Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2017 | Nov. 01, 2017 | |
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, 2017 | |
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 | 117,453,849 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q3 |
Consolidated Balance Sheets (un
Consolidated Balance Sheets (unaudited) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Investment portfolio: | ||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $10,045 and $9,974) | $ 10,546 | $ 10,233 |
Short-term investments, at fair value | 949 | 590 |
Other invested assets | 96 | 162 |
Total investment portfolio | 11,591 | 10,985 |
Cash | 72 | 118 |
Premiums receivable, net of commissions payable | 922 | 576 |
Ceded unearned premium reserve | 108 | 206 |
Deferred acquisition costs | 105 | 106 |
Reinsurance recoverable on unpaid losses | 39 | 80 |
Salvage and subrogation recoverable | 497 | 365 |
Credit derivative assets | 3 | 13 |
Deferred tax asset, net | 135 | 497 |
Current income tax receivable | 72 | 12 |
Financial guaranty variable interest entities’ assets, at fair value | 707 | 876 |
Other assets | 398 | 317 |
Total assets | 14,649 | 14,151 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 3,597 | 3,511 |
Loss and loss adjustment expense reserve | 1,326 | 1,127 |
Reinsurance balances payable, net | 45 | 64 |
Long-term debt | 1,292 | 1,306 |
Credit derivative liabilities | 305 | 402 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 657 | 807 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 111 | 151 |
Other liabilities | 438 | 279 |
Total liabilities | 7,771 | 7,647 |
Commitments and contingencies (See Note 14) | ||
Common stock ($0.01 par value, 500,000,000 shares authorized; 117,937,242 and 127,988,230 shares issued and outstanding) | 1 | 1 |
Additional paid-in capital | 637 | 1,060 |
Retained earnings | 5,913 | 5,289 |
Accumulated other comprehensive income, net of tax of $148 and $70 | 326 | 149 |
Deferred equity compensation | 1 | 5 |
Total shareholders’ equity | 6,878 | 6,504 |
Total liabilities and shareholders’ equity | $ 14,649 | $ 14,151 |
Consolidated Balance Sheets (u3
Consolidated Balance Sheets (unaudited) (Parenthetical) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Statement of Financial Position [Abstract] | ||
Fixed maturity securities, available-for-sale, at fair value | $ 10,045 | $ 9,974 |
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) | 117,937,242 | 127,988,230 |
Common stock, shares outstanding (in shares) | 117,937,242 | 127,988,230 |
Accumulated other comprehensive income, tax provision | $ 148 | $ 70 |
Consolidated Statements of Oper
Consolidated Statements of Operations (unaudited) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Revenues | ||||
Net earned premiums | $ 186 | $ 231 | $ 512 | $ 628 |
Net investment income | 99 | 94 | 322 | 291 |
Net realized investment gains (losses): | ||||
Other-than-temporary impairment losses | (20) | (4) | (23) | (32) |
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income | (7) | 1 | 6 | (6) |
Net impairment loss | (13) | (5) | (29) | (26) |
Other net realized investment gains (losses) | 20 | 3 | 83 | 21 |
Net realized investment gains (losses) | 7 | (2) | 54 | (5) |
Net change in fair value of credit derivatives: | ||||
Realized gains (losses) and other settlements | (1) | 15 | 19 | 47 |
Net unrealized gains (losses) | 59 | 6 | 87 | (23) |
Net change in fair value of credit derivatives | 58 | 21 | 106 | 24 |
Fair value gains (losses) on committed capital securities | (4) | (23) | (4) | (50) |
Fair value gains (losses) on financial guaranty variable interest entities | 3 | (11) | 25 | 11 |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 259 | 58 | 259 |
Other income (loss) | 274 | (3) | 385 | 49 |
Total revenues | 623 | 566 | 1,458 | 1,207 |
Expenses | ||||
Loss and loss adjustment expenses | 223 | (9) | 354 | 183 |
Amortization of deferred acquisition costs | 5 | 4 | 13 | 13 |
Interest expense | 24 | 26 | 73 | 77 |
Other operating expenses | 58 | 65 | 183 | 188 |
Total expenses | 310 | 86 | 623 | 461 |
Income (loss) before income taxes | 313 | 480 | 835 | 746 |
Provision (benefit) for income taxes | ||||
Current | (148) | 18 | (102) | 80 |
Deferred | 253 | (17) | 259 | (18) |
Total provision (benefit) for income taxes | 105 | 1 | 157 | 62 |
Net income (loss) | $ 208 | $ 479 | $ 678 | $ 684 |
Earnings per share: | ||||
Basic (in dollars per share) | $ 1.75 | $ 3.63 | $ 5.56 | $ 5.10 |
Diluted (in dollars per share) | 1.72 | 3.60 | 5.48 | 5.06 |
Dividends (in dollars per share) | $ 0.1425 | $ 0.13 | $ 0.4275 | $ 0.39 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (unaudited) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income (loss) | $ 208 | $ 479 | $ 678 | $ 684 |
Unrealized holding gains (losses) arising during the period on: | ||||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $10, $(14), $63 and $48 | 27 | (33) | 133 | 146 |
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(7), $8, $44 and $(5) | (15) | 13 | 81 | (10) |
Unrealized holding gains (losses) arising during the period, net of tax | 12 | (20) | 214 | 136 |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $3, $(1), $29 and $(1) | 4 | 0 | 52 | (1) |
Change in net unrealized gains (losses) on investments | 8 | (20) | 162 | 137 |
Other, net of tax provision | 3 | (5) | 15 | (16) |
Other comprehensive income (loss) | 11 | (25) | 177 | 121 |
Comprehensive income (loss) | $ 219 | $ 454 | $ 855 | $ 805 |
Consolidated Statements of Com6
Consolidated Statements of Comprehensive Income (unaudited) (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Statement of Comprehensive Income [Abstract] | ||||
Investments with no other-than-temporary impairment, tax provision (benefit) | $ 10 | $ (14) | $ 63 | $ 48 |
Investments with other-than-temporary impairment, tax provision (benefit) | (7) | 8 | 44 | (5) |
Reclassification adjustment for gains (losses) included in net income (loss), tax provision (benefit) | $ 3 | $ (1) | $ 29 | $ (1) |
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, 2015 | $ 237 | |||||
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | $ 684 | |||||
Other comprehensive income | 121 | |||||
Ending balance at Sep. 30, 2016 | 358 | |||||
Beginning balance at Jun. 30, 2016 | 383 | |||||
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 479 | |||||
Other comprehensive income | (25) | |||||
Ending balance at Sep. 30, 2016 | 358 | |||||
Beginning balance (in shares) at Dec. 31, 2016 | 127,988,230 | |||||
Beginning balance at Dec. 31, 2016 | 6,504 | $ 1 | $ 1,060 | $ 5,289 | 149 | $ 5 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 678 | 678 | ||||
Dividends ($0.4275 per share) | (53) | (53) | ||||
Common stock repurchases (in shares) | (10,734,653) | |||||
Common stock repurchases | (431) | $ 0 | (431) | |||
Share-based compensation and other (in shares) | 683,665 | |||||
Share-based compensation and other | 4 | $ 0 | 8 | (4) | ||
Other comprehensive income | 177 | 177 | ||||
Other | (1) | (1) | ||||
Ending balance (in shares) at Sep. 30, 2017 | 117,937,242 | |||||
Ending balance at Sep. 30, 2017 | 6,878 | $ 1 | 637 | 5,913 | 326 | 1 |
Beginning balance at Jun. 30, 2017 | 315 | |||||
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 208 | |||||
Other comprehensive income | 11 | |||||
Ending balance (in shares) at Sep. 30, 2017 | 117,937,242 | |||||
Ending balance at Sep. 30, 2017 | $ 6,878 | $ 1 | $ 637 | $ 5,913 | $ 326 | $ 1 |
Consolidated Statement of Shar8
Consolidated Statement of Shareholders' Equity (unaudited) (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Statement of Stockholders' Equity [Abstract] | ||||
Dividends, per share (in dollars per share) | $ 0.1425 | $ 0.13 | $ 0.4275 | $ 0.39 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (unaudited) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Statement of Cash Flows [Abstract] | ||
Net cash flows provided by (used in) operating activities | $ 354 | $ (189) |
Fixed-maturity securities: | ||
Purchases | (1,615) | (1,028) |
Sales | 1,128 | 877 |
Maturities | 689 | 861 |
Net sales (purchases) of short-term investments | (240) | 80 |
Net proceeds from paydowns on financial guaranty variable interest entities’ assets | 117 | 590 |
Acquisition of MBIA UK, net of cash acquired (see Note 2) | 95 | 0 |
Acquisition of CIFG, net of cash acquired | 0 | (435) |
Other | 58 | (12) |
Net cash flows provided by (used in) investing activities | 232 | 933 |
Financing activities | ||
Dividends paid | (53) | (52) |
Repurchases of common stock | (431) | (190) |
Repurchases of common stock to pay withholding taxes | (13) | (2) |
Net paydowns of financial guaranty variable interest entities’ liabilities | (124) | (567) |
Repayment/ extinguishment of long-term debt | (29) | (2) |
Proceeds from option exercises | 5 | 6 |
Net cash flows provided by (used in) financing activities | (645) | (807) |
Effect of foreign exchange rate changes | 4 | (4) |
Increase (decrease) in cash and restricted cash | (55) | (67) |
Cash and restricted cash at beginning of period (see Note 10) | 127 | 166 |
Cash and restricted cash at end of period (see Note 10) | 72 | 99 |
Supplemental cash flow information | ||
Income taxes | 3 | 2 |
Interest | $ 53 | $ 55 |
Business and Basis of Presentat
Business and Basis of Presentation | 9 Months Ended |
Sep. 30, 2017 | |
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 primarily 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. The Company also provides other forms of insurance that are in line with its risk profile and benefit from its underwriting experience. In the past, the Company sold credit protection by issuing policies that guaranteed payment obligations under credit derivatives, primarily credit default swaps (CDS). 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 in the U.S. 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 in the U.S. since 2009. The Company actively pursues opportunities to terminate existing CDS, which terminations 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, 2017 and cover the three-month period ended September 30, 2017 ( Third Quarter 2017 ), the three-month period ended September 30, 2016 ( Third Quarter 2016 ), the nine-month period ended September 30, 2017 ( Nine Months 2017 ) and the nine-month period ended September 30, 2016 ( Nine Months 2016 ). 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, except Note 18, Subsidiary Information, which reflects transfers of businesses between entities within the consolidated group that occurred in the current reporting period consistently for all prior periods presented. The unaudited interim consolidated financial statements include the accounts of AGL, its direct and indirect 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, 2016 , 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) plc (AGE), organized in the U.K.; and • Assured Guaranty Re Ltd. (AG Re) and Assured Guaranty Re Overseas Ltd. (AGRO), domiciled in Bermuda. The Company’s organizational structure includes various holding companies, two of which - Assured Guaranty US Holdings Inc. (AGUS) and AGMH - have public debt outstanding. Please refer to Note 15, Long-Term Debt and Credit Facilities and Note 18, Subsidiary Information. The Company is actively working to combine the operations of its European subsidiaries, AGE, Assured Guaranty (UK) plc (AGUK), Assured Guaranty (London) plc (AGLN) and CIFG Europe S.A. (CIFGE), through a multi-step transaction, which ultimately is expected to result in AGUK, AGLN and CIFGE transferring their insurance portfolios to and merging with and into AGE. As a preparatory step for the merger, AGE, AGUK and AGLN were re-registered as public limited companies on June 1, 2017. As a further preparatory step, AGUK, AGLN and CIFGE were sold by AGC to AGM and then contributed by AGM to AGE on June 26, 2017. While the Company and its European subsidiaries have received certain regulatory approvals, the combination is subject to further regulatory and court approvals. As a result, the Company cannot predict whether, or when, such combination will be completed. Adopted Accounting Standards Statement of Cash Flows In November 2016, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash (a consensus of the Emerging Issues Task Force), which addresses the presentation of changes in restricted cash and restricted cash equivalents in the statement of cash flows with the objective of reducing the existing diversity in practice. Under the ASU, entities are required to show the changes in the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the statement of cash flows. As a result, entities will no longer present transfers between cash and cash equivalents and restricted cash and restricted cash equivalents in the statement of cash flows. When cash, cash equivalents, restricted cash and restricted cash equivalents are presented in more than one line item on the balance sheet, the ASU requires a reconciliation be presented either on the face of the statement of cash flows or in the notes to the financial statements showing the totals in the statement of cash flows to the related captions in the balance sheet. The ASU was adopted on January 1, 2017 and was applied retrospectively. The required reconciliation is shown in Note 10, Investments and Cash. 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 ASU was adopted on January 1, 2017 and did not have an effect on the Company’s consolidated statements of cash flows for the periods presented. 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 requires all income tax effects of awards to be recognized in the income statement when the awards vest or are settled. It also allows an employer to repurchase more of an employee’s shares than it previously could for tax withholding purposes without triggering liability accounting and to make a policy election to account for forfeitures as they occur. The ASU was adopted January 1, 2017 with no material effect on the consolidated financial statements. Future Application of Accounting Standards Income Taxes In October 2016, the FASB issued 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 does not expect this ASU to have a material effect on its consolidated financial statements. Financial Instruments In January 2016, the FASB issued ASU 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities . The amendments in this ASU are intended to make targeted improvements to GAAP by addressing certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. Under the ASU, certain equity securities will need to be accounted for at fair value with changes in fair value recognized through net income instead of other comprehensive income (OCI). The Company does not expect that the amendment related to certain equity securities will have a material effect on its consolidated financial statements. Another amendment pertains to liabilities that an entity has elected to measure at fair value in accordance with the fair value option for financial instruments. For these liabilities, the portion of fair value change related to instrument specific credit risk will be separately presented in OCI as opposed to the income statement. The Company elected the fair value option to account for its consolidated FG VIEs. The Company is evaluating the effect that the ASU will have on its consolidated FG VIEs. The ASU is effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Entities will be required to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the fiscal year in which the guidance is adopted. Premium Amortization on Purchased Callable Debt Securities In March 2017, the FASB issued ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Topic 310-20) - Premium Amortization on Purchased Callable Debt Securities . This ASU shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date. This ASU has no effect on the accounting for purchased callable debt securities held at a discount. ASU 2017-08 is to be applied using a modified retrospective approach through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. The ASU is effective for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. Early adoption is permitted. The Company does not expect this ASU to have a material effect on its consolidated financial statements. Leases In February 2016, the FASB issued ASU 2016-02, Leases (Topic 842) . This ASU requires lessees to present right-of-use assets and lease liabilities on the balance sheet. ASU 2016-02 is to be applied using a modified retrospective approach at the beginning of the earliest comparative period in the financial statements. The ASU is effective for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. Early adoption is permitted. The Company is evaluating the effect that this ASU will have on its consolidated financial statements. Credit Losses on Financial Instruments In June 2016, the 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 also eliminates the concept of “other than temporary” from the impairment model for certain available-for-sale securities. Accordingly, the ASU states that an entity must use an allowance approach, must limit the allowance to an amount by 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 debt securities classified as available-for-sale, 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. The Company is evaluating the effect that this ASU will have on its consolidated financial statements. |
Acquisitions
Acquisitions | 9 Months Ended |
Sep. 30, 2017 | |
Business Combinations [Abstract] | |
Acquisitions | Acquisitions MBIA UK Insurance Limited On January 10, 2017 (the MBIA UK Acquisition Date), AGC completed its acquisition of MBIA UK Insurance Limited (MBIA UK), the U.K. operating subsidiary of MBIA Insurance Corporation (MBIA) (the MBIA UK Acquisition). As consideration for the outstanding shares of MBIA UK plus $23 million in cash, AGC exchanged all its holdings of notes issued in the Zohar II 2005-1 transaction (Zohar II Notes), which were insured by MBIA. AGC’s Zohar II Notes had total outstanding principal of approximately $347 million and fair value of $334 million as of the MBIA UK Acquisition Date. The MBIA UK Acquisition added approximately $12 billion of net par insured on January 10, 2017. MBIA UK was renamed Assured Guaranty (London) Ltd. and on June 1, 2017, was re-registered as a public limited company (plc). Further, AGLN was sold by AGC to AGM and then contributed by AGM to AGE on June 26, 2017. Please refer to Note 1, Business and Basis of Presentation for additional information on the Company's European subsidiaries combination. The MBIA UK 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 MBIA UK Acquisition. The most significant of these determinations related to the valuation of MBIA UK's financial guaranty insurance contracts. On an aggregate basis, MBIA UK's contractual premiums for financial guaranty insurance contracts were less than the premiums a market participant of similar credit quality would demand to acquire those contracts on the MBIA UK Acquisition Date, particularly for below-investment-grade (BIG) transactions, resulting in a significant amount of the purchase price being allocated to these contracts. For information on the methodology used to measure the fair value of assets acquired and liabilities assumed in the MBIA UK Acquisition, please refer to Note 7, Fair Value Measurement. The fair value of the Company's stand-ready obligation on the MBIA UK Acquisition Date is recorded in unearned premium reserve. After the MBIA UK 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 MBIA UK Acquisition are included in 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 MBIA UK had pre-existing reinsurance relationships, which were also effectively settled at fair value on the MBIA UK Acquisition Date. The gain on settlement of these pre-existing reinsurance relationships represents the net difference between the historical assumed balances that were recorded by the Company and the fair value of ceded balances acquired from MBIA UK. The Company believes the bargain purchase gain resulted from MBIA's strategy to address its insurance obligations with regards to the Zohar II Notes, the issuers of which MBIA did not expect would have sufficient funds to repay such notes in full on the scheduled maturity date of such notes in January 2017. The following table shows the net effect of the MBIA UK 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 MBIA UK Acquisition (in millions) Purchase price (1) $ 334 $ — $ 334 Identifiable assets acquired: Investments 459 — 459 Cash 72 — 72 Premiums receivable, net of commissions payable 274 (4 ) 270 Other assets 16 (6 ) 10 Total assets 821 (10 ) 811 Liabilities assumed: Unearned premium reserves 389 (6 ) 383 Current tax payable 25 — 25 Other liabilities 4 (5 ) (1 ) Total liabilities 418 (11 ) 407 Net assets of MBIA UK 403 1 404 Cash acquired from MBIA Holdings 23 — 23 Deferred tax liability (36 ) — (36 ) Net asset effect of MBIA UK Acquisition 390 1 391 Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisition, after-tax 56 1 57 Deferred tax — 1 1 Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisition, pre-tax $ 56 $ 2 $ 58 _____________________ (1) The purchase price of $334 million was allocated as follows: (1) $329 million for the purchase of net assets of $385 million , and (2) the settlement of pre-existing relationships between MBIA UK and Assured Guaranty at a fair value of $5 million . Revenue and net income related to MBIA UK from the MBIA UK Acquisition Date through September 30, 2017 included in the consolidated statement of operations were approximately $176 million and $129 million , respectively, including the bargain purchase gain, settlement of pre-existing relationships, quarterly activity and realized gain on the disposition of AGC's Zohar II Notes. For Nine Months 2017 , the Company recognized transaction expenses related to the MBIA UK Acquisition of $7 million comprising primarily legal and financial advisors fees. Unaudited Pro Forma Results of Operations The following unaudited pro forma information presents the combined results of operations of Assured Guaranty and MBIA UK as if the acquisition had been completed on January 1, 2016, as required under GAAP. The pro forma accounts include the estimated historical results of the Company and MBIA UK and pro forma adjustments primarily comprising the earning of the unearned premium reserve and the expected losses that would be recognized in net income for each prior period presented, as well as the accounting for bargain purchase gain, settlement of pre-existing relationships, the realized gain on the disposition of the Zohar II Notes and MBIA UK acquisition related expenses, all net of tax at the applicable statutory rate. The unaudited pro forma combined financial information is presented for illustrative purposes only and does not indicate the financial results of the combined company had the companies actually been combined as of January 1, 2016, nor is it indicative of the results of operations in future periods. The Company did not include any pro forma combined financial information for 2017 as substantially all of MBIA UK's results of operations for 2017 are included in Nine Months 2017 consolidated statements of operations. Unaudited Pro Forma Results of Operations Nine Months 2016 (in millions, except per share amounts) Pro forma revenues $ 1,358 Pro forma net income 796 Pro forma earnings per share (EPS): Basic 5.93 Diluted 5.89 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. (CIFGNA) (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 CIFGNA 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. Please refer to Note 2, Acquisitions, 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, 2016 for additional information on the acquisition of CIFG Holding Inc., including the purchase price and the allocation of the purchase price to net assets acquired and the resulting bargain purchase gain and the loss on settlement of pre-existing relationships. |
Ratings
Ratings | 9 Months Ended |
Sep. 30, 2017 | |
Rating Actions [Abstract] | |
Ratings | Ratings The financial strength ratings (or similar ratings) for the Company’s insurance companies, along with the date of the most recent rating action (or confirmation) by the rating agency, are shown in the table below. Ratings are subject to continuous rating agency review and revision or withdrawal at any time. In addition, 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. S&P Global Ratings, a division of Standard & Poor’s Financial Services LLC Kroll Bond Rating Agency Moody’s Investors Service, Inc. A.M. Best Company, Inc. AGM AA (stable) (6/26/17) AA+ (stable) (12/14/16) A2 (stable) (8/8/16) — AGC AA (stable) (6/26/17) AA (stable) (9/20/16) (1) — MAC AA (stable) (6/26/17) AA+ (stable) (7/14/17) — — AG Re AA (stable) (6/26/17) — — — AGRO AA (stable) (6/26/17) — — A+ (stable) (6/15/17) AGE AA (stable) (6/26/17) — A2 (stable) (8/8/16) — AGUK AA (stable) (6/26/17) — (1) — AGLN BB (positive) (1/12/17) — (2) — CIFGE — — — — ____________________ (1) AGC requested that Moody’s Investors Service, Inc. (Moody's) withdraw its financial strength ratings of AGC and AGUK in January 2017, but Moody's denied that request. Moody’s continues to rate AGC A3 (stable) and AGUK A3; Moody's put AGUK on review for upgrade on June 27, 2017, following its transfer to AGM. (2) Assured Guaranty did not request that Moody's rate AGLN. Moody's continues to rate AGLN, and upgraded its rating to Baa2 (stable) on January 13, 2017, following its acquisition by AGC, and then to Baa1 on review for further upgrade on June 27, 2017, following its transfer to AGM. 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, please refer to Note 6, Contracts Accounted for as Insurance, and Note 13, Reinsurance and Other Monoline Exposures. |
Outstanding Exposure
Outstanding Exposure | 9 Months Ended |
Sep. 30, 2017 | |
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 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 insured portfolio 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 ratings of the transactions are used. Credits identified as BIG are subjected to further review to determine the probability of a loss. Please refer to 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 on that transaction in the future 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, which amounts are included in the investment portfolio, because it manages such securities as investments and not insurance exposure. As of September 30, 2017 and December 31, 2016 , the Company excluded $2.0 billion and $2.1 billion , respectively, of net par related to loss mitigation securities (which are mostly BIG), and other loss mitigation strategies. The following table presents the gross and net debt service for 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 $ 407,539 $ 425,849 $ 399,347 $ 409,447 Structured finance 17,464 29,151 17,377 28,088 Total financial guaranty $ 425,003 $ 455,000 $ 416,724 $ 437,535 In addition to amounts shown in the tables above, the Company had outstanding commitments to provide guaranties of $43 million as of 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. Financial Guaranty Portfolio by Internal Rating As of September 30, 2017 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 $ 915 0.4 % $ 2,523 5.9 % $ 2,333 17.8 % $ 419 25.0 % $ 6,190 2.2 % AA 33,614 15.4 301 0.7 4,853 36.9 76 4.5 38,844 14.1 A 124,332 57.0 13,657 32.0 1,778 13.5 268 15.9 140,035 50.8 BBB 52,021 23.8 23,965 56.1 724 5.5 762 45.3 77,472 28.1 BIG 7,334 3.4 2,281 5.3 3,454 26.3 157 9.3 13,226 4.8 Total net par outstanding (1) $ 218,216 100.0 % $ 42,727 100.0 % $ 13,142 100.0 % $ 1,682 100.0 % $ 275,767 100.0 % _____________________ (1) The September 30, 2017 amounts include $13.0 billion of net par from the MBIA UK Acquisition. Please refer to Note 13, Reinsurance and Other Monoline Exposures, for the effect of commutations on net par outstanding. Financial Guaranty Portfolio by Internal Rating As of December 31, 2016 Public Finance U.S. Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Category Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 2,066 0.8 % $ 2,221 8.4 % $ 9,757 44.2 % $ 1,447 47.0 % $ 15,491 5.2 % AA 46,420 19.0 170 0.6 5,773 26.2 127 4.1 52,490 17.7 A 133,829 54.7 6,270 23.8 1,589 7.2 456 14.8 142,144 48.0 BBB 55,103 22.5 16,378 62.1 879 4.0 759 24.6 73,119 24.7 BIG 7,380 3.0 1,342 5.1 4,059 18.4 293 9.5 13,074 4.4 Total net par outstanding $ 244,798 100.0 % $ 26,381 100.0 % $ 22,057 100.0 % $ 3,082 100.0 % $ 296,318 100.0 % Components of BIG Portfolio Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of September 30, 2017 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,563 $ 662 $ 4,109 $ 7,334 $ 218,216 Non-U.S. public finance 2,007 274 — 2,281 42,727 Public finance 4,570 936 4,109 9,615 260,943 Structured finance: U.S. Residential mortgage-backed securities (RMBS) 177 354 2,338 2,869 5,064 Triple-X life insurance transactions — — 85 85 2,058 Trust preferred securities (TruPS) 239 — — 239 1,455 Other structured finance 186 157 75 418 6,247 Structured finance 602 511 2,498 3,611 14,824 Total $ 5,172 $ 1,447 $ 6,607 $ 13,226 $ 275,767 Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of December 31, 2016 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,402 $ 3,123 $ 1,855 $ 7,380 $ 244,798 Non-U.S. public finance 1,288 54 — 1,342 26,381 Public finance 3,690 3,177 1,855 8,722 271,179 Structured finance: U.S. RMBS 197 493 2,461 3,151 5,637 Triple-X life insurance transactions — — 126 126 2,057 TruPS 304 126 — 430 1,892 Other structured finance 304 263 78 645 15,553 Structured finance 805 882 2,665 4,352 25,139 Total $ 4,495 $ 4,059 $ 4,520 $ 13,074 $ 296,318 BIG Net Par Outstanding and Number of Risks As of September 30, 2017 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 $ 4,628 $ 544 $ 5,172 150 9 159 Category 2 1,382 65 1,447 48 4 52 Category 3 6,520 87 6,607 151 8 159 Total BIG $ 12,530 $ 696 $ 13,226 349 21 370 BIG Net Par Outstanding and Number of Risks As of December 31, 2016 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 3,861 $ 634 $ 4,495 165 10 175 Category 2 3,857 202 4,059 79 6 85 Category 3 4,383 137 4,520 148 9 157 Total BIG $ 12,101 $ 973 $ 13,074 392 25 417 _____________________ (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 $5.0 billion net par as of September 30, 2017 , all of which are rated BIG. This amount includes $389 million related to the 2017 commutations of previously ceded business. Please refer to Note 13, Reinsurance and Other Monoline Exposures, for more information. In recent years, Puerto Rico has experienced significant general fund budget deficits and a challenging economic environment. Beginning on January 1, 2016, a number of Puerto Rico credits have defaulted on bond payments, and the Company has now paid claims on most of its Puerto Rico credits as shown in the table "Puerto Rico Net Par Outstanding" below. On November 30, 2015 and December 8, 2015, Governor García Padilla of Puerto Rico (the Former Governor) issued executive orders (Clawback Orders) directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to "claw back" 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). The Puerto Rico credits insured by the Company subject to clawback are shown in the table “Puerto Rico Net Par Outstanding” below. On June 30, 2016, the Puerto Rico Oversight, Management, and Economic Stability Act (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. On January 2, 2017, Ricardo Antonio Rosselló Nevares (the Governor) took office, replacing the Former Governor. On January 29, 2017, the Governor signed the Puerto Rico Emergency and Fiscal Responsibility Act (Emergency Act) that, among other things, defined an emergency period that has since been extended to December 31, 2017, continued diversion of collateral away from bonds the Company insures, and defined the powers and duties of the Fiscal Agency and Financial Advisory Authority (FAFAA). In mid-March 2017, the Oversight Board certified Puerto Rico’s fiscal plan, dated March 13, 2017 (Fiscal Plan). The Fiscal Plan provides only approximately $7.9 billion for Commonwealth debt service over the next ten years, an amount less than scheduled debt service for such period. The Fiscal Plan itself acknowledges that there are a number of legal and contractual issues not addressed by the Fiscal Plan. On April 28, 2017, the Oversight Board approved fiscal plans for Puerto Rico Electric Power Authority (PREPA) and PRHTA, and directed Puerto Rico Aqueduct and Sewer Authority (PRASA) to amend its proposed plan in several ways. The Oversight Board approved the amended PRASA plan on June 30, 2017. The PRHTA plan assumes that PRHTA will not pay any debt service at least through 2026. The PRASA plan assumes it will pay only approximately 65% of its debt service through 2026. The Company does not believe the fiscal plans of PRHTA or PRASA in their current forms comply with certain mandatory requirements of PROMESA. On May 3, 2017, the Oversight Board filed a petition with the Federal District Court of Puerto Rico for the Commonwealth under Title III of PROMESA. Title III of PROMESA provides for a process analogous to a voluntary bankruptcy process under chapter 9 of the United States Bankruptcy Code (Bankruptcy Code). On May 5, 2017, the Oversight Board certified a filing under Title III of PROMESA for the Puerto Rico Sales Tax Financing Corporation (COFINA). On May 21, 2017, the Board filed a petition under Title III of PROMESA for PRHTA. On July 2, 2017, after the rejection by the Oversight Board and termination by PREPA of the Restructuring Support Agreement (RSA) described below, the Oversight Board commenced proceedings for PREPA under Title III of PROMESA. The Company believes that a number of the actions taken by the Commonwealth, the Oversight Board and others with respect to obligations the Company insures are illegal or unconstitutional or both, and has taken legal action, and may take additional legal action in the future, to enforce its rights with respect to these matters. Please see “Puerto Rico Recovery Litigation” below. Judge Laura Taylor Swain of the Southern District of New York was selected by Chief Justice John Roberts of the United States Supreme Court to preside over any proceedings under PROMESA. Judge Swain has selected a team of five federal judges to act as mediators for certain issues and disputes. On September 20, 2017, Hurricane Maria made landfall in Puerto Rico as a Category 4 hurricane on the Saffir-Simpson scale, causing loss of life and widespread devastation in the Commonwealth. Damage to the Commonwealth’s infrastructure, including the power grid, water system and transportation system, was extensive, with the entire island being without power in the aftermath of the storm. Officials continue to assess the extent of the damage, but rebuilding and economic recovery are expected to take years. While the federal government is expected to provide very substantial resources for relief and rebuilding -- which is expected to help economic activity and address the Commonwealth’s infrastructure needs in the intermediate and longer term -- economic activity in general and tourism in particular, as well as tax collections, are all expected to decline in the short term. Out migration to the mainland is also expected to increase, at least initially. Litigation and mediation related to the Commonwealth’s debt have been delayed by Hurricane Maria. The final form and timing of responses to Puerto Rico’s financial distress and the devastation of Hurricane Maria eventually taken by the federal government or implemented under the auspices of PROMESA and the Oversight Board or otherwise, and the final impact, after resolution of legal challenges, of any such responses on obligations insured by the Company, are 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 claw back revenues supporting debt insured by the Company. Prior to the enactment of PROMESA , the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that Puerto Rico's attempt to “claw back” pledged taxes is unconstitutional, and demanding declaratory and injunctive relief. Please see "Puerto Rico Recovery Litigation" below. • 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, 2017 , the Company had $1,419 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, the Commonwealth defaulted on most of the debt service payment due that day, and the Company made its first claim payments on these bonds, and has continued to make claim payments on these bonds. As noted above, the Oversight Board filed a petition under Title III of PROMESA with respect to the Commonwealth. Puerto Rico Public Buildings Authority (PBA). As of September 30, 2017 , the Company had $141 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, the PBA defaulted on most of the debt service payment due that day, and the Company made its first claim payments on these bonds, and has continued to make claim payments on these bonds. Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA. As of September 30, 2017 , the Company had $882 million insured net par outstanding of PRHTA (transportation revenue) bonds and $495 million insured net par of PRHTA (highways revenue) bonds. The transportation revenue bonds are secured by a subordinate gross lien on 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 lien on gasoline and gas oil and diesel oil taxes, motor vehicle license fees and certain tolls. The non-toll revenues consisting of excise taxes and fees collected by the Commonwealth on behalf of PRHTA and its bondholders that are statutorily allocated to PRHTA and its bondholders are potentially subject to clawback. Despite the presence of funds in relevant debt service accounts that the Company believes should have been employed to fund debt service, PRHTA defaulted on the full July 1, 2017 insured debt service payment, and the Company made its first claim payments on these bonds. As noted above, on April 28, 2017, the Oversight Board approved a fiscal plan for PRHTA that PRHTA will not pay any debt service at least through 2026. The Company does not believe the PRHTA fiscal plan in its current form complies with certain mandatory requirements of PROMESA. PRCCDA. As of September 30, 2017 , 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 potentially subject to clawback. There were sufficient funds in the PRCCDA bond accounts to make only partial payments on the July 1, 2017 PRCCDA bond payments guaranteed by the Company, and the Company made its first claim payments on these bonds. PRIFA. As of September 30, 2017 , 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 potentially subject to the clawback. 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 PREPA. As of September 30, 2017 , the Company had $853 million insured net par outstanding of PREPA obligations, which are secured by a lien on the revenues of the electric system. On December 24, 2015, AGM and AGC entered into an 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) would be supported by securitization bonds issued by a special purpose corporation and secured by a transition charge assessed on ratepayers. In March 2017, the Governor indicated a desire to modify certain aspects of the RSA. On April 6, 2017, the Governor announced that an agreement in principle had been reached to supplement the RSA. As supplemented, the RSA called for AGM and AGC to provide surety insurance policies aggregating approximately $113 million ( $14 million for AGC and $99 million for AGM) to support the securitization bonds contemplated by the RSA, to extend the maturity of all of the relending financing provided in 2016, and to provide $120 million of principal payment deferrals in 2018 through 2023. In addition, the RSA as supplemented provided for a consensual restructuring under Title VI of PROMESA. The Oversight Board did not certify the RSA under Title VI of PROMESA as the Company believes is required by PROMESA, but rather, on July 2, 2017, commenced proceedings for PREPA under Title III of PROMESA. PREPA defaulted on its July 1, 2017 debt service payments, and the Company made its first claim payments on these bonds to bondholders as a result of these defaults. The Company believes that a number of the actions taken by the Commonwealth, the Oversight Board and others with respect to the PREPA obligations it insures and the RSA are illegal or unconstitutional or both, and has taken legal action, and may take additional legal action in the future, to enforce its rights with respect to these matters. Please see “Puerto Rico Recovery Litigation” below. PRASA. As of September 30, 2017 , the Company had $373 million of insured net par outstanding to PRASA bonds, which are secured by a lien on 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. The PRASA bond accounts contained sufficient funds to make the PRASA bond payments due through the date of this filing that were guaranteed by the Company, and those payments were made in full. As noted above, on April 28, 2017, the Oversight Board considered a fiscal plan for PRASA that assumes PRASA will pay only approximately 65% of its debt service through 2026, and approved the amended plan on June 30, 2017. Because PRASA has several categories of debt outstanding and the Company insures only PRASA debt with a senior lien on gross revenues of PRASA, it is unclear whether (or to what extent, if any) the payment of only 65% of debt service through 2026 would result in a reduction in PRASA payments of Company-insured debt. The Company does not believe the PRASA fiscal plan in its current form complies with certain mandatory requirements of PROMESA. Municipal Finance Agency (MFA). As of September 30, 2017 , the Company had $360 million net par outstanding of bonds issued by MFA secured by a lien on local property tax revenues. The MFA bond accounts contained sufficient funds to make the MFA bond payments due through the date of this filing that were guaranteed by the Company, and those payments were made in full. COFINA. As of September 30, 2017 , the Company had $272 million insured net par outstanding of junior COFINA bonds, which are secured primarily by a second lien on certain sales and use taxes. As noted above, the Oversight Board filed a petition on behalf of the Commonwealth under Title III of PROMESA. COFINA defaulted on its August 1, 2017 insured debt service payment, and the Company made its first claim payments on these bonds. University of Puerto Rico (U of PR). As of September 30, 2017 , 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. As of the date of this filing, all debt service payments on U of PR bonds insured by the Company have been made. Puerto Rico Recovery Litigation The Company believes that a number of the actions taken by the Commonwealth, the Oversight Board and others with respect to obligations it insures are illegal or unconstitutional or both, and has taken legal action, and may take additional legal action in the future, to enforce its rights with respect to these matters. On January 7, 2016, AGM, AGC and Ambac Assurance Corporation (Ambac) commenced an action for declaratory judgment and injunctive relief in the U.S. District Court for the District of Puerto Rico (Federal District Court in Puerto Rico) to invalidate the executive orders issued by the Former Governor on November 30, 2015 and December 8, 2015 directing that the Secretary of the Treasury of the Commonwealth of Puerto Rico and the Puerto Rico Tourism Company claw back certain taxes and revenues pledged to secure the payment of bonds issued by the PRHTA, the PRCCDA and the PRIFA. The Commonwealth defendants filed a motion to dismiss the action for lack of subject matter jurisdiction, which the Court denied on October 4, 2016. On October 14, 2016, the Commonwealth defendants filed a notice of PROMESA automatic stay. While the PROMESA automatic stay expired on May 1, 2017, on May 17, 2017, the Court stayed the action under Title III of PROMESA. On May 3, 2017, AGM and AGC filed in the Federal District Court in Puerto Rico an adversary complaint seeking a judgment that the Commonwealth's Fiscal Plan violates various sections of PROMESA and the Contracts, Takings and Due Process Clauses of the U.S. Constitution, an injunction enjoining the Commonwealth and Oversight Board from presenting or proceeding with confirmation of any plan of adjustment based on the Fiscal Plan, and a stay on the confirmation of any plan of adjustment based on the Fiscal Plan pending development of a fiscal plan that complies with PROMESA and the U.S. Constitution. On October 6, 2017, AGC and AGM voluntarily withdrew without prejudice the complaint, based on their expectation that the Fiscal Plan would be modified as a result of Hurricane Maria. On May 16, 2017, The Bank of New York Mellon, as trustee for the bonds issued by COFINA, filed an adversary complaint for interpleader and declaratory relief with the Federal District Court in Puerto Rico to resolve competing and conflicting demands made by various groups of COFINA bondholders, insurers of certain COFINA Bonds and COFINA, regarding funds held by the trustee for certain COFINA bond debt service payments scheduled to occur on and after June 1, 2017. On May 19, 2017, an order to show cause was entered permitting AGC and AGM to intervene in this matter. While AGM has insured COFINA Bonds, AGC has not. On June 3, 2017, AGC and AGM filed an adversary complaint in Federal District Court in Puerto Rico seeking (i) a judgment declaring that the application of pledged special revenues to the payment of the PRHTA Bonds is not subject to the PROMESA Title III automatic stay and that the Commonwealth has violated the special revenue protections provided to the PRHTA Bonds under the Bankruptcy Code; (ii) an injunction enjoining the Commonwealth from taking or causing to be taken any action that would further violate the special revenue protections provided to the PRHTA Bonds under the Bankruptcy Code; and (iii) an injunction ordering the Commonwealth to remit the pledged special revenues securing the PRHTA Bonds in accordance with the terms of the special revenue provisions set forth in the Bankruptcy Code. On June 26, 2017, AGM and AGC filed a complaint in Federal District Court in Puerto Rico seeking (i) a declaratory judgment that the PREPA RSA is a “Preexisting Voluntary Agreement” under Section 104 of PROMESA and the Oversight Board’s failure to certify the PREPA RSA is an unlawful application of Section 601 of PROMESA; (ii) an injunction enjoining the Oversight Board from unlawfully applying Section 601 of PROMESA and ordering it to certify the PREPA RSA; and (iii) a writ of mandamus requiring the Oversight Board to comply with its duties under PROMESA and certify the PREPA RSA. On July 21, 2017, in light of its PREPA Title III petition on July 2, 2017, the Oversight Board filed a notice of stay under PROMESA. On July 18, 2017, AGM and AGC filed a motion for relief from the automatic stay in the PREPA Title III bankruptcy proceeding and a form of complaint seeking the appointment of a receiver for PREPA. That motion was denied on September 14, 2017. AGM and AGC filed a notice of appeal on September 28, 2017. On August 7, 2017, AGC and AGM filed an adversary complaint in Federal District |
