by AGM to AGMH 65 57 192 163 Dividends paid by AG Re to AGL 35 35 85 120 Repayment of surplus note by AGM to AGMH — — — 25 Repayment of surplus note by MAC to AGM — — 100 — Repayment of surplus note by MAC to MAC Holdings (1) — — 300 — ____________________ (1) MAC Holdings returned $300 million to AGM and AGC, in proportion to their ownership percentages, in the second quarter of 2016. |
Income Taxes (Tables)
Income Taxes (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Income Tax Disclosure [Abstract] | |
Effective Tax Rate Reconciliation | A reconciliation of the difference between the provision for income taxes and the expected tax provision at statutory rates in taxable jurisdictions is presented below. Effective Tax Rate Reconciliation Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 150 $ 56 $ 234 $ 276 Tax-exempt interest (12 ) (14 ) (38 ) (41 ) Gain on bargain purchase (125 ) 0 (125 ) (19 ) Change in liability for uncertain tax positions 8 10 10 12 True-up from tax return filing (16 ) (11 ) (16 ) (11 ) Other (4 ) 2 (3 ) 3 Total provision (benefit) for income taxes $ 1 $ 43 $ 62 $ 220 Effective tax rate 0.3 % 25.0 % 8.3 % 26.0 % |
Pretax Income (Loss) by Tax Jurisdiction | The following table presents pretax income and revenue by jurisdiction. Pretax Income (Loss) by Tax Jurisdiction Third Quarter Nine Months 2016 2015 2016 2015 (in millions) United States $ 432 $ 166 $ 681 $ 803 Bermuda 56 12 88 67 U.K. (8 ) (6 ) (23 ) (23 ) Total $ 480 $ 172 $ 746 $ 847 |
Revenue by Tax Jurisdiction | Revenue by Tax Jurisdiction Third Quarter Nine Months 2016 2015 2016 2015 (in millions) United States $ 499 $ 311 $ 1,041 $ 1,229 Bermuda 69 58 170 209 U.K. (2 ) (1 ) (4 ) (6 ) Total $ 566 $ 368 $ 1,207 $ 1,432 |
Reinsurance and Other Monolin39
Reinsurance and Other Monoline Exposures (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Insurance [Abstract] | |
Effects of Reinsurance on Statement of Operations | The following table presents the components of premiums and losses reported in the consolidated statement of operations and the contribution of the Company's Assumed and Ceded Businesses. Effect of Reinsurance on Statement of Operations Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Premiums Written: Direct $ 17 $ 41 $ 80 $ 93 Assumed (1) (1 ) (1 ) (9 ) 1 Ceded 0 0 (17 ) 2 Net $ 16 $ 40 $ 54 $ 96 Premiums Earned: Direct $ 237 $ 224 $ 647 $ 596 Assumed 6 7 19 29 Ceded (12 ) (18 ) (38 ) (51 ) Net $ 231 $ 213 $ 628 $ 574 Loss and LAE: Direct $ 7 $ 111 $ 217 $ 323 Assumed (1 ) 23 (4 ) 35 Ceded (15 ) (22 ) (30 ) (40 ) Net $ (9 ) $ 112 $ 183 $ 318 ____________________ (1) Negative assumed premiums written were due to changes in expected debt service schedules. |
Exposure by Reinsurer | Monoline and Reinsurer Exposure by Company Ratings at Par Outstanding (1) November 2, 2016 As of September 30, 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 $ 4,052 $ — $ 30 Tokio Marine & Nichido Fire Insurance Co., Ltd. (2) Aa3 (4) A+ (4) 3,681 — — Syncora (2) WR WR 2,185 1,326 677 Mitsui Sumitomo Insurance Co. Ltd. (2) A1 A+ (4) 1,394 — — ACA Financial Guaranty Corp. NR (5) WR 637 33 — Ambac WR WR 115 3,393 7,911 National (6) A3 AA- — 4,946 4,696 MBIA (7) (7) — 1,583 380 FGIC (8) (8) — 1,296 572 Ambac Assurance Corp. Segregated Account NR NR — 77 638 Other (2) Various Various 67 558 123 Total $ 12,131 $ 13,212 $ 15,027 ____________________ (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 September 30, 2016 was approximately $427 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 Corporation rated CCC by S&P and Caa1 by Moody's and MBIA UK rated BB by S&P and Ba2 by Moody’s. See Note 2, Acquisitions, for more information on MBIA UK. (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 September 30, 2016 Assumed Premium, net of Commissions Ceded Premium, net of Commissions Assumed Ceded (in millions) American Overseas Reinsurance Company Limited $ — $ (5 ) $ — $ 30 Tokio Marine & Nichido Fire Insurance Co., Ltd. — (10 ) — 45 Syncora 14 (19 ) — (7 ) Mitsui Sumitomo Insurance Co. Ltd. — (2 ) — 20 Ambac 34 — (1 ) — National 6 — 2 — MBIA 4 — (8 ) — FGIC 4 — (15 ) — Ambac Assurance Corp. Segregated Account 6 — (44 ) — Other — (12 ) — — Total $ 68 $ (48 ) $ (66 ) $ 88 |
Long-Term Debt and Credit Fac40
Long-Term Debt and Credit Facilities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Debt Disclosure [Abstract] | |
Principal and Carrying Amounts of Debt | The principal and carrying values of the Company’s long-term debt are presented in the table below. Principal and Carrying Amounts of Debt As of September 30, 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 500 495 500 495 Series A Enhanced Junior Subordinated Debentures 150 150 150 150 Total AGUS 850 842 850 842 AGMH: 6 7 / 8 % QUIBS 100 69 100 69 6.25% Notes 230 141 230 140 5.6% Notes 100 56 100 56 Junior Subordinated Debentures 300 185 300 180 Total AGMH 730 451 730 445 AGM: Notes Payable 10 11 12 13 Total AGM 10 11 12 13 Total $ 1,590 $ 1,304 $ 1,592 $ 1,300 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Earnings Per Share [Abstract] | |
Schedule of computation of basic and diluted earnings per share | Computation of Earnings Per Share Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Basic earnings per share ("EPS"): Net income (loss) attributable to AGL $ 479 $ 129 $ 684 $ 627 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 0 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 478 $ 129 $ 683 $ 627 Basic shares 131.9 145.8 134.0 150.7 Basic EPS $ 3.63 $ 0.88 $ 5.10 $ 4.16 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 478 $ 129 $ 683 $ 627 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries 0 0 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 478 $ 129 $ 683 $ 627 Basic shares 131.9 145.8 134.0 150.7 Dilutive securities: Options and restricted stock awards 0.9 0.7 0.9 0.9 Diluted shares 132.8 146.5 134.9 151.6 Diluted EPS $ 3.60 $ 0.88 $ 5.06 $ 4.13 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.0 1.3 0.5 0.7 |
Schedule of antidilutive securities excluded from computation of earnings per share | Computation of Earnings Per Share Third Quarter Nine Months 2016 2015 2016 2015 (in millions) Basic earnings per share ("EPS"): Net income (loss) attributable to AGL $ 479 $ 129 $ 684 $ 627 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 0 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 478 $ 129 $ 683 $ 627 Basic shares 131.9 145.8 134.0 150.7 Basic EPS $ 3.63 $ 0.88 $ 5.10 $ 4.16 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 478 $ 129 $ 683 $ 627 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries 0 0 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 478 $ 129 $ 683 $ 627 Basic shares 131.9 145.8 134.0 150.7 Dilutive securities: Options and restricted stock awards 0.9 0.7 0.9 0.9 Diluted shares 132.8 146.5 134.9 151.6 Diluted EPS $ 3.60 $ 0.88 $ 5.06 $ 4.13 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.0 1.3 0.5 0.7 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Equity [Abstract] | |
Changes in Accumulated Other Comprehensive Income by Component | The following tables present the changes in each component of 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 Third 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, June 30, 2016 $ 426 $ (24 ) $ (26 ) $ 7 $ 383 Other comprehensive income (loss) before reclassifications (33 ) 13 (5 ) — (25 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (3 ) 4 — — 1 Net investment income — — — — — Interest expense — — — 0 0 Total before tax (3 ) 4 — 0 1 Tax (provision) benefit 0 (1 ) — 0 (1 ) Total amount reclassified from AOCI, net of tax (3 ) 3 — 0 — Net current period other comprehensive income (loss) (36 ) 16 (5 ) 0 (25 ) Balance, September 30, 2016 $ 390 $ (8 ) $ (31 ) $ 7 $ 358 Changes in Accumulated Other Comprehensive Income by Component Third Quarter 2015 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, June 30, 2015 $ 236 $ 4 $ (9 ) $ 8 $ 239 Other comprehensive income (loss) before reclassifications 41 (15 ) (4 ) — 22 Amounts reclassified from AOCI to: Net realized investment gains (losses) 10 17 — — 27 Net investment income (9 ) — — — (9 ) Interest expense — — — 0 0 Total before tax 1 17 — 0 18 Tax (provision) benefit 0 (6 ) — 0 (6 ) Total amount reclassified from AOCI, net of tax 1 11 — 0 12 Net current period other comprehensive income (loss) 42 (4 ) (4 ) 0 34 Balance, September 30, 2015 $ 278 $ 0 $ (13 ) $ 8 $ 273 Changes in Accumulated Other Comprehensive Income by Component Nine Months 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 146 (10 ) (15 ) — 121 Amounts reclassified from AOCI to: Net realized investment gains (losses) (20 ) 25 — — 5 Net investment income (3 ) — — — (3 ) Interest expense — — — (1 ) (1 ) Total before tax (23 ) 25 — (1 ) 1 Tax (provision) benefit 7 (8 ) — 0 (1 ) Total amount reclassified from AOCI, net of tax (16 ) 17 — (1 ) 0 Net current period other comprehensive income (loss) 130 7 (15 ) (1 ) 121 Balance, September 30, 2016 $ 390 $ (8 ) $ (31 ) $ 7 $ 358 Changes in Accumulated Other Comprehensive Income by Component Nine Months 2015 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2014 $ 367 $ 4 $ (10 ) $ 9 $ 370 Other comprehensive income (loss) before reclassifications (77 ) (23 ) (3 ) — (103 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (9 ) 29 — — 20 Net investment income (9 ) — — — (9 ) Interest expense — — — (1 ) (1 ) Total before tax (18 ) 29 — (1 ) 10 Tax (provision) benefit 6 (10 ) — 0 (4 ) Total amount reclassified from AOCI, net of tax (12 ) 19 — (1 ) 6 Net current period other comprehensive income (loss) (89 ) (4 ) (3 ) (1 ) (97 ) Balance, September 30, 2015 $ 278 $ 0 $ (13 ) $ 8 $ 273 |
Schedule of Share Repurchases | The following table presents share repurchases 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 - June 30) 2,331,474 60 25.73 2016 (July 1 - September 30) 2,050,229 55 26.83 Total 2016 (through September 30) 7,420,631 190 25.61 2016 (October 1 - through November 3, 2016) 692,002 20 28.90 Total 2016 8,112,633 210 25.89 Cumulative repurchases since the beginning of 2013 66,034,592 $ 1,619 $ 24.52 |
Subsidiary Information (Tables)
Subsidiary Information (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Condensed Financial Information of Parent Company Only Disclosure [Abstract] | |
Condensed Consolidating Balance Sheet | CONDENSED CONSOLIDATING BALANCE SHEET AS OF SEPTEMBER 30, 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 $ 60 $ 107 $ 23 $ 11,712 $ (359 ) $ 11,543 Investment in subsidiaries 6,524 6,056 4,164 293 (17,037 ) — Premiums receivable, net of commissions payable — — — 720 (112 ) 608 Ceded unearned premium reserve — — — 1,122 (909 ) 213 Deferred acquisition costs — — — 161 (53 ) 108 Reinsurance recoverable on unpaid losses — — — 485 (398 ) 87 Credit derivative assets — — — 95 (67 ) 28 Deferred tax asset, net — 32 — 549 (122 ) 459 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 877 — 877 Other 61 62 39 974 (390 ) 746 TOTAL ASSETS $ 6,645 $ 6,257 $ 4,226 $ 17,078 $ (19,537 ) $ 14,669 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,666 $ (998 ) $ 3,668 Loss and LAE reserve — — — 1,554 (463 ) 1,091 Long-term debt — 842 451 11 — 1,304 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 576 (67 ) 509 Deferred tax liabilities, net — — 89 — (89 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 985 — 985 Other 5 53 19 898 (503 ) 472 TOTAL LIABILITIES 5 985 559 8,990 (2,510 ) 8,029 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,640 5,272 3,667 7,795 (16,734 ) 6,640 Noncontrolling interest — — — 293 (293 ) — TOTAL SHAREHOLDERS' EQUITY 6,640 5,272 3,667 8,088 (17,027 ) 6,640 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,645 $ 6,257 $ 4,226 $ 17,078 $ (19,537 ) $ 14,669 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 SEPTEMBER 30, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 239 $ (8 ) $ 231 Net investment income 0 0 0 95 (1 ) 94 Net realized investment gains (losses) 0 3 0 (2 ) (3 ) (2 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 15 0 15 Net unrealized gains (losses) — — — 6 — 6 Net change in fair value of credit derivatives — — — 21 0 21 Bargain purchase gain and settlement of pre-existing relationships — — — 257 2 259 Other 0 — — (37 ) 0 (37 ) TOTAL REVENUES 0 3 0 573 (10 ) 566 EXPENSES Loss and LAE — — — (15 ) 6 (9 ) Amortization of deferred acquisition costs — — — 9 (5 ) 4 Interest expense — 13 13 3 (3 ) 26 Other operating expenses 7 1 1 58 (2 ) 65 TOTAL EXPENSES 7 14 14 55 (4 ) 86 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (11 ) (14 ) 518 (6 ) 480 Total (provision) benefit for income taxes — 4 5 (13 ) 3 (1 ) Equity in net earnings of subsidiaries 486 433 92 11 (1,022 ) — NET INCOME (LOSS) $ 479 $ 426 $ 83 $ 516 $ (1,025 ) $ 479 Less: noncontrolling interest — — — 11 (11 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 479 $ 426 $ 83 $ 505 $ (1,014 ) $ 479 COMPREHENSIVE INCOME (LOSS) $ 454 $ 414 $ 64 $ 497 $ (975 ) $ 454 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 219 $ (6 ) $ 213 Net investment income 0 0 0 113 (1 ) 112 Net realized investment gains (losses) 0 0 0 (22 ) (5 ) (27 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 6 0 6 Net unrealized gains (losses) — — — 81 (1 ) 80 Net change in fair value of credit derivatives — — — 87 (1 ) 86 Bargain purchase gain and settlement of pre-existing relationships — — — — — — Other 0 — — (16 ) — (16 ) TOTAL REVENUES 0 0 0 381 (13 ) 368 EXPENSES Loss and LAE — — — 114 (2 ) 112 Amortization of deferred acquisition costs — — — 8 (3 ) 5 Interest expense — 13 13 4 (5 ) 25 Other operating expenses 7 0 1 47 (1 ) 54 TOTAL EXPENSES 7 13 14 173 (11 ) 196 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (13 ) (14 ) 208 (2 ) 172 Total (provision) benefit for income taxes — 5 5 (55 ) 2 (43 ) Equity in net earnings of subsidiaries 136 126 133 10 (405 ) — NET INCOME (LOSS) $ 129 $ 118 $ 124 $ 163 $ (405 ) $ 129 Less: noncontrolling interest — — — 10 (10 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 129 $ 118 $ 124 $ 153 $ (395 ) $ 129 COMPREHENSIVE INCOME (LOSS) $ 163 $ 138 $ 139 $ 199 $ (476 ) $ 163 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 653 $ (25 ) $ 628 Net investment income 0 0 0 293 (2 ) 291 Net realized investment gains (losses) 0 3 0 (4 ) (4 ) (5 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 47 — 47 Net unrealized gains (losses) — — — (23 ) — (23 ) Net change in fair value of credit derivatives — — — 24 — 24 Bargain purchase gain and settlement of pre-existing relationships — — — 257 2 259 Other 0 0 0 10 0 10 TOTAL REVENUES 0 3 0 1,233 (29 ) 1,207 EXPENSES Loss and LAE — — — 182 1 183 Amortization of deferred acquisition costs — — — 23 (10 ) 13 Interest expense — 39 40 8 (10 ) 77 Other operating expenses 23 1 2 165 (3 ) 188 TOTAL EXPENSES 23 40 42 378 (22 ) 461 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (23 ) (37 ) (42 ) 855 (7 ) 746 Total (provision) benefit for income taxes — 13 15 (94 ) 4 (62 ) Equity in net earnings of subsidiaries 707 623 282 34 (1,646 ) — NET INCOME (LOSS) $ 684 $ 599 $ 255 $ 795 $ (1,649 ) $ 684 Less: noncontrolling interest — — — 34 (34 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 684 $ 599 $ 255 $ 761 $ (1,615 ) $ 684 COMPREHENSIVE INCOME (LOSS) $ 805 $ 660 $ 281 $ 923 $ (1,864 ) $ 805 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 585 $ (11 ) $ 574 Net investment income 0 0 0 318 (7 ) 311 Net realized investment gains (losses) 0 0 1 (13 ) (8 ) (20 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 35 0 35 Net unrealized gains (losses) — — — 292 (27 ) 265 Net change in fair value of credit derivatives — — — 327 (27 ) 300 Bargain purchase gain and settlement of pre-existing relationships — — — 54 160 214 Other 0 — — 53 0 53 TOTAL REVENUES 0 0 1 1,324 107 1,432 EXPENSES Loss and LAE — — — 316 2 318 Amortization of deferred acquisition costs — — — 22 (7 ) 15 Interest expense — 39 40 11 (14 ) 76 Other operating expenses 24 1 1 152 (2 ) 176 TOTAL EXPENSES 24 40 41 501 (21 ) 585 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (24 ) (40 ) (40 ) 823 128 847 Total (provision) benefit for income taxes — 14 14 (205 ) (43 ) (220 ) Equity in net earnings of subsidiaries 651 594 347 30 (1,622 ) — NET INCOME (LOSS) $ 627 $ 568 $ 321 $ 648 $ (1,537 ) $ 627 Less: noncontrolling interest — — — 30 (30 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 627 $ 568 $ 321 $ 618 $ (1,507 ) $ 627 COMPREHENSIVE INCOME (LOSS) $ 530 $ 482 $ 269 $ 554 $ (1,305 ) $ 530 |
Condensed Consolidating Statement of Cash Flows | CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 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 $ 287 $ 171 $ 159 $ 3 $ (810 ) $ (190 ) Cash flows from investing activities Fixed-maturity securities: Purchases (4 ) (44 ) (10 ) (970 ) — (1,028 ) Sales 4 — 12 861 — 877 Maturities — 23 — 838 — 861 Sales (purchases) of short-term investments, net (49 ) (3 ) (1 ) 133 — 80 Net proceeds from financial guaranty variable entities’ assets — — — 590 — 590 Investment in subsidiary — — — 4 (4 ) — Acquisition of CIFG, net of cash acquired — — — (442 ) 7 (435 ) Other — 7 — (12 ) (7 ) (12 ) Net cash flows provided by (used in) investing activities (49 ) (17 ) 1 1,002 (4 ) 933 Cash flows from financing activities Return of capital — — — (4 ) 4 — Dividends paid (52 ) (223 ) (158 ) (429 ) 810 (52 ) Repurchases of common stock (190 ) — — — — (190 ) Share activity under option and incentive plans 5 — — (1 ) — 4 Net paydowns of financial guaranty variable entities’ liabilities — — — (567 ) — (567 ) Payment of long-term debt — — — (2 ) — (2 ) Net cash flows provided by (used in) financing activities (237 ) (223 ) (158 ) (1,003 ) 814 (807 ) Effect of exchange rate changes — — — (4 ) — (4 ) Increase (decrease) in cash 1 (69 ) 2 (2 ) — (68 ) Cash at beginning of period 0 95 8 63 — 166 Cash at end of period $ 1 $ 26 $ 10 $ 61 $ — $ 98 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 451 $ 209 $ 134 $ 99 $ (932 ) $ (39 ) Cash flows from investing activities Fixed-maturity securities: Purchases — (72 ) (8 ) (1,830 ) 66 (1,844 ) Sales — 170 27 1,522 — 1,719 Maturities — 8 — 627 — 635 Sales (purchases) of short-term investments, net 26 42 4 679 — 751 Net proceeds from financial guaranty variable entities’ assets — — — 114 — 114 Investment in subsidiary — — 25 — (25 ) — Acquisition of Radian Asset, net of cash acquired — — — (800 ) — (800 ) Other — (5 ) — 64 — 59 Net cash flows provided by (used in) investing activities 26 143 48 376 41 634 Cash flows from financing activities Return of capital — — — (25 ) 25 — Dividends paid (55 ) (351 ) (182 ) (333 ) 866 (55 ) Repurchases of common stock (420 ) — — — — (420 ) Share activity under option and incentive plans (2 ) — — — — (2 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (122 ) — (122 ) Payment of long-term debt — — — (3 ) — (3 ) Net cash flows provided by (used in) financing activities (477 ) (351 ) (182 ) (483 ) 891 (602 ) Effect of exchange rate changes — — — (2 ) — (2 ) Increase (decrease) in cash — 1 — (10 ) — (9 ) Cash at beginning of period 0 0 4 71 — 75 Cash at end of period $ 0 $ 1 $ 4 $ 61 $ — $ 66 |
Business and Basis of Present44
Business and Basis of Presentation (Details) | Sep. 30, 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 | Jul. 01, 2016USD ($) | Apr. 01, 2015USD ($) | Jan. 31, 2017USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($)Company | Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) | |||||
Business Acquisition [Line Items] | ||||||||||||||
Financial guaranty companies acquired | Company | 2 | |||||||||||||
GAAP book value | $ 6,640 | $ 6,640 | $ 6,640 | $ 6,063 | ||||||||||
Payment to acquire business | 0 | $ 800 | ||||||||||||
Assets | 11,445 | 11,445 | 11,445 | 11,192 | ||||||||||
Net par amount outstanding | 315,325 | [1],[2] | 315,325 | [1],[2] | 315,325 | [1],[2] | $ 358,571 | [3] | ||||||
CIFG Holding Inc. [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Cash purchase price | [4] | $ 443 | ||||||||||||
Revenue since acquisition date | 282 | |||||||||||||
Net income since acquisition date | 308 | |||||||||||||
Net par amount outstanding | 3,700 | 3,700 | 3,700 | |||||||||||
Radian [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Net par amount outstanding assumed in business acquisition | $ 13,600 | |||||||||||||
CIFG Europe S.A. [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Assets | 43 | 43 | 43 | |||||||||||
Insured Financial Obligations Outstanding Principal Amount, Gross | 828 | 828 | 828 | |||||||||||
MBIA UK Insurance Limited [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Insured Financial Obligations Outstanding Principal Amount, Gross | $ 347 | $ 347 | $ 347 | |||||||||||
Net par amount outstanding | $ 13,000 | |||||||||||||
Subsidiaries [Member] | CIFG Holding Inc. [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Cash purchase price | 450.6 | |||||||||||||
Subsidiaries [Member] | Radian [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Cash purchase price | $ 804.5 | |||||||||||||
CIFG Holding Inc. [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Net par amount outstanding assumed in business acquisition | $ 4,200 | |||||||||||||
Forecast [Member] | Subsidiaries [Member] | MBIA UK Insurance Limited [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Cash expected to be acquired in acquisition | $ 23 | |||||||||||||
AGUSH [Member] | CIFG Holding Inc. [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Ownership percentage by noncontrolling owners | 1.60% | |||||||||||||
Payment to acquire business | $ 7.1 | |||||||||||||
[1] | As of September 30, 2016, excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | |||||||||||||
[2] | The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG. | |||||||||||||
[3] | As of December 31, 2015, excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | |||||||||||||
[4] | The cash purchase price of $443 million was the cash transferred for the acquisition which was allocated as follows: (1) $270 million for the purchase of net assets of $627 million, and (2) the settlement of pre-existing relationships between CIFG and Assured Guaranty at a fair value of $173 million. |
Acquisitions - Assets and Liabi
Acquisitions - Assets and Liabilities Assumed (Details) - CIFG Holding Inc. [Member] $ in Millions | Jul. 01, 2016USD ($) | |
Business Acquisition [Line Items] | ||
Cash purchase price | $ 443 | [1] |
Total purchase price | 270 | |
Identifiable assets acquired: | ||
Investments | 770 | |
Cash | 8 | |
Premiums receivable, net of commissions payable | 18 | |
Ceded unearned premium reserve, fair value of net assets acquired, before settlement of pre-existing relationships | 173 | |
Ceded unearned premium reserve, net effect of settlement of pre-existing relationships | (173) | |
Deferred acquisition costs, fair value of net assets acquired before settlement of pre-existing relationships | 1 | |
Deferred acquisition costs, net effect of settlement of pre-existing relationships | (1) | |
Salvage and subrogation recoverable | 23 | |
Credit derivative assets | 1 | |
Deferred tax asset, net, fair value of net assets acquired | 194 | |
Deferred tax asset, net, settlement of pre-existing relationships | 34 | |
Deferred tax asset, net | 228 | |
Other assets | 4 | |
Total assets, fair value of net assets acquired | 1,192 | |
Total assets, settlement of pre-existing relationships | (140) | |
Total assets | 1,052 | |
Liabilities assumed: | ||
Unearned premium reserves, fair value of net liabilities assumed | 306 | |
Unearned premium reserves, settlement of pre-existing relationship | (10) | |
Unearned premium reserves | 296 | |
Loss and loss adjustment expense reserve, fair value of liabilities assumed | 1 | |
Loss and loss adjustment expense reserve, settlement of pre-existing relationships | (66) | |
Loss and loss adjustment expense reserve | (65) | |
Credit derivative liabilities | 68 | |
Other liabilities | 17 | |
Total liabilities, fair value of net assets acquired | 392 | |
Total liabilities, settlement of pre-existing relationships | (76) | |
Total liabilities | 316 | |
Net assets resulting from acquisition, fair value of net assets acquired | 800 | |
Net assets resulting from acquisition, settlement of pre-existing relationships | (64) | |
Net asset effect | 736 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, after tax, fair value of net assets acquired | 357 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, after-tax, settlement of pre-existing relationships | (64) | |
Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, after-tax | 293 | |
Deferred tax, settlement of pre-existing relationships | (34) | |
Deferred tax | (34) | |
Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisitions, pre-tax, fair value of net assets acquired | 357 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, pre-tax, settlement of pre-existing relationships | (98) | |
Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, pre-tax | 259 | |
Assumed assets including pre-existing relationship | 627 | |
Settlement of pre-existing relationship | $ 173 | |
[1] | The cash purchase price of $443 million was the cash transferred for the acquisition which was allocated as follows: (1) $270 million for the purchase of net assets of $627 million, and (2) the settlement of pre-existing relationships between CIFG and Assured Guaranty at a fair value of $173 million. |
Acquisitions - Acquisition Cost
Acquisitions - Acquisition Costs (Details) - CIFG Holding Inc. [Member] - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended |
Sep. 30, 2016 | Sep. 30, 2016 | |
Business Acquisition [Line Items] | ||
Professional services | $ 1 | $ 2 |
Financial Advisory fees | 3 | 4 |
Total | $ 4 | $ 6 |
Outstanding Exposure - Debt Ser
Outstanding Exposure - Debt Service Outstanding (Details) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 484,571,000,000 | $ 559,470,000,000 |
Net Debt Service Outstanding | 465,559,000,000 | 536,341,000,000 |
Excess Of Loss Reinsurance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Debt Service Outstanding | 275,000,000 | 0 |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 451,287,000,000 | 515,494,000,000 |
Net Debt Service Outstanding | 433,621,000,000 | 494,426,000,000 |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 33,284,000,000 | 43,976,000,000 |
Net Debt Service Outstanding | $ 31,938,000,000 | $ 41,915,000,000 |
Outstanding Exposure - Financia
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 315,325 | [1],[2] | $ 358,571 | [3] |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] |
Loss mitigation bonds | $ 2,100 | $ 1,500 | ||
AAA [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 15,598 | [2] | $ 20,837 | |
% of total net par outstanding | 5.00% | [2] | 5.80% | |
AA [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 61,478 | [2] | $ 79,402 | |
% of total net par outstanding | 19.50% | [2] | 22.10% | |
A [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 146,149 | [2] | $ 167,246 | |
% of total net par outstanding | 46.30% | [2] | 46.70% | |
BBB [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 78,187 | [2] | $ 75,903 | |
% of total net par outstanding | 24.80% | [2] | 21.20% | |
BIG [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 13,913 | [2] | $ 15,183 | |
% of total net par outstanding | 4.40% | [2] | 4.20% | |
Public Finance [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 258,650 | [1],[2] | $ 291,866 | [3] |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] |
Public Finance [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 28,239 | [1],[2] | $ 29,577 | [3] |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] |
Public Finance [Member] | AAA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 2,182 | [2] | $ 3,053 | |
