Cover Page
Cover Page - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Feb. 24, 2023 | Jun. 30, 2022 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2022 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
Entity File Number | 001-32141 | ||
Entity Registrant Name | ASSURED GUARANTY LTD. | ||
Entity Incorporation, State or Country Code | D0 | ||
Entity Tax Identification Number | 98-0429991 | ||
Entity Address, Address Line One | 30 Woodbourne Avenue | ||
Entity Address, City or Town | Hamilton | ||
Entity Address, Postal Zip Code | HM 08 | ||
Entity Address, Country | BM | ||
City Area Code | 441 | ||
Local Phone Number | 279-5700 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 3,341,929,790 | ||
Entity Common Stock, Shares Outstanding | 59,056,267 | ||
Documents Incorporated by Reference | DOCUMENTS INCORPORATED BY REFERENCECertain portions of Registrant’s definitive proxy statement relating to its 2023 Annual General Meeting of Shareholders to be held on May 3, 2023, are incorporated by reference to Part III of this report. | ||
Entity Central Index Key | 0001273813 | ||
Amendment Flag | false | ||
Document Fiscal Year Focus | 2022 | ||
Document Fiscal Period Focus | FY | ||
New York Stock Exchange | Common Shares | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Common Shares | ||
Trading Symbol | AGO | ||
Security Exchange Name | NYSE | ||
New York Stock Exchange | Assured Guaranty US Holdings Inc. 5.000% Senior Notes due 2024 (and the related guarantee of Registrant) | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Assured Guaranty US Holdings Inc. 5.000% Senior Notes due 2024 (and the related guarantee of Registrant) | ||
Trading Symbol | AGO 24 | ||
Security Exchange Name | NYSE | ||
New York Stock Exchange | Assured Guaranty US Holdings Inc. 3.150% Senior Notes due 2031 (and the related guarantee of Registrant) | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Assured Guaranty US Holdings Inc. 3.150% Senior Notes due 2031 (and the related guarantee of Registrant) | ||
Trading Symbol | AGO/31 | ||
Security Exchange Name | NYSE | ||
New York Stock Exchange | Assured Guaranty US Holdings Inc. 3.600% Senior Notes due 2051 (and the related guarantee of Registrant) | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Assured Guaranty US Holdings Inc. 3.600% Senior Notes due 2051 (and the related guarantee of Registrant) | ||
Trading Symbol | AGO/51 | ||
Security Exchange Name | NYSE |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2022 | |
Auditor Information [Abstract] | |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Location | New York, New York |
Auditor Firm ID | 238 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Investments: | ||
Fixed-maturity securities, available-for-sale: | $ 7,119 | $ 8,202 |
Fixed-maturity securities, trading, at fair value | 303 | 0 |
Short-term investments | 810 | 1,225 |
Other invested assets (includes $30 and $31, at fair value) | 133 | 181 |
Total investments | 8,365 | 9,608 |
Cash | 107 | 120 |
Premiums receivable, net of commissions payable | 1,298 | 1,372 |
Deferred acquisition costs | 147 | 131 |
Salvage and subrogation recoverable | 257 | 801 |
Financial guaranty variable interest entities’ assets (includes $413 and $260, at fair value) | 416 | 260 |
Assets of consolidated investment vehicles (includes $5,363 and $4,902, at fair value) | 5,493 | 5,271 |
Goodwill and other intangible assets | 163 | 175 |
Other assets (includes $148 and $132, at fair value) | 597 | 470 |
Total assets | 16,843 | 18,208 |
Liabilities | ||
Unearned premium reserve | 3,620 | 3,716 |
Loss and loss adjustment expense reserve | 296 | 869 |
Long-term debt | 1,675 | 1,673 |
Credit derivative liabilities, at fair value | 163 | 156 |
Financial guaranty variable interest entities’ liabilities, at fair value (with recourse $702 and $269, without recourse $13 and $20) | 715 | 289 |
Liabilities of consolidated investment vehicles (includes $4,431 and $3,849, at fair value) | 4,625 | 4,436 |
Other liabilities | 457 | 569 |
Total liabilities | 11,551 | 11,708 |
Commitments and contingencies (Note 18) | ||
Redeemable noncontrolling interests (Note 8) | 0 | 22 |
Shareholders’ equity | ||
Common shares ($0.01 par value, 500,000,000 shares authorized; 59,013,040 and 67,518,424 shares issued and outstanding) | 1 | 1 |
Retained earnings | 5,577 | 5,990 |
Accumulated other comprehensive income (loss), net of tax of $(84) and $60 | (515) | 300 |
Deferred equity compensation | 1 | 1 |
Total shareholders’ equity attributable to Assured Guaranty Ltd. | 5,064 | 6,292 |
Nonredeemable noncontrolling interests (Note 8) | 228 | 186 |
Total shareholders’ equity | 5,292 | 6,478 |
Total liabilities, redeemable noncontrolling interests and shareholders’ equity | $ 16,843 | $ 18,208 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Statement of Financial Position [Abstract] | ||
Allowance for credit loss | $ 65 | $ 42 |
Amortized Cost | 7,707 | 7,822 |
Other invested assets, fair value disclosure | 30 | 31 |
Financial Guaranty variable interest entities assets | 413 | 260 |
Assets of consolidated investment vehicles, fair value disclosure | 5,363 | 4,902 |
Other assets, fair value disclosure | 148 | 132 |
Financial guaranty variable interest entities' liabilities, with recourse | 702 | 269 |
Financial guaranty variable interest entities' liabilities, without recourse | 13 | 20 |
Liabilities of consolidated investment vehicles, fair value disclosure | $ 4,431 | $ 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) | 59,013,040 | 67,518,424 |
Common stock, shares outstanding (in shares) | 59,013,040 | 67,518,424 |
Accumulated other comprehensive income, tax provision | $ (84) | $ 60 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Revenues | |||
Net earned premiums | $ 494 | $ 414 | $ 485 |
Net investment income | 269 | 269 | 297 |
Asset management fees | 93 | 88 | 89 |
Net realized investment gains (losses) | (56) | 15 | 18 |
Fair value gains (losses) on credit derivatives | (11) | (58) | 81 |
Fair value gains (losses) on committed capital securities | 24 | (28) | (1) |
Fair value gains (losses) on financial guaranty variable interest entities | 22 | 23 | (10) |
Fair value gains (losses) on consolidated investment vehicles | 17 | 127 | 41 |
Foreign exchange gains (losses) on remeasurement | (112) | (23) | 39 |
Fair value gains (losses) on trading securities | (34) | 0 | 0 |
Commutation gains (losses) | 2 | 0 | 38 |
Other income (loss) | 15 | 21 | 38 |
Total revenues | 723 | 848 | 1,115 |
Expenses | |||
Loss and loss adjustment expenses (benefit) | 16 | (220) | 203 |
Interest expense | 81 | 87 | 85 |
Loss on extinguishment of debt | 0 | 175 | 0 |
Amortization of deferred acquisition costs | 14 | 14 | 16 |
Employee compensation and benefit expenses | 258 | 230 | 228 |
Other operating expenses | 167 | 179 | 197 |
Total expenses | 536 | 465 | 729 |
Income (loss) before income taxes and equity in earnings (losses) of investees | 187 | 383 | 386 |
Equity in earnings (losses) of investees | (39) | 94 | 27 |
Income (loss) before income taxes | 148 | 477 | 413 |
Provision (benefit) for income taxes | |||
Current | 14 | 96 | (13) |
Deferred | (3) | (38) | 58 |
Total provision (benefit) for income taxes | 11 | 58 | 45 |
Net income (loss) | 137 | 419 | 368 |
Less: Noncontrolling interests | 13 | 30 | 6 |
Net income (loss) attributable to Assured Guaranty Ltd. | $ 124 | $ 389 | $ 362 |
Earnings per share: | |||
Basic (in dollars per share) | $ 1.95 | $ 5.29 | $ 4.22 |
Diluted (in dollars per share) | $ 1.92 | $ 5.23 | $ 4.19 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Statement of Comprehensive Income [Abstract] | |||
Net income (loss) | $ 137 | $ 419 | $ 368 |
Change in net unrealized gains (losses) on: | |||
Investments with no credit impairment, net of tax provision (benefit) of $(121), $(31) and $20 | (718) | (202) | 163 |
Investments with credit impairment, net of tax provision (benefit) of $(20), $2 and $(4) | (86) | 6 | (16) |
Change in net unrealized gains (losses) on investments | (804) | (196) | 147 |
Change in instrument-specific credit risk on financial guaranty variable interest entities’ liabilities with recourse, net of tax | (2) | (1) | 7 |
Other, net of tax | (9) | (1) | 2 |
Other comprehensive income (loss) | (815) | (198) | 156 |
Comprehensive income (loss) | (678) | 221 | 524 |
Less: Comprehensive income (loss) attributable to noncontrolling interests | 13 | 30 | 6 |
Comprehensive income (loss) attributable to Assured Guaranty Ltd. | $ (691) | $ 191 | $ 518 |
Consolidated Statements of Co_2
Consolidated Statements of Comprehensive Income (Loss) (Parenthetical) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Statement of Comprehensive Income [Abstract] | |||
Investments with no credit impairment, tax | $ (121) | $ (31) | $ 20 |
Investments with credit impairment, tax | $ (20) | $ 2 | $ (4) |
Consolidated Statement of Share
Consolidated Statement of Shareholders' Equity - USD ($) $ in Millions | Total | Common Shares | Retained Earnings | Accumulated Other Comprehensive Income | Deferred Equity Compensation | Total | Nonredeemable Noncontrolling Interests |
Beginning balance (in shares) at Dec. 31, 2019 | 93,274,987 | ||||||
Beginning balance at Dec. 31, 2019 | $ 6,645 | $ 1 | $ 6,295 | $ 342 | $ 1 | $ 6,639 | $ 6 |
Increase (Decrease) in Shareholders' Equity | |||||||
Net income | 369 | 362 | 362 | 7 | |||
Dividends | (69) | (69) | (69) | ||||
Common share repurchases (in shares) | (15,787,804) | ||||||
Common shares repurchases | (446) | (446) | (446) | ||||
Share-based compensation and other (in shares) | 445,490 | ||||||
Share-based compensation | 16 | 16 | 16 | ||||
Reallocation of ownership interest | 10 | 10 | |||||
Contributions | 63 | 63 | |||||
Distributions | (45) | (45) | |||||
Other comprehensive loss | 156 | 156 | 156 | ||||
Other (in shares) | (385,777) | ||||||
Other | (15) | (15) | (15) | ||||
Ending balance (in shares) at Dec. 31, 2020 | 77,546,896 | ||||||
Ending balance at Dec. 31, 2020 | 6,684 | $ 1 | 6,143 | 498 | 1 | 6,643 | 41 |
Increase (Decrease) in Shareholders' Equity | |||||||
Net income | 418 | 389 | 389 | 29 | |||
Dividends | (65) | (65) | (65) | ||||
Common share repurchases (in shares) | (10,519,040) | ||||||
Common shares repurchases | (496) | (496) | (496) | ||||
Share-based compensation and other (in shares) | 490,568 | ||||||
Share-based compensation | 19 | 19 | 19 | ||||
Consolidation | 89 | 89 | |||||
Contributions | 40 | 40 | |||||
Distributions | (13) | (13) | |||||
Other comprehensive loss | (198) | (198) | (198) | ||||
Ending balance (in shares) at Dec. 31, 2021 | 67,518,424 | ||||||
Ending balance at Dec. 31, 2021 | 6,478 | $ 1 | 5,990 | 300 | 1 | 6,292 | 186 |
Increase (Decrease) in Shareholders' Equity | |||||||
Net income | 138 | 124 | 124 | 14 | |||
Dividends | (64) | (64) | (64) | ||||
Common share repurchases (in shares) | (8,847,981) | ||||||
Common shares repurchases | (503) | (503) | (503) | ||||
Share-based compensation and other (in shares) | 342,597 | ||||||
Share-based compensation | 30 | 30 | 30 | ||||
Contributions | 89 | 89 | |||||
Distributions | (61) | (61) | |||||
Other comprehensive loss | (815) | (815) | (815) | ||||
Ending balance (in shares) at Dec. 31, 2022 | 59,013,040 | ||||||
Ending balance at Dec. 31, 2022 | $ 5,292 | $ 1 | $ 5,577 | $ (515) | $ 1 | $ 5,064 | $ 228 |
Consolidated Statement of Sha_2
Consolidated Statement of Shareholders' Equity (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Statement of Stockholders' Equity [Abstract] | |||
Dividends (in dollars per share) | $ 1 | $ 0.88 | $ 0.80 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash flows from operating activities: | |||
Net income (loss) | $ 137 | $ 419 | $ 368 |
Adjustments to reconcile net income to net cash flows provided by operating activities: | |||
Non-cash interest and operating expenses | 65 | 69 | 54 |
Provision (benefit) for deferred income taxes | (3) | (38) | 58 |
Net realized investment losses (gains) | 56 | (15) | (18) |
Equity in (earnings) losses of investees | 39 | (94) | (27) |
Fair value losses (gains) on trading securities | 34 | 0 | 0 |
Loss on extinguishment of debt | 0 | 175 | 0 |
Change in premiums receivable, net of premiums and commissions payable | 74 | 0 | (102) |
Change in unearned premium reserve, net | (93) | (17) | 19 |
Change in loss and loss adjustment expense reserve, net | (1,207) | (99) | (174) |
Change in current income taxes | (106) | 64 | 9 |
Change in credit derivative assets and liabilities, net | 8 | 54 | (85) |
Other | (56) | 20 | (1) |
Cash flows from consolidated investment vehicles: | |||
Purchases of securities | (3,201) | (4,957) | (2,053) |
Sales of securities | 1,513 | 2,161 | 1,156 |
Maturities and paydowns of securities | 156 | 430 | 71 |
Proceeds from (purchases of) money market funds | 6 | (6) | (108) |
Purchases to cover securities sold short | (223) | (621) | (460) |
Proceeds from securities sold short | 188 | 618 | 509 |
Other changes in consolidated investment vehicles | 134 | (100) | (69) |
Net cash flows provided by (used in) operating activities | (2,479) | (1,937) | (853) |
Fixed-maturity securities, available for sale: | |||
Purchases | (371) | (1,236) | (1,380) |
Sales | 717 | 428 | 779 |
Maturities and paydowns | 682 | 1,148 | 878 |
Short-term investments with original maturities of over three months: | |||
Purchases | (63) | 0 | (85) |
Sales | 0 | 0 | 5 |
Maturities and paydowns | 36 | 36 | 73 |
Net sales (purchases) of short-term investments with original maturities of less than three months | 439 | (410) | 430 |
Fixed-maturity securities, trading: | |||
Sales | 121 | 0 | 0 |
Maturities and paydowns | 87 | 0 | 0 |
Purchases of other invested assets | (25) | (79) | (19) |
Sales and return of capital of other invested assets | 36 | 80 | 23 |
Paydowns on financial guaranty variable interest entities’ assets | 84 | 62 | 83 |
Other | (3) | (6) | 1 |
Net cash flows provided by (used in) investing activities | 1,740 | 23 | 788 |
Cash flows from financing activities: | |||
Dividends paid | (64) | (66) | (69) |
Repurchases of common shares | (500) | (496) | (446) |
Net paydowns of financial guaranty variable interest entities’ liabilities | (99) | (53) | (77) |
Net proceeds from issuance of debt | 0 | 889 | 0 |
Redemptions and purchases of debt, including make-whole payment | (2) | (620) | (22) |
Other | (6) | 26 | (10) |
Cash flows from consolidated investment vehicles: | |||
Proceeds from issuance of collateralized loan obligations | 1,372 | 3,276 | 738 |
Repayment of collateralized loan obligations | (373) | (824) | 0 |
Proceeds from issuance of warehouse financing debt | 991 | 1,338 | 234 |
Repayment of warehouse financing debt | (796) | (1,537) | (210) |
Contributions from noncontrolling interests to consolidated investment vehicles | 74 | 39 | 88 |
Distributions to noncontrolling interests from consolidated investment vehicles | (26) | (12) | (43) |
Proceeds from (Repayments of) Lines of Credit | 41 | 0 | 0 |
Net cash flows provided by (used in) financing activities | 612 | 1,960 | 183 |
Effect of foreign exchange rate changes | (8) | (2) | (3) |
Increase (decrease) in cash and cash equivalents and restricted cash | (135) | 44 | 115 |
Cash and cash equivalents and restricted cash at beginning of period | 342 | 298 | 183 |
Cash and cash equivalents and restricted cash at end of period | 207 | 342 | 298 |
Supplemental cash flow information | |||
Income taxes paid (received) | 105 | 24 | (25) |
Interest paid on long-term debt | 77 | 80 | 81 |
Supplemental disclosure of non-cash activities: | |||
Fixed-maturity securities, available-for-sale, received as salvage | 986 | 0 | 0 |
Fixed-maturity securities, available-for-sale, ceded to a reinsurer | 27 | 0 | 0 |
Fixed-maturity securities, trading, received as salvage | 549 | 0 | 0 |
Fixed-maturity securities, trading, ceded to a reinsurer | 6 | 0 | 0 |
Debt securities of financial guaranty variable interest entities received as salvage | 234 | 0 | 0 |
Contributions from noncontrolling interests | 36 | 1 | 0 |
Distributions to noncontrolling interests | 56 | 1 | 0 |
Reconciliation of cash and cash equivalents and restricted cash to the consolidated balance sheets: | |||
Cash | 107 | 120 | 162 |
Restricted cash (included in other assets) | 1 | 2 | 2 |
Cash of Financial Guaranty Variable Interest Entities | 2 | 0 | 0 |
Cash and cash equivalents of consolidated investment vehicles (see Note 8) | 97 | 220 | 134 |
Cash and cash equivalents and restricted cash at the end of period | $ 207 | $ 342 | $ 298 |
Business and Basis of Presentat
Business and Basis of Presentation | 12 Months Ended |
Dec. 31, 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 non-U.S. 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 serves as investment advisor to collateralized loan obligations (CLOs) and opportunity 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. The Company is exploring alternative accretive growth strategies for its asset management business, with the goal of maximizing the value of this business for its stakeholders. Discussions regarding alternative accretive growth strategies are ongoing, and there can be no assurances that such discussions will result in any transaction. The Company is not yet able to estimate the impact that any transaction being discussed would have on its financial statements. Basis of Presentation The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). In management’s opinion, all material adjustments necessary for a fair statement of the financial condition, results of operations and cash flows of the Company, including its consolidated variable interest entities (VIEs), are reflected in the periods presented and are of a normal, recurring nature. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, and its consolidated financial guaranty VIEs (FG VIEs) and consolidated investment vehicles (CIVs). See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. The Company’s principal insurance subsidiaries are: • Assured Guaranty Municipal Corp. (AGM), domiciled in New York; • Assured Guaranty Corp. (AGC), domiciled in Maryland; • Assured Guaranty UK Limited (AGUK), organized in the U.K.; • Assured Guaranty (Europe) SA (AGE), organized in France; • Assured Guaranty Re Ltd. (AG Re), domiciled in Bermuda; and • Assured Guaranty Re Overseas Ltd. (AGRO), domiciled in Bermuda. The Company’s principal asset management subsidiaries are: • Assured Investment Management LLC, organized in Delaware; • Assured Investment Management (London) LLP, organized in the U.K.; and • Assured Healthcare Partners LLC, organized in Delaware. AGM, AGC and, until its merger with AGM on April 1, 2021, Municipal Assurance Corp. (MAC), (collectively, the U.S. Insurance Subsidiaries), jointly own an investment subsidiary, AG Asset Strategies LLC (AGAS), which invests in funds managed by AssuredIM (AssuredIM Funds). AGL directly or indirectly owns several holding companies, two of which - Assured Guaranty US Holdings Inc. (AGUS) and Assured Guaranty Municipal Holdings Inc. (AGMH) (collectively, the U.S. Holding Companies) - have public debt outstanding. Significant Accounting Policies The Company revalues assets, liabilities, revenue and expenses denominated in non-U.S. currencies into U.S. dollars using applicable exchange rates. Gains and losses relating to transactions in foreign denominations in those subsidiaries where the functional currency is the U.S. dollar are reported in the consolidated statements of operations. Gains and losses relating to translating foreign functional currency financial statements to U.S. dollars are reported in the consolidated statements of other comprehensive income (loss) (OCI). Other accounting policies are included in the following notes to the consolidated financial statements. Note Name Note Number Segment information Note 2 Expected loss to be paid (recovered) Note 4 Contracts accounted for as insurance Note 5 Contracts accounted for as credit derivatives Note 6 Investments and cash Note 7 Financial guaranty variable interest entities and consolidated investment vehicles Note 8 Fair value measurement Note 9 Asset management fees and compensation Note 10 Goodwill and other intangible assets Note 11 Long-term debt and credit facilities Note 12 Employee benefit plans Note 13 Income taxes Note 14 Leases Note 17 Commitments and contingencies Note 18 Shareholders' equity Note 19 Earnings per share Note 21 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 temporary 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. In January 2021, the FASB issued ASU 2021-01, Reference Rate Reform (Topic 848): Scope , to clarify the scope of relief related to ASU 2020-04. In December 2022, the FASB issued ASU 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848 , to extend the aforementioned temporary optional expedients and exceptions from December 31, 2022 to December 31, 2024. These ASUs became effective upon their issuance and may be applied for contract modifications that occur from March 12, 2020 through December 31, 2024 (the Reference Rate Transition Period). The Company adopted the optional relief afforded by 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, 2024. 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 guaranties associated with deposit (or account balance) contracts, • simplify the amortization of deferred acquisition costs (DAC), and • improve the effectiveness of the required disclosures. In November 2020, the FASB deferred the effective date of this ASU to January 1, 2023, with early adoption permitted. This ASU does not affect the Company’s financial guaranty insurance contracts. The Company assessed the impact for certain specialty (non-financial guaranty) insurance contracts and determined that there will be no impact to the Company’s consolidated financial statements upon the adoption of this ASU on January 1, 2023. |
Segment Information
Segment Information | 12 Months Ended |
Dec. 31, 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 segment results 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 assess performance and allocate resources based on assets. 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 Years Ended December 31, 2022 2021 2020 Insurance Asset Management Insurance Asset Management Insurance Asset Management (in millions) Third-party revenues $ 748 $ 78 $ 724 $ 73 $ 864 $ 61 Intersegment revenues 9 34 9 10 10 5 Segment revenues 757 112 733 83 874 66 Segment expenses 259 119 33 108 446 128 Segment equity in earnings (losses) of investees (51) — 144 — 61 — Less: Segment provision (benefit) for income taxes 34 (1) 122 (6) 60 (12) Segment adjusted operating income (loss) $ 413 $ (6) $ 722 $ (19) $ 429 $ (50) Selected components of segment adjusted operating income: Net investment income $ 278 $ — $ 280 $ — $ 310 $ — Interest expense 1 1 — 1 — — Non-cash compensation and operating expenses (1) 41 18 56 17 39 31 _____________________ (1) Consists of amortization of DAC and intangible assets, depreciation, share-based compensation (see Note 13, Employee Benefit Plans), write-off of long-lived intangible assets related to MAC licenses (see Note 11, Goodwill and Other Intangible Assets), and lease impairment (see Note 17, Leases). The tables below present a reconciliation of significant components of segment information to the comparable consolidated amounts. Reconciliation of Segment Information to Consolidated Information Year Ended December 31, 2022 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings (Losses) of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 757 $ 259 $ (51) $ 34 $ — $ 413 Asset Management 112 119 — (1) — (6) Total segments 869 378 (51) 33 — 407 Corporate division 4 143 — (5) — (134) Other 14 19 12 — 13 (6) Subtotal 887 540 (39) 28 13 267 Reconciling items: Realized gains (losses) on investments (56) — — — — (56) Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (22) (4) — — — (18) Fair value gains (losses) on CCS 24 — — — — 24 Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (110) — — — — (110) Tax effect — — — (17) — 17 Total consolidated $ 723 $ 536 $ (39) $ 11 $ 13 $ 124 Reconciliation of Segment Information to Consolidated Information Year Ended December 31, 2021 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings (Losses) of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 733 $ 33 $ 144 $ 122 $ — $ 722 Asset Management 83 108 — (6) — (19) Total segments 816 141 144 116 — 703 Corporate division 2 312 — (47) — (263) Other 142 26 (50) 6 30 30 Subtotal 960 479 94 75 30 470 Reconciling items: Realized gains (losses) on investments 15 — — — — 15 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (78) (14) — — — (64) Fair value gains (losses) on CCS (28) — — — — (28) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (21) — — — — (21) Tax effect — — — (17) — 17 Total consolidated $ 848 $ 465 $ 94 $ 58 $ 30 $ 389 Reconciliation of Segment Information to Consolidated Information Year Ended December 31, 2020 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings (Losses) of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 874 $ 446 $ 61 $ 60 $ — $ 429 Asset Management 66 128 — (12) — (50) Total segments 940 574 61 48 — 379 Corporate division 9 132 (6) (18) — (111) Other 40 21 (28) (3) 6 (12) Subtotal 989 727 27 27 6 256 Reconciling items: Realized gains (losses) on investments 18 — — — — 18 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives 67 2 — — — 65 Fair value gains (losses) on CCS (1) — — — — (1) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves 42 — — — — 42 Tax effect — — — 18 — (18) Total consolidated $ 1,115 $ 729 $ 27 $ 45 $ 6 $ 362 Supplemental Information Year Ended December 31, 2022 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 497 $ 278 $ 12 $ 14 $ 232 Asset Management — — — — 118 Total segments 497 278 12 14 350 Corporate division — 4 — — 54 Other (3) (13) 8 — 21 Subtotal 494 269 20 14 425 Reconciling items: Credit derivative impairment (recoveries) (2) — — (4) — — Total consolidated $ 494 $ 269 $ 16 $ 14 $ 425 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $41 million for Insurance segment, $18 million for Asset Management segment, and $13 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. Supplemental Information Year Ended December 31, 2021 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 418 $ 280 $ (221) $ 14 $ 240 Asset Management — — — — 107 Total segments 418 280 (221) 14 347 Corporate division — 2 — — 41 Other (4) (13) 15 — 21 Subtotal 414 269 (206) 14 409 Reconciling items: Credit derivative impairment (recoveries) (2) — — (14) — — Total consolidated $ 414 $ 269 $ (220) $ 14 $ 409 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $56 million for Insurance segment, $17 million for Asset Management segment, and $5 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. Supplemental Information Year Ended December 31, 2020 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 490 $ 310 $ 204 $ 16 $ 226 Asset Management — — — — 128 Total segments 490 310 204 16 354 Corporate division — 2 — — 37 Other (5) (15) (3) — 34 Subtotal 485 297 201 16 425 Reconciling items: Credit derivative impairment (recoveries) (2) — — 2 — — Total consolidated $ 485 $ 297 $ 203 $ 16 $ 425 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $39 million for Insurance segment, $31 million for Asset Management segment, and $6 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. The table below summarizes revenues for the operating segments, Corporate division and Other category by country of domicile for each period indicated, based on the country of domicile of the Company’s subsidiaries that generated the revenues. Segment, Corporate Division and Other Revenues by Country of Domicile Year Ended December 31, Country of Domicile 2022 2021 2020 (in millions) U.S. $ 727 $ 762 $ 788 Bermuda 129 153 155 U.K. 32 42 38 Other (1) 3 8 Total $ 887 $ 960 $ 989 |
Outstanding Exposure
Outstanding Exposure | 12 Months Ended |
Dec. 31, 2022 | |
Outstanding Exposure Disclosure | |
Outstanding Exposure | Outstanding Exposure The Company sells credit protection primarily in financial guaranty insurance form. The Company may also sell credit protection by issuing policies that guarantee 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 by its U.S. Insurance Subsidiaries. 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 business that is consistent with its risk profile and benefits from its underwriting experience and other types of financial guaranties. Significant Risk Management Activities The Portfolio Risk Management Committee, which includes members of senior management and senior risk and surveillance officers, is responsible for enterprise risk management for the Insurance segment and focuses on measuring and managing insurance credit, market and liquidity risk for the Company. This committee establishes company-wide credit policy for the Company’s direct and assumed insurance business. It implements specific insurance underwriting procedures and limits for the Company and allocates underwriting capacity among the Company’s insurance subsidiaries. All insurance transactions in new asset classes or new jurisdictions must be approved by this committee. The U.S., AG Re and AGRO risk management committees and AGUK’s and AGE’s (the European Insurance Subsidiaries) surveillance committees conduct in-depth reviews of the insured portfolios of the relevant subsidiaries, focusing on varying portions of the portfolio at each meeting. They review and may revise internal ratings assigned to the insured transactions and review sector reports, monthly product line surveillance reports and compliance reports. All transactions in the insured portfolio are assigned internal credit ratings by the relevant underwriting committee at inception, and such credit ratings are updated by the relevant risk management or surveillance committee based on changes in transaction credit quality. As part of the surveillance process, the Company monitors trends and changes in transaction credit quality, and recommends such remedial actions as may be necessary or appropriate. The Company also develops strategies to enforce its contractual rights and remedies and to mitigate its losses, engage in negotiation discussions with transaction participants and, when necessary, manage the Company’s litigation proceedings. Surveillance Categories The Company segregates its insured portfolio into investment grade and BIG surveillance categories to facilitate the appropriate allocation of resources to monitoring and loss mitigation efforts and to aid in establishing the appropriate cycle for periodic review of each exposure. BIG exposures include all exposures with internal credit ratings below BBB-. The Company’s internal credit ratings are based on internal assessments of the likelihood of default and loss severity in the event of default. Internal credit ratings are expressed on a ratings scale similar to that used by the rating agencies and generally reflect an approach similar to that employed by the rating agencies, except that the Company’s internal credit ratings focus on future performance rather than lifetime performance. The Company classifies those portions of risks benefiting from reimbursement obligations collateralized by eligible assets held in trust in acceptable reimbursement structures as being the higher of AA or their current internal rating. Unless otherwise noted, ratings disclosed herein on the Company’s insured portfolio reflect its internal ratings. The Company monitors its insured portfolio and refreshes its internal credit ratings on individual exposures in quarterly, semi-annual or annual cycles based on the Company’s view of the exposure’s credit quality, loss potential, volatility and sector. Ratings on exposures in sectors identified as under the most stress or with the most potential volatility are reviewed every quarter, although the Company may also review a rating in response to developments impacting a credit when a ratings review is not scheduled. For assumed exposures, the Company may use the ceding company’s credit ratings of transactions where it is impractical for it to assign its own rating. Exposures identified as BIG are subjected to further review to determine the probability of a loss. See Note 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 pre-tax book 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 the 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 December 31, 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 December 31, 2022 As of December 31, 2021 Gross Net Gross Net (in millions) Debt Service Public finance $ 359,899 $ 359,703 $ 357,694 $ 357,314 Structured finance 10,273 10,248 10,076 10,046 Total financial guaranty $ 370,172 $ 369,951 $ 367,770 $ 367,360 Par Outstanding Public finance $ 224,254 $ 224,099 $ 227,507 $ 227,164 Structured finance 9,184 9,159 9,258 9,228 Total financial guaranty $ 233,438 $ 233,258 $ 236,765 $ 236,392 In addition to amounts shown in the table above, the Company had outstanding commitments to provide guaranties of $220 million of public finance gross par and $792 million of structured finance direct gross par as of December 31, 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 December 31, 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 $ 222 0.1 % $ 1,967 4.4 % $ 926 11.2 % $ 469 50.4 % $ 3,584 1.5 % AA 16,241 9.1 3,497 7.9 4,633 56.3 12 1.3 24,383 10.5 A 96,807 53.9 9,271 20.9 1,075 13.1 340 36.5 107,493 46.1 BBB 62,570 34.8 28,747 64.6 479 5.8 110 11.8 91,906 39.4 BIG 3,796 2.1 981 2.2 1,115 13.6 — — 5,892 2.5 Total net par outstanding $ 179,636 100.0 % $ 44,463 100.0 % $ 8,228 100.0 % $ 931 100.0 % $ 233,258 100.0 % 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 % The following tables present net par outstanding by sector for the financial guaranty portfolio. Financial Guaranty Portfolio Net Par Outstanding by Sector As of December 31, Sector 2022 2021 (in millions) Public finance: U.S. public finance: General obligation $ 71,868 $ 72,896 Tax backed 33,752 35,726 Municipal utilities 26,436 25,556 Transportation 19,688 17,241 Healthcare 11,304 9,588 Higher education 7,137 6,927 Infrastructure finance 6,955 6,329 Housing revenue 959 1,000 Investor-owned utilities 332 611 Renewable energy 180 193 Other public finance 1,025 1,152 Total U.S. public finance 179,636 177,219 Non-U.S public finance: Regulated utilities 17,855 18,814 Infrastructure finance 13,915 16,475 Sovereign and sub-sovereign 9,526 10,886 Renewable energy 2,086 2,398 Pooled infrastructure 1,081 1,372 Total non-U.S. public finance 44,463 49,945 Total public finance 224,099 227,164 Structured finance: U.S. structured finance: Life insurance transactions 3,879 3,431 RMBS 1,956 2,391 Pooled corporate obligations 625 534 Financial products 453 770 Consumer receivables 437 583 Other structured finance 878 665 Total U.S. structured finance 8,228 8,374 Non-U.S. structured finance: Pooled corporate obligations 344 351 RMBS 263 325 Other structured finance 324 178 Total non-U.S structured finance 931 854 Total structured finance 9,159 9,228 Total net par outstanding $ 233,258 $ 236,392 Financial Guaranty Portfolio Expected Amortization of Net Par Outstanding As of December 31, 2022 Public Finance Structured Finance Total (in millions) 0 to 5 years $ 47,218 $ 3,093 $ 50,311 5 to 10 years 47,902 2,796 50,698 10 to 15 years 41,695 1,737 43,432 15 to 20 years 31,597 991 32,588 20 years and above 55,687 542 56,229 Total net par outstanding $ 224,099 $ 9,159 $ 233,258 Actual amortization differs from expected maturities because borrowers may have the right to call or prepay certain obligations, terminations and because of management’s assumptions on structured finance amortization. The expected maturities of structured finance obligations are, in general, considerably shorter than the contractual maturities for such obligations. Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 31, 2022 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,364 $ 108 $ 1,324 $ 3,796 $ 179,636 Non-U.S. public finance 981 — — 981 44,463 Public finance 3,345 108 1,324 4,777 224,099 Structured finance: U.S. RMBS 18 39 953 1,010 1,956 Other structured finance — 34 71 105 7,203 Structured finance 18 73 1,024 1,115 9,159 Total $ 3,363 $ 181 $ 2,348 $ 5,892 $ 233,258 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 December 31, 2022 Net Par Outstanding Number of Risks (2) Description Financial Guaranty Credit Total Financial Guaranty Credit Total (dollars in millions) BIG: Category 1 $ 3,357 $ 6 $ 3,363 122 1 123 Category 2 171 10 181 14 2 16 Category 3 2,307 41 2,348 111 10 121 Total BIG $ 5,835 $ 57 $ 5,892 247 13 260 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. When the Company insures an obligation, it assigns the obligation to a geographic location or locations based on its view of the geographic location of the risk. The Company seeks to maintain a diversified portfolio of insured obligations designed to spread its risk across a number of geographic areas. Financial Guaranty Portfolio Geographic Distribution of Net Par Outstanding As of December 31, 2022 Number of Risks Net Par Outstanding Percent of Total Net Par Outstanding (dollars in millions) U.S.: U.S. Public finance: California 1,256 $ 36,818 15.8 % Texas 1,026 18,973 8.1 Pennsylvania 543 16,142 6.9 New York 584 15,580 6.7 Illinois 498 12,824 5.5 New Jersey 265 9,610 4.1 Florida 211 7,790 3.4 Louisiana 129 4,979 2.1 Michigan 235 4,943 2.1 Alabama 240 3,763 1.6 Other 1,883 48,214 20.7 Total U.S. public finance 6,870 179,636 77.0 U.S. Structured finance (multiple states) 371 8,228 3.5 Total U.S. 7,241 187,864 80.5 Non-U.S.: United Kingdom 280 34,903 15.0 Canada 5 1,728 0.7 Spain 7 1,575 0.7 Australia 6 1,506 0.6 France 7 1,437 0.7 Other 37 4,245 1.8 Total non-U.S. 342 45,394 19.5 Total 7,583 $ 233,258 100.0 % Exposure to Puerto Rico The Company had insured exposure to obligations of various authorities and public corporations of the Commonwealth of Puerto Rico (Puerto Rico or the Commonwealth) as well as its general obligation bonds aggregating $1.4 billion net par outstanding as of December 31, 2022, a decrease of $2.2 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), which have made their debt service payments on time. 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, in 2022 a substantial portion of the Company’s Puerto Rico exposure was resolved in accordance with four 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). • 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). • On October 12, 2022, the Federal District Court of Puerto Rico, acting under Title III of PROMESA, entered an order and judgment confirming the Modified Fifth Amended Title III Plan of Adjustment (HTA Plan) of the Puerto Rico Highways and Transportation Authority (PRHTA). As a result of the consummation on March 15, 2022, of each of the GO/PBA Plan, PRCCDA Modification and PRIFA Modification and the consummation on December 6, 2022 of the HTA Plan (together, the 2022 Puerto Rico Resolutions), including claim payments made by the Company under the 2022 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, PBA and PRHTA was greatly reduced. The effect on the consolidated financial statements of the 2022 Puerto Rico Resolutions was a reduction in net par outstanding of $2.0 billion. The Company received cash, new general obligation bonds (under the GO/PBA Plan) (New GO Bonds) and new bonds backed by toll revenues (under the HTA Plan) (Toll Bonds, and together with the New GO Bonds, New Recovery Bonds) and contingent value instruments (CVIs). The New Recovery Bonds and CVIs were reported as either available-for-sale or trading fixed-maturities in either the investment portfolio or FG VIE assets. The portion of the assets that are reported in FG VIE assets relate to the portion of the GO, PBA and PRHTA insured obligations for which bondholders elected to receive custody receipts as described below. 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 2022 Puerto Rico Resolutions 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 Par and Debt Service Schedules All Puerto Rico exposures are internally rated BIG. The following tables show the Company’s insured exposure to general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. Puerto Rico Gross Par and Gross Debt Service Outstanding Gross Par Outstanding Gross Debt Service Outstanding As of December 31, As of December 31, 2022 2021 2022 2021 (in millions) Exposure to Puerto Rico $ 1,378 $ 3,629 $ 1,899 $ 5,322 Puerto Rico Net Par Outstanding As of December 31, 2022 2021 (in millions) Resolved Puerto Rico Exposures PRHTA (Transportation revenue) (1) $ 298 $ 799 PRHTA (Highway revenue) (1) 182 457 Commonwealth of Puerto Rico - GO (2) 25 1,097 PBA (2) 4 122 PRCCDA (3) — 152 PRIFA (3) — 16 Total Resolved 509 2,643 Other Puerto Rico Exposures PREPA (4) 720 748 MFA (5) 131 179 PRASA and U of PR (5) 1 2 Total Other 852 929 Total net exposure to Puerto Rico $ 1,361 $ 3,572 ____________________ (1) Resolved on December 6, 2022, pursuant to the Modified Fifth Amended Title III Plan of Adjustment of the Puerto Rico Highways and Transportation Authority. (2) Resolved on March 15, 2022, pursuant to the Modified Eighth Amended Title III 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. (3) Modified on March 15, 2022, pursuant to an order of the Federal District Court of Puerto Rico acting under Title VI of PROMESA. (4) This exposure is in payment default. (5) All debt service on these insured exposures have been paid to date without any insurance claim being made on the Company. The following table shows the scheduled amortization of the insured general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. The Company guarantees payment of interest and principal when those amounts are scheduled to be paid and cannot be required to pay on an accelerated basis, although in certain circumstances it may elect to do so. In the event that obligors default on their obligations, the Company would only be required to pay the shortfall between the debt service due in any given period and the amount paid by the obligors. Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of December 31, 2022 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization (in millions) 2023 (January 1 - March 31) $ — $ 30 2023 (April 1 - June 30) — 3 2023 (July 1 - September 30) 125 156 2023 (October 1 - December 31) — 3 Subtotal 2023 125 192 2024 112 173 2025 96 150 2026 152 202 2027 124 169 2028-2032 378 529 2033-2037 241 312 2038-2042 133 151 Total $ 1,361 $ 1,878 PREPA As of December 31, 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 January 26, 2023 extending the term to April 28, 2023. On September 29, 2022, Judge Swain ordered the FOMB to file a plan of adjustment and disclosure statement by December 1, 2022 and set a schedule for litigating bondholders’ lien status. After receiving an extension from Judge Swain, the FOMB initially filed a plan of adjustment and disclosure statement for PREPA with the Federal District Court of Puerto Rico on December 16, 2022, and filed an amended version on February 9, 2023 (FOMB PREPA Plan). The FOMB PREPA Plan would split bondholders into two groups: one that would settle litigation and agree that creditor repayment is limited to existing accounts, and another group that would continue litigating that bondholders have a right to PREPA’s future revenue collections. The FOMB PREPA Plan provides for lower recoveries to bondholders than did previous agreements the FOMB reached with bondholders. Dueling summary judgment motions were made in respect of the bondholders’ lien status by the FOMB and by the PREPA bondholders on October 24, 2022. As of February 28, 2023, the Federal District Court of Puerto Rico had not issued any decisions on the motions for summary judgment on the bondholders’ lien status. The Federal District Court of Puerto Rico approved the FOMB disclosure statement on February 28, 2023, which allows bondholder solicitation on the FOMB PREPA Plan to begin. The last revised fiscal plan for PREPA was certified by the FOMB on June 28, 2022. Puerto Rico GO and PBA As of December 31, 2022, the Company had remaining $25 million of insured net par outstanding of GO bonds and |
Expected Loss to be Paid (Recov
Expected Loss to be Paid (Recovered) | 12 Months Ended |
Dec. 31, 2022 | |
Expected Losses [Abstract] | |
Expected Loss to be Paid (Recovered) | Expected Loss to be Paid (Recovered) Accounting Policy Expected loss to be paid (recovered) is equal to the present value of expected future cash outflows for loss and LAE payments, net of: (i) inflows for expected salvage, subrogation and other recoveries; and (ii) excess spread on underlying collateral, as applicable. Cash flows are discounted at current risk-free rates. The Company updates the discount rates each quarter and reflects the effect of such changes in economic loss development. Net expected loss to be paid (recovered) is net of amounts ceded to reinsurers. The Company’s net expected loss to be paid (recovered) incorporates management’s probability weighted scenarios. Expected cash outflows and inflows are probability weighted cash flows that reflect management’s assumptions about the likelihood of all possible outcomes based on all information available to the Company. Those assumptions consider the relevant facts and circumstances and are consistent with the information tracked and monitored through the Company’s risk-management activities. Expected loss to be paid (recovered) is important in that it represents the present value of amounts that the Company expects to pay or recover in future periods for all contracts. In circumstances where the Company purchased its own insured obligations that had expected losses, and in cases where issuers of insured obligations elected or the Company and an issuer mutually agreed as part of a negotiation to deliver the underlying collateral, insured obligation or a new security to the Company, expected loss to be paid (recovered) is reduced and the asset received is prospectively accounted for under the applicable guidance for that instrument. Insured obligations with expected losses that were purchased by the Company are referred to as Loss Mitigation Securities and are recorded in the investment portfolio at fair value, excluding the value of the Company’s insurance. For Loss Mitigation Securities, the difference between the purchase price of the insured obligation and the fair value excluding the value of the Company’s insurance (on the date of acquisition) is treated as a paid loss. See Note 7, Investments and Cash, and Note 9, Fair Value Measurement. 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. In order to effectively evaluate and manage the economics and liquidity of the entire insured portfolio, management 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. 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. This note provides information regarding expected claim payments to be made and/or recovered under all contracts in the insured portfolio. 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. Changes over a reporting period in the Company’s loss estimates for public finance 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 and general obligation 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. Changes to estimates of net expected loss to be paid (recovered) and net economic loss development (benefit) over a reporting period may be attributable to a number of interrelated factors such as changes in discount rates, improvement or deterioration of transaction performance, charge-offs, loss mitigation activity, changes to projected default curves, severity rates, and dispute resolution. Actual losses will ultimately depend on future events, transaction performance or other factors that are difficult to predict. As a result, the Company’s current projections of losses may be subject to considerable volatility and may not reflect the Company’s ultimate claims paid. In some instances, the terms of the Company’s policy or the terms of certain workout orders and resolutions give it the option to pay principal losses that have been recognized in the transaction but which it is not yet required to pay, thereby reducing the amount of guaranteed interest due in the future. The Company has sometimes exercised this option, which uses cash but reduces projected future losses. Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) by Accounting Model Net Expected Loss to be Paid (Recovered) Net Economic Loss Development (Benefit) As of December 31, Year Ended December 31, Accounting Model 2022 2021 2022 2021 2020 (in millions) Insurance (see Note 5) $ 205 $ 364 $ (112) $ (281) $ 142 FG VIEs (see Note 8) 314 (1) 42 (17) (20) 1 Credit derivatives (see Note 6) 3 5 4 14 2 Total $ 522 $ 411 $ (125) $ (287) $ 145 ____________________ (1) The increase in expected loss to be paid for FG VIEs primarily relates to trusts established as part of the 2022 Puerto Rico Resolutions (Puerto Rico Trusts) that were consolidated as a result of the 2022 Puerto Rico Resolutions. Prior to the 2022 Puerto Rico Resolutions, all Puerto Rico Exposures were accounted for as insurance. 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 3.82% to 4.69% with a weighted average of 4.08% as of December 31, 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 98.5% and 97.2% of the total as of December 31, 2022 and December 31, 2021, respectively. Net Expected Loss to be Paid (Recovered) Roll Forward Year Ended December 31, 2022 2021 2020 (in millions) Net expected loss to be paid (recovered), beginning of period $ 411 $ 529 $ 737 Economic loss development (benefit) due to: Accretion of discount 16 7 9 Changes in discount rates (115) (33) 13 Changes in timing and assumptions (26) (261) 123 Total economic loss development (benefit) (125) (287) 145 Net (paid) recovered losses (1) 236 169 (353) Net expected loss to be paid (recovered), end of period $ 522 $ 411 $ 529 ____________________ (1) Net (paid) recovered losses in 2022 include the net amounts received pursuant to the Puerto Rico Resolutions, as described in Note 3, Outstanding Exposure. Net Expected Loss to be Paid (Recovered) Roll Forward by Sector Year Ended December 31, 2022 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2021 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2022 (in millions) Public finance: U.S. public finance $ 197 $ 19 $ 187 $ 403 Non-U.S. public finance 12 (2) (1) 9 Public finance 209 17 186 412 Structured finance: U.S. RMBS 150 (143) 59 66 Other structured finance 52 1 (9) 44 Structured finance 202 (142) 50 110 Total $ 411 $ (125) $ 236 $ 522 Year Ended December 31, 2021 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2020 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2021 (in millions) Public finance: U.S. public finance $ 305 $ (182) $ 74 $ 197 Non-U.S. public finance 36 (22) (2) 12 Public finance 341 (204) 72 209 Structured finance: U.S. RMBS 148 (100) 102 150 Other structured finance 40 17 (5) 52 Structured finance 188 (83) 97 202 Total $ 529 $ (287) $ 169 $ 411 Year Ended December 31, 2020 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2019 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2020 (in millions) Public finance: U.S. public finance $ 531 $ 190 $ (416) $ 305 Non-U.S. public finance 23 13 — 36 Public finance 554 203 (416) 341 Structured finance: U.S. RMBS 146 (71) 73 148 Other structured finance 37 13 (10) 40 Structured finance 183 (58) 63 188 Total $ 737 $ 145 $ (353) $ 529 ____________________ (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) net LAE paid of $33 million, $36 million and $25 million for the years ended December 31, 2022, 2021 and 2020, respectively; and (b) net expected LAE to be paid of $11 million as of December 31, 2022 and $26 million as of December 31, 2021. 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 recoveries/payables to the projected performance of the collateral over time. The resulting projected claim payments or reimbursements are then discounted using risk-free rates. The further behind mortgage borrowers fall in making payments, the more likely it is that they will default. The rate at which borrowers from a particular delinquency category (number of monthly payments behind) eventually default is referred to as the “liquidation rate.” The Company derives its liquidation rate assumptions from observed roll rates, which are the rates at which loans progress from one delinquency category to the next and eventually to default and liquidation. The Company applies liquidation rates to the mortgage loan collateral in each delinquency category and makes certain timing assumptions to project near-term mortgage collateral defaults from loans that are currently delinquent. Mortgage borrowers that are not behind on payments and have not fallen two or more payments behind in the last two years (generally considered performing borrowers) have demonstrated an ability and willingness to pay through challenging economic periods, and as a result are viewed as less likely to default than delinquent borrowers or those that have experienced delinquency recently. Performing borrowers that eventually default will also need to progress through delinquency categories before any defaults occur. The Company projects how many of the currently performing loans will default and when they will default, by first converting the projected near term defaults of delinquent borrowers derived from liquidation rates into a vector of conditional default rates (CDR), then projecting how the CDR will develop over time. Loans that are defaulted pursuant to the CDR after the near-term liquidation of currently delinquent loans represent defaults of currently performing loans and projected re-performing loans. A CDR is the outstanding principal amount of defaulted loans liquidated in the current month divided by the remaining outstanding amount of the whole pool of loans (collateral pool balance). The collateral pool balance decreases over time as a result of scheduled principal payments, partial and whole principal prepayments, and defaults. In order to derive collateral pool losses from the collateral pool defaults it has projected, the Company applies a loss severity. The loss severity is the amount of loss the transaction experiences on a defaulted loan after the application of net proceeds from the disposal of the underlying property. The Company projects loss severities by sector and vintage based on its experience to date. The Company continues to update its evaluation of these loss severities as new information becomes available. The Company projects the overall future cash flow from a collateral pool by adjusting the payment stream from the principal and interest contractually due on the underlying mortgages for the collateral losses it projects as described above; assumed voluntary prepayments; and servicer advances. The Company then applies an individual model of the structure of the transaction to the projected future cash flow from that transaction’s collateral pool to project the Company’s future claims and claim reimbursements for that individual transaction. Finally, the projected claims and reimbursements are discounted using risk-free rates. The Company runs several sets of assumptions regarding mortgage collateral performance, or scenarios, and probability weights them. Each period the Company makes a judgment as to whether to change the assumptions it uses to make RMBS loss projections based on its observation during the period of the performance of its insured transactions (including early-stage delinquencies, late-stage delinquencies and loss severity) as well as the residential property market and economy in general, and, to the extent it observes changes, it makes a judgment as to whether those changes are normal fluctuations or part of a trend. The assumptions that the Company uses to project RMBS losses are shown in the sections below. Net Economic Loss Development (Benefit) U.S. RMBS Year Ended December 31, 2022 2021 2020 (in millions) First lien U.S. RMBS $ (36) $ — $ (45) Second lien U.S. RMBS (107) (100) (26) 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 December 31, 2022 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 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 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 December 31, 2022 As of December 31, 2021 Range Weighted Average Range Weighted Average Alt-A and Prime: Plateau CDR 1.6 % – 11.5% 5.1% 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 2.0 % – 7.7% 4.3% 1.8 % – 11.9% 5.6% Final CDR 0.1 % – 0.4% 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 2.7 % – 9.7% 5.6% 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 December 31, 2022 and December 31, 2021. 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 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 December 31, 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 the third quarter of 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 case 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 of 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. Approximately 80% of the modified loans had reset to fully amortizing by the end of 2022, and most of the remaining loans will reset over the next several years. 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 December 31, 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 $37 million. If the recovery rate increases to 40%, expected loss to be paid would decrease from current projections by approximately $37 million. The rate at which the principal amount of loans is prepaid may impact both the amount of losses projected as well as the amount of excess spread. In the base scenario, an average CPR (based on experience of the past year) is assumed to continue until the end of the plateau before gradually increasing to the final CPR over the |
Contracts Accounted for as Insu
Contracts Accounted for as Insurance | 12 Months Ended |