Expected Loss to be Paid
Expected Loss to be Paid | 9 Months Ended |
Sep. 30, 2017 | |
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. In the case of its assumed business, the Company may conduct its own analysis as just described or, depending on the Company’s view of the potential size of any loss and the information available to the Company, the Company may use loss estimates provided by ceding insurers. The Company monitors the performance of its transactions with expected losses and each quarter the Company’s loss reserve committees review and refresh their loss projection assumptions and scenarios and the probabilities they assign to those scenarios based on actual developments during the quarter and their view of future performance. The financial guaranties issued by the Company insure the credit performance of the guaranteed obligations over an extended period of time, in some cases over 30 years , and in most circumstances, the Company has no right to cancel such financial guaranties. As a result, the Company's estimate of ultimate losses on a policy is subject to significant uncertainty over the life of the insured transaction. Credit performance can be adversely affected by economic, fiscal and financial market variability over the long life of most contracts. The determination of expected loss to be paid is an inherently subjective process involving numerous estimates, assumptions and judgments by management, using both internal and external data sources with regard to frequency, severity of loss, economic projections, governmental actions, negotiations and other factors that affect credit performance. These estimates, assumptions and judgments, and the factors on which they are based, may change materially over a reporting period, and as a result the Company’s loss estimates may change materially over that same period. The Company does not use traditional actuarial approaches to determine its estimates of expected losses. Actual losses will ultimately depend on future events or transaction performance and may be influenced by many interrelated factors that are difficult to predict. As a result, the Company's current projections of 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 Loss 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, 2016 . 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 expected recoveries/ (payables) for breaches of representations and warranties (R&W) and other expected recoveries. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 0.0% to 2.94% with a weighted average of 2.27% as of September 30, 2017 and 0.0% to 3.23% with a weighted average of 2.73% as of December 31, 2016 . Net Expected Loss to be Paid Roll Forward Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Net expected loss to be paid, beginning of period $ 1,297 $ 1,326 $ 1,198 $ 1,391 Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 — — 21 — Net expected loss to be paid on the CIFG portfolio as of July 1, 2016 — 22 — 22 Economic loss development (benefit) due to: Accretion of discount 8 5 24 20 Changes in discount rates (6 ) (29 ) 28 79 Changes in timing and assumptions 202 (20 ) 246 (62 ) Total economic loss development (benefit) 204 (44 ) 298 37 Net (paid) recovered losses (209 ) (214 ) (225 ) (360 ) Net expected loss to be paid, end of period $ 1,292 $ 1,090 $ 1,292 $ 1,090 Net Expected Loss to be Paid Roll Forward by Sector Third Quarter 2017 Net Expected Economic Loss Development / (Benefit) (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 1,044 $ 229 $ (227 ) $ 1,046 Non-U.S. public finance 42 0 5 47 Public finance 1,086 229 (222 ) 1,093 Structured finance: U.S. RMBS 182 (19 ) 13 176 Triple-X life insurance transactions (4 ) (1 ) (2 ) (7 ) Other structured finance 33 (5 ) 2 30 Structured finance 211 (25 ) 13 199 Total $ 1,297 $ 204 $ (209 ) $ 1,292 Net Expected Loss to be Paid Roll Forward by Sector Third Quarter 2016 Net Expected Net Expected Loss to be Paid (Recovered) on CIFG as of July 1, 2016 Economic Loss (Paid) Recovered Losses (1) Net Expected (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 192 (22 ) (27 ) 5 148 Triple-X life insurance transactions 100 — (23 ) (23 ) 54 Other structured finance 34 2 (2 ) 0 34 Structured finance 326 (20 ) (52 ) (18 ) 236 Total $ 1,326 $ 22 $ (44 ) $ (214 ) $ 1,090 Net Expected Loss to be Paid Roll Forward by Sector Nine Months 2017 Net Expected Net Expected as of Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 871 $ — $ 431 $ (256 ) $ 1,046 Non-U.S. public finance 33 13 (4 ) 5 47 Public finance 904 13 427 (251 ) 1,093 Structured finance: U.S. RMBS 206 — (70 ) 40 176 Triple-X life insurance transactions 54 — (56 ) (5 ) (7 ) Other structured finance 34 8 (3 ) (9 ) 30 Structured finance 294 8 (129 ) 26 199 Total $ 1,198 $ 21 $ 298 $ (225 ) $ 1,292 Net Expected Loss to be Paid Roll Forward by Sector Nine Months 2016 Net Expected Net Expected Loss to be Paid (Recovered) on CIFG as of July 1, 2016 Economic Loss (Paid) Recovered Losses (1) Net Expected (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 409 (22 ) (139 ) (100 ) 148 Triple-X life insurance transactions 99 — (21 ) (24 ) 54 Other structured finance 74 2 (19 ) (23 ) 34 Structured finance 582 (20 ) (179 ) (147 ) 236 Total $ 1,391 $ 22 $ 37 $ (360 ) $ 1,090 ____________________ (1) Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. The Company paid $7 million and $3 million in LAE for Third Quarter 2017 and 2016 , respectively and $16 million and $12 million in LAE for Nine Months 2017 and 2016 , respectively. (2) Includes expected LAE to be paid of $23 million as of September 30, 2017 and $12 million as of December 31, 2016 . The following table presents the present value of net expected loss to be paid and the net economic loss development for all contracts by accounting model. Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) By Accounting Model Net Expected Loss to be Paid (Recovered) Net Economic Loss Development (Benefit) As of September 30, 2017 As of December 31, 2016 Third Quarter 2017 Third Quarter 2016 Nine Months 2017 Nine Months 2016 (in millions) Financial guaranty insurance $ 1,205 $ 1,083 $ 207 $ (35 ) $ 328 $ 66 FG VIEs (1) and other 93 105 (2 ) (3 ) (6 ) (6 ) Credit derivatives (2) (6 ) 10 (1 ) (6 ) (24 ) (23 ) Total $ 1,292 $ 1,198 $ 204 $ (44 ) $ 298 $ 37 ___________________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, Contracts Accounted for as Credit Derivatives. Selected U.S. Public Finance Transactions The Company insures general obligation bonds of the Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations aggregating $5.0 billion net par as of September 30, 2017 , 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. As of September 30, 2017, the Company has insured $346 million net par outstanding of general obligation bonds issued by the City of Hartford, Connecticut, which has recently experienced financial distress. The Company rates $345 million net par of that BIG, with the remainder being a second-to-pay policy rated investment grade. The mayor of Hartford announced that the city would be unable to meet its financial obligations by early November 2017 if the State of Connecticut failed to enact a budget, and hired bankruptcy consultants. On October 31, 2017, the State adopted a budget providing for substantial payments to the City, placing the City under State oversight and providing an avenue for the City to issue debt backed by the State. The Company has approximately $19 million of net par exposure as of September 30, 2017 to bonds issued by Parkway East Public Improvement District (District), which is located in Madison County, Mississippi (the County). The bonds, which are rated BIG, are payable from special assessments on properties within the District, as well as amounts paid under a contribution agreement with the County in which the County covenants that it will provide funds in the event special assessments are not sufficient to make a debt service payment. The special assessments have not been sufficient to pay debt service in full. In earlier years, the County provided funding to cover the balance of the debt service requirement, but subsequently claimed the District’s failure to reimburse it within the two years stipulated in the contribution agreement means that the County is not required to provide funding until it is reimbursed. On May 31, 2017, the United States Court of Appeals for the Fifth Circuit reversed a district court ruling favorable to the Company in its declaratory judgment action disputing the County’s interpretation. See “Recovery Litigation” below. 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, 2017 , the Company’s net par subject to the plan consists of $113 million of pension obligation bonds. As part of the plan of adjustment, the City will repay any claims paid on the pension obligation bonds from certain fixed payments and certain variable payments contingent on the City’s revenue growth. The Company projects that its total net expected loss across its troubled U.S. public finance credits as of September 30, 2017 including those mentioned above, which incorporated the likelihood of the various outcomes, will be $1.0 billion , compared with a net expected loss of $871 million as of December 31, 2016. Economic loss development in Third Quarter 2017 was $229 million and economic loss development for Nine Months 2017 was $431 million , which was primarily attributable to Puerto Rico exposures. Selected Non - U.S. Public Finance 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 $456 million and $75 million , respectively. The Company rates all of these exposures BIG 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 $214 million , all of which is rated BIG. As part of the MBIA UK Acquisition, the Company now also insures an obligation backed by the availability and toll revenues of a major arterial road into a city in the U.K. with $218 million of net par outstanding as of September 30, 2017 . This transaction has been underperforming due to lower traffic volume and higher costs compared with expectations at underwriting. These transactions, together with other non-U.S. public finance insured obligations, had expected loss to be paid of $47 million as of September 30, 2017 , compared with $33 million as of December 31, 2016 . The MBIA UK Acquisition added $13 million of net expected loss as of January 2017. There was little economic loss development during Third Quarter 2017 . The economic benefit of approximately $4 million during Nine Months 2017 was due mainly to the improved internal outlook of certain European sovereigns and sub-sovereign entities. 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 expected R&W recoveries 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 2017 U.S. RMBS Loss Projections Based on its observation during the period of the performance of its insured transactions (including delinquencies, liquidation rates and loss severities) as well as the residential property market and economy in general, the Company chose to make the changes to the assumptions it uses to project RMBS losses shown in the tables of assumptions in the sections below. 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, 2017 June 30, 2017 December 31, 2016 Delinquent/Modified in the Previous 12 Months Alt A and Prime 20% 20% 25% Option ARM 20 20 25 Subprime 20 20 25 30 – 59 Days Delinquent Alt A and Prime 30 30 35 Option ARM 35 35 35 Subprime 40 40 40 60 – 89 Days Delinquent Alt A and Prime 40 40 45 Option ARM 45 45 50 Subprime 50 45 50 90+ Days Delinquent Alt A and Prime 50 50 55 Option ARM 55 55 55 Subprime 55 55 55 Bankruptcy Alt A and Prime 45 45 45 Option ARM 50 50 50 Subprime 40 40 40 Foreclosure Alt A and Prime 65 60 65 Option ARM 65 65 65 Subprime 65 65 65 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 most heavily weighted scenario (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 5.75 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. Each quarter the Company reviews available data and (if necessary) adjusts its severities based on its observations. 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 June 30, 2017 As of Range Weighted Average Range Weighted Average Range Weighted Average Alt A and Prime Plateau CDR 1.0 % - 11.0% 5.1% 1.1 % - 10.3% 5.1 % 1.0 % – 13.5% 5.7% Final CDR 0.0 % - 0.5% 0.3% 0.1 % - 0.5% 0.3 % 0.0 % – 0.7% 0.3% Initial loss severity: 2005 and prior 60% 60% 60% 2006 80% 80% 80% 2007+ 70% 70% 70% Option ARM Plateau CDR 2.4 % - 6.6% 5.3% 3.7 % - 6.7% 5.4 % 3.2 % – 7.0% 5.6% Final CDR 0.1 % - 0.3% 0.3% 0.2 % - 0.3% 0.3 % 0.2 % – 0.3% 0.3% Initial loss severity: 2005 and prior 60% 60% 60% 2006 70% 70% 70% 2007+ 75% 75% 75% Subprime Plateau CDR 3.6 % - 13.1% 7.9% 3.8 % - 13.1% 7.8 % 2.8 % – 14.1% 8.1% Final CDR 0.2 % - 0.7% 0.4% 0.2 % - 0.7% 0.4 % 0.1 % – 0.7% 0.4% Initial loss severity: 2005 and prior 80% 80% 80% 2006 90% 90% 90% 2007+ 95% 95% 90% ____________________ (1) Represents variables for the base case. The rate at which the principal amount of loans is voluntarily prepaid may impact both the amount of losses projected (since that amount is a function of the 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 conditional prepayment rate (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, 2017 and December 31, 2016 . 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, 2017 . The Company used a similar approach to establish its pessimistic and optimistic scenarios as of September 30, 2017 as it used as of June 30, 2017 and December 31, 2016 , increasing and decreasing the periods of stress from those used in the base case. In the Company's most 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, expected loss to be paid would increase from current projections by approximately $24 million for Alt-A first liens, $9 million for Option ARM, $41 million for subprime and $1 million for prime transactions. In the Company's least 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 $11 million for Alt-A first liens, $21 million for Option ARM, $22 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 mortgages. 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 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 plateau losses. 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 six months of delinquent data and 28 months of decrease to the steady state CDR, the same as of June 30, 2017 and December 31, 2016 . 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. This causes the borrower's total monthly payment to increase, sometimes substantially, at the end of the initial interest-only period. In the prior periods, as the HELOC loans underlying the Company's insured HELOC transactions reached their principal amortization period, the Company incorporated an assumption that a percentage of loans reaching their principal amortization periods would default around the time of the payment increase. Most of the HELOC loans underlying the Company's insured HELOC transactions are now past their interest only reset date, although a significant number of HELOC loans were modified to extend the interest only period for another five years. As a result, in Third Quarter 2017 , the Company eliminated the CDR increase that was applied when such loans reached their principal amortization period. In addition, based on the average performance history, starting in Third Quarter 2017 , the Company applied a CDR floor of 2.5% for the future steady state CDR on all its HELOC transactions and reduced the liquidation rate assumption for selected vintages. When a second lien loan defaults, there is generally a very low recovery. The Company assumed as of September 30, 2017 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, 2017 and December 31, 2016 . 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 be 15% for second lien transactions (in the base case), which is lower than the historical average but reflects the Company’s continued uncertainty about the projected performance of the borrowers in these transactions. For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. This pattern is generally consistent with how the Company modeled the CPR as of June 30, 2017 and December 31, 2016 . To the extent that prepayments differ from projected levels it could materially change the Company’s projected excess spread and losses. The Company uses a number of other variables in its second lien loss projections, including the spread between relevant interest rate indices. These variables have been relatively stable and have less impact on the projection results than the variables discussed above. However, in a number of HELOC transactions the servicers have been modifying poorly performing loans from floating to fixed rates, and, as a result, rising interest rates would negatively impact the excess spread available from these modified loans to support the transactions. The Company incorporated these modifications in its assumptions. In estimating expected losses, the Company modeled and probability weighted five possible CDR curves applicable to the period preceding the return to the long-term steady state CDR. The Company used five scenarios at September 30, 2017 and December 31, 2016 . The Company believes that the level of the elevated CDR and the length of time it will persist, the ultimate prepayment rate, and the amount of additional defaults because of the expiry of the interest only period are the primary drivers behind the likely amount of losses the collateral will suffer. The Company continues to evaluate the assumptions affecting its modeling results. The Company believes the most important driver of its projected second lien RMBS losses is the performance of its HELOC transactions. The following table shows the range as well as the average, weighted by outstanding net insured par, for key assumptions for the calculation of expected loss to be paid for individual transactions for direct vintage 2004 - 2008 HELOCs. Key Assumptions in Base Case Expected Loss Estimates HELOCs (1) As of As of June 30, 2017 As of Range Weighted Average Range Weighted Average Range Weighted Average Plateau CDR 5.2 % - 22.0% 11.3% 3.2 % - 22.6% 13.3 % 3.5 % - 24.8% 13.6% Final CDR trended down to 2.5 % - 3.2% 2.5% 0.5 % - 3.2% 1.3 % 0.5 % - 3.2% 1.3% Liquidation rates: Delinquent/Modified in the Previous 12 Months 20% 20% 25% 30 – 59 Days Delinquent 45 45 50 60 – 89 Days Delinquent 60 65 65 90+ Days Delinquent 75 80 80 Bankruptcy 55 55 55 Foreclosure 70 75 75 Real Estate Owned 100 100 100 Loss severity 98% 98% 98% ____________________ (1) Represents variables for the base case. The Company’s base case assumed a six month CDR plateau and a 28 month ramp-down (for a total stress period of 34 months). The Company also modeled a scenario with a longer period of elevated defaults and another with a shorter period of elevated defaults. Increasing the CDR plateau to eight months and increasing the ramp-down by three months to 31 months (for a total stress period of 39 months) would increase the expected loss by approximately $13 million for HELOC transactions. On the other hand, reducing the CDR plateau to four months and decreasing the length of the CDR ramp-down to 25 months (for a total stress period of 29 months), and lowering the ultimate prepayment rate to 10% would decrease the expected loss by approximately $14 million for HELOC transactions. Breaches of Representations and Warranties As of September 30, 2017 , the Company had a net R&W payable of $3 million to R&W counterparties, compared to an R&W payable of $6 million as of December 31, 2016 . Triple-X Life Insurance Transactions The Company had $2.1 billion of net par exposure to financial guaranty triple-X life insurance transactions as of September 30, 2017 , of which two transactions with $85 million in net par are rated BIG. The triple-X life insurance transactions are based on discrete blocks of individual life insurance business. In older vintage triple-X life insurance transactions, which include the two BIG-rated transactions, the amounts raised by the sale of the notes insured by the Company were used to capitalize a special purpose vehicle that provides reinsurance to a life insurer or reinsurer. The amounts have been invested since inception in accounts managed by third-party investment managers. In the case of the two BIG-rated transactions, material amounts of their assets were invested in U.S. RMBS. Based on its analysis of the information available, including estimates of future investment performance, and projected credit impairments on the invested assets and performance of the blocks of life insurance business at September 30, 2017 , the Company projected net expected recoveries of $7 million . The economic benefit during Third Quarter 2017 was approximately $1 million , which was due primarily to improved performance in some of the underlying assets in which the transactions have invested. The economic benefit during Nine Months 2017 was approximately $56 million , which was due primarily to a settlement with the former investment manager of the two BIG transactions. Student Loan Transactions The Company has insured or reinsured $1.4 billion net par of student loan securitizations issued by private issuers that are classified as structured finance. Of this amount, $116 million is rated BIG. The Company is projecting approximately $34 million of net expected loss to be paid on these transactions. In general, the losses are due to: (i) the poor credit performance of private student loan collateral and high loss severities, or (ii) high interest rates on auction rate securities with respect to which the auctions have failed. The economic development during Third Quarter 2017 was approximately $1 million , which was driven primarily by a lower |
Contracts Accounted for as Insu
Contracts Accounted for as Insurance | 9 Months Ended |
Sep. 30, 2017 | |
Insurance [Abstract] | |
Contracts Accounted for as Insurance | Contracts Accounted for as Insurance Premiums The portfolio of outstanding exposures discussed in Note 4, Outstanding Exposure, includes contracts that meet the definition of insurance contracts, contracts that meet the definition of a derivative, and contracts that are accounted for as consolidated FG VIEs. Amounts presented in this note relate to insurance contracts. Please refer to Note 8, 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 2017 2016 2017 2016 (in millions) Scheduled net earned premiums $ 96 $ 101 $ 296 $ 285 Accelerations: Refundings 84 105 189 267 Terminations 3 21 15 65 Total Accelerations 87 126 204 332 Accretion of discount on net premiums receivable 3 4 11 11 Financial guaranty insurance net earned premiums 186 231 511 628 Other 0 — 1 0 Net earned premiums (1) $ 186 $ 231 $ 512 $ 628 ___________________ (1) Excludes $3 million and $4 million for Third Quarter 2017 and 2016 , respectively, and $11 million and $12 million for Nine Months 2017 and 2016 , respectively, related to consolidated FG VIEs. Components of Unearned Premium Reserve As of September 30, 2017 As of December 31, 2016 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue(2) $ 3,647 $ 107 $ 3,540 $ 3,548 $ 206 $ 3,342 Contra-paid (3) (50 ) 1 (51 ) (37 ) 0 (37 ) Unearned premium reserve $ 3,597 $ 108 $ 3,489 $ 3,511 $ 206 $ 3,305 ____________________ (1) Excludes $79 million and $90 million of deferred premium revenue, and $18 million and $25 million of contra-paid related to FG VIEs as of September 30, 2017 and December 31, 2016 , respectively. (2) Includes $7 million of non- financial guaranty as of September 30, 2017 . As of December 31, 2016 , non-financial guaranty deferred premium revenue was de minimis. (3) 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 2017 2016 (in millions) December 31, $ 576 $ 693 FG activity Premiums receivable from acquisitions (see Note 2) 270 18 Gross written premiums on new business, net of commissions on assumed business 225 111 Gross premiums received, net of commissions on assumed business (216 ) (155 ) Adjustments: Changes in the expected term 0 (39 ) Accretion of discount, net of commissions on assumed business 13 5 Foreign exchange translation 54 (25 ) Subtotal (1) 922 608 Other 0 0 September 30, $ 922 $ 608 ____________________ (1) Excludes $10 million and $11 million as of September 30, 2017 and September 30, 2016 , respectively, related to consolidated FG VIEs. Foreign exchange translation relates to installment premiums receivable denominated in currencies other than the U.S. dollar . Approximately 71% , 50% and 52% of installment premiums at September 30, 2017 , December 31, 2016 and September 30, 2016 , respectively, are denominated in currencies other than the U.S. dollar, primarily the euro and 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 (in millions) 2017 (October 1 – December 31) $ 32 2018 95 2019 82 2020 80 2021 78 2022-2026 306 2027-2031 212 2032-2036 120 After 2036 120 Total(1) $ 1,125 ____________________ (1) Excludes expected cash collections on FG VIEs of $13 million . Scheduled Financial Guaranty Insurance Net Earned Premiums As of (in millions) 2017 (October 1 – December 31) $ 92 2018 348 2019 300 2020 271 2021 249 2022-2026 963 2027-2031 620 2032-2036 373 After 2036 317 Net deferred premium revenue(1) 3,533 Future accretion 197 Total future net earned premiums $ 3,730 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $79 million . Selected Information for Financial Guaranty Insurance Policies Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 922 $ 576 Gross deferred premium revenue 1,241 1,041 Weighted-average risk-free rate used to discount premiums 2.4 % 3.0 % Weighted-average period of premiums receivable (in years) 9.3 9.1 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 risk-free rates for U.S. dollar denominated financial guaranty insurance obligations that ranged from 0.0% to 2.94% with a weighted average of 2.27% as of September 30, 2017 and 0.0% to 3.23% with a weighted average of 2.74% as of December 31, 2016 . Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts As of September 30, 2017 As of December 31, 2016 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 $ 984 $ 196 $ 788 $ 711 $ 86 $ 625 Non-U.S. public finance 21 — 21 21 — 21 Public finance 1,005 196 809 732 86 646 Structured finance: U.S. RMBS 269 252 17 283 262 21 Triple-X life insurance transactions 15 28 (13 ) 36 — 36 Other structured finance 52 — 52 60 — 60 Structured finance 336 280 56 379 262 117 Subtotal 1,341 476 865 1,111 348 763 Other recoverable (payable) — 3 (3 ) — (1 ) 1 Subtotal 1,341 479 862 1,111 347 764 Elimination of losses attributable to FG VIEs (54 ) — (54 ) (64 ) — (64 ) Total (1) $ 1,287 $ 479 $ 808 $ 1,047 $ 347 $ 700 ____________________ (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 $ 1,326 $ 1,127 Reinsurance recoverable on unpaid losses (39 ) (80 ) Loss and LAE reserve, net 1,287 1,047 Salvage and subrogation recoverable (497 ) (365 ) Salvage and subrogation payable(1) 21 17 Other payable (recoverable) (3 ) 1 Salvage and subrogation recoverable, net, and other recoverable (479 ) (347 ) Net reserves (salvage) $ 808 $ 700 ____________________ (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) $ 1,205 Contra-paid, net 51 Salvage and subrogation recoverable, net of reinsurance 476 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (1,286 ) Other recoverable (payable) 3 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 $55 million as of September 30, 2017 , 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) 2017 (October 1 – December 31) $ 9 Subtotal 2017 9 2018 40 2019 37 2020 38 2021 34 2022-2026 143 2027-2031 86 2032-2036 46 After 2036 16 Net expected loss to be expensed 449 Future accretion 205 Total expected future loss and LAE $ 654 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 2017 2016 2017 2016 (in millions) Public finance: U.S. public finance $ 233 $ 20 $ 424 $ 233 Non-U.S. public finance 0 — (3 ) (1 ) Public finance 233 20 421 232 Structured finance: U.S. RMBS (4 ) (2 ) (14 ) (3 ) Triple-X life insurance transactions (2 ) (24 ) (48 ) (22 ) Other structured finance (3 ) (3 ) 0 (20 ) Structured finance (9 ) (29 ) (62 ) (45 ) Loss and LAE on insurance contracts before FG VIE consolidation 224 (9 ) 359 187 Gain (loss) related to FG VIE consolidation (1 ) 0 (5 ) (4 ) Loss and LAE $ 223 $ (9 ) $ 354 $ 183 The following table provides information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 2017 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) 150 (22 ) 48 (3 ) 151 (44 ) 349 — 349 Remaining weighted-average contract period (in years) 8.7 7.1 14.1 2.9 9.6 9.3 9.8 — 9.8 Outstanding exposure: Principal $ 4,727 $ (99 ) $ 1,390 $ (8 ) $ 6,715 $ (195 ) $ 12,530 $ — $ 12,530 Interest 2,239 (42 ) 1,051 (1 ) 3,218 (89 ) 6,376 — 6,376 Total(2) $ 6,966 $ (141 ) $ 2,441 $ (9 ) $ 9,933 $ (284 ) $ 18,906 $ — $ 18,906 Expected cash outflows (inflows) $ 192 $ (5 ) $ 418 $ (1 ) $ 3,174 $ (83 ) $ 3,695 $ (309 ) $ 3,386 Potential recoveries(3) (494 ) 20 (80 ) 0 (1,662 ) 46 (2,170 ) 194 (1,976 ) Subtotal (302 ) 15 338 (1 ) 1,512 (37 ) 1,525 (115 ) 1,410 Discount 62 (4 ) (96 ) 0 (192 ) 2 (228 ) 23 (205 ) Present value of expected cash flows $ (240 ) $ 11 $ 242 $ (1 ) $ 1,320 $ (35 ) $ 1,297 $ (92 ) $ 1,205 Deferred premium revenue $ 116 $ (5 ) $ 135 $ 0 $ 573 $ (6 ) $ 813 $ (77 ) $ 736 Reserves (salvage) $ (284 ) $ 12 $ 188 $ 0 $ 975 $ (30 ) $ 861 $ (54 ) $ 807 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2016 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 165 (35 ) 79 (11 ) 148 (49 ) 392 — 392 Remaining weighted-average contract period (in years) 8.6 7.0 13.2 10.5 8.1 6.0 10.1 — 10.1 Outstanding exposure: Principal $ 4,187 $ (326 ) $ 4,273 $ (416 ) $ 4,703 $ (320 ) $ 12,101 $ — $ 12,101 Interest 1,932 (140 ) 2,926 (219 ) 1,867 (87 ) 6,279 — 6,279 Total(2) $ 6,119 $ (466 ) $ 7,199 $ (635 ) $ 6,570 $ (407 ) $ 18,380 $ — $ 18,380 Expected cash outflows (inflows) $ 172 $ (19 ) $ 1,404 $ (86 ) $ 1,435 $ (65 ) $ 2,841 $ (326 ) $ 2,515 Potential recoveries(3) (440 ) 23 (146 ) 4 (743 ) 45 (1,257 ) 198 (1,059 ) Subtotal (268 ) 4 1,258 (82 ) 692 (20 ) 1,584 (128 ) 1,456 Discount 61 (4 ) (355 ) 19 (114 ) (4 ) (397 ) 24 (373 ) Present value of expected cash flows $ (207 ) $ 0 $ 903 $ (63 ) $ 578 $ (24 ) $ 1,187 $ (104 ) $ 1,083 Deferred premium revenue $ 131 $ (5 ) $ 246 $ (6 ) $ 476 $ (30 ) $ 812 $ (86 ) $ 726 Reserves (salvage) $ (255 ) $ 5 $ 738 $ (58 ) $ 343 $ (10 ) $ 763 $ (64 ) $ 699 ____________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. (2) Includes BIG amounts related to FG VIEs. (3) Includes excess spread and R&W receivables and payables. 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 counterparties exercise contractual rights triggered by the downgrade against insured obligors, and the insured obligors are unable to pay. There have been no material changes to the Company's potential claims under interest rate swaps, variable rate demand obligations or guaranteed investment contracts since the filing with the SEC of AGL’s Annual Report on Form 10-K for the year ended December 31, 2016. |
Fair Value Measurement
Fair Value Measurement | 9 Months Ended |
Sep. 30, 2017 | |
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 2017 , 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's 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 no transfers into Level 3 during Third Quarter 2017. There was a transfer of a fixed-maturity security from Level 2 into Level 3 during Nine Month 2017 because starting in the second quarter of 2017 the price of the security includes a significant unobservable assumption. 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. 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. 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, 2017 , the Company used models to price 91 fixed-maturity securities (primarily securities that were purchased or obtained for loss mitigation or other risk management purposes), which were 11% or $1,266 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, 2017 and December 31, 2016 , other invested assets include investments carried and measured at fair value on a recurring basis of $50 million and $52 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 (please refer to 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, London Interbank Offered Rate (LIBOR) curve projections, the Company's publicly traded debt 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. Contracts Accounted for as Credit Derivatives The Company’s credit derivatives consist primarily of insured CDS contracts, and also include interest rate swaps that fall under derivative accounting standards requiring fair value accounting through the statement of operations. The following is a description of the fair value methodology applied to the Company's insured CDS 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. In transactions where the counterparty does not have the right to terminate, such transactions are generally terminated for an amount that approximates the present value of future premiums or for a negotiated amount, rather than at fair value. The terms of the Company’s CDS contracts differ from more standardized credit derivative contracts sold by companies outside the financial guaranty industry. The non-standard terms generally 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, 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 transactions 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 how the Company’s own credit spread affects the pricing of its transactions. 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, 2017 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 structuring 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 its 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 1.36% to 2.53% at September 30, 2017 and 1.00% to 2.55% at December 31, 2016 . 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). • Transactions priced or closed during a specific quarter within a specific asset class and specific rating. No transactions closed during the periods presented. • Credit spreads interpolated based upon market indices. • Credit spreads provided by the counterparty of the CDS. • Credit spreads extrapolated based upon transactions of similar asset classes, similar ratings, and similar time to maturity. Information by Credit Spread Type (1) As of As of Based on actual collateral specific spreads 12 % 7 % Based on market indices 53 % 77 % Provided by the CDS counterparty 35 % 16 % 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 transaction. 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 transaction's 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 transactions. 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 transactions 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 transaction generally decreases. As the cost to acquire CDS protection referencing AGC or AGM decreases, the amount of premium the Company retains on a transaction 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 46% , 34% a nd 26% based on number of transactions, of the Company's CDS contracts are fair valued using this minimum premium as of September 30, 2017 , June 30, 2017 and December 31, 2016 , respectively. The percentage of transactions 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 transaction 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 transactions 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 transaction 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 transaction 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 any 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 are 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. Please refer to 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 Company’s own credit risk. The third-party also utilizes an internal model to determine an appropriate yield at which to discount the cash flows of the security, by factoring in collateral types, weighted-average lives, and other structural attributes specific to the security being priced. The expected yield is further calibrated by utilizing algorithms designed to aggregate market color, received by the third-party, on comparable bonds. The fair value of the Company’s |
Contracts Accounted for as Cred
Contracts Accounted for as Credit Derivatives | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Contracts Accounted for as Credit Derivatives | 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). The credit derivative portfolio also includes interest rate swaps. 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 10.2 years at September 30, 2017 and 5.3 years at December 31, 2016 . The components of the Company’s credit derivative net par outstanding are presented below. Credit Derivatives As of September 30, 2017 As of December 31, 2016 Asset Type Net Par Outstanding Weighted Average Credit Rating Net Par Outstanding Weighted Average Credit Rating (dollars in millions) Pooled corporate obligations: CLO/collateralized bond obligations $ 199 AAA $ 2,022 AAA Synthetic investment grade pooled corporate 547 AAA 7,224 AAA TruPS CDOs 898 A- 1,179 BBB+ Total pooled corporate obligations 1,644 AA 10,425 AAA U.S. RMBS 1,003 AA 1,142 AA- Pooled infrastructure 1,553 AAA 1,513 AAA Infrastructure finance 847 BBB+ 1,021 BBB+ Other(1) 2,488 A- 2,896 A Total $ 7,535 AA- $ 16,997 AA+ ____________________ (1) This comprises numerous transactions across various asset classes, such as commercial receivables, international RMBS, regulated utilities and consumer receivables. 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. A large portion 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 transactions. 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. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of September 30, 2017 As of December 31, 2016 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 2,956 39.3 % $ 10,967 64.6 % AA 1,247 16.5 2,167 12.7 A 1,628 21.6 1,499 8.8 BBB 1,008 13.4 1,391 8.2 BIG 696 9.2 973 5.7 Credit derivative net par outstanding $ 7,535 100.0 % $ 16,997 100.0 % Fair Value of Credit Derivatives Net Change in Fair Value of Credit Derivative Gain (Loss) Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Realized gains on credit derivatives $ 4 $ 11 $ 15 $ 39 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (5 ) 4 4 8 Realized gains (losses) and other settlements (1 ) 15 19 47 Net unrealized gains (losses): Pooled corporate obligations 35 3 41 (37 ) U.S. RMBS 11 (12 ) 24 0 Pooled infrastructure (1 ) 4 4 10 Infrastructure finance 0 1 2 0 Other 14 10 16 4 Net unrealized gains (losses) 59 6 87 (23 ) Net change in fair value of credit derivatives $ 58 $ 21 $ 106 $ 24 Terminations and Settlements of Direct Credit Derivative Contracts Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Net par of terminated credit derivative contracts $ 40 $ 1,071 $ 273 $ 3,507 Realized gains on credit derivatives 0 3 0 11 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (3 ) — (15 ) — Net unrealized gains (losses) on credit derivatives 8 11 24 81 During Third Quarter 2017, unrealized fair value gains were generated primarily as a result of CDS terminations in the Other sector, run-off of net par outstanding, and tighter implied net spreads. The tighter implied net spreads were primarily a result of price improvements on the underlying collateral of the Company’s CDS and the increased cost to buy protection in AGC’s and AGM’s name as the market cost of AGC’s and AGM’s credit protection increased during the period. For those CDS transactions that were pricing at or above their floor levels, when the cost of purchasing CDS protection on AGC and AGM, which management refers to as the CDS spread on AGC and AGM, increased, the implied net spreads that the Company would expect to receive on these transactions decreased. During Nine Months 2017, unrealized fair value gains were generated primarily as a result of CDS terminations, run-off of net par outstanding, and tighter implied net spreads. The tighter implied spreads were primarily a result of price improvements on the underlying collateral of the Company’s CDS and the increased cost to buy protection in AGC’s and AGM’s name as the market cost of AGC’s and AGM’s credit protection increased during the period. For those CDS transactions that were pricing at or above their floor levels, when the cost of purchasing CDS protection on AGC and AGM increased, the implied net spreads that the Company would expect to receive on these transactions decreased. 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. For those CDS transactions that were pricing at or 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 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. For those CDS transactions that were pricing at or 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. 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 the relevant CDS counterparties. 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 June 30, 2017 As of As of September 30, 2016 As of As of Five-year CDS spread: AGC 190 136 158 170 265 376 AGM 190 140 158 170 265 366 One-year CDS spread AGC 81 15 35 31 45 139 AGM 81 15 29 31 47 131 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 $ (630 ) $ (811 ) Plus: Effect of AGC and AGM credit spreads 328 422 Net fair value of credit derivatives $ (302 ) $ (389 ) The fair value of CDS contracts at September 30, 2017 , 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 Alt-A, Option ARM and subprime RMBS transactions. The mark to market benefit between September 30, 2017 and December 31, 2016 , resulted primarily from several CDS terminations and a narrowing of credit spreads related to the Company's TruPS and U.S. RMBS 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. 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 As of As of (in millions) Fair value of credit derivative asset (liability), net $ (302 ) $ (389 ) Expected loss to be (paid) recovered 6 (10 ) Collateral Posting for Certain Credit Derivative Contracts The transaction documentation for $502 million of the CDS insured by AGC requires AGC to post collateral, in some cases subject to a cap, to secure its obligation to make payments under such contracts. Eligible collateral is generally cash or U.S. government or agency securities; eligible collateral other than cash is valued at a discount to the face amount. The table below summarizes AGC’s CDS collateral posting requirements as of September 30, 2017 and December 31, 2016 . AGC Insured CDS Collateral Posting Requirements As of As of (in millions) Gross par of CDS with collateral posting requirement $ 502 $ 690 Maximum posting requirement 469 674 Collateral posted 18 116 The reduction in the collateral posting requirement is primarily attributable to the termination in February 2017 by the Company of its remaining CDS contracts with one of its counterparties as to which it had a posting requirement; the CDS contracts related to approximately $183 million in gross par and $73 million of collateral posted as of December 31, 2016. 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 A of September 30, 2017 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (531 ) $ (229 ) 50% widening in spreads (417 ) (115 ) 25% widening in spreads (359 ) (57 ) 10% widening in spreads (325 ) (23 ) Base Scenario (302 ) — 10% narrowing in spreads (279 ) 23 25% narrowing in spreads (245 ) 57 50% narrowing in spreads (188 ) 114 ____________________ (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, 2017 | |
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 2017 2016 Beginning of the period, December 31 32 34 Consolidated 1 1 Deconsolidated (2 ) (2 ) Matured — (1 ) End of the period, September 30 31 32 The total unpaid principal balance for the FG VIEs’ assets that were over 90 days or more past due was approximately $102 million at September 30, 2017 and $137 million at December 31, 2016 . The aggregate unpaid principal of the FG VIEs’ assets was approximately $369 million greater than the aggregate fair value at September 30, 2017 . The aggregate unpaid principal of the FG VIEs’ assets was approximately $432 million greater than the aggregate fair value at December 31, 2016 . The change in the instrument-specific credit risk of the FG VIEs’ assets held as of September 30, 2017 that was recorded in the consolidated statements of operations for Third Quarter 2017 and Nine Months 2017 were gains of $8 million and gains of $32 million , respectively. 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 gains of $36 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, at the relevant effective interest rate. The unpaid principal for FG VIE liabilities with recourse, which represent obligations insured by AGC or AGM, was $705 million and $871 million as of September 30, 2017 and December 31, 2016 , 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 $75 million greater than the aggregate fair value of the FG VIEs’ liabilities as of September 30, 2017 . The aggregate unpaid principal balance was approximately $109 million greater than the aggregate fair value of the FG VIEs' liabilities as of December 31, 2016 . 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, 2017 As of December 31, 2016 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 378 $ 400 $ 473 $ 509 U.S. RMBS second lien 150 188 178 223 Manufactured housing 68 69 74 75 Total with recourse 596 657 725 807 Without recourse 111 111 151 151 Total $ 707 $ 768 $ 876 $ 958 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 (Loss), Cash Flows From Operating Activities and Shareholders' Equity Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Net earned premiums $ (3 ) $ (4 ) $ (11 ) $ (12 ) Net investment income (2 ) (1 ) (4 ) (8 ) Net realized investment gains (losses) 0 0 0 1 Fair value gains (losses) on FG VIEs 3 (11 ) 25 11 Loss and LAE 1 (1 ) 5 3 Effect on income before tax (1 ) (17 ) 15 (5 ) Less: tax provision (benefit) 0 (6 ) 5 (2 ) Effect on net income (loss) $ (1 ) $ (11 ) $ 10 $ (3 ) Effect on cash flows from operating activities $ 6 $ 11 $ 16 $ 16 As of As of (in millions) Effect on shareholders' equity (decrease) increase $ 1 $ (9 ) 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 2017 and Nine Months 2017 , the Company recorded pre-tax net fair value gains on consolidated FG VIEs of $3 million and $25 million , respectively. During Third Quarter 2017, the primary driver of the gain was price depreciation on the FG VIE recourse liabilities during the quarter resulting from the Company's credit risk. During the Nine Months 2017, the primary driver of the gain is price appreciation on the FG VIE assets resulting from improvements in the underlying collateral. 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 Company's credit risk. 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. Other Consolidated VIEs In certain instances where the Company consolidates a VIE that was established as part of a loss mitigation negotiated 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, 2017 and December 31, 2016 , the Company had financial guaranty contracts outstanding for approximately 520 and 600 VIEs, respectively, that it did not consolidate based on the Company’s analyses which indicate that it is not the primary beneficiary of any other VIEs. 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, 2017 | |
