Cover Page
Cover Page - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Feb. 22, 2022 | Jun. 30, 2021 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2021 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
Entity File Number | 001-32141 | ||
Entity Registrant Name | ASSURED GUARANTY LTD. | ||
Entity Incorporation, State or Country Code | D0 | ||
Entity Tax Identification Number | 98-0429991 | ||
Entity Address, Address Line One | 30 Woodbourne Avenue | ||
Entity Address, City or Town | Hamilton | ||
Entity Address, Postal Zip Code | HM 08 | ||
Entity Address, Country | BM | ||
City Area Code | 441 | ||
Local Phone Number | 279-5700 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 3,380,947,568 | ||
Entity Common Stock, Shares Outstanding | 66,055,680 | ||
Documents Incorporated by Reference | DOCUMENTS INCORPORATED BY REFERENCECertain portions of Registrant’s definitive proxy statement relating to its 2022 Annual General Meeting of Shareholders to be held on May 4, 2022, are incorporated by reference to Part III of this report. | ||
Entity Central Index Key | 0001273813 | ||
Amendment Flag | false | ||
Document Fiscal Year Focus | 2021 | ||
Document Fiscal Period Focus | FY | ||
New York Stock Exchange | Common Shares | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Common Shares | ||
Trading Symbol | AGO | ||
Security Exchange Name | NYSE | ||
New York Stock Exchange | Assured Guaranty US Holdings Inc. 5.000% Senior Notes due 2024 (and the related guarantee of Registrant) | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Assured Guaranty US Holdings Inc. 5.000% Senior Notes due 2024 (and the related guarantee of Registrant) | ||
Trading Symbol | AGO 24 | ||
Security Exchange Name | NYSE | ||
New York Stock Exchange | Assured Guaranty US Holdings Inc. 3.150% Senior Notes due 2031 (and the related guarantee of Registrant) | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Assured Guaranty US Holdings Inc. 3.150% Senior Notes due 2031 (and the related guarantee of Registrant) | ||
Trading Symbol | AGO/31 | ||
Security Exchange Name | NYSE | ||
New York Stock Exchange | Assured Guaranty US Holdings Inc. 3.600% Senior Notes due 2051 (and the related guarantee of Registrant) | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Assured Guaranty US Holdings Inc. 3.600% Senior Notes due 2051 (and the related guarantee of Registrant) | ||
Trading Symbol | AGO/51 | ||
Security Exchange Name | NYSE |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2021 | |
Auditor Information [Abstract] | |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Location | New York, New York |
Auditor Firm ID | 238 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Investments: | ||
Fixed-maturity securities, available-for-sale, at fair value, net of allowance for credit loss of $42 and $78 (amortized cost of $7,822 and $8,204) | $ 8,202 | $ 8,773 |
Short-term investments, at fair value | 1,225 | 851 |
Other invested assets (includes $31 and $106, at fair value) | 181 | 214 |
Total investments | 9,608 | 9,838 |
Cash | 120 | 162 |
Premiums receivable, net of commissions payable | 1,372 | 1,372 |
Deferred acquisition costs | 131 | 119 |
Salvage and subrogation recoverable | 801 | 991 |
Financial guaranty variable interest entities’ assets, at fair value | 260 | 296 |
Assets of consolidated investment vehicles (includes $4,902 and $1,727, at fair value) | 5,271 | 1,913 |
Goodwill and other intangible assets | 175 | 203 |
Other assets (includes $132 and $145, at fair value) | 470 | 440 |
Total assets | 18,208 | 15,334 |
Liabilities | ||
Unearned premium reserve | 3,716 | 3,735 |
Loss and loss adjustment expense reserve | 869 | 1,088 |
Long-term debt | 1,673 | 1,224 |
Credit derivative liabilities, at fair value | 156 | 103 |
Financial guaranty variable interest entities’ liabilities, at fair value (with recourse $269 and $316, without recourse $20 and $17) | 289 | 333 |
Liabilities of consolidated investment vehicles (includes $3,849 and $1,299, at fair value) | 4,436 | 1,590 |
Other liabilities | 569 | 556 |
Total liabilities | 11,708 | 8,629 |
Commitments and contingencies (Note 19) | ||
Redeemable noncontrolling interests (Note 9) | 22 | 21 |
Common shares ($0.01 par value, 500,000,000 shares authorized; 67,518,424 and 77,546,896 shares issued and outstanding) | 1 | 1 |
Retained earnings | 5,990 | 6,143 |
Accumulated other comprehensive income, net of tax of $60 and $89 | 300 | 498 |
Deferred equity compensation | 1 | 1 |
Total shareholders’ equity attributable to Assured Guaranty Ltd. | 6,292 | 6,643 |
Nonredeemable noncontrolling interests (Note 9) | 186 | 41 |
Total shareholders’ equity | 6,478 | 6,684 |
Total liabilities, redeemable noncontrolling interests and shareholders’ equity | $ 18,208 | $ 15,334 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Allowance for credit loss | $ 42 | $ 78 |
Other invested assets, fair value disclosure | 31 | 106 |
Assets of consolidated investment vehicles, fair value disclosure | 4,902 | 1,727 |
Other assets, fair value disclosure | 132 | 145 |
Financial guaranty variable interest entities' liabilities, with recourse | 269 | 316 |
Financial guaranty variable interest entities' liabilities, without recourse | 20 | 17 |
Liabilities of consolidated investment vehicles, fair value disclosure | $ 3,849 | $ 1,299 |
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) | 67,518,424 | 77,546,896 |
Common stock, shares outstanding (in shares) | 67,518,424 | 77,546,896 |
Accumulated other comprehensive income, tax provision | $ 60 | $ 89 |
Fixed-maturity securities | ||
Allowance for credit loss | 42 | 78 |
Amortized cost | $ 7,822 | $ 8,204 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Revenues | |||
Net earned premiums | $ 414 | $ 485 | $ 476 |
Net investment income | 269 | 297 | 378 |
Asset management fees | 88 | 89 | 22 |
Net realized investment gains (losses) | 15 | 18 | 22 |
Fair value gains (losses) on credit derivatives | (58) | 81 | (6) |
Fair value gains (losses) on committed capital securities | (28) | (1) | (22) |
Fair value gains (losses) on financial guaranty variable interest entities | 23 | (10) | 42 |
Fair value gains (losses) on consolidated investment vehicles | 127 | 41 | (3) |
Foreign exchange gains (losses) on remeasurement | (23) | 39 | 24 |
Commutation gains (losses) | 0 | 38 | 1 |
Other income (loss) | 21 | 38 | 29 |
Total revenues | 848 | 1,115 | 963 |
Expenses | |||
Loss and loss adjustment expenses (benefit) | (220) | 203 | 93 |
Interest expense | 87 | 85 | 89 |
Loss on extinguishment of debt | 175 | 0 | 0 |
Amortization of deferred acquisition costs | 14 | 16 | 18 |
Employee compensation and benefit expenses | 230 | 228 | 178 |
Other operating expenses | 179 | 197 | 125 |
Total expenses | 465 | 729 | 503 |
Income (loss) before income taxes and equity in earnings of investees | 383 | 386 | 460 |
Equity in earnings of investees | 94 | 27 | 4 |
Income (loss) before income taxes | 477 | 413 | 464 |
Provision (benefit) for income taxes | |||
Current | 96 | (13) | (2) |
Deferred | (38) | 58 | 65 |
Total provision (benefit) for income taxes | 58 | 45 | 63 |
Net income (loss) | 419 | 368 | 401 |
Less: Noncontrolling interests | 30 | 6 | (1) |
Net income (loss) attributable to Assured Guaranty Ltd. | $ 389 | $ 362 | $ 402 |
Earnings per share: | |||
Basic (in dollars per share) | $ 5.29 | $ 4.22 | $ 4.04 |
Diluted (in dollars per share) | $ 5.23 | $ 4.19 | $ 4 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Statement of Comprehensive Income [Abstract] | |||
Net income (loss) | $ 419 | $ 368 | $ 401 |
Change in net unrealized gains (losses) on: | |||
Investments with no credit impairment, net of tax provision (benefit) of $(31), $20 and $46 | (202) | 163 | 293 |
Investments with credit impairment, net of tax provision (benefit) of $2, $(4) and $(14) | 6 | (16) | (46) |
Change in net unrealized gains (losses) on investments | (196) | 147 | 247 |
Change in instrument-specific credit risk on financial guaranty variable interest entities’ liabilities with recourse, net of tax | (1) | 7 | 4 |
Other, net of tax | (1) | 2 | (2) |
Other comprehensive income (loss) | (198) | 156 | 249 |
Comprehensive income (loss) | 221 | 524 | 650 |
Less: Comprehensive income (loss) attributable to noncontrolling interests | 30 | 6 | (1) |
Comprehensive income (loss) attributable to Assured Guaranty Ltd. | $ 191 | $ 518 | $ 651 |
Consolidated Statements of Co_2
Consolidated Statements of Comprehensive Income (Loss) (Parenthetical) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Statement of Comprehensive Income [Abstract] | |||
Investments with no credit impairment, tax | $ (31) | $ 20 | $ 46 |
Investments with credit impairment, tax | $ 2 | $ (4) | $ (14) |
Consolidated Statement of Share
Consolidated Statement of Shareholders' Equity - USD ($) $ in Millions | Total | Common Shares | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income | Deferred Equity Compensation | Total | Nonredeemable Noncontrolling Interests |
Beginning balance (in shares) at Dec. 31, 2018 | 103,672,592 | |||||||
Beginning balance at Dec. 31, 2018 | $ 6,555 | $ 1 | $ 86 | $ 6,374 | $ 93 | $ 1 | $ 6,555 | $ 0 |
Increase (Decrease) in Shareholders' Equity | ||||||||
Net income | 402 | 402 | 402 | |||||
Dividends | (74) | (74) | (74) | |||||
Common share repurchases (in shares) | (11,163,929) | |||||||
Common shares repurchases | (500) | (93) | (407) | (500) | ||||
Share-based compensation and other (in shares) | 766,324 | |||||||
Share-based compensation | 7 | 7 | 7 | |||||
Contributions | 6 | 6 | ||||||
Other comprehensive (loss) | 249 | 249 | 249 | |||||
Ending balance (in shares) at Dec. 31, 2019 | 93,274,987 | |||||||
Ending balance at Dec. 31, 2019 | 6,645 | $ 1 | 0 | 6,295 | 342 | 1 | 6,639 | 6 |
Increase (Decrease) in Shareholders' Equity | ||||||||
Net income | 369 | 362 | 362 | 7 | ||||
Dividends | (69) | (69) | (69) | |||||
Common share repurchases (in shares) | (15,787,804) | |||||||
Common shares repurchases | (446) | (446) | (446) | |||||
Share-based compensation and other (in shares) | 445,490 | |||||||
Share-based compensation | 16 | 16 | 16 | |||||
Reallocation of ownership interest | 10 | 10 | ||||||
Contributions | 63 | 63 | ||||||
Distributions | (45) | (45) | ||||||
Other comprehensive (loss) | 156 | 156 | 156 | |||||
Other (in shares) | (385,777) | |||||||
Other | (15) | (15) | (15) | |||||
Ending balance (in shares) at Dec. 31, 2020 | 77,546,896 | |||||||
Ending balance at Dec. 31, 2020 | 6,684 | $ 1 | 0 | 6,143 | 498 | 1 | 6,643 | 41 |
Increase (Decrease) in Shareholders' Equity | ||||||||
Net income | 418 | 389 | 389 | 29 | ||||
Dividends | (65) | (65) | (65) | |||||
Common share repurchases (in shares) | (10,519,040) | |||||||
Common shares repurchases | (496) | (496) | (496) | |||||
Share-based compensation and other (in shares) | 490,568 | |||||||
Share-based compensation | 19 | 19 | 19 | |||||
Consolidation | 89 | 89 | ||||||
Contributions | 40 | 40 | ||||||
Distributions | (13) | (13) | ||||||
Other comprehensive (loss) | (198) | (198) | (198) | |||||
Ending balance (in shares) at Dec. 31, 2021 | 67,518,424 | |||||||
Ending balance at Dec. 31, 2021 | $ 6,478 | $ 1 | $ 0 | $ 5,990 | $ 300 | $ 1 | $ 6,292 | $ 186 |
Consolidated Statement of Sha_2
Consolidated Statement of Shareholders' Equity (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Statement of Stockholders' Equity [Abstract] | |||
Dividends (in dollars per share) | $ 0.88 | $ 0.80 | $ 0.72 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Cash flows from operating activities: | |||
Net income (loss) | $ 419 | $ 368 | $ 401 |
Adjustments to reconcile net income to net cash flows provided by operating activities: | |||
Non-cash interest and operating expenses | 69 | 54 | 34 |
Net amortization of premium (discount) on investments | 0 | (9) | (35) |
Provision (benefit) for deferred income taxes | (38) | 58 | 65 |
Net realized investment losses (gains) | (15) | (18) | (22) |
Equity in earnings of investees | (94) | (27) | (4) |
Loss on extinguishment of debt | 175 | 0 | 0 |
Change in premiums receivable, net of premiums and commissions payable | 0 | (102) | (388) |
Change in unearned premium reserve, net | (17) | 19 | 244 |
Change in loss and loss adjustment expense reserve, net | (99) | (174) | (528) |
Change in current income taxes | 64 | 9 | 1 |
Change in credit derivative assets and liabilities, net | 54 | (85) | (22) |
Other | 20 | 8 | (3) |
Cash flows from consolidated investment vehicles: | |||
Purchases of securities | (4,957) | (2,053) | (267) |
Sales of securities | 2,161 | 1,156 | 13 |
Maturities and paydowns of securities | 430 | 71 | 5 |
Proceeds from (purchases of) money market funds | (6) | (108) | 0 |
Purchases to cover securities sold short | (621) | (460) | 0 |
Proceeds from securities sold short | 618 | 509 | 0 |
Other changes in consolidated investment vehicles | (100) | (69) | (3) |
Net cash flows provided by (used in) operating activities | (1,937) | (853) | (509) |
Fixed-maturity securities: | |||
Purchases | (1,236) | (1,380) | (873) |
Sales | 428 | 779 | 1,805 |
Maturities and paydowns | 1,148 | 878 | 781 |
Short-term investments with original maturities of over three months: | |||
Purchases | 0 | (85) | (229) |
Sales | 0 | 5 | 2 |
Maturities and paydowns | 36 | 73 | 316 |
Net sales (purchases) of short-term investments with original maturities of less than three months | (410) | 430 | (623) |
Acquisitions, net of cash acquired (see Note 2) | 0 | 0 | (145) |
Sales and return of capital of other invested assets | 80 | 23 | 36 |
Purchases of other invested assets | (79) | (19) | (88) |
Paydowns on financial guaranty variable interest entities’ assets | 62 | 83 | 139 |
Sales of financial guaranty variable interest entities’ assets | 0 | 0 | 51 |
Other | (6) | 1 | (3) |
Net cash flows provided by (used in) investing activities | 23 | 788 | 1,169 |
Cash flows from financing activities: | |||
Dividends paid | (66) | (69) | (74) |
Repurchases of common shares | (496) | (446) | (500) |
Net paydowns of financial guaranty variable interest entities’ liabilities | (53) | (77) | (181) |
Issuance of long-term debt, net of issuance costs | 889 | 0 | 0 |
Redemptions and purchases of debt, including make-whole payment | (620) | (22) | (4) |
Other | 26 | (10) | (15) |
Cash flows from consolidated investment vehicles: | |||
Proceeds from issuance of collateralized loan obligations | 3,276 | 738 | 482 |
Repayment of collateralized loan obligations | (824) | 0 | 0 |
Proceeds from issuance of warehouse financing debt | 1,338 | 234 | 0 |
Repayment of warehouse financing debt | (1,537) | (210) | (306) |
Contributions from noncontrolling interests to consolidated investment vehicles | 39 | 88 | 18 |
Distributions to noncontrolling interests from consolidated investment vehicles | (12) | (43) | (4) |
Net cash flows provided by (used in) financing activities | 1,960 | 183 | (584) |
Effect of foreign exchange rate changes | (2) | (3) | 3 |
Increase (decrease) in cash and cash equivalents and restricted cash | 44 | 115 | 79 |
Cash and cash equivalents and restricted cash at beginning of period | 298 | 183 | 104 |
Cash and cash equivalents and restricted cash at end of period | 342 | 298 | 183 |
Supplemental cash flow information | |||
Income taxes paid (received) | 24 | (25) | 4 |
Interest paid on long-term debt | 80 | 81 | 84 |
Supplemental disclosure of non-cash investing activities: | |||
Purchases of fixed-maturity securities | 0 | (1) | (188) |
Sales of fixed-maturity securities | 0 | 1 | 44 |
Sales and return of capital of other invested assets | 6 | 1 | 0 |
Purchases of other invested assets | (6) | 0 | 0 |
Reconciliation of cash and cash equivalents and restricted cash to the consolidated balance sheets: | |||
Cash | 120 | 162 | 169 |
Restricted cash (included in other assets) | 2 | 2 | 0 |
Cash and cash equivalents of consolidated investment vehicles (see Note 9) | 220 | 134 | 14 |
Cash and cash equivalents and restricted cash at the end of period | $ 342 | $ 298 | $ 183 |
Business and Basis of Presentat
Business and Basis of Presentation | 12 Months Ended |
Dec. 31, 2021 | |
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, as well as asset management services. Through its insurance subsidiaries, 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 (collectively, 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 Western Europe, Canada and Australia. The Company also provides specialty insurance and reinsurance on transactions with risk profiles similar to those of its structured finance exposures written in financial guaranty form. Through Assured Investment Management LLC (AssuredIM LLC) and its investment management affiliates (together with AssuredIM LLC, AssuredIM), the Company significantly increased its participation in the asset management business with the completion on October 1, 2019, of its acquisition of all of the outstanding equity interests in BlueMountain Capital Management, LLC (BlueMountain, now known as Assured Investment Management LLC) and its associated entities (the BlueMountain Acquisition). AssuredIM is a diversified asset manager that serves as investment advisor to collateralized loan obligations (CLOs), opportunity and liquid strategy funds, as well as certain legacy hedge and opportunity funds now subject to an orderly wind-down. AssuredIM has managed structured and public finance, credit and special situation investments since 2003. AssuredIM provides investment advisory services while leveraging a technology-enabled risk platform, which aims to maximize returns for its clients. Basis of Presentation The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). In management’s opinion, all material adjustments necessary for a fair statement of the financial condition, results of operations and cash flows of the Company, including its consolidated variable interest entities (VIEs), are reflected in the periods presented and are of a normal, recurring nature. 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. Certain prior year balances have been reclassified to conform to the current year’s presentation. The consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, and its consolidated financial guaranty VIEs (FG VIEs) and consolidated investment vehicles (CIVs). See Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. The Company’s principal insurance subsidiaries are: • Assured Guaranty Municipal Corp. (AGM), domiciled in New York; • Assured Guaranty Corp. (AGC), domiciled in Maryland; • Assured Guaranty UK Limited (AGUK), organized in the U.K.; • Assured Guaranty (Europe) SA (AGE), organized in France; • Assured Guaranty Re Ltd. (AG Re), domiciled in Bermuda; and • Assured Guaranty Re Overseas Ltd. (AGRO), domiciled in Bermuda. The Company’s principal asset management subsidiaries are: • Assured Investment Management LLC; • Assured Investment Management (London) LLP; and • Assured Healthcare Partners LLC. Until April 1, 2021, Municipal Assurance Corp. (MAC) was also a principal insurance subsidiary domiciled in New York. On April 1, 2021, MAC was merged with and into AGM, with AGM as the surviving company. AGM, AGC and, until its merger with AGM on April 1, 2021, MAC, (collectively, the U.S. Insurance Subsidiaries), jointly own an investment subsidiary, AG Asset Strategies LLC (AGAS), which invests in funds managed by AssuredIM (AssuredIM Funds). AGL directly or indirectly owns several holding companies, two of which - Assured Guaranty US Holdings Inc. (AGUS) and Assured Guaranty Municipal Holdings Inc. (AGMH) (collectively, the U.S. Holding Companies) - have public debt outstanding. Significant Accounting Policies The Company revalues assets, liabilities, revenue and expenses denominated in non-U.S. currencies into U.S. dollars using applicable exchange rates. Gains and losses relating to transactions in foreign denominations in those subsidiaries where the functional currency is the U.S. dollar are reported in the consolidated statements of operations. Gains and losses relating to translating foreign functional currency financial statements to U.S. dollars are reported in the consolidated statements of other comprehensive income (loss) (OCI). Other accounting policies are included in the following notes to the consolidated financial statements. Note Name Note Number Business combinations Note 2 Segment information Note 3 Expected loss to be paid (recovered) Note 5 Contracts accounted for as insurance Note 6 Contracts accounted for as credit derivatives Note 7 Investments and cash Note 8 Financial guaranty variable interest entities and consolidated investment vehicles Note 9 Fair value measurement Note 10 Asset management fees and compensation Note 11 Goodwill and other intangible assets Note 12 Long-term debt and credit facilities Note 13 Employee benefit plans Note 14 Income taxes Note 15 Leases Note 18 Commitments and contingencies Note 19 Shareholders' equity Note 20 Earnings per share Note 22 Recent Accounting Standards Adopted Simplification of the Accounting for Income Taxes In December 2019, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2019-12, Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes. The amendments in this ASU simplify the accounting for income taxes by removing certain exceptions and clarifying certain requirements regarding franchise taxes, goodwill, consolidated tax expenses and annual effective tax rate calculations. The ASU was effective for interim and annual periods beginning after December 15, 2020. This ASU did not have an impact on the Company’s consolidated financial statements. Reference Rate Reform In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting . This ASU provides optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this ASU only apply to contracts that reference the London Interbank Offered Rate (LIBOR) or another reference rate that is expected to be discontinued due to reference rate reform. This ASU became effective upon issuance and may be applied prospectively for contract modifications that occur from March 12, 2020 through December 31, 2022 (the Reference Rate Transition Period). In January 2021, the FASB issued ASU 2021-01, Reference Rate Reform (Topic 848): Scope , which clarifies the scope of relief related to ASU 2020-04. This ASU became effective upon issuance and may be applied on a full retrospective basis as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively for contract modifications made on or before December 31, 2022. The Company adopted the optional relief afforded by these ASUs in the third quarter of 2021 on a prospective basis, and the guidance will be followed until the optional relief terminates on December 31, 2022. The Company has identified insurance contracts, derivatives and other financial instruments that are directly or indirectly influenced by LIBOR, and will be applying the accounting relief as relevant contract modifications are made during the Reference Rate Transition Period. There was no impact to the Company’s consolidated financial statements upon the initial adoption of these ASUs. Recent Accounting Standards Not Yet Adopted Targeted Improvements to the Accounting for Long-Duration Contracts In August 2018, the FASB issued ASU 2018-12, Financial Services - Insurance (Topic 944): Targeted Improvements to the Accounting for Long-Duration Contracts . The amendments in this ASU: • improve the timeliness of recognizing changes in the liability for future policy benefits and modify the rate used to discount future cash flows, • simplify and improve the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, • simplify the amortization of deferred acquisition costs (DAC), and • improve the effectiveness of the required disclosures. This ASU does not affect the Company’s financial guaranty insurance contracts, but may affect its accounting for certain specialty (non-financial guaranty) insurance contracts. In November 2020, the FASB deferred the effective date of this ASU to January 1, 2023 with early adoption permitted. If early adoption is elected, there is transition relief allowing for the transition date to be either the beginning of the prior period presented or the beginning of the earliest period presented. If early adoption is not elected, the transition date is required to be the beginning of the earliest period presented. The Company is evaluating when it will adopt this ASU and does not expect this ASU to have a material effect on its consolidated financial statements. |
Business Combinations
Business Combinations | 12 Months Ended |
Dec. 31, 2021 | |
Business Combination and Asset Acquisition [Abstract] | |
Business Combinations | Business Combinations Accounting Policy Business combinations are accounted for under the acquisition method of accounting which requires that the assets and liabilities of the acquired entities be recorded at fair value. The excess of the purchase price over the fair value of the net assets of the acquired subsidiaries is recorded as goodwill. BlueMountain (Assured Investment Management LLC) Consistent with one of its key strategic initiatives to acquire an asset management business, AGUS completed the BlueMountain Acquisition on October 1, 2019 (the BlueMountain Acquisition Date), for a purchase price of $157 million. In addition, AGUS made initial cash capital contributions to BlueMountain of $60 million at closing and $30 million in February 2020. To fund the BlueMountain Acquisition and the related initial capital contributions, the U.S. Insurance Subsidiaries made 10 year, 3.5% interest rate intercompany loans to AGUS totaling $250 million. BlueMountain was an asset manager that became the basis for the establishment of AssuredIM. The Company exercised significant judgment to determine the fair value of the assets it acquired and liabilities it assumed in the BlueMountain Acquisition. The most significant of these determinations related to the valuation of investment management contracts. AssuredIM’s finite-lived intangible assets consist mainly of investment management and CLO contracts and its CLO distribution network. The fair value of the contracts and CLO distribution network were determined using the multi-period excess earnings method and the replacement cost method, respectively. The following table shows the purchase price, net assets acquired and goodwill recorded from the BlueMountain Acquisition on the BlueMountain Acquisition Date. Net Effect of (in millions) Cash purchase price $ 157 Identifiable assets acquired: Investment portfolio 3 Cash 12 Intangible assets (1) 79 Other assets 59 Total assets 153 Liabilities assumed: Compensation payable (2) 61 Other liabilities 52 Total liabilities 113 Net identifiable assets acquired 40 Goodwill recognized from BlueMountain Acquisition (1) $ 117 _____________________ (1) Presented in “goodwill and other intangible assets” on the consolidated balance sheets. (2) Presented in “other liabilities” on the consolidated balance sheets. From the BlueMountain Acquisition Date through December 31, 2019, there were revenues of $32 million and a net loss of $10 million related to AssuredIM included in the consolidated statement of operations. For 2019, the Company recognized transaction expenses for the BlueMountain Acquisition of $9 million, primarily related to legal and financial advisor fees. The following table presents the components of identified intangible assets on the BlueMountain Acquisition Date: Finite-Lived Intangible Assets Acquired Fair Value Estimated Weighted Average Useful Life (in millions) CLO contracts $ 42 9.0 years Investment management contracts 24 4.8 years CLO distribution network 9 5.0 years Trade name 3 10.0 years Favorable sublease 1 4.4 years Total finite-lived intangible assets, net $ 79 Unaudited Pro Forma Results of Operations The following unaudited pro forma information presents the combined results of operations of Assured Guaranty and BlueMountain as if the acquisition had been completed on January 1, 2018, as required under GAAP. The pro forma accounts include the estimated historical results of both companies, all net of tax at the applicable statutory rate. The unaudited pro forma combined financial information is presented for illustrative purposes only and does not indicate the financial results had the companies actually been combined as of January 1, 2018, nor is it indicative of the results of operations in future periods. Unaudited Pro Forma Results of Operations (1) Year Ended December 31, 2019 (dollars in millions except share data) Pro forma revenues $ 1,079 Pro forma net income 358 Pro forma earnings per share (EPS): Basic 3.60 Diluted 3.57 _____________________ |
Segment Information
Segment Information | 12 Months Ended |
Dec. 31, 2021 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information The Company reports its results of operations in two segments: Insurance and Asset Management, separate from its Corporate division and the effects of consolidating FG VIEs and CIVs, which is consistent with the manner in which the Company’s chief operating decision maker (CODM) reviews the business to assess performance and allocate resources. The Insurance segment primarily consists of: (i) the Company’s insurance subsidiaries; and (ii) AGAS. The Asset Management segment consists of AssuredIM, which provides asset management services to third-party investors as well as to the U.S. Insurance Subsidiaries and AGAS. The Corporate division primarily consists of interest expense on the debt of the U.S. Holding Companies and any losses on extinguishment or repurchases of their debt, as well as other operating expenses attributed to the corporate activities of AGL and the U.S. Holding Companies. The Other category primarily includes the effect of consolidating FG VIEs and CIVs, intersegment eliminations and the reclassification of reimbursable fund expenses. See Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. The segments differ from the consolidated financial statements in certain respects. The Insurance segment includes: (i) premiums and losses from the financial guaranty insurance policies issued by the U.S. Insurance Subsidiaries which guarantee the FG VIEs’ debt; and (ii) AGAS’s share of earnings from investments in AssuredIM Funds in “equity in earnings of investees.” Under GAAP, (i) FG VIEs are consolidated by the U.S. Insurance Subsidiaries and the premiums and losses associated with their financial guaranty policies associated with the FG VIEs’ debt is eliminated, whereas the reconciliation tables below present the FG VIEs and related eliminations in “Other”, and (ii) CIVs are consolidated by AGUS, a U.S. holding company, whereas in the reconciliation tables below, the CIVs and related eliminations of the Insurance segment’s “equity in earnings of investees” associated with AGAS’s interest in CIVs are presented in “Other.” In addition, under GAAP, reimbursable fund expenses are shown as a component of asset management fees and included in total revenues, whereas in the Asset Management segment in the tables below, they are netted in segment expenses. The Company analyzes the operating performance of each segment using “segment adjusted operating income.” Results for each segment include specifically identifiable expenses as well as intersegment expense allocations, as applicable, based on time studies and other cost allocation methodologies based on headcount or other metrics. Segment adjusted operating income is defined as net income (loss) attributable to AGL, adjusted for the following items: • Elimination of realized gains (losses) on the Company’s investments, except for gains and losses on securities classified as trading. • Elimination of non-credit impairment-related unrealized fair value gains (losses) on credit derivatives that are recognized in net income, which is the amount of unrealized fair value gains (losses) in excess of the present value of the expected estimated economic credit losses, and non-economic payments. • Elimination of fair value gains (losses) on the Company’s committed capital securities (CCS) that are recognized in net income. • Elimination of foreign exchange gains (losses) on remeasurement of net premium receivables and loss and loss adjustment expense (LAE) reserves that are recognized in net income. • Elimination of the tax effects related to the above adjustments, which are determined by applying the statutory tax rate in each of the jurisdictions that generate these adjustments. The Company does not report assets by reportable segment as the CODM does not use assets to assess performance and allocate resources and only reviews assets at a consolidated level or at an individual subsidiary level as needed for regulatory purposes, generally on a statutory basis of accounting applicable to each individual subsidiary’s jurisdiction. The following table presents information for the Company’s operating segments. Segment Information Years Ended December 31, 2021 2020 2019 Insurance Asset Management Insurance Asset Management Insurance Asset Management (in millions) Third-party revenues $ 724 $ 73 $ 864 $ 61 $ 912 $ 22 Intersegment revenues 9 10 10 5 5 — Segment revenues 733 83 874 66 917 22 Segment expenses 33 108 446 128 324 34 Segment equity in earnings of investees 144 — 61 — 2 — Less: Segment provision (benefit) for income taxes 122 (6) 60 (12) 83 (2) Segment adjusted operating income (loss) $ 722 $ (19) $ 429 $ (50) $ 512 $ (10) Selected components of segment adjusted operating income: Net investment income $ 280 $ — $ 310 $ — $ 383 $ — Interest expense — 1 — — — — Non-cash compensation and operating expenses (1) 56 17 39 31 39 3 _____________________ (1) Consists of amortization of DAC and intangible assets, depreciation, share-based compensation (see Note 14, Employee Benefit Plans), write-off of long-lived intangible assets related to MAC licenses (see Note 12, Goodwill and Other Intangible Assets), and lease impairment (see Note 18, Leases). The tables below present a reconciliation of significant components of segment information to the comparable consolidated amounts. Reconciliation of Segment Information to Consolidated Information Year Ended December 31, 2021 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 733 $ 33 $ 144 $ 122 $ — $ 722 Asset Management 83 108 — (6) — (19) Total segments 816 141 144 116 — 703 Corporate division 2 312 — (47) — (263) Other 142 26 (50) 6 30 30 Subtotal 960 479 94 75 30 470 Reconciling items: Realized gains (losses) on investments 15 — — — — 15 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (78) (14) — — — (64) Fair value gains (losses) on CCS (28) — — — — (28) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (21) — — — — (21) Tax effect — — — (17) — 17 Total consolidated $ 848 $ 465 $ 94 $ 58 $ 30 $ 389 Reconciliation of Segment Information to Consolidated Information Year Ended December 31, 2020 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 874 $ 446 $ 61 $ 60 $ — $ 429 Asset Management 66 128 — (12) — (50) Total segments 940 574 61 48 — 379 Corporate division 9 132 (6) (18) — (111) Other 40 21 (28) (3) 6 (12) Subtotal 989 727 27 27 6 256 Reconciling items: Realized gains (losses) on investments 18 — — — — 18 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives 67 2 — — — 65 Fair value gains (losses) on CCS (1) — — — — (1) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves 42 — — — — 42 Tax effect — — — 18 — (18) Total consolidated $ 1,115 $ 729 $ 27 $ 45 $ 6 $ 362 Reconciliation of Segment Information to Consolidated Information Year Ended December 31, 2019 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 917 $ 324 $ 2 $ 83 $ — $ 512 Asset Management 22 34 — (2) — (10) Total segments 939 358 2 81 — 502 Corporate division 3 133 — (19) — (111) Other 22 25 2 — (1) — Subtotal 964 516 4 62 (1) 391 Reconciling items: Realized gains (losses) on investments 22 — — — — 22 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (23) (13) — — — (10) Fair value gains (losses) on CCS (22) — — — — (22) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves 22 — — — — 22 Tax effect — — — 1 — (1) Total consolidated $ 963 $ 503 $ 4 $ 63 $ (1) $ 402 Supplemental Information Year Ended December 31, 2021 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 418 $ 280 $ (221) $ 14 $ 240 Asset Management — — — — 107 Total segments 418 280 (221) 14 347 Corporate division — 2 — — 41 Other (4) (13) 15 — 21 Subtotal 414 269 (206) 14 409 Reconciling items: Credit derivative impairment (recoveries) (2) — — (14) — — Total consolidated $ 414 $ 269 $ (220) $ 14 $ 409 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $56 million for Insurance segment, $17 million for Asset Management segment, and $5 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. Supplemental Information Year Ended December 31, 2020 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 490 $ 310 $ 204 $ 16 $ 226 Asset Management — — — — 128 Total segments 490 310 204 16 354 Corporate division — 2 — — 37 Other (5) (15) (3) — 34 Subtotal 485 297 201 16 425 Reconciling items: Credit derivative impairment (recoveries) (2) — — 2 — — Total consolidated $ 485 $ 297 $ 203 $ 16 $ 425 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $39 million for Insurance segment, $31 million for Asset Management segment, and $6 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. Supplemental Information Year Ended December 31, 2019 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 494 $ 383 $ 86 $ 18 $ 220 Asset Management — — — — 34 Total segments 494 383 86 18 254 Corporate division — 4 — — 39 Other (18) (9) 20 — 10 Subtotal 476 378 106 18 303 Reconciling items: Credit derivative impairment (recoveries) (2) — — (13) — — Total consolidated $ 476 $ 378 $ 93 $ 18 $ 303 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $39 million for Insurance segment, $3 million for Asset Management segment, and $6 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. The table below summarizes revenues for the operating segments, Corporate division and Other category by country of domicile for each period indicated, based on the country of domicile of the Company’s subsidiaries that generated the revenues. Segment, Corporate Division and Other Revenues by Country of Domicile Year Ended December 31, Country of Domicile 2021 2020 2019 (in millions) U.S. $ 762 $ 788 $ 761 Bermuda 153 155 161 U.K. 42 38 41 Other 3 8 1 Total $ 960 $ 989 $ 964 |
Outstanding Exposure
Outstanding Exposure | 12 Months Ended |
Dec. 31, 2021 | |
Outstanding Exposure Disclosure | |
Outstanding Exposure | Outstanding Exposure The Company sells credit protection primarily in financial guaranty insurance form. Until 2009, the Company also sold credit protection by issuing policies that guaranteed payment obligations under credit derivatives, primarily credit default swaps (CDS). The Company’s 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 its financial guaranty insurance contracts. 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 has, however, acquired or reinsured portfolios since 2009 that include financial guaranty contracts in credit derivative form. The Company also writes specialty insurance and reinsurance that is consistent with its risk profile and benefits from its underwriting experience. The Company seeks to limit its exposure to losses by underwriting obligations that it views to be investment grade at inception, although on occasion it may underwrite new issuances that it views to be below-investment grade (BIG), typically as part of its loss mitigation strategy for existing troubled exposures. The Company also seeks to acquire portfolios of insurance from financial guarantors that are no longer writing new business by acquiring such companies, providing reinsurance on a portfolio of insurance or reassuming a portfolio of reinsurance it had previously ceded; in such instances, it evaluates the risk characteristics of the target portfolio, which may include some BIG exposures, as a whole in the context of the proposed transaction. The Company diversifies its insured portfolio across sector and geography and, in the structured finance portfolio, typically requires subordination or collateral to protect it from loss. Reinsurance may be used in order to reduce net exposure to certain insured transactions. Public finance obligations insured by the Company primarily consist 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 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, healthcare facilities and government office buildings. The Company also includes within public finance obligations 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, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Unless otherwise specified, the outstanding par and debt service amounts presented in this note include outstanding exposures on these VIEs whether or not they are consolidated. The Company also provides specialty insurance and reinsurance on transactions without special purpose entities but with risk profiles similar to those of its structured finance exposures written in financial guaranty form. Significant Risk Management Activities The Portfolio Risk Management Committee, which includes members of senior management and senior risk and surveillance officers, is responsible for enterprise risk management for the Insurance segment and focuses on measuring and managing insurance credit, market and liquidity risk for the Company. This committee establishes company-wide credit policy for the Company’s direct and assumed insurance business. It implements specific insurance underwriting procedures and limits for the Company and allocates underwriting capacity among the Company’s insurance subsidiaries. All insurance transactions in new asset classes or new jurisdictions must be approved by this committee. The U.S., AG Re and AGRO risk management committees and AGUK’s and AGE’s (the European Insurance Subsidiaries) surveillance committees conduct in-depth reviews of the insured portfolios of the relevant subsidiaries, focusing on varying portions of the portfolio at each meeting. They review and may revise internal ratings assigned to the insured transactions and review sector reports, monthly product line surveillance reports and compliance reports. All transactions in the insured portfolio are assigned internal credit ratings by the relevant underwriting committee at inception, which credit ratings are updated by the relevant risk management or surveillance committee based on changes in transaction credit quality. As part of the surveillance process, the Company monitors trends and changes in transaction credit quality, and recommends such remedial actions as may be necessary or appropriate. The Company also develops strategies to enforce its contractual rights and remedies and to mitigate its losses, engage in negotiation discussions with transaction participants and, when necessary, manage the Company’s litigation proceedings. 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 of 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 generally reflect 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 classifies those portions of risks benefiting from reimbursement obligations collateralized by eligible assets held in trust in acceptable reimbursement structures as being the higher of ‘AA’ or their current internal rating. Unless otherwise noted, ratings disclosed herein on the Company’s insured portfolio reflect its internal ratings. 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 credit 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, although the Company may also review a rating in response to developments impacting a credit when a ratings review is not scheduled. 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 (Recovered), 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 the tax-equivalent yield of the relevant subsidiary’s investment portfolio 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. For financial statement measurement purposes, the Company uses risk-free rates, which are determined each quarter, to calculate the expected loss. More extensive monitoring and intervention are employed for all BIG surveillance categories, with internal credit ratings reviewed quarterly. For purposes of determining the appropriate surveillance category, 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 in the future pay claims on that transaction that will not be fully 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. Impact of COVID-19 Pandemic The coronavirus disease known as COVID-19 was declared a pandemic by the World Health Organization in early 2020 and it (including its variants) continues to spread throughout the world. Several vaccines and therapeutics have been developed and approved by governments, and distribution of vaccines and therapeutics is proceeding unevenly across the globe. The emergence of COVID-19 and reactions to it, including various closures and capacity and travel restrictions, have had a profound effect on the global economy and financial markets. While the COVID-19 pandemic has been impacting the global economy and the Company for almost two years, its ultimate size, depth, course and duration, and the effectiveness, acceptance and distribution of vaccines and therapeutics for it, remain unknown, and the governmental and private responses to the pandemic continue to evolve. Consequently, and due to the nature of the Company’s business, all of the direct and indirect consequences of COVID-19 on the Company are not yet fully known to the Company, and still may not emerge for some time. For information about how the COVID-19 pandemic has impacted the Company’s loss projections, see Note 5, Expected Loss to be Paid (Recovered). From shortly after the pandemic reached the U.S. through early 2021, the Company’s surveillance department conducted supplemental periodic surveillance procedures to monitor the impact on its insured portfolio of COVID-19 and governmental and private responses to COVID-19, with emphasis on state and local governments and entities that were already experiencing significant budget deficits and pension funding and revenue shortfalls, as well as obligations supported by revenue streams most impacted by various closures and capacity and travel restrictions or an economic downturn. Given significant federal funding in 2021 and the performance it observed, the Company’s surveillance department has reduced these supplemental procedures, but is still monitoring those sectors it identified as most at risk for any developments related to COVID-19 that may impact the ability of issuers to make upcoming debt service payments. The Company’s internal ratings and loss projections reflect its supplemental COVID-19 surveillance activity. Through February 24, 2022, the Company has paid less than $12 million in insurance claims it believes are due at least in part to credit stress arising specifically from COVID-19. The Company has already received reimbursement for most of those claims. Financial Guaranty Exposure The Company measures its financial guaranty exposure in terms of: (i) gross and net par outstanding; and (ii) gross and net debt service. The Company typically guarantees the payment of debt service when due. Since most of these payments are due in the future, the Company generally uses gross and net par outstanding as a proxy for its financial guaranty exposure. Gross par outstanding generally represents the principal amount of the insured obligation at a point in time. Net par outstanding equals gross par outstanding net of any reinsurance. The Company includes in its par outstanding calculation the impact of any consumer price index inflator to the reporting date as well as, in the case of accreting (zero-coupon) obligations, accretion to the reporting date. Foreign denominated net par outstanding is translated at the spot rate at the end of the reporting period. The Company has, from time to time, purchased securities that it has insured, and for which it had 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, and instead includes such amounts in the investment portfolio, because the Company manages such securities as investments and not insurance exposure. As of December 31, 2021 and December 31, 2020, the Company excluded from net par outstanding $1.3 billion and $1.4 billion, respectively, attributable to loss mitigation securities. Gross debt service outstanding represents the sum of all estimated future debt service payments on the insured obligations, on an undiscounted basis. Net debt service outstanding equals gross debt service outstanding net of any reinsurance. Future debt service payments include the impact of any consumer price index inflator after the reporting date, as well as, in the case of accreting (zero-coupon) obligations, accretion after the reporting date. The Company calculates its debt service outstanding as follows: • for insured obligations that are not supported by homogeneous pools of assets (which category includes most of the Company’s public finance transactions), as the total estimated contractual future debt service due through maturity, regardless of whether the obligations may be called and regardless of whether, in the case of obligations where principal payments are due when an underlying asset makes a principal payment, the Company believes the obligations will be repaid prior to contractual maturity; and • for insured obligations that are supported by homogeneous pools of assets that are contractually permitted to prepay principal (which category includes, for example, residential mortgage-backed securities (RMBS)), as the total estimated expected future debt service due on insured obligations through their respective expected terms, which includes the Company’s expectations as to whether the obligations may be called and, in the case of obligations where principal payments are due when an underlying asset makes a principal payment, when the Company expects principal payments to be made prior to contractual maturity. The calculation of debt service requires the use of estimates, which the Company updates periodically, including estimates and assumptions for the expected remaining term of insured obligations supported by homogeneous pools of assets, updated interest rates for floating and variable rate insured obligations, behavior of consumer price indices for obligations with consumer price index inflators, foreign exchange rates and other assumptions based on the characteristics of each insured obligation. Debt service is a measure of the estimated maximum potential exposure to insured obligations before considering the Company’s various legal rights to the underlying collateral and other remedies available to it under its financial guaranty contract. Actual debt service may differ from estimated debt service due to refundings, terminations, negotiated restructurings, prepayments, changes in interest rates on variable rate insured obligations, consumer price index behavior differing from that projected, changes in foreign exchange rates on non-U.S. dollar denominated insured obligations and other factors. Financial Guaranty Portfolio Debt Service and Par Outstanding As of December 31, 2021 As of December 31, 2020 Gross Net Gross Net (in millions) Debt Service Public finance $ 357,694 $ 357,314 $ 356,078 $ 355,649 Structured finance 10,076 10,046 10,614 10,584 Total financial guaranty $ 367,770 $ 367,360 $ 366,692 $ 366,233 Par Outstanding Public finance $ 227,507 $ 227,164 $ 225,013 $ 224,625 Structured finance 9,258 9,228 9,558 9,528 Total financial guaranty $ 236,765 $ 236,392 $ 234,571 $ 234,153 In addition to amounts shown in the table above, the Company had outstanding commitments to provide guaranties of $476 million of public finance gross par and $884 million of structured finance gross par as of December 31, 2021. These 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 December 31, 2021 Public Finance Public Finance Structured Finance Structured Finance Total Rating Net Par % Net Par % Net Par % Net Par % Net Par % (dollars in millions) AAA $ 272 0.2 % $ 2,217 4.5 % $ 806 9.6 % $ 493 57.7 % $ 3,788 1.6 % AA 16,372 9.2 4,205 8.4 4,760 56.8 22 2.6 25,359 10.7 A 94,459 53.3 10,659 21.3 813 9.7 160 18.7 106,091 44.9 BBB 60,744 34.3 32,264 64.6 611 7.3 179 21.0 93,798 39.7 BIG 5,372 3.0 600 1.2 1,384 16.6 — — 7,356 3.1 Total net par outstanding $ 177,219 100.0 % $ 49,945 100.0 % $ 8,374 100.0 % $ 854 100.0 % $ 236,392 100.0 % Financial Guaranty Portfolio by Internal Rating As of December 31, 2020 Public Finance Public Finance Structured Finance Structured Finance Total Rating Net Par % Net Par % Net Par % Net Par % Net Par % (dollars in millions) AAA $ 340 0.2 % $ 2,617 4.9 % $ 1,146 12.8 % $ 152 26.4 % $ 4,255 1.8 % AA 16,742 9.7 4,690 8.8 4,324 48.3 35 6.0 25,791 11.0 A 90,914 53.0 11,646 22.0 1,006 11.3 137 23.8 103,703 44.3 BBB 58,162 33.9 33,180 62.6 835 9.3 252 43.8 92,429 39.5 BIG 5,439 3.2 895 1.7 1,641 18.3 — — 7,975 3.4 Total net par outstanding $ 171,597 100.0 % $ 53,028 100.0 % $ 8,952 100.0 % $ 576 100.0 % $ 234,153 100.0 % The following tables present net par outstanding by sector for the financial guaranty portfolio. Financial Guaranty Portfolio Net Par Outstanding by Sector As of December 31, Sector 2021 2020 (in millions) Public finance: U.S. public finance: General obligation $ 72,896 $ 72,268 Tax backed 35,726 34,800 Municipal utilities 25,556 25,275 Transportation 17,241 15,179 Healthcare 9,588 8,691 Higher education 6,927 6,127 Infrastructure finance 6,329 5,843 Housing revenue 1,000 1,149 Investor-owned utilities 611 644 Renewable energy 193 204 Other public finance 1,152 1,417 Total U.S. public finance 177,219 171,597 Non-U.S public finance: Regulated utilities 18,814 19,370 Infrastructure finance 16,475 17,819 Sovereign and sub-sovereign 10,886 11,682 Renewable energy 2,398 2,708 Pooled infrastructure 1,372 1,449 Total non-U.S. public finance 49,945 53,028 Total public finance 227,164 224,625 Structured finance: U.S. structured finance: Life insurance transactions 3,431 2,581 RMBS 2,391 2,990 Financial products 770 820 Consumer receivables 583 768 Pooled corporate obligations 534 1,193 Other structured finance 665 600 Total U.S. structured finance 8,374 8,952 Non-U.S. structured finance: Pooled corporate obligations 351 — RMBS 325 357 Other structured finance 178 219 Total non-U.S structured finance 854 576 Total structured finance 9,228 9,528 Total net par outstanding $ 236,392 $ 234,153 Actual maturities of insured obligations could differ from contractual maturities because borrowers have the right to call or prepay certain obligations. The expected maturities of structured finance obligations are, in general, considerably shorter than the contractual maturities for such obligations. Financial Guaranty Portfolio Expected Amortization of Net Par Outstanding As of December 31, 2021 Public Finance Structured Finance Total (in millions) 0 to 5 years $ 52,529 $ 3,001 $ 55,530 5 to 10 years 46,480 2,575 49,055 10 to 15 years 43,842 1,859 45,701 15 to 20 years 33,531 1,288 34,819 20 years and above 50,782 505 51,287 Total net par outstanding $ 227,164 $ 9,228 $ 236,392 Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 31, 2021 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 1,765 $ 116 $ 3,491 $ 5,372 $ 177,219 Non-U.S. public finance 556 — 44 600 49,945 Public finance 2,321 116 3,535 5,972 227,164 Structured finance: U.S. RMBS 121 24 1,120 1,265 2,391 Other structured finance 1 41 77 119 6,837 Structured finance 122 65 1,197 1,384 9,228 Total $ 2,443 $ 181 $ 4,732 $ 7,356 $ 236,392 Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 31, 2020 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 1,777 $ 57 $ 3,605 $ 5,439 $ 171,597 Non-U.S. public finance 846 — 49 895 53,028 Public finance 2,623 57 3,654 6,334 224,625 Structured finance: U.S. RMBS 200 26 1,254 1,480 2,990 Other structured finance 28 51 82 161 6,538 Structured finance 228 77 1,336 1,641 9,528 Total $ 2,851 $ 134 $ 4,990 $ 7,975 $ 234,153 Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 2021 Net Par Outstanding Number of Risks (2) Description Financial Guaranty Credit Total Financial Guaranty Credit Total (dollars in millions) BIG: Category 1 $ 2,429 $ 14 $ 2,443 117 2 119 Category 2 177 4 181 16 1 17 Category 3 4,687 45 4,732 129 8 137 Total BIG $ 7,293 $ 63 $ 7,356 262 11 273 Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 2020 Net Par Outstanding Number of Risks (2) Description Financial Credit Total Financial Credit Total (dollars in millions) BIG: Category 1 $ 2,781 $ 70 $ 2,851 125 6 131 Category 2 130 4 134 19 1 20 Category 3 4,944 46 4,990 126 7 133 Total BIG $ 7,855 $ 120 $ 7,975 270 14 284 _____________________ (1) Includes FG 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. The Company seeks to maintain a diversified portfolio of insured obligations designed to spread its risk across a number of geographic areas. Financial Guaranty Portfolio Geographic Distribution of Net Par Outstanding As of December 31, 2021 Number of Risks Net Par Outstanding Percent of Total Net Par Outstanding (dollars in millions) U.S.: U.S. Public finance: California 1,277 $ 35,322 14.9 % Texas 1,022 17,233 7.3 Pennsylvania 573 15,631 6.6 New York 625 15,155 6.4 Illinois 517 12,807 5.5 New Jersey 281 10,173 4.3 Florida 226 7,284 3.1 Michigan 260 5,261 2.2 Louisiana 137 5,203 2.2 Alabama 236 3,800 1.6 Other 1,951 49,350 20.9 Total U.S. public finance 7,105 177,219 75.0 U.S. Structured finance (multiple states) 387 8,374 3.5 Total U.S. 7,492 185,593 78.5 Non-U.S.: United Kingdom 285 38,044 16.1 France 7 2,718 1.1 Canada 7 2,107 0.9 Spain 8 1,762 0.8 Australia 7 1,667 0.7 Other 42 4,501 1.9 Total non-U.S. 356 50,799 21.5 Total 7,848 $ 236,392 100.0 % Exposure to Puerto Rico The Company had 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 $3.6 billion net par outstanding as of December 31, 2021, all of which was rated BIG. Beginning on January 1, 2016, a number of Puerto Rico exposures defaulted on bond payments, and the Company has now paid claims on all of its outstanding Puerto Rico exposures except the Municipal Finance Agency (MFA), the Puerto Rico Aqueduct and Sewer Authority (PRASA), and the University of Puerto Rico (U of PR). On June 30, 2016, the Puerto Rico Oversight, Management, and Economic Stability Act (PROMESA) was signed into law. PROMESA established a seven-member Financial Oversight and Management Board (the FOMB) with authority to require that balanced budgets and fiscal plans be adopted and implemented by Puerto Rico. 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). The Company negotiated with the FOMB and other stakeholders over approximately five years and entered into support agreements covering $3.4 billion, or 95% of the Company’s insured net par outstanding, of Puerto Rico exposures. All of the Company’s Puerto Rico exposures that were in payment default on December 31, 2021 are covered by the support agreements. The plan of adjustment contemplated by one of those support agreements, covering $1.2 billion, or 34% of the Company’s insured net par outstanding of Puerto Rico exposures, was confirmed on January 18, 2022. Then, on January 20, 2022, orders were entered finalizing the consensual modification contemplated by the support agreements for another $168 million outstanding as of December 31, 2021, of the Company’s insured Puerto Rico exposures. As a consequence, $1.4 billion net par outstanding, or 39% of the Company’s Puerto Rico net par outstanding as of December 31, 2021, now benefits from court orders for resolution, as further described below. Plan of Adjustment On January 18, 2022, an order and judgment confirming the Modified Eighth Amended Title III Joint Plan of Adjustment of the Commonwealth of Puerto Rico, the Employees Retirement System of the Government of the Commonwealth of Puerto Rico, and the Puerto Rico Public Buildings Authority (GO/PBA Plan) was entered by the United States District Court of the District of Puerto Rico acting under Title III of PROMESA (the Title III Court). The GO/PBA Plan restructures approximately $35 billion of debt (including the Puerto Rico General Obligation (GO) and Public Buildings Authority (PBA) bonds insured by the Company) and other claims against the government of Puerto Rico and certain entities and $50 billion in pension obligations (none of which is insured by the Company) consistent with the terms of the settlement embodied in a revised GO and PBA plan support agreement (PSA) entered into by AGM and AGC on February 22, 2021, with certain other stakeholders, the Commonwealth, and the FOMB (GO/PBA PSA). The FOMB will set the effective date for the GO/PBA Plan (GO/PBA Effective Date), and has announced that it expects the GO/PBA Effective Date to be on or before March 15, 2022. As of December 31, 2021, the Company had $1.2 billion of insured net par outstanding covered by the GO/PBA Plan: $1.1 billion insured net par outstanding of GO bonds and $122 million insured net par outstanding of PBA bonds. In general, the GO/PBA Plan provides for lower Commonwealth debt service payments per annum and provides for the distribution to creditors of new recovery bonds, cash, and additional consideration in the form of a contingent value instrument (CVI). This CVI is intended to provide creditors with additional returns tied to the outperformance of the Puerto Rico 5.5% Sales and Use Tax receipts against May 2020 certified fiscal plan projections, subject to annual and lifetime caps. The GO/PBA Plan provides for different recoveries based on the bonds’ issuance date, with GO and PBA bonds issued before 2011 (Vintage) receiving higher recoveries than GO and PBA bonds issued in 2011 and thereafter (except that, for purposes of the GO/PBA Plan, Series 2011A GO bonds would be treated as Vintage bonds). In August 2021, the Company exercised certain elections under the GO/PBA Plan that impact the timing of payments under its insurance policies. In accordance with the terms of the GO/PBA Plan, the payment of the principal of all GO bonds and PBA bonds insured by the Company will be accelerated against the Commonwealth and become due and payable as of the GO/PBA Effective Date. In accordance with the terms of its insurance policies, the Company has elected to pay 100% of the then outstanding principal amount of insured bonds plus accrued interest thereon to the date of payment (Acceleration Price) on the GO/PBA Effective Date to holders of insured securities with a net par outstanding of $1.1 billion as of December 31, 2021. With respect to the approximately $102 million net par outstanding of remaining insured securities covered by the GO/PBA Plan, insured bondholders were permitted to elect either: (1) to receive the Acceleration Price on the GO/PBA Effective Date; or (2) to receive custody receipts that represent an interest in the legacy insurance policy and cash, new recovery bonds and CVIs (in aggregate, Plan Consideration) that constitute distributions under the GO/PBA Plan. Subject to the terms of the final documentation that govern the terms of the custody receipts, distributions of Plan Consideration will be immediately passed through to insured bondholders under the custody receipts to the extent of any cash or proceeds of new securities held in the custodial trust and will be applied to make payments and/or prepayments of amounts due under the legacy insured bonds. To the extent that distributions of Plan Consideration are insufficient to pay principal and interest coming due on the legacy insured bonds after giving effect to the distributions described in the immediately preceding sentence, the Company’s insurance policy would continue to guarantee such payments in accordance with the terms of such insurance policy on the originally scheduled legacy bond interest and principal payment dates. Copies of the documents governing the terms of the custody receipts are expected to be available for review by insured bondholders in connection with the distribution of a supplement to the GO/PBA Plan. Further, in the case of insured bondholders who elected to receive custody receipts, the Company will retain the right to satisfy its obligations under the insurance policy with respect to the related legacy insured bonds at any time thereafter, with 30 days’ notice, by paying the applicable Acceleration Price. Retention by the Company of the right to satisfy its obligations under its insurance policy with respect to the relevant insured bonds by paying the Acceleration Price is authorized by the GO/PBA Plan and the Company’s rights under its related insurance policies and is expected to be reflected in the applicable custodial trust documentation. Support Agreements In addition to the GO/PBA PSA, the Company has entered into the support agreements described below (Support Agreements): • HTA/CCDA PSA: A PSA with certain other stakeholders, the Commonwealth, and the FOMB with respect to the Puerto Rico Highways and Transportation Authority (PRHTA) and the Puerto Rico Convention Center District Authority (PRCCDA) entered into by AGM and AGC on May 5, 2021. • PRIFA PSA: A PSA signed on July 27, 2021 by certain other stakeholders, the Commonwealth, and the FOMB with respect to the Puerto Rico Infrastructure Financing Authority (PRIFA) and joined by AGC on July 28, 2021. • PREPA RSA: A restructuring support agreement with the Puerto Rico Electric Power Authority (PREPA) and other stakeholders, including a group of uninsured PREPA bondholders, the Commonwealth and the FOMB with respect to PREPA, entered into by AGM and AGC on May 3, 2019. HTA/CCDA PSA. As of December 31, 2021, the Company had $1.4 billion of insured net par outstanding that is covered by the HTA/CCDA PSA: $799 million insured net par outstanding of PRHTA (transportation revenue) bonds; $457 million insured net par outstanding of PRHTA (highway revenue) bonds; and $152 million insured net par outstanding of PRCCDA 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 taxes on crude oil, unfinished oil and derivative products. The highway 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 PRCCDA bonds are secured by certain hotel tax revenues. The FOMB has filed a petition under Title III of PROMESA with respect to PRHTA. The HTA/CCDA PSA provides for payments to AGM and |
Expected Loss to be Paid (Recov
Expected Loss to be Paid (Recovered) | 12 Months Ended |
Dec. 31, 2021 | |
Expected Losses [Abstract] | |
