Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Feb. 23, 2016 | Jun. 30, 2015 | |
Document And Entity Information [Abstract] | |||
Entity Registrant Name | ASSURED GUARANTY LTD | ||
Entity Central Index Key | 1,273,813 | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2015 | ||
Amendment Flag | false | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Public Float | $ 3,501,022,807 | ||
Entity Common Stock, Shares Outstanding | 135,925,921 | ||
Document Fiscal Year Focus | 2,015 | ||
Document Fiscal Period Focus | FY |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |
Investment portfolio: | |||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $10,275 and $9,972) | $ 10,627 | $ 10,491 | |
Short-term investments, at fair value | 396 | 767 | |
Other invested assets | 169 | 126 | |
Total investment portfolio | 11,192 | 11,384 | |
Cash | 166 | 75 | |
Premiums receivable, net of commissions payable | 693 | 729 | |
Ceded unearned premium reserve | 232 | 381 | |
Deferred acquisition costs | 114 | 121 | |
Reinsurance recoverable on unpaid losses | 69 | 78 | |
Salvage and subrogation recoverable | 126 | 151 | |
Credit derivative assets | 81 | 68 | |
Deferred tax asset, net | 276 | 260 | |
Current income tax receivable | 40 | 0 | |
Financial guaranty variable interest entities’ assets, at fair value | 1,261 | [1] | 1,402 |
Other assets | 294 | 270 | |
Total assets | 14,544 | 14,919 | |
Liabilities and shareholders’ equity | |||
Unearned premium reserve | 3,996 | 4,261 | |
Loss and loss adjustment expense reserve | 1,067 | 799 | |
Reinsurance balances payable, net | 51 | 107 | |
Long-term debt | 1,300 | 1,297 | |
Credit derivative liabilities | 446 | 963 | |
Current income tax payable | 0 | 5 | |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 1,225 | [1] | 1,277 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 124 | [1] | 142 |
Other liabilities | 272 | 310 | |
Total liabilities | $ 8,481 | $ 9,161 | |
Commitments and contingencies | |||
Common stock ($0.01 par value, 500,000,000 shares authorized; 137,928,552 and 158,306,661 shares issued and outstanding) | $ 1 | $ 2 | |
Additional paid-in capital | 1,342 | 1,887 | |
Retained earnings | 4,478 | 3,494 | |
Accumulated other comprehensive income, net of tax of $104 and $159 | 237 | 370 | |
Deferred equity compensation (320,193 and 320,193 shares) | 5 | 5 | |
Total shareholders’ equity | 6,063 | 5,758 | |
Total liabilities and shareholders’ equity | $ 14,544 | $ 14,919 | |
[1] | The December 31, 2015 amounts include $111 million of FG VIE assets and $107 million of FG VIE liabilities acquired from Radian Asset. |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Statement of Financial Position [Abstract] | ||
Fixed-maturity securities, available-for-sale, at fair value | $ 10,275 | $ 9,972 |
Common stock par value (per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 137,928,552 | 158,306,661 |
Common stock, shares outstanding | 137,928,552 | 158,306,661 |
Accumulated other comprehensive income, tax provision | $ 104 | $ 159 |
Deferred equity compensation, shares | 320,193 | 320,193 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Millions | 12 Months Ended | |||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||||
Revenues | ||||||
Net earned premiums | [1] | $ 766 | $ 570 | $ 752 | ||
Net investment income | 423 | 403 | 393 | |||
Net realized investment gains (losses): | ||||||
Other-than-temporary impairment losses | (47) | (76) | (32) | |||
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income | 0 | (1) | 10 | |||
Net impairment loss | (47) | (75) | (42) | |||
Other net realized investment gains (losses) | 21 | 15 | 94 | |||
Net realized investment gains (losses) | (26) | (60) | 52 | |||
Net change in fair value of credit derivatives: | ||||||
Realized gains (losses) and other settlements | (18) | 23 | (42) | |||
Net unrealized gains (losses) | 746 | 800 | 107 | |||
Net change in fair value of credit derivatives | 728 | 823 | 65 | |||
Fair value gains (losses) on committed capital securities | 27 | (11) | 10 | |||
Fair value gains (losses) on financial guaranty variable interest entities | 38 | 255 | 346 | |||
Bargain purchase gain and settlement of pre-existing relationships | 214 | 0 | 0 | |||
Other income (loss) | 37 | 14 | (10) | |||
Total revenues | 2,207 | 1,994 | 1,608 | |||
Expenses | ||||||
Loss and loss adjustment expenses | 424 | 126 | 154 | |||
Amortization of deferred acquisition costs | 20 | 25 | 12 | |||
Interest expense | 101 | 92 | 82 | |||
Other operating expenses | 231 | 220 | 218 | |||
Total expenses | 776 | 463 | 466 | |||
Income (loss) before income taxes | 1,431 | 1,531 | 1,142 | |||
Provision (benefit) for income taxes | ||||||
Current | 75 | 96 | 157 | |||
Deferred | 300 | 347 | 177 | |||
Total provision (benefit) for income taxes | 375 | 443 | 334 | |||
Net income (loss) | $ 1,056 | $ 1,088 | $ 808 | |||
Earnings per share: | ||||||
Basic (in dollars per share) | $ 7.12 | [2] | $ 6.30 | [2] | $ 4.32 | |
Diluted (in dollars per share) | 7.08 | [2] | 6.26 | [2] | 4.30 | |
Dividends (in dollars per share) | $ 0.48 | [2] | $ 0.44 | [2] | $ 0.40 | |
[1] | Excludes $21 million, $32 million and $60 million for the year ended December 31, 2015, 2014 and 2013, respectively, related to consolidated FG VIEs. | |||||
[2] | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Statement of Comprehensive Income [Abstract] | |||
Net income (loss) | $ 1,056 | $ 1,088 | $ 808 |
Unrealized holding gains (losses) arising during the period on: | |||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $(36), $80 and $(106) | (93) | 196 | (309) |
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(23), $(9) and $(17) | (43) | (20) | (35) |
Unrealized holding gains (losses) arising during the period, net of tax | (136) | 176 | (344) |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(7), $(21) and $5 | (10) | (41) | 14 |
Change in net unrealized gains on investments | (126) | 217 | (358) |
Other, net of tax provision | (7) | (7) | 3 |
Other comprehensive income (loss) | (133) | 210 | (355) |
Comprehensive income (loss) | $ 923 | $ 1,298 | $ 453 |
Consolidated Statements of Com6
Consolidated Statements of Comprehensive Income (Parenthetical) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Statement of Comprehensive Income [Abstract] | |||
Investments with no other-than-temporary impairment, tax provision (benefit) | $ (36) | $ 80 | $ (106) |
Investments with other-than-temporary impairment, tax provision (benefit) | (23) | (9) | (17) |
Reclassification adjustment for gains (losses) included in net income (loss), tax provision (benefit) | $ (7) | $ (21) | $ 5 |
Consolidated Statement of Share
Consolidated Statement of Shareholders' Equity - USD ($) $ in Millions | Total | Common Stock | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income | Deferred Equity Compensation |
Beginning balance (in shares) at Dec. 31, 2012 | 194,003,297 | |||||
Beginning balance at Dec. 31, 2012 | $ 4,994 | $ 2 | $ 2,724 | $ 1,749 | $ 515 | $ 4 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 808 | 808 | ||||
Dividends (2013 $0.40, 2014 $0.44, 2015 $0.48 per share) | (75) | (75) | ||||
Common stock repurchases (in shares) | (12,512,759) | |||||
Common stock repurchases | (264) | (264) | ||||
Share-based compensation and other (in shares) | 687,328 | |||||
Share-based compensation and other | 7 | 6 | 1 | |||
Other comprehensive (income) loss | (355) | (355) | ||||
Ending balance (in shares) at Dec. 31, 2013 | 182,177,866 | |||||
Ending balance at Dec. 31, 2013 | 5,115 | $ 2 | 2,466 | 2,482 | 160 | 5 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 1,088 | 1,088 | ||||
Dividends (2013 $0.40, 2014 $0.44, 2015 $0.48 per share) | (76) | (76) | ||||
Common stock repurchases (in shares) | (24,413,781) | |||||
Common stock repurchases | (590) | (590) | ||||
Share-based compensation and other (in shares) | 542,576 | |||||
Share-based compensation and other | 11 | 11 | ||||
Other comprehensive (income) loss | 210 | 210 | ||||
Ending balance (in shares) at Dec. 31, 2014 | 158,306,661 | |||||
Ending balance at Dec. 31, 2014 | 5,758 | $ 2 | 1,887 | 3,494 | 370 | 5 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 1,056 | 1,056 | ||||
Dividends (2013 $0.40, 2014 $0.44, 2015 $0.48 per share) | (72) | (72) | ||||
Common stock repurchases (in shares) | (20,995,419) | |||||
Common stock repurchases | (555) | $ (1) | (554) | |||
Share-based compensation and other (in shares) | 617,310 | |||||
Share-based compensation and other | 9 | 9 | ||||
Other comprehensive (income) loss | (133) | (133) | ||||
Ending balance (in shares) at Dec. 31, 2015 | 137,928,552 | |||||
Ending balance at Dec. 31, 2015 | $ 6,063 | $ 1 | $ 1,342 | $ 4,478 | $ 237 | $ 5 |
Consolidated Statement of Shar8
Consolidated Statement of Shareholders' Equity (Parenthetical) - $ / shares | Feb. 04, 2015 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||||||||||
Statement of Stockholders' Equity [Abstract] | ||||||||||||||||||||||
Dividends, per share (in dollars per share) | $ 0.12 | $ 0.12 | [1] | $ 0.12 | [1] | $ 0.12 | [1] | $ 0.12 | [1] | $ 0.11 | [1] | $ 0.11 | [1] | $ 0.11 | [1] | $ 0.11 | [1] | $ 0.48 | [1] | $ 0.44 | [1] | $ 0.40 |
[1] | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Operating Activities: | |||
Net Income | $ 1,056 | $ 1,088 | $ 808 |
Adjustments to reconcile net income to net cash flows provided by operating activities: | |||
Non-cash interest and operating expenses | 27 | 23 | 19 |
Net amortization of premium (discount) on investments | (25) | (16) | (8) |
Provision (benefit) for deferred income taxes | 300 | 347 | 177 |
Net realized investment losses (gains) | 17 | 60 | (52) |
Net unrealized losses (gains) on credit derivatives | (746) | (800) | (107) |
Fair value losses (gains) on committed capital securities | (27) | 11 | (10) |
Bargain purchase gain and settlement of pre-existing relationships | (214) | 0 | 0 |
Change in deferred acquisition costs | 9 | 3 | (8) |
Change in premiums receivable, net of premiums and commissions payable | (8) | 108 | 86 |
Change in ceded unearned premium reserve | 79 | 69 | 109 |
Change in unearned premium reserve | (744) | (332) | (612) |
Change in loss and loss adjustment expense reserve, net | 244 | 182 | 136 |
Change in current income tax | (45) | (45) | 30 |
Change in financial guaranty variable interest entities' assets and liabilities, net | (6) | (170) | (295) |
(Purchases) sales of trading securities, net | 8 | 78 | (16) |
Other | 23 | (29) | (13) |
Net cash flows provided by (used in) operating activities | (52) | 577 | 244 |
Fixed-maturity securities: | |||
Purchases | (2,577) | (2,801) | (1,886) |
Sales | 2,107 | 1,251 | 1,029 |
Maturities | 898 | 877 | 883 |
Net sales (purchases) of short-term investments | 897 | 158 | (87) |
Net proceeds from paydowns on financial guaranty variable interest entities’ assets | 400 | 408 | 663 |
Acquisition of Radian Asset, net of cash acquired | (800) | 0 | 0 |
Other | 69 | 11 | 79 |
Net cash flows provided by (used in) investing activities | 994 | (96) | 681 |
Financing activities | |||
Dividends paid | (72) | (76) | (75) |
Repurchases of common stock | (555) | (590) | (264) |
Share activity under option and incentive plans | (2) | 1 | (1) |
Net paydowns of financial guaranty variable entities’ liabilities | (214) | (396) | (511) |
Net proceeds from issuance of long-term debt | 0 | 495 | 0 |
Repayment of long-term debt | (4) | (19) | (27) |
Net cash flows provided by (used in) financing activities | (847) | (585) | (878) |
Effect of foreign exchange rate changes | (4) | (5) | (1) |
Increase (decrease) in cash | 91 | (109) | 46 |
Cash at beginning of period | 75 | 184 | 138 |
Cash at end of period | 166 | 75 | 184 |
Supplemental cash flow information | |||
Income taxes | 103 | 122 | 110 |
Interest | $ 95 | $ 86 | $ 76 |
Business and Basis of Presentat
Business and Basis of Presentation | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Business and Basis of Presentation | Business and Basis of Presentation Business Assured Guaranty Ltd. (“AGL” and, together with its subsidiaries, “Assured Guaranty” or the “Company”) is a Bermuda-based holding company that provides, through its operating subsidiaries, credit protection products to the United States (“U.S.”) and international public finance (including infrastructure) and structured finance markets. The Company applies its credit underwriting judgment, risk management skills and capital markets experience to offer financial guaranty insurance that protects holders of debt instruments and other monetary obligations from defaults in scheduled payments. If an obligor defaults on a scheduled payment due on an obligation, including a scheduled principal or interest payment (“Debt Service”), the Company is required under its unconditional and irrevocable financial guaranty to pay the amount of the shortfall to the holder of the obligation. The Company markets its financial guaranty insurance directly to issuers and underwriters of public finance and structured finance securities as well as to investors in such obligations. The Company guarantees obligations issued principally in the U.S. and the United Kingdom ("U.K."), and also guarantees obligations issued in other countries and regions, including Australia and Western Europe. In the past, the Company sold credit protection by issuing policies that guaranteed payment obligations under credit derivatives, primarily credit default swaps ("CDS"). Financial guaranty contracts accounted for as credit derivatives are generally structured such that the circumstances giving rise to the Company’s obligation to make loss payments are similar to those for financial guaranty insurance contracts. The Company’s credit derivative transactions are governed by International Swaps and Derivative Association, Inc. (“ISDA”) documentation. The Company has not entered into any new CDS in order to sell credit protection since the beginning of 2009, when regulatory guidelines were issued that limited the terms under which such protection could be sold. The capital and margin requirements applicable under the Dodd-Frank Wall Street Reform and Consumer Protection Act also contributed to the Company not entering into such new CDS since 2009. The Company actively pursues opportunities to terminate existing CDS, which have the effect of reducing future fair value volatility in income and/or reducing rating agency capital charges. Basis of Presentation The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and, in the opinion of management, reflect all adjustments that are of a normal recurring nature, necessary for a fair statement of the financial condition, results of operations and cash flows of the Company and its consolidated variable interest entities (“VIEs”) for the periods presented. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, (collectively, the “Subsidiaries”), and its consolidated financial guaranty ("FG") VIEs. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. Certain prior year balances have been reclassified to conform to the current year's presentation. The Company's principal insurance company subsidiaries are: • Assured Guaranty Municipal Corp. ("AGM"), domiciled in New York; • Municipal Assurance Corp. ("MAC"), domiciled in New York; • Assured Guaranty Corp. ("AGC"), domiciled in Maryland; • Assured Guaranty (Europe) Ltd. ("AGE"), organized in the United Kingdom; and • Assured Guaranty Re Ltd. (“AG Re”), domiciled in Bermuda. The Company’s organizational structure includes various holding companies, two of which—Assured Guaranty US Holdings Inc. (“AGUS”) and Assured Guaranty Municipal Holdings Inc. (“AGMH”) – have public debt outstanding. See Note 16, Long-Term Debt and Credit Facilities. 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 translating foreign functional currency financial statements for U.S. GAAP reporting are recorded in other comprehensive income (loss) ("OCI"). Gains and losses relating to transactions in foreign denominations in subsidiaries where the functional currency is the U.S. dollar, are reported in the consolidated statement of operations. The chief operating decision maker manages the operations of the Company at a consolidated level. Therefore, all results of operations are reported as one segment. Other significant accounting policies are included in the following notes. Significant Accounting Policies Acquisition of Radian Asset Assurance Inc. Note 2 Expected loss to be paid (insurance, credit derivatives and FG VIE contracts) Note 5 Financial guaranty insurance (premium revenue recognition, loss and loss adjustment expense and policy acquisition cost) Note 6 Fair value measurement Note 7 Credit derivatives (at fair value) Note 8 Variable interest entities (at fair value) Note 9 Investments and cash Note 10 Income taxes Note 12 Earnings per share Note 17 Stock based compensation Note 19 Future Application of Accounting Standards Leases In February 2016, the FASB issued ASU 2016-02, Leases (Topic 842) . This ASU requires lessees to present right-of-use assets and lease liabilities on the balance sheet. ASU 2016-02 is to be applied using a modified retrospective approach at the beginning of the earliest comparative period in the financial statements. The ASU is effective for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. Early adoption is permitted. The Company is evaluating the impact that this ASU will have on its Consolidated Financial Statements. Financial Instruments In January 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities . The amendments in this ASU are intended to make targeted improvements to GAAP by addressing certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. One of the amendments pertains to liabilities that an entity has elected to measure at fair value in accordance with the fair value option for financial instruments. For these liabilities, the portion of fair value change related to credit risk will be separately presented in other comprehensive income. Currently, the entire change in the fair value of these liabilities is reflected in the income statement. The ASU is effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Entities will be required to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the fiscal year in which the guidance is adopted. For the Company, this would be as of January 1, 2018. Early adoption is permitted only for the amendment related to the change in presentation of financial liabilities that are fair valued using the fair value option. The Company is currently evaluating the effect of adopting this ASU on its Consolidated Financial Statements. Short Duration Insurance Contracts In May 2015, the FASB issued ASU 2015-09, Financial Services - Insurance (Topic 944) - Disclosures about Short-Duration Contracts. The primary objective of this ASU is to improve disclosures for insurance entities which issue short-duration contracts. The ASU 2015-09 will have no impact on the Company's financial statement disclosures. The ASU is effective for annual periods beginning after December 15, 2015, and interim periods within annual periods beginning after December 15, 2016. Consolidation In February 2015, the FASB issued ASU No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis , which is intended to improve certain areas of consolidation guidance for legal entities such as limited partnerships, limited liability companies, and securitization structures. The ASU will be effective on January 1, 2016. Early adoption is permitted, including adoption in an interim period. The Company does not expect that ASU 2015-02 will have an effect on its Consolidated Financial Statements. |
Acquisition of Radian Asset Ass
Acquisition of Radian Asset Assurance Inc. | 12 Months Ended |
Dec. 31, 2015 | |
Business Combinations [Abstract] | |
Acquisition of Radian Asset Assurance Inc. | Acquisition of Radian Asset Assurance Inc. On April 1, 2015 (“Acquisition Date”), AGC completed the acquisition (“Radian Asset Acquisition”) of all of the issued and outstanding capital stock of financial guaranty insurer Radian Asset Assurance Inc. (“Radian Asset”) for $804.5 million ; the cash consideration was paid from AGC's available funds and from the proceeds of a $200 million loan from AGC’s direct parent, AGUS. AGC repaid the loan in full to AGUS on April 14, 2015. Radian Asset was merged with and into AGC, with AGC as the surviving company of the merger. The Radian Asset Acquisition added $13.6 billion to the Company's net par outstanding on April 1, 2015, and is consistent with one of the Company's key business strategies of supplementing its book of business through acquisitions. The Radian Asset Acquisition was accounted for under the acquisition method of accounting which required that the assets and liabilities acquired be recorded at fair value. The Company was required to exercise significant judgment to determine the fair value of the assets it acquired and liabilities it assumed in the Radian Asset Acquisition. The most significant of these determinations related to the valuation of Radian Asset's financial guaranty insurance and credit derivative contracts. On an aggregate basis, Radian Asset’s contractual premiums for financial guaranty contracts were less than the premiums a market participant of similar credit quality would demand to acquire those contracts at the Acquisition Date, particularly for below-investment-grade ("BIG") transactions, resulting in a significant amount of the purchase price being allocated to these contracts. For information on the methodology the Company used to measure the fair value of assets it acquired and liabilities it assumed in the Radian Asset Acquisition, including financial guaranty insurance and credit derivative contracts, please refer to Note 7, Fair Value Measurement. The fair value of the Company's stand-ready obligation for financial guaranty insurance contracts on the Acquisition Date is recorded in unearned premium reserve (please refer to Note 6, Financial Guaranty Insurance for additional information on stand-ready obligation). At the Acquisition Date, the fair value of each financial guaranty insurance contract acquired was in excess of the expected losses for each contract and therefore no explicit loss reserves were recorded on the Acquisition Date. Loss reserves and loss and loss adjustment expenses ("LAE") are recorded when the expected losses for each contract exceeds the remaining unearned premium reserve, in accordance with the Company's accounting policy described in Note 6, Financial Guaranty Insurance. The expected losses assumed by the Company as part of the Radian Asset Acquisition are included in the description of expected losses to be paid under Note 5, Expected Loss to be Paid. The excess of the fair value of net assets acquired over the consideration transferred was recorded as a bargain purchase gain in "bargain purchase gain and settlement of pre-existing relationships" in net income. In addition, the Company and Radian Asset had pre-existing reinsurance relationships, which were effectively settled at fair value on the Acquisition Date. The gain on settlement of these pre-existing reinsurance relationships primarily represents the net difference between the historical ceded balances that were recorded by AGM and the fair value of assumed balances acquired from Radian Asset. The Company believes the bargain purchase resulted from the announced desire of Radian Guaranty Inc. to focus its business strategy on the mortgage and real estate markets and to monetize its investment in Radian Asset and thereby accelerate its ability to comply with the financial requirements of the final Private Mortgage Insurer Eligibility Requirements. The following table shows the net effect of the Radian Asset Acquisition at the Acquisition Date, including the effects of the settlement of pre-existing relationships. Fair Value of Net Assets Acquired, before Settlement of Pre-existing Relationships Net effect of Settlement of Pre-existing Relationships Net Effect of Radian Asset Acquisition (in millions) Cash purchase price(1) $ 804 $ — $ 804 Identifiable assets acquired: Investments 1,473 — 1,473 Cash 4 — 4 Ceded unearned premium reserve (3 ) (65 ) (68 ) Credit derivative assets 30 — 30 Deferred tax asset, net 263 (56 ) 207 Financial guaranty variable interest entities’ assets 122 — 122 Other assets 86 (67 ) 19 Total assets 1,975 (188 ) 1,787 Liabilities assumed: Unearned premium reserves 697 (216 ) 481 Credit derivative liabilities 271 (26 ) 245 Financial guaranty variable interest entities’ liabilities 118 — 118 Other liabilities 30 (49 ) (19 ) Total liabilities 1,116 (291 ) 825 Net asset effect of Radian Asset Acquisition 859 103 962 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax 55 103 158 Deferred tax — 56 56 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, pre-tax $ 55 $ 159 $ 214 _____________________ (1) The cash purchase price of $804 million was the cash transferred for the acquisition which was allocated as follows: (1) $987 million for the purchase of net assets of $1,042 million , and (2) the settlement of pre-existing relationships between Radian Asset and Assured Guaranty at a fair value of $ (183) million . Revenue and net income related to Radian Asset from the Acquisition Date through December 31, 2015 included in the consolidated statement of operations were approximately $560 million and $366 million , respectively. In 2015, the Company recorded transaction expenses related to the Radian Asset Acquisition in net income as part of other operating expenses. These expenses were primarily driven by the fees paid to the Company's legal and financial advisors and to the Company's independent auditor. Radian Asset Acquisition-Related Expenses Year Ended December 31, 2015 (in millions) Professional services $ 2 Financial advisory fees 10 Total $ 12 Unaudited Pro Forma Results of Operations The following unaudited pro forma information presents the combined results of operations of Assured Guaranty and Radian Asset as if the acquisition had been completed on January 1, 2014, as required under GAAP. The pro forma accounts include the estimated historical results of the Company and Radian Asset and pro forma adjustments primarily comprising the earning of the unearned premium reserve and the expected losses that would be recognized in net income for each prior period presented, as well as the accounting for bargain purchase gain, settlement of pre-existing relationships and Radian Asset acquisition related expenses, all net of tax at the applicable statutory rate. The unaudited pro forma combined financial information is presented for illustrative purposes only and does not indicate the financial results of the combined company had the companies actually been combined as of January 1, 2014, nor is it indicative of the results of operations in future periods. Unaudited Pro Forma Results of Operations Year Ended December 31, 2015 Year Ended December 31, 2014 (in millions, except per share amounts) Pro forma revenues $ 2,030 $ 2,501 Pro forma net income 922 1,531 Pro forma earnings per share ("EPS"): Basic 6.22 8.86 Diluted 6.18 8.81 |
Rating Actions
Rating Actions | 12 Months Ended |
Dec. 31, 2015 | |
Rating Actions [Abstract] | |
Rating Actions | Rating Actions When a rating agency assigns a public rating to a financial obligation guaranteed by one of AGL’s insurance company subsidiaries, it generally awards that obligation the same rating it has assigned to the financial strength of the AGL subsidiary that provides the guaranty. Investors in products insured by AGL’s insurance company subsidiaries frequently rely on ratings published by the rating agencies because such ratings influence the trading value of securities and form the basis for many institutions’ investment guidelines as well as individuals’ bond purchase decisions. Therefore, the Company manages its business with the goal of achieving strong financial strength ratings. However, the methodologies and models used by rating agencies differ, presenting conflicting goals that may make it inefficient or impractical to reach the highest rating level. The methodologies and models are not fully transparent, contain subjective elements and data (such as assumptions about future market demand for the Company’s products) and change frequently. Ratings are subject to continuous review and revision or withdrawal at any time. If the financial strength ratings of one (or more) of the Company’s insurance subsidiaries were reduced below current levels, the Company expects it could have adverse effects on the impacted subsidiary's future business opportunities as well as the premiums the impacted subsidiary could charge for its insurance policies. The Company periodically assesses the value of each rating assigned to each of its companies, and may as a result of such assessment request that a rating agency add or drop a rating from certain of its companies. For example, the Kroll Bond Rating Agency ("KBRA") ratings were first assigned to MAC in 2013 and to AGM in 2014 and the A.M. Best Company, Inc. ("Best") rating was first assigned to Assured Guaranty Re Overseas Ltd. ("AGRO") in 2015, while a Moody's Investors Service, Inc. ("Moody's") rating was never requested for MAC and was dropped from AG Re and AGRO in 2015. In the last several years, Standard & Poor's Ratings Services ("S&P") and Moody's have changed, multiple times, their financial strength ratings of AGL's insurance subsidiaries, or changed the outlook on such ratings. More recently, KBRA and Best have assigned financial strength ratings to some of AGL's insurance subsidiaries. The rating agencies' most recent actions related to AGL's insurance subsidiaries are: • On March 18, 2014, S&P upgraded the financial strength ratings of all of AGL's insurance subsidiaries to AA (stable outlook) from AA- (stable outlook); it most recently affirmed such ratings in a credit analysis issued on June 29, 2015. • On July 2, 2014, Moody's affirmed the ratings of AGL’s insurance subsidiaries, but changed to negative the outlook of the insurance financial strength ratings of AGC and its subsidiary Assured Guaranty (UK) Ltd. ("AGUK"). Moody's adopted changes to its credit methodology for financial guaranty insurance companies on January 20, 2015 and, on February 18, 2015, Moody's published a credit opinion maintaining its existing ratings of AGL and its subsidiaries under that new methodology. On December 8, 2015 Moody's published credit opinions maintaining its existing insurance financial strength ratings of A2 (stable outlook) on AGM and A3 (negative outlook) on AGC. Effective April 8, 2015, at the Company's request, Moody’s withdrew the financial strength ratings it had assigned to AG Re and AGRO. • On June 22, 2013, KBRA assigned a financial strength rating of AA+ (stable outlook) to MAC, and affirmed that rating on August 3, 2015. On November 13, 2014, KBRA assigned a financial strength rating of AA+ (stable outlook) to AGM, and affirmed that rating on December 10, 2015. • On May 5, 2015, Best assigned to AGRO a financial strength rating of A+ (Stable), which is their second highest rating. There can be no assurance that any of the rating agencies will not take negative action on their financial strength ratings of AGL's insurance subsidiaries in the future. For a discussion of the effects of rating actions on the Company, see the following: • Note 6, Financial Guaranty Insurance • Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives • Note 13, Reinsurance and Other Monoline Exposures • Note 16, Long-Term Debt and Credit Facilities |
Outstanding Exposure
Outstanding Exposure | 12 Months Ended |
Dec. 31, 2015 | |
Outstanding Exposure Disclosure | |
Outstanding Exposure | Outstanding Exposure The Company’s financial guaranty contracts are written in either insurance or credit derivative form, but collectively are considered financial guaranty contracts. The Company seeks to limit its exposure to losses by underwriting obligations that it views as investment grade at inception, although, as part of its loss mitigation strategy for existing troubled credits, it may underwrite new issuances that it views as BIG. The Company diversifies its insured portfolio across asset classes and, in the structured finance portfolio, requires rigorous subordination or collateralization requirements. Reinsurance may be used in order to reduce net exposure to certain insured transactions. Public finance obligations insured by the Company consist primarily of general obligation bonds supported by the taxing powers of U.S. state or municipal governmental authorities, as well as tax-supported bonds, revenue bonds and other obligations supported by covenants from state or municipal governmental authorities or other municipal obligors to impose and collect fees and charges for public services or specific infrastructure projects. The Company also includes within public finance obligations those obligations backed by the cash flow from leases or other revenues from projects serving substantial public purposes, including utilities, toll roads, health care facilities and government office buildings. The Company also includes within public finance similar obligations issued by territorial and non-U.S. sovereign and sub-sovereign issuers and governmental authorities. Structured finance obligations insured by the Company are generally issued by special purpose entities, including VIEs, and backed by pools of assets having an ascertainable cash flow or market value or other specialized financial obligations. Some of these VIEs are consolidated as described in Note 9, Consolidated Variable Interest Entities. Unless otherwise specified, the outstanding par and Debt Service amounts presented in this note include outstanding exposures on VIEs whether or not they are consolidated. Significant Risk Management Activities The Portfolio Risk Management Committee, which includes members of senior management and senior credit and surveillance officers, sets specific risk policies and limits and is responsible for enterprise risk management, establishing the Company's risk appetite, credit underwriting of new business, surveillance and work-out. As part of the surveillance process, the Company monitors trends and changes in transaction credit quality, detects any deterioration in credit quality, and recommends such remedial actions as may be necessary or appropriate. All transactions in the insured portfolio are assigned internal credit ratings, which are updated based on changes in transaction credit quality. 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 for each exposure. BIG exposures include all exposures with internal credit ratings below BBB-. The Company’s internal credit ratings are based on internal assessments of the likelihood of default and loss severity in the event of default. Internal credit ratings are expressed on a ratings scale similar to that used by the rating agencies and are generally reflective of an approach similar to that employed by the rating agencies, except that the Company's internal credit ratings focus on future performance rather than lifetime performance. The Company monitors its investment grade credits to determine whether any need to be internally downgraded to BIG and refreshes its internal credit ratings on individual credits in quarterly, semi-annual or annual cycles based on the Company’s view of the credit’s quality, loss potential, volatility and sector. Ratings on credits in sectors identified as under the most stress or with the most potential volatility are reviewed every quarter. The Company’s credit ratings on assumed credits are based on the Company’s reviews of low-rated credits or credits in volatile sectors, unless such information is not available, in which case, the ceding company’s credit rating of the transactions are used. Credits identified as BIG are subjected to further review to determine the probability of a loss. See Note 5, Expected Loss to be Paid, for additional information. Surveillance personnel then assign each BIG transaction to the appropriate BIG surveillance category based upon whether a future loss is expected and whether a claim has been paid. For surveillance purposes, the Company calculates present value using a constant discount rate of 4% or 5% depending on the insurance subsidiary. (Risk-free rates are used for calculating the expected loss for financial statement measurement purposes.) More extensive monitoring and intervention is employed for all BIG surveillance categories, with internal credit ratings reviewed quarterly. The Company expects “future losses” on a transaction when the Company believes there is at least a 50% chance that, on a present value basis, it will pay more claims in the future of that transaction than it will have reimbursed. The three BIG categories are: • BIG Category 1: Below-investment-grade transactions showing sufficient deterioration to make future losses possible, but for which none are currently expected. • BIG Category 2: Below-investment-grade transactions for which future losses are expected but for which no claims (other than liquidity claims, which is a claim that the Company expects to be reimbursed within one year) have yet been paid. • BIG Category 3: Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid. Components of Outstanding Exposure Unless otherwise noted, ratings disclosed herein on the Company's insured portfolio reflect its internal ratings. The Company classifies those portions of risks benefiting from reimbursement obligations collateralized by eligible assets held in trust in acceptable reimbursement structures as the higher of 'AA' or their current internal rating. The Company purchases securities that it has insured, and for which it has expected losses to be paid, in order to mitigate the economic effect of insured losses ("loss mitigation securities"). The Company excludes amounts attributable to loss mitigation securities (unless otherwise indicated) from par and Debt Service outstanding, because it manages such securities as investments and not insurance exposure. The following table presents the gross and net debt service for all financial guaranty contracts. Financial Guaranty Debt Service Outstanding Gross Debt Service Outstanding Net Debt Service Outstanding December 31, December 31, December 31, December 31, (in millions) Public finance $ 515,494 $ 587,245 $ 494,426 $ 553,612 Structured finance 43,976 59,477 41,915 56,010 Total financial guaranty $ 559,470 $ 646,722 $ 536,341 $ 609,622 In addition to the amounts shown in the table above, the Company’s net mortgage guaranty insurance debt service was approximately $102 million as of December 31, 2015 and $127 million as of December 31, 2014 related to loans originated in Ireland. As of December 31, 2015 , the Company also had exposure to €12 million of reinsurance contracts relating to Spanish housing cooperatives risk, but the Company commuted back to the ceding company the exposure in January 2016. Financial Guaranty Portfolio by Internal Rating As of December 31, 2015 Public Finance Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Net Par % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 3,053 1.1 % $ 709 2.4 % $ 14,366 45.2 % $ 2,709 50.6 % $ 20,837 5.8 % AA 69,274 23.7 2,017 6.8 7,934 25.0 177 3.3 79,402 22.1 A 157,440 53.9 6,765 22.9 2,486 7.8 555 10.3 167,246 46.7 BBB 54,315 18.6 18,708 63.2 1,515 4.8 1,365 25.5 75,903 21.2 BIG 7,784 2.7 1,378 4.7 5,469 17.2 552 10.3 15,183 4.2 Total net par outstanding (1)(2) $ 291,866 100.0 % $ 29,577 100.0 % $ 31,770 100.0 % $ 5,358 100.0 % $ 358,571 100.0 % _____________________ (1) Excludes $ 1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. (2) The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. Financial Guaranty Portfolio by Internal Rating As of December 31, 2014 Public Finance U.S. Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Category Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 4,082 1.3 % $ 615 2.0 % $ 20,037 48.7 % $ 5,409 59.6 % $ 30,143 7.5 % AA 90,464 28.1 2,785 8.9 8,213 19.9 503 5.5 101,965 25.3 A 176,298 54.7 7,192 22.9 2,940 7.1 445 4.9 186,875 46.3 BBB 43,429 13.5 19,363 61.7 1,795 4.4 1,912 21.1 66,499 16.4 BIG 7,850 2.4 1,404 4.5 8,186 19.9 807 8.9 18,247 4.5 Total net par outstanding (1) $ 322,123 100.0 % $ 31,359 100.0 % $ 41,171 100.0 % $ 9,076 100.0 % $ 403,729 100.0 % _____________________ (1) Excludes $ 1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. Financial Guaranty Portfolio by Sector Gross Par Outstanding Ceded Par Outstanding Net Par Outstanding Sector As of December 31, 2015 As of December 31, 2014 As of December 31, 2015 As of December 31, 2014 As of December 31, 2015 As of December 31, 2014 (in millions) Public finance: U.S.: General obligation $ 129,386 $ 144,714 $ 3,131 $ 4,438 $ 126,255 $ 140,276 Tax backed 59,649 65,600 1,587 3,075 58,062 62,525 Municipal utilities 46,951 53,471 1,015 1,381 45,936 52,090 Transportation 24,351 28,914 897 1,091 23,454 27,823 Healthcare 15,967 16,225 961 1,377 15,006 14,848 Higher education 11,984 13,485 48 386 11,936 13,099 Infrastructure finance 5,241 5,098 248 917 4,993 4,181 Housing 2,075 2,880 38 101 2,037 2,779 Investor-owned utilities 916 944 0 0 916 944 Other public finance 3,288 3,575 17 17 3,271 3,558 Total public finance—U.S. 299,808 334,906 7,942 12,783 291,866 322,123 Non-U.S.: Infrastructure finance 14,040 15,091 1,312 2,283 12,728 12,808 Regulated utilities 12,616 14,582 2,568 3,668 10,048 10,914 Pooled infrastructure 2,013 2,565 134 145 1,879 2,420 Other public finance 5,714 6,216 792 999 4,922 5,217 Total public finance—non-U.S. 34,383 38,454 4,806 7,095 29,577 31,359 Total public finance 334,191 373,360 12,748 19,878 321,443 353,482 Structured finance: U.S.: Pooled corporate obligations 16,757 21,791 749 1,145 16,008 20,646 Residential Mortgage-Backed Securities ("RMBS") 7,441 10,109 374 692 7,067 9,417 Insurance securitizations 3,047 3,480 47 47 3,000 3,433 Consumer receivables 2,153 2,157 54 58 2,099 2,099 Financial products 1,906 2,276 — — 1,906 2,276 Commercial mortgage-backed securities ("CMBS") and other commercial real estate related exposures 549 1,979 16 22 533 1,957 Commercial receivables 432 567 5 7 427 560 Other structured finance 823 929 93 146 730 783 Total structured finance—U.S. 33,108 43,288 1,338 2,117 31,770 41,171 Non-U.S.: Pooled corporate obligations 4,087 7,439 442 835 3,645 6,604 Commercial receivables 619 965 19 21 600 944 RMBS 552 893 60 99 492 794 Other structured finance 635 759 14 25 621 734 Total structured finance—non-U.S. 5,893 10,056 535 980 5,358 9,076 Total structured finance 39,001 53,344 1,873 3,097 37,128 50,247 Total net par outstanding $ 373,192 $ 426,704 $ 14,621 $ 22,975 $ 358,571 $ 403,729 In addition to amounts shown in the tables above, the Company had outstanding commitments to provide guaranties of $ 595 million for public finance obligations at December 31, 2015 . The expiration dates for the public finance commitments range between January 15, 2016 and February 25, 2017 , with $ 471 million expiring prior to the date of this filing and an additional $60 million expiring prior to December 31, 2016. The commitments are contingent on the satisfaction of all conditions set forth in them and may expire unused or be canceled at the counterparty’s request. Therefore, the total commitment amount does not necessarily reflect actual future guaranteed amounts. Actual maturities of insured obligations could differ from contractual maturities because borrowers have the right to call or prepay certain obligations with or without call or prepayment penalties. The expected maturities of structured finance obligations are, in general, considerably shorter than the contractual maturities for such obligations. Expected Amortization of Net Par Outstanding As of December 31, 2015 Public Finance Structured Finance Total (in millions) 0 to 5 years $ 97,518 $ 24,430 $ 121,948 5 to 10 years 68,144 4,786 72,930 10 to 15 years 58,348 2,768 61,116 15 to 20 years 45,623 2,765 48,388 20 years and above 51,810 2,379 54,189 Total net par outstanding $ 321,443 $ 37,128 $ 358,571 Components of BIG Portfolio Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of December 31, 2015 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 4,765 $ 2,883 $ 136 $ 7,784 $ 291,866 Non-U.S. public finance 875 503 — 1,378 29,577 Structured finance First lien U.S. RMBS: Prime first lien 225 34 25 284 445 Alt-A first lien 119 73 601 793 1,353 Option ARM 39 12 90 141 252 Subprime 146 228 930 1,304 3,457 Second lien U.S. RMBS 491 50 910 1,451 1,560 Total U.S. RMBS 1,020 397 2,556 3,973 7,067 Triple-X life insurance transactions — — 216 216 2,750 Trust preferred securities (“TruPS”) 679 127 — 806 4,379 Student loans 12 68 83 163 1,818 Other structured finance 672 151 40 863 21,114 Total $ 8,023 $ 4,129 $ 3,031 $ 15,183 $ 358,571 Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of December 31, 2014 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 6,577 $ 1,156 $ 117 $ 7,850 $ 322,123 Non-U.S. public finance 1,402 2 — 1,404 31,359 Structured finance First lien U.S. RMBS: Prime first lien 68 33 252 353 471 Alt-A first lien 585 531 725 1,841 2,532 Option ARM 47 18 118 183 407 Subprime 156 654 765 1,575 4,051 Second lien U.S. RMBS 1,012 55 624 1,691 1,956 Total U.S. RMBS 1,868 1,291 2,484 5,643 9,417 Triple-X life insurance transactions — — 598 598 3,133 TruPS 997 — 336 1,333 4,326 Student loans 14 68 113 195 1,857 Other structured finance 1,007 172 45 1,224 31,514 Total $ 11,865 $ 2,689 $ 3,693 $ 18,247 $ 403,729 BIG Net Par Outstanding and Number of Risks As of December 31, 2015 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 7,019 $ 1,004 $ 8,023 202 12 214 Category 2 3,655 474 4,129 85 8 93 Category 3 2,900 131 3,031 132 12 144 Total BIG $ 13,574 $ 1,609 $ 15,183 419 32 451 BIG Net Par Outstanding and Number of Risks As of December 31, 2014 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 10,195 $ 1,670 $ 11,865 164 18 182 Category 2 2,135 554 2,689 75 14 89 Category 3 2,892 801 3,693 119 24 143 Total BIG $ 15,222 $ 3,025 $ 18,247 358 56 414 _____________________ (1) Includes net par outstanding for VIEs. (2) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. Geographic Distribution of Net Par Outstanding The Company seeks to maintain a diversified portfolio of insured obligations designed to spread its risk across a number of geographic areas. Geographic Distribution of Net Par Outstanding As of December 31, 2015 Number of Risks Net Par Outstanding Percent of Total Net Par Outstanding (dollars in millions) U.S.: U.S. Public finance: California 1,514 $ 47,731 13.3 % Texas 1,307 23,891 6.7 Pennsylvania 944 23,655 6.6 New York 961 22,513 6.3 Illinois 816 22,220 6.2 Florida 369 16,595 4.6 New Jersey 553 13,605 3.8 Michigan 577 10,898 3.0 Georgia 183 6,991 1.9 Ohio 464 6,753 1.9 Other states and U.S. territories 3,927 97,014 27.0 Total U.S. public finance 11,615 291,866 81.3 U.S. Structured finance (multiple states) 723 31,770 8.9 Total U.S. 12,338 323,636 90.2 Non-U.S.: United Kingdom 101 17,565 4.9 Australia 22 3,349 0.9 Canada 10 3,099 0.9 France 16 2,609 0.7 Italy 8 1,296 0.4 Other 72 7,017 2.0 Total non-U.S. 229 34,935 9.8 Total 12,567 $ 358,571 100.0 % Exposure to Puerto Rico The Company has insured exposure to general obligation bonds of the Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations aggregating $5.1 billion net par as of December 31, 2015 , all of which are rated BIG. In 2015, the Company's Puerto Rico exposures increased due to (1) net par acquired in the Radian Asset Acquisition, which equals $385 million as of December 31, 2015 , and (2) a commutation of previously ceded Puerto Rico exposures. Puerto Rico has experienced significant general fund budget deficits in recent years. These deficits, until recently, were covered primarily with the net proceeds of bond issuances, interim financings provided by Government Development Bank for Puerto Rico (“GDB”) and, in some cases, one-time revenue measures or expense adjustment measures. In addition to high debt levels, Puerto Rico faces a challenging economic environment. In June 2014, the Puerto Rico legislature passed the Puerto Rico Public Corporation Debt Enforcement and Recovery Act (the "Recovery Act") in order to provide a legislative framework for certain public corporations experiencing severe financial stress to restructure their debt, including Puerto Rico Highway and Transportation Authority ("PRHTA") and Puerto Rico Electric Power Authority ("PREPA"). Subsequently, the Commonwealth stated PREPA might need to seek relief under the Recovery Act due to liquidity constraints. Investors in bonds issued by PREPA filed suit in the United States District Court for the District of Puerto Rico challenging the Recovery Act. On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled the Recovery Act is preempted by the U.S. Bankruptcy Code and is therefore void. On July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling. Oral arguments have been scheduled for March 22, 2016. Typical Supreme Court practice suggests a decision could be announced in June 2016, but there is no assurance that an opinion will be announced at such time, especially in light of the recent Supreme Court vacancy. On June 28, 2015, Governor García Padilla of Puerto Rico (the "Governor") publicly stated that the Commonwealth’s public debt, considering the current level of economic activity, is unpayable and that a comprehensive debt restructuring may be necessary, and he has made similar statements since then. On June 29, 2015 a report commissioned by the Commonwealth and authored by former World Bank Chief Economist and former Deputy Director of the International Monetary Fund Dr. Anne Krueger and economists Dr. Ranjit Teja and Dr. Andrew Wolfe and calling for debt restructuring of all Puerto Rico bonds was released ("Krueger Report"). Puerto Rico Public Finance Corporation (“PFC”), a subsidiary of the GDB, failed to make most of an approximately $58 million Debt Service payment on August 3, 2015 and to make subsequent Debt Service payments because the Commonwealth’s legislature did not appropriate funds for payment. The Company does not insure any obligations of the PFC. On January 1, 2016 Puerto Rico Infrastructure Finance Authority ("PRIFA") defaulted on payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately $451 thousand of claims for the interest payments on which PRIFA had defaulted. On September 9, 2015, the Working Group for the Fiscal and Economic Recovery of Puerto Rico (“Working Group”) established by the Governor published its “Puerto Rico Fiscal and Economic Growth Plan” (the “FEGP”). The FEGP projected that the Commonwealth would face a cumulative financing gap of $27.8 billion from fiscal year 2016 to fiscal year 2020 without corrective action. Various stakeholders and analysts have publicly questioned the accuracy of the $27.8 billion gap projected by the Working Group. The FEGP recommended economic development, structural, fiscal and institutional reform measures that it projects would reduce that gap to $14.0 billion . The Working Group asserts that the Commonwealth’s debt, including debt with a constitutional priority, is not sustainable. The FEGP included a recommendation that the Commonwealth’s advisors begin to work on a voluntary exchange offer to its creditors as part of the FEGP. The FEGP does not have the force of law and implementation of its recommendations would require actions by the governments of the Commonwealth and of the United States as well as the cooperation and agreement of various creditors. On November 30, 2015, and December 8, 2015, the Governor issued executive orders (“Clawback Orders”) directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes and revenues pledged to secure the payment of bonds issued by PRHTA, PRIFA and PRCCDA. On January 7, 2016 the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes and revenues is unconstitutional, and demanding declaratory and injunctive relief. The Puerto Rico credits insured by the Company impacted by the Clawback Orders are shown in the table “Puerto Rico Net Par Outstanding” below. On January 18, 2016 the Working Group published an updated FEGP that projected the cumulative financing gap beyond 2020 would continue to increase to $63.4 billion without corrective action. The Working Group followed that up with the publication on February 1, 2016, of a proposal for a voluntary exchange of $49.2 billion of tax supported debt into $26.5 billion of new mandatorily payable base bonds and $22.7 billion of growth bonds. There have been a number of other proposals, plans and legislative initiatives offered in Puerto Rico and in the United States aimed at addressing Puerto Rico’s fiscal issues. Among the responses proposed is a federal financial control board and access to bankruptcy courts or another restructuring mechanism. U.S. House of Representatives Speaker Paul Ryan has asked that a legislative response be presented to the House of Representatives by the end of March 2016. The final shape and timing of responses to Puerto Rico’s distress eventually enacted or implemented by Puerto Rico or the United States, if any, and the impact of any such actions on obligations insured by the Company, is uncertain and may differ substantially from the recommendations of the Working Group or any other proposals or plans described in the press or offered to date or in the future. S&P, Moody’s and Fitch Ratings have lowered the credit rating of the Commonwealth’s bonds and on its public corporations several times over the past approximately two years, and the Commonwealth has disclosed its liquidity has been adversely affected by rating agency downgrades and by the limited market access for its debt, and also noted it has relied on short-term financings and interim loans from the GDB and other private lenders, which reliance has constrained its liquidity and increased its near-term refinancing risk. PREPA As of December 31, 2015 , the Company had $744 million insured net par outstanding of PREPA obligations. In August 2014, PREPA entered into forbearance agreements with the GDB, its bank lenders, and bondholders and financial guaranty insurers (including AGM and AGC) that hold or guarantee more than 60% of PREPA's outstanding bonds, in order to address its near-term liquidity issues. Creditors, including AGM and AGC, agreed not to exercise available rights and remedies until March 31, 2015, and the bank lenders agreed to extend the maturity of two revolving lines of credit to the same date. PREPA agreed it would continue to make principal and interest payments on its outstanding bonds, and interest payments on its lines of credit. It also agreed it would develop a five year business plan and a recovery program in respect of its operations. Subsequently, most of the parties extended these forbearance agreements several times. On July 1, 2015, PREPA made full payment of the $416 million of principal and interest due on its bonds, including bonds insured by AGM and AGC. However, that payment was conditioned on and facilitated by AGM and AGC agreeing, also on July 1, to purchase a portion of $131 million of interest-bearing bonds to help replenish certain of the operating funds PREPA used to make the $416 million of principal and interest payments. On July 31, 2015, AGM and AGC purchased $74 million aggregate principal amount of those bonds; the bonds were repaid in full in 2016. On December 24, 2015, AGM and AGC entered into a Restructuring Support Agreement (“RSA”) with PREPA, an ad hoc group of uninsured bondholders and a group of fuel-line lenders that would, subject to certain conditions, result in, among other things, modernization of the utility and a restructuring of current debt. Upon finalization of the contemplated restructuring transaction, insured PREPA revenue bonds (with no reduction to par or stated interest rate or extension of maturity) will be supported by securitization bonds issued by a special purpose corporation and secured by a transition charge assessed on ratepayers. To facilitate the securitization transaction, which enables PREPA to achieve debt relief and more efficient capital markets financing, Assured Guaranty will issue surety insurance policies in an aggregate amount not expected to exceed $113 million in exchange for a market premium and to support a portion of the reserve fund for the securitization bonds. Certain of the creditors also agreed, subject to certain conditions, to participate in a bridge financing. The Company’s share of the bridge financing is approximately $15 million . Legislation purportedly meeting the requirements of the RSA was enacted on February 16, 2016. The closing of the restructuring transaction, the issuance of the surety bonds and the closing of the bridge financing are subject to certain conditions, including confirmation that the enacted legislation meets all requirements of the RSA and execution of acceptable documentation and legal opinions. There can be no assurance that the conditions in the RSA will be met or that, if the conditions are met, the RSA’s other provisions, including those related to the restructuring of the insured PREPA revenue bonds, will be implemented. PREPA, during the pendency of the agreements, has suspended deposits into its debt service fund. PRHTA As of December 31, 2015 , the Company had $909 million insured net par outstanding of PRHTA (Transportation revenue) bonds and $370 million net par of PRHTA (Highway revenue) bonds. In March 2015, legislation was passed in the Commonwealth that would have supported proposals involving the GDB and PRIFA and would have, among other things, strengthened PRHTA. The proposals involved the issuance of up to $2.95 billion of bonds by PRIFA, but the Company believes the Commonwealth is no longer pursuing those proposals. In addition, PRHTA is one of the public corporations affected by the Clawback Orders. Municipal Finance Agency As of December 31, 2015 , the Company had $387 million net par outstanding of bonds issued by the Puerto Rico Municipal Finance Agency (“MFA”) secured by a pledge of local property tax revenues. On October 13, 2015, the Company filed a motion to intervene in litigation between Centro de Recaudación de Ingresos Municipales (“CRIM”) and the GDB in which CRIM was seeking to ensure that the pledged tax revenues are, and will continue to be, available to support the MFA bonds. While the Company’s motion to intervene was denied, the GDB and CRIM have reported that they executed a new deed of trust that requires the GDB, as fiduciary, to keep the pledged tax revenues separate from any other GDB monies or accounts and that governs the manner in which the pledged revenues may be invested and dispersed. 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 December 31, December 31, December 31, December 31, (in millions) Previously Subject to the Voided Recovery Act (1) $ 2,965 $ 3,058 $ 5,162 $ 5,326 Not Previously Subject to the Voided Recovery Act 2,790 2,977 4,470 4,748 Total $ 5,755 $ 6,035 $ 9,632 $ 10,074 ____________________ (1) On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the U.S. Bankruptcy Code and is therefore void. On July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling. Puerto Rico Net Par Outstanding As of As of Total(1) Internal Rating Total Internal Rating (in millions) Exposures Previously Subject to the Voided Recovery Act: PRHTA (Transportation revenue) (2) $ 909 CCC- $ 844 BB- PREPA 744 CC 772 B- Puerto Rico Aqueduct and Sewer Authority 388 CCC 384 BB- PRHTA (Highway revenue) (2) 370 CCC 273 BB Puerto Rico Convention Center District Authority ("PRCCDA")(2) 164 CCC- 174 BB- Total 2,575 2,447 Exposures Not Previously Subject to the Voided Recovery Act: Commonwealth of Puerto Rico - General Obligation Bonds 1,615 CCC 1,672 BB MFA 387 CCC- 399 BB- Puerto Rico Sales Tax Financing Corporation 269 CCC+ 269 BBB Puerto Rico Public Buildings Authority 188 CCC 100 BB GDB — — 33 BB PRIFA (2) (3) 18 CCC- 18 BB- University of Puerto Rico 1 CCC- 1 BB- Total 2,478 2,492 Total net exposure to Puerto Rico $ 5,053 $ 4,939 ____________________ (1) As of December 31, 2015 , the Company's Puerto Rico net exposures increased due to (1) net par of $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million of PRHTA, and (2) a commutation of previously ceded Puerto Rico exposures. (2) The Governor issued executive orders on November 30, 2015, and December 8, 2015, directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes and revenues pledged to secure the payment of bonds issued by PRHTA, PRIFA and PRCCDA. On January 7, 2016 the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes and revenues is unconstitutional, and demanding declaratory and injunctive relief. (3) On January 1, 2016 PRIFA defaulted on full payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately $451 thousand of claims for the interest payments on which PRIFA had defaulted. The following table shows the scheduled amortization of the insured general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. The Company guarantees payments of interest and principal when those amounts are scheduled to be paid and cannot be required to pay on an accelerated basis. In the event that obligors default on their obligations, the Company would only be required to pay the shortfall between the principal and interest due in any given period and the amount paid by the obligors. Amortization Schedule of Pue |
Expected Loss to be Paid
Expected Loss to be Paid | 12 Months Ended |
Dec. 31, 2015 | |
Expected Losses [Abstract] | |
Expected Loss to be Paid | Expected Loss to be Paid The insured portfolio includes policies accounted for under three separate accounting models depending on the characteristics of the contract and the Company's control rights. The Company has paid and expects to pay future losses on policies which fall under each of the three accounting models. The following provides a summarized description of the three accounting models prescribed by GAAP with a reference to the notes that describe the accounting policies and required disclosures throughout this report. The three models are: (1) insurance, (2) derivative and (3) VIE consolidation. In order to effectively evaluate and manage the economics and liquidity of the entire insured portfolio, management compiles and analyzes loss information for all policies on a consistent basis. The Company monitors and assigns ratings and calculates expected losses in the same manner for all its exposures regardless of form or differing accounting models. This note provides information regarding expected claim payments to be made under all contracts in the insured portfolio. Net expected loss to be paid in the tables below consists of the present value of future: expected claim and LAE payments, expected recoveries in the transaction structures, cessions to reinsurers, and expected recoveries for breaches of representations and warranties ("R&W") and other loss mitigation strategies. Expected loss to be paid is important from a liquidity perspective in that it represents the present value of amounts that the Company expects to pay or recover in future periods, regardless of the accounting model. Expected loss to be paid is an important measure used by management to analyze the net economic loss on all contacts. Accounting Policy Insurance Accounting For contracts accounted for as financial guaranty insurance, loss and LAE reserve is recorded only to the extent and for the amount that expected losses to be paid, exceed unearned premium reserve. As a result, the Company has expected loss to be paid that have not yet been expensed. Such amounts will be recognized in future periods as deferred premium revenue amortizes into income. Expected loss to be expensed is important because it presents the Company's projection of incurred losses that will be recognized in future periods (excluding accretion of discount). See "Financial Guaranty Insurance Losses" in Note 6, Financial Guaranty Insurance. Derivative Accounting, at Fair Value For contracts that do not meet the financial guaranty scope exception in the derivative accounting guidance (primarily due to the fact that the insured is not required to be exposed to the insured risk throughout the life of the contract), the Company records such credit derivative contracts at fair value on the consolidated balance sheet with changes in fair value recorded in the consolidated statement of operations. The fair value recorded on the balance sheet represents an exit price in a hypothetical market because the Company does not trade its credit derivative contracts. The fair value is determined using significant Level 3 inputs in an internally developed model while the expected loss to be paid (which represents the net present value of expected cash outflows) uses methodologies and assumptions consistent with financial guaranty insurance expected losses to be paid. See Note 7, Fair Value Measurement and Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. VIE Consolidation, at Fair Value For financial guaranty insurance contracts issued on the debt of variable interest entities over which the Company is deemed to be the primary beneficiary due to its control rights, as defined in GAAP, the Company consolidates the FG VIE. The Company carries the assets and liabilities of the FG VIEs at fair value under the fair value option election. Management assesses the losses on the insured debt of the consolidated FG VIEs in the same manner as other financial guaranty insurance and credit derivative contracts. See Note 9, Consolidated Variable Interest Entities. Expected Loss to be Paid The expected loss to be paid is equal to the present value of expected future cash outflows for claim and LAE payments, net of inflows for expected salvage and subrogation (e.g., excess spread on the underlying collateral, and expected and contractual recoveries for breaches of R&W or other expected recoveries), using current risk-free rates. When the Company becomes entitled to the cash flow from the underlying collateral of an insured credit 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. Net expected loss to be paid is defined as expected loss to be paid, net of amounts ceded to reinsurers. The current risk-free rate is based on the remaining period of the contract used in the premium revenue recognition calculation (i.e., the contractual or expected period, as applicable). The Company updates the discount rate each quarter and records the effect of such changes in economic loss development. Expected cash outflows and inflows are probability weighted cash flows that reflect the likelihood of all possible expected outcomes. The Company estimates the expected cash outflows and inflows using management's assumptions about the likelihood of all possible outcomes based on all information available to it. Those assumptions consider the relevant facts and circumstances and are consistent with the information tracked and monitored through the Company's risk-management activities. Economic Loss Development Economic loss development represents the change in net expected loss to be paid attributable to the effects of changes in assumptions based on observed market trends, changes in discount rates, accretion of discount and the economic effects of loss mitigation efforts. Expected loss to be paid and economic loss development include the effects of loss mitigation strategies such as negotiated and estimated recoveries for breaches of R&W, and purchases of insured debt obligations. Additionally, in certain cases, issuers of insured obligations elected, or the Company and an issuer mutually agreed as part of a negotiation, to deliver the underlying collateral or insured obligation to the Company. In circumstances where the Company has purchased its own insured obligations that have expected losses, expected loss to be paid is reduced by the proportionate share of the insured obligation that is held in the investment portfolio. The difference between the purchase price of the obligation and the fair value excluding the value of the Company's insurance is treated as a paid loss. Assets that are purchased by the Company are recorded in the investment portfolio, at fair value, excluding the value of the Company's insurance. See Note 10, Investments and Cash and Note 7, Fair Value Measurement. Loss Estimation Process The Company’s loss reserve committees estimate expected loss to be paid for all contracts by reviewing analyses that consider various scenarios with corresponding probabilities assigned to them. Depending upon the nature of the risk, the Company’s view of the potential size of any loss and the information available to the Company, that analysis may be based upon individually developed cash flow models, internal credit rating assessments and sector-driven loss severity assumptions or judgmental assessments. In the case of its assumed business, the Company may conduct its own analysis as just described or, depending on the Company’s view of the potential size of any loss and the information available to the Company, the Company may use loss estimates provided by ceding insurers. The Company monitors the performance of its transactions with expected losses and each quarter the Company’s loss reserve committees review and refresh their loss projection assumptions and scenarios and the probabilities they assign to those scenarios based on actual developments during the quarter and their view of future performance. The financial guaranties issued by the Company insure the credit performance of the guaranteed obligations over an extended period of time, in some cases over 30 years, and in most circumstances, the Company has no right to cancel such financial guaranties. As a result, the Company's estimate of ultimate losses on a policy is subject to significant uncertainty over the life of the insured transaction. Credit performance can be adversely affected by economic, fiscal and financial market variability over the long duration of most contracts. The determination of expected loss to be paid is an inherently subjective process involving numerous estimates, assumptions and judgments by management, using both internal and external data sources with regard to frequency, severity of loss, economic projections, governmental actions, negotiations and other factors that affect credit performance. These estimates, assumptions and judgments, and the factors on which they are based, may change materially over a quarter, and as a result the Company’s loss estimates may change materially over that same period. Changes over a quarter 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 quarter in the Company’s loss estimates for its RMBS transactions may be influenced by such factors as the level and timing of loan defaults experienced; changes in housing prices; results from the Company's loss mitigation activities; and other variables. Similarly, changes over a quarter in the Company’s loss estimates for municipal obligations supported by specified revenue streams, such as revenue bonds issued by toll road authorities, municipal utilities or airport authorities, generally will be influenced by factors impacting their revenue levels, such as changes in demand; changing demographics; and other economic factors, especially if the obligations do not benefit from financial support from other tax revenues or governmental authorities. On the other hand, changes over a quarter in the Company’s loss estimates for its tax-supported public finance transactions generally will be influenced by factors impacting the public issuer’s ability and willingness to pay, such as changes in the economy and population of the relevant area; changes in the issuer’s ability or willingness to raise taxes, decrease spending or receive federal assistance; new legislation; rating agency downgrades that reduce 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. The Company does not use traditional actuarial approaches to determine its estimates of expected losses. Actual losses will ultimately depend on future events or transaction performance and may be influenced by many interrelated factors that are difficult to predict. As a result, the Company's current projections of probable and estimable 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 gives it the option to pay principal losses that have been recognized in the transaction but which it is not yet required to pay, thereby reducing the amount of guaranteed interest due in the future. The Company has sometimes exercised this option, which uses cash but reduces projected future losses. The following tables present a roll forward of the present value of net expected loss to be paid for all contracts, whether accounted for as insurance, credit derivatives or FG VIEs, by sector, after the benefit for expected recoveries for breaches of R&W or other expected recoveries. The Company used weighted average risk-free rates for U.S. dollar denominated obligations, that ranged from 0.0% to 3.25% as of December 31, 2015 and 0.0% to 2.95% as of December 31, 2014 . Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward Year Ended December 31, 2015 (in millions) Net expected loss to be paid, beginning of period $ 1,169 Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 190 Economic loss development due to: Accretion of discount 32 Changes in discount rates (23 ) Changes in timing and assumptions 310 Total economic loss development 319 Paid losses (287 ) Net expected loss to be paid, end of period $ 1,391 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Year Ended December 31, 2015 Net Expected Loss to be Paid (Recovered) as of December 31, 2014(2) Net Expected Economic Loss Development (Paid) Recovered Losses(1) Net Expected (in millions) Public Finance: U.S. public finance $ 303 $ 81 $ 416 $ (29 ) $ 771 Non-U.S. public finance 45 4 (11 ) — 38 Public Finance 348 85 405 (29 ) 809 Structured Finance: U.S. RMBS: First lien: Prime first lien 4 — (1 ) (5 ) (2 ) Alt-A first lien 304 7 (126 ) (58 ) 127 Option ARM (16 ) 0 (16 ) 4 (28 ) Subprime 303 (4 ) 19 (67 ) 251 Total first lien 595 3 (124 ) (126 ) 348 Second lien (11 ) 1 42 29 61 Total U.S. RMBS 584 4 (82 ) (97 ) 409 Triple-X life insurance transactions 161 — 11 (73 ) 99 TruPS 23 — (18 ) — 5 Student loans 68 — (9 ) (5 ) 54 Other structured finance (15 ) 101 12 (83 ) 15 Structured Finance 821 105 (86 ) (258 ) 582 Total $ 1,169 $ 190 $ 319 $ (287 ) $ 1,391 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Year Ended December 31, 2014 Net Expected Loss to be Paid (Recovered) as of December 31, 2013 Economic Loss Development (Paid) Recovered Losses(1) Net Expected (in millions) Public Finance: U.S. public finance $ 264 $ 183 $ (144 ) $ 303 Non-U.S. public finance 57 (12 ) — 45 Public Finance 321 171 (144 ) 348 Structured Finance: U.S. RMBS: First lien: Prime first lien 21 (16 ) (1 ) 4 Alt-A first lien 304 (144 ) 144 304 Option ARM (9 ) (59 ) 52 (16 ) Subprime 304 (7 ) 6 303 Total first lien 620 (226 ) 201 595 Second lien (127 ) (42 ) 158 (11 ) Total U.S. RMBS 493 (268 ) 359 584 Triple-X life insurance transactions 75 92 (6 ) 161 TruPS 51 (28 ) — 23 Student loans 52 16 0 68 Other structured finance (10 ) (13 ) 8 (15 ) Structured Finance 661 (201 ) 361 821 Total $ 982 $ (30 ) $ 217 $ 1,169 ____________________ (1) Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. The Company paid $25 million and $37 million in LAE for the years ended December 31, 2015 and 2014 , respectively. (2) Includes expected LAE to be paid of $12 million as of December 31, 2015 and $16 million as of December 31, 2014 . Future Net R&W Benefit As of December 31, 2015, 2014 and 2013 Future Net Future Net Future Net (in millions) U.S. RMBS: First lien $ 0 $ 232 $ 569 Second lien 79 85 143 Total $ 79 $ 317 $ 712 ____________________ (1) See the section "Breaches of Representations and Warranties" below for eligible assets held in trust. The following tables present the present value of net expected loss to be paid for all contracts by accounting model, by sector and after the benefit for estimated and contractual recoveries for breaches of R&W. Net Expected Loss to be Paid (Recovered) By Accounting Model As of December 31, 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Total (in millions) Public Finance: U.S. public finance $ 771 $ — $ 0 $ 771 Non-U.S. public finance 38 — — 38 Public Finance 809 — — 809 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — (4 ) (2 ) Alt-A first lien 110 17 0 127 Option ARM (27 ) — (1 ) (28 ) Subprime 153 59 39 251 Total first lien 238 76 34 348 Second lien 13 44 4 61 Total U.S. RMBS 251 120 38 409 Triple-X life insurance transactions 88 — 11 99 TruPS 0 — 5 5 Student loans 54 — — 54 Other structured finance 37 16 (38 ) 15 Structured Finance 430 136 16 582 Total $ 1,239 $ 136 $ 16 $ 1,391 Net Expected Loss to be Paid (Recovered) By Accounting Model As of December 31, 2014 Financial Guaranty Insurance FG VIEs(1) and Other Credit Total (in millions) Public Finance: U.S. public finance $ 303 $ — $ — $ 303 Non-U.S. public finance 45 — — 45 Public Finance 348 — — 348 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 4 Alt-A first lien 288 17 (1 ) 304 Option ARM (15 ) — (1 ) (16 ) Subprime 163 71 69 303 Total first lien 438 88 69 595 Second lien (53 ) 38 4 (11 ) Total U.S. RMBS 385 126 73 584 Triple-X life insurance transactions 153 — 8 161 TruPS 1 — 22 23 Student loans 68 — — 68 Other structured finance 34 (4 ) (45 ) (15 ) Structured Finance 641 122 58 821 Total $ 989 $ 122 $ 58 $ 1,169 _____________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. The following tables present the net economic loss development for all contracts by accounting model, by sector and after the benefit for estimated and contractual recoveries for breaches of R&W. Net Economic Loss Development (Benefit) By Accounting Model Year Ended December 31, 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 421 $ — $ (5 ) $ 416 Non-U.S. public finance (11 ) — — (11 ) Public Finance 410 — (5 ) 405 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — (1 ) (1 ) Alt-A first lien (49 ) 0 (77 ) (126 ) Option ARM (17 ) — 1 (16 ) Subprime 9 11 (1 ) 19 Total first lien (57 ) 11 (78 ) (124 ) Second lien 35 7 — 42 Total U.S. RMBS (22 ) 18 (78 ) (82 ) Triple-X life insurance transactions 6 — 5 11 TruPS (1 ) — (17 ) (18 ) Student loans (9 ) — — (9 ) Other structured finance 1 (2 ) 13 12 Structured Finance (25 ) 16 (77 ) (86 ) Total $ 385 $ 16 $ (82 ) $ 319 Net Economic Loss Development (Benefit) By Accounting Model Year Ended December 31, 2014 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 183 $ — $ — $ 183 Non-U.S. public finance (10 ) — (2 ) (12 ) Public Finance 173 — (2 ) 171 Structured Finance: U.S. RMBS: First lien: Prime first lien — — (16 ) (16 ) Alt-A first lien (87 ) (13 ) (44 ) (144 ) Option ARM (48 ) 1 (12 ) (59 ) Subprime (15 ) 6 2 (7 ) Total first lien (150 ) (6 ) (70 ) (226 ) Second lien (130 ) 91 (3 ) (42 ) Total U.S. RMBS (280 ) 85 (73 ) (268 ) Triple-X life insurance transactions 86 — 6 92 TruPS (2 ) — (26 ) (28 ) Student loans 16 — — 16 Other structured finance (5 ) (1 ) (7 ) (13 ) Structured Finance (185 ) 84 (100 ) (201 ) Total $ (12 ) $ 84 $ (102 ) $ (30 ) ____________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. Selected U.S. Public Finance Transactions The Company insures general obligation bonds of the Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations aggregating $5.1 billion net par as of December 31, 2015 , all of which are BIG. For additional information regarding the Company's exposure to general obligations of Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations, please refer to "Exposure to Puerto Rico" in Note 4, Outstanding Exposure. On February 25, 2015, a plan of adjustment resolving the bankruptcy filing of the City of Stockton, California under chapter 9 of the U.S. Bankruptcy Code became effective. As of December 31, 2015 , the Company’s net exposure subject to the plan consists of $115 million of pension obligation bonds. As part of the plan settlement, the City will repay the pension obligation bonds from certain fixed payments and certain variable payments contingent on the City's revenue growth. The Company agreed as part of the plan to cancel its $40 million of the City’s lease revenue bonds in exchange for the irrevocable option to take title to the office building that served as collateral for the lease revenue bonds. The Company also receives net rental payments from the office building. The Company no longer reflects the canceled lease revenue bonds as outstanding insured net par, but instead the financial statements reflect an investment in the office building and related lease revenue and expenses. As of December 31, 2015 , the office building is carried at approximately $29 million and is reported as part of Other Assets. As a result of the Radian Asset Acquisition, the Company has approximately $21 million of net par exposure as of December 31, 2015 to bonds issued by Parkway East Public Improvement District, which is located in Madison County, Mississippi. The bonds, which are rated BIG, are payable from special assessments on properties within the District, as well as amounts paid under a contribution agreement with the County in which the County covenants that it will provide funds in the event special assessments are not sufficient to make a debt service payment. The special assessments have not been sufficient to pay debt service in full. In earlier years, the County provided funding to cover the balance of the debt service requirement, but the County now claims that the District’s failure to reimburse it within the two years stipulated in the contribution agreement means that the County is not required to provide funding until it is reimbursed. A declaratory judgment action is pending against the District and the County to establish the Company's rights under the contribution agreement. See "Recovery Litigation" below. The Company also has $15.0 billion of net par exposure to healthcare transactions. The BIG net par outstanding in this sector is $351 million , $242 million of which was acquired as part of the Radian Asset Acquisition. The Company projects that its total net expected loss across its troubled U.S. public finance credits as of December 31, 2015 , which incorporated the likelihood of the various outcomes, will be $771 million , compared with a net expected loss of $303 million as of December 31, 2014 . On April 1, 2015, the Radian Asset Acquisition added $81 million in net expected losses to be paid for U.S. public finance credits. Economic loss development in 2015 was $416 million , which was primarily attributable to Puerto Rico exposures. Certain Selected European Country Sub-Sovereign Transactions The Company insures and reinsures credits with sub-sovereign exposure to various Spanish and Portuguese issuers where a Spanish and Portuguese sovereign default may cause the sub-sovereigns also to default. The Company's gross exposure to these Spanish and Portuguese credits is $452 million and $91 million , respectively, and exposure net of reinsurance for Spanish and Portuguese credits is $360 million and $85 million , respectively. The Company rates most of these issuers in the BB category due to the financial condition of Spain and Portugal and their dependence on the sovereign. The Company's Hungary exposure is to infrastructure bonds dependent on payments from Hungarian governmental entities. The Company's gross exposure to these Hungarian credits is $274 million and its exposure net of reinsurance is $271 million , all of which is rated BIG. The Company estimated net expected losses of $35 million related to these Spanish, Portuguese and Hungarian credits. The economic benefit of approximately $11 million during 2015 was primarily related to changes in the exchange rate between the Euro and US Dollar and certain assumption updates. Infrastructure Finance As of December 31, 2015 , the Company had exposure of approximately $2.9 billion to infrastructure transactions with refinancing risk. The Company may be required to make claim payments on such exposure, the aggregate amount of the claim payments may be substantial and, although the Company may not experience ultimate loss on a particular transaction, reimbursement may not occur for an extended time. These transactions generally involve long-term infrastructure projects that were financed by bonds that mature prior to the expiration of the project concession. The Company expects the cash flows from these projects to be sufficient to repay all of the debt over the life of the project concession, but also expects the debt to be refinanced in the market at or prior to its maturity. If the issuer is unable to refinance the debt due to market conditions, the Company may have to pay a claim when the debt matures, and then recover from cash flows produced by the project in the future. The Company generally projects that in most scenarios it will be fully reimbursed for such claim payments. However, the recovery of such amounts is uncertain and may take from 10 to 35 years, depending on the transaction and the performance of the underlying collateral. As of December 31, 2015 , the Company estimated total claims for the two largest transactions with significant refinancing risk, assuming no refinancing, and based on certain performance assumptions, could be $1.9 billion on a gross basis; such claims would occur from 2017 through 2022. Of such $1.9 billion in estimated gross claims, an estimated $1.3 billion related to obligations of Skyway Concession Company LLC (“SCC”), which owned the concession for the Chicago Skyway toll road. In November 2015, a consortium of three Canadian pension plans announced that they had reached agreement, subject to regulatory approvals and customary closing conditions, to purchase SCC for $2.8 billion . The sale was completed on February 25, 2016 and the various SCC obligations insured by the Company were retired without a claim on the Company. Approach to Projecting Losses in U.S. RMBS The Company projects losses on its insured U.S. RMBS on a transaction-by-transaction basis by projecting the performance of the underlying pool of mortgages over time and then applying the structural features (i.e., payment priorities and tranching) of the RMBS and any R&W agreements 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 a mortgage borrower falls in making payments, the more likely it is that he or she 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 more than one payment behind (generally considered performing borrowers) have demonstrated an ability and willingness to pay throughout the recession and mortgage crisis, and as a result are viewed as less likely to default than delinquent borrowers. 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 conditional default rate after the near-term liquidation of currently delinquent loans represent defaults of currently performing loans and projected re-performing loans. A conditional default rate 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 (or “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 based on its experience to date. The Company continues to update its evaluation of these loss severities as new information becomes available. The Company has been enforcing claims for breaches of R&W regarding the characteristics of the loans included in the collateral pools, and by reaching agreements with certain R&W providers in early October 2015, has completed its active pursuit of significant R&W claims. The Company calculates a credit for R&W recoveries to include in its cash flow projections based on agreements it has with R&W providers, which are described in more detail under "Breaches of Representations and Warranties" below. 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. The Company's RMBS loss projection methodology assumes that the housing and mortgage markets will continue improving. 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 whether those changes are normal fluctuations or part of a trend. Year-End 2015 Compared to Year-End 2014 U.S. 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, the Company chose to use the same general assumptions to project RMBS losses as of December 31, 2015 as it used as of December 31, 2014, except that, for its first lien RMBS loss projections for 2015, it shortened by twelve months the period it is projecting it will take in the base case to reach the final CDR as compared with December 31, 2014. The methodology and revised assumptions the Company used to project first lien RMBS losses and the scenarios it employed are described in more detail below under " - U.S. First Lien RMBS Loss Projections: Alt A First Lien, Option ARM, Subprime and Prime", and the methodology and assumptions the Company uses to project second lien RMBS losses and the scenarios it employs are described in more detail below under " - U.S. Second Lien RMBS Loss Projections." Year-End 2014 Compared to Year-End 2013 U.S. RMBS Loss Projections Based on its observations 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, the Company chose to use the same general methodology to project first lien RMBS losses as of December 31, 2014 as it used as of December 31, 2013, but it made a number of refinements to reflect its observations, notably: • updated the liquidation rates it uses on delinquent loans based on observations and on an assumption that loan modifications (which improve liquidation rates) would over the n |
Financial Guaranty Insurance
Financial Guaranty Insurance | 12 Months Ended |
Dec. 31, 2015 | |
Insurance [Abstract] | |
