Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2018 | May 01, 2018 | |
Document And Entity Information [Abstract] | ||
Entity Registrant Name | ASSURED GUARANTY LTD | |
Entity Central Index Key | 1,273,813 | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2018 | |
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 | 112,361,521 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q1 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets (unaudited) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Investment portfolio: | ||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $9,969 and $10,187) | $ 10,297 | $ 10,674 |
Short-term investments, at fair value | 751 | 627 |
Other invested assets | 103 | 94 |
Total investment portfolio | 11,151 | 11,395 |
Cash | 114 | 144 |
Premiums receivable, net of commissions payable | 944 | 915 |
Ceded unearned premium reserve | 122 | 119 |
Deferred acquisition costs | 100 | 101 |
Salvage and subrogation recoverable | 430 | 572 |
Financial guaranty variable interest entities’ assets, at fair value | 651 | 700 |
Other assets | 507 | 487 |
Total assets | 14,019 | 14,433 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 3,395 | 3,475 |
Loss and loss adjustment expense reserve | 1,299 | 1,444 |
Long-term debt | 1,281 | 1,292 |
Credit derivative liabilities | 237 | 271 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 598 | 627 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 110 | 130 |
Other liabilities | 315 | 355 |
Total liabilities | 7,235 | 7,594 |
Commitments and contingencies (see Note 14) | ||
Common stock ($0.01 par value, 500,000,000 shares authorized; 113,709,322 and 116,020,852 shares issued and outstanding) | 1 | 1 |
Additional paid-in capital | 466 | 573 |
Retained earnings | 6,102 | 5,892 |
Accumulated other comprehensive income, net of tax of $51 and $89 | 214 | 372 |
Deferred equity compensation | 1 | 1 |
Total shareholders’ equity | 6,784 | 6,839 |
Total liabilities and shareholders’ equity | $ 14,019 | $ 14,433 |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets (unaudited) (Parenthetical) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Statement of Financial Position [Abstract] | ||
Fixed maturity securities, available-for-sale, at fair value | $ 9,969 | $ 10,187 |
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) | 113,709,322 | 116,020,852 |
Common stock, shares outstanding (in shares) | 113,709,322 | 116,020,852 |
Accumulated other comprehensive income, tax provision | $ 51 | $ 89 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Operations (unaudited) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Revenues | ||
Net earned premiums | $ 145 | $ 164 |
Net investment income | 101 | 122 |
Net realized investment gains (losses): | ||
Other-than-temporary impairment losses | (11) | (1) |
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income | (3) | 8 |
Net impairment loss | (8) | (9) |
Other net realized investment gains (losses) | 3 | 41 |
Net realized investment gains (losses) | (5) | 32 |
Net change in fair value of credit derivatives: | ||
Realized gains (losses) and other settlements | 2 | 15 |
Net unrealized gains (losses) | 32 | 39 |
Net change in fair value of credit derivatives | 34 | 54 |
Fair value gains (losses) on financial guaranty variable interest entities | 4 | 10 |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 58 |
Commutation gains | 1 | 73 |
Other income (loss) | 13 | 14 |
Total revenues | 293 | 527 |
Expenses | ||
Loss and loss adjustment expenses | (18) | 59 |
Amortization of deferred acquisition costs | 5 | 4 |
Interest expense | 24 | 24 |
Other operating expenses | 65 | 68 |
Total expenses | 76 | 155 |
Income (loss) before income taxes | 217 | 372 |
Provision (benefit) for income taxes | ||
Current | (37) | 51 |
Deferred | 57 | 4 |
Total provision (benefit) for income taxes | 20 | 55 |
Net income (loss) | $ 197 | $ 317 |
Earnings per share: | ||
Basic (in dollars per share) | $ 1.71 | $ 2.53 |
Diluted (in dollars per share) | 1.68 | 2.49 |
Dividends (in dollars per share) | $ 0.16 | $ 0.1425 |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Comprehensive Income (unaudited) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Statement of Comprehensive Income [Abstract] | ||
Net income (loss) | $ 197 | $ 317 |
Unrealized holding gains (losses) arising during the period on: | ||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $(29) and $23 | (122) | 44 |
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(3) and $28 | (11) | 50 |
Unrealized holding gains (losses) arising during the period, net of tax | (133) | 94 |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(2) and $21 | (3) | 39 |
Change in net unrealized gains (losses) on investments | (130) | 55 |
Net unrealized gains (losses) on FG VIE liabilities with recourse attributable to instrument-specific credit risk arising during the period, net of tax provision (benefit) of $(1) (see Note 1) | (4) | 0 |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(1) | (2) | 0 |
Change in net unrealized gains (losses) on FG VIE liabilities with recourse | (2) | 0 |
Other, net of tax provision | 6 | 2 |
Other comprehensive income (loss) | (126) | 57 |
Comprehensive income (loss) | $ 71 | $ 374 |
Condensed Consolidated Stateme6
Condensed Consolidated Statements of Comprehensive Income (unaudited) (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Statement of Comprehensive Income [Abstract] | ||
Investments with no other-than-temporary impairment, tax provision (benefit) | $ (29) | $ 23 |
Investments with other-than-temporary impairment, tax provision (benefit) | (3) | 28 |
Reclassification adjustment for gains (losses) included in net income (loss), tax provision (benefit) | (2) | 21 |
Net unrealized gains (losses) on FG VIE liabilities with recourse attributable to instrument-specific credit risk arising during the period, , net of tax provision (benefit) | (1) | 0 |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) | $ (1) | $ 0 |
Condensed Consolidated Stateme7
Condensed 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, 2016 | $ 149 | |||||
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | $ 317 | |||||
Other comprehensive loss | 57 | |||||
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(1) | 0 | |||||
Ending balance at Mar. 31, 2017 | 206 | |||||
Beginning balance (in shares) at Dec. 31, 2017 | 116,020,852 | |||||
Beginning balance at Dec. 31, 2017 | 6,839 | $ 1 | $ 573 | $ 5,892 | 372 | $ 1 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 197 | 197 | ||||
Dividends ($0.16 per share) | (19) | (19) | ||||
Common stock repurchases (in shares) | (2,787,936) | |||||
Common stock repurchases | (98) | $ 0 | (98) | |||
Share-based compensation and other (in shares) | 476,406 | |||||
Share-based compensation and other | (9) | $ 0 | (9) | 0 | ||
Other comprehensive loss | (126) | (126) | ||||
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(1) | (2) | |||||
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(1) | Accounting Standards Update 2016-01 [Member] | 33 | |||||
Effect of adoption of ASU 2016-01 (see Note 1) | 32 | |||||
Effect of adoption of ASU 2016-01 (see Note 1) | Accounting Standards Update 2016-01 [Member] | (32) | 32 | ||||
Ending balance (in shares) at Mar. 31, 2018 | 113,709,322 | |||||
Ending balance at Mar. 31, 2018 | $ 6,784 | $ 1 | $ 466 | $ 6,102 | $ 214 | $ 1 |
Condensed Consolidated Stateme8
Condensed Consolidated Statement of Shareholders' Equity (unaudited) (Parenthetical) - $ / shares | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Statement of Stockholders' Equity [Abstract] | ||
Dividends, per share (in dollars per share) | $ 0.16 | $ 0.1425 |
Condensed Consolidated Stateme9
Condensed Consolidated Statements of Cash Flows (unaudited) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Statement of Cash Flows [Abstract] | ||
Net cash flows provided by (used in) operating activities | $ 27 | $ 102 |
Fixed-maturity securities: | ||
Purchases | (411) | (517) |
Sales | 409 | 323 |
Maturities | 225 | 265 |
Net sales (purchases) of short-term investments | (116) | 12 |
Net proceeds from paydowns on financial guaranty variable interest entities’ assets | 33 | 46 |
Acquisition of MBIA UK, net of cash acquired | 0 | 95 |
Other | (14) | (13) |
Net cash flows provided by (used in) investing activities | 126 | 211 |
Financing activities | ||
Dividends paid | (18) | (19) |
Repurchases of common stock | (100) | (216) |
Repurchases of common stock to pay withholding taxes | (12) | (12) |
Net paydowns of financial guaranty variable interest entities’ liabilities | (33) | (48) |
Paydown of long-term debt | (19) | (1) |
Proceeds from option exercises | 1 | 2 |
Net cash flows provided by (used in) financing activities | (181) | (294) |
Effect of foreign exchange rate changes | 1 | 2 |
Increase (decrease) in cash and restricted cash | (27) | 21 |
Cash and restricted cash at beginning of period (see Note 10) | 144 | 127 |
Cash and restricted cash at end of period (see Note 10) | 117 | 148 |
Supplemental cash flow information | ||
Income taxes | 10 | (5) |
Interest | $ 21 | $ 8 |
Business and Basis of Presentat
Business and Basis of Presentation | 3 Months Ended |
Mar. 31, 2018 | |
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 (non-financial guaranty 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 condensed 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 material 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 condensed consolidated financial statements are as of March 31, 2018 and cover the three-month period ended March 31, 2018 ( First Quarter 2018 ) and the three-month period ended March 31, 2017 ( First Quarter 2017 ). Certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but is not required for interim reporting purposes, has been condensed or omitted. The year-end balance sheet data was derived from audited financial statements. The unaudited interim condensed 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 condensed 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, 2017 , filed with the U.S. Securities and Exchange Commission (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 Assured Guaranty Municipal Holdings Inc. (AGMH) - have public debt outstanding. See 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. Any such combination will be subject to regulatory and court approvals. As a result, the Company cannot predict when, or if, such combination will be completed, and, if so, what conditions may be attached. Adopted Accounting Standards Financial Instruments In January 2016, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (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. Amendments under this ASU apply to the Company's FG VIE liabilities, which the Company has historically elected to measure through the statement of operations under the fair value option, and to certain equity securities in the Company’s investment portfolio. For FG VIE liabilities with recourse, the portion of the change in fair value caused by changes in instrument specific credit risk (ISCR) must now be separately presented in other comprehensive income (OCI) as opposed to the statement of operations. See Note 9, Consolidated Variable Interest Entities for additional information. Amendments under this ASU also apply to equity securities, except those that are accounted for under the equity method of accounting or that resulted in consolidation of the investee by the Company. For equity securities accounted for at fair value, changes in fair value that previously were recorded in OCI, are recorded in other income in the condensed consolidated statements of operations effective January 1, 2018. Equity securities carried at cost as of December 31, 2017, are recorded at cost less impairment plus or minus the change resulting from observable price changes in orderly transactions for the identical or a similar investment of the same issuer. See Note 10, Investments and Cash for additional information. Effective January 1, 2018, the Company adopted this ASU with a cumulative-effect adjustment to the statement of financial position as of January 1, 2018. This resulted in a reclassification of a net $32 million loss, net of tax, from retained earnings to accumulated OCI (AOCI). See Note 17, Shareholders' Equity, for additional information. 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 to be applied on a modified retrospective basis (i.e. by recording 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 ASU was adopted on January 1, 2018 with no material effect on the condensed consolidated financial statements. Future Application of Accounting Standards 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. It is to be applied using a modified retrospective approach and the ASU is effective for fiscal years and interim periods within those fiscal years, beginning after December 15, 2018. The Company does not expect this ASU to have a material effect on its condensed 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 and is effective for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. The Company intends to adopt this ASU on January 1, 2019. The Company is evaluating the effect that this ASU will have on its condensed consolidated financial statements. The Company currently accounts for its lease agreements where the Company is the lessee as operating leases and, therefore, recognizes its lease expense on a straight-line basis. See Note 14, Commitments and Contingencies for additional information on the Company's leases. 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 be required to 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 instruments such as reinsurance recoverables, loans and held to maturity securities, 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 condensed consolidated financial statements. See Note 10, Investments and Cash for the Company's current accounting policy with respect to available-for-sale securities. |
Acquisitions
Acquisitions | 3 Months Ended |
Mar. 31, 2018 | |
Business Combinations [Abstract] | |
Acquisitions | Acquisitions 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) on January 10, 2017 (the MBIA UK Acquisition Date). 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. In connection with the MBIA UK Acquisition in First Quarter 2017, the Company recognized a $56 million bargain purchase gain and a $2 million gain on settlement of pre-existing relationships. MBIA UK was renamed Assured Guaranty (London) Ltd. and on June 1, 2017, was re-registered as a public limited company (plc). Further, as part of 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, AGLN was sold by AGC to AGM and then contributed by AGM to AGE on June 26, 2017. See Note 1, Business and Basis of Presentation for additional information on the Company's European subsidiaries combination. For additional information on the acquisition of MBIA UK, including the purchase price and the allocation of the purchase price to net assets acquired and the resulting bargain purchase gain and the gain on settlement of pre-existing relationships, see 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, 2017. |
Ratings
Ratings | 3 Months Ended |
Mar. 31, 2018 | |
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) (1/23/18) A2 (stable) (8/8/16) — AGC AA (stable) (6/26/17) AA (stable) (12/1/17) (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, see Note 6, Contracts Accounted for as Insurance, and Note 13, Reinsurance and Other Monoline Exposures. |
Outstanding Exposure
Outstanding Exposure | 3 Months Ended |
Mar. 31, 2018 | |
Outstanding Exposure Disclosure | |
Outstanding Exposure | Outstanding Exposure The Company primarily writes financial guaranty contracts in insurance form. Until 2009, the Company also wrote some of its financial guaranty contracts in credit derivative form, and has acquired or reinsured portfolios both before and after 2009 that include financial guaranty contracts in credit derivative form. Whether written as an insurance contract or as a credit derivative, the Company considers these financial guaranty contracts. The Company also writes a relatively small amount of non-financial guaranty insurance. 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 exposures, it may underwrite new issuances that it views as below-investment-grade (BIG). The Company diversifies its insured portfolio across asset classes and, in the structured finance portfolio, requires rigorous subordination or collateralization requirements. Reinsurance may be used in order to reduce net exposure to certain insured transactions. Public finance obligations insured by the Company consist primarily of general obligation bonds supported by the taxing powers of U.S. state or municipal governmental authorities, as well as tax-supported bonds, revenue bonds and other obligations supported by covenants from state or municipal governmental authorities or other municipal obligors to impose and collect fees and charges for public services or specific infrastructure projects. The Company also includes within public finance obligations those obligations backed by the cash flow from leases or other revenues from projects serving substantial public purposes, including utilities, toll roads, health care facilities and government office buildings. The Company also includes within public finance similar obligations issued by territorial and non-U.S. sovereign and sub-sovereign issuers and governmental authorities. Structured finance obligations insured by the Company are generally issued by special purpose entities, including VIEs, and backed by pools of assets having an ascertainable cash flow or market value or other specialized financial obligations. Some of these VIEs are consolidated as described in Note 9, Consolidated Variable Interest Entities. Unless otherwise specified, the outstanding par and debt service amounts presented in this note include outstanding exposures on VIEs whether or not they are consolidated. Surveillance Categories The Company segregates its insured portfolio into investment grade and BIG surveillance categories to facilitate the appropriate allocation of resources to monitoring and loss mitigation efforts and to aid in establishing the appropriate cycle for periodic review for each exposure. BIG exposures include all exposures with internal credit ratings below BBB-. The Company’s internal credit ratings are based on internal assessments of the likelihood of default and loss severity in the event of default. Internal credit ratings are expressed on a ratings scale similar to that used by the rating agencies and are generally reflective of an approach similar to that employed by the rating agencies, except that the Company's internal credit ratings focus on future performance rather than lifetime performance. The Company monitors its insured portfolio and refreshes its internal credit ratings on individual exposures in quarterly, semi-annual or annual cycles based on the Company’s view of the exposure’s quality, loss potential, volatility and sector. Ratings on exposures in sectors identified as under the most stress or with the most potential volatility are reviewed every quarter. For assumed exposures, the Company may use the ceding company’s credit ratings of transactions where it is impractical for it to assign its own rating. Exposures identified as BIG are subjected to further review to determine the probability of a loss. See Note 5, Expected Loss to be Paid, for additional information. Surveillance personnel then assign each BIG transaction to the appropriate BIG surveillance category based upon whether a future loss is expected and whether a claim has been paid. The Company uses a tax-equivalent yield, which reflects long-term trends in interest rates to calculate the present value of projected payments and recoveries and determine whether a future loss is expected in order to assign the appropriate BIG surveillance category to a transaction. On the other hand, the Company uses risk-free rates, which are determined each quarter to calculate 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. Unless otherwise noted, ratings disclosed herein on the Company's insured portfolio reflect its internal ratings. The Company classifies those portions of risks benefiting from reimbursement obligations collateralized by eligible assets held in trust in acceptable reimbursement structures as the higher of 'AA' or their current internal rating. Financial Guaranty Exposure 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 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 March 31, 2018 and December 31, 2017 , the Company excluded $2.0 billion and $2.0 billion , respectively, of net par attributable 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 March 31, December 31, March 31, December 31, (in millions) Public finance $ 382,557 $ 393,010 $ 375,747 $ 386,092 Structured finance 14,676 15,482 14,270 15,026 Total financial guaranty $ 397,233 $ 408,492 $ 390,017 $ 401,118 In addition to amounts shown in the tables above, the Company had outstanding commitments to provide guaranties of $7 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 March 31, 2018 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 $ 866 0.4 % $ 2,568 5.9 % $ 1,654 15.5 % $ 289 21.8 % $ 5,377 2.1 % AA 27,283 13.6 206 0.5 3,763 35.2 68 5.1 31,320 12.2 A 115,123 57.2 14,309 32.7 1,405 13.2 213 16.1 131,050 51.0 BBB 51,419 25.5 24,909 56.9 768 7.2 647 48.9 77,743 30.2 BIG 6,646 3.3 1,755 4.0 3,091 28.9 107 8.1 11,599 4.5 Total net par outstanding $ 201,337 100.0 % $ 43,747 100.0 % $ 10,681 100.0 % $ 1,324 100.0 % $ 257,089 100.0 % Financial Guaranty Portfolio by Internal Rating As of December 31, 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 $ 877 0.4 % $ 2,541 5.9 % $ 1,655 14.7 % $ 319 22.5 % $ 5,392 2.1 % AA 30,016 14.3 205 0.5 3,915 34.9 76 5.4 34,212 12.9 A 118,620 56.7 13,936 32.5 1,630 14.5 210 14.9 134,396 50.7 BBB 52,739 25.2 24,509 57.1 763 6.8 703 49.7 78,714 29.7 BIG 7,140 3.4 1,731 4.0 3,261 29.1 106 7.5 12,238 4.6 Total net par outstanding $ 209,392 100.0 % $ 42,922 100.0 % $ 11,224 100.0 % $ 1,414 100.0 % $ 264,952 100.0 % Components of BIG Portfolio Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of March 31, 2018 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 1,875 $ 391 $ 4,380 $ 6,646 $ 201,337 Non-U.S. public finance 1,476 279 — 1,755 43,747 Public finance 3,351 670 4,380 8,401 245,084 Structured finance: U.S. Residential mortgage-backed securities (RMBS) 331 292 2,043 2,666 4,678 Triple-X life insurance transactions — — 85 85 1,194 Trust preferred securities (TruPS) 99 — — 99 1,188 Other structured finance 199 79 70 348 4,945 Structured finance 629 371 2,198 3,198 12,005 Total $ 3,980 $ 1,041 $ 6,578 $ 11,599 $ 257,089 Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 31, 2017 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,368 $ 663 $ 4,109 $ 7,140 $ 209,392 Non-U.S. public finance 1,455 276 — 1,731 42,922 Public finance 3,823 939 4,109 8,871 252,314 Structured finance: U.S. RMBS 374 304 2,083 2,761 4,818 Triple-X life insurance transactions — — 85 85 1,199 TruPS 161 — — 161 1,349 Other structured finance 170 118 72 360 5,272 Structured finance 705 422 2,240 3,367 12,638 Total $ 4,528 $ 1,361 $ 6,349 $ 12,238 $ 264,952 Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of March 31, 2018 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 $ 3,822 $ 158 $ 3,980 134 5 139 Category 2 1,024 17 1,041 43 3 46 Category 3 6,495 83 6,578 149 8 157 Total BIG $ 11,341 $ 258 $ 11,599 326 16 342 Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 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 $ 4,301 $ 227 $ 4,528 139 7 146 Category 2 1,344 17 1,361 46 3 49 Category 3 6,255 94 6,349 150 9 159 Total BIG $ 11,900 $ 338 $ 12,238 335 19 354 _____________________ (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 March 31, 2018 , all of which was rated BIG. Puerto Rico experienced significant general fund budget deficits and a challenging economic environment since at least the financial crisis. Beginning on January 1, 2016, a number of Puerto Rico exposures have defaulted on bond payments, and the Company has now paid claims on all of its Puerto Rico exposures except for Puerto Rico Aqueduct and Sewer Authority (PRASA), Municipal Finance Agency (MFA) and University of Puerto Rico (U of PR). On November 30, 2015 and December 8, 2015, the former governor of Puerto Rico (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 exposures insured by the Company subject to clawback are shown in the table “Puerto Rico Net Par Outstanding”. 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 established 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. In May and July 2017 the Oversight Board filed petitions under Title III of PROMESA with the Federal District Court of Puerto Rico for the Commonwealth, the Puerto Rico Sales Tax Financing Corporation (COFINA), PRHTA, and Puerto Rico Electric Power Authority (PREPA). 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). 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 legal 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, and rebuilding and economic recovery are expected to take years. While the federal government is expected to provide 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, have declined in the aftermath of the storm, and out migration to the mainland also has increased. In December 2017, legislation known as the 2017 Tax Cuts and Jobs Act (Tax Act) was enacted. Many of the provisions under the new law are geared toward increasing production in the U.S. and discouraging companies from having operations or intangibles off-shore. Since Puerto Rico is considered a foreign territory under the U.S. tax system, it is possible the new law may have adverse consequences to Puerto Rico’s economy. However, the Company is unable to predict the full impact of the new law on Puerto Rico. The Commonwealth released fiscal plans for itself and for a number of its authorities and public corporations, and in response to notices of violation from the Oversight Board and the enactment of a significant federal disaster relief package by the U.S. Congress, Puerto Rico released one or more revised fiscal plans for the Commonwealth and a number of its authorities and public corporations. The most recent fiscal plans submitted by the Commonwealth for the Commonwealth, PRHTA, PREPA and PRASA were released on April 5, 2018. The Commonwealth and the Oversight Board did not agree on final fiscal plans, and on April 18 and April 19, 2018, the Oversight Board released its own versions of fiscal plans for the Commonwealth, PRHTA, PREPA and PRASA, which it certified on April 19 or 20, 2018. The current governor of Puerto Rico (Governor) has announced that he will refuse to implement certain aspects of the fiscal plans certified by the Oversight Board, and there has been speculation in the press that the differences between the Governor and the Oversight Board will be litigated. The certified Commonwealth fiscal plan (which the Company believes covers its general obligations as well as obligations of certain of its other authorities and public corporations) indicates a primary budget of $6.7 billion that would be available for debt service over the six -year forecast period (as compared to contractual debt service of approximately $15.5 billion over the same period). The certified PRHTA fiscal plan projects very limited capacity to pay debt service over the six -year forecast period, as the Commonwealth anticipates continuing to retain approximately three-fourths of PRHTA's total revenues. The certified PREPA fiscal plan indicates that no funds will be available for legacy debt service payments over the six -year forecast period unless rates are adjusted. Additionally, the Governor has announced an intention to privatize PREPA. The certified PRASA fiscal plan projects cash flows available for debt service to equal approximately 56% of aggregate debt service during the six -year projection period, based on projection assumptions (including receipt of certain federal funding). The Company does not believe the certified fiscal plans for the Commonwealth, PRHTA, PREPA or PRASA comply with certain mandatory requirements 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. See “Puerto Rico Recovery Litigation” below. 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. 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 March 31, 2018 , 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. Despite the requirements of Article VI of its Constitution, the Commonwealth defaulted on the debt service payment due on July 1, 2016, and the Company has been making claim payments on these bonds since that date. 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 March 31, 2018 , 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. Despite the requirements of Article VI of its Constitution, the PBA defaulted on most of the debt service payment due on July 1, 2016, and the Company has been making claim payments on these bonds since then. Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA. As of March 31, 2018 , 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 reserve 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 has been making claim payments on these bonds since that date. As noted above, the Oversight Board filed a petition under Title III of PROMESA with respect to PRHTA. PRCCDA. As of March 31, 2018 , 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 has been making claim payments on these bonds since that date. PRIFA. As of March 31, 2018 , 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 has been making claim payments on the PRIFA bonds since January 2016. Other Public Corporations PREPA. As of March 31, 2018 , 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 a Restructuring Support Agreement (RSA) with PREPA, an ad hoc group of uninsured bondholders and a group of fuel-line lenders that, subject to certain conditions, would have resulted in, among other things, modernization of the utility and a restructuring of current debt. The Oversight Board did not certify the RSA under Title VI of PROMESA as the Company believes was required by PROMESA, but rather, on July 2, 2017, commenced proceedings for PREPA under Title III of PROMESA. The Company has been making claim payments on these bonds since July 1, 2017. PRASA. As of March 31, 2018 , the Company had $373 million of insured net par outstanding of 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. MFA. As of March 31, 2018 , 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 March 31, 2018 , the Company had $273 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 COFINA under Title III of PROMESA. COFINA bond debt service payments were not made on August 1, 2017, and the Company made its first claim payments on these bonds. The Company has continued to make claim payments on these bonds. U of PR. As of March 31, 2018 , 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 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 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 AGM to intervene in this matter. 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 January 30, 2018, the district court rendered an opinion dismissing the complaint and holding, among other things, that (i) even though the special revenue provisions of the Bankruptcy Code protect a lien on pledged special revenues, those provisions do not mandate the turnover of pledged special revenues to the payment of bonds and (ii) actions to enforce liens on pledged special revenues remain stayed. On February 9, 2018, AGC and AGM filed a notice of appeal of the district court’s decision to the United States Court of Appeals for the First Circuit. 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 are appealing the trial court's decision with the United States Court of Appeals for the First Circuit. Puerto Rico Par and Debt Service Schedules All Puerto Rico exposures are internally rated BIG. The following tables show the Company’s insured exposure to general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. Puerto Rico Gross Par and Gross Debt Service Outstanding Gross Par Outstanding Gross Debt Service Outstanding March 31, 2018 December 31, 2017 March 31, 2018 December 31, 2017 (in millions) Exposure to Puerto Rico $ 5,187 $ 5,186 $ 8,385 $ 8,514 Puerto Rico Net Par Outstanding As of As of (in millions) Commonwealth Constitutionally Guaranteed Commonwealth of Puerto Rico - General Obligation Bonds (1) $ 1,419 $ 1,419 PBA 141 141 Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA (Transportation revenue) (1) 882 882 PRHTA (Highways revenue) (1) 495 495 PRCCDA 152 152 PRIFA 18 18 Other Public Corporations PREPA (1) 853 853 PRASA 373 373 MFA 360 360 COFINA (1) 273 272 U of PR 1 1 Total net exposure to Puerto Rico $ 4,967 $ 4,966 ____________________ (1) As of the date of this filing, the Oversight Board has certified a filing under Title III of PROMESA for these exposures. The following table shows the scheduled amortization of the insured general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. The Company guarantees payments of interest and principal when those amounts are scheduled to be paid and cannot be required to pay on an accelerated basis. In the event that obligors default on their obligations, the Company would only be required to pay the shortfall between the principal and interest due in any given period and the amount paid by the obligors. Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt |
Expected Loss to be Paid
Expected Loss to be Paid | 3 Months Ended |
Mar. 31, 2018 | |
Expected Losses [Abstract] | |
Expected Loss to be Paid | Expected Loss to be Paid This note provides information regarding expected claim payments to be made under all contracts in the insured portfolio. Loss Estimation Process 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, sector-driven loss severity assumptions and/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, 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 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, see 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, 2017 . In some instances, the terms of the Company's policy gives it the option to pay principal losses that have been recognized in the transaction but which it is not yet required to pay, thereby reducing the amount of guaranteed interest due in the future. The Company has sometimes exercised this option, which uses cash but reduces projected future losses. The following tables present a roll forward of net expected loss to be paid for all contracts. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 0.0% to 3.11% with a weighted average of 2.82% as of March 31, 2018 and 0.00% to 2.78% with a weighted average of 2.38% as of December 31, 2017 . Expected losses to be paid for transactions denominated in currencies other than the U.S. dollar represented approximately 3.5% and 3.7% of the total as of March 31, 2018 and December 31, 2017 , respectively. Net Expected Loss to be Paid Roll Forward First Quarter 2018 2017 (in millions) Net expected loss to be paid, beginning of period $ 1,303 $ 1,198 Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 — 21 Economic loss development (benefit) due to: Accretion of discount 8 8 Changes in discount rates (6 ) 11 Changes in timing and assumptions (26 ) 28 Total economic loss development (benefit) (24 ) 47 Net (paid) recovered losses 19 (22 ) Net expected loss to be paid, end of period $ 1,298 $ 1,244 Net Expected Loss to be Paid Roll Forward by Sector First Quarter 2018 Net Expected Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 1,157 $ (39 ) $ (111 ) $ 1,007 Non-U.S. public finance 46 (3 ) — 43 Public finance 1,203 (42 ) (111 ) 1,050 Structured finance: U.S. RMBS 73 16 130 219 Other structured finance 27 2 0 29 Structured finance 100 18 130 248 Total $ 1,303 $ (24 ) $ 19 $ 1,298 Net Expected Loss to be Paid Roll Forward by Sector First Quarter 2017 Net Expected Net Expected Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 871 $ — $ 124 $ (25 ) $ 970 Non-U.S. public finance 33 13 (5 ) — 41 Public finance 904 13 119 (25 ) 1,011 Structured finance: U.S. RMBS 206 — (22 ) 13 197 Other structured finance 88 8 (50 ) (10 ) 36 Structured finance 294 8 (72 ) 3 233 Total $ 1,198 $ 21 $ 47 $ (22 ) $ 1,244 ____________________ (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 $5 million and $2 million in loss adjustment expenses (LAE) for First Quarter 2018 and 2017 , respectively. (2) Includes expected LAE to be paid of $19 million as of March 31, 2018 and $23 million as of December 31, 2017 . 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 As of First Quarter 2018 First Quarter 2017 (in millions) Financial guaranty insurance $ 1,211 $ 1,226 $ (33 ) $ 66 FG VIEs (1) and other 93 91 2 (4 ) Credit derivatives (2) (6 ) (14 ) 7 (15 ) Total $ 1,298 $ 1,303 $ (24 ) $ 47 ___________________ (1) See Note 9, Consolidated Variable Interest Entities. (2) See Note 8, Contracts Accounted for as Credit Derivatives. Selected U.S. Public Finance Transactions The Company insured 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 March 31, 2018 , all of which was BIG. For additional information regarding the Company's exposure to general obligations of the Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations, see "Exposure to Puerto Rico" in Note 4, Outstanding Exposure. As of March 31, 2018, the Company had insured $341 million net par outstanding of general obligation bonds issued by the City of Hartford, Connecticut, most of which was rated BIG at December 31, 2017. In First Quarter 2018, the State of Connecticut entered into a contract assistance agreement with the City of Hartford under which the state will pay the debt service costs of the City’s general obligation bonds, including those insured by the Company. As a result, the Company reduced the corresponding expected losses as of March 31, 2018 and upgraded this exposure to investment grade. The Company had approximately $19 million of net par exposure as of March 31, 2018 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” at the end of this note. On February 25, 2015, a plan of adjustment resolving the bankruptcy filing of the City of Stockton, California under chapter 9 of the U.S. Bankruptcy Code became effective. As of March 31, 2018 , the Company’s net par subject to the plan consisted 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 projected that its total net expected loss across its troubled U.S. public finance exposures as of March 31, 2018 including those mentioned above, would be $1,007 million , compared with a net expected loss of $1,157 million as of December 31, 2017 . The economic benefit in First Quarter 2018 was $39 million , which was primarily attributable to the State of Connecticut's agreement to pay the debt service costs of certain bonds of the City of Hartford, including the bonds insured by the Company. Selected Non - U.S. Public Finance Transactions The Company insures and reinsures transactions 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 exposures is $470 million and $73 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 exposures is $207 million , all of which is rated BIG. The Company also insures an obligation backed by the availability and toll revenues of a major arterial road into a city in the U.K. with $223 million of net par outstanding as of March 31, 2018 . This transaction has been underperforming due to higher costs compared with expectations at underwriting. In First Quarter 2018, the Company changed its traffic assumptions for this road, resulting in a benefit. These transactions, together with other non-U.S. public finance insured obligations, had expected loss to be paid of $43 million as of March 31, 2018 , compared with $46 million as of December 31, 2017 . The economic benefit of approximately $3 million during First Quarter 2018 was attributable mainly to the U.K. arterial road mentioned above. 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 representation and warranty (R&W) recoveries/payables to the projected performance of the collateral over time. The resulting projected claim payments or reimbursements are then discounted using risk-free rates. 