Expected Loss to be Paid (Recovered) | Expected Loss to be Paid (Recovered) Accounting Policy Expected loss to be paid (recovered) is equal to the present value of expected future cash outflows for loss and LAE payments, net of: (i) inflows for expected salvage, subrogation and other recoveries; and (ii) excess spread on underlying collateral, as applicable. Cash flows are discounted at current risk-free rates. The Company updates the discount rates each quarter and reflects the effect of such changes in economic loss development. Net expected loss to be paid (recovered) is net of amounts ceded to reinsurers. The Company’s net expected loss to be paid (recovered) incorporates management’s probability weighted estimates of all possible scenarios. Expected cash outflows and inflows are probability weighted cash flows that reflect management’s assumptions about the likelihood of all possible outcomes based on all information available to the Company. Those assumptions consider the relevant facts and circumstances and are consistent with the information tracked and monitored through the Company’s risk-management activities. Expected loss to be paid (recovered) is important from a liquidity perspective in that it represents the present value of amounts that the Company expects to pay or recover in future periods for all contracts. Management compiles and analyzes loss information for all exposures on a consistent basis, in order to effectively evaluate and manage the economics and liquidity of the entire insured portfolio. The Company monitors and assigns ratings and calculates expected loss to be paid (recovered) in the same manner for all its exposures regardless of form or differing accounting models. This note provides information regarding expected claim payments to be made under all contracts in the insured portfolio. In circumstances where the Company has purchased its own insured obligations that had expected losses, and in cases where issuers of insured obligations elected or the Company and an issuer mutually agreed as part of a negotiation to deliver the underlying collateral, insured obligation or a new security to the Company, expected loss to be paid (recovered) is reduced and the asset received is prospectively accounted for under the applicable guidance for that instrument. Insured obligations with expected losses that were purchased by the Company are referred to as loss mitigation securities and are recorded in the investment portfolio at fair value, excluding the value of the Company’s insurance. For loss mitigation securities, the difference between the purchase price of the insured obligation and the fair value excluding the value of the Company’s insurance (on the date of acquisition) is treated as a paid loss. See Note 8, Investments and Cash and Note 10, Fair Value Measurement. Economic loss development represents the change in net expected loss to be paid (recovered) attributable to the effects of changes in assumptions based on observed market trends, changes in discount rates, accretion of discount and the economic effects of loss mitigation efforts. The insured portfolio includes policies accounted for under three separate accounting models depending on the characteristics of the contract and the Company’s control rights. The three models are: (1) insurance, as described in Note 6, Contracts Accounted for as Insurance; (2) derivatives, as described in Note 7, Contracts Accounted for as Credit Derivatives and Note 10, Fair Value Measurement; and (3) FG VIE consolidation, as described in Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. The Company has paid and expects to pay future losses and/or recover past losses on policies which fall under each of the three accounting models. Loss Estimation Process The Company’s loss reserve committees estimate expected loss to be paid (recovered) 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 period 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 loss 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 Company does not use traditional actuarial approaches to determine its estimates of expected losses. The determination of expected loss to be paid (recovered) 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, recovery rates, delinquency and prepayment rates (with respect to RMBS), timing of cash flows, 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 have a material effect on the Company’s financial statements. Each quarter, the Company may revise its scenarios and update its assumptions, including the probability weightings of its scenarios based on public information as well as nonpublic information obtained through its surveillance and loss mitigation activities. Such information includes management’s view of the potential impact of COVID-19 on its distressed exposures. Management assesses the possible implications of such information on each insured obligation, considering the unique characteristics of each transaction. Changes over a reporting period in the Company’s loss estimates for municipal obligations supported by specified revenue streams, such as revenue bonds issued by toll road authorities, municipal utilities or airport authorities, generally will be influenced by factors impacting their revenue levels, such as changes in demand; changing demographics; and other economic factors, especially if the obligations do not benefit from financial support from other tax revenues or governmental authorities. Changes over a reporting period in the Company’s loss estimates for its tax-supported public finance transactions generally will be influenced by factors impacting the public issuer’s ability and willingness to pay, such as changes in the economy and population of the relevant area; changes in the issuer’s ability or willingness to raise taxes, decrease spending or receive federal assistance; new legislation; rating agency actions that affect the issuer’s ability to refinance maturing obligations or issue new debt at a reasonable cost; changes in the priority or amount of pensions and other obligations owed to workers; developments in restructuring or settlement negotiations; and other political and economic factors. Changes in loss estimates may also be affected by the Company’s loss mitigation efforts and other variables. Changes in the Company’s loss estimates for structured finance transactions generally will be influenced by factors impacting the performance of the assets supporting those transactions. For example, changes over a reporting period in the Company’s loss estimates for its RMBS transactions may be influenced by factors such as the level and timing of loan defaults experienced, changes in housing prices, results from the Company’s loss mitigation activities, and other variables. 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. In some instances, the terms of the Company’s policy or the terms of certain workout orders and resolutions give 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. 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 December 31, Year Ended December 31, Accounting Model 2021 2020 2021 2020 2019 (in millions) Insurance (see Note 6) $ 364 $ 471 $ (281) $ 142 $ 14 FG VIEs (see Note 9) 42 59 (20) 1 (29) Credit derivatives (see Note 7) 5 (1) 14 2 14 Total $ 411 $ 529 $ (287) $ 145 $ (1) The following tables present a roll forward of net expected loss to be paid (recovered) for all contracts under all accounting models (insurance, derivative and FG VIE). The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 0.00% to 1.98% with a weighted average of 1.02% as of December 31, 2021 and 0.00% to 1.72% with a weighted average of 0.60% as of December 31, 2020. Expected losses to be paid for U.S. dollar denominated transactions represented approximately 97.2% and 93.2% of the total as of December 31, 2021 and December 31, 2020, respectively. Net Expected Loss to be Paid (Recovered) Roll Forward Year Ended December 31, 2021 2020 2019 (in millions) Net expected loss to be paid (recovered), beginning of period $ 529 $ 737 $ 1,183 Economic loss development (benefit) due to: Accretion of discount 7 9 22 Changes in discount rates (33) 13 (11) Changes in timing and assumptions (261) 123 (12) Total economic loss development (benefit) (287) 145 (1) Net (paid) recovered losses 169 (353) (445) Net expected loss to be paid (recovered), end of period $ 411 $ 529 $ 737 Net Expected Loss to be Paid (Recovered) Roll Forward by Sector Year Ended December 31, 2021 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2020 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2021 (in millions) Public finance: U.S. public finance $ 305 $ (182) $ 74 $ 197 Non-U.S. public finance 36 (22) (2) 12 Public finance 341 (204) 72 209 Structured finance: U.S. RMBS 148 (100) 102 150 Other structured finance 40 17 (5) 52 Structured finance 188 (83) 97 202 Total $ 529 $ (287) $ 169 $ 411 Year Ended December 31, 2020 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2019 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2020 (in millions) Public finance: U.S. public finance $ 531 $ 190 $ (416) $ 305 Non-U.S. public finance 23 13 — 36 Public finance 554 203 (416) 341 Structured finance: U.S. RMBS 146 (71) 73 148 Other structured finance 37 13 (10) 40 Structured finance 183 (58) 63 188 Total $ 737 $ 145 $ (353) $ 529 Year Ended December 31, 2019 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2018 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2019 (in millions) Public finance: U.S. public finance $ 832 $ 224 $ (525) $ 531 Non-U.S. public finance 32 (9) — 23 Public finance 864 215 (525) 554 Structured finance: U.S. RMBS 293 (234) 87 146 Other structured finance 26 18 (7) 37 Structured finance 319 (216) 80 183 Total $ 1,183 $ (1) $ (445) $ 737 ____________________ (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 as reinsurance recoverable on paid losses in “other assets”. The tables above include: (a) LAE paid of $36 million, $25 million and $35 million for the years ended December 31, 2021, 2020 and 2019, respectively; and (b) expected LAE to be paid of $26 million as of December 31, 2021 and $23 million as of December 31, 2020. Ceded expected loss to be recovered were $10 million as of December 31, 2021 and $23 million as of December 31, 2020. 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 $3.6 billion net par outstanding as of December 31, 2021, all of which was BIG. For additional information regarding the Company’s Puerto Rico exposure, see “Exposure to Puerto Rico” in Note 4, Outstanding Exposure. In the fourth quarter of 2021, the Company sold a portion of its salvage and subrogation recoverable asset associated with certain matured Puerto Rico GO and PREPA exposures on which the Company had previously paid claims. This sale resulted in proceeds of $383 million, which is included in “net (paid) recovered losses” in the tables above, including $56 million that was settled in January 2022. Also in the fourth quarter of 2021, the Company updated its assumptions for the value of the CVIs and recovery bonds to be received under the GO/PBA Plan and other settlements. During 2021, the Company also incorporated refinements to reflect certain terms of the Puerto Rico support agreements. On February 25, 2015, a plan of adjustment resolving the bankruptcy filing of the City of Stockton, California under chapter 9 of the Bankruptcy Code became effective. As of December 31, 2021, the Company’s net par outstanding subject to the plan consisted of $100 million of pension obligation bonds. As part of the plan of adjustment, the City will repay claims paid on the pension obligation bonds from certain fixed payments and certain variable payments contingent on the City’s revenue growth. The Company projects its total net expected loss across its troubled U.S. public finance exposures as of December 31, 2021, including those mentioned above, to be $197 million, compared with $305 million as of December 31, 2020. The economic benefit for U.S. public finance transactions was $182 million in 2021, which was primarily attributable to Puerto Rico exposures. The changes attributable to the Company’s Puerto Rico exposures reflect adjustments the Company made to the assumptions it used in its scenarios based on the public information as discussed under “Exposure to Puerto Rico” in Note 4, Outstanding Exposure, as well as nonpublic information related to its loss mitigation activities during the period. Selected Non-U.S. Public Finance Transactions Expected loss to be paid for non-U.S. public finance transactions was $12 million as of December 31, 2021, compared with $36 million as of December 31, 2020, primarily consisting of: (i) an obligation backed by the availability and toll revenues of a major arterial road, which has been underperforming due to higher costs compared with expectations at underwriting; and (ii) an obligation for which the Company has been paying claims because of the impact of negative Euro Interbank Offered Rate (Euribor) on the transaction. The economic benefit for non-U.S. public finance transactions, including those mentioned above, was approximately $22 million during 2021 and was primarily attributable to the impact of higher Euribor, the restructuring of certain exposures and improved performance outlook in certain road exposures. U.S. RMBS Loss Projections 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. The further behind mortgage borrowers fall in making payments, the more likely it is that they will default. The rate at which borrowers from a particular delinquency category (number of monthly payments behind) eventually default is referred to as the “liquidation rate.” The Company derives its liquidation rate assumptions from observed roll rates, which are the rates at which loans progress from one delinquency category to the next and eventually to default and liquidation. The Company applies liquidation rates to the mortgage loan collateral in each delinquency category and makes certain timing assumptions to project near-term mortgage collateral defaults from loans that are currently delinquent. Mortgage borrowers that are not behind on payments and have not fallen two or more payments behind in the last two years (generally considered performing borrowers) have demonstrated an ability and willingness to pay through challenging economic periods, and as a result are viewed as less likely to default than delinquent borrowers or those that have experienced delinquency recently. Performing borrowers that eventually default will also need to progress through delinquency categories before any defaults occur. The Company projects how many of the currently performing loans will default and when they will default, by first converting the projected near term defaults of delinquent borrowers derived from liquidation rates into a vector of conditional default rates (CDR), then projecting how the CDR will develop over time. Loans that are defaulted pursuant to the CDR after the near-term liquidation of currently delinquent loans represent defaults of currently performing loans and projected re-performing loans. A CDR is the outstanding principal amount of defaulted loans liquidated in the current month divided by the remaining outstanding amount of the whole pool of loans (collateral pool balance). The collateral pool balance decreases over time as a result of scheduled principal payments, partial and whole principal prepayments, and defaults. In order to derive collateral pool losses from the collateral pool defaults it has projected, the Company applies a loss severity. The loss severity is the amount of loss the transaction experiences on a defaulted loan after the application of net proceeds from the disposal of the underlying property. The Company projects loss severities by sector and vintage based on its experience to date. The Company continues to update its evaluation of these loss severities as new information becomes available. The Company projects the overall future cash flow from a collateral pool by adjusting the payment stream from the principal and interest contractually due on the underlying mortgages for the collateral losses it projects as described above; assumed voluntary prepayments; and servicer advances. The Company then applies an individual model of the structure of the transaction to the projected future cash flow from that transaction’s collateral pool to project the Company’s future claims and claim reimbursements for that individual transaction. Finally, the projected claims and reimbursements are discounted using risk-free rates. The Company runs several sets of assumptions regarding mortgage collateral performance, or scenarios, and probability weights them. Each period the Company makes a judgment as to whether to change the assumptions it uses to make RMBS loss projections based on its observation during the period of the performance of its insured transactions (including early-stage delinquencies, late-stage delinquencies and loss severity) as well as the residential property market and economy in general, and, to the extent it observes changes, it makes a judgment as to whether those changes are normal fluctuations or part of a trend. The assumptions that the Company uses to project RMBS losses are shown in the sections below. Net Economic Loss Development (Benefit) U.S. RMBS Year Ended December 31, 2021 2020 2019 (in millions) First lien U.S. RMBS $ — $ (45) $ (77) Second lien U.S. RMBS (100) (26) (157) As of December 31, 2021, the Company had a net R&W payable of $35 million to R&W counterparties, compared with a net R&W payable of $74 million as of December 31, 2020. The Company’s agreements with providers of R&W generally provide for reimbursement to the Company as claim payments are made and, to the extent the Company later receives reimbursements of such claims from excess spread or other sources, for the Company to provide reimbursement to the R&W providers. When the Company projects receiving more reimbursements in the future than it projects to pay in claims on transactions covered by R&W settlement agreements, the Company reports a net R&W payable. First Lien U.S. RMBS Loss Projections: Alt-A, Prime, Option ARM and Subprime The majority of projected losses in first lien RMBS transactions are expected to come from non-performing mortgage loans (those that are or have recently 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 projections 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 recent data and (if necessary) adjusts its liquidation rates based on its observations. The following table shows liquidation assumptions for various non-performing and re-performing categories. First Lien Liquidation Rates As of December 31, 2021 2020 Current but recently delinquent: (1) Alt-A and Prime 20% 20% Option ARM 20% 20% Subprime 20% 20% 30 – 59 Days Delinquent: Alt-A and Prime 35% 35% Option ARM 35% 35% Subprime 30% 30% 60 – 89 Days Delinquent: Alt-A and Prime 40% 40% Option ARM 45% 45% Subprime 40% 40% 90+ Days Delinquent: Alt-A and Prime 55% 55% Option ARM 60% 60% Subprime 45% 45% Bankruptcy: Alt-A and Prime 45% 45% Option ARM 50% 50% Subprime 40% 40% Foreclosure: Alt-A and Prime 60% 60% Option ARM 65% 65% Subprime 55% 55% Real Estate Owned All 100% 100% ____________________ (1) Prior to the third quarter of 2021, the Company included current loans that had missed one payment (30 + days delinquent) within the last 12 months in this category. The Company observed that during the COVID-19 pandemic: (i) loans that became 60+ days delinquent may have elevated future default risk for longer than a year; and (ii) there may be an increased number of loans that missed only a single payment that should not be considered at elevated risk of default. Based on this view, starting in the third quarter of 2021, the Company includes only current loans that had been 60+ days delinquent within the last 24 months in this category, rather than current loans that had been 30+ days delinquent in the past 12 months. Towards the end of the first quarter of 2020, lenders began offering mortgage borrowers the option to forbear interest and principal payments of their loans due to the COVID -19 pandemic, and to repay such amounts at a later date. This resulted in an increase in early-stage delinquencies in RMBS transactions during the second quarter of 2020 and late-stage delinquencies during the second half of 2020. Until the third quarter of 2021, the Company’s expected loss estimate assumed that some delinquencies were due to COVID-19 related forbearances, and had applied a liquidation rate of 20% to such loans, which was the same liquidation rate assumption used when estimating expected losses for current loans that were recently modified or delinquent. A substantial portion of the loans have resolved favorably, and the Company now expects that the loans that continue to be delinquent will default at a higher rate than the original overall assumption of 20%. Therefore, the Company discontinued the segregation of COVID-19 related forbearances and the application of a special 20% liquidation rate to such COVID-19 forbearances. Beginning in the third quarter of 2021, the Company includes remaining COVID-19 forbearance loans in the relevant delinquency categories consistent with all other loans. Assuming all other variables are held constant, applying the higher liquidation rates to the previously forborne loans that remain delinquent, rather than the previous assumption of 20% that was applied to all COVID-19 forborne loans, did not significantly increase expected losses on this cohort. While the Company uses liquidation rates as described above to project defaults of non-performing loans (including current loans that were recently modified or delinquent), it projects defaults on presently current loans by applying a CDR curve. The start of that CDR curve 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 was 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 and then steps to a final CDR of 5% of the CDR plateau. In the base case, the Company assumes the final CDR will be reached 1.5 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 recently modified or delinquent, 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. The Company assumes in the base case that recent (still historically elevated) loss severities will improve after loans with accumulated delinquencies and foreclosure cost are liquidated. The Company is assuming in the base case that the recent 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 (recovered) for individual transactions for vintage 2004 - 2008 first lien U.S. RMBS. Key Assumptions in Base Case Expected Loss Estimates First Lien U.S. RMBS As of December 31, 2021 As of December 31, 2020 Range Weighted Average Range Weighted Average Alt-A and Prime: Plateau CDR 0.9 % – 11.6% 5.9% 0.0 % – 9.7% 5.3% Final CDR 0.0 % – 0.6% 0.3% 0.0 % – 0.5% 0.3% Initial loss severity: 2005 and prior 60% 60% 2006 60% 70% 2007+ 60% 70% Option ARM: Plateau CDR 1.8 % – 11.9% 5.6% 2.3 % – 11.9% 5.4% Final CDR 0.1 % – 0.6% 0.3% 0.1 % – 0.6% 0.3% Initial loss severity: 2005 and prior 60% 60% 2006 60% 60% 2007+ 60% 60% Subprime: Plateau CDR 2.9 % – 10.0% 6.0% 2.7 % – 11.3% 5.6% Final CDR 0.1 % – 0.5% 0.3% 0.1 % – 0.6% 0.3% Initial loss severity: 2005 and prior 60% 60% 2006 60% 70% 2007+ 60% 70% 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 pattern similar 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, 2020. In the third quarter of 2021, the Company implemented a new recovery assumption into its reserving model to reflect observed trends in recoveries of deferred principal balances of modified first lien loans that had been previously written off. The Company now assumes that 20% of the deferred loan balances will eventually be recovered upon sale of the collateral or refinancing of the loans. The addition of this new assumption resulted in an economic benefit of $23 million. 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 December 31, 2021 and December 31, 2020. Total expected loss to be paid on all first lien U.S. RMBS was $167 million and $133 million as of December 31, 2021 and December 31, 2020, respectively. The economic loss development in 2021 for first lien U.S. RMBS transactions was de minimis and included loss development attributable to lower excess spread, which was offset by the implementation of a recovery assumption for deferred principal balances that had previously been written off and changes in discount rates. Other changes in assumptions including lower severi ty assumptions for certain asset classes were substantially offset by updates in the delinquency profile of certain transactions and the removal of the liquidation rate previously applied to the COVID-19 forbearances. Certain transactions benefit from exc ess spread when they are supported by large portions of fixed rate assets (either originally fixed or modified to be fixed) but have insured floating rate debt lin ked to LIBOR. An increase in projected LIBOR decreases excess spread, while lower LIBOR results in higher excess spread. LIBOR is anticipated to be discontinued after June 30, 2023, and it is not yet clear how this will impact the calculation of the various interest rates in this portfolio refer encing LIBOR. The Company used a similar approach to establish its pessimistic and optimistic scenarios as of December 31, 2021 as it used as of December 31, 2020, increasing and decreasing the periods of stress from those used in |
Contracts Accounted for as Insu
Contracts Accounted for as Insurance | 12 Months Ended |
Dec. 31, 2021 | |
Insurance [Abstract] | |
Contracts Accounted for as Insurance | Contracts Accounted for as Insurance The portfolio of outstanding exposures discussed in Note 4, Outstanding Exposure, and Note 5, Expected Loss to be Paid (Recovered), includes contracts that are accounted for as insurance contracts, derivatives, and consolidated FG VIEs. Amounts presented in this note relate only to contracts accounted for as insurance, unless otherwise specified. See Note 7, Contracts Accounted for as Credit Derivatives for amounts related to CDS and Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles for amounts that are accounted for as consolidated FG VIEs. Premiums Accounting Policies Financial guaranty contracts that meet the scope exception under derivative accounting guidance are subject to industry specific guidance for financial guaranty insurance. The accounting for contracts that fall under the financial guaranty insurance definition is consistent whether contracts are written on a direct basis, assumed from another financial guarantor, ceded to another insurer, or acquired in a business combination. Premiums receivable represent the present value of contractual or expected future premium collections discounted using risk-free rates. Unearned premium reserve represents deferred premium revenue, less claim payments made (net of recoveries received) that have not yet been recognized in the statement of operations (contra-paid). The following discussion relates to the deferred premium revenue component of the unearned premium reserve, while the contra-paid is discussed below under “Financial Guaranty Insurance Losses.” The amount of deferred premium revenue at contract inception is determined as follows: • For premiums received upfront on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is equal to the amount of cash received. Upfront premiums typically relate to public finance transactions. • For premiums received in installments on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is the present value (discounted at risk free rates) of either: (i) contractual premiums due; or (ii) in cases where the underlying collateral is composed of homogeneous pools of assets, the expected premiums to be collected over the life of the contract. To be considered a homogeneous pool of assets, prepayments must be contractually allowable, the amount of prepayments must be probable, and the timing and amount of prepayments must be reasonably estimable. Installment premiums typically relate to structured finance and infrastructure transactions, where the insurance premium rate is determined at the inception of the contract but the insured par is subject to prepayment throughout the life of the transaction. • For financial guaranty insurance contracts acquired in a business combination, deferred premium revenue is equal to the fair value of the Company’s stand-ready obligation portion of the insurance contract at the date of acquisition based on what a hypothetical similarly rated financial guaranty insurer would have charged for the contract at that date and not the actual cash flows under the insurance contract. The amount of deferred premium revenue may differ significantly from cash collections primarily due to fair value adjustments recorded in connection with a business combination. When the Company adjusts prepayment assumptions or expected premium collections for obligations backed by homogeneous pools of assets, an adjustment is recorded to the deferred premium revenue, with a corresponding adjustment to the premium receivable. Premiums receivable are discounted at the risk-free rate at inception and such discount rate is updated only when changes to prepayment assumptions are made that change the expected date of final maturity. Accretion of the discount on premiums receivable is reported in “net earned premiums”. The Company recognizes deferred premium revenue as earned premium over the contractual period or expected period of the contract in proportion to the amount of insurance protection provided. As premium revenue is recognized, a corresponding decrease to the deferred premium revenue is recorded. The amount of insurance protection provided is a function of the insured par amount outstanding. Accordingly, the proportionate share of premium revenue recognized in a given reporting period is a constant rate calculated based on the relationship between the insured par amounts outstanding in the reporting period compared with the sum of each of the insured par amounts outstanding for all periods. When an insured financial obligation is retired before its maturity, the financial guaranty insurance contract is extinguished, and any nonrefundable deferred premium revenue related to that contract is accelerated and recognized as premium revenue. Effective January 1, 2020, the Company periodically assesses the need for an allowance for credit loss on premiums receivables. For assumed reinsurance contracts, net earned premiums reported in the consolidated statements of operations are calculated based upon data received from ceding companies; however, some ceding companies report premium data between 30 and 90 days after the end of the reporting period. The Company estimates net earned premiums for the lag period. Differences between such estimates and actual amounts are recorded in the period in which the actual amounts are determined. When installment premiums are related to assumed reinsurance contracts, the Company assesses the credit quality and available liquidity of the ceding companies and the impact of any potential regulatory constraints to determine the collectability of such amounts. Ceded unearned premium reserve is recorded as an asset. Direct, assumed and ceded earned premiums are presented together as net earned premiums in the statement of operations. Any premiums related to FG VIEs are eliminated upon consolidation. Insurance Contracts’ Premium Information Net Earned Premiums Year Ended December 31, 2021 2020 2019 (in millions) Financial guaranty: Scheduled net earned premiums $ 322 $ 334 $ 331 Accelerations from refundings and terminations 59 129 122 Accretion of discount on net premiums receivable 30 20 17 Financial guaranty insurance net earned premiums 411 483 470 Specialty net earned premiums 3 2 6 Net earned premiums $ 414 $ 485 $ 476 Gross Premium Receivable, Net of Commissions Payable on Assumed Business Roll Forward Year Ended December 31, 2021 2020 2019 (in millions) Beginning of year $ 1,372 $ 1,286 $ 904 Less: Specialty insurance premium receivable 1 2 1 Financial guaranty insurance premiums receivable 1,371 1,284 903 Gross written premiums on new business, net of commissions 369 462 689 Gross premiums received, net of commissions (383) (426) (318) Adjustments: Changes in the expected term 6 (10) (21) Accretion of discount, net of commissions on assumed business 26 18 10 Foreign exchange gain (loss) on remeasurement (22) 43 21 Expected recovery of premiums previously written off 4 — — Financial guaranty insurance premium receivable 1,371 1,371 1,284 Specialty insurance premium receivable 1 1 2 December 31, $ 1,372 $ 1,372 $ 1,286 Approximately 78% and 80% of gross premiums receivable, net of commissions payable at December 31, 2021 and December 31, 2020, respectively, are denominated in currencies other than the U.S. dollar, primarily the pound sterling and euro. The timing and cumulative amount of actual collections and net earned premiums may differ from those of expected collections and of expected net earned premiums in the table below due to factors such as foreign exchange rate fluctuations, counterparty collectability issues, accelerations, commutations, restructurings, changes in expected lives and new business. Financial Guaranty Insurance Expected Future Premium Collections and Earnings As of December 31, 2021 Future Premiums Future Net Premiums (in millions) 2022 (January 1 - March 31) $ 47 $ 78 2022 (April 1 - June 30) 39 78 2022 (July 1 - September 30) 28 77 2022 (October 1 - December 31) 33 75 Subtotal 2022 147 308 2023 107 287 2024 99 265 2025 88 241 2026 83 223 2027-2031 354 920 2032-2036 249 628 2037-2041 165 361 After 2041 347 495 Total $ 1,639 3,728 Future accretion 268 Total future net earned premiums $ 3,996 ____________________ (1) Net of assumed commissions payable. (2) Net of reinsurance. Selected Information for Financial Guaranty Insurance Policies with Premiums Paid in Installments As of December 31, 2021 2020 (dollars in millions) Premiums receivable, net of commissions payable $ 1,371 $ 1,371 Deferred premium revenue $ 1,663 $ 1,664 Weighted-average risk-free rate used to discount premiums 1.6% 1.6% Weighted-average period of premiums receivable (in years) 12.7 12.8 Policy Acquisition Costs Accounting Policy Policy acquisition costs that are directly related and essential to successful insurance contract acquisition, as well as ceding commission income and expense on ceded and assumed reinsurance contracts, are deferred and reported net. Capitalized policy acquisition costs include the cost of underwriting personnel attributable to successful underwriting efforts. The Company conducts an annual time study, which requires the use of judgement, to estimate the amount of costs to be deferred. Ceding commission expense on assumed reinsurance contracts and ceding commission income on ceded reinsurance contracts that are associated with premiums received in installments are calculated at their contractually defined commission rates, discounted consistent with premiums receivable for all future periods, and included in DAC, with a corresponding offset to net premiums receivable or reinsurance balances payable. DAC is amortized in proportion to net earned premiums. Amortization of deferred policy acquisition costs includes the accretion of discount on ceding commission receivable and payable. When an insured obligation is retired early, the remaining related DAC is expensed at that time. Costs incurred for soliciting potential customers, market research, training, administration, unsuccessful acquisition efforts, and product development as well as overhead costs are charged to expense as incurred. Expected losses and LAE, investment income, and the remaining costs of servicing the insured or reinsured business, are considered in determining the recoverability of DAC. Policy Acquisition Costs Roll Forward of Deferred Acquisition Costs Year Ended December 31, 2021 2020 2019 (in millions) Beginning of year $ 119 $ 111 $ 105 Costs deferred during the period 26 24 23 Costs amortized during the period (14) (16) (17) December 31, $ 131 $ 119 $ 111 Losses Accounting Policies Loss and LAE Reserve Loss and LAE reserve reported on the balance sheet relates only to direct and assumed reinsurance contracts that are accounted for as insurance, substantially all of which are financial guaranty insurance contracts. The corresponding reserve ceded to reinsurers is reported as reinsurance recoverable on unpaid losses and reported in other assets. Any loss and LAE reserves related to FG VIEs are eliminated upon consolidation. Any expected losses to be paid (recovered) on credit derivatives are reflected in the fair value of credit derivatives. Under financial guaranty insurance accounting, the sum of unearned premium reserve and loss and LAE reserve represents the Company’s stand‑ready obligation. At contract inception, the entire stand-ready obligation is represented entirely by unearned premium reserve. Unearned premium reserve is deferred premium revenue, less claim payments (net of recoveries received) that have not yet been recognized in the statement of operations (contra-paid). A loss and LAE reserve for a financial guaranty insurance contract is recorded only to the extent, and for the amount, that expected loss to be paid plus contra-paid (total losses) exceed the deferred premium revenue, on a contract-by-contract basis. As a result, the Company has expected loss to be paid that has not yet been expensed. Such amounts will be recognized in future periods as deferred premium revenue amortizes into income. When a claim or LAE payment is made on a contract, it first reduces any recorded loss and LAE reserve. To the extent there is no loss and LAE reserve on a contract, then such claim payment is recorded as “contra-paid,” which reduces the unearned premium reserve. The contra-paid is recognized in “loss and loss adjustment expenses (benefit)” in the consolidated statement of operations when and for the amount that total losses exceed the remaining deferred premium revenue on the insurance contract. “Loss and loss adjustment expenses (benefit)” in the consolidated statement of operations is presented net of cessions to reinsurers. Salvage and Subrogation Recoverable When the Company becomes entitled to the cash flow from the underlying collateral of, or other recoveries in relation to, an insured exposure under salvage and subrogation rights as a result of a claim payment or estimated future claim payment, it reduces the expected loss to be paid on the contract. Such reduction in expected loss to be paid can result in one of the following: (i) a reduction in the corresponding loss and LAE reserve with a benefit to the consolidated statement of operations; (ii) no effect on the consolidated balance sheet or statement of operations, if “total loss” is not in excess of deferred premium revenue; or (iii) the recording of a salvage asset with a benefit to the consolidated statement of operations if the transaction is in a net recovery position at the reporting date. The ceded component of salvage and subrogation recoverable is reported in “other liabilities”. Expected Loss to be Expensed Expected loss to be expensed represents past or expected future financial guaranty insurance net claim payments that have not yet been expensed. Such amounts will be expensed in future periods as deferred premium revenue amortizes into income. Expected loss to be expensed is the Company’s projection of incurred losses that will be recognized in future periods, excluding accretion of discount. Insurance Contracts’ Loss Information Loss reserves are based on expected loss to be paid (recovered) which is discounted at risk-free rates for U.S. dollar denominated financial guaranty insurance obligations that ranged from 0.0% to 1.98% with a weighted average of 1.02% as of December 31, 2021, and 0.0% to 1.72% with a weighted average of 0.60% as of December 31, 2020. The following tables provide information on net reserve (salvage), which includes loss and LAE reserves and salvage and subrogation recoverable, both net of reinsurance. Net Reserve (Salvage) by Sector As of December 31, Sector 2021 2020 (in millions) Public finance: U.S. public finance $ 60 $ 129 Non-U.S. public finance 1 11 Public finance 61 140 Structured finance: U.S. RMBS (24) (52) Other structured finance 42 34 Structured finance 18 (18) Total $ 79 $ 122 Components of Net Reserve (Salvage) As of December 31, 2021 2020 (in millions) Loss and LAE reserve $ 869 $ 1,088 Reinsurance recoverable on unpaid losses (1) (5) (8) Loss and LAE reserve, net 864 1,080 Salvage and subrogation recoverable (801) (991) Salvage and subrogation reinsurance payable (2) 16 33 Salvage and subrogation recoverable, net (785) (958) Net reserve (salvage) $ 79 $ 122 ____________________ (1) Reported in “other assets” on the consolidated balance sheets. (2) Reported in “other liabilities” on the consolidated balance sheets. The table below provides a reconciliation of net expected loss to be paid (recovered) for financial guaranty insurance contracts to net expected loss to be expensed. Expected loss to be paid (recovered) for financial guaranty insurance contracts differs from expected loss to be expensed due to: (i) the contra-paid, which represents the claim payments made and recoveries received that have not yet been recognized in the statements 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 (Recovered) to Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of December 31, 2021 (in millions) Net expected loss to be paid (recovered) - financial guaranty insurance $ 359 Contra-paid, net 40 Salvage and subrogation recoverable, net 785 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (859) Net expected loss to be expensed (present value) $ 325 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 December 31, 2021 (in millions) 2022 (January 1 - March 31) $ 7 2022 (April 1 - June 30) 7 2022 (July 1 - September 30) 7 2022 (October 1 - December 31) 7 Subtotal 2022 28 2023 27 2024 27 2025 26 2026 26 2027-2031 111 2032-2036 66 2037-2041 11 After 2041 3 Net expected loss to be expensed 325 Future accretion 129 Total expected future loss and LAE $ 454 The following table presents the loss and LAE (benefit) reported in the consolidated statements of operations by sector for insurance contracts. Amounts presented are net of reinsurance. Loss and LAE (Benefit) by Sector Year Ended December 31, Sector 2021 2020 2019 (in millions) Public finance: U.S. public finance $ (146) $ 225 $ 247 Non-U.S. public finance (9) 5 (7) Public finance (155) 230 240 Structured finance: U.S. RMBS (69) (34) (154) Other structured finance 4 7 7 Structured finance (65) (27) (147) Loss and LAE (benefit) $ (220) $ 203 $ 93 In each of the years presented, the primary component of U.S. public finance loss and LAE (benefit) was Puerto Rico exposures. The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2021 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 117 16 129 262 262 Remaining weighted-average period (in years) 7.6 8.9 8.9 8.5 8.5 Outstanding exposure: Par $ 2,437 $ 177 $ 4,745 $ 7,359 $ 7,293 Interest 1,000 36 1,942 2,978 2,962 Total (2) $ 3,437 $ 213 $ 6,687 $ 10,337 $ 10,255 Expected cash outflows (inflows) $ 111 $ 40 $ 4,820 $ 4,971 $ 4,918 Potential recoveries (3) (656) (10) (3,829) (4,495) (4,430) Subtotal (545) 30 991 476 488 Discount 19 (3) (145) (129) (129) Expected losses to be paid (recovered) $ (526) $ 27 $ 846 $ 347 $ 359 Deferred premium revenue $ 85 $ 2 $ 350 $ 437 $ 435 Reserves (salvage) $ (549) $ 25 $ 584 $ 60 $ 74 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2020 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 125 19 126 270 270 Remaining weighted-average period (in years) 7.5 9.2 9.4 8.7 8.7 Outstanding exposure: Par $ 2,791 $ 130 $ 5,009 $ 7,930 $ 7,855 Interest 1,092 36 2,175 3,303 3,285 Total (2) $ 3,883 $ 166 $ 7,184 $ 11,233 $ 11,140 Expected cash outflows (inflows) $ 172 $ 29 $ 4,441 $ 4,642 $ 4,591 Potential recoveries (3) (697) (3) (3,385) (4,085) (4,011) Subtotal (525) 26 1,056 557 580 Discount 22 (3) (122) (103) (104) Expected losses to be paid (recovered) $ (503) $ 23 $ 934 $ 454 $ 476 Deferred premium revenue $ 116 $ 1 $ 394 $ 511 $ 508 Reserves (salvage) $ (538) $ 21 $ 619 $ 102 $ 127 __________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. (2) Includes amounts related to FG VIEs. (3) Represents expected inflows for future payments by obligors pursuant to restructuring agreements, settlements or litigation judgments, excess spread on any underlying collateral and other estimated recoveries. Potential recoveries also include recoveries on certain investment grade credits, related mainly to exposures that were previously BIG and for which claims have been paid in the past. 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. For example, the U.S. Insurance Subsidiaries have issued financial guaranty insurance policies in respect of the obligations of municipal obligors under interest rate swaps. The U.S. Insurance Subsidiaries insure periodic payments owed by the municipal obligors to the bank counterparties. In such cases, the U.S. Insurance Subsidiaries would be required to pay the termination payment owed by the municipal obligor, in an amount not to exceed the policy limit set forth in the financial guaranty insurance policy, if: (i) the U.S. Insurance Subsidiaries have been downgraded below the rating trigger set forth in a swap under which they have insured the termination payment, which rating trigger varies on a transaction by transaction basis; (ii) the municipal obligor has the right to cure by, but has failed in, posting collateral, replacing the U.S. Insurance Subsidiaries or otherwise curing the downgrade of the U.S. Insurance Subsidiaries; (iii) the transaction documents include as a condition that an event of default or termination event with respect to the municipal obligor has occurred, such as the rating of the municipal obligor being downgraded below the rating trigger set forth in such swap (which rating trigger varies on a transaction by transaction basis), and such condition has been met; (iv) the bank counterparty has elected to terminate the swap; (v) a termination payment is payable by the municipal obligor; and (vi) the municipal obligor has failed to make the termination payment payable by it. Conversely, no termination payment would be owed in such cases if the transaction documents include as a condition that an underlying event of default or termination event with respect to the municipal obligor has occurred, such as the rating of the municipal obligor being downgraded below a specified rating trigger, and such condition has not been met. Taking into consideration whether the rating of the municipal obligor is below any applicable specified trigger, if the financial strength ratings of the U.S. Insurance Subsidiaries were downgraded below “A-” by S&P Global Ratings, a division of Standard & Poor’s Financial Services LLC (S&P) or below “A3” by Moody’s Investors Service, Inc. (Moody’s), and the conditions giving rise to the obligation of the U.S. Insurance Subsidiaries to make a payment under the swap policies were all satisfied, then the U.S. Insurance Subsidiaries could pay claims in an amount not exceeding approximately $21 million in respect of such termination payments. As another example, with respect to variable rate demand obligations (VRDOs) for which a bank has agreed to provide a liquidity facility, a downgrade of AGM or AGC may provide the bank with the right to give notice to bondholders that the bank will terminate the liquidity facility, causing the bondholders to tender their bonds to the bank. Bonds held by the bank accrue interest at a “bank bond rate” that is higher than the rate otherwise borne by the bond (typically the prime rate plus 2.00% – 3.00%, and capped at the lesser of 25% and the maximum legal limit). In the event the bank holds such bonds for longer than a specified period of time, usually 90-180 days, the bank has the right to demand accelerated repayment of bond principal, usually through payment of equal installments over a period of not less than five years. In the event that a municipal obligor is unable to pay interest accruing at the bank bond rate or to pay principal during the shortened amortization period, a claim could be submitted to AGM or AGC under its financial guaranty policy. As of December 31, 2021, AGM and AGC had insured approximately $1.7 billion net par of VRDOs, of which approximately $25 million of net par constituted VRDOs issued by municipal obligors rated BBB- or lower pursuant to the Company’s internal rating. The specific terms relating to the rating levels that trigger the bank’s termination right, and whether it is triggered by a downgrade by one rating agency or a downgrade by all rating agencies then rating the insurer, vary depending on the transaction. In addition, AGM may be required to pay claims in respect of AGMH’s former financial products business if Dexia SA and its affiliates, from which the Company had purchased AGMH and its subsidiaries, do not comply with their obligations following a downgrade of the financial strength rating of AGM. A downgrade of the financial strength rating of AGM could trigger a payment obligation of AGM in respect to AGMH’s former guaranteed investment contracts (GIC) business. Most GICs insured by AGM allow for the termination of the GIC contract and a withdrawal of GIC funds at the option of the GIC holder in the event of a downgrade of AGM below a specified threshold, generally below A- by S&P or A3 by Moody’s. AGMH’s former subsidiary FSA Asset Management LLC is expected to have sufficient eligible and liquid assets to satisfy any expected withdrawal and collateral posting obligations resulting from future rating actions affecting AGM. Reinsurance The Company assumes financial guaranty exposure (Assumed Financial Guaranty Business) from third-party insurers, primarily other monoline financial guaranty companies that currently are in runoff (Legacy Monoline Insurers). The Company’s Assumed Financial Guaranty Business represents $16.3 billion, or approximately 4.4%, of the Company’s total gross financial guaranty insured exposure of $367.8 billion, as measured by insured debt service, as of December 31, 2021. The Company’s assumed reinsurance agreements with the Legacy Monoline Insurers are generally subject to termination at the option of the ceding company: (i) if the Company fails to meet certain financial and regulatory criteria; (ii) if the Company fails to maintain a specified minimum financial strength rating(s); or (iii) upon certain changes of control of the Company. Upon termination due to one of the above events, the Company typically would be required to return to the ceding company unearned premiums (net of ceding commissions) and loss reserves, calculated on a U.S. statutory basis, attributable to the Assumed Financial Guaranty Business (plus in certain cases, an additional required amount), after which the Company would be released from liability with respect to such business. As of December 31, 2021, if each third-party insurer ceding financial guaranty business to any of the Company’s insurance subsidiaries had a right to recapture such business, and chose to exercise such right, the aggregate amounts that AGC and AG Re could be required to pay to all such companies would be approximately $233 million and $33 million, respectively. The Company also assumes specialty business at AGRO. AGRO’s assumed reinsurance agreements in respect of this specialty business generally require it to post collateral for the ceding insurer if AGRO fails to maintain a specified minimum financial strength rating(s). If S&P downgrades AGRO’s financial strength rating (currently “AA”) below “A-”, and A.M. Best Company, Inc. downgrades AGRO’s financial strength rating (currently “A+”) below “A-”, AGRO would be required to post, as of December 31, 2021, up to an estimated $14 million of collateral in respect of its assumed specialty business. The Company cedes portions of its gross insured financial guaranty exposure (Ceded Financial Guaranty Business) to third-party insurers. This Ceded Financial Guaranty Business represents $410 million, or approximately 0.1%, of the Company’s total gross insured exposure of $367.8 billion, as measured by insured debt service, as of December 31, 2021. The Company also cedes $534 million of its $1.6 billion in gross insured specialty insurance and reinsurance business. In 2020, the Company reassumed $336 million in par, including $118 million in net par of Puerto Rico exposures, from its largest remaining legacy third-party financial guaranty reinsurer, resulting in a commutation gain of $38 million in 2020. Effect of Reinsurance The following table presents the components of premiums and losses reported in the consolidated statements of operations attributable to the Assumed and Ceded Businesses (both financial guaranty and specialty). Effect of Reinsurance on Premiums Written, Premiums Earned and Loss and LAE (Benefit) Year Ended December 31, 2021 2020 2019 (in millions) Premiums Written: Direct $ 355 $ 453 $ 663 Assumed 22 1 14 Ceded (1) — 13 10 Net $ 377 $ 467 $ 687 Premiums Earned: Direct $ 385 $ 448 $ 429 Assumed 32 41 54 Ceded (3) (4) (7) Net $ 414 $ 485 $ 476 Loss and LAE (benefit): Direct (2) $ (203) $ 182 $ 101 Assumed 5 24 2 Ceded (22) (3) (10) Net $ (220) $ 203 $ 93 ____________________ (1) Positive ceded premiums written were due to commutations and changes in expected debt service schedules. (2) See Note 5, Expected Loss to be Paid (Recovered), for additional information on the economic loss development (benefit). |
Contracts Accounted for as Cred
Contracts Accounted for as Credit Derivatives | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Contracts Accounted for as Credit Derivatives | Contracts Accounted for as Credit Derivatives The portfolio of outstanding exposures discussed in Note 4, Outstanding Exposure, and Note 5, Expected Loss to be Paid (Recovered), includes contracts that are accounted for as insurance contracts, derivatives, and FG VIEs. Amounts presented in this note relate only to contracts accounted for as derivatives. See Note 6, Contracts Accounted for as Insurance for amounts that relate to insurance and Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles for amounts that are accounted for as FG VIEs. The Company’s credit derivatives (financial guaranty contracts that meet the definition of a derivative in accordance with GAAP) are primarily CDS and also include interest rate swaps. Credit derivative transactions are governed by International Swaps and Derivatives Association, Inc. documentation and have certain characteristics that differ 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. Accounting Policy Credit derivatives are recorded at fair value. Changes in fair value are reported in “net change in fair value of credit derivatives” in the consolidated statement of operations. The fair value of credit derivatives is reflected as either net assets or net liabilities determined on a contract-by-contract basis in the Company’s consolidated balance sheets. See Note 10, Fair Value Measurement, for a discussion on the fair value methodology for credit derivatives. Credit Derivative Net Par Outstanding by Sector The components of the Company’s credit derivative net par outstanding by sector are presented in the table below. The estimated remaining weighted average life of credit derivatives was 13.2 years and 11.9 years as of December 31, 2021 and December 31, 2020, respectively. Credit Derivatives (1) As of December 31, 2021 As of December 31, 2020 Sector Net Par Net Fair Value Asset (Liability) Net Par Net Fair Value Asset (Liability) (in millions) U.S. public finance $ 1,705 $ (72) $ 1,980 $ (38) Non-U.S. public finance 1,800 (48) 2,257 (27) U.S. structured finance 400 (32) 997 (30) Non-U.S. structured finance 135 (2) 137 (5) Total $ 4,040 $ (154) $ 5,371 $ (100) ____________________ (1) Expected loss to be paid was $5 million as of December 31, 2021 and expected recoveries were $1 million as of December 31, 2020. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of December 31, 2021 As of December 31, 2020 Rating Category Net Par % of Total Net Par % of Total (dollars in millions) AAA $ 1,503 37.2 % $ 1,796 33.5 % AA 1,283 31.8 1,541 28.7 A 514 12.7 758 14.1 BBB 677 16.7 1,156 21.5 BIG 63 1.6 120 2.2 Credit derivative net par outstanding $ 4,040 100.0 % $ 5,371 100.0 % Fair Value of Credit Derivatives Fair Value Gains (Losses) on Credit Derivatives Year Ended December 31, 2021 2020 2019 (in millions) Realized gains (losses) and other settlements $ (3) $ (4) $ (27) Net unrealized gains (losses) (55) 85 21 Fair value gains (losses) on credit derivatives $ (58) $ 81 $ (6) During 2021, fair value losses on credit derivatives were generated primarily as a result of the decreased cost to buy protection on AGC, as the market cost of AGC’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, which management refers to as the CDS spread on AGC, decreased, the implied spreads that the Company would expect to receive on these transactions increased. These losses were partially offset by price improvement in certain underlying collateral and the termination of certain CDS transactions. During 2020, fair value gains on credit derivatives were generated primarily as a result of the increased cost to buy protection on AGC. Some of the unrealized fair value gains from the increased cost to buy protection on AGC was limited by certain transactions reaching their floor levels. As of December 31, 2020, approximately 51% of the fair value of CDS contracts was related to transactions that had reached their floors, which consisted of two transactions with $2.4 billion in net par outstanding. During 2019, fair value losses on credit derivatives were generated primarily as a result of the decreased cost to buy protection on AGC, changes in discount rates and amount paid in relation to certain structured finance CDS transactions. These losses were partially offset by price improvements on the underlying collateral of the Company’s CDS. 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 change in fair value of each transaction may vary considerably. The fair value of credit derivative contracts also reflects the Company’s own credit cost based on the price to purchase credit protection on AGC. The Company determines its own credit risk primarily based on quoted CDS prices traded on AGC at each balance sheet date. CDS Spread on AGC (in basis points) As of December 31, 2021 December 31, 2020 December 31, 2019 Five-year CDS spread 49 132 41 One-year CDS spread 16 36 9 Fair Value of Credit Derivative Assets (Liabilities) and Effect of AGC Credit Spread As of December 31, 2021 December 31, 2020 (in millions) Fair value of credit derivatives before effect of AGC credit spread $ (225) $ (313) Plus: Effect of AGC credit spread 71 213 Net fair value of credit derivatives $ (154) $ (100) The fair value of CDS contracts as of December 31, 2021, before considering the benefit applicable to AGC’s credit spread, is a direct result of the relatively wider credit spreads under current market conditions compared to those at the time of underwriting for certain underlying credits with longer tenor. Collateral Posting for Certain Credit Derivative Contracts |
Investments and Cash
Investments and Cash | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments and Cash | Investments and Cash Accounting Policy Fixed-maturity debt securities are classified as available-for-sale and are measured at fair value. Loss mitigation securities are accounted for based on their underlying investment type, excluding the effects of the Company’s insurance. Unrealized gains and losses that are not associated with credit related factors are reported as a component of accumulated OCI (AOCI), net of deferred income taxes, in shareholders’ equity. Available-for-sale fixed-maturity securities are recorded on a trade-date basis. Short-term investments, which are those investments with a maturity of less than one year at time of purchase, are carried at fair value and include amounts deposited in certain money market funds. Other invested assets primarily consist of equity method investments. The Company reports its interest in the earnings of equity method investments in “equity in earnings of investees” in the consolidated statement of operations. Where financial information of investees are not received on a timely basis, such results are reported on a lag. The Company classifies distributions received from equity method investments using the cumulative earnings approach in the consolidated statements of cash flows. Under the cumulative earnings approach, distributions received up to the amount of cumulative equity in earnings recognized are treated as returns on investment within operating cash flows and those in excess of that amount are treated as returns of investment within investing cash flows. Distributions from equity method investments for which the Company elected the fair value option are classified as investing activities. AssuredIM Funds, in which AGAS (primarily) and other subsidiaries invest, and where the Company has been deemed to be the primary beneficiary, are not reported in “investments” on the consolidated balance sheets, but rather, such AssuredIM Funds are consolidated and reported in “assets of consolidated investment vehicles” and “liabilities of consolidated investment vehicles”, with the portion not owned by AGAS and other subsidiaries presented as either redeemable or non-redeemable noncontrolling interests (NCI). See Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for further information regarding the CIVs. Cash consists of cash on hand, demand deposits for all entities, and cash and cash equivalents for consolidated AssuredIM Funds. See Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Net investment income primarily includes the income earned on fixed-maturity securities and short-term investments, including amortization of premiums and accretion of discounts. For mortgage-backed securities and any other securities for which there is prepayment risk, prepayment assumptions are evaluated quarterly and revised as necessary. For securities other than PCD securities, any necessary adjustments due to changes in effective yields and maturities are recognized in net investment income using the retrospective method. Net realized investment gains (losses) include sales of investments, which are determined using the specific identification method, reductions to amortized cost of available-for-sale investments that have been written down due to the Company’s intent to sell them or it being more likely than not that the Company will be required to sell them, and the change in allowance for credit losses (including accretion) for periods starting on or after January 1, 2020, or other-than-temporary impairments for reporting periods prior to January 1, 2020. For all securities that were originally purchased with credit deterioration, accrued interest is not separately presented, but rather is a component of the amortized cost of the instrument. For all other available-for-sale securities, a separate amount for accrued interest is reported in “other assets”. Credit Losses Credit Impairment – Subsequent to the Adoption of the Financial Instruments Credit Losses Standard on January 1, 2020: For fixed-maturity securities for which a decline in the fair value below the amortized cost is due to credit related factors, an allowance is established for the difference between the estimated recoverable value and amortized cost with a corresponding charge to net realized investment gains (losses). The allowance for credit losses is limited to the difference between amortized cost and fair value. The estimated recoverable value is the present value of cash flows expected to be collected, as determined by management. The difference between fair value and amortized cost that is not associated with credit related factors is presented as a component of AOCI. When estimating future cash flows for fixed-maturity securities, management considers the historical performance of underlying assets and available market information as well as bond-specific considerations. In addition, the process of estimating future cash flows includes, but is not limited to, the following critical inputs, which vary by security type: • the extent to which fair value is less than amortized cost; • credit ratings; • any adverse conditions specifically related to the security, industry, and/or geographic area; • changes in the financial condition of the issuer, or underlying loan obligors; • general economic and political factors; • remaining payment terms of the security; • prepayment speeds; • expected defaults; and • the value of any embedded credit enhancements. Credit losses are reassessed each period. The allowance for credit losses and the corresponding charge to net realized investment gains (losses) can be reversed if conditions change, however, the allowance for credit losses will never be reduced below zero. When the Company determines that all or a portion of a fixed-maturity security is uncollectible, the uncollectible amortized cost amount is written off with a corresponding reduction to the allowance for credit losses. If cash flows that were previously written off are collected, the recovery is recognized in net realized investment gains (losses). An allowance for credit loss is not established upon initial recognition of an available-for-sale debt security, except for purchased credit deteriorated (PCD) securities. PCD securities are defined as financial assets that, as of the date of acquisition, have experienced a more-than-insignificant deterioration in credit quality since origination, as determined by the Company’s assessment. An initial allowance for credit loss is recognized on the date of acquisition of PCD securities. The amortized cost of PCD securities on the date of acquisition is equal to the purchase price plus the allowance for credit loss, but no credit loss expense is recognized in the statement of operations on the date of acquisition. After the date of acquisition, deterioration (or improvement) in credit will result in an increase (or decrease) to the allowance and an offsetting credit loss expense (or benefit). To measure this, the Company performs a discounted cash flow analysis. For PCD securities that are also beneficial interests, favorable or adverse changes in expected cash flows are recognized as a decrease (or increase) to the allowance for credit losses. Those changes in expected cash flows that are not captured through the allowance are reflected as a prospective adjustment of the security’s yield within net investment income. The Company has elected to not measure credit losses on its accrued interest receivable and instead writes off accrued interest at the earliest to occur: (i) the date it is deemed uncollectible; or (ii) when it is six months past due. All write-offs of accrued interest are recorded as a reduction to net investment income in the consolidated statements of operations. For securities the Company intends to sell and securities for which it is more-likely-than-not that the Company will be required to sell the security before recovery of its amortized cost, and the fair value of the security is below amortized cost, the amortized cost is written down to current fair value, with a corresponding charge to net realized investment gains (losses). No allowance is established in these situations and any previously recorded allowance is reversed. The new cost basis is not adjusted for subsequent increases in estimated fair value. The length of time an instrument has been impaired or the effect of changes in foreign exchange rates are not considered in the Company’s assessment of credit loss. The assessment of whether a credit loss exists is performed each reporting period. Credit Impairment – Prior to the Adoption of the Financial Instruments Credit Losses Standard on January 1, 2020: Changes in fair value for other-than-temporarily-impaired securities were bifurcated between credit losses and non-credit changes in fair value. The credit loss on other-than-temporarily-impaired securities were reported in “net realized investment gains (losses).” The Company had a formal review process to determine other-than-temporary impairment (OTTI) for securities in its investment portfolio where there was no intent to sell and it was not more-likely-than-not that it would have been required to sell the security before recovery. Factors considered when assessing impairment included: • a decline in the market value of a security by 20% or more below amortized cost for a continuous period of at least six months; • a decline in the market value of a security for a continuous period of 12 months; • recent credit downgrades of the applicable security or the issuer by rating agencies; • the financial condition of the applicable issuer; • whether loss of investment principal is anticipated; • the impact of foreign exchange rates; and • whether scheduled interest payments are past due. The Company assessed the ability to recover the amortized cost by comparing the net present value of projected future cash flows with the amortized cost of the security. If the security was in an unrealized loss position and its net present value was less than the amortized cost of the investment, an OTTI was recorded. The net present value was calculated by discounting the Company’s estimate of projected future cash flows at the effective interest rate implicit in the debt security at the time of purchase. The Company’s estimates of projected future cash flows were driven by assumptions regarding probability of default and estimates regarding timing and amount of recoveries associated with a default. The Company developed these estimates using information based on historical experience, credit analysis and market observable data, such as industry analyst reports and forecasts, sector credit ratings and other relevant data. For mortgage-backed and asset-backed securities, cash flow estimates also included prepayment and other assumptions regarding the underlying collateral such as default rates, recoveries and changes in value. In addition to the factors noted above, the Company also sought advice from its outside investment managers. The assumptions used in these projections required the use of significant management judgment. If management's assessment changed in the future, the Company may have ultimately recorded a loss after having originally concluded that the decline in value was temporary. For securities in an unrealized loss position where the Company had the intent to sell or it is more-likely-than-not that it would be required to sell the security before recovery, the entire impairment loss (i.e., the difference between the security’s fair value and its amortized cost) was recorded in the consolidated statements of operations. Credit losses reduced the amortized cost of impaired securities. The amortized cost basis was adjusted for accretion and amortization (using the effective interest method) with a corresponding entry recorded in “net investment income”. Investment Portfolio The investment portfolio consists of both externally and internally managed portfolios. The majority of the investment portfolio is managed by three outside managers and AssuredIM, for which the Company has established investment guidelines regarding credit quality, exposure to a particular sector and exposure to a particular obligor within a sector. The internally managed portfolio primarily consists of the Company’s investments in: (i) securities acquired for loss mitigation purposes; (ii) securities managed under an Investment Management Agreement (IMA) with AssuredIM; and (iii) other investments including certain fixed-maturity and short-term securities and equity method investments. Equity method investments primarily consist of generally less liquid alternative investments including: an investment in renewable and clean energy and private equity funds. The Company had unfunded commitments of $95 million as of December 31, 2021 related to certain of the Company’s alternative investments. Investment Portfolio Carrying Value As of December 31, 2021 2020 (in millions) Fixed-maturity securities (1): Externally managed $ 6,843 $ 7,301 Loss mitigation securities and other 818 925 AssuredIM managed 541 547 Short-term investments (2) 1,225 851 Other invested assets: Equity method investments - AssuredIM Funds (3) — 91 Equity method investments - other 169 107 Other 12 16 Total $ 9,608 $ 9,838 ____________________ (1) 7.5% and 8.1% of fixed-maturity securities were rated BIG, as of December 31, 2021 and December 31, 2020, respectively, consisting primarily of loss mitigation securities. (2) Weighted average credit rating of AAA as of both December 31, 2021 and December 31, 2020, based on the lower of the Moody’s and S&P classifications. (3) As of December 31, 2021, this equity method investment was consolidated. See Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for further information regarding the CIVs. The U.S. Insurance Subsidiaries, through their jointly-owned investment subsidiary, AGAS, are authorized to invest up to $750 million in AssuredIM Funds. As of December 31, 2021, the U.S. Insurance Subsidiaries had total commitments to AssuredIM Funds of $702 million, of which $458 million represented net invested capital and $244 million was undrawn. This capital was committed to several funds, each dedicated to a single strategy, including CLOs, asset-based finance, healthcare structured capital and municipal bonds. As of December 31, 2021 and December 31, 2020, the fair value of AGAS’ interest in AssuredIM Funds was $543 million and $345 million, respectively. Accrued investment income was $69 million and $75 million as of December 31, 2021 and December 31, 2020, respectively. In 2021, 2020 and 2019, the Company did not write off any accrued investment income. Fixed-Maturity Securities by Security Type As of December 31, 2021 Security Type Percent Amortized Allowance for Credit Losses Gross Gross Estimated AOCI Weighted Average Credit Rating (2) (dollars in millions) Obligations of state and political subdivisions 43 % $ 3,386 $ (12) $ 290 $ (4) $ 3,660 $ — AA- U.S. government and agencies 2 123 — 7 (2) 128 — AA+ Corporate securities (3) 32 2,516 (1) 111 (21) 2,605 (4) A Mortgage-backed securities (4): RMBS 6 454 (17) 24 (24) 437 (24) BBB+ Commercial mortgage-backed securities (CMBS) 4 332 — 14 — 346 — AAA Asset-backed securities: CLOs 6 457 — 1 — 458 — AA- Other 5 420 (12) 26 (2) 432 (2) CCC+ Non-U.S. government securities 2 134 — 5 (3) 136 — AA- Total fixed-maturity securities 100 % $ 7,822 $ (42) $ 478 $ (56) $ 8,202 $ (30) A+ Fixed-Maturity Securities by Security Type As of December 31, 2020 Security Type Percent Amortized Allowance for Credit Losses Gross Gross Estimated AOCI Weighted Average Credit Rating (2) (dollars in millions) Obligations of state and political subdivisions 44 % $ 3,633 $ (11) $ 369 $ — $ 3,991 $ — AA- U.S. government and agencies 2 151 — 12 (1) 162 — AA+ Corporate securities (3) 29 2,366 (42) 210 (21) 2,513 (16) A Mortgage-backed securities (4): RMBS 7 571 (19) 35 (21) 566 (20) A- CMBS 4 358 — 29 — 387 — AAA Asset-backed securities: CLOs 7 531 — 2 (1) 532 — AA- Other 5 427 (6) 31 (3) 449 (3) CCC+ Non-U.S. government securities 2 167 — 10 (4) 173 — AA- Total fixed-maturity securities 100 % $ 8,204 $ (78) $ 698 $ (51) $ 8,773 $ (39) A+ ____________________ (1) Based on amortized cost. (2) Ratings represent the lower of the Moody’s and S&P classifications, except for loss mitigation or risk management securities, which use internal ratings classifications. The Company’s portfolio primarily consists of high-quality, liquid instruments. (3) Includes securities issued by taxable universities and hospitals. (4) U.S. government-agency obligations were approximately 31% of mortgage-backed securities as of December 31, 2021 and 35% as of December 31, 2020, based on fair value. Gross Unrealized Loss by Length of Time for Fixed-Maturity Securities for Which a Credit Loss was Not Recorded As of December 31, 2021 Less than 12 months 12 months or more Total Fair Gross Unrealized Fair Gross Unrealized Fair Gross Unrealized (dollars in millions) Obligations of state and political subdivisions $ 117 $ (3) $ 10 $ (1) $ 127 $ (4) U.S. government and agencies 26 — 32 (2) 58 (2) Corporate securities 407 (12) 70 (5) 477 (17) Mortgage-backed securities: RMBS 4 — — — 4 — Asset-backed securities: CLOs 226 — — — 226 — Non-U.S. government securities 24 (2) 8 (1) 32 (3) Total $ 804 $ (17) $ 120 $ (9) $ 924 $ (26) Number of securities (1) 355 60 410 Gross Unrealized Loss by Length of Time for Fixed-Maturity Securities for Which a Credit Loss was Not Recorded As of December 31, 2020 Less than 12 months 12 months or more Total Fair Gross Unrealized Fair Gross Unrealized Fair Gross Unrealized (dollars in millions) Obligations of state and political subdivisions $ 1 $ — $ — $ — $ 1 $ — U.S. government and agencies 22 (1) — — 22 (1) Corporate securities 73 — 45 (5) 118 (5) Mortgage-backed securities: RMBS 15 (1) 1 — 16 (1) CMBS — — 1 — 1 — Asset-backed securities: CLOs 251 (1) 81 — 332 (1) Non-U.S. government securities — — 38 (4) 38 (4) Total $ 362 $ (3) $ 166 $ (9) $ 528 $ (12) Number of securities (1) 94 46 139 ___________________ (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. The Company considered the credit quality, cash flows, interest rate movements, ability to hold a security to recovery and intent to sell a security in determining whether a security had a credit loss. The Company has determined that the unrealized losses recorded as of December 31, 2021 and December 31, 2020 were not related to credit quality. In addition, the Company currently does not intend to and is not required to sell investments in an unrealized loss position prior to expected recovery in value. As of December 31, 2021, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, 23 securities had unrealized losses in excess of 10% of their carrying value, whereas as of December 31, 2020, 11 securities had unrealized losses in excess of 10% of their carrying value. The total unrealized loss for these securities was $6 million as of December 31, 2021 and $8 million as of December 31, 2020. The amortized cost and estimated fair value of available-for-sale fixed-maturity securities by contractual maturity as of December 31, 2021 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 December 31, 2021 Amortized Estimated (in millions) Due within one year $ 224 $ 229 Due after one year through five years 1,816 1,896 Due after five years through 10 years 1,711 1,802 Due after 10 years 3,285 3,492 Mortgage-backed securities: RMBS 454 437 CMBS 332 346 Total $ 7,822 $ 8,202 Based on fair value, investments and other assets 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 totaled $243 million as of December 31, 2021 and $262 million, as of December 31, 2020. The investment portfolio also contains securities that are held in trust by certain AGL subsidiaries or otherwise restricted for the benefit of other AGL subsidiaries in accordance with statutory and regulatory requirements in the amount of $1,231 million and $1,511 million, based on fair value as of December 31, 2021 and December 31, 2020, respectively. There were no investments that were non-income producing for the years ended December 31, 2021 and December 31, 2020. Net Investment Income Net investment income is a function of the yield that the Company earns on fixed-maturity securities and short-term investments, and the size of such 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 securities in this portfolio. Net Investment Income Year Ended December 31, 2021 2020 2019 (in millions) Investment income: Externally managed $ 204 $ 231 $ 273 Loss mitigation securities and other 55 65 114 Managed by AssuredIM (1) 16 8 — Investment income 275 304 387 Investment expenses (6) (7) (9) Net investment income $ 269 $ 297 $ 378 ____________________ (1) Represents interest income on a portfolio of CLOs and municipal bonds managed by AssuredIM under an IMA. Realized Investment Gains (Losses) The table below presents the components of net realized investment gains (losses). Net Realized Investment Gains (Losses) Year Ended December 31, 2021 2020 2019 (in millions) Gross realized gains on sales available-for-sale securities $ 20 $ 27 $ 56 Gross realized losses on sales available-for-sale securities (5) (5) (3) Net foreign currency gains (losses) 2 6 3 Change in credit impairment and intent to sell (1) (7) (17) (35) Other net realized gains (losses) 5 7 1 Net realized investment gains (losses) $ 15 $ 18 $ 22 ____________________ (1) Credit impairment in 2021 was primarily due to loss mitigation securities. COVID-19 pandemic restrictions contributed to the increase in the allowance for credit losses in 2020. Credit impairment in 2019 was primarily attributable to foreign exchange losses and loss mitigation securities. The following table presents the roll forward of the credit losses on fixed-maturity securities for which the Company has recognized an allowance for credit losses in 2021 and 2020 or an OTTI in 2019 and for which unrealized loss was recognized in AOCI. Roll Forward of Credit Losses for Fixed-Maturity Securities Year Ended December 31, 2021 2020 2019 Allowance for Credit Losses OTTI (in millions) Balance, beginning of period $ 78 $ — $ 185 Effect of adoption of accounting guidance on credit losses on — 62 — Additions for securities for which credit 4 1 — Reductions for securities sold and other settlements (42) — (15) Additions (reductions) for credit losses on securities for 2 15 16 Balance, end of period $ 42 $ 78 $ 186 The Company recorded $6 million and $16 million in credit loss expense for the years ended December 31, 2021 and December 31, 2020, respectively. The Company did not purchase any securities with credit deterioration during the periods presented. Most of the Company’s securities with credit deterioration are loss mitigation or other risk management securities. Equity in Earnings of Investees Equity in Earnings of Investees Year Ended December 31, 2021 2020 2019 (in millions) AssuredIM Fund $ 30 $ 14 $ — Other 64 13 4 Total equity in earnings of investees (1) $ 94 $ 27 $ 4 ____________________ (1) Includes $36 million and $14 million for the year ended December 31, 2021 and December 31, 2020, respectively, related to fair value gains on investments at fair value option using NAV, as a practical expedient. There were no fair value gains (losses) on investments at fair value option using NAV as a practical expedient for 2019. Dividends received from equity method investments were $15 million, $10 million and $6 million for the years ended December 31, 2021, 2020 and 2019, respectively. The table below presents summarized financial information for equity method investments that meet, in aggregate, the requirements for disclosing summarized disclosures as of December 31, 2021. Amounts in the table below represent amounts reported in the consolidated financial statements as of December 31, 2021 and 2020, and for the years ended December 31, 2021, 2020 and 2019. The financial statements for the majority of these equity method investments are reported on a lag. Balance Sheet Data As of December, 31 2021 2020 (in millions) Total assets $ 1,543 $ 1,150 Total liabilities 412 499 Total equity 1,131 651 Statement of Operations Data Year Ended December 31, 2021 2020 2019 (in millions) Total revenues $ 548 $ 225 $ 94 Total expenses 64 84 67 Net income (loss) 484 141 26 |
Financial Guaranty Variable Int