Financial Guaranty Insurance | Financial Guaranty Insurance Financial Guaranty Insurance Premiums The portfolio of outstanding exposures discussed in Note 4, Outstanding Exposure, includes financial guaranty contracts that meet the definition of insurance contracts as well as those that meet the definition of a derivative under GAAP. Amounts presented in this note relate to financial guaranty insurance contracts, unless otherwise noted. See Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives for amounts that relate to CDS and Note 9, Consolidated Variable Interest Entities for amounts that relate to FG VIEs. Accounting Policies Accounting for 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 are consistent whether the contract was written on a direct basis, assumed from another financial guarantor under a reinsurance treaty, ceded to another insurer under a reinsurance treaty, or acquired in a business combination. Premium receivables comprise the present value of contractual or expected future premium collections discounted using the risk-free rate. Unearned premium reserve represents deferred premium revenue, less claim payments and recoveries received that have not yet been recognized in the statement of operations (“contra-paid”). The following discussion relates to the deferred premium revenue component of the unearned premium reserve, while the contra-paid is discussed below under "Financial Guaranty Insurance Losses." The amount of deferred premium revenue at contract inception is determined as follows: • For premiums received upfront on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is equal to the amount of cash received. Upfront premiums typically relate to public finance transactions. • For premiums received in installments on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is the present value of either (1) contractual premiums due or (2) in cases where the underlying collateral is comprised 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 prepayable, the amount of prepayments must be probable, and the timing and amount of prepayments must be reasonably estimable. When the Company adjusts prepayment assumptions or expected premium collections, an adjustment is recorded to the deferred premium revenue, with a corresponding adjustment to the premium receivable, and prospective changes are recognized in premium revenues. 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. Installment premiums typically relate to structured finance 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 due primarily to fair value adjustments recorded in connection with a business combination. 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 principal 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 principal amounts outstanding in the reporting period compared with the sum of each of the insured principal amounts outstanding for all periods. When an insured financial obligation is retired before its maturity, the financial guaranty insurance contract is extinguished. Any nonrefundable deferred premium revenue related to that contract is accelerated and recognized as premium revenue. When a premium receivable balance is deemed uncollectible, it is written off to bad debt expense. For reinsurance assumed contracts, earned premiums reported in the Company's 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 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 reinsurance assumed contracts, the Company assesses the credit quality and liquidity of the ceding companies and the impact of any potential regulatory constraints to determine the collectability of such amounts. Deferred premium revenue ceded to reinsurers (ceded unearned premium reserve) is recorded as an asset. Direct, assumed and ceded earned premium revenue are presented together as net earned premiums in the statement of operations. Net earned premiums comprise the following: Net Earned Premiums Year Ended December 31, 2015 2014 2013 (in millions) Scheduled net earned premiums $ 416 $ 415 $ 470 Acceleration of net earned premiums (1) 331 136 263 Accretion of discount on net premiums receivable 17 16 17 Financial guaranty insurance net earned premiums 764 567 750 Other 2 3 2 Net earned premiums (2) $ 766 $ 570 $ 752 ___________________ (1) Reflects the unscheduled refunding or termination of the insurance on an insured obligation as well as changes in scheduled earnings due to changes in the expected lives of the insured obligations. (2) Excludes $21 million , $32 million and $60 million for the year ended December 31, 2015 , 2014 and 2013 , respectively, related to consolidated FG VIEs. Components of Unearned Premium Reserve As of December 31, 2015 As of December 31, 2014 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue $ 4,008 $ 238 $ 3,770 $ 4,167 $ 387 $ 3,780 Contra-paid(2) (12 ) (6 ) (6 ) 94 (6 ) 100 Unearned premium reserve $ 3,996 $ 232 $ 3,764 $ 4,261 $ 381 $ 3,880 ____________________ (1) Excludes $110 million and $ 125 million of deferred premium revenue and $30 million and $42 million of contra-paid related to FG VIEs as of December 31, 2015 and December 31, 2014 , respectively. (2) See "Financial Guaranty Insurance Losses – Insurance Contracts' Loss Information" below for an explanation of "contra-paid". Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward Year Ended December 31, 2015 2014 2013 (in millions) Beginning of period, December 31 $ 729 $ 876 $ 1,005 Premiums receivable acquired in Radian Asset Acquisition on April 1, 2015 2 — — Gross premium written, net of commissions on assumed business 198 171 145 Gross premiums received, net of commissions on assumed business (206 ) (230 ) (259 ) Adjustments: Changes in the expected term (19 ) (66 ) (28 ) Accretion of discount, net of commissions on assumed business 18 10 20 Foreign exchange translation (25 ) (31 ) (1 ) Consolidation/deconsolidation of FG VIEs (4 ) (1 ) — Other adjustments 0 — (6 ) End of period, December 31 (1) $ 693 $ 729 $ 876 ____________________ (1) Excludes $17 million , $19 million and $21 million as of December 31, 2015 , 2014 and 2013 , respectively, related to consolidated FG VIEs. Foreign exchange translation relates to installment premium receivables denominated in currencies other than the U.S. dollar. Approximately 52% and 51% of installment premiums at December 31, 2015 and 2014 , respectively, are denominated in currencies other than the U.S. dollar, primarily the Euro and British Pound Sterling. The timing and cumulative amount of actual collections may differ from expected collections in the tables below due to factors such as foreign exchange rate fluctuations, counterparty collectability issues, accelerations, commutations and changes in expected lives. Expected Collections of Financial Guaranty Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of December 31, 2015 (in millions) 2016 (January 1 – March 31) $ 34 2016 (April 1 – June 30) 23 2016 (July 1 – September 30) 18 2016 (October 1 – December 31) 17 2017 67 2018 61 2019 57 2020 56 2021-2025 226 2026-2030 147 2031-2035 103 After 2035 84 Total(1) $ 893 ____________________ (1) Excludes expected cash collections on FG VIEs of $22 million . Scheduled Financial Guaranty Net Earned Premiums As of December 31, 2015 (in millions) 2016 (January 1 – March 31) $ 100 2016 (April 1 – June 30) 97 2016 (July 1 – September 30) 93 2016 (October 1 – December 31) 91 Subtotal 2016 381 2017 332 2018 298 2019 272 2020 250 2021-2025 977 2026-2030 616 2031-2035 363 After 2035 281 Net deferred premium revenue(1) 3,770 Future accretion 186 Total future net earned premiums $ 3,956 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $110 million . Selected Information for Financial Guaranty Policies Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 693 $ 729 Gross deferred premium revenue 1,240 1,370 Weighted-average risk-free rate used to discount premiums 3.1 % 3.5 % Weighted-average period of premiums receivable (in years) 9.4 9.4 Financial Guaranty Insurance Acquisition Costs Accounting Policy Policy acquisition costs that are directly related and essential to successful insurance contract acquisition and ceding commission income on ceded reinsurance contracts are deferred for contracts accounted for as insurance, and reported net. Amortization of deferred policy acquisition costs includes the accretion of discount on ceding commission income and expense. Capitalized policy acquisition costs costs include expenses such as ceding commissions expense on assumed reinsurance contracts and the cost of underwriting personnel attributable to successful underwriting efforts. 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 deferred acquisition costs ("DAC"), with a corresponding offset to net premiums receivable or reinsurance balances payable. Management uses its judgment in determining the type and amount of costs to be deferred. The Company conducts an annual study to determine which operating costs qualify for deferral. Costs incurred for soliciting potential customers, market research, training, administration, unsuccessful acquisition efforts, and product development as well as all overhead type costs are charged to expense as incurred. DAC is amortized in proportion to net earned premiums. When an insured obligation is retired early, the remaining related DAC, net of ceding commission income is recognized at that time. Expected losses, which include LAE, investment income, and the remaining costs of servicing the insured or reinsured business, are considered in determining the recoverability of DAC. Rollforward of Deferred Acquisition Costs Year Ended December 31, 2015 2014 2013 (in millions) Beginning of period $ 121 $ 124 $ 116 DAC adjustments related to Radian Asset Acquisition on April 1, 2015 1 — — Costs deferred during the period: Commissions on assumed and ceded business (1 ) 7 9 Premium taxes 2 3 4 Compensation and other acquisition costs 11 10 8 Total 12 20 21 Costs amortized during the period (20 ) (23 ) (13 ) End of period $ 114 $ 121 $ 124 Financial Guaranty Insurance Losses Accounting Policies Loss and LAE Reserve Loss and LAE reserve reported on the balance sheet relates only to direct and assumed reinsurance contracts that are accounted for as insurance, substantially all of which are financial guaranty insurance contracts. The corresponding reserve ceded to reinsurers is reported as reinsurance recoverable on unpaid losses. As discussed in Note 7, Fair Value Measurement, contracts that meet the definition of a derivative, as well as consolidated FG VIE assets and liabilities, are recorded separately at fair value. Any expected losses related to consolidated FG VIEs are eliminated upon consolidation. Any expected losses on credit derivatives are not recorded as loss and LAE reserve on the consolidated balance sheet. Under financial guaranty insurance accounting, the sum of unearned premium reserve and loss and LAE reserve represents the Company's stand‑ready obligation. Unearned premium reserve is deferred premium revenue, less claim payments and recoveries received that have not yet been recognized in the statement of operations ("contra-paid"). At contract inception, the entire stand-ready obligation is represented by unearned premium reserve. A loss and LAE reserve for an insurance contract is recorded only to the extent, and for the amount, that expected loss to be paid net of contra-paid (“total losses”) exceed the deferred premium revenue, on a contract by contract basis. As a result, the Company has expected loss to be paid that has not yet been expensed. Such amounts will be recognized in future periods as deferred premium revenue amortizes into income. When a claim or LAE payment is made on a contract, it first reduces any recorded loss and LAE reserve. To the extent there is no loss and LAE reserve on a contract, then such claim payment is recorded as “contra-paid,” which reduces the unearned premium reserve. The contra-paid is recognized in the line item “loss and LAE” 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 LAE 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 an insured credit 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: • a reduction in the corresponding loss and LAE reserve with a benefit to the income statement, • no entry recorded, if “total loss” is not in excess of deferred premium revenue, or • the recording of a salvage asset with a benefit to the income statement if the transaction is in a net recovery position at the reporting date. The Company recognizes the expected recovery of claim payments (including recoveries from settlement with R&W providers) made by an acquired subsidiary prior to the date of acquisition, consistent with its policy for recognizing recoveries on all financial guaranty insurance contracts. To the extent that the estimated amount of recoveries increases or decreases due to changes in facts and circumstances the Company would recognize a benefit or expense consistent with how changes in the expected recovery of all other claim payments are recorded. The ceded component of salvage and subrogation recoverable is recorded in the line item reinsurance balances payable. Expected Loss to be Expensed Expected loss to be expensed represents past or expected future net claim payments that have not yet been expensed. Such amounts will be expensed in future periods as deferred premium revenue amortizes into income on financial guaranty insurance policies. 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 The following table provides information on loss and LAE reserves and salvage and subrogation recoverable, net of reinsurance. The Company used weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations that ranged from 0.0% to 3.25% as of December 31, 2015 and 0.0% to 2.95% as of December 31, 2014 . Financial guaranty insurance expected LAE reserve was $10 million as of December 31, 2015 and $12 million as of December 31, 2014 . Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts As of December 31, 2015 As of December 31, 2014 Loss and LAE Reserve, net Salvage and Subrogation Recoverable, net Net Reserve (Recoverable) Loss and LAE Reserve, net Salvage and Subrogation Recoverable, net Net Reserve (Recoverable) (in millions) Public Finance: U.S. public finance $ 604 $ 7 $ 597 $ 243 $ 8 $ 235 Non-U.S. public finance 25 — 25 30 — 30 Public Finance 629 7 622 273 8 265 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 2 — 2 Alt-A first lien 46 — 46 87 — 87 Option ARM 13 42 (29 ) 28 40 (12 ) Subprime 169 21 148 166 8 158 First lien 230 63 167 283 48 235 Second lien 32 53 (21 ) 7 78 (71 ) Total U.S. RMBS 262 116 146 290 126 164 Triple-X life insurance transactions 82 — 82 140 — 140 TruPS — — — 0 — 0 Student loans 51 — 51 64 — 64 Other structured finance 48 — 48 34 8 26 Structured Finance 443 116 327 528 134 394 Subtotal 1,072 123 949 801 142 659 Other recoverables — 3 (3 ) — 13 (13 ) Subtotal 1,072 126 946 801 155 646 Effect of consolidating FG VIEs (74 ) 0 (74 ) (80 ) (1 ) (79 ) Total (1) $ 998 $ 126 $ 872 $ 721 $ 154 $ 567 ______________ (1) See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. Components of Net Reserves (Salvage) As of As of (in millions) Loss and LAE reserve $ 1,067 $ 799 Reinsurance recoverable on unpaid losses (69 ) (78 ) Loss and LAE reserve, net 998 721 Salvage and subrogation recoverable (126 ) (151 ) Salvage and subrogation payable(1) 3 10 Other recoverables (3 ) (13 ) Salvage and subrogation recoverable, net, and other recoverable (126 ) (154 ) Net reserves (salvage) $ 872 $ 567 ____________________ (1) Recorded as a component of reinsurance balances payable. The table below provides a reconciliation of net expected loss to be paid to net expected loss to be expensed. Expected loss to be paid differs from expected loss to be expensed due to: (1) the contra-paid which represent the claim payments made and recoveries received that have not yet been recognized in the statement of operations, (2) salvage and subrogation recoverable for transactions that are in a net recovery position where the Company has not yet received recoveries on claims previously paid (having the effect of reducing net expected loss to be paid by the amount of the previously paid claim and the expected recovery), but will have no future income effect (because the previously paid claims and the corresponding recovery of those claims will offset in income in future periods), and (3) loss reserves that have already been established (and therefore expensed but not yet paid). Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of December 31, 2015 (in millions) Net expected loss to be paid $ 1,375 Less: net expected loss to be paid for FG VIEs and other 136 Total 1,239 Contra-paid, net 5 Salvage and subrogation recoverable, net of reinsurance 123 Loss and LAE reserve, net of reinsurance (982 ) Other recoveries 2 Net expected loss to be expensed (present value)(1) $ 387 ____________________ (1) Excludes $77 million as of December 31, 2015 related to consolidated FG VIEs. The following table provides a schedule of the expected timing of net expected losses to be expensed. The amount and timing of actual loss and LAE may differ from the estimates shown below due to factors such as accelerations, commutations, changes in expected lives and updates to loss estimates. This table excludes amounts related to FG VIEs, which are eliminated in consolidation. Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of December 31, 2015 (in millions) 2016 (January 1 – March 31) $ 12 2016 (April 1 – June 30) 10 2016 (July 1 – September 30) 8 2016 (October 1 – December 31) 8 Subtotal 2016 38 2017 31 2018 30 2019 29 2020 27 2021-2025 102 2026-2030 70 2031-2035 41 After 2035 19 Net expected loss to be expensed 387 Discount 286 Total expected future loss and LAE $ 673 The following table presents the loss and LAE recorded in the consolidated statements of operations by sector for insurance contracts. Amounts presented are net of reinsurance. Loss and LAE Reported on the Consolidated Statements of Operations Year Ended December 31, 2015 2014 2013 (in millions) Public Finance: U.S. public finance $ 392 $ 192 $ 198 Non-U.S. public finance 1 (1 ) 16 Public finance 393 191 214 Structured Finance: U.S. RMBS: First lien: Prime first lien (1 ) (1 ) 1 Alt-A first lien (23 ) (66 ) (2 ) Option ARM (15 ) (37 ) (48 ) Subprime 33 8 80 First lien (6 ) (96 ) 31 Second lien 60 (33 ) (35 ) Total U.S. RMBS 54 (129 ) (4 ) Triple-X life insurance transactions 16 85 (44 ) TruPS (1 ) (1 ) (1 ) Student loans (9 ) 17 10 Other structured finance (1 ) (7 ) 0 Structured finance 59 (35 ) (39 ) Loss and LAE on insurance contracts before FG VIE consolidation 452 156 175 Effect of consolidating FG VIEs (28 ) (30 ) (21 ) Loss and LAE $ 424 $ 126 $ 154 The following table provides information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2015 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 202 (46 ) 85 (13 ) 132 (44 ) 419 — 419 Remaining weighted-average contract period (in years) 10.0 8.7 13.8 9.5 7.7 5.9 10.7 — 10.7 Outstanding exposure: Principal $ 7,751 $ (732 ) $ 3,895 $ (240 ) $ 3,087 $ (187 ) $ 13,574 $ — $ 13,574 Interest 4,109 (354 ) 2,805 (110 ) 1,011 (42 ) 7,419 — 7,419 Total(2) $ 11,860 $ (1,086 ) $ 6,700 $ (350 ) $ 4,098 $ (229 ) $ 20,993 $ — $ 20,993 Expected cash outflows (inflows) $ 386 $ (42 ) $ 1,158 $ (60 ) $ 1,464 $ (53 ) $ 2,853 $ (343 ) $ 2,510 Potential recoveries Undiscounted R&W 69 (2 ) (49 ) 1 (85 ) 5 (61 ) 7 (54 ) Other(3) (441 ) 14 (118 ) 7 (587 ) 19 (1,106 ) 175 (931 ) Total potential recoveries (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Subtotal 14 (30 ) 991 (52 ) 792 (29 ) 1,686 (161 ) 1,525 Discount 91 3 (286 ) 12 (58 ) (89 ) (327 ) 41 (286 ) Present value of expected cash flows $ 105 $ (27 ) $ 705 $ (40 ) $ 734 $ (118 ) $ 1,359 $ (120 ) $ 1,239 Deferred premium revenue $ 371 $ (37 ) $ 150 $ (4 ) $ 386 $ (32 ) $ 834 $ (100 ) $ 734 Reserves (salvage) $ 2 $ (19 ) $ 591 $ (38 ) $ 404 $ (9 ) $ 931 $ (74 ) $ 857 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2014 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 164 (59 ) 75 (15 ) 119 (38 ) 358 — 358 Remaining weighted-average contract period (in years) 9.9 7.4 10.1 8.9 9.6 6.9 10.3 — 10.3 Outstanding exposure: Principal $ 12,358 $ (2,163 ) $ 2,421 $ (286 ) $ 3,067 $ (175 ) $ 15,222 $ — $ 15,222 Interest 6,350 (838 ) 1,274 (121 ) 1,034 (48 ) 7,651 — 7,651 Total(2) $ 18,708 $ (3,001 ) $ 3,695 $ (407 ) $ 4,101 $ (223 ) $ 22,873 $ — $ 22,873 Expected cash outflows (inflows) $ 1,762 $ (626 ) $ 763 $ (77 ) $ 1,716 $ (75 ) $ 3,463 $ (345 ) $ 3,118 Potential recoveries Undiscounted R&W (39 ) 0 (48 ) 2 (171 ) 9 (247 ) 8 (239 ) Other(3) (1,687 ) 608 (206 ) 5 (404 ) 30 (1,654 ) 177 (1,477 ) Total potential recoveries (1,726 ) 608 (254 ) 7 (575 ) 39 (1,901 ) 185 (1,716 ) Subtotal 36 (18 ) 509 (70 ) 1,141 (36 ) 1,562 (160 ) 1,402 Discount 3 0 (117 ) 11 (353 ) 9 (447 ) 34 (413 ) Present value of expected cash flows $ 39 $ (18 ) $ 392 $ (59 ) $ 788 $ (27 ) $ 1,115 $ (126 ) $ 989 Deferred premium revenue $ 378 $ (70 ) $ 119 $ (6 ) $ 312 $ (33 ) $ 700 $ (116 ) $ 584 Reserves (salvage) $ (42 ) $ (5 ) $ 278 $ (53 ) $ 482 $ (10 ) $ 650 $ (79 ) $ 571 ____________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. (2) Includes BIG amounts related to FG VIEs. (3) Includes excess spread and draws on HELOCs. Ratings Impact on Financial Guaranty Business A downgrade of one of AGL’s insurance subsidiaries may result in increased claims under financial guaranties issued by the Company, if the insured obligors were unable to pay. For example, AGM has issued financial guaranty insurance policies in respect of the obligations of municipal obligors under interest rate swaps. AGM insures periodic payments owed by the municipal obligors to the bank counterparties. In certain cases, AGM also insures termination payments that may be owed by the municipal obligors to the bank counterparties. If (i) AGM has been downgraded below the rating trigger set forth in a swap under which it has insured the termination payment, which rating trigger varies on a transaction by transaction basis; (ii) the municipal obligor has the right to cure by, but has failed in, posting collateral, replacing AGM or otherwise curing the downgrade of AGM; (iii) the transaction documents include as a condition that an event of default or termination event with respect to the municipal obligor has occurred, such as the rating of the municipal obligor being downgraded past a specified level, and such condition has been met; (iv) the bank counterparty has elected to terminate the swap; (v) a termination payment is payable by the municipal obligor; and (vi) the municipal obligor has failed to make the termination payment payable by it, then AGM would be required to pay the termination payment due by the municipal obligor, in an amount not to exceed the policy limit set forth in the financial guaranty insurance policy. At AGM's current financial strength ratings, if the conditions giving rise to the obligation of AGM to make a termination payment under the swap termination policies were all satisfied, then AGM could pay claims in an amount not exceeding approximately $150 million in respect of such termination payments. Taking into consideration whether the rating of the municipal obligor is below any applicable specified trigger, if the financial strength ratings of AGM were further downgraded below "A" by S&P or below "A2" by Moody's, and the conditions giving rise to the obligation of AGM to make a payment under the swap policies were all satisfied, then AGM could pay claims in an additional amount not exceeding approximately $377 million in respect of such termination payments. As another example, with respect to variable rate demand obligations ("VRDOs") for which a bank has agreed to provide a liquidity facility, a downgrade of AGM or AGC may provide the bank with the right to give notice to bondholders that the bank will terminate the liquidity facility, causing the bondholders to tender their bonds to the bank. Bonds held by the bank accrue interest at a “bank bond rate” that is higher than the rate otherwise borne by the bond (typically the prime rate plus 2.00% — 3.00% , and capped at the lesser of 25% and the maximum legal limit). In the event the bank holds such bonds for longer than a specified period of time, usually 90 - 180 days , the bank has the right to demand accelerated repayment of bond principal, usually through payment of equal installments over a period of not less than five years. In the event that a municipal obligor is unable to pay interest accruing at the bank bond rate or to pay principal during the shortened amortization period, a claim could be submitted to AGM or AGC under its financial guaranty policy. As of December 31, 2015 , AGM and AGC had insured approximately $5.7 billion net par of VRDOs, of which approximately $0.3 billion of net par constituted VRDOs issued by municipal obligors rated BBB- or lower pursuant to the Company’s internal rating. The specific terms relating to the rating levels that trigger the bank’s termination right, and whether it is triggered by a downgrade by one rating agency or a downgrade by all rating agencies then rating the insurer, vary depending on the transaction. In addition, AGM may be required to pay claims in respect of AGMH’s former financial products business if Dexia SA and its affiliates, from which the Company had purchased AGMH and its subsidiaries, do not comply with their obligations following a downgrade of the financial strength rating of AGM. Most of the guaranteed investment contracts ("GICs") insured by AGM allow the GIC holder to terminate the GIC and withdraw the funds in the event of a downgrade of AGM below A3 or A-, with no right of the GIC issuer to avoid such withdrawal by posting collateral or otherwise enhancing its credit. Each GIC contract stipulates the thresholds below which the GIC issuer must post eligible collateral, along with the types of securities eligible for posting and the collateralization percentage applicable to each security type. These collateralization percentages range from 100% of the GIC balance for cash posted as collateral to, typically, 108% for asset-backed securities. If the entire aggregate accreted GIC balance of approximately $1.8 billion as of December 31, 2015 were terminated, the assets of the GIC issuers (which had an aggregate market value which exceed the liabilities by $0.8 billion ) would be sufficient to fund the withdrawal of the GIC funds. |
Fair Value Measurement
Fair Value Measurement | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurement | Fair Value Measurement The Company carries a significant portion of its assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit price). The price represents the price available in the principal market for the asset or liability. If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market). Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on either internally developed models that primarily use, as inputs, market-based or independently sourced market parameters, including but not limited to yield curves, interest rates and debt prices or with the assistance of an independent third-party using a discounted cash flow approach and the third party’s proprietary pricing models. In addition to market information, models also incorporate transaction details, such as maturity of the instrument and contractual features designed to reduce the Company’s credit exposure, such as collateral rights as applicable. Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity. As markets and products develop and the pricing for certain products becomes more or less transparent, the Company may refine its methodologies and assumptions. During 2015 , no changes were made to the Company’s valuation models that had or are expected to have, a material impact on the Company’s consolidated balance sheets or statements of operations and comprehensive income. The Company’s methods for calculating fair value produce a fair value that may not be indicative of net realizable value or reflective of future fair values. The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The fair value hierarchy is determined based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company estimates of market assumptions. The fair value hierarchy prioritizes model inputs into three broad levels as follows, with Level 1 being the highest and Level 3 the lowest. An asset or liability’s categorization within the fair value 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. In May 2015, the FASB issued ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share , which removes the requirement to make certain disclosures and categorize within the fair value hierarchy, certain investments for which fair value is measured using the net asset value ("NAV") per share as a practical expedient. Effective December 31, 2015, the Company retrospectively adopted this accounting guidance that no longer requires investments measured at fair value using NAV per share practical expedient to be categorized within the fair value hierarchy. Therefore, the Company no longer includes its investments in partially-owned investment companies, investment funds, and limited partnerships within the fair value hierarchy and the Level 3 rollforward tables disclosed below. Prior period amounts within the fair value hierarchy disclosures contained in this section have been revised to conform to the current period presentation. This guidance requires a change in disclosure only and adoption of this guidance did not have an impact on our financial condition or results of operations. Transfers between Levels 1, 2 and 3 are recognized at the end of the period when the transfer occurs. The Company reviews the classification between Levels 1, 2 and 3 quarterly to determine whether a transfer is necessary. During the periods presented, there were no transfers between Level 1, 2 and 3. Measured and Carried at Fair Value Fixed-Maturity Securities and Short-Term Investments The fair value of bonds in the investment portfolio is generally based on prices received from third party pricing services or alternative pricing sources with reasonable levels of price transparency. The pricing services prepare estimates of fair value measurements using their pricing models, which include available relevant market information, benchmark curves, benchmarking of like securities, and sector groupings. Additional valuation factors that can be taken into account are nominal spreads and liquidity adjustments. The pricing services evaluate each asset class based on relevant market and credit information, perceived market movements, and sector news. The market inputs used in the pricing evaluation include: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data and industry and economic events. Benchmark yields have in many cases taken priority over reported trades for securities that trade less frequently or those that are distressed trades, and therefore may not be indicative of the market. The extent of the use of each input is dependent on the asset class and the market conditions. Given the asset class, the priority of the use of inputs may change or some market inputs may not be relevant. Additionally, the valuation of fixed-maturity investments is more subjective when markets are less liquid due to the lack of market based inputs, which may increase the potential that the estimated fair value of an investment is not reflective of the price at which an actual transaction would occur. Short-term investments, that are traded in active markets, are classified within Level 1 in the fair value hierarchy and are based on quoted market prices. Securities such as discount notes are classified within Level 2 because these securities are typically not actively traded due to their approaching maturity and, as such, their cost approximates fair value. Short term securities that were obtained as part of loss mitigation efforts and whose prices were determined based on models, where at least one significant model assumption or input is unobservable, are considered to be Level 3 in the fair value hierarchy. Annually, the Company reviews each pricing service’s procedures, controls and models used in the valuations of the Company’s investment portfolio, as well as the competency of the pricing service’s key personnel. In addition, on a quarterly basis, the Company holds a meeting of the internal valuation committee (comprised of individuals within the Company with market, valuation, accounting, and/or finance experience) that reviews and approves prices and assumptions used by the pricing services. For Level 1 and 2 securities, the Company, on a quarterly basis, reviews internally developed analytic packages that highlight, at a CUSIP level, price changes from the previous quarter to the current quarter. Where unexpected price movements are noted for a specific CUSIP, the Company formally challenges the price provided, and reviews all key inputs utilized in the third party’s pricing model, and compares such information to management’s own market information. For Level 3 securities, the Company, on a quarterly basis: • reviews methodologies, any model updates and inputs and compares such information to management’s own market information and, where applicable, the internal models, • reviews internally developed analytic packages that highlight, at a CUSIP level, price changes from the previous quarter to the current quarter, and evaluates, documents, and resolves any significant pricing differences with the assistance of the third party pricing source, and • compares prices received from different third party pricing sources, and evaluates, documents the rationale for, and resolves any significant pricing differences. As of December 31, 2015 , the Company used models to price 38 fixed-maturity securities and short-term investments (which were purchased or obtained for loss mitigation or other risk management purposes), which was 10.4% or $1,144 million of the Company’s fixed-maturity securities and short-term investments at fair value. Most Level 3 securities were priced with the assistance of an independent third-party. The pricing is based on a discounted cash flow approach using the third-party’s proprietary pricing models. The models use inputs such as projected prepayment speeds; severity assumptions; recovery lag assumptions; estimated default rates (determined on the basis of an analysis of collateral attributes, historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality); home price depreciation/appreciation rates based on macroeconomic forecasts and recent trading activity. The yield used to discount the projected cash flows is determined by reviewing various attributes of the bond including collateral type, weighted average life, sensitivity to losses, vintage, and convexity, in conjunction with market data on comparable securities. Significant changes to any of these inputs could materially change the expected timing of cash flows within these securities which is a significant factor in determining the fair value of the securities. Other Invested Assets As of December 31, 2015 and December 31, 2014 , other invested assets include investments carried and measured at fair value on a recurring basis of $53 million and $95 million , respectively, and include primarily an investment in the global property catastrophe risk market and an investment in a fund that invests primarily in senior loans and bonds. Fair values for the majority of these investments are based on their respective NAV per share or equivalent, as a practical expedient, and are excluded from the fair value hierarchy table below. Other invested assets also include fixed-maturity securities classified as trading carried as Level 2. Other Assets Committed Capital Securities The fair value of committed capital securities ("CCS"), which is recorded in “other assets” on the consolidated balance sheets, represents the difference between the present value of remaining expected put option premium payments under AGC’s CCS (the “AGC CCS”) and AGM’s Committed Preferred Trust Securities (the “AGM CPS”) agreements, and the estimated present value that the Company would hypothetically have to pay currently for a comparable security (see Note 16, Long Term Debt and Credit Facilities). The AGC CCS and AGM CPS are carried at fair value with changes in fair value recorded in the consolidated statement of operations. The estimated current cost of the Company’s CCS is based on several factors, including broker-dealer quotes for the outstanding securities, AGM and AGC CDS spreads, the U.S. dollar forward swap curve, London Interbank Offered Rate ("LIBOR") curve projections and the term the securities are estimated to remain outstanding. Supplemental Executive Retirement Plans The Company classifies the fair value measurement of the assets of the Company's various supplemental executive retirement plans as either Level 1 or Level 2. The fair value of these assets is valued based on the observable published daily values of the underlying mutual fund included in the aforementioned plans (Level 1) or based upon the net asset value of the funds if a published daily value is not available (Level 2). The net asset values are based on observable information. Financial Guaranty Contracts Accounted for as Credit Derivatives The Company’s credit derivatives consist primarily of insured CDS contracts, and also include interest rate swaps that fall under derivative accounting standards requiring fair value accounting through the statement of operations. The Company does not enter into CDS with the intent to trade these contracts and the Company may not unilaterally terminate a CDS contract absent an event of default or termination event that entitles the Company to terminate such contracts; however, the Company has mutually agreed with various counterparties to terminate certain CDS transactions. Such terminations generally are not completed at fair value but instead for an amount that approximates the present value of future premiums or for a negotiated amount. 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 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 or purchases for credit protection purposes, except under specific circumstances such as mutual agreements with counterparties. Management considers the non-standard terms of its credit derivative contracts in determining the fair value of these contracts. Due to the lack of quoted prices and other observable inputs for its instruments or for similar instruments, the Company determines the fair value of its credit derivative contracts primarily through internally developed, proprietary models that use both observable and unobservable market data inputs to derive an estimate of the fair value of the Company's contracts in its principal markets (see "Assumptions and Inputs"). There is no established market where financial guaranty insured credit derivatives are actively traded; therefore, management has determined that the exit market for the Company’s credit derivatives is a hypothetical one based on its entry market. Management has tracked the historical pricing of the Company’s deals to establish historical price points in the hypothetical market that are used in the fair value calculation. These contracts are classified as Level 3 in the fair value hierarchy since there is reliance on at least one unobservable input deemed significant to the valuation model, most importantly the Company’s estimate of the value of the non-standard terms and conditions of its credit derivative contracts and of the Company’s current credit standing. The Company’s models and the related assumptions are continuously reevaluated by management and enhanced, as appropriate, based upon improvements in modeling techniques and availability of more timely and relevant market information. The fair value of the Company’s credit derivative contracts represents the difference between the present value of remaining premiums the Company expects to receive or pay and the estimated present value of premiums that a financial guarantor of comparable credit-worthiness would hypothetically charge or pay at the reporting date for the same protection. The fair value of the Company’s credit derivatives depends on a number of factors, including notional amount of the contract, expected term, credit spreads, changes in interest rates, the credit ratings of referenced entities, the Company’s own credit risk and remaining contractual cash flows. The expected remaining contractual premium cash flows are the most readily observable inputs since they are based on the CDS contractual terms. Credit spreads capture the effect of recovery rates and performance of underlying assets of these contracts, among other factors. Consistent with previous years, market conditions at December 31, 2015 were such that market prices of the Company’s CDS contracts were not available. Management considers factors such as current prices charged for similar agreements, when available, performance of underlying assets, life of the instrument, and the nature and extent of activity in the financial guaranty credit derivative marketplace. The assumptions that management uses to determine the fair value may change in the future due to market conditions. Due to the inherent uncertainties of the assumptions used in the valuation models, actual experience may differ from the estimates reflected in the Company’s consolidated financial statements and the differences may be material. Assumptions and Inputs The various inputs and assumptions that are key to the establishment of the Company’s fair value for CDS contracts are as follows: • Gross spread. • The allocation of gross spread among: ◦ the profit the originator, usually an investment bank, realizes for putting the deal together and funding the transaction (“bank profit”); ◦ premiums paid to the Company for the Company’s credit protection provided (“net spread”); and ◦ the cost of CDS protection purchased by the originator to hedge their counterparty credit risk exposure to the Company (“hedge cost”). • The weighted average life which is based on Debt Service schedules. The rates used to discount future expected premium cash flows ranged from 0.44% to 2.51% at December 31, 2015 and 0.26% to 2.70% at December 31, 2014 . The Company obtains gross spreads on its outstanding contracts from market data sources published by third parties (e.g., dealer spread tables for the collateral similar to assets within the Company’s transactions), as well as collateral-specific spreads provided by trustees or obtained from market sources. If observable market credit spreads are not available or reliable for the underlying reference obligations, then market indices are used that most closely resemble the underlying reference obligations, considering asset class, credit quality rating and maturity of the underlying reference obligations. These indices are adjusted to reflect the non-standard terms of the Company’s CDS contracts. Market sources determine credit spreads by reviewing new issuance pricing for specific asset classes and receiving price quotes from their trading desks for the specific asset in question. Management validates these quotes by cross-referencing quotes received from one market source against quotes received from another market source to ensure reasonableness. In addition, the Company compares the relative change in price quotes received from one quarter to another, with the relative change experienced by published market indices for a specific asset class. Collateral specific spreads obtained from third-party, independent market sources are un-published spread quotes from market participants or market traders who are not trustees. Management obtains this information as the result of direct communication with these sources as part of the valuation process. With respect to CDS transactions for which there is an expected claim payment within the next twelve months, the allocation of gross spread reflects a higher allocation to the cost of credit rather than the bank profit component. In the current market, it is assumed that a bank would be willing to accept a lower profit on distressed transactions in order to remove these transactions from its financial statements. The following spread hierarchy is utilized in determining which source of gross spread to use, with the rule being to use CDS spreads where available. If not available, CDS spreads are either interpolated or extrapolated based on similar transactions or market indices. • Actual collateral specific credit spreads (if up-to-date and reliable market-based spreads are available). • Deals priced or closed during a specific quarter within a specific asset class and specific rating. No transactions closed during the periods presented. • Credit spreads interpolated based upon market indices. • Credit spreads provided by the counterparty of the CDS. • Credit spreads extrapolated based upon transactions of similar asset classes, similar ratings, and similar time to maturity. Information by Credit Spread Type (1) As of As of Based on actual collateral specific spreads 13 % 9 % Based on market indices 73 % 82 % Provided by the CDS counterparty 14 % 9 % Total 100 % 100 % ____________________ (1) Based on par. Over time the data inputs can change as new sources become available or existing sources are discontinued or are no longer considered to be the most appropriate. It is the Company’s objective to move to higher levels on the hierarchy whenever possible, but it is sometimes necessary to move to lower priority inputs because of discontinued data sources or management’s assessment that the higher priority inputs are no longer considered to be representative of market spreads for a given type of collateral. This can happen, for example, if transaction volume changes such that a previously used spread index is no longer viewed as being reflective of current market levels. The Company interpolates a curve based on the historical relationship between the premium the Company receives when a credit derivative is closed to the daily closing price of the market index related to the specific asset class and rating of the deal. This curve indicates expected credit spreads at each indicative level on the related market index. For transactions with unique terms or characteristics where no price quotes are available, management extrapolates credit spreads based on a similar transaction for which the Company has received a spread quote from one of the first three sources within the Company’s spread hierarchy. This alternative transaction will be within the same asset class, have similar underlying assets, similar credit ratings, and similar time to maturity. The Company then calculates the percentage of relative spread change quarter over quarter for the alternative transaction. This percentage change is then applied to the historical credit spread of the transaction for which no price quote was received in order to calculate the transactions’ current spread. Counterparties determine credit spreads by reviewing new issuance pricing for specific asset classes and receiving price quotes from their trading desks for the specific asset in question. These quotes are validated by cross-referencing quotes received from one market source with those quotes received from another market source to ensure reasonableness. The premium the Company receives is referred to as the “net spread.” The Company’s pricing model takes into account not only how credit spreads on risks that it assumes affect pricing, but also how the Company’s own credit spread affects the pricing of its deals. The Company’s own credit risk is factored into the determination of net spread based on the impact of changes in the quoted market price for credit protection bought on the Company, as reflected by quoted market prices on CDS referencing AGC or AGM. For credit spreads on the Company’s name the Company obtains the quoted price of CDS contracts traded on AGC and AGM from market data sources published by third parties. The cost to acquire CDS protection referencing AGC or AGM affects the amount of spread on CDS deals that the Company retains and, hence, their fair value. As the cost to acquire CDS protection referencing AGC or AGM increases, the amount of premium the Company retains on a deal generally decreases. As the cost to acquire CDS protection referencing AGC or AGM decreases, the amount of premium the Company retains on a deal generally increases. In the Company’s valuation model, the premium the Company captures is not permitted to go below the minimum rate that the Company would currently charge to assume similar risks. This assumption can have the effect of mitigating the amount of unrealized gains that are recognized on certain CDS contracts. Given the current market conditions and the Company’s own credit spreads, approximately 20% and 21% , based on number of deals, of the Company's CDS contracts are fair valued using this minimum premium as of December 31, 2015 and December 31, 2014 , respectively. The percentage of deals that price using the minimum premiums fluctuates due to changes in AGM's and AGC's credit spreads. In general when AGM's and AGC's credit spreads narrow, the cost to hedge AGM's and AGC's name declines and more transactions price above previously established floor levels. Meanwhile, when AGM's and AGC's credit spreads widen, the cost to hedge AGM's and AGC's name increases causing more transactions to price at previously established floor levels. The Company corroborates the assumptions in its fair value model, including the portion of exposure to AGC and AGM hedged by its counterparties, with independent third parties each reporting period. The current level of AGC’s and AGM’s own credit spread has resulted in the bank or deal originator hedging a significant portion of its exposure to AGC and AGM. This reduces the amount of contractual cash flows AGC and AGM can capture as premium for selling its protection. The amount of premium a financial guaranty insurance market participant can demand is inversely related to the cost of credit protection on the insurance company as measured by market credit spreads assuming all other assumptions remain constant. This is because the buyers of credit protection typically hedge a portion of their risk to the financial guarantor, due to the fact that the contractual terms of the Company's contracts typically do not require the posting of collateral by the guarantor. The extent of the hedge depends on the types of instruments insured and the current market conditions. A fair value resulting in a credit derivative asset on protection sold is the result of contractual cash inflows on in-force deals in excess of what a hypothetical financial guarantor could receive if it sold protection on the same risk as of the reporting date. If the Company were able to freely exchange these contracts (i.e., assuming its contracts did not contain proscriptions on transfer and there was a viable exchange market), it would be able to realize a gain representing the difference between the higher contractual premiums to which it is entitled and the current market premiums for a similar contract. The Company determines the fair value of its CDS contracts by applying the difference between the current net spread and the contractual net spread for the remaining duration of each contract to the notional value of its CDS contracts and taking the present value of such amounts discounted at the corresponding LIBOR over the weighted average remaining life of the contract. Example The following is an example of how changes in gross spreads, the Company’s own credit spread and the cost to buy protection on the Company affect the amount of premium the Company can demand for its credit protection. The assumptions used in these examples are hypothetical amounts. Scenario 1 represents the market conditions in effect on the transaction date and Scenario 2 represents market conditions at a subsequent reporting date. Scenario 1 Scenario 2 bps % of Total bps % of Total Original gross spread/cash bond price (in bps) 185 500 Bank profit (in bps) 115 62 % 50 10 % Hedge cost (in bps) 30 16 % 440 88 % The premium the Company receives per annum (in bps) 40 22 % 10 2 % In Scenario 1, the gross spread is 185 basis points. The bank or deal originator captures 115 basis points of the original gross spread and hedges 10% of its exposure to AGC, when the CDS spread on AGC was 300 basis points ( 300 basis points × 10% = 30 basis points). Under this scenario the Company receives premium of 40 basis points, or 22% of the gross spread. In Scenario 2, the gross spread is 500 basis points. The bank or deal originator captures 50 basis points of the original gross spread and hedges 25% of its exposure to AGC, when the CDS spread on AGC was 1,760 basis points ( 1,760 basis points × 25% = 440 basis points). Under this scenario the Company would receive premium of 10 basis points, or 2% of the gross spread. Due to the increased cost to hedge AGC’s name, the amount of profit the bank would expect to receive, and the premium the Company would expect to receive decline significantly. In this example, the contractual cash flows (the Company premium received per annum above) exceed the amount a market participant would require the Company to pay in today’s market to accept its obligations under the CDS contract, thus resulting in an asset. Strengths and Weaknesses of Model The Company’s credit derivative valuation model, like any financial model, has certain strengths and weaknesses. The primary strengths of the Company’s CDS modeling techniques are: • The model takes into account the transaction structure and the key drivers of market value. The transaction structure includes par insured, weighted average life, level of subordination and composition of collateral. • The model maximizes the use of market-driven inputs whenever they are available. The key inputs to the model are market-based spreads for the collateral, and the credit rating of referenced entities. These are viewed by the Company to be the key parameters that affect fair value of the transaction. • The model is a consistent approach to valuing positions. The Company has developed a hierarchy for market-based spread inputs that helps mitigate the degree of subjectivity during periods of high illiquidity. The primary weaknesses of the Company’s CDS modeling techniques are: • There is no exit market or 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. • At December 31, 2015 and 2014 , the markets for the inputs to the model were highly illiquid, which impacts their reliability. • Due to the non-standard terms under which the Company enters into derivative contracts, the fair value of its credit derivatives may not reflect the same prices observed in an actively traded market of credit derivatives that do not contain terms and conditions similar to those observed in the financial guaranty market. These contracts were classified as Level 3 in the fair value hierarchy because there is a reliance on at least one unobservable input deemed significant to the valuation model, most significantly the Company's estimate of the value of non-standard terms and conditions of its credit derivative contracts and amount of protection purchased on AGC or AGM's name. Fair Value Option on FG VIEs’ Assets and Liabilities The Company elected the fair value option for all the FG VIEs’ assets and liabilities. See Note 9, Consolidated Variable Interest Entities. The FG VIEs issued securities collateralized by first lien and second lien RMBS as well as loans and receivables. The lowest level input that is significant to the fair value measurement of these assets and liabilities was a Level 3 input (i.e., unobservable), therefore management classified them as Level 3 in the fair value hierarchy. Prices are generally determined with the assistance of an independent third-party, based on a discounted cash flow approach. The models to price the FG VIEs’ liabilities used, where appropriate, inputs such as estimated prepayment speeds; market values of the assets that collateralize the securities; estimated default rates (determined on the basis of an analysis of collateral attributes, historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality); yield |
Financial Guaranty Contracts Ac
Financial Guaranty Contracts Accounted for as Credit Derivatives | 12 Months Ended |
Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Financial Guaranty Contracts Accounted for as Credit Derivatives | Financial Guaranty Contracts Accounted for as Credit Derivatives The Company has a portfolio of financial guaranty contracts that meet the definition of a derivative in accordance with GAAP (primarily CDS). Accounting Policy Credit derivatives are recorded at fair value. Changes in fair value are recorded in “net change in fair value of credit derivatives” on the consolidated statement of operations. Realized gains (losses) and other settlements on credit derivatives include credit derivative premiums received and receivable for credit protection the Company has sold under its insured CDS contracts, premiums paid and payable for credit protection the Company has purchased, claims paid and payable and received and receivable related to insured credit events under these contracts, ceding commission expense or income and realized gains or losses related to their early termination. 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 7, Fair Value Measurement, for a discussion on the fair value methodology for credit derivatives. Credit Derivative Net Par Outstanding by Sector Credit derivative transactions are governed by ISDA documentation and have different characteristics from financial guaranty insurance contracts. For example, the Company’s control rights with respect to a reference obligation under a credit derivative may be more limited than when the Company issues a financial guaranty insurance contract. In addition, there are more circumstances under which the Company may be obligated to make payments. Similar to a financial guaranty insurance contract, the Company would be obligated to pay if the obligor failed to make a scheduled payment of principal or interest in full. However, the Company may also be required to pay if the obligor becomes bankrupt or if the reference obligation were restructured if, after negotiation, those credit events are specified in the documentation for the credit derivative transactions. Furthermore, the Company may be required to make a payment due to an event that is unrelated to the performance of the obligation referenced in the credit derivative. If events of default or termination events specified in the credit derivative documentation were to occur, the non-defaulting or the non-affected party, which may be either the Company or the counterparty, depending upon the circumstances, may decide to terminate a credit derivative prior to maturity. In that case, the Company may be required to make a termination payment to its swap counterparty upon such termination. The Company may not unilaterally terminate a CDS contract; however, the Company on occasion has mutually agreed with various counterparties to terminate certain CDS transactions. The estimated remaining weighted average life of credit derivatives was 5.4 years at December 31, 2015 and 4.7 years at December 31, 2014 . The components of the Company’s credit derivative net par outstanding are presented below. Credit Derivatives Subordination and Ratings As of December 31, 2015 As of December 31, 2014 Asset Type Net Par Outstanding Original Subordination(1) Current Subordination(1) Weighted Average Credit Rating Net Par Outstanding Original Subordination(1) Current Subordination(1) Weighted Average Credit Rating (dollars in millions) Pooled corporate obligations: Collateralized loan obligations/collateralized bond obligations $ 5,873 30.9 % 42.3 % AAA $ 11,688 32.0 % 36.9 % AAA Synthetic investment grade pooled corporate 7,108 21.7 19.4 AAA 7,640 22.6 20.6 AAA TruPS CDOs 3,429 45.8 42.6 A- 3,119 45.3 35.8 BBB- Market value CDOs of corporate obligations 1,113 17.0 30.1 AAA 1,174 19.1 20.7 AAA Total pooled corporate obligations 17,523 29.2 32.3 AAA 23,621 30.1 30.7 AAA U.S. RMBS: Option ARM and Alt-A first lien 351 10.5 12.7 AA- 1,378 16.3 10.7 BB+ Subprime first lien 981 27.7 45.2 AA 1,366 31.1 50.5 A Prime first lien 177 10.9 0.0 BB 223 10.9 0.0 B Closed-end second lien 17 — — CCC 19 — — CCC Total U.S. RMBS 1,526 24.1 37.4 A+ 2,986 24.8 33.9 BBB CMBS 530 44.8 52.6 AAA 1,952 35.3 43.6 AAA Other 6,015 — — A 6,437 — — A Total(2) $ 25,594 AA+ $ 34,996 AA+ ____________________ (1) Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses. (2) The December 31, 2015 total amount includes $3.5 billion net par outstanding of credit derivatives acquired from Radian Asset. Except for TruPS CDOs, the Company’s exposure to pooled corporate obligations is highly diversified in terms of obligors and industries. Most pooled corporate transactions are structured to limit exposure to any given obligor and industry. The majority of the Company’s pooled corporate exposure consists of CLO or synthetic pooled corporate obligations. Most of these CLOs have an average obligor size of less than 1% of the total transaction and typically restrict the maximum exposure to any one industry to approximately 10% . The Company’s exposure also benefits from embedded credit enhancement in the transactions which allows a transaction to sustain a certain level of losses in the underlying collateral, further insulating the Company from industry specific concentrations of credit risk on these deals. The Company’s TruPS CDO asset pools are generally less diversified by obligors and industries than the typical CLO asset pool. Also, the underlying collateral in TruPS CDOs consists primarily of subordinated debt instruments such as TruPS issued by bank holding companies and similar instruments issued by insurance companies, real estate investment trusts and other real estate related issuers while CLOs typically contain primarily senior secured obligations. However, to mitigate these risks TruPS CDOs were typically structured with higher levels of embedded credit enhancement than typical CLOs. The Company’s exposure to “Other” CDS contracts is also highly diversified. It includes $1.9 billion of exposure to one pooled infrastructure transaction comprising diversified pools of international infrastructure project transactions and loans to regulated utilities. These pools were all structured with underlying credit enhancement sufficient for the Company to attach at AAA levels at origination. The remaining $4.1 billion of exposure in “Other” CDS contracts comprises numerous deals across various asset classes, such as commercial receivables, international RMBS, infrastructure, regulated utilities and consumer receivables. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of December 31, 2015 As of December 31, 2014 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 14,808 57.9 % $ 21,817 62.3 % AA 4,821 18.8 5,398 15.4 A 2,144 8.4 1,982 5.7 BBB 2,212 8.6 2,774 8.0 BIG(1) 1,609 6.3 3,025 8.6 Credit derivative net par outstanding $ 25,594 100.0 % $ 34,996 100.0 % ____________________ (1) The December 31, 2015 BIG amount includes $125 million net par outstanding of credit derivatives acquired from Radian Asset. Fair Value of Credit Derivatives Net Change in Fair Value of Credit Derivatives Gain (Loss) Year Ended December 31, 2015 2014 2013 (in millions) Realized gains on credit derivatives $ 63 $ 73 $ 121 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (81 ) (50 ) (163 ) Realized gains (losses) and other settlements on credit derivatives (18 ) 23 (42 ) Net change in unrealized gains (losses) on credit derivatives: Pooled corporate obligations 147 (18 ) (32 ) U.S. RMBS 396 814 (69 ) CMBS 42 2 — Other 161 2 208 Net change in unrealized gains (losses) on credit derivatives 746 800 107 Net change in fair value of credit derivatives $ 728 $ 823 $ 65 Net Par and Realized Gain and Losses from Terminations of Credit Derivative Contracts Year Ended December 31, 2015 2014 2013 (in millions) Net par of terminated credit derivative contracts $ 2,777 $ 3,591 $ 4,054 Realized gains on credit derivatives 13 1 21 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements 116 26 — During 2015, unrealized fair value gains were generated primarily as a result of CDS terminations. The Company reached a settlement agreement with one CDS counterparty to terminate five Alt-A first lien CDS transactions resulting in unrealized fair value gains of $213 million and was the primary driver of the unrealized fair value gains in the U.S. RMBS sector. The Company also terminated a CMBS transaction, a Triple-X life insurance securitization transaction, and a distressed middle market CLO securitization during the period and recognized unrealized fair value gains of $41 million , $99 million and $99 million , respectively. These were the primary drivers of the unrealized fair value gains in the CMBS, Other, and pooled corporate CLO sectors, respectively, during the period. The remainder of the fair value gains for the period were a result of tighter implied net spreads across all sectors. The tighter implied net spreads were primarily a result of the increased cost to buy protection in AGC’s and AGM’s name, particularly for the one year CDS spread. These transactions were pricing at or above their floor levels, therefore when the cost of purchasing CDS protection on AGC and AGM increased, the implied spreads that the Company would expect to receive on these transactions decreased. Finally, during 2015, there was a refinement in methodology to address an instance in a U.S. RMBS transaction where the Company now expects recoveries. This refinement resulted in approximately $49 million in fair value gains in 2015. During 2014, unrealized fair value gains were generated primarily in the U.S. RMBS prime first lien, Option ARM and subprime sectors. This is primarily due to a significant unrealized fair value gain in the Option ARM and Alt-A first lien sector of approximately $ 543 million , as a result of the terminations of three large Alt-A first lien resecuritization transactions and one Option ARM first lien transaction during the period. In addition, there was an unrealized gain of approximately $346 million related to the change in index used to determine fair value during the fourth quarter of 2014. In the fourth quarter of 2014, new market indices were published on Option ARM and Alt-A first lien securitizations. As part of the Company’s normal review process the Company reviewed these indices and based upon the collateral make-up, collateral vintage, and collateral loss experience, determined it to be a better market indication for the Company’s Option ARM and Alt-A first lien securitizations. The unrealized fair value gains were partially offset by unrealized fair value losses generated by wider implied net spreads. The wider implied net spreads were primarily a result of the decreased cost to buy protection in AGC’s and AGM’s name, as the market cost of AGC's and AGM’s credit protection decreased during the period. These transactions were pricing at or above their floor levels (or the minimum rate at which the Company would consider assuming these risks based on historical experience); therefore when the cost of purchasing CDS protection on AGC and AGM decreased, the implied spreads that the Company would expect to receive on these transactions increased. During 2013, unrealized fair value gains were generated in the “other” sector primarily as a result of the termination of a film securitization transaction and a U.K. infrastructure transaction, as well as price improvement on a Triple-X life insurance transaction. These unrealized gains were partially offset by unrealized fair value losses in the prime first lien, Alt-A, Option ARM and subprime RMBS sectors due to wider implied net spreads. The wider implied net spreads were primarily a result of the decreased cost to buy protection in AGC’s name as the market cost of AGC’s credit protection decreased. These transactions were pricing above their floor levels; therefore when the cost of purchasing CDS protection on AGC decreased, the implied spreads that the Company would expect to receive on these transactions increased. The cost of AGM’s credit protection also decreased slightly during 2013, but did not lead to significant fair value losses, as the majority of AGM policies continue to price at floor levels. The company terminated a film securitization CDS for a payment of $120 million which was recorded in realized gains (losses) and other settlements on credit derivatives, with a corresponding release of the unrealized loss recorded in unrealized gains (losses) on credit derivatives of $127 million for a net change in fair value of credit derivatives of $7 million . The impact of changes in credit spreads will vary based upon the volume, tenor, interest rates, and other market conditions at the time these fair values are determined. In addition, since each transaction has unique collateral and structural terms, the underlying change in fair value of each transaction may vary considerably. The fair value of credit derivative contracts also reflects the change in the Company’s own credit cost based on the price to purchase credit protection on AGC and AGM. The Company determines its own credit risk based on quoted CDS prices traded on the Company at each balance sheet date. CDS Spread on AGC and AGM Quoted price of CDS contract (in basis points) As of As of As of Five-year CDS spread: AGC 376 323 460 AGM 366 325 525 One-year CDS spread AGC 139 80 185 AGM 131 85 220 Fair Value of Credit Derivatives Assets (Liabilities) and Effect of AGC and AGM Credit Spreads As of As of (in millions) Fair value of credit derivatives before effect of AGC and AGM credit spreads $ (1,448 ) $ (2,029 ) Plus: Effect of AGC and AGM credit spreads 1,083 1,134 Net fair value of credit derivatives (1) $ (365 ) $ (895 ) ____________________ (1) December 31, 2015 amount includes $44 million of net fair value loss of credit derivatives acquired from Radian Asset. The fair value of CDS contracts at December 31, 2015 , before considering the implications of AGC’s and AGM’s credit spreads, is a direct result of continued wide credit spreads in the fixed income security markets and ratings downgrades. The asset classes that remain most affected are 2005-2007 vintages of prime first lien, Alt-A, Option ARM, subprime RMBS deals as well as TruPS and pooled corporate securities. Comparing December 31, 2015 with December 31, 2014 , there was a narrowing of spreads primarily related to the Company's pooled corporate obligations as well as several large CDS terminations which resulted in a mark to market benefit. This benefit was partially offset by the Company's acquisition of Radian Asset's CDS portfolio which increased the Company's mark to market liability. This narrowing of spreads combined with the acquisition of Radian Asset, and the CDS terminations resulted in a gain of approximately $581 million , before taking into account AGC’s or AGM’s credit spreads. Management believes that the trading level of AGC’s and AGM’s credit spreads over the past several years has been due to the correlation between AGC’s and AGM’s risk profile and the current risk profile of the broader financial markets and to increased demand for credit protection against AGC and AGM as the result of its financial guaranty volume, as well as the overall lack of liquidity in the CDS market. Offsetting the benefit attributable to AGC’s and AGM’s credit spread were higher credit spreads in the fixed income security markets. The higher credit spreads in the fixed income security market are due to the lack of liquidity in the high yield CDO, TruPS CDO, and CLO markets as well as continuing market concerns over the 2005-2007 vintages of RMBS. The following table presents the fair value and the present value of expected claim payments or recoveries (i.e., net expected loss to be paid as described in Note 5) for contracts accounted for as derivatives. Net Fair Value and Expected Losses Credit Derivatives by Sector Fair Value of Credit Derivative Asset (Liability), net Expected Loss to be (Paid) Recovered (1) Asset Type As of As of As of As of (in millions) Pooled corporate obligations $ (82 ) $ (49 ) $ (5 ) $ (23 ) U.S. RMBS (98 ) (494 ) (38 ) (73 ) CMBS 0 0 — — Other (185 ) (352 ) 27 38 Total $ (365 ) $ (895 ) $ (16 ) $ (58 ) ____________________ (1) Includes R&W benefit of $0.4 million as of December 31, 2015 and $86 million as of December 31, 2014 . Ratings Sensitivities of Credit Derivative Contracts Within the Company’s insured CDS portfolio, the transaction documentation for approximately $3.8 billion in CDS gross par insured as of December 31, 2015 requires AGC to post eligible collateral to secure its obligations to make payments under such contracts. Eligible collateral is generally cash or U.S. government or agency securities; eligible collateral other than cash is valued at a discount to the face amount. • For approximately $3.6 billion of such contracts, AGC has negotiated caps such that the posting requirement cannot exceed a certain fixed amount, regardless of the mark-to-market valuation of the exposure or the financial strength ratings of AGC. For such contracts, AGC need not post on a cash basis an aggregate of more than $575 million , although the value of the collateral posted may exceed such fixed amount depending on the advance rate agreed with the counterparty for the particular type of collateral posted. • For the remaining approximately $221 million of such contracts, AGC could be required from time to time to post additional collateral without such cap based on movements in the mark-to-market valuation of the underlying exposure. As of December 31, 2015 , the Company was posting approximately $305 million to secure its obligations under CDS, of which approximately $23 million related to the $221 million of notional described above, as to which the obligation to collateralize is not capped. In contrast, as of December 31, 2014 , the Company was posting approximately $376 million to secure its obligations under CDS, of which approximately $25 million related to $242 million of notional as to which the obligation to collateralize was not capped. The obligation to post collateral could impair the Company's liquidity and results of operations. Sensitivity to Changes in Credit Spread The following table summarizes the estimated change in fair values on the net balance of the Company’s credit derivative positions assuming immediate parallel shifts in credit spreads on AGC and AGM and on the risks that they both assume. Effect of Changes in Credit Spread As of December 31, 2015 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (742 ) $ (377 ) 50% widening in spreads (554 ) (189 ) 25% widening in spreads (460 ) (95 ) 10% widening in spreads (403 ) (38 ) Base Scenario (365 ) — 10% narrowing in spreads (330 ) 35 25% narrowing in spreads (277 ) 88 50% narrowing in spreads (190 ) 175 ____________________ (1) Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Consolidated Variable Interest
Consolidated Variable Interest Entities | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Consolidated Variable Interest Entities | Consolidated Variable Interest Entities Background The Company provides financial guaranties with respect to debt obligations of special purpose entities, including VIEs. Assured Guaranty does not act as the servicer or collateral manager for any VIE obligations insured by its companies. The transaction structure generally provides certain financial protections to the Company. This financial protection can take several forms, the most common of which are overcollateralization, first loss protection (or subordination) and excess spread. In the case of overcollateralization (i.e., the principal amount of the securitized assets exceeds the principal amount of the structured finance obligations guaranteed by the Company), the structure allows defaults of the securitized assets before a default is experienced on the structured finance obligation guaranteed by the Company. In the case of first loss, the financial guaranty insurance policy only covers a senior layer of losses experienced by multiple obligations issued by special purpose entities, including VIEs. The first loss exposure with respect to the assets is either retained by the seller or sold off in the form of equity or mezzanine debt to other investors. In the case of excess spread, the financial assets contributed to special purpose entities, including VIEs, generate interest income that are in excess of the interest payments on the debt issued by the special purpose entity. Such excess spread is typically distributed through the transaction’s cash flow waterfall and may be used to create additional credit enhancement, applied to redeem debt issued by the special purpose entities, including VIEs (thereby, creating additional overcollateralization), or distributed to equity or other investors in the transaction. Assured Guaranty is not primarily liable for the debt obligations issued by the VIEs it insures and would only be required to make payments on those insured debt obligations in the event that the issuer of such debt obligations defaults on any principal or interest due and only for the amount of the shortfall. AGL’s and its Subsidiaries’ creditors do not have any rights with regard to the collateral supporting the debt issued by the FG VIEs. Proceeds from sales, maturities, prepayments and interest from such underlying collateral may only be used to pay Debt Service on VIE liabilities. Net fair value gains and losses on FG VIEs are expected to reverse to zero at maturity of the VIE debt, except for net premiums received and net claims paid by Assured Guaranty under the financial guaranty insurance contract. The Company’s estimate of expected loss to be paid for FG VIEs is included in Note 5, Expected Loss to be Paid. Accounting Policy The Company evaluates whether it is the primary beneficiary of its VIEs. If the Company concludes that it is the primary beneficiary, it is required to consolidate the entire VIE in the Company's financial statements and eliminate the effects of the financial guaranty insurance contracts issued by AGM and AGC on the consolidated FG VIEs debt obligations. The primary beneficiary of a VIE is the enterprise that has both 1) the power to direct the activities of a VIE that most significantly impact the entity's economic performance; and 2) 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. As part of the terms of its financial guaranty contracts, the Company obtains certain protective rights with respect to the VIE that are triggered by the occurrence of certain events, such as failure to be in compliance with a covenant due to poor deal performance or a deterioration in a servicer or collateral manager's financial condition. At deal inception, the Company typically is not deemed to control a VIE; however, once a trigger event occurs, the Company's control of the VIE typically increases. The Company continuously evaluates its power to direct the activities that most significantly impact the economic performance of VIEs that have debt obligations insured by the Company and, accordingly, where the Company is obligated to absorb VIE losses or receive benefits that could potentially be significant to the VIE. The Company obtains protective rights under its insurance contracts that give the Company additional controls over a VIE if there is either deterioration of deal performance or in the financial health of the deal servicer. The Company is deemed to be the control party for certain VIEs under GAAP, typically when its protective rights give it the power to both terminate and replace the deal servicer, which are characteristics specific to the Company's financial guaranty contracts. If the protective rights that could make the Company the control party have not been triggered, then the VIE is not consolidated. If the Company is deemed no longer to have those protective rights, the transaction is deconsolidated. The FG VIEs' liabilities that are insured by the Company are considered to be with recourse, because the Company guarantees the payment of principal and interest regardless of the performance of the related FG VIEs' assets. FG VIEs' liabilities that are not insured by the Company are considered to be without recourse, because the payment of principal and interest of these liabilities is wholly dependent on the performance of the FG VIEs' assets. The Company has limited contractual rights to obtain the financial records of its consolidated FG VIEs. The FG VIEs do not prepare separate GAAP financial statements; therefore, the Company compiles GAAP financial information for them based on trustee reports prepared by and received from third parties. Such trustee reports are not available to the Company until approximately 30 days after the end of any given period. The time required to perform adequate reconciliations and analyses of the information in these trustee reports results in a one quarter lag in reporting the FG VIEs' activities. The Company records the fair value of FG VIE assets and liabilities based on modeled prices. The Company updates the model assumptions each reporting period for the most recent available information, which incorporates the impact of material events that may have occurred since the quarter lag date. The net change in the fair value of consolidated FG VIE assets and liabilities is recorded in "fair value gains (losses) on FG VIEs" in the consolidated statements of operations. Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on FG VIEs.” The Company has elected the fair value option for assets and liabilities classified as FG VIEs' assets and liabilities because the carrying amount transition method was not practical. The cash flows generated by the FG VIE assets, including R&W recoveries, are classified as cash flows from investing activities. Paydowns of FG liabilities are supported by the cash flows generated by FG VIE assets, and for liabilities with recourse, possibly claim payments made by AGM or AGC under its financial guaranty insurance contracts. Paydowns of FG liabilities both with and without recourse are classified as cash flows used in financing activities by the Company. Interest income, interest expense and other expenses of the FG VIE assets and liabilities are classified as operating cash flows. Claim payments made by AGC and AGM 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 VIE liabilities as a financing activity as opposed to an operating activity of AGM and AGC. Consolidated FG VIEs Number of FG VIEs Consolidated Year Ended December 31, 2015 2014 2013 Beginning of the period, December 31 32 40 33 Radian Asset Acquisition 4 — — Consolidated(1) 1 2 11 Deconsolidated(1) (1 ) (8 ) (3 ) Matured (2 ) (2 ) (1 ) End of the period, December 31 34 32 40 ____________________ (1) Net loss on consolidation was $26 million in 2015 . Net gain on deconsolidation was $120 million and net loss on consolidation was $26 million in 2014 . Net loss on consolidation and deconsolidation was $7 million in 2013 . The total unpaid principal balance for the FG VIEs’ assets that were over 90 days or more past due was approximately $154 million at December 31, 2015 and $183 million at December 31, 2014 . The aggregate unpaid principal of the FG VIEs’ assets was approximately $804 million greater than the aggregate fair value at December 31, 2015 , excluding the effect of R&W settlements. The aggregate unpaid principal of the FG VIEs’ assets was approximately $941 million greater than the aggregate fair value at December 31, 2014 , excluding the effect of R&W settlements and restricted cash. The change in the instrument-specific credit risk of the FG VIEs’ assets held as of December 31, 2015 that was recorded in the consolidated statements of operations for 2015 were gains of $90 million . The change in the instrument-specific credit risk of the FG VIEs’ assets held as of December 31, 2014 that was recorded in the consolidated statements of operations for 2014 were gains of $ 116 million . The change in the instrument-specific credit risk of the FG VIEs’ assets for 2013 were gains of $340 million . To calculate the instrument specific credit risk, the changes in the fair value of the FG VIE assets are allocated between those changes that are due to the instrument specific credit risk and those are due to other factors, including interest rates. The instrument specific credit risk amount is determined by using expected contractual cash flows versus current expected cash flows discounted at original contractual rate. The net present value is calculated by discounting the expected cash flows of the underlying security, excluding the Company’s financial guaranty insurance, at the relevant effective interest rate. The unpaid principal for FG VIE liabilities with recourse was $1,436 million and $1,912 million as of December 31, 2015 and December 31, 2014 , respectively. FG VIE liabilities with recourse will mature at various dates ranging from 2025 to 2046 . The aggregate unpaid principal balance of the FG VIE liabilities with and without recourse was approximately $423 million greater than the aggregate fair value of the FG VIEs’ liabilities as of December 31, 2015 . The aggregate unpaid principal balance was approximately $916 million greater than the aggregate fair value of the FG VIEs’ liabilities as of December 31, 2014 . The table below shows the carrying value of the consolidated FG VIEs’ assets and liabilities in the consolidated financial statements, segregated by the types of assets that collateralize their respective debt obligations for FG VIE liabilities with recourse. Consolidated FG VIEs By Type of Collateral As of December 31, 2015 (1) As of December 31, 2014 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 506 $ 521 $ 632 $ 581 U.S. RMBS second lien 194 273 238 327 Other 431 431 369 369 Total with recourse 1,131 1,225 1,239 1,277 Without recourse 130 124 163 142 Total $ 1,261 $ 1,349 $ 1,402 $ 1,419 ____________________ (1) The December 31, 2015 amounts include $111 million of FG VIE assets and $107 million of FG VIE liabilities acquired from Radian Asset. The consolidation of FG VIEs has a significant effect on net income and shareholders' equity due to (1) changes in fair value gains (losses) on FG VIE assets and liabilities, (2) the elimination of premiums and losses related to the AGC and AGM FG VIE liabilities with recourse and (3) the elimination of investment balances related to the Company’s purchase of AGC and AGM insured FG VIE debt. Upon consolidation of a FG VIE, the related insurance and, if applicable, the related investment balances, are considered intercompany transactions and therefore eliminated. Such eliminations are included in the table below to present the full effect of consolidating FG VIEs. Effect of Consolidating FG VIEs on Net Income, Cash Flows From Operating Activities and Shareholders’ Equity Year Ended December 31, 2015 2014 2013 (in millions) Net earned premiums $ (21 ) $ (32 ) $ (60 ) Net investment income (32 ) (11 ) (13 ) Net realized investment gains (losses) 10 (5 ) 2 Fair value gains (losses) on FG VIEs 38 255 346 Loss and LAE 28 30 21 Bargain purchase gain 2 — — Other income (loss) 0 (2 ) — Effect on net income before tax 25 235 296 Less: tax provision (benefit) 8 82 103 Effect on net income (loss) $ 17 $ 153 $ 193 Effect on cash flows from operating activities $ 43 $ 68 $ (136 ) As of As of (in millions) Effect on shareholders’ equity (decrease) increase $ (23 ) $ (44 ) In 2015, the Company recorded a pre-tax net fair value gain on consolidated FG VIEs of $38 million which was primarily driven by price appreciation on the Company's FG VIE assets during the year that resulted from improvements in the underlying collateral, as well as large principal paydowns made on the Company's FG VIEs. In 2014, the Company recorded a pre-tax net fair value gain on consolidated FG VIEs of $255 million . The primary driver of this gain, $120 million , was a result of the deconsolidation of seven VIEs. There was an additional gain of $37 million resulting from the Company exercising its option to accelerate two second lien RMBS VIEs. These two VIEs were treated as maturities during the period. The remainder of the gain for the period was driven by the price appreciation on the Company's FG VIE assets during the year resulting from improvements in the underlying collateral, as well as large principal paydowns made on the Company's FG VIEs. In 2013, the Company recorded a pre-tax net fair value gain of consolidated FG VIEs of $346 million . The gain was primarily driven by R&W benefits received on several VIE assets as a result of settlements with various counterparties throughout the year. These R&W settlements resulted in a gain of approximately $265 million . The remainder of the gain was driven by price appreciation on the Company's FG VIE assets during the year resulting from improvements in the underlying collateral, as well as large principal paydowns made on the Company's FG VIEs. Other Consolidated VIEs In certain instances where the Company consolidates a VIE that was established as part of a loss mitigation negotiation settlement agreement that results in the termination of the original insured financial guaranty insurance or credit derivative contract the Company classifies the assets and liabilities of those VIEs in the line items that most accurately reflect the nature of the items, as opposed to within the FG VIE assets and FG VIE liabilities. Non-Consolidated VIEs As of December 31, 2015 and December 31, 2014 , the Company had financial guaranty contracts outstanding for approximately 750 and 930 VIEs, respectively, that it did not consolidate. To date, the Company’s analyses have indicated that it does not have a controlling financial interest in any other VIEs and, as a result, they are not consolidated in the consolidated financial statements. The Company’s exposure provided through its financial guaranties with respect to debt obligations of special purpose entities is included within net par outstanding in Note 4, Outstanding Exposure. |
Investments and Cash