Dec. 31, 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 Accounting Policy Financial guaranty contracts that meet the scope exception under derivative accounting guidance are subject to industry specific guidance for financial guaranty insurance. The accounting for contracts that fall under the financial guaranty insurance definition is consistent whether contracts are written on a direct basis, assumed from another financial guarantor, ceded to another insurer, or acquired in a business combination. Premiums receivable represent the present value of contractual or expected future premium collections discounted using risk-free rates. Unearned premium reserve represents deferred premium revenue less claim payments made (net of recoveries received) that have not yet been recognized in the statement of operations (contra-paid). The following discussion relates to the deferred premium revenue component of the unearned premium reserve, while the contra-paid is discussed below under “Losses and Recoveries”. The amount of deferred premium revenue at contract inception is determined as follows: • For premiums received upfront on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is equal to the amount of cash received. Upfront premiums typically relate to public finance transactions. • For premiums received in installments on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is the present value (discounted at risk free rates) of either: (i) contractual premiums due; or (ii) in cases where the underlying collateral is composed of homogeneous pools of assets, the expected premiums to be collected over the life of the contract. To be considered a homogeneous pool of assets, prepayments must be contractually allowable, the amount of prepayments must be probable, and the timing and amount of prepayments must be reasonably estimable. Installment premiums typically relate to structured finance and infrastructure transactions, where the insurance premium rate is determined at the inception of the contract but the insured par is subject to prepayment throughout the life of the transaction. • For financial guaranty insurance contracts acquired in a business combination, deferred premium revenue is equal to the fair value of the Company’s stand-ready obligation portion of the insurance contract at the date of acquisition based on what a hypothetical similarly rated financial guaranty insurer would have charged for the contract at that date and not the actual cash flows under the insurance contract. The amount of deferred premium revenue may differ significantly from cash collections primarily due to fair value adjustments recorded in connection with a business combination. When the Company adjusts prepayment assumptions or expected premium collections for obligations backed by homogeneous pools of assets, an adjustment is recorded to the deferred premium revenue, with a corresponding adjustment to premiums receivable. Premiums receivable are discounted at the risk-free rate at inception and such discount rate is updated only when changes to prepayment assumptions are made that change the expected date of final maturity. Accretion of the discount on premiums receivable is reported in “net earned premiums”. The Company recognizes deferred premium revenue as earned premium over the contractual period or expected period of the contract in proportion to the amount of insurance protection provided. As premium revenue is recognized, a corresponding decrease to the deferred premium revenue is recorded. The amount of insurance protection provided is a function of the insured par amount outstanding. Accordingly, the proportionate share of premium revenue recognized in a given reporting period is a constant rate calculated based on the relationship between the insured par amounts outstanding in the reporting period compared with the sum of each of the insured par amounts outstanding for all periods. When an insured financial obligation is retired before its maturity, the financial guaranty insurance contract is extinguished, and any nonrefundable deferred premium revenue related to that contract is accelerated and recognized as premium revenue. The Company assesses the need for an allowance for credit loss on premiums receivables each reporting period. For assumed reinsurance contracts, net earned premiums reported in the consolidated statements of operations are calculated based upon data received from ceding companies; however, some ceding companies report premium data between 30 and 90 days after the end of the reporting period. The Company estimates net earned premiums for the lag period. Differences between such estimates and actual amounts are recorded in the period in which the actual amounts are determined. When installment premiums are related to assumed reinsurance contracts, the Company assesses the credit quality and available liquidity of the ceding companies and the impact of any potential regulatory constraints to determine the collectability of such amounts. Ceded unearned premium reserve is recorded as an asset. Direct, assumed and ceded earned premiums are presented together as net earned premiums in the statement of operations. Any premiums related to FG VIEs are eliminated upon consolidation. Insurance Contracts’ Premium Information Net Earned Premiums Year Ended December 31, 2022 2021 2020 (in millions) Financial guaranty insurance: Scheduled net earned premiums $ 287 $ 322 $ 334 Accelerations from refundings and terminations (1) 179 59 129 Accretion of discount on net premiums receivable 24 30 20 Financial guaranty insurance net earned premiums 490 411 483 Specialty net earned premiums 4 3 2 Net earned premiums $ 494 $ 414 $ 485 ____________________ (1) 2022 accelerations include $133 million related to the 2022 Puerto Rico Resolutions. See Note 3, Outstanding Exposure, for additional information. Gross Premium Receivable, Net of Commissions Payable on Assumed Business Roll Forward Year Ended December 31, 2022 2021 2020 (in millions) Beginning of year $ 1,372 $ 1,372 $ 1,286 Less: Specialty insurance premium receivable 1 1 2 Financial guaranty insurance premiums receivable 1,371 1,371 1,284 Gross written premiums on new business, net of commissions 356 369 462 Gross premiums received, net of commissions (345) (383) (426) Adjustments: Changes in the expected term and debt service assumptions 2 6 (10) Accretion of discount, net of commissions on assumed business 24 26 18 Foreign exchange gain (loss) on remeasurement (111) (22) 43 Expected recovery of premiums previously written off — 4 — Financial guaranty insurance premium receivable 1,297 1,371 1,371 Specialty insurance premium receivable 1 1 1 December 31, $ 1,298 $ 1,372 $ 1,372 Approximately 74% and 78% of gross premiums receivable, net of commissions payable at December 31, 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 December 31, 2022 Future Premiums Future Net Premiums (in millions) 2023 (January 1 - March 31) $ 43 $ 69 2023 (April 1 - June 30) 32 69 2023 (July 1 - September 30) 25 69 2023 (October 1 - December 31) 29 68 Subtotal 2023 129 275 2024 92 260 2025 90 244 2026 87 229 2027 82 214 2028-2032 348 898 2033-2037 241 608 2038-2042 167 370 After 2042 352 521 Total $ 1,588 3,619 Future accretion 293 Total future net earned premiums $ 3,912 ____________________ (1) Net of assumed commissions payable. (2) Net of reinsurance. Selected Information for Financial Guaranty Insurance Policies with Premiums Paid in Installments As of December 31, 2022 2021 (dollars in millions) Premiums receivable, net of commissions payable $ 1,297 $ 1,371 Deferred premium revenue $ 1,663 $ 1,663 Weighted-average risk-free rate used to discount premiums 1.8% 1.6% Weighted-average period of premiums receivable (in years) 12.9 12.7 Policy Acquisition Costs Accounting Policy Policy acquisition costs that are directly related and essential to successful insurance contract acquisition, as well as ceding commission income and expense on ceded and assumed reinsurance contracts, are deferred and reported net. Capitalized policy acquisition costs include the cost of underwriting personnel attributable to successful underwriting efforts. The Company conducts an annual time study, which requires the use of judgement, to estimate the amount of costs to be deferred. Ceding commission expense on assumed reinsurance contracts and ceding commission income on ceded reinsurance contracts that are associated with premiums received in installments are calculated at their contractually defined commission rates, discounted consistent with premiums receivable for all future periods, and included in DAC, with a corresponding offset to net premiums receivable or reinsurance balances payable. DAC is amortized in proportion to net earned premiums. Amortization of deferred policy acquisition costs includes the accretion of discount on ceding commission receivable and payable. When an insured obligation is retired early, the remaining related DAC is expensed at that time. Costs incurred for soliciting potential customers, market research, training, administration, unsuccessful acquisition efforts, and product development as well as overhead costs are charged to expense as incurred. Expected losses and LAE, investment income, and the remaining costs of servicing the insured or reinsured business, are considered in determining the recoverability of DAC. Policy Acquisition Costs Roll Forward of Deferred Acquisition Costs Year Ended December 31, 2022 2021 2020 (in millions) Beginning of year $ 131 $ 119 $ 111 Costs deferred during the period 30 26 24 Costs amortized during the period (14) (14) (16) December 31, $ 147 $ 131 $ 119 Losses and Recoveries Accounting Policies Loss and LAE Reserve Loss and LAE reserve reported on the balance sheet relates only to direct and assumed reinsurance contracts that are accounted for as insurance, substantially all of which are financial guaranty insurance contracts. The corresponding reserve ceded to reinsurers is reported as reinsurance recoverable on unpaid losses and reported in other assets. Any loss and LAE reserves related to FG VIEs are eliminated upon consolidation. Any expected losses to be paid (recovered) on credit derivatives are reflected in the fair value of credit derivatives. Under financial guaranty insurance accounting, the sum of unearned premium reserve and loss and LAE reserve represents the Company’s stand‑ready obligation. At contract inception, the entire stand-ready obligation is represented entirely by unearned premium reserve. Unearned premium reserve is deferred premium revenue, less claim payments (net of recoveries received) that have not yet been recognized in the statement of operations (contra-paid). A loss and LAE reserve for a financial guaranty insurance contract is recorded only to the extent, and for the amount, that expected loss to be paid plus contra-paid (total losses) exceed the deferred premium revenue, on a contract-by-contract basis. As a result, the Company has expected loss to be paid that has not yet been expensed. Such amounts will be recognized in future periods as deferred premium revenue amortizes into income. When a claim or LAE payment is made on a contract, it first reduces any recorded loss and LAE reserve. To the extent there is insufficient loss and LAE reserve on a contract, then such claim payment is recorded as contra-paid, which reduces the unearned premium reserve. The contra-paid is recognized in “loss and loss adjustment expenses (benefit)” in the consolidated statement of operations when and for the amount that total losses exceed the remaining deferred premium revenue on the insurance contract. “Loss and loss adjustment expenses (benefit)” in the consolidated statement of operations is presented net of cessions to reinsurers. Salvage and Subrogation Recoverable When the Company becomes entitled to the cash flow from the underlying collateral of, or other recoveries in relation to, an insured exposure under salvage and subrogation rights as a result of a claim payment or estimated future claim payment, it reduces the expected loss to be paid on the contract. Such reduction in expected loss to be paid can result in one of the following: (i) a reduction in the corresponding loss and LAE reserve with a benefit to the consolidated statement of operations; (ii) no effect on the consolidated balance sheet or statements of operations, if total loss is not in excess of deferred premium revenue; or (iii) the recording of a salvage asset with a benefit to the consolidated statements of operations if the transaction is in a net recovery position at the reporting date. The ceded component of salvage and subrogation recoverable is reported in “other liabilities”. Expected Loss to be Expensed Expected loss to be expensed represents past or expected future financial guaranty insurance net claim payments that have not yet been expensed. Such amounts will be expensed in future periods as deferred premium revenue amortizes into income. Expected loss to be expensed is the Company’s projection of incurred losses that will be recognized in future periods, excluding accretion of discount. Insurance Contracts’ Loss Information Loss reserves and salvage are discounted at risk-free rates for U.S. dollar denominated financial guaranty insurance obligations that ranged from 3.82% to 4.69% with a weighted average of 4.15% as of December 31, 2022, and 0.0% 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 December 31, Sector 2022 2021 (in millions) Public finance: U.S. public finance $ 71 $ 60 Non-U.S. public finance 1 1 Public finance 72 61 Structured finance: U.S. RMBS (77) (24) Other structured finance 42 42 Structured finance (35) 18 Total $ 37 $ 79 Components of Net Reserve (Salvage) As of December 31, 2022 2021 (in millions) Loss and LAE reserve $ 296 $ 869 Reinsurance recoverable on unpaid losses (1) (3) (5) Loss and LAE reserve, net 293 864 Salvage and subrogation recoverable (257) (801) Salvage and subrogation reinsurance payable (2) 1 16 Salvage and subrogation recoverable, net (256) (785) Net reserve (salvage) $ 37 $ 79 ____________________ (1) Reported in “other assets” on the consolidated balance sheets. (2) Reported in “other liabilities” on the consolidated balance sheets. The table below provides a reconciliation of net expected loss to be paid (recovered) for financial guaranty insurance contracts to net expected loss to be expensed. Expected loss to be paid (recovered) for financial guaranty insurance contracts differs from expected loss to be expensed due to: (i) the contra-paid, which represents the claim payments made and recoveries received that have not yet been recognized in the statements of operations; (ii) salvage and subrogation recoverable for transactions that are in a net recovery position where the Company has not yet received recoveries on claims previously paid (and therefore recognized in income but not yet received); and (iii) loss reserves that have already been established (and therefore expensed but not yet paid). Reconciliation of Net Expected Loss to be Paid (Recovered) to Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of December 31, 2022 (in millions) Net expected loss to be paid (recovered) - financial guaranty insurance $ 201 Contra-paid, net 23 Salvage and subrogation recoverable, net 256 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (289) Net expected loss to be expensed (present value) $ 191 The following table provides a schedule of the expected timing of net expected losses to be expensed. The amount and timing of actual loss and LAE may differ from the estimates shown below due to factors such as accelerations, commutations, changes in expected lives and updates to loss estimates. This table excludes amounts related to FG VIEs, which are eliminated in consolidation. Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of December 31, 2022 (in millions) 2023 (January 1 - March 31) $ 2 2023 (April 1 - June 30) 2 2023 (July 1 - September 30) 3 2023 (October 1 - December 31) 3 Subtotal 2023 10 2024 12 2025 13 2026 17 2027 15 2028-2032 61 2033-2037 43 2038-2042 8 After 2042 12 Net expected loss to be expensed 191 Future accretion 82 Total expected future loss and LAE $ 273 The following table presents the loss and LAE (benefit) reported in the consolidated statements of operations by sector for insurance contracts. Amounts presented are net of reinsurance. Loss and LAE (Benefit) by Sector Year Ended December 31, Sector 2022 2021 2020 (in millions) Public finance: U.S. public finance $ 125 $ (146) $ 225 Non-U.S. public finance — (9) 5 Public finance 125 (155) 230 Structured finance: U.S. RMBS (112) (69) (34) Other structured finance 3 4 7 Structured finance (109) (65) (27) Loss and LAE (benefit) $ 16 $ (220) $ 203 In each of the years presented, the primary component of U.S. public finance loss and LAE (benefit) was Puerto Rico exposures. The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2022 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 122 14 111 247 247 Remaining weighted-average period (in years) 11.3 8.7 7.6 9.8 9.8 Outstanding exposure: Par $ 3,363 $ 171 $ 2,318 $ 5,852 $ 5,835 Interest 2,177 77 894 3,148 3,144 Total (2) $ 5,540 $ 248 $ 3,212 $ 9,000 $ 8,979 Expected cash outflows (inflows) $ 128 $ 121 $ 1,771 $ 2,020 $ 2,008 Potential recoveries (3) (294) (79) (1,364) (1,737) (1,725) Subtotal (166) 42 407 283 283 Discount 35 (13) (104) (82) (82) Expected losses to be paid (recovered) $ (131) $ 29 $ 303 $ 201 $ 201 Deferred premium revenue $ 170 $ 15 $ 160 $ 345 $ 345 Reserves (salvage) $ (174) $ 21 $ 186 $ 33 $ 33 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. Reinsurance The Company assumes financial guaranty exposure (Assumed Financial Guaranty Business) from third-party insurers, primarily other monoline financial guaranty companies that currently are in runoff (Legacy Monoline Insurers). The Company’s Assumed Financial Guaranty Business represents $14.0 billion, or approximately 3.8%, of the Company’s total gross financial guaranty insured exposure of $370.2 billion, as measured by insured debt service, as of December 31, 2022. The Company’s assumed reinsurance agreements with the Legacy Monoline Insurers are generally subject to termination at the option of the ceding company: (i) if the Company fails to meet certain financial and regulatory criteria; (ii) if the Company fails to maintain a specified minimum financial strength rating(s); or (iii) upon certain changes of control of the Company. Upon termination due to one of the above events, the Company typically would be required to return to the ceding company unearned premiums (net of ceding commissions) and loss reserves, calculated on a U.S. statutory basis, attributable to the Assumed Financial Guaranty Business (plus in certain cases, an additional required amount), after which the Company would be released from liability with respect to such business. As of December 31, 2022, if each third-party insurer ceding financial guaranty business to any of the Company’s insurance subsidiaries had a right to recapture such business, and chose to exercise such right, the aggregate amounts that AGC and AG Re could be required to pay to all such companies would be approximately $234 million and $34 million, respectively. The Company also assumes specialty business at AGRO. AGRO’s assumed reinsurance agreements in respect of this specialty business generally require it to post collateral for the ceding insurer if AGRO fails to maintain a specified minimum financial strength rating. If S&P Global Ratings, a division of Standard & Poor’s Financial Services LLC (S&P) downgrades AGRO’s financial strength rating (currently “AA”) below “A-”, and A.M. Best Company, Inc. downgrades AGRO’s financial strength rating (currently “A+”) below “A-”, AGRO would be required to post, as of December 31, 2022, up to an estimated $12 million of collateral in respect of its assumed specialty business. The Company cedes portions of its gross insured financial guaranty exposure (Ceded Financial Guaranty Business) to third-party insurers. This Ceded Financial Guaranty Business represents $221 million, or approximately 0.1%, of the Company’s total gross insured exposure of $370.2 billion, as measured by insured debt service, as of December 31, 2022. The Company also cedes $483 million of its $1.7 billion in gross insured specialty business. In 2020, the Company reassumed $336 million in par, including $118 million in net par of Puerto Rico exposures, from its largest remaining legacy third-party financial guaranty reinsurer, resulting in a commutation gain of $38 million. Effect of Reinsurance The following table presents the components of premiums and losses reported in the consolidated statements of operations attributable to the Assumed and Ceded Businesses (both financial guaranty and specialty). Effect of Reinsurance on Premiums Written, Premiums Earned and Loss and LAE (Benefit) Year Ended December 31, 2022 2021 2020 (in millions) Premiums Written: Direct $ 377 $ 355 $ 453 Assumed (1) (17) 22 1 Ceded (2) — — 13 Net $ 360 $ 377 $ 467 Premiums Earned: Direct $ 469 $ 385 $ 448 Assumed 28 32 41 Ceded (3) (3) (4) Net $ 494 $ 414 $ 485 Loss and LAE (benefit): Direct (3) $ 32 $ (203) $ 182 Assumed (17) 5 24 Ceded 1 (22) (3) Net $ 16 $ (220) $ 203 ____________________ (1) Negative assumed premiums written were due to terminations and changes in expected debt service schedules. (2) Positive ceded premiums written were due to commutations and changes in expected debt service schedules. (3) See Note 4, Expected Loss to be Paid (Recovered), for additional information on the economic loss development (benefit). |
Contracts Accounted for as Cred
Contracts Accounted for as Credit Derivatives | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Contracts Accounted for as Credit Derivatives | Contracts Accounted for as Credit Derivatives Amounts presented in this note relate only to contracts accounted for as derivatives. 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. Accounting Policy Credit derivatives are recorded at fair value. Changes in fair value are reported in “net change in fair value of credit derivatives” in the consolidated statement of operations. The fair value of credit derivatives is reflected as either net assets or net liabilities determined on a contract-by-contract basis in the Company’s consolidated balance sheets. See Note 9, Fair Value Measurement, for a discussion on the fair value methodology for credit derivatives. Credit Derivative Net Par Outstanding and Fair Value 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 12.8 years and 13.2 years as of December 31, 2022 and December 31, 2021, respectively. Credit Derivatives (1) As of December 31, 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 $ 1,175 $ (79) $ 1,705 $ (72) Non-U.S. public finance 1,565 (58) 1,800 (48) U.S. structured finance 342 (22) 400 (32) Non-U.S. structured finance 121 (3) 135 (2) Total $ 3,203 $ (162) $ 4,040 $ (154) ____________________ (1) Expected loss to be paid was $3 million as of December 31, 2022 and $5 million as of December 31, 2021. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of December 31, 2022 As of December 31, 2021 Rating Category Net Par % of Total Net Par % of Total (dollars in millions) AAA $ 1,260 39.3 % $ 1,503 37.2 % AA 1,064 33.2 1,283 31.8 A 232 7.2 514 12.7 BBB 590 18.5 677 16.7 BIG 57 1.8 63 1.6 Credit derivative net par outstanding $ 3,203 100.0 % $ 4,040 100.0 % Fair Value Gains (Losses) on Credit Derivatives Year Ended December 31, 2022 2021 2020 (in millions) Realized gains (losses) and other settlements $ (2) $ (3) $ (4) Net unrealized gains (losses) (9) (55) 85 Fair value gains (losses) on credit derivatives $ (11) $ (58) $ 81 The impact of changes in credit spreads will vary based upon the volume, tenor, interest rates and other market conditions at the time these fair values are determined. In addition, since each transaction has unique collateral and structural terms, the change in fair value of each transaction may vary considerably. The fair value of credit derivative contracts also reflects the Company’s own credit cost based on the price to purchase credit protection on AGC. The Company determines its own credit risk primarily based on quoted CDS prices traded on AGC at each balance sheet date. CDS Spread on AGC (in basis points) As of December 31, 2022 December 31, 2021 December 31, 2020 Five-year CDS spread 63 49 132 One-year CDS spread 26 16 36 Fair Value of Credit Derivative Assets (Liabilities) and Effect of AGC Credit Spread As of December 31, 2022 December 31, 2021 (in millions) Fair value of credit derivatives before effect of AGC credit spread $ (207) $ (225) Plus: Effect of AGC credit spread 45 71 Net fair value of credit derivatives $ (162) $ (154) |
Investments and Cash
Investments and Cash | 12 Months Ended |
Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments and Cash | Investments and Cash Accounting Policy Fixed-maturity debt securities are classified as either available-for-sale or trading. All fixed-maturity securities are measured at fair value and reported on a trade-date basis. Unrealized gains and losses on available-for-sale fixed-maturity debt securities that are not associated with credit related factors are reported as a component of accumulated OCI (AOCI), net of deferred income taxes. Loss Mitigation Securities, which are a component of fixed-maturity debt securities, are accounted for based on their underlying investment type, excluding the effects of the Company’s insurance. Realized gains and losses on sales of available-for-sale fixed-maturity debt securities and credit losses are reported as a component of net income. Changes in fair value on trading fixed-maturity debt securities are reported as a component of net income Short-term investments, which are investments with a maturity of less than one year at time of purchase, are carried at fair value and include amounts deposited in certain money market funds. Other invested assets primarily consist of equity method investments. The Company reports its interest in the earnings of equity method investments in “equity in earnings (losses) of investees” in the consolidated statement of operations. Certain equity method investments are reported on a lag because information is not received on a timely basis. The Company classifies distributions received from equity method investments using the cumulative earnings approach in the consolidated statements of cash flows. Under the cumulative earnings approach, distributions received up to the amount of cumulative equity in earnings recognized are treated as returns on investment within operating cash flows and those in excess of that amount are treated as returns of investment within investing cash flows. All distributions from equity method investments for which the Company elected the fair value option (FVO) are classified as investing activities. AssuredIM Funds, in which AGAS (primarily) and other subsidiaries invest, and where the Company has been deemed to be the primary beneficiary, are not reported in “investments” on the consolidated balance sheets, but rather, such AssuredIM Funds are consolidated and reported in “assets of consolidated investment vehicles” and “liabilities of consolidated investment vehicles”, with the portion not owned by AGAS and other subsidiaries presented as either redeemable or non-redeemable noncontrolling interests (NCI). See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for further information regarding the CIVs. Cash consists of cash on hand, demand deposits for all entities, and cash and cash equivalents for consolidated AssuredIM Funds. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Net investment income primarily includes the income earned on fixed-maturity securities and short-term investments, including amortization of premiums and accretion of discounts. For mortgage-backed securities and any other securities for which there is prepayment risk, prepayment assumptions are evaluated quarterly and revised as necessary. For securities other than purchased credit deteriorated (PCD) securities, any necessary adjustments due to changes in effective yields and expected maturities are recognized in net investment income using the retrospective method. Net realized investment gains (losses) include sales of investments, which are determined using the specific identification method, reductions to amortized cost of available-for-sale investments that have been written down due to the Company’s intent to sell them or it being more likely than not that the Company will be required to sell them, and the change in allowance for credit losses (including accretion). For all securities that were originally purchased with credit deterioration, accrued interest is not separately presented, but rather is a component of the amortized cost of the instrument. For all other available-for-sale securities, a separate amount for accrued interest is reported in “other assets”. Credit Losses For fixed-maturity securities classified as available for sale for which a decline in the fair value below the amortized cost is due to credit related factors, an allowance is established for the difference between the estimated recoverable value and amortized cost with a corresponding charge to net realized investment gains (losses). The estimated recoverable value is the present value of cash flows expected to be collected, as determined by management. The allowance for credit losses is limited to the difference between amortized cost and fair value. The difference between fair value and amortized cost that is not associated with credit related factors is presented as a component of AOCI. When estimating future cash flows for fixed-maturity securities, management considers the historical performance of underlying assets and available market information as well as bond-specific considerations. In addition, the process of estimating future cash flows includes, but is not limited to, the following critical inputs, which vary by security type: • the extent to which fair value is less than amortized cost; • credit ratings; • any adverse conditions specifically related to the security, industry, and/or geographic area; • changes in the financial condition of the issuer, or underlying loan obligors; • general economic and political factors; • remaining payment terms of the security; • prepayment speeds; • expected defaults; and • the value of any embedded credit enhancements. The length of time an instrument has been impaired or the effect of changes in foreign exchange rates are not considered in the Company’s assessment of credit loss. The assessment of whether a credit loss exists is performed each reporting period. The allowance for credit losses and the corresponding charge to net realized investment gains (losses) may be reversed if conditions change, however, the allowance for credit losses is never reduced below zero. When the Company determines that all or a portion of a fixed-maturity security is uncollectible, the uncollectible amortized cost amount is written off with a corresponding reduction to the allowance for credit losses. If cash flows that were previously written off are collected, the recovery is recognized in net realized investment gains (losses). PCD securities are defined as financial assets that, as of the date of acquisition, have experienced a more-than-insignificant deterioration in credit quality since origination, as determined by the Company’s assessment. An allowance for credit losses is established upon initial recognition for available-for-sale PCD securities. On the date of acquisition, the amortized cost of PCD securities is equal to the purchase price plus the allowance for credit losses, with no credit loss expense recognized in the consolidated statements of operations. After the date of acquisition, deterioration or improvement in credit will result in an increase or decrease, respectively to the allowance and an offsetting credit loss expense (or benefit). To measure this, the Company performs a discounted cash flow analysis. For PCD securities that are also beneficial interests, favorable or adverse changes in expected cash flows are recognized as a change in the allowance for credit losses. Changes in expected cash flows that are not captured through the allowance are reflected as a prospective adjustment to the security’s yield within net investment income. The Company has elected to not measure credit losses on its accrued interest receivable and instead writes off accrued interest when it is six-months past due or on the date it is deemed uncollectible, if earlier. All write-offs of accrued interest are recorded as a reduction to net investment income in the consolidated statements of operations. For securities the Company intends to sell the amortized cost is written down to fair value with a corresponding charge to net realized investment gains (losses) if (1) it is more-likely-than-not that the Company will be required to sell before recovery of its amortized cost, and (2) the fair value of the security is below amortized cost. No allowance is established in these situations and any previously recorded allowance is reversed. The new cost basis is not adjusted for subsequent increases in estimated fair value. 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 2022 Puerto Rico Resolutions 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 $78 million as of December 31, 2022 related to certain of the Company’s alternative investments, other than AssuredIM Funds. Investment Portfolio Carrying Value As of December 31, 2022 2021 (in millions) Fixed-maturity securities, available-for-sale (1): Externally managed $ 5,519 $ 6,843 Loss Mitigation Securities and other 705 818 AssuredIM managed 537 541 Fixed-maturity securities - Puerto Rico New Recovery Bonds (2) 358 — Fixed-maturity securities, trading - Puerto Rico CIVs (2) 303 — Short-term investments (3) 810 1,225 Other invested assets: Equity method investments 123 169 Other 10 12 Total $ 8,365 $ 9,608 ____________________ (1) 7.4% and 7.5% of fixed-maturity securities were rated BIG as of December 31, 2022 and December 31, 2021, respectively, consisting primarily of Loss Mitigation Securities. 5.9% and 0.9% were not rated, as of December 31, 2022 and December 31, 2021, respectively. (2) These securities are not rated. (3) Weighted average credit rating of AAA as of both December 31, 2022 and December 31, 2021, based on the lower of the Moody’s Investors Service, Inc. (Moody’s) and 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 distributed gains from inception through December 31, 2022, the U.S. Insurance Subsidiaries may invest a total of up to $810 million in AssuredIM Funds through AGAS. As of December 31, 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, and healthcare structured capital. As of December 31, 2022 and December 31, 2021, the fair value of AGAS’ interest in AssuredIM Funds was $569 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 consolidated balance sheets, but rather, such AssuredIM Funds are consolidated and reported in “assets of consolidated investment vehicles” and “liabilities of consolidated investment vehicles,” with the portion not owned by AGAS and other subsidiaries presented as either redeemable or non-redeemable noncontrolling interests. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Accrued investment income was $71 million and $69 million as of December 31, 2022 and December 31, 2021, respectively. In 2022, 2021 and 2020, the Company did not write off any accrued investment income. Available-for-Sale Fixed-Maturity Securities by Security Type As of December 31, 2022 Security Type Percent Amortized Allowance for Credit Losses Gross Gross Estimated Weighted Average Credit Rating (2) (dollars in millions) Obligations of state and political subdivisions 45 % $ 3,509 $ (14) $ 37 $ (138) $ 3,394 A U.S. government and agencies 2 118 — 1 (8) 111 AA+ Corporate securities (3) 31 2,387 (6) 2 (299) 2,084 A Mortgage-backed securities (4): RMBS 5 418 (19) 3 (62) 340 BBB Commercial mortgage-backed securities (CMBS) 4 282 — — (11) 271 AAA Asset-backed securities: CLOs 6 449 — — (21) 428 A+ Other 5 423 (26) 22 (26) 393 CCC+ Non-U.S. government securities 2 121 — — (23) 98 AA- Total available-for-sale fixed-maturity securities 100 % $ 7,707 $ (65) $ 65 $ (588) $ 7,119 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 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 A Mortgage-backed securities (4): RMBS 6 454 (17) 24 (24) 437 BBB+ CMBS 4 332 — 14 — 346 AAA Asset-backed securities: CLOs 6 457 — 1 — 458 AA- Other 5 420 (12) 26 (2) 432 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 A+ ____________________ (1) Based on amortized cost. (2) Ratings represent the lower of the Moody’s and S&P classifications, except for Loss Mitigation Securities 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 2022 Puerto Rico Resolutions are not rated. (3) Includes securities issued by taxable universities and hospitals. (4) U.S. government-agency obligations were approximately 30% of mortgage-backed securities as of December 31, 2022 and 31% as of December 31, 2021, based on fair value. 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, 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 $ 1,763 $ (79) $ 163 $ (56) $ 1,926 $ (135) U.S. government and agencies 32 — 52 (8) 84 (8) Corporate securities 1,276 (95) 519 (147) 1,795 (242) Mortgage-backed securities: RMBS 147 (9) 3 (1) 150 (10) CMBS 270 (11) — — 270 (11) Asset-backed securities: CLOs 171 (7) 250 (14) 421 (21) Other 27 (2) — — 27 (2) Non-U.S. government securities 65 (10) 30 (13) 95 (23) Total $ 3,751 $ (213) $ 1,017 $ (239) $ 4,768 $ (452) Number of securities (1) 1,340 466 1,776 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 December 31, 2022 and December 31, 2021 were not related to credit quality, and in the case of 2022, were primarily attributable to rising interest rates. As of December 31, 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 December 31, 2022, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, 567 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 $329 million as of December 31, 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 December 31, 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 December 31, 2022 Amortized Estimated (in millions) Due within one year $ 290 $ 282 Due after one year through five years 1,713 1,585 Due after five years through 10 years 1,778 1,667 Due after 10 years 3,226 2,974 Mortgage-backed securities: RMBS 418 340 CMBS 282 271 Total $ 7,707 $ 7,119 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 $222 million as of December 31, 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 amount of $1,169 million and $1,231 million based on fair value as of December 31, 2022 and December 31, 2021, respectively. No material investments of the Company were non-income producing during the twelve months period ending December 31, 2022. There were no investments that were non-income producing during the twelve months period ending December 31, 2021. Income from Investments 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 in the investment portfolio are classified as trading. Equity in earnings (losses) of investees represents the Company’s interest in the earnings of its equity method investments. Income from Investments Year Ended December 31, 2022 2021 2020 (in millions) Investment income: Externally managed $ 189 $ 204 $ 231 Loss Mitigation Securities and other 63 55 65 Managed by AssuredIM (1) 22 16 8 Investment income 274 275 304 Investment expenses (5) (6) (7) Net investment income $ 269 $ 269 $ 297 Fair value gains (losses) on trading securities (2) $ (34) $ — $ — Equity in earnings (losses) of investees $ (39) $ 94 $ 27 ____________________ (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 December 31, 2022 were $29 million for 2022. Realized Investment Gains (Losses) The table below presents the components of net realized investment gains (losses). Net Realized Investment Gains (Losses) Year Ended December 31, 2022 2021 2020 (in millions) Gross realized gains on sales of available-for-sale securities $ 3 $ 20 $ 27 Gross realized losses on sales of available-for-sale securities (1) (45) (5) (5) Net foreign currency gains (losses) (4) 2 6 Change in the allowance for credit losses and intent to sell (2) (21) (7) (17) Other net realized gains (losses) (3) 11 5 7 Net realized investment gains (losses) $ (56) $ 15 $ 18 ____________________ (1) 2022 related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions. (2) Change in allowance for credit losses in 2022 and 2021 was primarily due to Loss Mitigation Securities. COVID-19 pandemic restrictions contributed to the increase in the allowance for credit losses in 2020. (3) Net realized gains in 2022 related primarily to the sale of one of the Company’s alternative investments. The following table presents the roll forward of allowance for the credit losses on available-for-sale fixed-maturity securities. Roll Forward of Allowance for Credit Losses for Available-for-Sale Fixed-Maturity Securities Year Ended December 31, 2022 2021 2020 (in millions) Balance, beginning of period $ 42 $ 78 $ — Effect of adoption of accounting guidance on credit losses on January 1, 2020 — — 62 Additions for securities for which credit losses were not previously recognized 7 4 1 Additions for purchases of securities accounted for as purchased financial assets with credit deterioration 2 — — Additions (reductions) for securities for which credit losses were previously recognized 14 2 15 Reductions for securities sold and other settlements — (42) — Balance, end of period $ 65 $ 42 $ 78 The Company recorded $21 million, $6 million and $16 million in credit loss expense for the years ended December 31, 2022, 2021 and 2020, respectively. During the 2022, the Company purchased a Loss Mitigation Security with a fair value of $22 million that was accounted for as a PCD security. 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 other securities with credit deterioration during the periods presented. As of December 31, 2022 and 2021, the majority of allowance for credit losses relates to Loss Mitigation Securities. Equity in Earnings (Losses) of Investees Equity in Earnings (Losses) of Investees Year Ended December 31, 2022 2021 2020 (in millions) AssuredIM Funds $ 2 $ 30 $ 14 Other (41) 64 13 Total equity in earnings (losses) of investees (1) $ (39) $ 94 $ 27 ____________________ (1) Includes $36 million, and $14 million for the year ended December 31, 2021 and 2020, respectively, related to fair value gains on investments at FVO using net asset value (NAV), as a practical expedient. Dividends received from equity method investments were $10 million, $15 million and $10 million for the years ended December 31, 2022, 2021 and 2020, respectively. The table below presents summarized financial information for equity method investments that meet, in aggregate, the requirements for reporting summarized disclosures. Amounts in the table below represent amounts reported in the consolidated financial statements as of December 31, 2022 and 2021, and for the years ended December 31, 2022, 2021 and 2020. The financial statements for the majority of these equity method investments are reported on a lag. Aggregate Equity Investments’ Summarized Balance Sheet Data As of December, 31 2022 2021 (in millions) Total assets $ 697 $ 1,543 Total liabilities 76 412 Total equity 621 1,131 Aggregate Equity Investments’ Summarized Statement of Operations Data Year Ended December 31, 2022 2021 2020 (in millions) Total revenues $ (315) $ 548 $ 225 Total expenses 49 64 84 Net income (loss) (364) 484 141 |
Financial Guaranty Variable Int
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles | 12 Months Ended |
Dec. 31, 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 Accounting Policy The types of entities that the Company assesses for consolidation principally include: (i) financial guaranty variable interest entities which include entities whose debt obligations the insurance subsidiaries insure in its financial guaranty business, and Puerto Rico Trusts, and (ii) investment vehicles in which AGAS has a variable interest and which AssuredIM manages (including CLOs that are collateralized financing entities (CFEs), CLO warehouses and AssuredIM Funds). For each of these types of entities, the Company first determines whether the entity is a VIE or a voting interest entity (VOE) which involves assessing, amongst other conditions, whether the equity investment at risk is sufficient to cover the entity’s expected losses and whether the holders of the equity investment at risk (as a group) have substantive voting rights. For entities determined to be a VIE, and for which the Company has a variable interest, the Company assesses whether it is the primary beneficiary of the VIE at the time it becomes involved with an entity and continuously reassesses whether it is the primary beneficiary. In determining whether it is the primary beneficiary, the Company considers all facts and circumstances, including an evaluation of economic interests in the VIE held directly and indirectly through related parties and entities under common control. The Company is the primary beneficiary of a VIE when it has both: (i) the power to direct the activities of a VIE that most significantly impact the entity’s economic performance; and (ii) the obligation to absorb losses of the entity that could potentially be significant to the VIE or the right to receive benefits from the entity that could potentially be significant to the VIE. If the Company concludes that it is the primary beneficiary of the VIE, it consolidates the VIE in the Company’s consolidated financial statements. If, as part of its continual reassessment of the primary beneficiary determination, the Company concludes that it is no longer the primary beneficiary of a VIE, the Company deconsolidates the VIE and recognizes the impact of that change on the consolidated financial statements. If the entity being evaluated for consolidation is not initially determined to be a VIE (or, later, if a significant event occurs that causes an entity to no longer qualify as a VIE), then the entity would be a VOE. Consolidation generally is required when the Company, directly or indirectly, has a controlling financial interest of the VOE being assessed. FG VIEs For structured finance and certain other FG VIEs, the Company elected the FVO for all assets and liabilities. Upon initial adoption of the accounting guidance for VIEs in 2010, the Company elected to fair value its structured finance and other FG VIE assets and liabilities as the carrying amount transition method was not practical. To allow for consistency in the accounting for its consolidated structured finance and other FG VIE assets and liabilities, the Company elected the FVO for structured finance and other FG VIEs that it has subsequently consolidated. For the Puerto Rico Trusts described below, the assets primarily include fixed-maturity debt securities that are carried at fair value and the Company elected the FVO for the Puerto Rico Trusts’ liabilities in order to simplify the accounting for these instruments. The change in fair value of FG VIEs’ assets and liabilities is reported in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations, except for (i) the change in fair value attributable to change in instrument-specific credit risk (ISCR) on FG VIEs’ liabilities, and (ii) unrealized gains and losses on the New Recovery Bonds in the Puerto Rico Trusts, which are reported OCI. Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on FG VIEs.” Investment income on the New Recovery Bonds and changes in fair value on the CVIs in the Puerto Rico Trusts are all reported in “fair value gains (losses) on FG VIEs” on the consolidated statement of operations. The inception-to-date change in fair value of the FG VIEs’ liabilities with recourse attributable to the ISCR is calculated by holding all current period assumptions constant for each security and isolating the effect of the change in the Company’s CDS spread from the most recent date of consolidation to the current period. In general, if the Company’s CDS spread tightens, more value will be assigned to the Company’s credit; however, if the Company’s CDS widens, less value is assigned to the Company’s credit. The Company has limited contractual rights to obtain the financial records of its consolidated structured finance and other FG VIEs. The structured finance and other FG VIEs do not prepare separate GAAP financial statements; therefore, the Company compiles the FG VIE GAAP financial information based on trustee reports prepared by and received from third parties. Such trustee reports are not available to the Company until approximately 30 days after the end of any given period. The time required to perform adequate reconciliations and analyses of the information in these trustee reports results in a one quarter lag in reporting the structured finance and other FG VIEs’ activities. As a result of the lag in reporting structured finance and other FG VIEs, cash and short-term investments do not reflect cash outflows to the holders of the debt issued by the structured finance and other FG VIEs for claim payments made by the Company’s insurance subsidiaries to the consolidated structured finance and other FG VIEs until the subsequent reporting period. The cash flows generated by the FG VIEs’ assets, except for interest income, are classified as cash flows from investing activities. Paydowns of FG VIEs’ liabilities are supported by the cash flows generated by FG VIEs’ assets and, for liabilities with recourse, possibly claim payments made by AGM or AGC under their financial guaranty insurance contracts. Paydowns of FG VIEs’ liabilities both with and without recourse are classified as cash flows used in financing activities. Interest income, interest expense and other expenses of the FG VIEs’ assets and liabilities are classified as operating cash flows. Claim payments made by AGM and AGC under the financial guaranty contracts issued to the FG VIEs are eliminated upon consolidation and therefore such claim payments are treated as paydowns of FG VIEs’ liabilities and as a financing activity as opposed to an operating activity. The Company’s exposure provided through its financial guaranties with respect to debt obligations of FG VIEs is included within net par outstanding in Note 3, Outstanding Exposure. CIVs CIVs consist of certain AssuredIM Funds, CLOs and CLO warehouses in which the Company is the primary beneficiary. The consolidated AssuredIM Funds are investment companies for accounting purposes and therefore account for their underlying investments at fair value. The consolidated CLOs are CFEs, and therefore, the debt issued by, and loans held by, the consolidated CLOs are measured under the FVO using the CFE practical expedient. The assets and liabilities of consolidated CLO and CLO warehouses managed by AssuredIM (collectively, the consolidated CLOs) are also reported at fair value. Changes in the fair value of assets and liabilities of CIVs, interest income and interest expense are reported in “fair value gains (losses) on consolidated investment vehicles” in the consolidated statements of operations. Interest income from CLO assets is recorded based on contractual rates. Certain AssuredIM private equity funds and CLO warehouses, whose financial statements are not prepared in time for the Company’s periodic reporting, are reported on a lag. Upon consolidation of an AssuredIM Fund, the Company records NCI for the portion of each fund owned by employees and any third-party investors. Mandatorily redeemable NCI is classified as a liability. NCI that is redeemable outside of the control of the Company is classified as temporary equity or redeemable noncontrolling interests, and non-redeemable NCI is presented within shareholders’ equity in the consolidated balance sheets. Amendments to redemption features may result in reclassifications between permanent equity, temporary equity and liability. Investment transactions in the consolidated AssuredIM Funds are recorded on a trade/contract date basis. Money market funds in consolidated AssuredIM Funds are classified as cash equivalents and carried at cost, consistent with those funds’ separately issued financial statements, and therefore the Company has included these amounts in the total amount of cash and cash equivalents on the consolidated statements of cash flows. Cash flows of the CIVs attributable to such entities’ investment purchases and dispositions, as well as operating expenses of the investment vehicles, are presented as cash flows from operating activities in the consolidated statements of cash flows. Borrowings under credit facilities, debt issuances and repayments, and capital cash flows to and from investors are presented as financing activities, consistent with investment company guidelines. FG VIEs 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. Number of Consolidated Structured Finance and Other FG VIEs Year Ended December 31, 2022 2021 2020 Beginning of year 25 25 27 Consolidated 2 1 2 Deconsolidated (2) (1) (2) Matured — — (2) December 31 25 25 25 Puerto Rico Trusts As of December 31, 2022, the Company consolidated 45 custodial trusts established as part of the 2022 Puerto Rico Resolutions (Puerto Rico Trusts) discussed in Note 3, Outstanding Exposure, Exposures to Puerto Rico. During 2022, the Company consolidated 48 and deconsolidated three Puerto Rico Trusts. With respect to certain insured securities covered by the 2022 Puerto Rico Resolutions, 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/or CVIs that constitute distributions under the 2022 Puerto Rico Resolutions. (At least one separate custodial trust was set up for each legacy insured bond, and the trusts are deconsolidated as each is paid off.) 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 or prepay 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 ($204 million fair value and $204 million amortized cost as of December 31, 2022) and CVIs as trading securities ($5 million fair value as of December 31, 2022 and $1 million fair value losses on trading securities for 2022). As of December 31, 2022, the available-for-sale securities had gross unrealized gains of $4 million and gross unrealized losses of $4 million. Fourteen securities in the Puerto Rico Trusts were in a gross unrealized loss position totaling $4 million and had a fair value of $110 million. All of these securities were in a continuous unrealized loss position for less than 12 months. The Company considered the credit quality, cash flows, interest rate movements, ability to hold a security to recovery and intent to sell a security in determining whether a security had a credit loss. The Company has determined that the unrealized losses recorded as of December 31, 2022 were primarily attributable to rising interest rates, rather than credit quality. As of December 31, 2022, the Company did not intend to and was not required to sell these investments prior to an expected recovery in value. As of December 31, 2022, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, eight securities had unrealized losses in excess of 10% of their carrying value. The total unrealized loss for these securities was $3 million as of December 31, 2022. The amortized cost and estimated fair value of available-for-sale New Recovery Bonds by contractual maturity as of December 31, 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. New Recovery Bonds in FG VIEs’ Assets Distribution by Contractual Maturity As of December 31, 2022 Amortized Estimated (in millions) Due within one year $ 1 $ 1 Due after one year through five years 6 5 Due after five years through 10 years 41 41 Due after 10 years 156 157 Total $ 204 $ 204 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 contracts. 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 FG VIEs’ assets and liabilities, segregated by type of collateral. Consolidated FG VIEs by Type of Collateral As of December 31, 2022 2021 (in millions) FG VIEs’ assets: U.S. RMBS first lien $ 167 $ 221 U.S. RMBS second lien 30 39 Puerto Rico Trusts’ assets (includes $209 million at fair value) (1) 212 — Other 7 — Total FG VIEs’ assets $ 416 $ 260 FG VIEs’ liabilities with recourse: U.S. RMBS first lien $ 176 $ 227 U.S. RMBS second lien 24 42 Puerto Rico Trusts’ liabilities 495 — Other 7 — Total FG VIEs’ liabilities with recourse $ 702 $ 269 FG VIEs’ liabilities without recourse: U.S. RMBS first lien $ 13 $ 20 Total FG VIEs’ liabilities without recourse $ 13 $ 20 ____________________ (1) Includes $2 million of cash. 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 December 31, 2022, 2021 and 2020 that was reported in the consolidated statements of operations for 2022, 2021 and 2020 were gains of $10 million, $14 million and $6 million, respectively. The ISCR amount is determined by using expected cash flows at the original date of consolidation, discounted at the effective yield, less current expected cash flows discounted at that same original effective yield. The inception-to-date change in fair value of the FG VIEs’ liabilities with recourse (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. Selected Information for FG VIEs’ Assets and Liabilities Measured under the FVO As of December 31, 2022 2021 (in millions) Excess of unpaid principal over fair value of: FG VIEs’ assets $ 265 $ 255 FG VIEs’ liabilities with recourse 21 12 FG VIEs’ liabilities without recourse 15 15 Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due 34 52 Unpaid principal for FG VIEs’ liabilities with recourse (1) 723 281 ____________________ (1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2023 through 2041. CIVs 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. Number of Consolidated CIVs by Type As of December 31, CIV Type 2022 2021 Funds 8 8 CLOs 10 9 CLO warehouses 4 3 Total number of consolidated CIVs (1) 22 20 ____________________ (1) As of December 31, 2022, two CIVs were VOEs and as of December 31, 2021 one CIV was a VOE. Certain funds meet the criteria for a VOE 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 2022, 2021 and 2020, two, five and two, respectively, consolidated CLO warehouses became CLOs. Roll Forward of Number of Consolidated CIVs Year Ended December 31, 2022 2021 2020 Beginning of year 20 11 4 Consolidated 4 10 7 Deconsolidated (1) (2) (1) — December 31 22 20 11 ____________________ (1) During 2022 the Company deconsolidated a CLO with assets and liabilities of $417 million. In the fourth quarter of 2021, an AssuredIM Fund secured additional capital commitments, triggering a reconsideration of the Company’s previous conclusion not to consolidate that AssuredIM Fund (the Fund). As a result of the reconsideration, the Company concluded that it became the Fund’s primary beneficiary, as the dilution of the Fund’s lead investor’s interest caused that investor to lose its substantive ability to dissolve the Fund and remove the Company as the Fund’s general partner. Accordingly, the Company consolidated the Fund and recognized a gain on consolidation of $31 million in 2021. Total assets and liabilities at the time of consolidation were $273 million and $33 million, respectively. In addition, the consolidation resulted in an NCI of $89 million at the time of consolidation. There were no other gains or losses on consolidation or deconsolidation during the periods presented. The gain on consolidation is primarily the difference between: (i) the sum of the carrying value of the Company’s interest in the Fund immediately prior to consolidation; and (ii) the sum of the fair value of the partners’ capital allocated to the Company, relating to its limited partner and general partner interests in the Fund immediately prior to consolidation. The fair value of the general partner’s capital represents an allocation of undistributed carried interest. The carried interest has not yet been recorded by AssuredIM as the requirements for revenue recognition have not yet been met. Carried interest generated by the Fund will be recognized as revenue, by AssuredIM, once the probability of a significant reversal of revenue no longer exists. Meanwhile the compensation related to that carried interest, that is awarded to certain employees that manage the Fund, would be recognized as an expense by AssuredIM to the extent that it is probable of being made and reasonably estimable. Any carried interest that is recognized as revenue, relating to a consolidated AssuredIM fund, is reported in the Asset Management segment, and eliminated in consolidation. Assets and Liabilities of CIVs As of December 31, 2022 2021 (in millions) Assets: Fund assets: Cash and cash equivalents $ 59 $ 64 Fund investments, at fair value: Equity securities and warrants 434 252 Obligations of state and political subdivisions — 101 Corporate securities 96 98 Structured products 128 62 Due from brokers and counterparties — 49 Other 1 1 CLO and CLO warehouse assets: Cash 38 156 CLO investments: Loans in CLOs, FVO 4,202 3,913 Loans in CLO warehouses, FVO 368 331 Short-term investments, at fair value 135 145 Due from brokers and counterparties 32 99 Total assets (1) $ 5,493 $ 5,271 Liabilities: CLO obligations, FVO (2) $ 4,090 $ 3,665 Warehouse financing debt, FVO (3) 313 126 Securities sold short, at fair value — 41 Due to brokers and counterparties 112 570 Other liabilities 110 34 Total liabilities $ 4,625 $ 4,436 ____________________ (1) Includes investments in AssuredIM Funds and other affiliated entities of $392 million and $223 million as of December 31, 2022 and December 31, 2021, respectively. Includes assets and liabilities of voting interest entities as of December 31, 2022 of $58 million and $1 million, respectively, and assets of $12 million as of December 31, 2021. (2) The weighted average maturity of CLO obligations was 6.2 years as of December 31, 2022 and 6.6 years as of December 31, 2021. The weighted average interest rate of CLO obligations was 5.3% as of December 31, 2022 and 1.8% for December 31, 2021. CLO obligations will mature at various dates from 2034 to 2035. (3) The weighted average maturity of warehouse financing debt of CLO warehouses was 1.9 years as of December 31, 2022 and 1.8 years as of December 31, 2021. The weighted average interest rate of warehouse financing debt of CLO warehouses was 4.5% as of December 31, 2022 and 1.1% as of December 31, 2021. Warehouse financing debt will mature at various dates from 2023 to 2031. The “equity securities and warrants” category in the table above includes $127 million as of December 31, 2022 related to a consolidated feeder’s investment in a municipal master fund that was unwound in January 2023 based on the December 31, 2022 valuation. On January 31, 2023 the fund distributed substantially all of its available cash to AGAS and other investors in the fund. Other liabilities in the table above includes redeemable NCI as described below. As of December 31, 2022, the CIVs had commitments to invest of $424 million. As of December 31, 2022 and December 31, 2021, the CIVs included derivative contracts with notional amounts totaling $46 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 consolidated balance sheets. The net change in fair value is reported in “fair value gains (losses) on CIVs” in the consolidated statements of operations. The net change in fair value of derivative contracts were gains of $3 million in 2022. 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 December 31, 2022, these credit facilities had varying maturities ranging from 2023 to 2031 with the aggregate principal amount not exceeding $1.6 billion. The available commitments were based on the amount of equity contributed to the warehouse which was $377 million. As of December 31, 2022, $284 million was drawn under credit facilities with interest rates ranging from 3-month SOFR plus 150 basis points (bps) to 3-month Euro InterBank Offered Rate (Euribor) plus 200 bps (with a floor on Euribor of zero). The CLO warehouses were in compliance with all financial covenants as of December 31, 2022. As of December 31, 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 capital committed to the funds. As of December 31, 2022, $58 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 December 31, 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 NCI in CIVs Year Ended December 31, 2022 2021 2020 (in millions) Beginning balance $ 22 $ 21 $ 7 Net income (loss) attributable to the redeemable NCI (1) 1 (1) Reallocation of ownership interests — — (10) Reclassification to liabilities as mandatorily redeemable NCI (1) (21) — — Contributions 21 — 25 Distributions (21) — — December 31, $ — $ 22 $ 21 ____________________ (1) Included in “liabilities of consolidated investment vehicles” on the consolidated balance sheets. On January 31, 2023 this liability has been substantially paid. 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 obligations under 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 $86 million and liabilities of $12 million as of December 31, 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 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 15 thousand policies monitored as of December 31, 2022, approximately 14 thousand policies are not within the scope of FASB Accounting Standards Codification (ASC) 810 because these financial guaranties relate to the debt obligations of governmental organizations or financing entities established by a governmental organization. The majority of the remaining policies involve transactions where the Company is not deemed to currently have control over the FG VIEs’ most significant activities. With respect to structured finance and other FG VIEs, as of December 31, 2022 and 2021, the Company identified 85 and 69 policies, respectively, that contain provisions and experienced events that may trigger consolidation. See above for information on VIEs that were consolidated based on management’s assessment of these potential triggers or events. The Company manages funds and CLOs that have been determined to be VIEs in which the Company concluded that it is not the primary beneficiary because it lacks a controlling financial interest. As such, the Company does not consolidate these entities. The Company’s equity interests in these entities are reported in “other invested assets” on the consolidated balance sheets. The ma |
Fair Value Measurement
Fair Value Measurement | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurement | Fair Value Measurement Accounting Policy The Company carries a significant portion of its assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit price). The price represents the price available in the principal market for the asset or liability. If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market). Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on either internally developed models that primarily use, as inputs, market-based or independently sourced market parameters, including but not limited to yield curves, interest rates and debt prices or with the assistance of an independent third party using a discounted cash flow approach and the third party’s proprietary pricing models. In addition to market information, models also incorporate transaction details, such as maturity of the instrument and contractual features designed to reduce the Company’s credit exposure, such as collateral rights as applicable. Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity. As markets and products develop and the pricing for certain products becomes more or less transparent, the Company may refine its methodologies and assumptions. During 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 consolidated balance sheets or statements of operations and comprehensive income. The Company’s valuation methods produce fair values that may not be indicative of net realizable value or 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, with Level 1 being the highest and Level 3 the lowest. An asset’s or liability’s categorization within the hierarchy 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 December 31, 2022, the Company used models to price 188 securities. 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 as Level 1 as their value is based on quoted market prices. Securities such as discount notes are classified as 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 method investments for which the Company elected the FVO using NAV, as a practical expedient, and, therefore, are excluded from the fair value hierarchy; and (ii) equity securities traded in active markets that are classified as Level 1 in the fair value hierarchy as their value is based on quoted market prices. Other Assets Committed Capital Securities The fair value of CCS, which is reported in “other assets” on the consolidated balance sheets, represents the difference between the present value of remaining expected put option premium payments under AGC’s CCS and AGM’s Committed Preferred Trust Securities (the AGM CPS) agreements, and the estimated present value that the Company would hypothetically have to pay currently for a comparable security (see Note 12, Long-Term Debt and Credit Facilities). The change in fair value of the AGC CCS and AGM CPS are reported in “fair value gains (losses) on committed capital securities” in the consolidated statements of operations. The estimated current cost of the Company’s CCS is based on several factors, including AGM and AGC CDS spreads, LIBOR curve projections, the Company's publicly traded debt and the term the securities are estimated to remain outstanding. The AGC CCS and AGM CPS are classified as Level 3. Supplemental Executive Retirement Plans The Company classified assets included in the Company’s various supplemental executive retirement plans as either Level 1 or Level 2. The fair value of these assets is based on the observable published daily values of the underlying mutual funds included in the plans (Level 1) or based upon the NAV of the funds if a published daily value is not available (Level 2). The NAVs are based on observable information. The change in fair value of these assets is reported in “other operating expenses” in the consolidated statements of operations. Contracts Accounted for as Credit Derivatives The Company’s credit derivatives in the Insurance segment primarily consist of insured CDS contracts, and also include interest rate swaps that qualify as derivatives under GAAP, which require fair value measurement with changes in the fair value reported in the consolidated statements of operations. The Company did not enter into CDS contracts with the intent to trade these contracts and the Company may not unilaterally terminate a CDS contract absent an event of default or termination event that entitles the Company to terminate such contracts; however, the Company has mutually agreed with various counterparties to terminate certain CDS transactions. In transactions where the counterparty does not have the right to terminate, such transactions were generally terminated for an amount that approximated the present value of future premiums or for a negotiated amount, rather than at fair value. The terms of the Company’s CDS contracts differ from more standardized credit derivative contracts sold by companies outside the financial guaranty industry. The non-standard terms generally include the absence of collateral support agreements or immediate settlement provisions. In addition, the Company employs relatively high attachment points and does not exit derivatives it sells, except under specific circumstances such as mutual agreements with counterparties. Management considers the non-standard terms of the Company’s credit derivative contracts in determining the fair value of these contracts. Due to the lack of quoted prices and other observable inputs for its instruments or for similar instruments, the Company determines the fair value of its credit derivative contracts primarily through internally developed, proprietary models that use both observable and unobservable market data inputs. There is no established market where financial guaranty insured credit derivatives are actively traded; therefore, management has determined that the exit market for the Company’s credit derivatives is a hypothetical one based on its entry market. These contracts are classified as Level 3 in the fair value hierarchy as there are multiple unobservable inputs deemed significant to the valuation model, most importantly the Company’s estimate of the value of the non-standard terms and conditions of its credit derivative contracts and how the Company’s own credit spread affects the pricing of its transactions. The fair value of the Company’s credit derivative contracts represents the difference between the present value of remaining premiums the Company expects to receive and the estimated present value of premiums that a financial guarantor of comparable credit-worthiness would hypothetically charge at the reporting date for the same protection. The fair value of the Company’s credit derivatives depends on a number of factors, including notional amount of the contract, expected term, credit spreads, changes in interest rates, the credit ratings of referenced entities, the Company’s own credit risk and remaining contractual cash flows. The expected remaining contractual premium cash flows are the most readily observable inputs since they are based on the CDS contractual terms. Credit spreads capture the effect of recovery rates and performance of underlying assets of these contracts, among other factors. Consistent with previous years, market conditions at December 31, 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 2.78% to 5.08% at December 31, 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 December 31, 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 FG VIEs include Puerto Rico Trusts, structured finance and other FG VIEs. Assets in the Puerto Rico Trusts, which consist of New Recovery Bonds and CVIs, are classified as Level 2. The Company elected the FVO for the Puerto Rico Trusts’ liabilities and they are classified as Level 3. See “ - Fixed Maturity Securities” above for a description of the fair value methodology for the New Recovery Bonds and CVIs in the Puerto Rico Trusts, which represent the majority of the assets in the Puerto Rico Trusts. For structured finance and other FG VIEs’ assets and liabilities the Company elected the FVO and they are classified as Level 3. The prices are generally determined with the assistance of an independent third party, based on a discounted cash flow approach. The Company records the fair value of structured finance and other FG VIEs’ assets and liabilities based on modeled prices. The Company records the fair value of Puerto Rico Trusts’ liabilities based on quoted prices. 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 fair 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. Assets and Liabilities of CIVs The consolidated CLOs are CFEs, and therefore the debt issued by, and loans held by, the consolidated CLOs are measured under the 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 underlying financial liabilities to 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 December 31, 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 $ — $ 3,347 $ 47 $ 3,394 U.S. government and agencies — 111 — 111 Corporate securities — 2,084 — 2,084 Mortgage-backed securities: RMBS — 161 179 340 CMBS — 271 — 271 Asset-backed securities — 27 794 821 Non-U.S. government securities — 98 — 98 Total fixed-maturity securities, available-for-sale — 6,099 1,020 7,119 Fixed-maturity securities, trading — 303 — 303 Short-term investments 771 39 — 810 Other invested assets (1) 2 — 5 7 FG VIEs’ assets — 209 204 413 Assets of CIVs (2): Fund investments: Equity securities and warrants — 5 297 302 Corporate securities — — 96 96 Structured products — 82 46 128 CLOs and CLO warehouse assets: Loans — 4,570 — 4,570 Short-term investments 135 — — 135 Total assets of CIVs 135 4,657 439 5,231 Other assets 54 46 48 148 Total assets carried at fair value $ 962 $ 11,353 $ 1,716 $ 14,031 Liabilities: Credit derivative liabilities $ — $ — $ 163 $ 163 FG VIEs’ liabilities (3) — — 715 715 Liabilities of CIVs: CLO obligations of CFEs — — 4,090 4,090 Warehouse financing debt — 277 36 313 Securitized borrowing — — 28 28 Total liabilities of CIVs — 277 4,154 4,431 Other liabilities — 7 — 7 Total liabilities carried at fair value $ — $ 284 $ 5,032 $ 5,316 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 $23 million and $19 million of equity method investments measured at fair value under the FVO using the NAV as a practical expedient as of December 31, 2022 and December 31, 2021, respectively. (2) Excludes $5 million and $6 million as of December 31, 2022 and December 31, 2021, respectively, in investments in AssuredIM Funds for which the Company records a 100% NCI. The consolidation of these funds results in a gross up of assets and NCI on the consolidated financial statements; however, it results in no economic equity or net income attributable to AGL. As of December 31, 2022, excludes a $127 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 Measurements The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during the years ended December 31, 2022 and 2021. Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Year Ended December 31, 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) 1 (1) 16 (1) 5 (1) (3) (2) 1 (4) 2 (4) (5) (4) 24 (3) Other comprehensive income (loss) (12) (36) (47) — — — — (1) Purchases — 22 43 — 73 16 52 — Sales — — (13) — (16) (13) (21) — Settlements (14) (39) (57) (60) — — — — Consolidations — — — 22 — — — — Deconsolidation — — — (15) — — 20 — Fair value as of December 31, 2022 $ 47 $ 179 $ 794 $ 204 $ 297 $ 96 $ 46 $ 50 Change in unrealized gains (losses) related to financial instruments held as of December 31, 2022 included in: Earnings $ (3) (2) $ (8) (4) $ 1 (4) $ (4) (4) $ 24 (3) OCI $ (12) $ (32) $ (45) $ (1) Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Year Ended December 31, 2022 Credit Derivative Asset (Liability), |