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles | Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles Accounting Policy The types of entities that the Company assesses for consolidation principally include: (i) entities whose debt obligations the insurance subsidiaries insure in its financial guaranty business; and (ii) investment vehicles in which AGAS has a variable interest, and which AssuredIM manages (including CLOs that are collateralized financing entities (CFEs), CLO warehouses and AssuredIM Funds). For each of these types of entities, the Company first determines whether the entity is a VIE or a voting interest entity (VOE) which involves assessing whether the equity investment at risk is sufficient to cover the entity’s expected losses and whether the holders of the equity investment at risk (as a group) have substantive voting rights. For entities determined to be a VIE, and for which the Company has a variable interest, the Company assesses whether it is the primary beneficiary of the VIE. The Company determines whether it is the primary beneficiary of a VIE at the time it becomes involved with an entity and continuously reassesses whether it is the primary beneficiary. In determining whether it is the primary beneficiary, the Company considers all facts and circumstances, including an evaluation of economic interests in the VIE held directly and indirectly through related parties and entities under common control. The Company is the primary beneficiary of a VIE when it has both: (i) the power to direct the activities of a VIE that most significantly impact the entity’s economic performance; and (ii) the obligation to absorb losses of the entity that could potentially be significant to the VIE or the right to receive benefits from the entity that could potentially be significant to the VIE. If the Company concludes that it is the primary beneficiary of the VIE, it consolidates the VIE in the Company’s consolidated financial statements. If, as part of its continual reassessment of the primary beneficiary determination, the Company concludes that it is no longer the primary beneficiary of a VIE, the Company deconsolidates the entity and recognizes the impact of that change on the consolidated financial statements. If the entity being evaluated for consolidation is not initially determined to be a VIE (or, later, if a significant event occurs that causes an entity to no longer qualify as a VIE), then the entity would be a VOE. Consolidation generally is required when the Company, directly or indirectly, has a controlling financial interest of the VOE being assessed. FG VIEs The Company has elected the fair value option for assets and liabilities of FG VIEs. Upon initial adoption of the new accounting guidance for VIEs in 2010, the Company elected to fair value its FG VIE assets and liabilities as the carrying amount transition method was not practical. To allow for consistency in the accounting for its consolidated FG VIE assets and liabilities, the Company has elected the fair value option for FG VIEs that it has subsequently consolidated. The Company records the fair value of FG VIEs’ assets and liabilities based on modeled prices. The net change in the fair value of consolidated FG VIEs’ assets and liabilities is reported in “fair value gains (losses) on FG VIEs” in the consolidated statements of operations, except for change in fair value of FG VIEs’ liabilities with recourse caused by changes in instrument-specific credit risk (ISCR) which is separately presented in OCI. 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 VIEs’ liabilities with recourse attributable to the ISCR 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. The Company has limited contractual rights to obtain the financial records of its consolidated FG VIEs. The FG VIEs do not prepare separate GAAP financial statements; therefore, the Company compiles GAAP financial information for them based on trustee reports prepared by and received from third parties. Such trustee reports are not available to the Company until approximately 30 days after the end of any given period. The time required to perform adequate reconciliations and analyses of the information in these trustee reports results in a one quarter lag in reporting the FG VIEs’ activities. As a result of the lag in reporting FG VIEs, cash and short-term investments do not reflect cash outflows to the holders of the debt issued by the FG VIEs for claim payments made by the Company’s insurance subsidiaries to the consolidated FG VIEs until the subsequent reporting period. The Company updates the model assumptions each reporting period for the most recent available information, which incorporates the impact of material events that may have occurred since the quarter lag date. The cash flows generated by the FG VIEs’ assets are classified as cash flows from investing activities. Paydowns of FG VIEs’ liabilities are supported by the cash flows generated by FG VIEs’ assets and, for liabilities with recourse, possibly claim payments made by AGM or AGC under their financial guaranty insurance contracts. Paydowns of FG VIEs’ liabilities both with and without recourse are classified as cash flows used in financing activities. Interest income, interest expense and other expenses of the FG VIEs’ assets and liabilities are classified as operating cash flows. Claim payments made by AGM and AGC under the financial guaranty contracts issued to the FG VIEs are eliminated upon consolidation and therefore such claim payments are treated as paydowns of FG VIEs’ liabilities and as a financing activity as opposed to an operating activity of AGM and AGC. CIVs CIVs consist of certain AssuredIM Funds, CLOs and CLO warehouses in which the Company is the primary beneficiary. The consolidated AssuredIM Funds are investment companies for accounting purposes and therefore account for their underlying investments at fair value. The consolidated CLOs are CFEs, and therefore, the debt issued by, and loans held by, the consolidated CLOs are measured under the fair value option using the CFE practical expedient. The assets and liabilities of consolidated CLO warehouses managed by AssuredIM (collectively, the consolidated CLOs) are also reported at fair value. Changes in the fair value of assets and liabilities of CIVs, interest income and interest expense are reported in “fair value gains (losses) on consolidated investment vehicles” in the consolidated statements of operations. Certain AssuredIM private equity funds, whose financial statements are not prepared in time for the Company’s periodic reporting, are reported on a quarter lag. Upon consolidation of an AssuredIM Fund, the Company records NCI for the portion of each fund owned by employees and any third-party investors. Redeemable NCI is classified outside of shareholders’ equity, within temporary equity, and non-redeemable NCI is presented within shareholders’ equity in the consolidated balance sheets. Amendments to redemption features may result in reclassifications between redeemable NCI and non-redeemable NCI. Investment transactions in the consolidated AssuredIM Funds are recorded on a trade/contract date basis. Money market funds in consolidated AssuredIM Funds are classified as cash equivalents and carried at cost, consistent with those funds’ separately issued financial statements, and therefore the Company has included these amounts in the total amount of cash on the consolidated statements of cash flows. Cash flows of the CIVs attributable to such entities’ investment purchases and dispositions, as well as operating expenses of the investment vehicles, are presented as cash flow from operating activities in the consolidated statements of cash flows. Borrowings under credit facilities, debt issuances and repayments, and capital cash flows to and from investors are presented as financing activities, consistent with investment company guidelines. FG VIEs The insurance subsidiaries provide financial guaranties with respect to debt obligations of special purpose entities, including VIEs, but do not act as the servicer or collateral manager for any VIE obligations they guarantee. The transaction structure generally provides certain financial protection to the insurance subsidiaries. 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), the structure allows defaults of the securitized assets before a default is experienced on the structured finance obligation guaranteed by the insurance subsidiaries. In the case of first loss, the insurance subsidiaries’ financial guaranty insurance policy only covers a senior layer of losses experienced by multiple obligations issued by the 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 VIEs, generate interest income that is in excess of the interest payments on the debt issued by the VIE. 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 VIE (thereby, creating additional overcollateralization), or distributed to equity or other investors in the transaction. The insurance subsidiaries are not primarily liable for the debt obligations issued by the VIEs they insure 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 insurance 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 FG VIEs’ liabilities. Net fair value gains and losses on FG VIEs are expected to reverse to zero by maturity of the FG VIEs’ debt, except for net premiums received and net claims paid by the insurance subsidiaries under the financial guaranty insurance contract. The Company’s estimate of expected loss to be paid (recovered) for FG VIEs is included in Note 5, Expected Loss to be Paid (Recovered). As part of the terms of its financial guaranty contracts, the insurance subsidiaries, under their insurance contracts, obtain certain protective rights with respect to the VIE that give them 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 insurance subsidiaries typically are not deemed to control the VIE; however, once a trigger event occurs, the insurance subsidiaries’ 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 insurance subsidiaries and, accordingly, where they are obligated to absorb VIE losses or receive benefits that could potentially be significant to the VIE. The insurance subsidiaries are deemed to be the control party for certain VIEs under GAAP, typically when their protective rights give them the power to both terminate and replace the transaction’s servicer or collateral manager, which are characteristics specific to the Company’s financial guaranty contracts. If the protective rights that could make the insurance subsidiaries the control party have not been triggered, then the VIE is not consolidated. If the insurance subsidiaries are deemed no longer to have those protective rights, the VIE is deconsolidated. The FG VIEs’ liabilities that are guaranteed by the insurance subsidiaries are considered to be with recourse, because they guarantee the payment of principal and interest regardless of the performance of the related FG VIEs’ assets. FG VIEs’ liabilities that are not guaranteed by the insurance subsidiaries are considered to be without recourse, because the payment of principal and interest of these liabilities is wholly dependent on the performance of the FG VIEs’ assets. Number of Consolidated FG VIEs Year Ended December 31, 2021 2020 2019 Beginning of year 25 27 31 Consolidated 1 2 1 Deconsolidated (1) (2) (3) Matured — (2) (2) December 31 25 25 27 The table below shows the carrying value of the consolidated FG VIEs’ assets and liabilities in the consolidated balance sheets, segregated by the types of assets that collateralize the respective debt obligations for FG VIEs’ liabilities with recourse. Consolidated FG VIEs by Type of Collateral As of December 31, 2021 2020 (in millions) FG VIEs’ assets: U.S. RMBS first lien $ 221 $ 243 U.S. RMBS second lien 39 53 Total FG VIEs’ assets $ 260 $ 296 FG VIEs’ liabilities with recourse: U.S. RMBS first lien $ 227 $ 260 U.S. RMBS second lien 42 56 Total FG VIEs’ liabilities with recourse $ 269 $ 316 FG VIEs’ liabilities without recourse: U.S. RMBS first lien $ 20 $ 17 Total FG VIEs’ liabilities without recourse $ 20 $ 17 The change in the ISCR of the FG VIEs’ assets held as of December 31, 2021, 2020 and 2019 that was reported in the consolidated statements of operations for 2021, 2020 and 2019 were gains of $14 million, $6 million and $39 million, respectively. The ISCR amount is determined by using expected cash flows at the original date of consolidation, discounted at the effective yield, less current expected cash flows discounted at that same original effective yield. The inception-to-date change in fair value of the FG VIEs’ liabilities with recourse attributable to the ISCR is calculated by holding all current period assumptions constant for each security and isolating the effect of the change in the insurance subsidiaries’ CDS spread from the most recent date of consolidation to the current period. In general, if the insurance subsidiaries’ CDS spread tightens, more value will be assigned to insurance subsidiaries’ credit; however, if the insurance subsidiaries’ CDS spread widens, less value is assigned to the insurance subsidiaries’ credit. As of December 31, 2021 2020 (in millions) Excess of unpaid principal over fair value of: FG VIEs’ assets $ 255 $ 274 FG VIEs’ liabilities with recourse 12 15 FG VIEs’ liabilities without recourse 15 16 Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due 52 68 Unpaid principal for FG VIEs’ liabilities with recourse (1) 281 330 ____________________ (1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2021 through 2038. CIVs CIVs consist of certain AssuredIM Funds, CLOs and CLO warehouses in which the Company is the primary beneficiary. The table below summarizes the number of consolidated CIVs by type as of December 31, 2021 and December 31, 2020. As of both dates, the Company consolidated one CIV that meets the criteria for a VOE, because the Company possesses substantially all of the economics and all of the decision-making of that CIV. Number of Consolidated CIVs by Type As of December 31, CIV Type 2021 2020 Funds 8 7 CLOs 9 3 CLO warehouses 3 1 Total number of consolidated CIVs 20 11 The table below summarizes the change in the number of consolidated CIVs during each of the periods. During 2021, five consolidated CLO warehouses became CLOs. During 2020, two consolidated CLO warehouses became CLOs. Roll Forward of Number of Consolidated CIVs Year Ended December 31, 2021 2020 2019 Beginning of year 11 4 — Consolidated 10 7 4 Deconsolidated (1) — — December 31 20 11 4 As of December 31, 2021 and December 31, 2020, all but one of the CIVs are VIEs. The Company consolidates investment vehicles when it is deemed to be the primary beneficiary, based on its power to direct the most significant activities of each VIE and its level of economic interest in the entities. In the fourth quarter of 2021, an AssuredIM Fund secured additional capital commitments, triggering a reconsideration of the Company’s previous conclusion not to consolidate that AssuredIM Fund (the Fund). As a result of the reconsideration, the Company concluded that it became the Fund’s primary beneficiary, as the dilution of the Fund’s lead investor’s interest caused that investor to lose its substantive ability to dissolve the Fund and remove the Company as the Fund’s general partner. Accordingly, the Company consolidated the Fund and recognized a gain on consolidation of $31 million. Total assets and liabilities consolidated were $273 million and $33 million, respectively. In addition, the consolidation resulted in a non-controlling interest of $89 million. There were no other gains or losses on consolidation or deconsolidation during the periods presented. The gain on consolidation is primarily the difference between: (i) the sum of the carrying value of the Company’s interest in the Fund immediately prior to consolidation; and (ii) the sum of the fair value of the partners’ capital allocated to the Company, relating to its limited partner and general partner interests in the Fund immediately prior to consolidation. The fair value of the general partner’s capital represents an allocation of undistributed carried interest. The carried interest has not yet been recorded by AssuredIM as the requirements for revenue recognition have not yet been met. Carried interest generated by the Fund will be recognized as revenue, by AssuredIM, once the probability of a significant reversal of revenue no longer exists. Meanwhile the compensation related to that carried interest, that is awarded to certain employees that manage the Fund, would be recognized as an expense by AssuredIM to the extent that it is probable of being made and reasonably estimable. Any carried interest that is recognized as revenue, relating to a consolidated AssuredIM fund, is reported in the Asset Management segment, and eliminated in consolidation. The assets and liabilities of the Company’s CIVs are held within separate legal entities. The assets of the CIVs are not available to creditors of the Company, other than creditors of the applicable CIVs. In addition, creditors of the CIVs have no recourse against the assets of the Company, other than the assets of such applicable CIVs. Liquidity available at the Company’s CIVs is not available for corporate liquidity needs, except to the extent of the Company’s investment in the funds, subject to redemption provisions. Changes in the fair value of assets and liabilities of CIVs, interest income and expense are reported in “fair value gains (losses) on consolidated investment vehicles” in the consolidated statements of operations. Interest income from CLO assets is recorded based on contractual rates. Assets and Liabilities of CIVs As of December 31, 2021 2020 (in millions) Assets: Fund assets: Cash and cash equivalents $ 64 $ 117 Fund investments, at fair value: Equity securities and warrants (1) 252 18 Obligations of state and political subdivisions 101 61 Corporate securities 98 9 Structured products (2) 62 39 Due from brokers and counterparties 49 35 Other 1 — CLO and CLO warehouse assets: Cash 156 17 CLO investments: Loans in CLOs, fair value option 3,913 1,291 Loans in CLO warehouses, fair value option 331 170 Short-term investments, at fair value 145 139 Due from brokers and counterparties 99 17 Total assets (3) $ 5,271 $ 1,913 Liabilities: CLO obligations, fair value option (4) $ 3,665 $ 1,227 Warehouse financing debt, fair value option (5) 126 25 Securities sold short, at fair value 41 47 Due to brokers and counterparties 570 290 Other liabilities 34 1 Total liabilities $ 4,436 $ 1,590 ____________________ (1) Includes investments in AssuredIM Funds or other affiliated entities of $198 million and $10 million as of December 31, 2021 and December 31, 2020, respectively. (2) Includes investments in affiliated entities of $25 million and $16 million as of December 31, 2021 and December 31, 2020, respectively. (3) Includes assets of a VOE as of December 31, 2021 and December 31, 2020 of $12 million and $10 million, respectively. (4) The weighted average maturity of CLO obligations was 6.6 years and 5.6 years for December 31, 2021 and December 31, 2020, respectively. The weighted average interest rate of CLO obligations was 1.8% as of December 31, 2021 and 2.4% for December 31, 2020. CLO obligations will mature at various dates from 2033 to 2035. (5) The weighted average maturity of warehouse financing debt of CLO warehouses was 1.8 years as of December 31, 2021 and 1.7 years as of December 31, 2020. The weighted average interest rate of warehouse financing debt of CLO warehouses was 1.1% as of December 31, 2021 and 1.7% as of December 31, 2020. Warehouse financing debt will mature at various dates during 2023. Redeemable Noncontrolling Interests in CIVs Year Ended December 31, 2021 2020 2019 (in millions) Beginning balance $ 21 $ 7 $ — Reallocation of ownership interests — (10) — Contributions to CIVs — 25 12 Distributions from CIVs — — (4) Net income (loss) attributable to the redeemable NCI 1 (1) (1) December 31, $ 22 $ 21 $ 7 As of December 31, 2021 the CIVs had a commitment to invest of $336 million. As of December 31, 2021, the CIVs included forward currency contracts and interest rate swaps with a notional of $26 million and $23 million, respectively, and average notional of $19 million and $15 million, respectively. As of December 31, 2020, the CIVs included forward currency contracts and interest rate swaps with a notional of $11 million and $8 million, respectively, and average notional of $6 million and $4 million, respectively. The fair value of the forward contracts and interest rate swaps is reported in the “assets of CIVs” or “liabilities of CIVs” in the consolidated balance sheets. The net change in fair value is reported in “fair value gains (losses) on CIVs” in the consolidated statements of operations. The net change in fair value of forward currency contracts and interest rate swaps were losses of less than $1 million in both 2021 and 2020. Certain of the CIVs have entered into financing arrangements with financial institutions, generally to provide liquidity during the CLO warehouse stage. Borrowings are generally secured by the investments purchased with the proceeds of the borrowing and/or the uncalled capital commitment of each respective vehicle. When a CIV borrows, the proceeds are available only for use by that investment vehicle and are not available for the benefit of other investment vehicles or the Company. Collateral within each investment vehicle is also available only against borrowings by that investment vehicle and not against the borrowings of other investment vehicles or the Company. As of December 31, 2021, these credit facilities had varying maturities ranging from June 3, 2023 to October 20, 2023 with the aggregate principal amount not exceeding $1.0 billion. The available commitment was based on the amount of equity contributed to the warehouse which was $205 million. As of December 31, 2021, $103 million was drawn down under credit facilities with the interest rates ranging from 3-month Euribor plus 100 basis points (bps) to 3-month LIBOR plus 100 bps (with a floor on the LIBOR/Euribor rates of zero). The CLO warehouses were in compliance with all financial covenants as of December 31, 2021. As of December 31, 2021, a consolidated healthcare fund was a party to a credit facility (jointly with another healthcare fund that was not consolidated) with a maturity date of December 29, 2023 with the aggregate principal amount not to exceed $80 million jointly and $53 million individually for the consolidated healthcare fund. The available commitment was based on the amount of equity contributed to the funds. As of the date of consolidation, $16 million was drawn down by the consolidated fund under the credit facility with an interest rate of Prime (with a Prime Floor of 3%). The fund was in compliance with all financial covenants as of December 31, 2021. As of December 31, 2020, €20 million (or $25 million) and €1 million (or $1 million) had been drawn under a BlueMountain EUR 2021-1 CLO DAC (EUR 2021-1) credit facility dated August 26, 2020 by EUR 2021-1 and AssuredIM, respectively. During the first quarter of 2021, EUR 2021-1 and AssuredIM repaid the borrowings under this credit facility. 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 VIEs’ assets and FG VIEs’ liabilities. The largest of these VIEs had assets of $96 million and liabilities of $11 million as of December 31, 2021 and assets of $96 million and liabilities of $3 million as of December 31, 2020, primarily reported in “investments” and “credit derivative liabilities” on the consolidated balance sheets. Non-Consolidated VIEs As described in Note 4, Outstanding Exposure, the Company monitors all policies in the insured portfolio. Of the approximately 16 thousand policies monitored as of December 31, 2021, approximately 15 thousand policies are not within the scope of FASB Accounting Standards Codification (ASC) 810 because these financial guaranties relate to the debt obligations of governmental organizations or financing entities established by a governmental organization. The majority of the remaining policies involve transactions where the Company is not deemed to currently have control over the FG VIEs’ most significant activities. As of December 31, 2021 and 2020, the Company identified 69 and 79 policies, respectively, that contain provisions and experienced events that may trigger consolidation. Based on management’s assessment of these potential triggers or events, the Company consolidated 25 FG VIEs as of December 31, 2021 and December 31, 2020, respectively. The Company’s exposure provided through its financial guaranties with respect to debt obligations of FG VIEs is included within net par outstanding in Note 4, Outstanding Exposure. The Company manages funds and CLOs that have been determined to be VIEs, in which the Company concluded that it is not the primary beneficiary, because it lacks a controlling financial interest. As such, the Company does not consolidate these entities. The Company's equity interests in these entities are reported in “other invested assets” on the consolidated balance sheet. The maximum exposure to loss is limited to the Company’s investment in equity interests as well as foregone future management and performance fees. See Note 11, Asset Management Fees, for earnings and receivables from managing funds and CLOs. See Note 17, Related Party Transactions, for other receivables from and payables to AssuredIM funds. |
Fair Value Measurement
Fair Value Measurement | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurement | Fair Value Measurement Accounting Policy 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 2021, no changes were made to the Company’s valuation models that had or are expected to have a material impact on the Company’s consolidated balance sheets or statements of operations and comprehensive income. The Company’s methods for calculating fair value produce a fair value that may not be indicative of net realizable value or reflective of future fair values. The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a materially 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. There was a transfer of a fixed-maturity security from Level 3 to Level 2 during 2020. There were no other transfers into or from Level 3 during the periods presented. Carried at Fair Value Fixed-Maturity Securities The fair value of fixed-maturity securities 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 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 securities is more subjective when markets are less liquid due to the lack of market-based inputs. As of December 31, 2021, the Company used models to price 191 securities, including securities that were purchased or obtained for loss mitigation or other risk management purposes, with a Level 3 fair value of $1.2 billion. All Level 3 securities were priced with the assistance of independent third parties. 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 security 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 have materially changed the expected timing of cash flows within these securities which is a significant factor in determining the fair value of the securities. Short-Term Investments Short-term investments that are traded in active markets are classified within Level 1 in the fair value hierarchy as 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. Other Invested Assets Other invested assets that are carried at fair value primarily include: (i) equity securities traded in active markets that are classified within Level 1 in the fair value hierarchy as their value is based on quoted market prices; and (ii) equity method investments for which the Company elected the fair value option using NAV, as a practical expedient, which are excluded from the fair value hierarchy. Other Assets Committed Capital Securities The fair value of CCS, which is reported in “other assets” on the consolidated balance sheets, represents the difference between the present value of remaining expected put option premium payments under AGC’s CCS 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 13, Long-Term Debt and Credit Facilities). The change in fair value of the AGC CCS and AGM CPS are reported in “fair value gains (losses) on committed capital securities” in the consolidated statements of operations. The estimated current cost of the Company’s CCS is based on several factors, including AGM and AGC CDS spreads, LIBOR curve projections, the Company's publicly traded debt and the term the securities are estimated to remain outstanding. The AGC CCS and AGM CPS are classified as Level 3 in the fair value hierarchy. Supplemental Executive Retirement Plans The Company classifies assets included in the Company’s various supplemental executive retirement plans as either Level 1 or Level 2. The fair value of these assets is based on the observable published daily values of the underlying mutual funds included in the plans (Level 1) or based upon the NAV of the funds if a published daily value is not available (Level 2). The NAVs are based on observable information. The change in fair value of these assets is reported in “other operating expenses” in the consolidated statements of operations. Contracts Accounted for as Credit Derivatives The Company’s credit derivatives in the Insurance segment primarily consist of insured CDS contracts, and also include interest rate swaps that qualify as derivatives under GAAP, which require fair value measurement with changes in the fair value reported in the consolidated statements of operations. The Company did not enter into CDS contracts 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 the Company’s 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. These contracts are classified as Level 3 in the fair value hierarchy as there are multiple unobservable inputs 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 and the estimated present value of premiums that a financial guarantor of comparable credit-worthiness would hypothetically charge 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 December 31, 2021 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 measurement 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 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. 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. Market sources determine credit spreads by reviewing new issuance pricing for specific asset classes and receiving price quotes from trading desks for the specific asset in question. The Company 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 unpublished spread quotes from market participants or market traders who are not trustees. The Company obtains this information as the result of direct communication with these sources as part of the valuation process. The following spread hierarchy is utilized in determining which source of gross spread to use. • 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. • Credit spreads interpolated based upon market indices adjusted to reflect the non-standard terms of the Company’s CDS contracts. • Credit spreads extrapolated based upon transactions of similar asset classes, similar ratings, and similar time to maturity. The rates used to discount future expected premium cash flows ranged from 0.11% to 1.78% at December 31, 2021 and 0.19% to 1.33% at December 31, 2020. 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. Due to the relatively low volume and characteristics of CDS contracts remaining in AGM’s portfolio, changes in AGM’s credit spreads do not significantly affect the fair value of these CDS contracts. The Company obtains the quoted price of CDS contracts traded on AGC from market data sources published by third parties. The cost to acquire CDS protection referencing AGC 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 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. Based on fair value, approximately 51% of the Company’s CDS contracts were fair valued using this minimum premium as of December 31, 2020. As of December 31, 2021, the corresponding percentage was de minimis. 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 established floor levels. The Company corroborates the assumptions in its fair value model, including the portion of exposure to AGC hedged by its counterparties, with independent third parties periodically. The implied credit risk of AGC, indicated by the trading level of AGC’s own credit spread, is a significant factor in the amount of exposure to AGC that a bank or transaction hedges. When AGC’s credit spreads widen, the hedging cost of a bank or originator increases. Higher hedging costs reduce the amount of contractual cash flows AGC can capture as premium for selling its protection, while lower hedging costs increase the amount of contractual cash flows AGC can capture. 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 such contract and discounting such amounts using the LIBOR corresponding to 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. FG VIEs’ Assets and Liabilities The Company elected the fair value option for the FG VIEs’ assets and liabilities and classifies them as Level 3 in the fair value hierarchy. 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 are typically collateralized by first lien and second lien RMBS. The fair value of the Company’s FG VIEs’ assets is generally sensitive to changes in 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, as applicable, house price depreciation/appreciation rates based on macroeconomic forecasts. Significant changes to some of these inputs could have materially changed the market value of the FG VIEs’ assets and the implied collateral losses within the transaction. In general, the fair value of the FG VIEs’ assets is most sensitive to changes in the projected collateral losses, where an increase in collateral losses typically could lead to a decrease in the fair value of FG VIEs’ assets, while a decrease in collateral losses typically leads to an increase in the fair value of FG VIEs’ 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 used to price the FG VIEs’ liabilities generally apply the same inputs used in determining fair value of FG VIEs’ assets. For those liabilities insured by the Company, the benefit of the Company’s insurance policy guaranteeing the timely payment of debt service is also taken into account. 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 of the Company’s insurance policy guaranteeing the timely payment of principal and interest for the insured tranches of debt issued by the FG VIEs. In general, extending the timing of expected loss payments by the Company into the future typically could lead to a decrease in the value of the Company’s insurance and a decrease in the fair value of the Company’s FG VIEs’ liabilities with recourse, while a shortening of the timing of expected loss payments by the Company typically could lead to an increase in the value of the Company’s insurance and an increase in the fair value of the Company’s FG VIEs’ liabilities with recourse. Assets and Liabilities of CIVs The consolidated CLOs are CFEs, and therefore, the debt issued by, and loans held by, the consolidated CLOs are measured under the fair value option using the CFE practical expedient. Loans in CLOs are priced using a loan pricing service which aggregates quotes from loan market participants. The loans are all Level 2 assets, which are more observable than the fair value of the Level 3 debt issued by the consolidated CLOs. As a result, the less observable CLO debt is measured on the basis of the more observable CLO loans. Under the CFE practical expedient guidance, the loans of consolidated CLOs are measured at fair value and the debt of consolidated CLOs are measured as: (1) the sum of (i) the fair value of the financial assets, and (ii) the carrying value of any nonfinancial assets held temporarily; less (2) the sum of (iii) the fair value of any beneficial interests retained by the Company (other than those that represent compensation for services), and (iv) the Company’s carrying value of any beneficial interests that represent compensation for services. The resulting amount is allocated to the individual financial liabilities (other than the beneficial interests retained by the Company). Prior to securitization, when loans are warehoused in an investment vehicle, such vehicle is not considered a CFE. The Company has elected the fair value option to measure the loans held and the debt issued by CLO warehouses to mitigate the accounting mismatch between such assets and liabilities when a CLO warehouse securitizes and becomes a CLO. Investments held by CIVs which are listed or quoted on a national securities exchange or market are values at their last reported sale price on the date of determination. Investments held by CIVs which are not listed or quoted on an exchange, but are traded over-the-counter, or are listed on an exchange which has no reported sales, are valued at their fair value as determined by the Company, after giving consideration to third-party data generally at the average between the offer and bid prices. These fair values are generally based on dealer quotes, indications of value or pricing models that consider the time value of money, the current market, contractual prices and potential volatilities of the underlying financial instruments. Inputs are used in applying the various valuation techniques and broadly refer to the current assumptions that market participants use to make valuation decisions, including assumptions about risk. Inputs may include dealer price quotations, yield curves, credit curves, forward/CDS/index spreads, prepayments rates, strike and expiry dates, volatility statistics and other factors. Investments in private equity funds are generally valued utilizing NAV. Level 2 assets in the CIVs include assets of the consolidated CLOs and certain assets of the consolidated funds. Level 3 assets in the CIVs include the remainder of the invested assets of consolidated funds. Level 2 liabilities in the CIVs include senior warehouse financing debt used to fund a CLO warehouse (measured under the fair value option), securities sold short and derivative liabilities. Level 3 liabilities of the CIVs include various tranches of CLO debt, first loss subordinated warehouse financing and securitized borrowing. Significant changes to any of the inputs described above could have a material effect on the fair value of the consolidated assets and liabilities. 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 December 31, 2021 Fair Value Hierarchy Level 1 Level 2 Level 3 Total (in millions) Assets: Investments, available-for-sale: Fixed-maturity securities: Obligations of state and political subdivisions $ — $ 3,588 $ 72 $ 3,660 U.S. government and agencies — 128 — 128 Corporate securities — 2,605 — 2,605 Mortgage-backed securities: RMBS — 221 216 437 CMBS — 346 — 346 Asset-backed securities — 27 863 890 Non-U.S. government securities — 136 — 136 Total fixed-maturity securities — 7,051 1,151 8,202 Short-term investments 1,225 — — 1,225 Other invested assets (1) 6 — 6 12 FG VIEs’ assets — — 260 260 Assets of CIVs (2): Fund investments: Equity securities and warrants — 7 239 246 Obligations of state and political subdivisions — 101 — 101 Corporate securities — 7 91 98 Structured products — 62 — 62 CLOs and CLO warehouse assets: Loans — 4,244 — 4,244 Short-term investments 145 — — 145 Total assets of CIVs 145 4,421 330 4,896 Other assets 53 54 25 132 Total assets carried at fair value $ 1,429 $ 11,526 $ 1,772 $ 14,727 Liabilities: Credit derivative liabilities $ — $ — $ 156 $ 156 FG VIEs’ liabilities (3) — — 289 289 Liabilities of CIVs: CLO obligations of CFEs — — 3,665 3,665 Warehouse financing debt — 103 23 126 Securities sold short — 41 — 41 Securitized borrowing — — 17 17 Total liabilities of CIVs — 144 3,705 3,849 Other liabilities — 1 — 1 Total liabilities carried at fair value $ — $ 145 $ 4,150 $ 4,295 Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 2020 Fair Value Hierarchy Level 1 Level 2 Level 3 Total (in millions) Assets: Investments, available-for-sale: Fixed-maturity securities Obligations of state and political subdivisions $ — $ 3,890 $ 101 $ 3,991 U.S. government and agencies — 162 — 162 Corporate securities — 2,483 30 2,513 Mortgage-backed securities: RMBS — 311 255 566 CMBS — 387 — 387 Asset-backed securities — 41 940 981 Non-U.S. government securities — 173 — 173 Total fixed-maturity securities — 7,447 1,326 8,773 Short-term investments 786 65 — 851 Other invested assets (1) 10 — 5 15 FG VIEs’ assets — — 296 296 Assets of CIVs (2): Fund investments: Equity securities — 8 2 10 Obligations of state and political subdivisions — 61 — 61 Corporate securities — 9 — 9 Structured products — 39 — 39 CLOs and CLO warehouse assets: Loans — 1,461 — 1,461 Short-term investments 139 — — 139 Total assets of CIVs 139 1,578 2 1,719 Other assets 42 48 55 145 Total assets carried at fair value $ 977 $ 9,138 $ 1,684 $ 11,799 Liabilities: Credit derivative liabilities $ — $ — $ 103 $ 103 FG VIEs’ liabilities (3) — — 333 333 Liabilities of CIVs: CLO obligations of CFEs — — 1,227 1,227 Warehouse financing debt — 25 — 25 Securities sold short — 47 — 47 Total liabilities of CIVs — 72 1,227 1,299 Other liabilities — 1 — 1 Total liabilities carried at fair value $ — $ 73 $ 1,663 $ 1,736 ____________________ (1) Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. Excludes $19 million and $91 million of equity method investments measured at fair value under the fair value option using the NAV as a practical expedient as of December 31, 2021 and December 31, 2020, respectively. (2) Excludes $6 million and $8 million as of December 31, 2021 and December 31, 2020, respectively, in investments in AssuredIM Funds for which the Company records a 100% NCI. The consolidation of these funds result in a gross up of assets and NCI on the consolidated financial statements; however, they result in no economic equity or net income attributable to AGL. (3) Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse. See Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. 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 the years ended December 31, 2021 and 2020. Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Year Ended December 31, 2021 Fixed-Maturity Securities Assets of CIVs Obligations Corporate Securities RMBS Asset- FG VIEs’ Equity Securities and Warrants Corporate Securities Other (in millions) Fair value as of December 31, 2020 $ 101 $ 30 $ 255 $ 940 $ 296 $ 2 $ — $ 54 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 23 (1) 2 (1) 16 (1) 18 (1) 26 (2) 35 (4) — (27) (3) Other comprehensive income (loss) (5) 16 (1) (5) — — — — Purchases — — — 344 — 56 — — Sales (44) (48) — (142) — (28) — — Settlements (3) — (54) (292) (62) — — — Consolidations — — — — — 174 91 — Fair value as of December 31, 2021 $ 72 $ — $ 216 $ 863 $ 260 $ 239 $ 91 $ 27 Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in: Earnings $ 27 (2) $ 33 (4) $ — $ (28) (3) OCI $ 1 $ — $ (1) $ (6) $ — Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Year Ended December 31, 2021 Credit Derivative Asset (Liability), net (5) FG VIEs’ Liabilit |
Asset Management Fees
Asset Management Fees | 12 Months Ended |
Dec. 31, 2021 | |
Revenue from Contract with Customer [Abstract] | |
Asset Management Fees | Asset Management Fees The Company receives a management fee and performance fee, incentive allocation or carried interest (collectively referred to as performance fees) in exchange for providing investment advisory services to manage investment funds and CLOs. The annual management fees are typically based on a percentage of the value of the client’s net assets under management, and are generally as follows: • Depending on the investment strategy, the management fee charged is a range of up to 2.00% per annum calculated on either the beginning of the month or quarter, or month-end NAV or other relevant basis (e.g., committed capital) of the respective funds. • For the Company’s management or servicing of the AssuredIM CLOs the Company receives, generally 0.25% to 0.50% (combined senior investment management fee and subordinated investment management fee) per annum based on NAV. The portion of these fees that pertains to the investment by AssuredIM is typically rebated to the AssuredIM Funds. In accordance with the investment management agreements, and by serving as the general partner, managing member or managing general partner, the Company also receives performance fees. Performance fee revenues are generated on certain management contracts when certain minimum rates of return, i.e. performance hurdles, are exceeded. Performance fee revenue may fluctuate from period to period and may not correlate with general market changes. Annual performance fee rates are generally as follows: • Range from 10% to 20% of the net profits in excess of the high-water mark for the respective fund, or • Range from 18% to 30% of the total cash received by investors in excess of certain benchmarks, or • 30% of the net profits in excess of the high-water mark and a credit for management fees. For the Company’s management or servicing of the AssuredIM CLOs, the Company generally receives performance fee of 20% per annum of the remaining interest proceeds and principal proceeds after a performance hurdle is exceeded. The portion of these fees that pertains to the investment by AssuredIM Funds is typically rebated to the AssuredIM Funds. The general partner has the right, in its sole discretion, to require certain AssuredIM Funds to distribute to the general partner an amount equal to its presumed tax liability attributable to the allocated taxable income relating to performance fee with respect to such fiscal year and are contractually not subject to clawback. The general partner received tax distributions in 2022 related to its presumed tax liability in 2021, and there were no tax distributions for 2020 and 2019. The Company may reduce, waive or rebate the management fee and/or the performance fee with respect to any investor and/or affiliate. Certain current and former employees of the Company who have investments in the AssuredIM Funds may not be charged any management fees or performance fee. Accounting Policy Management, CLO and performance fees earned by AssuredIM are accounted for as contracts with customers. An entity may recognize revenue when the contractual performance criteria have been met and only to the extent that it is probable that a significant reversal in the amount of cumulative revenue recognized would not occur when the uncertainty associated with the variable consideration is resolved. Given the uniqueness of each fee arrangement, performance fee contractual provisions are evaluated on an individual basis to determine the timing of revenue recognition. Components of Asset Management Fees The following table presents the sources of asset management fees and performance fees on a consolidated basis. The year ended December 31, 2019 amounts presented in this note reflect only one quarter of activity from October 1, 2019, the BlueMountain Acquisition Date, through December 31, 2019. Asset Management Fees Year Ended December 31, 2021 2020 2019 (in millions) Management fees: CLOs (1) $ 41 $ 21 $ 3 Opportunity funds and liquid strategies 17 8 2 Wind-down funds 7 25 13 Total management fees 65 54 18 Performance fees 1 — 4 Reimbursable fund expenses 22 35 — Total asset management fees $ 88 $ 89 $ 22 _____________________ (1) To the extent that the Company’s wind-down and/or opportunity funds are invested in AssuredIM managed CLOs, AssuredIM may rebate any management fees and/or performance fees earned from the CLOs. Gross management fees from CLOs, before rebates, were $47 million in 2021, $40 million in 2020 and $11 million in 2019. The Company had management and performance fees receivable, which are included in “other assets” on the consolidated balance sheets, of $8 million as of December 31, 2021 and $5 million as of December 31, 2020 . The Company had no unearned revenues as of December 31, 2021 and December 31, 2020 |
Goodwill and Other Intangible A
Goodwill and Other Intangible Assets | 12 Months Ended |
Dec. 31, 2021 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
Goodwill and Other Intangible Assets | Goodwill and Other Intangible Assets All of the Company’s goodwill relates to the AssuredIM entities that were acquired in 2019 as part of the BlueMountain Acquisition. All of the goodwill is assigned to the Asset Management reporting unit and segment. Once goodwill is assigned to a reporting unit, generally all of the activities within the reporting unit, whether acquired or organically grown, are available to support the value of the goodwill. Accounting Policy Goodwill represents the excess of cost over the net fair value of assets and liabilities at the date of acquisition. The Company tests goodwill for impairment annually, as of December 31, or more frequently if circumstances indicate an impairment may have occurred. The goodwill impairment analysis is performed at the reporting unit level, which is the same as the Company’s operating segment level excluding the effects of the subleases on AssuredIM’s prior office space. If, after assessing qualitative factors, the Company believes that it is more likely than not that the fair value of the reporting unit is less than its carrying amount, the Company will evaluate impairment quantitatively to determine the amount of goodwill impairment, which is the excess of the carrying amount of the reporting unit over its fair value. Finite-lived intangible assets are recorded at fair value on the date of acquisition and are amortized over their estimated useful lives. The Company assesses finite-lived intangible assets for impairment if certain events occur or circumstances change indicating that the carrying amount of the intangible asset may not be recoverable. The carrying amount is deemed unrecoverable if it is greater than the sum of undiscounted cash flows expected to result from use and eventual disposition of the finite-lived intangible asset. If deemed unrecoverable, the Company records an impairment loss for the excess of the carrying amount over fair value. The Company assesses indefinite-lived intangible assets for impairment annually as of December 31, or more frequently if circumstances indicate an impairment may have occurred. If a qualitative assessment reveals that it is more-likely-than-not that the asset is impaired, the Company calculates an updated fair value. Goodwill and Intangible Assets Inherent in the fair value determinations are certain judgments and estimates relating to future cash flows, including the Company’s interpretation of current economic indicators and market valuations, and assumptions about the Company’s strategic plans with regard to its operations. The Company’s ability to raise third-party funds and increase and retain AUM is directly related to the performance of the assets it manages as measured against market averages and the performance of the Company’s competitors. If the Company performs worse than its competitors, it could impede its ability to raise funds, seek investors and hire and retain professionals, and may lead to an impairment of goodwill. The Company’s goodwill impairment assessment is sensitive to the Company’s assumptions of discount rates, market multiples, projections of AUM growth, and other factors, which may vary. Due to the uncertainties associated with such estimates, actual results could differ from such estimates. The Company’s finite-lived intangible assets consist primarily of contractual rights to earn future asset management fees from the acquired management and CLO contracts as well as a CLO distribution network. The Company’s indefinite-lived intangible assets consist of the value of insurance licenses acquired in prior business combinations. The following table summarizes the carrying value for the Company’s goodwill and other intangible assets: Goodwill and Other Intangible Assets Weighted Average Amortization Period as of December 31, 2021 As of December 31, 2021 2020 (in millions) Goodwill (1) $ 117 $ 117 Finite-lived intangible assets: CLO contracts 6.8 years 42 42 Investment management contracts 2.5 years 24 24 CLO distribution network 2.8 years 9 9 Trade name 7.8 years 3 3 Favorable sublease 2.2 years 1 1 Lease-related intangibles 5.2 years 3 3 Finite-lived intangible assets, gross 5.4 years 82 82 Accumulated amortization (30) (18) Finite-lived intangible assets, net 52 64 Indefinite-lived intangible assets (insurance licenses) 6 22 Total goodwill and other intangible assets $ 175 $ 203 _____________________ (1) Includes goodwill allocated to the European subsidiaries of BlueMountain. The balance changes due to foreign currency translation. The amount of goodwill deductible for tax purposes was approximately $99 million as of December 31, 2021 and $107 million as of December 31, 2020. Goodwill and substantially all finite-lived intangible assets relate to AssuredIM. In 2021, the results of a qualitative assessment indicated that it was more likely-than-not that the fair value of the reporting unit was greater than its carrying value and therefore no goodwill impairment was recorded. To date, there have been no impairments of goodwill or finite-lived intangible assets. Amortization expense associated with the finite-lived intangible assets was $12 million, $13 million and $3 million for the years ended December 31, 2021, 2020 and 2019, respectively, and is reported in “other operating expenses” in the consolidated statements of operations. As of December 31, 2021, future annual amortization of finite-lived intangible assets for the years 2022 through 2026 and thereafter is estimated to be: Estimated Future Amortization Expense for Finite-Lived Intangible Assets As of December 31, 2021 Year (in millions) 2022 $ 11 2023 11 2024 10 2025 6 2026 5 Thereafter 9 Total $ 52 On February 24, 2021, the Company received the last regulatory approval required to merge MAC with and into AGM, with AGM as the surviving company. The merger was effective on April 1, 2021. Upon the merger all direct insurance policies issued by MAC became direct insurance obligations of AGM. As a result, the Company wrote off the $16 million carrying value of the indefinite-lived intangible asset related to the MAC insurance licenses in the first quarter of 2021. This was reported in “other operating expenses” in the Insurance segment. |
Long-Term Debt and Credit Facil
Long-Term Debt and Credit Facilities | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
Long-Term Debt and Credit Facilities | Long-Term Debt and Credit Facilities Accounting Policy Long-term debt is recorded at principal amounts net of any: (1) unamortized original issue discount or premium; (2) unamortized acquisition date fair value adjustments for AGM and AGMH debt; and (3) debt issuance costs. Original issue discount and premium, acquisition date fair value adjustments for AGM and AGMH debt, and debt issuance costs are accreted into interest expense over the contractual term of the applicable debt. When long-term debt is redeemed, the difference between the cash paid to redeem the debt and the carrying value of the debt is reported as a “loss on extinguishment of debt” in the consolidated statements of operations. When one consolidated subsidiary (AGUS) purchases outstanding debt of another consolidated subsidiary (AGMH’s), the difference between the cash paid to redeem the debt and the carrying value of the debt is reported as “other income” in the consolidated statements of operations. CCS are carried at fair value with changes in fair value reported in the consolidated statement of operations. See Note 10, Fair Value Measurement, – Other Assets – Committed Capital Securities, for a discussion of the fair value measurement of the CCS. Long-Term Debt The Company’s long-term debt outstanding primarily consists of debt issued by the U.S. Holding Companies. All of the U.S. Holding Companies’ long-term debt is fully and unconditionally guaranteed by AGL; AGL’s guarantee of the junior subordinated debentures is on a junior subordinated basis. Principal and Carrying Amounts of Debt The principal and carrying values of the Company’s debt are presented in the table below. Principal and Carrying Amounts of Long-Term Debt As of December 31, 2021 As of December 31, 2020 Principal Carrying Principal Carrying (in millions) AGUS 7% Senior Notes $ 200 $ 197 $ 200 $ 197 AGUS 5% Senior Notes (2) 330 329 500 498 AGUS 3.15% Senior Notes 500 495 — — AGUS 3.6% Senior Notes 400 395 — — AGUS Series A Enhanced Junior Subordinated Debentures 150 150 150 150 AGMH 6 7 / 8 % Quarterly Interest Bonds (1) (2) — — 100 71 AGMH 6.25% Notes (1) (2) — — 230 145 AGMH 5.6% Notes (1) (2) — — 100 58 AGMH Junior Subordinated Debentures (1) (3) 146 105 146 102 AGM Notes Payable 2 2 3 3 Total $ 1,728 $ 1,673 $ 1,429 $ 1,224 ____________________ (1) Carrying amounts are different than principal amounts primarily due to fair value adjustments at the date of the AGMH acquisition, which are accreted into interest expense over the remaining terms of these obligations. (2) Redeemed or partially redeemed in 2021. (3) Net of AGMH’s long-term debt purchased by AGUS. Debt Issued by AGUS 7% Senior Notes. On May 18, 2004, AGUS issued $200 million of 7% Senior Notes due 2034 (7% Senior Notes) for net proceeds of $197 million. Although the coupon on the Senior Notes is 7%, the effective rate is approximately 6.4%, taking into account the effect of a cash flow hedge executed by the Company in March 2004. The notes are redeemable, in whole or in part, at their principal amount plus accrued and unpaid interest to the date of redemption or, if greater, the make-whole redemption price. 5% Senior Notes. On June 20, 2014, AGUS issued $500 million of 5% Senior Notes due 2024 (5% Senior Notes) for net proceeds of $495 million. The net proceeds from the sale of the notes were used for general corporate purposes, including the purchase of AGL common shares. The notes are redeemable, in whole or in part, at their principal amount plus accrued and unpaid interest to the date of redemption or, if greater, the make-whole redemption price. On September 27, 2021, the Company used a portion of the proceeds from the issuance of AGUS’s 3.6% Senior Notes to redeem $170 million of the outstanding principal of these 5% Senior Notes. 3.15% Senior Notes. On May 26, 2021, AGUS issued $500 million of 3.150% Senior Notes due 2031 (3.15% Senior Notes) for net proceeds of $494 million The net proceeds from the issuance were used for the redemption on July 9, 2021, of all of AGMH’s debt maturing in 2101 and a portion of AGMH debt maturing in 2102, as described below, with the balance being used for general corporate purposes, including share repurchases. AGUS may redeem all or part of the 3.15% Senior Notes at any time or from time to time prior to March 15, 2031 (the date that is three months prior to the maturity of the 3.15% Senior Notes), at its option, at a redemption price equal to the greater of: (i) 100% of the principal amount of the 3.15% Senior Notes being redeemed; or (ii) the sum of the present values of the remaining scheduled payments of principal and interest on the Notes being redeemed (excluding interest accrued to the redemption date) from the redemption date to March 15, 2031 discounted to the date of redemption on a semi-annual basis (assuming a 360-day year consisting of twelve 30- day months) at a discount rate equal to the Treasury Rate plus 25 bps; plus, in each case, accrued and unpaid interest on the 3.15% Senior Notes to be redeemed to, but excluding, the redemption date. AGUS may redeem all or part of the 3.15% Senior Notes at any time or from time to time on and after March 15, 2031, at its option, at a redemption price equal to 100% of the principal amount of the 3.15% Senior Notes being redeemed, plus accrued and unpaid interest on the 3.15% Senior Notes to be redeemed to, but excluding, the redemption date. The 3.15% Senior Notes are fully and unconditionally guaranteed on a senior unsecured basis by AGL. The 3.15% Senior Notes are senior unsecured obligations of AGUS and rank equally in right of payment with all of AGUS’s other unsecured and unsubordinated indebtedness outstanding. The guarantee is a senior unsecured obligation of AGL and ranks equally in right of payment with all of AGL’s other unsecured and unsubordinated indebtedness outstanding. 3.6% Senior Notes. On August 20, 2021, AGUS issued $400 million of 3.600% Senior Notes due 2051 (3.6% Senior Notes) for net proceeds of $395 million. The net proceeds from the issuance were used for the redemption on September 27, 2021, of all of AGMH’s debt maturing in 2103, the remaining AGMH debt maturing in 2102, and a portion of AGUS’s debt maturing in 2024, as described below. AGUS may redeem all or part of the 3.6% Senior Notes at any time or from time to time prior to March 15, 2051 (the date that is six months prior to the maturity of the 3.6% Senior Notes), at its option, at a redemption price equal to the greater of: (i) 100% of the principal amount of the 3.6% Senior Notes being redeemed; or (ii) the sum of the present values of the remaining scheduled payments of principal and interest on the Notes being redeemed (excluding interest accrued to the redemption date) from the redemption date to March 15, 2051 discounted to the date of redemption on a semi-annual basis (assuming a 360-day year consisting of twelve 30-day months) at a discount rate equal to the Treasury Rate plus 30 bps; plus, in each case, accrued and unpaid interest on the 3.6% Senior Notes to be redeemed to, but excluding, the redemption date. AGUS may redeem all or part of the 3.6% Senior Notes at any time or from time to time on and after March 15, 2051, at its option, at a redemption price equal to 100% of the principal amount of the 3.6% Senior Notes being redeemed, plus accrued and unpaid interest on the 3.6% Senior Notes to be redeemed to, but excluding, the redemption date. The 3.6% Senior Notes are fully and unconditionally guaranteed on a senior unsecured basis by AGL. The 3.6% Senior Notes are senior unsecured obligations of AGUS and rank equally in right of payment with all of AGUS’s other unsecured and unsubordinated indebtedness outstanding. The guarantee is a senior unsecured obligation of AGL and ranks equally in right of payment with all of AGL’s other unsecured and unsubordinated indebtedness outstanding. Series A Enhanced Junior Subordinated Debentures. On December 20, 2006, AGUS issued $150 million of Debentures due 2066. The Debentures pay a floating rate of interest, reset quarterly, at a rate equal to three month LIBOR plus a margin equal to 2.38%. AGUS may select at one or more times to defer payment of interest for one or more consecutive periods for up to ten years. Any unpaid interest bears interest at the then applicable rate. AGUS may not defer interest past the maturity date. The debentures are redeemable, in whole or in part, at their principal amount plus accrued and unpaid interest to the date of redemption. Debt Issued by AGMH 6 7/8% Notes. On December 19, 2001, AGMH issued $100 million face amount of 6 7/8% Notes (6 7/8% Quarterly Interest Bonds) due December 15, 2101, which were redeemable without premium or penalty in whole or in part at their principal amount plus accrued and unpaid interest to the date of redemption. On July 9, 2021, the Company used a portion of the proceeds from the issuance of AGUS’ 3.15% Senior Notes to redeem the $100 million outstanding principal of AGMH’s 6 7/8% Notes. 6.25% Notes. On November 26, 2002, AGMH issued $230 million face amount of 6.25% Notes due November 1, 2102, which were redeemable without premium or penalty in whole or in part at their principal amount plus accrued and unpaid interest to the date of redemption. On July 9, 2021 the Company used a portion of the proceeds from the issuance of AGUS’s 3.15% Senior Notes to redeem $100 million of AGMH’s 6.25% Notes, and on September 27, 2021, the Company used a portion of the proceeds from the issuance of AGUS’s 3.6% Senior Notes to redeem the remaining $130 million outstanding principal of AGMH’s 6.25% Notes. 5.6% Notes. On July 31, 2003, AGMH issued $100 million face amount of 5.6% Notes due July 15, 2103, which were redeemable without premium or penalty in whole or in part at their principal amount plus accrued and unpaid interest to the date of redemption. On September 27, 2021, the Company used a portion of the proceeds from the issuance of AGUS’s 3.6% Senior Notes to redeem the $100 million outstanding principal of AGMH’s 5.6% Notes. Junior Subordinated Debentures. On November 22, 2006, AGMH issued $300 million face amount of Junior Subordinated Debentures with a scheduled maturity date of December 15, 2036 and a final repayment date of December 15, 2066. The final repayment date of December 15, 2066 may be automatically extended up to four times in five ten years. In connection with the completion of this offering, AGMH entered into a replacement capital covenant for the benefit of persons that buy, hold or sell a specified series of AGMH long-term indebtedness ranking senior to the debentures. Under the covenant, the debentures will not be repaid, redeemed, repurchased or defeased by AGMH or any of its subsidiaries on or before the date that is 20 years prior to the final repayment date, except to the extent that AGMH has received proceeds from the sale of replacement capital securities. The proceeds from this offering were used to pay a dividend to the shareholders of AGMH. Over the past several years AGUS purchased, and as of December 31, 2021 and 2020, AGUS holds approximately $154 million in principal of the AGMH Subordinated Debentures. Loss on Extinguishment of Debt On July 9, 2021, a portion of the proceeds from the issuance of the 3.15% Senior Notes was used to redeem $200 million of AGMH debt as follows: • all $100 million of AGMH’s 6 7/8% Quarterly Interest Bonds due in 2101, and • $100 million of the $230 million of AGMH’s 6.25% Notes due in 2102. On September 27, 2021, all of the proceeds from the issuance of the 3.6% Senior Notes were used to redeem $400 million of AGMH and AGUS debt as follows: • all $100 million of AGMH’s 5.60% Notes due in 2103, • the remaining $130 million of AGMH 6.25% Notes due in 2102, and • $170 million of the $500 million of AGUS’s 5% Senior Notes due in 2024. As a result of these redemptions, the Company recognized a loss on extinguishment of debt of approximately $175 million on a pre-tax basis ($138 million after-tax) in the year ended December 31, 2021, which represents the difference between the amount paid to redeem the debt and the carrying value of the debt. The loss on extinguishment of debt primarily consists of a $156 million acceleration of unamortized fair value adjustments that were originally recorded upon the acquisition of AGMH in 2009, and a $19 million make-whole payment associated with the redemption of $170 million of AGUS’s 5% Senior Notes. Debt Service Scheduled principal payments of the Company’s debt are as follows: Debt Maturity Schedule (1) As of December 31, 2021 Year Principal (in millions) 2022 $ 1 2023 — 2024 330 2025 1 2026 — 2027-2046 700 2047-2066 696 Total $ 1,728 ____________________ (1) Includes eliminations of AGMH’s debt purchased by AGUS. Table below summarizes the components of interest expense. Interest Expense Year Ended December 31, 2021 2020 2019 (in millions) AGUS 7% Senior Notes $ 13 $ 13 $ 13 AGUS 5% Senior Notes 23 26 26 AGUS 3.15% Senior Notes 10 — — AGUS 3.6% Senior Notes 5 — — AGUS Series A Enhanced Junior Subordinated Debentures 4 5 7 AGMH 6 7 / 8 % Quarterly Interest Bonds 4 7 7 AGMH 6.25% Notes 10 15 16 AGMH 5.6% Notes 5 6 6 AGMH Junior Subordinated Debentures (1) 12 13 14 Other 1 — — Total $ 87 $ 85 $ 89 ____________________ (1) Net of interest expense on AGMH’s long-term debt purchased by AGUS. 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. Each custodial trust was 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 is not the primary beneficiary of the trusts and therefore 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 bps, and the annualized rate on the AGM CPS is one-month LIBOR plus 200 bps. Short-Term Loan Facility On February 3, 2022, the Company entered into a secured short-term loan facility with a major financial institution to partially fund gross payments in connection with the possible resolution of a portion of its Puerto Rico exposures. See Note 4, Outstanding Exposure. The short-term loan facility permits the Company to borrow up to $550 million for up to thirty days and up to $150 million for up to six months. The one month component will bear interest at 1.10% per annum and the six months component will bear a floating interest rate equal to the forward-looking term Secured Overnight Financing Rate (SOFR) for a tenor of one month provided by CME Group Benchmark Administration Limited, plus 1.10% per annum. The Company also will pay a structuring fee on the amounts borrowed under the facility. There have not been any drawings under this facility. |
Employee Benefit Plans
Employee Benefit Plans | 12 Months Ended |
Dec. 31, 2021 | |
Share-based Payment Arrangement [Abstract] | |
Employee Benefit Plans | Employee Benefit Plans Assured Guaranty Ltd. 2004 Long-Term Incentive Plan Under the Assured Guaranty Ltd. 2004 Long-Term Incentive Plan, as amended (the Incentive Plan), the number of AGL common shares that may be delivered under the Incentive Plan may not exceed 18,670,000. In the event of certain transactions affecting AGL’s common shares, the number or type of shares subject to the Incentive Plan, the number and type of shares subject to outstanding awards under the Incentive Plan, and the exercise price of awards under the Incentive Plan, may be adjusted. The Incentive Plan authorizes the grant of incentive stock options, non-qualified stock options, stock appreciation rights, and full value awards that are based on AGL’s common shares. The grant of full value awards may be in return for a participant's previously performed services, or in return for the participant surrendering other compensation that may be due, or may be contingent on the achievement of performance or other objectives during a specified period, or may be subject to a risk of forfeiture or other restrictions that will lapse upon the achievement of one or more goals relating to completion of service by the participant, or achievement of performance or other objectives. Awards under the Incentive Plan may accelerate and become vested upon a change in control of AGL. The Incentive Plan is administered by the Compensation Committee of AGL's Board of Directors (the Board), except as otherwise determined by the Board. The Board may amend or terminate the Incentive Plan. As of December 31, 2021, 8,449,295 common shares were available for grant under the Incentive Plan. Accounting Policy Share-based compensation expense is based on the grant date fair value using the grant date closing price, the lattice, Monte Carlo or Black-Scholes-Merton (Black-Scholes) pricing models. The Company amortizes the fair value of share-based awards on a straight-line basis over the requisite service periods of the awards, which are generally the vesting periods, with the exception of retirement‑eligible employees. For retirement-eligible employees, certain awards contain retirement provisions and therefore are amortized over the period through the date the employee first becomes eligible to retire and is no longer required to provide service to earn part or all of the award. The fair value of each award under the Assured Guaranty Ltd. Employee Stock Purchase Plan is estimated at the beginning of the offering period using the Black-Scholes option valuation model. The expense for Performance Retention Plan awards is recognized straight-line over the requisite service period, with the exception of retirement-eligible employees. For retirement-eligible employees, the expense is recognized immediately. Long-Term Incentive Plan Restricted Stock Units Restricted stock units are valued based on the closing price of the underlying shares at the date of grant. Restricted stock units awarded to employees have vesting terms similar to those of the restricted stock awards, as described below, and are delivered on the vesting date. The Company has granted restricted stock units to directors of the Company. Restricted Stock Unit Activity Nonvested Stock Units Number of Stock Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2020 936,449 $ 41.68 Granted 340,787 44.08 Vested (311,683) 38.77 Forfeited (59,251) 46.89 Nonvested at December 31, 2021 906,302 $ 43.25 As of December 31, 2021, the total unrecognized compensation cost related to outstanding nonvested restricted stock units was $21 million, which the Company expects to recognize over the weighted-average remaining service period of 1.8 years. The total fair value of restricted stock units vested during the years ended December 31, 2021, 2020 and 2019 was $12 million, $11 million and $11 million, respectively. The weighted-average grant-date fair value of restricted stock units granted during the years ended December 31, 2021, 2020 and 2019 was $44.08, $41.31, and $44.40, respectively. Performance Restricted Stock Units The Company has granted performance restricted stock units under the Incentive Plan. These awards vest if AGL’s total shareholder return (TSR) relative to the performance of a peer group and growth in core adjusted book value during the relevant three Performance Restricted Stock Unit Activity Performance Restricted Stock Units Number of Performance Share Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2020 568,957 $ 43.64 Granted (1) 378,394 52.04 Vested (1) (332,439) 26.11 Forfeited — — Nonvested at December 31, 2021 (2) 614,912 $ 46.25 ____________________ (1) Includes 142,222 performance restricted stock units that were granted prior to 2021 at a weighted average grant date fair value of $25.70, but met performance hurdles and vested during 2021. The weighted average grant date fair value per share excludes these shares. (2) Excludes 69,817 performance restricted stock units that have met performance hurdles and will be eligible for vesting after December 31, 2021. As of December 31, 2021, the total unrecognized compensation cost related to outstanding nonvested performance share units was $21 million, which the Company expects to recognize over the weighted-average remaining service period of 1.8 years. The total value of performance restricted stock units vested during the years ended December 31, 2021, 2020 and 2019 was based on grant date fair value and was $9 million, $8 million and $6 million, respectively. For the 2021, 2020 and 2019 awards, the grant-date fair value of the performance restricted stock units tied to relative TSR was calculated using a Monte Carlo simulation in order to determine the total return of the Company’s shares relative to the total return of financial companies in the Russell Midcap Financial Services Index. The inputs to the simulation include the beginning prices of shares, historical volatilities, and dividend yields of all relevant companies as well as all possible pairwise correlation coefficients among the relevant companies. In addition, the risk-free return and discount for illiquidity are also included. For the 2021, 2020 and 2019 awards, the grant-date fair value of the performance restricted stock units tied to core adjusted book value was based on the grant date closing price. The weighted-average grant-date fair value of the 2021, 2020 and 2019 awards was $52.04, $41.03 and $44.00, respectively. Restricted Stock Awards Restricted stock awards are valued based on the closing price of the underlying shares at the date of grant. Restricted stock awards to employees generally vest over a three four Restricted Stock Award Activity Nonvested Shares Number of Shares Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2020 68,098 $ 28.12 Granted 44,797 51.34 Vested (68,098) 28.12 Forfeited — — Nonvested at December 31, 2021 44,797 $ 51.34 As of December 31, 2021, the total unrecognized compensation cost related to outstanding nonvested restricted stock awards was $0.8 million, which the Company expects to recognize over the weighted-average remaining service period of 0.3 years. The total fair value of shares vested during the years ended December 31, 2021, 2020 and 2019 was $1.9 million, $2.3 million and $1.8 million, respectively. The weighted-average grant-date fair value of shares granted during the years ended December 31, 2021, 2020 and 2019 was $51.34, $28.12 and $45.98, respectively. Time Vested Stock Options Stock options may be granted once a year with exercise prices equal to the closing price on the date of grant. No time vested stock options have been granted since 2014. All of the 15,979 time vested options that were outstanding as of December 31, 2020 were exercised in 2021 at an average exercise price of $21.88. The total intrinsic value of stock options exercised during the years ended December 31, 2021, 2020 and 2019 was $0.2 million, $1.0 million and $8.2 million, respectively. During the years ended December 31, 2021, 2020 and 2019, $0.02 million, $0.9 million and $2.3 million, respectively, was received from the exercise of stock options. In order to satisfy stock option exercises, the Company issues new shares. The tax benefit from time vested stock options exercised during 2021 was de minimis. Performance Stock Options The Company may grant performance stock options under the Incentive Plan. These awards are non-qualified stock options with exercise prices equal to the closing price of an AGL common share on the applicable date of grant. No performance stock options have been granted since 2012. No performance options were outstanding and exercisable as of December 31, 2021 and 2020. Employee Stock Purchase Plan The Company established the AGL Employee Stock Purchase Plan (Stock Purchase Plan) in accordance with Internal Revenue Code Section 423, and participation is available to all eligible employees. Maximum annual purchases by participants are limited to the number of whole shares that can be purchased by an amount equal to 10% of the participant's compensation or, if less, shares having a value of $25,000. Participants may purchase shares at a purchase price equal to 85% of the lesser of the fair market value of the stock on the first day or the last day of the subscription period. The Company has reserved for issuance and purchases under the Stock Purchase Plan 850,000 AGL common shares. As of December 31, 2021, 118,495 common shares were available for grant under the Stock Purchase Plan. The fair value of each award under the Stock Purchase Plan is estimated using the following assumptions: a) the expected dividend yield is based on the current expected annual dividend and share price on the grant date; b) the expected volatility is estimated at the date of grant based on the historical share price volatility, calculated on a daily basis; c) the risk-free rate for periods within the contractual life of the option is based on the U.S. Treasury yield curve in effect at the time of grant; and d) the expected life is based on the term of the offering period. Stock Purchase Plan Year Ended December 31, 2021 2020 2019 (dollars in millions) Proceeds from purchase of shares by employees $ 2.1 $ 1.5 $ 1.5 Number of shares issued by the Company 67,615 72,797 40,732 Share-Based Compensation Expense The following table presents share-based compensation costs and the amount of such costs that are deferred as policy acquisition costs, pre-tax. Amortization of previously deferred share compensation costs is not shown in the table below. Share-Based Compensation Expense Summary Year Ended December 31, 2021 2020 2019 (in millions) Share‑based compensation expense $ 27 $ 25 $ 21 Share‑based compensation capitalized as DAC 2 1 1 Income tax benefit 4 4 3 Defined Contribution Plan The Company maintains a savings incentive plan, which is qualified under Section 401(a) of the Internal Revenue Code for U.S. employees. The savings incentive plan is available to eligible full-time employees upon hire. Eligible participants could contribute a percentage of their eligible compensation subject to U.S. Internal Revenue Service (IRS) limitations. Contributions were matched by the Company at a rate of 100% up to 7% for 2021 and 2020 and 6% for 2019 of participant’s eligible compensation, subject to IRS limitations. Any amounts over the IRS limits are contributed to and matched by the Company at a rate of 100% up to 6% of participant’s eligible compensation into a nonqualified supplemental executive retirement plan for employees eligible to participate in such nonqualified plan. The Company also made a core contribution of 7% for 2021 and 2020 and 6% for 2019 of the participant’s eligible compensation to the qualified plan, subject to IRS limitations, and a core contribution of 6% of the participant’s eligible compensation to the nonqualified supplemental executive retirement plan for eligible employees, regardless of whether the employee contributes to the plan(s). Employees become fully vested in Company contributions after one year of service, as defined in the plan. Plan eligibility is immediate upon hire. The Company also maintains similar non-qualified plans for non-U.S. employees. The Company recognized defined contribution expenses of $20 million, $20 million and $12 million for the years ended December 31, 2021, 2020 and 2019, respectively. |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes AGL and its Bermuda subsidiaries, AG Re, AGRO, and Cedar Personnel Ltd. (collectively, the 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., U.K. and French subsidiaries are subject to income taxes imposed by U.S., U.K. and French 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 was 19%. The Company 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, the Company obtained a clearance from Her Majesty’s Revenue & Customs confirming any dividends paid by AGL to its shareholders should not be subject to any withholding tax in the U.K. The Company 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. AGUS files a consolidated federal income tax return with all of its U.S. subsidiaries. Assured Guaranty Overseas US Holdings Inc. and its subsidiaries, AGRO and AG Intermediary Inc., file their own consolidated federal income tax return. The CARES (Coronavirus Aid, Relief, and Economic Security) Act became law on March 27, 2020 and was updated on April 9, 2020. The CARES Act, among other tax changes, accelerates the ability of companies to receive refunds of alternative minimum tax (AMT) credits related to tax years beginning in 2018 and 2019. As a result, the Company received a refund for AMT credits in 2020. As a result of the BlueMountain Acquisition referred to in Note 2, Business Combinations, the entities acquired will be included in the AGUS consolidated federal income tax return. Accounting Policy The provision for income taxes consists of an amount for taxes currently payable and an amount for deferred taxes. Deferred income taxes are provided for temporary differences between the financial statement carrying amounts and tax bases of assets and liabilities, using enacted rates in effect for the year in which the differences are expected to reverse. A valuation allowance is recorded to reduce the deferred tax asset to an amount that is more likely than not to be realized. Non-interest-bearing tax and loss bonds are purchased in the amount of the tax benefit that results from deducting statutory-basis contingency reserves as provided under Internal Revenue Code Section 832(e). The Company records the purchase of tax and loss bonds in deferred taxes. The Company recognizes tax benefits only if a tax position is “more likely than not” to prevail. The Company elected to account for tax associated with Global Intangible Low-Taxed Income (GILTI) as a current-period expense when incurred. Deferred and current tax assets and liabilities are reported in other assets or liabilities on the consolidated balance sheets. Tax Assets (Liabilities) Deferred and Current Tax Assets (Liabilities) As of December 31, 2021 2020 (in millions) Net deferred tax assets (liabilities) $ (33) $ (100) Net current tax assets (liabilities) (43) 21 Components of Net Deferred Tax Assets (Liabilities) As of December 31, 2021 2020 (in millions) Deferred tax assets: Unearned premium reserves, net $ 51 $ 56 Investment basis differences — 47 Rent 17 24 Foreign tax credit 24 24 Net operating loss 28 33 Depreciation 27 — Deferred compensation 29 29 Other 19 4 Total deferred tax assets 195 217 Deferred tax liabilities: Unrealized appreciation on investments 74 102 Discount on long-term debt 7 41 Market discount on investments 25 42 DAC 20 22 Investment basis differences 5 — Loss and LAE reserve 44 44 Lease 16 17 Unrealized gains on CCS 5 11 Other 8 14 Total deferred tax liabilities 204 293 Less: Valuation allowance 24 24 Net deferred tax assets (liabilities) $ (33) $ (100) As part of the acquisition of CIFG Holding Inc. (CIFGH, and together with its subsidiaries, CIFG), the Company acquired $189 million of net operating losses (NOL) which will begin to expire in 2033. The NOL has been limited under Internal Revenue Code Section 382 due to a change in control as a result of the acquisition. As of December 31, 2021, the Company had $131 million of NOLs available to offset its future U.S. taxable income. Valuation Allowance The Company has $24 million of foreign tax credit (FTC) due to the 2017 Tax Cuts and Jobs Act (TCJA) for use against regular tax in future years. FTCs will expire in 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 $24 million will not be utilized, and therefore recorded a valuation allowance with respect to this tax attribute. During 2020, the Company reduced its valuation allowance from $36 million as of December 31, 2019 to $24 million as of December 31, 2020 due to the expiration of the FTC from previous acquisitions. There were no changes in the valuation allowance during 2021 and 2019 . The Company came to the conclusion that it is more likely than not that the remaining deferred tax assets 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 the remaining deferred tax assets. The Company will continue to analyze the need for a valuation allowance on a quarterly basis. Provision for Income Taxes 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 2021, 2020 and 2019, U.K. subsidiaries taxed at the U.K. marginal corporate tax rate of 19%, French subsidiaries taxed at the French marginal corporate tax rate of 27.5% in 2021 and 28% in 2020, and no taxes for the Company’s Bermuda Subsidiaries unless subject to U.S. tax by election. Controlled foreign corporations (CFCs) apply the local marginal corporate tax rate. In addition, the TCJA creates a new requirement that a portion of the GILTI earned by CFCs must be included currently in the gross income of the CFCs’ U.S. shareholder. The Company’s overall effective tax rate fluctuates based on the distribution of income across jurisdictions. A reconciliation of the difference between the provision for income taxes and the expected tax provision at statutory rates in taxable jurisdictions is presented below. Effective Tax Rate Reconciliation Year Ended December 31, 2021 2020 2019 (in millions) Expected tax provision (benefit) $ 76 $ 83 $ 91 Tax-exempt interest (19) (20) (19) Change in liability for uncertain tax positions — (17) 1 Effect of provision to tax return filing adjustments (4) (7) (6) Non-controlling interest (8) (1) — State taxes 7 4 1 Taxes on reinsurance (2) 9 (5) Foreign taxes 8 (3) 6 Other — (3) (6) Total provision (benefit) for income taxes $ 58 $ 45 $ 63 Effective tax rate 12.2 % 10.9 % 13.7 % The expected tax provision (benefit) is calculated as the sum of pre-tax income in each jurisdiction multiplied by the statutory tax rate of the jurisdiction by which it will be taxed. Where there is a pre-tax loss in one jurisdiction and pre-tax income in another, the total combined expected tax rate may be higher or lower than any of the individual statutory rates. The following tables present pre-tax income and revenue by jurisdiction. Pre-tax Income (Loss) by Tax Jurisdiction Year Ended December 31, 2021 2020 2019 (in millions) U.S. $ 378 $ 385 $ 440 Bermuda 115 16 33 U.K. (8) 13 (8) Other (8) (1) (1) Total $ 477 $ 413 $ 464 Revenue by Tax Jurisdiction Year Ended December 31, 2021 2020 2019 (in millions) U.S. $ 685 $ 894 $ 779 Bermuda 123 151 146 U.K. 41 60 36 Other (1) 10 2 Total $ 848 $ 1,115 $ 963 Pre-tax income by jurisdiction may be disproportionate to revenue by jurisdiction to the extent that insurance losses incurred are disproportionate. Audits As of December 31, 2021, AGUS and Assured Guaranty Overseas US Holdings Inc. had open tax years with the U.S. IRS for 2018 forward. The companies are not currently under audit with the IRS. The Company’s U.K. subsidiaries are not currently under examination and have open tax years of 2020 forward. The Company’s French subsidiary is not currently under examination and has open tax years of 2019 forward. Uncertain Tax Positions The following table provides a reconciliation of the beginning and ending balances of the total liability for unrecognized tax positions, excluding accrued interest. 2021 2020 2019 (in millions) Beginning of year $ — $ 15 $ 14 Effect of provision to tax return filing adjustments — — 5 Decrease in unrecognized tax positions as a result of settlement of positions taken during the prior period — (15) — Reductions to unrecognized tax benefits as a result of the applicable statute of limitations — — (4) Balance as of December 31, $ — $ — $ 15 The Company’s policy is to recognize interest related to uncertain tax positions in income tax expense and has accrued zero, $0.3 million and $1 million for full years 2021, 2020 and 2019, respectively. As of both December 31, 2021 and 2020, the Company has accrued zero of interest. |