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. In First Quarter 2018 , the economic loss development was $24 million for first lien U.S. RMBS and the economic benefit was $8 million for second lien U.S. RMBS. In First Quarter 2017 , the economic benefit was $9 million for first lien U.S. RMBS and $13 million for second lien U.S. RMBS. U.S. First Lien RMBS Loss Projections: Alt-A First Lien, Option ARM, Subprime and Prime The majority of projected losses in first lien RMBS transactions are expected to come from non-performing mortgage loans (those that are or in the past twelve months have been two or more payments behind, have been modified, are in foreclosure, or have been foreclosed upon). Changes in the amount of non-performing loans from the amount projected in the previous period are one of the primary drivers of loss development in this portfolio. In order to determine the number of defaults resulting from these delinquent and foreclosed loans, the Company applies a liquidation rate assumption to loans in each of various non-performing categories. The Company arrived at its liquidation rates based on data purchased from a third party provider and assumptions about how delays in the foreclosure process and loan modifications may ultimately affect the rate at which loans are liquidated. Each quarter the Company reviews the most recent twelve months of this data and (if necessary) adjusts its liquidation rates based on its observations. The following table shows liquidation assumptions for various non-performing categories. First Lien Liquidation Rates March 31, 2018 December 31, 2017 Delinquent/Modified in the Previous 12 Months Alt A and Prime 20% 20% Option ARM 20 20 Subprime 20 20 30 – 59 Days Delinquent Alt A and Prime 30 30 Option ARM 35 35 Subprime 45 40 60 – 89 Days Delinquent Alt A and Prime 40 40 Option ARM 45 50 Subprime 50 50 90+ Days Delinquent Alt A and Prime 45 55 Option ARM 55 60 Subprime 55 55 Bankruptcy Alt A and Prime 45 45 Option ARM 50 50 Subprime 40 40 Foreclosure Alt A and Prime 55 65 Option ARM 65 70 Subprime 65 65 Real Estate Owned All 100 100 While the Company uses liquidation rates as described above to project defaults of non-performing loans (including current loans modified or delinquent within the last 12 months), it projects defaults on presently current loans by applying a conditional default rate (CDR) trend. The start of that CDR trend is based on the defaults the Company projects will emerge from currently nonperforming, recently nonperforming and modified loans. The total amount of expected defaults from the non-performing loans is translated into a constant CDR ( i.e ., the CDR plateau), which, if applied for each of the next 36 months, would be sufficient to produce approximately the amount of defaults that were calculated to emerge from the various delinquency categories. The CDR thus calculated individually on the delinquent collateral pool for each RMBS is then used as the starting point for the CDR curve used to project defaults of the presently performing loans. In the 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 5.25 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 As of As of Range Weighted Average Range Weighted Average Alt-A First Lien Plateau CDR 1.4 % - 9.2% 4.7% 1.3 % – 9.8% 5.2% Final CDR 0.1 % - 0.5% 0.2% 0.1 % – 0.5% 0.3% Initial loss severity: 2005 and prior 60% 60% 2006 80% 80% 2007+ 70% 70% Option ARM Plateau CDR 1.4 % - 7.8% 5.8% 2.5 % – 7.0% 5.9% Final CDR 0.1 % - 0.4% 0.3% 0.1 % – 0.3% 0.3% Initial loss severity: 2005 and prior 60% 60% 2006 70% 70% 2007+ 75% 75% Subprime Plateau CDR 4.2 % - 11.8% 7.7% 3.5 % – 13.1% 7.8% Final CDR 0.2 % - 0.6% 0.4% 0.2 % – 0.7% 0.4% Initial loss severity: 2005 and prior 80% 80% 2006 85% 90% 2007+ 95% 95% 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 December 31, 2017 . In estimating expected losses, the Company modeled and probability weighted sensitivities for first lien transactions by varying its assumptions of how fast a recovery is expected to occur. One of the variables used to model sensitivities was how quickly the CDR returned to its modeled equilibrium, which was defined as 5% of the initial CDR. The Company also stressed CPR and the speed of recovery of loss severity rates. The Company probability weighted a total of five scenarios as of March 31, 2018 . Total expected loss to be paid on all first lien U.S. RMBS was $152 million and $123 million as of March 31, 2018 and December 31, 2017 , respectively. The Company used a similar approach to establish its pessimistic and optimistic scenarios as of March 31, 2018 as it used as of December 31, 2017 , 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 $65 million for all first lien U.S. RMBS 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 $41 million for all first lien U.S. RMBS 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. 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 loan liquidations, followed by 28 months of decrease to the steady state CDR, the same as of December 31, 2017 . 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 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 . When a second lien loan defaults, there is generally a very low recovery. The Company assumed as of March 31, 2018 that it will generally recover only 2% of future defaulting collateral at the time of charge-off, with additional amounts of post charge-off recoveries assumed to come in over time. This is the same assumption used as of December 31, 2017 . 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 December 31, 2017 . To the extent that prepayments differ from projected levels it could materially change the Company’s projected excess spread and losses. In estimating expected losses, the Company modeled and probability weighted five possible CDR curves applicable to the period preceding the return to the long-term steady state CDR. The Company used five scenarios at March 31, 2018 and December 31, 2017 . The Company believes that the level of the elevated CDR and the length of time it will persist and the ultimate prepayment rate 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. Total expected loss to be paid on all second lien U.S. RMBS was $67 million as of March 31, 2018 and total expected recovery on all second lien U.S. RMBS was $50 million as of December 31, 2017 , respectively. This change was due primarily to cash received in 2018 from a favorable settlement of R&W litigation reached in late December 2017. 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 As of As of Range Weighted Average Range Weighted Average Plateau CDR 2.5 % - 18.4% 10.6% 2.7 % - 19.9% 11.4% Final CDR trended down to 2.5 % - 3.2% 2.5% 2.5 % - 3.2% 2.5% Liquidation rates: Delinquent/Modified in the Previous 12 Months 20% 20% 30 – 59 Days Delinquent 40 45 60 – 89 Days Delinquent 60 60 90+ Days Delinquent 75 75 Bankruptcy 55 55 Foreclosure 65 70 Real Estate Owned 100 100 Loss severity 98% 98% 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 $11 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 $12 million for HELOC transactions. Breaches of Representations and Warranties As of March 31, 2018 , the Company had a net R&W receivable of $19 million from R&W counterparties, compared to a net R&W receivable of $117 million as of December 31, 2017 . The decrease was due primarily to cash received in 2018 from a favorable settlement of R&W litigation reached in late December 2017. Other Structured Finance The Company had $1.2 billion of net par exposure to financial guaranty triple-X life insurance transactions as of March 31, 2018 , of which $85 million in net par was 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 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 BIG-rated transactions, material amounts of their assets were invested in U.S. RMBS. The Company has insured or reinsured $1.2 billion net par of student loan securitizations issued by private issuers that are classified as structured finance. Of this amount, $113 million is rated BIG. In general, the projected 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 Company projected that its total net expected loss across its troubled non-RMBS structured finance exposures as of March 31, 2018 including those mentioned above was $29 million and is primarily attributable to structured student loans. The economic loss development in First Quarter 2018 was $2 million . Recovery Litigation In the ordinary course of their respective businesses, certain of AGL's subsidiaries assert claims in legal proceedings against third parties to recover losses paid in prior periods or prevent losses in the future. Public Finance Transactions The Company has asserted claims in a number of legal proceedings in connection with its exposure to Puerto Rico. See Note 4, Outstanding Exposure, for a discussion of the Company's exposure to Puerto Rico and related recovery litigation being pursued by the Company. On November 1, 2013, Radian Asset Assurance Inc. (Radian Asset) commenced a declaratory judgment action in the U.S. District Court for the Southern District of Mississippi against Madison County, Mississippi (County) and the Parkway East Public Improvement District (District) to establish its rights under a contribution agreement from the County supporting certain special assessment bonds issued by the District and insured by Radian Asset (now AGC). As of March 31, 2018 , $19 million of such bonds were outstanding. The County maintained that its payment obligation is limited to two years of annual debt service, while AGC contended the County’s obligations under the contribution agreement continue so long as the bonds remain outstanding. On April 27, 2016, the Court granted AGC's motion for summary judgment, agreeing with AGC's interpretation of the County's obligations. The County appealed the District Court’s summary judgment ruling to the United States Court of Appeals for the Fifth Circuit, and on May 31, 2017, the appellate court reversed the District Court’s ruling and remanded the matter to the District Court. In March 2018, the County, the District, and AGC executed a settlement agreement which formalizes the procedures related to the disposition of assessments and of the properties that have defaulted. The agreement also provides for the County-owned property to be conveyed to the District, which, to the extent practicable, is obligated to lease, sell or otherwise dispose of the property to maximize pledged revenues. Any such actions will require AGC’s consent. RMBS Transactions On November 26, 2012, CIFG Assurance North America Inc. (CIFGNA) filed a complaint in the Supreme Court of the State of New York against JP Morgan Securities LLC (JP Morgan) for material misrepresentation in the inducement of insurance and common law fraud, alleging that JP Morgan fraudulently induced CIFGNA to insure $400 million of securities issued by ACA ABS CDO 2006-2 Ltd. and $325 million of securities issued by Libertas Preferred Funding II, Ltd. On June 26, 2015, the Court dismissed with prejudice CIFGNA’s material misrepresentation in the inducement of insurance claim and dismissed without prejudice CIFGNA’s common law fraud claim. On September 24, 2015, the Court denied CIFGNA’s motion to amend but allowed CIFGNA to re-plead a cause of action for common law fraud. On November 20, 2015, CIFGNA filed a motion for leave to amend its complaint to re-plead common law fraud. On April 29, 2016, CIFGNA filed an appeal to reverse the Court’s decision dismissing CIFGNA’s material misrepresentation |
Contracts Accounted for as Insu
Contracts Accounted for as Insurance | 3 Months Ended |
Mar. 31, 2018 | |
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. See 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 First Quarter 2018 2017 (in millions) Scheduled net earned premiums $ 88 $ 103 Accelerations: Refundings 46 56 Terminations 6 2 Total Accelerations 52 58 Accretion of discount on net premiums receivable 4 3 Financial guaranty insurance net earned premiums 144 164 Non-financial guaranty net earned premiums 1 0 Net earned premiums (1) $ 145 $ 164 ___________________ (1) Excluded $3 million and $4 million for First Quarter 2018 and 2017 , respectively, related to consolidated FG VIEs. Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward First Quarter 2018 2017 (in millions) December 31, $ 915 $ 576 Less: Non-financial guaranty insurance premium receivable 1 0 FG insurance premiums receivable 914 576 Premiums receivable from acquisitions (see Note 2) — 270 Gross written premiums on new business, net of commissions (2) 75 110 Gross premiums received, net of commissions (63 ) (92 ) Adjustments: Changes in the expected term (3 ) (1 ) Accretion of discount, net of commissions on assumed business (4 ) 4 Foreign exchange translation 24 9 FG insurance premium receivable (1) 943 876 Non-financial guaranty insurance premium receivable 1 0 March 31, $ 944 $ 876 ____________________ (1) Excludes $9 million and $11 million as of March 31, 2018 and March 31, 2017 , respectively, related to consolidated FG VIEs. (2) For transactions where the Company replaces a previous Assured Guaranty financial guaranty contract, gross premiums written represents only the incremental gross premium written in excess of the original gross premiums written. Foreign exchange translation relates to installment premiums receivable denominated in currencies other than the U.S. dollar. Approximately 74% , 72% and 68% of installment premiums at March 31, 2018 , December 31, 2017 and March 31, 2017 , 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) 2018 (April 1 - June 30) $ 39 2018 (July 1 - September 30) 27 2018 (October 1 - December 31) 18 2019 86 2020 98 2021 80 2022 72 2023-2027 296 2028-2032 198 2033-2037 109 After 2037 108 Total(1) $ 1,131 ____________________ (1) Excluded expected cash collections on FG VIEs of $12 million . Scheduled Financial Guaranty Insurance Net Earned Premiums As of (in millions) 2018 (April 1 - June 30) $ 87 2018 (July 1 - September 30) 84 2018 (October 1 - December 31) 81 Subtotal 2018 252 2019 292 2020 268 2021 244 2022 222 2023-2027 864 2028-2032 569 2033-2037 330 After 2037 286 Net deferred premium revenue(1) 3,327 Future accretion 181 Total future net earned premiums $ 3,508 ____________________ (1) Excluded scheduled net earned premiums on consolidated FG VIEs of $73 million and non-financial guaranty business net earned premium of $8 million . Selected Information for Financial Guaranty Insurance Policies Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 943 $ 914 Gross deferred premium revenue 1,188 1,205 Weighted-average risk-free rate used to discount premiums 2.2 % 2.3 % Weighted-average period of premiums receivable (in years) 9.2 9.2 Financial Guaranty Insurance Losses Insurance Contracts' Loss Information The following table provides information on net reserve (salvage), comprised of loss and LAE reserves and salvage and subrogation recoverable, both net of reinsurance. The Company used risk-free rates for U.S. dollar denominated financial guaranty insurance obligations that ranged from 0.0% to 3.11% with a weighted average of 2.82% as of March 31, 2018 and 0.0% to 2.78% with a weighted average of 2.39% as of December 31, 2017 . Net Reserve (Salvage) As of As of (in millions) Public finance: U.S. public finance $ 771 $ 901 Non-U.S. public finance 21 21 Public finance 792 922 Structured finance: U.S. RMBS 81 (59 ) Other structured finance 35 40 Structured finance 116 (19 ) Subtotal 908 903 Other recoverable (payable) (3 ) (4 ) Subtotal 905 899 Elimination of losses attributable to FG VIEs (60 ) (55 ) Total $ 845 $ 844 Components of Net Reserves (Salvage) As of As of (in millions) Loss and LAE reserve $ 1,299 $ 1,444 Reinsurance recoverable on unpaid losses (1) (38 ) (44 ) Loss and LAE reserve, net 1,261 1,400 Salvage and subrogation recoverable (430 ) (572 ) Salvage and subrogation payable(2) 17 20 Other payable (recoverable) (1) (3 ) (4 ) Salvage and subrogation recoverable, net, and other recoverable (416 ) (556 ) Net reserves (salvage) $ 845 $ 844 ____________________ (1) Recorded as a component of other assets in condensed consolidated balance sheets. (2) Recorded as a component of other liabilities in condensed consolidated balance sheets. 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 (and therefore recognized in income but not yet received), 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) $ 1,211 Contra-paid, net 60 Salvage and subrogation recoverable, net of reinsurance 413 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (1,260 ) Other recoverable (payable) 3 Net expected loss to be expensed (present value) (2) $ 427 ____________________ (1) See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid. (2) Excluded $48 million as of March 31, 2018 , 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) 2018 (April 1 – June 30) $ 9 2018 (July 1 – September 30) 10 2018 (October 1 – December 31) 10 Subtotal 2018 29 2019 42 2020 39 2021 35 2022 32 2023-2027 126 2028-2032 77 2033-2037 35 After 2037 12 Net expected loss to be expensed 427 Future accretion 86 Total expected future loss and LAE $ 513 The following table presents the loss and LAE recorded in the condensed consolidated statements of operations by sector for insurance contracts. Amounts presented are net of reinsurance. Loss and LAE Reported on the Condensed Consolidated Statements of Operations Loss (Benefit) First Quarter 2018 2017 (in millions) Public finance: U.S. public finance $ (28 ) $ 112 Non-U.S. public finance (1 ) (3 ) Public finance (29 ) 109 Structured finance: U.S. RMBS 22 (9 ) Other structured finance (5 ) (39 ) Structured finance 17 (48 ) Loss and LAE on insurance contracts before FG VIE consolidation (12 ) 61 Gain (loss) related to FG VIE consolidation (6 ) (2 ) Loss and LAE $ (18 ) $ 59 The following table provides information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of March 31, 2018 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) 134 (11 ) 43 (1 ) 149 (7 ) 326 — 326 Remaining weighted-average contract period (in years) 8.7 6.9 11.9 2.4 10.0 9.4 9.7 — 9.7 Outstanding exposure: Principal $ 3,911 $ (89 ) $ 1,030 $ (6 ) $ 6,661 $ (166 ) $ 11,341 $ — $ 11,341 Interest 1,865 (37 ) 639 (1 ) 3,349 (78 ) 5,737 — 5,737 Total(2) $ 5,776 $ (126 ) $ 1,669 $ (7 ) $ 10,010 $ (244 ) $ 17,078 $ — $ 17,078 Expected cash outflows (inflows) $ 101 $ (5 ) $ 232 $ (1 ) $ 3,961 $ (91 ) $ 4,197 $ (308 ) $ 3,889 Potential recoveries(3) (434 ) 19 (110 ) 0 (2,320 ) 62 (2,783 ) 191 (2,592 ) Subtotal (333 ) 14 122 (1 ) 1,641 (29 ) 1,414 (117 ) 1,297 Discount 85 (5 ) (28 ) 0 (160 ) (3 ) (111 ) 25 (86 ) Present value of expected cash flows $ (248 ) $ 9 $ 94 $ (1 ) $ 1,481 $ (32 ) $ 1,303 $ (92 ) $ 1,211 Deferred premium revenue $ 88 $ (5 ) $ 117 $ 0 $ 530 $ (2 ) $ 728 $ (71 ) $ 657 Reserves (salvage) $ (280 ) $ 10 $ 51 $ (1 ) $ 1,154 $ (30 ) $ 904 $ (60 ) $ 844 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 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) 139 (22 ) 46 (3 ) 150 (41 ) 335 — 335 Remaining weighted-average contract period (in years) 8.9 7.3 14.0 2.9 9.6 9.3 9.9 — 9.9 Outstanding exposure: Principal $ 4,397 $ (96 ) $ 1,352 $ (8 ) $ 6,445 $ (190 ) $ 11,900 $ — $ 11,900 Interest 2,110 (42 ) 1,002 (1 ) 3,098 (86 ) 6,081 — 6,081 Total(2) $ 6,507 $ (138 ) $ 2,354 $ (9 ) $ 9,543 $ (276 ) $ 17,981 $ — $ 17,981 Expected cash outflows (inflows) $ 186 $ (5 ) $ 492 $ (1 ) $ 3,785 $ (104 ) $ 4,353 $ (307 ) $ 4,046 Potential recoveries(3) (595 ) 20 (145 ) 0 (2,273 ) 67 (2,926 ) 194 (2,732 ) Subtotal (409 ) 15 347 (1 ) 1,512 (37 ) 1,427 (113 ) 1,314 Discount 66 (4 ) (93 ) 0 (78 ) (2 ) (111 ) 23 (88 ) Present value of expected cash flows $ (343 ) $ 11 $ 254 $ (1 ) $ 1,434 $ (39 ) $ 1,316 $ (90 ) $ 1,226 Deferred premium revenue $ 112 $ (5 ) $ 129 $ 0 $ 540 $ (6 ) $ 770 $ (74 ) $ 696 Reserves (salvage) $ (380 ) $ 11 $ 202 $ (1 ) $ 1,100 $ (34 ) $ 898 $ (55 ) $ 843 ____________________ (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. Since the filing with the SEC of AGL’s Annual Report on Form 10-K for the year ended December 31, 2017, there have been no material changes to (i) the Company's potential termination payments under interest rate swaps, (ii) the variable rate demand obligations exposure, and (iii) the potential payment obligations under guaranteed investment contracts and availability of sufficient eligible and liquid assets to the AGMH's former subsidiary FSA Asset Management LLC to satisfy any expected withdrawal and collateral posting obligations. See Note 6, Contracts Accounted for as Insurance, 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, 2017 for additional information. |
Fair Value Measurement
Fair Value Measurement | 3 Months Ended |
Mar. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurement | Fair Value Measurement The Company carries a significant portion of its assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit price). The price represents the price available in the principal market for the asset or liability. If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market). Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on either internally developed models that primarily use, as inputs, market-based or independently sourced market parameters, including but not limited to yield curves, interest rates and debt prices or with the assistance of an independent third-party using a discounted cash flow approach and the third party’s proprietary pricing models. In addition to market information, models also incorporate transaction details, such as maturity of the instrument and contractual features designed to reduce the Company’s credit exposure, such as collateral rights as applicable. Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity. As markets and products develop and the pricing for certain products becomes more or less transparent, the Company may refine its methodologies and assumptions. During First Quarter 2018 , no changes were made to the Company’s valuation models that had or are expected to have, a material impact on the Company’s condensed 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, Level 2 and Level 3. Measured and Carried at Fair Value Fixed-Maturity Securities and Short-Term Investments The fair value of bonds in the investment portfolio is generally based on prices received from third party pricing services or alternative pricing sources with reasonable levels of price transparency. The pricing services prepare estimates of fair value measurements using their pricing models, which take into account: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, industry and economic events 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. 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. The valuation of fixed-maturity investments is more subjective when markets are less liquid due to the lack of market based inputs. 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 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. The Company, on a quarterly basis: • reviews methodologies for Level 3 securities, any model updates and inputs for Level 3 securities, and compares such information to management’s own market information and, where applicable, the internal models, • reviews internally developed analytic packages for all securities 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 for Level 3, and evaluates, documents the rationale for, and resolves any significant pricing differences for Level 3. As of March 31, 2018 , the Company used models to price 98 securities (primarily securities that were purchased or obtained for loss mitigation or other risk management purposes), which were 11% or $1,268 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 March 31, 2018 and December 31, 2017 , other invested assets included investments carried and measured at fair value on a recurring basis of $45 million and $48 million , respectively, and included primarily preferred stock investments in the global property catastrophe risk market and in a fund that invested primarily in senior loans and bonds. Fair values for the preferred stock investments are based on their respective net asset value (NAV) per share or equivalent and are classified as Level 2. Included in the amounts above are other equity investments that were carried at their readily determinable fair value of $2 million and $2 million as of March 31, 2018 and December 31, 2017 . These equity investments were classified as Level 3. Other Assets Committed Capital Securities The fair value of committed capital securities (CCS), which is recorded in "other assets" on the condensed consolidated balance sheets, represents the difference between the present value of remaining expected put option premium payments under AGC CCS and AGM’s Committed Preferred Trust Securities (the AGM CPS) agreements, and the estimated present value that the Company would hypothetically have to pay currently for a comparable security (see Note 15, Long Term Debt and Credit Facilities). The AGC CCS and AGM CPS are carried at fair value with changes in fair value recorded in other income in the condensed 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's 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 condensed 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. 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 fair value of the Company’s credit derivative contracts represents the difference between the present value of remaining premiums the Company expects to receive or pay and the estimated present value of premiums that a financial guarantor of comparable credit-worthiness would hypothetically charge or pay at the reporting date for the same protection. The fair value of the Company’s credit derivatives depends on a number of factors, including notional amount of the contract, expected term, credit spreads, changes in interest rates, the credit ratings of referenced entities, the Company’s own credit risk and remaining contractual cash flows. The expected remaining contractual premium cash flows are the most readily observable inputs since they are based on the CDS contractual terms. Credit spreads capture the effect of recovery rates and performance of underlying assets of these contracts, among other factors. Consistent with previous years, market conditions at March 31, 2018 were such that market prices of the Company’s CDS contracts were not available. 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: the gross spread, the allocation of gross spread among the bank profit, net spread and hedge cost, and the weighted average life which is based on debt service schedules 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. The bank profit represents the profit the originator, usually an investment bank, realizes for structuring and funding the transaction; the net spread represents the premiums paid to the Company for the Company’s credit protection provided; and the hedge cost represents the cost of CDS protection purchased by the originator to hedge its counterparty credit risk exposure to the Company. 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. 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. • 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 adjusted to reflect the non-standard terms of the Company's CDS contracts. • 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 13 % 14 % Based on market indices 50 % 48 % Provided by the CDS counterparty 37 % 38 % Total 100 % 100 % ____________________ (1) Based on par. The rates used to discount future expected premium cash flows ranged from 2.34% to 2.86% at March 31, 2018 and 1.72% to 2.55% at December 31, 2017 . 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. 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. In the Company’s valuation model, the premium the Company captures is not permitted to go below the minimum rate that the Company would currently charge to assume similar risks. This assumption can have the effect of mitigating the amount of unrealized gains that are recognized on certain CDS contracts. Given the current market conditions and the Company’s own credit spreads, approximately 18% , a nd 16% , based on fair value, of the Company's CDS contracts were fair valued using this minimum premium as of March 31, 2018 and December 31, 2017 , respectively. The percentage of transactions that price using the minimum premiums fluctuates due to changes in AGC's credit spreads. In general when AGC's credit spreads narrow, the cost to hedge AGC's name declines and more transactions price above previously established floor levels. Meanwhile, when AGC's credit spreads widen, the cost to hedge AGC's name increases causing more transactions to price at previously established floor levels. Due to the low volume of CDS contracts remaining in AGM's portfolio, changes in AGM's credit spreads do not significantly affect the overall percentage of transactions fair valued using the minimum premium. 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 credit derivative liability on protection sold is the result of contractual cash inflows on in-force transactions that are less than 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 realize a loss representing the difference between the lower 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. 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 model maximizes the use of market-driven inputs whenever they are available. • The model is a consistent approach to valuing positions. 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. Fair Value Option on FG VIEs’ Assets and Liabilities The Company elected the fair value option for all the FG VIEs’ assets and liabilities and classifies them as Level 3 in the fair value hierarchy as the lowest level input that is significant to their fair value is unobservable. The prices are generally determined with the assistance of an independent third-party, based on a discounted cash flow approach. The FG VIEs issued securities collateralized by first lien and second lien RMBS as well as loans and receivables. The fair value of the Company’s FG VIE assets is generally sensitive to changes related to estimated prepayment speeds; estimated default rates (determined on the basis of an analysis of collateral attributes such as: historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality); yields implied by market prices for similar securities; and house price depreciation/appreciation rates based on macroeconomic forecasts. Significant changes to some of these inputs could materially change the market value of the FG VIE’s assets and the implied collateral losses within the transaction. In general, the fair value of the FG VIE assets is most sensitive to changes in the projected collateral losses, where an increase in collateral losses typically leads to a decrease in the fair value of FG VIE assets, while a decrease in collateral losses typically leads to an increase in the fair value of FG VIE assets. The third-party 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 independent third-party, on comparable bonds. The models to price the FG VIEs’ liabilities used, where appropriate, the same inputs used in determining fair value of FG VIE assets 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. Significant changes to any of the inputs described above could materially change the timing of expected losses within the insured transaction which is a significant factor in determining the implied benefit from the Company’s insurance policy guaranteeing the timely payment of principal and interest for the tranches of debt issued by the FG VIE that is insured by the Company. In general, extending the timing of expected loss payments by the Company into the future typically leads to a decrease in the value of the Company’s insurance and a decrease in the fair value of the Company’s FG VIE liabilities with recourse, while a shortening of the timing of expected loss payments by the Company typically leads to an increase in the value of the Company’s insurance and an increase in the fair value of the Company’s FG VIE liabilities with recourse. Not Carried at Fair Value The following financial instruments are not carried at fair value: • As of March 31, 2018 , Other Invested Assets included equity securities of $48 million that were accounted for under the equity method and equity securities of $4 million that were accounted at cost less any impairment, plus or minus the change resulting from observable price changes in orderly transactions for the identical or a similar investment of the same issuer. • Other Assets and Other Liabilities, which consist predominantly of accrued interest, receivables for securities sold and payables for securities purchased, the carrying values of which approximate fair value. • Financial Guaranty Insurance Contracts (classified as Level 3 for fair value disclosure). • Long-Term Debt (primarily classified as Level 2 for fair value disclosure). 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 March 31, 2018 Fair Value Hierarchy Fair Value Level 1 Level 2 Level 3 (in millions) Assets: Investment portfolio, available-for-sale(1): Fixed-maturity securities Obligations of state and political subdivisions $ 5,474 $ — $ 5,391 $ 83 U.S. government and agencies 275 — 275 — Corporate securities 1,924 — 1,862 62 Mortgage-backed securities: RMBS 849 — 535 314 Commercial mortgage-backed securities (CMBS) 559 — 559 — Asset-backed securities 889 — 80 809 Non-U.S. government securities 327 — 327 — Total fixed-maturity securities 10,297 — 9,029 1,268 Short-term investments 751 267 484 — Other invested assets (2) 7 — 0 7 FG VIEs’ assets, at fair value (3) 651 — — 651 Other assets(3) 124 29 35 60 Total assets carried at fair value $ 11,830 $ 296 $ 9,548 $ 1,986 Liabilities: Credit derivative liabilities (3) $ 237 $ — $ — $ 237 FG VIEs’ liabilities with recourse, at fair value (4) 598 — — 598 FG VIEs’ liabilities without recourse, at fair value (3) 110 — — 110 Total liabilities carried at fair value $ 945 $ — $ — $ 945 Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 2017 Fair Value Hierarchy Fair Value Level 1 Level 2 Level 3 (in millions) Assets: Investment portfolio, available-for-sale(1): Fixed-maturity securities Obligations of state and political subdivisions $ 5,760 $ — $ 5,684 $ 76 U.S. government and agencies 285 — 285 — Corporate securities 2,018 — 1,951 67 Mortgage-backed securities: RMBS 861 — 527 334 CMBS 549 — 549 — Asset-backed securities 896 — 109 787 Non-U.S. government securities 305 — 305 — Total fixed-maturity securities 10,674 — 9,410 1,264 Short-term investments 627 464 162 1 Other invested assets (2) 7 — 0 7 FG VIEs’ assets, at fair value (3) 700 — — 700 Other assets(3) 123 25 36 62 Total assets carried at fair value $ 12,131 $ 489 $ 9,608 $ 2,034 Liabilities: Credit derivative liabilities (3) $ 271 $ — $ — $ 271 FG VIEs’ liabilities with recourse, at fair value (3) 627 — — 627 FG VIEs’ liabilities without recourse, at fair value (3) 130 — — 130 Total liabilities carried at fair value $ 1,028 $ — $ — $ 1,028 ____________________ (1) Change in fair value is included in OCI. (2) Excludes investments of $42 million and $45 million as of March 31, 2018 and December 31, 2017 , respectively, measured using NAV per share with fair value recorded in the condensed consolidated statements of operations. Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. (3) Change in fair value is included in net income. (4) Change in fair value attributable to ISCR is recorded in OCI with remainder of fair value recorded in net income. Changes in Level 3 Fair Value Measurements The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during First Quarter 2018 and 2017 . Fair Value Level 3 Rollforward Recurring Basis First Quarter 2018 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 $ 76 $ 67 $ 334 $ 787 $ 700 $ 64 $ (269 ) $ (627 ) $ (130 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 1 (2 ) (5 ) (2 ) 7 (2 ) 15 (2 ) 1 (3 ) (1 ) (4 ) 34 (6 ) 0 (3 ) 1 (3 ) Other comprehensive income (loss) 3 0 (7 ) 3 — 0 — (2 ) — Purchases 4 — — 9 — — — — — Settlements (1 ) — (20 ) (5 ) (33 ) (1 ) (1 ) 30 3 FG VIE deconsolidations — — — — (17 ) — — 1 16 Fair value as of $ 83 $ 62 $ 314 $ 809 $ 651 $ 62 $ (236 ) $ (598 ) $ (110 ) Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2018 $ 3 $ 0 $ (6 ) $ 4 $ 4 (3 ) $ (1 ) (4 ) $ 28 (6 ) $ (3 ) (3 ) $ 1 (3 ) Fair Value Level 3 Rollforward Recurring Basis First Quarter 2017 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (8) Credit FG VIEs' Liabilities FG VIEs’ Liabilities (in millions) F |
Contracts Accounted for as Cred
Contracts Accounted for as Credit Derivatives | 3 Months Ended |
Mar. 31, 2018 | |
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 12.0 years at March 31, 2018 and 11.7 years at December 31, 2017 . The components of the Company’s credit derivative net par outstanding are presented below. Credit Derivatives (1) As of March 31, 2018 As of December 31, 2017 Asset Type Net Par Outstanding Net Fair Value Net Par Outstanding Net Fair Value (in millions) Pooled infrastructure $ 1,577 $ (41 ) $ 1,561 $ (42 ) U.S. RMBS 886 (28 ) 916 (53 ) Pooled corporate obligations (TruPS collateralized debt obligations (CDOs)) 767 (75 ) 878 (72 ) Infrastructure finance 544 (26 ) 572 (36 ) Other (2) 1,841 (66 ) 2,280 (66 ) Total $ 5,615 $ (236 ) $ 6,207 $ (269 ) ____________________ (1) Expected loss to be recovered were $6 million as of March 31, 2018 and $14 million as of December 31, 2017 . (2) This comprises numerous transactions across various asset classes, such as regulated utilities, health care, municipal utilities, and consumer receivables. 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. Due to the fact that the debt is subordinated,TruPS CDOs were typically structured with higher levels of embedded credit enhancement which allowed the Company to mitigate the risks associated with TruPS CDOs. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of March 31, 2018 As of December 31, 2017 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 2,137 38.1 % $ 2,144 34.6 % AA 1,053 18.7 1,170 18.8 A 1,203 21.4 1,517 24.5 BBB 964 17.2 1,038 16.7 BIG 258 4.6 338 5.4 Credit derivative net par outstanding $ 5,615 100.0 % $ 6,207 100.0 % Fair Value of Credit Derivatives Net Change in Fair Value of Credit Derivative Gain (Loss) First Quarter 2018 2017 (in millions) Realized gains on credit derivatives $ 2 $ 5 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements 0 10 Realized gains (losses) and other settlements 2 15 Net unrealized gains (losses): Pooled infrastructure 1 6 U.S. RMBS 26 9 Pooled corporate obligations (3 ) 20 Infrastructure finance 10 1 Other (2 ) 3 Net unrealized gains (losses) 32 39 Net change in fair value of credit derivatives $ 34 $ 54 During First Quarter 2018, unrealized fair value gains were generated primarily as a result of the increase in credit given to the primary insurer on one of the Company's second-to-pay CDS policies, the paydown of CDS par, CDS terminations, and price improvements on the underlying collateral of the Company’s CDS. The increase in the credit given to the primary insurer on one of the Company’s second-to-pay CDS policies was the primary driver of the unrealized fair value gain in the U.S. RMBS sector. The unrealized fair value gains were partially offset by unrealized fair value losses related to the decreased cost to buy protection in AGC’s and AGM’s name 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. During First Quarter 2017, unrealized fair value gains were generated primarily as a result of CDS terminations and tighter implied spreads. During the quarter the Company agreed to terminate several CDS transactions, which was the primary driver of the unrealized fair value gains in the pooled corporate obligations, and U.S. RMBS sectors. 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. These transactions were pricing at or above their floor levels, therefore when the cost of purchasing CDS protection on AGC and AGM increased, the implied spreads that the Company would expect to receive on these transactions decreased. The impact of changes in credit spreads will vary based upon the volume, tenor, interest rates, and other market conditions at the time these fair values are determined. In addition, since each transaction has unique collateral and structural terms, the underlying change in fair value of each transaction may vary considerably. The fair value of credit derivative contracts also reflects the change in the Company’s own credit cost based on the price to purchase credit protection on AGC and AGM. The Company determines its own credit risk based on quoted CDS prices traded on the Company at each balance sheet date. CDS Spread on AGC and AGM Quoted price of CDS contract (in basis points) As of As of As of As of Five-year CDS spread: AGC 121 163 173 158 AGM 109 145 181 158 One-year CDS spread AGC 25 70 31 35 AGM 22 28 31 29 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 $ (499 ) $ (555 ) Plus: Effect of AGC and AGM credit spreads 263 286 Net fair value of credit derivatives $ (236 ) $ (269 ) The fair value of CDS contracts at March 31, 2018 , 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, pooled infrastructure and infrastructure finance securities, as well as 2005-2007 vintages of Alt-A, option adjustable-rate mortgages (Option ARM) and subprime RMBS transactions. 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 TruPS CDO, and pooled infrastructure markets as well as continuing market concerns over the 2005-2007 vintages of RMBS. Collateral Posting for Certain Credit Derivative Contracts The transaction documentation for $333 million of the CDS insured by AGC requires AGC to post collateral, 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 March 31, 2018 and December 31, 2017 . AGC Insured CDS Collateral Posting Requirements As of As of (in millions) Gross par of CDS with collateral posting requirement $ 333 $ 497 Maximum posting requirement 300 464 Collateral posted 1 18 In First Quarter 2018, the Company terminated all of the CDS contracts with a counterparty as to which it had collateral posting obligations, and the collateral that the Company had been posting to that counterparty was all returned to the Company. |