Asset Management Fees
Asset Management Fees | 12 Months Ended |
Dec. 31, 2022 | |
Revenue from Contract with Customer [Abstract] | |
Asset Management Fees | Asset Management Fees The Company receives a management fee, as well as performance fee, incentive allocation or carried interest (collectively referred to as performance fees) in exchange for providing investment advisory services to manage investment funds and CLOs. The annual management fees are typically based on a percentage of the value of the client’s net assets under management, and are generally as follows: • Depending on the investment strategy, the management fee charged is a range of up to 2.00% per annum calculated on either the beginning of the month or quarter, or month-end NAV or other relevant basis (e.g., committed capital) of the respective funds. • For the Company’s management and/or servicing of the AssuredIM CLOs, the Company receives, generally 0.25% to 0.50% (combined senior investment management fee and subordinated investment management fee) per annum based on total adjusted par outstanding. The portion of these fees that pertains to the investment by AssuredIM wind-down funds is typically rebated to such AssuredIM Funds. In accordance with the investment management agreements, and by serving as the general partner, managing member or managing general partner, the Company also receives performance fees. Performance fee revenues are generated on certain management contracts when certain minimum rates of return,( i.e., performance hurdles), are exceeded. Performance fee revenue may fluctuate from period to period and may not correlate with general market changes. Annual performance fee rates generally range from 10% to 20% of the net profits in excess of the high-water mark for the respective fund. For the Company’s management or servicing of the AssuredIM CLOs, the Company generally receives a performance fee of 20% per annum of the remaining interest proceeds and principal proceeds after a performance hurdle is exceeded. The portion of these fees that pertains to the investment by AssuredIM wind-down funds is typically rebated to such AssuredIM Funds. The general partner has the right, in its sole discretion, to require certain AssuredIM Funds to distribute to the general partner an amount equal to its presumed tax liability attributable to the allocation of estimated taxable income relating to performance fees with respect to such fiscal year and are contractually not subject to clawback. The general partner received tax distributions in 2022 related to its presumed tax liability in 2022 and 2021, and there were no tax distributions for 2020. The Company may credit, reduce or waive the management fee and/or the performance fee with respect to any investor and/or affiliate. Certain current and former employees of the Company who have investments in the AssuredIM Funds may not be charged any management fees or performance fee. Accounting Policy Management, CLO and performance fees earned by AssuredIM are accounted for as contracts with customers. An entity may recognize revenue when the contractual performance criteria have been met and only to the extent that it is probable that a significant reversal in the amount of cumulative revenue recognized would not occur when the uncertainty associated with the variable consideration is resolved. Given the uniqueness of each fee arrangement, performance fee contractual provisions are evaluated on an individual basis to determine the timing of revenue recognition. Components of Asset Management Fees The following table presents the sources of asset management fees on a consolidated basis. Asset Management Fees Year Ended December 31, 2022 2021 2020 (in millions) Management fees: CLOs (1) $ 34 $ 41 $ 21 Opportunity funds and liquid strategies 17 17 8 Wind-down funds 2 7 25 Total management fees 53 65 54 Performance fees 19 1 — Reimbursable fund expenses 21 22 35 Total asset management fees $ 93 $ 88 $ 89 _____________________ (1) To the extent that the Company’s wind-down and/or opportunity funds are invested in AssuredIM managed CLOs, AssuredIM may rebate any management fees and/or performance fees earned from the CLOs. Gross management fees from CLOs, before rebates, were $34 million in 2022, $47 million in 2021 and $40 million in 2020. |
Goodwill and Other Intangible A
Goodwill and Other Intangible Assets | 12 Months Ended |
Dec. 31, 2022 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
Goodwill and Other Intangible Assets | Goodwill and Other Intangible Assets All of the Company’s goodwill relates to the AssuredIM entities that were acquired in 2019 as part of the acquisition of BlueMountain Capital Management, LLC (BlueMountain, now known as Assured Investment Management LLC) and its associated entities (the BlueMountain Acquisition). All of the goodwill is assigned to the Asset Management reporting unit and segment. Once goodwill is assigned to a reporting unit, generally all of the activities within the reporting unit, whether acquired or organically grown, are available to support the value of the goodwill. Accounting Policy Goodwill represents the excess of cost over the net fair value of assets and liabilities at the date of acquisition. The Company tests goodwill for impairment annually, as of December 31, or more frequently if circumstances indicate an impairment may have occurred. The goodwill impairment analysis is performed at the reporting unit level, which is the same as the Company’s operating segment level excluding the effects of the subleases on AssuredIM’s prior office space. If, after assessing qualitative factors, the Company believes that it is more likely than not that the fair value of the reporting unit is less than its carrying amount, the Company will evaluate impairment quantitatively to determine the amount of goodwill impairment, which is the excess of the carrying amount of the reporting unit over its fair value. Finite-lived intangible assets are recorded at fair value on the date of acquisition and are amortized over their estimated useful lives. The Company assesses finite-lived intangible assets for impairment if certain events occur or circumstances change indicating that the carrying amount of the intangible asset may not be recoverable. The carrying amount is deemed unrecoverable if it is greater than the sum of undiscounted cash flows expected to result from use and eventual disposition of the finite-lived intangible asset. If deemed unrecoverable, the Company records an impairment loss for the excess of the carrying amount over fair value. Goodwill and Intangible Assets Inherent in the fair value determinations are certain judgments and estimates relating to future cash flows, including the Company’s interpretation of current economic indicators and market valuations, and assumptions about the Company’s strategic plans with regard to its operations. The Company’s ability to raise third-party funds and increase and retain AUM is directly related to the performance of the assets it manages as measured against market averages and the performance of the Company’s competitors. If the Company performs worse than its competitors, it could impede its ability to raise funds, seek investors and hire and retain professionals, and may lead to an impairment of goodwill. The Company’s goodwill impairment assessment is sensitive to the Company’s assumptions of discount rates, market multiples, projections of AUM growth and other factors, which may vary. Due to the uncertainties associated with such estimates, actual results could differ from such estimates. The Company’s finite-lived intangible assets consist primarily of contractual rights to earn future asset management fees from the acquired management and CLO contracts as well as a CLO distribution network. The following table summarizes the carrying value for the Company’s goodwill and other intangible assets: Goodwill and Other Intangible Assets Weighted Average Amortization Period as of December 31, 2022 As of December 31, 2022 2021 (in millions) Goodwill (1) $ 117 $ 117 Finite-lived intangible assets: CLO contracts 5.8 years 42 42 Investment management contracts 1.5 years 24 24 CLO distribution network 1.8 years 9 9 Trade name 6.8 years 3 3 Favorable sublease 1.2 years 1 1 Lease-related intangibles 4.3 years 3 3 Finite-lived intangible assets, gross 4.6 years 82 82 Accumulated amortization (42) (30) Finite-lived intangible assets, net 40 52 Indefinite-lived intangible assets (insurance licenses) 6 6 Total goodwill and other intangible assets $ 163 $ 175 _____________________ (1) Includes goodwill allocated to the European subsidiaries of BlueMountain. The balance changes due to foreign currency translation. The amount of goodwill deductible for tax purposes was approximately $92 million as of December 31, 2022 and $99 million as of December 31, 2021. Goodwill and substantially all finite-lived intangible assets relate to AssuredIM. In 2022, the results of a qualitative assessment indicated that it was more likely-than-not that the fair value of the reporting unit was greater than its carrying value and therefore no goodwill impairment was recorded. To date, there have been no impairments of goodwill or finite-lived intangible assets. Amortization expense associated with the finite-lived intangible assets was $11 million, $12 million and $13 million for the years ended December 31, 2022, 2021 and 2020, respectively, and is reported in “other operating expenses” in the consolidated statements of operations. On February 24, 2021, the Company received the last regulatory approval required to merge MAC with and into AGM, with AGM as the surviving company. The merger was effective on April 1, 2021. Upon the merger all direct insurance policies issued by MAC became direct insurance obligations of AGM. As a result, the Company wrote off the $16 million carrying value of the indefinite-lived intangible asset related to the MAC insurance licenses in the first quarter of 2021. This was reported in “other operating expenses” in the Insurance segment. As of December 31, 2022, future annual amortization of finite-lived intangible assets is estimated to be: Estimated Future Amortization Expense for Finite-Lived Intangible Assets As of December 31, 2022 Year (in millions) 2023 $ 11 2024 10 2025 6 2026 5 2027 5 Thereafter 3 Total $ 40 |
Long-Term Debt and Credit Facil
Long-Term Debt and Credit Facilities | 12 Months Ended |
Dec. 31, 2022 | |
Debt Disclosure [Abstract] | |
Long-Term Debt and Credit Facilities | Long-Term Debt and Credit Facilities Accounting Policy Long-term debt is recorded at principal amounts net of any: (1) unamortized original issue discount or premium; (2) unamortized acquisition date fair value adjustments for AGM and AGMH debt; and (3) debt issuance costs. Original issue discount and premium, acquisition date fair value adjustments for AGM and AGMH debt, and debt issuance costs are accreted into interest expense over the contractual term of the applicable debt. When long-term debt is redeemed, the difference between the cash paid to redeem the debt and the carrying value of the debt is reported as a “loss on extinguishment of debt” in the consolidated statements of operations. When one consolidated subsidiary (AGUS) purchases outstanding debt of another consolidated subsidiary (AGMH), the difference between the cash paid to redeem the debt and the carrying value of the debt is reported as “other income” in the consolidated statements of operations. CCS are carried at fair value with changes in fair value reported in the consolidated statement of operations. See Note 9, Fair Value Measurement, – Other Assets – Committed Capital Securities, for a discussion of the fair value measurement of the CCS. Long-Term Debt The Company’s long-term debt outstanding primarily consists of debt issued by the U.S. Holding Companies. All of the U.S. Holding Companies’ long-term debt is fully and unconditionally guaranteed by AGL; AGL’s guarantee of the junior subordinated debentures is on a junior subordinated basis. Principal and Carrying Amounts of Debt The principal and carrying values of the Company’s debt are presented in the table below. Principal and Carrying Amounts of Long-Term Debt As of December 31, 2022 As of December 31, 2021 Principal Carrying Principal Carrying (in millions) AGUS 7% Senior Notes $ 200 $ 198 $ 200 $ 197 AGUS 5% Senior Notes 330 329 330 329 AGUS 3.15% Senior Notes 500 495 500 495 AGUS 3.6% Senior Notes 400 395 400 395 AGUS Series A Enhanced Junior Subordinated Debentures 150 150 150 150 AGMH Junior Subordinated Debentures (1) 146 108 146 105 AGM Notes Payable — — 2 2 Total $ 1,726 $ 1,675 $ 1,728 $ 1,673 ____________________ (1) Carrying amounts are different than principal amounts primarily due to fair value adjustments at the date of the AGMH acquisition, which are accreted into interest expense over the remaining terms of these obligations. Net of AGMH’s long-term debt purchased by AGUS. Debt Issued by AGUS 7% Senior Notes. On May 18, 2004, AGUS issued $200 million of 7% Senior Notes due 2034 (7% Senior Notes) for net proceeds of $197 million. Although the coupon on the Senior Notes is 7%, the effective rate is approximately 6.4%, taking into account the effect of a cash flow hedge executed by the Company in March 2004. The notes are redeemable, in whole or in part, at their principal amount plus accrued and unpaid interest to the date of redemption or, if greater, the make-whole redemption price. 5% Senior Notes. On June 20, 2014, AGUS issued $500 million of 5% Senior Notes due 2024 (5% Senior Notes) for net proceeds of $495 million. The net proceeds from the sale of the notes were used for general corporate purposes, including the purchase of AGL common shares. The notes are redeemable, in whole or in part, at their principal amount plus accrued and unpaid interest to the date of redemption or, if greater, the make-whole redemption price. On September 27, 2021, the Company used a portion of the proceeds from the issuance of AGUS’s 3.6% Senior Notes on August 20, 2021 to redeem $170 million of the outstanding principal of these 5% Senior Notes. 3.15% Senior Notes. On May 26, 2021, AGUS issued $500 million of 3.150% Senior Notes due 2031 (3.15% Senior Notes) for net proceeds of $494 million The net proceeds from the issuance were used for the redemption of AGMH’s debt, as described below, with the balance being used for general corporate purposes, including share repurchases. AGUS may redeem all or part of the 3.15% Senior Notes at any time or from time to time prior to March 15, 2031 (the date that is three months prior to the maturity of the 3.15% Senior Notes), at its option, at a redemption price equal to the greater of: (i) 100% of the principal amount of the 3.15% Senior Notes being redeemed; or (ii) the sum of the present values of the remaining scheduled payments of principal and interest on the Notes being redeemed (excluding interest accrued to the redemption date) from the redemption date to March 15, 2031 discounted to the date of redemption on a semi-annual basis (assuming a 360-day year consisting of twelve 30-day months) at a discount rate equal to the Treasury Rate plus 25 bps; plus, in each case, accrued and unpaid interest on the 3.15% Senior Notes to be redeemed to, but excluding, the redemption date. AGUS may redeem all or part of the 3.15% Senior Notes at any time or from time to time on and after March 15, 2031, at its option, at a redemption price equal to 100% of the principal amount of the 3.15% Senior Notes being redeemed, plus accrued and unpaid interest on the 3.15% Senior Notes to be redeemed to, but excluding, the redemption date. The 3.15% Senior Notes are fully and unconditionally guaranteed on a senior unsecured basis by AGL. The 3.15% Senior Notes are senior unsecured obligations of AGUS and rank equally in right of payment with all of AGUS’s other unsecured and unsubordinated indebtedness outstanding. The guarantee is a senior unsecured obligation of AGL and ranks equally in right of payment with all of AGL’s other unsecured and unsubordinated indebtedness outstanding. 3.6% Senior Notes. On August 20, 2021, AGUS issued $400 million of 3.600% Senior Notes due 2051 (3.6% Senior Notes) for net proceeds of $395 million. The net proceeds from the issuance were used for the redemption on September 27, 2021, of AGMH’s debt and a portion of AGUS’s debt maturing in 2024, as described below. AGUS may redeem all or part of the 3.6% Senior Notes at any time or from time to time prior to March 15, 2051 (the date that is six months prior to the maturity of the 3.6% Senior Notes), at its option, at a redemption price equal to the greater of: (i) 100% of the principal amount of the 3.6% Senior Notes being redeemed; or (ii) the sum of the present values of the remaining scheduled payments of principal and interest on the Notes being redeemed (excluding interest accrued to the redemption date) from the redemption date to March 15, 2051 discounted to the date of redemption on a semi-annual basis (assuming a 360-day year consisting of twelve 30-day months) at a discount rate equal to the Treasury Rate plus 30 bps; plus, in each case, accrued and unpaid interest on the 3.6% Senior Notes to be redeemed to, but excluding, the redemption date. AGUS may redeem all or part of the 3.6% Senior Notes at any time or from time to time on and after March 15, 2051, at its option, at a redemption price equal to 100% of the principal amount of the 3.6% Senior Notes being redeemed, plus accrued and unpaid interest on the 3.6% Senior Notes to be redeemed to, but excluding, the redemption date. The 3.6% Senior Notes are fully and unconditionally guaranteed on a senior unsecured basis by AGL. The 3.6% Senior Notes are senior unsecured obligations of AGUS and rank equally in right of payment with all of AGUS’s other unsecured and unsubordinated indebtedness outstanding. The guarantee is a senior unsecured obligation of AGL and ranks equally in right of payment with all of AGL’s other unsecured and unsubordinated indebtedness outstanding. Series A Enhanced Junior Subordinated Debentures. On December 20, 2006, AGUS issued $150 million of Debentures due 2066. The Debentures pay a floating rate of interest, reset quarterly, at a rate equal to three month LIBOR plus a margin equal to 2.38%. AGUS may select at one or more times to defer payment of interest for one or more consecutive periods for up to ten years. Any unpaid interest bears interest at the then applicable rate. AGUS may not defer interest past the maturity date. The debentures are redeemable, in whole or in part, at their principal amount plus accrued and unpaid interest to the date of redemption. Debt Issued by AGMH Junior Subordinated Debentures. On November 22, 2006, AGMH issued $300 million face amount of Junior Subordinated Debentures with a scheduled maturity date of December 15, 2036 and a final repayment date of December 15, 2066. The final repayment date of December 15, 2066 may be automatically extended up to four times in five-year increments provided certain conditions are met. The debentures are redeemable, in whole or in part, at any time prior to December 15, 2036 at their principal amount plus accrued and unpaid interest to the date of redemption or, if greater, the make-whole redemption price. Interest on the debentures will accrue from November 22, 2006 to December 15, 2036 at the annual rate of 6.4%. If any amount of the debentures remains outstanding after December 15, 2036, then the principal amount of the outstanding debentures will bear interest at a floating interest rate equal to one-month LIBOR plus 2.215% until repaid. AGMH may elect at one or more times to defer payment of interest on the debentures for one or more consecutive interest periods that do not exceed ten years. In connection with the completion of this offering, AGMH entered into a replacement capital covenant for the benefit of persons that buy, hold or sell a specified series of AGMH long-term indebtedness ranking senior to the debentures. Under the covenant, the debentures will not be repaid, redeemed, repurchased or defeased by AGMH or any of its subsidiaries on or before the date that is 20 years prior to the final repayment date, except to the extent that AGMH has received proceeds from the sale of replacement capital securities. The proceeds from this offering were used to pay a dividend to the shareholders of AGMH. Over the past several years AGUS purchased, and as of December 31, 2022 and 2021, AGUS holds approximately $154 million in principal of the AGMH Subordinated Debentures. Loss on Extinguishment of Debt On July 9, 2021, a portion of the proceeds from the issuance of the 3.15% Senior Notes was used to redeem $200 million of AGMH debt as follows: • all $100 million of AGMH’s 6 7/8% Notes (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 5.6%% Notes due in 2103, • the remaining $130 million of AGMH 6.25% Notes due in 2102, and • $170 million of the $500 million of AGUS’s 5% Senior Notes due in 2024. As a result of these redemptions, the Company recognized a loss on extinguishment of debt of approximately $175 million on a pre-tax basis ($138 million after-tax) in the year ended December 31, 2021, which represents the difference between the amount paid to redeem the debt and the carrying value of the debt. The loss on extinguishment of debt primarily consists of a $156 million acceleration of unamortized fair value adjustments that were originally recorded upon the acquisition of AGMH in 2009, and a $19 million make-whole payment associated with the redemption of $170 million of AGUS’s 5% Senior Notes. Debt Maturity and Interest Expense Scheduled principal payments of the Company’s debt are as follows: Debt Maturity Schedule (1) As of December 31, 2022 Year Principal (in millions) 2023 $ — 2024 330 2025 — 2026 — 2027 — 2028-2047 700 2048-2066 696 Total $ 1,726 ____________________ (1) Includes eliminations of AGMH’s debt purchased by AGUS. The Company’s interest expense was $81 million, $87 million and $85 million for the years ended December 31, 2022, 2021 and 2020, respectively. Committed Capital Securities Each of AGC and AGM have entered into put agreements with four separate custodial trusts allowing AGC and AGM, respectively, to issue an aggregate of $200 million of non-cumulative redeemable perpetual preferred securities to the trusts in exchange for cash. Each custodial trust was created for the primary purpose of issuing $50 million face amount of CCS, investing the proceeds in high-quality assets and entering into put options with AGC or AGM, as applicable. The Company is not the primary beneficiary of the trusts and therefore the trusts are not consolidated in Assured Guaranty’s financial statements. The trusts provide AGC and AGM access to new equity capital at their respective sole discretion through the exercise of the put options. Upon AGC’s or AGM’s exercise of its put option, the relevant trust will liquidate its portfolio of eligible assets and use the proceeds to purchase the AGC or AGM preferred stock, as applicable. AGC or AGM may use the proceeds from its sale of preferred stock to the trusts for any purpose, including the payment of claims. The put agreements have no scheduled termination date or maturity. However, each put agreement will terminate if (subject to certain grace periods) specified events occur. Both AGC and AGM continue to have the ability to exercise their respective put options and cause the related trusts to purchase their preferred stock. Prior to 2008 or 2007, the amounts paid on the CCS were established through an auction process. All of those auctions failed in 2008 or 2007, and the rates paid on the CCS increased to their respective maximums. The annualized rate on the AGC CCS is one-month LIBOR plus 250 bps, and the annualized rate on the AGM CPS is one-month LIBOR plus 200 bps. Short-Term Loan Facility On February 3, 2022, the Company entered into a secured short-term loan facility with a major financial institution to partially fund gross payments in connection with the 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 on March 14, 2022 and repaid it in full, with interest at 1.10%, on March 16, 2022. The ability of the Company to borrow under the facility has expired. |
Employee Benefit Plans
Employee Benefit Plans | 12 Months Ended |
Dec. 31, 2022 | |
Share-Based Payment Arrangement [Abstract] | |
Employee Benefit Plans | Employee Benefit Plans Assured Guaranty Ltd. 2004 Long-Term Incentive Plan Under the Assured Guaranty Ltd. 2004 Long-Term Incentive Plan, as amended (the Incentive Plan), the number of AGL common shares that may be delivered under the Incentive Plan may not exceed 18,670,000. As of December 31, 2022, 8,059,991 common shares were available for grant under the Incentive Plan. In the event of certain transactions affecting AGL’s common shares, the number or type of shares subject to the Incentive Plan, the number and type of shares subject to outstanding awards under the Incentive Plan, and the exercise price of awards under the Incentive Plan, may be adjusted. The Incentive Plan authorizes the grant of incentive stock options, non-qualified stock options, stock appreciation rights, and full value awards that are based on AGL’s common shares. The grant of full value awards may be in return for a participant's previously performed services, or in return for the participant surrendering other compensation that may be due, or may be contingent on the achievement of performance or other objectives during a specified period. The grant of full value awards are subject to a risk of forfeiture or other restrictions that will lapse upon the achievement of one or more goals relating to completion of service by the participant, or achievement of performance or other objectives. Awards under the Incentive Plan may accelerate and become vested upon a change in control of AGL. The Incentive Plan is administered by the Compensation Committee of AGL's Board of Directors (the Board), except as otherwise determined by the Board. The Board may amend or terminate the Incentive Plan. Accounting Policy Share-based compensation expense is based on the grant date fair value using the grant date closing price or the Monte Carlo or Black-Scholes-Merton (Black-Scholes) pricing models. The Company amortizes the fair value of share-based awards on a straight-line basis over the requisite service periods of the awards, which are generally the vesting periods, with the exception of retirement‑eligible employees. For retirement-eligible employees, the portion of the unvested time-based awards that become fully vested upon retirement eligibility are expensed immediately. The fair value of each award under the Assured Guaranty Ltd. Employee Stock Purchase Plan is estimated at the beginning of the offering period using the Black-Scholes option valuation model and are expensed over the period which the employee participates in the plan and pays for the shares. Long-Term Incentive Plan Restricted Stock Units Restricted stock units are valued based on the closing price of the underlying shares at the date of grant. The Company awards restricted stock units to employees that generally vest after a three-year or over a four-year period. Occasionally the Company may award restricted stock units to employees that vest after a four-year period. The shares are delivered on the vesting date. Restricted Stock Unit Activity Nonvested Stock Units Number of Stock Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2021 906,302 $ 43.25 Granted 441,436 56.46 Vested (279,089) 41.26 Forfeited (1,583) 47.39 Nonvested at December 31, 2022 1,067,066 $ 49.18 As of December 31, 2022, the total unrecognized compensation cost related to outstanding non-vested restricted stock units was $21 million, which the Company expects to recognize over the weighted-average remaining service period of 1.8 years. The total fair value of restricted stock units vested during the years ended December 31, 2022, 2021 and 2020 was $12 million, $12 million and $11 million, respectively. The weighted-average grant-date fair value of restricted stock units granted during the years ended December 31, 2022, 2021 and 2020 was $56.46, $44.08, and $41.31, respectively. Performance Restricted Stock Units Each performance restricted stock unit represents a contingent right to receive up to a certain number of the Company’s common shares. Awards tied to core adjusted book value per share represent the right to receive up to two shares at the end of a three-year performance period, depending on the growth in core adjusted book value per share over the three-year performance period. Performance restricted stock units tied to total shareholder return (TSR) relative to the TSR of the 55th percentile of the Russell Midcap Financial Services Index represent the right to receive up to 2.5 shares at the end of a three-year performance period. The shares related to awards tied to core adjusted book value per share are delivered on the vesting date and the shares related to awards tied to relative TSR are generally delivered on the fourth anniversary of the grant date. Performance Restricted Stock Unit Activity Performance Restricted Stock Units Number of Performance Share Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2021 614,912 $ 46.25 Granted (1) 217,551 62.89 Vested (1) (197,078) 41.34 Forfeited — — Nonvested at December 31, 2022 (2) 635,385 $ 54.26 ____________________ (1) Includes 94,209 performance restricted stock units that were granted prior to 2022 at a weighted average grant date fair value of $41.34, but met performance hurdles and vested during 2022. The weighted average grant date fair value per share excludes these shares. (2) Excludes 167,942 performance restricted stock units that have met performance hurdles and will be eligible for vesting after December 31, 2022. As of December 31, 2022, the total unrecognized compensation cost related to outstanding non-vested performance share units was $15 million, which the Company expects to recognize over the weighted-average remaining service period of 1.7 years. The total value of performance restricted stock units vested during the years ended December 31, 2022, 2021 and 2020 was based on grant date fair value and was $8 million, $9 million and $8 million, respectively. For the 2022, 2021 and 2020 awards, the grant-date fair value of the performance restricted stock units tied to relative TSR was calculated using a Monte Carlo simulation in order to determine the total return of the Company’s shares relative to the total return of financial companies in the Russell Midcap Financial Services Index. The inputs to the simulation include the beginning prices of shares, historical volatilities, and dividend yields of all relevant companies as well as all possible pairwise correlation coefficients among the relevant companies. In addition, the risk-free return and discount for illiquidity are also included. The following are significant assumptions used in determining the fair value of the performance restricted stock units tied to relative TSR. Years Ended December 31, 2022 2021 2020 Expected term 2.85 years 2.85 years 2.84 years Expected volatility 27.19 % – 78.96% 26.55 % – 65.84% 11.93 % – 48.12% Dividend yield 0.00% 0.00% 0.00% Risk-free-rates 1.74% 0.22% 1.14% Grant-date fair value $83.97 $60.06 $38.96 For the 2022, 2021 and 2020 awards, the grant-date fair value of the performance restricted stock units tied to core adjusted book value was based on the grant date closing price. The weighted-average grant-date fair value of the 2022, 2021 and 2020 awards was $62.89, $52.04 and $41.03, respectively. Restricted Stock Awards Restricted stock awards are valued based on the closing price of the underlying shares at the date of grant. The Company awards restricted stock awards to non-executive directors that vest after one year. The shares are delivered on the vesting date. Restricted Stock Award Activity Nonvested Shares Number of Shares Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2021 44,797 $ 51.34 Granted 36,403 59.47 Vested (44,797) 51.34 Forfeited — — Nonvested at December 31, 2022 36,403 $ 59.47 As of December 31, 2022, the total unrecognized compensation cost related to outstanding non-vested restricted stock awards was $0.7 million, which the Company expects to recognize over the weighted-average remaining service period of 0.3 years. The total fair value of shares vested during the years ended December 31, 2022, 2021 and 2020 was $2.3 million, $1.9 million and $2.3 million, respectively. The weighted-average grant-date fair value of shares granted during the years ended December 31, 2022, 2021 and 2020 was $59.47, $51.34 and $28.12, respectively. Employee Stock Purchase Plan The Company established the AGL Employee Stock Purchase Plan (Stock Purchase Plan) in accordance with Internal Revenue Code of 1986 (the Code) Section 423, and participation is available to all eligible employees. Maximum annual purchases by participants are limited to the number of whole shares that can be purchased by an amount equal to 10% of the participant's compensation or, if less, shares having a value of $25,000. Participants may purchase shares at a purchase price equal to 85% of the lesser of the fair market value of the stock on the first day or the last day of the subscription period. The Company has reserved for issuance and purchases under the Stock Purchase Plan 850,000 AGL common shares. As of December 31, 2022, 65,042 common shares were available for grant under the Stock Purchase Plan. The fair value of each award under the Stock Purchase Plan is estimated using the following assumptions: a) the expected dividend yield is based on the current expected annual dividend and share price on the grant date; b) the expected volatility is estimated at the date of grant based on the historical share price volatility, calculated on a daily basis; c) the risk-free rate for periods within the contractual life of the option is based on the U.S. Treasury yield curve in effect at the time of grant; and d) the expected life is based on the term of the offering period. Stock Purchase Plan Year Ended December 31, 2022 2021 2020 (dollars in millions) Proceeds from purchase of shares by employees $ 2.4 $ 2.1 $ 1.5 Number of shares issued by the Company 53,453 67,615 72,797 Share-Based Compensation Expense The following table presents share-based compensation costs and the amount of such costs that are deferred as policy acquisition costs, pre-tax. Amortization of previously deferred share compensation costs is not shown in the table below. Share-Based Compensation Expense Summary Year Ended December 31, 2022 2021 2020 (in millions) Share‑based compensation expense $ 39 $ 27 $ 25 Share‑based compensation capitalized as DAC 3 2 1 Income tax benefit 6 4 4 Defined Contribution Plan The Company maintains a savings incentive plan, which is qualified under Section 401(a) of the Code for U.S. employees. Eligible participants may contribute a percentage of their eligible compensation subject to U.S. Internal Revenue Service (IRS) limitations. The Company’s matching contribution is an amount equal to 100% of each participant’s contributions up to 7% of such participant’s eligible compensation, subject to IRS limitations. Certain eligible participants may also contribute a percentage of eligible compensation over the IRS limitations to a nonqualified supplemental executive retirement plan. The Company's matching contribution in the nonqualified plan is an amount equal to 100% of each participant’s contributions up to 6% of participant’s eligible compensation above the IRS limitations for the qualified plan. The Company also makes core contributions of 7% of the participant’s eligible compensation to the qualified plan, subject to IRS limitations, regardless of whether the employee otherwise contributes to the plan, and a core contribution of 6% of the participant’s eligible compensation above the IRS limitations for the qualified plan to the nonqualified plan for eligible employees. Employees become fully vested in Company contributions to the qualified and nonqualified plans after one year of service, as defined in the plan (or upon reaching age 65 for the nonqualified plan, if earlier). Plan eligibility is immediate upon hire. The Company also maintains similar non-qualified plans for non-U.S. employees. The Company recognized defined contribution expenses of $20 million, $20 million and $20 million for the years ended December 31, 2022, 2021 and 2020, respectively. |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes AGL and its Bermuda subsidiaries, AG Re, AGRO, and Cedar Personnel Ltd. (collectively, the Bermuda Subsidiaries), are not subject to any income, withholding or capital gains taxes under current Bermuda law. The Company has received an assurance from the Minister of Finance in Bermuda that, in the event of any taxes being imposed, AGL and its Bermuda Subsidiaries will be exempt from taxation in Bermuda until March 31, 2035. AGL’s U.S., U.K. and French subsidiaries are subject to income taxes imposed by U.S., U.K. and French authorities, respectively, and file applicable tax returns. In addition, AGRO, a Bermuda domiciled company, has elected under Section 953(d) of the U.S. Internal Revenue Code to be taxed as a U.S. domestic corporation. In November 2013, AGL became tax resident in the U.K. although it remains a Bermuda-based company and its administrative and head office functions continue to be carried on in Bermuda. As a U.K. tax resident company, AGL is required to file a corporation tax return with His Majesty’s Revenue & Customs. AGL is subject to U.K. corporation tax in respect of its worldwide profits (both income and capital gains), subject to any applicable exemptions. The corporation tax rate was 19%. The Company expects that the dividends AGL receives from its direct subsidiaries will be exempt from U.K. corporation tax due to the exemption in section 931D of the U.K. Corporation Tax Act 2009. In addition, the Company obtained a clearance from His Majesty’s Revenue & Customs confirming any dividends paid by AGL to its shareholders should not be subject to any withholding tax in the U.K. The Company does not expect any profits of non-U.K. resident members of the group to be taxed under the U.K. “controlled foreign companies” regime. AGUS files a consolidated federal income tax return with all of its U.S. subsidiaries. Assured Guaranty Overseas US Holdings Inc. and its subsidiaries, AGRO and AG Intermediary Inc., file their own consolidated federal income tax return. The U.S. entities acquired in the BlueMountain Acquisition are included in the AGUS consolidated federal income tax return and the U.K. entities acquired in the BlueMountain Acquisition are included in the U.K tax returns. The Coronavirus Aid, Relief, and Economic Security Act (the CARES Act) became law on March 27, 2020 and was updated on April 9, 2020. The CARES Act, among other tax changes, accelerates the ability of companies to receive refunds of alternative minimum tax (AMT) credits related to tax years beginning in 2018 and 2019. As a result, the Company received a refund for AMT credits in 2020. Accounting Policy The provision for income taxes consists of an amount for taxes currently payable and an amount for deferred taxes. Deferred income taxes are provided for temporary differences between the financial statement carrying amounts and tax bases of assets and liabilities, using enacted rates in effect for the year in which the differences are expected to reverse. A valuation allowance is recorded to reduce the deferred tax asset to an amount that is more likely than not to be realized. Non-interest-bearing tax and loss bonds are purchased in the amount of the tax benefit that results from deducting statutory-basis contingency reserves as provided under the Code Section 832(e). The Company records the purchase of tax and loss bonds in deferred taxes. The Company recognizes tax benefits only if a tax position is “more likely than not” to prevail. The Company elected to account for tax associated with Global Intangible Low-Taxed Income (GILTI) as a current-period expense when incurred. Deferred and current tax assets and liabilities are reported in “other assets” or ”other liabilities” on the consolidated balance sheets. Tax Assets (Liabilities) Deferred and Current Tax Assets (Liabilities) As of December 31, 2022 2021 (in millions) Net deferred tax assets (liabilities) $ 114 $ (33) Net current tax assets (liabilities) 63 (43) Components of Net Deferred Tax Assets (Liabilities) As of December 31, 2022 2021 (in millions) Deferred tax assets: Unearned premium reserves, net $ 26 $ 51 Net unrealized investment losses 70 — Rent 18 17 Investments 7 — Foreign tax credit 5 24 Net operating loss 25 28 Depreciation 30 27 Deferred compensation 30 29 Deferred balances related to non-U.S. affiliates 14 — Other 23 19 Total deferred tax assets 248 195 Deferred tax liabilities: Net unrealized investment gains — 74 Investments — 30 DAC 20 20 Loss and LAE reserve 74 44 Lease 14 16 Other 21 20 Total deferred tax liabilities 129 204 Less: Valuation allowance 5 24 Net deferred tax assets (liabilities) $ 114 $ (33) As part of the acquisition of CIFG Holding Inc. (CIFGH, and together with its subsidiaries, CIFG), the Company acquired $189 million of net operating losses (NOL) which will begin to expire in 2033. The NOL has been limited under the Code Section 382 due to a change in control as a result of the acquisition. As of December 31, 2022, the Company had $121 million of NOL available to offset its future U.S. taxable income. Valuation Allowance During 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 December 31, 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 December 31, 2022. There were no changes in the valuation allowance during 2021 . During 2020, the Company reduced its valuation allowance from $36 million as of December 31, 2019 to $24 million as of December 31, 2020 due to the expiration of the FTC from previous acquisitions. 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. Changes in market conditions during 2022, including rising interest rates, resulted in the recording of deferred tax assets related to net unrealized tax capital losses. When assessing recoverability of these deferred tax assets, the Company considers the ability and intent to hold the underlying securities to recovery in value, if necessary, as well as other factors as noted above. As of December 31, 2022, based on all available evidence, including capital loss carryback capacity, the Company concluded that the deferred tax assets related to the unrealized tax capital losses on the available-for-sale securities portfolios are, more likely than not, expected to be realized. Provision for Income Taxes The effective tax rates reflect the proportion of income recognized by each of the Company’s operating subsidiaries, with U.S. subsidiaries taxed at the U.S. marginal corporate income tax rate of 21% in 2022, 2021 and 2020; U.K. subsidiaries taxed at the U.K. marginal corporate tax rate of 19%; French subsidiaries taxed at the French marginal corporate tax rate of 25% in 2022, 27.5% in 2021, and 28% in 2020; and no taxes for the Company’s Bermuda Subsidiaries unless subject to U.S. tax by election. Controlled foreign corporations (CFCs) apply the local marginal corporate tax rate. In addition, the TCJA creates a new requirement that a portion of the GILTI earned by CFCs must be included currently in the gross income of the CFCs’ U.S. shareholder. The Company’s overall effective tax rate fluctuates based on the distribution of income across jurisdictions. A reconciliation of the difference between the provision for income taxes and the expected tax provision at statutory rates in taxable jurisdictions is presented below. Effective Tax Rate Reconciliation Year Ended December 31, 2022 2021 2020 (in millions) Expected tax provision (benefit) $ 23 $ 76 $ 83 Tax-exempt interest (14) (19) (20) Change in liability for uncertain tax positions — — (17) Return to provision adjustment (20) (4) (7) Noncontrolling interest (3) (8) (1) State taxes 12 7 4 Taxes on reinsurance — (2) 9 Foreign taxes 6 8 (3) Stock based compensation 5 4 — Other 2 (4) (3) Total provision (benefit) for income taxes $ 11 $ 58 $ 45 Effective tax rate 7.2 % 12.2 % 10.9 % The expected tax provision (benefit) is calculated as the sum of pre-tax income in each jurisdiction multiplied by the statutory tax rate of the jurisdiction by which it will be taxed. Where there is a pre-tax loss in one jurisdiction and pre-tax income in another, the total combined expected tax rate may be higher or lower than any of the individual statutory rates. The following tables present pre-tax income and revenue by jurisdiction. Pre-tax Income (Loss) by Tax Jurisdiction Year Ended December 31, 2022 2021 2020 (in millions) U.S. $ 189 $ 378 $ 385 Bermuda 44 115 16 U.K. (69) (8) 13 France (16) (8) (1) Total $ 148 $ 477 $ 413 Revenue by Tax Jurisdiction Year Ended December 31, 2022 2021 2020 (in millions) U.S. $ 661 $ 685 $ 894 Bermuda 84 123 151 U.K. (15) 41 60 France (8) (3) 6 Other 1 2 4 Total $ 723 $ 848 $ 1,115 Pre-tax income by jurisdiction may be disproportionate to revenue by jurisdiction to the extent that insurance losses incurred are disproportionate. Audits As of December 31, 2022, AGUS had open tax years with the U.S. IRS for 2018 forward and is currently under audit for the 2018 and 2019 tax years. As of December 31, 2022, Assured Guaranty Overseas US Holdings Inc. had open tax years with the U.S. IRS for 2019 forward and is not currently under audit with the IRS. In September 2022, His 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 in the U.K. The Company’s French subsidiary is not currently under examination and has open tax years of 2019 forward. Uncertain Tax Positions The Company’s policy is to recognize interest related to uncertain tax positions in income tax expense and has accrued zero for full years 2022 and 2021 and $0.3 million for 2020. As of both December 31, 2022 and 2021, the Company has accrued zero of interest. The total amount of reserves for unrecognized tax positions, including accrued interest, that would affect the effective tax rate, if recognized, was zero as of December 31, 2022, 2021 and 2020. In 2020, unrecognized tax positions were decreased by $15 million to zero as a result of settlement of positions taken during the prior period. |
Insurance Company Regulatory Re
Insurance Company Regulatory Requirements | 12 Months Ended |
Dec. 31, 2022 | |
Insurance Company Regulatory Requirements [Abstract] | |
Insurance Company Regulatory Requirements | Insurance Company Regulatory Requirements The following table summarizes the policyholder’s surplus and net income amounts reported to local regulatory bodies in the U.S. and Bermuda for insurance subsidiaries within the group. The discussion that follows describes the basis of accounting and differences to GAAP. Insurance Regulatory Amounts Reported U.S. and Bermuda Policyholders’ Surplus Net Income (Loss) As of December 31, Year Ended December 31, 2022 2021 2022 2021 2020 (in millions) U.S. statutory companies: AGM (1) $ 2,747 $ 3,053 $ 163 $ 352 $ 398 AGC (2) 1,916 2,070 62 282 73 Bermuda statutory companies: AG Re 839 944 53 121 24 AGRO 390 425 9 6 7 ____________________ (1) Policyholders’ surplus is net of contingency reserves of $855 million and $877 million as of December 31, 2022 and December 31, 2021, respectively. (2) Policyholders’ surplus is net of contingency reserves of $347 million and $348 million as of December 31, 2022 and December 31, 2021, respectively. Basis of Regulatory Financial Reporting United States Each of the Company’s U.S. domiciled insurance companies’ ability to pay dividends depends, among other things, upon its financial condition, results of operations, cash requirements, compliance with rating agency requirements, and is also subject to restrictions contained in the insurance laws and related regulations of its state of domicile and other states. Financial statements prepared in accordance with accounting practices prescribed or permitted by local insurance regulatory authorities differ in certain respects from GAAP. The Company’s U.S. domiciled insurance companies prepare statutory financial statements in accordance with accounting practices prescribed or permitted by the National Association of Insurance Commissioners (NAIC) and their respective insurance departments. Prescribed statutory accounting practices (SAP) are set forth in the NAIC Accounting Practices and Procedures Manual. The Company has no permitted accounting practices on a statutory basis. GAAP differs in certain significant respects from the U.S. insurance companies’ statutory accounting practices prescribed or permitted by insurance regulatory authorities. The principal differences result from the statutory accounting practices listed below. • Upfront premiums are earned upon expiration of risk and installment premiums are earned on a pro-rata basis over the installment period, rather than in proportion to the amount of insurance protection provided under GAAP. The timing of premium accelerations may also differ between statutory and GAAP. Under GAAP, premiums are accelerated only upon the legal defeasance of an insured obligation, whereas statutory premiums may be accelerated earlier if an insured obligation is economically defeased prior to legal defeasance. • Acquisition costs are charged to expense as incurred rather than expensed over the period that the related premiums are earned under GAAP. Ceding commission income is earned immediately except for amounts in excess of acquisition costs, which are deferred, rather than fully deferred under GAAP. • A contingency reserve is established according to applicable insurance laws, whereas no such reserve is required under GAAP. • Certain assets designated as “non-admitted assets” are charged directly to statutory surplus, rather than reflected as assets under GAAP. • Investments in subsidiaries are carried on the balance sheet on the equity basis, to the extent admissible, rather than consolidated with the parent under GAAP. • The amount of admitted deferred tax assets are subject to an adjusted surplus threshold and subject to a limitation calculated in accordance with statutory accounting principles. Under GAAP there is no non-admitted asset determination, rather a valuation allowance is recorded to reduce the deferred tax asset to an amount that is more likely than not to be realized. • Insured credit derivatives are accounted for as insurance contracts rather than accounted for as derivative contracts that are measured at fair value under GAAP. • Bonds are reported at either amortized cost or the lower of amortized cost or fair value, rather than classified as available-for-sale or trading securities and carried at fair value under GAAP. • The impairment model for fixed-maturity debt securities classified as available-for-sale under GAAP differs from the statutory impairment model. Under SAP, debt securities that have been determined to be other-than-temporarily impaired, are written down to fair value or the present value of cash flows. Under GAAP, an allowance for credit losses is established, and can be reversed for subsequent increases in expected cash flows. • Insured obligations of VIEs, where the Company is deemed the primary beneficiary, are accounted for as insurance contracts. Under GAAP, such VIEs are consolidated and any transactions with the Company are eliminated. • Surplus notes are recognized as surplus and each payment of principal and interest is recorded only upon approval of the insurance regulator rather than as liabilities with periodic accrual of interest under GAAP. • Acquisitions are accounted for as either statutory purchases or statutory mergers, rather than under the purchase method under GAAP. • Losses are discounted at pre-tax book yields, and recorded when there is a significant credit deterioration on specific insured obligations and the obligations are in default or default is probable. Under GAAP, expected losses are discounted at the risk-free rate at the end of each reporting period and are recorded only to the extent they exceed deferred premium revenue. • The present value of contractual or expected installment premiums and commissions are not recorded on the balance sheet as they are under GAAP. • The put options in CCS are not accounted for as derivatives as they are under GAAP. • Foreign denominated unearned premiums reserve is remeasured at current exchange rates. rather than carried at historical rates under GAAP. Bermuda AG Re, a Bermuda regulated Class 3B insurer, and AGRO, a Bermuda regulated Class 3A and Class C insurer, prepare their statutory financial statements in conformity with the accounting principles set forth in the Insurance Act 1978, amendments thereto and related regulations. As of December 31, 2016, the Bermuda Monetary Authority (the Authority) requires insurers to prepare statutory financial statements in accordance with the particular accounting principles adopted by the insurer (which, in the case of AG Re and AGRO, are GAAP), subject to certain adjustments. The adjustments are mainly related to certain assets designated as “non-admitted assets” which are charged directly to statutory surplus rather than reflected as assets as they are under GAAP. United Kingdom AGUK prepares its Solvency and Financial Condition Report and other required regulatory financial reports based on Prudential Regulation Authority and Solvency II Regulations (Solvency II). As of December 31, 2022 AGUK’s Own Funds were an estimated £592 million (or $716 million). As of December 31, 2021 AGUK’s Own Funds were £591 million (or $800 million). France AGE prepares its Solvency and Financial Condition Report and other required regulatory financial reports based on Autorité de Contrôle Prudentiel et de Résolution (ACPR) regulations and Solvency II. As of December 31, 2022 AGE’s Own Funds were an estimated €52 million (or $56 million). As of December 31, 2021 AGE’s Own Funds were €58 million (or $66 million). Dividend Restrictions and Capital Requirements United States Under the New York insurance law, AGM may only pay dividends out of “earned surplus,” which is the portion of an insurer’s surplus that represents the net earnings, gains or profits (after deduction of all losses) that have not been distributed to the insurer’s shareholders as dividends, transferred to stated capital or capital surplus, or applied to other purposes permitted by law, but does not include unrealized appreciation of assets. AGM may pay dividends without the prior approval of the New York State Department of Financial Services Superintendent (New York Superintendent) in an amount that, together with all dividends declared or distributed by it during the preceding 12 months, does not exceed the lesser of 10% of its policyholders’ surplus (as of its last annual or quarterly statement filed with the New York Superintendent) or 100% of its adjusted net investment income during that period. The maximum amount available during 2023 for AGM to distribute as dividends without regulatory approval is estimated to be approximately $209 million. Of such $209 million, $40 million is estimated to be available for distribution in the first quarter of 2023. Under Maryland’s insurance law, AGC may, with prior notice to the Maryland Insurance Administration Commissioner, pay an ordinary dividend in an amount that, together with all dividends paid in the prior 12 months, does not exceed the lesser of 10% of its policyholders’ surplus (as of the prior December 31) or 100% of its adjusted net investment income during that period. The maximum amount available during 2023 for AGC to distribute as ordinary dividends is approximately $102 million. Of such $102 million, approximately $20 million is available for distribution in the first quarter of 2023. Bermuda For AG Re, any distribution (including repurchase of shares) of any share capital, contributed surplus or other statutory capital that would reduce its total statutory capital by 15% or more of its total statutory capital as set out in its previous year's financial statements requires the prior approval of the Authority. Separately, dividends are paid out of an insurer’s statutory surplus and cannot exceed that surplus. Furthermore, annual dividends cannot exceed 25% of total statutory capital and surplus as set out in its previous year’s financial statements, which is $210 million, without AG Re certifying to the Authority that it will continue to meet required margins. Based on the foregoing limitations, in 2023 AG Re has the capacity to: (i) make capital distributions in an aggregate amount up to $129 million without the prior approval of the Authority; and (ii) declare and pay dividends in an aggregate amount up to approximately $210 million as of December 31, 2022. Such dividend capacity is further limited by: (i) the actual amount of AG Re’s unencumbered assets, which amount changes from time to time due in part to collateral posting requirements and which was approximately $138 million as of December 31, 2022; and (ii) the amount of statutory surplus, which as of December 31, 2022 was a deficit of $19 million. For AGRO, a subsidiary of AG Re, annual dividends cannot exceed $98 million, without AGRO certifying to the Authority that it will continue to meet required margins. Based on the foregoing limitations, in 2023 AGRO has the capacity to: (i) make capital distributions in an aggregate amount up to $21 million without the prior approval of the Authority; and (ii) declare and pay dividends in an aggregate amount up to approximately $98 million as of December 31, 2022. Such dividend capacity is further limited by: (i) the actual amount of AGRO’s unencumbered assets, which amount changes from time to time due in part to collateral posting requirements and which was approximately $374 million as of December 31, 2022; and (ii) the amount of statutory surplus, which as of December 31, 2022 was $253 million. United Kingdom U.K. company law prohibits AGUK from declaring a dividend to its shareholders unless it has “profits available for distribution.” The determination of whether a company has profits available for distribution is based on its accumulated realized profits less its accumulated realized losses. While the U.K. insurance regulatory laws impose no statutory restrictions on a general insurer’s ability to declare a dividend, the Prudential Regulation Authority’s capital requirements may in practice act as a restriction on dividends for AGUK. France French company law prohibits AGE from declaring a dividend to its shareholders unless it has “profits and/or reserves available for distribution.” The determination of whether a company has profits available for distribution is based on its accumulated realized profits less its accumulated realized losses. While French law imposes no statutory restrictions on an insurer’s ability to declare a dividend, the ACPR’s capital requirements may, in practice, act as a restriction on dividends for AGE. Dividend Restrictions and Capital Requirements Distributions from / Contributions to Insurance Company Subsidiaries Year Ended December 31, 2022 2021 2020 (in millions) Dividends paid by AGC to AGUS $ 207 $ 94 $ 166 Dividends paid by AGM to AGMH 266 291 267 Dividends paid by AG Re to AGL (1) — 150 150 Dividends from AGUK to AGM (2) — — 124 Contributions from AGM to AGE (2) — — (123) ____________________ (1) The 2021 and 2020 amounts included fixed-maturity securities with a fair value of $46 million and $47 million, respectively. |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions From time to time, certain officers, directors, employees, their family members and related charitable foundations may make investments in various private funds, vehicles or accounts managed by AssuredIM. These investments are available to those of the Company’s employees whom the Company has determined to have a status that reasonably permits the Company to offer them these types of investments in compliance with applicable laws. Generally, these investments are not subject to the management fees and performance allocations or incentive fees charged to other investors. See Note 10, Asset Management Fees, for information on management fees from AssuredIM Funds and CLOs. As of December 31, 2022 and December 31, 2021, each of Wellington Management Company, LLP (together with its affiliates, Wellington) and BlackRock Financial Management Inc. (together with its affiliates, BlackRock) directly or indirectly owned more than 5% of the Company’s common shares. Wellington is one of the Company’s investment managers, and BlackRock was also one of the Company’s investment managers until September 2020. BlackRock also provides investment reporting software to the Company. The Company owns a minority interest in Wasmer, Schroeder & Company LLC (Wasmer), which until July 1, 2020, was also one of the Company’s investment portfolio managers. The Company’s investment management agreement with Wasmer was transferred to the Charles Schwab Corporation (Schwab) on July 1, 2020, in connection with the closing on July 1, 2020 of the purchase by Schwab of the business of Wasmer. The investment management and reporting software expense from transactions with Wellington, BlackRock and Wasmer were approximately $2.0 million in 2022, $2.4 million in 2021 and $3.4 million in 2020. In addition, the Company recognized $0.5 million in 2020 in income from its investment in Wasmer, which is included in “equity in earnings of investees” in the consolidated statements of operations. Other related party transactions include receivables from and payables to AssuredIM Funds and receivables due from employees. Total other assets and liabilities with related parties were $3 million and $1 million, respectively, as of December 31, 2022 and $4 million and $3 million, respectively, as of December 31, 2021. In addition, see Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for the investments in AssuredIM Funds and other affiliated entities that are held by CIVs. |
Leases
Leases | 12 Months Ended |
Dec. 31, 2022 | |
Leases [Abstract] | |
Leases | Leases The Company is party to various non-cancelable lease agreements, all of which are operating leases as of December 31, 2022. The majority of the Company's leases relate to office space dedicated to the Company's operations in various locations (primarily New York City, San Francisco, Bermuda, London and Paris) consisting of a total of 271 thousand square feet with expiration dates ranging from 2023 to 2032. The Company subleases certain properties that are not used in its operations. Accounting Policy The Company determines if an arrangement is a lease at inception. For operating leases with an original term of more than 12 months, where the Company is the lessee, it recognizes a right-of-use (ROU) asset in “other assets” and a lease liability in “other liabilities” on the consolidated balance sheets. An ROU asset represents the Company’s right to use an underlying asset for the lease term, and a lease liability represents the Company’s obligation to make lease payments arising from the lease. At the inception of a lease, the total fixed payments under a lease agreement are discounted utilizing an incremental borrowing rate that represents the Company’s collateralized borrowing rate. The rate is determined based on the lease term as of the lease commencement date. Some of the Company’s leases include renewal options, which are not included in the lease terms unless the Company is reasonably certain it will exercise the option. The Company elected the practical expedient to account for all lease components and their associated non-lease components (i.e., common area maintenance, real estate taxes, building insurance, etc.) as a single lease component and include all fixed payments in the measurement of ROU assets and lease liabilities. Operating lease expense is recognized on a straight-line basis over the lease term. Costs related to variable lease and non-lease components for the Company’s leases are expensed in the period incurred. Sublease income is earned on a straight-line basis over the term of the lease. The Company assesses ROU assets for impairment when certain events occur or when there are changes in circumstances including potential alternative uses. If circumstances require an ROU asset to be tested for possible impairment, and the carrying value of the ROU asset is not recoverable on an undiscounted cash flow basis, an impairment is recognized to the extent that the carrying value exceeds its fair value and reported in “other operating expenses” in the consolidated statement of operations. Lease Assets and Liabilities As of December 31, 2022, the ROU asset and lease liability was $87 million and $116 million, respectively. As of December 31, 2021, the ROU asset and lease liability was $100 million and $136 million, respectively. The weighted average remaining lease term as of December 31, 2022 and December 31, 2021 was 8.2 years and 8.6 years, respectively. The Company used a weighted average discount rate of 2.49% and 2.40% as of December 31, 2022 and December 31, 2021, respectively. Lease Expense and Other Information Year Ended December 31, 2022 2021 2020 (in millions) Operating lease cost (1) $ 16 $ 16 $ 30 Other lease costs (2) 3 3 4 Sublease income (7) (5) (3) Total lease cost (3) $ 12 $ 14 $ 31 Cash paid for amounts included in the measurement of lease liabilities Operating cash outflows for operating leases $ 23 $ 20 $ 19 ROU assets obtained in exchange for new operating lease liabilities (4) 1 35 4 ____________________ (1) The 2020 amount includes $13 million ROU asset impairment. (2) Includes variable, short-term and finance lease costs. (3) Includes amortization on finance lease ROU assets and interest on finance lease liabilities reported in “other operating expenses” in the consolidated statements of operations. (4) The amounts in 2021 relate primarily to additional office space leased in New York City. During the fourth quarter of 2020, the Company made the decision to actively market for sublease the office space acquired in the BlueMountain Acquisition. Accordingly, the Company recognized an ROU asset impairment of $13 million as of December 31, 2020 within the Asset Management segment, reducing the carrying value of the associated ROU asset to its estimated fair value. This ROU asset fair value was estimated using an income-approach based on forecasted future cash flows expected to be derived from the property based on current sublease market rent. Future Minimum Rental Payments Operating Leases As of December 31, 2022 Year (in millions) 2023 $ 23 2024 16 2025 13 2026 12 2027 12 Thereafter 53 Total lease payments 129 Less: Imputed interest 13 Total lease liabilities $ 116 |