% of total net par outstanding | 0.90% | [2] | 1.10% | |
Public Finance [Member] | AAA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 703 | [2] | $ 709 | |
% of total net par outstanding | 2.50% | [2] | 2.40% | |
Public Finance [Member] | AA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 53,330 | [2] | $ 69,274 | |
% of total net par outstanding | 20.60% | [2] | 23.70% | |
Public Finance [Member] | AA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,768 | [2] | $ 2,017 | |
% of total net par outstanding | 6.20% | [2] | 6.80% | |
Public Finance [Member] | A [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 137,270 | [2] | $ 157,440 | |
% of total net par outstanding | 53.10% | [2] | 53.90% | |
Public Finance [Member] | A [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 6,466 | [2] | $ 6,765 | |
% of total net par outstanding | 22.90% | [2] | 22.90% | |
Public Finance [Member] | BBB [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 58,274 | [2] | $ 54,315 | |
% of total net par outstanding | 22.50% | [2] | 18.60% | |
Public Finance [Member] | BBB [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 17,872 | [2] | $ 18,708 | |
% of total net par outstanding | 63.30% | [2] | 63.20% | |
Public Finance [Member] | BIG [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 7,594 | [2] | $ 7,784 | |
% of total net par outstanding | 2.90% | [2] | 2.70% | |
Public Finance [Member] | BIG [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,430 | [2] | $ 1,378 | |
% of total net par outstanding | 5.10% | [2] | 4.70% | |
Structured Finance [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 24,387 | [1],[2] | $ 31,770 | [3] |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] |
Structured Finance [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 4,049 | [1],[2] | $ 5,358 | [3] |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] |
Structured Finance [Member] | AAA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 11,187 | [2] | $ 14,366 | |
% of total net par outstanding | 45.90% | [2] | 45.20% | |
Structured Finance [Member] | AAA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,526 | [2] | $ 2,709 | |
% of total net par outstanding | 37.70% | [2] | 50.60% | |
Structured Finance [Member] | AA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 6,246 | [2] | $ 7,934 | |
% of total net par outstanding | 25.60% | [2] | 25.00% | |
Structured Finance [Member] | AA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 134 | [2] | $ 177 | |
% of total net par outstanding | 3.40% | [2] | 3.30% | |
Structured Finance [Member] | A [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,744 | [2] | $ 2,486 | |
% of total net par outstanding | 7.10% | [2] | 7.80% | |
Structured Finance [Member] | A [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 669 | [2] | $ 555 | |
% of total net par outstanding | 16.50% | [2] | 10.30% | |
Structured Finance [Member] | BBB [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 869 | [2] | $ 1,515 | |
% of total net par outstanding | 3.60% | [2] | 4.80% | |
Structured Finance [Member] | BBB [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,172 | [2] | $ 1,365 | |
% of total net par outstanding | 28.90% | [2] | 25.50% | |
Structured Finance [Member] | BIG [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 4,341 | [2] | $ 5,469 | |
% of total net par outstanding | 17.80% | [2] | 17.20% | |
Structured Finance [Member] | BIG [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 548 | [2] | $ 552 | |
% of total net par outstanding | 13.50% | [2] | 10.30% | |
CIFG Holding Inc. [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 3,700 | |||
[1] | As of September 30, 2016, excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | |||
[2] | The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG. | |||
[3] | As of December 31, 2015, excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. |
Outstanding Exposure - Componen
Outstanding Exposure - Components of BIG Net Par Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 315,325 | [1],[2] | $ 358,571 | [3] |
Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,060 | 2,750 | ||
Trust Preferred Securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,557 | 4,379 | ||
Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,423 | 1,818 | ||
Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 16,517 | 21,114 | ||
BIG [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 13,913 | [2] | 15,183 | |
BIG [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 126 | 216 | ||
BIG [Member] | Trust Preferred Securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 555 | 806 | ||
BIG [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 109 | 163 | ||
BIG [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 803 | 863 | ||
BIG [Member] | BIG 1 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 5,210 | 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 | 428 | 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 | 548 | 672 | ||
BIG [Member] | BIG 2 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,060 | 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 | 217 | 151 | ||
BIG [Member] | BIG 3 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,643 | 3,031 | ||
BIG [Member] | BIG 3 [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 126 | 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 | 41 | 83 | ||
BIG [Member] | BIG 3 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 38 | 40 | ||
United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 258,650 | [1],[2] | 291,866 | [3] |
United States [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 5,879 | 7,067 | ||
United States [Member] | BIG [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 7,594 | [2] | 7,784 | |
United States [Member] | BIG [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,296 | 3,973 | ||
United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,632 | 4,765 | ||
United States [Member] | BIG [Member] | BIG 1 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 232 | 1,020 | ||
United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,107 | 2,883 | ||
United States [Member] | BIG [Member] | BIG 2 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 481 | 397 | ||
United States [Member] | BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,855 | 136 | ||
United States [Member] | BIG [Member] | BIG 3 [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,583 | 2,556 | ||
Non United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 28,239 | [1],[2] | 29,577 | [3] |
Non United States [Member] | BIG [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,430 | [2] | 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 | 1,370 | 875 | ||
Non United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 60 | 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 | 217 | 445 | ||
First Lien [Member] | United States [Member] | Alt-A [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,047 | 1,353 | ||
First Lien [Member] | United States [Member] | Option ARM [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 172 | 252 | ||
First Lien [Member] | United States [Member] | Subprime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,136 | 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 | 141 | 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 | 598 | 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 | 87 | 141 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Subprime [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,166 | 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 | 16 | 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 | 85 | 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 | 22 | 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 | 80 | 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 | 103 | 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 | 41 | 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 | 6 | 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 | 260 | 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 | 22 | 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 | 472 | 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 | 59 | 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 | 826 | 930 | ||
Second Lien [Member] | United States [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,307 | 1,560 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | RMBS [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,304 | 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 | 29 | 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 | 71 | 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 | $ 1,204 | $ 910 | ||
[1] | As of September 30, 2016, excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | |||
[2] | The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG. | |||
[3] | As of December 31, 2015, excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. |
Outstanding Exposure - BIG Net
Outstanding Exposure - BIG Net Par Outstanding (Details) $ in Millions | Sep. 30, 2016USD ($)risk | Dec. 31, 2015USD ($)risk | |||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Credit Derivative | [1] | $ 19,959 | $ 25,594 | ||
Net par amount outstanding | 315,325 | [2],[3] | 358,571 | [4] | |
BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [5] | 12,834 | 13,574 | ||
Net Par Outstanding, Credit Derivative | 1,079 | 1,609 | |||
Net par amount outstanding | $ 13,913 | [3] | $ 15,183 | ||
Number of Risks, Financial Guaranty Insurance | risk | [5],[6],[7] | 402 | 419 | ||
Number of Risks, Credit Derivative | risk | [6] | 27 | 32 | ||
Number of Risks | risk | [6] | 429 | 451 | ||
BIG [Member] | BIG 1 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [5] | $ 4,470 | $ 7,019 | ||
Net Par Outstanding, Credit Derivative | 740 | 1,004 | |||
Net par amount outstanding | $ 5,210 | $ 8,023 | |||
Number of Risks, Financial Guaranty Insurance | risk | [5],[6] | 182 | 202 | ||
Number of Risks, Credit Derivative | risk | [6] | 11 | 12 | ||
Number of Risks | risk | [6] | 193 | 214 | ||
BIG [Member] | BIG 2 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [5] | $ 3,861 | $ 3,655 | ||
Net Par Outstanding, Credit Derivative | 199 | 474 | |||
Net par amount outstanding | $ 4,060 | $ 4,129 | |||
Number of Risks, Financial Guaranty Insurance | risk | [5],[6] | 76 | 85 | ||
Number of Risks, Credit Derivative | risk | [6] | 5 | 8 | ||
Number of Risks | risk | [6] | 81 | 93 | ||
BIG [Member] | BIG 3 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [5] | $ 4,503 | $ 2,900 | ||
Net Par Outstanding, Credit Derivative | 140 | 131 | |||
Net par amount outstanding | $ 4,643 | $ 3,031 | |||
Number of Risks, Financial Guaranty Insurance | risk | [5],[6] | 144 | 132 | ||
Number of Risks, Credit Derivative | risk | [6] | 11 | 12 | ||
Number of Risks | risk | [6] | 155 | 144 | ||
[1] | The September 30, 2016 total amount includes $2.3 million net par outstanding of credit derivatives acquired from CIFG. | ||||
[2] | As of September 30, 2016, excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | ||||
[3] | The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG. | ||||
[4] | As of December 31, 2015, excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | ||||
[5] | Includes net par outstanding for VIEs. | ||||
[6] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. | ||||
[7] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure |
Outstanding Exposure - Puerto R
Outstanding Exposure - Puerto Rico Gross Par and Gross Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 484,571 | $ 559,470 |
Puerto Rico [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross par outstanding | 5,437 | 5,755 |
Gross Debt Service Outstanding | $ 9,041 | $ 9,632 |
Outstanding Exposure - Puerto53
Outstanding Exposure - Puerto Rico Net Par Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 315,325 | [1],[2] | $ 358,571 | [3] | |
Puerto Rico [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 4,786 | 5,053 | |||
Constitutionally Guaranteed [Member] | Puerto Rico [Member] | Commonwealth of Puerto Rico - General Obligation Bonds [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | [4] | 1,476 | 1,615 | ||
Constitutionally Guaranteed [Member] | Puerto Rico [Member] | Puerto Rico Public Buildings Authority [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | [4] | 169 | 188 | ||
Public Corporations, Subject To Clawback [Member] | Puerto Rico [Member] | PRHTA (Transportation revenue) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | [5] | 918 | 909 | ||
Public Corporations, Subject To Clawback [Member] | Puerto Rico [Member] | PRHTA (Highway revenue) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 350 | 370 | |||
Public Corporations, Subject To Clawback [Member] | Puerto Rico [Member] | PRCCDA (Puerto Rico Convention Center District Authority) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 152 | 164 | |||
Public Corporations, Subject To Clawback [Member] | Puerto Rico [Member] | PRIFA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | [4] | 18 | 18 | ||
Public Corporations [Member] | Puerto Rico [Member] | PREPA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 724 | 744 | |||
Public Corporations [Member] | Puerto Rico [Member] | PRASA (Puerto Rico Aqueduct and Sewer Authority) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 373 | 388 | |||
Public Corporations [Member] | Puerto Rico [Member] | MFA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 334 | 387 | |||
Public Corporations [Member] | Puerto Rico [Member] | COFINA (Puerto Rico Sales Tax Financing Corporation) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 271 | 269 | |||
Public Corporations [Member] | Puerto Rico [Member] | University of Puerto Rico [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 1 | $ 1 | |||
CIFG Holding Inc. [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 3,700 | ||||
CIFG Holding Inc. [Member] | Public Corporations, Subject To Clawback [Member] | Puerto Rico [Member] | PRHTA (Transportation revenue) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | [4] | $ 46 | |||
[1] | As of September 30, 2016, excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | ||||
[2] | The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG. | ||||
[3] | As of December 31, 2015, excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | ||||
[4] | As of the date of this filing, the Company has paid claims on these credits. | ||||
[5] | The September 30, 2016 amount includes $46 million of net par acquired from CIFG. |
Outstanding Exposure - Amortiza
Outstanding Exposure - Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | ||
Estimated Net Par Amortization [Abstract] | ||||
Net par amount outstanding | $ 315,325 | [1],[2] | $ 358,571 | [3] |
Estimated Net Debt Service Amortization [Abstract] | ||||
Total | 465,559 | 536,341 | ||
Puerto Rico [Member] | ||||
Estimated Net Par Amortization [Abstract] | ||||
2016 (October 1 – December 31) | 0 | |||
2017 (January 1 - March 31) | 0 | |||
2017 (April 1 - June 30) | 0 | |||
2017 (July 1 - September 30) | 220 | |||
2017 (October 1 - December 31) | 0 | |||
Subtotal 2,017 | 220 | |||
2,018 | 175 | |||
2,019 | 206 | |||
2,020 | 266 | |||
2021-2025 | 787 | |||
2026-2030 | 955 | |||
2031-2035 | 1,134 | |||
2036-2040 | 579 | |||
2041-2045 | 296 | |||
2046-2047 | 168 | |||
Net par amount outstanding | 4,786 | $ 5,053 | ||
Estimated Net Debt Service Amortization [Abstract] | ||||
2016 (October 1 – December 31) | 2 | |||
2017 (January 1 - March 31) | 118 | |||
2017 (April 1 - June 30) | 2 | |||
2017 (July 1 - September 30) | 339 | |||
2017 (October 1 - December 31) | 2 | |||
Subtotal 2,017 | 461 | |||
2,018 | 407 | |||
2,019 | 430 | |||
2,020 | 480 | |||
2021-2025 | 1,718 | |||
2026-2030 | 1,647 | |||
2031-2035 | 1,605 | |||
2036-2040 | 781 | |||
2041-2045 | 381 | |||
2046-2047 | 181 | |||
Total | $ 8,093 | |||
[1] | As of September 30, 2016, excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | |||
[2] | The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG. | |||
[3] | As of December 31, 2015, excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. |
Outstanding Exposure - Net Dire
Outstanding Exposure - Net Direct Economic Exposure to Selected European Countries (Details) $ in Millions | Sep. 30, 2016USD ($) | [1] |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | $ 2,463 | |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 806 | |
Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 432 | |
Hungary [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 360 | |
Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,382 | |
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 | 80 | |
Portugal [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 80 | |
Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 366 | |
Spain [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 366 | |
Turkey [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 203 | |
Turkey [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | |
Total Sovereign Exposure [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,653 | [2] |
Total Sovereign Exposure [Member] | Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 252 | [2] |
Total Sovereign Exposure [Member] | Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 955 | [2] |
Total Sovereign Exposure [Member] | Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 80 | [2] |
Total Sovereign Exposure [Member] | Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 366 | [2] |
Total Sovereign Exposure [Member] | Turkey [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [2] |
Total Non-sovereign Exposure [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 810 | [3] |
Total Non-sovereign Exposure [Member] | Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 180 | [3] |
Total Non-sovereign Exposure [Member] | Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 427 | [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] |
Total Non-sovereign Exposure [Member] | Turkey [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | $ 203 | [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, RMBS and diversified payment rights ("DPR") securitizations. |
Outstanding Exposure - Narrativ
Outstanding Exposure - Narrative (Details) - USD ($) | Jul. 01, 2016 | Sep. 30, 2016 | Mar. 04, 2016 | Dec. 31, 2015 | Dec. 24, 2015 | Sep. 15, 2015 | |||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net Debt Service Outstanding | $ 465,559,000,000 | $ 536,341,000,000 | |||||||
Net par amount outstanding | 315,325,000,000 | [1],[2] | 358,571,000,000 | [3] | |||||
Net Par Outstanding, European Exposure | [4] | 2,463,000,000 | |||||||
Excess Of Loss Reinsurance [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net Debt Service Outstanding | 275,000,000 | 0 | |||||||
Structured Finance [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net Debt Service Outstanding | 31,938,000,000 | 41,915,000,000 | |||||||
Public Finance [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net Debt Service Outstanding | $ 433,621,000,000 | 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 | $ 13,913,000,000 | [2] | 15,183,000,000 | ||||||
Net Par Outstanding, European Exposure | [4] | 806,000,000 | |||||||
AAA [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net par amount outstanding | 15,598,000,000 | [2] | 20,837,000,000 | ||||||
Ireland [Member] | Mortgage Loans on Real Estate [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net Debt Service Outstanding | 38,000,000 | 102,000,000 | |||||||
United States [Member] | RMBS [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net par amount outstanding | 5,879,000,000 | 7,067,000,000 | |||||||
United States [Member] | Structured Finance [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net par amount outstanding | 24,387,000,000 | [1],[2] | 31,770,000,000 | [3] | |||||
United States [Member] | Public Finance [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net par amount outstanding | 258,650,000,000 | [1],[2] | 291,866,000,000 | [3] | |||||
United States [Member] | BIG [Member] | RMBS [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net par amount outstanding | 3,296,000,000 | 3,973,000,000 | |||||||
United States [Member] | BIG [Member] | Structured Finance [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net par amount outstanding | 4,341,000,000 | [2] | 5,469,000,000 | ||||||
United States [Member] | BIG [Member] | Public Finance [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net par amount outstanding | 7,594,000,000 | [2] | 7,784,000,000 | ||||||
United States [Member] | AAA [Member] | Structured Finance [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net par amount outstanding | 11,187,000,000 | [2] | 14,366,000,000 | ||||||
United States [Member] | AAA [Member] | Public Finance [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net par amount outstanding | 2,182,000,000 | [2] | 3,053,000,000 | ||||||
Select European Countries [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Insured Financial Obligations Indirect Economic Exposure, Calculated Exposure | 175,000,000 | ||||||||
Indirect European exposure | 3,400,000,000 | ||||||||
Greece [Member] | Pooled corporate obligations [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Insured Financial Obligations Indirect Economic Exposure, Calculated Exposure | 4,000,000 | ||||||||
Indirect European exposure | 165,000,000 | ||||||||
Puerto Rico [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net Debt Service Outstanding | 8,093,000,000 | ||||||||
Net par amount outstanding | 4,786,000,000 | $ 5,053,000,000 | |||||||
Payments Made To Public On Outstanding Principal Amounts | $ 41,000,000 | ||||||||
Puerto Rico [Member] | BIG [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net par amount outstanding | 4,800,000,000 | ||||||||
Turkey [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net Par Outstanding, European Exposure | [4] | 203,000,000 | |||||||
Turkey [Member] | Diversified Payment Rights [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net Par Outstanding, European Exposure | 203,000,000 | ||||||||
Turkey [Member] | BIG [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net Par Outstanding, European Exposure | [4] | 0 | |||||||
Commitment to Provide Guarantees [Member] | Public Finance [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Outstanding commitments to provide guaranties | 1,200,000,000 | ||||||||
Commitments due before expiration date | $ 918,000,000 | ||||||||
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 | Oct. 1, 2016 | ||||||||
Minimum [Member] | BIG [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Constant discount rate (as a percent) | 4.00% | ||||||||
Maximum [Member] | Excess Of Loss Reinsurance [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net Debt Service Outstanding | $ 1,000,000,000 | ||||||||
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% | ||||||||
PRHTA (Highway revenue) [Member] | Puerto Rico [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Obligations secured by taxes on crude oil, unfinished oil and derivative products | $ 120,000,000 | ||||||||
AGM [Member] | PREPA [Member] | Puerto Rico [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Bonds issued in settlement | $ 26,000,000 | ||||||||
PREPA [Member] | AGM and AGC [Member] | Puerto Rico [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Payment On Outstanding Principal Amount | 74,000,000 | ||||||||
PRASA (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 | ||||||||
Surety Bond [Member] | AGC [Member] | Restructuring Support Agreement [Member] | PREPA [Member] | Puerto Rico [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Possible liquidity claims, gross exposure | 14,000,000 | ||||||||
Surety Bond [Member] | AGM [Member] | Restructuring Support Agreement [Member] | PREPA [Member] | Puerto Rico [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Possible liquidity claims, gross exposure | 99,000,000 | ||||||||
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 | ||||||||
Bridge Loan [Member] | AGC [Member] | Restructuring Support Agreement [Member] | PREPA [Member] | Puerto Rico [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Guarantor obligations, debt financing amount | 2,000,000 | ||||||||
Bridge Loan [Member] | AGM [Member] | Restructuring Support Agreement [Member] | PREPA [Member] | Puerto Rico [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Guarantor obligations, debt financing amount | $ 13,000,000 | ||||||||
CIFG Holding Inc. [Member] | |||||||||
Schedule of Insured Financial Obligations [Line Items] | |||||||||
Net par amount outstanding | $ 3,700,000,000 | ||||||||
[1] | As of September 30, 2016, excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | ||||||||
[2] | The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG. | ||||||||
[3] | As of December 31, 2015, excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | ||||||||
[4] | While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. |
Expected Loss to be Paid - Net
Expected Loss to be Paid - Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Rollforward (Details) - USD ($) $ in Millions | Jul. 01, 2016 | Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 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 | $ 1,326 | $ 1,326 | $ 1,510 | $ 1,391 | [1] | $ 1,169 | |||
Net expected loss to be paid on acquisitions | 22 | 22 | 190 | ||||||
Economic loss development after recoveries for R&W | (44) | (3) | 37 | 186 | |||||
Accretion of discount | 5 | 10 | 20 | 24 | |||||
Changes in discount rates | (29) | 11 | 79 | (29) | |||||
Changes in timing and assumptions | (20) | (24) | (62) | 191 | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (214) | (200) | (360) | (238) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 1,090 | [1] | 1,307 | $ 1,090 | [1] | 1,307 | |||
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 | 3 | 7 | $ 12 | 16 | |||||
Expected LAE to be paid | 12 | 12 | $ 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 | (44) | (3) | 37 | 186 | |||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 1,090 | 1,090 | |||||||
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 | 1,000 | 1,000 | 657 | 809 | [1] | 348 | |||
Net expected loss to be paid on acquisitions | 42 | 42 | 85 | ||||||
Economic loss development after recoveries for R&W | 8 | 91 | 216 | 321 | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (196) | (18) | (213) | (24) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 854 | [1] | 730 | 854 | [1] | 730 | |||
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 | 963 | 963 | 613 | 771 | [1] | 303 | |||
Net expected loss to be paid on acquisitions | 40 | 40 | 81 | ||||||
Economic loss development after recoveries for R&W | 9 | 92 | 218 | 327 | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (196) | (18) | (213) | (24) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 816 | [1] | 687 | 816 | [1] | 687 | |||
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 | 37 | 37 | 44 | 38 | [1] | 45 | |||
Net expected loss to be paid on acquisitions | 2 | 2 | 4 | ||||||
Economic loss development after recoveries for R&W | (1) | (1) | (2) | (6) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 0 | 0 | 0 | 0 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 38 | [1] | 43 | 38 | [1] | 43 | |||
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 | 192 | 192 | 524 | 409 | [1] | 584 | |||
Net expected loss to be paid on acquisitions | (22) | (22) | 4 | ||||||