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 $102 million and $91 million as of September 30, 2017 and December 31, 2016 , respectively. Net Investment Income Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Income from fixed-maturity securities managed by third parties $ 74 $ 75 $ 224 $ 231 Income from internally managed securities: Fixed maturities (1) 27 19 100 58 Other 1 2 5 8 Gross investment income 102 96 329 297 Investment expenses (3 ) (2 ) (7 ) (6 ) Net investment income $ 99 $ 94 $ 322 $ 291 ____________________ (1) Nine Months 2017 includes accretion on Zohar II Notes. Net Realized Investment Gains (Losses) Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Gross realized gains on available-for-sale securities (1) $ 23 $ 4 $ 92 $ 24 Gross realized losses on available-for-sale securities (3 ) (1 ) (9 ) (3 ) Net realized gains (losses) on other invested assets 0 0 0 0 Other-than-temporary impairment (13 ) (5 ) (29 ) (26 ) Net realized investment gains (losses) $ 7 $ (2 ) $ 54 $ (5 ) ____________________ (1) Nine Months 2017 includes a gain on Zohar II Notes used as consideration for the MBIA UK Acquisition. Please refer to Note 2, Acquisitions. The following table presents the roll-forward of the credit losses of fixed-maturity securities for which the Company has recognized an other-than-temporary-impairment and where the portion of the fair value adjustment related to other factors was recognized in OCI. Roll Forward of Credit Losses in the Investment Portfolio Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Balance, beginning of period $ 145 $ 108 $ 134 $ 108 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 3 1 6 3 Reductions for securities sold and other settlements 0 — (4 ) (4 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 5 1 17 3 Balance, end of period $ 153 $ 110 $ 153 $ 110 Investment Portfolio Fixed-Maturity Securities and Short-Term Investments by Security Type As of September 30, 2017 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 % $ 5,445 $ 277 $ (17 ) $ 5,705 $ 21 AA- U.S. government and agencies 2 256 14 0 270 0 AA+ Corporate securities 18 1,932 62 (18 ) 1,976 (6 ) A+ Mortgage-backed securities(4): 0 RMBS 8 866 27 (12 ) 881 2 BBB+ CMBS 5 551 15 (4 ) 562 — AAA Asset-backed securities 6 682 170 0 852 143 B Foreign government securities 3 313 6 (19 ) 300 — AA Total fixed-maturity securities 91 10,045 571 (70 ) 10,546 160 A+ Short-term investments 9 948 1 0 949 — AAA Total investment portfolio 100 % $ 10,993 $ 572 $ (70 ) $ 11,495 $ 160 A+ Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2016 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 50 % $ 5,269 $ 202 $ (39 ) $ 5,432 $ 13 AA U.S. government and agencies 4 424 17 (1 ) 440 — AA+ Corporate securities 15 1,612 32 (31 ) 1,613 (8 ) A- Mortgage-backed securities(4): RMBS 9 998 27 (38 ) 987 (21 ) A- CMBS 5 575 13 (5 ) 583 — AAA Asset-backed securities 8 835 110 0 945 33 B Foreign government securities 3 261 4 (32 ) 233 — AA Total fixed-maturity securities 94 9,974 405 (146 ) 10,233 17 A+ Short-term investments 6 590 0 0 590 — AAA Total investment portfolio 100 % $ 10,564 $ 405 $ (146 ) $ 10,823 $ 17 A+ ____________________ (1) Based on amortized cost. (2) Accumulated OCI (AOCI). 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 Global Ratings, a division of Standard & Poor's Financial Services LLC (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 39% of mortgage backed securities as of September 30, 2017 and 42% as of December 31, 2016 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. 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, 2017 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 $ 445 $ (10 ) $ 253 $ (7 ) $ 698 $ (17 ) U.S. government and agencies 114 0 4 0 118 0 Corporate securities 136 (1 ) 252 (17 ) 388 (18 ) Mortgage-backed securities: RMBS 107 (1 ) 170 (11 ) 277 (12 ) CMBS 50 0 76 (4 ) 126 (4 ) Asset-backed securities 66 0 3 0 69 0 Foreign government securities 35 (1 ) 147 (18 ) 182 (19 ) Total $ 953 $ (13 ) $ 905 $ (57 ) $ 1,858 $ (70 ) Number of securities (1) 292 230 513 Number of securities with other-than-temporary impairment 9 14 23 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2016 Less than 12 months 12 months or more Total Fair Unrealized Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 1,110 $ (38 ) $ 6 $ (1 ) $ 1,116 $ (39 ) U.S. government and agencies 87 (1 ) — — 87 (1 ) Corporate securities 492 (11 ) 118 (20 ) 610 (31 ) Mortgage-backed securities: RMBS 391 (23 ) 94 (15 ) 485 (38 ) CMBS 165 (5 ) — — 165 (5 ) Asset-backed securities 36 0 0 0 36 0 Foreign government securities 44 (5 ) 114 (27 ) 158 (32 ) Total $ 2,325 $ (83 ) $ 332 $ (63 ) $ 2,657 $ (146 ) Number of securities (1) 622 60 676 Number of securities with other-than-temporary impairment 8 9 17 ___________________ (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, 2017 , 28 securities had unrealized losses greater than 10% of book value. The total unrealized loss for these securities as of September 30, 2017 was $26 million . As of December 31, 2016, of the securities in an unrealized loss position for 12 months or more, 41 securities had unrealized losses greater than 10% of book value with an unrealized loss of $59 million . The Company has determined that the unrealized losses recorded as of September 30, 2017 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, 2017 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, 2017 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 249 $ 250 Due after one year through five years 1,518 1,552 Due after five years through 10 years 2,280 2,365 Due after 10 years 4,581 4,936 Mortgage-backed securities: RMBS 866 881 CMBS 551 562 Total $ 10,045 $ 10,546 Based on fair value, investments and restricted cash that are either held in trust for the benefit of third party ceding insurers in accordance with statutory requirements, placed on deposit to fulfill state licensing requirements, or otherwise restricted total $286 million and $285 million , as of September 30, 2017 and December 31, 2016 , 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 $1,676 million and $1,420 million , based on fair value as of September 30, 2017 and December 31, 2016 , respectively. The fair value of the Company’s pledged securities to secure its obligations under its CDS exposure totaled $18 million and $116 million as of September 30, 2017 and December 31, 2016 , respectively. Please refer to Note 8. Contracts Accounted for as Credit Derivatives, for more information. No material investments of the Company were non-income producing for Nine Months 2017 and Nine Months 2016 , respectively. Externally Managed Portfolio The majority of the investment portfolio is managed by five outside managers. The Company has established detailed guidelines regarding credit quality, exposure to a particular sector and exposure to a particular obligor within a sector. The Company's investment guidelines generally do not permit its outside managers to purchase securities rated lower than A- by S&P or A3 by Moody’s, excluding a 5% allocation to corporate securities not rated lower than BBB by S&P or Baa2 by Moody’s. 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 11% and 15% of the investment portfolio, on a fair value basis as of September 30, 2017 and December 31, 2016 , 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 (loss mitigation securities), at discounted prices. 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). During 2016, the Company established an alternative investments group to focus on deploying a portion of the Company's excess capital to pursue acquisitions and develop new business opportunities that complement the Company's financial guaranty business, are in line with its risk profile and benefit from its core competencies. The alternative investments group has been investigating a number of such opportunities, including, among others, both controlling and non-controlling investments in investment managers. 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 $ 1,220 $ 1,492 Other invested assets 20 107 Other 76 55 Total $ 1,316 $ 1,654 Cash and Restricted Cash The following table provides a reconciliation of the cash reported on the consolidated balance sheets and the cash and restricted cash reported in the statements of cash flows. Cash and Restricted Cash As of As of As of September 30, 2016 As of December 31, 2015 (in millions) Cash $ 72 $ 118 $ 98 $ 166 Restricted cash (1) 0 9 1 0 Total cash and restricted cash $ 72 $ 127 $ 99 $ 166 ____________________ (1) Amounts relate to cash held in trust accounts and are reported in other assets in consolidated balance sheets. Please refer to Note 13, Reinsurance and Other Monoline Exposures, for more information. |
Insurance Company Regulatory Re
Insurance Company Regulatory Requirements | 9 Months Ended |
Sep. 30, 2017 | |
Insurance Company Regulatory Requirements [Abstract] | |
Insurance Company Regulatory Requirements | Insurance Company Regulatory Requirements Dividend Restrictions and Capital Requirements Under New York insurance law, AGM and MAC 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, transferred to stated capital or capital surplus, or applied to other purposes permitted by law, but does not include unrealized appreciation of assets. AGM and MAC may each 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, do 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 2017 for AGM to distribute as dividends without regulatory approval is estimated to be approximately $196 million . Of such $196 million , approximately $54 million is available for distribution in the fourth quarter of 2017 . Through August 25, 2017, MAC paid $36 million in dividends based on dividend capacity at that point. After the $250 million share repurchase on September 25, 2017, as discussed below, MAC has no additional dividend capacity for the remainder of 2017 . 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 2017 for AGC to distribute as ordinary dividends is approximately $107 million . Of such $107 million , approximately $41 million is available for distribution in the fourth quarter of 2017. 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 $314 million , without AG Re certifying to the Authority that it will continue to meet required margins. As of December 31, 2016, the Authority now requires insurers to prepare statutory financial statements in accordance with the particular accounting principles adopted by the insurer (which, in the case of AG Re, are U.S. GAAP), subject to certain adjustments. As a result of this new requirement, certain assets previously non-admitted by AG Re are now admitted, resulting in an increase to AG Re’s statutory capital and surplus limitation. Based on the foregoing limitations, in 2017 AG Re has the capacity to (i) make capital distributions in an aggregate amount up to $128 million without the prior approval of the Authority and (ii) declare and pay dividends in an aggregate amount up to approximately $314 million as of September 30, 2017 . 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, 2017 , AG Re had unencumbered assets of approximately $572 million . U.K. company law prohibits each of AGE, AGLN 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. In addition, AGLN currently must confirm that the Prudential Regulation Authority does not object to the payment of any dividend to its parent company before AGLN makes any dividend payment. Dividends and Repayments By Insurance Company Subsidiaries Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Dividends paid by AGC to AGUS $ 15 $ 15 $ 66 $ 38 Dividends paid by AGM to AGMH 63 65 142 192 Dividends paid by AG Re to AGL 45 35 125 85 Dividends paid by MAC to MAC Holdings (1) 12 — 36 — Repayment of surplus note by MAC to AGM — — — 100 Repayment of surplus note by MAC to MAC Holdings (1) — — — 300 Redemption of common stock by MAC to MAC Holdings (1) 250 — 250 — ____________________ (1) MAC Holdings distributed nearly the entire amounts to AGM and AGC, in proportion to their ownership percentages. Stock Redemption by MAC On August 17, 2017, the New York Superintendent approved MAC's request to repurchase 64,322 of its shares of common stock from its direct parent, MAC Holdings, for approximately $250 million . MAC implemented the stock redemption plan on September 25, 2017, transferring approximately $104 million in cash and $146 million in marketable securities to MAC Holdings, which then distributed such assets to its shareholders, AGM and AGC, in proportion to their respective 61% and 39% ownership interests, such that AGM received approximately $152 million ( $6 million in cash and $146 million in securities) and AGC received approximately $98 million (all in cash). Each share repurchased by MAC was retired and ceased to be an authorized share. Pursuant to MAC's Amended and Restated Charter, the par value of MAC's remaining shares of common stock issued and outstanding increased automatically in order to maintain MAC's total paid-in capital at $15 million . |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2017 | |
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, has elected under Section 953(d) of the U.S. Internal Revenue Code (the Code) to be taxed as a U.S. domestic corporation. In November 2013, AGL became tax resident in the U.K. although it remains a Bermuda-based company and its administrative and head office functions continue to be carried on in Bermuda. AGL is subject to U.K. corporation tax in respect of its worldwide profits (both income and capital gains), subject to any applicable exemptions. The main rate of corporation tax is 19% beginning April 1, 2017. AGUS files a consolidated federal income tax return with all of its U.S. subsidiaries. AGE, the Company’s U.K. subsidiary, had previously elected under Section 953(d) of the Code to be taxed as a U.S. company. In January 2017, AGE filed a request with the U.S. Internal Revenue Service (IRS) to revoke the election, which was approved in May 2017. As a result of the revocation of the Section 953(d) election, AGE will no longer be liable to pay future U.S. taxes beginning in 2017. On January 10, 2017, AGC purchased MBIA UK, a U.K.-based insurance company. After the purchase, MBIA UK changed its name to AGLN and continues to file its tax returns in the U.K. as a separate entity. For additional information on the MBIA UK Acquisition, please refer to Note 2, Acquisitions. 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 2017. A discrete calculation of the provision is calculated for each interim period. The effective tax rates reflect the proportion of income recognized by each of the Company’s operating subsidiaries, with U.S. subsidiaries taxed at the U.S. marginal corporate income tax rate of 35% , U.K. subsidiaries taxed at the U.K. blended marginal corporate tax rate of 19.25% unless taxed as a U.S. controlled foreign corporation, and no taxes for the Company’s Bermuda Subsidiaries unless subject to U.S. tax by election. For periods subsequent to April 1, 2017, the U.K. corporation tax rate has been reduced to 19% . For the periods between April 1, 2015 and March 31, 2017, the U.K. corporation tax rate was 20% . 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 2017 2016 2017 2016 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 116 $ 150 $ 245 $ 234 Tax-exempt interest (12 ) (12 ) (36 ) (38 ) Gain on bargain purchase — (125 ) (20 ) (125 ) State taxes 1 0 7 1 Change in liability for uncertain tax positions 8 8 (27 ) 10 Effect of provision to tax return filing adjustments (8 ) (16 ) (8 ) (16 ) Other 0 (4 ) (4 ) (4 ) Total provision (benefit) for income taxes $ 105 $ 1 $ 157 $ 62 Effective tax rate 33.6 % 0.3 % 18.8 % 8.3 % The change in liability for uncertain tax positions for Nine Months 2017 is driven by the closure of the 2009 – 2012 IRS Audit, see "Audits" below for further discussion. 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 2017 2016 2017 2016 (in millions) United States $ 337 $ 432 $ 713 $ 681 Bermuda (18 ) 56 143 88 U.K. (6 ) (8 ) (21 ) (23 ) Total $ 313 $ 480 $ 835 $ 746 Revenue by Tax Jurisdiction Third Quarter Nine Months 2017 2016 2017 2016 (in millions) United States $ 566 $ 499 $ 1,305 $ 1,041 Bermuda 61 69 165 170 U.K. (4 ) (2 ) (12 ) (4 ) Total $ 623 $ 566 $ 1,458 $ 1,207 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 in 2020. In addition, AGE had $1 million of FTC prior to revoking its election to be taxed as a U.S. company in 2017. 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 As of September 30, 2017 , AGUS had open tax years with the IRS for 2013 to present. In December 2016, the IRS issued a Revenue Agent Report (RAR) which did not identify any material adjustments that were not already accounted for in the prior periods. In April 2017, the Company received a final letter from the IRS to close the audit with no additional findings or changes, and as a result the Company released previously recorded uncertain tax position reserves and accrued interest of approximately $37 million in the second quarter of 2017. Assured Guaranty Oversees US Holdings Inc. has open tax years of 2014 forward. The Company's U.K. subsidiaries are not currently under examination and have open tax years of 2015 forward. CIFGNA, which was acquired by AGC during 2016, is not currently under examination and has open tax years of 2014 to present. The Company's French subsidiary, CIFGE, is not currently under examination and has open years of 2014 to present. Uncertain Tax Positions The Company's policy is to recognize interest related to uncertain tax positions in income tax expense and has accrued $1.2 million for Nine Months 2017 and $2 million for the full year 2016. As of September 30, 2017 and December 31, 2016 , the Company has accrued $2 million and $7 million of interest, respectively. The total amount of reserves for unrecognized tax positions, including accrued interest, as of September 30, 2017 and December 31, 2016 that would affect the effective tax rate, if recognized, was $30 million and $57 million , respectively. The reduction in reserves is driven by the closure of the 2009- 2012 IRS Audit. |
Reinsurance and Other Monoline
Reinsurance and Other Monoline Exposures | 9 Months Ended |
Sep. 30, 2017 | |
Insurance [Abstract] | |
Reinsurance and Other Monoline Exposures | Reinsurance and Other Monoline Exposures The Company assumes exposure (Assumed Business) and may cede portions of exposure it has insured (Ceded Business) in exchange for premiums, net of ceding commissions. Substantially all of the Company’s Assumed Business and Ceded Business relates to financial guaranty insurance, except for a modest amount that relates to non-financial guaranty business assumed by AGRO. The Company historically entered into, and with respect to new business originated by AGRO continues to enter into, ceded reinsurance contracts in order to obtain greater business diversification and reduce the net potential loss from large risks. The following table presents the components of premiums and losses reported in the consolidated statements of operations and the contribution of the Company's Assumed and Ceded Businesses (both financial guaranty and non-financial guaranty). Effect of Reinsurance on Statement of Operations Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Premiums Written: Direct $ 46 $ 17 $ 227 $ 80 Assumed (1) (1 ) (1 ) 8 (9 ) Ceded (2) 27 0 37 (17 ) Net $ 72 $ 16 $ 272 $ 54 Premiums Earned: Direct $ 186 $ 237 $ 516 $ 647 Assumed 6 6 20 19 Ceded (6 ) (12 ) (24 ) (38 ) Net $ 186 $ 231 $ 512 $ 628 Loss and LAE: Direct $ 231 $ 7 $ 377 $ 217 Assumed (1 ) (1 ) (1 ) (4 ) Ceded (7 ) (15 ) (22 ) (30 ) Net $ 223 $ (9 ) $ 354 $ 183 ____________________ (1) Negative assumed premiums written were due to changes in expected debt service schedules. (2) Positive ceded premiums written were due to commutations and changes in expected debt service schedules. In addition to the items presented in the table above, the Company records in the consolidated statements of operations, the effect of assumed and ceded credit derivative exposures. These amounts were losses of $0.2 million in Third Quarter 2017 , $25 million in Third Quarter 2016 , $0.8 million for Nine Months 2017 and $26 million for Nine Months 2016 . Amounts Due (To) From All Reinsurers As of September 30, 2017 Assumed Ceded Assumed Ceded (in millions) Reinsurers rated investment grade $ 5 $ — $ 1 $ — Reinsurers rated BIG or not rated: American Overseas Reinsurance Company Limited — (4 ) — 36 Syncora 13 (18 ) — (11 ) Ambac 31 — 1 — MBIA 0 — (3 ) — Financial Guaranty Insurance Company and FGIC UK Limited 3 — (16 ) — Ambac Assurance Corp. Segregated Account 6 — (46 ) — Subtotal 53 (22 ) (64 ) 25 Other 0 (3 ) — — Total $ 58 $ (25 ) $ (63 ) $ 25 Assumed and Ceded Financial Guaranty Business The Company assumes financial guaranty business (Assumed Financial Guaranty Business) from third party insurers, primarily other monoline financial guaranty companies. Under these relationships, the Company assumes a portion of the ceding company’s insured risk in exchange for a portion of the ceding company's premium for the insured risk (typically, net of a ceding commission). 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 Financial Guaranty 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 Assumed Financial Guaranty 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 required payment. As of September 30, 2017 , 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 $49 million and $16 million , respectively. The Company has ceded financial guaranty business to non-affiliated companies to limit its exposure to risk. Under these relationships, the Company ceded a portion of its insured risk to the reinsurer in exchange for the reinsurer receiving a share of the Company's premiums for the insured risk (typically, net of a ceding commission). 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 financial guaranty business after certain triggering events, such as reinsurer downgrades. During the first quarter of 2017, the Company entered into a commutation agreement to reassume the entire portfolio previously ceded to one of its unaffiliated reinsurers, consisting predominantly (over 97% ) of U.S. public finance and international public and project finance exposures. During Third Quarter 2017, the Company entered into two commutation agreements. In one case, it reassumed the entire portfolio previously ceded to one of its unaffiliated reinsurers under quota share reinsurance, consisting predominantly of U.S. public finance and international public and project finance exposures. In the other case, it reassumed a portion of the portfolio previously ceded to one of its other unaffiliated reinsurers. The table below summarizes the effect of commutations. Commutations of Ceded Reinsurance Contracts Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Increase (decrease) in net unearned premium reserve $ 62 $ — $ 80 $ — Increase (decrease) in net par outstanding 3,455 28 4,628 28 Commutation gains (losses) 255 8 328 8 Other Exposures to Monoline Financial Guaranty Insurers In addition to the Company’s assumed and ceded reinsurance arrangements with other monoline financial guaranty insurers, the Company may also have exposure to such companies in other areas. Second-to-pay insured par outstanding represents transactions the Company has insured that were previously insured by such other monoline financial guaranty insurers. 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, 2017 , based on fair value, the Company had fixed-maturity securities in its investment portfolio consisting of $98 million insured by National Public Finance Guarantee Corporation (National), $69 million insured by Ambac and $8 million insured by other guarantors. Reinsurance and Other Exposures to Monolines Par Outstanding As of September 30, 2017 Reinsurer Ceded Par Outstanding (1) Assumed Par Outstanding Second-to- Pay Insured Par Outstanding (2) (in millions) Reinsurers rated investment grade: National $ — $ 3,245 $ 2,730 Subtotal — 3,245 2,730 Reinsurers rated BIG or not rated: American Overseas Reinsurance Company Limited (3) 2,445 — — Syncora (3) 1,994 674 1,156 ACA Financial Guaranty Corp. 208 — 10 Ambac and Ambac Assurance UK Limited 112 4,902 1,927 MBIA — 137 565 Financial Guaranty Insurance Company and FGIC UK Limited — 275 821 Ambac Assurance Corp. Segregated Account — 567 51 Subtotal 4,759 6,555 4,530 Other (3) 52 111 410 Total $ 4,811 $ 9,911 $ 7,670 ____________________ (1) Of the total ceded par to reinsurers rated BIG or not rated, $305 million is rated BIG . (2) The par on second-to-pay exposure where the primary insurer and underlying transaction rating are both BIG, and/or not rated, is $774 million . (3) The total collateral posted by all non-affiliated reinsurers required to post, or that had agreed to post, collateral as of September 30, 2017 was approximately $123 million . Assumed and Ceded Non-Financial Guaranty Business As described in Note 4, Outstanding Exposure, Non-Financial Guaranty Insurance, the Company, through AGRO, assumes non-financial guaranty business from third party insurers (Assumed Non-Financial Guaranty Business). It also retrocedes some of this business to third party reinsurers. The downgrade of AGRO’s financial strength rating by S&P below “A” would require AGRO to post, as of September 30, 2017 , an estimated $5 million of collateral in respect of certain of its Assumed Non-Financial Guaranty Business. A further downgrade of AGRO’s S&P rating below A- would give the company ceding such business the right to recapture the business for AGRO’s collateral amount, and, if also accompanied by a downgrade of AGRO's financial strength rating by A.M. Best Company, Inc. below A-, would also require AGRO to post, as of September 30, 2017 , an estimated $5 million of collateral in respect of a different portion of AGRO’s Assumed Non-Financial Guaranty Business. AGRO’s ceded contracts generally have equivalent provisions requiring the assuming reinsurer to post collateral and/or allowing AGRO to recapture the ceded business upon certain triggering events, such as reinsurer rating downgrades. 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, that 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 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 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 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 approximately $9 million of premiums for January 1, 2017 through December 31, 2017. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Legal Proceedings Lawsuits arise in the ordinary course of the Company’s business. It is the opinion of the Company’s management, based upon the information available, that the expected outcome of litigation against the Company, individually or in the aggregate, will not have a material adverse effect on the Company’s financial position or liquidity, although an adverse resolution of litigation against the Company in a fiscal quarter or year could have a material adverse effect on the Company’s results of operations in a particular quarter or year. In addition, in the ordinary course of their respective businesses, certain of the Company's subsidiaries assert claims in legal proceedings against third parties to recover losses paid in prior periods or prevent losses in the future. For example, the Company has commenced a number of legal actions in the U.S. District Court for the District of Puerto Rico to enforce its rights with respect to the obligations it insures of Puerto Rico and various of its related authorities and public corporations. See the "Exposure to Puerto Rico" section of Note 4, Outstanding Exposure, for a description of such actions. See also the "Recovery Litigation" section of Note 5, Expected Loss to be Paid, for a description of recovery litigation unrelated to Puerto Rico. 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 also receives subpoenas duces tecum and interrogatories from regulators from time to time. 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 basis and updates its accruals, disclosures and estimates of reasonably possible loss based on such reviews. Litigation On November 28, 2011, Lehman Brothers International (Europe) (in administration) (LBIE) sued AG Financial Products Inc. (AGFP), an affiliate of AGC which in the past had provided credit protection to counterparties under CDS. AGC acts as the credit support provider of AGFP under these CDS. 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. Proceedings Resolved Since December 31, 2016 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. On May 17, 2017, the California Court of Appeal upheld the Superior Court’s rejection of AGC’s allocation direction. On June 15, 2017, the California Court of Appeal denied AGC’s petition for a rehearing, pursuant to an order that modified its initial opinion and affirmed the Superior Court’s May 4, 2015 order. On September 25, 2013, Wells Fargo Bank, N.A., as trust administrator of the MASTR Adjustable Rate Mortgages Trust 2007-3 (Wells Fargo), 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 (Wales) and AGM as to whether AGM is entitled to reimbursement from certain cashflows for principal claims paid in respect of insured certificates. After the court issued an opinion on September 30, 2016, denying a motion for judgment on the pleadings filed by Wales, Wales sold its interests in the MASTR Adjustable Rate Mortgage Trust 2007-3 certificates, and on March 20, 2017, the court dismissed the case. |
Long-Term Debt and Credit Facil
Long-Term Debt and Credit Facilities | 9 Months Ended |
Sep. 30, 2017 | |
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, 2017 As of December 31, 2016 Principal Carrying Value Principal Carrying Value (in millions) AGUS: 7% Senior Notes (1) $ 200 $ 197 $ 200 $ 197 5% Senior Notes (1) 500 496 500 496 Series A Enhanced Junior Subordinated Debentures (2) 150 150 150 150 Total AGUS 850 843 850 843 AGMH(3): 67/8% QUIBS (1) 100 70 100 69 6.25% Notes (1) 230 142 230 141 5.6% Notes (1) 100 56 100 56 Junior Subordinated Debentures (2) 300 191 300 187 Total AGMH 730 459 730 453 AGM(3): AGM Notes Payable 8 8 9 10 Total AGM 8 8 9 10 Purchased debt (4) (28 ) (18 ) — — Total $ 1,560 $ 1,292 $ 1,589 $ 1,306 ____________________ (1) AGL fully and unconditionally guarantees these obligations (2) Guaranteed by AGL on a junior subordinated basis. (3) Carrying amounts are different than principal amounts due primarily to fair value adjustments at the AGMH acquisition date, which are accreted or amortized into interest expense over the remaining terms of these obligations. (4) In 2017, AGUS purchased $28 million principal amount of AGMH's outstanding Junior Subordinated Debentures. 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 Section 1274(d) of the Code, 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. During 2016, AGUS repaid $20 million in outstanding principal as well as accrued and unpaid interest, and the parties agreed to extend the maturity date of the loan from May 2017 to November 2019. As of September 30, 2017 , $70 million remained outstanding. Committed Capital Securities Each of AGC and AGM have entered into put agreements with four separate custodial trusts allowing AGC and AGM, respectively, to issue an aggregate of $200 million of non-cumulative redeemable perpetual preferred securities to the trusts in exchange for cash. The custodial trusts were created for the primary purpose of issuing $50 million face amount of CCS, investing the proceeds in high-quality assets and entering into put options with AGC or AGM, as applicable. The Company does not consider itself to be the primary beneficiary of the trusts and the trusts are not consolidated in Assured Guaranty's financial statements. The trusts provide AGC and AGM access to new equity capital at their respective sole discretion through the exercise of the put options. Upon AGC's or AGM's exercise of its put option, the relevant trust will liquidate its portfolio of eligible assets and use the proceeds to purchase the AGC or AGM preferred stock, as applicable. AGC or AGM may use the proceeds from its sale of preferred stock to the trusts for any purpose, including the payment of claims. The put agreements have no scheduled termination date or maturity. However, each put agreement will terminate if (subject to certain grace periods) specified events occur. Both AGC and AGM continue to have the ability to exercise their respective put options and cause the related trusts to purchase their preferred stock. Prior to 2008 or 2007, the amounts paid on the CCS were established through an auction process. All of those auctions failed in 2008 or 2007, and the rates paid on the CCS increased to their respective maximums. The annualized rate on the AGC CCS is one-month LIBOR plus 250 basis points, and the annualized rate on the AGM CPS is one-month LIBOR plus 200 basis points. Please refer to 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, 2017 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share Computation of EPS Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Basic EPS: Net income (loss) attributable to AGL $ 208 $ 479 $ 678 $ 684 Less: Distributed and undistributed income (loss) available to nonvested shareholders 0 1 1 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 208 $ 478 $ 677 $ 683 Basic shares 118.7 131.9 121.8 134.0 Basic EPS $ 1.75 $ 3.63 $ 5.56 $ 5.10 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 208 $ 478 $ 677 $ 683 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 $ 208 $ 478 $ 677 $ 683 Basic shares 118.7 131.9 121.8 134.0 Dilutive securities: Options and restricted stock awards 2.0 0.9 1.7 0.9 Diluted shares 120.7 132.8 123.5 134.9 Diluted EPS $ 1.72 $ 3.60 $ 5.48 $ 5.06 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect — 0.0 0.1 0.5 |
Shareholders' Equity
Shareholders' Equity | 9 Months Ended |
Sep. 30, 2017 | |
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 2017 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, 2017 $ 228 $ 107 $ (27 ) $ 7 $ 315 Other comprehensive income (loss) before reclassifications 27 (15 ) 3 — 15 Amounts reclassified from AOCI to: Net realized investment gains (losses) (24 ) 17 — — (7 ) Net investment income — — — — — Interest expense — — — 0 0 Total before tax (24 ) 17 — 0 (7 ) Tax (provision) benefit 9 (6 ) — 0 3 Total amount reclassified from AOCI, net of tax (15 ) 11 — 0 (4 ) Net current period other comprehensive income (loss) 12 (4 ) 3 0 11 Balance, September 30, 2017 $ 240 $ 103 $ (24 ) $ 7 $ 326 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 Nine Months 2017 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, 2016 $ 171 $ 10 $ (39 ) $ 7 $ 149 Other comprehensive income (loss) before reclassifications 133 81 15 — 229 Amounts reclassified from AOCI to: Net realized investment gains (losses) (71 ) 18 — — (53 ) Net investment income (28 ) — — — (28 ) Interest expense — — — 0 0 Total before tax (99 ) 18 — 0 (81 ) Tax (provision) benefit 35 (6 ) — 0 29 Total amount reclassified from AOCI, net of tax (64 ) 12 — 0 (52 ) Net current period other comprehensive income (loss) 69 93 15 0 177 Balance, September 30, 2017 $ 240 $ 103 $ (24 ) $ 7 $ 326 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 Share Repurchase The following table presents share repurchases since January 2016. Share Repurchases Period Number of Shares Repurchased Total Payments (in millions) Average Price Paid Per Share 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 2016 (October 1 - December 31, 2016) 3,300,617 116 35.09 Total 2016 10,721,248 306 28.53 2017 (January 1 - March 31) 5,430,041 216 39.83 2017 (April 1 - June 30, 2017) 3,456,711 135 39.05 2017 (July 1 - September 30, 2017) 1,847,901 $ 80 43.29 2017 (October 1 - through November 2, 2017) 533,618 $ 20 37.48 Total 2017 11,268,271 451 40.05 Cumulative repurchases since the beginning of 2013 79,911,478 2,166 27.11 The Board of Directors authorized, on November 1, 2017, an additional $300 million of share repurchases. The total remaining capacity for share repurchases under the Board of Directors authorizations was $398 million as of November 2 , 2017. 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. Deferred Compensation The Company used a portion of its share repurchase program to repurchase 297,131 common shares from its Chief Executive Officer and 23,062 common shares from its General Counsel on January 6, 2017. The shares were purchased at the closing price of a common share of the Company on the New York Stock Exchange on January 6, 2017. Separately, these officers also received 297,131 and 23,062 common shares, respectively, on January 6, 2017 in settlement of 297,131 share units and 23,062 share units held by them in the employer stock fund of the Assured Guaranty Ltd. Supplemental Employee Retirement Plan (the AGL SERP). The distribution of shares occurred 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 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. |
Subsidiary Information
Subsidiary Information | 9 Months Ended |
Sep. 30, 2017 | |
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 (please refer to Note 15, Long Term Debt and Credit Facilities). The information for AGL, AGUS and AGMH presents its subsidiaries on the equity method of accounting. The following tables reflect transfers of businesses between entities within the consolidated group that occurred in the current reporting period consistently for all prior periods presented. CONDENSED CONSOLIDATING BALANCE SHEET AS OF SEPTEMBER 30, 2017 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 47 $ 143 $ 24 $ 11,776 $ (327 ) $ 11,663 Investment in subsidiaries 6,799 6,257 4,216 208 (17,480 ) — Premiums receivable, net of commissions payable — — — 1,076 (154 ) 922 Ceded unearned premium reserve — — — 1,009 (901 ) 108 Deferred acquisition costs — — — 150 (45 ) 105 Reinsurance recoverable on unpaid losses — — — 394 (355 ) 39 Credit derivative assets — — — 50 (47 ) 3 Deferred tax asset, net — 76 — 153 (94 ) 135 Intercompany receivable — — — 70 (70 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 707 — 707 Dividend receivable from affiliate 25 — — — (25 ) — Other 22 28 51 1,100 (234 ) 967 TOTAL ASSETS $ 6,893 $ 6,504 $ 4,291 $ 16,693 $ (19,732 ) $ 14,649 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,565 $ (968 ) $ 3,597 Loss and LAE reserve — — — 1,646 (320 ) 1,326 Long-term debt — 843 459 8 (18 ) 1,292 Intercompany payable — 70 — 300 (370 ) — Credit derivative liabilities — — — 352 (47 ) 305 Deferred tax liabilities, net — — 87 — (87 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 768 — 768 Dividend payable to affiliate — 25 — — (25 ) — Other 15 19 22 815 (388 ) 483 TOTAL LIABILITIES 15 957 568 8,454 (2,223 ) 7,771 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,878 5,547 3,723 8,031 (17,301 ) 6,878 Noncontrolling interest — — — 208 (208 ) — TOTAL SHAREHOLDERS' EQUITY 6,878 5,547 3,723 8,239 (17,509 ) 6,878 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,893 $ 6,504 $ 4,291 $ 16,693 $ (19,732 ) $ 14,649 CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 36 $ 384 $ 22 $ 11,029 $ (368 ) $ 11,103 Investment in subsidiaries 6,164 5,696 3,799 296 (15,955 ) — Premiums receivable, net of commissions payable — — — 699 (123 ) 576 Ceded unearned premium reserve — — — 1,099 (893 ) 206 Deferred acquisition costs — — — 156 (50 ) 106 Reinsurance recoverable on unpaid losses — — — 484 (404 ) 80 Credit derivative assets — — — 69 (56 ) 13 Deferred tax asset, net — 16 — 597 (116 ) 497 Intercompany receivable — — — 70 (70 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 876 — 876 Dividend receivable from affiliate 300 — — — (300 ) — Other 11 78 26 801 (222 ) 694 TOTAL ASSETS $ 6,511 $ 6,174 $ 3,847 $ 16,176 $ (18,557 ) $ 14,151 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,488 $ (977 ) $ 3,511 Loss and LAE reserve — — — 1,596 (469 ) 1,127 Long-term debt — 843 453 10 — 1,306 Intercompany payable — 70 — 300 (370 ) — Credit derivative liabilities — — — 458 (56 ) 402 Deferred tax liabilities, net — — 88 — (88 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 958 — 958 Dividend payable to affiliate — 300 — — (300 ) — Other 7 3 14 665 (346 ) 343 TOTAL LIABILITIES 7 1,216 555 8,475 (2,606 ) 7,647 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,504 4,958 3,292 7,405 (15,655 ) 6,504 Noncontrolling interest — — — 296 (296 ) — TOTAL SHAREHOLDERS’ EQUITY 6,504 4,958 3,292 7,701 (15,951 ) 6,504 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,511 $ 6,174 $ 3,847 $ 16,176 $ (18,557 ) $ 14,151 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2017 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 190 $ (4 ) $ 186 Net investment income 0 0 0 101 (2 ) 99 Net realized investment gains (losses) — 0 0 (9 ) 16 7 Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — (1 ) 0 (1 ) Net unrealized gains (losses) — — — 59 — 59 Net change in fair value of credit derivatives — — — 58 0 58 Other 3 — — 302 (32 ) 273 TOTAL REVENUES 3 0 0 642 (22 ) 623 EXPENSES Loss and LAE — — — 250 (27 ) 223 Amortization of deferred acquisition costs — — — 8 (3 ) 5 Interest expense — 12 13 3 (4 ) 24 Other operating expenses 10 1 0 91 (44 ) 58 TOTAL EXPENSES 10 13 13 352 (78 ) 310 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (13 ) (13 ) 290 56 313 Total (provision) benefit for income taxes — 4 4 (94 ) (19 ) (105 ) Equity in net earnings of subsidiaries 215 237 178 8 (638 ) — NET INCOME (LOSS) $ 208 $ 228 $ 169 $ 204 $ (601 ) $ 208 Less: noncontrolling interest — — — 8 (8 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 208 $ 228 $ 169 $ 196 $ (593 ) $ 208 COMPREHENSIVE INCOME (LOSS) $ 219 $ 237 $ 178 $ 274 $ (689 ) $ 219 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 relationship — — — 257 2 259 Other 0 — — (37 ) — (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 82 11 (1,012 ) — NET INCOME (LOSS) $ 479 $ 426 $ 73 $ 516 $ (1,015 ) $ 479 Less: noncontrolling interest — — — 11 (11 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 479 $ 426 $ 73 $ 505 $ (1,004 ) $ 479 COMPREHENSIVE INCOME (LOSS) $ 454 $ 414 $ 51 $ 497 $ (962 ) $ 454 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 523 $ (11 ) $ 512 Net investment income 0 1 0 325 (4 ) 322 Net realized investment gains (losses) — 0 0 53 1 54 Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 19 0 19 Net unrealized gains (losses) — — — 87 — 87 Net change in fair value of credit derivatives — — — 106 0 106 Bargain purchase gain and settlement of pre-existing relationships — — — 58 0 58 Other 8 — — 527 (129 ) 406 TOTAL REVENUES 8 1 0 1,592 (143 ) 1,458 EXPENSES Loss and LAE — — — 301 53 354 Amortization of deferred acquisition costs — — — 19 (6 ) 13 Interest expense — 36 40 8 (11 ) 73 Other operating expenses 30 8 1 286 (142 ) 183 TOTAL EXPENSES 30 44 41 614 (106 ) 623 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (22 ) (43 ) (41 ) 978 (37 ) 835 Total (provision) benefit for income taxes — 13 15 (194 ) 9 (157 ) Equity in net earnings of subsidiaries 700 574 422 22 (1,718 ) — NET INCOME (LOSS) $ 678 $ 544 $ 396 $ 806 $ (1,746 ) $ 678 Less: noncontrolling interest — — — 22 (22 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 678 $ 544 $ 396 $ 784 $ (1,724 ) $ 678 COMPREHENSIVE INCOME (LOSS) $ 855 $ 705 $ 484 $ 1,004 $ (2,193 ) $ 855 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 relationship — — — 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 707 623 272 34 (1,636 ) — NET INCOME (LOSS) $ 684 $ 599 $ 245 $ 795 $ (1,639 ) $ 684 Less: noncontrolling interest — — — 34 (34 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 684 $ 599 $ 245 $ 761 $ (1,605 ) $ 684 COMPREHENSIVE INCOME (LOSS) $ 805 $ 660 $ 261 $ 923 $ (1,844 ) $ 805 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 (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 $ 503 $ 175 $ 105 $ 469 $ (898 ) $ 354 Cash flows from investing activities Fixed-maturity securities: Purchases — (75 ) (15 ) (1,552 ) 27 (1,615 ) Sales — 112 12 1,004 — 1,128 Maturities — 7 0 682 — 689 Sales (purchases) of short-term investments, net (11 ) 218 3 (450 ) — (240 ) Net proceeds from financial guaranty variable entities’ assets — — — 117 — 117 Investment in subsidiaries — (28 ) — (69 ) 97 — Proceeds from sale of subsidiaries — — — 139 (139 ) — Acquisition of MBIA UK, net of cash acquired — — — 95 — 95 Other — — — 58 — 58 Net cash flows provided by (used in) investing activities (11 ) 234 — 24 (15 ) 232 Cash flows from financing activities Return of capital — — — (70 ) 70 — Capital contribution — — 25 3 (28 ) — Dividends paid (53 ) (390 ) (128 ) (380 ) 898 (53 ) Repurchases of common stock (431 ) — — — — (431 ) Repurchases of common stock to pay withholding taxes (13 ) — — — — (13 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (124 ) — (124 ) Repayment/ extinguishment of long-term debt — — — (2 ) (27 ) (29 ) Proceeds from options exercises 5 — — — — 5 Net cash flows provided by (used in) financing activities (492 ) (390 ) (103 ) (573 ) 913 (645 ) Effect of exchange rate changes — — — 4 — 4 Increase (decrease) in cash and restricted cash 0 19 2 (76 ) — (55 ) Cash and restricted cash at beginning of period 0 1 0 126 — 127 Cash and restricted cash at end of period $ 0 $ 20 $ 2 $ 50 $ — $ 72 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 $ 288 $ 171 $ 159 $ 3 $ (810 ) $ (189 ) 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 subsidiaries — — — 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 repurchases to pay withholding taxes (2 ) — — — — (2 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (567 ) — (567 ) Payment of long-term debt — — — (2 ) — (2 ) Proceeds from options exercises 6 — — — — 6 Net cash flows provided by (used in) financing activities (238 ) (223 ) (158 ) (1,002 ) 814 (807 ) Effect of exchange rate changes — — — (4 ) — (4 ) Increase (decrease) in cash and restricted cash 1 (69 ) 2 (1 ) — (67 ) Cash and restricted cash at beginning of period 0 95 8 63 — 166 Cash and restricted cash at end of period $ 1 $ 26 $ 10 $ 62 $ — $ 99 |