Insurance Company Regulatory Re
Insurance Company Regulatory Requirements | 12 Months Ended |
Dec. 31, 2021 | |
Insurance Company Regulatory Requirements [Abstract] | |
Insurance Company Regulatory Requirements | Insurance Company Regulatory Requirements The following table summarizes the policyholder’s surplus and net income amounts reported to local regulatory bodies in the U.S. and Bermuda for insurance subsidiaries within the group. The discussion that follows describes the basis of accounting and differences to GAAP. Insurance Regulatory Amounts Reported U.S. and Bermuda Policyholders’ Surplus Net Income (Loss) As of December 31, Year Ended December 31, 2021 2020 2021 2020 2019 (in millions) U.S. statutory companies: AGM (1) (2) $ 3,053 $ 2,763 $ 352 $ 398 $ 312 AGC (3) 2,070 1,717 282 73 226 Bermuda statutory companies: AG Re 944 1,026 121 24 45 AGRO 425 429 6 7 12 ____________________ (1) Until April 1, 2021, AGM owned 60.7% of Municipal Assurance Holdings, Inc. (MAC Holdings), the parent of financial guaranty insurer MAC. AGC owned the remaining 39.3% of MAC Holdings. On April 1, 2021, Assured Guaranty executed a multi-step transaction to merge MAC with and into AGM, with AGM as the surviving company. Furthermore, in accordance with the National Association of Insurance Commissioners (NAIC) Annual Statement instructions, the prior year numbers have been restated to reflect the merger of MAC with and into AGM as if the purchase of AGC’s interest in MAC Holdings and the MAC merger had occurred as of January 1, 2020. AGM amounts for 2019 were not required to be restated. (2) Policyholders’ surplus is net of contingency reserves of $877 million and $1,012 million as of December 31, 2021 and December 31, 2020, respectively. (3) Policyholders’ surplus is net of contingency reserves of $348 million and $545 million as of December 31, 2021 and December 31, 2020, respectively. Basis of Regulatory Financial Reporting United States Each of the Company’s U.S. domiciled insurance companies’ ability to pay dividends depends, among other things, upon its financial condition, results of operations, cash requirements, compliance with rating agency requirements, and is also subject to restrictions contained in the insurance laws and related regulations of its state of domicile and other states. Financial statements prepared in accordance with accounting practices prescribed or permitted by local insurance regulatory authorities differ in certain respects from GAAP. The Company’s U.S. domiciled insurance companies prepare statutory financial statements in accordance with accounting practices prescribed or permitted by the NAIC and their respective insurance departments. Prescribed statutory accounting practices are set forth in the NAIC Accounting Practices and Procedures Manual. The Company has no permitted accounting practices on a statutory basis. GAAP differs in certain significant respects from the U.S. insurance companies’ statutory accounting practices prescribed or permitted by insurance regulatory authorities. The principal differences result from the statutory accounting practices listed below. • Upfront premiums are earned upon expiration of risk and installment premiums are earned on a pro-rata basis over the installment period, rather than in proportion to the amount of insurance protection provided under GAAP. The timing of premium accelerations may also differ between statutory and GAAP. Under GAAP, premiums are accelerated only upon the legal defeasance of an insured obligation, whereas statutory premiums may be accelerated earlier if an insured obligation is economically defeased prior to legal defeasance. • Acquisition costs are charged to expense as incurred rather than expensed over the period that the related premiums are earned under GAAP. Ceding commission income is earned immediately except for amounts in excess of acquisition costs, which are deferred, rather than fully deferred under GAAP. • A contingency reserve is established according to applicable insurance laws, whereas no such reserve is required under GAAP. • Certain assets designated as “non-admitted assets” are charged directly to statutory surplus, rather than reflected as assets under GAAP. • Investments in subsidiaries are carried on the balance sheet on the equity basis, to the extent admissible, rather than consolidated with the parent under GAAP. • The amount of admitted deferred tax assets are subject to an adjusted surplus threshold and subject to a limitation calculated in accordance with statutory accounting principles (SAP). Under GAAP there is no non-admitted asset determination, rather a valuation allowance is recorded to reduce the deferred tax asset to an amount that is more likely than not to be realized. • Insured credit derivatives are accounted for as insurance contracts rather than accounted for as derivative contracts that are measured at fair value under GAAP. • Bonds are reported at either amortized cost or the lower of amortized cost or fair value, rather than classified as available-for-sale securities and carried at fair value under GAAP. • The impairment model for fixed-maturity debt securities classified as available-for-sale under GAAP differs from the statutory impairment model. Under SAP, for debt securities that have been determined to be other-than-temporarily impaired, they are written down to fair value with a realized loss recognized through income. Under GAAP, consideration of the length of time during which fair value has been less than its amortized cost basis when determining whether a credit loss exists is not allowed and only the portion of impairment related to credit losses is recorded in an allowance for credit losses account with an offsetting entry to realized loss and any portion not related to credit losses is recorded through AOCI. GAAP also differs from SAP as the GAAP allowance for credit losses can be reversed for subsequent increases in expected cash flows. • Insured obligations of VIEs, where the Company is deemed the primary beneficiary, are accounted for as insurance contracts. Under GAAP, such VIEs are consolidated and any transactions with the Company are eliminated. • Surplus notes are recognized as surplus and each payment of principal and interest is recorded only upon approval of the insurance regulator rather than as liabilities with periodic accrual of interest under GAAP. • Acquisitions are accounted for as either statutory purchases or statutory mergers, rather than under the purchase method under GAAP. • Losses are discounted at tax equivalent yields, and recorded when there is a significant credit deterioration on specific insured obligations and the obligations are in default or default is probable not necessarily upon non-payment of principal or interest by an insured. Under GAAP, expected losses are discounted at the risk free rate at the end of each reporting period and are recorded only to the extent they exceed deferred premium revenue. • The present value of contractual or expected installment premiums and commissions are not recorded on the balance sheet as they are under GAAP. • The put options in CCS are not accounted for as derivatives as they are under GAAP. • Foreign denominated unearned premiums reserve is remeasured at current exchange rates. rather than carried at historical rates under GAAP. Bermuda AG Re, a Bermuda regulated Class 3B insurer, and AGRO, a Bermuda regulated Class 3A and Class C insurer, prepare their statutory financial statements in conformity with the accounting principles set forth in the Insurance Act 1978, amendments thereto and related regulations. As of December 31, 2016, the Bermuda Monetary Authority (the Authority) requires insurers to prepare statutory financial statements in accordance with the particular accounting principles adopted by the insurer (which, in the case of AG Re and AGRO, are U.S. GAAP), subject to certain adjustments. The principal difference relates to certain assets designated as “non-admitted assets” which are charged directly to statutory surplus rather than reflected as assets as they are under U.S. GAAP. United Kingdom AGUK prepares its Solvency and Financial Condition Report and other required regulatory financial reports based on Prudential Regulation Authority and Solvency II Regulations (Solvency II). As of December 31, 2021 and December 31, 2020, AGUK’s Own Funds were £591 million (or $800 million) and £573 million (or $783 million), respectively. France AGE prepares its Solvency and Financial Condition Report and other required regulatory financial reports based on Autorité de Contrôle Prudentiel et de Résolution (ACPR) regulations and Solvency II. As of December 31, 2021 and December 31, 2020, AGE’s Own Funds were €58 million (or $66 million) and €75 million (or $92 million), respectively. Dividend Restrictions and Capital Requirements United States Under the New York insurance law, AGM may only pay dividends out of “earned surplus,” which is the portion of an insurer’s surplus that represents the net earnings, gains or profits (after deduction of all losses) that have not been distributed to the insurer’s 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 may pay dividends without the prior approval of the New York Superintendent of Financial Services (New York Superintendent) in an amount that, together with all dividends declared or distributed by it during the preceding 12 months, does not exceed the lesser of 10% of its policyholders’ surplus (as of its last annual or quarterly statement filed with the New York Superintendent) or 100% of its adjusted net investment income during that period. The maximum amount available during 2022 for AGM to distribute as dividends without regulatory approval is estimated to be approximately $305 million. Of such $305 million, $96 million is estimated to be available for distribution in the first quarter of 2022. Under Maryland’s insurance law, AGC may, with prior notice to the Maryland Insurance Commissioner, pay an ordinary dividend in an amount 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 2022 for AGC to distribute as ordinary dividends is approximately $207 million. Of such $207 million, approximately $126 million is available for distribution in the first quarter of 2022. 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 Authority. Separately, dividends are paid out of an insurer’s statutory surplus and cannot exceed that surplus. Furthermore, annual dividends cannot exceed 25% of total statutory capital and surplus as set out in its previous year’s financial statements, which is $236 million, without AG Re certifying to the Authority that it will continue to meet required margins. Based on the foregoing limitations, in 2022 AG Re has the capacity to: (i) make capital distributions in an aggregate amount up to $129 million without the prior approval of the Authority; and (ii) declare and pay dividends in an aggregate amount up to approximately $236 million as of December 31, 2021. Such dividend capacity is further limited by: (i) the actual amount of AG Re’s unencumbered assets, which amount changes from time to time due in part to collateral posting requirements and which was approximately $165 million as of December 31, 2021; and (ii) the amount of statutory surplus, which as of December 31, 2021 was $86 million. For AGRO, a subsidiary of AG Re, annual dividends cannot exceed $106 million, without AGRO certifying to the Authority that it will continue to meet required margins. Based on the foregoing limitations, in 2022 AGRO has the capacity to: (i) make capital distributions in an aggregate amount up to $21 million without the prior approval of the Authority; and (ii) declare and pay dividends in an aggregate amount up to approximately $106 million as of December 31, 2021. Such dividend capacity is further limited by: (i) the actual amount of AGRO’s unencumbered assets, which amount changes from time to time due in part to collateral posting requirements and which was approximately $421 million as of December 31, 2021; and (ii) the amount of statutory surplus, which as of December 31, 2021 was $288 million. United Kingdom U.K. company law prohibits 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 for AGUK. France French company law prohibits AGE from declaring a dividend to its shareholders unless it has “profits and /or reserves 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 French law imposes no statutory restrictions on an insurer’s ability to declare a dividend, the ACPR’s capital requirements may, in practice, act as a restriction on dividends for AGE. Dividend Restrictions and Capital Requirements Distributions from / Contributions to Insurance Company Subsidiaries Year Ended December 31, 2021 2020 2019 (in millions) Dividends paid by AGC to AGUS $ 94 $ 166 $ 123 Dividends paid by AGM to AGMH 291 267 220 Dividends paid by AG Re to AGL (1) 150 150 275 Repurchase of common stock by AGC from AGUS — — 100 Dividends from AGUK to AGM (2) — 124 — Contributions from AGM to AGE (2) — (123) — ____________________ (1) The 2021 and 2020 amounts included fixed-maturity securities with a fair value of $46 million and $47 million, respectively. |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2021 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions From time to time, certain officers, directors, employees, their family members and related charitable foundations may make investments in various private funds, vehicles or accounts managed by AssuredIM. These investments are available to those of the Company’s employees whom the Company has determined to have a status that reasonably permits the Company to offer them these types of investments in compliance with applicable laws. Generally, these investments are not subject to the management fees and performance allocations or incentive fees charged to other investors. See Note 11, Asset Management Fees, for information on management fees from AssuredIM Funds and CLOs. As of December 31, 2021 and December 31, 2020, each of Wellington Management Company, LLP (together with its affiliates, Wellington) and BlackRock Financial Management Inc. (together with its affiliates, BlackRock) directly or indirectly owned more than 5% of the Company’s common shares. Wellington is one of the Company’s investment managers, and BlackRock was also one of the Company’s investment managers until September 2020. BlackRock also provided and continues to provide investment reporting software to the Company. The Company owns a minority interest in Wasmer, Schroeder & Company LLC (Wasmer), which until July 1, 2020, was also one of the Company’s investment portfolio managers. The Company’s investment management agreement with Wasmer was transferred to the Charles Schwab Corporation (Schwab) on July 1, 2020, in connection with the closing on July 1, 2020 of the purchase by Schwab of the business of Wasmer. The investment management and reporting software expense from transactions with Wellington, BlackRock and Wasmer were approximately $2.4 million in 2021, $3.4 million in 2020 and $3.8 million in 2019. In addition, the Company recognized $0.5 million and $1.0 million in 2020 and 2019, respectively, in income from its investment in Wasmer, which is included in “equity in earnings of investees” in the consolidated statements of operations. Accrued expenses from transactions with these related parties were $1 million and $1 million as of December 31, 2021 and December 31, 2020, respectively. Other related party transactions include receivables from and payables to AssuredIM Funds and receivables due from employees. Total other assets and liabilities with related parties were $4 million and $2 million, respectively, as of December 31, 2021 and $9 million and $1 million, respectively, as of December 31, 2020. In addition, see Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for the investments in AssuredIM Funds and other affiliated entities that are held by CIVs. In addition, the Company cancelled 385,777 common shares it received in December 2020 from the Company’s former Chief Investment Officer and Head of Asset Management pursuant to the terms of the separation agreement. The Company recognized $12 million benefit in “other income” in the consolidated statements of operations in connection with this, with an offset to “retained earnings”. |
Leases
Leases | 12 Months Ended |
Dec. 31, 2021 | |
Leases [Abstract] | |
Leases | Leases The Company is party to various non-cancelable lease agreements, substantially all of which are operating leases. The majority of the Company's leases relate to office space dedicated to the Company's operations in various locations (primarily New York City, San Francisco, Bermuda, London and Paris,) consisting of a total of 271 thousand square feet with expiration dates ranging from 2022 to 2032. The Company subleases certain properties that are not used in its operations. Accounting Policy The Company determines if an arrangement is a lease at inception. For leases with an original term of more than 12 months, where the Company is the lessee, it recognizes a right-of-use (ROU) asset in “other assets” and a lease liability in “other liabilities” on the consolidated balance sheets for its operating leases. An ROU asset represents the Company’s right to use an underlying asset for the lease term, and a lease liability represents the Company’s obligation to make lease payments arising from the lease. At the inception of a lease, the total fixed payments under a lease agreement are discounted utilizing an incremental borrowing rate that represents the Company’s collateralized borrowing rate. The rate is determined based on the lease term as of the lease commencement date. Some of the Company’s leases include renewal options, which are not included in the lease terms unless the Company is reasonably certain to exercise the option. The Company elected the practical expedient to account for all lease components and their associated non-lease components (i.e., common area maintenance, real estate taxes, building insurance, etc.) as a single lease component and include all fixed payments in the measurement of ROU assets and lease liabilities. Operating lease expense is recognized on a straight-line basis over the lease term. Costs related to variable lease and non-lease components for the Company’s leases are expensed in the period incurred. Sublease income is earned on a straight-line basis over the term of the lease. The Company assesses ROU assets for impairment when certain events occur or when there are changes in circumstances including potential alternative uses. If circumstances require an ROU asset to be tested for possible impairment, and the carrying value of the ROU asset is not recoverable on an undiscounted cash flow basis, an impairment is recognized to the extent that the carrying value exceeds its fair value and reported in “other operating expenses” in the consolidated statement of operations. Lease Assets and Liabilities As of December 31, 2021, the ROU asset and lease liability was $100 million and $136 million, respectively. As of December 31, 2020, the ROU asset and lease liability was $79 million and $119 million, respectively. The weighted average remaining lease term as of both December 31, 2021 and December 31, 2020 was 8.6 years. The Company used a weighted average rate of 2.40% and 2.58% as of December 31, 2021 and December 31, 2020, respectively. Lease Expense and Other Information Year Ended December 31, 2021 2020 2019 (in millions) Operating lease cost (1) $ 16 $ 30 $ 10 Other lease costs (2) 3 4 2 Sublease income (5) (3) — Total lease cost (3) $ 14 $ 31 $ 12 Cash paid for amounts included in the measurement of lease liabilities Operating cash outflows for operating leases $ 20 $ 19 $ 11 ROU assets obtained in exchange for new operating lease liabilities (4) 35 4 37 ____________________ (1) The 2020 amount includes $13 million ROU asset impairment on an ROU asset. (2) Includes variable, short-term and finance lease costs. (3) Includes amortization on finance lease ROU assets and interest on finance lease liabilities reported in “other operating expenses” in the consolidated statements of operations. (4) The amounts in 2021 relate primarily to additional office space leased in New York City. The amounts for 2019 relate primarily to the BlueMountain Acquisition. See Note 2, Business Combinations, for additional information. During the fourth quarter of 2020, the Company made the decision to actively market for sublease office space acquired in the BlueMountain Acquisition. Accordingly, the Company recognized an ROU asset impairment of $13 million as of December 31, 2020 within the Asset Management segment, reducing the carrying value of the associated ROU asset to its estimated fair value. This ROU asset fair value was estimated using an income-approach based on forecasted future cash flows expected to be derived from the property based on current sublease market rent. Future Minimum Rental Payments Operating Leases As of December 31, 2021 Year (in millions) 2022 $ 23 2023 23 2024 16 2025 13 2026 12 Thereafter 65 Total lease payments 152 Less: Imputed interest 16 Total lease liabilities $ 136 |
Leases | Leases The Company is party to various non-cancelable lease agreements, substantially all of which are operating leases. The majority of the Company's leases relate to office space dedicated to the Company's operations in various locations (primarily New York City, San Francisco, Bermuda, London and Paris,) consisting of a total of 271 thousand square feet with expiration dates ranging from 2022 to 2032. The Company subleases certain properties that are not used in its operations. Accounting Policy The Company determines if an arrangement is a lease at inception. For leases with an original term of more than 12 months, where the Company is the lessee, it recognizes a right-of-use (ROU) asset in “other assets” and a lease liability in “other liabilities” on the consolidated balance sheets for its operating leases. An ROU asset represents the Company’s right to use an underlying asset for the lease term, and a lease liability represents the Company’s obligation to make lease payments arising from the lease. At the inception of a lease, the total fixed payments under a lease agreement are discounted utilizing an incremental borrowing rate that represents the Company’s collateralized borrowing rate. The rate is determined based on the lease term as of the lease commencement date. Some of the Company’s leases include renewal options, which are not included in the lease terms unless the Company is reasonably certain to exercise the option. The Company elected the practical expedient to account for all lease components and their associated non-lease components (i.e., common area maintenance, real estate taxes, building insurance, etc.) as a single lease component and include all fixed payments in the measurement of ROU assets and lease liabilities. Operating lease expense is recognized on a straight-line basis over the lease term. Costs related to variable lease and non-lease components for the Company’s leases are expensed in the period incurred. Sublease income is earned on a straight-line basis over the term of the lease. The Company assesses ROU assets for impairment when certain events occur or when there are changes in circumstances including potential alternative uses. If circumstances require an ROU asset to be tested for possible impairment, and the carrying value of the ROU asset is not recoverable on an undiscounted cash flow basis, an impairment is recognized to the extent that the carrying value exceeds its fair value and reported in “other operating expenses” in the consolidated statement of operations. Lease Assets and Liabilities As of December 31, 2021, the ROU asset and lease liability was $100 million and $136 million, respectively. As of December 31, 2020, the ROU asset and lease liability was $79 million and $119 million, respectively. The weighted average remaining lease term as of both December 31, 2021 and December 31, 2020 was 8.6 years. The Company used a weighted average rate of 2.40% and 2.58% as of December 31, 2021 and December 31, 2020, respectively. Lease Expense and Other Information Year Ended December 31, 2021 2020 2019 (in millions) Operating lease cost (1) $ 16 $ 30 $ 10 Other lease costs (2) 3 4 2 Sublease income (5) (3) — Total lease cost (3) $ 14 $ 31 $ 12 Cash paid for amounts included in the measurement of lease liabilities Operating cash outflows for operating leases $ 20 $ 19 $ 11 ROU assets obtained in exchange for new operating lease liabilities (4) 35 4 37 ____________________ (1) The 2020 amount includes $13 million ROU asset impairment on an ROU asset. (2) Includes variable, short-term and finance lease costs. (3) Includes amortization on finance lease ROU assets and interest on finance lease liabilities reported in “other operating expenses” in the consolidated statements of operations. (4) The amounts in 2021 relate primarily to additional office space leased in New York City. The amounts for 2019 relate primarily to the BlueMountain Acquisition. See Note 2, Business Combinations, for additional information. During the fourth quarter of 2020, the Company made the decision to actively market for sublease office space acquired in the BlueMountain Acquisition. Accordingly, the Company recognized an ROU asset impairment of $13 million as of December 31, 2020 within the Asset Management segment, reducing the carrying value of the associated ROU asset to its estimated fair value. This ROU asset fair value was estimated using an income-approach based on forecasted future cash flows expected to be derived from the property based on current sublease market rent. Future Minimum Rental Payments Operating Leases As of December 31, 2021 Year (in millions) 2022 $ 23 2023 23 2024 16 2025 13 2026 12 Thereafter 65 Total lease payments 152 Less: Imputed interest 16 Total lease liabilities $ 136 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2021 | |
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 insurance subsidiaries are involved in litigation with third parties to recover insurance losses paid in prior periods or prevent or reduce losses in the future. For example, the Company is involved in a number of legal actions in the Federal District Court for Puerto Rico to enforce or defend 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 also “Recovery Litigation” section of Note 5, Expected Loss to be Paid (Recovered), for a description of recovery litigation unrelated to Puerto Rico. Also, in the ordinary course of their respective business, certain of AGL’s investment management subsidiaries are involved in litigation with third parties regarding fees, appraisals, or portfolio companies. The impact, if any, of these and other proceedings on the amount of recoveries the Company receives and losses it pays in the future is uncertain, and the impact of 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 and interrogatories from regulators from time to time. Accounting Policy 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 (the Supreme Court), asserted a claim for breach of the implied covenant of good faith and fair dealing based on AGFP's termination in December 2008 of nine credit derivative transactions between LBIE and AGFP and asserted claims for breach of contract and breach of the implied covenant of good faith and fair dealing based on AGFP’s termination in July 2008 of 28 other credit derivative transactions between LBIE and AGFP and AGFP’s calculation of the termination payment in connection with those 28 other credit derivative transactions. 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 has calculated that LBIE owes AGFP approximately $4 million for the claims which were dismissed and approximately $21 million in connection with the termination of the other credit derivative transactions, whereas LBIE asserted in the complaint that AGFP owes LBIE a termination payment of approximately $1.4 billion. AGFP filed a motion to dismiss the claims for breach of the implied covenant of good faith in LBIE’s complaint, and on March 15, 2013, the court granted AGFP’s motion to dismiss in respect of the count relating to the nine credit derivative transactions and narrowed LBIE’s claim with respect to the 28 other credit derivative transactions. 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. In addition, LBIE seeks prejudgment interest from the time of termination onwards. AGFP filed a motion for summary judgment on the remaining causes of action asserted by LBIE and on AGFP’s counterclaims, and on July 2, 2018, the court granted in part and denied in part AGFP’s motion. The court dismissed, in its entirety, LBIE’s remaining claim for breach of the implied covenant of good faith and fair dealing and also dismissed LBIE’s claim for breach of contract solely to the extent that it is based upon AGFP’s conduct in connection with the auction. With respect to LBIE’s claim for breach of contract, the court held that there are triable issues of fact regarding whether AGFP calculated its loss reasonably and in good faith. On October 1, 2018, AGFP filed an appeal with the Appellate Division of the Supreme Court of the State of New York, First Judicial Department, seeking reversal of the portions of the lower court’s ruling denying AGFP’s motion for summary judgment with respect to LBIE’s sole remaining claim for breach of contract. On January 17, 2019, the Appellate Division affirmed the Supreme Court’s decision, holding that the lower court correctly determined that there are triable issues of fact regarding whether AGFP calculated its loss reasonably and in good faith. The trial was originally scheduled for March 9, 2020, but was postponed due to COVID-19. On November 3, 2020, LBIE moved to reopen its Chapter 15 case in the United States Bankruptcy Court for the Southern District of New York (the Bankruptcy Court) and remove this action to the United States District Court for the Southern District of New York for assignment to the Bankruptcy Court. On March 22, 2021, the Bankruptcy Court denied the motion and remanded the action to the Supreme Court. On March 29, 2021, the action was reassigned to Justice Melissa A. Crane. A bench trial was held from October 18, 2021 through November 19, 2021; a decision is pending subject to post-trial briefing and argument. |
Shareholders' Equity
Shareholders' Equity | 12 Months Ended |
Dec. 31, 2021 | |
Equity [Abstract] | |
Shareholders' Equity | Shareholders’ Equity Accounting Policy The Company records share repurchases as a reduction to “common shares” and “additional paid-in capital”. Once additional paid-in capital has been exhausted, share repurchases are recorded as a reduction to common shares and retained earnings. Share Issuances AGL has authorized share capital of $5 million divided into 500,000,000 shares with a par value $0.01 per share. Except as described below, AGL’s common shares have no preemptive rights or other rights to subscribe for additional common shares, no rights of redemption, conversion or exchange and no sinking fund rights. In the event of liquidation, dissolution or winding-up, the holders of AGL’s common shares are entitled to share equally, in proportion to the number of common shares held by such holder, in AGL’s assets, if any remain after the payment of all AGL’s debt and liabilities and the liquidation preference of any outstanding preferred shares. Under certain circumstances, AGL has the right to purchase all or a portion of the shares held by a shareholder at fair market value. All of the common shares are fully paid and non-assessable. Holders of AGL’s common shares are entitled to receive dividends as lawfully may be declared from time to time by the Board. In general, and except as provided below, shareholders have one vote for each common share held by them and are entitled to vote with respect to their fully paid shares at all meetings of shareholders. However, if, and so long as, the common shares (and other of AGL’s shares) of a shareholder are treated as “controlled shares” (as determined pursuant to section 958 of the Code) of any U.S. Person and such controlled shares constitute 9.5% or more of the votes conferred by AGL’s issued and outstanding shares, the voting rights with respect to the controlled shares owned by such U.S. Person shall be limited, in the aggregate, to a voting power of less than 9.5% of the voting power of all issued and outstanding shares, under a formula specified in AGL’s Bye-Laws. The formula is applied repeatedly until there is no U.S. Person whose controlled shares constitute 9.5% or more of the voting power of all issued and outstanding shares and who generally would be required to recognize income with respect to AGL under the Code if AGL were a CFC as defined in the Code and if the ownership threshold under the Code were 9.5% (as defined in AGL’s Bye-Laws as a 9.5% U.S. Shareholder). Subject to AGL’s Bye-Laws and Bermuda law, AGL’s Board has the power to issue any of AGL’s unissued shares as it determines, including the issuance of any shares or class of shares with preferred, deferred or other special rights. Under AGL’s Bye-Laws and subject to Bermuda law, if AGL’s Board determines that any ownership of AGL's shares may result in adverse tax, legal or regulatory consequences to the Company, any of the Company’s subsidiaries or any of AGL’s shareholders or indirect holders of shares or its affiliates (other than such as AGL’s Board considers de minimis), the Company has the option, but not the obligation, to require such shareholder to sell to AGL, or to a third party to whom AGL assigns the repurchase right, the minimum number of common shares necessary to avoid or cure any such adverse consequences at a price determined in the discretion of the Board to represent the shares’ fair market value (as defined in AGL’s Bye-Laws). In addition, AGL’s Board may determine that shares held carry different voting rights when it deems it appropriate to do so to: (i) avoid the existence of any 9.5% U.S. Shareholder; and (ii) avoid adverse tax, legal or regulatory consequences to AGL or any of its subsidiaries or any direct or indirect holder of shares or its affiliates. “Controlled shares” includes, among other things, all shares of AGL that such U.S. Person is deemed to own directly, indirectly or constructively (within the meaning of section 958 of the Code). Further, these provisions do not apply in the event one shareholder owns greater than 75% of the voting power of all issued and outstanding shares. Under these provisions, certain shareholders may have their voting rights limited to less than one vote per share, while other shareholders may have voting rights in excess of one vote per share. Moreover, these provisions could have the effect of reducing the votes of certain shareholders who would not otherwise be subject to the 9.5% limitation by virtue of their direct share ownership. AGL’s Bye-Laws provide that it will use its best efforts to notify shareholders of their voting interests prior to any vote to be taken by them. Share Repurchases On February 23, 2022, the Board authorized the repurchase of an additional $350 million of its common shares. Under this and previous authorizations, as of February 24, 2022, the Company was authorized to purchase $364 million of its common shares. 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, some of which factors may be impacted by the direct and indirect consequences of the course and duration of the COVID-19 pandemic and evolving governmental and private responses to the pandemic. The repurchase program may be modified, extended or terminated by the Board at any time. It does not have an expiration date. Share Repurchases Year Number of Shares Repurchased Total Payments Average Price Paid Per Share 2019 11,163,929 $ 500 $ 44.79 2020 15,787,804 446 28.23 2021 10,519,040 496 47.19 2022 (through February 24, 2022 on a settlement date basis) 1,682,800 92 54.32 Deferred Compensation Certain executives of the Company elected to invest a portion of their AG US Group Services Inc. supplemental executive retirement plan (AGS SERP) accounts in the employer stock fund in the AGS SERP. Each unit in the employer stock fund represents the right to receive one AGL common share upon a distribution from the AGS SERP. Each unit equals the number of AGL common shares which could have been purchased with the value of the account deemed invested in the employer stock fund as of the date of such election. As of December 31, 2021 and 2020, there were 74,309 and 74,309 units, respectively, in the AGS SERP. See Note 14, Employee Benefit Plans. Dividends Any determination to pay cash dividends is at the discretion of the Company’s Board, and depends upon the Company’s results of operations, cash flows from operating activities, its financial position, capital requirements, general business conditions, legal, tax, regulatory, rating agency and contractual restrictions on the payment of dividends, other potential uses for such funds, and any other factors the Company’s Board deems relevant. For more information concerning regulatory constraints that affect the Company’s ability to pay dividends, see Note 16, Insurance Company Regulatory Requirements. On February 23, 2022, the Company declared a quarterly dividend of $0.25 per common share compared with $0.22 per common share paid in 2021, an increase of 13.6%. |
Other Comprehensive Income
Other Comprehensive Income | 12 Months Ended |
Dec. 31, 2021 | |
Equity [Abstract] | |
Other Comprehensive Income | Other Comprehensive Income The following tables present the changes in each component of AOCI and the effect of reclassifications out of AOCI into the respective lines in the consolidated statements of operations. Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2021 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2020 $ 577 $ (30) $ (20) $ (36) $ 7 $ 498 Other comprehensive income (loss) before reclassifications (184) — (3) — — (187) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 21 (7) — — — 14 Fair value gains (losses) on FG VIEs — — (3) — — (3) Interest expense — — — — 1 1 Total before tax 21 (7) (3) — 1 12 Tax (provision) benefit (3) 1 1 — — (1) Total amount reclassified from AOCI, net of tax 18 (6) (2) — 1 11 Other comprehensive income (loss) (202) 6 (1) — (1) (198) Balance, December 31, 2021 $ 375 $ (24) $ (21) $ (36) $ 6 $ 300 Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2020 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2019 $ 352 $ 48 $ (27) $ (38) $ 7 $ 342 Effect of adoption of accounting guidance on credit losses 62 (62) — — — — Other comprehensive income (loss) before reclassifications 189 (29) 7 2 — 169 Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 30 (16) — — — 14 Total before tax 30 (16) — — — 14 Tax (provision) benefit (4) 3 — — — (1) Total amount reclassified from AOCI, net of tax 26 (13) — — — 13 Other comprehensive income (loss) 163 (16) 7 2 — 156 Balance, December 31, 2020 $ 577 $ (30) $ (20) $ (36) $ 7 $ 498 Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2019 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2018 $ 59 $ 94 $ (31) $ (37) $ 8 $ 93 Other comprehensive income (loss) before reclassifications 339 (62) (8) (1) — 268 Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 55 (32) — — — 23 Net investment income 1 15 — — — 16 Fair value gains (losses) on FG VIEs — — (15) — — (15) Interest expense — — — — 1 1 Total before tax 56 (17) (15) — 1 25 Tax (provision) benefit (10) 1 3 — — (6) Total amount reclassified from AOCI, net of tax 46 (16) (12) — 1 19 Other comprehensive income (loss) 293 (46) 4 (1) (1) 249 Balance, December 31, 2019 $ 352 $ 48 $ (27) $ (38) $ 7 $ 342 |
Earnings Per Share
Earnings Per Share | 12 Months Ended |
Dec. 31, 2021 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share Accounting Policy The Company computes EPS using the two-class method, which is an earnings allocation formula that determines EPS for: (i) each class of common shares (the Company has a single class of common shares); and (ii) participating securities according to dividends declared (or accumulated) and participation rights in undistributed earnings. Restricted stock awards and share units under the AGS SERP are considered participating securities as they received non-forfeitable rights to dividends (or dividend equivalents) similar to common shares. Basic EPS is computed by dividing net income (loss) available to common shareholders of Assured Guaranty by the weighted-average number of common shares outstanding during the period. Diluted EPS adjusts basic EPS for the effects of restricted stock, restricted stock units, stock options and other potentially dilutive financial instruments (dilutive securities), only in the periods in which such effect is dilutive. The effect of the dilutive securities is reflected in diluted EPS by application of the more dilutive of: (1) the treasury stock method; or (2) the two-class method assuming nonvested shares are not converted into common shares. Computation of Earnings Per Share Year Ended December 31, 2021 2020 2019 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 389 $ 362 402 Less: Distributed and undistributed income (loss) available to nonvested shareholders — 1 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 389 $ 361 401 Basic shares 73.5 85.5 99.3 Basic EPS $ 5.29 $ 4.22 $ 4.04 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 389 $ 361 $ 401 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries — — — Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 389 $ 361 $ 401 Basic shares 73.5 85.5 99.3 Dilutive securities: Options and restricted stock awards 0.8 0.7 0.9 Diluted shares 74.3 86.2 100.2 Diluted EPS $ 5.23 $ 4.19 $ 4.00 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.1 0.8 — |
Parent Company
Parent Company | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Parent Company | Parent CompanyThe following tables present the condensed financial statements of Assured Guaranty Ltd., the Company’s parent company, for the periods as indicated. Assured Guaranty Ltd. (Parent Company) Condensed Balance Sheets (in millions) As of December 31, 2021 2020 Assets Investments $ 188 $ 190 Investments in subsidiaries 5,994 6,432 Dividends receivable from subsidiaries 81 — Other assets (1) 46 38 Total assets $ 6,309 $ 6,660 Liabilities Other liabilities (1) $ 17 $ 17 Total liabilities $ 17 $ 17 Total shareholders’ equity attributable to AGL $ 6,292 $ 6,643 Total liabilities and shareholders’ equity $ 6,309 $ 6,660 ____________________ (1) Mainly consists of due from and due to affiliates. Assured Guaranty Ltd. (Parent Company) Condensed Statements of Operations and Comprehensive Income (in millions) Year Ended December 31, 2021 2020 2019 Revenues Net investment income $ 1 $ — $ — Total revenues 1 — — Expenses Other expenses (1) 35 34 31 Total expenses 35 34 31 Income (loss) before equity in earnings of subsidiaries (34) (34) (31) Equity in earnings of subsidiaries 423 396 433 Net income attributable to AGL 389 362 402 Other comprehensive income (loss) attributable to AGL (198) 156 249 Comprehensive income (loss) attributable to AGL $ 191 $ 518 $ 651 ____________________ (1) Includes expense allocations from subsidiaries. Assured Guaranty Ltd. (Parent Company) Condensed Statements of Cash Flows (in millions) Year Ended December 31, 2021 2020 2019 Cash flows from operating activities: Net income attributable to AGL $ 389 $ 362 $ 402 Adjustments to reconcile net income to net cash flows provided by operating activities: Equity in earnings of subsidiaries (423) (396) (433) Cash dividends from subsidiaries 539 547 689 Other 22 19 21 Net cash flows provided by (used in) operating activities 527 532 679 Cash flows from investing activities: Short-term investments with maturities of over three months: Purchases — (4) — Maturities and paydowns 4 — — Net sales (purchases) of short-term investments with original maturities of less than three months 41 (3) (90) Net cash flows provided by (used in) investing activities 45 (7) (90) Cash flows from financing activities: Dividends paid (66) (69) (74) Repurchases of common shares (496) (446) (500) Other (10) (10) (15) Net cash flows provided by (used in) financing activities (572) (525) (589) Increase (decrease) in cash — — — Cash at beginning of period — — — Cash at end of period $ — $ — $ — Supplemental disclosure of non-cash investing activities: Dividend from a subsidiary in the form of fixed-maturity securities $ 46 $ 47 $ — Basis of Presentation These condensed financial statements of Assured Guaranty Ltd. (AGL) should be read in conjunction with the Company’s consolidated financial statements and notes thereto. Assured Guaranty Ltd. is a Bermuda-based holding company that provides, through its operating subsidiaries, credit protection products to the U.S. and international public finance (including infrastructure) and structured finance markets, as well as asset management services. See Note 1, Business and Basis of Presentation for further information regarding the basis of presentation. Guarantees of Obligations of Affiliates AGL fully and unconditionally guarantees all of the U.S. Holding Companies’ debt. See Note 13, Long-Term Debt and Credit Facilities, for additional information. Credit Facility with Affiliate 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. In September 2018, AGL and AGUS amended the revolving credit facility to extend the commitment until October 25, 2023 (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 interest rate 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. Income Taxes AGL is not subject to any income, withholding or capital gains taxes under current Bermuda law. 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. See Note 15, Income Taxes for further information regarding AGL’s income taxes. |
Business and Basis of Present_2
Business and Basis of Presentation (Policies) | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). In management’s opinion, all material adjustments necessary for a fair statement of the financial condition, results of operations and cash flows of the Company, including its consolidated variable interest entities (VIEs), are reflected in the periods presented and are of a normal, recurring nature. 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. Certain prior year balances have been reclassified to conform to the current year’s presentation. |
Consolidation | The consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, and its consolidated financial guaranty VIEs (FG VIEs) and consolidated investment vehicles (CIVs). See Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. |
Significant Accounting Policies | Significant Accounting Policies The Company revalues assets, liabilities, revenue and expenses denominated in non-U.S. currencies into U.S. dollars using applicable exchange rates. Gains and losses relating to transactions in foreign denominations in those subsidiaries where the functional currency is the U.S. dollar are reported in the consolidated statements of operations. Gains and losses relating to translating foreign functional currency financial statements to U.S. dollars are reported in the consolidated statements of other comprehensive income (loss) (OCI). Other accounting policies are included in the following notes to the consolidated financial statements. Note Name Note Number Business combinations Note 2 Segment information Note 3 Expected loss to be paid (recovered) Note 5 Contracts accounted for as insurance Note 6 Contracts accounted for as credit derivatives Note 7 Investments and cash Note 8 Financial guaranty variable interest entities and consolidated investment vehicles Note 9 Fair value measurement Note 10 Asset management fees and compensation Note 11 Goodwill and other intangible assets Note 12 Long-term debt and credit facilities Note 13 Employee benefit plans Note 14 Income taxes Note 15 Leases Note 18 Commitments and contingencies Note 19 Shareholders' equity Note 20 Earnings per share Note 22 |
Foreign Currency Transactions and Translations | The Company revalues assets, liabilities, revenue and expenses denominated in non-U.S. currencies into U.S. dollars using applicable exchange rates. Gains and losses relating to transactions in foreign denominations in those subsidiaries where the functional currency is the U.S. dollar are reported in the consolidated statements of operations. Gains and losses relating to translating foreign functional currency financial statements to U.S. dollars are reported in the consolidated statements of other comprehensive income (loss) (OCI). |
Recent Accounting Standards Adopted and Not Yet Adopted | Recent Accounting Standards Adopted Simplification of the Accounting for Income Taxes In December 2019, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2019-12, Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes. The amendments in this ASU simplify the accounting for income taxes by removing certain exceptions and clarifying certain requirements regarding franchise taxes, goodwill, consolidated tax expenses and annual effective tax rate calculations. The ASU was effective for interim and annual periods beginning after December 15, 2020. This ASU did not have an impact on the Company’s consolidated financial statements. Reference Rate Reform In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting . This ASU provides optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this ASU only apply to contracts that reference the London Interbank Offered Rate (LIBOR) or another reference rate that is expected to be discontinued due to reference rate reform. This ASU became effective upon issuance and may be applied prospectively for contract modifications that occur from March 12, 2020 through December 31, 2022 (the Reference Rate Transition Period). In January 2021, the FASB issued ASU 2021-01, Reference Rate Reform (Topic 848): Scope , which clarifies the scope of relief related to ASU 2020-04. This ASU became effective upon issuance and may be applied on a full retrospective basis as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively for contract modifications made on or before December 31, 2022. The Company adopted the optional relief afforded by these ASUs in the third quarter of 2021 on a prospective basis, and the guidance will be followed until the optional relief terminates on December 31, 2022. The Company has identified insurance contracts, derivatives and other financial instruments that are directly or indirectly influenced by LIBOR, and will be applying the accounting relief as relevant contract modifications are made during the Reference Rate Transition Period. There was no impact to the Company’s consolidated financial statements upon the initial adoption of these ASUs. Recent Accounting Standards Not Yet Adopted Targeted Improvements to the Accounting for Long-Duration Contracts In August 2018, the FASB issued ASU 2018-12, Financial Services - Insurance (Topic 944): Targeted Improvements to the Accounting for Long-Duration Contracts . The amendments in this ASU: • improve the timeliness of recognizing changes in the liability for future policy benefits and modify the rate used to discount future cash flows, • simplify and improve the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, • simplify the amortization of deferred acquisition costs (DAC), and • improve the effectiveness of the required disclosures. This ASU does not affect the Company’s financial guaranty insurance contracts, but may affect its accounting for certain specialty (non-financial guaranty) insurance contracts. In November 2020, the FASB deferred the effective date of this ASU to January 1, 2023 with early adoption permitted. If early adoption is elected, there is transition relief allowing for the transition date to be either the beginning of the prior period presented or the beginning of the earliest period presented. If early adoption is not elected, the transition date is required to be the beginning of the earliest period presented. The Company is evaluating when it will adopt this ASU and does not expect this ASU to have a material effect on its consolidated financial statements. |
Business Combinations | Business combinations are accounted for under the acquisition method of accounting which requires that the assets and liabilities of the acquired entities be recorded at fair value. The excess of the purchase price over the fair value of the net assets of the acquired subsidiaries is recorded as goodwill. |
Segment Information | The Company reports its results of operations in two segments: Insurance and Asset Management, separate from its Corporate division and the effects of consolidating FG VIEs and CIVs, which is consistent with the manner in which the Company’s chief operating decision maker (CODM) reviews the business to assess performance and allocate resources. |
Expected Loss to be Paid | Expected loss to be paid (recovered) is equal to the present value of expected future cash outflows for loss and LAE payments, net of: (i) inflows for expected salvage, subrogation and other recoveries; and (ii) excess spread on underlying collateral, as applicable. Cash flows are discounted at current risk-free rates. The Company updates the discount rates each quarter and reflects the effect of such changes in economic loss development. Net expected loss to be paid (recovered) is net of amounts ceded to reinsurers. The Company’s net expected loss to be paid (recovered) incorporates management’s probability weighted estimates of all possible scenarios. Expected cash outflows and inflows are probability weighted cash flows that reflect management’s assumptions about the likelihood of all possible outcomes based on all information available to the Company. Those assumptions consider the relevant facts and circumstances and are consistent with the information tracked and monitored through the Company’s risk-management activities. Expected loss to be paid (recovered) is important from a liquidity perspective in that it represents the present value of amounts that the Company expects to pay or recover in future periods for all contracts. |
Premiums | Financial guaranty contracts that meet the scope exception under derivative accounting guidance are subject to industry specific guidance for financial guaranty insurance. The accounting for contracts that fall under the financial guaranty insurance definition is consistent whether contracts are written on a direct basis, assumed from another financial guarantor, ceded to another insurer, or acquired in a business combination. Premiums receivable represent the present value of contractual or expected future premium collections discounted using risk-free rates. Unearned premium reserve represents deferred premium revenue, less claim payments made (net of recoveries received) that have not yet been recognized in the statement of operations (contra-paid). The following discussion relates to the deferred premium revenue component of the unearned premium reserve, while the contra-paid is discussed below under “Financial Guaranty Insurance Losses.” The amount of deferred premium revenue at contract inception is determined as follows: • For premiums received upfront on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is equal to the amount of cash received. Upfront premiums typically relate to public finance transactions. • For premiums received in installments on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is the present value (discounted at risk free rates) of either: (i) contractual premiums due; or (ii) in cases where the underlying collateral is composed of homogeneous pools of assets, the expected premiums to be collected over the life of the contract. To be considered a homogeneous pool of assets, prepayments must be contractually allowable, the amount of prepayments must be probable, and the timing and amount of prepayments must be reasonably estimable. Installment premiums typically relate to structured finance and infrastructure transactions, where the insurance premium rate is determined at the inception of the contract but the insured par is subject to prepayment throughout the life of the transaction. • For financial guaranty insurance contracts acquired in a business combination, deferred premium revenue is equal to the fair value of the Company’s stand-ready obligation portion of the insurance contract at the date of acquisition based on what a hypothetical similarly rated financial guaranty insurer would have charged for the contract at that date and not the actual cash flows under the insurance contract. The amount of deferred premium revenue may differ significantly from cash collections primarily due to fair value adjustments recorded in connection with a business combination. When the Company adjusts prepayment assumptions or expected premium collections for obligations backed by homogeneous pools of assets, an adjustment is recorded to the deferred premium revenue, with a corresponding adjustment to the premium receivable. Premiums receivable are discounted at the risk-free rate at inception and such discount rate is updated only when changes to prepayment assumptions are made that change the expected date of final maturity. Accretion of the discount on premiums receivable is reported in “net earned premiums”. The Company recognizes deferred premium revenue as earned premium over the contractual period or expected period of the contract in proportion to the amount of insurance protection provided. As premium revenue is recognized, a corresponding decrease to the deferred premium revenue is recorded. The amount of insurance protection provided is a function of the insured par amount outstanding. Accordingly, the proportionate share of premium revenue recognized in a given reporting period is a constant rate calculated based on the relationship between the insured par amounts outstanding in the reporting period compared with the sum of each of the insured par amounts outstanding for all periods. When an insured financial obligation is retired before its maturity, the financial guaranty insurance contract is extinguished, and any nonrefundable deferred premium revenue related to that contract is accelerated and recognized as premium revenue. Effective January 1, 2020, the Company periodically assesses the need for an allowance for credit loss on premiums receivables. For assumed reinsurance contracts, net earned premiums reported in the consolidated statements of operations are calculated based upon data received from ceding companies; however, some ceding companies report premium data between 30 and 90 days after the end of the reporting period. The Company estimates net earned premiums for the lag period. Differences between such estimates and actual amounts are recorded in the period in which the actual amounts are determined. When installment premiums are related to assumed reinsurance contracts, the Company assesses the credit quality and available liquidity of the ceding companies and the impact of any potential regulatory constraints to determine the collectability of such amounts. |
Policy Acquisition Costs | Policy acquisition costs that are directly related and essential to successful insurance contract acquisition, as well as ceding commission income and expense on ceded and assumed reinsurance contracts, are deferred and reported net. Capitalized policy acquisition costs include the cost of underwriting personnel attributable to successful underwriting efforts. The Company conducts an annual time study, which requires the use of judgement, to estimate the amount of costs to be deferred. Ceding commission expense on assumed reinsurance contracts and ceding commission income on ceded reinsurance contracts that are associated with premiums received in installments are calculated at their contractually defined commission rates, discounted consistent with premiums receivable for all future periods, and included in DAC, with a corresponding offset to net premiums receivable or reinsurance balances payable. DAC is amortized in proportion to net earned premiums. Amortization of deferred policy acquisition costs includes the accretion of discount on ceding commission receivable and payable. When an insured obligation is retired early, the remaining related DAC is expensed at that time. Costs incurred for soliciting potential customers, market research, training, administration, unsuccessful acquisition efforts, and product development as well as overhead costs are charged to expense as incurred. Expected losses and LAE, investment income, and the remaining costs of servicing the insured or reinsured business, are considered in determining the recoverability of DAC. Policy Acquisition Costs |
Loss and LAE Reserve | Loss and LAE Reserve Loss and LAE reserve reported on the balance sheet relates only to direct and assumed reinsurance contracts that are accounted for as insurance, substantially all of which are financial guaranty insurance contracts. The corresponding reserve ceded to reinsurers is reported as reinsurance recoverable on unpaid losses and reported in other assets. Any loss and LAE reserves related to FG VIEs are eliminated upon consolidation. Any expected losses to be paid (recovered) on credit derivatives are reflected in the fair value of credit derivatives. Under financial guaranty insurance accounting, the sum of unearned premium reserve and loss and LAE reserve represents the Company’s stand‑ready obligation. At contract inception, the entire stand-ready obligation is represented entirely by unearned premium reserve. Unearned premium reserve is deferred premium revenue, less claim payments (net of recoveries received) that have not yet been recognized in the statement of operations (contra-paid). A loss and LAE reserve for a financial guaranty insurance contract is recorded only to the extent, and for the amount, that expected loss to be paid plus contra-paid (total losses) exceed the deferred premium revenue, on a contract-by-contract basis. As a result, the Company has expected loss to be paid that has not yet been expensed. Such amounts will be recognized in future periods as deferred premium revenue amortizes into income. When a claim or LAE payment is made on a contract, it first reduces any recorded loss and LAE reserve. To the extent there is no loss and LAE reserve on a contract, then such claim payment is recorded as “contra-paid,” which reduces the unearned premium reserve. The contra-paid is recognized in “loss and loss adjustment expenses (benefit)” in the consolidated statement of operations when and for the amount that total losses exceed the remaining deferred premium revenue on the insurance contract. “Loss and loss adjustment expenses (benefit)” in the consolidated statement of operations is presented net of cessions to reinsurers. |
Salvage and Subrogation Recoverable | Salvage and Subrogation Recoverable When the Company becomes entitled to the cash flow from the underlying collateral of, or other recoveries in relation to, an insured exposure under salvage and subrogation rights as a result of a claim payment or estimated future claim payment, it reduces the expected loss to be paid on the contract. Such reduction in expected loss to be paid can result in one of the following: (i) a reduction in the corresponding loss and LAE reserve with a benefit to the consolidated statement of operations; (ii) no effect on the consolidated balance sheet or statement of operations, if “total loss” is not in excess of deferred premium revenue; or (iii) the recording of a salvage asset with a benefit to the consolidated statement of operations if the transaction is in a net recovery position at the reporting date. The ceded component of salvage and subrogation recoverable is reported in “other liabilities”. |
Expected Loss to be Expensed | Expected Loss to be Expensed Expected loss to be expensed represents past or expected future financial guaranty insurance net claim payments that have not yet been expensed. Such amounts will be expensed in future periods as deferred premium revenue amortizes into income. Expected loss to be expensed is the Company’s projection of incurred losses that will be recognized in future periods, excluding accretion of discount. |
Contracts Accounted for as Credit Derivatives | Credit derivatives are recorded at fair value. Changes in fair value are reported in “net change in fair value of credit derivatives” in the consolidated statement of operations. The fair value of credit derivatives is reflected as either net assets or net liabilities determined on a contract-by-contract basis in the Company’s consolidated balance sheets. See Note 10, Fair Value Measurement, for a discussion on the fair value methodology for credit derivatives. |
Investments and Cash | Fixed-maturity debt securities are classified as available-for-sale and are measured at fair value. Loss mitigation securities are accounted for based on their underlying investment type, excluding the effects of the Company’s insurance. Unrealized gains and losses that are not associated with credit related factors are reported as a component of accumulated OCI (AOCI), net of deferred income taxes, in shareholders’ equity. Available-for-sale fixed-maturity securities are recorded on a trade-date basis. Short-term investments, which are those investments with a maturity of less than one year at time of purchase, are carried at fair value and include amounts deposited in certain money market funds. Other invested assets primarily consist of equity method investments. The Company reports its interest in the earnings of equity method investments in “equity in earnings of investees” in the consolidated statement of operations. Where financial information of investees are not received on a timely basis, such results are reported on a lag. The Company classifies distributions received from equity method investments using the cumulative earnings approach in the consolidated statements of cash flows. Under the cumulative earnings approach, distributions received up to the amount of cumulative equity in earnings recognized are treated as returns on investment within operating cash flows and those in excess of that amount are treated as returns of investment within investing cash flows. Distributions from equity method investments for which the Company elected the fair value option are classified as investing activities. AssuredIM Funds, in which AGAS (primarily) and other subsidiaries invest, and where the Company has been deemed to be the primary beneficiary, are not reported in “investments” on the consolidated balance sheets, but rather, such AssuredIM Funds are consolidated and reported in “assets of consolidated investment vehicles” and “liabilities of consolidated investment vehicles”, with the portion not owned by AGAS and other subsidiaries presented as either redeemable or non-redeemable noncontrolling interests (NCI). See Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for further information regarding the CIVs. Cash consists of cash on hand, demand deposits for all entities, and cash and cash equivalents for consolidated AssuredIM Funds. See Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Net investment income primarily includes the income earned on fixed-maturity securities and short-term investments, including amortization of premiums and accretion of discounts. For mortgage-backed securities and any other securities for which there is prepayment risk, prepayment assumptions are evaluated quarterly and revised as necessary. For securities other than PCD securities, any necessary adjustments due to changes in effective yields and maturities are recognized in net investment income using the retrospective method. Net realized investment gains (losses) include sales of investments, which are determined using the specific identification method, reductions to amortized cost of available-for-sale investments that have been written down due to the Company’s intent to sell them or it being more likely than not that the Company will be required to sell them, and the change in allowance for credit losses (including accretion) for periods starting on or after January 1, 2020, or other-than-temporary impairments for reporting periods prior to January 1, 2020. For all securities that were originally purchased with credit deterioration, accrued interest is not separately presented, but rather is a component of the amortized cost of the instrument. For all other available-for-sale securities, a separate amount for accrued interest is reported in “other assets”. |