Economic loss development after recoveries for R&W | (27) | (76) | (139) | (104) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 5 | (113) | (100) | (149) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 148 | [1] | 335 | 148 | [1] | 335 | |||
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 | 78 | 78 | 521 | 348 | [1] | 595 | |||
Net expected loss to be paid on acquisitions | 0 | 0 | 3 | ||||||
Economic loss development after recoveries for R&W | (17) | (89) | (127) | (117) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (4) | (123) | (164) | (172) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 57 | [1] | 309 | 57 | [1] | 309 | |||
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 | 3 | 3 | 1 | (2) | [1] | 4 | |||
Net expected loss to be paid on acquisitions | 0 | 0 | 0 | ||||||
Economic loss development after recoveries for R&W | 0 | 0 | 0 | (1) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 0 | (1) | 5 | (3) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 3 | [1] | 0 | 3 | [1] | 0 | |||
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 | (96) | (96) | 265 | 127 | [1] | 304 | |||
Net expected loss to be paid on acquisitions | 0 | 0 | 7 | ||||||
Economic loss development after recoveries for R&W | 3 | (111) | (51) | (132) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 5 | (108) | (164) | (133) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | (88) | [1] | 46 | (88) | [1] | 46 | |||
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 | (56) | (56) | (18) | (28) | [1] | (16) | |||
Net expected loss to be paid on acquisitions | 0 | 0 | 0 | ||||||
Economic loss development after recoveries for R&W | (3) | (4) | (34) | (3) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 3 | 6 | 6 | 3 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | (56) | [1] | (16) | (56) | [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 | 227 | 227 | 273 | 251 | [1] | 303 | |||
Net expected loss to be paid on acquisitions | 0 | 0 | (4) | ||||||
Economic loss development after recoveries for R&W | (17) | 26 | (42) | 19 | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (12) | (20) | (11) | (39) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 198 | [1] | 279 | 198 | [1] | 279 | |||
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 | 114 | 114 | 3 | 61 | [1] | (11) | |||
Net expected loss to be paid on acquisitions | (22) | (22) | 1 | ||||||
Economic loss development after recoveries for R&W | (10) | 13 | (12) | 13 | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 9 | 10 | 64 | 23 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 91 | [1] | 26 | 91 | [1] | 26 | |||
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 | 100 | 100 | 165 | 99 | [1] | 161 | |||
Net expected loss to be paid on acquisitions | 0 | 0 | 0 | ||||||
Economic loss development after recoveries for R&W | (23) | 1 | (21) | 8 | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (23) | (68) | (24) | (71) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 54 | [1] | 98 | 54 | [1] | 98 | |||
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 | 31 | 31 | 58 | 54 | [1] | 68 | |||
Net expected loss to be paid on acquisitions | 0 | 0 | 0 | ||||||
Economic loss development after recoveries for R&W | 0 | (2) | (15) | (7) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 0 | 0 | (8) | (5) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 31 | [1] | 56 | 31 | [1] | 56 | |||
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 | 3 | 3 | 106 | 20 | [1] | 8 | |||
Net expected loss to be paid on acquisitions | 2 | 2 | 101 | ||||||
Economic loss development after recoveries for R&W | (2) | (17) | (4) | (32) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 0 | (1) | (15) | 11 | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 3 | [1] | 88 | 3 | [1] | 88 | |||
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 | 326 | 326 | 853 | 582 | [1] | 821 | |||
Net expected loss to be paid on acquisitions | (20) | (20) | 105 | ||||||
Economic loss development after recoveries for R&W | (52) | (94) | (179) | (135) | |||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (18) | (182) | (147) | (214) | ||||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 236 | [1] | 577 | 236 | [1] | 577 | |||
CIFG Holding Inc. [Member] | |||||||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||||||
Net expected loss to be paid on acquisitions | 22 | 0 | 22 | 0 | |||||
CIFG Holding Inc. [Member] | Public Finance [Member] | United States [Member] | |||||||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||||||
Net expected loss to be paid on acquisitions | $ 40 | ||||||||
Radian [Member] | |||||||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||||||
Net expected loss to be paid on acquisitions | $ 0 | $ 0 | $ 0 | $ 190 | |||||
[1] | Includes expected LAE to be paid of $12 million as of September 30, 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 $3 million and $7 million in LAE for Third Quarter 2016 and 2015, respectively, and $12 million and $16 million in LAE for Nine Months 2016 and 2015, respectively. |
Expected Loss to be Paid - Ne58
Expected Loss to be Paid - Net Expected Recoveries from Breaches of R&W Rollforward (Details) - RMBS [Member] - United States [Member] - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Schedule of Expected Losses to be Paid [Line Items] | |||
Future net R&W benefit | [1] | $ (37) | $ 79 |
First Lien [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Future net R&W benefit | [1] | (87) | 0 |
Second Lien [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Future net R&W benefit | [1] | $ 50 | $ 79 |
[1] | The Company’s agreements with R&W providers generally provide that, as the Company makes claim payments, the R&W providers reimburse it for those claims; if the Company later receives reimbursement through the transaction (for example, from excess spread), the Company repays 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 paying in claims on transactions covered by R&W settlement agreements, the Company will have a net R&W payable. |
Expected Loss to be Paid - Ne59
Expected Loss to be Paid - Net Expected Loss to be Paid and Net Economic Loss Development by Accounting Model (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||||||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Jun. 30, 2016 | 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 | $ 1,090 | [1] | $ 1,307 | $ 1,090 | [1] | $ 1,307 | $ 1,326 | $ 1,391 | [1] | $ 1,510 | $ 1,169 | |
Economic loss development after recoveries for R&W | (44) | (3) | 37 | 186 | ||||||||
Subtotal [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | 1,090 | 1,090 | 1,391 | |||||||||
Economic loss development after recoveries for R&W | (44) | (3) | 37 | 186 | ||||||||
Public Finance [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | 854 | [1] | 730 | 854 | [1] | 730 | 1,000 | 809 | [1] | 657 | 348 | |
Economic loss development after recoveries for R&W | 8 | 91 | 216 | 321 | ||||||||
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 | 816 | [1] | 687 | 816 | [1] | 687 | 963 | 771 | [1] | 613 | 303 | |
Economic loss development after recoveries for R&W | 9 | 92 | 218 | 327 | ||||||||
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 | 38 | [1] | 43 | 38 | [1] | 43 | 37 | 38 | [1] | 44 | 45 | |
Economic loss development after recoveries for R&W | (1) | (1) | (2) | (6) | ||||||||
RMBS [Member] | United States [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | 148 | [1] | 335 | 148 | [1] | 335 | 192 | 409 | [1] | 524 | 584 | |
Economic loss development after recoveries for R&W | (27) | (76) | (139) | (104) | ||||||||
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 | 57 | [1] | 309 | 57 | [1] | 309 | 78 | 348 | [1] | 521 | 595 | |
Economic loss development after recoveries for R&W | (17) | (89) | (127) | (117) | ||||||||
RMBS [Member] | First Lien [Member] | Prime [Member] | United States [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | 3 | [1] | 0 | 3 | [1] | 0 | 3 | (2) | [1] | 1 | 4 | |
Economic loss development after recoveries for R&W | 0 | 0 | 0 | (1) | ||||||||
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 | (88) | [1] | 46 | (88) | [1] | 46 | (96) | 127 | [1] | 265 | 304 | |
Economic loss development after recoveries for R&W | 3 | (111) | (51) | (132) | ||||||||
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 | (56) | [1] | (16) | (56) | [1] | (16) | (56) | (28) | [1] | (18) | (16) | |
Economic loss development after recoveries for R&W | (3) | (4) | (34) | (3) | ||||||||
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 | 198 | [1] | 279 | 198 | [1] | 279 | 227 | 251 | [1] | 273 | 303 | |
Economic loss development after recoveries for R&W | (17) | 26 | (42) | 19 | ||||||||
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 | 91 | [1] | 26 | 91 | [1] | 26 | 114 | 61 | [1] | 3 | (11) | |
Economic loss development after recoveries for R&W | (10) | 13 | (12) | 13 | ||||||||
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 | 54 | [1] | 98 | 54 | [1] | 98 | 100 | 99 | [1] | 165 | 161 | |
Economic loss development after recoveries for R&W | (23) | 1 | (21) | 8 | ||||||||
Student Loan [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | 31 | [1] | 56 | 31 | [1] | 56 | 31 | 54 | [1] | 58 | 68 | |
Economic loss development after recoveries for R&W | 0 | (2) | (15) | (7) | ||||||||
Other structured finance [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | 3 | [1] | 88 | 3 | [1] | 88 | 3 | 20 | [1] | 106 | 8 | |
Economic loss development after recoveries for R&W | (2) | (17) | (4) | (32) | ||||||||
Structured Finance [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | 236 | [1] | 577 | 236 | [1] | 577 | $ 326 | 582 | [1] | $ 853 | $ 821 | |
Economic loss development after recoveries for R&W | (52) | (94) | (179) | (135) | ||||||||
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 | 977 | 977 | 1,239 | |||||||||
Economic loss development after recoveries for R&W | (35) | 67 | 66 | 286 | ||||||||
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 | 854 | 854 | 809 | |||||||||
Economic loss development after recoveries for R&W | 8 | 90 | 216 | 326 | ||||||||
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 | 816 | 816 | 771 | |||||||||
Economic loss development after recoveries for R&W | 9 | 91 | 218 | 332 | ||||||||
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 | 38 | 38 | 38 | |||||||||
Economic loss development after recoveries for R&W | (1) | (1) | (2) | (6) | ||||||||
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 | 14 | 14 | 251 | |||||||||
Economic loss development after recoveries for R&W | (17) | (19) | (114) | (35) | ||||||||
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 | (40) | (40) | 238 | |||||||||
Economic loss development after recoveries for R&W | (16) | (30) | (114) | (47) | ||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | RMBS [Member] | First Lien [Member] | Prime [Member] | United States [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | 3 | 3 | 2 | |||||||||
Economic loss development after recoveries for R&W | 0 | 0 | 0 | 0 | ||||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | RMBS [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | (110) | (110) | 110 | |||||||||
Economic loss development after recoveries for R&W | 4 | (44) | (52) | (54) | ||||||||
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 | (52) | (52) | (27) | |||||||||
Economic loss development after recoveries for R&W | (3) | (2) | (31) | (5) | ||||||||
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 | 119 | 119 | 153 | |||||||||
Economic loss development after recoveries for R&W | (17) | 16 | (31) | 12 | ||||||||
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 | 54 | 54 | 13 | |||||||||
Economic loss development after recoveries for R&W | (1) | 11 | 0 | 12 | ||||||||
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 | 43 | 43 | 88 | |||||||||
Economic loss development after recoveries for R&W | (23) | (1) | (21) | 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 | 31 | 31 | 54 | |||||||||
Economic loss development after recoveries for R&W | 0 | (2) | (15) | (7) | ||||||||
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 | 35 | 35 | 37 | |||||||||
Economic loss development after recoveries for R&W | (3) | (1) | 0 | (2) | ||||||||
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 | 123 | 123 | 430 | |||||||||
Economic loss development after recoveries for R&W | (43) | (23) | (150) | (40) | ||||||||
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] | 108 | 108 | 136 | ||||||||
Economic loss development after recoveries for R&W | [3] | (3) | 9 | (6) | 10 | |||||||
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 | 0 | ||||||||
Economic loss development after recoveries for R&W | [3] | 0 | 0 | 0 | 0 | |||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Public Finance [Member] | United States [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | [2] | 0 | 0 | 0 | ||||||||
Economic loss development after recoveries for R&W | [3] | 0 | 0 | 0 | 0 | |||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Public Finance [Member] | Non United States [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | [2] | 0 | 0 | 0 | ||||||||
Economic loss development after recoveries for R&W | [3] | 0 | 0 | 0 | 0 | |||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | United States [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | [2] | 107 | 107 | 120 | ||||||||
Economic loss development after recoveries for R&W | [3] | (2) | 9 | (4) | 10 | |||||||
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] | 65 | 65 | 76 | ||||||||
Economic loss development after recoveries for R&W | [3] | (1) | 7 | 0 | 9 | |||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | First Lien [Member] | 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 | 0 | ||||||||
Economic loss development after recoveries for R&W | [3] | 0 | 0 | 0 | 0 | |||||||
Financial Guaranty Variable Interest Entities and Other [Member] | RMBS [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | [2] | 20 | 20 | 17 | ||||||||
Economic loss development after recoveries for R&W | [3] | (1) | 0 | 2 | (1) | |||||||
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 | 0 | ||||||||
Economic loss development after recoveries for R&W | [3] | 0 | 0 | 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] | 45 | 45 | 59 | ||||||||
Economic loss development after recoveries for R&W | [3] | 0 | 7 | (2) | 10 | |||||||
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] | 42 | 42 | 44 | ||||||||
Economic loss development after recoveries for R&W | [3] | (1) | 2 | (4) | 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 | 0 | ||||||||
Economic loss development after recoveries for R&W | [3] | 0 | 0 | 0 | 0 | |||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Student Loan [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | [2] | 0 | 0 | 0 | ||||||||
Economic loss development after recoveries for R&W | [3] | 0 | 0 | 0 | 0 | |||||||
Financial Guaranty Variable Interest Entities and Other [Member] | Other structured finance [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | [2] | 1 | 1 | 16 | ||||||||
Economic loss development after recoveries for R&W | [3] | (1) | 0 | (2) | 0 | |||||||
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] | 108 | 108 | 136 | ||||||||
Economic loss development after recoveries for R&W | [3] | (3) | 9 | (6) | 10 | |||||||
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] | 5 | 5 | 16 | ||||||||
Economic loss development after recoveries for R&W | [5] | (6) | (79) | (23) | (110) | |||||||
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 | 0 | ||||||||
Economic loss development after recoveries for R&W | [5] | 0 | 1 | 0 | (5) | |||||||
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 | 0 | ||||||||
Economic loss development after recoveries for R&W | [5] | 0 | 1 | 0 | (5) | |||||||
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 | 0 | ||||||||
Economic loss development after recoveries for R&W | [5] | 0 | 0 | 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] | 27 | 27 | 38 | ||||||||
Economic loss development after recoveries for R&W | [5] | (8) | (66) | (21) | (79) | |||||||
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] | 32 | 32 | 34 | ||||||||
Economic loss development after recoveries for R&W | [5] | 0 | (66) | (13) | (79) | |||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | RMBS [Member] | First Lien [Member] | 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] | 0 | 0 | (4) | ||||||||
Economic loss development after recoveries for R&W | [5] | 0 | 0 | 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] | 2 | 2 | 0 | ||||||||
Economic loss development after recoveries for R&W | [5] | 0 | (67) | (1) | (77) | |||||||
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] | (4) | (4) | (1) | ||||||||
Economic loss development after recoveries for R&W | [5] | 0 | (2) | (3) | 2 | |||||||
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] | 34 | 34 | 39 | ||||||||
Economic loss development after recoveries for R&W | [5] | 0 | 3 | (9) | (3) | |||||||
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] | (5) | (5) | 4 | ||||||||
Economic loss development after recoveries for R&W | [5] | (8) | 0 | (8) | 0 | |||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Triple-X Life Insurance Transaction [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | [4] | 11 | 11 | 11 | ||||||||
Economic loss development after recoveries for R&W | [5] | 0 | 2 | 0 | 4 | |||||||
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 | 0 | ||||||||
Economic loss development after recoveries for R&W | [5] | 0 | 0 | 0 | 0 | |||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Other structured finance [Member] | ||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||
Net expected loss to be paid after recoveries for R&W | [4] | (33) | (33) | (33) | ||||||||
Economic loss development after recoveries for R&W | [5] | 2 | (16) | (2) | (30) | |||||||
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] | 5 | 5 | $ 16 | ||||||||
Economic loss development after recoveries for R&W | [5] | $ (6) | $ (80) | $ (23) | $ (105) | |||||||
[1] | Includes expected LAE to be paid of $12 million as of September 30, 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) | 6 Months Ended | 9 Months Ended | 12 Months Ended | |
Jun. 30, 2016 | Sep. 30, 2016 | Dec. 31, 2015 | ||
Minimum [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation rate for bankruptcy delinquent category | 25.00% | 25.00% | 25.00% | |
Maximum [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation rate for bankruptcy delinquent category | 100.00% | 100.00% | 100.00% | |
Financing Receivable, Modified in Previous 12 Months [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivable, Modified in Previous 12 Months [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivable, Modified in Previous 12 Months [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivable, Delinquent in the Previous 12 Months [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivable, Delinquent in the Previous 12 Months [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivable, Delinquent in the Previous 12 Months [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivables, 30 to 59 Days Past Due [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 45.00% | 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% | 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% | 40.00% | |
Financing Receivables, 60 to 89 Days Past Due [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 50.00% | 50.00% | 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% | 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% | 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 | 55.00% | 55.00% | 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% | 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% | 60.00% | |
Financing Receivables, Bankruptcy [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 40.00% | 40.00% | 40.00% | |
Financing Receivables, Bankruptcy [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 45.00% | 45.00% | 45.00% | |
Financing Receivables, Bankruptcy [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 50.00% | 50.00% | 50.00% | |
Financing Receivable, Foreclosure [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 65.00% | 65.00% | 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% | 65.00% | |
Financing Receivable, Foreclosure [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 70.00% | 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% | 100.00% | |
United States [Member] | Alt-A [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Period until intermediate CDR | [1] | 48 months | 48 months | 48 months |
Final CPR | [1],[2] | 15.00% | 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% | 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% | 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] | 70.00% | 70.00% | 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% | 0.10% | 1.70% |
Intermediate CDR | [1] | 0.20% | 0.00% | 0.30% |
Final CDR | [1] | 0.00% | 0.00% | 0.10% |
Initial CPR | [1] | 3.50% | 1.80% | 2.70% |
United States [Member] | Alt-A [Member] | Maximum [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 27.00% | 20.80% | 26.40% |
Intermediate CDR | [1] | 5.40% | 4.20% | 5.30% |
Final CDR | [1] | 1.30% | 1.00% | 1.30% |
Initial CPR | [1] | 29.30% | 26.60% | 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] | 6.10% | 6.00% | 6.40% |
Intermediate CDR | [1] | 1.20% | 1.20% | 1.30% |
Final CDR | [1] | 0.30% | 0.30% | 0.30% |
Initial CPR | [1] | 11.00% | 10.70% | 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 | 48 months |
Final CPR | [1],[2] | 15.00% | 15.00% | 15.00% |
United States [Member] | Option ARM [Member] | 2005 and prior [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 60.00% | 60.00% | 60.00% |
United States [Member] | Option ARM [Member] | 2006 [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 70.00% | 70.00% | 70.00% |
United States [Member] | Option ARM [Member] | 2007 [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 75.00% | 75.00% | 65.00% |
United States [Member] | Option ARM [Member] | Minimum [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 3.20% | 3.40% | 3.50% |
Intermediate CDR | [1] | 0.60% | 0.70% | 0.70% |
Final CDR | [1] | 0.20% | 0.20% | 0.20% |
Initial CPR | [1] | 2.00% | 1.70% | 1.50% |
United States [Member] | Option ARM [Member] | Maximum [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 10.10% | 9.10% | 10.30% |
Intermediate CDR | [1] | 2.00% | 1.80% | 2.10% |
Final CDR | [1] | 0.50% | 0.50% | 0.50% |
Initial CPR | [1] | 13.20% | 14.40% | 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] | 7.40% | 7.10% | 7.80% |
Intermediate CDR | [1] | 1.50% | 1.40% | 1.60% |
Final CDR | [1] | 0.30% | 0.30% | 0.40% |
Initial CPR | [1] | 5.70% | 6.80% | 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 | 48 months |
Final CPR | [1],[2] | 15.00% | 15.00% | 15.00% |
United States [Member] | Subprime [Member] | 2005 and prior [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 80.00% | 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% | 90.00% |
United States [Member] | Subprime [Member] | 2007 [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 90.00% | 90.00% | 90.00% |
United States [Member] | Subprime [Member] | Minimum [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 4.40% | 4.50% | 4.70% |
Intermediate CDR | [1] | 0.90% | 0.90% | 0.90% |
Final CDR | [1] | 0.20% | 0.20% | 0.20% |
Initial CPR | [1] | 0.60% | 0.40% | 0.00% |
United States [Member] | Subprime [Member] | Maximum [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 12.70% | 12.80% | 13.20% |
Intermediate CDR | [1] | 2.50% | 2.60% | 2.60% |
Final CDR | [1] | 0.60% | 0.60% | 0.70% |
Initial CPR | [1] | 11.30% | 12.10% | 10.10% |
United States [Member] | Subprime [Member] | Weighted Average [Member] | RMBS [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 8.50% | 8.20% | 9.50% |
Intermediate CDR | [1] | 1.70% | 1.60% | 1.90% |
Final CDR | [1] | 0.40% | 0.40% | 0.40% |
Initial CPR | [1] | 4.90% | 5.20% | 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 | 6 years 9 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 | 6 Months Ended | 9 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Sep. 30, 2016 | Dec. 31, 2015 | |||
Minimum [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Liquidation rate for bankruptcy delinquent category | 25.00% | 25.00% | 25.00% | ||
Maximum [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Liquidation rate for bankruptcy delinquent category | 100.00% | 100.00% | 100.00% | ||
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 | 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] | 2.50% | 5.10% | 4.90% | |
Final CDR | [1] | 0.50% | 0.50% | 0.50% | |
Initial CPR | [1],[2] | 11.00% | 11.50% | 10.90% | |
Final CPR | [1],[2] | 10.00% | 15.00% | 10.00% | |
Loss severity | [1] | 98.00% | 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] | 26.30% | 20.60% | 23.50% | |
Final CDR | [1] | 3.20% | 3.20% | 3.20% | |
Initial CPR | 15.40% | 17.70% | |||
Final CPR | [1],[2] | 15.40% | 17.70% | 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] | 12.60% | 13.00% | 10.30% | |
Final CDR | [1] | 1.20% | 1.20% | 1.20% | |
Initial CPR | [1] | 11.10% | 12.90% | ||
Final CPR | [1],[2] | 13.30% | 15.30% | 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 | 48 months | |
Final CPR | [3],[4] | 15.00% | 15.00% | 15.00% | |
RMBS [Member] | United States [Member] | Subprime [Member] | Minimum [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Plateau CDR | [3] | 4.40% | 4.50% | 4.70% | |
Final CDR | [3] | 0.20% | 0.20% | 0.20% | |
Initial CPR | [3] | 0.60% | 0.40% | 0.00% | |
RMBS [Member] | United States [Member] | Subprime [Member] | Maximum [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Plateau CDR | [3] | 12.70% | 12.80% | 13.20% | |
Final CDR | [3] | 0.60% | 0.60% | 0.70% | |
Initial CPR | [3] | 11.30% | 12.10% | 10.10% | |
RMBS [Member] | United States [Member] | Subprime [Member] | Weighted Average [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Plateau CDR | [3] | 8.50% | 8.20% | 9.50% | |
Final CDR | [3] | 0.40% | 0.40% | 0.40% | |
Initial CPR | [3] | 4.90% | 5.20% | 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% | 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% | 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% | 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 | 6 years 9 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) | Jul. 01, 2016USD ($) | Feb. 04, 2015USD ($) | Sep. 30, 2016USD ($)Transaction | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($)TransactionCounterpartyCurvePaymentscenario | Sep. 30, 2015USD ($) | Dec. 31, 2015USD ($)scenario | Jun. 30, 2016USD ($) | Jun. 30, 2015USD ($) | Dec. 31, 2014USD ($) | Jan. 15, 2013USD ($) | Nov. 26, 2012USD ($) | May 31, 2012USD ($)Transaction | ||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Period of insured credit performance of guaranteed obligations (in some cases over) | 30 years | ||||||||||||||||
Net par amount outstanding | $ 315,325,000,000 | [1],[2] | $ 315,325,000,000 | [1],[2] | $ 358,571,000,000 | [3] | |||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 1,090,000,000 | [4] | $ 1,307,000,000 | 1,090,000,000 | [4] | $ 1,307,000,000 | $ 1,391,000,000 | [4] | $ 1,326,000,000 | $ 1,510,000,000 | $ 1,169,000,000 | ||||||
Net expected loss to be paid on Radian Asset portfolio | 22,000,000 | 22,000,000 | 190,000,000 | ||||||||||||||