Investments and Cash | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments and Cash | Investments and Cash Accounting Policy The vast majority of the Company's investment portfolio is composed of fixed-maturity and short-term investments, classified as available-for-sale at the time of purchase (approximately 98.5% based on fair value as of December 31, 2015 ), and therefore carried at fair value. Changes in fair value for other-than-temporarily-impaired ("OTTI") securities are bifurcated between credit losses and non-credit changes in fair value. The credit loss on OTTI securities is recorded in the statement of operations and the non-credit component of the change in fair value of securities, whether OTTI or not, is recorded in OCI. For securities where the Company has the intent to sell or it is more-likely-than-not that it will be required to sell the security before recovery, declines in fair value are recorded in the consolidated statements of operations. Credit losses reduce the amortized cost of impaired securities. The amortized cost basis is adjusted for accretion and amortization (using the effective interest method) with a corresponding entry recorded in net investment income. Realized gains and losses on sales of investments are determined using the specific identification method. Realized loss includes amounts recorded for other-than-temporary impairments on debt securities and the declines in fair value of securities for which the Company has the intent to sell the security or inability to hold until recovery of amortized cost. For mortgage‑backed securities, and any other holdings for which there is prepayment risk, prepayment assumptions are evaluated and revised as necessary. Any necessary adjustments due to changes in effective yields and maturities are recognized in net investment income. Loss mitigation securities are generally purchased at a discount and are accounted for based on their underlying investment type and exclude the effects of the Company’s insurance. Interest income on loss mitigation securities is recognized on a level yield basis over the life of the security Short-term investments, which are those investments with a maturity of less than one year at time of purchase, are carried at fair value and include amounts deposited in money market funds. Other invested assets primarily include: • guaranteed investment contracts, which are carried at amortized cost plus accrued interest, • preferred stocks, which are carried at fair value with changes in unrealized gains and losses recorded in OCI, • a 50% equity investment acquired in a restructuring of an insured CDS carried at its proportionate share of the underlying entity's U.S. GAAP equity value. Cash consists of cash on hand and demand deposits. As a result of the lag in reporting FG VIEs, cash and short-term investments do not reflect cash outflow to the holders of the debt issued by the FG VIEs for claim payments made by the Company's insurance subsidiaries to the consolidated FG VIEs until the subsequent reporting period. Assessment for Other-Than Temporary Impairments The amount of other-than-temporary-impairment recognized in earnings depends on whether (1) an entity intends to sell the security or (2) it is more-likely-than-not that the entity will be required to sell the security before recovery of its amortized cost basis. If an entity does not intend to sell the security and it is not more-likely-than-not that the Company will be required to sell the security before recovery of its amortized cost basis, the other-than-temporary-impairment is separated into (1) the amount representing the credit loss and (2) the amount related to all other factors. The Company has a formal review process to determine other-than-temporary-impairment for securities in its investment portfolio where there is no intent to sell and it is not more-likely-than-not that it will be required to sell the security before recovery. Factors considered when assessing impairment include: • a decline in the market value of a security by 20% or more below amortized cost for a continuous period of at least six months ; • a decline in the market value of a security for a continuous period of 12 months; • recent credit downgrades of the applicable security or the issuer by rating agencies; • the financial condition of the applicable issuer; • whether loss of investment principal is anticipated; • the impact of foreign exchange rates; and • whether scheduled interest payments are past due. The Company assesses the ability to recover the amortized cost by comparing the net present value of projected future cash flows with the amortized cost of the security. If the security is in an unrealized loss position and its net present value is less than the amortized cost of the investment, an other-than-temporary impairment is recorded. . The net present value is calculated by discounting the Company's estimate of projected future cash flows at the effective interest rate implicit in the debt security at the time of purchase. The Company's estimates of projected future cash flows are driven by assumptions regarding probability of default and estimates regarding timing and amount of recoveries associated with a default. The Company develops these estimates using information based on historical experience, credit analysis and market observable data, such as industry analyst reports and forecasts, sector credit ratings and other relevant data. For mortgage‑backed and asset backed securities, cash flow estimates also include prepayment and other assumptions regarding the underlying collateral including default rates, recoveries and changes in value. The assumptions used in these projections requires the use of significant management judgment. The Company's assessment of a decline in value included management's current assessment of the factors noted above. The Company also seeks advice from its outside investment managers. If that assessment changes in the future, the Company may ultimately record a loss after having originally concluded that the decline in value was temporary. Net Investment Income and Realized Gains (Losses) Net investment income is a function of the yield that the Company earns on invested assets and the size of the portfolio. The investment yield is a function of market interest rates at the time of investment as well as the type, credit quality and maturity of the invested assets. Accrued investment income, which is recorded in Other Assets, was $ 99 million and $ 98 million as of December 31, 2015 and December 31, 2014 , respectively. Net Investment Income Year Ended December 31, 2015 2014 2013 (in millions) Income from fixed-maturity securities managed by third parties $ 335 $ 324 $ 322 Income from internally managed securities: Fixed maturities 61 74 74 Other 37 14 5 Gross investment income 433 412 401 Investment expenses (10 ) (9 ) (8 ) Net investment income $ 423 $ 403 $ 393 Net Realized Investment Gains (Losses) Year Ended December 31, 2015 2014 2013 (in millions) Gross realized gains on available-for-sale securities $ 44 $ 14 $ 73 Gross realized gains on other assets in investment portfolio 2 8 40 Gross realized losses on available-for-sale securities (15 ) (5 ) (12 ) Gross realized losses on other assets in investment portfolio (10 ) (2 ) (7 ) Other-than-temporary impairment (47 ) (75 ) (42 ) Net realized investment gains (losses) $ (26 ) $ (60 ) $ 52 The following table presents the roll-forward of the credit losses of fixed-maturity securities for which the Company has recognized an other-than-temporary-impairment and where the portion of the fair value adjustment related to other factors was recognized in OCI. Roll Forward of Credit Losses in the Investment Portfolio Year Ended December 31, 2015 2014 2013 (in millions) Balance, beginning of period $ 124 $ 80 $ 64 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 3 64 18 Eliminations of securities issued by FG VIEs — (15 ) — Reductions for securities sold and other settlement during the period (28 ) (12 ) (21 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 9 7 19 Balance, end of period $ 108 $ 124 $ 80 Investment Portfolio Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2015 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 52 % $ 5,528 $ 323 $ (10 ) $ 5,841 $ 5 AA U.S. government and agencies 3 377 23 0 400 — AA+ Corporate securities 14 1,505 38 (23 ) 1,520 (13 ) A- Mortgage-backed securities(4): — RMBS 11 1,238 29 (22 ) 1,245 (7 ) A CMBS 5 506 9 (2 ) 513 — AAA Asset-backed securities 8 831 4 (10 ) 825 (6 ) B+ Foreign government securities 3 290 4 (11 ) 283 — AA+ Total fixed-maturity securities 96 10,275 430 (78 ) 10,627 (21 ) A+ Short-term investments 4 396 0 0 396 — AA- Total investment portfolio 100 % $ 10,671 $ 430 $ (78 ) $ 11,023 $ (21 ) A+ Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2014 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 50 % $ 5,416 $ 380 $ (1 ) $ 5,795 $ 7 AA U.S. government and agencies 6 635 31 (1 ) 665 — AA+ Corporate securities 12 1,320 53 (5 ) 1,368 (2 ) A Mortgage-backed securities(4): RMBS 12 1,255 51 (21 ) 1,285 0 A- CMBS 6 639 20 0 659 — AAA Asset-backed securities 4 411 9 (3 ) 417 3 BBB- Foreign government securities 3 296 8 (2 ) 302 — AA+ Total fixed-maturity securities 93 9,972 552 (33 ) 10,491 8 AA- Short-term investments 7 767 0 0 767 0 AA+ Total investment portfolio 100 % $ 10,739 $ 552 $ (33 ) $ 11,258 $ 8 AA- ____________________ (1) Based on amortized cost. (2) Accumulated OCI. See also Note 20, Other Comprehensive Income. (3) Ratings in the tables above represent the lower of the Moody’s and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company’s portfolio consists primarily of high-quality, liquid instruments. (4) Government-agency obligations were approximately 54% of mortgage backed securities as of December 31, 2015 and 44% as of December 31, 2014 based on fair value. The Company’s investment portfolio in tax-exempt and taxable municipal securities includes issuances by a wide number of municipal authorities across the U.S. and its territories. Under the Company's investment guidelines, securities rated lower than A-/A3 by S&P or Moody’s are typically not purchased for the Company’s portfolio unless acquired for loss mitigation or risk management strategies. The following tables present the fair value of the Company’s available-for-sale portfolio of obligations of state and political subdivisions as of December 31, 2015 and December 31, 2014 by state. Fair Value of Available-for-Sale Portfolio of Obligations of State and Political Subdivisions As of December 31, 2015 (1) State State General Obligation Local General Obligation Revenue Bonds Fair Value Amortized Cost Average Credit Rating (in millions) Fixed-maturity securities: New York $ 13 $ 59 $ 571 $ 643 $ 610 AA Texas 28 224 325 577 542 AA California 78 66 411 555 521 A+ Washington 59 79 200 338 323 AA Florida 17 — 268 285 266 AA- Illinois 47 69 128 244 234 A Massachusetts 75 — 148 223 207 AA Arizona — 10 181 191 181 AA Pennsylvania 48 26 47 121 115 A Ohio 17 14 83 114 106 AA All others 156 168 1,148 1,472 1,396 AA- Subtotal 538 715 3,510 4,763 4,501 AA- Short-term investments (2) — — 60 60 60 CC Total $ 538 $ 715 $ 3,570 $ 4,823 $ 4,561 AA- Fair Value of Available-for-Sale Portfolio of Obligations of State and Political Subdivisions As of December 31, 2014 (1) State State General Obligation Local General Obligation Revenue Bonds Fair Value Amortized Cost Average Credit Rating (in millions) Fixed-maturity securities: Texas $ 60 $ 293 $ 305 $ 658 $ 613 AA New York 13 41 551 605 571 AA California 45 70 377 492 449 A+ Florida 47 34 256 337 311 AA- Illinois 20 99 177 296 275 A+ Washington 67 48 163 278 262 AA Massachusetts 46 8 169 223 204 AA Arizona — 7 170 177 165 AA Michigan — — 132 132 122 AA- Ohio 6 40 82 128 119 AA All others 276 251 1,096 1,623 1,528 AA- Total $ 580 $ 891 $ 3,478 $ 4,949 $ 4,619 AA- ____________________ (1) Excludes $ 1,078 million and $ 846 million as of December 31, 2015 and 2014 , respectively, of pre-refunded bonds, at fair value. The credit ratings are based on the underlying ratings and do not include any benefit from bond insurance. (2) Matured in the first quarter of 2016. The revenue bond portfolio is comprised primarily of essential service revenue bonds issued by transportation authorities and other utilities, water and sewer authorities, universities and healthcare providers. Revenue Bonds Sources of Funds As of December 31, 2015 As of December 31, 2014 Type Fair Value Amortized Cost Fair Value Amortized Cost (in millions) Fixed-maturity securities: Transportation $ 867 $ 815 $ 796 $ 733 Water and sewer 612 576 563 527 Tax backed 610 576 551 514 Higher education 518 487 527 492 Municipal utilities 414 393 512 479 Healthcare 344 321 346 317 All others 145 141 183 173 Subtotal 3,510 3,309 3,478 3,235 Short-term investments (1) 60 60 — — Total $ 3,570 $ 3,369 $ 3,478 $ 3,235 ____________________ (1) Matured in the first quarter of 2016. The majority of the investment portfolio is managed by four outside managers. The Company has established detailed guidelines regarding credit quality, exposure to a particular sector and exposure to a particular obligor within a sector. The following tables summarize, for all securities in an unrealized loss position, the aggregate fair value and gross unrealized loss by length of time the amounts have continuously been in an unrealized loss position. Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2015 Less than 12 months 12 months or more Total Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss (dollars in millions) Obligations of state and political subdivisions $ 316 $ (10 ) $ 7 $ 0 $ 323 $ (10 ) U.S. government and agencies 77 0 — — 77 0 Corporate securities 381 (8 ) 95 (15 ) 476 (23 ) Mortgage-backed securities: RMBS 438 (8 ) 90 (14 ) 528 (22 ) CMBS 140 (2 ) 2 0 142 (2 ) Asset-backed securities 517 (10 ) — — 517 (10 ) Foreign government securities 97 (4 ) 82 (7 ) 179 (11 ) Total $ 1,966 $ (42 ) $ 276 $ (36 ) $ 2,242 $ (78 ) Number of securities(1) 335 71 396 Number of securities with other-than-temporary impairment 9 4 13 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2014 Less than 12 months 12 months or more Total Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss (dollars in millions) Obligations of state and political subdivisions $ 64 $ 0 $ 25 $ (1 ) $ 89 $ (1 ) U.S. government and agencies 139 0 68 (1 ) 207 (1 ) Corporate securities 189 (3 ) 104 (2 ) 293 (5 ) Mortgage-backed securities: RMBS 205 (3 ) 159 (18 ) 364 (21 ) CMBS 36 0 19 0 55 0 Asset-backed securities 56 (2 ) 18 (1 ) 74 (3 ) Foreign government securities 108 (2 ) 0 0 108 (2 ) Total $ 797 $ (10 ) $ 393 $ (23 ) $ 1,190 $ (33 ) Number of securities(1) 125 82 198 Number of securities with other-than-temporary impairment 3 7 10 ___________________ (1) The number of securities does not add across because lots of the same securities have been purchased at different times and appear in both categories above (i.e., Less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column. Of the securities in an unrealized loss position for 12 months or more as of December 31, 2015 , nine securities had unrealized losses greater than 10% of book value. The total unrealized loss for these securities as of December 31, 2015 was $ 26 million . The Company has determined that the unrealized losses recorded as of December 31, 2015 are yield related and not the result of other-than-temporary-impairment. The amortized cost and estimated fair value of available-for-sale fixed-maturity securities by contractual maturity as of December 31, 2015 are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Distribution of Fixed-Maturity Securities by Contractual Maturity As of December 31, 2015 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 234 $ 233 Due after one year through five years 1,911 1,965 Due after five years through 10 years 2,169 2,257 Due after 10 years 4,217 4,414 Mortgage-backed securities: RMBS 1,238 1,245 CMBS 506 513 Total $ 10,275 $ 10,627 The investment portfolio contains securities and cash that are either held in trust for the benefit of third party reinsurers in accordance with statutory requirements, invested in a guaranteed investment contract for future claims payments, placed on deposit to fulfill state licensing requirements, or otherwise restricted in the amount of $283 million and $236 million as of December 31, 2015 and December 31, 2014 , respectively, based on fair value. The investment portfolio also contains securities that are held in trust by certain AGL subsidiaries for the benefit of other AGL subsidiaries in accordance with statutory and regulatory requirements in the amount of $1,411 million and $1,395 million as of December 31, 2015 and December 31, 2014 , respectively, based on fair value. The fair value of the Company’s pledged securities to secure its obligations under its CDS exposure totaled $ 305 million and $ 376 million as of December 31, 2015 and December 31, 2014 , respectively. No material investments of the Company were non-income producing for years ended December 31, 2015 and 2014 , respectively. Internally Managed Portfolio The investment portfolio tables shown above include both assets managed externally and internally. In the table below, more detailed information is provided for the component of the total investment portfolio that is internally managed (excluding short-term investments). The internally managed portfolio, as defined below, represents approximately 13% and 8% of the investment portfolio, on a fair value basis as of December 31, 2015 and December 31, 2014 , respectively. The internally managed portfolio consists primarily of the Company's investments in securities for (i) loss mitigation purposes, (ii) other risk management purposes and (iii) where the Company believes a particular security presents an attractive investment opportunity. One of the Company's strategies for mitigating losses has been to purchase securities it has insured that have expected losses, at discounted prices (assets purchased for loss mitigation purposes). In addition, the Company holds other invested assets that were obtained or purchased as part of negotiated settlements with insured counterparties or under the terms of our financial guaranties (other risk management assets). Internally Managed Portfolio Carrying Value As of December 31, 2015 2014 (in millions) Assets purchased for loss mitigation and other risk management purposes: Fixed-maturity securities, at fair value $ 1,266 $ 835 Other invested assets 114 46 Other 55 79 Total $ 1,435 $ 960 |
Insurance Company Regulatory Re
Insurance Company Regulatory Requirements | 12 Months Ended |
Dec. 31, 2015 | |
Insurance Company Regulatory Requirements [Abstract] | |
Insurance Company Regulatory Requirements | Insurance Company Regulatory Requirements Each of the Company's insurance companies' ability to pay dividends depends, among other things, upon their 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 their 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 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 U.S. insurance companies' statutory accounting practices prescribed or permitted by insurance regulatory authorities. The principal differences result from the following statutory accounting practices: • upfront premiums are earned when related principal and interest have expired rather than earned over the expected period of coverage; • acquisition costs are charged to expense as incurred rather than over the period that related premiums are earned; • a contingency reserve is computed based on statutory requirements, 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; • the amount of deferred tax assets that may be admitted is subject to an adjusted surplus threshold and is generally limited to the lesser of those assets the Company expects to realize within three years of the balance sheet date or fifteen percent of the Company's adjusted surplus. This realization period and surplus percentage is subject to change based on the amount of adjusted surplus. 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 as derivative contracts measured at fair value; • bonds are generally carried at amortized cost rather than fair value; • VIEs and refinancing vehicles are not consolidated; • surplus notes are recognized as surplus and each payment of principal and interest is recorded only upon approval of the insurance regulator rather than liabilities with periodic accrual of interest; • push-down acquisition accounting is not applicable under statutory accounting practices, as it is under GAAP; • expected losses are discounted at a rate of 4.0% or 5.0% , recorded when the loss is deemed probable and without consideration of the deferred premium revenue rather than discounted at the risk free rate at the end of each reporting period and only to the extent they exceed deferred premium revenue; • the present value of installment premiums and commissions are not recorded on the balance sheet as they are under GAAP; • mergers of acquired companies are treated as statutory mergers at historical balances and financial statements are retroactively revised assuming the merger occurred at the beginning of the prior year, rather than prospectively beginning with the date of acquisition at fair value under GAAP. AG Re, a Bermuda regulated Class 3B insurer, prepares its statutory financial statements in conformity with the accounting principles set forth in the Insurance Act 1978, amendments thereto and related regulations. GAAP differs in certain significant respects from statutory accounting practices prescribed or permitted by Bermuda insurance regulatory authorities. The principal differences result from the following statutory accounting practices: • acquisition costs on upfront premiums are charged to operations as incurred, rather than over the period that related premiums are earned; • certain assets designated as “non-admitted assets” are charged directly to statutory surplus rather than reflected as assets under GAAP; • insured credit derivatives are accounted for as insurance contracts (except that loss reserves on insured credit derivatives are not net of unearned premium reserve), rather than as derivative contracts measured at fair value; • Loss reserves on non derivative contracts are net of unearned premium, which is offset by deferred acquisition costs, rather than only unearned premium. Loss reserves include a statutory reserve which includes a discount safety margin and statutory catastrophe reserve. Insurance Regulatory Amounts Reported Policyholders' Surplus Net Income (Loss) As of December 31, Year Ended December 31, 2015 2014 2015 2014 2013 (in millions) U.S. statutory companies: AGM(1) $ 2,441 $ 2,267 $ 217 $ 304 $ 340 MAC 730 612 102 75 26 AGC(1)(2) 1,365 1,086 (92 ) 116 211 Bermuda statutory company: AG Re 1,018 1,114 85 28 103 ____________________ (1) Policyholders' surplus of AGM and AGC include their indirect share of MAC. AGM and AGC own approximately 61% and 39% , respectively, of the outstanding stock of Municipal Assurance Holdings Inc. ("MAC Holdings"), which owns 100% of the outstanding common stock of MAC. (2) As indicated in Note 2, Acquisition of Radian Asset Assurance Inc., AGC completed the acquisition of Radian Asset on April 1, 2015. Radian Asset was merged with and into AGC, with AGC as the surviving company of the merger. The impact to AGC's policyholders' surplus was approximately $333 million , on a statutory basis, as of April 1, 2015. On July 16, 2013, the Company completed a series of transactions that increased the capitalization of MAC to $800 million on a statutory basis. The Company does not currently anticipate that MAC will distribute any dividends. AGM and its subsidiaries Assured Guaranty Municipal Insurance Company ("AGMIC") and Assured Guaranty (Bermuda) Ltd. ("AGBM") terminated the reinsurance pooling agreement pursuant to which AGMIC and AGBM had assumed a quota share percentage of the financial guaranty insurance policies issued by AGM, and AGM reassumed such ceded business. Subsequently, AGMIC was merged into AGM, with AGM as the surviving company. AGBM, which had made a loan of $82.5 million to AGUS, an indirect parent holding company of AGM, received all of the outstanding shares of MAC held by AGUS and cash, in full satisfaction of the principal of and interest on such loan. After AGBM distributed substantially all of its assets, including the MAC shares, to AGM as a dividend, AGM sold AGBM to its affiliate AG Re. Subsequently, AGBM and AG Re merged, with AG Re as the surviving company. The sale of AGBM to, and subsequent merger with, AG Re were each effective as of July 17, 2013. MAC Holdings was formed to own 100% of the outstanding stock of MAC. AGM and its affiliate AGC subscribed for approximately 61% and 39% of the outstanding MAC Holdings common stock, respectively, for which AGM paid $425 million and AGC paid $275 million , as consideration. The consideration consisted of all of MAC's outstanding common stock (in the case of AGM), cash and marketable securities. MAC Holdings then contributed cash and marketable securities having a fair market value sufficient to increase MAC's policyholders' surplus to approximately $400 million , and purchased a surplus note issued by MAC in the principal amount of $300 million . In addition, AGM purchased a surplus note issued by MAC in the principal amount of $100 million . Following the increase in MAC's capitalization, AGM ceded par exposure of approximately $87 billion and unearned premiums of approximately $468 million to MAC, and AGC ceded par exposure of approximately $24 billion and unearned premiums of approximately $249 million to MAC. Contingency Reserves On July 15, 2013, AGM and its wholly-owned subsidiary AGE (together, the "AGM Group") and AGC, were notified that the New York State Department of Financial Services ("NYDFS") and the Maryland Insurance Administration (“MIA”) do not object to the AGM Group and AGC, respectively, reassuming all of the outstanding contingency reserves that the AGM Group and AGC had ceded to AG Re and electing to cease ceding future contingency reserves to AG Re. The insurance regulators permitted the AGM Group and AGC to reassume the contingency reserves in increments over three years . In the third quarter of 2015, the AGM Group and AGC each reassumed their respective final installments and as of December 31, 2015, the AGM Group and AGC had collectively reassumed an aggregate of approximately $522 million . From time to time, AGM and AGC have obtained the approval of their regulators to release contingency reserves based on losses or because the accumulated reserve is deemed excessive in relation to the insurer's outstanding insured obligations. In 2015, on the latter basis, AGM obtained the NYDFS's approval for a contingency reserve release of approximately $253 million and AGC obtained the MIA's approval for a contingency reserve release of approximately $134 million . In addition, MAC also released approximately $56 million of contingency reserves, which consisted of the assumed contingency reserves maintained by MAC, as reinsurer of AGM, in respect of the same obligations that were the subject of AGM's $253 million release. With respect to the regular, quarterly contributions to contingency reserves required by the applicable Maryland and New York laws and regulations, such laws and regulations permit the discontinuation of such quarterly contributions to a company’s contingency reserves when such company’s aggregate contingency reserves for a particular line of business (i.e., municipal or non-municipal) exceed the sum of the company’s outstanding principal for each specified category of obligations within the particular line of business multiplied by the specified contingency reserve factor for each such category. In accordance with such laws and regulations, and with the approval of the MIA and the NYDFS, respectively, AGC ceased making quarterly contributions to its contingency reserves for both municipal and non-municipal business and AGM ceased making quarterly contributions to its contingency reserves for non-municipal business, in each case beginning in the fourth quarter of 2014. Such cessations are expected to continue for as long as AGC and AGM satisfy the foregoing condition for their applicable lines of business. Dividend Restrictions and Capital Requirements Under New York insurance law, AGM may only pay dividends out of "earned surplus," which is the portion of the company's surplus that represents the net earnings, gains or profits (after deduction of all losses) that have not been distributed to shareholders as dividends or transferred to stated capital or capital surplus, or applied to other purposes permitted by law, but does not include unrealized appreciation of assets. AGM may pay dividends without the prior approval of the New York Superintendent of Financial Services ("New York Superintendent") 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 2016 for AGM to distribute as dividends without regulatory approval, is estimated to be approximately $244 million , of which approximately $95 million is estimated to be available for distribution in the first quarter of 2016. Under Maryland's insurance law, AGC may, with prior notice to the Maryland Insurance Commissioner, pay an ordinary dividend that, together with all dividends paid in the prior 12 months, does not exceed the lesser of 10% of its policyholders' surplus (as of the prior December 31) or 100% of its adjusted net investment income during that period. The maximum amount available during 2016 for AGC to distribute as ordinary dividends is approximately $79 million , of which approximately $9 million is available for distribution in the first quarter of 2016. MAC is a New York domiciled insurance company subject to the same dividend limitations described above for AGM. The Company does not currently anticipate that MAC will distribute any dividends. For AG Re, any distribution (including repurchase of shares) of any share capital, contributed surplus or other statutory capital that would reduce its total statutory capital by 15% or more of its total statutory capital as set out in its previous year's financial statements requires the prior approval of the Bermuda Monetary Authority ("Authority"). Separately, dividends are paid out of an insurer's statutory surplus and cannot exceed that surplus. Further, annual dividends cannot exceed 25% of total statutory capital and surplus as set out in its previous year's financial statements, which is $254 million , without AG Re certifying to the Authority that it will continue to meet required margins. Based on the foregoing limitations, in 2016 AG Re has the capacity to (i) make capital distributions in an aggregate amount up to $127 million without the prior approval of the Authority and (ii) declare and pay dividends in an aggregate amount up to the limit of its outstanding statutory surplus, which is $174 million . Such dividend capacity is further limited by the actual amount of AG Re’s unencumbered assets, which amount changes from time to time due in part to collateral posting requirements. As of December 31, 2015 , AG Re had unencumbered assets of approximately $640 million . U.K. company law prohibits each of AGE and AGUK from declaring a dividend to its shareholders unless it has “profits available for distribution.” The determination of whether a company has profits available for distribution is based on its accumulated realized profits less its accumulated realized losses. While the U.K. insurance regulatory laws impose no statutory restrictions on a general insurer's ability to declare a dividend, the Prudential Regulation Authority's capital requirements may in practice act as a restriction on dividends. The Company does not expect AGE or AGUK to distribute any dividends at this time Dividends and Surplus Notes By Insurance Company Subsidiaries Year Ended December 31, 2015 2014 2013 (in millions) Dividends paid by AGC to AGUS $ 90 $ 69 $ 67 Dividends paid by AGM to AGMH 215 160 163 Dividends paid by AG Re to AGL 150 82 144 Repayment of surplus note by AGM to AGMH 25 50 50 Issuance of surplus notes by MAC to MAC Holdings — — (300 ) Issuance of surplus notes by MAC to AGM — — (100 ) |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes 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 contingency reserves as provided under Internal Revenue Code Section 832(e). The Company records the purchase of tax and loss bonds in deferred taxes. The Company recognizes tax benefits only if a tax position is “more likely than not” to prevail. Overview AGL, and its "Bermuda Subsidiaries," which consist of AG Re, AGRO, and Cedar Personnel Ltd., are not subject to any income, withholding or capital gains taxes under current Bermuda law. The Company has received an assurance from the Minister of Finance in Bermuda that, in the event of any taxes being imposed, AGL and its Bermuda Subsidiaries will be exempt from taxation in Bermuda until March 31, 2035. AGL's U.S. and U.K. subsidiaries are subject to income taxes imposed by U.S. and U.K. authorities, respectively, and file applicable tax returns. In addition, AGRO, a Bermuda domiciled company and AGE, a U.K. domiciled company, have 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 will remain a Bermuda-based company and its administrative and head office functions will continue to be carried on in Bermuda. As a U.K. tax resident company, AGL is required to file a corporation tax return with Her Majesty’s Revenue & Customs (“HMRC”). AGL is subject to U.K. corporation tax in respect of its worldwide profits (both income and capital gains), subject to any applicable exemptions. The main rate of corporation tax is 20% as of April 1, 2015. AGL has also registered in the U.K. to report its Value Added Tax (“VAT”) liability. The current rate of VAT is 20% . Assured Guaranty expects that the dividends AGL receives from its direct subsidiaries will be exempt from U.K. corporation tax due to the exemption in section 931D of the U.K. Corporation Tax Act 2009. In addition, any dividends paid by AGL to its shareholders should not be subject to any withholding tax in the U.K. The U.K. government implemented a new tax regime for “controlled foreign companies” (“CFC regime”) effective January 1, 2013. Assured Guaranty does not expect any profits of non-U.K. resident members of the group to be taxed under the CFC regime and has obtained a clearance from HMRC confirming this on the basis of current facts. AGUS files a consolidated federal income tax return with AGC, AG Financial Products Inc. ("AGFP"), AG Analytics Inc., AGMH, beginning May 12, 2012 MAC and MAC Holdings, and beginning April 1, 2015 Radian Asset and Van American (“AGUS consolidated tax group”). Assured Guaranty Overseas US Holdings Inc. and its subsidiaries AGRO and AG Intermediary Inc., file their own consolidated federal income tax return. Provision for Income Taxes The effective tax rates reflect the proportion of income recognized by each of the Company’s operating subsidiaries, with U.S. subsidiaries taxed at the U.S. marginal corporate income tax rate of 35% , U.K. subsidiaries taxed at the U.K. blended marginal corporate tax rate of 20.25% unless subject to U.S. tax by election or as a U.S. controlled foreign corporation, and no taxes for the Company’s Bermuda subsidiaries unless subject to U.S. tax by election or as a U.S. controlled foreign corporation. For periods subsequent to April 1, 2015, the U.K. corporation tax rate has been reduced to 20% , for the period April 1, 2014 to April 1, 2015 the U.K. corporation tax rate was 21% resulting in a blended tax rate of 20.25% in 2015, and prior to April 1, 2014, the U.K. corporation tax rate was 23% resulting in a blended tax rate of 21.5% in 2014. 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, 2015 2014 2013 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 443 $ 490 $ 390 Tax-exempt interest (54 ) (53 ) (57 ) Gain on bargain purchase (19 ) — — Change in liability for uncertain tax positions 12 9 (2 ) Other (7 ) (3 ) 3 Total provision (benefit) for income taxes $ 375 $ 443 $ 334 Effective tax rate 26.2 % 28.9 % 29.2 % The expected tax provision at statutory rates in taxable jurisdictions is calculated as the sum of pretax income in each jurisdiction multiplied by the statutory tax rate of the jurisdiction by which it will be taxed. Pretax income of the Company’s subsidiaries which are not U.S. or U.K. domiciled but are subject to U.S. or U.K. tax by election, establishment of tax residency or as controlled foreign corporations, are included at the U.S. or U.K. statutory tax rate. Where there is a pretax loss in one jurisdiction and pretax income in another, the total combined expected tax rate may be higher or lower than any of the individual statutory rates. The following table presents pretax income and revenue by jurisdiction. Pretax Income (Loss) by Tax Jurisdiction Year Ended December 31, 2015 2014 2013 (in millions) United States $ 1,284 $ 1,420 $ 1,118 Bermuda 177 142 27 U.K. (30 ) (31 ) (3 ) Total $ 1,431 $ 1,531 $ 1,142 Revenue by Tax Jurisdiction Year Ended December 31, 2015 2014 2013 (in millions) United States $ 1,853 $ 1,633 $ 1,389 Bermuda 361 365 219 U.K. (7 ) (4 ) 0 Total $ 2,207 $ 1,994 $ 1,608 Pretax income by jurisdiction may be disproportionate to revenue by jurisdiction to the extent that insurance losses incurred are disproportionate. Components of Net Deferred Tax Assets As of December 31, 2015 2014 (in millions) Deferred tax assets: Unrealized losses on credit derivative financial instruments, net $ 33 $ 224 Unearned premium reserves, net 254 55 Loss and LAE reserve 64 66 Tax and loss bonds 39 39 Alternative minimum tax credit 55 57 Foreign tax credit 11 — FG VIEs — 13 DAC 27 35 Investment basis difference 86 104 Deferred compensation 41 38 Other 17 19 Total deferred income tax assets 627 650 Deferred tax liabilities: Contingency reserves 64 64 Public debt 94 96 Unrealized appreciation on investments 108 159 Unrealized gains on CCS 22 22 Market discount 21 28 FG VIEs 13 — Other 18 21 Total deferred income tax liabilities 340 390 Less: Valuation allowance 11 — Net deferred income tax asset $ 276 $ 260 As of December 31, 2015 , the Company had alternative minimum tax credits of $ 55 million which do not expire. Management believes sufficient future taxable income exists to realize the full benefit of these tax credits. Valuation Allowance As part of the Radian Asset Acquisition, the Company acquired $11 million of foreign tax credits (“FTC”) which will expire between 2018 and 2020. After reviewing positive and negative evidence, the Company came to the conclusion that it is more likely than not that the FTC will not be utilized, and therefore recorded a valuation allowance with respect to this tax attribute. The Company came to the conclusion that it is more likely than not that the remaining net deferred tax asset will be fully realized after weighing all positive and negative evidence available as required under GAAP. The positive evidence that was considered included the cumulative income the Company has earned over the last three years, and the significant unearned premium income to be included in taxable income. The positive evidence outweighs any negative evidence that exists. As such, the Company believes that no valuation allowance is necessary in connection with this deferred tax asset. The Company will continue to analyze the need for a valuation allowance on a quarterly basis. Audits AGUS has open tax years with the U.S. Internal Revenue Service (“IRS”) for 2009 forward and is currently under audit for the 2009-2012 tax years. On February 20, 2013 the IRS notified AGUS that the Joint Committee on Taxation completed its review of the 2006 through 2008 tax years and has accepted the results of the IRS examination without exception. Assured Guaranty Oversees US Holdings Inc. has open tax years of 2012 forward. The Company's U.K. subsidiaries are not currently under examination and have open tax years of 2014 forward. Uncertain Tax Positions The following table provides a reconciliation of the beginning and ending balances of the total liability for unrecognized tax benefits. The Company does not believe it is reasonably possible that this amount will change significantly in the next twelve months. 2015 2014 2013 (in millions) Balance as of January 1, $ 28 $ 20 $ 22 True-up from tax return filings 10 6 4 Increase in unrecognized tax benefits as a result of position taken during the current period 2 2 3 Decrease due to closing of IRS audit — — (9 ) Balance as of December 31, $ 40 $ 28 $ 20 The Company's policy is to recognize interest and penalties related to uncertain tax positions in income tax expense and has accrued $1 million per year from 2013 to 2015. As of December 31, 2015 and December 31, 2014 , the Company has accrued $ 5.4 million and $4.5 million of interest, respectively. The total amount of unrecognized tax benefits as of December 31, 2015 would affect the effective tax rate, if recognized. Tax Treatment of CDS The Company treats the guaranty it provides on CDS as an insurance contract for tax purposes and as such a taxable loss does not occur until the Company expects to make a loss payment to the buyer of credit protection based upon the occurrence of one or more specified credit events with respect to the contractually referenced obligation or entity. The Company holds its CDS to maturity, at which time any unrealized fair value loss in excess of credit-related losses would revert to zero. The tax treatment of CDS is an unsettled area of the law. The uncertainty relates to the IRS determination of the income or potential loss associated with CDS as either subject to capital gain (loss) or ordinary income (loss) treatment. In treating CDS as insurance contracts the Company treats both the receipt of premium and payment of losses as ordinary income and believes it is more likely than not that any CDS credit related losses will be treated as ordinary by the IRS. To the extent the IRS takes the view that the losses are capital losses in the future and the Company incurred actual losses associated with the CDS, the Company would need sufficient taxable income of the same character within the carryback and carryforward period available under the tax law. |
Reinsurance and Other Monoline
Reinsurance and Other Monoline Exposures | 12 Months Ended |
Dec. 31, 2015 | |
Insurance [Abstract] | |
Reinsurance and Other Monoline Exposures | Reinsurance and Other Monoline Exposures The Company assumes exposure on insured obligations (“Assumed Business”) and may cede portions of its exposure on obligations it has insured (“Ceded Business”) in exchange for premiums, net of ceding commissions. The Company historically entered into ceded reinsurance contracts in order to obtain greater business diversification and reduce the net potential loss from large risks. Accounting Policy For business assumed and ceded, the accounting model of the underlying direct financial guaranty contract dictates the accounting model used for the reinsurance contract (except for those eliminated as FG VIEs). For any assumed or ceded financial guaranty insurance premiums and financial guaranty insurance losses, the accounting models described in Note 6 are followed. For any assumed or ceded credit derivative contracts, the accounting model in Note 8 is followed. Assumed and Ceded Business The Company assumes business from other monoline financial guaranty companies. Under these relationships, the Company assumes a portion of the ceding company’s insured risk in exchange for a premium. The Company may be exposed to risk in this portfolio in that the Company may be required to pay losses without a corresponding premium in circumstances where the ceding company is experiencing financial distress and is unable to pay premiums. The Company’s facultative and treaty agreements are generally subject to termination at the option of the ceding company: • if the Company fails to meet certain financial and regulatory criteria and to maintain a specified minimum financial strength rating, or • upon certain changes of control of the Company. Upon termination under these conditions, the Company may be required (under some of its reinsurance agreements) to return to the ceding company unearned premiums (net of ceding commissions) and loss reserves calculated on a statutory basis of accounting, attributable to reinsurance assumed pursuant to such agreements after which the Company would be released from liability with respect to the Assumed Business. Upon the occurrence of the conditions set forth in the first bullet above, whether or not an agreement is terminated, the Company may be required to obtain a letter of credit or alternative form of security to collateralize its obligation to perform under such agreement or it may be obligated to increase the level of ceding commission paid. The downgrade of the financial strength ratings of AG Re or of AGC gives certain ceding companies the right to recapture business they had ceded to AG Re and AGC, which would lead to a reduction in the Company's unearned premium reserve and related earnings on such reserve. With respect to a significant portion of the Company's in-force financial guaranty assumed business, based on AG Re's and AGC's current ratings and subject to the terms of each reinsurance agreement, the third party ceding company may have the right to recapture business it had ceded to AG Re and/or AGC, and in connection therewith, to receive payment from AG Re or AGC of an amount equal to the statutory unearned premium (net of ceding commissions) and statutory loss reserves (if any) associated with that business, plus, in certain cases, an additional ceding commission. As of December 31, 2015 , if each third party insurer ceding business to AG Re and/or AGC had a right to recapture such business, and chose to exercise such right, the aggregate amounts that AG Re and AGC could be required to pay to all such companies would be approximately $55 million and $34 million , respectively. The Company has Ceded Business to non-affiliated companies to limit its exposure to risk. Under these relationships, the Company cedes a portion of its insured risk in exchange for a premium paid to the reinsurer. The Company remains primarily liable for all risks it directly underwrites and is required to pay all gross claims. It then seeks reimbursement from the reinsurer for its proportionate share of claims. The Company may be exposed to risk for this exposure if it were required to pay the gross claims and not be able to collect ceded claims from an assuming company experiencing financial distress. A number of the financial guaranty insurers to which the Company has ceded par have experienced financial distress and been downgraded by the rating agencies as a result. In addition, state insurance regulators have intervened with respect to some of these insurers. The Company’s ceded contracts generally allow the Company to recapture Ceded Business after certain triggering events, such as reinsurer downgrades. Over the past several years, the Company has entered into several commutations in order to reassume previously ceded books of business from its reinsurers. The Company has also canceled assumed reinsurance contracts. Net Effect of Commutations of Ceded and Cancellations of Assumed Reinsurance Contracts Year Ended December 31, 2015 2014 2013 (in millions) Increase (decrease) in net unearned premium reserve $ 23 $ 20 $ 11 Increase (decrease) in net par outstanding 855 1,167 151 Commutation gains recorded in other income 28 23 2 The following table presents the components of premiums and losses reported in the consolidated statement of operations and the contribution of the Company's Assumed and Ceded Businesses. Effect of Reinsurance on Statement of Operations Year Ended December 31, 2015 2014 2013 (in millions) Premiums Written: Direct $ 164 $ 116 106 Assumed(1) 17 (12 ) 17 Ceded(2) 10 15 2 Net $ 191 $ 119 125 Premiums Earned: Direct $ 792 $ 581 819 Assumed 40 47 40 Ceded (66 ) (58 ) (107 ) Net $ 766 $ 570 752 Loss and LAE: Direct $ 399 $ 132 110 Assumed 45 37 73 Ceded (20 ) (43 ) (29 ) Net $ 424 $ 126 154 ____________________ (1) Negative assumed premiums written were due to changes in expected Debt Service schedules. (2) Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules. Other Monoline Exposures In addition to assumed and ceded reinsurance arrangements, the Company may also have exposure to some financial guaranty reinsurers (i.e., monolines) in other areas. Second-to-pay insured par outstanding represents transactions the Company has insured that were previously insured by other monolines. The Company underwrites such transactions based on the underlying insured obligation without regard to the primary insurer. Another area of exposure is in the investment portfolio where the Company holds fixed-maturity securities that are wrapped by monolines and whose value may change based on the rating of the monoline. As of December 31, 2015 , based on fair value, the Company had fixed-maturity securities in its investment portfolio consisting of $194 million insured by National Public Finance Guarantee Corporation ("National"), $154 million insured by Ambac and $8 million insured by other guarantors. In addition, the Company acquired bonds for loss mitigation or other risk management purposes in the amount of $123 million insured by FGIC UK Limited and $259 million insured by MBIA Insurance Corp. In accordance with U.S. statutory accounting requirements and U.S. insurance laws and regulations, in order for the Company to receive credit for liabilities ceded to reinsurers domiciled outside of the U.S., such reinsurers must secure their liabilities to the Company. All of the unauthorized reinsurers in the tables below are required to post collateral for the benefit of the Company in an amount at least equal to the sum of their ceded unearned premium reserve, loss reserves and contingency reserves all calculated on a statutory basis of accounting. In addition, certain authorized reinsurers in the tables below post collateral on terms negotiated with the Company. Exposure by Reinsurer Ratings at Par Outstanding (1) February 24, 2016 As of December 31, 2015 Reinsurer Moody’s Reinsurer Rating S&P Reinsurer Rating Ceded Par Outstanding Second-to- Pay Insured Par Outstanding Assumed Par Outstanding (dollars in millions) American Overseas Reinsurance Company Limited (f/k/a Ram Re) (2) WR (3) WR $ 5,227 $ — $ 30 Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) (2) Aa3 (4) A+ (4) 4,216 — — Syncora Guarantee Inc. (2) WR WR 2,451 1,244 727 Mitsui Sumitomo Insurance Co. Ltd. (2) A1 A+ (4) 1,818 — — ACA Financial Guaranty Corp. NR (5) WR 714 20 — Ambac WR WR 117 3,889 10,388 National (6) A3 AA- — 5,299 5,100 MBIA (7) (7) — 1,802 440 FGIC (8) (8) — 1,424 652 Ambac Assurance Corp. Segregated Account NR NR — 91 873 CIFG Assurance North America Inc. ("CIFG") WR WR — 43 2,996 Other (2) Various Various 78 796 133 Total $ 14,621 $ 14,608 $ 21,339 ____________________ (1) Includes par related to insured credit derivatives. (2) The total collateral posted by all non-affiliated reinsurers required or agreeing to post collateral as of December 31, 2015 , is approximately $470 million . (3) Represents “Withdrawn Rating.” (4) The Company benefits from trust arrangements that satisfy the triple-A credit requirement of S&P and/or Moody’s. (5) Represents “Not Rated.” (6) National is rated AA+ by KBRA. (7) MBIA includes subsidiaries MBIA Insurance Corp. rated B by S&P and B3 by Moody's and MBIA U.K. Insurance Ltd. rated BB by S&P and Ba2 by Moody’s. (8) FGIC includes subsidiaries Financial Guaranty Insurance Company and FGIC UK Limited both of which had their ratings withdrawn by rating agencies. Ceded Par Outstanding by Reinsurer and Credit Rating As of December 31, 2015 Internal Credit Rating Reinsurer AAA AA A BBB BIG Total (in millions) American Overseas Reinsurance Company Limited (f/k/a Ram Re) $ 403 $ 1,809 $ 1,607 $ 1,087 $ 321 $ 5,227 Tokio 564 529 1,131 1,365 627 4,216 Syncora Guarantee Inc. — 132 430 1,766 123 2,451 Mitsui Sumitomo Insurance Co. Ltd. 131 552 590 372 173 1,818 ACA Financial Guaranty Corp — 449 246 19 — 714 Ambac — — 117 — — 117 Other 49 0 1 28 — 78 Total $ 1,147 $ 3,471 $ 4,122 $ 4,637 $ 1,244 $ 14,621 Second-to-Pay Insured Par Outstanding by Internal Rating As of December 31, 2015 (1) Public Finance Structured Finance AAA AA A BBB BIG AAA AA A BBB BIG Total (in millions) Syncora Guarantee Inc. $ — $ 71 $ 176 $ 624 $ 329 $ — $ — $ — $ — $ 44 $ 1,244 ACA Financial Guaranty Corp. — — — 1 19 — — — — — 20 Ambac 10 1,024 1,517 1,085 49 1 — 58 137 8 3,889 National 71 1,649 3,555 — — — — 24 — — 5,299 MBIA — 65 254 240 — — 886 16 234 107 1,802 FGIC — 31 749 251 201 149 — 8 — 35 1,424 Ambac Assurance Corp. Segregated Account — — — — — — 24 — — 67 91 CIFG — — — 22 21 — — — — — 43 Other — 796 — — — — — — — — 796 Total $ 81 $ 3,636 $ 6,251 $ 2,223 $ 619 $ 150 $ 910 $ 106 $ 371 $ 261 $ 14,608 ____________________ (1) Assured Guaranty’s internal rating. Amounts Due (To) From Reinsurers As of December 31, 2015 Assumed Premium, net of Commissions Ceded Premium, net of Commissions Assumed Ceded (in millions) American Overseas Reinsurance Company Limited (f/k/a Ram Re) $ — $ (7 ) $ — $ 24 Tokio — (12 ) — 43 Syncora Guarantee Inc. 15 (22 ) — 5 Mitsui Sumitomo Insurance Co. Ltd. — (3 ) — 17 Ambac 41 — (5 ) — National 6 — (4 ) — MBIA 5 — (11 ) — FGIC 4 — (14 ) — Ambac Assurance Corp. Segregated Account 11 — (67 ) — CIFG 0 — (62 ) — Other — (3 ) — — Total $ 82 $ (47 ) $ (163 ) $ 89 Excess of Loss Reinsurance Facility AGC, AGM and MAC entered into a $360 million aggregate excess of loss reinsurance facility with a number of reinsurers, effective as of January 1, 2016. This facility replaces a similar $450 million aggregate excess of loss reinsurance facility that AGC, AGM and MAC had entered into effective January 1, 2014 and which terminated on December 31, 2015. The new facility covers losses occurring either from January 1, 2016 through December 31, 2023, or January 1, 2017 through December 31, 2024, at the option of AGC, AGM and MAC. It terminates on January 1, 2018, unless AGC, AGM and MAC choose to extend it. The new facility covers certain U.S. public finance credits insured or reinsured by AGC, AGM and MAC as of September 30, 2015, excluding credits that were rated non-investment grade as of December 31, 2015 by Moody’s or S&P or internally by AGC, AGM or MAC and is subject to certain per credit limits. Among the credits excluded are those associated with the Commonwealth of Puerto Rico and its related authorities and public corporations. The new facility attaches when AGC’s, AGM’s and MAC’s net losses (net of AGC’s and AGM's reinsurance (including from affiliates) and net of recoveries) exceed $1.25 billion in the aggregate. The new facility covers a portion of the next $400 million of losses, with the reinsurers assuming pro rata in the aggregate $360 million of the $400 million of losses and AGC, AGM and MAC jointly retaining the remaining $40 million . The reinsurers are required to be rated at least AA- or to post collateral sufficient to provide AGM, AGC and MAC with the same reinsurance credit as reinsurers rated AA-. AGM, AGC and MAC are obligated to pay the reinsurers their share of recoveries relating to losses during the coverage period in the covered portfolio. AGC, AGM and MAC paid approximately $9 million of premiums in 2016 for the term January 1, 2016 through December 31, 2016 and deposited approximately $9 million of securities into trust accounts for the benefit of the reinsurers to be used to pay the premium for January 1, 2017 through December 31, 2017. The main differences between the new facility and the prior facility that terminated on December 31, 2015 are the reinsurance attachment point ( $1.25 billion versus $1.5 billion ), the total reinsurance coverage ( $360 million part of $400 million versus $450 million part of $500 million ) and the annual premium ( $9 million versus $19 million ). |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2015 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions The Company was party to transactions with entities that are affiliated with Wilbur L. Ross, Jr., who had been a director of the Company until November 21, 2014. Mr. Ross and the funds under his control owned approximately 8.2% of the AGL common shares as of December 31, 2013. However, in 2014, Mr. Ross and the funds sold all of the AGL shares they owned and Mr. Ross resigned from the AGL board. At the time of his resignation, WL Ross and Co. LLC issued a press release announcing that Mr. Ross had been elected Vice Chairman of Bank of Cyprus and, due to rules limiting directorships of bank officers, would be resigning from the boards of directors of several companies, including that of Assured Guaranty. In addition, the Company retains Wellington Management Company, LLP ("Wellington"), as investment manager for a portion of the Company's investment portfolio. Wellington owned approximately 9.0% of the common shares of AGL as of December 31, 2015 , 9.3% as of December 31, 2014 and 6.6% as of December 31, 2013. The net expenses from transactions with Wellington were approximately $ 1.9 million in 2015 and $ 1.9 million in 2014. The net expenses from transactions with Wellington and WL Ross were $ 2.5 million in 2013, with no individual related party expense item exceeding $ 1.9 million . As of December 31, 2015 and 2014 there were no significant amounts payable to or amounts receivable from related parties. In addition, please refer to Note 18, Shareholders' Equity, for a description of the transaction under which the Company purchased common shares from funds associated with WL Ross & Co. LLC and its affiliates and from Mr. Ross. |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Leases AGL and its subsidiaries are party to various lease agreements accounted for as operating leases. The Company leases and occupies space in New York City through 2032. In addition, AGL and its subsidiaries lease additional office space in various locations under non-cancelable operating leases which expire at various dates through 2029. Rent expense was $ 10.5 million in 2015 , $ 10.1 million in 2014 and $ 9.9 million in 2013 . AGM entered into an operating lease effective January 1, 2016, for new office space comprising one full floor and one partial floor at 1633 Broadway in New York City. The Company plans to move the principal place of business of AGM, AGC, MAC and the Company's other U.S. based subsidiaries from 31 West 52nd Street in New York City to this new location during the summer of 2016. The new lease is for approximately 88,000 square feet and runs until 2032, with an option, subject to certain conditions, to renew for five years at a fair market rent. The fixed annual rent, which commences after an initial rent holiday, begins at $6.2 million , rising in two steps to $7.3 million for the last five years of the initial term. In connection with the move and in return for rent abatement and certain other concessions, AGM agreed to terminate, eight months after its new space is delivered, its lease on its existing office space at 31 West 52 nd Street, which had been scheduled to run until 2026 . Future Minimum Rental Payments Year (in millions) 2016 $ 4 2017 6 2018 7 2019 8 2020 8 Thereafter 84 Total $ 117 Legal Proceedings Lawsuits arise in the ordinary course of the Company’s business. It is the opinion of the Company’s management, based upon the information available, that the expected outcome of litigation against the Company, individually or in the aggregate, will not have a material adverse effect on the Company’s financial position or liquidity, although an adverse resolution of litigation against the Company in a fiscal quarter or year could have a material adverse effect on the Company’s results of operations in a particular quarter or year. In addition, in the ordinary course of their respective businesses, certain of the Company's subsidiaries assert claims in legal proceedings against third parties to recover losses paid in prior periods or prevent losses in the future. For example, as described in the "Recovery Litigation" section of Note 5, Expected Loss to be Paid, in January 2016 the Company commenced an action for declaratory judgment and injunctive relief in the U.S. District Court for the District of Puerto Rico to invalidate executive orders issued by the Governor of Puerto Rico directing the retention or transfer of certain taxes and revenues pledged to secure the payment of certain bonds insured by the Company. Also, in December 2008, the Company filed a claim in the Supreme Court of the State of New York against an investment manager in a transaction it insured alleging breach of fiduciary duty, gross negligence and breach of contract. The amounts, if any, the Company will recover in proceedings to recover losses are uncertain, and recoveries, or failure to obtain recoveries, in any one or more of these proceedings during any quarter or year could be material to the Company’s results of operations in that particular quarter or year. Accounting Policy The Company establishes accruals for litigation and regulatory matters to the extent it is probable that a loss has been incurred and the amount of that loss can be reasonably estimated. For litigation and regulatory matters where a loss may be reasonably possible, but not probable, or is probable but not reasonably estimable, no accrual is established, but if the matter is material, it is disclosed, including matters discussed below. The Company reviews relevant information with respect to its litigation and regulatory matters on a quarterly, and annual basis and updates its accruals, disclosures and estimates of reasonably possible loss based on such reviews. Litigation Proceedings Relating to the Company’s Financial Guaranty Business The Company receives subpoenas duces tecum and interrogatories from regulators from time to time. On November 28, 2011, Lehman Brothers International (Europe) (in administration) (“LBIE”) sued AGFP, an affiliate of AGC which in the past had provided credit protection to counterparties under credit default swaps. AGC acts as the credit support provider of AGFP under these credit default swaps. LBIE’s complaint, which was filed in the Supreme Court of the State of New York, alleged that AGFP improperly terminated nine credit derivative transactions between LBIE and AGFP and improperly calculated the termination payment in connection with the termination of 28 other credit derivative transactions between LBIE and AGFP. Following defaults by LBIE, AGFP properly terminated the transactions in question in compliance with the agreement between AGFP and LBIE, and calculated the termination payment properly. AGFP calculated that LBIE owes AGFP approximately $ 29 million in connection with the termination of the credit derivative transactions, whereas LBIE asserted in the complaint that AGFP owes LBIE a termination payment of approximately $ 1.4 billion . On February 3, 2012, AGFP filed a motion to dismiss certain of the counts in the complaint, and on March 15, 2013, the court granted AGFP's motion to dismiss the count relating to improper termination of the nine credit derivative transactions and denied AGFP's motion to dismiss the counts relating to the remaining transactions. On February 22, 2016, AGFP filed a motion for summary judgment on the remaining causes of action asserted by LBIE and on AGFP's counterclaims. LBIE's administrators disclosed in an April 10, 2015 report to LBIE’s unsecured creditors that LBIE's valuation expert has calculated LBIE's damages in aggregate for the 28 transactions to range between a minimum of approximately $200 million and a maximum of approximately $500 million , depending on what adjustment, if any, is made for AGFP's credit risk and excluding any applicable interest. Notwithstanding the range calculated by LBIE's valuation expert, the Company cannot reasonably estimate the possible loss, if any, that may arise from this lawsuit. On September 25, 2013, Wells Fargo Bank, N.A., as trust administrator of the MASTR Adjustable Rate Mortgages Trust 2007-3, filed an interpleader complaint in the U.S. District Court for the Southern District of New York against AGM, among others, relating to the right of AGM to be reimbursed from certain cashflows for principal claims paid in respect of insured certificates. The Company estimates that an adverse outcome to the interpleader proceeding could increase losses on the transaction by approximately $10 - $20 million , net of expected settlement payments and reinsurance in force. On May 28, 2014, Houston Casualty Company Europe, Seguros y Reseguros, S.A. (“HCCE”) notified Radian Asset that it was demanding arbitration against Radian Asset in connection with housing cooperative losses presented to Radian Asset by HCCE under several years of quota-share surety reinsurance contracts. Through November 30, 2015, HCCE had presented AGC, as successor to Radian Asset, with approximately € 15 million in claims. In January 2016, Assured Guaranty and HCCE settled all the claims related to the Spanish housing cooperative losses. Proceedings Related to AGMH’s Former Financial Products Business The following is a description of legal proceedings involving AGMH’s former Financial Products Business. Although the Company did not acquire AGMH’s former Financial Products Business, which included AGMH’s former GIC business, medium term notes business and portions of the leveraged lease businesses, certain legal proceedings relating to those businesses are against entities that the Company did acquire. While Dexia SA and Dexia Crédit Local S.A., jointly and severally, have agreed to indemnify the Company against liability arising out of the proceedings described below, such indemnification might not be sufficient to fully hold the Company harmless against any injunctive relief or civil or criminal sanction that is imposed against AGMH or its subsidiaries. Governmental Investigations into Former Financial Products Business AGMH and/or AGM have received subpoenas duces tecum and interrogatories or civil investigative demands from the Attorneys General of the States of Connecticut, Florida, Illinois, Massachusetts, Missouri, New York, Texas and West Virginia relating to their investigations of alleged bid rigging of municipal GICs. AGMH has been responding to such requests. AGMH may receive additional inquiries from these or other regulators and expects to provide additional information to such regulators regarding their inquiries in the future. In addition, AGMH received a subpoena from the Antitrust Division of the Department of Justice in November 2006 issued in connection with an ongoing criminal investigation of bid rigging of awards of municipal GICs and other municipal derivatives. Pursuant to that subpoena, AGMH has furnished to the Department of Justice records and other information with respect to AGMH’s municipal GIC business. The ultimate loss that may arise from these investigations remains uncertain. Lawsuits Relating to Former Financial Products Business During 2008, nine putative class action lawsuits were filed in federal court alleging federal antitrust violations in the municipal derivatives industry, seeking damages and alleging, among other things, a conspiracy to fix the pricing of, and manipulate bids for, municipal derivatives, including GICs. These cases have been coordinated and consolidated for pretrial proceedings in the U.S. District Court for the Southern District of New York as MDL 1950, In re Municipal Derivatives Antitrust Litigation, Case No. 1:08-cv-2516 (“MDL 1950”). Five of these cases named both AGMH and AGM: (a) Hinds County, Mississippi v. Wachovia Bank, N.A. ; (b) Fairfax County, Virginia v. Wachovia Bank, N.A. ; (c) Central Bucks School District, Pennsylvania v. Wachovia Bank, N.A. ; (d) Mayor and City Council of Baltimore, Maryland v. Wachovia Bank, N.A. ; and (e) Washington County, Tennessee v. Wachovia Bank, N.A. In April 2009, the MDL 1950 court granted the defendants’ motion to dismiss on the federal claims for these five cases, but granted leave for the plaintiffs to file an amended complaint. The Corrected Third Consolidated Amended Class Action Complaint, filed on October 9, 2013, lists neither AGM nor AGMH as a named defendant or a co-conspirator. The complaint generally seeks unspecified monetary damages, interest, attorneys’ fees and other costs. The other four cases named AGMH (but not AGM) and also alleged that the defendants violated California state antitrust law and common law by engaging in illegal bid-rigging and market allocation, thereby depriving the cities or municipalities of competition in the awarding of GICs and ultimately resulting in the cities paying higher fees for these products: (f) City of Oakland, California v. AIG Financial Products Corp. ; (g) County of Alameda, California v. AIG Financial Products Corp. ; (h) City of Fresno, California v. AIG Financial Products Corp. ; and (i) Fresno County Financing Authority v. AIG Financial Products Corp . When the four plaintiffs filed a consolidated complaint in September 2009, the plaintiffs did not name AGMH as a defendant. However, the complaint does describe some of AGMH’s and AGM’s activities. The consolidated complaint generally seeks unspecified monetary damages, interest, attorneys’ fees and other costs. In April 2010, the MDL 1950 court granted in part and denied in part the named defendants’ motions to dismiss this consolidated complaint. On September 22, 2015, the remaining parties to the putative class action reported to the MDL 1950 Court that settlements in principle had been reached, and a motion for preliminary approval of those putative class claims was filed on February 24, 2016. The parties have reported that final settlement with those remaining defendants would resolve the putative class case. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from these lawsuits. In 2008, AGMH and AGM also were named in five non-class action lawsuits originally filed in the California Superior Courts alleging violations of California law related to the municipal derivatives industry: (a) City of Los Angeles, California v. Bank of America, N.A. ; (b) City of Stockton, California v. Bank of America, N.A. ; (c) County of San Diego, California v. Bank of America, N.A. ; (d) County of San Mateo, California v. Bank of America, N.A. ; and (e) County of Contra Costa, California v. Bank of America, N.A. Amended complaints in these actions were filed in September 2009, adding a federal antitrust claim and naming AGM (but not AGMH) and AGUS, among other defendants. These cases have been transferred to the Southern District of New York and consolidated with MDL 1950 for pretrial proceedings. In late 2009, AGM and AGUS, among other defendants, were named in six additional non-class action cases filed in federal court, which also have been coordinated and consolidated for pretrial proceedings with MDL 1950; one was voluntarily dismissed with prejudice in October 2010, leaving five that are currently pending: (f) City of Riverside, California v. Bank of America, N.A. ; (g) Los Angeles World Airports v. Bank of America, N.A. ; (h) Redevelopment Agency of the City of Stockton v. Bank of America, N.A. ; (i) Sacramento Suburban Water District v. Bank of America, N.A. ; and (j) County of Tulare, California v. Bank of America, N.A. The MDL 1950 court denied AGM and AGUS’s motions to dismiss the eleven complaints that were pending as of April 2010. Amended complaints were filed in May 2010. The complaints in these lawsuits generally seek or sought unspecified monetary damages, interest, attorneys’ fees, costs and other expenses. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from the remaining lawsuits. In May 2010, AGM and AGUS, among other defendants, were named in five additional non-class action cases filed in federal court in California: (a) City of Richmond, California v. Bank of America, N.A. (filed on May 18, 2010, N.D. California); (b) City of Redwood City, California v. Bank of America, N.A . (filed on May 18, 2010, N.D. California); (c) Redevelopment Agency of the City and County of San Francisco, California v. Bank of America, N.A. (filed on May 21, 2010, N.D. California); (d) East Bay Municipal Utility District, California v. Bank of America, N.A. (filed on May 18, 2010, N.D. California); and (e) City of San Jose and the San Jose Redevelopment Agency, California v. Bank of America, N.A (filed on May 18, 2010, N.D. California). These cases have also been transferred to the Southern District of New York and consolidated with MDL 1950 for pretrial proceedings. In September 2010, AGM and AGUS, among other defendants, were named in a sixth additional non-class action filed in federal court in New York, but which alleges violation of New York’s Donnelly Act in addition to federal antitrust law: Active Retirement Community, Inc. d/b/a Jefferson’s Ferry v. Bank of America, N.A. (filed on September 21, 2010, E.D. New York), which has also been transferred to the Southern District of New York and consolidated with MDL 1950 for pretrial proceedings. In December 2010, AGM and AGUS, among other defendants, were named in a seventh additional non-class action filed in federal court in the Central District of California, Los Angeles Unified School District v. Bank of America, N.A. , and in an eighth additional non-class action filed in federal court in the Southern District of New York, Kendal on Hudson, Inc. v. Bank of America, N.A. These cases also have been consolidated with MDL 1950 for pretrial proceedings. The complaints in these lawsuits generally seek unspecified monetary damages, interest, attorneys’ fees, costs and other expenses. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from these lawsuits. In January 2011, AGM and AGUS, among other defendants, were named in an additional non-class action case filed in federal court in New York, which alleges violation of New York’s Donnelly Act in addition to federal antitrust law: Peconic Landing at Southold, Inc. v. Bank of America, N.A. This case has been consolidated with MDL 1950 for pretrial proceedings. The complaint in this lawsuit generally seeks unspecified monetary damages, interest, attorneys’ fees, costs and other expenses. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from this lawsuit. In September 2009, the Attorney General of the State of West Virginia filed a lawsuit (Circuit Ct. Mason County, W. Va.) against Bank of America, N.A. alleging West Virginia state antitrust violations in the municipal derivatives industry, seeking damages and alleging, among other things, a conspiracy to fix the pricing of, and manipulate bids for, municipal derivatives, including GICs. An amended complaint in this action was filed in June 2010, adding a federal antitrust claim and naming AGM (but not AGMH) and AGUS, among other defendants. This case has been removed to federal court as well as transferred to the S.D.N.Y. and consolidated with MDL 1950 for pretrial proceedings. AGM and AGUS answered West Virginia's Second Amended Complaint on November 11, 2013. The complaint in this lawsuit generally seeks civil penalties, unspecified monetary damages, interest, attorneys’ fees, costs and other expenses. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from this lawsuit. |
Long-Term Debt and Credit Facil
Long-Term Debt and Credit Facilities | 12 Months Ended |
Dec. 31, 2015 | |
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 unamortized original issue discount or premium and unamortized fair value adjustment for AGMH debt (as of the date of the AGMH acquisition). Discounts and acquisition date fair value adjustments are accreted into interest expense over the life of the applicable debt. In April 2015, the FASB issued ASU No. 2015-03, Interest - Imputation of Interest (Topic 835-30): Simplifying the Presentation of Debt Issuance Costs , which requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. Effective December 31, 2015, the Company retrospectively adopted this accounting guidance. Therefore, the Company no longer includes debt issuance costs in assets. The Company early-adopted this guidance effective December 31, 2015 and has retrospectively revised the prior year consolidated balance sheet and long-term debt disclosures. The adoption resulted in the reduction of other assets and long-term debt of $5 million and $6 million as of December 31, 2015 and 2014, respectively. Long Term Debt The Company has outstanding long-term debt comprising primarily debt issued by AGUS and AGMH. AGUS has issued 7.0 % Senior Notes, 5.0% Senior Notes and Series A, Enhanced Junior Subordinated Debentures. AGMH has issued 6 7/8 % Quarterly Income Bonds Securities (“QUIBS”), 6.25 % Notes and 5.60 % Notes, as well $ 300 million Junior Subordinated Debentures. All of such debt is fully and unconditionally guaranteed by AGL; AGL's guarantee of the junior subordinated debentures is on a junior subordinated basis. Debt Issued by AGUS 7.0 % Senior Notes. On May 18, 2004, AGUS issued $ 200 million of 7.0 % senior notes due 2034 (“ 7.0 % Senior Notes”) for net proceeds of $ 197 million . Although the coupon on the Senior Notes is 7.0% , the effective rate is approximately 6.4% , taking into account the effect of a cash flow hedge executed by the Company in March 2004. 5.0 % Senior Notes. On June 20, 2014, AGUS issued $500 million of 5.0% Senior Notes due 2024 (" 5.0% Senior Notes") for net proceeds of $495 million . The notes are guaranteed by AGL. The net proceeds from the sale of the notes were used for general corporate purposes, including the purchase of AGL common shares. Series A Enhanced Junior Subordinated Debentures. On December 20, 2006, AGUS issued $ 150 million of the Debentures due 2066. The Debentures pay a fixed 6.40% rate of interest until December 15, 2016, and thereafter 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. Debt Issued by AGMH 6 7/8 % QUIBS. On December 19, 2001, AGMH issued $ 100 million face amount of 6 7/8 % QUIBS due December 15, 2101, which are callable without premium or penalty. 6.25 % Notes. On November 26, 2002, AGMH issued $ 230 million face amount of 6.25 % Notes due November 1, 2102, which are callable without premium or penalty in whole or in part. 5.60 % Notes. On July 31, 2003, AGMH issued $ 100 million face amount of 5.60 % Notes due July 15, 2103, which are callable without premium or penalty in whole or in part. 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 6.40% . 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. The principal and carrying values of the Company’s long-term debt are presented in the table below. Principal and Carrying Amounts of Debt As of December 31, 2015 As of December 31, 2014 Principal Carrying Value Principal Carrying Value (in millions) AGUS: 7.0% Senior Notes $ 200 $ 197 $ 200 $ 196 5.0% Senior Notes 500 495 500 495 Series A Enhanced Junior Subordinated Debentures 150 150 150 150 Total AGUS 850 842 850 841 AGMH: 6 7 / 8 % QUIBS 100 69 100 68 6.25% Notes 230 140 230 139 5.60% Notes 100 56 100 55 Junior Subordinated Debentures 300 180 300 175 Total AGMH 730 445 730 437 AGM: Notes Payable 12 13 16 19 Total AGM 12 13 16 19 Total $ 1,592 $ 1,300 $ 1,596 $ 1,297 Principal payments due under the long-term debt are as follows: Expected Maturity Schedule of Debt Expected Withdrawal Date AGUS AGMH AGM Total (in millions) 2016 $ — $ — $ 4 $ 4 2017 — — 4 4 2018 — — 2 2 2019 — — 1 1 2020 — — 0 0 2021-2040 700 — 1 701 2041-2060 — — — — 2061-2080 150 300 — 450 Thereafter — 430 — 430 Total $ 850 $ 730 $ 12 $ 1,592 Interest Expense Year Ended December 31, 2015 2014 2013 (in millions) AGUS: 7.0% Senior Notes $ 13 $ 13 $ 13 5.0% Senior Notes 26 13 — Series A Enhanced Junior Subordinated Debentures 10 10 10 Total AGUS 49 36 23 AGMH: 6 7 / 8 % QUIBS 7 7 7 6.25% Notes 16 16 16 5.60% Notes 6 6 6 Junior Subordinated Debentures 25 25 25 Total AGMH 54 54 54 AGM: Notes Payable (2 ) 2 5 Total AGM (2 ) 2 5 Total $ 101 $ 92 $ 82 Recourse Credit Facilities 2009 Strip Coverage Facility In connection with the Company's acquisition of AGMH and its subsidiaries from Dexia Holdings Inc., AGM agreed to retain the risks relating to the debt and strip policy portions of the leveraged lease business. The liquidity risk to AGM related to the strip policy portion of the leveraged lease business is mitigated by the strip coverage facility described below. In a leveraged lease transaction, a tax-exempt entity (such as a transit agency) transfers tax benefits to a tax-paying entity by transferring ownership of a depreciable asset, such as subway cars. The tax-exempt entity then leases the asset back from its new owner. If the lease is terminated early, the tax-exempt entity must make an early termination payment to the lessor. A portion of this early termination payment is funded from monies that were pre-funded and invested at the closing of the leveraged lease transaction (along with earnings on those invested funds). The tax-exempt entity is obligated to pay the remaining, unfunded portion of this early termination payment (known as “strip coverage”) from its own sources. AGM issued financial guaranty insurance policies (known as “strip policies”) that guaranteed the payment of these unfunded strip coverage amounts to the lessor, in the event that a tax-exempt entity defaulted on its obligation to pay this portion of its early termination payment. AGM can then seek reimbursement of its strip policy payments from the tax-exempt entity, and can also sell the transferred depreciable asset and reimburse itself from the sale proceeds. Currently, all the leveraged lease transactions in which AGM acts as strip coverage provider are breaching a rating trigger related to AGM and are subject to early termination. However, early termination of a lease does not result in a draw on the AGM policy if the tax-exempt entity makes the required termination payment. If all the leases were to terminate early and the tax-exempt entities do not make the required early termination payments, then AGM would be exposed to possible liquidity claims on gross exposure of approximately $ 1.1 billion as of December 31, 2015 . To date, none of the leveraged lease transactions that involve AGM has experienced an early termination due to a lease default and a claim on the AGM policy. It is difficult to determine the probability that AGM will have to pay strip provider claims or the likely aggregate amount of such claims. At December 31, 2015 , approximately $ 1.4 billion of cumulative strip par exposure had been terminated since 2008 on a consensual basis. The consensual terminations have resulted in no claims on AGM. On July 1, 2009, AGM and Dexia Crédit Local S.A., acting through its New York Branch (“Dexia Crédit Local (NY)”), entered into a credit facility (the “Strip Coverage Facility”). Under the Strip Coverage Facility, Dexia Crédit Local (NY) agreed to make loans to AGM to finance all draws made by lessors on AGM strip policies that were outstanding as of November 13, 2008, up to the commitment amount. The commitment amount of the Strip Coverage Facility was $ 1 billion at closing of the Company's acquisition of AGMH. AGM has reduced the maximum commitment amount from time to time, after taking into account its experience with its exposure to leveraged lease transactions. Most recently, as of June 30, 2014, AGM reduced the maximum commitment amount to $ 495 million and agreed with Dexia Crédit Local (NY) that the commitment amount would no longer amortize on a scheduled monthly basis. Fundings under this facility are subject to certain conditions precedent, and their repayment is collateralized by a security interest that AGM granted to Dexia Crédit Local (NY) in amounts that AGM recovers—from the tax-exempt entity, or from asset sale proceeds—following its payment of strip policy claims. On June 30, 2014, AGM and Dexia Crédit Local (NY) agreed to shorten the duration of the facility. Accordingly, the Strip Coverage Facility will terminate upon the earliest to occur of an AGM change of control, the reduction of the commitment amount to $0 in accordance with the terms of the facility, and June 30, 2024 (rather than the original maturity date of January 31, 2042). The Strip Coverage Facility’s financial covenants require that AGM and its subsidiaries maintain: • a maximum debt-to-capital ratio of 30% ; and • a minimum net worth of 75% of consolidated net worth as of July 1, 2009, plus, beginning June 30, 2015 and on each anniversary of such date, an amount equal to the product of (i) 25% of the aggregate consolidated net income (or loss) for the period beginning July 2, 2009 and ending on June 30, 2014 and (ii) a fraction, the numerator of which is the commitment amount as of the relevant calculation date and the denominator of which is $ 1 billion . The Company was in compliance with all financial covenants as of December 31, 2015 . The Strip Coverage Facility contains restrictions on AGM, including, among other things, in respect of its ability to incur debt, permit liens, pay dividends or make distributions, dissolve or become party to a merger or consolidation. Most of these restrictions are subject to exceptions. The Strip Coverage Facility has customary events of default, including (subject to certain materiality thresholds and grace periods) payment default, bankruptcy or insolvency proceedings and cross-default to other debt agreements. As of December 31, 2015 , no amounts were outstanding under this facility, nor have there been any borrowings during the life of this facility. Intercompany Credit Facility and Intercompany Debt On October 25, 2013, AGL, as borrower, and AGUS, as lender, entered into a revolving credit facility pursuant to which AGL may, from time to time, borrow for general corporate purposes. Under the credit facility, AGUS committed to lend a principal amount not exceeding $225 million in the aggregate. Such commitment terminates on October 25, 2018 (the “loan termination date”). The unpaid principal amount of each loan will bear interest at a fixed rate equal to 100% of the then applicable Federal short-term or mid-term interest rate, as the case may be, as determined under Internal Revenue Code Sec. 1274(d), and interest on all loans will be computed for the actual number of days elapsed on the basis of a year consisting of 360 days. Accrued interest on all loans will be paid on the last day of each June and December, beginning on December 31, 2013, and at maturity. AGL must repay the then unpaid principal amounts of the loans by the third anniversary of the loan termination date. No amounts are currently outstanding under the credit facility. On March 30, 2015, AGUS loaned $200 million to AGC to facilitate the acquisition of Radian Asset on April 1, 2015. AGC repaid the loan in full on April 14, 2015. In addition, in 2012 AGUS borrowed $90 million from its affiliate AGRO to fund the acquisition of MAC. That loan remained outstanding as of December 31, 2015 . Committed Capital Securities On April 8, 2005, AGC entered into separate agreements (the “Put Agreements”) with four custodial trusts (each, a “Custodial Trust”) pursuant to which AGC may, at its option, cause each of the Custodial Trusts to purchase up to $ 50 million of perpetual preferred stock of AGC (the “AGC Preferred Stock”). The custodial trusts were created as a vehicle for providing capital support to AGC by allowing AGC to obtain immediate access to new capital at its sole discretion at any time through the exercise of the put option. If the put options were exercised, AGC would receive $ 200 million in return for the issuance of its own perpetual preferred stock, the proceeds of which may be used for any purpose, including the payment of claims. The put options have not been exercised through the date of this filing. Distributions on the AGC CCS are determined pursuant to an auction process. Beginning on April 7, 2008 this auction process failed, thereby increasing the annualized rate on the AGC CCS to one-month LIBOR plus 250 basis points. In June 2003, $ 200 million of “AGM CPS”, money market preferred trust securities, were issued by trusts created for the primary purpose of issuing the AGM CPS, investing the proceeds in high-quality commercial paper and selling put options to AGM, allowing AGM to issue the trusts non-cumulative redeemable perpetual preferred stock (the “AGM Preferred Stock”) of AGM in exchange for cash. There are four trusts, each with an initial aggregate face amount of $ 50 million . These trusts hold auctions every 28 days, at which time investors submit bid orders to purchase AGM CPS. If AGM were to exercise a put option, the applicable trust would transfer the portion of the proceeds attributable to principal received upon maturity of its assets, net of expenses, to AGM in exchange for AGM Preferred Stock. AGM pays a floating put premium to the trusts, which represents the difference between the commercial paper yield and the winning auction rate (plus all fees and expenses of the trust). If an auction does not attract sufficient clearing bids, however, the auction rate is subject to a maximum rate of one-month LIBOR plus 200 basis points for the next succeeding distribution period. Beginning in August 2007, the AGM CPS required the maximum rate for each of the relevant trusts. AGM continues to have the ability to exercise its put option and cause the related trusts to purchase AGM Preferred Stock. The trusts provide AGM access to new capital at its sole discretion through the exercise of the put options. As of December 31, 2015 the put option had not been exercised. The Company does not consider itself to be the primary beneficiary of the trusts. See Note 7, Fair Value Measurement, –Other Assets–Committed Capital Securities, for a fair value measurement discussion. |
Earnings Per Share
Earnings Per Share | 12 Months Ended |
Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share Accounting Policy The Company computes EPS using a two-class method by including participating securities which entitle their holders to receive nonforfeitable dividends or dividend equivalents before vesting. Restricted stock awards and share units under the AGC supplemental executive retirement plan ("AGC SERP") are considered participating securities as they received non-forfeitable rights to dividends at the same rate as common stock. The two-class method of computing EPS is an earnings allocation formula that determines EPS for each class of common stock and participating security according to dividends declared (or accumulated) and participation rights in undistributed earnings. Basic EPS is then calculated by dividing net (loss) income 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. The Company has a single class of common stock. Computation of Earnings Per Share Year Ended December 31, 2015 2014 2013 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 1,056 $ 1,088 808 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 $ 1,055 $ 1,088 807 Basic shares 148.1 172.6 186.6 Basic EPS $ 7.12 $ 6.30 $ 4.32 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 1,055 $ 1,088 $ 807 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 $ 1,055 $ 1,088 $ 807 Basic shares 148.1 172.6 186.6 Dilutive securities 0.9 1.0 1.0 Diluted shares 149.0 173.6 187.6 Diluted EPS $ 7.08 $ 6.26 $ 4.30 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.5 1.6 2.7 |
Shareholders' Equity
Shareholders' Equity | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Shareholders' Equity | Shareholders' Equity Share Issuances AGL has authorized share capital of $ 5 million divided into 500,000,000 shares, 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 its 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 AGL's Board of Directors. 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 controlled foreign corporation 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 of Directors 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 of Directors 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 its shareholders or indirect holders of shares or its Affiliates (other than such as AGL's Board of Directors 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 of Directors to represent the shares' fair market value (as defined in AGL's Bye-Laws). In addition, AGL's Board of Directors 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 As of December 31, 2015 , the Company's share repurchase authorization was $55 million . After additional repurchases in 2016, the Company exhausted its previous authorization to repurchase common shares on February 9, 2016. On February 24, 2016, the Board of Directors approved a $250 million share repurchase authorization. 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 free funds available at the parent company, market conditions, the Company's capital position, legal requirements and other factors. The repurchase program may be modified, extended or terminated by the Board of Directors at any time. It does not have an expiration date. Share Repurchases Year Number of Shares Repurchased Total Payments (in millions) Average Price Paid Per Share 2013 12,512,759 $ 264 $ 21.12 2014 24,413,781 $ 590 $ 24.17 2015 20,995,419 $ 555 $ 26.43 2016 (through February 9, 2016 on a settlement date basis) 2,258,602 $ 55 $ 24.37 Cumulative repurchases since the beginning of 2013 60,180,561 $ 1,464 $ 24.33 The 2013 share repurchases included 5.0 million common shares purchased on June 5, 2013 from funds associated with WL Ross & Co. LLC and its affiliates (collectively, the “WLR Funds”) and Wilbur L. Ross, Jr., a former director of the Company, for $109.7 million . Deferred Compensation Each of the Chief Executive Officer and the General Counsel of the Company has elected to invest a portion of his AGL supplemental employee retirement plan ("AGL SERP") account in the employer stock fund within the AGL SERP. Each unit in the employer stock fund represents the right to receive one AGL common share upon a distribution from the AGL 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. The election to invest in the employer stock fund is irrevocable (i.e., any portion of a AGL SERP account allocated to the employer stock fund and invested in units shall remain allocated to the employer stock fund until the participant receives a distribution from AGL SERP). At the same time such investment elections were made, the Company purchased AGL common shares and placed such shares in trust to be distributed to the Chief Executive Officer and the General Counsel upon a distribution from the AGL SERP in settlement of their units invested in the employer stock fund. As of December 31, 2015 and 2014 , the Company had 320,193 and 320,193 shares, respectively, in the trust. The Company recorded the purchase of such shares in “deferred equity compensation” in the consolidated balance sheet. Certain executives of the Company elected to invest a portion of their AGC SERP accounts in the employer stock fund in the AGC SERP. Each unit in the employer stock fund represents the right to receive one AGL common share upon a distribution from the AGC 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, 2015 and 2014 , there were 74,309 and 74,309 units, respectively, in the AGC SERP. See Note 19, Employee Benefit Plans. Dividends Any determination to pay cash dividends is at the discretion of the Company's Board of Directors, and depends upon the Company's results of operations and operating cash flows, its financial position and capital requirements, general business conditions, legal, tax, regulatory, rating agency and contractual restrictions on the payment of dividends, and any other factors the Company's Board of Directors deems relevant. For more information concerning regulatory constraints that affect the Company's ability to pay dividends, see Note 11, Insurance Company Regulatory Requirements. On February 24, 2016, the Company declared a quarterly dividend of $ 0.13 per common share, an increase of 8% from a quarterly dividend of $ 0.12 per common share paid in 2015. |
Employee Benefit Plans
Employee Benefit Plans | 12 Months Ended |
Dec. 31, 2015 | |
Employee Benefit Plans [Abstract] | |
