Cover Page
Cover Page - shares | 9 Months Ended | |
Sep. 30, 2022 | Nov. 04, 2022 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2022 | |
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 Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 59,994,458 | |
Entity Central Index Key | 0001273813 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q3 | |
New York Stock Exchange | Common Shares | ||
Entity 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) | ||
Entity 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) | ||
Entity 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) | ||
Entity 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 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets (Unaudited) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Investments: | ||
Fixed-maturity securities, available-for-sale, at fair value, net of allowance for credit loss of $57 and $42 (amortized cost of $7,506 and $7,822) | $ 6,780 | $ 8,202 |
Fixed-maturity securities, trading, at fair value | 393 | 0 |
Short-term investments, at fair value | 1,177 | 1,225 |
Other invested assets (includes $24 and $31, at fair value) | 130 | 181 |
Total investments | 8,480 | 9,608 |
Cash | 131 | 120 |
Premiums receivable, net of commissions payable | 1,178 | 1,372 |
Deferred acquisition costs | 142 | 131 |
Salvage and subrogation recoverable | 385 | 801 |
Financial guaranty variable interest entities’ assets, at fair value | 236 | 260 |
Assets of consolidated investment vehicles (includes $5,151 and $4,902, at fair value) | 5,336 | 5,271 |
Goodwill and other intangible assets | 166 | 175 |
Other assets (includes $129 and $132, at fair value) | 606 | 470 |
Total assets | 16,660 | 18,208 |
Liabilities | ||
Unearned premium reserve | 3,596 | 3,716 |
Loss and loss adjustment expense reserve | 882 | 869 |
Long-term debt | 1,675 | 1,673 |
Credit derivative liabilities, at fair value | 195 | 156 |
Financial guaranty variable interest entities’ liabilities, at fair value (with recourse $238 and $269, without recourse $13 and $20) | 251 | 289 |
Liabilities of consolidated investment vehicles (includes $4,209 and $3,849, at fair value) | 4,447 | 4,436 |
Other liabilities | 440 | 569 |
Total liabilities | 11,486 | 11,708 |
Commitments and contingencies (Note 13) | ||
Redeemable noncontrolling interests (Note 8) | 21 | 22 |
Shareholders’ equity | ||
Common shares ($0.01 par value, 500,000,000 shares authorized; 60,719,431 and 67,518,424 shares issued and outstanding) | 1 | 1 |
Retained earnings | 5,579 | 5,990 |
Accumulated other comprehensive income (loss), net of tax of $(100) and $60 | (652) | 300 |
Deferred equity compensation | 1 | 1 |
Total shareholders’ equity attributable to Assured Guaranty Ltd. | 4,929 | 6,292 |
Nonredeemable noncontrolling interests (Note 8) | 224 | 186 |
Total shareholders’ equity | 5,153 | 6,478 |
Total liabilities, redeemable noncontrolling interests and shareholders’ equity | $ 16,660 | $ 18,208 |
Condensed Consolidated Balanc_2
Condensed Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Statement of Financial Position [Abstract] | ||
Allowance for credit loss | $ 57 | $ 42 |
Amortized cost | 7,506 | 7,822 |
Other invested assets fair value disclosure | 24 | 31 |
Assets of consolidated investment vehicles, fair value disclosure | 5,151 | 4,902 |
Other assets, fair value disclosure | 129 | 132 |
Financial guaranty variable interest entities' liabilities, with recourse | 238 | 269 |
Financial guaranty variable interest entities' liabilities, without recourse | 13 | 20 |
Liabilities of consolidated investment vehicles, fair value disclosure | $ 4,209 | $ 3,849 |
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) | 60,719,431 | 67,518,424 |
Common stock, shares outstanding (in shares) | 60,719,431 | 67,518,424 |
Accumulated other comprehensive income, tax provision | $ (100) | $ 60 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Operations (Unaudited) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Revenues | ||||
Net earned premiums | $ 89 | $ 102 | $ 385 | $ 307 |
Net investment income | 67 | 66 | 191 | 204 |
Asset management fees | 16 | 20 | 71 | 65 |
Net realized investment gains (losses) | (14) | 3 | (39) | 4 |
Fair value gains (losses) on credit derivatives | (48) | 21 | (42) | (31) |
Fair value gains (losses) on committed capital securities | 1 | (3) | 12 | (28) |
Fair value gains (losses) on financial guaranty variable interest entities | 11 | 5 | 27 | 18 |
Fair value gains (losses) on consolidated investment vehicles | 8 | 16 | 25 | 53 |
Foreign exchange gains (losses) on remeasurement | (80) | (27) | (181) | (22) |
Fair value gains (losses) on trading securities | (8) | 0 | (30) | 0 |
Other income (loss) | (1) | 9 | 12 | 15 |
Total revenues | 41 | 212 | 431 | 585 |
Expenses | ||||
Loss and loss adjustment expenses (benefit) | (75) | (68) | (29) | (54) |
Interest expense | 20 | 23 | 60 | 67 |
Loss on extinguishment of debt | 0 | 175 | 0 | 175 |
Amortization of deferred acquisition costs | 4 | 3 | 11 | 10 |
Employee compensation and benefit expenses | 57 | 59 | 189 | 173 |
Other operating expenses | 37 | 38 | 120 | 135 |
Total expenses | 43 | 230 | 351 | 506 |
Income (loss) before income taxes and equity in earnings (losses) of investees | (2) | (18) | 80 | 79 |
Equity in earnings (losses) of investees | (20) | 23 | (31) | 66 |
Income (loss) before income taxes | (22) | 5 | 49 | 145 |
Less: Provision (benefit) for income taxes | (27) | (15) | (6) | 8 |
Net income (loss) | 5 | 20 | 55 | 137 |
Less: Noncontrolling interests | (6) | 3 | 25 | 11 |
Net income (loss) attributable to Assured Guaranty Ltd. | $ 11 | $ 17 | $ 30 | $ 126 |
Earnings per share: | ||||
Basic (in dollars per share) | $ 0.18 | $ 0.22 | $ 0.47 | $ 1.67 |
Diluted (in dollars per share) | $ 0.18 | $ 0.22 | $ 0.46 | $ 1.66 |
Condensed Consolidated Statem_2
Condensed Consolidated Statements of Comprehensive Income (Loss) (Unaudited) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income (loss) | $ 5 | $ 20 | $ 55 | $ 137 |
Change in net unrealized gains (losses) on: | ||||
Investments with no credit impairment, net of tax provision (benefit) of $(39), $(8), $(139) and $(18) | (277) | (66) | (857) | (134) |
Investments with credit impairment, net of tax provision (benefit) of $1, $(2), $(18) and $3 | 2 | (6) | (81) | 12 |
Change in net unrealized gains (losses) on investments | (275) | (72) | (938) | (122) |
Change in instrument-specific credit risk on financial guaranty variable interest entities’ liabilities with recourse, net of tax | (3) | 2 | (1) | (1) |
Other, net of tax | (4) | (1) | (13) | (1) |
Other comprehensive income (loss) | (282) | (71) | (952) | (124) |
Comprehensive income (loss) | (277) | (51) | (897) | 13 |
Less: Comprehensive income (loss) attributable to noncontrolling interests | (6) | 3 | 25 | 11 |
Comprehensive income (loss) attributable to Assured Guaranty Ltd. | $ (271) | $ (54) | $ (922) | $ 2 |
Condensed Consolidated Statem_3
Condensed Consolidated Statements of Comprehensive Income (Loss) (Unaudited) (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Statement of Comprehensive Income [Abstract] | ||||
Investments with no credit impairment, tax | $ (39) | $ (8) | $ (139) | $ (18) |
Investments with credit impairment, tax | $ 1 | $ (2) | $ (18) | $ 3 |
Condensed Consolidated Statem_4
Condensed Consolidated Statement of Shareholders' Equity (Unaudited) - USD ($) $ in Millions | Total | Total | Common Shares | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Deferred Equity Compensation | Nonredeemable Noncontrolling Interests |
Beginning balance (in shares) at Dec. 31, 2020 | 77,546,896 | ||||||
Beginning balance at Dec. 31, 2020 | $ 6,684 | $ 6,643 | $ 1 | $ 6,143 | $ 498 | $ 1 | $ 41 |
Increase (Decrease) in Shareholders' Equity | |||||||
Net income | 137 | 126 | 126 | 11 | |||
Dividends | (50) | (50) | (50) | ||||
Contributions | 34 | 34 | |||||
Common share repurchases (in shares) | (6,793,058) | ||||||
Common shares repurchases | (305) | (305) | (305) | ||||
Shared based compensation (in shares) | 488,102 | ||||||
Share-based compensation | 10 | 10 | 10 | ||||
Distributions | (11) | (11) | |||||
Other comprehensive income (loss) | (124) | (124) | (124) | ||||
Ending balance (in shares) at Sep. 30, 2021 | 71,241,940 | ||||||
Ending balance at Sep. 30, 2021 | 6,375 | 6,300 | $ 1 | 5,924 | 374 | 1 | 75 |
Beginning balance (in shares) at Jun. 30, 2021 | 74,112,554 | ||||||
Beginning balance at Jun. 30, 2021 | 6,552 | 6,503 | $ 1 | 6,056 | 445 | 1 | 49 |
Increase (Decrease) in Shareholders' Equity | |||||||
Net income | 20 | 17 | 17 | 3 | |||
Dividends | (16) | (16) | (16) | ||||
Contributions | 25 | 25 | |||||
Common share repurchases (in shares) | (2,918,993) | ||||||
Common shares repurchases | (140) | (140) | (140) | ||||
Shared based compensation (in shares) | 48,379 | ||||||
Share-based compensation | 7 | 7 | 7 | ||||
Distributions | (2) | (2) | |||||
Other comprehensive income (loss) | (71) | (71) | (71) | ||||
Ending balance (in shares) at Sep. 30, 2021 | 71,241,940 | ||||||
Ending balance at Sep. 30, 2021 | 6,375 | 6,300 | $ 1 | 5,924 | 374 | 1 | 75 |
Beginning balance (in shares) at Dec. 31, 2021 | 67,518,424 | ||||||
Beginning balance at Dec. 31, 2021 | 6,478 | 6,292 | $ 1 | 5,990 | 300 | 1 | 186 |
Increase (Decrease) in Shareholders' Equity | |||||||
Net income | 56 | 30 | 30 | 26 | |||
Dividends | (49) | (49) | (49) | ||||
Contributions | 63 | 63 | |||||
Common share repurchases (in shares) | (7,134,565) | ||||||
Common shares repurchases | (403) | (403) | (403) | ||||
Shared based compensation (in shares) | 335,572 | ||||||
Share-based compensation | 11 | 11 | 11 | ||||
Distributions | (51) | (51) | |||||
Other comprehensive income (loss) | (952) | (952) | (952) | ||||
Ending balance (in shares) at Sep. 30, 2022 | 60,719,431 | ||||||
Ending balance at Sep. 30, 2022 | 5,153 | 4,929 | $ 1 | 5,579 | (652) | 1 | 224 |
Beginning balance (in shares) at Jun. 30, 2022 | 62,475,739 | ||||||
Beginning balance at Jun. 30, 2022 | 5,547 | 5,304 | $ 1 | 5,672 | (370) | 1 | 243 |
Increase (Decrease) in Shareholders' Equity | |||||||
Net income | 5 | 11 | 11 | (6) | |||
Dividends | (16) | (16) | (16) | ||||
Contributions | 23 | 23 | |||||
Common share repurchases (in shares) | (1,790,395) | ||||||
Common shares repurchases | (97) | (97) | (97) | ||||
Shared based compensation (in shares) | 34,087 | ||||||
Share-based compensation | 9 | 9 | 9 | ||||
Distributions | (36) | (36) | |||||
Other comprehensive income (loss) | (282) | (282) | (282) | ||||
Ending balance (in shares) at Sep. 30, 2022 | 60,719,431 | ||||||
Ending balance at Sep. 30, 2022 | $ 5,153 | $ 4,929 | $ 1 | $ 5,579 | $ (652) | $ 1 | $ 224 |
Condensed Consolidated Statem_5
Condensed Consolidated Statement of Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Statement of Stockholders' Equity [Abstract] | ||||
Dividends per share (in dollars per share) | $ 0.25 | $ 0.22 | $ 0.75 | $ 0.66 |
Condensed Consolidated Statem_6
Condensed Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Statement of Cash Flows [Abstract] | ||||||
Net cash flows provided by (used in) operating activities | $ (1,848) | $ (1,792) | ||||
Fixed-maturity securities, available-for-sale: | ||||||
Purchases | (279) | (1,025) | ||||
Sales | $ 207 | $ 0 | 560 | 222 | ||
Maturities and paydowns | 585 | 757 | ||||
Short-term investments with original maturities of over three months: | ||||||
Purchases | (42) | 0 | ||||
Maturities and paydowns | 23 | 32 | ||||
Net sales (purchases) of short-term investments with original maturities of less than three months | 64 | 125 | ||||
Sales of fixed-maturity securities, trading | 121 | 0 | ||||
Paydowns of financial guaranty variable interest entities’ assets | 74 | 45 | ||||
Purchases of other invested assets | (11) | (44) | ||||
Return of capital from and sales of other invested assets | 35 | 61 | ||||
Other | (2) | (4) | ||||
Net cash flows provided by (used in) investing activities | 1,128 | 169 | ||||
Cash flows from financing activities: | ||||||
Dividends paid | (49) | (51) | ||||
Repurchases of common shares | (400) | (305) | ||||
Net paydowns of financial guaranty variable interest entities’ liabilities | (92) | (38) | ||||
Issuance of long-term debt, net of issuance costs | 0 | 889 | ||||
Redemptions and purchases of debt, including make-whole | 0 | (620) | ||||
Other | (6) | 7 | ||||
Cash flows from consolidated investment vehicles: | ||||||
Proceeds from issuance of collateralized loan obligations | 1,372 | 2,079 | ||||
Repayment of collateralized loan obligations | (373) | (365) | ||||
Proceeds from issuance of warehouse financing debt | 882 | 1,008 | ||||
Repayment of warehouse financing debt | (758) | (1,061) | ||||
Borrowings under credit facilities | 46 | 0 | ||||
Contributions from noncontrolling interests to consolidated investment vehicles | 52 | 33 | ||||
Distributions to noncontrolling interests from consolidated investment vehicles | (19) | (10) | ||||
Net cash flows provided by (used in) financing activities | 655 | 1,566 | ||||
Effect of foreign exchange rate changes | (6) | (1) | ||||
Increase (decrease) in cash and cash equivalents and restricted cash | (71) | (58) | ||||
Cash and cash equivalents and restricted cash at beginning of period | $ 240 | 342 | 298 | $ 298 | ||
Cash and cash equivalents and restricted cash at end of period | 271 | 342 | 240 | 271 | 240 | 342 |
Supplemental cash flow information | ||||||
Income taxes paid (received) | 97 | 1 | ||||
Interest paid on long-term debt | 47 | 50 | ||||
Supplemental disclosure of non-cash activities: | ||||||
Fixed-maturity securities, available-for-sale, received as salvage | 610 | 0 | ||||
Fixed-maturity securities, available-for-sale, ceded to a reinsurer | 27 | 0 | ||||
Fixed-maturity securities, trading, received as salvage | 550 | 0 | ||||
Fixed-maturity securities, trading, ceded to a reinsurer | 6 | 0 | ||||
Debt securities of financial guaranty variable interest entities received as salvage | 54 | 0 | ||||
Contributions from noncontrolling interests | 32 | 1 | ||||
Distributions to noncontrolling interests | 53 | 1 | ||||
Reconciliation of cash and cash equivalents and restricted cash to the condensed consolidated balance sheets: | ||||||
Cash | 131 | 120 | 101 | 131 | 101 | 120 |
Restricted cash (included in other assets) | 1 | 1 | 1 | 1 | ||
Cash and cash equivalents of consolidated investment vehicles (Note 8) | 139 | 138 | 139 | 138 | ||
Cash and cash equivalents and restricted cash at end of period | $ 271 | $ 342 | $ 240 | $ 271 | $ 240 | $ 342 |
Business and Basis of Presentat
Business and Basis of Presentation | 9 Months Ended |
Sep. 30, 2022 | |
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. 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 unaudited interim condensed 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. As discussed in Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, the nine month period ended September 30, 2022 include two out-of period adjustments, totaling $6.9 million in net income attributable to AGL. Management has determined these misstatements are not material to prior periods or to the financial statements taken as a whole. These unaudited interim condensed consolidated financial statements are as of September 30, 2022 and cover the three-month period ended September 30, 2022 (third quarter 2022), the three-month period ended September 30, 2021 (third quarter 2021), the nine-month period ended September 30, 2022 (nine months 2022) and the nine-month period ended September 30, 2021 (nine months 2021). Certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but is not required for interim reporting purposes, has been condensed or omitted. The year-end condensed consolidated balance sheet data was derived from audited financial statements, but does not include all disclosures required by GAAP. Certain prior year balances have been reclassified to conform to the current year’s presentation. The unaudited interim condensed 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 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. These unaudited interim condensed consolidated financial statements should be read in conjunction with the consolidated financial statements included in the Annual Report on Form 10-K for the year ended December 31, 2021, filed with the U.S. Securities and Exchange Commission (SEC). 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, organized in Delaware; • Assured Investment Management (London) LLP, organized in the U.K.; and • Assured Healthcare Partners LLC, organized in Delaware. 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. As a result, the Company wrote-off the $16 million carrying value of MAC’s insurance licenses in the first quarter of 2021, which was recorded in other operating expenses in the Insurance segment. 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. Recent Accounting Standards Adopted Reference Rate Reform In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (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 does not currently expect this ASU to have a material effect on its consolidated financial statements. |
Segment Information
Segment Information | 9 Months Ended |
Sep. 30, 2022 | |
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 8, 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’ share of earnings from investments in AssuredIM Funds in “equity in earnings (losses) 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 are 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 (losses) of investees” associated with AGAS’ 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 (loss).” 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. The following table presents information for the Company’s operating segments. Intersegment revenues include transactions between and among the segments, the corporate division and other. Segment Information Third Quarter 2022 2021 Insurance Asset Management Insurance Asset Management (in millions) Third-party revenues $ 145 $ 13 $ 187 $ 17 Intersegment revenues 2 8 3 2 Segment revenues 147 21 190 19 Segment expenses (16) 24 (22) 29 Segment equity in earnings (losses) of investees (11) — 33 — Less: Segment provision (benefit) for income taxes (7) — 31 (3) Segment adjusted operating income (loss) $ 159 $ (3) $ 214 $ (7) Nine Months 2022 2021 Insurance Asset Management Insurance Asset Management (in millions) Third-party revenues $ 558 $ 59 $ 544 $ 54 Intersegment revenues 6 29 7 6 Segment revenues 564 88 551 60 Segment expenses 147 91 131 82 Segment equity in earnings (losses) of investees (46) — 100 — Less: Segment provision (benefit) for income taxes 24 — 75 (6) Segment adjusted operating income (loss) $ 347 $ (3) $ 445 $ (16) The tables below present a reconciliation of significant components of segment information to the comparable consolidated amounts. Reconciliation of Segment Information to Consolidated Information Three Months Ended September 30, 2022 Equity in Earnings (Losses) of Investees Less: Net Income (Loss) Attributable to AGL Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 147 $ (16) $ (11) $ (7) $ — $ 159 Asset Management 21 24 — — — (3) Total segments 168 8 (11) (7) — 156 Corporate division 1 34 — (3) — (30) Other 13 2 (9) 1 (6) 7 Subtotal 182 44 (20) (9) (6) 133 Reconciling items: Realized gains (losses) on investments (14) — — — — (14) Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (50) (1) — — — (49) Fair value gains (losses) on CCS 1 — — — — 1 Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (78) — — — — (78) Tax effect — — — (18) — 18 Total consolidated $ 41 $ 43 $ (20) $ (27) $ (6) $ 11 Reconciliation of Segment Information to Consolidated Information Three Months Ended September 30, 2021 Equity in Earnings (Losses) of Investees Less: Net Income (Loss) Attributable to AGL Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 190 $ (22) $ 33 $ 31 $ — $ 214 Asset Management 19 29 — (3) — (7) Total segments 209 7 33 28 — 207 Corporate division 1 211 1 (40) — (169) Other 18 10 (11) (2) 3 (4) Subtotal 228 228 23 (14) 3 34 Reconciling items: Realized gains (losses) on investments 3 — — — — 3 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives 11 2 — — — 9 Fair value gains (losses) on CCS (3) — — — — (3) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (27) — — — — (27) Tax effect — — — (1) — 1 Total consolidated $ 212 $ 230 $ 23 $ (15) $ 3 $ 17 Reconciliation of Segment Information to Consolidated Information Nine Months Ended September 30, 2022 Equity in Earnings (Losses) of Investees Less: Net Income (Loss) Attributable to AGL Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 564 $ 147 $ (46) $ 24 $ — $ 347 Asset Management 88 91 — — — (3) Total segments 652 238 (46) 24 — 344 Corporate division 3 104 — (3) — (98) Other 34 14 15 3 25 7 Subtotal 689 356 (31) 24 25 253 Reconciling items: Realized gains (losses) on investments (39) — — — — (39) Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (51) (5) — — — (46) Fair value gains (losses) on CCS 12 — — — 12 Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (180) — — — — (180) Tax effect — — — (30) — 30 Total consolidated $ 431 $ 351 $ (31) $ (6) $ 25 $ 30 Reconciliation of Segment Information to Consolidated Information Nine Months Ended September 30, 2021 Equity in Earnings (Losses) of Investees Less: Net Income (Loss) Attributable to AGL Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 551 $ 131 $ 100 $ 75 $ — $ 445 Asset Management 60 82 — (6) — (16) Total segments 611 213 100 69 — 429 Corporate division 1 279 1 (45) — (232) Other 66 21 (35) (1) 11 — Subtotal 678 513 66 23 11 197 Reconciling items: Realized gains (losses) on investments 4 — — — — 4 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (48) (7) — — — (41) 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 — — — (15) — 15 Total consolidated $ 585 $ 506 $ 66 $ 8 $ 11 $ 126 |
Outstanding Exposure
Outstanding Exposure | 9 Months Ended |
Sep. 30, 2022 | |
Outstanding Exposure Disclosure [Abstract] | |
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 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 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, generally 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 8, 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 writes specialty insurance and reinsurance that is consistent with its risk profile and benefits from its underwriting experience and other types of financial guarantees not subject to insurance accounting guidance. 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 4, Expected Loss to be Paid (Recovered), for additional information. Surveillance personnel then assign each BIG transaction to one of the three BIG surveillance categories described below 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 surveillance 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 emergence and continuation of COVID-19 and reactions to it, including various intermittent closures and capacity and travel restrictions, have had a profound effect on the global economy and financial markets. The ultimate size, depth, course and duration of the pandemic, 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. Due to the nature of the Company’s business, COVID-19 and its global impact, directly and indirectly affected certain sectors in the insured portfolio. 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 intermittent closures and capacity and travel restrictions or an economic downturn. Given significant federal funding to state and local governments in 2021 and the performance it observed, the Company’s surveillance department has reduced these supplemental procedures. However, the Company is still monitoring those sectors it identified as most at risk for any developments related to COVID-19. The Company has paid only relatively small insurance claims it believes are due at least in part to credit stress arising specifically from COVID-19, and 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 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 (loss mitigation securities), in order to mitigate the economic effect of insured losses. The Company excludes amounts attributable to loss mitigation securities from par and debt service outstanding, and instead reports loss mitigation securities in the investment portfolio, because the Company manages such securities as investments and not insurance exposure. As of both September 30, 2022 and December 31, 2021, the Company excluded from net par outstanding $1.3 billion 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 September 30, 2022 As of December 31, 2021 Gross Net Gross Net (in millions) Debt Service Public finance $ 347,776 $ 347,608 $ 357,694 $ 357,314 Structured finance 9,118 9,093 10,076 10,046 Total financial guaranty $ 356,894 $ 356,701 $ 367,770 $ 367,360 Par Outstanding Public finance $ 219,052 $ 218,905 $ 227,507 $ 227,164 Structured finance 8,191 8,166 9,258 9,228 Total financial guaranty $ 227,243 $ 227,071 $ 236,765 $ 236,392 In addition to amounts shown in the table above, the Company had outstanding commitments to provide guaranties of $893 million of public finance direct gross par and $741 million of structured finance direct gross par as of September 30, 2022. 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 September 30, 2022 Public Finance Public Finance Structured Finance Structured Finance Total Rating Net Par % Net Par % Net Par % Net Par % Net Par % (dollars in millions) AAA $ 259 0.1 % $ 1,879 4.6 % $ 794 10.7 % $ 432 60.3 % $ 3,364 1.5 % AA 16,451 9.3 3,454 8.4 4,522 60.7 11 1.5 24,438 10.8 A 96,052 54.0 8,491 20.7 510 6.8 170 23.7 105,223 46.3 BBB 60,893 34.2 26,777 65.2 487 6.5 104 14.5 88,261 38.9 BIG 4,187 2.4 462 1.1 1,136 15.3 — — 5,785 2.5 Total net par outstanding $ 177,842 100.0 % $ 41,063 100.0 % $ 7,449 100.0 % $ 717 100.0 % $ 227,071 100.0 % 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 Components of BIG Net Par Outstanding As of September 30, 2022 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,029 $ 124 $ 2,034 $ 4,187 $ 177,842 Non-U.S. public finance 425 — 37 462 41,063 Public finance 2,454 124 2,071 4,649 218,905 Structured finance: U.S. RMBS 17 39 973 1,029 2,006 Other structured finance — 35 72 107 6,160 Structured finance 17 74 1,045 1,136 8,166 Total $ 2,471 $ 198 $ 3,116 $ 5,785 $ 227,071 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 BIG Net Par Outstanding and Number of Risks As of September 30, 2022 Net Par Outstanding Number of Risks (2) Description Financial Credit Total Financial Credit Total (dollars in millions) BIG: Category 1 $ 2,465 $ 6 $ 2,471 110 1 111 Category 2 187 11 198 17 2 19 Category 3 3,075 41 3,116 117 8 125 Total BIG $ 5,727 $ 58 $ 5,785 244 11 255 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 Credit Total Financial 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 _____________________ (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. 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 $2.1 billion net par outstanding as of September 30, 2022, a decrease of $1.5 billion from the $3.6 billion net par outstanding as of December 31, 2021. All of the Company’s insured exposure to Puerto Rico is rated BIG. The Company has paid claims as a result of payment defaults 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). After over five years of negotiations, on March 15, 2022, a substantial portion of the Company’s Puerto Rico exposure was resolved in accordance with three orders entered by the United States District Court of the District of Puerto Rico (Federal District Court of Puerto Rico): • On January 18, 2022, the Federal District Court of Puerto Rico, acting under Title III of PROMESA, entered 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). The GO/PBA Plan restructured 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 as well as $50 billion in pension obligations (none of the pension obligations are insured by the Company), and the Company believes its terms are consistent with the terms of the settlement embodied in a revised plan support agreement (PSA) for GO and PBA entered into by AGM and AGC on February 22, 2021, with certain other stakeholders, the Commonwealth, and the FOMB (GO/PBA PSA). • On January 20, 2022, the Federal District Court of Puerto Rico, acting under Title VI of PROMESA, entered an order under Title VI of PROMESA (PRCCDA Modification) modifying the debt of the Puerto Rico Convention Center District Authority (PRCCDA). • On January 20, 2022, the Federal District Court of Puerto Rico, acting under Title VI of PROMESA, entered another order under Title VI of PROMESA (PRIFA Modification) modifying certain debt of the Puerto Rico Infrastructure Financing Authority (PRIFA). As a result of the consummation on March 15, 2022, of each of the GO/PBA Plan, PRCCDA Modification and PRIFA Modification (together, the March Puerto Rico Resolutions), including claim payments made by the Company under the March Puerto Rico Resolutions, the Company’s obligations under its insurance policies covering debt of the PRCCDA and PRIFA were extinguished, and its insurance exposure to Puerto Rico GO and PBA was greatly reduced. On October 12, 2022, the Federal District Court of Puerto Rico, acting under Title III of PROMESA, entered an order and judgment confirming the amended plan of adjustment for the Puerto Rico Highways and Transportation Authority (PRHTA) filed by the FOMB with the Federal District Court of Puerto Rico on September 6, 2022 (HTA Plan). The HTA Plan restructures approximately $6.4 billion of debt (including the PRHTA bonds insured by the Company), and the Company believes its terms are consistent with the terms of the settlement embodied in the PRHTA PSA entered into on May 5, 2021, by AGM and AGC and certain other stakeholders, the Commonwealth, and the FOMB (the HTA PSA). The FOMB will set the effective date of the HTA Plan (HTA Effective Date) and, as of November 7, 2022, the expected HTA Effective Date had not yet been announced. The Company is continuing its efforts to resolve the one remaining Puerto Rico insured exposure that is in payment default, the Puerto Rico Electric Power Authority (PREPA). Economic, political and legal developments, including inflation, increases in the cost of petroleum products and developments related to the COVID-19 pandemic, may impact any resolution of the Company’s PREPA insured exposure and the value of the consideration the Company has received in connection with the March Puerto Rico Resolutions or has received or may receive in the future in connection with the HTA PSA or HTA Plan or any future resolutions of the Company’s PREPA insured exposures. The impact of developments relating to Puerto Rico during any quarter or year could be material to the Company’s results of operations and shareholders’ equity. Puerto Rico GO and PBA As of September 30, 2022, the Company had remaining $25 million of insured net par outstanding of GO bonds and $4 million of insured net par outstanding of PBA bonds. Under the GO/PBA Plan and in connection with its direct exposure the Company received (including amounts received in connection with the second election described further below, but excluding amounts received in connection with second-to-pay exposures): • $530 million in cash, net of ceded reinsurance, • $605 million of new recovery bonds (see Note 7, Investments and Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles for additional information), which represents the face value of current interest bonds and the maturity value of capital appreciation bonds, net of ceded reinsurance, and • $258 million of contingent value instruments (CVIs) (see Note 7, Investments and Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles for additional information), which represents the original notional value, net of ceded reinsurance. The CVIs are intended to provide creditors with additional recoveries tied to the outperformance of the Puerto Rico 5.5% Sales and Use Tax (SUT) receipts against May 2020 certified fiscal plan projections, subject to annual and lifetime caps. The notional amount of a CVI represents the sum of the maximum distributions the holder could receive under the CVI, subject to the cumulative and annual caps, if the SUT sufficiently exceeds 2020 certified fiscal plan projections, without any discount for time. The Company has sold most of the new recovery bonds and CVIs it received on March 15, 2022, and may sell in the future any new recovery bonds or CVIs it continues to hold. The fair value of any new recovery bonds or CVIs the Company retains will fluctuate. Any gains or losses on sales of new recovery bonds and CVIs relative to their values on March 15, 2022, were and will be reported as realized gains and losses on investments and fair value gains (losses) on trading securities, respectively, rather than loss and LAE. 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 was accelerated against the Commonwealth and became due and payable as of March 15, 2022. Insured holders of noncallable insured bonds covered by the GO/PBA Plan (representing $102 million of net par outstanding as of December 31, 2021) were permitted to elect either: (i) to receive on March 15, 2022, 100% of the then outstanding principal amount of insured bonds plus accrued interest; or (ii) to receive custody receipts that represent an interest in the legacy insurance policy plus cash, new recovery bonds and CVIs (in aggregate, Plan Consideration) that constitute distributions under the GO/PBA Plan. For those who made the second election, distributions of Plan Consideration are 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 are applied to make payments and/or prepayments of amounts due under the legacy insured bonds. The Company’s insurance policy continues to guarantee principal and interest coming due on the legacy insured bonds in accordance with the terms of such insurance policy on the originally scheduled legacy bond interest and principal payment dates to the extent that distributions of Plan Consideration are insufficient to pay such amounts after giving effect to the distributions described in the immediately preceding sentence. In the case of insured bondholders who elected to receive custody receipts, the Company retains 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 100% of the then outstanding principal amount of insured bonds plus accrued interest. As of September 30, 2022, the net insured par outstanding under the legacy GO and PBA insurance policies was $29 million, and constituted all of the Company’s remaining net par exposure to the GO and PBA bonds it had insured. PRCCDA and PRIFA As of September 30, 2022, the Company had no insured net par outstanding of PRCCDA or PRIFA obligations remaining. Under the PRCCDA Modification and the PRIFA Modification, on March 15, 2022, the Company received an aggregate of $47 million in cash (net of ceded reinsurance) and $98 million in notional amount of CVIs (net of ceded reinsurance). PRHTA As of September 30, 2022, the Company had $1.2 billion of insured net par outstanding that is covered by the HTA PSA: $771 million insured net par outstanding of PRHTA (transportation revenue) bonds and $418 million insured net par outstanding of PRHTA (highway revenue) bonds. The transportation revenue bonds are secured by a subordinate gross lien on gasoline and gas oil and diesel oil taxes, motor vehicle license fees and certain tolls, plus a first lien on 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 HTA PSA provides for payments to AGM and AGC consisting of: (i) cash; (ii) new bonds expected to be backed by toll revenue (Toll Bonds); and (iii) a CVI. The HTA PSA contemplates a Title III proceeding requiring court approval of a disclosure statement, solicitation and voting process, and a plan confirmation hearing. On September 6, 2022, the FOMB filed an amended HTA Plan with the Federal District Court of Puerto Rico, which the Company believes to be consistent with the HTA PSA, and on October 12, 2022, the court approved the amended HTA Plan. The HTA Plan, similar to the GO/PBA Plan, provides an option for holders of noncallable bonds insured by the Company (representing $788 million of net par outstanding as of September 30, 2022) to elect to receive custody receipts that represent an interest in the legacy insurance policy plus Toll Bonds, and insured bondholders representing $451 million net par outstanding as of September 30, 2022 have elected this option. The FOMB will set the effective date of the HTA Plan (HTA Effective Date) and, as of November 7, 2022, the expected HTA Effective Date had not yet been announced. During third quarter 2022, the Company received, pursuant to the GO/PBA Plan and the terms of the HTA PSA, $147 million of cash and $672 million original notional of CVI. The Company has sold a portion of those CVIs. On the HTA Effective Date, the Company also expects to receive additional recoveries in the form of cash and Toll Bonds. PREPA As of September 30, 2022, the Company had $720 million insured net par outstanding of PREPA obligations. The PREPA obligations are secured by a lien on the revenues of the electric system. On May 3, 2019, AGM and AGC entered into a restructuring support agreement with PREPA and other stakeholders, including a group of uninsured PREPA bondholders, the Commonwealth and the FOMB (PREPA RSA). This agreement was terminated by Puerto Rico on March 8, 2022. On April 8, 2022, Judge Laura Taylor Swain of the Federal District Court of Puerto Rico issued an order appointing as members of a PREPA mediation team U.S. Bankruptcy Judges Shelley Chapman (lead mediator), Robert Drain and Brendan Shannon. Judge Swain also entered a separate order establishing the terms and conditions of mediation, including that the mediation would terminate on June 1, 2022. Judge Swain has since extended the term of such mediation several times, most recently on September 8, 2022 extending the term to September 16, 2022. After mediation terminated, Judge Swain issued an order on September 29, 2022 that (i) directs the FOMB to file a plan of adjustment and disclosure statement by December 1, 2022, (ii) sets a schedule for litigating bondholders’ lien status, and (iii) directs a new round of mediation that would terminate on December 31, 2022, but granting discretion to the mediation team to further extend the mediation deadline to January 31, 2023 based on its assessment of the progress of the mediation process. The last revised fiscal plan for PREPA was certified by the FOMB on May 27, 2021. Other Puerto Rico Exposures All debt service payments for the Company’s remaining Puerto Rico exposures have been made in full by the obligors as of the date of this filing. Such exposures comprise: MFA. As of September 30, 2022, the Company had $131 million insured net par outstanding of bonds issued by MFA secured by a lien on local property tax revenues. U of PR. As of September 30, 2022, the Company had $1 million insured net par outstanding of U of PR bonds, which are general obligations of the university and are secured by a subordinate lien on the proceeds, profits and other income of the university, subject to a senior pledge and lien for the benefit of outstanding university system revenue bonds. PRASA. As of September 30, 2022, the Company had $1 million insured net par outstanding of PRASA obligations. The Company’s insured PRASA obligations are secured by a lien on the gross revenues of the water and sewer system. Puerto Rico Litigation Currently, there are numerous legal actions relating to the default by the Commonwealth and certain of its instrumentalities on debt service payments, and related matters, and the Company is a party to a number of them. The Company has taken legal action, and may take additional legal action in the future, to enforce its rights with respect to Puerto Rico obligations which the Company insures. In addition, the Commonwealth, th |
Expected Loss to be Paid (Recov
Expected Loss to be Paid (Recovered) | 9 Months Ended |
Sep. 30, 2022 | |
Expected Losses [Abstract] | |