Consolidated Variable Interest
Consolidated Variable Interest Entities | 3 Months Ended |
Mar. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Consolidated Variable Interest Entities | Consolidated Variable Interest Entities The Company provides financial guaranties with respect to debt obligations of special purpose entities, including VIEs. 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, under its insurance contract, obtains certain protective rights with respect to the VIE that give the Company additional controls over a VIE. These protective rights 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 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 VIE is deconsolidated. Adoption of 2016-01 Amendments under this ASU apply to the Company's FG VIE liabilities which the Company has historically elected to measure through the consolidated statements of operations in "fair value gains (losses) on FG VIE" under the fair value option. For FG VIE liabilities with recourse, the portion of the change in fair value caused by changes in ISCR must now be separately presented in OCI as opposed to the consolidated statements of operations. Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on FG VIEs”. The inception to date change in fair value of the FG VIE liabilities with recourse attributable to the ISCR (i.e., the Company's own credit risk) is calculated by holding all current period assumptions constant for each security and isolating the effect of the change in the Company’s CDS spread from the most recent date of consolidation to the current period. In general, if the Company’s CDS spread tightens more value will be assigned to the Company’s credit; however, if the Company’s CDS widens, less value is assigned to the Company’s credit. On adoption of ASU 2016-01, the Company reclassified approximately $33 million of loss, net of tax, from retained earnings to AOCI. This amount represents the portion of the fair value of the FG VIE liabilities with recourse that related to the change in the Company's own credit risk from the date of consolidation through January 1, 2018. The accounting and disclosure of the FG VIE liabilities without recourse are unchanged. Consolidated FG VIEs Number of FG VIEs Consolidated First Quarter 2018 2017 Beginning of the period, December 31, 32 32 Consolidated — 1 Deconsolidated (1 ) (1 ) End of the period, March 31, 31 32 The total unpaid principal balance for the FG VIEs’ assets that were over 90 days or more past due was approximately $92 million at March 31, 2018 and $99 million at December 31, 2017 . The aggregate unpaid principal of the FG VIEs’ assets was approximately $357 million greater than the aggregate fair value at March 31, 2018 . The aggregate unpaid principal of the FG VIEs’ assets was approximately $361 million greater than the aggregate fair value at December 31, 2017 . The change in the instrument-specific credit risk of the FG VIEs’ assets held as of March 31, 2018 that was recorded in the condensed consolidated statements of operations for First Quarter 2018 were gains of $2 million . The change in the ISCR of the FG VIEs’ assets held as of March 31, 2017 that was recorded in the condensed consolidated statements of operations for First Quarter 2017 were gains of $14 million . To calculate the ISCR, the changes in the fair value of the FG VIE assets are allocated between changes that are due to the ISCR and changes due to other factors, including interest rates. The ISCR amount is determined by using expected cash flows at the date of consolidation 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 $644 million and $674 million as of March 31, 2018 and December 31, 2017 , 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 $71 million greater than the aggregate fair value of the FG VIEs’ liabilities as of March 31, 2018 . The aggregate unpaid principal balance was approximately $73 million greater than the aggregate fair value of the FG VIEs' liabilities as of December 31, 2017 . For First Quarter 2018, the change in fair value of the FG VIE liabilities with recourse that is attributable to changes in the Company's own credit risk was a $5 million loss pre-tax. See Note 17, Shareholders' Equity, for additional information. The table below shows the carrying value of the consolidated FG VIEs’ assets and liabilities in the condensed consolidated financial statements, segregated by the types of assets that collateralize their respective debt obligations for FG VIE liabilities with recourse. Consolidated FG VIEs By Type of Collateral As of March 31, 2018 As of December 31, 2017 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 345 $ 371 $ 362 $ 385 U.S. RMBS second lien 135 165 144 177 Manufactured housing 61 62 64 65 Total with recourse 541 598 570 627 Without recourse 110 110 130 130 Total $ 651 $ 708 $ 700 $ 757 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 (effective January 1, 2018 the change in fair value of FG VIE liabilities with recourse attributable to ISCR is recorded in OCI, instead of net income), (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 First Quarter 2018 2017 (in millions) Net earned premiums $ (3 ) $ (4 ) Net investment income (1 ) (1 ) Fair value gains (losses) on FG VIEs 4 10 Loss and LAE 6 2 Effect on income before tax 6 7 Less: tax provision (benefit) 1 3 Effect on net income (loss) $ 5 $ 4 Effect on OCI $ (2 ) $ — Effect on cash flows from operating activities $ 2 $ 5 As of As of (in millions) Effect on shareholders' equity (decrease) increase $ 5 $ 2 Fair value gains (losses) on FG VIEs represent the net change in fair value on the consolidated FG VIEs’ assets and liabilities (effective January 1, 2018 the change in fair value of FG VIE liabilities with recourse attributable to ISCR is recorded in OCI, instead of the condensed consolidated statements of operations). During First Quarter 2018 , the Company recorded pre-tax net fair value gains on consolidated FG VIEs of $4 million in the condensed consolidated statements of operations. During First Quarter 2017, the Company recorded a pre-tax net fair value gain on consolidated FG VIEs of $10 million . The primary driver of the gain during First Quarter 2017 in fair value of FG VIE assets and liabilities was price appreciation on the FG VIE assets resulting from improvement 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 that results in the termination of the original insured financial guaranty insurance or credit derivative contract, the Company classifies the assets and liabilities of those VIEs in the line items that most accurately reflect the nature of the items, as opposed to within the FG VIE assets and FG VIE liabilities. Non-Consolidated VIEs As of March 31, 2018 and December 31, 2017 , the Company had financial guaranty contracts outstanding for 522 and 510 VIEs, respectively, that it monitored and 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 | 3 Months Ended |
Mar. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments and Cash | Investments and Cash Adoption of ASU 2016-01 Up until December 31, 2017, the change in fair value of the preferred stock investments and certain other equity investments was recorded in OCI. Effective January 1, 2018, in accordance with ASU 2016-01, the change in the fair value of these investments is recorded in other income in the condensed consolidated statements of operations. On adoption of ASU 2016-01, on January 1, 2018, the Company reclassified a loss of approximately $1 million , net of tax, from AOCI to retained earnings. In addition, in accordance with ASU 2016-01, the Company elected the new measurement alternative for equity securities that were accounted for under the cost method as of December 31, 2017 because they did not have a readily determinable fair value. Effective January 1, 2018, these equity securities will be accounted at cost less any impairment, plus or minus the change resulting from observable price changes in orderly transactions for the identical or a similar investment of the same issuer. 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 $101 million and $97 million as of March 31, 2018 and December 31, 2017 , respectively. Net Investment Income First Quarter 2018 2017 (in millions) Income from fixed-maturity securities managed by third parties $ 75 $ 75 Income from internally managed securities (1) 28 49 Gross investment income 103 124 Investment expenses (2 ) (2 ) Net investment income $ 101 $ 122 ____________________ (1) First Quarter 2017 includes accretion on Zohar II Notes. Net Realized Investment Gains (Losses) First Quarter 2018 2017 (in millions) Gross realized gains on available-for-sale securities (1) $ 9 $ 43 Gross realized losses on available-for-sale securities (5 ) (2 ) Net realized gains (losses) on other invested assets (1 ) 0 Other-than-temporary impairment (OTTI) (8 ) (9 ) Net realized investment gains (losses) $ (5 ) $ 32 ____________________ (1) First Quarter 2017 includes a gain on Zohar II Notes used as consideration for the MBIA UK Acquisition. See 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 OTTI 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 First Quarter 2018 2017 (in millions) Balance, beginning of period $ 162 $ 134 Additions for credit losses on securities for which an OTTI was previously recognized 7 8 Balance, end of period $ 169 $ 142 Investment Portfolio Fixed-Maturity Securities and Short-Term Investments by Security Type As of March 31, 2018 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI(2) Gain (Loss) on Securities with OTTI Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 50 % $ 5,323 $ 178 $ (27 ) $ 5,474 $ 26 AA- U.S. government and agencies 2 265 11 (1 ) 275 — AA+ Corporate securities 18 1,911 45 (32 ) 1,924 (6 ) A Mortgage-backed securities(4): 0 RMBS 8 857 20 (28 ) 849 (8 ) A- CMBS 5 561 5 (7 ) 559 — AAA Asset-backed securities 7 721 169 (1 ) 889 137 B Non-U.S. government securities 3 331 9 (13 ) 327 — AA Total fixed-maturity securities 93 9,969 437 (109 ) 10,297 149 A+ Short-term investments 7 751 0 0 751 — AAA Total investment portfolio 100 % $ 10,720 $ 437 $ (109 ) $ 11,048 $ 149 A+ Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2017 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI Gain (Loss) on Securities with OTTI Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 51 % $ 5,504 $ 267 $ (11 ) $ 5,760 $ 23 AA U.S. government and agencies 2 272 14 (1 ) 285 — AA+ Corporate securities 18 1,973 63 (18 ) 2,018 (6 ) A Mortgage-backed securities(4): RMBS 8 852 26 (17 ) 861 (1 ) BBB+ CMBS 5 540 12 (3 ) 549 — AAA Asset-backed securities 7 730 166 0 896 136 B Non-U.S. government securities 3 316 6 (17 ) 305 0 AA Total fixed-maturity securities 94 10,187 554 (67 ) 10,674 152 A+ Short-term investments 6 627 0 0 627 — AAA Total investment portfolio 100 % $ 10,814 $ 554 $ (67 ) $ 11,301 $ 152 A+ ____________________ (1) Based on amortized cost. (2) See Note 17, Shareholders' Equity. (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) U.S. government-agency obligations were approximately 42% of mortgage backed securities as of March 31, 2018 and 39% as of December 31, 2017 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 March 31, 2018 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 $ 988 $ (15 ) $ 260 $ (12 ) $ 1,248 $ (27 ) U.S. government and agencies 62 0 17 (1 ) 79 (1 ) Corporate securities 692 (14 ) 226 (18 ) 918 (32 ) Mortgage-backed securities: RMBS 350 (11 ) 203 (17 ) 553 (28 ) CMBS 222 (3 ) 78 (4 ) 300 (7 ) Asset-backed securities 55 (1 ) 3 0 58 (1 ) Non-U.S. government securities 21 0 119 (13 ) 140 (13 ) Total $ 2,390 $ (44 ) $ 906 $ (65 ) $ 3,296 $ (109 ) Number of securities (1) 716 244 944 Number of securities with OTTI (1) 20 16 35 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2017 Less than 12 months 12 months or more Total Fair Unrealized Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 166 $ (4 ) $ 281 $ (7 ) $ 447 $ (11 ) U.S. government and agencies 151 0 18 (1 ) 169 (1 ) Corporate securities 201 (1 ) 240 (17 ) 441 (18 ) Mortgage-backed securities: RMBS 191 (5 ) 213 (12 ) 404 (17 ) CMBS 29 0 80 (3 ) 109 (3 ) Asset-backed securities 48 0 3 0 51 0 Non-U.S. government securities 20 0 140 (17 ) 160 (17 ) Total $ 806 $ (10 ) $ 975 $ (57 ) $ 1,781 $ (67 ) Number of securities (1) 244 264 499 Number of securities with OTTI (1) 17 15 31 ___________________ (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 March 31, 2018 , 27 securities had unrealized losses greater than 10% of book value. The total unrealized loss for these securities as of March 31, 2018 was $25 million . As of December 31, 2017 , of the securities in an unrealized loss position for 12 months or more, 28 securities had unrealized losses greater than 10% of book value with an unrealized loss of $27 million . The Company had determined that the unrealized losses recorded as of March 31, 2018 and December 31, 2017 were yield-related and not the result of OTTI. The amortized cost and estimated fair value of available-for-sale fixed maturity securities by contractual maturity as of March 31, 2018 are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Distribution of Fixed-Maturity Securities by Contractual Maturity As of March 31, 2018 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 274 $ 272 Due after one year through five years 1,438 1,467 Due after five years through 10 years 2,345 2,378 Due after 10 years 4,494 4,772 Mortgage-backed securities: RMBS 857 849 CMBS 561 559 Total $ 9,969 $ 10,297 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 pledged or restricted total $264 million and $287 million , as of March 31, 2018 and December 31, 2017 , 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 $1,689 million and $1,677 million , based on fair value as of March 31, 2018 and December 31, 2017 , respectively. No material investments of the Company were non-income producing for First Quarter 2018 and First Quarter 2017 , respectively. Externally Managed Portfolio As of March 31, 2018 , the majority of the investment portfolio is managed by seven outside managers (including Wasmer, Schroeder & Company LLC, in which the Company has a minority interest). 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 minimal 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 (other than short term investments) represents approximately 12% and 12% of the investment portfolio, on a fair value basis as of March 31, 2018 and December 31, 2017 , 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 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 the financial guaranties (other risk management assets). Alternative investments include various funds investing in both equity and debt securities, including catastrophe bonds, as well as investments in investment managers. The unrealized gains (losses) recognized during First Quarter 2018 on equity investments held as of March 31, 2018 were $(3) million . 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 $ 1,199 $ 1,231 Other invested assets 18 20 Alternative investments 80 69 Other 5 5 Total $ 1,302 $ 1,325 Cash and Restricted Cash The following table provides a reconciliation of the cash reported on the condensed 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 As of (in millions) Cash $ 114 $ 144 $ 147 $ 118 Restricted cash (1) 3 0 1 9 Total cash and restricted cash $ 117 $ 144 $ 148 $ 127 ____________________ (1) Amounts relate to cash held in trust accounts and are reported in other assets in condensed consolidated balance sheets. See Note 13, Reinsurance and Other Monoline Exposures, for more information. |
Insurance Company Regulatory Re
Insurance Company Regulatory Requirements | 3 Months Ended |
Mar. 31, 2018 | |
Insurance Company Regulatory Requirements [Abstract] | |
Insurance Company Regulatory Requirements | Insurance Company Regulatory Requirements Dividend Restrictions and Capital Requirements Dividends and Return of capital By Insurance Company Subsidiaries First Quarter 2018 2017 Dividends paid by AGC to AGUS $ 52 $ 28 Dividends paid by AGM to AGMH 73 79 Dividends paid by AG Re to AGL 40 40 Dividends paid by MAC to MAC Assurance Holdings Inc. (MAC Holdings)(1) — 12 Repurchase of common stock by AGC from AGUS 200 — ____________________ (1) MAC Holdings distributed nearly the entire amounts to AGM and AGC, in proportion to their ownership percentages. United States 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 2018 for AGM to distribute as dividends without regulatory approval is estimated to be approximately $176 million . Of such $176 million , nothing is estimated to be available for distribution in the second quarter of 2018 . The maximum amount available during 2018 for MAC to distribute as dividends to MAC Holdings, which is owned by AGM and AGC, without regulatory approval is estimated to be approximately $28 million , of which approximately $16 million is available for distribution in the second quarter of 2018. 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 2018 for AGC to distribute as ordinary dividends is approximately $133 million . Of such $133 million , approximately $25 million is available for distribution in the second quarter of 2018 . Bermuda 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 $324 million , without AG Re certifying to the Authority that it will continue to meet required margins. Based on the foregoing limitations, in 2018 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 $324 million as of March 31, 2018 . Such dividend capacity can be further limited by the actual amount of AG Re’s unencumbered assets, which amount changes from time to time due in part to collateral posting requirements. As of March 31, 2018 , AG Re had unencumbered assets of approximately $505 million . United Kingdom 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. |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes Overview AGL and its Bermuda subsidiaries AG Re, AGRO, and Cedar Personnel Ltd. (Bermuda Subsidiaries) 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. As a U.K. tax resident company, AGL is required to file a corporation tax return with Her Majesty's Revenue & Customs. 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 corporation tax rate is at 19% for 2018. AGL has also registered in the U.K. to report its Value Added Tax (VAT) liability. The current rate of VAT is 20% . Assured Guaranty expects that the dividends AGL receives from its direct subsidiaries will be exempt from U.K. corporation tax due to the exemption in section 931D of the U.K. Corporation Tax Act 2009. In addition, any dividends paid by AGL to its shareholders should not be subject to any withholding tax in the U.K. Assured Guaranty does not expect any profits of non-U.K. resident members of the group to be taxed under the U.K. "controlled foreign companies" regime and has obtained a clearance from Her Majesty's Revenue & Customs confirming this on the basis of current facts. 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 U.S. Internal Revenue Code Section 953(d) 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 is no longer 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, see 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. Effect of the 2017 Tax Cuts and Jobs Act On December 22, 2017, the Tax Act was signed into law. The Tax Act changed many items of U.S. corporate income taxation, including a reduction of the corporate income tax rate from 35% to 21% , implementation of a territorial tax system and imposition of a tax on deemed repatriated earnings of non-U.S. subsidiaries. At December 31, 2017, the Company had not completed accounting for the tax effects of the Tax Act; however, the Company made a reasonable estimate of the effects on the existing deferred tax balances and the one-time transition tax. The Company recognized a provisional amount of $61 million , which was included as a component of income tax expense from continuing operations in 2017. The Company will continue to assess its provision for income taxes as future guidance is issued. Any adjustments, if necessary, during the measurement period guidance outlined in Staff Accounting Bulletin No. 118 will be included in the statement of operations as an adjustment to income tax expense in the reporting period when such adjustments are determined. 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 2018. 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 21% in 2018 and 35% in 2017, U.K. subsidiaries taxed at the U.K. marginal corporate tax rate of 19% 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. Deferred and Current Tax Assets (Liabilities) (1) As of As of (in millions) Deferred tax assets (liabilities) $ 70 $ 98 Current tax assets (liabilities) 63 21 ____________________ (1) Included in other assets or other liabilities on the condensed consolidated balance sheets. A reconciliation of the difference between the provision for income taxes and the expected tax provision at statutory rates in taxable jurisdictions is presented below. Effective Tax Rate Reconciliation First Quarter 2018 2017 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 35 $ 85 Tax-exempt interest (6 ) (12 ) Bargain purchase gain — (20 ) Change in liability for uncertain tax positions (7 ) — Foreign taxes (4 ) — State taxes 2 5 Other 0 (3 ) Total provision (benefit) for income taxes $ 20 $ 55 Effective tax rate 9.3 % 14.7 % The expected tax provision at statutory rates in taxable jurisdictions is calculated as the sum of pretax income in each jurisdiction multiplied by the statutory tax rate of the jurisdiction by which it will be taxed. Pretax income of the Company’s subsidiaries which are not U.S. or U.K. domiciled but are subject to U.S. or U.K. tax by election, establishment of tax residency or as controlled foreign corporations, are included at the U.S. or U.K. statutory tax rate. Where there is a pretax loss in one jurisdiction and pretax income in another, the total combined expected tax rate may be higher or lower than any of the individual statutory rates. The following table presents pretax income and revenue by jurisdiction. Pretax Income (Loss) by Tax Jurisdiction First Quarter 2018 2017 (in millions) United States $ 175 $ 246 Bermuda 49 133 U.K. (7 ) (7 ) Total $ 217 $ 372 Revenue by Tax Jurisdiction First Quarter 2018 2017 (in millions) United States $ 247 $ 474 Bermuda 52 57 U.K. (6 ) (4 ) Total $ 293 $ 527 Pretax income by jurisdiction may be disproportionate to revenue by jurisdiction to the extent that insurance losses incurred are disproportionate. Valuation Allowance The Company has $13 million of foreign tax credit (FTC) carryovers from previous acquisitions and $30 million of FTC due to the Tax Act for use against regular tax in future years. FTCs will begin to expire in 2020 and will fully expire by 2027. In analyzing the future realizability of FTCs, the Company notes limitations on future foreign source income due to overall foreign losses as negative evidence. After reviewing positive and negative evidence, the Company came to the conclusion that it is more likely than not that the FTC of $43 million 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 March 31, 2018 , AGUS had open tax years with the IRS for 2014 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 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 Overseas 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 2016 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 under examination for the period January 1, 2015 through December 31, 2016, and has open tax 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 $0.3 million for First Quarter 2018 and $1 million for the full year 2017. As of March 31, 2018 and December 31, 2017 , the Company has accrued $2 million and $3 million of interest, respectively. The total amount of reserves for unrecognized tax positions, including accrued interest, as of March 31, 2018 and December 31, 2017 that would affect the effective tax rate, if recognized, was $24 million and $31 million , respectively. The Company released $7 million of previously recorded uncertain tax position reserves and accrued interest in the First Quarter 2018 due to the closing of the 2013 audit year. |
Reinsurance and Other Monoline
Reinsurance and Other Monoline Exposures | 3 Months Ended |
Mar. 31, 2018 | |
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. 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, if required, secures its reinsurance obligations to its affiliated and non-affiliated ceding companies, typically by depositing in trust assets with a market value equal to its assumed liabilities calculated on a statutory basis. 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 due to one of the above events, 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. 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 March 31, 2018 , 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 $44 million and $17 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. The following table presents the components of premiums and losses reported in the condensed 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 First Quarter 2018 2017 (in millions) Premiums Written: Direct $ 73 $ 109 Assumed 0 2 Ceded (1) (11 ) 11 Net $ 62 $ 122 Premiums Earned: Direct $ 143 $ 167 Assumed 5 6 Ceded (3 ) (9 ) Net $ 145 $ 164 Loss and LAE: Direct $ (14 ) $ 67 Assumed (3 ) 3 Ceded (1 ) (11 ) Net $ (18 ) $ 59 ____________________ (1) Positive ceded premiums written were due to commutations and changes in expected debt service schedules. Exposure to Reinsurers and Other Monolines (1) As of As of (in millions) Due (To) From: Assumed premium, net of commissions $ 52 $ 53 Ceded premium, net of commissions (46 ) (42 ) Assumed loss paid (18 ) (19 ) Assumed expected loss to be paid (65 ) (71 ) Ceded expected loss to be paid 24 29 Outstanding Exposure: Financial guaranty Ceded par outstanding (2) 4,299 4,434 Assumed par outstanding 7,705 8,383 Second-to-pay insured par outstanding (3) 5,954 6,605 Non-financial guaranty exposure (see Note 4) Ceded 165 159 Assumed 1,010 974 ____________________ (1) The total collateral posted by all non-affiliated reinsurers required to post, or that had agreed to post, collateral as of March 31, 2018 and December 31, 2017 was approximately $105 million and $118 million , respectively. (2) Of the total par ceded to unrated or BIG rated reinsurers, $261 million and $296 million , is rated BIG as of March 31, 2018 and December 31, 2017 , respectively. (3) The par on second-to-pay exposure where the primary insurer and underlying transaction rating are both BIG and/or not rated is $191 million and $204 million as of March 31, 2018 and December 31, 2017 , respectively. Second-to-pay insured par outstanding represents transactions the Company has insured that were previously insured by other monoline financial guaranty insurers. The Company underwrites such transactions based on the underlying insured obligation without regard to the primary insurer. Commutations The table below summarizes the effect of commutations. Commutations of Ceded Reinsurance Contracts First Quarter 2018 2017 (in millions) Increase (decrease) in net unearned premium reserve $ 4 $ 18 Increase (decrease) in net par outstanding 42 1,173 Commutation gains (losses) 1 73 During First Quarter 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. Excess of Loss Reinsurance Facility Effective January 1, 2018, AGC, AGM and MAC entered into a $400 million aggregate excess of loss reinsurance facility of which $180 million was placed with an unaffiliated reinsurer. This facility replaces a similar $400 million aggregate excess of loss reinsurance facility, of which $360 million was placed with unaffiliated reinsurers, that AGC, AGM and MAC had entered into effective January 1, 2016 and which terminated on December 31, 2017. The new facility covers losses occurring either from January 1, 2018 through December 31, 2024, or January 1, 2019 through December 31, 2025, at the option of AGC, AGM and MAC. It terminates on January 1, 2020, unless AGC, AGM and MAC choose to extend it. The new facility covers certain U.S. public finance exposures insured or reinsured by AGC, AGM and MAC as of September 30, 2017, excluding exposures that were rated non-investment grade as of December 31, 2017 by Moody’s or S&P or internally by AGC, AGM or MAC and is subject to certain per credit limits. Among the exposures excluded are those associated with the Commonwealth of Puerto Rico and its related authorities and public corporations. The new facility attaches when AGC’s, AGM’s and MAC’s net losses (net of AGC’s and AGM's reinsurance (including from affiliates) and net of recoveries) exceed $0.8 billion in the aggregate. The new facility covers a portion of the next $400 million of losses, with the reinsurer assuming $180 million of the $400 million of losses and AGC, AGM and MAC jointly retaining the remaining $220 million . The reinsurer is 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 reinsurer its share of recoveries relating to losses during the coverage period in the covered portfolio. AGC, AGM and MAC paid approximately $3.2 million of premiums in 2018 for the term January 1, 2018 through December 31, 2018 and deposited approximately $3.2 million in cash into a trust account for the benefit of the reinsurer to be used to pay the premiums for 2019. The main differences between the new facility and the prior facility that terminated on December 31, 2017 are the reinsurance attachment point ( $0.8 billion versus $1.25 billion ), the total reinsurance coverage ( $180 million part of $400 million versus $360 million part of $400 million ) and the annual premium ( $3.2 million versus $9 million ). Reinsurance of Syncora Guarantee Inc.’s Insured Portfolio On February 2, 2018, AGC entered into an agreement with Syncora Guarantee Inc. (SGI) to reinsure, generally on a 100% quota share basis, substantially all of SGI’s insured portfolio. The transaction also includes the commutation of a book of business ceded to SGI by AGM. The par value of exposures reinsured and commuted will total approximately $14.5 billion . As consideration for the transaction, at closing, SGI will pay $360 million and assign installment premiums estimated to total $55 million in present value to Assured Guaranty. The reinsured portfolio consists predominantly of public finance and infrastructure obligations that meet AGC’s new business underwriting criteria. Additionally, on behalf of SGI, AGC will provide certain administrative services on the assumed portfolio, including surveillance, risk management, and claims processing. The transaction is subject to regulatory approval and other closing conditions, and is expected to close by the end of the second quarter or the beginning of the third quarter of 2018. 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 March 31, 2018 , an estimated $4 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 March 31, 2018 , an estimated $9 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. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2018 | |
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 AGL'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 "Exposure to Puerto Rico" section of Note 4, Outstanding Exposure, for a description of such actions. See "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. |
Long-Term Debt and Credit Facil
Long-Term Debt and Credit Facilities | 3 Months Ended |
Mar. 31, 2018 | |
Debt Disclosure [Abstract] | |
Long-Term Debt and Credit Facilities | Long-Term Debt and Credit Facilities The principal and carrying values of the Company’s long-term debt are presented in the table below. Principal and Carrying Amounts of Debt As of March 31, 2018 As of December 31, 2017 Principal Carrying 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 70 6.25% Notes (1) 230 142 230 142 5.6% Notes (1) 100 57 100 57 Junior Subordinated Debentures (2) 300 194 300 192 Total AGMH 730 463 730 461 AGM(3): AGM Notes Payable 6 6 6 6 Total AGM 6 6 6 6 Purchased debt (4) (48 ) (31 ) (28 ) (18 ) Total $ 1,538 $ 1,281 $ 1,558 $ 1,292 ____________________ (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 First Quarter 2018 and full year 2017, AGUS purchased $20 million and $28 million , respectively, principal amount of AGMH's outstanding Junior Subordinated Debentures. The Company recognized a $7 million loss on extinguishment of debt in First Quarter 2018 , which is included in other income. There were no purchases of debt of the Company's subsidiaries by the Company or any of its subsidiaries in First Quarter 2017 . 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 commitment 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 commitment 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 2017, AGUS repaid $10 million in outstanding principal as well as accrued and unpaid interest. In 2016, the parties agreed to extend the maturity date of the loan from May 2017 to November 2019. As of March 31, 2018 , $60 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. See Note 7, Fair Value Measurement, –Other Assets–Committed Capital Securities, for a fair value measurement discussion. |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Mar. 31, 2018 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share Computation of Earnings Per Share First Quarter 2018 2017 (in millions) Basic Earnings Per Share (EPS): Net income (loss) attributable to AGL $ 197 $ 317 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 196 $ 317 Basic shares 115.2 125.3 Basic EPS $ 1.71 $ 2.53 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 196 $ 317 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 196 $ 317 Basic shares 115.2 125.3 Dilutive securities: Options and restricted stock awards 1.4 1.8 Diluted shares 116.6 127.1 Diluted EPS $ 1.68 $ 2.49 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.2 0.1 |
Shareholders' Equity
Shareholders' Equity | 3 Months Ended |
Mar. 31, 2018 | |
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 First Quarter 2018 Net Unrealized Gains (Losses) on Investments with no OTTI Net Unrealized Gains (Losses) on Investments with OTTI Net Unrealized Gains (Losses) on FG VIE Liabilities with Recourse due to ISCR Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2017 $ 273 $ 120 $ — $ (29 ) $ 8 $ 372 Effect of adoption of ASU 2016-01 (see Note 1) 1 — (33 ) — — (32 ) Other comprehensive income (loss) before reclassifications (122 ) (11 ) (4 ) 6 — (131 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (6 ) 11 — — — 5 Net investment income — — — — — — Fair value gains (losses) on FG VIEs — — 3 — 0 3 Interest expense — — — — 0 0 Total before tax (6 ) 11 3 — 0 8 Tax (provision) benefit 0 (2 ) (1 ) — 0 (3 ) Total amount reclassified from AOCI, net of tax (6 ) 9 2 — 0 5 Net current period other comprehensive income (loss) (128 ) (2 ) (2 ) 6 0 (126 ) Balance, March 31, 2018 $ 146 $ 118 $ (35 ) $ (23 ) $ 8 $ 214 Changes in Accumulated Other Comprehensive Income by Component First Quarter 2017 Net Unrealized Gains (Losses) on Investments with no OTTI Net Unrealized Gains (Losses) on Investments with OTTI 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 44 50 2 — 96 Amounts reclassified from AOCI to: Net realized investment gains (losses) (41 ) 9 — — (32 ) Net investment income (28 ) — — — (28 ) Interest expense — — — 0 0 Total before tax (69 ) 9 — 0 (60 ) Tax (provision) benefit 24 (3 ) — 0 21 Total amount reclassified from AOCI, net of tax (45 ) 6 — 0 (39 ) Net current period other comprehensive income (loss) (1 ) 56 2 0 57 Balance, March 31, 2017 $ 170 $ 66 $ (37 ) $ 7 $ 206 Share Repurchases Share Repurchases Period Number of Shares Repurchased Total Payments (in millions) Average Price Paid Per Share 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 - December 31, 2017) 1,934,990 70 36.18 Total 2017 12,669,643 $ 501 $ 39.57 2018 (January 1 - March 31) 2,787,936 98 35.20 2018 (April 1 - through May 4, 2018) 1,427,026 53 36.91 Total 2018 4,214,962 $ 151 $ 35.78 Cumulative repurchases since the beginning of 2013 85,527,812 $ 2,367 $ 27.68 The Board of Directors (the Board) most recently authorized share repurchases on November 1, 2017, for an additional $300 million . The total remaining capacity for share repurchases under Board authorizations was $197 million as of May 4, 2018 . 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, other potential uses for such funds, market conditions, the Company's capital position, legal requirements and other factors. The repurchase program may be modified, extended or terminated by the Board 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 then 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 | 3 Months Ended |
Mar. 31, 2018 | |
Condensed Financial Information of Parent Company Only Disclosure [Abstract] | |