Business and Basis of Present28
Business and Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 2017 | |
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, 2017 and cover the three-month period ended September 30, 2017 ( Third Quarter 2017 ), the three-month period ended September 30, 2016 ( Third Quarter 2016 ), the nine-month period ended September 30, 2017 ( Nine Months 2017 ) and the nine-month period ended September 30, 2016 ( Nine Months 2016 ). 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. |
Consolidation | The unaudited interim consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, and its consolidated VIEs. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. |
New Accounting Pronouncements Adopted and Future Application | Adopted Accounting Standards Statement of Cash Flows In November 2016, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash (a consensus of the Emerging Issues Task Force), which addresses the presentation of changes in restricted cash and restricted cash equivalents in the statement of cash flows with the objective of reducing the existing diversity in practice. Under the ASU, entities are required to show the changes in the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the statement of cash flows. As a result, entities will no longer present transfers between cash and cash equivalents and restricted cash and restricted cash equivalents in the statement of cash flows. When cash, cash equivalents, restricted cash and restricted cash equivalents are presented in more than one line item on the balance sheet, the ASU requires a reconciliation be presented either on the face of the statement of cash flows or in the notes to the financial statements showing the totals in the statement of cash flows to the related captions in the balance sheet. The ASU was adopted on January 1, 2017 and was applied retrospectively. The required reconciliation is shown in Note 10, Investments and Cash. 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 ASU was adopted on January 1, 2017 and did not have an effect on the Company’s consolidated statements of cash flows for the periods presented. 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 requires all income tax effects of awards to be recognized in the income statement when the awards vest or are settled. It also allows an employer to repurchase more of an employee’s shares than it previously could for tax withholding purposes without triggering liability accounting and to make a policy election to account for forfeitures as they occur. The ASU was adopted January 1, 2017 with no material effect on the consolidated financial statements. Future Application of Accounting Standards Income Taxes In October 2016, the FASB issued 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 does not expect this ASU to have a material effect on its consolidated financial statements. Financial Instruments In January 2016, the FASB issued ASU 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities . The amendments in this ASU are intended to make targeted improvements to GAAP by addressing certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. Under the ASU, certain equity securities will need to be accounted for at fair value with changes in fair value recognized through net income instead of other comprehensive income (OCI). The Company does not expect that the amendment related to certain equity securities will have a material effect on its consolidated financial statements. Another amendment pertains to liabilities that an entity has elected to measure at fair value in accordance with the fair value option for financial instruments. For these liabilities, the portion of fair value change related to instrument specific credit risk will be separately presented in OCI as opposed to the income statement. The Company elected the fair value option to account for its consolidated FG VIEs. The Company is evaluating the effect that the ASU will have on its consolidated FG VIEs. The ASU is effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Entities will be required to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the fiscal year in which the guidance is adopted. Premium Amortization on Purchased Callable Debt Securities In March 2017, the FASB issued ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Topic 310-20) - Premium Amortization on Purchased Callable Debt Securities . This ASU shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date. This ASU has no effect on the accounting for purchased callable debt securities held at a discount. ASU 2017-08 is to be applied using a modified retrospective approach through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. The ASU is effective for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. Early adoption is permitted. The Company does not expect this ASU to have a material effect on its consolidated financial statements. Leases In February 2016, the FASB issued ASU 2016-02, Leases (Topic 842) . This ASU requires lessees to present right-of-use assets and lease liabilities on the balance sheet. ASU 2016-02 is to be applied using a modified retrospective approach at the beginning of the earliest comparative period in the financial statements. The ASU is effective for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. Early adoption is permitted. The Company is evaluating the effect that this ASU will have on its consolidated financial statements. Credit Losses on Financial Instruments In June 2016, the 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 also eliminates the concept of “other than temporary” from the impairment model for certain available-for-sale securities. Accordingly, the ASU states that an entity must use an allowance approach, must limit the allowance to an amount by 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 debt securities classified as available-for-sale, 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. The Company is evaluating the effect that this ASU will have 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 2017 , 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's 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, 2017 | |
Business Combinations [Abstract] | |
Schedule of fair values of assets and liabilities acquired from acquisition | The following table shows the net effect of the MBIA UK 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 MBIA UK Acquisition (in millions) Purchase price (1) $ 334 $ — $ 334 Identifiable assets acquired: Investments 459 — 459 Cash 72 — 72 Premiums receivable, net of commissions payable 274 (4 ) 270 Other assets 16 (6 ) 10 Total assets 821 (10 ) 811 Liabilities assumed: Unearned premium reserves 389 (6 ) 383 Current tax payable 25 — 25 Other liabilities 4 (5 ) (1 ) Total liabilities 418 (11 ) 407 Net assets of MBIA UK 403 1 404 Cash acquired from MBIA Holdings 23 — 23 Deferred tax liability (36 ) — (36 ) Net asset effect of MBIA UK Acquisition 390 1 391 Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisition, after-tax 56 1 57 Deferred tax — 1 1 Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisition, pre-tax $ 56 $ 2 $ 58 _____________________ (1) The purchase price of $334 million was allocated as follows: (1) $329 million for the purchase of net assets of $385 million , and (2) the settlement of pre-existing relationships between MBIA UK and Assured Guaranty at a fair value of $5 million . |
Schedule of settlement of pre-existing relationships | The following table shows the net effect of the MBIA UK 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 MBIA UK Acquisition (in millions) Purchase price (1) $ 334 $ — $ 334 Identifiable assets acquired: Investments 459 — 459 Cash 72 — 72 Premiums receivable, net of commissions payable 274 (4 ) 270 Other assets 16 (6 ) 10 Total assets 821 (10 ) 811 Liabilities assumed: Unearned premium reserves 389 (6 ) 383 Current tax payable 25 — 25 Other liabilities 4 (5 ) (1 ) Total liabilities 418 (11 ) 407 Net assets of MBIA UK 403 1 404 Cash acquired from MBIA Holdings 23 — 23 Deferred tax liability (36 ) — (36 ) Net asset effect of MBIA UK Acquisition 390 1 391 Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisition, after-tax 56 1 57 Deferred tax — 1 1 Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisition, pre-tax $ 56 $ 2 $ 58 _____________________ (1) The purchase price of $334 million was allocated as follows: (1) $329 million for the purchase of net assets of $385 million , and (2) the settlement of pre-existing relationships between MBIA UK and Assured Guaranty at a fair value of $5 million . |
Schedule of pro forma results of operations | Unaudited Pro Forma Results of Operations Nine Months 2016 (in millions, except per share amounts) Pro forma revenues $ 1,358 Pro forma net income 796 Pro forma earnings per share (EPS): Basic 5.93 Diluted 5.89 |
Ratings (Tables)
Ratings (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Rating Actions [Abstract] | |
Schedule of Credit Agency Ratings | In addition, 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. S&P Global Ratings, a division of Standard & Poor’s Financial Services LLC Kroll Bond Rating Agency Moody’s Investors Service, Inc. A.M. Best Company, Inc. AGM AA (stable) (6/26/17) AA+ (stable) (12/14/16) A2 (stable) (8/8/16) — AGC AA (stable) (6/26/17) AA (stable) (9/20/16) (1) — MAC AA (stable) (6/26/17) AA+ (stable) (7/14/17) — — AG Re AA (stable) (6/26/17) — — — AGRO AA (stable) (6/26/17) — — A+ (stable) (6/15/17) AGE AA (stable) (6/26/17) — A2 (stable) (8/8/16) — AGUK AA (stable) (6/26/17) — (1) — AGLN BB (positive) (1/12/17) — (2) — CIFGE — — — — ____________________ (1) AGC requested that Moody’s Investors Service, Inc. (Moody's) withdraw its financial strength ratings of AGC and AGUK in January 2017, but Moody's denied that request. Moody’s continues to rate AGC A3 (stable) and AGUK A3; Moody's put AGUK on review for upgrade on June 27, 2017, following its transfer to AGM. (2) Assured Guaranty did not request that Moody's rate AGLN. Moody's continues to rate AGLN, and upgraded its rating to Baa2 (stable) on January 13, 2017, following its acquisition by AGC, and then to Baa1 on review for further upgrade on June 27, 2017, following its transfer to AGM. |
Outstanding Exposure (Tables)
Outstanding Exposure (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Schedule of Insured Financial Obligations [Line Items] | |
Debt Service Outstanding | The following table presents the gross and net debt service for 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 $ 407,539 $ 425,849 $ 399,347 $ 409,447 Structured finance 17,464 29,151 17,377 28,088 Total financial guaranty $ 425,003 $ 455,000 $ 416,724 $ 437,535 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating As of September 30, 2017 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 $ 915 0.4 % $ 2,523 5.9 % $ 2,333 17.8 % $ 419 25.0 % $ 6,190 2.2 % AA 33,614 15.4 301 0.7 4,853 36.9 76 4.5 38,844 14.1 A 124,332 57.0 13,657 32.0 1,778 13.5 268 15.9 140,035 50.8 BBB 52,021 23.8 23,965 56.1 724 5.5 762 45.3 77,472 28.1 BIG 7,334 3.4 2,281 5.3 3,454 26.3 157 9.3 13,226 4.8 Total net par outstanding (1) $ 218,216 100.0 % $ 42,727 100.0 % $ 13,142 100.0 % $ 1,682 100.0 % $ 275,767 100.0 % _____________________ (1) The September 30, 2017 amounts include $13.0 billion of net par from the MBIA UK Acquisition. Please refer to Note 13, Reinsurance and Other Monoline Exposures, for the effect of commutations on net par outstanding. Financial Guaranty Portfolio by Internal Rating As of December 31, 2016 Public Finance U.S. Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Category Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 2,066 0.8 % $ 2,221 8.4 % $ 9,757 44.2 % $ 1,447 47.0 % $ 15,491 5.2 % AA 46,420 19.0 170 0.6 5,773 26.2 127 4.1 52,490 17.7 A 133,829 54.7 6,270 23.8 1,589 7.2 456 14.8 142,144 48.0 BBB 55,103 22.5 16,378 62.1 879 4.0 759 24.6 73,119 24.7 BIG 7,380 3.0 1,342 5.1 4,059 18.4 293 9.5 13,074 4.4 Total net par outstanding $ 244,798 100.0 % $ 26,381 100.0 % $ 22,057 100.0 % $ 3,082 100.0 % $ 296,318 100.0 % |
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, 2017 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,563 $ 662 $ 4,109 $ 7,334 $ 218,216 Non-U.S. public finance 2,007 274 — 2,281 42,727 Public finance 4,570 936 4,109 9,615 260,943 Structured finance: U.S. Residential mortgage-backed securities (RMBS) 177 354 2,338 2,869 5,064 Triple-X life insurance transactions — — 85 85 2,058 Trust preferred securities (TruPS) 239 — — 239 1,455 Other structured finance 186 157 75 418 6,247 Structured finance 602 511 2,498 3,611 14,824 Total $ 5,172 $ 1,447 $ 6,607 $ 13,226 $ 275,767 Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of December 31, 2016 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,402 $ 3,123 $ 1,855 $ 7,380 $ 244,798 Non-U.S. public finance 1,288 54 — 1,342 26,381 Public finance 3,690 3,177 1,855 8,722 271,179 Structured finance: U.S. RMBS 197 493 2,461 3,151 5,637 Triple-X life insurance transactions — — 126 126 2,057 TruPS 304 126 — 430 1,892 Other structured finance 304 263 78 645 15,553 Structured finance 805 882 2,665 4,352 25,139 Total $ 4,495 $ 4,059 $ 4,520 $ 13,074 $ 296,318 |
Schedule of BIG Net Par Outstanding and Number of Risks | BIG Net Par Outstanding and Number of Risks As of September 30, 2017 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 $ 4,628 $ 544 $ 5,172 150 9 159 Category 2 1,382 65 1,447 48 4 52 Category 3 6,520 87 6,607 151 8 159 Total BIG $ 12,530 $ 696 $ 13,226 349 21 370 BIG Net Par Outstanding and Number of Risks As of December 31, 2016 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 3,861 $ 634 $ 4,495 165 10 175 Category 2 3,857 202 4,059 79 6 85 Category 3 4,383 137 4,520 148 9 157 Total BIG $ 12,101 $ 973 $ 13,074 392 25 417 _____________________ (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, 2017 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) 150 (22 ) 48 (3 ) 151 (44 ) 349 — 349 Remaining weighted-average contract period (in years) 8.7 7.1 14.1 2.9 9.6 9.3 9.8 — 9.8 Outstanding exposure: Principal $ 4,727 $ (99 ) $ 1,390 $ (8 ) $ 6,715 $ (195 ) $ 12,530 $ — $ 12,530 Interest 2,239 (42 ) 1,051 (1 ) 3,218 (89 ) 6,376 — 6,376 Total(2) $ 6,966 $ (141 ) $ 2,441 $ (9 ) $ 9,933 $ (284 ) $ 18,906 $ — $ 18,906 Expected cash outflows (inflows) $ 192 $ (5 ) $ 418 $ (1 ) $ 3,174 $ (83 ) $ 3,695 $ (309 ) $ 3,386 Potential recoveries(3) (494 ) 20 (80 ) 0 (1,662 ) 46 (2,170 ) 194 (1,976 ) Subtotal (302 ) 15 338 (1 ) 1,512 (37 ) 1,525 (115 ) 1,410 Discount 62 (4 ) (96 ) 0 (192 ) 2 (228 ) 23 (205 ) Present value of expected cash flows $ (240 ) $ 11 $ 242 $ (1 ) $ 1,320 $ (35 ) $ 1,297 $ (92 ) $ 1,205 Deferred premium revenue $ 116 $ (5 ) $ 135 $ 0 $ 573 $ (6 ) $ 813 $ (77 ) $ 736 Reserves (salvage) $ (284 ) $ 12 $ 188 $ 0 $ 975 $ (30 ) $ 861 $ (54 ) $ 807 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2016 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 165 (35 ) 79 (11 ) 148 (49 ) 392 — 392 Remaining weighted-average contract period (in years) 8.6 7.0 13.2 10.5 8.1 6.0 10.1 — 10.1 Outstanding exposure: Principal $ 4,187 $ (326 ) $ 4,273 $ (416 ) $ 4,703 $ (320 ) $ 12,101 $ — $ 12,101 Interest 1,932 (140 ) 2,926 (219 ) 1,867 (87 ) 6,279 — 6,279 Total(2) $ 6,119 $ (466 ) $ 7,199 $ (635 ) $ 6,570 $ (407 ) $ 18,380 $ — $ 18,380 Expected cash outflows (inflows) $ 172 $ (19 ) $ 1,404 $ (86 ) $ 1,435 $ (65 ) $ 2,841 $ (326 ) $ 2,515 Potential recoveries(3) (440 ) 23 (146 ) 4 (743 ) 45 (1,257 ) 198 (1,059 ) Subtotal (268 ) 4 1,258 (82 ) 692 (20 ) 1,584 (128 ) 1,456 Discount 61 (4 ) (355 ) 19 (114 ) (4 ) (397 ) 24 (373 ) Present value of expected cash flows $ (207 ) $ 0 $ 903 $ (63 ) $ 578 $ (24 ) $ 1,187 $ (104 ) $ 1,083 Deferred premium revenue $ 131 $ (5 ) $ 246 $ (6 ) $ 476 $ (30 ) $ 812 $ (86 ) $ 726 Reserves (salvage) $ (255 ) $ 5 $ 738 $ (58 ) $ 343 $ (10 ) $ 763 $ (64 ) $ 699 ____________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. (2) Includes BIG amounts related to FG VIEs. (3) Includes excess spread and R&W receivables and payables. |
Net Direct Economic Exposure to Selected European Countries | Net Direct Economic Exposure to Selected European Countries(1) As of September 30, 2017 Hungary Italy Portugal Spain Turkey Total (in millions) Sub-sovereign exposure(2) $ 214 $ 1,034 $ 75 $ 456 $ — $ 1,779 Non-sovereign exposure(3) 125 449 — — 200 774 Total $ 339 $ 1,483 $ 75 $ 456 $ 200 $ 2,553 Total BIG (See Note 5) $ 262 $ — $ 75 $ 456 $ — $ 793 ____________________ (1) While exposures are shown in U.S. dollars, the obligations 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 $ 5,186 $ 5,435 $ 8,516 $ 9,038 |
Schedule of Geographic Exposure of Net Par Outstanding | Puerto Rico Net Par Outstanding (1) As of As of (in millions) Commonwealth Constitutionally Guaranteed Commonwealth of Puerto Rico - General Obligation Bonds (2) (3) $ 1,419 $ 1,476 PBA (2) 141 169 Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA (Transportation revenue) (2) (3) 882 918 PRHTA (Highways revenue) (2) (3) 495 350 PRCCDA (2) 152 152 PRIFA (2) 18 18 Other Public Corporations PREPA (2) (3) 853 724 PRASA 373 373 MFA 360 334 COFINA (2) (3) 272 271 U of PR 1 1 Total net exposure to Puerto Rico $ 4,966 $ 4,786 ____________________ (1) The September 30, 2017 amounts include $389 million (which comprises $ 36 million of General Obligation Bonds, $ 134 million of PREPA, $ 144 million of PRHTA (Highways revenue), and $ 75 million of MFA) related to 2017 commutations of previously ceded business. Please refer to Note 13, Reinsurance and Other Monoline Exposures, for more information. (2) As of the date of this filing, the Company has paid claims on these credits. (3) As of the date of this filing, the Oversight Board has certified a filing under Title III of PROMESA for these credits. |
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, 2017 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization (in millions) 2017 (October 1 - December 31) $ 0 $ 3 2018 (January 1 - March 31) 0 123 2018 (April 1 - June 30) 0 3 2018 (July 1 - September 30) 200 322 2018 (October 1 - December 31) 0 3 Subtotal 2018 200 451 2019 223 464 2020 285 516 2021 147 364 2022-2026 1,045 1,995 2027-2031 981 1,655 2032-2036 1,250 1,669 2037-2041 417 588 2042-2047 418 492 Total $ 4,966 $ 8,197 |
Expected Loss to be Paid (Table
Expected Loss to be Paid (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 expected recoveries/ (payables) for breaches of representations and warranties (R&W) and other expected recoveries. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 0.0% to 2.94% with a weighted average of 2.27% as of September 30, 2017 and 0.0% to 3.23% with a weighted average of 2.73% as of December 31, 2016 . Net Expected Loss to be Paid Roll Forward Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Net expected loss to be paid, beginning of period $ 1,297 $ 1,326 $ 1,198 $ 1,391 Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 — — 21 — Net expected loss to be paid on the CIFG portfolio as of July 1, 2016 — 22 — 22 Economic loss development (benefit) due to: Accretion of discount 8 5 24 20 Changes in discount rates (6 ) (29 ) 28 79 Changes in timing and assumptions 202 (20 ) 246 (62 ) Total economic loss development (benefit) 204 (44 ) 298 37 Net (paid) recovered losses (209 ) (214 ) (225 ) (360 ) Net expected loss to be paid, end of period $ 1,292 $ 1,090 $ 1,292 $ 1,090 Net Expected Loss to be Paid Roll Forward by Sector Third Quarter 2017 Net Expected Economic Loss Development / (Benefit) (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 1,044 $ 229 $ (227 ) $ 1,046 Non-U.S. public finance 42 0 5 47 Public finance 1,086 229 (222 ) 1,093 Structured finance: U.S. RMBS 182 (19 ) 13 176 Triple-X life insurance transactions (4 ) (1 ) (2 ) (7 ) Other structured finance 33 (5 ) 2 30 Structured finance 211 (25 ) 13 199 Total $ 1,297 $ 204 $ (209 ) $ 1,292 Net Expected Loss to be Paid Roll Forward by Sector Third Quarter 2016 Net Expected Net Expected Loss to be Paid (Recovered) on CIFG as of July 1, 2016 Economic Loss (Paid) Recovered Losses (1) Net Expected (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 192 (22 ) (27 ) 5 148 Triple-X life insurance transactions 100 — (23 ) (23 ) 54 Other structured finance 34 2 (2 ) 0 34 Structured finance 326 (20 ) (52 ) (18 ) 236 Total $ 1,326 $ 22 $ (44 ) $ (214 ) $ 1,090 Net Expected Loss to be Paid Roll Forward by Sector Nine Months 2017 Net Expected Net Expected as of Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 871 $ — $ 431 $ (256 ) $ 1,046 Non-U.S. public finance 33 13 (4 ) 5 47 Public finance 904 13 427 (251 ) 1,093 Structured finance: U.S. RMBS 206 — (70 ) 40 176 Triple-X life insurance transactions 54 — (56 ) (5 ) (7 ) Other structured finance 34 8 (3 ) (9 ) 30 Structured finance 294 8 (129 ) 26 199 Total $ 1,198 $ 21 $ 298 $ (225 ) $ 1,292 Net Expected Loss to be Paid Roll Forward by Sector Nine Months 2016 Net Expected Net Expected Loss to be Paid (Recovered) on CIFG as of July 1, 2016 Economic Loss (Paid) Recovered Losses (1) Net Expected (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 409 (22 ) (139 ) (100 ) 148 Triple-X life insurance transactions 99 — (21 ) (24 ) 54 Other structured finance 74 2 (19 ) (23 ) 34 Structured finance 582 (20 ) (179 ) (147 ) 236 Total $ 1,391 $ 22 $ 37 $ (360 ) $ 1,090 ____________________ (1) Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. The Company paid $7 million and $3 million in LAE for Third Quarter 2017 and 2016 , respectively and $16 million and $12 million in LAE for Nine Months 2017 and 2016 , respectively. (2) Includes expected LAE to be paid of $23 million as of September 30, 2017 and $12 million as of December 31, 2016 . |
Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss | The following table presents the present value of net expected loss to be paid and the net economic loss development for all contracts by accounting model. Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) By Accounting Model Net Expected Loss to be Paid (Recovered) Net Economic Loss Development (Benefit) As of September 30, 2017 As of December 31, 2016 Third Quarter 2017 Third Quarter 2016 Nine Months 2017 Nine Months 2016 (in millions) Financial guaranty insurance $ 1,205 $ 1,083 $ 207 $ (35 ) $ 328 $ 66 FG VIEs (1) and other 93 105 (2 ) (3 ) (6 ) (6 ) Credit derivatives (2) (6 ) 10 (1 ) (6 ) (24 ) (23 ) Total $ 1,292 $ 1,198 $ 204 $ (44 ) $ 298 $ 37 ___________________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, Contracts Accounted for as Credit Derivatives. |
Net Expected Loss to be Paid By Accounting Model | The following table presents the present value of net expected loss to be paid and the net economic loss development for all contracts by accounting model. Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) By Accounting Model Net Expected Loss to be Paid (Recovered) Net Economic Loss Development (Benefit) As of September 30, 2017 As of December 31, 2016 Third Quarter 2017 Third Quarter 2016 Nine Months 2017 Nine Months 2016 (in millions) Financial guaranty insurance $ 1,205 $ 1,083 $ 207 $ (35 ) $ 328 $ 66 FG VIEs (1) and other 93 105 (2 ) (3 ) (6 ) (6 ) Credit derivatives (2) (6 ) 10 (1 ) (6 ) (24 ) (23 ) Total $ 1,292 $ 1,198 $ 204 $ (44 ) $ 298 $ 37 ___________________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, Contracts Accounted for as Credit Derivatives. |
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS | Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS(1) As of As of June 30, 2017 As of Range Weighted Average Range Weighted Average Range Weighted Average Alt A and Prime Plateau CDR 1.0 % - 11.0% 5.1% 1.1 % - 10.3% 5.1 % 1.0 % – 13.5% 5.7% Final CDR 0.0 % - 0.5% 0.3% 0.1 % - 0.5% 0.3 % 0.0 % – 0.7% 0.3% Initial loss severity: 2005 and prior 60% 60% 60% 2006 80% 80% 80% 2007+ 70% 70% 70% Option ARM Plateau CDR 2.4 % - 6.6% 5.3% 3.7 % - 6.7% 5.4 % 3.2 % – 7.0% 5.6% Final CDR 0.1 % - 0.3% 0.3% 0.2 % - 0.3% 0.3 % 0.2 % – 0.3% 0.3% Initial loss severity: 2005 and prior 60% 60% 60% 2006 70% 70% 70% 2007+ 75% 75% 75% Subprime Plateau CDR 3.6 % - 13.1% 7.9% 3.8 % - 13.1% 7.8 % 2.8 % – 14.1% 8.1% Final CDR 0.2 % - 0.7% 0.4% 0.2 % - 0.7% 0.4 % 0.1 % – 0.7% 0.4% Initial loss severity: 2005 and prior 80% 80% 80% 2006 90% 90% 90% 2007+ 95% 95% 90% ____________________ (1) Represents variables for the base case. First Lien Liquidation Rates September 30, 2017 June 30, 2017 December 31, 2016 Delinquent/Modified in the Previous 12 Months Alt A and Prime 20% 20% 25% Option ARM 20 20 25 Subprime 20 20 25 30 – 59 Days Delinquent Alt A and Prime 30 30 35 Option ARM 35 35 35 Subprime 40 40 40 60 – 89 Days Delinquent Alt A and Prime 40 40 45 Option ARM 45 45 50 Subprime 50 45 50 90+ Days Delinquent Alt A and Prime 50 50 55 Option ARM 55 55 55 Subprime 55 55 55 Bankruptcy Alt A and Prime 45 45 45 Option ARM 50 50 50 Subprime 40 40 40 Foreclosure Alt A and Prime 65 60 65 Option ARM 65 65 65 Subprime 65 65 65 Real Estate Owned All 100 100 100 |
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | Key Assumptions in Base Case Expected Loss Estimates HELOCs (1) As of As of June 30, 2017 As of Range Weighted Average Range Weighted Average Range Weighted Average Plateau CDR 5.2 % - 22.0% 11.3% 3.2 % - 22.6% 13.3 % 3.5 % - 24.8% 13.6% Final CDR trended down to 2.5 % - 3.2% 2.5% 0.5 % - 3.2% 1.3 % 0.5 % - 3.2% 1.3% Liquidation rates: Delinquent/Modified in the Previous 12 Months 20% 20% 25% 30 – 59 Days Delinquent 45 45 50 60 – 89 Days Delinquent 60 65 65 90+ Days Delinquent 75 80 80 Bankruptcy 55 55 55 Foreclosure 70 75 75 Real Estate Owned 100 100 100 Loss severity 98% 98% 98% ____________________ (1) Represents variables for the base case. |
Contracts Accounted for as In33
Contracts Accounted for as Insurance (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Insurance [Abstract] | |
Net Earned Premiums | Net Earned Premiums Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Scheduled net earned premiums $ 96 $ 101 $ 296 $ 285 Accelerations: Refundings 84 105 189 267 Terminations 3 21 15 65 Total Accelerations 87 126 204 332 Accretion of discount on net premiums receivable 3 4 11 11 Financial guaranty insurance net earned premiums 186 231 511 628 Other 0 — 1 0 Net earned premiums (1) $ 186 $ 231 $ 512 $ 628 ___________________ (1) Excludes $3 million and $4 million for Third Quarter 2017 and 2016 , respectively, and $11 million and $12 million for Nine Months 2017 and 2016 , respectively, related to consolidated FG VIEs. |
Components of Unearned Premium Reserve | Components of Unearned Premium Reserve As of September 30, 2017 As of December 31, 2016 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue(2) $ 3,647 $ 107 $ 3,540 $ 3,548 $ 206 $ 3,342 Contra-paid (3) (50 ) 1 (51 ) (37 ) 0 (37 ) Unearned premium reserve $ 3,597 $ 108 $ 3,489 $ 3,511 $ 206 $ 3,305 ____________________ (1) Excludes $79 million and $90 million of deferred premium revenue, and $18 million and $25 million of contra-paid related to FG VIEs as of September 30, 2017 and December 31, 2016 , respectively. (2) Includes $7 million of non- financial guaranty as of September 30, 2017 . As of December 31, 2016 , non-financial guaranty deferred premium revenue was de minimis. (3) 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 2017 2016 (in millions) December 31, $ 576 $ 693 FG activity Premiums receivable from acquisitions (see Note 2) 270 18 Gross written premiums on new business, net of commissions on assumed business 225 111 Gross premiums received, net of commissions on assumed business (216 ) (155 ) Adjustments: Changes in the expected term 0 (39 ) Accretion of discount, net of commissions on assumed business 13 5 Foreign exchange translation 54 (25 ) Subtotal (1) 922 608 Other 0 0 September 30, $ 922 $ 608 ____________________ (1) Excludes $10 million and $11 million as of September 30, 2017 and September 30, 2016 , respectively, related to consolidated FG VIEs. Expected Collections of Financial Guaranty Insurance Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of (in millions) 2017 (October 1 – December 31) $ 32 2018 95 2019 82 2020 80 2021 78 2022-2026 306 2027-2031 212 2032-2036 120 After 2036 120 Total(1) $ 1,125 ____________________ (1) Excludes expected cash collections on FG VIEs of $13 million . |
Schedule of Net Earned Premiums | Scheduled Financial Guaranty Insurance Net Earned Premiums As of (in millions) 2017 (October 1 – December 31) $ 92 2018 348 2019 300 2020 271 2021 249 2022-2026 963 2027-2031 620 2032-2036 373 After 2036 317 Net deferred premium revenue(1) 3,533 Future accretion 197 Total future net earned premiums $ 3,730 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $79 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 $ 922 $ 576 Gross deferred premium revenue 1,241 1,041 Weighted-average risk-free rate used to discount premiums 2.4 % 3.0 % Weighted-average period of premiums receivable (in years) 9.3 9.1 |
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, 2017 As of December 31, 2016 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 $ 984 $ 196 $ 788 $ 711 $ 86 $ 625 Non-U.S. public finance 21 — 21 21 — 21 Public finance 1,005 196 809 732 86 646 Structured finance: U.S. RMBS 269 252 17 283 262 21 Triple-X life insurance transactions 15 28 (13 ) 36 — 36 Other structured finance 52 — 52 60 — 60 Structured finance 336 280 56 379 262 117 Subtotal 1,341 476 865 1,111 348 763 Other recoverable (payable) — 3 (3 ) — (1 ) 1 Subtotal 1,341 479 862 1,111 347 764 Elimination of losses attributable to FG VIEs (54 ) — (54 ) (64 ) — (64 ) Total (1) $ 1,287 $ 479 $ 808 $ 1,047 $ 347 $ 700 ____________________ (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 $ 1,326 $ 1,127 Reinsurance recoverable on unpaid losses (39 ) (80 ) Loss and LAE reserve, net 1,287 1,047 Salvage and subrogation recoverable (497 ) (365 ) Salvage and subrogation payable(1) 21 17 Other payable (recoverable) (3 ) 1 Salvage and subrogation recoverable, net, and other recoverable (479 ) (347 ) Net reserves (salvage) $ 808 $ 700 ____________________ (1) Recorded as a component of reinsurance balances payable. |
Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts | Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of (in millions) Net expected loss to be paid - financial guaranty insurance (1) $ 1,205 Contra-paid, net 51 Salvage and subrogation recoverable, net of reinsurance 476 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (1,286 ) Other recoverable (payable) 3 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 $55 million as of September 30, 2017 , 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) 2017 (October 1 – December 31) $ 9 Subtotal 2017 9 2018 40 2019 37 2020 38 2021 34 2022-2026 143 2027-2031 86 2032-2036 46 After 2036 16 Net expected loss to be expensed 449 Future accretion 205 Total expected future loss and LAE $ 654 |
Loss and LAE Reported on the Consolidated Statements of Operations | Loss and LAE Reported on the Consolidated Statements of Operations Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Public finance: U.S. public finance $ 233 $ 20 $ 424 $ 233 Non-U.S. public finance 0 — (3 ) (1 ) Public finance 233 20 421 232 Structured finance: U.S. RMBS (4 ) (2 ) (14 ) (3 ) Triple-X life insurance transactions (2 ) (24 ) (48 ) (22 ) Other structured finance (3 ) (3 ) 0 (20 ) Structured finance (9 ) (29 ) (62 ) (45 ) Loss and LAE on insurance contracts before FG VIE consolidation 224 (9 ) 359 187 Gain (loss) related to FG VIE consolidation (1 ) 0 (5 ) (4 ) Loss and LAE $ 223 $ (9 ) $ 354 $ 183 |
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, 2017 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) 150 (22 ) 48 (3 ) 151 (44 ) 349 — 349 Remaining weighted-average contract period (in years) 8.7 7.1 14.1 2.9 9.6 9.3 9.8 — 9.8 Outstanding exposure: Principal $ 4,727 $ (99 ) $ 1,390 $ (8 ) $ 6,715 $ (195 ) $ 12,530 $ — $ 12,530 Interest 2,239 (42 ) 1,051 (1 ) 3,218 (89 ) 6,376 — 6,376 Total(2) $ 6,966 $ (141 ) $ 2,441 $ (9 ) $ 9,933 $ (284 ) $ 18,906 $ — $ 18,906 Expected cash outflows (inflows) $ 192 $ (5 ) $ 418 $ (1 ) $ 3,174 $ (83 ) $ 3,695 $ (309 ) $ 3,386 Potential recoveries(3) (494 ) 20 (80 ) 0 (1,662 ) 46 (2,170 ) 194 (1,976 ) Subtotal (302 ) 15 338 (1 ) 1,512 (37 ) 1,525 (115 ) 1,410 Discount 62 (4 ) (96 ) 0 (192 ) 2 (228 ) 23 (205 ) Present value of expected cash flows $ (240 ) $ 11 $ 242 $ (1 ) $ 1,320 $ (35 ) $ 1,297 $ (92 ) $ 1,205 Deferred premium revenue $ 116 $ (5 ) $ 135 $ 0 $ 573 $ (6 ) $ 813 $ (77 ) $ 736 Reserves (salvage) $ (284 ) $ 12 $ 188 $ 0 $ 975 $ (30 ) $ 861 $ (54 ) $ 807 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2016 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 165 (35 ) 79 (11 ) 148 (49 ) 392 — 392 Remaining weighted-average contract period (in years) 8.6 7.0 13.2 10.5 8.1 6.0 10.1 — 10.1 Outstanding exposure: Principal $ 4,187 $ (326 ) $ 4,273 $ (416 ) $ 4,703 $ (320 ) $ 12,101 $ — $ 12,101 Interest 1,932 (140 ) 2,926 (219 ) 1,867 (87 ) 6,279 — 6,279 Total(2) $ 6,119 $ (466 ) $ 7,199 $ (635 ) $ 6,570 $ (407 ) $ 18,380 $ — $ 18,380 Expected cash outflows (inflows) $ 172 $ (19 ) $ 1,404 $ (86 ) $ 1,435 $ (65 ) $ 2,841 $ (326 ) $ 2,515 Potential recoveries(3) (440 ) 23 (146 ) 4 (743 ) 45 (1,257 ) 198 (1,059 ) Subtotal (268 ) 4 1,258 (82 ) 692 (20 ) 1,584 (128 ) 1,456 Discount 61 (4 ) (355 ) 19 (114 ) (4 ) (397 ) 24 (373 ) Present value of expected cash flows $ (207 ) $ 0 $ 903 $ (63 ) $ 578 $ (24 ) $ 1,187 $ (104 ) $ 1,083 Deferred premium revenue $ 131 $ (5 ) $ 246 $ (6 ) $ 476 $ (30 ) $ 812 $ (86 ) $ 726 Reserves (salvage) $ (255 ) $ 5 $ 738 $ (58 ) $ 343 $ (10 ) $ 763 $ (64 ) $ 699 ____________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. (2) Includes BIG amounts related to FG VIEs. (3) Includes excess spread and R&W receivables and payables. |
Fair Value Measurement (Tables)
Fair Value Measurement (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Information by Credit Spread Type | Information by Credit Spread Type (1) As of As of Based on actual collateral specific spreads 12 % 7 % Based on market indices 53 % 77 % Provided by the CDS counterparty 35 % 16 % 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 | 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 % |
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | Amounts recorded at fair value in the Company’s financial statements are presented in the tables below. Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of September 30, 2017 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 $ 5,705 $ — $ 5,623 $ 82 U.S. government and agencies 270 — 270 — Corporate securities 1,976 — 1,910 66 Mortgage-backed securities: RMBS 881 — 535 346 Commercial mortgage-backed securities (CMBS) 562 — 562 — Asset-backed securities 852 — 80 772 Foreign government securities 300 — 300 — Total fixed-maturity securities 10,546 — 9,280 1,266 Short-term investments 949 629 320 — Other invested assets (1) 7 — 0 7 Credit derivative assets 3 — — 3 FG VIEs’ assets, at fair value 707 — — 707 Other assets 117 24 35 58 Total assets carried at fair value $ 12,329 $ 653 $ 9,635 $ 2,041 Liabilities: Credit derivative liabilities $ 305 $ — $ — $ 305 FG VIEs’ liabilities with recourse, at fair value 657 — — 657 FG VIEs’ liabilities without recourse, at fair value 111 — — 111 Total liabilities carried at fair value $ 1,073 $ — $ — $ 1,073 Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 2016 Fair Value Hierarchy Fair Value Level 1 Level 2 Level 3 (in millions) Assets: Investment portfolio, available-for-sale: Fixed-maturity securities Obligations of state and political subdivisions $ 5,432 $ — $ 5,393 $ 39 U.S. government and agencies 440 — 440 — Corporate securities 1,613 — 1,553 60 Mortgage-backed securities: RMBS 987 — 622 365 CMBS 583 — 583 — Asset-backed securities 945 — 140 805 Foreign government securities 233 — 233 — Total fixed-maturity securities 10,233 — 8,964 1,269 Short-term investments 590 319 271 — Other invested assets (1) 8 — 0 8 Credit derivative assets 13 — — 13 FG VIEs’ assets, at fair value 876 — — 876 Other assets 114 24 28 62 Total assets carried at fair value $ 11,834 $ 343 $ 9,263 $ 2,228 Liabilities: Credit derivative liabilities $ 402 $ — $ — $ 402 FG VIEs’ liabilities with recourse, at fair value 807 — — 807 FG VIEs’ liabilities without recourse, at fair value 151 — — 151 Total liabilities carried at fair value $ 1,360 $ — $ — $ 1,360 ____________________ (1) Excluded from the table above are investment funds of $47 million and $48 million as of September 30, 2017 and December 31, 2016 , 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 2017 and 2016 and Nine Months 2017 and 2016 . Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2017 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (7) Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of $ 91 $ 63 $ 357 $ 656 $ 757 $ 65 $ (361 ) $ (689 ) $ (131 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) (8 ) (2 ) 1 (2 ) 5 (2 ) 15 (2 ) 4 (3 ) (4 ) (4 ) 58 (6 ) (3 ) (3 ) (1 ) (3 ) Other comprehensive income (loss) (1 ) 2 (1 ) 2 — 0 — — — Purchases — — 13 106 — — — — — Settlements — — (28 ) (7 ) (36 ) — 1 35 3 FV VIE deconsolidations — — — — (18 ) — — 0 18 Transfers into Level 3 — — — — — — — — — Fair value as of $ 82 $ 66 $ 346 $ 772 $ 707 $ 61 $ (302 ) $ (657 ) $ (111 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2017 $ (1 ) $ 2 $ 0 $ 2 $ 10 (3 ) $ (4 ) (4 ) $ 51 (6 ) $ (3 ) (3 ) $ (1 ) (3 ) Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2016 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (7) Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of $ 41 $ 58 $ 349 $ 564 $ 814 $ 38 $ (396 ) $ (790 ) $ (115 ) CIFG Acquisition 1 — 20 36 — — (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 — — — 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 $ 43 $ 58 $ 383 $ 691 $ 877 $ 15 $ (481 ) $ (832 ) $ (153 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2016 $ 0 $ 0 $ 1 $ 47 $ 29 (3 ) $ (23 ) (4 ) $ (5 ) (6 ) $ (18 ) (3 ) $ (17 ) (3 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2017 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (7) Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of $ 39 $ 60 $ 365 $ 805 $ 876 $ 65 $ (389 ) $ (807 ) $ (151 ) MBIA UK Acquisition — — — 7 — — — — — Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) (6 ) (2 ) 4 (2 ) 23 (2 ) 100 (2 ) 32 (3 ) (4 ) (4 ) 106 (6 ) (14 ) (3 ) (4 ) (3 ) Other comprehensive income (loss) (4 ) 2 25 60 — 0 — — — Purchases — — 42 162 — — — — — Settlements (2 ) — (109 ) (362 ) (117 ) — (19 ) 113 11 FG VIE consolidations — — — — 21 — — 0 (21 ) FG VIE deconsolidations — — — — (105 ) — — 51 54 Transfers into Level 3 55 — — — — — — — — Fair value as of $ 82 $ 66 $ 346 $ 772 $ 707 $ 61 $ (302 ) $ (657 ) $ (111 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2017 $ (4 ) $ 2 $ 25 $ 126 $ 50 (3 ) $ (4 ) (4 ) $ 63 (6 ) $ (12 ) (3 ) $ (4 ) (3 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2016 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- Short-Term Investments FG VIEs’ Other (7) Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of $ 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 $ 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 (3 ) $ (50 ) (4 ) $ (104 ) (6 ) $ 1 (3 ) $ (14 ) (3 ) ____________________ (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 realized investment gains (losses), 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 and other income. (7) 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 2017 and 2016 and Nine Months 2017 and 2016 . Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2017 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (7) Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of $ 91 $ 63 $ 357 $ 656 $ 757 $ 65 $ (361 ) $ (689 ) $ (131 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) (8 ) (2 ) 1 (2 ) 5 (2 ) 15 (2 ) 4 (3 ) (4 ) (4 ) 58 (6 ) (3 ) (3 ) (1 ) (3 ) Other comprehensive income (loss) (1 ) 2 (1 ) 2 — 0 — — — Purchases — — 13 106 — — — — — Settlements — — (28 ) (7 ) (36 ) — 1 35 3 FV VIE deconsolidations — — — — (18 ) — — 0 18 Transfers into Level 3 — — — — — — — — — Fair value as of $ 82 $ 66 $ 346 $ 772 $ 707 $ 61 $ (302 ) $ (657 ) $ (111 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2017 $ (1 ) $ 2 $ 0 $ 2 $ 10 (3 ) $ (4 ) (4 ) $ 51 (6 ) $ (3 ) (3 ) $ (1 ) (3 ) Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2016 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (7) Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of $ 41 $ 58 $ 349 $ 564 $ 814 $ 38 $ (396 ) $ (790 ) $ (115 ) CIFG Acquisition 1 — 20 36 — — (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 — — — 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 $ 43 $ 58 $ 383 $ 691 $ 877 $ 15 $ (481 ) $ (832 ) $ (153 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2016 $ 0 $ 0 $ 1 $ 47 $ 29 (3 ) $ (23 ) (4 ) $ (5 ) (6 ) $ (18 ) (3 ) $ (17 ) (3 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2017 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (7) Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of $ 39 $ 60 $ 365 $ 805 $ 876 $ 65 $ (389 ) $ (807 ) $ (151 ) MBIA UK Acquisition — — — 7 — — — — — Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) (6 ) (2 ) 4 (2 ) 23 (2 ) 100 (2 ) 32 (3 ) (4 ) (4 ) 106 (6 ) (14 ) (3 ) (4 ) (3 ) Other comprehensive income (loss) (4 ) 2 25 60 — 0 — — — Purchases — — 42 162 — — — — — Settlements (2 ) — (109 ) (362 ) (117 ) — (19 ) 113 11 FG VIE consolidations — — — — 21 — — 0 (21 ) FG VIE deconsolidations — — — — (105 ) — — 51 54 Transfers into Level 3 55 — — — — — — — — Fair value as of $ 82 $ 66 $ 346 $ 772 $ 707 $ 61 $ (302 ) $ (657 ) $ (111 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2017 $ (4 ) $ 2 $ 25 $ 126 $ 50 (3 ) $ (4 ) (4 ) $ 63 (6 ) $ (12 ) (3 ) $ (4 ) (3 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2016 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- Short-Term Investments FG VIEs’ Other (7) Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) Fair value as of $ 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 $ 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 (3 ) $ (50 ) (4 ) $ (104 ) (6 ) $ 1 (3 ) $ (14 ) (3 ) ____________________ (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 realized investment gains (losses), 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 and other income. (7) 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, 2017 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: Obligations of state and political subdivisions $ 82 Yield 4.3 % - 39.0% 15.9% Corporate securities 66 Yield 20.8% RMBS 346 CPR 1.2 % - 17.4% 6.0% CDR 2.0 % - 8.5% 6.1% Loss severity 40.0 % - 100.0% 78.5% Yield 3.8 % - 9.0% 5.7% Asset-backed securities: Triple-X life insurance transactions 609 Yield 6.1 % - 6.4% 6.3% Collateralized loan obligations (CLO) /TruPS 104 Yield 2.5 % - 4.5% 3.3% Others 59 Yield 10.7% FG VIEs’ assets, at fair value 707 CPR 3.5 % - 13.0% 9.3% CDR 1.6 % - 22.2% 4.3% Loss severity 55.0 % - 100.0% 78.4% Yield 3.6 % - 14.9% 6.5% Other assets 58 Implied Yield 4.8 % - 5.5% 5.1% Term (years) 10 years Liabilities: Credit derivative liabilities, net (302 ) Year 1 loss estimates 0.0 % - 59.0% 3.4% Hedge cost (in bps) 20.3 - 142.5 54.0 Bank profit (in bps) 3.8 - 825.0 102.9 Internal floor (in bps) 7.0 - 100.0 24.9 Internal credit rating AAA - CCC AA- FG VIEs’ liabilities, at fair value (768 ) CPR 3.5 % - 13.0% 9.3% CDR 1.6 % - 22.2% 4.3% Loss severity 55.0 % - 100.0% 78.4% Yield 3.1 % - 14.9% 4.9% ___________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. (2) Excludes several investments recorded in other invested assets with fair value of $7 million . Quantitative Information About Level 3 Fair Value Inputs At December 31, 2016 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: Obligations of state and political subdivisions $ 39 Yield 4.3 % - 22.8% 11.1% Corporate securities 60 Yield 20.1% RMBS 365 CPR 1.6 % - 17.0% 4.6% CDR 1.5 % - 10.1% 6.7% Loss severity 30.0 % - 100.0% 77.8% Yield 3.3 % - 9.7% 6.0% Asset-backed securities: Triple-X life insurance transactions 425 Yield 5.7 % - 6.0% 5.8% Collateralized debt obligations (CDO) 332 Yield 10.0% CLO/TruPS 19 Yield 1.5 % - 4.8% 3.1% Others 29 Yield 7.2% FG VIEs’ assets, at fair value 876 CPR 3.5 % - 12.0% 7.8% CDR 2.5 % - 21.6% 5.7% Loss severity 35.0 % - 100.0% 78.6% Yield 2.9 % - 20.0% 6.5% Other assets 62 Implied Yield 4.5 % - 5.1% 4.8% Term (years) 10 years Liabilities: Credit derivative liabilities, net (389 ) Year 1 loss estimates 0.0 % - 38.0% 1.3% Hedge cost (in bps) 7.2 - 118.1 24.5 Bank profit (in bps) 3.8 - 825.0 61.8 Internal floor (in bps) 7.0 - 100.0 13.9 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (958 ) CPR 3.5 % - 12.0% 7.8% CDR 2.5 % - 21.6% 5.7% Loss severity 35.0 % - 100.0% 78.6% Yield 2.4 % - 20.0% 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 . |
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At September 30, 2017 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: Obligations of state and political subdivisions $ 82 Yield 4.3 % - 39.0% 15.9% Corporate securities 66 Yield 20.8% RMBS 346 CPR 1.2 % - 17.4% 6.0% CDR 2.0 % - 8.5% 6.1% Loss severity 40.0 % - 100.0% 78.5% Yield 3.8 % - 9.0% 5.7% Asset-backed securities: Triple-X life insurance transactions 609 Yield 6.1 % - 6.4% 6.3% Collateralized loan obligations (CLO) /TruPS 104 Yield 2.5 % - 4.5% 3.3% Others 59 Yield 10.7% FG VIEs’ assets, at fair value 707 CPR 3.5 % - 13.0% 9.3% CDR 1.6 % - 22.2% 4.3% Loss severity 55.0 % - 100.0% 78.4% Yield 3.6 % - 14.9% 6.5% Other assets 58 Implied Yield 4.8 % - 5.5% 5.1% Term (years) 10 years Liabilities: Credit derivative liabilities, net (302 ) Year 1 loss estimates 0.0 % - 59.0% 3.4% Hedge cost (in bps) 20.3 - 142.5 54.0 Bank profit (in bps) 3.8 - 825.0 102.9 Internal floor (in bps) 7.0 - 100.0 24.9 Internal credit rating AAA - CCC AA- FG VIEs’ liabilities, at fair value (768 ) CPR 3.5 % - 13.0% 9.3% CDR 1.6 % - 22.2% 4.3% Loss severity 55.0 % - 100.0% 78.4% Yield 3.1 % - 14.9% 4.9% ___________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. (2) Excludes several investments recorded in other invested assets with fair value of $7 million . Quantitative Information About Level 3 Fair Value Inputs At December 31, 2016 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: Obligations of state and political subdivisions $ 39 Yield 4.3 % - 22.8% 11.1% Corporate securities 60 Yield 20.1% RMBS 365 CPR 1.6 % - 17.0% 4.6% CDR 1.5 % - 10.1% 6.7% Loss severity 30.0 % - 100.0% 77.8% Yield 3.3 % - 9.7% 6.0% Asset-backed securities: Triple-X life insurance transactions 425 Yield 5.7 % - 6.0% 5.8% Collateralized debt obligations (CDO) 332 Yield 10.0% CLO/TruPS 19 Yield 1.5 % - 4.8% 3.1% Others 29 Yield 7.2% FG VIEs’ assets, at fair value 876 CPR 3.5 % - 12.0% 7.8% CDR 2.5 % - 21.6% 5.7% Loss severity 35.0 % - 100.0% 78.6% Yield 2.9 % - 20.0% 6.5% Other assets 62 Implied Yield 4.5 % - 5.1% 4.8% Term (years) 10 years Liabilities: Credit derivative liabilities, net (389 ) Year 1 loss estimates 0.0 % - 38.0% 1.3% Hedge cost (in bps) 7.2 - 118.1 24.5 Bank profit (in bps) 3.8 - 825.0 61.8 Internal floor (in bps) 7.0 - 100.0 13.9 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (958 ) CPR 3.5 % - 12.0% 7.8% CDR 2.5 % - 21.6% 5.7% Loss severity 35.0 % - 100.0% 78.6% Yield 2.4 % - 20.0% 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 . |