Employee Benefit Plans | Employee Benefit Plans Accounting Policy Share-based compensation expense is based on the grant date fair value using the grant date closing price, the lattice, Monte Carlo or Black-Scholes-Merton (“Black-Scholes”) pricing models. The Company amortizes the fair value of share-based awards on a straight-line basis over the requisite service periods of the awards, which are generally the vesting periods, with the exception of retirement‑eligible employees. For retirement-eligible employees, certain awards contain retirement provisions and therefore are amortized over the period through the date the employee first becomes eligible to retire and is no longer required to provide service to earn part or all of the award. The fair value of each award under the Assured Guaranty Ltd. Employee Stock Purchase Plan is estimated at the beginning of each offering period using the Black-Scholes option valuation model. The expense for Performance Retention Plan awards is recognized straight-line over the requisite service period, with the exception of retirement eligible employees. For retirement eligible employees, the expense is recognized immediately. Assured Guaranty Ltd. 2004 Long-Term Incentive Plan Under the Assured Guaranty Ltd. 2004 Long-Term Incentive Plan, as amended (the “Incentive Plan”), the number of AGL common shares that may be delivered under the Incentive Plan may not exceed 18,670,000 . In the event of certain transactions affecting AGL's common shares, the number or type of shares subject to the Incentive Plan, the number and type of shares subject to outstanding awards under the Incentive Plan, and the exercise price of awards under the Incentive Plan, may be adjusted. The Incentive Plan authorizes the grant of incentive stock options, non-qualified stock options, stock appreciation rights, and full value awards that are based on AGL's common shares. The grant of full value awards may be in return for a participant's previously performed services, or in return for the participant surrendering other compensation that may be due, or may be contingent on the achievement of performance or other objectives during a specified period, or may be subject to a risk of forfeiture or other restrictions that will lapse upon the achievement of one or more goals relating to completion of service by the participant, or achievement of performance or other objectives. Awards under the Incentive Plan may accelerate and become vested upon a change in control of AGL. The Incentive Plan is administered by the Compensation Committee of the Board of Directors, except as otherwise determined by the Board. The Board may amend or terminate the Incentive Plan. As of December 31, 2015 , 10,367,163 common shares were available for grant under the Incentive Plan. Time Vested Stock Options Stock options are generally granted once a year with exercise prices equal to the closing price on the date of grant. To date, the Company has only issued non-qualified stock options. All stock options, except for performance stock options, granted to employees vest in equal annual installments over a three -year period and expire seven years or ten years from the date of grant. Stock options granted to directors vest over one year and expire in seven years or ten years from grant date. None of the Company's options, except for performance stock options, have a performance or market condition. Time Vested Stock Options Options for Common Shares Weighted Average Exercise Price Number of Exercisable Options Balance as of December 31, 2014 2,802,853 $ 21.45 2,631,653 Options granted — — Options exercised (432,974 ) 20.12 Options forfeited/expired (9,539 ) 20.76 Balance as of December 31, 2015 2,360,340 $ 21.73 2,275,096 As of December 31, 2015 , the aggregate intrinsic value and weighted average remaining contractual term of stock options outstanding were $11 million and 2.2 years , respectively. As of December 31, 2015 , the aggregate intrinsic value and weighted average remaining contractual term of exercisable stock options were $11 million and 2.1 years , respectively. As of December 31, 2015 the total unrecognized compensation expense related to outstanding nonvested stock options was $342 thousand , which will be adjusted in the future for the difference between estimated and actual forfeitures. The Company expects to recognize that expense over the weighted average remaining service period of 0.9 years . Lattice Option Pricing Weighted Average Assumptions (1) 2014 2013 Dividend yield 2.03 % 2.07 % Expected volatility 53.24 % 53.41 % Risk free interest rate 2.21 % 1.35 % Expected life 6.6 years 6.6 years Forfeiture rate 3.5 % 4.5 % Weighted average grant date fair value $ 10.35 $ 8.94 ____________________ (1) No options were granted in 2015. The Company uses a lattice model to value its employee and director stock options, rather than a simple Black-Scholes formula. The Black-Scholes approach is designed for options exercisable only at maturity (European style), but can still be used to value options exercisable at any time after they vest (“American style”) as long as no dividend payments are being made on the stock. A lattice model can be used for both European and American style options and regardless of whether or not the stock is paying regular dividends. Because the options the Company has granted to its employees and directors are American style and because the Company pays regular dividends on its stock, the Company has selected a lattice model as the appropriate method to value these options. The expected dividend yield is based on the current expected annual dividend and share price on the grant date. The expected volatility is estimated at the date of grant based on an average of the 7 -year historical share price volatility and implied volatilities of certain at-the-money actively traded call options in the Company. The risk-free interest rate is the implied 7 -year yield currently available on U.S. Treasury zero-coupon issues at the date of grant. The forfeiture rate is based on the historical employee termination information. The total intrinsic value of stock options exercised during the years ended December 31, 2015 , 2014 and 2013 was $2.8 million , $ 3.0 million and $ 7.5 million , respectively. During the years ended December 31, 2015 , 2014 and 2013 , $4.9 million , $ 4.3 million and $ 2.6 million , respectively, was received from the exercise of stock options. In order to satisfy stock option exercises, the Company issues new shares. Performance Stock Options The Company grants performance stock options under the Incentive Plan. These awards are non-qualified stock options with exercise prices equal to the closing price of an AGL common share on the applicable date of grant. These awards vest 35% , 50% or 100% , if the price of AGL's common shares using the highest 40 -day average share price during the relevant three -year performance period reaches certain hurdles. If the share price is between the specified levels, the vesting level will be interpolated accordingly. These awards expire seven years from the date of grant. Performance Stock Options Options for Common Shares Weighted Average Exercise Price Number of Exercisable Options Balance as of December 31, 2014 246,879 $ 17.97 0 Options granted — — Options exercised (7,342 ) 17.44 Options forfeited/expired — — Balance as of December 31, 2015 239,537 $ 17.92 166,897 As of December 31, 2015 , the aggregate intrinsic value and weighted average remaining contractual term of performance stock options outstanding were $1.9 million and 3.4 years , respectively. As of December 31, 2015 , the aggregate intrinsic value and weighted average remaining contractual term of exercisable performance stock options were $1.5 million and 3.1 years , respectively. As of December 31, 2015 the total unrecognized compensation expense related to outstanding nonvested performance stock options was $17 thousand , which will be adjusted in the future for the difference between estimated and actual forfeitures. The Company expects to recognize that expense over the weighted average remaining service period of 0.1 years . Monte Carlo and Lattice Option Pricing Weighted Average Assumptions (1) 2013 Dividend yield 2.07 % Expected volatility 53.5 % Risk free interest rate 1.36 % Expected life 6.3 years Forfeiture rate 4.5 % Weighted average grant date fair value $ 8.17 ____________________ (1) No options were granted in neither 2015 nor 2014. The expected dividend yield is based on the current expected annual dividend and share price on the grant date. The expected volatility is estimated at the date of grant based on an average of the 7 -year historical share price volatility and implied volatilities of certain at-the-money actively traded call options in the Company. The risk-free interest rate is the implied 7 -year yield currently available on U.S. Treasury zero-coupon issues at the date of grant. The forfeiture rate is based on the historical employee termination information. The total intrinsic value of performance stock options exercised during the year ended December 31, 2015 was $75 thousand . During the year ended December 31, 2015 , $98 thousand was received from the exercise of performance stock options. In order to satisfy stock option exercises, the Company issues new shares. Restricted Stock Awards Restricted stock awards to employees generally vest in equal annual installments over a four -year period and restricted stock awards to outside directors vest in full in one year. Restricted stock awards are amortized on a straight-line basis over the requisite service periods of the awards, and restricted stock awards to outside directors are amortized over one year, which are generally the vesting periods, with the exception of retirement‑eligible employees, discussed above. Restricted Stock Award Activity Nonvested Shares Number of Shares Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2014 43,577 $ 23.98 Granted 62,145 25.67 Vested (43,577 ) 23.98 Forfeited — — Nonvested at December 31, 2015 62,145 $ 25.67 As of December 31, 2015 the total unrecognized compensation cost related to outstanding nonvested restricted stock awards was $0.7 million , which the Company expects to recognize over the weighted‑average remaining service period of 0.5 years . The total fair value of shares vested during the years ended December 31, 2015 , 2014 and 2013 was $1 million , $ 1 million and $ 1 million , respectively. Restricted Stock Units Restricted stock units are valued based on the closing price of the underlying shares at the date of grant. Restricted stock units awarded to employees have vesting terms similar to those of the restricted stock awards and are delivered on the vesting date. The Company has granted restricted stock units to directors of the Company. Restricted stock units awarded to directors vest over a one -year period and are delivered after directors terminate from the board of directors. Restricted Stock Unit Activity (Excluding Dividend Equivalents) Nonvested Stock Units Number of Stock Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2014 691,303 $ 19.23 Granted 320,983 25.23 Delivered (321,210 ) 16.96 Forfeited (1,795 ) 21.73 Nonvested at December 31, 2015 689,281 $ 23.23 As of December 31, 2015 , the total unrecognized compensation cost related to outstanding nonvested restricted stock units was $8.4 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 delivered during the years ended December 31, 2015 , 2014 and 2013 was $6 million , $5 million and $5 million , respectively. Performance Restricted Stock Units The Company has granted performance restricted stock units under the Incentive Plan. These awards vest 35% , 50% , 100% , or 200% , if the price of AGL's common shares using the highest 40 -day average share price during the relevant three -year performance period reaches certain hurdles. If the share price is between the specified levels, the vesting level will be interpolated accordingly. 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, 2014 423,302 $ 26.72 Granted 200,353 28.31 Delivered (215,395 ) 27.39 Forfeited — — Nonvested at December 31, 2015 408,260 $ 27.32 As of December 31, 2015 , the total unrecognized compensation cost related to outstanding nonvested performance share units was $5.7 million , which the Company expects to recognize over the weighted‑average remaining service period of 1.8 years . The total fair value of performance restricted stock units delivered during the year ended December 31, 2015 was $6 million . Employee Stock Purchase Plan The Company established the AGL Employee Stock Purchase Plan ("Stock Purchase Plan") in accordance with Internal Revenue Code Section 423, and participation is available to all eligible employees. Maximum annual purchases by participants are limited to the number of whole shares that can be purchased by an amount equal to 10% of the participant's compensation or, if less, shares having a value of $ 25,000 . Participants may purchase shares at a purchase price equal to 85% of the lesser of the fair market value of the stock on the first day or the last day of the subscription period. The Company has reserved for issuance and purchases under the Stock Purchase Plan 600,000 Assured Guaranty Ltd. common shares. The fair value of each award under the Stock Purchase Plan is estimated at the beginning of each offering period using the Black‑Scholes option‑pricing model and 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, 2015 2014 2013 (dollars in millions) Proceeds from purchase of shares by employees $ 0.8 $ 0.9 $ 0.9 Number of shares issued by the Company 38,565 43,273 57,980 Recorded in share-based compensation, net of deferral $ 0.2 $ 0.2 $ 0.3 Share‑Based Compensation Expense The following table presents stock based compensation costs and the effect of deferring such costs as policy acquisition costs, pre-tax. Amortization of previously deferred stock compensation costs is not shown in the table below. Share‑Based Compensation Expense Summary Year Ended December 31, 2015 2014 2013 (in millions) Share‑based compensation expense $ 10 $ 10 $ 8 Share‑based compensation capitalized as DAC 0.5 0.3 0.2 Income tax benefit 2 2 2 Defined Contribution Plan The Company maintains a savings incentive plan, which is qualified under Section 401(a) of the Internal Revenue Code for U.S. employees. The savings incentive plan is available to eligible full-time employees upon hire. Eligible participants could contribute a percentage of their salary subject to a maximum of $ 18,000 for 2015 . Contributions are matched by the Company at a rate of 100% up to 6% of participant's compensation, subject to IRS limitations. Any amounts over the IRS limits are contributed to and matched by the Company into a nonqualified supplemental executive retirement plan for employees eligible to participate in such nonqualified plan. The Company also makes a core contribution of 6% of the participant's compensation to the qualified plan, subject to IRS limitations, and the nonqualified supplemental executive retirement plan for eligible employees, regardless of whether the employee contributes to the plan(s). Employees become fully vested in Company contributions after one year of service, as defined in the plan. Plan eligibility is immediate upon hire. The Company also maintains similar non-qualified plans for non-U.S. employees. The Company recognized defined contribution expenses of $ 10 million , $ 11 million and $ 10 million for the years ended December 31, 2015 , 2014 and 2013 , respectively. Cash-Based Compensation Plans The Company maintains a Performance Retention Plan (“PRP”) that permits the grant of deferred cash based awards to selected employees. Generally, each PRP award is divided into three installments that vest over four years. The cash payment depends on growth in adjusted book value per share and on operating return on equity, which are defined in each PRP award agreement. The Company recognized performance retention plan expenses of $ 11 million , $ 15 million and $ 17 million for the years ended December 31, 2015 , 2014 and 2013 , respectively. The Company’s executive officers are eligible to receive compensation under a non-equity incentive plan. The amount of compensation payable is subject to a performance goal being met. The Compensation Committee then uses discretion to determine the actual amount of cash incentive compensation payable to each executive officer for such performance year based on factors and criteria as determined by the Compensation Committee, provided that such discretion cannot be used to increase the amount that was determined to be payable to each executive officer. For an applicable performance year, the Compensation Committee establishes target financial performance measures for the Company and individual non-financial objectives for the executive officers. |
Other Comprehensive Income
Other Comprehensive Income | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Other Comprehensive Income | Other Comprehensive Income The following tables present the changes in each component of AOCI and the effect of significant reclassifications out of AOCI on the respective line items in net income. Changes in Accumulated Other Comprehensive Income by Component Year Ended December 31, 2015 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2014 $ 367 $ 4 $ (10 ) $ 9 $ 370 Other comprehensive income (loss) before reclassifications (93 ) (43 ) (6 ) — (142 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (11 ) 37 — — 26 Net investment income (9 ) — — — (9 ) Interest expense — — — (1 ) (1 ) Total before tax (20 ) 37 — (1 ) 16 Tax (provision) benefit 6 (13 ) — 0 (7 ) Total amount reclassified from AOCI, net of tax (14 ) 24 — (1 ) 9 Net current period other comprehensive income (loss) (107 ) (19 ) (6 ) (1 ) (133 ) Balance, December 31, 2015 $ 260 $ (15 ) $ (16 ) $ 8 $ 237 Changes in Accumulated Other Comprehensive Income by Component Year Ended December 31, 2014 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2013 $ 178 $ (24 ) $ (3 ) $ 9 $ 160 Other comprehensive income (loss) before reclassifications 196 (20 ) (7 ) — 169 Amounts reclassified from AOCI to: Net realized investment gains (losses) (12 ) 74 — — 62 Interest expense — — — 0 0 Total before tax (12 ) 74 — 0 62 Tax (provision) benefit 5 (26 ) — 0 (21 ) Total amount reclassified from AOCI, net of tax (7 ) 48 — 0 41 Net current period other comprehensive income (loss) 189 28 (7 ) 0 210 Balance, December 31, 2014 $ 367 $ 4 $ (10 ) $ 9 $ 370 Changes in Accumulated Other Comprehensive Income by Component Year Ended December 31, 2013 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2012 $ 517 $ (5 ) $ (6 ) $ 9 $ 515 Other comprehensive income (loss) before reclassifications (309 ) (35 ) 3 — (341 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (43 ) 24 — — (19 ) Interest expense — — — (1 ) (1 ) Total before tax (43 ) 24 — (1 ) (20 ) Tax (provision) benefit 13 (8 ) — 1 6 Total amount reclassified from AOCI, net of tax (30 ) 16 — 0 (14 ) Net current period other comprehensive income (loss) (339 ) (19 ) 3 0 (355 ) Balance, December 31, 2013 $ 178 $ (24 ) $ (3 ) $ 9 $ 160 |
Subsidiary Information
Subsidiary Information | 12 Months Ended |
Dec. 31, 2015 | |
Condensed Financial Information of Parent Company Only Disclosure [Abstract] | |
Subsidiary Information | Subsidiary Information The following tables present the condensed consolidating financial information for AGUS and AGMH, 100%-owned subsidiaries of AGL, which have issued publicly traded debt securities (see Note 16, Long Term Debt and Credit Facilities). The information for AGL, AGUS and AGMH presents its subsidiaries on the equity method of accounting. CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 10 $ 156 $ 22 $ 11,530 $ (360 ) $ 11,358 Investment in subsidiaries 5,961 5,569 4,081 377 (15,988 ) — Premiums receivable, net of commissions payable — — — 833 (140 ) 693 Ceded unearned premium reserve — — — 1,266 (1,034 ) 232 Deferred acquisition costs — — — 176 (62 ) 114 Reinsurance recoverable on unpaid losses — — — 467 (398 ) 69 Credit derivative assets — — — 207 (126 ) 81 Deferred tax asset, net — 52 — 357 (133 ) 276 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,261 — 1,261 Other 98 29 26 571 (264 ) 460 TOTAL ASSETS $ 6,069 $ 5,806 $ 4,129 $ 17,135 $ (18,595 ) $ 14,544 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 5,143 $ (1,147 ) $ 3,996 Loss and LAE reserve — — — 1,537 (470 ) 1,067 Long-term debt — 842 445 13 — 1,300 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 572 (126 ) 446 Deferred tax liabilities, net — — 91 — (91 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,349 — 1,349 Other 6 82 15 622 (402 ) 323 TOTAL LIABILITIES 6 1,014 551 9,536 (2,626 ) 8,481 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,063 4,792 3,578 7,222 (15,592 ) 6,063 Noncontrolling interest — — — 377 (377 ) — TOTAL SHAREHOLDERS’ EQUITY 6,063 4,792 3,578 7,599 (15,969 ) 6,063 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,069 $ 5,806 $ 4,129 $ 17,135 $ (18,595 ) $ 14,544 CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 126 $ 204 $ 47 $ 11,382 $ (300 ) $ 11,459 Investment in subsidiaries 5,612 5,072 3,965 339 (14,988 ) — Premiums receivable, net of commissions payable — — — 864 (135 ) 729 Ceded unearned premium reserve — — — 1,469 (1,088 ) 381 Deferred acquisition costs — — — 186 (65 ) 121 Reinsurance recoverable on unpaid losses — — — 338 (260 ) 78 Credit derivative assets — — — 277 (209 ) 68 Deferred tax asset, net — 54 — 295 (89 ) 260 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,402 — 1,402 Other 27 71 27 538 (242 ) 421 TOTAL ASSETS $ 5,765 $ 5,401 $ 4,039 $ 17,180 $ (17,466 ) $ 14,919 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 5,328 $ (1,067 ) $ 4,261 Loss and LAE reserve — — — 1,066 (267 ) 799 Long-term debt — 841 437 19 — 1,297 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 1,172 (209 ) 963 Deferred tax liabilities, net — — 94 — (94 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,419 — 1,419 Other 7 9 16 764 (374 ) 422 TOTAL LIABILITIES 7 940 547 10,068 (2,401 ) 9,161 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 5,758 4,461 3,492 6,773 (14,726 ) 5,758 Noncontrolling interest — — — 339 (339 ) — TOTAL SHAREHOLDERS’ EQUITY 5,758 4,461 3,492 7,112 (15,065 ) 5,758 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 5,765 $ 5,401 $ 4,039 $ 17,180 $ (17,466 ) $ 14,919 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE YEAR ENDED DECEMBER 31, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 783 $ (17 ) $ 766 Net investment income 0 1 0 432 (10 ) 423 Net realized investment gains (losses) 0 0 1 (19 ) (8 ) (26 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — (18 ) 0 (18 ) Net unrealized gains (losses) — — — 773 (27 ) 746 Net change in fair value of credit derivatives — — — 755 (27 ) 728 Bargain purchase gain and settlement of pre-existing relationships — — — 54 160 214 Other 0 0 — 102 0 102 TOTAL REVENUES 0 1 1 2,107 98 2,207 EXPENSES Loss and LAE — — — 434 (10 ) 424 Amortization of deferred acquisition costs — — — 29 (9 ) 20 Interest expense — 52 54 14 (19 ) 101 Other operating expenses 30 1 1 202 (3 ) 231 TOTAL EXPENSES 30 53 55 679 (41 ) 776 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (30 ) (52 ) (54 ) 1,428 139 1,431 Total (provision) benefit for income taxes — 18 19 (365 ) (47 ) (375 ) Equity in net earnings of subsidiaries 1,086 923 468 39 (2,516 ) — NET INCOME (LOSS) 1,056 889 433 1,102 (2,424 ) 1,056 Less: noncontrolling interest — — — 39 (39 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 1,056 $ 889 $ 433 $ 1,063 $ (2,385 ) $ 1,056 COMPREHENSIVE INCOME (LOSS) $ 923 $ 787 $ 359 $ 967 $ (2,113 ) $ 923 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE YEAR ENDED DECEMBER 31, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 566 $ 4 $ 570 Net investment income 0 0 1 412 (10 ) 403 Net realized investment gains (losses) 0 0 0 (58 ) (2 ) (60 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 23 — 23 Net unrealized gains (losses) — — — 800 — 800 Net change in fair value of credit derivatives — — — 823 — 823 Other — — — 259 (1 ) 258 TOTAL REVENUES 0 0 1 2,002 (9 ) 1,994 EXPENSES Loss and LAE — — — 122 4 126 Amortization of deferred acquisition costs — — — 33 (8 ) 25 Interest expense — 40 54 16 (18 ) 92 Other operating expenses 31 1 1 195 (8 ) 220 TOTAL EXPENSES 31 41 55 366 (30 ) 463 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (31 ) (41 ) (54 ) 1,636 21 1,531 Total (provision) benefit for income taxes — 14 19 (469 ) (7 ) (443 ) Equity in net earnings of subsidiaries 1,119 983 513 32 (2,647 ) — NET INCOME (LOSS) 1,088 956 478 1,199 (2,633 ) 1,088 Less: noncontrolling interest — — — 32 (32 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 1,088 $ 956 $ 478 $ 1,167 $ (2,601 ) $ 1,088 COMPREHENSIVE INCOME (LOSS) $ 1,298 $ 1,114 $ 577 $ 1,570 $ (3,261 ) $ 1,298 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE YEAR ENDED DECEMBER 31, 2013 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 740 $ 12 $ 752 Net investment income 0 0 1 408 (16 ) 393 Net realized investment gains (losses) 0 0 0 87 (35 ) 52 Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — (42 ) — (42 ) Net unrealized gains (losses) — — — 107 — 107 Net change in fair value of credit derivatives — — — 65 — 65 Other — — — 348 (2 ) 346 TOTAL REVENUES 0 0 1 1,648 (41 ) 1,608 EXPENSES Loss and LAE — — — 144 10 154 Amortization of deferred acquisition costs — — — 12 0 12 Interest expense — 28 54 20 (20 ) 82 Other operating expenses 22 1 1 199 (5 ) 218 TOTAL EXPENSES 22 29 55 375 (15 ) 466 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (22 ) (29 ) (54 ) 1,273 (26 ) 1,142 Total (provision) benefit for income taxes — 9 17 (387 ) 27 (334 ) Equity in net earnings of subsidiaries 830 768 701 19 (2,318 ) — NET INCOME (LOSS) 808 748 664 905 (2,317 ) 808 Less: noncontrolling interest — — — 19 (19 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 808 $ 748 $ 664 $ 886 $ (2,298 ) $ 808 COMPREHENSIVE INCOME (LOSS) $ 453 $ 522 $ 515 $ 309 $ (1,346 ) $ 453 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE YEAR ENDED DECEMBER 31, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 513 $ 408 $ 185 $ 52 $ (1,210 ) $ (52 ) Cash flows from investing activities Fixed-maturity securities: Purchases — (72 ) (21 ) (2,550 ) 66 (2,577 ) Sales — 177 30 1,900 — 2,107 Maturities — 9 — 889 — 898 Sales (purchases) of short-term investments, net 116 33 19 729 — 897 Net proceeds from financial guaranty variable entities’ assets — — — 400 — 400 Intercompany debt — — — — — — Investment in subsidiary — — 25 — (25 ) — Acquisition of Radian Asset, net of cash acquired — — — (800 ) — (800 ) Other — (5 ) — 74 — 69 Net cash flows provided by (used in) investing activities 116 142 53 642 41 994 Cash flows from financing activities Return of capital — — — (25 ) 25 — Capital contribution from parent — — — — — — Dividends paid (72 ) (455 ) (234 ) (455 ) 1,144 (72 ) Repurchases of common stock (555 ) — — — — (555 ) Share activity under option and incentive plans (2 ) — — — — (2 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (214 ) — (214 ) Net proceeds from issuance of long-term debt — — — — — — Payment of long-term debt — — — (4 ) — (4 ) Intercompany debt — — — — — — Net cash flows provided by (used in) financing activities (629 ) (455 ) (234 ) (698 ) 1,169 (847 ) Effect of exchange rate changes — — — (4 ) — (4 ) Increase (decrease) in cash — 95 4 (8 ) — 91 Cash at beginning of period 0 0 4 71 — 75 Cash at end of period $ 0 $ 95 $ 8 $ 63 $ — $ 166 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE YEAR ENDED DECEMBER 31, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 758 $ 223 $ 144 $ 663 $ (1,211 ) $ 577 Cash flows from investing activities Fixed-maturity securities: Purchases — (540 ) (8 ) (2,253 ) — (2,801 ) Sales — 464 10 777 — 1,251 Maturities — 6 1 870 — 877 Sales (purchases) of short-term investments, net (93 ) (15 ) (3 ) 269 — 158 Net proceeds from financial guaranty variable entities’ assets — — — 408 — 408 Intercompany debt — — — — — — Investment in subsidiary — — 50 — (50 ) — Other — — — 11 — 11 Net cash flows provided by (used in) investing activities (93 ) (85 ) 50 82 (50 ) (96 ) Cash flows from financing activities — Return of capital — — — (50 ) 50 — Capital contribution from parent — — — — — — Dividends paid (76 ) (700 ) (190 ) (321 ) 1,211 (76 ) Repurchases of common stock (590 ) — — — — (590 ) Share activity under option and incentive plans 1 — — — — 1 Net paydowns of financial guaranty variable entities’ liabilities — — — (396 ) — (396 ) Net proceeds from issuance of long-term debt — 495 — — — 495 Payment of long-term debt — — — (19 ) — (19 ) Intercompany debt — — — — — — Net cash flows provided by (used in) financing activities (665 ) (205 ) (190 ) (786 ) 1,261 (585 ) Effect of exchange rate changes — — — (5 ) — (5 ) Increase (decrease) in cash — (67 ) 4 (46 ) — (109 ) Cash at beginning of period 0 67 0 117 — 184 Cash at end of period $ 0 $ 0 $ 4 $ 71 $ — $ 75 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE YEAR ENDED DECEMBER 31, 2013 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 128 $ 178 $ 133 $ 347 $ (542 ) $ 244 Cash flows from investing activities Fixed-maturity securities: Purchases — (93 ) (26 ) (1,832 ) 65 (1,886 ) Sales 176 1 25 892 (65 ) 1,029 Maturities 29 3 2 849 — 883 Sales (purchases) of short-term investments, net 7 (28 ) (15 ) (51 ) — (87 ) Net proceeds from financial guaranty variable entities’ assets — — — 663 — 663 Intercompany debt — — — 7 (7 ) — Investment in subsidiary — 0 49 — (49 ) — Other — — — 79 — 79 Net cash flows provided by (used in) investing activities 212 (117 ) 35 607 (56 ) 681 Cash flows from financing activities Return of capital — — — (50 ) 50 — Capital contribution from parent — — — 1 (1 ) — Dividends paid (75 ) — (168 ) (374 ) 542 (75 ) Repurchases of common stock (264 ) — — — — (264 ) Share activity under option and incentive plans (1 ) — — — — (1 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (511 ) — (511 ) Payment of long-term debt — — — (27 ) — (27 ) Intercompany debt — (7 ) — — 7 — Net cash flows provided by (used in) financing activities (340 ) (7 ) (168 ) (961 ) 598 (878 ) Effect of exchange rate changes — — — (1 ) — (1 ) Increase (decrease) in cash 0 54 — (8 ) — 46 Cash at beginning of period — 13 0 125 — 138 Cash at end of period $ 0 $ 67 $ 0 $ 117 $ — $ 184 |
Quarterly Financial Information
Quarterly Financial Information (Unaudited) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Information (Unaudited) | Quarterly Financial Information (Unaudited) A summary of selected quarterly information follows: 2015 First Quarter Second Quarter Third Quarter Fourth Quarter Full Year (dollars in millions, except per share data) Revenues Net earned premiums $ 142 $ 219 $ 213 $ 192 $ 766 Net investment income 101 98 112 112 423 Net realized investment gains (losses) 16 (9 ) (27 ) (6 ) (26 ) Net change in fair value of credit derivatives 124 90 86 428 728 Fair value gains (losses) on CCS 2 23 (15 ) 17 27 Fair value gains (losses) on FG VIEs (7 ) 5 2 38 38 Bargain purchase gain and settlement of pre-existing relationships — 214 — — 214 Other income (loss) (9 ) 55 (3 ) (6 ) 37 Expenses Loss and LAE 18 188 112 106 424 Amortization of DAC 4 6 5 5 20 Interest expense 25 26 25 25 101 Other operating expenses 56 66 54 55 231 Income (loss) before provision for income taxes 266 409 172 584 1,431 Provision (benefit) for income taxes 65 112 43 155 375 Net income (loss) 201 297 129 429 1,056 Earnings (loss) per share(1): Basic $ 1.29 $ 1.97 $ 0.88 $ 3.05 $ 7.12 Diluted $ 1.28 $ 1.96 $ 0.88 $ 3.03 $ 7.08 Dividends per share $ 0.12 $ 0.12 $ 0.12 $ 0.12 $ 0.48 2014 First Quarter Second Quarter Third Quarter Fourth Quarter Full Year (dollars in millions, except per share data) Revenues Net earned premiums $ 132 $ 136 $ 144 $ 158 $ 570 Net investment income 103 96 102 102 403 Net realized investment gains (losses) 2 (8 ) (19 ) (35 ) (60 ) Net change in fair value of credit derivatives (211 ) 103 255 676 823 Fair value gains (losses) on CCS (9 ) (6 ) 4 — (11 ) Fair value gains (losses) on FG VIEs 157 25 50 23 255 Bargain purchase gain and settlement of pre-existing relationships — — — — — Other income (loss) 21 7 (11 ) (3 ) 14 Expenses Loss and LAE 41 57 (44 ) 72 126 Amortization of DAC 5 3 4 13 25 Interest expense 20 20 27 25 92 Other operating expenses 60 55 50 55 220 Income (loss) before provision for income taxes 69 218 488 756 1,531 Provision (benefit) for income taxes 27 59 133 224 443 Net income (loss) 42 159 355 532 1,088 Earnings (loss) per share(1): Basic $ 0.23 $ 0.89 $ 2.10 $ 3.30 $ 6.30 Diluted $ 0.23 $ 0.89 $ 2.09 $ 3.28 $ 6.26 Dividends per share $ 0.11 $ 0.11 $ 0.11 $ 0.11 $ 0.44 ____________________ (1) Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Business and Basis of Present32
Business and Basis of Presentation (Policies) | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Debt | Long-term debt is recorded at principal amounts net of any unamortized original issue discount or premium and unamortized fair value adjustment for AGMH debt (as of the date of the AGMH acquisition). Discounts and acquisition date fair value adjustments are accreted into interest expense over the life of the applicable debt. In April 2015, the FASB issued ASU No. 2015-03, Interest - Imputation of Interest (Topic 835-30): Simplifying the Presentation of Debt Issuance Costs , which requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. Effective December 31, 2015, the Company retrospectively adopted this accounting guidance. Therefore, the Company no longer includes debt issuance costs in assets. |
Basis of Presentation and Significant Accounting Policies | The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and, in the opinion of management, reflect all adjustments that are of a normal recurring nature, necessary for a fair statement of the financial condition, results of operations and cash flows of the Company and its consolidated variable interest entities (“VIEs”) for the periods presented. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. |
Consolidation | The consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, (collectively, the “Subsidiaries”), and its consolidated financial guaranty ("FG") VIEs. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. |
Reclassification | Certain prior year balances have been reclassified to conform to the current year's presentation. |
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 translating foreign functional currency financial statements for U.S. GAAP reporting are recorded in other comprehensive income (loss) ("OCI"). Gains and losses relating to transactions in foreign denominations in subsidiaries where the functional currency is the U.S. dollar, are reported in the consolidated statement of operations. |
New Accounting Pronouncements | Future Application of Accounting Standards Leases In February 2016, the FASB issued ASU 2016-02, Leases (Topic 842) . This ASU requires lessees to present right-of-use assets and lease liabilities on the balance sheet. ASU 2016-02 is to be applied using a modified retrospective approach at the beginning of the earliest comparative period in the financial statements. The ASU is effective for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. Early adoption is permitted. The Company is evaluating the impact that this ASU will have on its Consolidated Financial Statements. Financial Instruments In January 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities . The amendments in this ASU are intended to make targeted improvements to GAAP by addressing certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. One of the amendments pertains to liabilities that an entity has elected to measure at fair value in accordance with the fair value option for financial instruments. For these liabilities, the portion of fair value change related to credit risk will be separately presented in other comprehensive income. Currently, the entire change in the fair value of these liabilities is reflected in the income statement. The ASU is effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Entities will be required to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the fiscal year in which the guidance is adopted. For the Company, this would be as of January 1, 2018. Early adoption is permitted only for the amendment related to the change in presentation of financial liabilities that are fair valued using the fair value option. The Company is currently evaluating the effect of adopting this ASU on its Consolidated Financial Statements. Short Duration Insurance Contracts In May 2015, the FASB issued ASU 2015-09, Financial Services - Insurance (Topic 944) - Disclosures about Short-Duration Contracts. The primary objective of this ASU is to improve disclosures for insurance entities which issue short-duration contracts. The ASU 2015-09 will have no impact on the Company's financial statement disclosures. The ASU is effective for annual periods beginning after December 15, 2015, and interim periods within annual periods beginning after December 15, 2016. Consolidation In February 2015, the FASB issued ASU No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis , which is intended to improve certain areas of consolidation guidance for legal entities such as limited partnerships, limited liability companies, and securitization structures. The ASU will be effective on January 1, 2016. Early adoption is permitted, including adoption in an interim period. The Company does not expect that ASU 2015-02 will have an effect on its Consolidated Financial Statements. |
Revenue Recognition, Deferred Revenue | Accounting for 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 are consistent whether the contract was written on a direct basis, assumed from another financial guarantor under a reinsurance treaty, ceded to another insurer under a reinsurance treaty, or acquired in a business combination. Premium receivables comprise the present value of contractual or expected future premium collections discounted using the risk-free rate. Unearned premium reserve represents deferred premium revenue, less claim payments and recoveries received that have not yet been recognized in the statement of operations (“contra-paid”). The following discussion relates to the deferred premium revenue component of the unearned premium reserve, while the contra-paid is discussed below under "Financial Guaranty Insurance Losses." The amount of deferred premium revenue at contract inception is determined as follows: • For premiums received upfront on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is equal to the amount of cash received. Upfront premiums typically relate to public finance transactions. • For premiums received in installments on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is the present value of either (1) contractual premiums due or (2) in cases where the underlying collateral is comprised 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 prepayable, the amount of prepayments must be probable, and the timing and amount of prepayments must be reasonably estimable. When the Company adjusts prepayment assumptions or expected premium collections, an adjustment is recorded to the deferred premium revenue, with a corresponding adjustment to the premium receivable, and prospective changes are recognized in premium revenues. 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. Installment premiums typically relate to structured finance 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 due primarily to fair value adjustments recorded in connection with a business combination. 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 principal 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 principal amounts outstanding in the reporting period compared with the sum of each of the insured principal amounts outstanding for all periods. When an insured financial obligation is retired before its maturity, the financial guaranty insurance contract is extinguished. Any nonrefundable deferred premium revenue related to that contract is accelerated and recognized as premium revenue. When a premium receivable balance is deemed uncollectible, it is written off to bad debt expense. For reinsurance assumed contracts, earned premiums reported in the Company's 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 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 reinsurance assumed contracts, the Company assesses the credit quality and liquidity of the ceding companies and the impact of any potential regulatory constraints to determine the collectability of such amounts. Deferred premium revenue ceded to reinsurers (ceded unearned premium reserve) is recorded as an asset. Direct, assumed and ceded earned premium revenue are presented together as net earned premiums in the statement of operations. Net earned premiums comprise the following: |
Expected Losses to be Paid | Accounting Policy Insurance Accounting For contracts accounted for as financial guaranty insurance, loss and LAE reserve is recorded only to the extent and for the amount that expected losses to be paid, exceed unearned premium reserve. As a result, the Company has expected loss to be paid that have not yet been expensed. Such amounts will be recognized in future periods as deferred premium revenue amortizes into income. Expected loss to be expensed is important because it presents the Company's projection of incurred losses that will be recognized in future periods (excluding accretion of discount). See "Financial Guaranty Insurance Losses" in Note 6, Financial Guaranty Insurance. Derivative Accounting, at Fair Value For contracts that do not meet the financial guaranty scope exception in the derivative accounting guidance (primarily due to the fact that the insured is not required to be exposed to the insured risk throughout the life of the contract), the Company records such credit derivative contracts at fair value on the consolidated balance sheet with changes in fair value recorded in the consolidated statement of operations. The fair value recorded on the balance sheet represents an exit price in a hypothetical market because the Company does not trade its credit derivative contracts. The fair value is determined using significant Level 3 inputs in an internally developed model while the expected loss to be paid (which represents the net present value of expected cash outflows) uses methodologies and assumptions consistent with financial guaranty insurance expected losses to be paid. See Note 7, Fair Value Measurement and Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. VIE Consolidation, at Fair Value For financial guaranty insurance contracts issued on the debt of variable interest entities over which the Company is deemed to be the primary beneficiary due to its control rights, as defined in GAAP, the Company consolidates the FG VIE. The Company carries the assets and liabilities of the FG VIEs at fair value under the fair value option election. Management assesses the losses on the insured debt of the consolidated FG VIEs in the same manner as other financial guaranty insurance and credit derivative contracts. See Note 9, Consolidated Variable Interest Entities. |
Policy Acquisition Costs | Policy acquisition costs that are directly related and essential to successful insurance contract acquisition and ceding commission income on ceded reinsurance contracts are deferred for contracts accounted for as insurance, and reported net. Amortization of deferred policy acquisition costs includes the accretion of discount on ceding commission income and expense. Capitalized policy acquisition costs costs include expenses such as ceding commissions expense on assumed reinsurance contracts and the cost of underwriting personnel attributable to successful underwriting efforts. 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 deferred acquisition costs ("DAC"), with a corresponding offset to net premiums receivable or reinsurance balances payable. Management uses its judgment in determining the type and amount of costs to be deferred. The Company conducts an annual study to determine which operating costs qualify for deferral. Costs incurred for soliciting potential customers, market research, training, administration, unsuccessful acquisition efforts, and product development as well as all overhead type costs are charged to expense as incurred. DAC is amortized in proportion to net earned premiums. When an insured obligation is retired early, the remaining related DAC, net of ceding commission income is recognized at that time. Expected losses, which include LAE, investment income, and the remaining costs of servicing the insured or reinsured business, are considered in determining the recoverability of DAC. |
Fair Value of Financial Instruments | During 2015 , no changes were made to the Company’s valuation models that had or are expected to have, a material impact on the Company’s consolidated balance sheets or statements of operations and comprehensive income. The Company’s methods for calculating fair value produce a fair value that may not be indicative of net realizable value or reflective of future fair values. The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The fair value hierarchy is determined based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company estimates of market assumptions. The fair value hierarchy prioritizes model inputs into three broad levels as follows, with Level 1 being the highest and Level 3 the lowest. An asset or liability’s categorization within the fair value 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. In May 2015, the FASB issued ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share , which removes the requirement to make certain disclosures and categorize within the fair value hierarchy, certain investments for which fair value is measured using the net asset value ("NAV") per share as a practical expedient. Effective December 31, 2015, the Company retrospectively adopted this accounting guidance that no longer requires investments measured at fair value using NAV per share practical expedient to be categorized within the fair value hierarchy. Therefore, the Company no longer includes its investments in partially-owned investment companies, investment funds, and limited partnerships within the fair value hierarchy and the Level 3 rollforward tables disclosed below. Prior period amounts within the fair value hierarchy disclosures contained in this section have been revised to conform to the current period presentation. This guidance requires a change in disclosure only and adoption of this guidance did not have an impact on our financial condition or results of operations. Transfers between Levels 1, 2 and 3 are recognized at the end of the period when the transfer occurs. The Company reviews the classification between Levels 1, 2 and 3 quarterly to determine whether a transfer is necessary. |
Salvage and Subrogation Recoverable | When the Company becomes entitled to the cash flow from the underlying collateral of an insured credit 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: • a reduction in the corresponding loss and LAE reserve with a benefit to the income statement, • no entry recorded, if “total loss” is not in excess of deferred premium revenue, or • the recording of a salvage asset with a benefit to the income statement if the transaction is in a net recovery position at the reporting date. The Company recognizes the expected recovery of claim payments (including recoveries from settlement with R&W providers) made by an acquired subsidiary prior to the date of acquisition, consistent with its policy for recognizing recoveries on all financial guaranty insurance contracts. To the extent that the estimated amount of recoveries increases or decreases due to changes in facts and circumstances the Company would recognize a benefit or expense consistent with how changes in the expected recovery of all other claim payments are recorded. The ceded component of salvage and subrogation recoverable is recorded in the line item reinsurance balances payable. |
Expected Loss to be Expensed | Expected loss to be expensed represents past or expected future net claim payments that have not yet been expensed. Such amounts will be expensed in future periods as deferred premium revenue amortizes into income on financial guaranty insurance policies. Expected loss to be expensed is the Company's projection of incurred losses that will be recognized in future periods, excluding accretion of discount. |
Credit Derivatives | Credit derivatives are recorded at fair value. Changes in fair value are recorded in “net change in fair value of credit derivatives” on the consolidated statement of operations. Realized gains (losses) and other settlements on credit derivatives include credit derivative premiums received and receivable for credit protection the Company has sold under its insured CDS contracts, premiums paid and payable for credit protection the Company has purchased, claims paid and payable and received and receivable related to insured credit events under these contracts, ceding commission expense or income and realized gains or losses related to their early termination. 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 7, Fair Value Measurement, for a discussion on the fair value methodology for credit derivatives. |
Consolidation, Variable Interest Entity | The Company evaluates whether it is the primary beneficiary of its VIEs. If the Company concludes that it is the primary beneficiary, it is required to consolidate the entire VIE in the Company's financial statements and eliminate the effects of the financial guaranty insurance contracts issued by AGM and AGC on the consolidated FG VIEs debt obligations. The primary beneficiary of a VIE is the enterprise that has both 1) the power to direct the activities of a VIE that most significantly impact the entity's economic performance; and 2) 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. As part of the terms of its financial guaranty contracts, the Company obtains certain protective rights with respect to the VIE that are triggered by the occurrence of certain events, such as failure to be in compliance with a covenant due to poor deal performance or a deterioration in a servicer or collateral manager's financial condition. At deal inception, the Company typically is not deemed to control a VIE; however, once a trigger event occurs, the Company's control of the VIE typically increases. The Company continuously evaluates its power to direct the activities that most significantly impact the economic performance of VIEs that have debt obligations insured by the Company and, accordingly, where the Company is obligated to absorb VIE losses or receive benefits that could potentially be significant to the VIE. The Company obtains protective rights under its insurance contracts that give the Company additional controls over a VIE if there is either deterioration of deal performance or in the financial health of the deal servicer. The Company is deemed to be the control party for certain VIEs under GAAP, typically when its protective rights give it the power to both terminate and replace the deal servicer, which are characteristics specific to the Company's financial guaranty contracts. If the protective rights that could make the Company the control party have not been triggered, then the VIE is not consolidated. If the Company is deemed no longer to have those protective rights, the transaction is deconsolidated. The FG VIEs' liabilities that are insured by the Company are considered to be with recourse, because the Company guarantees the payment of principal and interest regardless of the performance of the related FG VIEs' assets. FG VIEs' liabilities that are not insured by the Company are considered to be without recourse, because the payment of principal and interest of these liabilities is wholly dependent on the performance of the FG VIEs' assets. The Company has limited contractual rights to obtain the financial records of its consolidated FG VIEs. The FG VIEs do not prepare separate GAAP financial statements; therefore, the Company compiles GAAP financial information for them based on trustee reports prepared by and received from third parties. Such trustee reports are not available to the Company until approximately 30 days after the end of any given period. The time required to perform adequate reconciliations and analyses of the information in these trustee reports results in a one quarter lag in reporting the FG VIEs' activities. The Company records the fair value of FG VIE assets and liabilities based on modeled prices. The Company updates the model assumptions each reporting period for the most recent available information, which incorporates the impact of material events that may have occurred since the quarter lag date. The net change in the fair value of consolidated FG VIE assets and liabilities is recorded in "fair value gains (losses) on FG VIEs" in the consolidated statements of operations. Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on FG VIEs.” The Company has elected the fair value option for assets and liabilities classified as FG VIEs' assets and liabilities because the carrying amount transition method was not practical. The cash flows generated by the FG VIE assets, including R&W recoveries, are classified as cash flows from investing activities. Paydowns of FG liabilities are supported by the cash flows generated by FG VIE assets, and for liabilities with recourse, possibly claim payments made by AGM or AGC under its financial guaranty insurance contracts. Paydowns of FG liabilities both with and without recourse are classified as cash flows used in financing activities by the Company. Interest income, interest expense and other expenses of the FG VIE assets and liabilities are classified as operating cash flows. Claim payments made by AGC and AGM 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 VIE liabilities as a financing activity as opposed to an operating activity of AGM and AGC. |
Investments and Cash | The vast majority of the Company's investment portfolio is composed of fixed-maturity and short-term investments, classified as available-for-sale at the time of purchase (approximately 98.5% based on fair value as of December 31, 2015 ), and therefore carried at fair value. Changes in fair value for other-than-temporarily-impaired ("OTTI") securities are bifurcated between credit losses and non-credit changes in fair value. The credit loss on OTTI securities is recorded in the statement of operations and the non-credit component of the change in fair value of securities, whether OTTI or not, is recorded in OCI. For securities where the Company has the intent to sell or it is more-likely-than-not that it will be required to sell the security before recovery, declines in fair value are recorded in the consolidated statements of operations. Credit losses reduce the amortized cost of impaired securities. The amortized cost basis is adjusted for accretion and amortization (using the effective interest method) with a corresponding entry recorded in net investment income. Realized gains and losses on sales of investments are determined using the specific identification method. Realized loss includes amounts recorded for other-than-temporary impairments on debt securities and the declines in fair value of securities for which the Company has the intent to sell the security or inability to hold until recovery of amortized cost. For mortgage‑backed securities, and any other holdings for which there is prepayment risk, prepayment assumptions are evaluated and revised as necessary. Any necessary adjustments due to changes in effective yields and maturities are recognized in net investment income. Loss mitigation securities are generally purchased at a discount and are accounted for based on their underlying investment type and exclude the effects of the Company’s insurance. Interest income on loss mitigation securities is recognized on a level yield basis over the life of the security Short-term investments, which are those investments with a maturity of less than one year at time of purchase, are carried at fair value and include amounts deposited in money market funds. Other invested assets primarily include: • guaranteed investment contracts, which are carried at amortized cost plus accrued interest, • preferred stocks, which are carried at fair value with changes in unrealized gains and losses recorded in OCI, • a 50% equity investment acquired in a restructuring of an insured CDS carried at its proportionate share of the underlying entity's U.S. GAAP equity value. |
Income Tax | 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 contingency reserves as provided under Internal Revenue Code Section 832(e). The Company records the purchase of tax and loss bonds in deferred taxes. The Company recognizes tax benefits only if a tax position is “more likely than not” to prevail. |
Reinsurance Accounting | For business assumed and ceded, the accounting model of the underlying direct financial guaranty contract dictates the accounting model used for the reinsurance contract (except for those eliminated as FG VIEs). For any assumed or ceded financial guaranty insurance premiums and financial guaranty insurance losses, the accounting models described in Note 6 are followed. For any assumed or ceded credit derivative contracts, the accounting model in Note 8 is followed |
Earnings Per Share | The Company computes EPS using a two-class method by including participating securities which entitle their holders to receive nonforfeitable dividends or dividend equivalents before vesting. Restricted stock awards and share units under the AGC supplemental executive retirement plan ("AGC SERP") are considered participating securities as they received non-forfeitable rights to dividends at the same rate as common stock. The two-class method of computing EPS is an earnings allocation formula that determines EPS for each class of common stock and participating security according to dividends declared (or accumulated) and participation rights in undistributed earnings. Basic EPS is then calculated by dividing net (loss) income 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. The Company has a single class of common stock. |
Share-based Compensation | Share-based compensation expense is based on the grant date fair value using the grant date closing price, the lattice, Monte Carlo or Black-Scholes-Merton (“Black-Scholes”) pricing models. The Company amortizes the fair value of share-based awards on a straight-line basis over the requisite service periods of the awards, which are generally the vesting periods, with the exception of retirement‑eligible employees. For retirement-eligible employees, certain awards contain retirement provisions and therefore are amortized over the period through the date the employee first becomes eligible to retire and is no longer required to provide service to earn part or all of the award. The fair value of each award under the Assured Guaranty Ltd. Employee Stock Purchase Plan is estimated at the beginning of each offering period using the Black-Scholes option valuation model. The expense for Performance Retention Plan awards is recognized straight-line over the requisite service period, with the exception of retirement eligible employees. For retirement eligible employees, the expense is recognized immediately. |
Compensation Related Costs | Share-based compensation expense is based on the grant date fair value using the grant date closing price, the lattice, Monte Carlo or Black-Scholes-Merton (“Black-Scholes”) pricing models. The Company amortizes the fair value of share-based awards on a straight-line basis over the requisite service periods of the awards, which are generally the vesting periods, with the exception of retirement‑eligible employees. For retirement-eligible employees, certain awards contain retirement provisions and therefore are amortized over the period through the date the employee first becomes eligible to retire and is no longer required to provide service to earn part or all of the award. The fair value of each award under the Assured Guaranty Ltd. Employee Stock Purchase Plan is estimated at the beginning of each offering period using the Black-Scholes option valuation model. The expense for Performance Retention Plan awards is recognized straight-line over the requisite service period, with the exception of retirement eligible employees. For retirement eligible employees, the expense is recognized immediately. |
Cash and Cash Equivalents | Cash consists of cash on hand and demand deposits. As a result of the lag in reporting FG VIEs, cash and short-term investments do not reflect cash outflow to the holders of the debt issued by the FG VIEs for claim payments made by the Company's insurance subsidiaries to the consolidated FG VIEs until the subsequent reporting period. |
Loss and Loss Adjustment Expense 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. As discussed in Note 7, Fair Value Measurement, contracts that meet the definition of a derivative, as well as consolidated FG VIE assets and liabilities, are recorded separately at fair value. Any expected losses related to consolidated FG VIEs are eliminated upon consolidation. Any expected losses on credit derivatives are not recorded as loss and LAE reserve on the consolidated balance sheet. Under financial guaranty insurance accounting, the sum of unearned premium reserve and loss and LAE reserve represents the Company's stand‑ready obligation. Unearned premium reserve is deferred premium revenue, less claim payments and recoveries received that have not yet been recognized in the statement of operations ("contra-paid"). At contract inception, the entire stand-ready obligation is represented by unearned premium reserve. A loss and LAE reserve for an insurance contract is recorded only to the extent, and for the amount, that expected loss to be paid net of contra-paid (“total losses”) exceed the deferred premium revenue, on a contract by contract basis. As a result, the Company has expected loss to be paid that has not yet been expensed. Such amounts will be recognized in future periods as deferred premium revenue amortizes into income. When a claim or LAE payment is made on a contract, it first reduces any recorded loss and LAE reserve. To the extent there is no loss and LAE reserve on a contract, then such claim payment is recorded as “contra-paid,” which reduces the unearned premium reserve. The contra-paid is recognized in the line item “loss and LAE” 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 LAE in the consolidated statement of operations is presented net of cessions to reinsurers. |
Commitments and Contingencies | Accounting Policy The Company establishes accruals for litigation and regulatory matters to the extent it is probable that a loss has been incurred and the amount of that loss can be reasonably estimated. For litigation and regulatory matters where a loss may be reasonably possible, but not probable, or is probable but not reasonably estimable, no accrual is established, but if the matter is material, it is disclosed, including matters discussed below. The Company reviews relevant information with respect to its litigation and regulatory matters on a quarterly, and annual basis and updates its accruals, disclosures and estimates of reasonably possible loss based on such reviews. |
Business Acquisitions | The Radian Asset Acquisition was accounted for under the acquisition method of accounting which required that the assets and liabilities acquired be recorded at fair value. The Company was required to exercise significant judgment to determine the fair value of the assets it acquired and liabilities it assumed in the Radian Asset Acquisition. The most significant of these determinations related to the valuation of Radian Asset's financial guaranty insurance and credit derivative contracts. On an aggregate basis, Radian Asset’s contractual premiums for financial guaranty contracts were less than the premiums a market participant of similar credit quality would demand to acquire those contracts at the Acquisition Date, particularly for below-investment-grade ("BIG") transactions, resulting in a significant amount of the purchase price being allocated to these contracts. For information on the methodology the Company used to measure the fair value of assets it acquired and liabilities it assumed in the Radian Asset Acquisition, including financial guaranty insurance and credit derivative contracts, please refer to Note 7, Fair Value Measurement. The fair value of the Company's stand-ready obligation for financial guaranty insurance contracts on the Acquisition Date is recorded in unearned premium reserve (please refer to Note 6, Financial Guaranty Insurance for additional information on stand-ready obligation). At the Acquisition Date, the fair value of each financial guaranty insurance contract acquired was in excess of the expected losses for each contract and therefore no explicit loss reserves were recorded on the Acquisition Date. Loss reserves and loss and loss adjustment expenses ("LAE") are recorded when the expected losses for each contract exceeds the remaining unearned premium reserve, in accordance with the Company's accounting policy described in Note 6, Financial Guaranty Insurance. The expected losses assumed by the Company as part of the Radian Asset Acquisition are included in the description of expected losses to be paid under Note 5, Expected Loss to be Paid. The excess of the fair value of net assets acquired over the consideration transferred was recorded as a bargain purchase gain in "bargain purchase gain and settlement of pre-existing relationships" in net income. In addition, the Company and Radian Asset had pre-existing reinsurance relationships, which were effectively settled at fair value on the Acquisition Date. The gain on settlement of these pre-existing reinsurance relationships primarily represents the net difference between the historical ceded balances that were recorded by AGM and the fair value of assumed balances acquired from Radian Asset. |
Acquisition of Radian Asset A33
Acquisition of Radian Asset Assurance Inc. (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Business Combinations [Abstract] | |
Schedule of fair values of assets and liabilities acquired from acquisition | The following table shows the net effect of the Radian Asset Acquisition at the Acquisition Date, including the effects of the settlement of pre-existing relationships. Fair Value of Net Assets Acquired, before Settlement of Pre-existing Relationships Net effect of Settlement of Pre-existing Relationships Net Effect of Radian Asset Acquisition (in millions) Cash purchase price(1) $ 804 $ — $ 804 Identifiable assets acquired: Investments 1,473 — 1,473 Cash 4 — 4 Ceded unearned premium reserve (3 ) (65 ) (68 ) Credit derivative assets 30 — 30 Deferred tax asset, net 263 (56 ) 207 Financial guaranty variable interest entities’ assets 122 — 122 Other assets 86 (67 ) 19 Total assets 1,975 (188 ) 1,787 Liabilities assumed: Unearned premium reserves 697 (216 ) 481 Credit derivative liabilities 271 (26 ) 245 Financial guaranty variable interest entities’ liabilities 118 — 118 Other liabilities 30 (49 ) (19 ) Total liabilities 1,116 (291 ) 825 Net asset effect of Radian Asset Acquisition 859 103 962 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax 55 103 158 Deferred tax — 56 56 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, pre-tax $ 55 $ 159 $ 214 _____________________ (1) The cash purchase price of $804 million was the cash transferred for the acquisition which was allocated as follows: (1) $987 million for the purchase of net assets of $1,042 million , and (2) the settlement of pre-existing relationships between Radian Asset and Assured Guaranty at a fair value of $ (183) million . |
Schedule of settlement of pre-existing relationships | The following table shows the net effect of the Radian Asset Acquisition at the Acquisition Date, including the effects of the settlement of pre-existing relationships. Fair Value of Net Assets Acquired, before Settlement of Pre-existing Relationships Net effect of Settlement of Pre-existing Relationships Net Effect of Radian Asset Acquisition (in millions) Cash purchase price(1) $ 804 $ — $ 804 Identifiable assets acquired: Investments 1,473 — 1,473 Cash 4 — 4 Ceded unearned premium reserve (3 ) (65 ) (68 ) Credit derivative assets 30 — 30 Deferred tax asset, net 263 (56 ) 207 Financial guaranty variable interest entities’ assets 122 — 122 Other assets 86 (67 ) 19 Total assets 1,975 (188 ) 1,787 Liabilities assumed: Unearned premium reserves 697 (216 ) 481 Credit derivative liabilities 271 (26 ) 245 Financial guaranty variable interest entities’ liabilities 118 — 118 Other liabilities 30 (49 ) (19 ) Total liabilities 1,116 (291 ) 825 Net asset effect of Radian Asset Acquisition 859 103 962 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax 55 103 158 Deferred tax — 56 56 Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, pre-tax $ 55 $ 159 $ 214 _____________________ (1) The cash purchase price of $804 million was the cash transferred for the acquisition which was allocated as follows: (1) $987 million for the purchase of net assets of $1,042 million , and (2) the settlement of pre-existing relationships between Radian Asset and Assured Guaranty at a fair value of $ (183) million . |
Schedule of business combination related expenses | Radian Asset Acquisition-Related Expenses Year Ended December 31, 2015 (in millions) Professional services $ 2 Financial advisory fees 10 Total $ 12 |
Schedule of unaudited pro forma results of operations | Unaudited Pro Forma Results of Operations Year Ended December 31, 2015 Year Ended December 31, 2014 (in millions, except per share amounts) Pro forma revenues $ 2,030 $ 2,501 Pro forma net income 922 1,531 Pro forma earnings per share ("EPS"): Basic 6.22 8.86 Diluted 6.18 8.81 |
Outstanding Exposure (Tables)
Outstanding Exposure (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Schedule of Insured Financial Obligations [Line Items] | |
Debt Service Outstanding | Financial Guaranty Debt Service Outstanding Gross Debt Service Outstanding Net Debt Service Outstanding December 31, December 31, December 31, December 31, (in millions) Public finance $ 515,494 $ 587,245 $ 494,426 $ 553,612 Structured finance 43,976 59,477 41,915 56,010 Total financial guaranty $ 559,470 $ 646,722 $ 536,341 $ 609,622 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating As of December 31, 2015 Public Finance Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Net Par % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 3,053 1.1 % $ 709 2.4 % $ 14,366 45.2 % $ 2,709 50.6 % $ 20,837 5.8 % AA 69,274 23.7 2,017 6.8 7,934 25.0 177 3.3 79,402 22.1 A 157,440 53.9 6,765 22.9 2,486 7.8 555 10.3 167,246 46.7 BBB 54,315 18.6 18,708 63.2 1,515 4.8 1,365 25.5 75,903 21.2 BIG 7,784 2.7 1,378 4.7 5,469 17.2 552 10.3 15,183 4.2 Total net par outstanding (1)(2) $ 291,866 100.0 % $ 29,577 100.0 % $ 31,770 100.0 % $ 5,358 100.0 % $ 358,571 100.0 % _____________________ (1) Excludes $ 1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. (2) The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. Financial Guaranty Portfolio by Internal Rating As of December 31, 2014 Public Finance U.S. Public Finance Non-U.S. Structured Finance U.S Structured Finance Non-U.S Total Rating Category Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % Net Par Outstanding % (dollars in millions) AAA $ 4,082 1.3 % $ 615 2.0 % $ 20,037 48.7 % $ 5,409 59.6 % $ 30,143 7.5 % AA 90,464 28.1 2,785 8.9 8,213 19.9 503 5.5 101,965 25.3 A 176,298 54.7 7,192 22.9 2,940 7.1 445 4.9 186,875 46.3 BBB 43,429 13.5 19,363 61.7 1,795 4.4 1,912 21.1 66,499 16.4 BIG 7,850 2.4 1,404 4.5 8,186 19.9 807 8.9 18,247 4.5 Total net par outstanding (1) $ 322,123 100.0 % $ 31,359 100.0 % $ 41,171 100.0 % $ 9,076 100.0 % $ 403,729 100.0 % _____________________ (1) Excludes $ 1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. |
Financial Guaranty Portfolio by Asset Class | Financial Guaranty Portfolio by Sector Gross Par Outstanding Ceded Par Outstanding Net Par Outstanding Sector As of December 31, 2015 As of December 31, 2014 As of December 31, 2015 As of December 31, 2014 As of December 31, 2015 As of December 31, 2014 (in millions) Public finance: U.S.: General obligation $ 129,386 $ 144,714 $ 3,131 $ 4,438 $ 126,255 $ 140,276 Tax backed 59,649 65,600 1,587 3,075 58,062 62,525 Municipal utilities 46,951 53,471 1,015 1,381 45,936 52,090 Transportation 24,351 28,914 897 1,091 23,454 27,823 Healthcare 15,967 16,225 961 1,377 15,006 14,848 Higher education 11,984 13,485 48 386 11,936 13,099 Infrastructure finance 5,241 5,098 248 917 4,993 4,181 Housing 2,075 2,880 38 101 2,037 2,779 Investor-owned utilities 916 944 0 0 916 944 Other public finance 3,288 3,575 17 17 3,271 3,558 Total public finance—U.S. 299,808 334,906 7,942 12,783 291,866 322,123 Non-U.S.: Infrastructure finance 14,040 15,091 1,312 2,283 12,728 12,808 Regulated utilities 12,616 14,582 2,568 3,668 10,048 10,914 Pooled infrastructure 2,013 2,565 134 145 1,879 2,420 Other public finance 5,714 6,216 792 999 4,922 5,217 Total public finance—non-U.S. 34,383 38,454 4,806 7,095 29,577 31,359 Total public finance 334,191 373,360 12,748 19,878 321,443 353,482 Structured finance: U.S.: Pooled corporate obligations 16,757 21,791 749 1,145 16,008 20,646 Residential Mortgage-Backed Securities ("RMBS") 7,441 10,109 374 692 7,067 9,417 Insurance securitizations 3,047 3,480 47 47 3,000 3,433 Consumer receivables 2,153 2,157 54 58 2,099 2,099 Financial products 1,906 2,276 — — 1,906 2,276 Commercial mortgage-backed securities ("CMBS") and other commercial real estate related exposures 549 1,979 16 22 533 1,957 Commercial receivables 432 567 5 7 427 560 Other structured finance 823 929 93 146 730 783 Total structured finance—U.S. 33,108 43,288 1,338 2,117 31,770 41,171 Non-U.S.: Pooled corporate obligations 4,087 7,439 442 835 3,645 6,604 Commercial receivables 619 965 19 21 600 944 RMBS 552 893 60 99 492 794 Other structured finance 635 759 14 25 621 734 Total structured finance—non-U.S. 5,893 10,056 535 980 5,358 9,076 Total structured finance 39,001 53,344 1,873 3,097 37,128 50,247 Total net par outstanding $ 373,192 $ 426,704 $ 14,621 $ 22,975 $ 358,571 $ 403,729 |
Expected Amortization of Net Par Outstanding | Expected Amortization of Net Par Outstanding As of December 31, 2015 Public Finance Structured Finance Total (in millions) 0 to 5 years $ 97,518 $ 24,430 $ 121,948 5 to 10 years 68,144 4,786 72,930 10 to 15 years 58,348 2,768 61,116 15 to 20 years 45,623 2,765 48,388 20 years and above 51,810 2,379 54,189 Total net par outstanding $ 321,443 $ 37,128 $ 358,571 |
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) | Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of December 31, 2015 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 4,765 $ 2,883 $ 136 $ 7,784 $ 291,866 Non-U.S. public finance 875 503 — 1,378 29,577 Structured finance First lien U.S. RMBS: Prime first lien 225 34 25 284 445 Alt-A first lien 119 73 601 793 1,353 Option ARM 39 12 90 141 252 Subprime 146 228 930 1,304 3,457 Second lien U.S. RMBS 491 50 910 1,451 1,560 Total U.S. RMBS 1,020 397 2,556 3,973 7,067 Triple-X life insurance transactions — — 216 216 2,750 Trust preferred securities (“TruPS”) 679 127 — 806 4,379 Student loans 12 68 83 163 1,818 Other structured finance 672 151 40 863 21,114 Total $ 8,023 $ 4,129 $ 3,031 $ 15,183 $ 358,571 Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of December 31, 2014 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) U.S. public finance $ 6,577 $ 1,156 $ 117 $ 7,850 $ 322,123 Non-U.S. public finance 1,402 2 — 1,404 31,359 Structured finance First lien U.S. RMBS: Prime first lien 68 33 252 353 471 Alt-A first lien 585 531 725 1,841 2,532 Option ARM 47 18 118 183 407 Subprime 156 654 765 1,575 4,051 Second lien U.S. RMBS 1,012 55 624 1,691 1,956 Total U.S. RMBS 1,868 1,291 2,484 5,643 9,417 Triple-X life insurance transactions — — 598 598 3,133 TruPS 997 — 336 1,333 4,326 Student loans 14 68 113 195 1,857 Other structured finance 1,007 172 45 1,224 31,514 Total $ 11,865 $ 2,689 $ 3,693 $ 18,247 $ 403,729 |
BIG Net Par Outstanding and Number of Risks | BIG Net Par Outstanding and Number of Risks As of December 31, 2015 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 7,019 $ 1,004 $ 8,023 202 12 214 Category 2 3,655 474 4,129 85 8 93 Category 3 2,900 131 3,031 132 12 144 Total BIG $ 13,574 $ 1,609 $ 15,183 419 32 451 BIG Net Par Outstanding and Number of Risks As of December 31, 2014 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 10,195 $ 1,670 $ 11,865 164 18 182 Category 2 2,135 554 2,689 75 14 89 Category 3 2,892 801 3,693 119 24 143 Total BIG $ 15,222 $ 3,025 $ 18,247 358 56 414 _____________________ (1) Includes net par outstanding for VIEs. (2) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2015 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 202 (46 ) 85 (13 ) 132 (44 ) 419 — 419 Remaining weighted-average contract period (in years) 10.0 8.7 13.8 9.5 7.7 5.9 10.7 — 10.7 Outstanding exposure: Principal $ 7,751 $ (732 ) $ 3,895 $ (240 ) $ 3,087 $ (187 ) $ 13,574 $ — $ 13,574 Interest 4,109 (354 ) 2,805 (110 ) 1,011 (42 ) 7,419 — 7,419 Total(2) $ 11,860 $ (1,086 ) $ 6,700 $ (350 ) $ 4,098 $ (229 ) $ 20,993 $ — $ 20,993 Expected cash outflows (inflows) $ 386 $ (42 ) $ 1,158 $ (60 ) $ 1,464 $ (53 ) $ 2,853 $ (343 ) $ 2,510 Potential recoveries Undiscounted R&W 69 (2 ) (49 ) 1 (85 ) 5 (61 ) 7 (54 ) Other(3) (441 ) 14 (118 ) 7 (587 ) 19 (1,106 ) 175 (931 ) Total potential recoveries (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Subtotal 14 (30 ) 991 (52 ) 792 (29 ) 1,686 (161 ) 1,525 Discount 91 3 (286 ) 12 (58 ) (89 ) (327 ) 41 (286 ) Present value of expected cash flows $ 105 $ (27 ) $ 705 $ (40 ) $ 734 $ (118 ) $ 1,359 $ (120 ) $ 1,239 Deferred premium revenue $ 371 $ (37 ) $ 150 $ (4 ) $ 386 $ (32 ) $ 834 $ (100 ) $ 734 Reserves (salvage) $ 2 $ (19 ) $ 591 $ (38 ) $ 404 $ (9 ) $ 931 $ (74 ) $ 857 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2014 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 164 (59 ) 75 (15 ) 119 (38 ) 358 — 358 Remaining weighted-average contract period (in years) 9.9 7.4 10.1 8.9 9.6 6.9 10.3 — 10.3 Outstanding exposure: Principal $ 12,358 $ (2,163 ) $ 2,421 $ (286 ) $ 3,067 $ (175 ) $ 15,222 $ — $ 15,222 Interest 6,350 (838 ) 1,274 (121 ) 1,034 (48 ) 7,651 — 7,651 Total(2) $ 18,708 $ (3,001 ) $ 3,695 $ (407 ) $ 4,101 $ (223 ) $ 22,873 $ — $ 22,873 Expected cash outflows (inflows) $ 1,762 $ (626 ) $ 763 $ (77 ) $ 1,716 $ (75 ) $ 3,463 $ (345 ) $ 3,118 Potential recoveries Undiscounted R&W (39 ) 0 (48 ) 2 (171 ) 9 (247 ) 8 (239 ) Other(3) (1,687 ) 608 (206 ) 5 (404 ) 30 (1,654 ) 177 (1,477 ) Total potential recoveries (1,726 ) 608 (254 ) 7 (575 ) 39 (1,901 ) 185 (1,716 ) Subtotal 36 (18 ) 509 (70 ) 1,141 (36 ) 1,562 (160 ) 1,402 Discount 3 0 (117 ) 11 (353 ) 9 (447 ) 34 (413 ) Present value of expected cash flows $ 39 $ (18 ) $ 392 $ (59 ) $ 788 $ (27 ) $ 1,115 $ (126 ) $ 989 Deferred premium revenue $ 378 $ (70 ) $ 119 $ (6 ) $ 312 $ (33 ) $ 700 $ (116 ) $ 584 Reserves (salvage) $ (42 ) $ (5 ) $ 278 $ (53 ) $ 482 $ (10 ) $ 650 $ (79 ) $ 571 ____________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. (2) Includes BIG amounts related to FG VIEs. (3) Includes excess spread and draws on HELOCs. |
Net Direct Economic Exposure to Selected European Countries | Net Direct Economic Exposure to Selected European Countries(1) As of December 31, 2015 Hungary Italy Portugal Spain Total (in millions) Sub-sovereign exposure: Non-infrastructure public finance(2) $ — $ 780 $ 85 $ 240 $ 1,105 Infrastructure finance 271 10 — 120 401 Total sub-sovereign exposure 271 790 85 360 1,506 Non-sovereign exposure: Regulated utilities — 212 — — 212 RMBS and other structured finance 170 244 — 13 427 Total non-sovereign exposure 170 456 — 13 639 Total $ 441 $ 1,246 $ 85 $ 373 $ 2,145 Total BIG (See Note 5) $ 374 $ — $ 85 $ 373 $ 832 ____________________ (1) While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. One of the RMBS included in the table above includes residential mortgages in both Italy and Germany, and only the portion of the transaction equal to the portion of the original mortgage pool in Italian mortgages is shown in the table. (2) The exposure shown in the “Non-infrastructure public finance” category is from transactions backed by receivable payments from sub-sovereigns in Italy, Spain and Portugal. Sub-sovereign debt is debt issued by a governmental entity or government backed entity, or supported by such an entity, that is other than direct sovereign debt of the ultimate governing body of the country. |
Schedule of Geographic Exposure of Net Par Outstanding | Geographic Distribution of Net Par Outstanding As of December 31, 2015 Number of Risks Net Par Outstanding Percent of Total Net Par Outstanding (dollars in millions) U.S.: U.S. Public finance: California 1,514 $ 47,731 13.3 % Texas 1,307 23,891 6.7 Pennsylvania 944 23,655 6.6 New York 961 22,513 6.3 Illinois 816 22,220 6.2 Florida 369 16,595 4.6 New Jersey 553 13,605 3.8 Michigan 577 10,898 3.0 Georgia 183 6,991 1.9 Ohio 464 6,753 1.9 Other states and U.S. territories 3,927 97,014 27.0 Total U.S. public finance 11,615 291,866 81.3 U.S. Structured finance (multiple states) 723 31,770 8.9 Total U.S. 12,338 323,636 90.2 Non-U.S.: United Kingdom 101 17,565 4.9 Australia 22 3,349 0.9 Canada 10 3,099 0.9 France 16 2,609 0.7 Italy 8 1,296 0.4 Other 72 7,017 2.0 Total non-U.S. 229 34,935 9.8 Total 12,567 $ 358,571 100.0 % |
Puerto Rico [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
BIG Net Par Outstanding and Number of Risks | Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of December 31, 2015 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization Previously Subject to the Voided Recovery Act Not Previously Subject to the Voided Recovery Act Total Previously Subject to the Voided Recovery Act Not Previously Subject to the Voided Recovery Act Total (in millions) 2016 $ 98 $ 204 $ 302 $ 229 $ 330 $ 559 2017 51 171 222 175 289 464 2018 56 123 179 178 232 410 2019 74 130 204 192 232 424 2020 87 183 270 202 280 482 2021 66 59 125 177 146 323 2022 47 68 115 153 152 305 2023 110 41 151 214 123 337 2024 89 85 174 188 164 352 2025 111 85 196 206 157 363 2026 - 2030 590 352 942 973 659 1,632 2031 - 2035 583 548 1,131 838 763 1,601 2036 - 2040 308 263 571 427 348 775 2041 - 2045 137 166 303 207 182 389 2046 - 2047 168 — 168 181 — 181 Total $ 2,575 $ 2,478 $ 5,053 $ 4,540 $ 4,057 $ 8,597 |
Gross Par and Gross Debt Service Outstanding | 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 December 31, December 31, December 31, December 31, (in millions) Previously Subject to the Voided Recovery Act (1) $ 2,965 $ 3,058 $ 5,162 $ 5,326 Not Previously Subject to the Voided Recovery Act 2,790 2,977 4,470 4,748 Total $ 5,755 $ 6,035 $ 9,632 $ 10,074 ____________________ (1) On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the U.S. Bankruptcy Code and is therefore void. On July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling. |
Schedule of Geographic Exposure of Net Par Outstanding | Puerto Rico Net Par Outstanding As of As of Total(1) Internal Rating Total Internal Rating (in millions) Exposures Previously Subject to the Voided Recovery Act: PRHTA (Transportation revenue) (2) $ 909 CCC- $ 844 BB- PREPA 744 CC 772 B- Puerto Rico Aqueduct and Sewer Authority 388 CCC 384 BB- PRHTA (Highway revenue) (2) 370 CCC 273 BB Puerto Rico Convention Center District Authority ("PRCCDA")(2) 164 CCC- 174 BB- Total 2,575 2,447 Exposures Not Previously Subject to the Voided Recovery Act: Commonwealth of Puerto Rico - General Obligation Bonds 1,615 CCC 1,672 BB MFA 387 CCC- 399 BB- Puerto Rico Sales Tax Financing Corporation 269 CCC+ 269 BBB Puerto Rico Public Buildings Authority 188 CCC 100 BB GDB — — 33 BB PRIFA (2) (3) 18 CCC- 18 BB- University of Puerto Rico 1 CCC- 1 BB- Total 2,478 2,492 Total net exposure to Puerto Rico $ 5,053 $ 4,939 ____________________ (1) As of December 31, 2015 , the Company's Puerto Rico net exposures increased due to (1) net par of $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million of PRHTA, and (2) a commutation of previously ceded Puerto Rico exposures. (2) The Governor issued executive orders on November 30, 2015, and December 8, 2015, directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes and revenues pledged to secure the payment of bonds issued by PRHTA, PRIFA and PRCCDA. On January 7, 2016 the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes and revenues is unconstitutional, and demanding declaratory and injunctive relief. (3) On January 1, 2016 PRIFA defaulted on full payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately $451 thousand of claims for the interest payments on which PRIFA had defaulted. |
Expected Loss to be Paid (Table
Expected Loss to be Paid (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Expected Losses [Abstract] | |
Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward | Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward Year Ended December 31, 2015 (in millions) Net expected loss to be paid, beginning of period $ 1,169 Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 190 Economic loss development due to: Accretion of discount 32 Changes in discount rates (23 ) Changes in timing and assumptions 310 Total economic loss development 319 Paid losses (287 ) Net expected loss to be paid, end of period $ 1,391 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Year Ended December 31, 2015 Net Expected Loss to be Paid (Recovered) as of December 31, 2014(2) Net Expected Economic Loss Development (Paid) Recovered Losses(1) Net Expected (in millions) Public Finance: U.S. public finance $ 303 $ 81 $ 416 $ (29 ) $ 771 Non-U.S. public finance 45 4 (11 ) — 38 Public Finance 348 85 405 (29 ) 809 Structured Finance: U.S. RMBS: First lien: Prime first lien 4 — (1 ) (5 ) (2 ) Alt-A first lien 304 7 (126 ) (58 ) 127 Option ARM (16 ) 0 (16 ) 4 (28 ) Subprime 303 (4 ) 19 (67 ) 251 Total first lien 595 3 (124 ) (126 ) 348 Second lien (11 ) 1 42 29 61 Total U.S. RMBS 584 4 (82 ) (97 ) 409 Triple-X life insurance transactions 161 — 11 (73 ) 99 TruPS 23 — (18 ) — 5 Student loans 68 — (9 ) (5 ) 54 Other structured finance (15 ) 101 12 (83 ) 15 Structured Finance 821 105 (86 ) (258 ) 582 Total $ 1,169 $ 190 $ 319 $ (287 ) $ 1,391 Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward by Sector Year Ended December 31, 2014 Net Expected Loss to be Paid (Recovered) as of December 31, 2013 Economic Loss Development (Paid) Recovered Losses(1) Net Expected (in millions) Public Finance: U.S. public finance $ 264 $ 183 $ (144 ) $ 303 Non-U.S. public finance 57 (12 ) — 45 Public Finance 321 171 (144 ) 348 Structured Finance: U.S. RMBS: First lien: Prime first lien 21 (16 ) (1 ) 4 Alt-A first lien 304 (144 ) 144 304 Option ARM (9 ) (59 ) 52 (16 ) Subprime 304 (7 ) 6 303 Total first lien 620 (226 ) 201 595 Second lien (127 ) (42 ) 158 (11 ) Total U.S. RMBS 493 (268 ) 359 584 Triple-X life insurance transactions 75 92 (6 ) 161 TruPS 51 (28 ) — 23 Student loans 52 16 0 68 Other structured finance (10 ) (13 ) 8 (15 ) Structured Finance 661 (201 ) 361 821 Total $ 982 $ (30 ) $ 217 $ 1,169 ____________________ (1) Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. The Company paid $25 million and $37 million in LAE for the years ended December 31, 2015 and 2014 , respectively. (2) Includes expected LAE to be paid of $12 million as of December 31, 2015 and $16 million as of December 31, 2014 . |
Schedule of Future R&W Benefits | Future Net R&W Benefit As of December 31, 2015, 2014 and 2013 Future Net Future Net Future Net (in millions) U.S. RMBS: First lien $ 0 $ 232 $ 569 Second lien 79 85 143 Total $ 79 $ 317 $ 712 ____________________ (1) See the section "Breaches of Representations and Warranties" below for eligible assets held in trust. |
Net Expected Loss to be Paid By Accounting Model | Net Expected Loss to be Paid (Recovered) By Accounting Model As of December 31, 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Total (in millions) Public Finance: U.S. public finance $ 771 $ — $ 0 $ 771 Non-U.S. public finance 38 — — 38 Public Finance 809 — — 809 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — (4 ) (2 ) Alt-A first lien 110 17 0 127 Option ARM (27 ) — (1 ) (28 ) Subprime 153 59 39 251 Total first lien 238 76 34 348 Second lien 13 44 4 61 Total U.S. RMBS 251 120 38 409 Triple-X life insurance transactions 88 — 11 99 TruPS 0 — 5 5 Student loans 54 — — 54 Other structured finance 37 16 (38 ) 15 Structured Finance 430 136 16 582 Total $ 1,239 $ 136 $ 16 $ 1,391 Net Expected Loss to be Paid (Recovered) By Accounting Model As of December 31, 2014 Financial Guaranty Insurance FG VIEs(1) and Other Credit Total (in millions) Public Finance: U.S. public finance $ 303 $ — $ — $ 303 Non-U.S. public finance 45 — — 45 Public Finance 348 — — 348 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 4 Alt-A first lien 288 17 (1 ) 304 Option ARM (15 ) — (1 ) (16 ) Subprime 163 71 69 303 Total first lien 438 88 69 595 Second lien (53 ) 38 4 (11 ) Total U.S. RMBS 385 126 73 584 Triple-X life insurance transactions 153 — 8 161 TruPS 1 — 22 23 Student loans 68 — — 68 Other structured finance 34 (4 ) (45 ) (15 ) Structured Finance 641 122 58 821 Total $ 989 $ 122 $ 58 $ 1,169 _____________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Schedule of Net Economic Loss Development | Net Economic Loss Development (Benefit) By Accounting Model Year Ended December 31, 2015 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 421 $ — $ (5 ) $ 416 Non-U.S. public finance (11 ) — — (11 ) Public Finance 410 — (5 ) 405 Structured Finance: U.S. RMBS: First lien: Prime first lien 0 — (1 ) (1 ) Alt-A first lien (49 ) 0 (77 ) (126 ) Option ARM (17 ) — 1 (16 ) Subprime 9 11 (1 ) 19 Total first lien (57 ) 11 (78 ) (124 ) Second lien 35 7 — 42 Total U.S. RMBS (22 ) 18 (78 ) (82 ) Triple-X life insurance transactions 6 — 5 11 TruPS (1 ) — (17 ) (18 ) Student loans (9 ) — — (9 ) Other structured finance 1 (2 ) 13 12 Structured Finance (25 ) 16 (77 ) (86 ) Total $ 385 $ 16 $ (82 ) $ 319 Net Economic Loss Development (Benefit) By Accounting Model Year Ended December 31, 2014 Financial Guaranty Insurance FG VIEs(1) and Other Credit Derivatives(2) Total (in millions) Public Finance: U.S. public finance $ 183 $ — $ — $ 183 Non-U.S. public finance (10 ) — (2 ) (12 ) Public Finance 173 — (2 ) 171 Structured Finance: U.S. RMBS: First lien: Prime first lien — — (16 ) (16 ) Alt-A first lien (87 ) (13 ) (44 ) (144 ) Option ARM (48 ) 1 (12 ) (59 ) Subprime (15 ) 6 2 (7 ) Total first lien (150 ) (6 ) (70 ) (226 ) Second lien (130 ) 91 (3 ) (42 ) Total U.S. RMBS (280 ) 85 (73 ) (268 ) Triple-X life insurance transactions 86 — 6 92 TruPS (2 ) — (26 ) (28 ) Student loans 16 — — 16 Other structured finance (5 ) (1 ) (7 ) (13 ) Structured Finance (185 ) 84 (100 ) (201 ) Total $ (12 ) $ 84 $ (102 ) $ (30 ) ____________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS | First Lien Liquidation Rates December 31, 2015 December 31, 2014 December 31, 2013 Current Loans Modified in the Previous 12 Months Alt A and Prime 25% 25% 35% Option ARM 25 25 35 Subprime 25 25 35 Current Loans Delinquent in the Previous 12 Months Alt A and Prime 25 25 N/A Option ARM 25 25 N/A Subprime 25 25 N/A 30 – 59 Days Delinquent Alt A and Prime 35 35 50 Option ARM 40 40 50 Subprime 45 35 45 60 – 89 Days Delinquent Alt A and Prime 45 50 60 Option ARM 50 55 65 Subprime 55 40 50 90+ Days Delinquent Alt A and Prime 55 60 75 Option ARM 60 65 70 Subprime 60 55 60 Bankruptcy Alt A and Prime 45 45 60 Option ARM 50 50 60 Subprime 40 40 55 Foreclosure Alt A and Prime 65 75 85 Option ARM 70 80 80 Subprime 70 70 70 Real Estate Owned All 100 100 100 Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS(1) As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Alt-A First Lien Plateau CDR 1.7 % – 26.4% 6.4% 2.0 % – 13.4% 7.3% 2.8 % – 18.4% 9.7% Intermediate CDR 0.3 % – 5.3% 1.3% 0.4 % – 2.7% 1.5% 0.6 % – 3.7% 1.9% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.1 % – 1.3% 0.3% 0.1 % – 0.7% 0.3% 0.1 % – 0.9% 0.5% Initial loss severity: 2005 and prior 60.0% 60.0% 65.0% 2006 70.0% 70.0% 65.0% 2007 65.0% 65.0% 65.0% Initial CPR 2.7 % – 32.5% 11.5% 1.7 % – 21.0% 7.7% 0.0 % – 34.2% 9.7% Final CPR(2) 15% 15% 15% Option ARM Plateau CDR 3.5 % – 10.3% 7.8% 4.3 % – 14.2% 10.6% 4.9 % – 16.8% 11.9% Intermediate CDR 0.7 % – 2.1% 1.6% 0.9 % – 2.8% 2.1% 1.0 % – 3.4% 2.4% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.2 % – 0.5% 0.4% 0.2 % – 0.7% 0.5% 0.2 % – 0.8% 0.5% Initial loss severity: 2005 and prior 60.0% 60.0% 65.0% 2006 70.0% 70.0% 65.0% 2007 65.0% 65.0% 65.0% Initial CPR 1.5 % – 10.9% 5.1% 1.1 % – 11.8% 4.9% 0.4 % – 13.1% 4.7% Final CPR(2) 15% 15% 15% Subprime Plateau CDR 4.7 % – 13.2% 9.5% 4.9 % – 15% 10.6% 5.6 % – 16.2% 11.8% Intermediate CDR 0.9 % – 2.6% 1.9% 1.0 % – 3.0% 2.1% 1.1 % – 3.2% 2.4% Period until intermediate CDR 48 months 48 months 48 months Final CDR 0.2 % – 0.7% 0.4% 0.2 % – 0.7% 0.4% 0.3 % – 0.8% 0.4% Initial loss severity: 2005 and prior 75.0% 75.0% 90.0% 2006 90.0% 90.0% 90.0% 2007 90.0% 90.0% 90.0% Initial CPR 0.0 % – 10.1% 3.6% 0.0 % – 10.5% 6.1% 0.0 % – 15.7% 4.1% Final CPR(2) 15% 15% 15% ____________________ (1) Represents variables for most heavily weighted scenario (the “base case”). (2) 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. |