Economic loss development after recoveries for R&W | $ (44,000,000) | (3,000,000) | $ 37,000,000 | 186,000,000 | |||||||||||||
Minimum [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Discount factor (as a percent) | 0.00% | 0.00% | |||||||||||||||
Liquidation rate for bankruptcy delinquent category | 25.00% | 25.00% | 25.00% | 25.00% | |||||||||||||
Maximum [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Discount factor (as a percent) | 2.42% | 3.25% | |||||||||||||||
Liquidation rate for bankruptcy delinquent category | 100.00% | 100.00% | 100.00% | 100.00% | |||||||||||||
Puerto Rico [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | $ 4,786,000,000 | $ 4,786,000,000 | $ 5,053,000,000 | ||||||||||||||
RMBS [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 5,879,000,000 | 5,879,000,000 | 7,067,000,000 | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 148,000,000 | [4] | 335,000,000 | 148,000,000 | [4] | 335,000,000 | 409,000,000 | [4] | $ 192,000,000 | 524,000,000 | 584,000,000 | ||||||
Net expected loss to be paid on Radian Asset portfolio | (22,000,000) | (22,000,000) | 4,000,000 | ||||||||||||||
Economic loss development after recoveries for R&W | (27,000,000) | (76,000,000) | (139,000,000) | (104,000,000) | |||||||||||||
Future net R&W benefit | [5] | $ (37,000,000) | $ (37,000,000) | $ 79,000,000 | |||||||||||||
Guarantor obligations, aggregate lifetime collateral losses, number of counterparties with collateralized by eligible assets held in trust | Counterparty | 2 | ||||||||||||||||
RMBS [Member] | United States [Member] | Subprime [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Final CPR | [6],[7] | 15.00% | 15.00% | 15.00% | 15.00% | ||||||||||||
RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Final CPR | [6],[7] | 15.00% | 15.00% | 15.00% | 15.00% | ||||||||||||
RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Final CPR | [6],[7] | 15.00% | 15.00% | 15.00% | 15.00% | ||||||||||||
RMBS [Member] | United States [Member] | Minimum [Member] | HELOCs [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Final CPR | [8],[9] | 15.00% | 15.00% | 10.00% | 10.00% | ||||||||||||
RMBS [Member] | United States [Member] | Maximum [Member] | HELOCs [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Final CPR | [8],[9] | 17.70% | 17.70% | 15.00% | 15.40% | ||||||||||||
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 | $ 2,557,000,000 | $ 2,557,000,000 | $ 4,379,000,000 | ||||||||||||||
Other structured finance [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 16,517,000,000 | 16,517,000,000 | 21,114,000,000 | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 3,000,000 | [4] | 88,000,000 | 3,000,000 | [4] | 88,000,000 | 20,000,000 | [4] | $ 3,000,000 | 106,000,000 | 8,000,000 | ||||||
Net expected loss to be paid on Radian Asset portfolio | 2,000,000 | 2,000,000 | 101,000,000 | ||||||||||||||
Economic loss development after recoveries for R&W | (2,000,000) | (17,000,000) | (4,000,000) | (32,000,000) | |||||||||||||
Triple-X Life Insurance Transaction [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 2,060,000,000 | 2,060,000,000 | 2,750,000,000 | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 54,000,000 | [4] | 98,000,000 | 54,000,000 | [4] | 98,000,000 | 99,000,000 | [4] | 100,000,000 | 165,000,000 | 161,000,000 | ||||||
Net expected loss to be paid on Radian Asset portfolio | 0 | 0 | 0 | ||||||||||||||
Economic loss development after recoveries for R&W | (23,000,000) | 1,000,000 | (21,000,000) | 8,000,000 | |||||||||||||
Student Loan [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 1,423,000,000 | 1,423,000,000 | 1,818,000,000 | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 31,000,000 | [4] | 56,000,000 | 31,000,000 | [4] | 56,000,000 | 54,000,000 | [4] | 31,000,000 | 58,000,000 | 68,000,000 | ||||||
Net expected loss to be paid on Radian Asset portfolio | 0 | 0 | 0 | ||||||||||||||
Economic loss development after recoveries for R&W | 0 | (2,000,000) | (15,000,000) | (7,000,000) | |||||||||||||
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 | 3,000,000 | 3,000,000 | |||||||||||||||
Economic loss development after recoveries for R&W | (2,000,000) | 4,000,000 | |||||||||||||||
Public Finance [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 854,000,000 | [4] | 730,000,000 | 854,000,000 | [4] | 730,000,000 | 809,000,000 | [4] | 1,000,000,000 | 657,000,000 | 348,000,000 | ||||||
Net expected loss to be paid on Radian Asset portfolio | 42,000,000 | 42,000,000 | 85,000,000 | ||||||||||||||
Economic loss development after recoveries for R&W | 8,000,000 | 91,000,000 | 216,000,000 | 321,000,000 | |||||||||||||
Public Finance [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 258,650,000,000 | [1],[2] | 258,650,000,000 | [1],[2] | 291,866,000,000 | [3] | |||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 816,000,000 | [4] | 687,000,000 | 816,000,000 | [4] | 687,000,000 | 771,000,000 | [4] | 963,000,000 | 613,000,000 | 303,000,000 | ||||||
Net expected loss to be paid on Radian Asset portfolio | 40,000,000 | 40,000,000 | 81,000,000 | ||||||||||||||
Economic loss development after recoveries for R&W | 9,000,000 | 92,000,000 | 218,000,000 | 327,000,000 | |||||||||||||
Public Finance Stockton Pension Oblgiation Bonds [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 113,000,000 | 113,000,000 | |||||||||||||||
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 | 366,000,000 | 366,000,000 | |||||||||||||||
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 | 80,000,000 | 80,000,000 | |||||||||||||||
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 | 35,000,000 | 35,000,000 | |||||||||||||||
Economic loss development after recoveries for R&W | 1,000,000 | 2,000,000 | |||||||||||||||
Guarantor Obligations, Group One [Member] | Deutsche Bank [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Number of claims agreed on to be reimbursed | Transaction | 8 | ||||||||||||||||
BIG [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 13,913,000,000 | [2] | 13,913,000,000 | [2] | 15,183,000,000 | ||||||||||||
BIG [Member] | Puerto Rico [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 4,800,000,000 | 4,800,000,000 | |||||||||||||||
BIG [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 3,296,000,000 | 3,296,000,000 | 3,973,000,000 | ||||||||||||||
BIG [Member] | Trust Preferred Securities (TruPS) [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 555,000,000 | 555,000,000 | 806,000,000 | ||||||||||||||
BIG [Member] | Other structured finance [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 803,000,000 | 803,000,000 | 863,000,000 | ||||||||||||||
BIG [Member] | Triple-X Life Insurance Transaction [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | $ 126,000,000 | $ 126,000,000 | 216,000,000 | ||||||||||||||
Insured financial obligations, transactions related BIG | Transaction | 2 | 2 | |||||||||||||||
BIG [Member] | Student Loan [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | $ 109,000,000 | $ 109,000,000 | 163,000,000 | ||||||||||||||
BIG [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 7,594,000,000 | [2] | 7,594,000,000 | [2] | 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 | 252,000,000 | 252,000,000 | |||||||||||||||
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 | 57,000,000 | [4] | 309,000,000 | 57,000,000 | [4] | 309,000,000 | 348,000,000 | [4] | 78,000,000 | 521,000,000 | 595,000,000 | ||||||
Net expected loss to be paid on Radian Asset portfolio | 0 | 0 | 3,000,000 | ||||||||||||||
Economic loss development after recoveries for R&W | $ (17,000,000) | (89,000,000) | $ (127,000,000) | (117,000,000) | |||||||||||||
Number of delinquent payments | Payment | 2 | ||||||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | ||||||||||||||||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 12 months | ||||||||||||||||
Intermediate conditional default rate (as a percent) | 5.00% | 5.00% | |||||||||||||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | ||||||||||||||||
Future net R&W benefit | [5] | $ (87,000,000) | $ (87,000,000) | 0 | |||||||||||||
First Lien [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 3,136,000,000 | 3,136,000,000 | 3,457,000,000 | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 198,000,000 | [4] | 279,000,000 | 198,000,000 | [4] | 279,000,000 | 251,000,000 | [4] | 227,000,000 | 273,000,000 | 303,000,000 | ||||||
Net expected loss to be paid on Radian Asset portfolio | 0 | 0 | (4,000,000) | ||||||||||||||
Economic loss development after recoveries for R&W | (17,000,000) | 26,000,000 | (42,000,000) | 19,000,000 | |||||||||||||
First Lien [Member] | RMBS [Member] | United States [Member] | Prime [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 217,000,000 | 217,000,000 | 445,000,000 | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 3,000,000 | [4] | 0 | 3,000,000 | [4] | 0 | (2,000,000) | [4] | 3,000,000 | 1,000,000 | 4,000,000 | ||||||
Net expected loss to be paid on Radian Asset portfolio | 0 | 0 | 0 | ||||||||||||||
Economic loss development after recoveries for R&W | 0 | 0 | 0 | (1,000,000) | |||||||||||||
First Lien [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 172,000,000 | 172,000,000 | 252,000,000 | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | (56,000,000) | [4] | (16,000,000) | (56,000,000) | [4] | (16,000,000) | (28,000,000) | [4] | (56,000,000) | (18,000,000) | (16,000,000) | ||||||
Net expected loss to be paid on Radian Asset portfolio | 0 | 0 | 0 | ||||||||||||||
Economic loss development after recoveries for R&W | (3,000,000) | (4,000,000) | (34,000,000) | (3,000,000) | |||||||||||||
First Lien [Member] | RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 1,047,000,000 | 1,047,000,000 | 1,353,000,000 | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | (88,000,000) | [4] | 46,000,000 | (88,000,000) | [4] | 46,000,000 | 127,000,000 | [4] | (96,000,000) | 265,000,000 | 304,000,000 | ||||||
Net expected loss to be paid on Radian Asset portfolio | 0 | 0 | 7,000,000 | ||||||||||||||
Economic loss development after recoveries for R&W | $ 3,000,000 | (111,000,000) | $ (51,000,000) | (132,000,000) | |||||||||||||
First Lien [Member] | Base Scenario [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
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% | ||||||||||||||||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 6 years 9 months | ||||||||||||||||
Default from delinquentor rate, term | 36 months | ||||||||||||||||
Guarantor obligations, default period currently performing | 36 months | ||||||||||||||||
Projected loss assumptions, loss severity, subsequent period | 18 months | ||||||||||||||||
Estimated loss severity rate, one through six months (as a percent) | 18 months | ||||||||||||||||
Loss severity (as a percent) | 40.00% | 40.00% | |||||||||||||||
Projected loss assumptions, period to reach final loss severity rate | 2 years 6 months | ||||||||||||||||
Final CPR | 15.00% | 15.00% | |||||||||||||||
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 | $ 38,000,000 | ||||||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | RMBS [Member] | United States [Member] | 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% | 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 | $ 6,000,000 | ||||||||||||||||
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% | 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 | $ 51,000,000 | ||||||||||||||||
First Lien [Member] | More Stressful Environment [Member] | RMBS [Member] | United States [Member] | Prime [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | 400,000 | ||||||||||||||||
First Lien [Member] | More Stressful Environment [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | 12,000,000 | ||||||||||||||||
First Lien [Member] | More Stressful Environment [Member] | RMBS [Member] | United States [Member] | Alt-A [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | 30,000,000 | ||||||||||||||||
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] | Prime [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (15,000) | ||||||||||||||||
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 | (21,000,000) | ||||||||||||||||
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 | $ (5,000,000) | ||||||||||||||||
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] | 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] | 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 | (32,000,000) | ||||||||||||||||
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 | (17,000,000) | ||||||||||||||||
First Lien [Member] | Bank of America [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Maximum loss up to which loss sharing percentage applicable | $ 6,600,000,000 | 6,600,000,000 | |||||||||||||||
Collateral losses | $ 4,500,000,000 | $ 4,500,000,000 | |||||||||||||||
Agreed reimbursement of R&W, percentage | 80.00% | 80.00% | |||||||||||||||
First Lien [Member] | Bank of America [Member] | Base Scenario [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Collateral losses | $ 5,200,000,000 | $ 5,200,000,000 | |||||||||||||||
Assets held under trust for reimbursement payment | $ 593,000,000 | $ 593,000,000 | |||||||||||||||
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% | 85.00% | |||||||||||||||
Guarantor obligations, number of future losses transactions reimbursed | Transaction | 3 | ||||||||||||||||
Assets held under trust for reimbursement payment | $ 38,000,000 | $ 38,000,000 | |||||||||||||||
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 | 1,166,000,000 | 1,166,000,000 | 1,304,000,000 | ||||||||||||||
First Lien [Member] | BIG [Member] | RMBS [Member] | United States [Member] | Prime [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 141,000,000 | 141,000,000 | 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 | 87,000,000 | 87,000,000 | 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 | 598,000,000 | 598,000,000 | 793,000,000 | ||||||||||||||
Second Lien [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 1,307,000,000 | 1,307,000,000 | 1,560,000,000 | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 91,000,000 | [4] | 26,000,000 | 91,000,000 | [4] | 26,000,000 | $ 61,000,000 | [4] | $ 114,000,000 | $ 3,000,000 | $ (11,000,000) | ||||||
Net expected loss to be paid on Radian Asset portfolio | (22,000,000) | (22,000,000) | 1,000,000 | ||||||||||||||
Economic loss development after recoveries for R&W | $ (10,000,000) | 13,000,000 | $ (12,000,000) | 13,000,000 | |||||||||||||
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 | 6 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 | ||||||||||||||||
Period of constant conditional default rate (in months) | 1 month | ||||||||||||||||
Loss recovery assumption (as a percent) | 2.00% | 2.00% | 2.00% | 2.00% | |||||||||||||
Number of conditional default rate curves modeled in estimating losses | Curve | 5 | ||||||||||||||||
Future net R&W benefit | [5] | $ 50,000,000 | $ 50,000,000 | $ 79,000,000 | |||||||||||||
Monthly delinquency threshold | 5 months | ||||||||||||||||
Second Lien [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit and Closed-end Mortgage [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Final CPR | 15.00% | 15.00% | 15.00% | 15.00% | |||||||||||||
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 | $ 44,000,000 | ||||||||||||||||
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 | $ 26,000,000 | ||||||||||||||||
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 | ||||||||||||||||
Loss sharing percentage, first layer | 80.00% | ||||||||||||||||
Second Lien [Member] | BIG [Member] | RMBS [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | $ 1,304,000,000 | 1,304,000,000 | $ 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 | 20,000,000 | $ 20,000,000 | |||||||||||||||
Payment time period on annual debt service | 2 years | ||||||||||||||||
CIFG Holding Inc. [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 3,700,000,000 | $ 3,700,000,000 | |||||||||||||||
Net expected loss to be paid on Radian Asset portfolio | 22,000,000 | 0 | 22,000,000 | 0 | |||||||||||||
CIFG Holding Inc. [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net expected loss to be paid on Radian Asset portfolio | $ 40,000,000 | ||||||||||||||||
Radian [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net expected loss to be paid on Radian Asset portfolio | 0 | 0 | 0 | 190,000,000 | |||||||||||||
Healthcare [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 12,400,000,000 | 12,400,000,000 | |||||||||||||||
Healthcare [Member] | BIG [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Net par amount outstanding | 246,000,000 | 246,000,000 | |||||||||||||||
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 | [10] | 27,000,000 | 27,000,000 | 38,000,000 | |||||||||||||
Economic loss development after recoveries for R&W | [11] | (8,000,000) | (66,000,000) | (21,000,000) | (79,000,000) | ||||||||||||
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 | [10] | (33,000,000) | (33,000,000) | (33,000,000) | |||||||||||||
Economic loss development after recoveries for R&W | [11] | 2,000,000 | (16,000,000) | (2,000,000) | (30,000,000) | ||||||||||||
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 | [10] | 11,000,000 | 11,000,000 | 11,000,000 | |||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | 2,000,000 | 0 | 4,000,000 | ||||||||||||
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 | [10] | 0 | 0 | 0 | |||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | 0 | 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 | [10] | 0 | 0 | 0 | |||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | 1,000,000 | 0 | (5,000,000) | ||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | United States [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [10] | 0 | 0 | 0 | |||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | 1,000,000 | 0 | (5,000,000) | ||||||||||||
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 | [10] | 32,000,000 | 32,000,000 | 34,000,000 | |||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | (66,000,000) | (13,000,000) | (79,000,000) | ||||||||||||
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 | [10] | 34,000,000 | 34,000,000 | 39,000,000 | |||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | 3,000,000 | (9,000,000) | (3,000,000) | ||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | First Lien [Member] | RMBS [Member] | United States [Member] | Prime [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [10] | 0 | 0 | (4,000,000) | |||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | 0 | 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 | [10] | (4,000,000) | (4,000,000) | (1,000,000) | |||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | (2,000,000) | (3,000,000) | 2,000,000 | ||||||||||||
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 | [10] | 2,000,000 | 2,000,000 | 0 | |||||||||||||
Economic loss development after recoveries for R&W | [11] | 0 | (67,000,000) | (1,000,000) | (77,000,000) | ||||||||||||
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 | [10] | (5,000,000) | (5,000,000) | $ 4,000,000 | |||||||||||||
Economic loss development after recoveries for R&W | [11] | $ (8,000,000) | $ 0 | $ (8,000,000) | $ 0 | ||||||||||||
ACA 2005-2 Collateralized Debt Obligations [Member] | CIFG Holding Inc. [Member] | Credit Default Swap [Member] | Financial Guarantee Accounted for as Credit Derivatives [Member] | CIFG Holdings Inc. vs JP Morgan Securities LLC [Member] | RMBS [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 400,000,000 | ||||||||||||||||
Libertas II Collateralized Debt Obligations [Member] | CIFG Holding Inc. [Member] | Credit Default Swap [Member] | Financial Guarantee Accounted for as Credit Derivatives [Member] | CIFG Holdings Inc. vs JP Morgan Securities LLC [Member] | RMBS [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 325,000,000 | ||||||||||||||||
Class A-1 Note [Member] | Domestic Corporate Debt Securities [Member] | CIFG Holding Inc. [Member] | CIFG Holding Inc. vs Goldman, Sachs & Co [Member] | RMBS [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 325,000,000 | ||||||||||||||||
Class A-2 Note [Member] | Domestic Corporate Debt Securities [Member] | CIFG Holding Inc. [Member] | CIFG Holding Inc. vs Goldman, Sachs & Co [Member] | RMBS [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Purchased debt securities | $ 10,000,000 | ||||||||||||||||
Positive Outcome of Litigation [Member] | CIFG Holding Inc. [Member] | CIFG Holding Inc. vs Goldman, Sachs & Co [Member] | RMBS [Member] | |||||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||||||
Awarded damages | $ 2,500,000 | ||||||||||||||||
[1] | As of September 30, 2016, excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | ||||||||||||||||
[2] | The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG. | ||||||||||||||||
[3] | As of December 31, 2015, excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | ||||||||||||||||
[4] | Includes expected LAE to be paid of $12 million as of September 30, 2016 and $12 million as of December 31, 2015. | ||||||||||||||||
[5] | The Company’s agreements with R&W providers generally provide that, as the Company makes claim payments, the R&W providers reimburse it for those claims; if the Company later receives reimbursement through the transaction (for example, from excess spread), the Company repays the R&W providers. See the section “Breaches of Representations and Warranties” for information about the R&W agreements and eligible assets held in trust with respect to such agreements. When the Company projects receiving more reimbursements in the future than it projects paying in claims on transactions covered by R&W settlement agreements, the Company will have a net R&W payable. | ||||||||||||||||
[6] | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. | ||||||||||||||||
[7] | Represents variables for most heavily weighted scenario (the “base case”). | ||||||||||||||||
[8] | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. | ||||||||||||||||
[9] | Represents variables for most heavily weighted scenario (the “base case”). | ||||||||||||||||
[10] | Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. | ||||||||||||||||
[11] | Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Financial Guaranty Insurance -
Financial Guaranty Insurance - Narrative (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |||
Guarantor Obligations [Line Items] | |||||
Net par amount outstanding | $ 315,325 | [1],[2] | $ 358,571 | [3] | |
Guaranteed investment contract, aggregate accreted balance | 1,600 | ||||
Assets of GIC issuers, aggregate market value | $ 900 | ||||
Variable Rate Demand Obligation [Member] | |||||
Guarantor Obligations [Line Items] | |||||
Rate basis for bank bond rate | prime rate | ||||
Bonds held by bank, minimum installment payment period | 5 years | ||||
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 | 2.42% | 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] | Maximum [Member] | AGM [Member] | |||||
Guarantor Obligations [Line Items] | |||||
Increase in losses as a result of an adverse outcome, minimum | $ 191 | ||||
Termination of Swap Obligation due to Further Rating Downgrade [Member] | Maximum [Member] | AGM [Member] | |||||
Guarantor Obligations [Line Items] | |||||
Increase in losses as a result of an adverse outcome, minimum | 439 | ||||
Variable Rate Demand Obligation [Member] | AGM and AGC [Member] | |||||
Guarantor Obligations [Line Items] | |||||
Net par amount outstanding | 5,300 | ||||
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 | 52.00% | 50.00% | 52.00% | ||
[1] | As of September 30, 2016, excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. | ||||
[2] | The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG. | ||||
[3] | As of December 31, 2015, excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. |
Financial Guaranty Insurance 64
Financial Guaranty Insurance - Net Earned Premiums (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Financial Guarantee Insurance Premiums [Line Items] | |||||
Scheduled net earned premiums | $ 101 | $ 104 | $ 285 | $ 318 | |
Accelerations | |||||
Refundings | 105 | 77 | 267 | 213 | |
Terminations | 21 | 28 | 65 | 29 | |
Total Accelerations | 126 | 105 | 332 | 242 | |
Accretion of discount on net premiums receivable | 4 | 4 | 11 | 13 | |
Financial guaranty insurance net earned premiums | 231 | 213 | 628 | 573 | |
Other | 0 | 0 | 0 | 1 | |
Net | [1] | 231 | 213 | 628 | 574 |
Variable Interest Entity, Primary Beneficiary [Member] | |||||
Accelerations | |||||
Net | $ 4 | $ 6 | $ 12 | $ 16 | |
[1] | Excludes $4 million and $6 million for Third Quarter 2016 and 2015, respectively, and $12 million and $16 million for Nine Months 2016 and 2015, respectively, related to consolidated FG VIEs. |
Financial Guaranty Insurance 65
Financial Guaranty Insurance - Components of Unearned Premium Reserve (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Insurance [Abstract] | |||
Deferred premium revenue, gross | $ 3,710 | $ 4,008 | |
Deferred premium revenue, ceded | 217 | 238 | |
Deferred premium revenue, net | [1] | 3,493 | 3,770 |
Contra-paid, gross | [2] | (42) | (12) |
Contra-paid, ceded | [2] | (4) | (6) |
Contra-paid, net | [1],[2] | (38) | (6) |
Unearned premium reserve, gross | 3,668 | 3,996 | |
Unearned premium reserve, ceded | 213 | 232 | |
Unearned premium reserve, net | [1] | 3,455 | 3,764 |
Total net unearned premium reserve related to FG VIE | 93 | 110 | |
Contra-paid related to FG VIE | $ 28 | $ 30 | |
[1] | Excludes $93 million and $110 million of deferred premium revenue, and $28 million and $30 million of contra-paid related to FG VIEs as of September 30, 2016 and December 31, 2015, respectively. | ||
[2] | See "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" below for an explanation of "contra-paid". |
Financial Guaranty Insurance 66
Financial Guaranty Insurance - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) - USD ($) $ in Millions | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | ||
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | |||
Beginning of period | $ 693 | $ 729 | |
Premiums receivable from acquisitions (see Note 2) | 18 | 2 | |
Gross written premiums on new business, net of commissions on assumed business | 111 | 103 | |
Gross premiums received, net of commissions on assumed business | (155) | (140) | |
Adjustments: | |||
Changes in the expected term | (39) | (11) | |
Accretion of discount, net of commissions on assumed business | 5 | 15 | |
Foreign exchange translation | (25) | (18) | |
Consolidation/deconsolidation of FG VIEs | 0 | (4) | |
End of period | [1] | 608 | 676 |
Variable Interest Entity, Primary Beneficiary [Member] | |||
Adjustments: | |||
End of period | $ 11 | $ 23 | |
[1] | Excludes $11 million and $23 million as of September 30, 2016 and September 30, 2015, respectively, related to consolidated FG VIEs. |
Financial Guaranty Insurance 67
Financial Guaranty Insurance - Expected Collections of Gross Premiums Receivable Net of Commissions on Assumed Business (Details) $ in Millions | Sep. 30, 2016USD ($) | |
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
2016 (October 1 – December 31) | $ 25 | |
2,017 | 70 | |
2,018 | 60 | |
2,019 | 54 | |
2,020 | 52 | |
2021-2025 | 207 | |
2026-2030 | 135 | |
2031-2035 | 95 | |
After 2,035 | 75 | |
Total | 773 | [1] |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
Cash collections on FG VIEs | $ 14 | |
[1] | Excludes expected cash collections on FG VIEs of $14 million |
Financial Guaranty Insurance 68
Financial Guaranty Insurance - Scheduled Net Earned Premiums Insurance Contracts (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Financial Guarantee Insurance Premiums [Line Items] | |||