Fair Value of Financial Instruments | The carrying amount and estimated fair value of the Company’s financial instruments are presented in the following table. Fair Value of Financial Instruments As of As of Carrying Amount Estimated Fair Value Carrying Amount Estimated Fair Value (in millions) Assets: Fixed-maturity securities $ 10,546 $ 10,546 $ 10,233 $ 10,233 Short-term investments 949 949 590 590 Other invested assets 62 64 146 147 Credit derivative assets 3 3 13 13 FG VIEs’ assets, at fair value 707 707 876 876 Other assets 291 291 205 205 Liabilities: Financial guaranty insurance contracts (1) 3,402 8,311 3,483 8,738 Long-term debt 1,292 1,636 1,306 1,546 Credit derivative liabilities 305 305 402 402 FG VIEs’ liabilities with recourse, at fair value 657 657 807 807 FG VIEs’ liabilities without recourse, at fair value 111 111 151 151 Other liabilities 220 220 12 12 ____________________ (1) Carrying amount includes the assets and liabilities related to financial guaranty insurance contract premiums, losses, and salvage and subrogation and other recoverables net of reinsurance. |
Contracts Accounted for as Cr35
Contracts Accounted for as Credit Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating | Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of September 30, 2017 As of December 31, 2016 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 2,956 39.3 % $ 10,967 64.6 % AA 1,247 16.5 2,167 12.7 A 1,628 21.6 1,499 8.8 BBB 1,008 13.4 1,391 8.2 BIG 696 9.2 973 5.7 Credit derivative net par outstanding $ 7,535 100.0 % $ 16,997 100.0 % Credit Derivatives As of September 30, 2017 As of December 31, 2016 Asset Type Net Par Outstanding Weighted Average Credit Rating Net Par Outstanding Weighted Average Credit Rating (dollars in millions) Pooled corporate obligations: CLO/collateralized bond obligations $ 199 AAA $ 2,022 AAA Synthetic investment grade pooled corporate 547 AAA 7,224 AAA TruPS CDOs 898 A- 1,179 BBB+ Total pooled corporate obligations 1,644 AA 10,425 AAA U.S. RMBS 1,003 AA 1,142 AA- Pooled infrastructure 1,553 AAA 1,513 AAA Infrastructure finance 847 BBB+ 1,021 BBB+ Other(1) 2,488 A- 2,896 A Total $ 7,535 AA- $ 16,997 AA+ ____________________ (1) This comprises numerous transactions across various asset classes, such as commercial receivables, international RMBS, regulated utilities and consumer receivables. |
Net Change in Fair Value of Credit Derivatives | Net Change in Fair Value of Credit Derivative Gain (Loss) Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Realized gains on credit derivatives $ 4 $ 11 $ 15 $ 39 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (5 ) 4 4 8 Realized gains (losses) and other settlements (1 ) 15 19 47 Net unrealized gains (losses): Pooled corporate obligations 35 3 41 (37 ) U.S. RMBS 11 (12 ) 24 0 Pooled infrastructure (1 ) 4 4 10 Infrastructure finance 0 1 2 0 Other 14 10 16 4 Net unrealized gains (losses) 59 6 87 (23 ) Net change in fair value of credit derivatives $ 58 $ 21 $ 106 $ 24 |
Par and Accelerations From Termination of CDS Contracts | Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Net par of terminated credit derivative contracts $ 40 $ 1,071 $ 273 $ 3,507 Realized gains on credit derivatives 0 3 0 11 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (3 ) — (15 ) — Net unrealized gains (losses) on credit derivatives 8 11 24 81 |
CDS Spread on AGC and AGM | CDS Spread on AGC and AGM Quoted price of CDS contract (in basis points) As of As of June 30, 2017 As of As of September 30, 2016 As of As of Five-year CDS spread: AGC 190 136 158 170 265 376 AGM 190 140 158 170 265 366 One-year CDS spread AGC 81 15 35 31 45 139 AGM 81 15 29 31 47 131 |
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 $ (630 ) $ (811 ) Plus: Effect of AGC and AGM credit spreads 328 422 Net fair value of credit derivatives $ (302 ) $ (389 ) |
Net Fair Value and Expected Losses of Credit Derivatives by Sector | Net Fair Value and Expected Losses of Credit Derivatives As of As of (in millions) Fair value of credit derivative asset (liability), net $ (302 ) $ (389 ) Expected loss to be (paid) recovered 6 (10 ) |
Schedule of Collateral Posting Requirements for Credit Derivative Contracts | AGC Insured CDS Collateral Posting Requirements As of As of (in millions) Gross par of CDS with collateral posting requirement $ 502 $ 690 Maximum posting requirement 469 674 Collateral posted 18 116 |
Effects of Changes in Credit Spread | Effect of Changes in Credit Spread A of September 30, 2017 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (531 ) $ (229 ) 50% widening in spreads (417 ) (115 ) 25% widening in spreads (359 ) (57 ) 10% widening in spreads (325 ) (23 ) Base Scenario (302 ) — 10% narrowing in spreads (279 ) 23 25% narrowing in spreads (245 ) 57 50% narrowing in spreads (188 ) 114 ____________________ (1) Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Consolidated Variable Interes36
Consolidated Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated FG VIE's | Number of FG VIEs Consolidated Nine Months 2017 2016 Beginning of the period, December 31 32 34 Consolidated 1 1 Deconsolidated (2 ) (2 ) Matured — (1 ) End of the period, September 30 31 32 Effect of Consolidating FG VIEs on Net Income (Loss), Cash Flows From Operating Activities and Shareholders' Equity Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Net earned premiums $ (3 ) $ (4 ) $ (11 ) $ (12 ) Net investment income (2 ) (1 ) (4 ) (8 ) Net realized investment gains (losses) 0 0 0 1 Fair value gains (losses) on FG VIEs 3 (11 ) 25 11 Loss and LAE 1 (1 ) 5 3 Effect on income before tax (1 ) (17 ) 15 (5 ) Less: tax provision (benefit) 0 (6 ) 5 (2 ) Effect on net income (loss) $ (1 ) $ (11 ) $ 10 $ (3 ) Effect on cash flows from operating activities $ 6 $ 11 $ 16 $ 16 As of As of (in millions) Effect on shareholders' equity (decrease) increase $ 1 $ (9 ) Consolidated FG VIEs By Type of Collateral As of September 30, 2017 As of December 31, 2016 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 378 $ 400 $ 473 $ 509 U.S. RMBS second lien 150 188 178 223 Manufactured housing 68 69 74 75 Total with recourse 596 657 725 807 Without recourse 111 111 151 151 Total $ 707 $ 768 $ 876 $ 958 |
Investments and Cash (Tables)
Investments and Cash (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Net Investment Income | Net Investment Income Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Income from fixed-maturity securities managed by third parties $ 74 $ 75 $ 224 $ 231 Income from internally managed securities: Fixed maturities (1) 27 19 100 58 Other 1 2 5 8 Gross investment income 102 96 329 297 Investment expenses (3 ) (2 ) (7 ) (6 ) Net investment income $ 99 $ 94 $ 322 $ 291 ____________________ (1) Nine Months 2017 includes accretion on Zohar II Notes. |
Net Realized Investment Gains (Losses) | Net Realized Investment Gains (Losses) Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Gross realized gains on available-for-sale securities (1) $ 23 $ 4 $ 92 $ 24 Gross realized losses on available-for-sale securities (3 ) (1 ) (9 ) (3 ) Net realized gains (losses) on other invested assets 0 0 0 0 Other-than-temporary impairment (13 ) (5 ) (29 ) (26 ) Net realized investment gains (losses) $ 7 $ (2 ) $ 54 $ (5 ) ____________________ (1) Nine Months 2017 includes a gain on Zohar II Notes used as consideration for the MBIA UK Acquisition. Please refer to Note 2, Acquisitions. |
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 OCI. Roll Forward of Credit Losses in the Investment Portfolio Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Balance, beginning of period $ 145 $ 108 $ 134 $ 108 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 3 1 6 3 Reductions for securities sold and other settlements 0 — (4 ) (4 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 5 1 17 3 Balance, end of period $ 153 $ 110 $ 153 $ 110 |
Fixed Maturity Securities and Short Term Investments by Security Type | Fixed-Maturity Securities and Short-Term Investments by Security Type As of September 30, 2017 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 % $ 5,445 $ 277 $ (17 ) $ 5,705 $ 21 AA- U.S. government and agencies 2 256 14 0 270 0 AA+ Corporate securities 18 1,932 62 (18 ) 1,976 (6 ) A+ Mortgage-backed securities(4): 0 RMBS 8 866 27 (12 ) 881 2 BBB+ CMBS 5 551 15 (4 ) 562 — AAA Asset-backed securities 6 682 170 0 852 143 B Foreign government securities 3 313 6 (19 ) 300 — AA Total fixed-maturity securities 91 10,045 571 (70 ) 10,546 160 A+ Short-term investments 9 948 1 0 949 — AAA Total investment portfolio 100 % $ 10,993 $ 572 $ (70 ) $ 11,495 $ 160 A+ Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2016 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 50 % $ 5,269 $ 202 $ (39 ) $ 5,432 $ 13 AA U.S. government and agencies 4 424 17 (1 ) 440 — AA+ Corporate securities 15 1,612 32 (31 ) 1,613 (8 ) A- Mortgage-backed securities(4): RMBS 9 998 27 (38 ) 987 (21 ) A- CMBS 5 575 13 (5 ) 583 — AAA Asset-backed securities 8 835 110 0 945 33 B Foreign government securities 3 261 4 (32 ) 233 — AA Total fixed-maturity securities 94 9,974 405 (146 ) 10,233 17 A+ Short-term investments 6 590 0 0 590 — AAA Total investment portfolio 100 % $ 10,564 $ 405 $ (146 ) $ 10,823 $ 17 A+ ____________________ (1) Based on amortized cost. (2) Accumulated OCI (AOCI). 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 Global Ratings, a division of Standard & Poor's Financial Services LLC (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 39% of mortgage backed securities as of September 30, 2017 and 42% as of December 31, 2016 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, 2017 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 $ 445 $ (10 ) $ 253 $ (7 ) $ 698 $ (17 ) U.S. government and agencies 114 0 4 0 118 0 Corporate securities 136 (1 ) 252 (17 ) 388 (18 ) Mortgage-backed securities: RMBS 107 (1 ) 170 (11 ) 277 (12 ) CMBS 50 0 76 (4 ) 126 (4 ) Asset-backed securities 66 0 3 0 69 0 Foreign government securities 35 (1 ) 147 (18 ) 182 (19 ) Total $ 953 $ (13 ) $ 905 $ (57 ) $ 1,858 $ (70 ) Number of securities (1) 292 230 513 Number of securities with other-than-temporary impairment 9 14 23 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2016 Less than 12 months 12 months or more Total Fair Unrealized Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 1,110 $ (38 ) $ 6 $ (1 ) $ 1,116 $ (39 ) U.S. government and agencies 87 (1 ) — — 87 (1 ) Corporate securities 492 (11 ) 118 (20 ) 610 (31 ) Mortgage-backed securities: RMBS 391 (23 ) 94 (15 ) 485 (38 ) CMBS 165 (5 ) — — 165 (5 ) Asset-backed securities 36 0 0 0 36 0 Foreign government securities 44 (5 ) 114 (27 ) 158 (32 ) Total $ 2,325 $ (83 ) $ 332 $ (63 ) $ 2,657 $ (146 ) Number of securities (1) 622 60 676 Number of securities with other-than-temporary impairment 8 9 17 ___________________ (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, 2017 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, 2017 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 249 $ 250 Due after one year through five years 1,518 1,552 Due after five years through 10 years 2,280 2,365 Due after 10 years 4,581 4,936 Mortgage-backed securities: RMBS 866 881 CMBS 551 562 Total $ 10,045 $ 10,546 |
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 $ 1,220 $ 1,492 Other invested assets 20 107 Other 76 55 Total $ 1,316 $ 1,654 |
Cash and Restricted Cash | The following table provides a reconciliation of the cash reported on the consolidated balance sheets and the cash and restricted cash reported in the statements of cash flows. Cash and Restricted Cash As of As of As of September 30, 2016 As of December 31, 2015 (in millions) Cash $ 72 $ 118 $ 98 $ 166 Restricted cash (1) 0 9 1 0 Total cash and restricted cash $ 72 $ 127 $ 99 $ 166 ____________________ (1) Amounts relate to cash held in trust accounts and are reported in other assets in consolidated balance sheets. Please refer to Note 13, Reinsurance and Other Monoline Exposures, for more information. |
Insurance Company Regulatory 38
Insurance Company Regulatory Requirements (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Insurance Company Regulatory Requirements [Abstract] | |
Schedule of Dividends Paid by Insurance Company Subsidiaries | Dividends and Repayments By Insurance Company Subsidiaries Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Dividends paid by AGC to AGUS $ 15 $ 15 $ 66 $ 38 Dividends paid by AGM to AGMH 63 65 142 192 Dividends paid by AG Re to AGL 45 35 125 85 Dividends paid by MAC to MAC Holdings (1) 12 — 36 — Repayment of surplus note by MAC to AGM — — — 100 Repayment of surplus note by MAC to MAC Holdings (1) — — — 300 Redemption of common stock by MAC to MAC Holdings (1) 250 — 250 — ____________________ (1) MAC Holdings distributed nearly the entire amounts to AGM and AGC, in proportion to their ownership percentages. |
Income Taxes (Tables)
Income Taxes (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 2017 2016 2017 2016 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 116 $ 150 $ 245 $ 234 Tax-exempt interest (12 ) (12 ) (36 ) (38 ) Gain on bargain purchase — (125 ) (20 ) (125 ) State taxes 1 0 7 1 Change in liability for uncertain tax positions 8 8 (27 ) 10 Effect of provision to tax return filing adjustments (8 ) (16 ) (8 ) (16 ) Other 0 (4 ) (4 ) (4 ) Total provision (benefit) for income taxes $ 105 $ 1 $ 157 $ 62 Effective tax rate 33.6 % 0.3 % 18.8 % 8.3 % |
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 2017 2016 2017 2016 (in millions) United States $ 337 $ 432 $ 713 $ 681 Bermuda (18 ) 56 143 88 U.K. (6 ) (8 ) (21 ) (23 ) Total $ 313 $ 480 $ 835 $ 746 |
Revenue by Tax Jurisdiction | Revenue by Tax Jurisdiction Third Quarter Nine Months 2017 2016 2017 2016 (in millions) United States $ 566 $ 499 $ 1,305 $ 1,041 Bermuda 61 69 165 170 U.K. (4 ) (2 ) (12 ) (4 ) Total $ 623 $ 566 $ 1,458 $ 1,207 |
Reinsurance and Other Monolin40
Reinsurance and Other Monoline Exposures (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Insurance [Abstract] | |
Effects of Reinsurance on Statement of Operations | Effect of Reinsurance on Statement of Operations Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Premiums Written: Direct $ 46 $ 17 $ 227 $ 80 Assumed (1) (1 ) (1 ) 8 (9 ) Ceded (2) 27 0 37 (17 ) Net $ 72 $ 16 $ 272 $ 54 Premiums Earned: Direct $ 186 $ 237 $ 516 $ 647 Assumed 6 6 20 19 Ceded (6 ) (12 ) (24 ) (38 ) Net $ 186 $ 231 $ 512 $ 628 Loss and LAE: Direct $ 231 $ 7 $ 377 $ 217 Assumed (1 ) (1 ) (1 ) (4 ) Ceded (7 ) (15 ) (22 ) (30 ) Net $ 223 $ (9 ) $ 354 $ 183 ____________________ (1) Negative assumed premiums written were due to changes in expected debt service schedules. (2) Positive ceded premiums written were due to commutations and changes in expected debt service schedules. |
Amounts Due (To) From Reinsurers | Amounts Due (To) From All Reinsurers As of September 30, 2017 Assumed Ceded Assumed Ceded (in millions) Reinsurers rated investment grade $ 5 $ — $ 1 $ — Reinsurers rated BIG or not rated: American Overseas Reinsurance Company Limited — (4 ) — 36 Syncora 13 (18 ) — (11 ) Ambac 31 — 1 — MBIA 0 — (3 ) — Financial Guaranty Insurance Company and FGIC UK Limited 3 — (16 ) — Ambac Assurance Corp. Segregated Account 6 — (46 ) — Subtotal 53 (22 ) (64 ) 25 Other 0 (3 ) — — Total $ 58 $ (25 ) $ (63 ) $ 25 |
Schedule of Commutations and Cancellations of Reinsurance Contracts | Commutations of Ceded Reinsurance Contracts Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Increase (decrease) in net unearned premium reserve $ 62 $ — $ 80 $ — Increase (decrease) in net par outstanding 3,455 28 4,628 28 Commutation gains (losses) 255 8 328 8 |
Exposure by Reinsurer | Par Outstanding As of September 30, 2017 Reinsurer Ceded Par Outstanding (1) Assumed Par Outstanding Second-to- Pay Insured Par Outstanding (2) (in millions) Reinsurers rated investment grade: National $ — $ 3,245 $ 2,730 Subtotal — 3,245 2,730 Reinsurers rated BIG or not rated: American Overseas Reinsurance Company Limited (3) 2,445 — — Syncora (3) 1,994 674 1,156 ACA Financial Guaranty Corp. 208 — 10 Ambac and Ambac Assurance UK Limited 112 4,902 1,927 MBIA — 137 565 Financial Guaranty Insurance Company and FGIC UK Limited — 275 821 Ambac Assurance Corp. Segregated Account — 567 51 Subtotal 4,759 6,555 4,530 Other (3) 52 111 410 Total $ 4,811 $ 9,911 $ 7,670 ____________________ (1) Of the total ceded par to reinsurers rated BIG or not rated, $305 million is rated BIG . (2) The par on second-to-pay exposure where the primary insurer and underlying transaction rating are both BIG, and/or not rated, is $774 million . (3) The total collateral posted by all non-affiliated reinsurers required to post, or that had agreed to post, collateral as of September 30, 2017 was approximately $123 million . |
Long-Term Debt and Credit Fac41
Long-Term Debt and Credit Facilities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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, 2017 As of December 31, 2016 Principal Carrying Value Principal Carrying Value (in millions) AGUS: 7% Senior Notes (1) $ 200 $ 197 $ 200 $ 197 5% Senior Notes (1) 500 496 500 496 Series A Enhanced Junior Subordinated Debentures (2) 150 150 150 150 Total AGUS 850 843 850 843 AGMH(3): 67/8% QUIBS (1) 100 70 100 69 6.25% Notes (1) 230 142 230 141 5.6% Notes (1) 100 56 100 56 Junior Subordinated Debentures (2) 300 191 300 187 Total AGMH 730 459 730 453 AGM(3): AGM Notes Payable 8 8 9 10 Total AGM 8 8 9 10 Purchased debt (4) (28 ) (18 ) — — Total $ 1,560 $ 1,292 $ 1,589 $ 1,306 ____________________ (1) AGL fully and unconditionally guarantees these obligations (2) Guaranteed by AGL on a junior subordinated basis. (3) Carrying amounts are different than principal amounts due primarily to fair value adjustments at the AGMH acquisition date, which are accreted or amortized into interest expense over the remaining terms of these obligations. (4) In 2017, AGUS purchased $28 million principal amount of AGMH's outstanding Junior Subordinated Debentures. |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Earnings Per Share [Abstract] | |
Schedule of computation of basic and diluted earnings per share | Computation of EPS Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Basic EPS: Net income (loss) attributable to AGL $ 208 $ 479 $ 678 $ 684 Less: Distributed and undistributed income (loss) available to nonvested shareholders 0 1 1 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 208 $ 478 $ 677 $ 683 Basic shares 118.7 131.9 121.8 134.0 Basic EPS $ 1.75 $ 3.63 $ 5.56 $ 5.10 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 208 $ 478 $ 677 $ 683 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 $ 208 $ 478 $ 677 $ 683 Basic shares 118.7 131.9 121.8 134.0 Dilutive securities: Options and restricted stock awards 2.0 0.9 1.7 0.9 Diluted shares 120.7 132.8 123.5 134.9 Diluted EPS $ 1.72 $ 3.60 $ 5.48 $ 5.06 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect — 0.0 0.1 0.5 |
Schedule of antidilutive securities excluded from computation of earnings per share | Computation of EPS Third Quarter Nine Months 2017 2016 2017 2016 (in millions) Basic EPS: Net income (loss) attributable to AGL $ 208 $ 479 $ 678 $ 684 Less: Distributed and undistributed income (loss) available to nonvested shareholders 0 1 1 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 208 $ 478 $ 677 $ 683 Basic shares 118.7 131.9 121.8 134.0 Basic EPS $ 1.75 $ 3.63 $ 5.56 $ 5.10 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 208 $ 478 $ 677 $ 683 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 $ 208 $ 478 $ 677 $ 683 Basic shares 118.7 131.9 121.8 134.0 Dilutive securities: Options and restricted stock awards 2.0 0.9 1.7 0.9 Diluted shares 120.7 132.8 123.5 134.9 Diluted EPS $ 1.72 $ 3.60 $ 5.48 $ 5.06 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect — 0.0 0.1 0.5 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 2017 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, 2017 $ 228 $ 107 $ (27 ) $ 7 $ 315 Other comprehensive income (loss) before reclassifications 27 (15 ) 3 — 15 Amounts reclassified from AOCI to: Net realized investment gains (losses) (24 ) 17 — — (7 ) Net investment income — — — — — Interest expense — — — 0 0 Total before tax (24 ) 17 — 0 (7 ) Tax (provision) benefit 9 (6 ) — 0 3 Total amount reclassified from AOCI, net of tax (15 ) 11 — 0 (4 ) Net current period other comprehensive income (loss) 12 (4 ) 3 0 11 Balance, September 30, 2017 $ 240 $ 103 $ (24 ) $ 7 $ 326 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 |
Schedule of Share Repurchases | The following table presents share repurchases since January 2016. Share Repurchases Period Number of Shares Repurchased Total Payments (in millions) Average Price Paid Per Share 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 2016 (October 1 - December 31, 2016) 3,300,617 116 35.09 Total 2016 10,721,248 306 28.53 2017 (January 1 - March 31) 5,430,041 216 39.83 2017 (April 1 - June 30, 2017) 3,456,711 135 39.05 2017 (July 1 - September 30, 2017) 1,847,901 $ 80 43.29 2017 (October 1 - through November 2, 2017) 533,618 $ 20 37.48 Total 2017 11,268,271 451 40.05 Cumulative repurchases since the beginning of 2013 79,911,478 2,166 27.11 |
Subsidiary Information (Tables)
Subsidiary Information (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Condensed Financial Information of Parent Company Only Disclosure [Abstract] | |
Condensed Consolidating Balance Sheet | CONDENSED CONSOLIDATING BALANCE SHEET AS OF SEPTEMBER 30, 2017 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 47 $ 143 $ 24 $ 11,776 $ (327 ) $ 11,663 Investment in subsidiaries 6,799 6,257 4,216 208 (17,480 ) — Premiums receivable, net of commissions payable — — — 1,076 (154 ) 922 Ceded unearned premium reserve — — — 1,009 (901 ) 108 Deferred acquisition costs — — — 150 (45 ) 105 Reinsurance recoverable on unpaid losses — — — 394 (355 ) 39 Credit derivative assets — — — 50 (47 ) 3 Deferred tax asset, net — 76 — 153 (94 ) 135 Intercompany receivable — — — 70 (70 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 707 — 707 Dividend receivable from affiliate 25 — — — (25 ) — Other 22 28 51 1,100 (234 ) 967 TOTAL ASSETS $ 6,893 $ 6,504 $ 4,291 $ 16,693 $ (19,732 ) $ 14,649 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,565 $ (968 ) $ 3,597 Loss and LAE reserve — — — 1,646 (320 ) 1,326 Long-term debt — 843 459 8 (18 ) 1,292 Intercompany payable — 70 — 300 (370 ) — Credit derivative liabilities — — — 352 (47 ) 305 Deferred tax liabilities, net — — 87 — (87 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 768 — 768 Dividend payable to affiliate — 25 — — (25 ) — Other 15 19 22 815 (388 ) 483 TOTAL LIABILITIES 15 957 568 8,454 (2,223 ) 7,771 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,878 5,547 3,723 8,031 (17,301 ) 6,878 Noncontrolling interest — — — 208 (208 ) — TOTAL SHAREHOLDERS' EQUITY 6,878 5,547 3,723 8,239 (17,509 ) 6,878 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,893 $ 6,504 $ 4,291 $ 16,693 $ (19,732 ) $ 14,649 CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 36 $ 384 $ 22 $ 11,029 $ (368 ) $ 11,103 Investment in subsidiaries 6,164 5,696 3,799 296 (15,955 ) — Premiums receivable, net of commissions payable — — — 699 (123 ) 576 Ceded unearned premium reserve — — — 1,099 (893 ) 206 Deferred acquisition costs — — — 156 (50 ) 106 Reinsurance recoverable on unpaid losses — — — 484 (404 ) 80 Credit derivative assets — — — 69 (56 ) 13 Deferred tax asset, net — 16 — 597 (116 ) 497 Intercompany receivable — — — 70 (70 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 876 — 876 Dividend receivable from affiliate 300 — — — (300 ) — Other 11 78 26 801 (222 ) 694 TOTAL ASSETS $ 6,511 $ 6,174 $ 3,847 $ 16,176 $ (18,557 ) $ 14,151 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,488 $ (977 ) $ 3,511 Loss and LAE reserve — — — 1,596 (469 ) 1,127 Long-term debt — 843 453 10 — 1,306 Intercompany payable — 70 — 300 (370 ) — Credit derivative liabilities — — — 458 (56 ) 402 Deferred tax liabilities, net — — 88 — (88 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 958 — 958 Dividend payable to affiliate — 300 — — (300 ) — Other 7 3 14 665 (346 ) 343 TOTAL LIABILITIES 7 1,216 555 8,475 (2,606 ) 7,647 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,504 4,958 3,292 7,405 (15,655 ) 6,504 Noncontrolling interest — — — 296 (296 ) — TOTAL SHAREHOLDERS’ EQUITY 6,504 4,958 3,292 7,701 (15,951 ) 6,504 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,511 $ 6,174 $ 3,847 $ 16,176 $ (18,557 ) $ 14,151 |
Condensed Consolidating Statement of Operations and Comprehensive Income | CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2017 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 190 $ (4 ) $ 186 Net investment income 0 0 0 101 (2 ) 99 Net realized investment gains (losses) — 0 0 (9 ) 16 7 Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — (1 ) 0 (1 ) Net unrealized gains (losses) — — — 59 — 59 Net change in fair value of credit derivatives — — — 58 0 58 Other 3 — — 302 (32 ) 273 TOTAL REVENUES 3 0 0 642 (22 ) 623 EXPENSES Loss and LAE — — — 250 (27 ) 223 Amortization of deferred acquisition costs — — — 8 (3 ) 5 Interest expense — 12 13 3 (4 ) 24 Other operating expenses 10 1 0 91 (44 ) 58 TOTAL EXPENSES 10 13 13 352 (78 ) 310 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (13 ) (13 ) 290 56 313 Total (provision) benefit for income taxes — 4 4 (94 ) (19 ) (105 ) Equity in net earnings of subsidiaries 215 237 178 8 (638 ) — NET INCOME (LOSS) $ 208 $ 228 $ 169 $ 204 $ (601 ) $ 208 Less: noncontrolling interest — — — 8 (8 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 208 $ 228 $ 169 $ 196 $ (593 ) $ 208 COMPREHENSIVE INCOME (LOSS) $ 219 $ 237 $ 178 $ 274 $ (689 ) $ 219 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 relationship — — — 257 2 259 Other 0 — — (37 ) — (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 82 11 (1,012 ) — NET INCOME (LOSS) $ 479 $ 426 $ 73 $ 516 $ (1,015 ) $ 479 Less: noncontrolling interest — — — 11 (11 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 479 $ 426 $ 73 $ 505 $ (1,004 ) $ 479 COMPREHENSIVE INCOME (LOSS) $ 454 $ 414 $ 51 $ 497 $ (962 ) $ 454 |
Condensed Consolidating Statement of Cash Flows | CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 (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 $ 503 $ 175 $ 105 $ 469 $ (898 ) $ 354 Cash flows from investing activities Fixed-maturity securities: Purchases — (75 ) (15 ) (1,552 ) 27 (1,615 ) Sales — 112 12 1,004 — 1,128 Maturities — 7 0 682 — 689 Sales (purchases) of short-term investments, net (11 ) 218 3 (450 ) — (240 ) Net proceeds from financial guaranty variable entities’ assets — — — 117 — 117 Investment in subsidiaries — (28 ) — (69 ) 97 — Proceeds from sale of subsidiaries — — — 139 (139 ) — Acquisition of MBIA UK, net of cash acquired — — — 95 — 95 Other — — — 58 — 58 Net cash flows provided by (used in) investing activities (11 ) 234 — 24 (15 ) 232 Cash flows from financing activities Return of capital — — — (70 ) 70 — Capital contribution — — 25 3 (28 ) — Dividends paid (53 ) (390 ) (128 ) (380 ) 898 (53 ) Repurchases of common stock (431 ) — — — — (431 ) Repurchases of common stock to pay withholding taxes (13 ) — — — — (13 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (124 ) — (124 ) Repayment/ extinguishment of long-term debt — — — (2 ) (27 ) (29 ) Proceeds from options exercises 5 — — — — 5 Net cash flows provided by (used in) financing activities (492 ) (390 ) (103 ) (573 ) 913 (645 ) Effect of exchange rate changes — — — 4 — 4 Increase (decrease) in cash and restricted cash 0 19 2 (76 ) — (55 ) Cash and restricted cash at beginning of period 0 1 0 126 — 127 Cash and restricted cash at end of period $ 0 $ 20 $ 2 $ 50 $ — $ 72 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 $ 288 $ 171 $ 159 $ 3 $ (810 ) $ (189 ) 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 subsidiaries — — — 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 repurchases to pay withholding taxes (2 ) — — — — (2 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (567 ) — (567 ) Payment of long-term debt — — — (2 ) — (2 ) Proceeds from options exercises 6 — — — — 6 Net cash flows provided by (used in) financing activities (238 ) (223 ) (158 ) (1,002 ) 814 (807 ) Effect of exchange rate changes — — — (4 ) — (4 ) Increase (decrease) in cash and restricted cash 1 (69 ) 2 (1 ) — (67 ) Cash and restricted cash at beginning of period 0 95 8 63 — 166 Cash and restricted cash at end of period $ 1 $ 26 $ 10 $ 62 $ — $ 99 |
Business and Basis of Present45
Business and Basis of Presentation (Details) | Sep. 30, 2017Company |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of holding companies having outstanding public debt | 2 |
Acquisitions - Narrative (Detai
Acquisitions - Narrative (Details) - USD ($) $ in Millions | Jan. 10, 2017 | Jul. 01, 2016 | Sep. 30, 2017 | Dec. 31, 2016 |
Business Acquisition [Line Items] | ||||
Net par amount outstanding | $ 275,767 | $ 296,318 | ||
Payment to acquire business | 95 | |||
CIFG Holding Inc. [Member] | ||||
Business Acquisition [Line Items] | ||||
Cash purchase price | $ 443 | |||
MBIA UK Insurance Limited [Member] | ||||
Business Acquisition [Line Items] | ||||
Cash purchase price | $ 334 | |||
Revenue since acquisition date | 176 | |||
Net income since acquisition date | 129 | |||
Net par amount outstanding | 13,000 | |||
Acquisition related costs | $ 7 | |||
Subsidiaries [Member] | CIFG Holding Inc. [Member] | ||||
Business Acquisition [Line Items] | ||||
Cash purchase price | 450.6 | |||
Subsidiaries [Member] | MBIA UK Insurance Limited [Member] | ||||
Business Acquisition [Line Items] | ||||
Cash expected to be acquired in acquisition | 23 | |||
Bond Exchanged, Fair Value | 334 | |||
CIFG Holding Inc. [Member] | ||||
Business Acquisition [Line Items] | ||||
Insured financial obligation, outstanding principal net amount | $ 4,200 | |||
MBIA UK Insurance Limited [Member] | ||||
Business Acquisition [Line Items] | ||||
Gross par outstanding | 347 | |||
Net par amount outstanding | $ 12,000 | |||
AGUS [Member] | CIFG Holding Inc. [Member] | ||||
Business Acquisition [Line Items] | ||||
Ownership percentage by noncontrolling owners | 1.60% | |||
Payment to acquire business | $ (7.1) |
Acquisitions - Assets and Liabi
Acquisitions - Assets and Liabilities Assumed (Details) - MBIA UK Insurance Limited [Member] $ in Millions | Jan. 10, 2017USD ($) |
Business Acquisition [Line Items] | |
Cash purchase price | $ 334 |
Identifiable assets acquired: | |
Investments | 459 |
Cash | 72 |
Premiums receivable, net of commissions payable, fair value of net assets acquired, before settlement of pre-existing relationships | 274 |
Premiums receivable, net of commissions payable, net of settlement of pre-existing relationships | (4) |
Premiums receivable, net of commissions payable, Net effect of MBIA UK Acquisition | 270 |
Other assets, fair value of net assets acquired, before settlement of pre-existing relationships | 16 |
Other assets, net of settlement of pre-existing relationships | (6) |
Other assets, Net effect of MBIA UK Acquisition | 10 |
Total assets, fair value of net assets acquired, before settlement of pre-existing relationships | 821 |
Total assets, net of settlement of pre-existing relationships | (10) |
Total assets, Net effect of MBIA UK Acquisition | 811 |
Liabilities assumed: | |
Unearned premium reserves, fair value of net assets acquired, before settlement of pre-existing relationships | 389 |
Unearned premium reserves, net of settlement of pre-existing relationships | (6) |
Unearned premium reserves, Net effect of MBIA UK Acquisition | 383 |
Current tax payable, fair value of net assets acquired, before settlement of pre-existing relationships | 25 |
Current tax payable, net of settlement of pre-existing relationships | 0 |
Current tax payable, Net effect of MBIA UK Acquisition | 25 |
Other liabilities, fair value of net assets acquired, before settlement of pre-existing relationships | 4 |
Other liabilities, net of settlement of pre-existing relationships | (5) |
Other liabilities, Net effect of MBIA UK Acquisition | (1) |
Total liabilities, fair value of net assets acquired, before settlement of pre-existing relationships | 418 |
Total liabilities, net of settlement of pre-existing relationships | (11) |
Total liabilities, Net effect of MBIA UK Acquisition | 407 |
Net assets of MBIA UK, fair value of net assets acquired, before settlement of pre-existing relationships | 403 |
Net assets of MBIA UK, net of settlement of pre-existing relationships | 1 |
Net assets of MBIA UK, Net effect of MBIA UK Acquisition | 404 |
Cash acquired from MBIA Holdings, fair value of net assets acquired, before settlement of pre-existing relationships | 23 |
Cash acquired from MBIA Holdings, net of settlement of pre-existing relationships | 0 |
Cash acquired from MBIA Holdings, Net effect of MBIA UK Acquisition | 23 |
Deferred tax liability, fair value of net assets acquired, before settlement of pre-existing relationships | (36) |
Deferred tax liability, net of settlement of pre-existing relationships | 0 |
Deferred tax liability, Net effect of MBIA UK Acquisition | (36) |
Net assets effect of MBIA UK Acquisition, fair value of net assets acquired, before settlement of pre-existing relationships | 390 |
Net assets effect of MBIA UK Acquisition, net of settlement of pre-existing relationships | 1 |
Net asset effect of MBIA UK Acquisition, Net effect of MBIA UK Acquisition | 391 |
Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisition, after tax, fair value of net assets acquired, before settlement of pre-existing relationships | 56 |
Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisition, after-tax, net of settlement of pre-existing relationships | 1 |
Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisition, after-tax, Net effect of MBIA UK Acquisition | 57 |
Deferred tax, net of settlement of pre-existing relationships | 1 |
Deferred tax, Net effect of MBIA UK Acquisition | 1 |
Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisitions, pre-tax, fair value of net assets acquired, before settlement of pre-existing relationships | 56 |
Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisition, pre-tax, net of settlement of pre-existing relationships | 2 |
Bargain purchase gain and settlement of pre-existing relationships resulting from MBIA UK Acquisition, pre-tax, Net effect of MBIA UK Acquisition | 58 |
Assumed assets including pre-existing relationship | 385 |
Settlement of pre-existing relationship | 5 |
Consideration transferred | $ 329 |
Acquisitions - Pro Forma Inform
Acquisitions - Pro Forma Information (Details) (Details) $ / shares in Units, $ in Millions | 9 Months Ended |
Sep. 30, 2016USD ($)$ / shares | |
Business Acquisition [Line Items] | |
Pro forma revenues | $ | $ 1,358 |
Pro forma net income | $ | $ 796 |
Earnings Per Share, Pro Forma [Abstract] | |
Basic | $ / shares | $ 5.93 |
Diluted | $ / shares | $ 5.89 |
Outstanding Exposure - Debt Ser
Outstanding Exposure - Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 425,003 | $ 455,000 |
Net Debt Service Outstanding | 416,724 | 437,535 |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 407,539 | 425,849 |
Net Debt Service Outstanding | 399,347 | 409,447 |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 17,464 | 29,151 |
Net Debt Service Outstanding | $ 17,377 | $ 28,088 |
Outstanding Exposure - Financia
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 275,767 | $ 296,318 |
% of total net par outstanding | 100.00% | 100.00% |
AAA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 6,190 | $ 15,491 |
% of total net par outstanding | 2.20% | 5.20% |
AA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 38,844 | $ 52,490 |
% of total net par outstanding | 14.10% | 17.70% |
A [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 140,035 | $ 142,144 |
% of total net par outstanding | 50.80% | 48.00% |
BBB [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 77,472 | $ 73,119 |
% of total net par outstanding | 28.10% | 24.70% |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 13,226 | $ 13,074 |
% of total net par outstanding | 4.80% | 4.40% |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 260,943 | $ 271,179 |
Public Finance [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 218,216 | $ 244,798 |
% of total net par outstanding | 100.00% | 100.00% |
Public Finance [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 42,727 | $ 26,381 |
% of total net par outstanding | 100.00% | 100.00% |
Public Finance [Member] | AAA [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 915 | $ 2,066 |
% of total net par outstanding | 0.40% | 0.80% |
Public Finance [Member] | AAA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 2,523 | $ 2,221 |
% of total net par outstanding | 5.90% | 8.40% |
Public Finance [Member] | AA [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 33,614 | $ 46,420 |
% of total net par outstanding | 15.40% | 19.00% |
Public Finance [Member] | AA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 301 | $ 170 |
% of total net par outstanding | 0.70% | 0.60% |
Public Finance [Member] | A [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 124,332 | $ 133,829 |
% of total net par outstanding | 57.00% | 54.70% |
Public Finance [Member] | A [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 13,657 | $ 6,270 |
% of total net par outstanding | 32.00% | 23.80% |
Public Finance [Member] | BBB [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 52,021 | $ 55,103 |
% of total net par outstanding | 23.80% | 22.50% |
Public Finance [Member] | BBB [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 23,965 | $ 16,378 |
% of total net par outstanding | 56.10% | 62.10% |
Public Finance [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 9,615 | $ 8,722 |
Public Finance [Member] | BIG [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 7,334 | $ 7,380 |
% of total net par outstanding | 3.40% | 3.00% |
Public Finance [Member] | BIG [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 2,281 | $ 1,342 |
% of total net par outstanding | 5.30% | 5.10% |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 14,824 | $ 25,139 |
Structured Finance [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 13,142 | $ 22,057 |
% of total net par outstanding | 100.00% | 100.00% |
Structured Finance [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 1,682 | $ 3,082 |
% of total net par outstanding | 100.00% | 100.00% |
Structured Finance [Member] | AAA [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 2,333 | $ 9,757 |
% of total net par outstanding | 17.80% | 44.20% |
Structured Finance [Member] | AAA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 419 | $ 1,447 |
% of total net par outstanding | 25.00% | 47.00% |
Structured Finance [Member] | AA [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 4,853 | $ 5,773 |
% of total net par outstanding | 36.90% | 26.20% |
Structured Finance [Member] | AA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 76 | $ 127 |
% of total net par outstanding | 4.50% | 4.10% |
Structured Finance [Member] | A [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 1,778 | $ 1,589 |
% of total net par outstanding | 13.50% | 7.20% |
Structured Finance [Member] | A [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 268 | $ 456 |
% of total net par outstanding | 15.90% | 14.80% |
Structured Finance [Member] | BBB [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 724 | $ 879 |
% of total net par outstanding | 5.50% | 4.00% |
Structured Finance [Member] | BBB [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 762 | $ 759 |
% of total net par outstanding | 45.30% | 24.60% |
Structured Finance [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 3,611 | $ 4,352 |
Structured Finance [Member] | BIG [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 3,454 | $ 4,059 |
% of total net par outstanding | 26.30% | 18.40% |
Structured Finance [Member] | BIG [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 157 | $ 293 |
% of total net par outstanding | 9.30% | 9.50% |
MBIA UK Insurance Limited [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 13,000 |
Outstanding Exposure - Componen
Outstanding Exposure - Components of BIG Net Par Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 275,767 | $ 296,318 |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 260,943 | 271,179 |
Triple-X Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 2,058 | 2,057 |
Trust Preferred Securities (TruPS) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 1,455 | 1,892 |
Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 6,247 | 15,553 |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 14,824 | 25,139 |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 13,226 | 13,074 |
BIG [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 9,615 | 8,722 |
BIG [Member] | Triple-X Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 85 | 126 |
BIG [Member] | Trust Preferred Securities (TruPS) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 239 | 430 |
BIG [Member] | Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 418 | 645 |
BIG [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 3,611 | 4,352 |
BIG [Member] | BIG 1 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 5,172 | 4,495 |
BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 4,570 | 3,690 |
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 | 239 | 304 |
BIG [Member] | BIG 1 [Member] | Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 186 | 304 |
BIG [Member] | BIG 1 [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 602 | 805 |
BIG [Member] | BIG 2 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 1,447 | 4,059 |
BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 936 | 3,177 |
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 | 0 | 126 |
BIG [Member] | BIG 2 [Member] | Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 157 | 263 |
BIG [Member] | BIG 2 [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 511 | 882 |
BIG [Member] | BIG 3 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 6,607 | 4,520 |
BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 4,109 | 1,855 |
BIG [Member] | BIG 3 [Member] | Triple-X Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 85 | 126 |
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] | Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 75 | 78 |
BIG [Member] | BIG 3 [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 2,498 | 2,665 |
United States [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 218,216 | 244,798 |
United States [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 5,064 | 5,637 |
United States [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 13,142 | 22,057 |
United States [Member] | BIG [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 7,334 | 7,380 |
United States [Member] | BIG [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 2,869 | 3,151 |
United States [Member] | BIG [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 3,454 | 4,059 |
United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 2,563 | 2,402 |
United States [Member] | BIG [Member] | BIG 1 [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 177 | 197 |
United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 662 | 3,123 |
United States [Member] | BIG [Member] | BIG 2 [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 354 | 493 |
United States [Member] | BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 4,109 | 1,855 |
United States [Member] | BIG [Member] | BIG 3 [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 2,338 | 2,461 |
Non United States [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 42,727 | 26,381 |
Non United States [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 1,682 | 3,082 |
Non United States [Member] | BIG [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 2,281 | 1,342 |
Non United States [Member] | BIG [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 157 | 293 |
Non United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 2,007 | 1,288 |
Non United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 274 | 54 |
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 |
Outstanding Exposure - BIG Net
Outstanding Exposure - BIG Net Par Outstanding (Details) $ in Millions | Sep. 30, 2017USD ($)risk | Dec. 31, 2016USD ($)risk |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Credit Derivative | $ 7,535 | $ 16,997 |
Total | 275,767 | 296,318 |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | 12,530 | 12,101 |
Net Par Outstanding, Credit Derivative | 696 | 973 |
Total | $ 13,226 | $ 13,074 |
Number of Risks, Financial Guaranty Insurance | risk | 349 | 392 |
Number of Risks, Credit Derivative | risk | 21 | 25 |
Number of Risks | risk | 370 | 417 |
BIG [Member] | BIG 1 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | $ 4,628 | $ 3,861 |
Net Par Outstanding, Credit Derivative | 544 | 634 |
Total | $ 5,172 | $ 4,495 |
Number of Risks, Financial Guaranty Insurance | risk | 150 | 165 |
Number of Risks, Credit Derivative | risk | 9 | 10 |
Number of Risks | risk | 159 | 175 |
BIG [Member] | BIG 2 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | $ 1,382 | $ 3,857 |
Net Par Outstanding, Credit Derivative | 65 | 202 |
Total | $ 1,447 | $ 4,059 |
Number of Risks, Financial Guaranty Insurance | risk | 48 | 79 |
Number of Risks, Credit Derivative | risk | 4 | 6 |
Number of Risks | risk | 52 | 85 |
BIG [Member] | BIG 3 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | $ 6,520 | $ 4,383 |