Expected Loss to be Paid (Recovered) | Expected Loss to be Paid (Recovered) 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 it. 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 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. Economic loss development represents the change in net expected loss to be paid (recovered) attributable to the effects of changes in the economic performance of insured transactions, 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 various accounting models depending on the characteristics of the contract and the Company’s control rights. The three primary models are: (1) insurance, as described in Note 5, Contracts Accounted for as Insurance; (2) derivatives, as described in Note 6, Contracts Accounted for as Credit Derivatives, and Note 9, Fair Value Measurement; and (3) FG VIE consolidation, as described in Note 8, 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 these 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 Third Quarter Nine Months Accounting Model September 30, 2022 December 31, 2021 2022 2021 2022 2021 (in millions) Insurance (see Note 5) $ 695 $ 364 $ (67) $ (82) $ (137) $ (91) FG VIEs (see Note 8) 28 42 (6) (10) (16) (17) Credit derivatives (see Note 6) 4 5 1 (2) 5 7 Total $ 727 $ 411 $ (72) $ (94) $ (148) $ (101) The following tables present a roll forward of net expected loss to be paid (recovered) for all contracts, which are accounted for under one of the following accounting models: insurance, derivative and FG VIE. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 2.98% to 4.18% with a weighted average of 3.97% as of September 30, 2022 and 0.00% to 1.98% with a weighted average of 1.02% as of December 31, 2021. Expected losses to be paid for U.S. dollar denominated transactions represented approximately 99.3% and 97.2% of the total as of September 30, 2022 and December 31, 2021, respectively. Net Expected Loss to be Paid (Recovered) Roll Forward Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Net expected loss to be paid (recovered), beginning of period $ 442 $ 466 $ 411 $ 529 Economic loss development (benefit) due to: Accretion of discount 3 2 8 5 Changes in discount rates (25) (1) (114) (34) Changes in timing and assumptions (50) (95) (42) (72) Total economic loss development (benefit) (72) (94) (148) (101) Net (paid) recovered losses (1) 357 (173) 464 (229) Net expected loss to be paid (recovered), end of period $ 727 $ 199 $ 727 $ 199 ____________________ (1) In third quarter 2022, the Company received from the Commonwealth, pursuant to the GO/PBA Plan and the terms of the HTA PSA, $147 million of cash and $672 million original notional of CVI. Net Expected Loss to be Paid (Recovered) Roll Forward by Sector Third Quarter 2022 Sector Net Expected Loss to be Paid (Recovered) as of June 30, 2022 Economic Loss Net (Paid) Recovered Losses (1) Net Expected Loss to be Paid (Recovered) as of September 30, 2022 (in millions) Public finance: U.S. public finance $ 210 $ 24 $ 392 $ 626 Non-U.S. public finance 7 (2) 1 6 Public finance 217 22 393 632 Structured finance: U.S. RMBS 179 (95) (32) 52 Other structured finance 46 1 (4) 43 Structured finance 225 (94) (36) 95 Total $ 442 $ (72) $ 357 $ 727 Third Quarter 2021 Sector Net Expected Loss to be Paid (Recovered) as of June 30, 2021 Economic Loss Net (Paid) Recovered Losses (1) Net Expected Loss to be Paid (Recovered) as of September 30, 2021 (in millions) Public finance: U.S. public finance $ 221 (29) $ (201) $ (9) Non-U.S. public finance 22 (2) (1) 19 Public finance 243 (31) (202) 10 Structured finance: U.S. RMBS 178 (65) 29 142 Other structured finance 45 2 — 47 Structured finance 223 (63) 29 189 Total $ 466 $ (94) $ (173) $ 199 Nine Months 2022 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2021 Economic Loss Net (Paid) Recovered Losses (1) Net Expected Loss to be Paid (Recovered) as of September 30, 2022 (in millions) Public finance: U.S. public finance $ 197 $ (16) $ 445 $ 626 Non-U.S. public finance 12 (6) — 6 Public finance 209 (22) 445 632 Structured finance: U.S. RMBS 150 (127) 29 52 Other structured finance 52 1 (10) 43 Structured finance 202 (126) 19 95 Total $ 411 $ (148) $ 464 $ 727 Nine Months 2021 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2020 Economic Loss Net (Paid) Recovered Losses (1) Net Expected Loss to be Paid (Recovered) as of September 30, 2021 (in millions) Public finance: U.S. public finance $ 305 $ (13) $ (301) $ (9) Non-U.S. public finance 36 (15) (2) 19 Public finance 341 (28) (303) 10 Structured finance: U.S. RMBS 148 (82) 76 142 Other structured finance 40 9 (2) 47 Structured finance 188 (73) 74 189 Total $ 529 $ (101) $ (229) $ 199 ____________________ (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 $5 million, $5 million, $25 million and $15 million for third quarter 2022, third quarter 2021, nine months 2022 and nine months 2021, respectively, and (b) expected LAE to be paid of $11 million as of September 30, 2022 and $26 million as of December 31, 2021. Ceded expected loss and LAE to be recovered (paid) was $(2) million as of September 30, 2022 and $10 million as of December 31, 2021. Selected U.S. Public Finance Transactions The primary components of expected loss to be paid (recovered) and/or economic loss development (benefit) as of September 30, 2022 and for the three and nine months ended 2022 are discussed below. The Company insured general obligation bonds of the Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations aggregating $2.1 billion net par outstanding as of September 30, 2022, all of which was BIG. On March 15, 2022, the GO/PBA Plan, PRCCDA Modification, and PRIFA Modification were consummated, as described under “Exposure to Puerto Rico” in Note 3, Outstanding Exposure. On July 8, 2022, the Company received from the Commonwealth, pursuant to the GO/PBA Plan and the terms of the HTA PSA, additional cash and CVIs. On the HTA Effective Date, the Company also expects to receive additional recoveries in the form of cash and Toll Bonds. For additional information regarding the Company’s Puerto Rico exposure, see “Exposure to Puerto Rico” in Note 3, Outstanding Exposure. On February 25, 2015, a plan of adjustment resolving the bankruptcy filing of the City of Stockton, California under chapter 9 of the Bankruptcy Code became effective. As of September 30, 2022, the Company’s net par outstanding subject to the plan consisted of $96 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 insures a large integrated healthcare system with net par of $820 million which was downgraded to BIG in third quarter 2022 due to its weak operating results and liquidity position. The Company projects its total net expected loss to be paid across its troubled U.S. public finance exposures as of September 30, 2022, including those mentioned above, to be $626 million, compared with $197 million as of December 31, 2021. The economic loss development for U.S. public finance transactions was $24 million during third quarter 2022 and was primarily attributable to healthcare and Puerto Rico exposures, partially offset by the effect of changes in discount rates. The economic benefit for U.S. public finance transactions was $16 million during nine months 2022, which was primarily attributable to changes in discount rates and higher projected revenues for certain exposures, partially offset by healthcare and 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 and valuation of certain recovery components based on the public information as discussed under “Exposure to Puerto Rico” in Note 3, Outstanding Exposure as well as nonpublic information related to its loss mitigation activities during the period. 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. 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 Third Quarter Nine Months 2022 2021 2022 2021 (in millions) First lien U.S. RMBS $ (38) (10) $ (34) $ 1 Second lien U.S. RMBS (57) (55) (93) (83) First Lien U.S. RMBS Loss Projections: Alt-A, Prime, Option ARM and Subprime The majority of projected losses in first lien U.S. 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 U.S. RMBS Liquidation Rates As of September 30, 2022 December 31, 2021 Current but recently delinquent 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 While the Company uses the liquidation rates 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 conditional default rate (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 were calculated to emerge from the various delinquency categories. The CDR thus calculated individually on the delinquent collateral pool for each RMBS is then used as the starting point for the CDR curve used to project defaults of the presently performing loans. In the most heavily weighted scenario (the base scenario), after the 36-month CDR plateau period, each transaction’s CDR is projected to improve over 12 months to a final CDR of 5% of the plateau CDR. In the base scenario, the Company assumes the final CDR will be reached 1.00 year after the 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 re-perform. 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 scenario 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 scenario 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 scenario 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 Scenario Expected Loss Estimates First Lien U.S. RMBS As of September 30, 2022 As of December 31, 2021 Range Weighted Average Range Weighted Average Alt-A and Prime: Plateau CDR 1.3 % - 12.1% 5.6% 0.9 % - 11.6% 5.9% Final CDR 0.1 % - 0.6% 0.3% 0.0 % - 0.6% 0.3% Initial loss severity: 2005 and prior 50% 60% 2006 50% 60% 2007+ 50% 60% Option ARM: Plateau CDR 1.8 % - 9.5% 4.7% 1.8 % - 11.9% 5.6% Final CDR 0.1 % - 0.5% 0.2% 0.1 % - 0.6% 0.3% Initial loss severity: 2005 and prior 50% 60% 2006 50% 60% 2007+ 50% 60% Subprime: Plateau CDR 2.1 % - 9.3% 5.8% 2.9 % - 10.0% 6.0% Final CDR 0.1 % - 0.5% 0.3% 0.1 % - 0.5% 0.3% Initial loss severity: 2005 and prior 50% 60% 2006 50% 60% 2007+ 50% 60% 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 scenario. 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, 2021. The Company incorporates a 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. For transactions where the Company has detailed loan information, the Company assumes that 20% of the deferred loan balances will eventually be recovered upon sale of the collateral or refinancing of the loans. In estimating expected losses, the Company modeled and probability weighted sensitivities for first lien U.S. RMBS 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 plateau CDR. The Company also stressed CPR and the speed of recovery of loss severity rates. The Company probability weighted a total of five scenarios as of September 30, 2022 and December 31, 2021. Total expected loss to be paid on all first lien U.S. RMBS was $110 million and $167 million as of September 30, 2022 and December 31, 2021, respectively. The $38 million economic benefit in third quarter 2022 for first lien U.S. RMBS transactions was primarily attributable to the purchase of a loss mitigation security (see Note 7, Investments), changes in discount rates, a benefit on certain assumed RMBS transactions related to a settlement between a ceding company and a R&W provider, and improved transaction performance, partially offset by lower excess spread. The $34 million economic benefit in nine months 2022 for first lien U.S. RMBS transactions was primarily attributable to changes in discount rates, the purchase of a loss mitigation security, lower assumed initial severity, improved performance in certain transactions and a benefit on certain assumed RMBS transactions related to a settlement between a ceding company and a R&W provider, partially offset by lower excess spread. Certain transactions benefit from excess 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 linked to LIBOR. An increase in projected LIBOR decreases excess spread, while lower LIBOR results in higher excess spread. ICE Benchmark Administration (IBA) and the Financial Conduct Authority (FCA) have announced that LIBOR will be discontinued after June 30, 2023. The Company believes that the reference to LIBOR in such floating rate RMBS debt will be replaced, by operation of law in accordance with federal legislation enacted in March 2022, with a rate based on the Secured Overnight Finance Rate (SOFR). The Company used a similar approach to establish its pessimistic and optimistic scenarios as of September 30, 2022 as it used as of December 31, 2021, increasing and decreasing the periods of stress from those used in the base scenario. In the Company’s most stressful scenario where loss severities were assumed to rise and then recover over nine years and the initial ramp-down of the CDR was assumed to occur over 16 months, expected loss to be paid would increase from current projections by approximately $13 million for all first lien U.S. RMBS transactions. In the Company’s least stressful scenario where the CDR plateau was six months shorter (30 months, effectively assuming that liquidation rates would improve) and the CDR recovery was more pronounced (including an initial ramp-down of the CDR over eight months), expected loss to be paid would decrease from current projections by approximately $8 million for all first lien U.S. RMBS transactions. Second Lien U.S. RMBS Loss Projections Second lien U.S. RMBS transactions include both home equity lines of credit (HELOC) and closed end second lien mortgages. The Company believes the primary variable affecting its expected losses in second lien RMBS transactions is the amount and timing of future losses or recoveries in the collateral pool supporting the transactions (including recoveries from previously charged-off loans). Expected losses are also a function of the structure of the transaction, the prepayment speeds of the collateral, the interest rate environment and assumptions about loss severity. The Company estimates the amount of loans that will default over the next several years by first calculating expected liquidation rates for delinquent loans, and applying liquidation rates to currently delinquent loans in order to arrive at an expected dollar amount of defaults from currently delinquent collateral (plateau period defaults). Similar to first lien U.S. RMBS transactions, the Company then calculates a CDR that will cause the targeted amount of liquidations to occur during the plateau period. Prior to third quarter 2022, for the base scenario, the CDR (the plateau CDR) was held constant for six months. Once the plateau period had ended, the CDR was assumed to gradually trend down in uniform increments to its final long-term steady state CDR. (The long-term steady state CDR was calculated as the constant CDR that would have yielded the amount of losses originally expected at underwriting, subject to a floor.) In the base scenario, the time over which the CDR trended down to its final CDR was 28 months. Therefore, the total stress period for second lien transactions was 34 months. The Company has observed lower than expected default rates and longer liquidation timelines due to significant home price appreciation and special servicing activity which now favors modifications and foreclosure actions rather than charge-offs at 180 days delinquent. In the third quarter 2022, the Company extended the time over which a portion of the delinquent loans default from six months to 36 months in the base scenario (conforming to the methodology used for first lien U.S. RMBS transactions). After the plateau period, as with first lien U.S. RMBS transactions, the CDR trends down over one year to 5% of the plateau CDR. These changes in the shape of the CDR curve result in a longer period of stress defaults (48 months in the base scenario), but at lower default levels leading to lower overall levels of expected losses. HELOC loans generally permitted the borrower to pay only interest for an initial period (often ten years) and, after that period, require the borrower to make both the monthly interest payment and a monthly principal payment. This causes the borrower's total monthly payment to increase, sometimes substantially, at the end of the initial interest-only period. A substantial number of loans in the Company’s insured transactions had been modified to extend the interest-only period to 15 years (mostly to 2022-2023), and there was uncertainty regarding the performance of these loans as they reset to full amortization. Recently, the Company has observed the performance of the modified loans that have finally reset to full amortization (which represent the majority of extended loans), and noted low levels of delinquency, even with substantial increases in monthly payments. This observed performance lowers the level of uncertainty regarding this modified cohort as the remainder continue to reset. When a second lien loan defaults, there is generally a low recovery. The Company assumed, as of September 30, 2022 and December 31, 2021, that it will generally recover 2% of future defaulting collateral at the time of charge-off, with additional amounts of post charge-off recoveries projected to come in over time. A second lien on the borrower’s home may be retained in the Company’s second lien transactions after the loan is charged off and the loss applied to the transaction, particularly in cases where the holder of the first lien has not foreclosed. If the second lien is retained and the value of the home increases, the servicer may be able to use the second lien to increase recoveries, either by arranging for the borrower to resume payments or by realizing value upon the sale of the underlying real estate. The Company evaluates its assumptions quarterly based on actual recoveries of charged-off loans observed from period to period and reasonable expectations of future recoveries. In instances where the Company is able to obtain information on the lien status of charged-off loans, it assumes there will be a certain level of future recoveries of the balance of the charged-off loans where the second lien is still intact. The Company’s recovery assumption for charged-off loans is 30%, as shown in the table below, based on observed trends and reasonable expectations of future recoveries. Such recoveries are assumed to be received evenly over the next five years. If the recovery rate decreases to 20%, expected loss to be paid would increase from current projections by approximately $39 million. If the |
Contracts Accounted for as Insu
Contracts Accounted for as Insurance | 9 Months Ended |
Sep. 30, 2022 | |
Insurance [Abstract] | |
Contracts Accounted for as Insurance | Contracts Accounted for as InsuranceThe portfolio of outstanding exposures discussed in Note 3, Outstanding Exposure, and Note 4, 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 6, Contracts Accounted for as Credit Derivatives, for amounts related to CDS and Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for amounts that are accounted for as consolidated FG VIEs. Premiums Net Earned Premiums Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Financial guaranty insurance: Scheduled net earned premiums 70 81 $ 219 $ 242 Accelerations from refundings and terminations (1) 12 8 145 39 Accretion of discount on net premiums receivable 6 13 18 24 Financial guaranty insurance net earned premiums 88 102 382 305 Specialty net earned premiums 1 — 3 2 Net earned premiums $ 89 $ 102 $ 385 $ 307 ____________________ (1) Nine months 2022 accelerations include $104 million related to the March Puerto Rico Resolutions. See Note 3, Outstanding Exposure for additional information. Gross Premium Receivable, Net of Commissions Payable on Assumed Business Roll Forward Nine Months 2022 2021 (in millions) Beginning of year $ 1,372 $ 1,372 Less: Specialty insurance premium receivable 1 1 Financial guaranty insurance premiums receivable 1,371 1,371 Gross written premiums on new business, net of commissions 232 270 Gross premiums received, net of commissions (258) (274) Adjustments: Changes in the expected term and debt service assumptions (5) 6 Accretion of discount, net of commissions on assumed business 18 22 Foreign exchange gain (loss) on remeasurement (181) (22) Expected recovery of premiums previously written off — 4 Financial guaranty insurance premium receivable (1) 1,177 1,377 Specialty insurance premium receivable 1 1 September 30, $ 1,178 $ 1,378 Approximately 76% and 78% of gross premiums receivable, net of commissions payable at September 30, 2022 and December 31, 2021, 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 the consumer price index, changes in expected lives and new business. Financial Guaranty Insurance Expected Future Premium Collections and Earnings As of September 30, 2022 Future Gross Premiums Future Net Premiums (in millions) 2022 (October 1 - December 31) $ 27 $ 71 2023 105 271 2024 82 256 2025 80 240 2026 78 224 2027-2031 328 927 2032-2036 236 650 2037-2041 159 396 After 2041 329 555 Total $ 1,423 3,590 Future accretion 248 Total future net earned premiums $ 3,838 ____________________ (1) Net of commissions payable. (2) Net of reinsurance. Selected Information for Financial Guaranty Insurance Policies with Premiums Paid in Installments As of September 30, 2022 December 31, 2021 (dollars in millions) Premiums receivable, net of commissions payable $ 1,177 $ 1,371 Deferred premium revenue 1,618 1,663 Weighted-average risk-free rate used to discount premiums 1.7% 1.6% Weighted-average period of premiums receivable (in years) 12.9 12.7 Losses and Recoveries Loss reserves and salvage are discounted at risk-free rates for U.S. dollar denominated financial guaranty insurance obligations that ranged from 2.98% to 4.18% with a weighted average of 3.97% as of September 30, 2022 and 0.00% to 1.98% with a weighted average of 1.02% as of December 31, 2021. 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 Sector September 30, 2022 December 31, 2021 (in millions) Public finance: U.S. public finance $ 549 $ 60 Non-U.S. public finance 1 1 Public finance 550 61 Structured finance: U.S. RMBS (96) (24) Other structured finance 41 42 Structured finance (55) 18 Total $ 495 $ 79 Components of Net Reserve (Salvage) As of September 30, 2022 December 31, 2021 (in millions) Loss and LAE reserve $ 882 $ 869 Reinsurance recoverable on unpaid losses (1) (3) (5) Loss and LAE reserve, net 879 864 Salvage and subrogation recoverable (385) (801) Salvage and subrogation reinsurance payable (2) 1 16 Salvage and subrogation recoverable, net (384) (785) Net reserve (salvage) $ 495 $ 79 ____________________ (1) Reported in “other assets” on the condensed consolidated balance sheets. (2) Reported in “other liabilities” on the condensed 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 September 30, 2022 (in millions) Net expected loss to be paid (recovered) - financial guaranty insurance $ 691 Contra-paid, net 18 Salvage and subrogation recoverable, net 384 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (875) Net expected loss to be expensed (present value) $ 218 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 September 30, 2022 (in millions) 2022 (October 1 - December 31) $ 3 2023 16 2024 17 2025 16 2026 20 2027-2031 75 2032-2036 51 2037-2041 11 After 2041 9 Net expected loss to be expensed 218 Future accretion 163 Total expected future loss and LAE $ 381 The following table presents the loss and LAE reported in the condensed consolidated statements of operations by sector for insurance contracts. Amounts presented are net of reinsurance. Loss and LAE (Benefit) by Sector Third Quarter Nine Months Sector 2022 2021 2022 2021 (in millions) Public finance: U.S. public finance $ 1 $ (23) $ 67 $ 7 Non-U.S. public finance — — — (9) Public finance 1 (23) 67 (2) Structured finance: U.S. RMBS (78) (48) $ (97) $ (54) Other structured finance 2 3 1 2 Structured finance (76) (45) (96) (52) Loss and LAE (Benefit) $ (75) $ (68) $ (29) $ (54) The primary difference between net economic loss development and the amount reported as “loss and LAE” in the consolidated statements of operations are that loss and LAE (benefit): (1) considers deferred premium revenue in the calculation of loss reserves for financial guaranty insurance contracts; (2) eliminates loss and LAE related to FG VIEs; and (3) does not include estimated losses on credit derivatives. The difference between public finance loss expense and economic benefit in nine months 2022 was primarily attributable to the release of unearned premium reserve associated with extinguished Puerto Rico policies that previously had expected losses. The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 2022 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 110 17 117 244 244 Remaining weighted-average period (in years) 11.4 8.9 8.0 9.5 9.6 Outstanding exposure: Par $ 2,471 $ 187 $ 3,093 $ 5,751 $ 5,727 Interest 1,604 70 1,184 2,858 2,854 Total (2) $ 4,075 $ 257 $ 4,277 $ 8,609 $ 8,581 Expected cash outflows (inflows) $ 77 $ 126 $ 3,133 $ 3,336 $ 3,324 Potential recoveries (3) (374) (81) (2,027) (2,482) (2,470) Subtotal (297) 45 1,106 854 854 Discount 35 (14) (184) (163) (163) Expected losses to be paid (recovered) $ (262) $ 31 $ 922 $ 691 $ 691 Deferred premium revenue $ 110 $ 18 $ 203 $ 331 $ 331 Reserves (salvage) $ (294) $ 22 $ 763 $ 491 $ 491 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 ____________________ (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 from future payments by obligors pursuant to restructuring agreements, settlements, 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. |
Contracts Accounted for as Cred
Contracts Accounted for as Credit Derivatives | 9 Months Ended |
Sep. 30, 2022 | |
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 3, Outstanding Exposure, and Note 4, 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 5, Contracts Accounted for as Insurance for amounts that relate to contracts accounted for as insurance and Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for amounts that relate to contracts 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, including CDS, 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 CDS 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. In certain credit derivative transactions, the Company also specifically agreed to pay if the obligor were to become bankrupt or if the reference obligation were restructured. Furthermore, in certain credit derivative transactions 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 credit derivative contract; however, the Company on occasion has mutually agreed with various counterparties to terminate certain CDS transactions. 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 12.9 years and 13.2 years as of September 30, 2022 and December 31, 2021, respectively. Credit Derivatives (1) As of September 30, 2022 As of December 31, 2021 Sector Net Par Net Fair Value Asset (Liability) Net Par Net Fair Value Asset (Liability) (in millions) U.S. public finance $ 1,191 $ (99) $ 1,705 $ (72) Non-U.S. public finance 1,467 (67) 1,800 (48) U.S. structured finance 347 (25) 400 (32) Non-U.S. structured finance 112 (3) 135 (2) Total $ 3,117 $ (194) $ 4,040 $ (154) ____________________ (1) Expected loss to be paid was $4 million and $5 million as of September 30, 2022 and December 31, 2021, respectively. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of September 30, 2022 As of December 31, 2021 Rating Category Net Par % of Total Net Par % of Total (dollars in millions) AAA $ 1,166 37.4 % $ 1,503 37.2 % AA 1,078 34.5 1,283 31.8 A 245 7.9 514 12.7 BBB 570 18.3 677 16.7 BIG 58 1.9 63 1.6 Credit derivative net par outstanding $ 3,117 100.0 % $ 4,040 100.0 % Fair Value Gains (Losses) on Credit Derivatives Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Realized gains (losses) and other settlements $ (1) $ 1 $ (2) $ 4 Net unrealized gains (losses) (47) 20 (40) (35) Fair value gains (losses) on credit derivatives $ (48) $ 21 $ (42) $ (31) During third quarter 2022, unrealized losses were generated primarily as a result of the wider asset spreads and 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 (or another comparable entity) would expect to receive on these transactions increased. During third quarter 2021, unrealized gains were generated primarily as a result of the termination of several CDS policies, primarily trust preferred securities transactions. During nine months 2022, unrealized losses were generated primarily as a result of the wider asset spreads, partially offset by the increased cost to buy protection on AGC, changes in discount rates, decreases in exposures and payment of amounts related to certain structured finance exposures. During nine months 2021, unrealized losses 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. These losses were partially offset by the price improvement of the underlying collateral and the termination of certain CDS policies. 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 September 30, 2022 As of December 31, 2021 As of September 30, 2021 As of December 31, 2020 Five-year CDS spread 70 49 61 132 One-year CDS spread 28 16 20 36 Fair Value of Credit Derivative Assets (Liabilities) and Effect of AGC Credit Spread As of September 30, 2022 December 31, 2021 (in millions) Fair value of credit derivatives before effect of AGC credit spread $ (239) $ (225) Plus: Effect of AGC credit spread 45 71 Net fair value of credit derivatives $ (194) $ (154) The fair value of CDS contracts as of September 30, 2022, 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. |
Investments
Investments | 9 Months Ended |
Sep. 30, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | Investments 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. The Company has established investment guidelines for its investment managers 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) loss mitigation securities; (ii) securities managed under an Investment Management Agreement (IMA) with AssuredIM; (iii) new recovery bonds and CVIs received in connection with the consummation of the March Puerto Rico Resolutions and the HTA PSA and (iv) 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 $92 million as of September 30, 2022 related to certain of the Company’s alternative investments other than AssuredIM Funds. Investment Portfolio Carrying Value As of September 30, 2022 December 31, 2021 (in millions) Fixed-maturity securities, available-for-sale (1): Externally managed $ 5,456 $ 6,843 Loss mitigation securities and other 744 818 AssuredIM managed 516 541 Fixed-maturity securities - Puerto Rico (2) 64 — Fixed-maturity securities - Puerto Rico, trading (3) 393 — Short-term investments (4) 1,177 1,225 Other invested assets: Equity method investments 120 169 Other 10 12 Total $ 8,480 $ 9,608 ____________________ (1) 8.3% and 7.5% of fixed-maturity securities were rated BIG as of September 30, 2022 and December 31, 2021, respectively, consisting primarily of loss mitigation securities. 1.8% and 0.9% were not rated, as of September 30, 2022 and December 31, 2021, respectively. (2) Represents new recovery bonds received in connection with the consummation of the March Puerto Rico Resolutions. These securities are not rated. (3) Represents CVIs received in connection with the consummation of the March Puerto Rico Resolutions and the HTA PSA. These securities are not rated. (4) Weighted average credit rating of AAA as of both September 30, 2022 and December 31, 2021, based on the lower of the Moody’s Investors Service, Inc. (Moody’s) and S&P Global Ratings, a division of Standard & Poor's Financial Services LLC (S&P) classifications. The U.S. Insurance Subsidiaries, through their jointly owned investment subsidiary, AGAS, are authorized to invest up to $750 million in AssuredIM Funds. Adding inception-to-date distributed gains, the U.S. Insurance Subsidiaries may invest a total of up to $810 million in AssuredIM Funds through AGAS. As of September 30, 2022, the U.S. Insurance Subsidiaries had total commitments to AssuredIM Funds of $755 million, of which $536 million represented net invested capital and $219 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 September 30, 2022 and December 31, 2021, the fair value of AGAS’ interest in AssuredIM Funds was $574 million and $543 million, respectively. 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 condensed 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 non-controlling interests. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Accrued investment income, which is reported in “other assets,” was $72 million as of September 30, 2022 and $69 million as of December 31, 2021. In nine months 2022 and nine months 2021, the Company did not write off any accrued investment income. Available-for-Sale Fixed-Maturity Securities by Security Type As of September 30, 2022 Security Type Percent Amortized Allowance for Credit Losses Gross Gross Estimated AOCI (5) Pre-tax Gain (Loss) on Securities with Credit Loss Weighted Average Credit Rating (2) (dollars in millions) Obligations of state and political subdivisions 43 % $ 3,264 $ (13) $ 23 $ (173) $ 3,101 $ (3) AA- U.S. government and agencies 2 122 — 2 (9) 115 — AA+ Corporate securities (3) 32 2,405 (4) — (401) 2,000 (80) A Mortgage-backed securities (4): RMBS 6 432 (19) 3 (55) 361 (44) BBB Commercial mortgage-backed securities (CMBS) 4 291 — — (11) 280 — AAA Asset-backed securities: CLOs 6 445 — — (31) 414 — A+ Other 6 425 (21) 20 (4) 420 (2) CCC+ Non-U.S. government securities 1 122 — — (33) 89 — AA- Total available-for-sale fixed-maturity securities 100 % $ 7,506 $ (57) $ 48 $ (717) $ 6,780 $ (129) A Available-for-Sale 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+ 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 available-for-sale fixed-maturity securities 100 % $ 7,822 $ (42) $ 478 $ (56) $ 8,202 $ (30) A+ ____________________ (1) Based on amortized cost. (2) Ratings represent the lower of the Moody’s and S&P classifications, except for loss mitigation and certain other securities, which use internal ratings classifications. The Company’s portfolio primarily consists of high-quality, liquid instruments. New recovery bonds received in connection with the consummation of the March Puerto Rico Resolutions are not rated. (3) Includes securities issued by taxable universities and hospitals. (4) U.S. government-agency obligations were approximately 29% and 31% of mortgage-backed securities as of September 30, 2022 and December 31, 2021, respectively, based on fair value. (5) Accumulated other comprehensive income (AOCI). Gross Unrealized Loss by Length of Time for Available-for-Sale Fixed-Maturity Securities for Which a Credit Loss was Not Recorded As of September 30, 2022 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 $ 2,450 $ (155) $ 39 $ (15) $ 2,489 $ (170) U.S. government and agencies 32 — 52 (9) 84 (9) Corporate securities 1,501 (216) 271 (105) 1,772 (321) Mortgage-backed securities: RMBS 160 (11) 1 — 161 (11) CMBS 277 (11) — — 277 (11) Asset-backed securities: CLOs 272 (18) 141 (13) 413 (31) Other 27 (2) — — 27 (2) Non-U.S. government securities 70 (22) 19 (11) 89 (33) Total $ 4,789 $ (435) $ 523 $ (153) $ 5,312 $ (588) Number of securities (1) 1,799 288 2,060 Gross Unrealized Loss by Length of Time for Available-for-Sale 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 ___________________ (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 September 30, 2022 and December 31, 2021 were not related to credit quality, and in the case of nine months 2022, primarily attributable to rising interest rates. In addition, as of September 30, 2022, the Company did not intend to and was not required to sell investments in an unrealized loss position prior to expected recovery in value. As of September 30, 2022, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, 687 securities had unrealized losses in excess of 10% of their carrying value, whereas as of December 31, 2021, 23 securities had unrealized losses in excess of 10% of their carrying value. The total unrealized loss for these securities was $450 million as of September 30, 2022 and $6 million as of December 31, 2021. The amortized cost and estimated fair value of available-for-sale fixed-maturity securities by contractual maturity as of September 30, 2022 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 Available-for-Sale Fixed-Maturity Securities by Contractual Maturity As of September 30, 2022 Amortized Estimated (in millions) Due within one year $ 242 $ 234 Due after one year through five years 1,775 1,575 Due after five years through 10 years 1,651 1,503 Due after 10 years 3,115 2,827 Mortgage-backed securities: RMBS 432 361 CMBS 291 280 Total $ 7,506 $ 6,780 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 $211 million as of September 30, 2022 and $243 million as of December 31, 2021. 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 amounts of $1,174 million and $1,231 million, based on fair value as of September 30, 2022 and December 31, 2021, respectively. Income from Investment Portfolio Net investment income is a function of the yield that the Company earns on available-for-sale 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. Puerto Rico CVIs are classified as trading with changes in fair value reported in the condensed consolidated statements of operations. Equity in earnings (losses) of investees represents the Company’s interest in the earnings of its equity method investments. Income from Investment Portfolio Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Investment income: Externally managed $ 46 $ 52 $ 141 $ 155 Loss mitigation securities and other 16 11 39 41 Managed by AssuredIM (1) 6 4 15 12 Investment income 68 67 195 208 Investment expenses (1) (1) (4) (4) Net investment income $ 67 $ 66 $ 191 $ 204 Fair value gains (losses) on trading securities (2) $ (8) $ — $ (30) $ — Equity in earnings (losses) of investees (3) $ (20) $ 23 $ (31) $ 66 ____________________ (1) Represents interest income on a portfolio of CLOs and municipal bonds managed by AssuredIM under an IMA. (2) Fair value losses on trading securities pertaining to securities still held as of September 30, 2022 were $2 million for third quarter 2022 and $18 million for nine months 2022. (3) Fair value gains (losses) on investments where the fair value option (FVO) was elected utilizing the net asset value (NAV) as a practical expedient were $13 million in third quarter 2021, $(3) million in nine months 2022, and $39 million in nine months 2021. Realized Investment Gains (Losses) The table below presents the components of net realized investment gains (losses). Realized gains and losses on sales of investments are determined using the specific identification method. Net Realized Investment Gains (Losses) Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Gross realized gains on sales available-for-sale securities $ — $ — $ — $ 2 Gross realized losses on sales available-for-sale securities (1) (10) — (33) (2) Net foreign currency gains (losses) — (2) (3) — Change in credit impairment and intent to sell (4) 5 (13) 1 Other net realized gains (losses) (2) — — 10 3 Net realized investment gains (losses) $ (14) $ 3 $ (39) $ 4 ____________________ (1) Third quarter 2022 and nine months 2022 related primarily to sales of bonds received as part of the March Puerto Rico Resolutions. (2) Net realized gains in nine months 2022 related primarily to the sale of one of the Company’s alternative investments. The proceeds from sales of fixed-maturity securities classified as available-for-sale were $207 million in third quarter 2022, $560 million in nine months 2022 and $222 million in nine months 2021. There were no sales of fixed-maturity securities classified as available-for-sale in third quarter 2021. The following table presents the roll forward of the credit losses on available-for-sale fixed-maturity securities for which the Company has recognized an allowance for credit losses in 2022 and 2021. Roll Forward of Credit Losses for Available-for-Sale Fixed-Maturity Securities Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Balance, beginning of period $ 51 $ 39 $ 42 $ 78 Additions on securities for which credit impairments were not previously recognized 1 — 4 1 Additions from purchases of securities accounted for as purchased financial assets with credit deterioration 2 — 2 — Additions (reductions) on securities for which credit impairments were previously recognized 3 (4) 9 (2) Reductions for securities sold and other settlements (1) — — — (42) Balance, end of period $ 57 $ 35 $ 57 $ 35 (1) Primarily attributable to the sale of a security with a $42 million credit allowance in nine months 2021. The Company recorded credit loss expenses of $4 million and $13 million in third quarter 2022 and nine months 2022, respectively. The Company recorded a benefit in credit loss of $4 million and $1 million in third quarter 2021 and nine months 2021, respectively. During third quarter 2022, the Company purchased a loss mitigation security with a fair value of $22 million that was accounted for as a purchased security with credit deterioration. At acquisition, this security had an unpaid principal on remaining collateral of $31 million, an allowance for credit losses of $2 million, and a non-credit related discount of $7 million. The Company did not purchase any securities with credit deterioration in the first half of 2022 or nine months 2021. Most of the Company’s securities with credit deterioration are loss mitigation securities. |
Financial Guaranty Variable Int
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles | 9 Months Ended |
Sep. 30, 2022 | |