Subsidiary Information | Subsidiary Information The following tables present the condensed consolidating financial information for AGUS and AGMH, 100%-owned subsidiaries of AGL, which have issued publicly traded debt securities (see Note 15, Long Term Debt and Credit Facilities). The information for AGL, AGUS and AGMH presents its subsidiaries on the equity method of accounting. The following tables reflect transfers of businesses between entities within the consolidated group consistently for all prior periods presented. CONDENSED CONSOLIDATING BALANCE SHEET AS OF MARCH 31, 2018 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 35 $ 528 $ 40 $ 11,010 $ (348 ) $ 11,265 Investment in subsidiaries 6,657 5,902 4,032 220 (16,811 ) — Premiums receivable, net of commissions payable — — — 1,104 (160 ) 944 Ceded unearned premium reserve — — — 994 (872 ) 122 Deferred acquisition costs — — — 141 (41 ) 100 Intercompany receivable — — — 60 (60 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 651 — 651 Dividend receivable from affiliate 95 — — — (95 ) — Other 21 31 46 1,507 (668 ) 937 TOTAL ASSETS $ 6,808 $ 6,461 $ 4,118 $ 15,687 $ (19,055 ) $ 14,019 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,324 $ (929 ) $ 3,395 Loss and LAE reserve — — — 1,620 (321 ) 1,299 Long-term debt — 843 463 6 (31 ) 1,281 Intercompany payable — 60 — 300 (360 ) — Credit derivative liabilities — — — 269 (32 ) 237 Financial guaranty variable interest entities’ liabilities, at fair value — — — 708 — 708 Dividend payable to affiliate — 95 — — (95 ) — Other 24 27 75 628 (439 ) 315 TOTAL LIABILITIES 24 1,025 538 7,855 (2,207 ) 7,235 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,784 5,436 3,580 7,612 (16,628 ) 6,784 Noncontrolling interest — — — 220 (220 ) — TOTAL SHAREHOLDERS' EQUITY 6,784 5,436 3,580 7,832 (16,848 ) 6,784 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,808 $ 6,461 $ 4,118 $ 15,687 $ (19,055 ) $ 14,019 CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 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 $ 36 $ 319 $ 28 $ 11,484 $ (328 ) $ 11,539 Investment in subsidiaries 6,794 6,126 4,048 216 (17,184 ) — Premiums receivable, net of commissions payable — — — 1,074 (159 ) 915 Ceded unearned premium reserve — — — 1,002 (883 ) 119 Deferred acquisition costs — — — 144 (43 ) 101 Intercompany receivable — — — 60 (60 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 700 — 700 Other 26 59 40 1,736 (802 ) 1,059 TOTAL ASSETS $ 6,856 $ 6,504 $ 4,116 $ 16,416 $ (19,459 ) $ 14,433 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,423 $ (948 ) $ 3,475 Loss and LAE reserve — — — 1,793 (349 ) 1,444 Long-term debt — 843 461 6 (18 ) 1,292 Intercompany payable — 60 — 300 (360 ) — Credit derivative liabilities — — — 308 (37 ) 271 Financial guaranty variable interest entities’ liabilities, at fair value — — — 757 — 757 Other 17 59 71 740 (532 ) 355 TOTAL LIABILITIES 17 962 532 8,327 (2,244 ) 7,594 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,839 5,542 3,584 7,873 (16,999 ) 6,839 Noncontrolling interest — — — 216 (216 ) — TOTAL SHAREHOLDERS’ EQUITY 6,839 5,542 3,584 8,089 (17,215 ) 6,839 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,856 $ 6,504 $ 4,116 $ 16,416 $ (19,459 ) $ 14,433 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED MARCH 31, 2018 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 149 $ (4 ) $ 145 Net investment income 0 2 0 102 (3 ) 101 Net realized investment gains (losses) — 0 0 (5 ) 0 (5 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 2 0 2 Net unrealized gains (losses) — — — 32 — 32 Net change in fair value of credit derivatives — — — 34 0 34 Other 3 0 — 73 (58 ) 18 TOTAL REVENUES 3 2 0 353 (65 ) 293 EXPENSES Loss and LAE — — — (16 ) (2 ) (18 ) Amortization of deferred acquisition costs — — — 6 (1 ) 5 Interest expense — 12 13 3 (4 ) 24 Other operating expenses 10 3 0 105 (53 ) 65 TOTAL EXPENSES 10 15 13 98 (60 ) 76 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (13 ) (13 ) 255 (5 ) 217 Total (provision) benefit for income taxes — 3 3 (25 ) (1 ) (20 ) Equity in net earnings of subsidiaries 204 161 102 7 (474 ) — NET INCOME (LOSS) $ 197 $ 151 $ 92 $ 237 $ (480 ) $ 197 Less: noncontrolling interest — — — 7 (7 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 197 $ 151 $ 92 $ 230 $ (473 ) $ 197 COMPREHENSIVE INCOME (LOSS) $ 71 $ 67 $ 46 $ 111 $ (224 ) $ 71 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED MARCH 31, 2017 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 167 $ (3 ) $ 164 Net investment income 0 0 0 123 (1 ) 122 Net realized investment gains (losses) — 0 0 32 0 32 Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 15 0 15 Net unrealized gains (losses) — — — 39 — 39 Net change in fair value of credit derivatives — — — 54 0 54 Bargain purchase gain and settlement of pre-existing relationship — — — 58 — 58 Other 3 — — 142 (48 ) 97 TOTAL REVENUES 3 0 0 576 (52 ) 527 EXPENSES Loss and LAE — — — 11 48 59 Amortization of deferred acquisition costs — — — 5 (1 ) 4 Interest expense — 12 13 2 (3 ) 24 Other operating expenses 10 6 1 106 (55 ) 68 TOTAL EXPENSES 10 18 14 124 (11 ) 155 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (18 ) (14 ) 452 (41 ) 372 Total (provision) benefit for income taxes — 6 5 (76 ) 10 (55 ) Equity in net earnings of subsidiaries 324 199 136 8 (667 ) — NET INCOME (LOSS) $ 317 $ 187 $ 127 $ 384 $ (698 ) $ 317 Less: noncontrolling interest — — — 8 (8 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 317 $ 187 $ 127 $ 376 $ (690 ) $ 317 COMPREHENSIVE INCOME (LOSS) $ 374 $ 244 $ 192 $ 437 $ (873 ) $ 374 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE THREE MONTHS ENDED MARCH 31, 2018 (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 $ 128 $ 83 $ 63 $ 46 $ (293 ) $ 27 Cash flows from investing activities Fixed-maturity securities: Purchases — (18 ) (12 ) (400 ) 19 (411 ) Sales — 11 2 396 — 409 Maturities — — 0 225 — 225 Sales (purchases) of short-term investments, net 1 (217 ) (4 ) 104 — (116 ) Net proceeds from financial guaranty variable entities’ assets — — — 33 — 33 Investment in subsidiaries — — — — — — Proceeds from stock redemption and return of capital from subsidiaries — 200 — — (200 ) — Other — (13 ) — (1 ) — (14 ) Net cash flows provided by (used in) investing activities 1 (37 ) (14 ) 357 (181 ) 126 Cash flows from financing activities Return of capital — — — — — — Capital contribution — — — — — — Dividends paid (18 ) (78 ) (50 ) (165 ) 293 (18 ) Repurchases of common stock (100 ) — — — — (100 ) Repurchases of common stock to pay withholding taxes (12 ) — — (200 ) 200 (12 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (33 ) — (33 ) Repayment/ extinguishment of long-term debt — — — 0 (19 ) (19 ) Proceeds from options exercises 1 — — — — 1 Net cash flows provided by (used in) financing activities (129 ) (78 ) (50 ) (398 ) 474 (181 ) Effect of exchange rate changes — — — 1 — 1 Increase (decrease) in cash and restricted cash 0 (32 ) (1 ) 6 — (27 ) Cash and restricted cash at beginning of period 0 33 2 109 — 144 Cash and restricted cash at end of period $ 0 $ 1 $ 1 $ 115 $ — $ 117 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE THREE MONTHS ENDED MARCH 31, 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 $ 220 $ 105 $ 72 $ 105 $ (400 ) $ 102 Cash flows from investing activities Fixed-maturity securities: Purchases — — (5 ) (512 ) — (517 ) Sales — — 2 321 — 323 Maturities — 3 0 262 — 265 Sales (purchases) of short-term investments, net 25 75 5 (93 ) — 12 Net proceeds from financial guaranty variable entities’ assets — — — 46 — 46 Investment in subsidiaries — (3 ) — — 3 — Acquisition of MBIA UK, net of cash acquired — — — 95 — 95 Other — — — (13 ) — (13 ) Net cash flows provided by (used in) investing activities 25 75 2 106 3 211 Cash flows from financing activities Capital contribution — — — 3 (3 ) — Dividends paid (19 ) (175 ) (73 ) (152 ) 400 (19 ) Repurchases of common stock (216 ) — — — — (216 ) Repurchases of common stock to pay withholding taxes (12 ) — — — — (12 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (48 ) — (48 ) Payment of long-term debt — — — (1 ) — (1 ) Proceeds from options exercises 2 — — — — 2 Net cash flows provided by (used in) financing activities (245 ) (175 ) (73 ) (198 ) 397 (294 ) Effect of exchange rate changes — — — 2 — 2 Increase (decrease) in cash and restricted cash — 5 1 15 — 21 Cash and restricted cash at beginning of period 0 1 0 126 — 127 Cash and restricted cash at end of period $ 0 $ 6 $ 1 $ 141 $ — $ 148 |
Business and Basis of Present28
Business and Basis of Presentation (Policies) | 3 Months Ended |
Mar. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Basis of Presentation The unaudited interim condensed 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 material 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 condensed consolidated financial statements are as of March 31, 2018 and cover the three-month period ended March 31, 2018 ( First Quarter 2018 ) and the three-month period ended March 31, 2017 ( First Quarter 2017 ). Certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but is not required for interim reporting purposes, has been condensed or omitted. The year-end balance sheet data was derived from audited financial statements. |
Consolidation | The unaudited interim condensed 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. |
New Accounting Pronouncements Adopted and Future Application | Adopted Accounting Standards Financial Instruments In January 2016, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (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. Amendments under this ASU apply to the Company's FG VIE liabilities, which the Company has historically elected to measure through the statement of operations under the fair value option, and to certain equity securities in the Company’s investment portfolio. For FG VIE liabilities with recourse, the portion of the change in fair value caused by changes in instrument specific credit risk (ISCR) must now be separately presented in other comprehensive income (OCI) as opposed to the statement of operations. See Note 9, Consolidated Variable Interest Entities for additional information. Amendments under this ASU also apply to equity securities, except those that are accounted for under the equity method of accounting or that resulted in consolidation of the investee by the Company. For equity securities accounted for at fair value, changes in fair value that previously were recorded in OCI, are recorded in other income in the condensed consolidated statements of operations effective January 1, 2018. Equity securities carried at cost as of December 31, 2017, are recorded at cost less impairment plus or minus the change resulting from observable price changes in orderly transactions for the identical or a similar investment of the same issuer. See Note 10, Investments and Cash for additional information. Effective January 1, 2018, the Company adopted this ASU with a cumulative-effect adjustment to the statement of financial position as of January 1, 2018. This resulted in a reclassification of a net $32 million loss, net of tax, from retained earnings to accumulated OCI (AOCI). See Note 17, Shareholders' Equity, for additional information. 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 to be applied on a modified retrospective basis (i.e. by recording 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 ASU was adopted on January 1, 2018 with no material effect on the condensed consolidated financial statements. Future Application of Accounting Standards 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. It is to be applied using a modified retrospective approach and the ASU is effective for fiscal years and interim periods within those fiscal years, beginning after December 15, 2018. The Company does not expect this ASU to have a material effect on its condensed 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 and is effective for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. The Company intends to adopt this ASU on January 1, 2019. The Company is evaluating the effect that this ASU will have on its condensed consolidated financial statements. The Company currently accounts for its lease agreements where the Company is the lessee as operating leases and, therefore, recognizes its lease expense on a straight-line basis. See Note 14, Commitments and Contingencies for additional information on the Company's leases. 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 be required to 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 instruments such as reinsurance recoverables, loans and held to maturity securities, 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 condensed consolidated financial statements. See Note 10, Investments and Cash for the Company's current accounting policy with respect to available-for-sale securities. Adoption of 2016-01 Amendments under this ASU apply to the Company's FG VIE liabilities which the Company has historically elected to measure through the consolidated statements of operations in "fair value gains (losses) on FG VIE" under the fair value option. For FG VIE liabilities with recourse, the portion of the change in fair value caused by changes in ISCR must now be separately presented in OCI as opposed to the consolidated statements of operations. Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on FG VIEs”. The inception to date change in fair value of the FG VIE liabilities with recourse attributable to the ISCR (i.e., the Company's own credit risk) is calculated by holding all current period assumptions constant for each security and isolating the effect of the change in the Company’s CDS spread from the most recent date of consolidation to the current period. In general, if the Company’s CDS spread tightens more value will be assigned to the Company’s credit; however, if the Company’s CDS widens, less value is assigned to the Company’s credit. On adoption of ASU 2016-01, the Company reclassified approximately $33 million of loss, net of tax, from retained earnings to AOCI. This amount represents the portion of the fair value of the FG VIE liabilities with recourse that related to the change in the Company's own credit risk from the date of consolidation through January 1, 2018. The accounting and disclosure of the FG VIE liabilities without recourse are unchanged. Adoption of ASU 2016-01 Up until December 31, 2017, the change in fair value of the preferred stock investments and certain other equity investments was recorded in OCI. Effective January 1, 2018, in accordance with ASU 2016-01, the change in the fair value of these investments is recorded in other income in the condensed consolidated statements of operations. On adoption of ASU 2016-01, on January 1, 2018, the Company reclassified a loss of approximately $1 million , net of tax, from AOCI to retained earnings. In addition, in accordance with ASU 2016-01, the Company elected the new measurement alternative for equity securities that were accounted for under the cost method as of December 31, 2017 because they did not have a readily determinable fair value. Effective January 1, 2018, these equity securities will be accounted at cost less any impairment, plus or minus the change resulting from observable price changes in orderly transactions for the identical or a similar investment of the same issuer. |
Fair Value of Financial Instruments | The Company carries a significant portion of its assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit price). The price represents the price available in the principal market for the asset or liability. If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market). Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on either internally developed models that primarily use, as inputs, market-based or independently sourced market parameters, including but not limited to yield curves, interest rates and debt prices or with the assistance of an independent third-party using a discounted cash flow approach and the third party’s proprietary pricing models. In addition to market information, models also incorporate transaction details, such as maturity of the instrument and contractual features designed to reduce the Company’s credit exposure, such as collateral rights as applicable. Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity. As markets and products develop and the pricing for certain products becomes more or less transparent, the Company may refine its methodologies and assumptions. During First Quarter 2018 , no changes were made to the Company’s valuation models that had or are expected to have, a material impact on the Company’s condensed 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 | Adoption of 2016-01 Amendments under this ASU apply to the Company's FG VIE liabilities which the Company has historically elected to measure through the consolidated statements of operations in "fair value gains (losses) on FG VIE" under the fair value option. For FG VIE liabilities with recourse, the portion of the change in fair value caused by changes in ISCR must now be separately presented in OCI as opposed to the consolidated statements of operations. Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on FG VIEs”. The inception to date change in fair value of the FG VIE liabilities with recourse attributable to the ISCR (i.e., the Company's own credit risk) is calculated by holding all current period assumptions constant for each security and isolating the effect of the change in the Company’s CDS spread from the most recent date of consolidation to the current period. In general, if the Company’s CDS spread tightens more value will be assigned to the Company’s credit; however, if the Company’s CDS widens, less value is assigned to the Company’s credit. On adoption of ASU 2016-01, the Company reclassified approximately $33 million of loss, net of tax, from retained earnings to AOCI. This amount represents the portion of the fair value of the FG VIE liabilities with recourse that related to the change in the Company's own credit risk from the date of consolidation through January 1, 2018. The accounting and disclosure of the FG VIE liabilities without recourse are unchanged. |
Ratings (Tables)
Ratings (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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) (1/23/18) A2 (stable) (8/8/16) — AGC AA (stable) (6/26/17) AA (stable) (12/1/17) (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) | 3 Months Ended |
Mar. 31, 2018 | |
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 March 31, December 31, March 31, December 31, (in millions) Public finance $ 382,557 $ 393,010 $ 375,747 $ 386,092 Structured finance 14,676 15,482 14,270 15,026 Total financial guaranty $ 397,233 $ 408,492 $ 390,017 $ 401,118 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating As of March 31, 2018 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 $ 866 0.4 % $ 2,568 5.9 % $ 1,654 15.5 % $ 289 21.8 % $ 5,377 2.1 % AA 27,283 13.6 206 0.5 3,763 35.2 68 5.1 31,320 12.2 A 115,123 57.2 14,309 32.7 1,405 13.2 213 16.1 131,050 51.0 BBB 51,419 25.5 24,909 56.9 768 7.2 647 48.9 77,743 30.2 BIG 6,646 3.3 1,755 4.0 3,091 28.9 107 8.1 11,599 4.5 Total net par outstanding $ 201,337 100.0 % $ 43,747 100.0 % $ 10,681 100.0 % $ 1,324 100.0 % $ 257,089 100.0 % Financial Guaranty Portfolio by Internal Rating As of December 31, 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 $ 877 0.4 % $ 2,541 5.9 % $ 1,655 14.7 % $ 319 22.5 % $ 5,392 2.1 % AA 30,016 14.3 205 0.5 3,915 34.9 76 5.4 34,212 12.9 A 118,620 56.7 13,936 32.5 1,630 14.5 210 14.9 134,396 50.7 BBB 52,739 25.2 24,509 57.1 763 6.8 703 49.7 78,714 29.7 BIG 7,140 3.4 1,731 4.0 3,261 29.1 106 7.5 12,238 4.6 Total net par outstanding $ 209,392 100.0 % $ 42,922 100.0 % $ 11,224 100.0 % $ 1,414 100.0 % $ 264,952 100.0 % |
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) | Components of BIG Net Par Outstanding As of March 31, 2018 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 1,875 $ 391 $ 4,380 $ 6,646 $ 201,337 Non-U.S. public finance 1,476 279 — 1,755 43,747 Public finance 3,351 670 4,380 8,401 245,084 Structured finance: U.S. Residential mortgage-backed securities (RMBS) 331 292 2,043 2,666 4,678 Triple-X life insurance transactions — — 85 85 1,194 Trust preferred securities (TruPS) 99 — — 99 1,188 Other structured finance 199 79 70 348 4,945 Structured finance 629 371 2,198 3,198 12,005 Total $ 3,980 $ 1,041 $ 6,578 $ 11,599 $ 257,089 Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 31, 2017 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,368 $ 663 $ 4,109 $ 7,140 $ 209,392 Non-U.S. public finance 1,455 276 — 1,731 42,922 Public finance 3,823 939 4,109 8,871 252,314 Structured finance: U.S. RMBS 374 304 2,083 2,761 4,818 Triple-X life insurance transactions — — 85 85 1,199 TruPS 161 — — 161 1,349 Other structured finance 170 118 72 360 5,272 Structured finance 705 422 2,240 3,367 12,638 Total $ 4,528 $ 1,361 $ 6,349 $ 12,238 $ 264,952 |
Schedule of BIG Net Par Outstanding and Number of Risks | BIG Net Par Outstanding and Number of Risks As of March 31, 2018 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 $ 3,822 $ 158 $ 3,980 134 5 139 Category 2 1,024 17 1,041 43 3 46 Category 3 6,495 83 6,578 149 8 157 Total BIG $ 11,341 $ 258 $ 11,599 326 16 342 Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 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 $ 4,301 $ 227 $ 4,528 139 7 146 Category 2 1,344 17 1,361 46 3 49 Category 3 6,255 94 6,349 150 9 159 Total BIG $ 11,900 $ 338 $ 12,238 335 19 354 _____________________ (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 March 31, 2018 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) 134 (11 ) 43 (1 ) 149 (7 ) 326 — 326 Remaining weighted-average contract period (in years) 8.7 6.9 11.9 2.4 10.0 9.4 9.7 — 9.7 Outstanding exposure: Principal $ 3,911 $ (89 ) $ 1,030 $ (6 ) $ 6,661 $ (166 ) $ 11,341 $ — $ 11,341 Interest 1,865 (37 ) 639 (1 ) 3,349 (78 ) 5,737 — 5,737 Total(2) $ 5,776 $ (126 ) $ 1,669 $ (7 ) $ 10,010 $ (244 ) $ 17,078 $ — $ 17,078 Expected cash outflows (inflows) $ 101 $ (5 ) $ 232 $ (1 ) $ 3,961 $ (91 ) $ 4,197 $ (308 ) $ 3,889 Potential recoveries(3) (434 ) 19 (110 ) 0 (2,320 ) 62 (2,783 ) 191 (2,592 ) Subtotal (333 ) 14 122 (1 ) 1,641 (29 ) 1,414 (117 ) 1,297 Discount 85 (5 ) (28 ) 0 (160 ) (3 ) (111 ) 25 (86 ) Present value of expected cash flows $ (248 ) $ 9 $ 94 $ (1 ) $ 1,481 $ (32 ) $ 1,303 $ (92 ) $ 1,211 Deferred premium revenue $ 88 $ (5 ) $ 117 $ 0 $ 530 $ (2 ) $ 728 $ (71 ) $ 657 Reserves (salvage) $ (280 ) $ 10 $ 51 $ (1 ) $ 1,154 $ (30 ) $ 904 $ (60 ) $ 844 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 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) 139 (22 ) 46 (3 ) 150 (41 ) 335 — 335 Remaining weighted-average contract period (in years) 8.9 7.3 14.0 2.9 9.6 9.3 9.9 — 9.9 Outstanding exposure: Principal $ 4,397 $ (96 ) $ 1,352 $ (8 ) $ 6,445 $ (190 ) $ 11,900 $ — $ 11,900 Interest 2,110 (42 ) 1,002 (1 ) 3,098 (86 ) 6,081 — 6,081 Total(2) $ 6,507 $ (138 ) $ 2,354 $ (9 ) $ 9,543 $ (276 ) $ 17,981 $ — $ 17,981 Expected cash outflows (inflows) $ 186 $ (5 ) $ 492 $ (1 ) $ 3,785 $ (104 ) $ 4,353 $ (307 ) $ 4,046 Potential recoveries(3) (595 ) 20 (145 ) 0 (2,273 ) 67 (2,926 ) 194 (2,732 ) Subtotal (409 ) 15 347 (1 ) 1,512 (37 ) 1,427 (113 ) 1,314 Discount 66 (4 ) (93 ) 0 (78 ) (2 ) (111 ) 23 (88 ) Present value of expected cash flows $ (343 ) $ 11 $ 254 $ (1 ) $ 1,434 $ (39 ) $ 1,316 $ (90 ) $ 1,226 Deferred premium revenue $ 112 $ (5 ) $ 129 $ 0 $ 540 $ (6 ) $ 770 $ (74 ) $ 696 Reserves (salvage) $ (380 ) $ 11 $ 202 $ (1 ) $ 1,100 $ (34 ) $ 898 $ (55 ) $ 843 ____________________ (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. |
Schedule of Non-Financial Guaranty Exposure | The Company also provides non-financial guaranty reinsurance in transactions with similar risk profiles to its structured finance exposures written in financial guaranty form. All non-financial guaranty exposures shown in the table below are rated investment grade internally. Non-Financial Guaranty Exposure As of March 31, 2018 As of December 31, 2017 Gross Exposure Net Exposure Gross Exposure Net Exposure (in millions) Capital relief triple-X life reinsurance (1) $ 809 $ 705 $ 773 $ 675 Reinsurance on aircraft residual value insurance (RVI) policies 201 140 201 140 ____________________ (1) The capital relief triple-X life reinsurance net exposure is expected to increase to approximately $1.0 billion prior to September 30, 2036 . |
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 March 31, 2018 December 31, 2017 March 31, 2018 December 31, 2017 (in millions) Exposure to Puerto Rico $ 5,187 $ 5,186 $ 8,385 $ 8,514 |
Schedule of Geographic Exposure of Net Par Outstanding | Puerto Rico Net Par Outstanding As of As of (in millions) Commonwealth Constitutionally Guaranteed Commonwealth of Puerto Rico - General Obligation Bonds (1) $ 1,419 $ 1,419 PBA 141 141 Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA (Transportation revenue) (1) 882 882 PRHTA (Highways revenue) (1) 495 495 PRCCDA 152 152 PRIFA 18 18 Other Public Corporations PREPA (1) 853 853 PRASA 373 373 MFA 360 360 COFINA (1) 273 272 U of PR 1 1 Total net exposure to Puerto Rico $ 4,967 $ 4,966 ____________________ (1) As of the date of this filing, the Oversight Board has certified a filing under Title III of PROMESA for these exposures. |
BIG Net Par Outstanding and Number of Risks | Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of March 31, 2018 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization (in millions) 2018 (April 1 - June 30) $ 0 $ 3 2018 (July 1 - September 30) 200 322 2018 (October 1 - December 31) 0 3 Subtotal 2018 200 328 2019 223 464 2020 285 516 2021 148 364 2022 137 345 2023-2027 1,229 2,128 2028-2032 812 1,437 2033-2037 1,217 1,572 2038-2042 453 602 2043-2047 263 316 Total $ 4,967 $ 8,072 |
Expected Loss to be Paid (Table
Expected Loss to be Paid (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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 net expected loss to be paid for all contracts. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 0.0% to 3.11% with a weighted average of 2.82% as of March 31, 2018 and 0.00% to 2.78% with a weighted average of 2.38% as of December 31, 2017 . Expected losses to be paid for transactions denominated in currencies other than the U.S. dollar represented approximately 3.5% and 3.7% of the total as of March 31, 2018 and December 31, 2017 , respectively. Net Expected Loss to be Paid Roll Forward First Quarter 2018 2017 (in millions) Net expected loss to be paid, beginning of period $ 1,303 $ 1,198 Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 — 21 Economic loss development (benefit) due to: Accretion of discount 8 8 Changes in discount rates (6 ) 11 Changes in timing and assumptions (26 ) 28 Total economic loss development (benefit) (24 ) 47 Net (paid) recovered losses 19 (22 ) Net expected loss to be paid, end of period $ 1,298 $ 1,244 Net Expected Loss to be Paid Roll Forward by Sector First Quarter 2018 Net Expected Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 1,157 $ (39 ) $ (111 ) $ 1,007 Non-U.S. public finance 46 (3 ) — 43 Public finance 1,203 (42 ) (111 ) 1,050 Structured finance: U.S. RMBS 73 16 130 219 Other structured finance 27 2 0 29 Structured finance 100 18 130 248 Total $ 1,303 $ (24 ) $ 19 $ 1,298 Net Expected Loss to be Paid Roll Forward by Sector First Quarter 2017 Net Expected Net Expected Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 871 $ — $ 124 $ (25 ) $ 970 Non-U.S. public finance 33 13 (5 ) — 41 Public finance 904 13 119 (25 ) 1,011 Structured finance: U.S. RMBS 206 — (22 ) 13 197 Other structured finance 88 8 (50 ) (10 ) 36 Structured finance 294 8 (72 ) 3 233 Total $ 1,198 $ 21 $ 47 $ (22 ) $ 1,244 ____________________ (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 $5 million and $2 million in loss adjustment expenses (LAE) for First Quarter 2018 and 2017 , respectively. (2) Includes expected LAE to be paid of $19 million as of March 31, 2018 and $23 million as of December 31, 2017 . |
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 As of First Quarter 2018 First Quarter 2017 (in millions) Financial guaranty insurance $ 1,211 $ 1,226 $ (33 ) $ 66 FG VIEs (1) and other 93 91 2 (4 ) Credit derivatives (2) (6 ) (14 ) 7 (15 ) Total $ 1,298 $ 1,303 $ (24 ) $ 47 ___________________ (1) See Note 9, Consolidated Variable Interest Entities. (2) See 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 As of First Quarter 2018 First Quarter 2017 (in millions) Financial guaranty insurance $ 1,211 $ 1,226 $ (33 ) $ 66 FG VIEs (1) and other 93 91 2 (4 ) Credit derivatives (2) (6 ) (14 ) 7 (15 ) Total $ 1,298 $ 1,303 $ (24 ) $ 47 ___________________ (1) See Note 9, Consolidated Variable Interest Entities. (2) See 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 As of As of Range Weighted Average Range Weighted Average Alt-A First Lien Plateau CDR 1.4 % - 9.2% 4.7% 1.3 % – 9.8% 5.2% Final CDR 0.1 % - 0.5% 0.2% 0.1 % – 0.5% 0.3% Initial loss severity: 2005 and prior 60% 60% 2006 80% 80% 2007+ 70% 70% Option ARM Plateau CDR 1.4 % - 7.8% 5.8% 2.5 % – 7.0% 5.9% Final CDR 0.1 % - 0.4% 0.3% 0.1 % – 0.3% 0.3% Initial loss severity: 2005 and prior 60% 60% 2006 70% 70% 2007+ 75% 75% Subprime Plateau CDR 4.2 % - 11.8% 7.7% 3.5 % – 13.1% 7.8% Final CDR 0.2 % - 0.6% 0.4% 0.2 % – 0.7% 0.4% Initial loss severity: 2005 and prior 80% 80% 2006 85% 90% 2007+ 95% 95% First Lien Liquidation Rates March 31, 2018 December 31, 2017 Delinquent/Modified in the Previous 12 Months Alt A and Prime 20% 20% Option ARM 20 20 Subprime 20 20 30 – 59 Days Delinquent Alt A and Prime 30 30 Option ARM 35 35 Subprime 45 40 60 – 89 Days Delinquent Alt A and Prime 40 40 Option ARM 45 50 Subprime 50 50 90+ Days Delinquent Alt A and Prime 45 55 Option ARM 55 60 Subprime 55 55 Bankruptcy Alt A and Prime 45 45 Option ARM 50 50 Subprime 40 40 Foreclosure Alt A and Prime 55 65 Option ARM 65 70 Subprime 65 65 Real Estate Owned All 100 100 |
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | Key Assumptions in Base Case Expected Loss Estimates HELOCs As of As of Range Weighted Average Range Weighted Average Plateau CDR 2.5 % - 18.4% 10.6% 2.7 % - 19.9% 11.4% Final CDR trended down to 2.5 % - 3.2% 2.5% 2.5 % - 3.2% 2.5% Liquidation rates: Delinquent/Modified in the Previous 12 Months 20% 20% 30 – 59 Days Delinquent 40 45 60 – 89 Days Delinquent 60 60 90+ Days Delinquent 75 75 Bankruptcy 55 55 Foreclosure 65 70 Real Estate Owned 100 100 Loss severity 98% 98% |
Contracts Accounted for as In32
Contracts Accounted for as Insurance (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Insurance [Abstract] | |
Net Earned Premiums | Net Earned Premiums First Quarter 2018 2017 (in millions) Scheduled net earned premiums $ 88 $ 103 Accelerations: Refundings 46 56 Terminations 6 2 Total Accelerations 52 58 Accretion of discount on net premiums receivable 4 3 Financial guaranty insurance net earned premiums 144 164 Non-financial guaranty net earned premiums 1 0 Net earned premiums (1) $ 145 $ 164 ___________________ (1) Excluded $3 million and $4 million for First Quarter 2018 and 2017 , respectively, related to consolidated FG VIEs. |
Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward | Expected Collections of Financial Guaranty Insurance Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of (in millions) 2018 (April 1 - June 30) $ 39 2018 (July 1 - September 30) 27 2018 (October 1 - December 31) 18 2019 86 2020 98 2021 80 2022 72 2023-2027 296 2028-2032 198 2033-2037 109 After 2037 108 Total(1) $ 1,131 ____________________ (1) Excluded expected cash collections on FG VIEs of $12 million . Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward First Quarter 2018 2017 (in millions) December 31, $ 915 $ 576 Less: Non-financial guaranty insurance premium receivable 1 0 FG insurance premiums receivable 914 576 Premiums receivable from acquisitions (see Note 2) — 270 Gross written premiums on new business, net of commissions (2) 75 110 Gross premiums received, net of commissions (63 ) (92 ) Adjustments: Changes in the expected term (3 ) (1 ) Accretion of discount, net of commissions on assumed business (4 ) 4 Foreign exchange translation 24 9 FG insurance premium receivable (1) 943 876 Non-financial guaranty insurance premium receivable 1 0 March 31, $ 944 $ 876 ____________________ (1) Excludes $9 million and $11 million as of March 31, 2018 and March 31, 2017 , respectively, related to consolidated FG VIEs. (2) For transactions where the Company replaces a previous Assured Guaranty financial guaranty contract, gross premiums written represents only the incremental gross premium written in excess of the original gross premiums written. |
Schedule of Net Earned Premiums | Scheduled Financial Guaranty Insurance Net Earned Premiums As of (in millions) 2018 (April 1 - June 30) $ 87 2018 (July 1 - September 30) 84 2018 (October 1 - December 31) 81 Subtotal 2018 252 2019 292 2020 268 2021 244 2022 222 2023-2027 864 2028-2032 569 2033-2037 330 After 2037 286 Net deferred premium revenue(1) 3,327 Future accretion 181 Total future net earned premiums $ 3,508 ____________________ (1) Excluded scheduled net earned premiums on consolidated FG VIEs of $73 million and non-financial guaranty business net earned premium of $8 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 $ 943 $ 914 Gross deferred premium revenue 1,188 1,205 Weighted-average risk-free rate used to discount premiums 2.2 % 2.3 % Weighted-average period of premiums receivable (in years) 9.2 9.2 |
Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts | Net Reserve (Salvage) As of As of (in millions) Public finance: U.S. public finance $ 771 $ 901 Non-U.S. public finance 21 21 Public finance 792 922 Structured finance: U.S. RMBS 81 (59 ) Other structured finance 35 40 Structured finance 116 (19 ) Subtotal 908 903 Other recoverable (payable) (3 ) (4 ) Subtotal 905 899 Elimination of losses attributable to FG VIEs (60 ) (55 ) Total $ 845 $ 844 |
Components of Net Reserves (Salvage) Insurance Contracts | Components of Net Reserves (Salvage) As of As of (in millions) Loss and LAE reserve $ 1,299 $ 1,444 Reinsurance recoverable on unpaid losses (1) (38 ) (44 ) Loss and LAE reserve, net 1,261 1,400 Salvage and subrogation recoverable (430 ) (572 ) Salvage and subrogation payable(2) 17 20 Other payable (recoverable) (1) (3 ) (4 ) Salvage and subrogation recoverable, net, and other recoverable (416 ) (556 ) Net reserves (salvage) $ 845 $ 844 ____________________ (1) Recorded as a component of other assets in condensed consolidated balance sheets. (2) Recorded as a component of other liabilities in condensed consolidated balance sheets. |
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) $ 1,211 Contra-paid, net 60 Salvage and subrogation recoverable, net of reinsurance 413 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (1,260 ) Other recoverable (payable) 3 Net expected loss to be expensed (present value) (2) $ 427 ____________________ (1) See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid. (2) Excluded $48 million as of March 31, 2018 , 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) 2018 (April 1 – June 30) $ 9 2018 (July 1 – September 30) 10 2018 (October 1 – December 31) 10 Subtotal 2018 29 2019 42 2020 39 2021 35 2022 32 2023-2027 126 2028-2032 77 2033-2037 35 After 2037 12 Net expected loss to be expensed 427 Future accretion 86 Total expected future loss and LAE $ 513 |
Loss and LAE Reported on the Consolidated Statements of Operations | Loss and LAE Reported on the Condensed Consolidated Statements of Operations Loss (Benefit) First Quarter 2018 2017 (in millions) Public finance: U.S. public finance $ (28 ) $ 112 Non-U.S. public finance (1 ) (3 ) Public finance (29 ) 109 Structured finance: U.S. RMBS 22 (9 ) Other structured finance (5 ) (39 ) Structured finance 17 (48 ) Loss and LAE on insurance contracts before FG VIE consolidation (12 ) 61 Gain (loss) related to FG VIE consolidation (6 ) (2 ) Loss and LAE $ (18 ) $ 59 |
BIG Net Par Outstanding and Number of Risks | The following table provides information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of March 31, 2018 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) 134 (11 ) 43 (1 ) 149 (7 ) 326 — 326 Remaining weighted-average contract period (in years) 8.7 6.9 11.9 2.4 10.0 9.4 9.7 — 9.7 Outstanding exposure: Principal $ 3,911 $ (89 ) $ 1,030 $ (6 ) $ 6,661 $ (166 ) $ 11,341 $ — $ 11,341 Interest 1,865 (37 ) 639 (1 ) 3,349 (78 ) 5,737 — 5,737 Total(2) $ 5,776 $ (126 ) $ 1,669 $ (7 ) $ 10,010 $ (244 ) $ 17,078 $ — $ 17,078 Expected cash outflows (inflows) $ 101 $ (5 ) $ 232 $ (1 ) $ 3,961 $ (91 ) $ 4,197 $ (308 ) $ 3,889 Potential recoveries(3) (434 ) 19 (110 ) 0 (2,320 ) 62 (2,783 ) 191 (2,592 ) Subtotal (333 ) 14 122 (1 ) 1,641 (29 ) 1,414 (117 ) 1,297 Discount 85 (5 ) (28 ) 0 (160 ) (3 ) (111 ) 25 (86 ) Present value of expected cash flows $ (248 ) $ 9 $ 94 $ (1 ) $ 1,481 $ (32 ) $ 1,303 $ (92 ) $ 1,211 Deferred premium revenue $ 88 $ (5 ) $ 117 $ 0 $ 530 $ (2 ) $ 728 $ (71 ) $ 657 Reserves (salvage) $ (280 ) $ 10 $ 51 $ (1 ) $ 1,154 $ (30 ) $ 904 $ (60 ) $ 844 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 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) 139 (22 ) 46 (3 ) 150 (41 ) 335 — 335 Remaining weighted-average contract period (in years) 8.9 7.3 14.0 2.9 9.6 9.3 9.9 — 9.9 Outstanding exposure: Principal $ 4,397 $ (96 ) $ 1,352 $ (8 ) $ 6,445 $ (190 ) $ 11,900 $ — $ 11,900 Interest 2,110 (42 ) 1,002 (1 ) 3,098 (86 ) 6,081 — 6,081 Total(2) $ 6,507 $ (138 ) $ 2,354 $ (9 ) $ 9,543 $ (276 ) $ 17,981 $ — $ 17,981 Expected cash outflows (inflows) $ 186 $ (5 ) $ 492 $ (1 ) $ 3,785 $ (104 ) $ 4,353 $ (307 ) $ 4,046 Potential recoveries(3) (595 ) 20 (145 ) 0 (2,273 ) 67 (2,926 ) 194 (2,732 ) Subtotal (409 ) 15 347 (1 ) 1,512 (37 ) 1,427 (113 ) 1,314 Discount 66 (4 ) (93 ) 0 (78 ) (2 ) (111 ) 23 (88 ) Present value of expected cash flows $ (343 ) $ 11 $ 254 $ (1 ) $ 1,434 $ (39 ) $ 1,316 $ (90 ) $ 1,226 Deferred premium revenue $ 112 $ (5 ) $ 129 $ 0 $ 540 $ (6 ) $ 770 $ (74 ) $ 696 Reserves (salvage) $ (380 ) $ 11 $ 202 $ (1 ) $ 1,100 $ (34 ) $ 898 $ (55 ) $ 843 ____________________ (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) | 3 Months Ended |
Mar. 31, 2018 | |
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 13 % 14 % Based on market indices 50 % 48 % Provided by the CDS counterparty 37 % 38 % Total 100 % 100 % ____________________ (1) Based on par. |
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 March 31, 2018 Fair Value Hierarchy Fair Value Level 1 Level 2 Level 3 (in millions) Assets: Investment portfolio, available-for-sale(1): Fixed-maturity securities Obligations of state and political subdivisions $ 5,474 $ — $ 5,391 $ 83 U.S. government and agencies 275 — 275 — Corporate securities 1,924 — 1,862 62 Mortgage-backed securities: RMBS 849 — 535 314 Commercial mortgage-backed securities (CMBS) 559 — 559 — Asset-backed securities 889 — 80 809 Non-U.S. government securities 327 — 327 — Total fixed-maturity securities 10,297 — 9,029 1,268 Short-term investments 751 267 484 — Other invested assets (2) 7 — 0 7 FG VIEs’ assets, at fair value (3) 651 — — 651 Other assets(3) 124 29 35 60 Total assets carried at fair value $ 11,830 $ 296 $ 9,548 $ 1,986 Liabilities: Credit derivative liabilities (3) $ 237 $ — $ — $ 237 FG VIEs’ liabilities with recourse, at fair value (4) 598 — — 598 FG VIEs’ liabilities without recourse, at fair value (3) 110 — — 110 Total liabilities carried at fair value $ 945 $ — $ — $ 945 Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 2017 Fair Value Hierarchy Fair Value Level 1 Level 2 Level 3 (in millions) Assets: Investment portfolio, available-for-sale(1): Fixed-maturity securities Obligations of state and political subdivisions $ 5,760 $ — $ 5,684 $ 76 U.S. government and agencies 285 — 285 — Corporate securities 2,018 — 1,951 67 Mortgage-backed securities: RMBS 861 — 527 334 CMBS 549 — 549 — Asset-backed securities 896 — 109 787 Non-U.S. government securities 305 — 305 — Total fixed-maturity securities 10,674 — 9,410 1,264 Short-term investments 627 464 162 1 Other invested assets (2) 7 — 0 7 FG VIEs’ assets, at fair value (3) 700 — — 700 Other assets(3) 123 25 36 62 Total assets carried at fair value $ 12,131 $ 489 $ 9,608 $ 2,034 Liabilities: Credit derivative liabilities (3) $ 271 $ — $ — $ 271 FG VIEs’ liabilities with recourse, at fair value (3) 627 — — 627 FG VIEs’ liabilities without recourse, at fair value (3) 130 — — 130 Total liabilities carried at fair value $ 1,028 $ — $ — $ 1,028 ____________________ (1) Change in fair value is included in OCI. (2) Excludes investments of $42 million and $45 million as of March 31, 2018 and December 31, 2017 , respectively, measured using NAV per share with fair value recorded in the condensed consolidated statements of operations. Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. |
Fair Value Assets Measured on Recurring Basis | The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during First Quarter 2018 and 2017 . Fair Value Level 3 Rollforward Recurring Basis First Quarter 2018 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 $ 76 $ 67 $ 334 $ 787 $ 700 $ 64 $ (269 ) $ (627 ) $ (130 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 1 (2 ) (5 ) (2 ) 7 (2 ) 15 (2 ) 1 (3 ) (1 ) (4 ) 34 (6 ) 0 (3 ) 1 (3 ) Other comprehensive income (loss) 3 0 (7 ) 3 — 0 — (2 ) — Purchases 4 — — 9 — — — — — Settlements (1 ) — (20 ) (5 ) (33 ) (1 ) (1 ) 30 3 FG VIE deconsolidations — — — — (17 ) — — 1 16 Fair value as of $ 83 $ 62 $ 314 $ 809 $ 651 $ 62 $ (236 ) $ (598 ) $ (110 ) Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2018 $ 3 $ 0 $ (6 ) $ 4 $ 4 (3 ) $ (1 ) (4 ) $ 28 (6 ) $ (3 ) (3 ) $ 1 (3 ) Fair Value Level 3 Rollforward Recurring Basis First Quarter 2017 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (8) 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) 1 (2 ) 2 (2 ) (2 ) (2 ) 74 (2 ) 17 (3 ) (2 ) (4 ) 54 (6 ) (9 ) (3 ) (2 ) (3 ) Other comprehensive income (loss) 4 0 27 7 — 0 — — — Purchases — — 27 57 — — — — — Settlements (2 ) — (15 ) (348 ) (46 ) — (15 ) 44 4 FG VIE consolidations — — — — 21 — — — (21 ) FG VIE deconsolidations — — — — (87 ) — — 51 36 Fair value as of $ 42 $ 62 $ 402 $ 602 $ 781 $ 63 $ (350 ) $ (721 ) $ (134 ) Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2017 $ 4 $ 0 $ 27 $ 73 $ 21 (3 ) $ (2 ) (4 ) $ 25 (6 ) $ (7 ) (3 ) $ (2 ) (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 net investment income and other income. (5) Represents net position of credit derivatives. The condensed consolidated balance sheet presents gross assets, included in other assets, and liabilities based on net counterparty exposure. (6) Reported in net change in fair value of credit derivatives. (7) Included short-term investments, CCS and other invested assets. (8) Included CCS and other invested assets. |
Fair Value, Liabilities Measured on Recurring Basis | The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during First Quarter 2018 and 2017 . Fair Value Level 3 Rollforward Recurring Basis First Quarter 2018 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 $ 76 $ 67 $ 334 $ 787 $ 700 $ 64 $ (269 ) $ (627 ) $ (130 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 1 (2 ) (5 ) (2 ) 7 (2 ) 15 (2 ) 1 (3 ) (1 ) (4 ) 34 (6 ) 0 (3 ) 1 (3 ) Other comprehensive income (loss) 3 0 (7 ) 3 — 0 — (2 ) — Purchases 4 — — 9 — — — — — Settlements (1 ) — (20 ) (5 ) (33 ) (1 ) (1 ) 30 3 FG VIE deconsolidations — — — — (17 ) — — 1 16 Fair value as of $ 83 $ 62 $ 314 $ 809 $ 651 $ 62 $ (236 ) $ (598 ) $ (110 ) Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2018 $ 3 $ 0 $ (6 ) $ 4 $ 4 (3 ) $ (1 ) (4 ) $ 28 (6 ) $ (3 ) (3 ) $ 1 (3 ) Fair Value Level 3 Rollforward Recurring Basis First Quarter 2017 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (8) 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) 1 (2 ) 2 (2 ) (2 ) (2 ) 74 (2 ) 17 (3 ) (2 ) (4 ) 54 (6 ) (9 ) (3 ) (2 ) (3 ) Other comprehensive income (loss) 4 0 27 7 — 0 — — — Purchases — — 27 57 — — — — — Settlements (2 ) — (15 ) (348 ) (46 ) — (15 ) 44 4 FG VIE consolidations — — — — 21 — — — (21 ) FG VIE deconsolidations — — — — (87 ) — — 51 36 Fair value as of $ 42 $ 62 $ 402 $ 602 $ 781 $ 63 $ (350 ) $ (721 ) $ (134 ) Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2017 $ 4 $ 0 $ 27 $ 73 $ 21 (3 ) $ (2 ) (4 ) $ 25 (6 ) $ (7 ) (3 ) $ (2 ) (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 net investment income and other income. (5) Represents net position of credit derivatives. The condensed consolidated balance sheet presents gross assets, included in other assets, and liabilities based on net counterparty exposure. (6) Reported in net change in fair value of credit derivatives. (7) Included short-term investments, CCS and other invested assets. (8) Included CCS and other invested assets. |