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | Key Assumptions in Base Case Expected Loss Estimates HELOCs(1) As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Plateau CDR 4.9 % – 23.5% 10.3% 2.8 % – 6.8% 4.1% 2.3 % – 7.7% 4.9% Final CDR trended down to 0.5 % – 3.2% 1.2% 0.5 % – 3.2% 1.2% 0.4 % – 3.2% 1.1% Period until final CDR 34 months 34 months 34 months Initial CPR 10.9% 6.9 % – 21.8% 11.0% 2.7 % – 21.5% 9.9% Final CPR(2) 10.0 % – 15.0% 13.3% 15.0 % – 21.8% 15.5% 10% Loss severity 98.0% 90.0 % – 98.0% 90.4% 98% ____________________ (1) Represents variables for most heavily weighted scenario (the “base case”). (2) 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. |
Financial Guaranty Insurance (T
Financial Guaranty Insurance (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Insurance [Abstract] | |
Net Earned Premiums | Net Earned Premiums Year Ended December 31, 2015 2014 2013 (in millions) Scheduled net earned premiums $ 416 $ 415 $ 470 Acceleration of net earned premiums (1) 331 136 263 Accretion of discount on net premiums receivable 17 16 17 Financial guaranty insurance net earned premiums 764 567 750 Other 2 3 2 Net earned premiums (2) $ 766 $ 570 $ 752 ___________________ (1) Reflects the unscheduled refunding or termination of the insurance on an insured obligation as well as changes in scheduled earnings due to changes in the expected lives of the insured obligations. (2) Excludes $21 million , $32 million and $60 million for the year ended December 31, 2015 , 2014 and 2013 , respectively, related to consolidated FG VIEs. |
Components of Unearned Premium Reserve | Components of Unearned Premium Reserve As of December 31, 2015 As of December 31, 2014 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue $ 4,008 $ 238 $ 3,770 $ 4,167 $ 387 $ 3,780 Contra-paid(2) (12 ) (6 ) (6 ) 94 (6 ) 100 Unearned premium reserve $ 3,996 $ 232 $ 3,764 $ 4,261 $ 381 $ 3,880 ____________________ (1) Excludes $110 million and $ 125 million of deferred premium revenue and $30 million and $42 million of contra-paid related to FG VIEs as of December 31, 2015 and December 31, 2014 , respectively. (2) See "Financial Guaranty Insurance Losses – Insurance Contracts' Loss Information" below for an explanation of "contra-paid". |
Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward | Expected Collections of Financial Guaranty Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of December 31, 2015 (in millions) 2016 (January 1 – March 31) $ 34 2016 (April 1 – June 30) 23 2016 (July 1 – September 30) 18 2016 (October 1 – December 31) 17 2017 67 2018 61 2019 57 2020 56 2021-2025 226 2026-2030 147 2031-2035 103 After 2035 84 Total(1) $ 893 ____________________ (1) Excludes expected cash collections on FG VIEs of $22 million . Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward Year Ended December 31, 2015 2014 2013 (in millions) Beginning of period, December 31 $ 729 $ 876 $ 1,005 Premiums receivable acquired in Radian Asset Acquisition on April 1, 2015 2 — — Gross premium written, net of commissions on assumed business 198 171 145 Gross premiums received, net of commissions on assumed business (206 ) (230 ) (259 ) Adjustments: Changes in the expected term (19 ) (66 ) (28 ) Accretion of discount, net of commissions on assumed business 18 10 20 Foreign exchange translation (25 ) (31 ) (1 ) Consolidation/deconsolidation of FG VIEs (4 ) (1 ) — Other adjustments 0 — (6 ) End of period, December 31 (1) $ 693 $ 729 $ 876 ____________________ (1) Excludes $17 million , $19 million and $21 million as of December 31, 2015 , 2014 and 2013 , respectively, related to consolidated FG VIEs. |
Schedule of Net Earned Premiums | Scheduled Financial Guaranty Net Earned Premiums As of December 31, 2015 (in millions) 2016 (January 1 – March 31) $ 100 2016 (April 1 – June 30) 97 2016 (July 1 – September 30) 93 2016 (October 1 – December 31) 91 Subtotal 2016 381 2017 332 2018 298 2019 272 2020 250 2021-2025 977 2026-2030 616 2031-2035 363 After 2035 281 Net deferred premium revenue(1) 3,770 Future accretion 186 Total future net earned premiums $ 3,956 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $110 million . |
Selected Information for Policies Paid in Installments | Selected Information for Financial Guaranty Policies Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 693 $ 729 Gross deferred premium revenue 1,240 1,370 Weighted-average risk-free rate used to discount premiums 3.1 % 3.5 % Weighted-average period of premiums receivable (in years) 9.4 9.4 |
Rollforward of Deferred Acquisition Costs | Rollforward of Deferred Acquisition Costs Year Ended December 31, 2015 2014 2013 (in millions) Beginning of period $ 121 $ 124 $ 116 DAC adjustments related to Radian Asset Acquisition on April 1, 2015 1 — — Costs deferred during the period: Commissions on assumed and ceded business (1 ) 7 9 Premium taxes 2 3 4 Compensation and other acquisition costs 11 10 8 Total 12 20 21 Costs amortized during the period (20 ) (23 ) (13 ) End of period $ 114 $ 121 $ 124 |
Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts | Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts As of December 31, 2015 As of December 31, 2014 Loss and LAE Reserve, net Salvage and Subrogation Recoverable, net Net Reserve (Recoverable) Loss and LAE Reserve, net Salvage and Subrogation Recoverable, net Net Reserve (Recoverable) (in millions) Public Finance: U.S. public finance $ 604 $ 7 $ 597 $ 243 $ 8 $ 235 Non-U.S. public finance 25 — 25 30 — 30 Public Finance 629 7 622 273 8 265 Structured Finance: U.S. RMBS: First lien: Prime first lien 2 — 2 2 — 2 Alt-A first lien 46 — 46 87 — 87 Option ARM 13 42 (29 ) 28 40 (12 ) Subprime 169 21 148 166 8 158 First lien 230 63 167 283 48 235 Second lien 32 53 (21 ) 7 78 (71 ) Total U.S. RMBS 262 116 146 290 126 164 Triple-X life insurance transactions 82 — 82 140 — 140 TruPS — — — 0 — 0 Student loans 51 — 51 64 — 64 Other structured finance 48 — 48 34 8 26 Structured Finance 443 116 327 528 134 394 Subtotal 1,072 123 949 801 142 659 Other recoverables — 3 (3 ) — 13 (13 ) Subtotal 1,072 126 946 801 155 646 Effect of consolidating FG VIEs (74 ) 0 (74 ) (80 ) (1 ) (79 ) Total (1) $ 998 $ 126 $ 872 $ 721 $ 154 $ 567 ______________ (1) See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. |
Components of Net Reserves (Salvage) Insurance Contracts | Components of Net Reserves (Salvage) As of As of (in millions) Loss and LAE reserve $ 1,067 $ 799 Reinsurance recoverable on unpaid losses (69 ) (78 ) Loss and LAE reserve, net 998 721 Salvage and subrogation recoverable (126 ) (151 ) Salvage and subrogation payable(1) 3 10 Other recoverables (3 ) (13 ) Salvage and subrogation recoverable, net, and other recoverable (126 ) (154 ) Net reserves (salvage) $ 872 $ 567 ____________________ (1) Recorded as a component of reinsurance balances payable. |
Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts | Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of December 31, 2015 (in millions) Net expected loss to be paid $ 1,375 Less: net expected loss to be paid for FG VIEs and other 136 Total 1,239 Contra-paid, net 5 Salvage and subrogation recoverable, net of reinsurance 123 Loss and LAE reserve, net of reinsurance (982 ) Other recoveries 2 Net expected loss to be expensed (present value)(1) $ 387 ____________________ (1) Excludes $77 million as of December 31, 2015 related to consolidated FG VIEs. |
Net Expected Loss to be Expensed Insurance Contracts | Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of December 31, 2015 (in millions) 2016 (January 1 – March 31) $ 12 2016 (April 1 – June 30) 10 2016 (July 1 – September 30) 8 2016 (October 1 – December 31) 8 Subtotal 2016 38 2017 31 2018 30 2019 29 2020 27 2021-2025 102 2026-2030 70 2031-2035 41 After 2035 19 Net expected loss to be expensed 387 Discount 286 Total expected future loss and LAE $ 673 |
Loss and LAE Reported on the Consolidated Statements of Operations | Loss and LAE Reported on the Consolidated Statements of Operations Year Ended December 31, 2015 2014 2013 (in millions) Public Finance: U.S. public finance $ 392 $ 192 $ 198 Non-U.S. public finance 1 (1 ) 16 Public finance 393 191 214 Structured Finance: U.S. RMBS: First lien: Prime first lien (1 ) (1 ) 1 Alt-A first lien (23 ) (66 ) (2 ) Option ARM (15 ) (37 ) (48 ) Subprime 33 8 80 First lien (6 ) (96 ) 31 Second lien 60 (33 ) (35 ) Total U.S. RMBS 54 (129 ) (4 ) Triple-X life insurance transactions 16 85 (44 ) TruPS (1 ) (1 ) (1 ) Student loans (9 ) 17 10 Other structured finance (1 ) (7 ) 0 Structured finance 59 (35 ) (39 ) Loss and LAE on insurance contracts before FG VIE consolidation 452 156 175 Effect of consolidating FG VIEs (28 ) (30 ) (21 ) Loss and LAE $ 424 $ 126 $ 154 |
BIG Net Par Outstanding and Number of Risks | BIG Net Par Outstanding and Number of Risks As of December 31, 2015 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 7,019 $ 1,004 $ 8,023 202 12 214 Category 2 3,655 474 4,129 85 8 93 Category 3 2,900 131 3,031 132 12 144 Total BIG $ 13,574 $ 1,609 $ 15,183 419 32 451 BIG Net Par Outstanding and Number of Risks As of December 31, 2014 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 10,195 $ 1,670 $ 11,865 164 18 182 Category 2 2,135 554 2,689 75 14 89 Category 3 2,892 801 3,693 119 24 143 Total BIG $ 15,222 $ 3,025 $ 18,247 358 56 414 _____________________ (1) Includes net par outstanding for VIEs. (2) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2015 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 202 (46 ) 85 (13 ) 132 (44 ) 419 — 419 Remaining weighted-average contract period (in years) 10.0 8.7 13.8 9.5 7.7 5.9 10.7 — 10.7 Outstanding exposure: Principal $ 7,751 $ (732 ) $ 3,895 $ (240 ) $ 3,087 $ (187 ) $ 13,574 $ — $ 13,574 Interest 4,109 (354 ) 2,805 (110 ) 1,011 (42 ) 7,419 — 7,419 Total(2) $ 11,860 $ (1,086 ) $ 6,700 $ (350 ) $ 4,098 $ (229 ) $ 20,993 $ — $ 20,993 Expected cash outflows (inflows) $ 386 $ (42 ) $ 1,158 $ (60 ) $ 1,464 $ (53 ) $ 2,853 $ (343 ) $ 2,510 Potential recoveries Undiscounted R&W 69 (2 ) (49 ) 1 (85 ) 5 (61 ) 7 (54 ) Other(3) (441 ) 14 (118 ) 7 (587 ) 19 (1,106 ) 175 (931 ) Total potential recoveries (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Subtotal 14 (30 ) 991 (52 ) 792 (29 ) 1,686 (161 ) 1,525 Discount 91 3 (286 ) 12 (58 ) (89 ) (327 ) 41 (286 ) Present value of expected cash flows $ 105 $ (27 ) $ 705 $ (40 ) $ 734 $ (118 ) $ 1,359 $ (120 ) $ 1,239 Deferred premium revenue $ 371 $ (37 ) $ 150 $ (4 ) $ 386 $ (32 ) $ 834 $ (100 ) $ 734 Reserves (salvage) $ 2 $ (19 ) $ 591 $ (38 ) $ 404 $ (9 ) $ 931 $ (74 ) $ 857 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2014 BIG Categories BIG 1 BIG 2 BIG 3 Total BIG, Net Effect of Consolidating FG VIEs Total Gross Ceded Gross Ceded Gross Ceded (dollars in millions) Number of risks(1) 164 (59 ) 75 (15 ) 119 (38 ) 358 — 358 Remaining weighted-average contract period (in years) 9.9 7.4 10.1 8.9 9.6 6.9 10.3 — 10.3 Outstanding exposure: Principal $ 12,358 $ (2,163 ) $ 2,421 $ (286 ) $ 3,067 $ (175 ) $ 15,222 $ — $ 15,222 Interest 6,350 (838 ) 1,274 (121 ) 1,034 (48 ) 7,651 — 7,651 Total(2) $ 18,708 $ (3,001 ) $ 3,695 $ (407 ) $ 4,101 $ (223 ) $ 22,873 $ — $ 22,873 Expected cash outflows (inflows) $ 1,762 $ (626 ) $ 763 $ (77 ) $ 1,716 $ (75 ) $ 3,463 $ (345 ) $ 3,118 Potential recoveries Undiscounted R&W (39 ) 0 (48 ) 2 (171 ) 9 (247 ) 8 (239 ) Other(3) (1,687 ) 608 (206 ) 5 (404 ) 30 (1,654 ) 177 (1,477 ) Total potential recoveries (1,726 ) 608 (254 ) 7 (575 ) 39 (1,901 ) 185 (1,716 ) Subtotal 36 (18 ) 509 (70 ) 1,141 (36 ) 1,562 (160 ) 1,402 Discount 3 0 (117 ) 11 (353 ) 9 (447 ) 34 (413 ) Present value of expected cash flows $ 39 $ (18 ) $ 392 $ (59 ) $ 788 $ (27 ) $ 1,115 $ (126 ) $ 989 Deferred premium revenue $ 378 $ (70 ) $ 119 $ (6 ) $ 312 $ (33 ) $ 700 $ (116 ) $ 584 Reserves (salvage) $ (42 ) $ (5 ) $ 278 $ (53 ) $ 482 $ (10 ) $ 650 $ (79 ) $ 571 ____________________ (1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. (2) Includes BIG amounts related to FG VIEs. (3) Includes excess spread and draws on HELOCs. |
Fair Value Measurement (Tables)
Fair Value Measurement (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Information by Credit Spread Type | Information by Credit Spread Type (1) As of As of Based on actual collateral specific spreads 13 % 9 % Based on market indices 73 % 82 % Provided by the CDS counterparty 14 % 9 % Total 100 % 100 % ____________________ (1) Based on par. |
Schedule of example effects of change in gross spreads, company's own credit spread and cost to buy protection on the on the Company affect the amount of premium the company can demand for credit protection | The following is an example of how changes in gross spreads, the Company’s own credit spread and the cost to buy protection on the Company affect the amount of premium the Company can demand for its credit protection. The assumptions used in these examples are hypothetical amounts. Scenario 1 represents the market conditions in effect on the transaction date and Scenario 2 represents market conditions at a subsequent reporting date. Scenario 1 Scenario 2 bps % of Total bps % of Total Original gross spread/cash bond price (in bps) 185 500 Bank profit (in bps) 115 62 % 50 10 % Hedge cost (in bps) 30 16 % 440 88 % The premium the Company receives per annum (in bps) 40 22 % 10 2 % |
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 2015 Fair Value Hierarchy Fair Value Level 1 Level 2 Level 3 (in millions) Assets: Investment portfolio, available-for-sale: Fixed-maturity securities Obligations of state and political subdivisions $ 5,841 $ — $ 5,833 $ 8 U.S. government and agencies 400 — 400 — Corporate securities 1,520 — 1,449 71 Mortgage-backed securities: RMBS 1,245 — 897 348 CMBS 513 — 513 — Asset-backed securities 825 — 168 657 Foreign government securities 283 — 283 — Total fixed-maturity securities 10,627 — 9,543 1,084 Short-term investments 396 305 31 60 Other invested assets (1) 12 — 5 7 Credit derivative assets 81 — — 81 FG VIEs’ assets, at fair value 1,261 — — 1,261 Other assets 106 23 21 62 Total assets carried at fair value $ 12,483 $ 328 $ 9,600 $ 2,555 Liabilities: Credit derivative liabilities $ 446 $ — $ — $ 446 FG VIEs’ liabilities with recourse, at fair value 1,225 — — 1,225 FG VIEs’ liabilities without recourse, at fair value 124 — — 124 Total liabilities carried at fair value $ 1,795 $ — $ — $ 1,795 Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 2014 Fair Value Hierarchy Fair Value Level 1 Level 2 Level 3 (in millions) Assets: Investment portfolio, available-for-sale: Fixed-maturity securities Obligations of state and political subdivisions $ 5,795 $ — $ 5,757 $ 38 U.S. government and agencies 665 — 665 — Corporate securities 1,368 — 1,289 79 Mortgage-backed securities: RMBS 1,285 — 860 425 CMBS 659 — 659 — Asset-backed securities 417 — 189 228 Foreign government securities 302 — 302 — Total fixed-maturity securities 10,491 — 9,721 770 Short-term investments 767 359 408 — Other invested assets(1) 24 — 17 7 Credit derivative assets 68 — — 68 FG VIEs’ assets, at fair value(2) 1,398 — — 1,398 Other assets 78 26 17 35 Total assets carried at fair value $ 12,826 $ 385 $ 10,163 $ 2,278 Liabilities: Credit derivative liabilities $ 963 $ — $ — $ 963 FG VIEs’ liabilities with recourse, at fair value 1,277 — — 1,277 FG VIEs’ liabilities without recourse, at fair value 142 — — 142 Total liabilities carried at fair value $ 2,382 $ — $ — $ 2,382 ____________________ (1) Excluded from the table above are investments funds of $45 million and $76 million as of December 31, 2015 and December 31, 2014, respectively, measured using NAV per share practical expedient. Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. (2) Excludes restricted cash. |
Fair Value Assets Measured on Recurring Basis | Fair Value Level 3 Rollforward Recurring Basis Year Ended December 31, 2015 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- Short-Term Investments FG VIEs’ Other Credit FG VIEs' Liabilities with Recourse, FG VIEs' Liabilities without Recourse, (in millions) Fair value as of December 31, 2014 $ 38 $ 79 $ 425 $ 228 $ — $ 1,398 $ 37 $ (895 ) $ (1,277 ) $ (142 ) Radian Asset Acquisition — — 4 — — 122 2 (215 ) (114 ) (4 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 3 (2 ) 3 (2 ) 18 (2 ) 1 (2 ) 24 (2 ) 59 (3 ) 26 (4 ) 728 (6 ) 111 (3 ) (28 ) (3 ) Other comprehensive income (loss) (2 ) (11 ) (12 ) (9 ) 0 — 0 — — — Purchases — — 48 471 52 (7 ) — — — — — Settlements (31 ) (7 ) — (134 ) (34 ) (16 ) (400 ) — 17 186 28 FG VIE consolidations — — (1 ) — — 104 — — (131 ) — FG VIE deconsolidations — — — — — (22 ) — — — 22 Fair value as of December 31, 2015 $ 8 $ 71 $ 348 $ 657 $ 60 $ 1,261 $ 65 $ (365 ) $ (1,225 ) $ (124 ) Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2015 $ 0 $ (11 ) $ (9 ) $ (9 ) $ 0 $ 110 $ 26 $ 281 $ 4 $ (22 ) Fair Value Level 3 Rollforward Recurring Basis Year Ended December 31, 2014 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other Credit FG VIEs' Liabilities with Recourse, FG VIEs' Liabilities without Recourse, (in millions) Fair value as of December 31, 2013 $ 36 $ 136 $ 290 $ 268 $ 2,565 $ 48 $ (1,693 ) $ (1,790 ) $ (1,081 ) Total pretax realized and unrealized gains/(losses) recorded in:(1) Net income (loss) 4 (2 ) (46 ) (2 ) 21 (2 ) 17 (2 ) 164 (3 ) (11 ) (4 ) 823 (6 ) 94 (3 ) (43 ) (3 ) Other comprehensive income (loss) (1 ) (6 ) 24 5 — — — — — Purchases — — 263 — — — — — — Settlements (1 ) (5 ) (59 ) (62 ) (408 ) — (25 ) 374 22 FG VIE consolidations — — (127 ) — 206 — — (189 ) (42 ) FG VIE deconsolidations — — 13 — (1,129 ) — — 234 1,002 Fair value as of December 31, 2014 $ 38 $ 79 $ 425 $ 228 $ 1,398 $ 37 $ (895 ) $ (1,277 ) $ (142 ) Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2014 $ (1 ) $ (6 ) $ 21 $ 4 $ 141 $ (11 ) $ 254 $ (22 ) $ 3 ____________________ (1) Realized and unrealized gains (losses) from changes in values of Level 3 financial instruments represent gains (losses) from changes in values of those financial instruments only for the periods in which the instruments were classified as Level 3. (2) Included in net realized investment gains (losses) and net investment income. (3) Included in fair value gains (losses) on FG VIEs. (4) Recorded in fair value gains (losses) on CCS, net realized investment gains (losses) and net investment income. (5) Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure. (6) Reported in net change in fair value of credit derivatives. (7) Primarily non-cash transaction. |
Fair Value, Liabilities Measured on Recurring Basis | The table below presents a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during the years ended December 31, 2015 and 2014 . Fair Value Level 3 Rollforward Recurring Basis Year Ended December 31, 2015 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- Short-Term Investments FG VIEs’ Other Credit FG VIEs' Liabilities with Recourse, FG VIEs' Liabilities without Recourse, (in millions) Fair value as of December 31, 2014 $ 38 $ 79 $ 425 $ 228 $ — $ 1,398 $ 37 $ (895 ) $ (1,277 ) $ (142 ) Radian Asset Acquisition — — 4 — — 122 2 (215 ) (114 ) (4 ) Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 3 (2 ) 3 (2 ) 18 (2 ) 1 (2 ) 24 (2 ) 59 (3 ) 26 (4 ) 728 (6 ) 111 (3 ) (28 ) (3 ) Other comprehensive income (loss) (2 ) (11 ) (12 ) (9 ) 0 — 0 — — — Purchases — — 48 471 52 (7 ) — — — — — Settlements (31 ) (7 ) — (134 ) (34 ) (16 ) (400 ) — 17 186 28 FG VIE consolidations — — (1 ) — — 104 — — (131 ) — FG VIE deconsolidations — — — — — (22 ) — — — 22 Fair value as of December 31, 2015 $ 8 $ 71 $ 348 $ 657 $ 60 $ 1,261 $ 65 $ (365 ) $ (1,225 ) $ (124 ) Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2015 $ 0 $ (11 ) $ (9 ) $ (9 ) $ 0 $ 110 $ 26 $ 281 $ 4 $ (22 ) Fair Value Level 3 Rollforward Recurring Basis Year Ended December 31, 2014 Fixed-Maturity Securities Obligations Corporate Securities RMBS Asset- FG VIEs’ Other Credit FG VIEs' Liabilities with Recourse, FG VIEs' Liabilities without Recourse, (in millions) Fair value as of December 31, 2013 $ 36 $ 136 $ 290 $ 268 $ 2,565 $ 48 $ (1,693 ) $ (1,790 ) $ (1,081 ) Total pretax realized and unrealized gains/(losses) recorded in:(1) Net income (loss) 4 (2 ) (46 ) (2 ) 21 (2 ) 17 (2 ) 164 (3 ) (11 ) (4 ) 823 (6 ) 94 (3 ) (43 ) (3 ) Other comprehensive income (loss) (1 ) (6 ) 24 5 — — — — — Purchases — — 263 — — — — — — Settlements (1 ) (5 ) (59 ) (62 ) (408 ) — (25 ) 374 22 FG VIE consolidations — — (127 ) — 206 — — (189 ) (42 ) FG VIE deconsolidations — — 13 — (1,129 ) — — 234 1,002 Fair value as of December 31, 2014 $ 38 $ 79 $ 425 $ 228 $ 1,398 $ 37 $ (895 ) $ (1,277 ) $ (142 ) Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2014 $ (1 ) $ (6 ) $ 21 $ 4 $ 141 $ (11 ) $ 254 $ (22 ) $ 3 ____________________ (1) Realized and unrealized gains (losses) from changes in values of Level 3 financial instruments represent gains (losses) from changes in values of those financial instruments only for the periods in which the instruments were classified as Level 3. (2) Included in net realized investment gains (losses) and net investment income. (3) Included in fair value gains (losses) on FG VIEs. (4) Recorded in fair value gains (losses) on CCS, net realized investment gains (losses) and net investment income. (5) Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure. (6) Reported in net change in fair value of credit derivatives. (7) Primarily non-cash transaction. |
Schedule of Quantitative Information About Level 3 Assets, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At December 31, 2015 Financial Instrument Description(1) Fair Value at December 31, 2015(in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (2): Fixed-maturity securities (3): Corporate securities $ 71 Yield 21.8% RMBS 348 CPR 0.3 % - 9.0% 2.6% CDR 2.7 % - 9.3% 7.0% Loss severity 60.0 % - 100.0% 74.0% Yield 4.7 % - 8.2% 6.0% Asset-backed securities: Investor owned utility 69 Cash flow receipts 100.0% Collateral recovery period 2.9 years Discount factor 7.0% Triple-X life insurance transactions 329 Yield 3.5 % - 7.5% 5.0% Collateralized debt obligations ("CDO") 259 Yield 20.0% Short-term investments 60 Yield 17.0% FG VIEs’ assets, at fair value 1,261 CPR 0.3 % - 9.2% 3.9% CDR 1.2 % - 16.0% 4.7% Loss severity 40.0 % - 100.0% 85.9% Yield 1.9 % - 20.0% 6.4% Other assets 62 Quotes from third party pricing $44 - $46 $45 Term (years) 5 years Financial Instrument Description(1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Liabilities: Credit derivative liabilities, net (365 ) Year 1 loss estimates 0.0 % - 41.0% 0.6% Hedge cost (in bps) 32.8 - 282.0 66.3 Bank profit (in bps) 3.8 - 1,017.5 110.8 Internal floor (in bps) 7.0 - 100.0 16.8 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (1,349 ) CPR 0.3 % - 9.2% 3.9% CDR 1.2 % - 16.0% 4.7% Loss severity 40.0 % - 100.0% 85.9% Yield 1.9 % - 20.0% 5.6% ____________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. (2) Excludes several investments recorded in other invested assets with fair value of $7 million . (3) Excludes obligations of state and political subdivisions investments with fair value of $8 million . Quantitative Information About Level 3 Fair Value Inputs At December 31, 2014 Financial Instrument Description(1) Fair Value at December 31, 2014(in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets: Fixed-maturity securities: Obligations of state and political subdivisions $ 38 Rate of inflation 1.0 % - 3.0% 2.0% Cash flow receipts 0.5 % - 74.3% 63.0% Discount rates 4.6 % - 8.0% 7.3% Collateral recovery period 1 month - 34 years 28 years Corporate securities 79 Yield 17.8% RMBS 425 CPR 0.3 % - 8.1% 3.3% CDR 2.7 % - 10.6% 5.3% Loss severity 52.6 % - 100.0% 75.2% Yield 4.7 % - 11.7% 6.4% Asset-backed securities: Investor owned utility 95 Cash flow receipts 100.0% Collateral recovery period 4 years Discount factor 7.0% Triple-X life insurance transactions 133 Yield 7.3% Other invested assets 7 Discount for lack of liquidity 20.0% Recovery on delinquent loans 40.0% Default rates 0.0 % - 7.0% 5.8% Loss severity 40.0 % - 75.0% 68.3% Prepayment speeds 5.0 % - 15.0% 12.3% FG VIEs’ assets, at fair value 1,398 CPR 0.3 % - 11.0% 3.3% CDR 1.6 % - 11.8% 5.1% Loss severity 40.0 % - 100.0% 82.2% Yield 2.7 % - 17.7% 7.9% Other assets 35 Quotes from third party pricing $52 - $61 $57 Term (years) 5 years Financial Instrument Description(1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Liabilities: Credit derivative liabilities, net (895 ) Year 1 loss estimates 0.0 % - 93.0% 2.1% Hedge cost (in bps) 20.0 - 243.8 61.5 Bank profit (in bps) 1.0 - 994.4 127.0 Internal floor (in bps) 7.0 - 100.0 15.9 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (1,419 ) CPR 0.3 % - 11.0% 3.3% CDR 1.6 % - 11.8% 5.1% Loss severity 40.0 % - 100.0% 82.2% Yield 2.7 % - 17.7% 5.8% ____________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. |
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At December 31, 2015 Financial Instrument Description(1) Fair Value at December 31, 2015(in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (2): Fixed-maturity securities (3): Corporate securities $ 71 Yield 21.8% RMBS 348 CPR 0.3 % - 9.0% 2.6% CDR 2.7 % - 9.3% 7.0% Loss severity 60.0 % - 100.0% 74.0% Yield 4.7 % - 8.2% 6.0% Asset-backed securities: Investor owned utility 69 Cash flow receipts 100.0% Collateral recovery period 2.9 years Discount factor 7.0% Triple-X life insurance transactions 329 Yield 3.5 % - 7.5% 5.0% Collateralized debt obligations ("CDO") 259 Yield 20.0% Short-term investments 60 Yield 17.0% FG VIEs’ assets, at fair value 1,261 CPR 0.3 % - 9.2% 3.9% CDR 1.2 % - 16.0% 4.7% Loss severity 40.0 % - 100.0% 85.9% Yield 1.9 % - 20.0% 6.4% Other assets 62 Quotes from third party pricing $44 - $46 $45 Term (years) 5 years Financial Instrument Description(1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Liabilities: Credit derivative liabilities, net (365 ) Year 1 loss estimates 0.0 % - 41.0% 0.6% Hedge cost (in bps) 32.8 - 282.0 66.3 Bank profit (in bps) 3.8 - 1,017.5 110.8 Internal floor (in bps) 7.0 - 100.0 16.8 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (1,349 ) CPR 0.3 % - 9.2% 3.9% CDR 1.2 % - 16.0% 4.7% Loss severity 40.0 % - 100.0% 85.9% Yield 1.9 % - 20.0% 5.6% ____________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. (2) Excludes several investments recorded in other invested assets with fair value of $7 million . (3) Excludes obligations of state and political subdivisions investments with fair value of $8 million . Quantitative Information About Level 3 Fair Value Inputs At December 31, 2014 Financial Instrument Description(1) Fair Value at December 31, 2014(in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets: Fixed-maturity securities: Obligations of state and political subdivisions $ 38 Rate of inflation 1.0 % - 3.0% 2.0% Cash flow receipts 0.5 % - 74.3% 63.0% Discount rates 4.6 % - 8.0% 7.3% Collateral recovery period 1 month - 34 years 28 years Corporate securities 79 Yield 17.8% RMBS 425 CPR 0.3 % - 8.1% 3.3% CDR 2.7 % - 10.6% 5.3% Loss severity 52.6 % - 100.0% 75.2% Yield 4.7 % - 11.7% 6.4% Asset-backed securities: Investor owned utility 95 Cash flow receipts 100.0% Collateral recovery period 4 years Discount factor 7.0% Triple-X life insurance transactions 133 Yield 7.3% Other invested assets 7 Discount for lack of liquidity 20.0% Recovery on delinquent loans 40.0% Default rates 0.0 % - 7.0% 5.8% Loss severity 40.0 % - 75.0% 68.3% Prepayment speeds 5.0 % - 15.0% 12.3% FG VIEs’ assets, at fair value 1,398 CPR 0.3 % - 11.0% 3.3% CDR 1.6 % - 11.8% 5.1% Loss severity 40.0 % - 100.0% 82.2% Yield 2.7 % - 17.7% 7.9% Other assets 35 Quotes from third party pricing $52 - $61 $57 Term (years) 5 years Financial Instrument Description(1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Liabilities: Credit derivative liabilities, net (895 ) Year 1 loss estimates 0.0 % - 93.0% 2.1% Hedge cost (in bps) 20.0 - 243.8 61.5 Bank profit (in bps) 1.0 - 994.4 127.0 Internal floor (in bps) 7.0 - 100.0 15.9 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (1,419 ) CPR 0.3 % - 11.0% 3.3% CDR 1.6 % - 11.8% 5.1% Loss severity 40.0 % - 100.0% 82.2% Yield 2.7 % - 17.7% 5.8% ____________________ (1) Discounted cash flow is used as valuation technique for all financial instruments. |
Fair Value of Financial Instruments | The carrying amount and estimated fair value of the Company’s financial instruments are presented in the following table. Fair Value of Financial Instruments As of As of Carrying Amount Estimated Fair Value Carrying Amount Estimated Fair Value (in millions) Assets: Fixed-maturity securities $ 10,627 $ 10,627 $ 10,491 $ 10,491 Short-term investments 396 396 767 767 Other invested assets(1) 150 152 108 110 Credit derivative assets 81 81 68 68 FG VIEs’ assets, at fair value 1,261 1,261 1,398 1,398 Other assets 206 206 184 184 Liabilities: Financial guaranty insurance contracts(2) 3,998 8,712 3,823 6,205 Long-term debt 1,300 1,512 1,297 1,603 Credit derivative liabilities 446 446 963 963 FG VIEs’ liabilities with recourse, at fair value 1,225 1,225 1,277 1,277 FG VIEs’ liabilities without recourse, at fair value 124 124 142 142 Other liabilities 9 9 27 27 ____________________ (1) Includes investments not carried at fair value with a carrying value of $93 million . Excludes investments carried under the equity method. (2) 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. |
Financial Guaranty Contracts 38
Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating | Credit Derivatives Subordination and Ratings As of December 31, 2015 As of December 31, 2014 Asset Type Net Par Outstanding Original Subordination(1) Current Subordination(1) Weighted Average Credit Rating Net Par Outstanding Original Subordination(1) Current Subordination(1) Weighted Average Credit Rating (dollars in millions) Pooled corporate obligations: Collateralized loan obligations/collateralized bond obligations $ 5,873 30.9 % 42.3 % AAA $ 11,688 32.0 % 36.9 % AAA Synthetic investment grade pooled corporate 7,108 21.7 19.4 AAA 7,640 22.6 20.6 AAA TruPS CDOs 3,429 45.8 42.6 A- 3,119 45.3 35.8 BBB- Market value CDOs of corporate obligations 1,113 17.0 30.1 AAA 1,174 19.1 20.7 AAA Total pooled corporate obligations 17,523 29.2 32.3 AAA 23,621 30.1 30.7 AAA U.S. RMBS: Option ARM and Alt-A first lien 351 10.5 12.7 AA- 1,378 16.3 10.7 BB+ Subprime first lien 981 27.7 45.2 AA 1,366 31.1 50.5 A Prime first lien 177 10.9 0.0 BB 223 10.9 0.0 B Closed-end second lien 17 — — CCC 19 — — CCC Total U.S. RMBS 1,526 24.1 37.4 A+ 2,986 24.8 33.9 BBB CMBS 530 44.8 52.6 AAA 1,952 35.3 43.6 AAA Other 6,015 — — A 6,437 — — A Total(2) $ 25,594 AA+ $ 34,996 AA+ ____________________ (1) Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses. (2) The December 31, 2015 total amount includes $3.5 billion net par outstanding of credit derivatives acquired from Radian Asset Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of December 31, 2015 As of December 31, 2014 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 14,808 57.9 % $ 21,817 62.3 % AA 4,821 18.8 5,398 15.4 A 2,144 8.4 1,982 5.7 BBB 2,212 8.6 2,774 8.0 BIG(1) 1,609 6.3 3,025 8.6 Credit derivative net par outstanding $ 25,594 100.0 % $ 34,996 100.0 % ____________________ (1) The December 31, 2015 BIG amount includes $125 million net par outstanding of credit derivatives acquired from Radian Asset. |
Net Change in Fair Value of Credit Derivatives | Net Change in Fair Value of Credit Derivatives Gain (Loss) Year Ended December 31, 2015 2014 2013 (in millions) Realized gains on credit derivatives $ 63 $ 73 $ 121 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (81 ) (50 ) (163 ) Realized gains (losses) and other settlements on credit derivatives (18 ) 23 (42 ) Net change in unrealized gains (losses) on credit derivatives: Pooled corporate obligations 147 (18 ) (32 ) U.S. RMBS 396 814 (69 ) CMBS 42 2 — Other 161 2 208 Net change in unrealized gains (losses) on credit derivatives 746 800 107 Net change in fair value of credit derivatives $ 728 $ 823 $ 65 |
Net Par and Accelerations of Credit Derivative Revenues from Termination of CDS Contracts | Net Par and Realized Gain and Losses from Terminations of Credit Derivative Contracts Year Ended December 31, 2015 2014 2013 (in millions) Net par of terminated credit derivative contracts $ 2,777 $ 3,591 $ 4,054 Realized gains on credit derivatives 13 1 21 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements 116 26 — |
CDS Spread on AGC and AGM | CDS Spread on AGC and AGM Quoted price of CDS contract (in basis points) As of As of As of Five-year CDS spread: AGC 376 323 460 AGM 366 325 525 One-year CDS spread AGC 139 80 185 AGM 131 85 220 |
Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads | Fair Value of Credit Derivatives Assets (Liabilities) and Effect of AGC and AGM Credit Spreads As of As of (in millions) Fair value of credit derivatives before effect of AGC and AGM credit spreads $ (1,448 ) $ (2,029 ) Plus: Effect of AGC and AGM credit spreads 1,083 1,134 Net fair value of credit derivatives (1) $ (365 ) $ (895 ) ____________________ (1) December 31, 2015 amount includes $44 million of net fair value loss of credit derivatives acquired from Radian Asset. |
Net Fair Value and Expected Losses of Credit Derivatives by Sector | Net Fair Value and Expected Losses Credit Derivatives by Sector Fair Value of Credit Derivative Asset (Liability), net Expected Loss to be (Paid) Recovered (1) Asset Type As of As of As of As of (in millions) Pooled corporate obligations $ (82 ) $ (49 ) $ (5 ) $ (23 ) U.S. RMBS (98 ) (494 ) (38 ) (73 ) CMBS 0 0 — — Other (185 ) (352 ) 27 38 Total $ (365 ) $ (895 ) $ (16 ) $ (58 ) ____________________ (1) Includes R&W benefit of $0.4 million as of December 31, 2015 and $86 million as of December 31, 2014 . |
Effects of Changes in Credit Spread | Effect of Changes in Credit Spread As of December 31, 2015 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (742 ) $ (377 ) 50% widening in spreads (554 ) (189 ) 25% widening in spreads (460 ) (95 ) 10% widening in spreads (403 ) (38 ) Base Scenario (365 ) — 10% narrowing in spreads (330 ) 35 25% narrowing in spreads (277 ) 88 50% narrowing in spreads (190 ) 175 ____________________ (1) Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Consolidated Variable Interes39
Consolidated Variable Interest Entities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated FG VIE's | Effect of Consolidating FG VIEs on Net Income, Cash Flows From Operating Activities and Shareholders’ Equity Year Ended December 31, 2015 2014 2013 (in millions) Net earned premiums $ (21 ) $ (32 ) $ (60 ) Net investment income (32 ) (11 ) (13 ) Net realized investment gains (losses) 10 (5 ) 2 Fair value gains (losses) on FG VIEs 38 255 346 Loss and LAE 28 30 21 Bargain purchase gain 2 — — Other income (loss) 0 (2 ) — Effect on net income before tax 25 235 296 Less: tax provision (benefit) 8 82 103 Effect on net income (loss) $ 17 $ 153 $ 193 Effect on cash flows from operating activities $ 43 $ 68 $ (136 ) As of As of (in millions) Effect on shareholders’ equity (decrease) increase $ (23 ) $ (44 ) Number of FG VIEs Consolidated Year Ended December 31, 2015 2014 2013 Beginning of the period, December 31 32 40 33 Radian Asset Acquisition 4 — — Consolidated(1) 1 2 11 Deconsolidated(1) (1 ) (8 ) (3 ) Matured (2 ) (2 ) (1 ) End of the period, December 31 34 32 40 ____________________ (1) Net loss on consolidation was $26 million in 2015 . Net gain on deconsolidation was $120 million and net loss on consolidation was $26 million in 2014 . Net loss on consolidation and deconsolidation was $7 million in 2013 . Consolidated FG VIEs By Type of Collateral As of December 31, 2015 (1) As of December 31, 2014 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 506 $ 521 $ 632 $ 581 U.S. RMBS second lien 194 273 238 327 Other 431 431 369 369 Total with recourse 1,131 1,225 1,239 1,277 Without recourse 130 124 163 142 Total $ 1,261 $ 1,349 $ 1,402 $ 1,419 |
Investments and Cash (Tables)
Investments and Cash (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Net Investment Income | Net Investment Income Year Ended December 31, 2015 2014 2013 (in millions) Income from fixed-maturity securities managed by third parties $ 335 $ 324 $ 322 Income from internally managed securities: Fixed maturities 61 74 74 Other 37 14 5 Gross investment income 433 412 401 Investment expenses (10 ) (9 ) (8 ) Net investment income $ 423 $ 403 $ 393 |
Net Realized Investment Gains (Losses) | Net Realized Investment Gains (Losses) Year Ended December 31, 2015 2014 2013 (in millions) Gross realized gains on available-for-sale securities $ 44 $ 14 $ 73 Gross realized gains on other assets in investment portfolio 2 8 40 Gross realized losses on available-for-sale securities (15 ) (5 ) (12 ) Gross realized losses on other assets in investment portfolio (10 ) (2 ) (7 ) Other-than-temporary impairment (47 ) (75 ) (42 ) Net realized investment gains (losses) $ (26 ) $ (60 ) $ 52 |
Roll Forward of Credit Losses in the Investment Portfolio | Roll Forward of Credit Losses in the Investment Portfolio Year Ended December 31, 2015 2014 2013 (in millions) Balance, beginning of period $ 124 $ 80 $ 64 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 3 64 18 Eliminations of securities issued by FG VIEs — (15 ) — Reductions for securities sold and other settlement during the period (28 ) (12 ) (21 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 9 7 19 Balance, end of period $ 108 $ 124 $ 80 |
Fixed Maturity Securities and Short Term Investments by Security Type | Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2015 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 52 % $ 5,528 $ 323 $ (10 ) $ 5,841 $ 5 AA U.S. government and agencies 3 377 23 0 400 — AA+ Corporate securities 14 1,505 38 (23 ) 1,520 (13 ) A- Mortgage-backed securities(4): — RMBS 11 1,238 29 (22 ) 1,245 (7 ) A CMBS 5 506 9 (2 ) 513 — AAA Asset-backed securities 8 831 4 (10 ) 825 (6 ) B+ Foreign government securities 3 290 4 (11 ) 283 — AA+ Total fixed-maturity securities 96 10,275 430 (78 ) 10,627 (21 ) A+ Short-term investments 4 396 0 0 396 — AA- Total investment portfolio 100 % $ 10,671 $ 430 $ (78 ) $ 11,023 $ (21 ) A+ Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2014 Investment Category Percent of Total(1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 50 % $ 5,416 $ 380 $ (1 ) $ 5,795 $ 7 AA U.S. government and agencies 6 635 31 (1 ) 665 — AA+ Corporate securities 12 1,320 53 (5 ) 1,368 (2 ) A Mortgage-backed securities(4): RMBS 12 1,255 51 (21 ) 1,285 0 A- CMBS 6 639 20 0 659 — AAA Asset-backed securities 4 411 9 (3 ) 417 3 BBB- Foreign government securities 3 296 8 (2 ) 302 — AA+ Total fixed-maturity securities 93 9,972 552 (33 ) 10,491 8 AA- Short-term investments 7 767 0 0 767 0 AA+ Total investment portfolio 100 % $ 10,739 $ 552 $ (33 ) $ 11,258 $ 8 AA- ____________________ (1) Based on amortized cost. (2) Accumulated OCI. See also Note 20, Other Comprehensive Income. (3) Ratings in the tables above represent the lower of the Moody’s and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company’s portfolio consists primarily of high-quality, liquid instruments. (4) Government-agency obligations were approximately 54% of mortgage backed securities as of December 31, 2015 and 44% as of December 31, 2014 based on fair value. |
Fair Value of Available-for-Sale Municipal Bond Portfolio by State | Fair Value of Available-for-Sale Portfolio of Obligations of State and Political Subdivisions As of December 31, 2015 (1) State State General Obligation Local General Obligation Revenue Bonds Fair Value Amortized Cost Average Credit Rating (in millions) Fixed-maturity securities: New York $ 13 $ 59 $ 571 $ 643 $ 610 AA Texas 28 224 325 577 542 AA California 78 66 411 555 521 A+ Washington 59 79 200 338 323 AA Florida 17 — 268 285 266 AA- Illinois 47 69 128 244 234 A Massachusetts 75 — 148 223 207 AA Arizona — 10 181 191 181 AA Pennsylvania 48 26 47 121 115 A Ohio 17 14 83 114 106 AA All others 156 168 1,148 1,472 1,396 AA- Subtotal 538 715 3,510 4,763 4,501 AA- Short-term investments (2) — — 60 60 60 CC Total $ 538 $ 715 $ 3,570 $ 4,823 $ 4,561 AA- Fair Value of Available-for-Sale Portfolio of Obligations of State and Political Subdivisions As of December 31, 2014 (1) State State General Obligation Local General Obligation Revenue Bonds Fair Value Amortized Cost Average Credit Rating (in millions) Fixed-maturity securities: Texas $ 60 $ 293 $ 305 $ 658 $ 613 AA New York 13 41 551 605 571 AA California 45 70 377 492 449 A+ Florida 47 34 256 337 311 AA- Illinois 20 99 177 296 275 A+ Washington 67 48 163 278 262 AA Massachusetts 46 8 169 223 204 AA Arizona — 7 170 177 165 AA Michigan — — 132 132 122 AA- Ohio 6 40 82 128 119 AA All others 276 251 1,096 1,623 1,528 AA- Total $ 580 $ 891 $ 3,478 $ 4,949 $ 4,619 AA- ____________________ (1) Excludes $ 1,078 million and $ 846 million as of December 31, 2015 and 2014 , respectively, of pre-refunded bonds, at fair value. The credit ratings are based on the underlying ratings and do not include any benefit from bond insurance. (2) Matured in the first quarter of 2016. |
Revenue Sources | Revenue Bonds Sources of Funds As of December 31, 2015 As of December 31, 2014 Type Fair Value Amortized Cost Fair Value Amortized Cost (in millions) Fixed-maturity securities: Transportation $ 867 $ 815 $ 796 $ 733 Water and sewer 612 576 563 527 Tax backed 610 576 551 514 Higher education 518 487 527 492 Municipal utilities 414 393 512 479 Healthcare 344 321 346 317 All others 145 141 183 173 Subtotal 3,510 3,309 3,478 3,235 Short-term investments (1) 60 60 — — Total $ 3,570 $ 3,369 $ 3,478 $ 3,235 |
Fixed Maturity Securities Gross Unrealized Loss by Length of Time | Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2015 Less than 12 months 12 months or more Total Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss (dollars in millions) Obligations of state and political subdivisions $ 316 $ (10 ) $ 7 $ 0 $ 323 $ (10 ) U.S. government and agencies 77 0 — — 77 0 Corporate securities 381 (8 ) 95 (15 ) 476 (23 ) Mortgage-backed securities: RMBS 438 (8 ) 90 (14 ) 528 (22 ) CMBS 140 (2 ) 2 0 142 (2 ) Asset-backed securities 517 (10 ) — — 517 (10 ) Foreign government securities 97 (4 ) 82 (7 ) 179 (11 ) Total $ 1,966 $ (42 ) $ 276 $ (36 ) $ 2,242 $ (78 ) Number of securities(1) 335 71 396 Number of securities with other-than-temporary impairment 9 4 13 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2014 Less than 12 months 12 months or more Total Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss (dollars in millions) Obligations of state and political subdivisions $ 64 $ 0 $ 25 $ (1 ) $ 89 $ (1 ) U.S. government and agencies 139 0 68 (1 ) 207 (1 ) Corporate securities 189 (3 ) 104 (2 ) 293 (5 ) Mortgage-backed securities: RMBS 205 (3 ) 159 (18 ) 364 (21 ) CMBS 36 0 19 0 55 0 Asset-backed securities 56 (2 ) 18 (1 ) 74 (3 ) Foreign government securities 108 (2 ) 0 0 108 (2 ) Total $ 797 $ (10 ) $ 393 $ (23 ) $ 1,190 $ (33 ) Number of securities(1) 125 82 198 Number of securities with other-than-temporary impairment 3 7 10 ___________________ (1) The number of securities does not add across because lots of the same securities have been purchased at different times and appear in both categories above (i.e., Less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column. |
Distribution of Fixed Maturity Securities by Contractual Maturity | Distribution of Fixed-Maturity Securities by Contractual Maturity As of December 31, 2015 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 234 $ 233 Due after one year through five years 1,911 1,965 Due after five years through 10 years 2,169 2,257 Due after 10 years 4,217 4,414 Mortgage-backed securities: RMBS 1,238 1,245 CMBS 506 513 Total $ 10,275 $ 10,627 |
Internally Managed Investment Portfolio | Internally Managed Portfolio Carrying Value As of December 31, 2015 2014 (in millions) Assets purchased for loss mitigation and other risk management purposes: Fixed-maturity securities, at fair value $ 1,266 $ 835 Other invested assets 114 46 Other 55 79 Total $ 1,435 $ 960 |
Insurance Company Regulatory 41
Insurance Company Regulatory Requirements (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Insurance Company Regulatory Requirements [Abstract] | |
Schedule of Statutory Capital and Surplus and Net Income | Insurance Regulatory Amounts Reported Policyholders' Surplus Net Income (Loss) As of December 31, Year Ended December 31, 2015 2014 2015 2014 2013 (in millions) U.S. statutory companies: AGM(1) $ 2,441 $ 2,267 $ 217 $ 304 $ 340 MAC 730 612 102 75 26 AGC(1)(2) 1,365 1,086 (92 ) 116 211 Bermuda statutory company: AG Re 1,018 1,114 85 28 103 ____________________ (1) Policyholders' surplus of AGM and AGC include their indirect share of MAC. AGM and AGC own approximately 61% and 39% , respectively, of the outstanding stock of Municipal Assurance Holdings Inc. ("MAC Holdings"), which owns 100% of the outstanding common stock of MAC. (2) As indicated in Note 2, Acquisition of Radian Asset Assurance Inc., AGC completed the acquisition of Radian Asset on April 1, 2015. Radian Asset was merged with and into AGC, with AGC as the surviving company of the merger. The impact to AGC's policyholders' surplus was approximately $333 million , on a statutory basis, as of April 1, 2015. |
Schedule of Dividends Paid by Insurance Company Subsidiaries | Dividends and Surplus Notes By Insurance Company Subsidiaries Year Ended December 31, 2015 2014 2013 (in millions) Dividends paid by AGC to AGUS $ 90 $ 69 $ 67 Dividends paid by AGM to AGMH 215 160 163 Dividends paid by AG Re to AGL 150 82 144 Repayment of surplus note by AGM to AGMH 25 50 50 Issuance of surplus notes by MAC to MAC Holdings — — (300 ) Issuance of surplus notes by MAC to AGM — — (100 ) |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | |
Effective Tax Rate Reconciliation | Effective Tax Rate Reconciliation Year Ended December 31, 2015 2014 2013 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 443 $ 490 $ 390 Tax-exempt interest (54 ) (53 ) (57 ) Gain on bargain purchase (19 ) — — Change in liability for uncertain tax positions 12 9 (2 ) Other (7 ) (3 ) 3 Total provision (benefit) for income taxes $ 375 $ 443 $ 334 Effective tax rate 26.2 % 28.9 % 29.2 % |
Pretax Income (Loss) by Tax Jurisdiction | Pretax Income (Loss) by Tax Jurisdiction Year Ended December 31, 2015 2014 2013 (in millions) United States $ 1,284 $ 1,420 $ 1,118 Bermuda 177 142 27 U.K. (30 ) (31 ) (3 ) Total $ 1,431 $ 1,531 $ 1,142 |
Revenue by Tax Jurisdiction | Revenue by Tax Jurisdiction Year Ended December 31, 2015 2014 2013 (in millions) United States $ 1,853 $ 1,633 $ 1,389 Bermuda 361 365 219 U.K. (7 ) (4 ) 0 Total $ 2,207 $ 1,994 $ 1,608 |
Components of Deferred Tax Assets and Liabilities | Components of Net Deferred Tax Assets As of December 31, 2015 2014 (in millions) Deferred tax assets: Unrealized losses on credit derivative financial instruments, net $ 33 $ 224 Unearned premium reserves, net 254 55 Loss and LAE reserve 64 66 Tax and loss bonds 39 39 Alternative minimum tax credit 55 57 Foreign tax credit 11 — FG VIEs — 13 DAC 27 35 Investment basis difference 86 104 Deferred compensation 41 38 Other 17 19 Total deferred income tax assets 627 650 Deferred tax liabilities: Contingency reserves 64 64 Public debt 94 96 Unrealized appreciation on investments 108 159 Unrealized gains on CCS 22 22 Market discount 21 28 FG VIEs 13 — Other 18 21 Total deferred income tax liabilities 340 390 Less: Valuation allowance 11 — Net deferred income tax asset $ 276 $ 260 |
Reconciliation of Uncertain Tax Positions | The following table provides a reconciliation of the beginning and ending balances of the total liability for unrecognized tax benefits. The Company does not believe it is reasonably possible that this amount will change significantly in the next twelve months. 2015 2014 2013 (in millions) Balance as of January 1, $ 28 $ 20 $ 22 True-up from tax return filings 10 6 4 Increase in unrecognized tax benefits as a result of position taken during the current period 2 2 3 Decrease due to closing of IRS audit — — (9 ) Balance as of December 31, $ 40 $ 28 $ 20 |
Reinsurance and Other Monolin43
Reinsurance and Other Monoline Exposures (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Insurance [Abstract] | |
Net Effect of Commutations and Cancellations of Assumed Reinsurance Contracts | Net Effect of Commutations of Ceded and Cancellations of Assumed Reinsurance Contracts Year Ended December 31, 2015 2014 2013 (in millions) Increase (decrease) in net unearned premium reserve $ 23 $ 20 $ 11 Increase (decrease) in net par outstanding 855 1,167 151 Commutation gains recorded in other income 28 23 2 |
Effects of Reinsurance on Statement of Operations | Effect of Reinsurance on Statement of Operations Year Ended December 31, 2015 2014 2013 (in millions) Premiums Written: Direct $ 164 $ 116 106 Assumed(1) 17 (12 ) 17 Ceded(2) 10 15 2 Net $ 191 $ 119 125 Premiums Earned: Direct $ 792 $ 581 819 Assumed 40 47 40 Ceded (66 ) (58 ) (107 ) Net $ 766 $ 570 752 Loss and LAE: Direct $ 399 $ 132 110 Assumed 45 37 73 Ceded (20 ) (43 ) (29 ) Net $ 424 $ 126 154 ____________________ (1) Negative assumed premiums written were due to changes in expected Debt Service schedules. (2) Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules |
Exposure by Reinsurer | Exposure by Reinsurer Ratings at Par Outstanding (1) February 24, 2016 As of December 31, 2015 Reinsurer Moody’s Reinsurer Rating S&P Reinsurer Rating Ceded Par Outstanding Second-to- Pay Insured Par Outstanding Assumed Par Outstanding (dollars in millions) American Overseas Reinsurance Company Limited (f/k/a Ram Re) (2) WR (3) WR $ 5,227 $ — $ 30 Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) (2) Aa3 (4) A+ (4) 4,216 — — Syncora Guarantee Inc. (2) WR WR 2,451 1,244 727 Mitsui Sumitomo Insurance Co. Ltd. (2) A1 A+ (4) 1,818 — — ACA Financial Guaranty Corp. NR (5) WR 714 20 — Ambac WR WR 117 3,889 10,388 National (6) A3 AA- — 5,299 5,100 MBIA (7) (7) — 1,802 440 FGIC (8) (8) — 1,424 652 Ambac Assurance Corp. Segregated Account NR NR — 91 873 CIFG Assurance North America Inc. ("CIFG") WR WR — 43 2,996 Other (2) Various Various 78 796 133 Total $ 14,621 $ 14,608 $ 21,339 ____________________ (1) Includes par related to insured credit derivatives. (2) The total collateral posted by all non-affiliated reinsurers required or agreeing to post collateral as of December 31, 2015 , is approximately $470 million . (3) Represents “Withdrawn Rating.” (4) The Company benefits from trust arrangements that satisfy the triple-A credit requirement of S&P and/or Moody’s. (5) Represents “Not Rated.” (6) National is rated AA+ by KBRA. (7) MBIA includes subsidiaries MBIA Insurance Corp. rated B by S&P and B3 by Moody's and MBIA U.K. Insurance Ltd. rated BB by S&P and Ba2 by Moody’s. (8) FGIC includes subsidiaries Financial Guaranty Insurance Company and FGIC UK Limited both of which had their ratings withdrawn by rating agencies. Ceded Par Outstanding by Reinsurer and Credit Rating As of December 31, 2015 Internal Credit Rating Reinsurer AAA AA A BBB BIG Total (in millions) American Overseas Reinsurance Company Limited (f/k/a Ram Re) $ 403 $ 1,809 $ 1,607 $ 1,087 $ 321 $ 5,227 Tokio 564 529 1,131 1,365 627 4,216 Syncora Guarantee Inc. — 132 430 1,766 123 2,451 Mitsui Sumitomo Insurance Co. Ltd. 131 552 590 372 173 1,818 ACA Financial Guaranty Corp — 449 246 19 — 714 Ambac — — 117 — — 117 Other 49 0 1 28 — 78 Total $ 1,147 $ 3,471 $ 4,122 $ 4,637 $ 1,244 $ 14,621 |
Second-to-Pay Insured Par Outstanding by Internal Rating | Second-to-Pay Insured Par Outstanding by Internal Rating As of December 31, 2015 (1) Public Finance Structured Finance AAA AA A BBB BIG AAA AA A BBB BIG Total (in millions) Syncora Guarantee Inc. $ — $ 71 $ 176 $ 624 $ 329 $ — $ — $ — $ — $ 44 $ 1,244 ACA Financial Guaranty Corp. — — — 1 19 — — — — — 20 Ambac 10 1,024 1,517 1,085 49 1 — 58 137 8 3,889 National 71 1,649 3,555 — — — — 24 — — 5,299 MBIA — 65 254 240 — — 886 16 234 107 1,802 FGIC — 31 749 251 201 149 — 8 — 35 1,424 Ambac Assurance Corp. Segregated Account — — — — — — 24 — — 67 91 CIFG — — — 22 21 — — — — — 43 Other — 796 — — — — — — — — 796 Total $ 81 $ 3,636 $ 6,251 $ 2,223 $ 619 $ 150 $ 910 $ 106 $ 371 $ 261 $ 14,608 ____________________ (1) Assured Guaranty’s internal rating. |
Amounts Due (To) From Reinsurers | Amounts Due (To) From Reinsurers As of December 31, 2015 Assumed Premium, net of Commissions Ceded Premium, net of Commissions Assumed Ceded (in millions) American Overseas Reinsurance Company Limited (f/k/a Ram Re) $ — $ (7 ) $ — $ 24 Tokio — (12 ) — 43 Syncora Guarantee Inc. 15 (22 ) — 5 Mitsui Sumitomo Insurance Co. Ltd. — (3 ) — 17 Ambac 41 — (5 ) — National 6 — (4 ) — MBIA 5 — (11 ) — FGIC 4 — (14 ) — Ambac Assurance Corp. Segregated Account 11 — (67 ) — CIFG 0 — (62 ) — Other — (3 ) — — Total $ 82 $ (47 ) $ (163 ) $ 89 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Future Minimum Rental Payments | Future Minimum Rental Payments Year (in millions) 2016 $ 4 2017 6 2018 7 2019 8 2020 8 Thereafter 84 Total $ 117 |
Long-Term Debt and Credit Fac45
Long-Term Debt and Credit Facilities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Debt Disclosure [Abstract] | |
Principal and Carrying Amounts of Debt | Principal and Carrying Amounts of Debt As of December 31, 2015 As of December 31, 2014 Principal Carrying Value Principal Carrying Value (in millions) AGUS: 7.0% Senior Notes $ 200 $ 197 $ 200 $ 196 5.0% Senior Notes 500 495 500 495 Series A Enhanced Junior Subordinated Debentures 150 150 150 150 Total AGUS 850 842 850 841 AGMH: 6 7 / 8 % QUIBS 100 69 100 68 6.25% Notes 230 140 230 139 5.60% Notes 100 56 100 55 Junior Subordinated Debentures 300 180 300 175 Total AGMH 730 445 730 437 AGM: Notes Payable 12 13 16 19 Total AGM 12 13 16 19 Total $ 1,592 $ 1,300 $ 1,596 $ 1,297 |
Expected Maturity Schedule of Debt | Expected Maturity Schedule of Debt Expected Withdrawal Date AGUS AGMH AGM Total (in millions) 2016 $ — $ — $ 4 $ 4 2017 — — 4 4 2018 — — 2 2 2019 — — 1 1 2020 — — 0 0 2021-2040 700 — 1 701 2041-2060 — — — — 2061-2080 150 300 — 450 Thereafter — 430 — 430 Total $ 850 $ 730 $ 12 $ 1,592 |
Schedule of Interest Expense | Interest Expense Year Ended December 31, 2015 2014 2013 (in millions) AGUS: 7.0% Senior Notes $ 13 $ 13 $ 13 5.0% Senior Notes 26 13 — Series A Enhanced Junior Subordinated Debentures 10 10 10 Total AGUS 49 36 23 AGMH: 6 7 / 8 % QUIBS 7 7 7 6.25% Notes 16 16 16 5.60% Notes 6 6 6 Junior Subordinated Debentures 25 25 25 Total AGMH 54 54 54 AGM: Notes Payable (2 ) 2 5 Total AGM (2 ) 2 5 Total $ 101 $ 92 $ 82 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |
Schedule of computation of basic and diluted earnings per share | Computation of Earnings Per Share Year Ended December 31, 2015 2014 2013 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 1,056 $ 1,088 808 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 $ 1,055 $ 1,088 807 Basic shares 148.1 172.6 186.6 Basic EPS $ 7.12 $ 6.30 $ 4.32 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 1,055 $ 1,088 $ 807 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 $ 1,055 $ 1,088 $ 807 Basic shares 148.1 172.6 186.6 Dilutive securities 0.9 1.0 1.0 Diluted shares 149.0 173.6 187.6 Diluted EPS $ 7.08 $ 6.26 $ 4.30 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.5 1.6 2.7 |
Schedule of antidilutive securities excluded from computation of earnings per share | Computation of Earnings Per Share Year Ended December 31, 2015 2014 2013 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 1,056 $ 1,088 808 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 $ 1,055 $ 1,088 807 Basic shares 148.1 172.6 186.6 Basic EPS $ 7.12 $ 6.30 $ 4.32 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 1,055 $ 1,088 $ 807 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 $ 1,055 $ 1,088 $ 807 Basic shares 148.1 172.6 186.6 Dilutive securities 0.9 1.0 1.0 Diluted shares 149.0 173.6 187.6 Diluted EPS $ 7.08 $ 6.26 $ 4.30 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.5 1.6 2.7 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Schedule of Share Repurchases | Share Repurchases Year Number of Shares Repurchased Total Payments (in millions) Average Price Paid Per Share 2013 12,512,759 $ 264 $ 21.12 2014 24,413,781 $ 590 $ 24.17 2015 20,995,419 $ 555 $ 26.43 2016 (through February 9, 2016 on a settlement date basis) 2,258,602 $ 55 $ 24.37 Cumulative repurchases since the beginning of 2013 60,180,561 $ 1,464 $ 24.33 |
Employee Benefit Plans (Tables)
Employee Benefit Plans (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Employee benefit plans [Line Items] | |
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, 2014 43,577 $ 23.98 Granted 62,145 25.67 Vested (43,577 ) 23.98 Forfeited — — Nonvested at December 31, 2015 62,145 $ 25.67 |
Stock Purchase Plan | Stock Purchase Plan Year Ended December 31, 2015 2014 2013 (dollars in millions) Proceeds from purchase of shares by employees $ 0.8 $ 0.9 $ 0.9 Number of shares issued by the Company 38,565 43,273 57,980 Recorded in share-based compensation, net of deferral $ 0.2 $ 0.2 $ 0.3 |
Share-Based Compensation Expense Summary | Share‑Based Compensation Expense Summary Year Ended December 31, 2015 2014 2013 (in millions) Share‑based compensation expense $ 10 $ 10 $ 8 Share‑based compensation capitalized as DAC 0.5 0.3 0.2 Income tax benefit 2 2 2 |
Stock Options [Member] | |
Employee benefit plans [Line Items] | |
Schedule of Stock Options | Time Vested Stock Options Options for Common Shares Weighted Average Exercise Price Number of Exercisable Options Balance as of December 31, 2014 2,802,853 $ 21.45 2,631,653 Options granted — — Options exercised (432,974 ) 20.12 Options forfeited/expired (9,539 ) 20.76 Balance as of December 31, 2015 2,360,340 $ 21.73 2,275,096 |
Schedule of Weighted Average Assumptions on Option Pricing | Lattice Option Pricing Weighted Average Assumptions (1) 2014 2013 Dividend yield 2.03 % 2.07 % Expected volatility 53.24 % 53.41 % Risk free interest rate 2.21 % 1.35 % Expected life 6.6 years 6.6 years Forfeiture rate 3.5 % 4.5 % Weighted average grant date fair value $ 10.35 $ 8.94 ____________________ (1) No options were granted in 2015. |
Performance Stock Options [Member] | |
Employee benefit plans [Line Items] | |
Schedule of Stock Options | Performance Stock Options Options for Common Shares Weighted Average Exercise Price Number of Exercisable Options Balance as of December 31, 2014 246,879 $ 17.97 0 Options granted — — Options exercised (7,342 ) 17.44 Options forfeited/expired — — Balance as of December 31, 2015 239,537 $ 17.92 166,897 |
Schedule of Weighted Average Assumptions on Option Pricing | Monte Carlo and Lattice Option Pricing Weighted Average Assumptions (1) 2013 Dividend yield 2.07 % Expected volatility 53.5 % Risk free interest rate 1.36 % Expected life 6.3 years Forfeiture rate 4.5 % Weighted average grant date fair value $ 8.17 ____________________ (1) No options were granted in neither 2015 nor 2014. |
Restricted Stock Units [Member] | |
Employee benefit plans [Line Items] | |
Restricted Stock Unit Activity (Excluding Dividend Equivalents) | Restricted Stock Unit Activity (Excluding Dividend Equivalents) Nonvested Stock Units Number of Stock Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2014 691,303 $ 19.23 Granted 320,983 25.23 Delivered (321,210 ) 16.96 Forfeited (1,795 ) 21.73 Nonvested at December 31, 2015 689,281 $ 23.23 |
Performance Restricted Stock Units [Member] | |
Employee benefit plans [Line Items] | |
Restricted Stock Unit Activity (Excluding Dividend Equivalents) | 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, 2014 423,302 $ 26.72 Granted 200,353 28.31 Delivered (215,395 ) 27.39 Forfeited — — Nonvested at December 31, 2015 408,260 $ 27.32 |
Other Comprehensive Income (Tab
Other Comprehensive Income (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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 significant reclassifications out of AOCI on the respective line items in net income. Changes in Accumulated Other Comprehensive Income by Component Year Ended December 31, 2015 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2014 $ 367 $ 4 $ (10 ) $ 9 $ 370 Other comprehensive income (loss) before reclassifications (93 ) (43 ) (6 ) — (142 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (11 ) 37 — — 26 Net investment income (9 ) — — — (9 ) Interest expense — — — (1 ) (1 ) Total before tax (20 ) 37 — (1 ) 16 Tax (provision) benefit 6 (13 ) — 0 (7 ) Total amount reclassified from AOCI, net of tax (14 ) 24 — (1 ) 9 Net current period other comprehensive income (loss) (107 ) (19 ) (6 ) (1 ) (133 ) Balance, December 31, 2015 $ 260 $ (15 ) $ (16 ) $ 8 $ 237 Changes in Accumulated Other Comprehensive Income by Component Year Ended December 31, 2014 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2013 $ 178 $ (24 ) $ (3 ) $ 9 $ 160 Other comprehensive income (loss) before reclassifications 196 (20 ) (7 ) — 169 Amounts reclassified from AOCI to: Net realized investment gains (losses) (12 ) 74 — — 62 Interest expense — — — 0 0 Total before tax (12 ) 74 — 0 62 Tax (provision) benefit 5 (26 ) — 0 (21 ) Total amount reclassified from AOCI, net of tax (7 ) 48 — 0 41 Net current period other comprehensive income (loss) 189 28 (7 ) 0 210 Balance, December 31, 2014 $ 367 $ 4 $ (10 ) $ 9 $ 370 Changes in Accumulated Other Comprehensive Income by Component Year Ended December 31, 2013 Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment Cumulative Translation Adjustment Cash Flow Hedge Total Accumulated Other Comprehensive Income (in millions) Balance, December 31, 2012 $ 517 $ (5 ) $ (6 ) $ 9 $ 515 Other comprehensive income (loss) before reclassifications (309 ) (35 ) 3 — (341 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (43 ) 24 — — (19 ) Interest expense — — — (1 ) (1 ) Total before tax (43 ) 24 — (1 ) (20 ) Tax (provision) benefit 13 (8 ) — 1 6 Total amount reclassified from AOCI, net of tax (30 ) 16 — 0 (14 ) Net current period other comprehensive income (loss) (339 ) (19 ) 3 0 (355 ) Balance, December 31, 2013 $ 178 $ (24 ) $ (3 ) $ 9 $ 160 |
Subsidiary Information (Tables)
Subsidiary Information (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Condensed Financial Information of Parent Company Only Disclosure [Abstract] | |
Condensed Consolidating Balance Sheet | CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 10 $ 156 $ 22 $ 11,530 $ (360 ) $ 11,358 Investment in subsidiaries 5,961 5,569 4,081 377 (15,988 ) — Premiums receivable, net of commissions payable — — — 833 (140 ) 693 Ceded unearned premium reserve — — — 1,266 (1,034 ) 232 Deferred acquisition costs — — — 176 (62 ) 114 Reinsurance recoverable on unpaid losses — — — 467 (398 ) 69 Credit derivative assets — — — 207 (126 ) 81 Deferred tax asset, net — 52 — 357 (133 ) 276 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,261 — 1,261 Other 98 29 26 571 (264 ) 460 TOTAL ASSETS $ 6,069 $ 5,806 $ 4,129 $ 17,135 $ (18,595 ) $ 14,544 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 5,143 $ (1,147 ) $ 3,996 Loss and LAE reserve — — — 1,537 (470 ) 1,067 Long-term debt — 842 445 13 — 1,300 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 572 (126 ) 446 Deferred tax liabilities, net — — 91 — (91 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,349 — 1,349 Other 6 82 15 622 (402 ) 323 TOTAL LIABILITIES 6 1,014 551 9,536 (2,626 ) 8,481 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,063 4,792 3,578 7,222 (15,592 ) 6,063 Noncontrolling interest — — — 377 (377 ) — TOTAL SHAREHOLDERS’ EQUITY 6,063 4,792 3,578 7,599 (15,969 ) 6,063 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,069 $ 5,806 $ 4,129 $ 17,135 $ (18,595 ) $ 14,544 CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 126 $ 204 $ 47 $ 11,382 $ (300 ) $ 11,459 Investment in subsidiaries 5,612 5,072 3,965 339 (14,988 ) — Premiums receivable, net of commissions payable — — — 864 (135 ) 729 Ceded unearned premium reserve — — — 1,469 (1,088 ) 381 Deferred acquisition costs — — — 186 (65 ) 121 Reinsurance recoverable on unpaid losses — — — 338 (260 ) 78 Credit derivative assets — — — 277 (209 ) 68 Deferred tax asset, net — 54 — 295 (89 ) 260 Intercompany receivable — — — 90 (90 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 1,402 — 1,402 Other 27 71 27 538 (242 ) 421 TOTAL ASSETS $ 5,765 $ 5,401 $ 4,039 $ 17,180 $ (17,466 ) $ 14,919 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves $ — $ — $ — $ 5,328 $ (1,067 ) $ 4,261 Loss and LAE reserve — — — 1,066 (267 ) 799 Long-term debt — 841 437 19 — 1,297 Intercompany payable — 90 — 300 (390 ) — Credit derivative liabilities — — — 1,172 (209 ) 963 Deferred tax liabilities, net — — 94 — (94 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 1,419 — 1,419 Other 7 9 16 764 (374 ) 422 TOTAL LIABILITIES 7 940 547 10,068 (2,401 ) 9,161 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 5,758 4,461 3,492 6,773 (14,726 ) 5,758 Noncontrolling interest — — — 339 (339 ) — TOTAL SHAREHOLDERS’ EQUITY 5,758 4,461 3,492 7,112 (15,065 ) 5,758 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 5,765 $ 5,401 $ 4,039 $ 17,180 $ (17,466 ) $ 14,919 |
Condensed Consolidating Statement of Operations and Comprehensive Income | CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE YEAR ENDED DECEMBER 31, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 783 $ (17 ) $ 766 Net investment income 0 1 0 432 (10 ) 423 Net realized investment gains (losses) 0 0 1 (19 ) (8 ) (26 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — (18 ) 0 (18 ) Net unrealized gains (losses) — — — 773 (27 ) 746 Net change in fair value of credit derivatives — — — 755 (27 ) 728 Bargain purchase gain and settlement of pre-existing relationships — — — 54 160 214 Other 0 0 — 102 0 102 TOTAL REVENUES 0 1 1 2,107 98 2,207 EXPENSES Loss and LAE — — — 434 (10 ) 424 Amortization of deferred acquisition costs — — — 29 (9 ) 20 Interest expense — 52 54 14 (19 ) 101 Other operating expenses 30 1 1 202 (3 ) 231 TOTAL EXPENSES 30 53 55 679 (41 ) 776 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (30 ) (52 ) (54 ) 1,428 139 1,431 Total (provision) benefit for income taxes — 18 19 (365 ) (47 ) (375 ) Equity in net earnings of subsidiaries 1,086 923 468 39 (2,516 ) — NET INCOME (LOSS) 1,056 889 433 1,102 (2,424 ) 1,056 Less: noncontrolling interest — — — 39 (39 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 1,056 $ 889 $ 433 $ 1,063 $ (2,385 ) $ 1,056 COMPREHENSIVE INCOME (LOSS) $ 923 $ 787 $ 359 $ 967 $ (2,113 ) $ 923 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE YEAR ENDED DECEMBER 31, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 566 $ 4 $ 570 Net investment income 0 0 1 412 (10 ) 403 Net realized investment gains (losses) 0 0 0 (58 ) (2 ) (60 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 23 — 23 Net unrealized gains (losses) — — — 800 — 800 Net change in fair value of credit derivatives — — — 823 — 823 Other — — — 259 (1 ) 258 TOTAL REVENUES 0 0 1 2,002 (9 ) 1,994 EXPENSES Loss and LAE — — — 122 4 126 Amortization of deferred acquisition costs — — — 33 (8 ) 25 Interest expense — 40 54 16 (18 ) 92 Other operating expenses 31 1 1 195 (8 ) 220 TOTAL EXPENSES 31 41 55 366 (30 ) 463 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (31 ) (41 ) (54 ) 1,636 21 1,531 Total (provision) benefit for income taxes — 14 19 (469 ) (7 ) (443 ) Equity in net earnings of subsidiaries 1,119 983 513 32 (2,647 ) — NET INCOME (LOSS) 1,088 956 478 1,199 (2,633 ) 1,088 Less: noncontrolling interest — — — 32 (32 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 1,088 $ 956 $ 478 $ 1,167 $ (2,601 ) $ 1,088 COMPREHENSIVE INCOME (LOSS) $ 1,298 $ 1,114 $ 577 $ 1,570 $ (3,261 ) $ 1,298 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE YEAR ENDED DECEMBER 31, 2013 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 740 $ 12 $ 752 Net investment income 0 0 1 408 (16 ) 393 Net realized investment gains (losses) 0 0 0 87 (35 ) 52 Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — (42 ) — (42 ) Net unrealized gains (losses) — — — 107 — 107 Net change in fair value of credit derivatives — — — 65 — 65 Other — — — 348 (2 ) 346 TOTAL REVENUES 0 0 1 1,648 (41 ) 1,608 EXPENSES Loss and LAE — — — 144 10 154 Amortization of deferred acquisition costs — — — 12 0 12 Interest expense — 28 54 20 (20 ) 82 Other operating expenses 22 1 1 199 (5 ) 218 TOTAL EXPENSES 22 29 55 375 (15 ) 466 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (22 ) (29 ) (54 ) 1,273 (26 ) 1,142 Total (provision) benefit for income taxes — 9 17 (387 ) 27 (334 ) Equity in net earnings of subsidiaries 830 768 701 19 (2,318 ) — NET INCOME (LOSS) 808 748 664 905 (2,317 ) 808 Less: noncontrolling interest — — — 19 (19 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 808 $ 748 $ 664 $ 886 $ (2,298 ) $ 808 COMPREHENSIVE INCOME (LOSS) $ 453 $ 522 $ 515 $ 309 $ (1,346 ) $ 453 |
Condensed Consolidating Statement of Cash Flows | CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE YEAR ENDED DECEMBER 31, 2015 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 513 $ 408 $ 185 $ 52 $ (1,210 ) $ (52 ) Cash flows from investing activities Fixed-maturity securities: Purchases — (72 ) (21 ) (2,550 ) 66 (2,577 ) Sales — 177 30 1,900 — 2,107 Maturities — 9 — 889 — 898 Sales (purchases) of short-term investments, net 116 33 19 729 — 897 Net proceeds from financial guaranty variable entities’ assets — — — 400 — 400 Intercompany debt — — — — — — Investment in subsidiary — — 25 — (25 ) — Acquisition of Radian Asset, net of cash acquired — — — (800 ) — (800 ) Other — (5 ) — 74 — 69 Net cash flows provided by (used in) investing activities 116 142 53 642 41 994 Cash flows from financing activities Return of capital — — — (25 ) 25 — Capital contribution from parent — — — — — — Dividends paid (72 ) (455 ) (234 ) (455 ) 1,144 (72 ) Repurchases of common stock (555 ) — — — — (555 ) Share activity under option and incentive plans (2 ) — — — — (2 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (214 ) — (214 ) Net proceeds from issuance of long-term debt — — — — — — Payment of long-term debt — — — (4 ) — (4 ) Intercompany debt — — — — — — Net cash flows provided by (used in) financing activities (629 ) (455 ) (234 ) (698 ) 1,169 (847 ) Effect of exchange rate changes — — — (4 ) — (4 ) Increase (decrease) in cash — 95 4 (8 ) — 91 Cash at beginning of period 0 0 4 71 — 75 Cash at end of period $ 0 $ 95 $ 8 $ 63 $ — $ 166 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE YEAR ENDED DECEMBER 31, 2014 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 758 $ 223 $ 144 $ 663 $ (1,211 ) $ 577 Cash flows from investing activities Fixed-maturity securities: Purchases — (540 ) (8 ) (2,253 ) — (2,801 ) Sales — 464 10 777 — 1,251 Maturities — 6 1 870 — 877 Sales (purchases) of short-term investments, net (93 ) (15 ) (3 ) 269 — 158 Net proceeds from financial guaranty variable entities’ assets — — — 408 — 408 Intercompany debt — — — — — — Investment in subsidiary — — 50 — (50 ) — Other — — — 11 — 11 Net cash flows provided by (used in) investing activities (93 ) (85 ) 50 82 (50 ) (96 ) Cash flows from financing activities — Return of capital — — — (50 ) 50 — Capital contribution from parent — — — — — — Dividends paid (76 ) (700 ) (190 ) (321 ) 1,211 (76 ) Repurchases of common stock (590 ) — — — — (590 ) Share activity under option and incentive plans 1 — — — — 1 Net paydowns of financial guaranty variable entities’ liabilities — — — (396 ) — (396 ) Net proceeds from issuance of long-term debt — 495 — — — 495 Payment of long-term debt — — — (19 ) — (19 ) Intercompany debt — — — — — — Net cash flows provided by (used in) financing activities (665 ) (205 ) (190 ) (786 ) 1,261 (585 ) Effect of exchange rate changes — — — (5 ) — (5 ) Increase (decrease) in cash — (67 ) 4 (46 ) — (109 ) Cash at beginning of period 0 67 0 117 — 184 Cash at end of period $ 0 $ 0 $ 4 $ 71 $ — $ 75 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE YEAR ENDED DECEMBER 31, 2013 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Net cash flows provided by (used in) operating activities $ 128 $ 178 $ 133 $ 347 $ (542 ) $ 244 Cash flows from investing activities Fixed-maturity securities: Purchases — (93 ) (26 ) (1,832 ) 65 (1,886 ) Sales 176 1 25 892 (65 ) 1,029 Maturities 29 3 2 849 — 883 Sales (purchases) of short-term investments, net 7 (28 ) (15 ) (51 ) — (87 ) Net proceeds from financial guaranty variable entities’ assets — — — 663 — 663 Intercompany debt — — — 7 (7 ) — Investment in subsidiary — 0 49 — (49 ) — Other — — — 79 — 79 Net cash flows provided by (used in) investing activities 212 (117 ) 35 607 (56 ) 681 Cash flows from financing activities Return of capital — — — (50 ) 50 — Capital contribution from parent — — — 1 (1 ) — Dividends paid (75 ) — (168 ) (374 ) 542 (75 ) Repurchases of common stock (264 ) — — — — (264 ) Share activity under option and incentive plans (1 ) — — — — (1 ) Net paydowns of financial guaranty variable entities’ liabilities — — — (511 ) — (511 ) Payment of long-term debt — — — (27 ) — (27 ) Intercompany debt — (7 ) — — 7 — Net cash flows provided by (used in) financing activities (340 ) (7 ) (168 ) (961 ) 598 (878 ) Effect of exchange rate changes — — — (1 ) — (1 ) Increase (decrease) in cash 0 54 — (8 ) — 46 Cash at beginning of period — 13 0 125 — 138 Cash at end of period $ 0 $ 67 $ 0 $ 117 $ — $ 184 |
Quarterly Financial Informati51
Quarterly Financial Information (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Selected Quarterly Information | A summary of selected quarterly information follows: 2015 First Quarter Second Quarter Third Quarter Fourth Quarter Full Year (dollars in millions, except per share data) Revenues Net earned premiums $ 142 $ 219 $ 213 $ 192 $ 766 Net investment income 101 98 112 112 423 Net realized investment gains (losses) 16 (9 ) (27 ) (6 ) (26 ) Net change in fair value of credit derivatives 124 90 86 428 728 Fair value gains (losses) on CCS 2 23 (15 ) 17 27 Fair value gains (losses) on FG VIEs (7 ) 5 2 38 38 Bargain purchase gain and settlement of pre-existing relationships — 214 — — 214 Other income (loss) (9 ) 55 (3 ) (6 ) 37 Expenses Loss and LAE 18 188 112 106 424 Amortization of DAC 4 6 5 5 20 Interest expense 25 26 25 25 101 Other operating expenses 56 66 54 55 231 Income (loss) before provision for income taxes 266 409 172 584 1,431 Provision (benefit) for income taxes 65 112 43 155 375 Net income (loss) 201 297 129 429 1,056 Earnings (loss) per share(1): Basic $ 1.29 $ 1.97 $ 0.88 $ 3.05 $ 7.12 Diluted $ 1.28 $ 1.96 $ 0.88 $ 3.03 $ 7.08 Dividends per share $ 0.12 $ 0.12 $ 0.12 $ 0.12 $ 0.48 2014 First Quarter Second Quarter Third Quarter Fourth Quarter Full Year (dollars in millions, except per share data) Revenues Net earned premiums $ 132 $ 136 $ 144 $ 158 $ 570 Net investment income 103 96 102 102 403 Net realized investment gains (losses) 2 (8 ) (19 ) (35 ) (60 ) Net change in fair value of credit derivatives (211 ) 103 255 676 823 Fair value gains (losses) on CCS (9 ) (6 ) 4 — (11 ) Fair value gains (losses) on FG VIEs 157 25 50 23 255 Bargain purchase gain and settlement of pre-existing relationships — — — — — Other income (loss) 21 7 (11 ) (3 ) 14 Expenses Loss and LAE 41 57 (44 ) 72 126 Amortization of DAC 5 3 4 13 25 Interest expense 20 20 27 25 92 Other operating expenses 60 55 50 55 220 Income (loss) before provision for income taxes 69 218 488 756 1,531 Provision (benefit) for income taxes 27 59 133 224 443 Net income (loss) 42 159 355 532 1,088 Earnings (loss) per share(1): Basic $ 0.23 $ 0.89 $ 2.10 $ 3.30 $ 6.30 Diluted $ 0.23 $ 0.89 $ 2.09 $ 3.28 $ 6.26 Dividends per share $ 0.11 $ 0.11 $ 0.11 $ 0.11 $ 0.44 ____________________ (1) Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Business and Basis of Present52
Business and Basis of Presentation (Details) | 12 Months Ended |
Dec. 31, 2015segmentCompany | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of Holding Companies Having Outstanding Public Debt | Company | 2 |
Number of reportable segments | segment | 1 |
Acquisition of Radian Asset A53
Acquisition of Radian Asset Assurance Inc. - Narrative (Details) - Radian [Member] - USD ($) $ in Millions | Apr. 01, 2015 | Dec. 31, 2015 |
Business Acquisition [Line Items] | ||
Cash purchase price | $ 804 | |
Net par amount outstanding assumed in business acquisition | 13,600 | |
Revenue | $ 560 | |
Net income (loss) | $ 366 | |
AGC [Member] | ||
Business Acquisition [Line Items] | ||
Cash purchase price | 804.5 | |
AGUS [Member] | AGC [Member] | ||
Business Acquisition [Line Items] | ||
Acquisition loan from parent company | $ 200 |
Acquisition of Radian Asset A54
Acquisition of Radian Asset Assurance Inc. - Assets and Liabilities Assumed (Details) - Radian [Member] $ in Millions | Apr. 01, 2015USD ($) |
Business Acquisition [Line Items] | |
Cash purchase price | $ 804 |
Identifiable assets acquired: | |
Investments | 1,473 |
Cash | 4 |
Ceded unearned premium reserve, fair value of net assets acquired, before settlement of pre-existing relationships | (3) |
Ceded unearned premium reserve, net effect of settlement of pre-existing relationships | (65) |
Ceded unearned premium reserve | (68) |
Credit derivative assets | 30 |
Deferred tax asset, net, fair value of net assets acquired | 263 |
Deferred tax asset, net, settlement of pre-existing relationships | (56) |
Deferred tax asset, net | 207 |
Financial guaranty variable interest entities’ assets | 122 |
Other assets, fair value of net assets acquired | 86 |
Other assets, settlement of pre-existing relationship | (67) |
Other assets | 19 |
Total assets, fair value of net assets acquired | 1,975 |
Total assets, settlement of pre-existing relationships | (188) |
Total assets | 1,787 |
Liabilities assumed: | |
Unearned premium reserves, fair value of net assets acquired | 697 |
Unearned premium reserves, settlement of pre-existing relationships | (216) |
Unearned premium reserves | 481 |
Credit derivative liabilities, fair value of net assets acquired | 271 |
Credit derivative liabilities, settlement of pre-existing relationship | (26) |
Credit derivative liabilities | 245 |
Financial guaranty variable interest entities’ liabilities | 118 |
Other liabilities, fair value of net assets acquired | 30 |
Other liabilities, settlement of pre-existing relationship | (49) |
Other liabilities | (19) |
Total liabilities, fair value of net assets acquired | 1,116 |
Total liabilities, settlement of pre-existing relationships | (291) |
Total liabilities | 825 |
Net assets resulting from acquisition, fair value of net assets acquired | 859 |
Net assets resulting from acquisition, settlement of pre-existing relationships | 103 |
Net asset effect of Radian Asset Acquisition | 962 |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after tax, fair value of net assets acquired | 55 |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax, settlement of pre-existing relationships | 103 |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax | 158 |
Deferred tax, settlement of pre-existing relationships | 56 |
Deferred tax | 56 |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisitions, pre-tax, fair value of net assets acquired | 55 |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, pre-tax, settlement of pre-existing relationships | 159 |
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, pre-tax | 214 |
Consideration transferred | 987 |
Assumed assets including pre-existing relationship | 1,042 |
Settlement of pre-existing relationship | $ (183) |
Acquisition of Radian Asset A55
Acquisition of Radian Asset Assurance Inc. - Acquisition Costs (Details) - Radian [Member] $ in Millions | 12 Months Ended |
Dec. 31, 2015USD ($) | |
Business Acquisition [Line Items] | |
Professional services | $ 2 |
Financial advisory fees | 10 |
Total | $ 12 |
Acquisition of Radian Asset A56
Acquisition of Radian Asset Assurance Inc. - Pro Forma Information (Details) - Radian [Member] - USD ($) $ / shares in Units, $ in Millions | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Business Acquisition [Line Items] | ||
Pro forma revenues | $ 2,030 | $ 2,501 |
Pro forma net income | $ 922 | $ 1,531 |
Pro forma earnings per share: | ||
Basic (in dollars per share) | $ 6.22 | $ 8.86 |
Diluted (in dollars per share) | $ 6.18 | $ 8.81 |
Outstanding Exposure - Debt Ser
Outstanding Exposure - Debt Service Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 559,470 | $ 646,722 |
Net Debt Service Outstanding | 536,341 | 609,622 |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 515,494 | 587,245 |
Net Debt Service Outstanding | 494,426 | 553,612 |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 43,976 | 59,477 |
Net Debt Service Outstanding | $ 41,915 | $ 56,010 |
Outstanding Exposure - Financia
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 358,571 | [1],[2] | $ 403,729 | [3] | |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] | |
United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 323,636 | ||||
Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 34,935 | ||||
AAA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 20,837 | $ 30,143 | |||
% of total net par outstanding | 5.80% | 7.50% | |||
AA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 79,402 | $ 101,965 | |||
% of total net par outstanding | 22.10% | 25.30% | |||
A [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 167,246 | $ 186,875 | |||
% of total net par outstanding | 46.70% | 46.30% | |||
BBB [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 75,903 | $ 66,499 | |||
% of total net par outstanding | 21.20% | 16.40% | |||
BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 15,183 | $ 18,247 | |||
% of total net par outstanding | 4.20% | 4.50% | |||
Loss mitigation bonds | [3] | $ 1,500 | $ 1,300 | ||
Public Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 321,443 | 353,482 | |||
Public Finance [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 291,866 | [1],[2] | $ 322,123 | [3] | |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] | |
Public Finance [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 29,577 | [1],[2] | $ 31,359 | [3] | |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] | |
Public Finance [Member] | AAA [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 3,053 | $ 4,082 | |||
% of total net par outstanding | 1.10% | 1.30% | |||
Public Finance [Member] | AAA [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 709 | $ 615 | |||
% of total net par outstanding | 2.40% | 2.00% | |||
Public Finance [Member] | AA [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 69,274 | $ 90,464 | |||
% of total net par outstanding | 23.70% | 28.10% | |||
Public Finance [Member] | AA [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 2,017 | $ 2,785 | |||
% of total net par outstanding | 6.80% | 8.90% | |||
Public Finance [Member] | A [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 157,440 | $ 176,298 | |||
% of total net par outstanding | 53.90% | 54.70% | |||
Public Finance [Member] | A [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 6,765 | $ 7,192 | |||
% of total net par outstanding | 22.90% | 22.90% | |||
Public Finance [Member] | BBB [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 54,315 | $ 43,429 | |||
% of total net par outstanding | 18.60% | 13.50% | |||
Public Finance [Member] | BBB [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 18,708 | $ 19,363 | |||
% of total net par outstanding | 63.20% | 61.70% | |||
Public Finance [Member] | BIG [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 7,784 | $ 7,850 | |||
% of total net par outstanding | 2.70% | 2.40% | |||
Public Finance [Member] | BIG [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 1,378 | $ 1,404 | |||
% of total net par outstanding | 4.70% | 4.50% | |||
Structured Finance [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 37,128 | $ 50,247 | |||
Structured Finance [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 31,770 | [1],[2] | $ 41,171 | [3] | |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] | |
Structured Finance [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 5,358 | [1],[2] | $ 9,076 | [3] | |
% of total net par outstanding | 100.00% | [1],[2] | 100.00% | [3] | |
Structured Finance [Member] | AAA [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 14,366 | $ 20,037 | |||
% of total net par outstanding | 45.20% | 48.70% | |||
Structured Finance [Member] | AAA [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 2,709 | $ 5,409 | |||
% of total net par outstanding | 50.60% | 59.60% | |||
Structured Finance [Member] | AA [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 7,934 | $ 8,213 | |||
% of total net par outstanding | 25.00% | 19.90% | |||
Structured Finance [Member] | AA [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 177 | $ 503 | |||
% of total net par outstanding | 3.30% | 5.50% | |||
Structured Finance [Member] | A [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 2,486 | $ 2,940 | |||
% of total net par outstanding | 7.80% | 7.10% | |||
Structured Finance [Member] | A [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 555 | $ 445 | |||
% of total net par outstanding | 10.30% | 4.90% | |||
Structured Finance [Member] | BBB [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 1,515 | $ 1,795 | |||
% of total net par outstanding | 4.80% | 4.40% | |||
Structured Finance [Member] | BBB [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 1,365 | $ 1,912 | |||
% of total net par outstanding | 25.50% | 21.10% | |||
Structured Finance [Member] | BIG [Member] | United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 5,469 | $ 8,186 | |||
% of total net par outstanding | 17.20% | 19.90% | |||
Structured Finance [Member] | BIG [Member] | Non United States [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 552 | $ 807 | |||
% of total net par outstanding | 10.30% | 8.90% | |||
Radian [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 10,900 | ||||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | ||||
[2] | The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. | ||||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. |
Outstanding Exposure - Financ59
Outstanding Exposure - Financial Guaranty Portfolio by Asset Class (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | $ 373,192 | $ 426,704 | ||
Ceded Par Outstanding | 14,621 | [1] | 22,975 | |
Net Par Outstanding | 358,571 | [2],[3] | 403,729 | [4] |
Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 334,191 | 373,360 | ||
Ceded Par Outstanding | 12,748 | 19,878 | ||
Net Par Outstanding | 321,443 | 353,482 | ||
Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 39,001 | 53,344 | ||
Ceded Par Outstanding | 1,873 | 3,097 | ||
Net Par Outstanding | 37,128 | 50,247 | ||
United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | 323,636 | |||
United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 299,808 | 334,906 | ||
Ceded Par Outstanding | 7,942 | 12,783 | ||
Net Par Outstanding | 291,866 | [2],[3] | 322,123 | [4] |
United States [Member] | Public Finance [Member] | General obligation [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 129,386 | 144,714 | ||
Ceded Par Outstanding | 3,131 | 4,438 | ||
Net Par Outstanding | 126,255 | 140,276 | ||
United States [Member] | Public Finance [Member] | Tax backed [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 59,649 | 65,600 | ||
Ceded Par Outstanding | 1,587 | 3,075 | ||
Net Par Outstanding | 58,062 | 62,525 | ||
United States [Member] | Public Finance [Member] | Municipal utilities [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 46,951 | 53,471 | ||
Ceded Par Outstanding | 1,015 | 1,381 | ||
Net Par Outstanding | 45,936 | 52,090 | ||
United States [Member] | Public Finance [Member] | Transportation [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 24,351 | 28,914 | ||
Ceded Par Outstanding | 897 | 1,091 | ||
Net Par Outstanding | 23,454 | 27,823 | ||
United States [Member] | Public Finance [Member] | Healthcare [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 15,967 | 16,225 | ||
Ceded Par Outstanding | 961 | 1,377 | ||
Net Par Outstanding | 15,006 | 14,848 | ||
United States [Member] | Public Finance [Member] | Higher education [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 11,984 | 13,485 | ||
Ceded Par Outstanding | 48 | 386 | ||
Net Par Outstanding | 11,936 | 13,099 | ||
United States [Member] | Public Finance [Member] | Infrastructure finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 5,241 | 5,098 | ||
Ceded Par Outstanding | 248 | 917 | ||
Net Par Outstanding | 4,993 | 4,181 | ||
United States [Member] | Public Finance [Member] | Housing [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 2,075 | 2,880 | ||
Ceded Par Outstanding | 38 | 101 | ||
Net Par Outstanding | 2,037 | 2,779 | ||
United States [Member] | Public Finance [Member] | Investor-owned utilities [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 916 | 944 | ||
Ceded Par Outstanding | 0 | 0 | ||
Net Par Outstanding | 916 | 944 | ||
United States [Member] | Public Finance [Member] | Other public/structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 3,288 | 3,575 | ||
Ceded Par Outstanding | 17 | 17 | ||
Net Par Outstanding | 3,271 | 3,558 | ||
United States [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 33,108 | 43,288 | ||
Ceded Par Outstanding | 1,338 | 2,117 | ||
Net Par Outstanding | 31,770 | [2],[3] | 41,171 | [4] |
United States [Member] | Structured Finance [Member] | Other public/structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 823 | 929 | ||
Ceded Par Outstanding | 93 | 146 | ||
Net Par Outstanding | 730 | 783 | ||
United States [Member] | Structured Finance [Member] | Pooled corporate obligations [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 16,757 | 21,791 | ||
Ceded Par Outstanding | 749 | 1,145 | ||
Net Par Outstanding | 16,008 | 20,646 | ||
United States [Member] | Structured Finance [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 7,441 | 10,109 | ||
Ceded Par Outstanding | 374 | 692 | ||
Net Par Outstanding | 7,067 | 9,417 | ||
United States [Member] | Structured Finance [Member] | Commercial mortgage-backed securities (CMBS) and other commercial real estate related exposures [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 549 | 1,979 | ||
Ceded Par Outstanding | 16 | 22 | ||
Net Par Outstanding | 533 | 1,957 | ||
United States [Member] | Structured Finance [Member] | Insurance securitizations [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 3,047 | 3,480 | ||
Ceded Par Outstanding | 47 | 47 | ||
Net Par Outstanding | 3,000 | 3,433 | ||
United States [Member] | Structured Finance [Member] | Financial product [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 1,906 | 2,276 | ||
Ceded Par Outstanding | 0 | 0 | ||
Net Par Outstanding | 1,906 | 2,276 | ||
United States [Member] | Structured Finance [Member] | Consumer receivables [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 2,153 | 2,157 | ||
Ceded Par Outstanding | 54 | 58 | ||
Net Par Outstanding | 2,099 | 2,099 | ||
United States [Member] | Structured Finance [Member] | Commercial receivables [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 432 | 567 | ||
Ceded Par Outstanding | 5 | 7 | ||
Net Par Outstanding | 427 | 560 | ||
Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | 34,935 | |||
Non United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 34,383 | 38,454 | ||
Ceded Par Outstanding | 4,806 | 7,095 | ||
Net Par Outstanding | 29,577 | [2],[3] | 31,359 | [4] |
Non United States [Member] | Public Finance [Member] | Infrastructure finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 14,040 | 15,091 | ||
Ceded Par Outstanding | 1,312 | 2,283 | ||
Net Par Outstanding | 12,728 | 12,808 | ||
Non United States [Member] | Public Finance [Member] | Regulated utilities [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 12,616 | 14,582 | ||
Ceded Par Outstanding | 2,568 | 3,668 | ||
Net Par Outstanding | 10,048 | 10,914 | ||
Non United States [Member] | Public Finance [Member] | Pooled infrastructure [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 2,013 | 2,565 | ||
Ceded Par Outstanding | 134 | 145 | ||
Net Par Outstanding | 1,879 | 2,420 | ||
Non United States [Member] | Public Finance [Member] | Other public/structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 5,714 | 6,216 | ||
Ceded Par Outstanding | 792 | 999 | ||
Net Par Outstanding | 4,922 | 5,217 | ||
Non United States [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 5,893 | 10,056 | ||
Ceded Par Outstanding | 535 | 980 | ||
Net Par Outstanding | 5,358 | [2],[3] | 9,076 | [4] |
Non United States [Member] | Structured Finance [Member] | Other public/structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 635 | 759 | ||
Ceded Par Outstanding | 14 | 25 | ||
Net Par Outstanding | 621 | 734 | ||
Non United States [Member] | Structured Finance [Member] | Pooled corporate obligations [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 4,087 | 7,439 | ||
Ceded Par Outstanding | 442 | 835 | ||