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 FG VIEs Structured Finance and Other 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 structured finance and other FG VIEs (which excludes the Puerto Rico Trusts described below) 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 structured finance and other FG VIEs. Proceeds from sales, maturities, prepayments and interest from such underlying collateral may only be used to pay debt service on structured finance and other FG VIEs’ liabilities. 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 to no longer have those protective rights, the VIE is deconsolidated. The structured finance and other FG VIEs’ liabilities that are guaranteed by the insurance subsidiaries are considered to be with recourse, because the insurance subsidiaries guarantee the payment of principal and interest regardless of the performance of the related FG VIEs’ assets. The structured finance and other 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. The Company has elected the FVO for all assets and all liabilities of the structured finance and other FG VIEs. The change in fair value of all structured finance and other FG VIEs assets and liabilities is reported in “fair value gains (losses) on FG VIEs” in the condensed consolidated statement of operations, except for the change in fair value attributable to change in instrument-specific credit risk (ISCR) on the structured finance and other FG VIE liabilities, which is reported in other comprehensive income (OCI). As of September 30, 2022 and December 31, 2021, the Company consolidated 24 and 25 structured finance and other FG VIEs, respectively. During nine months 2022, one FG VIE was consolidated and two FG VIEs were deconsolidated. During nine months 2021, one FG VIE was deconsolidated. There were no other consolidations or deconsolidations for the periods presented. Puerto Rico Trusts As of September 30, 2022, the Company consolidated six custodial trusts established as part of the GO/PBA Plan (Puerto Rico Trusts) discussed in Note 3, Outstanding Exposure, Exposures to Puerto Rico. With respect to certain insured securities covered by the GO/PBA Plan, insured bondholders were permitted to elect to receive custody receipts that represent an interest in the legacy insurance policy plus cash, new recovery bonds and CVIs (in aggregate, Plan Consideration) that constitute distributions under the GO/PBA Plan. For those who made this election, distributions of Plan Consideration are 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 are applied to make payments and/or prepayments of amounts due under the legacy insured bonds. The Company’s insurance policy continues to guarantee principal and interest coming due on the legacy insured bonds in accordance with the terms of such insurance policy on the originally scheduled legacy bond interest and principal payment dates to the extent that distributions of Plan Consideration are insufficient to pay such amounts after giving effect to the distributions described in the immediately preceding sentence. In the case of insured bondholders who elected to receive custody receipts, the Company retains 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 100% of the then outstanding principal amount of insured bonds plus accrued interest. The Company consolidated the Puerto Rico Trusts as its insurance subsidiaries are deemed to be the primary beneficiary given their power to collapse these trusts. The assets within the Puerto Rico Trusts are classified as follows: new recovery bonds as available-for-sale securities ($21 million fair value, $24 million amortized cost as of September 30, 2022) and CVIs as trading securities ($6 million fair value as of September 30, 2022, $1 million fair value losses on trading securities for nine months 2022). The new recovery bonds and CVIs have maturity dates ranging from 2023 to 2046. For the measurement of liabilities of the Puerto Rico Trusts, the Company elected the FVO in order to simplify the accounting for these instruments. Investment income on the new recovery bonds, unrealized gains and losses on the CVIs and the change in fair value of the Puerto Rico Trusts’ liabilities, which are all with recourse, are all reported in “fair value gains (losses) on FG VIEs” on the condensed consolidated statement of operations, except for the change in fair value attributable to change in ISCR on the Puerto Rico Trusts’ liabilities, which is reported in OCI. Unrealized gains and losses on the new recovery bonds are reported in OCI. During nine months 2022, the consolidation of the nine Puerto Rico Trusts resulted in a $4 million loss on consolidation and the deconsolidation of three Puerto Rico Trusts resulted in a $1 million loss, which were also reported in “fair value gains (losses) on FG VIEs.” Components of FG VIE Assets and 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 4, Expected Loss to be Paid (Recovered). The table below shows the carrying value of all of the consolidated FG VIEs’ assets and liabilities in the condensed consolidated balance sheets, segregated by the types of assets that collateralize the respective debt obligations for FG VIEs’ liabilities. Consolidated FG VIEs by Type of Collateral As of September 30, 2022 December 31, 2021 (in millions) FG VIEs’ assets: U.S. RMBS first lien $ 177 $ 221 U.S. RMBS second lien 33 39 Puerto Rico Trusts’ securities 26 — Total FG VIEs’ assets $ 236 $ 260 FG VIEs’ liabilities with recourse: U.S. RMBS first lien $ 182 $ 227 U.S. RMBS second lien 25 42 Puerto Rico Trusts’ liabilities 31 — Total FG VIEs’ liabilities with recourse $ 238 $ 269 FG VIEs’ liabilities without recourse: U.S. RMBS first lien $ 13 $ 20 Total FG VIEs’ liabilities without recourse $ 13 $ 20 The change in the ISCR of the FG VIEs’ assets for which the Company elected the FVO (FG VIEs’ assets at FVO) held as of September 30, 2022 that was reported in the condensed consolidated statements of operations for third quarter 2022 and nine months 2022 were gains of $15 million and $11 million, respectively. The change in the ISCR of the FG VIEs’ assets at FVO held as of September 30, 2021 were gains of $5 million and $9 million for third quarter 2021 and nine months 2021, 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 (all of which are measured at fair value under the FVO) 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. Selected Information for FG VIEs’ Assets and Liabilities Measured under the FVO As of September 30, 2022 December 31, 2021 (in millions) Excess of unpaid principal over fair value of: FG VIEs’ assets $ 261 $ 255 FG VIEs’ liabilities with recourse 34 12 FG VIEs’ liabilities without recourse 15 15 Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due 38 52 Unpaid principal for FG VIEs’ liabilities with recourse (1) 272 281 ____________________ (1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2022 through 2038. During nine months 2022, the Company recorded an out-of-period adjustment totaling $6.6 million in pre-tax income and $5.2 million in net income attributable to AGL. The out-of-period adjustment related to the correction of the fair value of FG VIE. CIVs CIVs consist of certain AssuredIM Funds, CLOs and CLO warehouses in which the Company is the primary beneficiary. 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. 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 condensed consolidated statements of operations. Interest income from CLO assets is recorded based on contractual rates. Number of Consolidated CIVs by Type As of CIV Type September 30, 2022 December 31, 2021 Funds 8 8 CLOs 10 9 CLO warehouses 4 3 Total number of consolidated CIVs (1) 22 20 ____________________ (1) As of September 30, 2022 two CIVs were voting interest entities, and as of December 31, 2021 one CIV was a voting interest entity. Certain funds meet the criteria for a voting interest entity because the Company possesses substantially all of the economics and all of the decision-making authority. The table below summarizes the change in the number of consolidated CIVs during each of the periods. During nine months 2022 and nine months 2021, two and three, respectively, consolidated CLO warehouses were securitized and became CLOs. Roll Forward of Number of Consolidated CIVs Nine Months 2022 2021 Beginning of year 20 11 Consolidated 4 6 Deconsolidated (1) (2) (1) September 30, 22 16 ____________________ (1) During nine months 2022 the Company deconsolidated a CLO with assets and liabilities of $417 million. Assets and Liabilities of CIVs As of September 30, 2022 December 31, 2021 (in millions) Assets: Fund assets: Cash and cash equivalents $ 71 $ 64 Fund investments, at fair value Equity securities and warrants 434 252 Obligations of state and political subdivisions — 101 Corporate securities 87 98 Structured products 133 62 Due from brokers and counterparties — 49 Other 1 1 CLO and CLO warehouse assets: Cash 68 156 CLO investments: Loans in CLOs, FVO 4,088 3,913 Loans in CLO warehouses, FVO 324 331 Short-term investments, at fair value 85 145 Due from brokers and counterparties 45 99 Total assets (1) $ 5,336 $ 5,271 Liabilities: CLO obligations, FVO (2) 3,962 3,665 Warehouse financing debt, FVO (3) 224 126 Securities sold short, at fair value — 41 Due to brokers and counterparties 173 570 Other liabilities 88 34 Total liabilities $ 4,447 $ 4,436 ____________________ (1) Includes investments in AssuredIM Funds and other affiliated entities of $394 million and $223 million as of September 30, 2022 and December 31, 2021, respectively. Includes assets and liabilities of voting interest entities as of September 30, 2022 of $69 million and $2 million, respectively, and assets of $12 million as of December 31, 2021. (2) The weighted average maturity of CLO obligations was 6.5 years as of September 30, 2022 and 6.6 years as of December 31, 2021. The weighted average interest rate of CLO obligations was 3.9% as of September 30, 2022 and 1.8% as of December 31, 2021. CLO obligations have stated final maturity dates from 2034 to 2035. (3) The weighted average maturity of warehouse financing debt of CLO warehouses was 1.5 years as of September 30, 2022 and 1.8 years as of December 31, 2021. The weighted average interest rate of warehouse financing debt of CLO warehouses was 2.6% as of September 30, 2022 and 1.1% as of December 31, 2021. Warehouse financing debt will mature at various dates from 2023 to 2031. The Company has an investment structure, where it invests with other co-investors in a municipal bond feeder fund. In this structure, the invested capital of one or more feeder funds purchases ownership interests in another fund, referred to as a master fund. The master fund utilizes this invested capital and, in certain cases, other debt financing, to purchase various classes of assets on behalf of its investors. The master fund’s investment objective is to generate attractive risk adjusted absolute returns by investing in municipal bonds, both investment grade and high-yield, taxable and tax-exempt as well as related investment and derivative products to hedge interest rate risk. The Company consolidates the feeder fund, a VIE. The feeder fund does not consolidate the master fund. Rather, because the feeder fund is an investment company, specialized industry accounting for investment companies requires it to measure its investments (i.e., limited partnership interests) at fair value through net income. The Company has elected to apply the NAV practical expedient to fair value measurement to measure the feeder’s proportionate share of the net assets of the master fund. The consolidated feeder’s investment in this master fund totaled $125 million as of September 30, 2022 and is included in the table above in the caption “equity securities and warrants”. The master fund had gross assets of $150 million and gross liabilities of $26 million, as of September 30, 2022. Noncontrolling Interest in CIVs Noncontrolling interest in CIVs represents the proportion of the consolidated funds not owned by the Company, and includes ownership interests of third parties, employees, and former employees. The majority of the noncontrolling interest is non-redeemable and presented on the statement of shareholders’ equity. The table below presents the rollforward of redeemable noncontrolling interest in CIVs. Redeemable Noncontrolling Interest in CIVs Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Beginning balance $ 21 $ 21 $ 22 $ 21 Net income (loss) attributable to the redeemable noncontrolling interest — — (1) — Contributions — — 21 — Distributions — — (21) — September 30, $ 21 $ 21 $ 21 $ 21 As of September 30, 2022, the CIVs had $442 million commitments to invest. As of September 30, 2022 and December 31, 2021, the CIVs included derivative contracts with notional amounts totaling $45 million and $49 million, respectively, and average notional amounts of $47 million and $34 million, respectively. The fair value of derivative contracts is reported in the “assets of CIVs” or “liabilities of CIVs” in the condensed consolidated balance sheets. The net change in fair value is reported in “fair value gains (losses) on CIVs” in the condensed consolidated statements of operations. The net change in fair value of derivative contracts were gains of $7 million for nine months 2022, and $1 million for nine months 2021. 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 other Assured Guaranty subsidiaries. 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 other Assured Guaranty subsidiaries. As of September 30, 2022, these credit facilities had varying maturities ranging from 2023 to 2031 with the aggregate principal amount not exceeding $1.5 billion. The available commitment was based on the amount of equity contributed to the warehouse which was $337 million. As of September 30, 2022, $206 million was drawn under credit facilities with interest rates ranging from 3-month Euro Interbank Offered Rate (Euribor) plus 150 basis points (bps) to 3-month SOFR plus 150 bps (with a floor on Euribor of zero). The CLO warehouses were in compliance with all financial covenants as of September 30, 2022. As of September 30, 2022, 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 $110 million jointly and $71 million individually for the consolidated healthcare fund. The available commitment was based on the amount of equity contributed to the funds. As of September 30, 2022, $62 million was drawn 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 September 30, 2022. During nine months 2022, the Company recorded an out-of-period adjustment totaling $2.1 million in pre-tax income and $1.7 million in net income attributable to AGL. The out-of-period adjustments related to an incorrect elimination of the foreign exchange remeasurement on the portion of consolidated CLOs that are owned by other Assured Guaranty subsidiaries. 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 financial guaranty insurance or insured credit derivative contract, the Company classifies the assets and liabilities of that VIE in the line items that most accurately reflect the nature of such assets and liabilities, as opposed to within FG VIEs’ assets and FG VIEs’ liabilities. The largest of these VIEs had assets of $85 million and liabilities of $14 million as of September 30, 2022, and assets of $96 million and liabilities of $11 million as of December 31, 2021, primarily reported in “investments” and “credit derivative liabilities” on the condensed consolidated balance sheets. Non-Consolidated VIEs As described in Note 3, Outstanding Exposure, the Company monitors all policies in the insured portfolio. Of the approximately 16 thousand policies monitored as of September 30, 2022, approximately 14 thousand policies are not within the scope of FASB 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. With respect to structured finance and other FG VIEs, as of September 30, 2022 and December 31, 2021, the Company identified 63 and 69 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 24 and 25 structured finance and other FG VIEs as of September 30, 2022 and December 31, 2021, respectively. In addition, as of September 30, 2022 the Company consolidated six Puerto Rico Trusts. The Company’s exposure through its financial guaranties with respect to debt obligations of FG VIEs is included within net par outstanding in Note 3, Outstanding Exposure. |
Fair Value Measurement
Fair Value Measurement | 9 Months Ended |
Sep. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurement | Fair Value Measurement The Company carries a significant portion of its assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit price). The price represents the price available in the principal market for the asset or liability. If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market). Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on either internally developed models that primarily use, as inputs, market-based or independently sourced market parameters, including but not limited to yield curves, interest rates and debt prices or with the assistance of an independent third party using a discounted cash flow approach and the third party’s proprietary pricing models. In addition to market information, models also incorporate transaction details, such as maturity of the instrument and contractual features designed to reduce the Company’s credit exposure, such as collateral rights as applicable. Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity. As markets and products develop and the pricing for certain products becomes more or less transparent, the Company may refine its methodologies and assumptions. During nine months 2022, no changes were made to the Company’s valuation models that had, or are expected to have, a material impact on the Company’s condensed consolidated balance sheets or statements of operations and comprehensive income. The Company’s methods for calculating fair value produce a fair value that may not be indicative of net realizable value or reflective of future fair values. The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a 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 were no transfers from or into 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 September 30, 2022, the Company used models to price 188 securities, including loss mitigation securities, with a Level 3 fair value of $1.0 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 FVO using NAV, as a practical expedient, which are excluded from the fair value hierarchy. Other Assets Committed Capital Securities Each of AGC and AGM have entered into put agreements with four separate custodial trusts allowing each of AGC and AGM 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 fair value of CCS, which is reported in other assets on the condensed consolidated balance sheets, represents the difference between the present value of remaining expected put option premium payments under AGC CCS and AGM’s Committed Preferred Trust Securities (the AGM CPS) agreements, and the estimated present value that the Company would hypothetically have to pay currently for a comparable security. 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 condensed 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 condensed 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 condensed 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 September 30, 2022 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 by 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. The primary sources of information used to determine gross spread include: • 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 2.49% to 4.62% at September 30, 2022 and 0.11% to 1.78% at December 31, 2021. 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. As of September 30, 2022 and December 31, 2021, the use of the minimum premium did not have a significant effect on fair value. 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 lower 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 FVO for the structured finance and other 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. For the assets in the Puerto Rico Trusts, new recovery bonds are classified as Level 2 available-for-sale securities, and CVIs are classified as Level 2 trading securities. The liabilities of the Puerto Rico Trusts are measured under the FVO as Level 3 on the fair value hierarchy. See “ - Fixed Maturity Securities” above for a description of the fair value methodology for the recovery bonds and CVIs in the Puerto Rico Trusts, which represent the majority of the assets in the Puerto Rico Trusts. The fair value of the residential mortgage loan 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 (other than the liabilities of the Puerto Rico Trusts) 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. The liabilities of the Puerto Rico Trusts are priced based on the value of the assets in the Puerto Rico Trusts including the value of the insurance subsidiaries’ financial guaranty policies. Significant changes to any of the inputs described above could materially change the timing of expected losses within an 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. The net change in the fair value of FG VIEs’ assets and liabilities is reported in “fair value gains (losses) on financial guaranty variable interest entities” in the condensed consolidated statements of operations, except for the change in fair value of FG VIEs’ liabilities with recourse caused by changes in ISCR which is separately presented in OCI, and the change in fair value of available-for-sale securities, which is reported as a component of the change in unrealized gains (losses) on investments in OCI. Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on financial guaranty variable interest entities.” The FG VIEs issued securities that are typically collateralized by first lien and second lien U.S. residential mortgage loans, or, in the case of the Puerto Rico Trusts, the Plan Consideration received under the GO/PBA Plan. Assets and Liabilities of CIVs The consolidated CLOs are collateralized financing entities (CFEs), and therefore, the debt issued by, and loans held by, the consolidated CLOs are measured under the FVO 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 FVO 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 valued 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. The methods and procedures to value these investments may include, but are not limited to: (i) performing comparisons with prices of comparable or similar investments; (ii) obtaining valuation-related information from issuers; (iii) calculating the present value of future cash flows; (iv) assessing other analytical data and information related to the investment that is an indication of value; (v) obtaining information provided by third parties; (vi) and/or evaluating information provided by management of these investments. 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 FVO), 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 September 30, 2022 Fair Value Hierarchy Level 1 Level 2 Level 3 Total (in millions) Assets: Investments: Fixed-maturity securities, available-for-sale Obligations of state and political subdivisions $ — $ 3,053 $ 48 $ 3,101 U.S. government and agencies — 115 — 115 Corporate securities — 2,000 — 2,000 Mortgage-backed securities: RMBS — 169 192 361 CMBS — 280 — 280 Asset-backed securities — 28 806 834 Non-U.S. government securities — 89 — 89 Total fixed-maturity securities, available-for-sale — 5,734 1,046 6,780 Fixed-maturity securities, trading — 393 — 393 Short-term investments 1,158 19 — 1,177 Other invested assets (1) 2 — 5 7 FG VIEs’ assets — 26 210 236 Assets of CIVs (2): Fund investments: Equity securities and warrants — 6 297 303 Corporate securities — — 87 87 Structured products — 90 43 133 CLOs and CLO warehouse assets: Loans — 4,412 — 4,412 Short-term investments 85 — — 85 Total assets of CIVs 85 4,508 427 5,020 Other assets 50 43 36 129 Total assets carried at fair value $ 1,295 $ 10,723 $ 1,724 $ 13,742 Liabilities: Credit derivative liabilities $ — $ — $ 195 $ 195 FG VIEs’ liabilities (3) — — 251 251 Liabilities of CIVs: CLO obligations of CFEs — — 3,962 3,962 Warehouse financing debt — 199 25 224 Securitized borrowing — — 22 22 Other — 1 — 1 Total liabilities of CIVs — 200 4,009 4,209 Other liabilities — 8 — 8 Total liabilities carried at fair value $ — $ 208 $ 4,455 $ 4,663 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: Fixed-maturity securities, available-for sale 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, available-for-sale — 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 ___________________ (1) Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. Excludes $17 million and $19 million of equity method investments measured at fair value under the FVO using the NAV as a practical expedient as of September 30, 2022 and December 31, 2021, respectively. (2) Excludes $6 million as of both September 30, 2022 and December 31, 2021 in investments in AssuredIM Funds for which the Company records a 100% noncontrolling interest. The consolidation of these funds results in a gross up of assets and noncontrolling interest on the consolidated financial statements; however, it results in no economic equity or net income attributable to AGL. As of September 30, 2022, excludes a $125 million investment in the AssuredIM municipal relative value master fund, which is measured using NAV as a practical expedient. (3) Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Changes in Level 3 Fair Value |
Asset Management Fees
Asset Management Fees | 9 Months Ended |
Sep. 30, 2022 | |
Revenue from Contract with Customer [Abstract] | |
Asset Management Fees | Asset Management Fees The following table presents the sources of asset management fees on a consolidated basis. Asset Management Fees Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Management fees: CLOs $ 8 $ 9 $ 25 $ 31 Opportunity funds and liquid strategies 2 4 14 12 Wind-down funds 1 2 2 6 Total management fees 11 15 41 49 Performance fees 2 — 17 1 Reimbursable fund expenses 3 5 13 15 Total asset management fees $ 16 $ 20 $ 71 $ 65 |
Long-Term Debt and Credit Facil
Long-Term Debt and Credit Facilities | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Long-Term Debt and Credit Facilities | Long-Term Debt and Credit Facilities On May 26, 2021, AGUS issued $500 million of 3.15% Senior Notes due 2031 (3.15% Senior Notes) for net proceeds of $494 million. 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. 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 5% Senior Notes due in 2024. In third quarter 2021, 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) 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 consisted 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 5% Senior Notes. 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 resolution of a portion of its Puerto Rico exposures. See Note 3, Outstanding Exposure. The short-term loan facility permitted the Company to borrow up to $550 million for up to thirty days and up to $150 million for up to six months. The Company borrowed $400 million under the thirty days portion of this facility on March 14, 2022, and repaid it in full, with interest, on March 16, 2022. The Company did not borrow any amounts under the six months portion of the facility. The one month component bore interest at 1.10% per annum. The ability of the Company to borrow under the facility has expired. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2022 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes Overview 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. AGL is a 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. 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. On August 16, 2022, the U.S. enacted the Inflation Reduction Act of 2022 (the IRA), which, among other things, implemented a 15% minimum tax on book income of certain large corporations, a 1% excise tax on net stock repurchases that occur after December 31, 2022, and several tax incentives to promote clean energy. Currently, we do not believe that this new minimum tax nor the other income tax provisions of the IRA will have a material impact on our consolidated financial statements. Tax Assets (Liabilities) Deferred and Current Tax Assets (Liabilities) (1) As of September 30, 2022 December 31, 2021 (in millions) Net deferred tax assets (liabilities) $ 185 $ (33) Net current tax assets (liabilities) 13 (43) ____________________ (1) Included in “other assets” or “other liabilities” on the condensed consolidated balance sheets. Valuation Allowance During third quarter 2022, the Company recorded a return to provision adjustment, which included the utilization of $19 million in foreign tax credits, thereby reducing the Company's foreign tax credits (FTC) from $24 million as of December 31, 2021 to $5 million as of September 30, 2022. FTCs were established under the 2017 Tax Cuts and Jobs Act (TCJA) for use against regular tax in future years, and 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 remaining FTC of $5 million will not be utilized, and therefore maintained a valuation allowance with respect to this tax attribute, resulting in a decrease in the valuation allowance from $24 million as of December 31, 2021 to $5 million as of September 30, 2022. 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 Company’s provision for income taxes for interim financial periods is not based on an estimated annual effective rate due, for example, to the variability in loss reserves, fair value of its credit derivatives and VIEs, and foreign exchange gains and losses which prevents the Company from projecting a reliable estimated annual effective tax rate and pre-tax income for the full year 2022. A discrete calculation of the provision is calculated for each interim period. The effective tax rates reflect the proportion of income recognized by each of the Company’s operating subsidiaries, with U.S. subsidiaries taxed at the U.S. marginal corporate income tax rate of 21%, U.K. subsidiaries taxed at the U.K. marginal corporate tax rate of 19%, the French subsidiary taxed at the French marginal corporate tax rate of 25% in 2022 and 27.5% in 2021, and no taxes for the Company’s Bermuda Subsidiaries unless subject to U.S. tax by election. The Company’s overall effective tax rate fluctuates based on the distribution of income across jurisdictions. A reconciliation of the difference between the provision for income taxes and the expected tax provision at statutory rates in taxable jurisdictions is presented below. Effective Tax Rate Reconciliation Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Expected tax provision (benefit) $ (6) $ (6) $ 6 $ 16 Tax-exempt interest (3) (4) (10) (12) Noncontrolling interest 1 — (5) (2) Return to provision adjustment (20) (4) (20) (4) State taxes 2 (2) 10 5 Foreign taxes (1) 4 9 6 Taxes on reinsurance — (4) (1) (1) Stock based compensation — 1 4 1 Other — — 1 (1) Total provision (benefit) for income taxes $ (27) $ (15) $ (6) $ 8 Effective tax rate 123.5 % (313.3) % (12.1) % 6.0 % 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 Third Quarter Nine Months 2022 2021 2022 2021 (in millions) U.S. $ 3 $ (10) $ 112 $ 92 Bermuda 10 31 27 67 U.K. (30) (13) (75) (9) Other (5) (3) (15) (5) Total $ (22) $ 5 $ 49 $ 145 Revenue by Tax Jurisdiction Third Quarter Nine Months 2022 2021 2022 2021 (in millions) U.S. $ 60 $ 181 $ 435 $ 465 Bermuda 4 32 43 90 U.K. (21) (1) (39) 29 Other (2) — (8) 1 Total $ 41 $ 212 $ 431 $ 585 Pre-tax income by jurisdiction may be disproportionate to revenue by jurisdiction to the extent that insurance losses incurred are disproportionate. Audits As of September 30, 2022, AGUS and Assured Guaranty Overseas US Holdings Inc. had open tax years with the U.S. Internal Revenue Service (IRS) for 2018 forward and AGUS is currently under audit for the 2018 and 2019 tax years. In September 2022, Her Majesty's Revenue & Customs completed a business risk review of Assured Guaranty that commenced in July 2022 and assigned a low-risk rating for corporate taxes. The Company’s French subsidiary is not currently under examination and has open tax years of 2019 forward. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2022 | |
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 3, Outstanding Exposure, for a description of such actions. 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. 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 |
Shareholders' Equity
Shareholders' Equity | 9 Months Ended |
Sep. 30, 2022 | |
Equity [Abstract] | |
Shareholders' Equity | Shareholders’ Equity Other Comprehensive Income The following tables present the changes in each component of AOCI and the effect of reclassifications out of AOCI into the respective lines in the condensed consolidated statements of operations. Changes in Accumulated Other Comprehensive Income (Loss) by Component Third Quarter 2022 Net Unrealized Gains (Losses) on Investments with: ISCR on Cumulative Cash Flow Total AOCI No Credit Impairment Credit Impairment (in millions) Balance, June 30, 2022 $ (205) $ (107) $ (19) $ (45) $ 6 $ (370) Other comprehensive income (loss) before reclassifications (286) (1) (3) (4) — (294) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) (11) (3) — — — (14) Fair value gains (losses) on FG VIEs — — — — — — Total before tax (11) (3) — — — (14) Tax (provision) benefit 2 — — — — 2 Total amount reclassified from AOCI, net of tax (9) (3) — — — (12) Other comprehensive income (loss) (277) 2 (3) (4) — (282) Balance, September 30, 2022 $ (482) $ (105) $ (22) $ (49) $ 6 $ (652) Changes in Accumulated Other Comprehensive Income (Loss) by Component Third Quarter 2021 Net Unrealized Gains (Losses) on Investments with: ISCR on Cumulative Cash Flow Total AOCI No Credit Impairment Credit Impairment (in millions) Balance, June 30, 2021 $ 509 $ (12) $ (23) $ (36) $ 7 $ 445 Other comprehensive income (loss) before reclassifications (69) (2) 1 — — (70) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) (3) 5 — — — 2 Fair value gains (losses) on FG VIEs — — (1) — — (1) Interest expense — — — — 1 1 Total before tax (3) 5 (1) — 1 2 Tax (provision) benefit — (1) — — — (1) Total amount reclassified from AOCI, net of tax (3) 4 (1) — 1 1 Other comprehensive income (loss) (66) (6) 2 — (1) (71) Balance, September 30, 2021 $ 443 $ (18) $ (21) $ (36) $ 6 $ 374 Changes in Accumulated Other Comprehensive Income (Loss) by Component Nine Months 2022 Net Unrealized Gains (Losses) on Investments with: ISCR on Cumulative Cash Flow Total AOCI No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2021 $ 375 $ (24) $ (21) $ (36) $ 6 $ 300 Other comprehensive income (loss) before reclassifications (886) (92) (2) (13) — (993) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) (35) (13) — — — (48) Fair value gains (losses) on FG VIEs — — (2) — — (2) Total before tax (35) (13) (2) — — (50) Tax (provision) benefit 6 2 1 — — 9 Total amount reclassified from AOCI, net of tax (29) (11) (1) — — (41) Other comprehensive income (loss) (857) (81) (1) (13) — (952) Balance, September 30, 2022 $ (482) $ (105) $ (22) $ (49) $ 6 $ (652) Changes in Accumulated Other Comprehensive Income (Loss) by Component Nine Months 2021 Net Unrealized Gains (Losses) on Investments with: ISCR on Cumulative Cash Flow Total AOCI No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2020 $ 577 $ (30) $ (20) $ (36) $ 7 $ 498 Other comprehensive income (loss) before reclassifications (134) 14 (3) — — (123) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 1 2 — — — 3 Fair value gains (losses) on FG VIEs — — (3) — — (3) Interest expense — — — — 1 1 Total before tax 1 2 (3) — 1 1 Tax (provision) benefit (1) — 1 — — — Total amount reclassified from AOCI, net of tax — 2 (2) — 1 1 Other comprehensive income (loss) (134) 12 (1) — (1) (124) Balance, September 30, 2021 $ 443 $ (18) $ (21) $ (36) $ 6 $ 374 Share Repurchases On August 3, 2022, the Board of Directors (the Board) authorized the repurchase of an additional $250 million of its common shares. Under this and previous authorizations, as of November 7, 2022, the Company was authorized to purchase $261 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. The repurchase program may be modified, extended or terminated by the Board at any time. It does not have an expiration date. Share Repurchases Period Number of Shares Repurchased Total Payments Average Price Paid Per Share 2021 (January 1 - March 31) 1,986,534 $ 77 $ 38.83 2021 (April 1 - June 30) 1,887,531 88 46.63 2021 (July 1- September 30) 2,918,993 140 47.76 2021 (October 1 - December 31) 3,725,982 191 51.47 Total 2021 10,519,040 $ 496 47.19 2022 (January 1 - March 31) (1) 2,738,223 155 56.62 2022 (April 1 - June 30) 2,605,947 151 58.03 2022 (July 1 - September 30) 1,790,395 97 53.77 2022 (October 1 - November 7) 785,863 42 53.99 Total 2022 7,920,428 $ 445 56.18 ____________________ |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2022 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share Computation of Earnings Per Share Third Quarter Nine Months 2022 2021 2022 2021 (in millions, except per share amounts) Basic Earnings Per Share (EPS): Net income (loss) attributable to AGL $ 11 $ 17 $ 30 $ 126 Less: Distributed and undistributed income (loss) available to nonvested shareholders — — — — Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 11 $ 17 $ 30 $ 126 Basic shares 61.7 72.7 63.9 74.9 Basic EPS $ 0.18 $ 0.22 $ 0.47 $ 1.67 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 11 $ 17 $ 30 $ 126 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 $ 11 $ 17 $ 30 $ 126 Basic shares 61.7 72.7 63.9 74.9 Dilutive securities: Options and restricted stock awards 1.2 0.9 1.2 0.8 Diluted shares 62.9 73.6 65.1 75.7 Diluted EPS $ 0.18 $ 0.22 $ 0.46 $ 1.66 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.1 — 0.8 0.1 |
Business and Basis of Present_2
Business and Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Basis of Presentation The unaudited interim condensed consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). 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. As discussed in Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, the nine month period ended September 30, 2022 include two out-of period adjustments, totaling $6.9 million in net income attributable to AGL. Management has determined these misstatements are not material to prior periods or to the financial statements taken as a whole. These unaudited interim condensed consolidated financial statements are as of September 30, 2022 and cover the three-month period ended September 30, 2022 (third quarter 2022), the three-month period ended September 30, 2021 (third quarter 2021), the nine-month period ended September 30, 2022 (nine months 2022) and the nine-month period ended September 30, 2021 (nine months 2021). Certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but is not required for interim reporting purposes, has been condensed or omitted. The year-end condensed consolidated balance sheet data was derived from audited financial statements, but does not include all disclosures required by GAAP. Certain prior year balances have been reclassified to conform to the current year’s presentation. |
Consolidation | The unaudited interim condensed 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 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. |
Recent Accounting Standards Adopted and Not Yet Adopted | Recent Accounting Standards Adopted Reference Rate Reform In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (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 does not currently expect this ASU to have a material effect on its consolidated financial statements. |
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. |
Fair Value Measurement | The Company carries a significant portion of its assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit price). The price represents the price available in the principal market for the asset or liability. If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market). Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on either internally developed models that primarily use, as inputs, market-based or independently sourced market parameters, including but not limited to yield curves, interest rates and debt prices or with the assistance of an independent third party using a discounted cash flow approach and the third party’s proprietary pricing models. In addition to market information, models also incorporate transaction details, such as maturity of the instrument and contractual features designed to reduce the Company’s credit exposure, such as collateral rights as applicable. Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity. As markets and products develop and the pricing for certain products becomes more or less transparent, the Company may refine its methodologies and assumptions. During nine months 2022, no changes were made to the Company’s valuation models that had, or are expected to have, a material impact on the Company’s condensed consolidated balance sheets or statements of operations and comprehensive income. The Company’s methods for calculating fair value produce a fair value that may not be indicative of net realizable value or reflective of future fair values. The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a 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. |
Segment Information (Tables)
Segment Information (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Segment Reporting [Abstract] | |
Schedule of Segment Reporting Information, by Segment | The following table presents information for the Company’s operating segments. Intersegment revenues include transactions between and among the segments, the corporate division and other. Segment Information Third Quarter 2022 2021 Insurance Asset Management Insurance Asset Management (in millions) Third-party revenues $ 145 $ 13 $ 187 $ 17 Intersegment revenues 2 8 3 2 Segment revenues 147 21 190 19 Segment expenses (16) 24 (22) 29 Segment equity in earnings (losses) of investees (11) — 33 — Less: Segment provision (benefit) for income taxes (7) — 31 (3) Segment adjusted operating income (loss) $ 159 $ (3) $ 214 $ (7) Nine Months 2022 2021 Insurance Asset Management Insurance Asset Management (in millions) Third-party revenues $ 558 $ 59 $ 544 $ 54 Intersegment revenues 6 29 7 6 Segment revenues 564 88 551 60 Segment expenses 147 91 131 82 Segment equity in earnings (losses) of investees (46) — 100 — Less: Segment provision (benefit) for income taxes 24 — 75 (6) Segment adjusted operating income (loss) $ 347 $ (3) $ 445 $ (16) |