Net Par Outstanding, Credit Derivative | 87 | 137 |
Total | $ 6,607 | $ 4,520 |
Number of Risks, Financial Guaranty Insurance | risk | 151 | 148 |
Number of Risks, Credit Derivative | risk | 8 | 9 |
Number of Risks | risk | 159 | 157 |
Outstanding Exposure - Puerto R
Outstanding Exposure - Puerto Rico Gross Par and Gross Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 425,003 | $ 455,000 |
Puerto Rico [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross par outstanding | 5,186 | 5,435 |
Gross Debt Service Outstanding | $ 8,516 | $ 9,038 |
Outstanding Exposure - Puerto54
Outstanding Exposure - Puerto Rico Net Par Outstanding (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 275,767 | $ 275,767 | $ 296,318 | ||
Increase (decrease) in net par outstanding | 3,455 | $ 28 | 4,628 | $ 28 | |
Puerto Rico [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 4,966 | 4,966 | 4,786 | ||
Puerto Rico [Member] | Commonwealth of Puerto Rico - General Obligation Bonds [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Increase (decrease) in net par outstanding | 36 | ||||
Puerto Rico [Member] | PRHTA (Highway revenue) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Increase (decrease) in net par outstanding | 144 | ||||
Puerto Rico [Member] | PREPA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Increase (decrease) in net par outstanding | 134 | ||||
Puerto Rico [Member] | MFA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Increase (decrease) in net par outstanding | 75 | ||||
Puerto Rico [Member] | Commutation of Previously Ceded Business [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Increase (decrease) in net par outstanding | 389 | ||||
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 | 1,419 | 1,419 | 1,476 | ||
Constitutionally Guaranteed [Member] | Puerto Rico [Member] | Puerto Rico Public Buildings Authority [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 141 | 141 | 169 | ||
Public Corporations, Subject To Clawback [Member] | Puerto Rico [Member] | PRHTA (Transportation revenue) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 882 | 882 | 918 | ||
Public Corporations, Subject To Clawback [Member] | Puerto Rico [Member] | PRHTA (Highway revenue) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 495 | 495 | 350 | ||
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 | 152 | 152 | ||
Public Corporations, Subject To Clawback [Member] | Puerto Rico [Member] | PRIFA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 18 | 18 | 18 | ||
Public Corporations [Member] | Puerto Rico [Member] | PREPA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 853 | 853 | 724 | ||
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 | 373 | 373 | ||
Public Corporations [Member] | Puerto Rico [Member] | MFA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 360 | 360 | 334 | ||
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 | 272 | 272 | 271 | ||
Public Corporations [Member] | Puerto Rico [Member] | University of Puerto Rico [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 1 | $ 1 | $ 1 |
Outstanding Exposure - Amortiza
Outstanding Exposure - Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Estimated Net Par Amortization [Abstract] | ||
Total | $ 275,767 | $ 296,318 |
Estimated Net Debt Service Amortization [Abstract] | ||
Total | 416,724 | 437,535 |
Puerto Rico [Member] | ||
Estimated Net Par Amortization [Abstract] | ||
2017 (October 1 - December 31) | 0 | |
2018 (January 1 - March 31) | 0 | |
2018 (April 1 - June 30) | 0 | |
2018 (July 1 - September 30) | 200 | |
2018 (October 1 - December 31) | 0 | |
Subtotal 2,018 | 200 | |
2,019 | 223 | |
2,020 | 285 | |
2,021 | 147 | |
2022-2026 | 1,045 | |
2027-2031 | 981 | |
2032-2036 | 1,250 | |
2037-2041 | 417 | |
2042-2047 | 418 | |
Total | 4,966 | $ 4,786 |
Estimated Net Debt Service Amortization [Abstract] | ||
2017 (October 1 - December 31) | 3 | |
2018 (January 1 - March 31) | 123 | |
2018 (April 1 - June 30) | 3 | |
2018 (July 1 - September 30) | 322 | |
2018 (October 1 - December 31) | 3 | |
Subtotal 2,018 | 451 | |
2,019 | 464 | |
2,020 | 516 | |
2,021 | 364 | |
2022-2026 | 1,995 | |
2027-2031 | 1,655 | |
2032-2036 | 1,669 | |
2037-2041 | 588 | |
2042-2047 | 492 | |
Total | $ 8,197 |
Outstanding Exposure - Net Dire
Outstanding Exposure - Net Direct Economic Exposure to Selected European Countries (Details) $ in Millions | Sep. 30, 2017USD ($) |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | $ 2,553 |
BIG [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 793 |
Hungary [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 339 |
Hungary [Member] | BIG [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 262 |
Italy [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 1,483 |
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 | 75 |
Portugal [Member] | BIG [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 75 |
Spain [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 456 |
Spain [Member] | BIG [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 456 |
Turkey [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 200 |
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 | 1,779 |
Total Sovereign Exposure [Member] | Hungary [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 214 |
Total Sovereign Exposure [Member] | Italy [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 1,034 |
Total Sovereign Exposure [Member] | Portugal [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 75 |
Total Sovereign Exposure [Member] | Spain [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 456 |
Total Sovereign Exposure [Member] | Turkey [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 0 |
Total Non-sovereign Exposure [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 774 |
Total Non-sovereign Exposure [Member] | Hungary [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 125 |
Total Non-sovereign Exposure [Member] | Italy [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 449 |
Total Non-sovereign Exposure [Member] | Portugal [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 0 |
Total Non-sovereign Exposure [Member] | Spain [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | 0 |
Total Non-sovereign Exposure [Member] | Turkey [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Net par outstanding, European exposure | $ 200 |
Outstanding Exposure - Narrativ
Outstanding Exposure - Narrative (Details) | Apr. 28, 2017 | Mar. 31, 2017USD ($) | Sep. 30, 2017USD ($)judge | Dec. 31, 2016USD ($) | Sep. 15, 2015USD ($) |
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Debt Service Outstanding | $ 416,724,000,000 | $ 437,535,000,000 | |||
Net par amount outstanding | $ 275,767,000,000 | 296,318,000,000 | |||
Number of Federal Judges | judge | 5 | ||||
Net par outstanding, European exposure | $ 2,553,000,000 | ||||
Insured Financial Obligations, Loss Mitigation Securities | 2,000,000,000 | 2,100,000,000 | |||
Excess Of Loss Reinsurance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Debt Service Outstanding | 540,000,000 | 390,000,000 | |||
Structured Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Debt Service Outstanding | 17,377,000,000 | 28,088,000,000 | |||
Net par amount outstanding | 14,824,000,000 | 25,139,000,000 | |||
Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Debt Service Outstanding | 399,347,000,000 | 409,447,000,000 | |||
Net par amount outstanding | 260,943,000,000 | 271,179,000,000 | |||
Aircraft Residual Value Insurance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Debt Service Outstanding | $ 116,000,000 | ||||
BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Maximum period of liquidity claims (in years) | 1 year | ||||
Net par amount outstanding | $ 13,226,000,000 | 13,074,000,000 | |||
Net par outstanding, European exposure | 793,000,000 | ||||
BIG [Member] | Structured Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 3,611,000,000 | 4,352,000,000 | |||
BIG [Member] | Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 9,615,000,000 | 8,722,000,000 | |||
AAA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 6,190,000,000 | 15,491,000,000 | |||
United States [Member] | RMBS [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 5,064,000,000 | 5,637,000,000 | |||
United States [Member] | Structured Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 13,142,000,000 | 22,057,000,000 | |||
United States [Member] | Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 218,216,000,000 | 244,798,000,000 | |||
United States [Member] | BIG [Member] | RMBS [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 2,869,000,000 | 3,151,000,000 | |||
United States [Member] | BIG [Member] | Structured Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 3,454,000,000 | 4,059,000,000 | |||
United States [Member] | BIG [Member] | Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 7,334,000,000 | 7,380,000,000 | |||
United States [Member] | AAA [Member] | Structured Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 2,333,000,000 | 9,757,000,000 | |||
United States [Member] | AAA [Member] | Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 915,000,000 | 2,066,000,000 | |||
Select European Countries [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Indirect exposure to credits | 46,000,000 | ||||
Indirect European exposure | 700,000,000 | ||||
Puerto Rico [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Debt Service Outstanding | 8,197,000,000 | ||||
Net par amount outstanding | 4,966,000,000 | $ 4,786,000,000 | |||
Certified fiscal plan, commonwealth debt service | $ 7,900,000,000 | ||||
Puerto Rico [Member] | BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 5,000,000,000 | ||||
U.S. Virgin Islands [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 498,000,000 | ||||
U.S. Virgin Islands [Member] | BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 224,000,000 | ||||
U.S. Virgin Islands [Member] | Internal Investment Grade [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 274,000,000 | ||||
Turkey [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par outstanding, European exposure | 200,000,000 | ||||
Turkey [Member] | Diversified Payment Rights [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par outstanding, European exposure | 200,000,000 | ||||
Turkey [Member] | BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par outstanding, European exposure | 0 | ||||
Commitment to Provide Guarantees [Member] | Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Outstanding commitments to provide guaranties | $ 43,000,000 | ||||
Minimum [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Probability of paying more claims than being reimbursed (as a percent) | 50.00% | ||||
Minimum [Member] | 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 | $ 1,200,000,000 | ||||
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 | ||||
Restructuring Support Agreement [Member] | PREPA [Member] | Puerto Rico [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
RSA principal payment deferrals 2018 through 2023 | 120,000,000 | ||||
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 | ||||
PRASA (Puerto Rico Aqueduct and Sewer Authority) [Member] | Restructuring Support Agreement [Member] | Puerto Rico [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Expected repayments of debt, percent | 65.00% | ||||
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 |
Expected Loss to be Paid - Net
Expected Loss to be Paid - Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Rollforward (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
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 | $ 1,297 | $ 1,326 | $ 1,198 | $ 1,391 | |
Economic Loss Development / (Benefit) | 204 | (44) | 298 | 37 | |
Accretion of discount | 8 | 5 | 24 | 20 | |
Changes in discount rates | (6) | (29) | 28 | 79 | |
Changes in timing and assumptions | 202 | (20) | 246 | (62) | |
(Paid) Recovered Losses | (209) | (214) | (225) | (360) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 1,292 | 1,090 | $ 1,292 | 1,090 | |
Period after the end of the reporting period within which the ceded paid losses are typically settled (in days) | 45 days | ||||
Loss and LAE Reserve paid | 7 | 3 | $ 16 | 12 | |
Expected LAE to be paid | 23 | 23 | $ 12 | ||
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 | 1,086 | 1,000 | 904 | 809 | |
Economic Loss Development / (Benefit) | 229 | 8 | 427 | 216 | |
(Paid) Recovered Losses | (222) | (196) | (251) | (213) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 1,093 | 854 | 1,093 | 854 | |
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 | 1,044 | 963 | 871 | 771 | |
Economic Loss Development / (Benefit) | 229 | 9 | 431 | 218 | |
(Paid) Recovered Losses | (227) | (196) | (256) | (213) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 1,046 | 816 | 1,046 | 816 | |
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 | 42 | 37 | 33 | 38 | |
Economic Loss Development / (Benefit) | 0 | (1) | (4) | (2) | |
(Paid) Recovered Losses | 5 | 0 | 5 | 0 | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 47 | 38 | 47 | 38 | |
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 | 182 | 192 | 206 | 409 | |
Economic Loss Development / (Benefit) | (19) | (27) | (70) | (139) | |
(Paid) Recovered Losses | 13 | 5 | 40 | (100) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 176 | 148 | 176 | 148 | |
Triple-X Life Insurance Transaction [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | (4) | 100 | 54 | 99 | |
Economic Loss Development / (Benefit) | (1) | (23) | (56) | (21) | |
(Paid) Recovered Losses | (2) | (23) | (5) | (24) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | (7) | 54 | (7) | 54 | |
Student Loan [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Economic Loss Development / (Benefit) | 1 | 2 | |||
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 34 | 34 | |||
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 | 33 | 34 | 34 | 74 | |
Economic Loss Development / (Benefit) | (5) | (2) | (3) | (19) | |
(Paid) Recovered Losses | 2 | 0 | (9) | (23) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 30 | 34 | 30 | 34 | |
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 | 211 | 326 | 294 | 582 | |
Economic Loss Development / (Benefit) | (25) | (52) | (129) | (179) | |
(Paid) Recovered Losses | 13 | (18) | 26 | (147) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | $ 199 | $ 236 | $ 199 | $ 236 |
Expected Loss to be Paid - Ne59
Expected Loss to be Paid - Net Expected Recoveries from Breaches of R&W Rollforward (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
RMBS [Member] | United States [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Future net R&W benefit | $ 3 | $ 6 |
Expected Loss to be Paid - Ne60
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Jun. 30, 2017 | Jan. 10, 2017 | Dec. 31, 2016 | Jul. 01, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||
Net expected loss to be paid after recoveries for R&W | $ 1,292 | $ 1,090 | $ 1,292 | $ 1,090 | $ 1,297 | $ 21 | $ 1,198 | $ 22 | $ 1,326 | $ 1,391 |
Economic loss development after recoveries for R&W | 204 | (44) | 298 | 37 | ||||||
Public Finance [Member] | ||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||
Net expected loss to be paid after recoveries for R&W | 1,093 | 854 | 1,093 | 854 | 1,086 | 904 | 1,000 | 809 | ||
Economic loss development after recoveries for R&W | 229 | 8 | 427 | 216 | ||||||
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 | 1,046 | 816 | 1,046 | 816 | 1,044 | 871 | 963 | 771 | ||
Economic loss development after recoveries for R&W | 229 | 9 | 431 | 218 | ||||||
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 | 47 | 38 | 47 | 38 | 42 | 33 | 37 | 38 | ||
Economic loss development after recoveries for R&W | 0 | (1) | (4) | (2) | ||||||
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 | 176 | 148 | 176 | 148 | 182 | 206 | 192 | 409 | ||
Economic loss development after recoveries for R&W | (19) | (27) | (70) | (139) | ||||||
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 | (7) | 54 | (7) | 54 | (4) | 54 | 100 | 99 | ||
Economic loss development after recoveries for R&W | (1) | (23) | (56) | (21) | ||||||
Student Loan [Member] | ||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||
Net expected loss to be paid after recoveries for R&W | 34 | 34 | ||||||||
Economic loss development after recoveries for R&W | 1 | 2 | ||||||||
Other structured finance [Member] | ||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||
Net expected loss to be paid after recoveries for R&W | 30 | 34 | 30 | 34 | 33 | 8 | 34 | 2 | 34 | 74 |
Economic loss development after recoveries for R&W | (5) | (2) | (3) | (19) | ||||||
Structured Finance [Member] | ||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||
Net expected loss to be paid after recoveries for R&W | 199 | 236 | 199 | 236 | $ 211 | $ 8 | 294 | $ (20) | $ 326 | $ 582 |
Economic loss development after recoveries for R&W | (25) | (52) | (129) | (179) | ||||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | ||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||
Net expected loss to be paid after recoveries for R&W | 1,205 | 1,205 | 1,083 | |||||||
Economic loss development after recoveries for R&W | 207 | (35) | 328 | 66 | ||||||
Financial Guaranty Variable Interest Entities and Other [Member] | ||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||
Net expected loss to be paid after recoveries for R&W | 93 | 93 | 105 | |||||||
Economic loss development after recoveries for R&W | (2) | (3) | (6) | (6) | ||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | ||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||
Net expected loss to be paid after recoveries for R&W | (6) | (6) | $ 10 | |||||||
Economic loss development after recoveries for R&W | $ (1) | $ (6) | $ (24) | $ (23) |
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) - scenario | 6 Months Ended | 9 Months Ended | 12 Months Ended |
Jun. 30, 2017 | Sep. 30, 2017 | Dec. 31, 2016 | |
Financing Receivable, Delinquent/Modified in Previous 12 Months [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 20.00% | 20.00% | 25.00% |
Financing Receivable, Delinquent/Modified in Previous 12 Months [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 20.00% | 20.00% | 25.00% |
Financing Receivable, Delinquent/Modified in Previous 12 Months [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 20.00% | 20.00% | 25.00% |
Financing Receivables, 30 to 59 Days Past Due [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 40.00% | 40.00% | 40.00% |
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 | 30.00% | 30.00% | 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 | 35.00% | 35.00% | 35.00% |
Financing Receivables, 60 to 89 Days Past Due [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 45.00% | 50.00% | 50.00% |
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 | 40.00% | 40.00% | 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 | 45.00% | 45.00% | 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% | 55.00% |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 50.00% | 50.00% | 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 | 55.00% | 55.00% | 55.00% |
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% | 65.00% |
Financing Receivable, Foreclosure [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 60.00% | 65.00% | 65.00% |
Financing Receivable, Foreclosure [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 65.00% | 65.00% | 65.00% |
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] | Option ARM [Member] | 2005 and prior [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 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 | 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 | 75.00% | 75.00% | 75.00% |
United States [Member] | Option ARM [Member] | Minimum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 3.70% | 2.40% | 3.20% |
Final CDR | 0.20% | 0.10% | 0.20% |
United States [Member] | Option ARM [Member] | Maximum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 6.70% | 6.60% | 7.00% |
Final CDR | 0.30% | 0.30% | 0.30% |
United States [Member] | Option ARM [Member] | Weighted Average [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 5.40% | 5.30% | 5.60% |
Final CDR | 0.30% | 0.30% | 0.30% |
United States [Member] | Subprime [Member] | 2005 and prior [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 80.00% | 80.00% | 80.00% |
United States [Member] | Subprime [Member] | 2006 [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 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 | 95.00% | 95.00% | 90.00% |
United States [Member] | Subprime [Member] | Minimum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 3.80% | 3.60% | 2.80% |
Final CDR | 0.20% | 0.20% | 0.10% |
United States [Member] | Subprime [Member] | Maximum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 13.10% | 13.10% | 14.10% |
Final CDR | 0.70% | 0.70% | 0.70% |
United States [Member] | Subprime [Member] | Weighted Average [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 7.80% | 7.90% | 8.10% |
Final CDR | 0.40% | 0.40% | 0.40% |
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 | ||
Number of scenarios weighted in estimating expected losses | 5 | 5 | 5 |
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 | 5 years 9 months | ||
Final CPR | 15.00% | 15.00% | 15.00% |
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, 2017 | Sep. 30, 2017 | Dec. 31, 2016 | |
RMBS [Member] | United States [Member] | Option ARM [Member] | Minimum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 3.70% | 2.40% | 3.20% |
Final CDR | 0.20% | 0.10% | 0.20% |
RMBS [Member] | United States [Member] | Option ARM [Member] | Maximum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 6.70% | 6.60% | 7.00% |
Final CDR | 0.30% | 0.30% | 0.30% |
RMBS [Member] | United States [Member] | Option ARM [Member] | Weighted Average [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 5.40% | 5.30% | 5.60% |
Final CDR | 0.30% | 0.30% | 0.30% |
RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | Minimum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 1.10% | 1.00% | 1.00% |
Final CDR | 0.10% | 0.00% | 0.00% |
RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | Maximum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 10.30% | 11.00% | 13.50% |
Final CDR | 0.50% | 0.50% | 0.70% |
RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | Weighted Average [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 5.10% | 5.10% | 5.70% |
Final CDR | 0.30% | 0.30% | 0.30% |
RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | Minimum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 3.20% | 5.20% | 3.50% |
Final CDR | 0.50% | 2.50% | 0.50% |
Final CPR | 2.50% | ||
Loss severity | 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 | 22.60% | 22.00% | 24.80% |
Final CDR | 3.20% | 3.20% | 3.20% |
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 | 13.30% | 11.30% | 13.60% |
Final CDR | 1.30% | 2.50% | 1.30% |
RMBS [Member] | United States [Member] | Subprime [Member] | Minimum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 3.80% | 3.60% | 2.80% |
Final CDR | 0.20% | 0.20% | 0.10% |
RMBS [Member] | United States [Member] | Subprime [Member] | Maximum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 13.10% | 13.10% | 14.10% |
Final CDR | 0.70% | 0.70% | 0.70% |
RMBS [Member] | United States [Member] | Subprime [Member] | Weighted Average [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 7.80% | 7.90% | 8.10% |
Final CDR | 0.40% | 0.40% | 0.40% |
Financing Receivable, Delinquent/Modified in Previous 12 Months [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 20.00% | 20.00% | 25.00% |
Financing Receivable, Delinquent/Modified in Previous 12 Months [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 20.00% | 20.00% | 25.00% |
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 | 30.00% | 30.00% | 35.00% |
Financing Receivables, 30 to 59 Days Past Due [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 45.00% | 45.00% | 50.00% |
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 | 40.00% | 40.00% | 45.00% |
Financing Receivables, 60 to 89 Days Past Due [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 65.00% | 60.00% | 65.00% |
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 | 50.00% | 50.00% | 55.00% |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 80.00% | 75.00% | 80.00% |
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] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 55.00% | 55.00% | 55.00% |
Financing Receivable, Foreclosure [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 60.00% | 65.00% | 65.00% |
Financing Receivable, Foreclosure [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 75.00% | 70.00% | 75.00% |
Financing Receivable, Real Estate Owned [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 100.00% | 100.00% | 100.00% |
Financing Receivable, Real Estate Owned [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 100.00% | 100.00% | 100.00% |
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 | 5 | 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% | 15.00% | 15.00% |
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 5 years 9 months | ||
2005 and prior [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 60.00% | 60.00% | 60.00% |
2005 and prior [Member] | RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 60.00% | 60.00% | 60.00% |
2005 and prior [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 80.00% | 80.00% | 80.00% |
2006 [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 70.00% | 70.00% | 70.00% |
2006 [Member] | RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 80.00% | 80.00% | 80.00% |
2006 [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 90.00% | 90.00% | 90.00% |
2007 [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 75.00% | 75.00% | 75.00% |
2007 [Member] | RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 70.00% | 70.00% | 70.00% |
2007 [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 95.00% | 95.00% | 90.00% |
Expected Loss to be Paid - Narr
Expected Loss to be Paid - Narrative (Details) $ in Millions | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||
Sep. 30, 2017USD ($)Transaction | Sep. 30, 2016USD ($) | Jun. 30, 2017USD ($)scenario | Sep. 30, 2017USD ($)TransactionCurvePaymentscenario | Sep. 30, 2016USD ($) | Dec. 31, 2016USD ($)scenario | Jan. 31, 2017USD ($) | Jan. 10, 2017USD ($) | Jul. 01, 2016USD ($) | Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) | Nov. 26, 2012USD ($) | Feb. 05, 2009USD ($) | |
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Period of insured credit performance of guaranteed obligations (in some cases over) | 30 years | ||||||||||||
Discount factor (as a percent) | 2.27% | 2.73% | |||||||||||
Net par amount outstanding | $ 275,767 | $ 275,767 | $ 296,318 | ||||||||||
Net expected loss to be paid after recoveries for R&W | 1,292 | $ 1,090 | $ 1,297 | 1,292 | $ 1,090 | $ 1,198 | $ 21 | $ 22 | $ 1,326 | $ 1,391 | |||
Economic loss development after recoveries for R&W | 204 | (44) | $ 298 | 37 | |||||||||
Minimum [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Insured Financial Obligations, Claim Liability, Risk Free Discount Rate | 0.00% | 0.00% | |||||||||||
Maximum [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Insured Financial Obligations, Claim Liability, Risk Free Discount Rate | 2.94% | 3.23% | |||||||||||
Puerto Rico [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 4,966 | $ 4,966 | $ 4,786 | ||||||||||
RMBS [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 5,064 | 5,064 | 5,637 | ||||||||||
Net expected loss to be paid after recoveries for R&W | 176 | 148 | 182 | 176 | 148 | 206 | 192 | 409 | |||||
Economic loss development after recoveries for R&W | (19) | (27) | (70) | (139) | |||||||||
Future net R&W benefit | $ 3 | $ 3 | 6 | ||||||||||
RMBS [Member] | United States [Member] | Minimum [Member] | HELOCs [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Final CPR | 2.50% | 2.50% | |||||||||||
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 | ||||||||||||
Loan Modification, Extended Period for Which Borrower Can Pay Only Interest Payments | 5 years | ||||||||||||
Trust Preferred Securities (TruPS) [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | $ 1,455 | $ 1,455 | 1,892 | ||||||||||
Other structured finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 6,247 | 6,247 | 15,553 | ||||||||||
Net expected loss to be paid after recoveries for R&W | 30 | 34 | 33 | 30 | 34 | 34 | 8 | 2 | 34 | 74 | |||
Economic loss development after recoveries for R&W | (5) | (2) | (3) | (19) | |||||||||
Triple-X Life Insurance Transaction [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 2,058 | 2,058 | 2,057 | ||||||||||
Net expected loss to be paid after recoveries for R&W | (7) | 54 | (4) | (7) | 54 | 54 | 100 | 99 | |||||
Economic loss development after recoveries for R&W | (1) | (23) | (56) | (21) | |||||||||
Student Loan [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 1,400 | 1,400 | |||||||||||
Net expected loss to be paid after recoveries for R&W | 34 | 34 | |||||||||||
Economic loss development after recoveries for R&W | 1 | 2 | |||||||||||
Public Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 260,943 | 260,943 | 271,179 | ||||||||||
Net expected loss to be paid after recoveries for R&W | 1,093 | 854 | 1,086 | 1,093 | 854 | 904 | 1,000 | 809 | |||||
Economic loss development after recoveries for R&W | 229 | 8 | 427 | 216 | |||||||||
Public Finance [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 218,216 | 218,216 | 244,798 | ||||||||||
Net expected loss to be paid after recoveries for R&W | 1,046 | 816 | 1,044 | 1,046 | 816 | 871 | 963 | 771 | |||||
Economic loss development after recoveries for R&W | 229 | 9 | 431 | 218 | |||||||||
Public Finance [Member] | City of Hartford, Connecticut [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 346 | 346 | |||||||||||
Public Finance [Member] | Non United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 42,727 | 42,727 | 26,381 | ||||||||||
Net expected loss to be paid after recoveries for R&W | 47 | 38 | $ 42 | 47 | 38 | 33 | $ 37 | $ 38 | |||||
Economic loss development after recoveries for R&W | 0 | (1) | (4) | (2) | |||||||||
Public Finance Stockton Pension Oblgiation Bonds [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 113 | 113 | |||||||||||
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 | 456 | 456 | |||||||||||
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 | 75 | 75 | |||||||||||
BIG [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 13,226 | 13,226 | 13,074 | ||||||||||
BIG [Member] | Puerto Rico [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 5,000 | 5,000 | |||||||||||
BIG [Member] | RMBS [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 2,869 | 2,869 | 3,151 | ||||||||||
BIG [Member] | Trust Preferred Securities (TruPS) [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 239 | 239 | 430 | ||||||||||
BIG [Member] | Other structured finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 418 | 418 | 645 | ||||||||||
BIG [Member] | Triple-X Life Insurance Transaction [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | $ 85 | $ 85 | 126 | ||||||||||
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 | $ 116 | $ 116 | |||||||||||
BIG [Member] | Public Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 9,615 | 9,615 | 8,722 | ||||||||||
BIG [Member] | Public Finance [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 7,334 | 7,334 | 7,380 | ||||||||||
BIG [Member] | Public Finance [Member] | City of Hartford, Connecticut [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 345 | 345 | |||||||||||
BIG [Member] | Public Finance [Member] | Non United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 2,281 | 2,281 | $ 1,342 | ||||||||||
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 | $ 214 | $ 214 | |||||||||||
First Lien [Member] | RMBS [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Number of delinquent payments | Payment | 2 | ||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | ||||||||||||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 12 months | ||||||||||||
Intermediate conditional default rate (as a percent) | 5.00% | 5.00% | |||||||||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | 5 | 5 | ||||||||||
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 | 5 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% | 15.00% | 15.00% | |||||||||
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 | $ 41 | ||||||||||||
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 | 1 | ||||||||||||
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 | 9 | ||||||||||||
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 | $ 24 | ||||||||||||
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 | $ (22) | ||||||||||||
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 | (0.1) | ||||||||||||
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 | (21) | ||||||||||||
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 | $ (11) | ||||||||||||
Second Lien [Member] | RMBS [Member] | United States [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 28 months | ||||||||||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | 5 | |||||||||||
Period of loan default estimate | 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 | ||||||||||||
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 | ||||||||||||
Monthly delinquency threshold | 6 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 | $ 13 | ||||||||||||
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 | $ 14 | ||||||||||||
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 | $ 19 | $ 19 | |||||||||||
Payment time period on annual debt service | 2 years | ||||||||||||
MBIA UK Insurance Limited [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 13,000 | $ 13,000 | |||||||||||
Net expected loss to be paid on Radian Asset portfolio | 0 | 0 | 21 | 0 | |||||||||
MBIA UK Insurance Limited [Member] | Europe [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | 218 | 218 | |||||||||||
MBIA UK Insurance Limited [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 | 0 | ||||||||||||
MBIA UK Insurance Limited [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 | 0 | ||||||||||||
MBIA UK Insurance Limited [Member] | Public Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 13 | ||||||||||||
MBIA UK Insurance Limited [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 | 0 | ||||||||||||
MBIA UK Insurance Limited [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 | $ 13 | $ 13 | |||||||||||
CIFG Holding Inc. [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid on Radian Asset portfolio | 0 | 22 | 0 | 22 | |||||||||
CIFG Holding Inc. [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 | (22) | ||||||||||||
CIFG Holding Inc. [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 | 0 | ||||||||||||
CIFG Holding Inc. [Member] | Public Finance [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | 42 | ||||||||||||
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 after recoveries for R&W | 40 | ||||||||||||
CIFG Holding Inc. [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 | ||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | (6) | (6) | $ 10 | ||||||||||
Economic loss development after recoveries for R&W | (1) | $ (6) | (24) | $ (23) | |||||||||
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] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | $ 400 | ||||||||||||
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] | |||||||||||||
Net expected loss to be paid after recoveries for R&W | $ 325 | ||||||||||||
Pending Litigation [Member] | CIFG Holding Inc. Vs. GreenPoint Mortgage Funding, Inc. [Member] | |||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||||
Net par amount outstanding | $ 19 | $ 19 | $ 500 |
Contracts Accounted for as In64
Contracts Accounted for as Insurance - Narrative (Details) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Guarantor Obligations [Line Items] | |||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 2.27% | 2.74% | |
Minimum [Member] | |||
Guarantor Obligations [Line Items] | |||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 0.00% | 0.00% | |
Maximum [Member] | |||
Guarantor Obligations [Line Items] | |||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 2.94% | 3.23% | |
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 | 71.00% | 52.00% | 50.00% |
Contracts Accounted for as In65
Contracts Accounted for as Insurance - Net Earned Premiums (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Financial Guarantee Insurance Premiums [Line Items] | ||||
Scheduled net earned premiums | $ 96 | $ 101 | $ 296 | $ 285 |
Refundings | 84 | 105 | 189 | 267 |
Terminations | 3 | 21 | 15 | 65 |
Total Accelerations | 87 | 126 | 204 | 332 |
Accretion of discount on net premiums receivable | 3 | 4 | 11 | 11 |
Financial guaranty insurance net earned premiums | 186 | 231 | 511 | 628 |
Other | 0 | 0 | 1 | 0 |
Net | 186 | 231 | 512 | 628 |
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Net | $ 3 | $ 4 | $ 11 | $ 12 |
Contracts Accounted for as In66
Contracts Accounted for as Insurance - Components of Unearned Premium Reserve (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Insurance [Abstract] | ||
Deferred premium revenue, gross | $ 3,647 | $ 3,548 |
Deferred premium revenue, ceded | 107 | 206 |
Deferred premium revenue, net | 3,540 | 3,342 |
Contra-paid, gross | (50) | (37) |
Contra-paid, ceded | 1 | 0 |
Contra-paid, net | (51) | (37) |
Unearned premium reserve, gross | 3,597 | 3,511 |
Unearned premium reserve, ceded | 108 | 206 |
Unearned premium reserve, net | 3,489 | 3,305 |
Total net unearned premium reserve related to FG VIE | 79 | 90 |
Contra-paid related to FG VIE | 18 | $ 25 |
Financial Guarantee Contracts, Other Deferred Premium Revenue | $ 7 |
Contracts Accounted for as In67
Contracts Accounted for as Insurance - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | ||
December 31 | $ 576 | $ 693 |
Premiums receivable from acquisitions (see Note 2) | 270 | 18 |
Gross written premiums on new business, net of commissions on assumed business | 225 | 111 |
Gross premiums received, net of commissions on assumed business | (216) | (155) |
Adjustments: | ||
Changes in the expected term | 0 | (39) |
Accretion of discount, net of commissions on assumed business | 13 | 5 |
Foreign exchange translation | 54 | (25) |
Subtotal | 922 | 608 |
Other | 0 | 0 |
September 30 | 922 | 608 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Adjustments: | ||
September 30 | $ 10 | $ 11 |
Contracts Accounted for as In68
Contracts Accounted for as Insurance - Expected Collections of Gross Premiums Receivable Net of Commissions on Assumed Business (Details) $ in Millions | Sep. 30, 2017USD ($) |
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |
Financial Guarantee Insurance Premiums [Line Items] | |
2017 (October 1 – December 31) | $ 32 |
2,018 | 95 |
2,019 | 82 |
2,020 | 80 |
2,021 | 78 |
2022-2026 | 306 |
2027-2031 | 212 |
2032-2036 | 120 |
After 2,036 | 120 |
Total | 1,125 |
Variable Interest Entity, Primary Beneficiary [Member] | |
Financial Guarantee Insurance Premiums [Line Items] | |
Cash collections on FG VIEs | $ 13 |
Contracts Accounted for as In69
Contracts Accounted for as Insurance - Scheduled Net Earned Premiums Insurance Contracts (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Financial Guarantee Insurance Premiums [Line Items] | ||
Deferred premium revenue, net | $ 3,540 | $ 3,342 |
Financial Guarantee Insurance Product Line [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
2017 (October 1 – December 31) | 92 | |
2,018 | 348 | |
2,019 | 300 | |
2,020 | 271 | |
2,021 | 249 | |
2022-2026 | 963 | |
2027-2031 | 620 | |
2032-2036 | 373 | |
After 2,036 | 317 | |
Deferred premium revenue, net | 3,533 | |
Future accretion | 197 | |
Total future net earned premiums | 3,730 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
Deferred premium revenue, net | $ 79 |
Contracts Accounted for as In70
Contracts Accounted for as Insurance - Selected Information for Policies Paid In Installments (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Dec. 31, 2015 | |
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commission payable | $ 922 | $ 576 | $ 608 | $ 693 |
Financial Guarantee Policies Paid in Installments [Member] | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commission payable | 922 | 576 | ||
Gross deferred premium revenue | $ 1,241 | $ 1,041 | ||
Weighted-average risk-free rate used to discount premiums | 2.40% | 3.00% | ||
Weighted-average period of premiums receivable (in years) | 9 years 3 months 6 days | 9 years 1 month |
Contracts Accounted for as In71
Contracts Accounted for as Insurance - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE Reserve, net | $ 1,287 | $ 1,047 |
Salvage and Subrogation Recoverable, net | 479 | 347 |
Net Reserve (Recoverable) | 808 | 700 |
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 | 1,286 | |
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 | 1,341 | 1,111 |
Salvage and Subrogation Recoverable, net | 479 | 347 |
Net Reserve (Recoverable) | 862 | 764 |
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 | (54) | (64) |
Salvage and Subrogation Recoverable, net | 0 | 0 |
Net Reserve (Recoverable) | (54) | (64) |
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 | 1,005 | 732 |
Salvage and Subrogation Recoverable, net | 196 | 86 |
Net Reserve (Recoverable) | 809 | 646 |
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 | 15 | 36 |
Salvage and Subrogation Recoverable, net | 28 | 0 |
Net Reserve (Recoverable) | (13) | 36 |
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 | 52 | 60 |
Salvage and Subrogation Recoverable, net | 0 | 0 |
Net Reserve (Recoverable) | 52 | 60 |
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 | 336 | 379 |
Salvage and Subrogation Recoverable, net | 280 | 262 |
Net Reserve (Recoverable) | 56 | 117 |
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 | 1,341 | 1,111 |
Salvage and Subrogation Recoverable, net | 476 | 348 |
Net Reserve (Recoverable) | 865 | 763 |
Other [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE Reserve, net | 0 | 0 |
Salvage and Subrogation Recoverable, net | 3 | (1) |
Net Reserve (Recoverable) | (3) | 1 |
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 | 984 | 711 |
Salvage and Subrogation Recoverable, net | 196 | 86 |
Net Reserve (Recoverable) | 788 | 625 |
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 | 269 | 283 |
Salvage and Subrogation Recoverable, net | 252 | 262 |
Net Reserve (Recoverable) | 17 | 21 |
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 | 21 | 21 |
Salvage and Subrogation Recoverable, net | 0 | 0 |
Net Reserve (Recoverable) | $ 21 | $ 21 |
Contracts Accounted for as In72
Contracts Accounted for as Insurance - Components of Net Reserves (Salvage) Insurance Contracts (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Insurance [Abstract] | ||
Loss and LAE reserve | $ 1,326 | $ 1,127 |
Reinsurance recoverable on unpaid losses | (39) | (80) |
Loss and LAE reserve, net | 1,287 | 1,047 |
Salvage and subrogation recoverable | (497) | (365) |
Salvage and subrogation payable | 21 | 17 |
Other payable (recoverable) | (3) | 1 |
Salvage and subrogation recoverable, net, and other recoverable | (479) | (347) |
Net reserves (salvage) | $ 808 | $ 700 |
Contracts Accounted for as In73
Contracts Accounted for as Insurance - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Jun. 30, 2017 | Jan. 10, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jul. 01, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Guarantor Obligations [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | $ (1,292) | $ (1,297) | $ (21) | $ (1,198) | $ (1,090) | $ (22) | $ (1,326) | $ (1,391) |
Contra-paid, net | 51 | 37 | ||||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (1,287) | (1,047) | ||||||
Net expected loss to be expensed | 449 | |||||||
Variable Interest Entity, Primary Beneficiary [Member] | ||||||||
Guarantor Obligations [Line Items] | ||||||||
Net expected loss to be expensed | 55 | |||||||
Financial Guarantee Insurance And Other Product Line [Member] | ||||||||
Guarantor Obligations [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 1,205 | |||||||
Contra-paid, net | 51 | |||||||
Salvage and subrogation recoverable, net of reinsurance | 476 | |||||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (1,286) | |||||||
Other recoverable (payable) | 3 | |||||||
Net expected loss to be expensed | 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 | $ 54 | $ 64 |
Contracts Accounted for as In74
Contracts Accounted for as Insurance - Net Expected Loss to be Expensed Insurance Contracts (Details) $ in Millions | Sep. 30, 2017USD ($) |
Insurance [Abstract] | |
2017 (October 1 – December 31) | $ 9 |
Subtotal 2,017 | 9 |
2,018 | 40 |
2,019 | 37 |
2,020 | 38 |
2,021 | 34 |
2022-2026 | 143 |
2027-2031 | 86 |
2032-2036 | 46 |
After 2,036 | 16 |
Net expected loss to be expensed | 449 |
Future accretion | 205 |
Total expected future loss and LAE | $ 654 |
Contracts Accounted for as In75
Contracts Accounted for as Insurance - Loss and LAE Reported on the Statements of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | $ 223 | $ (9) | $ 354 | $ 183 |
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 | 224 | (9) | 359 | 187 |
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | (1) | 0 | (5) | (4) |
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 | 233 | 20 | 421 | 232 |
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 | 233 | 20 | 424 | 233 |
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 | 0 | (3) | (1) |
RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | (4) | (2) | (14) | (3) |
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 | (2) | (24) | (48) | (22) |
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) | (3) | 0 | (20) |
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 | $ (9) | $ (29) | $ (62) | $ (45) |
Contracts Accounted for as In76
Contracts Accounted for as Insurance - BIG Transaction Loss Summary (Details) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017USD ($)risk | Dec. 31, 2016USD ($)risk | |
Discount | ||
Total | $ (205) | |
Reserves (salvage) | ||
Total | $ 808 | $ 700 |
BIG [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 349 | 392 |
Remaining weighted average contract period | ||
Total (in years) | 9 years 9 months 6 days | 10 years 1 month 2 days |
Principal | ||
Total | $ 12,530 | $ 12,101 |
Interest | ||