Credit Losses | Credit Losses Credit Impairment – Subsequent to the Adoption of the Financial Instruments Credit Losses Standard on January 1, 2020: For fixed-maturity securities for which a decline in the fair value below the amortized cost is due to credit related factors, an allowance is established for the difference between the estimated recoverable value and amortized cost with a corresponding charge to net realized investment gains (losses). The allowance for credit losses is limited to the difference between amortized cost and fair value. The estimated recoverable value is the present value of cash flows expected to be collected, as determined by management. The difference between fair value and amortized cost that is not associated with credit related factors is presented as a component of AOCI. When estimating future cash flows for fixed-maturity securities, management considers the historical performance of underlying assets and available market information as well as bond-specific considerations. In addition, the process of estimating future cash flows includes, but is not limited to, the following critical inputs, which vary by security type: • the extent to which fair value is less than amortized cost; • credit ratings; • any adverse conditions specifically related to the security, industry, and/or geographic area; • changes in the financial condition of the issuer, or underlying loan obligors; • general economic and political factors; • remaining payment terms of the security; • prepayment speeds; • expected defaults; and • the value of any embedded credit enhancements. Credit losses are reassessed each period. The allowance for credit losses and the corresponding charge to net realized investment gains (losses) can be reversed if conditions change, however, the allowance for credit losses will never be reduced below zero. When the Company determines that all or a portion of a fixed-maturity security is uncollectible, the uncollectible amortized cost amount is written off with a corresponding reduction to the allowance for credit losses. If cash flows that were previously written off are collected, the recovery is recognized in net realized investment gains (losses). An allowance for credit loss is not established upon initial recognition of an available-for-sale debt security, except for purchased credit deteriorated (PCD) securities. PCD securities are defined as financial assets that, as of the date of acquisition, have experienced a more-than-insignificant deterioration in credit quality since origination, as determined by the Company’s assessment. An initial allowance for credit loss is recognized on the date of acquisition of PCD securities. The amortized cost of PCD securities on the date of acquisition is equal to the purchase price plus the allowance for credit loss, but no credit loss expense is recognized in the statement of operations on the date of acquisition. After the date of acquisition, deterioration (or improvement) in credit will result in an increase (or decrease) to the allowance and an offsetting credit loss expense (or benefit). To measure this, the Company performs a discounted cash flow analysis. For PCD securities that are also beneficial interests, favorable or adverse changes in expected cash flows are recognized as a decrease (or increase) to the allowance for credit losses. Those changes in expected cash flows that are not captured through the allowance are reflected as a prospective adjustment of the security’s yield within net investment income. The Company has elected to not measure credit losses on its accrued interest receivable and instead writes off accrued interest at the earliest to occur: (i) the date it is deemed uncollectible; or (ii) when it is six months past due. All write-offs of accrued interest are recorded as a reduction to net investment income in the consolidated statements of operations. For securities the Company intends to sell and securities for which it is more-likely-than-not that the Company will be required to sell the security before recovery of its amortized cost, and the fair value of the security is below amortized cost, the amortized cost is written down to current fair value, with a corresponding charge to net realized investment gains (losses). No allowance is established in these situations and any previously recorded allowance is reversed. The new cost basis is not adjusted for subsequent increases in estimated fair value. The length of time an instrument has been impaired or the effect of changes in foreign exchange rates are not considered in the Company’s assessment of credit loss. The assessment of whether a credit loss exists is performed each reporting period. Credit Impairment – Prior to the Adoption of the Financial Instruments Credit Losses Standard on January 1, 2020: Changes in fair value for other-than-temporarily-impaired securities were bifurcated between credit losses and non-credit changes in fair value. The credit loss on other-than-temporarily-impaired securities were reported in “net realized investment gains (losses).” The Company had a formal review process to determine other-than-temporary impairment (OTTI) for securities in its investment portfolio where there was no intent to sell and it was not more-likely-than-not that it would have been required to sell the security before recovery. Factors considered when assessing impairment included: • a decline in the market value of a security by 20% or more below amortized cost for a continuous period of at least six months; • a decline in the market value of a security for a continuous period of 12 months; • recent credit downgrades of the applicable security or the issuer by rating agencies; • the financial condition of the applicable issuer; • whether loss of investment principal is anticipated; • the impact of foreign exchange rates; and • whether scheduled interest payments are past due. The Company assessed the ability to recover the amortized cost by comparing the net present value of projected future cash flows with the amortized cost of the security. If the security was in an unrealized loss position and its net present value was less than the amortized cost of the investment, an OTTI was recorded. The net present value was calculated by discounting the Company’s estimate of projected future cash flows at the effective interest rate implicit in the debt security at the time of purchase. The Company’s estimates of projected future cash flows were driven by assumptions regarding probability of default and estimates regarding timing and amount of recoveries associated with a default. The Company developed these estimates using information based on historical experience, credit analysis and market observable data, such as industry analyst reports and forecasts, sector credit ratings and other relevant data. For mortgage-backed and asset-backed securities, cash flow estimates also included prepayment and other assumptions regarding the underlying collateral such as default rates, recoveries and changes in value. In addition to the factors noted above, the Company also sought advice from its outside investment managers. The assumptions used in these projections required the use of significant management judgment. If management's assessment changed in the future, the Company may have ultimately recorded a loss after having originally concluded that the decline in value was temporary. For securities in an unrealized loss position where the Company had the intent to sell or it is more-likely-than-not that it would be required to sell the security before recovery, the entire impairment loss (i.e., the difference between the security’s fair value and its amortized cost) was recorded in the consolidated statements of operations. Credit losses reduced the amortized cost of impaired securities. The amortized cost basis was adjusted for accretion and amortization (using the effective interest method) with a corresponding entry recorded in “net investment income”. |
Variable Interest Entities | The types of entities that the Company assesses for consolidation principally include: (i) entities whose debt obligations the insurance subsidiaries insure in its financial guaranty business; and (ii) investment vehicles in which AGAS has a variable interest, and which AssuredIM manages (including CLOs that are collateralized financing entities (CFEs), CLO warehouses and AssuredIM Funds). For each of these types of entities, the Company first determines whether the entity is a VIE or a voting interest entity (VOE) which involves assessing whether the equity investment at risk is sufficient to cover the entity’s expected losses and whether the holders of the equity investment at risk (as a group) have substantive voting rights. For entities determined to be a VIE, and for which the Company has a variable interest, the Company assesses whether it is the primary beneficiary of the VIE. The Company determines whether it is the primary beneficiary of a VIE at the time it becomes involved with an entity and continuously reassesses whether it is the primary beneficiary. In determining whether it is the primary beneficiary, the Company considers all facts and circumstances, including an evaluation of economic interests in the VIE held directly and indirectly through related parties and entities under common control. The Company is the primary beneficiary of a VIE when it has both: (i) the power to direct the activities of a VIE that most significantly impact the entity’s economic performance; and (ii) the obligation to absorb losses of the entity that could potentially be significant to the VIE or the right to receive benefits from the entity that could potentially be significant to the VIE. If the Company concludes that it is the primary beneficiary of the VIE, it consolidates the VIE in the Company’s consolidated financial statements. If, as part of its continual reassessment of the primary beneficiary determination, the Company concludes that it is no longer the primary beneficiary of a VIE, the Company deconsolidates the entity and recognizes the impact of that change on the consolidated financial statements. If the entity being evaluated for consolidation is not initially determined to be a VIE (or, later, if a significant event occurs that causes an entity to no longer qualify as a VIE), then the entity would be a VOE. Consolidation generally is required when the Company, directly or indirectly, has a controlling financial interest of the VOE being assessed. FG VIEs The Company has elected the fair value option for assets and liabilities of FG VIEs. Upon initial adoption of the new accounting guidance for VIEs in 2010, the Company elected to fair value its FG VIE assets and liabilities as the carrying amount transition method was not practical. To allow for consistency in the accounting for its consolidated FG VIE assets and liabilities, the Company has elected the fair value option for FG VIEs that it has subsequently consolidated. The Company records the fair value of FG VIEs’ assets and liabilities based on modeled prices. The net change in the fair value of consolidated FG VIEs’ assets and liabilities is reported in “fair value gains (losses) on FG VIEs” in the consolidated statements of operations, except for change in fair value of FG VIEs’ liabilities with recourse caused by changes in instrument-specific credit risk (ISCR) which is separately presented in OCI. 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 VIEs’ liabilities with recourse attributable to the ISCR 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. The Company has limited contractual rights to obtain the financial records of its consolidated FG VIEs. The FG VIEs do not prepare separate GAAP financial statements; therefore, the Company compiles GAAP financial information for them based on trustee reports prepared by and received from third parties. Such trustee reports are not available to the Company until approximately 30 days after the end of any given period. The time required to perform adequate reconciliations and analyses of the information in these trustee reports results in a one quarter lag in reporting the FG VIEs’ activities. As a result of the lag in reporting FG VIEs, cash and short-term investments do not reflect cash outflows to the holders of the debt issued by the FG VIEs for claim payments made by the Company’s insurance subsidiaries to the consolidated FG VIEs until the subsequent reporting period. The Company updates the model assumptions each reporting period for the most recent available information, which incorporates the impact of material events that may have occurred since the quarter lag date. The cash flows generated by the FG VIEs’ assets are classified as cash flows from investing activities. Paydowns of FG VIEs’ liabilities are supported by the cash flows generated by FG VIEs’ assets and, for liabilities with recourse, possibly claim payments made by AGM or AGC under their financial guaranty insurance contracts. Paydowns of FG VIEs’ liabilities both with and without recourse are classified as cash flows used in financing activities. Interest income, interest expense and other expenses of the FG VIEs’ assets and liabilities are classified as operating cash flows. Claim payments made by AGM and AGC under the financial guaranty contracts issued to the FG VIEs are eliminated upon consolidation and therefore such claim payments are treated as paydowns of FG VIEs’ liabilities and as a financing activity as opposed to an operating activity of AGM and AGC. CIVs CIVs consist of certain AssuredIM Funds, CLOs and CLO warehouses in which the Company is the primary beneficiary. The consolidated AssuredIM Funds are investment companies for accounting purposes and therefore account for their underlying investments at fair value. The consolidated CLOs are CFEs, and therefore, the debt issued by, and loans held by, the consolidated CLOs are measured under the fair value option using the CFE practical expedient. The assets and liabilities of consolidated CLO warehouses managed by AssuredIM (collectively, the consolidated CLOs) are also reported at fair value. Changes in the fair value of assets and liabilities of CIVs, interest income and interest expense are reported in “fair value gains (losses) on consolidated investment vehicles” in the consolidated statements of operations. Certain AssuredIM private equity funds, whose financial statements are not prepared in time for the Company’s periodic reporting, are reported on a quarter lag. Upon consolidation of an AssuredIM Fund, the Company records NCI for the portion of each fund owned by employees and any third-party investors. Redeemable NCI is classified outside of shareholders’ equity, within temporary equity, and non-redeemable NCI is presented within shareholders’ equity in the consolidated balance sheets. Amendments to redemption features may result in reclassifications between redeemable NCI and non-redeemable NCI. Investment transactions in the consolidated AssuredIM Funds are recorded on a trade/contract date basis. Money market funds in consolidated AssuredIM Funds are classified as cash equivalents and carried at cost, consistent with those funds’ separately issued financial statements, and therefore the Company has included these amounts in the total amount of cash on the consolidated statements of cash flows. Cash flows of the CIVs attributable to such entities’ investment purchases and dispositions, as well as operating expenses of the investment vehicles, are presented as cash flow from operating activities in the consolidated statements of cash flows. Borrowings under credit facilities, debt issuances and repayments, and capital cash flows to and from investors are presented as financing activities, consistent with investment company guidelines. As part of the terms of its financial guaranty contracts, the insurance subsidiaries, under their insurance contracts, obtain certain protective rights with respect to the VIE that give them 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 insurance subsidiaries typically are not deemed to control the VIE; however, once a trigger event occurs, the insurance subsidiaries’ 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 insurance subsidiaries and, accordingly, where they are obligated to absorb VIE losses or receive benefits that could potentially be significant to the VIE. The insurance subsidiaries are deemed to be the control party for certain VIEs under GAAP, typically when their protective rights give them the power to both terminate and replace the transaction’s servicer or collateral manager, which are characteristics specific to the Company’s financial guaranty contracts. If the protective rights that could make the insurance subsidiaries the control party have not been triggered, then the VIE is not consolidated. If the insurance subsidiaries are deemed no longer to have those protective rights, the VIE is deconsolidated. The FG VIEs’ liabilities that are guaranteed by the insurance subsidiaries are considered to be with recourse, because they guarantee the payment of principal and interest regardless of the performance of the related FG VIEs’ assets. FG VIEs’ liabilities that are not guaranteed by the insurance subsidiaries are considered to be without recourse, because the payment of principal and interest of these liabilities is wholly dependent on the performance of the FG VIEs’ assets. |
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 2021, no changes were made to the Company’s valuation models that had or are expected to have a material impact on the Company’s consolidated balance sheets or statements of operations and comprehensive income. The Company’s methods for calculating fair value produce a fair value that may not be indicative of net realizable value or reflective of future fair values. The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a materially 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. |
Asset Management Fees | Management, CLO and performance fees earned by AssuredIM are accounted for as contracts with customers. An entity may recognize revenue when the contractual performance criteria have been met and only to the extent that it is probable that a significant reversal in the amount of cumulative revenue recognized would not occur when the uncertainty associated with the variable consideration is resolved. Given the uniqueness of each fee arrangement, performance fee contractual provisions are evaluated on an individual basis to determine the timing of revenue recognition. |
Goodwill and Intangible Assets | Goodwill represents the excess of cost over the net fair value of assets and liabilities at the date of acquisition. The Company tests goodwill for impairment annually, as of December 31, or more frequently if circumstances indicate an impairment may have occurred. The goodwill impairment analysis is performed at the reporting unit level, which is the same as the Company’s operating segment level excluding the effects of the subleases on AssuredIM’s prior office space. If, after assessing qualitative factors, the Company believes that it is more likely than not that the fair value of the reporting unit is less than its carrying amount, the Company will evaluate impairment quantitatively to determine the amount of goodwill impairment, which is the excess of the carrying amount of the reporting unit over its fair value. Finite-lived intangible assets are recorded at fair value on the date of acquisition and are amortized over their estimated useful lives. The Company assesses finite-lived intangible assets for impairment if certain events occur or circumstances change indicating that the carrying amount of the intangible asset may not be recoverable. The carrying amount is deemed unrecoverable if it is greater than the sum of undiscounted cash flows expected to result from use and eventual disposition of the finite-lived intangible asset. If deemed unrecoverable, the Company records an impairment loss for the excess of the carrying amount over fair value. The Company assesses indefinite-lived intangible assets for impairment annually as of December 31, or more frequently if circumstances indicate an impairment may have occurred. If a qualitative assessment reveals that it is more-likely-than-not that the asset is impaired, the Company calculates an updated fair value. Goodwill and Intangible Assets Inherent in the fair value determinations are certain judgments and estimates relating to future cash flows, including the Company’s interpretation of current economic indicators and market valuations, and assumptions about the Company’s strategic plans with regard to its operations. The Company’s ability to raise third-party funds and increase and retain AUM is directly related to the performance of the assets it manages as measured against market averages and the performance of the Company’s competitors. If the Company performs worse than its competitors, it could impede its ability to raise funds, seek investors and hire and retain professionals, and may lead to an impairment of goodwill. The Company’s goodwill impairment assessment is sensitive to the Company’s assumptions of discount rates, market multiples, projections of AUM growth, and other factors, which may vary. Due to the uncertainties associated with such estimates, actual results could differ from such estimates. |
Long-Term Debt and Credit Facilities | Long-term debt is recorded at principal amounts net of any: (1) unamortized original issue discount or premium; (2) unamortized acquisition date fair value adjustments for AGM and AGMH debt; and (3) debt issuance costs. Original issue discount and premium, acquisition date fair value adjustments for AGM and AGMH debt, and debt issuance costs are accreted into interest expense over the contractual term of the applicable debt. When long-term debt is redeemed, the difference between the cash paid to redeem the debt and the carrying value of the debt is reported as a “loss on extinguishment of debt” in the consolidated statements of operations. When one consolidated subsidiary (AGUS) purchases outstanding debt of another consolidated subsidiary (AGMH’s), the difference between the cash paid to redeem the debt and the carrying value of the debt is reported as “other income” in the consolidated statements of operations. CCS are carried at fair value with changes in fair value reported in the consolidated statement of operations. See Note 10, Fair Value Measurement, – Other Assets – Committed Capital Securities, for a discussion of the fair value measurement of the CCS. |
Employee Benefit Plans | Share-based compensation expense is based on the grant date fair value using the grant date closing price, the lattice, Monte Carlo or Black-Scholes-Merton (Black-Scholes) pricing models. The Company amortizes the fair value of share-based awards on a straight-line basis over the requisite service periods of the awards, which are generally the vesting periods, with the exception of retirement‑eligible employees. For retirement-eligible employees, certain awards contain retirement provisions and therefore are amortized over the period through the date the employee first becomes eligible to retire and is no longer required to provide service to earn part or all of the award. The fair value of each award under the Assured Guaranty Ltd. Employee Stock Purchase Plan is estimated at the beginning of the offering period using the Black-Scholes option valuation model. The expense for Performance Retention Plan awards is recognized straight-line over the requisite service period, with the exception of retirement-eligible employees. For retirement-eligible employees, the expense is recognized immediately. |
Income Taxes | The provision for income taxes consists of an amount for taxes currently payable and an amount for deferred taxes. Deferred income taxes are provided for temporary differences between the financial statement carrying amounts and tax bases of assets and liabilities, using enacted rates in effect for the year in which the differences are expected to reverse. A valuation allowance is recorded to reduce the deferred tax asset to an amount that is more likely than not to be realized. |
Leases | The Company determines if an arrangement is a lease at inception. For leases with an original term of more than 12 months, where the Company is the lessee, it recognizes a right-of-use (ROU) asset in “other assets” and a lease liability in “other liabilities” on the consolidated balance sheets for its operating leases. An ROU asset represents the Company’s right to use an underlying asset for the lease term, and a lease liability represents the Company’s obligation to make lease payments arising from the lease. At the inception of a lease, the total fixed payments under a lease agreement are discounted utilizing an incremental borrowing rate that represents the Company’s collateralized borrowing rate. The rate is determined based on the lease term as of the lease commencement date. Some of the Company’s leases include renewal options, which are not included in the lease terms unless the Company is reasonably certain to exercise the option. The Company elected the practical expedient to account for all lease components and their associated non-lease components (i.e., common area maintenance, real estate taxes, building insurance, etc.) as a single lease component and include all fixed payments in the measurement of ROU assets and lease liabilities. Operating lease expense is recognized on a straight-line basis over the lease term. Costs related to variable lease and non-lease components for the Company’s leases are expensed in the period incurred. Sublease income is earned on a straight-line basis over the term of the lease. The Company assesses ROU assets for impairment when certain events occur or when there are changes in circumstances including potential alternative uses. If circumstances require an ROU asset to be tested for possible impairment, and the carrying value of the ROU asset is not recoverable on an undiscounted cash flow basis, an impairment is recognized to the extent that the carrying value exceeds its fair value and reported in “other operating expenses” in the consolidated statement of operations. |
Commitments and Contingencies | 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. |
Stockholders' Equity | The Company records share repurchases as a reduction to “common shares” and “additional paid-in capital”. Once additional paid-in capital has been exhausted, share repurchases are recorded as a reduction to common shares and retained earnings. |
Earnings Per Share | The Company computes EPS using the two-class method, which is an earnings allocation formula that determines EPS for: (i) each class of common shares (the Company has a single class of common shares); and (ii) participating securities according to dividends declared (or accumulated) and participation rights in undistributed earnings. Restricted stock awards and share units under the AGS SERP are considered participating securities as they received non-forfeitable rights to dividends (or dividend equivalents) similar to common shares.Basic EPS is computed by dividing net income (loss) available to common shareholders of Assured Guaranty by the weighted-average number of common shares outstanding during the period. Diluted EPS adjusts basic EPS for the effects of restricted stock, restricted stock units, stock options and other potentially dilutive financial instruments (dilutive securities), only in the periods in which such effect is dilutive. The effect of the dilutive securities is reflected in diluted EPS by application of the more dilutive of: (1) the treasury stock method; or (2) the two-class method assuming nonvested shares are not converted into common shares. |
Business and Basis of Present_3
Business and Basis of Presentation (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Accounting Policies | Other accounting policies are included in the following notes to the consolidated financial statements. Note Name Note Number Business combinations Note 2 Segment information Note 3 Expected loss to be paid (recovered) Note 5 Contracts accounted for as insurance Note 6 Contracts accounted for as credit derivatives Note 7 Investments and cash Note 8 Financial guaranty variable interest entities and consolidated investment vehicles Note 9 Fair value measurement Note 10 Asset management fees and compensation Note 11 Goodwill and other intangible assets Note 12 Long-term debt and credit facilities Note 13 Employee benefit plans Note 14 Income taxes Note 15 Leases Note 18 Commitments and contingencies Note 19 Shareholders' equity Note 20 Earnings per share Note 22 |
Business Combinations (Tables)
Business Combinations (Tables) - BlueMountain Capital Management, LLC | 12 Months Ended |
Dec. 31, 2021 | |
Business Acquisition [Line Items] | |
Schedule of fair values of assets and liabilities acquired from acquisition | The following table shows the purchase price, net assets acquired and goodwill recorded from the BlueMountain Acquisition on the BlueMountain Acquisition Date. Net Effect of (in millions) Cash purchase price $ 157 Identifiable assets acquired: Investment portfolio 3 Cash 12 Intangible assets (1) 79 Other assets 59 Total assets 153 Liabilities assumed: Compensation payable (2) 61 Other liabilities 52 Total liabilities 113 Net identifiable assets acquired 40 Goodwill recognized from BlueMountain Acquisition (1) $ 117 _____________________ (1) Presented in “goodwill and other intangible assets” on the consolidated balance sheets. (2) Presented in “other liabilities” on the consolidated balance sheets. |
Schedule of Indefinite-lived Intangible Assets Acquired as Part of Business Combination | The following table presents the components of identified intangible assets on the BlueMountain Acquisition Date: Finite-Lived Intangible Assets Acquired Fair Value Estimated Weighted Average Useful Life (in millions) CLO contracts $ 42 9.0 years Investment management contracts 24 4.8 years CLO distribution network 9 5.0 years Trade name 3 10.0 years Favorable sublease 1 4.4 years Total finite-lived intangible assets, net $ 79 |
Schedule of unaudited pro forma results of operations | Unaudited Pro Forma Results of Operations (1) Year Ended December 31, 2019 (dollars in millions except share data) Pro forma revenues $ 1,079 Pro forma net income 358 Pro forma earnings per share (EPS): Basic 3.60 Diluted 3.57 _____________________ |
Segment Information (Tables)
Segment Information (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Segment Reporting [Abstract] | |
Schedule of Segment Reporting Information, by Segment | The following table presents information for the Company’s operating segments. Segment Information Years Ended December 31, 2021 2020 2019 Insurance Asset Management Insurance Asset Management Insurance Asset Management (in millions) Third-party revenues $ 724 $ 73 $ 864 $ 61 $ 912 $ 22 Intersegment revenues 9 10 10 5 5 — Segment revenues 733 83 874 66 917 22 Segment expenses 33 108 446 128 324 34 Segment equity in earnings of investees 144 — 61 — 2 — Less: Segment provision (benefit) for income taxes 122 (6) 60 (12) 83 (2) Segment adjusted operating income (loss) $ 722 $ (19) $ 429 $ (50) $ 512 $ (10) Selected components of segment adjusted operating income: Net investment income $ 280 $ — $ 310 $ — $ 383 $ — Interest expense — 1 — — — — Non-cash compensation and operating expenses (1) 56 17 39 31 39 3 _____________________ (1) Consists of amortization of DAC and intangible assets, depreciation, share-based compensation (see Note 14, Employee Benefit Plans), write-off of long-lived intangible assets related to MAC licenses (see Note 12, Goodwill and Other Intangible Assets), and lease impairment (see Note 18, Leases). The tables below present a reconciliation of significant components of segment information to the comparable consolidated amounts. Reconciliation of Segment Information to Consolidated Information Year Ended December 31, 2021 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 733 $ 33 $ 144 $ 122 $ — $ 722 Asset Management 83 108 — (6) — (19) Total segments 816 141 144 116 — 703 Corporate division 2 312 — (47) — (263) Other 142 26 (50) 6 30 30 Subtotal 960 479 94 75 30 470 Reconciling items: Realized gains (losses) on investments 15 — — — — 15 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (78) (14) — — — (64) Fair value gains (losses) on CCS (28) — — — — (28) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (21) — — — — (21) Tax effect — — — (17) — 17 Total consolidated $ 848 $ 465 $ 94 $ 58 $ 30 $ 389 Reconciliation of Segment Information to Consolidated Information Year Ended December 31, 2020 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 874 $ 446 $ 61 $ 60 $ — $ 429 Asset Management 66 128 — (12) — (50) Total segments 940 574 61 48 — 379 Corporate division 9 132 (6) (18) — (111) Other 40 21 (28) (3) 6 (12) Subtotal 989 727 27 27 6 256 Reconciling items: Realized gains (losses) on investments 18 — — — — 18 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives 67 2 — — — 65 Fair value gains (losses) on CCS (1) — — — — (1) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves 42 — — — — 42 Tax effect — — — 18 — (18) Total consolidated $ 1,115 $ 729 $ 27 $ 45 $ 6 $ 362 Reconciliation of Segment Information to Consolidated Information Year Ended December 31, 2019 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 917 $ 324 $ 2 $ 83 $ — $ 512 Asset Management 22 34 — (2) — (10) Total segments 939 358 2 81 — 502 Corporate division 3 133 — (19) — (111) Other 22 25 2 — (1) — Subtotal 964 516 4 62 (1) 391 Reconciling items: Realized gains (losses) on investments 22 — — — — 22 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (23) (13) — — — (10) Fair value gains (losses) on CCS (22) — — — — (22) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves 22 — — — — 22 Tax effect — — — 1 — (1) Total consolidated $ 963 $ 503 $ 4 $ 63 $ (1) $ 402 |
Reconciliation of Other Significant Reconciling Items from Segments to Consolidated | Supplemental Information Year Ended December 31, 2021 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 418 $ 280 $ (221) $ 14 $ 240 Asset Management — — — — 107 Total segments 418 280 (221) 14 347 Corporate division — 2 — — 41 Other (4) (13) 15 — 21 Subtotal 414 269 (206) 14 409 Reconciling items: Credit derivative impairment (recoveries) (2) — — (14) — — Total consolidated $ 414 $ 269 $ (220) $ 14 $ 409 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $56 million for Insurance segment, $17 million for Asset Management segment, and $5 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. Supplemental Information Year Ended December 31, 2020 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 490 $ 310 $ 204 $ 16 $ 226 Asset Management — — — — 128 Total segments 490 310 204 16 354 Corporate division — 2 — — 37 Other (5) (15) (3) — 34 Subtotal 485 297 201 16 425 Reconciling items: Credit derivative impairment (recoveries) (2) — — 2 — — Total consolidated $ 485 $ 297 $ 203 $ 16 $ 425 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $39 million for Insurance segment, $31 million for Asset Management segment, and $6 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. Supplemental Information Year Ended December 31, 2019 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 494 $ 383 $ 86 $ 18 $ 220 Asset Management — — — — 34 Total segments 494 383 86 18 254 Corporate division — 4 — — 39 Other (18) (9) 20 — 10 Subtotal 476 378 106 18 303 Reconciling items: Credit derivative impairment (recoveries) (2) — — (13) — — Total consolidated $ 476 $ 378 $ 93 $ 18 $ 303 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $39 million for Insurance segment, $3 million for Asset Management segment, and $6 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. |
Revenue from External Customers by Geographic Areas | The table below summarizes revenues for the operating segments, Corporate division and Other category by country of domicile for each period indicated, based on the country of domicile of the Company’s subsidiaries that generated the revenues. Segment, Corporate Division and Other Revenues by Country of Domicile Year Ended December 31, Country of Domicile 2021 2020 2019 (in millions) U.S. $ 762 $ 788 $ 761 Bermuda 153 155 161 U.K. 42 38 41 Other 3 8 1 Total $ 960 $ 989 $ 964 |
Outstanding Exposure (Tables)
Outstanding Exposure (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Schedule of Insured Financial Obligations [Line Items] | |
Debt Service Outstanding | Financial Guaranty Portfolio Debt Service and Par Outstanding As of December 31, 2021 As of December 31, 2020 Gross Net Gross Net (in millions) Debt Service Public finance $ 357,694 $ 357,314 $ 356,078 $ 355,649 Structured finance 10,076 10,046 10,614 10,584 Total financial guaranty $ 367,770 $ 367,360 $ 366,692 $ 366,233 Par Outstanding Public finance $ 227,507 $ 227,164 $ 225,013 $ 224,625 Structured finance 9,258 9,228 9,558 9,528 Total financial guaranty $ 236,765 $ 236,392 $ 234,571 $ 234,153 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating As of December 31, 2021 Public Finance Public Finance Structured Finance Structured Finance Total Rating Net Par % Net Par % Net Par % Net Par % Net Par % (dollars in millions) AAA $ 272 0.2 % $ 2,217 4.5 % $ 806 9.6 % $ 493 57.7 % $ 3,788 1.6 % AA 16,372 9.2 4,205 8.4 4,760 56.8 22 2.6 25,359 10.7 A 94,459 53.3 10,659 21.3 813 9.7 160 18.7 106,091 44.9 BBB 60,744 34.3 32,264 64.6 611 7.3 179 21.0 93,798 39.7 BIG 5,372 3.0 600 1.2 1,384 16.6 — — 7,356 3.1 Total net par outstanding $ 177,219 100.0 % $ 49,945 100.0 % $ 8,374 100.0 % $ 854 100.0 % $ 236,392 100.0 % Financial Guaranty Portfolio by Internal Rating As of December 31, 2020 Public Finance Public Finance Structured Finance Structured Finance Total Rating Net Par % Net Par % Net Par % Net Par % Net Par % (dollars in millions) AAA $ 340 0.2 % $ 2,617 4.9 % $ 1,146 12.8 % $ 152 26.4 % $ 4,255 1.8 % AA 16,742 9.7 4,690 8.8 4,324 48.3 35 6.0 25,791 11.0 A 90,914 53.0 11,646 22.0 1,006 11.3 137 23.8 103,703 44.3 BBB 58,162 33.9 33,180 62.6 835 9.3 252 43.8 92,429 39.5 BIG 5,439 3.2 895 1.7 1,641 18.3 — — 7,975 3.4 Total net par outstanding $ 171,597 100.0 % $ 53,028 100.0 % $ 8,952 100.0 % $ 576 100.0 % $ 234,153 100.0 % |
Financial Guaranty Portfolio by Asset Class | The following tables present net par outstanding by sector for the financial guaranty portfolio. Financial Guaranty Portfolio Net Par Outstanding by Sector As of December 31, Sector 2021 2020 (in millions) Public finance: U.S. public finance: General obligation $ 72,896 $ 72,268 Tax backed 35,726 34,800 Municipal utilities 25,556 25,275 Transportation 17,241 15,179 Healthcare 9,588 8,691 Higher education 6,927 6,127 Infrastructure finance 6,329 5,843 Housing revenue 1,000 1,149 Investor-owned utilities 611 644 Renewable energy 193 204 Other public finance 1,152 1,417 Total U.S. public finance 177,219 171,597 Non-U.S public finance: Regulated utilities 18,814 19,370 Infrastructure finance 16,475 17,819 Sovereign and sub-sovereign 10,886 11,682 Renewable energy 2,398 2,708 Pooled infrastructure 1,372 1,449 Total non-U.S. public finance 49,945 53,028 Total public finance 227,164 224,625 Structured finance: U.S. structured finance: Life insurance transactions 3,431 2,581 RMBS 2,391 2,990 Financial products 770 820 Consumer receivables 583 768 Pooled corporate obligations 534 1,193 Other structured finance 665 600 Total U.S. structured finance 8,374 8,952 Non-U.S. structured finance: Pooled corporate obligations 351 — RMBS 325 357 Other structured finance 178 219 Total non-U.S structured finance 854 576 Total structured finance 9,228 9,528 Total net par outstanding $ 236,392 $ 234,153 |
Expected Amortization of Net Par Outstanding | Financial Guaranty Portfolio Expected Amortization of Net Par Outstanding As of December 31, 2021 Public Finance Structured Finance Total (in millions) 0 to 5 years $ 52,529 $ 3,001 $ 55,530 5 to 10 years 46,480 2,575 49,055 10 to 15 years 43,842 1,859 45,701 15 to 20 years 33,531 1,288 34,819 20 years and above 50,782 505 51,287 Total net par outstanding $ 227,164 $ 9,228 $ 236,392 |
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) | Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 31, 2021 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 1,765 $ 116 $ 3,491 $ 5,372 $ 177,219 Non-U.S. public finance 556 — 44 600 49,945 Public finance 2,321 116 3,535 5,972 227,164 Structured finance: U.S. RMBS 121 24 1,120 1,265 2,391 Other structured finance 1 41 77 119 6,837 Structured finance 122 65 1,197 1,384 9,228 Total $ 2,443 $ 181 $ 4,732 $ 7,356 $ 236,392 Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 31, 2020 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 1,777 $ 57 $ 3,605 $ 5,439 $ 171,597 Non-U.S. public finance 846 — 49 895 53,028 Public finance 2,623 57 3,654 6,334 224,625 Structured finance: U.S. RMBS 200 26 1,254 1,480 2,990 Other structured finance 28 51 82 161 6,538 Structured finance 228 77 1,336 1,641 9,528 Total $ 2,851 $ 134 $ 4,990 $ 7,975 $ 234,153 |
BIG Net Par Outstanding and Number of Risks | Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 2021 Net Par Outstanding Number of Risks (2) Description Financial Guaranty Credit Total Financial Guaranty Credit Total (dollars in millions) BIG: Category 1 $ 2,429 $ 14 $ 2,443 117 2 119 Category 2 177 4 181 16 1 17 Category 3 4,687 45 4,732 129 8 137 Total BIG $ 7,293 $ 63 $ 7,356 262 11 273 Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 2020 Net Par Outstanding Number of Risks (2) Description Financial Credit Total Financial Credit Total (dollars in millions) BIG: Category 1 $ 2,781 $ 70 $ 2,851 125 6 131 Category 2 130 4 134 19 1 20 Category 3 4,944 46 4,990 126 7 133 Total BIG $ 7,855 $ 120 $ 7,975 270 14 284 _____________________ (1) Includes FG 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. The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2021 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 117 16 129 262 262 Remaining weighted-average period (in years) 7.6 8.9 8.9 8.5 8.5 Outstanding exposure: Par $ 2,437 $ 177 $ 4,745 $ 7,359 $ 7,293 Interest 1,000 36 1,942 2,978 2,962 Total (2) $ 3,437 $ 213 $ 6,687 $ 10,337 $ 10,255 Expected cash outflows (inflows) $ 111 $ 40 $ 4,820 $ 4,971 $ 4,918 Potential recoveries (3) (656) (10) (3,829) (4,495) (4,430) Subtotal (545) 30 991 476 488 Discount 19 (3) (145) (129) (129) Expected losses to be paid (recovered) $ (526) $ 27 $ 846 $ 347 $ 359 Deferred premium revenue $ 85 $ 2 $ 350 $ 437 $ 435 Reserves (salvage) $ (549) $ 25 $ 584 $ 60 $ 74 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2020 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 125 19 126 270 270 Remaining weighted-average period (in years) 7.5 9.2 9.4 8.7 8.7 Outstanding exposure: Par $ 2,791 $ 130 $ 5,009 $ 7,930 $ 7,855 Interest 1,092 36 2,175 3,303 3,285 Total (2) $ 3,883 $ 166 $ 7,184 $ 11,233 $ 11,140 Expected cash outflows (inflows) $ 172 $ 29 $ 4,441 $ 4,642 $ 4,591 Potential recoveries (3) (697) (3) (3,385) (4,085) (4,011) Subtotal (525) 26 1,056 557 580 Discount 22 (3) (122) (103) (104) Expected losses to be paid (recovered) $ (503) $ 23 $ 934 $ 454 $ 476 Deferred premium revenue $ 116 $ 1 $ 394 $ 511 $ 508 Reserves (salvage) $ (538) $ 21 $ 619 $ 102 $ 127 __________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. (2) Includes amounts related to FG VIEs. (3) Represents expected inflows for future payments by obligors pursuant to restructuring agreements, settlements or litigation judgments, excess spread on any underlying collateral and other estimated recoveries. Potential recoveries also include recoveries on certain investment grade credits, related mainly to exposures that were previously BIG and for which claims have been paid in the past. |
Schedule of Geographic Exposure of Net Par Outstanding | Financial Guaranty Portfolio Geographic Distribution of Net Par Outstanding As of December 31, 2021 Number of Risks Net Par Outstanding Percent of Total Net Par Outstanding (dollars in millions) U.S.: U.S. Public finance: California 1,277 $ 35,322 14.9 % Texas 1,022 17,233 7.3 Pennsylvania 573 15,631 6.6 New York 625 15,155 6.4 Illinois 517 12,807 5.5 New Jersey 281 10,173 4.3 Florida 226 7,284 3.1 Michigan 260 5,261 2.2 Louisiana 137 5,203 2.2 Alabama 236 3,800 1.6 Other 1,951 49,350 20.9 Total U.S. public finance 7,105 177,219 75.0 U.S. Structured finance (multiple states) 387 8,374 3.5 Total U.S. 7,492 185,593 78.5 Non-U.S.: United Kingdom 285 38,044 16.1 France 7 2,718 1.1 Canada 7 2,107 0.9 Spain 8 1,762 0.8 Australia 7 1,667 0.7 Other 42 4,501 1.9 Total non-U.S. 356 50,799 21.5 Total 7,848 $ 236,392 100.0 % |
Schedule of Non-Financial Guaranty Exposure | Specialty Insurance and Reinsurance Exposure As of December 31, 2021 As of December 31, 2020 Gross Exposure Net Exposure Gross Exposure Net Exposure (in millions) Life insurance transactions (1) $ 1,250 $ 871 $ 1,121 $ 720 Aircraft residual value insurance policies 355 200 363 208 Total $ 1,605 $ 1,071 $ 1,484 $ 928 ____________________ (1) The life insurance transactions net exposure is projected to reach $1.1 billion by September 30, 2026. |
Puerto Rico | |
Schedule of Insured Financial Obligations [Line Items] | |
BIG Net Par Outstanding and Number of Risks | Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of December 31, 2021 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization (in millions) 2022 (January 1 - March 31) $ — $ 88 2022 (April 1 - June 30) — 2 2022 (July 1 - September 30) 176 264 2022 (October 1 - December 31) — 3 Subtotal 2022 176 357 2023 206 378 2024 222 383 2025 223 373 2026 214 353 2027-2031 953 1,494 2032-2036 1,253 1,543 2037-2041 320 364 2042 5 5 Total $ 3,572 $ 5,250 |
Schedule of Geographic Exposure of Net Par Outstanding | Puerto Rico Net Par Outstanding As of December 31, 2021 2020 (in millions) Puerto Rico Exposures Subject to a Plan or Support Agreement Commonwealth of Puerto Rico - GO $ 1,097 $ 1,112 PBA 122 134 Total GO/PBA Plan 1,219 1,246 PRHTA (Transportation revenue) 799 817 PRHTA (Highway revenue) 457 493 PRCCDA (1) 152 152 Total HTA/CCDA PSA 1,408 1,462 PREPA 748 776 PRIFA (1) 16 16 Total Subject to a Plan or Support Agreement 3,391 3,500 Other Puerto Rico Exposures MFA 179 223 PRASA and U of PR 2 2 Total Other Puerto Rico Exposures 181 225 Total net exposure to Puerto Rico $ 3,572 $ 3,725 ____________________ (1) As of the date of this filing, an order has been entered under Title VI of PROMESA modifying this debt, consistent with the relevant Support Agreement. |
Gross Par and Gross Debt Service Outstanding | Puerto Rico Gross Par and Gross Debt Service Outstanding Gross Par Outstanding Gross Debt Service Outstanding As of December 31, As of December 31, 2021 2020 2021 2020 (in millions) Exposure to Puerto Rico $ 3,629 $ 3,789 $ 5,322 $ 5,674 |
Expected Loss to be Paid (Rec_2
Expected Loss to be Paid (Recovered) (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Expected Losses [Abstract] | |
Net Expected Loss to be Paid 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 December 31, Year Ended December 31, Accounting Model 2021 2020 2021 2020 2019 (in millions) Insurance (see Note 6) $ 364 $ 471 $ (281) $ 142 $ 14 FG VIEs (see Note 9) 42 59 (20) 1 (29) Credit derivatives (see Note 7) 5 (1) 14 2 14 Total $ 411 $ 529 $ (287) $ 145 $ (1) |
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 (recovered) for all contracts under all accounting models (insurance, derivative and FG VIE). The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 0.00% to 1.98% with a weighted average of 1.02% as of December 31, 2021 and 0.00% to 1.72% with a weighted average of 0.60% as of December 31, 2020. Expected losses to be paid for U.S. dollar denominated transactions represented approximately 97.2% and 93.2% of the total as of December 31, 2021 and December 31, 2020, respectively. Net Expected Loss to be Paid (Recovered) Roll Forward Year Ended December 31, 2021 2020 2019 (in millions) Net expected loss to be paid (recovered), beginning of period $ 529 $ 737 $ 1,183 Economic loss development (benefit) due to: Accretion of discount 7 9 22 Changes in discount rates (33) 13 (11) Changes in timing and assumptions (261) 123 (12) Total economic loss development (benefit) (287) 145 (1) Net (paid) recovered losses 169 (353) (445) Net expected loss to be paid (recovered), end of period $ 411 $ 529 $ 737 Net Expected Loss to be Paid (Recovered) Roll Forward by Sector Year Ended December 31, 2021 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2020 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2021 (in millions) Public finance: U.S. public finance $ 305 $ (182) $ 74 $ 197 Non-U.S. public finance 36 (22) (2) 12 Public finance 341 (204) 72 209 Structured finance: U.S. RMBS 148 (100) 102 150 Other structured finance 40 17 (5) 52 Structured finance 188 (83) 97 202 Total $ 529 $ (287) $ 169 $ 411 Year Ended December 31, 2020 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2019 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2020 (in millions) Public finance: U.S. public finance $ 531 $ 190 $ (416) $ 305 Non-U.S. public finance 23 13 — 36 Public finance 554 203 (416) 341 Structured finance: U.S. RMBS 146 (71) 73 148 Other structured finance 37 13 (10) 40 Structured finance 183 (58) 63 188 Total $ 737 $ 145 $ (353) $ 529 Year Ended December 31, 2019 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2018 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2019 (in millions) Public finance: U.S. public finance $ 832 $ 224 $ (525) $ 531 Non-U.S. public finance 32 (9) — 23 Public finance 864 215 (525) 554 Structured finance: U.S. RMBS 293 (234) 87 146 Other structured finance 26 18 (7) 37 Structured finance 319 (216) 80 183 Total $ 1,183 $ (1) $ (445) $ 737 ____________________ (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 as reinsurance recoverable on paid losses in “other assets”. The tables above include: (a) LAE paid of $36 million, $25 million and $35 million for the years ended December 31, |
Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss | Net Economic Loss Development (Benefit) U.S. RMBS Year Ended December 31, 2021 2020 2019 (in millions) First lien U.S. RMBS $ — $ (45) $ (77) Second lien U.S. RMBS (100) (26) (157) |
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS | First Lien Liquidation Rates As of December 31, 2021 2020 Current but recently delinquent: (1) Alt-A and Prime 20% 20% Option ARM 20% 20% Subprime 20% 20% 30 – 59 Days Delinquent: Alt-A and Prime 35% 35% Option ARM 35% 35% Subprime 30% 30% 60 – 89 Days Delinquent: Alt-A and Prime 40% 40% Option ARM 45% 45% Subprime 40% 40% 90+ Days Delinquent: Alt-A and Prime 55% 55% Option ARM 60% 60% Subprime 45% 45% Bankruptcy: Alt-A and Prime 45% 45% Option ARM 50% 50% Subprime 40% 40% Foreclosure: Alt-A and Prime 60% 60% Option ARM 65% 65% Subprime 55% 55% Real Estate Owned All 100% 100% ____________________ (1) Prior to the third quarter of 2021, the Company included current loans that had missed one payment (30 + days delinquent) within the last 12 months in this category. The Company observed that during the COVID-19 pandemic: (i) loans that became 60+ days delinquent may have elevated future default risk for longer than a year; and (ii) there may be an increased number of loans that missed only a single payment that should not be considered at elevated risk of default. Based on this view, starting in the third quarter of 2021, the Company includes only current loans that had been 60+ days delinquent within the last 24 months in this category, rather than current loans that had been 30+ days delinquent in the past 12 months. Key Assumptions in Base Case Expected Loss Estimates First Lien U.S. RMBS As of December 31, 2021 As of December 31, 2020 Range Weighted Average Range Weighted Average Alt-A and Prime: Plateau CDR 0.9 % – 11.6% 5.9% 0.0 % – 9.7% 5.3% Final CDR 0.0 % – 0.6% 0.3% 0.0 % – 0.5% 0.3% Initial loss severity: 2005 and prior 60% 60% 2006 60% 70% 2007+ 60% 70% Option ARM: Plateau CDR 1.8 % – 11.9% 5.6% 2.3 % – 11.9% 5.4% Final CDR 0.1 % – 0.6% 0.3% 0.1 % – 0.6% 0.3% Initial loss severity: 2005 and prior 60% 60% 2006 60% 60% 2007+ 60% 60% Subprime: Plateau CDR 2.9 % – 10.0% 6.0% 2.7 % – 11.3% 5.6% Final CDR 0.1 % – 0.5% 0.3% 0.1 % – 0.6% 0.3% Initial loss severity: 2005 and prior 60% 60% 2006 60% 70% 2007+ 60% 70% |
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | Key Assumptions in Base Case Expected Loss Estimates HELOCs As of December 31, 2021 As of December 31, 2020 Range Weighted Average Range Weighted Average Plateau CDR 6.5 % – 39.6% 16.4% 5.0 % – 36.2% 12.9% Final CDR trended down to 1.0% 2.5 % – 3.2% 2.5% Liquidation rates: Current but recently delinquent (1) 20% 20% 30 – 59 Days Delinquent 30% 30% 60 – 89 Days Delinquent 40% 40% 90+ Days Delinquent 60% 60% Bankruptcy 55% 55% Foreclosure 55% 55% Real Estate Owned 100% 100% Loss severity on future defaults 98% 98% Projected future recoveries on previously charged-off loans 30% 20% ___________________ (1) Prior to the third quarter of 2021, the Company included current loans that had missed one payment (30 + days delinquent) within the last 12 months in this category. The Company observed that during the COVID-19 pandemic: (i) loans that became 60+ days delinquent may have elevated future default risk for longer than a year; and (ii) there may be an increased number of loans that missed only a single payment that should not be considered at elevated risk of default. Based on this view, starting in the third quarter of 2021, the Company includes only current loans that had been 60+ days delinquent within the last 24 months in this category, rather than current loans that had been 30+ days delinquent in the past 12 months. |
Contracts Accounted for as In_2
Contracts Accounted for as Insurance (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Insurance [Abstract] | |
Net Earned Premiums | Net Earned Premiums Year Ended December 31, 2021 2020 2019 (in millions) Financial guaranty: Scheduled net earned premiums $ 322 $ 334 $ 331 Accelerations from refundings and terminations 59 129 122 Accretion of discount on net premiums receivable 30 20 17 Financial guaranty insurance net earned premiums 411 483 470 Specialty net earned premiums 3 2 6 Net earned premiums $ 414 $ 485 $ 476 |
Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward | Gross Premium Receivable, Net of Commissions Payable on Assumed Business Roll Forward Year Ended December 31, 2021 2020 2019 (in millions) Beginning of year $ 1,372 $ 1,286 $ 904 Less: Specialty insurance premium receivable 1 2 1 Financial guaranty insurance premiums receivable 1,371 1,284 903 Gross written premiums on new business, net of commissions 369 462 689 Gross premiums received, net of commissions (383) (426) (318) Adjustments: Changes in the expected term 6 (10) (21) Accretion of discount, net of commissions on assumed business 26 18 10 Foreign exchange gain (loss) on remeasurement (22) 43 21 Expected recovery of premiums previously written off 4 — — Financial guaranty insurance premium receivable 1,371 1,371 1,284 Specialty insurance premium receivable 1 1 2 December 31, $ 1,372 $ 1,372 $ 1,286 Expected Future Premium Collections and Earnings As of December 31, 2021 Future Premiums Future Net Premiums (in millions) 2022 (January 1 - March 31) $ 47 $ 78 2022 (April 1 - June 30) 39 78 2022 (July 1 - September 30) 28 77 2022 (October 1 - December 31) 33 75 Subtotal 2022 147 308 2023 107 287 2024 99 265 2025 88 241 2026 83 223 2027-2031 354 920 2032-2036 249 628 2037-2041 165 361 After 2041 347 495 Total $ 1,639 3,728 Future accretion 268 Total future net earned premiums $ 3,996 ____________________ (1) Net of assumed commissions payable. (2) Net of reinsurance. |
Selected Information for Policies Paid in Installments | Selected Information for Financial Guaranty Insurance Policies with Premiums Paid in Installments As of December 31, 2021 2020 (dollars in millions) Premiums receivable, net of commissions payable $ 1,371 $ 1,371 Deferred premium revenue $ 1,663 $ 1,664 Weighted-average risk-free rate used to discount premiums 1.6% 1.6% Weighted-average period of premiums receivable (in years) 12.7 12.8 |
Rollforward of Deferred Acquisition Costs | Roll Forward of Deferred Acquisition Costs Year Ended December 31, 2021 2020 2019 (in millions) Beginning of year $ 119 $ 111 $ 105 Costs deferred during the period 26 24 23 Costs amortized during the period (14) (16) (17) December 31, $ 131 $ 119 $ 111 |
Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts | The following tables provide information on net reserve (salvage), which includes loss and LAE reserves and salvage and subrogation recoverable, both net of reinsurance. Net Reserve (Salvage) by Sector As of December 31, Sector 2021 2020 (in millions) Public finance: U.S. public finance $ 60 $ 129 Non-U.S. public finance 1 11 Public finance 61 140 Structured finance: U.S. RMBS (24) (52) Other structured finance 42 34 Structured finance 18 (18) Total $ 79 $ 122 |
Components of Net Reserves (Salvage) Insurance Contracts | Components of Net Reserve (Salvage) As of December 31, 2021 2020 (in millions) Loss and LAE reserve $ 869 $ 1,088 Reinsurance recoverable on unpaid losses (1) (5) (8) Loss and LAE reserve, net 864 1,080 Salvage and subrogation recoverable (801) (991) Salvage and subrogation reinsurance payable (2) 16 33 Salvage and subrogation recoverable, net (785) (958) Net reserve (salvage) $ 79 $ 122 ____________________ (1) Reported in “other assets” on the consolidated balance sheets. (2) Reported in “other liabilities” on the consolidated balance sheets. |
Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts | The table below provides a reconciliation of net expected loss to be paid (recovered) for financial guaranty insurance contracts to net expected loss to be expensed. Expected loss to be paid (recovered) for financial guaranty insurance contracts differs from expected loss to be expensed due to: (i) the contra-paid, which represents the claim payments made and recoveries received that have not yet been recognized in the statements 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 (Recovered) to Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of December 31, 2021 (in millions) Net expected loss to be paid (recovered) - financial guaranty insurance $ 359 Contra-paid, net 40 Salvage and subrogation recoverable, net 785 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (859) Net expected loss to be expensed (present value) $ 325 |
Net Expected Loss to be Expensed Insurance Contracts | 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 December 31, 2021 (in millions) 2022 (January 1 - March 31) $ 7 2022 (April 1 - June 30) 7 2022 (July 1 - September 30) 7 2022 (October 1 - December 31) 7 Subtotal 2022 28 2023 27 2024 27 2025 26 2026 26 2027-2031 111 2032-2036 66 2037-2041 11 After 2041 3 Net expected loss to be expensed 325 Future accretion 129 Total expected future loss and LAE $ 454 |
Loss and LAE Reported on the Consolidated Statements of Operations | The following table presents the loss and LAE (benefit) reported in the consolidated statements of operations by sector for insurance contracts. Amounts presented are net of reinsurance. Loss and LAE (Benefit) by Sector Year Ended December 31, Sector 2021 2020 2019 (in millions) Public finance: U.S. public finance $ (146) $ 225 $ 247 Non-U.S. public finance (9) 5 (7) Public finance (155) 230 240 Structured finance: U.S. RMBS (69) (34) (154) Other structured finance 4 7 7 Structured finance (65) (27) (147) Loss and LAE (benefit) $ (220) $ 203 $ 93 |
BIG Net Par Outstanding and Number of Risks | Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 2021 Net Par Outstanding Number of Risks (2) Description Financial Guaranty Credit Total Financial Guaranty Credit Total (dollars in millions) BIG: Category 1 $ 2,429 $ 14 $ 2,443 117 2 119 Category 2 177 4 181 16 1 17 Category 3 4,687 45 4,732 129 8 137 Total BIG $ 7,293 $ 63 $ 7,356 262 11 273 Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 2020 Net Par Outstanding Number of Risks (2) Description Financial Credit Total Financial Credit Total (dollars in millions) BIG: Category 1 $ 2,781 $ 70 $ 2,851 125 6 131 Category 2 130 4 134 19 1 20 Category 3 4,944 46 4,990 126 7 133 Total BIG $ 7,855 $ 120 $ 7,975 270 14 284 _____________________ (1) Includes FG 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. The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2021 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 117 16 129 262 262 Remaining weighted-average period (in years) 7.6 8.9 8.9 8.5 8.5 Outstanding exposure: Par $ 2,437 $ 177 $ 4,745 $ 7,359 $ 7,293 Interest 1,000 36 1,942 2,978 2,962 Total (2) $ 3,437 $ 213 $ 6,687 $ 10,337 $ 10,255 Expected cash outflows (inflows) $ 111 $ 40 $ 4,820 $ 4,971 $ 4,918 Potential recoveries (3) (656) (10) (3,829) (4,495) (4,430) Subtotal (545) 30 991 476 488 Discount 19 (3) (145) (129) (129) Expected losses to be paid (recovered) $ (526) $ 27 $ 846 $ 347 $ 359 Deferred premium revenue $ 85 $ 2 $ 350 $ 437 $ 435 Reserves (salvage) $ (549) $ 25 $ 584 $ 60 $ 74 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2020 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 125 19 126 270 270 Remaining weighted-average period (in years) 7.5 9.2 9.4 8.7 8.7 Outstanding exposure: Par $ 2,791 $ 130 $ 5,009 $ 7,930 $ 7,855 Interest 1,092 36 2,175 3,303 3,285 Total (2) $ 3,883 $ 166 $ 7,184 $ 11,233 $ 11,140 Expected cash outflows (inflows) $ 172 $ 29 $ 4,441 $ 4,642 $ 4,591 Potential recoveries (3) (697) (3) (3,385) (4,085) (4,011) Subtotal (525) 26 1,056 557 580 Discount 22 (3) (122) (103) (104) Expected losses to be paid (recovered) $ (503) $ 23 $ 934 $ 454 $ 476 Deferred premium revenue $ 116 $ 1 $ 394 $ 511 $ 508 Reserves (salvage) $ (538) $ 21 $ 619 $ 102 $ 127 __________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. (2) Includes amounts related to FG VIEs. (3) Represents expected inflows for future payments by obligors pursuant to restructuring agreements, settlements or litigation judgments, excess spread on any underlying collateral and other estimated recoveries. Potential recoveries also include recoveries on certain investment grade credits, related mainly to exposures that were previously BIG and for which claims have been paid in the past. |
Effects of Reinsurance on Statement of Operations | The following table presents the components of premiums and losses reported in the consolidated statements of operations attributable to the Assumed and Ceded Businesses (both financial guaranty and specialty). Effect of Reinsurance on Premiums Written, Premiums Earned and Loss and LAE (Benefit) Year Ended December 31, 2021 2020 2019 (in millions) Premiums Written: Direct $ 355 $ 453 $ 663 Assumed 22 1 14 Ceded (1) — 13 10 Net $ 377 $ 467 $ 687 Premiums Earned: Direct $ 385 $ 448 $ 429 Assumed 32 41 54 Ceded (3) (4) (7) Net $ 414 $ 485 $ 476 Loss and LAE (benefit): Direct (2) $ (203) $ 182 $ 101 Assumed 5 24 2 Ceded (22) (3) (10) Net $ (220) $ 203 $ 93 ____________________ (1) Positive ceded premiums written were due to commutations and changes in expected debt service schedules. (2) See Note 5, Expected Loss to be Paid (Recovered), for additional information on the economic loss development (benefit). |
Contracts Accounted for as Cr_2
Contracts Accounted for as Credit Derivatives (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating | Credit Derivatives (1) As of December 31, 2021 As of December 31, 2020 Sector Net Par Net Fair Value Asset (Liability) Net Par Net Fair Value Asset (Liability) (in millions) U.S. public finance $ 1,705 $ (72) $ 1,980 $ (38) Non-U.S. public finance 1,800 (48) 2,257 (27) U.S. structured finance 400 (32) 997 (30) Non-U.S. structured finance 135 (2) 137 (5) Total $ 4,040 $ (154) $ 5,371 $ (100) ____________________ (1) Expected loss to be paid was $5 million as of December 31, 2021 and expected recoveries were $1 million as of December 31, 2020. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of December 31, 2021 As of December 31, 2020 Rating Category Net Par % of Total Net Par % of Total (dollars in millions) AAA $ 1,503 37.2 % $ 1,796 33.5 % AA 1,283 31.8 1,541 28.7 A 514 12.7 758 14.1 BBB 677 16.7 1,156 21.5 BIG 63 1.6 120 2.2 Credit derivative net par outstanding $ 4,040 100.0 % $ 5,371 100.0 % |
Net Change in Fair Value of Credit Derivatives | Fair Value Gains (Losses) on Credit Derivatives Year Ended December 31, 2021 2020 2019 (in millions) Realized gains (losses) and other settlements $ (3) $ (4) $ (27) Net unrealized gains (losses) (55) 85 21 Fair value gains (losses) on credit derivatives $ (58) $ 81 $ (6) |
CDS Spread on AGC and AGM | CDS Spread on AGC (in basis points) As of December 31, 2021 December 31, 2020 December 31, 2019 Five-year CDS spread 49 132 41 One-year CDS spread 16 36 9 |
Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads | Fair Value of Credit Derivative Assets (Liabilities) and Effect of AGC Credit Spread As of December 31, 2021 December 31, 2020 (in millions) Fair value of credit derivatives before effect of AGC credit spread $ (225) $ (313) Plus: Effect of AGC credit spread 71 213 Net fair value of credit derivatives $ (154) $ (100) |
Investments and Cash (Tables)
Investments and Cash (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Marketable Securities | Investment Portfolio Carrying Value As of December 31, 2021 2020 (in millions) Fixed-maturity securities (1): Externally managed $ 6,843 $ 7,301 Loss mitigation securities and other 818 925 AssuredIM managed 541 547 Short-term investments (2) 1,225 851 Other invested assets: Equity method investments - AssuredIM Funds (3) — 91 Equity method investments - other 169 107 Other 12 16 Total $ 9,608 $ 9,838 ____________________ (1) 7.5% and 8.1% of fixed-maturity securities were rated BIG, as of December 31, 2021 and December 31, 2020, respectively, consisting primarily of loss mitigation securities. (2) Weighted average credit rating of AAA as of both December 31, 2021 and December 31, 2020, based on the lower of the Moody’s and S&P classifications. (3) As of December 31, 2021, this equity method investment was consolidated. See Note 9, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for further information regarding the CIVs. |
Fixed Maturity Securities and Short Term Investments by Security Type | Fixed-Maturity Securities by Security Type As of December 31, 2021 Security Type Percent Amortized Allowance for Credit Losses Gross Gross Estimated AOCI Weighted Average Credit Rating (2) (dollars in millions) Obligations of state and political subdivisions 43 % $ 3,386 $ (12) $ 290 $ (4) $ 3,660 $ — AA- U.S. government and agencies 2 123 — 7 (2) 128 — AA+ Corporate securities (3) 32 2,516 (1) 111 (21) 2,605 (4) A Mortgage-backed securities (4): RMBS 6 454 (17) 24 (24) 437 (24) BBB+ Commercial mortgage-backed securities (CMBS) 4 332 — 14 — 346 — AAA Asset-backed securities: CLOs 6 457 — 1 — 458 — AA- Other 5 420 (12) 26 (2) 432 (2) CCC+ Non-U.S. government securities 2 134 — 5 (3) 136 — AA- Total fixed-maturity securities 100 % $ 7,822 $ (42) $ 478 $ (56) $ 8,202 $ (30) A+ Fixed-Maturity Securities by Security Type As of December 31, 2020 Security Type Percent Amortized Allowance for Credit Losses Gross Gross Estimated AOCI Weighted Average Credit Rating (2) (dollars in millions) Obligations of state and political subdivisions 44 % $ 3,633 $ (11) $ 369 $ — $ 3,991 $ — AA- U.S. government and agencies 2 151 — 12 (1) 162 — AA+ Corporate securities (3) 29 2,366 (42) 210 (21) 2,513 (16) A Mortgage-backed securities (4): RMBS 7 571 (19) 35 (21) 566 (20) A- CMBS 4 358 — 29 — 387 — AAA Asset-backed securities: CLOs 7 531 — 2 (1) 532 — AA- Other 5 427 (6) 31 (3) 449 (3) CCC+ Non-U.S. government securities 2 167 — 10 (4) 173 — AA- Total fixed-maturity securities 100 % $ 8,204 $ (78) $ 698 $ (51) $ 8,773 $ (39) A+ ____________________ (1) Based on amortized cost. (2) Ratings represent the lower of the Moody’s and S&P classifications, except for loss mitigation or risk management securities, which use internal ratings classifications. The Company’s portfolio primarily consists of high-quality, liquid instruments. (3) Includes securities issued by taxable universities and hospitals. (4) U.S. government-agency obligations were approximately 31% of mortgage-backed securities as of December 31, 2021 and 35% as of December 31, 2020, based on fair value. Gross Unrealized Loss by Length of Time for Fixed-Maturity Securities for Which a Credit Loss was Not Recorded As of December 31, 2021 Less than 12 months 12 months or more Total Fair Gross Unrealized Fair Gross Unrealized Fair Gross Unrealized (dollars in millions) Obligations of state and political subdivisions $ 117 $ (3) $ 10 $ (1) $ 127 $ (4) U.S. government and agencies 26 — 32 (2) 58 (2) Corporate securities 407 (12) 70 (5) 477 (17) Mortgage-backed securities: RMBS 4 — — — 4 — Asset-backed securities: CLOs 226 — — — 226 — Non-U.S. government securities 24 (2) 8 (1) 32 (3) Total $ 804 $ (17) $ 120 $ (9) $ 924 $ (26) Number of securities (1) 355 60 410 Gross Unrealized Loss by Length of Time for Fixed-Maturity Securities for Which a Credit Loss was Not Recorded As of December 31, 2020 Less than 12 months 12 months or more Total Fair Gross Unrealized Fair Gross Unrealized Fair Gross Unrealized (dollars in millions) Obligations of state and political subdivisions $ 1 $ — $ — $ — $ 1 $ — U.S. government and agencies 22 (1) — — 22 (1) Corporate securities 73 — 45 (5) 118 (5) Mortgage-backed securities: RMBS 15 (1) 1 — 16 (1) CMBS — — 1 — 1 — Asset-backed securities: CLOs 251 (1) 81 — 332 (1) Non-U.S. government securities — — 38 (4) 38 (4) Total $ 362 $ (3) $ 166 $ (9) $ 528 $ (12) Number of securities (1) 94 46 139 ___________________ (1) |
Distribution of Fixed Maturity Securities by Contractual Maturity | Distribution of Fixed-Maturity Securities by Contractual Maturity As of December 31, 2021 Amortized Estimated (in millions) Due within one year $ 224 $ 229 Due after one year through five years 1,816 1,896 Due after five years through 10 years 1,711 1,802 Due after 10 years 3,285 3,492 Mortgage-backed securities: RMBS 454 437 CMBS 332 346 Total $ 7,822 $ 8,202 |
Net Investment Income | Net Investment Income Year Ended December 31, 2021 2020 2019 (in millions) Investment income: Externally managed $ 204 $ 231 $ 273 Loss mitigation securities and other 55 65 114 Managed by AssuredIM (1) 16 8 — Investment income 275 304 387 Investment expenses (6) (7) (9) Net investment income $ 269 $ 297 $ 378 ____________________ (1) Represents interest income on a portfolio of CLOs and municipal bonds managed by AssuredIM under an IMA. |
Net Realized Investment Gains (Losses) | The table below presents the components of net realized investment gains (losses). Net Realized Investment Gains (Losses) Year Ended December 31, 2021 2020 2019 (in millions) Gross realized gains on sales available-for-sale securities $ 20 $ 27 $ 56 Gross realized losses on sales available-for-sale securities (5) (5) (3) Net foreign currency gains (losses) 2 6 3 Change in credit impairment and intent to sell (1) (7) (17) (35) Other net realized gains (losses) 5 7 1 Net realized investment gains (losses) $ 15 $ 18 $ 22 ____________________ (1) Credit impairment in 2021 was primarily due to loss mitigation securities. COVID-19 pandemic restrictions contributed to the increase in the allowance for credit losses in 2020. Credit impairment in 2019 was primarily attributable to foreign exchange losses and loss mitigation securities. |
Roll Forward of Credit Losses in the Investment Portfolio | The following table presents the roll forward of the credit losses on fixed-maturity securities for which the Company has recognized an allowance for credit losses in 2021 and 2020 or an OTTI in 2019 and for which unrealized loss was recognized in AOCI. Roll Forward of Credit Losses for Fixed-Maturity Securities Year Ended December 31, 2021 2020 2019 Allowance for Credit Losses OTTI (in millions) Balance, beginning of period $ 78 $ — $ 185 Effect of adoption of accounting guidance on credit losses on — 62 — Additions for securities for which credit 4 1 — Reductions for securities sold and other settlements (42) — (15) Additions (reductions) for credit losses on securities for 2 15 16 Balance, end of period $ 42 $ 78 $ 186 |
Equity in Earnings of Investees | Equity in Earnings of Investees Year Ended December 31, 2021 2020 2019 (in millions) AssuredIM Fund $ 30 $ 14 $ — Other 64 13 4 Total equity in earnings of investees (1) $ 94 $ 27 $ 4 ____________________ (1) Includes $36 million and $14 million for the year ended December 31, 2021 and December 31, 2020, respectively, related to fair value gains on investments at fair value option using NAV, as a practical expedient. There were no fair value gains (losses) on investments at fair value option using NAV as a practical expedient for 2019. |
Summary of Financial Information for Equity Method Investments | The table below presents summarized financial information for equity method investments that meet, in aggregate, the requirements for disclosing summarized disclosures as of December 31, 2021. Amounts in the table below represent amounts reported in the consolidated financial statements as of December 31, 2021 and 2020, and for the years ended December 31, 2021, 2020 and 2019. The financial statements for the majority of these equity method investments are reported on a lag. Balance Sheet Data As of December, 31 2021 2020 (in millions) Total assets $ 1,543 $ 1,150 Total liabilities 412 499 Total equity 1,131 651 Statement of Operations Data Year Ended December 31, 2021 2020 2019 (in millions) Total revenues $ 548 $ 225 $ 94 Total expenses 64 84 67 Net income (loss) 484 141 26 |
Financial Guaranty Variable I_2
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Variable Interest Entities | Number of Consolidated FG VIEs Year Ended December 31, 2021 2020 2019 Beginning of year 25 27 31 Consolidated 1 2 1 Deconsolidated (1) (2) (3) Matured — (2) (2) December 31 25 25 27 The table below shows the carrying value of the consolidated FG VIEs’ assets and liabilities in the consolidated balance sheets, segregated by the types of assets that collateralize the respective debt obligations for FG VIEs’ liabilities with recourse. Consolidated FG VIEs by Type of Collateral As of December 31, 2021 2020 (in millions) FG VIEs’ assets: U.S. RMBS first lien $ 221 $ 243 U.S. RMBS second lien 39 53 Total FG VIEs’ assets $ 260 $ 296 FG VIEs’ liabilities with recourse: U.S. RMBS first lien $ 227 $ 260 U.S. RMBS second lien 42 56 Total FG VIEs’ liabilities with recourse $ 269 $ 316 FG VIEs’ liabilities without recourse: U.S. RMBS first lien $ 20 $ 17 Total FG VIEs’ liabilities without recourse $ 20 $ 17 As of December 31, 2021 2020 (in millions) Excess of unpaid principal over fair value of: FG VIEs’ assets $ 255 $ 274 FG VIEs’ liabilities with recourse 12 15 FG VIEs’ liabilities without recourse 15 16 Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due 52 68 Unpaid principal for FG VIEs’ liabilities with recourse (1) 281 330 ____________________ (1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2021 through 2038. Number of Consolidated CIVs by Type As of December 31, CIV Type 2021 2020 Funds 8 7 CLOs 9 3 CLO warehouses 3 1 Total number of consolidated CIVs 20 11 The table below summarizes the change in the number of consolidated CIVs during each of the periods. During 2021, five consolidated CLO warehouses became CLOs. During 2020, two consolidated CLO warehouses became CLOs. Roll Forward of Number of Consolidated CIVs Year Ended December 31, 2021 2020 2019 Beginning of year 11 4 — Consolidated 10 7 4 Deconsolidated (1) — — December 31 20 11 4 Assets and Liabilities of CIVs As of December 31, 2021 2020 (in millions) Assets: Fund assets: Cash and cash equivalents $ 64 $ 117 Fund investments, at fair value: Equity securities and warrants (1) 252 18 Obligations of state and political subdivisions 101 61 Corporate securities 98 9 Structured products (2) 62 39 Due from brokers and counterparties 49 35 Other 1 — CLO and CLO warehouse assets: Cash 156 17 CLO investments: Loans in CLOs, fair value option 3,913 1,291 Loans in CLO warehouses, fair value option 331 170 Short-term investments, at fair value 145 139 Due from brokers and counterparties 99 17 Total assets (3) $ 5,271 $ 1,913 Liabilities: CLO obligations, fair value option (4) $ 3,665 $ 1,227 Warehouse financing debt, fair value option (5) 126 25 Securities sold short, at fair value 41 47 Due to brokers and counterparties 570 290 Other liabilities 34 1 Total liabilities $ 4,436 $ 1,590 ____________________ (1) Includes investments in AssuredIM Funds or other affiliated entities of $198 million and $10 million as of December 31, 2021 and December 31, 2020, respectively. (2) Includes investments in affiliated entities of $25 million and $16 million as of December 31, 2021 and December 31, 2020, respectively. (3) Includes assets of a VOE as of December 31, 2021 and December 31, 2020 of $12 million and $10 million, respectively. (4) The weighted average maturity of CLO obligations was 6.6 years and 5.6 years for December 31, 2021 and December 31, 2020, respectively. The weighted average interest rate of CLO obligations was 1.8% as of December 31, 2021 and 2.4% for December 31, 2020. CLO obligations will mature at various dates from 2033 to 2035. |