Leases | Leases The Company is party to various non-cancelable lease agreements, all of which are operating leases as of December 31, 2022. The majority of the Company's leases relate to office space dedicated to the Company's operations in various locations (primarily New York City, San Francisco, Bermuda, London and Paris) consisting of a total of 271 thousand square feet with expiration dates ranging from 2023 to 2032. The Company subleases certain properties that are not used in its operations. Accounting Policy The Company determines if an arrangement is a lease at inception. For operating leases with an original term of more than 12 months, where the Company is the lessee, it recognizes a right-of-use (ROU) asset in “other assets” and a lease liability in “other liabilities” on the consolidated balance sheets. An ROU asset represents the Company’s right to use an underlying asset for the lease term, and a lease liability represents the Company’s obligation to make lease payments arising from the lease. At the inception of a lease, the total fixed payments under a lease agreement are discounted utilizing an incremental borrowing rate that represents the Company’s collateralized borrowing rate. The rate is determined based on the lease term as of the lease commencement date. Some of the Company’s leases include renewal options, which are not included in the lease terms unless the Company is reasonably certain it will exercise the option. The Company elected the practical expedient to account for all lease components and their associated non-lease components (i.e., common area maintenance, real estate taxes, building insurance, etc.) as a single lease component and include all fixed payments in the measurement of ROU assets and lease liabilities. Operating lease expense is recognized on a straight-line basis over the lease term. Costs related to variable lease and non-lease components for the Company’s leases are expensed in the period incurred. Sublease income is earned on a straight-line basis over the term of the lease. The Company assesses ROU assets for impairment when certain events occur or when there are changes in circumstances including potential alternative uses. If circumstances require an ROU asset to be tested for possible impairment, and the carrying value of the ROU asset is not recoverable on an undiscounted cash flow basis, an impairment is recognized to the extent that the carrying value exceeds its fair value and reported in “other operating expenses” in the consolidated statement of operations. Lease Assets and Liabilities As of December 31, 2022, the ROU asset and lease liability was $87 million and $116 million, respectively. As of December 31, 2021, the ROU asset and lease liability was $100 million and $136 million, respectively. The weighted average remaining lease term as of December 31, 2022 and December 31, 2021 was 8.2 years and 8.6 years, respectively. The Company used a weighted average discount rate of 2.49% and 2.40% as of December 31, 2022 and December 31, 2021, respectively. Lease Expense and Other Information Year Ended December 31, 2022 2021 2020 (in millions) Operating lease cost (1) $ 16 $ 16 $ 30 Other lease costs (2) 3 3 4 Sublease income (7) (5) (3) Total lease cost (3) $ 12 $ 14 $ 31 Cash paid for amounts included in the measurement of lease liabilities Operating cash outflows for operating leases $ 23 $ 20 $ 19 ROU assets obtained in exchange for new operating lease liabilities (4) 1 35 4 ____________________ (1) The 2020 amount includes $13 million ROU asset impairment. (2) Includes variable, short-term and finance lease costs. (3) Includes amortization on finance lease ROU assets and interest on finance lease liabilities reported in “other operating expenses” in the consolidated statements of operations. (4) The amounts in 2021 relate primarily to additional office space leased in New York City. During the fourth quarter of 2020, the Company made the decision to actively market for sublease the office space acquired in the BlueMountain Acquisition. Accordingly, the Company recognized an ROU asset impairment of $13 million as of December 31, 2020 within the Asset Management segment, reducing the carrying value of the associated ROU asset to its estimated fair value. This ROU asset fair value was estimated using an income-approach based on forecasted future cash flows expected to be derived from the property based on current sublease market rent. Future Minimum Rental Payments Operating Leases As of December 31, 2022 Year (in millions) 2023 $ 23 2024 16 2025 13 2026 12 2027 12 Thereafter 53 Total lease payments 129 Less: Imputed interest 13 Total lease liabilities $ 116 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 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, 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 or liquidity 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. See also “Recovery Litigation” section of Note 4, Expected Loss to be Paid (Recovered), for a description of recovery litigation unrelated to Puerto Rico. Also, in the ordinary course of their respective business, certain of AGL’s investment management subsidiaries are involved in litigation with third parties regarding fees, appraisals or portfolio companies. The impact, if any, of these and other proceedings on the amount of recoveries the Company receives and losses it pays in the future is uncertain, and the impact of any one or more of these proceedings during any quarter or year could be material to the Company’s results of operations in that particular quarter or year. The Company also receives subpoenas and interrogatories from regulators from time to time. Accounting Policy The Company establishes accruals for litigation and regulatory matters to the extent it is probable that a loss has been incurred and the amount of that loss can be reasonably estimated and discloses such amounts if material to the financial position of the Company. For litigation and regulatory matters where a loss may be reasonably possible, but not probable, or is probable but not reasonably estimable, no accrual is established, but if the matter is material, it would be disclosed below. The Company reviews relevant information with respect to its litigation and regulatory matters on a quarterly basis and updates its accruals, disclosures and estimates of reasonably possible loss based on such reviews. Litigation On November 28, 2011, Lehman Brothers International (Europe) (in administration) (LBIE) sued AG Financial Products Inc. (AGFP), an affiliate of AGC which in the past had provided credit protection to counterparties under CDS. AGC acts as the credit support provider of AGFP under these CDS. LBIE’s complaint, which was filed in the Supreme Court of the State of New York (the 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 (as described below) 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 (the Appellate Division), seeking reversal of the portions of the lower court’s ruling denying AGFP’s motion for summary judgment with respect to LBIE’s sole remaining claim for breach of contract. On January 17, 2019, the Appellate Division affirmed the Court’s decision, holding that the lower court correctly determined that there are triable issues of fact regarding whether AGFP calculated its loss reasonably and in good faith. A bench trial was held before Justice Melissa A. Crane of the New York Supreme Court from October 18 through November 19, 2021. Post-trial briefing was submitted on June 21, 2022. In December 2022, both parties provided written submissions at the request of Justice Crane; a decision is anticipated in the first half of 2023. |
Shareholders' Equity
Shareholders' Equity | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Shareholders' Equity | Shareholders’ Equity Accounting Policy The Company records share repurchases as a reduction to “common shares” and “additional paid-in capital”. Once additional paid-in capital has been exhausted, share repurchases are recorded as a reduction to common shares and retained earnings. Share Issuances AGL has authorized share capital of $5 million divided into 500,000,000 shares with a par value $0.01 per share. Except as described below, AGL’s common shares have no preemptive rights or other rights to subscribe for additional common shares, no rights of redemption, conversion or exchange and no sinking fund rights. In the event of liquidation, dissolution or winding-up, the holders of AGL’s common shares are entitled to share equally, in proportion to the number of common shares held by such holder, in AGL’s assets, if any remain after the payment of all AGL’s debts and liabilities and the liquidation preference of any outstanding preferred shares. Under certain circumstances, AGL has the right to purchase all or a portion of the shares held by a shareholder at fair market value. All of the common shares are fully paid and non-assessable. Holders of AGL’s common shares are entitled to receive dividends as lawfully may be declared from time to time by the Board. In general, and except as provided below, shareholders have one vote for each common share held by them and are entitled to vote with respect to their fully paid shares at all meetings of shareholders. However, if, and so long as, the common shares (and other of AGL’s shares) of a shareholder are treated as “controlled shares” (as determined pursuant to section 958 of the Code) of any U.S. Person and such controlled shares constitute 9.5% or more of the votes conferred by AGL’s issued and outstanding shares, the voting rights with respect to the controlled shares owned by such U.S. Person shall be limited, in the aggregate, to a voting power of less than 9.5% of the voting power of all issued and outstanding shares, under a formula specified in AGL’s Bye-Laws. The formula is applied repeatedly until there is no U.S. Person whose controlled shares constitute 9.5% or more of the voting power of all issued and outstanding shares and who generally would be required to recognize income with respect to AGL under the Code if AGL were a CFC as defined in the Code and if the ownership threshold under the Code were 9.5% (as defined in AGL’s Bye-Laws as a 9.5% U.S. Shareholder). Subject to AGL’s Bye-Laws and Bermuda law, AGL’s Board has the power to issue any of AGL’s unissued shares as it determines, including the issuance of any shares or class of shares with preferred, deferred or other special rights. Under AGL’s Bye-Laws and subject to Bermuda law, if AGL’s Board determines that any ownership of AGL's shares may result in adverse tax, legal or regulatory consequences to the Company, any of the Company’s subsidiaries or any of AGL’s shareholders or indirect holders of shares or its affiliates (other than such as AGL’s Board considers de minimis), the Company has the option, but not the obligation, to require such shareholder to sell to AGL, or to a third party to whom AGL assigns the repurchase right, the minimum number of common shares necessary to avoid or cure any such adverse consequences at a price determined in the discretion of the Board to represent the shares’ fair market value (as defined in AGL’s Bye-Laws). In addition, AGL’s Board may determine that shares held carry different voting rights when it deems it appropriate to do so to: (i) avoid the existence of any 9.5% U.S. Shareholder; and (ii) avoid adverse tax, legal or regulatory consequences to AGL or any of its subsidiaries or any direct or indirect holder of shares or its affiliates. “Controlled shares” includes, among other things, all shares of AGL that such U.S. Person is deemed to own directly, indirectly or constructively (within the meaning of section 958 of the Code). Further, these provisions do not apply in the event one shareholder owns greater than 75% of the voting power of all issued and outstanding shares. Under these provisions, certain shareholders may have their voting rights limited to less than one vote per share, while other shareholders may have voting rights in excess of one vote per share. Moreover, these provisions could have the effect of reducing the votes of certain shareholders who would not otherwise be subject to the 9.5% limitation by virtue of their direct share ownership. AGL’s Bye-Laws provide that it will use its best efforts to notify shareholders of their voting interests prior to any vote to be taken by them. Share Repurchases On February 23, 2022 and August 3, 2022, the Board authorized the repurchase of an additional $350 million and $250 million, respectively, of its common shares. As of February 28, 2023, the Company was authorized to purchase $201 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 Year Number of Shares Repurchased Total Payments Average Price Paid Per Share 2020 15,787,804 $ 446 $ 28.23 2021 10,519,040 496 47.19 2022 8,847,981 503 56.79 2023 (through February 28, 2023 on a settlement date basis) 36,369 2 62.23 Deferred Compensation Certain executives of the Company elected to invest a portion of their AG US Group Services Inc. supplemental executive retirement plan (AGS SERP) accounts in the employer stock fund in the AGS SERP. Each unit in the employer stock fund represents the right to receive one AGL common share upon a distribution from the AGS SERP. Each unit equals the number of AGL common shares which could have been purchased with the value of the account deemed invested in the employer stock fund as of the date of such election. As of December 31, 2022 and 2021, there were 74,309 and 74,309 units, respectively, in the AGS SERP. Dividends Any determination to pay dividends is at the discretion of the Company’s Board, and depends upon the Company’s results of operations, cash flows from operating activities, its financial position, capital requirements, general business conditions, legal, tax, regulatory, rating agency and contractual restrictions on the payment of dividends, other potential uses for such funds, and any other factors the Company’s Board deems relevant. For more information concerning regulatory constraints that affect the Company’s ability to pay dividends, see Note 15, Insurance Company Regulatory Requirements. On February 22, 2023, the Company declared a quarterly dividend of $0.28 per common share compared with $0.25 per common share paid in 2022, an increase of 12%. |
Other Comprehensive Income
Other Comprehensive Income | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Other Comprehensive Income | Other Comprehensive Income The following tables present the changes in each component of AOCI and the effect of reclassifications out of AOCI into the respective lines in the consolidated statements of operations. Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2022 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2021 $ 375 $ (24) $ (21) $ (36) $ 6 $ 300 Other comprehensive income (loss) before reclassifications (755) (103) (4) (9) — (871) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) (44) (21) — — — (65) Fair value gains (losses) on FG VIEs — — (3) — — (3) Interest expense — — — — — — Total before tax (44) (21) (3) — — (68) Tax (provision) benefit 7 4 1 — — 12 Total amount reclassified from AOCI, net of tax (37) (17) (2) — — (56) Other comprehensive income (loss) (718) (86) (2) (9) — (815) Balance, December 31, 2022 $ (343) $ (110) $ (23) $ (45) $ 6 $ (515) Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2021 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2020 $ 577 $ (30) $ (20) $ (36) $ 7 $ 498 Other comprehensive income (loss) before reclassifications (184) — (3) — — (187) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 21 (7) — — — 14 Fair value gains (losses) on FG VIEs — — (3) — — (3) Interest expense — — — — 1 1 Total before tax 21 (7) (3) — 1 12 Tax (provision) benefit (3) 1 1 — — (1) Total amount reclassified from AOCI, net of tax 18 (6) (2) — 1 11 Other comprehensive income (loss) (202) 6 (1) — (1) (198) Balance, December 31, 2021 $ 375 $ (24) $ (21) $ (36) $ 6 $ 300 Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2020 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2019 $ 352 $ 48 $ (27) $ (38) $ 7 $ 342 Effect of adoption of accounting guidance on credit losses 62 (62) — — — — Other comprehensive income (loss) before reclassifications 189 (29) 7 2 — 169 Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 30 (16) — — — 14 Total before tax 30 (16) — — — 14 Tax (provision) benefit (4) 3 — — — (1) Total amount reclassified from AOCI, net of tax 26 (13) — — — 13 Other comprehensive income (loss) 163 (16) 7 2 — 156 Balance, December 31, 2020 $ 577 $ (30) $ (20) $ (36) $ 7 $ 498 |
Earnings Per Share
Earnings Per Share | 12 Months Ended |
Dec. 31, 2022 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share Accounting Policy The Company computes earnings per share (EPS) using the two-class method, which is an earnings allocation formula that determines EPS for: (i) each class of common shares (the Company has a single class of common shares); and (ii) participating securities according to dividends declared (or accumulated) and participation rights in undistributed earnings. Awards and share units under the AGS SERP with non-forfeitable dividends are considered participating securities. Basic EPS is computed by dividing net income (loss) available to common shareholders of Assured Guaranty by the weighted-average number of common shares outstanding during the period. Diluted EPS adjusts basic EPS for the effects of restricted stock, restricted stock units, stock options and other potentially dilutive financial instruments (dilutive securities), only in the periods in which such effect is dilutive. The effect of the dilutive securities is reflected in diluted EPS by application of the more dilutive of: (1) the treasury stock method; or (2) the two-class method assuming nonvested shares are not converted into common shares. Computation of Earnings Per Share Year Ended December 31, 2022 2021 2020 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 124 $ 389 362 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 — 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 123 $ 389 361 Basic shares 62.9 73.5 85.5 Basic EPS $ 1.95 $ 5.29 $ 4.22 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 123 $ 389 $ 361 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 $ 123 $ 389 $ 361 Basic shares 62.9 73.5 85.5 Dilutive securities: Options and restricted stock awards 1.0 0.8 0.7 Diluted shares 63.9 74.3 86.2 Diluted EPS $ 1.92 $ 5.23 $ 4.19 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.6 0.1 0.8 |
Parent Company
Parent Company | 12 Months Ended |
Dec. 31, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Parent Company | Parent Company The following tables present the condensed financial statements of Assured Guaranty Ltd. Assured Guaranty Ltd. (Parent Company) Condensed Balance Sheets (in millions) As of December 31, 2022 2021 Assets Investments $ 26 $ 188 Investments in subsidiaries 4,984 5,994 Dividends receivable from subsidiaries 18 81 Other assets (1) 58 46 Total assets $ 5,086 $ 6,309 Liabilities Other liabilities (1) $ 22 $ 17 Total liabilities $ 22 $ 17 Total shareholders’ equity attributable to AGL $ 5,064 $ 6,292 Total liabilities and shareholders’ equity $ 5,086 $ 6,309 ____________________ (1) Mainly consists of due from and due to affiliates. Assured Guaranty Ltd. (Parent Company) Condensed Statements of Operations and Comprehensive Income (in millions) Year Ended December 31, 2022 2021 2020 Revenues Net investment income $ 3 $ 1 $ — Net realized investment gains (losses) (4) — — Total revenues (1) 1 — Expenses Other expenses (1) 45 35 34 Total expenses 45 35 34 Income (loss) before equity in earnings of subsidiaries (46) (34) (34) Equity in earnings of subsidiaries 170 423 396 Net income attributable to AGL 124 389 362 Other comprehensive income (loss) attributable to AGL (815) (198) 156 Comprehensive income (loss) attributable to AGL $ (691) $ 191 $ 518 ____________________ (1) Includes expense allocations from subsidiaries. Assured Guaranty Ltd. (Parent Company) Condensed Statements of Cash Flows (in millions) Year Ended December 31, 2022 2021 2020 Cash flows from operating activities: Net income attributable to AGL $ 124 $ 389 $ 362 Adjustments to reconcile net income to net cash flows provided by operating activities: Equity in earnings of subsidiaries (170) (423) (396) Net realized investment losses (gains) 4 — — Cash dividends from subsidiaries 437 539 547 Other 32 22 19 Net cash flows provided by (used in) operating activities 427 527 532 Cash flows from investing activities: Short-term investments with maturities of over three months: Purchases — — (4) Sales 52 — — Maturities and paydowns 5 4 — Net sales (purchases) of short-term investments with original maturities of less than three months 92 41 (3) Net cash flows provided by (used in) investing activities 149 45 (7) Cash flows from financing activities: Dividends paid (64) (66) (69) Repurchases of common shares (500) (496) (446) Other (12) (10) (10) Net cash flows provided by (used in) financing activities (576) (572) (525) Increase (decrease) in cash — — — Cash at beginning of period — — — Cash at end of period $ — $ — $ — Supplemental disclosure of non-cash investing activities: Dividend from a subsidiary in the form of fixed-maturity securities $ — $ 46 $ 47 Basis of Presentation These condensed financial statements of Assured Guaranty Ltd. (AGL) should be read in conjunction with the Company’s consolidated financial statements and notes thereto. Assured Guaranty Ltd. is a Bermuda-based holding company that provides, through its operating subsidiaries, credit protection products to the U.S. and non-U.S. public finance (including infrastructure) and structured finance markets, as well as asset management services. See Note 1, Business and Basis of Presentation, for further information regarding the basis of presentation. Guaranties of Obligations of Affiliates AGL fully and unconditionally guarantees all of the U.S. Holding Companies’ debt. See Note 12, Long-Term Debt and Credit Facilities, for additional information. Credit Facility with Affiliate On October 25, 2013, AGL, as borrower, and AGUS, as lender, entered into a revolving credit facility pursuant to which AGL may, from time to time, borrow for general corporate purposes. Under the credit facility, AGUS committed to lend a principal amount not exceeding $225 million in the aggregate. In September 2018, AGL and AGUS amended the revolving credit facility to extend the commitment until October 25, 2023 (the loan commitment termination date). The unpaid principal amount of each loan will bear interest at a fixed rate equal to 100% of the then applicable interest rate as determined under Section 1274(d) of the Code, and interest on all loans will be computed for the actual number of days elapsed on the basis of a year consisting of 360 days. Accrued interest on all loans will be paid on the last day of each June and December, beginning on December 31, 2013, and at maturity. AGL must repay the then unpaid principal amounts of the loans by the third anniversary of the loan commitment termination date. No amounts are currently outstanding under the credit facility. Income Taxes AGL is not subject to any income, withholding or capital gains taxes under current Bermuda law. In November 2013, AGL became tax resident in the U.K. although it remains a Bermuda-based company and its administrative and head office functions continue to be carried on in Bermuda. See Note 14, Income Taxes, for further information regarding AGL’s income taxes. |
Business and Basis of Present_2
Business and Basis of Presentation (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Accounting | Basis of Presentation The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). In management’s opinion, all material adjustments necessary for a fair statement of the financial condition, results of operations and cash flows of the Company, including its consolidated variable interest entities (VIEs), are reflected in the periods presented and are of a normal, recurring nature. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant Accounting Policies The Company revalues assets, liabilities, revenue and expenses denominated in non-U.S. currencies into U.S. dollars using applicable exchange rates. Gains and losses relating to transactions in foreign denominations in those subsidiaries where the functional currency is the U.S. dollar are reported in the consolidated statements of operations. Gains and losses relating to translating foreign functional currency financial statements to U.S. dollars are reported in the consolidated statements of other comprehensive income (loss) (OCI). Other accounting policies are included in the following notes to the consolidated financial statements. Note Name Note Number Segment information Note 2 Expected loss to be paid (recovered) Note 4 Contracts accounted for as insurance Note 5 Contracts accounted for as credit derivatives Note 6 Investments and cash Note 7 Financial guaranty variable interest entities and consolidated investment vehicles Note 8 Fair value measurement Note 9 Asset management fees and compensation Note 10 Goodwill and other intangible assets Note 11 Long-term debt and credit facilities Note 12 Employee benefit plans Note 13 Income taxes Note 14 Leases Note 17 Commitments and contingencies Note 18 Shareholders' equity Note 19 Earnings per share Note 21 |
Consolidation | The consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, and its consolidated financial guaranty VIEs (FG VIEs) and consolidated investment vehicles (CIVs). See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. |
Significant Accounting Policies | Basis of Presentation The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). In management’s opinion, all material adjustments necessary for a fair statement of the financial condition, results of operations and cash flows of the Company, including its consolidated variable interest entities (VIEs), are reflected in the periods presented and are of a normal, recurring nature. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant Accounting Policies The Company revalues assets, liabilities, revenue and expenses denominated in non-U.S. currencies into U.S. dollars using applicable exchange rates. Gains and losses relating to transactions in foreign denominations in those subsidiaries where the functional currency is the U.S. dollar are reported in the consolidated statements of operations. Gains and losses relating to translating foreign functional currency financial statements to U.S. dollars are reported in the consolidated statements of other comprehensive income (loss) (OCI). Other accounting policies are included in the following notes to the consolidated financial statements. Note Name Note Number Segment information Note 2 Expected loss to be paid (recovered) Note 4 Contracts accounted for as insurance Note 5 Contracts accounted for as credit derivatives Note 6 Investments and cash Note 7 Financial guaranty variable interest entities and consolidated investment vehicles Note 8 Fair value measurement Note 9 Asset management fees and compensation Note 10 Goodwill and other intangible assets Note 11 Long-term debt and credit facilities Note 12 Employee benefit plans Note 13 Income taxes Note 14 Leases Note 17 Commitments and contingencies Note 18 Shareholders' equity Note 19 Earnings per share Note 21 |
Foreign Currency Transactions and Translations | The Company revalues assets, liabilities, revenue and expenses denominated in non-U.S. currencies into U.S. dollars using applicable exchange rates. Gains and losses relating to transactions in foreign denominations in those subsidiaries where the functional currency is the U.S. dollar are reported in the consolidated statements of operations. Gains and losses relating to translating foreign functional currency financial statements to U.S. dollars are reported in the consolidated statements of other comprehensive income (loss) (OCI). |
Recent Accounting Standards Adopted and Not Yet Adopted | Recent Accounting Standards Adopted 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 temporary 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. In January 2021, the FASB issued ASU 2021-01, Reference Rate Reform (Topic 848): Scope , to clarify the scope of relief related to ASU 2020-04. In December 2022, the FASB issued ASU 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848 , to extend the aforementioned temporary optional expedients and exceptions from December 31, 2022 to December 31, 2024. These ASUs became effective upon their issuance and may be applied for contract modifications that occur from March 12, 2020 through December 31, 2024 (the Reference Rate Transition Period). The Company adopted the optional relief afforded by 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, 2024. 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 guaranties associated with deposit (or account balance) contracts, • simplify the amortization of deferred acquisition costs (DAC), and • improve the effectiveness of the required disclosures. In November 2020, the FASB deferred the effective date of this ASU to January 1, 2023, with early adoption permitted. This ASU does not affect the Company’s financial guaranty insurance contracts. The Company assessed the impact for certain specialty (non-financial guaranty) insurance contracts and determined that there will be no impact to the Company’s consolidated financial statements upon the adoption of this ASU on January 1, 2023. |
Segment Information | The Company reports its results of operations in two segments: Insurance and Asset Management, separate from its Corporate division and the effects of consolidating FG VIEs and CIVs, which is consistent with the manner in which the Company’s chief operating decision maker (CODM) reviews the business to assess performance and allocate resources. |
Expected Loss to be Paid | Expected loss to be paid (recovered) is equal to the present value of expected future cash outflows for loss and LAE payments, net of: (i) inflows for expected salvage, subrogation and other recoveries; and (ii) excess spread on underlying collateral, as applicable. Cash flows are discounted at current risk-free rates. The Company updates the discount rates each quarter and reflects the effect of such changes in economic loss development. Net expected loss to be paid (recovered) is net of amounts ceded to reinsurers. The Company’s net expected loss to be paid (recovered) incorporates management’s probability weighted scenarios. Expected cash outflows and inflows are probability weighted cash flows that reflect management’s assumptions about the likelihood of all possible outcomes based on all information available to the Company. Those assumptions consider the relevant facts and circumstances and are consistent with the information tracked and monitored through the Company’s risk-management activities. Expected loss to be paid (recovered) is important in that it represents the present value of amounts that the Company expects to pay or recover in future periods for all contracts. |
Premiums | Financial guaranty contracts that meet the scope exception under derivative accounting guidance are subject to industry specific guidance for financial guaranty insurance. The accounting for contracts that fall under the financial guaranty insurance definition is consistent whether contracts are written on a direct basis, assumed from another financial guarantor, ceded to another insurer, or acquired in a business combination. Premiums receivable represent the present value of contractual or expected future premium collections discounted using risk-free rates. Unearned premium reserve represents deferred premium revenue less claim payments made (net of recoveries received) that have not yet been recognized in the statement of operations (contra-paid). The following discussion relates to the deferred premium revenue component of the unearned premium reserve, while the contra-paid is discussed below under “Losses and Recoveries”. The amount of deferred premium revenue at contract inception is determined as follows: • For premiums received upfront on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is equal to the amount of cash received. Upfront premiums typically relate to public finance transactions. • For premiums received in installments on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is the present value (discounted at risk free rates) of either: (i) contractual premiums due; or (ii) in cases where the underlying collateral is composed of homogeneous pools of assets, the expected premiums to be collected over the life of the contract. To be considered a homogeneous pool of assets, prepayments must be contractually allowable, the amount of prepayments must be probable, and the timing and amount of prepayments must be reasonably estimable. Installment premiums typically relate to structured finance and infrastructure transactions, where the insurance premium rate is determined at the inception of the contract but the insured par is subject to prepayment throughout the life of the transaction. • For financial guaranty insurance contracts acquired in a business combination, deferred premium revenue is equal to the fair value of the Company’s stand-ready obligation portion of the insurance contract at the date of acquisition based on what a hypothetical similarly rated financial guaranty insurer would have charged for the contract at that date and not the actual cash flows under the insurance contract. The amount of deferred premium revenue may differ significantly from cash collections primarily due to fair value adjustments recorded in connection with a business combination. When the Company adjusts prepayment assumptions or expected premium collections for obligations backed by homogeneous pools of assets, an adjustment is recorded to the deferred premium revenue, with a corresponding adjustment to premiums receivable. Premiums receivable are discounted at the risk-free rate at inception and such discount rate is updated only when changes to prepayment assumptions are made that change the expected date of final maturity. Accretion of the discount on premiums receivable is reported in “net earned premiums”. The Company recognizes deferred premium revenue as earned premium over the contractual period or expected period of the contract in proportion to the amount of insurance protection provided. As premium revenue is recognized, a corresponding decrease to the deferred premium revenue is recorded. The amount of insurance protection provided is a function of the insured par amount outstanding. Accordingly, the proportionate share of premium revenue recognized in a given reporting period is a constant rate calculated based on the relationship between the insured par amounts outstanding in the reporting period compared with the sum of each of the insured par amounts outstanding for all periods. When an insured financial obligation is retired before its maturity, the financial guaranty insurance contract is extinguished, and any nonrefundable deferred premium revenue related to that contract is accelerated and recognized as premium revenue. The Company assesses the need for an allowance for credit loss on premiums receivables each reporting period. |
Policy Acquisition Costs | Policy acquisition costs that are directly related and essential to successful insurance contract acquisition, as well as ceding commission income and expense on ceded and assumed reinsurance contracts, are deferred and reported net. Capitalized policy acquisition costs include the cost of underwriting personnel attributable to successful underwriting efforts. The Company conducts an annual time study, which requires the use of judgement, to estimate the amount of costs to be deferred. Ceding commission expense on assumed reinsurance contracts and ceding commission income on ceded reinsurance contracts that are associated with premiums received in installments are calculated at their contractually defined commission rates, discounted consistent with premiums receivable for all future periods, and included in DAC, with a corresponding offset to net premiums receivable or reinsurance balances payable. DAC is amortized in proportion to net earned premiums. Amortization of deferred policy acquisition costs includes the accretion of discount on ceding commission receivable and payable. When an insured obligation is retired early, the remaining related DAC is expensed at that time. Costs incurred for soliciting potential customers, market research, training, administration, unsuccessful acquisition efforts, and product development as well as overhead costs are charged to expense as incurred. Expected losses and LAE, investment income, and the remaining costs of servicing the insured or reinsured business, are considered in determining the recoverability of DAC. Policy Acquisition Costs |
Loss and LAE Reserve | Loss and LAE Reserve Loss and LAE reserve reported on the balance sheet relates only to direct and assumed reinsurance contracts that are accounted for as insurance, substantially all of which are financial guaranty insurance contracts. The corresponding reserve ceded to reinsurers is reported as reinsurance recoverable on unpaid losses and reported in other assets. Any loss and LAE reserves related to FG VIEs are eliminated upon consolidation. Any expected losses to be paid (recovered) on credit derivatives are reflected in the fair value of credit derivatives. Under financial guaranty insurance accounting, the sum of unearned premium reserve and loss and LAE reserve represents the Company’s stand‑ready obligation. At contract inception, the entire stand-ready obligation is represented entirely by unearned premium reserve. Unearned premium reserve is deferred premium revenue, less claim payments (net of recoveries received) that have not yet been recognized in the statement of operations (contra-paid). A loss and LAE reserve for a financial guaranty insurance contract is recorded only to the extent, and for the amount, that expected loss to be paid plus contra-paid (total losses) exceed the deferred premium revenue, on a contract-by-contract basis. As a result, the Company has expected loss to be paid that has not yet been expensed. Such amounts will be recognized in future periods as deferred premium revenue amortizes into income. When a claim or LAE payment is made on a contract, it first reduces any recorded loss and LAE reserve. To the extent there is insufficient loss and LAE reserve on a contract, then such claim payment is recorded as contra-paid, which reduces the unearned premium reserve. The contra-paid is recognized in “loss and loss adjustment expenses (benefit)” in the consolidated statement of operations when and for the amount that total losses exceed the remaining deferred premium revenue on the insurance contract. “Loss and loss adjustment expenses (benefit)” in the consolidated statement of operations is presented net of cessions to reinsurers. |
Salvage and Subrogation Recoverable | Salvage and Subrogation Recoverable When the Company becomes entitled to the cash flow from the underlying collateral of, or other recoveries in relation to, an insured exposure under salvage and subrogation rights as a result of a claim payment or estimated future claim payment, it reduces the expected loss to be paid on the contract. Such reduction in expected loss to be paid can result in one of the |
Expected Loss to be Expensed | Expected Loss to be Expensed Expected loss to be expensed represents past or expected future financial guaranty insurance net claim payments that have not yet been expensed. Such amounts will be expensed in future periods as deferred premium revenue amortizes into income. Expected loss to be expensed is the Company’s projection of incurred losses that will be recognized in future periods, excluding accretion of discount. |
Contracts Accounted for as Credit Derivatives | Credit derivatives are recorded at fair value. Changes in fair value are reported in “net change in fair value of credit derivatives” in the consolidated statement of operations. The fair value of credit derivatives is reflected as either net assets or net liabilities determined on a contract-by-contract basis in the Company’s consolidated balance sheets. See Note 9, Fair Value Measurement, for a discussion on the fair value methodology for credit derivatives. |
Investments and Cash | Fixed-maturity debt securities are classified as either available-for-sale or trading. All fixed-maturity securities are measured at fair value and reported on a trade-date basis. Unrealized gains and losses on available-for-sale fixed-maturity debt securities that are not associated with credit related factors are reported as a component of accumulated OCI (AOCI), net of deferred income taxes. Loss Mitigation Securities, which are a component of fixed-maturity debt securities, are accounted for based on their underlying investment type, excluding the effects of the Company’s insurance. Realized gains and losses on sales of available-for-sale fixed-maturity debt securities and credit losses are reported as a component of net income. Changes in fair value on trading fixed-maturity debt securities are reported as a component of net income Short-term investments, which are investments with a maturity of less than one year at time of purchase, are carried at fair value and include amounts deposited in certain money market funds. Other invested assets primarily consist of equity method investments. The Company reports its interest in the earnings of equity method investments in “equity in earnings (losses) of investees” in the consolidated statement of operations. Certain equity method investments are reported on a lag because information is not received on a timely basis. The Company classifies distributions received from equity method investments using the cumulative earnings approach in the consolidated statements of cash flows. Under the cumulative earnings approach, distributions received up to the amount of cumulative equity in earnings recognized are treated as returns on investment within operating cash flows and those in excess of that amount are treated as returns of investment within investing cash flows. All distributions from equity method investments for which the Company elected the fair value option (FVO) are classified as investing activities. AssuredIM Funds, in which AGAS (primarily) and other subsidiaries invest, and where the Company has been deemed to be the primary beneficiary, are not reported in “investments” on the consolidated balance sheets, but rather, such AssuredIM Funds are consolidated and reported in “assets of consolidated investment vehicles” and “liabilities of consolidated investment vehicles”, with the portion not owned by AGAS and other subsidiaries presented as either redeemable or non-redeemable noncontrolling interests (NCI). See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for further information regarding the CIVs. Cash consists of cash on hand, demand deposits for all entities, and cash and cash equivalents for consolidated AssuredIM Funds. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles. Net investment income primarily includes the income earned on fixed-maturity securities and short-term investments, including amortization of premiums and accretion of discounts. For mortgage-backed securities and any other securities for which there is prepayment risk, prepayment assumptions are evaluated quarterly and revised as necessary. For securities other than purchased credit deteriorated (PCD) securities, any necessary adjustments due to changes in effective yields and expected maturities are recognized in net investment income using the retrospective method. Net realized investment gains (losses) include sales of investments, which are determined using the specific identification method, reductions to amortized cost of available-for-sale investments that have been written down due to the Company’s intent to sell them or it being more likely than not that the Company will be required to sell them, and the change in allowance for credit losses (including accretion). For all securities that were originally purchased with credit deterioration, accrued interest is not separately presented, but rather is a component of the amortized cost of the instrument. For all other available-for-sale securities, a separate amount for accrued interest is reported in “other assets”. |
Credit Losses | Credit Losses For fixed-maturity securities classified as available for sale for which a decline in the fair value below the amortized cost is due to credit related factors, an allowance is established for the difference between the estimated recoverable value and amortized cost with a corresponding charge to net realized investment gains (losses). The estimated recoverable value is the present value of cash flows expected to be collected, as determined by management. The allowance for credit losses is limited to the difference between amortized cost and fair value. The difference between fair value and amortized cost that is not associated with credit related factors is presented as a component of AOCI. When estimating future cash flows for fixed-maturity securities, management considers the historical performance of underlying assets and available market information as well as bond-specific considerations. In addition, the process of estimating future cash flows includes, but is not limited to, the following critical inputs, which vary by security type: • the extent to which fair value is less than amortized cost; • credit ratings; • any adverse conditions specifically related to the security, industry, and/or geographic area; • changes in the financial condition of the issuer, or underlying loan obligors; • general economic and political factors; • remaining payment terms of the security; • prepayment speeds; • expected defaults; and • the value of any embedded credit enhancements. The length of time an instrument has been impaired or the effect of changes in foreign exchange rates are not considered in the Company’s assessment of credit loss. The assessment of whether a credit loss exists is performed each reporting period. The allowance for credit losses and the corresponding charge to net realized investment gains (losses) may be reversed if conditions change, however, the allowance for credit losses is never reduced below zero. When the Company determines that all or a portion of a fixed-maturity security is uncollectible, the uncollectible amortized cost amount is written off with a corresponding reduction to the allowance for credit losses. If cash flows that were previously written off are collected, the recovery is recognized in net realized investment gains (losses). PCD securities are defined as financial assets that, as of the date of acquisition, have experienced a more-than-insignificant deterioration in credit quality since origination, as determined by the Company’s assessment. An allowance for credit losses is established upon initial recognition for available-for-sale PCD securities. On the date of acquisition, the amortized cost of PCD securities is equal to the purchase price plus the allowance for credit losses, with no credit loss expense recognized in the consolidated statements of operations. After the date of acquisition, deterioration or improvement in credit will result in an increase or decrease, respectively to the allowance and an offsetting credit loss expense (or benefit). To measure this, the Company performs a discounted cash flow analysis. For PCD securities that are also beneficial interests, favorable or adverse changes in expected cash flows are recognized as a change in the allowance for credit losses. Changes in expected cash flows that are not captured through the allowance are reflected as a prospective adjustment to the security’s yield within net investment income. |
Variable Interest Entities | The types of entities that the Company assesses for consolidation principally include: (i) financial guaranty variable interest entities which include entities whose debt obligations the insurance subsidiaries insure in its financial guaranty business, and Puerto Rico Trusts, and (ii) investment vehicles in which AGAS has a variable interest and which AssuredIM manages (including CLOs that are collateralized financing entities (CFEs), CLO warehouses and AssuredIM Funds). For each of these types of entities, the Company first determines whether the entity is a VIE or a voting interest entity (VOE) which involves assessing, amongst other conditions, whether the equity investment at risk is sufficient to cover the entity’s expected losses and whether the holders of the equity investment at risk (as a group) have substantive voting rights. For entities determined to be a VIE, and for which the Company has a variable interest, the Company assesses whether it is the primary beneficiary of the VIE at the time it becomes involved with an entity and continuously reassesses whether it is the primary beneficiary. In determining whether it is the primary beneficiary, the Company considers all facts and circumstances, including an evaluation of economic interests in the VIE held directly and indirectly through related parties and entities under common control. The Company is the primary beneficiary of a VIE when it has both: (i) the power to direct the activities of a VIE that most significantly impact the entity’s economic performance; and (ii) the obligation to absorb losses of the entity that could potentially be significant to the VIE or the right to receive benefits from the entity that could potentially be significant to the VIE. If the Company concludes that it is the primary beneficiary of the VIE, it consolidates the VIE in the Company’s consolidated financial statements. If, as part of its continual reassessment of the primary beneficiary determination, the Company concludes that it is no longer the primary beneficiary of a VIE, the Company deconsolidates the VIE and recognizes the impact of that change on the consolidated financial statements. If the entity being evaluated for consolidation is not initially determined to be a VIE (or, later, if a significant event occurs that causes an entity to no longer qualify as a VIE), then the entity would be a VOE. Consolidation generally is required when the Company, directly or indirectly, has a controlling financial interest of the VOE being assessed. FG VIEs For structured finance and certain other FG VIEs, the Company elected the FVO for all assets and liabilities. Upon initial adoption of the accounting guidance for VIEs in 2010, the Company elected to fair value its structured finance and other FG VIE assets and liabilities as the carrying amount transition method was not practical. To allow for consistency in the accounting for its consolidated structured finance and other FG VIE assets and liabilities, the Company elected the FVO for structured finance and other FG VIEs that it has subsequently consolidated. For the Puerto Rico Trusts described below, the assets primarily include fixed-maturity debt securities that are carried at fair value and the Company elected the FVO for the Puerto Rico Trusts’ liabilities in order to simplify the accounting for these instruments. The change in fair value of FG VIEs’ assets and liabilities is reported in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations, except for (i) the change in fair value attributable to change in instrument-specific credit risk (ISCR) on FG VIEs’ liabilities, and (ii) unrealized gains and losses on the New Recovery Bonds in the Puerto Rico Trusts, which are reported OCI. Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on FG VIEs.” Investment income on the New Recovery Bonds and changes in fair value on the CVIs in the Puerto Rico Trusts are all reported in “fair value gains (losses) on FG VIEs” on the consolidated statement of operations. The inception-to-date change in fair value of the FG VIEs’ liabilities with recourse attributable to the ISCR is calculated by holding all current period assumptions constant for each security and isolating the effect of the change in the Company’s CDS spread from the most recent date of consolidation to the current period. In general, if the Company’s CDS spread tightens, more value will be assigned to the Company’s credit; however, if the Company’s CDS widens, less value is assigned to the Company’s credit. The Company has limited contractual rights to obtain the financial records of its consolidated structured finance and other FG VIEs. The structured finance and other FG VIEs do not prepare separate GAAP financial statements; therefore, the Company compiles the FG VIE GAAP financial information based on trustee reports prepared by and received from third parties. Such trustee reports are not available to the Company until approximately 30 days after the end of any given period. The time required to perform adequate reconciliations and analyses of the information in these trustee reports results in a one quarter lag in reporting the structured finance and other FG VIEs’ activities. As a result of the lag in reporting structured finance and other FG VIEs, cash and short-term investments do not reflect cash outflows to the holders of the debt issued by the structured finance and other FG VIEs for claim payments made by the Company’s insurance subsidiaries to the consolidated structured finance and other FG VIEs until the subsequent reporting period. The cash flows generated by the FG VIEs’ assets, except for interest income, are classified as cash flows from investing activities. Paydowns of FG VIEs’ liabilities are supported by the cash flows generated by FG VIEs’ assets and, for liabilities with recourse, possibly claim payments made by AGM or AGC under their financial guaranty insurance contracts. Paydowns of FG VIEs’ liabilities both with and without recourse are classified as cash flows used in financing activities. Interest income, interest expense and other expenses of the FG VIEs’ assets and liabilities are classified as operating cash flows. Claim payments made by AGM and AGC under the financial guaranty contracts issued to the FG VIEs are eliminated upon consolidation and therefore such claim payments are treated as paydowns of FG VIEs’ liabilities and as a financing activity as opposed to an operating activity. The Company’s exposure provided through its financial guaranties with respect to debt obligations of FG VIEs is included within net par outstanding in Note 3, Outstanding Exposure. CIVs CIVs consist of certain AssuredIM Funds, CLOs and CLO warehouses in which the Company is the primary beneficiary. The consolidated AssuredIM Funds are investment companies for accounting purposes and therefore account for their underlying investments at fair value. The consolidated CLOs are CFEs, and therefore, the debt issued by, and loans held by, the consolidated CLOs are measured under the FVO using the CFE practical expedient. The assets and liabilities of consolidated CLO and CLO warehouses managed by AssuredIM (collectively, the consolidated CLOs) are also reported at fair value. Changes in the fair value of assets and liabilities of CIVs, interest income and interest expense are reported in “fair value gains (losses) on consolidated investment vehicles” in the consolidated statements of operations. Interest income from CLO assets is recorded based on contractual rates. Certain AssuredIM private equity funds and CLO warehouses, whose financial statements are not prepared in time for the Company’s periodic reporting, are reported on a lag. Upon consolidation of an AssuredIM Fund, the Company records NCI for the portion of each fund owned by employees and any third-party investors. Mandatorily redeemable NCI is classified as a liability. NCI that is redeemable outside of the control of the Company is classified as temporary equity or redeemable noncontrolling interests, and non-redeemable NCI is presented within shareholders’ equity in the consolidated balance sheets. Amendments to redemption features may result in reclassifications between permanent equity, temporary equity and liability. Investment transactions in the consolidated AssuredIM Funds are recorded on a trade/contract date basis. Money market funds in consolidated AssuredIM Funds are classified as cash equivalents and carried at cost, consistent with those funds’ separately issued financial statements, and therefore the Company has included these amounts in the total amount of cash and cash equivalents on the consolidated statements of cash flows. Cash flows of the CIVs attributable to such entities’ investment purchases and dispositions, as well as operating expenses of the investment vehicles, are presented as cash flows from operating activities in the consolidated statements of cash flows. Borrowings under credit facilities, debt issuances and repayments, and capital cash flows to and from investors are presented as financing activities, consistent with investment company guidelines. As part of the terms of its financial guaranty contracts, the insurance subsidiaries, under their insurance contracts, obtain certain protective rights with respect to the VIE that give them additional controls over a VIE. These protective rights are triggered by the occurrence of certain events, such as failure to be in compliance with a covenant due to poor deal performance or a deterioration in a servicer or collateral manager’s financial condition. At deal inception, the insurance subsidiaries typically are not deemed to control the VIE; however, once a trigger event occurs, the insurance subsidiaries’ control of the VIE typically increases. The Company continuously evaluates its power to direct the activities that most significantly impact the economic performance of VIEs that have debt obligations insured by the insurance subsidiaries and, accordingly, where they are obligated to absorb VIE losses or receive benefits that could potentially be significant to the VIE. The insurance subsidiaries are deemed to be the control party for certain VIEs under GAAP, typically when their protective rights give them the power to both terminate and replace the transaction’s servicer or collateral manager, which are characteristics specific to the Company’s financial guaranty contracts. If the protective rights that could make the insurance subsidiaries the control party have not been triggered, then the VIE is not consolidated. If the insurance subsidiaries are deemed 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 |
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 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 consolidated balance sheets or statements of operations and comprehensive income. The Company’s valuation methods produce fair values that may not be indicative of net realizable value or 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, with Level 1 being the highest and Level 3 the lowest. An asset’s or liability’s categorization within the hierarchy 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. |
Asset Management Fees | Management, CLO and performance fees earned by AssuredIM are accounted for as contracts with customers. An entity may recognize revenue when the contractual performance criteria have been met and only to the extent that it is probable that a significant reversal in the amount of cumulative revenue recognized would not occur when the uncertainty associated with the variable consideration is resolved. Given the uniqueness of each fee arrangement, performance fee contractual provisions are evaluated on an individual basis to determine the timing of revenue recognition. |
Goodwill and Intangible Assets | Goodwill represents the excess of cost over the net fair value of assets and liabilities at the date of acquisition. The Company tests goodwill for impairment annually, as of December 31, or more frequently if circumstances indicate an impairment may have occurred. The goodwill impairment analysis is performed at the reporting unit level, which is the same as the Company’s operating segment level excluding the effects of the subleases on AssuredIM’s prior office space. If, after assessing qualitative factors, the Company believes that it is more likely than not that the fair value of the reporting unit is less than its carrying amount, the Company will evaluate impairment quantitatively to determine the amount of goodwill impairment, which is the excess of the carrying amount of the reporting unit over its fair value. Finite-lived intangible assets are recorded at fair value on the date of acquisition and are amortized over their estimated useful lives. The Company assesses finite-lived intangible assets for impairment if certain events occur or circumstances change indicating that the carrying amount of the intangible asset may not be recoverable. The carrying amount is deemed unrecoverable if it is greater than the sum of undiscounted cash flows expected to result from use and eventual disposition of the finite-lived intangible asset. If deemed unrecoverable, the Company records an impairment loss for the excess of the carrying amount over fair value. Goodwill and Intangible Assets Inherent in the fair value determinations are certain judgments and estimates relating to future cash flows, including the Company’s interpretation of current economic indicators and market valuations, and assumptions about the Company’s strategic plans with regard to its operations. The Company’s ability to raise third-party funds and increase and retain AUM is directly related to the performance of the assets it manages as measured against market averages and the performance of the Company’s competitors. If the Company performs worse than its competitors, it could impede its ability to raise funds, seek investors and hire and retain professionals, and may lead to an impairment of goodwill. The Company’s goodwill impairment assessment is sensitive to the Company’s assumptions of discount rates, market multiples, projections of AUM growth and other factors, which may vary. Due to the uncertainties associated with such estimates, actual results could differ from such estimates. |
Long-Term Debt and Credit Facilities | Long-term debt is recorded at principal amounts net of any: (1) unamortized original issue discount or premium; (2) unamortized acquisition date fair value adjustments for AGM and AGMH debt; and (3) debt issuance costs. Original issue discount and premium, acquisition date fair value adjustments for AGM and AGMH debt, and debt issuance costs are accreted into interest expense over the contractual term of the applicable debt. When long-term debt is redeemed, the difference between the cash paid to redeem the debt and the carrying value of the debt is reported as a “loss on extinguishment of debt” in the consolidated statements of operations. When one consolidated subsidiary (AGUS) purchases outstanding debt of another consolidated subsidiary (AGMH), the difference between the cash paid to redeem the debt and the carrying value of the debt is reported as “other income” in the consolidated statements of operations. CCS are carried at fair value with changes in fair value reported in the consolidated statement of operations. See Note 9, Fair Value Measurement, – Other Assets – Committed Capital Securities, for a discussion of the fair value measurement of the CCS. |
Employee Benefit Plans | Share-based compensation expense is based on the grant date fair value using the grant date closing price or the Monte Carlo or Black-Scholes-Merton (Black-Scholes) pricing models. The Company amortizes the fair value of share-based awards on a straight-line basis over the requisite service periods of the awards, which are generally the vesting periods, with the exception of retirement‑eligible employees. For retirement-eligible employees, the portion of the unvested time-based awards that become fully vested upon retirement eligibility are expensed immediately. The fair value of each award under the Assured Guaranty Ltd. Employee Stock Purchase Plan is estimated at the beginning of the offering period using the Black-Scholes option valuation model and are expensed over the period which the employee participates in the plan and pays for the shares. |
Income Taxes | The provision for income taxes consists of an amount for taxes currently payable and an amount for deferred taxes. Deferred income taxes are provided for temporary differences between the financial statement carrying amounts and tax bases of assets and liabilities, using enacted rates in effect for the year in which the differences are expected to reverse. A valuation allowance is recorded to reduce the deferred tax asset to an amount that is more likely than not to be realized. |