Total | 6,376 | 6,279 |
Total net outstanding exposure | ||
Total | 18,906 | 18,380 |
Expected cash outflows (inflows) | ||
Total | 3,386 | 2,515 |
Potential recoveries | ||
Total | (1,976) | (1,059) |
Subtotal | ||
Total | 1,410 | 1,456 |
Discount | ||
Total | (205) | (373) |
Present value of expected cash flows | ||
Net expected loss to be paid | 1,205 | 1,083 |
Deferred premium revenue | ||
Total | 736 | 726 |
Reserves (salvage) | ||
Total | $ 807 | $ 699 |
BIG [Member] | BIG 1 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 150 | 165 |
Principal | ||
Total | $ 4,628 | $ 3,861 |
BIG [Member] | BIG 2 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 48 | 79 |
Principal | ||
Total | $ 1,382 | $ 3,857 |
BIG [Member] | BIG 3 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 151 | 148 |
Principal | ||
Total | $ 6,520 | $ 4,383 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 349 | 392 |
Remaining weighted average contract period | ||
Total (in years) | 9 years 9 months 6 days | 10 years 1 month 2 days |
Principal | ||
Total | $ 12,530 | $ 12,101 |
Interest | ||
Total | 6,376 | 6,279 |
Total net outstanding exposure | ||
Total | 18,906 | 18,380 |
Expected cash outflows (inflows) | ||
Total | 3,695 | 2,841 |
Potential recoveries | ||
Total | (2,170) | (1,257) |
Subtotal | ||
Total | 1,525 | 1,584 |
Discount | ||
Total | (228) | (397) |
Present value of expected cash flows | ||
Net expected loss to be paid | 1,297 | 1,187 |
Deferred premium revenue | ||
Total | 813 | 812 |
Reserves (salvage) | ||
Total | $ 861 | $ 763 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 1 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 150 | 165 |
Ceded (in contracts) | risk | (22) | (35) |
Remaining weighted average contract period | ||
Gross (in years) | 8 years 8 months 4 days | 8 years 7 months 2 days |
Ceded (in years) | 7 years 1 month 2 days | 7 years |
Principal | ||
Gross | $ 4,727 | $ 4,187 |
Ceded | (99) | (326) |
Interest | ||
Gross | 2,239 | 1,932 |
Ceded | (42) | (140) |
Total net outstanding exposure | ||
Gross | 6,966 | 6,119 |
Ceded | (141) | (466) |
Expected cash outflows (inflows) | ||
Gross | 192 | 172 |
Ceded | (5) | (19) |
Total | (240) | (207) |
Potential recoveries | ||
Gross | (494) | (440) |
Ceded | 20 | 23 |
Subtotal | ||
Gross | (302) | (268) |
Ceded | 15 | 4 |
Discount | ||
Gross | 62 | 61 |
Ceded | (4) | (4) |
Present value of expected cash flows | ||
Ceded | 11 | 0 |
Deferred premium revenue | ||
Gross | 116 | 131 |
Ceded | (5) | (5) |
Reserves (salvage) | ||
Gross | (284) | (255) |
Ceded | $ 12 | $ 5 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 2 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 48 | 79 |
Ceded (in contracts) | risk | (3) | (11) |
Remaining weighted average contract period | ||
Gross (in years) | 14 years 1 month 2 days | 13 years 2 months 4 days |
Ceded (in years) | 2 years 10 months 8 days | 10 years 6 months |
Principal | ||
Gross | $ 1,390 | $ 4,273 |
Ceded | (8) | (416) |
Interest | ||
Gross | 1,051 | 2,926 |
Ceded | (1) | (219) |
Total net outstanding exposure | ||
Gross | 2,441 | 7,199 |
Ceded | (9) | (635) |
Expected cash outflows (inflows) | ||
Gross | 418 | 1,404 |
Ceded | (1) | (86) |
Total | 242 | 903 |
Potential recoveries | ||
Gross | (80) | (146) |
Ceded | 0 | 4 |
Subtotal | ||
Gross | 338 | 1,258 |
Ceded | (1) | (82) |
Discount | ||
Gross | (96) | (355) |
Ceded | 0 | 19 |
Present value of expected cash flows | ||
Ceded | (1) | (63) |
Deferred premium revenue | ||
Gross | 135 | 246 |
Ceded | 0 | (6) |
Reserves (salvage) | ||
Gross | 188 | 738 |
Ceded | $ 0 | $ (58) |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 3 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 151 | 148 |
Ceded (in contracts) | risk | (44) | (49) |
Remaining weighted average contract period | ||
Gross (in years) | 9 years 7 months 2 days | 8 years 1 month 2 days |
Ceded (in years) | 9 years 3 months 2 days | 6 years |
Principal | ||
Gross | $ 6,715 | $ 4,703 |
Ceded | (195) | (320) |
Interest | ||
Gross | 3,218 | 1,867 |
Ceded | (89) | (87) |
Total net outstanding exposure | ||
Gross | 9,933 | 6,570 |
Ceded | (284) | (407) |
Expected cash outflows (inflows) | ||
Gross | 3,174 | 1,435 |
Ceded | (83) | (65) |
Total | 1,320 | 578 |
Potential recoveries | ||
Gross | (1,662) | (743) |
Ceded | 46 | 45 |
Subtotal | ||
Gross | 1,512 | 692 |
Ceded | (37) | (20) |
Discount | ||
Gross | (192) | (114) |
Ceded | 2 | (4) |
Present value of expected cash flows | ||
Ceded | (35) | (24) |
Deferred premium revenue | ||
Gross | 573 | 476 |
Ceded | (6) | (30) |
Reserves (salvage) | ||
Gross | 975 | 343 |
Ceded | (30) | (10) |
BIG [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Expected cash outflows (inflows) | ||
Total | (309) | (326) |
Potential recoveries | ||
Total | 194 | 198 |
Subtotal | ||
Total | (115) | (128) |
Discount | ||
Total | 23 | 24 |
Present value of expected cash flows | ||
Net expected loss to be paid | (92) | (104) |
Deferred premium revenue | ||
Total | (77) | (86) |
Reserves (salvage) | ||
Total | $ (54) | $ (64) |
Fair Value Measurement - Measur
Fair Value Measurement - Measured and Carried at Fair Value (Details) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2017USD ($)sourceSecurity | Dec. 31, 2016USD ($) | Jun. 30, 2017 | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Percentage of CDS contracts which are fair valued using minimum premium | 46.00% | 26.00% | 34.00% |
CDS contracts [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Gross spread percentage | 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 | 12.00% | 7.00% | |
Based on market indices [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Gross spread percentage | 53.00% | 77.00% | |
Provided by the CDS counterparty [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Gross spread percentage | 35.00% | 16.00% | |
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 | $ 50 | $ 52 | |
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 | 91 | ||
Fixed maturity securities | $ 1,266 | ||
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) | 1.36% | 1.00% | |
Recurring [Member] | Level 3 [Member] | CDS contracts [Member] | Maximum [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Discount factor (as a percent) | 2.53% | 2.55% | |
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 | 11.00% |
Fair Value Measurement - Financ
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Assets: | ||
Fixed-maturity securities | $ 11,495 | $ 10,823 |
Other invested assets | 96 | 162 |
Credit derivative assets | 3 | 13 |
Liabilities: | ||
Credit derivative liabilities | 305 | 402 |
Investment funds, fair value | 47 | 48 |
Recurring [Member] | ||
Assets: | ||
Other invested assets | 7 | 8 |
Credit derivative assets | 3 | 13 |
FG VIEs’ assets, at fair value | 707 | 876 |
Other assets | 117 | 114 |
Total assets carried at fair value | 12,329 | 11,834 |
Liabilities: | ||
Credit derivative liabilities | 305 | 402 |
FG VIEs’ liabilities with recourse, at fair value | 657 | 807 |
FG VIEs’ liabilities without recourse, at fair value | 111 | 151 |
Total liabilities carried at fair value | 1,073 | 1,360 |
Recurring [Member] | Level 1 [Member] | ||
Assets: | ||
Other invested assets | 0 | 0 |
Credit derivative assets | 0 | 0 |
FG VIEs’ assets, at fair value | 0 | 0 |
Other assets | 24 | 24 |
Total assets carried at fair value | 653 | 343 |
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 | 0 | 0 |
Credit derivative assets | 0 | 0 |
FG VIEs’ assets, at fair value | 0 | 0 |
Other assets | 35 | 28 |
Total assets carried at fair value | 9,635 | 9,263 |
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 | 7 | 8 |
Credit derivative assets | 3 | 13 |
FG VIEs’ assets, at fair value | 707 | 876 |
Other assets | 58 | 62 |
Total assets carried at fair value | 2,041 | 2,228 |
Liabilities: | ||
Credit derivative liabilities | 305 | 402 |
FG VIEs’ liabilities with recourse, at fair value | 657 | 807 |
FG VIEs’ liabilities without recourse, at fair value | 111 | 151 |
Total liabilities carried at fair value | 1,073 | 1,360 |
Fixed Maturities [Member] | ||
Assets: | ||
Fixed-maturity securities | 10,546 | 10,233 |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 5,705 | 5,432 |
Fixed Maturities [Member] | US government and agencies [Member] | ||
Assets: | ||
Fixed-maturity securities | 270 | 440 |
Fixed Maturities [Member] | Corporate securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 1,976 | 1,613 |
Fixed Maturities [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 881 | 987 |
Fixed Maturities [Member] | CMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 562 | 583 |
Fixed Maturities [Member] | Asset-backed Securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 852 | 945 |
Fixed Maturities [Member] | Foreign government securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 300 | 233 |
Fixed Maturities [Member] | Recurring [Member] | ||
Assets: | ||
Fixed-maturity securities | 10,546 | 10,233 |
Fixed Maturities [Member] | Recurring [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 5,705 | 5,432 |
Fixed Maturities [Member] | Recurring [Member] | US government and agencies [Member] | ||
Assets: | ||
Fixed-maturity securities | 270 | 440 |
Fixed Maturities [Member] | Recurring [Member] | Corporate securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 1,976 | 1,613 |
Fixed Maturities [Member] | Recurring [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 881 | 987 |
Fixed Maturities [Member] | Recurring [Member] | CMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 562 | 583 |
Fixed Maturities [Member] | Recurring [Member] | Asset-backed Securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 852 | 945 |
Fixed Maturities [Member] | Recurring [Member] | Foreign government securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 300 | 233 |
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 | 9,280 | 8,964 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 5,623 | 5,393 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | US government and agencies [Member] | ||
Assets: | ||
Fixed-maturity securities | 270 | 440 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Corporate securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 1,910 | 1,553 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 535 | 622 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | CMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 562 | 583 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Asset-backed Securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 80 | 140 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Foreign government securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 300 | 233 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | ||
Assets: | ||
Fixed-maturity securities | 1,266 | 1,269 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 82 | 39 |
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 | 66 | 60 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 346 | 365 |
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 | 772 | 805 |
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 | 949 | 590 |
Short-term Investments [Member] | Recurring [Member] | ||
Assets: | ||
Fixed-maturity securities | 949 | 590 |
Short-term Investments [Member] | Recurring [Member] | Level 1 [Member] | ||
Assets: | ||
Fixed-maturity securities | 629 | 319 |
Short-term Investments [Member] | Recurring [Member] | Level 2 [Member] | ||
Assets: | ||
Fixed-maturity securities | 320 | 271 |
Short-term Investments [Member] | Recurring [Member] | Level 3 [Member] | ||
Assets: | ||
Fixed-maturity securities | $ 0 | $ 0 |
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Short-term Investments [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | $ 60 | |||
Acquisitions | 0 | |||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | 0 | |||
Other comprehensive income (loss) | 0 | |||
Purchases | 0 | |||
Settlements | (60) | |||
FG VIE Consolidations | 0 | |||
FG VIE deconsolidations | 0 | |||
Transfers into Level 3 | 0 | |||
Fair value at end of period | $ 0 | 0 | ||
Change in unrealized gains/(losses) related to financial instruments held | 0 | |||
FG VIEs' assets, at fair value [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | $ 757 | 814 | $ 876 | 1,261 |
Acquisitions | 0 | 0 | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | 4 | 20 | 32 | 129 |
Other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Settlements | (36) | (34) | (117) | (590) |
FG VIE Consolidations | 97 | 21 | 97 | |
FG VIE deconsolidations | (18) | (20) | (105) | (20) |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Fair value at end of period | 707 | 877 | 707 | 877 |
Change in unrealized gains/(losses) related to financial instruments held | 10 | 29 | 50 | 44 |
Other Assets and Other Invested Assets [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 65 | 38 | 65 | 65 |
Acquisitions | 0 | 0 | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | (4) | (23) | (4) | (50) |
Other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
FG VIE Consolidations | 0 | 0 | 0 | |
FG VIE deconsolidations | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Fair value at end of period | 61 | 15 | 61 | 15 |
Change in unrealized gains/(losses) related to financial instruments held | (4) | (23) | (4) | (50) |
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 91 | 41 | 39 | 8 |
Acquisitions | 1 | 0 | 1 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | (8) | 1 | (6) | 1 |
Other comprehensive income (loss) | (1) | 0 | (4) | 1 |
Purchases | 0 | 0 | 0 | 33 |
Settlements | 0 | 0 | (2) | (1) |
FG VIE Consolidations | 0 | 0 | 0 | |
FG VIE deconsolidations | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 55 | 0 |
Fair value at end of period | 82 | 43 | 82 | 43 |
Change in unrealized gains/(losses) related to financial instruments held | (1) | 0 | (4) | 1 |
Corporate securities [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 63 | 58 | 60 | 71 |
Acquisitions | 0 | 0 | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | 1 | 0 | 4 | 4 |
Other comprehensive income (loss) | 2 | 0 | 2 | (17) |
Purchases | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
FG VIE Consolidations | 0 | 0 | 0 | |
FG VIE deconsolidations | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Fair value at end of period | 66 | 58 | 66 | 58 |
Change in unrealized gains/(losses) related to financial instruments held | 2 | 0 | 2 | (17) |
RMBS [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 357 | 349 | 365 | 348 |
Acquisitions | 20 | 0 | 20 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | 5 | 3 | 23 | 5 |
Other comprehensive income (loss) | (1) | 2 | 25 | 0 |
Purchases | 13 | 24 | 42 | 64 |
Settlements | (28) | (15) | (109) | (54) |
FG VIE Consolidations | 0 | 0 | 0 | |
FG VIE deconsolidations | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Fair value at end of period | 346 | 383 | 346 | 383 |
Change in unrealized gains/(losses) related to financial instruments held | 0 | 1 | 25 | (1) |
Asset-backed Securities [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 656 | 564 | 805 | 657 |
Acquisitions | 36 | 7 | 36 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | 15 | 9 | 100 | 20 |
Other comprehensive income (loss) | 2 | 47 | 60 | 37 |
Purchases | 106 | 53 | 162 | 53 |
Settlements | (7) | (40) | (362) | (134) |
FG VIE Consolidations | 0 | 0 | 0 | |
FG VIE deconsolidations | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 22 | 0 | 22 |
Fair value at end of period | 772 | 691 | 772 | 691 |
Change in unrealized gains/(losses) related to financial instruments held | 2 | 47 | 126 | 37 |
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 | (689) | (790) | (807) | (1,225) |
Acquisitions | 0 | 0 | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | ||||
Net income (loss) | (3) | (21) | (14) | (112) |
Other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Settlements | 35 | 33 | 113 | 559 |
FG VIE consolidations | (54) | 0 | (54) | |
FG VIE deconsolidations | 0 | 0 | 51 | 0 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Fair value at end of period | (657) | (832) | (657) | (832) |
Change in unrealized gains/(losses) related to financial instruments held | (3) | (18) | (12) | 1 |
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 | (131) | (115) | (151) | (124) |
Acquisitions | 0 | 0 | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | ||||
Net income (loss) | (1) | (18) | (4) | (14) |
Other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Settlements | 3 | 3 | 11 | 8 |
FG VIE consolidations | (43) | (21) | (43) | |
FG VIE deconsolidations | 18 | 20 | 54 | 20 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Fair value at end of period | (111) | (153) | (111) | (153) |
Change in unrealized gains/(losses) related to financial instruments held | (1) | (17) | (4) | (14) |
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 | (361) | (396) | (389) | (365) |
Acquisitions | (67) | 0 | (67) | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Net Derivative Asset (Liability) [Abstract] | ||||
Net income (loss) | 58 | 21 | 106 | 24 |
Other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Settlements | 1 | (39) | (19) | (73) |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
FG VIE consolidations | 0 | 0 | 0 | |
PG VIE deconsolidations | 0 | 0 | 0 | 0 |
Fair value at end of period | (302) | (481) | (302) | (481) |
Change in unrealized gains/(losses) related to financial instruments held as of June 30, 2017 | $ 51 | $ (5) | $ 63 | $ (104) |
Fair Value Measurement - Quanti
Fair Value Measurement - Quantitative Information - Assets (Details) - Income Approach Valuation Technique [Member] - Level 3 [Member] - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Obligations of state and political subdivisions [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 82 | $ 39 |
Obligations of state and political subdivisions [Member] | Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 4.30% | 4.30% |
Obligations of state and political subdivisions [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 39.00% | 22.80% |
Obligations of state and political subdivisions [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 15.90% | 11.10% |
Corporate securities [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 66 | $ 60 |
Yield (as a percent) | 20.80% | 20.10% |
RMBS [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 346 | $ 365 |
RMBS [Member] | Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 3.80% | 3.30% |
Conditional prepayment rate (as a percent) | 1.20% | 1.60% |
Conditional default rate (as a percent) | 2.00% | 1.50% |
Loss severity rate (as a percent) | 40.00% | 30.00% |
RMBS [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 9.00% | 9.70% |
Conditional prepayment rate (as a percent) | 17.40% | 17.00% |
Conditional default rate (as a percent) | 8.50% | 10.10% |
Loss severity rate (as a percent) | 100.00% | 100.00% |
RMBS [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 5.70% | 6.00% |
Conditional prepayment rate (as a percent) | 6.00% | 4.60% |
Conditional default rate (as a percent) | 6.10% | 6.70% |
Loss severity rate (as a percent) | 78.50% | 77.80% |
Triple-X Life Insurance Transaction [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 609 | $ 425 |
Triple-X Life Insurance Transaction [Member] | Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 6.10% | 5.70% |
Triple-X Life Insurance Transaction [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 6.40% | 6.00% |
Triple-X Life Insurance Transaction [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 6.30% | 5.80% |
Collateralized Debt Obligations [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 332 | |
Discount factor (as a percent) | 10.00% | |
Collateralized loan obligations (CLO) /TruPS [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 104 | $ 19 |
Collateralized loan obligations (CLO) /TruPS [Member] | Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 2.50% | 1.50% |
Collateralized loan obligations (CLO) /TruPS [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 4.50% | 4.80% |
Collateralized loan obligations (CLO) /TruPS [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 3.30% | 3.10% |
Other Asset Backed Securities [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 59 | $ 29 |
Yield (as a percent) | 10.70% | 7.20% |
Financial Guaranty Variable Interest Entities [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 707 | $ 876 |
Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 3.60% | 2.90% |
Conditional prepayment rate (as a percent) | 3.50% | 3.50% |
Conditional default rate (as a percent) | 1.60% | 2.50% |
Loss severity rate (as a percent) | 55.00% | 35.00% |
Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 14.90% | 20.00% |
Conditional prepayment rate (as a percent) | 13.00% | 12.00% |
Conditional default rate (as a percent) | 22.20% | 21.60% |
Loss severity rate (as a percent) | 100.00% | 100.00% |
Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 6.50% | 6.50% |
Conditional prepayment rate (as a percent) | 9.30% | 7.80% |
Conditional default rate (as a percent) | 4.30% | 5.70% |
Loss severity rate (as a percent) | 78.40% | 78.60% |
Other Assets [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 58 | $ 62 |
Fair Value Inputs Term | 10 years | 10 years |
Other Assets [Member] | Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 4.80% | 4.50% |
Other Assets [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 5.50% | 5.10% |
Other Assets [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 5.10% | 4.80% |
Other invested assets [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 7 | $ 8 |
Fair Value Measurement - Quan81
Fair Value Measurement - Quantitative Information - Liabilities (Details) - Income Approach Valuation Technique [Member] - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Credit derivative liabilities, net [Member] | Level 3 [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Total liabilities carried at fair value | $ (302) | $ (389) |
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) | 0.203% | 0.072% |
Credit derivative liabilities, net [Member] | Minimum [Member] | Level 3 [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Year 1 loss estimates (as a percent) | 0.00% | 0.00% |
Credit derivative liabilities, net [Member] | Maximum [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Internal floor (as a percent) | 1.00% | 1.00% |
Bank profit (as a percent) | 8.25% | 8.25% |
Hedge cost (as a percent) | 1.425% | 1.181% |
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) | 59.00% | 38.00% |
Credit derivative liabilities, net [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Internal floor (as a percent) | 0.249% | 0.139% |
Bank profit (as a percent) | 1.029% | 0.618% |
Hedge cost (as a percent) | 0.54% | 0.245% |
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) | 3.40% | 1.30% |
Financial Guaranty Variable Interest Entities [Member] | Level 3 [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Total liabilities carried at fair value | $ (768) | $ (958) |
Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | Level 3 [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Conditional prepayment rate (as a percent) | 3.50% | 3.50% |
Conditional default rate (as a percent) | 1.60% | 2.50% |
Loss severity rate (as a percent) | 55.00% | 35.00% |
Yield (as a percent) | 3.10% | 2.40% |
Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | Level 3 [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Conditional prepayment rate (as a percent) | 13.00% | 12.00% |
Conditional default rate (as a percent) | 22.20% | 21.60% |
Loss severity rate (as a percent) | 100.00% | 100.00% |
Yield (as a percent) | 14.90% | 20.00% |
Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | Level 3 [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Conditional prepayment rate (as a percent) | 9.30% | 7.80% |
Conditional default rate (as a percent) | 4.30% | 5.70% |
Loss severity rate (as a percent) | 78.40% | 78.60% |
Yield (as a percent) | 4.90% | 5.00% |
Fair Value Measurement - Fair82
Fair Value Measurement - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Assets: | ||
Fixed-maturity securities | $ 11,495 | $ 10,823 |
Short-term investments | 949 | 590 |
Other invested assets | 96 | 162 |
Credit derivative assets | 3 | 13 |
Liabilities: | ||
Credit derivative liabilities | 305 | 402 |
Carrying Amount [Member] | ||
Assets: | ||
Fixed-maturity securities | 10,546 | 10,233 |
Short-term investments | 949 | 590 |
Other invested assets | 62 | 146 |
Credit derivative assets | 3 | 13 |
FG VIEs’ assets, at fair value | 707 | 876 |
Other assets | 291 | 205 |
Liabilities: | ||
Financial guaranty insurance contracts | 3,402 | 3,483 |
Long-term debt | 1,292 | 1,306 |
Credit derivative liabilities | 305 | 402 |
FG VIEs’ liabilities with recourse, at fair value | 657 | 807 |
FG VIEs’ liabilities without recourse, at fair value | 111 | 151 |
Other liabilities | 220 | 12 |
Estimated Fair Value [Member] | ||
Assets: | ||
Fixed-maturity securities | 10,546 | 10,233 |
Short-term investments | 949 | 590 |
Other invested assets | 64 | 147 |
Credit derivative assets | 3 | 13 |
FG VIEs’ assets, at fair value | 707 | 876 |
Other assets | 291 | 205 |
Liabilities: | ||
Financial guaranty insurance contracts | 8,311 | 8,738 |
Long-term debt | 1,636 | 1,546 |
Credit derivative liabilities | 305 | 402 |
FG VIEs’ liabilities with recourse, at fair value | 657 | 807 |
FG VIEs’ liabilities without recourse, at fair value | 111 | 151 |
Other liabilities | $ 220 | $ 12 |
Contracts Accounted for as Cr83
Contracts Accounted for as Credit Derivatives - Credit Derivatives Subordination and Ratings (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | $ 7,535 | $ 16,997 |
Collateralized Debt Obligations [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,644 | 10,425 |
Collateralized Debt Obligations [Member] | CLO/collateralized bond obligations [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 199 | 2,022 |
Collateralized Debt Obligations [Member] | Synthetic investment grade pooled corporate [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 547 | 7,224 |
Collateralized Debt Obligations [Member] | TruPS CDOs [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 898 | 1,179 |
RMBS [Member] | United States [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,003 | 1,142 |
Pooled Infrastructure Transactions [Member] | United States [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,553 | 1,513 |
Infrastructure Finance [Member] | United States [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 847 | 1,021 |
Other [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | $ 2,488 | $ 2,896 |
Contracts Accounted for as Cr84
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, 2017 | Dec. 31, 2016 | |
Credit Derivatives | ||
Net Par Outstanding | $ 7,535 | $ 16,997 |
BIG [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | 696 | 973 |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 7,535 | $ 16,997 |
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 | $ 2,956 | $ 10,967 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 39.30% | 64.60% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, AA [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,247 | $ 2,167 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 16.50% | 12.70% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, A [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,628 | $ 1,499 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 21.60% | 8.80% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, BBB [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,008 | $ 1,391 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 13.40% | 8.20% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | BIG [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 696 | $ 973 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 9.20% | 5.70% |
Contracts Accounted for as Cr85
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Credit Derivatives | ||||
Realized gains on credit derivatives | $ 4 | $ 11 | $ 15 | $ 39 |
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | (5) | 4 | 4 | 8 |
Realized gains (losses) and other settlements | (1) | 15 | 19 | 47 |
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | 59 | 6 | 87 | (23) |
Net change in fair value of credit derivatives | 58 | 21 | 106 | 24 |
Collateralized Debt Obligations [Member] | ||||
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | 35 | 3 | 41 | (37) |
Other [Member] | ||||
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | 14 | 10 | 16 | 4 |
United States [Member] | RMBS [Member] | ||||
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | 11 | (12) | 24 | 0 |
United States [Member] | Pooled Infrastructure Transactions [Member] | ||||
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | (1) | 4 | 4 | 10 |
United States [Member] | Infrastructure Finance [Member] | ||||
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | 0 | 1 | 2 | 0 |
Terminated And Settlement Of Credit Derivative Contracts [Member] | ||||
Credit Derivatives | ||||
Realized gains on credit derivatives | 0 | 3 | 0 | 11 |
Net unrealized gains (losses): | ||||
Net change in unrealized gains (losses) on credit derivatives | 8 | 11 | 24 | 81 |
Net par of terminated credit derivative contracts | 40 | 1,071 | 273 | 3,507 |
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | $ (3) | $ 0 | $ (15) | $ 0 |
Contracts Accounted for as Cr86
Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Credit Derivatives | ||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ (630) | $ (811) | ||||
Plus: Effect of AGC and AGM credit spreads | 328 | 422 | ||||
Net fair value of credit derivatives | $ (302) | $ (389) | ||||
Credit Risk Contract, 5 Year Spread [Member] | AGC [Member] | ||||||
Credit Derivatives | ||||||
Quoted price of CDS contract (as a percent) | 1.90% | 1.36% | 1.58% | 1.70% | 2.65% | 3.76% |
Credit Risk Contract, 5 Year Spread [Member] | AGM [Member] | ||||||
Credit Derivatives | ||||||
Quoted price of CDS contract (as a percent) | 1.90% | 1.40% | 1.58% | 1.70% | 2.65% | 3.66% |
Credit Risk Contract, 1 Year Spread [Member] | AGC [Member] | ||||||
Credit Derivatives | ||||||
Quoted price of CDS contract (as a percent) | 0.81% | 0.15% | 0.35% | 0.31% | 0.45% | 1.39% |
Credit Risk Contract, 1 Year Spread [Member] | AGM [Member] | ||||||
Credit Derivatives | ||||||
Quoted price of CDS contract (as a percent) | 0.81% | 0.15% | 0.29% | 0.31% | 0.47% | 1.31% |
Contracts Accounted for as Cr87
Contracts Accounted for as Credit Derivatives - Net Fair Value and Expected Losses of Credit Derivatives by Sector (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Fair Value of Credit Derivative Asset (Liability), net | $ (302) | $ (389) |
Expected Loss on Credit Derivative to Be Paid (Recovered), Including Representation and Warranty Liability (Benefit) | $ 6 | $ (10) |
Contracts Accounted for as Cr88
Contracts Accounted for as Credit Derivatives - Collateral Posting Requirements on Credit Derivatives (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Credit Derivatives | ||
Collateral posted | $ 18 | $ 116 |
Collateral Debt Obligations, Collateral Requirement [Member] | ||
Credit Derivatives | ||
Collateral posting requirement. | 502 | 690 |
Collateral Debt Obligations, Collateral Cap Negotiated [Member] | ||
Credit Derivatives | ||
Collateral posting requirement. | 469 | 674 |
Collateral Debt Obligations, No Cap Negotiated [Member] | ||
Credit Derivatives | ||
Collateral posted | $ 18 | $ 116 |
Contracts Accounted for as Cr89
Contracts Accounted for as Credit Derivatives - Effect of Changes in Credit Spread (Details) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Fair Value | $ (531) | |
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Fair Value | (417) | |
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Fair Value | (359) | |
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Fair Value | (325) | |
Base Scenario | (302) | $ (389) |
Credit Risk Derivatives, 10 Percent Narrowing in Spreads, Effect on Fair Value | (279) | |
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Fair Value | (245) | |
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Fair Value | (188) | |
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | (229) | |
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | (115) | |
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | (57) | |
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | (23) | |
Credit Risk Derivatives, Base Scenario, Effect on Unrealized Gain (Loss) | 0 | |
Credit Risk Derivatives, 10 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | 23 | |
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | 57 | |
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | $ 114 |
Contracts Accounted for as Cr90
Contracts Accounted for as Credit Derivatives - Narrative (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Credit Derivatives | ||
Estimated remaining weighted average life of credit derivatives (in years) | 10 years 2 months 4 days | 5 years 3 months 6 days |
Net par outstanding | $ 7,535 | $ 16,997 |
Collateral Debt Obligations, Collateral Cap Negotiated [Member] | ||
Credit Derivatives | ||
Gross par of contracts expected to be terminated | 183 | |
Collateral already posted being terminated | 73 | |
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 | $ 1,644 | $ 10,425 |
Consolidated Variable Interes91
Consolidated Variable Interest Entities - Narrative (Details) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2017USD ($)Entity | Sep. 30, 2016USD ($)Entity | Sep. 30, 2017USD ($)Entity | Sep. 30, 2016USD ($)Entity | Dec. 31, 2016USD ($)Entity | Dec. 31, 2015Entity | |
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 | 3,000,000 | $ (11,000,000) | 25,000,000 | $ 11,000,000 | ||
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 | $ 3,000,000 | $ (11,000,000) | $ 25,000,000 | $ 11,000,000 | ||
Number of VIE that did not require consolidation | Entity | 31 | 32 | 31 | 32 | 32 | 34 |
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 | 520 | 520 | 600 | |||
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 | $ 102,000,000 | $ 102,000,000 | $ 137,000,000 | |||
Fair Value, Option, Loans Held as Assets, Aggregate Difference | 369,000,000 | 369,000,000 | ||||
Difference between the aggregate unpaid principal and aggregate fair value of the VIEs' Assets | 432,000,000 | |||||
Change in the instrument specific credit risk of the VIEs' assets | 8,000,000 | $ 1,000,000 | 32,000,000 | $ 36,000,000 | ||
Unpaid principal for FG VIEs’ liabilities with recourse | 705,000,000 | 705,000,000 | 871,000,000 | |||
Fair Value, Option, Loans Held as Liabilities, Aggregate Difference | $ 75,000,000 | $ 75,000,000 | ||||
Unpaid principal for FG VIEs' liabilities with and without recourse | $ 109,000,000 |
Consolidated Variable Interes92
Consolidated Variable Interest Entities - Number of FG VIE's Consolidated (Details) - Variable Interest Entity, Primary Beneficiary [Member] - Entity | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Number of FG VIEs Consolidated [Roll Forward] | ||
Number of FG VIE's consolidated, beginning of period | 32 | 34 |
Number of FG VIE's consolidated | 1 | 1 |
Number of FG VIE's deconsolidated | (2) | (2) |
Number of FG VIE's Matured | 0 | (1) |
Number of FG VIE's consolidated, end of period | 31 | 32 |
Consolidated Variable Interes93
Consolidated Variable Interest Entities - Consolidated FG VIE's By Type of Collateral (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | $ 596 | $ 725 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 657 | 807 |
Financial guaranty variable interest entities' assets without recourse, at fair value | 111 | 151 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 111 | 151 |
Financial guaranty variable interest entities’ assets, at fair value | 707 | 876 |
Financial guaranty variable interest entities’ liabilities, at fair value | 768 | 958 |
Manufactured Housing Loans [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 68 | 74 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 69 | 75 |
United States [Member] | First Lien [Member] | RMBS [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 378 | 473 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 400 | 509 |
United States [Member] | Second Lien [Member] | RMBS [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 150 | 178 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | $ 188 | $ 223 |
Consolidated Variable Interes94
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Variable Interest Entity [Line Items] | |||||
Net earned premiums | $ 186 | $ 231 | $ 512 | $ 628 | |
Net investment income | 99 | 94 | 322 | 291 | |
Net realized investment gains (losses) | 7 | (2) | 54 | (5) | |
Fair value gains (losses) on FG VIEs | 3 | (11) | 25 | 11 | |
Loss and LAE | (223) | 9 | (354) | (183) | |
Income (loss) before income taxes | 313 | 480 | 835 | 746 | |
Less: tax provision (benefit) | 105 | 1 | 157 | 62 | |
Net income (loss) | 208 | 479 | 678 | 684 | |
Net cash flows provided by (used in) operating activities | 354 | (189) | |||
Effect on shareholders' equity (decrease) increase | 6,878 | 6,878 | $ 6,504 | ||
Variable Interest Entity, Primary Beneficiary [Member] | |||||
Variable Interest Entity [Line Items] | |||||
Net earned premiums | (3) | (4) | (11) | (12) | |
Net investment income | (2) | (1) | (4) | (8) | |
Net realized investment gains (losses) | 0 | 0 | 0 | 1 | |
Fair value gains (losses) on FG VIEs | 3 | (11) | 25 | 11 | |
Loss and LAE | 1 | (1) | 5 | 3 | |
Income (loss) before income taxes | (1) | (17) | 15 | (5) | |
Less: tax provision (benefit) | 0 | (6) | 5 | (2) | |
Net income (loss) | (1) | (11) | 10 | (3) | |
Net cash flows provided by (used in) operating activities | 6 | $ 11 | 16 | $ 16 | |
Effect on shareholders' equity (decrease) increase | $ 1 | $ 1 | $ (9) |
Investments and Cash - Net Inve
Investments and Cash - Net Investment Income (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Net Investment Income | ||||
Gross investment income | $ 102 | $ 96 | $ 329 | $ 297 |
Investment expenses | (3) | (2) | (7) | (6) |
Net investment income | 99 | 94 | 322 | 291 |
Fixed Maturities, Managed Externally [Member] | ||||
Net Investment Income | ||||
Gross investment income | 74 | 75 | 224 | 231 |
Fixed Maturities, Managed Internally [Member] | ||||
Net Investment Income | ||||
Gross investment income | 27 | 19 | 100 | 58 |
Other Investments, Internally Managed [Member] | ||||
Net Investment Income | ||||
Gross investment income | $ 1 | $ 2 | $ 5 | $ 8 |
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Net Realized Investment Gains (Losses) | ||||
Gross realized gains on available-for-sale securities | $ 23 | $ 4 | $ 92 | $ 24 |
Gross realized losses on available-for-sale securities | (3) | (1) | (9) | (3) |
Net realized gains (losses) on other invested assets | 0 | 0 | 0 | 0 |
Other-than-temporary impairment | (13) | (5) | (29) | (26) |
Net realized investment gains (losses) | $ 7 | $ (2) | $ 54 | $ (5) |
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Roll Forward of Credit Losses in the Investment Portfolio | ||||
Credit losses, beginning of period | $ 145 | $ 108 | $ 134 | $ 108 |
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized | 3 | 1 | 6 | 3 |
Reductions for securities sold and other settlements | 0 | 0 | (4) | (4) |
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized | 5 | 1 | 17 | 3 |
Credit losses, end of period | $ 153 | $ 110 | $ 153 | $ 110 |
Investments and Cash - Fixed Ma
Investments and Cash - Fixed Maturity Securities and Short Term Investments (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Investments | ||
Percent of Total | 100.00% | 100.00% |
Amortized Cost | $ 10,993 | $ 10,564 |
Gross Unrealized Gains | 572 | 405 |
Gross Unrealized Losses | (70) | (146) |
Estimated Fair Value | 11,495 | 10,823 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 160 | $ 17 |
Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 91.00% | 94.00% |
Amortized Cost | $ 10,045 | $ 9,974 |
Gross Unrealized Gains | 571 | 405 |
Gross Unrealized Losses | (70) | (146) |
Estimated Fair Value | 10,546 | 10,233 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 160 | $ 17 |
Short-term Investments [Member] | ||
Investments | ||
Percent of Total | 9.00% | 6.00% |
Amortized Cost | $ 948 | $ 590 |
Gross Unrealized Gains | 1 | 0 |
Gross Unrealized Losses | 0 | 0 |
Estimated Fair Value | 949 | 590 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | $ 0 |
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 49.00% | 50.00% |
Amortized Cost | $ 5,445 | $ 5,269 |
Gross Unrealized Gains | 277 | 202 |
Gross Unrealized Losses | (17) | (39) |
Estimated Fair Value | 5,705 | 5,432 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 21 | $ 13 |
US government and agencies [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 2.00% | 4.00% |
Amortized Cost | $ 256 | $ 424 |
Gross Unrealized Gains | 14 | 17 |
Gross Unrealized Losses | 0 | (1) |
Estimated Fair Value | 270 | 440 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | $ 0 |
Corporate securities [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 18.00% | 15.00% |
Amortized Cost | $ 1,932 | $ 1,612 |
Gross Unrealized Gains | 62 | 32 |
Gross Unrealized Losses | (18) | (31) |
Estimated Fair Value | 1,976 | 1,613 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (6) | $ (8) |
RMBS [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 8.00% | 9.00% |
Amortized Cost | $ 866 | $ 998 |
Gross Unrealized Gains | 27 | 27 |
Gross Unrealized Losses | (12) | (38) |
Estimated Fair Value | 881 | 987 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 2 | $ (21) |
CMBS [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 5.00% | 5.00% |
Amortized Cost | $ 551 | $ 575 |
Gross Unrealized Gains | 15 | 13 |
Gross Unrealized Losses | (4) | (5) |
Estimated Fair Value | 562 | 583 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | $ 0 |
Asset-backed Securities [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 6.00% | 8.00% |
Amortized Cost | $ 682 | $ 835 |
Gross Unrealized Gains | 170 | 110 |
Gross Unrealized Losses | 0 | 0 |
Estimated Fair Value | 852 | 945 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 143 | $ 33 |
Foreign government securities [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 3.00% | 3.00% |
Amortized Cost | $ 313 | $ 261 |
Gross Unrealized Gains | 6 | 4 |
Gross Unrealized Losses | (19) | (32) |
Estimated Fair Value | 300 | 233 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | $ 0 |
Investments and Cash - Gross Un
Investments and Cash - Gross Unrealized Loss by Length of Time (Details) $ in Millions | Sep. 30, 2017USD ($)Security | Dec. 31, 2016USD ($)Security |
Less than 12 months | ||
Fair value | $ 953 | $ 2,325 |
Unrealized loss | (13) | (83) |
12 months or more | ||
Fair Value | 905 | 332 |
Unrealized loss | (57) | (63) |
Total | ||
Fair value | 1,858 | 2,657 |
Unrealized loss | $ (70) | $ (146) |
Number of securities | ||
Less than 12 months (in securities) | Security | 292 | 622 |
12 months or more (in securities) | Security | 230 | 60 |
Total (in securities) | Security | 513 | 676 |
Number of securities with OTTI | ||
Less than 12 months (in securities) | Security | 9 | 8 |
12 months or more (in securities) | Security | 14 | 9 |
Total (in securities) | Security | 23 | 17 |
Obligations of state and political subdivisions [Member] | ||
Less than 12 months | ||
Fair value | $ 445 | $ 1,110 |
Unrealized loss | (10) | (38) |
12 months or more | ||
Fair Value | 253 | 6 |
Unrealized loss | (7) | (1) |
Total | ||
Fair value | 698 | 1,116 |
Unrealized loss | (17) | (39) |
US government and agencies [Member] | ||
Less than 12 months | ||
Fair value | 114 | 87 |
Unrealized loss | 0 | (1) |
12 months or more | ||
Fair Value | 4 | 0 |
Unrealized loss | 0 | 0 |
Total | ||
Fair value | 118 | 87 |
Unrealized loss | 0 | (1) |
Corporate securities [Member] | ||
Less than 12 months | ||
Fair value | 136 | 492 |
Unrealized loss | (1) | (11) |
12 months or more | ||
Fair Value | 252 | 118 |
Unrealized loss | (17) | (20) |
Total | ||
Fair value | 388 | 610 |
Unrealized loss | (18) | (31) |
RMBS [Member] | ||
Less than 12 months | ||
Fair value | 107 | 391 |
Unrealized loss | (1) | (23) |
12 months or more | ||
Fair Value | 170 | 94 |
Unrealized loss | (11) | (15) |
Total | ||
Fair value | 277 | 485 |
Unrealized loss | (12) | (38) |
CMBS [Member] | ||
Less than 12 months | ||
Fair value | 50 | 165 |
Unrealized loss | 0 | (5) |
12 months or more | ||
Fair Value | 76 | 0 |
Unrealized loss | (4) | 0 |
Total | ||
Fair value | 126 | 165 |
Unrealized loss | (4) | (5) |
Asset-backed Securities [Member] | ||
Less than 12 months | ||
Fair value | 66 | 36 |
Unrealized loss | 0 | 0 |
12 months or more | ||
Fair Value | 3 | 0 |
Unrealized loss | 0 | 0 |
Total | ||
Fair value | 69 | 36 |
Unrealized loss | 0 | 0 |
Foreign government securities [Member] | ||
Less than 12 months | ||
Fair value | 35 | 44 |
Unrealized loss | (1) | (5) |
12 months or more | ||
Fair Value | 147 | 114 |
Unrealized loss | (18) | (27) |
Total | ||
Fair value | 182 | 158 |
Unrealized loss | $ (19) | $ (32) |
Investments and Cash - Distribu
Investments and Cash - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Amortized Cost | ||
Amortized Cost | $ 10,993 | $ 10,564 |
Estimated Fair Value | ||
Estimated Fair Value | 11,495 | 10,823 |
Fixed Maturities [Member] | ||
Amortized Cost | ||
Due within one year | 249 | |
Due after one year through five years | 1,518 | |
Due after five years through 10 years | 2,280 | |
Due after 10 years | 4,581 | |
Amortized Cost | 10,045 | 9,974 |
Estimated Fair Value | ||
Due within one year | 250 | |
Due after one year through five years | 1,552 | |
Due after five years through 10 years | 2,365 | |
Due after 10 years | 4,936 | |
Estimated Fair Value | 10,546 | 10,233 |
Fixed Maturities [Member] | RMBS [Member] | ||
Amortized Cost | ||
Amortized Cost | 866 | 998 |
Estimated Fair Value | ||
Estimated Fair Value | 881 | 987 |
Fixed Maturities [Member] | CMBS [Member] | ||
Amortized Cost | ||
Amortized Cost | 551 | 575 |
Estimated Fair Value | ||
Estimated Fair Value | $ 562 | $ 583 |
Investments and Cash - Internal
Investments and Cash - Internally Managed Investment Portfolio (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | $ 11,495 | $ 10,823 |
Other invested assets | 96 | 162 |
Total investment portfolio | 11,591 | 10,985 |
Fixed Maturities, Managed Internally [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | 1,220 | 1,492 |
Other Invested Assets, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 20 | 107 |