Redeemable Noncontrolling Interest | Redeemable Noncontrolling Interests in CIVs Year Ended December 31, 2021 2020 2019 (in millions) Beginning balance $ 21 $ 7 $ — Reallocation of ownership interests — (10) — Contributions to CIVs — 25 12 Distributions from CIVs — — (4) Net income (loss) attributable to the redeemable NCI 1 (1) (1) December 31, $ 22 $ 21 $ 7 |
Fair Value Measurement (Tables)
Fair Value Measurement (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 2021 Fair Value Hierarchy Level 1 Level 2 Level 3 Total (in millions) Assets: Investments, available-for-sale: Fixed-maturity securities: Obligations of state and political subdivisions $ — $ 3,588 $ 72 $ 3,660 U.S. government and agencies — 128 — 128 Corporate securities — 2,605 — 2,605 Mortgage-backed securities: RMBS — 221 216 437 CMBS — 346 — 346 Asset-backed securities — 27 863 890 Non-U.S. government securities — 136 — 136 Total fixed-maturity securities — 7,051 1,151 8,202 Short-term investments 1,225 — — 1,225 Other invested assets (1) 6 — 6 12 FG VIEs’ assets — — 260 260 Assets of CIVs (2): Fund investments: Equity securities and warrants — 7 239 246 Obligations of state and political subdivisions — 101 — 101 Corporate securities — 7 91 98 Structured products — 62 — 62 CLOs and CLO warehouse assets: Loans — 4,244 — 4,244 Short-term investments 145 — — 145 Total assets of CIVs 145 4,421 330 4,896 Other assets 53 54 25 132 Total assets carried at fair value $ 1,429 $ 11,526 $ 1,772 $ 14,727 Liabilities: Credit derivative liabilities $ — $ — $ 156 $ 156 FG VIEs’ liabilities (3) — — 289 289 Liabilities of CIVs: CLO obligations of CFEs — — 3,665 3,665 Warehouse financing debt — 103 23 126 Securities sold short — 41 — 41 Securitized borrowing — — 17 17 Total liabilities of CIVs — 144 3,705 3,849 Other liabilities — 1 — 1 Total liabilities carried at fair value $ — $ 145 $ 4,150 $ 4,295 Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 2020 Fair Value Hierarchy Level 1 Level 2 Level 3 Total (in millions) Assets: Investments, available-for-sale: Fixed-maturity securities Obligations of state and political subdivisions $ — $ 3,890 $ 101 $ 3,991 U.S. government and agencies — 162 — 162 Corporate securities — 2,483 30 2,513 Mortgage-backed securities: RMBS — 311 255 566 CMBS — 387 — 387 Asset-backed securities — 41 940 981 Non-U.S. government securities — 173 — 173 Total fixed-maturity securities — 7,447 1,326 8,773 Short-term investments 786 65 — 851 Other invested assets (1) 10 — 5 15 FG VIEs’ assets — — 296 296 Assets of CIVs (2): Fund investments: Equity securities — 8 2 10 Obligations of state and political subdivisions — 61 — 61 Corporate securities — 9 — 9 Structured products — 39 — 39 CLOs and CLO warehouse assets: Loans — 1,461 — 1,461 Short-term investments 139 — — 139 Total assets of CIVs 139 1,578 2 1,719 Other assets 42 48 55 145 Total assets carried at fair value $ 977 $ 9,138 $ 1,684 $ 11,799 Liabilities: Credit derivative liabilities $ — $ — $ 103 $ 103 FG VIEs’ liabilities (3) — — 333 333 Liabilities of CIVs: CLO obligations of CFEs — — 1,227 1,227 Warehouse financing debt — 25 — 25 Securities sold short — 47 — 47 Total liabilities of CIVs — 72 1,227 1,299 Other liabilities — 1 — 1 Total liabilities carried at fair value $ — $ 73 $ 1,663 $ 1,736 ____________________ (1) Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. Excludes $19 million and $91 million of equity method investments measured at fair value under the fair value option using the NAV as a practical expedient as of December 31, 2021 and December 31, 2020, respectively. (2) Excludes $6 million and $8 million as of December 31, 2021 and December 31, 2020, respectively, in investments in AssuredIM Funds for which the Company records a 100% NCI. The consolidation of these funds result in a gross up of assets and NCI on the consolidated financial statements; however, they result in no economic equity or net income attributable to AGL. |
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 the years ended December 31, 2021 and 2020. Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Year Ended December 31, 2021 Fixed-Maturity Securities Assets of CIVs Obligations Corporate Securities RMBS Asset- FG VIEs’ Equity Securities and Warrants Corporate Securities Other (in millions) Fair value as of December 31, 2020 $ 101 $ 30 $ 255 $ 940 $ 296 $ 2 $ — $ 54 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 23 (1) 2 (1) 16 (1) 18 (1) 26 (2) 35 (4) — (27) (3) Other comprehensive income (loss) (5) 16 (1) (5) — — — — Purchases — — — 344 — 56 — — Sales (44) (48) — (142) — (28) — — Settlements (3) — (54) (292) (62) — — — Consolidations — — — — — 174 91 — Fair value as of December 31, 2021 $ 72 $ — $ 216 $ 863 $ 260 $ 239 $ 91 $ 27 Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in: Earnings $ 27 (2) $ 33 (4) $ — $ (28) (3) OCI $ 1 $ — $ (1) $ (6) $ — Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Year Ended December 31, 2021 Credit Derivative Asset (Liability), net (5) FG VIEs’ Liabilities (8) Liabilities of CIVs (in millions) Fair value as of December 31, 2020 $ (100) $ (333) $ (1,227) Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) (58) (6) (8) (2) 15 (4) Other comprehensive income (loss) — (1) — Issuances — — (3,367) Settlements 4 53 891 Consolidations — — (17) Fair value as of December 31, 2021 $ (154) $ (289) $ (3,705) Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in: Earnings $ (74) (6) $ (6) (2) $ (2) (4) OCI $ (1) Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Year Ended December 31, 2020 Fixed-Maturity Securities Assets of CIVs Obligations Corporate Securities RMBS Asset- FG VIEs’ Equity Securities and Warrants Corporate Securities Structured Products Other (in millions) Fair value as of December 31, 2019 $ 107 $ 41 $ 308 $ 658 $ 442 $ 17 $ 47 $ — $ 55 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 5 (1) (6) (1) 15 (1) 25 (1) (70) (2) 7 (4) 2 (4) 3 (4) (1) (3) Other comprehensive income (loss) (8) (5) (22) (7) — — — — — Purchases — — — 384 — 128 5 17 — Sales — — — (102) — (150) (54) (20) — Settlements (3) — (46) (17) (83) — — — — Consolidation — — — — 18 — — — — Deconsolidations — — — — (11) — — — — Transfers out of Level 3 — — — (1) — — — — — Fair value as of December 31, 2020 $ 101 $ 30 $ 255 $ 940 $ 296 $ 2 $ — $ — $ 54 Change in unrealized gains (losses) related to financial instruments held as of December 31, 2020 included in: Earnings $ 7 (2) $ (2) (4) $ — $ — $ (1) (3) OCI $ (8) $ (5) $ (20) $ (4) Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Year Ended December 31, 2020 Credit Derivative Asset (Liability), net (5) FG VIEs’ Liabilities (8) Liabilities of CIVs (in millions) Fair value as of December 31, 2019 $ (185) $ (469) $ (481) Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 81 (6) 57 (2) (8) (4) Other comprehensive income (loss) — 9 — Issuances — — (738) Settlements 4 77 — Consolidations — (19) — Deconsolidations — 12 — Fair value as of December 31, 2020 $ (100) $ (333) $ (1,227) Change in unrealized gains (losses) related to financial instruments held as of December 31, 2020 included in: Earnings $ 87 (6) $ (17) (2) $ (8) (4) OCI $ 9 __________________ (1) Included in “net realized investment gains (losses)” and “net investment income”. (2) Included in “fair value gains (losses) on FG VIEs”. (3) Reported in “fair value gains (losses) on CCS”, “net investment income” and “other income”. (4) Reported in “fair value gains (losses) on CIVs”. (5) Represents the net position of credit derivatives. Credit derivative assets (reported in “other assets”) and credit derivative liabilities (presented as a separate line item) are shown as either assets or liabilities in the consolidated balance sheets based on net exposure by transaction. (6) Reported in “fair value gains (losses) on credit derivatives”. (7) Includes CCS and other invested assets. (8) Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse. |
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 the years ended December 31, 2021 and 2020. Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Year Ended December 31, 2021 Fixed-Maturity Securities Assets of CIVs Obligations Corporate Securities RMBS Asset- FG VIEs’ Equity Securities and Warrants Corporate Securities Other (in millions) Fair value as of December 31, 2020 $ 101 $ 30 $ 255 $ 940 $ 296 $ 2 $ — $ 54 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 23 (1) 2 (1) 16 (1) 18 (1) 26 (2) 35 (4) — (27) (3) Other comprehensive income (loss) (5) 16 (1) (5) — — — — Purchases — — — 344 — 56 — — Sales (44) (48) — (142) — (28) — — Settlements (3) — (54) (292) (62) — — — Consolidations — — — — — 174 91 — Fair value as of December 31, 2021 $ 72 $ — $ 216 $ 863 $ 260 $ 239 $ 91 $ 27 Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in: Earnings $ 27 (2) $ 33 (4) $ — $ (28) (3) OCI $ 1 $ — $ (1) $ (6) $ — Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Year Ended December 31, 2021 Credit Derivative Asset (Liability), net (5) FG VIEs’ Liabilities (8) Liabilities of CIVs (in millions) Fair value as of December 31, 2020 $ (100) $ (333) $ (1,227) Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) (58) (6) (8) (2) 15 (4) Other comprehensive income (loss) — (1) — Issuances — — (3,367) Settlements 4 53 891 Consolidations — — (17) Fair value as of December 31, 2021 $ (154) $ (289) $ (3,705) Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in: Earnings $ (74) (6) $ (6) (2) $ (2) (4) OCI $ (1) Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Year Ended December 31, 2020 Fixed-Maturity Securities Assets of CIVs Obligations Corporate Securities RMBS Asset- FG VIEs’ Equity Securities and Warrants Corporate Securities Structured Products Other (in millions) Fair value as of December 31, 2019 $ 107 $ 41 $ 308 $ 658 $ 442 $ 17 $ 47 $ — $ 55 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 5 (1) (6) (1) 15 (1) 25 (1) (70) (2) 7 (4) 2 (4) 3 (4) (1) (3) Other comprehensive income (loss) (8) (5) (22) (7) — — — — — Purchases — — — 384 — 128 5 17 — Sales — — — (102) — (150) (54) (20) — Settlements (3) — (46) (17) (83) — — — — Consolidation — — — — 18 — — — — Deconsolidations — — — — (11) — — — — Transfers out of Level 3 — — — (1) — — — — — Fair value as of December 31, 2020 $ 101 $ 30 $ 255 $ 940 $ 296 $ 2 $ — $ — $ 54 Change in unrealized gains (losses) related to financial instruments held as of December 31, 2020 included in: Earnings $ 7 (2) $ (2) (4) $ — $ — $ (1) (3) OCI $ (8) $ (5) $ (20) $ (4) Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Year Ended December 31, 2020 Credit Derivative Asset (Liability), net (5) FG VIEs’ Liabilities (8) Liabilities of CIVs (in millions) Fair value as of December 31, 2019 $ (185) $ (469) $ (481) Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 81 (6) 57 (2) (8) (4) Other comprehensive income (loss) — 9 — Issuances — — (738) Settlements 4 77 — Consolidations — (19) — Deconsolidations — 12 — Fair value as of December 31, 2020 $ (100) $ (333) $ (1,227) Change in unrealized gains (losses) related to financial instruments held as of December 31, 2020 included in: Earnings $ 87 (6) $ (17) (2) $ (8) (4) OCI $ 9 __________________ (1) Included in “net realized investment gains (losses)” and “net investment income”. (2) Included in “fair value gains (losses) on FG VIEs”. (3) Reported in “fair value gains (losses) on CCS”, “net investment income” and “other income”. (4) Reported in “fair value gains (losses) on CIVs”. (5) Represents the net position of credit derivatives. Credit derivative assets (reported in “other assets”) and credit derivative liabilities (presented as a separate line item) are shown as either assets or liabilities in the consolidated balance sheets based on net exposure by transaction. (6) Reported in “fair value gains (losses) on credit derivatives”. (7) Includes CCS and other invested assets. (8) Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse. |
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs As of December 31, 2021 Financial Instrument Description Fair Value Significant Unobservable Range Weighted Average (4) Assets (2): Fixed-maturity securities (1): Obligations of state and political subdivisions $ 72 Yield 4.4 % - 24.5% 6.2% RMBS 216 CPR 0.0 % - 22.7% 10.4% CDR 1.4 % - 12.0% 5.9% Loss severity 50.0 % - 125.0% 84.9% Yield 3.8 % - 5.6% 4.5% Asset-backed securities: Life insurance transactions 367 Yield 5.0% CLOs 458 Discount margin 0.0 % - 2.9% 1.8% Others 38 Yield 3.2 % - 7.9% 7.9% FG VIEs’ assets (1) 260 CPR 0.9 % - 24.5% 13.3% CDR 1.4 % - 26.9% 7.6% Loss severity 45.0 % - 100.0% 81.6% Yield 1.4 % - 8.0% 4.6% Assets of CIVs (3): Equity securities and warrants 239 Yield 7.7% Discount rate 14.7 % - 23.9% 21.6% Market multiple-enterprise value/revenue 1.10x Market multiple-enterprise value/EBITDA (6) 3.00x - 10.50x 8.95x Market multiple-price to book 1.85x Corporate securities 91 Discount rate 14.7 % - 21.4% 17.8% Yield 16.4% Other assets (1) 23 Implied Yield 2.7 % - 3.3% 3.0% Term (years) 10 years Liabilities: Credit derivative liabilities, net (154) Year 1 loss estimates 0.0 % - 85.8% 0.1% Hedge cost (in bps) 8.0 - 37.1 12.6 Bank profit (in bps) 0.0 - 187.8 67.9 Internal floor (in bps) 8.8 Internal credit rating AAA - CCC AA FG VIEs’ liabilities (289) CPR 0.9 % - 24.5% 13.3% CDR 1.4 % - 26.9% 7.6% Loss severity 45.0 % - 100.0% 81.6% Yield 1.4 % - 8.0% 3.7% Liabilities of CIVs: CLO obligations of CFEs (5) (3,665) Yield 1.6 % - 13.7% 2.1% Warehouse financing debt (23) Yield 12.6 % - 16.0% 13.8% Securitized borrowing (17) Discount rate 23.9% Market multiple-enterprise value/revenue 10.50x ____________________ (1) Discounted cash flow is used as the primary valuation technique. (2) Excludes several investments reported in “other invested assets” with a fair value of $6 million. (3) The primary valuation technique uses the income and/or market approach, the key inputs to the valuation are yield/discount rates and market multiples. (4) Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of CIVs, for which it is calculated as a percentage of fair value. (5) See CFE fair value methodology described above for consolidated CLOs. (6) Earnings before interest, taxes, depreciation, and amortization. Quantitative Information About Level 3 Fair Value Inputs As of December 31, 2020 Financial Instrument Description Fair Value Significant Range Weighted Average (4) Assets (2): Fixed-maturity securities (1): Obligations of state and political subdivisions $ 101 Yield 6.4 % - 33.4% 12.8% Corporate security 30 Yield 42.0% RMBS 255 CPR 0.4 % - 30.0% 7.1% CDR 1.5 % - 9.9% 6.0% Loss severity 45.0 % - 125.0% 83.6% Yield 3.7 % - 5.9% 4.5% Asset-backed securities: Life insurance transactions 367 Yield 5.2% CLOs 532 Discount margin 0.1 % - 3.1% 1.9% Others 41 Yield 2.6 % - 9.0% 9.0% FG VIEs’ assets (1) 296 CPR 0.9 % - 19.0% 9.4% CDR 1.9 % - 26.6% 6.0% Loss severity 45.0 % - 100.0% 81.5% Yield 1.9 % - 6.0% 4.8% Assets of CIVs: Equity securities (3) 2 Yield 9.7% Other assets (1) 52 Implied Yield 3.4 % - 4.2% 3.8% Term (years) 10 years Liabilities: Credit derivative liabilities, net (100) Year 1 loss estimates 0.0 % - 85.0% 1.9% Hedge cost (in bps) 19.0 - 99.0 32.0 Bank profit (in bps) 47.0 - 329.0 93.0 Internal floor (in bps) 15.0 - 30.0 21.0 Internal credit rating AAA - CCC AA- FG VIEs’ liabilities (333) CPR 0.9 % - 19.0% 9.4% CDR 1.9 % - 26.6% 6.0% Loss severity 45.0 % - 100.0% 81.5% Yield 1.9 % - 6.2% 3.8% Liabilities of CIVs: CLO obligations of CFEs (5) (1,227) Yield 2.2 % - 15.2% 2.5% ____________________ (1) Discounted cash flow is used as the primary valuation technique. (2) Excludes several investments reported in “other invested assets” with a fair value of $5 million. (3) The primary inputs to the valuation are recent market transaction prices, supported by market multiples and yield/discount rates. (4) Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of CIVs, where it is calculated as a percentage of fair value. (5) See CFE fair value methodology described above for consolidated CLOs. |
Fair Value of Financial Instruments | Fair Value of Financial Instruments Not Carried at Fair Value As of December 31, 2021 As of December 31, 2020 Carrying Estimated Carrying Estimated (in millions) Assets (liabilities) Assets of CIVs (1) $ 171 $ 171 $ 152 $ 152 Other assets (including other invested assets) (2) 134 135 84 86 Financial guaranty insurance contracts (3) (2,394) (2,315) (2,464) (3,882) Long-term debt (1,673) (1,832) (1,224) (1,561) Liabilities of CIVs (4) (586) (586) (290) (290) Other liabilities (5) (45) (45) (27) (27) ____________________ (1) Includes due from brokers and counterparties and cash equivalents. Carrying value approximates fair value. (2) Includes accrued interest, receivable for an unsettled sale of a portion of the Puerto Rico salvage and subrogation recoverable, management fees receivables, promissory note receivable and receivables for securities sold. Carrying value approximates fair value. (3) 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. (4) Includes due to brokers and counterparties and fund’s loan payable. Carrying value approximates fair value. |
Asset Management Fees (Tables)
Asset Management Fees (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Revenue from Contract with Customer [Abstract] | |
Disaggregation of Revenue | The following table presents the sources of asset management fees and performance fees on a consolidated basis. The year ended December 31, 2019 amounts presented in this note reflect only one quarter of activity from October 1, 2019, the BlueMountain Acquisition Date, through December 31, 2019. Asset Management Fees Year Ended December 31, 2021 2020 2019 (in millions) Management fees: CLOs (1) $ 41 $ 21 $ 3 Opportunity funds and liquid strategies 17 8 2 Wind-down funds 7 25 13 Total management fees 65 54 18 Performance fees 1 — 4 Reimbursable fund expenses 22 35 — Total asset management fees $ 88 $ 89 $ 22 _____________________ (1) To the extent that the Company’s wind-down and/or opportunity funds are invested in AssuredIM managed CLOs, AssuredIM may rebate any management fees and/or performance fees earned from the CLOs. Gross management fees from CLOs, before rebates, were $47 million in 2021, $40 million in 2020 and $11 million in 2019. |
Goodwill and Other Intangible_2
Goodwill and Other Intangible Assets (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
Schedule of Indefinite-Lived Intangible Assets | The following table summarizes the carrying value for the Company’s goodwill and other intangible assets: Goodwill and Other Intangible Assets Weighted Average Amortization Period as of December 31, 2021 As of December 31, 2021 2020 (in millions) Goodwill (1) $ 117 $ 117 Finite-lived intangible assets: CLO contracts 6.8 years 42 42 Investment management contracts 2.5 years 24 24 CLO distribution network 2.8 years 9 9 Trade name 7.8 years 3 3 Favorable sublease 2.2 years 1 1 Lease-related intangibles 5.2 years 3 3 Finite-lived intangible assets, gross 5.4 years 82 82 Accumulated amortization (30) (18) Finite-lived intangible assets, net 52 64 Indefinite-lived intangible assets (insurance licenses) 6 22 Total goodwill and other intangible assets $ 175 $ 203 _____________________ |
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense | As of December 31, 2021, future annual amortization of finite-lived intangible assets for the years 2022 through 2026 and thereafter is estimated to be: Estimated Future Amortization Expense for Finite-Lived Intangible Assets As of December 31, 2021 Year (in millions) 2022 $ 11 2023 11 2024 10 2025 6 2026 5 Thereafter 9 Total $ 52 On February 24, 2021, the Company received the last regulatory approval required to merge MAC with and into AGM, with AGM as the surviving company. The merger was effective on April 1, 2021. Upon the merger all direct insurance policies issued by MAC became direct insurance obligations of AGM. As a result, the Company wrote off the $16 million carrying value of the indefinite-lived intangible asset related to the MAC insurance licenses in the first quarter of 2021. This was reported in “other operating expenses” in the Insurance segment. |
Long-Term Debt and Credit Fac_2
Long-Term Debt and Credit Facilities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
Principal and Carrying Amounts of Debt | The principal and carrying values of the Company’s debt are presented in the table below. Principal and Carrying Amounts of Long-Term Debt As of December 31, 2021 As of December 31, 2020 Principal Carrying Principal Carrying (in millions) AGUS 7% Senior Notes $ 200 $ 197 $ 200 $ 197 AGUS 5% Senior Notes (2) 330 329 500 498 AGUS 3.15% Senior Notes 500 495 — — AGUS 3.6% Senior Notes 400 395 — — AGUS Series A Enhanced Junior Subordinated Debentures 150 150 150 150 AGMH 6 7 / 8 % Quarterly Interest Bonds (1) (2) — — 100 71 AGMH 6.25% Notes (1) (2) — — 230 145 AGMH 5.6% Notes (1) (2) — — 100 58 AGMH Junior Subordinated Debentures (1) (3) 146 105 146 102 AGM Notes Payable 2 2 3 3 Total $ 1,728 $ 1,673 $ 1,429 $ 1,224 ____________________ (1) Carrying amounts are different than principal amounts primarily due to fair value adjustments at the date of the AGMH acquisition, which are accreted into interest expense over the remaining terms of these obligations. (2) Redeemed or partially redeemed in 2021. (3) Net of AGMH’s long-term debt purchased by AGUS. |
Expected Maturity Schedule of Debt | Debt Maturity Schedule (1) As of December 31, 2021 Year Principal (in millions) 2022 $ 1 2023 — 2024 330 2025 1 2026 — 2027-2046 700 2047-2066 696 Total $ 1,728 ____________________ (1) Includes eliminations of AGMH’s debt purchased by AGUS. |
Schedule of Interest Expense | Interest Expense Year Ended December 31, 2021 2020 2019 (in millions) AGUS 7% Senior Notes $ 13 $ 13 $ 13 AGUS 5% Senior Notes 23 26 26 AGUS 3.15% Senior Notes 10 — — AGUS 3.6% Senior Notes 5 — — AGUS Series A Enhanced Junior Subordinated Debentures 4 5 7 AGMH 6 7 / 8 % Quarterly Interest Bonds 4 7 7 AGMH 6.25% Notes 10 15 16 AGMH 5.6% Notes 5 6 6 AGMH Junior Subordinated Debentures (1) 12 13 14 Other 1 — — Total $ 87 $ 85 $ 89 ____________________ (1) Net of interest expense on AGMH’s long-term debt purchased by AGUS. |
Employee Benefit Plans (Tables)
Employee Benefit Plans (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Share-based Payment Arrangement [Abstract] | |
Restricted Stock Unit Activity (Excluding Dividend Equivalents) | Restricted Stock Unit Activity Nonvested Stock Units Number of Stock Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2020 936,449 $ 41.68 Granted 340,787 44.08 Vested (311,683) 38.77 Forfeited (59,251) 46.89 Nonvested at December 31, 2021 906,302 $ 43.25 Performance Restricted Stock Unit Activity Performance Restricted Stock Units Number of Performance Share Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2020 568,957 $ 43.64 Granted (1) 378,394 52.04 Vested (1) (332,439) 26.11 Forfeited — — Nonvested at December 31, 2021 (2) 614,912 $ 46.25 ____________________ (1) Includes 142,222 performance restricted stock units that were granted prior to 2021 at a weighted average grant date fair value of $25.70, but met performance hurdles and vested during 2021. The weighted average grant date fair value per share excludes these shares. |
Restricted Stock Award Activity | Restricted Stock Award Activity Nonvested Shares Number of Shares Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2020 68,098 $ 28.12 Granted 44,797 51.34 Vested (68,098) 28.12 Forfeited — — Nonvested at December 31, 2021 44,797 $ 51.34 |
Stock Purchase Plan | Stock Purchase Plan Year Ended December 31, 2021 2020 2019 (dollars in millions) Proceeds from purchase of shares by employees $ 2.1 $ 1.5 $ 1.5 Number of shares issued by the Company 67,615 72,797 40,732 |
Share-Based Compensation Expense Summary | Share-Based Compensation Expense Summary Year Ended December 31, 2021 2020 2019 (in millions) Share‑based compensation expense $ 27 $ 25 $ 21 Share‑based compensation capitalized as DAC 2 1 1 Income tax benefit 4 4 3 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
Schedule of Deferred Tax Assets and Liabilities | Deferred and Current Tax Assets (Liabilities) As of December 31, 2021 2020 (in millions) Net deferred tax assets (liabilities) $ (33) $ (100) Net current tax assets (liabilities) (43) 21 Components of Net Deferred Tax Assets (Liabilities) As of December 31, 2021 2020 (in millions) Deferred tax assets: Unearned premium reserves, net $ 51 $ 56 Investment basis differences — 47 Rent 17 24 Foreign tax credit 24 24 Net operating loss 28 33 Depreciation 27 — Deferred compensation 29 29 Other 19 4 Total deferred tax assets 195 217 Deferred tax liabilities: Unrealized appreciation on investments 74 102 Discount on long-term debt 7 41 Market discount on investments 25 42 DAC 20 22 Investment basis differences 5 — Loss and LAE reserve 44 44 Lease 16 17 Unrealized gains on CCS 5 11 Other 8 14 Total deferred tax liabilities 204 293 Less: Valuation allowance 24 24 Net deferred tax assets (liabilities) $ (33) $ (100) |
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 Year Ended December 31, 2021 2020 2019 (in millions) Expected tax provision (benefit) $ 76 $ 83 $ 91 Tax-exempt interest (19) (20) (19) Change in liability for uncertain tax positions — (17) 1 Effect of provision to tax return filing adjustments (4) (7) (6) Non-controlling interest (8) (1) — State taxes 7 4 1 Taxes on reinsurance (2) 9 (5) Foreign taxes 8 (3) 6 Other — (3) (6) Total provision (benefit) for income taxes $ 58 $ 45 $ 63 Effective tax rate 12.2 % 10.9 % 13.7 % |
Pretax Income (Loss) by Tax Jurisdiction | Pre-tax Income (Loss) by Tax Jurisdiction Year Ended December 31, 2021 2020 2019 (in millions) U.S. $ 378 $ 385 $ 440 Bermuda 115 16 33 U.K. (8) 13 (8) Other (8) (1) (1) Total $ 477 $ 413 $ 464 |
Revenue by Tax Jurisdiction | Revenue by Tax Jurisdiction Year Ended December 31, 2021 2020 2019 (in millions) U.S. $ 685 $ 894 $ 779 Bermuda 123 151 146 U.K. 41 60 36 Other (1) 10 2 Total $ 848 $ 1,115 $ 963 |
Reconciliation of Uncertain Tax Positions | The following table provides a reconciliation of the beginning and ending balances of the total liability for unrecognized tax positions, excluding accrued interest. 2021 2020 2019 (in millions) Beginning of year $ — $ 15 $ 14 Effect of provision to tax return filing adjustments — — 5 Decrease in unrecognized tax positions as a result of settlement of positions taken during the prior period — (15) — Reductions to unrecognized tax benefits as a result of the applicable statute of limitations — — (4) Balance as of December 31, $ — $ — $ 15 |
Insurance Company Regulatory _2
Insurance Company Regulatory Requirements (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Insurance Company Regulatory Requirements [Abstract] | |
Schedule of Statutory Capital and Surplus and Net Income | Insurance Regulatory Amounts Reported U.S. and Bermuda Policyholders’ Surplus Net Income (Loss) As of December 31, Year Ended December 31, 2021 2020 2021 2020 2019 (in millions) U.S. statutory companies: AGM (1) (2) $ 3,053 $ 2,763 $ 352 $ 398 $ 312 AGC (3) 2,070 1,717 282 73 226 Bermuda statutory companies: AG Re 944 1,026 121 24 45 AGRO 425 429 6 7 12 ____________________ (1) Until April 1, 2021, AGM owned 60.7% of Municipal Assurance Holdings, Inc. (MAC Holdings), the parent of financial guaranty insurer MAC. AGC owned the remaining 39.3% of MAC Holdings. On April 1, 2021, Assured Guaranty executed a multi-step transaction to merge MAC with and into AGM, with AGM as the surviving company. Furthermore, in accordance with the National Association of Insurance Commissioners (NAIC) Annual Statement instructions, the prior year numbers have been restated to reflect the merger of MAC with and into AGM as if the purchase of AGC’s interest in MAC Holdings and the MAC merger had occurred as of January 1, 2020. AGM amounts for 2019 were not required to be restated. (2) Policyholders’ surplus is net of contingency reserves of $877 million and $1,012 million as of December 31, 2021 and December 31, 2020, respectively. (3) Policyholders’ surplus is net of contingency reserves of $348 million and $545 million as of December 31, 2021 and December 31, 2020, respectively. |
Schedule of Dividends Paid by Insurance Company Subsidiaries | Dividend Restrictions and Capital Requirements Distributions from / Contributions to Insurance Company Subsidiaries Year Ended December 31, 2021 2020 2019 (in millions) Dividends paid by AGC to AGUS $ 94 $ 166 $ 123 Dividends paid by AGM to AGMH 291 267 220 Dividends paid by AG Re to AGL (1) 150 150 275 Repurchase of common stock by AGC from AGUS — — 100 Dividends from AGUK to AGM (2) — 124 — Contributions from AGM to AGE (2) — (123) — ____________________ (1) The 2021 and 2020 amounts included fixed-maturity securities with a fair value of $46 million and $47 million, respectively. |
Leases (Tables)
Leases (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Leases [Abstract] | |
Summary of Lease Expense and Other Information | Lease Expense and Other Information Year Ended December 31, 2021 2020 2019 (in millions) Operating lease cost (1) $ 16 $ 30 $ 10 Other lease costs (2) 3 4 2 Sublease income (5) (3) — Total lease cost (3) $ 14 $ 31 $ 12 Cash paid for amounts included in the measurement of lease liabilities Operating cash outflows for operating leases $ 20 $ 19 $ 11 ROU assets obtained in exchange for new operating lease liabilities (4) 35 4 37 ____________________ (1) The 2020 amount includes $13 million ROU asset impairment on an ROU asset. (2) Includes variable, short-term and finance lease costs. (3) Includes amortization on finance lease ROU assets and interest on finance lease liabilities reported in “other operating expenses” in the consolidated statements of operations. (4) The amounts in 2021 relate primarily to additional office space leased in New York City. The amounts for 2019 relate primarily to the BlueMountain Acquisition. See Note 2, Business Combinations, for additional information. |
Future Minimum Rental Payments | Future Minimum Rental Payments Operating Leases As of December 31, 2021 Year (in millions) 2022 $ 23 2023 23 2024 16 2025 13 2026 12 Thereafter 65 Total lease payments 152 Less: Imputed interest 16 Total lease liabilities $ 136 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Equity [Abstract] | |
Schedule of Share Repurchases | Share Repurchases Year Number of Shares Repurchased Total Payments Average Price Paid Per Share 2019 11,163,929 $ 500 $ 44.79 2020 15,787,804 446 28.23 2021 10,519,040 496 47.19 2022 (through February 24, 2022 on a settlement date basis) 1,682,800 92 54.32 |
Other Comprehensive Income (Tab
Other Comprehensive Income (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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 into the respective lines in the consolidated statements of operations. Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2021 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2020 $ 577 $ (30) $ (20) $ (36) $ 7 $ 498 Other comprehensive income (loss) before reclassifications (184) — (3) — — (187) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 21 (7) — — — 14 Fair value gains (losses) on FG VIEs — — (3) — — (3) Interest expense — — — — 1 1 Total before tax 21 (7) (3) — 1 12 Tax (provision) benefit (3) 1 1 — — (1) Total amount reclassified from AOCI, net of tax 18 (6) (2) — 1 11 Other comprehensive income (loss) (202) 6 (1) — (1) (198) Balance, December 31, 2021 $ 375 $ (24) $ (21) $ (36) $ 6 $ 300 Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2020 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2019 $ 352 $ 48 $ (27) $ (38) $ 7 $ 342 Effect of adoption of accounting guidance on credit losses 62 (62) — — — — Other comprehensive income (loss) before reclassifications 189 (29) 7 2 — 169 Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 30 (16) — — — 14 Total before tax 30 (16) — — — 14 Tax (provision) benefit (4) 3 — — — (1) Total amount reclassified from AOCI, net of tax 26 (13) — — — 13 Other comprehensive income (loss) 163 (16) 7 2 — 156 Balance, December 31, 2020 $ 577 $ (30) $ (20) $ (36) $ 7 $ 498 Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2019 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2018 $ 59 $ 94 $ (31) $ (37) $ 8 $ 93 Other comprehensive income (loss) before reclassifications 339 (62) (8) (1) — 268 Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 55 (32) — — — 23 Net investment income 1 15 — — — 16 Fair value gains (losses) on FG VIEs — — (15) — — (15) Interest expense — — — — 1 1 Total before tax 56 (17) (15) — 1 25 Tax (provision) benefit (10) 1 3 — — (6) Total amount reclassified from AOCI, net of tax 46 (16) (12) — 1 19 Other comprehensive income (loss) 293 (46) 4 (1) (1) 249 Balance, December 31, 2019 $ 352 $ 48 $ (27) $ (38) $ 7 $ 342 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of computation of basic and diluted earnings per share | Computation of Earnings Per Share Year Ended December 31, 2021 2020 2019 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 389 $ 362 402 Less: Distributed and undistributed income (loss) available to nonvested shareholders — 1 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 389 $ 361 401 Basic shares 73.5 85.5 99.3 Basic EPS $ 5.29 $ 4.22 $ 4.04 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 389 $ 361 $ 401 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries — — — Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 389 $ 361 $ 401 Basic shares 73.5 85.5 99.3 Dilutive securities: Options and restricted stock awards 0.8 0.7 0.9 Diluted shares 74.3 86.2 100.2 Diluted EPS $ 5.23 $ 4.19 $ 4.00 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.1 0.8 — |
Schedule of antidilutive securities excluded from computation of earnings per share | Computation of Earnings Per Share Year Ended December 31, 2021 2020 2019 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 389 $ 362 402 Less: Distributed and undistributed income (loss) available to nonvested shareholders — 1 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 389 $ 361 401 Basic shares 73.5 85.5 99.3 Basic EPS $ 5.29 $ 4.22 $ 4.04 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 389 $ 361 $ 401 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries — — — Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 389 $ 361 $ 401 Basic shares 73.5 85.5 99.3 Dilutive securities: Options and restricted stock awards 0.8 0.7 0.9 Diluted shares 74.3 86.2 100.2 Diluted EPS $ 5.23 $ 4.19 $ 4.00 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.1 0.8 — |
Parent Company (Tables)
Parent Company (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Condensed Consolidating Balance Sheet | Condensed Balance Sheets (in millions) As of December 31, 2021 2020 Assets Investments $ 188 $ 190 Investments in subsidiaries 5,994 6,432 Dividends receivable from subsidiaries 81 — Other assets (1) 46 38 Total assets $ 6,309 $ 6,660 Liabilities Other liabilities (1) $ 17 $ 17 Total liabilities $ 17 $ 17 Total shareholders’ equity attributable to AGL $ 6,292 $ 6,643 Total liabilities and shareholders’ equity $ 6,309 $ 6,660 ____________________ (1) Mainly consists of due from and due to affiliates. |
Condensed Consolidating Statement of Operations and Comprehensive Income | Condensed Statements of Operations and Comprehensive Income (in millions) Year Ended December 31, 2021 2020 2019 Revenues Net investment income $ 1 $ — $ — Total revenues 1 — — Expenses Other expenses (1) 35 34 31 Total expenses 35 34 31 Income (loss) before equity in earnings of subsidiaries (34) (34) (31) Equity in earnings of subsidiaries 423 396 433 Net income attributable to AGL 389 362 402 Other comprehensive income (loss) attributable to AGL (198) 156 249 Comprehensive income (loss) attributable to AGL $ 191 $ 518 $ 651 ____________________ (1) Includes expense allocations from subsidiaries. |
Condensed Consolidating Statement of Cash Flows | Condensed Statements of Cash Flows (in millions) Year Ended December 31, 2021 2020 2019 Cash flows from operating activities: Net income attributable to AGL $ 389 $ 362 $ 402 Adjustments to reconcile net income to net cash flows provided by operating activities: Equity in earnings of subsidiaries (423) (396) (433) Cash dividends from subsidiaries 539 547 689 Other 22 19 21 Net cash flows provided by (used in) operating activities 527 532 679 Cash flows from investing activities: Short-term investments with maturities of over three months: Purchases — (4) — Maturities and paydowns 4 — — Net sales (purchases) of short-term investments with original maturities of less than three months 41 (3) (90) Net cash flows provided by (used in) investing activities 45 (7) (90) Cash flows from financing activities: Dividends paid (66) (69) (74) Repurchases of common shares (496) (446) (500) Other (10) (10) (15) Net cash flows provided by (used in) financing activities (572) (525) (589) Increase (decrease) in cash — — — Cash at beginning of period — — — Cash at end of period $ — $ — $ — Supplemental disclosure of non-cash investing activities: Dividend from a subsidiary in the form of fixed-maturity securities $ 46 $ 47 $ — |
Business and Basis of Present_4
Business and Basis of Presentation (Details) | Dec. 31, 2021Company |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of holding companies having outstanding public debt | 2 |
Business Combinations - Narrati
Business Combinations - Narrative (Details) - BlueMountain Capital Management, LLC - USD ($) | Oct. 01, 2019 | Feb. 29, 2020 | Dec. 31, 2019 | Dec. 31, 2019 |
Business Acquisition [Line Items] | ||||
Cash purchase price | $ 157,000,000 | |||
Other payments to acquire businesses | $ 60,000,000 | $ 30,000,000 | ||
Revenue | $ 32,000,000 | |||
Net income (loss) | $ (10,000,000) | |||
Acquisition cost expensed | $ 9,000,000 | |||
AGM, AGC and MAC | ||||
Business Acquisition [Line Items] | ||||
Debt instrument, term | 10 years | |||
Interest rate of debt (as a percent) | 3.50% | |||
Principal | $ 250,000,000 |
Business Combinations - Schedul
Business Combinations - Schedule of Recognized Identifiable Assets Acquired and Liabilities Assumed (Details) - USD ($) $ in Millions | Oct. 01, 2019 | Dec. 31, 2021 | Dec. 31, 2020 |
Liabilities assumed: | |||
Goodwill recognized from BlueMountain acquisition | $ 117 | $ 117 | |
BlueMountain Capital Management, LLC | |||
Business Acquisition [Line Items] | |||
Cash purchase price | $ 157 | ||
Identifiable assets acquired: | |||
Investment portfolio | 3 | ||
Cash | 12 | ||
Intangible assets | 79 | ||
Other assets | 59 | ||
Total assets | 153 | ||
Liabilities assumed: | |||
Compensation payables | 61 | ||
Other liabilities | 52 | ||
Total liabilities | 113 | ||
Net identifiable assets acquired | 40 | ||
Goodwill recognized from BlueMountain acquisition | $ 117 |
Business Combinations- Schedule
Business Combinations- Schedule of Intangible Assets Acquired (Details) - BlueMountain Capital Management, LLC $ in Millions | Oct. 01, 2019USD ($) |
Business Acquisition [Line Items] | |
Fair Value | $ 79 |
CLO contracts | |
Business Acquisition [Line Items] | |
Fair Value | $ 42 |
Estimated Weighted Average Useful Life | 9 years |
Investment management contracts | |
Business Acquisition [Line Items] | |
Fair Value | $ 24 |
Estimated Weighted Average Useful Life | 4 years 9 months 18 days |
CLO distribution network | |
Business Acquisition [Line Items] | |
Fair Value | $ 9 |
Estimated Weighted Average Useful Life | 5 years |
Trade name | |
Business Acquisition [Line Items] | |
Fair Value | $ 3 |
Estimated Weighted Average Useful Life | 10 years |
Favorable sublease | |
Business Acquisition [Line Items] | |
Fair Value | $ 1 |
Estimated Weighted Average Useful Life | 4 years 4 months 24 days |
Business Combinations - Pro For
Business Combinations - Pro Forma Information (Details) - BlueMountain Capital Management, LLC $ / shares in Units, $ in Millions | 12 Months Ended |
Dec. 31, 2019USD ($)$ / shares | |
Business Acquisition [Line Items] | |
Pro forma revenues | $ | $ 1,079 |
Pro forma net income | $ | $ 358 |
Pro forma earnings per share (EPS): | |
Basic (in dollars per share) | $ / shares | $ 3.60 |
Diluted (in dollars per share) | $ / shares | $ 3.57 |
Segment Information - Narrative
Segment Information - Narrative (Details) | 12 Months Ended |
Dec. 31, 2021segment | |
Segment Reporting [Abstract] | |
Number of reportable segments | 2 |
Segment Information - Segment I
Segment Information - Segment Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Segment Reporting Information [Line Items] | |||
Segment revenues | $ 960 | $ 989 | $ 964 |
Equity in earnings of investees | 94 | 27 | 4 |
Selected components of segment adjusted operating income: | |||
Net investment income | 269 | 297 | 378 |
Interest expense | 87 | 85 | 89 |
Operating Segments | |||
Segment Reporting Information [Line Items] | |||
Equity in earnings of investees | 144 | 61 | 2 |
Segment adjusted operating income (loss) | 703 | 379 | 502 |
Selected components of segment adjusted operating income: | |||
Net investment income | 280 | 310 | 383 |
Insurance | Operating Segments | |||
Segment Reporting Information [Line Items] | |||
Revenue, including adjustments | 724 | 864 | 912 |
Segment revenues | 733 | 874 | 917 |
Segment expenses | 33 | 446 | 324 |
Equity in earnings of investees | 144 | 61 | 2 |
Less: Segment provision (benefit) for income taxes | 122 | 60 | 83 |
Segment adjusted operating income (loss) | 722 | 429 | 512 |
Selected components of segment adjusted operating income: | |||
Net investment income | 280 | 310 | 383 |
Interest expense | 0 | 0 | 0 |
Non-cash compensation and operating expenses | 56 | 39 | 39 |
Insurance | Intersegment revenues | |||
Segment Reporting Information [Line Items] | |||
Revenue, including adjustments | 9 | 10 | 5 |
Asset Management | Operating Segments | |||
Segment Reporting Information [Line Items] | |||
Revenue, including adjustments | 73 | 61 | 22 |
Segment revenues | 83 | 66 | 22 |
Segment expenses | 108 | 128 | 34 |
Equity in earnings of investees | 0 | 0 | 0 |
Less: Segment provision (benefit) for income taxes | (6) | (12) | (2) |
Segment adjusted operating income (loss) | (19) | (50) | (10) |
Selected components of segment adjusted operating income: | |||
Net investment income | 0 | 0 | 0 |
Interest expense | 1 | 0 | 0 |
Non-cash compensation and operating expenses | 17 | 31 | 3 |
Asset Management | Intersegment revenues | |||
Segment Reporting Information [Line Items] | |||
Revenue, including adjustments | $ 10 | $ 5 | $ 0 |
Segment Information - Reconcili
Segment Information - Reconciliation of Net Income (Loss) Attributable to AGL to Segment Adjusted Operating Income (Loss) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Segment Reporting Information [Line Items] | |||
Total revenues | $ 848 | $ 1,115 | $ 963 |
Total expenses | 465 | 729 | 503 |
Equity in earnings of investees | 94 | 27 | 4 |
Provision (Benefit) for Income Taxes | 58 | 45 | 63 |
Less: Noncontrolling interests | 30 | 6 | (1) |
Reconciling items: | |||
Realized gains (losses) on investments | 15 | 18 | 22 |
Fair value gains (losses) on committed capital securities | (28) | (1) | (22) |
Total consolidated | 389 | 362 | 402 |
Revenues | |||
Reconciling items: | |||
Total consolidated | 848 | 1,115 | 963 |
Expenses | |||
Reconciling items: | |||
Total consolidated | 465 | 729 | 503 |
Equity in Earnings of Investees | |||
Reconciling items: | |||
Total consolidated | 94 | 27 | 4 |
Provision (Benefit) for Income Taxes | |||
Reconciling items: | |||
Total consolidated | 58 | 45 | 63 |
Nonredeemable Noncontrolling Interests | |||
Reconciling items: | |||
Total consolidated | 30 | 6 | (1) |
Net Income (Loss) Attributable to AGL | |||
Reconciling items: | |||
Total consolidated | 389 | 362 | 402 |
Operating Segments | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 816 | 940 | 939 |
Total expenses | 141 | 574 | 358 |
Equity in earnings of investees | 144 | 61 | 2 |
Provision (Benefit) for Income Taxes | 116 | 48 | 81 |
Less: Noncontrolling interests | 0 | 0 | 0 |
Segment adjusted operating income (loss) | 703 | 379 | 502 |
Operating Segments | Insurance | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 733 | 874 | 917 |
Total expenses | 33 | 446 | 324 |
Equity in earnings of investees | 144 | 61 | 2 |
Provision (Benefit) for Income Taxes | 122 | 60 | 83 |
Less: Noncontrolling interests | 0 | 0 | 0 |
Segment adjusted operating income (loss) | 722 | 429 | 512 |
Operating Segments | Asset Management | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 83 | 66 | 22 |
Total expenses | 108 | 128 | 34 |
Equity in earnings of investees | 0 | 0 | 0 |
Provision (Benefit) for Income Taxes | (6) | (12) | (2) |
Less: Noncontrolling interests | 0 | 0 | 0 |
Segment adjusted operating income (loss) | (19) | (50) | (10) |
Corporate division | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 2 | 9 | 3 |
Total expenses | 312 | 132 | 133 |
Equity in earnings of investees | 0 | (6) | 0 |
Provision (Benefit) for Income Taxes | (47) | (18) | (19) |
Less: Noncontrolling interests | 0 | 0 | 0 |
Segment adjusted operating income (loss) | (263) | (111) | (111) |
Other | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 142 | 40 | 22 |
Total expenses | 26 | 21 | 25 |
Equity in earnings of investees | (50) | (28) | 2 |
Provision (Benefit) for Income Taxes | 6 | (3) | 0 |
Less: Noncontrolling interests | 30 | 6 | (1) |
Segment adjusted operating income (loss) | 30 | (12) | 0 |
Realized gains (losses) on investments | Revenues | |||
Reconciling items: | |||
Realized gains (losses) on investments | 15 | 18 | 22 |
Realized gains (losses) on investments | Expenses | |||
Reconciling items: | |||
Realized gains (losses) on investments | 0 | 0 | 0 |
Realized gains (losses) on investments | Equity in Earnings of Investees | |||
Reconciling items: | |||
Realized gains (losses) on investments | 0 | 0 | 0 |
Realized gains (losses) on investments | Provision (Benefit) for Income Taxes | |||
Reconciling items: | |||
Realized gains (losses) on investments | 0 | 0 | 0 |
Realized gains (losses) on investments | Nonredeemable Noncontrolling Interests | |||
Reconciling items: | |||
Realized gains (losses) on investments | 0 | 0 | 0 |
Realized gains (losses) on investments | Net Income (Loss) Attributable to AGL | |||
Reconciling items: | |||
Realized gains (losses) on investments | 15 | 18 | 22 |
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives | Revenues | |||
Reconciling items: | |||
Non-credit Impairment-Related Unrealized Fair Value Gains (Losses) on Credit Derivatives | (78) | 67 | (23) |
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives | Expenses | |||
Reconciling items: | |||
Non-credit Impairment-Related Unrealized Fair Value Gains (Losses) on Credit Derivatives | (14) | 2 | (13) |
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives | Equity in Earnings of Investees | |||
Reconciling items: | |||
Non-credit Impairment-Related Unrealized Fair Value Gains (Losses) on Credit Derivatives | 0 | 0 | 0 |
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives | Provision (Benefit) for Income Taxes | |||
Reconciling items: | |||
Non-credit Impairment-Related Unrealized Fair Value Gains (Losses) on Credit Derivatives | 0 | 0 | 0 |
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives | Nonredeemable Noncontrolling Interests | |||
Reconciling items: | |||
Non-credit Impairment-Related Unrealized Fair Value Gains (Losses) on Credit Derivatives | 0 | 0 | 0 |
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives | Net Income (Loss) Attributable to AGL | |||
Reconciling items: | |||
Non-credit Impairment-Related Unrealized Fair Value Gains (Losses) on Credit Derivatives | (64) | 65 | (10) |
Fair value gains (losses) on CCS | Revenues | |||
Reconciling items: | |||
Fair value gains (losses) on committed capital securities | (28) | (1) | (22) |
Fair value gains (losses) on CCS | Expenses | |||
Reconciling items: | |||
Fair value gains (losses) on committed capital securities | 0 | 0 | 0 |
Fair value gains (losses) on CCS | Equity in Earnings of Investees | |||
Reconciling items: | |||
Fair value gains (losses) on committed capital securities | 0 | 0 | 0 |
Fair value gains (losses) on CCS | Provision (Benefit) for Income Taxes | |||
Reconciling items: | |||
Fair value gains (losses) on committed capital securities | 0 | 0 | 0 |
Fair value gains (losses) on CCS | Nonredeemable Noncontrolling Interests | |||
Reconciling items: | |||
Fair value gains (losses) on committed capital securities | 0 | 0 | 0 |
Fair value gains (losses) on CCS | Net Income (Loss) Attributable to AGL | |||
Reconciling items: | |||
Fair value gains (losses) on committed capital securities | (28) | (1) | (22) |
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | Revenues | |||
Reconciling items: | |||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | (21) | 42 | 22 |
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | Expenses | |||
Reconciling items: | |||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | 0 | 0 | 0 |
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | Equity in Earnings of Investees | |||
Reconciling items: | |||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | 0 | 0 | 0 |
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | Provision (Benefit) for Income Taxes | |||
Reconciling items: | |||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | 0 | 0 | 0 |
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | Nonredeemable Noncontrolling Interests | |||
Reconciling items: | |||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | 0 | 0 | 0 |
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | Net Income (Loss) Attributable to AGL | |||
Reconciling items: | |||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | (21) | 42 | 22 |
Tax effect | Revenues | |||
Reconciling items: | |||
Tax effect | 0 | 0 | 0 |
Tax effect | Expenses | |||
Reconciling items: | |||
Tax effect | 0 | 0 | 0 |
Tax effect | Equity in Earnings of Investees | |||
Reconciling items: | |||
Tax effect | 0 | 0 | 0 |
Tax effect | Provision (Benefit) for Income Taxes | |||
Reconciling items: | |||
Tax effect | 17 | (18) | (1) |
Tax effect | Nonredeemable Noncontrolling Interests | |||
Reconciling items: | |||
Tax effect | 0 | 0 | 0 |
Tax effect | Net Income (Loss) Attributable to AGL | |||
Reconciling items: | |||
Tax effect | (17) | 18 | 1 |
Subtotal | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 960 | 989 | 964 |
Total expenses | 479 | 727 | 516 |
Equity in earnings of investees | 94 | 27 | 4 |
Provision (Benefit) for Income Taxes | 75 | 27 | 62 |
Less: Noncontrolling interests | 30 | 6 | (1) |
Segment adjusted operating income (loss) | $ 470 | $ 256 | $ 391 |
Segment Information - Supplemen
Segment Information - Supplemental Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Segment Reporting Information [Line Items] | |||
Net earned premiums | $ 414 | $ 485 | $ 476 |
Net investment income | 269 | 297 | 378 |
Loss and LAE (benefit) | (220) | 203 | 93 |
Amortization of DAC | 14 | 16 | 18 |
Other Expenses | 409 | 425 | 303 |
Operating Segments | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 418 | 490 | 494 |
Net investment income | 280 | 310 | 383 |
Loss and LAE (benefit) | (221) | 204 | 86 |
Amortization of DAC | 14 | 16 | 18 |
Other Expenses | 347 | 354 | 254 |
Operating Segments | Insurance | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 418 | 490 | 494 |
Net investment income | 280 | 310 | 383 |
Loss and LAE (benefit) | (221) | 204 | 86 |
Amortization of DAC | 14 | 16 | 18 |
Other Expenses | 240 | 226 | 220 |
Non-cash compensation and operating expenses | 56 | 39 | 39 |
Operating Segments | Asset Management | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 0 | 0 | 0 |
Net investment income | 0 | 0 | 0 |
Loss and LAE (benefit) | 0 | 0 | 0 |
Amortization of DAC | 0 | 0 | 0 |
Other Expenses | 107 | 128 | 34 |
Non-cash compensation and operating expenses | 17 | 31 | 3 |
Corporate division | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 0 | 0 | 0 |
Net investment income | 2 | 2 | 4 |
Loss and LAE (benefit) | 0 | 0 | 0 |
Amortization of DAC | 0 | 0 | 0 |
Other Expenses | 41 | 37 | 39 |
Non-cash compensation and operating expenses | 5 | 6 | 6 |
Other | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | (4) | (5) | (18) |
Net investment income | (13) | (15) | (9) |
Loss and LAE (benefit) | 15 | (3) | 20 |
Amortization of DAC | 0 | 0 | 0 |
Other Expenses | 21 | 34 | 10 |
Credit derivative impairment (recoveries) | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 0 | 0 | 0 |
Net investment income | 0 | 0 | 0 |
Loss and LAE (benefit) | (14) | 2 | (13) |
Amortization of DAC | 0 | 0 | 0 |
Other Expenses | 0 | 0 | 0 |
Subtotal | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 414 | 485 | 476 |
Net investment income | 269 | 297 | 378 |
Loss and LAE (benefit) | (206) | 201 | 106 |
Amortization of DAC | 14 | 16 | 18 |
Other Expenses | $ 409 | $ 425 | $ 303 |
Segment Information - Segment R
Segment Information - Segment Revenue by Country of Domicile (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Segment Reporting Information [Line Items] | |||
Segment revenues | $ 960 | $ 989 | $ 964 |
U.S. | |||
Segment Reporting Information [Line Items] | |||
Segment revenues | 762 | 788 | 761 |
Bermuda | |||
Segment Reporting Information [Line Items] | |||
Segment revenues | 153 | 155 | 161 |
U.K. | |||
Segment Reporting Information [Line Items] | |||
Segment revenues | 42 | 38 | 41 |
Other | |||
Segment Reporting Information [Line Items] | |||
Segment revenues | $ 3 | $ 8 | $ 1 |
Outstanding Exposure - Narrativ
Outstanding Exposure - Narrative (Details) - USD ($) $ in Millions | 1 Months Ended | 12 Months Ended | |||
Aug. 31, 2021 | Dec. 31, 2021 | Feb. 24, 2022 | Jan. 18, 2022 | Dec. 31, 2020 | |
Schedule of Insured Financial Obligations [Line Items] | |||||
Loss mitigation securities and other | $ 1,300 | $ 1,400 | |||
Net Par Outstanding | 236,392 | 234,153 | |||
Gross Exposure | 1,605 | 1,484 | |||
Net Exposure | 1,071 | 928 | |||
HTA/CCDA PSA | PRHTA (Transportation revenue) | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Cash received for bonds | 389 | ||||
Toll bonds | 1,200 | ||||
HTA/CCDA PSA | PRCCDA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Cash received for bonds | 112 | ||||
Puerto Rico | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 3,572 | 3,725 | |||
Puerto Rico | Net Exposure | PREPA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | $ 3,400 | ||||
New securitization percent of par | 95.00% | ||||
Puerto Rico | Net Exposure | GO/PBA PSA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | $ 1,200 | ||||
Puerto Rico | Net Exposure | GO and PBA POA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 1,100 | ||||
Amount of outstanding principal to be paid, percent | 100.00% | ||||
Insured financial obligations, outstanding principal of remaining insured securities, net | 102 | ||||
Puerto Rico | Adjustments to Constitutionally Guaranteed Loans | PREPA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | $ 1,200 | ||||
New securitization percent of par | 34.00% | ||||
Puerto Rico | Benefits from Court Orders for Resolution | PREPA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | $ 1,400 | ||||
New securitization percent of par | 39.00% | ||||
Puerto Rico | HTA/CCDA PSA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | $ 1,400 | ||||
Puerto Rico | Other Puerto Rico Exposures | University of Puerto Rico | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 1 | ||||
Puerto Rico | Other Puerto Rico Exposures | PRASA and U of PR | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 1 | ||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 3,391 | 3,500 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PREPA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 748 | 776 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | Commonwealth of Puerto Rico - GO | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 1,097 | 1,112 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | GO/PBA PSA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 1,219 | 1,246 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PBA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 122 | 134 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRHTA (Transportation revenue) | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 799 | 817 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRHTA (Highway revenue) | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 457 | 493 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRCCDA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 152 | 152 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRIFA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 16 | 16 | |||
Cash received for bonds | 204 | ||||
VIRGIN ISLANDS, US | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 471 | ||||
Public finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 227,164 | 224,625 | |||
Structured finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 9,228 | 9,528 | |||
Commitment to Provide Guarantees | Public finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Outstanding commitments to provide guaranties | 476 | ||||
Commitment to Provide Guarantees | Structured finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Outstanding commitments to provide guaranties | $ 884 | ||||
Subsequent Event | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Insurance claims paid | $ 12 | ||||
Subsequent Event | Puerto Rico | Net Exposure | Commonwealth of Puerto Rico - GO | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Litigation amount | $ 35,000 | ||||
Subsequent Event | Puerto Rico | Pension Obligations | Commonwealth of Puerto Rico - GO | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Litigation amount | $ 50,000 | ||||
BIG | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Maximum period of liquidity claims (in years) | 1 year | ||||
Net Par Outstanding | $ 7,356 | 7,975 | |||
Gross Exposure | 144 | 13 | |||
Net Exposure | 84 | 13 | |||
BIG | Puerto Rico | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 3,600 | ||||
Additional outstanding principal amount, net | 168 | ||||
BIG | VIRGIN ISLANDS, US | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 469 | 216 | |||
BIG | Public finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 5,972 | 6,334 | |||
BIG | Structured finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | $ 1,384 | $ 1,641 | |||
Minimum | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Probability of paying more claims than being reimbursed (as a percent) | 50.00% |
Outstanding Exposure - Debt Ser
Outstanding Exposure - Debt Service Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Service | ||
Gross | $ 367,770 | $ 366,692 |
Net | 367,360 | 366,233 |
Par Outstanding | ||
Gross | 236,765 | 234,571 |
Net | 236,392 | 234,153 |
Public finance | ||
Debt Service | ||
Gross | 357,694 | 356,078 |
Net | 357,314 | 355,649 |
Par Outstanding | ||
Gross | 227,507 | 225,013 |
Net | 227,164 | 224,625 |
Structured finance | ||
Debt Service | ||
Gross | 10,076 | 10,614 |
Net | 10,046 | 10,584 |
Par Outstanding | ||
Gross | 9,258 | 9,558 |
Net | $ 9,228 | $ 9,528 |
Outstanding Exposure - Financia
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 236,392 | $ 234,153 |
% of total net par outstanding | 100.00% | 100.00% |
AAA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 3,788 | $ 4,255 |
% of total net par outstanding | 1.60% | 1.80% |
AA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 25,359 | $ 25,791 |
% of total net par outstanding | 10.70% | 11.00% |
A | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 106,091 | $ 103,703 |
% of total net par outstanding | 44.90% | 44.30% |
BBB | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 93,798 | $ 92,429 |
% of total net par outstanding | 39.70% | 39.50% |
BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 7,356 | $ 7,975 |
% of total net par outstanding | 3.10% | 3.40% |
U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 185,593 | |
Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 50,799 | |
Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 227,164 | $ 224,625 |
Public finance | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 5,972 | 6,334 |
Public finance | U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 177,219 | $ 171,597 |
% of total net par outstanding | 100.00% | 100.00% |
Public finance | U.S. | AAA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 272 | $ 340 |
% of total net par outstanding | 0.20% | 0.20% |
Public finance | U.S. | AA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 16,372 | $ 16,742 |
% of total net par outstanding | 9.20% | 9.70% |
Public finance | U.S. | A | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 94,459 | $ 90,914 |
% of total net par outstanding | 53.30% | 53.00% |
Public finance | U.S. | BBB | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 60,744 | $ 58,162 |
% of total net par outstanding | 34.30% | 33.90% |
Public finance | U.S. | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 5,372 | $ 5,439 |
% of total net par outstanding | 3.00% | 3.20% |
Public finance | Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 49,945 | $ 53,028 |
% of total net par outstanding | 100.00% | 100.00% |
Public finance | Non U.S. | AAA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 2,217 | $ 2,617 |
% of total net par outstanding | 4.50% | 4.90% |
Public finance | Non U.S. | AA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 4,205 | $ 4,690 |
% of total net par outstanding | 8.40% | 8.80% |
Public finance | Non U.S. | A | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 10,659 | $ 11,646 |
% of total net par outstanding | 21.30% | 22.00% |
Public finance | Non U.S. | BBB | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 32,264 | $ 33,180 |
% of total net par outstanding | 64.60% | 62.60% |
Public finance | Non U.S. | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 600 | $ 895 |
% of total net par outstanding | 1.20% | 1.70% |
Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 9,228 | $ 9,528 |
Structured finance | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,384 | 1,641 |
Structured finance | U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 8,374 | $ 8,952 |
% of total net par outstanding | 100.00% | 100.00% |
Structured finance | U.S. | AAA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 806 | $ 1,146 |
% of total net par outstanding | 9.60% | 12.80% |
Structured finance | U.S. | AA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 4,760 | $ 4,324 |
% of total net par outstanding | 56.80% | 48.30% |
Structured finance | U.S. | A | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 813 | $ 1,006 |
% of total net par outstanding | 9.70% | 11.30% |
Structured finance | U.S. | BBB | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 611 | $ 835 |
% of total net par outstanding | 7.30% | 9.30% |
Structured finance | U.S. | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 1,384 | $ 1,641 |
% of total net par outstanding | 16.60% | 18.30% |
Structured finance | Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 854 | $ 576 |
% of total net par outstanding | 100.00% | 100.00% |
Structured finance | Non U.S. | AAA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 493 | $ 152 |
% of total net par outstanding | 57.70% | 26.40% |
Structured finance | Non U.S. | AA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 22 | $ 35 |
% of total net par outstanding | 2.60% | 6.00% |
Structured finance | Non U.S. | A | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 160 | $ 137 |
% of total net par outstanding | 18.70% | 23.80% |
Structured finance | Non U.S. | BBB | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 179 | $ 252 |
% of total net par outstanding | 21.00% | 43.80% |
Structured finance | Non U.S. | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 0 | $ 0 |
% of total net par outstanding | 0.00% | 0.00% |
Outstanding Exposure - Financ_2
Outstanding Exposure - Financial Guaranty Portfolio by Asset Class (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 236,392 | $ 234,153 |
Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 227,164 | 224,625 |
Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 9,228 | 9,528 |
U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 185,593 | |
U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 177,219 | 171,597 |
U.S. | Public finance | General obligation | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 72,896 | 72,268 |
U.S. | Public finance | Tax backed | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 35,726 | 34,800 |
U.S. | Public finance | Municipal utilities | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 25,556 | 25,275 |
U.S. | Public finance | Transportation | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 17,241 | 15,179 |
U.S. | Public finance | Healthcare | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 9,588 | 8,691 |
U.S. | Public finance | Higher education | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 6,927 | 6,127 |
U.S. | Public finance | Infrastructure finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 6,329 | 5,843 |
U.S. | Public finance | Housing revenue | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 1,000 | 1,149 |
U.S. | Public finance | Investor-owned utilities | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 611 | 644 |
U.S. | Public finance | Renewable energy | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 193 | 204 |
U.S. | Public finance | Other | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 1,152 | 1,417 |
U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 8,374 | 8,952 |
U.S. | Structured finance | Other | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 665 | 600 |
U.S. | Structured finance | Life insurance transactions | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 3,431 | 2,581 |
U.S. | Structured finance | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 2,391 | 2,990 |
U.S. | Structured finance | Financial products | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 770 | 820 |
U.S. | Structured finance | Consumer receivables | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 583 | 768 |
U.S. | Structured finance | Pooled corporate obligations | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 534 | 1,193 |
Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 50,799 | |
Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 49,945 | 53,028 |
Non U.S. | Public finance | Infrastructure finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 16,475 | 17,819 |
Non U.S. | Public finance | Renewable energy | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 2,398 | 2,708 |
Non U.S. | Public finance | Regulated utilities | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 18,814 | 19,370 |
Non U.S. | Public finance | Sovereign and sub-sovereign | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 10,886 | 11,682 |
Non U.S. | Public finance | Pooled infrastructure | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 1,372 | 1,449 |
Non U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 854 | 576 |
Non U.S. | Structured finance | Other | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 178 | 219 |
Non U.S. | Structured finance | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 325 | 357 |
Non U.S. | Structured finance | Pooled corporate obligations | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 351 | $ 0 |
Outstanding Exposure - Expected
Outstanding Exposure - Expected Amortization of Net Par Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Expected Amortization of Net Par Outstanding [Abstract] | ||
0 to 5 years | $ 55,530 | |
5 to 10 years | 49,055 | |
10 to 15 years | 45,701 | |
15 to 20 years | 34,819 | |
20 years and above | 51,287 | |
Total net par outstanding | 236,392 | $ 234,153 |
Public finance | ||
Expected Amortization of Net Par Outstanding [Abstract] | ||
0 to 5 years | 52,529 | |
5 to 10 years | 46,480 | |
10 to 15 years | 43,842 | |
15 to 20 years | 33,531 | |
20 years and above | 50,782 | |
Total net par outstanding | 227,164 | 224,625 |
Structured finance | ||
Expected Amortization of Net Par Outstanding [Abstract] | ||
0 to 5 years | 3,001 | |
5 to 10 years | 2,575 | |
10 to 15 years | 1,859 | |
15 to 20 years | 1,288 | |
20 years and above | 505 | |
Total net par outstanding | $ 9,228 | $ 9,528 |
Outstanding Exposure - Componen
Outstanding Exposure - Components of BIG Net Par Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 236,392 | $ 234,153 |
Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 227,164 | 224,625 |
Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 6,837 | 6,538 |
Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 9,228 | 9,528 |
U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 185,593 | |
U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 177,219 | 171,597 |
U.S. | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 2,391 | 2,990 |
U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 8,374 | 8,952 |
Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 50,799 | |
Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 49,945 | 53,028 |
Non U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 854 | 576 |
BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 7,356 | 7,975 |
BIG | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 5,972 | 6,334 |
BIG | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 119 | 161 |
BIG | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,384 | 1,641 |
BIG | U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 5,372 | 5,439 |
BIG | U.S. | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,265 | 1,480 |
BIG | U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,384 | 1,641 |
BIG | Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 600 | 895 |
BIG | Non U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 0 | 0 |
BIG | BIG 1 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 2,443 | 2,851 |
BIG | BIG 1 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 2,321 | 2,623 |
BIG | BIG 1 | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1 | 28 |
BIG | BIG 1 | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 122 | 228 |
BIG | BIG 1 | U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,765 | 1,777 |
BIG | BIG 1 | U.S. | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 121 | 200 |
BIG | BIG 1 | Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 556 | 846 |
BIG | BIG 2 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 181 | 134 |
BIG | BIG 2 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 116 | 57 |
BIG | BIG 2 | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 41 | 51 |
BIG | BIG 2 | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 65 | 77 |
BIG | BIG 2 | U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 116 | 57 |
BIG | BIG 2 | U.S. | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 24 | 26 |
BIG | BIG 2 | Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 0 | 0 |
BIG | BIG 3 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 4,732 | 4,990 |
BIG | BIG 3 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 3,535 | 3,654 |
BIG | BIG 3 | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 77 | 82 |
BIG | BIG 3 | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,197 | 1,336 |
BIG | BIG 3 | U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 3,491 | 3,605 |
BIG | BIG 3 | U.S. | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,120 | 1,254 |
BIG | BIG 3 | Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 44 | $ 49 |
Outstanding Exposure - BIG Net
Outstanding Exposure - BIG Net Par Outstanding (Details) $ in Millions | Dec. 31, 2021USD ($)risk | Dec. 31, 2020USD ($)risk |
Schedule of Insured Financial Obligations [Line Items] | ||
Credit derivative, net par outstanding | $ 4,040 | $ 5,371 |
Total net par outstanding | $ 236,392 | 234,153 |
Number of Risks | risk | 7,848 | |
BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | $ 7,293 | 7,855 |
Credit derivative, net par outstanding | 63 | 120 |
Total net par outstanding | $ 7,356 | $ 7,975 |
Number of risks, financial guaranty insurance | risk | 262 | 270 |
Number of risks, credit derivative | risk | 11 | 14 |
Number of Risks | risk | 273 | 284 |
BIG | BIG 1 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | $ 2,429 | $ 2,781 |
Credit derivative, net par outstanding | 14 | 70 |
Total net par outstanding | $ 2,443 | $ 2,851 |
Number of risks, financial guaranty insurance | risk | 117 | 125 |
Number of risks, credit derivative | risk | 2 | 6 |
Number of Risks | risk | 119 | 131 |
BIG | BIG 2 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | $ 177 | $ 130 |
Credit derivative, net par outstanding | 4 | 4 |
Total net par outstanding | $ 181 | $ 134 |
Number of risks, financial guaranty insurance | risk | 16 | 19 |
Number of risks, credit derivative | risk | 1 | 1 |
Number of Risks | risk | 17 | 20 |
BIG | BIG 3 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | $ 4,687 | $ 4,944 |
Credit derivative, net par outstanding | 45 | 46 |
Total net par outstanding | $ 4,732 | $ 4,990 |
Number of risks, financial guaranty insurance | risk | 129 | 126 |
Number of risks, credit derivative | risk | 8 | 7 |
Number of Risks | risk | 137 | 133 |
Outstanding Exposure - Geograph
Outstanding Exposure - Geographic Distribution of Net Par Outstanding (Details) $ in Millions | Dec. 31, 2021USD ($)risk | Dec. 31, 2020USD ($) |
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 7,848 | |
Total net par outstanding | $ 236,392 | $ 234,153 |
Percent of Total Net Par Outstanding | 100.00% | |
U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 7,492 | |
Total net par outstanding | $ 185,593 | |
Percent of Total Net Par Outstanding | 78.50% | |
Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 356 | |
Total net par outstanding | $ 50,799 | |
Percent of Total Net Par Outstanding | 21.50% | |
United Kingdom | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 285 | |
Total net par outstanding | $ 38,044 | |
Percent of Total Net Par Outstanding | 16.10% | |
France | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 7 | |
Total net par outstanding | $ 2,718 | |
Percent of Total Net Par Outstanding | 1.10% | |
Canada | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 7 | |
Total net par outstanding | $ 2,107 | |
Percent of Total Net Par Outstanding | 0.90% | |
Spain | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 8 | |
Total net par outstanding | $ 1,762 | |
Percent of Total Net Par Outstanding | 0.80% | |
Australia | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 7 | |
Total net par outstanding | $ 1,667 | |
Percent of Total Net Par Outstanding | 0.70% | |
Other | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 42 | |
Total net par outstanding | $ 4,501 | |
Percent of Total Net Par Outstanding | 1.90% | |
Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 227,164 | 224,625 |
Public finance | U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 7,105 | |
Total net par outstanding | $ 177,219 | 171,597 |
Percent of Total Net Par Outstanding | 75.00% | |
Public finance | California | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 1,277 | |
Total net par outstanding | $ 35,322 | |
Percent of Total Net Par Outstanding | 14.90% | |
Public finance | Texas | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 1,022 | |
Total net par outstanding | $ 17,233 | |
Percent of Total Net Par Outstanding | 7.30% | |
Public finance | Pennsylvania | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 573 | |
Total net par outstanding | $ 15,631 | |
Percent of Total Net Par Outstanding | 6.60% | |
Public finance | New York | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 625 | |
Total net par outstanding | $ 15,155 | |
Percent of Total Net Par Outstanding | 6.40% | |
Public finance | Illinois | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 517 | |
Total net par outstanding | $ 12,807 | |
Percent of Total Net Par Outstanding | 5.50% | |
Public finance | New Jersey | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 281 | |
Total net par outstanding | $ 10,173 | |
Percent of Total Net Par Outstanding | 4.30% | |
Public finance | Florida | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 226 | |
Total net par outstanding | $ 7,284 | |
Percent of Total Net Par Outstanding | 3.10% | |
Public finance | Michigan | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 260 | |
Total net par outstanding | $ 5,261 | |
Percent of Total Net Par Outstanding | 2.20% | |
Public finance | Louisiana | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 137 | |
Total net par outstanding | $ 5,203 | |
Percent of Total Net Par Outstanding | 2.20% | |
Public finance | Alabama | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 236 | |
Total net par outstanding | $ 3,800 | |
Percent of Total Net Par Outstanding | 1.60% | |
Public finance | Other | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 1,951 | |
Total net par outstanding | $ 49,350 | |
Percent of Total Net Par Outstanding | 20.90% | |
Public finance | Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 49,945 | 53,028 |
Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 9,228 | 9,528 |