Leases | The Company determines if an arrangement is a lease at inception. For operating leases with an original term of more than 12 months, where the Company is the lessee, it recognizes a right-of-use (ROU) asset in “other assets” and a lease liability in “other liabilities” on the consolidated balance sheets. An ROU asset represents the Company’s right to use an underlying asset for the lease term, and a lease liability represents the Company’s obligation to make lease payments arising from the lease. At the inception of a lease, the total fixed payments under a lease agreement are discounted utilizing an incremental borrowing rate that represents the Company’s collateralized borrowing rate. The rate is determined based on the lease term as of the lease commencement date. Some of the Company’s leases include renewal options, which are not included in the lease terms unless the Company is reasonably certain it will exercise the option. The Company elected the practical expedient to account for all lease components and their associated non-lease components (i.e., common area maintenance, real estate taxes, building insurance, etc.) as a single lease component and include all fixed payments in the measurement of ROU assets and lease liabilities. Operating lease expense is recognized on a straight-line basis over the lease term. Costs related to variable lease and non-lease components for the Company’s leases are expensed in the period incurred. Sublease income is earned on a straight-line basis over the term of the lease. The Company assesses ROU assets for impairment when certain events occur or when there are changes in circumstances including potential alternative uses. If circumstances require an ROU asset to be tested for possible impairment, and the carrying value of the ROU asset is not recoverable on an undiscounted cash flow basis, an impairment is recognized to the extent that the carrying value exceeds its fair value and reported in “other operating expenses” in the consolidated statement of operations. |
Commitments and Contingencies | The Company establishes accruals for litigation and regulatory matters to the extent it is probable that a loss has been incurred and the amount of that loss can be reasonably estimated and discloses such amounts if material to the financial position of the Company. For litigation and regulatory matters where a loss may be reasonably possible, but not probable, or is probable but not reasonably estimable, no accrual is established, but if the matter is material, it would be disclosed below. The Company reviews relevant information with respect to its litigation and regulatory matters on a quarterly basis and updates its accruals, disclosures and estimates of reasonably possible loss based on such reviews. |
Stockholders' Equity | The Company records share repurchases as a reduction to “common shares” and “additional paid-in capital”. Once additional paid-in capital has been exhausted, share repurchases are recorded as a reduction to common shares and retained earnings. |
Earnings Per Share | The Company computes earnings per share (EPS) using the two-class method, which is an earnings allocation formula that determines EPS for: (i) each class of common shares (the Company has a single class of common shares); and (ii) participating securities according to dividends declared (or accumulated) and participation rights in undistributed earnings. Awards and share units under the AGS SERP with non-forfeitable dividends are considered participating securities.Basic EPS is computed by dividing net income (loss) available to common shareholders of Assured Guaranty by the weighted-average number of common shares outstanding during the period. Diluted EPS adjusts basic EPS for the effects of restricted stock, restricted stock units, stock options and other potentially dilutive financial instruments (dilutive securities), only in the periods in which such effect is dilutive. The effect of the dilutive securities is reflected in diluted EPS by application of the more dilutive of: (1) the treasury stock method; or (2) the two-class method assuming nonvested shares are not converted into common shares. |
Business and Basis of Present_3
Business and Basis of Presentation (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Accounting Policies | Other accounting policies are included in the following notes to the consolidated financial statements. Note Name Note Number Segment information Note 2 Expected loss to be paid (recovered) Note 4 Contracts accounted for as insurance Note 5 Contracts accounted for as credit derivatives Note 6 Investments and cash Note 7 Financial guaranty variable interest entities and consolidated investment vehicles Note 8 Fair value measurement Note 9 Asset management fees and compensation Note 10 Goodwill and other intangible assets Note 11 Long-term debt and credit facilities Note 12 Employee benefit plans Note 13 Income taxes Note 14 Leases Note 17 Commitments and contingencies Note 18 Shareholders' equity Note 19 Earnings per share Note 21 |
Segment Information (Tables)
Segment Information (Tables) | 12 Months Ended |
Dec. 31, 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 Years Ended December 31, 2022 2021 2020 Insurance Asset Management Insurance Asset Management Insurance Asset Management (in millions) Third-party revenues $ 748 $ 78 $ 724 $ 73 $ 864 $ 61 Intersegment revenues 9 34 9 10 10 5 Segment revenues 757 112 733 83 874 66 Segment expenses 259 119 33 108 446 128 Segment equity in earnings (losses) of investees (51) — 144 — 61 — Less: Segment provision (benefit) for income taxes 34 (1) 122 (6) 60 (12) Segment adjusted operating income (loss) $ 413 $ (6) $ 722 $ (19) $ 429 $ (50) Selected components of segment adjusted operating income: Net investment income $ 278 $ — $ 280 $ — $ 310 $ — Interest expense 1 1 — 1 — — Non-cash compensation and operating expenses (1) 41 18 56 17 39 31 _____________________ (1) Consists of amortization of DAC and intangible assets, depreciation, share-based compensation (see Note 13, Employee Benefit Plans), write-off of long-lived intangible assets related to MAC licenses (see Note 11, Goodwill and Other Intangible Assets), and lease impairment (see Note 17, Leases). |
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 Year Ended December 31, 2022 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings (Losses) of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 757 $ 259 $ (51) $ 34 $ — $ 413 Asset Management 112 119 — (1) — (6) Total segments 869 378 (51) 33 — 407 Corporate division 4 143 — (5) — (134) Other 14 19 12 — 13 (6) Subtotal 887 540 (39) 28 13 267 Reconciling items: Realized gains (losses) on investments (56) — — — — (56) Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (22) (4) — — — (18) Fair value gains (losses) on CCS 24 — — — — 24 Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (110) — — — — (110) Tax effect — — — (17) — 17 Total consolidated $ 723 $ 536 $ (39) $ 11 $ 13 $ 124 Reconciliation of Segment Information to Consolidated Information Year Ended December 31, 2021 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings (Losses) of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 733 $ 33 $ 144 $ 122 $ — $ 722 Asset Management 83 108 — (6) — (19) Total segments 816 141 144 116 — 703 Corporate division 2 312 — (47) — (263) Other 142 26 (50) 6 30 30 Subtotal 960 479 94 75 30 470 Reconciling items: Realized gains (losses) on investments 15 — — — — 15 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (78) (14) — — — (64) Fair value gains (losses) on CCS (28) — — — — (28) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (21) — — — — (21) Tax effect — — — (17) — 17 Total consolidated $ 848 $ 465 $ 94 $ 58 $ 30 $ 389 Reconciliation of Segment Information to Consolidated Information Year Ended December 31, 2020 Less: Net Income (Loss) Attributable to AGL Revenues Expenses Equity in Earnings (Losses) of Investees Provision (Benefit) for Income Taxes Noncontrolling Interests (in millions) Segments: Insurance $ 874 $ 446 $ 61 $ 60 $ — $ 429 Asset Management 66 128 — (12) — (50) Total segments 940 574 61 48 — 379 Corporate division 9 132 (6) (18) — (111) Other 40 21 (28) (3) 6 (12) Subtotal 989 727 27 27 6 256 Reconciling items: Realized gains (losses) on investments 18 — — — — 18 Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives 67 2 — — — 65 Fair value gains (losses) on CCS (1) — — — — (1) Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves 42 — — — — 42 Tax effect — — — 18 — (18) Total consolidated $ 1,115 $ 729 $ 27 $ 45 $ 6 $ 362 Supplemental Information Year Ended December 31, 2022 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 497 $ 278 $ 12 $ 14 $ 232 Asset Management — — — — 118 Total segments 497 278 12 14 350 Corporate division — 4 — — 54 Other (3) (13) 8 — 21 Subtotal 494 269 20 14 425 Reconciling items: Credit derivative impairment (recoveries) (2) — — (4) — — Total consolidated $ 494 $ 269 $ 16 $ 14 $ 425 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $41 million for Insurance segment, $18 million for Asset Management segment, and $13 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. Supplemental Information Year Ended December 31, 2021 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 418 $ 280 $ (221) $ 14 $ 240 Asset Management — — — — 107 Total segments 418 280 (221) 14 347 Corporate division — 2 — — 41 Other (4) (13) 15 — 21 Subtotal 414 269 (206) 14 409 Reconciling items: Credit derivative impairment (recoveries) (2) — — (14) — — Total consolidated $ 414 $ 269 $ (220) $ 14 $ 409 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $56 million for Insurance segment, $17 million for Asset Management segment, and $5 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. Supplemental Information Year Ended December 31, 2020 Net Earned Premiums Net Investment Income Loss and LAE (Benefit) Amortization of DAC Other Expenses(1) (in millions) Segments: Insurance $ 490 $ 310 $ 204 $ 16 $ 226 Asset Management — — — — 128 Total segments 490 310 204 16 354 Corporate division — 2 — — 37 Other (5) (15) (3) — 34 Subtotal 485 297 201 16 425 Reconciling items: Credit derivative impairment (recoveries) (2) — — 2 — — Total consolidated $ 485 $ 297 $ 203 $ 16 $ 425 _____________________ (1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $39 million for Insurance segment, $31 million for Asset Management segment, and $6 million for Corporate division. (2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations, and in loss and LAE (benefit) on a segment basis. |
Revenue from External Customers by Geographic Areas | The table below summarizes revenues for the operating segments, Corporate division and Other category by country of domicile for each period indicated, based on the country of domicile of the Company’s subsidiaries that generated the revenues. Segment, Corporate Division and Other Revenues by Country of Domicile Year Ended December 31, Country of Domicile 2022 2021 2020 (in millions) U.S. $ 727 $ 762 $ 788 Bermuda 129 153 155 U.K. 32 42 38 Other (1) 3 8 Total $ 887 $ 960 $ 989 |
Outstanding Exposure (Tables)
Outstanding Exposure (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Outstanding Exposure Disclosure | |
Debt Service Outstanding | Financial Guaranty Portfolio Debt Service and Par Outstanding As of December 31, 2022 As of December 31, 2021 Gross Net Gross Net (in millions) Debt Service Public finance $ 359,899 $ 359,703 $ 357,694 $ 357,314 Structured finance 10,273 10,248 10,076 10,046 Total financial guaranty $ 370,172 $ 369,951 $ 367,770 $ 367,360 Par Outstanding Public finance $ 224,254 $ 224,099 $ 227,507 $ 227,164 Structured finance 9,184 9,159 9,258 9,228 Total financial guaranty $ 233,438 $ 233,258 $ 236,765 $ 236,392 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating As of December 31, 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 $ 222 0.1 % $ 1,967 4.4 % $ 926 11.2 % $ 469 50.4 % $ 3,584 1.5 % AA 16,241 9.1 3,497 7.9 4,633 56.3 12 1.3 24,383 10.5 A 96,807 53.9 9,271 20.9 1,075 13.1 340 36.5 107,493 46.1 BBB 62,570 34.8 28,747 64.6 479 5.8 110 11.8 91,906 39.4 BIG 3,796 2.1 981 2.2 1,115 13.6 — — 5,892 2.5 Total net par outstanding $ 179,636 100.0 % $ 44,463 100.0 % $ 8,228 100.0 % $ 931 100.0 % $ 233,258 100.0 % 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 by Asset Class | The following tables present net par outstanding by sector for the financial guaranty portfolio. Financial Guaranty Portfolio Net Par Outstanding by Sector As of December 31, Sector 2022 2021 (in millions) Public finance: U.S. public finance: General obligation $ 71,868 $ 72,896 Tax backed 33,752 35,726 Municipal utilities 26,436 25,556 Transportation 19,688 17,241 Healthcare 11,304 9,588 Higher education 7,137 6,927 Infrastructure finance 6,955 6,329 Housing revenue 959 1,000 Investor-owned utilities 332 611 Renewable energy 180 193 Other public finance 1,025 1,152 Total U.S. public finance 179,636 177,219 Non-U.S public finance: Regulated utilities 17,855 18,814 Infrastructure finance 13,915 16,475 Sovereign and sub-sovereign 9,526 10,886 Renewable energy 2,086 2,398 Pooled infrastructure 1,081 1,372 Total non-U.S. public finance 44,463 49,945 Total public finance 224,099 227,164 Structured finance: U.S. structured finance: Life insurance transactions 3,879 3,431 RMBS 1,956 2,391 Pooled corporate obligations 625 534 Financial products 453 770 Consumer receivables 437 583 Other structured finance 878 665 Total U.S. structured finance 8,228 8,374 Non-U.S. structured finance: Pooled corporate obligations 344 351 RMBS 263 325 Other structured finance 324 178 Total non-U.S structured finance 931 854 Total structured finance 9,159 9,228 Total net par outstanding $ 233,258 $ 236,392 |
Expected Amortization of Net Par Outstanding | Financial Guaranty Portfolio Expected Amortization of Net Par Outstanding As of December 31, 2022 Public Finance Structured Finance Total (in millions) 0 to 5 years $ 47,218 $ 3,093 $ 50,311 5 to 10 years 47,902 2,796 50,698 10 to 15 years 41,695 1,737 43,432 15 to 20 years 31,597 991 32,588 20 years and above 55,687 542 56,229 Total net par outstanding $ 224,099 $ 9,159 $ 233,258 |
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) | Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 31, 2022 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,364 $ 108 $ 1,324 $ 3,796 $ 179,636 Non-U.S. public finance 981 — — 981 44,463 Public finance 3,345 108 1,324 4,777 224,099 Structured finance: U.S. RMBS 18 39 953 1,010 1,956 Other structured finance — 34 71 105 7,203 Structured finance 18 73 1,024 1,115 9,159 Total $ 3,363 $ 181 $ 2,348 $ 5,892 $ 233,258 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 |
Gross Par and Gross Debt Service Outstanding | All Puerto Rico exposures are internally rated BIG. The following tables show the Company’s insured exposure to general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. Puerto Rico Gross Par and Gross Debt Service Outstanding Gross Par Outstanding Gross Debt Service Outstanding As of December 31, As of December 31, 2022 2021 2022 2021 (in millions) Exposure to Puerto Rico $ 1,378 $ 3,629 $ 1,899 $ 5,322 |
Schedule of Geographic Exposure of Net Par Outstanding | Financial Guaranty Portfolio Geographic Distribution of Net Par Outstanding As of December 31, 2022 Number of Risks Net Par Outstanding Percent of Total Net Par Outstanding (dollars in millions) U.S.: U.S. Public finance: California 1,256 $ 36,818 15.8 % Texas 1,026 18,973 8.1 Pennsylvania 543 16,142 6.9 New York 584 15,580 6.7 Illinois 498 12,824 5.5 New Jersey 265 9,610 4.1 Florida 211 7,790 3.4 Louisiana 129 4,979 2.1 Michigan 235 4,943 2.1 Alabama 240 3,763 1.6 Other 1,883 48,214 20.7 Total U.S. public finance 6,870 179,636 77.0 U.S. Structured finance (multiple states) 371 8,228 3.5 Total U.S. 7,241 187,864 80.5 Non-U.S.: United Kingdom 280 34,903 15.0 Canada 5 1,728 0.7 Spain 7 1,575 0.7 Australia 6 1,506 0.6 France 7 1,437 0.7 Other 37 4,245 1.8 Total non-U.S. 342 45,394 19.5 Total 7,583 $ 233,258 100.0 % Puerto Rico Net Par Outstanding As of December 31, 2022 2021 (in millions) Resolved Puerto Rico Exposures PRHTA (Transportation revenue) (1) $ 298 $ 799 PRHTA (Highway revenue) (1) 182 457 Commonwealth of Puerto Rico - GO (2) 25 1,097 PBA (2) 4 122 PRCCDA (3) — 152 PRIFA (3) — 16 Total Resolved 509 2,643 Other Puerto Rico Exposures PREPA (4) 720 748 MFA (5) 131 179 PRASA and U of PR (5) 1 2 Total Other 852 929 Total net exposure to Puerto Rico $ 1,361 $ 3,572 ____________________ (1) Resolved on December 6, 2022, pursuant to the Modified Fifth Amended Title III Plan of Adjustment of the Puerto Rico Highways and Transportation Authority. (2) Resolved on March 15, 2022, pursuant to the Modified Eighth Amended Title III 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. (3) Modified on March 15, 2022, pursuant to an order of the Federal District Court of Puerto Rico acting under Title VI of PROMESA. (4) This exposure is in payment default. (5) 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 | Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 2022 Net Par Outstanding Number of Risks (2) Description Financial Guaranty Credit Total Financial Guaranty Credit Total (dollars in millions) BIG: Category 1 $ 3,357 $ 6 $ 3,363 122 1 123 Category 2 171 10 181 14 2 16 Category 3 2,307 41 2,348 111 10 121 Total BIG $ 5,835 $ 57 $ 5,892 247 13 260 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. Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of December 31, 2022 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization (in millions) 2023 (January 1 - March 31) $ — $ 30 2023 (April 1 - June 30) — 3 2023 (July 1 - September 30) 125 156 2023 (October 1 - December 31) — 3 Subtotal 2023 125 192 2024 112 173 2025 96 150 2026 152 202 2027 124 169 2028-2032 378 529 2033-2037 241 312 2038-2042 133 151 Total $ 1,361 $ 1,878 The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2022 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 122 14 111 247 247 Remaining weighted-average period (in years) 11.3 8.7 7.6 9.8 9.8 Outstanding exposure: Par $ 3,363 $ 171 $ 2,318 $ 5,852 $ 5,835 Interest 2,177 77 894 3,148 3,144 Total (2) $ 5,540 $ 248 $ 3,212 $ 9,000 $ 8,979 Expected cash outflows (inflows) $ 128 $ 121 $ 1,771 $ 2,020 $ 2,008 Potential recoveries (3) (294) (79) (1,364) (1,737) (1,725) Subtotal (166) 42 407 283 283 Discount 35 (13) (104) (82) (82) Expected losses to be paid (recovered) $ (131) $ 29 $ 303 $ 201 $ 201 Deferred premium revenue $ 170 $ 15 $ 160 $ 345 $ 345 Reserves (salvage) $ (174) $ 21 $ 186 $ 33 $ 33 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, Reinsurance and Guaranties As of December 31, 2022 As of December 31, 2021 Gross Exposure Net Exposure Gross Exposure Net Exposure (in millions) Life insurance transactions (1) $ 1,314 $ 986 $ 1,250 $ 871 Aircraft residual value insurance policies 355 200 355 200 Other guaranties 228 228 — — ____________________ (1) The life insurance transactions net exposure is projected to reach $1.1 billion by June 30, 2024. |
Expected Loss to be Paid (Rec_2
Expected Loss to be Paid (Recovered) (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, Year Ended December 31, Accounting Model 2022 2021 2022 2021 2020 (in millions) Insurance (see Note 5) $ 205 $ 364 $ (112) $ (281) $ 142 FG VIEs (see Note 8) 314 (1) 42 (17) (20) 1 Credit derivatives (see Note 6) 3 5 4 14 2 Total $ 522 $ 411 $ (125) $ (287) $ 145 ____________________ (1) The increase in expected loss to be paid for FG VIEs primarily relates to trusts established as part of the 2022 Puerto Rico Resolutions (Puerto Rico Trusts) that were consolidated as a result of the 2022 Puerto Rico Resolutions. Prior to the 2022 Puerto Rico Resolutions, all Puerto Rico Exposures were accounted for as insurance. |
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 3.82% to 4.69% with a weighted average of 4.08% as of December 31, 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 98.5% and 97.2% of the total as of December 31, 2022 and December 31, 2021, respectively. Net Expected Loss to be Paid (Recovered) Roll Forward Year Ended December 31, 2022 2021 2020 (in millions) Net expected loss to be paid (recovered), beginning of period $ 411 $ 529 $ 737 Economic loss development (benefit) due to: Accretion of discount 16 7 9 Changes in discount rates (115) (33) 13 Changes in timing and assumptions (26) (261) 123 Total economic loss development (benefit) (125) (287) 145 Net (paid) recovered losses (1) 236 169 (353) Net expected loss to be paid (recovered), end of period $ 522 $ 411 $ 529 ____________________ (1) Net (paid) recovered losses in 2022 include the net amounts received pursuant to the Puerto Rico Resolutions, as described in Note 3, Outstanding Exposure. Net Expected Loss to be Paid (Recovered) Roll Forward by Sector Year Ended December 31, 2022 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2021 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2022 (in millions) Public finance: U.S. public finance $ 197 $ 19 $ 187 $ 403 Non-U.S. public finance 12 (2) (1) 9 Public finance 209 17 186 412 Structured finance: U.S. RMBS 150 (143) 59 66 Other structured finance 52 1 (9) 44 Structured finance 202 (142) 50 110 Total $ 411 $ (125) $ 236 $ 522 Year Ended December 31, 2021 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2020 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2021 (in millions) Public finance: U.S. public finance $ 305 $ (182) $ 74 $ 197 Non-U.S. public finance 36 (22) (2) 12 Public finance 341 (204) 72 209 Structured finance: U.S. RMBS 148 (100) 102 150 Other structured finance 40 17 (5) 52 Structured finance 188 (83) 97 202 Total $ 529 $ (287) $ 169 $ 411 Year Ended December 31, 2020 Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2019 Economic Loss Net Net Expected Loss to be Paid (Recovered) as of December 31, 2020 (in millions) Public finance: U.S. public finance $ 531 $ 190 $ (416) $ 305 Non-U.S. public finance 23 13 — 36 Public finance 554 203 (416) 341 Structured finance: U.S. RMBS 146 (71) 73 148 Other structured finance 37 13 (10) 40 Structured finance 183 (58) 63 188 Total $ 737 $ 145 $ (353) $ 529 ____________________ (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) net LAE paid of $33 million, $36 million and $25 million for the years ended |
Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss | Net Economic Loss Development (Benefit) U.S. RMBS Year Ended December 31, 2022 2021 2020 (in millions) First lien U.S. RMBS $ (36) $ — $ (45) Second lien U.S. RMBS (107) (100) (26) |
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS | First Lien U.S. RMBS Liquidation Rates As of December 31, 2022 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 December 31, 2022 As of December 31, 2021 Range Weighted Average Range Weighted Average Alt-A and Prime: Plateau CDR 1.6 % – 11.5% 5.1% 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 2.0 % – 7.7% 4.3% 1.8 % – 11.9% 5.6% Final CDR 0.1 % – 0.4% 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 2.7 % – 9.7% 5.6% 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 | Key Assumptions in Base Scenario Expected Loss Estimates HELOCs As of December 31, 2022 As of December 31, 2021 Range Weighted Average Range Weighted Average Plateau CDR 0.4 % – 8.4% 3.5% 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) | 12 Months Ended |
Dec. 31, 2022 | |
Insurance [Abstract] | |
Net Earned Premiums | Net Earned Premiums Year Ended December 31, 2022 2021 2020 (in millions) Financial guaranty insurance: Scheduled net earned premiums $ 287 $ 322 $ 334 Accelerations from refundings and terminations (1) 179 59 129 Accretion of discount on net premiums receivable 24 30 20 Financial guaranty insurance net earned premiums 490 411 483 Specialty net earned premiums 4 3 2 Net earned premiums $ 494 $ 414 $ 485 ____________________ |
Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward | Gross Premium Receivable, Net of Commissions Payable on Assumed Business Roll Forward Year Ended December 31, 2022 2021 2020 (in millions) Beginning of year $ 1,372 $ 1,372 $ 1,286 Less: Specialty insurance premium receivable 1 1 2 Financial guaranty insurance premiums receivable 1,371 1,371 1,284 Gross written premiums on new business, net of commissions 356 369 462 Gross premiums received, net of commissions (345) (383) (426) Adjustments: Changes in the expected term and debt service assumptions 2 6 (10) Accretion of discount, net of commissions on assumed business 24 26 18 Foreign exchange gain (loss) on remeasurement (111) (22) 43 Expected recovery of premiums previously written off — 4 — Financial guaranty insurance premium receivable 1,297 1,371 1,371 Specialty insurance premium receivable 1 1 1 December 31, $ 1,298 $ 1,372 $ 1,372 Expected Future Premium Collections and Earnings As of December 31, 2022 Future Premiums Future Net Premiums (in millions) 2023 (January 1 - March 31) $ 43 $ 69 2023 (April 1 - June 30) 32 69 2023 (July 1 - September 30) 25 69 2023 (October 1 - December 31) 29 68 Subtotal 2023 129 275 2024 92 260 2025 90 244 2026 87 229 2027 82 214 2028-2032 348 898 2033-2037 241 608 2038-2042 167 370 After 2042 352 521 Total $ 1,588 3,619 Future accretion 293 Total future net earned premiums $ 3,912 ____________________ (1) Net of assumed commissions payable. (2) Net of reinsurance. |
Selected Information for Policies Paid in Installments | Selected Information for Financial Guaranty Insurance Policies with Premiums Paid in Installments As of December 31, 2022 2021 (dollars in millions) Premiums receivable, net of commissions payable $ 1,297 $ 1,371 Deferred premium revenue $ 1,663 $ 1,663 Weighted-average risk-free rate used to discount premiums 1.8% 1.6% Weighted-average period of premiums receivable (in years) 12.9 12.7 |
Rollforward of Deferred Acquisition Costs | Roll Forward of Deferred Acquisition Costs Year Ended December 31, 2022 2021 2020 (in millions) Beginning of year $ 131 $ 119 $ 111 Costs deferred during the period 30 26 24 Costs amortized during the period (14) (14) (16) December 31, $ 147 $ 131 $ 119 |
Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts | The following tables provide information on net reserve (salvage), which includes loss and LAE reserves and salvage and subrogation recoverable, both net of reinsurance. Net Reserve (Salvage) by Sector As of December 31, Sector 2022 2021 (in millions) Public finance: U.S. public finance $ 71 $ 60 Non-U.S. public finance 1 1 Public finance 72 61 Structured finance: U.S. RMBS (77) (24) Other structured finance 42 42 Structured finance (35) 18 Total $ 37 $ 79 |
Components of Net Reserves (Salvage) Insurance Contracts | Components of Net Reserve (Salvage) As of December 31, 2022 2021 (in millions) Loss and LAE reserve $ 296 $ 869 Reinsurance recoverable on unpaid losses (1) (3) (5) Loss and LAE reserve, net 293 864 Salvage and subrogation recoverable (257) (801) Salvage and subrogation reinsurance payable (2) 1 16 Salvage and subrogation recoverable, net (256) (785) Net reserve (salvage) $ 37 $ 79 ____________________ (1) Reported in “other assets” on the consolidated balance sheets. (2) Reported in “other liabilities” on the consolidated balance sheets. |
Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts | The table below provides a reconciliation of net expected loss to be paid (recovered) for financial guaranty insurance contracts to net expected loss to be expensed. Expected loss to be paid (recovered) for financial guaranty insurance contracts differs from expected loss to be expensed due to: (i) the contra-paid, which represents the claim payments made and recoveries received that have not yet been recognized in the statements of operations; (ii) salvage and subrogation recoverable for transactions that are in a net recovery position where the Company has not yet received recoveries on claims previously paid (and therefore recognized in income but not yet received); and (iii) loss reserves that have already been established (and therefore expensed but not yet paid). Reconciliation of Net Expected Loss to be Paid (Recovered) to Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of December 31, 2022 (in millions) Net expected loss to be paid (recovered) - financial guaranty insurance $ 201 Contra-paid, net 23 Salvage and subrogation recoverable, net 256 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (289) Net expected loss to be expensed (present value) $ 191 |
Net Expected Loss to be Expensed Insurance Contracts | The following table provides a schedule of the expected timing of net expected losses to be expensed. The amount and timing of actual loss and LAE may differ from the estimates shown below due to factors such as accelerations, commutations, changes in expected lives and updates to loss estimates. This table excludes amounts related to FG VIEs, which are eliminated in consolidation. Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of December 31, 2022 (in millions) 2023 (January 1 - March 31) $ 2 2023 (April 1 - June 30) 2 2023 (July 1 - September 30) 3 2023 (October 1 - December 31) 3 Subtotal 2023 10 2024 12 2025 13 2026 17 2027 15 2028-2032 61 2033-2037 43 2038-2042 8 After 2042 12 Net expected loss to be expensed 191 Future accretion 82 Total expected future loss and LAE $ 273 |
Loss and LAE Reported on the Consolidated Statements of Operations | The following table presents the loss and LAE (benefit) reported in the consolidated statements of operations by sector for insurance contracts. Amounts presented are net of reinsurance. Loss and LAE (Benefit) by Sector Year Ended December 31, Sector 2022 2021 2020 (in millions) Public finance: U.S. public finance $ 125 $ (146) $ 225 Non-U.S. public finance — (9) 5 Public finance 125 (155) 230 Structured finance: U.S. RMBS (112) (69) (34) Other structured finance 3 4 7 Structured finance (109) (65) (27) Loss and LAE (benefit) $ 16 $ (220) $ 203 |
BIG Net Par Outstanding and Number of Risks | Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 2022 Net Par Outstanding Number of Risks (2) Description Financial Guaranty Credit Total Financial Guaranty Credit Total (dollars in millions) BIG: Category 1 $ 3,357 $ 6 $ 3,363 122 1 123 Category 2 171 10 181 14 2 16 Category 3 2,307 41 2,348 111 10 121 Total BIG $ 5,835 $ 57 $ 5,892 247 13 260 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. Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of December 31, 2022 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization (in millions) 2023 (January 1 - March 31) $ — $ 30 2023 (April 1 - June 30) — 3 2023 (July 1 - September 30) 125 156 2023 (October 1 - December 31) — 3 Subtotal 2023 125 192 2024 112 173 2025 96 150 2026 152 202 2027 124 169 2028-2032 378 529 2033-2037 241 312 2038-2042 133 151 Total $ 1,361 $ 1,878 The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2022 Gross Net Total BIG BIG 1 BIG 2 BIG 3 Total BIG (dollars in millions) Number of risks (1) 122 14 111 247 247 Remaining weighted-average period (in years) 11.3 8.7 7.6 9.8 9.8 Outstanding exposure: Par $ 3,363 $ 171 $ 2,318 $ 5,852 $ 5,835 Interest 2,177 77 894 3,148 3,144 Total (2) $ 5,540 $ 248 $ 3,212 $ 9,000 $ 8,979 Expected cash outflows (inflows) $ 128 $ 121 $ 1,771 $ 2,020 $ 2,008 Potential recoveries (3) (294) (79) (1,364) (1,737) (1,725) Subtotal (166) 42 407 283 283 Discount 35 (13) (104) (82) (82) Expected losses to be paid (recovered) $ (131) $ 29 $ 303 $ 201 $ 201 Deferred premium revenue $ 170 $ 15 $ 160 $ 345 $ 345 Reserves (salvage) $ (174) $ 21 $ 186 $ 33 $ 33 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. |
Effects of Reinsurance on Statement of Operations | The following table presents the components of premiums and losses reported in the consolidated statements of operations attributable to the Assumed and Ceded Businesses (both financial guaranty and specialty). Effect of Reinsurance on Premiums Written, Premiums Earned and Loss and LAE (Benefit) Year Ended December 31, 2022 2021 2020 (in millions) Premiums Written: Direct $ 377 $ 355 $ 453 Assumed (1) (17) 22 1 Ceded (2) — — 13 Net $ 360 $ 377 $ 467 Premiums Earned: Direct $ 469 $ 385 $ 448 Assumed 28 32 41 Ceded (3) (3) (4) Net $ 494 $ 414 $ 485 Loss and LAE (benefit): Direct (3) $ 32 $ (203) $ 182 Assumed (17) 5 24 Ceded 1 (22) (3) Net $ 16 $ (220) $ 203 ____________________ (1) Negative assumed premiums written were due to terminations and changes in expected debt service schedules. (2) Positive ceded premiums written were due to commutations and changes in expected debt service schedules. (3) See Note 4, Expected Loss to be Paid (Recovered), for additional information on the economic loss development (benefit). |
Contracts Accounted for as Cr_2
Contracts Accounted for as Credit Derivatives (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating | Credit Derivatives (1) As of December 31, 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 $ 1,175 $ (79) $ 1,705 $ (72) Non-U.S. public finance 1,565 (58) 1,800 (48) U.S. structured finance 342 (22) 400 (32) Non-U.S. structured finance 121 (3) 135 (2) Total $ 3,203 $ (162) $ 4,040 $ (154) ____________________ (1) Expected loss to be paid was $3 million as of December 31, 2022 and $5 million as of December 31, 2021. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of December 31, 2022 As of December 31, 2021 Rating Category Net Par % of Total Net Par % of Total (dollars in millions) AAA $ 1,260 39.3 % $ 1,503 37.2 % AA 1,064 33.2 1,283 31.8 A 232 7.2 514 12.7 BBB 590 18.5 677 16.7 BIG 57 1.8 63 1.6 Credit derivative net par outstanding $ 3,203 100.0 % $ 4,040 100.0 % |
Net Change in Fair Value of Credit Derivatives | Fair Value Gains (Losses) on Credit Derivatives Year Ended December 31, 2022 2021 2020 (in millions) Realized gains (losses) and other settlements $ (2) $ (3) $ (4) Net unrealized gains (losses) (9) (55) 85 Fair value gains (losses) on credit derivatives $ (11) $ (58) $ 81 |
CDS Spread on AGC and AGM | CDS Spread on AGC (in basis points) As of December 31, 2022 December 31, 2021 December 31, 2020 Five-year CDS spread 63 49 132 One-year CDS spread 26 16 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 December 31, 2022 December 31, 2021 (in millions) Fair value of credit derivatives before effect of AGC credit spread $ (207) $ (225) Plus: Effect of AGC credit spread 45 71 Net fair value of credit derivatives $ (162) $ (154) |
Investments and Cash (Tables)
Investments and Cash (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Marketable Securities | Investment Portfolio Carrying Value As of December 31, 2022 2021 (in millions) Fixed-maturity securities, available-for-sale (1): Externally managed $ 5,519 $ 6,843 Loss Mitigation Securities and other 705 818 AssuredIM managed 537 541 Fixed-maturity securities - Puerto Rico New Recovery Bonds (2) 358 — Fixed-maturity securities, trading - Puerto Rico CIVs (2) 303 — Short-term investments (3) 810 1,225 Other invested assets: Equity method investments 123 169 Other 10 12 Total $ 8,365 $ 9,608 ____________________ (1) 7.4% and 7.5% of fixed-maturity securities were rated BIG as of December 31, 2022 and December 31, 2021, respectively, consisting primarily of Loss Mitigation Securities. 5.9% and 0.9% were not rated, as of December 31, 2022 and December 31, 2021, respectively. (2) These securities are not rated. (3) Weighted average credit rating of AAA as of both December 31, 2022 and December 31, 2021, based on the lower of the Moody’s Investors Service, Inc. (Moody’s) and S&P classifications. |
Fixed Maturity Securities and Short Term Investments by Security Type | Available-for-Sale Fixed-Maturity Securities by Security Type As of December 31, 2022 Security Type Percent Amortized Allowance for Credit Losses Gross Gross Estimated Weighted Average Credit Rating (2) (dollars in millions) Obligations of state and political subdivisions 45 % $ 3,509 $ (14) $ 37 $ (138) $ 3,394 A U.S. government and agencies 2 118 — 1 (8) 111 AA+ Corporate securities (3) 31 2,387 (6) 2 (299) 2,084 A Mortgage-backed securities (4): RMBS 5 418 (19) 3 (62) 340 BBB Commercial mortgage-backed securities (CMBS) 4 282 — — (11) 271 AAA Asset-backed securities: CLOs 6 449 — — (21) 428 A+ Other 5 423 (26) 22 (26) 393 CCC+ Non-U.S. government securities 2 121 — — (23) 98 AA- Total available-for-sale fixed-maturity securities 100 % $ 7,707 $ (65) $ 65 $ (588) $ 7,119 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 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 A Mortgage-backed securities (4): RMBS 6 454 (17) 24 (24) 437 BBB+ CMBS 4 332 — 14 — 346 AAA Asset-backed securities: CLOs 6 457 — 1 — 458 AA- Other 5 420 (12) 26 (2) 432 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 A+ ____________________ (1) Based on amortized cost. (2) Ratings represent the lower of the Moody’s and S&P classifications, except for Loss Mitigation Securities 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 2022 Puerto Rico Resolutions are not rated. (3) Includes securities issued by taxable universities and hospitals. (4) U.S. government-agency obligations were approximately 30% of mortgage-backed securities as of December 31, 2022 and 31% as of December 31, 2021, based on fair value. 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, 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 $ 1,763 $ (79) $ 163 $ (56) $ 1,926 $ (135) U.S. government and agencies 32 — 52 (8) 84 (8) Corporate securities 1,276 (95) 519 (147) 1,795 (242) Mortgage-backed securities: RMBS 147 (9) 3 (1) 150 (10) CMBS 270 (11) — — 270 (11) Asset-backed securities: CLOs 171 (7) 250 (14) 421 (21) Other 27 (2) — — 27 (2) Non-U.S. government securities 65 (10) 30 (13) 95 (23) Total $ 3,751 $ (213) $ 1,017 $ (239) $ 4,768 $ (452) Number of securities (1) 1,340 466 1,776 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) |
Distribution of Fixed Maturity Securities by Contractual Maturity | Distribution of Available-for-Sale Fixed-Maturity Securities by Contractual Maturity As of December 31, 2022 Amortized Estimated (in millions) Due within one year $ 290 $ 282 Due after one year through five years 1,713 1,585 Due after five years through 10 years 1,778 1,667 Due after 10 years 3,226 2,974 Mortgage-backed securities: RMBS 418 340 CMBS 282 271 Total $ 7,707 $ 7,119 New Recovery Bonds in FG VIEs’ Assets Distribution by Contractual Maturity As of December 31, 2022 Amortized Estimated (in millions) Due within one year $ 1 $ 1 Due after one year through five years 6 5 Due after five years through 10 years 41 41 Due after 10 years 156 157 Total $ 204 $ 204 |
Net Investment Income | Income from Investments Year Ended December 31, 2022 2021 2020 (in millions) Investment income: Externally managed $ 189 $ 204 $ 231 Loss Mitigation Securities and other 63 55 65 Managed by AssuredIM (1) 22 16 8 Investment income 274 275 304 Investment expenses (5) (6) (7) Net investment income $ 269 $ 269 $ 297 Fair value gains (losses) on trading securities (2) $ (34) $ — $ — Equity in earnings (losses) of investees $ (39) $ 94 $ 27 ____________________ (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 December 31, 2022 were $29 million for 2022. |
Net Realized Investment Gains (Losses) | The table below presents the components of net realized investment gains (losses). Net Realized Investment Gains (Losses) Year Ended December 31, 2022 2021 2020 (in millions) Gross realized gains on sales of available-for-sale securities $ 3 $ 20 $ 27 Gross realized losses on sales of available-for-sale securities (1) (45) (5) (5) Net foreign currency gains (losses) (4) 2 6 Change in the allowance for credit losses and intent to sell (2) (21) (7) (17) Other net realized gains (losses) (3) 11 5 7 Net realized investment gains (losses) $ (56) $ 15 $ 18 ____________________ (1) 2022 related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions. (2) Change in allowance for credit losses in 2022 and 2021 was primarily due to Loss Mitigation Securities. COVID-19 pandemic restrictions contributed to the increase in the allowance for credit losses in 2020. (3) Net realized gains in 2022 related primarily to the sale of one of the Company’s alternative investments. |
Debt Securities, Available-for-Sale, Allowance for Credit Loss | The following table presents the roll forward of allowance for the credit losses on available-for-sale fixed-maturity securities. Roll Forward of Allowance for Credit Losses for Available-for-Sale Fixed-Maturity Securities Year Ended December 31, 2022 2021 2020 (in millions) Balance, beginning of period $ 42 $ 78 $ — Effect of adoption of accounting guidance on credit losses on January 1, 2020 — — 62 Additions for securities for which credit losses were not previously recognized 7 4 1 Additions for purchases of securities accounted for as purchased financial assets with credit deterioration 2 — — Additions (reductions) for securities for which credit losses were previously recognized 14 2 15 Reductions for securities sold and other settlements — (42) — Balance, end of period $ 65 $ 42 $ 78 |
Equity in Earnings of Investees | Equity in Earnings (Losses) of Investees Year Ended December 31, 2022 2021 2020 (in millions) AssuredIM Funds $ 2 $ 30 $ 14 Other (41) 64 13 Total equity in earnings (losses) of investees (1) $ (39) $ 94 $ 27 ____________________ |
Summary of Financial Information for Equity Method Investments | The table below presents summarized financial information for equity method investments that meet, in aggregate, the requirements for reporting summarized disclosures. Amounts in the table below represent amounts reported in the consolidated financial statements as of December 31, 2022 and 2021, and for the years ended December 31, 2022, 2021 and 2020. The financial statements for the majority of these equity method investments are reported on a lag. Aggregate Equity Investments’ Summarized Balance Sheet Data As of December, 31 2022 2021 (in millions) Total assets $ 697 $ 1,543 Total liabilities 76 412 Total equity 621 1,131 Aggregate Equity Investments’ Summarized Statement of Operations Data Year Ended December 31, 2022 2021 2020 (in millions) Total revenues $ (315) $ 548 $ 225 Total expenses 49 64 84 Net income (loss) (364) 484 141 |
Financial Guaranty Variable I_2
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Variable Interest Entities | Number of Consolidated Structured Finance and Other FG VIEs Year Ended December 31, 2022 2021 2020 Beginning of year 25 25 27 Consolidated 2 1 2 Deconsolidated (2) (1) (2) Matured — — (2) December 31 25 25 25 The table below shows the carrying value of FG VIEs’ assets and liabilities, segregated by type of collateral. Consolidated FG VIEs by Type of Collateral As of December 31, 2022 2021 (in millions) FG VIEs’ assets: U.S. RMBS first lien $ 167 $ 221 U.S. RMBS second lien 30 39 Puerto Rico Trusts’ assets (includes $209 million at fair value) (1) 212 — Other 7 — Total FG VIEs’ assets $ 416 $ 260 FG VIEs’ liabilities with recourse: U.S. RMBS first lien $ 176 $ 227 U.S. RMBS second lien 24 42 Puerto Rico Trusts’ liabilities 495 — Other 7 — Total FG VIEs’ liabilities with recourse $ 702 $ 269 FG VIEs’ liabilities without recourse: U.S. RMBS first lien $ 13 $ 20 Total FG VIEs’ liabilities without recourse $ 13 $ 20 ____________________ (1) Includes $2 million of cash. Selected Information for FG VIEs’ Assets and Liabilities Measured under the FVO As of December 31, 2022 2021 (in millions) Excess of unpaid principal over fair value of: FG VIEs’ assets $ 265 $ 255 FG VIEs’ liabilities with recourse 21 12 FG VIEs’ liabilities without recourse 15 15 Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due 34 52 Unpaid principal for FG VIEs’ liabilities with recourse (1) 723 281 ____________________ (1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2023 through 2041. Number of Consolidated CIVs by Type As of December 31, CIV Type 2022 2021 Funds 8 8 CLOs 10 9 CLO warehouses 4 3 Total number of consolidated CIVs (1) 22 20 ____________________ (1) As of December 31, 2022, two CIVs were VOEs and as of December 31, 2021 one CIV was a VOE. Certain funds meet the criteria for a VOE 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 2022, 2021 and 2020, two, five and two, respectively, consolidated CLO warehouses became CLOs. Roll Forward of Number of Consolidated CIVs Year Ended December 31, 2022 2021 2020 Beginning of year 20 11 4 Consolidated 4 10 7 Deconsolidated (1) (2) (1) — December 31 22 20 11 ____________________ (1) During 2022 the Company deconsolidated a CLO with assets and liabilities of $417 million. Assets and Liabilities of CIVs As of December 31, 2022 2021 (in millions) Assets: Fund assets: Cash and cash equivalents $ 59 $ 64 Fund investments, at fair value: Equity securities and warrants 434 252 Obligations of state and political subdivisions — 101 Corporate securities 96 98 Structured products 128 62 Due from brokers and counterparties — 49 Other 1 1 CLO and CLO warehouse assets: Cash 38 156 CLO investments: Loans in CLOs, FVO 4,202 3,913 Loans in CLO warehouses, FVO 368 331 Short-term investments, at fair value 135 145 Due from brokers and counterparties 32 99 Total assets (1) $ 5,493 $ 5,271 Liabilities: CLO obligations, FVO (2) $ 4,090 $ 3,665 Warehouse financing debt, FVO (3) 313 126 Securities sold short, at fair value — 41 Due to brokers and counterparties 112 570 Other liabilities 110 34 Total liabilities $ 4,625 $ 4,436 ____________________ (1) Includes investments in AssuredIM Funds and other affiliated entities of $392 million and $223 million as of December 31, 2022 and December 31, 2021, respectively. Includes assets and liabilities of voting interest entities as of December 31, 2022 of $58 million and $1 million, respectively, and assets of $12 million as of December 31, 2021. (2) The weighted average maturity of CLO obligations was 6.2 years as of December 31, 2022 and 6.6 years as of December 31, 2021. The weighted average interest rate of CLO obligations was 5.3% as of December 31, 2022 and 1.8% for December 31, 2021. CLO obligations will mature at various dates from 2034 to 2035. |
Distribution of Fixed Maturity Securities by Contractual Maturity | Distribution of Available-for-Sale Fixed-Maturity Securities by Contractual Maturity As of December 31, 2022 Amortized Estimated (in millions) Due within one year $ 290 $ 282 Due after one year through five years 1,713 1,585 Due after five years through 10 years 1,778 1,667 Due after 10 years 3,226 2,974 Mortgage-backed securities: RMBS 418 340 CMBS 282 271 Total $ 7,707 $ 7,119 New Recovery Bonds in FG VIEs’ Assets Distribution by Contractual Maturity As of December 31, 2022 Amortized Estimated (in millions) Due within one year $ 1 $ 1 Due after one year through five years 6 5 Due after five years through 10 years 41 41 Due after 10 years 156 157 Total $ 204 $ 204 |
Redeemable Noncontrolling Interest | The table below presents the rollforward of redeemable noncontrolling interest in CIVs. Redeemable NCI in CIVs Year Ended December 31, 2022 2021 2020 (in millions) Beginning balance $ 22 $ 21 $ 7 Net income (loss) attributable to the redeemable NCI (1) 1 (1) Reallocation of ownership interests — — (10) Reclassification to liabilities as mandatorily redeemable NCI (1) (21) — — Contributions 21 — 25 Distributions (21) — — December 31, $ — $ 22 $ 21 ____________________ |
Fair Value Measurement (Tables)
Fair Value Measurement (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 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 $ — $ 3,347 $ 47 $ 3,394 U.S. government and agencies — 111 — 111 Corporate securities — 2,084 — 2,084 Mortgage-backed securities: RMBS — 161 179 340 CMBS — 271 — 271 Asset-backed securities — 27 794 821 Non-U.S. government securities — 98 — 98 Total fixed-maturity securities, available-for-sale — 6,099 1,020 7,119 Fixed-maturity securities, trading — 303 — 303 Short-term investments 771 39 — 810 Other invested assets (1) 2 — 5 7 FG VIEs’ assets — 209 204 413 Assets of CIVs (2): Fund investments: Equity securities and warrants — 5 297 302 Corporate securities — — 96 96 Structured products — 82 46 128 CLOs and CLO warehouse assets: Loans — 4,570 — 4,570 Short-term investments 135 — — 135 Total assets of CIVs 135 4,657 439 5,231 Other assets 54 46 48 148 Total assets carried at fair value $ 962 $ 11,353 $ 1,716 $ 14,031 Liabilities: Credit derivative liabilities $ — $ — $ 163 $ 163 FG VIEs’ liabilities (3) — — 715 715 Liabilities of CIVs: CLO obligations of CFEs — — 4,090 4,090 Warehouse financing debt — 277 36 313 Securitized borrowing — — 28 28 Total liabilities of CIVs — 277 4,154 4,431 Other liabilities — 7 — 7 Total liabilities carried at fair value $ — $ 284 $ 5,032 $ 5,316 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 $23 million and $19 million of equity method investments measured at fair value under the FVO using the NAV as a practical expedient as of December 31, 2022 and December 31, 2021, respectively. (2) Excludes $5 million and $6 million as of December 31, 2022 and December 31, 2021, respectively, in investments in AssuredIM Funds for which the Company records a 100% NCI. The consolidation of these funds results in a gross up of assets and NCI on the consolidated financial statements; however, it results in no economic equity or net income attributable to AGL. As of December 31, 2022, excludes a $127 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 the years ended December 31, 2022 and 2021. Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Year Ended December 31, 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) 1 (1) 16 (1) 5 (1) (3) (2) 1 (4) 2 (4) (5) (4) 24 (3) Other comprehensive income (loss) (12) (36) (47) — — — — (1) Purchases — 22 43 — 73 16 52 — Sales — — (13) — (16) (13) (21) — Settlements (14) (39) (57) (60) — — — — Consolidations — — — 22 — — — — Deconsolidation — — — (15) — — 20 — Fair value as of December 31, 2022 $ 47 $ 179 $ 794 $ 204 $ 297 $ 96 $ 46 $ 50 Change in unrealized gains (losses) related to financial instruments held as of December 31, 2022 included in: Earnings $ (3) (2) $ (8) (4) $ 1 (4) $ (4) (4) $ 24 (3) OCI $ (12) $ (32) $ (45) $ (1) Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Year Ended December 31, 2022 Credit Derivative Asset (Liability), net (5) FG VIEs’ (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) (11) (6) 34 (2) 178 (4) Other comprehensive income (loss) — (3) 42 Issuances — — (1,421) Sales — — 2 Settlements 3 99 402 Consolidations — (571) (26) Deconsolidations — 15 374 Fair value as of December 31, 2022 $ (162) $ (715) $ (4,154) Change in unrealized gains (losses) related to financial instruments held as of December 31, 2022 included in: Earnings $ (11) (6) $ 59 (2) $ 217 (4) OCI $ (3) $ 42 Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Year Ended December 31, 2021 Fixed-Maturity Securities Assets of CIVs Obligations Corporate Securities RMBS Asset- FG VIEs’ Equity Securities and Warrants Corporate Securities Other (in millions) Fair value as of December 31, 2020 $ 101 $ 30 $ 255 $ 940 $ 296 $ 2 $ — $ 54 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 23 (1) 2 (1) 16 (1) 18 (1) 26 (2) 35 (4) — (27) (3) Other comprehensive income (loss) (5) 16 (1) (5) — — — — Purchases — — — 344 — 56 — — Sales (44) (48) — (142) — (28) — — Settlements (3) — (54) (292) (62) — — — Consolidation — — — — — 174 91 — Fair value as of December 31, 2021 $ 72 $ — $ 216 $ 863 $ 260 $ 239 $ 91 $ 27 Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in: Earnings $ 27 (2) $ (2) (4) $ — $ (28) (3) OCI $ 1 $ — $ (1) $ (6) Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Year Ended December 31, 2021 Credit Derivative Asset (Liability), net (5) 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) (58) (6) (8) (2) 15 (4) Other comprehensive income (loss) — (1) — Issuances — — (3,367) Settlements 4 53 891 Consolidations — — (17) Fair value as of December 31, 2021 $ (154) $ (289) $ (3,705) Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in: Earnings $ (74) (6) $ (6) (2) $ (2) (4) OCI $ (1) __________________ (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 consolidated balance sheets based on net exposure by transaction. (6) Reported in “fair value gains (losses) on credit derivatives”. (7) Includes CCS and other invested assets. (8) Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse. |
Fair Value, Liabilities Measured on Recurring Basis | The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during the years ended December 31, 2022 and 2021. Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Year Ended December 31, 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) 1 (1) 16 (1) 5 (1) (3) (2) 1 (4) 2 (4) (5) (4) 24 (3) Other comprehensive income (loss) (12) (36) (47) — — — — (1) Purchases — 22 43 — 73 16 52 — Sales — — (13) — (16) (13) (21) — Settlements (14) (39) (57) (60) — — — — Consolidations — — — 22 — — — — Deconsolidation — — — (15) — — 20 — Fair value as of December 31, 2022 $ 47 $ 179 $ 794 $ 204 $ 297 $ 96 $ 46 $ 50 Change in unrealized gains (losses) related to financial instruments held as of December 31, 2022 included in: Earnings $ (3) (2) $ (8) (4) $ 1 (4) $ (4) (4) $ 24 (3) OCI $ (12) $ (32) $ (45) $ (1) Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Year Ended December 31, 2022 Credit Derivative Asset (Liability), net (5) FG VIEs’ (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) (11) (6) 34 (2) 178 (4) Other comprehensive income (loss) — (3) 42 Issuances — — (1,421) Sales — — 2 Settlements 3 99 402 Consolidations — (571) (26) Deconsolidations — 15 374 Fair value as of December 31, 2022 $ (162) $ (715) $ (4,154) Change in unrealized gains (losses) related to financial instruments held as of December 31, 2022 included in: Earnings $ (11) (6) $ 59 (2) $ 217 (4) OCI $ (3) $ 42 Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Year Ended December 31, 2021 Fixed-Maturity Securities Assets of CIVs Obligations Corporate Securities RMBS Asset- FG VIEs’ Equity Securities and Warrants Corporate Securities Other (in millions) Fair value as of December 31, 2020 $ 101 $ 30 $ 255 $ 940 $ 296 $ 2 $ — $ 54 Total pre-tax realized and unrealized gains (losses) recorded in: Net income (loss) 23 (1) 2 (1) 16 (1) 18 (1) 26 (2) 35 (4) — (27) (3) Other comprehensive income (loss) (5) 16 (1) (5) — — — — Purchases — — — 344 — 56 — — Sales (44) (48) — (142) — (28) — — Settlements (3) — (54) (292) (62) — — — Consolidation — — — — — 174 91 — Fair value as of December 31, 2021 $ 72 $ — $ 216 $ 863 $ 260 $ 239 $ 91 $ 27 Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in: Earnings $ 27 (2) $ (2) (4) $ — $ (28) (3) OCI $ 1 $ — $ (1) $ (6) Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Year Ended December 31, 2021 Credit Derivative Asset (Liability), net (5) 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) (58) (6) (8) (2) 15 (4) Other comprehensive income (loss) — (1) — Issuances — — (3,367) Settlements 4 53 891 Consolidations — — (17) Fair value as of December 31, 2021 $ (154) $ (289) $ (3,705) Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in: Earnings $ (74) (6) $ (6) (2) $ (2) (4) OCI $ (1) __________________ (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 consolidated balance sheets based on net exposure by transaction. (6) Reported in “fair value gains (losses) on credit derivatives”. (7) Includes CCS and other invested assets. (8) Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse. |
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs As of December 31, 2022 Financial Instrument Description Fair Value Significant Unobservable Range Weighted Average (4) Investments (2): Fixed-maturity securities, available-for-sale (1): Obligations of state and political subdivisions $ 47 Yield 7.4 % - 13.5% 9.4% RMBS 179 CPR 3.8 % - 16.1% 8.2% CDR 1.5 % - 12.0% 5.9% Loss severity 50.0 % - 125.0% 82.5% Yield 7.5 % - 11.3% 9.0% Asset-backed securities: Life insurance transactions 342 Yield 11.3% CLOs 428 Discount Margin 1.8 % - 4.1% 3.0% Others 24 Yield 7.4 % - 12.9% 12.8% FG VIEs’ assets (1) 204 CPR 0.9 % - 21.9% 12.9% CDR 1.3 % - 41.0% 7.6% Loss severity 45.0 % - 100.0% 81.0% Yield 6.6 % - 10.9% 7.5% Assets of CIVs (3): Equity securities and warrants 297 Yield 10.0% Discount rate 19.8 % - 25.1% 22.7% Market multiple-enterprise value/revenue 1.05x - 1.10x 1.08x Market multiple-enterprise value/EBITDA (6) 2.50x - 11.00x 10.25x Market multiple-price to book 1.15x Market multiple-price to earnings 4.50x Terminal growth rate 3.0% - 4.0% 3.5% Exit multiple -EBITDA 8.00x - 12.00x 10.53x Exit multiple-price to book 1.30x Exit multiple-price to earnings 5.50x Cost 1.00x Corporate securities 96 Discount rate 20.8 % - 23.8% 21.7% Yield 16.3% Exit multiple-EBITDA 8.00x Cost 1.00x Market multiple-enterprise value/EBITDA 2.50x - 2.75x 2.63x Structured products 46 Yield 12.8 % - 37.1% 18.9% Other assets (1) 47 Implied Yield 7.7 % - 8.4% 8.1% Term (years) 10 years Financial Instrument Description Fair Value Significant Unobservable Range Weighted Average (4) Credit derivative liabilities, net (1) (162) Hedge cost (in bps) 11.5 % - 25.2% 15.7% Bank profit (in bps) 51.0 - 270.5 109.4 Internal credit rating AAA - CCC AA FG VIEs’ liabilities (1) (715) CPR 0.9 % - 21.9% 6.3% CDR 1.3 % - 41.0% 3.7% Loss severity 45.0 % - 100.0% 39.9% Yield 4.8 % - 10.9% 5.9% Liabilities of CIVs (1): CLO obligations of CFEs (5) (4,090) Yield 3.0 % - 27.4% 5.5% Warehouse financing debt (36) Yield 11.7 % - 16.9% 12.9% Securitized borrowing (28) Discount rate 20.9% Terminal growth rate 3.0% Exit multiple-EBITDA 11.00x Market multiple-enterprise value/EBITDA 10.00x - 11.00x 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 $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 Significant Range Weighted Average (4) Investments (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 Credit derivative liabilities, net (1) (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 (1) (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 (1): 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 | Fair Value of Financial Instruments Not Carried at Fair Value As of December 31, 2022 As of December 31, 2021 Carrying Estimated Carrying Estimated (in millions) Assets (liabilities): Assets of CIVs (1) $ 46 $ 46 $ 171 $ 171 Other assets (including other invested assets) (2) 92 93 134 135 Financial guaranty insurance contracts (3) (2,335) (986) (2,394) (2,315) Long-term debt (1,675) (1,477) (1,673) (1,832) Liabilities of CIVs (4) (170) (170) (586) (586) Other liabilities (5) (43) (43) (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) | 12 Months Ended |
Dec. 31, 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 Year Ended December 31, 2022 2021 2020 (in millions) Management fees: CLOs (1) $ 34 $ 41 $ 21 Opportunity funds and liquid strategies 17 17 8 Wind-down funds 2 7 25 Total management fees 53 65 54 Performance fees 19 1 — Reimbursable fund expenses 21 22 35 Total asset management fees $ 93 $ 88 $ 89 _____________________ (1) To the extent that the Company’s wind-down and/or opportunity funds are invested in AssuredIM managed CLOs, AssuredIM may rebate any management fees and/or performance fees earned from the CLOs. Gross management fees from CLOs, before rebates, were $34 million in 2022, $47 million in 2021 and $40 million in 2020. |
Goodwill and Other Intangible_2
Goodwill and Other Intangible Assets (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
Schedule of Indefinite-Lived Intangible Assets | The following table summarizes the carrying value for the Company’s goodwill and other intangible assets: Goodwill and Other Intangible Assets Weighted Average Amortization Period as of December 31, 2022 As of December 31, 2022 2021 (in millions) Goodwill (1) $ 117 $ 117 Finite-lived intangible assets: CLO contracts 5.8 years 42 42 Investment management contracts 1.5 years 24 24 CLO distribution network 1.8 years 9 9 Trade name 6.8 years 3 3 Favorable sublease 1.2 years 1 1 Lease-related intangibles 4.3 years 3 3 Finite-lived intangible assets, gross 4.6 years 82 82 Accumulated amortization (42) (30) Finite-lived intangible assets, net 40 52 Indefinite-lived intangible assets (insurance licenses) 6 6 Total goodwill and other intangible assets $ 163 $ 175 _____________________ |
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense | As of December 31, 2022, future annual amortization of finite-lived intangible assets is estimated to be: Estimated Future Amortization Expense for Finite-Lived Intangible Assets As of December 31, 2022 Year (in millions) 2023 $ 11 2024 10 2025 6 2026 5 2027 5 Thereafter 3 Total $ 40 |
Long-Term Debt and Credit Fac_2
Long-Term Debt and Credit Facilities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Debt Disclosure [Abstract] | |
Principal and Carrying Amounts of Debt | The principal and carrying values of the Company’s debt are presented in the table below. Principal and Carrying Amounts of Long-Term Debt As of December 31, 2022 As of December 31, 2021 Principal Carrying Principal Carrying (in millions) AGUS 7% Senior Notes $ 200 $ 198 $ 200 $ 197 AGUS 5% Senior Notes 330 329 330 329 AGUS 3.15% Senior Notes 500 495 500 495 AGUS 3.6% Senior Notes 400 395 400 395 AGUS Series A Enhanced Junior Subordinated Debentures 150 150 150 150 AGMH Junior Subordinated Debentures (1) 146 108 146 105 AGM Notes Payable — — 2 2 Total $ 1,726 $ 1,675 $ 1,728 $ 1,673 ____________________ (1) Carrying amounts are different than principal amounts primarily due to fair value adjustments at the date of the AGMH acquisition, which are accreted into interest expense over the remaining terms of these obligations. Net of AGMH’s long-term debt purchased by AGUS. |
Expected Maturity Schedule of Debt | Debt Maturity Schedule (1) As of December 31, 2022 Year Principal (in millions) 2023 $ — 2024 330 2025 — 2026 — 2027 — 2028-2047 700 2048-2066 696 Total $ 1,726 ____________________ (1) Includes eliminations of AGMH’s debt purchased by AGUS. The Company’s interest expense was $81 million, $87 million and $85 million for the years ended December 31, 2022, 2021 and 2020, respectively. |
Employee Benefit Plans (Tables)
Employee Benefit Plans (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Share-Based Payment Arrangement [Abstract] | |
Restricted Stock Unit Activity (Excluding Dividend Equivalents) | Restricted Stock Unit Activity Nonvested Stock Units Number of Stock Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2021 906,302 $ 43.25 Granted 441,436 56.46 Vested (279,089) 41.26 Forfeited (1,583) 47.39 Nonvested at December 31, 2022 1,067,066 $ 49.18 Performance Restricted Stock Unit Activity Performance Restricted Stock Units Number of Performance Share Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2021 614,912 $ 46.25 Granted (1) 217,551 62.89 Vested (1) (197,078) 41.34 Forfeited — — Nonvested at December 31, 2022 (2) 635,385 $ 54.26 ____________________ (1) Includes 94,209 performance restricted stock units that were granted prior to 2022 at a weighted average grant date fair value of $41.34, but met performance hurdles and vested during 2022. The weighted average grant date fair value per share excludes these shares. |
Schedule of Share-Based Payment Award, Stock Options, Valuation Assumptions | The following are significant assumptions used in determining the fair value of the performance restricted stock units tied to relative TSR. Years Ended December 31, 2022 2021 2020 Expected term 2.85 years 2.85 years 2.84 years Expected volatility 27.19 % – 78.96% 26.55 % – 65.84% 11.93 % – 48.12% Dividend yield 0.00% 0.00% 0.00% Risk-free-rates 1.74% 0.22% 1.14% Grant-date fair value $83.97 $60.06 $38.96 |
Restricted Stock Award Activity | Restricted Stock Award Activity Nonvested Shares Number of Shares Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2021 44,797 $ 51.34 Granted 36,403 59.47 Vested (44,797) 51.34 Forfeited — — Nonvested at December 31, 2022 36,403 $ 59.47 |
Stock Purchase Plan | Stock Purchase Plan Year Ended December 31, 2022 2021 2020 (dollars in millions) Proceeds from purchase of shares by employees $ 2.4 $ 2.1 $ 1.5 Number of shares issued by the Company 53,453 67,615 72,797 |
Share-Based Compensation Expense Summary | Share-Based Compensation Expense Summary Year Ended December 31, 2022 2021 2020 (in millions) Share‑based compensation expense $ 39 $ 27 $ 25 Share‑based compensation capitalized as DAC 3 2 1 Income tax benefit 6 4 4 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Schedule of Deferred Tax Assets and Liabilities | Deferred and Current Tax Assets (Liabilities) As of December 31, 2022 2021 (in millions) Net deferred tax assets (liabilities) $ 114 $ (33) Net current tax assets (liabilities) 63 (43) Components of Net Deferred Tax Assets (Liabilities) As of December 31, 2022 2021 (in millions) Deferred tax assets: Unearned premium reserves, net $ 26 $ 51 Net unrealized investment losses 70 — Rent 18 17 Investments 7 — Foreign tax credit 5 24 Net operating loss 25 28 Depreciation 30 27 Deferred compensation 30 29 Deferred balances related to non-U.S. affiliates 14 — Other 23 19 Total deferred tax assets 248 195 Deferred tax liabilities: Net unrealized investment gains — 74 Investments — 30 DAC 20 20 Loss and LAE reserve 74 44 Lease 14 16 Other 21 20 Total deferred tax liabilities 129 204 Less: Valuation allowance 5 24 Net deferred tax assets (liabilities) $ 114 $ (33) |
Effective Tax Rate Reconciliation | A reconciliation of the difference between the provision for income taxes and the expected tax provision at statutory rates in taxable jurisdictions is presented below. Effective Tax Rate Reconciliation Year Ended December 31, 2022 2021 2020 (in millions) Expected tax provision (benefit) $ 23 $ 76 $ 83 Tax-exempt interest (14) (19) (20) Change in liability for uncertain tax positions — — (17) Return to provision adjustment (20) (4) (7) Noncontrolling interest (3) (8) (1) State taxes 12 7 4 Taxes on reinsurance — (2) 9 Foreign taxes 6 8 (3) Stock based compensation 5 4 — Other 2 (4) (3) Total provision (benefit) for income taxes $ 11 $ 58 $ 45 Effective tax rate 7.2 % 12.2 % 10.9 % |
Pretax Income (Loss) by Tax Jurisdiction | The following tables present pre-tax income and revenue by jurisdiction. Pre-tax Income (Loss) by Tax Jurisdiction Year Ended December 31, 2022 2021 2020 (in millions) U.S. $ 189 $ 378 $ 385 Bermuda 44 115 16 U.K. (69) (8) 13 France (16) (8) (1) Total $ 148 $ 477 $ 413 |
Revenue by Tax Jurisdiction | Revenue by Tax Jurisdiction Year Ended December 31, 2022 2021 2020 (in millions) U.S. $ 661 $ 685 $ 894 Bermuda 84 123 151 U.K. (15) 41 60 France (8) (3) 6 Other 1 2 4 Total $ 723 $ 848 $ 1,115 |
Insurance Company Regulatory _2
Insurance Company Regulatory Requirements (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Insurance Company Regulatory Requirements [Abstract] | |