Deferred premium revenue, net | [1] | $ 3,493 | $ 3,770 |
Financial Guarantee Insurance Product Line [Member] | |||
Financial Guarantee Insurance Premiums [Line Items] | |||
2016 (October 1 – December 31) | 96 | ||
2,017 | 344 | ||
2,018 | 309 | ||
2,019 | 274 | ||
2,020 | 249 | ||
2021-2025 | 959 | ||
2026-2030 | 608 | ||
2031-2035 | 366 | ||
After 2,035 | 288 | ||
Deferred premium revenue, net | [2] | 3,493 | |
Future accretion | 154 | ||
Total future net earned premiums | 3,647 | ||
Variable Interest Entity, Primary Beneficiary [Member] | |||
Financial Guarantee Insurance Premiums [Line Items] | |||
Deferred premium revenue, net | $ 93 | ||
[1] | Excludes $93 million and $110 million of deferred premium revenue, and $28 million and $30 million of contra-paid related to FG VIEs as of September 30, 2016 and December 31, 2015, respectively. | ||
[2] | Excludes scheduled net earned premiums on consolidated FG VIEs of $93 million. |
Financial Guaranty Insurance 69
Financial Guaranty Insurance - Selected Information for Policies Paid In Installments (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | [1] | Dec. 31, 2014 | ||
Financial Guarantee Insurance Premiums [Line Items] | ||||||
Premiums receivable, net of commission payable | $ 608 | [1] | $ 693 | $ 676 | $ 729 | |
Financial Guarantee Policies Paid in Installments [Member] | ||||||
Financial Guarantee Insurance Premiums [Line Items] | ||||||
Premiums receivable, net of commission payable | 608 | 693 | ||||
Gross deferred premium revenue | $ 1,080 | $ 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 1 month 2 days | 9 years 4 months 24 days | ||||
[1] | Excludes $11 million and $23 million as of September 30, 2016 and September 30, 2015, respectively, related to consolidated FG VIEs. |
Financial Guaranty Insurance 70
Financial Guaranty Insurance - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | [1] | $ 1,004 | $ 998 |
Salvage and Subrogation Recoverable, net | [1] | 437 | 126 |
Net Reserve (Recoverable) | [1] | 567 | 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 | 1,003 | ||
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 | 1,070 | 1,072 | |
Salvage and Subrogation Recoverable, net | 437 | 126 | |
Net Reserve (Recoverable) | 633 | 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 | (66) | (74) | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | (66) | (74) | |
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 | 698 | 629 | |
Salvage and Subrogation Recoverable, net | 117 | 7 | |
Net Reserve (Recoverable) | 581 | 622 | |
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 | 36 | 82 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 36 | 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 | 27 | 48 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 27 | 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 | 372 | 443 | |
Salvage and Subrogation Recoverable, net | 315 | 116 | |
Net Reserve (Recoverable) | 57 | 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 | 1,070 | 1,072 | |
Salvage and Subrogation Recoverable, net | 432 | 123 | |
Net Reserve (Recoverable) | 638 | 949 | |
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 | 5 | 3 | |
Net Reserve (Recoverable) | (5) | (3) | |
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 | 674 | 604 | |
Salvage and Subrogation Recoverable, net | 117 | 7 | |
Net Reserve (Recoverable) | 557 | 597 | |
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 | 279 | 262 | |
Salvage and Subrogation Recoverable, net | 315 | 116 | |
Net Reserve (Recoverable) | (36) | 146 | |
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 | 24 | 25 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 24 | 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 | 195 | 230 | |
Salvage and Subrogation Recoverable, net | 254 | 63 | |
Net Reserve (Recoverable) | (59) | 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 | 84 | 32 | |
Salvage and Subrogation Recoverable, net | 61 | 53 | |
Net Reserve (Recoverable) | 23 | (21) | |
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 | 38 | 46 | |
Salvage and Subrogation Recoverable, net | 174 | 0 | |
Net Reserve (Recoverable) | (136) | 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 | 8 | 13 | |
Salvage and Subrogation Recoverable, net | 56 | 42 | |
Net Reserve (Recoverable) | (48) | (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 | 147 | 169 | |
Salvage and Subrogation Recoverable, net | 24 | 21 | |
Net Reserve (Recoverable) | $ 123 | $ 148 | |
[1] | See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. |
Financial Guaranty Insurance 71
Financial Guaranty Insurance - Components of Net Reserves (Salvage) Insurance Contracts (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Insurance [Abstract] | |||
Loss and LAE reserve | $ 1,091 | $ 1,067 | |
Reinsurance recoverable on unpaid losses | (87) | (69) | |
Loss and LAE reserve, net | [1] | 1,004 | 998 |
Salvage and subrogation recoverable | (455) | (126) | |
Salvage and subrogation payable | [2] | 23 | 3 |
Other recoverables | (5) | (3) | |
Salvage and subrogation recoverable, net and other recoverable | (437) | (126) | |
Net reserves (salvage) | $ 567 | $ 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 72
Financial Guaranty Insurance - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | |||
Guarantor Obligations [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | $ (1,090) | [1] | $ (1,326) | $ (1,391) | [1] | $ (1,307) | $ (1,510) | $ (1,169) | |
Contra-paid, net | [2],[3] | 38 | 6 | ||||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | [4] | (1,004) | (998) | ||||||
Other recoveries | 5 | 3 | |||||||
Net expected loss to be expensed | 449 | ||||||||
Variable Interest Entity, Primary Beneficiary [Member] | |||||||||
Guarantor Obligations [Line Items] | |||||||||
Net expected loss to be expensed | 70 | ||||||||
Financial Guarantee Insurance And Other Product Line [Member] | |||||||||
Guarantor Obligations [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | [5] | 977 | |||||||
Contra-paid, net | 38 | ||||||||
Salvage and subrogation recoverable, net of reinsurance | 432 | ||||||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (1,003) | ||||||||
Other recoveries | 5 | ||||||||
Net expected loss to be expensed | [6] | 449 | |||||||
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 | $ 66 | $ 74 | |||||||
[1] | Includes expected LAE to be paid of $12 million as of September 30, 2016 and $12 million as of December 31, 2015. | ||||||||
[2] | Excludes $93 million and $110 million of deferred premium revenue, and $28 million and $30 million of contra-paid related to FG VIEs as of September 30, 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 $70 million as of September 30, 2016, related to consolidated FG VIEs. |
Financial Guaranty Insurance 73
Financial Guaranty Insurance - Net Expected Loss to be Expensed Insurance Contracts (Details) $ in Millions | Sep. 30, 2016USD ($) |
Insurance [Abstract] | |
2016 (October 1 – December 31) | $ 8 |
Subtotal 2,016 | 8 |
2,017 | 37 |
2,018 | 37 |
2,019 | 33 |
2,020 | 31 |
2021-2025 | 129 |
2026-2030 | 95 |
2031-2035 | 56 |
After 2,035 | 23 |
Net expected loss to be expensed | 449 |
Future accretion | 242 |
Total expected future loss and LAE | $ 691 |
Financial Guaranty Insurance 74
Financial Guaranty Insurance - Loss and LAE Reported on the Statements of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | $ (9) | $ 112 | $ 183 | $ 318 |
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 | (9) | 122 | 187 | 335 |
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 0 | (10) | (4) | (17) |
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 | 20 | 87 | 232 | 302 |
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 | 20 | 89 | 233 | 298 |
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 | (2) | (1) | 4 |
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) | 31 | (3) | 29 |
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 | (24) | 7 | (22) | 14 |
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 | 0 | (2) | (14) | (7) |
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 | (3) | (1) | (6) | (3) |
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 | (29) | 35 | (45) | 33 |
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 | (5) | 12 | (23) | 0 |
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 | 3 | 19 | 20 | 29 |
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 | 1 | 0 | 0 | (1) |
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 | (1) | (15) | 10 | (26) |
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 | 1 | (4) | (20) | (5) |
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 | $ (6) | $ 31 | $ (13) | $ 32 |
Financial Guaranty Insurance 75
Financial Guaranty Insurance - BIG Transaction Loss Summary (Details) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2016USD ($)risk | Dec. 31, 2015USD ($)risk | ||
Discount | |||
Total | $ (242) | ||
Reserves (salvage) | |||
Total | $ 567 | $ 872 | |
BIG [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[2],[3] | 402 | 419 |
Remaining weighted average contract period | |||
Total (in years) | 10 years 2 months 4 days | 10 years 8 months 4 days | |
Principal | |||
Total | [3] | $ 12,834 | $ 13,574 |
Interest | |||
Total | 6,759 | 7,419 | |
Total net outstanding exposure | |||
Total | [4] | 19,593 | 20,993 |
Expected cash outflows (inflows) | |||
Total | 2,305 | 2,510 | |
Potential recoveries | |||
Total, Undiscounted R&W | 82 | (54) | |
Total, Other | [5] | (1,168) | (985) |
Total | (1,086) | (1,039) | |
Subtotal | |||
Total | 1,219 | 1,471 | |
Discount | |||
Total | (242) | (232) | |
Present value of expected cash flows | |||
Net expected loss to be paid | 977 | 1,239 | |
Deferred premium revenue | |||
Total | 791 | 734 | |
Reserves (salvage) | |||
Total | $ 566 | $ 857 | |
BIG [Member] | BIG 1 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[3] | 182 | 202 |
Principal | |||
Total | [3] | $ 4,470 | $ 7,019 |
BIG [Member] | BIG 2 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[3] | 76 | 85 |
Principal | |||
Total | [3] | $ 3,861 | $ 3,655 |
BIG [Member] | BIG 3 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[3] | 144 | 132 |
Principal | |||
Total | [3] | $ 4,503 | $ 2,900 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [2] | 402 | 419 |
Remaining weighted average contract period | |||
Total (in years) | 10 years 2 months 4 days | 10 years 8 months 4 days | |
Principal | |||
Total | $ 12,834 | $ 13,574 | |
Interest | |||
Total | 6,759 | 7,419 | |
Total net outstanding exposure | |||
Total | [4] | 19,593 | 20,993 |
Expected cash outflows (inflows) | |||
Total | 2,631 | 2,853 | |
Potential recoveries | |||
Total, Undiscounted R&W | 82 | (61) | |
Total, Other | [5] | (1,368) | (1,167) |
Total | (1,286) | (1,228) | |
Subtotal | |||
Total | 1,345 | 1,625 | |
Discount | |||
Total | (261) | (266) | |
Present value of expected cash flows | |||
Net expected loss to be paid | 1,084 | 1,359 | |
Deferred premium revenue | |||
Total | 881 | 834 | |
Reserves (salvage) | |||
Total | $ 632 | $ 931 | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 1 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [2] | 182 | 202 |
Ceded (in contracts) | risk | [2] | (39) | (46) |
Remaining weighted average contract period | |||
Gross (in years) | 9 years 1 month 2 days | 10 years | |
Ceded (in years) | 7 years 4 months 8 days | 8 years 8 months 4 days | |
Principal | |||
Gross | $ 4,813 | $ 7,751 | |
Ceded | (343) | (732) | |
Interest | |||
Gross | 2,326 | 4,109 | |
Ceded | (154) | (354) | |
Total net outstanding exposure | |||
Gross | [4] | 7,139 | 11,860 |
Ceded | [4] | (497) | (1,086) |
Expected cash outflows (inflows) | |||
Gross | 210 | 386 | |
Ceded | (21) | (42) | |
Total | (266) | 105 | |
Potential recoveries | |||
Gross, Undiscounted R&W | 138 | 69 | |
Ceded, Undiscounted R&W | (3) | (2) | |
Gross, Other | [5] | (668) | (372) |
Ceded, Other | [5] | 29 | 12 |
Gross | (530) | (303) | |
Ceded | 26 | 10 | |
Subtotal | |||
Gross | (320) | 83 | |
Ceded | 5 | (32) | |
Discount | |||
Gross | 54 | 22 | |
Ceded | (3) | 5 | |
Present value of expected cash flows | |||
Ceded | 2 | (27) | |
Deferred premium revenue | |||
Gross | 172 | 371 | |
Ceded | (5) | (37) | |
Reserves (salvage) | |||
Gross | (325) | 2 | |
Ceded | $ 5 | $ (19) | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 2 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [2] | 76 | 85 |
Ceded (in contracts) | risk | [2] | (10) | (13) |
Remaining weighted average contract period | |||
Gross (in years) | 13 years 6 months | 13 years 9 months 6 days | |
Ceded (in years) | 10 years 9 months 6 days | 9 years 6 months | |
Principal | |||
Gross | $ 4,277 | $ 3,895 | |
Ceded | (416) | (240) | |
Interest | |||
Gross | 2,973 | 2,805 | |
Ceded | (224) | (110) | |
Total net outstanding exposure | |||
Gross | [4] | 7,250 | 6,700 |
Ceded | [4] | (640) | (350) |
Expected cash outflows (inflows) | |||
Gross | 1,302 | 1,158 | |
Ceded | (86) | (60) | |
Total | 926 | 705 | |
Potential recoveries | |||
Gross, Undiscounted R&W | (2) | (49) | |
Ceded, Undiscounted R&W | 0 | 1 | |
Gross, Other | [5] | (125) | (167) |
Ceded, Other | [5] | 3 | 8 |
Gross | (127) | (216) | |
Ceded | 3 | 9 | |
Subtotal | |||
Gross | 1,175 | 942 | |
Ceded | (83) | (51) | |
Discount | |||
Gross | (249) | (237) | |
Ceded | 14 | 11 | |
Present value of expected cash flows | |||
Ceded | (69) | (40) | |
Deferred premium revenue | |||
Gross | 256 | 150 | |
Ceded | (6) | (4) | |
Reserves (salvage) | |||
Gross | 749 | 591 | |
Ceded | $ (64) | $ (38) | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 3 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [2] | 144 | 132 |
Ceded (in contracts) | risk | [2] | (48) | (44) |
Remaining weighted average contract period | |||
Gross (in years) | 8 years 1 month 2 days | 7 years 8 months 4 days | |
Ceded (in years) | 6 years | 5 years 10 months 8 days | |
Principal | |||
Gross | $ 4,834 | $ 3,087 | |
Ceded | (331) | (187) | |
Interest | |||
Gross | 1,929 | 1,011 | |
Ceded | (91) | (42) | |
Total net outstanding exposure | |||
Gross | [4] | 6,763 | 4,098 |
Ceded | [4] | (422) | (229) |
Expected cash outflows (inflows) | |||
Gross | 1,286 | 1,464 | |
Ceded | (60) | (53) | |
Total | 605 | 734 | |
Potential recoveries | |||
Gross, Undiscounted R&W | (52) | (85) | |
Ceded, Undiscounted R&W | 1 | 5 | |
Gross, Other | [5] | (648) | (672) |
Ceded, Other | [5] | 41 | 24 |
Gross | (700) | (757) | |
Ceded | 42 | 29 | |
Subtotal | |||
Gross | 586 | 707 | |
Ceded | (18) | (24) | |
Discount | |||
Gross | 19 | 27 | |
Ceded | (96) | (94) | |
Present value of expected cash flows | |||
Ceded | (114) | (118) | |
Deferred premium revenue | |||
Gross | 496 | 386 | |
Ceded | (32) | (32) | |
Reserves (salvage) | |||
Gross | 272 | 404 | |
Ceded | (5) | (9) | |
BIG [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Expected cash outflows (inflows) | |||
Total | (326) | (343) | |
Potential recoveries | |||
Total, Undiscounted R&W | 0 | 7 | |
Total, Other | [5] | 200 | 182 |
Total | 200 | 189 | |
Subtotal | |||
Total | (126) | (154) | |
Discount | |||
Total | 19 | 34 | |
Present value of expected cash flows | |||
Net expected loss to be paid | (107) | (120) | |
Deferred premium revenue | |||
Total | (90) | (100) | |
Reserves (salvage) | |||
Total | $ (66) | $ (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 | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2016USD ($)sourceSecurity | Dec. 31, 2015USD ($) | Jun. 30, 2016 | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Percentage of CDS contracts which are fair valued using minimum premium | 25.00% | 20.00% | 16.00% | |
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] | 9.00% | 13.00% | |
Based on market indices [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Gross spread percentage | [1] | 76.00% | 73.00% | |
Provided by the CDS counterparty [Member] | ||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||
Gross spread percentage | [1] | 15.00% | 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 | $ 56 | $ 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 | 83 | |||
Fixed maturity securities | $ 1,175 | |||
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) | 0.87% | 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) | 1.85% | 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 | 10.40% | |||
[1] | Based on par. |
Fair Value Measurement - Financ
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Assets: | |||
Fixed-maturity securities | $ 11,280 | $ 11,023 | |
Other invested assets | 165 | 169 | |
Credit derivative assets | 28 | 81 | |
Liabilities: | |||
Credit derivative liabilities | 509 | 446 | |
Investment funds, fair value | 48 | 45 | |
Recurring [Member] | |||
Assets: | |||
Other invested assets | [1] | 12 | 12 |
Credit derivative assets | 28 | 81 | |
FG VIEs’ assets, at fair value | 877 | 1,261 | |
Other assets | 62 | 106 | |
Total assets carried at fair value | 12,259 | 12,483 | |
Liabilities: | |||
Credit derivative liabilities | 509 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 832 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 153 | 124 | |
Total liabilities carried at fair value | 1,494 | 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 | 23 | 23 | |
Total assets carried at fair value | 392 | 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] | 4 | 5 |
Credit derivative assets | 0 | 0 | |
FG VIEs’ assets, at fair value | 0 | 0 | |
Other assets | 27 | 21 | |
Total assets carried at fair value | 9,767 | 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] | 8 | 7 |
Credit derivative assets | 28 | 81 | |
FG VIEs’ assets, at fair value | 877 | 1,261 | |
Other assets | 12 | 62 | |
Total assets carried at fair value | 2,100 | 2,555 | |
Liabilities: | |||
Credit derivative liabilities | 509 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 832 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 153 | 124 | |
Total liabilities carried at fair value | 1,494 | 1,795 | |
Fixed Maturities [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,752 | 10,627 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,669 | 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 | 1,775 | 1,520 | |
Fixed Maturities [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | [2] | 1,105 | 1,245 |
Fixed Maturities [Member] | CMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | [2] | 649 | 513 |
Fixed Maturities [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 892 | 825 | |
Fixed Maturities [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 257 | 283 | |
Fixed Maturities [Member] | Recurring [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,752 | 10,627 | |
Fixed Maturities [Member] | Recurring [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,669 | 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 | 1,775 | 1,520 | |
Fixed Maturities [Member] | Recurring [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,105 | 1,245 | |
Fixed Maturities [Member] | Recurring [Member] | CMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 649 | 513 | |
Fixed Maturities [Member] | Recurring [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 892 | 825 | |
Fixed Maturities [Member] | Recurring [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 257 | 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 | 9,577 | 9,543 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,626 | 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 | 1,717 | 1,449 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 722 | 897 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | CMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 649 | 513 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 201 | 168 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 257 | 283 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,175 | 1,084 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 43 | 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 | 58 | 71 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | RMBS [Member] | |||
Assets: | |||
Fixed-maturity securities | 383 | 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 | 691 | 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 | 528 | 396 | |
Short-term Investments [Member] | Recurring [Member] | |||
Assets: | |||
Fixed-maturity securities | 528 | 396 | |
Short-term Investments [Member] | Recurring [Member] | Level 1 [Member] | |||
Assets: | |||
Fixed-maturity securities | 369 | 305 | |
Short-term Investments [Member] | Recurring [Member] | Level 2 [Member] | |||
Assets: | |||
Fixed-maturity securities | 159 | 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 $48 million and $45 million as of September 30, 2016 and December 31, 2015, respectively, measured using NAV per share. Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. | ||
[2] | Government-agency obligations were approximately 44% of mortgage backed securities as of September 30, 2016 and 54% as of December 31, 2015 based on fair value. |
Fair Value Measurement - Fair V
Fair Value Measurement - Fair Value Level 3 Rollforward Recurring Basis (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||||
Short-term Investments [Member] | |||||||
Fair Value Level 3 Rollforward | |||||||
Fair value at beginning of period | $ 0 | $ 0 | $ 60 | $ 0 | |||
Acquisitions | 0 | 0 | 0 | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | |||||||
Net Income (loss) | [1] | 0 | 8 | 0 | 8 | [2] | |
Other comprehensive income (loss) | [1] | 0 | (4) | 0 | (4) | ||
Purchases | 0 | 52 | [3] | 0 | 52 | [3] | |
Settlements | 0 | (6) | (60) | (6) | |||
FG VIE Consolidations | 0 | 0 | 0 | 0 | |||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | |||
Transfers into Level 3 | 0 | 0 | |||||
Fair value at end of period | 0 | 50 | 0 | 50 | |||
Change in unrealized gains/(losses) related to financial instruments held | 0 | (4) | 0 | (4) | |||
FG VIEs' assets, at fair value [Member] | |||||||
Fair Value Level 3 Rollforward | |||||||
Fair value at beginning of period | 814 | 1,596 | 1,261 | 1,398 | |||
Acquisitions | 0 | 0 | 122 | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | |||||||
Net Income (loss) | [1],[4] | 20 | (11) | 129 | 31 | ||
Other comprehensive income (loss) | [1] | 0 | 0 | 0 | 0 | ||
Purchases | 0 | 0 | 0 | 0 | |||
Settlements | (34) | (44) | (590) | (114) | |||
FG VIE Consolidations | 97 | 0 | 97 | 104 | |||
FG VIE deconsolidations | (20) | 0 | (20) | 0 | |||
Transfers into Level 3 | 0 | 0 | |||||
Fair value at end of period | 877 | 1,541 | 877 | 1,541 | |||
Change in unrealized gains/(losses) related to financial instruments held | 29 | 3 | 44 | 68 | |||
Other Assets and Other Invested Assets [Member] | |||||||
Fair Value Level 3 Rollforward | |||||||
Fair value at beginning of period | [5] | 38 | 64 | 65 | 37 | ||
Acquisitions | [5] | 0 | 0 | 2 | |||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | |||||||
Net Income (loss) | [1],[5],[6] | (23) | (16) | (50) | 9 | ||
Other comprehensive income (loss) | [1],[5] | 0 | 0 | 0 | 0 | ||
Purchases | [5] | 0 | 0 | 0 | 0 | ||
Settlements | [5] | 0 | 0 | 0 | 0 | ||
FG VIE Consolidations | [5] | 0 | 0 | 0 | 0 | ||
FG VIE deconsolidations | [5] | 0 | 0 | 0 | 0 | ||
Transfers into Level 3 | [5] | 0 | 0 | ||||
Fair value at end of period | [5] | 15 | 48 | 15 | 48 | ||
Change in unrealized gains/(losses) related to financial instruments held | [5] | (23) | (15) | (50) | 10 | ||
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | |||||||
Fair Value Level 3 Rollforward | |||||||
Fair value at beginning of period | 41 | 7 | 8 | 38 | |||
Acquisitions | 1 | 1 | 0 | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | |||||||
Net Income (loss) | [1],[2] | 1 | 0 | 1 | 3 | ||
Other comprehensive income (loss) | [1] | 0 | 1 | 1 | (2) | ||
Purchases | 0 | 0 | 33 | 0 | |||
Settlements | 0 | 0 | (1) | (31) | [3] | ||
FG VIE Consolidations | 0 | 0 | 0 | 0 | |||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | |||
Transfers into Level 3 | 0 | 0 | |||||
Fair value at end of period | 43 | 8 | 43 | 8 | |||
Change in unrealized gains/(losses) related to financial instruments held | 0 | 0 | 1 | 0 | |||
Corporate securities [Member] | Fixed Maturities [Member] | |||||||
Fair Value Level 3 Rollforward | |||||||
Fair value at beginning of period | 58 | 77 | 71 | 79 | |||
Acquisitions | 0 | 0 | 0 | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | |||||||
Net Income (loss) | [1],[2] | 0 | 2 | 4 | 1 | ||
Other comprehensive income (loss) | [1] | 0 | 0 | (17) | (1) | ||
Purchases | 0 | 0 | 0 | 0 | |||
Settlements | 0 | 0 | 0 | 0 | |||
FG VIE Consolidations | 0 | 0 | 0 | 0 | |||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | |||
Transfers into Level 3 | 0 | 0 | |||||
Fair value at end of period | 58 | 79 | 58 | 79 | |||
Change in unrealized gains/(losses) related to financial instruments held | 0 | 0 | (17) | (1) | |||
RMBS [Member] | Fixed Maturities [Member] | |||||||
Fair Value Level 3 Rollforward | |||||||
Fair value at beginning of period | 349 | 335 | 348 | 425 | |||
Acquisitions | 20 | 20 | 4 | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | |||||||
Net Income (loss) | [1],[2] | 3 | 0 | 5 | 17 | ||
Other comprehensive income (loss) | [1] | 2 | (3) | 0 | (7) | ||
Purchases | 24 | 38 | 64 | 48 | |||
Settlements | (15) | (9) | (54) | (125) | |||
FG VIE Consolidations | 0 | 0 | 0 | (1) | |||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | |||
Transfers into Level 3 | 0 | 0 | |||||
Fair value at end of period | 383 | 361 | 383 | 361 | |||
Change in unrealized gains/(losses) related to financial instruments held | 1 | (3) | (1) | (5) | |||
Asset-backed Securities [Member] | Fixed Maturities [Member] | |||||||
Fair Value Level 3 Rollforward | |||||||
Fair value at beginning of period | 564 | 236 | 657 | 228 | |||
Acquisitions | 36 | 36 | 0 | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | |||||||
Net Income (loss) | [1],[2] | 9 | (5) | 20 | (4) | ||
Other comprehensive income (loss) | [1] | 47 | (8) | 37 | 1 | ||
Purchases | 53 | 212 | 53 | 212 | |||
Settlements | (40) | 0 | (134) | (2) | |||
FG VIE Consolidations | 0 | 0 | 0 | 0 | |||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | |||
Transfers into Level 3 | 22 | 22 | |||||
Fair value at end of period | 691 | 435 | 691 | 435 | |||
Change in unrealized gains/(losses) related to financial instruments held | 47 | (7) | 37 | 2 | |||
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 | (790) | (1,361) | (1,225) | (1,277) | |||
Acquisitions | 0 | 0 | (114) | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | |||||||
Net income (loss) | [1],[4] | (21) | 6 | (112) | 94 | ||
Other comprehensive income (loss) | [1] | 0 | 0 | 0 | 0 | ||
Purchases | 0 | 0 | 0 | 0 | |||
Settlements | 33 | 40 | 559 | 113 | |||
FG VIE consolidations | (54) | 0 | (54) | (131) | |||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | |||
Transfers into Level 3 | 0 | 0 | |||||
Fair value at end of period | (832) | (1,315) | (832) | (1,315) | |||
Change in unrealized gains/(losses) related to financial instruments held | (18) | 7 | 1 | (5) | |||
Financial Guaranty Variable Interest Liabilities without Recourse [Member] | |||||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Fair value at beginning of period | (115) | (171) | (124) | (142) | |||
Acquisitions | 0 | 0 | (4) | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | |||||||
Net income (loss) | [1],[4] | (18) | 0 | (14) | (30) | ||
Other comprehensive income (loss) | [1] | 0 | 0 | 0 | 0 | ||
Purchases | 0 | 0 | 0 | 0 | |||
Settlements | 3 | 4 | 8 | 9 | |||
FG VIE consolidations | (43) | 0 | (43) | 0 | |||