Schedule of Quantitative Information About Level 3 Assets, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At March 31, 2018 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 $ 83 Yield 4.5 % - 39.0% 9.6% Corporate securities 62 Yield 22.8% RMBS 314 CPR 1.4 % - 15.0% 6.4% CDR 1.5 % - 8.6% 5.7% Loss severity 40.0 % - 125.0% 82.4% Yield 4.7 % - 7.8% 5.9% Asset-backed securities: Triple-X life insurance transactions 628 Yield 6.3 % - 6.9% 6.6% Collateralized loan obligations (CLO) /TruPS 124 Yield 3.0 % - 4.8% 3.6% Others 57 Yield 11.3% FG VIEs’ assets, at fair value 651 CPR 1.7 % - 17.8% 9.2% CDR 1.3 % - 21.9% 5.2% Loss severity 60.0 % - 100.0% 79.7% Yield 4.1 % - 10.4% 6.6% Other assets 59 Implied Yield 5.5 % - 6.1% 5.8% Term (years) 10 years Liabilities: Credit derivative liabilities, net (236 ) Year 1 loss estimates 0.0 % - 43.0% 3.3% Hedge cost (in bps) 5.5 - 90.8 34.0 Bank profit (in bps) 8.3 - 515.9 111.1 Internal floor (in bps) 8.8 - 30.0 23.4 Internal credit rating AAA - CCC AA- FG VIEs’ liabilities, at fair value (708 ) CPR 1.7 % - 17.8% 9.2% CDR 1.3 % - 21.9% 5.2% Loss severity 60.0 % - 100.0% 79.7% Yield 3.7 % - 10.4% 5.2% ___________________ (1) Discounted cash flow is used as the primary valuation technique for all financial instruments listed in this table. (2) Excluded several investments recorded in other invested assets with fair value of $7 million . Quantitative Information About Level 3 Fair Value Inputs At December 31, 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 $ 76 Yield 4.5 % - 40.8% 12.5% Corporate securities 67 Yield 22.5% RMBS 334 CPR 1.3 % - 17.4% 6.4% CDR 1.5 % - 9.2% 5.9% Loss severity 40.0 % - 125.0% 82.5% Yield 4.0 % - 7.5% 5.6% Asset-backed securities: Triple-X life insurance transactions 613 Yield 6.2 % - 6.4% 6.3% CLO/TruPS 116 Yield 2.6 % - 4.6% 3.3% Others 58 Yield 10.7% FG VIEs’ assets, at fair value 700 CPR 3.0 % - 14.9% 9.5% CDR 1.3 % - 21.7% 5.4% Loss severity 60.0 % - 100.0% 79.6% Yield 3.7 % - 10.0% 6.2% Other assets 60 Implied Yield 5.2 % - 5.9% 5.5% Term (years) 10 years Liabilities: Credit derivative liabilities, net (269 ) Year 1 loss estimates 0.0 % - 42.0% 3.3% Hedge cost (in bps) 17.6 - 122.6 48.1 Bank profit (in bps) 6.0 - 852.5 107.5 Internal floor (in bps) 8.0 - 30.0 21.8 Internal credit rating AAA - CCC AA- FG VIEs’ liabilities, at fair value (757 ) CPR 3.0 % - 14.9% 9.5% CDR 1.3 % - 21.7% 5.4% Loss severity 60.0 % - 100.0% 79.6% Yield 3.4 % - 10.0% 4.9% ____________________ (1) Discounted cash flow is used as the primary valuation technique for all financial instruments listed in this table. (2) Excluded short-term investments with fair value of $1 million and several investments recorded in other invested assets with fair value of $7 million |
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At March 31, 2018 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 $ 83 Yield 4.5 % - 39.0% 9.6% Corporate securities 62 Yield 22.8% RMBS 314 CPR 1.4 % - 15.0% 6.4% CDR 1.5 % - 8.6% 5.7% Loss severity 40.0 % - 125.0% 82.4% Yield 4.7 % - 7.8% 5.9% Asset-backed securities: Triple-X life insurance transactions 628 Yield 6.3 % - 6.9% 6.6% Collateralized loan obligations (CLO) /TruPS 124 Yield 3.0 % - 4.8% 3.6% Others 57 Yield 11.3% FG VIEs’ assets, at fair value 651 CPR 1.7 % - 17.8% 9.2% CDR 1.3 % - 21.9% 5.2% Loss severity 60.0 % - 100.0% 79.7% Yield 4.1 % - 10.4% 6.6% Other assets 59 Implied Yield 5.5 % - 6.1% 5.8% Term (years) 10 years Liabilities: Credit derivative liabilities, net (236 ) Year 1 loss estimates 0.0 % - 43.0% 3.3% Hedge cost (in bps) 5.5 - 90.8 34.0 Bank profit (in bps) 8.3 - 515.9 111.1 Internal floor (in bps) 8.8 - 30.0 23.4 Internal credit rating AAA - CCC AA- FG VIEs’ liabilities, at fair value (708 ) CPR 1.7 % - 17.8% 9.2% CDR 1.3 % - 21.9% 5.2% Loss severity 60.0 % - 100.0% 79.7% Yield 3.7 % - 10.4% 5.2% ___________________ (1) Discounted cash flow is used as the primary valuation technique for all financial instruments listed in this table. (2) Excluded several investments recorded in other invested assets with fair value of $7 million . Quantitative Information About Level 3 Fair Value Inputs At December 31, 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 $ 76 Yield 4.5 % - 40.8% 12.5% Corporate securities 67 Yield 22.5% RMBS 334 CPR 1.3 % - 17.4% 6.4% CDR 1.5 % - 9.2% 5.9% Loss severity 40.0 % - 125.0% 82.5% Yield 4.0 % - 7.5% 5.6% Asset-backed securities: Triple-X life insurance transactions 613 Yield 6.2 % - 6.4% 6.3% CLO/TruPS 116 Yield 2.6 % - 4.6% 3.3% Others 58 Yield 10.7% FG VIEs’ assets, at fair value 700 CPR 3.0 % - 14.9% 9.5% CDR 1.3 % - 21.7% 5.4% Loss severity 60.0 % - 100.0% 79.6% Yield 3.7 % - 10.0% 6.2% Other assets 60 Implied Yield 5.2 % - 5.9% 5.5% Term (years) 10 years Liabilities: Credit derivative liabilities, net (269 ) Year 1 loss estimates 0.0 % - 42.0% 3.3% Hedge cost (in bps) 17.6 - 122.6 48.1 Bank profit (in bps) 6.0 - 852.5 107.5 Internal floor (in bps) 8.0 - 30.0 21.8 Internal credit rating AAA - CCC AA- FG VIEs’ liabilities, at fair value (757 ) CPR 3.0 % - 14.9% 9.5% CDR 1.3 % - 21.7% 5.4% Loss severity 60.0 % - 100.0% 79.6% Yield 3.4 % - 10.0% 4.9% ____________________ (1) Discounted cash flow is used as the primary valuation technique for all financial instruments listed in this table. (2) Excluded short-term investments with fair value of $1 million and several investments recorded in other invested assets with fair value of $7 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 $ 10,297 $ 10,297 $ 10,674 $ 10,674 Short-term investments 751 751 627 627 Other invested assets 55 57 60 61 FG VIEs’ assets, at fair value 651 651 700 700 Other assets 226 226 220 220 Liabilities: Financial guaranty insurance contracts (1) 3,217 6,880 3,330 7,104 Long-term debt 1,281 1,618 1,292 1,627 Credit derivative liabilities 237 237 271 271 FG VIEs’ liabilities with recourse, at fair value 598 598 627 627 FG VIEs’ liabilities without recourse, at fair value 110 110 130 130 Other liabilities 58 58 55 55 ____________________ (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 Cr34
Contracts Accounted for as Credit Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating | Credit Derivatives (1) As of March 31, 2018 As of December 31, 2017 Asset Type Net Par Outstanding Net Fair Value Net Par Outstanding Net Fair Value (in millions) Pooled infrastructure $ 1,577 $ (41 ) $ 1,561 $ (42 ) U.S. RMBS 886 (28 ) 916 (53 ) Pooled corporate obligations (TruPS collateralized debt obligations (CDOs)) 767 (75 ) 878 (72 ) Infrastructure finance 544 (26 ) 572 (36 ) Other (2) 1,841 (66 ) 2,280 (66 ) Total $ 5,615 $ (236 ) $ 6,207 $ (269 ) ____________________ (1) Expected loss to be recovered were $6 million as of March 31, 2018 and $14 million as of December 31, 2017 . (2) This comprises numerous transactions across various asset classes, such as regulated utilities, health care, municipal utilities, and consumer receivables. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of March 31, 2018 As of December 31, 2017 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 2,137 38.1 % $ 2,144 34.6 % AA 1,053 18.7 1,170 18.8 A 1,203 21.4 1,517 24.5 BBB 964 17.2 1,038 16.7 BIG 258 4.6 338 5.4 Credit derivative net par outstanding $ 5,615 100.0 % $ 6,207 100.0 % |
Net Change in Fair Value of Credit Derivatives | Net Change in Fair Value of Credit Derivative Gain (Loss) First Quarter 2018 2017 (in millions) Realized gains on credit derivatives $ 2 $ 5 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements 0 10 Realized gains (losses) and other settlements 2 15 Net unrealized gains (losses): Pooled infrastructure 1 6 U.S. RMBS 26 9 Pooled corporate obligations (3 ) 20 Infrastructure finance 10 1 Other (2 ) 3 Net unrealized gains (losses) 32 39 Net change in fair value of credit derivatives $ 34 $ 54 |
CDS Spread on AGC and AGM | CDS Spread on AGC and AGM Quoted price of CDS contract (in basis points) As of As of As of As of Five-year CDS spread: AGC 121 163 173 158 AGM 109 145 181 158 One-year CDS spread AGC 25 70 31 35 AGM 22 28 31 29 |
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 $ (499 ) $ (555 ) Plus: Effect of AGC and AGM credit spreads 263 286 Net fair value of credit derivatives $ (236 ) $ (269 ) |
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 $ 333 $ 497 Maximum posting requirement 300 464 Collateral posted 1 18 |
Consolidated Variable Interes35
Consolidated Variable Interest Entities (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated FG VIE's | Effect of Consolidating FG VIEs First Quarter 2018 2017 (in millions) Net earned premiums $ (3 ) $ (4 ) Net investment income (1 ) (1 ) Fair value gains (losses) on FG VIEs 4 10 Loss and LAE 6 2 Effect on income before tax 6 7 Less: tax provision (benefit) 1 3 Effect on net income (loss) $ 5 $ 4 Effect on OCI $ (2 ) $ — Effect on cash flows from operating activities $ 2 $ 5 As of As of (in millions) Effect on shareholders' equity (decrease) increase $ 5 $ 2 Number of FG VIEs Consolidated First Quarter 2018 2017 Beginning of the period, December 31, 32 32 Consolidated — 1 Deconsolidated (1 ) (1 ) End of the period, March 31, 31 32 Consolidated FG VIEs By Type of Collateral As of March 31, 2018 As of December 31, 2017 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 345 $ 371 $ 362 $ 385 U.S. RMBS second lien 135 165 144 177 Manufactured housing 61 62 64 65 Total with recourse 541 598 570 627 Without recourse 110 110 130 130 Total $ 651 $ 708 $ 700 $ 757 |
Investments and Cash (Tables)
Investments and Cash (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Net Investment Income | Net Investment Income First Quarter 2018 2017 (in millions) Income from fixed-maturity securities managed by third parties $ 75 $ 75 Income from internally managed securities (1) 28 49 Gross investment income 103 124 Investment expenses (2 ) (2 ) Net investment income $ 101 $ 122 ____________________ (1) First Quarter 2017 includes accretion on Zohar II Notes. |
Net Realized Investment Gains (Losses) | Net Realized Investment Gains (Losses) First Quarter 2018 2017 (in millions) Gross realized gains on available-for-sale securities (1) $ 9 $ 43 Gross realized losses on available-for-sale securities (5 ) (2 ) Net realized gains (losses) on other invested assets (1 ) 0 Other-than-temporary impairment (OTTI) (8 ) (9 ) Net realized investment gains (losses) $ (5 ) $ 32 ____________________ (1) First Quarter 2017 includes a gain on Zohar II Notes used as consideration for the MBIA UK Acquisition. See 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 OTTI 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 First Quarter 2018 2017 (in millions) Balance, beginning of period $ 162 $ 134 Additions for credit losses on securities for which an OTTI was previously recognized 7 8 Balance, end of period $ 169 $ 142 |
Fixed Maturity Securities and Short Term Investments by Security Type | Fixed-Maturity Securities and Short-Term Investments by Security Type As of March 31, 2018 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI(2) Gain (Loss) on Securities with OTTI Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 50 % $ 5,323 $ 178 $ (27 ) $ 5,474 $ 26 AA- U.S. government and agencies 2 265 11 (1 ) 275 — AA+ Corporate securities 18 1,911 45 (32 ) 1,924 (6 ) A Mortgage-backed securities(4): 0 RMBS 8 857 20 (28 ) 849 (8 ) A- CMBS 5 561 5 (7 ) 559 — AAA Asset-backed securities 7 721 169 (1 ) 889 137 B Non-U.S. government securities 3 331 9 (13 ) 327 — AA Total fixed-maturity securities 93 9,969 437 (109 ) 10,297 149 A+ Short-term investments 7 751 0 0 751 — AAA Total investment portfolio 100 % $ 10,720 $ 437 $ (109 ) $ 11,048 $ 149 A+ Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2017 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI Gain (Loss) on Securities with OTTI Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 51 % $ 5,504 $ 267 $ (11 ) $ 5,760 $ 23 AA U.S. government and agencies 2 272 14 (1 ) 285 — AA+ Corporate securities 18 1,973 63 (18 ) 2,018 (6 ) A Mortgage-backed securities(4): RMBS 8 852 26 (17 ) 861 (1 ) BBB+ CMBS 5 540 12 (3 ) 549 — AAA Asset-backed securities 7 730 166 0 896 136 B Non-U.S. government securities 3 316 6 (17 ) 305 0 AA Total fixed-maturity securities 94 10,187 554 (67 ) 10,674 152 A+ Short-term investments 6 627 0 0 627 — AAA Total investment portfolio 100 % $ 10,814 $ 554 $ (67 ) $ 11,301 $ 152 A+ ____________________ (1) Based on amortized cost. (2) See Note 17, Shareholders' Equity. (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) U.S. government-agency obligations were approximately 42% of mortgage backed securities as of March 31, 2018 and 39% as of December 31, 2017 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 March 31, 2018 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 $ 988 $ (15 ) $ 260 $ (12 ) $ 1,248 $ (27 ) U.S. government and agencies 62 0 17 (1 ) 79 (1 ) Corporate securities 692 (14 ) 226 (18 ) 918 (32 ) Mortgage-backed securities: RMBS 350 (11 ) 203 (17 ) 553 (28 ) CMBS 222 (3 ) 78 (4 ) 300 (7 ) Asset-backed securities 55 (1 ) 3 0 58 (1 ) Non-U.S. government securities 21 0 119 (13 ) 140 (13 ) Total $ 2,390 $ (44 ) $ 906 $ (65 ) $ 3,296 $ (109 ) Number of securities (1) 716 244 944 Number of securities with OTTI (1) 20 16 35 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2017 Less than 12 months 12 months or more Total Fair Unrealized Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 166 $ (4 ) $ 281 $ (7 ) $ 447 $ (11 ) U.S. government and agencies 151 0 18 (1 ) 169 (1 ) Corporate securities 201 (1 ) 240 (17 ) 441 (18 ) Mortgage-backed securities: RMBS 191 (5 ) 213 (12 ) 404 (17 ) CMBS 29 0 80 (3 ) 109 (3 ) Asset-backed securities 48 0 3 0 51 0 Non-U.S. government securities 20 0 140 (17 ) 160 (17 ) Total $ 806 $ (10 ) $ 975 $ (57 ) $ 1,781 $ (67 ) Number of securities (1) 244 264 499 Number of securities with OTTI (1) 17 15 31 ___________________ (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 March 31, 2018 are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Distribution of Fixed-Maturity Securities by Contractual Maturity As of March 31, 2018 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 274 $ 272 Due after one year through five years 1,438 1,467 Due after five years through 10 years 2,345 2,378 Due after 10 years 4,494 4,772 Mortgage-backed securities: RMBS 857 849 CMBS 561 559 Total $ 9,969 $ 10,297 |
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 $ 1,199 $ 1,231 Other invested assets 18 20 Alternative investments 80 69 Other 5 5 Total $ 1,302 $ 1,325 |
Cash and Restricted Cash | The following table provides a reconciliation of the cash reported on the condensed 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 As of (in millions) Cash $ 114 $ 144 $ 147 $ 118 Restricted cash (1) 3 0 1 9 Total cash and restricted cash $ 117 $ 144 $ 148 $ 127 ____________________ (1) Amounts relate to cash held in trust accounts and are reported in other assets in condensed consolidated balance sheets. See Note 13, Reinsurance and Other Monoline Exposures, for more information. |
Insurance Company Regulatory 37
Insurance Company Regulatory Requirements (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Insurance Company Regulatory Requirements [Abstract] | |
Schedule of Statutory Dividends, Loans and Advances | Dividends and Return of capital By Insurance Company Subsidiaries First Quarter 2018 2017 Dividends paid by AGC to AGUS $ 52 $ 28 Dividends paid by AGM to AGMH 73 79 Dividends paid by AG Re to AGL 40 40 Dividends paid by MAC to MAC Assurance Holdings Inc. (MAC Holdings)(1) — 12 Repurchase of common stock by AGC from AGUS 200 — ____________________ (1) MAC Holdings distributed nearly the entire amounts to AGM and AGC, in proportion to their ownership percentages. |
Income Taxes (Tables)
Income Taxes (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Schedule of Deferred Tax Assets and Liabilities | Deferred and Current Tax Assets (Liabilities) (1) As of As of (in millions) Deferred tax assets (liabilities) $ 70 $ 98 Current tax assets (liabilities) 63 21 ____________________ (1) Included in other assets or other liabilities on the condensed consolidated balance sheets. |
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 First Quarter 2018 2017 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 35 $ 85 Tax-exempt interest (6 ) (12 ) Bargain purchase gain — (20 ) Change in liability for uncertain tax positions (7 ) — Foreign taxes (4 ) — State taxes 2 5 Other 0 (3 ) Total provision (benefit) for income taxes $ 20 $ 55 Effective tax rate 9.3 % 14.7 % |
Pretax Income (Loss) by Tax Jurisdiction | The following table presents pretax income and revenue by jurisdiction. Pretax Income (Loss) by Tax Jurisdiction First Quarter 2018 2017 (in millions) United States $ 175 $ 246 Bermuda 49 133 U.K. (7 ) (7 ) Total $ 217 $ 372 |
Revenue by Tax Jurisdiction | Revenue by Tax Jurisdiction First Quarter 2018 2017 (in millions) United States $ 247 $ 474 Bermuda 52 57 U.K. (6 ) (4 ) Total $ 293 $ 527 |
Reinsurance and Other Monolin39
Reinsurance and Other Monoline Exposures (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Insurance [Abstract] | |
Effects of Reinsurance on Statement of Operations | Effect of Reinsurance on Statement of Operations First Quarter 2018 2017 (in millions) Premiums Written: Direct $ 73 $ 109 Assumed 0 2 Ceded (1) (11 ) 11 Net $ 62 $ 122 Premiums Earned: Direct $ 143 $ 167 Assumed 5 6 Ceded (3 ) (9 ) Net $ 145 $ 164 Loss and LAE: Direct $ (14 ) $ 67 Assumed (3 ) 3 Ceded (1 ) (11 ) Net $ (18 ) $ 59 ____________________ (1) Positive ceded premiums written were due to commutations and changes in expected debt service schedules. |
Exposure by Reinsurer | Exposure to Reinsurers and Other Monolines (1) As of As of (in millions) Due (To) From: Assumed premium, net of commissions $ 52 $ 53 Ceded premium, net of commissions (46 ) (42 ) Assumed loss paid (18 ) (19 ) Assumed expected loss to be paid (65 ) (71 ) Ceded expected loss to be paid 24 29 Outstanding Exposure: Financial guaranty Ceded par outstanding (2) 4,299 4,434 Assumed par outstanding 7,705 8,383 Second-to-pay insured par outstanding (3) 5,954 6,605 Non-financial guaranty exposure (see Note 4) Ceded 165 159 Assumed 1,010 974 ____________________ (1) The total collateral posted by all non-affiliated reinsurers required to post, or that had agreed to post, collateral as of March 31, 2018 and December 31, 2017 was approximately $105 million and $118 million , respectively. (2) Of the total par ceded to unrated or BIG rated reinsurers, $261 million and $296 million , is rated BIG as of March 31, 2018 and December 31, 2017 , respectively. (3) The par on second-to-pay exposure where the primary insurer and underlying transaction rating are both BIG and/or not rated is $191 million and $204 million as of March 31, 2018 and December 31, 2017 , respectively. Second-to-pay insured par outstanding represents transactions the Company has insured that were previously insured by other monoline financial guaranty insurers. The Company underwrites such transactions based on the underlying insured obligation without regard to the primary insurer. |
Schedule of Commutations and Cancellations of Reinsurance Contracts | Commutations of Ceded Reinsurance Contracts First Quarter 2018 2017 (in millions) Increase (decrease) in net unearned premium reserve $ 4 $ 18 Increase (decrease) in net par outstanding 42 1,173 Commutation gains (losses) 1 73 |
Long-Term Debt and Credit Fac40
Long-Term Debt and Credit Facilities (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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 March 31, 2018 As of December 31, 2017 Principal Carrying 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 70 6.25% Notes (1) 230 142 230 142 5.6% Notes (1) 100 57 100 57 Junior Subordinated Debentures (2) 300 194 300 192 Total AGMH 730 463 730 461 AGM(3): AGM Notes Payable 6 6 6 6 Total AGM 6 6 6 6 Purchased debt (4) (48 ) (31 ) (28 ) (18 ) Total $ 1,538 $ 1,281 $ 1,558 $ 1,292 ____________________ (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 First Quarter 2018 and full year 2017, AGUS purchased $20 million and $28 million , respectively, principal amount of AGMH's outstanding Junior Subordinated Debentures. The Company recognized a $7 million loss on extinguishment of debt in First Quarter 2018 , which is included in other income. There were no purchases of debt of the Company's subsidiaries by the Company or any of its subsidiaries in First Quarter 2017 . |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Earnings Per Share [Abstract] | |
Schedule of computation of basic and diluted earnings per share | Computation of Earnings Per Share First Quarter 2018 2017 (in millions) Basic Earnings Per Share (EPS): Net income (loss) attributable to AGL $ 197 $ 317 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 196 $ 317 Basic shares 115.2 125.3 Basic EPS $ 1.71 $ 2.53 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 196 $ 317 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 196 $ 317 Basic shares 115.2 125.3 Dilutive securities: Options and restricted stock awards 1.4 1.8 Diluted shares 116.6 127.1 Diluted EPS $ 1.68 $ 2.49 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.2 0.1 |
Schedule of antidilutive securities excluded from computation of earnings per share | Computation of Earnings Per Share First Quarter 2018 2017 (in millions) Basic Earnings Per Share (EPS): Net income (loss) attributable to AGL $ 197 $ 317 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 196 $ 317 Basic shares 115.2 125.3 Basic EPS $ 1.71 $ 2.53 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 196 $ 317 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries 0 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 196 $ 317 Basic shares 115.2 125.3 Dilutive securities: Options and restricted stock awards 1.4 1.8 Diluted shares 116.6 127.1 Diluted EPS $ 1.68 $ 2.49 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.2 0.1 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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 First Quarter 2018 Net Unrealized Gains (Losses) on Investments with no OTTI Net Unrealized Gains (Losses) on Investments with OTTI Net Unrealized Gains (Losses) on FG VIE Liabilities with Recourse due to ISCR Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2017 $ 273 $ 120 $ — $ (29 ) $ 8 $ 372 Effect of adoption of ASU 2016-01 (see Note 1) 1 — (33 ) — — (32 ) Other comprehensive income (loss) before reclassifications (122 ) (11 ) (4 ) 6 — (131 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (6 ) 11 — — — 5 Net investment income — — — — — — Fair value gains (losses) on FG VIEs — — 3 — 0 3 Interest expense — — — — 0 0 Total before tax (6 ) 11 3 — 0 8 Tax (provision) benefit 0 (2 ) (1 ) — 0 (3 ) Total amount reclassified from AOCI, net of tax (6 ) 9 2 — 0 5 Net current period other comprehensive income (loss) (128 ) (2 ) (2 ) 6 0 (126 ) Balance, March 31, 2018 $ 146 $ 118 $ (35 ) $ (23 ) $ 8 $ 214 Changes in Accumulated Other Comprehensive Income by Component First Quarter 2017 Net Unrealized Gains (Losses) on Investments with no OTTI Net Unrealized Gains (Losses) on Investments with OTTI 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 44 50 2 — 96 Amounts reclassified from AOCI to: Net realized investment gains (losses) (41 ) 9 — — (32 ) Net investment income (28 ) — — — (28 ) Interest expense — — — 0 0 Total before tax (69 ) 9 — 0 (60 ) Tax (provision) benefit 24 (3 ) — 0 21 Total amount reclassified from AOCI, net of tax (45 ) 6 — 0 (39 ) Net current period other comprehensive income (loss) (1 ) 56 2 0 57 Balance, March 31, 2017 $ 170 $ 66 $ (37 ) $ 7 $ 206 |
Schedule of Share Repurchases | Share Repurchases Period Number of Shares Repurchased Total Payments (in millions) Average Price Paid Per Share 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 - December 31, 2017) 1,934,990 70 36.18 Total 2017 12,669,643 $ 501 $ 39.57 2018 (January 1 - March 31) 2,787,936 98 35.20 2018 (April 1 - through May 4, 2018) 1,427,026 53 36.91 Total 2018 4,214,962 $ 151 $ 35.78 Cumulative repurchases since the beginning of 2013 85,527,812 $ 2,367 $ 27.68 |
Subsidiary Information (Tables)
Subsidiary Information (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Condensed Financial Information of Parent Company Only Disclosure [Abstract] | |
Condensed Consolidating Balance Sheet | CONDENSED CONSOLIDATING BALANCE SHEET AS OF MARCH 31, 2018 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 35 $ 528 $ 40 $ 11,010 $ (348 ) $ 11,265 Investment in subsidiaries 6,657 5,902 4,032 220 (16,811 ) — Premiums receivable, net of commissions payable — — — 1,104 (160 ) 944 Ceded unearned premium reserve — — — 994 (872 ) 122 Deferred acquisition costs — — — 141 (41 ) 100 Intercompany receivable — — — 60 (60 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 651 — 651 Dividend receivable from affiliate 95 — — — (95 ) — Other 21 31 46 1,507 (668 ) 937 TOTAL ASSETS $ 6,808 $ 6,461 $ 4,118 $ 15,687 $ (19,055 ) $ 14,019 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,324 $ (929 ) $ 3,395 Loss and LAE reserve — — — 1,620 (321 ) 1,299 Long-term debt — 843 463 6 (31 ) 1,281 Intercompany payable — 60 — 300 (360 ) — Credit derivative liabilities — — — 269 (32 ) 237 Financial guaranty variable interest entities’ liabilities, at fair value — — — 708 — 708 Dividend payable to affiliate — 95 — — (95 ) — Other 24 27 75 628 (439 ) 315 TOTAL LIABILITIES 24 1,025 538 7,855 (2,207 ) 7,235 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,784 5,436 3,580 7,612 (16,628 ) 6,784 Noncontrolling interest — — — 220 (220 ) — TOTAL SHAREHOLDERS' EQUITY 6,784 5,436 3,580 7,832 (16,848 ) 6,784 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,808 $ 6,461 $ 4,118 $ 15,687 $ (19,055 ) $ 14,019 CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 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 $ 36 $ 319 $ 28 $ 11,484 $ (328 ) $ 11,539 Investment in subsidiaries 6,794 6,126 4,048 216 (17,184 ) — Premiums receivable, net of commissions payable — — — 1,074 (159 ) 915 Ceded unearned premium reserve — — — 1,002 (883 ) 119 Deferred acquisition costs — — — 144 (43 ) 101 Intercompany receivable — — — 60 (60 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 700 — 700 Other 26 59 40 1,736 (802 ) 1,059 TOTAL ASSETS $ 6,856 $ 6,504 $ 4,116 $ 16,416 $ (19,459 ) $ 14,433 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 4,423 $ (948 ) $ 3,475 Loss and LAE reserve — — — 1,793 (349 ) 1,444 Long-term debt — 843 461 6 (18 ) 1,292 Intercompany payable — 60 — 300 (360 ) — Credit derivative liabilities — — — 308 (37 ) 271 Financial guaranty variable interest entities’ liabilities, at fair value — — — 757 — 757 Other 17 59 71 740 (532 ) 355 TOTAL LIABILITIES 17 962 532 8,327 (2,244 ) 7,594 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,839 5,542 3,584 7,873 (16,999 ) 6,839 Noncontrolling interest — — — 216 (216 ) — TOTAL SHAREHOLDERS’ EQUITY 6,839 5,542 3,584 8,089 (17,215 ) 6,839 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,856 $ 6,504 $ 4,116 $ 16,416 $ (19,459 ) $ 14,433 |
Condensed Consolidating Statement of Operations and Comprehensive Income | CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED MARCH 31, 2018 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 149 $ (4 ) $ 145 Net investment income 0 2 0 102 (3 ) 101 Net realized investment gains (losses) — 0 0 (5 ) 0 (5 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 2 0 2 Net unrealized gains (losses) — — — 32 — 32 Net change in fair value of credit derivatives — — — 34 0 34 Other 3 0 — 73 (58 ) 18 TOTAL REVENUES 3 2 0 353 (65 ) 293 EXPENSES Loss and LAE — — — (16 ) (2 ) (18 ) Amortization of deferred acquisition costs — — — 6 (1 ) 5 Interest expense — 12 13 3 (4 ) 24 Other operating expenses 10 3 0 105 (53 ) 65 TOTAL EXPENSES 10 15 13 98 (60 ) 76 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (13 ) (13 ) 255 (5 ) 217 Total (provision) benefit for income taxes — 3 3 (25 ) (1 ) (20 ) Equity in net earnings of subsidiaries 204 161 102 7 (474 ) — NET INCOME (LOSS) $ 197 $ 151 $ 92 $ 237 $ (480 ) $ 197 Less: noncontrolling interest — — — 7 (7 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 197 $ 151 $ 92 $ 230 $ (473 ) $ 197 COMPREHENSIVE INCOME (LOSS) $ 71 $ 67 $ 46 $ 111 $ (224 ) $ 71 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED MARCH 31, 2017 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 167 $ (3 ) $ 164 Net investment income 0 0 0 123 (1 ) 122 Net realized investment gains (losses) — 0 0 32 0 32 Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 15 0 15 Net unrealized gains (losses) — — — 39 — 39 Net change in fair value of credit derivatives — — — 54 0 54 Bargain purchase gain and settlement of pre-existing relationship — — — 58 — 58 Other 3 — — 142 (48 ) 97 TOTAL REVENUES 3 0 0 576 (52 ) 527 EXPENSES Loss and LAE — — — 11 48 59 Amortization of deferred acquisition costs — — — 5 (1 ) 4 Interest expense — 12 13 2 (3 ) 24 Other operating expenses 10 6 1 106 (55 ) 68 TOTAL EXPENSES 10 18 14 124 (11 ) 155 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (7 ) (18 ) (14 ) 452 (41 ) 372 Total (provision) benefit for income taxes — 6 5 (76 ) 10 (55 ) Equity in net earnings of subsidiaries 324 199 136 8 (667 ) — NET INCOME (LOSS) $ 317 $ 187 $ 127 $ 384 $ (698 ) $ 317 Less: noncontrolling interest — — — 8 (8 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 317 $ 187 $ 127 $ 376 $ (690 ) $ 317 COMPREHENSIVE INCOME (LOSS) $ 374 $ 244 $ 192 $ 437 $ (873 ) $ 374 |
Condensed Consolidating Statement of Cash Flows | CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE THREE MONTHS ENDED MARCH 31, 2018 (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 $ 128 $ 83 $ 63 $ 46 $ (293 ) $ 27 Cash flows from investing activities Fixed-maturity securities: Purchases — (18 ) (12 ) (400 ) 19 (411 ) Sales — 11 2 396 — 409 Maturities — — 0 225 — 225 Sales (purchases) of short-term investments, net 1 (217 ) (4 ) 104 — (116 ) Net proceeds from financial guaranty variable entities’ assets — — — 33 — 33 Investment in subsidiaries — — — — — — Proceeds from stock redemption and return of capital from subsidiaries — 200 — — (200 ) — Other — (13 ) — (1 ) — (14 ) Net cash flows provided by (used in) investing activities 1 (37 ) (14 ) 357 (181 ) 126 Cash flows from financing activities Return of capital — — — — — — Capital contribution — — — — — — Dividends paid (18 ) (78 ) (50 ) (165 ) 293 (18 ) Repurchases of common stock (100 ) — — — — (100 ) Repurchases of common stock to pay withholding taxes (12 ) — — (200 ) 200 (12 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (33 ) — (33 ) Repayment/ extinguishment of long-term debt — — — 0 (19 ) (19 ) Proceeds from options exercises 1 — — — — 1 Net cash flows provided by (used in) financing activities (129 ) (78 ) (50 ) (398 ) 474 (181 ) Effect of exchange rate changes — — — 1 — 1 Increase (decrease) in cash and restricted cash 0 (32 ) (1 ) 6 — (27 ) Cash and restricted cash at beginning of period 0 33 2 109 — 144 Cash and restricted cash at end of period $ 0 $ 1 $ 1 $ 115 $ — $ 117 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE THREE MONTHS ENDED MARCH 31, 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 $ 220 $ 105 $ 72 $ 105 $ (400 ) $ 102 Cash flows from investing activities Fixed-maturity securities: Purchases — — (5 ) (512 ) — (517 ) Sales — — 2 321 — 323 Maturities — 3 0 262 — 265 Sales (purchases) of short-term investments, net 25 75 5 (93 ) — 12 Net proceeds from financial guaranty variable entities’ assets — — — 46 — 46 Investment in subsidiaries — (3 ) — — 3 — Acquisition of MBIA UK, net of cash acquired — — — 95 — 95 Other — — — (13 ) — (13 ) Net cash flows provided by (used in) investing activities 25 75 2 106 3 211 Cash flows from financing activities Capital contribution — — — 3 (3 ) — Dividends paid (19 ) (175 ) (73 ) (152 ) 400 (19 ) Repurchases of common stock (216 ) — — — — (216 ) Repurchases of common stock to pay withholding taxes (12 ) — — — — (12 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (48 ) — (48 ) Payment of long-term debt — — — (1 ) — (1 ) Proceeds from options exercises 2 — — — — 2 Net cash flows provided by (used in) financing activities (245 ) (175 ) (73 ) (198 ) 397 (294 ) Effect of exchange rate changes — — — 2 — 2 Increase (decrease) in cash and restricted cash — 5 1 15 — 21 Cash and restricted cash at beginning of period 0 1 0 126 — 127 Cash and restricted cash at end of period $ 0 $ 6 $ 1 $ 141 $ — $ 148 |
Business and Basis of Present44
Business and Basis of Presentation (Details) $ in Millions | 3 Months Ended |
Mar. 31, 2018USD ($)Company | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of holding companies having outstanding public debt | Company | 2 |
Retained Earnings [Member] | Accounting Standards Update 2016-01 [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
New accounting pronouncement or change in accounting principle, effect of change on net income | $ | $ 32 |
Acquisitions - Narrative (Detai
Acquisitions - Narrative (Details) - USD ($) $ in Millions | Jan. 10, 2017 | Mar. 31, 2018 | Dec. 31, 2017 |
Business Acquisition [Line Items] | |||
Net par amount outstanding | $ 257,089 | $ 264,952 | |
MBIA UK Insurance Limited [Member] | |||
Business Acquisition [Line Items] | |||
Bargain purchase gain | $ 56 | ||
Gain on settlement of pre-existing relationships | 2 | ||
Subsidiaries [Member] | MBIA UK Insurance Limited [Member] | |||
Business Acquisition [Line Items] | |||
Cash expected to be acquired in acquisition | 23 | ||
Bond exchanged, fair value | 334 | ||
MBIA UK Insurance Limited [Member] | |||
Business Acquisition [Line Items] | |||
Gross Par Outstanding | 347 | ||
Net par amount outstanding | $ 12,000 |
Outstanding Exposure - Debt Ser
Outstanding Exposure - Debt Service Outstanding (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 397,233 | $ 408,492 |
Net Debt Service Outstanding | 390,017 | 401,118 |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 382,557 | 393,010 |
Net Debt Service Outstanding | 375,747 | 386,092 |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 14,676 | 15,482 |
Net Debt Service Outstanding | $ 14,270 | $ 15,026 |
Outstanding Exposure - Financia
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 257,089 | $ 264,952 |
% of total net par outstanding | 100.00% | 100.00% |
AAA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 5,377 | $ 5,392 |
% of total net par outstanding | 2.10% | 2.10% |
AA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 31,320 | $ 34,212 |
% of total net par outstanding | 12.20% | 12.90% |
A [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 131,050 | $ 134,396 |
% of total net par outstanding | 51.00% | 50.70% |
BBB [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 77,743 | $ 78,714 |
% of total net par outstanding | 30.20% | 29.70% |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 11,599 | $ 12,238 |
% of total net par outstanding | 4.50% | 4.60% |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 245,084 | $ 252,314 |
Public Finance [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 201,337 | $ 209,392 |
% 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 | $ 43,747 | $ 42,922 |
% 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 | $ 866 | $ 877 |
% of total net par outstanding | 0.40% | 0.40% |
Public Finance [Member] | AAA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 2,568 | $ 2,541 |
% of total net par outstanding | 5.90% | 5.90% |
Public Finance [Member] | AA [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 27,283 | $ 30,016 |
% of total net par outstanding | 13.60% | 14.30% |
Public Finance [Member] | AA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 206 | $ 205 |
% of total net par outstanding | 0.50% | 0.50% |
Public Finance [Member] | A [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 115,123 | $ 118,620 |
% of total net par outstanding | 57.20% | 56.70% |
Public Finance [Member] | A [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 14,309 | $ 13,936 |
% of total net par outstanding | 32.70% | 32.50% |
Public Finance [Member] | BBB [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 51,419 | $ 52,739 |
% of total net par outstanding | 25.50% | 25.20% |
Public Finance [Member] | BBB [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 24,909 | $ 24,509 |
% of total net par outstanding | 56.90% | 57.10% |
Public Finance [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 8,401 | $ 8,871 |
Public Finance [Member] | BIG [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 6,646 | $ 7,140 |
% of total net par outstanding | 3.30% | 3.40% |
Public Finance [Member] | BIG [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 1,755 | $ 1,731 |
% of total net par outstanding | 4.00% | 4.00% |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 12,005 | $ 12,638 |
Structured Finance [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 10,681 | $ 11,224 |
% 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 | $ 1,324 | $ 1,414 |
% 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 | $ 1,654 | $ 1,655 |
% of total net par outstanding | 15.50% | 14.70% |
Structured Finance [Member] | AAA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 289 | $ 319 |
% of total net par outstanding | 21.80% | 22.50% |
Structured Finance [Member] | AA [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 3,763 | $ 3,915 |
% of total net par outstanding | 35.20% | 34.90% |
Structured Finance [Member] | AA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 68 | $ 76 |
% of total net par outstanding | 5.10% | 5.40% |
Structured Finance [Member] | A [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 1,405 | $ 1,630 |
% of total net par outstanding | 13.20% | 14.50% |
Structured Finance [Member] | A [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 213 | $ 210 |
% of total net par outstanding | 16.10% | 14.90% |
Structured Finance [Member] | BBB [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 768 | $ 763 |
% of total net par outstanding | 7.20% | 6.80% |
Structured Finance [Member] | BBB [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 647 | $ 703 |
% of total net par outstanding | 48.90% | 49.70% |
Structured Finance [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 3,198 | $ 3,367 |
Structured Finance [Member] | BIG [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 3,091 | $ 3,261 |
% of total net par outstanding | 28.90% | 29.10% |
Structured Finance [Member] | BIG [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 107 | $ 106 |
% of total net par outstanding | 8.10% | 7.50% |
Outstanding Exposure - Componen
Outstanding Exposure - Components of BIG Net Par Outstanding (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 257,089 | $ 264,952 |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 245,084 | 252,314 |
Triple-X Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 1,194 | 1,199 |
Trust Preferred Securities (TruPS) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 1,188 | 1,349 |
Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 4,945 | 5,272 |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 12,005 | 12,638 |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 11,599 | 12,238 |
BIG [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 8,401 | 8,871 |
BIG [Member] | Triple-X Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 85 | 85 |
BIG [Member] | Trust Preferred Securities (TruPS) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 99 | 161 |
BIG [Member] | Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 348 | 360 |
BIG [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 3,198 | 3,367 |
BIG [Member] | BIG 1 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 3,980 | 4,528 |
BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 3,351 | 3,823 |
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 | 99 | 161 |
BIG [Member] | BIG 1 [Member] | Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 199 | 170 |
BIG [Member] | BIG 1 [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 629 | 705 |
BIG [Member] | BIG 2 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 1,041 | 1,361 |
BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 670 | 939 |
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 | 0 |
BIG [Member] | BIG 2 [Member] | Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 79 | 118 |
BIG [Member] | BIG 2 [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 371 | 422 |
BIG [Member] | BIG 3 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 6,578 | 6,349 |
BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 4,380 | 4,109 |
BIG [Member] | BIG 3 [Member] | Triple-X Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 85 | 85 |
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 | 70 | 72 |
BIG [Member] | BIG 3 [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 2,198 | 2,240 |
United States [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 201,337 | 209,392 |
United States [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 4,678 | 4,818 |
United States [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 10,681 | 11,224 |
United States [Member] | BIG [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 6,646 | 7,140 |