Net Par Outstanding | 3,645 | 6,604 | ||
Non United States [Member] | Structured Finance [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 552 | 893 | ||
Ceded Par Outstanding | 60 | 99 | ||
Net Par Outstanding | 492 | 794 | ||
Non United States [Member] | Structured Finance [Member] | Commercial receivables [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 619 | 965 | ||
Ceded Par Outstanding | 19 | 21 | ||
Net Par Outstanding | $ 600 | $ 944 | ||
[1] | Includes par related to insured credit derivatives | |||
[2] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | |||
[3] | The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. | |||
[4] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. |
Outstanding Exposure - Expected
Outstanding Exposure - Expected Amortization of Net Par Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | ||
Expected Amortization of Net Par Outstanding [Abstract] | ||||
0 to 5 years | $ 121,948 | |||
5 to 10 years | 72,930 | |||
10 to 15 years | 61,116 | |||
15 to 20 years | 48,388 | |||
20 years and above | 54,189 | |||
Net Par Outstanding | 358,571 | [1],[2] | $ 403,729 | [3] |
Public Finance [Member] | ||||
Expected Amortization of Net Par Outstanding [Abstract] | ||||
0 to 5 years | 97,518 | |||
5 to 10 years | 68,144 | |||
10 to 15 years | 58,348 | |||
15 to 20 years | 45,623 | |||
20 years and above | 51,810 | |||
Net Par Outstanding | 321,443 | 353,482 | ||
Structured Finance [Member] | ||||
Expected Amortization of Net Par Outstanding [Abstract] | ||||
0 to 5 years | 24,430 | |||
5 to 10 years | 4,786 | |||
10 to 15 years | 2,768 | |||
15 to 20 years | 2,765 | |||
20 years and above | 2,379 | |||
Net Par Outstanding | $ 37,128 | $ 50,247 | ||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | |||
[2] | The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. | |||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. |
Outstanding Exposure - Componen
Outstanding Exposure - Components of BIG Net Par Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 358,571 | [1],[2] | $ 403,729 | [3] |
XXX Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,750 | 3,133 | ||
Trust preferred securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,379 | 4,326 | ||
Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,818 | 1,857 | ||
Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 21,114 | 31,514 | ||
Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 321,443 | 353,482 | ||
BIG [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 15,183 | 18,247 | ||
BIG [Member] | XXX Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 216 | 598 | ||
BIG [Member] | Trust preferred securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 806 | 1,333 | ||
BIG [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 163 | 195 | ||
BIG [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 863 | 1,224 | ||
BIG [Member] | BIG 1 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 8,023 | 11,865 | ||
BIG [Member] | BIG 1 [Member] | XXX Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 0 | ||
BIG [Member] | BIG 1 [Member] | Trust preferred securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 679 | 997 | ||
BIG [Member] | BIG 1 [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 12 | 14 | ||
BIG [Member] | BIG 1 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 672 | 1,007 | ||
BIG [Member] | BIG 2 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,129 | 2,689 | ||
BIG [Member] | BIG 2 [Member] | XXX Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 0 | ||
BIG [Member] | BIG 2 [Member] | Trust preferred securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 127 | 0 | ||
BIG [Member] | BIG 2 [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 68 | 68 | ||
BIG [Member] | BIG 2 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 151 | 172 | ||
BIG [Member] | BIG 3 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,031 | 3,693 | ||
BIG [Member] | BIG 3 [Member] | XXX Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 216 | 598 | ||
BIG [Member] | BIG 3 [Member] | Trust preferred securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 336 | ||
BIG [Member] | BIG 3 [Member] | Student Loan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 83 | 113 | ||
BIG [Member] | BIG 3 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 40 | 45 | ||
United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 323,636 | |||
United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 7,067 | 9,417 | ||
United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 291,866 | [1],[2] | 322,123 | [3] |
United States [Member] | BIG [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,973 | 5,643 | ||
United States [Member] | BIG [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 7,784 | 7,850 | ||
United States [Member] | BIG [Member] | BIG 1 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,020 | 1,868 | ||
United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,765 | 6,577 | ||
United States [Member] | BIG [Member] | BIG 2 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 397 | 1,291 | ||
United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,883 | 1,156 | ||
United States [Member] | BIG [Member] | BIG 3 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,556 | 2,484 | ||
United States [Member] | BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 136 | 117 | ||
Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 34,935 | |||
Non United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 29,577 | [1],[2] | 31,359 | [3] |
Non United States [Member] | BIG [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,378 | 1,404 | ||
Non United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 875 | 1,402 | ||
Non United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 503 | 2 | ||
Non United States [Member] | BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 0 | ||
First Lien [Member] | United States [Member] | Prime [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 445 | 471 | ||
First Lien [Member] | United States [Member] | Alt-A [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,353 | 2,532 | ||
First Lien [Member] | United States [Member] | Option ARM [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 252 | 407 | ||
First Lien [Member] | United States [Member] | Subprime [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,457 | 4,051 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Prime [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 284 | 353 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Alt-A [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 793 | 1,841 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Option ARM [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 141 | 183 | ||
First Lien [Member] | United States [Member] | BIG [Member] | Subprime [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,304 | 1,575 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | Prime [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 225 | 68 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | Alt-A [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 119 | 585 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | Option ARM [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 39 | 47 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | Subprime [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 146 | 156 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | Prime [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 34 | 33 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | Alt-A [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 73 | 531 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | Option ARM [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 12 | 18 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | Subprime [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 228 | 654 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | Prime [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 25 | 252 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | Alt-A [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 601 | 725 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | Option ARM [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 90 | 118 | ||
First Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | Subprime [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 930 | 765 | ||
Second Lien [Member] | United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,560 | 1,956 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,451 | 1,691 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 1 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 491 | 1,012 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 2 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 50 | 55 | ||
Second Lien [Member] | United States [Member] | BIG [Member] | BIG 3 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 910 | $ 624 | ||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | |||
[2] | The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. | |||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. |
Outstanding Exposure - BIG Net
Outstanding Exposure - BIG Net Par Outstanding (Details) $ in Millions | Dec. 31, 2015USD ($)risk | Dec. 31, 2014USD ($)risk | |||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Credit Derivative | [1] | $ 25,594 | $ 34,996 | ||
Net Par Outstanding | $ 358,571 | [2],[3] | 403,729 | [4] | |
Number of Risks | risk | 12,567 | ||||
BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [5] | $ 13,574 | 15,222 | ||
Net Par Outstanding, Credit Derivative | [6] | 1,609 | 3,025 | ||
Net Par Outstanding | $ 15,183 | $ 18,247 | |||
Number of Risks, Financial Guaranty Insurance | risk | [5],[7] | 419 | 358 | ||
Number of Risks, Credit Derivative | risk | [7] | 32 | 56 | ||
Number of Risks | risk | [7] | 451 | 414 | ||
BIG [Member] | BIG 1 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [5] | $ 7,019 | $ 10,195 | ||
Net Par Outstanding, Credit Derivative | 1,004 | 1,670 | |||
Net Par Outstanding | $ 8,023 | $ 11,865 | |||
Number of Risks, Financial Guaranty Insurance | risk | [5],[7] | 202 | 164 | ||
Number of Risks, Credit Derivative | risk | [7] | 12 | 18 | ||
Number of Risks | risk | [7] | 214 | 182 | ||
BIG [Member] | BIG 2 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [5] | $ 3,655 | $ 2,135 | ||
Net Par Outstanding, Credit Derivative | 474 | 554 | |||
Net Par Outstanding | $ 4,129 | $ 2,689 | |||
Number of Risks, Financial Guaranty Insurance | risk | [5],[7] | 85 | 75 | ||
Number of Risks, Credit Derivative | risk | [7] | 8 | 14 | ||
Number of Risks | risk | [7] | 93 | 89 | ||
BIG [Member] | BIG 3 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [5] | $ 2,900 | $ 2,892 | ||
Net Par Outstanding, Credit Derivative | 131 | 801 | |||
Net Par Outstanding | $ 3,031 | $ 3,693 | |||
Number of Risks, Financial Guaranty Insurance | risk | [5],[7] | 132 | 119 | ||
Number of Risks, Credit Derivative | risk | [7] | 12 | 24 | ||
Number of Risks | risk | [7] | 144 | 143 | ||
[1] | The December 31, 2015 total amount includes $3.5 billion net par outstanding of credit derivatives acquired from Radian Asset | ||||
[2] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | ||||
[3] | The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. | ||||
[4] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. | ||||
[5] | Includes net par outstanding for VIEs. | ||||
[6] | The December 31, 2015 BIG amount includes $125 million net par outstanding of credit derivatives acquired from Radian Asset. | ||||
[7] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. |
Outstanding Exposure - Geograph
Outstanding Exposure - Geographic Distribution of Net Par Outstanding (Details) $ in Millions | Dec. 31, 2015USD ($)risk | Dec. 31, 2014USD ($) | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 12,567 | |||
Net Par Outstanding | $ 358,571 | [1],[2] | $ 403,729 | [3] |
Percent of Total Net Par Outstanding | 100.00% | |||
United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 12,338 | |||
Net Par Outstanding | $ 323,636 | |||
Percent of Total Net Par Outstanding | 90.20% | |||
Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 229 | |||
Net Par Outstanding | $ 34,935 | |||
Percent of Total Net Par Outstanding | 9.80% | |||
United Kingdom [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 101 | |||
Net Par Outstanding | $ 17,565 | |||
Percent of Total Net Par Outstanding | 4.90% | |||
Australia [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 22 | |||
Net Par Outstanding | $ 3,349 | |||
Percent of Total Net Par Outstanding | 0.90% | |||
Canada [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 10 | |||
Net Par Outstanding | $ 3,099 | |||
Percent of Total Net Par Outstanding | 0.90% | |||
France [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 16 | |||
Net Par Outstanding | $ 2,609 | |||
Percent of Total Net Par Outstanding | 0.70% | |||
Italy [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 8 | |||
Net Par Outstanding | $ 1,296 | |||
Percent of Total Net Par Outstanding | 0.40% | |||
Other Countries [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 72 | |||
Net Par Outstanding | $ 7,017 | |||
Percent of Total Net Par Outstanding | 2.00% | |||
Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | $ 321,443 | 353,482 | ||
Public Finance [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 11,615 | |||
Net Par Outstanding | $ 291,866 | [1],[2] | 322,123 | [3] |
Percent of Total Net Par Outstanding | 81.30% | |||
Public Finance [Member] | California [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 1,514 | |||
Net Par Outstanding | $ 47,731 | |||
Percent of Total Net Par Outstanding | 13.30% | |||
Public Finance [Member] | Pennsylvania [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 944 | |||
Net Par Outstanding | $ 23,655 | |||
Percent of Total Net Par Outstanding | 6.60% | |||
Public Finance [Member] | New York [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 961 | |||
Net Par Outstanding | $ 22,513 | |||
Percent of Total Net Par Outstanding | 6.30% | |||
Public Finance [Member] | Texas [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 1,307 | |||
Net Par Outstanding | $ 23,891 | |||
Percent of Total Net Par Outstanding | 6.70% | |||
Public Finance [Member] | Illinois [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 816 | |||
Net Par Outstanding | $ 22,220 | |||
Percent of Total Net Par Outstanding | 6.20% | |||
Public Finance [Member] | Florida [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 369 | |||
Net Par Outstanding | $ 16,595 | |||
Percent of Total Net Par Outstanding | 4.60% | |||
Public Finance [Member] | New Jersey [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 553 | |||
Net Par Outstanding | $ 13,605 | |||
Percent of Total Net Par Outstanding | 3.80% | |||
Public Finance [Member] | Michigan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 577 | |||
Net Par Outstanding | $ 10,898 | |||
Percent of Total Net Par Outstanding | 3.00% | |||
Public Finance [Member] | Georgia [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 183 | |||
Net Par Outstanding | $ 6,991 | |||
Percent of Total Net Par Outstanding | 1.90% | |||
Public Finance [Member] | Ohio [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 464 | |||
Net Par Outstanding | $ 6,753 | |||
Percent of Total Net Par Outstanding | 1.90% | |||
Public Finance [Member] | Other States and U.S. Territories [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 3,927 | |||
Net Par Outstanding | $ 97,014 | |||
Percent of Total Net Par Outstanding | 27.00% | |||
Public Finance [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | $ 29,577 | [1],[2] | 31,359 | [3] |
Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | $ 37,128 | 50,247 | ||
Structured Finance [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 723 | |||
Net Par Outstanding | $ 31,770 | [1],[2] | 41,171 | [3] |
Percent of Total Net Par Outstanding | 8.90% | |||
Structured Finance [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | $ 5,358 | [1],[2] | $ 9,076 | [3] |
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | |||
[2] | The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. | |||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. |
Outstanding Exposure - Puerto R
Outstanding Exposure - Puerto Rico Gross Par and Gross Debt Service Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |
Schedule of Insured Financial Obligations [Line Items] | |||
Gross Par Outstanding | $ 373,192 | $ 426,704 | |
Gross Debt Service Outstanding | 559,470 | 646,722 | |
Puerto Rico [Member] | |||
Schedule of Insured Financial Obligations [Line Items] | |||
Gross Par Outstanding | 5,755 | 6,035 | |
Gross Debt Service Outstanding | 9,632 | 10,074 | |
Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | |||
Schedule of Insured Financial Obligations [Line Items] | |||
Gross Par Outstanding | [1] | 2,965 | 3,058 |
Gross Debt Service Outstanding | [1] | 5,162 | 5,326 |
Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | |||
Schedule of Insured Financial Obligations [Line Items] | |||
Gross Par Outstanding | 2,790 | 2,977 | |
Gross Debt Service Outstanding | $ 4,470 | $ 4,748 | |
[1] | On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the U.S. Bankruptcy Code and is therefore void. On July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling. |
Outstanding Exposure - Puerto65
Outstanding Exposure - Puerto Rico Net Par Outstanding (Details) - USD ($) $ in Thousands | Jan. 01, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | $ 358,571,000 | [1],[2] | $ 403,729,000 | [3] | ||
Puerto Rico [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 5,053,000 | [4] | 4,939,000 | |||
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 2,575,000 | [4] | 2,447,000 | |||
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | PRHTA (Transportation revenue) [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | [5] | 909,000 | [4] | 844,000 | ||
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | PREPA [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 744,000 | [4] | 772,000 | |||
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | Puerto Rico Aqueduct and Sewer Authority [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 388,000 | [4] | 384,000 | |||
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | PRHTA (Highway revenue) [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | [5] | 370,000 | [4] | 273,000 | ||
Puerto Rico [Member] | Subject to the Terms of the Recovery Act [Member] | Puerto Rico Convention Center District Authority [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | [5] | 164,000 | [4] | 174,000 | ||
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 2,478,000 | [4] | 2,492,000 | |||
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | Commonwealth of Puerto Rico - General Obligation Bonds [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 1,615,000 | [4] | 1,672,000 | |||
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico Municipal Finance Agency [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 387,000 | [4] | 399,000 | |||
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico Sales Tax Financing Corporation [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 269,000 | [4] | 269,000 | |||
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico Public Buildings Authority [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 188,000 | [4] | 100,000 | |||
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | GDB [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 0 | [4] | 33,000 | |||
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | PRIFA [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | [5] | 18,000 | [4],[6] | 18,000 | ||
Puerto Rico [Member] | Not Subject to the Terms of the Recovery Act [Member] | University of Puerto Rico [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 1,000 | [4] | 1,000 | |||
Radian [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 10,900,000 | |||||
Public Finance [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 321,443,000 | $ 353,482,000 | ||||
Public Finance [Member] | Puerto Rico [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Net par amount outstanding | 5,100,000 | |||||
Public Finance [Member] | Radian [Member] | Puerto Rico [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Increase in outstanding principal amount, due to acquisition, net | 385,000 | |||||
Public Finance [Member] | Radian [Member] | Puerto Rico [Member] | PREPA [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Increase in outstanding principal amount, due to acquisition, net | 21,000 | |||||
Public Finance [Member] | Radian [Member] | Puerto Rico [Member] | Puerto Rico Highways and Transportation Authority [Member] [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Increase in outstanding principal amount, due to acquisition, net | $ 166,000 | |||||
Subsequent Event [Member] | Public Finance [Member] | Puerto Rico [Member] | PRIFA [Member] | ||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||
Payment on claims for interest payments on defaulted bonds | $ 451 | |||||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | |||||
[2] | The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. | |||||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. | |||||
[4] | As of December 31, 2015, the Company's Puerto Rico net exposures increased due to (1) net par of $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million of PRHTA, and (2) a commutation of previously ceded Puerto Rico exposures. | |||||
[5] | . | |||||
[6] | On January 1, 2016 PRIFA defaulted on full payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately $451 thousand of claims for the interest payments on which PRIFA had defaulted. |
Outstanding Exposure - Amortiza
Outstanding Exposure - Amortization Schedule of Puerto Rico BIG Net Par Outstanding and BIG Net Debt Service Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | ||
Estimated BIG Net Par Amortization [Abstract] | ||||
Net Par Outstanding | $ 358,571 | [1],[2] | $ 403,729 | [3] |
Estimated BIG Net Debt Service Amortization [Abstract] | ||||
Total | 536,341 | 609,622 | ||
Puerto Rico [Member] | ||||
Estimated BIG Net Par Amortization [Abstract] | ||||
2,016 | 302 | |||
2,017 | 222 | |||
2,018 | 179 | |||
2,019 | 204 | |||
2,020 | 270 | |||
2,021 | 125 | |||
2,022 | 115 | |||
2,023 | 151 | |||
2,024 | 174 | |||
2,025 | 196 | |||
2026-2030 | 942 | |||
2031-2035 | 1,131 | |||
2036-2040 | 571 | |||
2041-2045 | 303 | |||
2046-2047 | 168 | |||
Net Par Outstanding | 5,053 | [4] | 4,939 | |
Estimated BIG Net Debt Service Amortization [Abstract] | ||||
2,016 | 559 | |||
2,017 | 464 | |||
2,018 | 410 | |||
2,019 | 424 | |||
2,020 | 482 | |||
2,021 | 323 | |||
2,022 | 305 | |||
2,023 | 337 | |||
2,024 | 352 | |||
2,025 | 363 | |||
2026-2030 | 1,632 | |||
2031-2035 | 1,601 | |||
2036-2040 | 775 | |||
2041-2045 | 389 | |||
2046-2047 | 181 | |||
Total | 8,597 | |||
BIG [Member] | ||||
Estimated BIG Net Par Amortization [Abstract] | ||||
Net Par Outstanding | 15,183 | 18,247 | ||
Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||
Estimated BIG Net Par Amortization [Abstract] | ||||
2,016 | 98 | |||
2,017 | 51 | |||
2,018 | 56 | |||
2,019 | 74 | |||
2,020 | 87 | |||
2,021 | 66 | |||
2,022 | 47 | |||
2,023 | 110 | |||
2,024 | 89 | |||
2,025 | 111 | |||
2026-2030 | 590 | |||
2031-2035 | 583 | |||
2036-2040 | 308 | |||
2041-2045 | 137 | |||
2046-2047 | 168 | |||
Net Par Outstanding | 2,575 | [4] | 2,447 | |
Estimated BIG Net Debt Service Amortization [Abstract] | ||||
2,016 | 229 | |||
2,017 | 175 | |||
2,018 | 178 | |||
2,019 | 192 | |||
2,020 | 202 | |||
2,021 | 177 | |||
2,022 | 153 | |||
2,023 | 214 | |||
2,024 | 188 | |||
2,025 | 206 | |||
2026-2030 | 973 | |||
2031-2035 | 838 | |||
2036-2040 | 427 | |||
2041-2045 | 207 | |||
2046-2047 | 181 | |||
Total | 4,540 | |||
Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||
Estimated BIG Net Par Amortization [Abstract] | ||||
2,016 | 204 | |||
2,017 | 171 | |||
2,018 | 123 | |||
2,019 | 130 | |||
2,020 | 183 | |||
2,021 | 59 | |||
2,022 | 68 | |||
2,023 | 41 | |||
2,024 | 85 | |||
2,025 | 85 | |||
2026-2030 | 352 | |||
2031-2035 | 548 | |||
2036-2040 | 263 | |||
2041-2045 | 166 | |||
2046-2047 | 0 | |||
Net Par Outstanding | 2,478 | [4] | $ 2,492 | |
Estimated BIG Net Debt Service Amortization [Abstract] | ||||
2,016 | 330 | |||
2,017 | 289 | |||
2,018 | 232 | |||
2,019 | 232 | |||
2,020 | 280 | |||
2,021 | 146 | |||
2,022 | 152 | |||
2,023 | 123 | |||
2,024 | 164 | |||
2,025 | 157 | |||
2026-2030 | 659 | |||
2031-2035 | 763 | |||
2036-2040 | 348 | |||
2041-2045 | 182 | |||
2046-2047 | 0 | |||
Total | $ 4,057 | |||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | |||
[2] | The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. | |||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. | |||
[4] | As of December 31, 2015, the Company's Puerto Rico net exposures increased due to (1) net par of $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million of PRHTA, and (2) a commutation of previously ceded Puerto Rico exposures. |
Outstanding Exposure - Net Dire
Outstanding Exposure - Net Direct Economic Exposure to Selected European Countries (Details) $ in Millions | Dec. 31, 2015USD ($) | [1] |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | $ 2,145 | |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 832 | |
Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 441 | |
Hungary [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 374 | |
Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,246 | |
Italy [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | |
Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 85 | |
Portugal [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 85 | |
Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 373 | |
Spain [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 373 | |
Sub Sovereign [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,506 | |
Sub Sovereign [Member] | Non-Infrastructure Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,105 | [2] |
Sub Sovereign [Member] | Infrastructure finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 401 | |
Sub Sovereign [Member] | Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 271 | |
Sub Sovereign [Member] | Hungary [Member] | Non-Infrastructure Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [2] |
Sub Sovereign [Member] | Hungary [Member] | Infrastructure finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 271 | |
Sub Sovereign [Member] | Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 790 | |
Sub Sovereign [Member] | Italy [Member] | Non-Infrastructure Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 780 | [2] |
Sub Sovereign [Member] | Italy [Member] | Infrastructure finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 10 | |
Sub Sovereign [Member] | Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 85 | |
Sub Sovereign [Member] | Portugal [Member] | Non-Infrastructure Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 85 | [2] |
Sub Sovereign [Member] | Portugal [Member] | Infrastructure finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | |
Sub Sovereign [Member] | Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 360 | |
Sub Sovereign [Member] | Spain [Member] | Non-Infrastructure Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 240 | [2] |
Sub Sovereign [Member] | Spain [Member] | Infrastructure finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 120 | |
Non-sovereign Exposure [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 639 | |
Non-sovereign Exposure [Member] | Regulated utilities [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 212 | |
Non-sovereign Exposure [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 427 | |
Non-sovereign Exposure [Member] | Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 170 | |
Non-sovereign Exposure [Member] | Hungary [Member] | Regulated utilities [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | |
Non-sovereign Exposure [Member] | Hungary [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 170 | |
Non-sovereign Exposure [Member] | Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 456 | |
Non-sovereign Exposure [Member] | Italy [Member] | Regulated utilities [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 212 | |
Non-sovereign Exposure [Member] | Italy [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 244 | |
Non-sovereign Exposure [Member] | Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | |
Non-sovereign Exposure [Member] | Portugal [Member] | Regulated utilities [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | |
Non-sovereign Exposure [Member] | Portugal [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | |
Non-sovereign Exposure [Member] | Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 13 | |
Non-sovereign Exposure [Member] | Spain [Member] | Regulated utilities [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | |
Non-sovereign Exposure [Member] | Spain [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | $ 13 | |
[1] | While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. One of the RMBS included in the table above includes residential mortgages in both Italy and Germany, and only the portion of the transaction equal to the portion of the original mortgage pool in Italian mortgages is shown in the table. | |
[2] | The exposure shown in the “Non-infrastructure public finance” category is from transactions backed by receivable payments from sub-sovereigns in Italy, Spain and Portugal. Sub-sovereign debt is debt issued by a governmental entity or government backed entity, or supported by such an entity, that is other than direct sovereign debt of the ultimate governing body of the country. |
Outstanding Exposure - Narrativ
Outstanding Exposure - Narrative (Details) € in Millions | Jul. 31, 2015USD ($) | Jul. 01, 2015USD ($) | Aug. 31, 2014line_of_credit | Dec. 31, 2015USD ($) | Feb. 01, 2016USD ($) | Jan. 18, 2016USD ($) | Dec. 31, 2015EUR (€) | Dec. 24, 2015USD ($) | Sep. 09, 2015USD ($) | Aug. 03, 2015USD ($) | Dec. 31, 2014USD ($) | |||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Probability of paying more claims than being reimbursed (as a percent) | 50.00% | 50.00% | ||||||||||||
Net Debt Service Outstanding | $ 536,341,000,000 | $ 609,622,000,000 | ||||||||||||
Net Par Outstanding | 358,571,000,000 | [1],[2] | 403,729,000,000 | [3] | ||||||||||
Indirect European exposure | 4,200,000,000 | |||||||||||||
Surety Reinsurance Contracts [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Debt Service Outstanding | € | € 12 | |||||||||||||
Pooled corporate obligations [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Indirect European exposure | 244,000,000 | |||||||||||||
Structured Finance [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Debt Service Outstanding | 41,915,000,000 | 56,010,000,000 | ||||||||||||
Net Par Outstanding | 37,128,000,000 | 50,247,000,000 | ||||||||||||
Public Finance [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Debt Service Outstanding | 494,426,000,000 | 553,612,000,000 | ||||||||||||
Net Par Outstanding | $ 321,443,000,000 | 353,482,000,000 | ||||||||||||
BIG [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Maximum period of liquidity claims (in years) | 1 year | |||||||||||||
Net Par Outstanding | $ 15,183,000,000 | 18,247,000,000 | ||||||||||||
United Kingdom and Ireland [Member] | Mortgage Loans on Real Estate [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Debt Service Outstanding | 102,000,000 | |||||||||||||
United Kingdom and Ireland [Member] | Mortgage Loans on Real Estate [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Debt Service Outstanding | 127,000,000 | |||||||||||||
Select European Countries [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Indirect European exposure | 223,000,000 | |||||||||||||
Greece [Member] | Pooled corporate obligations [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Indirect European exposure | 6,000,000 | |||||||||||||
Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Debt Service Outstanding | 8,597,000,000 | |||||||||||||
Net Par Outstanding | 5,053,000,000 | [4] | 4,939,000,000 | |||||||||||
Puerto Rico [Member] | Public Finance [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Par Outstanding | 5,100,000,000 | |||||||||||||
Commitment to Provide Guarantees [Member] | Public Finance [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Outstanding commitments to provide guaranties | 595,000,000 | |||||||||||||
Outstanding commitments to provide guaranties expiring prior to the date of filing | 471,000,000 | |||||||||||||
Outstanding commitments to provide guaranties, amount expiring prior to December 31, 2016 | $ 60,000,000 | |||||||||||||
Minimum [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Constant discount rate (as a percent) | 4.00% | 4.00% | ||||||||||||
Minimum [Member] | Public Finance [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Expiration date for insured financial obligation commitments | Jan. 15, 2016 | |||||||||||||
Minimum [Member] | BIG [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Constant discount rate (as a percent) | 4.00% | 4.00% | ||||||||||||
Maximum [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Constant discount rate (as a percent) | 5.00% | 5.00% | ||||||||||||
Maximum [Member] | Public Finance [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Expiration date for insured financial obligation commitments | Feb. 25, 2017 | |||||||||||||
Maximum [Member] | BIG [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Constant discount rate (as a percent) | 5.00% | 5.00% | ||||||||||||
PREPA [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Percentage of outstanding bonds of PREPA | 60.00% | |||||||||||||
Forbearance agreement, number of lines of credit with extended Maturity Dates | line_of_credit | 2 | |||||||||||||
Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Debt Service Outstanding | $ 4,540,000,000 | |||||||||||||
Net Par Outstanding | 2,575,000,000 | [4] | 2,447,000,000 | |||||||||||
Subject to the Terms of the Recovery Act [Member] | Puerto Rico Public Finance Corporation [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Missed debt service payment | $ 58,000,000 | |||||||||||||
Subject to the Terms of the Recovery Act [Member] | Working Group For The Fiscal And Economic Recovery Of Puerto Rico [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Cumulative Financing Gap, Amount Before Corrective Action | $ 27,800,000,000 | |||||||||||||
Cumulative Financing Gap, Net Of Corrective Action | $ 14,000,000,000 | |||||||||||||
Subject to the Terms of the Recovery Act [Member] | PREPA [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Bonds Issued in Settlement, Amount | $ 131,000,000 | |||||||||||||
Subject to the Terms of the Recovery Act [Member] | PRHTA (Transportation revenue) [Member] | Maximum [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Special Assessment Bond, Potential Issuance Amount | 2,950,000,000 | |||||||||||||
Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Debt Service Outstanding | 4,057,000,000 | |||||||||||||
Net Par Outstanding | 2,478,000,000 | [4] | 2,492,000,000 | |||||||||||
PRHTA (Transportation revenue) [Member] | Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Par Outstanding | [5] | 909,000,000 | [4] | 844,000,000 | ||||||||||
PREPA [Member] | Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Par Outstanding | 744,000,000 | [4] | 772,000,000 | |||||||||||
Payments Received On Outstanding Principal Amounts | $ 416,000,000 | |||||||||||||
PREPA [Member] | Subject to the Terms of the Recovery Act [Member] | AGM and AGC [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Bonds Bought In Settlement, Amount | $ 74,000,000 | |||||||||||||
PRHTA (Highway revenue) [Member] | Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Par Outstanding | [5] | 370,000,000 | [4] | 273,000,000 | ||||||||||
Puerto Rico Municipal Finance Authority [Member] | Not Subject to the Terms of the Recovery Act [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Par Outstanding | 387,000,000 | [4] | $ 399,000,000 | |||||||||||
Radian [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Net Par Outstanding | 10,900,000,000 | |||||||||||||
Radian [Member] | Puerto Rico [Member] | Public Finance [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Increase in outstanding principal amount, due to acquisition, net | 385,000,000 | |||||||||||||
Radian [Member] | PREPA [Member] | Puerto Rico [Member] | Public Finance [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Increase in outstanding principal amount, due to acquisition, net | $ 21,000,000 | |||||||||||||
Subsequent Event [Member] | Subject to the Terms of the Recovery Act [Member] | Working Group For The Fiscal And Economic Recovery Of Puerto Rico [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Cumulative Financing Gap, Amount Before Corrective Action | $ 63,400,000,000 | |||||||||||||
Cumulative Financing Gap, Voluntary Exchange Of Tax Supported Debt, Amount | $ 49,200,000,000 | |||||||||||||
Cumulative Financing Gap, Amount Proposed To Be Converted To Mandatorily Payable Base Bonds | 26,500,000,000 | |||||||||||||
Cumulative Financing Gap, Amount Proposed To Be Converted To Growth Bonds | $ 22,700,000,000 | |||||||||||||
Surety Bond [Member] | PREPA [Member] | Restructuring Support Agreement [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Possible liquidity claims, gross exposure | $ 113,000,000 | |||||||||||||
Bridge Loan [Member] | PREPA [Member] | Restructuring Support Agreement [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||||||
Guarantor Obligations, Debt Financing Amount | $ 15,000,000 | |||||||||||||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | |||||||||||||
[2] | The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. | |||||||||||||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. | |||||||||||||
[4] | As of December 31, 2015, the Company's Puerto Rico net exposures increased due to (1) net par of $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million of PRHTA, and (2) a commutation of previously ceded Puerto Rico exposures. | |||||||||||||
[5] | . |
Expected Loss to be Paid - Net
Expected Loss to be Paid - Net Expected Loss to be Paid After Recoveries for Breaches of R&W (Details) - USD ($) $ in Millions | Apr. 01, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | $ 1,169 | [1] | $ 982 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | $ 190 | ||||
Total economic loss development | 319 | (30) | |||
Accretion of discount | 32 | ||||
Changes in discount rates | (23) | ||||
Changes in timing and assumptions | 310 | ||||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (287) | 217 | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | $ 1,391 | 1,169 | ||
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 | $ 25 | 37 | |||
Expected LAE to be paid | 12 | 16 | |||
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 584 | [1] | 493 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 4 | ||||
Total economic loss development | (82) | (268) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (97) | 359 | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 409 | 584 | ||
Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 595 | [1] | 620 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 3 | ||||
Total economic loss development | (124) | (226) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (126) | 201 | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 348 | 595 | ||
Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Financing Receivable, Prime [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 4 | [1] | 21 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 0 | ||||
Total economic loss development | (1) | (16) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (5) | (1) | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | (2) | 4 | ||
Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 304 | [1] | 304 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 7 | ||||
Total economic loss development | (126) | (144) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (58) | 144 | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 127 | 304 | ||
Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Option ARM [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | (16) | [1] | (9) | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 0 | ||||
Total economic loss development | (16) | (59) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 4 | 52 | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | (28) | (16) | ||
Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Subprime [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 303 | [1] | 304 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | (4) | ||||
Total economic loss development | 19 | (7) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (67) | 6 | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 251 | 303 | ||
Residential Mortgage-Backed Securities (RMBS) [Member] | Second Lien [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | (11) | [1] | (127) | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 1 | ||||
Total economic loss development | 42 | (42) | |||
(Paid) Recovered Losses After Recoveries for R&W | (29) | (158) | |||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 61 | (11) | ||
XXX Life Insurance Transaction [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 161 | [1] | 75 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 0 | ||||
Total economic loss development | 11 | 92 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (73) | (6) | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 99 | 161 | ||
Trust preferred securities (TruPS) [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 23 | [1] | 51 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 0 | ||||
Total economic loss development | (18) | (28) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 0 | 0 | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 5 | 23 | ||
Student Loan [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 68 | [1] | 52 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 0 | ||||
Total economic loss development | (9) | 16 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (5) | 0 | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 54 | 68 | ||
Other structured finance [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | (15) | [1] | (10) | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 101 | ||||
Total economic loss development | 12 | (13) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (83) | 8 | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 15 | (15) | ||
Public Finance [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 348 | [1] | 321 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 85 | ||||
Total economic loss development | 405 | 171 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (29) | (144) | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 809 | 348 | ||
Public Finance [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 303 | [1] | 264 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 81 | ||||
Total economic loss development | 416 | 183 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (29) | (144) | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 771 | 303 | ||
Public Finance [Member] | Non United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 45 | [1] | 57 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 4 | ||||
Total economic loss development | (11) | (12) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | 0 | 0 | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 38 | 45 | ||
Structured Finance [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 821 | [1] | 661 | ||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | 105 | ||||
Total economic loss development | (86) | (201) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (258) | 361 | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 582 | $ 821 | ||
Radian [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 | $ 190 | ||||
Radian [Member] | Other structured finance [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | 101 | ||||
Radian [Member] | Public Finance [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | $ 81 | ||||
[1] | Includes expected LAE to be paid of $12 million as of December 31, 2015 and $16 million as of December 31, 2014. | ||||
[2] | Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. The Company paid $25 million and $37 million in LAE for the years ended December 31, 2015 and 2014, respectively. |
Expected Loss to be Paid - Futu
Expected Loss to be Paid - Future Net R&W Benefit (Details) - Residential Mortgage-Backed Securities (RMBS) [Member] - United States [Member] - USD ($) $ in Millions | Dec. 31, 2015 | [1] | Dec. 31, 2014 | Dec. 31, 2013 |
Schedule of Expected Losses to be Paid [Line Items] | ||||
Future net R&W benefits | $ 79 | $ 317 | $ 712 | |
First Lien [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Future net R&W benefits | 0 | 232 | 569 | |
Second Lien [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Future net R&W benefits | $ 79 | $ 85 | $ 143 | |
[1] | See the section "Breaches of Representations and Warranties" below for eligible assets held in trust. |
Expected Loss to be Paid - Ne71
Expected Loss to be Paid - Net Expected Loss to be Paid and Net Economic Loss Development by Accounting Model (Details) - USD ($) $ in Millions | 12 Months Ended | |||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | $ 319 | $ (30) | ||||
Net expected loss to be paid after recoveries for R&W | 1,391 | [1] | 1,169 | [1] | $ 982 | |
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (82) | (268) | ||||
Net expected loss to be paid after recoveries for R&W | 409 | [1] | 584 | [1] | 493 | |
Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (124) | (226) | ||||
Net expected loss to be paid after recoveries for R&W | 348 | [1] | 595 | [1] | 620 | |
Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Financing Receivable, Prime [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (1) | (16) | ||||
Net expected loss to be paid after recoveries for R&W | (2) | [1] | 4 | [1] | 21 | |
Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (126) | (144) | ||||
Net expected loss to be paid after recoveries for R&W | 127 | [1] | 304 | [1] | 304 | |
Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Option ARM [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (16) | (59) | ||||
Net expected loss to be paid after recoveries for R&W | (28) | [1] | (16) | [1] | (9) | |
Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Subprime [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 19 | (7) | ||||
Net expected loss to be paid after recoveries for R&W | 251 | [1] | 303 | [1] | 304 | |
Residential Mortgage-Backed Securities (RMBS) [Member] | Second Lien [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 42 | (42) | ||||
Net expected loss to be paid after recoveries for R&W | 61 | [1] | (11) | [1] | (127) | |
XXX Life Insurance Transaction [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 11 | 92 | ||||
Net expected loss to be paid after recoveries for R&W | 99 | [1] | 161 | [1] | 75 | |
Trust preferred securities (TruPS) [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (18) | (28) | ||||
Net expected loss to be paid after recoveries for R&W | 5 | [1] | 23 | [1] | 51 | |
Student Loan [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (9) | 16 | ||||
Net expected loss to be paid after recoveries for R&W | 54 | [1] | 68 | [1] | 52 | |
Other structured finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 12 | (13) | ||||
Net expected loss to be paid after recoveries for R&W | 15 | [1] | (15) | [1] | (10) | |
Structured Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (86) | (201) | ||||
Net expected loss to be paid after recoveries for R&W | 582 | [1] | 821 | [1] | 661 | |
Public Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 405 | 171 | ||||
Net expected loss to be paid after recoveries for R&W | 809 | [1] | 348 | [1] | 321 | |
Public Finance [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 416 | 183 | ||||
Net expected loss to be paid after recoveries for R&W | 771 | [1] | 303 | [1] | 264 | |
Public Finance [Member] | Non United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (11) | (12) | ||||
Net expected loss to be paid after recoveries for R&W | 38 | [1] | 45 | [1] | $ 57 | |
Subtotal [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 319 | (30) | ||||
Net expected loss to be paid after recoveries for R&W | 1,391 | 1,169 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (22) | (280) | ||||
Net expected loss to be paid after recoveries for R&W | 251 | 385 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (57) | (150) | ||||
Net expected loss to be paid after recoveries for R&W | 238 | 438 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Financing Receivable, Prime [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 0 | 0 | ||||
Net expected loss to be paid after recoveries for R&W | 2 | 2 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (49) | (87) | ||||
Net expected loss to be paid after recoveries for R&W | 110 | 288 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Option ARM [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (17) | (48) | ||||
Net expected loss to be paid after recoveries for R&W | (27) | (15) | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Subprime [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 9 | (15) | ||||
Net expected loss to be paid after recoveries for R&W | 153 | 163 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Second Lien [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 35 | (130) | ||||
Net expected loss to be paid after recoveries for R&W | 13 | (53) | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | XXX Life Insurance Transaction [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 6 | 86 | ||||
Net expected loss to be paid after recoveries for R&W | 88 | 153 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Trust preferred securities (TruPS) [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (1) | (2) | ||||
Net expected loss to be paid after recoveries for R&W | 0 | 1 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Student Loan [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (9) | 16 | ||||
Net expected loss to be paid after recoveries for R&W | 54 | 68 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Other structured finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 1 | (5) | ||||
Net expected loss to be paid after recoveries for R&W | 37 | 34 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Structured Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (25) | (185) | ||||
Net expected loss to be paid after recoveries for R&W | 430 | 641 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Public Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 410 | 173 | ||||
Net expected loss to be paid after recoveries for R&W | 809 | 348 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Public Finance [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 421 | 183 | ||||
Net expected loss to be paid after recoveries for R&W | 771 | 303 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Public Finance [Member] | Non United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | (11) | (10) | ||||
Net expected loss to be paid after recoveries for R&W | 38 | 45 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Subtotal [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 385 | (12) | ||||
Net expected loss to be paid after recoveries for R&W | 1,239 | 989 | ||||
Financial Guarantee Variable Interest Entities And Other [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 18 | 85 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 120 | 126 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 11 | (6) | |||
Net expected loss to be paid after recoveries for R&W | [3] | 76 | 88 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Financing Receivable, Prime [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 0 | 0 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 0 | (13) | |||
Net expected loss to be paid after recoveries for R&W | [3] | 17 | 17 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Option ARM [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 0 | 1 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Subprime [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 11 | 6 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 59 | 71 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Second Lien [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 7 | 91 | ||||
Net expected loss to be paid after recoveries for R&W | 44 | 38 | ||||
Financial Guarantee Variable Interest Entities And Other [Member] | XXX Life Insurance Transaction [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 0 | 0 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Trust preferred securities (TruPS) [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 0 | 0 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Student Loan [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 0 | 0 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Other structured finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | (2) | (1) | |||
Net expected loss to be paid after recoveries for R&W | [3] | 16 | (4) | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Structured Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 16 | 84 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 136 | 122 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Public Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 0 | 0 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Public Finance [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 0 | 0 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Public Finance [Member] | Non United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 0 | 0 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 0 | 0 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Subtotal [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [2] | 16 | 84 | |||
Net expected loss to be paid after recoveries for R&W | [3] | 136 | 122 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | (78) | (73) | |||
Net expected loss to be paid after recoveries for R&W | [5] | 38 | 73 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | (78) | (70) | |||
Net expected loss to be paid after recoveries for R&W | [5] | 34 | 69 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Financing Receivable, Prime [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | (1) | (16) | |||
Net expected loss to be paid after recoveries for R&W | [5] | (4) | 2 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Alt-A [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | (77) | (44) | |||
Net expected loss to be paid after recoveries for R&W | [5] | 0 | (1) | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Option ARM [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | 1 | (12) | |||
Net expected loss to be paid after recoveries for R&W | [5] | (1) | (1) | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | First Lien [Member] | Subprime [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | (1) | 2 | |||
Net expected loss to be paid after recoveries for R&W | [5] | 39 | 69 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Second Lien [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | 0 | (3) | ||||
Net expected loss to be paid after recoveries for R&W | 4 | 4 | ||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | XXX Life Insurance Transaction [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | 5 | 6 | |||
Net expected loss to be paid after recoveries for R&W | [5] | 11 | 8 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Trust preferred securities (TruPS) [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | (17) | (26) | |||
Net expected loss to be paid after recoveries for R&W | [5] | 5 | 22 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Student Loan [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | 0 | 0 | |||
Net expected loss to be paid after recoveries for R&W | [5] | 0 | 0 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Other structured finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | 13 | (7) | |||
Net expected loss to be paid after recoveries for R&W | [5] | (38) | (45) | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Structured Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | (77) | (100) | |||
Net expected loss to be paid after recoveries for R&W | [5] | 16 | 58 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | (5) | (2) | |||
Net expected loss to be paid after recoveries for R&W | [5] | 0 | 0 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | (5) | 0 | |||
Net expected loss to be paid after recoveries for R&W | [5] | 0 | 0 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | Non United States [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | 0 | (2) | |||
Net expected loss to be paid after recoveries for R&W | [5] | 0 | 0 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Subtotal [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Total economic loss development | [4] | (82) | (102) | |||
Net expected loss to be paid after recoveries for R&W | [5] | $ 16 | $ 58 | |||
[1] | Includes expected LAE to be paid of $12 million as of December 31, 2015 and $16 million as of December 31, 2014. | |||||
[2] | Refer to Note 9, Consolidated Variable Interest Entities. | |||||
[3] | Refer to Note 9, Consolidated Variable Interest Entities. | |||||
[4] | Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. | |||||
[5] | Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Expected Loss to be Paid - Liqu
Expected Loss to be Paid - Liquidation Rates and Key Assumptions in Base Case Expected Loss First Lien RMBS (Details) | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Financing Receivable, Modified in Previous 12 Months [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 25.00% | 25.00% | 35.00% | |
Financing Receivable, Modified in Previous 12 Months [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 25.00% | 25.00% | 35.00% | |
Financing Receivable, Modified in Previous 12 Months [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 25.00% | 25.00% | 35.00% | |
Financing Receivable, Delinquent in the Previous 12 Months [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 25.00% | 25.00% | ||
Financing Receivable, Delinquent in the Previous 12 Months [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 25.00% | 25.00% | ||
Financing Receivable, Delinquent in the Previous 12 Months [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 25.00% | 25.00% | ||
Financing Receivables, 30 to 59 Days Past Due [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 45.00% | 35.00% | 45.00% | |
Financing Receivables, 30 to 59 Days Past Due [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 35.00% | 35.00% | 50.00% | |
Financing Receivables, 30 to 59 Days Past Due [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 40.00% | 40.00% | 50.00% | |
Financing Receivables, 60 to 89 Days Past Due [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 55.00% | 40.00% | 50.00% | |
Financing Receivables, 60 to 89 Days Past Due [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 45.00% | 50.00% | 60.00% | |
Financing Receivables, 60 to 89 Days Past Due [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 50.00% | 55.00% | 65.00% | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 60.00% | 55.00% | 60.00% | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 55.00% | 60.00% | 75.00% | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 60.00% | 65.00% | 70.00% | |
Financing Receivables, Bankruptcy [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 40.00% | 40.00% | 55.00% | |
Financing Receivables, Bankruptcy [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 45.00% | 45.00% | 60.00% | |
Financing Receivables, Bankruptcy [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 50.00% | 50.00% | 60.00% | |
Financing Receivable, Foreclosure [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 70.00% | 70.00% | 70.00% | |
Financing Receivable, Foreclosure [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 65.00% | 75.00% | 85.00% | |
Financing Receivable, Foreclosure [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 70.00% | 80.00% | 80.00% | |
Financing Receivable, Real Estate Owned [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Guarantor Obligations, Projected Loss Assumptions, Liquidation Rate | 100.00% | 100.00% | 100.00% | |
United States [Member] | Subprime [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Period until intermediate CDR | [1] | 48 months | 48 months | 48 months |
Final CPR | [1],[2] | 15.00% | 15.00% | 15.00% |
United States [Member] | Subprime [Member] | 2005 and prior [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 75.00% | 75.00% | 90.00% |
United States [Member] | Subprime [Member] | 2006 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 90.00% | 90.00% | 90.00% |
United States [Member] | Subprime [Member] | 2007 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 90.00% | 90.00% | 90.00% |
United States [Member] | Subprime [Member] | Minimum [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 4.70% | 4.90% | 5.60% |
Intermediate CDR | [1] | 0.90% | 1.00% | 1.10% |
Final CDR | [1] | 0.20% | 0.20% | 0.30% |
Initial CPR | [1] | 0.00% | 0.00% | 0.00% |
United States [Member] | Subprime [Member] | Maximum [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 13.20% | 15.00% | 16.20% |
Intermediate CDR | [1] | 2.60% | 3.00% | 3.20% |
Final CDR | [1] | 0.70% | 0.70% | 0.80% |
Initial CPR | [1] | 10.10% | 10.50% | 15.70% |
United States [Member] | Subprime [Member] | Weighted Average [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | 9.50% | 10.60% | 11.80% | |
Intermediate CDR | 1.90% | 2.10% | 2.40% | |
Final CDR | 0.40% | 0.40% | 0.40% | |
Initial CPR | 3.60% | 6.10% | 4.10% | |
United States [Member] | Option ARM [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Period until intermediate CDR | [1] | 48 months | 48 months | 48 months |
Final CPR | [1],[2] | 15.00% | 15.00% | 15.00% |
United States [Member] | Option ARM [Member] | 2005 and prior [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 60.00% | 60.00% | 65.00% |
United States [Member] | Option ARM [Member] | 2006 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 70.00% | 70.00% | 65.00% |
United States [Member] | Option ARM [Member] | 2007 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 65.00% | 65.00% | 65.00% |
United States [Member] | Option ARM [Member] | Minimum [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 3.50% | 4.30% | 4.90% |
Intermediate CDR | [1] | 0.70% | 0.90% | 1.00% |
Final CDR | [1] | 0.20% | 0.20% | 0.20% |
Initial CPR | [1] | 1.50% | 1.10% | 0.40% |
United States [Member] | Option ARM [Member] | Maximum [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 10.30% | 14.20% | 16.80% |
Intermediate CDR | [1] | 2.10% | 2.80% | 3.40% |
Final CDR | [1] | 0.50% | 0.70% | 0.80% |
Initial CPR | [1] | 10.90% | 11.80% | 13.10% |
United States [Member] | Option ARM [Member] | Weighted Average [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 7.80% | 10.60% | 11.90% |
Intermediate CDR | [1] | 1.60% | 2.10% | 2.40% |
Final CDR | [1] | 0.40% | 0.50% | 0.50% |
Initial CPR | 5.10% | 4.90% | 4.70% | |
United States [Member] | Alt-A [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Period until intermediate CDR | [1] | 48 months | 48 months | 48 months |
Final CPR | [1],[2] | 15.00% | 15.00% | 15.00% |
United States [Member] | Alt-A [Member] | 2005 and prior [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 60.00% | 60.00% | 65.00% |
United States [Member] | Alt-A [Member] | 2006 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 70.00% | 70.00% | 65.00% |
United States [Member] | Alt-A [Member] | 2007 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Initial loss severity | [1] | 65.00% | 65.00% | 65.00% |
United States [Member] | Alt-A [Member] | Minimum [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 1.70% | 2.00% | 2.80% |
Intermediate CDR | [1] | 0.30% | 0.40% | 0.60% |
Final CDR | [1] | 0.10% | 0.10% | 0.10% |
Initial CPR | [1] | 2.70% | 1.70% | 0.00% |
United States [Member] | Alt-A [Member] | Maximum [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 26.40% | 13.40% | 18.40% |
Intermediate CDR | [1] | 5.30% | 2.70% | 3.70% |
Final CDR | [1] | 1.30% | 0.70% | 0.90% |
Initial CPR | [1] | 32.50% | 21.00% | 34.20% |
United States [Member] | Alt-A [Member] | Weighted Average [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 6.40% | 7.30% | 9.70% |
Intermediate CDR | [1] | 1.30% | 1.50% | 1.90% |
Final CDR | [1] | 0.30% | 0.30% | 0.50% |
Initial CPR | 11.50% | 7.70% | 9.70% | |
[1] | Represents variables for most heavily weighted scenario (the “base case”). | |||
[2] | 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. |
Expected Loss to be Paid - Key
Expected Loss to be Paid - Key Assumptions in Base Case Expected Loss Second Lien RMBS (Details) - Residential Mortgage-Backed Securities (RMBS) [Member] - United States [Member] - Home equity lines of credit (HELOCs) [Member] | 12 Months Ended | ||||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Expected period until final CDR | [1] | 34 months | 34 months | 34 months | |||
Minimum [Member] | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Plateau CDR | 4.90% | 2.80% | [1] | 2.30% | [1] | ||
Final CDR trended down to | 0.50% | 0.50% | 0.40% | [1] | |||
Initial CPR | 10.90% | [1] | 6.90% | 2.70% | [1] | ||
Final CPR | 10.00% | [1],[2] | 15.00% | 10.00% | [1],[2] | ||
Loss severity | [1] | 98.00% | 90.00% | 98.00% | |||
Maximum [Member] | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Plateau CDR | [1] | 23.50% | 6.80% | 7.70% | |||
Final CDR trended down to | [1] | 3.20% | 3.20% | 3.20% | |||
Initial CPR | 21.80% | 21.50% | [1] | ||||
Final CPR | 15.00% | [1],[2] | 21.80% | ||||
Loss severity | [1] | 98.00% | |||||
Weighted Average [Member] | |||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||
Plateau CDR | [1] | 10.30% | 4.10% | 4.90% | |||
Final CDR trended down to | 1.20% | [1] | 1.20% | [1] | 1.10% | ||
Initial CPR | [1] | 11.00% | 9.90% | ||||
Final CPR | 13.30% | [1],[2] | 15.50% | ||||
Loss severity | 90.40% | ||||||
[1] | Represents variables for most heavily weighted scenario (the “base case”). | ||||||
[2] | 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. |
Expected Loss to be Paid - Narr
Expected Loss to be Paid - Narrative (Details) $ in Thousands | 1 Months Ended | 3 Months Ended | 12 Months Ended | |||||||||||
Nov. 30, 2015pension_fund | Dec. 31, 2014USD ($) | Sep. 30, 2014USD ($) | Dec. 31, 2015USD ($)scenarioPaymentTransactionCurvequarter | Dec. 31, 2014USD ($)scenario | Apr. 01, 2015USD ($) | Dec. 31, 2013USD ($) | May. 06, 2013 | May. 08, 2012USD ($) | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 1,169,000 | [1] | $ 1,391,000 | [1] | $ 1,169,000 | [1] | $ 982,000 | |||||||
Economic loss development after recoveries for R&W | (319,000) | 30,000 | ||||||||||||
Net par amount outstanding | 403,729,000 | [2] | 358,571,000 | [3],[4] | 403,729,000 | [2] | ||||||||
Gross Par Outstanding | 426,704,000 | $ 373,192,000 | $ 426,704,000 | |||||||||||
Liquidation Rate, Review Period | 12 months | |||||||||||||
Minimum [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Discount factor (as a percent) | 0.00% | 0.00% | ||||||||||||
Liquidation Rate for Bankruptcy Delinquent Category | 10.00% | |||||||||||||
Maximum [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Discount factor (as a percent) | 3.25% | 2.95% | ||||||||||||
Liquidation Rate for Bankruptcy Delinquent Category | 100.00% | |||||||||||||
United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | $ 323,636,000 | |||||||||||||
Puerto Rico [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 4,939,000 | 5,053,000 | [5] | $ 4,939,000 | ||||||||||
Gross Par Outstanding | 6,035,000 | 5,755,000 | 6,035,000 | |||||||||||
Residential Mortgage-Backed Securities (RMBS) [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Amount of liabilities agreed to be paid by entities providing R&W for transaction in which the Company provided insurance | $ 4,200,000 | |||||||||||||
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Maximum number of payments behind to be considered performing borrower | Payment | 1 | |||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 317,000 | $ 79,000 | [6] | 317,000 | 712,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 584,000 | [1] | 409,000 | [1] | 584,000 | [1] | $ 493,000 | |||||||
Economic loss development after recoveries for R&W | 82,000 | 268,000 | ||||||||||||
Net par amount outstanding | $ 9,417,000 | $ 7,067,000 | $ 9,417,000 | |||||||||||
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Subprime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Final CPR | [7],[8] | 15.00% | 15.00% | 15.00% | 15.00% | |||||||||
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Option ARM [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Final CPR | [7],[8] | 15.00% | 15.00% | 15.00% | 15.00% | |||||||||
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Alt-A [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Final CPR | [7],[8] | 15.00% | 15.00% | 15.00% | 15.00% | |||||||||
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Minimum [Member] | Home equity lines of credit (HELOCs) [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Final CPR | 15.00% | 10.00% | [9],[10] | 15.00% | 10.00% | [9],[10] | ||||||||
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Maximum [Member] | Home equity lines of credit (HELOCs) [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Final CPR | 21.80% | 15.00% | [9],[10] | 21.80% | ||||||||||
XXX Life Insurance Transaction [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 161,000 | [1] | $ 99,000 | [1] | $ 161,000 | [1] | $ 75,000 | |||||||
Economic loss development after recoveries for R&W | (11,000) | (92,000) | ||||||||||||
Net par amount outstanding | 3,133,000 | $ 2,750,000 | 3,133,000 | |||||||||||
Home equity lines of credit (HELOCs) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Initial period for which borrower can pay only interest payments | 10 years | |||||||||||||
Trust preferred securities (TruPS) [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 23,000 | [1] | $ 5,000 | [1] | 23,000 | [1] | 51,000 | |||||||
Economic loss development after recoveries for R&W | 18,000 | 28,000 | ||||||||||||
Net par amount outstanding | 4,326,000 | 4,379,000 | 4,326,000 | |||||||||||
Student Loan [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 68,000 | [1] | 54,000 | [1] | 68,000 | [1] | 52,000 | |||||||
Economic loss development after recoveries for R&W | 9,000 | (16,000) | ||||||||||||
Net par amount outstanding | 1,857,000 | 1,818,000 | 1,857,000 | |||||||||||
Public Finance [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 348,000 | [1] | 809,000 | [1] | 348,000 | [1] | 321,000 | |||||||
Economic loss development after recoveries for R&W | (405,000) | (171,000) | ||||||||||||
Net par amount outstanding | 353,482,000 | 321,443,000 | 353,482,000 | |||||||||||
Gross Par Outstanding | 373,360,000 | 334,191,000 | 373,360,000 | |||||||||||
Public Finance [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 303,000 | [1] | 771,000 | [1] | 303,000 | [1] | 264,000 | |||||||
Economic loss development after recoveries for R&W | (416,000) | (183,000) | ||||||||||||
Net par amount outstanding | 322,123,000 | [2] | 291,866,000 | [3],[4] | 322,123,000 | [2] | ||||||||
Gross Par Outstanding | 334,906,000 | 299,808,000 | 334,906,000 | |||||||||||
Public Finance [Member] | Puerto Rico [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Economic loss development after recoveries for R&W | (416,000) | |||||||||||||
Net par amount outstanding | 5,100,000 | |||||||||||||
Public Finance Stockton General Fund [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 115,000 | |||||||||||||
Insured Financial Obligations, Amount of Cancelled Lease Revenue Bonds | 40,000 | |||||||||||||
Non-Infrastructure Public Finance [Member] | Spain [Member] | Sovereign and Sub Sovereign [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 360,000 | |||||||||||||
Gross Par Outstanding | 452,000 | |||||||||||||
Non-Infrastructure Public Finance [Member] | Portugal [Member] | Sovereign and Sub Sovereign [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 85,000 | |||||||||||||
Gross Par Outstanding | 91,000 | |||||||||||||
Non-Infrastructure Public Finance [Member] | Spain, Hungry and Portugal [Member] | Sovereign and Sub Sovereign [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 35,000 | |||||||||||||
Economic loss development after recoveries for R&W | (11,000) | |||||||||||||
Other structured finance [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | (15,000) | [1] | 15,000 | [1] | (15,000) | [1] | (10,000) | |||||||
Economic loss development after recoveries for R&W | (12,000) | 13,000 | ||||||||||||
Net par amount outstanding | 31,514,000 | 21,114,000 | 31,514,000 | |||||||||||
Deutsche Bank [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Assets held under trust for reimbursement payment | 71,000 | |||||||||||||
BIG [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 18,247,000 | 15,183,000 | 18,247,000 | |||||||||||
BIG [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 5,643,000 | 3,973,000 | 5,643,000 | |||||||||||
BIG [Member] | XXX Life Insurance Transaction [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 598,000 | 216,000 | 598,000 | |||||||||||
BIG [Member] | XXX Life Insurance Transaction [Member] | Series A-1 Note [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 382,500 | |||||||||||||
BIG [Member] | Trust preferred securities (TruPS) [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 1,333,000 | 806,000 | 1,333,000 | |||||||||||
BIG [Member] | Student Loan [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 195,000 | 163,000 | 195,000 | |||||||||||
BIG [Member] | Public Finance [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 7,850,000 | 7,784,000 | 7,850,000 | |||||||||||
BIG [Member] | Non-Infrastructure Public Finance [Member] | Hungary [Member] | Sovereign and Sub Sovereign [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 271,000 | |||||||||||||
Gross Par Outstanding | 274,000 | |||||||||||||
BIG [Member] | Other structured finance [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 1,224,000 | $ 863,000 | 1,224,000 | |||||||||||
BIG [Member] | Ballantyne Re Plc and Orkney Re I I Plc [Member] | Life Insurance [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Number of transactions insured | Transaction | 2 | |||||||||||||
Refinancing Risk on Infrastructure Transactions [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | $ 2,900,000 | |||||||||||||
Expected Future Claims, Number Of Transactions Used In Estimated Claim | Transaction | 2 | |||||||||||||
Financial insurance guaranty, infrastructure finance, possible claims requiring payment, gross before reinsurance | $ 1,900,000 | |||||||||||||
Refinancing Risk on Infrastructure Transactions [Member] | Minimum [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Estimated years for recoveries of infrastructure transactions | 10 years | |||||||||||||
Refinancing Risk on Infrastructure Transactions [Member] | Maximum [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Estimated years for recoveries of infrastructure transactions | 35 years | |||||||||||||
Refinancing Risk on Infrastructure Transactions [Member] | Skyway Concession Company LLC [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Financial insurance guaranty, infrastructure finance, possible claims requiring payment, gross before reinsurance | $ 1,300,000 | |||||||||||||
Number Of Pension Plans In Purchase Agreement | pension_fund | 3 | |||||||||||||
Expected Future Claims, Financial Guaranty Contracts Pending Regulatory Approvals And Closing Conditions, Sales Price | $ 2,800,000 | |||||||||||||
First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Increase of expected losses from estimated impact of refinements in assumptions | 13,000 | $ 36,000 | 42,000 | |||||||||||
Number of delinquent payments | Payment | 2 | |||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | |||||||||||||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 12 months | |||||||||||||
Intermediate conditional default rate (as a percent) | 5.00% | |||||||||||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | |||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 232,000 | $ 0 | [6] | 232,000 | 569,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 595,000 | [1] | 348,000 | [1] | 595,000 | [1] | 620,000 | |||||||
Economic loss development after recoveries for R&W | 124,000 | 226,000 | ||||||||||||
First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Financing Receivable, Prime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 4,000 | [1] | (2,000) | [1] | 4,000 | [1] | 21,000 | |||||||
Economic loss development after recoveries for R&W | 1,000 | 16,000 | ||||||||||||
Net par amount outstanding | 471,000 | 445,000 | 471,000 | |||||||||||
First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Subprime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 303,000 | [1] | 251,000 | [1] | 303,000 | [1] | 304,000 | |||||||
Economic loss development after recoveries for R&W | (19,000) | 7,000 | ||||||||||||
Net par amount outstanding | 4,051,000 | 3,457,000 | 4,051,000 | |||||||||||
First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Option ARM [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | (16,000) | [1] | (28,000) | [1] | (16,000) | [1] | (9,000) | |||||||
Economic loss development after recoveries for R&W | 16,000 | 59,000 | ||||||||||||
Net par amount outstanding | 407,000 | 252,000 | 407,000 | |||||||||||
First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Alt-A [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 304,000 | [1] | 127,000 | [1] | 304,000 | [1] | 304,000 | |||||||
Economic loss development after recoveries for R&W | 126,000 | 144,000 | ||||||||||||
Net par amount outstanding | 2,532,000 | $ 1,353,000 | 2,532,000 | |||||||||||
First Lien [Member] | Base Scenario [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | |||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 12 months | |||||||||||||
Period of constant intermediate conditional default rate (in months) | 36 months | |||||||||||||
Intermediate conditional default rate as a percentage of plateau conditional default rate | 20.00% | |||||||||||||
Final conditional default rate as a percentage of plateau conditional default rate | 5.00% | |||||||||||||
Final conditional default rate, shortened term | 12 months | |||||||||||||
Period for which estimated defaults are attributed to loans currently delinquent or in foreclosure | 36 months | |||||||||||||
Projected loss assumptions, loss severity, subsequent period | 18 months | |||||||||||||
Estimated loss severity rate, one through six months (as a percent) | 18 months | |||||||||||||
Loss severity (as a percent) | 40.00% | |||||||||||||
Projected loss assumptions, period to reach final loss severity rate | 2 years 6 months | |||||||||||||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 7 years 6 months | |||||||||||||
Current conditional prepayment rate used in alternate scenario for loss estimate (as a percent) | 15.00% | |||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 42 months | |||||||||||||
Projected loss assumptions, period to reach final loss severity rate | 4 years 6 months | |||||||||||||
Increase in the plateau period used to calculate potential change in loss estimate (in months) | 6 months | |||||||||||||
Projected loss assumptions, prior period to reach final loss severity rate | 2 years 6 months | |||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Option Adjustable Rate Mortgage [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Loss severity (as a percent) | 45.00% | |||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Financing Receivable, Prime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 200 | |||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Subprime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Loss severity (as a percent) | 60.00% | |||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 46,000 | |||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Option ARM [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 5,000 | |||||||||||||
First Lien [Member] | Somewhat Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Alt-A [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Loss severity (as a percent) | 45.00% | |||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 12,000 | |||||||||||||
First Lien [Member] | More Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 15 months | |||||||||||||
Projected loss assumptions, period to reach final loss severity rate | 9 years | |||||||||||||
First Lien [Member] | More Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Financing Receivable, Prime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 1,000 | |||||||||||||
First Lien [Member] | More Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Subprime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | 64,000 | |||||||||||||
First Lien [Member] | More Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Option ARM [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | 9,000 | |||||||||||||
First Lien [Member] | More Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Alt-A [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | 31,000 | |||||||||||||
First Lien [Member] | Somewhat Less Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Financing Receivable, Prime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (14) | |||||||||||||
First Lien [Member] | Somewhat Less Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Subprime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (8,000) | |||||||||||||
First Lien [Member] | Somewhat Less Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Option ARM [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (15,000) | |||||||||||||
First Lien [Member] | Somewhat Less Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Alt-A [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ (1,000) | |||||||||||||
First Lien [Member] | Least Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 30 months | |||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 9 months | |||||||||||||
Decrease in the plateau period used to calculate potential change in loss estimate (in months) | 6 months | |||||||||||||
First Lien [Member] | Least Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Financing Receivable, Prime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ (200) | |||||||||||||
First Lien [Member] | Least Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Subprime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (34,000) | |||||||||||||
First Lien [Member] | Least Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Option ARM [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (25,000) | |||||||||||||
First Lien [Member] | Least Stressful Environment [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Alt-A [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | (12,000) | |||||||||||||
First Lien [Member] | Bank of America [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Collateral losses | 4,400,000 | |||||||||||||
First Lien [Member] | Bank of America [Member] | Base Scenario [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Collateral losses | 5,200,000 | |||||||||||||
First Lien [Member] | UBS [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Agreed reimbursement of R&W, percentage | 85.00% | |||||||||||||
Assets held under trust for reimbursement payment | 54,000 | |||||||||||||
First Lien [Member] | BIG [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Financing Receivable, Prime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 353,000 | 284,000 | 353,000 | |||||||||||
First Lien [Member] | BIG [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Subprime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 1,575,000 | 1,304,000 | 1,575,000 | |||||||||||
First Lien [Member] | BIG [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Option ARM [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 183,000 | 141,000 | 183,000 | |||||||||||
First Lien [Member] | BIG [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Alt-A [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | $ 1,841,000 | $ 793,000 | $ 1,841,000 | |||||||||||
Second Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Home equity lines of credit (HELOCs) [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Final CPR | 15.00% | 15.00% | ||||||||||||
Second Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Final CPR | 15.00% | |||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 28 months | 28 months | ||||||||||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | 3 | ||||||||||||
Period of loan default estimate | 5 months | |||||||||||||
Number of preceding months average liquidation rates used to estimate loan default rate | 6 months | |||||||||||||
Stress period (in months) | 34 months | |||||||||||||
Number of months of delinquent data | 5 months | |||||||||||||
Period of constant conditional default rate (in months) | 1 month | |||||||||||||
Loss recovery assumption (as a percent) | 10.00% | 2.00% | 10.00% | |||||||||||
Conditional prepayment rate base case, average number of quarters | quarter | 3 | |||||||||||||
Number of conditional default rate curves modeled in estimating losses | Curve | 5 | |||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | $ 85,000 | $ 79,000 | [6] | $ 85,000 | 143,000 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | (11,000) | [1] | 61,000 | [1] | (11,000) | [1] | $ (127,000) | |||||||
Economic loss development after recoveries for R&W | (42,000) | 42,000 | ||||||||||||
Net par amount outstanding | 1,956,000 | $ 1,560,000 | 1,956,000 | |||||||||||
Guarantor Obligations, Projected Loss Assumptions, Period Of Consistent Conditional Default Rate | 6 months | |||||||||||||
Second Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Home equity lines of credit (HELOCs) [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Final CPR | 10.00% | |||||||||||||
Second Lien [Member] | Base Scenario [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 28 months | |||||||||||||
Stress period (in months) | 34 months | |||||||||||||
Period of constant conditional default rate (in months) | 6 months | |||||||||||||
Second Lien [Member] | Base Scenario One [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 8 months | |||||||||||||
Period from plateau to intermediate conditional default rate (in months) | 31 months | |||||||||||||
Stress period (in months) | 39 months | |||||||||||||
Increase in conditional default rate ramp down period | 3 months | |||||||||||||
Second Lien [Member] | Base Scenario One [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Home equity lines of credit (HELOCs) [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Change in estimate for increased conditional default rate plateau period | $ 52,000 | |||||||||||||
Second Lien [Member] | Based Scenario Two [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Stress period (in months) | 29 months | |||||||||||||
Loss Estimate Sensitivity Analysis, Change In Estimate For Decreased Prepayment Rate, Percent | 10.00% | |||||||||||||
Period of constant conditional default rate (in months) | 4 months | |||||||||||||
Decreased conditional default rate ramp down period | 25 months | |||||||||||||
Second Lien [Member] | Based Scenario Two [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Home equity lines of credit (HELOCs) [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Change in estimate for decreased conditional default rate ramp down period | $ 28,000 | |||||||||||||
Second Lien [Member] | Bank of America [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Agreed reimbursement of R&W, percentage | 80.00% | |||||||||||||
Maximum loss up to which loss sharing percentage applicable | $ 6,600,000 | |||||||||||||
Second Lien [Member] | Bank of America [Member] | Base Scenario [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Assets held under trust for reimbursement payment | 543,000 | |||||||||||||
Second Lien [Member] | Guarantor Obligations, Group One [Member] | Deutsche Bank [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Maximum aggregate collateral losses up to which first layer of loss sharing will be applicable | 319,000 | $ 319,000 | ||||||||||||
Loss sharing percentage, first layer | 80.00% | |||||||||||||
Second Lien [Member] | Guarantor Obligations, Group Two [Member] | Deutsche Bank [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Maximum aggregate collateral losses up to which first layer of loss sharing will be applicable | $ 389,000 | |||||||||||||
Loss sharing percentage, first layer | 85.00% | |||||||||||||
Second Lien [Member] | Guarantor Obligations, Group Two [Member] | Deutsche Bank [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Maximum [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Maximum aggregate collateral losses up to which first layer of loss sharing will be applicable | $ 600,000 | |||||||||||||
Second Lien [Member] | BIG [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 1,691,000 | 1,451,000 | 1,691,000 | |||||||||||
Healthcare [Member] | Public Finance [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 15,000,000 | |||||||||||||
Healthcare [Member] | BIG [Member] | Public Finance [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 351,000 | |||||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | 73,000 | 38,000 | 73,000 | ||||||||||
Economic loss development after recoveries for R&W | [12] | 78,000 | 73,000 | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | XXX Life Insurance Transaction [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | 8,000 | 11,000 | 8,000 | ||||||||||
Economic loss development after recoveries for R&W | [12] | (5,000) | (6,000) | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Trust preferred securities (TruPS) [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | 22,000 | 5,000 | 22,000 | ||||||||||
Economic loss development after recoveries for R&W | [12] | 17,000 | 26,000 | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Student Loan [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | 0 | 0 | 0 | ||||||||||
Economic loss development after recoveries for R&W | [12] | 0 | 0 | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | 0 | 0 | 0 | ||||||||||
Economic loss development after recoveries for R&W | [12] | 5,000 | 2,000 | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | 0 | 0 | 0 | ||||||||||
Economic loss development after recoveries for R&W | [12] | 5,000 | 0 | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Other structured finance [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | (45,000) | (38,000) | (45,000) | ||||||||||
Economic loss development after recoveries for R&W | [12] | (13,000) | 7,000 | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | 69,000 | 34,000 | 69,000 | ||||||||||
Economic loss development after recoveries for R&W | [12] | 78,000 | 70,000 | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Financing Receivable, Prime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | 2,000 | (4,000) | 2,000 | ||||||||||
Economic loss development after recoveries for R&W | [12] | 1,000 | 16,000 | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Subprime [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | 69,000 | 39,000 | 69,000 | ||||||||||
Economic loss development after recoveries for R&W | [12] | 1,000 | (2,000) | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Option ARM [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | (1,000) | (1,000) | (1,000) | ||||||||||
Economic loss development after recoveries for R&W | [12] | (1,000) | 12,000 | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | Alt-A [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [11] | (1,000) | 0 | (1,000) | ||||||||||