Reconciliation of Other Significant Reconciling Items from Segments to Consolidated | The tables below present a reconciliation of significant components of segment information to the comparable consolidated amounts. Reconciliation of Segment Information to Consolidated Information Three Months Ended September 30, 2022 Equity in Earnings (Losses) of Investees Less: Net Income (Loss) Attributable to AGL Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 147 $ (16) $ (11) $ (7) $ — $ 159 Asset Management 21 24 — — — (3) Total segments 168 8 (11) (7) — 156 Corporate division 1 34 — (3) — (30) Other 13 2 (9) 1 (6) 7 Subtotal 182 44 (20) (9) (6) 133 Reconciling items: Realized gains (losses) on investments (14) — — — — (14) Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (50) (1) — — — (49) Fair value gains (losses) on CCS 1 — — — — 1 Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (78) — — — — (78) Tax effect — — — (18) — 18 Total consolidated $ 41 $ 43 $ (20) $ (27) $ (6) $ 11 Reconciliation of Segment Information to Consolidated Information Three Months Ended September 30, 2021 Equity in Earnings (Losses) of Investees Less: Net Income (Loss) Attributable to AGL Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 190 $ (22) $ 33 $ 31 $ — $ 214 Asset Management 19 29 — (3) — (7) Total segments 209 7 33 28 — 207 Corporate division 1 211 1 (40) — (169) Other 18 10 (11) (2) 3 (4) Subtotal 228 228 23 (14) 3 34 Reconciling items: Realized gains (losses) on investments 3 — — — — 3 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives 11 2 — — — 9 Fair value gains (losses) on CCS (3) — — — — (3) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (27) — — — — (27) Tax effect — — — (1) — 1 Total consolidated $ 212 $ 230 $ 23 $ (15) $ 3 $ 17 Reconciliation of Segment Information to Consolidated Information Nine Months Ended September 30, 2022 Equity in Earnings (Losses) of Investees Less: Net Income (Loss) Attributable to AGL Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 564 $ 147 $ (46) $ 24 $ — $ 347 Asset Management 88 91 — — — (3) Total segments 652 238 (46) 24 — 344 Corporate division 3 104 — (3) — (98) Other 34 14 15 3 25 7 Subtotal 689 356 (31) 24 25 253 Reconciling items: Realized gains (losses) on investments (39) — — — — (39) Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (51) (5) — — — (46) Fair value gains (losses) on CCS 12 — — — 12 Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (180) — — — — (180) Tax effect — — — (30) — 30 Total consolidated $ 431 $ 351 $ (31) $ (6) $ 25 $ 30 Reconciliation of Segment Information to Consolidated Information Nine Months Ended September 30, 2021 Equity in Earnings (Losses) of Investees Less: Net Income (Loss) Attributable to AGL Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 551 $ 131 $ 100 $ 75 $ — $ 445 Asset Management 60 82 — (6) — (16) Total segments 611 213 100 69 — 429 Corporate division 1 279 1 (45) — (232) Other 66 21 (35) (1) 11 — Subtotal 678 513 66 23 11 197 Reconciling items: Realized gains (losses) on investments 4 — — — — 4 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (48) (7) — — — (41) 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 — — — (15) — 15 Total consolidated $ 585 $ 506 $ 66 $ 8 $ 11 $ 126 |
Outstanding Exposure (Tables)
Outstanding Exposure (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Schedule of Insured Financial Obligations [Line Items] | |
Debt Service Outstanding | Financial Guaranty Portfolio Debt Service and Par Outstanding As of September 30, 2022 As of December 31, 2021 Gross Net Gross Net (in millions) Debt Service Public finance $ 347,776 $ 347,608 $ 357,694 $ 357,314 Structured finance 9,118 9,093 10,076 10,046 Total financial guaranty $ 356,894 $ 356,701 $ 367,770 $ 367,360 Par Outstanding Public finance $ 219,052 $ 218,905 $ 227,507 $ 227,164 Structured finance 8,191 8,166 9,258 9,228 Total financial guaranty $ 227,243 $ 227,071 $ 236,765 $ 236,392 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating As of September 30, 2022 Public Finance Public Finance Structured Finance Structured Finance Total Rating Net Par % Net Par % Net Par % Net Par % Net Par % (dollars in millions) AAA $ 259 0.1 % $ 1,879 4.6 % $ 794 10.7 % $ 432 60.3 % $ 3,364 1.5 % AA 16,451 9.3 3,454 8.4 4,522 60.7 11 1.5 24,438 10.8 A 96,052 54.0 8,491 20.7 510 6.8 170 23.7 105,223 46.3 BBB 60,893 34.2 26,777 65.2 487 6.5 104 14.5 88,261 38.9 BIG 4,187 2.4 462 1.1 1,136 15.3 — — 5,785 2.5 Total net par outstanding $ 177,842 100.0 % $ 41,063 100.0 % $ 7,449 100.0 % $ 717 100.0 % $ 227,071 100.0 % 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 % |
Schedule of BIG Net Par Outstanding and Number of Risks | Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of September 30, 2022 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,029 $ 124 $ 2,034 $ 4,187 $ 177,842 Non-U.S. public finance 425 — 37 462 41,063 Public finance 2,454 124 2,071 4,649 218,905 Structured finance: U.S. RMBS 17 39 973 1,029 2,006 Other structured finance — 35 72 107 6,160 Structured finance 17 74 1,045 1,136 8,166 Total $ 2,471 $ 198 $ 3,116 $ 5,785 $ 227,071 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 |
BIG Net Par Outstanding and Number of Risks | Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of September 30, 2022 Net Par Outstanding Number of Risks (2) Description Financial Credit Total Financial Credit Total (dollars in millions) BIG: Category 1 $ 2,465 $ 6 $ 2,471 110 1 111 Category 2 187 11 198 17 2 19 Category 3 3,075 41 3,116 117 8 125 Total BIG $ 5,727 $ 58 $ 5,785 244 11 255 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 Credit Total Financial 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 _____________________ (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. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 2022 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 110 17 117 244 244 Remaining weighted-average period (in years) 11.4 8.9 8.0 9.5 9.6 Outstanding exposure: Par $ 2,471 $ 187 $ 3,093 $ 5,751 $ 5,727 Interest 1,604 70 1,184 2,858 2,854 Total (2) $ 4,075 $ 257 $ 4,277 $ 8,609 $ 8,581 Expected cash outflows (inflows) $ 77 $ 126 $ 3,133 $ 3,336 $ 3,324 Potential recoveries (3) (374) (81) (2,027) (2,482) (2,470) Subtotal (297) 45 1,106 854 854 Discount 35 (14) (184) (163) (163) Expected losses to be paid (recovered) $ (262) $ 31 $ 922 $ 691 $ 691 Deferred premium revenue $ 110 $ 18 $ 203 $ 331 $ 331 Reserves (salvage) $ (294) $ 22 $ 763 $ 491 $ 491 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 ____________________ (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 from future payments by obligors pursuant to restructuring agreements, settlements, 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 Non-Financial Guaranty Exposure | Specialty Insurance and Reinsurance Exposure As of September 30, 2022 As of December 31, 2021 Gross Exposure Net Exposure Gross Exposure Net Exposure (in millions) Life insurance transactions (1) $ 1,301 $ 969 $ 1,250 $ 871 Aircraft residual value insurance policies 355 200 355 200 Total $ 1,656 $ 1,169 $ 1,605 $ 1,071 ____________________ (1) The life insurance transactions’ net exposure is projected to reach $1.1 billion by June 30, 2024. |
Puerto Rico | |
Schedule of Insured Financial Obligations [Line Items] | |
Gross Par and Gross Debt Service Outstanding | Puerto Rico Gross Par and Gross Debt Service Outstanding Gross Par Outstanding Gross Debt Service Outstanding As of As of September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 (in millions) Exposure to Puerto Rico $ 2,088 $ 3,629 $ 2,944 $ 5,322 |
Schedule of Geographic Exposure of Net Par Outstanding | Puerto Rico Net Par Outstanding As of September 30, 2022 December 31, 2021 (in millions) Puerto Rico Exposures Subject to a Plan or Support Agreement Commonwealth of Puerto Rico - GO (1) $ 25 $ 1,097 PBA (1) 4 122 Total GO/PBA Plan 29 1,219 PRHTA (Transportation revenue) 771 799 PRHTA (Highway revenue) 418 457 PRCCDA (2) — 152 Total HTA PSA 1,189 1,408 PRIFA (2) — 16 Total Subject to a Plan or Support Agreement 1,218 2,643 Other Puerto Rico Exposures PREPA 720 748 MFA (3) 131 179 PRASA and U of PR (3) 2 2 Total Other Puerto Rico Exposures 853 929 Total net exposure to Puerto Rico $ 2,071 $ 3,572 ____________________ (1) On March 15, 2022, the Modified Eighth Amended Title III Joint Plan of Adjustment, confirmed on January 18, 2022, was consummated, pursuant to which the Company, among other things, fully paid claims on all of its directly insured Puerto Rico GO bonds, other than certain GO bonds whose holders made certain elections. On the same date and pursuant to the same Plan of Adjustment, the Company fully paid claims on all of its directly insured PBA bonds, other than certain PBA bonds whose holders made certain elections. (2) On March 15, 2022, the Company fully paid claims on all of its insured PRCCDA and PRIFA bonds, eliminating its exposure to insured PRCCDA and PRIFA bonds, pursuant to Title VI orders entered on January 20, 2022. (3) All debt service on these insured exposures have been paid to date without any insurance claim being made on the Company. |
BIG Net Par Outstanding and Number of Risks | Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of September 30, 2022 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization (in millions) 2022 (October 1 - December 31) $ — $ 3 2023 (January 1 - March 31) — 49 2023 (April 1 - June 30) — 2 2023 (July 1 - September 30) 181 230 2023 (October 1 - December 31) — 3 Subtotal 2023 181 284 2024 149 243 2025 151 237 2026 170 249 2027-2031 637 934 2032-2036 577 732 2037-2041 201 237 2042 5 5 Total $ 2,071 $ 2,924 |
Expected Loss to be Paid (Rec_2
Expected Loss to be Paid (Recovered) (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 Third Quarter Nine Months Accounting Model September 30, 2022 December 31, 2021 2022 2021 2022 2021 (in millions) Insurance (see Note 5) $ 695 $ 364 $ (67) $ (82) $ (137) $ (91) FG VIEs (see Note 8) 28 42 (6) (10) (16) (17) Credit derivatives (see Note 6) 4 5 1 (2) 5 7 Total $ 727 $ 411 $ (72) $ (94) $ (148) $ (101) |
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, which are accounted for under one of the following accounting models: insurance, derivative and FG VIE. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 2.98% to 4.18% with a weighted average of 3.97% as of September 30, 2022 and 0.00% to 1.98% with a weighted average of 1.02% as of December 31, 2021. Expected losses to be paid for U.S. dollar denominated transactions represented approximately 99.3% and 97.2% of the total as of September 30, 2022 and December 31, 2021, respectively. Net Expected Loss to be Paid (Recovered) Roll Forward Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Net expected loss to be paid (recovered), beginning of period $ 442 $ 466 $ 411 $ 529 Economic loss development (benefit) due to: Accretion of discount 3 2 8 5 Changes in discount rates (25) (1) (114) (34) Changes in timing and assumptions (50) (95) (42) (72) Total economic loss development (benefit) (72) (94) (148) (101) Net (paid) recovered losses (1) 357 (173) 464 (229) Net expected loss to be paid (recovered), end of period $ 727 $ 199 $ 727 $ 199 ____________________ (1) In third quarter 2022, the Company received from the Commonwealth, pursuant to the GO/PBA Plan and the terms of the HTA PSA, $147 million of cash and $672 million original notional of CVI. Net Expected Loss to be Paid (Recovered) Roll Forward by Sector Third Quarter 2022 Sector Net Expected Loss to be Paid (Recovered) as of June 30, 2022 Economic Loss Net (Paid) Recovered Losses (1) Net Expected Loss to be Paid (Recovered) as of September 30, 2022 (in millions) Public finance: U.S. public finance $ 210 $ 24 $ 392 $ 626 Non-U.S. public finance 7 (2) 1 6 Public finance 217 22 393 632 Structured finance: U.S. RMBS 179 (95) (32) 52 Other structured finance 46 1 (4) 43 Structured finance 225 (94) (36) 95 Total $ 442 $ (72) $ 357 $ 727 Third Quarter 2021 Sector Net Expected Loss to be Paid (Recovered) as of June 30, 2021 Economic Loss Net (Paid) Recovered Losses (1) Net Expected Loss to be Paid (Recovered) as of September 30, 2021 (in millions) Public finance: U.S. public finance $ 221 (29) $ (201) $ (9) Non-U.S. public finance 22 (2) (1) 19 Public finance 243 (31) (202) 10 Structured finance: U.S. RMBS 178 (65) 29 142 Other structured finance 45 2 — 47 Structured finance 223 (63) 29 189 Total $ 466 $ (94) $ (173) $ 199 Nine Months 2022 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2021 Economic Loss Net (Paid) Recovered Losses (1) Net Expected Loss to be Paid (Recovered) as of September 30, 2022 (in millions) Public finance: U.S. public finance $ 197 $ (16) $ 445 $ 626 Non-U.S. public finance 12 (6) — 6 Public finance 209 (22) 445 632 Structured finance: U.S. RMBS 150 (127) 29 52 Other structured finance 52 1 (10) 43 Structured finance 202 (126) 19 95 Total $ 411 $ (148) $ 464 $ 727 Nine Months 2021 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2020 Economic Loss Net (Paid) Recovered Losses (1) Net Expected Loss to be Paid (Recovered) as of September 30, 2021 (in millions) Public finance: U.S. public finance $ 305 $ (13) $ (301) $ (9) Non-U.S. public finance 36 (15) (2) 19 Public finance 341 (28) (303) 10 Structured finance: U.S. RMBS 148 (82) 76 142 Other structured finance 40 9 (2) 47 Structured finance 188 (73) 74 189 Total $ 529 $ (101) $ (229) $ 199 ____________________ |
Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss | The assumptions that the Company uses to project RMBS losses are shown in the sections below. Net Economic Loss Development (Benefit) U.S. RMBS Third Quarter Nine Months 2022 2021 2022 2021 (in millions) First lien U.S. RMBS $ (38) (10) $ (34) $ 1 Second lien U.S. RMBS (57) (55) (93) (83) |
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS | The following table shows liquidation assumptions for various non-performing and re-performing categories. First Lien U.S. RMBS Liquidation Rates As of September 30, 2022 December 31, 2021 Current but recently delinquent 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 Key Assumptions in Base Scenario Expected Loss Estimates First Lien U.S. RMBS As of September 30, 2022 As of December 31, 2021 Range Weighted Average Range Weighted Average Alt-A and Prime: Plateau CDR 1.3 % - 12.1% 5.6% 0.9 % - 11.6% 5.9% Final CDR 0.1 % - 0.6% 0.3% 0.0 % - 0.6% 0.3% Initial loss severity: 2005 and prior 50% 60% 2006 50% 60% 2007+ 50% 60% Option ARM: Plateau CDR 1.8 % - 9.5% 4.7% 1.8 % - 11.9% 5.6% Final CDR 0.1 % - 0.5% 0.2% 0.1 % - 0.6% 0.3% Initial loss severity: 2005 and prior 50% 60% 2006 50% 60% 2007+ 50% 60% Subprime: Plateau CDR 2.1 % - 9.3% 5.8% 2.9 % - 10.0% 6.0% Final CDR 0.1 % - 0.5% 0.3% 0.1 % - 0.5% 0.3% Initial loss severity: 2005 and prior 50% 60% 2006 50% 60% 2007+ 50% 60% |
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | The following table shows the range as well as the average, weighted by net par outstanding, for key assumptions used in the calculation of expected loss to be paid (recovered) for individual transactions for vintage 2004 - 2008 HELOCs. Key Assumptions in Base Scenario Expected Loss Estimates HELOCs As of September 30, 2022 As of December 31, 2021 Range Weighted Average Range Weighted Average Plateau CDR 0.4 % - 7.6% 3.7% 6.5 % - 39.6% 16.4% Final CDR trended down to 0.0 % - 0.4% 0.2% 1.0% Liquidation rates: Current but recently delinquent 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% 30% |
Contracts Accounted for as In_2
Contracts Accounted for as Insurance (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Insurance [Abstract] | |
Net Earned Premiums | Net Earned Premiums Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Financial guaranty insurance: Scheduled net earned premiums 70 81 $ 219 $ 242 Accelerations from refundings and terminations (1) 12 8 145 39 Accretion of discount on net premiums receivable 6 13 18 24 Financial guaranty insurance net earned premiums 88 102 382 305 Specialty net earned premiums 1 — 3 2 Net earned premiums $ 89 $ 102 $ 385 $ 307 ____________________ |
Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward | Gross Premium Receivable, Net of Commissions Payable on Assumed Business Roll Forward Nine Months 2022 2021 (in millions) Beginning of year $ 1,372 $ 1,372 Less: Specialty insurance premium receivable 1 1 Financial guaranty insurance premiums receivable 1,371 1,371 Gross written premiums on new business, net of commissions 232 270 Gross premiums received, net of commissions (258) (274) Adjustments: Changes in the expected term and debt service assumptions (5) 6 Accretion of discount, net of commissions on assumed business 18 22 Foreign exchange gain (loss) on remeasurement (181) (22) Expected recovery of premiums previously written off — 4 Financial guaranty insurance premium receivable (1) 1,177 1,377 Specialty insurance premium receivable 1 1 September 30, $ 1,178 $ 1,378 Financial Guaranty Insurance Expected Future Premium Collections and Earnings As of September 30, 2022 Future Gross Premiums Future Net Premiums (in millions) 2022 (October 1 - December 31) $ 27 $ 71 2023 105 271 2024 82 256 2025 80 240 2026 78 224 2027-2031 328 927 2032-2036 236 650 2037-2041 159 396 After 2041 329 555 Total $ 1,423 3,590 Future accretion 248 Total future net earned premiums $ 3,838 ____________________ (1) Net of 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 September 30, 2022 December 31, 2021 (dollars in millions) Premiums receivable, net of commissions payable $ 1,177 $ 1,371 Deferred premium revenue 1,618 1,663 Weighted-average risk-free rate used to discount premiums 1.7% 1.6% Weighted-average period of premiums receivable (in years) 12.9 12.7 |
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 Sector September 30, 2022 December 31, 2021 (in millions) Public finance: U.S. public finance $ 549 $ 60 Non-U.S. public finance 1 1 Public finance 550 61 Structured finance: U.S. RMBS (96) (24) Other structured finance 41 42 Structured finance (55) 18 Total $ 495 $ 79 |
Components of Net Reserves (Salvage) Insurance Contracts | Components of Net Reserve (Salvage) As of September 30, 2022 December 31, 2021 (in millions) Loss and LAE reserve $ 882 $ 869 Reinsurance recoverable on unpaid losses (1) (3) (5) Loss and LAE reserve, net 879 864 Salvage and subrogation recoverable (385) (801) Salvage and subrogation reinsurance payable (2) 1 16 Salvage and subrogation recoverable, net (384) (785) Net reserve (salvage) $ 495 $ 79 ____________________ (1) Reported in “other assets” on the condensed consolidated balance sheets. (2) Reported in “other liabilities” on the condensed 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 September 30, 2022 (in millions) Net expected loss to be paid (recovered) - financial guaranty insurance $ 691 Contra-paid, net 18 Salvage and subrogation recoverable, net 384 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (875) Net expected loss to be expensed (present value) $ 218 |
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 September 30, 2022 (in millions) 2022 (October 1 - December 31) $ 3 2023 16 2024 17 2025 16 2026 20 2027-2031 75 2032-2036 51 2037-2041 11 After 2041 9 Net expected loss to be expensed 218 Future accretion 163 Total expected future loss and LAE $ 381 |
Loss and LAE Reported on the Consolidated Statements of Operations | The following table presents the loss and LAE reported in the condensed consolidated statements of operations by sector for insurance contracts. Amounts presented are net of reinsurance. Loss and LAE (Benefit) by Sector Third Quarter Nine Months Sector 2022 2021 2022 2021 (in millions) Public finance: U.S. public finance $ 1 $ (23) $ 67 $ 7 Non-U.S. public finance — — — (9) Public finance 1 (23) 67 (2) Structured finance: U.S. RMBS (78) (48) $ (97) $ (54) Other structured finance 2 3 1 2 Structured finance (76) (45) (96) (52) Loss and LAE (Benefit) $ (75) $ (68) $ (29) $ (54) |
BIG Net Par Outstanding and Number of Risks | Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of September 30, 2022 Net Par Outstanding Number of Risks (2) Description Financial Credit Total Financial Credit Total (dollars in millions) BIG: Category 1 $ 2,465 $ 6 $ 2,471 110 1 111 Category 2 187 11 198 17 2 19 Category 3 3,075 41 3,116 117 8 125 Total BIG $ 5,727 $ 58 $ 5,785 244 11 255 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 Credit Total Financial 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 _____________________ (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. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 2022 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 110 17 117 244 244 Remaining weighted-average period (in years) 11.4 8.9 8.0 9.5 9.6 Outstanding exposure: Par $ 2,471 $ 187 $ 3,093 $ 5,751 $ 5,727 Interest 1,604 70 1,184 2,858 2,854 Total (2) $ 4,075 $ 257 $ 4,277 $ 8,609 $ 8,581 Expected cash outflows (inflows) $ 77 $ 126 $ 3,133 $ 3,336 $ 3,324 Potential recoveries (3) (374) (81) (2,027) (2,482) (2,470) Subtotal (297) 45 1,106 854 854 Discount 35 (14) (184) (163) (163) Expected losses to be paid (recovered) $ (262) $ 31 $ 922 $ 691 $ 691 Deferred premium revenue $ 110 $ 18 $ 203 $ 331 $ 331 Reserves (salvage) $ (294) $ 22 $ 763 $ 491 $ 491 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 ____________________ (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 from future payments by obligors pursuant to restructuring agreements, settlements, 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. |
Contracts Accounted for as Cr_2
Contracts Accounted for as Credit Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating | 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 12.9 years and 13.2 years as of September 30, 2022 and December 31, 2021, respectively. Credit Derivatives (1) As of September 30, 2022 As of December 31, 2021 Sector Net Par Net Fair Value Asset (Liability) Net Par Net Fair Value Asset (Liability) (in millions) U.S. public finance $ 1,191 $ (99) $ 1,705 $ (72) Non-U.S. public finance 1,467 (67) 1,800 (48) U.S. structured finance 347 (25) 400 (32) Non-U.S. structured finance 112 (3) 135 (2) Total $ 3,117 $ (194) $ 4,040 $ (154) ____________________ (1) Expected loss to be paid was $4 million and $5 million as of September 30, 2022 and December 31, 2021, respectively. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of September 30, 2022 As of December 31, 2021 Rating Category Net Par % of Total Net Par % of Total (dollars in millions) AAA $ 1,166 37.4 % $ 1,503 37.2 % AA 1,078 34.5 1,283 31.8 A 245 7.9 514 12.7 BBB 570 18.3 677 16.7 BIG 58 1.9 63 1.6 Credit derivative net par outstanding $ 3,117 100.0 % $ 4,040 100.0 % |
Net Change in Fair Value of Credit Derivatives | Fair Value Gains (Losses) on Credit Derivatives Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Realized gains (losses) and other settlements $ (1) $ 1 $ (2) $ 4 Net unrealized gains (losses) (47) 20 (40) (35) Fair value gains (losses) on credit derivatives $ (48) $ 21 $ (42) $ (31) |
CDS Spread on AGC and AGM | CDS Spread on AGC (in basis points) As of September 30, 2022 As of December 31, 2021 As of September 30, 2021 As of December 31, 2020 Five-year CDS spread 70 49 61 132 One-year CDS spread 28 16 20 36 |
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 September 30, 2022 December 31, 2021 (in millions) Fair value of credit derivatives before effect of AGC credit spread $ (239) $ (225) Plus: Effect of AGC credit spread 45 71 Net fair value of credit derivatives $ (194) $ (154) |
Investments (Tables)
Investments (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Marketable Securities | Investment Portfolio Carrying Value As of September 30, 2022 December 31, 2021 (in millions) Fixed-maturity securities, available-for-sale (1): Externally managed $ 5,456 $ 6,843 Loss mitigation securities and other 744 818 AssuredIM managed 516 541 Fixed-maturity securities - Puerto Rico (2) 64 — Fixed-maturity securities - Puerto Rico, trading (3) 393 — Short-term investments (4) 1,177 1,225 Other invested assets: Equity method investments 120 169 Other 10 12 Total $ 8,480 $ 9,608 ____________________ (1) 8.3% and 7.5% of fixed-maturity securities were rated BIG as of September 30, 2022 and December 31, 2021, respectively, consisting primarily of loss mitigation securities. 1.8% and 0.9% were not rated, as of September 30, 2022 and December 31, 2021, respectively. (2) Represents new recovery bonds received in connection with the consummation of the March Puerto Rico Resolutions. These securities are not rated. (3) Represents CVIs received in connection with the consummation of the March Puerto Rico Resolutions and the HTA PSA. These securities are not rated. (4) Weighted average credit rating of AAA as of both September 30, 2022 and December 31, 2021, based on the lower of the Moody’s Investors Service, Inc. (Moody’s) and S&P Global Ratings, a division of Standard & Poor's Financial Services LLC (S&P) classifications. |
Fixed Maturity Securities and Short Term Investments by Security Type | Available-for-Sale Fixed-Maturity Securities by Security Type As of September 30, 2022 Security Type Percent Amortized Allowance for Credit Losses Gross Gross Estimated AOCI (5) Pre-tax Gain (Loss) on Securities with Credit Loss Weighted Average Credit Rating (2) (dollars in millions) Obligations of state and political subdivisions 43 % $ 3,264 $ (13) $ 23 $ (173) $ 3,101 $ (3) AA- U.S. government and agencies 2 122 — 2 (9) 115 — AA+ Corporate securities (3) 32 2,405 (4) — (401) 2,000 (80) A Mortgage-backed securities (4): RMBS 6 432 (19) 3 (55) 361 (44) BBB Commercial mortgage-backed securities (CMBS) 4 291 — — (11) 280 — AAA Asset-backed securities: CLOs 6 445 — — (31) 414 — A+ Other 6 425 (21) 20 (4) 420 (2) CCC+ Non-U.S. government securities 1 122 — — (33) 89 — AA- Total available-for-sale fixed-maturity securities 100 % $ 7,506 $ (57) $ 48 $ (717) $ 6,780 $ (129) A Available-for-Sale 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+ 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 available-for-sale fixed-maturity securities 100 % $ 7,822 $ (42) $ 478 $ (56) $ 8,202 $ (30) A+ ____________________ (1) Based on amortized cost. (2) Ratings represent the lower of the Moody’s and S&P classifications, except for loss mitigation and certain other securities, which use internal ratings classifications. The Company’s portfolio primarily consists of high-quality, liquid instruments. New recovery bonds received in connection with the consummation of the March Puerto Rico Resolutions are not rated. (3) Includes securities issued by taxable universities and hospitals. (4) U.S. government-agency obligations were approximately 29% and 31% of mortgage-backed securities as of September 30, 2022 and December 31, 2021, respectively, based on fair value. (5) Accumulated other comprehensive income (AOCI). |
Fixed-Maturity Securities Gross Unrealized Loss by Length of Time | Gross Unrealized Loss by Length of Time for Available-for-Sale Fixed-Maturity Securities for Which a Credit Loss was Not Recorded As of September 30, 2022 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 $ 2,450 $ (155) $ 39 $ (15) $ 2,489 $ (170) U.S. government and agencies 32 — 52 (9) 84 (9) Corporate securities 1,501 (216) 271 (105) 1,772 (321) Mortgage-backed securities: RMBS 160 (11) 1 — 161 (11) CMBS 277 (11) — — 277 (11) Asset-backed securities: CLOs 272 (18) 141 (13) 413 (31) Other 27 (2) — — 27 (2) Non-U.S. government securities 70 (22) 19 (11) 89 (33) Total $ 4,789 $ (435) $ 523 $ (153) $ 5,312 $ (588) Number of securities (1) 1,799 288 2,060 Gross Unrealized Loss by Length of Time for Available-for-Sale 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 ___________________ (1) The number of securities does not add across because lots consisting of the same securities have been purchased at different times and appear in both categories above (i.e., less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column. |
Investments Classified by Contractual Maturity Date | The amortized cost and estimated fair value of available-for-sale fixed-maturity securities by contractual maturity as of September 30, 2022 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 Available-for-Sale Fixed-Maturity Securities by Contractual Maturity As of September 30, 2022 Amortized Estimated (in millions) Due within one year $ 242 $ 234 Due after one year through five years 1,775 1,575 Due after five years through 10 years 1,651 1,503 Due after 10 years 3,115 2,827 Mortgage-backed securities: RMBS 432 361 CMBS 291 280 Total $ 7,506 $ 6,780 |
Net Investment Income | Income from Investment Portfolio Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Investment income: Externally managed $ 46 $ 52 $ 141 $ 155 Loss mitigation securities and other 16 11 39 41 Managed by AssuredIM (1) 6 4 15 12 Investment income 68 67 195 208 Investment expenses (1) (1) (4) (4) Net investment income $ 67 $ 66 $ 191 $ 204 Fair value gains (losses) on trading securities (2) $ (8) $ — $ (30) $ — Equity in earnings (losses) of investees (3) $ (20) $ 23 $ (31) $ 66 ____________________ (1) Represents interest income on a portfolio of CLOs and municipal bonds managed by AssuredIM under an IMA. (2) Fair value losses on trading securities pertaining to securities still held as of September 30, 2022 were $2 million for third quarter 2022 and $18 million for nine months 2022. (3) Fair value gains (losses) on investments where the fair value option (FVO) was elected utilizing the net asset value (NAV) as a practical expedient were $13 million in third quarter 2021, $(3) million in nine months 2022, and $39 million in nine months 2021. |
Net Realized Investment Gains (Losses) | The table below presents the components of net realized investment gains (losses). Realized gains and losses on sales of investments are determined using the specific identification method. Net Realized Investment Gains (Losses) Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Gross realized gains on sales available-for-sale securities $ — $ — $ — $ 2 Gross realized losses on sales available-for-sale securities (1) (10) — (33) (2) Net foreign currency gains (losses) — (2) (3) — Change in credit impairment and intent to sell (4) 5 (13) 1 Other net realized gains (losses) (2) — — 10 3 Net realized investment gains (losses) $ (14) $ 3 $ (39) $ 4 ____________________ (1) Third quarter 2022 and nine months 2022 related primarily to sales of bonds received as part of the March Puerto Rico Resolutions. (2) Net realized gains in nine months 2022 related primarily to the sale of one of the Company’s alternative investments. |
Rollforward of Credit Losses for Available-for-sale Fixed-Maturity Securities | The following table presents the roll forward of the credit losses on available-for-sale fixed-maturity securities for which the Company has recognized an allowance for credit losses in 2022 and 2021. Roll Forward of Credit Losses for Available-for-Sale Fixed-Maturity Securities Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Balance, beginning of period $ 51 $ 39 $ 42 $ 78 Additions on securities for which credit impairments were not previously recognized 1 — 4 1 Additions from purchases of securities accounted for as purchased financial assets with credit deterioration 2 — 2 — Additions (reductions) on securities for which credit impairments were previously recognized 3 (4) 9 (2) Reductions for securities sold and other settlements (1) — — — (42) Balance, end of period $ 57 $ 35 $ 57 $ 35 (1) Primarily attributable to the sale of a security with a $42 million credit allowance in nine months 2021. |
Financial Guaranty Variable I_2
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated FG VIE's | The table below shows the carrying value of all of the consolidated FG VIEs’ assets and liabilities in the condensed consolidated balance sheets, segregated by the types of assets that collateralize the respective debt obligations for FG VIEs’ liabilities. Consolidated FG VIEs by Type of Collateral As of September 30, 2022 December 31, 2021 (in millions) FG VIEs’ assets: U.S. RMBS first lien $ 177 $ 221 U.S. RMBS second lien 33 39 Puerto Rico Trusts’ securities 26 — Total FG VIEs’ assets $ 236 $ 260 FG VIEs’ liabilities with recourse: U.S. RMBS first lien $ 182 $ 227 U.S. RMBS second lien 25 42 Puerto Rico Trusts’ liabilities 31 — Total FG VIEs’ liabilities with recourse $ 238 $ 269 FG VIEs’ liabilities without recourse: U.S. RMBS first lien $ 13 $ 20 Total FG VIEs’ liabilities without recourse $ 13 $ 20 Selected Information for FG VIEs’ Assets and Liabilities Measured under the FVO As of September 30, 2022 December 31, 2021 (in millions) Excess of unpaid principal over fair value of: FG VIEs’ assets $ 261 $ 255 FG VIEs’ liabilities with recourse 34 12 FG VIEs’ liabilities without recourse 15 15 Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due 38 52 Unpaid principal for FG VIEs’ liabilities with recourse (1) 272 281 ____________________ (1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2022 through 2038. Number of Consolidated CIVs by Type As of CIV Type September 30, 2022 December 31, 2021 Funds 8 8 CLOs 10 9 CLO warehouses 4 3 Total number of consolidated CIVs (1) 22 20 ____________________ (1) As of September 30, 2022 two CIVs were voting interest entities, and as of December 31, 2021 one CIV was a voting interest entity. Certain funds meet the criteria for a voting interest entity because the Company possesses substantially all of the economics and all of the decision-making authority. The table below summarizes the change in the number of consolidated CIVs during each of the periods. During nine months 2022 and nine months 2021, two and three, respectively, consolidated CLO warehouses were securitized and became CLOs. Roll Forward of Number of Consolidated CIVs Nine Months 2022 2021 Beginning of year 20 11 Consolidated 4 6 Deconsolidated (1) (2) (1) September 30, 22 16 ____________________ (1) During nine months 2022 the Company deconsolidated a CLO with assets and liabilities of $417 million. Assets and Liabilities of CIVs As of September 30, 2022 December 31, 2021 (in millions) Assets: Fund assets: Cash and cash equivalents $ 71 $ 64 Fund investments, at fair value Equity securities and warrants 434 252 Obligations of state and political subdivisions — 101 Corporate securities 87 98 Structured products 133 62 Due from brokers and counterparties — 49 Other 1 1 CLO and CLO warehouse assets: Cash 68 156 CLO investments: Loans in CLOs, FVO 4,088 3,913 Loans in CLO warehouses, FVO 324 331 Short-term investments, at fair value 85 145 Due from brokers and counterparties 45 99 Total assets (1) $ 5,336 $ 5,271 Liabilities: CLO obligations, FVO (2) 3,962 3,665 Warehouse financing debt, FVO (3) 224 126 Securities sold short, at fair value — 41 Due to brokers and counterparties 173 570 Other liabilities 88 34 Total liabilities $ 4,447 $ 4,436 ____________________ (1) Includes investments in AssuredIM Funds and other affiliated entities of $394 million and $223 million as of September 30, 2022 and December 31, 2021, respectively. Includes assets and liabilities of voting interest entities as of September 30, 2022 of $69 million and $2 million, respectively, and assets of $12 million as of December 31, 2021. (2) The weighted average maturity of CLO obligations was 6.5 years as of September 30, 2022 and 6.6 years as of December 31, 2021. The weighted average interest rate of CLO obligations was 3.9% as of September 30, 2022 and 1.8% as of December 31, 2021. CLO obligations have stated final maturity dates from 2034 to 2035. (3) The weighted average maturity of warehouse financing debt of CLO warehouses was 1.5 years as of September 30, 2022 and 1.8 years as of December 31, 2021. The weighted average interest rate of warehouse financing debt of CLO warehouses was 2.6% as of September 30, 2022 and 1.1% as of December 31, 2021. Warehouse financing debt will mature at various dates from 2023 to 2031. |
Redeemable Noncontrolling Interest | Redeemable Noncontrolling Interest in CIVs Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Beginning balance $ 21 $ 21 $ 22 $ 21 Net income (loss) attributable to the redeemable noncontrolling interest — — (1) — Contributions — — 21 — Distributions — — (21) — September 30, $ 21 $ 21 $ 21 $ 21 |
Fair Value Measurement (Tables)
Fair Value Measurement (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | Amounts recorded at fair value in the Company’s financial statements are presented in the tables below. Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of September 30, 2022 Fair Value Hierarchy Level 1 Level 2 Level 3 Total (in millions) Assets: Investments: Fixed-maturity securities, available-for-sale Obligations of state and political subdivisions $ — $ 3,053 $ 48 $ 3,101 U.S. government and agencies — 115 — 115 Corporate securities — 2,000 — 2,000 Mortgage-backed securities: RMBS — 169 192 361 CMBS — 280 — 280 Asset-backed securities — 28 806 834 Non-U.S. government securities — 89 — 89 Total fixed-maturity securities, available-for-sale — 5,734 1,046 6,780 Fixed-maturity securities, trading — 393 — 393 Short-term investments 1,158 19 — 1,177 Other invested assets (1) 2 — 5 7 FG VIEs’ assets — 26 210 236 Assets of CIVs (2): Fund investments: Equity securities and warrants — 6 297 303 Corporate securities — — 87 87 Structured products — 90 43 133 CLOs and CLO warehouse assets: Loans — 4,412 — 4,412 Short-term investments 85 — — 85 Total assets of CIVs 85 4,508 427 5,020 Other assets 50 43 36 129 Total assets carried at fair value $ 1,295 $ 10,723 $ 1,724 $ 13,742 Liabilities: Credit derivative liabilities $ — $ — $ 195 $ 195 FG VIEs’ liabilities (3) — — 251 251 Liabilities of CIVs: CLO obligations of CFEs — — 3,962 3,962 Warehouse financing debt — 199 25 224 Securitized borrowing — — 22 22 Other — 1 — 1 Total liabilities of CIVs — 200 4,009 4,209 Other liabilities — 8 — 8 Total liabilities carried at fair value $ — $ 208 $ 4,455 $ 4,663 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: Fixed-maturity securities, available-for sale 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, available-for-sale — 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 ___________________ (1) Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. Excludes $17 million and $19 million of equity method investments measured at fair value under the FVO using the NAV as a practical expedient as of September 30, 2022 and December 31, 2021, respectively. (2) Excludes $6 million as of both September 30, 2022 and December 31, 2021 in investments in AssuredIM Funds for which the Company records a 100% noncontrolling interest. The consolidation of these funds results in a gross up of assets and noncontrolling interest on the consolidated financial statements; however, it results in no economic equity or net income attributable to AGL. As of September 30, 2022, excludes a $125 million investment in the AssuredIM municipal relative value master fund, which is measured using NAV as a practical expedient. (3) Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. |