United States [Member] | BIG [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 2,666 | 2,761 |
United States [Member] | BIG [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 3,091 | 3,261 |
United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 1,875 | 2,368 |
United States [Member] | BIG [Member] | BIG 1 [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 331 | 374 |
United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 391 | 663 |
United States [Member] | BIG [Member] | BIG 2 [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 292 | 304 |
United States [Member] | BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 4,380 | 4,109 |
United States [Member] | BIG [Member] | BIG 3 [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 2,043 | 2,083 |
Non United States [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 43,747 | 42,922 |
Non United States [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 1,324 | 1,414 |
Non United States [Member] | BIG [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 1,755 | 1,731 |
Non United States [Member] | BIG [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 107 | 106 |
Non United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 1,476 | 1,455 |
Non United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 279 | 276 |
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 | Mar. 31, 2018USD ($)risk | Dec. 31, 2017USD ($)risk |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Credit Derivative | $ 5,615 | $ 6,207 |
Total | 257,089 | 264,952 |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | 11,341 | 11,900 |
Net Par Outstanding, Credit Derivative | 258 | 338 |
Total | $ 11,599 | $ 12,238 |
Number of Risks, Financial Guaranty Insurance | risk | 326 | 335 |
Number of Risks, Credit Derivative | risk | 16 | 19 |
Number of Risks | risk | 342 | 354 |
BIG [Member] | BIG 1 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | $ 3,822 | $ 4,301 |
Net Par Outstanding, Credit Derivative | 158 | 227 |
Total | $ 3,980 | $ 4,528 |
Number of Risks, Financial Guaranty Insurance | risk | 134 | 139 |
Number of Risks, Credit Derivative | risk | 5 | 7 |
Number of Risks | risk | 139 | 146 |
BIG [Member] | BIG 2 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | $ 1,024 | $ 1,344 |
Net Par Outstanding, Credit Derivative | 17 | 17 |
Total | $ 1,041 | $ 1,361 |
Number of Risks, Financial Guaranty Insurance | risk | 43 | 46 |
Number of Risks, Credit Derivative | risk | 3 | 3 |
Number of Risks | risk | 46 | 49 |
BIG [Member] | BIG 3 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | $ 6,495 | $ 6,255 |
Net Par Outstanding, Credit Derivative | 83 | 94 |
Total | $ 6,578 | $ 6,349 |
Number of Risks, Financial Guaranty Insurance | risk | 149 | 150 |
Number of Risks, Credit Derivative | risk | 8 | 9 |
Number of Risks | risk | 157 | 159 |
Outstanding Exposure - Puerto R
Outstanding Exposure - Puerto Rico Gross Par and Gross Debt Service Outstanding (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 397,233 | $ 408,492 |
Puerto Rico [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Par Outstanding | 5,187 | 5,186 |
Gross Debt Service Outstanding | $ 8,385 | $ 8,514 |
Outstanding Exposure - Puerto51
Outstanding Exposure - Puerto Rico Net Par Outstanding (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 257,089 | $ 264,952 |
Puerto Rico [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 4,967 | 4,966 |
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 |
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 |
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 |
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 |
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 |
Public Corporations, Subject To Clawback [Member] | Puerto Rico [Member] | PRIFA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 18 | 18 |
Public Corporations [Member] | Puerto Rico [Member] | PREPA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 853 | 853 |
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 |
Public Corporations [Member] | Puerto Rico [Member] | MFA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | 360 | 360 |
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 | 273 | 272 |
Public Corporations [Member] | Puerto Rico [Member] | University of Puerto Rico [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par amount outstanding | $ 1 | $ 1 |
Outstanding Exposure - Amortiza
Outstanding Exposure - Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Estimated Net Par Amortization [Abstract] | ||
Total | $ 257,089 | $ 264,952 |
Estimated Net Debt Service Amortization [Abstract] | ||
Total | 390,017 | 401,118 |
Puerto Rico [Member] | ||
Estimated Net Par Amortization [Abstract] | ||
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 | |
2,021 | 285 | |
2,022 | 148 | |
2,021 | 137 | |
2023-2027 | 1,229 | |
2028-2032 | 812 | |
2033-2037 | 1,217 | |
2038-2042 | 453 | |
2043-2047 | 263 | |
Total | 4,967 | $ 4,966 |
Estimated Net Debt Service Amortization [Abstract] | ||
2018 (April 1 - June 30) | 3 | |
2018 (July 1 - September 30) | 322 | |
2018 (October 1 - December 31) | 3 | |
Subtotal 2,018 | 328 | |
2,019 | 464 | |
2,020 | 516 | |
2,021 | 364 | |
2,022 | 345 | |
2023-2027 | 2,128 | |
2028-2032 | 1,437 | |
2033-2037 | 1,572 | |
2038-2042 | 602 | |
2043-2047 | 316 | |
Total | $ 8,072 |
Outstanding Exposure - Narrativ
Outstanding Exposure - Narrative (Details) | Apr. 20, 2018 | Mar. 31, 2018USD ($)judge | Apr. 19, 2018USD ($) | Dec. 31, 2017USD ($) | Sep. 15, 2015USD ($) |
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 257,089,000,000 | $ 264,952,000,000 | |||
Number of Federal Judges | judge | 5 | ||||
Insured Financial Obligations, Loss Mitigation Securities | $ 2,000,000,000 | 2,000,000,000 | |||
Excess Of Loss Reinsurance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Debt Service Outstanding | 705,000,000 | 675,000,000 | |||
Structured Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 12,005,000,000 | 12,638,000,000 | |||
Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 245,084,000,000 | 252,314,000,000 | |||
Aircraft Residual Value Insurance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Debt Service Outstanding | $ 140,000,000 | 140,000,000 | |||
BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Maximum period of liquidity claims (in years) | 1 year | ||||
Net par amount outstanding | $ 11,599,000,000 | 12,238,000,000 | |||
BIG [Member] | Structured Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 3,198,000,000 | 3,367,000,000 | |||
BIG [Member] | Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 8,401,000,000 | 8,871,000,000 | |||
AAA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 5,377,000,000 | 5,392,000,000 | |||
United States [Member] | RMBS [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 4,678,000,000 | 4,818,000,000 | |||
United States [Member] | Structured Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 10,681,000,000 | 11,224,000,000 | |||
United States [Member] | Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 201,337,000,000 | 209,392,000,000 | |||
United States [Member] | BIG [Member] | RMBS [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 2,666,000,000 | 2,761,000,000 | |||
United States [Member] | BIG [Member] | Structured Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 3,091,000,000 | 3,261,000,000 | |||
United States [Member] | BIG [Member] | Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 6,646,000,000 | 7,140,000,000 | |||
United States [Member] | AAA [Member] | Structured Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 1,654,000,000 | 1,655,000,000 | |||
United States [Member] | AAA [Member] | Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 866,000,000 | 877,000,000 | |||
Puerto Rico [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 4,967,000,000 | 4,966,000,000 | |||
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 | ||||
Commitment to Provide Guarantees [Member] | Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Outstanding commitments to provide guaranties | $ 7,000,000 | ||||
Minimum [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Probability of paying more claims than being reimbursed (as a percent) | 50.00% | ||||
Maximum [Member] | Excess Of Loss Reinsurance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Debt Service Outstanding | $ 1,000,000,000 | ||||
PRASA (Puerto Rico Aqueduct and Sewer Authority) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Expected repayments of debt, percent | 56.00% | ||||
Commonwealth of Puerto Rico - General Obligation Bonds [Member] | Subsequent Event [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Certified Fiscal Plan, Commonwealth Debt Service, Period | 6 years | ||||
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 | ||||
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 | ||||
Constitutionally Guaranteed [Member] | Commonwealth of Puerto Rico - General Obligation Bonds [Member] | Puerto Rico [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 1,419,000,000 | $ 1,419,000,000 | |||
Constitutionally Guaranteed [Member] | Commonwealth of Puerto Rico - General Obligation Bonds [Member] | Puerto Rico [Member] | Subsequent Event [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Fiscal Plan, Commonwealth Surplus Available for Debt Service | $ 6,700,000,000 | ||||
Fiscal Plan, Commonwealth Contractual Debt Service | $ 15,500,000,000 |
Outstanding Exposure Outstandin
Outstanding Exposure Outstanding Exposure - Schedule of Non-Financial Guaranty Exposure (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Excess Of Loss Reinsurance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 809 | $ 773 |
Net Debt Service Outstanding | 705 | 675 |
Aircraft Residual Value Insurance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 201 | 201 |
Net Debt Service Outstanding | $ 140 | $ 140 |
Expected Loss to be Paid - Net
Expected Loss to be Paid - Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Rollforward (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
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 | $ 1,303 | $ 1,198 | |
Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 | 21 | ||
Economic Loss Development / (Benefit) | (24) | 47 | |
Accretion of discount | 8 | 8 | |
Changes in discount rates | (6) | 11 | |
Changes in timing and assumptions | (26) | 28 | |
(Paid) Recovered Losses | 19 | (22) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | $ 1,298 | 1,244 | |
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 | $ 5 | 2 | |
Expected LAE to be paid | 19 | $ 23 | |
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 | 1,203 | 904 | |
Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 | 13 | ||
Economic Loss Development / (Benefit) | (42) | 119 | |
(Paid) Recovered Losses | (111) | (25) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 1,050 | 1,011 | |
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 | 1,157 | 871 | |
Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 | 0 | ||
Economic Loss Development / (Benefit) | (39) | 124 | |
(Paid) Recovered Losses | (111) | (25) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 1,007 | 970 | |
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 | 46 | 33 | |
Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 | 13 | ||
Economic Loss Development / (Benefit) | (3) | (5) | |
(Paid) Recovered Losses | 0 | 0 | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 43 | 41 | |
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 | 73 | 206 | |
Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 | 0 | ||
Economic Loss Development / (Benefit) | 16 | (22) | |
(Paid) Recovered Losses | 130 | 13 | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 219 | 197 | |
RMBS [Member] | First Lien [Member] | United States [Member] | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 123 | ||
Economic Loss Development / (Benefit) | (24) | (9) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 152 | ||
RMBS [Member] | Second Lien [Member] | United States [Member] | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 50 | ||
Economic Loss Development / (Benefit) | (8) | (13) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 67 | ||
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 | 27 | 88 | |
Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 | 8 | ||
Economic Loss Development / (Benefit) | 2 | (50) | |
(Paid) Recovered Losses | 0 | (10) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 29 | 36 | |
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 | 100 | 294 | |
Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 | 8 | ||
Economic Loss Development / (Benefit) | 18 | (72) | |
(Paid) Recovered Losses | 130 | 3 | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 248 | 233 | |
MBIA UK Insurance Limited [Member] | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017 | $ 0 | $ 21 |
Expected Loss to be Paid - Narr
Expected Loss to be Paid - Narrative Net Expected Recoveries from Breaches of R&W (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
RMBS [Member] | United States [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Future net R&W benefit | $ 19 | $ 117 |
Expected Loss to be Paid - Ne57
Expected Loss to be Paid - Net Expected Loss to be Paid and Net Economic Loss Development by Accounting Model (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | |
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net expected loss to be paid after recoveries for R&W | $ 1,298 | $ 1,244 | $ 1,303 | $ 1,198 |
Economic loss development after recoveries for R&W | (24) | 47 | ||
Public Finance [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net expected loss to be paid after recoveries for R&W | 1,050 | 1,011 | 1,203 | 904 |
Economic loss development after recoveries for R&W | (42) | 119 | ||
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 | 1,007 | 970 | 1,157 | 871 |
Economic loss development after recoveries for R&W | (39) | 124 | ||
Public Finance [Member] | Non United States [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net expected loss to be paid after recoveries for R&W | 43 | 41 | 46 | 33 |
Economic loss development after recoveries for R&W | (3) | (5) | ||
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 | 219 | 197 | 73 | 206 |
Economic loss development after recoveries for R&W | 16 | (22) | ||
RMBS [Member] | First Lien [Member] | United States [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net expected loss to be paid after recoveries for R&W | 152 | 123 | ||
Economic loss development after recoveries for R&W | (24) | (9) | ||
RMBS [Member] | Second Lien [Member] | United States [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net expected loss to be paid after recoveries for R&W | 67 | 50 | ||
Economic loss development after recoveries for R&W | (8) | (13) | ||
Other structured finance [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net expected loss to be paid after recoveries for R&W | 29 | 36 | 27 | 88 |
Economic loss development after recoveries for R&W | 2 | (50) | ||
Structured Finance [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net expected loss to be paid after recoveries for R&W | 248 | 233 | 100 | $ 294 |
Economic loss development after recoveries for R&W | 18 | (72) | ||
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 | 1,211 | 1,226 | ||
Economic loss development after recoveries for R&W | (33) | 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 | 91 | ||
Economic loss development after recoveries for R&W | 2 | (4) | ||
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) | $ (14) | ||
Economic loss development after recoveries for R&W | $ 7 | $ (15) |
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 | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
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% |
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% |
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% |
Financing Receivables, 30 to 59 Days Past Due [Member] | Subprime [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 45.00% | 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% |
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% |
Financing Receivables, 60 to 89 Days Past Due [Member] | Subprime [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 50.00% | 50.00% |
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% |
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% | 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% |
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 | 45.00% | 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% | 60.00% |
Financing Receivables, Bankruptcy [Member] | Subprime [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 40.00% | 40.00% |
Financing Receivables, Bankruptcy [Member] | Alt-A and Prime [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 45.00% | 45.00% |
Financing Receivables, Bankruptcy [Member] | Option ARM [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 50.00% | 50.00% |
Financing Receivable, Foreclosure [Member] | Subprime [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 65.00% | 65.00% |
Financing Receivable, Foreclosure [Member] | Alt-A and Prime [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 55.00% | 65.00% |
Financing Receivable, Foreclosure [Member] | Option ARM [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 65.00% | 70.00% |
Financing Receivable, Real Estate Owned [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 100.00% | 100.00% |
United States [Member] | 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% |
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% |
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% |
United States [Member] | Option ARM [Member] | Minimum [Member] | RMBS [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 1.40% | 2.50% |
Final CDR | 0.10% | 0.10% |
United States [Member] | Option ARM [Member] | Maximum [Member] | RMBS [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 7.80% | 7.00% |
Final CDR | 0.40% | 0.30% |
United States [Member] | Option ARM [Member] | Weighted Average [Member] | RMBS [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 5.80% | 5.90% |
Final CDR | 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% |
United States [Member] | Subprime [Member] | 2006 [Member] | RMBS [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 85.00% | 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% |
United States [Member] | Subprime [Member] | Minimum [Member] | RMBS [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 4.20% | 3.50% |
Final CDR | 0.20% | 0.20% |
United States [Member] | Subprime [Member] | Maximum [Member] | RMBS [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 11.80% | 13.10% |
Final CDR | 0.60% | 0.70% |
United States [Member] | Subprime [Member] | Weighted Average [Member] | RMBS [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 7.70% | 7.80% |
Final CDR | 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 |
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 3 months | |
Final CPR | 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 | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
RMBS [Member] | United States [Member] | Option ARM [Member] | Minimum [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 1.40% | 2.50% |
Final CDR | 0.10% | 0.10% |
RMBS [Member] | United States [Member] | Option ARM [Member] | Maximum [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 7.80% | 7.00% |
Final CDR | 0.40% | 0.30% |
RMBS [Member] | United States [Member] | Option ARM [Member] | Weighted Average [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 5.80% | 5.90% |
Final CDR | 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 | 1.40% | 1.30% |
Final CDR | 0.10% | 0.10% |
RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | Maximum [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 9.20% | 9.80% |
Final CDR | 0.50% | 0.50% |
RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | Weighted Average [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 4.70% | 5.20% |
Final CDR | 0.20% | 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 | 2.50% | 2.70% |
Final CDR | 2.50% | 2.50% |
Loss severity | 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 | 18.40% | 19.90% |
Final CDR | 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 | 10.60% | 11.40% |
Final CDR | 2.50% | 2.50% |
RMBS [Member] | United States [Member] | Subprime [Member] | Minimum [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 4.20% | 3.50% |
Final CDR | 0.20% | 0.20% |
RMBS [Member] | United States [Member] | Subprime [Member] | Maximum [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 11.80% | 13.10% |
Final CDR | 0.60% | 0.70% |
RMBS [Member] | United States [Member] | Subprime [Member] | Weighted Average [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 7.70% | 7.80% |
Final CDR | 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% |
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% |
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% |
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 | 40.00% | 45.00% |
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% |
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 | 60.00% | 60.00% |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Alt-A and Prime [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 45.00% | 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 | 75.00% | 75.00% |
Financing Receivables, Bankruptcy [Member] | Alt-A and Prime [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 45.00% | 45.00% |
Financing Receivables, Bankruptcy [Member] | 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% |
Financing Receivable, Foreclosure [Member] | Alt-A and Prime [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 55.00% | 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 | 65.00% | 70.00% |
Financing Receivable, Real Estate Owned [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation Rate | 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% |
Second Lien [Member] | RMBS [Member] | United States [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Loss recovery assumption (as a percent) | 2.00% | 2.00% |
Number of scenarios weighted in estimating expected losses | 5 | 5 |
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 |
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] | ||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 5 years 3 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% |
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% |
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% |
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% |
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% |
2006 [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Loss severity | 85.00% | 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% |
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% |
2007 [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Loss severity | 95.00% | 95.00% |
Expected Loss to be Paid - Na60
Expected Loss to be Paid - Narrative (Details) $ in Millions | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2018USD ($)CurvePaymentscenario | Mar. 31, 2017USD ($) | Dec. 31, 2017USD ($)scenario | Dec. 31, 2016USD ($) | Nov. 26, 2012USD ($) | |
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) | 2.82% | 2.38% | |||
Net par amount outstanding | $ 257,089 | $ 264,952 | |||
Net expected loss to be paid after recoveries for R&W | 1,298 | $ 1,244 | $ 1,303 | $ 1,198 | |
Net expected loss to be paid on Radian Asset portfolio | 21 | ||||
Economic loss development after recoveries for R&W | $ 24 | (47) | |||
Minimum [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Risk free discount rate | 0.00% | 0.00% | |||
Maximum [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Risk free discount rate | 3.11% | 2.78% | |||
Puerto Rico [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | $ 4,967 | $ 4,966 | |||
Non United States [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net expected loss to be paid after recoveries for representations and warranties, percent | 3.50% | 3.70% | |||
RMBS [Member] | United States [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | $ 4,678 | $ 4,818 | |||
Net expected loss to be paid after recoveries for R&W | 219 | 197 | 73 | 206 | |
Net expected loss to be paid on Radian Asset portfolio | 0 | ||||
Economic loss development after recoveries for R&W | (16) | 22 | |||
Future net R&W benefit | $ 19 | 117 | |||
RMBS [Member] | United States [Member] | Minimum [Member] | HELOCs [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Final CPR | 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 | ||||
Extended period for which borrow 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 | $ 1,188 | 1,349 | |||
Other structured finance [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 4,945 | 5,272 | |||
Net expected loss to be paid after recoveries for R&W | 29 | 36 | 27 | 88 | |
Net expected loss to be paid on Radian Asset portfolio | 8 | ||||
Economic loss development after recoveries for R&W | (2) | 50 | |||
Triple-X Life Insurance Transaction [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 1,194 | 1,199 | |||
Student Loan [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 1,200 | ||||
Public Finance [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 245,084 | 252,314 | |||
Net expected loss to be paid after recoveries for R&W | 1,050 | 1,011 | 1,203 | 904 | |
Net expected loss to be paid on Radian Asset portfolio | 13 | ||||
Economic loss development after recoveries for R&W | 42 | (119) | |||
Public Finance [Member] | United States [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 201,337 | 209,392 | |||
Net expected loss to be paid after recoveries for R&W | 1,007 | 970 | 1,157 | 871 | |
Net expected loss to be paid on Radian Asset portfolio | 0 | ||||
Economic loss development after recoveries for R&W | 39 | (124) | |||
Public Finance [Member] | City of Hartford, Connecticut [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 341 | ||||
Public Finance [Member] | Non United States [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 43,747 | 42,922 | |||
Net expected loss to be paid after recoveries for R&W | 43 | 41 | 46 | $ 33 | |
Net expected loss to be paid on Radian Asset portfolio | 13 | ||||
Economic loss development after recoveries for R&W | 3 | 5 | |||
Public Finance Stockton Pension Oblgiation Bonds [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 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 | 470 | ||||
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 | 73 | ||||
BIG [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 11,599 | 12,238 | |||
BIG [Member] | Puerto Rico [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 5,000 | ||||
BIG [Member] | RMBS [Member] | United States [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 2,666 | 2,761 | |||
BIG [Member] | Trust Preferred Securities (TruPS) [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 99 | 161 | |||
BIG [Member] | Other structured finance [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 348 | 360 | |||
BIG [Member] | Triple-X Life Insurance Transaction [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 85 | 85 | |||
BIG [Member] | Student Loan [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 113 | ||||
BIG [Member] | Public Finance [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 8,401 | 8,871 | |||
BIG [Member] | Public Finance [Member] | United States [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 6,646 | 7,140 | |||
BIG [Member] | Public Finance [Member] | Non United States [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 1,755 | 1,731 | |||
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 | 207 | ||||
First Lien [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 | 152 | $ 123 | |||
Economic loss development after recoveries for R&W | $ 24 | 9 | |||
Number of delinquent payments | Payment | 2 | ||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | ||||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 12 months | ||||
Intermediate conditional default rate (as a percent) | 5.00% | ||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | 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 3 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% | ||||
Projected loss assumptions, period to reach final loss severity rate | 2 years 6 months | ||||
Final CPR | 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 | ||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 65 | ||||
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 | ||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 41 | ||||
Decrease in the plateau period used to calculate potential change in loss estimate (in months) | 6 months | ||||
Second Lien [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 | $ 67 | $ 50 | |||
Economic loss development after recoveries for R&W | $ 8 | 13 | |||
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% | |||
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% | |||
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 | $ 11 | ||||
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 | $ 12 | ||||
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 | ||||
Payment time period on annual debt service | 2 years | ||||
MBIA UK Insurance Limited [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net expected loss to be paid on Radian Asset portfolio | $ 0 | 21 | |||
MBIA UK Insurance Limited [Member] | Europe [Member] | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||
Net par amount outstanding | 223 | ||||
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) | $ (14) | |||
Economic loss development after recoveries for R&W | $ (7) | $ 15 | |||
ACA 2005-2 Collateralized Debt Obligations [Member] | CIFG Holding Inc. [Member] | Total [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] | Total [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 |
Contracts Accounted for as In61
Contracts Accounted for as Insurance - Narrative (Details) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Guarantor Obligations [Line Items] | |||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 2.82% | 2.39% | |
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 | 3.11% | 2.78% | |
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 | 74.00% | 68.00% | 72.00% |
Contracts Accounted for as In62
Contracts Accounted for as Insurance - Net Earned Premiums (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Financial Guarantee Insurance Premiums [Line Items] | ||
Scheduled net earned premiums | $ 88 | $ 103 |
Refundings | 46 | 56 |
Terminations | 6 | 2 |
Total Accelerations | 52 | 58 |
Accretion of discount on net premiums receivable | 4 | 3 |
Financial guaranty insurance net earned premiums | 144 | 164 |
Non-financial guaranty net earned premiums | 1 | 0 |
Net | 145 | 164 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
Net | $ 3 | $ 4 |
Contracts Accounted for as In63
Contracts Accounted for as Insurance - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | ||
Beginning balance | $ 915 | $ 576 |
Less: Non-financial guaranty insurance premium receivable | 1 | 0 |
FG insurance premiums receivable | 914 | 576 |
Premiums receivable from acquisitions (see Note 2) | 0 | 270 |
Gross written premiums on new business, net of commissions (2) | 75 | 110 |
Gross premiums received, net of commissions | (63) | (92) |
Adjustments: | ||
Changes in the expected term | (3) | (1) |
Accretion of discount, net of commissions on assumed business | (4) | 4 |
Foreign exchange translation | 24 | 9 |
FG insurance premiums receivable | 943 | 876 |
Non-financial guaranty insurance premium receivable | 1 | 0 |
Ending balance | 944 | 876 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Adjustments: | ||
Ending balance | $ 9 | $ 11 |
Contracts Accounted for as In64
Contracts Accounted for as Insurance - Expected Collections of Gross Premiums Receivable Net of Commissions on Assumed Business (Details) $ in Millions | Mar. 31, 2018USD ($) |
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |
Financial Guarantee Insurance Premiums [Line Items] | |
2018 (April 1 - June 30) | $ 39 |
2018 (July 1 - September 30) | 27 |
2018 (April 1 - June 30) | 18 |
2,019 | 86 |
2,020 | 98 |
2,021 | 80 |
2,022 | 72 |
2023-2027 | 296 |
2028-2032 | 198 |
2033-2037 | 109 |
After 2,037 | 108 |
Total | 1,131 |
Variable Interest Entity, Primary Beneficiary [Member] | |
Financial Guarantee Insurance Premiums [Line Items] | |
Cash collections on FG VIEs | $ 12 |
Contracts Accounted for as In65
Contracts Accounted for as Insurance - Scheduled Net Earned Premiums Insurance Contracts (Details) $ in Millions | Mar. 31, 2018USD ($) |
Financial Guarantee Insurance Premiums [Line Items] | |
Other deferred premium revenue | $ 8 |
Financial Guarantee Insurance Product Line [Member] | |
Financial Guarantee Insurance Premiums [Line Items] | |
2018 (April 1 - June 30) | 87 |
2018 (July 1 - September 30) | 84 |
2018 (October 1 - December 31) | 81 |
Subtotal 2,018 | 252 |
2,019 | 292 |
2,020 | 268 |
2,021 | 244 |
2,022 | 222 |
2023-2027 | 864 |
2028-2032 | 569 |
2033-2037 | 330 |
After 2,037 | 286 |
Deferred premium revenue, net | 3,327 |
Future accretion | 181 |
Total future net earned premiums | 3,508 |
Variable Interest Entity, Primary Beneficiary [Member] | |
Financial Guarantee Insurance Premiums [Line Items] | |
Deferred premium revenue, net | $ 73 |
Contracts Accounted for as In66
Contracts Accounted for as Insurance - Selected Information for Policies Paid In Installments (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | |
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commission payable | $ 944 | $ 915 | $ 876 | $ 576 |
Financial Guarantee Policies Paid in Installments [Member] | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commission payable | 943 | 914 | ||
Gross deferred premium revenue | $ 1,188 | $ 1,205 | ||
Weighted-average risk-free rate used to discount premiums | 2.20% | 2.30% | ||
Weighted-average period of premiums receivable (in years) | 9 years 2 months | 9 years 2 months |
Contracts Accounted for as In67
Contracts Accounted for as Insurance - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | $ 845 | $ 844 |
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] | ||
Net Reserve (Recoverable) | 905 | 899 |
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] | ||
Net Reserve (Recoverable) | (60) | (55) |
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] | ||
Net Reserve (Recoverable) | 792 | 922 |
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] | ||
Net Reserve (Recoverable) | 35 | 40 |
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] | ||
Net Reserve (Recoverable) | 116 | (19) |
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] | ||
Net Reserve (Recoverable) | 908 | 903 |
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] | ||
Net Reserve (Recoverable) | (3) | (4) |
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] | ||
Net Reserve (Recoverable) | 771 | 901 |
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] | ||
Net Reserve (Recoverable) | 81 | (59) |
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] | ||
Net Reserve (Recoverable) | $ 21 | $ 21 |
Contracts Accounted for as In68
Contracts Accounted for as Insurance - Components of Net Reserves (Salvage) Insurance Contracts (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Insurance [Abstract] | ||
Loss and LAE reserve | $ 1,299 | $ 1,444 |
Reinsurance recoverable on unpaid losses | (38) | (44) |
Loss and LAE reserve, net | 1,261 | 1,400 |
Salvage and subrogation recoverable | (430) | (572) |
Salvage and subrogation payable | 17 | 20 |
Other payable (recoverable) | (3) | (4) |
Salvage and subrogation recoverable, net, and other recoverable | (416) | (556) |
Net reserves (salvage) | $ 845 | $ 844 |
Contracts Accounted for as In69
Contracts Accounted for as Insurance - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Guarantor Obligations [Line Items] | ||||
Net expected loss to be paid after recoveries for R&W | $ (1,298) | $ (1,303) | $ (1,244) | $ (1,198) |
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (1,261) | $ (1,400) | ||
Net expected loss to be expensed | 427 | |||
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Net expected loss to be expensed | 48 | |||
Financial Guarantee Insurance And Other Product Line [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Net expected loss to be paid after recoveries for R&W | 1,211 | |||
Contra-paid, net | 60 | |||
Salvage and subrogation recoverable, net of reinsurance | 413 | |||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (1,260) | |||
Other recoverable (payable) | 3 | |||
Net expected loss to be expensed | $ 427 |
Contracts Accounted for as In70
Contracts Accounted for as Insurance - Net Expected Loss to be Expensed Insurance Contracts (Details) $ in Millions | Mar. 31, 2018USD ($) |
Insurance [Abstract] | |
2018 (April 1 – June 30) | $ 9 |
2018 (July 1 – September 30) | 10 |
2018 (October 1 – December 31) | 10 |
Subtotal 2,018 | 29 |
2,019 | 42 |
2,020 | 39 |
2,021 | 35 |
2,022 | 32 |
2023-2027 | 126 |
2028-2032 | 77 |
2033-2037 | 35 |
After 2,037 | 12 |
Net expected loss to be expensed | 427 |
Future accretion | 86 |
Total expected future loss and LAE | $ 513 |
Contracts Accounted for as In71
Contracts Accounted for as Insurance - Loss and LAE Reported on the Statements of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE | $ (18) | $ 59 |
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 | (12) | 61 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Loss and LAE | (6) | (2) |
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 | (29) | 109 |
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 | (28) | 112 |
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 | (1) | (3) |
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 | 22 | (9) |
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 | (5) | (39) |
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 | $ 17 | $ (48) |
Contracts Accounted for as In72
Contracts Accounted for as Insurance - BIG Transaction Loss Summary (Details) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018USD ($)risk | Dec. 31, 2017USD ($)risk | |
Discount | ||
Total | $ (86) | |
Reserves (salvage) | ||
Total | $ 845 | $ 844 |
BIG [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 326 | 335 |
Remaining weighted average contract period | ||
Total (in years) | 9 years 8 months 4 days | 9 years 10 months 8 days |
Principal | ||
Total | $ 11,341 | $ 11,900 |
Interest | ||
Total | 5,737 | 6,081 |
Total net outstanding exposure | ||
Total | 17,078 | 17,981 |
Expected cash outflows (inflows) | ||
Total | 3,889 | 4,046 |
Potential recoveries | ||
Total | (2,592) | (2,732) |
Subtotal | ||
Total | 1,297 | 1,314 |
Discount | ||
Total | (86) | (88) |
Present value of expected cash flows | ||
Net expected loss to be paid | 1,211 | 1,226 |
Deferred premium revenue | ||
Total | 657 | 696 |
Reserves (salvage) | ||
Total | $ 844 | $ 843 |
BIG [Member] | BIG 1 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 134 | 139 |
Principal | ||
Total | $ 3,822 | $ 4,301 |
BIG [Member] | BIG 2 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 43 | 46 |
Principal | ||
Total | $ 1,024 | $ 1,344 |
BIG [Member] | BIG 3 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 149 | 150 |
Principal | ||
Total | $ 6,495 | $ 6,255 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 326 | 335 |
Remaining weighted average contract period | ||
Total (in years) | 9 years 8 months 4 days | 9 years 10 months 8 days |
Principal | ||
Total | $ 11,341 | $ 11,900 |
Interest | ||
Total | 5,737 | 6,081 |
Total net outstanding exposure | ||
Total | 17,078 | 17,981 |
Expected cash outflows (inflows) | ||
Total | 4,197 | 4,353 |
Potential recoveries | ||
Total | (2,783) | (2,926) |
Subtotal | ||
Total | 1,414 | 1,427 |
Discount | ||
Total | (111) | (111) |
Present value of expected cash flows | ||
Net expected loss to be paid | 1,303 | 1,316 |
Deferred premium revenue | ||
Total | 728 | 770 |
Reserves (salvage) | ||
Total | $ 904 | $ 898 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 1 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 134 | 139 |
Ceded (in contracts) | risk | (11) | (22) |
Remaining weighted average contract period | ||
Gross (in years) | 8 years 8 months 4 days | 8 years 10 months 8 days |
Ceded (in years) | 6 years 10 months 8 days | 7 years 3 months 6 days |
Principal | ||
Gross | $ 3,911 | $ 4,397 |
Ceded | (89) | (96) |
Interest | ||
Gross | 1,865 | 2,110 |
Ceded | (37) | (42) |
Total net outstanding exposure | ||
Gross | 5,776 | 6,507 |
Ceded | (126) | (138) |
Expected cash outflows (inflows) | ||
Gross | 101 | 186 |
Ceded | (5) | (5) |
Total | (248) | (343) |
Potential recoveries | ||
Gross | (434) | (595) |
Ceded | 19 | 20 |
Subtotal | ||
Gross | (333) | (409) |
Ceded | 14 | 15 |
Discount | ||
Gross | 85 | 66 |
Ceded | (5) | (4) |
Present value of expected cash flows | ||
Ceded | 9 | 11 |
Deferred premium revenue | ||