Economic loss development after recoveries for R&W | [12] | 77,000 | 44,000 | |||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Second Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 4,000 | 4,000 | 4,000 | |||||||||||
Economic loss development after recoveries for R&W | 0 | $ 3,000 | ||||||||||||
Southern District of Mississippi Vs Madison County, Mississippi [Member] | Parkway East [Member] | Public Finance [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | $ 21,000 | |||||||||||||
Remaining principle amount after tender offer | 2 years | |||||||||||||
Other Assets [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Investment Building and Building Improvements | $ 29,000 | |||||||||||||
Radian [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | 10,900,000 | |||||||||||||
Radian [Member] | Public Finance [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 81,000 | |||||||||||||
Radian [Member] | Other structured finance [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 101,000 | |||||||||||||
Radian [Member] | Healthcare [Member] | BIG [Member] | Public Finance [Member] | United States [Member] | ||||||||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||||||||
Net par amount outstanding | $ 242,000 | |||||||||||||
[1] | Includes expected LAE to be paid of $12 million as of December 31, 2015 and $16 million as of December 31, 2014. | |||||||||||||
[2] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. | |||||||||||||
[3] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | |||||||||||||
[4] | The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. | |||||||||||||
[5] | As of December 31, 2015, the Company's Puerto Rico net exposures increased due to (1) net par of $385 million acquired in the Radian Asset Acquisition, of which $21 million was of PREPA and $166 million of PRHTA, and (2) a commutation of previously ceded Puerto Rico exposures. | |||||||||||||
[6] | See the section "Breaches of Representations and Warranties" below for eligible assets held in trust. | |||||||||||||
[7] | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. | |||||||||||||
[8] | Represents variables for most heavily weighted scenario (the “base case”). | |||||||||||||
[9] | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. | |||||||||||||
[10] | Represents variables for most heavily weighted scenario (the “base case”). | |||||||||||||
[11] | Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. | |||||||||||||
[12] | Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Financial Guaranty Insurance -
Financial Guaranty Insurance - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | |||
Guarantor Obligations [Line Items] | ||||
Financial guaranty insurance expected LAE reserve, amount | $ 10 | $ 12 | ||
Net par amount outstanding | 358,571 | [1],[2] | $ 403,729 | [3] |
Guaranteed investment contract, aggregate accreted balance | 1,800 | |||
Assets of GIC issuers, aggregate market value | $ 800 | |||
Variable Rate Demand Obligation [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Rate basis for bank bond rate | prime rate | |||
Minimum [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 0.00% | 0.00% | ||
Minimum [Member] | Variable Rate Demand Obligation [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Bank bond rate (as a percent) | 2.00% | |||
Threshold period of bonds held by bank for right of accelerated repayment (in days) | 90 days | |||
Maximum [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 3.25% | 2.95% | ||
Maximum [Member] | Variable Rate Demand Obligation [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Bank bond rate (as a percent) | 3.00% | |||
Bank bond capped rate (as a percent) | 25.00% | |||
Threshold period of bonds held by bank for right of accelerated repayment (in days) | 180 days | |||
Cash [Member] | Minimum [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Collateralization as a percentage of GIC balance | 100.00% | |||
Asset-backed Securities [Member] | Maximum [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Collateralization as a percentage of GIC balance | 108.00% | |||
Termination of Swap Obligation due to Rating Downgrade [Member] | AGM [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Maximum possible estimated termination payment on swap obligations after taking account the rating downgrade in January 2013 | $ 150 | |||
Termination of Swap Obligation due to Further Rating Downgrade [Member] | AGM [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Maximum possible estimated termination payment on swap obligations after taking account the rating downgrade in January 2013 | 377 | |||
Variable Rate Demand Obligation [Member] | AGM and AGC [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Net par amount outstanding | 5,700 | |||
Internal Credit, B Minus Rating [Member] | Variable Rate Demand Obligation [Member] | AGM and AGC [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Net par amount outstanding | $ 300 | |||
Foreign Currency Concentration Risk [Member] | Premiums Receivable [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 52.00% | 51.00% | ||
[1] | Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG. | |||
[2] | The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset. | |||
[3] | Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily BIG. |
Financial Guaranty Insurance 76
Financial Guaranty Insurance - Net Earned Premiums (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||||
Financial Guarantee Insurance Premiums [Line Items] | |||||||||||||||
Scheduled net earned premiums | $ 416 | $ 415 | $ 470 | ||||||||||||
Acceleration of net earned premiums (1) | [1] | 331 | 136 | 263 | |||||||||||
Accretion of discount on net premiums receivable | 17 | 16 | 17 | ||||||||||||
Financial guaranty insurance net earned premiums | 764 | 567 | 750 | ||||||||||||
Other | 2 | 3 | 2 | ||||||||||||
Net | $ 192 | $ 213 | $ 219 | $ 142 | $ 158 | $ 144 | $ 136 | $ 132 | 766 | [2] | 570 | [2] | 752 | [2] | |
Variable Interest Entity, Primary Beneficiary [Member] | |||||||||||||||
Financial Guarantee Insurance Premiums [Line Items] | |||||||||||||||
Net | $ 21 | $ 32 | $ 60 | ||||||||||||
[1] | Reflects the unscheduled refunding or termination of the insurance on an insured obligation as well as changes in scheduled earnings due to changes in the expected lives of the insured obligations. | ||||||||||||||
[2] | Excludes $21 million, $32 million and $60 million for the year ended December 31, 2015, 2014 and 2013, respectively, related to consolidated FG VIEs. |
Financial Guaranty Insurance 77
Financial Guaranty Insurance - Components of Unearned Premium Reserve (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |
Financial Guarantee Insurance Premiums [Line Items] | |||
Deferred premium revenue, gross | $ 4,008 | $ 4,167 | |
Deferred premium revenue, ceded | 238 | 387 | |
Deferred premium revenue, net | [1] | 3,770 | 3,780 |
Contra-paid, gross | [2] | (12) | 94 |
Contra-paid, ceded | [2] | (6) | (6) |
Contra-paid, net | [1],[2] | (6) | 100 |
Unearned premium reserve, gross | 3,996 | 4,261 | |
Unearned premium reserve, ceded | 232 | 381 | |
Unearned premium reserve, net | [1] | 3,764 | 3,880 |
Total net unearned premium reserve related to FG VIE | 110 | 125 | |
Contra-paid related to FG VIE | 30 | $ 42 | |
Financial Guarantee Insurance Product Line [Member] | |||
Financial Guarantee Insurance Premiums [Line Items] | |||
Deferred premium revenue, net | [3] | $ 3,770 | |
[1] | Excludes $110 million and $125 million of deferred premium revenue and $30 million and $42 million of contra-paid related to FG VIEs as of December 31, 2015 and December 31, 2014, respectively. | ||
[2] | See "Financial Guaranty Insurance Losses – Insurance Contracts' Loss Information" below for an explanation of "contra-paid". | ||
[3] | Excludes scheduled net earned premiums on consolidated FG VIEs of $110 million. |
Financial Guaranty Insurance 78
Financial Guaranty Insurance - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | |||
Beginning of period | $ 729 | $ 876 | $ 1,005 |
Premiums receivable acquired in Radian Asset Acquisition on April 1, 2015 | 2 | 0 | 0 |
Gross premium written, net of commissions on assumed business | 198 | 171 | 145 |
Gross premiums received, net of commissions on assumed business | (206) | (230) | (259) |
Adjustments: | |||
Changes in the expected term | (19) | (66) | (28) |
Accretion of discount, net of commissions on assumed business | 18 | 10 | 20 |
Foreign exchange translation | (25) | (31) | (1) |
Consolidation/deconsolidation of FG VIEs | (4) | (1) | 0 |
End of period | 693 | 729 | 876 |
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Adjustments: | |||
Other adjustments | 0 | 0 | (6) |
Variable Interest Entity, Primary Beneficiary [Member] | |||
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | |||
Beginning of period | 19 | 21 | |
Adjustments: | |||
End of period | $ 17 | $ 19 | $ 21 |
Financial Guaranty Insurance 79
Financial Guaranty Insurance - Expected Collections of Gross Premiums Receivable Net of Commissions on Assumed Business (Details) $ in Millions | Dec. 31, 2015USD ($) | |
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
2016 (January 1 – March 31) | $ 34 | |
2016 (April 1 – June 30) | 23 | |
2016 (July 1 – September 30) | 18 | |
2016 (October 1 – December 31) | 17 | |
2,017 | 67 | |
2,018 | 61 | |
2,019 | 57 | |
2,020 | 56 | |
2021-2025 | 226 | |
2026-2030 | 147 | |
2031-2035 | 103 | |
After 2,035 | 84 | |
Total | 893 | [1] |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
Cash collections on FG VIEs | $ 22 | |
[1] | Excludes expected cash collections on FG VIEs of $22 million. |
Financial Guaranty Insurance 80
Financial Guaranty Insurance - Scheduled Net Earned Premiums Insurance Contracts (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |
Financial Guarantee Insurance Premiums [Line Items] | |||
Deferred premium revenue, net | [1] | $ 3,770 | $ 3,780 |
Financial Guarantee Insurance Product Line [Member] | |||
Financial Guarantee Insurance Premiums [Line Items] | |||
2016 (January 1 – March 31) | 100 | ||
2016 (April 1 – June 30) | 97 | ||
2016 (July 1 – September 30) | 93 | ||
2016 (October 1 – December 31) | 91 | ||
Subtotal 2,016 | 381 | ||
2,017 | 332 | ||
2,018 | 298 | ||
2,019 | 272 | ||
2,020 | 250 | ||
2021-2025 | 977 | ||
2026-2030 | 616 | ||
2031-2035 | 363 | ||
After 2,035 | 281 | ||
Deferred premium revenue, net | [2] | 3,770 | |
Future accretion | 186 | ||
Total future net earned premiums | 3,956 | ||
Variable Interest Entity, Primary Beneficiary [Member] | |||
Financial Guarantee Insurance Premiums [Line Items] | |||
Deferred premium revenue, net | $ 110 | ||
[1] | Excludes $110 million and $125 million of deferred premium revenue and $30 million and $42 million of contra-paid related to FG VIEs as of December 31, 2015 and December 31, 2014, respectively. | ||
[2] | Excludes scheduled net earned premiums on consolidated FG VIEs of $110 million. |
Financial Guaranty Insurance 81
Financial Guaranty Insurance - Selected Information for Policies Paid In Installments (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commission payable | $ 693 | $ 729 | $ 876 | $ 1,005 |
Financial Guarantee Policies Paid in Installments [Member] | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commission payable | 693 | 729 | ||
Gross deferred premium revenue | $ 1,240 | $ 1,370 | ||
Weighted-average risk-free rate used to discount premiums (as a percent) | 3.10% | 3.50% | ||
Weighted-average period of premiums receivable (in years) | 9 years 4 months 24 days | 9 years 4 months 24 days |
Financial Guaranty Insurance 82
Financial Guaranty Insurance - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | [1] | $ 998 | $ 721 |
Salvage and Subrogation Recoverable, net | [1] | 126 | 154 |
Net Reserve (Recoverable) | [1] | 872 | 567 |
Financial Guarantee Insurance And Other Product Line [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 982 | ||
Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 1,072 | 801 | |
Salvage and Subrogation Recoverable, net | 126 | 155 | |
Net Reserve (Recoverable) | 946 | 646 | |
Financial Guarantee Insurance And Other Product Line [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | (74) | (80) | |
Salvage and Subrogation Recoverable, net | 0 | (1) | |
Net Reserve (Recoverable) | (74) | (79) | |
XXX Life Insurance Transaction [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 82 | 140 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 82 | 140 | |
Trust preferred securities (TruPS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 0 | 0 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 0 | 0 | |
Student Loan [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 51 | 64 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 51 | 64 | |
Other structured finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 48 | 34 | |
Salvage and Subrogation Recoverable, net | 0 | 8 | |
Net Reserve (Recoverable) | 48 | 26 | |
Structured Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 443 | 528 | |
Salvage and Subrogation Recoverable, net | 116 | 134 | |
Net Reserve (Recoverable) | 327 | 394 | |
Financial Guarantee [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 1,072 | 801 | |
Salvage and Subrogation Recoverable, net | 123 | 142 | |
Net Reserve (Recoverable) | 949 | 659 | |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 629 | 273 | |
Salvage and Subrogation Recoverable, net | 7 | 8 | |
Net Reserve (Recoverable) | 622 | 265 | |
Other [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 0 | 0 | |
Salvage and Subrogation Recoverable, net | 3 | 13 | |
Net Reserve (Recoverable) | (3) | (13) | |
United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 262 | 290 | |
Salvage and Subrogation Recoverable, net | 116 | 126 | |
Net Reserve (Recoverable) | 146 | 164 | |
United States [Member] | Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 604 | 243 | |
Salvage and Subrogation Recoverable, net | 7 | 8 | |
Net Reserve (Recoverable) | 597 | 235 | |
Non United States [Member] | Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 25 | 30 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 25 | 30 | |
First Lien [Member] | United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 230 | 283 | |
Salvage and Subrogation Recoverable, net | 63 | 48 | |
Net Reserve (Recoverable) | 167 | 235 | |
Second Lien [Member] | United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 32 | 7 | |
Salvage and Subrogation Recoverable, net | 53 | 78 | |
Net Reserve (Recoverable) | (21) | (71) | |
Financing Receivable, Prime [Member] | First Lien [Member] | United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 2 | 2 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 2 | 2 | |
Alt-A [Member] | First Lien [Member] | United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 46 | 87 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 46 | 87 | |
Option ARM [Member] | First Lien [Member] | United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 13 | 28 | |
Salvage and Subrogation Recoverable, net | 42 | 40 | |
Net Reserve (Recoverable) | (29) | (12) | |
Subprime [Member] | First Lien [Member] | United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | 169 | 166 | |
Salvage and Subrogation Recoverable, net | 21 | 8 | |
Net Reserve (Recoverable) | $ 148 | $ 158 | |
[1] | See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. |
Financial Guaranty Insurance 83
Financial Guaranty Insurance - Components of Net Reserves (Salvage) Insurance Contracts (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |
Insurance [Abstract] | |||
Loss and LAE reserve | $ 1,067 | $ 799 | |
Reinsurance recoverable on unpaid losses | (69) | (78) | |
Loss and LAE reserve, net | [1] | 998 | 721 |
Salvage and subrogation recoverable | (126) | (151) | |
Salvage and subrogation payable | [2] | 3 | 10 |
Other recoverables | (3) | (13) | |
Salvage and subrogation recoverable, net, and other recoverable | (126) | (154) | |
Net reserves (salvage) | $ 872 | $ 567 | |
[1] | See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. | ||
[2] | Recorded as a component of reinsurance balances payable. |
Financial Guaranty Insurance 84
Financial Guaranty Insurance - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be paid after recoveries for R&W | $ 1,391 | [1] | $ 1,169 | [1] | $ 982 | |
Contra-paid, net | [2],[3] | 6 | (100) | |||
Loss and LAE reserve, net of reinsurance | [4] | (998) | (721) | |||
Other recoveries | 3 | 13 | ||||
Net expected loss to be expensed (present value) | 387 | |||||
Variable Interest Entity, Primary Beneficiary [Member] | ||||||
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be expensed (present value) | 77 | |||||
Financial Guarantee Insurance And Other Product Line [Member] | ||||||
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be paid after recoveries for R&W | 1,239 | |||||
Contra-paid, net | 5 | |||||
Salvage and subrogation recoverable, net of reinsurance | 123 | |||||
Loss and LAE reserve, net of reinsurance | (982) | |||||
Other recoveries | 2 | |||||
Net expected loss to be expensed (present value) | [5] | 387 | ||||
Financial Guarantee Insurance And Other Product Line [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||||||
Guarantor Obligations [Line Items] | ||||||
Loss and LAE reserve, net of reinsurance | 74 | 80 | ||||
Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||||||
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be paid after recoveries for R&W | 1,375 | |||||
Loss and LAE reserve, net of reinsurance | (1,072) | $ (801) | ||||
Financial Guarantee Insurance And Other Product Line [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||||||
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be paid after recoveries for R&W | $ 136 | |||||
[1] | Includes expected LAE to be paid of $12 million as of December 31, 2015 and $16 million as of December 31, 2014. | |||||
[2] | Excludes $110 million and $125 million of deferred premium revenue and $30 million and $42 million of contra-paid related to FG VIEs as of December 31, 2015 and December 31, 2014, respectively. | |||||
[3] | See "Financial Guaranty Insurance Losses – Insurance Contracts' Loss Information" below for an explanation of "contra-paid". | |||||
[4] | See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. | |||||
[5] | Excludes $77 million as of December 31, 2015 related to consolidated FG VIEs. |
Financial Guaranty Insurance 85
Financial Guaranty Insurance - Net Expected Loss to be Expensed Insurance Contracts (Details) $ in Millions | Dec. 31, 2015USD ($) |
Insurance [Abstract] | |
2016 (January 1 – March 31) | $ 12 |
2016 (April 1 – June 30) | 10 |
2016 (July 1 – September 30) | 8 |
2016 (October 1 – December 31) | 8 |
Subtotal 2,016 | 38 |
2,017 | 31 |
2,018 | 30 |
2,019 | 29 |
2,020 | 27 |
2021-2025 | 102 |
2026-2030 | 70 |
2031-2035 | 41 |
After 2,035 | 19 |
Net expected loss to be expensed | 387 |
Discount | 286 |
Total expected future loss and LAE | $ 673 |
Financial Guaranty Insurance 86
Financial Guaranty Insurance - Loss and LAE Reported on the Statements of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | $ 106 | $ 112 | $ 188 | $ 18 | $ 72 | $ (44) | $ 57 | $ 41 | $ 424 | $ 126 | $ 154 |
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | 452 | 156 | 175 | ||||||||
Variable Interest Entity, Primary Beneficiary [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | (28) | (30) | (21) | ||||||||
Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | United States [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | 54 | (129) | (4) | ||||||||
XXX Life Insurance Transaction [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | 16 | 85 | (44) | ||||||||
Trust preferred securities (TruPS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | (1) | (1) | (1) | ||||||||
Student Loan [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | (9) | 17 | 10 | ||||||||
Other structured finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | (1) | (7) | 0 | ||||||||
Structured Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | 59 | (35) | (39) | ||||||||
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | 393 | 191 | 214 | ||||||||
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | United States [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | 392 | 192 | 198 | ||||||||
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | Non United States [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | 1 | (1) | 16 | ||||||||
First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | United States [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | (6) | (96) | 31 | ||||||||
Second Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | United States [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | 60 | (33) | (35) | ||||||||
Financing Receivable, Prime [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | United States [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | (1) | (1) | 1 | ||||||||
Alt-A [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | United States [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | (23) | (66) | (2) | ||||||||
Option ARM [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | United States [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | (15) | (37) | (48) | ||||||||
Subprime [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | United States [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | $ 33 | $ 8 | $ 80 |
Financial Guaranty Insurance 87
Financial Guaranty Insurance - BIG Transaction Loss Summary (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015USD ($)risk | Dec. 31, 2014USD ($)risk | ||
Discount | |||
Total | $ (286) | ||
Reserves (salvage) | |||
Total | $ 872 | $ 567 | |
BIG [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1] | 419 | 358 |
Remaining weighted average contract period | |||
Total (in years) | 10 years 8 months 4 days | 10 years 3 months 18 days | |
Principal | |||
Total | $ 13,574 | $ 15,222 | |
Interest | |||
Total | 7,419 | 7,651 | |
Total net outstanding exposure | |||
Total | [2] | 20,993 | 22,873 |
Expected cash outflows (inflows) | |||
Total | 2,510 | 3,118 | |
Potential recoveries | |||
Total, Undiscounted R&W | (54) | (239) | |
Total, Other | [3] | (931) | (1,477) |
Total | (985) | (1,716) | |
Subtotal | |||
Total | 1,525 | 1,402 | |
Discount | |||
Total | (286) | (413) | |
Present value of expected cash flows | |||
Net expected loss to be paid | 1,239 | 989 | |
Deferred premium revenue | |||
Total | 734 | 584 | |
Reserves (salvage) | |||
Total | $ 857 | $ 571 | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1] | 419 | 358 |
Remaining weighted average contract period | |||
Total (in years) | 10 years 8 months 4 days | 10 years 3 months 18 days | |
Principal | |||
Total | $ 13,574 | $ 15,222 | |
Interest | |||
Total | 7,419 | 7,651 | |
Total net outstanding exposure | |||
Total | [2] | 20,993 | 22,873 |
Expected cash outflows (inflows) | |||
Total | 2,853 | 3,463 | |
Potential recoveries | |||
Total, Undiscounted R&W | (61) | (247) | |
Total, Other | [3] | (1,106) | (1,654) |
Total | (1,167) | (1,901) | |
Subtotal | |||
Total | 1,686 | 1,562 | |
Discount | |||
Total | (327) | (447) | |
Present value of expected cash flows | |||
Net expected loss to be paid | 1,359 | 1,115 | |
Deferred premium revenue | |||
Total | 834 | 700 | |
Reserves (salvage) | |||
Total | $ 931 | $ 650 | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 1 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [1] | (46) | (59) |
Total (in contracts) | risk | [1] | 202 | 164 |
Remaining weighted average contract period | |||
Gross (in years) | 10 years | 9 years 10 months 24 days | |
Ceded (in years) | 8 years 8 months 4 days | 7 years 4 months 24 days | |
Principal | |||
Gross | $ 7,751 | $ 12,358 | |
Ceded | (732) | (2,163) | |
Interest | |||
Gross | 4,109 | 6,350 | |
Ceded | (354) | (838) | |
Total net outstanding exposure | |||
Gross | [2] | 11,860 | 18,708 |
Ceded | [2] | (1,086) | (3,001) |
Expected cash outflows (inflows) | |||
Gross | 386 | 1,762 | |
Ceded | (42) | (626) | |
Total | 105 | 39 | |
Potential recoveries | |||
Gross, Undiscounted R&W | 69 | (39) | |
Ceded, Undiscounted R&W | (2) | 0 | |
Gross, Other | [3] | (441) | (1,687) |
Ceded, Other | [3] | 14 | 608 |
Gross | (372) | (1,726) | |
Ceded | 12 | 608 | |
Subtotal | |||
Gross | 14 | 36 | |
Ceded | (30) | (18) | |
Discount | |||
Gross | 91 | 3 | |
Ceded | 3 | 0 | |
Present value of expected cash flows | |||
Ceded | (27) | (18) | |
Deferred premium revenue | |||
Gross | 371 | 378 | |
Ceded | (37) | (70) | |
Reserves (salvage) | |||
Gross | 2 | (42) | |
Ceded | $ (19) | $ (5) | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 2 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [1] | (13) | (15) |
Total (in contracts) | risk | [1] | 85 | 75 |
Remaining weighted average contract period | |||
Gross (in years) | 13 years 9 months 6 days | 10 years 1 month 6 days | |
Ceded (in years) | 9 years 6 months | 8 years 10 months 24 days | |
Principal | |||
Gross | $ 3,895 | $ 2,421 | |
Ceded | (240) | (286) | |
Interest | |||
Gross | 2,805 | 1,274 | |
Ceded | (110) | (121) | |
Total net outstanding exposure | |||
Gross | [2] | 6,700 | 3,695 |
Ceded | [2] | (350) | (407) |
Expected cash outflows (inflows) | |||
Gross | 1,158 | 763 | |
Ceded | (60) | (77) | |
Total | 705 | 392 | |
Potential recoveries | |||
Gross, Undiscounted R&W | (49) | (48) | |
Ceded, Undiscounted R&W | 1 | 2 | |
Gross, Other | [3] | (118) | (206) |
Ceded, Other | [3] | 7 | 5 |
Gross | (167) | (254) | |
Ceded | 8 | 7 | |
Subtotal | |||
Gross | 991 | 509 | |
Ceded | (52) | (70) | |
Discount | |||
Gross | (286) | (117) | |
Ceded | 12 | 11 | |
Present value of expected cash flows | |||
Ceded | (40) | (59) | |
Deferred premium revenue | |||
Gross | 150 | 119 | |
Ceded | (4) | (6) | |
Reserves (salvage) | |||
Gross | 591 | 278 | |
Ceded | $ (38) | $ (53) | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 3 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [1] | (44) | (38) |
Total (in contracts) | risk | [1] | 132 | 119 |
Remaining weighted average contract period | |||
Gross (in years) | 7 years 8 months 4 days | 9 years 7 months 6 days | |
Ceded (in years) | 5 years 10 months 8 days | 6 years 10 months 24 days | |
Principal | |||
Gross | $ 3,087 | $ 3,067 | |
Ceded | (187) | (175) | |
Interest | |||
Gross | 1,011 | 1,034 | |
Ceded | (42) | (48) | |
Total net outstanding exposure | |||
Gross | [2] | 4,098 | 4,101 |
Ceded | [2] | (229) | (223) |
Expected cash outflows (inflows) | |||
Gross | 1,464 | 1,716 | |
Ceded | (53) | (75) | |
Total | 734 | 788 | |
Potential recoveries | |||
Gross, Undiscounted R&W | (85) | (171) | |
Ceded, Undiscounted R&W | 5 | 9 | |
Gross, Other | [3] | (587) | (404) |
Ceded, Other | [3] | 19 | 30 |
Gross | (672) | (575) | |
Ceded | 24 | 39 | |
Subtotal | |||
Gross | 792 | 1,141 | |
Ceded | (29) | (36) | |
Discount | |||
Gross | (58) | (353) | |
Ceded | (89) | 9 | |
Present value of expected cash flows | |||
Ceded | (118) | (27) | |
Deferred premium revenue | |||
Gross | 386 | 312 | |
Ceded | (32) | (33) | |
Reserves (salvage) | |||
Gross | 404 | 482 | |
Ceded | (9) | (10) | |
BIG [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Expected cash outflows (inflows) | |||
Total | (343) | (345) | |
Potential recoveries | |||
Total, Undiscounted R&W | 7 | 8 | |
Total, Other | [3] | 175 | 177 |
Total | 182 | 185 | |
Subtotal | |||
Total | (161) | (160) | |
Discount | |||
Total | 41 | 34 | |
Present value of expected cash flows | |||
Net expected loss to be paid | (120) | (126) | |
Deferred premium revenue | |||
Total | (100) | (116) | |
Reserves (salvage) | |||
Total | $ (74) | $ (79) | |
[1] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. | ||
[2] | Includes BIG amounts related to FG VIEs. | ||
[3] | Includes excess spread and draws on HELOCs. |
Financial Guaranty Insurance 88
Financial Guaranty Insurance - Deferred Acquisition Costs (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Movement Analysis of Deferred Policy Acquisition Costs [Roll Forward] | |||
Beginning of period | $ 121 | $ 124 | $ 116 |
DAC adjustments related to Radian Asset Acquisition on April 1, 2015 | 1 | 0 | 0 |
Costs deferred during the period: | |||
Commissions on assumed and ceded business | (1) | 7 | 9 |
Premium taxes | 2 | 3 | 4 |
Compensation and other acquisition costs | 11 | 10 | 8 |
Total costs deferred | 12 | 20 | 21 |
Costs amortized during the period | 20 | (23) | (13) |
End of period | $ 114 | $ 121 | $ 124 |
Fair Value Measurement - Measur
Fair Value Measurement - Measured and Carried at Fair Value (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015USD ($)sourceSecurity | Dec. 31, 2014USD ($) | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Percentage of CDS contracts which are fair valued using minimum premium | 20.00% | 21.00% | |
CDS contracts [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Gross spread percentage | [1] | 100.00% | 100.00% |
Number of sources of credit spread | source | 3 | ||
Based on actual collateral specific spreads [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Gross spread percentage | [1] | 13.00% | 9.00% |
Based on market indices [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Gross spread percentage | [1] | 73.00% | 82.00% |
Provided by the CDS counterparty [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Gross spread percentage | [1] | 14.00% | 9.00% |
Scenario 1 [Member] | CDS contracts [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Bank profit as % of total | 62.00% | ||
Hedge cost as % of total | 16.00% | ||
Premium received per annum as % of total | 22.00% | ||
Original gross spread/cash bond price (as a percent) | 1.85% | ||
Bank profit (as a percent) | 1.15% | ||
Hedge cost (as a percent) | 0.30% | ||
The Company premium received per annum (as a percent) | 0.40% | ||
Scenario 1 [Member] | CDS contracts [Member] | AGC [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Original gross spread/cash bond price (as a percent) | 3.00% | ||
Percentage of exposure hedged | 10.00% | ||
Scenario 2 [Member] | CDS contracts [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Bank profit as % of total | 10.00% | ||
Hedge cost as % of total | 88.00% | ||
Premium received per annum as % of total | 2.00% | ||
Original gross spread/cash bond price (as a percent) | 5.00% | ||
Bank profit (as a percent) | 0.50% | ||
Hedge cost (as a percent) | 4.40% | ||
The Company premium received per annum (as a percent) | 0.10% | ||
Scenario 2 [Member] | CDS contracts [Member] | AGC [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Original gross spread/cash bond price (as a percent) | 17.60% | ||
Percentage of exposure hedged | 25.00% | ||
Recurring [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Other invested assets | $ 53 | $ 95 | |
Recurring [Member] | Level 3 [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Number of fixed maturity securities valued using model processes | Security | 38 | ||
Fixed maturity securities | $ 1,144 | ||
Recurring [Member] | Level 3 [Member] | CDS contracts [Member] | Minimum [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Discount factor (as a percent) | 0.44% | 0.26% | |
Recurring [Member] | Level 3 [Member] | CDS contracts [Member] | Maximum [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Discount factor (as a percent) | 2.51% | 2.70% | |
Available-for-Sale Debt Securities and Short Term Investments [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Percentage of fixed maturity securities valued using model processes to the Company's fixed-income securities and short-term investments at fair value | 10.40% | ||
[1] | Based on par. |
Fair Value Measurement - Financ
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | ||
Assets: | ||||
Fixed-maturity securities | $ 11,023 | $ 11,258 | ||
Other invested assets | 169 | 126 | ||
Other invested assets | 93 | |||
Credit derivative assets | 81 | 68 | ||
Liabilities: | ||||
Credit derivative liabilities | 446 | 963 | ||
Investment funds measured using Net Asset Value excluded from fair value hierarchy | 45 | 76 | ||
Recurring [Member] | ||||
Assets: | ||||
Other invested assets | [1] | 12 | 24 | |
Credit derivative assets | 81 | 68 | ||
FG VIEs’ assets, at fair value | 1,261 | 1,398 | [2] | |
Other assets | 106 | 78 | ||
Total assets carried at fair value | 12,483 | 12,826 | ||
Liabilities: | ||||
Credit derivative liabilities | 446 | 963 | ||
FG VIEs’ liabilities with recourse, at fair value | 1,225 | 1,277 | ||
FG VIEs’ liabilities without recourse, at fair value | 124 | 142 | ||
Total liabilities carried at fair value | 1,795 | 2,382 | ||
Recurring [Member] | Level 1 [Member] | ||||
Assets: | ||||
Other invested assets | [1] | 0 | 0 | |
Credit derivative assets | 0 | 0 | ||
FG VIEs’ assets, at fair value | 0 | 0 | [2] | |
Other assets | 23 | 26 | ||
Total assets carried at fair value | 328 | 385 | ||
Liabilities: | ||||
Credit derivative liabilities | 0 | 0 | ||
FG VIEs’ liabilities with recourse, at fair value | 0 | 0 | ||
FG VIEs’ liabilities without recourse, at fair value | 0 | 0 | ||
Total liabilities carried at fair value | 0 | 0 | ||
Recurring [Member] | Level 2 [Member] | ||||
Assets: | ||||
Other invested assets | [1] | 5 | 17 | |
Credit derivative assets | 0 | 0 | ||
FG VIEs’ assets, at fair value | 0 | 0 | [2] | |
Other assets | 21 | 17 | ||
Total assets carried at fair value | 9,600 | 10,163 | ||
Liabilities: | ||||
Credit derivative liabilities | 0 | 0 | ||
FG VIEs’ liabilities with recourse, at fair value | 0 | 0 | ||
FG VIEs’ liabilities without recourse, at fair value | 0 | 0 | ||
Total liabilities carried at fair value | 0 | 0 | ||
Recurring [Member] | Level 3 [Member] | ||||
Assets: | ||||
Other invested assets | [1] | 7 | 7 | |
Credit derivative assets | 81 | 68 | ||
FG VIEs’ assets, at fair value | 1,261 | 1,398 | [2] | |
Other assets | 62 | 35 | ||
Total assets carried at fair value | 2,555 | 2,278 | ||
Liabilities: | ||||
Credit derivative liabilities | 446 | 963 | ||
FG VIEs’ liabilities with recourse, at fair value | 1,225 | 1,277 | ||
FG VIEs’ liabilities without recourse, at fair value | 124 | 142 | ||
Total liabilities carried at fair value | 1,795 | 2,382 | ||
Fixed Maturities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 10,627 | 10,491 | ||
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 5,841 | 5,795 | ||
Fixed Maturities [Member] | US Treasury and Government [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 400 | 665 | ||
Fixed Maturities [Member] | Corporate securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 1,520 | 1,368 | ||
Fixed Maturities [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Assets: | ||||
Fixed-maturity securities | [3] | 1,245 | 1,285 | |
Fixed Maturities [Member] | Commercial Mortgage Backed Securities (CMBS) [Member] | ||||
Assets: | ||||
Fixed-maturity securities | [3] | 513 | 659 | |
Fixed Maturities [Member] | Asset-backed Securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 825 | 417 | ||
Fixed Maturities [Member] | Foreign government securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 283 | 302 | ||
Fixed Maturities [Member] | Recurring [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 10,627 | 10,491 | ||
Fixed Maturities [Member] | Recurring [Member] | Obligations of state and political subdivisions [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 5,841 | 5,795 | ||
Fixed Maturities [Member] | Recurring [Member] | US Treasury and Government [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 400 | 665 | ||
Fixed Maturities [Member] | Recurring [Member] | Corporate securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 1,520 | 1,368 | ||
Fixed Maturities [Member] | Recurring [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 1,245 | 1,285 | ||
Fixed Maturities [Member] | Recurring [Member] | Commercial Mortgage Backed Securities (CMBS) [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 513 | 659 | ||
Fixed Maturities [Member] | Recurring [Member] | Asset-backed Securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 825 | 417 | ||
Fixed Maturities [Member] | Recurring [Member] | Foreign government securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 283 | 302 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 0 | 0 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | Obligations of state and political subdivisions [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 0 | 0 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | US Treasury and Government [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 0 | 0 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | Corporate securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 0 | 0 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 0 | 0 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | Commercial Mortgage Backed Securities (CMBS) [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 0 | 0 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | Asset-backed Securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 0 | 0 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | Foreign government securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 0 | 0 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 9,543 | 9,721 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Obligations of state and political subdivisions [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 5,833 | 5,757 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | US Treasury and Government [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 400 | 665 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Corporate securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 1,449 | 1,289 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 897 | 860 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Commercial Mortgage Backed Securities (CMBS) [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 513 | 659 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Asset-backed Securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 168 | 189 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Foreign government securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 283 | 302 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 1,084 | 770 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Obligations of state and political subdivisions [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 8 | 38 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | US Treasury and Government [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 0 | 0 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Corporate securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 71 | 79 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 348 | 425 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Commercial Mortgage Backed Securities (CMBS) [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 0 | 0 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Asset-backed Securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 657 | 228 | ||
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Foreign government securities [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 0 | 0 | ||
Short-term Investments [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 396 | 767 | ||
Short-term Investments [Member] | Recurring [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 396 | 767 | ||
Short-term Investments [Member] | Recurring [Member] | Level 1 [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 305 | 359 | ||
Short-term Investments [Member] | Recurring [Member] | Level 2 [Member] | ||||
Assets: | ||||
Fixed-maturity securities | 31 | 408 | ||
Short-term Investments [Member] | Recurring [Member] | Level 3 [Member] | ||||
Assets: | ||||
Fixed-maturity securities | $ 60 | $ 0 | ||
[1] | Excluded from the table above are investments funds of $45 million and $76 million as of December 31, 2015 and December 31, 2014, respectively, measured using NAV per share practical expedient. Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. | |||
[2] | Excludes restricted cash. | |||
[3] | Government-agency obligations were approximately 54% of mortgage backed securities as of December 31, 2015 and 44% as of December 31, 2014 based on fair value. |
- Fair Value Level 3 Rollforwar
- Fair Value Level 3 Rollforward Recurring Basis (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | |||
Short-term Investments [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | $ 0 | |||
Radian Asset Acquisition | 0 | |||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [1],[2] | 24 | ||
Other comprehensive income (loss) | [2] | 0 | ||
Purchases | [3] | 52 | ||
Settlements | (16) | |||
FG VIE consolidations | 0 | |||
FG VIE deconsolidations | 0 | |||
Fair value at end of period | 60 | $ 0 | ||
Change in unrealized gains/(losses) related to financial instruments held | 0 | |||
FG VIEs' assets, at fair value [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 1,398 | 2,565 | ||
Radian Asset Acquisition | 122 | |||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [2],[4] | 59 | 164 | |
Other comprehensive income (loss) | [2] | 0 | 0 | |
Purchases | 0 | 0 | ||
Settlements | (400) | (408) | ||
FG VIE consolidations | 104 | 206 | ||
FG VIE deconsolidations | (22) | (1,129) | ||
Fair value at end of period | 1,261 | 1,398 | ||
Change in unrealized gains/(losses) related to financial instruments held | 110 | 141 | ||
Other Assets and Other Invested Assets [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | [5] | 37 | 48 | |
Radian Asset Acquisition | [5] | 2 | ||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [2],[5],[6] | 26 | (11) | |
Other comprehensive income (loss) | [2],[5] | 0 | 0 | |
Purchases | [5] | 0 | 0 | |
Settlements | [5] | 0 | 0 | |
FG VIE consolidations | [5] | 0 | 0 | |
FG VIE deconsolidations | [5] | 0 | 0 | |
Fair value at end of period | [5] | 65 | 37 | |
Change in unrealized gains/(losses) related to financial instruments held | [5] | 26 | (11) | |
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 38 | 36 | ||
Radian Asset Acquisition | 0 | |||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [1],[2] | 3 | 4 | |
Other comprehensive income (loss) | [2] | (2) | (1) | |
Purchases | 0 | 0 | ||
Settlements | (31) | [3] | (1) | |
FG VIE consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Fair value at end of period | 8 | 38 | ||
Change in unrealized gains/(losses) related to financial instruments held | 0 | (1) | ||
Corporate securities [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 79 | 136 | ||
Radian Asset Acquisition | 0 | |||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [1],[2] | 3 | (46) | |
Other comprehensive income (loss) | [2] | (11) | (6) | |
Purchases | 0 | 0 | ||
Settlements | 0 | (5) | ||
FG VIE consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Fair value at end of period | 71 | 79 | ||
Change in unrealized gains/(losses) related to financial instruments held | (11) | (6) | ||
Residential Mortgage-Backed Securities (RMBS) [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 425 | 290 | ||
Radian Asset Acquisition | 4 | |||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [1],[2] | 18 | 21 | |
Other comprehensive income (loss) | [2] | (12) | 24 | |
Purchases | 48 | 263 | ||
Settlements | (134) | (59) | ||
FG VIE consolidations | (1) | (127) | ||
FG VIE deconsolidations | 0 | 13 | ||
Fair value at end of period | 348 | 425 | ||
Change in unrealized gains/(losses) related to financial instruments held | (9) | 21 | ||
Asset-backed Securities [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 228 | 268 | ||
Radian Asset Acquisition | 0 | |||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [1],[2] | 1 | 17 | |
Other comprehensive income (loss) | [2] | (9) | 5 | |
Purchases | 471 | 0 | ||
Settlements | (34) | (62) | ||
FG VIE consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Fair value at end of period | 657 | 228 | ||
Change in unrealized gains/(losses) related to financial instruments held | (9) | 4 | ||
FG VIEs' liabilities with recourse, at fair value [Member] | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair value at beginning of period | (1,277) | (1,790) | ||
Radian Asset Acquisition | (114) | |||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [2],[4] | 111 | 94 | |
Other comprehensive income (loss) | [2] | 0 | 0 | |
Purchases | 0 | 0 | ||
Settlements | 186 | 374 | ||
FG VIE consolidations | (131) | (189) | ||
FG VIE deconsolidations | 0 | 234 | ||
Fair value at end of period | (1,225) | (1,277) | ||
Change in unrealized gains/(losses) related to financial instruments held | 4 | (22) | ||
FG VIEs' liabilities without recourse, at fair value [Member] | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair value at beginning of period | (142) | (1,081) | ||
Radian Asset Acquisition | (4) | |||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [2],[4] | (28) | (43) | |
Other comprehensive income (loss) | [2] | 0 | 0 | |
Purchases | 0 | 0 | ||
Settlements | 28 | 22 | ||
FG VIE consolidations | 0 | (42) | ||
FG VIE deconsolidations | 22 | 1,002 | ||
Fair value at end of period | (124) | (142) | ||
Change in unrealized gains/(losses) related to financial instruments held | (22) | 3 | ||
Credit Risk Contract [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||||
Fair value at beginning of period | [7] | (895) | (1,693) | |
Radian Asset Acquisition | [7] | (215) | ||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [2],[7],[8] | 728 | 823 | |
Other comprehensive income (loss) | [2],[7] | 0 | 0 | |
Purchases | [7] | 0 | 0 | |
Settlements | [7] | 17 | (25) | |
FG VIE consolidations | [7] | 0 | 0 | |
FG VIE deconsolidations | [7] | 0 | 0 | |
Fair value at end of period | [7] | (365) | (895) | |
Change in unrealized gains/(losses) related to financial instruments held | [7] | $ 281 | $ 254 | |
[1] | Included in net realized investment gains (losses) and net investment income. | |||
[2] | Realized and unrealized gains (losses) from changes in values of Level 3 financial instruments represent gains (losses) from changes in values of those financial instruments only for the periods in which the instruments were classified as Level 3. | |||
[3] | Primarily non-cash transaction. | |||
[4] | Included in fair value gains (losses) on FG VIEs. | |||
[5] | Includes CCS and other invested assets. | |||
[6] | Recorded in fair value gains (losses) on CCS, net realized investment gains (losses) and net investment income. | |||
[7] | Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure. | |||
[8] | Reported in net change in fair value of credit derivatives. |
- Quantitative Information - As
- Quantitative Information - Assets (Details) - Income Approach Valuation Technique [Member] - Level 3 [Member] - USD ($) | 12 Months Ended | ||||
Dec. 31, 2015 | Dec. 31, 2014 | ||||
Obligations of state and political subdivisions [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 7,000,000 | $ 38,000,000 | [1] | ||
Obligations of state and political subdivisions [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Rate of inflation (as a percent) | 1.00% | ||||
Cash flow receipts (as a percent) | 0.50% | ||||
Discount factor (as a percent) | 4.60% | ||||
Collateral recovery period (in years) | 1 month | ||||
Obligations of state and political subdivisions [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Rate of inflation (as a percent) | 3.00% | ||||
Cash flow receipts (as a percent) | 74.30% | ||||
Discount factor (as a percent) | 8.00% | ||||
Collateral recovery period (in years) | 34 years | ||||
Obligations of state and political subdivisions [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Rate of inflation (as a percent) | 2.00% | ||||
Cash flow receipts (as a percent) | 63.00% | ||||
Discount factor (as a percent) | 7.30% | ||||
Collateral recovery period (in years) | 28 years | ||||
Corporate securities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 71,000,000 | [2],[3],[4] | $ 79,000,000 | [1] | |
Yield (as a percent) | 21.80% | [3],[4] | 17.80% | ||
Residential Mortgage-Backed Securities (RMBS) [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 348,000,000 | [2],[3],[4] | $ 425,000,000 | [1] | |
Residential Mortgage-Backed Securities (RMBS) [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 4.70% | [3],[4] | 4.70% | ||
Conditional prepayment rate (as a percent) | 0.30% | [3],[4] | 0.30% | ||
Conditional default rate (as a percent) | 2.70% | [3],[4] | 2.70% | ||
Loss severity rate (as a percent) | 60.00% | [3],[4] | 52.60% | ||
Residential Mortgage-Backed Securities (RMBS) [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 8.20% | [3],[4] | 11.70% | ||
Conditional prepayment rate (as a percent) | 9.00% | [3],[4] | 8.10% | ||
Conditional default rate (as a percent) | 9.30% | [3],[4] | 10.60% | ||
Loss severity rate (as a percent) | 100.00% | [3],[4] | 100.00% | ||
Residential Mortgage-Backed Securities (RMBS) [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 6.00% | [3],[4] | 6.40% | ||
Conditional prepayment rate (as a percent) | 2.60% | [3],[4] | 3.30% | ||
Conditional default rate (as a percent) | 7.00% | [3],[4] | 5.30% | ||
Loss severity rate (as a percent) | 74.00% | [3],[4] | 75.20% | ||
Investor-owned utilities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 69,000,000 | [2],[3],[4] | $ 95,000,000 | [1] | |
Cash flow receipts (as a percent) | [3],[4] | 100.00% | |||
Discount factor (as a percent) | 7.00% | [3],[4] | 7.00% | ||
Collateral recovery period (in years) | [3],[4] | 2 years 10 months 24 days | |||
Investor-owned utilities [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Collateral recovery period (in years) | 4 years | ||||
Liquidation value | $ 1 | ||||
XXX life insurance transactions [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 329,000,000 | [2],[3],[4] | $ 133,000,000 | [1] | |
Yield (as a percent) | 7.30% | ||||
XXX life insurance transactions [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [3],[4] | 3.50% | |||
XXX life insurance transactions [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [3],[4] | 7.50% | |||
XXX life insurance transactions [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [3],[4] | 5.00% | |||
Pooled corporate obligations [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [2],[3],[4] | $ 259,000,000 | |||
Discount factor (as a percent) | [3],[4] | 20.00% | |||
Short-term Investments [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [2],[4] | $ 60,000,000 | |||
Yield (as a percent) | [4] | 17.00% | |||
Other invested assets [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 8,000,000 | $ 7,000,000 | [1] | ||
Other invested assets [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Conditional prepayment rate (as a percent) | 5.00% | ||||
Conditional default rate (as a percent) | 0.00% | ||||
Loss severity rate (as a percent) | 40.00% | ||||
Liquidity discount (as a percent) | 20.00% | ||||
Recovery on delinquent loans (as a percent) | 40.00% | ||||
Other invested assets [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Conditional prepayment rate (as a percent) | 15.00% | ||||
Conditional default rate (as a percent) | 7.00% | ||||
Loss severity rate (as a percent) | 75.00% | ||||
Other invested assets [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Conditional prepayment rate (as a percent) | 12.30% | ||||
Conditional default rate (as a percent) | 5.80% | ||||
Loss severity rate (as a percent) | 68.30% | ||||
Financial Guaranty Variable Interest Entities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 1,261,000,000 | [2],[4] | $ 1,398,000,000 | [1] | |
Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 1.90% | [4] | 2.70% | ||
Conditional prepayment rate (as a percent) | 0.30% | [4] | 0.30% | ||
Conditional default rate (as a percent) | 1.20% | [4] | 1.60% | ||
Loss severity rate (as a percent) | 40.00% | [4] | 40.00% | ||
Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 20.00% | [4] | 17.70% | ||
Conditional prepayment rate (as a percent) | 9.20% | [4] | 11.00% | ||
Conditional default rate (as a percent) | 16.00% | [4] | 11.80% | ||
Loss severity rate (as a percent) | 100.00% | [4] | 100.00% | ||
Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 6.40% | [4] | 7.90% | ||
Conditional prepayment rate (as a percent) | 3.90% | [4] | 3.30% | ||
Conditional default rate (as a percent) | 4.70% | [4] | 5.10% | ||
Loss severity rate (as a percent) | 85.90% | [4] | 82.20% | ||
Other Assets [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 62,000,000 | [2],[4] | $ 35,000,000 | ||
Fair Value Inputs Term | 5 years | [4] | 5 years | ||
Other Assets [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | $ 44 | [4] | $ 52 | ||
Other Assets [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | 46 | [4] | 61 | ||
Other Assets [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Quotes from third party pricing (in dollars per share) | $ 45 | [4] | $ 57 | ||
[1] | Discounted cash flow is used as valuation technique for all financial instruments. | ||||
[2] | Discounted cash flow is used as valuation technique for all financial instruments. | ||||
[3] | Excludes obligations of state and political subdivisions investments with fair value of $8 million. | ||||
[4] | Excludes several investments recorded in other invested assets with fair value of $7 million. |
- Quantitative Information - Li
- Quantitative Information - Liabilities (Details) - Income Approach Valuation Technique [Member] - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | |||
Credit derivative liabilities, net [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Total liabilities carried at fair value | $ (365) | [1] | $ (895) | [2] |
Credit derivative liabilities, net [Member] | Minimum [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Internal floor (as a percent) | 0.07% | 0.07% | ||
Bank profit (as a percent) | 0.038% | 0.01% | ||
Hedge cost (as a percent) | 0.328% | 0.20% | ||
Credit derivative liabilities, net [Member] | Minimum [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Year 1 loss estimates (as a percent) | 0.00% | 0.00% | ||
Credit derivative liabilities, net [Member] | Maximum [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Internal floor (as a percent) | 1.00% | 1.00% | ||
Bank profit (as a percent) | 10.175% | 9.944% | ||
Hedge cost (as a percent) | 2.82% | 2.438% | ||
Credit derivative liabilities, net [Member] | Maximum [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Year 1 loss estimates (as a percent) | 41.00% | 93.00% | ||
Credit derivative liabilities, net [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Internal floor (as a percent) | 0.168% | 0.159% | ||
Bank profit (as a percent) | 1.108% | 1.27% | ||
Hedge cost (as a percent) | 0.663% | 0.615% | ||
Credit derivative liabilities, net [Member] | Weighted Average [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Year 1 loss estimates (as a percent) | 0.60% | 2.10% | ||
Financial Guaranty Variable Interest Entities [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Total liabilities carried at fair value | $ (1,349) | [1] | $ (1,419) | [2] |
Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Loss severity rate (as a percent) | 40.00% | 40.00% | ||
Conditional default rate (as a percent) | 1.20% | 1.60% | ||
Conditional prepayment rate (as a percent) | 0.30% | 0.30% | ||
Yield (as a percent) | 1.90% | 2.70% | ||
Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Loss severity rate (as a percent) | 100.00% | 100.00% | ||
Conditional default rate (as a percent) | 16.00% | 11.80% | ||
Conditional prepayment rate (as a percent) | 9.20% | 11.00% | ||
Yield (as a percent) | 20.00% | 17.70% | ||
Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Loss severity rate (as a percent) | 85.90% | 82.20% | ||
Conditional default rate (as a percent) | 4.70% | 5.10% | ||
Conditional prepayment rate (as a percent) | 3.90% | 3.30% | ||
Yield (as a percent) | 5.60% | 5.80% | ||
[1] | Discounted cash flow is used as valuation technique for all financial instruments. | |||
[2] | Discounted cash flow is used as valuation technique for all financial instruments. |
Fair Value Measurement - Fair V
Fair Value Measurement - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |
Carrying amount and estimated fair value financial instruments | |||
Other invested assets | $ 93 | ||
Assets: | |||
Fixed-maturity securities | 11,023 | $ 11,258 | |
Short-term investments | 396 | 767 | |
Other invested assets | 169 | 126 | |
Credit derivative assets | 81 | 68 | |
Liabilities: | |||
Credit derivative liabilities | 446 | 963 | |
Carrying Amount [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,627 | 10,491 | |
Short-term investments | 396 | 767 | |
Other invested assets | [1] | 150 | 108 |
Credit derivative assets | 81 | 68 | |
FG VIEs’ assets, at fair value | 1,261 | 1,398 | |
Other assets | 206 | 184 | |
Liabilities: | |||
Financial guaranty insurance contracts | [2] | 3,998 | 3,823 |
Long-term debt | 1,300 | 1,297 | |
Credit derivative liabilities | 446 | 963 | |
FG VIEs’ liabilities with recourse, at fair value | 1,225 | 1,277 | |
FG VIEs’ liabilities without recourse, at fair value | 124 | 142 | |
Other liabilities | 9 | 27 | |
Estimated Fair Value [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,627 | 10,491 | |
Short-term investments | 396 | 767 | |
Other invested assets | [1] | 152 | 110 |
Credit derivative assets | 81 | 68 | |
FG VIEs’ assets, at fair value | 1,261 | 1,398 | |
Other assets | 206 | 184 | |
Liabilities: | |||
Financial guaranty insurance contracts | [2] | 8,712 | 6,205 |
Long-term debt | 1,512 | 1,603 | |
Credit derivative liabilities | 446 | 963 | |
FG VIEs’ liabilities with recourse, at fair value | 1,225 | 1,277 | |
FG VIEs’ liabilities without recourse, at fair value | 124 | 142 | |
Other liabilities | $ 9 | $ 27 | |
[1] | Includes investments not carried at fair value with a carrying value of $93 million. Excludes investments carried under the equity method. | ||
[2] | Carrying amount includes the assets and liabilities related to financial guaranty insurance contract premiums, losses, and salvage and subrogation and other recoverables net of reinsurance. |
Financial Guaranty Contracts 95
Financial Guaranty Contracts Accounted for as Credit Derivatives - Credit Derivatives Subordination and Ratings (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | [1] | $ 25,594 | $ 34,996 |
Pooled corporate obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 17,523 | $ 23,621 | |
Original Subordination (as a percent) | [2] | 29.20% | 30.10% |
Current Subordination (as a percent) | [2] | 32.30% | 30.70% |
Pooled corporate obligations [Member] | Collateralized Loan Obligations and Collateral Bond Obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 5,873 | $ 11,688 | |
Original Subordination (as a percent) | [2] | 30.90% | 32.00% |
Current Subordination (as a percent) | [2] | 42.30% | 36.90% |
Pooled corporate obligations [Member] | Synthetic investment grade pooled corporate [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 7,108 | $ 7,640 | |
Original Subordination (as a percent) | [2] | 21.70% | 22.60% |
Current Subordination (as a percent) | [2] | 19.40% | 20.60% |
Pooled corporate obligations [Member] | TruPS CDOs [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 3,429 | $ 3,119 | |
Original Subordination (as a percent) | [2] | 45.80% | 45.30% |
Current Subordination (as a percent) | [2] | 42.60% | 35.80% |
Pooled corporate obligations [Member] | Market Value of CDOs of corporate obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 1,113 | $ 1,174 | |
Original Subordination (as a percent) | [2] | 17.00% | 19.10% |
Current Subordination (as a percent) | [2] | 30.10% | 20.70% |
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 1,526 | $ 2,986 | |
Original Subordination (as a percent) | [2] | 24.10% | 24.80% |
Current Subordination (as a percent) | [2] | 37.40% | 33.90% |
Residential Mortgage-Backed Securities (RMBS) [Member] | Option Adjustable Rate Mortgage and Alt-A Mortgage [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 351 | $ 1,378 | |
Original Subordination (as a percent) | [2] | 10.50% | 16.30% |
Current Subordination (as a percent) | [2] | 12.70% | 10.70% |
Residential Mortgage-Backed Securities (RMBS) [Member] | Subprime [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 981 | $ 1,366 | |
Original Subordination (as a percent) | [2] | 27.70% | 31.10% |
Current Subordination (as a percent) | [2] | 45.20% | 50.50% |
Residential Mortgage-Backed Securities (RMBS) [Member] | Prime [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 177 | $ 223 | |
Original Subordination (as a percent) | [2] | 10.90% | 10.90% |
Current Subordination (as a percent) | [2] | 0.00% | 0.00% |
Residential Mortgage-Backed Securities (RMBS) [Member] | Closed-end [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 17 | $ 19 | |
Original Subordination (as a percent) | [2] | 0.00% | 0.00% |
Current Subordination (as a percent) | [2] | 0.00% | 0.00% |
Commercial Mortgage Backed Securities (CMBS) [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 530 | $ 1,952 | |
Original Subordination (as a percent) | [2] | 44.80% | 35.30% |
Current Subordination (as a percent) | [2] | 52.60% | 43.60% |
Other [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 6,015 | $ 6,437 | |
Original Subordination (as a percent) | [2] | 0.00% | 0.00% |
Current Subordination (as a percent) | [2] | 0.00% | 0.00% |
Radian [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 3,500 | ||
[1] | The December 31, 2015 total amount includes $3.5 billion net par outstanding of credit derivatives acquired from Radian Asset | ||
[2] | Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses. |
Financial Guaranty Contracts 96
Financial Guaranty Contracts Accounted for as Credit Derivatives - Distribution of Credit Derivative Net Par Outstanding by Internal Rating (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | ||
Credit Derivatives | |||
Net Par Outstanding | [1] | $ 25,594 | $ 34,996 |
Internal Credit Rating, AAA [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | 14,808 | 21,817 | |
Internal Credit Rating, AA [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | 4,821 | 5,398 | |
Internal Credit Rating, A [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | 2,144 | 1,982 | |
Internal Credit Rating, BBB [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | 2,212 | 2,774 | |
BIG [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | [2] | $ 1,609 | $ 3,025 |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | |||
Credit Derivatives | |||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 100.00% | 100.00% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, AAA [Member] | |||
Credit Derivatives | |||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 57.90% | 62.30% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, AA [Member] | |||
Credit Derivatives | |||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 18.80% | 15.40% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, A [Member] | |||
Credit Derivatives | |||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 8.40% | 5.70% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, BBB [Member] | |||
Credit Derivatives | |||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 8.60% | 8.00% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | BIG [Member] | |||
Credit Derivatives | |||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | [2] | 6.30% | 8.60% |
Radian [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 3,500 | ||
Radian [Member] | BIG [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 125 | ||
[1] | The December 31, 2015 total amount includes $3.5 billion net par outstanding of credit derivatives acquired from Radian Asset | ||
[2] | The December 31, 2015 BIG amount includes $125 million net par outstanding of credit derivatives acquired from Radian Asset. |
Financial Guaranty Contracts 97
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Change in Fair Value of Credit Derivatives Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Credit Derivatives | |||||||||||
Realized gains on credit derivatives | $ 63 | $ 73 | $ 121 | ||||||||
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | (81) | (50) | (163) | ||||||||
Realized gains (losses) and other settlements on credit derivatives (1) | (18) | 23 | (42) | ||||||||
Net change in unrealized gains (losses) on credit derivatives | 746 | 800 | 107 | ||||||||
Net change in fair value of credit derivatives | $ 428 | $ 86 | $ 90 | $ 124 | $ 676 | $ 255 | $ 103 | $ (211) | 728 | 823 | 65 |
Pooled corporate obligations [Member] | |||||||||||
Credit Derivatives | |||||||||||
Net change in unrealized gains (losses) on credit derivatives | 147 | (18) | (32) | ||||||||
Commercial Mortgage Backed Securities (CMBS) [Member] | |||||||||||
Credit Derivatives | |||||||||||
Net change in unrealized gains (losses) on credit derivatives | 42 | 2 | 0 | ||||||||
Other [Member] | |||||||||||
Credit Derivatives | |||||||||||
Net change in unrealized gains (losses) on credit derivatives | 161 | 2 | 208 | ||||||||
United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||||||||||
Credit Derivatives | |||||||||||
Net change in unrealized gains (losses) on credit derivatives | 396 | 814 | (69) | ||||||||
Credit Risk Contract [Member] | |||||||||||
Credit Derivatives | |||||||||||
Net par of terminated credit derivative contracts | 2,777 | 3,591 | 4,054 | ||||||||
Realized gains on credit derivatives | 13 | 1 | 21 | ||||||||
Loss on Contract Termination | $ 116 | $ 26 | $ 0 |
Financial Guaranty Contracts 98
Financial Guaranty Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Credit Derivatives | |||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ (1,448) | $ (2,029) | |||
Plus: Effect of AGC and AGM credit spreads | 1,083 | 1,134 | |||
Net fair value of credit derivatives | [1] | $ (365) | [2] | $ (895) | |
Credit Risk Contract, 5 Year Spread [Member] | AGC [Member] | |||||
Credit Derivatives | |||||
Quoted price of CDS contract (as a percent) | 3.76% | 3.23% | 4.60% | ||
Credit Risk Contract, 5 Year Spread [Member] | AGM [Member] | |||||
Credit Derivatives | |||||
Quoted price of CDS contract (as a percent) | 3.66% | 3.25% | 5.25% | ||
Credit Risk Contract, 1 Year Spread [Member] | AGC [Member] | |||||
Credit Derivatives | |||||
Quoted price of CDS contract (as a percent) | 1.39% | 0.80% | 1.85% | ||
Credit Risk Contract, 1 Year Spread [Member] | AGM [Member] | |||||
Credit Derivatives | |||||
Quoted price of CDS contract (as a percent) | 1.31% | 0.85% | 2.20% | ||
Radian [Member] | |||||
Credit Derivatives | |||||
Net fair value of credit derivatives | $ 44 | ||||
[1] | December 31, 2015 amount includes $44 million of net fair value loss of credit derivatives acquired from Radian Asset. | ||||
[2] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Financial Guaranty Contracts 99
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Fair Value and Expected Losses of Credit Derivatives by Sector (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | ||
Credit Derivatives | ||||
Fair Value of Credit Derivative Asset (Liability), net | [1] | $ (365) | [2] | $ (895) |
Expected Loss to be (Paid) Recovered | [3] | (16) | (58) | |
Pooled corporate obligations [Member] | ||||
Credit Derivatives | ||||
Fair Value of Credit Derivative Asset (Liability), net | (82) | (49) | ||
Expected Loss to be (Paid) Recovered | [3] | (5) | (23) | |
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | ||||
Credit Derivatives | ||||
Fair Value of Credit Derivative Asset (Liability), net | (98) | (494) | ||
Expected Loss to be (Paid) Recovered | [3] | (38) | (73) | |
Commercial Mortgage Backed Securities (CMBS) [Member] | ||||
Credit Derivatives | ||||
Fair Value of Credit Derivative Asset (Liability), net | 0 | 0 | ||
Expected Loss to be (Paid) Recovered | [3] | 0 | 0 | |
Other [Member] | ||||
Credit Derivatives | ||||
Fair Value of Credit Derivative Asset (Liability), net | (185) | (352) | ||
Expected Loss to be (Paid) Recovered | [3] | 27 | 38 | |
Credit Risk Contract [Member] | ||||
Credit Derivatives | ||||
R&W Included in Credit Derivative Asset (Liability) | $ 0.4 | $ 86 | ||
[1] | December 31, 2015 amount includes $44 million of net fair value loss of credit derivatives acquired from Radian Asset. | |||
[2] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. | |||
[3] | Includes R&W benefit of $0.4 million as of December 31, 2015 and $86 million as of December 31, 2014. |
Financial Guaranty Contracts100
Financial Guaranty Contracts Accounted for as Credit Derivatives - Effect of Changes in Credit Spread (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | |||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Fair Value | [1] | $ (742) | ||
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Fair Value | [1] | (554) | ||
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Fair Value | [1] | (460) | ||
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Fair Value | [1] | (403) | ||
Fair Value of Credit Derivative Asset (Liability), net | [2] | (365) | [1] | $ (895) |
Credit Risk Derivatives, 10 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (330) | ||
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (277) | ||
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (190) | ||
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (377) | ||
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (189) | ||
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (95) | ||
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (38) | ||
Credit Risk Derivatives, Base Scenario, Effect on Unrealized Gain (Loss) | [1] | 0 | ||
Credit Risk Derivatives, 10 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | 35 | ||
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | 88 | ||
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | $ 175 | ||
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. | |||
[2] | December 31, 2015 amount includes $44 million of net fair value loss of credit derivatives acquired from Radian Asset. |
Financial Guaranty Contracts101
Financial Guaranty Contracts Accounted for as Credit Derivatives - Narrative (Details) $ in Millions | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2015USD ($)TransactionCounterparty | Sep. 30, 2015USD ($) | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($)Transaction | Sep. 30, 2014USD ($) | Jun. 30, 2014USD ($) | Mar. 31, 2014USD ($) | Dec. 31, 2015USD ($)TransactionCounterparty | Dec. 31, 2014USD ($)Transaction | Dec. 31, 2013USD ($) | ||
Credit Derivatives | ||||||||||||
Estimated remaining weighted average life of credit derivatives (in years) | 5 years 5 months | 4 years 7 months 30 days | ||||||||||
Net par outstanding | [1] | $ 25,594 | $ 34,996 | $ 25,594 | $ 34,996 | |||||||
Fair value gains | 49 | |||||||||||
Net unrealized gains (losses) | 746 | 800 | $ 107 | |||||||||
Net change in fair value of credit derivatives | 428 | $ 86 | $ 90 | $ 124 | 676 | $ 255 | $ 103 | $ (211) | 728 | 823 | 65 | |
Gain from narrowing of spreads | 346 | 581 | ||||||||||
Collateral agreed to be posted | $ 305 | 376 | $ 305 | 376 | ||||||||
Market value collateralized debt obligations of corporate obligations [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Maximum average obligor size (as a percent) | 1.00% | 1.00% | ||||||||||
Maximum exposure of one industry (as a percent) | 10.00% | 10.00% | ||||||||||
Net par outstanding | $ 17,523 | 23,621 | $ 17,523 | 23,621 | ||||||||
Net unrealized gains (losses) | 147 | (18) | (32) | |||||||||
Other pooled infrastructure [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Net par outstanding | $ 1,900 | $ 1,900 | ||||||||||
Pooled infrastructure [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Number of transactions | Transaction | 1 | 1 | ||||||||||
Remaining other CDS [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Net par outstanding | $ 4,100 | $ 4,100 | ||||||||||
Commercial Mortgage Backed Securities (CMBS) [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Net par outstanding | 530 | 1,952 | 530 | 1,952 | ||||||||
Unrealized fair value gain on termination of transactions | 41 | |||||||||||
Net unrealized gains (losses) | 42 | 2 | 0 | |||||||||
XXX Life Insurance Transaction [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Unrealized fair value gain on termination of transactions | 99 | |||||||||||
Film securitization CDS [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Net unrealized gains (losses) | 127 | |||||||||||
Net change in fair value of credit derivatives | 7 | |||||||||||
Collateral Debt Obligations, Collateral Requirement [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Amount of par subject to collateral for which the amount of collateral is capped | 3,800 | 3,800 | ||||||||||
Collateral Debt Obligations, Collateral Cap Negotiated [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Amount of par subject to collateral for which the amount of collateral is capped | 3,600 | 3,600 | ||||||||||
Collateral Debt Obligations, No Cap Negotiated [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Amount of par subject to collateral for which the amount of collateral is capped | 575 | 575 | ||||||||||
Collateral agreed to be posted | 305 | 376 | 305 | 376 | ||||||||
Notional amount subject to collateral based on movements in the mark-to-market valuation of the underlying exposure | 221 | 242 | 221 | 242 | ||||||||
Collateral posted, based on mark-to-market valuation | $ 23 | $ 25 | $ 23 | 25 | ||||||||
Credit Risk Contract [Member] | Film securitization CDS [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Realized gain due to termination of CDS contracts | $ 120 | |||||||||||
Option Adjustable Rate Mortgage and Alt-A Mortgage [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Unrealized fair value gain on termination of transactions | $ 543 | |||||||||||
Alt-A [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Counterparties involved in transaction termination | Transaction | 1 | 1 | ||||||||||
Number of transactions terminated | 5 | 3 | 5 | 3 | ||||||||
Unrealized fair value gain on termination of transactions | $ 213 | |||||||||||
Collateralized Loan Obligations and Collateral Bond Obligations [Member] | Market value collateralized debt obligations of corporate obligations [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Net par outstanding | $ 5,873 | $ 11,688 | 5,873 | $ 11,688 | ||||||||
Unrealized fair value gain on termination of transactions | $ 99 | |||||||||||
Option Adjustable Rate Mortgage [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||||||||||
Credit Derivatives | ||||||||||||
Number of transactions terminated | Transaction | 1 | 1 | ||||||||||
[1] | The December 31, 2015 total amount includes $3.5 billion net par outstanding of credit derivatives acquired from Radian Asset |
Consolidated Variable Intere102
Consolidated Variable Interest Entities - Narrative (Details) | 3 Months Ended | 12 Months Ended | |||||||||||||
Dec. 31, 2015USD ($)Entity | Sep. 30, 2015USD ($) | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($)Entity | Sep. 30, 2014USD ($) | Jun. 30, 2014USD ($) | Mar. 31, 2014USD ($) | Dec. 31, 2015USD ($)Entity | Dec. 31, 2014USD ($)Entity | Dec. 31, 2013USD ($)Entity | Dec. 31, 2012Entity | ||||
Variable Interest Entity [Line Items] | |||||||||||||||
Net fair value gains and losses on FG VIEs are expected to reverse to zero at maturity of the VIE debt | $ 0 | $ 0 | |||||||||||||
Trustee report general preparation period | 30 days | ||||||||||||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||||||||||||
Fair value gains (losses) on FG VIEs | 38,000,000 | $ 2,000,000 | $ 5,000,000 | $ (7,000,000) | $ 23,000,000 | $ 50,000,000 | $ 25,000,000 | $ 157,000,000 | $ 38,000,000 | $ 255,000,000 | |||||
Number of entities to be deconsolidated | Entity | 7 | ||||||||||||||
Number of FG VIE's matured | Entity | (2) | ||||||||||||||
Net earned premiums | $ 192,000,000 | $ 213,000,000 | $ 219,000,000 | $ 142,000,000 | $ 158,000,000 | $ 144,000,000 | $ 136,000,000 | 132,000,000 | 766,000,000 | [1] | $ 570,000,000 | [1] | $ 752,000,000 | [1] | |
Variable Interest Entity, Primary Beneficiary [Member] | |||||||||||||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||||||||||||
Fair value gains (losses) on FG VIEs | $ 38,000,000 | 255,000,000 | $ 346,000,000 | ||||||||||||
Gain from Company's exercise of options | 37,000,000 | ||||||||||||||
Net gain on deconsolidation | $ 120,000,000 | $ 120,000,000 | |||||||||||||
Number of FG VIE's matured | Entity | (2) | (2) | (1) | ||||||||||||
Net earned premiums | $ (21,000,000) | $ (32,000,000) | $ (60,000,000) | ||||||||||||
Number of VIE that did not require consolidation | Entity | 34 | 32 | 34 | 32 | 40 | 33 | |||||||||
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] | |||||||||||||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||||||||||||
Number of VIE that did not require consolidation | Entity | 750 | 930 | 750 | 930 | |||||||||||
Residential Mortgage Backed Securities and Other Insurance Products [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||||||||||||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||||||||||||
Total unpaid principal balance for the VIEs' assets that were over 90 days or more past due | $ 154,000,000 | $ 183,000,000 | $ 154,000,000 | $ 183,000,000 | |||||||||||
Difference between the aggregate unpaid principal and aggregate fair value of the VIEs' Assets | 804,000,000 | 941,000,000 | 804,000,000 | 941,000,000 | |||||||||||
Change in the instrument specific credit risk of the VIEs' assets | 90,000,000 | 116,000,000 | $ 340,000,000 | ||||||||||||
Unpaid principal for FG VIEs’ liabilities with recourse | 1,436,000,000 | 1,912,000,000 | 1,436,000,000 | 1,912,000,000 | |||||||||||
Unpaid principal for FG VIEs' liabilities with and without recourse | $ 423,000,000 | $ 916,000,000 | $ 423,000,000 | $ 916,000,000 | |||||||||||
Various counterparties [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||||||||||||||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | |||||||||||||||
Fair value gains (losses) on FG VIEs | $ 265,000,000 | ||||||||||||||
[1] | Excludes $21 million, $32 million and $60 million for the year ended December 31, 2015, 2014 and 2013, respectively, related to consolidated FG VIEs. |
Consolidated Variable Intere103
Consolidated Variable Interest Entities - Number of FG VIE's Consolidated (Details) $ in Millions | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2014USD ($)Entity | Dec. 31, 2015USD ($)Entity | Dec. 31, 2014USD ($)Entity | Dec. 31, 2013USD ($)Entity | ||
Number of FG VIEs Consolidated [Roll Forward] | |||||
Number of FG VIE's matured | (2) | ||||
Variable Interest Entity, Primary Beneficiary [Member] | |||||
Number of FG VIEs Consolidated [Roll Forward] | |||||
Number of FG VIE's consolidated, beginning of period | 40 | 32 | 40 | 33 | |
Number of FG VIE's, Radian Asset Acquisition | 4 | 0 | 0 | ||
Number of FG VIE's consolidated | [1] | 1 | 2 | 11 | |
Number of FG VIE's deconsolidated | [1] | (1) | (8) | (3) | |
Number of FG VIE's matured | (2) | (2) | (1) | ||
Number of FG VIE's consolidated, end of period | 34 | 32 | 40 | ||
Net loss on consolidation of VIEs | $ | $ 26 | $ 26 | |||
Net gain on deconsolidation | $ | $ 120 | $ 120 | |||
Net gain (loss) on consolidation and deconsolidation during period | $ | $ 7 | ||||
[1] | (1)Net loss on consolidation was $26 million in 2015. Net gain on deconsolidation was $120 million and net loss on consolidation was $26 million in 2014. Net loss on consolidation and deconsolidation was $7 million in 2013. |
Consolidated Variable Intere104
Consolidated Variable Interest Entities - Consolidated FG VIE's By Type of Collateral (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |
Variable Interest Entity [Line Items] | |||
Financial guaranty variable interest entities' assets with recourse, at fair value | $ 1,131 | [1] | $ 1,239 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 1,225 | [1] | 1,277 |
Financial guaranty variable interest entities' assets without recourse, at fair value | 130 | [1] | 163 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 124 | [1] | 142 |
Financial guaranty variable interest entities’ assets, at fair value | 1,261 | [1] | 1,402 |
Financial guaranty variable interest entities’ liabilities, at fair value | 1,349 | [1] | 1,419 |
Other Insurance Product Line [Member] | |||
Variable Interest Entity [Line Items] | |||
Financial guaranty variable interest entities' assets with recourse, at fair value | 431 | [1] | 369 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 431 | [1] | 369 |
United States [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||
Variable Interest Entity [Line Items] | |||
Financial guaranty variable interest entities' assets with recourse, at fair value | 506 | [1] | 632 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 521 | [1] | 581 |
United States [Member] | Second Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||
Variable Interest Entity [Line Items] | |||
Financial guaranty variable interest entities' assets with recourse, at fair value | 194 | [1] | 238 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 273 | [1] | $ 327 |
Radian [Member] | |||
Variable Interest Entity [Line Items] | |||
Financial guaranty variable interest entities’ assets, at fair value | 111 | ||
Financial guaranty variable interest entities’ liabilities, at fair value | $ 107 | ||
[1] | The December 31, 2015 amounts include $111 million of FG VIE assets and $107 million of FG VIE liabilities acquired from Radian Asset. |
Consolidated Variable Intere105
Consolidated Variable Interest Entities - Effect of Consolidating FG VIE's on Financial Information (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | ||||
Variable Interest Entity [Line Items] | |||||||||||||||
Net earned premiums | $ 192 | $ 213 | $ 219 | $ 142 | $ 158 | $ 144 | $ 136 | $ 132 | $ 766 | [1] | $ 570 | [1] | $ 752 | [1] | |
Net investment income | 112 | 112 | 98 | 101 | 102 | 102 | 96 | 103 | 423 | 403 | 393 | ||||
Net realized investment gains (losses) | (6) | (27) | (9) | 16 | (35) | (19) | (8) | 2 | (26) | (60) | 52 | ||||
Fair value gains (losses) on FG VIEs | 38 | 2 | 5 | (7) | 23 | 50 | 25 | 157 | 38 | 255 | |||||
Other income (loss) | (6) | (3) | 55 | (9) | (3) | (11) | 7 | 21 | 37 | 14 | (10) | ||||
Loss and LAE | 106 | 112 | 188 | 18 | 72 | (44) | 57 | 41 | 424 | 126 | 154 | ||||
Income (loss) before income taxes | 584 | 172 | 409 | 266 | 756 | 488 | 218 | 69 | 1,431 | 1,531 | 1,142 | ||||
Provision (benefit) for income taxes | 155 | 43 | 112 | 65 | 224 | 133 | 59 | 27 | 375 | 443 | 334 | ||||
Net income (loss) | 429 | $ 129 | $ 297 | $ 201 | 532 | $ 355 | $ 159 | $ 42 | 1,056 | 1,088 | 808 | ||||
Net cash flows provided by (used in) operating activities | (52) | 577 | 244 | ||||||||||||
Effect on shareholders’ equity (decrease) increase | 6,063 | 5,758 | 6,063 | 5,758 | 5,115 | $ 4,994 | |||||||||
Variable Interest Entity, Primary Beneficiary [Member] | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Net earned premiums | (21) | (32) | (60) | ||||||||||||
Net investment income | (32) | (11) | (13) | ||||||||||||
Net realized investment gains (losses) | 10 | (5) | 2 | ||||||||||||
Fair value gains (losses) on FG VIEs | 38 | 255 | 346 | ||||||||||||
Bargain purchase gain | 2 | 0 | 0 | ||||||||||||
Other income (loss) | 0 | (2) | 0 | ||||||||||||
Loss and LAE | 28 | 30 | 21 | ||||||||||||
Income (loss) before income taxes | 25 | 235 | 296 | ||||||||||||
Provision (benefit) for income taxes | 8 | 82 | 103 | ||||||||||||
Net income (loss) | 17 | 153 | 193 | ||||||||||||
Net cash flows provided by (used in) operating activities | 43 | 68 | $ (136) | ||||||||||||
Effect on shareholders’ equity (decrease) increase | $ (23) | $ (44) | $ (23) | $ (44) | |||||||||||
[1] | Excludes $21 million, $32 million and $60 million for the year ended December 31, 2015, 2014 and 2013, respectively, related to consolidated FG VIEs. |
Investments and Cash - Net Inve
Investments and Cash - Net Investment Income (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Net Investment Income | |||||||||||
Gross investment income | $ 433 | $ 412 | $ 401 | ||||||||
Investment expenses | (10) | (9) | (8) | ||||||||
Net investment income | $ 112 | $ 112 | $ 98 | $ 101 | $ 102 | $ 102 | $ 96 | $ 103 | 423 | 403 | 393 |
Fixed Maturities, Managed Externally [Member] | |||||||||||
Net Investment Income | |||||||||||
Gross investment income | 335 | 324 | 322 | ||||||||
Fixed Maturities, Managed Internally [Member] | |||||||||||
Net Investment Income | |||||||||||
Gross investment income | 61 | 74 | 74 | ||||||||
Other Invested Assets, Internally Managed [Member] | |||||||||||
Net Investment Income | |||||||||||
Gross investment income | $ 37 | $ 14 | $ 5 |
Investments and Cash - Net Real
Investments and Cash - Net Realized Investment Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Net Realized Investment Gains (Losses) | |||||||||||
Gross realized gains on available-for-sale securities | $ 44 | $ 14 | $ 73 | ||||||||
Gross realized gains on other assets in investment portfolio | 2 | 8 | 40 | ||||||||
Gross realized losses on available-for-sale securities | (15) | (5) | (12) | ||||||||
Gross realized losses on other assets in investment portfolio | (10) | (2) | (7) | ||||||||
Other-than-temporary impairment | (47) | (75) | (42) | ||||||||
Net realized investment gains (losses) | $ (6) | $ (27) | $ (9) | $ 16 | $ (35) | $ (19) | $ (8) | $ 2 | $ (26) | $ (60) | $ 52 |
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, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Roll Forward of Credit Losses in the Investment Portfolio | |||
Credit losses, beginning of period | $ 124 | $ 80 | $ 64 |
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized | 3 | 64 | 18 |
Eliminations of securities issued by FG VIEs | 0 | (15) | 0 |
Reductions for securities sold and other settlement during the period | (28) | (12) | (21) |
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized | 9 | 7 | 19 |
Credit losses, end of period | $ 108 | $ 124 | $ 80 |
Investments and Cash - Fixed Ma
Investments and Cash - Fixed Maturity Securities and Short Term Investments (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |
Investments | |||
Percent of Total | [1] | 100.00% | 100.00% |
Amortized Cost | $ 10,671 | $ 10,739 | |
Gross Unrealized Gains | 430 | 552 | |
Gross Unrealized Losses | (78) | (33) | |
Fixed-maturity securities | 11,023 | 11,258 | |
AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment | [2] | $ (21) | $ 8 |
Fixed Maturities [Member] | |||
Investments | |||
Percent of Total | [1] | 96.00% | 93.00% |
Amortized Cost | $ 10,275 | $ 9,972 | |
Gross Unrealized Gains | 430 | 552 | |
Gross Unrealized Losses | (78) | (33) | |
Fixed-maturity securities | 10,627 | 10,491 | |
AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment | [2] | $ (21) | $ 8 |
Short-term Investments [Member] | |||
Investments | |||
Percent of Total | [1] | 4.00% | 7.00% |
Amortized Cost | $ 396 | $ 767 | |
Gross Unrealized Gains | 0 | 0 | |
Gross Unrealized Losses | 0 | 0 | |
Fixed-maturity securities | 396 | 767 | |
AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment | [2] | $ 0 | $ 0 |
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | |||
Investments | |||
Percent of Total | [1] | 52.00% | 50.00% |
Amortized Cost | $ 5,528 | $ 5,416 | |
Gross Unrealized Gains | 323 | 380 | |
Gross Unrealized Losses | (10) | (1) | |
Fixed-maturity securities | 5,841 | 5,795 | |
AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment | [2] | $ 5 | $ 7 |
US Treasury and Government [Member] | Fixed Maturities [Member] | |||
Investments | |||
Percent of Total | [1] | 3.00% | 6.00% |
Amortized Cost | $ 377 | $ 635 | |
Gross Unrealized Gains | 23 | 31 | |
Gross Unrealized Losses | 0 | (1) | |
Fixed-maturity securities | 400 | 665 | |
AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment | [2] | $ 0 | $ 0 |
Corporate securities [Member] | Fixed Maturities [Member] | |||
Investments | |||
Percent of Total | [1] | 14.00% | 12.00% |
Amortized Cost | $ 1,505 | $ 1,320 | |
Gross Unrealized Gains | 38 | 53 | |
Gross Unrealized Losses | (23) | (5) | |
Fixed-maturity securities | 1,520 | 1,368 | |
AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment | [2] | $ (13) | $ (2) |
Residential Mortgage-Backed Securities (RMBS) [Member] | Fixed Maturities [Member] | |||
Investments | |||
Percent of Total | [1],[3] | 11.00% | 12.00% |
Amortized Cost | [3] | $ 1,238 | $ 1,255 |
Gross Unrealized Gains | [3] | 29 | 51 |
Gross Unrealized Losses | [3] | (22) | (21) |
Fixed-maturity securities | [3] | 1,245 | 1,285 |
AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment | [2],[3] | $ (7) | $ 0 |
Commercial Mortgage Backed Securities (CMBS) [Member] | Fixed Maturities [Member] | |||
Investments | |||
Percent of Total | [1],[3] | 5.00% | 6.00% |
Amortized Cost | [3] | $ 506 | $ 639 |
Gross Unrealized Gains | [3] | 9 | 20 |
Gross Unrealized Losses | [3] | (2) | 0 |
Fixed-maturity securities | [3] | 513 | 659 |
AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment | [2],[3] | $ 0 | $ 0 |
Asset-backed Securities [Member] | Fixed Maturities [Member] | |||
Investments | |||
Percent of Total | [1] | 8.00% | 4.00% |
Amortized Cost | $ 831 | $ 411 | |
Gross Unrealized Gains | 4 | 9 | |
Gross Unrealized Losses | (10) | (3) | |
Fixed-maturity securities | 825 | 417 | |
AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment | [2] | $ (6) | $ 3 |
Foreign government securities [Member] | Fixed Maturities [Member] | |||
Investments | |||
Percent of Total | [1] | 3.00% | 3.00% |
Amortized Cost | $ 290 | $ 296 | |
Gross Unrealized Gains | 4 | 8 | |
Gross Unrealized Losses | (11) | (2) | |
Fixed-maturity securities | 283 | 302 | |
AOCI(2) Gain (Loss) on Securities with Other-Than-Temporary Impairment | [2] | $ 0 | $ 0 |
[1] | Based on amortized cost. | ||
[2] | Accumulated OCI. See also Note 20, Other Comprehensive Income. | ||
[3] | Government-agency obligations were approximately 54% of mortgage backed securities as of December 31, 2015 and 44% as of December 31, 2014 based on fair value. |
Investments and Cash - Fair Val
Investments and Cash - Fair Value of Available-for-Sale Municipal Bond Portfolio by State and Revenue Sources (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | ||
State General Obligation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | $ 538 | $ 580 | |
Local General Obligation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 715 | 891 | |
Revenue Bonds [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | 3,369 | 3,235 | ||
Fixed-maturity securities | [1] | 3,570 | 3,478 | |
Obligations of state and political subdivisions [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities, available-for-sale, at fair value | 1,078 | 846 | ||
Amortized Cost | [1] | 4,561 | 4,619 | |
Fixed-maturity securities | [1] | 4,823 | 4,949 | |
Fixed Maturities [Member] | State General Obligation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 538 | ||
Fixed Maturities [Member] | State General Obligation [Member] | New York [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 13 | 13 | |
Fixed Maturities [Member] | State General Obligation [Member] | Texas [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 28 | 60 | |
Fixed Maturities [Member] | State General Obligation [Member] | California [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 78 | 45 | |
Fixed Maturities [Member] | State General Obligation [Member] | Florida [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 17 | 47 | |
Fixed Maturities [Member] | State General Obligation [Member] | Illinois [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 47 | 20 | |
Fixed Maturities [Member] | State General Obligation [Member] | Washington [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 59 | 67 | |
Fixed Maturities [Member] | State General Obligation [Member] | Massachusetts [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 75 | 46 | |
Fixed Maturities [Member] | State General Obligation [Member] | Arizona [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 0 | 0 | |
Fixed Maturities [Member] | State General Obligation [Member] | Michigan [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 0 | ||
Fixed Maturities [Member] | State General Obligation [Member] | Pennsylvania [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 48 | ||
Fixed Maturities [Member] | State General Obligation [Member] | Ohio [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 17 | 6 | |