FG VIE deconsolidations | 20 | 0 | 20 | 0 | |||
Transfers into Level 3 | 0 | 0 | |||||
Fair value at end of period | (153) | (167) | (153) | (167) | |||
Change in unrealized gains/(losses) related to financial instruments held | (17) | (1) | (14) | (19) | |||
Credit Risk Contract [Member] | |||||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||||||
Fair value at start of period | [7] | (396) | (926) | (365) | (895) | ||
Acquisitions | [7] | (67) | (67) | (215) | |||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Net Derivative Asset (Liability) [Abstract] | |||||||
Net income (loss) | [1],[7],[8] | 21 | 86 | 24 | 300 | ||
Other comprehensive income (loss) | [1],[7] | 0 | 0 | 0 | 0 | ||
Purchases | [7] | 0 | 0 | 0 | 0 | ||
Settlements | [7] | (39) | (7) | (73) | (37) | ||
FG VIE consolidations | [7] | 0 | 0 | 0 | 0 | ||
FG VIE deconsolidations | [7] | 0 | 0 | 0 | 0 | ||
Transfers into Level 3 | [7] | 0 | 0 | ||||
Fair value at end of period | [7] | (481) | (847) | (481) | (847) | ||
Change in unrealized gains/(losses) related to financial instruments held | [7] | $ (5) | $ (19) | $ (104) | $ 166 | ||
[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] | Primarily non-cash transaction. | ||||||
[4] | Included in fair value gains (losses) on FG VIEs. | ||||||
[5] | Includes CCS and other invested assets. | ||||||
[6] | Recorded in fair value gains (losses) on CCS, net investment income and other income. | ||||||
[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 | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2016 | Dec. 31, 2015 | ||||
Obligations of state and political subdivisions [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 43 | [1],[2] | $ 8 | ||
Obligations of state and political subdivisions [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 4.27% | |||
Obligations of state and political subdivisions [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 24.55% | |||
Obligations of state and political subdivisions [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 12.20% | |||
Corporate securities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 58 | [1],[2] | $ 71 | [3],[4],[5] | |
Yield (as a percent) | 20.50% | [1],[2] | 21.80% | [3],[4],[5] | |
RMBS [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 383 | [1],[2] | $ 348 | [3],[4],[5] | |
RMBS [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 3.30% | [1],[2] | 4.70% | [3],[4],[5] | |
Conditional prepayment rate (as a percent) | 1.20% | [1],[2] | 0.30% | [3],[4],[5] | |
Conditional default rate (as a percent) | 1.50% | [1],[2] | 2.70% | [3],[4],[5] | |
Loss severity rate (as a percent) | 30.00% | [1],[2] | 60.00% | [3],[4],[5] | |
RMBS [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 8.00% | [1],[2] | 8.20% | [3],[4],[5] | |
Conditional prepayment rate (as a percent) | 20.00% | [1],[2] | 9.00% | [3],[4],[5] | |
Conditional default rate (as a percent) | 10.50% | [1],[2] | 9.30% | [3],[4],[5] | |
Loss severity rate (as a percent) | 100.00% | [1],[2] | 100.00% | [3],[4],[5] | |
RMBS [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 5.20% | [1],[2] | 6.00% | [3],[4],[5] | |
Conditional prepayment rate (as a percent) | 4.00% | [1],[2] | 2.60% | [3],[4],[5] | |
Conditional default rate (as a percent) | 6.80% | [1],[2] | 7.00% | [3],[4],[5] | |
Loss severity rate (as a percent) | 75.60% | [1],[2] | 74.00% | [3],[4],[5] | |
Investor-owned utilities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [3],[5] | $ 69 | |||
Cash flow receipts (as a percent) | [3],[5] | 100.00% | |||
Discount factor (as a percent) | [3],[5] | 7.00% | |||
Collateral recovery period (in years) | [3],[5] | 2 years 11 months | |||
Triple-X Life Insurance Transaction [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 392 | [1],[2] | $ 329 | [3],[5] | |
Yield (as a percent) | [1],[2] | 5.30% | |||
Triple-X Life Insurance Transaction [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [3],[5] | 3.50% | |||
Triple-X Life Insurance Transaction [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [3],[5] | 7.50% | |||
Triple-X Life Insurance Transaction [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [3],[5] | 5.00% | |||
Pooled corporate obligations [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 260 | [1],[2] | $ 259 | [3],[5] | |
Discount factor (as a percent) | 15.00% | [1],[2] | 20.00% | [3],[5] | |
CLO/TruPS [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1],[2] | $ 22 | |||
CLO/TruPS [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 1.40% | |||
CLO/TruPS [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 3.80% | |||
CLO/TruPS [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 2.20% | |||
Short-term Investments [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [3],[5] | $ 60 | |||
Yield (as a percent) | [3],[5] | 17.00% | |||
Other invested assets [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 8 | $ 7 | |||
Financial Guaranty Variable Interest Entities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 877 | [1],[2] | $ 1,261 | [3],[5] | |
Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 3.20% | [1],[2] | 1.90% | [3],[5] | |
Conditional prepayment rate (as a percent) | 3.50% | [1],[2] | 0.30% | [3],[5] | |
Conditional default rate (as a percent) | 1.20% | [1],[2] | 1.20% | [3],[5] | |
Loss severity rate (as a percent) | 50.00% | [1],[2] | 40.00% | [3],[5] | |
Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 22.10% | [1],[2] | 20.00% | [3],[5] | |
Conditional prepayment rate (as a percent) | 9.30% | [1],[2] | 9.20% | [3],[5] | |
Conditional default rate (as a percent) | 21.60% | [1],[2] | 16.00% | [3],[5] | |
Loss severity rate (as a percent) | 100.00% | [1],[2] | 100.00% | [3],[5] | |
Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 6.30% | [1],[2] | 6.40% | [3],[5] | |
Conditional prepayment rate (as a percent) | 5.50% | [1],[2] | 3.90% | [3],[5] | |
Conditional default rate (as a percent) | 5.70% | [1],[2] | 4.70% | [3],[5] | |
Loss severity rate (as a percent) | 81.80% | [1],[2] | 85.90% | [3],[5] | |
Other Assets [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 12 | [1],[2] | $ 62 | [3],[5] | |
Fair Value Inputs Term | 5 years | [1],[2] | 5 years | [3],[5] | |
Other Assets [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | $ 79 | [1],[2] | $ 44 | [3],[5] | |
Other Assets [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | 84 | [1],[2] | 46 | [3],[5] | |
Other Assets [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | $ 82 | [1],[2] | $ 45 | [3],[5] | |
[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 $8 million. | ||||
[3] | Discounted cash flow is used as valuation technique for all financial instruments. | ||||
[4] | Excludes obligations of state and political subdivisions investments with fair value of $8 million. | ||||
[5] | 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 | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 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 | $ (481) | [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) | 0.076% | 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) | 15.757% | 10.175% | ||
Hedge cost (as a percent) | 1.275% | 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) | 55.00% | [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) | 0.139% | 0.168% | ||
Bank profit (as a percent) | 0.734% | 1.108% | ||
Hedge cost (as a percent) | 0.244% | 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) | 1.40% | [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 | $ (985) | [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) | 50.00% | [1] | 40.00% | [2] |
Conditional default rate (as a percent) | 1.20% | [1] | 1.20% | [2] |
Conditional prepayment rate (as a percent) | 3.50% | [1] | 0.30% | [2] |
Yield (as a percent) | 2.90% | [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) | 21.60% | [1] | 16.00% | [2] |
Conditional prepayment rate (as a percent) | 9.30% | [1] | 9.20% | [2] |
Yield (as a percent) | 22.10% | [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) | 81.80% | [1] | 85.90% | [2] |
Conditional default rate (as a percent) | 5.70% | [1] | 4.70% | [2] |
Conditional prepayment rate (as a percent) | 5.50% | [1] | 3.90% | [2] |
Yield (as a percent) | 5.00% | [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 - Fair81
Fair Value Measurement - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | 9 Months Ended | ||
Sep. 30, 2016 | Dec. 31, 2015 | ||
Assets: | |||
Fixed-maturity securities | $ 11,280 | $ 11,023 | |
Short-term investments | 528 | 396 | |
Other invested assets | 165 | 169 | |
Credit derivative assets | 28 | 81 | |
Liabilities: | |||
Credit derivative liabilities | 509 | 446 | |
Investments not carried at fair value, carrying value | 90 | 93 | |
Carrying Amount [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,752 | 10,627 | |
Short-term investments | 528 | 396 | |
Other invested assets | [1] | 150 | 150 |
Credit derivative assets | 28 | 81 | |
FG VIEs’ assets, at fair value | 877 | 1,261 | |
Other assets | 183 | 206 | |
Liabilities: | |||
Financial guaranty insurance contracts | [2] | 3,468 | 3,998 |
Long-term debt | 1,304 | 1,300 | |
Credit derivative liabilities | 509 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 832 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 153 | 124 | |
Other liabilities | 130 | 9 | |
Estimated Fair Value [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,752 | 10,627 | |
Short-term investments | 528 | 396 | |
Other invested assets | [1] | 151 | 152 |
Credit derivative assets | 28 | 81 | |
FG VIEs’ assets, at fair value | 877 | 1,261 | |
Other assets | 183 | 206 | |
Liabilities: | |||
Financial guaranty insurance contracts | [2] | 9,232 | 8,712 |
Long-term debt | 1,603 | 1,512 | |
Credit derivative liabilities | 509 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 832 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 153 | 124 | |
Other liabilities | 130 | $ 9 | |
Other Asset Backed Securities [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | |||
Carrying amount and estimated fair value financial instruments | |||
Asset, fair value | [3],[4] | $ 17 | |
Fair Value Inputs, Discount Rate | [3],[4] | 5.80% | |
[1] | Includes investments not carried at fair value with a carrying value of $90 million and $93 million as of September 30, 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. | ||
[3] | Discounted cash flow is used as valuation technique for all financial instruments. | ||
[4] | Excludes several investments recorded in other invested assets with fair value of $8 million. |
Financial Guaranty Contracts 82
Financial Guaranty Contracts Accounted for as Credit Derivatives - Credit Derivatives Subordination and Ratings (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | [1] | $ 19,959 | $ 25,594 |
Pooled corporate obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 12,274 | $ 17,523 | |
Original Subordination (as a percent) | [2] | 26.60% | 29.20% |
Current Subordination (as a percent) | [2] | 28.40% | 32.30% |
Pooled corporate obligations [Member] | Collateralized loan obligations and collateral bond obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 2,583 | $ 5,873 | |
Original Subordination (as a percent) | [2] | 29.20% | 30.90% |
Current Subordination (as a percent) | [2] | 45.30% | 42.30% |
Pooled corporate obligations [Member] | Synthetic investment grade pooled corporate [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 7,920 | $ 7,108 | |
Original Subordination (as a percent) | [2] | 22.20% | 21.70% |
Current Subordination (as a percent) | [2] | 19.90% | 19.40% |
Pooled corporate obligations [Member] | TruPS CDOs [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 1,771 | $ 3,429 | |
Original Subordination (as a percent) | [2] | 42.20% | 45.80% |
Current Subordination (as a percent) | [2] | 41.60% | 42.60% |
Pooled corporate obligations [Member] | Market Value of CDOs of corporate obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 0 | $ 1,113 | |
Original Subordination (as a percent) | [2] | 0.00% | 17.00% |
Current Subordination (as a percent) | [2] | 0.00% | 30.10% |
RMBS [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 1,182 | $ 1,526 | |
Original Subordination (as a percent) | [2] | 25.10% | 24.10% |
Current Subordination (as a percent) | [2] | 40.30% | 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 | $ 277 | $ 351 | |
Original Subordination (as a percent) | [2] | 9.40% | 10.50% |
Current Subordination (as a percent) | [2] | 12.70% | 12.70% |
RMBS [Member] | Subprime [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 891 | $ 981 | |
Original Subordination (as a percent) | [2] | 27.80% | 27.70% |
Current Subordination (as a percent) | [2] | 45.00% | 45.20% |
RMBS [Member] | Prime [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 0 | $ 177 | |
Original Subordination (as a percent) | [2] | 0.00% | 10.90% |
Current Subordination (as a percent) | [2] | 0.00% | 0.00% |
RMBS [Member] | Closed-end [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 14 | $ 17 | |
Original Subordination (as a percent) | [2] | 0.00% | 0.00% |
Current Subordination (as a percent) | [2] | 0.00% | 0.00% |
CMBS [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 159 | $ 530 | |
Original Subordination (as a percent) | [2] | 56.90% | 44.80% |
Current Subordination (as a percent) | [2] | 78.90% | 52.60% |
Other [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 6,344 | $ 6,015 | |
Original Subordination (as a percent) | [2] | 0.00% | 0.00% |
Current Subordination (as a percent) | [2] | 0.00% | 0.00% |
CIFG Holding Inc. [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 2.3 | ||
[1] | The September 30, 2016 total amount includes $2.3 million net par outstanding of credit derivatives acquired from CIFG. | ||
[2] | Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses. |
Financial Guaranty Contracts 83
Financial Guaranty Contracts Accounted for as Credit Derivatives - Distribution of Credit Derivative Net Par Outstanding by Internal Rating (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | ||
Credit Derivatives | |||
Net Par Outstanding | [1] | $ 19,959 | $ 25,594 |
BIG [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | 1,079 | 1,609 | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 19,959 | $ 25,594 | |
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 | |||
Net Par Outstanding | $ 10,778 | $ 14,808 | |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 54.00% | 57.90% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, AA [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 4,025 | $ 4,821 | |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 20.20% | 18.80% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, A [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 2,037 | $ 2,144 | |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 10.20% | 8.40% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, BBB [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 2,040 | $ 2,212 | |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 10.20% | 8.60% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | BIG [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 1,079 | $ 1,609 | |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 5.40% | 6.30% | |
CIFG Holding Inc. [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 2.3 | ||
[1] | The September 30, 2016 total amount includes $2.3 million net par outstanding of credit derivatives acquired from CIFG. |
Financial Guaranty Contracts 84
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Change in Fair Value of Credit Derivatives Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Credit Derivatives | ||||
Realized gains on credit derivatives | $ 11 | $ 14 | $ 39 | $ 52 |
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | 4 | (8) | 8 | (17) |
Realized gains (losses) and other settlements | 15 | 6 | 47 | 35 |
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | 6 | 80 | (23) | 265 |
Net change in fair value of credit derivatives | 21 | 86 | 24 | 300 |
Pooled corporate obligations [Member] | ||||
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | 3 | (24) | (37) | 0 |
CMBS [Member] | ||||
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | 0 | (3) | 0 | 1 |
Other [Member] | ||||
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | 15 | 96 | 14 | 116 |
United States [Member] | RMBS [Member] | ||||
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | (12) | 11 | 0 | 148 |
Terminated And Settlement Of Credit Derivative Contracts [Member] | ||||
Credit Derivatives | ||||
Realized gains on credit derivatives | 3 | 0 | 11 | 13 |
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | 11 | 99 | 81 | 98 |
Net par of terminated credit derivative contracts | $ 1,071 | $ 405 | $ 3,507 | $ 969 |
Financial Guaranty Contracts 85
Financial Guaranty Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | |
Credit Derivatives | |||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ (1,020) | $ (1,448) | |||||
Plus: Effect of AGC and AGM credit spreads | 539 | 1,083 | |||||
Net fair value of credit derivatives | $ (481) | [1] | $ (365) | ||||
Credit Risk Contract, 5 Year Spread [Member] | AGC [Member] | |||||||
Credit Derivatives | |||||||
Quoted price of CDS contract (as a percent) | 1.70% | 2.65% | 3.76% | 3.31% | 3.90% | 3.23% | |
Credit Risk Contract, 5 Year Spread [Member] | AGM [Member] | |||||||
Credit Derivatives | |||||||
Quoted price of CDS contract (as a percent) | 1.70% | 2.65% | 3.66% | 3.37% | 4.10% | 3.25% | |
Credit Risk Contract, 1 Year Spread [Member] | AGC [Member] | |||||||
Credit Derivatives | |||||||
Quoted price of CDS contract (as a percent) | 0.31% | 0.45% | 1.39% | 1.12% | 1.20% | 0.80% | |
Credit Risk Contract, 1 Year Spread [Member] | AGM [Member] | |||||||
Credit Derivatives | |||||||
Quoted price of CDS contract (as a percent) | 0.31% | 0.47% | 1.31% | 1.04% | 1.25% | 0.85% | |
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Financial Guaranty Contracts 86
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Fair Value and Expected Losses of Credit Derivatives by Sector (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Credit Derivatives | |||
Fair Value of Credit Derivative Asset (Liability), net | $ (481) | [1] | $ (365) |
Expected Loss to be (Paid) Recovered | (5) | (16) | |
Pooled corporate obligations [Member] | |||
Credit Derivatives | |||
Fair Value of Credit Derivative Asset (Liability), net | (126) | (82) | |
Expected Loss to be (Paid) Recovered | (4) | (5) | |
RMBS [Member] | United States [Member] | |||
Credit Derivatives | |||
Fair Value of Credit Derivative Asset (Liability), net | (97) | (98) | |
Expected Loss to be (Paid) Recovered | (27) | (38) | |
Other [Member] | |||
Credit Derivatives | |||
Fair Value of Credit Derivative Asset (Liability), net | (258) | (185) | |
Expected Loss to be (Paid) Recovered | $ 26 | $ 27 | |
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Financial Guaranty Contracts 87
Financial Guaranty Contracts Accounted for as Credit Derivatives - Effect of Changes in Credit Spread (Details) - USD ($) $ in Millions | 9 Months Ended | |||
Sep. 30, 2016 | Dec. 31, 2015 | |||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Fair Value | [1] | $ (978) | ||
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Fair Value | [1] | (730) | ||
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Fair Value | [1] | (606) | ||
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Fair Value | [1] | (531) | ||
Base Scenario | (481) | [1] | $ (365) | |
Credit Risk Derivatives, 10 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (435) | ||
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (365) | ||
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (251) | ||
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (497) | ||
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (249) | ||
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (125) | ||
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (50) | ||
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] | 46 | ||
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | 116 | ||
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | $ 230 | ||
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Financial Guaranty Contracts 88
Financial Guaranty Contracts Accounted for as Credit Derivatives - Narrative (Details) | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2016USD ($)Transaction | Sep. 30, 2015USD ($) | Dec. 31, 2015USD ($) | May 31, 2016USD ($) | ||
Credit Derivatives | |||||
Estimated remaining weighted average life of credit derivatives (in years) | 5 years 1 month 24 days | 5 years 4 months 24 days | |||
Net par outstanding | [1] | $ 19,959,000,000 | $ 25,594,000,000 | ||
Gain due to change in methodology in expected recoveries | $ 49,000,000 | ||||
Collateral agreed to be posted | $ 130,000,000 | 305,000,000 | |||
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 | $ 12,274,000,000 | 17,523,000,000 | |||
Other pooled infrastructure [Member] | |||||
Credit Derivatives | |||||
Net par outstanding | $ 1,600,000,000 | ||||
Pooled infrastructure [Member] | |||||
Credit Derivatives | |||||
Number of transactions | Transaction | 1 | ||||
Remaining other CDS [Member] | |||||
Credit Derivatives | |||||
Net par outstanding | $ 4,700,000,000 | ||||
CMBS [Member] | |||||
Credit Derivatives | |||||
Net par outstanding | 159,000,000 | 530,000,000 | |||
Collateral Debt Obligations, Collateral Requirement [Member] | |||||
Credit Derivatives | |||||
Amount of par subject to collateral for which the amount of collateral is capped | 700,000,000 | 3,800,000,000 | $ 0 | ||
Derivative, Reduction Of Notional Amount | 3,100,000,000 | ||||
Collateral Debt Obligations, Collateral Cap Negotiated [Member] | |||||
Credit Derivatives | |||||
Amount of par subject to collateral for which the amount of collateral is capped | 600,000,000 | ||||
Collateral Debt Obligations, No Cap Negotiated [Member] | |||||
Credit Derivatives | |||||
Amount of par subject to collateral for which the amount of collateral is capped | 500,000,000 | ||||
Collateral agreed to be posted | 130,000,000 | 305,000,000 | |||
Collateral posted, based on mark-to-market valuation | 17,000,000 | 23,000,000 | |||
Notional amount subject to collateral based on movements in the mark-to-market valuation of the underlying exposure | $ 178,000,000 | $ 221,000,000 | |||
[1] | The September 30, 2016 total amount includes $2.3 million net par outstanding of credit derivatives acquired from CIFG. |
Consolidated Variable Interes89
Consolidated Variable Interest Entities - Narrative (Details) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016USD ($)Entity | Sep. 30, 2015USD ($)Entity | Sep. 30, 2016USD ($)Entity | Sep. 30, 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 | $ 0 | ||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | ||||||
Fair value gains (losses) on FG VIEs | (11,000,000) | $ 2,000,000 | 11,000,000 | $ 0 | ||
Variable Interest Entity, Primary Beneficiary [Member] | ||||||
Variable Interest Entity [Line Items] | ||||||
Net loss on consolidation | 26,000,000 | |||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | ||||||
Fair value gains (losses) on FG VIEs | $ (11,000,000) | $ 2,000,000 | $ 11,000,000 | $ 0 | ||
Number of VIE that did not require consolidation | Entity | 32 | 37 | 32 | 37 | 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 | 640 | 640 | 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 | $ 154,000,000 | $ 154,000,000 | $ 154,000,000 | |||
Difference between the aggregate unpaid principal and aggregate fair value of the VIEs' Assets | 478,000,000 | 478,000,000 | 804,000,000 | |||
Change in the instrument specific credit risk of the VIEs' assets | 1,000,000 | $ 56,000,000 | 36,000,000 | $ 25,000,000 | ||
Unpaid principal for FG VIEs’ liabilities with recourse | 909,000,000 | 909,000,000 | 1,436,000,000 | |||
Unpaid principal for FG VIEs' liabilities with and without recourse | $ 126,000,000 | $ 126,000,000 | $ 423,000,000 | |||
Maximum [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | ||||||
Fair value gains (losses) on FG VIEs | $ 1,000,000 |
Consolidated Variable Interes90
Consolidated Variable Interest Entities - Number of FG VIE's Consolidated (Details) - Variable Interest Entity, Primary Beneficiary [Member] - Entity | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | ||
Number of FG VIEs Consolidated [Roll Forward] | |||
Number of FG VIE's consolidated, beginning of period | 34 | 32 | |
Number of FG VIE's, Radian Asset acquisition | 0 | 4 | |
Number of FG VIE's consolidated | [1] | 1 | 1 |
Number of FG VIE's deconsolidated | [1] | (2) | 0 |
Number of FG VIE's, matured | (1) | 0 | |
Number of FG VIE's consolidated, end of period | 32 | 37 | |
[1] | Net loss on consolidation and deconsolidation was de minimis in Nine Months 2016, and net loss on consolidation was $26 million in Nine Months 2015, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations. |
Consolidated Variable Interes91
Consolidated Variable Interest Entities - Consolidated FG VIE's By Type of Collateral (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | $ 724 | $ 1,131 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 832 | 1,225 |
Financial guaranty variable interest entities' assets without recourse, at fair value | 153 | 130 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 153 | 124 |
Financial guaranty variable interest entities’ assets, at fair value | 877 | 1,261 |
Financial guaranty variable interest entities’ liabilities, at fair value | 985 | 1,349 |
Life Insurance [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 0 | 347 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 0 | 347 |
Manufactured Housing Loans [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 77 | 84 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 77 | 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 | 482 | 506 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 523 | 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 | 165 | 194 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | $ 232 | $ 273 |
Consolidated Variable Interes92
Consolidated Variable Interest Entities - Effect of Consolidating FG VIE's on Financial Information (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | ||
Variable Interest Entity [Line Items] | ||||||
Net earned premiums | [1] | $ 231 | $ 213 | $ 628 | $ 574 | |
Net investment income | 94 | 112 | 291 | 311 | ||
Net realized investment gains (losses) | (2) | (27) | (5) | (20) | ||
Fair value gains (losses) on FG VIEs | (11) | 2 | 11 | 0 | ||
Loss and LAE | 9 | (112) | (183) | (318) | ||
Income (loss) before income taxes | 480 | 172 | 746 | 847 | ||
Less: tax provision (benefit) | 1 | 43 | 62 | 220 | ||
Net income (loss) | 479 | 129 | 684 | 627 | ||
Net cash flows provided by (used in) operating activities | (190) | (39) | ||||
Effect on shareholders' equity (decrease) increase | 6,640 | 6,640 | $ 6,063 | |||
Variable Interest Entity, Primary Beneficiary [Member] | ||||||
Variable Interest Entity [Line Items] | ||||||
Net earned premiums | (4) | (6) | (12) | (16) | ||
Net investment income | (1) | (3) | (8) | (9) | ||
Net realized investment gains (losses) | 0 | 6 | 1 | 9 | ||
Fair value gains (losses) on FG VIEs | (11) | 2 | 11 | 0 | ||
Bargain purchase gain | 0 | 0 | 0 | 2 | ||
Loss and LAE | (1) | 11 | 3 | 18 | ||
Income (loss) before income taxes | (17) | 10 | (5) | 4 | ||
Less: tax provision (benefit) | (6) | 4 | (2) | 1 | ||
Net income (loss) | (11) | 6 | (3) | 3 | ||
Net cash flows provided by (used in) operating activities | 11 | $ 11 | 16 | $ 44 | ||
Effect on shareholders' equity (decrease) increase | $ (25) | $ (25) | $ (23) | |||