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 third quarter 2022, third quarter 2021, nine months 2022, and nine months 2021. Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Third Quarter 2022 Fixed-Maturity Securities, Available-for-Sale Assets of CIVs Obligations RMBS Asset- FG VIEs’ Equity Securities and Warrants Corporate Securities Structured Products Other (in millions) Fair value as of June 30, 2022 $ 51 $ 184 $ 805 $ 223 $ 258 $ 90 $ 38 $ 37 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) — (1) 3 (1) 2 (1) 3 (2) (11) (4) (2) (4) (3) (4) 1 (3) Other comprehensive income (loss) (3) (8) 1 — — — — — Purchases — 22 4 — 52 1 8 — Sales — — (1) — (2) (2) — — Settlements — (9) (5) (16) — — — — Fair value as of September 30, 2022 $ 48 $ 192 $ 806 $ 210 $ 297 $ 87 $ 43 $ 38 Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: Earnings $ 3 (2) $ (11) (4) $ (2) (4) $ (3) (4) $ 1 (3) OCI $ (3) $ (8) $ 1 $ — Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Third Quarter 2022 Credit Derivative FG VIEs’ Liabilities (8) Liabilities of CIVs (in millions) Fair value as of June 30, 2022 $ (147) $ (282) $ (3,987) Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) (48) (6) 8 (2) (31) (4) Other comprehensive income (loss) — (4) 41 Issuances — — (8) Sales — — 2 Settlements 1 27 — Consolidations — — (26) Fair value as of September 30, 2022 $ (194) $ (251) $ (4,009) Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: Earnings $ (46) (6) $ 8 (2) $ (13) (4) OCI $ (4) $ 41 Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Third Quarter 2021 Fixed-Maturity Securities, Available-for-Sale Obligations RMBS Asset- FG VIEs’ Assets of CIVs- Equity Securities Other (in millions) Fair value as of June 30, 2021 $ 110 $ 248 $ 975 $ 287 $ 1 $ 31 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 1 (1) 8 (1) 5 (1) 2 (2) — (4) (3) Other comprehensive income (loss) (1) (2) 3 — — — Purchases — — 55 — 33 — Sales — — — — — — Settlements — (16) (70) (18) — — Fair value as of September 30, 2021 $ 110 $ 238 $ 968 $ 271 $ 34 $ 27 Change in unrealized gains (losses) related to financial instruments held as of September 30, 2021included in: Earnings $ 2 (2) $ — $ (3) (3) OCI $ (1) $ (2) $ 3 Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Third Quarter 2021 Credit Derivative FG VIEs’ Liabilities (8) Liabilities of CIVs (in millions) Fair value as of June 30, 2021 $ (154) $ (320) $ (2,385) Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 21 (6) 2 (2) 4 (4) Other comprehensive income (loss) — 2 — Issuances — — (989) Settlements (1) 15 374 Fair value as of September 30, 2021 $ (134) $ (301) $ (2,996) Change in unrealized gains (losses) related to financial instruments held as of September 30, 2021 included in: Earnings $ 1 (6) $ 2 (2) $ 1 (4) OCI $ 2 Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Nine Months 2022 Fixed-Maturity Securities, Available-for-Sale Assets of CIVs Obligations RMBS Asset- FG VIEs’ Equity Securities and Warrants Corporate Securities Structured Products Other (in millions) Fair value as of December 31, 2021 $ 72 $ 216 $ 863 $ 260 $ 239 $ 91 $ — $ 27 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) — 13 (1) 2 (1) — 15 (4) 4 (4) (6) (4) 12 (3) Other comprehensive income (loss) (11) (27) (36) — — — — (1) Purchases — 22 39 — 57 2 50 — Sales — — (13) — (14) (10) (21) — Settlements (13) (32) (49) (50) — — — — Consolidations — — — 15 — — — — Deconsolidations — — — (15) — — 20 — Fair value as of September 30, 2022 $ 48 $ 192 $ 806 $ 210 $ 297 $ 87 $ 43 $ 38 Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: Earnings $ 1 (2) $ 7 (4) $ 3 (4) $ (6) (4) $ 12 (3) OCI $ (13) $ (25) $ (35) $ (1) Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Nine Months 2022 Credit Derivative FG VIEs’ Liabilities (8) Liabilities of CIVs (in millions) Fair value as of December 31, 2021 $ (154) $ (289) $ (3,705) Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) (42) (6) 34 (2) 264 (4) Other comprehensive income (loss) — (1) 97 Issuances — — (1,416) Sales — — 2 Settlements 2 92 401 Consolidations — (102) (26) Deconsolidations — 15 374 Fair value as of September 30, 2022 $ (194) $ (251) $ (4,009) Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: Earnings $ (41) (6) $ 57 (2) $ 289 (4) OCI $ (1) $ 97 Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Nine Months 2021 Fixed-Maturity Securities, Available-for-Sale Obligations Corporate Securities RMBS Asset- FG VIEs’ Assets of CIVs - Equity 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) 4 (1) 2 (1) 15 (1) 16 (1) 20 (2) 4 (4) (28) (3) Other comprehensive income (loss) 7 16 7 9 — — 1 Purchases — — — 266 — 55 — Sales — (48) — (76) — (27) — Settlements (2) — (39) (187) (45) — — Fair value as of September 30, 2021 $ 110 $ — $ 238 $ 968 $ 271 $ 34 $ 27 Change in unrealized gains (losses) related to financial instruments held as of September 30, 2021 included in: Earnings $ 21 (2) $ 2 (4) $ (28) (3) OCI $ 7 $ — $ 6 $ 9 $ 1 Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Nine Months 2021 Credit Derivative FG VIEs’ 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) (31) (6) (5) (2) 2 (4) Other comprehensive income (loss) — (1) — Issuances — — (2,147) Settlements (3) 38 376 Fair value as of September 30, 2021 $ (134) $ (301) $ (2,996) Change in unrealized gains (losses) related to financial instruments held as of September 30, 2021 included in: Earnings $ (54) (6) $ (4) (2) $ 5 (4) OCI $ (1) ____________________ (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 (loss)”. (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 condensed 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 third quarter 2022, third quarter 2021, nine months 2022, and nine months 2021. Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Third Quarter 2022 Fixed-Maturity Securities, Available-for-Sale Assets of CIVs Obligations RMBS Asset- FG VIEs’ Equity Securities and Warrants Corporate Securities Structured Products Other (in millions) Fair value as of June 30, 2022 $ 51 $ 184 $ 805 $ 223 $ 258 $ 90 $ 38 $ 37 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) — (1) 3 (1) 2 (1) 3 (2) (11) (4) (2) (4) (3) (4) 1 (3) Other comprehensive income (loss) (3) (8) 1 — — — — — Purchases — 22 4 — 52 1 8 — Sales — — (1) — (2) (2) — — Settlements — (9) (5) (16) — — — — Fair value as of September 30, 2022 $ 48 $ 192 $ 806 $ 210 $ 297 $ 87 $ 43 $ 38 Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: Earnings $ 3 (2) $ (11) (4) $ (2) (4) $ (3) (4) $ 1 (3) OCI $ (3) $ (8) $ 1 $ — Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Third Quarter 2022 Credit Derivative FG VIEs’ Liabilities (8) Liabilities of CIVs (in millions) Fair value as of June 30, 2022 $ (147) $ (282) $ (3,987) Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) (48) (6) 8 (2) (31) (4) Other comprehensive income (loss) — (4) 41 Issuances — — (8) Sales — — 2 Settlements 1 27 — Consolidations — — (26) Fair value as of September 30, 2022 $ (194) $ (251) $ (4,009) Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: Earnings $ (46) (6) $ 8 (2) $ (13) (4) OCI $ (4) $ 41 Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Third Quarter 2021 Fixed-Maturity Securities, Available-for-Sale Obligations RMBS Asset- FG VIEs’ Assets of CIVs- Equity Securities Other (in millions) Fair value as of June 30, 2021 $ 110 $ 248 $ 975 $ 287 $ 1 $ 31 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 1 (1) 8 (1) 5 (1) 2 (2) — (4) (3) Other comprehensive income (loss) (1) (2) 3 — — — Purchases — — 55 — 33 — Sales — — — — — — Settlements — (16) (70) (18) — — Fair value as of September 30, 2021 $ 110 $ 238 $ 968 $ 271 $ 34 $ 27 Change in unrealized gains (losses) related to financial instruments held as of September 30, 2021included in: Earnings $ 2 (2) $ — $ (3) (3) OCI $ (1) $ (2) $ 3 Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Third Quarter 2021 Credit Derivative FG VIEs’ Liabilities (8) Liabilities of CIVs (in millions) Fair value as of June 30, 2021 $ (154) $ (320) $ (2,385) Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 21 (6) 2 (2) 4 (4) Other comprehensive income (loss) — 2 — Issuances — — (989) Settlements (1) 15 374 Fair value as of September 30, 2021 $ (134) $ (301) $ (2,996) Change in unrealized gains (losses) related to financial instruments held as of September 30, 2021 included in: Earnings $ 1 (6) $ 2 (2) $ 1 (4) OCI $ 2 Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Nine Months 2022 Fixed-Maturity Securities, Available-for-Sale Assets of CIVs Obligations RMBS Asset- FG VIEs’ Equity Securities and Warrants Corporate Securities Structured Products Other (in millions) Fair value as of December 31, 2021 $ 72 $ 216 $ 863 $ 260 $ 239 $ 91 $ — $ 27 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) — 13 (1) 2 (1) — 15 (4) 4 (4) (6) (4) 12 (3) Other comprehensive income (loss) (11) (27) (36) — — — — (1) Purchases — 22 39 — 57 2 50 — Sales — — (13) — (14) (10) (21) — Settlements (13) (32) (49) (50) — — — — Consolidations — — — 15 — — — — Deconsolidations — — — (15) — — 20 — Fair value as of September 30, 2022 $ 48 $ 192 $ 806 $ 210 $ 297 $ 87 $ 43 $ 38 Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: Earnings $ 1 (2) $ 7 (4) $ 3 (4) $ (6) (4) $ 12 (3) OCI $ (13) $ (25) $ (35) $ (1) Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Nine Months 2022 Credit Derivative FG VIEs’ Liabilities (8) Liabilities of CIVs (in millions) Fair value as of December 31, 2021 $ (154) $ (289) $ (3,705) Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) (42) (6) 34 (2) 264 (4) Other comprehensive income (loss) — (1) 97 Issuances — — (1,416) Sales — — 2 Settlements 2 92 401 Consolidations — (102) (26) Deconsolidations — 15 374 Fair value as of September 30, 2022 $ (194) $ (251) $ (4,009) Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: Earnings $ (41) (6) $ 57 (2) $ 289 (4) OCI $ (1) $ 97 Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Nine Months 2021 Fixed-Maturity Securities, Available-for-Sale Obligations Corporate Securities RMBS Asset- FG VIEs’ Assets of CIVs - Equity 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) 4 (1) 2 (1) 15 (1) 16 (1) 20 (2) 4 (4) (28) (3) Other comprehensive income (loss) 7 16 7 9 — — 1 Purchases — — — 266 — 55 — Sales — (48) — (76) — (27) — Settlements (2) — (39) (187) (45) — — Fair value as of September 30, 2021 $ 110 $ — $ 238 $ 968 $ 271 $ 34 $ 27 Change in unrealized gains (losses) related to financial instruments held as of September 30, 2021 included in: Earnings $ 21 (2) $ 2 (4) $ (28) (3) OCI $ 7 $ — $ 6 $ 9 $ 1 Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Nine Months 2021 Credit Derivative FG VIEs’ 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) (31) (6) (5) (2) 2 (4) Other comprehensive income (loss) — (1) — Issuances — — (2,147) Settlements (3) 38 376 Fair value as of September 30, 2021 $ (134) $ (301) $ (2,996) Change in unrealized gains (losses) related to financial instruments held as of September 30, 2021 included in: Earnings $ (54) (6) $ (4) (2) $ 5 (4) OCI $ (1) ____________________ (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 (loss)”. (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 condensed 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 September 30, 2022 Financial Instrument Description Fair Value Significant Unobservable Inputs Range Weighted Average (4) Assets (2): Fixed-maturity securities, available-for-sale (1): Obligations of state and political subdivisions $ 48 Yield 7.3 % - 27.1% 10.1% RMBS 192 CPR 0.0 % - 17.3% 8.1% CDR 1.5 % - 12.0% 5.9% Loss severity 50.0 % - 125.0% 82.5% Yield 7.0 % - 10.7% 8.4% Asset-backed securities: Life insurance transactions 366 Yield 10.0% CLOs 414 Discount Margin 2.0 % - 4.5% 3.3% Others 26 Yield 7.7 % - 12.4% 12.4% FG VIEs’ assets (1) 210 CPR 0.9 % - 22.0% 15.4% CDR 1.0 % - 41.0% 7.5% Loss severity 45.0 % - 100.0% 82.2% Yield 4.8 % - 10.4% 7.1% Assets of CIVs (3): Equity securities and warrants 297 Yield 9.2% Discount rate 19.0 % - 25.4% 23.3% Market multiple-enterprise value/revenue 1.00x - 1.10x 1.05x Market multiple-enterprise value/EBITDA (6) 3.00x - 12.00x 10.36x Market multiple-price to book 1.30x - 1.35x 1.33x Market multiple-price to earnings 5.00x - 6.00x 5.50x Terminal growth rate 4.0% Cost 1.0x Corporate securities 87 Discount rate 22.2 % - 24.3% 22.9% Yield 16.3% Cost 1.00x Market multiple-enterprise value/EBITDA 3.00x - 8.00x 4.70x Structured products 43 Yield 13.8 % - 32.9% 18.6% Other assets (1) 35 Implied Yield 6.1 % - 6.8% 6.4% Term (years) 10 years Financial Instrument Description Fair Value Significant Unobservable Inputs Range Weighted Average (4) Liabilities (1): Credit derivative liabilities, net $ (194) Hedge cost (in bps) 12.8 - 28.0 17.5 Bank profit (in bps) 57.7 - 260.0 121.6 Internal credit rating AAA - CCC AA FG VIEs’ liabilities (251) CPR 0.9 % - 22.0% 14.5% CDR 1.0 % - 41.0% 7.0% Loss severity 45.0 % - 100.0% 77.2% Yield 4.3 % - 10.4% 5.9% Liabilities of CIVs: CLO obligations of CFEs (5) (3,962) Yield 1.6 % - 26.8% 4.3% Warehouse financing debt (25) Yield 13.8 % - 16.3% 14.5% Securitized borrowing (22) Discount rate 20.6% Market multiple-enterprise value/EBITDA 10.00x - 11.00x 10.67x ___________________ (1) Discounted cash flow is used as the primary valuation technique. (2) Excludes several investments recorded in “other invested assets” with a fair value of $5 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 (EBITDA). Quantitative Information About Level 3 Fair Value Inputs As of December 31, 2021 Financial Instrument Description Fair Value (in millions) Significant Unobservable Inputs Range Weighted Average (4) Assets (2): Fixed-maturity securities, available-for-sale (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 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 (1): 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. |
Fair Value Disclosure of Asset and Liability Not Measured at Fair Value | The carrying amount and estimated fair value of the Company’s financial instruments not carried at fair value are presented in the following table. Fair Value of Financial Instruments Not Carried at Fair Value As of September 30, 2022 As of December 31, 2021 Carrying Estimated Carrying Estimated (in millions) Assets (liabilities): Assets of CIVs (1) $ 73 $ 73 $ 171 $ 171 Other assets (including other invested assets) (2) 88 89 134 135 Financial guaranty insurance contracts (3) (2,888) (2,003) (2,394) (2,315) Long-term debt (1,675) (1,463) (1,673) (1,832) Liabilities of CIVs (4) (236) (236) (586) (586) Other liabilities (5) (52) (52) (45) (45) ____________________ (1) Includes due from brokers and counterparties and cash equivalents. Carrying value approximates fair value. (2) Primarily includes accrued interest, receivable for an unsettled sale of a portion of the Puerto Rico salvage and subrogation recoverable, management fees receivables and receivables for securities sold for which 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) | 9 Months Ended |
Sep. 30, 2022 | |
Revenue from Contract with Customer [Abstract] | |
Disaggregation of Revenue | The following table presents the sources of asset management fees on a consolidated basis. Asset Management Fees Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Management fees: CLOs $ 8 $ 9 $ 25 $ 31 Opportunity funds and liquid strategies 2 4 14 12 Wind-down funds 1 2 2 6 Total management fees 11 15 41 49 Performance fees 2 — 17 1 Reimbursable fund expenses 3 5 13 15 Total asset management fees $ 16 $ 20 $ 71 $ 65 |
Income Taxes (Tables)
Income Taxes (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Income Tax Disclosure [Abstract] | |
Schedule of Deferred Tax Assets and Liabilities | Deferred and Current Tax Assets (Liabilities) (1) As of September 30, 2022 December 31, 2021 (in millions) Net deferred tax assets (liabilities) $ 185 $ (33) Net current tax assets (liabilities) 13 (43) ____________________ (1) Included in “other assets” or “other liabilities” on the condensed consolidated balance sheets. |
Effective Tax Rate Reconciliation | A reconciliation of the difference between the provision for income taxes and the expected tax provision at statutory rates in taxable jurisdictions is presented below. Effective Tax Rate Reconciliation Third Quarter Nine Months 2022 2021 2022 2021 (in millions) Expected tax provision (benefit) $ (6) $ (6) $ 6 $ 16 Tax-exempt interest (3) (4) (10) (12) Noncontrolling interest 1 — (5) (2) Return to provision adjustment (20) (4) (20) (4) State taxes 2 (2) 10 5 Foreign taxes (1) 4 9 6 Taxes on reinsurance — (4) (1) (1) Stock based compensation — 1 4 1 Other — — 1 (1) Total provision (benefit) for income taxes $ (27) $ (15) $ (6) $ 8 Effective tax rate 123.5 % (313.3) % (12.1) % 6.0 % |
Pretax Income (Loss) by Tax Jurisdiction | The following tables present pre-tax income and revenue by jurisdiction. Pre-tax Income (Loss) by Tax Jurisdiction Third Quarter Nine Months 2022 2021 2022 2021 (in millions) U.S. $ 3 $ (10) $ 112 $ 92 Bermuda 10 31 27 67 U.K. (30) (13) (75) (9) Other (5) (3) (15) (5) Total $ (22) $ 5 $ 49 $ 145 |
Revenue by Tax Jurisdiction | Revenue by Tax Jurisdiction Third Quarter Nine Months 2022 2021 2022 2021 (in millions) U.S. $ 60 $ 181 $ 435 $ 465 Bermuda 4 32 43 90 U.K. (21) (1) (39) 29 Other (2) — (8) 1 Total $ 41 $ 212 $ 431 $ 585 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 condensed consolidated statements of operations. Changes in Accumulated Other Comprehensive Income (Loss) by Component Third Quarter 2022 Net Unrealized Gains (Losses) on Investments with: ISCR on Cumulative Cash Flow Total AOCI No Credit Impairment Credit Impairment (in millions) Balance, June 30, 2022 $ (205) $ (107) $ (19) $ (45) $ 6 $ (370) Other comprehensive income (loss) before reclassifications (286) (1) (3) (4) — (294) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) (11) (3) — — — (14) Fair value gains (losses) on FG VIEs — — — — — — Total before tax (11) (3) — — — (14) Tax (provision) benefit 2 — — — — 2 Total amount reclassified from AOCI, net of tax (9) (3) — — — (12) Other comprehensive income (loss) (277) 2 (3) (4) — (282) Balance, September 30, 2022 $ (482) $ (105) $ (22) $ (49) $ 6 $ (652) Changes in Accumulated Other Comprehensive Income (Loss) by Component Third Quarter 2021 Net Unrealized Gains (Losses) on Investments with: ISCR on Cumulative Cash Flow Total AOCI No Credit Impairment Credit Impairment (in millions) Balance, June 30, 2021 $ 509 $ (12) $ (23) $ (36) $ 7 $ 445 Other comprehensive income (loss) before reclassifications (69) (2) 1 — — (70) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) (3) 5 — — — 2 Fair value gains (losses) on FG VIEs — — (1) — — (1) Interest expense — — — — 1 1 Total before tax (3) 5 (1) — 1 2 Tax (provision) benefit — (1) — — — (1) Total amount reclassified from AOCI, net of tax (3) 4 (1) — 1 1 Other comprehensive income (loss) (66) (6) 2 — (1) (71) Balance, September 30, 2021 $ 443 $ (18) $ (21) $ (36) $ 6 $ 374 Changes in Accumulated Other Comprehensive Income (Loss) by Component Nine Months 2022 Net Unrealized Gains (Losses) on Investments with: ISCR on Cumulative Cash Flow Total AOCI No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2021 $ 375 $ (24) $ (21) $ (36) $ 6 $ 300 Other comprehensive income (loss) before reclassifications (886) (92) (2) (13) — (993) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) (35) (13) — — — (48) Fair value gains (losses) on FG VIEs — — (2) — — (2) Total before tax (35) (13) (2) — — (50) Tax (provision) benefit 6 2 1 — — 9 Total amount reclassified from AOCI, net of tax (29) (11) (1) — — (41) Other comprehensive income (loss) (857) (81) (1) (13) — (952) Balance, September 30, 2022 $ (482) $ (105) $ (22) $ (49) $ 6 $ (652) Changes in Accumulated Other Comprehensive Income (Loss) by Component Nine Months 2021 Net Unrealized Gains (Losses) on Investments with: ISCR on Cumulative Cash Flow Total AOCI No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2020 $ 577 $ (30) $ (20) $ (36) $ 7 $ 498 Other comprehensive income (loss) before reclassifications (134) 14 (3) — — (123) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 1 2 — — — 3 Fair value gains (losses) on FG VIEs — — (3) — — (3) Interest expense — — — — 1 1 Total before tax 1 2 (3) — 1 1 Tax (provision) benefit (1) — 1 — — — Total amount reclassified from AOCI, net of tax — 2 (2) — 1 1 Other comprehensive income (loss) (134) 12 (1) — (1) (124) Balance, September 30, 2021 $ 443 $ (18) $ (21) $ (36) $ 6 $ 374 |
Schedule of Share Repurchases | Share Repurchases Period Number of Shares Repurchased Total Payments Average Price Paid Per Share 2021 (January 1 - March 31) 1,986,534 $ 77 $ 38.83 2021 (April 1 - June 30) 1,887,531 88 46.63 2021 (July 1- September 30) 2,918,993 140 47.76 2021 (October 1 - December 31) 3,725,982 191 51.47 Total 2021 10,519,040 $ 496 47.19 2022 (January 1 - March 31) (1) 2,738,223 155 56.62 2022 (April 1 - June 30) 2,605,947 151 58.03 2022 (July 1 - September 30) 1,790,395 97 53.77 2022 (October 1 - November 7) 785,863 42 53.99 Total 2022 7,920,428 $ 445 56.18 ____________________ |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Earnings Per Share [Abstract] | |
Schedule of Computation of Basic and Diluted Earnings Per Share | Computation of Earnings Per Share Third Quarter Nine Months 2022 2021 2022 2021 (in millions, except per share amounts) Basic Earnings Per Share (EPS): Net income (loss) attributable to AGL $ 11 $ 17 $ 30 $ 126 Less: Distributed and undistributed income (loss) available to nonvested shareholders — — — — Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 11 $ 17 $ 30 $ 126 Basic shares 61.7 72.7 63.9 74.9 Basic EPS $ 0.18 $ 0.22 $ 0.47 $ 1.67 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 11 $ 17 $ 30 $ 126 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 $ 11 $ 17 $ 30 $ 126 Basic shares 61.7 72.7 63.9 74.9 Dilutive securities: Options and restricted stock awards 1.2 0.9 1.2 0.8 Diluted shares 62.9 73.6 65.1 75.7 Diluted EPS $ 0.18 $ 0.22 $ 0.46 $ 1.66 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.1 — 0.8 0.1 |
Schedule of Antidilutive Securities Excluded from Computation of Earnings Per Share | Computation of Earnings Per Share Third Quarter Nine Months 2022 2021 2022 2021 (in millions, except per share amounts) Basic Earnings Per Share (EPS): Net income (loss) attributable to AGL $ 11 $ 17 $ 30 $ 126 Less: Distributed and undistributed income (loss) available to nonvested shareholders — — — — Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 11 $ 17 $ 30 $ 126 Basic shares 61.7 72.7 63.9 74.9 Basic EPS $ 0.18 $ 0.22 $ 0.47 $ 1.67 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 11 $ 17 $ 30 $ 126 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 $ 11 $ 17 $ 30 $ 126 Basic shares 61.7 72.7 63.9 74.9 Dilutive securities: Options and restricted stock awards 1.2 0.9 1.2 0.8 Diluted shares 62.9 73.6 65.1 75.7 Diluted EPS $ 0.18 $ 0.22 $ 0.46 $ 1.66 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.1 — 0.8 0.1 |
Business and Basis of Present_3
Business and Basis of Presentation (Details) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 USD ($) Company | Sep. 30, 2021 USD ($) | Mar. 31, 2021 USD ($) | Sep. 30, 2022 USD ($) Company | Sep. 30, 2021 USD ($) | |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | |||||
Fair value gains (losses) on financial guaranty variable interest entities | $ 11 | $ 5 | $ 27 | $ 18 | |
Number of holding companies with outstanding public debt | Company | 2 | 2 | |||
Revision of Prior Period, Error Correction, Adjustment | |||||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | |||||
Fair value gains (losses) on financial guaranty variable interest entities | $ 6.9 | ||||
Municipal Assurance Corp | |||||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | |||||
Write off of licenses | $ 16 |
Segment Information - Segment I
Segment Information - Segment Information (Details) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 USD ($) | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) segment | Sep. 30, 2021 USD ($) | |
Segment Reporting [Abstract] | ||||
Number of reportable segments | segment | 2 | |||
Segment Reporting Information [Line Items] | ||||
Revenues | $ (41) | $ (212) | $ (431) | $ (585) |
Segment expenses | 43 | 230 | 351 | 506 |
Segment equity in earnings (losses) of investees | (20) | 23 | (31) | 66 |
Less: Provision (benefit) for income taxes | (27) | (15) | (6) | 8 |
Operating Segments | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | (168) | (209) | (652) | (611) |
Segment expenses | 8 | 7 | 238 | 213 |
Segment equity in earnings (losses) of investees | (11) | 33 | (46) | 100 |
Less: Provision (benefit) for income taxes | (7) | 28 | 24 | 69 |
Insurance | Operating Segments | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | (147) | (190) | (564) | (551) |
Segment expenses | (16) | (22) | 147 | 131 |
Segment equity in earnings (losses) of investees | (11) | 33 | (46) | 100 |
Less: Provision (benefit) for income taxes | (7) | 31 | 24 | 75 |
Segment adjusted operating income (loss) | 159 | 214 | 347 | 445 |
Insurance | Intersegment Eliminations | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | 2 | 3 | 6 | 7 |
Insurance | Operating Segments Excluding Intersegment Elimination | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | (145) | (187) | (558) | (544) |
Asset Management | Operating Segments | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | (21) | (19) | (88) | (60) |
Segment expenses | 24 | 29 | 91 | 82 |
Segment equity in earnings (losses) of investees | 0 | 0 | 0 | 0 |
Less: Provision (benefit) for income taxes | 0 | (3) | 0 | (6) |
Segment adjusted operating income (loss) | (3) | (7) | (3) | (16) |
Asset Management | Intersegment Eliminations | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | 8 | 2 | 29 | 6 |
Asset Management | Operating Segments Excluding Intersegment Elimination | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | $ (13) | $ (17) | $ (59) | $ (54) |
Segment Information - Reconcili
Segment Information - Reconciliation of Net Income (Loss) Attributable to AGL to Segment Adjusted Operating Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Segment Reporting Information [Line Items] | ||||
Revenues | $ 41 | $ 212 | $ 431 | $ 585 |
Expenses | 43 | 230 | 351 | 506 |
Equity in Earnings (Losses) of Investees | (20) | 23 | (31) | 66 |
Less: Provision (benefit) for income taxes | (27) | (15) | (6) | 8 |
Less: Noncontrolling interests | (6) | 3 | 25 | 11 |
Net Income (Loss) Attributable to AGL | 11 | 17 | 30 | 126 |
Subtotal | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | 182 | 228 | 689 | 678 |
Expenses | 44 | 228 | 356 | 513 |
Equity in Earnings (Losses) of Investees | (20) | 23 | (31) | 66 |
Less: Provision (benefit) for income taxes | (9) | (14) | 24 | 23 |
Less: Noncontrolling interests | (6) | 3 | 25 | 11 |
Net Income (Loss) Attributable to AGL | 133 | 34 | 253 | 197 |
Operating Segments | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | 168 | 209 | 652 | 611 |
Expenses | 8 | 7 | 238 | 213 |
Equity in Earnings (Losses) of Investees | (11) | 33 | (46) | 100 |
Less: Provision (benefit) for income taxes | (7) | 28 | 24 | 69 |
Less: Noncontrolling interests | 0 | 0 | 0 | 0 |
Net Income (Loss) Attributable to AGL | 156 | 207 | 344 | 429 |
Operating Segments | Insurance | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | 147 | 190 | 564 | 551 |
Expenses | (16) | (22) | 147 | 131 |
Equity in Earnings (Losses) of Investees | (11) | 33 | (46) | 100 |
Less: Provision (benefit) for income taxes | (7) | 31 | 24 | 75 |
Less: Noncontrolling interests | 0 | 0 | 0 | 0 |
Net Income (Loss) Attributable to AGL | 159 | 214 | 347 | 445 |
Operating Segments | Asset Management | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | 21 | 19 | 88 | 60 |
Expenses | 24 | 29 | 91 | 82 |
Equity in Earnings (Losses) of Investees | 0 | 0 | 0 | 0 |
Less: Provision (benefit) for income taxes | 0 | (3) | 0 | (6) |
Less: Noncontrolling interests | 0 | 0 | 0 | 0 |
Net Income (Loss) Attributable to AGL | (3) | (7) | (3) | (16) |
Corporate division | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | 1 | 1 | 3 | 1 |
Expenses | 34 | 211 | 104 | 279 |
Equity in Earnings (Losses) of Investees | 0 | 1 | 0 | 1 |
Less: Provision (benefit) for income taxes | (3) | (40) | (3) | (45) |
Less: Noncontrolling interests | 0 | 0 | 0 | 0 |
Net Income (Loss) Attributable to AGL | (30) | (169) | (98) | (232) |
Other | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | 13 | 18 | 34 | 66 |
Expenses | 2 | 10 | 14 | 21 |
Equity in Earnings (Losses) of Investees | (9) | (11) | 15 | (35) |
Less: Provision (benefit) for income taxes | 1 | (2) | 3 | (1) |
Less: Noncontrolling interests | (6) | 3 | 25 | 11 |
Net Income (Loss) Attributable to AGL | 7 | (4) | 7 | 0 |
Reconciling items: | Realized gains (losses) on investments | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | (14) | 3 | (39) | 4 |
Expenses | 0 | 0 | 0 | 0 |
Equity in Earnings (Losses) of Investees | 0 | 0 | 0 | 0 |
Less: Provision (benefit) for income taxes | 0 | 0 | 0 | 0 |
Less: Noncontrolling interests | 0 | 0 | 0 | 0 |
Net Income (Loss) Attributable to AGL | (14) | 3 | (39) | 4 |
Reconciling items: | Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | (50) | 11 | (51) | (48) |
Expenses | (1) | 2 | (5) | (7) |
Equity in Earnings (Losses) of Investees | 0 | 0 | 0 | 0 |
Less: Provision (benefit) for income taxes | 0 | 0 | 0 | 0 |
Less: Noncontrolling interests | 0 | 0 | 0 | 0 |
Net Income (Loss) Attributable to AGL | (49) | 9 | (46) | (41) |
Reconciling items: | Fair value gains (losses) on CCS | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | 1 | (3) | 12 | (28) |
Expenses | 0 | 0 | 0 | |
Equity in Earnings (Losses) of Investees | 0 | 0 | 0 | 0 |
Less: Provision (benefit) for income taxes | 0 | 0 | 0 | 0 |
Less: Noncontrolling interests | 0 | 0 | 0 | 0 |
Net Income (Loss) Attributable to AGL | 1 | (3) | 12 | (28) |
Reconciling items: | Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | (78) | (27) | (180) | (21) |
Expenses | 0 | 0 | 0 | 0 |
Equity in Earnings (Losses) of Investees | 0 | 0 | 0 | 0 |
Less: Provision (benefit) for income taxes | 0 | 0 | 0 | 0 |
Less: Noncontrolling interests | 0 | 0 | 0 | 0 |
Net Income (Loss) Attributable to AGL | (78) | (27) | (180) | (21) |
Reconciling items: | Tax effect | ||||
Segment Reporting Information [Line Items] | ||||
Revenues | 0 | 0 | 0 | 0 |
Expenses | 0 | 0 | 0 | 0 |
Equity in Earnings (Losses) of Investees | 0 | 0 | 0 | 0 |
Less: Provision (benefit) for income taxes | 18 | 1 | 30 | 15 |
Less: Noncontrolling interests | 0 | 0 | 0 | 0 |
Net Income (Loss) Attributable to AGL | $ (18) | $ (1) | $ (30) | $ (15) |
Outstanding Exposure - Addition
Outstanding Exposure - Additional Information (Details) - USD ($) $ in Millions | 1 Months Ended | 9 Months Ended | ||||
Aug. 31, 2021 | Sep. 30, 2022 | Oct. 12, 2022 | Mar. 15, 2022 | Jan. 18, 2022 | Dec. 31, 2021 | |
Schedule of Insured Financial Obligations [Line Items] | ||||||
Loss mitigation securities and other | $ 1,300 | $ 1,300 | ||||
Net par outstanding | 227,071 | 236,392 | ||||
Residual value insurance policies exposure downgraded | 1,656 | 1,605 | ||||
Net Exposure | 1,169 | 1,071 | ||||
Guarantor, maximum exposure | 232 | |||||
Puerto Rico | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 2,071 | 3,572 | ||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 1,218 | 2,643 | ||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | GO/PBA PSA | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 29 | 1,219 | ||||
Net par outstanding, portion of noncallable insured bonds | 102 | |||||
Cash received net of outbound reinsurance | $ 530 | |||||
Recovery bonds received, net | 605 | |||||
Contingent value instruments received, net | 258 | |||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | Commonwealth of Puerto Rico | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 25 | 1,097 | ||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | Puerto Rico Public Buildings Authority | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 4 | 122 | ||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | HTA/CCDA PSA | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 1,189 | 1,408 | ||||
Net par outstanding, portion of noncallable insured bonds | 788 | |||||
Outstanding principal amount of amended plan election, net | 451 | |||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | PRHTA (Transportation revenue) | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 771 | 799 | ||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | PRHTA (Highway revenue) | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 418 | 457 | ||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | Puerto Rico Convention Center District Authority | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 0 | 152 | ||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | PREPA | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 720 | 748 | ||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | PRIFA | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 0 | 16 | ||||
Puerto Rico | Constitutionally Guaranteed | Commonwealth of Puerto Rico | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Litigation amount | $ 35,000 | |||||
Puerto Rico | Constitutionally Guaranteed | Commonwealth of Puerto Rico | Subsequent Event | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Litigation amount | $ 6,400 | |||||
Puerto Rico | Constitutionally Guaranteed | GO and PBA POA | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Amount of outstanding principal to be paid, in percent | 100% | |||||
Puerto Rico | Constitutionally Guaranteed | PRCCDA and PRIFA | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Cash received for bonds | 47 | |||||
Notional amount of contingent value instrument received for bonds | $ 98 | |||||
Puerto Rico | Pension Obligations | Commonwealth of Puerto Rico | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Litigation amount | $ 50,000 | |||||
Puerto Rico | Other Public Corporations | University of Puerto Rico | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 1 | |||||
Puerto Rico | Other Public Corporations | PRASA (Puerto Rico Aqueduct and Sewer Authority) | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 1 | |||||
Puerto Rico | PRHTA | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 1,200 | |||||
Cash received | 147 | |||||
Notional amount of contingent value instrument received | 672 | |||||
U.S. Virgin Islands | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 183 | |||||
Principal amount defeased | 256 | |||||
Principal amount upgraded (downgraded) | 134 | |||||
Public finance | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 218,905 | 227,164 | ||||
Structured finance | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 8,166 | 9,228 | ||||
Commitment to Provide Guarantees | Public finance | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Outstanding commitments to provide guaranties | 893 | |||||
Commitment to Provide Guarantees | Structured finance | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Outstanding commitments to provide guaranties | $ 741 | |||||
BIG | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Maximum period of liquidity claims (in years) | 1 year | |||||
Net par outstanding | $ 5,785 | 7,356 | ||||
Residual value insurance policies exposure downgraded | 144 | 144 | ||||
Net Exposure | 84 | 84 | ||||
BIG | Puerto Rico | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 2,100 | 3,600 | ||||
Decrease in net par outstanding | 1,500 | |||||
BIG | U.S. Virgin Islands | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 47 | 469 | ||||
BIG | Public finance | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | 4,649 | 5,972 | ||||
BIG | Structured finance | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par outstanding | $ 1,136 | $ 1,384 | ||||
Minimum | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Probability of paying more claims than being reimbursed (as a percent) | 50% |
Outstanding Exposure - Debt Ser
Outstanding Exposure - Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Debt Service [Abstract] | ||
Gross | $ 356,894 | $ 367,770 |
Net | 356,701 | 367,360 |
Par Outstanding | ||
Gross | 227,243 | 236,765 |
Net | 227,071 | 236,392 |
Public finance | ||
Debt Service [Abstract] | ||
Gross | 347,776 | 357,694 |
Net | 347,608 | 357,314 |
Par Outstanding | ||
Gross | 219,052 | 227,507 |
Net | 218,905 | 227,164 |
Structured finance | ||
Debt Service [Abstract] | ||
Gross | 9,118 | 10,076 |
Net | 9,093 | 10,046 |
Par Outstanding | ||
Gross | 8,191 | 9,258 |
Net | $ 8,166 | $ 9,228 |
Outstanding Exposure - Financia
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 227,071 | $ 236,392 |
% of total net par outstanding | 100% | 100% |
AAA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 3,364 | $ 3,788 |
% of total net par outstanding | 1.50% | 1.60% |
AA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 24,438 | $ 25,359 |
% of total net par outstanding | 10.80% | 10.70% |
A | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 105,223 | $ 106,091 |
% of total net par outstanding | 46.30% | 44.90% |
BBB | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 88,261 | $ 93,798 |
% of total net par outstanding | 38.90% | 39.70% |
BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 5,785 | $ 7,356 |
% of total net par outstanding | 2.50% | 3.10% |
Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 218,905 | $ 227,164 |
Public finance | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 177,842 | $ 177,219 |
% of total net par outstanding | 100% | 100% |
Public finance | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 41,063 | $ 49,945 |
% of total net par outstanding | 100% | 100% |
Public finance | AAA | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 259 | $ 272 |
% of total net par outstanding | 0.10% | 0.20% |
Public finance | AAA | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 1,879 | $ 2,217 |
% of total net par outstanding | 4.60% | 4.50% |
Public finance | AA | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 16,451 | $ 16,372 |
% of total net par outstanding | 9.30% | 9.20% |
Public finance | AA | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 3,454 | $ 4,205 |
% of total net par outstanding | 8.40% | 8.40% |
Public finance | A | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 96,052 | $ 94,459 |
% of total net par outstanding | 54% | 53.30% |
Public finance | A | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 8,491 | $ 10,659 |
% of total net par outstanding | 20.70% | 21.30% |
Public finance | BBB | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 60,893 | $ 60,744 |
% of total net par outstanding | 34.20% | 34.30% |
Public finance | BBB | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 26,777 | $ 32,264 |
% of total net par outstanding | 65.20% | 64.60% |
Public finance | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 4,649 | $ 5,972 |
Public finance | BIG | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 4,187 | $ 5,372 |
% of total net par outstanding | 2.40% | 3% |
Public finance | BIG | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 462 | $ 600 |
% of total net par outstanding | 1.10% | 1.20% |
Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 8,166 | $ 9,228 |
Structured finance | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 7,449 | $ 8,374 |
% of total net par outstanding | 100% | 100% |
Structured finance | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 717 | $ 854 |
% of total net par outstanding | 100% | 100% |
Structured finance | AAA | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 794 | $ 806 |
% of total net par outstanding | 10.70% | 9.60% |
Structured finance | AAA | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 432 | $ 493 |
% of total net par outstanding | 60.30% | 57.70% |
Structured finance | AA | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 4,522 | $ 4,760 |
% of total net par outstanding | 60.70% | 56.80% |
Structured finance | AA | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 11 | $ 22 |
% of total net par outstanding | 1.50% | 2.60% |
Structured finance | A | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 510 | $ 813 |
% of total net par outstanding | 6.80% | 9.70% |
Structured finance | A | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 170 | $ 160 |
% of total net par outstanding | 23.70% | 18.70% |
Structured finance | BBB | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 487 | $ 611 |
% of total net par outstanding | 6.50% | 7.30% |
Structured finance | BBB | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 104 | $ 179 |
% of total net par outstanding | 14.50% | 21% |
Structured finance | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 1,136 | $ 1,384 |
Structured finance | BIG | United States | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 1,136 | $ 1,384 |
% of total net par outstanding | 15.30% | 16.60% |
Structured finance | BIG | Non-U.S. public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 0 | $ 0 |
% of total net par outstanding | 0% | 0% |
Outstanding Exposure - Componen
Outstanding Exposure - Components of BIG Net Par Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 227,071 | $ 236,392 |
Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 218,905 | 227,164 |
Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 6,160 | 6,837 |
Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 8,166 | 9,228 |
BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 5,785 | 7,356 |
BIG | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 4,649 | 5,972 |
BIG | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 107 | 119 |
BIG | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 1,136 | 1,384 |
BIG | BIG 1 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 2,471 | 2,443 |
BIG | BIG 1 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 2,454 | 2,321 |
BIG | BIG 1 | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 0 | 1 |
BIG | BIG 1 | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 17 | 122 |
BIG | BIG 2 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 198 | 181 |
BIG | BIG 2 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 124 | 116 |
BIG | BIG 2 | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 35 | 41 |
BIG | BIG 2 | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 74 | 65 |
BIG | BIG 3 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 3,116 | 4,732 |
BIG | BIG 3 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 2,071 | 3,535 |
BIG | BIG 3 | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 72 | 77 |
BIG | BIG 3 | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 1,045 | 1,197 |
United States | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 177,842 | 177,219 |
United States | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 2,006 | 2,391 |
United States | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 7,449 | 8,374 |
United States | BIG | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 4,187 | 5,372 |
United States | BIG | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 1,029 | 1,265 |
United States | BIG | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 1,136 | 1,384 |
United States | BIG | BIG 1 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 2,029 | 1,765 |
United States | BIG | BIG 1 | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 17 | 121 |
United States | BIG | BIG 2 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 124 | 116 |
United States | BIG | BIG 2 | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 39 | 24 |
United States | BIG | BIG 3 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 2,034 | 3,491 |
United States | BIG | BIG 3 | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 973 | 1,120 |
Non-U.S. public finance | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 41,063 | 49,945 |
Non-U.S. public finance | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 717 | 854 |
Non-U.S. public finance | BIG | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 462 | 600 |
Non-U.S. public finance | BIG | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 0 | 0 |