Schedule of Statutory Capital and Surplus and Net Income | Insurance Regulatory Amounts Reported U.S. and Bermuda Policyholders’ Surplus Net Income (Loss) As of December 31, Year Ended December 31, 2022 2021 2022 2021 2020 (in millions) U.S. statutory companies: AGM (1) $ 2,747 $ 3,053 $ 163 $ 352 $ 398 AGC (2) 1,916 2,070 62 282 73 Bermuda statutory companies: AG Re 839 944 53 121 24 AGRO 390 425 9 6 7 ____________________ (1) Policyholders’ surplus is net of contingency reserves of $855 million and $877 million as of December 31, 2022 and December 31, 2021, respectively. (2) Policyholders’ surplus is net of contingency reserves of $347 million and $348 million as of December 31, 2022 and December 31, 2021, respectively. |
Schedule of Dividends Paid by Insurance Company Subsidiaries | Dividend Restrictions and Capital Requirements Distributions from / Contributions to Insurance Company Subsidiaries Year Ended December 31, 2022 2021 2020 (in millions) Dividends paid by AGC to AGUS $ 207 $ 94 $ 166 Dividends paid by AGM to AGMH 266 291 267 Dividends paid by AG Re to AGL (1) — 150 150 Dividends from AGUK to AGM (2) — — 124 Contributions from AGM to AGE (2) — — (123) ____________________ (1) The 2021 and 2020 amounts included fixed-maturity securities with a fair value of $46 million and $47 million, respectively. |
Leases (Tables)
Leases (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Leases [Abstract] | |
Summary of Lease Expense and Other Information | Lease Expense and Other Information Year Ended December 31, 2022 2021 2020 (in millions) Operating lease cost (1) $ 16 $ 16 $ 30 Other lease costs (2) 3 3 4 Sublease income (7) (5) (3) Total lease cost (3) $ 12 $ 14 $ 31 Cash paid for amounts included in the measurement of lease liabilities Operating cash outflows for operating leases $ 23 $ 20 $ 19 ROU assets obtained in exchange for new operating lease liabilities (4) 1 35 4 ____________________ (1) The 2020 amount includes $13 million ROU asset impairment. (2) Includes variable, short-term and finance lease costs. (3) Includes amortization on finance lease ROU assets and interest on finance lease liabilities reported in “other operating expenses” in the consolidated statements of operations. |
Future Minimum Rental Payments | Future Minimum Rental Payments Operating Leases As of December 31, 2022 Year (in millions) 2023 $ 23 2024 16 2025 13 2026 12 2027 12 Thereafter 53 Total lease payments 129 Less: Imputed interest 13 Total lease liabilities $ 116 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Schedule of Share Repurchases | Share Repurchases Year Number of Shares Repurchased Total Payments Average Price Paid Per Share 2020 15,787,804 $ 446 $ 28.23 2021 10,519,040 496 47.19 2022 8,847,981 503 56.79 2023 (through February 28, 2023 on a settlement date basis) 36,369 2 62.23 |
Other Comprehensive Income (Tab
Other Comprehensive Income (Tables) | 12 Months Ended |
Dec. 31, 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 consolidated statements of operations. Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2022 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2021 $ 375 $ (24) $ (21) $ (36) $ 6 $ 300 Other comprehensive income (loss) before reclassifications (755) (103) (4) (9) — (871) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) (44) (21) — — — (65) Fair value gains (losses) on FG VIEs — — (3) — — (3) Interest expense — — — — — — Total before tax (44) (21) (3) — — (68) Tax (provision) benefit 7 4 1 — — 12 Total amount reclassified from AOCI, net of tax (37) (17) (2) — — (56) Other comprehensive income (loss) (718) (86) (2) (9) — (815) Balance, December 31, 2022 $ (343) $ (110) $ (23) $ (45) $ 6 $ (515) Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2021 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2020 $ 577 $ (30) $ (20) $ (36) $ 7 $ 498 Other comprehensive income (loss) before reclassifications (184) — (3) — — (187) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 21 (7) — — — 14 Fair value gains (losses) on FG VIEs — — (3) — — (3) Interest expense — — — — 1 1 Total before tax 21 (7) (3) — 1 12 Tax (provision) benefit (3) 1 1 — — (1) Total amount reclassified from AOCI, net of tax 18 (6) (2) — 1 11 Other comprehensive income (loss) (202) 6 (1) — (1) (198) Balance, December 31, 2021 $ 375 $ (24) $ (21) $ (36) $ 6 $ 300 Changes in Accumulated Other Comprehensive Income (Loss) by Component Year Ended December 31, 2020 Net Unrealized Gains (Losses) on Investments with: ISCR on FG VIEs ’ Liabilities with Recourse Cumulative Cash Total No Credit Impairment Credit Impairment (in millions) Balance, December 31, 2019 $ 352 $ 48 $ (27) $ (38) $ 7 $ 342 Effect of adoption of accounting guidance on credit losses 62 (62) — — — — Other comprehensive income (loss) before reclassifications 189 (29) 7 2 — 169 Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 30 (16) — — — 14 Total before tax 30 (16) — — — 14 Tax (provision) benefit (4) 3 — — — (1) Total amount reclassified from AOCI, net of tax 26 (13) — — — 13 Other comprehensive income (loss) 163 (16) 7 2 — 156 Balance, December 31, 2020 $ 577 $ (30) $ (20) $ (36) $ 7 $ 498 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Earnings Per Share [Abstract] | |
Schedule of computation of basic and diluted earnings per share | Computation of Earnings Per Share Year Ended December 31, 2022 2021 2020 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 124 $ 389 362 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 — 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 123 $ 389 361 Basic shares 62.9 73.5 85.5 Basic EPS $ 1.95 $ 5.29 $ 4.22 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 123 $ 389 $ 361 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 $ 123 $ 389 $ 361 Basic shares 62.9 73.5 85.5 Dilutive securities: Options and restricted stock awards 1.0 0.8 0.7 Diluted shares 63.9 74.3 86.2 Diluted EPS $ 1.92 $ 5.23 $ 4.19 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.6 0.1 0.8 |
Schedule of antidilutive securities excluded from computation of earnings per share | Computation of Earnings Per Share Year Ended December 31, 2022 2021 2020 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 124 $ 389 362 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 — 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 123 $ 389 361 Basic shares 62.9 73.5 85.5 Basic EPS $ 1.95 $ 5.29 $ 4.22 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 123 $ 389 $ 361 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 $ 123 $ 389 $ 361 Basic shares 62.9 73.5 85.5 Dilutive securities: Options and restricted stock awards 1.0 0.8 0.7 Diluted shares 63.9 74.3 86.2 Diluted EPS $ 1.92 $ 5.23 $ 4.19 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.6 0.1 0.8 |
Parent Company (Tables)
Parent Company (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Condensed Consolidating Balance Sheet | Condensed Balance Sheets (in millions) As of December 31, 2022 2021 Assets Investments $ 26 $ 188 Investments in subsidiaries 4,984 5,994 Dividends receivable from subsidiaries 18 81 Other assets (1) 58 46 Total assets $ 5,086 $ 6,309 Liabilities Other liabilities (1) $ 22 $ 17 Total liabilities $ 22 $ 17 Total shareholders’ equity attributable to AGL $ 5,064 $ 6,292 Total liabilities and shareholders’ equity $ 5,086 $ 6,309 ____________________ (1) Mainly consists of due from and due to affiliates. |
Condensed Consolidating Statement of Operations and Comprehensive Income | Condensed Statements of Operations and Comprehensive Income (in millions) Year Ended December 31, 2022 2021 2020 Revenues Net investment income $ 3 $ 1 $ — Net realized investment gains (losses) (4) — — Total revenues (1) 1 — Expenses Other expenses (1) 45 35 34 Total expenses 45 35 34 Income (loss) before equity in earnings of subsidiaries (46) (34) (34) Equity in earnings of subsidiaries 170 423 396 Net income attributable to AGL 124 389 362 Other comprehensive income (loss) attributable to AGL (815) (198) 156 Comprehensive income (loss) attributable to AGL $ (691) $ 191 $ 518 ____________________ (1) Includes expense allocations from subsidiaries. |
Condensed Consolidating Statement of Cash Flows | Condensed Statements of Cash Flows (in millions) Year Ended December 31, 2022 2021 2020 Cash flows from operating activities: Net income attributable to AGL $ 124 $ 389 $ 362 Adjustments to reconcile net income to net cash flows provided by operating activities: Equity in earnings of subsidiaries (170) (423) (396) Net realized investment losses (gains) 4 — — Cash dividends from subsidiaries 437 539 547 Other 32 22 19 Net cash flows provided by (used in) operating activities 427 527 532 Cash flows from investing activities: Short-term investments with maturities of over three months: Purchases — — (4) Sales 52 — — Maturities and paydowns 5 4 — Net sales (purchases) of short-term investments with original maturities of less than three months 92 41 (3) Net cash flows provided by (used in) investing activities 149 45 (7) Cash flows from financing activities: Dividends paid (64) (66) (69) Repurchases of common shares (500) (496) (446) Other (12) (10) (10) Net cash flows provided by (used in) financing activities (576) (572) (525) Increase (decrease) in cash — — — Cash at beginning of period — — — Cash at end of period $ — $ — $ — Supplemental disclosure of non-cash investing activities: Dividend from a subsidiary in the form of fixed-maturity securities $ — $ 46 $ 47 |
Business and Basis of Present_4
Business and Basis of Presentation - Narrative (Details) | Dec. 31, 2022 Company |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of holding companies having outstanding public debt | 2 |
Segment Information - Narrative
Segment Information - Narrative (Details) | 12 Months Ended |
Dec. 31, 2022 segment | |
Segment Reporting [Abstract] | |
Number of reportable segments | 2 |
Segment Information - Segment I
Segment Information - Segment Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Segment Reporting Information [Line Items] | |||
Revenues | $ (723) | $ (848) | $ (1,115) |
Total expenses | 536 | 465 | 729 |
Equity in earnings (losses) of investees | (39) | 94 | 27 |
Provision (Benefit) for Income Taxes | 11 | 58 | 45 |
Selected components of segment adjusted operating income: | |||
Net investment income | 269 | 269 | 297 |
Interest expense | 81 | 87 | 85 |
Operating Segments | |||
Segment Reporting Information [Line Items] | |||
Revenues | (869) | (816) | (940) |
Total expenses | 378 | 141 | 574 |
Equity in earnings (losses) of investees | (51) | 144 | 61 |
Provision (Benefit) for Income Taxes | 33 | 116 | 48 |
Selected components of segment adjusted operating income: | |||
Net investment income | 278 | 280 | 310 |
Insurance | Operating Segments Excluding Intersegment Elimination | |||
Segment Reporting Information [Line Items] | |||
Revenues | (748) | (724) | (864) |
Insurance | Intersegment revenues | |||
Segment Reporting Information [Line Items] | |||
Revenues | 9 | 9 | 10 |
Insurance | Operating Segments | |||
Segment Reporting Information [Line Items] | |||
Revenues | (757) | (733) | (874) |
Total expenses | 259 | 33 | 446 |
Equity in earnings (losses) of investees | (51) | 144 | 61 |
Provision (Benefit) for Income Taxes | 34 | 122 | 60 |
Segment adjusted operating income (loss) | 413 | 722 | 429 |
Selected components of segment adjusted operating income: | |||
Net investment income | 278 | 280 | 310 |
Interest expense | 1 | 0 | 0 |
Non-cash compensation and operating expenses | 41 | 56 | 39 |
Asset Management | Operating Segments Excluding Intersegment Elimination | |||
Segment Reporting Information [Line Items] | |||
Revenues | (78) | (73) | (61) |
Asset Management | Intersegment revenues | |||
Segment Reporting Information [Line Items] | |||
Revenues | 34 | 10 | 5 |
Asset Management | Operating Segments | |||
Segment Reporting Information [Line Items] | |||
Revenues | (112) | (83) | (66) |
Total expenses | 119 | 108 | 128 |
Equity in earnings (losses) of investees | 0 | 0 | 0 |
Provision (Benefit) for Income Taxes | (1) | (6) | (12) |
Segment adjusted operating income (loss) | (6) | (19) | (50) |
Selected components of segment adjusted operating income: | |||
Net investment income | 0 | 0 | 0 |
Interest expense | 1 | 1 | 0 |
Non-cash compensation and operating expenses | $ 18 | $ 17 | $ 31 |
Segment Information - Reconcili
Segment Information - Reconciliation of Net Income (Loss) Attributable to AGL to Segment Adjusted Operating Income (Loss) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Segment Reporting Information [Line Items] | |||
Total revenues | $ 723 | $ 848 | $ 1,115 |
Total expenses | 536 | 465 | 729 |
Equity in earnings (losses) of investees | (39) | 94 | 27 |
Provision (Benefit) for Income Taxes | 11 | 58 | 45 |
Less: Noncontrolling interests | 13 | 30 | 6 |
Total consolidated | 124 | 389 | 362 |
Operating Segments | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 869 | 816 | 940 |
Total expenses | 378 | 141 | 574 |
Equity in earnings (losses) of investees | (51) | 144 | 61 |
Provision (Benefit) for Income Taxes | 33 | 116 | 48 |
Less: Noncontrolling interests | 0 | 0 | 0 |
Total consolidated | 407 | 703 | 379 |
Operating Segments | Insurance | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 757 | 733 | 874 |
Total expenses | 259 | 33 | 446 |
Equity in earnings (losses) of investees | (51) | 144 | 61 |
Provision (Benefit) for Income Taxes | 34 | 122 | 60 |
Less: Noncontrolling interests | 0 | 0 | 0 |
Total consolidated | 413 | 722 | 429 |
Operating Segments | Asset Management | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 112 | 83 | 66 |
Total expenses | 119 | 108 | 128 |
Equity in earnings (losses) of investees | 0 | 0 | 0 |
Provision (Benefit) for Income Taxes | (1) | (6) | (12) |
Less: Noncontrolling interests | 0 | 0 | 0 |
Total consolidated | (6) | (19) | (50) |
Corporate division | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 4 | 2 | 9 |
Total expenses | 143 | 312 | 132 |
Equity in earnings (losses) of investees | 0 | 0 | (6) |
Provision (Benefit) for Income Taxes | (5) | (47) | (18) |
Less: Noncontrolling interests | 0 | 0 | 0 |
Total consolidated | (134) | (263) | (111) |
Other Operating Segments And Intersegment Eliminations | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 14 | 142 | 40 |
Total expenses | 19 | 26 | 21 |
Equity in earnings (losses) of investees | 12 | (50) | (28) |
Provision (Benefit) for Income Taxes | 0 | 6 | (3) |
Less: Noncontrolling interests | 13 | 30 | 6 |
Total consolidated | (6) | 30 | (12) |
Subtotal | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 887 | 960 | 989 |
Total expenses | 540 | 479 | 727 |
Equity in earnings (losses) of investees | (39) | 94 | 27 |
Provision (Benefit) for Income Taxes | 28 | 75 | 27 |
Less: Noncontrolling interests | 13 | 30 | 6 |
Total consolidated | 267 | 470 | 256 |
Segment Reconciling Items | Realized gains (losses) on investments | |||
Segment Reporting Information [Line Items] | |||
Total revenues | (56) | 15 | 18 |
Total expenses | 0 | 0 | 0 |
Equity in earnings (losses) of investees | 0 | 0 | 0 |
Provision (Benefit) for Income Taxes | 0 | 0 | 0 |
Less: Noncontrolling interests | 0 | 0 | 0 |
Total consolidated | (56) | 15 | 18 |
Segment Reconciling Items | Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives | |||
Segment Reporting Information [Line Items] | |||
Total revenues | (22) | (78) | 67 |
Total expenses | (4) | (14) | 2 |
Equity in earnings (losses) of investees | 0 | 0 | 0 |
Provision (Benefit) for Income Taxes | 0 | 0 | 0 |
Less: Noncontrolling interests | 0 | 0 | 0 |
Total consolidated | (18) | (64) | 65 |
Segment Reconciling Items | Fair value gains (losses) on CCS | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 24 | (28) | (1) |
Total expenses | 0 | 0 | 0 |
Equity in earnings (losses) of investees | 0 | 0 | 0 |
Provision (Benefit) for Income Taxes | 0 | 0 | 0 |
Less: Noncontrolling interests | 0 | 0 | 0 |
Total consolidated | 24 | (28) | (1) |
Segment Reconciling Items | Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves | |||
Segment Reporting Information [Line Items] | |||
Total revenues | (110) | (21) | 42 |
Total expenses | 0 | 0 | 0 |
Equity in earnings (losses) of investees | 0 | 0 | 0 |
Provision (Benefit) for Income Taxes | 0 | 0 | 0 |
Less: Noncontrolling interests | 0 | 0 | 0 |
Total consolidated | (110) | (21) | 42 |
Segment Reconciling Items | Provision (Benefit) for Income Taxes | |||
Segment Reporting Information [Line Items] | |||
Total revenues | 0 | 0 | 0 |
Total expenses | 0 | 0 | 0 |
Equity in earnings (losses) of investees | 0 | 0 | 0 |
Provision (Benefit) for Income Taxes | 17 | 17 | (18) |
Less: Noncontrolling interests | 0 | 0 | 0 |
Total consolidated | $ (17) | $ (17) | $ 18 |
Segment Information - Supplemen
Segment Information - Supplemental Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Segment Reporting Information [Line Items] | |||
Net earned premiums | $ 494 | $ 414 | $ 485 |
Net investment income | 269 | 269 | 297 |
Loss and LAE (benefit) | 16 | (220) | 203 |
Amortization of DAC | 14 | 14 | 16 |
Other Expenses | 425 | 409 | 425 |
Operating Segments | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 497 | 418 | 490 |
Net investment income | 278 | 280 | 310 |
Loss and LAE (benefit) | 12 | (221) | 204 |
Amortization of DAC | 14 | 14 | 16 |
Other Expenses | 350 | 347 | 354 |
Operating Segments | Insurance | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 497 | 418 | 490 |
Net investment income | 278 | 280 | 310 |
Loss and LAE (benefit) | 12 | (221) | 204 |
Amortization of DAC | 14 | 14 | 16 |
Other Expenses | 232 | 240 | 226 |
Non-cash compensation and operating expenses | 41 | 56 | 39 |
Operating Segments | Asset Management | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 0 | 0 | 0 |
Net investment income | 0 | 0 | 0 |
Loss and LAE (benefit) | 0 | 0 | 0 |
Amortization of DAC | 0 | 0 | 0 |
Other Expenses | 118 | 107 | 128 |
Non-cash compensation and operating expenses | 18 | 17 | 31 |
Corporate division | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 0 | 0 | 0 |
Net investment income | 4 | 2 | 2 |
Loss and LAE (benefit) | 0 | 0 | 0 |
Amortization of DAC | 0 | 0 | 0 |
Other Expenses | 54 | 41 | 37 |
Non-cash compensation and operating expenses | 13 | 5 | 6 |
Other Operating Segments And Intersegment Eliminations | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | (3) | (4) | (5) |
Net investment income | (13) | (13) | (15) |
Loss and LAE (benefit) | 8 | 15 | (3) |
Amortization of DAC | 0 | 0 | 0 |
Other Expenses | 21 | 21 | 34 |
Subtotal | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 494 | 414 | 485 |
Net investment income | 269 | 269 | 297 |
Loss and LAE (benefit) | 20 | (206) | 201 |
Amortization of DAC | 14 | 14 | 16 |
Other Expenses | 425 | 409 | 425 |
Segment Reconciling Items | |||
Segment Reporting Information [Line Items] | |||
Net earned premiums | 0 | 0 | 0 |
Net investment income | 0 | 0 | 0 |
Loss and LAE (benefit) | (4) | (14) | 2 |
Amortization of DAC | 0 | 0 | 0 |
Other Expenses | $ 0 | $ 0 | $ 0 |
Segment Information - Segment R
Segment Information - Segment Revenue by Country of Domicile (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Segment Reporting Information [Line Items] | |||
Revenues | $ 723 | $ 848 | $ 1,115 |
Subtotal | |||
Segment Reporting Information [Line Items] | |||
Revenues | 887 | 960 | 989 |
U.S. | Subtotal | |||
Segment Reporting Information [Line Items] | |||
Revenues | 727 | 762 | 788 |
Bermuda | Subtotal | |||
Segment Reporting Information [Line Items] | |||
Revenues | 129 | 153 | 155 |
U.K. | Subtotal | |||
Segment Reporting Information [Line Items] | |||
Revenues | 32 | 42 | 38 |
Other | Subtotal | |||
Segment Reporting Information [Line Items] | |||
Revenues | $ (1) | $ 3 | $ 8 |
Outstanding Exposure - Narrativ
Outstanding Exposure - Narrative (Details) - USD ($) $ in Millions | 1 Months Ended | 12 Months Ended | |||
Aug. 31, 2021 | Dec. 31, 2022 | Mar. 01, 2023 | Mar. 15, 2022 | Dec. 31, 2021 | |
Schedule of Insured Financial Obligations [Line Items] | |||||
Loss Mitigation Securities and other | $ 1,300 | $ 1,300 | |||
Net Par Outstanding | 233,258 | 236,392 | |||
Gross Exposure | 1,700 | ||||
Puerto Rico | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 1,361 | 3,572 | |||
Puerto Rico | Net Exposure | 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 | Net Exposure | GO and PBA POA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Amount of outstanding principal to be paid, percent | 100% | ||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 509 | 2,643 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PREPA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 720 | 748 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | Commonwealth of Puerto Rico - GO | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 25 | 1,097 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | GO/PBA PSA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 29 | ||||
Cash received net of outbound reinsurance | 530 | ||||
Recovery bonds received, net | 605 | ||||
Contingent value instruments received, net | 258 | ||||
Net par outstanding, portion of noncallable insured bonds | 102 | ||||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PBA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 4 | 122 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRHTA (Transportation revenue) | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 298 | 799 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRHTA (Highway revenue) | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 182 | 457 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRCCDA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 0 | 152 | |||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRIFA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 0 | 16 | |||
Puerto Rico | Puerto Rico Highways and Transportation Authority | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 480 | ||||
Cash received | 251 | ||||
Recovery bonds received, net | 807 | ||||
Notional amount of contingent value instrument received | 672 | ||||
Puerto Rico | Other Puerto Rico Exposures | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 852 | 929 | |||
Puerto Rico | Other Puerto Rico Exposures | MFA | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 131 | 179 | |||
Puerto Rico | Other Puerto Rico Exposures | MFA | Subsequent Event | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Debt service payments | $ 132 | ||||
Public finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 224,099 | 227,164 | |||
Structured finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 9,159 | 9,228 | |||
Commitment to Provide Guarantees | Public finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Outstanding commitments to provide guaranties | 220 | ||||
Commitment to Provide Guarantees | Structured finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Outstanding commitments to provide guaranties | $ 792 | ||||
BIG | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Maximum period of liquidity claims (in years) | 1 year | ||||
Net Par Outstanding | $ 5,892 | 7,356 | |||
Gross Exposure | 144 | 144 | |||
Net Exposure | 84 | 84 | |||
BIG | Puerto Rico | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Change in net par outstanding | 2,200 | ||||
Net Par Outstanding | 1,400 | 3,600 | |||
BIG | Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Change in net par outstanding | 2,000 | ||||
BIG | Public finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | 4,777 | 5,972 | |||
BIG | Structured finance | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding | $ 1,115 | $ 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 | Dec. 31, 2022 | Dec. 31, 2021 |
Debt Service | ||
Gross | $ 370,172 | $ 367,770 |
Net | 369,951 | 367,360 |
Par Outstanding | ||
Gross | 233,438 | 236,765 |
Net | 233,258 | 236,392 |
Public finance | ||
Debt Service | ||
Gross | 359,899 | 357,694 |
Net | 359,703 | 357,314 |
Par Outstanding | ||
Gross | 224,254 | 227,507 |
Net | 224,099 | 227,164 |
Structured finance | ||
Debt Service | ||
Gross | 10,273 | 10,076 |
Net | 10,248 | 10,046 |
Par Outstanding | ||
Gross | 9,184 | 9,258 |
Net | $ 9,159 | $ 9,228 |
Outstanding Exposure - Financia
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 233,258 | $ 236,392 |
% of total net par outstanding | 100% | 100% |
AAA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 3,584 | $ 3,788 |
% of total net par outstanding | 1.50% | 1.60% |
AA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 24,383 | $ 25,359 |
% of total net par outstanding | 10.50% | 10.70% |
A | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 107,493 | $ 106,091 |
% of total net par outstanding | 46.10% | 44.90% |
BBB | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 91,906 | $ 93,798 |
% of total net par outstanding | 39.40% | 39.70% |
BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 5,892 | $ 7,356 |
% of total net par outstanding | 2.50% | 3.10% |
U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 187,864 | |
Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 45,394 | |
Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 224,099 | $ 227,164 |
Public finance | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 4,777 | 5,972 |
Public finance | U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 179,636 | $ 177,219 |
% of total net par outstanding | 100% | 100% |
Public finance | U.S. | AAA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 222 | $ 272 |
% of total net par outstanding | 0.10% | 0.20% |
Public finance | U.S. | AA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 16,241 | $ 16,372 |
% of total net par outstanding | 9.10% | 9.20% |
Public finance | U.S. | A | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 96,807 | $ 94,459 |
% of total net par outstanding | 53.90% | 53.30% |
Public finance | U.S. | BBB | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 62,570 | $ 60,744 |
% of total net par outstanding | 34.80% | 34.30% |
Public finance | U.S. | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 3,796 | $ 5,372 |
% of total net par outstanding | 2.10% | 3% |
Public finance | Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 44,463 | $ 49,945 |
% of total net par outstanding | 100% | 100% |
Public finance | Non U.S. | AAA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 1,967 | $ 2,217 |
% of total net par outstanding | 4.40% | 4.50% |
Public finance | Non U.S. | AA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 3,497 | $ 4,205 |
% of total net par outstanding | 7.90% | 8.40% |
Public finance | Non U.S. | A | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 9,271 | $ 10,659 |
% of total net par outstanding | 20.90% | 21.30% |
Public finance | Non U.S. | BBB | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 28,747 | $ 32,264 |
% of total net par outstanding | 64.60% | 64.60% |
Public finance | Non U.S. | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 981 | $ 600 |
% of total net par outstanding | 2.20% | 1.20% |
Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 9,159 | $ 9,228 |
Structured finance | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,115 | 1,384 |
Structured finance | U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 8,228 | $ 8,374 |
% of total net par outstanding | 100% | 100% |
Structured finance | U.S. | AAA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 926 | $ 806 |
% of total net par outstanding | 11.20% | 9.60% |
Structured finance | U.S. | AA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 4,633 | $ 4,760 |
% of total net par outstanding | 56.30% | 56.80% |
Structured finance | U.S. | A | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 1,075 | $ 813 |
% of total net par outstanding | 13.10% | 9.70% |
Structured finance | U.S. | BBB | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 479 | $ 611 |
% of total net par outstanding | 5.80% | 7.30% |
Structured finance | U.S. | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 1,115 | $ 1,384 |
% of total net par outstanding | 13.60% | 16.60% |
Structured finance | Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 931 | $ 854 |
% of total net par outstanding | 100% | 100% |
Structured finance | Non U.S. | AAA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 469 | $ 493 |
% of total net par outstanding | 50.40% | 57.70% |
Structured finance | Non U.S. | AA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 12 | $ 22 |
% of total net par outstanding | 1.30% | 2.60% |
Structured finance | Non U.S. | A | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 340 | $ 160 |
% of total net par outstanding | 36.50% | 18.70% |
Structured finance | Non U.S. | BBB | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 110 | $ 179 |
% of total net par outstanding | 11.80% | 21% |
Structured finance | Non U.S. | BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 0 | $ 0 |
% of total net par outstanding | 0% | 0% |
Outstanding Exposure - Financ_2
Outstanding Exposure - Financial Guaranty Portfolio by Asset Class (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 233,258 | $ 236,392 |
Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 224,099 | 227,164 |
Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 9,159 | 9,228 |
U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 187,864 | |
U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 179,636 | 177,219 |
U.S. | Public finance | General obligation | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 71,868 | 72,896 |
U.S. | Public finance | Tax backed | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 33,752 | 35,726 |
U.S. | Public finance | Municipal utilities | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 26,436 | 25,556 |
U.S. | Public finance | Transportation | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 19,688 | 17,241 |
U.S. | Public finance | Healthcare | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 11,304 | 9,588 |
U.S. | Public finance | Higher education | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 7,137 | 6,927 |
U.S. | Public finance | Infrastructure finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 6,955 | 6,329 |
U.S. | Public finance | Housing revenue | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 959 | 1,000 |
U.S. | Public finance | Investor-owned utilities | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 332 | 611 |
U.S. | Public finance | Renewable energy | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 180 | 193 |
U.S. | Public finance | Other | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 1,025 | 1,152 |
U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 8,228 | 8,374 |
U.S. | Structured finance | Other | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 878 | 665 |
U.S. | Structured finance | Life insurance transactions | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 3,879 | 3,431 |
U.S. | Structured finance | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 1,956 | 2,391 |
U.S. | Structured finance | Pooled corporate obligations | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 625 | 534 |
U.S. | Structured finance | Financial products | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 453 | 770 |
U.S. | Structured finance | Consumer receivables | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 437 | 583 |
Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 45,394 | |
Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 44,463 | 49,945 |
Non U.S. | Public finance | Infrastructure finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 13,915 | 16,475 |
Non U.S. | Public finance | Renewable energy | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 2,086 | 2,398 |
Non U.S. | Public finance | Regulated utilities | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 17,855 | 18,814 |
Non U.S. | Public finance | Sovereign and sub-sovereign | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 9,526 | 10,886 |
Non U.S. | Public finance | Pooled infrastructure | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 1,081 | 1,372 |
Non U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 931 | 854 |
Non U.S. | Structured finance | Other | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 324 | 178 |
Non U.S. | Structured finance | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | 263 | 325 |
Non U.S. | Structured finance | Pooled corporate obligations | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 344 | $ 351 |
Outstanding Exposure - Expected
Outstanding Exposure - Expected Amortization of Net Par Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Expected Amortization of Net Par Outstanding [Abstract] | ||
0 to 5 years | $ 50,311 | |
5 to 10 years | 50,698 | |
10 to 15 years | 43,432 | |
15 to 20 years | 32,588 | |
20 years and above | 56,229 | |
Total net par outstanding | 233,258 | $ 236,392 |
Public finance | ||
Expected Amortization of Net Par Outstanding [Abstract] | ||
0 to 5 years | 47,218 | |
5 to 10 years | 47,902 | |
10 to 15 years | 41,695 | |
15 to 20 years | 31,597 | |
20 years and above | 55,687 | |
Total net par outstanding | 224,099 | 227,164 |
Structured finance | ||
Expected Amortization of Net Par Outstanding [Abstract] | ||
0 to 5 years | 3,093 | |
5 to 10 years | 2,796 | |
10 to 15 years | 1,737 | |
15 to 20 years | 991 | |
20 years and above | 542 | |
Total net par outstanding | $ 9,159 | $ 9,228 |
Outstanding Exposure - Componen
Outstanding Exposure - Components of BIG Net Par Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 233,258 | $ 236,392 |
Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 224,099 | 227,164 |
Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 7,203 | 6,837 |
Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 9,159 | 9,228 |
U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 187,864 | |
U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 179,636 | 177,219 |
U.S. | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,956 | 2,391 |
U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 8,228 | 8,374 |
Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 45,394 | |
Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 44,463 | 49,945 |
Non U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 931 | 854 |
BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 5,892 | 7,356 |
BIG | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 4,777 | 5,972 |
BIG | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 105 | 119 |
BIG | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,115 | 1,384 |
BIG | U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 3,796 | 5,372 |
BIG | U.S. | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,010 | 1,265 |
BIG | U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,115 | 1,384 |
BIG | Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 981 | 600 |
BIG | Non U.S. | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 0 | 0 |
BIG | BIG 1 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 3,363 | 2,443 |
BIG | BIG 1 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 3,345 | 2,321 |
BIG | BIG 1 | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 0 | 1 |
BIG | BIG 1 | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 18 | 122 |
BIG | BIG 1 | U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 2,364 | 1,765 |
BIG | BIG 1 | U.S. | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 18 | 121 |
BIG | BIG 1 | Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 981 | 556 |
BIG | BIG 2 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 181 | 181 |
BIG | BIG 2 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 108 | 116 |
BIG | BIG 2 | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 34 | 41 |
BIG | BIG 2 | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 73 | 65 |
BIG | BIG 2 | U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 108 | 116 |
BIG | BIG 2 | U.S. | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 39 | 24 |
BIG | BIG 2 | Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 0 | 0 |
BIG | BIG 3 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 2,348 | 4,732 |
BIG | BIG 3 | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,324 | 3,535 |
BIG | BIG 3 | Other structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 71 | 77 |
BIG | BIG 3 | Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,024 | 1,197 |
BIG | BIG 3 | U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,324 | 3,491 |
BIG | BIG 3 | U.S. | RMBS | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 953 | 1,120 |
BIG | BIG 3 | Non U.S. | Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 0 | $ 44 |
Outstanding Exposure - BIG Net
Outstanding Exposure - BIG Net Par Outstanding (Details) $ in Millions | Dec. 31, 2022 USD ($) risk | Dec. 31, 2021 USD ($) risk |
Schedule of Insured Financial Obligations [Line Items] | ||
Credit derivative, net par outstanding | $ 3,203 | $ 4,040 |
Total net par outstanding | $ 233,258 | 236,392 |
Number of Risks | risk | 7,583 | |
BIG | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | $ 5,835 | 7,293 |
Credit derivative, net par outstanding | 57 | 63 |
Total net par outstanding | $ 5,892 | $ 7,356 |
Number of risks, financial guaranty insurance | risk | 247 | 262 |
Number of risks, credit derivative | risk | 13 | 11 |
Number of Risks | risk | 260 | 273 |
BIG | BIG 1 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | $ 3,357 | $ 2,429 |
Credit derivative, net par outstanding | 6 | 14 |
Total net par outstanding | $ 3,363 | $ 2,443 |
Number of risks, financial guaranty insurance | risk | 122 | 117 |
Number of risks, credit derivative | risk | 1 | 2 |
Number of Risks | risk | 123 | 119 |
BIG | BIG 2 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | $ 171 | $ 177 |
Credit derivative, net par outstanding | 10 | 4 |
Total net par outstanding | $ 181 | $ 181 |
Number of risks, financial guaranty insurance | risk | 14 | 16 |
Number of risks, credit derivative | risk | 2 | 1 |
Number of Risks | risk | 16 | 17 |
BIG | BIG 3 | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net par outstanding, financial guaranty insurance | $ 2,307 | $ 4,687 |
Credit derivative, net par outstanding | 41 | 45 |
Total net par outstanding | $ 2,348 | $ 4,732 |
Number of risks, financial guaranty insurance | risk | 111 | 129 |
Number of risks, credit derivative | risk | 10 | 8 |
Number of Risks | risk | 121 | 137 |
Outstanding Exposure - Geograph
Outstanding Exposure - Geographic Distribution of Net Par Outstanding (Details) $ in Millions | Dec. 31, 2022 USD ($) risk | Dec. 31, 2021 USD ($) |
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 7,583 | |
Total net par outstanding | $ 233,258 | $ 236,392 |
Percent of Total Net Par Outstanding | 100% | |
U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 7,241 | |
Total net par outstanding | $ 187,864 | |
Percent of Total Net Par Outstanding | 80.50% | |
Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 342 | |
Total net par outstanding | $ 45,394 | |
Percent of Total Net Par Outstanding | 19.50% | |
U.K. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 280 | |
Total net par outstanding | $ 34,903 | |
Percent of Total Net Par Outstanding | 15% | |
Canada | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 5 | |
Total net par outstanding | $ 1,728 | |
Percent of Total Net Par Outstanding | 0.70% | |
Spain | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 7 | |
Total net par outstanding | $ 1,575 | |
Percent of Total Net Par Outstanding | 0.70% | |
Australia | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 6 | |
Total net par outstanding | $ 1,506 | |
Percent of Total Net Par Outstanding | 0.60% | |
France | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 7 | |
Total net par outstanding | $ 1,437 | |
Percent of Total Net Par Outstanding | 0.70% | |
Other | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 37 | |
Total net par outstanding | $ 4,245 | |
Percent of Total Net Par Outstanding | 1.80% | |
Public finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 224,099 | 227,164 |
Public finance | U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 6,870 | |
Total net par outstanding | $ 179,636 | 177,219 |
Percent of Total Net Par Outstanding | 77% | |
Public finance | California | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 1,256 | |
Total net par outstanding | $ 36,818 | |
Percent of Total Net Par Outstanding | 15.80% | |
Public finance | Texas | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 1,026 | |
Total net par outstanding | $ 18,973 | |
Percent of Total Net Par Outstanding | 8.10% | |
Public finance | Pennsylvania | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 543 | |
Total net par outstanding | $ 16,142 | |
Percent of Total Net Par Outstanding | 6.90% | |
Public finance | NEW YORK | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 584 | |
Total net par outstanding | $ 15,580 | |
Percent of Total Net Par Outstanding | 6.70% | |
Public finance | Illinois | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 498 | |
Total net par outstanding | $ 12,824 | |
Percent of Total Net Par Outstanding | 5.50% | |
Public finance | New Jersey | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 265 | |
Total net par outstanding | $ 9,610 | |
Percent of Total Net Par Outstanding | 4.10% | |
Public finance | Florida | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 211 | |
Total net par outstanding | $ 7,790 | |
Percent of Total Net Par Outstanding | 3.40% | |
Public finance | Louisiana | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 129 | |
Total net par outstanding | $ 4,979 | |
Percent of Total Net Par Outstanding | 2.10% | |
Public finance | Michigan | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 235 | |
Total net par outstanding | $ 4,943 | |
Percent of Total Net Par Outstanding | 2.10% | |
Public finance | Alabama | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 240 | |
Total net par outstanding | $ 3,763 | |
Percent of Total Net Par Outstanding | 1.60% | |
Public finance | Other | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 1,883 | |
Total net par outstanding | $ 48,214 | |
Percent of Total Net Par Outstanding | 20.70% | |
Public finance | Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 44,463 | 49,945 |
Structured finance | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 9,159 | 9,228 |
Structured finance | U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Number of Risks | risk | 371 | |
Total net par outstanding | $ 8,228 | 8,374 |
Percent of Total Net Par Outstanding | 3.50% | |
Structured finance | Non U.S. | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net par outstanding | $ 931 | $ 854 |
Outstanding Exposure - Puerto R
Outstanding Exposure - Puerto Rico Gross Par and Gross Debt Service Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Insured Financial Obligations [Line Items] | ||
Insured Financial Obligations Outstanding Principal Amount, Gross | $ 233,438 | $ 236,765 |
Gross | 370,172 | 367,770 |
Puerto Rico | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Insured Financial Obligations Outstanding Principal Amount, Gross | 1,378 | 3,629 |
Gross | $ 1,899 | $ 5,322 |
Outstanding Exposure - Puerto_2
Outstanding Exposure - Puerto Rico Net Par Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 233,258 | $ 236,392 |
Puerto Rico | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 1,361 | 3,572 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 509 | 2,643 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRHTA (Transportation revenue) | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 298 | 799 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRHTA (Highway revenue) | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 182 | 457 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | Commonwealth of Puerto Rico - GO | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 25 | 1,097 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PBA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 4 | 122 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRCCDA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 0 | 152 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PRIFA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 0 | 16 |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | PREPA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 720 | 748 |
Puerto Rico | Other Puerto Rico Exposures | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 852 | 929 |
Puerto Rico | Other Puerto Rico Exposures | MFA | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | 131 | 179 |
Puerto Rico | Other Puerto Rico Exposures | PRAASA and U of PR | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding | $ 1 | $ 2 |
Outstanding Exposure - Amortiza
Outstanding Exposure - Amortization Schedule of Puerto Rico BIG Net Par Outstanding and BIG Net Debt Service Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Scheduled Net Par Amortization | ||
Total net par outstanding | $ 233,258 | $ 236,392 |
Scheduled Net Debt Service Amortization | ||
Total | 369,951 | 367,360 |
Puerto Rico | ||
Scheduled Net Par Amortization | ||
2023 (January 1 - March 31) | 0 | |
2023 (April 1 - June 30) | 0 | |
2023 (July 1 - September 30) | 125 | |
2023 (October 1 - December 31) | 0 | |
Subtotal 2023 | 125 | |
2024 | 112 | |
2025 | 96 | |
2026 | 152 | |
2027 | 124 | |
2028-2032 | 378 | |
2033-2037 | 241 | |
2038-2042 | 133 | |
Total net par outstanding | 1,361 | $ 3,572 |
Scheduled Net Debt Service Amortization | ||
2023 (January 1 - March 31) | 30 | |
2023 (April 1 - June 30) | 3 | |
2023 (July 1 - September 30) | 156 | |
2023 (October 1 - December 31) | 3 | |
Subtotal 2023 | 192 | |
2024 | 173 | |
2025 | 150 | |
2026 | 202 | |
2027 | 169 | |
2028-2032 | 529 | |
2033-2037 | 312 | |
2038-2042 | 151 | |
Total | $ 1,878 |
Outstanding Exposure - Schedule
Outstanding Exposure - Schedule of Non-Financial Guaranty Exposure (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | $ 1,700 | |
Life insurance transactions | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | 1,314 | $ 1,250 |
Net Exposure | 986 | 871 |
Aircraft residual value insurance policies | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | 355 | 355 |
Net Exposure | 200 | 200 |
Other guaranties | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | 228 | 0 |
Net Exposure | 228 | $ 0 |
Maximum | Life insurance transactions | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Exposure | $ 1,100 |
Expected Loss to be Paid (Rec_3
Expected Loss to be Paid (Recovered) - Narrative (Details) $ in Millions | 3 Months Ended | 12 Months Ended | ||||
Jun. 30, 2022 | Sep. 30, 2022 | Dec. 31, 2022 USD ($) Payment Curve scenario | Dec. 31, 2021 USD ($) scenario | Dec. 31, 2020 USD ($) | Dec. 31, 2019 USD ($) | |
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Period of insured credit performance of guaranteed obligations (in some cases over) | 30 years | |||||
Net Par Outstanding | $ 233,258 | $ 236,392 | ||||
Net Expected Loss to be Paid (Recovered) | 522 | 411 | $ 529 | $ 737 | ||
Economic benefit for public finance transactions | $ 125 | $ 287 | (145) | |||
Projected loss assumptions, number of scenarios considered | scenario | 5 | 5 | ||||
Recovery period | 5 years | |||||
Additional increase in recovery projection, percent | 40% | |||||
Additional increase in recovery projection, economic benefit | $ 37 | |||||
Additional decrease in recovery projection, percent | 20% | |||||
Additional decrease in recovery projection, economic loss | $ 37 | |||||
Public finance | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 224,099 | $ 227,164 | ||||
Net Expected Loss to be Paid (Recovered) | 412 | 209 | 341 | 554 | ||
Economic benefit for public finance transactions | (17) | 204 | (203) | |||
Other structured finance | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 7,203 | 6,837 | ||||
Net Expected Loss to be Paid (Recovered) | 44 | 52 | 40 | 37 | ||
Economic benefit for public finance transactions | (1) | (17) | (13) | |||
BIG | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 5,892 | 7,356 | ||||
BIG | Public finance | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 4,777 | 5,972 | ||||
BIG | Other structured finance | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 105 | 119 | ||||
BIG | Student Loan | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 47 | |||||
BIG | Life insurance transactions | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 40 | |||||
U.S. | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 187,864 | |||||
U.S. | Public finance | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 179,636 | 177,219 | ||||
Net Expected Loss to be Paid (Recovered) | 403 | 197 | 305 | 531 | ||
Economic benefit for public finance transactions | (19) | 182 | (190) | |||
U.S. | RMBS | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 1,956 | 2,391 | ||||
Net Expected Loss to be Paid (Recovered) | 66 | 150 | 148 | 146 | ||
Economic benefit for public finance transactions | $ 143 | 100 | 71 | |||
Maximum number of payments behind to be considered performing borrower | Payment | 2 | |||||
Period of maximum missed payments to be classified as performing borrower | 2 years | |||||
U.S. | RMBS | Second Lien | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Period to reach intermediate conditional default rate | 12 months | |||||
U.S. | RMBS | First Lien | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Economic benefit for public finance transactions | $ (36) | 0 | 45 | |||
Number of delinquent payments | Payment | 2 | |||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | |||||
Final conditional prepayment rates, term | 12 months | |||||
Deferred loan balances to be recovered, percent | 20% | |||||
Intermediate conditional default rate (as a percent) | 5% | |||||
U.S. | RMBS | First Lien | Base Scenario | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | |||||
Period to reach intermediate conditional default rate | 12 months | |||||
Final conditional default rate as a percentage of plateau conditional default rate | 5% | |||||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 1 year | |||||
Period for which estimated defaults are attributed to loans currently delinquent or in foreclosure | 36 months | |||||
Projected loss assumptions, loss severity, subsequent period | 18 months | |||||
Estimated loss severity rate, one through six months (as a percent) | 18 months | |||||
Loss severity (as a percent) | 40% | |||||
Projected loss assumptions, period to reach final loss severity rate | 2 years 6 months | |||||
U.S. | RMBS | First Lien | More Stressful Environment | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Period to reach intermediate conditional default rate | 16 months | |||||
Projected loss assumptions, period to reach final loss severity rate | 9 years | |||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 13 | |||||
U.S. | RMBS | First Lien | Least Stressful Environment | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Projected loss assumptions, CDR, plateau rate, projection period | 30 months | |||||
Period to reach intermediate conditional default rate | 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 | |||||
U.S. | RMBS | Second Lien | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Economic benefit for public finance transactions | $ 107 | $ 100 | 26 | |||
Liquidation rate | 30% | |||||
Period to reach intermediate conditional default rate | 28 months | |||||
Period of consistent CDR | 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% | |||||
Conditional prepayment rate, final rate | 15% | |||||
Loss recovery assumption | 2% | 2% | ||||
Number of conditional default rate curves modeled in estimating losses | Curve | 5 | |||||
U.S. | RMBS | Second Lien | Base Scenario | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Period to reach intermediate conditional default rate | 28 months | |||||
Current conditional prepayment rate used in alternate scenario for loss estimate (as a percent) | 15% | |||||
Stress period (in months) | 34 months | |||||
Period of constant conditional default rate (in months) | 6 months | |||||
U.S. | RMBS | Second Lien | More Stressful Environment | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Projected loss assumptions, CDR, plateau rate, projection period | 42 months | |||||
Period to reach intermediate conditional default rate | 16 months | |||||
Stress period (in months) | 58 months | |||||
Increase in conditional default rate ramp down period | 4 months | |||||
U.S. | RMBS | Second Lien | More Stressful Environment | 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 | |||||
U.S. | RMBS | Second Lien | Least Stressful Environment | ||||||
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 | |||||
Ultimate prepayment rate | 10% | |||||
U.S. | RMBS | Second Lien | Least Stressful Environment | 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 | |||||
U.S. | RMBS | Second Lien | Base Scenario One | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | |||||
Stress period (in months) | 48 months | |||||
U.S. | Home Equity Line of Credit | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Initial period for which borrower can pay only interest payments | 10 years | |||||
Modified loans reset to fully amortize, percent | 80% | |||||
U.S. | 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 | |||||
U.S. | BIG | Public finance | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | $ 3,796 | $ 5,372 | ||||
U.S. | BIG | RMBS | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 1,010 | 1,265 | ||||
Non U.S. | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 45,394 | |||||
Non U.S. | Public finance | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | 44,463 | 49,945 | ||||
Net Expected Loss to be Paid (Recovered) | 9 | 12 | 36 | $ 23 | ||
Economic benefit for public finance transactions | 2 | 22 | $ (13) | |||
Non U.S. | BIG | Public finance | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net Par Outstanding | $ 981 | $ 600 |
Expected Loss to be Paid (Rec_4
Expected Loss to be Paid (Recovered) - Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) by Accounting Model (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | $ 522 | $ 411 | $ 529 | $ 737 |
Net Economic Loss Development (Benefit) | (125) | (287) | 145 | |
Insurance Contracts | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | 205 | 364 | ||
Net Economic Loss Development (Benefit) | (112) | (281) | 142 | |
Financial Guarantee Variable Interest Entities | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | 314 | 42 | ||
Net Economic Loss Development (Benefit) | (17) | (20) | 1 | |
Financial Guarantee Accounted for as Credit Derivatives | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | 3 | 5 | ||
Net Economic Loss Development (Benefit) | $ 4 | $ 14 | $ 2 |
Expected Loss to be Paid (Rec_5
Expected Loss to be Paid (Recovered) - Net Expected Loss to be Paid (Recovered) Roll Forward (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
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 | $ 411 | $ 529 | $ 737 |
Accretion of discount | 16 | 7 | 9 |
Changes in discount rates | (115) | (33) | 13 |
Changes in timing and assumptions | (26) | (261) | 123 |
Total economic loss development (benefit) | (125) | (287) | 145 |
Net (paid) recovered losses | 236 | 169 | (353) |
Net expected loss to be paid (recovered), end of period | $ 522 | $ 411 | $ 529 |
Weighted average risk free discount rate | 4.08% | 1.02% | |
U.S. | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Percent of total non-U.S. net expected losses to paid | 98.50% | 97.20% | |
Minimum | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Risk free discount rate | 3.82% | 0% | |
Maximum | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Risk free discount rate | 4.69% | 1.98% |
Expected Loss to be Paid (Rec_6
Expected Loss to be Paid (Recovered) - Net Expected Loss to be Paid (Recovered) Roll Forward by Sector (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
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 | $ 411 | $ 529 | $ 737 |
Economic Loss Development (Benefit) | (125) | (287) | 145 |
Net (paid) recovered losses | 236 | 169 | (353) |
Net expected loss to be paid (recovered), end of period | $ 522 | 411 | 529 |
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 | $ 33 | 36 | 25 |
Expected LAE to be paid | 11 | 26 | |
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 | 209 | 341 | 554 |
Economic Loss Development (Benefit) | 17 | (204) | 203 |
Net (paid) recovered losses | 186 | 72 | (416) |
Net expected loss to be paid (recovered), end of period | 412 | 209 | 341 |
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 | 52 | 40 | 37 |
Economic Loss Development (Benefit) | 1 | 17 | 13 |
Net (paid) recovered losses | (9) | (5) | (10) |
Net expected loss to be paid (recovered), end of period | 44 | 52 | 40 |
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 | 202 | 188 | 183 |
Economic Loss Development (Benefit) | (142) | (83) | (58) |
Net (paid) recovered losses | 50 | 97 | 63 |
Net expected loss to be paid (recovered), end of period | 110 | 202 | 188 |
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 | 197 | 305 | 531 |
Economic Loss Development (Benefit) | 19 | (182) | 190 |
Net (paid) recovered losses | 187 | 74 | (416) |
Net expected loss to be paid (recovered), end of period | 403 | 197 | 305 |
U.S. | RMBS | |||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||
Net expected loss to be paid (recovered), beginning of period | 150 | 148 | 146 |
Economic Loss Development (Benefit) | (143) | (100) | (71) |
Net (paid) recovered losses | 59 | 102 | 73 |
Net expected loss to be paid (recovered), end of period | 66 | 150 | 148 |
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 | 12 | 36 | 23 |
Economic Loss Development (Benefit) | (2) | (22) | 13 |
Net (paid) recovered losses | (1) | (2) | 0 |
Net expected loss to be paid (recovered), end of period | $ 9 | $ 12 | $ 36 |
Expected Loss to be Paid (Rec_7
Expected Loss to be Paid (Recovered) - Net Economic Loss Development (Benefit) U.S. RMBS (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Schedule of Expected Losses to be Paid [Line Items] | |||
Economic Loss Development (Benefit) | $ (125) | $ (287) | $ 145 |
U.S. | RMBS | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Economic Loss Development (Benefit) | (143) | (100) | (71) |
First Lien | U.S. | RMBS | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Economic Loss Development (Benefit) | 36 | 0 | (45) |
Second Lien | U.S. | RMBS | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Economic Loss Development (Benefit) | $ (107) | $ (100) | $ (26) |
Expected Loss to be Paid (Rec_8
Expected Loss to be Paid (Recovered) - First Lien Liquidation Rates (Details) | Dec. 31, 2022 | Dec. 31, 2021 |
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_9
Expected Loss to be Paid (Recovered) - Key Assumptions in Base Case Expected Loss First Lien RMBS (Details) - U.S. - RMBS | Dec. 31, 2022 | Dec. 31, 2021 |
Alt-A | 2005 and prior | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
Alt-A | 2006 | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
Alt-A | 2007+ | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
Alt-A | Minimum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 1.60% | 0.90% |
Final CDR | 0.10% | 0% |
Alt-A | Maximum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 11.50% | 11.60% |
Final CDR | 0.60% | 0.60% |
Alt-A | Weighted Average | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 5.10% | 5.90% |
Final CDR | 0.30% | 0.30% |
Option ARM | 2005 and prior | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
Option ARM | 2006 | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
Option ARM | 2007+ | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
Option ARM | Minimum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 2% | 1.80% |
Final CDR | 0.10% | 0.10% |
Option ARM | Maximum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 7.70% | 11.90% |
Final CDR | 0.40% | 0.60% |
Option ARM | Weighted Average | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 4.30% | 5.60% |
Final CDR | 0.20% | 0.30% |
Subprime | 2005 and prior | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
Subprime | 2006 | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
Subprime | 2007+ | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Initial loss severity | 50% | 60% |
Subprime | Minimum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 2.70% | 2.90% |
Final CDR | 0.10% | 0.10% |
Subprime | Maximum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 9.70% | 10% |
Final CDR | 0.50% | 0.50% |
Subprime | Weighted Average | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 5.60% | 6% |
Final CDR | 0.30% | 0.30% |
Expected Loss to be Paid (Re_10
Expected Loss to be Paid (Recovered) - Key Assumptions in Base Case Expected Loss (Details) - RMBS - U.S. - Home equity lines of credit (HELOCs) | Dec. 31, 2022 | Dec. 31, 2021 |
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% |
Minimum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 0.40% | 6.50% |
Final CDR trended down to | 0% | |
Maximum | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 8.40% | 39.60% |
Final CDR trended down to | 0.40% | |
Weighted Average | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Plateau CDR | 3.50% | 16.40% |
Final CDR trended down to | 0.20% | |
Current but recently delinquent | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 20% | 20% |
30 – 59 Days Delinquent: | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 30% | 30% |
60 – 89 Days Delinquent: | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 40% | 40% |
90+ Days Delinquent: | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 60% | 60% |
Bankruptcy: | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Liquidation rate | 55% | 55% |
Foreclosure: | ||
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% |
Contracts Accounted for as In_3
Contracts Accounted for as Insurance - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Guarantor Obligations [Line Items] | |||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 4.15% | 1.02% | |
Net Par Outstanding | $ 233,258 | $ 236,392 | |
Gross | 370,172 | 367,770 | |
Increase (decrease) in net par due to commutations | $ 336 | ||
Commutation gains (losses) | 2 | 0 | 38 |
Gross Exposure | 1,700 | ||
Puerto Rico | |||
Guarantor Obligations [Line Items] | |||
Net Par Outstanding | 1,361 | 3,572 | |
Gross | 1,899 | 5,322 | |
Net par exposures reassumed | $ 118 | ||
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | |||
Guarantor Obligations [Line Items] | |||
Net Par Outstanding | 509 | $ 2,643 | |
Puerto Rico | Puerto Rico Exposures Subject to a Plan Support Agreement | HTA/CCDA PSA | |||
Guarantor Obligations [Line Items] | |||
Outstanding principal amount of amended plan election, net | 451 | ||
Assumed Business | |||
Guarantor Obligations [Line Items] | |||
Insured financial obligations insured contractual payments outstanding, amount represented | $ 14,000 | ||
Insured financial obligations insured contractual payments outstanding, percentage represented | 3.80% | ||
AGC | |||
Guarantor Obligations [Line Items] | |||
Amounts could be required to pay if third party exercised right to recapture business | $ 234 | ||
AG Re | |||
Guarantor Obligations [Line Items] | |||
Amounts could be required to pay if third party exercised right to recapture business | 34 | ||
Ceded Business | |||
Guarantor Obligations [Line Items] | |||
Insured financial obligations insured contractual payments outstanding, amount represented | $ 221 | ||
Insured financial obligations insured contractual payments outstanding, percentage represented | 0.10% | ||
Gross Insured Specialty and Reinsurance Business | |||
Guarantor Obligations [Line Items] | |||
Insured financial obligations insured contractual payments outstanding, amount represented | $ 483 | ||
ARGO | Uncollateralized | |||
Guarantor Obligations [Line Items] | |||
Guaranty liabilities | $ 12 | ||
Minimum | |||
Guarantor Obligations [Line Items] | |||
Risk free discount rate | 3.82% | 0% | |
Maximum | |||
Guarantor Obligations [Line Items] | |||
Risk free discount rate | 4.69% | 1.98% | |
Premiums Receivable | Foreign Currency Concentration Risk | Premiums Receivable | |||
Guarantor Obligations [Line Items] | |||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 74% | 78% |
Contracts Accounted for as In_4
Contracts Accounted for as Insurance - Net Earned Premiums (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Financial Guarantee Insurance Contracts, Premium Received over Contract Period [Line Items] | |||
Scheduled net earned premiums | $ 287 | $ 322 | $ 334 |
Accelerations from refundings and terminations | 179 | 59 | 129 |
Accretion of discount on net premiums receivable | 24 | 30 | 20 |
Financial guaranty insurance net earned premiums | 490 | 411 | 483 |
Specialty net earned premiums | 4 | 3 | 2 |
Net earned premiums | 494 | $ 414 | $ 485 |
Financial Guarantee Insurance And Other Product Line | |||
Financial Guarantee Insurance Contracts, Premium Received over Contract Period [Line Items] | |||
Accelerations from refundings and terminations | $ 133 |
Contracts Accounted for as In_5
Contracts Accounted for as Insurance - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | ||||
Beginning of year | $ 1,372 | $ 1,372 | $ 1,286 | |
Financial guaranty insurance premiums receivable | 1,297 | 1,371 | 1,371 | $ 1,284 |
Gross written premiums on new business, net of commissions | 356 | 369 | 462 | |
Gross premiums received, net of commissions | (345) | (383) | (426) | |
Adjustments: | ||||
Changes in the expected term and debt service assumptions | 2 | 6 | (10) | |
Accretion of discount, net of commissions on assumed business | 24 | 26 | 18 | |
Foreign exchange gain (loss) on remeasurement | (111) | (22) | 43 | |
Expected recovery of premiums previously written off | 0 | 4 | 0 | |
Specialty insurance premium receivable | 1 | 1 | 1 | $ 2 |
End of period | $ 1,298 | $ 1,372 | $ 1,372 |
Contracts Accounted for as In_6
Contracts Accounted for as Insurance - Expected Future Premium Collections and Earnings (Details) $ in Millions | Dec. 31, 2022 USD ($) |
Financial Guarantee Insurance Product Line | |
Future Net Premiums to be Earned [Abstract] | |
2023 (January 1 - March 31) | $ 69 |
2023 (April 1 - June 30) | 69 |
2023 (July 1 - September 30) | 69 |
2023 (October 1 - December 31) | 68 |
Subtotal 2023 | 275 |
2024 | 260 |
2025 | 244 |
2026 | 229 |
2027 | 214 |
2028-2032 | 898 |
2033-2037 | 608 |
2038-2042 | 370 |
After 2042 | 521 |
Total | 3,619 |
Future accretion | 293 |
Total future net earned premiums | 3,912 |
Consolidated Entity Excluding Variable Interest Entities (VIE) | |
Future Premiums to be Collected [Abstract] | |
2023 (January 1 - March 31) | 43 |
2023 (April 1 - June 30) | 32 |
2023 (July 1 - September 30) | 25 |
2023 (October 1 - December 31) | 29 |
Subtotal 2023 | 129 |
2024 | 92 |
2025 | 90 |
2026 | 87 |
2027 | 82 |
2028-2032 | 348 |
2033-2037 | 241 |
2038-2042 | 167 |
After 2042 | 352 |
Total | $ 1,588 |
Contracts Accounted for as In_7