Gross | 88 | 112 |
Ceded | (5) | (5) |
Reserves (salvage) | ||
Gross | (280) | (380) |
Ceded | $ 10 | $ 11 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 2 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 43 | 46 |
Ceded (in contracts) | risk | (1) | (3) |
Remaining weighted average contract period | ||
Gross (in years) | 11 years 10 months 8 days | 14 years |
Ceded (in years) | 2 years 4 months 8 days | 2 years 10 months 8 days |
Principal | ||
Gross | $ 1,030 | $ 1,352 |
Ceded | (6) | (8) |
Interest | ||
Gross | 639 | 1,002 |
Ceded | (1) | (1) |
Total net outstanding exposure | ||
Gross | 1,669 | 2,354 |
Ceded | (7) | (9) |
Expected cash outflows (inflows) | ||
Gross | 232 | 492 |
Ceded | (1) | (1) |
Total | 94 | 254 |
Potential recoveries | ||
Gross | (110) | (145) |
Ceded | 0 | 0 |
Subtotal | ||
Gross | 122 | 347 |
Ceded | (1) | (1) |
Discount | ||
Gross | (28) | (93) |
Ceded | 0 | 0 |
Present value of expected cash flows | ||
Ceded | (1) | (1) |
Deferred premium revenue | ||
Gross | 117 | 129 |
Ceded | 0 | 0 |
Reserves (salvage) | ||
Gross | 51 | 202 |
Ceded | $ (1) | $ (1) |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 3 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 149 | 150 |
Ceded (in contracts) | risk | (7) | (41) |
Remaining weighted average contract period | ||
Gross (in years) | 10 years | 9 years 7 months 2 days |
Ceded (in years) | 9 years 4 months 8 days | 9 years 3 months 6 days |
Principal | ||
Gross | $ 6,661 | $ 6,445 |
Ceded | (166) | (190) |
Interest | ||
Gross | 3,349 | 3,098 |
Ceded | (78) | (86) |
Total net outstanding exposure | ||
Gross | 10,010 | 9,543 |
Ceded | (244) | (276) |
Expected cash outflows (inflows) | ||
Gross | 3,961 | 3,785 |
Ceded | (91) | (104) |
Total | 1,481 | 1,434 |
Potential recoveries | ||
Gross | (2,320) | (2,273) |
Ceded | 62 | 67 |
Subtotal | ||
Gross | 1,641 | 1,512 |
Ceded | (29) | (37) |
Discount | ||
Gross | (160) | (78) |
Ceded | (3) | (2) |
Present value of expected cash flows | ||
Ceded | (32) | (39) |
Deferred premium revenue | ||
Gross | 530 | 540 |
Ceded | (2) | (6) |
Reserves (salvage) | ||
Gross | 1,154 | 1,100 |
Ceded | (30) | (34) |
BIG [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Expected cash outflows (inflows) | ||
Total | (308) | (307) |
Potential recoveries | ||
Total | 191 | 194 |
Subtotal | ||
Total | (117) | (113) |
Discount | ||
Total | 25 | 23 |
Present value of expected cash flows | ||
Net expected loss to be paid | (92) | (90) |
Deferred premium revenue | ||
Total | (71) | (74) |
Reserves (salvage) | ||
Total | $ (60) | $ (55) |
Fair Value Measurement - Measur
Fair Value Measurement - Measured and Carried at Fair Value - Narrative (Details) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018USD ($)sourceSecurity | Dec. 31, 2017USD ($) | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Percentage of CDS contracts which are fair valued using minimum premium | 18.00% | 16.00% |
Recurring [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Other invested assets | $ 45 | $ 48 |
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 | 98 | |
Fixed maturity securities | $ 1,268 | |
Equity Securities, FV-NI | $ 2 | $ 2 |
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% | |
Total [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Number of sources of credit spread | source | 3 | |
Total [Member] | Recurring [Member] | Level 3 [Member] | Minimum [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Discount factor (as a percent) | 2.34% | 1.72% |
Total [Member] | Recurring [Member] | Level 3 [Member] | Maximum [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Discount factor (as a percent) | 2.86% | 2.55% |
Fair Value Measurement Fair Val
Fair Value Measurement Fair Value Measurement - Information by Credit Spread (Details) | Mar. 31, 2018 | Dec. 31, 2017 |
Based on actual collateral specific spreads | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Gross spread percentage | 13.00% | 14.00% |
Based on market indices | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Gross spread percentage | 50.00% | 48.00% |
Provided by the CDS counterparty | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Gross spread percentage | 37.00% | 38.00% |
Total [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Gross spread percentage | 100.00% | 100.00% |
Fair Value Measurement Fair V75
Fair Value Measurement Fair Value Measurement - Not Carried at Fair Value - Narrative (Details) - Other Assets and Other Invested Assets [Member] $ in Millions | Mar. 31, 2018USD ($) |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Equity method investments | $ 48 |
Cost method investments | $ 4 |
Fair Value Measurement - Financ
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Assets: | ||
Fixed-maturity securities | $ 11,048 | $ 11,301 |
Other invested assets | 103 | 94 |
Liabilities: | ||
Credit derivative liabilities | 237 | 271 |
Investment funds, fair value | 42 | 45 |
Recurring [Member] | ||
Assets: | ||
Other invested assets | 7 | 7 |
FG VIEs’ assets, at fair value | 651 | 700 |
Other assets | 124 | 123 |
Total assets carried at fair value | 11,830 | 12,131 |
Liabilities: | ||
Credit derivative liabilities | 237 | 271 |
FG VIEs’ liabilities with recourse, at fair value | 598 | 627 |
FG VIEs’ liabilities without recourse, at fair value | 110 | 130 |
Total liabilities carried at fair value | 945 | 1,028 |
Recurring [Member] | Level 1 [Member] | ||
Assets: | ||
Other invested assets | 0 | 0 |
FG VIEs’ assets, at fair value | 0 | 0 |
Other assets | 29 | 25 |
Total assets carried at fair value | 296 | 489 |
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 |
FG VIEs’ assets, at fair value | 0 | 0 |
Other assets | 35 | 36 |
Total assets carried at fair value | 9,548 | 9,608 |
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 | 7 |
FG VIEs’ assets, at fair value | 651 | 700 |
Other assets | 60 | 62 |
Total assets carried at fair value | 1,986 | 2,034 |
Liabilities: | ||
Credit derivative liabilities | 237 | 271 |
FG VIEs’ liabilities with recourse, at fair value | 598 | 627 |
FG VIEs’ liabilities without recourse, at fair value | 110 | 130 |
Total liabilities carried at fair value | 945 | 1,028 |
Fixed Maturities [Member] | ||
Assets: | ||
Fixed-maturity securities | 10,297 | 10,674 |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 5,474 | 5,760 |
Fixed Maturities [Member] | US government and agencies [Member] | ||
Assets: | ||
Fixed-maturity securities | 275 | 285 |
Fixed Maturities [Member] | Corporate securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 1,924 | 2,018 |
Fixed Maturities [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 849 | 861 |
Fixed Maturities [Member] | CMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 559 | 549 |
Fixed Maturities [Member] | Asset-backed Securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 889 | 896 |
Fixed Maturities [Member] | Foreign government securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 327 | 305 |
Fixed Maturities [Member] | Recurring [Member] | ||
Assets: | ||
Fixed-maturity securities | 10,297 | 10,674 |
Fixed Maturities [Member] | Recurring [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 5,474 | 5,760 |
Fixed Maturities [Member] | Recurring [Member] | US government and agencies [Member] | ||
Assets: | ||
Fixed-maturity securities | 275 | 285 |
Fixed Maturities [Member] | Recurring [Member] | Corporate securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 1,924 | 2,018 |
Fixed Maturities [Member] | Recurring [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 849 | 861 |
Fixed Maturities [Member] | Recurring [Member] | CMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 559 | 549 |
Fixed Maturities [Member] | Recurring [Member] | Asset-backed Securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 889 | 896 |
Fixed Maturities [Member] | Recurring [Member] | Foreign government securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 327 | 305 |
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 | 9,029 | 9,410 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 5,391 | 5,684 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | US government and agencies [Member] | ||
Assets: | ||
Fixed-maturity securities | 275 | 285 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Corporate securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 1,862 | 1,951 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 535 | 527 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | CMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 559 | 549 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Asset-backed Securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 80 | 109 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Foreign government securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 327 | 305 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | ||
Assets: | ||
Fixed-maturity securities | 1,268 | 1,264 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 83 | 76 |
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 | 62 | 67 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 314 | 334 |
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 | 809 | 787 |
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 | 751 | 627 |
Short-term Investments [Member] | Recurring [Member] | ||
Assets: | ||
Fixed-maturity securities | 751 | 627 |
Short-term Investments [Member] | Recurring [Member] | Level 1 [Member] | ||
Assets: | ||
Fixed-maturity securities | 267 | 464 |
Short-term Investments [Member] | Recurring [Member] | Level 2 [Member] | ||
Assets: | ||
Fixed-maturity securities | 484 | 162 |
Short-term Investments [Member] | Recurring [Member] | Level 3 [Member] | ||
Assets: | ||
Fixed-maturity securities | $ 0 | $ 1 |
Fair Value Measurement - Fair V
Fair Value Measurement - Fair Value Level 3 Rollforward Recurring Basis (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
FG VIEs' assets, at fair value [Member] | ||
Fair Value Level 3 Rollforward | ||
Fair value at beginning of period | $ 700 | $ 876 |
Acquisitions | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||
Net Income (loss) | 1 | 17 |
Other comprehensive income (loss) | 0 | 0 |
Purchases | 0 | 0 |
Settlements | (33) | (46) |
FG VIE Consolidations | 21 | |
FG VIE deconsolidations | (17) | (87) |
Fair value at end of period | 651 | 781 |
Change in unrealized gains/(losses) related to financial instruments held | 4 | 21 |
Other Assets and Other Invested Assets [Member] | ||
Fair Value Level 3 Rollforward | ||
Fair value at beginning of period | 64 | 65 |
Acquisitions | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||
Net Income (loss) | (1) | (2) |
Other comprehensive income (loss) | 0 | 0 |
Purchases | 0 | 0 |
Settlements | (1) | 0 |
FG VIE Consolidations | 0 | |
FG VIE deconsolidations | 0 | 0 |
Fair value at end of period | 62 | 63 |
Change in unrealized gains/(losses) related to financial instruments held | (1) | (2) |
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | ||
Fair Value Level 3 Rollforward | ||
Fair value at beginning of period | 76 | 39 |
Acquisitions | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||
Net Income (loss) | 1 | 1 |
Other comprehensive income (loss) | 3 | 4 |
Purchases | 4 | 0 |
Settlements | (1) | (2) |
FG VIE Consolidations | 0 | |
FG VIE deconsolidations | 0 | 0 |
Fair value at end of period | 83 | 42 |
Change in unrealized gains/(losses) related to financial instruments held | 3 | 4 |
Corporate securities [Member] | Fixed Maturities [Member] | ||
Fair Value Level 3 Rollforward | ||
Fair value at beginning of period | 67 | 60 |
Acquisitions | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||
Net Income (loss) | (5) | 2 |
Other comprehensive income (loss) | 0 | 0 |
Purchases | 0 | 0 |
Settlements | 0 | 0 |
FG VIE Consolidations | 0 | |
FG VIE deconsolidations | 0 | 0 |
Fair value at end of period | 62 | 62 |
Change in unrealized gains/(losses) related to financial instruments held | 0 | 0 |
RMBS [Member] | Fixed Maturities [Member] | ||
Fair Value Level 3 Rollforward | ||
Fair value at beginning of period | 334 | 365 |
Acquisitions | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||
Net Income (loss) | 7 | (2) |
Other comprehensive income (loss) | (7) | 27 |
Purchases | 0 | 27 |
Settlements | (20) | (15) |
FG VIE Consolidations | 0 | |
FG VIE deconsolidations | 0 | 0 |
Fair value at end of period | 314 | 402 |
Change in unrealized gains/(losses) related to financial instruments held | (6) | 27 |
Asset-backed Securities [Member] | Fixed Maturities [Member] | ||
Fair Value Level 3 Rollforward | ||
Fair value at beginning of period | 787 | 805 |
Acquisitions | 7 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||
Net Income (loss) | 15 | 74 |
Other comprehensive income (loss) | 3 | 7 |
Purchases | 9 | 57 |
Settlements | (5) | (348) |
FG VIE Consolidations | 0 | |
FG VIE deconsolidations | 0 | 0 |
Fair value at end of period | 809 | 602 |
Change in unrealized gains/(losses) related to financial instruments held | 4 | 73 |
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 | (627) | (807) |
Acquisitions | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | ||
Net income (loss) | 0 | (9) |
Other comprehensive income (loss) | (2) | 0 |
Purchases | 0 | 0 |
Settlements | 30 | 44 |
FG VIE consolidations | 0 | |
FG VIE deconsolidations | 1 | 51 |
Fair value at end of period | (598) | (721) |
Change in unrealized gains/(losses) related to financial instruments held | (3) | (7) |
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 | (130) | (151) |
Acquisitions | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | ||
Net income (loss) | 1 | (2) |
Other comprehensive income (loss) | 0 | 0 |
Purchases | 0 | 0 |
Settlements | 3 | 4 |
FG VIE consolidations | (21) | |
FG VIE deconsolidations | 16 | 36 |
Fair value at end of period | (110) | (134) |
Change in unrealized gains/(losses) related to financial instruments held | 1 | (2) |
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 | (269) | (389) |
Acquisitions | 0 | |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Net Derivative Asset (Liability) [Abstract] | ||
Net income (loss) | 34 | 54 |
Other comprehensive income (loss) | 0 | 0 |
Purchases | 0 | 0 |
Settlements | (1) | (15) |
FG VIE consolidations | 0 | |
PG VIE deconsolidations | 0 | 0 |
Fair value at end of period | (236) | (350) |
Change in unrealized gains/(losses) related to financial instruments held as of June 30, 2017 | $ 28 | $ 25 |
Fair Value Measurement - Quanti
Fair Value Measurement - Quantitative Information - Assets (Details) - Income Approach Valuation Technique [Member] - Level 3 [Member] - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
Obligations of state and political subdivisions [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 83 | $ 76 |
Obligations of state and political subdivisions [Member] | Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 4.50% | 4.50% |
Obligations of state and political subdivisions [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 39.00% | 40.80% |
Obligations of state and political subdivisions [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 9.60% | 12.50% |
Corporate securities [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 62 | $ 67 |
Yield (as a percent) | 22.80% | 22.50% |
RMBS [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 314 | $ 334 |
RMBS [Member] | Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 4.70% | 4.00% |
Conditional prepayment rate (as a percent) | 1.40% | 1.30% |
Conditional default rate (as a percent) | 1.50% | 1.50% |
Loss severity rate (as a percent) | 40.00% | 40.00% |
RMBS [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 7.80% | 7.50% |
Conditional prepayment rate (as a percent) | 15.00% | 17.40% |
Conditional default rate (as a percent) | 8.60% | 9.20% |
Loss severity rate (as a percent) | 125.00% | 125.00% |
RMBS [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 5.90% | 5.60% |
Conditional prepayment rate (as a percent) | 6.40% | 6.40% |
Conditional default rate (as a percent) | 5.70% | 5.90% |
Loss severity rate (as a percent) | 82.40% | 82.50% |
Triple-X Life Insurance Transaction [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 628 | $ 613 |
Triple-X Life Insurance Transaction [Member] | Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 6.30% | 6.20% |
Triple-X Life Insurance Transaction [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 6.90% | 6.40% |
Triple-X Life Insurance Transaction [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 6.60% | 6.30% |
Collateralized loan obligations (CLO) /TruPS [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 124 | $ 116 |
Collateralized loan obligations (CLO) /TruPS [Member] | Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 3.00% | 2.60% |
Collateralized loan obligations (CLO) /TruPS [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 4.80% | 4.60% |
Collateralized loan obligations (CLO) /TruPS [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 3.60% | 3.30% |
Other Asset Backed Securities [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 57 | $ 58 |
Yield (as a percent) | 11.30% | 10.70% |
Financial Guaranty Variable Interest Entities [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 651 | $ 700 |
Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 4.10% | 3.70% |
Conditional prepayment rate (as a percent) | 1.70% | 3.00% |
Conditional default rate (as a percent) | 1.30% | 1.30% |
Loss severity rate (as a percent) | 60.00% | 60.00% |
Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 10.40% | 10.00% |
Conditional prepayment rate (as a percent) | 17.80% | 14.90% |
Conditional default rate (as a percent) | 21.90% | 21.70% |
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) | 6.60% | 6.20% |
Conditional prepayment rate (as a percent) | 9.20% | 9.50% |
Conditional default rate (as a percent) | 5.20% | 5.40% |
Loss severity rate (as a percent) | 79.70% | 79.60% |
Other Assets [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 59 | $ 60 |
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) | 5.50% | 5.20% |
Other Assets [Member] | Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 6.10% | 5.90% |
Other Assets [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Yield (as a percent) | 5.80% | 5.50% |
Other invested assets [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Asset, fair value | $ 7 | $ 7 |
Fair Value Measurement - Quan79
Fair Value Measurement - Quantitative Information - Liabilities (Details) - Income Approach Valuation Technique [Member] - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
Credit derivative liabilities, net [Member] | Level 3 [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Total liabilities carried at fair value | $ (236) | $ (269) |
Credit derivative liabilities, net [Member] | Minimum [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Internal floor (as a percent) | 0.088% | 0.08% |
Bank profit (as a percent) | 0.083% | 0.06% |
Hedge cost (as a percent) | 0.055% | 0.176% |
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) | 0.30% | 0.30% |
Bank profit (as a percent) | 5.159% | 8.525% |
Hedge cost (as a percent) | 0.908% | 1.226% |
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) | 43.00% | 42.00% |
Credit derivative liabilities, net [Member] | Weighted Average [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Internal floor (as a percent) | 0.234% | 0.218% |
Bank profit (as a percent) | 1.111% | 1.75% |
Hedge cost (as a percent) | 0.34% | 0.481% |
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) | 3.30% | 3.30% |
Financial Guaranty Variable Interest Entities [Member] | Level 3 [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Total liabilities carried at fair value | $ (708) | $ (757) |
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) | 1.70% | 3.00% |
Conditional default rate (as a percent) | 1.30% | 1.30% |
Loss severity rate (as a percent) | 60.00% | 60.00% |
Yield (as a percent) | 3.70% | 3.40% |
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) | 17.80% | 14.90% |
Conditional default rate (as a percent) | 21.90% | 21.70% |
Loss severity rate (as a percent) | 100.00% | 100.00% |
Yield (as a percent) | 10.40% | 10.00% |
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) | 9.20% | 9.50% |
Conditional default rate (as a percent) | 5.20% | 5.40% |
Loss severity rate (as a percent) | 79.70% | 79.60% |
Yield (as a percent) | 5.20% | 4.90% |
Short-term Investments [Member] | Level 3 [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Asset, fair value | $ 1 | |
Other invested assets [Member] | Level 3 [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Asset, fair value | $ 7 | $ 7 |
Fair Value Measurement - Fair80
Fair Value Measurement - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Assets: | ||
Fixed-maturity securities | $ 11,048 | $ 11,301 |
Short-term investments | 751 | 627 |
Other invested assets | 103 | 94 |
Liabilities: | ||
Credit derivative liabilities | 237 | 271 |
Carrying Amount [Member] | ||
Assets: | ||
Fixed-maturity securities | 10,297 | 10,674 |
Short-term investments | 751 | 627 |
Other invested assets | 55 | 60 |
FG VIEs’ assets, at fair value | 651 | 700 |
Other assets | 226 | 220 |
Liabilities: | ||
Financial guaranty insurance contracts | 3,217 | 3,330 |
Long-term debt | 1,281 | 1,292 |
Credit derivative liabilities | 237 | 271 |
FG VIEs’ liabilities with recourse, at fair value | 598 | 627 |
FG VIEs’ liabilities without recourse, at fair value | 110 | 130 |
Other liabilities | 58 | 55 |
Estimated Fair Value [Member] | ||
Assets: | ||
Fixed-maturity securities | 10,297 | 10,674 |
Short-term investments | 751 | 627 |
Other invested assets | 57 | 61 |
FG VIEs’ assets, at fair value | 651 | 700 |
Other assets | 226 | 220 |
Liabilities: | ||
Financial guaranty insurance contracts | 6,880 | 7,104 |
Long-term debt | 1,618 | 1,627 |
Credit derivative liabilities | 237 | 271 |
FG VIEs’ liabilities with recourse, at fair value | 598 | 627 |
FG VIEs’ liabilities without recourse, at fair value | 110 | 130 |
Other liabilities | $ 58 | $ 55 |
Contracts Accounted for as Cr81
Contracts Accounted for as Credit Derivatives - Credit Derivatives Subordination and Ratings (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | $ 5,615 | $ 6,207 |
Credit Risk Derivatives, at Fair Value, Net | (236) | (269) |
Expected loss to be recovered | 6 | 14 |
Collateralized Debt Obligations [Member] | TruPS CDOs [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 767 | 878 |
Credit Risk Derivatives, at Fair Value, Net | (75) | (72) |
RMBS [Member] | United States [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 886 | 916 |
Credit Risk Derivatives, at Fair Value, Net | (28) | (53) |
Pooled Infrastructure Transactions [Member] | United States [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,577 | 1,561 |
Credit Risk Derivatives, at Fair Value, Net | (41) | (42) |
Infrastructure Finance [Member] | United States [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 544 | 572 |
Credit Risk Derivatives, at Fair Value, Net | (26) | (36) |
Other [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,841 | 2,280 |
Credit Risk Derivatives, at Fair Value, Net | $ (66) | $ (66) |
Contracts Accounted for as Cr82
Contracts Accounted for as Credit Derivatives - Distribution of Credit Derivative Net Par Outstanding by Internal Rating (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
Credit Derivatives | ||
Net Par Outstanding | $ 5,615 | $ 6,207 |
BIG [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | 258 | 338 |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 5,615 | $ 6,207 |
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 | $ 2,137 | $ 2,144 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 38.10% | 34.60% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, AA [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,053 | $ 1,170 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 18.70% | 18.80% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, A [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,203 | $ 1,517 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 21.40% | 24.50% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, BBB [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 964 | $ 1,038 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 17.20% | 16.70% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | BIG [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 258 | $ 338 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 4.60% | 5.40% |
Contracts Accounted for as Cr83
Contracts Accounted for as Credit Derivatives - Net Change in Fair Value of Credit Derivatives Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Credit Derivatives | ||
Realized gains on credit derivatives | $ 2 | $ 5 |
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | 0 | 10 |
Realized gains (losses) and other settlements | 2 | 15 |
Net unrealized gains (losses): | ||
Net change in unrealized gains (losses) on credit derivatives | 32 | 39 |
Net change in fair value of credit derivatives | 34 | 54 |
Pooled Infrastructure Transactions [Member] | ||
Net unrealized gains (losses): | ||
Net change in unrealized gains (losses) on credit derivatives | 1 | 6 |
Collateralized Debt Obligations [Member] | ||
Net unrealized gains (losses): | ||
Net change in unrealized gains (losses) on credit derivatives | (3) | 20 |
Infrastructure Finance [Member] | ||
Net unrealized gains (losses): | ||
Net change in unrealized gains (losses) on credit derivatives | 10 | 1 |
Other [Member] | ||
Net unrealized gains (losses): | ||
Net change in unrealized gains (losses) on credit derivatives | (2) | 3 |
United States [Member] | RMBS [Member] | ||
Net unrealized gains (losses): | ||
Net change in unrealized gains (losses) on credit derivatives | $ 26 | $ 9 |
Contracts Accounted for as Cr84
Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Credit Derivatives | ||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ (499) | $ (555) | ||
Plus: Effect of AGC and AGM credit spreads | 263 | 286 | ||
Net fair value of credit derivatives | $ (236) | $ (269) | ||
Credit Risk Contract, 5 Year Spread [Member] | AGC [Member] | ||||
Credit Derivatives | ||||
Quoted price of CDS contract (as a percent) | 1.21% | 1.63% | 1.73% | 1.58% |
Credit Risk Contract, 5 Year Spread [Member] | AGM [Member] | ||||
Credit Derivatives | ||||
Quoted price of CDS contract (as a percent) | 1.09% | 1.45% | 1.81% | 1.58% |
Credit Risk Contract, 1 Year Spread [Member] | AGC [Member] | ||||
Credit Derivatives | ||||
Quoted price of CDS contract (as a percent) | 0.25% | 0.70% | 0.31% | 0.35% |
Credit Risk Contract, 1 Year Spread [Member] | AGM [Member] | ||||
Credit Derivatives | ||||
Quoted price of CDS contract (as a percent) | 0.22% | 0.28% | 0.31% | 0.29% |
Contracts Accounted for as Cr85
Contracts Accounted for as Credit Derivatives - Net Fair Value and Expected Losses of Credit Derivatives by Sector (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Credit Risk Derivatives, at Fair Value, Net | $ (236) | $ (269) |
Expected loss to be recovered | $ 6 | $ 14 |
Contracts Accounted for as Cr86
Contracts Accounted for as Credit Derivatives - Collateral Posting Requirements on Credit Derivatives (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Collateral Debt Obligations, Collateral Requirement [Member] | ||
Credit Derivatives | ||
Collateral posting requirement. | $ 333 | $ 497 |
Collateral Debt Obligations, Collateral Cap Negotiated [Member] | ||
Credit Derivatives | ||
Collateral posting requirement. | 300 | 464 |
Collateral Debt Obligations, No Cap Negotiated [Member] | ||
Credit Derivatives | ||
Collateral posted | $ 1 | $ 18 |
Contracts Accounted for as Cr87
Contracts Accounted for as Credit Derivatives - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
Credit Derivatives | ||
Estimated remaining weighted average life of credit derivatives (in years) | 12 years | 11 years 8 months 4 days |
Net par outstanding | $ 5,615 | $ 6,207 |
Consolidated Variable Interes88
Consolidated Variable Interest Entities - Narrative (Details) | 3 Months Ended | |||
Mar. 31, 2018USD ($)Entity | Mar. 31, 2017USD ($)Entity | Dec. 31, 2017USD ($)Entity | Dec. 31, 2016Entity | |
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 | |||
Reclassification adjustment for gains (losses) included in net income (loss), net of tax | (2,000,000) | $ 0 | ||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | ||||
Fair value gains (losses) on FG VIEs | 4,000,000 | 10,000,000 | ||
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 | $ 4,000,000 | $ 10,000,000 | ||
Number of VIE that did not require consolidation | Entity | 31 | 32 | 32 | 32 |
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] | ||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | ||||
Number of VIE that did not require consolidation | Entity | 522 | 510 | ||
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 | $ 92,000,000 | $ 99,000,000 | ||
Fair Value, Option, Loans Held as Assets, Aggregate Difference | 357,000,000 | |||
Difference between the aggregate unpaid principal and aggregate fair value of the VIEs' Assets | 361,000,000 | |||
Change in the instrument specific credit risk of the VIEs' assets | 2,000,000 | $ 14,000,000 | ||
Unpaid principal for FG VIEs’ liabilities with recourse | 644,000,000 | 674,000,000 | ||
Fair Value, Option, Loans Held as Liabilities, Aggregate Difference | 71,000,000 | |||
Unpaid principal for FG VIEs' liabilities with and without recourse | $ 73,000,000 | |||
Change in fair value of FG VIE liabilities with recourse | 5,000,000 | |||
Accounting Standards Update 2016-01 [Member] | ||||
Variable Interest Entity [Line Items] | ||||
Reclassification adjustment for gains (losses) included in net income (loss), net of tax | $ 33,000,000 |
Consolidated Variable Interes89
Consolidated Variable Interest Entities - Number of FG VIE's Consolidated (Details) - Variable Interest Entity, Primary Beneficiary [Member] - Entity | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Number of FG VIEs Consolidated [Roll Forward] | ||
Number of FG VIE's consolidated, beginning of period | 32 | 32 |
Number of FG VIE's consolidated | 0 | 1 |
Number of FG VIE's deconsolidated | (1) | (1) |
Number of FG VIE's consolidated, end of period | 31 | 32 |
Consolidated Variable Interes90
Consolidated Variable Interest Entities - Consolidated FG VIE's By Type of Collateral (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | $ 541 | $ 570 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 598 | 627 |
Financial guaranty variable interest entities' assets without recourse, at fair value | 110 | 130 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 110 | 130 |
Financial guaranty variable interest entities’ assets, at fair value | 651 | 700 |
Financial guaranty variable interest entities’ liabilities, at fair value | 708 | 757 |
Manufactured Housing Loans [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 61 | 64 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 62 | 65 |
United States [Member] | First Lien [Member] | RMBS [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 345 | 362 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 371 | 385 |
United States [Member] | Second Lien [Member] | RMBS [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 135 | 144 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | $ 165 | $ 177 |
Consolidated Variable Interes91
Consolidated Variable Interest Entities - Effect of Consolidating FG VIE's on Financial Information (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Variable Interest Entity [Line Items] | |||
Net earned premiums | $ 145 | $ 164 | |
Net investment income | 101 | 122 | |
Fair value gains (losses) on FG VIEs | 4 | 10 | |
Loss and LAE | 18 | (59) | |
Income (loss) before income taxes | 217 | 372 | |
Less: tax provision (benefit) | 20 | 55 | |
Net income (loss) | 197 | 317 | |
Effect on OCI | (2) | 0 | |
Net cash flows provided by (used in) operating activities | 27 | 102 | |
Effect on shareholders' equity (decrease) increase | 6,784 | $ 6,839 | |
Variable Interest Entity, Primary Beneficiary [Member] | |||
Variable Interest Entity [Line Items] | |||
Net earned premiums | (3) | (4) | |
Net investment income | (1) | (1) | |
Fair value gains (losses) on FG VIEs | 4 | 10 | |
Loss and LAE | 6 | 2 | |
Income (loss) before income taxes | 6 | 7 | |
Less: tax provision (benefit) | 1 | 3 | |
Net income (loss) | 5 | 4 | |
Effect on OCI | (2) | 0 | |
Net cash flows provided by (used in) operating activities | 2 | $ 5 | |
Effect on shareholders' equity (decrease) increase | $ 5 | $ 2 |
Investments and Cash - Net Inve
Investments and Cash - Net Investment Income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Net Investment Income | ||
Gross investment income | $ 103 | $ 124 |
Investment expenses | (2) | (2) |
Net investment income | 101 | 122 |
Fixed Maturities, Managed Externally [Member] | ||
Net Investment Income | ||
Gross investment income | 75 | 75 |
Fixed Maturities, Managed Internally [Member] | ||
Net Investment Income | ||
Gross investment income | $ 28 | $ 49 |
Investments and Cash - Net Real
Investments and Cash - Net Realized Investment Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Net Realized Investment Gains (Losses) | ||
Gross realized gains on available-for-sale securities | $ 9 | $ 43 |
Gross realized losses on available-for-sale securities | (5) | (2) |
Net realized gains (losses) on other invested assets | (1) | 0 |
Other-than-temporary impairment (OTTI) | (8) | (9) |
Net realized investment gains (losses) | $ (5) | $ 32 |
Investments and Cash - Roll For
Investments and Cash - Roll Forward of Credit Losses in the Investment Portfolio (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Roll Forward of Credit Losses in the Investment Portfolio | ||
Credit losses, beginning of period | $ 162 | $ 134 |
Additions for credit losses on securities for which an OTTI was previously recognized | 7 | 8 |
Credit losses, end of period | $ 169 | $ 142 |
Investments and Cash - Fixed Ma
Investments and Cash - Fixed Maturity Securities and Short Term Investments (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Investments | ||
Percent of Total | 100.00% | 100.00% |
Amortized Cost | $ 10,720 | $ 10,814 |
Gross Unrealized Gains | 437 | 554 |
Gross Unrealized Losses | (109) | (67) |
Estimated Fair Value | 11,048 | 11,301 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 149 | $ 152 |
Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 93.00% | 94.00% |
Amortized Cost | $ 9,969 | $ 10,187 |
Gross Unrealized Gains | 437 | 554 |
Gross Unrealized Losses | (109) | (67) |
Estimated Fair Value | 10,297 | 10,674 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 149 | $ 152 |
Short-term Investments [Member] | ||
Investments | ||
Percent of Total | 7.00% | 6.00% |
Amortized Cost | $ 751 | $ 627 |
Gross Unrealized Gains | 0 | 0 |
Gross Unrealized Losses | 0 | 0 |
Estimated Fair Value | 751 | 627 |
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 | 50.00% | 51.00% |
Amortized Cost | $ 5,323 | $ 5,504 |
Gross Unrealized Gains | 178 | 267 |
Gross Unrealized Losses | (27) | (11) |
Estimated Fair Value | 5,474 | 5,760 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 26 | $ 23 |
US government and agencies [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 2.00% | 2.00% |
Amortized Cost | $ 265 | $ 272 |
Gross Unrealized Gains | 11 | 14 |
Gross Unrealized Losses | (1) | (1) |
Estimated Fair Value | 275 | 285 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | $ 0 |
Corporate securities [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 18.00% | 18.00% |
Amortized Cost | $ 1,911 | $ 1,973 |
Gross Unrealized Gains | 45 | 63 |
Gross Unrealized Losses | (32) | (18) |
Estimated Fair Value | 1,924 | 2,018 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (6) | $ (6) |
RMBS [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 8.00% | 8.00% |
Amortized Cost | $ 857 | $ 852 |
Gross Unrealized Gains | 20 | 26 |
Gross Unrealized Losses | (28) | (17) |
Estimated Fair Value | 849 | 861 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (8) | $ (1) |
CMBS [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 5.00% | 5.00% |
Amortized Cost | $ 561 | $ 540 |
Gross Unrealized Gains | 5 | 12 |
Gross Unrealized Losses | (7) | (3) |
Estimated Fair Value | 559 | 549 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | $ 0 |
Asset-backed Securities [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 7.00% | 7.00% |
Amortized Cost | $ 721 | $ 730 |
Gross Unrealized Gains | 169 | 166 |
Gross Unrealized Losses | (1) | 0 |
Estimated Fair Value | 889 | 896 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 137 | $ 136 |
Foreign government securities [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 3.00% | 3.00% |
Amortized Cost | $ 331 | $ 316 |
Gross Unrealized Gains | 9 | 6 |
Gross Unrealized Losses | (13) | (17) |
Estimated Fair Value | 327 | 305 |
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 | Mar. 31, 2018USD ($)Security | Dec. 31, 2017USD ($)Security |
Less than 12 months | ||
Fair value | $ 2,390 | $ 806 |
Unrealized loss | (44) | (10) |
12 months or more | ||
Fair Value | 906 | 975 |
Unrealized loss | (65) | (57) |
Total | ||
Fair value | 3,296 | 1,781 |
Unrealized loss | $ (109) | $ (67) |
Number of securities | ||
Less than 12 months (in securities) | Security | 716 | 244 |
12 months or more (in securities) | Security | 244 | 264 |
Total (in securities) | Security | 944 | 499 |
Number of securities with OTTI | ||
Less than 12 months (in securities) | Security | 20 | 17 |
12 months or more (in securities) | Security | 16 | 15 |
Total (in securities) | Security | 35 | 31 |
Obligations of state and political subdivisions [Member] | ||
Less than 12 months | ||
Fair value | $ 988 | $ 166 |
Unrealized loss | (15) | (4) |
12 months or more | ||
Fair Value | 260 | 281 |
Unrealized loss | (12) | (7) |
Total | ||
Fair value | 1,248 | 447 |
Unrealized loss | (27) | (11) |
US government and agencies [Member] | ||
Less than 12 months | ||
Fair value | 62 | 151 |
Unrealized loss | 0 | 0 |
12 months or more | ||
Fair Value | 17 | 18 |
Unrealized loss | (1) | (1) |
Total | ||
Fair value | 79 | 169 |
Unrealized loss | (1) | (1) |
Corporate securities [Member] | ||
Less than 12 months | ||
Fair value | 692 | 201 |
Unrealized loss | (14) | (1) |
12 months or more | ||
Fair Value | 226 | 240 |
Unrealized loss | (18) | (17) |
Total | ||
Fair value | 918 | 441 |
Unrealized loss | (32) | (18) |
RMBS [Member] | ||
Less than 12 months | ||
Fair value | 350 | 191 |
Unrealized loss | (11) | (5) |
12 months or more | ||
Fair Value | 203 | 213 |
Unrealized loss | (17) | (12) |
Total | ||
Fair value | 553 | 404 |
Unrealized loss | (28) | (17) |
CMBS [Member] | ||
Less than 12 months | ||
Fair value | 222 | 29 |
Unrealized loss | (3) | 0 |
12 months or more | ||
Fair Value | 78 | 80 |
Unrealized loss | (4) | (3) |
Total | ||
Fair value | 300 | 109 |
Unrealized loss | (7) | (3) |
Asset-backed Securities [Member] | ||
Less than 12 months | ||
Fair value | 55 | 48 |
Unrealized loss | (1) | 0 |
12 months or more | ||
Fair Value | 3 | 3 |
Unrealized loss | 0 | 0 |
Total | ||
Fair value | 58 | 51 |
Unrealized loss | (1) | 0 |
Foreign government securities [Member] | ||
Less than 12 months | ||
Fair value | 21 | 20 |
Unrealized loss | 0 | 0 |
12 months or more | ||
Fair Value | 119 | 140 |
Unrealized loss | (13) | (17) |
Total | ||
Fair value | 140 | 160 |
Unrealized loss | $ (13) | $ (17) |
Investments and Cash - Distribu
Investments and Cash - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Amortized Cost | ||
Amortized Cost | $ 10,720 | $ 10,814 |
Estimated Fair Value | ||
Estimated Fair Value | 11,048 | 11,301 |
Fixed Maturities [Member] | ||
Amortized Cost | ||
Due within one year | 274 | |
Due after one year through five years | 1,438 | |
Due after five years through 10 years | 2,345 | |
Due after 10 years | 4,494 | |
Amortized Cost | 9,969 | 10,187 |
Estimated Fair Value | ||
Due within one year | 272 | |
Due after one year through five years | 1,467 | |
Due after five years through 10 years | 2,378 | |
Due after 10 years | 4,772 | |
Estimated Fair Value | 10,297 | 10,674 |
Fixed Maturities [Member] | RMBS [Member] | ||
Amortized Cost | ||
Amortized Cost | 857 | 852 |
Estimated Fair Value | ||
Estimated Fair Value | 849 | 861 |
Fixed Maturities [Member] | CMBS [Member] | ||
Amortized Cost | ||
Amortized Cost | 561 | 540 |
Estimated Fair Value | ||
Estimated Fair Value | $ 559 | $ 549 |
Investments and Cash - Internal
Investments and Cash - Internally Managed Investment Portfolio (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | $ 11,048 | $ 11,301 |
Other invested assets | 103 | 94 |
Total investment portfolio | 11,151 | 11,395 |
Fixed Maturities, Managed Internally [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | 1,199 | 1,231 |
Other Invested Assets, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 18 | 20 |
Alternative Investments [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 80 | 69 |
Other, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 5 | 5 |