Non-U.S. public finance | BIG | BIG 1 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 425 | 556 |
Non-U.S. public finance | BIG | BIG 2 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 0 | 0 |
Non-U.S. public finance | BIG | BIG 3 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 37 | $ 44 |
Outstanding Exposure - BIG Net
Outstanding Exposure - BIG Net Par Outstanding (Details) $ in Millions | Sep. 30, 2022 USD ($) risk | Dec. 31, 2021 USD ($) risk |
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, credit derivative | $ 3,117 | $ 4,040 |
Total | 227,071 | 236,392 |
BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | 5,727 | 7,293 |
Net par outstanding, credit derivative | 58 | 63 |
Total | $ 5,785 | $ 7,356 |
Number of risks, financial guaranty insurance | risk | 244 | 262 |
Number of risks, credit derivative | risk | 11 | 11 |
Number of risks | risk | 255 | 273 |
BIG | BIG 1 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | $ 2,465 | $ 2,429 |
Net par outstanding, credit derivative | 6 | 14 |
Total | $ 2,471 | $ 2,443 |
Number of risks, financial guaranty insurance | risk | 110 | 117 |
Number of risks, credit derivative | risk | 1 | 2 |
Number of risks | risk | 111 | 119 |
BIG | BIG 2 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | $ 187 | $ 177 |
Net par outstanding, credit derivative | 11 | 4 |
Total | $ 198 | $ 181 |
Number of risks, financial guaranty insurance | risk | 17 | 16 |
Number of risks, credit derivative | risk | 2 | 1 |
Number of risks | risk | 19 | 17 |
BIG | BIG 3 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | $ 3,075 | $ 4,687 |
Net par outstanding, credit derivative | 41 | 45 |
Total | $ 3,116 | $ 4,732 |
Number of risks, financial guaranty insurance | risk | 117 | 129 |
Number of risks, credit derivative | risk | 8 | 8 |
Number of risks | risk | 125 | 137 |
Outstanding Exposure - Outstand
Outstanding Exposure - Outstanding GO and PBA Bonds (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Financial Guaranty Insurance BIG Transaction Loss Summary | ||
Net | $ 227,071 | $ 236,392 |
Puerto Rico | ||
Financial Guaranty Insurance BIG Transaction Loss Summary | ||
Net | 2,071 | 3,572 |
Puerto Rico Exposures Subject to a Plan or Support Agreement | Puerto Rico | ||
Financial Guaranty Insurance BIG Transaction Loss Summary | ||
Net | 1,218 | 2,643 |
Puerto Rico Exposures Subject to a Plan or Support Agreement | GO/PBA PSA | Puerto Rico | ||
Financial Guaranty Insurance BIG Transaction Loss Summary | ||
Net | 29 | 1,219 |
Puerto Rico Exposures Subject to a Plan or Support Agreement | Commonwealth of Puerto Rico | Puerto Rico | ||
Financial Guaranty Insurance BIG Transaction Loss Summary | ||
Net | 25 | 1,097 |
Puerto Rico Exposures Subject to a Plan or Support Agreement | Puerto Rico Public Buildings Authority | Puerto Rico | ||
Financial Guaranty Insurance BIG Transaction Loss Summary | ||
Net | $ 4 | $ 122 |
Outstanding Exposure - Puerto R
Outstanding Exposure - Puerto Rico Gross Par and Gross Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Par Outstanding | $ 227,243 | $ 236,765 |
Gross | 356,894 | 367,770 |
Puerto Rico | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Par Outstanding | 2,088 | 3,629 |
Gross | $ 2,944 | $ 5,322 |
Outstanding Exposure - Puerto_2
Outstanding Exposure - Puerto Rico Net Par Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 227,071 | $ 236,392 |
Puerto Rico | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 2,071 | 3,572 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 1,218 | 2,643 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | Commonwealth of Puerto Rico | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 25 | 1,097 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | PBA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 4 | 122 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | GO/PBA PSA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 29 | 1,219 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | PRHTA (Transportation revenue) | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 771 | 799 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | PRHTA (Highway revenue) | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 418 | 457 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | PRCCDA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 0 | 152 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | HTA/CCDA PSA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 1,189 | 1,408 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | PRIFA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 0 | 16 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan or Support Agreement | PREPA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 720 | 748 |
Puerto Rico | Other Puerto Rico Exposures | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 853 | 929 |
Puerto Rico | Other Puerto Rico Exposures | MFA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | 131 | 179 |
Puerto Rico | Other Puerto Rico Exposures | PRASA and U of PR | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net | $ 2 | $ 2 |
Outstanding Exposure - Amortiza
Outstanding Exposure - Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Scheduled Net Par Amortization | ||
Total | $ 227,071 | $ 236,392 |
Scheduled Net Debt Service Amortization | ||
Total | 356,701 | 367,360 |
Puerto Rico | ||
Scheduled Net Par Amortization | ||
2022 (October 1 - December 31) | 0 | |
2023 (January 1 - March 31) | 0 | |
2023 (April 1 - June 30) | 0 | |
2023 (July 1 - September 30) | 181 | |
2023 (October 1 - December 31) | 0 | |
Subtotal 2023 | 181 | |
2024 | 149 | |
2025 | 151 | |
2026 | 170 | |
2027-2031 | 637 | |
2032-2036 | 577 | |
2037-2041 | 201 | |
2042 | 5 | |
Total | 2,071 | $ 3,572 |
Scheduled Net Debt Service Amortization | ||
2022 (October 1 - December 31) | 3 | |
2023 (January 1 - March 31) | 49 | |
2023 (April 1 - June 30) | 2 | |
2023 (July 1 - September 30) | 230 | |
2023 (October 1 - December 31) | 3 | |
Subtotal 2023 | 284 | |
2024 | 243 | |
2025 | 237 | |
2026 | 249 | |
2027-2031 | 934 | |
2032-2036 | 732 | |
2037-2041 | 237 | |
2042 | 5 | |
Total | $ 2,924 |
Outstanding Exposure - Schedule
Outstanding Exposure - Schedule of Non-Financial Guaranty Exposure (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | $ 1,656 | $ 1,605 |
Net Exposure | 1,169 | 1,071 |
Life insurance transactions | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | 1,301 | 1,250 |
Net Exposure | 969 | 871 |
Life insurance transactions | Maximum | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Exposure | 1,100 | |
Aircraft residual value insurance policies | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | 355 | 355 |
Net Exposure | $ 200 | $ 200 |
Expected Loss to be Paid (Rec_3
Expected Loss to be Paid (Recovered) - Additional Information (Details) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||
Jun. 30, 2022 USD ($) | Sep. 30, 2022 USD ($) | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) Payment Curve scenario | Sep. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) scenario | Jun. 30, 2021 USD ($) | Dec. 31, 2020 USD ($) | |
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Period of insured credit performance of guaranteed obligations (in some cases over) | 30 years | |||||||
Discount factor (as a percent) | 3.97% | 1.02% | ||||||
Net Expected Loss to be Paid (Recovered) | $ 442 | $ 727 | $ 199 | $ 727 | $ 199 | $ 411 | $ 466 | $ 529 |
Loss and LAE Reserve paid | 5 | 5 | 25 | 15 | ||||
Expected LAE to be paid | 11 | 11 | 26 | |||||
Ceded expected loss to be recovered (paid) | (2) | (2) | 10 | |||||
Net par outstanding | 227,071 | 227,071 | 236,392 | |||||
Net economic loss development (benefit) | $ (72) | (94) | $ (148) | (101) | ||||
Additional loss recovery assumption, recovery period | 5 years | |||||||
Loss recovery assumption, additional increase in recovery projection, percent | 40% | 40% | ||||||
Loss recovery assumption, additional increase in recovery projection, economic benefit | $ 39 | $ 39 | ||||||
Loss recovery assumption, additional decrease in recovery projection, percent | 20% | 20% | ||||||
Loss recovery assumption, additional decrease in recovery projection, economic loss | $ 39 | $ 39 | ||||||
Public Finance Stockton Pension Obligation Bonds | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net par outstanding | 96 | 96 | ||||||
Public finance | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net Expected Loss to be Paid (Recovered) | 217 | 632 | 10 | 632 | 10 | 209 | 243 | 341 |
Net par outstanding | 218,905 | 218,905 | 227,164 | |||||
Net economic loss development (benefit) | 22 | (31) | (22) | (28) | ||||
Other structured finance | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net Expected Loss to be Paid (Recovered) | 46 | 43 | 47 | 43 | 47 | 52 | 45 | 40 |
Net par outstanding | 6,160 | 6,160 | 6,837 | |||||
Net economic loss development (benefit) | 1 | 2 | 1 | 9 | ||||
Healthcare System | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net par outstanding | 820 | 820 | ||||||
BIG | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net par outstanding | 5,785 | 5,785 | 7,356 | |||||
BIG | Public finance | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net par outstanding | 4,649 | 4,649 | 5,972 | |||||
BIG | Other structured finance | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net par outstanding | 107 | 107 | $ 119 | |||||
BIG | Student Loan | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net par outstanding | 49 | 49 | ||||||
BIG | Life insurance transactions | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net par outstanding | 40 | $ 40 | ||||||
United States | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for representations and warranties, percent | 99.30% | 97.20% | ||||||
United States | Public finance | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net Expected Loss to be Paid (Recovered) | 210 | 626 | (9) | $ 626 | (9) | $ 197 | 221 | 305 |
Net par outstanding | 177,842 | 177,842 | 177,219 | |||||
Net economic loss development (benefit) | 24 | (29) | (16) | (13) | ||||
United States | RMBS | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net Expected Loss to be Paid (Recovered) | $ 179 | 52 | 142 | 52 | 142 | 150 | $ 178 | $ 148 |
Net par outstanding | 2,006 | 2,006 | 2,391 | |||||
Net economic loss development (benefit) | (95) | (65) | $ (127) | (82) | ||||
United States | RMBS | Second Lien | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Period from plateau to intermediate conditional default rate (in months) | 12 months | |||||||
United States | RMBS | First Lien | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net Expected Loss to be Paid (Recovered) | 110 | $ 110 | $ 167 | |||||
Net economic loss development (benefit) | $ (38) | (10) | $ (34) | 1 | ||||
Number of delinquent payments | Payment | 2 | |||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | |||||||
Projected loss assumptions, final CPR, period for voluntary prepayments to continue | 12 months | |||||||
Percent of deferred loan balances to be recovered | 20% | |||||||
Intermediate conditional default rate (as a percent) | 5% | 5% | ||||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | 5 | ||||||
United States | 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 from plateau to intermediate conditional default rate (in months) | 12 months | |||||||
Final conditional default rate as a percentage of plateau conditional default rate | 5% | |||||||
Projected loss assumptions, final CPR, period for voluntary prepayments to continue | 1 year | |||||||
Default from delinquentor rate, term | 36 months | |||||||
Performing or projected to reperform, projection period | 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% | 40% | ||||||
Projected loss assumptions, period to reach final loss severity rate | 2 years 6 months | |||||||
Final CPR | 15% | 15% | ||||||
United States | RMBS | First Lien | More Stressful Environment | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Period from plateau to intermediate conditional default rate (in months) | 16 months | |||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ (13) | |||||||
United States | 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 from plateau to intermediate conditional default rate (in months) | 8 months | |||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 8 | |||||||
Decrease in the plateau period used to calculate potential change in loss estimate (in months) | 6 months | |||||||
United States | RMBS | First Lien | Most Stressful | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Projected loss assumptions, period to reach final loss severity rate | 9 years | |||||||
United States | RMBS | Second Lien | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net Expected Loss to be Paid (Recovered) | $ (58) | $ (58) | $ (17) | |||||
Net economic loss development (benefit) | $ (57) | $ (55) | $ (93) | $ (83) | ||||
Period from plateau to intermediate conditional default rate (in months) | 28 months | 28 months | ||||||
Projected loss assumptions, period of consistent conditional default rate | 6 months | 36 months | ||||||
Stress period (in months) | 34 months | 48 months | ||||||
Period of delinquency (in days) | 180 days | |||||||
Percentage of consistent conditional default rate | 5% | |||||||
Loss recovery assumption (as a percent) | 2% | 2% | 2% | |||||
Number of conditional default rate curves modeled in estimating losses | Curve | 5 | |||||||
Liquidation rate | 30% | 30% | ||||||
United States | RMBS | Second Lien | Home Equity Line of Credit and Closed-end Mortgage | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Final CPR | 15% | 15% | ||||||
United States | RMBS | Second Lien | Base Scenario | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Stress period (in months) | 48 months | 34 months | ||||||
United States | RMBS | Second Lien | Most Stressful | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | 42 months | 6 months | |||||
Period from plateau to intermediate conditional default rate (in months) | 16 months | |||||||
Stress period (in months) | 58 months | |||||||
Increase in conditional default rate ramp down period | 4 months | |||||||
United States | RMBS | Second Lien | Most Stressful | Home Equity Line of Credit | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Change in estimate for increased conditional default rate plateau period | $ 1 | |||||||
United States | RMBS | Second Lien | Least Stressful | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Stress period (in months) | 38 months | |||||||
Period of constant conditional default rate (in months) | 30 months | |||||||
Decreased conditional default rate ramp down period | 8 months | |||||||
Change in estimate for decreased prepayment rate, Percent | 10% | |||||||
United States | RMBS | Second Lien | Least Stressful | 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 | $ 2 | |||||||
United States | 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 | |||||||
United States | Home Equity Line of Credit Insured | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Initial period for which borrower can pay only interest payments | 15 years | |||||||
United States | BIG | Public finance | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net par outstanding | $ 4,187 | $ 4,187 | $ 5,372 | |||||
United States | BIG | RMBS | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net par outstanding | 1,029 | 1,029 | 1,265 | |||||
Puerto Rico | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net par outstanding | 2,071 | 2,071 | 3,572 | |||||
Puerto Rico | BIG | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net par outstanding | $ 2,100 | $ 2,100 | $ 3,600 | |||||
Minimum | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Risk free discount rate | 2.98% | 0% | ||||||
Maximum | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Risk free discount rate | 4.18% | 1.98% |
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 | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Jun. 30, 2022 | Dec. 31, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | |
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net Expected Loss to be Paid (Recovered) | $ 727 | $ 199 | $ 727 | $ 199 | $ 442 | $ 411 | $ 466 | $ 529 |
Net economic loss development (benefit) | (72) | (94) | (148) | (101) | ||||
Accretion of discount | 3 | 2 | 8 | 5 | ||||
Changes in discount rates | (25) | (1) | (114) | (34) | ||||
Changes in timing and assumptions | (50) | (95) | (42) | (72) | ||||
Net (paid) recovered losses (1) | 357 | (173) | 464 | (229) | ||||
Insurance | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net Expected Loss to be Paid (Recovered) | 695 | 695 | 364 | |||||
Net economic loss development (benefit) | (67) | (82) | (137) | (91) | ||||
FG VIEs' assets | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net Expected Loss to be Paid (Recovered) | 28 | 28 | 42 | |||||
Net economic loss development (benefit) | (6) | (10) | (16) | (17) | ||||
Credit derivatives | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net Expected Loss to be Paid (Recovered) | 4 | 4 | $ 5 | |||||
Net economic loss development (benefit) | $ 1 | $ (2) | $ 5 | $ 7 |
Expected Loss to be Paid (Rec_5
Expected Loss to be Paid (Recovered) - Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Rollforward (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
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 | $ 442 | $ 466 | $ 411 | $ 529 | |
Accretion of discount | 3 | 2 | 8 | 5 | |
Changes in discount rates | (25) | (1) | (114) | (34) | |
Changes in timing and assumptions | (50) | (95) | (42) | (72) | |
Total economic loss development (benefit) | (72) | (94) | (148) | (101) | |
Net (paid) recovered losses (1) | 357 | (173) | 464 | (229) | |
Net expected loss to be paid (recovered), end of period | 727 | 199 | $ 727 | 199 | |
Period after the end of the reporting period within which the ceded paid losses are typically settled (in days) | 45 days | ||||
Loss and LAE Reserve paid | 5 | 5 | $ 25 | 15 | |
Expected LAE to be paid | 11 | 11 | $ 26 | ||
Puerto Rico | PRHTA | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Cash received | 147 | 147 | |||
Notional amount of contingent value instrument received | 672 | 672 | |||
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 | 217 | 243 | 209 | 341 | |
Total economic loss development (benefit) | 22 | (31) | (22) | (28) | |
Net (paid) recovered losses (1) | 393 | (202) | 445 | (303) | |
Net expected loss to be paid (recovered), end of period | 632 | 10 | 632 | 10 | |
Public finance | United States | |||||
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 | 210 | 221 | 197 | 305 | |
Total economic loss development (benefit) | 24 | (29) | (16) | (13) | |
Net (paid) recovered losses (1) | 392 | (201) | 445 | (301) | |
Net expected loss to be paid (recovered), end of period | 626 | (9) | 626 | (9) | |
Public finance | 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 | 7 | 22 | 12 | 36 | |
Total economic loss development (benefit) | (2) | (2) | (6) | (15) | |
Net (paid) recovered losses (1) | 1 | (1) | 0 | (2) | |
Net expected loss to be paid (recovered), end of period | 6 | 19 | 6 | 19 | |
RMBS | United States | |||||
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 | 179 | 178 | 150 | 148 | |
Total economic loss development (benefit) | (95) | (65) | (127) | (82) | |
Net (paid) recovered losses (1) | (32) | 29 | 29 | 76 | |
Net expected loss to be paid (recovered), end of period | 52 | 142 | 52 | 142 | |
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 | 46 | 45 | 52 | 40 | |
Total economic loss development (benefit) | 1 | 2 | 1 | 9 | |
Net (paid) recovered losses (1) | (4) | 0 | (10) | (2) | |
Net expected loss to be paid (recovered), end of period | 43 | 47 | 43 | 47 | |
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 | 225 | 223 | 202 | 188 | |
Total economic loss development (benefit) | (94) | (63) | (126) | (73) | |
Net (paid) recovered losses (1) | (36) | 29 | 19 | 74 | |
Net expected loss to be paid (recovered), end of period | $ 95 | $ 189 | $ 95 | $ 189 |
Expected Loss to be Paid (Rec_6
Expected Loss to be Paid (Recovered) - Net Economic Loss Development (Benefit) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Schedule of Expected Losses to be Paid [Line Items] | ||||
RMBS losses | $ (72) | $ (94) | $ (148) | $ (101) |
RMBS | United States | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
RMBS losses | (95) | (65) | (127) | (82) |
RMBS | United States | First Lien | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
RMBS losses | (38) | (10) | (34) | 1 |
RMBS | United States | Second Lien | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
RMBS losses | $ (57) | $ (55) | $ (93) | $ (83) |
Expected Loss to be Paid (Rec_7
Expected Loss to be Paid (Recovered) - Liquidation Rates and Key Assumptions in Base Scenario Expected Loss First Lien RMBS (Details) | Sep. 30, 2022 | Dec. 31, 2021 |
RMBS | United States | Alt-A and Prime | 2005 and prior | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
RMBS | United States | Alt-A and Prime | 2006 | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
RMBS | United States | Alt-A and Prime | 2007+ | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
RMBS | United States | Alt-A and Prime | Minimum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 1.30% | 0.90% |
Final CDR | 0.10% | 0% |
RMBS | United States | Alt-A and Prime | Maximum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 12.10% | 11.60% |
Final CDR | 0.60% | 0.60% |
RMBS | United States | Alt-A and Prime | Weighted Average | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 5.60% | 5.90% |
Final CDR | 0.30% | 0.30% |
RMBS | United States | Option ARM | 2005 and prior | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
RMBS | United States | Option ARM | 2006 | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
RMBS | United States | Option ARM | 2007+ | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
RMBS | United States | Option ARM | Minimum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 1.80% | 1.80% |
Final CDR | 0.10% | 0.10% |
RMBS | United States | Option ARM | Maximum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 9.50% | 11.90% |
Final CDR | 0.50% | 0.60% |
RMBS | United States | Option ARM | Weighted Average | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 4.70% | 5.60% |
Final CDR | 0.20% | 0.30% |
RMBS | United States | Subprime | 2005 and prior | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
RMBS | United States | Subprime | 2006 | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
RMBS | United States | Subprime | 2007+ | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
RMBS | United States | Subprime | Minimum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 2.10% | 2.90% |
Final CDR | 0.10% | 0.10% |
RMBS | United States | Subprime | Maximum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 9.30% | 10% |
Final CDR | 0.50% | 0.50% |
RMBS | United States | Subprime | Weighted Average | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 5.80% | 6% |
Final CDR | 0.30% | 0.30% |
Current but recently delinquent | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20% | 20% |
Current but recently delinquent | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20% | 20% |
Current but recently delinquent | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20% | 20% |
30 – 59 Days Delinquent | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 35% | 35% |
30 – 59 Days Delinquent | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 35% | 35% |
30 – 59 Days Delinquent | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 30% | 30% |
60 – 89 Days Delinquent | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40% | 40% |
60 – 89 Days Delinquent | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 45% | 45% |
60 – 89 Days Delinquent | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40% | 40% |
90+ Days Delinquent | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 55% | 55% |
90+ Days Delinquent | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 60% | 60% |
90+ Days Delinquent | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 45% | 45% |
Bankruptcy | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 45% | 45% |
Bankruptcy | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 50% | 50% |
Bankruptcy | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40% | 40% |
Foreclosure | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 60% | 60% |
Foreclosure | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 65% | 65% |
Foreclosure | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 55% | 55% |
Real Estate Owned | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 100% | 100% |
Expected Loss to be Paid (Rec_8
Expected Loss to be Paid (Recovered) - Key Assumptions in Base Scenario Expected Loss Second Lien RMBS (Details) | Sep. 30, 2022 | Dec. 31, 2021 |
RMBS | Home Equity Line of Credit | United States | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Final CDR trended down to | 1% | |
Loss severity | 98% | 98% |
Projected future recoveries on previously charged-off loans | 30% | 30% |
RMBS | Home Equity Line of Credit | Minimum | United States | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 0.40% | 6.50% |
Final CDR trended down to | 0% | |
RMBS | Home Equity Line of Credit | Maximum | United States | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 7.60% | 39.60% |
Final CDR trended down to | 0.40% | |
RMBS | Home Equity Line of Credit | Weighted Average | United States | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 3.70% | 16.40% |
Final CDR trended down to | 0.20% | |
Current but recently delinquent | RMBS | Home Equity Line of Credit | United States | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20% | 20% |
Current but recently delinquent | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20% | 20% |
Current but recently delinquent | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20% | 20% |
Current but recently delinquent | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20% | 20% |
30 – 59 Days Delinquent | RMBS | Home Equity Line of Credit | United States | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 30% | 30% |
30 – 59 Days Delinquent | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 35% | 35% |
30 – 59 Days Delinquent | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 35% | 35% |
30 – 59 Days Delinquent | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 30% | 30% |
60 – 89 Days Delinquent | RMBS | Home Equity Line of Credit | United States | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40% | 40% |
60 – 89 Days Delinquent | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40% | 40% |
60 – 89 Days Delinquent | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 45% | 45% |
60 – 89 Days Delinquent | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40% | 40% |
90+ Days Delinquent | RMBS | Home Equity Line of Credit | United States | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 60% | 60% |
90+ Days Delinquent | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 55% | 55% |
90+ Days Delinquent | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 60% | 60% |
90+ Days Delinquent | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 45% | 45% |
Bankruptcy | RMBS | Home Equity Line of Credit | United States | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 55% | 55% |
Bankruptcy | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 45% | 45% |
Bankruptcy | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 50% | 50% |
Bankruptcy | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40% | 40% |
Foreclosure | RMBS | Home Equity Line of Credit | United States | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 55% | 55% |
Foreclosure | Alt-A and Prime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 60% | 60% |
Foreclosure | Option ARM | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 65% | 65% |
Foreclosure | Subprime | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 55% | 55% |
Real Estate Owned | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 100% | 100% |
Real Estate Owned | RMBS | Home Equity Line of Credit | United States | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 100% | 100% |
Contracts Accounted for as In_3
Contracts Accounted for as Insurance - Net Earned Premiums (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Guarantor Obligations [Line Items] | ||||
Scheduled net earned premiums | $ 70 | $ 81 | $ 219 | $ 242 |
Accelerations from refundings and terminations | 12 | 8 | 145 | 39 |
Accretion of discount on net premiums receivable | 6 | 13 | 18 | 24 |
Financial guaranty insurance net earned premiums | 88 | 102 | 382 | 305 |
Specialty net earned premiums | 1 | 0 | 3 | 2 |
Net earned premiums | $ 89 | $ 102 | 385 | $ 307 |
Financial Guarantee Insurance And Other Product Line | ||||
Guarantor Obligations [Line Items] | ||||
Accelerations from refundings and terminations | $ 104 |
Contracts Accounted for as In_4
Contracts Accounted for as Insurance - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2022 | Sep. 30, 2021 | |
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | ||
Beginning of year | $ 1,372 | $ 1,372 |
Less: Specialty insurance premium receivable | 1 | 1 |
Financial guaranty insurance premiums receivable | 1,371 | 1,371 |
Gross written premiums on new business, net of commissions | 232 | 270 |
Gross premiums received, net of commissions | (258) | (274) |
Adjustments: | ||
Changes in the expected term and debt service assumptions | (5) | 6 |
Accretion of discount, net of commissions on assumed business | 18 | 22 |
Foreign exchange gain (loss) on remeasurement | (181) | (22) |
Expected recovery of premiums previously written off | 0 | 4 |
FG insurance premiums receivable | 1,177 | 1,377 |
Specialty insurance premium receivable | 1 | 1 |
Ending balance | $ 1,178 | $ 1,378 |
Contracts Accounted for as In_5
Contracts Accounted for as Insurance - Narrative (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Guarantor Obligations [Line Items] | ||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 3.97% | 1.02% |
Minimum | ||
Guarantor Obligations [Line Items] | ||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 2.98% | 0% |
Maximum | ||
Guarantor Obligations [Line Items] | ||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 4.18% | 1.98% |
Foreign Currency Concentration Risk | Premiums Receivable | Premiums Receivable | ||
Guarantor Obligations [Line Items] | ||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 76% | 78% |
Contracts Accounted for as In_6
Contracts Accounted for as Insurance - Expected Future Premium Collections and Earnings (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Sep. 30, 2021 |
Future Premiums to be Collected [Abstract] | ||
Total | $ 0 | $ 4 |
Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Future Premiums to be Collected [Abstract] | ||
2022 (October 1 - December 31) | 27 | |
2023 | 105 | |
2024 | 82 | |
2025 | 80 | |
2026 | 78 | |
2027-2031 | 328 | |
2032-2036 | 236 | |
2037-2041 | 159 | |
After 2041 | 329 | |
Total | 1,423 | |
Financial Guarantee Insurance Product Line | ||
Future Net Premiums to be Earned [Abstract] | ||
2022 (October 1 - December 31) | 71 | |
2023 | 271 | |
2024 | 256 | |
2025 | 240 | |
2026 | 224 | |
2027-2031 | 927 | |
2032-2036 | 650 | |
2037-2041 | 396 | |
After 2041 | 555 | |
Total | 3,590 | |
Future accretion | 248 | |
Total future net earned premiums | $ 3,838 |
Contracts Accounted for as In_7
Contracts Accounted for as Insurance - Selected Information for Policies Paid In Installments (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Dec. 31, 2020 | |
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commissions payable | $ 1,178 | $ 1,372 | $ 1,378 | $ 1,372 |
Financial Guarantee Policies Paid in Installments | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commissions payable | 1,177 | 1,371 | ||
Deferred premium revenue | $ 1,618 | $ 1,663 | ||
Weighted-average risk-free rate used to discount premiums | 1.70% | 1.60% | ||
Weighted-average period of premiums receivable (in years) | 12 years 10 months 24 days | 12 years 8 months 12 days |
Contracts Accounted for as In_8
Contracts Accounted for as Insurance - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | $ 495 | $ 79 |
Public finance | Financial Guarantee Insurance And Other Product Line | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | 550 | 61 |
Other structured finance | Financial Guarantee Insurance And Other Product Line | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | 41 | 42 |
Structured finance | Financial Guarantee Insurance And Other Product Line | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | (55) | 18 |
United States | Public finance | Financial Guarantee Insurance And Other Product Line | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | 549 | 60 |
United States | RMBS | Financial Guarantee Insurance And Other Product Line | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | (96) | (24) |
Non United States | Public finance | Financial Guarantee Insurance And Other Product Line | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | $ 1 | $ 1 |
Contracts Accounted for as In_9
Contracts Accounted for as Insurance - Components of Net Reserves (Salvage) Insurance Contracts (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Insurance [Abstract] | ||
Loss and LAE reserve | $ 882 | $ 869 |
Reinsurance recoverable on unpaid losses | (3) | (5) |
Loss and LAE reserve, net | 879 | 864 |
Salvage and subrogation recoverable | (385) | (801) |
Salvage and subrogation reinsurance payable | 1 | 16 |
Salvage and subrogation recoverable, net | (384) | (785) |
Net reserve (salvage) | $ 495 | $ 79 |
Contracts Accounted for as I_10
Contracts Accounted for as Insurance - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Jun. 30, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 |
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be paid (recovered) - financial guaranty insurance | $ (727) | $ (442) | $ (411) | $ (199) | $ (466) | $ (529) |
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (879) | $ (864) | ||||
Net expected loss to be expensed | 218 | |||||
Financial Guarantee Insurance And Other Product Line | ||||||
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be paid (recovered) - financial guaranty insurance | 691 | |||||
Contra-paid, net | 18 | |||||
Salvage and subrogation recoverable, net | 384 | |||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (875) | |||||
Net expected loss to be expensed | $ 218 |
Contracts Accounted for as I_11
Contracts Accounted for as Insurance - Net Expected Loss to be Expensed Insurance Contracts (Details) $ in Millions | Sep. 30, 2022 USD ($) |
Insurance [Abstract] | |
2022 (October 1 - December 31) | $ 3 |
2023 | 16 |
2024 | 17 |
2025 | 16 |
2026 | 20 |
2027-2031 | 75 |
2032-2036 | 51 |
2037-2041 | 11 |
After 2041 | 9 |
Net expected loss to be expensed | 218 |
Future accretion | 163 |
Total expected future loss and LAE | $ 381 |
Contracts Accounted for as I_12
Contracts Accounted for as Insurance - Loss and LAE Reported on the Statements of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and loss adjustment expenses (benefit) | $ (75) | $ (68) | $ (29) | $ (54) |
Public finance | Financial Guarantee Insurance And Other Product Line | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and loss adjustment expenses (benefit) | 1 | (23) | 67 | (2) |
Public finance | Financial Guarantee Insurance And Other Product Line | United States | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and loss adjustment expenses (benefit) | 1 | (23) | 67 | 7 |
Public finance | Financial Guarantee Insurance And Other Product Line | Non United States | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and loss adjustment expenses (benefit) | 0 | 0 | 0 | (9) |
RMBS | Financial Guarantee Insurance And Other Product Line | United States | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and loss adjustment expenses (benefit) | (78) | (48) | (97) | (54) |
Other structured finance | Financial Guarantee Insurance And Other Product Line | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and loss adjustment expenses (benefit) | 2 | 3 | 1 | 2 |
Structured finance | Financial Guarantee Insurance And Other Product Line | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and loss adjustment expenses (benefit) | $ (76) | $ (45) | $ (96) | $ (52) |
Contracts Accounted for as I_13
Contracts Accounted for as Insurance - BIG Transaction Loss Summary (Details) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 USD ($) risk | Dec. 31, 2021 USD ($) risk | |
Discount | ||
Total | $ (163) | |
Reserves (salvage) | ||
Total | $ 495 | $ 79 |
BIG | ||
Number of risks | ||
Total (in contracts) | risk | 244 | 262 |
Principal | ||
Total | $ 5,727 | $ 7,293 |
BIG | BIG 1 | ||
Number of risks | ||
Total (in contracts) | risk | 110 | 117 |
Principal | ||
Total | $ 2,465 | $ 2,429 |
BIG | BIG 2 | ||
Number of risks | ||
Total (in contracts) | risk | 17 | 16 |
Principal | ||
Total | $ 187 | $ 177 |
BIG | BIG 3 | ||
Number of risks | ||
Total (in contracts) | risk | 117 | 129 |
Principal | ||
Total | $ 3,075 | $ 4,687 |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Number of risks | ||
Total (in contracts) | risk | 244 | 262 |
Remaining weighted average contract period | ||
Gross (in years) | 9 years 6 months | 8 years 6 months |
Total (in years) | 9 years 7 months 6 days | 8 years 6 months |
Principal | ||
Gross | $ 5,751 | $ 7,359 |
Total | 5,727 | 7,293 |
Interest | ||
Gross | 2,858 | 2,978 |
Total | 2,854 | 2,962 |
Total net outstanding exposure | ||
Gross | 8,609 | 10,337 |
Total | 8,581 | 10,255 |
Expected cash outflows (inflows) | ||
Gross | 3,336 | 4,971 |
Total | 3,324 | 4,918 |
Potential recoveries | ||
Gross | (2,482) | (4,495) |
Total | (2,470) | (4,430) |
Subtotal | ||
Gross | 854 | 476 |
Total | 854 | 488 |
Discount | ||
Gross | (163) | (129) |
Total | (163) | (129) |
Expected losses to be paid (recovered) | ||
Gross | 691 | 347 |
Net expected loss to be paid | 691 | 359 |
Deferred premium revenue | ||
Gross | 331 | 437 |
Total | 331 | 435 |
Reserves (salvage) | ||
Gross | 491 | 60 |
Total | $ 491 | $ 74 |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | BIG 1 | ||
Number of risks | ||
Total (in contracts) | risk | 110 | 117 |
Remaining weighted average contract period | ||
Gross (in years) | 11 years 4 months 24 days | 7 years 7 months 6 days |
Principal | ||
Gross | $ 2,471 | $ 2,437 |
Interest | ||
Gross | 1,604 | 1,000 |
Total net outstanding exposure | ||
Gross | 4,075 | 3,437 |
Expected cash outflows (inflows) | ||
Gross | 77 | 111 |
Potential recoveries | ||
Gross | (374) | (656) |
Subtotal | ||
Gross | (297) | (545) |
Discount | ||
Gross | 35 | 19 |
Expected losses to be paid (recovered) | ||
Gross | (262) | (526) |
Deferred premium revenue | ||
Gross | 110 | 85 |
Reserves (salvage) | ||
Gross | $ (294) | $ (549) |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | BIG 2 | ||
Number of risks | ||
Total (in contracts) | risk | 17 | 16 |
Remaining weighted average contract period | ||
Gross (in years) | 8 years 10 months 24 days | 8 years 10 months 24 days |
Principal | ||
Gross | $ 187 | $ 177 |
Interest | ||
Gross | 70 | 36 |
Total net outstanding exposure | ||
Gross | 257 | 213 |
Expected cash outflows (inflows) | ||
Gross | 126 | 40 |
Potential recoveries | ||
Gross | (81) | (10) |
Subtotal | ||
Gross | 45 | 30 |
Discount | ||
Gross | (14) | (3) |
Expected losses to be paid (recovered) | ||
Gross | 31 | 27 |
Deferred premium revenue | ||
Gross | 18 | 2 |
Reserves (salvage) | ||
Gross | $ 22 | $ 25 |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | BIG 3 | ||
Number of risks | ||
Total (in contracts) | risk | 117 | 129 |
Remaining weighted average contract period | ||
Gross (in years) | 8 years | 8 years 10 months 24 days |
Principal | ||
Gross | $ 3,093 | $ 4,745 |
Interest | ||
Gross | 1,184 | 1,942 |
Total net outstanding exposure | ||
Gross | 4,277 | 6,687 |
Expected cash outflows (inflows) | ||
Gross | 3,133 | 4,820 |
Potential recoveries | ||
Gross | (2,027) | (3,829) |
Subtotal | ||
Gross | 1,106 | 991 |
Discount | ||
Gross | (184) | (145) |
Expected losses to be paid (recovered) | ||
Gross | 922 | 846 |
Deferred premium revenue | ||
Gross | 203 | 350 |
Reserves (salvage) | ||
Gross | $ 763 | $ 584 |
Contracts Accounted for as Cr_3
Contracts Accounted for as Credit Derivatives - Credit Derivatives Subordination and Ratings (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Credit Derivatives | ||
Estimated remaining weighted average life of credit derivatives (in years) | 12 years 10 months 24 days | 13 years 2 months 12 days |
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | $ 3,117 | $ 4,040 |
Net Fair Value Asset (Liability) | (194) | (154) |
Expected loss to be recovered | (4) | (5) |
Public finance | United States | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,191 | 1,705 |
Net Fair Value Asset (Liability) | (99) | (72) |
Public finance | Non United States | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,467 | 1,800 |
Net Fair Value Asset (Liability) | (67) | (48) |
Structured finance | United States | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 347 | 400 |
Net Fair Value Asset (Liability) | (25) | (32) |