[1] | Excludes $4 million and $6 million for Third Quarter 2016 and 2015, respectively, and $12 million and $16 million for Nine Months 2016 and 2015, respectively, related to consolidated FG VIEs. |
Investments and Cash - Net Inve
Investments and Cash - Net Investment Income (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Net Investment Income | ||||
Gross investment income | $ 96 | $ 114 | $ 297 | $ 317 |
Investment expenses | (2) | (2) | (6) | (6) |
Net investment income | 94 | 112 | 291 | 311 |
Fixed Maturities, Managed Externally [Member] | ||||
Net Investment Income | ||||
Gross investment income | 75 | 85 | 231 | 252 |
Fixed Maturities, Managed Internally [Member] | ||||
Net Investment Income | ||||
Gross investment income | 19 | 15 | 58 | 44 |
Other Investments, Internally Managed [Member] | ||||
Net Investment Income | ||||
Gross investment income | $ 2 | $ 14 | $ 8 | $ 21 |
Investments and Cash - Net Real
Investments and Cash - Net Realized Investment Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Net Realized Investment Gains (Losses) | ||||
Gross realized gains on available-for-sale securities | $ 4 | $ 3 | $ 24 | $ 35 |
Gross realized losses on available-for-sale securities | (1) | (3) | (3) | (10) |
Net realized gains (losses) on other invested assets | 0 | (9) | 0 | (8) |
Other-than-temporary impairment | (5) | (18) | (26) | (37) |
Net realized investment gains (losses) | $ (2) | $ (27) | $ (5) | $ (20) |
Investments and Cash - Roll For
Investments and Cash - Roll Forward of Credit Losses in the Investment Portfolio (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Roll Forward of Credit Losses in the Investment Portfolio | ||||
Credit losses, beginning of period | $ 108 | $ 104 | $ 108 | $ 124 |
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized | 1 | 2 | 3 | 2 |
Reductions for securities sold and other settlement during the period | 0 | 0 | (4) | (28) |
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized | 1 | 0 | 3 | 8 |
Credit losses, end of period | $ 110 | $ 106 | $ 110 | $ 106 |
Investments and Cash - Fixed Ma
Investments and Cash - Fixed Maturity Securities and Short Term Investments (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |||
Investments | |||||
Percent of Total | [1] | 100.00% | 100.00% | ||
Amortized Cost | $ 10,747 | $ 10,671 | |||
Gross Unrealized Gains | 623 | 430 | |||
Gross Unrealized Losses | (90) | (78) | |||
Estimated Fair Value | 11,280 | 11,023 | |||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (11) | [2] | $ (21) | ||
Fixed Maturities [Member] | |||||
Investments | |||||
Percent of Total | [1] | 95.00% | 96.00% | ||
Amortized Cost | $ 10,219 | $ 10,275 | |||
Gross Unrealized Gains | 623 | 430 | |||
Gross Unrealized Losses | (90) | (78) | |||
Estimated Fair Value | 10,752 | 10,627 | |||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (11) | [2] | $ (21) | ||
Short-term Investments [Member] | |||||
Investments | |||||
Percent of Total | [1] | 5.00% | 4.00% | ||
Amortized Cost | $ 528 | $ 396 | |||
Gross Unrealized Gains | 0 | 0 | |||
Gross Unrealized Losses | 0 | 0 | |||
Estimated Fair Value | 528 | 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] | 49.00% | 52.00% | ||
Amortized Cost | $ 5,272 | $ 5,528 | |||
Gross Unrealized Gains | 398 | 323 | |||
Gross Unrealized Losses | (1) | (10) | |||
Estimated Fair Value | 5,669 | 5,841 | |||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 16 | [2] | $ 5 | ||
US government and agencies [Member] | Fixed Maturities [Member] | |||||
Investments | |||||
Percent of Total | [1] | 3.00% | 3.00% | ||
Amortized Cost | $ 381 | $ 377 | |||
Gross Unrealized Gains | 24 | 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] | 16.00% | 14.00% | ||
Amortized Cost | $ 1,733 | $ 1,505 | |||
Gross Unrealized Gains | 82 | 38 | |||
Gross Unrealized Losses | (40) | (23) | |||
Estimated Fair Value | 1,775 | 1,520 | |||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (29) | [2] | $ (13) | ||
RMBS [Member] | Fixed Maturities [Member] | |||||
Investments | |||||
Percent of Total | [1],[3] | 10.00% | 11.00% | ||
Amortized Cost | $ 1,082 | $ 1,238 | [3] | ||
Gross Unrealized Gains | [3] | 39 | 29 | ||
Gross Unrealized Losses | [3] | (16) | (22) | ||
Estimated Fair Value | [3] | 1,105 | 1,245 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | [3] | $ (7) | [2] | $ (7) | |
CMBS [Member] | Fixed Maturities [Member] | |||||
Investments | |||||
Percent of Total | [1],[3] | 6.00% | 5.00% | ||
Amortized Cost | $ 618 | $ 506 | [3] | ||
Gross Unrealized Gains | [3] | 32 | 9 | ||
Gross Unrealized Losses | [3] | (1) | (2) | ||
Estimated Fair Value | [3] | 649 | 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 | $ 860 | $ 831 | |||
Gross Unrealized Gains | 42 | 4 | |||
Gross Unrealized Losses | (10) | (10) | |||
Estimated Fair Value | 892 | 825 | |||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 9 | [2] | $ (6) | ||
Foreign government securities [Member] | Fixed Maturities [Member] | |||||
Investments | |||||
Percent of Total | [1] | 3.00% | 3.00% | ||
Amortized Cost | $ 273 | $ 290 | |||
Gross Unrealized Gains | 6 | 4 | |||
Gross Unrealized Losses | (22) | (11) | |||
Estimated Fair Value | 257 | 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 for additional information as applicable. | ||||
[3] | Government-agency obligations were approximately 44% of mortgage backed securities as of September 30, 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 | Sep. 30, 2016USD ($)Security | Dec. 31, 2015USD ($)Security | |
Less than 12 months | |||
Fair value | $ 761 | $ 1,966 | |
Unrealized loss | (17) | (42) | |
12 months or more | |||
Fair Value | 525 | 276 | |
Unrealized loss | (73) | (36) | |
Total | |||
Fair value | 1,286 | 2,242 | |
Unrealized loss | $ (90) | $ (78) | |
Number of securities | |||
Less than 12 months (in securities) | Security | [1] | 219 | 335 |
12 months or more (in securities) | Security | [1] | 52 | 71 |
Total (in securities) | Security | [1] | 263 | 396 |
Number of securities with OTTI | |||
Less than 12 months (in securities) | Security | 5 | 9 | |
12 months or more (in securities) | Security | 12 | 4 | |
Total (in securities) | Security | 17 | 13 | |
Obligations of state and political subdivisions [Member] | |||
Less than 12 months | |||
Fair value | $ 180 | $ 316 | |
Unrealized loss | (1) | (10) | |
12 months or more | |||
Fair Value | 7 | 7 | |
Unrealized loss | 0 | 0 | |
Total | |||
Fair value | 187 | 323 | |
Unrealized loss | (1) | (10) | |
US government and agencies [Member] | |||
Less than 12 months | |||
Fair value | 52 | 77 | |
Unrealized loss | 0 | 0 | |
12 months or more | |||
Fair Value | 0 | 0 | |
Unrealized loss | 0 | 0 | |
Total | |||
Fair value | 52 | 77 | |
Unrealized loss | 0 | 0 | |
Corporate securities [Member] | |||
Less than 12 months | |||
Fair value | 237 | 381 | |
Unrealized loss | (6) | (8) | |
12 months or more | |||
Fair Value | 85 | 95 | |
Unrealized loss | (34) | (15) | |
Total | |||
Fair value | 322 | 476 | |
Unrealized loss | (40) | (23) | |
RMBS [Member] | |||
Less than 12 months | |||
Fair value | 64 | 438 | |
Unrealized loss | (2) | (8) | |
12 months or more | |||
Fair Value | 149 | 90 | |
Unrealized loss | (14) | (14) | |
Total | |||
Fair value | 213 | 528 | |
Unrealized loss | (16) | (22) | |
CMBS [Member] | |||
Less than 12 months | |||
Fair value | 102 | 140 | |
Unrealized loss | (1) | (2) | |
12 months or more | |||
Fair Value | 0 | 2 | |
Unrealized loss | 0 | 0 | |
Total | |||
Fair value | 102 | 142 | |
Unrealized loss | (1) | (2) | |
Asset-backed Securities [Member] | |||
Less than 12 months | |||
Fair value | 28 | 517 | |
Unrealized loss | 0 | (10) | |
12 months or more | |||
Fair Value | 210 | 0 | |
Unrealized loss | (10) | 0 | |
Total | |||
Fair value | 238 | 517 | |
Unrealized loss | (10) | (10) | |
Foreign government securities [Member] | |||
Less than 12 months | |||
Fair value | 98 | 97 | |
Unrealized loss | (7) | (4) | |
12 months or more | |||
Fair Value | 74 | 82 | |
Unrealized loss | (15) | (7) | |
Total | |||
Fair value | 172 | 179 | |
Unrealized loss | $ (22) | $ (11) | |
[1] | The number of securities does not add across because lots consisting of the same securities have been purchased at different times and appear in both categories above (i.e., less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column. |
Investments and Cash - Distribu
Investments and Cash - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | ||
Amortized Cost | ||||
Amortized Cost | $ 10,747 | $ 10,671 | ||
Estimated Fair Value | ||||
Estimated Fair Value | 11,280 | 11,023 | ||
Fixed Maturities [Member] | ||||
Amortized Cost | ||||
Due within one year | 416 | |||
Due after one year through five years | 1,928 | |||
Due after five years through 10 years | 2,110 | |||
Due after 10 years | 4,065 | |||
Amortized Cost | 10,219 | 10,275 | ||
Estimated Fair Value | ||||
Due within one year | 436 | |||
Due after one year through five years | 1,974 | |||
Due after five years through 10 years | 2,216 | |||
Due after 10 years | 4,372 | |||
Estimated Fair Value | 10,752 | 10,627 | ||
Fixed Maturities [Member] | RMBS [Member] | ||||
Amortized Cost | ||||
Amortized Cost | 1,082 | 1,238 | [1] | |
Estimated Fair Value | ||||
Estimated Fair Value | [1] | 1,105 | 1,245 | |
Fixed Maturities [Member] | CMBS [Member] | ||||
Amortized Cost | ||||
Amortized Cost | 618 | 506 | [1] | |
Estimated Fair Value | ||||
Estimated Fair Value | [1] | $ 649 | $ 513 | |
[1] | Government-agency obligations were approximately 44% of mortgage backed securities as of September 30, 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 | Sep. 30, 2016 | Dec. 31, 2015 |
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | $ 11,280 | $ 11,023 |
Other invested assets | 165 | 169 |
Total investment portfolio | 11,445 | 11,192 |
Fixed Maturities, Managed Internally [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | 1,414 | 1,266 |
Other Invested Assets, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 110 | 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] | ||
Total investment portfolio | $ 1,579 | $ 1,435 |
Investments and Cash - Narrativ
Investments and Cash - Narrative (Details) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2016USD ($)SecurityPerson | Dec. 31, 2015USD ($)Security | Sep. 30, 2015USD ($) | |
Investment [Line Items] | |||
Accrued investment income | $ 95 | $ 99 | |
Government agency obligations as a percentage of total mortgage backed securities | 44.00% | 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 | 28 | 9 | |
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $ 60 | $ 26 | |
Assets held-in-trust | 299 | 283 | |
Fair market value of company's pledged securities | 130 | $ 305 | |
Non-income producing investments | $ 0 | $ 0 | |
Investments [Member] | Internally Managed Portfolio [Member] | |||
Investment [Line Items] | |||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 14.00% | 13.00% | |
AGL Subsidiaries [Member] | |||
Investment [Line Items] | |||
Assets held-in-trust | $ 1,485 | $ 1,411 |
Insurance Company Regulatory101
Insurance Company Regulatory Requirements - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Affiliated Entity [Member] | Municipal Assurance Corp Holdings [Member] | AGM and AGC [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Distribution to owners | $ 300 | ||||
Affiliated Entity [Member] | Municipal Assurance Corp [Member] | AGM [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Repayment of surplus notes | 0 | $ 0 | $ 100 | $ 0 | |
Statutory accounting practices, intercompany transaction, consideration transferred | 102.5 | ||||
Affiliated Entity [Member] | Municipal Assurance Corp [Member] | Municipal Assurance Corp Holdings [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Repayment of surplus notes | [1] | $ 0 | $ 0 | $ 300 | $ 0 |
Affiliated Entity [Member] | AGC [Member] | Municipal Assurance Corp Holdings [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Ownership percentage by noncontrolling owners | 39.30% | 39.30% | |||
Statutory accounting practices, intercompany transaction, proceeds from repayment of surplus notes | $ 118 | ||||
Affiliated Entity [Member] | AGM [Member] | Municipal Assurance Corp Holdings [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Noncontrolling interest, ownership percentage by parent | 60.70% | 60.70% | |||
Statutory accounting practices, intercompany transaction, proceeds from repayment of surplus notes | $ 182 | ||||
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 | $ 247 | $ 247 | |||
Amount available for distribution, next fiscal quarter | 55 | $ 55 | |||
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 | 41 | $ 41 | |||
Maryland [Member] | AGUS [Member] | AGC [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Amount available for distribution, current year | 79 | 79 | |||
Bermuda [Member] | Assured Guaranty Re [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Amount available for distribution, current year | 246 | $ 246 | |||
Dividend payment restrictions schedule, percentage of statutory capital | 15.00% | ||||
Dividend restrictions on statutory capital and surplus (as a percent) | 25.00% | ||||
Dividend payment restrictions schedule amount of statutory capital | $ 127 | ||||
Statutory surplus | 235 | 235 | |||
Unencumbered assets | $ 625 | $ 625 | |||
[1] | MAC Holdings returned $300 million to AGM and AGC, in proportion to their ownership percentages, in the second quarter of 2016. |
Insurance Company Regulatory102
Insurance Company Regulatory Requirements - Dividends and Surplus Notes By Insurance Company Subsidiaries (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Statutory Accounting Practices [Line Items] | |||||
Dividends paid | $ 52 | $ 55 | |||
AGM and AGC [Member] | Affiliated Entity [Member] | Municipal Assurance Corp Holdings [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Distribution to owners | $ 300 | ||||
Municipal Assurance Corp Holdings [Member] | Affiliated Entity [Member] | Municipal Assurance Corp [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Repayment of surplus notes | [1] | 0 | $ 0 | 300 | 0 |
AGM [Member] | Affiliated Entity [Member] | Municipal Assurance Corp [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Repayment of surplus notes | 0 | 0 | 100 | 0 | |
AGMH [Member] | Affiliated Entity [Member] | AGM [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Dividends paid | 65 | 57 | 192 | 163 | |
Repayment of surplus notes | 0 | 0 | 0 | 25 | |
AGL [Member] | Affiliated Entity [Member] | Assured Guaranty Re [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Dividends paid | 35 | 35 | 85 | 120 | |
AGUS [Member] | Affiliated Entity [Member] | AGC [Member] | |||||
Statutory Accounting Practices [Line Items] | |||||
Dividends paid | $ 15 | $ 15 | $ 38 | $ 50 | |
[1] | MAC Holdings returned $300 million to AGM and AGC, in proportion to their ownership percentages, in the second quarter of 2016. |
Income Taxes - Effective Tax Ra
Income Taxes - Effective Tax Rate Reconciliation and Pretax Income (Loss) and Revenue by Tax Jurisdiction (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $ 150 | $ 56 | $ 234 | $ 276 |
Tax-exempt interest | (12) | (14) | (38) | (41) |
Gain on bargain purchase | (125) | 0 | (125) | (19) |
Change in liability for uncertain tax positions | 8 | 10 | 10 | 12 |
True-up from tax return filing | (16) | (11) | (16) | (11) |
Other | (4) | 2 | (3) | 3 |
Total provision (benefit) for income taxes | $ 1 | $ 43 | $ 62 | $ 220 |
Effective tax rate (as a percent) | 0.30% | 25.00% | 8.30% | 26.00% |
Income (loss) before provision for income taxes | $ 480 | $ 172 | $ 746 | $ 847 |
Revenue | 566 | 368 | 1,207 | 1,432 |
United States [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before provision for income taxes | 432 | 166 | 681 | 803 |
Revenue | 499 | 311 | 1,041 | 1,229 |
Bermuda [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before provision for income taxes | 56 | 12 | 88 | 67 |
Revenue | 69 | 58 | 170 | 209 |
United Kingdom [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before provision for income taxes | (8) | (6) | (23) | (23) |
Revenue | $ (2) | $ (1) | $ (4) | $ (6) |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | |
Income Taxes [Line Items] | |||
Realization assessment period | 3 years | ||
Accrued interest and penalties, uncertain tax positions | $ 6.7 | $ 5.4 | |
Interest and penalties related to uncertain tax positions | 1 | 1 | |
Unrecognized tax benefits that would impact effective tax rate | $ 55 | $ 45 | |
United States [Member] | |||
Income Taxes [Line Items] | |||
Corporate tax rate | 35.00% | ||
United Kingdom [Member] | |||
Income Taxes [Line Items] | |||
Corporate tax rate | 21.00% | ||
Value added tax rate | 20.00% | ||
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 | $ 19 |
Reinsurance and Other Monoli105
Reinsurance and Other Monoline Exposures - Effect of Reinsurance on Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Premiums Written: | |||||
Direct | $ 17 | $ 41 | $ 80 | $ 93 | |
Assumed | [1] | (1) | (1) | (9) | 1 |
Ceded | 0 | 0 | (17) | 2 | |
Net | 16 | 40 | 54 | 96 | |
Premiums Earned: | |||||
Direct | 237 | 224 | 647 | 596 | |
Assumed | 6 | 7 | 19 | 29 | |
Ceded | (12) | (18) | (38) | (51) | |
Net | [2] | 231 | 213 | 628 | 574 |
Loss and LAE: | |||||
Direct | 7 | 111 | 217 | 323 | |
Assumed | (1) | 23 | (4) | 35 | |
Ceded | (15) | (22) | (30) | (40) | |
Net | $ (9) | $ 112 | $ 183 | $ 318 | |
[1] | (1)Negative assumed premiums written were due to changes in expected debt service schedules. | ||||
[2] | Excludes $4 million and $6 million for Third Quarter 2016 and 2015, respectively, and $12 million and $16 million for Nine Months 2016 and 2015, respectively, related to consolidated FG VIEs. |
Reinsurance and Other Monoli106
Reinsurance and Other Monoline Exposures - Exposure by Reinsurer (Details) $ in Millions | Sep. 30, 2016USD ($) | |
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | $ 12,131 | [1] |
Second-to- Pay Insured Par Outstanding | 13,212 | [1] |
Assumed Par Outstanding | 15,027 | [1] |
American Overseas Reinsurance Company Limited [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 4,052 | [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 | 3,681 | [1],[2] |
Second-to- Pay Insured Par Outstanding | 0 | [1],[2] |
Assumed Par Outstanding | 0 | [1],[2] |
Syncora [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 2,185 | [1],[2] |
Second-to- Pay Insured Par Outstanding | 1,326 | [1],[2] |
Assumed Par Outstanding | 677 | [1],[2] |
Mitsui Sumitomo Insurance Co. Ltd. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 1,394 | [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 | 637 | [1] |
Second-to- Pay Insured Par Outstanding | 33 | [1] |
Assumed Par Outstanding | 0 | [1] |
Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 115 | [1] |
Second-to- Pay Insured Par Outstanding | 3,393 | [1] |
Assumed Par Outstanding | 7,911 | [1] |
National [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | [1],[3] |
Second-to- Pay Insured Par Outstanding | 4,946 | [1],[3] |
Assumed Par Outstanding | 4,696 | [1],[3] |
MBIA [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | [1] |
Second-to- Pay Insured Par Outstanding | 1,583 | [1] |
Assumed Par Outstanding | 380 | [1] |
FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | [1] |
Second-to- Pay Insured Par Outstanding | 1,296 | [1] |
Assumed Par Outstanding | 572 | [1] |
Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 0 | [1] |
Second-to- Pay Insured Par Outstanding | 77 | [1] |
Assumed Par Outstanding | 638 | [1] |
Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 67 | [1],[2] |
Second-to- Pay Insured Par Outstanding | 558 | [1],[2] |
Assumed Par Outstanding | 123 | [1],[2] |
Non-affiliated Reinsurers [Member] | ||
Ceded Credit Risk [Line Items] | ||
Funds held under reinsurance agreements | $ 427 | |
[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 September 30, 2016 was approximately $427 million. | |
[3] | Rated AA+ by KBRA. |
Reinsurance and Other Monoli107
Reinsurance and Other Monoline Exposures - Reinsurance and Other Monoline Exposures (Details) $ in Millions | Sep. 30, 2016USD ($) |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | $ 68 |
Ceded Premium, net of Commissions | (48) |
Assumed Expected Loss to be Paid | (66) |
Ceded Expected Loss to be Paid | 88 |
American Overseas Reinsurance Company Limited [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (5) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 30 |
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 | (10) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 45 |
Syncora [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 14 |
Ceded Premium, net of Commissions | (19) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | (7) |
Mitsui Sumitomo Insurance Co. Ltd. [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (2) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 20 |
Ambac [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 34 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (1) |
Ceded Expected Loss to be Paid | 0 |
Ambac Assurance Corp. Segregated account [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 6 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (44) |
Ceded Expected Loss to be Paid | 0 |
MBIA [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 4 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (8) |
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 | 2 |
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 Monoli108
Reinsurance and Other Monoline Exposures - Narrative (Details) - USD ($) | Jan. 01, 2016 | Jan. 01, 2014 | Sep. 30, 2016 | Dec. 31, 2014 | Dec. 31, 2015 |
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | $ 11,280,000,000 | $ 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 | 51,000,000 | ||||
AGC [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Amounts could be required to pay if third party exercised right to recapture business | 21,000,000 | ||||
Fixed Maturities [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | 10,752,000,000 | $ 10,627,000,000 | |||
Fixed Maturities [Member] | National [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | 150,000,000 | ||||
Fixed Maturities [Member] | Ambac [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | 104,000,000 | ||||
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 | 135,000,000 | ||||
Fixed Maturities [Member] | MBIA [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Fixed-maturity securities | 260,000,000 | ||||
Excess of Loss Reinsurance Facility [Member] | AGM, AGC and MAC [Member] | |||||
Ceded Credit Risk [Line Items] | |||||
Reinsurance retention policy, excess retention, amount reinsured | $ 360,000,000 | $ 450,000,000 | |||
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 | |||
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, $ in Millions | Sep. 23, 2016USD ($) | May 28, 2014EUR (€) | Dec. 31, 2014Security | Nov. 30, 2014USD ($) | Sep. 30, 2016USD ($)Plaintiff | Dec. 31, 2015USD ($) | Apr. 10, 2015USD ($) | Sep. 25, 2013USD ($) | Nov. 28, 2011USD ($)Transaction |
Commitments and Contingencies Legal Proceedings | |||||||||
Net Debt Service Outstanding | $ 465,559 | $ 536,341 | |||||||
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] | Houston Casualty Company Europe Vs Assured Guaranty [Member] | AGC [Member] | |||||||||
Commitments and Contingencies Legal Proceedings | |||||||||
Damages sought | € | € 15 | ||||||||
Pending Litigation [Member] | Assured Guaranty Municipal Corp And Assured Guaranty US Holdings vs California And New York Government Entities [Member] | |||||||||
Commitments and Contingencies Legal Proceedings | |||||||||
Number of plaintiffs filing consolidated complaints | Plaintiff | 19 | ||||||||
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 | ||||||||
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 | ||||||||
Minimum [Member] | 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 | ||||||||
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 | ||||||||
Maximum [Member] | 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 | $ 20 | ||||||||
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 | ||||||||
AGM [Member] | New York [Member] | |||||||||
Commitments and Contingencies Legal Proceedings | |||||||||
Expected fixed annual rent | $ 1.1 | ||||||||
Increased expected fixed annual rent | $ 1.3 | ||||||||
Term of increased fixed annual rent | 5 years | ||||||||
RMBS [Member] | Pending Litigation [Member] | Deutsche Bank National Trust Company Vs Assured Guaranty Corp [Member] | Re-REMIC [Member] | |||||||||
Commitments and Contingencies Legal Proceedings | |||||||||
Number of insured financial obligations sold | Security | 4 | ||||||||
Net Debt Service Outstanding | $ 70 | ||||||||
Proceeds from sale of insured obligation | $ 27 |
Long-Term Debt and Credit Fa110
Long-Term Debt and Credit Facilities - Narrative (Details) | Apr. 07, 2008 | Jun. 30, 2003USD ($)Trust | Dec. 31, 2012USD ($) | Sep. 30, 2016USD ($) | Jun. 30, 2016USD ($) | Oct. 25, 2013USD ($) | Apr. 08, 2005USD ($)Trust |
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] | |||||||
Number of custodial trusts | Trust | 4 | ||||||
Aggregate maximum stock purchase obligation of the custodial trusts | $ 200,000,000 | ||||||
Maximum stock purchase obligation of each custodial trust | $ 50,000,000 | ||||||
Rate basis for income distributions | one-month LIBOR | ||||||
Auction interval (in days) | 28 days | ||||||
AGC [Member] | AGM CPS securities [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Number of custodial trusts | Trust | 4 | ||||||
Aggregate maximum stock purchase obligation of the custodial trusts | $ 50,000,000 | ||||||
Maximum stock purchase obligation of each custodial trust | $ 200,000,000 | ||||||
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 | $ 1,500,000,000 | ||||||
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% | ||||||
Intercompany Credit Facility [Member] | Line of Credit [Member] | Revolving Credit Facility [Member] | Wilbur L. Ross [Member] | AGL [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Related party, maximum borrowing capacity | $ 225,000,000 | ||||||
Line of credit, outstanding amount | 0 | ||||||
Dexia Credit Local (NY) [Member] | Line of Credit [Member] | Strip Coverage Facility [Member] | AGM [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Commitment amount | $ 495,000,000 | ||||||
Municipal Assurance Corp [Member] | AGUS [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Intercompany debt | $ 90,000,000 | ||||||
Leveraged Leases [Member] | Structured Finance [Member] | Financial Guarantee [Member] | AGM [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Possible liquidity claims, gross exposure | $ 991,000,000 |
Long-Term Debt and Credit Fa111
Long-Term Debt and Credit Facilities - Principal and Carrying Amounts of Debt (Details) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Debt Instrument [Line Items] | ||
Principal | $ 1,590,000,000 | $ 1,592,000,000 |
Carrying Value | 1,304,000,000 | 1,300,000,000 |
AGUS [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 850,000,000 | 850,000,000 |
Carrying Value | 842,000,000 | 842,000,000 |
AGMH [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 730,000,000 | 730,000,000 |
Carrying Value | 451,000,000 | 445,000,000 |
AGM [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 10,000,000 | 12,000,000 |
Carrying Value | $ 11,000,000 | $ 13,000,000 |
Senior Notes [Member] | AGUS [Member] | Senior Notes 7.0% [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% [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 | 495,000,000 | 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% [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 | $ 141,000,000 | $ 140,000,000 |