Contracts Accounted for as Insurance - Selected Information for Policies Paid In Installments (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commissions payable | $ 1,298 | $ 1,372 | $ 1,372 | $ 1,286 |
Financial Guarantee Policies Paid in Installments | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commissions payable | 1,297 | 1,371 | ||
Deferred premium revenue | $ 1,663 | $ 1,663 | ||
Weighted-average risk-free rate used to discount premiums | 1.80% | 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 - Deferred Acquisition Costs (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Movement Analysis of Deferred Policy Acquisition Costs [Roll Forward] | |||
Beginning of period | $ 131 | $ 119 | $ 111 |
Costs deferred during the period | 30 | 26 | 24 |
Costs amortized during the period | (14) | (14) | (16) |
End of period | $ 147 | $ 131 | $ 119 |
Contracts Accounted for as In_9
Contracts Accounted for as Insurance - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | $ 37 | $ 79 |
Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | 72 | 61 |
Other structured finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | 42 | 42 |
Structured finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | (35) | 18 |
U.S. | Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | 71 | 60 |
U.S. | RMBS | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | (77) | (24) |
Non U.S. | Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net reserve (salvage) | $ 1 | $ 1 |
Contracts Accounted for as I_10
Contracts Accounted for as Insurance - Components of Net Reserves (Salvage) Insurance Contracts (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Insurance [Abstract] | ||
Loss and LAE reserve | $ 296 | $ 869 |
Reinsurance recoverable on unpaid losses | (3) | (5) |
Loss and LAE reserve, net | 293 | 864 |
Salvage and subrogation recoverable | (257) | (801) |
Salvage and subrogation reinsurance payable | 1 | 16 |
Salvage and subrogation recoverable, net | (256) | (785) |
Net reserve (salvage) | $ 37 | $ 79 |
Contracts Accounted for as I_11
Contracts Accounted for as Insurance - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Guarantor Obligations [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | $ 522 | $ 411 | $ 529 | $ 737 |
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (293) | $ (864) | ||
Net expected loss to be expensed (present value) | 191 | |||
Financial Guarantee Insurance And Other Product Line | ||||
Guarantor Obligations [Line Items] | ||||
Net Expected Loss to be Paid (Recovered) | 201 | |||
Contra-paid, net | 23 | |||
Salvage and subrogation recoverable, net | 256 | |||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (289) | |||
Net expected loss to be expensed (present value) | $ 191 |
Contracts Accounted for as I_12
Contracts Accounted for as Insurance - Net Expected Loss to be Expensed Insurance Contracts (Details) $ in Millions | Dec. 31, 2022 USD ($) |
Insurance [Abstract] | |
2023 (January 1 - March 31) | $ 2 |
2023 (April 1 - June 30) | 2 |
2023 (July 1 - September 30) | 3 |
2023 (October 1 - December 31) | 3 |
Subtotal 2023 | 10 |
2024 | 12 |
2025 | 13 |
2026 | 17 |
2027 | 15 |
2028-2032 | 61 |
2033-2037 | 43 |
2038-2042 | 8 |
After 2042 | 12 |
Net expected loss to be expensed | 191 |
Future accretion | 82 |
Total expected future loss and LAE | $ 273 |
Contracts Accounted for as I_13
Contracts Accounted for as Insurance - Loss and LAE Reported on the Statements of Operations (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | $ 16 | $ (220) | $ 203 |
Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | 125 | (155) | 230 |
Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | U.S. | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | 125 | (146) | 225 |
Public finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | Non U.S. | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | 0 | (9) | 5 |
RMBS | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | U.S. | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | (112) | (69) | (34) |
Other structured finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | 3 | 4 | 7 |
Structured finance | Financial Guarantee Insurance And Other Product Line | Consolidated Entity Excluding Variable Interest Entities (VIE) | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE (benefit) | $ (109) | $ (65) | $ (27) |
Contracts Accounted for as I_14
Contracts Accounted for as Insurance - BIG Transaction Loss Summary (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 USD ($) risk | Dec. 31, 2021 USD ($) risk | |
Discount | ||
Net | $ (82) | |
Reserves (salvage) | ||
Net | $ 37 | $ 79 |
BIG | ||
Number of risks | ||
Total (in contracts) | risk | 247 | 262 |
Remaining weighted average contract period | ||
Gross (in years) | 9 years 9 months 18 days | 8 years 6 months |
Par | ||
Net | $ 5,835 | $ 7,293 |
Interest | ||
Net | 3,144 | 2,962 |
Total net outstanding exposure | ||
Net | 8,979 | 10,255 |
Expected cash outflows (inflows) | ||
Net | 2,008 | 4,918 |
Potential recoveries | ||
Net | (1,725) | (4,430) |
Subtotal | ||
Net | 283 | 488 |
Discount | ||
Net | (82) | (129) |
Expected losses to be paid (recovered) | ||
Net expected loss to be paid | 201 | 359 |
Deferred premium revenue | ||
Net | 345 | 435 |
Reserves (salvage) | ||
Net | $ 33 | $ 74 |
BIG | BIG 1 | ||
Number of risks | ||
Total (in contracts) | risk | 122 | 117 |
Par | ||
Net | $ 3,357 | $ 2,429 |
BIG | BIG 2 | ||
Number of risks | ||
Total (in contracts) | risk | 14 | 16 |
Par | ||
Net | $ 171 | $ 177 |
BIG | BIG 3 | ||
Number of risks | ||
Total (in contracts) | risk | 111 | 129 |
Par | ||
Net | $ 2,307 | $ 4,687 |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | ||
Number of risks | ||
Total (in contracts) | risk | 247 | 262 |
Remaining weighted average contract period | ||
Gross (in years) | 9 years 9 months 18 days | 8 years 6 months |
Par | ||
Gross | $ 5,852 | $ 7,359 |
Interest | ||
Gross | 3,148 | 2,978 |
Total net outstanding exposure | ||
Gross | 9,000 | 10,337 |
Expected cash outflows (inflows) | ||
Gross | 2,020 | 4,971 |
Potential recoveries | ||
Gross | (1,737) | (4,495) |
Subtotal | ||
Gross | 283 | 476 |
Discount | ||
Gross | (82) | (129) |
Expected losses to be paid (recovered) | ||
Gross | (201) | (347) |
Deferred premium revenue | ||
Gross | 345 | 437 |
Reserves (salvage) | ||
Gross | $ 33 | $ 60 |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | BIG 1 | ||
Number of risks | ||
Total (in contracts) | risk | 122 | 117 |
Remaining weighted average contract period | ||
Gross (in years) | 11 years 3 months 18 days | 7 years 7 months 6 days |
Par | ||
Gross | $ 3,363 | $ 2,437 |
Interest | ||
Gross | 2,177 | 1,000 |
Total net outstanding exposure | ||
Gross | 5,540 | 3,437 |
Expected cash outflows (inflows) | ||
Gross | 128 | 111 |
Potential recoveries | ||
Gross | (294) | (656) |
Subtotal | ||
Gross | (166) | (545) |
Discount | ||
Gross | 35 | 19 |
Expected losses to be paid (recovered) | ||
Gross | 131 | 526 |
Deferred premium revenue | ||
Gross | 170 | 85 |
Reserves (salvage) | ||
Gross | $ (174) | $ (549) |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | BIG 2 | ||
Number of risks | ||
Total (in contracts) | risk | 14 | 16 |
Remaining weighted average contract period | ||
Gross (in years) | 8 years 8 months 12 days | 8 years 10 months 24 days |
Par | ||
Gross | $ 171 | $ 177 |
Interest | ||
Gross | 77 | 36 |
Total net outstanding exposure | ||
Gross | 248 | 213 |
Expected cash outflows (inflows) | ||
Gross | 121 | 40 |
Potential recoveries | ||
Gross | (79) | (10) |
Subtotal | ||
Gross | 42 | 30 |
Discount | ||
Gross | (13) | (3) |
Expected losses to be paid (recovered) | ||
Gross | (29) | (27) |
Deferred premium revenue | ||
Gross | 15 | 2 |
Reserves (salvage) | ||
Gross | $ 21 | $ 25 |
BIG | Consolidated Entity Excluding Variable Interest Entities (VIE) | BIG 3 | ||
Number of risks | ||
Total (in contracts) | risk | 111 | 129 |
Remaining weighted average contract period | ||
Gross (in years) | 7 years 7 months 6 days | 8 years 10 months 24 days |
Par | ||
Gross | $ 2,318 | $ 4,745 |
Interest | ||
Gross | 894 | 1,942 |
Total net outstanding exposure | ||
Gross | 3,212 | 6,687 |
Expected cash outflows (inflows) | ||
Gross | 1,771 | 4,820 |
Potential recoveries | ||
Gross | (1,364) | (3,829) |
Subtotal | ||
Gross | 407 | 991 |
Discount | ||
Gross | (104) | (145) |
Expected losses to be paid (recovered) | ||
Gross | (303) | (846) |
Deferred premium revenue | ||
Gross | 160 | 350 |
Reserves (salvage) | ||
Gross | $ 186 | $ 584 |
Contracts Accounted for as I_15
Contracts Accounted for as Insurance - Effect of Reinsurance on Premiums Written, Premiums Earned and Loss and LAE (Benefit) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Premiums Written: | |||
Direct | $ 377 | $ 355 | $ 453 |
Assumed | (17) | 22 | 1 |
Ceded | 0 | 0 | 13 |
Net | 360 | 377 | 467 |
Premiums Earned: | |||
Direct | 469 | 385 | 448 |
Assumed | 28 | 32 | 41 |
Ceded | (3) | (3) | (4) |
Net earned premiums | 494 | 414 | 485 |
Loss and LAE (benefit): | |||
Direct | 32 | (203) | 182 |
Assumed | (17) | 5 | 24 |
Ceded | 1 | (22) | (3) |
Loss and LAE (benefit) | $ 16 | $ (220) | $ 203 |
Contracts Accounted for as Cr_3
Contracts Accounted for as Credit Derivatives - Narrative (Details) | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Estimated remaining weighted average life of credit derivatives (in years) | 12 years 9 months 18 days | 13 years 2 months 12 days |
Contracts Accounted for as Cr_4
Contracts Accounted for as Credit Derivatives - Credit Derivatives Net Par Outstanding by Sector (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | $ 3,203 | $ 4,040 |
Net Fair Value Asset (Liability) | (162) | (154) |
Expected Loss to be recovered | 3 | 5 |
Public finance | U.S. | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,175 | 1,705 |
Net Fair Value Asset (Liability) | (79) | (72) |
Public finance | Non U.S. | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,565 | 1,800 |
Net Fair Value Asset (Liability) | (58) | (48) |
Structured finance | U.S. | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 342 | 400 |
Net Fair Value Asset (Liability) | (22) | (32) |
Structured finance | Non U.S. | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 121 | 135 |
Net Fair Value Asset (Liability) | $ (3) | $ (2) |
Contracts Accounted for as Cr_5
Contracts Accounted for as Credit Derivatives - Distribution of Credit Derivative Net Par Outstanding by Internal Rating (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Credit Derivatives | ||
Net Par Outstanding | $ 3,203 | $ 4,040 |
BIG | ||
Credit Derivatives | ||
Net Par Outstanding | 57 | 63 |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | ||
Credit Derivatives | ||
Net Par Outstanding | $ 3,203 | $ 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 | $ 1,260 | $ 1,503 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 39.30% | 37.20% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | AA | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,064 | $ 1,283 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 33.20% | 31.80% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | A | ||
Credit Derivatives | ||
Net Par Outstanding | $ 232 | $ 514 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 7.20% | 12.70% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | BBB | ||
Credit Derivatives | ||
Net Par Outstanding | $ 590 | $ 677 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 18.50% | 16.70% |
Credit Concentration Risk | Derivative, Aggregate Notional Amount | BIG | ||
Credit Derivatives | ||
Net Par Outstanding | $ 57 | $ 63 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 1.80% | 1.60% |
Contracts Accounted for as Cr_6
Contracts Accounted for as Credit Derivatives - Net Change in Fair Value of Credit Derivatives Gains (Losses) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||
Realized gains (losses) and other settlements | $ (2) | $ (3) | $ (4) |
Net unrealized gains (losses) | (9) | (55) | 85 |
Fair value gains (losses) on credit derivatives | $ (11) | $ (58) | $ 81 |
Contracts Accounted for as Cr_7
Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Credit Derivatives | |||
Fair value of credit derivatives before effect of AGC credit spread | $ (207) | $ (225) | |
Plus: Effect of AGC credit spread | 45 | 71 | |
Net fair value of credit derivatives | $ (162) | $ (154) | |
Five-year CDS spread | AGC | |||
Credit Derivatives | |||
Quoted price of CDS contract (as a percent) | 6,300% | 4,900% | 13,200% |
One-year CDS spread | AGC | |||
Credit Derivatives | |||
Quoted price of CDS contract (as a percent) | 2,600% | 1,600% | 3,600% |
Investments and Cash - Narrativ
Investments and Cash - Narrative (Details) | 12 Months Ended | ||
Dec. 31, 2022 USD ($) manager Security | Dec. 31, 2021 USD ($) Security | Dec. 31, 2020 USD ($) | |
Schedule of Cost-method Investments [Line Items] | |||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Fair value gains (losses) on trading securities | ||
Number of investment portfolio managers | manager | 3 | ||
Accrued investment income | $ 71,000,000 | $ 69,000,000 | |
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | Security | 567 | 23 | |
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $ 329,000,000 | $ 6,000,000 | |
Assets held-in-trust | 222,000,000 | 243,000,000 | |
Non-income producing investments | 0 | 0 | |
Credit loss expense | 21,000,000 | 7,000,000 | $ 17,000,000 |
Purchased with credit deterioration, amount at purchase price | 22,000,000 | ||
Securities purchased with credit deterioration, amount at par value | 31,000,000 | ||
Allowance for credit loss at acquisition date | 2,000,000 | ||
Discount attributable to other factors | 7,000,000 | ||
PCI Securities | |||
Schedule of Cost-method Investments [Line Items] | |||
Credit loss expense | 21,000,000 | 6,000,000 | 16,000,000 |
Assured Guaranty Subsidiaries | |||
Schedule of Cost-method Investments [Line Items] | |||
Assets held-in-trust | 1,169,000,000 | 1,231,000,000 | |
Future Equity Investments | |||
Schedule of Cost-method Investments [Line Items] | |||
Purchase commitment, remaining minimum amount committed | 78,000,000 | ||
AssuredIM Funds | Equity in Earnings (Losses) of Investees | Assured Guaranty Asset Strategies LLC | |||
Schedule of Cost-method Investments [Line Items] | |||
Fair value of investment | 569,000,000 | 543,000,000 | |
AssuredIM Funds | Equity in Earnings (Losses) of Investees | Assured Guaranty Subsidiaries | |||
Schedule of Cost-method Investments [Line Items] | |||
Long-term purchase commitment, amount | 755,000,000 | ||
AssuredIM Funds | Future Equity Investments | Assured Guaranty Subsidiaries | |||
Schedule of Cost-method Investments [Line Items] | |||
Authorized amount to invest | 750,000,000 | ||
Investments, including distributed gains, authorized amount to invest | 810,000,000 | ||
AssuredIM Funds | Invested Capital | Assured Guaranty Subsidiaries | |||
Schedule of Cost-method Investments [Line Items] | |||
Long-term purchase commitment, amount | 536,000,000 | ||
AssuredIM Funds | Unfunded Commitment | Assured Guaranty Subsidiaries | |||
Schedule of Cost-method Investments [Line Items] | |||
Long-term purchase commitment, amount | 219,000,000 | ||
Equity Securities | |||
Schedule of Cost-method Investments [Line Items] | |||
Cash dividends from subsidiaries | $ 10,000,000 | $ 15,000,000 | $ 10,000,000 |
Investments and Cash - Investme
Investments and Cash - Investment Portfolio Carrying Value (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities, available-for-sale: | $ 7,119 | $ 8,202 |
Fixed-maturity securities, trading, at fair value | 303 | 0 |
Short-term investments, at fair value | 810 | 1,225 |
Other invested assets | 133 | 181 |
Total investments | 8,365 | 9,608 |
Recovery Bonds | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities, available-for-sale: | 358 | 0 |
Externally managed | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities, available-for-sale: | 5,519 | 6,843 |
Loss Mitigation Securities and other | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities, available-for-sale: | 705 | 818 |
AssuredIM managed | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities, available-for-sale: | $ 537 | $ 541 |
BIG | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities rated as BIG | 7.40% | 7.50% |
Not Internally Rated | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities rated as BIG | 5.90% | 0.90% |
Equity method investments | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | $ 123 | $ 169 |
Other | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | $ 10 | $ 12 |
Investments and Cash - Fixed Ma
Investments and Cash - Fixed Maturity Securities (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Investments | ||||
Amortized Cost | $ 7,707 | $ 7,822 | ||
Allowance for Credit Losses | (65) | (42) | $ (78) | $ 0 |
Fixed-maturity securities, available-for-sale: | $ 7,119 | $ 8,202 | ||
Mortgage backed securities consisting of government-agency obligations, percent | 30% | 31% | ||
Fixed-maturity securities | ||||
Investments | ||||
Percent of Total | 100% | 100% | ||
Amortized Cost | $ 7,707 | $ 7,822 | ||
Allowance for Credit Losses | (65) | (42) | ||
Gross Unrealized Gains | 65 | 478 | ||
Gross Unrealized Losses | (588) | (56) | ||
Fixed-maturity securities, available-for-sale: | $ 7,119 | $ 8,202 | ||
Obligations of state and political subdivisions | Fixed-maturity securities | ||||
Investments | ||||
Percent of Total | 45% | 43% | ||
Amortized Cost | $ 3,509 | $ 3,386 | ||
Allowance for Credit Losses | (14) | (12) | ||
Gross Unrealized Gains | 37 | 290 | ||
Gross Unrealized Losses | (138) | (4) | ||
Fixed-maturity securities, available-for-sale: | $ 3,394 | $ 3,660 | ||
U.S. government and agencies | Fixed-maturity securities | ||||
Investments | ||||
Percent of Total | 2% | 2% | ||
Amortized Cost | $ 118 | $ 123 | ||
Allowance for Credit Losses | 0 | 0 | ||
Gross Unrealized Gains | 1 | 7 | ||
Gross Unrealized Losses | (8) | (2) | ||
Fixed-maturity securities, available-for-sale: | $ 111 | $ 128 | ||
Corporate securities | Fixed-maturity securities | ||||
Investments | ||||
Percent of Total | 31% | 32% | ||
Amortized Cost | $ 2,387 | $ 2,516 | ||
Allowance for Credit Losses | (6) | (1) | ||
Gross Unrealized Gains | 2 | 111 | ||
Gross Unrealized Losses | (299) | (21) | ||
Fixed-maturity securities, available-for-sale: | 2,084 | $ 2,605 | ||
RMBS | ||||
Investments | ||||
Amortized Cost | 418 | |||
Fixed-maturity securities, available-for-sale: | $ 340 | |||
RMBS | Fixed-maturity securities | ||||
Investments | ||||
Percent of Total | 5% | 6% | ||
Amortized Cost | $ 418 | $ 454 | ||
Allowance for Credit Losses | (19) | (17) | ||
Gross Unrealized Gains | 3 | 24 | ||
Gross Unrealized Losses | (62) | (24) | ||
Fixed-maturity securities, available-for-sale: | 340 | $ 437 | ||
CMBS | ||||
Investments | ||||
Amortized Cost | 282 | |||
Fixed-maturity securities, available-for-sale: | $ 271 | |||
CMBS | Fixed-maturity securities | ||||
Investments | ||||
Percent of Total | 4% | 4% | ||
Amortized Cost | $ 282 | $ 332 | ||
Allowance for Credit Losses | 0 | 0 | ||
Gross Unrealized Gains | 0 | 14 | ||
Gross Unrealized Losses | (11) | 0 | ||
Fixed-maturity securities, available-for-sale: | $ 271 | $ 346 | ||
CLOs | Fixed-maturity securities | ||||
Investments | ||||
Percent of Total | 6% | 6% | ||
Amortized Cost | $ 449 | $ 457 | ||
Allowance for Credit Losses | 0 | 0 | ||
Gross Unrealized Gains | 0 | 1 | ||
Gross Unrealized Losses | (21) | 0 | ||
Fixed-maturity securities, available-for-sale: | $ 428 | $ 458 | ||
Others | Fixed-maturity securities | ||||
Investments | ||||
Percent of Total | 5% | 5% | ||
Amortized Cost | $ 423 | $ 420 | ||
Allowance for Credit Losses | (26) | (12) | ||
Gross Unrealized Gains | 22 | 26 | ||
Gross Unrealized Losses | (26) | (2) | ||
Fixed-maturity securities, available-for-sale: | $ 393 | $ 432 | ||
Non-U.S. government securities | Fixed-maturity securities | ||||
Investments | ||||
Percent of Total | 2% | 2% | ||
Amortized Cost | $ 121 | $ 134 | ||
Allowance for Credit Losses | 0 | 0 | ||
Gross Unrealized Gains | 0 | 5 | ||
Gross Unrealized Losses | (23) | (3) | ||
Fixed-maturity securities, available-for-sale: | $ 98 | $ 136 |
Investments and Cash - Gross Un
Investments and Cash - Gross Unrealized Loss by Length of Time (Details) $ in Millions | Dec. 31, 2022 USD ($) Security | Dec. 31, 2021 USD ($) Security |
Less than 12 months | ||
Fair Value | $ 3,751 | $ 804 |
Gross Unrealized Loss | (213) | (17) |
12 months or more | ||
Fair Value | 1,017 | 120 |
Gross Unrealized Loss | (239) | (9) |
Total | ||
Fair Value | 4,768 | 924 |
Gross Unrealized Loss | $ (452) | $ (26) |
Number of securities | ||
Less than 12 months (in securities) | Security | 1,340 | 355 |
12 months or more (in securities) | Security | 466 | 60 |
Total (in securities) | Security | 1,776 | 410 |
Obligations of state and political subdivisions | ||
Less than 12 months | ||
Fair Value | $ 1,763 | $ 117 |
Gross Unrealized Loss | (79) | (3) |
12 months or more | ||
Fair Value | 163 | 10 |
Gross Unrealized Loss | (56) | (1) |
Total | ||
Fair Value | 1,926 | 127 |
Gross Unrealized Loss | (135) | (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 | (8) | (2) |
Total | ||
Fair Value | 84 | 58 |
Gross Unrealized Loss | (8) | (2) |
Corporate securities | ||
Less than 12 months | ||
Fair Value | 1,276 | 407 |
Gross Unrealized Loss | (95) | (12) |
12 months or more | ||
Fair Value | 519 | 70 |
Gross Unrealized Loss | (147) | (5) |
Total | ||
Fair Value | 1,795 | 477 |
Gross Unrealized Loss | (242) | (17) |
RMBS | ||
Less than 12 months | ||
Fair Value | 147 | 4 |
Gross Unrealized Loss | (9) | 0 |
12 months or more | ||
Fair Value | 3 | 0 |
Gross Unrealized Loss | (1) | 0 |
Total | ||
Fair Value | 150 | 4 |
Gross Unrealized Loss | (10) | 0 |
CMBS | ||
Less than 12 months | ||
Fair Value | 270 | |
Gross Unrealized Loss | (11) | |
12 months or more | ||
Fair Value | 0 | |
Gross Unrealized Loss | 0 | |
Total | ||
Fair Value | 270 | |
Gross Unrealized Loss | (11) | |
CLOs | ||
Less than 12 months | ||
Fair Value | 171 | 226 |
Gross Unrealized Loss | (7) | 0 |
12 months or more | ||
Fair Value | 250 | 0 |
Gross Unrealized Loss | (14) | 0 |
Total | ||
Fair Value | 421 | 226 |
Gross Unrealized Loss | (21) | 0 |
Others | ||
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 | 65 | 24 |
Gross Unrealized Loss | (10) | (2) |
12 months or more | ||
Fair Value | 30 | 8 |
Gross Unrealized Loss | (13) | (1) |
Total | ||
Fair Value | 95 | 32 |
Gross Unrealized Loss | $ (23) | $ (3) |
Investments and Cash - Distribu
Investments and Cash - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Amortized Cost | ||
Amortized Cost | $ 7,707 | $ 7,822 |
Estimated Fair Value | ||
Estimated fair value | 7,119 | 8,202 |
RMBS | ||
Amortized Cost | ||
Amortized Cost | 418 | |
Estimated Fair Value | ||
Estimated fair value | 340 | |
CMBS | ||
Amortized Cost | ||
Amortized Cost | 282 | |
Estimated Fair Value | ||
Estimated fair value | 271 | |
Fixed-maturity securities | ||
Amortized Cost | ||
Due within one year | 290 | |
Due after one year through five years | 1,713 | |
Due after five years through 10 years | 1,778 | |
Due after 10 years | 3,226 | |
Amortized Cost | 7,707 | 7,822 |
Estimated Fair Value | ||
Due within one year | 282 | |
Due after one year through five years | 1,585 | |
Due after five years through 10 years | 1,667 | |
Due after 10 years | 2,974 | |
Estimated fair value | 7,119 | 8,202 |
Fixed-maturity securities | RMBS | ||
Amortized Cost | ||
Amortized Cost | 418 | 454 |
Estimated Fair Value | ||
Estimated fair value | 340 | 437 |
Fixed-maturity securities | CMBS | ||
Amortized Cost | ||
Amortized Cost | 282 | 332 |
Estimated Fair Value | ||
Estimated fair value | $ 271 | $ 346 |
Investments and Cash - Net Inve
Investments and Cash - Net Investment Income (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Net Investment Income | |||
Gross investment income | $ 274 | $ 275 | $ 304 |
Investment expenses | (5) | (6) | (7) |
Net investment income | 269 | 269 | 297 |
Fair value gains (losses) on trading securities | (34) | 0 | 0 |
Equity in earnings (losses) of investees | (39) | 94 | 27 |
Fair value loss on trading securities still held | 29 | ||
Externally managed | |||
Net Investment Income | |||
Gross investment income | 189 | 204 | 231 |
Loss Mitigation Securities and other | |||
Net Investment Income | |||
Gross investment income | 63 | 55 | 65 |
AssuredIM Funds | |||
Net Investment Income | |||
Gross investment income | $ 22 | $ 16 | $ 8 |
Investments and Cash - Net Real
Investments and Cash - Net Realized Investment Gains (Losses) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |||
Gross realized gains on sales of available-for-sale securities | $ 3 | $ 20 | $ 27 |
Gross realized losses on sales available-for-sale securities | (45) | (5) | (5) |
Net foreign currency gains (losses) | (4) | 2 | 6 |
Change in credit impairment and intent to sell | (21) | (7) | (17) |
Other net realized gains (losses) | 11 | 5 | 7 |
Net realized investment gains (losses) | $ (56) | $ 15 | $ 18 |
Investments and Cash - Roll For
Investments and Cash - Roll Forward of Credit Losses in the Investment Portfolio (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Roll Forward of Credit Losses in the Investment Portfolio | ||||
Balance, beginning of period | $ 42 | $ 78 | $ 0 | |
Credit loss expense | 7 | 4 | 1 | |
Additions for purchases of securities accounted for as purchased financial assets with credit deterioration | 2 | 0 | 0 | |
Additions (reductions) for securities for which credit losses were previously recognized | 14 | 2 | 15 | |
Reductions for securities sold and other settlements | 0 | (42) | 0 | |
Balance, end of period | $ 65 | $ 42 | $ 78 | |
Cumulative Effect, Period of Adoption, Adjustment | ||||
Roll Forward of Credit Losses in the Investment Portfolio | ||||
Effect of adoption of accounting guidance on credit losses on January 1, 2020 | $ 62 |
Investments and Cash - Equity i
Investments and Cash - Equity in Net Earnings of Investees (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Net Investment Income [Line Items] | |||
Equity in earnings (losses) of investees | $ (39) | $ 94 | $ 27 |
Fair Value Measured at Net Asset Value | |||
Net Investment Income [Line Items] | |||
Equity in earnings (losses) of investees | 36 | 14 | |
Equity Securities | |||
Net Investment Income [Line Items] | |||
Equity in earnings (losses) of investees | (39) | 94 | 27 |
Cash dividends from subsidiaries | 10 | 15 | 10 |
Equity Securities | AssuredIM Funds | |||
Net Investment Income [Line Items] | |||
Equity in earnings (losses) of investees | 2 | 30 | 14 |
Equity Securities | Other | |||
Net Investment Income [Line Items] | |||
Equity in earnings (losses) of investees | $ (41) | $ 64 | $ 13 |
Investments and Cash - Summariz
Investments and Cash - Summarized Financial Information (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Equity Method Investments [Line Items] | ||||
Total assets | $ 16,843 | $ 18,208 | ||
Total liabilities | 11,551 | 11,708 | ||
Total equity | 5,292 | 6,478 | $ 6,684 | $ 6,645 |
Total revenues | 723 | 848 | 1,115 | |
Total expenses | 536 | 465 | 729 | |
Net income (loss) | 137 | 419 | 368 | |
Equity Method Investment | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Total assets | 697 | 1,543 | ||
Total liabilities | 76 | 412 | ||
Total equity | 621 | 1,131 | ||
Total revenues | (315) | 548 | 225 | |
Total expenses | 49 | 64 | 84 | |
Net income (loss) | $ (364) | $ 484 | $ 141 |
Financial Guaranty Variable I_3
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Number of Consolidated FG VIEs (Details) - Variable Interest Entity, Primary Beneficiary - Financial Guaranty Variable Interest Entities - Structured Finance and Other - Entity | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Schedule of Consolidated FG VIEs Rollforward [Roll Forward] | |||
Beginning of year | 25 | 25 | 27 |
Consolidated | 2 | 1 | 2 |
Deconsolidated | (2) | (1) | (2) |
Matured | 0 | 0 | (2) |
December 31 | 25 | 25 | 25 |
Financial Guaranty Variable I_4
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Contractual Maturity (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Estimated Fair Value | ||
Total | $ 7,119 | $ 8,202 |
Variable Interest Entity, Primary Beneficiary | Financial Guaranty Variable Interest Entities | Puerto Rico Trusts | ||
Amortized Cost | ||
Due within one year | 1 | |
Due after one year through five years | 6 | |
Due after five years through 10 years | 41 | |
Due after 10 years | 156 | |
Total | 204 | |
Estimated Fair Value | ||
Due within one year | 1 | |
Due after one year through five years | 5 | |
Due after five years through 10 years | 41 | |
Due after 10 years | 157 | |
Total | $ 204 |
Financial Guaranty Variable I_5
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Narrative (Details) | 12 Months Ended | |||||||||||||
Dec. 31, 2022 USD ($) fund entity | Dec. 31, 2021 USD ($) fund | Dec. 31, 2020 USD ($) Entity fund | Dec. 31, 2022 USD ($) | Dec. 31, 2022 Security | Dec. 31, 2022 Entity | Dec. 31, 2022 entity | Dec. 31, 2022 consolidatedInvestmentVehicle | Dec. 31, 2022 policy | Dec. 31, 2021 Security | Dec. 31, 2021 Entity | Dec. 31, 2021 consolidatedInvestmentVehicle | Dec. 31, 2021 policy | Dec. 31, 2019 Entity | |
Variable Interest Entity [Line Items] | ||||||||||||||
Fixed-maturity securities, available-for-sale: | $ 8,202,000,000 | $ 7,119,000,000 | ||||||||||||
Amortized Cost | 7,822,000,000 | 7,707,000,000 | ||||||||||||
Fixed-maturity securities, trading, at fair value | 0 | 303,000,000 | ||||||||||||
Less than 12 months (in securities) | Security | 1,340 | 355 | ||||||||||||
Fair Value | 804,000,000 | 3,751,000,000 | ||||||||||||
Total assets | 18,208,000,000 | 16,843,000,000 | ||||||||||||
Total liabilities | 11,708,000,000 | 11,551,000,000 | ||||||||||||
Consolidation | 89,000,000 | |||||||||||||
Fair value gains (losses) on credit derivatives | $ (11,000,000) | (58,000,000) | $ 81,000,000 | |||||||||||
VIE, Other consolidated, carrying amount, assets | 96,000,000 | 86,000,000 | ||||||||||||
VIE, Other consolidated, carrying amount, liabilities | 11,000,000 | 12,000,000 | ||||||||||||
VIE, Number of policies monitored | policy | 15,000 | |||||||||||||
VIE, Number of policies monitored, not within the scope of ASC 810 | policy | 14,000 | |||||||||||||
VIE, Number of policies that contain provisions for consolidation | policy | 85 | 69 | ||||||||||||
Maximum loss exposure | 1,000,000 | 1,000,000 | ||||||||||||
Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Net loss on consolidation | 0 | 0 | ||||||||||||
Net gain on deconsolidation | $ 0 | |||||||||||||
Joint Healthcare Fund | Variable Interest Entity, Primary Beneficiary | Line of Credit | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Maximum borrowing capacity | 110,000,000 | |||||||||||||
Outstanding amount | 58,000,000 | |||||||||||||
Consolidated Healthcare Fund | Variable Interest Entity, Primary Beneficiary | Line of Credit | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Maximum borrowing capacity | 71,000,000 | |||||||||||||
Prime Rate | Joint Healthcare Fund | Variable Interest Entity, Primary Beneficiary | 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% | |||||||||||||
Other | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Net gain on deconsolidation | 0 | |||||||||||||
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Change in the instrument specific credit risk of the VIEs' assets | $ 10,000,000 | 14,000,000 | $ 6,000,000 | |||||||||||
Total assets | 260,000,000 | 416,000,000 | ||||||||||||
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | Puerto Rico Trusts | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Total number of entities consolidated | entity | 45 | |||||||||||||
Number of entities consolidated during period | entity | 48 | |||||||||||||
Number of entities deconsolidated during period | entity | 3 | |||||||||||||
Fixed-maturity securities, available-for-sale: | 204,000,000 | |||||||||||||
Amortized Cost | 204,000,000 | |||||||||||||
Fixed-maturity securities, trading, at fair value | 5,000,000 | |||||||||||||
Trading security losses | $ 1,000,000 | |||||||||||||
Gross Unrealized Gains | 4,000,000 | |||||||||||||
Gross unrealized losses | 4,000,000 | |||||||||||||
Less than 12 months (in securities) | Security | 14 | |||||||||||||
Fair Value | 110,000,000 | |||||||||||||
Securities in excess of carrying value | Security | 8 | |||||||||||||
Value securities in excess of carrying value | 3,000,000 | |||||||||||||
Total assets | 0 | 212,000,000 | ||||||||||||
Variable Interest Entity, Number of Entities Per Legacy Insured Bond | entity | 1 | |||||||||||||
Financial Guaranty Variable Interest Entities | Variable Interest Entity, Primary Beneficiary | Structured Finance and Other | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Number of entities | Entity | 25 | 25 | 25 | 27 | ||||||||||
Puerto Rico Trusts | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Custody receipts, notice period | 30 days | |||||||||||||
Consolidated Investment Vehicles | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Total number of entities consolidated | 11 | 22 | 22 | 20 | 20 | |||||||||
Total assets | 5,271,000,000 | 5,493,000,000 | ||||||||||||
Fair value gains (losses) on credit derivatives | $ 3,000,000 | |||||||||||||
Number of entities | Entity | 11 | 20 | 4 | |||||||||||
Consolidated Investment Vehicles | Variable Interest Entity, Primary Beneficiary | Line of Credit | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Maximum borrowing capacity | 1,600,000,000 | |||||||||||||
Proceeds from issuance of warehouse financing debt | $ 284,000,000 | |||||||||||||
Remaining borrowing capacity | 377,000,000 | |||||||||||||
Consolidated Investment Vehicles | Assured IM | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Total assets | 273,000,000 | |||||||||||||
Total liabilities | $ 33,000,000 | |||||||||||||
Consolidated Investment Vehicles | CLO Warehouse | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Number of financial assets securitized | fund | 2 | 5 | 2 | |||||||||||
Consolidated Investment Vehicles | Investments | Fund Investments | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Net assets | 127,000,000 | |||||||||||||
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] | ||||||||||||||
Interest rate, added to base rate (as a percent) | 1.50% | |||||||||||||
Consolidated Investment Vehicles | EURIBOR | Variable Interest Entity, Primary Beneficiary | Line of Credit | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Interest rate, added to base rate (as a percent) | 2% | |||||||||||||
Consolidated Investment Vehicles | Foreign Exchange Forward | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Derivative, notional amount | 46,000,000 | |||||||||||||
Consolidated Investment Vehicles | Interest Rate Swap | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Derivative, notional amount | 49,000,000 | |||||||||||||
Consolidated Investment Vehicles | Maximum | Future Equity Investments | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Investment commitment | $ 424,000,000 | |||||||||||||
Consolidated Investment Vehicles | Arithmetic Average | Foreign Exchange Forward | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Derivative, notional amount | 47,000,000 | |||||||||||||
Consolidated Investment Vehicles | Arithmetic Average | Interest Rate Swap | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Derivative, notional amount | $ 34,000,000 | |||||||||||||
Consolidated Investment Vehicles | Assured IM | Variable Interest Entity, Primary Beneficiary | ||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||
Gain consolidation | $ 31,000,000 | |||||||||||||
Consolidation | $ 89,000,000 |
Financial Guaranty Variable I_6
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Consolidated FG VIE's By Type of Collateral (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Variable Interest Entity [Line Items] | |||
Total assets | $ 16,843 | $ 18,208 | |
Total liabilities | 11,551 | 11,708 | |
Cash | 107 | 120 | $ 162 |
Variable Interest Entity, Primary Beneficiary | Recourse | Financial Guaranty Variable Interest Entities | |||
Variable Interest Entity [Line Items] | |||
Total liabilities | 702 | 269 | |
Variable Interest Entity, Primary Beneficiary | Nonrecourse | Financial Guaranty Variable Interest Entities | |||
Variable Interest Entity [Line Items] | |||
Total liabilities | 13 | 20 | |
Variable Interest Entity, Primary Beneficiary | RMBS | U.S. | First Lien | Recourse | Financial Guaranty Variable Interest Entities | |||
Variable Interest Entity [Line Items] | |||
Total liabilities | 176 | 227 | |
Variable Interest Entity, Primary Beneficiary | RMBS | U.S. | First Lien | Nonrecourse | Financial Guaranty Variable Interest Entities | |||
Variable Interest Entity [Line Items] | |||
Total liabilities | 13 | 20 | |
Variable Interest Entity, Primary Beneficiary | RMBS | U.S. | Second Lien | Recourse | Financial Guaranty Variable Interest Entities | |||
Variable Interest Entity [Line Items] | |||
Total liabilities | 24 | 42 | |
Variable Interest Entity, Primary Beneficiary | Puerto Rico Trusts | Financial Guaranty Variable Interest Entities | |||
Variable Interest Entity [Line Items] | |||
Total liabilities | 495 | 0 | |
Variable Interest Entity, Primary Beneficiary | Other | Financial Guaranty Variable Interest Entities | |||
Variable Interest Entity [Line Items] | |||
Total liabilities | 7 | 0 | |
Variable Interest Entity, Primary Beneficiary | Financial Guaranty Variable Interest Entities | |||
Variable Interest Entity [Line Items] | |||
Total assets | 416 | 260 | |
Variable Interest Entity, Primary Beneficiary | Financial Guaranty Variable Interest Entities | RMBS | U.S. | First Lien | |||
Variable Interest Entity [Line Items] | |||
Total assets | 167 | 221 | |
Variable Interest Entity, Primary Beneficiary | Financial Guaranty Variable Interest Entities | RMBS | U.S. | Second Lien | |||
Variable Interest Entity [Line Items] | |||
Total assets | 30 | 39 | |
Variable Interest Entity, Primary Beneficiary | Financial Guaranty Variable Interest Entities | Puerto Rico Trusts | |||
Variable Interest Entity [Line Items] | |||
Total assets | 212 | 0 | |
Asset, fair value | 209 | ||
Cash | 2 | ||
Variable Interest Entity, Primary Beneficiary | Financial Guaranty Variable Interest Entities | Other | |||
Variable Interest Entity [Line Items] | |||
Total assets | $ 7 | $ 0 |
Financial Guaranty Variable I_7
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Unpaid Principal (Details) (Details) - Variable Interest Entity, Primary Beneficiary - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Financial Guaranty Variable Interest Entities | ||
Variable Interest Entity [Line Items] | ||
FG VIEs’ liabilities with recourse | $ 21 | $ 12 |
FG VIEs’ liabilities without recourse | 15 | 15 |
Unpaid principal for FG VIEs’ liabilities with recourse | 723 | 281 |
Financial Guaranty Variable Interest Entities | ||
Variable Interest Entity [Line Items] | ||
FG VIEs’ assets | 265 | 255 |
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due | $ 34 | $ 52 |
Financial Guaranty Variable I_8
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Number of Consolidated CIVs by Type (Details) (Details) - Consolidated Investment Vehicles | Dec. 31, 2022 consolidatedInvestmentFund | Dec. 31, 2022 consolidatedCLO | Dec. 31, 2022 cLOWarehouse | Dec. 31, 2022 consolidatedInvestmentVehicle | Dec. 31, 2022 Entity | Dec. 31, 2021 consolidatedInvestmentFund | Dec. 31, 2021 consolidatedCLO | Dec. 31, 2021 cLOWarehouse | Dec. 31, 2021 consolidatedInvestmentVehicle | Dec. 31, 2021 Entity | Dec. 31, 2020 Entity |
Variable Interest Entity, Primary Beneficiary | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Total number of entities consolidated | 22 | 22 | 20 | 20 | 11 | ||||||
Variable Interest Entity, Primary Beneficiary | Funds | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Total number of entities consolidated | consolidatedInvestmentFund | 8 | 8 | |||||||||
Variable Interest Entity, Primary Beneficiary | CLO contracts | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Total number of entities consolidated | consolidatedCLO | 10 | 9 | |||||||||
Variable Interest Entity, Primary Beneficiary | CLO warehouses | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Total number of entities consolidated | cLOWarehouse | 4 | 3 | |||||||||
Voting Interest Entity | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Total number of entities consolidated | consolidatedInvestmentVehicle | 2 | 1 |
Financial Guaranty Variable I_9
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Roll Forward of Number of Consolidated CIVs (Details) (Details) - Variable Interest Entity, Primary Beneficiary - Consolidated Investment Vehicles $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 USD ($) Entity | Dec. 31, 2021 Entity | Dec. 31, 2020 Entity | |
Schedule of Consolidated FG VIEs Rollforward [Roll Forward] | |||
Beginning of year | 20 | 11 | 4 |
Consolidated | 4 | 10 | 7 |
Deconsolidated | (2) | (1) | 0 |
December 31 | 20 | 11 | |
Deconsolidation, net assets | $ | $ 417 |
Financial Guaranty Variable _10
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Schedule of Assets and Liabilities of Consolidated Investment Vehicles (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Variable Interest Entity [Line Items] | ||
Total assets | $ 16,843 | $ 18,208 |
Total liabilities | 11,551 | 11,708 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 4,625 | 4,436 |
Variable Interest Entity, Primary Beneficiary | CLO obligations of CFEs | Consolidated Investment Vehicles | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 4,090 | 3,665 |
Variable Interest Entity, Primary Beneficiary | Warehouse financing debt | Consolidated Investment Vehicles | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 313 | 126 |
Variable Interest Entity, Primary Beneficiary | Securities sold short, at fair value | Consolidated Investment Vehicles | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 0 | 41 |
Variable Interest Entity, Primary Beneficiary | Due to brokers and counterparties | Consolidated Investment Vehicles | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 112 | 570 |
Variable Interest Entity, Primary Beneficiary | Other liabilities | Consolidated Investment Vehicles | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 110 | 34 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | ||
Variable Interest Entity [Line Items] | ||
Total assets | 5,493 | 5,271 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | Investments in AssuredIM Funds and Other Affiliated Entities | ||
Variable Interest Entity [Line Items] | ||
Total assets | $ 392 | $ 223 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | CLO obligations of CFEs | ||
Variable Interest Entity [Line Items] | ||
CLOs, weighted average maturity | 6 years 2 months 12 days | 6 years 7 months 6 days |
CLOs, weighted average interest rate | 5.30% | 1.80% |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | Warehouse financing debt | ||
Variable Interest Entity [Line Items] | ||
CLOs, weighted average maturity | 1 year 10 months 24 days | 1 year 9 months 18 days |
CLOs, weighted average interest rate | 4.50% | 1.10% |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | Fund Investments | Cash and cash equivalents | ||
Variable Interest Entity [Line Items] | ||
Total assets | $ 59 | $ 64 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | Fund Investments | Due from brokers and counterparties | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 49 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | Fund Investments | Other | ||
Variable Interest Entity [Line Items] | ||
Total assets | 1 | 1 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | Fund Investments | Equity securities and warrants | ||
Variable Interest Entity [Line Items] | ||
Total assets | 434 | 252 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | Fund Investments | Obligations of state and political subdivisions | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 101 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | Fund Investments | Structured products | ||
Variable Interest Entity [Line Items] | ||
Total assets | 128 | 62 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | Fund Investments | Corporate securities | ||
Variable Interest Entity [Line Items] | ||
Total assets | 96 | 98 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | CLOs | Cash and cash equivalents | ||
Variable Interest Entity [Line Items] | ||
Total assets | 38 | 156 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | CLOs | Due from brokers and counterparties | ||
Variable Interest Entity [Line Items] | ||
Total assets | 32 | 99 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | CLOs | Loans in CLOs, FVO | ||
Variable Interest Entity [Line Items] | ||
Total assets | 4,202 | 3,913 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | CLOs | Loans in CLO warehouses, FVO | ||
Variable Interest Entity [Line Items] | ||
Total assets | 368 | 331 |
Variable Interest Entity, Primary Beneficiary | Consolidated Investment Vehicles | CLOs | Short-term investments | ||
Variable Interest Entity [Line Items] | ||
Total assets | 135 | 145 |
Voting Interest Entity | Consolidated Investment Vehicles | ||
Variable Interest Entity [Line Items] | ||
Total liabilities | 1 | |
Voting Interest Entity | Consolidated Investment Vehicles | Investments | ||
Variable Interest Entity [Line Items] | ||
Total assets | $ 58 | $ 12 |
Financial Guaranty Variable _11
Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles - Schedule of Redeemable Noncontrolling Interest of Consolidated Investment Vehicle (Details) - Variable Interest Entity, Primary Beneficiary - Consolidated Investment Vehicles - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Redeemable Noncontrolling Interest, Equity, Other, Fair Value, Rollforward [Roll Forward] | |||
Beginning balance | $ 22 | $ 21 | $ 7 |
Net income (loss) attributable to the redeemable NCI | (1) | 1 | (1) |
Reallocation of ownership interests | 0 | 0 | (10) |
Reclassification to liabilities as mandatorily redeemable NCI | (21) | 0 | 0 |
Contributions | 21 | 0 | 25 |
Distributions | (21) | 0 | 0 |
Ending balance | $ 0 | $ 22 | $ 21 |
Fair Value Measurement - Narrat
Fair Value Measurement - Narrative (Details) - Security | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Assured IM | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Obligation to purchase debt | 0.05 | |
Recurring | Level 3 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Number of fixed maturity securities valued using model processes | 188 | |
Recurring | Minimum | Credit Default Swap | Level 3 | Discount rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 2.78% | 0.11% |
Recurring | Maximum | Credit Default Swap | Level 3 | Discount rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 5.08% | 1.78% |
Fair Value Measurement - Financ
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Assets: | ||
Fixed-maturity securities, available-for-sale: | $ 7,119 | $ 8,202 |
Fixed-maturity securities, trading, at fair value | 303 | 0 |
Short-term investments | 810 | 1,225 |
Other invested assets | 133 | 181 |
FG VIEs’ assets | 413 | 260 |
Other assets | 148 | 132 |
Liabilities: | ||
Credit derivative liabilities | 163 | 156 |
Liabilities of CIVs | 715 | 289 |
RMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 340 | |
CMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 271 | |
Fair Value Measured at Net Asset Value | ||
Assets: | ||
Other invested assets | 23 | 19 |
Recurring | ||
Assets: | ||
Short-term investments | 810 | |
Other invested assets | 7 | 12 |
Other assets | 148 | 132 |
Total assets carried at fair value | 14,031 | 14,727 |
Liabilities: | ||
Credit derivative liabilities | 163 | 156 |
Liabilities of CIVs | 289 | |
Other liabilities | 7 | 1 |
Total liabilities carried at fair value | 5,316 | 4,295 |
Recurring | Financial Guaranty Variable Interest Entities | ||
Liabilities: | ||
Liabilities of CIVs | 715 | |
Recurring | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 4,431 | 3,849 |
Recurring | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 5,231 | 4,896 |
Recurring | Financial Guaranty Variable Interest Entities | ||
Assets: | ||
FG VIEs’ assets | 413 | 260 |
Recurring | CLO obligations of CFEs | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 4,090 | 3,665 |
Recurring | Warehouse financing debt | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 313 | 126 |
Recurring | Securities sold short, at fair value | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 41 | |
Recurring | Borrowings | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 28 | 17 |
Recurring | Level 1 | ||
Assets: | ||
Short-term investments | 771 | |
Other invested assets | 2 | 6 |
Other assets | 54 | 53 |
Total assets carried at fair value | 962 | 1,429 |
Liabilities: | ||
Credit derivative liabilities | 0 | 0 |
Liabilities of CIVs | 0 | |
Other liabilities | 0 | 0 |
Total liabilities carried at fair value | 0 | 0 |
Recurring | Level 1 | Financial Guaranty Variable Interest Entities | ||
Liabilities: | ||
Liabilities of CIVs | 0 | |
Recurring | Level 1 | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 0 | 0 |
Recurring | Level 1 | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 135 | 145 |
Recurring | Level 1 | Financial Guaranty Variable Interest Entities | ||
Assets: | ||
FG VIEs’ assets | 0 | 0 |
Recurring | Level 1 | CLO obligations of CFEs | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 0 | 0 |
Recurring | Level 1 | Warehouse financing debt | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 0 | 0 |
Recurring | Level 1 | Securities sold short, at fair value | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 0 | |
Recurring | Level 1 | Borrowings | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 0 | 0 |
Recurring | Level 2 | ||
Assets: | ||
Short-term investments | 39 | |
Other invested assets | 0 | 0 |
Other assets | 46 | 54 |
Total assets carried at fair value | 11,353 | 11,526 |
Liabilities: | ||
Credit derivative liabilities | 0 | 0 |
Liabilities of CIVs | 0 | |
Other liabilities | 7 | 1 |
Total liabilities carried at fair value | 284 | 145 |
Recurring | Level 2 | Financial Guaranty Variable Interest Entities | ||
Liabilities: | ||
Liabilities of CIVs | 0 | |
Recurring | Level 2 | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 277 | 144 |
Recurring | Level 2 | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 4,657 | 4,421 |
Recurring | Level 2 | Financial Guaranty Variable Interest Entities | ||
Assets: | ||
FG VIEs’ assets | 209 | 0 |
Recurring | Level 2 | CLO obligations of CFEs | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 0 | 0 |
Recurring | Level 2 | Warehouse financing debt | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 277 | 103 |
Recurring | Level 2 | Securities sold short, at fair value | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 41 | |
Recurring | Level 2 | Borrowings | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 0 | 0 |
Recurring | Level 3 | ||
Assets: | ||
Short-term investments | 0 | |
Other invested assets | 5 | 6 |
Other assets | 48 | 25 |
Total assets carried at fair value | 1,716 | 1,772 |
Liabilities: | ||
Credit derivative liabilities | 163 | 156 |
Liabilities of CIVs | 289 | |
Other liabilities | 0 | 0 |
Total liabilities carried at fair value | 5,032 | 4,150 |
Recurring | Level 3 | Financial Guaranty Variable Interest Entities | ||
Liabilities: | ||
Liabilities of CIVs | 715 | |
Recurring | Level 3 | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 4,154 | 3,705 |
Recurring | Level 3 | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 439 | 330 |
Recurring | Level 3 | Financial Guaranty Variable Interest Entities | ||
Assets: | ||
FG VIEs’ assets | 204 | 260 |
Recurring | Level 3 | CLO obligations of CFEs | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 4,090 | 3,665 |
Recurring | Level 3 | Warehouse financing debt | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 36 | 23 |
Recurring | Level 3 | Securities sold short, at fair value | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 0 | |
Recurring | Level 3 | Borrowings | Consolidated Investment Vehicles | ||
Liabilities: | ||
Liabilities of CIVs | 28 | 17 |
Fixed-maturity securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 7,119 | 8,202 |
Fixed-maturity securities | Obligations of state and political subdivisions | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 3,394 | 3,660 |
Fixed-maturity securities | U.S. government and agencies | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 111 | 128 |
Fixed-maturity securities | Corporate securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 2,084 | 2,605 |
Fixed-maturity securities | RMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 340 | 437 |
Fixed-maturity securities | CMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 271 | 346 |
Fixed-maturity securities | Non-U.S. government securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 98 | 136 |
Fixed-maturity securities | Recurring | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 7,119 | 8,202 |
Fixed-maturity securities, trading, at fair value | 303 | |
Fixed-maturity securities | Recurring | Obligations of state and political subdivisions | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 3,394 | 3,660 |
Fixed-maturity securities | Recurring | U.S. government and agencies | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 111 | 128 |
Fixed-maturity securities | Recurring | Corporate securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 2,084 | 2,605 |
Fixed-maturity securities | Recurring | RMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 340 | 437 |
Fixed-maturity securities | Recurring | CMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 271 | 346 |
Fixed-maturity securities | Recurring | Asset-backed securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 821 | 890 |
Fixed-maturity securities | Recurring | Non-U.S. government securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 98 | 136 |
Fixed-maturity securities | Recurring | Level 1 | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Fixed-maturity securities, trading, at fair value | 0 | |
Fixed-maturity securities | Recurring | Level 1 | Obligations of state and political subdivisions | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | U.S. government and agencies | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | Corporate securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | RMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | CMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | Asset-backed securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Fixed-maturity securities | Recurring | Level 1 | Non-U.S. government securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Fixed-maturity securities | Recurring | Level 2 | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 6,099 | 7,051 |
Fixed-maturity securities, trading, at fair value | 303 | |
Fixed-maturity securities | Recurring | Level 2 | Obligations of state and political subdivisions | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 3,347 | 3,588 |
Fixed-maturity securities | Recurring | Level 2 | U.S. government and agencies | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 111 | 128 |
Fixed-maturity securities | Recurring | Level 2 | Corporate securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 2,084 | 2,605 |
Fixed-maturity securities | Recurring | Level 2 | RMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 161 | 221 |
Fixed-maturity securities | Recurring | Level 2 | CMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 271 | 346 |
Fixed-maturity securities | Recurring | Level 2 | Asset-backed securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 27 | 27 |
Fixed-maturity securities | Recurring | Level 2 | Non-U.S. government securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 98 | 136 |
Fixed-maturity securities | Recurring | Level 3 | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 1,020 | 1,151 |
Fixed-maturity securities, trading, at fair value | 0 | |
Fixed-maturity securities | Recurring | Level 3 | Obligations of state and political subdivisions | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 47 | 72 |
Fixed-maturity securities | Recurring | Level 3 | U.S. government and agencies | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Fixed-maturity securities | Recurring | Level 3 | Corporate securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Fixed-maturity securities | Recurring | Level 3 | RMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 179 | 216 |
Fixed-maturity securities | Recurring | Level 3 | CMBS | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Fixed-maturity securities | Recurring | Level 3 | Asset-backed securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 794 | 863 |
Fixed-maturity securities | Recurring | Level 3 | Non-U.S. government securities | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | 0 |
Short-term investments | Recurring | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 1,225 | |
Short-term investments | Recurring | Level 1 | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 1,225 | |
Short-term investments | Recurring | Level 2 | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | |
Short-term investments | Recurring | Level 3 | ||
Assets: | ||
Fixed-maturity securities, available-for-sale: | 0 | |
Fund Investments | Fair Value Measured at Net Asset Value | Equity securities and warrants | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 5 | 6 |
Fund Investments | Recurring | Obligations of state and political subdivisions | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 101 | |
Fund Investments | Recurring | Corporate securities | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 96 | 98 |
Fund Investments | Recurring | Equity securities and warrants | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 302 | 246 |
Fund Investments | Recurring | Structured products | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 128 | 62 |
Fund Investments | Recurring | Level 1 | Obligations of state and political subdivisions | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 0 | |
Fund Investments | Recurring | Level 1 | Corporate securities | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 0 | 0 |
Fund Investments | Recurring | Level 1 | Equity securities and warrants | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 0 | 0 |
Fund Investments | Recurring | Level 1 | Structured products | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 0 | 0 |
Fund Investments | Recurring | Level 2 | Obligations of state and political subdivisions | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 101 | |
Fund Investments | Recurring | Level 2 | Corporate securities | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 0 | 7 |
Fund Investments | Recurring | Level 2 | Equity securities and warrants | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 5 | 7 |
Fund Investments | Recurring | Level 2 | Structured products | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 82 | 62 |
Fund Investments | Recurring | Level 3 | Obligations of state and political subdivisions | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 0 | |
Fund Investments | Recurring | Level 3 | Corporate securities | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 96 | 91 |
Fund Investments | Recurring | Level 3 | Equity securities and warrants | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 297 | 239 |
Fund Investments | Recurring | Level 3 | Structured products | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 46 | 0 |
CLOs | Recurring | Short-term investments | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 135 | 145 |
CLOs | Recurring | Loans | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 4,570 | 4,244 |
CLOs | Recurring | Level 1 | Short-term investments | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 135 | 145 |
CLOs | Recurring | Level 1 | Loans | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 0 | 0 |
CLOs | Recurring | Level 2 | Short-term investments | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 0 | 0 |
CLOs | Recurring | Level 2 | Loans | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 4,570 | 4,244 |
CLOs | Recurring | Level 3 | Short-term investments | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 0 | 0 |
CLOs | Recurring | Level 3 | Loans | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | 0 | $ 0 |
Municipal Relative Fund Member | Fair Value Measured at Net Asset Value | Equity Securities And Warrants | Consolidated Investment Vehicles | ||
Assets: | ||
FG VIEs’ assets | $ 127 |
Fair Value Measurement - Fair V
Fair Value Measurement - Fair Value Level 3 Rollforward Recurring Basis (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Financial Guaranty Variable Interest Entities | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Fair value at start of period | $ (715) | $ (289) | $ (333) |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 34 | (8) | |
Other comprehensive income (loss) | (3) | (1) | |
Issuances | 0 | 0 | |
Sales | 0 | ||
Settlements | 99 | 53 | |
VIE consolidations | (571) | 0 | |
Deconsolidations | 15 | ||
Fair value at end of period | 715 | 289 | |
Change in unrealized gains/(losses) related to financial instruments held | 59 | (6) | |
Financial Guaranty Variable Interest Entities | Other Comprehensive Income (Loss) | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held | (3) | (1) | |
Consolidated Investment Vehicles | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Fair value at start of period | (4,154) | (3,705) | $ (1,227) |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 178 | 15 | |
Other comprehensive income (loss) | 42 | 0 | |
Issuances | (1,421) | (3,367) | |
Sales | 2 | ||
Settlements | 402 | 891 | |
VIE consolidations | (26) | (17) | |
Deconsolidations | 374 | ||
Fair value at end of period | 4,154 | 3,705 | |
Change in unrealized gains/(losses) related to financial instruments held | 217 | (2) | |
Consolidated Investment Vehicles | Other Comprehensive Income (Loss) | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held | 42 | ||
Credit Risk Contract | |||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||
Fair value at beginning of period | (154) | (100) | |
Total pre-tax realized and unrealized gains (losses) recorded in: | |||
Net income (loss) | (11) | (58) | |
Other comprehensive income (loss) | 0 | 0 | |
Issuances | 0 | 0 | |
Sales | 0 | ||
Settlements | 3 | (4) | |
Consolidations | 0 | 0 | |
Deconsolidations | 0 | ||
Fair value at end of period | (162) | (154) | |
Change in unrealized gains/(losses)included in earnings related to financial instruments | (11) | (74) | |
Fixed-maturity securities | Obligations of state and political subdivisions | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 72 | 101 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 1 | 23 | |
Other comprehensive income (loss) | (12) | (5) | |
Purchases | 0 | 0 | |
Sales | 0 | (44) | |
Settlements | (14) | (3) | |
Consolidations | 0 | 0 | |
Deconsolidation | 0 | ||
Fair value at end of period | 47 | 72 | |
Fixed-maturity securities | Obligations of state and political subdivisions | Other Comprehensive Income (Loss) | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | (12) | 1 | |
Fixed-maturity securities | RMBS | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 216 | 255 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 16 | 16 | |
Other comprehensive income (loss) | (36) | (1) | |
Purchases | 22 | 0 | |
Sales | 0 | 0 | |
Settlements | (39) | (54) | |
Consolidations | 0 | 0 | |
Deconsolidation | 0 | ||
Fair value at end of period | 179 | 216 | |
Fixed-maturity securities | RMBS | Other Comprehensive Income (Loss) | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | (32) | (1) | |
Fixed-maturity securities | Asset-backed securities | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 863 | 940 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 5 | 18 | |
Other comprehensive income (loss) | (47) | (5) | |
Purchases | 43 | 344 | |
Sales | (13) | (142) | |
Settlements | (57) | (292) | |
Consolidations | 0 | 0 | |
Deconsolidation | 0 | ||
Fair value at end of period | 794 | 863 | |
Fixed-maturity securities | Asset-backed securities | Other Comprehensive Income (Loss) | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | (45) | (6) | |
Fixed-maturity securities | Corporate securities | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 0 | 30 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 2 | ||
Other comprehensive income (loss) | 16 | ||
Purchases | 0 | ||
Sales | (48) | ||
Settlements | 0 | ||
Consolidations | 0 | ||
Fair value at end of period | 0 | ||
Fixed-maturity securities | Corporate securities | Other Comprehensive Income (Loss) | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | 0 | ||
Financial Guaranty Variable Interest Entities | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 260 | 296 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | (3) | 26 | |
Other comprehensive income (loss) | 0 | 0 | |
Purchases | 0 | 0 | |
Sales | 0 | 0 | |
Settlements | (60) | (62) | |
Consolidations | 22 | 0 | |
Deconsolidation | (15) | ||
Fair value at end of period | 204 | 260 | |
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | (3) | 27 | |
Consolidated Investment Vehicles | Corporate securities | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 91 | 0 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 2 | 0 | |
Other comprehensive income (loss) | 0 | 0 | |
Purchases | 16 | 0 | |
Sales | (13) | 0 | |
Settlements | 0 | 0 | |
Consolidations | 0 | 91 | |
Deconsolidation | 0 | ||
Fair value at end of period | 96 | 91 | |
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | 1 | 0 | |
Consolidated Investment Vehicles | Equity securities and warrants | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 239 | 2 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 1 | 35 | |
Other comprehensive income (loss) | 0 | 0 | |
Purchases | 73 | 56 | |
Sales | (16) | (28) | |
Settlements | 0 | 0 | |
Consolidations | 0 | 174 | |
Deconsolidation | 0 | ||
Fair value at end of period | 297 | 239 | |
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | (8) | (2) | |
Consolidated Investment Vehicles | Structured products | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 0 | ||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | (5) | ||
Other comprehensive income (loss) | 0 | ||
Purchases | 52 | ||
Sales | (21) | ||
Settlements | 0 | ||
Consolidations | 0 | ||
Deconsolidation | 20 | ||
Fair value at end of period | 46 | 0 | |
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | (4) | ||
Other | |||
Fair Value Level 3 Rollforward | |||
Fair value at beginning of period | 27 | 54 | |