Structured finance | Non United States | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 112 | 135 |
Net Fair Value Asset (Liability) | $ (3) | $ (2) |
Contracts Accounted for as Cr_4
Contracts Accounted for as Credit Derivatives - Distribution of Credit Derivative Net Par Outstanding by Internal Rating (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Credit Derivatives | ||
Net Par Outstanding | $ 3,117 | $ 4,040 |
BIG | ||
Credit Derivatives | ||
Net Par Outstanding | 58 | 63 |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | ||
Credit Derivatives | ||
Net Par Outstanding | $ 3,117 | $ 4,040 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 100% | 100% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | AAA | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,166 | $ 1,503 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 37.40% | 37.20% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | AA | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,078 | $ 1,283 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 34.50% | 31.80% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | A | ||
Credit Derivatives | ||
Net Par Outstanding | $ 245 | $ 514 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 7.90% | 12.70% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | BBB | ||
Credit Derivatives | ||
Net Par Outstanding | $ 570 | $ 677 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 18.30% | 16.70% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | BIG | ||
Credit Derivatives | ||
Net Par Outstanding | $ 58 | $ 63 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 1.90% | 1.60% |
Contracts Accounted for as Cr_5
Contracts Accounted for as Credit Derivatives - Net Change in Fair Value of Credit Derivatives Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Realized gains (losses) and other settlements | $ (1) | $ 1 | $ (2) | $ 4 |
Net unrealized gains (losses) | (47) | 20 | (40) | (35) |
Fair value gains (losses) on credit derivatives | $ (48) | $ 21 | $ (42) | $ (31) |
Contracts Accounted for as Cr_6
Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Dec. 31, 2020 |
Credit Derivatives | ||||
Fair value of credit derivatives before effect of AGC credit spread | $ (239) | $ (225) | ||
Plus: Effect of AGC credit spread | 45 | 71 | ||
Net fair value of credit derivatives | $ (194) | $ (154) | ||
Five-year CDS spread | AGC | ||||
Credit Derivatives | ||||
Quoted price of CDS contract (as a percent) | 0.70% | 0.49% | 0.61% | 1.32% |
One-year CDS spread | AGC | ||||
Credit Derivatives | ||||
Quoted price of CDS contract (as a percent) | 0.28% | 0.16% | 0.20% | 0.36% |
Investments - Additional Inform
Investments - Additional Information (Details) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 USD ($) Security | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) manager Security | Sep. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) Security | |
Schedule of Investments [Line Items] | |||||
Number of outside managers managing investment portfolio | manager | 3 | ||||
Accrued investment income | $ 72 | $ 72 | $ 69 | ||
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | Security | 687 | 687 | 23 | ||
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $ 450 | $ 450 | $ 6 | ||
Assets held-in-trust | 211 | 211 | 243 | ||
Allowance for credit loss | (4) | $ 5 | (13) | $ 1 | |
Securities purchased with credit deterioration | 22 | ||||
Securities purchased with credit deterioration, amount at par value | 31 | ||||
Allowance for credit loss at acquisition date | 2 | ||||
Discount attributable to other factors | 7 | ||||
PCD Accounting Model to PCI Securities | |||||
Schedule of Investments [Line Items] | |||||
Allowance for credit loss | 4 | $ (4) | 13 | $ (1) | |
AGL Subsidiaries | |||||
Schedule of Investments [Line Items] | |||||
Assets held-in-trust | 1,174 | 1,174 | 1,231 | ||
Future Equity Investments | |||||
Schedule of Investments [Line Items] | |||||
Remaining minimum amount committed | 92 | 92 | |||
Future Equity Investments | AGL Subsidiaries | AssuredIM managed fixed-maturity securities | |||||
Schedule of Investments [Line Items] | |||||
Investments, authorized amount to invest | 750 | 750 | |||
Investments, including distributed gains, authorized amount to invest | 810 | 810 | |||
Invested Capital | AGL Subsidiaries | AssuredIM managed fixed-maturity securities | |||||
Schedule of Investments [Line Items] | |||||
Long-term purchase commitment, amount | 536 | ||||
Unfunded Commitment | AGL Subsidiaries | AssuredIM managed fixed-maturity securities | |||||
Schedule of Investments [Line Items] | |||||
Long-term purchase commitment, amount | 219 | ||||
Equity in Earnings (Losses) of Investees | AGL Subsidiaries | AssuredIM managed fixed-maturity securities | |||||
Schedule of Investments [Line Items] | |||||
Long-term purchase commitment, amount | 755 | ||||
Equity in Earnings (Losses) of Investees | AGAS | AssuredIM managed fixed-maturity securities | |||||
Schedule of Investments [Line Items] | |||||
Investments, fair value disclosure | $ 574 | $ 574 | $ 543 |
Investments - Internally Manage
Investments - Internally Managed Investment Portfolio (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Estimated fair value | $ 6,780 | $ 8,202 |
Fixed-maturity securities, trading | 393 | 0 |
Short-term investments, at fair value | 1,177 | 1,225 |
Other invested assets | 130 | 181 |
Total investments | 8,480 | 9,608 |
Externally managed | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Estimated fair value | 5,456 | 6,843 |
Loss mitigation securities and other | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Estimated fair value | 744 | 818 |
AssuredIM managed | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Estimated fair value | 516 | 541 |
Recovery Bonds | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Estimated fair value | $ 64 | $ 0 |
BIG | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed-maturity investments, non-investment grade, percent | 8.30% | 7.50% |
Not Internally Rated | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed-maturity investments, non-investment grade, percent | 1.80% | 0.90% |
Equity method investments | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Other invested assets | $ 120 | $ 169 |
Other | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Other invested assets | $ 10 | $ 12 |
Investments - Fixed Maturity Se
Investments - Fixed Maturity Securities and Short Term Investments (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Jun. 30, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 |
Schedule of Investments [Line Items] | ||||||
Percent of Total | 100% | 100% | ||||
Amortized Cost | $ 7,506 | $ 7,822 | ||||
Allowance for Credit Losses | (57) | $ (51) | (42) | $ (35) | $ (39) | $ (78) |
Gross Unrealized Gains | 48 | 478 | ||||
Gross Unrealized Losses | (717) | (56) | ||||
Estimated Fair Value | 6,780 | 8,202 | ||||
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ (129) | $ (30) | ||||
Government agency obligations as a percentage of total mortgage backed securities | 29% | 31% | ||||
Obligations of state and political subdivisions | ||||||
Schedule of Investments [Line Items] | ||||||
Percent of Total | 43% | 43% | ||||
Amortized Cost | $ 3,264 | $ 3,386 | ||||
Allowance for Credit Losses | (13) | (12) | ||||
Gross Unrealized Gains | 23 | 290 | ||||
Gross Unrealized Losses | (173) | (4) | ||||
Estimated Fair Value | 3,101 | 3,660 | ||||
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ (3) | $ 0 | ||||
U.S. government and agencies | ||||||
Schedule of Investments [Line Items] | ||||||
Percent of Total | 2% | 2% | ||||
Amortized Cost | $ 122 | $ 123 | ||||
Allowance for Credit Losses | 0 | 0 | ||||
Gross Unrealized Gains | 2 | 7 | ||||
Gross Unrealized Losses | (9) | (2) | ||||
Estimated Fair Value | 115 | 128 | ||||
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ 0 | $ 0 | ||||
Corporate securities | ||||||
Schedule of Investments [Line Items] | ||||||
Percent of Total | 32% | 32% | ||||
Amortized Cost | $ 2,405 | $ 2,516 | ||||
Allowance for Credit Losses | (4) | (1) | ||||
Gross Unrealized Gains | 0 | 111 | ||||
Gross Unrealized Losses | (401) | (21) | ||||
Estimated Fair Value | 2,000 | 2,605 | ||||
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ (80) | $ (4) | ||||
RMBS | ||||||
Schedule of Investments [Line Items] | ||||||
Percent of Total | 6% | 6% | ||||
Amortized Cost | $ 432 | $ 454 | ||||
Allowance for Credit Losses | (19) | (17) | ||||
Gross Unrealized Gains | 3 | 24 | ||||
Gross Unrealized Losses | (55) | (24) | ||||
Estimated Fair Value | 361 | 437 | ||||
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ (44) | $ (24) | ||||
CMBS | ||||||
Schedule of Investments [Line Items] | ||||||
Percent of Total | 4% | 4% | ||||
Amortized Cost | $ 291 | $ 332 | ||||
Allowance for Credit Losses | 0 | 0 | ||||
Gross Unrealized Gains | 0 | 14 | ||||
Gross Unrealized Losses | (11) | 0 | ||||
Estimated Fair Value | 280 | 346 | ||||
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ 0 | $ 0 | ||||
CLOs and CLO warehouse assets: | ||||||
Schedule of Investments [Line Items] | ||||||
Percent of Total | 6% | 6% | ||||
Amortized Cost | $ 445 | $ 457 | ||||
Allowance for Credit Losses | 0 | 0 | ||||
Gross Unrealized Gains | 0 | 1 | ||||
Gross Unrealized Losses | (31) | 0 | ||||
Estimated Fair Value | 414 | 458 | ||||
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ 0 | $ 0 | ||||
Others | ||||||
Schedule of Investments [Line Items] | ||||||
Percent of Total | 6% | 5% | ||||
Amortized Cost | $ 425 | $ 420 | ||||
Allowance for Credit Losses | (21) | (12) | ||||
Gross Unrealized Gains | 20 | 26 | ||||
Gross Unrealized Losses | (4) | (2) | ||||
Estimated Fair Value | 420 | 432 | ||||
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ (2) | $ (2) | ||||
Non-U.S. government securities | ||||||
Schedule of Investments [Line Items] | ||||||
Percent of Total | 1% | 2% | ||||
Amortized Cost | $ 122 | $ 134 | ||||
Allowance for Credit Losses | 0 | 0 | ||||
Gross Unrealized Gains | 0 | 5 | ||||
Gross Unrealized Losses | (33) | (3) | ||||
Estimated Fair Value | 89 | 136 | ||||
AOCI Pre-tax Gain (Loss) on Securities with Credit Loss | $ 0 | $ 0 |
Investments - Gross Unrealized
Investments - Gross Unrealized Loss by Length of Time (Details) $ in Millions | Sep. 30, 2022 USD ($) Security | Dec. 31, 2021 USD ($) Security |
Less than 12 months | ||
Fair Value | $ 4,789 | $ 804 |
Gross Unrealized Loss | $ (435) | $ (17) |
Number of securities | Security | 1,799 | 355 |
12 months or more | ||
Fair Value | $ 523 | $ 120 |
Gross Unrealized Loss | $ (153) | $ (9) |
Number of securities | Security | 288 | 60 |
Total | ||
Fair Value | $ 5,312 | $ 924 |
Gross Unrealized Loss | $ (588) | $ (26) |
Number of securities | Security | 2,060 | 410 |
Obligations of state and political subdivisions | ||
Less than 12 months | ||
Fair Value | $ 2,450 | $ 117 |
Gross Unrealized Loss | (155) | (3) |
12 months or more | ||
Fair Value | 39 | 10 |
Gross Unrealized Loss | (15) | (1) |
Total | ||
Fair Value | 2,489 | 127 |
Gross Unrealized Loss | (170) | (4) |
U.S. government and agencies | ||
Less than 12 months | ||
Fair Value | 32 | 26 |
Gross Unrealized Loss | 0 | 0 |
12 months or more | ||
Fair Value | 52 | 32 |
Gross Unrealized Loss | (9) | (2) |
Total | ||
Fair Value | 84 | 58 |
Gross Unrealized Loss | (9) | (2) |
Corporate securities | ||
Less than 12 months | ||
Fair Value | 1,501 | 407 |
Gross Unrealized Loss | (216) | (12) |
12 months or more | ||
Fair Value | 271 | 70 |
Gross Unrealized Loss | (105) | (5) |
Total | ||
Fair Value | 1,772 | 477 |
Gross Unrealized Loss | (321) | (17) |
RMBS | ||
Less than 12 months | ||
Fair Value | 160 | 4 |
Gross Unrealized Loss | (11) | 0 |
12 months or more | ||
Fair Value | 1 | 0 |
Gross Unrealized Loss | 0 | 0 |
Total | ||
Fair Value | 161 | 4 |
Gross Unrealized Loss | (11) | 0 |
CMBS | ||
Less than 12 months | ||
Fair Value | 277 | |
Gross Unrealized Loss | (11) | |
12 months or more | ||
Fair Value | 0 | |
Gross Unrealized Loss | 0 | |
Total | ||
Fair Value | 277 | |
Gross Unrealized Loss | (11) | |
CLOs and CLO warehouse assets: | ||
Less than 12 months | ||
Fair Value | 272 | 226 |
Gross Unrealized Loss | (18) | 0 |
12 months or more | ||
Fair Value | 141 | 0 |
Gross Unrealized Loss | (13) | 0 |
Total | ||
Fair Value | 413 | 226 |
Gross Unrealized Loss | (31) | 0 |
Other | ||
Less than 12 months | ||
Fair Value | 27 | |
Gross Unrealized Loss | (2) | |
12 months or more | ||
Fair Value | 0 | |
Gross Unrealized Loss | 0 | |
Total | ||
Fair Value | 27 | |
Gross Unrealized Loss | (2) | |
Non-U.S. government securities | ||
Less than 12 months | ||
Fair Value | 70 | 24 |
Gross Unrealized Loss | (22) | (2) |
12 months or more | ||
Fair Value | 19 | 8 |
Gross Unrealized Loss | (11) | (1) |
Total | ||
Fair Value | 89 | 32 |
Gross Unrealized Loss | $ (33) | $ (3) |
Investments - Distribution of F
Investments - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Amortized Cost | ||
Due within one year | $ 242 | |
Due after one year through five years | 1,775 | |
Due after five years through 10 years | 1,651 | |
Due after 10 years | 3,115 | |
Amortized Cost | 7,506 | $ 7,822 |
Estimated Fair Value | ||
Due within one year | 234 | |
Due after one year through five years | 1,575 | |
Due after five years through 10 years | 1,503 | |
Due after 10 years | 2,827 | |
Estimated Fair Value | 6,780 | 8,202 |
RMBS | ||
Amortized Cost | ||
Amortized Cost | 432 | 454 |
Estimated Fair Value | ||
Estimated Fair Value | 361 | 437 |
CMBS | ||
Amortized Cost | ||
Amortized Cost | 291 | 332 |
Estimated Fair Value | ||
Estimated Fair Value | $ 280 | $ 346 |
Investments - Net Investment In
Investments - Net Investment Income and Equity in Earnings of Investees (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Net Investment Income | ||||
Gross investment income | $ 68 | $ 67 | $ 195 | $ 208 |
Investment expenses | (1) | (1) | (4) | (4) |
Net investment income | 67 | 66 | 191 | 204 |
Fair value gains (losses) on trading securities | (8) | 0 | (30) | 0 |
Fair value loss on trading securities still held | 2 | 18 | ||
Segment equity in earnings (losses) of investees | (20) | 23 | (31) | 66 |
Fair Value Measured at Net Asset Value Per Share | ||||
Net Investment Income | ||||
Segment equity in earnings (losses) of investees | 13 | (3) | 39 | |
Externally managed | ||||
Net Investment Income | ||||
Gross investment income | 46 | 52 | 141 | 155 |
Loss mitigation securities and other | ||||
Net Investment Income | ||||
Gross investment income | 16 | 11 | 39 | 41 |
AssuredIM managed fixed-maturity securities | ||||
Net Investment Income | ||||
Gross investment income | $ 6 | $ 4 | $ 15 | $ 12 |
Investments - Net Realized Inve
Investments - Net Realized Investment Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Gross realized gains on sales available-for-sale securities | $ 0 | $ 0 | $ 0 | $ 2 |
Gross realized losses on sales available-for-sale securities | (10) | 0 | (33) | (2) |
Net foreign currency gains (losses) | 0 | (2) | (3) | 0 |
Change in credit impairment and intent to sell | (4) | 5 | (13) | 1 |
Other net realized gains (losses) | 0 | 0 | 10 | 3 |
Net realized investment gains (losses) | $ (14) | $ 3 | $ (39) | $ 4 |
Investments - Roll Forward of C
Investments - Roll Forward of Credit Losses in the Investment Portfolio (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Roll Forward of Credit Losses in the Investment Portfolio | ||||
Balance, beginning of period | $ 51 | $ 39 | $ 42 | $ 78 |
Additions on securities for which credit impairments were not previously recognized | 1 | 0 | 4 | 1 |
Additions from purchases of securities accounted for as purchased financial assets with credit deterioration | 2 | 0 | 2 | 0 |
Additions (reductions) on securities for which credit impairments were previously recognized | 3 | (4) | 9 | (2) |
Reductions for securities sold and other settlements | 0 | 0 | 0 | (42) |
Balance, end of period | $ 57 | $ 35 | $ 57 | $ 35 |
Financial Guaranty Variable I_3
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Additional Information (Details) | 3 Months Ended | 9 Months Ended | ||||||||||||
Sep. 30, 2022 USD ($) | Sep. 30, 2021 USD ($) Entity | Sep. 30, 2022 USD ($) entity Entity | Sep. 30, 2021 USD ($) Entity | Sep. 30, 2022 USD ($) | Sep. 30, 2022 Entity | Sep. 30, 2022 entity | Sep. 30, 2022 consolidatedInvestmentVehicle | Sep. 30, 2022 policy | Dec. 31, 2021 USD ($) | Dec. 31, 2021 Entity | Dec. 31, 2021 consolidatedInvestmentVehicle | Dec. 31, 2021 policy | Dec. 31, 2020 Entity | |
Variable Interest Entity [Line Items] | ||||||||||||||
Liabilities | $ 11,486,000,000 | $ 11,708,000,000 | ||||||||||||
Estimated Fair Value | 6,780,000,000 | 8,202,000,000 | ||||||||||||
Amortized Cost | 7,506,000,000 | 7,822,000,000 | ||||||||||||
Fixed-maturity securities, trading | 393,000,000 | 0 | ||||||||||||
Net fair value gains and losses on FG VIEs are expected to reverse to zero at maturity of the VIE debt | 1,000,000 | 1,000,000 | ||||||||||||
Assets | 16,660,000,000 | 18,208,000,000 | ||||||||||||
Fair value gains (losses) on credit derivatives | $ (48,000,000) | $ 21,000,000 | $ (42,000,000) | $ (31,000,000) | ||||||||||
Other consolidated VIE assets | 85,000,000 | 96,000,000 | ||||||||||||
Other consolidated VIE liabilities | 14,000,000 | 11,000,000 | ||||||||||||
Number of policies monitored | policy | 16,000 | |||||||||||||
Number of policies monitored, not within the scope of ASC 810 | policy | 14,000 | |||||||||||||
Number of policies that contain provisions for consolidation | policy | 63 | 69 | ||||||||||||
Pretax income (loss) | (22,000,000) | 5,000,000 | 49,000,000 | 145,000,000 | ||||||||||
Total consolidated | 11,000,000 | 17,000,000 | 30,000,000 | $ 126,000,000 | ||||||||||
Variable Interest Entity, Correction of Fair Value | Revision of Prior Period, Error Correction, Adjustment | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Pretax income (loss) | 6,600,000 | |||||||||||||
Total consolidated | 5,200,000 | |||||||||||||
Incorrect Elimination of Foreign Exchange Remeasurement | Revision of Prior Period, Error Correction, Adjustment | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Pretax income (loss) | 2,100,000 | |||||||||||||
Total consolidated | $ 1,700,000 | |||||||||||||
Joint Healthcare Fund | Line of Credit | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Maximum borrowing capacity | 110,000,000 | |||||||||||||
Long-term line of credit | 62,000,000 | |||||||||||||
Consolidated Healthcare Fund | Line of Credit | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Maximum borrowing capacity | 71,000,000 | |||||||||||||
Prime Rate | Joint Healthcare Fund | Line of Credit | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Base interest rate floor | 3% | |||||||||||||
EURIBOR | Joint Healthcare Fund | Line of Credit | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Base interest rate floor | 0% | |||||||||||||
Financial Guaranty Variable Interest Entities | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Maximum loss exposure | 0 | |||||||||||||
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Total number of entities consolidated | Entity | 24 | 25 | ||||||||||||
Number of entities consolidated during period | Entity | 1 | |||||||||||||
Number of entities deconsolidated during period | Entity | (2) | 1 | ||||||||||||
Change in the instrument specific credit risk of the VIEs' assets | $ 15,000,000 | $ 5,000,000 | $ 11,000,000 | $ 9,000,000 | ||||||||||
Assets | 236,000,000 | 260,000,000 | ||||||||||||
Financial Guaranty Variable Interest Entities | Puerto Rico | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Assets | 26,000,000 | 0 | ||||||||||||
Puerto Rico Trusts | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Total number of entities consolidated | entity | 6 | |||||||||||||
Number of entities consolidated during period | entity | 9 | |||||||||||||
Number of entities deconsolidated during period | entity | 3 | |||||||||||||
Custody receipts, notice period | 30 days | 30 days | ||||||||||||
Estimated Fair Value | 21,000,000 | |||||||||||||
Amortized Cost | 24,000,000 | |||||||||||||
Fixed-maturity securities, trading | 6,000,000 | |||||||||||||
Trading security losses | $ 1,000,000 | |||||||||||||
Initial consolidation, gain (loss) | (4,000,000) | |||||||||||||
Deconsolidation, gain (loss) | (1,000,000) | |||||||||||||
Consolidated Investment Vehicles | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Collateral posting requirement | 45,000,000 | 49,000,000 | ||||||||||||
Fair value gains (losses) on credit derivatives | $ 7,000,000 | $ 1,000,000 | ||||||||||||
Consolidated Investment Vehicles | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Total number of entities consolidated | 16 | 16 | 22 | 22 | 20 | 20 | 11 | |||||||
Consolidated Investment Vehicles | Variable Interest Entity, Primary Beneficiary | Line of Credit | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Maximum borrowing capacity | 1,500,000,000 | |||||||||||||
Remaining borrowing capacity | 337,000,000 | |||||||||||||
Long-term line of credit | 206,000,000 | |||||||||||||
Consolidated Investment Vehicles | EURIBOR | Variable Interest Entity, Primary Beneficiary | Line of Credit | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Basis spread on variable rate | 1.50% | |||||||||||||
Consolidated Investment Vehicles | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | Variable Interest Entity, Primary Beneficiary | Line of Credit | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Basis spread on variable rate | 1.50% | |||||||||||||
Consolidated Investment Vehicles | Maximum | Future Equity Investments | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Committed capital | $ 442,000,000 | |||||||||||||
Consolidated Investment Vehicles | Average | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Collateral posting requirement | 47,000,000 | 34,000,000 | ||||||||||||
Consolidated Investment Vehicles, Meeting Voting Interest Entity Criteria | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Total number of entities consolidated | consolidatedInvestmentVehicle | 2 | 1 | ||||||||||||
Liabilities | 2,000,000 | |||||||||||||
Assets | 69,000,000 | $ 12,000,000 | ||||||||||||
Fund investments: | Variable Interest Entity, Primary Beneficiary | Investments | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Liabilities | 26,000,000 | |||||||||||||
Net assets | 125,000,000 | |||||||||||||
Assets | $ 150,000,000 |
Financial Guaranty Variable I_4
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Consolidated FG VIE's By Type of Collateral (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Variable Interest Entity [Line Items] | ||
Assets | $ 16,660 | $ 18,208 |
Liabilities | 11,486 | 11,708 |
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Assets | 236 | 260 |
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | Recourse | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 238 | 269 |
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | Nonrecourse | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 13 | 20 |
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | United States | RMBS | First Lien | ||
Variable Interest Entity [Line Items] | ||
Assets | 177 | 221 |
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | United States | RMBS | First Lien | Recourse | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 182 | 227 |
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | United States | RMBS | First Lien | Nonrecourse | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 13 | 20 |
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | United States | RMBS | Second Lien | ||
Variable Interest Entity [Line Items] | ||
Assets | 33 | 39 |
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | United States | RMBS | Second Lien | Recourse | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 25 | 42 |
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | Puerto Rico | ||
Variable Interest Entity [Line Items] | ||
Assets | 26 | 0 |
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | Puerto Rico | Recourse | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $ 31 | $ 0 |
Financial Guaranty Variable I_5
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Unpaid Principal (Details) - Variable Interest Entity, Primary Beneficiary - Financial Guaranty Variable Interest Entities - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Variable Interest Entity [Line Items] | ||
FG VIEs’ assets | $ 261 | $ 255 |
FG VIEs’ liabilities with recourse | 34 | 12 |
FG VIEs’ liabilities without recourse | 15 | 15 |
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due | 38 | 52 |
Unpaid principal for FG VIEs’ liabilities with recourse | $ 272 | $ 281 |
Financial Guaranty Variable I_6
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Number of Consolidated CIVs by Type (Details) - Variable Interest Entity, Primary Beneficiary | Sep. 30, 2022 Entity | Sep. 30, 2022 consolidatedInvestmentFund | Sep. 30, 2022 consolidatedCLO | Sep. 30, 2022 cLOWarehouse | Sep. 30, 2022 consolidatedInvestmentVehicle | Dec. 31, 2021 Entity | Dec. 31, 2021 consolidatedInvestmentFund | Dec. 31, 2021 consolidatedCLO | Dec. 31, 2021 cLOWarehouse | Dec. 31, 2021 consolidatedInvestmentVehicle | Sep. 30, 2021 Entity | Dec. 31, 2020 Entity |
Consolidated Investment Vehicles | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Total number of entities consolidated | 22 | 22 | 20 | 20 | 16 | 11 | ||||||
Consolidated Investment Vehicles | Investment Managed Funds | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Total number of entities consolidated | consolidatedInvestmentFund | 8 | 8 | ||||||||||
Consolidated Investment Vehicles | Collateralized Loan Obligations | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Total number of entities consolidated | consolidatedCLO | 10 | 9 | ||||||||||
Consolidated Investment Vehicles | Collateralized Loan Obligation Warehouses | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Total number of entities consolidated | cLOWarehouse | 4 | 3 | ||||||||||
Consolidated Investment Vehicles, Meeting Voting Interest Entity Criteria | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Total number of entities consolidated | consolidatedInvestmentVehicle | 2 | 1 |
Financial Guaranty Variable I_7
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Roll Forward of Number of Consolidated CIVs (Details) - Consolidated Investment Vehicles $ in Millions | 9 Months Ended | |||
Sep. 30, 2022 USD ($) Entity | Sep. 30, 2022 USD ($) consolidatedInvestmentVehicle | Sep. 30, 2022 USD ($) fund | Sep. 30, 2021 Entity fund | |
CLO Warehouse | ||||
Variable Interest Entity [Line Items] | ||||
Number of financial assets securitized | fund | 2 | 3 | ||
Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Beginning of year | 20 | 20 | 11 | |
Consolidated | 4 | 6 | ||
Deconsolidated (1) | (2) | (1) | ||
September 30, | 22 | 22 | 16 | |
Deconsolidation, net assets | $ | $ 417 | $ 417 | $ 417 |
Financial Guaranty Variable I_8
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Schedule of Assets and Liabilities (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Variable Interest Entity [Line Items] | ||
Assets | $ 16,660 | $ 18,208 |
Liabilities | 11,486 | 11,708 |
Variable Interest Entity, Primary Beneficiary | Fund investments: | Cash and cash equivalents | ||
Variable Interest Entity [Line Items] | ||
Assets | 71 | 64 |
Variable Interest Entity, Primary Beneficiary | Fund investments: | Equity securities and warrants | ||
Variable Interest Entity [Line Items] | ||
Assets | 434 | 252 |
Variable Interest Entity, Primary Beneficiary | Fund investments: | Obligations of state and political subdivisions | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 101 |
Variable Interest Entity, Primary Beneficiary | Fund investments: | Corporate securities | ||
Variable Interest Entity [Line Items] | ||
Assets | 87 | 98 |
Variable Interest Entity, Primary Beneficiary | Fund investments: | Structured products | ||
Variable Interest Entity [Line Items] | ||
Assets | 133 | 62 |
Variable Interest Entity, Primary Beneficiary | Fund investments: | Due from brokers and counterparties | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 49 |
Variable Interest Entity, Primary Beneficiary | Fund investments: | Other | ||
Variable Interest Entity [Line Items] | ||
Assets | 1 | 1 |
Variable Interest Entity, Primary Beneficiary | CLOs and CLO warehouse assets: | Cash and cash equivalents | ||
Variable Interest Entity [Line Items] | ||
Assets | 68 | 156 |
Variable Interest Entity, Primary Beneficiary | CLOs and CLO warehouse assets: | Due from brokers and counterparties | ||
Variable Interest Entity [Line Items] | ||
Assets | 45 | 99 |
Variable Interest Entity, Primary Beneficiary | CLOs and CLO warehouse assets: | Loans in CLOs, FVO | ||
Variable Interest Entity [Line Items] | ||
Assets | 4,088 | 3,913 |
Variable Interest Entity, Primary Beneficiary | CLOs and CLO warehouse assets: | Loans in CLO warehouses, FVO | ||
Variable Interest Entity [Line Items] | ||
Assets | 324 | 331 |
Variable Interest Entity, Primary Beneficiary | CLOs and CLO warehouse assets: | Short-term investments | ||
Variable Interest Entity [Line Items] | ||
Assets | 85 | 145 |
Variable Interest Entity, Primary Beneficiary | Assets of Consolidated Investment Vehicles | ||
Variable Interest Entity [Line Items] | ||
Assets | 5,336 | 5,271 |
Variable Interest Entity, Primary Beneficiary | Assets of Consolidated Investment Vehicles | Investments in AssuredIM Funds and Other Affiliated Entities | ||
Variable Interest Entity [Line Items] | ||
Assets | 394 | 223 |
Variable Interest Entity, Primary Beneficiary | Liabilities of CIVs | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 4,447 | 4,436 |
Variable Interest Entity, Primary Beneficiary | Liabilities of CIVs | CLO obligations of CFEs | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $ 3,962 | $ 3,665 |
CLO's weighted average maturity | 6 years 6 months | 6 years 7 months 6 days |
CLO's weighted average interest rate | 3.90% | 1.80% |
Variable Interest Entity, Primary Beneficiary | Liabilities of CIVs | Warehouse financing debt | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $ 224 | $ 126 |
CLO's weighted average maturity | 1 year 6 months | 1 year 9 months 18 days |
CLO's weighted average interest rate | 2.60% | 1.10% |
Variable Interest Entity, Primary Beneficiary | Liabilities of CIVs | Securities sold short, at fair value | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $ 0 | $ 41 |
Variable Interest Entity, Primary Beneficiary | Liabilities of CIVs | Due to brokers and counterparties | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 173 | 570 |
Variable Interest Entity, Primary Beneficiary | Liabilities of CIVs | Other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 88 | 34 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles, Meeting Voting Interest Entity Criteria | ||
Variable Interest Entity [Line Items] | ||
Assets | 69 | $ 12 |
Liabilities | $ 2 |
Financial Guaranty Variable I_9
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Schedule of Redeemable Noncontrolling Interest of Consolidated Investment Vehicle (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Redeemable Noncontrolling Interest, Equity, Other, Fair Value, Rollforward [Roll Forward] | ||||
Contributions | $ 23 | $ 25 | $ 63 | $ 34 |
Distributions | (36) | (2) | (51) | (11) |
Consolidated Investment Vehicles | ||||
Redeemable Noncontrolling Interest, Equity, Other, Fair Value, Rollforward [Roll Forward] | ||||
Beginning balance | 21 | 21 | 22 | 21 |
Net income (loss) attributable to the redeemable noncontrolling interest | 0 | 0 | (1) | 0 |
Contributions | 0 | 0 | 21 | 0 |
Distributions | 0 | 0 | (21) | 0 |
Ending balance | $ 21 | $ 21 | $ 21 | $ 21 |
Fair Value Measurement - Narrat
Fair Value Measurement - Narrative (Details) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 USD ($) Trust Security | Dec. 31, 2021 | |
Assured IM | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Obligation to purchase debt | 0.05 | |
AGC And AGM | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Number of custodial trusts | Trust | 4 | |
Share value, amount | $ 200 | |
Maximum amount | $ 50 | |
Recurring | Level 3 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Number of fixed maturity securities valued using model processes | Security | 188 | |
Fixed maturity securities | $ 1,000 | |
Recurring | Level 3 | CDR | Total | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 2.49% | 0.11% |
Recurring | Level 3 | CDR | Total | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 4.62% | 1.78% |
Fair Value Measurement - Financ
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Assets: | ||
Estimated Fair Value | $ 6,780 | $ 8,202 |
Fixed-maturity securities, trading | 393 | 0 |
Short-term investments, at fair value | 1,177 | 1,225 |
Other invested assets | 130 | 181 |
Assets of CIVs | 5,336 | 5,271 |
Other assets | 129 | 132 |
Liabilities: | ||
Credit derivative liabilities | 195 | 156 |
FG VIEs' liabilities | 251 | 289 |
Liabilities of CIVs: | 4,447 | 4,436 |
Obligations of state and political subdivisions | ||
Assets: | ||
Estimated Fair Value | 3,101 | 3,660 |
U.S. government and agencies | ||
Assets: | ||
Estimated Fair Value | 115 | 128 |
Corporate securities | ||
Assets: | ||
Estimated Fair Value | 2,000 | 2,605 |
RMBS | ||
Assets: | ||
Estimated Fair Value | 361 | 437 |
CMBS | ||
Assets: | ||
Estimated Fair Value | 280 | 346 |
Non-U.S. government securities | ||
Assets: | ||
Estimated Fair Value | 89 | 136 |
Fair Value Measured at Net Asset Value Per Share | ||
Assets: | ||
Other invested assets | 17 | 19 |
Fair Value Measured at Net Asset Value Per Share | Fund investments: | Equity securities and warrants | ||
Assets: | ||
Assets of CIVs | 6 | 6 |
Fair Value Measured at Net Asset Value Per Share | Municipal Relative Fund Member | Equity securities and warrants | ||
Assets: | ||
Assets of CIVs | 125 | |
Recurring | ||
Assets: | ||
Estimated Fair Value | 6,780 | 8,202 |
Fixed-maturity securities, trading | 393 | |
Short-term investments, at fair value | 1,177 | 1,225 |
Other invested assets | 7 | 12 |
FG VIEs’ assets | 236 | 260 |
Assets of CIVs | 5,020 | 4,896 |
Other assets | 129 | 132 |
Total assets carried at fair value | 13,742 | 14,727 |
Liabilities: | ||
Credit derivative liabilities | 195 | 156 |
FG VIEs' liabilities | 251 | 289 |
Liabilities of CIVs: | 4,209 | 3,849 |
Other liabilities | 8 | 1 |
Total liabilities carried at fair value | 4,663 | 4,295 |
Recurring | Obligations of state and political subdivisions | ||
Assets: | ||
Estimated Fair Value | 3,101 | 3,660 |
Recurring | U.S. government and agencies | ||
Assets: | ||
Estimated Fair Value | 115 | 128 |
Recurring | Corporate securities | ||
Assets: | ||
Estimated Fair Value | 2,000 | 2,605 |
Recurring | RMBS | ||
Assets: | ||
Estimated Fair Value | 361 | 437 |
Recurring | CMBS | ||
Assets: | ||
Estimated Fair Value | 280 | 346 |
Recurring | Asset-backed securities | ||
Assets: | ||
Estimated Fair Value | 834 | 890 |
Recurring | Non-U.S. government securities | ||
Assets: | ||
Estimated Fair Value | 89 | 136 |
Recurring | CLO obligations of CFEs | ||
Liabilities: | ||
Liabilities of CIVs: | 3,962 | 3,665 |
Recurring | Warehouse financing debt | ||
Liabilities: | ||
Liabilities of CIVs: | 224 | 126 |
Recurring | Securities sold short, at fair value | ||
Liabilities: | ||
Liabilities of CIVs: | 41 | |
Recurring | Securitized borrowing | ||
Liabilities: | ||
Liabilities of CIVs: | 22 | 17 |
Recurring | Other | ||
Liabilities: | ||
Liabilities of CIVs: | 1 | |
Recurring | Fund investments: | Obligations of state and political subdivisions | ||
Assets: | ||
Assets of CIVs | 101 | |
Recurring | Fund investments: | Corporate securities | ||
Assets: | ||
Assets of CIVs | 87 | 98 |
Recurring | Fund investments: | Equity securities and warrants | ||
Assets: | ||
Assets of CIVs | 303 | 246 |
Recurring | Fund investments: | Structured products | ||
Assets: | ||
Assets of CIVs | 133 | 62 |
Recurring | CLOs and CLO warehouse assets: | Short-term investments | ||
Assets: | ||
Assets of CIVs | 85 | 145 |
Recurring | CLOs and CLO warehouse assets: | Loans | ||
Assets: | ||
Assets of CIVs | 4,412 | 4,244 |
Recurring | Level 1 | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Fixed-maturity securities, trading | 0 | |
Short-term investments, at fair value | 1,158 | 1,225 |
Other invested assets | 2 | 6 |
FG VIEs’ assets | 0 | 0 |
Assets of CIVs | 85 | 145 |
Other assets | 50 | 53 |
Total assets carried at fair value | 1,295 | 1,429 |
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 | Obligations of state and political subdivisions | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Recurring | Level 1 | U.S. government and agencies | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Recurring | Level 1 | Corporate securities | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Recurring | Level 1 | RMBS | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Recurring | Level 1 | CMBS | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Recurring | Level 1 | Asset-backed securities | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Recurring | Level 1 | Non-U.S. government securities | ||
Assets: | ||
Estimated 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, at fair value | ||
Liabilities: | ||
Liabilities of CIVs: | 0 | |
Recurring | Level 1 | Securitized borrowing | ||
Liabilities: | ||
Liabilities of CIVs: | 0 | 0 |
Recurring | Level 1 | Other | ||
Liabilities: | ||
Liabilities of CIVs: | 0 | |
Recurring | Level 1 | Fund investments: | Obligations of state and political subdivisions | ||
Assets: | ||
Assets of CIVs | 0 | |
Recurring | Level 1 | Fund investments: | Corporate securities | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
Recurring | Level 1 | Fund investments: | Equity securities and warrants | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
Recurring | Level 1 | Fund investments: | Structured products | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
Recurring | Level 1 | CLOs and CLO warehouse assets: | Short-term investments | ||
Assets: | ||
Assets of CIVs | 85 | 145 |
Recurring | Level 1 | CLOs and CLO warehouse assets: | Loans | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
Recurring | Level 2 | ||
Assets: | ||
Estimated Fair Value | 5,734 | 7,051 |
Fixed-maturity securities, trading | 393 | |
Short-term investments, at fair value | 19 | 0 |
Other invested assets | 0 | 0 |
FG VIEs’ assets | 26 | 0 |
Assets of CIVs | 4,508 | 4,421 |
Other assets | 43 | 54 |
Total assets carried at fair value | 10,723 | 11,526 |
Liabilities: | ||
Credit derivative liabilities | 0 | 0 |
FG VIEs' liabilities | 0 | 0 |
Liabilities of CIVs: | 200 | 144 |
Other liabilities | 8 | 1 |
Total liabilities carried at fair value | 208 | 145 |
Recurring | Level 2 | Obligations of state and political subdivisions | ||
Assets: | ||
Estimated Fair Value | 3,053 | 3,588 |
Recurring | Level 2 | U.S. government and agencies | ||
Assets: | ||
Estimated Fair Value | 115 | 128 |
Recurring | Level 2 | Corporate securities | ||
Assets: | ||
Estimated Fair Value | 2,000 | 2,605 |
Recurring | Level 2 | RMBS | ||
Assets: | ||
Estimated Fair Value | 169 | 221 |
Recurring | Level 2 | CMBS | ||
Assets: | ||
Estimated Fair Value | 280 | 346 |
Recurring | Level 2 | Asset-backed securities | ||
Assets: | ||
Estimated Fair Value | 28 | 27 |
Recurring | Level 2 | Non-U.S. government securities | ||
Assets: | ||
Estimated Fair Value | 89 | 136 |
Recurring | Level 2 | CLO obligations of CFEs | ||
Liabilities: | ||
Liabilities of CIVs: | 0 | 0 |
Recurring | Level 2 | Warehouse financing debt | ||
Liabilities: | ||
Liabilities of CIVs: | 199 | 103 |
Recurring | Level 2 | Securities sold short, at fair value | ||
Liabilities: | ||
Liabilities of CIVs: | 41 | |
Recurring | Level 2 | Securitized borrowing | ||
Liabilities: | ||
Liabilities of CIVs: | 0 | 0 |
Recurring | Level 2 | Other | ||
Liabilities: | ||
Liabilities of CIVs: | 1 | |
Recurring | Level 2 | Fund investments: | Obligations of state and political subdivisions | ||
Assets: | ||
Assets of CIVs | 101 | |
Recurring | Level 2 | Fund investments: | Corporate securities | ||
Assets: | ||
Assets of CIVs | 0 | 7 |
Recurring | Level 2 | Fund investments: | Equity securities and warrants | ||
Assets: | ||
Assets of CIVs | 6 | 7 |
Recurring | Level 2 | Fund investments: | Structured products | ||
Assets: | ||
Assets of CIVs | 90 | 62 |
Recurring | Level 2 | CLOs and CLO warehouse assets: | Short-term investments | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
Recurring | Level 2 | CLOs and CLO warehouse assets: | Loans | ||
Assets: | ||
Assets of CIVs | 4,412 | 4,244 |
Recurring | Level 3 | ||
Assets: | ||
Estimated Fair Value | 1,046 | 1,151 |
Fixed-maturity securities, trading | 0 | |
Short-term investments, at fair value | 0 | 0 |
Other invested assets | 5 | 6 |
FG VIEs’ assets | 210 | 260 |
Assets of CIVs | 427 | 330 |
Other assets | 36 | 25 |
Total assets carried at fair value | 1,724 | 1,772 |
Liabilities: | ||
Credit derivative liabilities | 195 | 156 |
FG VIEs' liabilities | 251 | 289 |
Liabilities of CIVs: | 4,009 | 3,705 |
Other liabilities | 0 | 0 |
Total liabilities carried at fair value | 4,455 | 4,150 |
Recurring | Level 3 | Obligations of state and political subdivisions | ||
Assets: | ||
Estimated Fair Value | 48 | 72 |