Notes Payable, Other Payables [Member] | AGMH [Member] | Notes Payable 5.60% [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 | 10,000,000 | 12,000,000 |
Carrying Value | 11,000,000 | 13,000,000 |
Junior Subordinated Debt [Member] | AGMH [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 300,000,000 | 300,000,000 |
Carrying Value | $ 185,000,000 | $ 180,000,000 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Basic EPS: | ||||
Net income (loss) attributable to AGL | $ 479 | $ 129 | $ 684 | $ 627 |
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 1 | 0 | 1 | 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 478 | $ 129 | $ 683 | $ 627 |
Basic shares | 131.9 | 145.8 | 134 | 150.7 |
Basic EPS (in dollars per share) | $ 3.63 | $ 0.88 | $ 5.10 | $ 4.16 |
Diluted EPS: | ||||
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | $ 0 | $ 0 | $ 0 | $ 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ 478 | $ 129 | $ 683 | $ 627 |
Basic shares | 131.9 | 145.8 | 134 | 150.7 |
Effect of dilutive securities: | ||||
Options and restricted stock awards (in shares) | 0.9 | 0.7 | 0.9 | 0.9 |
Diluted shares | 132.8 | 146.5 | 134.9 | 151.6 |
Diluted EPS (in dollars per share) | $ 3.60 | $ 0.88 | $ 5.06 | $ 4.13 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect (in shares) | 0 | 1.3 | 0.5 | 0.7 |
Shareholders' Equity - Changes
Shareholders' Equity - Changes in AOCI by Component (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | $ 6,063 | |||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | $ (2) | $ (27) | (5) | $ (20) |
Net investment income | 94 | 112 | 291 | 311 |
Interest expense | (26) | (25) | (77) | (76) |
Tax (provision) benefit | (1) | (43) | (62) | (220) |
Ending balance | 6,640 | 6,640 | ||
Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | 426 | 236 | 260 | 367 |
Other comprehensive income (loss) before reclassifications | (33) | 41 | 146 | (77) |
Amounts reclassified from AOCI to: | ||||
Total amount reclassified from AOCI, net of tax | (3) | 1 | (16) | (12) |
Net current period other comprehensive income (loss) | (36) | 42 | 130 | (89) |
Ending balance | 390 | 278 | 390 | 278 |
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) | (3) | 10 | (20) | (9) |
Net investment income | 0 | (9) | (3) | (9) |
Interest expense | 0 | 0 | 0 | 0 |
Total before tax | (3) | 1 | (23) | (18) |
Tax (provision) benefit | 0 | 0 | 7 | 6 |
Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | (24) | 4 | (15) | 4 |
Other comprehensive income (loss) before reclassifications | 13 | (15) | (10) | (23) |
Amounts reclassified from AOCI to: | ||||
Total amount reclassified from AOCI, net of tax | 3 | 11 | 17 | 19 |
Net current period other comprehensive income (loss) | 16 | (4) | 7 | (4) |
Ending balance | (8) | 0 | (8) | 0 |
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) | 4 | 17 | 25 | 29 |
Net investment income | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | 0 | 0 |
Total before tax | 4 | 17 | 25 | 29 |
Tax (provision) benefit | (1) | (6) | (8) | (10) |
Cumulative Translation Adjustment [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | (26) | (9) | (16) | (10) |
Other comprehensive income (loss) before reclassifications | (5) | (4) | (15) | (3) |
Amounts reclassified from AOCI to: | ||||
Total amount reclassified from AOCI, net of tax | 0 | 0 | 0 | 0 |
Net current period other comprehensive income (loss) | (5) | (4) | (15) | (3) |
Ending balance | (31) | (13) | (31) | (13) |
Cumulative Translation Adjustment [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Net investment income | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | 0 | 0 |
Total before tax | 0 | 0 | 0 | 0 |
Tax (provision) benefit | 0 | 0 | 0 | 0 |
Cash Flow Hedge [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | 7 | 8 | 8 | 9 |
Other comprehensive income (loss) before reclassifications | 0 | 0 | 0 | 0 |
Amounts reclassified from AOCI to: | ||||
Total amount reclassified from AOCI, net of tax | 0 | 0 | (1) | (1) |
Net current period other comprehensive income (loss) | 0 | 0 | (1) | (1) |
Ending balance | 7 | 8 | 7 | 8 |
Cash Flow Hedge [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Net investment income | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | (1) | (1) |
Total before tax | 0 | 0 | (1) | (1) |
Tax (provision) benefit | 0 | 0 | 0 | 0 |
Accumulated Other Comprehensive Income [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | 383 | 239 | 237 | 370 |
Other comprehensive income (loss) before reclassifications | (25) | 22 | 121 | (103) |
Amounts reclassified from AOCI to: | ||||
Total amount reclassified from AOCI, net of tax | 0 | 12 | 0 | 6 |
Net current period other comprehensive income (loss) | (25) | 34 | 121 | (97) |
Ending balance | 358 | 273 | 358 | 273 |
Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | 1 | 27 | 5 | 20 |
Net investment income | 0 | (9) | (3) | (9) |
Interest expense | 0 | 0 | (1) | (1) |
Total before tax | 1 | 18 | 1 | 10 |
Tax (provision) benefit | $ (1) | $ (6) | $ (1) | $ (4) |
Shareholders' Equity - Shares R
Shareholders' Equity - Shares Repurchased (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 10 Months Ended | 12 Months Ended | 46 Months Ended | |||||||||||
Nov. 03, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Nov. 03, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Nov. 03, 2016 | Nov. 02, 2016 | Feb. 24, 2016 | |
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||||
Repurchases of common stock | $ 190,000,000 | $ 420,000,000 | |||||||||||||||
Deferred equity compensation (in shares) | 320,193 | 320,193 | 320,193 | 320,193 | |||||||||||||
Common Stock [Member] | |||||||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||||
Shares repurchased (in shares) | 2,050,229 | 2,331,474 | 3,038,928 | 5,035,637 | 5,362,103 | 4,737,388 | 5,860,291 | 7,420,631 | 20,995,419 | 24,413,781 | 12,512,759 | ||||||
Repurchases of common stock | $ 55,000,000 | $ 60,000,000 | $ 75,000,000 | $ 135,000,000 | $ 135,000,000 | $ 133,000,000 | $ 152,000,000 | $ 190,000,000 | $ 555,000,000 | $ 590,000,000 | $ 264,000,000 | ||||||
Average price paid (in dollars per share) | $ 26.83 | $ 25.73 | $ 24.69 | $ 26.81 | $ 25.17 | $ 28.13 | $ 25.87 | $ 25.61 | $ 26.43 | $ 24.17 | $ 21.12 | ||||||
Remaining capacity of shares repurchase program | $ 115,000,000 | $ 115,000,000 | |||||||||||||||
Authorized repurchase amount | $ 250,000,000 | ||||||||||||||||
Subsequent Event [Member] | Common Stock [Member] | |||||||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||||
Shares repurchased (in shares) | 692,002 | 8,112,633 | 66,034,592 | ||||||||||||||
Repurchases of common stock | $ 20,000,000 | $ 210,000,000 | $ 1,619,000,000 | ||||||||||||||
Average price paid (in dollars per share) | $ 28.90 | $ 25.89 | $ 24.52 | ||||||||||||||
Remaining capacity of shares repurchase program | $ 345,000,000 | $ 345,000,000 | $ 345,000,000 | ||||||||||||||
Authorized repurchase amount | $ 250,000,000 | ||||||||||||||||
Chief Executive Officer [Member] | |||||||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||||
Number of shares authorized to be repurchased (in shares) | 297,131 | 297,131 | |||||||||||||||
Deferred compensation equity, shares to be paid in the future (in shares) | 297,131 | 297,131 | |||||||||||||||
Deferred equity compensation (in shares) | 297,131 | 297,131 | |||||||||||||||
General Counsel [Member] | |||||||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||||
Number of shares authorized to be repurchased (in shares) | 23,062 | 23,062 | |||||||||||||||
Deferred compensation equity, shares to be paid in the future (in shares) | 23,062 | 23,062 | |||||||||||||||
Deferred equity compensation (in shares) | 23,062 | 23,062 |
Subsidiary Information - Conden
Subsidiary Information - Condensed Consolidating Balance Sheet (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Assets | ||
Total investment portfolio and cash | $ 11,543 | $ 11,358 |
Investment in subsidiaries | 0 | 0 |
Premiums receivable, net of commissions payable | 608 | 693 |
Ceded unearned premium reserve | 213 | 232 |
Deferred acquisition costs | 108 | 114 |
Reinsurance recoverable on unpaid losses | 87 | 69 |
Credit derivative assets | 28 | 81 |
Deferred tax asset, net | 459 | 276 |
Intercompany receivable | 0 | 0 |
Financial guaranty variable interest entities’ assets, at fair value | 877 | 1,261 |
Other | 746 | 460 |
Total assets | 14,669 | 14,544 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 3,668 | 3,996 |
Loss and loss adjustment expense reserve | 1,091 | 1,067 |
Long-term debt | 1,304 | 1,300 |
Intercompany payable | 0 | 0 |
Credit derivative liabilities | 509 | 446 |
Deferred tax liabilities, net | 0 | 0 |
Financial guaranty variable interest entities’ liabilities, at fair value | 985 | 1,349 |
Other | 472 | 323 |
Total liabilities | 8,029 | 8,481 |
Effect on shareholders' equity (decrease) increase | 6,640 | 6,063 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 6,640 | 6,063 |
Total liabilities and shareholders’ equity | 14,669 | 14,544 |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | ||
Assets | ||
Total investment portfolio and cash | 60 | 10 |
Investment in subsidiaries | 6,524 | 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 | 61 | 98 |
Total assets | 6,645 | 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 | 5 | 6 |
Total liabilities | 5 | 6 |
Effect on shareholders' equity (decrease) increase | 6,640 | 6,063 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 6,640 | 6,063 |
Total liabilities and shareholders’ equity | 6,645 | 6,069 |
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | ||
Assets | ||
Total investment portfolio and cash | 107 | 156 |
Investment in subsidiaries | 6,056 | 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 | 32 | 52 |
Intercompany receivable | 0 | 0 |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 |
Other | 62 | 29 |
Total assets | 6,257 | 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 | 53 | 82 |
Total liabilities | 985 | 1,014 |
Effect on shareholders' equity (decrease) increase | 5,272 | 4,792 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 5,272 | 4,792 |
Total liabilities and shareholders’ equity | 6,257 | 5,806 |
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | ||
Assets | ||
Total investment portfolio and cash | 23 | 22 |
Investment in subsidiaries | 4,164 | 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 | 39 | 26 |
Total assets | 4,226 | 4,129 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 0 | 0 |
Loss and loss adjustment expense reserve | 0 | 0 |
Long-term debt | 451 | 445 |
Intercompany payable | 0 | 0 |
Credit derivative liabilities | 0 | 0 |
Deferred tax liabilities, net | 89 | 91 |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 |
Other | 19 | 15 |
Total liabilities | 559 | 551 |
Effect on shareholders' equity (decrease) increase | 3,667 | 3,578 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 3,667 | 3,578 |
Total liabilities and shareholders’ equity | 4,226 | 4,129 |
Reportable Legal Entities [Member] | Other Entities [Member] | ||
Assets | ||
Total investment portfolio and cash | 11,712 | 11,530 |
Investment in subsidiaries | 293 | 377 |
Premiums receivable, net of commissions payable | 720 | 833 |
Ceded unearned premium reserve | 1,122 | 1,266 |
Deferred acquisition costs | 161 | 176 |
Reinsurance recoverable on unpaid losses | 485 | 467 |
Credit derivative assets | 95 | 207 |
Deferred tax asset, net | 549 | 357 |
Intercompany receivable | 90 | 90 |
Financial guaranty variable interest entities’ assets, at fair value | 877 | 1,261 |
Other | 974 | 571 |
Total assets | 17,078 | 17,135 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 4,666 | 5,143 |
Loss and loss adjustment expense reserve | 1,554 | 1,537 |
Long-term debt | 11 | 13 |
Intercompany payable | 300 | 300 |
Credit derivative liabilities | 576 | 572 |
Deferred tax liabilities, net | 0 | 0 |
Financial guaranty variable interest entities’ liabilities, at fair value | 985 | 1,349 |
Other | 898 | 622 |
Total liabilities | 8,990 | 9,536 |
Effect on shareholders' equity (decrease) increase | 7,795 | 7,222 |
Noncontrolling interest | 293 | 377 |
Total shareholders' equity | 8,088 | 7,599 |
Total liabilities and shareholders’ equity | 17,078 | 17,135 |
Consolidating Adjustments [Member] | ||
Assets | ||
Total investment portfolio and cash | (359) | (360) |
Investment in subsidiaries | (17,037) | (15,988) |
Premiums receivable, net of commissions payable | (112) | (140) |
Ceded unearned premium reserve | (909) | (1,034) |
Deferred acquisition costs | (53) | (62) |
Reinsurance recoverable on unpaid losses | (398) | (398) |
Credit derivative assets | (67) | (126) |
Deferred tax asset, net | (122) | (133) |
Intercompany receivable | (90) | (90) |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 |
Other | (390) | (264) |
Total assets | (19,537) | (18,595) |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | (998) | (1,147) |
Loss and loss adjustment expense reserve | (463) | (470) |
Long-term debt | 0 | 0 |
Intercompany payable | (390) | (390) |
Credit derivative liabilities | (67) | (126) |
Deferred tax liabilities, net | (89) | (91) |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 |
Other | (503) | (402) |
Total liabilities | (2,510) | (2,626) |
Effect on shareholders' equity (decrease) increase | (16,734) | (15,592) |
Noncontrolling interest | (293) | (377) |
Total shareholders' equity | (17,027) | (15,969) |
Total liabilities and shareholders’ equity | $ (19,537) | $ (18,595) |
Subsidiary Information - Con116
Subsidiary Information - Condensed Consolidating Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Revenues | |||||
Net earned premiums | [1] | $ 231 | $ 213 | $ 628 | $ 574 |
Net investment income | 94 | 112 | 291 | 311 | |
Net realized investment gains (losses) | (2) | (27) | (5) | (20) | |
Net change in fair value of credit derivatives: | |||||
Realized gains (losses) and other settlements | 15 | 6 | 47 | 35 | |
Net unrealized gains (losses) | 6 | 80 | (23) | 265 | |
Net change in fair value of credit derivatives | 21 | 86 | 24 | 300 | |
Bargain purchase gain and settlement of pre-existing relationships | 259 | 0 | 259 | 214 | |
Other | (37) | (16) | 10 | 53 | |
Total revenues | 566 | 368 | 1,207 | 1,432 | |
Expenses | |||||
Loss and LAE | (9) | 112 | 183 | 318 | |
Amortization of deferred acquisition costs | 4 | 5 | 13 | 15 | |
Interest expense | 26 | 25 | 77 | 76 | |
Other operating expenses | 65 | 54 | 188 | 176 | |
Total expenses | 86 | 196 | 461 | 585 | |
Income (loss) before income taxes | 480 | 172 | 746 | 847 | |
Total (provision) benefit for income taxes | (1) | (43) | (62) | (220) | |
Equity in net earnings of subsidiaries | 0 | 0 | 0 | 0 | |
Net income (loss) | 479 | 129 | 684 | 627 | |
Less: noncontrolling interest | 0 | 0 | 0 | 0 | |
Net income (loss) | 479 | 129 | 684 | 627 | |
Comprehensive income (loss) | 454 | 163 | 805 | 530 | |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | |||||
Revenues | |||||
Net earned premiums | 0 | 0 | 0 | 0 | |
Net investment income | 0 | 0 | 0 | 0 | |
Net realized investment gains (losses) | 0 | 0 | 0 | 0 | |
Net change in fair value of credit derivatives: | |||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | 0 | |
Net unrealized gains (losses) | 0 | 0 | 0 | 0 | |
Net change in fair value of credit derivatives | 0 | 0 | 0 | 0 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 0 | 0 | 0 | |
Other | 0 | 0 | 0 | 0 | |
Total revenues | 0 | 0 | 0 | 0 | |
Expenses | |||||
Loss and LAE | 0 | 0 | 0 | 0 | |
Amortization of deferred acquisition costs | 0 | 0 | 0 | 0 | |
Interest expense | 0 | 0 | 0 | 0 | |
Other operating expenses | 7 | 7 | 23 | 24 | |
Total expenses | 7 | 7 | 23 | 24 | |
Income (loss) before income taxes | (7) | (7) | (23) | (24) | |
Total (provision) benefit for income taxes | 0 | 0 | 0 | 0 | |
Equity in net earnings of subsidiaries | 486 | 136 | 707 | 651 | |
Net income (loss) | 479 | 129 | 684 | 627 | |
Less: noncontrolling interest | 0 | 0 | 0 | 0 | |
Net income (loss) | 479 | 129 | 684 | 627 | |
Comprehensive income (loss) | 454 | 163 | 805 | 530 | |
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | |||||
Revenues | |||||
Net earned premiums | 0 | 0 | 0 | 0 | |
Net investment income | 0 | 0 | 0 | 0 | |
Net realized investment gains (losses) | 3 | 0 | 3 | 0 | |
Net change in fair value of credit derivatives: | |||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | 0 | |
Net unrealized gains (losses) | 0 | 0 | 0 | 0 | |
Net change in fair value of credit derivatives | 0 | 0 | 0 | 0 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 0 | 0 | 0 | |
Other | 0 | 0 | 0 | 0 | |
Total revenues | 3 | 0 | 3 | 0 | |
Expenses | |||||
Loss and LAE | 0 | 0 | 0 | 0 | |
Amortization of deferred acquisition costs | 0 | 0 | 0 | 0 | |
Interest expense | 13 | 13 | 39 | 39 | |
Other operating expenses | 1 | 0 | 1 | 1 | |
Total expenses | 14 | 13 | 40 | 40 | |
Income (loss) before income taxes | (11) | (13) | (37) | (40) | |
Total (provision) benefit for income taxes | 4 | 5 | 13 | 14 | |
Equity in net earnings of subsidiaries | 433 | 126 | 623 | 594 | |
Net income (loss) | 426 | 118 | 599 | 568 | |
Less: noncontrolling interest | 0 | 0 | 0 | 0 | |
Net income (loss) | 426 | 118 | 599 | 568 | |
Comprehensive income (loss) | 414 | 138 | 660 | 482 | |
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | |||||
Revenues | |||||
Net earned premiums | 0 | 0 | 0 | 0 | |
Net investment income | 0 | 0 | 0 | 0 | |
Net realized investment gains (losses) | 0 | 0 | 0 | 1 | |
Net change in fair value of credit derivatives: | |||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | 0 | |
Net unrealized gains (losses) | 0 | 0 | 0 | 0 | |
Net change in fair value of credit derivatives | 0 | 0 | 0 | 0 | |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 0 | 0 | 0 | |
Other | 0 | 0 | 0 | 0 | |
Total revenues | 0 | 0 | 0 | 1 | |
Expenses | |||||
Loss and LAE | 0 | 0 | 0 | 0 | |
Amortization of deferred acquisition costs | 0 | 0 | 0 | 0 | |
Interest expense | 13 | 13 | 40 | 40 | |
Other operating expenses | 1 | 1 | 2 | 1 | |
Total expenses | 14 | 14 | 42 | 41 | |
Income (loss) before income taxes | (14) | (14) | (42) | (40) | |
Total (provision) benefit for income taxes | 5 | 5 | 15 | 14 | |
Equity in net earnings of subsidiaries | 92 | 133 | 282 | 347 | |
Net income (loss) | 83 | 124 | 255 | 321 | |
Less: noncontrolling interest | 0 | 0 | 0 | 0 | |
Net income (loss) | 83 | 124 | 255 | 321 | |
Comprehensive income (loss) | 64 | 139 | 281 | 269 | |
Reportable Legal Entities [Member] | Other Entities [Member] | |||||
Revenues | |||||
Net earned premiums | 239 | 219 | 653 | 585 | |
Net investment income | 95 | 113 | 293 | 318 | |
Net realized investment gains (losses) | (2) | (22) | (4) | (13) | |
Net change in fair value of credit derivatives: | |||||
Realized gains (losses) and other settlements | 15 | 6 | 47 | 35 | |
Net unrealized gains (losses) | 6 | 81 | (23) | 292 | |
Net change in fair value of credit derivatives | 21 | 87 | 24 | 327 | |
Bargain purchase gain and settlement of pre-existing relationships | 257 | 0 | 257 | 54 | |
Other | (37) | (16) | 10 | 53 | |
Total revenues | 573 | 381 | 1,233 | 1,324 | |
Expenses | |||||
Loss and LAE | (15) | 114 | 182 | 316 | |
Amortization of deferred acquisition costs | 9 | 8 | 23 | 22 | |
Interest expense | 3 | 4 | 8 | 11 | |
Other operating expenses | 58 | 47 | 165 | 152 | |
Total expenses | 55 | 173 | 378 | 501 | |
Income (loss) before income taxes | 518 | 208 | 855 | 823 | |
Total (provision) benefit for income taxes | (13) | (55) | (94) | (205) | |
Equity in net earnings of subsidiaries | 11 | 10 | 34 | 30 | |
Net income (loss) | 516 | 163 | 795 | 648 | |
Less: noncontrolling interest | 11 | 10 | 34 | 30 | |
Net income (loss) | 505 | 153 | 761 | 618 | |
Comprehensive income (loss) | 497 | 199 | 923 | 554 | |
Consolidating Adjustments [Member] | |||||
Revenues | |||||
Net earned premiums | (8) | (6) | (25) | (11) | |
Net investment income | (1) | (1) | (2) | (7) | |
Net realized investment gains (losses) | (3) | (5) | (4) | (8) | |
Net change in fair value of credit derivatives: | |||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | 0 | |
Net unrealized gains (losses) | 0 | (1) | 0 | (27) | |
Net change in fair value of credit derivatives | 0 | (1) | 0 | (27) | |
Bargain purchase gain and settlement of pre-existing relationships | 2 | 0 | 2 | 160 | |
Other | 0 | 0 | 0 | 0 | |
Total revenues | (10) | (13) | (29) | 107 | |
Expenses | |||||
Loss and LAE | 6 | (2) | 1 | 2 | |
Amortization of deferred acquisition costs | (5) | (3) | (10) | (7) | |
Interest expense | (3) | (5) | (10) | (14) | |
Other operating expenses | (2) | (1) | (3) | (2) | |
Total expenses | (4) | (11) | (22) | (21) | |
Income (loss) before income taxes | (6) | (2) | (7) | 128 | |
Total (provision) benefit for income taxes | 3 | 2 | 4 | (43) | |
Equity in net earnings of subsidiaries | (1,022) | (405) | (1,646) | (1,622) | |
Net income (loss) | (1,025) | (405) | (1,649) | (1,537) | |
Less: noncontrolling interest | (11) | (10) | (34) | (30) | |
Net income (loss) | (1,014) | (395) | (1,615) | (1,507) | |
Comprehensive income (loss) | $ (975) | $ (476) | $ (1,864) | $ (1,305) | |
[1] | Excludes $4 million and $6 million for Third Quarter 2016 and 2015, respectively, and $12 million and $16 million for Nine Months 2016 and 2015, respectively, related to consolidated FG VIEs. |
Subsidiary Information - Con117
Subsidiary Information - Condensed Consolidating Statement of Cash Flows (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | |
Dec. 31, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | $ (190) | $ (39) | ||
Fixed-maturity securities: | ||||
Purchases | (1,028) | (1,844) | ||
Sales | 877 | 1,719 | ||
Maturities | 861 | 635 | ||
Net sales (purchases) of short-term investments | 80 | 751 | ||
Net proceeds from financial guaranty variable entities’ assets | 590 | 114 | ||
Investment in subsidiary | 0 | 0 | ||
Acquisition of Radian Asset, net of cash acquired | 0 | (800) | ||
Cash restricted for CIFG acquisition | (435) | |||
Other | (12) | 59 | ||
Net cash flows provided by (used in) investing activities | 933 | 634 | ||
Cash flows from financing activities | ||||
Return of capital | 0 | 0 | ||
Dividends paid | (52) | (55) | ||
Repurchases of common stock | (190) | (420) | ||
Share activity under option and incentive plans | 4 | (2) | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | (567) | (122) | ||
Payment of long-term debt | (2) | (3) | ||
Net cash flows provided by (used in) financing activities | (807) | (602) | ||
Effect of foreign exchange rate changes | (4) | (2) | ||
Increase (decrease) in cash | (68) | (9) | ||
Cash at beginning of period | $ 66 | 166 | 75 | $ 75 |
Cash at end of period | 166 | 98 | 66 | 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 | 287 | 451 | ||
Fixed-maturity securities: | ||||
Purchases | (4) | 0 | ||
Sales | 4 | 0 | ||
Maturities | 0 | 0 | ||
Net sales (purchases) of short-term investments | (49) | 26 | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Acquisition of Radian Asset, net of cash acquired | 0 | |||
Cash restricted for CIFG acquisition | 0 | |||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | (49) | 26 | ||
Cash flows from financing activities | ||||
Return of capital | 0 | 0 | ||
Dividends paid | (52) | (55) | ||
Repurchases of common stock | (190) | (420) | ||
Share activity under option and incentive plans | 5 | (2) | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Payment of long-term debt | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | (237) | (477) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 1 | 0 | ||
Cash at beginning of period | 0 | 0 | 0 | 0 |
Cash at end of period | 0 | 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 | 171 | 209 | ||
Fixed-maturity securities: | ||||
Purchases | (44) | (72) | ||
Sales | 0 | 170 | ||
Maturities | 23 | 8 | ||
Net sales (purchases) of short-term investments | (3) | 42 | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Acquisition of Radian Asset, net of cash acquired | 0 | |||
Cash restricted for CIFG acquisition | 0 | |||
Other | 7 | (5) | ||
Net cash flows provided by (used in) investing activities | (17) | 143 | ||
Cash flows from financing activities | ||||
Return of capital | 0 | 0 | ||
Dividends paid | (223) | (351) | ||
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 | ||
Net cash flows provided by (used in) financing activities | (223) | (351) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | (69) | 1 | ||
Cash at beginning of period | 1 | 95 | 0 | 0 |
Cash at end of period | 95 | 26 | 1 | 95 |
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | 159 | 134 | ||
Fixed-maturity securities: | ||||
Purchases | (10) | (8) | ||
Sales | 12 | 27 | ||
Maturities | 0 | 0 | ||
Net sales (purchases) of short-term investments | (1) | 4 | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Investment in subsidiary | 0 | 25 | ||
Acquisition of Radian Asset, net of cash acquired | 0 | |||
Cash restricted for CIFG acquisition | 0 | |||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | 1 | 48 | ||
Cash flows from financing activities | ||||
Return of capital | 0 | 0 | ||
Dividends paid | (158) | (182) | ||
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 | ||
Net cash flows provided by (used in) financing activities | (158) | (182) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 2 | 0 | ||
Cash at beginning of period | 4 | 8 | 4 | 4 |
Cash at end of period | 8 | 10 | 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 | 3 | 99 | ||
Fixed-maturity securities: | ||||
Purchases | (970) | (1,830) | ||
Sales | 861 | 1,522 | ||
Maturities | 838 | 627 | ||
Net sales (purchases) of short-term investments | 133 | 679 | ||
Net proceeds from financial guaranty variable entities’ assets | 590 | 114 | ||
Investment in subsidiary | 4 | 0 | ||
Acquisition of Radian Asset, net of cash acquired | (800) | |||
Cash restricted for CIFG acquisition | (442) | |||
Other | (12) | 64 | ||
Net cash flows provided by (used in) investing activities | 1,002 | 376 | ||
Cash flows from financing activities | ||||
Return of capital | (4) | (25) | ||
Dividends paid | (429) | (333) | ||
Repurchases of common stock | 0 | 0 | ||
Share activity under option and incentive plans | (1) | 0 | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | (567) | (122) | ||
Payment of long-term debt | (2) | (3) | ||
Net cash flows provided by (used in) financing activities | (1,003) | (483) | ||
Effect of foreign exchange rate changes | (4) | (2) | ||
Increase (decrease) in cash | (2) | (10) | ||
Cash at beginning of period | 61 | 63 | 71 | 71 |
Cash at end of period | 63 | 61 | 61 | 63 |
Consolidating Adjustments [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | (810) | (932) | ||
Fixed-maturity securities: | ||||
Purchases | 0 | 66 | ||
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 | ||
Investment in subsidiary | (4) | (25) | ||
Acquisition of Radian Asset, net of cash acquired | 0 | |||
Cash restricted for CIFG acquisition | 7 | |||
Other | (7) | 0 | ||
Net cash flows provided by (used in) investing activities | (4) | 41 | ||
Cash flows from financing activities | ||||
Return of capital | 4 | 25 | ||
Dividends paid | 810 | 866 | ||
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 | ||
Net cash flows provided by (used in) financing activities | 814 | 891 | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 0 | 0 | ||
Cash at beginning of period | 0 | 0 | 0 | 0 |
Cash at end of period | $ 0 | $ 0 | $ 0 | $ 0 |