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Net income (loss) | 24 | (27) | |
Other comprehensive income (loss) | (1) | 0 | |
Purchases | 0 | 0 | |
Sales | 0 | 0 | |
Settlements | 0 | 0 | |
Consolidations | 0 | 0 | |
Deconsolidation | 0 | ||
Fair value at end of period | 50 | 27 | |
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | 24 | $ (28) | |
Other | Other Comprehensive Income (Loss) | |||
Total pretax realized and unrealized gains/(losses) recorded in: | |||
Change in unrealized gains/(losses) related to financial instruments held, Included in OCI | $ (1) |
Fair Value Measurement - Quanti
Fair Value Measurement - Quantitative Information - Assets (Details) - Level 3 - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Obligations of state and political subdivisions | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 47 | $ 72 |
Obligations of state and political subdivisions | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.40% | 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) | 13.50% | 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) | 9.40% | 6.20% |
RMBS | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 179 | $ 216 |
RMBS | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.50% | 3.80% |
RMBS | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 11.30% | 5.60% |
RMBS | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 9% | 4.50% |
Life insurance transactions | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 342 | |
Yield (as a percent) | 11.30% | |
CLO contracts | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 428 | $ 458 |
Others | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 24 | $ 38 |
Others | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.40% | 3.20% |
Others | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 12.90% | 7.90% |
Others | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 12.80% | 7.90% |
Financial Guarantee Variable Interest Entities | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 204 | $ 260 |
Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 6.60% | 1.40% |
Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 10.90% | 8% |
Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.50% | 4.60% |
Other | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 47 | $ 23 |
Fair value inputs term | 10 years | 10 years |
Other | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.70% | 2.70% |
Other | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 8.40% | 3.30% |
Other | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 8.10% | 3% |
Other invested assets | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 5 | $ 6 |
Life insurance transactions | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 367 | |
Yield (as a percent) | 5% | |
Consolidated Investment Vehicles | Valuation, Income Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 297 | $ 239 |
Yield (as a percent) | 10% | 7.70% |
Consolidated Investment Vehicles | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 96 | |
Yield (as a percent) | 16.30% | 16.40% |
Consolidated Investment Vehicles | Valuation, Income Approach | Structured products | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 46 | |
Consolidated Investment Vehicles | Minimum | Valuation, Income Approach | Structured products | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 12.80% | |
Consolidated Investment Vehicles | Maximum | Valuation, Income Approach | Structured products | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 37.10% | |
Consolidated Investment Vehicles | Weighted Average | Valuation, Income Approach | Structured products | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 18.90% | |
CPR | RMBS | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 3.80% | 0% |
CPR | RMBS | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 16.10% | 22.70% |
CPR | RMBS | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 8.20% | 10.40% |
CPR | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 0.90% | 0.90% |
CPR | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 21.90% | 24.50% |
CPR | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 12.90% | 13.30% |
CDR | RMBS | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 1.50% | 1.40% |
CDR | RMBS | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 12% | 12% |
CDR | RMBS | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 5.90% | 5.90% |
CDR | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 1.30% | 1.40% |
CDR | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 41% | 26.90% |
CDR | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 7.60% | 7.60% |
Loss severity | RMBS | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 50% | 50% |
Loss severity | RMBS | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 125% | 125% |
Loss severity | RMBS | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 82.50% | 84.90% |
Loss severity | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 45% | 45% |
Loss severity | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 100% | 100% |
Loss severity | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 81% | 81.60% |
Discount rate | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 91 | |
Discount rate | Minimum | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 14.70% | |
Discount rate | Maximum | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 21.40% | |
Discount rate | Weighted Average | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 17.80% | |
Discount rate | CLO contracts | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 1.80% | 0% |
Discount rate | CLO contracts | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.10% | 2.90% |
Discount rate | CLO contracts | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3% | 1.80% |
Discount rate | Consolidated Investment Vehicles | Minimum | Valuation, Income Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 19.80% | 14.70% |
Discount rate | Consolidated Investment Vehicles | Minimum | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 20.80% | |
Discount rate | Consolidated Investment Vehicles | Maximum | Valuation, Income Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 25.10% | 23.90% |
Discount rate | Consolidated Investment Vehicles | Maximum | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 23.80% | |
Discount rate | Consolidated Investment Vehicles | Weighted Average | Valuation, Income Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 22.70% | 21.60% |
Discount rate | Consolidated Investment Vehicles | Weighted Average | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 21.70% | |
Multiple enterprise/revenue value | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.10 | |
Multiple enterprise/revenue value | Consolidated Investment Vehicles | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-price to book | 185% | |
Multiple enterprise/revenue value | Consolidated Investment Vehicles | Minimum | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.05 | |
Market multiple-price to book | 115% | |
Market multiple-price to earnings | 450% | |
Multiple enterprise/revenue value | Consolidated Investment Vehicles | Maximum | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.10 | |
Multiple enterprise/revenue value | Consolidated Investment Vehicles | Weighted Average | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.08 | |
Measurement Input, EBITDA Multiple | Minimum | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 3 | |
Measurement Input, EBITDA Multiple | Maximum | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 10.50 | |
Measurement Input, EBITDA Multiple | Weighted Average | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 8.95 | |
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Minimum | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 2.50 | |
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Minimum | Valuation, Market Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 2.50 | |
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Maximum | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 11 | |
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Maximum | Valuation, Market Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 2.75 | |
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Weighted Average | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 10.25 | |
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Weighted Average | Valuation, Market Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 2.63 | |
Measurement Input, Long-Term Revenue Growth Rate | Consolidated Investment Vehicles | Minimum | Valuation, Income Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3% | |
Measurement Input, Long-Term Revenue Growth Rate | Consolidated Investment Vehicles | Maximum | Valuation, Income Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4% | |
Measurement Input, Long-Term Revenue Growth Rate | Consolidated Investment Vehicles | Weighted Average | Valuation, Income Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.50% | |
Measurement Input, Exit Multiple, EBITDA | Consolidated Investment Vehicles | Valuation, Market Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 800% | |
Measurement Input, Exit Multiple, EBITDA | Consolidated Investment Vehicles | Minimum | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 800% | |
Measurement Input, Exit Multiple, EBITDA | Consolidated Investment Vehicles | Maximum | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 1,200% | |
Measurement Input, Exit Multiple, EBITDA | Consolidated Investment Vehicles | Weighted Average | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 1,053% | |
Measurement Input, Price to Book | Consolidated Investment Vehicles | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 130% | |
Measurement Input, Price to Earnings | Consolidated Investment Vehicles | Valuation, Market Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 550% | |
Measurement Input, Cost to Sell | Consolidated Investment Vehicles | Valuation, Income Approach | Equity securities and warrants | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 100% | |
Measurement Input, Cost to Sell | Consolidated Investment Vehicles | Valuation, Income Approach | Corporate securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 100% |
Fair Value Measurement - Quan_2
Fair Value Measurement - Quantitative Information - Liabilities (Details) - Level 3 - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Equity securities and warrants | Valuation, Income Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 10% | 7.70% |
Credit derivative liabilities, net (1) | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs internal floor | 880% | |
Credit derivative liabilities, net (1) | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (162) | $ (154) |
Credit derivative liabilities, net (1) | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs hedge cost | 800% | |
Fair value inputs bank profit | 5,100% | 0% |
Credit derivative liabilities, net (1) | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 0% | |
Fair value inputs hedge cost | 11.50% | |
Credit derivative liabilities, net (1) | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs hedge cost | 3,710% | |
Fair value inputs bank profit | 27,050% | 18,780% |
Credit derivative liabilities, net (1) | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 85.80% | |
Fair value inputs hedge cost | 25.20% | |
Credit derivative liabilities, net (1) | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value inputs hedge cost | 1,260% | |
Fair value inputs bank profit | 10,940% | 6,790% |
Credit derivative liabilities, net (1) | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 0.10% | |
Fair value inputs hedge cost | 15.70% | |
Financial Guarantee Variable Interest Entities | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (715) | $ (289) |
Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.80% | 1.40% |
Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 10.90% | 8% |
Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 5.90% | 3.70% |
Consolidated Investment Vehicles | CLO contracts | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (4,090) | $ (3,665) |
Consolidated Investment Vehicles | CLO contracts | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3% | 1.60% |
Consolidated Investment Vehicles | CLO contracts | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 27.40% | 13.70% |
Consolidated Investment Vehicles | CLO contracts | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 5.50% | 2.10% |
Consolidated Investment Vehicles | Borrowings | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (28) | $ (17) |
Consolidated Investment Vehicles | Warehouse Financing Debt | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (36) | $ (23) |
Consolidated Investment Vehicles | Warehouse Financing Debt | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 11.70% | 12.60% |
Consolidated Investment Vehicles | Warehouse Financing Debt | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 16.90% | 16% |
Consolidated Investment Vehicles | Warehouse Financing Debt | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 12.90% | 13.80% |
Discount rate | Equity securities and warrants | Minimum | Valuation, Income Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 19.80% | 14.70% |
Discount rate | Equity securities and warrants | Maximum | Valuation, Income Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 25.10% | 23.90% |
Discount rate | Equity securities and warrants | Weighted Average | Valuation, Income Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 22.70% | 21.60% |
Discount rate | Consolidated Investment Vehicles | Borrowings | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 20.90% | 23.90% |
CPR | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 0.90% | 0.90% |
CPR | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 21.90% | 24.50% |
CPR | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 6.30% | 13.30% |
CDR | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 1.30% | 1.40% |
CDR | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 41% | 26.90% |
CDR | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 3.70% | 7.60% |
Loss severity | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 45% | 45% |
Loss severity | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 100% | 100% |
Loss severity | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Conditional prepayment rate (as a percent) | 39.90% | 81.60% |
Multiple enterprise/revenue value | Equity securities and warrants | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.10 | |
Multiple enterprise/revenue value | Equity securities and warrants | Valuation, Market Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-price to book | 185% | |
Multiple enterprise/revenue value | Equity securities and warrants | Minimum | Valuation, Market Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.05 | |
Market multiple-price to book | 115% | |
Multiple enterprise/revenue value | Equity securities and warrants | Maximum | Valuation, Market Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.10 | |
Multiple enterprise/revenue value | Equity securities and warrants | Weighted Average | Valuation, Market Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 1.08 | |
Multiple enterprise/revenue value | Consolidated Investment Vehicles | Borrowings | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple-enterprise value/revenue | 10.50 | |
Measurement Input, EBITDA Multiple | Equity securities and warrants | Minimum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 3 | |
Measurement Input, EBITDA Multiple | Equity securities and warrants | Minimum | Valuation, Market Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 2.50 | |
Measurement Input, EBITDA Multiple | Equity securities and warrants | Maximum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 10.50 | |
Measurement Input, EBITDA Multiple | Equity securities and warrants | Maximum | Valuation, Market Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 11 | |
Measurement Input, EBITDA Multiple | Equity securities and warrants | Weighted Average | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 8.95 | |
Measurement Input, EBITDA Multiple | Equity securities and warrants | Weighted Average | Valuation, Market Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 10.25 | |
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Borrowings | Minimum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 10 | |
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Borrowings | Maximum | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 11 | |
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Borrowings | Weighted Average | Valuation, Market Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Market multiple - enterprise value/EBITDA | 10.50 | |
Measurement Input, Long-Term Revenue Growth Rate | Equity securities and warrants | Minimum | Valuation, Income Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3% | |
Measurement Input, Long-Term Revenue Growth Rate | Equity securities and warrants | Maximum | Valuation, Income Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4% | |
Measurement Input, Long-Term Revenue Growth Rate | Equity securities and warrants | Weighted Average | Valuation, Income Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.50% | |
Measurement Input, Long-Term Revenue Growth Rate | Consolidated Investment Vehicles | Borrowings | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3% | |
Measurement Input, Exit Multiple, EBITDA | Equity securities and warrants | Minimum | Valuation, Market Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 800% | |
Measurement Input, Exit Multiple, EBITDA | Equity securities and warrants | Maximum | Valuation, Market Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 1,200% | |
Measurement Input, Exit Multiple, EBITDA | Equity securities and warrants | Weighted Average | Valuation, Market Approach | Consolidated Investment Vehicles | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 1,053% | |
Measurement Input, Exit Multiple, EBITDA | Consolidated Investment Vehicles | Borrowings | Valuation, Income Approach | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 1,100% |
Fair Value Measurement - Fair_2
Fair Value Measurement - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Assets of consolidated investment vehicles (includes $5,363 and $4,902, at fair value) | $ 5,493 | $ 5,271 |
Other assets (includes $148 and $132, at fair value) | 597 | 470 |
Long-term debt | (1,675) | (1,673) |
Liabilities of CIVs | (4,625) | (4,436) |
Other liabilities | (457) | (569) |
Repurchase agreement liability | 35 | 37 |
Carrying Amount | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Assets of consolidated investment vehicles (includes $5,363 and $4,902, at fair value) | 46 | 171 |
Other assets (includes $148 and $132, at fair value) | 92 | 134 |
Financial guaranty insurance contracts | (2,335) | (2,394) |
Long-term debt | (1,675) | (1,673) |
Liabilities of CIVs | (170) | (586) |
Other liabilities | (43) | (45) |
Estimated Fair Value | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Assets of consolidated investment vehicles (includes $5,363 and $4,902, at fair value) | 46 | 171 |
Other assets (includes $148 and $132, at fair value) | 93 | 135 |
Financial guaranty insurance contracts | (986) | (2,315) |
Long-term debt | (1,477) | (1,832) |
Liabilities of CIVs | (170) | (586) |
Other liabilities | $ (43) | $ (45) |
Asset Management Fees - Narrati
Asset Management Fees - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Asset Management Fees | ||
Disaggregation of Revenue [Line Items] | ||
Management fee, interest and principal proceeds after incentive management fee threshold, percent | 20% | |
Asset Management Fees | Minimum | ||
Disaggregation of Revenue [Line Items] | ||
Cash received by investors in excess of benchmarks, percent | 0.25% | |
Performance fee, net profit in excess of high water mark of respective fund, percent | 10% | |
Asset Management Fees | Maximum | ||
Disaggregation of Revenue [Line Items] | ||
Management fee, net asset value of respective funds, percent | 2% | |
Cash received by investors in excess of benchmarks, percent | 0.50% | |
Performance fee, net profit in excess of high water mark of respective fund, percent | 20% | |
Asset Management and Performance Allocation Fees | ||
Disaggregation of Revenue [Line Items] | ||
Management and performance fees receivable | $ 10 | $ 8 |
Asset Management Fees - Asset M
Asset Management Fees - Asset Management Fees (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Disaggregation of Revenue [Line Items] | |||
Asset management fees | $ 93 | $ 88 | $ 89 |
CLOs | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 34 | 41 | 21 |
Opportunity funds and liquid strategies | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 17 | 17 | 8 |
Wind-down funds | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 2 | 7 | 25 |
Asset management fees | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 53 | 65 | 54 |
Performance fees | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 19 | 1 | 0 |
Reimbursable fund expenses | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | 21 | 22 | 35 |
CLOs, before rebates | |||
Disaggregation of Revenue [Line Items] | |||
Asset management fees | $ 34 | $ 47 | $ 40 |
Goodwill and Other Intangible_3
Goodwill and Other Intangible Assets - Schedule of Finite-lived Intangible Assets (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Finite-Lived Intangible Assets [Line Items] | ||
Goodwill | $ 117 | $ 117 |
Useful life | 4 years 7 months 6 days | |
Finite-lived intangible assets, gross | $ 82 | 82 |
Accumulated amortization | (42) | (30) |
Finite-lived intangible assets, net | 40 | 52 |
Indefinite-lived intangible assets (insurance licenses) | 6 | 6 |
Total goodwill and other intangible assets | 163 | 175 |
Goodwill deductible for tax purposes | $ 92 | 99 |
CLO contracts | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 5 years 9 months 18 days | |
Finite-lived intangible assets, gross | $ 42 | 42 |
Investment management contracts | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 1 year 6 months | |
Finite-lived intangible assets, gross | $ 24 | 24 |
CLO distribution network | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 1 year 9 months 18 days | |
Finite-lived intangible assets, gross | $ 9 | 9 |
Trade name | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 6 years 9 months 18 days | |
Finite-lived intangible assets, gross | $ 3 | 3 |
Favorable sublease | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 1 year 2 months 12 days | |
Finite-lived intangible assets, gross | $ 1 | 1 |
Lease-related intangibles | ||
Finite-Lived Intangible Assets [Line Items] | ||
Useful life | 4 years 3 months 18 days | |
Finite-lived intangible assets, gross | $ 3 | $ 3 |
Goodwill and Other Intangible_4
Goodwill and Other Intangible Assets - Narrative (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2021 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Finite-Lived Intangible Assets [Line Items] | ||||
Goodwill impairment | $ 0 | |||
Amortization expense | $ 11,000,000 | $ 12,000,000 | $ 13,000,000 | |
MAC | ||||
Finite-Lived Intangible Assets [Line Items] | ||||
Intangible asset write-off | $ 16,000,000 |
Goodwill and Other Intangible_5
Goodwill and Other Intangible Assets - Finite-lived Intangible Assets, Future Amortization Expense (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Goodwill and Intangible Assets Disclosure [Abstract] | ||
2023 | $ 11 | |
2024 | 10 | |
2025 | 6 | |
2026 | 5 | |
2027 | 5 | |
Thereafter | 3 | |
Finite-lived intangible assets, net | $ 40 | $ 52 |
Long-Term Debt and Credit Fac_3
Long-Term Debt and Credit Facilities - Narrative (Details) | 12 Months Ended | ||||||||||||||
Mar. 14, 2022 USD ($) | Feb. 03, 2022 USD ($) | Sep. 27, 2021 USD ($) | Aug. 20, 2021 USD ($) | Jul. 09, 2021 USD ($) | May 26, 2021 USD ($) | Jun. 20, 2014 USD ($) | Dec. 20, 2006 USD ($) period | Nov. 22, 2006 USD ($) rISK extension | May 18, 2004 USD ($) | Dec. 31, 2022 USD ($) Trust | Dec. 31, 2021 USD ($) | Dec. 31, 2020 USD ($) | Jul. 31, 2003 | Nov. 26, 2002 | |
Debt Instrument [Line Items] | |||||||||||||||
Net proceeds from issuance of debt | $ 0 | $ 889,000,000 | $ 0 | ||||||||||||
Repayments of long-term debt | 2,000,000 | 620,000,000 | 22,000,000 | ||||||||||||
Loss on extinguishment of debt | 0 | 175,000,000 | 0 | ||||||||||||
Interest expense | $ 81,000,000 | 87,000,000 | 85,000,000 | ||||||||||||
AGC Trust Preferred Securities | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Basis points | 2.50% | ||||||||||||||
AGM Trust Preferred Securities | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Basis points | 2% | ||||||||||||||
AGUS (Issuer | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Debt instrument, fair value disclosure | 154,000,000 | $ 154,000,000 | |||||||||||||
AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Repayments of long-term debt | $ 200,000,000 | ||||||||||||||
AGM and AGC | AGM CPS securities | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Number of custodial trusts | Trust | 4 | ||||||||||||||
Maximum stock purchase obligation of each custodial trust | $ 200,000,000 | ||||||||||||||
Aggregate maximum stock purchase obligation of the custodial trusts | $ 50,000,000 | ||||||||||||||
AGC | AGM CPS securities | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Rate basis for income distributions | one-month LIBOR | ||||||||||||||
Assured Guaranty Municipal Corp | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Principal | $ 1,726,000,000 | 1,728,000,000 | |||||||||||||
Assured Guaranty Municipal Corp | AGM CPS securities | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Rate basis for income distributions | one-month LIBOR | ||||||||||||||
AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Loss on extinguishment of debt | $ 175,000,000 | ||||||||||||||
Loss on extinguishment of debt, net of tax | 138,000,000 | ||||||||||||||
Acceleration of unamortized fair value adjustments | 156,000,000 | ||||||||||||||
Junior Subordinated Debt | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Principal | $ 300,000,000 | 146,000,000 | 146,000,000 | ||||||||||||
Effective interest rate of debt (as a percent) | 6.40% | ||||||||||||||
Interest rate, added to base rate (as a percent) | 2.215% | ||||||||||||||
Number of times interest payment may be deferred | 1 | ||||||||||||||
Number of consecutive periods for which interest payments may be deferred | rISK | 1 | ||||||||||||||
Period for which interest payment may be deferred (in years) | 10 years | ||||||||||||||
Number of times repayment date may be extended | extension | 4 | ||||||||||||||
Repayment date extension measurement period | 5 years | ||||||||||||||
Notes Payable, Other Payables | Assured Guaranty Municipal Corp | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Principal | $ 0 | 2,000,000 | |||||||||||||
7% Senior Notes | Senior Notes | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 700% | 700% | |||||||||||||
Principal | $ 200,000,000 | $ 200,000,000 | 200,000,000 | ||||||||||||
Net proceeds from issuance of debt | $ 197,000,000 | ||||||||||||||
Effective interest rate of debt (as a percent) | 6.40% | ||||||||||||||
5% Senior Notes | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Payment for debt extinguishment | $ 19,000,000 | ||||||||||||||
5% Senior Notes | Senior Notes | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 5% | 5% | |||||||||||||
Principal | $ 500,000,000 | $ 500,000,000 | $ 330,000,000 | 330,000,000 | |||||||||||
Net proceeds from issuance of debt | $ 495,000,000 | ||||||||||||||
Repayments of long-term debt | 170,000,000 | ||||||||||||||
3.15% Senior Notes | Senior Notes | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 3.15% | ||||||||||||||
3.15% Senior Notes | Senior Notes | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 3.15% | ||||||||||||||
Principal | $ 500,000,000 | $ 500,000,000 | 500,000,000 | ||||||||||||
Net proceeds from issuance of debt | $ 494,000,000 | ||||||||||||||
Redemption price percentage | 100% | ||||||||||||||
3.6% Senior Notes | Senior Notes | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 3.60% | ||||||||||||||
Repayments of long-term debt | 400,000,000 | ||||||||||||||
3.6% Senior Notes | Senior Notes | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 3.60% | ||||||||||||||
Principal | $ 400,000,000 | $ 400,000,000 | $ 400,000,000 | ||||||||||||
Net proceeds from issuance of debt | $ 395,000,000 | ||||||||||||||
Redemption price percentage | 100% | ||||||||||||||
Enhanced Junior Subordinated Debentures | Junior Subordinated Debt | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Period prior to final repayment date before which debt cannot be repaid, redeemed, repurchased or defeased (in years) | 20 years | ||||||||||||||
Enhanced Junior Subordinated Debentures | Junior Subordinated Debt | AGC | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Principal | $ 150,000,000 | ||||||||||||||
Interest rate, added to base rate (as a percent) | 2.38% | ||||||||||||||
Number of times interest payment may be deferred | 1 | ||||||||||||||
Number of consecutive periods for which interest payments may be deferred | period | 1 | ||||||||||||||
Period for which interest payment may be deferred (in years) | 10 years | ||||||||||||||
6.875% QUIBS | Corporate securities | AGMH | |||||||||||||||
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, Other Payables | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 6.25% | ||||||||||||||
Principal | 230,000,000 | ||||||||||||||
Repayments of long-term debt | 130,000,000 | $ 100,000,000 | |||||||||||||
5.6% Notes | Corporate securities | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Repayments of long-term debt | $ 100,000,000 | ||||||||||||||
5.6% Notes | Notes Payable, Other Payables | AGMH | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 5.60% | ||||||||||||||
Short Term Loan Facility | 6 Months | Letter of Credit | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Maximum borrowing capacity | $ 150,000,000 | ||||||||||||||
Maximum borrowing duration | 6 months | ||||||||||||||
Short Term Loan Facility | One Month | Letter of Credit | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Maximum borrowing capacity | $ 550,000,000 | ||||||||||||||
Proceeds from issuance of warehouse financing debt | $ 400,000,000 | ||||||||||||||
Short Term Loan Facility | One Month | Letter of Credit | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate, added to base rate (as a percent) | 1.10% | ||||||||||||||
Short Term Loan Facility | Thirty Days | Letter of Credit | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Maximum borrowing duration | 30 days |
Long-Term Debt and Credit Fac_4
Long-Term Debt and Credit Facilities - Principal and Carrying Amounts of Debt (Details) - USD ($) | Dec. 31, 2022 | Dec. 31, 2021 | Sep. 27, 2021 | Aug. 20, 2021 | May 26, 2021 | Jun. 20, 2014 | Nov. 22, 2006 | May 18, 2004 |
Debt Instrument [Line Items] | ||||||||
Carrying Value | $ (1,675,000,000) | $ (1,673,000,000) | ||||||
Assured Guaranty Municipal Corp | ||||||||
Debt Instrument [Line Items] | ||||||||
Principal | 1,726,000,000 | 1,728,000,000 | ||||||
Carrying Value | $ (1,675,000,000) | (1,673,000,000) | ||||||
Senior Notes | AGC | 7% Senior Notes | ||||||||
Debt Instrument [Line Items] | ||||||||
Interest rate of debt (as a percent) | 700% | 700% | ||||||
Principal | $ 200,000,000 | 200,000,000 | $ 200,000,000 | |||||
Carrying Value | $ (198,000,000) | (197,000,000) | ||||||
Senior Notes | AGC | 5% Senior Notes | ||||||||
Debt Instrument [Line Items] | ||||||||
Interest rate of debt (as a percent) | 5% | 5% | ||||||
Principal | $ 330,000,000 | 330,000,000 | $ 500,000,000 | $ 500,000,000 | ||||
Carrying Value | $ (329,000,000) | (329,000,000) | ||||||
Senior Notes | AGC | 3.15% Senior Notes | ||||||||
Debt Instrument [Line Items] | ||||||||
Interest rate of debt (as a percent) | 3.15% | |||||||
Principal | $ 500,000,000 | 500,000,000 | $ 500,000,000 | |||||
Carrying Value | $ (495,000,000) | (495,000,000) | ||||||
Senior Notes | AGC | 3.6% Senior Notes | ||||||||
Debt Instrument [Line Items] | ||||||||
Interest rate of debt (as a percent) | 3.60% | |||||||
Principal | $ 400,000,000 | 400,000,000 | $ 400,000,000 | |||||
Carrying Value | (395,000,000) | (395,000,000) | ||||||
Senior Notes | AGMH | 3.15% Senior Notes | ||||||||
Debt Instrument [Line Items] | ||||||||
Interest rate of debt (as a percent) | 3.15% | |||||||
Senior Notes | AGMH | 3.6% Senior Notes | ||||||||
Debt Instrument [Line Items] | ||||||||
Interest rate of debt (as a percent) | 3.60% | |||||||
Enhanced Junior Subordinated Debentures | AGC | ||||||||
Debt Instrument [Line Items] | ||||||||
Principal | 150,000,000 | 150,000,000 | ||||||
Carrying Value | (150,000,000) | (150,000,000) | ||||||
Junior Subordinated Debentures | AGMH | ||||||||
Debt Instrument [Line Items] | ||||||||
Principal | 146,000,000 | 146,000,000 | $ 300,000,000 | |||||
Carrying Value | (108,000,000) | (105,000,000) | ||||||
Notes Payable, Other Payables | Assured Guaranty Municipal Corp | ||||||||
Debt Instrument [Line Items] | ||||||||
Principal | 0 | 2,000,000 | ||||||
Carrying Value | $ 0 | $ (2,000,000) |
Long-Term Debt and Credit Fac_5
Long-Term Debt and Credit Facilities - Expected Maturity Schedule of Debt (Details) $ in Millions | Dec. 31, 2022 USD ($) |
Debt Disclosure [Abstract] | |
2023 | $ 0 |
2024 | 330 |
2025 | 0 |
2026 | 0 |
2027 | 0 |
2028-2047 | 700 |
2048-2066 | 696 |
Total | $ 1,726 |
Employee Benefit Plans - Narrat
Employee Benefit Plans - Narrative (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Employee benefit plans [Line Items] | |||
Recognized contribution expense | $ 20,000,000 | $ 20,000,000 | $ 20,000,000 |
U.S. | |||
Employee benefit plans [Line Items] | |||
Number of years of service to become fully vested | 1 year | ||
401 (k) Plan | U.S. | |||
Employee benefit plans [Line Items] | |||
Percentage by which employer contribution matches up to 6% of participant's compensation | 100% | ||
Maximum percentage of participant's compensation eligible for employer contribution match | 7% | 7% | 7% |
Core contribution made by the company as a percentage of participant's compensation | 7% | 7% | 7% |
Nonqualified Supplemental Executive Retirement Plan | U.S. | |||
Employee benefit plans [Line Items] | |||
Percentage by which employer contribution matches up to 6% of participant's compensation | 100% | ||
Maximum percentage of participant's compensation eligible for employer contribution match | 6% | ||
Core contribution made by the company as a percentage of participant's compensation | 6% | ||
Restricted Stock Units (RSUs) | |||
Employee benefit plans [Line Items] | |||
Unrecognized compensation expense | $ 21,000,000 | ||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 1 year 9 months 18 days | ||
Total fair value of awards delivered | $ 12,000,000 | $ 12,000,000 | $ 11,000,000 |
Granted (in dollars per share) | $ 56.46 | $ 44.08 | $ 41.31 |
Restricted Stock Units (RSUs) | Minimum | |||
Employee benefit plans [Line Items] | |||
Vesting period of awards (in years) | 3 years | ||
Restricted Stock Units (RSUs) | Maximum | |||
Employee benefit plans [Line Items] | |||
Vesting period of awards (in years) | 4 years | ||
Performance Restricted Stock Units | |||
Employee benefit plans [Line Items] | |||
Unrecognized compensation expense | $ 15,000,000 | ||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 1 year 8 months 12 days | ||
Total fair value of awards delivered | $ 8,000,000 | $ 9,000,000 | $ 8,000,000 |
Granted (in dollars per share) | $ 62.89 | $ 41.34 | |
Number of shares issued per right (in shares) | 2 | ||
Vesting period of awards (in years) | 3 years | ||
Performance Restricted Stock Units, Tied to Relative TSR | |||
Employee benefit plans [Line Items] | |||
Granted (in dollars per share) | $ 62.89 | 52.04 | $ 41.03 |
Number of shares issued per right (in shares) | 2.5 | ||
Restricted Stock Awards | |||
Employee benefit plans [Line Items] | |||
Unrecognized compensation expense | $ 700,000 | ||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 3 months 18 days | ||
Granted (in dollars per share) | $ 59.47 | $ 51.34 | $ 28.12 |
Total fair value of awards vested | $ 2,300,000 | $ 1,900,000 | $ 2,300,000 |
Assured Guaranty Ltd. 2004 Long-Term Incentive Plan | |||
Employee benefit plans [Line Items] | |||
Maximum number of common shares that may be delivered (in shares) | 18,670,000 | ||
Assured Guaranty Ltd. 2004 Long-Term Incentive Plan | Stock Options | |||
Employee benefit plans [Line Items] | |||
Number of common shares available for grant (in shares) | 8,059,991 | ||
Employee Stock Purchase Plan | Employee Stock | |||
Employee benefit plans [Line Items] | |||
Number of common shares available for grant (in shares) | 65,042 | ||
Value of shares that can be purchased as a percentage of participant's compensation | 10% | ||
Value of shares that can be purchased | $ 25,000 | ||
Purchase price of shares as a percentage of the fair market value of the stock | 85% | ||
Capital shares reserved for future issuance (in shares) | 850,000 |
Employee Benefit Plans - Awards
Employee Benefit Plans - Awards Activity (Details) - $ / shares | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Restricted Stock Units (RSUs) | |||
Restricted Stock Award and Restricted Stock Unit Activity | |||
Nonvested at the beginning of the period (in shares) | 906,302 | ||
Granted (in shares) | 441,436 | ||
Vested (in shares) | (279,089) | ||
Forfeited (in shares) | (1,583) | ||
Nonvested at the end of the period (in shares) | 1,067,066 | 906,302 | |
Weighted Average Grant-Date Fair Value | |||
Nonvested at the beginning of the period (in dollars per share) | $ 43.25 | ||
Granted (in dollars per share) | 56.46 | $ 44.08 | $ 41.31 |
Vested (in dollars per share) | 41.26 | ||
Forfeited (in dollars per share) | 47.39 | ||
Nonvested at the end of the period (in dollars per share) | $ 49.18 | $ 43.25 | |
Performance Restricted Stock Units | |||
Restricted Stock Award and Restricted Stock Unit Activity | |||
Nonvested at the beginning of the period (in shares) | 614,912 | ||
Granted (in shares) | 217,551 | 94,209 | |
Vested (in shares) | (197,078) | ||
Forfeited (in shares) | 0 | ||
Nonvested at the end of the period (in shares) | 635,385 | 614,912 | |
Weighted Average Grant-Date Fair Value | |||
Nonvested at the beginning of the period (in dollars per share) | $ 46.25 | ||
Granted (in dollars per share) | 62.89 | $ 41.34 | |
Vested (in dollars per share) | 41.34 | ||
Forfeited (in dollars per share) | 0 | ||
Nonvested at the end of the period (in dollars per share) | $ 54.26 | $ 46.25 | |
Excluded due to nonperformance (in shares) | 167,942 | ||
Restricted Stock Awards | |||
Restricted Stock Award and Restricted Stock Unit Activity | |||
Nonvested at the beginning of the period (in shares) | 44,797 | ||
Granted (in shares) | 36,403 | ||
Vested (in shares) | (44,797) | ||
Forfeited (in shares) | 0 | ||
Nonvested at the end of the period (in shares) | 36,403 | 44,797 | |
Weighted Average Grant-Date Fair Value | |||
Nonvested at the beginning of the period (in dollars per share) | $ 51.34 | ||
Granted (in dollars per share) | 59.47 | $ 51.34 | $ 28.12 |
Vested (in dollars per share) | 51.34 | ||
Forfeited (in dollars per share) | 0 | ||
Nonvested at the end of the period (in dollars per share) | $ 59.47 | $ 51.34 |
Employee Benefit Plans - Weight
Employee Benefit Plans - Weighted Average Assumptions on Option Pricing (Details) - Performance Restricted Stock Units - $ / shares | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Employee benefit plans [Line Items] | |||
Expected term (in years) | 2 years 10 months 6 days | 2 years 10 months 6 days | 2 years 10 months 2 days |
Dividend yield (as a percent) | 0% | 0% | 0% |
Risk free interest rate (as a percent) | 1.74% | 0.22% | 1.14% |
Weighted average grant date fair value (in dollars per share) | $ 83.97 | $ 60.06 | $ 38.96 |
Minimum | |||
Employee benefit plans [Line Items] | |||
Expected volatility (as a percent) | 27.19% | 26.55% | 11.93% |
Maximum | |||
Employee benefit plans [Line Items] | |||
Expected volatility (as a percent) | 78.96% | 65.84% | 48.12% |
Employee Benefit Plans - Stock
Employee Benefit Plans - Stock Purchase Plan (Details) - Employee Stock - Employee Stock Purchase Plan - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Employee benefit plans [Line Items] | |||
Proceeds from purchase of shares by employees | $ 2.4 | $ 2.1 | $ 1.5 |
Number of shares issued by the Company (in shares) | 53,453 | 67,615 | 72,797 |
Employee Benefit Plans - Share-
Employee Benefit Plans - Share-Based Compensation Expense (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Share-Based Payment Arrangement [Abstract] | |||
Share‑based compensation expense | $ 39 | $ 27 | $ 25 |
Share‑based compensation capitalized as DAC | 3 | 2 | 1 |
Income tax benefit | $ 6 | $ 4 | $ 4 |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Taxes [Line Items] | ||||
Operating loss carryforwards | $ 121 | |||
Decrease in valuation allowance | $ 19 | $ 0 | ||
Realization assessment period | 3 years | |||
Interest and penalties related to uncertain tax positions | $ 0 | 0 | $ 0.3 | |
Unrecognized tax benefits that would impact effective tax rate | 0 | 0 | 0 | |
Less: Valuation allowance | 5 | $ 24 | 24 | $ 36 |
Decrease resulting from settlements with taxing authorities | $ (15) | |||
CIFG Holding Inc. | ||||
Income Taxes [Line Items] | ||||
Operating loss carryforwards | $ 189 | |||
U.K. | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 19% | |||
France | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 25% | 27.50% | 28% | |
U.S. | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 21% |
Income Taxes - Deferred and Cur
Income Taxes - Deferred and Current Tax Assets (Liabilities) (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Income Tax Disclosure [Abstract] | ||
Deferred tax asset, net | $ 114 | |
Net deferred tax assets (liabilities) | $ (33) | |
Net current tax assets (liabilities) | $ 63 | $ (43) |
Income Taxes - Components of Ne
Income Taxes - Components of Net Deferred Tax Assets (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Deferred tax assets: | ||||
Unearned premium reserves, net | $ 26 | $ 51 | ||
Net unrealized investment losses | 70 | 0 | ||
Net unrealized investment losses | 7 | 0 | ||
Rent | 18 | 17 | ||
Foreign tax credit | 5 | 24 | ||
Net operating loss | 25 | 28 | ||
Depreciation | 30 | 27 | ||
Deferred compensation | 30 | 29 | ||
Deferred balances related to non-U.S. affiliates | 14 | 0 | ||
Other | 23 | 19 | ||
Total deferred tax assets | 248 | 195 | ||
Deferred tax liabilities: | ||||
Net unrealized investment gains | 0 | 74 | ||
Investments | 0 | 30 | ||
DAC | 20 | 20 | ||
Loss and LAE reserve | 74 | 44 | ||
Lease | 14 | 16 | ||
Other | 21 | 20 | ||
Total deferred tax liabilities | 129 | 204 | ||
Less: Valuation allowance | 5 | 24 | $ 24 | $ 36 |
Net deferred tax assets (liabilities) | $ (33) | |||
Net deferred tax assets (liabilities) | $ 114 |
Income Taxes - Effective Tax Ra
Income Taxes - Effective Tax Rate Reconciliation and Pretax Income (Loss) and Revenue by Tax Jurisdiction (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Pre-tax Income Taxes and Revenue [Line Items] | |||
Expected tax provision (benefit) | $ 23 | $ 76 | $ 83 |
Tax-exempt interest | (14) | (19) | (20) |
Change in liability for uncertain tax positions | 0 | 0 | (17) |
Return to provision adjustment | (20) | (4) | (7) |
Noncontrolling interest | (3) | (8) | (1) |
State taxes | 12 | 7 | 4 |
Taxes on reinsurance | 0 | (2) | 9 |
Foreign taxes | 6 | 8 | (3) |
Stock based compensation | 5 | 4 | 0 |
Other | 2 | (4) | (3) |
Total provision (benefit) for income taxes | $ 11 | $ 58 | $ 45 |
Effective tax rate | 7.20% | 12.20% | 10.90% |
Total | $ 148 | $ 477 | $ 413 |
Total revenues | 723 | 848 | 1,115 |
U.S. | |||
Pre-tax Income Taxes and Revenue [Line Items] | |||
Total | 189 | 378 | 385 |
Total revenues | 661 | 685 | 894 |
Bermuda | |||
Pre-tax Income Taxes and Revenue [Line Items] | |||
Total | 44 | 115 | 16 |
Total revenues | 84 | 123 | 151 |
U.K. | |||
Pre-tax Income Taxes and Revenue [Line Items] | |||
Total | (69) | (8) | 13 |
Total revenues | (15) | 41 | 60 |
France | |||
Pre-tax Income Taxes and Revenue [Line Items] | |||
Total | (16) | (8) | (1) |
Total revenues | (8) | (3) | 6 |
Other | |||
Pre-tax Income Taxes and Revenue [Line Items] | |||
Total revenues | $ 1 | $ 2 | $ 4 |
Insurance Company Regulatory _3
Insurance Company Regulatory Requirements - Narrative (Details) € in Millions, £ in Millions, $ in Millions | 12 Months Ended | ||||||||
Dec. 31, 2022 USD ($) | Dec. 31, 2023 USD ($) | Mar. 31, 2023 USD ($) | Dec. 31, 2022 GBP (£) | Dec. 31, 2022 USD ($) | Dec. 31, 2022 EUR (€) | Dec. 31, 2021 GBP (£) | Dec. 31, 2021 USD ($) | Dec. 31, 2021 EUR (€) | |
AGUK | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Own Funds | £ 592 | $ 716 | £ 591 | $ 800 | |||||
AGE | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Own Funds | 56 | € 52 | $ 66 | € 58 | |||||
Assured Guaranty Municipal Corp And Municipal Assurance Corp | NEW YORK | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Threshold for dividend payments as a percentage of policyholder surplus | 10% | ||||||||
Threshold for dividend payments, percentage of adjusted net investment income | 100% | ||||||||
Assured Guaranty Municipal Corp | NEW YORK | Forecast | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, current year | $ 209 | ||||||||
Amount available for distribution, next fiscal quarter | $ 40 | ||||||||
AGC | Maryland | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Threshold for dividend payments as a percentage of policyholder surplus | 10% | ||||||||
Threshold for dividend payments, percentage of adjusted net investment income | 100% | ||||||||
AGC | Maryland | Forecast | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, next fiscal quarter | $ 20 | ||||||||
AGC | Maryland | AGC | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, current year | 102 | ||||||||
AG Re | Bermuda | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, current year | 210 | ||||||||
Dividend payment restrictions, percentage of statutory capital | 15% | ||||||||
Dividend restrictions on statutory capital and surplus (as a percent) | 25% | ||||||||
Capital distributions | $ 129 | ||||||||
Statutory surplus | 210 | ||||||||
Unencumbered assets | 138 | ||||||||
Statutory amount available for dividend payments, deficit | (19) | ||||||||
AGRO | Bermuda | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, current year | 98 | ||||||||
Capital distributions | $ 21 | ||||||||
Statutory surplus | 98 | ||||||||
Unencumbered assets | 374 | ||||||||
Statutory amount available for dividend payments | $ (253) |
Insurance Company Regulatory _4
Insurance Company Regulatory Requirements - Insurance Regulatory Amounts Reported (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Assured Guaranty Municipal Corp | |||
Statutory Accounting Practices [Line Items] | |||
Policyholders’ Surplus | $ 2,747 | $ 3,053 | |
Net Income (Loss) | 163 | 352 | $ 398 |
Statutory capital and surplus required | 855 | 877 | |
AGC | |||
Statutory Accounting Practices [Line Items] | |||
Policyholders’ Surplus | 1,916 | 2,070 | |
Net Income (Loss) | 62 | 282 | 73 |
Statutory capital and surplus required | 347 | 348 | |
AG Re | |||
Statutory Accounting Practices [Line Items] | |||
Policyholders’ Surplus | 839 | 944 | |
Net Income (Loss) | 53 | 121 | 24 |
AGRO | |||
Statutory Accounting Practices [Line Items] | |||
Policyholders’ Surplus | 390 | 425 | |
Net Income (Loss) | $ 9 | $ 6 | $ 7 |
Insurance Company Regulatory _5
Insurance Company Regulatory Requirements - Dividends and Surplus Notes By Insurance Company Subsidiaries (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Statutory Accounting Practices [Line Items] | |||
Dividends paid | $ 64 | $ 66 | $ 69 |
AGC | AGC | Affiliated Entity | |||
Statutory Accounting Practices [Line Items] | |||
Dividends paid | 207 | 94 | 166 |
Assured Guaranty Municipal Corp | AGMH | Affiliated Entity | |||
Statutory Accounting Practices [Line Items] | |||
Dividends paid | 266 | 291 | 267 |
Assured Guaranty Municipal Corp | AGE | Affiliated Entity | |||
Statutory Accounting Practices [Line Items] | |||
Contributions | 0 | 0 | (123) |
AG Re | Assured Guaranty LTD | Fixed-maturity securities | |||
Statutory Accounting Practices [Line Items] | |||
Dividend from a subsidiary in the form of fixed-maturity securities | 0 | 46 | 47 |
AG Re | Assured Guaranty LTD | Affiliated Entity | |||
Statutory Accounting Practices [Line Items] | |||
Dividends paid | 0 | 150 | 150 |
AGUK | Assured Guaranty Municipal Corp | Affiliated Entity | |||
Statutory Accounting Practices [Line Items] | |||
Dividends paid | $ 0 | $ 0 | $ 124 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Millions | 1 Months Ended | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | ||||
Net expenses from transactions with related parties | $ 2 | $ 2.4 | $ 3.4 | |
Due to related parties | 1 | 3 | ||
Due from related parties | 3 | 4 | ||
Other income (loss) | $ 15 | $ 21 | 38 | |
Executive Officer | ||||
Related Party Transaction [Line Items] | ||||
Shares cancelled (in shares) | 385,777 | |||
Other income (loss) | 12 | |||
Equity in Earnings (Losses) of Investees | ||||
Related Party Transaction [Line Items] | ||||
Revenue from related parties | $ 0.5 | |||
Wellington Management Company LLP | ||||
Related Party Transaction [Line Items] | ||||
Ownership percentage by noncontrolling owners | 5% | 5% | ||
BlackRock Financial Management Inc. | ||||
Related Party Transaction [Line Items] | ||||
Ownership percentage by noncontrolling owners | 5% | 5% |
Leases - Narrative (Details)
Leases - Narrative (Details) ft² in Thousands, $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 USD ($) ft² | Dec. 31, 2021 USD ($) | Dec. 31, 2020 USD ($) | |
Lessee, Lease, Description [Line Items] | |||
Lease space | ft² | 271 | ||
Total lease assets | $ 87 | $ 100 | |
Total lease liability | $ 116 | $ 136 | |
Weighted average remaining lease term | 8 years 2 months 12 days | 8 years 7 months 6 days | |
Weighted average discount rate | 2.49% | 2.40% | |
ROU asset impairment | $ 13 |
Leases - Components of Lease Ex
Leases - Components of Lease Expense and Other Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Leases [Abstract] | |||
Operating lease cost | $ 16 | $ 16 | $ 30 |
Other lease costs | 3 | 3 | 4 |
Sublease income | (7) | (5) | (3) |
Total lease cost | 12 | 14 | 31 |
Operating cash outflows for operating leases | 23 | 20 | 19 |
ROU assets obtained in exchange for new operating lease liabilities | $ 1 | $ 35 | 4 |
ROU asset impairment | $ 13 |
Leases - Future Minimum Rental
Leases - Future Minimum Rental Payments (Details) $ in Millions | Dec. 31, 2022 USD ($) |
Lessee, Operating Lease, Liability, Payment, Due [Abstract] | |
2023 | $ 23 |
2024 | 16 |
2025 | 13 |
2026 | 12 |
2027 | 12 |
Thereafter | 53 |
Total lease payments | 129 |
Less: Imputed interest | $ 13 |
Operating Lease, Liability, Statement of Financial Position [Extensible List] | Other liabilities |
Total lease liabilities | $ 116 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - LBIE vs. AG Financial Products $ in Millions | Apr. 10, 2015 USD ($) | Nov. 28, 2011 USD ($) Transaction |
AG Financial Products Inc. | Positive Outcome of Litigation | Pending Litigation | ||
Commitments and Contingencies Legal Proceedings | ||
Termination payments which LBIE owes to AG financial products as per calculation of AG financial products | $ 4 | |
Payment for termination of other credit derivative transactions | $ 21 | |
Lehman Brothers International (Europe) | ||
Commitments and Contingencies Legal Proceedings | ||
Number of credit derivative transactions alleged to be improperly terminated | Transaction | 28 | |
Lehman Brothers International (Europe) | Positive Outcome of Litigation | Minimum | ||
Commitments and Contingencies Legal Proceedings | ||
Gain contingency, unrecorded amount | $ 200 | |
Lehman Brothers International (Europe) | Positive Outcome of Litigation | Maximum | ||
Commitments and Contingencies Legal Proceedings | ||
Gain contingency, unrecorded amount | $ 500 | |
Lehman Brothers International (Europe) | Positive Outcome of Litigation | Pending Litigation | ||
Commitments and Contingencies Legal Proceedings | ||
Termination payments which AG Financial Products owes to LBIE as per calculation of LBIE | $ 1,400 | |
Guarantee Obligations | AG Financial Products Inc. | ||
Commitments and Contingencies Legal Proceedings | ||
Number of credit derivative transactions for which termination payment is alleged to be improperly calculated | Transaction | 9 |
Shareholders' Equity - Share Is
Shareholders' Equity - Share Issuance (Details) | 12 Months Ended | |
Dec. 31, 2022 USD ($) votePerShare $ / shares shares | Dec. 31, 2021 $ / shares shares | |
Equity [Abstract] | ||
Authorized share capital | $ | $ 5,000,000 | |
Common stock, shares authorized (in shares) | shares | 500,000,000 | 500,000,000 |
Common stock par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 |
Number of votes per share of common stock | votePerShare | 1 | |
Percentage of controlled shares | 9.50% | |
Percentage of voting power held by one shareholder | 75% |
Shareholders' Equity - Shares R
Shareholders' Equity - Shares Repurchased (Details) - USD ($) | 2 Months Ended | 12 Months Ended | ||||
Feb. 28, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Aug. 03, 2022 | Feb. 23, 2022 | |
Equity, Class of Treasury Stock [Line Items] | ||||||
Total payments | $ 500,000,000 | $ 496,000,000 | $ 446,000,000 | |||
Common Shares | ||||||
Equity, Class of Treasury Stock [Line Items] | ||||||
Authorized repurchase amount | $ 250,000,000 | $ 350,000,000 | ||||
Number of shares repurchased (in shares) | 8,847,981 | 10,519,040 | 15,787,804 | |||
Total payments | $ 503,000,000 | $ 496,000,000 | $ 446,000,000 | |||
Average Price Paid Per Share (in dollars per share) | $ 56.79 | $ 47.19 | $ 28.23 | |||
Subsequent Event | Common Shares | ||||||
Equity, Class of Treasury Stock [Line Items] | ||||||
Remaining shares authorized to be repurchased, amount | $ 201,000,000 | |||||
Number of shares repurchased (in shares) | 36,369 | |||||
Total payments | $ 2,000,000 | |||||
Average Price Paid Per Share (in dollars per share) | $ 62.23 |
Shareholders' Equity - Deferred
Shareholders' Equity - Deferred Compensation (Details) - AGC - Supplemental Employee Retirement Plan | 12 Months Ended | |
Dec. 31, 2022 Unit shares | Dec. 31, 2021 Unit | |
Defined Benefit Plan Disclosure [Line Items] | ||
Number of AGL common shares represented by each unit in employer stock fund (in shares) | shares | 1 | |
Number of units in AGC SERP (in units) | Unit | 74,309 | 74,309 |
Shareholders' Equity - Dividend
Shareholders' Equity - Dividends (Details) - $ / shares | 12 Months Ended | |||
Feb. 22, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Class of Stock [Line Items] | ||||
Dividends (in dollars per share) | $ 1 | $ 0.88 | $ 0.80 | |
Dividends paid (in dollars per share) | $ 0.25 | |||
Subsequent Event | ||||
Class of Stock [Line Items] | ||||
Dividends (in dollars per share) | $ 0.28 | |||
Percentage increase in common stock dividends | 12% |
Other Comprehensive Income - Ch
Other Comprehensive Income - Changes in AOCI by Component (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | $ 6,292 | ||
Other comprehensive income (loss) before reclassifications | (871) | $ (187) | $ 169 |
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | (56) | 15 | 18 |
Net investment income | 269 | 269 | 297 |
Interest expense | (81) | (87) | (85) |
Income (loss) before income taxes | 148 | 477 | 413 |
Tax (provision) benefit | (11) | (58) | (45) |
Total amount reclassified from AOCI, net of tax | (56) | 11 | 13 |
Other comprehensive income (loss) | (815) | (198) | 156 |
Ending balance | 5,064 | 6,292 | |
Reclassification out of Accumulated Other Comprehensive Income | |||
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | (65) | 14 | 14 |
Fair value gains (losses) on FG VIEs | (3) | (3) | |
Interest expense | 0 | 1 | |
Income (loss) before income taxes | (68) | 12 | 14 |
Tax (provision) benefit | 12 | (1) | (1) |
Total AOCI | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 300 | 498 | 342 |
Less: Amounts reclassified from AOCI to: | |||
Ending balance | (515) | 300 | 498 |
Total AOCI | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 0 | ||
Net Unrealized Gains (Losses) on Investments with: No Credit Impairment | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 375 | 577 | 352 |
Other comprehensive income (loss) before reclassifications | (755) | (184) | 189 |
Less: Amounts reclassified from AOCI to: | |||
Total amount reclassified from AOCI, net of tax | (37) | 18 | 26 |
Other comprehensive income (loss) | (718) | (202) | 163 |
Ending balance | (343) | 375 | 577 |
Net Unrealized Gains (Losses) on Investments with: No Credit Impairment | Reclassification out of Accumulated Other Comprehensive Income | |||
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | (44) | 21 | 30 |
Fair value gains (losses) on FG VIEs | 0 | 0 | |
Interest expense | 0 | 0 | |
Income (loss) before income taxes | (44) | 21 | 30 |
Tax (provision) benefit | 7 | (3) | (4) |
Net Unrealized Gains (Losses) on Investments with: No Credit Impairment | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 62 | ||
Net Unrealized Gains (Losses) on Investments with: Credit Impairment | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (24) | (30) | 48 |
Other comprehensive income (loss) before reclassifications | (103) | 0 | (29) |
Less: Amounts reclassified from AOCI to: | |||
Total amount reclassified from AOCI, net of tax | (17) | (6) | (13) |
Other comprehensive income (loss) | (86) | 6 | (16) |
Ending balance | (110) | (24) | (30) |
Net Unrealized Gains (Losses) on Investments with: Credit Impairment | Reclassification out of Accumulated Other Comprehensive Income | |||
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | (21) | (7) | (16) |
Fair value gains (losses) on FG VIEs | 0 | 0 | |
Interest expense | 0 | 0 | |
Income (loss) before income taxes | (21) | (7) | (16) |
Tax (provision) benefit | 4 | 1 | 3 |
Net Unrealized Gains (Losses) on Investments with: Credit Impairment | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (62) | ||
ISCR on FG VIEs’ Liabilities with Recourse | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (21) | (20) | (27) |
Other comprehensive income (loss) before reclassifications | (4) | (3) | 7 |
Less: Amounts reclassified from AOCI to: | |||
Total amount reclassified from AOCI, net of tax | (2) | (2) | 0 |
Other comprehensive income (loss) | (2) | (1) | 7 |
Ending balance | (23) | (21) | (20) |
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 |
Fair value gains (losses) on FG VIEs | (3) | (3) | |
Interest expense | 0 | 0 | |
Income (loss) before income taxes | (3) | (3) | 0 |
Tax (provision) benefit | 1 | 1 | 0 |
ISCR on FG VIEs’ Liabilities with Recourse | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 0 | ||
Cumulative Translation Adjustment | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (36) | (36) | (38) |
Other comprehensive income (loss) before reclassifications | (9) | 0 | 2 |
Less: Amounts reclassified from AOCI to: | |||
Total amount reclassified from AOCI, net of tax | 0 | 0 | 0 |
Other comprehensive income (loss) | (9) | 0 | 2 |
Ending balance | (45) | (36) | (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 |
Fair value gains (losses) on FG VIEs | 0 | 0 | |
Interest expense | 0 | 0 | |
Income (loss) before income taxes | 0 | 0 | 0 |
Tax (provision) benefit | 0 | 0 | 0 |
Cumulative Translation Adjustment | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 0 | ||
Cash Flow Hedge | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 6 | 7 | 7 |
Other comprehensive income (loss) before reclassifications | 0 | 0 | 0 |
Less: Amounts reclassified from AOCI to: | |||
Total amount reclassified from AOCI, net of tax | 0 | 1 | 0 |
Other comprehensive income (loss) | 0 | (1) | 0 |
Ending balance | 6 | 6 | 7 |
Cash Flow Hedge | Reclassification out of Accumulated Other Comprehensive Income | |||
Less: Amounts reclassified from AOCI to: | |||
Net realized investment gains (losses) | 0 | 0 | 0 |
Fair value gains (losses) on FG VIEs | 0 | 0 | |
Interest expense | 0 | 1 | |
Income (loss) before income taxes | 0 | 1 | 0 |
Tax (provision) benefit | $ 0 | $ 0 | 0 |
Cash Flow Hedge | Effect of adoption of accounting guidance on credit losses | |||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning balance | $ 0 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Basic EPS: | |||
Net income (loss) attributable to AGL | $ 124 | $ 389 | $ 362 |
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 1 | 0 | 1 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 123 | $ 389 | $ 361 |
Basic shares (in shares) | 62.9 | 73.5 | 85.5 |
Basic EPS (in dollars per share) | $ 1.95 | $ 5.29 | $ 4.22 |
Diluted EPS: | |||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 123 | $ 389 | $ 361 |
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | 0 | 0 | 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ 123 | $ 389 | $ 361 |
Basic shares (in shares) | 62.9 | 73.5 | 85.5 |
Dilutive securities: Options and restricted stock awards (in shares) | 1 | 0.8 | 0.7 |
Diluted shares (in shares) | 63.9 | 74.3 | 86.2 |
Diluted EPS (in dollars per share) | $ 1.92 | $ 5.23 | $ 4.19 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | 0.6 | 0.1 | 0.8 |
Parent Company - Condensed Bala
Parent Company - Condensed Balance Sheets (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Condensed Balance Sheet Statements, Captions [Line Items] | ||
Other assets | $ 597 | $ 470 |
Total assets | 16,843 | 18,208 |
Other liabilities | 457 | 569 |
Total liabilities | 11,551 | 11,708 |
Total shareholders’ equity attributable to AGL | 5,064 | 6,292 |
Total liabilities, redeemable noncontrolling interests and shareholders’ equity | 16,843 | 18,208 |
Assured Guaranty Ltd. (Parent) | ||
Condensed Balance Sheet Statements, Captions [Line Items] | ||
Investments | 26 | 188 |
Investments in subsidiaries | 4,984 | 5,994 |
Dividends receivable from subsidiaries | 18 | 81 |
Other assets | 58 | 46 |
Total assets | 5,086 | 6,309 |
Other liabilities | 22 | 17 |
Total liabilities | 22 | 17 |
Total shareholders’ equity attributable to AGL | 5,064 | 6,292 |
Total liabilities, redeemable noncontrolling interests and shareholders’ equity | $ 5,086 | $ 6,309 |
Parent Company - Condensed Stat
Parent Company - Condensed Statements of Operations and Comprehensive Income (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Condensed Income Statements, Captions [Line Items] | |||
Net investment income | $ 269 | $ 269 | $ 297 |
Net realized investment gains (losses) | (56) | 15 | 18 |
Total revenues | 723 | 848 | 1,115 |
Other expenses | 167 | 179 | 197 |
Total expenses | 536 | 465 | 729 |
Income (loss) before income taxes and equity in earnings (losses) of investees | 187 | 383 | 386 |
Equity in earnings (losses) of investees | (39) | 94 | 27 |
Net income (loss) attributable to Assured Guaranty Ltd. | 124 | 389 | 362 |
Other comprehensive income (loss) | (815) | (198) | 156 |
Comprehensive income (loss) attributable to Assured Guaranty Ltd. | (691) | 191 | 518 |
Assured Guaranty Ltd. (Parent) | |||
Condensed Income Statements, Captions [Line Items] | |||
Net investment income | 3 | 1 | 0 |
Net realized investment gains (losses) | (4) | 0 | 0 |
Total revenues | (1) | 1 | 0 |
Other expenses | 45 | 35 | 34 |
Total expenses | 45 | 35 | 34 |
Income (loss) before income taxes and equity in earnings (losses) of investees | (46) | (34) | (34) |
Equity in earnings (losses) of investees | 170 | 423 | 396 |
Net income (loss) attributable to Assured Guaranty Ltd. | 124 | 389 | 362 |
Other comprehensive income (loss) | (815) | (198) | 156 |
Comprehensive income (loss) attributable to Assured Guaranty Ltd. | $ (691) | $ 191 | $ 518 |
Parent Company - Condensed St_2
Parent Company - Condensed Statement of Cash Flows (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net income | $ 124 | $ 389 | $ 362 |
Equity in earnings (losses) of investees | 39 | (94) | (27) |
Net realized investment gains (losses) | 56 | (15) | (18) |
Net cash flows provided by (used in) operating activities | (2,479) | (1,937) | (853) |
Purchases | (63) | 0 | (85) |
Sales | 0 | 0 | (5) |
Maturities and paydowns | 682 | 1,148 | 878 |
Net cash flows provided by (used in) investing activities | 1,740 | 23 | 788 |
Dividends paid | (64) | (66) | (69) |
Repurchases of common shares | (500) | (496) | (446) |
Other | (6) | 26 | (10) |
Net cash flows provided by (used in) financing activities | 612 | 1,960 | 183 |
Increase (decrease) in cash and cash equivalents and restricted cash | (135) | 44 | 115 |
Cash and cash equivalents and restricted cash at beginning of period | 342 | 298 | 183 |
Cash and cash equivalents and restricted cash at end of period | 207 | 342 | 298 |
AG Re | Assured Guaranty LTD | Fixed-maturity securities | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Dividend from a subsidiary in the form of fixed-maturity securities | 0 | 46 | 47 |
Assured Guaranty Ltd. (Parent) | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net income | 124 | 389 | 362 |
Equity in earnings (losses) of investees | (170) | (423) | (396) |
Net realized investment gains (losses) | 4 | 0 | 0 |
Cash dividends from subsidiaries | 437 | 539 | 547 |
Other | 32 | 22 | 19 |
Net cash flows provided by (used in) operating activities | 427 | 527 | 532 |
Purchases | 0 | 0 | (4) |
Sales | 52 | 0 | 0 |
Maturities and paydowns | 5 | 4 | 0 |
Net sales (purchases) of short-term investments with original maturities of less than three months | 92 | 41 | (3) |
Net cash flows provided by (used in) investing activities | 149 | 45 | (7) |
Dividends paid | (64) | (66) | (69) |
Repurchases of common shares | (500) | (496) | (446) |
Other | (12) | (10) | (10) |
Net cash flows provided by (used in) financing activities | (576) | (572) | (525) |
Increase (decrease) in cash and cash equivalents and restricted cash | 0 | 0 | 0 |
Cash and cash equivalents and restricted cash at beginning of period | 0 | 0 | 0 |
Cash and cash equivalents and restricted cash at end of period | $ 0 | $ 0 | $ 0 |
Parent Company - Narrative (Det
Parent Company - Narrative (Details) - Revolving Credit Facility - Line of Credit - Affiliated Entity - USD ($) | Dec. 31, 2022 | Oct. 25, 2013 |
Line of Credit Facility [Line Items] | ||
Interest rate, as a percentage of Federal short-term or mid-term interest rate | 100% | |
Intercompany Loans Payable | Assured Guaranty LTD | ||
Line of Credit Facility [Line Items] | ||
Related party, maximum borrowing capacity | $ 225,000,000 | |
Outstanding amount | $ 0 |