Structured finance | U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 387 | |
Total net par outstanding | $ 8,374 | 8,952 |
Percent of Total Net Par Outstanding | 3.50% | |
Structured finance | Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 854 | $ 576 |
Outstanding Exposure - Puerto R
Outstanding Exposure - Puerto Rico Gross Par and Gross Debt Service Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Par Outstanding | $ 236,765 | $ 234,571 |
Gross | 367,770 | 366,692 |
Puerto Rico | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Par Outstanding | 3,629 | 3,789 |
Gross | $ 5,322 | $ 5,674 |
Outstanding Exposure - Puerto_2
Outstanding Exposure - Puerto Rico Net Par Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 236,392 | $ 234,153 |
Puerto Rico | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 3,572 | 3,725 |
Puerto Rico | Net Exposure | GO/PBA PSA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,200 | |
Puerto Rico | Net Exposure | PREPA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 3,400 | |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 3,391 | 3,500 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | Commonwealth of Puerto Rico - GO | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,097 | 1,112 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PBA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 122 | 134 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | GO/PBA PSA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,219 | 1,246 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRHTA (Transportation revenue) | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 799 | 817 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRHTA (Highway revenue) | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 457 | 493 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRCCDA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 152 | 152 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | HTA/CCDA PSA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,408 | 1,462 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PREPA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 748 | 776 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRIFA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 16 | 16 |
Puerto Rico | Other Puerto Rico Exposures | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 181 | 225 |
Puerto Rico | Other Puerto Rico Exposures | MFA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 179 | 223 |
Puerto Rico | Other Puerto Rico Exposures | PRASA and U of PR | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 2 | $ 2 |
Outstanding Exposure - Amortiza
Outstanding Exposure - Amortization Schedule of Puerto Rico BIG Net Par Outstanding and BIG Net Debt Service Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Estimated BIG Net Par Amortization [Abstract] | ||
Total net par outstanding | $ 236,392 | $ 234,153 |
Estimated BIG Net Debt Service Amortization [Abstract] | ||
Total | 367,360 | 366,233 |
Puerto Rico | ||
Estimated BIG Net Par Amortization [Abstract] | ||
2022 (January 1 - March 31) | 0 | |
2022 (April 1 - June 30) | 0 | |
2022 (July 1 - September 30) | 176 | |
2022 (October 1 - December 31) | 0 | |
Subtotal 2022 | 176 | |
2023 | 206 | |
2024 | 222 | |
2025 | 223 | |
2026 | 214 | |
2027-2031 | 953 | |
2037-2041 | 1,253 | |
2037-2041 | 320 | |
2042 | 5 | |
Total net par outstanding | 3,572 | $ 3,725 |
Estimated BIG Net Debt Service Amortization [Abstract] | ||
2022 (January 1 - March 31) | 88 | |
2022 (April 1 - June 30) | 2 | |
2022 (July 1 - September 30) | 264 | |
2022 (October 1 - December 31) | 3 | |
Subtotal 2022 | 357 | |
2023 | 378 | |
2024 | 383 | |
2025 | 373 | |
2026 | 353 | |
2027-2031 | 1,494 | |
2032-2036 | 1,543 | |
2037-2041 | 364 | |
2042 | 5 | |
Total | $ 5,250 |
Outstanding Exposure - Schedule
Outstanding Exposure - Schedule of Non-Financial Guaranty Exposure (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | $ 1,605 | $ 1,484 |
Net Exposure | 1,071 | 928 |
Life insurance transactions | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | 1,250 | 1,121 |
Net Exposure | 871 | 720 |
Aircraft residual value insurance policies | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | 355 | 363 |
Net Exposure | 200 | $ 208 |
Maximum | Life insurance transactions | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Exposure | $ 1,100 |
Expected Loss to be Paid (Rec_3
Expected Loss to be Paid (Recovered) - Narrative (Details) $ in Millions | 1 Months Ended | 3 Months Ended | 12 Months Ended | ||||
Jan. 31, 2022USD ($) | Sep. 30, 2021USD ($) | Dec. 31, 2021USD ($)scenarioCurvePayment | Dec. 31, 2020USD ($)scenario | Dec. 31, 2019USD ($) | Jun. 30, 2021 | Dec. 31, 2018USD ($) | |
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Period of insured credit performance of guaranteed obligations (in some cases over) | 30 years | ||||||
Net Par Outstanding | $ 236,392 | $ 234,153 | |||||
Net Expected Loss to be Paid (Recovered) | 411 | 529 | $ 737 | $ 1,183 | |||
Economic benefit for public finance transactions | $ 287 | $ (145) | 1 | ||||
Projected loss assumptions, number of scenarios considered | scenario | 5 | 5 | |||||
Increase in expected recoveries | $ 71 | ||||||
Recovery period | 5 years | ||||||
Additional increase in recovery projection, percent | 40.00% | ||||||
Additional increase in recovery projection, economic benefit | $ 43 | ||||||
Additional decrease in recovery projection, percent | 20.00% | ||||||
Additional decrease in recovery projection, economic loss | $ 43 | ||||||
Public finance | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 227,164 | $ 224,625 | |||||
Net Expected Loss to be Paid (Recovered) | 209 | 341 | 554 | 864 | |||
Economic benefit for public finance transactions | 204 | (203) | (215) | ||||
Public finance | Puerto Rico GO and Puerto Rico Electric Power Authority | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 383 | ||||||
Public finance | Subsequent Event | Puerto Rico GO and Puerto Rico Electric Power Authority | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Outstanding principal amount settled | $ 56 | ||||||
Public Finance Stockton General Fund | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 100 | ||||||
Other structured finance | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 6,837 | 6,538 | |||||
Net Expected Loss to be Paid (Recovered) | 52 | 40 | 37 | 26 | |||
Economic benefit for public finance transactions | (17) | (13) | (18) | ||||
BIG | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 7,356 | 7,975 | |||||
BIG | Public finance | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 5,972 | 6,334 | |||||
BIG | Other structured finance | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 119 | 161 | |||||
BIG | Student Loan | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 55 | ||||||
BIG | Life insurance transactions | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 40 | ||||||
Puerto Rico | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 3,572 | 3,725 | |||||
Puerto Rico | Public finance | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Economic benefit for public finance transactions | 182 | ||||||
Puerto Rico | BIG | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 3,600 | ||||||
U.S. | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 185,593 | ||||||
U.S. | Public finance | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 177,219 | 171,597 | |||||
Net Expected Loss to be Paid (Recovered) | 197 | 305 | 531 | 832 | |||
Economic benefit for public finance transactions | 182 | (190) | (224) | ||||
U.S. | RMBS | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 2,391 | 2,990 | |||||
Net Expected Loss to be Paid (Recovered) | 150 | 148 | 146 | 293 | |||
Economic benefit for public finance transactions | $ 100 | 71 | 234 | ||||
Maximum number of payments behind to be considered performing borrower | Payment | 2 | ||||||
Period of maximum missed payments to be classified as performing borrower | 2 years | ||||||
Expected future recoverable (payable) for breached representations and warranties | $ 35 | 74 | |||||
U.S. | RMBS | Minimum | Home Equity Line of Credit | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Conditional prepayment rate, final rate | 1.00% | 2.50% | |||||
U.S. | RMBS | First Lien | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Expected Loss to be Paid (Recovered) | 167 | 133 | |||||
Economic benefit for public finance transactions | $ 0 | 45 | 77 | ||||
Number of delinquent payments | Payment | 2 | ||||||
Liquidation rate | 20.00% | ||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | ||||||
Final conditional prepayment rates, term | 12 months | ||||||
Deferred loan balances to be recovered, percent | 20.00% | ||||||
Economic benefit | $ 23 | ||||||
Intermediate conditional default rate (as a percent) | 5.00% | ||||||
U.S. | RMBS | First Lien | Base Scenario | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | ||||||
Period to reach intermediate conditional default rate | 12 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 | 1 year 6 months | ||||||
Period for which estimated defaults are attributed to loans currently delinquent or in foreclosure | 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 | ||||||
U.S. | RMBS | First Lien | More Stressful Environment | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Period to reach intermediate conditional default rate | 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 | $ 25 | ||||||
U.S. | RMBS | First Lien | Least Stressful Environment | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Projected loss assumptions, CDR, plateau rate, projection period | 30 months | ||||||
Period to reach intermediate conditional default rate | 9 months | ||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 18 | ||||||
Decrease in the plateau period used to calculate potential change in loss estimate (in months) | 6 months | ||||||
U.S. | RMBS | Second Lien | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Expected Loss to be Paid (Recovered) | $ (17) | 15 | |||||
Economic benefit for public finance transactions | $ 100 | $ 26 | 157 | ||||
Liquidation rate | 30.00% | 20.00% | |||||
Period to reach intermediate conditional default rate | 28 months | 28 months | |||||
Period of loan default estimate | 6 months | ||||||
Projected loss assumptions, expected loss | $ 14 | ||||||
Number of preceding months average liquidation rates used to estimate loan default rate | 6 months | ||||||
Period of consistent CDR | 6 months | ||||||
Stress period (in months) | 34 months | ||||||
Monthly delinquency, threshold period | 6 months | ||||||
Conditional prepayment rate, final rate | 15.00% | ||||||
Loss recovery assumption | 2.00% | 2.00% | |||||
Number of conditional default rate curves modeled in estimating losses | Curve | 5 | ||||||
U.S. | RMBS | Second Lien | Base Scenario | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Period to reach intermediate conditional default rate | 28 months | ||||||
Current conditional prepayment rate used in alternate scenario for loss estimate (as a percent) | 15.00% | ||||||
Stress period (in months) | 34 months | ||||||
Period of constant conditional default rate (in months) | 6 months | ||||||
U.S. | RMBS | Second Lien | Base Scenario One | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Projected loss assumptions, CDR, plateau rate, projection period | 8 months | ||||||
Period to reach intermediate conditional default rate | 31 months | ||||||
Stress period (in months) | 39 months | ||||||
Increase in conditional default rate ramp down period | 3 months | ||||||
U.S. | RMBS | Second Lien | Base Scenario One | Home Equity Line of Credit | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Change in estimate for increased conditional default rate plateau period | $ 6 | ||||||
U.S. | RMBS | Second Lien | Based Scenario Two | |||||||
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 | ||||||
Decreased conditional default rate ramp down period | 25 months | ||||||
Ultimate prepayment rate | 10.00% | ||||||
U.S. | RMBS | Second Lien | Based Scenario Two | Home Equity Line of Credit | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Change in estimate for decreased conditional default rate ramp down period | $ 7 | ||||||
U.S. | Home Equity Line of Credit | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Initial period for which borrower can pay only interest payments | 10 years | ||||||
U.S. | BIG | Public finance | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | $ 5,372 | $ 5,439 | |||||
U.S. | BIG | RMBS | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 1,265 | 1,480 | |||||
Non U.S. | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 50,799 | ||||||
Non U.S. | Public finance | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | 49,945 | 53,028 | |||||
Net Expected Loss to be Paid (Recovered) | 12 | 36 | 23 | $ 32 | |||
Economic benefit for public finance transactions | 22 | (13) | $ 9 | ||||
Non U.S. | BIG | Public finance | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Net Par Outstanding | $ 600 | $ 895 |
Expected Loss to be Paid (Rec_4
Expected Loss to be Paid (Recovered) - Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) by Accounting Model (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | $ 411 | $ 529 | $ 737 | $ 1,183 |
Net Economic Loss Development (Benefit) | (287) | 145 | (1) | |
Insurance Contracts | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | 364 | 471 | ||
Net Economic Loss Development (Benefit) | (281) | 142 | 14 | |
Financial Guarantee Variable Interest Entities | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | 42 | 59 | ||
Net Economic Loss Development (Benefit) | (20) | 1 | (29) | |
Financial Guarantee Accounted for as Credit Derivatives | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | 5 | (1) | ||
Net Economic Loss Development (Benefit) | $ 14 | $ 2 | $ 14 |
Expected Loss to be Paid (Rec_5
Expected Loss to be Paid (Recovered) - Net Expected Loss to be Paid (Recovered) Roll Forward (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Net expected loss to be paid (recovered), beginning of period | $ 529 | $ 737 | $ 1,183 |
Accretion of discount | 7 | 9 | 22 |
Changes in discount rates | (33) | 13 | (11) |
Changes in timing and assumptions | (261) | 123 | (12) |
Total economic loss development (benefit) | (287) | 145 | (1) |
Net (paid) recovered losses | 169 | (353) | (445) |
Net expected loss to be paid (recovered), end of period | $ 411 | $ 529 | $ 737 |
Weighted average risk free discount rate | 1.02% | 0.60% | |
U.S. | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Percent of total non-U.S. net expected losses to paid | 97.20% | 93.20% | |
Minimum | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Risk free discount rate | 0.00% | 0.00% | |
Maximum | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Risk free discount rate | 1.98% | 1.72% |
Expected Loss to be Paid (Rec_6
Expected Loss to be Paid (Recovered) - Net Expected Loss to be Paid (Recovered) Roll Forward by Sector (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Net expected loss to be paid (recovered), beginning of period | $ 529 | $ 737 | $ 1,183 |
Economic Loss Development (Benefit) | (287) | 145 | (1) |
Net (paid) recovered losses | 169 | (353) | (445) |
Net expected loss to be paid (recovered), end of period | $ 411 | 529 | 737 |
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 | $ 36 | 25 | 35 |
Expected LAE to be paid | 26 | 23 | |
Ceded expected loss to be recovered | 10 | 23 | |
Public finance | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Net expected loss to be paid (recovered), beginning of period | 341 | 554 | 864 |
Economic Loss Development (Benefit) | (204) | 203 | 215 |
Net (paid) recovered losses | 72 | (416) | (525) |
Net expected loss to be paid (recovered), end of period | 209 | 341 | 554 |
Other structured finance | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Net expected loss to be paid (recovered), beginning of period | 40 | 37 | 26 |
Economic Loss Development (Benefit) | 17 | 13 | 18 |
Net (paid) recovered losses | (5) | (10) | (7) |
Net expected loss to be paid (recovered), end of period | 52 | 40 | 37 |
Structured finance | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Net expected loss to be paid (recovered), beginning of period | 188 | 183 | 319 |
Economic Loss Development (Benefit) | (83) | (58) | (216) |
Net (paid) recovered losses | 97 | 63 | 80 |
Net expected loss to be paid (recovered), end of period | 202 | 188 | 183 |
U.S. | Public finance | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Net expected loss to be paid (recovered), beginning of period | 305 | 531 | 832 |
Economic Loss Development (Benefit) | (182) | 190 | 224 |
Net (paid) recovered losses | 74 | (416) | (525) |
Net expected loss to be paid (recovered), end of period | 197 | 305 | 531 |
U.S. | RMBS | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Net expected loss to be paid (recovered), beginning of period | 148 | 146 | 293 |
Economic Loss Development (Benefit) | (100) | (71) | (234) |
Net (paid) recovered losses | 102 | 73 | 87 |
Net expected loss to be paid (recovered), end of period | 150 | 148 | 146 |
Non U.S. | Public finance | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Net expected loss to be paid (recovered), beginning of period | 36 | 23 | 32 |
Economic Loss Development (Benefit) | (22) | 13 | (9) |
Net (paid) recovered losses | (2) | 0 | 0 |
Net expected loss to be paid (recovered), end of period | $ 12 | $ 36 | $ 23 |
Expected Loss to be Paid (Rec_7
Expected Loss to be Paid (Recovered) - Net Economic Loss Development (Benefit) U.S. RMBS (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Expected Losses to be Paid [Line Items] | |||
Economic Loss Development (Benefit) | $ (287) | $ 145 | $ (1) |
U.S. | RMBS | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Economic Loss Development (Benefit) | (100) | (71) | (234) |
First Lien | U.S. | RMBS | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Economic Loss Development (Benefit) | 0 | (45) | (77) |
Second Lien | U.S. | RMBS | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Economic Loss Development (Benefit) | $ (100) | $ (26) | $ (157) |
Expected Loss to be Paid (Rec_8
Expected Loss to be Paid (Recovered) - First Lien Liquidation Rates (Details) | Dec. 31, 2021 | Dec. 31, 2020 |
Current but recently delinquent: | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20.00% | 20.00% |
Current but recently delinquent: | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20.00% | 20.00% |
Current but recently delinquent: | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20.00% | 20.00% |
30 – 59 Days Delinquent: | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 35.00% | 35.00% |
30 – 59 Days Delinquent: | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 35.00% | 35.00% |
30 – 59 Days Delinquent: | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 30.00% | 30.00% |
60 – 89 Days Delinquent: | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40.00% | 40.00% |
60 – 89 Days Delinquent: | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 45.00% | 45.00% |
60 – 89 Days Delinquent: | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40.00% | 40.00% |
90+ Days Delinquent: | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 55.00% | 55.00% |
90+ Days Delinquent: | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 60.00% | 60.00% |
90+ Days Delinquent: | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 45.00% | 45.00% |
Bankruptcy: | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 45.00% | 45.00% |
Bankruptcy: | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 50.00% | 50.00% |
Bankruptcy: | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40.00% | 40.00% |
Foreclosure: | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 60.00% | 60.00% |
Foreclosure: | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 65.00% | 65.00% |
Foreclosure: | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 55.00% | 55.00% |
Real Estate Owned | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 100.00% | 100.00% |
Expected Loss to be Paid (Rec_9
Expected Loss to be Paid (Recovered) - Key Assumptions in Base Case Expected Loss First Lien RMBS (Details) - U.S. - RMBS | Dec. 31, 2021 | Dec. 31, 2020 |
Alt-A | 2005 and prior | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 60.00% | 60.00% |
Alt-A | 2006 | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 60.00% | 70.00% |
Alt-A | 2007+ | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 60.00% | 70.00% |
Alt-A | Minimum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 0.90% | 0.00% |
Final CDR | 0.00% | 0.00% |
Alt-A | Maximum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 11.60% | 9.70% |
Final CDR | 0.60% | 0.50% |
Alt-A | Weighted Average | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 5.90% | 5.30% |
Final CDR | 0.30% | 0.30% |
Option ARM | 2005 and prior | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 60.00% | 60.00% |
Option ARM | 2006 | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 60.00% | 60.00% |
Option ARM | 2007+ | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 60.00% | 60.00% |
Option ARM | Minimum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 1.80% | 2.30% |
Final CDR | 0.10% | 0.10% |
Option ARM | Maximum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 11.90% | 11.90% |
Final CDR | 0.60% | 0.60% |
Option ARM | Weighted Average | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 5.60% | 5.40% |
Final CDR | 0.30% | 0.30% |
Subprime | 2005 and prior | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 60.00% | 60.00% |
Subprime | 2006 | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 60.00% | 70.00% |
Subprime | 2007+ | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 60.00% | 70.00% |
Subprime | Minimum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 2.90% | 2.70% |
Final CDR | 0.10% | 0.10% |
Subprime | Maximum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 10.00% | 11.30% |
Final CDR | 0.50% | 0.60% |
Subprime | Weighted Average | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 6.00% | 5.60% |
Final CDR | 0.30% | 0.30% |
Expected Loss to be Paid (Re_10
Expected Loss to be Paid (Recovered) - Key Assumptions in Base Case Expected Loss (Details) - RMBS - U.S. - Home equity lines of credit (HELOCs) | Dec. 31, 2021 | Dec. 31, 2020 |
Schedule of Expected Losses to be Paid [Line Items] | ||
Loss severity | 98.00% | 98.00% |
Projected future recoveries on previously charged-off loans | 30.00% | 20.00% |
Minimum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 6.50% | 5.00% |
Final CDR trended down to | 1.00% | 2.50% |
Maximum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 39.60% | 36.20% |
Final CDR trended down to | 3.20% | |
Weighted Average | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 16.40% | 12.90% |
Final CDR trended down to | 2.50% | |
Current but recently delinquent | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20.00% | 20.00% |
30 – 59 Days Delinquent: | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 30.00% | 30.00% |
60 – 89 Days Delinquent: | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40.00% | 40.00% |
90+ Days Delinquent: | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 60.00% | 60.00% |
Bankruptcy: | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 55.00% | 55.00% |
Foreclosure: | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 55.00% | 55.00% |
Real Estate Owned | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 100.00% | 100.00% |
Contracts Accounted for as In_3
Contracts Accounted for as Insurance - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Guarantor Obligations [Line Items] | |||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 1.02% | 0.60% | |
Net Par Outstanding | $ 236,392 | $ 234,153 | |
Gross | 367,770 | 366,692 | |
Increase (decrease) in net par due to commutations | 336 | ||
Commutation gains (losses) | 0 | 38 | $ 1 |
Gross Exposure | 1,605 | 1,484 | |
Puerto Rico | |||
Guarantor Obligations [Line Items] | |||
Net Par Outstanding | 3,572 | 3,725 | |
Gross | $ 5,322 | 5,674 | |
Net par exposures reassumed | $ 118 | ||
Variable Rate Demand Obligation | |||
Guarantor Obligations [Line Items] | |||
Bonds held by bank, minimum installment payment period | 5 years | ||
Assured Guaranty Municipal Corp | |||
Guarantor Obligations [Line Items] | |||
Maximum termination payment | $ 21 | ||
AGM and AGC | Variable Rate Demand Obligation | |||
Guarantor Obligations [Line Items] | |||
Net Par Outstanding | 1,700 | ||
AGM and AGC | Variable Rate Demand Obligation | Internal Credit, B Minus Rating | |||
Guarantor Obligations [Line Items] | |||
Net Par Outstanding | 25 | ||
Assumed Business | |||
Guarantor Obligations [Line Items] | |||
Insured financial obligations insured contractual payments outstanding, amount represented | $ 16,300 | ||
Insured financial obligations insured contractual payments outstanding, percentage represented | 4.40% | ||
AGC | |||
Guarantor Obligations [Line Items] | |||
Amounts could be required to pay if third party exercised right to recapture business | $ 233 | ||
AG Re | |||
Guarantor Obligations [Line Items] | |||
Amounts could be required to pay if third party exercised right to recapture business | 33 | ||
Ceded Business | |||
Guarantor Obligations [Line Items] | |||
Insured financial obligations insured contractual payments outstanding, amount represented | $ 410 | ||
Insured financial obligations insured contractual payments outstanding, percentage represented | 0.10% | ||
Gross Insured Specialty and Reinsurance Business | |||
Guarantor Obligations [Line Items] | |||
Insured financial obligations insured contractual payments outstanding, amount represented | $ 534 | ||
ARGO | Uncollateralized | |||
Guarantor Obligations [Line Items] | |||
Guaranty liabilities | $ 14 | ||
Minimum | |||
Guarantor Obligations [Line Items] | |||
Risk free discount rate | 0.00% | 0.00% | |
Minimum | Variable Rate Demand Obligation | |||
Guarantor Obligations [Line Items] | |||
Bank bond rate (as a percent) | 2.00% | ||
Threshold period of bonds held by bank for right of accelerated repayment (in days) | 90 days | ||
Maximum | |||
Guarantor Obligations [Line Items] | |||
Risk free discount rate | 1.98% | 1.72% | |
Maximum | Variable Rate Demand Obligation | |||
Guarantor Obligations [Line Items] | |||
Bank bond rate (as a percent) | 3.00% | ||
Bank bond capped rate (as a percent) | 25.00% | ||
Threshold period of bonds held by bank for right of accelerated repayment (in days) | 180 days | ||
Premiums Receivable | Foreign Currency Concentration Risk | Premiums Receivable | |||
Guarantor Obligations [Line Items] | |||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 78.00% | 80.00% |
Contracts Accounted for as In_4
Contracts Accounted for as Insurance - Net Earned Premiums (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Insurance [Abstract] | |||
Scheduled net earned premiums | $ 322 | $ 334 | $ 331 |
Accelerations from refundings and terminations | 59 | 129 | 122 |
Accretion of discount on net premiums receivable | 30 | 20 | 17 |
Financial guaranty insurance net earned premiums | 411 | 483 | 470 |
Specialty net earned premiums | 3 | 2 | 6 |
Net earned premiums | $ 414 | $ 485 | $ 476 |
Contracts Accounted for as In_5
Contracts Accounted for as Insurance - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | ||||
Beginning of year | $ 1,372 | $ 1,286 | $ 904 | |
Financial guaranty insurance premiums receivable | 1,371 | 1,371 | 1,284 | $ 903 |
Gross written premiums on new business, net of commissions | 369 | 462 | 689 | |
Gross premiums received, net of commissions | (383) | (426) | (318) | |
Adjustments: | ||||
Changes in the expected term | 6 | (10) | (21) | |
Accretion of discount, net of commissions on assumed business | 26 | 18 | 10 | |
Foreign exchange gain (loss) on remeasurement | (22) | 43 | 21 | |
Expected recovery of premiums previously written off | 4 | 0 | 0 | |
Specialty insurance premium receivable | 1 | 1 | 2 | $ 1 |
End of period | $ 1,372 | $ 1,372 | $ 1,286 |
Contracts Accounted for as In_6
Contracts Accounted for as Insurance - Expected Future Premium Collections and Earnings (Details) $ in Millions | Dec. 31, 2021USD ($) |
Financial Guarantee Insurance Product Line | |
Future Net Premiums to be Earned [Abstract] | |
2022 (January 1 - March 31) | $ 78 |
2022 (April 1 - June 30) | 78 |
2022 (July 1 - September 30) | 77 |
2022 (October 1 - December 31) | 75 |
Subtotal 2022 | 308 |
2023 | 287 |
2024 | 265 |
2025 | 241 |
2026 | 223 |
2027-2031 | 920 |
2032-2036 | 628 |
2037-2041 | 361 |
After 2041 | 495 |
Total | 3,728 |
Future accretion | 268 |
Total future net earned premiums | 3,996 |
Consolidated Entity Excluding Variable Interest Entities (VIE) | |
Future Premiums to be Collected [Abstract] | |
2022 (January 1 - March 31) | 47 |
2022 (April 1 - June 30) | 39 |
2022 (July 1 - September 30) | 28 |
2022 (October 1 - December 31) | 33 |
Subtotal 2022 | 147 |
2023 | 107 |
2024 | 99 |
2025 | 88 |
2026 | 83 |
2027-2031 | 354 |
2032-2036 | 249 |
2037-2041 | 165 |
After 2041 | 347 |
Total | $ 1,639 |
Contracts Accounted for as In_7
Contracts Accounted for as Insurance - Selected Information for Policies Paid In Installments (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commissions payable | $ 1,372 | $ 1,372 | $ 1,286 | $ 904 |
Financial Guarantee Policies Paid in Installments | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commissions payable | 1,371 | 1,371 | ||
Deferred premium revenue | $ 1,663 | $ 1,664 | ||
Weighted-average risk-free rate used to discount premiums | 1.60% | 1.60% | ||
Weighted-average period of premiums receivable (in years) | 12 years 8 months 12 days | 12 years 9 months 18 days |
Contracts Accounted for as In_8
Contracts Accounted for as Insurance - Deferred Acquisition Costs (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Movement Analysis of Deferred Policy Acquisition Costs [Roll Forward] | |||
Beginning of period | $ 119 | $ 111 | $ 105 |
Costs deferred during the period | 26 | 24 | 23 |
Costs amortized during the period | (14) | (16) | (17) |
End of period | $ 131 | $ 119 | $ 111 |
Contracts Accounted for as In_9
Contracts Accounted for as Insurance - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | $ 79 | $ 122 |
Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | 61 | 140 |
Other structured finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | 42 | 34 |
Structured finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | 18 | (18) |
U.S. | Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | 60 | 129 |
U.S. | RMBS | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | (24) | (52) |
Non U.S. | Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | $ 1 | $ 11 |
Contracts Accounted for as I_10
Contracts Accounted for as Insurance - Components of Net Reserves (Salvage) Insurance Contracts (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Insurance [Abstract] | ||
Loss and LAE reserve | $ 869 | $ 1,088 |
Reinsurance recoverable on unpaid losses | (5) | (8) |
Loss and LAE reserve, net | 864 | 1,080 |
Salvage and subrogation recoverable | (801) | (991) |
Salvage and subrogation reinsurance payable | 16 | 33 |
Salvage and subrogation recoverable, net | (785) | (958) |
Net reserve (salvage) | $ 79 | $ 122 |
Contracts Accounted for as I_11
Contracts Accounted for as Insurance - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Guarantor Obligations [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | $ 411 | $ 529 | $ 737 | $ 1,183 |
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (864) | $ (1,080) | ||
Net expected loss to be expensed (present value) | 325 | |||
Financial Guarantee Insurance And Other Product Line | ||||
Guarantor Obligations [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | 359 | |||
Contra-paid, net | 40 | |||
Salvage and subrogation recoverable, net | 785 | |||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (859) | |||
Net expected loss to be expensed (present value) | $ 325 |
Contracts Accounted for as I_12
Contracts Accounted for as Insurance - Net Expected Loss to be Expensed Insurance Contracts (Details) $ in Millions | Dec. 31, 2021USD ($) |
Insurance [Abstract] | |
2022 (January 1 - March 31) | $ 7 |
2022 (April 1 - June 30) | 7 |
2022 (July 1 - September 30) | 7 |
2022 (October 1 - December 31) | 7 |
Subtotal 2022 | 28 |
2023 | 27 |
2024 | 27 |
2025 | 26 |
2026 | 26 |
2027-2031 | 111 |
2032-2036 | 66 |
2037-2041 | 11 |
After 2041 | 3 |
Net expected loss to be expensed | 325 |
Future accretion | 129 |
Total expected future loss and LAE | $ 454 |
Contracts Accounted for as I_13
Contracts Accounted for as Insurance - Loss and LAE Reported on the Statements of Operations (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | $ (220) | $ 203 | $ 93 |
Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | (155) | 230 | 240 |
Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | U.S. | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | (146) | 225 | 247 |
Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | Non U.S. | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | (9) | 5 | (7) |
RMBS | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | U.S. | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | (69) | (34) | (154) |
Other structured finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | 4 | 7 | 7 |
Structured finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | $ (65) | $ (27) | $ (147) |
Contracts Accounted for as I_14
Contracts Accounted for as Insurance - BIG Transaction Loss Summary (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2021USD ($)risk | Dec. 31, 2020USD ($)risk | |
Discount | ||
Net | $ (129) | |
Reserves (salvage) | ||
Net | $ 79 | $ 122 |
BIG | ||
Number of risks | ||
Total (in contracts) | risk | 262 | 270 |
Remaining weighted average contract period | ||
Gross (in years) | 8 years 6 months | 8 years 8 months 12 days |
Par | ||
Net | $ 7,293 | $ 7,855 |
Interest | ||
Net | 2,962 | 3,285 |
Total net outstanding exposure | ||
Net | 10,255 | 11,140 |
Expected cash outflows (inflows) | ||
Net | 4,918 | 4,591 |
Potential recoveries | ||
Net | (4,430) | (4,011) |
Subtotal | ||
Net | 488 | 580 |
Discount | ||
Net | (129) | (104) |
Expected losses to be paid (recovered) | ||
Net expected loss to be paid | 359 | 476 |
Deferred premium revenue | ||
Net | 435 | 508 |
Reserves (salvage) | ||
Net | $ 74 | $ 127 |
BIG | BIG 1 | ||
Number of risks | ||
Total (in contracts) | risk | 117 | 125 |
Par | ||
Net | $ 2,429 | $ 2,781 |
BIG | BIG 2 | ||
Number of risks | ||
Total (in contracts) | risk | 16 | 19 |
Par | ||
Net | $ 177 | $ 130 |
BIG | BIG 3 | ||
Number of risks | ||
Total (in contracts) | risk | 129 | 126 |
Par | ||
Net | $ 4,687 | $ 4,944 |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Number of risks | ||
Total (in contracts) | risk | 262 | 270 |
Remaining weighted average contract period | ||
Gross (in years) | 8 years 6 months | 8 years 8 months 12 days |
Par | ||
Gross | $ 7,359 | $ 7,930 |
Interest | ||
Gross | 2,978 | 3,303 |
Total net outstanding exposure | ||
Gross | 10,337 | 11,233 |
Expected cash outflows (inflows) | ||
Gross | 4,971 | 4,642 |
Potential recoveries | ||
Gross | (4,495) | (4,085) |
Subtotal | ||
Gross | 476 | 557 |
Discount | ||
Gross | (129) | (103) |
Expected losses to be paid (recovered) | ||
Gross | (347) | (454) |
Deferred premium revenue | ||
Gross | 437 | 511 |
Reserves (salvage) | ||
Gross | $ 60 | $ 102 |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | BIG 1 | ||
Number of risks | ||
Total (in contracts) | risk | 117 | 125 |
Remaining weighted average contract period | ||
Gross (in years) | 7 years 7 months 6 days | 7 years 6 months |
Par | ||
Gross | $ 2,437 | $ 2,791 |
Interest | ||
Gross | 1,000 | 1,092 |
Total net outstanding exposure | ||
Gross | 3,437 | 3,883 |
Expected cash outflows (inflows) | ||
Gross | 111 | 172 |
Potential recoveries | ||
Gross | (656) | (697) |
Subtotal | ||
Gross | (545) | (525) |
Discount | ||
Gross | 19 | 22 |
Expected losses to be paid (recovered) | ||
Gross | 526 | 503 |
Deferred premium revenue | ||
Gross | 85 | 116 |
Reserves (salvage) | ||
Gross | $ (549) | $ (538) |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | BIG 2 | ||
Number of risks | ||
Total (in contracts) | risk | 16 | 19 |
Remaining weighted average contract period | ||
Gross (in years) | 8 years 10 months 24 days | 9 years 2 months 12 days |
Par | ||
Gross | $ 177 | $ 130 |
Interest | ||
Gross | 36 | 36 |
Total net outstanding exposure | ||
Gross | 213 | 166 |
Expected cash outflows (inflows) | ||
Gross | 40 | 29 |
Potential recoveries | ||
Gross | (10) | (3) |
Subtotal | ||
Gross | 30 | 26 |
Discount | ||
Gross | (3) | (3) |
Expected losses to be paid (recovered) | ||
Gross | (27) | (23) |
Deferred premium revenue | ||
Gross | 2 | 1 |
Reserves (salvage) | ||
Gross | $ 25 | $ 21 |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | BIG 3 | ||
Number of risks | ||
Total (in contracts) | risk | 129 | 126 |
Remaining weighted average contract period | ||
Gross (in years) | 8 years 10 months 24 days | 9 years 4 months 24 days |
Par | ||
Gross | $ 4,745 | $ 5,009 |
Interest | ||
Gross | 1,942 | 2,175 |
Total net outstanding exposure | ||
Gross | 6,687 | 7,184 |
Expected cash outflows (inflows) | ||
Gross | 4,820 | 4,441 |
Potential recoveries | ||
Gross | (3,829) | (3,385) |
Subtotal | ||
Gross | 991 | 1,056 |
Discount | ||
Gross | (145) | (122) |
Expected losses to be paid (recovered) | ||
Gross | (846) | (934) |
Deferred premium revenue | ||
Gross | 350 | 394 |
Reserves (salvage) | ||
Gross | $ 584 | $ 619 |
Contracts Accounted for as I_15
Contracts Accounted for as Insurance - Effect of Reinsurance on Premiums Written, Premiums Earned and Loss and LAE (Benefit) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Premiums Written: | |||
Direct | $ 355 | $ 453 | $ 663 |
Assumed | 22 | 1 | 14 |
Ceded | 0 | 13 | 10 |
Net | 377 | 467 | 687 |
Premiums Earned: | |||
Direct | 385 | 448 | 429 |
Assumed | 32 | 41 | 54 |
Ceded | (3) | (4) | (7) |
Net earned premiums | 414 | 485 | 476 |
Loss and LAE (benefit): | |||
Direct (2) | (203) | 182 | 101 |
Assumed | 5 | 24 | 2 |
Ceded | (22) | (3) | (10) |
Loss and LAE (benefit) | $ (220) | $ 203 | $ 93 |
Contracts Accounted for as Cr_3
Contracts Accounted for as Credit Derivatives - Narrative (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2021USD ($)Counterparty | Dec. 31, 2020USD ($)Transaction | |
Credit Derivatives | ||
Estimated remaining weighted average life of credit derivatives (in years) | 13 years 2 months 12 days | 11 years 10 months 24 days |
Collateral Debt Obligations, Credit Derivative Contracts, Gross Par with Collateral Posting Requirements | ||
Credit Derivatives | ||
Derivative, number of counterparties | Counterparty | 1 | |
Derivative, notional amount | $ 18 | |
Collateral Debt Obligations, Maximum Posting Requirement | ||
Credit Derivatives | ||
Derivative, notional amount | $ 18 | |
Credit Default Swap | ||
Credit Derivatives | ||
Percentage of CDS contracts which are fair valued using minimum premium | 51.00% | |
Number of transactions | Transaction | 2 | |
Net par outstanding value at floor | $ 2,400 |
Contracts Accounted for as Cr_4
Contracts Accounted for as Credit Derivatives - Credit Derivatives Net Par Outstanding by Sector (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | $ 4,040 | $ 5,371 |
Net Fair Value Asset (Liability) | (154) | (100) |
Expected Loss to be recovered | 5 | (1) |
Public finance | U.S. | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,705 | 1,980 |
Net Fair Value Asset (Liability) | (72) | (38) |
Public finance | Non U.S. | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,800 | 2,257 |
Net Fair Value Asset (Liability) | (48) | (27) |
Structured finance | U.S. | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 400 | 997 |
Net Fair Value Asset (Liability) | (32) | (30) |
Structured finance | Non U.S. | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 135 | 137 |
Net Fair Value Asset (Liability) | $ (2) | $ (5) |
Contracts Accounted for as Cr_5
Contracts Accounted for as Credit Derivatives - Distribution of Credit Derivative Net Par Outstanding by Internal Rating (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Credit Derivatives | ||
Net Par Outstanding | $ 4,040 | $ 5,371 |
BIG | ||
Credit Derivatives | ||
Net Par Outstanding | 63 | 120 |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | ||
Credit Derivatives | ||
Net Par Outstanding | $ 4,040 | $ 5,371 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 100.00% | 100.00% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | AAA | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,503 | $ 1,796 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 37.20% | 33.50% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | AA | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,283 | $ 1,541 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 31.80% | 28.70% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | A | ||
Credit Derivatives | ||
Net Par Outstanding | $ 514 | $ 758 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 12.70% | 14.10% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | BBB | ||
Credit Derivatives | ||
Net Par Outstanding | $ 677 | $ 1,156 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 16.70% | 21.50% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | BIG | ||
Credit Derivatives | ||
Net Par Outstanding | $ 63 | $ 120 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 1.60% | 2.20% |
Contracts Accounted for as Cr_6
Contracts Accounted for as Credit Derivatives - Net Change in Fair Value of Credit Derivatives Gains (Losses) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||
Realized gains (losses) and other settlements | $ (3) | $ (4) | $ (27) |
Net unrealized gains (losses) | (55) | 85 | 21 |
Fair value gains (losses) on credit derivatives | $ (58) | $ 81 | $ (6) |
Contracts Accounted for as Cr_7
Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Credit Derivatives | |||
Fair value of credit derivatives before effect of AGC credit spread | $ (225) | $ (313) | |
Plus: Effect of AGC credit spread | 71 | 213 | |
Net fair value of credit derivatives | $ (154) | $ (100) | |
Five-year CDS spread | AGC | |||
Credit Derivatives | |||
Quoted price of CDS contract (as a percent) | 0.49% | 1.32% | 0.41% |
One-year CDS spread | AGC | |||
Credit Derivatives | |||
Quoted price of CDS contract (as a percent) | 0.16% | 0.36% | 0.09% |
Investments and Cash - Narrativ
Investments and Cash - Narrative (Details) | 12 Months Ended | ||
Dec. 31, 2021USD ($)Securitymanager | Dec. 31, 2020USD ($)Security | Dec. 31, 2019USD ($) | |
Schedule of Cost-method Investments [Line Items] | |||
Percentage of decline in market value of security below amortized cost, considered for assessing impairment of investments | 20.00% | ||
Continuous period of decline in market value of security, considered for assessing impairment of investments | 12 months | ||
Number of investment portfolio managers | manager | 3 | ||
Accrued investment income | $ 69,000,000 | $ 75,000,000 | |
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | Security | 23 | 11 | |
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $ 6,000,000 | $ 8,000,000 | |
Assets held-in-trust | 243,000,000 | 262,000,000 | |
Additions for securities for which credit impairments were not previously recognized | 4,000,000 | 1,000,000 | |
PCI Securities | |||
Schedule of Cost-method Investments [Line Items] | |||
Additions for securities for which credit impairments were not previously recognized | 6,000,000 | 16,000,000 | |
Assured Guaranty Subsidiaries | |||
Schedule of Cost-method Investments [Line Items] | |||
Assets held-in-trust | 1,231,000,000 | 1,511,000,000 | |
Future Equity Investments | |||
Schedule of Cost-method Investments [Line Items] | |||
Purchase commitment, remaining minimum amount committed | 95,000,000 | ||
AssuredIM Funds | Equity in Earnings of Investees | Assured Guaranty Asset Strategies LLC | |||
Schedule of Cost-method Investments [Line Items] | |||
Fair value of investment | 543,000,000 | 345,000,000 | |
AssuredIM Funds | Equity in Earnings of Investees | Assured Guaranty Subsidiaries | |||
Schedule of Cost-method Investments [Line Items] | |||
Long-term purchase commitment, amount | 702,000,000 | ||
AssuredIM Funds | Future Equity Investments | Assured Guaranty Subsidiaries | |||
Schedule of Cost-method Investments [Line Items] | |||
Authorized amount to invest | 750,000,000 | ||
AssuredIM Funds | Invested Capital | Assured Guaranty Subsidiaries | |||
Schedule of Cost-method Investments [Line Items] | |||
Long-term purchase commitment, amount | 458,000,000 | ||
AssuredIM Funds | Unfunded Commitment | Assured Guaranty Subsidiaries | |||
Schedule of Cost-method Investments [Line Items] | |||
Long-term purchase commitment, amount | 244,000,000 | ||
Equity Securities | |||
Schedule of Cost-method Investments [Line Items] | |||
Cash dividends from subsidiaries | $ 15,000,000 | $ 10,000,000 | $ 6,000,000 |
Investments and Cash - Investme
Investments and Cash - Investment Portfolio Carrying Value (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Schedule of Cost-method Investments [Line Items] | ||
Short-term investments, at fair value | $ 1,225 | $ 851 |
Other invested assets | 181 | 214 |
Total investments | $ 9,608 | $ 9,838 |
BIG | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities rated as BIG | 7.50% | 8.10% |
Externally managed | ||
Schedule of Cost-method Investments [Line Items] | ||
Estimated Fair Value | $ 6,843 | $ 7,301 |
Loss mitigation securities and other | ||
Schedule of Cost-method Investments [Line Items] | ||
Estimated Fair Value | 818 | 925 |
AssuredIM managed | ||
Schedule of Cost-method Investments [Line Items] | ||
Estimated Fair Value | 541 | 547 |
AssuredIM Fund | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 0 | 91 |
Equity method investments - other | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 169 | 107 |
Other | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | $ 12 | $ 16 |
Investments and Cash - Fixed Ma
Investments and Cash - Fixed Maturity Securities (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Investments | |||
Allowance for Credit Losses | $ (42) | $ (78) | $ 0 |
Mortgage backed securities consisting of government-agency obligations, percent | 31.00% | 35.00% | |
Fixed-maturity securities | |||
Investments | |||
Percent of Total | 100.00% | 100.00% | |
Amortized cost | $ 7,822 | $ 8,204 | |
Allowance for Credit Losses | (42) | (78) | |
Gross Unrealized Gains | 478 | 698 | |
Gross Unrealized Losses | (56) | (51) | |
Estimated Fair Value | 8,202 | 8,773 | |
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ (30) | $ (39) | |
Obligations of state and political subdivisions | Fixed-maturity securities | |||
Investments | |||
Percent of Total | 43.00% | 44.00% | |
Amortized cost | $ 3,386 | $ 3,633 | |
Allowance for Credit Losses | (12) | (11) | |
Gross Unrealized Gains | 290 | 369 | |
Gross Unrealized Losses | (4) | 0 | |
Estimated Fair Value | 3,660 | 3,991 | |
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ 0 | $ 0 | |
U.S. government and agencies | Fixed-maturity securities | |||
Investments | |||
Percent of Total | 2.00% | 2.00% | |
Amortized cost | $ 123 | $ 151 | |
Allowance for Credit Losses | 0 | 0 | |
Gross Unrealized Gains | 7 | 12 | |
Gross Unrealized Losses | (2) | (1) | |
Estimated Fair Value | 128 | 162 | |
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ 0 | $ 0 | |
Corporate securities | Fixed-maturity securities | |||
Investments | |||
Percent of Total | 32.00% | 29.00% | |
Amortized cost | $ 2,516 | $ 2,366 | |
Allowance for Credit Losses | (1) | (42) | |
Gross Unrealized Gains | 111 | 210 | |
Gross Unrealized Losses | (21) | (21) | |
Estimated Fair Value | 2,605 | 2,513 | |
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ (4) | $ (16) | |
RMBS | Fixed-maturity securities | |||
Investments | |||
Percent of Total | 6.00% | 7.00% | |
Amortized cost | $ 454 | $ 571 | |
Allowance for Credit Losses | (17) | (19) | |
Gross Unrealized Gains | 24 | 35 | |
Gross Unrealized Losses | (24) | (21) | |
Estimated Fair Value | 437 | 566 | |
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ (24) | $ (20) | |
CMBS | Fixed-maturity securities | |||
Investments | |||
Percent of Total | 4.00% | 4.00% | |
Amortized cost | $ 332 | $ 358 | |
Allowance for Credit Losses | 0 | 0 | |
Gross Unrealized Gains | 14 | 29 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | 346 | 387 | |
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ 0 | $ 0 | |
CLOs | Fixed-maturity securities | |||
Investments | |||
Percent of Total | 6.00% | 7.00% | |
Gross Unrealized Gains | $ 1 | $ 2 | |
Gross Unrealized Losses | 0 | (1) | |
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | 0 | 0 | |
CLOs and other, Amortized cost | 457 | 531 | |
CLOs and other, allowance for credit losses | 0 | 0 | |
CLOs and other, estimated fair value | $ 458 | $ 532 | |
Others | Fixed-maturity securities | |||
Investments | |||
Percent of Total | 5.00% | 5.00% | |
Gross Unrealized Gains | $ 26 | $ 31 | |
Gross Unrealized Losses | (2) | (3) | |
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | (2) | (3) | |
CLOs and other, Amortized cost | 420 | 427 | |
CLOs and other, allowance for credit losses | (12) | (6) | |
CLOs and other, estimated fair value | $ 432 | $ 449 | |
Non-U.S. government securities | Fixed-maturity securities | |||
Investments | |||
Percent of Total | 2.00% | 2.00% | |
Amortized cost | $ 134 | $ 167 | |
Allowance for Credit Losses | 0 | 0 | |
Gross Unrealized Gains | 5 | 10 | |
Gross Unrealized Losses | (3) | (4) | |
Estimated Fair Value | 136 | 173 | |
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ 0 | $ 0 |
Investments and Cash - Gross Un
Investments and Cash - Gross Unrealized Loss by Length of Time (Details) $ in Millions | Dec. 31, 2021USD ($)Security | Dec. 31, 2020USD ($)Security |
Less than 12 months | ||
Fair Value | $ 804 | $ 362 |
Gross Unrealized Loss | (17) | (3) |
12 months or more | ||
Fair Value | 120 | 166 |
Gross Unrealized Loss | (9) | (9) |
Total | ||
Fair Value | 924 | 528 |
Gross Unrealized Loss | $ (26) | $ (12) |
Number of securities | ||
Less than 12 months (in securities) | Security | 355 | 94 |
12 months or more (in securities) | Security | 60 | 46 |
Total (in securities) | Security | 410 | 139 |
Obligations of state and political subdivisions | ||
Less than 12 months | ||
Fair Value | $ 117 | $ 1 |
Gross Unrealized Loss | (3) | 0 |
12 months or more | ||
Fair Value | 10 | 0 |
Gross Unrealized Loss | (1) | 0 |
Total | ||
Fair Value | 127 | 1 |
Gross Unrealized Loss | (4) | 0 |
U.S. government and agencies | ||
Less than 12 months | ||
Fair Value | 26 | 22 |
Gross Unrealized Loss | 0 | (1) |
12 months or more | ||
Fair Value | 32 | 0 |
Gross Unrealized Loss | (2) | 0 |
Total | ||
Fair Value | 58 | 22 |
Gross Unrealized Loss | (2) | (1) |
Corporate securities | ||
Less than 12 months | ||
Fair Value | 407 | 73 |
Gross Unrealized Loss | (12) | 0 |
12 months or more | ||
Fair Value | 70 | 45 |
Gross Unrealized Loss | (5) | (5) |
Total | ||
Fair Value | 477 | 118 |
Gross Unrealized Loss | (17) | (5) |
RMBS | ||
Less than 12 months | ||
Fair Value | 4 | 15 |
Gross Unrealized Loss | 0 | (1) |
12 months or more | ||
Fair Value | 0 | 1 |
Gross Unrealized Loss | 0 | 0 |
Total | ||
Fair Value | 4 | 16 |
Gross Unrealized Loss | 0 | (1) |
CMBS | ||
Less than 12 months | ||
Fair Value | 0 | |
Gross Unrealized Loss | 0 | |
12 months or more | ||
Fair Value | 1 | |
Gross Unrealized Loss | 0 | |
Total | ||
Fair Value | 1 | |
Gross Unrealized Loss | 0 | |
Non-U.S. government securities | ||
Less than 12 months | ||
Fair Value | 24 | 0 |
Gross Unrealized Loss | (2) | 0 |
12 months or more | ||
Fair Value | 8 | 38 |
Gross Unrealized Loss | (1) | (4) |
Total | ||
Fair Value | 32 | 38 |
Gross Unrealized Loss | (3) | (4) |
CLOs | ||
Less than 12 months | ||
Fair Value | 226 | 251 |
Gross Unrealized Loss | 0 | (1) |
12 months or more | ||
Fair Value | 0 | 81 |
Gross Unrealized Loss | 0 | 0 |
Total | ||
Fair Value | 226 | 332 |
Gross Unrealized Loss | $ 0 | $ (1) |
Investments and Cash - Distribu
Investments and Cash - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) - Fixed-maturity securities - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Amortized Cost | ||
Due within one year | $ 224 | |
Due after one year through five years | 1,816 | |
Due after five years through 10 years | 1,711 | |
Due after 10 years | 3,285 | |
Amortized cost | 7,822 | $ 8,204 |
Estimated Fair Value | ||
Due within one year | 229 | |
Due after one year through five years | 1,896 | |
Due after five years through 10 years | 1,802 | |
Due after 10 years | 3,492 | |
Estimated fair value | 8,202 | 8,773 |
RMBS | ||
Amortized Cost | ||
Amortized cost | 454 | 571 |
Estimated Fair Value | ||
Estimated fair value | 437 | 566 |
CMBS | ||
Amortized Cost | ||
Amortized cost | 332 | 358 |
Estimated Fair Value | ||
Estimated fair value | $ 346 | $ 387 |
Investments and Cash - Net Inve
Investments and Cash - Net Investment Income (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Net Investment Income | |||
Gross investment income | $ 275 | $ 304 | $ 387 |
Investment expenses | (6) | (7) | (9) |
Net investment income | 269 | 297 | 378 |
Externally managed | |||
Net Investment Income | |||
Gross investment income | 204 | 231 | 273 |
Loss mitigation securities and other | |||
Net Investment Income | |||
Gross investment income | 55 | 65 | 114 |
AssuredIM Funds | |||
Net Investment Income | |||
Gross investment income | $ 16 | $ 8 | $ 0 |
Investments and Cash - Net Real
Investments and Cash - Net Realized Investment Gains (Losses) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |||
Gross realized gains on sales available-for-sale securities | $ 20 | $ 27 | $ 56 |
Gross realized losses on sales available-for-sale securities | (5) | (5) | (3) |
Net foreign currency gains (losses) | 2 | 6 | 3 |
Change in credit impairment and intent to sell | (7) | (17) | (35) |
Other net realized gains (losses) | 5 | 7 | 1 |
Net realized investment gains (losses) | $ 15 | $ 18 | $ 22 |
Investments and Cash - Roll For
Investments and Cash - Roll Forward of Credit Losses in the Investment Portfolio (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Roll Forward of Credit Losses in the Investment Portfolio | |||
Balance, beginning of period | $ 78 | $ 0 | |
Additions for securities for which credit impairments were not previously recognized | 4 | 1 | |
Reductions for securities sold and other settlements | (42) | 0 | |
Additions (reductions) for credit losses on securities for which credit impairments were previously recognized | 2 | 15 | |
Balance, end of period | $ 42 | 78 | $ 0 |
Roll Forward of Credit Losses in the Investment Portfolio | |||
Balance, beginning of period | 186 | 185 | |
Additions for securities for which credit impairments were not previously recognized | 0 | ||
Reductions for securities sold and other settlements | (15) | ||
Additions (reductions) for credit losses on securities for which credit impairments were previously recognized | 16 | ||
Credit losses, end of period | 186 | ||
Cumulative Effect, Period of Adoption, Adjustment | |||
Roll Forward of Credit Losses in the Investment Portfolio | |||
Balance, beginning of period | $ 62 | ||
Balance, end of period | $ 62 |
Investments and Cash - Equity i
Investments and Cash - Equity in Net Earnings of Investees (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Net Investment Income [Line Items] | |||
Equity in earnings of investees | $ 94 | $ 27 | $ 4 |
Fair Value Measured at Net Asset Value | |||
Net Investment Income [Line Items] | |||
Equity in earnings of investees | 36 | 14 | |
Equity Securities | |||
Net Investment Income [Line Items] | |||
Equity in earnings of investees | 94 | 27 | 4 |
Cash dividends from subsidiaries | 15 | 10 | 6 |
Equity Securities | AssuredIM Fund | |||
Net Investment Income [Line Items] | |||
Equity in earnings of investees | 30 | 14 | 0 |
Equity Securities | Other | |||
Net Investment Income [Line Items] | |||
Equity in earnings of investees | $ 64 | $ 13 | $ 4 |
Investments and Cash - Summariz
Investments and Cash - Summarized Financial Information (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Schedule of Equity Method Investments [Line Items] | ||||
Total assets | $ 18,208 | $ 15,334 | ||
Total liabilities | 11,708 | 8,629 | ||
Total equity | 6,478 | 6,684 | $ 6,645 | $ 6,555 |
Total revenues | 848 | 1,115 | 963 | |
Total expenses | 465 | 729 | 503 | |
Net income (loss) | 419 | 368 | 401 | |
Equity Method Investment | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Total assets | 1,543 | 1,150 | ||
Total liabilities | 412 | 499 | ||
Total equity | 1,131 | 651 | ||
Total revenues | 548 | 225 | 94 | |
Total expenses | 64 | 84 | 67 | |
Net income (loss) | $ 484 | $ 141 | $ 26 |
Financial Guaranty Variable I_3
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Narrative (Details) € in Millions | 3 Months Ended | 12 Months Ended | ||||||
Dec. 31, 2021USD ($)consolidatedInvestmentVehiclepolicyEntity | Dec. 31, 2021USD ($)consolidatedInvestmentVehiclepolicyEntity | Dec. 31, 2021EUR (€) | Dec. 31, 2020USD ($)policyEntityconsolidatedInvestmentVehicle | Dec. 31, 2020EUR (€) | Dec. 31, 2019USD ($)Entity | Dec. 09, 2021USD ($) | Dec. 31, 2018Entity | |
Variable Interest Entity [Line Items] | ||||||||
Total assets | $ 18,208,000,000 | $ 18,208,000,000 | $ 15,334,000,000 | |||||
Total liabilities | 11,708,000,000 | 11,708,000,000 | 8,629,000,000 | |||||
Consolidation | 89,000,000 | |||||||
Fair value gains (losses) on credit derivatives | (58,000,000) | 81,000,000 | $ (6,000,000) | |||||
Proceeds from issuance of warehouse financing debt | 1,338,000,000 | 234,000,000 | 0 | |||||
VIE, Other consolidated, carrying amount, assets | 96,000,000 | 96,000,000 | 96,000,000 | |||||
VIE, Other consolidated, carrying amount, liabilities | $ 11,000,000 | $ 11,000,000 | $ 3,000,000 | |||||
VIE, Number of policies monitored | policy | 16,000 | 16,000 | ||||||
VIE, Number of policies monitored, not within the scope of ASC 810 | policy | 15,000 | 15,000 | ||||||
VIE, Number of policies that contain provisions for consolidation | policy | 69 | 69 | 79 | |||||
Line of Credit | Joint Healthcare Fund | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Maximum borrowing capacity | $ 80,000,000 | $ 80,000,000 | ||||||
Outstanding amount | $ 16,000,000 | |||||||
Line of Credit | Consolidated Healthcare Fund | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Maximum borrowing capacity | $ 53,000,000 | $ 53,000,000 | ||||||
Line of Credit | Prime Rate | Joint Healthcare Fund | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Base interest rate floor | 3.00% | 3.00% | ||||||
Variable Interest Entity, Primary Beneficiary | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Net loss on consolidation | $ 0 | $ 0 | ||||||
Net gain on deconsolidation | $ 0 | |||||||
Number of entities | Entity | 25 | 25 | 25 | |||||
Variable Interest Entity, Primary Beneficiary | Assured IM | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Gain consolidation | $ 31,000,000 | |||||||
Total assets | 273,000,000 | $ 273,000,000 | ||||||
Total liabilities | 33,000,000 | 33,000,000 | ||||||
Consolidation | 89,000,000 | |||||||
Variable Interest Entity, Primary Beneficiary | Other | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Net gain on deconsolidation | $ 0 | |||||||
Financial Guaranty Variable Interest Entities | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Reversal of net fair value gains and losses | 0 | 0 | ||||||
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Change in the instrument specific credit risk of the VIEs' assets | 14,000,000 | 6,000,000 | $ 39,000,000 | |||||
Total assets | $ 260,000,000 | $ 260,000,000 | $ 296,000,000 | |||||
Number of entities | Entity | 25 | 25 | 25 | 27 | 31 | |||
Consolidated Investment Vehicles | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Number of entities consolidated that meets VOE criteria | consolidatedInvestmentVehicle | 1 | 1 | 1 | |||||
Consolidated Investment Vehicles | Foreign Exchange Forward | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Derivative, notional amount | $ 26,000,000 | $ 26,000,000 | $ 11,000,000 | |||||
Consolidated Investment Vehicles | Interest Rate Swap | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Derivative, notional amount | 23,000,000 | 23,000,000 | 8,000,000 | |||||
Consolidated Investment Vehicles | Maximum | Forward Contracts And Interest Rate Swaps | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Fair value gains (losses) on credit derivatives | 1,000,000 | 1,000,000 | ||||||
Consolidated Investment Vehicles | Maximum | Future Equity Investments | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Investment commitment | 336,000,000 | |||||||
Consolidated Investment Vehicles | Arithmetic Average | Foreign Exchange Forward | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Derivative, notional amount | 19,000,000 | 19,000,000 | 6,000,000 | |||||
Consolidated Investment Vehicles | Arithmetic Average | Interest Rate Swap | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Derivative, notional amount | $ 15,000,000 | $ 15,000,000 | $ 4,000,000 | |||||
Consolidated Investment Vehicles | Variable Interest Entity, Primary Beneficiary | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Number of entities | Entity | 20 | 20 | 11 | 4 | 0 | |||
Consolidated Investment Vehicles | Variable Interest Entity, Primary Beneficiary | Line of Credit | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Maximum borrowing capacity | $ 1,000,000,000 | $ 1,000,000,000 | ||||||
Proceeds from issuance of warehouse financing debt | 103,000,000 | |||||||
Remaining borrowing capacity | $ 205,000,000 | $ 205,000,000 | ||||||
Commitment fee amount | € | € 0 | |||||||
Consolidated Investment Vehicles | Variable Interest Entity, Primary Beneficiary | Line of Credit | EUR 2021-1 | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Proceeds from issuance of warehouse financing debt | $ 25,000,000 | € 20 | ||||||
Consolidated Investment Vehicles | Variable Interest Entity, Primary Beneficiary | Line of Credit | Assured IM | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Proceeds from issuance of warehouse financing debt | $ 1,000,000 | € 1 | ||||||
Consolidated Investment Vehicles | Variable Interest Entity, Primary Beneficiary | Line of Credit | EURIBOR | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Interest rate, added to base rate (as a percent) | 100.00% | 100.00% | ||||||
Consolidated Investment Vehicles | Variable Interest Entity, Primary Beneficiary | Line of Credit | London Interbank Offered Rate (LIBOR) | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Interest rate, added to base rate (as a percent) | 100.00% | 100.00% |
Financial Guaranty Variable I_4
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Number of Consolidated FG VIEs (Details) - Variable Interest Entity, Primary Beneficiary - Entity | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Consolidated FG VIEs Rollforward [Roll Forward] | |||
Beginning of year | 25 | ||
End of year | 25 | 25 | |
Financial Guaranty Variable Interest Entities | |||
Schedule of Consolidated FG VIEs Rollforward [Roll Forward] | |||
Beginning of year | 25 | 27 | 31 |
Consolidated | 1 | 2 | 1 |
Deconsolidated | (1) | (2) | (3) |
Matured | 0 | (2) | (2) |
End of year | 25 | 25 | 27 |
Financial Guaranty Variable I_5
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Consolidated FG VIE's By Type of Collateral (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Variable Interest Entity [Line Items] | ||
Total assets | $ 18,208 | $ 15,334 |
Total liabilities | 11,708 | 8,629 |
Variable Interest Entity, Primary Beneficiary | Financial Guaranty Variable Interest Entities | ||
Variable Interest Entity [Line Items] | ||
Total assets | 260 | 296 |
Variable Interest Entity, Primary Beneficiary | Recourse | Financial Guaranty Variable Interest Entities | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 269 | 316 |
Variable Interest Entity, Primary Beneficiary | Nonrecourse | Financial Guaranty Variable Interest Entities | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 20 | 17 |
U.S. | First Lien | RMBS | Variable Interest Entity, Primary Beneficiary | Financial Guaranty Variable Interest Entities | ||
Variable Interest Entity [Line Items] | ||
Total assets | 221 | 243 |
U.S. | First Lien | RMBS | Variable Interest Entity, Primary Beneficiary | Recourse | Financial Guaranty Variable Interest Entities | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 227 | 260 |
U.S. | First Lien | RMBS | Variable Interest Entity, Primary Beneficiary | Nonrecourse | Financial Guaranty Variable Interest Entities | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 20 | 17 |
U.S. | Second Lien | RMBS | Variable Interest Entity, Primary Beneficiary | Financial Guaranty Variable Interest Entities | ||
Variable Interest Entity [Line Items] | ||
Total assets | 39 | 53 |
U.S. | Second Lien | RMBS | Variable Interest Entity, Primary Beneficiary | Recourse | Financial Guaranty Variable Interest Entities | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | $ 42 | $ 56 |
Financial Guaranty Variable I_6
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Unpaid Principal (Details) (Details) - Variable Interest Entity, Primary Beneficiary - Financial Guaranty Variable Interest Entities - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Variable Interest Entity [Line Items] | ||
FG VIEs’ assets | $ 255 | $ 274 |
FG VIEs’ liabilities with recourse | 12 | 15 |
FG VIEs’ liabilities without recourse | 15 | 16 |
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due | 52 | 68 |
Unpaid principal for FG VIEs’ liabilities with recourse | $ 281 | $ 330 |
Financial Guaranty Variable I_7
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Number of Consolidated CIVs by Type (Details) (Details) - Consolidated Investment Vehicles - Variable Interest Entity, Primary Beneficiary | 12 Months Ended | |
Dec. 31, 2021consolidatedInvestmentVehiclecLOWarehouseconsolidatedInvestmentFundconsolidatedCLO | Dec. 31, 2020consolidatedInvestmentFundconsolidatedInvestmentVehiclecLOWarehouseconsolidatedCLO | |
Variable Interest Entity [Line Items] | ||
Funds | consolidatedInvestmentFund | 8 | 7 |
CLOs | consolidatedCLO | 9 | 3 |
CLO warehouses | cLOWarehouse | 3 | 1 |
Total number of consolidated CIVs | consolidatedInvestmentVehicle | 20 | 11 |
Financial Guaranty Variable I_8
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Roll Forward of Number of Consolidated CIVs (Details) (Details) | 12 Months Ended | ||
Dec. 31, 2021Entityfund | Dec. 31, 2020Entityfund | Dec. 31, 2019Entity | |
Variable Interest Entity, Primary Beneficiary | |||
Schedule of Consolidated FG VIEs Rollforward [Roll Forward] | |||
Beginning of year | 25 | ||
End of year | 25 | 25 | |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | |||
Schedule of Consolidated FG VIEs Rollforward [Roll Forward] | |||
Beginning of year | 11 | 4 | 0 |
Consolidated | 10 | 7 | 4 |
Deconsolidated | (1) | 0 | 0 |
End of year | 20 | 11 | 4 |
CLO Warehouse | Consolidated Investment Vehicles | |||
Schedule of Consolidated FG VIEs Rollforward [Roll Forward] | |||
Number of financial assets securitized | fund | 5 | 2 |
Financial Guaranty Variable I_9
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Schedule of Assets and Liabilities of Consolidated Investment Vehicles (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Variable Interest Entity [Line Items] | ||
Total assets | $ 18,208 | $ 15,334 |
Total liabilities | 11,708 | 8,629 |
Assets of Consolidated Investment Vehicles | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 5,271 | 1,913 |
Liabilities of CIVs | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 4,436 | 1,590 |
Cash and cash equivalents | Fund Investments | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 64 | 117 |
Cash and cash equivalents | CLOs | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 156 | 17 |
Equity securities and warrants | Fund Investments | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 252 | 18 |
Equity securities and warrants | Fund Investments | Variable Interest Entity, Primary Beneficiary | Investments in AssuredIM Funds and Other Affiliated Entities | ||
Variable Interest Entity [Line Items] | ||
Total assets | 198 | 10 |
Obligations of state and political subdivisions | Fund Investments | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 101 | 61 |
Loans | Fund Investments | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 98 | 9 |
Structured products | Fund Investments | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 62 | 39 |
Structured products | Fund Investments | Variable Interest Entity, Primary Beneficiary | Investments in AssuredIM Funds and Other Affiliated Entities | ||
Variable Interest Entity [Line Items] | ||
Total assets | 25 | 16 |
Due from brokers and counterparties | Fund Investments | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 49 | 35 |
Due from brokers and counterparties | CLOs | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 99 | 17 |
Other | Fund Investments | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 1 | 0 |
Loans in CLOs, fair value option | CLOs | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 3,913 | 1,291 |
Loans in CLO warehouses, fair value option | CLOs | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 331 | 170 |
Short-term investments | CLOs | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 145 | 139 |
CLO obligations of CFEs | Liabilities of CIVs | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | $ 3,665 | $ 1,227 |
CLOs, weighted average maturity | 6 years 7 months 6 days | 5 years 7 months 6 days |
CLOs, weighted average interest rate | 1.80% | 2.40% |
Warehouse financing debt | Liabilities of CIVs | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | $ 126 | $ 25 |
CLOs, weighted average maturity | 1 year 9 months 18 days | 1 year 8 months 12 days |
CLOs, weighted average interest rate | 1.10% | 1.70% |
Securities sold short | Liabilities of CIVs | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | $ 41 | $ 47 |
Due to brokers and counterparties | Liabilities of CIVs | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 570 | 290 |
Other liabilities | Liabilities of CIVs | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 34 | 1 |
Investments | Assets of Consolidated Investment Vehicles | Voting Interest Entity | ||
Variable Interest Entity [Line Items] | ||
Total assets | $ 12 | $ 10 |
Financial Guaranty Variable _10
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Schedule of Redeemable Noncontrolling Interest of Consolidated Investment Vehicle (Details) - Consolidated Investment Vehicles - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Redeemable Noncontrolling Interest, Equity, Other, Fair Value, Rollforward [Roll Forward] | |||
Beginning balance | $ 21 | $ 7 | $ 0 |
Reallocation of ownership interests | 0 | (10) | 0 |
Contributions to CIVs | 0 | 25 | 12 |
Distributions from CIVs | 0 | 0 | (4) |
Net income (loss) attributable to the redeemable NCI | 1 | (1) | (1) |
Ending balance | $ 22 | $ 21 | $ 7 |
Fair Value Measurement - Narrat
Fair Value Measurement - Narrative (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2021USD ($)Security | Dec. 31, 2020 | |
Assured IM | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Obligation to purchase debt | 0.05 | |
Credit Default Swap | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Percentage of CDS contracts which are fair valued using minimum premium | 51.00% | |
Recurring | Level 3 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Number of fixed maturity securities valued using model processes | Security | 191 | |
Fixed maturity securities | $ | $ 1,200 | |
Recurring | Minimum | Credit Default Swap | Level 3 | Discount rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 0.11% | 0.19% |
Recurring | Maximum | Credit Default Swap | Level 3 | Discount rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 1.78% | 1.33% |
Fair Value Measurement - Financ
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Assets: | ||
Other invested assets | $ 181 | $ 214 |
Assets of CIVs | 5,271 | 1,913 |
Other assets | 132 | 145 |
Liabilities: | ||
Credit derivative liabilities | 156 | 103 |
Liabilities of CIVs | 4,436 | 1,590 |
Fair Value Measured at Net Asset Value | ||
Assets: | ||
Other invested assets | 19 | 91 |
Recurring | ||
Assets: | ||
Other invested assets | 12 | 15 |
FG VIEs’ assets | 260 | 296 |
Assets of CIVs | 4,896 | 1,719 |
Other assets | 132 | 145 |
Total assets carried at fair value | 14,727 | 11,799 |
Liabilities: | ||
Credit derivative liabilities | 156 | 103 |
FG VIEs’ liabilities | 289 | 333 |
Liabilities of CIVs | 3,849 | 1,299 |
Other liabilities | 1 | 1 |
Total liabilities carried at fair value | 4,295 | 1,736 |
Recurring | CLO obligations of CFEs | ||
Liabilities: | ||
Liabilities of CIVs | 3,665 | 1,227 |
Recurring | Warehouse financing debt | ||
Liabilities: | ||
Liabilities of CIVs | 126 | 25 |
Recurring | Securities sold short | ||
Liabilities: | ||
Liabilities of CIVs | 41 | 47 |
Recurring | Borrowings | ||
Liabilities: | ||
Liabilities of CIVs | 17 | |
Recurring | Level 1 | ||
Assets: | ||
Other invested assets | 6 | 10 |
FG VIEs’ assets | 0 | 0 |
Assets of CIVs | 145 | 139 |
Other assets | 53 | 42 |
Total assets carried at fair value | 1,429 | 977 |
Liabilities: | ||
Credit derivative liabilities | 0 | 0 |
FG VIEs’ liabilities | 0 | 0 |
Liabilities of CIVs | 0 | 0 |
Other liabilities | 0 | 0 |
Total liabilities carried at fair value | 0 | 0 |
Recurring | Level 1 | CLO obligations of CFEs | ||
Liabilities: | ||
Liabilities of CIVs | 0 | 0 |
Recurring | Level 1 | Warehouse financing debt | ||
Liabilities: | ||
Liabilities of CIVs | 0 | 0 |
Recurring | Level 1 | Securities sold short | ||
Liabilities: | ||
Liabilities of CIVs | 0 | 0 |
Recurring | Level 1 | Borrowings | ||
Liabilities: | ||
Liabilities of CIVs | 0 | |
Recurring | Level 2 | ||
Assets: | ||
Other invested assets | 0 | 0 |
FG VIEs’ assets | 0 | 0 |
Assets of CIVs | 4,421 | 1,578 |
Other assets | 54 | 48 |
Total assets carried at fair value | 11,526 | 9,138 |
Liabilities: | ||
Credit derivative liabilities | 0 | 0 |
FG VIEs’ liabilities | 0 | 0 |
Liabilities of CIVs | 144 | 72 |
Other liabilities | 1 | 1 |
Total liabilities carried at fair value | 145 | 73 |
Recurring | Level 2 | CLO obligations of CFEs | ||
Liabilities: | ||
Liabilities of CIVs | 0 | 0 |
Recurring | Level 2 | Warehouse financing debt | ||
Liabilities: | ||
Liabilities of CIVs | 103 | 25 |
Recurring | Level 2 | Securities sold short | ||
Liabilities: | ||
Liabilities of CIVs | 41 | 47 |
Recurring | Level 2 | Borrowings | ||
Liabilities: | ||
Liabilities of CIVs | 0 | |
Recurring | Level 3 | ||
Assets: | ||
Other invested assets | 6 | 5 |
FG VIEs’ assets | 260 | 296 |
Assets of CIVs | 330 | 2 |
Other assets | 25 | 55 |
Total assets carried at fair value | 1,772 | 1,684 |
Liabilities: | ||
Credit derivative liabilities | 156 | 103 |
FG VIEs’ liabilities | 289 | 333 |
Liabilities of CIVs | 3,705 | 1,227 |
Other liabilities | 0 | 0 |
Total liabilities carried at fair value | 4,150 | 1,663 |
Recurring | Level 3 | CLO obligations of CFEs | ||
Liabilities: | ||
Liabilities of CIVs | 3,665 | 1,227 |
Recurring | Level 3 | Warehouse financing debt | ||
Liabilities: | ||
Liabilities of CIVs | 23 | 0 |
Recurring | Level 3 | Securities sold short | ||
Liabilities: | ||
Liabilities of CIVs | 0 | 0 |
Recurring | Level 3 | Borrowings | ||
Liabilities: | ||
Liabilities of CIVs | 17 | |
Fixed-maturity securities | ||
Assets: | ||
Estimated Fair Value | 8,202 | 8,773 |
Fixed-maturity securities | Obligations of state and political subdivisions | ||
Assets: | ||
Estimated Fair Value | 3,660 | 3,991 |
Fixed-maturity securities | U.S. government and agencies | ||
Assets: | ||
Estimated Fair Value | 128 | 162 |
Fixed-maturity securities | Corporate securities | ||
Assets: | ||
Estimated Fair Value | 2,605 | 2,513 |
Fixed-maturity securities | RMBS | ||
Assets: | ||
Estimated Fair Value | 437 | 566 |
Fixed-maturity securities | CMBS | ||
Assets: | ||
Estimated Fair Value | 346 | 387 |
Fixed-maturity securities | Non-U.S. government securities | ||
Assets: | ||
Estimated Fair Value | 136 | 173 |
Fixed-maturity securities | Recurring | ||
Assets: | ||
Estimated Fair Value | 8,202 | 8,773 |
Fixed-maturity securities | Recurring | Obligations of state and political subdivisions | ||
Assets: | ||
Estimated Fair Value | 3,660 | 3,991 |
Fixed-maturity securities | Recurring | U.S. government and agencies | ||
Assets: | ||
Estimated Fair Value | 128 | 162 |
Fixed-maturity securities | Recurring | Corporate securities | ||
Assets: | ||
Estimated Fair Value | 2,605 | 2,513 |
Fixed-maturity securities | Recurring | RMBS | ||
Assets: | ||
Estimated Fair Value | 437 | 566 |
Fixed-maturity securities | Recurring | CMBS | ||
Assets: | ||
Estimated Fair Value | 346 | 387 |
Fixed-maturity securities | Recurring | Asset-backed securities | ||
Assets: | ||
Estimated Fair Value | 890 | 981 |