Other, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 76 | 55 |
Internally Managed Portfolio [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Total investment portfolio | $ 1,316 | $ 1,654 |
Investments and Cash Investment
Investments and Cash Investments and Cash - Cash and Restricted Cash (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Dec. 31, 2015 |
Investments, Debt and Equity Securities [Abstract] | ||||
Cash | $ 72 | $ 118 | $ 98 | $ 166 |
Restricted cash | 0 | 9 | 1 | 0 |
Cash and Restricted Cash | $ 72 | $ 127 | $ 99 | $ 166 |
Investments and Cash - Narrativ
Investments and Cash - Narrative (Details) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2017USD ($)Security | Dec. 31, 2016USD ($)Security | Sep. 30, 2016USD ($) | |
Investment [Line Items] | |||
Accrued investment income | $ 102 | $ 91 | |
Government agency obligations as a percentage of total mortgage backed securities | 39.00% | 42.00% | |
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | Security | 28 | 41 | |
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $ 26 | $ 59 | |
Assets held-in-trust | 286 | 285 | |
Fair market value of company's pledged securities | $ 18 | $ 116 | |
Number of outside managers managing investment portfolio | 5 | ||
Externally managed portfolio investments, corporate securities threshold | 5.00% | ||
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 | 11.00% | 15.00% | |
AGL Subsidiaries [Member] | |||
Investment [Line Items] | |||
Assets held-in-trust | $ 1,676 | $ 1,420 |
Insurance Company Regulatory104
Insurance Company Regulatory Requirements - Narrative (Details) - USD ($) $ in Millions | Sep. 25, 2017 | Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Aug. 17, 2017 |
Statutory Accounting Practices [Line Items] | ||||||
Dividends paid | $ 53 | $ 52 | ||||
Municipal Assurance Corp [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Number of shares authorized to be repurchased (in shares) | 64,322 | |||||
Authorized repurchase amount | $ 250 | |||||
Stock redemption, cash paid | $ 104 | |||||
Stock redemption, marketable securities transferred | 146 | |||||
AGM [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Additional paid in capital | $ 15 | 15 | ||||
Majority Shareholder [Member] | Municipal Assurance Corp [Member] | AGM [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Stock redemption, consideration transferred | 152 | |||||
Stock redemption, cash paid | 6 | |||||
Stock redemption, marketable securities transferred | $ 146 | |||||
Ownership percentage by noncontrolling owners | 61.00% | |||||
Majority Shareholder [Member] | Municipal Assurance Corp [Member] | AGC [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Stock redemption, cash paid | $ 98 | |||||
Affiliated Entity [Member] | Municipal Assurance Corp [Member] | Municipal Assurance Corp Holdings [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Dividends paid | 12 | $ 0 | 36 | 0 | ||
Affiliated Entity [Member] | AGC [Member] | AGUSH [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Dividends paid | 15 | 15 | 66 | 38 | ||
Affiliated Entity [Member] | AGM [Member] | AGMH [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Dividends paid | 63 | $ 65 | 142 | $ 192 | ||
Principal Owner [Member] | Municipal Assurance Corp [Member] | AGC [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Ownership percentage by noncontrolling owners | 39.00% | |||||
New York [Member] | Municipal Assurance Corp [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Amount available for distribution, next fiscal quarter | 0 | $ 0 | ||||
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 | 196 | $ 196 | ||||
Amount available for distribution, next fiscal quarter | 54 | $ 54 | ||||
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] | AGUSH [Member] | AGC [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Amount available for distribution, current year | 107 | 107 | ||||
Bermuda [Member] | Assured Guaranty Re [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Amount available for distribution, current year | 314 | $ 314 | ||||
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 | $ 128 | |||||
Statutory surplus | 314 | 314 | ||||
Unencumbered assets | $ 572 | $ 572 |
Insurance Company Regulatory105
Insurance Company Regulatory Requirements - Dividends and Surplus Notes By Insurance Company Subsidiaries (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | $ 53 | $ 52 | ||
AGUS [Member] | Affiliated Entity [Member] | AGC [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | $ 15 | $ 15 | 66 | 38 |
AGM [Member] | Affiliated Entity [Member] | Municipal Assurance Corp [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Repayment of surplus notes | 0 | 0 | 0 | 100 |
AGMH [Member] | Affiliated Entity [Member] | AGM [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | 63 | 65 | 142 | 192 |
AGL [Member] | Affiliated Entity [Member] | Assured Guaranty Re [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | 45 | 35 | 125 | 85 |
Municipal Assurance Corp Holdings [Member] | Affiliated Entity [Member] | Municipal Assurance Corp [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | 12 | 0 | 36 | 0 |
Repayment of surplus notes | 0 | 0 | 0 | 300 |
Redemption of common stock | $ 250 | $ 0 | $ 250 | $ 0 |
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $ 116 | $ 150 | $ 245 | $ 234 |
Tax-exempt interest | (12) | (12) | (36) | (38) |
Gain on bargain purchase | 0 | (125) | (20) | (125) |
State taxes | 1 | 0 | 7 | 1 |
Change in liability for uncertain tax positions | 8 | 8 | (27) | 10 |
Effect of provision to tax return filing adjustments | (8) | (16) | (8) | (16) |
Other | 0 | (4) | (4) | (4) |
Total provision (benefit) for income taxes | $ 105 | $ 1 | $ 157 | $ 62 |
Effective tax rate (as a percent) | 33.60% | 0.30% | 18.80% | 8.30% |
Income (loss) before income taxes | $ 313 | $ 480 | $ 835 | $ 746 |
Revenue | 623 | 566 | 1,458 | 1,207 |
United States [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before income taxes | 337 | 432 | 713 | 681 |
Revenue | 566 | 499 | 1,305 | 1,041 |
Bermuda [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before income taxes | (18) | 56 | 143 | 88 |
Revenue | 61 | 69 | 165 | 170 |
United Kingdom [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before income taxes | (6) | (8) | (21) | (23) |
Revenue | $ (4) | $ (2) | $ (12) | $ (4) |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Millions | Apr. 01, 2017 | Jun. 30, 2017 | Sep. 30, 2017 | Dec. 31, 2016 | Mar. 31, 2017 |
Income Taxes [Line Items] | |||||
Realization assessment period | 3 years | ||||
Interest and penalties related to uncertain tax positions | $ 1.2 | $ 2 | |||
Accrued interest and penalties, uncertain tax positions | $ 37 | ||||
Accrued interest, uncertain tax positions | 2 | 7 | |||
Unrecognized tax benefits that would impact effective tax rate | $ 30 | $ 57 | |||
United States [Member] | |||||
Income Taxes [Line Items] | |||||
Corporate tax rate | 35.00% | ||||
United Kingdom [Member] | |||||
Income Taxes [Line Items] | |||||
Corporate tax rate | 19.00% | 19.25% | 20.00% | ||
Radian [Member] | |||||
Income Taxes [Line Items] | |||||
Foreign tax credits acquired | $ 19 | ||||
Assured Guarantee Europe (AGE) [Member] | |||||
Income Taxes [Line Items] | |||||
Foreign tax credits acquired | $ 1 |
Reinsurance and Other Monoli108
Reinsurance and Other Monoline Exposures - Effect of Reinsurance on Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Premiums Written: | ||||
Direct | $ 46 | $ 17 | $ 227 | $ 80 |
Assumed | (1) | (1) | 8 | (9) |
Ceded | 27 | 0 | 37 | (17) |
Net | 72 | 16 | 272 | 54 |
Premiums Earned: | ||||
Direct | 186 | 237 | 516 | 647 |
Assumed | 6 | 6 | 20 | 19 |
Ceded | (6) | (12) | (24) | (38) |
Net | 186 | 231 | 512 | 628 |
Loss and LAE: | ||||
Direct | 231 | 7 | 377 | 217 |
Assumed | (1) | (1) | (1) | (4) |
Ceded | (7) | (15) | (22) | (30) |
Net | $ 223 | $ (9) | $ 354 | $ 183 |
Reinsurance and Other Monoli109
Reinsurance and Other Monoline Exposures - Amounts Due (To) From All Reinsurers (Details) $ in Millions | Sep. 30, 2017USD ($) |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | $ 58 |
Ceded Premium, net of Commissions | (25) |
Assumed Expected Loss to be Paid | (63) |
Ceded Expected Loss to be Paid | 25 |
Other Reinsurer [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (3) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 0 |
External Credit Rating, Investment Grade [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 5 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | 1 |
Ceded Expected Loss to be Paid | 0 |
External Credit Rating, Non Investment Grade [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 53 |
Ceded Premium, net of Commissions | (22) |
Assumed Expected Loss to be Paid | (64) |
Ceded Expected Loss to be Paid | 25 |
External Credit Rating, Non Investment Grade [Member] | American Overseas Reinsurance Company Limited [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (4) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 36 |
External Credit Rating, Non Investment Grade [Member] | Syncora Guarantee Inc [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 13 |
Ceded Premium, net of Commissions | (18) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | (11) |
External Credit Rating, Non Investment Grade [Member] | Ambac [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 31 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | 1 |
Ceded Expected Loss to be Paid | 0 |
External Credit Rating, Non Investment Grade [Member] | MBIA [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (3) |
Ceded Expected Loss to be Paid | 0 |
External Credit Rating, Non Investment Grade [Member] | FGIC [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 3 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (16) |
Ceded Expected Loss to be Paid | 0 |
External Credit Rating, Non Investment Grade [Member] | 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 | (46) |
Ceded Expected Loss to be Paid | $ 0 |
Reinsurance and Other Monoli110
Reinsurance and Other Monoline Exposures - Net Effect of Commutations of Ceded and Cancellations of Assumed Reinsurance Contracts (Details) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Insurance [Abstract] | ||||
Increase (decrease) in net unearned premium reserve | $ 62 | $ 0 | $ 80 | $ 0 |
Increase (decrease) in net par outstanding | 3,455 | 28 | 4,628 | 28 |
Commutation gains (losses) | $ 255 | $ 8 | $ 328 | $ 8 |
Reinsurance and Other Monoli111
Reinsurance and Other Monoline Exposures - Reinsurance and Other Exposures to Monolines (Details) $ in Millions | Sep. 30, 2017USD ($) |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | $ 4,811 |
Assumed Par Outstanding | 9,911 |
Second-to- Pay Insured Par Outstanding | 7,670 |
Other Reinsurer [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 52 |
Assumed Par Outstanding | 111 |
Second-to- Pay Insured Par Outstanding | 410 |
Non-affiliated Reinsurers [Member] | |
Ceded Credit Risk [Line Items] | |
Funds held under reinsurance agreements | 123 |
Investment Grade Reinsurer [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 0 |
Assumed Par Outstanding | 3,245 |
Second-to- Pay Insured Par Outstanding | 2,730 |
Investment Grade Reinsurer [Member] | National [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 0 |
Assumed Par Outstanding | 3,245 |
Second-to- Pay Insured Par Outstanding | 2,730 |
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 4,759 |
Assumed Par Outstanding | 6,555 |
Second-to- Pay Insured Par Outstanding | 4,530 |
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | American Overseas Reinsurance Company Limited [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 2,445 |
Assumed Par Outstanding | 0 |
Second-to- Pay Insured Par Outstanding | 0 |
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | Syncora Guarantee Inc [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 1,994 |
Assumed Par Outstanding | 674 |
Second-to- Pay Insured Par Outstanding | 1,156 |
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | Aca Financial Guaranty Corp [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 208 |
Assumed Par Outstanding | 0 |
Second-to- Pay Insured Par Outstanding | 10 |
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | Ambac [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 112 |
Assumed Par Outstanding | 4,902 |
Second-to- Pay Insured Par Outstanding | 1,927 |
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | MBIA [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 0 |
Assumed Par Outstanding | 137 |
Second-to- Pay Insured Par Outstanding | 565 |
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | FGIC [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 0 |
Assumed Par Outstanding | 275 |
Second-to- Pay Insured Par Outstanding | 821 |
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | Ambac Assurance Corp. Segregated account [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 0 |
Assumed Par Outstanding | 567 |
Second-to- Pay Insured Par Outstanding | 51 |
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | External Credit Rating, Non Investment Grade [Member] | |
Ceded Credit Risk [Line Items] | |
Ceded Par Outstanding | 305 |
Second-to- Pay Insured Par Outstanding | $ 774 |
Reinsurance and Other Monoli112
Reinsurance and Other Monoline Exposures - Narrative (Details) | Jan. 01, 2016USD ($) | Sep. 30, 2017USD ($)commutation | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Dec. 31, 2016USD ($) |
Ceded Credit Risk [Line Items] | ||||||
Derivative losses on reinsurance derivatives | $ 200,000 | $ 25,000,000 | $ 800,000 | $ 26,000,000 | ||
Fixed-maturity securities | 11,495,000,000 | 11,495,000,000 | $ 10,823,000,000 | |||
Increase (decrease) in net par outstanding | $ 3,455,000,000 | 28,000,000 | $ 4,628,000,000 | 28,000,000 | ||
Commutation agreement exposure, percent (over) | 97.00% | 97.00% | ||||
Commutation gains (losses) | $ 255,000,000 | $ 8,000,000 | $ 328,000,000 | $ 8,000,000 | ||
Number of Commutation Agreements | commutation | 2 | |||||
Assured Guaranty Re [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Amounts could be required to pay if third party exercised right to recapture business | 49,000,000 | |||||
AGC [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Amounts could be required to pay if third party exercised right to recapture business | 16,000,000 | |||||
Fixed Maturities [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Fixed-maturity securities | $ 10,546,000,000 | 10,546,000,000 | 10,233,000,000 | |||
Fixed Maturities [Member] | National [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Fixed-maturity securities | 98,000,000 | 98,000,000 | ||||
Fixed Maturities [Member] | Ambac [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Fixed-maturity securities | 69,000,000 | 69,000,000 | ||||
Fixed Maturities [Member] | Other Reinsurer [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Fixed-maturity securities | 8,000,000 | 8,000,000 | ||||
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 | |||||
Minimum net losses required for attachment of excess of loss reinsurance facility | 1,250,000,000 | |||||
Amount of losses covered under the facility | 400,000,000 | |||||
Remaining amount of losses covered under the facility | $ 40,000,000 | |||||
Premiums paid during the period | 9,000,000 | $ 9,000,000 | ||||
Uncollateralized [Member] | AM Best, A- Rating [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Guaranty Liabilities | 5,000,000 | 5,000,000 | ||||
Uncollateralized [Member] | Standard & Poor's, A Rating [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Guaranty Liabilities | $ 5,000,000 | $ 5,000,000 |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) $ in Millions | 1 Months Ended | |||||
Dec. 31, 2014Security | Nov. 30, 2014USD ($) | Sep. 30, 2017USD ($) | Dec. 31, 2016USD ($) | Apr. 10, 2015USD ($) | Nov. 28, 2011USD ($)Transaction | |
Commitments and Contingencies Legal Proceedings | ||||||
Net Debt Service Outstanding | $ 416,724 | $ 437,535 | ||||
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 | |||||
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] | 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] | 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 | |||||
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 Fa114
Long-Term Debt and Credit Facilities - Narrative (Details) | Apr. 07, 2008 | Jun. 30, 2003USD ($)Trust | Dec. 31, 2016USD ($) | Dec. 31, 2012USD ($) | Sep. 30, 2017USD ($) | Oct. 25, 2013USD ($) | Apr. 08, 2005USD ($)Trust |
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | $ 1,589,000,000 | $ 1,560,000,000 | |||||
Consolidation, Eliminations [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 0 | (28,000,000) | |||||
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% | ||||||
AGUS [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 850,000,000 | 850,000,000 | |||||
AGM [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 9,000,000 | 8,000,000 | |||||
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 | ||||||
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 | ||||||
AGMH [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 730,000,000 | 730,000,000 | |||||
Junior Subordinated Debt [Member] | AGMH [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 300,000,000 | 300,000,000 | |||||
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% | ||||||
Notes Payable, Other Payables [Member] | AGM [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 9,000,000 | 8,000,000 | |||||
Notes Payable 5.60% [Member] | Notes Payable, Other Payables [Member] | AGMH [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 100,000,000 | 100,000,000 | |||||
6.25% Notes [Member] | Notes Payable, Other Payables [Member] | AGMH [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 230,000,000 | 230,000,000 | |||||
QUIBS 6.875% [Member] | Corporate securities [Member] | AGMH [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 100,000,000 | 100,000,000 | |||||
Senior Notes 7.0% [Member] | Senior Notes [Member] | AGUS [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 200,000,000 | 200,000,000 | |||||
Senior Notes 5.0% [Member] | Senior Notes [Member] | AGUS [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 500,000,000 | 500,000,000 | |||||
AGMH [Member] | Junior Subordinated Debt [Member] | AGUS [Member] | Consolidation, Eliminations [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Debt repurchase amount | 28,000,000 | ||||||
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 | ||||||
Municipal Assurance Corp [Member] | AGUS [Member] | |||||||
Debt Instrument [Line Items] | |||||||
Notes Payable, Related Parties | $ 70,000,000 | ||||||
Intercompany debt | $ 90,000,000 | ||||||
Repayments of Debt | $ 20,000,000 |
Long-Term Debt and Credit Fa115
Long-Term Debt and Credit Facilities - Principal and Carrying Amounts of Debt (Details) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Debt Instrument [Line Items] | ||
Principal | $ 1,560,000,000 | $ 1,589,000,000 |
Carrying Value | 1,292,000,000 | 1,306,000,000 |
Consolidation, Eliminations [Member] | ||
Debt Instrument [Line Items] | ||
Principal | (28,000,000) | 0 |
Carrying Value | (18,000,000) | 0 |
AGUS [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 850,000,000 | 850,000,000 |
Carrying Value | 843,000,000 | 843,000,000 |
AGMH [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 730,000,000 | 730,000,000 |
Carrying Value | 459,000,000 | 453,000,000 |
AGM [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 8,000,000 | 9,000,000 |
Carrying Value | $ 8,000,000 | 10,000,000 |
Senior Notes [Member] | AGUS [Member] | Senior Notes 7.0% [Member] | ||
Debt Instrument [Line Items] | ||
Interest rate of debt (as a percent) | 7.00% | |
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% | |
Principal | $ 500,000,000 | 500,000,000 |
Carrying Value | 496,000,000 | 496,000,000 |
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% | |
Principal | $ 100,000,000 | 100,000,000 |
Carrying Value | $ 70,000,000 | 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% | |
Principal | $ 230,000,000 | 230,000,000 |
Carrying Value | $ 142,000,000 | 141,000,000 |
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% | |
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 | 8,000,000 | 9,000,000 |
Carrying Value | 8,000,000 | 10,000,000 |
Junior Subordinated Debt [Member] | AGMH [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 300,000,000 | 300,000,000 |
Carrying Value | $ 191,000,000 | $ 187,000,000 |
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Basic EPS: | ||||
Net income (loss) attributable to AGL | $ 208 | $ 479 | $ 678 | $ 684 |
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 0 | 1 | 1 | 1 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 208 | $ 478 | $ 677 | $ 683 |
Basic shares | 118.7 | 131.9 | 121.8 | 134 |
Basic EPS (in dollars per share) | $ 1.75 | $ 3.63 | $ 5.56 | $ 5.10 |
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 | $ 208 | $ 478 | $ 677 | $ 683 |
Basic shares | 118.7 | 131.9 | 121.8 | 134 |
Effect of dilutive securities: | ||||
Options and restricted stock awards (in shares) | 2 | 0.9 | 1.7 | 0.9 |
Diluted shares | 120.7 | 132.8 | 123.5 | 134.9 |
Diluted EPS (in dollars per share) | $ 1.72 | $ 3.60 | $ 5.48 | $ 5.06 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect (in shares) | 0 | 0 | 0.1 | 0.5 |
Shareholders' Equity - Changes
Shareholders' Equity - Changes in AOCI by Component (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | $ 6,504 | |||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | $ 7 | $ (2) | 54 | $ (5) |
Net investment income | 99 | 94 | 322 | 291 |
Interest expense | (24) | (26) | (73) | (77) |
Tax (provision) benefit | (105) | (1) | (157) | (62) |
Ending balance | 6,878 | 6,878 | ||
Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | 228 | 426 | 171 | 260 |
Other comprehensive income (loss) before reclassifications | 27 | (33) | 133 | 146 |
Amounts reclassified from AOCI to: | ||||
Total amount reclassified from AOCI, net of tax | (15) | (3) | (64) | (16) |
Net current period other comprehensive income (loss) | 12 | (36) | 69 | 130 |
Ending balance | 240 | 390 | 240 | 390 |
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) | (24) | (3) | (71) | (20) |
Net investment income | 0 | 0 | (28) | (3) |
Interest expense | 0 | 0 | 0 | 0 |
Total before tax | (24) | (3) | (99) | (23) |
Tax (provision) benefit | 9 | 0 | 35 | 7 |
Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | 107 | (24) | 10 | (15) |
Other comprehensive income (loss) before reclassifications | (15) | 13 | 81 | (10) |
Amounts reclassified from AOCI to: | ||||
Total amount reclassified from AOCI, net of tax | 11 | 3 | 12 | 17 |
Net current period other comprehensive income (loss) | (4) | 16 | 93 | 7 |
Ending balance | 103 | (8) | 103 | (8) |
Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | 17 | 4 | 18 | 25 |
Net investment income | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | 0 | 0 |
Total before tax | 17 | 4 | 18 | 25 |
Tax (provision) benefit | (6) | (1) | (6) | (8) |
Cumulative Translation Adjustment [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | (27) | (26) | (39) | (16) |
Other comprehensive income (loss) before reclassifications | 3 | (5) | 15 | (15) |
Amounts reclassified from AOCI to: | ||||
Total amount reclassified from AOCI, net of tax | 0 | 0 | 0 | 0 |
Net current period other comprehensive income (loss) | 3 | (5) | 15 | (15) |
Ending balance | (24) | (31) | (24) | (31) |
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 | 7 | 7 | 8 |
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 | 0 | (1) |
Net current period other comprehensive income (loss) | 0 | 0 | 0 | (1) |
Ending balance | 7 | 7 | 7 | 7 |
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 | 0 | (1) |
Total before tax | 0 | 0 | 0 | (1) |
Tax (provision) benefit | 0 | 0 | 0 | 0 |
Total Accumulated Other Comprehensive Income [Member] | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | 315 | 383 | 149 | 237 |
Other comprehensive income (loss) before reclassifications | 15 | (25) | 229 | 121 |
Amounts reclassified from AOCI to: | ||||
Total amount reclassified from AOCI, net of tax | (4) | 0 | (52) | 0 |
Net current period other comprehensive income (loss) | 11 | (25) | 177 | 121 |
Ending balance | 326 | 358 | 326 | 358 |
Total Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | (7) | 1 | (53) | 5 |
Net investment income | 0 | 0 | (28) | (3) |
Interest expense | 0 | 0 | 0 | (1) |
Total before tax | (7) | 1 | (81) | 1 |
Tax (provision) benefit | $ 3 | $ (1) | $ 29 | $ (1) |
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 | 58 Months Ended | |||||||||
Nov. 02, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Nov. 02, 2017 | Dec. 31, 2016 | Nov. 02, 2017 | Nov. 01, 2017 | Jan. 06, 2017 | |
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||
Repurchases of common stock | $ 431,000,000 | $ 190,000,000 | |||||||||||||
Common Stock [Member] | |||||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||
Shares repurchased (in shares) | 1,847,901 | 3,456,711 | 5,430,041 | 3,300,617 | 2,050,229 | 2,331,474 | 3,038,928 | 10,721,248 | |||||||
Repurchases of common stock | $ 80,000,000 | $ 135,000,000 | $ 216,000,000 | $ 116,000,000 | $ 55,000,000 | $ 60,000,000 | $ 75,000,000 | $ 306,000,000 | |||||||
Treasury Stock Acquired, Average Cost Per Share | $ 43.29 | $ 39.05 | $ 39.83 | $ 35.09 | $ 26.83 | $ 25.73 | $ 24.69 | $ 28.53 | |||||||
Subsequent Event [Member] | Common Stock [Member] | |||||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||
Shares repurchased (in shares) | 533,618 | 11,268,271 | 79,911,478 | ||||||||||||
Repurchases of common stock | $ 20,000,000 | $ 451,000,000 | $ 2,166,000,000 | ||||||||||||
Treasury Stock Acquired, Average Cost Per Share | $ 37.48 | $ 40.05 | $ 27.11 | ||||||||||||
Remaining capacity of shares repurchase program | $ 398,000,000 | $ 398,000,000 | $ 398,000,000 | ||||||||||||
Authorized repurchase amount | $ 300,000,000 | ||||||||||||||
Chief Executive Officer [Member] | |||||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||
Number of shares authorized to be repurchased (in shares) | 297,131 | ||||||||||||||
Deferred compensation equity, shares to be paid in the future (in shares) | 297,131 | ||||||||||||||
Deferred equity compensation (in shares) | 297,131 | ||||||||||||||
General Counsel [Member] | |||||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||||
Number of shares authorized to be repurchased (in shares) | 23,062 | ||||||||||||||
Deferred compensation equity, shares to be paid in the future (in shares) | 23,062 | ||||||||||||||
Deferred equity compensation (in shares) | 23,062 |
Subsidiary Information - Conden
Subsidiary Information - Condensed Consolidating Balance Sheet (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Assets | ||
Total investment portfolio and cash | $ 11,663 | $ 11,103 |
Investment in subsidiaries | 0 | 0 |
Premiums receivable, net of commissions payable | 922 | 576 |
Ceded unearned premium reserve | 108 | 206 |
Deferred acquisition costs | 105 | 106 |
Reinsurance recoverable on unpaid losses | 39 | 80 |
Credit derivative assets | 3 | 13 |
Deferred tax asset, net | 135 | 497 |
Intercompany receivable | 0 | 0 |
Financial guaranty variable interest entities’ assets, at fair value | 707 | 876 |
Dividend receivable from affiliate | 0 | 0 |
Other | 967 | 694 |
Total assets | 14,649 | 14,151 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 3,597 | 3,511 |
Loss and loss adjustment expense reserve | 1,326 | 1,127 |
Long-term debt | 1,292 | 1,306 |
Intercompany payable | 0 | 0 |
Credit derivative liabilities | 305 | 402 |
Deferred tax liabilities, net | 0 | 0 |
Financial guaranty variable interest entities’ liabilities, at fair value | 768 | 958 |
Dividend payable to affiliate | 0 | 0 |
Other | 483 | 343 |
Total liabilities | 7,771 | 7,647 |
Effect on shareholders' equity (decrease) increase | 6,878 | 6,504 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 6,878 | 6,504 |
Total liabilities and shareholders’ equity | 14,649 | 14,151 |
AGUS [Member] | ||
Liabilities and shareholders’ equity | ||
Long-term debt | 843 | 843 |
AGMH [Member] | ||
Liabilities and shareholders’ equity | ||
Long-term debt | 459 | 453 |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | ||
Assets | ||
Total investment portfolio and cash | 47 | 36 |
Investment in subsidiaries | 6,799 | 6,164 |
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 |
Dividend receivable from affiliate | 25 | 300 |
Other | 22 | 11 |
Total assets | 6,893 | 6,511 |
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 |
Dividend payable to affiliate | 0 | 0 |
Other | 15 | 7 |
Total liabilities | 15 | 7 |
Effect on shareholders' equity (decrease) increase | 6,878 | 6,504 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 6,878 | 6,504 |
Total liabilities and shareholders’ equity | 6,893 | 6,511 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGUS [Member] | ||
Assets | ||
Total investment portfolio and cash | 143 | 384 |
Investment in subsidiaries | 6,257 | 5,696 |
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 | 76 | 16 |
Intercompany receivable | 0 | 0 |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 |
Dividend receivable from affiliate | 0 | 0 |
Other | 28 | 78 |
Total assets | 6,504 | 6,174 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 0 | 0 |
Loss and loss adjustment expense reserve | 0 | 0 |
Long-term debt | 843 | 843 |
Intercompany payable | 70 | 70 |
Credit derivative liabilities | 0 | 0 |
Deferred tax liabilities, net | 0 | 0 |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 |
Dividend payable to affiliate | 25 | 300 |
Other | 19 | 3 |
Total liabilities | 957 | 1,216 |
Effect on shareholders' equity (decrease) increase | 5,547 | 4,958 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 5,547 | 4,958 |
Total liabilities and shareholders’ equity | 6,504 | 6,174 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGMH [Member] | ||
Assets | ||
Total investment portfolio and cash | 24 | 22 |
Investment in subsidiaries | 4,216 | 3,799 |
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 |
Dividend receivable from affiliate | 0 | 0 |
Other | 51 | 26 |
Total assets | 4,291 | 3,847 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 0 | 0 |
Loss and loss adjustment expense reserve | 0 | 0 |
Long-term debt | 459 | 453 |
Intercompany payable | 0 | 0 |
Credit derivative liabilities | 0 | 0 |
Deferred tax liabilities, net | 87 | 88 |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 |
Dividend payable to affiliate | 0 | 0 |
Other | 22 | 14 |
Total liabilities | 568 | 555 |
Effect on shareholders' equity (decrease) increase | 3,723 | 3,292 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 3,723 | 3,292 |
Total liabilities and shareholders’ equity | 4,291 | 3,847 |
Reportable Legal Entities [Member] | Other Entities [Member] | ||
Assets | ||
Total investment portfolio and cash | 11,776 | 11,029 |
Investment in subsidiaries | 208 | 296 |
Premiums receivable, net of commissions payable | 1,076 | 699 |
Ceded unearned premium reserve | 1,009 | 1,099 |
Deferred acquisition costs | 150 | 156 |
Reinsurance recoverable on unpaid losses | 394 | 484 |
Credit derivative assets | 50 | 69 |
Deferred tax asset, net | 153 | 597 |
Intercompany receivable | 70 | 70 |
Financial guaranty variable interest entities’ assets, at fair value | 707 | 876 |
Dividend receivable from affiliate | 0 | 0 |
Other | 1,100 | 801 |
Total assets | 16,693 | 16,176 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 4,565 | 4,488 |
Loss and loss adjustment expense reserve | 1,646 | 1,596 |
Long-term debt | 8 | 10 |
Intercompany payable | 300 | 300 |
Credit derivative liabilities | 352 | 458 |
Deferred tax liabilities, net | 0 | 0 |
Financial guaranty variable interest entities’ liabilities, at fair value | 768 | 958 |
Dividend payable to affiliate | 0 | 0 |
Other | 815 | 665 |
Total liabilities | 8,454 | 8,475 |
Effect on shareholders' equity (decrease) increase | 8,031 | 7,405 |
Noncontrolling interest | 208 | 296 |
Total shareholders' equity | 8,239 | 7,701 |
Total liabilities and shareholders’ equity | 16,693 | 16,176 |
Consolidation, Eliminations [Member] | ||
Assets | ||
Total investment portfolio and cash | (327) | (368) |
Investment in subsidiaries | (17,480) | (15,955) |
Premiums receivable, net of commissions payable | (154) | (123) |
Ceded unearned premium reserve | (901) | (893) |
Deferred acquisition costs | (45) | (50) |
Reinsurance recoverable on unpaid losses | (355) | (404) |
Credit derivative assets | (47) | (56) |
Deferred tax asset, net | (94) | (116) |
Intercompany receivable | (70) | (70) |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 |
Dividend receivable from affiliate | (25) | (300) |
Other | (234) | (222) |
Total assets | (19,732) | (18,557) |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | (968) | (977) |
Loss and loss adjustment expense reserve | (320) | (469) |
Long-term debt | (18) | 0 |
Intercompany payable | (370) | (370) |
Credit derivative liabilities | (47) | (56) |
Deferred tax liabilities, net | (87) | (88) |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 |
Dividend payable to affiliate | (25) | (300) |
Other | (388) | (346) |
Total liabilities | (2,223) | (2,606) |
Effect on shareholders' equity (decrease) increase | (17,301) | (15,655) |
Noncontrolling interest | (208) | (296) |
Total shareholders' equity | (17,509) | (15,951) |
Total liabilities and shareholders’ equity | $ (19,732) | $ (18,557) |
Subsidiary Information - Con120
Subsidiary Information - Condensed Consolidating Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Revenues | ||||
Net earned premiums | $ 186 | $ 231 | $ 512 | $ 628 |
Net investment income | 99 | 94 | 322 | 291 |
Net realized investment gains (losses) | 7 | (2) | 54 | (5) |
Net change in fair value of credit derivatives: | ||||
Realized gains (losses) and other settlements | (1) | 15 | 19 | 47 |
Net unrealized gains (losses) | 59 | 6 | 87 | (23) |
Net change in fair value of credit derivatives | 58 | 21 | 106 | 24 |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 259 | 58 | 259 |
Other | 273 | (37) | 406 | 10 |
Total revenues | 623 | 566 | 1,458 | 1,207 |
Expenses | ||||
Loss and LAE | 223 | (9) | 354 | 183 |
Amortization of deferred acquisition costs | 5 | 4 | 13 | 13 |
Interest expense | 24 | 26 | 73 | 77 |
Other operating expenses | 58 | 65 | 183 | 188 |
Total expenses | 310 | 86 | 623 | 461 |
Income (loss) before income taxes | 313 | 480 | 835 | 746 |
Total (provision) benefit for income taxes | (105) | (1) | (157) | (62) |
Equity in net earnings of subsidiaries | 0 | 0 | 0 | 0 |
Net income (loss) | 208 | 479 | 678 | 684 |
Less: noncontrolling interest | 0 | 0 | 0 | 0 |
Net income (loss) | 208 | 479 | 678 | 684 |
Comprehensive income (loss) | 219 | 454 | 855 | 805 |
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 | |
Other | 3 | 0 | 8 | 0 |
Total revenues | 3 | 0 | 8 | 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 | 10 | 7 | 30 | 23 |
Total expenses | 10 | 7 | 30 | 23 |
Income (loss) before income taxes | (7) | (7) | (22) | (23) |
Total (provision) benefit for income taxes | 0 | 0 | 0 | 0 |
Equity in net earnings of subsidiaries | 215 | 486 | 700 | 707 |
Net income (loss) | 208 | 479 | 678 | 684 |
Less: noncontrolling interest | 0 | 0 | 0 | 0 |
Net income (loss) | 208 | 479 | 678 | 684 |
Comprehensive income (loss) | 219 | 454 | 855 | 805 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGUS [Member] | ||||
Revenues | ||||
Net earned premiums | 0 | 0 | 0 | 0 |
Net investment income | 0 | 0 | 1 | 0 |
Net realized investment gains (losses) | 0 | 3 | 0 | 3 |
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 | |
Other | 0 | 0 | 0 | 0 |
Total revenues | 0 | 3 | 1 | 3 |
Expenses | ||||
Loss and LAE | 0 | 0 | 0 | 0 |
Amortization of deferred acquisition costs | 0 | 0 | 0 | 0 |
Interest expense | 12 | 13 | 36 | 39 |
Other operating expenses | 1 | 1 | 8 | 1 |
Total expenses | 13 | 14 | 44 | 40 |
Income (loss) before income taxes | (13) | (11) | (43) | (37) |
Total (provision) benefit for income taxes | 4 | 4 | 13 | 13 |
Equity in net earnings of subsidiaries | 237 | 433 | 574 | 623 |
Net income (loss) | 228 | 426 | 544 | 599 |
Less: noncontrolling interest | 0 | 0 | 0 | 0 |
Net income (loss) | 228 | 426 | 544 | 599 |
Comprehensive income (loss) | 237 | 414 | 705 | 660 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGMH [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 | |
Other | 0 | 0 | 0 | 0 |
Total revenues | 0 | 0 | 0 | 0 |
Expenses | ||||
Loss and LAE | 0 | 0 | 0 | 0 |
Amortization of deferred acquisition costs | 0 | 0 | 0 | 0 |
Interest expense | 13 | 13 | 40 | 40 |
Other operating expenses | 0 | 1 | 1 | 2 |
Total expenses | 13 | 14 | 41 | 42 |
Income (loss) before income taxes | (13) | (14) | (41) | (42) |
Total (provision) benefit for income taxes | 4 | 5 | 15 | 15 |
Equity in net earnings of subsidiaries | 178 | 82 | 422 | 272 |
Net income (loss) | 169 | 73 | 396 | 245 |
Less: noncontrolling interest | 0 | 0 | 0 | 0 |
Net income (loss) | 169 | 73 | 396 | 245 |
Comprehensive income (loss) | 178 | 51 | 484 | 261 |
Reportable Legal Entities [Member] | Other Entities [Member] | ||||
Revenues | ||||
Net earned premiums | 190 | 239 | 523 | 653 |
Net investment income | 101 | 95 | 325 | 293 |
Net realized investment gains (losses) | (9) | (2) | 53 | (4) |
Net change in fair value of credit derivatives: | ||||
Realized gains (losses) and other settlements | (1) | 15 | 19 | 47 |
Net unrealized gains (losses) | 59 | 6 | 87 | (23) |
Net change in fair value of credit derivatives | 58 | 21 | 106 | 24 |
Bargain purchase gain and settlement of pre-existing relationships | 257 | 58 | 257 | |
Other | 302 | (37) | 527 | 10 |
Total revenues | 642 | 573 | 1,592 | 1,233 |
Expenses | ||||
Loss and LAE | 250 | (15) | 301 | 182 |
Amortization of deferred acquisition costs | 8 | 9 | 19 | 23 |
Interest expense | 3 | 3 | 8 | 8 |
Other operating expenses | 91 | 58 | 286 | 165 |
Total expenses | 352 | 55 | 614 | 378 |
Income (loss) before income taxes | 290 | 518 | 978 | 855 |
Total (provision) benefit for income taxes | (94) | (13) | (194) | (94) |
Equity in net earnings of subsidiaries | 8 | 11 | 22 | 34 |
Net income (loss) | 204 | 516 | 806 | 795 |
Less: noncontrolling interest | 8 | 11 | 22 | 34 |
Net income (loss) | 196 | 505 | 784 | 761 |
Comprehensive income (loss) | 274 | 497 | 1,004 | 923 |
Consolidation, Eliminations [Member] | ||||
Revenues | ||||
Net earned premiums | (4) | (8) | (11) | (25) |
Net investment income | (2) | (1) | (4) | (2) |
Net realized investment gains (losses) | 16 | (3) | 1 | (4) |
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 | 2 | 0 | 2 | |
Other | (32) | 0 | (129) | 0 |
Total revenues | (22) | (10) | (143) | (29) |
Expenses | ||||
Loss and LAE | (27) | 6 | 53 | 1 |
Amortization of deferred acquisition costs | (3) | (5) | (6) | (10) |
Interest expense | (4) | (3) | (11) | (10) |
Other operating expenses | (44) | (2) | (142) | (3) |
Total expenses | (78) | (4) | (106) | (22) |
Income (loss) before income taxes | 56 | (6) | (37) | (7) |
Total (provision) benefit for income taxes | (19) | 3 | 9 | 4 |
Equity in net earnings of subsidiaries | (638) | (1,012) | (1,718) | (1,636) |
Net income (loss) | (601) | (1,015) | (1,746) | (1,639) |
Less: noncontrolling interest | (8) | (11) | (22) | (34) |
Net income (loss) | (593) | (1,004) | (1,724) | (1,605) |
Comprehensive income (loss) | $ (689) | $ (962) | $ (2,193) | $ (1,844) |
Subsidiary Information - Con121
Subsidiary Information - Condensed Consolidating Statement of Cash Flows (Details) - USD ($) $ in Millions | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | |
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | $ 354 | $ (189) | ||
Fixed-maturity securities: | ||||
Purchases | (1,615) | (1,028) | ||
Sales | 1,128 | 877 | ||
Maturities | 689 | 861 | ||
Net sales (purchases) of short-term investments | (240) | 80 | ||
Net proceeds from financial guaranty variable entities’ assets | 117 | 590 | ||
Investment in subsidiary | 0 | 0 | ||
Acquisition of CIFG, net of cash acquired | 0 | (435) | ||
Proceeds from sale of subsidiary | 0 | |||
Payment to acquire business | 95 | |||
Other | 58 | (12) | ||
Net cash flows provided by (used in) investing activities | 232 | 933 | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | 0 | |||
Return of capital | 0 | 0 | ||
Dividends paid | (53) | (52) | ||
Repurchases of common stock | (431) | (190) | ||
Repurchases of common stock to pay withholding taxes | (13) | (2) | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | (124) | (567) | ||
Repayment/ extinguishment of long-term debt | (29) | (2) | ||
Proceeds from option exercises | 5 | 6 | ||
Net cash flows provided by (used in) financing activities | (645) | (807) | ||
Effect of foreign exchange rate changes | 4 | (4) | ||
Increase (decrease) in cash | (55) | (67) | ||
Cash and Restricted Cash | 72 | 99 | $ 127 | $ 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 | 503 | 288 | ||
Fixed-maturity securities: | ||||
Purchases | 0 | (4) | ||
Sales | 0 | 4 | ||
Maturities | 0 | 0 | ||
Net sales (purchases) of short-term investments | (11) | (49) | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Acquisition of CIFG, net of cash acquired | 0 | |||
Proceeds from sale of subsidiary | 0 | |||
Payment to acquire business | 0 | |||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | (11) | (49) | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | 0 | |||
Return of capital | 0 | 0 | ||
Dividends paid | (53) | (52) | ||
Repurchases of common stock | (431) | (190) | ||
Repurchases of common stock to pay withholding taxes | (13) | (2) | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Repayment/ extinguishment of long-term debt | 0 | 0 | ||
Proceeds from option exercises | 5 | 6 | ||
Net cash flows provided by (used in) financing activities | (492) | (238) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 0 | 1 | ||
Cash and Restricted Cash | 0 | 1 | 0 | 0 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGUS [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | 175 | 171 | ||
Fixed-maturity securities: | ||||
Purchases | (75) | (44) | ||
Sales | 112 | 0 | ||
Maturities | 7 | 23 | ||
Net sales (purchases) of short-term investments | 218 | (3) | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Investment in subsidiary | (28) | 0 | ||
Acquisition of CIFG, net of cash acquired | 0 | |||
Proceeds from sale of subsidiary | 0 | |||
Payment to acquire business | 0 | |||
Other | 0 | 7 | ||
Net cash flows provided by (used in) investing activities | 234 | (17) | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | 0 | |||
Return of capital | 0 | 0 | ||
Dividends paid | (390) | (223) | ||
Repurchases of common stock | 0 | 0 | ||
Repurchases of common stock to pay withholding taxes | 0 | 0 | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Repayment/ extinguishment of long-term debt | 0 | 0 | ||
Proceeds from option exercises | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | (390) | (223) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 19 | (69) | ||
Cash and Restricted Cash | 20 | 26 | 1 | 95 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGMH [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | 105 | 159 | ||
Fixed-maturity securities: | ||||
Purchases | (15) | (10) | ||
Sales | 12 | 12 | ||
Maturities | 0 | 0 | ||
Net sales (purchases) of short-term investments | 3 | (1) | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Acquisition of CIFG, net of cash acquired | 0 | |||
Proceeds from sale of subsidiary | 0 | |||
Payment to acquire business | 0 | |||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | 0 | 1 | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | 25 | |||
Return of capital | 0 | 0 | ||
Dividends paid | (128) | (158) | ||
Repurchases of common stock | 0 | 0 | ||
Repurchases of common stock to pay withholding taxes | 0 | 0 | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Repayment/ extinguishment of long-term debt | 0 | 0 | ||
Proceeds from option exercises | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | (103) | (158) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 2 | 2 | ||
Cash and Restricted Cash | 2 | 10 | 0 | 8 |
Reportable Legal Entities [Member] | Other Entities [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | 469 | 3 | ||
Fixed-maturity securities: | ||||
Purchases | (1,552) | (970) | ||
Sales | 1,004 | 861 | ||
Maturities | 682 | 838 | ||
Net sales (purchases) of short-term investments | (450) | 133 | ||
Net proceeds from financial guaranty variable entities’ assets | 117 | 590 | ||
Investment in subsidiary | (69) | 4 | ||
Acquisition of CIFG, net of cash acquired | (442) | |||
Proceeds from sale of subsidiary | 139 | |||
Payment to acquire business | 95 | |||
Other | 58 | (12) | ||
Net cash flows provided by (used in) investing activities | 24 | 1,002 | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | 3 | |||
Return of capital | (70) | (4) | ||
Dividends paid | (380) | (429) | ||
Repurchases of common stock | 0 | 0 | ||
Repurchases of common stock to pay withholding taxes | 0 | 0 | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | (124) | (567) | ||
Repayment/ extinguishment of long-term debt | (2) | (2) | ||
Proceeds from option exercises | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | (573) | (1,002) | ||
Effect of foreign exchange rate changes | 4 | (4) | ||
Increase (decrease) in cash | (76) | (1) | ||
Cash and Restricted Cash | 50 | 62 | 126 | 63 |
Consolidation, Eliminations [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | (898) | (810) | ||
Fixed-maturity securities: | ||||
Purchases | 27 | 0 | ||
Sales | 0 | 0 | ||
Maturities | 0 | 0 | ||
Net sales (purchases) of short-term investments | 0 | 0 | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Investment in subsidiary | 97 | (4) | ||
Acquisition of CIFG, net of cash acquired | 7 | |||
Proceeds from sale of subsidiary | (139) | |||
Payment to acquire business | 0 | |||
Other | 0 | (7) | ||
Net cash flows provided by (used in) investing activities | (15) | (4) | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | (28) | |||
Return of capital | 70 | 4 | ||
Dividends paid | 898 | 810 | ||
Repurchases of common stock | 0 | 0 | ||
Repurchases of common stock to pay withholding taxes | 0 | 0 | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Repayment/ extinguishment of long-term debt | (27) | 0 | ||
Proceeds from option exercises | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | 913 | 814 | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 0 | 0 | ||
Cash and Restricted Cash | $ 0 | $ 0 | $ 0 | $ 0 |