Internally Managed Portfolio [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Total investment portfolio | $ 1,302 | $ 1,325 |
Investments and Cash Investment
Investments and Cash Investments and Cash - Cash and Restricted Cash (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Investments, Debt and Equity Securities [Abstract] | ||||
Cash | $ 114 | $ 144 | $ 147 | $ 118 |
Restricted cash | 3 | 0 | 1 | 9 |
Cash and Restricted Cash | $ 117 | $ 144 | $ 148 | $ 127 |
Investments and Cash - Narrativ
Investments and Cash - Narrative (Details) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2018USD ($)Security | Dec. 31, 2017USD ($)Security | Mar. 31, 2017USD ($) | |
Investment [Line Items] | |||
Accrued investment income | $ 101 | $ 97 | |
Government agency obligations as a percentage of total mortgage backed securities | 42.00% | 39.00% | |
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | Security | 27 | 28 | |
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $ 25 | $ 27 | |
Assets held-in-trust | $ 264 | $ 287 | |
Number of outside managers managing investment portfolio | 7 | ||
Non-income producing investments | $ 0 | $ 0 | |
Unrealized Gain (Loss) on Investments | $ (3) | ||
Investments [Member] | Internally Managed Portfolio [Member] | |||
Investment [Line Items] | |||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 12.00% | 12.00% | |
AGL Subsidiaries [Member] | |||
Investment [Line Items] | |||
Assets held-in-trust | $ 1,689 | $ 1,677 | |
Accounting Standards Update 2016-01 [Member] | Retained Earnings [Member] | |||
Investment [Line Items] | |||
New accounting pronouncement or change in accounting principle, effect of change on net income | 32 | ||
Redeemable Preferred Stock [Member] | Other Income [Member] | Accounting Standards Update 2016-01 [Member] | Retained Earnings [Member] | |||
Investment [Line Items] | |||
New accounting pronouncement or change in accounting principle, effect of change on net income | $ (1) |
Insurance Company Regulatory101
Insurance Company Regulatory Requirements - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Statutory Accounting Practices [Line Items] | ||
Dividends paid | $ 18 | $ 19 |
Municipal Assurance Corp [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Amount available for distribution, next fiscal quarter | 16 | |
Affiliated Entity [Member] | Municipal Assurance Corp [Member] | Municipal Assurance Corp Holdings [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Dividends paid | 0 | 12 |
Affiliated Entity [Member] | AGC [Member] | AGUSH [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Dividends paid | 52 | 28 |
Affiliated Entity [Member] | AGM [Member] | AGMH [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Dividends paid | 73 | $ 79 |
New York [Member] | Municipal Assurance Corp [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Amount available for distribution, current year | $ 28 | |
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 | $ 176 | |
Amount available for distribution, next fiscal quarter | $ 0 | |
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 | $ 25 | |
Maryland [Member] | AGUSH [Member] | AGC [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Amount available for distribution, current year | 133 | |
Bermuda [Member] | Assured Guaranty Re [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Amount available for distribution, current year | $ 324 | |
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 | 324 | |
Unencumbered assets | $ 505 |
Insurance Company Regulatory102
Insurance Company Regulatory Requirements - Dividends and Surplus Notes By Insurance Company Subsidiaries (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Statutory Accounting Practices [Line Items] | ||
Dividends paid | $ 18 | $ 19 |
AGC [Member] | AGUS [Member] | Affiliated Entity [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Dividends paid | 52 | 28 |
Repurchase of common stock | 200 | 0 |
AGM [Member] | AGMH [Member] | Affiliated Entity [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Dividends paid | 73 | 79 |
Assured Guaranty Re [Member] | AGL [Member] | Affiliated Entity [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Dividends paid | 40 | 40 |
Municipal Assurance Corp [Member] | Municipal Assurance Corp Holdings [Member] | Affiliated Entity [Member] | ||
Statutory Accounting Practices [Line Items] | ||
Dividends paid | $ 0 | $ 12 |
Income Taxes Income Taxes - Def
Income Taxes Income Taxes - Deferred and Current Tax Liabilities (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Income Tax Disclosure [Abstract] | ||
Deferred tax assets (liabilities) | $ 70 | $ 98 |
Current tax assets (liabilities) | $ 63 | $ 21 |
Income Taxes - Effective Tax Ra
Income Taxes - Effective Tax Rate Reconciliation and Pretax Income (Loss) and Revenue by Tax Jurisdiction (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Pre-tax Income Taxes and Revenue [Line Items] | ||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $ 35 | $ 85 |
Tax-exempt interest | (6) | (12) |
Goodwill impairment and gain on bargain purchase price | 0 | (20) |
Change in liability for uncertain tax positions | (7) | 0 |
Foreign taxes | (4) | 0 |
State taxes | 2 | 5 |
Other | 0 | (3) |
Total provision (benefit) for income taxes | $ 20 | $ 55 |
Effective tax rate (as a percent) | 9.30% | 14.70% |
Income (loss) before income taxes | $ 217 | $ 372 |
Revenue | 293 | 527 |
United States [Member] | ||
Pre-tax Income Taxes and Revenue [Line Items] | ||
Income (loss) before income taxes | 175 | 246 |
Revenue | 247 | 474 |
Bermuda [Member] | ||
Pre-tax Income Taxes and Revenue [Line Items] | ||
Income (loss) before income taxes | 49 | 133 |
Revenue | 52 | 57 |
United Kingdom [Member] | ||
Pre-tax Income Taxes and Revenue [Line Items] | ||
Income (loss) before income taxes | (7) | (7) |
Revenue | $ (6) | $ (4) |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Millions | Apr. 01, 2017 | Mar. 31, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | Mar. 31, 2017 |
Income Taxes [Line Items] | |||||
Foreign tax credits acquired | $ 43 | ||||
Tax Cuts and Jobs Act of 2017, incomplete accounting, transition tax for accumulated foreign earnings, tax credit realized | $ 30 | ||||
Realization assessment period | 3 years | ||||
Interest and penalties related to uncertain tax positions | $ 0.3 | $ 1 | |||
Accrued interest and penalties, uncertain tax positions | 7 | $ 37 | |||
Accrued interest, uncertain tax positions | 2 | 3 | |||
Unrecognized tax benefits that would impact effective tax rate | $ 24 | 31 | |||
United Kingdom [Member] | |||||
Income Taxes [Line Items] | |||||
Corporate tax rate | 19.00% | 19.00% | 20.00% | ||
Value added tax rate, percent | 20.00% | ||||
United States [Member] | |||||
Income Taxes [Line Items] | |||||
Tax Cuts and Jobs Act of 2017, incomplete accounting, provisional income tax expense (benefit) | $ 61 | ||||
Radian [Member] | |||||
Income Taxes [Line Items] | |||||
Foreign tax credits acquired | $ 13 |
Reinsurance and Other Monoli106
Reinsurance and Other Monoline Exposures - Effect of Reinsurance on Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Premiums Written: | ||
Direct | $ 73 | $ 109 |
Assumed | 0 | 2 |
Ceded | (11) | 11 |
Net | 62 | 122 |
Premiums Earned: | ||
Direct | 143 | 167 |
Assumed | 5 | 6 |
Ceded | (3) | (9) |
Net | 145 | 164 |
Loss and LAE: | ||
Direct | (14) | 67 |
Assumed | (3) | 3 |
Ceded | (1) | (11) |
Net | $ (18) | $ 59 |
Reinsurance and Other Monoli107
Reinsurance and Other Monoline Exposures - Exposure to Reinsurers and Other Monolines (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Due (To) From [Abstract] | ||
Assumed premium, net of commissions | $ 52 | $ 53 |
Ceded Premium, net of Commissions | (46) | (42) |
Assumed loss paid | (18) | (19) |
Assumed expected loss to be paid | (65) | (71) |
Ceded expected loss to be paid | 24 | 29 |
Financial Guaranty [Abstract] | ||
Ceded par outstanding | 4,299 | 4,434 |
Assumed par outstanding | 7,705 | 8,383 |
Second-to-pay insured par outstanding | 5,954 | 6,605 |
Non-Financial Guaranty Exposure [Abstract] | ||
Ceded | 165 | 159 |
Assumed | 1,010 | 974 |
Non-affiliated Reinsurers [Member] | ||
Ceded Credit Risk [Line Items] | ||
Funds held under reinsurance agreements | 105 | 118 |
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 | 261 | 296 |
Financial Guaranty [Abstract] | ||
Second-to-pay insured par outstanding | $ 191 | $ 204 |
Reinsurance and Other Monoli108
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 | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Insurance [Abstract] | ||
Increase (decrease) in net unearned premium reserve | $ 4 | $ 18 |
Increase (decrease) in net par outstanding | 42 | 1,173 |
Commutation gains (losses) | $ 1 | $ 73 |
Reinsurance and Other Monoli109
Reinsurance and Other Monoline Exposures - Narrative (Details) - USD ($) | Feb. 02, 2018 | Jan. 01, 2016 | Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2019 | Jan. 01, 2018 |
Ceded Credit Risk [Line Items] | ||||||||
Increase (decrease) in net par outstanding | $ 42,000,000 | $ 1,173,000,000 | ||||||
Commutation agreement exposure, percent (over) | 97.00% | |||||||
Commutation gains (losses) | 1,000,000 | $ 73,000,000 | ||||||
Assured Guaranty Re [Member] | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Amounts could be required to pay if third party exercised right to recapture business | 44,000,000 | |||||||
AGC [Member] | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Amounts could be required to pay if third party exercised right to recapture business | 17,000,000 | |||||||
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 | $ 800,000,000 | ||||||
Amount of losses covered under the facility | $ 400,000,000 | 400,000,000 | ||||||
Remaining amount of losses covered under the facility | 220,000,000 | |||||||
Premiums paid during the period | $ 9,000,000 | |||||||
Cash held in trust accounts for benefits of reinsured companies | $ 3,200,000 | |||||||
Reinsurance of SGI Insured Portfolio [Member] | AGC [Member] | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Reinsurance retention policy, excess retention, amount reinsured | $ 14,500,000,000 | |||||||
Premiums paid during the period | 360,000,000 | |||||||
Reinsurance payable | $ 55,000,000 | |||||||
Reinsurance retention policy, quota share basis, percent | 100.00% | |||||||
Uncollateralized [Member] | AM Best, A- Rating [Member] | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Guaranty Liabilities | 9,000,000 | |||||||
Uncollateralized [Member] | Standard & Poor's, A Rating [Member] | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Guaranty Liabilities | $ 4,000,000 | |||||||
Scenario, Forecast [Member] | Excess of Loss Reinsurance Facility [Member] | AGM, AGC and MAC [Member] | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Reinsurance retention policy, excess retention, amount reinsured | $ 180,000,000 | |||||||
Premiums paid during the period | $ 3,200,000 |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) $ in Millions | Mar. 31, 2018USD ($) | Dec. 31, 2017USD ($) | Apr. 10, 2015USD ($) | Nov. 28, 2011USD ($)Transaction |
Commitments and Contingencies Legal Proceedings | ||||
Net Debt Service Outstanding | $ 390,017 | $ 401,118 | ||
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 |
Long-Term Debt and Credit Fa111
Long-Term Debt and Credit Facilities - Narrative (Details) | Apr. 07, 2008 | Jun. 30, 2003USD ($)Trust | Mar. 31, 2018USD ($) | Mar. 31, 2017USD ($) | Dec. 31, 2017USD ($) | Dec. 31, 2012USD ($) | Oct. 25, 2013USD ($) | Apr. 08, 2005USD ($)Trust |
Debt Instrument [Line Items] | ||||||||
Debt repurchase amount | $ 1,538,000,000 | $ 1,558,000,000 | ||||||
Consolidation, Eliminations [Member] | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt repurchase amount | (48,000,000) | (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 | 6,000,000 | 6,000,000 | ||||||
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 | 6,000,000 | 6,000,000 | ||||||
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 | 20,000,000 | 28,000,000 | ||||||
Loss on extinguishment of debt | (7,000,000) | $ 0 | ||||||
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 | $ 60,000,000 | |||||||
Intercompany debt | $ 90,000,000 | |||||||
Repayments of Debt | $ 10,000,000 |
Long-Term Debt and Credit Fa112
Long-Term Debt and Credit Facilities - Principal and Carrying Amounts of Debt (Details) - USD ($) | Mar. 31, 2018 | Dec. 31, 2017 |
Debt Instrument [Line Items] | ||
Principal | $ 1,538,000,000 | $ 1,558,000,000 |
Carrying Value | 1,281,000,000 | 1,292,000,000 |
Consolidation, Eliminations [Member] | ||
Debt Instrument [Line Items] | ||
Principal | (48,000,000) | (28,000,000) |
Carrying Value | (31,000,000) | (18,000,000) |
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 | 463,000,000 | 461,000,000 |
AGM [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 6,000,000 | 6,000,000 |
Carrying Value | $ 6,000,000 | $ 6,000,000 |
Senior Notes [Member] | AGUS [Member] | Senior Notes 7.0% [Member] | ||
Debt Instrument [Line Items] | ||
Interest rate of debt (as a percent) | 7.00% | 7.00% |
Principal | $ 200,000,000 | $ 200,000,000 |
Carrying Value | $ 197,000,000 | $ 197,000,000 |
Senior Notes [Member] | AGUS [Member] | Senior Notes 5.0% [Member] | ||
Debt Instrument [Line Items] | ||
Interest rate of debt (as a percent) | 5.00% | 5.00% |
Principal | $ 500,000,000 | $ 500,000,000 |
Carrying Value | 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% | 6.875% |
Principal | $ 100,000,000 | $ 100,000,000 |
Carrying Value | $ 70,000,000 | $ 70,000,000 |
Notes Payable, Other Payables [Member] | AGMH [Member] | 6.25% Notes [Member] | ||
Debt Instrument [Line Items] | ||
Interest rate of debt (as a percent) | 6.25% | 6.25% |
Principal | $ 230,000,000 | $ 230,000,000 |
Carrying Value | $ 142,000,000 | $ 142,000,000 |
Notes Payable, Other Payables [Member] | AGMH [Member] | Notes Payable 5.60% [Member] | ||
Debt Instrument [Line Items] | ||
Interest rate of debt (as a percent) | 5.60% | 5.60% |
Principal | $ 100,000,000 | $ 100,000,000 |
Carrying Value | 57,000,000 | 57,000,000 |
Notes Payable, Other Payables [Member] | AGM [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 6,000,000 | 6,000,000 |
Carrying Value | 6,000,000 | 6,000,000 |
Junior Subordinated Debt [Member] | AGMH [Member] | ||
Debt Instrument [Line Items] | ||
Principal | 300,000,000 | 300,000,000 |
Carrying Value | $ 194,000,000 | $ 192,000,000 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Basic EPS: | ||
Net income (loss) attributable to AGL | $ 197 | $ 317 |
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 1 | 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 196 | $ 317 |
Basic shares | 115.2 | 125.3 |
Basic EPS (in dollars per share) | $ 1.71 | $ 2.53 |
Diluted EPS: | ||
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | $ 0 | $ 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ 196 | $ 317 |
Basic shares | 115.2 | 125.3 |
Effect of dilutive securities: | ||
Options and restricted stock awards (in shares) | 1.4 | 1.8 |
Diluted shares | 116.6 | 127.1 |
Diluted EPS (in dollars per share) | $ 1.68 | $ 2.49 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect (in shares) | 0.2 | 0.1 |
Shareholders' Equity - Changes
Shareholders' Equity - Changes in AOCI by Component (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | $ 6,839 | |
Amounts reclassified from AOCI to: | ||
Net realized investment gains (losses) | (5) | $ 32 |
Net investment income | 101 | 122 |
Interest expense | (24) | (24) |
Tax (provision) benefit | (20) | (55) |
Ending balance | 6,784 | |
Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
New accounting pronouncement or change in accounting principle, effect of change on net income | 1 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 273 | 171 |
Other comprehensive income (loss) before reclassifications | (122) | 44 |
Amounts reclassified from AOCI to: | ||
Total amount reclassified from AOCI, net of tax | (6) | (45) |
Net current period other comprehensive income (loss) | (128) | (1) |
Ending balance | 146 | 170 |
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) | (6) | (41) |
Net investment income | 0 | (28) |
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | |
Interest expense | 0 | 0 |
Total before tax | (6) | (69) |
Tax (provision) benefit | 0 | 24 |
Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
New accounting pronouncement or change in accounting principle, effect of change on net income | 0 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 120 | 10 |
Other comprehensive income (loss) before reclassifications | (11) | 50 |
Amounts reclassified from AOCI to: | ||
Total amount reclassified from AOCI, net of tax | 9 | 6 |
Net current period other comprehensive income (loss) | (2) | 56 |
Ending balance | 118 | 66 |
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) | 11 | 9 |
Net investment income | 0 | 0 |
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | |
Interest expense | 0 | 0 |
Total before tax | 11 | 9 |
Tax (provision) benefit | (2) | (3) |
Net Unrealized Gains (Losses) on FG VIE Liabilities with Recourse due to Instrument Specific Credit Risk | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
New accounting pronouncement or change in accounting principle, effect of change on net income | (33) | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 0 | |
Other comprehensive income (loss) before reclassifications | (4) | |
Amounts reclassified from AOCI to: | ||
Total amount reclassified from AOCI, net of tax | 2 | |
Net current period other comprehensive income (loss) | (2) | |
Ending balance | (35) | |
Net Unrealized Gains (Losses) on FG VIE Liabilities with Recourse due to Instrument Specific Credit Risk | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||
Amounts reclassified from AOCI to: | ||
Net realized investment gains (losses) | 0 | |
Net investment income | 0 | |
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 3 | |
Interest expense | 0 | |
Total before tax | 3 | |
Tax (provision) benefit | (1) | |
Cumulative Translation Adjustment [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
New accounting pronouncement or change in accounting principle, effect of change on net income | 0 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | (29) | (39) |
Other comprehensive income (loss) before reclassifications | 6 | 2 |
Amounts reclassified from AOCI to: | ||
Total amount reclassified from AOCI, net of tax | 0 | 0 |
Net current period other comprehensive income (loss) | 6 | 2 |
Ending balance | (23) | (37) |
Cumulative Translation Adjustment [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||
Amounts reclassified from AOCI to: | ||
Net realized investment gains (losses) | 0 | 0 |
Net investment income | 0 | 0 |
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | |
Interest expense | 0 | 0 |
Total before tax | 0 | 0 |
Tax (provision) benefit | 0 | 0 |
Cash Flow Hedge [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
New accounting pronouncement or change in accounting principle, effect of change on net income | 0 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 8 | 7 |
Other comprehensive income (loss) before reclassifications | 0 | 0 |
Amounts reclassified from AOCI to: | ||
Total amount reclassified from AOCI, net of tax | 0 | 0 |
Net current period other comprehensive income (loss) | 0 | 0 |
Ending balance | 8 | 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 |
Net investment income | 0 | 0 |
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | |
Interest expense | 0 | 0 |
Total before tax | 0 | 0 |
Tax (provision) benefit | 0 | 0 |
Total Accumulated Other Comprehensive Income [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
New accounting pronouncement or change in accounting principle, effect of change on net income | (32) | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 372 | 149 |
Other comprehensive income (loss) before reclassifications | (131) | 96 |
Amounts reclassified from AOCI to: | ||
Total amount reclassified from AOCI, net of tax | 5 | (39) |
Net current period other comprehensive income (loss) | (126) | 57 |
Ending balance | 214 | 206 |
Total Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||
Amounts reclassified from AOCI to: | ||
Net realized investment gains (losses) | 5 | (32) |
Net investment income | 0 | (28) |
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 3 | |
Interest expense | 0 | 0 |
Total before tax | 8 | (60) |
Tax (provision) benefit | $ (3) | $ 21 |
Shareholders' Equity - Shares R
Shareholders' Equity - Shares Repurchased (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 4 Months Ended | 12 Months Ended | 64 Months Ended | ||||||
May 04, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | May 04, 2018 | Dec. 31, 2017 | May 04, 2018 | Nov. 01, 2017 | Jan. 06, 2017 | |
Equity, Class of Treasury Stock [Line Items] | |||||||||||
Repurchases of common stock | $ 100,000,000 | $ 216,000,000 | |||||||||
Common Stock [Member] | |||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||
Shares repurchased (in shares) | 2,787,936 | 1,934,990 | 1,847,901 | 3,456,711 | 5,430,041 | 12,669,643 | |||||
Repurchases of common stock | $ 98,000,000 | $ 70,000,000 | $ 80,000,000 | $ 135,000,000 | $ 216,000,000 | $ 501,000,000 | |||||
Treasury Stock Acquired, Average Cost Per Share | $ 35.20 | $ 36.18 | $ 43.29 | $ 39.05 | $ 39.83 | $ 39.57 | |||||
Authorized repurchase amount | $ 300,000,000 | ||||||||||
Subsequent Event [Member] | Common Stock [Member] | |||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||
Shares repurchased (in shares) | 1,427,026 | 4,214,962 | 85,527,812 | ||||||||
Repurchases of common stock | $ 53,000,000 | $ 151,000,000 | $ 2,367,000,000 | ||||||||
Treasury Stock Acquired, Average Cost Per Share | $ 36.91 | $ 35.78 | $ 27.68 | ||||||||
Remaining capacity of shares repurchase program | $ 197,000,000 | $ 197,000,000 | $ 197,000,000 | ||||||||
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 | Mar. 31, 2018 | Dec. 31, 2017 |
Assets | ||
Total investment portfolio and cash | $ 11,265 | $ 11,539 |
Investment in subsidiaries | 0 | 0 |
Premiums receivable, net of commissions payable | 944 | 915 |
Ceded unearned premium reserve | 122 | 119 |
Deferred acquisition costs | 100 | 101 |
Intercompany receivable | 0 | 0 |
Financial guaranty variable interest entities’ assets, at fair value | 651 | 700 |
Dividend receivable from affiliate | 0 | |
Other | 937 | 1,059 |
Total assets | 14,019 | 14,433 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 3,395 | 3,475 |
Loss and loss adjustment expense reserve | 1,299 | 1,444 |
Long-term debt | 1,281 | 1,292 |
Intercompany payable | 0 | 0 |
Credit derivative liabilities | 237 | 271 |
Financial guaranty variable interest entities’ liabilities, at fair value | 708 | 757 |
Dividend payable to affiliate | 0 | |
Other | 315 | 355 |
Total liabilities | 7,235 | 7,594 |
Effect on shareholders' equity (decrease) increase | 6,784 | 6,839 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 6,784 | 6,839 |
Total liabilities and shareholders’ equity | 14,019 | 14,433 |
AGUS [Member] | ||
Liabilities and shareholders’ equity | ||
Long-term debt | 843 | 843 |
AGMH [Member] | ||
Liabilities and shareholders’ equity | ||
Long-term debt | 463 | 461 |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | ||
Assets | ||
Total investment portfolio and cash | 35 | 36 |
Investment in subsidiaries | 6,657 | 6,794 |
Premiums receivable, net of commissions payable | 0 | 0 |
Ceded unearned premium reserve | 0 | 0 |
Deferred acquisition costs | 0 | 0 |
Intercompany receivable | 0 | 0 |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 |
Dividend receivable from affiliate | 95 | |
Other | 21 | 26 |
Total assets | 6,808 | 6,856 |
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 |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 |
Dividend payable to affiliate | 0 | |
Other | 24 | 17 |
Total liabilities | 24 | 17 |
Effect on shareholders' equity (decrease) increase | 6,784 | 6,839 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 6,784 | 6,839 |
Total liabilities and shareholders’ equity | 6,808 | 6,856 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGUS [Member] | ||
Assets | ||
Total investment portfolio and cash | 528 | 319 |
Investment in subsidiaries | 5,902 | 6,126 |
Premiums receivable, net of commissions payable | 0 | 0 |
Ceded unearned premium reserve | 0 | 0 |
Deferred acquisition costs | 0 | 0 |
Intercompany receivable | 0 | 0 |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 |
Dividend receivable from affiliate | 0 | |
Other | 31 | 59 |
Total assets | 6,461 | 6,504 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 0 | 0 |
Loss and loss adjustment expense reserve | 0 | 0 |
Long-term debt | 843 | 843 |
Intercompany payable | 60 | 60 |
Credit derivative liabilities | 0 | 0 |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 |
Dividend payable to affiliate | 95 | |
Other | 27 | 59 |
Total liabilities | 1,025 | 962 |
Effect on shareholders' equity (decrease) increase | 5,436 | 5,542 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 5,436 | 5,542 |
Total liabilities and shareholders’ equity | 6,461 | 6,504 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGMH [Member] | ||
Assets | ||
Total investment portfolio and cash | 40 | 28 |
Investment in subsidiaries | 4,032 | 4,048 |
Premiums receivable, net of commissions payable | 0 | 0 |
Ceded unearned premium reserve | 0 | 0 |
Deferred acquisition costs | 0 | 0 |
Intercompany receivable | 0 | 0 |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 |
Dividend receivable from affiliate | 0 | |
Other | 46 | 40 |
Total assets | 4,118 | 4,116 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 0 | 0 |
Loss and loss adjustment expense reserve | 0 | 0 |
Long-term debt | 463 | 461 |
Intercompany payable | 0 | 0 |
Credit derivative liabilities | 0 | 0 |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 |
Dividend payable to affiliate | 0 | |
Other | 75 | 71 |
Total liabilities | 538 | 532 |
Effect on shareholders' equity (decrease) increase | 3,580 | 3,584 |
Noncontrolling interest | 0 | 0 |
Total shareholders' equity | 3,580 | 3,584 |
Total liabilities and shareholders’ equity | 4,118 | 4,116 |
Reportable Legal Entities [Member] | Other Entities [Member] | ||
Assets | ||
Total investment portfolio and cash | 11,010 | 11,484 |
Investment in subsidiaries | 220 | 216 |
Premiums receivable, net of commissions payable | 1,104 | 1,074 |
Ceded unearned premium reserve | 994 | 1,002 |
Deferred acquisition costs | 141 | 144 |
Intercompany receivable | 60 | 60 |
Financial guaranty variable interest entities’ assets, at fair value | 651 | 700 |
Dividend receivable from affiliate | 0 | |
Other | 1,507 | 1,736 |
Total assets | 15,687 | 16,416 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 4,324 | 4,423 |
Loss and loss adjustment expense reserve | 1,620 | 1,793 |
Long-term debt | 6 | 6 |
Intercompany payable | 300 | 300 |
Credit derivative liabilities | 269 | 308 |
Financial guaranty variable interest entities’ liabilities, at fair value | 708 | 757 |
Dividend payable to affiliate | 0 | |
Other | 628 | 740 |
Total liabilities | 7,855 | 8,327 |
Effect on shareholders' equity (decrease) increase | 7,612 | 7,873 |
Noncontrolling interest | 220 | 216 |
Total shareholders' equity | 7,832 | 8,089 |
Total liabilities and shareholders’ equity | 15,687 | 16,416 |
Consolidation, Eliminations [Member] | ||
Assets | ||
Total investment portfolio and cash | (348) | (328) |
Investment in subsidiaries | (16,811) | (17,184) |
Premiums receivable, net of commissions payable | (160) | (159) |
Ceded unearned premium reserve | (872) | (883) |
Deferred acquisition costs | (41) | (43) |
Intercompany receivable | (60) | (60) |
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 |
Dividend receivable from affiliate | (95) | |
Other | (668) | (802) |
Total assets | (19,055) | (19,459) |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | (929) | (948) |
Loss and loss adjustment expense reserve | (321) | (349) |
Long-term debt | (31) | (18) |
Intercompany payable | (360) | (360) |
Credit derivative liabilities | (32) | (37) |
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 |
Dividend payable to affiliate | (95) | |
Other | (439) | (532) |
Total liabilities | (2,207) | (2,244) |
Effect on shareholders' equity (decrease) increase | (16,628) | (16,999) |
Noncontrolling interest | (220) | (216) |
Total shareholders' equity | (16,848) | (17,215) |
Total liabilities and shareholders’ equity | $ (19,055) | $ (19,459) |
Subsidiary Information - Con117
Subsidiary Information - Condensed Consolidating Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Revenues | ||
Net earned premiums | $ 145 | $ 164 |
Net investment income | 101 | 122 |
Net realized investment gains (losses) | (5) | 32 |
Net change in fair value of credit derivatives: | ||
Realized gains (losses) and other settlements | 2 | 15 |
Net unrealized gains (losses) | 32 | 39 |
Net change in fair value of credit derivatives | 34 | 54 |
Bargain purchase gain and settlement of pre-existing relationships | 0 | 58 |
Other | 18 | 97 |
Total revenues | 293 | 527 |
Expenses | ||
Loss and LAE | (18) | 59 |
Amortization of deferred acquisition costs | 5 | 4 |
Interest expense | 24 | 24 |
Other operating expenses | 65 | 68 |
Total expenses | 76 | 155 |
Income (loss) before income taxes | 217 | 372 |
Total (provision) benefit for income taxes | (20) | (55) |
Equity in net earnings of subsidiaries | 0 | 0 |
Net income (loss) | 197 | 317 |
Less: noncontrolling interest | 0 | 0 |
Net income (loss) | 197 | 317 |
Comprehensive income (loss) | 71 | 374 |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | ||
Revenues | ||
Net earned premiums | 0 | 0 |
Net investment income | 0 | 0 |
Net realized investment gains (losses) | 0 | 0 |
Net change in fair value of credit derivatives: | ||
Realized gains (losses) and other settlements | 0 | 0 |
Net unrealized gains (losses) | 0 | 0 |
Net change in fair value of credit derivatives | 0 | 0 |
Bargain purchase gain and settlement of pre-existing relationships | 0 | |
Other | 3 | 3 |
Total revenues | 3 | 3 |
Expenses | ||
Loss and LAE | 0 | 0 |
Amortization of deferred acquisition costs | 0 | 0 |
Interest expense | 0 | 0 |
Other operating expenses | 10 | 10 |
Total expenses | 10 | 10 |
Income (loss) before income taxes | (7) | (7) |
Total (provision) benefit for income taxes | 0 | 0 |
Equity in net earnings of subsidiaries | 204 | 324 |
Net income (loss) | 197 | 317 |
Less: noncontrolling interest | 0 | 0 |
Net income (loss) | 197 | 317 |
Comprehensive income (loss) | 71 | 374 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGUS [Member] | ||
Revenues | ||
Net earned premiums | 0 | 0 |
Net investment income | 2 | 0 |
Net realized investment gains (losses) | 0 | 0 |
Net change in fair value of credit derivatives: | ||
Realized gains (losses) and other settlements | 0 | 0 |
Net unrealized gains (losses) | 0 | 0 |
Net change in fair value of credit derivatives | 0 | 0 |
Bargain purchase gain and settlement of pre-existing relationships | 0 | |
Other | 0 | 0 |
Total revenues | 2 | 0 |
Expenses | ||
Loss and LAE | 0 | 0 |
Amortization of deferred acquisition costs | 0 | 0 |
Interest expense | 12 | 12 |
Other operating expenses | 3 | 6 |
Total expenses | 15 | 18 |
Income (loss) before income taxes | (13) | (18) |
Total (provision) benefit for income taxes | 3 | 6 |
Equity in net earnings of subsidiaries | 161 | 199 |
Net income (loss) | 151 | 187 |
Less: noncontrolling interest | 0 | 0 |
Net income (loss) | 151 | 187 |
Comprehensive income (loss) | 67 | 244 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGMH [Member] | ||
Revenues | ||
Net earned premiums | 0 | 0 |
Net investment income | 0 | 0 |
Net realized investment gains (losses) | 0 | 0 |
Net change in fair value of credit derivatives: | ||
Realized gains (losses) and other settlements | 0 | 0 |
Net unrealized gains (losses) | 0 | 0 |
Net change in fair value of credit derivatives | 0 | 0 |
Bargain purchase gain and settlement of pre-existing relationships | 0 | |
Other | 0 | 0 |
Total revenues | 0 | 0 |
Expenses | ||
Loss and LAE | 0 | 0 |
Amortization of deferred acquisition costs | 0 | 0 |
Interest expense | 13 | 13 |
Other operating expenses | 0 | 1 |
Total expenses | 13 | 14 |
Income (loss) before income taxes | (13) | (14) |
Total (provision) benefit for income taxes | 3 | 5 |
Equity in net earnings of subsidiaries | 102 | 136 |
Net income (loss) | 92 | 127 |
Less: noncontrolling interest | 0 | 0 |
Net income (loss) | 92 | 127 |
Comprehensive income (loss) | 46 | 192 |
Reportable Legal Entities [Member] | Other Entities [Member] | ||
Revenues | ||
Net earned premiums | 149 | 167 |
Net investment income | 102 | 123 |
Net realized investment gains (losses) | (5) | 32 |
Net change in fair value of credit derivatives: | ||
Realized gains (losses) and other settlements | 2 | 15 |
Net unrealized gains (losses) | 32 | 39 |
Net change in fair value of credit derivatives | 34 | 54 |
Bargain purchase gain and settlement of pre-existing relationships | 58 | |
Other | 73 | 142 |
Total revenues | 353 | 576 |
Expenses | ||
Loss and LAE | (16) | 11 |
Amortization of deferred acquisition costs | 6 | 5 |
Interest expense | 3 | 2 |
Other operating expenses | 105 | 106 |
Total expenses | 98 | 124 |
Income (loss) before income taxes | 255 | 452 |
Total (provision) benefit for income taxes | (25) | (76) |
Equity in net earnings of subsidiaries | 7 | 8 |
Net income (loss) | 237 | 384 |
Less: noncontrolling interest | 7 | 8 |
Net income (loss) | 230 | 376 |
Comprehensive income (loss) | 111 | 437 |
Consolidation, Eliminations [Member] | ||
Revenues | ||
Net earned premiums | (4) | (3) |
Net investment income | (3) | (1) |
Net realized investment gains (losses) | 0 | 0 |
Net change in fair value of credit derivatives: | ||
Realized gains (losses) and other settlements | 0 | 0 |
Net unrealized gains (losses) | 0 | 0 |
Net change in fair value of credit derivatives | 0 | 0 |
Bargain purchase gain and settlement of pre-existing relationships | 0 | |
Other | (58) | (48) |
Total revenues | (65) | (52) |
Expenses | ||
Loss and LAE | (2) | 48 |
Amortization of deferred acquisition costs | (1) | (1) |
Interest expense | (4) | (3) |
Other operating expenses | (53) | (55) |
Total expenses | (60) | (11) |
Income (loss) before income taxes | (5) | (41) |
Total (provision) benefit for income taxes | (1) | 10 |
Equity in net earnings of subsidiaries | (474) | (667) |
Net income (loss) | (480) | (698) |
Less: noncontrolling interest | (7) | (8) |
Net income (loss) | (473) | (690) |
Comprehensive income (loss) | $ (224) | $ (873) |
Subsidiary Information - Con118
Subsidiary Information - Condensed Consolidating Statement of Cash Flows (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | |
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | $ 27 | $ 102 | ||
Fixed-maturity securities: | ||||
Purchases | (411) | (517) | ||
Sales | 409 | 323 | ||
Maturities | 225 | 265 | ||
Net sales (purchases) of short-term investments | (116) | 12 | ||
Net proceeds from financial guaranty variable entities’ assets | 33 | 46 | ||
Investment in subsidiary | 0 | 0 | ||
Proceeds from stock redemption and return of capital from subsidiaries | 0 | |||
Acquisition of CIFG, net of cash acquired | 95 | |||
Other | (14) | (13) | ||
Net cash flows provided by (used in) investing activities | 126 | 211 | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | 0 | |||
Return of capital | 0 | 0 | ||
Dividends paid | (18) | (19) | ||
Repurchases of common stock | (100) | (216) | ||
Repurchases of common stock to pay withholding taxes | (12) | (12) | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | (33) | (48) | ||
Repayment/ extinguishment of long-term debt | (19) | (1) | ||
Proceeds from option exercises | 1 | 2 | ||
Net cash flows provided by (used in) financing activities | (181) | (294) | ||
Effect of foreign exchange rate changes | 1 | 2 | ||
Increase (decrease) in cash | (27) | 21 | ||
Cash and Restricted Cash | 117 | 148 | $ 144 | $ 127 |
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 | 128 | 220 | ||
Fixed-maturity securities: | ||||
Purchases | 0 | 0 | ||
Sales | 0 | 0 | ||
Maturities | 0 | 0 | ||
Net sales (purchases) of short-term investments | 1 | 25 | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Proceeds from stock redemption and return of capital from subsidiaries | 0 | |||
Acquisition of CIFG, net of cash acquired | 0 | |||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | 1 | 25 | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | 0 | |||
Return of capital | 0 | 0 | ||
Dividends paid | (18) | (19) | ||
Repurchases of common stock | (100) | (216) | ||
Repurchases of common stock to pay withholding taxes | (12) | (12) | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Repayment/ extinguishment of long-term debt | 0 | 0 | ||
Proceeds from option exercises | 1 | 2 | ||
Net cash flows provided by (used in) financing activities | (129) | (245) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 0 | 0 | ||
Cash and Restricted Cash | 0 | 0 | 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 | 83 | 105 | ||
Fixed-maturity securities: | ||||
Purchases | (18) | 0 | ||
Sales | 11 | 0 | ||
Maturities | 0 | 3 | ||
Net sales (purchases) of short-term investments | (217) | 75 | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Investment in subsidiary | 0 | (3) | ||
Proceeds from stock redemption and return of capital from subsidiaries | 200 | |||
Acquisition of CIFG, net of cash acquired | 0 | |||
Other | (13) | 0 | ||
Net cash flows provided by (used in) investing activities | (37) | 75 | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | 0 | |||
Return of capital | 0 | 0 | ||
Dividends paid | (78) | (175) | ||
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 | (78) | (175) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | (32) | 5 | ||
Cash and Restricted Cash | 1 | 6 | 33 | 1 |
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 | 63 | 72 | ||
Fixed-maturity securities: | ||||
Purchases | (12) | (5) | ||
Sales | 2 | 2 | ||
Maturities | 0 | 0 | ||
Net sales (purchases) of short-term investments | (4) | 5 | ||
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Proceeds from stock redemption and return of capital from subsidiaries | 0 | |||
Acquisition of CIFG, net of cash acquired | 0 | |||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | (14) | 2 | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | 0 | |||
Return of capital | 0 | 0 | ||
Dividends paid | (50) | (73) | ||
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 | (50) | (73) | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | (1) | 1 | ||
Cash and Restricted Cash | 1 | 1 | 2 | 0 |
Reportable Legal Entities [Member] | Other Entities [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | 46 | 105 | ||
Fixed-maturity securities: | ||||
Purchases | (400) | (512) | ||
Sales | 396 | 321 | ||
Maturities | 225 | 262 | ||
Net sales (purchases) of short-term investments | 104 | (93) | ||
Net proceeds from financial guaranty variable entities’ assets | 33 | 46 | ||
Investment in subsidiary | 0 | 0 | ||
Proceeds from stock redemption and return of capital from subsidiaries | 0 | |||
Acquisition of CIFG, net of cash acquired | 95 | |||
Other | (1) | (13) | ||
Net cash flows provided by (used in) investing activities | 357 | 106 | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | 0 | |||
Return of capital | 0 | 3 | ||
Dividends paid | (165) | (152) | ||
Repurchases of common stock | 0 | 0 | ||
Repurchases of common stock to pay withholding taxes | (200) | 0 | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | (33) | (48) | ||
Repayment/ extinguishment of long-term debt | 0 | (1) | ||
Proceeds from option exercises | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | (398) | (198) | ||
Effect of foreign exchange rate changes | 1 | 2 | ||
Increase (decrease) in cash | 6 | 15 | ||
Cash and Restricted Cash | 115 | 141 | 109 | 126 |
Consolidation, Eliminations [Member] | ||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||
Net cash flows provided by (used in) operating activities | (293) | (400) | ||
Fixed-maturity securities: | ||||
Purchases | 19 | 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 | 0 | 3 | ||
Proceeds from stock redemption and return of capital from subsidiaries | (200) | |||
Acquisition of CIFG, net of cash acquired | 0 | |||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | (181) | 3 | ||
Cash flows from financing activities | ||||
Proceeds from Contributed Capital | 0 | |||
Return of capital | 0 | (3) | ||
Dividends paid | 293 | 400 | ||
Repurchases of common stock | 0 | 0 | ||
Repurchases of common stock to pay withholding taxes | 200 | 0 | ||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Repayment/ extinguishment of long-term debt | (19) | 0 | ||
Proceeds from option exercises | 0 | 0 | ||
Net cash flows provided by (used in) financing activities | 474 | 397 | ||
Effect of foreign exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 0 | 0 | ||
Cash and Restricted Cash | $ 0 | $ 0 | $ 0 | $ 0 |