Fixed-maturity securities | Recurring | Non-U.S. government securities | ||
Assets: | ||
Estimated Fair Value | 136 | 173 |
Fixed-maturity securities | Recurring | Level 1 | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | Obligations of state and political subdivisions | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | U.S. government and agencies | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | Corporate securities | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | RMBS | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | CMBS | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | Asset-backed securities | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | Non-U.S. government securities | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fixed-maturity securities | Recurring | Level 2 | ||
Assets: | ||
Estimated Fair Value | 7,051 | 7,447 |
Fixed-maturity securities | Recurring | Level 2 | Obligations of state and political subdivisions | ||
Assets: | ||
Estimated Fair Value | 3,588 | 3,890 |
Fixed-maturity securities | Recurring | Level 2 | U.S. government and agencies | ||
Assets: | ||
Estimated Fair Value | 128 | 162 |
Fixed-maturity securities | Recurring | Level 2 | Corporate securities | ||
Assets: | ||
Estimated Fair Value | 2,605 | 2,483 |
Fixed-maturity securities | Recurring | Level 2 | RMBS | ||
Assets: | ||
Estimated Fair Value | 221 | 311 |
Fixed-maturity securities | Recurring | Level 2 | CMBS | ||
Assets: | ||
Estimated Fair Value | 346 | 387 |
Fixed-maturity securities | Recurring | Level 2 | Asset-backed securities | ||
Assets: | ||
Estimated Fair Value | 27 | 41 |
Fixed-maturity securities | Recurring | Level 2 | Non-U.S. government securities | ||
Assets: | ||
Estimated Fair Value | 136 | 173 |
Fixed-maturity securities | Recurring | Level 3 | ||
Assets: | ||
Estimated Fair Value | 1,151 | 1,326 |
Fixed-maturity securities | Recurring | Level 3 | Obligations of state and political subdivisions | ||
Assets: | ||
Estimated Fair Value | 72 | 101 |
Fixed-maturity securities | Recurring | Level 3 | U.S. government and agencies | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fixed-maturity securities | Recurring | Level 3 | Corporate securities | ||
Assets: | ||
Estimated Fair Value | 0 | 30 |
Fixed-maturity securities | Recurring | Level 3 | RMBS | ||
Assets: | ||
Estimated Fair Value | 216 | 255 |
Fixed-maturity securities | Recurring | Level 3 | CMBS | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fixed-maturity securities | Recurring | Level 3 | Asset-backed securities | ||
Assets: | ||
Estimated Fair Value | 863 | 940 |
Fixed-maturity securities | Recurring | Level 3 | Non-U.S. government securities | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Short-term investments | Recurring | ||
Assets: | ||
Estimated Fair Value | 1,225 | 851 |
Short-term investments | Recurring | Level 1 | ||
Assets: | ||
Estimated Fair Value | 1,225 | 786 |
Short-term investments | Recurring | Level 2 | ||
Assets: | ||
Estimated Fair Value | 0 | 65 |
Short-term investments | Recurring | Level 3 | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fund Investments | Fair Value Measured at Net Asset Value | Equity securities and warrants | ||
Assets: | ||
Assets of CIVs | 6 | 8 |
Fund Investments | Recurring | Obligations of state and political subdivisions | ||
Assets: | ||
Assets of CIVs | 101 | 61 |
Fund Investments | Recurring | Corporate securities | ||
Assets: | ||
Assets of CIVs | 98 | 9 |
Fund Investments | Recurring | Equity securities and warrants | ||
Assets: | ||
Assets of CIVs | 246 | 10 |
Fund Investments | Recurring | Structured products | ||
Assets: | ||
Assets of CIVs | 62 | 39 |
Fund Investments | Recurring | Level 1 | Obligations of state and political subdivisions | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
Fund Investments | Recurring | Level 1 | Corporate securities | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
Fund Investments | Recurring | Level 1 | Equity securities and warrants | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
Fund Investments | Recurring | Level 1 | Structured products | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
Fund Investments | Recurring | Level 2 | Obligations of state and political subdivisions | ||
Assets: | ||
Assets of CIVs | 101 | 61 |
Fund Investments | Recurring | Level 2 | Corporate securities | ||
Assets: | ||
Assets of CIVs | 7 | 9 |
Fund Investments | Recurring | Level 2 | Equity securities and warrants | ||
Assets: | ||
Assets of CIVs | 7 | 8 |
Fund Investments | Recurring | Level 2 | Structured products | ||
Assets: | ||
Assets of CIVs | 62 | 39 |
Fund Investments | Recurring | Level 3 | Obligations of state and political subdivisions | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
Fund Investments | Recurring | Level 3 | Corporate securities | ||
Assets: | ||
Assets of CIVs | 91 | 0 |
Fund Investments | Recurring | Level 3 | Equity securities and warrants | ||
Assets: | ||
Assets of CIVs | 239 | 2 |
Fund Investments | Recurring | Level 3 | Structured products | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
CLOs | Recurring | Short-term investments | ||
Assets: | ||
Assets of CIVs | 145 | 139 |
CLOs | Recurring | Loans | ||
Assets: | ||
Assets of CIVs | 4,244 | 1,461 |
CLOs | Recurring | Level 1 | Short-term investments | ||
Assets: | ||
Assets of CIVs | 145 | 139 |
CLOs | Recurring | Level 1 | Loans | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
CLOs | Recurring | Level 2 | Short-term investments | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
CLOs | Recurring | Level 2 | Loans | ||
Assets: | ||
Assets of CIVs | 4,244 | 1,461 |
CLOs | Recurring | Level 3 | Short-term investments | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
CLOs | Recurring | Level 3 | Loans | ||
Assets: | ||
Assets of CIVs | $ 0 | $ 0 |
Fair Value Measurement - Fair V
Fair Value Measurement - Fair Value Level 3 Rollforward Recurring Basis (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Credit Risk Contract | |||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||
Fair value at beginning of period | $ (100) | $ (185) | |
Total pre-tax realized and unrealized gains (losses) recorded in: | |||
Net income (loss) | (58) | 81 | |
Other comprehensive income (loss) | 0 | 0 | |
Issuances | 0 | 0 | |
Settlements | 4 | (4) | |
Consolidations | 0 | 0 | |
Deconsolidations | 0 | ||
Fair value at end of period | (154) | (100) | |
Change in unrealized gains/(losses)included in earnings related to financial instruments | (74) | 87 | |
FG VIEs’ Assets | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 296 | 442 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 26 | (70) | |
Other comprehensive income (loss) | 0 | 0 | |
Purchases | 0 | 0 | |
Sales | 0 | 0 | |
Settlements | (62) | (83) | |
Consolidations | 0 | 18 | |
Deconsolidations | (11) | ||
Transfers out of Level 3 | 0 | ||
Fair value at end of period | 260 | 296 | |
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | 27 | 7 | |
Assets of Consolidated Investment Vehicles | Corporate securities | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 0 | 47 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 0 | 2 | |
Other comprehensive income (loss) | 0 | 0 | |
Purchases | 0 | 5 | |
Sales | 0 | (54) | |
Settlements | 0 | 0 | |
Consolidations | 91 | 0 | |
Deconsolidations | 0 | ||
Transfers out of Level 3 | 0 | ||
Fair value at end of period | 91 | 0 | |
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | 0 | 0 | |
Assets of Consolidated Investment Vehicles | Equity securities and warrants | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 2 | 17 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 35 | 7 | |
Other comprehensive income (loss) | 0 | 0 | |
Purchases | 56 | 128 | |
Sales | (28) | (150) | |
Settlements | 0 | 0 | |
Consolidations | 174 | 0 | |
Deconsolidations | 0 | ||
Transfers out of Level 3 | 0 | ||
Fair value at end of period | 239 | 2 | |
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | 33 | (2) | |
Assets of Consolidated Investment Vehicles | Structured products | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 0 | 0 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 3 | ||
Other comprehensive income (loss) | 0 | ||
Purchases | 17 | ||
Sales | (20) | ||
Settlements | 0 | ||
Consolidations | 0 | ||
Deconsolidations | 0 | ||
Transfers out of Level 3 | 0 | ||
Fair value at end of period | 0 | ||
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | 0 | ||
Other | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 54 | 55 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | (27) | (1) | |
Other comprehensive income (loss) | 0 | 0 | |
Purchases | 0 | 0 | |
Sales | 0 | 0 | |
Settlements | 0 | 0 | |
Consolidations | 0 | 0 | |
Deconsolidations | 0 | ||
Transfers out of Level 3 | 0 | ||
Fair value at end of period | 27 | 54 | |
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | (28) | (1) | |
Other Comprehensive Income (Loss) | Other | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | 0 | ||
FG VIEs’ Liabilities | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Fair value at start of period | (289) | (333) | $ (469) |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | (8) | 57 | |
Other comprehensive income (loss) | (1) | 9 | |
Issuances | 0 | 0 | |
Settlements | 53 | 77 | |
VIE consolidations | 0 | (19) | |
Deconsolidations | 12 | ||
Fair value at end of period | 289 | 333 | |
Change in unrealized gains/(losses) related to financial instruments held | (6) | (17) | |
FG VIEs’ Liabilities | Other Comprehensive Income (Loss) | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held | (1) | 9 | |
Liabilities of CIVs | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Fair value at start of period | (3,705) | (1,227) | $ (481) |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 15 | (8) | |
Other comprehensive income (loss) | 0 | 0 | |
Issuances | (3,367) | (738) | |
Settlements | 891 | 0 | |
VIE consolidations | (17) | 0 | |
Deconsolidations | 0 | ||
Fair value at end of period | 3,705 | 1,227 | |
Change in unrealized gains/(losses) related to financial instruments held | (2) | (8) | |
Obligations of state and political subdivisions | Fixed-maturity securities | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 101 | 107 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 23 | 5 | |
Other comprehensive income (loss) | (5) | (8) | |
Purchases | 0 | 0 | |
Sales | (44) | 0 | |
Settlements | (3) | (3) | |
Consolidations | 0 | 0 | |
Deconsolidations | 0 | ||
Transfers out of Level 3 | 0 | ||
Fair value at end of period | 72 | 101 | |
Obligations of state and political subdivisions | Other Comprehensive Income (Loss) | Fixed-maturity securities | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | 1 | (8) | |
Corporate securities | Fixed-maturity securities | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 30 | 41 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 2 | (6) | |
Other comprehensive income (loss) | 16 | (5) | |
Purchases | 0 | 0 | |
Sales | (48) | 0 | |
Settlements | 0 | 0 | |
Consolidations | 0 | 0 | |
Deconsolidations | 0 | ||
Transfers out of Level 3 | 0 | ||
Fair value at end of period | 0 | 30 | |
Corporate securities | Other Comprehensive Income (Loss) | Fixed-maturity securities | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | 0 | (5) | |
RMBS | Fixed-maturity securities | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 255 | 308 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 16 | 15 | |
Other comprehensive income (loss) | (1) | (22) | |
Purchases | 0 | 0 | |
Sales | 0 | 0 | |
Settlements | (54) | (46) | |
Consolidations | 0 | 0 | |
Deconsolidations | 0 | ||
Transfers out of Level 3 | 0 | ||
Fair value at end of period | 216 | 255 | |
RMBS | Other Comprehensive Income (Loss) | Fixed-maturity securities | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | (1) | (20) | |
Asset-backed securities | Fixed-maturity securities | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 940 | 658 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 18 | 25 | |
Other comprehensive income (loss) | (5) | (7) | |
Purchases | 344 | 384 | |
Sales | (142) | (102) | |
Settlements | (292) | (17) | |
Consolidations | 0 | 0 | |
Deconsolidations | 0 | ||
Transfers out of Level 3 | (1) | ||
Fair value at end of period | 863 | 940 | |
Asset-backed securities | Other Comprehensive Income (Loss) | Fixed-maturity securities | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | $ (6) | $ (4) |
Fair Value Measurement - Quanti
Fair Value Measurement - Quantitative Information - Assets (Details) - Level 3 $ in Millions | 12 Months Ended | |
Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) | |
Obligations of state and political subdivisions | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 72 | $ 101 |
Obligations of state and political subdivisions | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.40% | 6.40% |
Obligations of state and political subdivisions | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 24.50% | 33.40% |
Obligations of state and political subdivisions | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 6.20% | 12.80% |
RMBS | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 216 | $ 255 |
RMBS | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.80% | 3.70% |
RMBS | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 5.60% | 5.90% |
RMBS | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.50% | 4.50% |
Life insurance transactions | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 367 | |
Yield (as a percent) | 5.00% | |
CLO contracts | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 458 | $ 532 |
Others | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 38 | $ 41 |
Others | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.20% | 2.60% |
Others | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.90% | 9.00% |
Others | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.90% | 9.00% |
Financial Guarantee Variable Interest Entities | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 260 | $ 296 |
Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 1.40% | 1.90% |
Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 8.00% | 6.00% |
Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.60% | 4.80% |
Corporate securities | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 30 | |
Yield (as a percent) | 42.00% | |
Other | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 23 | $ 52 |
Fair value inputs term | 10 years | 10 years |
Other | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 2.70% | 3.40% |
Other | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.30% | 4.20% |
Other | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.00% | 3.80% |
Other invested assets | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 6 | $ 5 |
Life insurance transactions | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 367 | |
Life insurance transactions | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 5.20% | |
Assets of Consolidated Investment Vehicles | Equity securities and warrants | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 239 | $ 2 |
Yield (as a percent) | 7.70% | 9.70% |
Assets of Consolidated Investment Vehicles | Corporate securities | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 16.40% | |
CPR | RMBS | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 0.00% | 0.40% |
CPR | RMBS | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 22.70% | 30.00% |
CPR | RMBS | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 10.40% | 7.10% |
CPR | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 0.90% | 0.90% |
CPR | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 24.50% | 19.00% |
CPR | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 13.30% | 9.40% |
CDR | RMBS | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 1.40% | 1.50% |
CDR | RMBS | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 12.00% | 9.90% |
CDR | RMBS | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 5.90% | 6.00% |
CDR | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 1.40% | 1.90% |
CDR | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 26.90% | 26.60% |
CDR | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 7.60% | 6.00% |
Loss severity | RMBS | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 50.00% | 45.00% |
Loss severity | RMBS | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 125.00% | 125.00% |
Loss severity | RMBS | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 84.90% | 83.60% |
Loss severity | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 45.00% | 45.00% |
Loss severity | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 100.00% | 100.00% |
Loss severity | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 81.60% | 81.50% |
Discount rate | CLO contracts | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 0.00% | 0.10% |
Discount rate | CLO contracts | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 2.90% | 3.10% |
Discount rate | CLO contracts | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 1.80% | 1.90% |
Discount rate | Corporate securities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 14.70% | |
Discount rate | Corporate securities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 21.40% | |
Discount rate | Corporate securities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 17.80% | |
Discount rate | Assets of Consolidated Investment Vehicles | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 91 | |
Discount rate | Assets of Consolidated Investment Vehicles | Equity securities and warrants | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 14.70% | |
Discount rate | Assets of Consolidated Investment Vehicles | Equity securities and warrants | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 23.90% | |
Discount rate | Assets of Consolidated Investment Vehicles | Equity securities and warrants | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 21.60% | |
Multiple enterprise/revenue value | Equity securities and warrants | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 185.00% | |
Multiple enterprise/revenue value | Assets of Consolidated Investment Vehicles | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.10000 | |
Measurement Input, EBITDA Multiple | Assets of Consolidated Investment Vehicles | Minimum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 3 | |
Measurement Input, EBITDA Multiple | Assets of Consolidated Investment Vehicles | Maximum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 10.50 | |
Measurement Input, EBITDA Multiple | Assets of Consolidated Investment Vehicles | Weighted Average | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 8.95000 |
Fair Value Measurement - Quan_2
Fair Value Measurement - Quantitative Information - Liabilities (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Credit derivative liabilities, net | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs internal floor | 0.088% | |
Credit derivative liabilities, net | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs hedge cost | 0.08% | 0.19% |
Fair value inputs bank profit | 0.00% | 0.47% |
Fair value inputs internal floor | 0.15% | |
Credit derivative liabilities, net | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs hedge cost | 0.371% | 0.99% |
Fair value inputs bank profit | 1.878% | 3.29% |
Fair value inputs internal floor | 0.30% | |
Credit derivative liabilities, net | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs hedge cost | 0.126% | 0.32% |
Fair value inputs bank profit | 0.679% | 0.93% |
Fair value inputs internal floor | 0.21% | |
Level 3 | Valuation, Income Approach | Equity securities and warrants | Assets of Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.70% | 9.70% |
Level 3 | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 42.00% | |
Level 3 | Valuation, Income Approach | Corporate securities | Assets of Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 16.40% | |
Level 3 | Credit derivative liabilities, net | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs internal floor | 880.00% | |
Level 3 | Credit derivative liabilities, net | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (154) | $ (100) |
Level 3 | Credit derivative liabilities, net | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs hedge cost | 800.00% | |
Fair value inputs bank profit | 0.00% | |
Level 3 | Credit derivative liabilities, net | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 0.00% | 0.00% |
Level 3 | Credit derivative liabilities, net | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs hedge cost | 3710.00% | |
Fair value inputs bank profit | 18780.00% | |
Level 3 | Credit derivative liabilities, net | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 85.80% | 85.00% |
Level 3 | Credit derivative liabilities, net | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs hedge cost | 1260.00% | |
Fair value inputs bank profit | 6790.00% | |
Level 3 | Credit derivative liabilities, net | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 0.10% | 1.90% |
Level 3 | Financial Guarantee Variable Interest Entities | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (289) | $ (333) |
Level 3 | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 1.40% | 1.90% |
Level 3 | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 8.00% | 6.20% |
Level 3 | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.70% | 3.80% |
Level 3 | CLO contracts | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (3,665) | $ (1,227) |
Level 3 | CLO contracts | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 1.60% | |
Level 3 | CLO contracts | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 13.70% | |
Level 3 | CLO contracts | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 2.10% | |
Level 3 | Liabilities of CIVs | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 2.20% | |
Level 3 | Liabilities of CIVs | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 15.20% | |
Level 3 | Liabilities of CIVs | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 2.50% | |
Level 3 | Warehouse Financing Debt | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (23) | |
Level 3 | Warehouse Financing Debt | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 12.60% | |
Level 3 | Warehouse Financing Debt | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 16.00% | |
Level 3 | Warehouse Financing Debt | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 13.80% | |
Level 3 | Borrowings | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (17) | |
Discount rate | Level 3 | Minimum | Valuation, Income Approach | Equity securities and warrants | Assets of Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 14.70% | |
Discount rate | Level 3 | Minimum | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 14.70% | |
Discount rate | Level 3 | Maximum | Valuation, Income Approach | Equity securities and warrants | Assets of Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 23.90% | |
Discount rate | Level 3 | Maximum | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 21.40% | |
Discount rate | Level 3 | Weighted Average | Valuation, Income Approach | Equity securities and warrants | Assets of Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 21.60% | |
Discount rate | Level 3 | Weighted Average | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 17.80% | |
Discount rate | Level 3 | Borrowings | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 23.90% | |
CPR | Level 3 | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 0.90% | 0.90% |
CPR | Level 3 | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 24.50% | 19.00% |
CPR | Level 3 | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 13.30% | 9.40% |
CDR | Level 3 | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 1.40% | 1.90% |
CDR | Level 3 | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 26.90% | 26.60% |
CDR | Level 3 | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 7.60% | 6.00% |
Loss severity | Level 3 | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 45.00% | 45.00% |
Loss severity | Level 3 | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 100.00% | 100.00% |
Loss severity | Level 3 | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 81.60% | 81.50% |
Multiple enterprise/revenue value | Level 3 | Valuation, Income Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 185.00% | |
Multiple enterprise/revenue value | Level 3 | Liabilities of CIVs | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 10.50 |
Fair Value Measurement - Fair_2
Fair Value Measurement - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Other assets | $ 132 | $ 145 |
Repurchase agreement liability | 37 | |
Carrying Amount | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Other assets | 134 | 84 |
Financial guaranty insurance contracts | (2,394) | (2,464) |
Long-term debt | (1,673) | (1,224) |
Other liabilities | (45) | (27) |
Carrying Amount | Consolidated Investment Vehicles | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Assets of CIVs | 171 | 152 |
Liabilities of CIVs | (586) | (290) |
Estimated Fair Value | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Other assets | 135 | 86 |
Financial guaranty insurance contracts | (2,315) | (3,882) |
Long-term debt | (1,832) | (1,561) |
Other liabilities | (45) | (27) |
Estimated Fair Value | Consolidated Investment Vehicles | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Assets of CIVs | 171 | 152 |
Liabilities of CIVs | $ (586) | $ (290) |
Asset Management Fees - Narrati
Asset Management Fees - Narrative (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Asset Management Fees | ||
Disaggregation of Revenue [Line Items] | ||
Performance fees, net profits in excess of high water mark and credit for management fees, percent | 30.00% | |
Management fee, interest and principal proceeds after incentive management fee threshold, percent | 20.00% | |
Asset Management Fees | Minimum | ||
Disaggregation of Revenue [Line Items] | ||
Cash received by investors in excess of benchmarks, percent | 0.25% | |
Performance fee, net profit in excess of high water mark of respective fund, percent | 10.00% | |
Performance fee, cash received by investors in excess of benchmarks, percent | 18.00% | |
Asset Management Fees | Maximum | ||
Disaggregation of Revenue [Line Items] | ||
Management fee, net asset value of respective funds, percent | 2.00% | |
Cash received by investors in excess of benchmarks, percent | 0.50% | |
Performance fee, net profit in excess of high water mark of respective fund, percent | 20.00% | |
Performance fee, cash received by investors in excess of benchmarks, percent | 30.00% | |
Asset Management and Performance Allocation Fees | ||
Disaggregation of Revenue [Line Items] | ||
Management and performance fees receivable | $ 8,000,000 | $ 5,000,000 |
Unearned revenues | $ 0 | $ 0 |
Asset Management Fees - Asset M
Asset Management Fees - Asset Management Fees (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Disaggregation of Revenue [Line Items] | |||
Asset management fees | $ 88 | $ 89 | $ 22 |
CLOs | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 41 | 21 | 3 |
Opportunity funds and liquid strategies | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 17 | 8 | 2 |
Wind-down funds | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 7 | 25 | 13 |
Asset management fees | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 65 | 54 | 18 |
Performance fees | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 1 | 0 | 4 |
Reimbursable fund expenses | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 22 | 35 | 0 |
CLOs, before rebates | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | $ 47 | $ 40 | $ 11 |
Goodwill and Other Intangible_3
Goodwill and Other Intangible Assets - Schedule of Finite-lived Intangible Assets (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Finite-Lived Intangible Assets [Line Items] | ||
Goodwill | $ 117 | $ 117 |
Useful life | 5 years 4 months 24 days | |
Finite-lived intangible assets, gross | $ 82 | 82 |
Accumulated amortization | (30) | (18) |
Finite-lived intangible assets, net | 52 | 64 |
Indefinite-lived intangible assets (insurance licenses) | 6 | 22 |
Total goodwill and other intangible assets | 175 | 203 |
Goodwill deductible for tax purposes | $ 99 | 107 |
CLO contracts | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 6 years 9 months 18 days | |
Finite-lived intangible assets, gross | $ 42 | 42 |
Investment management contracts | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 2 years 6 months | |
Finite-lived intangible assets, gross | $ 24 | 24 |
CLO distribution network | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 2 years 9 months 18 days | |
Finite-lived intangible assets, gross | $ 9 | 9 |
Trade name | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 7 years 9 months 18 days | |
Finite-lived intangible assets, gross | $ 3 | 3 |
Favorable sublease | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 2 years 2 months 12 days | |
Finite-lived intangible assets, gross | $ 1 | 1 |
Lease-related intangibles | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 5 years 2 months 12 days | |
Finite-lived intangible assets, gross | $ 3 | $ 3 |
Goodwill and Other Intangible_4
Goodwill and Other Intangible Assets - Narrative (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Finite-Lived Intangible Assets [Line Items] | ||||
Goodwill impairment | $ 0 | |||
Amortization expense | $ 12,000,000 | $ 13,000,000 | $ 3,000,000 | |
MAC | ||||
Finite-Lived Intangible Assets [Line Items] | ||||
Intangible asset write-off | $ 16,000,000 |
Goodwill and Other Intangible_5
Goodwill and Other Intangible Assets - Finite-lived Intangible Assets, Future Amortization Expense (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Goodwill and Intangible Assets Disclosure [Abstract] | ||
2022 | $ 11 | |
2023 | 11 | |
2024 | 10 | |
2025 | 6 | |
2026 | 5 | |
Thereafter | 9 | |
Finite-lived intangible assets, net | $ 52 | $ 64 |
Long-Term Debt and Credit Fac_3
Long-Term Debt and Credit Facilities - Narrative (Details) | Feb. 03, 2022USD ($) | Sep. 27, 2021USD ($) | Aug. 20, 2021USD ($) | Jul. 09, 2021USD ($) | May 26, 2021USD ($) | Jun. 20, 2014USD ($) | Dec. 20, 2006USD ($)period | Nov. 22, 2006USD ($)extensionrISK | May 18, 2004USD ($) | Dec. 31, 2021USD ($)Trust | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | Jul. 31, 2003USD ($) | Nov. 26, 2002USD ($) | Dec. 19, 2001USD ($) |
Debt Instrument [Line Items] | |||||||||||||||
Repayments of long-term debt | $ 620,000,000 | $ 22,000,000 | $ 4,000,000 | ||||||||||||
Loss on extinguishment of debt | $ 175,000,000 | 0 | $ 0 | ||||||||||||
AGC Trust Preferred Securities | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Basis points | 2.50% | ||||||||||||||
AGM Trust Preferred Securities | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Basis points | 2.00% | ||||||||||||||
AGUS (Issuer | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Debt instrument, fair value disclosure | $ 154,000,000 | 154,000,000 | |||||||||||||
AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Repayments of long-term debt | $ 200,000,000 | ||||||||||||||
Loss on extinguishment of debt | 175,000,000 | ||||||||||||||
Loss on extinguishment of debt, net of tax | 138,000,000 | ||||||||||||||
Acceleration of unamortized fair value adjustments | $ 156,000,000 | ||||||||||||||
AGM and AGC | AGM CPS securities | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Number of custodial trusts | Trust | 4 | ||||||||||||||
Maximum stock purchase obligation of each custodial trust | $ 200,000,000 | ||||||||||||||
Aggregate maximum stock purchase obligation of the custodial trusts | $ 50,000,000 | ||||||||||||||
AGC | AGM CPS securities | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Rate basis for income distributions | one-month LIBOR | ||||||||||||||
Assured Guaranty Municipal Corp | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Principal | $ 1,728,000,000 | 1,429,000,000 | |||||||||||||
Assured Guaranty Municipal Corp | AGM CPS securities | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Rate basis for income distributions | one-month LIBOR | ||||||||||||||
Junior Subordinated Debt | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Principal | $ 146,000,000 | 146,000,000 | |||||||||||||
Junior Subordinated Debt | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Principal | $ 300,000,000 | ||||||||||||||
Effective interest rate of debt (as a percent) | 6.40% | ||||||||||||||
Interest rate, added to base rate (as a percent) | 2.215% | ||||||||||||||
Number of times interest payment may be deferred | 1 | ||||||||||||||
Number of consecutive periods for which interest payments may be deferred | rISK | 1 | ||||||||||||||
Period for which interest payment may be deferred (in years) | 10 years | ||||||||||||||
Number of times repayment date may be extended | extension | 4 | ||||||||||||||
Repayment date extension measurement period | 5 years | ||||||||||||||
Notes Payable, Other Payables | Assured Guaranty Municipal Corp | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Principal | $ 2,000,000 | 3,000,000 | |||||||||||||
7% Senior Notes | Senior Notes | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 700.00% | 7.00% | |||||||||||||
Principal | $ 200,000,000 | $ 200,000,000 | 200,000,000 | ||||||||||||
Net proceeds from issuance of debt | $ 197,000,000 | ||||||||||||||
Effective interest rate of debt (as a percent) | 6.40% | ||||||||||||||
5% Senior Notes | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Payment for debt extinguishment | $ 19,000,000 | ||||||||||||||
5% Senior Notes | Senior Notes | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 500.00% | 5.00% | |||||||||||||
Principal | $ 500,000,000 | $ 500,000,000 | $ 330,000,000 | 500,000,000 | |||||||||||
Net proceeds from issuance of debt | $ 495,000,000 | ||||||||||||||
Repayments of long-term debt | 170,000,000 | ||||||||||||||
3.15% Senior Notes | Senior Notes | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 3.15% | 3.15% | |||||||||||||
Principal | $ 400,000,000 | $ 500,000,000 | $ 500,000,000 | 0 | |||||||||||
Net proceeds from issuance of debt | $ 494,000,000 | ||||||||||||||
Redemption price percentage | 100.00% | ||||||||||||||
Enhanced Junior Subordinated Debentures | Junior Subordinated Debt | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Principal | $ 150,000,000 | ||||||||||||||
Interest rate, added to base rate (as a percent) | 2.38% | ||||||||||||||
Number of times interest payment may be deferred | 1 | ||||||||||||||
Number of consecutive periods for which interest payments may be deferred | period | 1 | ||||||||||||||
Period for which interest payment may be deferred (in years) | 10 years | ||||||||||||||
Enhanced Junior Subordinated Debentures | Junior Subordinated Debt | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Period prior to final repayment date before which debt cannot be repaid, redeemed, repurchased or defeased (in years) | 20 years | ||||||||||||||
6.875% QUIBS | Corporate securities | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Repayments of long-term debt | 100,000,000 | ||||||||||||||
6.875% QUIBS | Corporate securities | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 6.875% | ||||||||||||||
Principal | $ 0 | 100,000,000 | $ 100,000,000 | ||||||||||||
6.25% Notes | Notes Payable, Other Payables | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Principal | 230,000,000 | ||||||||||||||
Repayments of long-term debt | 130,000,000 | $ 100,000,000 | |||||||||||||
6.25% Notes | Notes Payable, Other Payables | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 6.25% | 625.00% | |||||||||||||
Principal | $ 0 | 230,000,000 | $ 230,000,000 | ||||||||||||
5.6% Notes | Corporate securities | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Repayments of long-term debt | 100,000,000 | ||||||||||||||
5.6% Notes | Notes Payable, Other Payables | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 5.60% | 560.00% | |||||||||||||
Principal | $ 0 | 100,000,000 | $ 100,000,000 | ||||||||||||
3.6% Senior Notes | Senior Notes | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 3.60% | 3.60% | |||||||||||||
Principal | $ 400,000,000 | $ 0 | |||||||||||||
Net proceeds from issuance of debt | $ 395,000,000 | ||||||||||||||
Repayments of long-term debt | $ 400,000,000 | ||||||||||||||
Redemption price percentage | 100.00% | ||||||||||||||
Short Term Loan Facility | 6 Months | Letter of Credit | Subsequent Event | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Maximum borrowing capacity | $ 150,000,000 | ||||||||||||||
Maximum borrowing duration | 6 months | ||||||||||||||
Short Term Loan Facility | One Month | Letter of Credit | Subsequent Event | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Maximum borrowing capacity | $ 550,000,000 | ||||||||||||||
Maximum borrowing duration | 1 month | ||||||||||||||
Short Term Loan Facility | One Month | Letter of Credit | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | Subsequent Event | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate, added to base rate (as a percent) | 1.10% |
Long-Term Debt and Credit Fac_4
Long-Term Debt and Credit Facilities - Principal and Carrying Amounts of Debt (Details) - USD ($) | Dec. 31, 2021 | Sep. 27, 2021 | Aug. 20, 2021 | Jul. 09, 2021 | May 26, 2021 | Dec. 31, 2020 | Jun. 20, 2014 | Nov. 22, 2006 | May 18, 2004 | Jul. 31, 2003 | Nov. 26, 2002 | Dec. 19, 2001 |
Debt Instrument [Line Items] | ||||||||||||
Carrying Value | $ (1,673,000,000) | $ (1,224,000,000) | ||||||||||
Assured Guaranty Municipal Corp | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Principal | 1,728,000,000 | 1,429,000,000 | ||||||||||
Carrying Value | $ (1,673,000,000) | (1,224,000,000) | ||||||||||
Senior Notes | AGC | 7% Senior Notes | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest rate of debt (as a percent) | 7.00% | 700.00% | ||||||||||
Principal | $ 200,000,000 | 200,000,000 | $ 200,000,000 | |||||||||
Carrying Value | $ (197,000,000) | (197,000,000) | ||||||||||
Senior Notes | AGC | 5% Senior Notes | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest rate of debt (as a percent) | 5.00% | 500.00% | ||||||||||
Principal | $ 330,000,000 | $ 500,000,000 | 500,000,000 | $ 500,000,000 | ||||||||
Carrying Value | $ (329,000,000) | (498,000,000) | ||||||||||
Senior Notes | AGC | 3.15% Senior Notes | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest rate of debt (as a percent) | 3.15% | 3.15% | ||||||||||
Principal | $ 500,000,000 | $ 400,000,000 | $ 500,000,000 | 0 | ||||||||
Carrying Value | $ (495,000,000) | 0 | ||||||||||
Senior Notes | AGC | 3.6% Senior Notes | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest rate of debt (as a percent) | 3.60% | 3.60% | ||||||||||
Principal | $ 400,000,000 | 0 | ||||||||||
Carrying Value | (395,000,000) | 0 | ||||||||||
Enhanced Junior Subordinated Debentures | AGC | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Principal | 150,000,000 | 150,000,000 | ||||||||||
Carrying Value | $ (150,000,000) | (150,000,000) | ||||||||||
Corporate securities | AGMH | 6.875% QUIBS | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest rate of debt (as a percent) | 6.875% | |||||||||||
Principal | $ 0 | 100,000,000 | $ 100,000,000 | |||||||||
Carrying Value | $ 0 | (71,000,000) | ||||||||||
Notes Payable, Other Payables | AGC | 6.25% Notes | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Principal | $ 230,000,000 | |||||||||||
Notes Payable, Other Payables | AGMH | 6.25% Notes | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest rate of debt (as a percent) | 6.25% | 625.00% | ||||||||||
Principal | $ 0 | 230,000,000 | $ 230,000,000 | |||||||||
Carrying Value | $ 0 | (145,000,000) | ||||||||||
Notes Payable, Other Payables | AGMH | 5.6% Notes | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest rate of debt (as a percent) | 5.60% | 560.00% | ||||||||||
Principal | $ 0 | 100,000,000 | $ 100,000,000 | |||||||||
Carrying Value | 0 | (58,000,000) | ||||||||||
Notes Payable, Other Payables | Assured Guaranty Municipal Corp | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Principal | 2,000,000 | 3,000,000 | ||||||||||
Carrying Value | (2,000,000) | (3,000,000) | ||||||||||
Junior Subordinated Debentures | AGC | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Principal | 146,000,000 | 146,000,000 | ||||||||||
Carrying Value | $ (105,000,000) | $ (102,000,000) | ||||||||||
Junior Subordinated Debentures | AGMH | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Principal | $ 300,000,000 |
Long-Term Debt and Credit Fac_5
Long-Term Debt and Credit Facilities - Expected Maturity Schedule of Debt (Details) $ in Millions | Dec. 31, 2021USD ($) |
Debt Disclosure [Abstract] | |
2022 | $ 1 |
2023 | 0 |
2024 | 330 |
2025 | 1 |
2026 | 0 |
2027-2046 | 700 |
2047-2066 | 696 |
Total | $ 1,728 |
Long-Term Debt and Credit Fac_6
Long-Term Debt and Credit Facilities - Interest Expense (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | |||
Interest expense | $ 87 | $ 85 | $ 89 |
Senior Notes | AGC | 7% Senior Notes | |||
Debt Instrument [Line Items] | |||
Interest expense | 13 | 13 | 13 |
Senior Notes | AGC | 5% Senior Notes | |||
Debt Instrument [Line Items] | |||
Interest expense | 23 | 26 | 26 |
Senior Notes | AGC | 3.15% Senior Notes | |||
Debt Instrument [Line Items] | |||
Interest expense | 10 | 0 | 0 |
Senior Notes | AGC | 3.6% Senior Notes | |||
Debt Instrument [Line Items] | |||
Interest expense | 5 | 0 | 0 |
Enhanced Junior Subordinated Debentures | AGC | |||
Debt Instrument [Line Items] | |||
Interest expense | 4 | 5 | 7 |
Corporate securities | AGMH | 6.875% QUIBS | |||
Debt Instrument [Line Items] | |||
Interest expense | 4 | 7 | 7 |
Notes Payable, Other Payables | AGMH | 6.25% Notes | |||
Debt Instrument [Line Items] | |||
Interest expense | 10 | 15 | 16 |
Notes Payable, Other Payables | AGMH | 5.6% Notes | |||
Debt Instrument [Line Items] | |||
Interest expense | 5 | 6 | 6 |
Junior Subordinated Debentures | AGMH | |||
Debt Instrument [Line Items] | |||
Interest expense | 12 | 13 | 14 |
Other | Other | |||
Debt Instrument [Line Items] | |||
Interest expense | $ 1 | $ 0 | $ 0 |
Employee Benefit Plans - Narrat
Employee Benefit Plans - Narrative (Details) - USD ($) | 12 Months Ended | 96 Months Ended | 120 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2021 | Dec. 31, 2021 | |
Employee benefit plans [Line Items] | |||||
Recognized contribution expense | $ 20,000,000 | $ 20,000,000 | $ 12,000,000 | ||
U.S. | |||||
Employee benefit plans [Line Items] | |||||
Number of years of service to become fully vested | 1 year | ||||
401 (k) Plan | U.S. | |||||
Employee benefit plans [Line Items] | |||||
Percentage by which employer contribution matches up to 6% of participant's compensation | 100.00% | ||||
Maximum percentage of participant's compensation eligible for employer contribution match | 7.00% | 7.00% | 6.00% | ||
Core contribution made by the company as a percentage of participant's compensation | 7.00% | 7.00% | 6.00% | ||
Nonqualified Supplemental Executive Retirement Plan | U.S. | |||||
Employee benefit plans [Line Items] | |||||
Percentage by which employer contribution matches up to 6% of participant's compensation | 100.00% | ||||
Maximum percentage of participant's compensation eligible for employer contribution match | 6.00% | ||||
Core contribution made by the company as a percentage of participant's compensation | 6.00% | ||||
Stock Options | |||||
Employee benefit plans [Line Items] | |||||
Options granted (in shares) | 0 | ||||
Time vested options outstanding (in shares) | 15,979 | ||||
Options exercised (in dollars per share) | $ 21.88 | ||||
Total intrinsic value of awards exercised | $ 200,000 | $ 1,000,000 | $ 8,200,000 | ||
Proceeds from option exercises | 20,000 | 900,000 | 2,300,000 | ||
Restricted Stock Units (RSUs) | |||||
Employee benefit plans [Line Items] | |||||
Unrecognized compensation expense | $ 21,000,000 | $ 21,000,000 | $ 21,000,000 | ||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 1 year 9 months 18 days | ||||
Total fair value of awards delivered | $ 12,000,000 | $ 11,000,000 | $ 11,000,000 | ||
Granted (in dollars per share) | $ 44.08 | $ 41.31 | $ 44.40 | ||
Performance Restricted Stock Units | |||||
Employee benefit plans [Line Items] | |||||
Unrecognized compensation expense | $ 21,000,000 | 21,000,000 | 21,000,000 | ||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 1 year 9 months 18 days | ||||
Total fair value of awards delivered | $ 9,000,000 | $ 8,000,000 | $ 6,000,000 | ||
Granted (in dollars per share) | $ 52.04 | $ 25.70 | |||
Vesting period of awards (in years) | 3 years | ||||
Vesting percentage | 100.00% | ||||
Performance Restricted Stock Units | Minimum | |||||
Employee benefit plans [Line Items] | |||||
Vesting from prior period, percentage | 0.00% | ||||
Performance Restricted Stock Units | Maximum | Total shareholder return based | |||||
Employee benefit plans [Line Items] | |||||
Vesting percentage | 250.00% | ||||
Performance Restricted Stock Units | Maximum | Adjusted book value growth based | |||||
Employee benefit plans [Line Items] | |||||
Vesting percentage | 200.00% | ||||
Performance Restricted Stock Units, Tied to Relative TSR | |||||
Employee benefit plans [Line Items] | |||||
Granted (in dollars per share) | $ 52.04 | 41.03 | $ 44 | ||
Restricted Stock Awards | |||||
Employee benefit plans [Line Items] | |||||
Unrecognized compensation expense | $ 800,000 | 800,000 | $ 800,000 | ||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 3 months 18 days | ||||
Granted (in dollars per share) | $ 51.34 | $ 28.12 | $ 45.98 | ||
Total fair value of awards vested | $ 1,900,000 | $ 2,300,000 | $ 1,800,000 | ||
Restricted Stock Awards | Director [Member] | |||||
Employee benefit plans [Line Items] | |||||
Vesting period of awards (in years) | 1 year | ||||
Restricted Stock Awards | Minimum | |||||
Employee benefit plans [Line Items] | |||||
Vesting period of awards (in years) | 3 years | ||||
Restricted Stock Awards | Maximum | |||||
Employee benefit plans [Line Items] | |||||
Vesting period of awards (in years) | 4 years | ||||
Performance Stock Options | |||||
Employee benefit plans [Line Items] | |||||
Options granted (in shares) | 0 | ||||
Options outstanding and exercisable | $ 0 | $ 0 | $ 0 | $ 0 | |
Assured Guaranty Ltd. 2004 Long-Term Incentive Plan | |||||
Employee benefit plans [Line Items] | |||||
Maximum number of common shares that may be delivered (in shares) | 18,670,000 | 18,670,000 | 18,670,000 | ||
Assured Guaranty Ltd. 2004 Long-Term Incentive Plan | Stock Options | |||||
Employee benefit plans [Line Items] | |||||
Number of common shares available for grant (in shares) | 8,449,295 | 8,449,295 | 8,449,295 | ||
Employee Stock Purchase Plan | Employee Stock | |||||
Employee benefit plans [Line Items] | |||||
Number of common shares available for grant (in shares) | 118,495 | 118,495 | 118,495 | ||
Value of shares that can be purchased as a percentage of participant's compensation | 10.00% | 10.00% | 10.00% | ||
Value of shares that can be purchased | $ 25,000 | $ 25,000 | $ 25,000 | ||
Purchase price of shares as a percentage of the fair market value of the stock | 85.00% | ||||
Capital shares reserved for future issuance (in shares) | 850,000 | 850,000 | 850,000 |
Employee Benefit Plans - Awards
Employee Benefit Plans - Awards Activity (Details) - $ / shares | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Restricted Stock Units (RSUs) | |||
Restricted Stock Award and Restricted Stock Unit Activity | |||
Nonvested at the beginning of the period (in shares) | 936,449 | ||
Granted (in shares) | 340,787 | ||
Vested (in shares) | (311,683) | ||
Forfeited (in shares) | (59,251) | ||
Nonvested at the end of the period (in shares) | 906,302 | 936,449 | |
Weighted Average Grant-Date Fair Value | |||
Nonvested at the beginning of the period (in dollars per share) | $ 41.68 | ||
Granted (in dollars per share) | 44.08 | $ 41.31 | $ 44.40 |
Vested (in dollars per share) | 38.77 | ||
Forfeited (in dollars per share) | 46.89 | ||
Nonvested at the end of the period (in dollars per share) | $ 43.25 | $ 41.68 | |
Performance Restricted Stock Units | |||
Restricted Stock Award and Restricted Stock Unit Activity | |||
Nonvested at the beginning of the period (in shares) | 568,957 | ||
Granted (in shares) | 378,394 | 142,222 | |
Vested (in shares) | (332,439) | ||
Forfeited (in shares) | 0 | ||
Nonvested at the end of the period (in shares) | 614,912 | 568,957 | |
Weighted Average Grant-Date Fair Value | |||
Nonvested at the beginning of the period (in dollars per share) | $ 43.64 | ||
Granted (in dollars per share) | 52.04 | $ 25.70 | |
Vested (in dollars per share) | 26.11 | ||
Forfeited (in dollars per share) | 0 | ||
Nonvested at the end of the period (in dollars per share) | $ 46.25 | $ 43.64 | |
Excluded due to nonperformance (in shares) | 69,817 | ||
Restricted Stock Awards | |||
Restricted Stock Award and Restricted Stock Unit Activity | |||
Nonvested at the beginning of the period (in shares) | 68,098 | ||
Granted (in shares) | 44,797 | ||
Vested (in shares) | (68,098) | ||
Forfeited (in shares) | 0 | ||
Nonvested at the end of the period (in shares) | 44,797 | 68,098 | |
Weighted Average Grant-Date Fair Value | |||
Nonvested at the beginning of the period (in dollars per share) | $ 28.12 | ||
Granted (in dollars per share) | 51.34 | $ 28.12 | $ 45.98 |
Vested (in dollars per share) | 28.12 | ||
Forfeited (in dollars per share) | 0 | ||
Nonvested at the end of the period (in dollars per share) | $ 51.34 | $ 28.12 |
Employee Benefit Plans - Stock
Employee Benefit Plans - Stock Purchase Plan (Details) - Employee Stock - Employee Stock Purchase Plan - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Employee benefit plans [Line Items] | |||
Proceeds from purchase of shares by employees | $ 2.1 | $ 1.5 | $ 1.5 |
Number of shares issued by the Company (in shares) | 67,615 | 72,797 | 40,732 |
Employee Benefit Plans - Share-
Employee Benefit Plans - Share-Based Compensation Expense (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Share-based Payment Arrangement [Abstract] | |||
Share‑based compensation expense | $ 27 | $ 25 | $ 21 |
Share‑based compensation capitalized as DAC | 2 | 1 | 1 |
Income tax benefit | $ 4 | $ 4 | $ 3 |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Taxes [Line Items] | |||
Operating loss carryforwards | $ 131 | ||
Tax credit carryforwards, foreign | 24 | ||
FTC that are more than likely to not be utilized | 24 | ||
Decrease in valuation allowance | $ 0 | $ 0 | |
Realization assessment period | 3 years | ||
Interest and penalties related to uncertain tax positions | $ 0 | $ 0.3 | 1 |
Accrued interest for uncertain tax positions | 0 | 0 | |
Unrecognized tax benefits that would impact effective tax rate | 0 | $ 0 | $ 17 |
CIFG Holding Inc. | |||
Income Taxes [Line Items] | |||
Operating loss carryforwards | $ 189 | ||
United Kingdom | |||
Income Taxes [Line Items] | |||
Corporate tax rate | 19.00% | ||
Foreign Tax Authority | |||
Income Taxes [Line Items] | |||
Corporate tax rate | 21.00% | ||
France | |||
Income Taxes [Line Items] | |||
Corporate tax rate | 27.50% | 28.00% |
Income Taxes - Deferred and Cur
Income Taxes - Deferred and Current Tax Assets (Liabilities) (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Income Tax Disclosure [Abstract] | ||
Net deferred tax assets (liabilities) | $ (33) | $ (100) |
Net current tax assets (liabilities) | $ (43) | $ 21 |
Income Taxes - Components of Ne
Income Taxes - Components of Net Deferred Tax Assets (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Deferred tax assets: | |||
Unearned premium reserves, net | $ 51 | $ 56 | |
Investment basis differences | 0 | 47 | |
Rent | 17 | 24 | |
Foreign tax credit | 24 | 24 | |
Net operating loss | 28 | 33 | |
Depreciation | 27 | 0 | |
Deferred compensation | 29 | 29 | |
Other | 19 | 4 | |
Total deferred tax assets | 195 | 217 | |
Deferred tax liabilities: | |||
Unrealized appreciation on investments | 74 | 102 | |
Discount on long-term debt | 7 | 41 | |
Market discount on investments | 25 | 42 | |
DAC | 20 | 22 | |
Investment basis differences | 5 | 0 | |
Loss and LAE reserve | 44 | 44 | |
Lease | 16 | 17 | |
Unrealized gains on CCS | 5 | 11 | |
Other | 8 | 14 | |
Total deferred tax liabilities | 204 | 293 | |
Less: Valuation allowance | 24 | 24 | $ 36 |
Net deferred tax assets (liabilities) | $ (33) | $ (100) |
Income Taxes - Effective Tax Ra
Income Taxes - Effective Tax Rate Reconciliation and Pretax Income (Loss) and Revenue by Tax Jurisdiction (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Pre-tax Income Taxes and Revenue [Line Items] | |||
Expected tax provision (benefit) | $ 76 | $ 83 | $ 91 |
Tax-exempt interest | (19) | (20) | (19) |
Change in liability for uncertain tax positions | 0 | (17) | 1 |
Effect of provision to tax return filing adjustments | (4) | (7) | (6) |
Non-controlling interest | (8) | (1) | 0 |
State taxes | 7 | 4 | 1 |
Taxes on reinsurance | (2) | 9 | (5) |
Foreign taxes | 8 | (3) | 6 |
Other | 0 | (3) | (6) |
Total provision (benefit) for income taxes | $ 58 | $ 45 | $ 63 |
Effective tax rate | 12.20% | 10.90% | 13.70% |
Total | $ 477 | $ 413 | $ 464 |
Total revenues | 848 | 1,115 | 963 |
U.S. | |||
Pre-tax Income Taxes and Revenue [Line Items] | |||
Total | 378 | 385 | 440 |
Total revenues | 685 | 894 | 779 |
Bermuda | |||
Pre-tax Income Taxes and Revenue [Line Items] | |||
Total | 115 | 16 | 33 |
Total revenues | 123 | 151 | 146 |
U.K. | |||
Pre-tax Income Taxes and Revenue [Line Items] | |||
Total | (8) | 13 | (8) |
Total revenues | 41 | 60 | 36 |
Other | |||
Pre-tax Income Taxes and Revenue [Line Items] | |||
Total | (8) | (1) | (1) |
Total revenues | $ (1) | $ 10 | $ 2 |
Income Taxes - Uncertain Tax Po
Income Taxes - Uncertain Tax Positions (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Reconciliation of Unrecognized Tax Benefits, Excluding Amounts Pertaining to Examined Tax Returns [Roll Forward] | |||
Beginning of year | $ 0 | $ 15 | $ 14 |
Effect of provision to tax return filing adjustments | 0 | 0 | 5 |
Decrease in unrecognized tax positions as a result of settlement of positions taken during the prior period | 0 | (15) | 0 |
Reductions to unrecognized tax benefits as a result of the applicable statute of limitations | 0 | 0 | (4) |
Balance as of December 31, | $ 0 | $ 0 | $ 15 |
Insurance Company Regulatory _3
Insurance Company Regulatory Requirements - Narrative (Details) € in Millions, £ in Millions, $ in Millions | 12 Months Ended | ||||||||
Dec. 31, 2021USD ($) | Dec. 31, 2022USD ($) | Mar. 31, 2022USD ($) | Dec. 31, 2021GBP (£) | Dec. 31, 2021USD ($) | Dec. 31, 2021EUR (€) | Dec. 31, 2020GBP (£) | Dec. 31, 2020USD ($) | Dec. 31, 2020EUR (€) | |
AGUK | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Own Funds | £ 591 | $ 800 | £ 573 | $ 783 | |||||
AGE | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Own Funds | 66 | € 58 | $ 92 | € 75 | |||||
Assured Guaranty Municipal Corp And Municipal Assurance Corp | New York | |||||||||
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% | ||||||||
Assured Guaranty Municipal Corp | New York | Forecast | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, current year | $ 305 | ||||||||
Amount available for distribution, next fiscal quarter | $ 96 | ||||||||
AGC | Maryland | |||||||||
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% | ||||||||
AGC | Maryland | Forecast | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, next fiscal quarter | $ 126 | ||||||||
AGC | Maryland | AGC | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, current year | 207 | ||||||||
AG Re | Bermuda | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, current year | 236 | ||||||||
Dividend payment restrictions, percentage of statutory capital | 15.00% | ||||||||
Dividend restrictions on statutory capital and surplus (as a percent) | 25.00% | ||||||||
Capital distributions | $ 129 | ||||||||
Statutory surplus | 236 | ||||||||
Unencumbered assets | 165 | ||||||||
Statutory amount available for dividend payments | 86 | ||||||||
AGRO | Bermuda | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, current year | 106 | ||||||||
Capital distributions | $ 21 | ||||||||
Statutory surplus | 106 | ||||||||
Unencumbered assets | 421 | ||||||||
Statutory amount available for dividend payments | $ 288 |
Insurance Company Regulatory _4
Insurance Company Regulatory Requirements - Insurance Regulatory Amounts Reported (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Assured Guaranty Municipal Corp | |||
Statutory Accounting Practices [Line Items] | |||
Policyholders’ Surplus | $ 3,053 | $ 2,763 | |
Net Income (Loss) | 352 | 398 | $ 312 |
Statutory capital and surplus required | 877 | 1,012 | |
AGC | |||
Statutory Accounting Practices [Line Items] | |||
Policyholders’ Surplus | 2,070 | 1,717 | |
Net Income (Loss) | 282 | 73 | 226 |
Statutory capital and surplus required | 348 | 545 | |
AG Re | |||
Statutory Accounting Practices [Line Items] | |||
Policyholders’ Surplus | 944 | 1,026 | |
Net Income (Loss) | 121 | 24 | 45 |
AGRO | |||
Statutory Accounting Practices [Line Items] | |||
Policyholders’ Surplus | 425 | 429 | |
Net Income (Loss) | $ 6 | $ 7 | $ 12 |
MAC | Assured Guaranty Municipal Corp | Subsidiaries | |||
Statutory Accounting Practices [Line Items] | |||
Holding company's percent ownership of common stock | 60.70% | ||
MAC | AGC | Subsidiaries | |||
Statutory Accounting Practices [Line Items] | |||
Holding company's percent ownership of common stock | 39.30% |
Insurance Company Regulatory _5
Insurance Company Regulatory Requirements - Dividends and Surplus Notes By Insurance Company Subsidiaries (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Statutory Accounting Practices [Line Items] | |||
Dividends paid | $ 66 | $ 69 | $ 74 |
AGC | AGC | Affiliated Entity | |||
Statutory Accounting Practices [Line Items] | |||
Dividends paid | 94 | 166 | 123 |
Repurchase of common stock | 0 | 0 | 100 |
Assured Guaranty Municipal Corp | AGMH | Affiliated Entity | |||
Statutory Accounting Practices [Line Items] | |||
Dividends paid | 291 | 267 | 220 |
Assured Guaranty Municipal Corp | AGE | Affiliated Entity | |||
Statutory Accounting Practices [Line Items] | |||
Contributions | 0 | (123) | 0 |
AG Re | Assured Guaranty LTD | Fixed-maturity securities | |||
Statutory Accounting Practices [Line Items] | |||
Dividend from a subsidiary in the form of fixed-maturity securities | 46 | 47 | 0 |
AG Re | Assured Guaranty LTD | Affiliated Entity | |||
Statutory Accounting Practices [Line Items] | |||
Dividends paid | 150 | 150 | 275 |
AGUK | Assured Guaranty Municipal Corp | Affiliated Entity | |||
Statutory Accounting Practices [Line Items] | |||
Dividends paid | $ 0 | $ 124 | $ 0 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Millions | 1 Months Ended | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Related Party Transaction [Line Items] | ||||
Net expenses from transactions with related parties | $ 2.4 | $ 3.4 | $ 3.8 | |
Due to related parties | $ 1 | 2 | 1 | |
Due from related parties | 9 | 4 | 9 | |
Other income (loss) | 21 | 38 | 29 | |
Affiliated Entity | ||||
Related Party Transaction [Line Items] | ||||
Due to related parties | $ 1 | $ 1 | 1 | |
Executive Officer | ||||
Related Party Transaction [Line Items] | ||||
Shares cancelled (in shares) | 385,777 | |||
Other income (loss) | 12 | |||
Equity in Earnings of Investees | ||||
Related Party Transaction [Line Items] | ||||
Revenue from related parties | $ 0.5 | $ 1 | ||
Wellington Management Company LLP | ||||
Related Party Transaction [Line Items] | ||||
Ownership percentage by noncontrolling owners | 5.00% | 5.00% | 5.00% | |
BlackRock Financial Management Inc. | ||||
Related Party Transaction [Line Items] | ||||
Ownership percentage by noncontrolling owners | 5.00% | 5.00% | 5.00% |
Leases - Narrative (Details)
Leases - Narrative (Details) ft² in Thousands, $ in Millions | 12 Months Ended | |
Dec. 31, 2021USD ($)ft² | Dec. 31, 2020USD ($) | |
Lessee, Lease, Description [Line Items] | ||
Lease space | ft² | 271 | |
Total lease assets | $ 100 | $ 79 |
Total lease liability | $ 136 | $ 119 |
Weighted average remaining lease term | 8 years 7 months 6 days | 8 years 7 months 6 days |
Weighted average discount rate | 2.40% | 2.58% |
ROU asset impairment | $ 13 |
Leases - Components of Lease Ex
Leases - Components of Lease Expense and Other Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Leases [Abstract] | |||
Operating lease cost | $ 16 | $ 30 | $ 10 |
Other lease costs | 3 | 4 | 2 |
Sublease income | (5) | (3) | 0 |
Total lease cost | 14 | 31 | 12 |
Operating cash outflows for operating leases | 20 | 19 | 11 |
ROU assets obtained in exchange for new operating lease liabilities | $ 35 | 4 | $ 37 |
ROU asset impairment | $ 13 |
Leases - Future Minimum Rental
Leases - Future Minimum Rental Payments (Details) $ in Millions | Dec. 31, 2021USD ($) |
Lessee, Operating Lease, Liability, Payment, Due [Abstract] | |
2022 | $ 23 |
2023 | 23 |
2024 | 16 |
2025 | 13 |
2026 | 12 |
Thereafter | 65 |
Total lease payments | 152 |
Less: Imputed interest | $ 16 |
Operating Lease, Liability, Statement of Financial Position [Extensible List] | Other liabilities |
Total lease liabilities | $ 136 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - LBIE vs. AG Financial Products $ in Millions | Apr. 10, 2015USD ($) | Nov. 28, 2011USD ($)Transaction |
AG Financial Products Inc. | Positive Outcome of Litigation | Pending Litigation | ||
Commitments and Contingencies Legal Proceedings | ||
Termination payments which LBIE owes to AG Financial Products as per calculation of AG Financial Products | $ 4 | |
Payment for termination of other credit derivative transactions | $ 21 | |
Lehman Brothers International (Europe) | ||
Commitments and Contingencies Legal Proceedings | ||
Number of credit derivative transactions alleged to be improperly terminated | Transaction | 28 | |
Lehman Brothers International (Europe) | Positive Outcome of Litigation | Minimum | ||
Commitments and Contingencies Legal Proceedings | ||
Gain contingency, unrecorded amount | $ 200 | |
Lehman Brothers International (Europe) | Positive Outcome of Litigation | Maximum | ||
Commitments and Contingencies Legal Proceedings | ||
Gain contingency, unrecorded amount | $ 500 | |
Lehman Brothers International (Europe) | Positive Outcome of Litigation | Pending Litigation | ||
Commitments and Contingencies Legal Proceedings | ||
Termination payments which AG Financial Products owes to LBIE as per calculation of LBIE | $ 1,400 | |
Guarantee Obligations | AG Financial Products Inc. | ||
Commitments and Contingencies Legal Proceedings | ||
Number of credit derivative transactions for which termination payment is alleged to be improperly calculated | Transaction | 9 |
Shareholders' Equity - Share Is
Shareholders' Equity - Share Issuance (Details) | 12 Months Ended | |
Dec. 31, 2021USD ($)votePerShare$ / sharesshares | Dec. 31, 2020$ / sharesshares | |
Equity [Abstract] | ||
Authorized share capital | $ | $ 5,000,000 | |
Common stock, shares authorized (in shares) | shares | 500,000,000 | 500,000,000 |
Common stock par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 |
Number of votes per share of common stock | votePerShare | 1 | |
Percentage of controlled shares | 9.50% | |
Percentage of voting power held by one shareholder | 75.00% |
Shareholders' Equity - Shares R
Shareholders' Equity - Shares Repurchased (Details) - USD ($) | 12 Months Ended | 14 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Feb. 24, 2022 | Feb. 23, 2022 | |
Equity, Class of Treasury Stock [Line Items] | |||||
Total payments | $ 496,000,000 | $ 446,000,000 | $ 500,000,000 | ||
Common Shares | |||||
Equity, Class of Treasury Stock [Line Items] | |||||
Number of shares repurchased (in shares) | 10,519,040 | 15,787,804 | 11,163,929 | ||
Total payments | $ 496,000,000 | $ 446,000,000 | $ 500,000,000 | ||
Average Price Paid Per Share (in dollars per share) | $ 47.19 | $ 28.23 | $ 44.79 | ||
Subsequent Event | Common Shares | |||||
Equity, Class of Treasury Stock [Line Items] | |||||
Authorized repurchase amount | $ 350,000,000 | ||||
Remaining number of shares authorized to be repurchased | $ 364,000,000 | ||||
Number of shares repurchased (in shares) | 1,682,800 | ||||
Total payments | $ 92,000,000 | ||||
Average Price Paid Per Share (in dollars per share) | $ 54.32 |
Shareholders' Equity - Deferred
Shareholders' Equity - Deferred Compensation (Details) - AGC - Supplemental Employee Retirement Plan | 12 Months Ended | |
Dec. 31, 2021Unitshares | Dec. 31, 2020Unit | |
Defined Benefit Plan Disclosure [Line Items] | ||
Number of AGL common shares represented by each unit in employer stock fund (in shares) | shares | 1 | |
Number of units in AGC SERP (in units) | Unit | 74,309 | 74,309 |
Shareholders' Equity - Dividend
Shareholders' Equity - Dividends (Details) - $ / shares | Feb. 23, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Class of Stock [Line Items] | ||||
Dividends (in dollars per share) | $ 0.88 | $ 0.80 | $ 0.72 | |
Dividends paid (in dollars per share) | $ 0.22 | |||
Subsequent Event | ||||
Class of Stock [Line Items] | ||||
Dividends (in dollars per share) | $ 0.25 | |||
Percentage increase in common stock dividends | 13.60% |
Other Comprehensive Income - Ch
Other Comprehensive Income - Changes in AOCI by Component (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | $ 6,643 | ||
Other comprehensive income (loss) before reclassifications | (187) | $ 169 | $ 268 |
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | 15 | 18 | 22 |
Net investment income | 269 | 297 | 378 |
Interest expense | (87) | (85) | (89) |
Income (loss) before income taxes | 477 | 413 | 464 |
Tax (provision) benefit | (58) | (45) | (63) |
Total amount reclassified from AOCI, net of tax | 11 | 13 | 19 |
Other comprehensive income (loss) | (198) | 156 | 249 |
Ending balance | 6,292 | 6,643 | |
Reclassification out of Accumulated Other Comprehensive Income | |||
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | 14 | 14 | 23 |
Net investment income | 16 | ||
Fair value gains (losses) on FG VIEs | (3) | (15) | |
Interest expense | 1 | 1 | |
Income (loss) before income taxes | 12 | 14 | 25 |
Tax (provision) benefit | (1) | (1) | (6) |
Total AOCI | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 498 | 342 | 93 |
Less: Amounts reclassified from AOCI to: | |||
Ending balance | 300 | 498 | 342 |
Total AOCI | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 0 | ||
Less: Amounts reclassified from AOCI to: | |||
Ending balance | 0 | ||
Net Unrealized Gains (Losses) on Investments with: No Credit Impairment | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 577 | 352 | 59 |
Other comprehensive income (loss) before reclassifications | (184) | 189 | 339 |
Less: Amounts reclassified from AOCI to: | |||
Total amount reclassified from AOCI, net of tax | 18 | 26 | 46 |
Other comprehensive income (loss) | (202) | 163 | 293 |
Ending balance | 375 | 577 | 352 |
Net Unrealized Gains (Losses) on Investments with: No Credit Impairment | Reclassification out of Accumulated Other Comprehensive Income | |||
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | 21 | 30 | 55 |
Net investment income | 1 | ||
Fair value gains (losses) on FG VIEs | 0 | 0 | |
Interest expense | 0 | 0 | |
Income (loss) before income taxes | 21 | 30 | 56 |
Tax (provision) benefit | (3) | (4) | (10) |
Net Unrealized Gains (Losses) on Investments with: No Credit Impairment | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 62 | ||
Less: Amounts reclassified from AOCI to: | |||
Ending balance | 62 | ||
Net Unrealized Gains (Losses) on Investments with: Credit Impairment | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (30) | 48 | 94 |
Other comprehensive income (loss) before reclassifications | 0 | (29) | (62) |
Less: Amounts reclassified from AOCI to: | |||
Total amount reclassified from AOCI, net of tax | (6) | (13) | (16) |
Other comprehensive income (loss) | 6 | (16) | (46) |
Ending balance | (24) | (30) | 48 |
Net Unrealized Gains (Losses) on Investments with: Credit Impairment | Reclassification out of Accumulated Other Comprehensive Income | |||
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | (7) | (16) | (32) |
Net investment income | 15 | ||
Fair value gains (losses) on FG VIEs | 0 | 0 | |
Interest expense | 0 | 0 | |
Income (loss) before income taxes | (7) | (16) | (17) |
Tax (provision) benefit | 1 | 3 | 1 |
Net Unrealized Gains (Losses) on Investments with: Credit Impairment | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (62) | ||
Less: Amounts reclassified from AOCI to: | |||
Ending balance | (62) | ||
ISCR on FG VIEs’ Liabilities with Recourse | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (20) | (27) | (31) |
Other comprehensive income (loss) before reclassifications | (3) | 7 | (8) |
Less: Amounts reclassified from AOCI to: | |||
Total amount reclassified from AOCI, net of tax | (2) | 0 | (12) |
Other comprehensive income (loss) | (1) | 7 | 4 |
Ending balance | (21) | (20) | (27) |
ISCR on FG VIEs’ Liabilities with Recourse | Reclassification out of Accumulated Other Comprehensive Income | |||
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | 0 | 0 | 0 |
Net investment income | 0 | ||
Fair value gains (losses) on FG VIEs | (3) | (15) | |
Interest expense | 0 | 0 | |
Income (loss) before income taxes | (3) | 0 | (15) |
Tax (provision) benefit | 1 | 0 | 3 |
ISCR on FG VIEs’ Liabilities with Recourse | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 0 | ||
Less: Amounts reclassified from AOCI to: | |||
Ending balance | 0 | ||
Cumulative Translation Adjustment | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (36) | (38) | (37) |
Other comprehensive income (loss) before reclassifications | 0 | 2 | (1) |
Less: Amounts reclassified from AOCI to: | |||
Total amount reclassified from AOCI, net of tax | 0 | 0 | 0 |
Other comprehensive income (loss) | 0 | 2 | (1) |
Ending balance | (36) | (36) | (38) |
Cumulative Translation Adjustment | Reclassification out of Accumulated Other Comprehensive Income | |||
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | 0 | 0 | 0 |
Net investment income | 0 | ||
Fair value gains (losses) on FG VIEs | 0 | 0 | |
Interest expense | 0 | 0 | |
Income (loss) before income taxes | 0 | 0 | 0 |
Tax (provision) benefit | 0 | 0 | 0 |
Cumulative Translation Adjustment | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 0 | ||
Less: Amounts reclassified from AOCI to: | |||
Ending balance | 0 | ||
Cash Flow Hedge | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 7 | 7 | 8 |
Other comprehensive income (loss) before reclassifications | 0 | 0 | 0 |
Less: Amounts reclassified from AOCI to: | |||
Total amount reclassified from AOCI, net of tax | 1 | 0 | 1 |
Other comprehensive income (loss) | (1) | 0 | (1) |
Ending balance | 6 | 7 | 7 |
Cash Flow Hedge | Reclassification out of Accumulated Other Comprehensive Income | |||
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | 0 | 0 | 0 |
Net investment income | 0 | ||
Fair value gains (losses) on FG VIEs | 0 | 0 | |
Interest expense | 1 | 1 | |
Income (loss) before income taxes | 1 | 0 | 1 |
Tax (provision) benefit | $ 0 | 0 | 0 |
Cash Flow Hedge | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | $ 0 | ||
Less: Amounts reclassified from AOCI to: | |||
Ending balance | $ 0 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Basic EPS: | |||
Net income (loss) attributable to AGL | $ 389 | $ 362 | $ 402 |
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 0 | 1 | 1 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 389 | $ 361 | $ 401 |
Basic shares (in shares) | 73.5 | 85.5 | 99.3 |
Basic EPS (in dollars per share) | $ 5.29 | $ 4.22 | $ 4.04 |
Diluted EPS: | |||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 389 | $ 361 | $ 401 |
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | 0 | 0 | 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ 389 | $ 361 | $ 401 |
Basic shares (in shares) | 73.5 | 85.5 | 99.3 |
Dilutive securities: Options and restricted stock awards (in shares) | 0.8 | 0.7 | 0.9 |
Diluted shares (in shares) | 74.3 | 86.2 | 100.2 |
Diluted EPS (in dollars per share) | $ 5.23 | $ 4.19 | $ 4 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | 0.1 | 0.8 | 0 |
Parent Company - Condensed Bala
Parent Company - Condensed Balance Sheets (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Condensed Balance Sheet Statements, Captions [Line Items] | ||
Other assets | $ 470 | $ 440 |
Total assets | 18,208 | 15,334 |
Other liabilities | 569 | 556 |
Total liabilities | 11,708 | 8,629 |
Total shareholders’ equity attributable to AGL | 6,292 | 6,643 |
Total liabilities, redeemable noncontrolling interests and shareholders’ equity | 18,208 | 15,334 |
Assured Guaranty Ltd. (Parent) | ||
Condensed Balance Sheet Statements, Captions [Line Items] | ||
Investments | 188 | 190 |
Investments in subsidiaries | 5,994 | 6,432 |
Dividends receivable from subsidiaries | 81 | 0 |
Other assets | 46 | 38 |
Total assets | 6,309 | 6,660 |
Other liabilities | 17 | 17 |
Total liabilities | 17 | 17 |
Total shareholders’ equity attributable to AGL | 6,292 | 6,643 |
Total liabilities, redeemable noncontrolling interests and shareholders’ equity | $ 6,309 | $ 6,660 |
Parent Company - Condensed Stat
Parent Company - Condensed Statements of Operations and Comprehensive Income (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Condensed Income Statements, Captions [Line Items] | |||
Net investment income | $ 269 | $ 297 | $ 378 |
Total revenues | 848 | 1,115 | 963 |
Other expenses | 179 | 197 | 125 |
Total expenses | 465 | 729 | 503 |
Income (loss) before income taxes and equity in earnings of investees | 383 | 386 | 460 |
Equity in earnings of investees | 94 | 27 | 4 |
Net income (loss) attributable to Assured Guaranty Ltd. | 389 | 362 | 402 |
Other comprehensive income (loss) | (198) | 156 | 249 |
Comprehensive income (loss) attributable to Assured Guaranty Ltd. | 191 | 518 | 651 |
Assured Guaranty Ltd. (Parent) | |||
Condensed Income Statements, Captions [Line Items] | |||
Net investment income | 1 | 0 | 0 |
Total revenues | 1 | 0 | 0 |
Other expenses | 35 | 34 | 31 |
Total expenses | 35 | 34 | 31 |
Income (loss) before income taxes and equity in earnings of investees | (34) | (34) | (31) |
Equity in earnings of investees | 423 | 396 | 433 |
Net income (loss) attributable to Assured Guaranty Ltd. | 389 | 362 | 402 |
Other comprehensive income (loss) | (198) | 156 | 249 |
Comprehensive income (loss) attributable to Assured Guaranty Ltd. | $ 191 | $ 518 | $ 651 |
Parent Company - Condensed St_2
Parent Company - Condensed Statement of Cash Flows (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net income | $ 389 | $ 362 | $ 402 |
Equity in earnings of investees | (94) | (27) | (4) |
Net cash flows provided by (used in) operating activities | (1,937) | (853) | (509) |
Purchases | 0 | (85) | (229) |
Maturities and paydowns | 1,148 | 878 | 781 |
Net cash flows provided by (used in) investing activities | 23 | 788 | 1,169 |
Dividends paid | (66) | (69) | (74) |
Repurchases of common shares | (496) | (446) | (500) |
Other | 26 | (10) | (15) |
Net cash flows provided by (used in) financing activities | 1,960 | 183 | (584) |
Increase (decrease) in cash and cash equivalents and restricted cash | 44 | 115 | 79 |
Cash and cash equivalents and restricted cash at beginning of period | 298 | 183 | 104 |
Cash and cash equivalents and restricted cash at end of period | 342 | 298 | 183 |
AG Re | Assured Guaranty LTD | Fixed-maturity securities | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Dividend from a subsidiary in the form of fixed-maturity securities | 46 | 47 | 0 |
Assured Guaranty Ltd. (Parent) | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net income | 389 | 362 | 402 |
Equity in earnings of investees | (423) | (396) | (433) |
Cash dividends from subsidiaries | 539 | 547 | 689 |
Other | 22 | 19 | 21 |
Net cash flows provided by (used in) operating activities | 527 | 532 | 679 |
Purchases | 0 | (4) | 0 |
Maturities and paydowns | 4 | 0 | 0 |
Net sales (purchases) of short-term investments with original maturities of less than three months | 41 | (3) | (90) |
Net cash flows provided by (used in) investing activities | 45 | (7) | (90) |
Dividends paid | (66) | (69) | (74) |
Repurchases of common shares | (496) | (446) | (500) |
Other | (10) | (10) | (15) |
Net cash flows provided by (used in) financing activities | (572) | (525) | (589) |
Increase (decrease) in cash and cash equivalents and restricted cash | 0 | 0 | 0 |
Cash and cash equivalents and restricted cash at beginning of period | 0 | 0 | 0 |
Cash and cash equivalents and restricted cash at end of period | $ 0 | $ 0 | $ 0 |
Parent Company - Narrative (Det
Parent Company - Narrative (Details) - Revolving Credit Facility - Line of Credit - Affiliated Entity - USD ($) | Dec. 31, 2021 | Oct. 25, 2013 |
Line of Credit Facility [Line Items] | ||
Interest rate, as a percentage of Federal short-term or mid-term interest rate | 100.00% | |
Intercompany Loans Payable | Assured Guaranty LTD | ||
Line of Credit Facility [Line Items] | ||
Related party, maximum borrowing capacity | $ 225,000,000 | |
Outstanding amount | $ 0 |