Recurring | Level 3 | U.S. government and agencies | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Recurring | Level 3 | Corporate securities | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Recurring | Level 3 | RMBS | ||
Assets: | ||
Estimated Fair Value | 192 | 216 |
Recurring | Level 3 | CMBS | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Recurring | Level 3 | Asset-backed securities | ||
Assets: | ||
Estimated Fair Value | 806 | 863 |
Recurring | Level 3 | Non-U.S. government securities | ||
Assets: | ||
Estimated Fair Value | 0 | 0 |
Recurring | Level 3 | CLO obligations of CFEs | ||
Liabilities: | ||
Liabilities of CIVs: | 3,962 | 3,665 |
Recurring | Level 3 | Warehouse financing debt | ||
Liabilities: | ||
Liabilities of CIVs: | 25 | 23 |
Recurring | Level 3 | Securities sold short, at fair value | ||
Liabilities: | ||
Liabilities of CIVs: | 0 | |
Recurring | Level 3 | Securitized borrowing | ||
Liabilities: | ||
Liabilities of CIVs: | 22 | 17 |
Recurring | Level 3 | Other | ||
Liabilities: | ||
Liabilities of CIVs: | 0 | |
Recurring | Level 3 | Fund investments: | Obligations of state and political subdivisions | ||
Assets: | ||
Assets of CIVs | 0 | |
Recurring | Level 3 | Fund investments: | Corporate securities | ||
Assets: | ||
Assets of CIVs | 87 | 91 |
Recurring | Level 3 | Fund investments: | Equity securities and warrants | ||
Assets: | ||
Assets of CIVs | 297 | 239 |
Recurring | Level 3 | Fund investments: | Structured products | ||
Assets: | ||
Assets of CIVs | 43 | 0 |
Recurring | Level 3 | CLOs and CLO warehouse assets: | Short-term investments | ||
Assets: | ||
Assets of CIVs | 0 | 0 |
Recurring | Level 3 | CLOs and CLO warehouse assets: | 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 | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Variable Interest Liabilities | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair value at start of period | $ (282) | $ (320) | $ (289) | $ (333) |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | ||||
Net income (loss) | 8 | 2 | 34 | (5) |
Other comprehensive income (loss) | (4) | 2 | (1) | (1) |
Issuances | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | ||
Settlements | 27 | 15 | 92 | 38 |
Consolidations | 0 | (102) | ||
Deconsolidations | 15 | |||
Fair value at end of period | (251) | (301) | (251) | (301) |
Change in unrealized gains/(losses) included in earnings related to financial instruments | 8 | 2 | 57 | (4) |
Change in unrealized gains/(losses) included in OCI related to financial instruments | (4) | 2 | (1) | (1) |
Liabilities of CIVs | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair value at start of period | (3,987) | (2,385) | (3,705) | (1,227) |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | ||||
Net income (loss) | (31) | 4 | 264 | 2 |
Other comprehensive income (loss) | 41 | 0 | 97 | 0 |
Issuances | (8) | (989) | (1,416) | (2,147) |
Sales | 2 | 2 | ||
Settlements | 0 | 374 | 401 | 376 |
Consolidations | (26) | (26) | ||
Deconsolidations | 374 | |||
Fair value at end of period | (4,009) | (2,996) | (4,009) | (2,996) |
Change in unrealized gains/(losses) included in earnings related to financial instruments | (13) | 1 | 289 | 5 |
Change in unrealized gains/(losses) included in OCI related to financial instruments | 41 | 97 | ||
FG VIEs’ Assets | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 223 | 287 | 260 | 296 |
Total pre-tax realized and unrealized gains (losses) recorded in: | ||||
Net income (loss) | 3 | 2 | 0 | 20 |
Other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements | (16) | (18) | (50) | (45) |
Consolidations | 15 | |||
Deconsolidations | (15) | |||
Fair value at end of period | 210 | 271 | 210 | 271 |
Change in unrealized gains/(losses) related to financial instruments held | 3 | 2 | 1 | 21 |
Assets of Consolidated Investment Vehicles | Corporate securities | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 90 | 91 | ||
Total pre-tax realized and unrealized gains (losses) recorded in: | ||||
Net income (loss) | (2) | 4 | ||
Other comprehensive income (loss) | 0 | 0 | ||
Purchases | 1 | 2 | ||
Sales | (2) | (10) | ||
Settlements | 0 | 0 | ||
Consolidations | 0 | |||
Deconsolidations | 0 | |||
Fair value at end of period | 87 | 87 | ||
Change in unrealized gains/(losses) related to financial instruments held | (2) | 3 | ||
Assets of Consolidated Investment Vehicles | Equity securities and warrants | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 258 | 239 | ||
Total pre-tax realized and unrealized gains (losses) recorded in: | ||||
Net income (loss) | (11) | 15 | ||
Other comprehensive income (loss) | 0 | 0 | ||
Purchases | 52 | 57 | ||
Sales | (2) | (14) | ||
Settlements | 0 | 0 | ||
Consolidations | 0 | |||
Deconsolidations | 0 | |||
Fair value at end of period | 297 | 297 | ||
Change in unrealized gains/(losses) related to financial instruments held | (11) | 7 | ||
Assets of Consolidated Investment Vehicles | Assets of CIVs- Equity Securities | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 1 | 2 | ||
Total pre-tax realized and unrealized gains (losses) recorded in: | ||||
Net income (loss) | 0 | 4 | ||
Other comprehensive income (loss) | 0 | 0 | ||
Purchases | 33 | 55 | ||
Sales | 0 | (27) | ||
Settlements | 0 | 0 | ||
Fair value at end of period | 34 | 34 | ||
Change in unrealized gains/(losses) related to financial instruments held | 0 | 2 | ||
Assets of Consolidated Investment Vehicles | Structured products | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 38 | 0 | ||
Total pre-tax realized and unrealized gains (losses) recorded in: | ||||
Net income (loss) | (3) | (6) | ||
Other comprehensive income (loss) | 0 | 0 | ||
Purchases | 8 | 50 | ||
Sales | 0 | (21) | ||
Settlements | 0 | 0 | ||
Consolidations | 0 | |||
Deconsolidations | 20 | |||
Fair value at end of period | 43 | 43 | ||
Change in unrealized gains/(losses) related to financial instruments held | (3) | (6) | ||
Other | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 37 | 31 | 27 | (54) |
Total pre-tax realized and unrealized gains (losses) recorded in: | ||||
Net income (loss) | 1 | (4) | 12 | (28) |
Other comprehensive income (loss) | 0 | 0 | (1) | 1 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
Consolidations | 0 | |||
Deconsolidations | 0 | |||
Fair value at end of period | 38 | 27 | 38 | 27 |
Change in unrealized gains/(losses) related to financial instruments held | 1 | (3) | 12 | (28) |
Change in unrealized gains/(losses) included in OCI related to financial instruments | 0 | (1) | 1 | |
Obligations of state and political subdivisions | Fixed-maturity securities, available-for-sale | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 51 | 110 | 72 | 101 |
Total pre-tax realized and unrealized gains (losses) recorded in: | ||||
Net income (loss) | 0 | 1 | 0 | 4 |
Other comprehensive income (loss) | (3) | (1) | (11) | 7 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | (13) | (2) |
Consolidations | 0 | |||
Deconsolidations | 0 | |||
Fair value at end of period | 48 | 110 | 48 | 110 |
Change in unrealized gains/(losses) included in OCI related to financial instruments | (3) | (1) | (13) | 7 |
Corporate securities | Fixed-maturity securities, available-for-sale | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 30 | |||
Total pre-tax realized and unrealized gains (losses) recorded in: | ||||
Net income (loss) | 2 | |||
Other comprehensive income (loss) | 16 | |||
Purchases | 0 | |||
Sales | (48) | |||
Settlements | 0 | |||
Fair value at end of period | 0 | 0 | ||
Change in unrealized gains/(losses) included in OCI related to financial instruments | 0 | |||
RMBS | Fixed-maturity securities, available-for-sale | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 184 | 248 | 216 | 255 |
Total pre-tax realized and unrealized gains (losses) recorded in: | ||||
Net income (loss) | 3 | 8 | 13 | 15 |
Other comprehensive income (loss) | (8) | (2) | (27) | 7 |
Purchases | 22 | 0 | 22 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements | (9) | (16) | (32) | (39) |
Consolidations | 0 | |||
Deconsolidations | 0 | |||
Fair value at end of period | 192 | 238 | 192 | 238 |
Change in unrealized gains/(losses) included in OCI related to financial instruments | (8) | (2) | (25) | 6 |
Asset-backed securities | Fixed-maturity securities, available-for-sale | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 805 | 975 | 863 | 940 |
Total pre-tax realized and unrealized gains (losses) recorded in: | ||||
Net income (loss) | 2 | 5 | 2 | 16 |
Other comprehensive income (loss) | 1 | 3 | (36) | 9 |
Purchases | 4 | 55 | 39 | 266 |
Sales | (1) | 0 | (13) | (76) |
Settlements | (5) | (70) | (49) | (187) |
Consolidations | 0 | |||
Deconsolidations | 0 | |||
Fair value at end of period | 806 | 968 | 806 | 968 |
Change in unrealized gains/(losses) included in OCI related to financial instruments | 1 | 3 | (35) | 9 |
Credit Risk Contract | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||||
Fair value at start of period | (147) | (154) | (154) | (100) |
Total pre-tax realized and unrealized gains (losses) recorded in: | ||||
Net income (loss) | (48) | 21 | (42) | (31) |
Other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Issuances | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | ||
Settlements | 1 | (1) | 2 | (3) |
Consolidations | 0 | 0 | ||
Deconsolidations | 0 | |||
Fair value at end of period | (194) | (134) | (194) | (134) |
Change in unrealized gains/(losses) included in earnings related to financial instruments | $ (46) | $ 1 | $ (41) | $ (54) |
Fair Value Measurement - Quanti
Fair Value Measurement - Quantitative Information - Assets (Details) - Level 3 - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Valuation, Income Approach | Credit derivative liabilities, net | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ (194) | $ (154) |
Valuation, Income Approach | Warehouse financing debt | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | (25) | (23) |
Valuation, Income Approach | Securitized borrowing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ (22) | $ (17) |
Minimum | Credit derivative liabilities, net | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Hedge cost (as a percent) | 0.128% | 0.08% |
Bank profit (as a percent) | 0.577% | 0% |
Minimum | Valuation, Income Approach | Warehouse financing debt | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 13.80% | 12.60% |
Maximum | Credit derivative liabilities, net | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Hedge cost (as a percent) | 0.28% | 0.371% |
Bank profit (as a percent) | 2.60% | 1.878% |
Maximum | Valuation, Income Approach | Warehouse financing debt | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 16.30% | 16% |
Weighted Average | Credit derivative liabilities, net | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Hedge cost (as a percent) | 0.175% | 0.126% |
Bank profit (as a percent) | 1.216% | 0.679% |
Weighted Average | Valuation, Income Approach | Warehouse financing debt | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 14.50% | 13.80% |
Discount Margin | Valuation, Income Approach | Securitized borrowing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 20.60% | 23.90% |
Market multiple-enterprise value/revenue | Valuation, Market Approach | Liabilities of CIVs | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 10.50 | |
Market multiple-enterprise value/EBITDA | Minimum | Valuation, Market Approach | Securitized borrowing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 10 | |
Market multiple-enterprise value/EBITDA | Maximum | Valuation, Market Approach | Securitized borrowing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 11 | |
Market multiple-enterprise value/EBITDA | Weighted Average | Valuation, Market Approach | Securitized borrowing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 10.67 | |
Obligations of state and political subdivisions | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total assets carried at fair value | $ 48 | $ 72 |
Obligations of state and political subdivisions | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.30% | 4.40% |
Obligations of state and political subdivisions | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 27.10% | 24.50% |
Obligations of state and political subdivisions | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 10.10% | 6.20% |
RMBS | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total assets carried at fair value | $ 192 | $ 216 |
RMBS | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7% | 3.80% |
RMBS | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 10.70% | 5.60% |
RMBS | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 8.40% | 4.50% |
RMBS | CPR | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 0% | 0% |
RMBS | CPR | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 17.30% | 22.70% |
RMBS | CPR | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 8.10% | 10.40% |
RMBS | CDR | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 1.50% | 1.40% |
RMBS | CDR | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 12% | 12% |
RMBS | CDR | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 5.90% | 5.90% |
RMBS | Loss severity | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 50% | 50% |
RMBS | Loss severity | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 125% | 125% |
RMBS | Loss severity | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 82.50% | 84.90% |
Life insurance transactions | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total assets carried at fair value | $ 366 | $ 367 |
Yield (as a percent) | 10% | 5% |
CLOs | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total assets carried at fair value | $ 414 | $ 458 |
CLOs | Discount Margin | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 2% | 0% |
CLOs | Discount Margin | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.50% | 2.90% |
CLOs | Discount Margin | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.30% | 1.80% |
Others | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total assets carried at fair value | $ 26 | $ 38 |
Others | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.70% | 3.20% |
Others | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 12.40% | 7.90% |
Others | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 12.40% | 7.90% |
FG VIEs' assets | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total assets carried at fair value | $ 210 | $ 260 |
FG VIEs' assets | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.80% | 1.40% |
FG VIEs' assets | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 10.40% | 8% |
FG VIEs' assets | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.10% | 4.60% |
FG VIEs' assets | CPR | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 0.90% | 0.90% |
FG VIEs' assets | CPR | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 22% | 24.50% |
FG VIEs' assets | CPR | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 15.40% | 13.30% |
FG VIEs' assets | CDR | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 1% | 1.40% |
FG VIEs' assets | CDR | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 41% | 26.90% |
FG VIEs' assets | CDR | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 7.50% | 7.60% |
FG VIEs' assets | Loss severity | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 45% | 45% |
FG VIEs' assets | Loss severity | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 100% | 100% |
FG VIEs' assets | Loss severity | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 82.20% | 81.60% |
Equity securities and warrants | Assets of Consolidated Investment Vehicles | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total assets carried at fair value | $ 297 | $ 239 |
Yield (as a percent) | 9.20% | 7.70% |
Equity securities and warrants | Discount Margin | Assets of Consolidated Investment Vehicles | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 19% | 14.70% |
Equity securities and warrants | Discount Margin | Assets of Consolidated Investment Vehicles | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 25.40% | 23.90% |
Equity securities and warrants | Discount Margin | Assets of Consolidated Investment Vehicles | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 23.30% | 21.60% |
Equity securities and warrants | Terminal growth rate | Assets of Consolidated Investment Vehicles | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4% | |
Equity securities and warrants | Market multiple-enterprise value/revenue | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 185% | |
Equity securities and warrants | Market multiple-enterprise value/revenue | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.10 | |
Conditional prepayment rate | 135% | |
Equity securities and warrants | Market multiple-enterprise value/revenue | Minimum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1 | |
Conditional prepayment rate | 130% | |
Market multiple-price to earnings | 500% | |
Equity securities and warrants | Market multiple-enterprise value/revenue | Maximum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.10 | |
Market multiple-price to earnings | 600% | |
Equity securities and warrants | Market multiple-enterprise value/revenue | Weighted Average | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.05 | |
Conditional prepayment rate | 133% | |
Market multiple-price to earnings | 550% | |
Equity securities and warrants | Market multiple-enterprise value/EBITDA | Minimum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 3 | 3 |
Equity securities and warrants | Market multiple-enterprise value/EBITDA | Maximum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 12 | 10.50 |
Equity securities and warrants | Market multiple-enterprise value/EBITDA | Weighted Average | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 10.36 | 8.95 |
Equity securities and warrants | Cost | Assets of Consolidated Investment Vehicles | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 100% | |
Corporate securities | Assets of Consolidated Investment Vehicles | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 16.30% | 16.40% |
Corporate securities | Discount Margin | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total assets carried at fair value | $ 87 | $ 91 |
Corporate securities | Discount Margin | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 22.20% | 14.70% |
Corporate securities | Discount Margin | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 24.30% | 21.40% |
Corporate securities | Discount Margin | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 22.90% | 17.80% |
Corporate securities | Market multiple-enterprise value/EBITDA | Minimum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 3 | |
Corporate securities | Market multiple-enterprise value/EBITDA | Maximum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 8 | |
Corporate securities | Market multiple-enterprise value/EBITDA | Weighted Average | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 4.70 | |
Corporate securities | Cost | Assets of Consolidated Investment Vehicles | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 100% | |
Structured products | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total assets carried at fair value | $ 43 | |
Structured products | Assets of Consolidated Investment Vehicles | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 13.80% | |
Structured products | Assets of Consolidated Investment Vehicles | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 32.90% | |
Structured products | Assets of Consolidated Investment Vehicles | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 18.60% | |
Other | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total assets carried at fair value | $ 35 | $ 23 |
Term (years) | 10 years | 10 years |
Other | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 6.10% | 2.70% |
Other | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 6.80% | 3.30% |
Other | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 6.40% | 3% |
Fair Value Measurement - Quan_2
Fair Value Measurement - Quantitative Information - Liabilities (Details) - Level 3 - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Credit derivative liabilities, net | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Internal floor (as a percent) | 0.088% | |
Credit derivative liabilities, net | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Hedge cost (as a percent) | 0.128% | 0.08% |
Bank profit (as a percent) | 0.577% | 0% |
Credit derivative liabilities, net | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Hedge cost (as a percent) | 0.28% | 0.371% |
Bank profit (as a percent) | 2.60% | 1.878% |
Credit derivative liabilities, net | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Hedge cost (as a percent) | 0.175% | 0.126% |
Bank profit (as a percent) | 1.216% | 0.679% |
Credit derivative liabilities, net | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (194) | $ (154) |
Credit derivative liabilities, net | Valuation, Income Approach | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 0% | |
Credit derivative liabilities, net | Valuation, Income Approach | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 85.80% | |
Credit derivative liabilities, net | Valuation, Income Approach | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 0.10% | |
FG VIEs' liabilities | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (251) | $ (289) |
FG VIEs' liabilities | Valuation, Income Approach | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.30% | 1.40% |
FG VIEs' liabilities | Valuation, Income Approach | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 10.40% | 8% |
FG VIEs' liabilities | Valuation, Income Approach | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 5.90% | 3.70% |
FG VIEs' liabilities | CPR | Valuation, Income Approach | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 0.90% | 0.90% |
FG VIEs' liabilities | CPR | Valuation, Income Approach | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 22% | 24.50% |
FG VIEs' liabilities | CPR | Valuation, Income Approach | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 14.50% | 13.30% |
FG VIEs' liabilities | CDR | Valuation, Income Approach | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 1% | 1.40% |
FG VIEs' liabilities | CDR | Valuation, Income Approach | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 41% | 26.90% |
FG VIEs' liabilities | CDR | Valuation, Income Approach | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 7% | 7.60% |
FG VIEs' liabilities | Loss severity | Valuation, Income Approach | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 45% | 45% |
FG VIEs' liabilities | Loss severity | Valuation, Income Approach | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 100% | 100% |
FG VIEs' liabilities | Loss severity | Valuation, Income Approach | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate | 77.20% | 81.60% |
CLO obligations of CFEs | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (3,962) | $ (3,665) |
CLO obligations of CFEs | Valuation, Income Approach | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 1.60% | 1.60% |
CLO obligations of CFEs | Valuation, Income Approach | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 26.80% | 13.70% |
CLO obligations of CFEs | Valuation, Income Approach | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.30% | 2.10% |
Warehouse financing debt | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (25) | $ (23) |
Warehouse financing debt | Valuation, Income Approach | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 13.80% | 12.60% |
Warehouse financing debt | Valuation, Income Approach | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 16.30% | 16% |
Warehouse financing debt | Valuation, Income Approach | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 14.50% | 13.80% |
Securitized borrowing | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (22) | $ (17) |
Securitized borrowing | Discount Margin | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 20.60% | 23.90% |
Securitized borrowing | Market multiple-enterprise value/EBITDA | Valuation, Market Approach | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 10 | |
Securitized borrowing | Market multiple-enterprise value/EBITDA | Valuation, Market Approach | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 11 | |
Securitized borrowing | Market multiple-enterprise value/EBITDA | Valuation, Market Approach | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/EBITDA | 10.67 | |
Liabilities of CIVs | Market multiple-enterprise value/revenue | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 10.50 | |
Other invested assets | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total assets carried at fair value | $ 5 | $ 6 |
Fair Value Measurement - Fair_2
Fair Value Measurement - Fair Value of Financial Instruments Not Carried at Fair Value (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Carrying amount and estimated fair value financial instruments | ||
Other assets | $ 129 | $ 132 |
Repurchase agreement liability | 32 | 37 |
Carrying Amount | ||
Carrying amount and estimated fair value financial instruments | ||
Other assets | 88 | 134 |
Financial guaranty insurance contracts | (2,888) | (2,394) |
Long-term debt | (1,675) | (1,673) |
Other liabilities | (52) | (45) |
Carrying Amount | Consolidated Investment Vehicles | ||
Carrying amount and estimated fair value financial instruments | ||
Assets of CIVs | 73 | 171 |
Liabilities of CIVs | (236) | (586) |
Estimated Fair Value | ||
Carrying amount and estimated fair value financial instruments | ||
Other assets | 89 | 135 |
Financial guaranty insurance contracts | (2,003) | (2,315) |
Long-term debt | (1,463) | (1,832) |
Other liabilities | (52) | (45) |
Estimated Fair Value | Consolidated Investment Vehicles | ||
Carrying amount and estimated fair value financial instruments | ||
Assets of CIVs | 73 | 171 |
Liabilities of CIVs | $ (236) | $ (586) |
Asset Management Fees - Asset M
Asset Management Fees - Asset Management Fees (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Disaggregation of Revenue [Line Items] | ||||
Asset management fees | $ 16 | $ 20 | $ 71 | $ 65 |
CLOs | ||||
Disaggregation of Revenue [Line Items] | ||||
Asset management fees | 8 | 9 | 25 | 31 |
Opportunity funds and liquid strategies | ||||
Disaggregation of Revenue [Line Items] | ||||
Asset management fees | 2 | 4 | 14 | 12 |
Wind-down funds | ||||
Disaggregation of Revenue [Line Items] | ||||
Asset management fees | 1 | 2 | 2 | 6 |
Total management fees | ||||
Disaggregation of Revenue [Line Items] | ||||
Asset management fees | 11 | 15 | 41 | 49 |
Performance fees | ||||
Disaggregation of Revenue [Line Items] | ||||
Asset management fees | 2 | 0 | 17 | 1 |
Reimbursable fund expenses | ||||
Disaggregation of Revenue [Line Items] | ||||
Asset management fees | $ 3 | $ 5 | $ 13 | $ 15 |
Asset Management Fees - Narrati
Asset Management Fees - Narrative (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Asset Management and Performance Allocation Fees | ||
Disaggregation of Revenue [Line Items] | ||
Management and performance fees receivable | $ 10 | $ 8 |
Long-Term Debt and Credit Fac_2
Long-Term Debt and Credit Facilities - Narrative (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||||||||||
Mar. 14, 2022 | Feb. 03, 2022 | Sep. 27, 2021 | Aug. 20, 2021 | Jul. 09, 2021 | May 26, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | May 21, 2021 | Jul. 31, 2003 | Nov. 26, 2002 | |
Debt Instrument [Line Items] | |||||||||||||
Repayments of long-term debt | $ 0 | $ 620,000,000 | |||||||||||
Loss on extinguishment of debt | $ 0 | $ 175,000,000 | 0 | 175,000,000 | |||||||||
Borrowings under credit facilities | $ 46,000,000 | $ 0 | |||||||||||
Assured Guaranty Municipal Holdings Inc | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Repayments of long-term debt | $ 200,000,000 | ||||||||||||
Loss on extinguishment of debt | 175,000,000 | ||||||||||||
Extinguishment of debt, loss, net of tax | 138,000,000 | ||||||||||||
Acceleration of unamortized fair value adjustments | 156,000,000 | ||||||||||||
Senior Notes 3.15 Percent | Senior Notes | AGUS | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Debt instrument, face amount | $ 500,000,000 | ||||||||||||
Interest rate of debt (as a percent) | 3.15% | ||||||||||||
Net proceeds from issuance of debt | $ 494,000,000 | ||||||||||||
3.6% Senior Notes | Senior Notes | AGUS | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Debt instrument, face amount | $ 400,000,000 | ||||||||||||
Interest rate of debt (as a percent) | 3.60% | ||||||||||||
Proceeds from issuance of debt | $ 395,000,000 | ||||||||||||
3.6% Senior Notes | Senior Notes | Assured Guaranty Municipal Holdings Inc and Assured Guaranty US Holding Inc | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Repayments of long-term debt | $ 400,000,000 | ||||||||||||
6.875% QUIBS | Corporate securities | Assured Guaranty Municipal Holdings Inc | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Interest rate of debt (as a percent) | 6.875% | ||||||||||||
Repayments of long-term debt | $ 100,000,000 | ||||||||||||
6.25% Notes | Notes payable | Assured Guaranty Municipal Holdings Inc | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Debt instrument, face amount | $ 230,000,000 | ||||||||||||
Interest rate of debt (as a percent) | 6.25% | ||||||||||||
Repayments of long-term debt | 130,000,000 | $ 100,000,000 | |||||||||||
5.6% Notes | Corporate securities | Assured Guaranty Municipal Holdings Inc | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Interest rate of debt (as a percent) | 5.60% | ||||||||||||
Repayments of long-term debt | 100,000,000 | ||||||||||||
5% Senior Notes | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Make whole payment | $ 19,000,000 | ||||||||||||
5% Senior Notes | Senior Notes | AGUS | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Debt instrument, face amount | $ 500,000,000 | ||||||||||||
Interest rate of debt (as a percent) | 5% | ||||||||||||
5% Senior Notes | Senior Notes | Assured Guaranty Municipal Holdings Inc | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Repayments of long-term debt | $ 170,000,000 | ||||||||||||
One Month | Letter of Credit | Short Term Loan Facility | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Maximum borrowing capacity | $ 550,000,000 | ||||||||||||
Maximum borrowing duration | 1 month | ||||||||||||
Borrowings under credit facilities | $ 400,000,000 | ||||||||||||
One Month | Letter of Credit | Short Term Loan Facility | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Basis spread on variable rate | 1.10% | ||||||||||||
6 Months | Letter of Credit | Short Term Loan Facility | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Maximum borrowing capacity | $ 150,000,000 | ||||||||||||
Maximum borrowing duration | 6 months | ||||||||||||
Borrowings under credit facilities | $ 0 | ||||||||||||
Thirty Days | Letter of Credit | Short Term Loan Facility | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Maximum borrowing duration | 30 days | 30 days |
Income Taxes - Deferred and Cur
Income Taxes - Deferred and Current Tax Liabilities (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Income Tax Disclosure [Abstract] | ||
Net deferred tax assets (liabilities) | $ 185 | |
Net deferred tax assets (liabilities) | $ (33) | |
Net current tax assets (liabilities) | $ 13 | $ (43) |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Income Taxes [Line Items] | ||||
Decrease in valuation allowance | $ 19 | |||
Valuation allowance | $ 5 | $ 5 | $ 24 | |
Realization assessment period | 3 years | |||
Foreign Tax Authority | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 21% | |||
United Kingdom | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 19% | |||
France | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 25% | 27.50% |
Income Taxes - Effective Tax Ra
Income Taxes - Effective Tax Rate Reconciliation and Pretax Income (Loss) and Revenue by Tax Jurisdiction (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Expected tax provision (benefit) | $ (6) | $ (6) | $ 6 | $ 16 |
Tax-exempt interest | (3) | (4) | (10) | (12) |
Noncontrolling interest | 1 | 0 | (5) | (2) |
Return to provision adjustment | (20) | (4) | (20) | (4) |
State taxes | 2 | (2) | 10 | 5 |
Foreign taxes | (1) | 4 | 9 | 6 |
Taxes on reinsurance | 0 | (4) | (1) | (1) |
Stock based compensation | 0 | 1 | 4 | 1 |
Other | 0 | 0 | 1 | (1) |
Total provision (benefit) for income taxes | $ (27) | $ (15) | $ (6) | $ 8 |
Effective tax rate | 123.50% | (313.30%) | (12.10%) | 6% |
Pretax income (loss) | $ (22) | $ 5 | $ 49 | $ 145 |
Revenues | 41 | 212 | 431 | 585 |
United States | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Pretax income (loss) | 3 | (10) | 112 | 92 |
Revenues | 60 | 181 | 435 | 465 |
Bermuda | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Pretax income (loss) | 10 | 31 | 27 | 67 |
Revenues | 4 | 32 | 43 | 90 |
U.K. | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Pretax income (loss) | (30) | (13) | (75) | (9) |
Revenues | (21) | (1) | (39) | 29 |
Other | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Pretax income (loss) | (5) | (3) | (15) | (5) |
Revenues | $ (2) | $ 0 | $ (8) | $ 1 |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) - LBIE vs. AG Financial Products $ in Millions | Apr. 10, 2015 USD ($) | Mar. 15, 2013 Transaction | Nov. 28, 2011 USD ($) Transaction |
AG Financial Products Inc. | Guarantee Obligations | |||
Commitments and Contingencies Legal Proceedings | |||
Number of credit derivative transactions for which termination payment is alleged to be improperly calculated | Transaction | 9 | 9 | |
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 | ||
Other credit derivative transactions which LBIE owes to AG Financial Products as per calculation of AG financial products | $ 21 | ||
Lehman Brothers International (Europe) | |||
Commitments and Contingencies Legal Proceedings | |||
Gain contingency, number of credit derivative transactions with improperly calculated payments | 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 |
Shareholders' Equity - Changes
Shareholders' Equity - Changes in AOCI by Component (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | $ 6,292 | |||
Other comprehensive income (loss) before reclassifications | $ (294) | $ (70) | (993) | $ (123) |
Less: Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | (14) | 3 | (39) | 4 |
Interest expense | 20 | 23 | 60 | 67 |
Income (loss) before income taxes | (22) | 5 | 49 | 145 |
Tax (provision) benefit | 27 | 15 | 6 | (8) |
Other comprehensive income (loss) | (282) | (71) | (952) | (124) |
Ending balance | 4,929 | 4,929 | ||
Reclassification out of Accumulated Other Comprehensive Income | ||||
Less: Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | (14) | 2 | (48) | 3 |
Fair value gains (losses) on FG VIEs | 0 | (1) | (2) | (3) |
Interest expense | 1 | 1 | ||
Income (loss) before income taxes | (14) | 2 | (50) | 1 |
Tax (provision) benefit | 2 | (1) | 9 | 0 |
Total amount reclassified from AOCI, net of tax | (12) | 1 | (41) | 1 |
Total AOCI | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | (370) | 445 | 300 | 498 |
Less: Amounts reclassified from AOCI to: | ||||
Ending balance | (652) | 374 | (652) | 374 |
No Credit Impairment | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | (205) | 509 | 375 | 577 |
Other comprehensive income (loss) before reclassifications | (286) | (69) | (886) | (134) |
Less: Amounts reclassified from AOCI to: | ||||
Other comprehensive income (loss) | (277) | (66) | (857) | (134) |
Ending balance | (482) | 443 | (482) | 443 |
No Credit Impairment | Reclassification out of Accumulated Other Comprehensive Income | ||||
Less: Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | (11) | (3) | (35) | 1 |
Fair value gains (losses) on FG VIEs | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | ||
Income (loss) before income taxes | (11) | (3) | (35) | 1 |
Tax (provision) benefit | 2 | 0 | 6 | (1) |
Total amount reclassified from AOCI, net of tax | (9) | (3) | (29) | 0 |
Credit Impairment | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | (107) | (12) | (24) | (30) |
Other comprehensive income (loss) before reclassifications | (1) | (2) | (92) | 14 |
Less: Amounts reclassified from AOCI to: | ||||
Other comprehensive income (loss) | 2 | (6) | (81) | 12 |
Ending balance | (105) | (18) | (105) | (18) |
Credit Impairment | Reclassification out of Accumulated Other Comprehensive Income | ||||
Less: Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | (3) | 5 | (13) | 2 |
Fair value gains (losses) on FG VIEs | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | ||
Income (loss) before income taxes | (3) | 5 | (13) | 2 |
Tax (provision) benefit | 0 | (1) | 2 | 0 |
Total amount reclassified from AOCI, net of tax | (3) | 4 | (11) | 2 |
ISCR on FG VIEs’ Liabilities with Recourse | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | (19) | (23) | (21) | (20) |
Other comprehensive income (loss) before reclassifications | (3) | 1 | (2) | (3) |
Less: Amounts reclassified from AOCI to: | ||||
Other comprehensive income (loss) | (3) | 2 | (1) | (1) |
Ending balance | (22) | (21) | (22) | (21) |
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 | 0 |
Fair value gains (losses) on FG VIEs | 0 | (1) | (2) | (3) |
Interest expense | 0 | 0 | ||
Income (loss) before income taxes | 0 | (1) | (2) | (3) |
Tax (provision) benefit | 0 | 0 | 1 | 1 |
Total amount reclassified from AOCI, net of tax | 0 | (1) | (1) | (2) |
Cumulative Translation Adjustment | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | (45) | (36) | (36) | (36) |
Other comprehensive income (loss) before reclassifications | (4) | 0 | (13) | 0 |
Less: Amounts reclassified from AOCI to: | ||||
Other comprehensive income (loss) | (4) | 0 | (13) | 0 |
Ending balance | (49) | (36) | (49) | (36) |
Cumulative Translation Adjustment | Reclassification out of Accumulated Other Comprehensive Income | ||||
Less: Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Fair value gains (losses) on FG VIEs | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | ||
Income (loss) before income taxes | 0 | 0 | 0 | 0 |
Tax (provision) benefit | 0 | 0 | 0 | 0 |
Total amount reclassified from AOCI, net of tax | 0 | 0 | 0 | 0 |
Cash Flow Hedge | ||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Beginning balance | 6 | 7 | 6 | 7 |
Other comprehensive income (loss) before reclassifications | 0 | 0 | 0 | 0 |
Less: Amounts reclassified from AOCI to: | ||||
Other comprehensive income (loss) | 0 | (1) | 0 | (1) |
Ending balance | 6 | 6 | 6 | 6 |
Cash Flow Hedge | Reclassification out of Accumulated Other Comprehensive Income | ||||
Less: Amounts reclassified from AOCI to: | ||||
Net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Fair value gains (losses) on FG VIEs | 0 | 0 | 0 | 0 |
Interest expense | 1 | 1 | ||
Income (loss) before income taxes | 0 | 1 | 0 | 1 |
Tax (provision) benefit | 0 | 0 | 0 | 0 |
Total amount reclassified from AOCI, net of tax | $ 0 | $ 1 | $ 0 | $ 1 |
Shareholders' Equity - Shares R
Shareholders' Equity - Shares Repurchased (Details) - USD ($) $ / shares in Units, $ in Millions | 1 Months Ended | 3 Months Ended | 9 Months Ended | 10 Months Ended | 12 Months Ended | ||||||||
Nov. 07, 2022 | Sep. 30, 2022 | Jun. 30, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Nov. 07, 2022 | Dec. 31, 2021 | Aug. 03, 2022 | |
Equity, Class of Treasury Stock [Line Items] | |||||||||||||
Repurchases of common stock | $ 400 | $ 305 | |||||||||||
Common Shares | |||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||
Repurchase authorized amount | $ 250 | ||||||||||||
Shares repurchased (in shares) | 1,790,395 | 2,605,947 | 2,738,223 | 3,725,982 | 2,918,993 | 1,887,531 | 1,986,534 | 10,519,040 | |||||
Repurchases of common stock | $ 97 | $ 151 | $ 155 | $ 191 | $ 140 | $ 88 | $ 77 | $ 496 | |||||
Average price paid per share (in dollars per share) | $ 53.77 | $ 58.03 | $ 56.62 | $ 51.47 | $ 47.76 | $ 46.63 | $ 38.83 | $ 47.19 | |||||
Settlement of prepaid share repurchases | $ 3 | ||||||||||||
Common Shares | Subsequent Event | |||||||||||||
Equity, Class of Treasury Stock [Line Items] | |||||||||||||
Remaining capacity of shares repurchase program | $ 261 | $ 261 | |||||||||||
Shares repurchased (in shares) | 785,863 | 7,920,428 | |||||||||||
Repurchases of common stock | $ 42 | $ 445 | |||||||||||
Average price paid per share (in dollars per share) | $ 53.99 | $ 56.18 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Basic Earnings Per Share (EPS): | ||||
Net income (loss) attributable to AGL | $ 11 | $ 17 | $ 30 | $ 126 |
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 0 | 0 | 0 | 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 11 | $ 17 | $ 30 | $ 126 |
Basic shares (in shares) | 61.7 | 72.7 | 63.9 | 74.9 |
Basic EPS (in dollars per share) | $ 0.18 | $ 0.22 | $ 0.47 | $ 1.67 |
Diluted EPS: | ||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 11 | $ 17 | $ 30 | $ 126 |
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | 0 | 0 | 0 | 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ 11 | $ 17 | $ 30 | $ 126 |
Basic shares (in shares) | 61.7 | 72.7 | 63.9 | 74.9 |
Dilutive securities: | ||||
Options and restricted stock awards (in shares) | 1.2 | 0.9 | 1.2 | 0.8 |
Diluted shares (in shares) | 62.9 | 73.6 | 65.1 | 75.7 |
Diluted EPS (in dollars per share) | $ 0.18 | $ 0.22 | $ 0.46 | $ 1.66 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect (in shares) | 0.1 | 0 | 0.8 | 0.1 |