Fixed Maturities [Member] | State General Obligation [Member] | All others [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 156 | 276 | |
Fixed Maturities [Member] | Local General Obligation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 715 | ||
Fixed Maturities [Member] | Local General Obligation [Member] | New York [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 59 | 41 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Texas [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 224 | 293 | |
Fixed Maturities [Member] | Local General Obligation [Member] | California [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 66 | 70 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Florida [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 0 | 34 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Illinois [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 69 | 99 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Washington [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 79 | 48 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Massachusetts [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 0 | 8 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Arizona [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 10 | 7 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Michigan [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 0 | ||
Fixed Maturities [Member] | Local General Obligation [Member] | Pennsylvania [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 26 | ||
Fixed Maturities [Member] | Local General Obligation [Member] | Ohio [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 14 | 40 | |
Fixed Maturities [Member] | Local General Obligation [Member] | All others [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 168 | 251 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | 3,309 | 3,235 | ||
Fixed-maturity securities | 3,510 | [1] | 3,478 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | New York [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 571 | 551 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Texas [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 325 | 305 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | California [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 411 | 377 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Florida [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 268 | 256 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Illinois [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 128 | 177 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Washington [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 200 | 163 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Massachusetts [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 148 | 169 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Arizona [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 181 | 170 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Michigan [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 132 | ||
Fixed Maturities [Member] | Revenue Bonds [Member] | Pennsylvania [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 47 | ||
Fixed Maturities [Member] | Revenue Bonds [Member] | Ohio [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 83 | 82 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | All others [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 1,148 | 1,096 | |
Fixed Maturities [Member] | Transportation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | 815 | 733 | ||
Fixed-maturity securities | 867 | 796 | ||
Fixed Maturities [Member] | Water and Sewer [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | 576 | 527 | ||
Fixed-maturity securities | 612 | 563 | ||
Fixed Maturities [Member] | Higher education [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | 487 | 492 | ||
Fixed-maturity securities | 518 | 527 | ||
Fixed Maturities [Member] | Tax backed [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | 576 | 514 | ||
Fixed-maturity securities | 610 | 551 | ||
Fixed Maturities [Member] | Municipal utilities [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | 393 | 479 | ||
Fixed-maturity securities | 414 | 512 | ||
Fixed Maturities [Member] | Healthcare [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | 321 | 317 | ||
Fixed-maturity securities | 344 | 346 | ||
Fixed Maturities [Member] | All Others [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | 141 | 173 | ||
Fixed-maturity securities | 145 | 183 | ||
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 4,501 | ||
Fixed-maturity securities | [1] | 4,763 | ||
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | New York [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 610 | 571 | |
Fixed-maturity securities | [1] | 643 | 605 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Texas [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 542 | 613 | |
Fixed-maturity securities | [1] | 577 | 658 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | California [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 521 | 449 | |
Fixed-maturity securities | [1] | 555 | 492 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Florida [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 266 | 311 | |
Fixed-maturity securities | [1] | 285 | 337 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Illinois [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 234 | 275 | |
Fixed-maturity securities | [1] | 244 | 296 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Washington [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 323 | 262 | |
Fixed-maturity securities | [1] | 338 | 278 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Massachusetts [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 207 | 204 | |
Fixed-maturity securities | [1] | 223 | 223 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Arizona [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 181 | 165 | |
Fixed-maturity securities | [1] | 191 | 177 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Michigan [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 122 | ||
Fixed-maturity securities | [1] | 132 | ||
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Pennsylvania [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 115 | ||
Fixed-maturity securities | [1] | 121 | ||
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Ohio [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 106 | 119 | |
Fixed-maturity securities | [1] | 114 | 128 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | All others [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 1,396 | 1,528 | |
Fixed-maturity securities | [1] | 1,472 | 1,623 | |
Short-term Investments [Member] | State General Obligation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1],[2] | 0 | ||
Short-term Investments [Member] | Local General Obligation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1],[2] | 0 | ||
Short-term Investments [Member] | Revenue Bonds [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [3] | 60 | 0 | |
Fixed-maturity securities | [3] | 60 | [1],[2] | $ 0 |
Short-term Investments [Member] | Obligations of state and political subdivisions [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1],[2] | 60 | ||
Fixed-maturity securities | [1],[2] | $ 60 | ||
[1] | Excludes $1,078 million and $846 million as of December 31, 2015 and 2014, respectively, of pre-refunded bonds, at fair value. The credit ratings are based on the underlying ratings and do not include any benefit from bond insurance. | |||
[2] | (2) Matured in the first quarter of 2016. | |||
[3] | Matured in the first quarter of 2016. |
Investments and Cash - Gross Un
Investments and Cash - Gross Unrealized Loss by Length of Time (Details) $ in Millions | Dec. 31, 2015USD ($)Security | Dec. 31, 2014USD ($)Security | |
Less than 12 months | |||
Fair value | $ 1,966 | $ 797 | |
Unrealized loss | (42) | (10) | |
12 months or more | |||
Fair Value | 276 | 393 | |
Unrealized loss | (36) | (23) | |
Total | |||
Fair value | 2,242 | 1,190 | |
Unrealized loss | $ (78) | $ (33) | |
Number of securities | |||
Less than 12 months (in securities) | Security | [1] | 335 | 125 |
12 months or more (in securities) | Security | [1] | 71 | 82 |
Total (in securities) | Security | [1] | 396 | 198 |
Number of securities with OTTI | |||
Less than 12 months (in securities) | Security | 9 | 3 | |
12 months or more (in securities) | Security | 4 | 7 | |
Total (in securities) | Security | 13 | 10 | |
Obligations of state and political subdivisions [Member] | |||
Less than 12 months | |||
Fair value | $ 316 | $ 64 | |
Unrealized loss | (10) | 0 | |
12 months or more | |||
Fair Value | 7 | 25 | |
Unrealized loss | 0 | (1) | |
Total | |||
Fair value | 323 | 89 | |
Unrealized loss | (10) | (1) | |
US Treasury and Government [Member] | |||
Less than 12 months | |||
Fair value | 77 | 139 | |
Unrealized loss | 0 | 0 | |
12 months or more | |||
Fair Value | 0 | 68 | |
Unrealized loss | 0 | (1) | |
Total | |||
Fair value | 77 | 207 | |
Unrealized loss | 0 | (1) | |
Corporate securities [Member] | |||
Less than 12 months | |||
Fair value | 381 | 189 | |
Unrealized loss | (8) | (3) | |
12 months or more | |||
Fair Value | 95 | 104 | |
Unrealized loss | (15) | (2) | |
Total | |||
Fair value | 476 | 293 | |
Unrealized loss | (23) | (5) | |
Residential Mortgage-Backed Securities (RMBS) [Member] | |||
Less than 12 months | |||
Fair value | 438 | 205 | |
Unrealized loss | (8) | (3) | |
12 months or more | |||
Fair Value | 90 | 159 | |
Unrealized loss | (14) | (18) | |
Total | |||
Fair value | 528 | 364 | |
Unrealized loss | (22) | (21) | |
Commercial Mortgage Backed Securities (CMBS) [Member] | |||
Less than 12 months | |||
Fair value | 140 | 36 | |
Unrealized loss | (2) | 0 | |
12 months or more | |||
Fair Value | 2 | 19 | |
Unrealized loss | 0 | 0 | |
Total | |||
Fair value | 142 | 55 | |
Unrealized loss | (2) | 0 | |
Asset-backed Securities [Member] | |||
Less than 12 months | |||
Fair value | 517 | 56 | |
Unrealized loss | (10) | (2) | |
12 months or more | |||
Fair Value | 0 | 18 | |
Unrealized loss | 0 | (1) | |
Total | |||
Fair value | 517 | 74 | |
Unrealized loss | (10) | (3) | |
Foreign government securities [Member] | |||
Less than 12 months | |||
Fair value | 97 | 108 | |
Unrealized loss | (4) | (2) | |
12 months or more | |||
Fair Value | 82 | 0 | |
Unrealized loss | (7) | 0 | |
Total | |||
Fair value | 179 | 108 | |
Unrealized loss | $ (11) | $ (2) | |
[1] | The number of securities does not add across because lots of the same securities have been purchased at different times and appear in both categories above (i.e., Less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column. |
Investments and Cash - Distribu
Investments and Cash - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | |
Amortized Cost | |||
Amortized cost | $ 10,275 | $ 9,972 | |
Estimated Fair Value | |||
Estimated fair value | 11,023 | 11,258 | |
Fixed Maturities [Member] | |||
Amortized Cost | |||
Due within one year | 234 | ||
Due after one year through five years | 1,911 | ||
Due after five years through 10 years | 2,169 | ||
Due after 10 years | 4,217 | ||
Amortized cost | 10,275 | ||
Estimated Fair Value | |||
Due within one year | 233 | ||
Due after one year through five years | 1,965 | ||
Due after five years through 10 years | 2,257 | ||
Due after 10 years | 4,414 | ||
Estimated fair value | 10,627 | 10,491 | |
Fixed Maturities [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||
Amortized Cost | |||
Amortized cost | 1,238 | ||
Estimated Fair Value | |||
Estimated fair value | [1] | 1,245 | 1,285 |
Fixed Maturities [Member] | Commercial Mortgage Backed Securities (CMBS) [Member] | |||
Amortized Cost | |||
Amortized cost | 506 | ||
Estimated Fair Value | |||
Estimated fair value | [1] | $ 513 | $ 659 |
[1] | Government-agency obligations were approximately 54% of mortgage backed securities as of December 31, 2015 and 44% as of December 31, 2014 based on fair value. |
Investments and Cash - Internal
Investments and Cash - Internally Managed Investment Portfolio (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | $ 11,023 | $ 11,258 |
Other invested assets | 169 | 126 |
Internally managed portfolio | 11,192 | 11,384 |
Fixed Maturities, Managed Internally [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | 1,266 | 835 |
Other Invested Assets, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 114 | 46 |
Other, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 55 | 79 |
Internally Managed Portfolio [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Internally managed portfolio | $ 1,435 | $ 960 |
Investments and Cash - Narrativ
Investments and Cash - Narrative (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2015USD ($)SecurityPerson | Dec. 31, 2014USD ($) | |
Investment [Line Items] | ||
Percentage of decline in market value of security below amortized cost, considered for assessing impairment of investments | 20.00% | |
Continuous period of decline in market value below amortized costs considered for assessing impairment of investments | 6 months | |
Continuous period of decline in market value of security, considered for assessing impairment of investments | 12 months | |
Accrued investment income | $ 99 | $ 98 |
Government agency obligations | 54.00% | 44.00% |
Number of outside managers managing investment portfolio | Person | 4 | |
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | Security | 9 | |
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $ 26 | |
Assets held-in-trust | 283 | $ 236 |
Fair market value of company's pledged securities | $ 305 | $ 376 |
Investment in Portfolio Funding Company LLC I | ||
Investment [Line Items] | ||
Percentage of an equity investment acquired in a restructuring of an insured CDS | 50.00% | |
Investments [Member] | Available-for-sale Securities [Member] | ||
Investment [Line Items] | ||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 98.50% | |
Investments [Member] | Internally Managed Portfolio [Member] | ||
Investment [Line Items] | ||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 13.00% | 8.00% |
Assured Guaranty Subsidiaries [Member] | ||
Investment [Line Items] | ||
Assets held-in-trust | $ 1,411 | $ 1,395 |
Insurance Company Regulatory115
Insurance Company Regulatory Requirements - Narrative (Details) - USD ($) | Jul. 17, 2013 | Jul. 13, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Jul. 16, 2013 | |
Statutory Accounting Practices [Line Items] | ||||||
Deferred tax assets, adjusted surplus threshold, realization period | 3 years | |||||
Deferred tax assets, adjusted surplus threshold, percent | 15.00% | |||||
Assured Guaranty Re [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Policyholders' surplus | $ 1,018,000,000 | $ 1,114,000,000 | ||||
AGM and AGC [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Incremental reassumption period | 3 years | |||||
Contingency reserves, reserves for contingencies reassumed | 522,000,000 | |||||
AGC [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Policyholders' surplus | [1],[2] | 1,365,000,000 | 1,086,000,000 | |||
Payments for interest in subsidiary | $ 275,000,000 | |||||
Intercompany, ceded premiums | 24,000,000,000 | |||||
Intercompany, ceded unearned premiums | 249,000,000 | |||||
Contingency reserves, release of assets | 134,000,000 | |||||
MAC [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Policyholders' surplus | 730,000,000 | 612,000,000 | $ 800,000,000 | |||
Statutory Accounting Practices, Contingency Reserves Reassumed | 56,000,000 | |||||
Assured Guaranty (Bermuda) Ltd (AGBM) [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Surplus notes | $ 82,500,000 | |||||
Municipal Assurance Corp Holdings [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Policyholders' surplus | 400,000,000 | |||||
Surplus notes | 300,000,000 | |||||
AGM [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Policyholders' surplus | [2] | 2,441,000,000 | $ 2,267,000,000 | |||
Payments for interest in subsidiary | 425,000,000 | |||||
Intercompany, ceded premiums | 87,000,000,000 | |||||
Intercompany, ceded unearned premiums | 468,000,000 | |||||
Contingency reserves, release of assets | $ 253,000,000 | |||||
AGM [Member] | AGM [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Surplus notes | $ 100,000,000 | |||||
Subsidiaries [Member] | Municipal Assurance Corp Holdings [Member] | AGM [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Holding company's percent ownership of common stock | 61.00% | |||||
Subsidiaries [Member] | Municipal Assurance Corp Holdings [Member] | MAC [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Holding company's percent ownership of common stock | 100.00% | |||||
Subsidiaries [Member] | Municipal Assurance Corp Holdings [Member] | AGC [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Holding company's percent ownership of common stock | 39.00% | |||||
New York [Member] | AGM [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Threshold for dividend payments as a percentage of policyholder surplus | 10.00% | |||||
Threshold for dividend payments, percentage of adjusted net investment income | 100.00% | |||||
Amount available for distribution, current year | $ 244,000,000 | |||||
Amount available for distribution, next fiscal quarter | $ 95,000,000 | |||||
MARYLAND | AGC [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Threshold for dividend payments as a percentage of policyholder surplus | 10.00% | |||||
Threshold for dividend payments, percentage of adjusted net investment income | 100.00% | |||||
Amount available for distribution, current year | $ 9,000,000 | |||||
Dividend restrictions on outstanding statutory surplus | 79,000,000 | |||||
Bermuda [Member] | Assured Guaranty Re [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Unencumbered assets | $ 640,000,000 | |||||
Dividend payment restrictions, percentage of statutory capital | 15.00% | |||||
Statutory surplus | $ 174,000,000 | |||||
Dividend restrictions on statutory capital and surplus (as a percent) | 25.00% | |||||
Dividend restrictions on outstanding statutory surplus | $ 254,000,000 | |||||
Capital distributions | $ 127,000,000 | |||||
Minimum [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Rate at which present value of expected losses are discounted (as a percent) | 4.00% | |||||
Maximum [Member] | ||||||
Statutory Accounting Practices [Line Items] | ||||||
Rate at which present value of expected losses are discounted (as a percent) | 5.00% | |||||
[1] | As indicated in Note 2, Acquisition of Radian Asset Assurance Inc., AGC completed the acquisition of Radian Asset on April 1, 2015. Radian Asset was merged with and into AGC, with AGC as the surviving company of the merger. The impact to AGC's policyholders' surplus was approximately $333 million, on a statutory basis, as of April 1, 2015. | |||||
[2] | Policyholders' surplus of AGM and AGC include their indirect share of MAC. AGM and AGC own approximately 61% and 39%, respectively, of the outstanding stock of Municipal Assurance Holdings Inc. ("MAC Holdings"), which owns 100% of the outstanding common stock of MAC. |
Insurance Company Regulatory116
Insurance Company Regulatory Requirements - Insurance Regulatory Amounts Reported (Details) - USD ($) | 12 Months Ended | ||||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Apr. 01, 2015 | Jul. 17, 2013 | Jul. 16, 2013 | ||
Municipal Assurance Corp Holdings [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | $ 400,000,000 | ||||||
AGM [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | [1] | $ 2,441,000,000 | $ 2,267,000,000 | ||||
Net Income (Loss) | [1] | 217,000,000 | 304,000,000 | $ 340,000,000 | |||
MAC [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | 730,000,000 | 612,000,000 | $ 800,000,000 | ||||
Net Income (Loss) | 102,000,000 | 75,000,000 | 26,000,000 | ||||
AGC [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | [1],[2] | 1,365,000,000 | 1,086,000,000 | ||||
Net Income (Loss) | [1],[2] | (92,000,000) | 116,000,000 | 211,000,000 | |||
Assured Guaranty Re [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | 1,018,000,000 | 1,114,000,000 | |||||
Net Income (Loss) | $ 85,000,000 | $ 28,000,000 | $ 103,000,000 | ||||
Subsidiaries [Member] | AGM [Member] | Municipal Assurance Corp Holdings [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Holding company's percent ownership of common stock | 61.00% | ||||||
Subsidiaries [Member] | MAC [Member] | Municipal Assurance Corp Holdings [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Holding company's percent ownership of common stock | 100.00% | ||||||
Subsidiaries [Member] | AGC [Member] | Municipal Assurance Corp Holdings [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Holding company's percent ownership of common stock | 39.00% | ||||||
Radian [Member] | AGC [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | [1] | $ 333,000,000 | |||||
[1] | Policyholders' surplus of AGM and AGC include their indirect share of MAC. AGM and AGC own approximately 61% and 39%, respectively, of the outstanding stock of Municipal Assurance Holdings Inc. ("MAC Holdings"), which owns 100% of the outstanding common stock of MAC. | ||||||
[2] | As indicated in Note 2, Acquisition of Radian Asset Assurance Inc., AGC completed the acquisition of Radian Asset on April 1, 2015. Radian Asset was merged with and into AGC, with AGC as the surviving company of the merger. The impact to AGC's policyholders' surplus was approximately $333 million, on a statutory basis, as of April 1, 2015. |
Insurance Company Regulatory117
Insurance Company Regulatory Requirements - Dividends and Surplus Notes By Insurance Company Subsidiaries (Details) - Affiliated Entity [Member] - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Municipal Assurance Corp Holdings [Member] | MAC [Member] | |||
Statutory Accounting Practices [Line Items] | |||
Issuance of surplus notes | $ 0 | $ 0 | $ (300) |
AGM [Member] | MAC [Member] | |||
Statutory Accounting Practices [Line Items] | |||
Issuance of surplus notes | 0 | 0 | (100) |
Assured Guaranty LTD [Member] | Assured Guaranty Re [Member] | |||
Statutory Accounting Practices [Line Items] | |||
Dividends paid | 150 | 82 | 144 |
AGMH [Member] | AGM [Member] | |||
Statutory Accounting Practices [Line Items] | |||
Dividends paid | 215 | 160 | 163 |
Repayment of surplus notes | 25 | 50 | 50 |
AGUS [Member] | AGC [Member] | |||
Statutory Accounting Practices [Line Items] | |||
Dividends paid | $ 90 | $ 69 | $ 67 |
Income Taxes - Effective Tax Ra
Income Taxes - Effective Tax Rate Reconciliation and Pretax Income (Loss) and Revenue by Tax Jurisdiction (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Pre-tax Income Taxes and Revenue [Line Items] | |||||||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $ 443 | $ 490 | $ 390 | ||||||||
Tax-exempt interest | (54) | (53) | (57) | ||||||||
Gain on bargain purchase | (19) | 0 | 0 | ||||||||
Change in liability for uncertain tax positions | 12 | 9 | (2) | ||||||||
Other | (7) | (3) | 3 | ||||||||
Total provision (benefit) for income taxes | $ 155 | $ 43 | $ 112 | $ 65 | $ 224 | $ 133 | $ 59 | $ 27 | $ 375 | $ 443 | $ 334 |
Effective tax rate (as a percent) | 26.20% | 28.90% | 29.20% | ||||||||
Income (loss) before provision for income taxes | $ 584 | $ 172 | $ 409 | $ 266 | $ 756 | $ 488 | $ 218 | $ 69 | $ 1,431 | $ 1,531 | $ 1,142 |
Revenue | 2,207 | 1,994 | 1,608 | ||||||||
United States [Member] | |||||||||||
Pre-tax Income Taxes and Revenue [Line Items] | |||||||||||
Income (loss) before provision for income taxes | 1,284 | 1,420 | 1,118 | ||||||||
Revenue | 1,853 | 1,633 | 1,389 | ||||||||
Bermuda [Member] | |||||||||||
Pre-tax Income Taxes and Revenue [Line Items] | |||||||||||
Income (loss) before provision for income taxes | 177 | 142 | 27 | ||||||||
Revenue | 361 | 365 | 219 | ||||||||
United Kingdom [Member] | |||||||||||
Pre-tax Income Taxes and Revenue [Line Items] | |||||||||||
Income (loss) before provision for income taxes | (30) | (31) | (3) | ||||||||
Revenue | $ (7) | $ (4) | $ 0 |
Income Taxes - Components of Ne
Income Taxes - Components of Net Deferred Tax Assets (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Deferred tax assets: | ||
Unrealized losses on credit derivative financial instruments, net | $ 33 | $ 224 |
Unearned premium reserves, net | 254 | 55 |
Loss and LAE reserve | 64 | 66 |
Tax and loss bonds | 39 | 39 |
Alternative minimum tax credit | 55 | 57 |
Foreign tax credit | 11 | 0 |
FG VIEs | 0 | 13 |
DAC | 27 | 35 |
Investment basis difference | 86 | 104 |
Deferred compensation | 41 | 38 |
Other | 17 | 19 |
Total deferred income tax assets | 627 | 650 |
Deferred tax liabilities: | ||
Contingency reserves | 64 | 64 |
Public debt | 94 | 96 |
Unrealized appreciation on investments | 108 | 159 |
Unrealized gains on CCS | 22 | 22 |
Market discount | 21 | 28 |
FG VIEs | 13 | 0 |
Other | 18 | 21 |
Total deferred income tax liabilities | 340 | 390 |
Less: Valuation allowance | 11 | 0 |
Net deferred income tax asset | $ 276 | $ 260 |
Income Taxes - Uncertain Tax Po
Income Taxes - Uncertain Tax Positions (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Reconciliation of Unrecognized Tax Benefits, Excluding Amounts Pertaining to Examined Tax Returns [Roll Forward] | |||
Balance as of January 1, | $ 28 | $ 20 | $ 22 |
True-up from tax return filings | 10 | 6 | 4 |
Increase in unrecognized tax benefits as a result of position taken during the current period | 2 | 2 | 3 |
Decrease due to closing of IRS audit | 0 | 0 | (9) |
Balance as of December 31, | $ 40 | $ 28 | $ 20 |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Millions | Apr. 01, 2015 | Dec. 31, 2015 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Income Taxes [Line Items] | |||||||
Corporate tax rate | 35.00% | ||||||
Less: Valuation allowance | $ 11 | $ 11 | $ 0 | ||||
Realization assessment period | 3 years | ||||||
Interest and penalties related to uncertain tax positions | $ 1 | 1 | $ 1 | ||||
Accrued interest and penalties, uncertain tax positions | $ 5.4 | $ 5.4 | $ 4.5 | ||||
United Kingdom [Member] | |||||||
Income Taxes [Line Items] | |||||||
Corporate tax rate | 20.00% | ||||||
Value added tax rate | 20.00% | ||||||
United Kingdom [Member] | |||||||
Income Taxes [Line Items] | |||||||
Corporate tax rate | 20.00% | 20.25% | 21.00% | 21.50% | 23.00% | ||
Alternative Minimum Tax Credit Carryforward [Member] | |||||||
Income Taxes [Line Items] | |||||||
Foreign tax credit | $ 55 | $ 55 | |||||
Radian [Member] | |||||||
Income Taxes [Line Items] | |||||||
Less: Valuation allowance | $ 11 | $ 11 |
Reinsurance and Other Monoli122
Reinsurance and Other Monoline Exposures - Net Effect of Commutations of Ceded and Cancellations of Assumed Reinsurance Contracts (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Insurance [Abstract] | |||
Increase (decrease) in net unearned premium reserve | $ 23 | $ 20 | $ 11 |
Increase (decrease) in net par outstanding | 855 | 1,167 | 151 |
Commutation gains recorded in other income | $ 28 | $ 23 | $ 2 |
Reinsurance and Other Monoli123
Reinsurance and Other Monoline Exposures - Effect of Reinsurance on Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||||
Premiums Written: | |||||||||||||||
Direct | $ 164 | $ 116 | $ 106 | ||||||||||||
Assumed | [1] | 17 | (12) | 17 | |||||||||||
Ceded | [2] | 10 | 15 | 2 | |||||||||||
Net | 191 | 119 | 125 | ||||||||||||
Premiums Earned: | |||||||||||||||
Direct | 792 | 581 | 819 | ||||||||||||
Assumed | 40 | 47 | 40 | ||||||||||||
Ceded | (66) | (58) | (107) | ||||||||||||
Net | $ 192 | $ 213 | $ 219 | $ 142 | $ 158 | $ 144 | $ 136 | $ 132 | 766 | [3] | 570 | [3] | 752 | [3] | |
Loss and LAE: | |||||||||||||||
Direct | 399 | 132 | 110 | ||||||||||||
Assumed | 45 | 37 | 73 | ||||||||||||
Ceded | (20) | (43) | (29) | ||||||||||||
Net | $ 106 | $ 112 | $ 188 | $ 18 | $ 72 | $ (44) | $ 57 | $ 41 | $ 424 | $ 126 | $ 154 | ||||
[1] | Negative assumed premiums written were due to changes in expected Debt Service schedules | ||||||||||||||
[2] | Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules. | ||||||||||||||
[3] | Excludes $21 million, $32 million and $60 million for the year ended December 31, 2015, 2014 and 2013, respectively, related to consolidated FG VIEs. |
Reinsurance and Other Monoli124
Reinsurance and Other Monoline Exposures - Exposure by Reinsurer (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | ||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | $ 14,621 | [1] | $ 22,975 | |
Second-to- Pay Insured Par Outstanding | [1],[2] | 14,608 | ||
Assumed Par Outstanding | [1] | 21,339 | ||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[3] | 5,227 | ||
Second-to- Pay Insured Par Outstanding | [1],[3] | 0 | ||
Assumed Par Outstanding | [1],[3] | 30 | ||
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[3],[4] | 4,216 | ||
Second-to- Pay Insured Par Outstanding | [1],[3],[4] | 0 | ||
Assumed Par Outstanding | [1],[3],[4] | 0 | ||
Syncora Guarantee Inc. [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[3] | 2,451 | ||
Second-to- Pay Insured Par Outstanding | [1],[2],[3] | 1,244 | ||
Assumed Par Outstanding | [1],[3] | 727 | ||
Mitsui Sumitomo Insurance Co. Ltd. [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[3],[4] | 1,818 | ||
Second-to- Pay Insured Par Outstanding | [1],[3],[4] | 0 | ||
Assumed Par Outstanding | [1],[3],[4] | 0 | ||
Aca Financial Guaranty Corp [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 714 | ||
Second-to- Pay Insured Par Outstanding | [1],[2] | 20 | ||
Assumed Par Outstanding | [1] | 0 | ||
Ambac [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 117 | ||
Second-to- Pay Insured Par Outstanding | [1],[2] | 3,889 | ||
Assumed Par Outstanding | [1] | 10,388 | ||
National Public Finance Guarantee Corporation [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[5] | 0 | ||
Second-to- Pay Insured Par Outstanding | [1],[2],[5] | 5,299 | ||
Assumed Par Outstanding | [1],[5] | 5,100 | ||
MBIA Inc. [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[6] | 0 | ||
Second-to- Pay Insured Par Outstanding | [1],[2],[6] | 1,802 | ||
Assumed Par Outstanding | [1],[6] | 440 | ||
FGIC [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[7] | 0 | ||
Second-to- Pay Insured Par Outstanding | [1],[2],[7] | 1,424 | ||
Assumed Par Outstanding | [1],[7] | 652 | ||
Ambac Assurance Corp. Segregated account [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 0 | ||
Second-to- Pay Insured Par Outstanding | [1],[2] | 91 | ||
Assumed Par Outstanding | [1] | 873 | ||
CIFG Assurance North America Inc. [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 0 | ||
Second-to- Pay Insured Par Outstanding | [1],[2] | 43 | ||
Assumed Par Outstanding | [1] | 2,996 | ||
Other [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[8] | 78 | ||
Second-to- Pay Insured Par Outstanding | [1],[2],[8] | 796 | ||
Assumed Par Outstanding | [1],[8] | $ 133 | ||
[1] | Includes par related to insured credit derivatives | |||
[2] | Assured Guaranty’s internal rating. | |||
[3] | Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules. | |||
[4] | The Company benefits from trust arrangements that satisfy the triple-A credit requirement of S&P and/or Moody’s. | |||
[5] | National is rated AA+ by KBRA. | |||
[6] | MBIA includes subsidiaries MBIA Insurance Corp. rated B by S&P and B3 by Moody's and MBIA U.K. Insurance Ltd. rated BB by S&P and Ba2 by Moody’s. | |||
[7] | FGIC includes subsidiaries Financial Guaranty Insurance Company and FGIC UK Limited both of which had their ratings withdrawn by rating agencies. | |||
[8] | The total collateral posted by all non-affiliated reinsurers required or agreeing to post collateral as of December 31, 2015, is approximately $470 million. |
Reinsurance and Other Monoli125
Reinsurance and Other Monoline Exposures - Exposure by Credit Rating (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | ||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | $ 14,621 | [1] | $ 22,975 | |
Internal Credit Rating, AAA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 1,147 | |||
Internal Credit Rating, AA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 3,471 | |||
Internal Credit Rating, A [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 4,122 | |||
Internal Credit Rating, BBB [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 4,637 | |||
BIG [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 1,244 | |||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[2] | 5,227 | ||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) [Member] | Internal Credit Rating, AAA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 403 | |||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) [Member] | Internal Credit Rating, AA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 1,809 | |||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) [Member] | Internal Credit Rating, A [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 1,607 | |||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) [Member] | Internal Credit Rating, BBB [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 1,087 | |||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) [Member] | BIG [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 321 | |||
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[2],[3] | 4,216 | ||
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | Internal Credit Rating, AAA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 564 | |||
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | Internal Credit Rating, AA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 529 | |||
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | Internal Credit Rating, A [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 1,131 | |||
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | Internal Credit Rating, BBB [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 1,365 | |||
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | BIG [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 627 | |||
Syncora Guarantee Inc. [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[2] | 2,451 | ||
Syncora Guarantee Inc. [Member] | Internal Credit Rating, AAA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 0 | |||
Syncora Guarantee Inc. [Member] | Internal Credit Rating, AA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 132 | |||
Syncora Guarantee Inc. [Member] | Internal Credit Rating, A [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 430 | |||
Syncora Guarantee Inc. [Member] | Internal Credit Rating, BBB [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 1,766 | |||
Syncora Guarantee Inc. [Member] | BIG [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 123 | |||
Mitsui Sumitomo Insurance Co. Ltd. [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[2],[3] | 1,818 | ||
Mitsui Sumitomo Insurance Co. Ltd. [Member] | Internal Credit Rating, AAA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 131 | |||
Mitsui Sumitomo Insurance Co. Ltd. [Member] | Internal Credit Rating, AA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 552 | |||
Mitsui Sumitomo Insurance Co. Ltd. [Member] | Internal Credit Rating, A [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 590 | |||
Mitsui Sumitomo Insurance Co. Ltd. [Member] | Internal Credit Rating, BBB [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 372 | |||
Mitsui Sumitomo Insurance Co. Ltd. [Member] | BIG [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 173 | |||
Aca Financial Guaranty Corp [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 714 | ||
Aca Financial Guaranty Corp [Member] | Internal Credit Rating, AAA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 0 | |||
Aca Financial Guaranty Corp [Member] | Internal Credit Rating, AA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 449 | |||
Aca Financial Guaranty Corp [Member] | Internal Credit Rating, A [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 246 | |||
Aca Financial Guaranty Corp [Member] | Internal Credit Rating, BBB [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 19 | |||
Aca Financial Guaranty Corp [Member] | BIG [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 0 | |||
Ambac [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 117 | ||
Ambac [Member] | Internal Credit Rating, AAA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 0 | |||
Ambac [Member] | Internal Credit Rating, AA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 0 | |||
Ambac [Member] | Internal Credit Rating, A [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 117 | |||
Ambac [Member] | Internal Credit Rating, BBB [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 0 | |||
Ambac [Member] | BIG [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 0 | |||
Other [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[4] | 78 | ||
Other [Member] | Internal Credit Rating, AAA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 49 | |||
Other [Member] | Internal Credit Rating, AA [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 0 | |||
Other [Member] | Internal Credit Rating, A [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 1 | |||
Other [Member] | Internal Credit Rating, BBB [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 28 | |||
Other [Member] | BIG [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | $ 0 | |||
[1] | Includes par related to insured credit derivatives | |||
[2] | Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules. | |||
[3] | The Company benefits from trust arrangements that satisfy the triple-A credit requirement of S&P and/or Moody’s. | |||
[4] | The total collateral posted by all non-affiliated reinsurers required or agreeing to post collateral as of December 31, 2015, is approximately $470 million. |
Reinsurance and Other Monoli126
Reinsurance and Other Monoline Exposures - Second-to-Pay Insured Par Outstanding by Internal Rating (Details) $ in Millions | Dec. 31, 2015USD ($) | [1] |
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | $ 14,608 | [2] |
Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 1,244 | [2],[3] |
Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 20 | [2] |
Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 3,889 | [2] |
National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 5,299 | [2],[4] |
MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 1,802 | [2],[5] |
FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 1,424 | [2],[6] |
Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 91 | [2] |
CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 43 | [2] |
Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 796 | [2],[7] |
Public Finance [Member] | Internal Credit Rating, AAA [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 81 | |
Public Finance [Member] | Internal Credit Rating, AAA [Member] | Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, AAA [Member] | Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, AAA [Member] | Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 10 | |
Public Finance [Member] | Internal Credit Rating, AAA [Member] | National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 71 | |
Public Finance [Member] | Internal Credit Rating, AAA [Member] | MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, AAA [Member] | FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, AAA [Member] | Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, AAA [Member] | CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, AAA [Member] | Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, AA [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 3,636 | |
Public Finance [Member] | Internal Credit Rating, AA [Member] | Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 71 | |
Public Finance [Member] | Internal Credit Rating, AA [Member] | Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, AA [Member] | Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 1,024 | |
Public Finance [Member] | Internal Credit Rating, AA [Member] | National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 1,649 | |
Public Finance [Member] | Internal Credit Rating, AA [Member] | MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 65 | |
Public Finance [Member] | Internal Credit Rating, AA [Member] | FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 31 | |
Public Finance [Member] | Internal Credit Rating, AA [Member] | Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, AA [Member] | CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, AA [Member] | Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 796 | |
Public Finance [Member] | Internal Credit Rating, A [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 6,251 | |
Public Finance [Member] | Internal Credit Rating, A [Member] | Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 176 | |
Public Finance [Member] | Internal Credit Rating, A [Member] | Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, A [Member] | Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 1,517 | |
Public Finance [Member] | Internal Credit Rating, A [Member] | National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 3,555 | |
Public Finance [Member] | Internal Credit Rating, A [Member] | MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 254 | |
Public Finance [Member] | Internal Credit Rating, A [Member] | FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 749 | |
Public Finance [Member] | Internal Credit Rating, A [Member] | Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, A [Member] | CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, A [Member] | Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, BBB [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 2,223 | |
Public Finance [Member] | Internal Credit Rating, BBB [Member] | Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 624 | |
Public Finance [Member] | Internal Credit Rating, BBB [Member] | Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 1 | |
Public Finance [Member] | Internal Credit Rating, BBB [Member] | Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 1,085 | |
Public Finance [Member] | Internal Credit Rating, BBB [Member] | National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, BBB [Member] | MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 240 | |
Public Finance [Member] | Internal Credit Rating, BBB [Member] | FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 251 | |
Public Finance [Member] | Internal Credit Rating, BBB [Member] | Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | Internal Credit Rating, BBB [Member] | CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 22 | |
Public Finance [Member] | Internal Credit Rating, BBB [Member] | Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | BIG [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 619 | |
Public Finance [Member] | BIG [Member] | Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 329 | |
Public Finance [Member] | BIG [Member] | Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 19 | |
Public Finance [Member] | BIG [Member] | Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 49 | |
Public Finance [Member] | BIG [Member] | National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | BIG [Member] | MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | BIG [Member] | FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 201 | |
Public Finance [Member] | BIG [Member] | Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Public Finance [Member] | BIG [Member] | CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 21 | |
Public Finance [Member] | BIG [Member] | Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AAA [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 150 | |
Structured Finance [Member] | Internal Credit Rating, AAA [Member] | Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AAA [Member] | Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AAA [Member] | Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 1 | |
Structured Finance [Member] | Internal Credit Rating, AAA [Member] | National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AAA [Member] | MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AAA [Member] | FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 149 | |
Structured Finance [Member] | Internal Credit Rating, AAA [Member] | Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AAA [Member] | CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AAA [Member] | Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AA [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 910 | |
Structured Finance [Member] | Internal Credit Rating, AA [Member] | Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AA [Member] | Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AA [Member] | Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AA [Member] | National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AA [Member] | MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 886 | |
Structured Finance [Member] | Internal Credit Rating, AA [Member] | FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AA [Member] | Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 24 | |
Structured Finance [Member] | Internal Credit Rating, AA [Member] | CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, AA [Member] | Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, A [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 106 | |
Structured Finance [Member] | Internal Credit Rating, A [Member] | Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, A [Member] | Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, A [Member] | Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 58 | |
Structured Finance [Member] | Internal Credit Rating, A [Member] | National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 24 | |
Structured Finance [Member] | Internal Credit Rating, A [Member] | MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 16 | |
Structured Finance [Member] | Internal Credit Rating, A [Member] | FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 8 | |
Structured Finance [Member] | Internal Credit Rating, A [Member] | Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, A [Member] | CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, A [Member] | Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, BBB [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 371 | |
Structured Finance [Member] | Internal Credit Rating, BBB [Member] | Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, BBB [Member] | Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, BBB [Member] | Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 137 | |
Structured Finance [Member] | Internal Credit Rating, BBB [Member] | National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, BBB [Member] | MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 234 | |
Structured Finance [Member] | Internal Credit Rating, BBB [Member] | FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, BBB [Member] | Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, BBB [Member] | CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | Internal Credit Rating, BBB [Member] | Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | BIG [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 261 | |
Structured Finance [Member] | BIG [Member] | Syncora Guarantee Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 44 | |
Structured Finance [Member] | BIG [Member] | Aca Financial Guaranty Corp [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | BIG [Member] | Ambac [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 8 | |
Structured Finance [Member] | BIG [Member] | National Public Finance Guarantee Corporation [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | BIG [Member] | MBIA Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 107 | |
Structured Finance [Member] | BIG [Member] | FGIC [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 35 | |
Structured Finance [Member] | BIG [Member] | Ambac Assurance Corp. Segregated account [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 67 | |
Structured Finance [Member] | BIG [Member] | CIFG Assurance North America Inc. [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | 0 | |
Structured Finance [Member] | BIG [Member] | Other [Member] | ||
Ceded Credit Risk [Line Items] | ||
Second-to- Pay Insured Par Outstanding | $ 0 | |
[1] | Assured Guaranty’s internal rating. | |
[2] | Includes par related to insured credit derivatives | |
[3] | Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules. | |
[4] | National is rated AA+ by KBRA. | |
[5] | MBIA includes subsidiaries MBIA Insurance Corp. rated B by S&P and B3 by Moody's and MBIA U.K. Insurance Ltd. rated BB by S&P and Ba2 by Moody’s. | |
[6] | FGIC includes subsidiaries Financial Guaranty Insurance Company and FGIC UK Limited both of which had their ratings withdrawn by rating agencies. | |
[7] | The total collateral posted by all non-affiliated reinsurers required or agreeing to post collateral as of December 31, 2015, is approximately $470 million. |
Reinsurance and Other Monoli127
Reinsurance and Other Monoline Exposures - Reinsurance and Other Monoline Exposures (Details) $ in Millions | Dec. 31, 2015USD ($) |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | $ 82 |
Ceded Premium, net of Commissions | (47) |
Assumed Expected Loss to be Paid | (163) |
Ceded Expected Loss to be Paid | 89 |
American Overseas Reinsurance Company Limited (f/k/a Ram Re) [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (7) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 24 |
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (12) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 43 |
Syncora Guarantee Inc. [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 15 |
Ceded Premium, net of Commissions | (22) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 5 |
Mitsui Sumitomo Insurance Co. Ltd. [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (3) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 17 |
Ambac [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 41 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (5) |
Ceded Expected Loss to be Paid | 0 |
National Public Finance Guarantee Corporation [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 6 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (4) |
Ceded Expected Loss to be Paid | 0 |
MBIA Inc. [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 5 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (11) |
Ceded Expected Loss to be Paid | 0 |
FGIC [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 4 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (14) |
Ceded Expected Loss to be Paid | 0 |
Ambac Assurance Corp. Segregated account [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 11 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (67) |
Ceded Expected Loss to be Paid | 0 |
CIFG Assurance North America Inc. [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (62) |
Ceded Expected Loss to be Paid | 0 |
Other [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (3) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | $ 0 |
Reinsurance and Other Monoli128
Reinsurance and Other Monoline Exposures - Narrative (Details) - USD ($) | Jan. 01, 2016 | Jan. 31, 2014 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Jan. 01, 2014 |
Ceded Credit Risk [Line Items] | |||||||
Fixed-maturity securities | $ 11,023,000,000 | $ 11,258,000,000 | |||||
Commutation gains recorded in other income | 28,000,000 | 23,000,000 | $ 2,000,000 | ||||
Non-affiliated Reinsurers [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Collateral posted by non-affiliated reinsurers | 470,000,000 | ||||||
Assured Guaranty Re [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Amounts could be required to pay if third party exercised right to recapture business | 55,000,000 | ||||||
AGC [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Amounts could be required to pay if third party exercised right to recapture business | 34,000,000 | ||||||
Fixed Maturities [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Fixed-maturity securities | 10,627,000,000 | $ 10,491,000,000 | |||||
Fixed Maturities [Member] | National Public Finance Guarantee Corporation [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Fixed-maturity securities | 194,000,000 | ||||||
Fixed Maturities [Member] | Ambac [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Fixed-maturity securities | 154,000,000 | ||||||
Fixed Maturities [Member] | Other [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Fixed-maturity securities | 8,000,000 | ||||||
Fixed Maturities [Member] | FGIC UK Limited [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Fixed-maturity securities | 123,000,000 | ||||||
Fixed Maturities [Member] | MBIA Inc. [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Fixed-maturity securities | 259,000,000 | ||||||
Excess of Loss Reinsurance Facility [Member] | AGM, AGC and MAC [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Minimum net losses required for attachment of excess of loss reinsurance facility | $ 1,500,000,000 | ||||||
Amount of losses covered under the facility | $ 500,000,000 | ||||||
Reinsurance retention policy, excess retention, amount reinsured | $ 450,000,000 | ||||||
Premiums paid during the period | $ 19,000,000 | ||||||
Subsequent Event [Member] | Excess of Loss Reinsurance Facility [Member] | AGM, AGC and MAC [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Minimum net losses required for attachment of excess of loss reinsurance facility | $ 1,250,000,000 | ||||||
Amount of losses covered under the facility | 400,000,000 | ||||||
Remaining amount of losses covered under the facility | 40,000,000 | ||||||
Remaining insurance premium payable | 9,000,000 | ||||||
Scenario, Forecast [Member] | Excess of Loss Reinsurance Facility [Member] | AGM, AGC and MAC [Member] | |||||||
Ceded Credit Risk [Line Items] | |||||||
Reinsurance retention policy, excess retention, amount reinsured | $ 360,000,000 | ||||||
Premiums paid during the period | $ 9,000,000 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Related Party Transaction [Line Items] | |||
Net expenses from transactions with related parties | $ 1,900,000 | $ 1,900,000 | $ 2,500,000 |
Maximum [Member] | |||
Related Party Transaction [Line Items] | |||
Net expenses from transactions with related parties | $ 1,900,000 | ||
Common Stock [Member] | Wilbur L Ross [Member] | Affiliated Entity [Member] | |||
Related Party Transaction [Line Items] | |||
Ownership percentage by noncontrolling owners | 8.20% | ||
Common Stock [Member] | Wellington Management Company LLP [Member] | Affiliated Entity [Member] | |||
Related Party Transaction [Line Items] | |||
Ownership percentage by noncontrolling owners | 9.00% | 9.30% | 6.60% |
Commitments and Contingencies -
Commitments and Contingencies - Future Minimum Rental Payments (Details) $ in Millions | Dec. 31, 2015USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
2,016 | $ 4 |
2,017 | 6 |
2,018 | 7 |
2,019 | 8 |
2,020 | 8 |
Thereafter | 84 |
Total | $ 117 |
Commitments and Contingencie131
Commitments and Contingencies - Narrative (Details) ft² in Thousands, € in Millions | May. 28, 2014EUR (€) | May. 31, 2010Lawsuit | Apr. 30, 2010Lawsuit | Sep. 30, 2009Plaintiff | Dec. 31, 2015USD ($)ft²Lawsuitstep | Dec. 31, 2014USD ($) | Dec. 31, 2013USD ($) | Dec. 31, 2009Lawsuit | Dec. 31, 2008Lawsuit | Apr. 10, 2015USD ($) | Sep. 25, 2013USD ($) | Mar. 15, 2013Transaction | Nov. 28, 2011USD ($)Transaction |
Commitments and Contingencies Legal Proceedings | |||||||||||||
Rent expense | $ 10,500,000 | $ 10,100,000 | $ 9,900,000 | ||||||||||
Governmental Investigations [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Number of plaintiffs filing consolidated complaints | Plaintiff | 4 | ||||||||||||
AGM [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Lease space | ft² | 88 | ||||||||||||
Renewal term | 5 years | ||||||||||||
Operating lease, beginning rent expense | $ 6,200,000 | ||||||||||||
Operating lease, number of step increases in operating lease expense | step | 2 | ||||||||||||
Operating leases, rent expense after step increases, net | $ 7,300,000 | ||||||||||||
Operating leases, rent expense after step increases, term | 5 years | ||||||||||||
Operating leases, canceled term of existing leases | 8 months | ||||||||||||
LBIE vs. AG Financial Products [Member] | AG Financial Products Inc. [Member] | Guarantee Obligations [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Number of credit derivative transactions for which termination payment is alleged to be improperly calculated | Transaction | 9 | ||||||||||||
Number of credit derivative transactions alleged to be improperly terminated | Transaction | 28 | ||||||||||||
Pending Litigation | LBIE vs. AG Financial Products [Member] | AG Financial Products Inc. [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Termination payments which LBIE owes to AG Financial Products as per calculation of AG Financial Products | $ 29,000,000 | ||||||||||||
Termination payments which AG Financial Products owes to LBIE as per calculation of LBIE | $ 1,400,000,000 | ||||||||||||
Number of credit derivative transactions for which termination payment is alleged to be improperly calculated | Transaction | 9 | ||||||||||||
Pending Litigation | Wells Fargo Bank, N.A., Interpleader Complaint [Member] | AGM [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Increase in losses as a result of an adverse outcome, minimum | $ 10,000,000 | ||||||||||||
Increase in losses as a result of an adverse outcome, maximum | $ 20,000,000 | ||||||||||||
Pending Litigation | Houston Casualty Company Europe Vs Assured Guaranty [Member] | AGC [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Termination payments which AG Financial Products and CPT 283 owes to LBHI and LBSF as per calculation of LBHI and LBSF | € | € 15 | ||||||||||||
Pending Litigation | MDL 1950 [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Number of putative class action lawsuits filed in federal court | Lawsuit | 9 | ||||||||||||
Pending Litigation | MDL 1950 [Member] | AGMH [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Number of putative class action lawsuits filed in federal court | Lawsuit | 4 | ||||||||||||
Pending Litigation | MDL 1950 [Member] | AGM and AGMH [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Number of putative class action lawsuits filed in federal court | Lawsuit | 5 | ||||||||||||
Pending Litigation | Non-class Action Cases Consolidated with MDL 1950 for Pretrial Proceedings [Member] | AGM and AGMH [Member] | Proceedings Related to Former Financial Products Business [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Number of putative class action lawsuits filed in federal court | Lawsuit | 5 | ||||||||||||
Pending Litigation | Non-class Action Cases Consolidated with MDL 1950 for Pretrial Proceedings [Member] | AGM and AGUS [Member] | Proceedings Related to Former Financial Products Business [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Number of putative class action lawsuits filed in federal court | Lawsuit | 5 | 6 | |||||||||||
Number of non-class action lawsuits for which dismissal was denied | Lawsuit | 11 | ||||||||||||
Number of cases voluntarily dismissed with prejudice | Lawsuit | 1 | ||||||||||||
Number of claims remaining after dismissals | Lawsuit | 5 | ||||||||||||
Positive Outcome of Litigation [Member] | Minimum [Member] | LBIE vs. AG Financial Products [Member] | Lehman Brothers International (Europe) [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Gain contingency, unrecorded amount | $ 200,000,000 | ||||||||||||
Positive Outcome of Litigation [Member] | Maximum [Member] | LBIE vs. AG Financial Products [Member] | Lehman Brothers International (Europe) [Member] | |||||||||||||
Commitments and Contingencies Legal Proceedings | |||||||||||||
Gain contingency, unrecorded amount | $ 500,000,000 |
Long-Term Debt and Credit Fa132
Long-Term Debt and Credit Facilities - Narrative (Details) | Mar. 30, 2015USD ($) | Jun. 20, 2014USD ($) | Apr. 07, 2008 | Nov. 22, 2006USD ($) | May. 18, 2004USD ($) | Jul. 31, 2003USD ($) | Nov. 26, 2002USD ($) | Jun. 30, 2003USD ($)Trust | Dec. 31, 2015USD ($)extensionperiod | Dec. 31, 2014USD ($) | Dec. 31, 2013USD ($) | Dec. 31, 2012USD ($) | Jun. 30, 2014USD ($) | Oct. 25, 2013USD ($) | Jul. 01, 2009USD ($) | Jun. 30, 2009 | Apr. 08, 2008 | Dec. 20, 2006USD ($) | Apr. 08, 2005USD ($)Trust | Dec. 19, 2001USD ($) |
Debt Instrument [Line Items] | ||||||||||||||||||||
Other assets | $ 294,000,000 | $ 270,000,000 | ||||||||||||||||||
Aggregate principal amount | 1,592,000,000 | 1,596,000,000 | ||||||||||||||||||
Intercompany debt | $ 0 | 0 | $ 0 | |||||||||||||||||
AGC Trust Preferred Securities [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Basis points | 2.50% | 1.10% | ||||||||||||||||||
AGM Trust Preferred Securities [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Basis points | 2.00% | |||||||||||||||||||
AGUS [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Aggregate principal amount | $ 850,000,000 | 850,000,000 | ||||||||||||||||||
AGM [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Aggregate principal amount | 12,000,000 | 16,000,000 | ||||||||||||||||||
AGM [Member] | AGM CPS securities [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Number of Custodial Trusts | Trust | 4 | |||||||||||||||||||
Maximum stock purchase obligation of each custodial trust | $ 50,000,000 | |||||||||||||||||||
Aggregate maximum stock purchase obligation of the custodial trusts | $ 200,000,000 | |||||||||||||||||||
Rate basis for income distributions | one-month LIBOR | |||||||||||||||||||
Auction interval (in days) | 28 days | |||||||||||||||||||
AGC [Member] | AGM CPS securities [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, 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 | |||||||||||||||||||
Rate basis for income distributions | one-month LIBOR | |||||||||||||||||||
AGMH [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Aggregate principal amount | 730,000,000 | 730,000,000 | ||||||||||||||||||
Junior Subordinated Debt [Member] | AGMH [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Aggregate principal amount | $ 300,000,000 | 300,000,000 | ||||||||||||||||||
Interest rate of debt (as a percent) | 6.40% | |||||||||||||||||||
Interest rate, added to base rate (as a percent) | 2.215% | |||||||||||||||||||
Debt issued | $ 300,000,000 | |||||||||||||||||||
Number of times repayment date may be extended | extension | 4 | |||||||||||||||||||
Junior Subordinated Debt [Member] | Maximum [Member] | AGMH [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Period for increments of repayment date extension | 5 years | |||||||||||||||||||
Line of Credit [Member] | Strip Coverage Facility [Member] | AGM [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Cumulative par exposure terminated | $ 1,400,000,000 | |||||||||||||||||||
Commitment amount | 1,000,000,000 | |||||||||||||||||||
Covenant terms, additional net worth requirement under reduced borrowing capacity | $ 0 | |||||||||||||||||||
Covenant terms, maximum debt-to-capital ratio | 30.00% | |||||||||||||||||||
Covenant terms, minimum net worth percentage | 75.00% | |||||||||||||||||||
Covenant terms, minimum percentage of aggregate consolidated net income (or loss) | 25.00% | |||||||||||||||||||
Line of Credit [Member] | Revolving Credit Facility [Member] | Wilbur L. Ross [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Interest rate, as a percentage of Federal short-term or mid-term interest rate | 100.00% | |||||||||||||||||||
Notes Payable, Other Payables [Member] | AGM [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Aggregate principal amount | $ 12,000,000 | 16,000,000 | ||||||||||||||||||
Notes Payable 5.60 Percent [Member] | Notes Payable, Other Payables [Member] | AGMH [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Aggregate principal amount | $ 100,000,000 | $ 100,000,000 | ||||||||||||||||||
Interest rate of debt (as a percent) | 5.60% | 5.60% | 5.60% | |||||||||||||||||
Debt issued | $ 100,000,000 | |||||||||||||||||||
6.25% Notes [Member] | Notes Payable, Other Payables [Member] | AGMH [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Aggregate principal amount | $ 230,000,000 | $ 230,000,000 | ||||||||||||||||||
Interest rate of debt (as a percent) | 6.25% | 6.25% | 6.25% | |||||||||||||||||
Debt issued | $ 230,000,000 | |||||||||||||||||||
QUIBS 6.875 Percent [Member] | Corporate securities [Member] | AGMH [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Aggregate principal amount | $ 100,000,000 | $ 100,000,000 | $ 100,000,000 | |||||||||||||||||
Interest rate of debt (as a percent) | 6.875% | 6.875% | 6.875% | |||||||||||||||||
Enhanced Junior Subordinated Debentures [Member] | Junior Subordinated Debt [Member] | AGUS [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Aggregate principal amount | $ 150,000,000 | |||||||||||||||||||
Interest rate, added to base rate (as a percent) | 2.38% | |||||||||||||||||||
Enhanced Junior Subordinated Debentures [Member] | Junior Subordinated Debt [Member] | AGMH [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
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 | |||||||||||||||||||
Period prior to final repayment date before which debt cannot be repaid, redeemed, repurchased or defeased (in years) | 20 years | |||||||||||||||||||
Senior Notes 7.0 Percent [Member] | Senior Notes [Member] | AGUS [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Aggregate principal amount | $ 200,000,000 | $ 200,000,000 | $ 200,000,000 | |||||||||||||||||
Net proceeds from issuance of debt | $ 197,000,000 | |||||||||||||||||||
Interest rate of debt (as a percent) | 7.00% | 7.00% | 7.00% | 7.00% | ||||||||||||||||
Effective interest rate of debt (as a percent) | 6.40% | |||||||||||||||||||
Senior Notes 5.0 Percent [Member] | Senior Notes [Member] | AGUS [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Aggregate principal amount | $ 500,000,000 | $ 500,000,000 | $ 500,000,000 | |||||||||||||||||
Net proceeds from issuance of debt | $ 495,000,000 | |||||||||||||||||||
Interest rate of debt (as a percent) | 5.00% | 0.00% | 0.00% | |||||||||||||||||
Intercompany Credit Facility [Member] | Line of Credit [Member] | Revolving Credit Facility [Member] | Wilbur L. Ross [Member] | AGL [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Related party, maximum borrowing capacity | $ 225,000,000 | |||||||||||||||||||
Structured Finance [Member] | Financial Guarantee [Member] | AGM [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Possible liquidity claims, gross exposure | $ 1,100,000,000 | |||||||||||||||||||
Dexia Credit Local (NY) [Member] | Line of Credit [Member] | Strip Coverage Facility [Member] | AGM [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Commitment amount | $ 495,000,000 | $ 1,000,000,000 | ||||||||||||||||||
Radian [Member] | AGUS [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Intercompany debt | $ 200,000,000 | |||||||||||||||||||
MAC [Member] | AGUS [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Intercompany debt | $ 90,000,000 | |||||||||||||||||||
Other Assets [Member] | New Accounting Pronouncement, Early Adoption, Effect [Member] | ||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||
Deferred Finance Costs, Net | $ (5,000,000) | $ (6,000,000) |
Long-Term Debt and Credit Fa133
Long-Term Debt and Credit Facilities - Principal and Carrying Amounts of Debt (Details) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 | Jun. 20, 2014 | Dec. 31, 2013 | May. 18, 2004 | Dec. 19, 2001 |
Debt Instrument [Line Items] | ||||||
Principal | $ 1,592,000,000 | $ 1,596,000,000 | ||||
Carrying Value | 1,300,000,000 | 1,297,000,000 | ||||
AGUS [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Principal | 850,000,000 | 850,000,000 | ||||
Carrying Value | 842,000,000 | 841,000,000 | ||||
AGMH [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Principal | 730,000,000 | 730,000,000 | ||||
Carrying Value | 445,000,000 | 437,000,000 | ||||
AGM [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Principal | 12,000,000 | 16,000,000 | ||||
Carrying Value | $ 13,000,000 | $ 19,000,000 | ||||
Senior Notes [Member] | AGUS [Member] | Senior Notes 7.0 Percent [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Interest rate of debt (as a percent) | 7.00% | 7.00% | 7.00% | 7.00% | ||
Principal | $ 200,000,000 | $ 200,000,000 | $ 200,000,000 | |||
Carrying Value | $ 197,000,000 | $ 196,000,000 | ||||
Senior Notes [Member] | AGUS [Member] | Senior Notes 5.0 Percent [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Interest rate of debt (as a percent) | 5.00% | 0.00% | 0.00% | |||
Principal | $ 500,000,000 | $ 500,000,000 | $ 500,000,000 | |||
Carrying Value | 495,000,000 | 495,000,000 | ||||
Enhanced Junior Subordinated Debentures [Member] | AGUS [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Principal | 150,000,000 | 150,000,000 | ||||
Carrying Value | $ 150,000,000 | $ 150,000,000 | ||||
Corporate securities [Member] | AGMH [Member] | QUIBS 6.875 Percent [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Interest rate of debt (as a percent) | 6.875% | 6.875% | 6.875% | |||
Principal | $ 100,000,000 | $ 100,000,000 | $ 100,000,000 | |||
Carrying Value | $ 69,000,000 | $ 68,000,000 | ||||
Notes Payable, Other Payables [Member] | AGMH [Member] | 6.25% Notes [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Interest rate of debt (as a percent) | 6.25% | 6.25% | 6.25% | |||
Principal | $ 230,000,000 | $ 230,000,000 | ||||
Carrying Value | $ 140,000,000 | $ 139,000,000 | ||||
Notes Payable, Other Payables [Member] | AGMH [Member] | Notes Payable 5.60 Percent [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Interest rate of debt (as a percent) | 5.60% | 5.60% | 5.60% | |||
Principal | $ 100,000,000 | $ 100,000,000 | ||||
Carrying Value | 56,000,000 | 55,000,000 | ||||
Notes Payable, Other Payables [Member] | AGM [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Principal | 12,000,000 | 16,000,000 | ||||
Carrying Value | $ 13,000,000 | 19,000,000 | ||||
Junior Subordinated Debt [Member] | AGMH [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Interest rate of debt (as a percent) | 6.40% | |||||
Principal | $ 300,000,000 | 300,000,000 | ||||
Carrying Value | $ 180,000,000 | $ 175,000,000 |
Long-Term Debt and Credit Fa134
Long-Term Debt and Credit Facilities - Expected Maturity Schedule of Debt (Details) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
Long-term Debt, Fiscal Year Maturity [Abstract] | ||
2,016 | $ 4,000,000 | |
2,017 | 4,000,000 | |
2,018 | 2,000,000 | |
2,019 | 1,000,000 | |
2,020 | 0 | |
2021-2040 | 701,000,000 | |
2041-2060 | 0 | |
2061-2080 | 450,000,000 | |
Thereafter | 430,000,000 | |
Total | 1,592,000,000 | $ 1,596,000,000 |
AGUS [Member] | ||
Long-term Debt, Fiscal Year Maturity [Abstract] | ||
2,016 | 0 | |
2,017 | 0 | |
2,018 | 0 | |
2,019 | 0 | |
2,020 | 0 | |
2021-2040 | 700,000,000 | |
2041-2060 | 0 | |
2061-2080 | 150,000,000 | |
Thereafter | 0 | |
Total | 850,000,000 | 850,000,000 |
AGMH [Member] | ||
Long-term Debt, Fiscal Year Maturity [Abstract] | ||
2,016 | 0 | |
2,017 | 0 | |
2,018 | 0 | |
2,019 | 0 | |
2,020 | 0 | |
2021-2040 | 0 | |
2041-2060 | 0 | |
2061-2080 | 300,000,000 | |
Thereafter | 430,000,000 | |
Total | 730,000,000 | 730,000,000 |
AGM [Member] | ||
Long-term Debt, Fiscal Year Maturity [Abstract] | ||
2,016 | 4,000,000 | |
2,017 | 4,000,000 | |
2,018 | 2,000,000 | |
2,019 | 1,000,000 | |
2,020 | 0 | |
2021-2040 | 1,000,000 | |
2041-2060 | 0 | |
2061-2080 | 0 | |
Thereafter | 0 | |
Total | $ 12,000,000 | $ 16,000,000 |
Long-Term Debt and Credit Fa135
Long-Term Debt and Credit Facilities - Interest Expense (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Debt Instrument [Line Items] | |||
Interest expense | $ 101 | $ 92 | $ 82 |
AGUS [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 49 | 36 | 23 |
AGMH [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 54 | 54 | 54 |
AGM [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | (2) | 2 | 5 |
Junior Subordinated Debt [Member] | AGMH [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 25 | 25 | 25 |
Corporate securities [Member] | AGMH [Member] | QUIBS 6.875 Percent [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 7 | 7 | 7 |
Senior Notes [Member] | AGUS [Member] | Senior Notes 7.0 Percent [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 13 | 13 | 13 |
Senior Notes [Member] | AGUS [Member] | Senior Notes 5.0 Percent [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 26 | 13 | 0 |
Series A Enhanced Junior Subordinated Debentures [Member] | AGUS [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 10 | 10 | 10 |
Notes Payable, Other Payables [Member] | AGMH [Member] | 6.25% Notes [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 16 | 16 | 16 |
Notes Payable, Other Payables [Member] | AGMH [Member] | Notes Payable 5.60 Percent [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 6 | 6 | 6 |
Notes Payable, Other Payables [Member] | AGM [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | $ (2) | $ 2 | $ 5 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||||||||||
Basic EPS: | |||||||||||||||||||||
Net income (loss) | $ 429 | $ 129 | $ 297 | $ 201 | $ 532 | $ 355 | $ 159 | $ 42 | $ 1,056 | $ 1,088 | $ 808 | ||||||||||
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 | $ 1,055 | $ 1,088 | $ 807 | ||||||||||||||||||
Basic shares | 148.1 | 172.6 | 186.6 | ||||||||||||||||||
Basic EPS (in dollars per share) | $ 3.05 | [1] | $ 0.88 | [1] | $ 1.97 | [1] | $ 1.29 | [1] | $ 3.30 | [1] | $ 2.10 | [1] | $ 0.89 | [1] | $ 0.23 | [1] | $ 7.12 | [1] | $ 6.30 | [1] | $ 4.32 |
Diluted EPS: | |||||||||||||||||||||
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 | $ 1,055 | $ 1,088 | $ 807 | ||||||||||||||||||
Basic shares | 148.1 | 172.6 | 186.6 | ||||||||||||||||||
Effect of dilutive securities: | |||||||||||||||||||||
Options and restricted stock awards (in shares) | 0.9 | 1 | 1 | ||||||||||||||||||
Diluted shares | 149 | 173.6 | 187.6 | ||||||||||||||||||
Diluted EPS (in dollars per share) | $ 3.03 | [1] | $ 0.88 | [1] | $ 1.96 | [1] | $ 1.28 | [1] | $ 3.28 | [1] | $ 2.09 | [1] | $ 0.89 | [1] | $ 0.23 | [1] | $ 7.08 | [1] | $ 6.26 | [1] | $ 4.30 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | 0.5 | 1.6 | 2.7 | ||||||||||||||||||
[1] | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Shareholders' Equity - Share Is
Shareholders' Equity - Share Issuance (Details) | 12 Months Ended | |
Dec. 31, 2015USD ($)vote$ / sharesshares | Dec. 31, 2014$ / sharesshares | |
Equity [Abstract] | ||
Authorized share capital | $ | $ 5,000,000 | |
Common stock, shares authorized | shares | 500,000,000 | 500,000,000 |
Common stock par value (per share) | $ / shares | $ 0.01 | $ 0.01 |
Number of votes per share of common stock | vote | 1 | |
Percentage of controlled shares | 9.50% | |
Percentage of voting power held by one shareholder | 75.00% |
Shareholders' Equity - Shares R
Shareholders' Equity - Shares Repurchased (Details) - USD ($) | 1 Months Ended | 12 Months Ended | 37 Months Ended | |||
Feb. 09, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Feb. 09, 2016 | Feb. 24, 2016 | |
Equity, Class of Treasury Stock [Line Items] | ||||||
Repurchases of common stock | $ (555,000,000) | $ (590,000,000) | $ (264,000,000) | |||
Common Stock [Member] | ||||||
Equity, Class of Treasury Stock [Line Items] | ||||||
Authorized repurchase amount | $ 55,000,000 | |||||
Shares repurchased | 20,995,419 | 24,413,781 | 12,512,759 | |||
Repurchases of common stock | $ (555,000,000) | $ (590,000,000) | $ (264,000,000) | |||
Average price paid (in dollars per share) | $ 26.43 | $ 24.17 | $ 21.12 | |||
Affiliated Entity [Member] | Common Stock [Member] | ||||||
Equity, Class of Treasury Stock [Line Items] | ||||||
Shares repurchased | 5,000,000 | |||||
Repurchases of common stock | $ (109,700,000) | |||||
Subsequent Event [Member] | Common Stock [Member] | ||||||
Equity, Class of Treasury Stock [Line Items] | ||||||
Authorized repurchase amount | $ 250,000,000 | |||||
Shares repurchased | 2,258,602 | 60,180,561 | ||||
Repurchases of common stock | $ (55,000,000) | $ (1,464,000,000) | ||||
Average price paid (in dollars per share) | $ 24.37 | $ 24.33 |
Shareholders' Equity - Deferred
Shareholders' Equity - Deferred Compensation (Details) | 12 Months Ended | |
Dec. 31, 2015Unitshares | Dec. 31, 2014Unitshares | |
Defined Benefit Plan Disclosure [Line Items] | ||
Deferred equity compensation, shares | 320,193 | 320,193 |
AGC [Member] | Supplemental Employee Retirement Plan [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Number of AGL common shares represented by each unit in employer stock fund | 1 | |
Number of units in AGC SERP (in units) | Unit | 74,309 | 74,309 |
Chief Executive Officer and General Counsel [Member] | Supplemental Employee Retirement Plan [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Number of AGL common shares represented by each unit in employer stock fund | 1 | |
Deferred equity compensation, shares | 320,193 | 320,193 |
Shareholders' Equity - Dividend
Shareholders' Equity - Dividends (Details) - $ / shares | Feb. 24, 2016 | Feb. 04, 2015 | Dec. 31, 2015 | [1] | Sep. 30, 2015 | [1] | Jun. 30, 2015 | [1] | Mar. 31, 2015 | [1] | Dec. 31, 2014 | [1] | Sep. 30, 2014 | [1] | Jun. 30, 2014 | [1] | Mar. 31, 2014 | [1] | Dec. 31, 2015 | [1] | Dec. 31, 2014 | [1] | Dec. 31, 2013 |
Class of Stock [Line Items] | |||||||||||||||||||||||
Dividends (in dollars per share) | $ 0.12 | $ 0.12 | $ 0.12 | $ 0.12 | $ 0.12 | $ 0.11 | $ 0.11 | $ 0.11 | $ 0.11 | $ 0.48 | $ 0.44 | $ 0.40 | |||||||||||
Subsequent Event [Member] | |||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||
Dividends (in dollars per share) | $ 0.13 | ||||||||||||||||||||||
Increase in common stock dividend (as a percent) | 8.00% | ||||||||||||||||||||||
[1] | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Employee Benefit Plans - Awards
Employee Benefit Plans - Awards Activity (Details) - $ / shares | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Stock Options [Member] | ||||
Summary of options issued and outstanding | ||||
Balance at the beginning of the period (in shares) | 2,802,853 | |||
Options granted (in shares) | 0 | |||
Options exercised (in shares) | (432,974) | |||
Options forfeited/expired (in shares) | (9,539) | |||
Balance at the end of the period (in shares) | 2,360,340 | 2,802,853 | ||
Weighted Average Exercise Price | ||||
Balance at the beginning of the period (in dollars per share) | $ 21.45 | |||
Options granted (in dollars per share) | 0 | |||
Options exercised (in dollars per share) | 20.12 | |||
Options forfeited (in dollars per share) | 20.76 | |||
Balance at the end of the period (in dollars per share) | $ 21.73 | $ 21.45 | ||
Weighted Average Grant Date Fair Value (in dollars per share) | [1] | $ 10.35 | $ 8.94 | |
Number of Exercisable Options (in shares) | 2,275,096 | 2,631,653 | ||
Performance Stock Options [Member] | ||||
Summary of options issued and outstanding | ||||
Balance at the beginning of the period (in shares) | 246,879 | |||
Options granted (in shares) | 0 | 0 | ||
Options exercised (in shares) | (7,342) | |||
Options forfeited/expired (in shares) | 0 | |||
Balance at the end of the period (in shares) | 239,537 | 246,879 | ||
Weighted Average Exercise Price | ||||
Balance at the beginning of the period (in dollars per share) | $ 17.97 | |||
Options granted (in dollars per share) | 0 | |||
Options exercised (in dollars per share) | 17.44 | |||
Options forfeited (in dollars per share) | 0 | |||
Balance at the end of the period (in dollars per share) | $ 17.92 | $ 17.97 | ||
Weighted Average Grant Date Fair Value (in dollars per share) | [2] | $ 8.17 | ||
Number of Exercisable Options (in shares) | 166,897 | 0 | ||
Restricted Stock Awards [Member] | ||||
Restricted Stock Award and Restricted Stock Unit Activity | ||||
Nonvested at the beginning of the period (in shares) | 43,577 | |||
Granted (in shares) | 62,145 | |||
Vested (in shares) | (43,577) | |||
Forfeited (in shares) | 0 | |||
Nonvested at the end of the period (in shares) | 62,145 | 43,577 | ||
Weighted Average Grant-Date Fair Value | ||||
Nonvested at the beginning of the period (in dollars per share) | $ 23.98 | |||
Granted (in dollars per share) | 25.67 | |||
Vested (in dollars per share) | 23.98 | |||
Forfeited (in dollars per share) | 0 | |||
Nonvested at the end of the period (in dollars per share) | $ 25.67 | $ 23.98 | ||
Restricted Stock Units [Member] | ||||
Restricted Stock Award and Restricted Stock Unit Activity | ||||
Nonvested at the beginning of the period (in shares) | 691,303 | |||
Granted (in shares) | 320,983 | |||
Vested (in shares) | (321,210) | |||
Forfeited (in shares) | (1,795) | |||
Nonvested at the end of the period (in shares) | 689,281 | 691,303 | ||
Weighted Average Grant-Date Fair Value | ||||
Nonvested at the beginning of the period (in dollars per share) | $ 19.23 | |||
Granted (in dollars per share) | 25.23 | |||
Vested (in dollars per share) | 16.96 | |||
Forfeited (in dollars per share) | 21.73 | |||
Nonvested at the end of the period (in dollars per share) | $ 23.23 | $ 19.23 | ||
Performance Restricted Stock Units [Member] | ||||
Restricted Stock Award and Restricted Stock Unit Activity | ||||
Nonvested at the beginning of the period (in shares) | 423,302 | |||
Granted (in shares) | 200,353 | |||
Vested (in shares) | (215,395) | |||
Forfeited (in shares) | 0 | |||
Nonvested at the end of the period (in shares) | 408,260 | 423,302 | ||
Weighted Average Grant-Date Fair Value | ||||
Nonvested at the beginning of the period (in dollars per share) | $ 26.72 | |||
Granted (in dollars per share) | 28.31 | |||
Vested (in dollars per share) | 27.39 | |||
Forfeited (in dollars per share) | 0 | |||
Nonvested at the end of the period (in dollars per share) | $ 27.32 | $ 26.72 | ||
[1] | options were granted in 2015. | |||
[2] | options were granted in neither 2015 nor 2014. |
Employee Benefit Plans - Weight
Employee Benefit Plans - Weighted Average Assumptions on Option Pricing (Details) - $ / shares | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Performance Stock Options [Member] | ||||
Employee benefit plans [Line Items] | ||||
Dividend yield (as a percent) | [1] | 2.07% | ||
Expected volatility (as a percent) | [1] | 53.50% | ||
Risk free interest rate (as a percent) | [1] | 1.36% | ||
Expected life (in years) | [1] | 6 years 3 months 18 days | ||
Forfeiture rate (as a percent) | [1] | 4.50% | ||
Weighted average grant date fair value (in dollars per share) | [1] | $ 8.17 | ||
Options granted (in shares) | 0 | 0 | ||
Stock Options [Member] | ||||
Employee benefit plans [Line Items] | ||||
Dividend yield (as a percent) | [2] | 2.03% | 2.07% | |
Expected volatility (as a percent) | [2] | 53.24% | 53.41% | |
Risk free interest rate (as a percent) | [2] | 2.21% | 1.35% | |
Expected life (in years) | [2] | 6 years 7 months 6 days | 6 years 7 months 6 days | |
Forfeiture rate (as a percent) | [2] | 3.50% | 4.50% | |
Weighted average grant date fair value (in dollars per share) | [2] | $ 10.35 | $ 8.94 | |
Options granted (in shares) | 0 | |||
[1] | options were granted in neither 2015 nor 2014. | |||
[2] | options were granted in 2015. |
Employee Benefit Plans - Stock
Employee Benefit Plans - Stock Purchase Plan (Details) - Employee Stock [Member] - Employee Stock Purchase Plan [Member] - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Employee benefit plans [Line Items] | |||
Proceeds from purchase of shares by employees | $ 0.8 | $ 0.9 | $ 0.9 |
Number of shares issued by the Company | 38,565 | 43,273 | 57,980 |
Recorded in share-based compensation, net of deferral | $ 0.2 | $ 0.2 | $ 0.3 |
Employee Benefit Plans - Share-
Employee Benefit Plans - Share-Based Compensation Expense (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Share‑Based Employee Cost: | |||
Share‑based compensation expense | $ 10 | $ 10 | $ 8 |
Share‑based compensation capitalized as DAC | 0.5 | 0.3 | 0.2 |
Income tax benefit | $ 2 | $ 2 | $ 2 |
Employee Benefit Plans - Narrat
Employee Benefit Plans - Narrative (Details) | 12 Months Ended | ||
Dec. 31, 2015USD ($)installmentsshares | Dec. 31, 2014USD ($) | Dec. 31, 2013USD ($) | |
Employee benefit plans [Line Items] | |||
Recognized contribution expense | $ 10,000,000 | $ 11,000,000 | $ 10,000,000 |
Stock Options [Member] | |||
Employee benefit plans [Line Items] | |||
Aggregate intrinsic value of awards outstanding | $ 11,000,000 | ||
Weighted average remaining contractual term of awards outstanding (in years) | 2 years 2 months | ||
Options exercised (in shares) | shares | (432,974) | ||
Aggregate intrinsic value of exercisable awards | $ 11,000,000 | ||
Weighted average remaining contractual term of exercisable awards (in years) | 2 years 1 month | ||
Unrecognized compensation expense | $ 342,000 | ||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 11 months | ||
Expected volatility, inputs, average historical share price volatility and implied volatilities of certain at-the-money actively traded call options | 7 years | ||
Risk free interest rate, inputs, implied U.S. Treasury yield currently available, term | 7 years | ||
Total intrinsic value of awards exercised | $ 2,800,000 | 3,000,000 | 7,500,000 |
Amount received from exercise of awards | $ 4,900,000 | 4,300,000 | 2,600,000 |
Stock Options [Member] | Employee [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting period of awards (in years) | 3 years | ||
Stock Options [Member] | Employee [Member] | Minimum [Member] | |||
Employee benefit plans [Line Items] | |||
Years from grant date until expiration | 7 years | ||
Stock Options [Member] | Employee [Member] | Maximum [Member] | |||
Employee benefit plans [Line Items] | |||
Years from grant date until expiration | 10 years | ||
Stock Options [Member] | Directors [Member} | |||
Employee benefit plans [Line Items] | |||
Vesting period of awards (in years) | 1 year | ||
Stock Options [Member] | Directors [Member} | Minimum [Member] | |||
Employee benefit plans [Line Items] | |||
Years from grant date until expiration | 7 years | ||
Stock Options [Member] | Directors [Member} | Maximum [Member] | |||
Employee benefit plans [Line Items] | |||
Years from grant date until expiration | 10 years | ||
Performance Stock Options [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting period of awards (in years) | 3 years | ||
Years from grant date until expiration | 7 years | ||
Aggregate intrinsic value of awards outstanding | $ 1,900,000 | ||
Weighted average remaining contractual term of awards outstanding (in years) | 3 years 5 months | ||
Options exercised (in shares) | shares | (7,342) | ||
Aggregate intrinsic value of exercisable awards | $ 1,500,000 | ||
Weighted average remaining contractual term of exercisable awards (in years) | 3 years 1 month | ||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 1 month | ||
Expected volatility, inputs, average historical share price volatility and implied volatilities of certain at-the-money actively traded call options | 7 years | ||
Risk free interest rate, inputs, implied U.S. Treasury yield currently available, term | 7 years | ||
Total intrinsic value of awards exercised | $ 75,000 | ||
Amount received from exercise of awards | $ 98,000 | ||
Period of highest average share price measurement on performance shares | 40 days | ||
Unrecognized compensation expense | $ 17,000 | ||
Restricted Stock Awards [Member] | |||
Employee benefit plans [Line Items] | |||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 5 months 24 days | ||
Unrecognized compensation expense | $ 700,000 | ||
Total fair value of awards vested | $ 1,000,000 | 1,000,000 | 1,000,000 |
Restricted Stock Awards [Member] | Employee [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting period of awards (in years) | 4 years | ||
Restricted Stock Awards [Member] | Directors [Member} | |||
Employee benefit plans [Line Items] | |||
Vesting period of awards (in years) | 1 year | ||
Restricted Stock Units [Member] | |||
Employee benefit plans [Line Items] | |||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 1 year 9 months 24 days | ||
Unrecognized compensation expense | $ 8,400,000 | ||
Total fair value of awards delivered | $ 6,000,000 | 5,000,000 | 5,000,000 |
Restricted Stock Units [Member] | Directors [Member} | |||
Employee benefit plans [Line Items] | |||
Vesting period of awards (in years) | 1 year | ||
Performance Restricted Stock Units [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting period of awards (in years) | 3 years | ||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 1 year 9 months 24 days | ||
Period of highest average share price measurement on performance shares | 40 days | ||
Unrecognized compensation expense | $ 5,700,000 | ||
Total fair value of awards delivered | $ 6,000,000 | ||
Employee Stock Purchase Plan [Member] | Employee Stock [Member] | |||
Employee benefit plans [Line Items] | |||
Value of shares that can be purchased as a percentage of participant's compensation | 10.00% | ||
Value of shares that can be purchased | $ 25,000 | ||
Capital shares reserved for future issuance | shares | 600,000 | ||
Purchase price of shares as a percentage of the fair market value of the stock | 85.00% | ||
Assured Guaranty Ltd. 2004 Long-Term Incentive Plan [Member] | |||
Employee benefit plans [Line Items] | |||
Maximum number of common shares that may be delivered | shares | 18,670,000 | ||
Assured Guaranty Ltd. 2004 Long-Term Incentive Plan [Member] | Stock Options [Member] | |||
Employee benefit plans [Line Items] | |||
Number of common shares available for grant | shares | 10,367,163 | ||
Share-based Compensation Award, Tranche One [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting percentage | 50.00% | ||
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Rights For Prior Periods, Percentage | 35.00% | ||
Share-based Compensation Award, Tranche One [Member] | Performance Stock Options [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting percentage | 35.00% | ||
Share-based Compensation Award, Tranche Two [Member] | Performance Stock Options [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting percentage | 50.00% | ||
Share-based Compensation Award, Tranche Two [Member] | Performance Restricted Stock Units [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting percentage | 100.00% | ||
Share-based Compensation Award, Tranche Three [Member] | Performance Stock Options [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting percentage | 100.00% | ||
Share-based Compensation Award, Tranche Three [Member] | Performance Restricted Stock Units [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting percentage | 200.00% | ||
United States [Member] | Pension Plan [Member] | |||
Employee benefit plans [Line Items] | |||
Core contribution made by the company as a percentage of participant's compensation | 6.00% | ||
Number of years of service to become fully vested | 1 year | ||
United States [Member] | 401 (k) Plan [Member] | Pension Plan [Member] | |||
Employee benefit plans [Line Items] | |||
Maximum amount that can be contributed by eligible participants | $ 18,000 | ||
Percentage by which employer contribution matches up to 6% of participant's compensation | 100.00% | ||
Maximum percentage of participant's compensation eligible for employer contribution match | 6.00% | ||
Performance Retention Plan [Member] | |||
Employee benefit plans [Line Items] | |||
Defined contribution expenses | $ 11,000,000 | $ 15,000,000 | $ 17,000,000 |
Number of installments for award vesting | installments | 3 | ||
Incentive Cash Compensation Arrangement,Vesting Period | 4 years |
Other Comprehensive Income - C
Other Comprehensive Income - Changes in AOCI by Component (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||||||||||
Balance at beginning of period | $ 370 | $ 160 | $ 370 | $ 160 | $ 515 | ||||||
Other comprehensive income (loss) before reclassifications | (142) | 169 | (341) | ||||||||
Amounts reclassified from AOCI to: | |||||||||||
Net realized investment gains (losses) | $ (6) | $ (27) | $ (9) | 16 | $ (35) | $ (19) | $ (8) | 2 | (26) | (60) | 52 |
Net investment income | 112 | 112 | 98 | 101 | 102 | 102 | 96 | 103 | 423 | 403 | 393 |
Interest expense | (25) | (25) | (26) | (25) | (25) | (27) | (20) | (20) | (101) | (92) | (82) |
Total (provision) benefit for income taxes | (155) | $ (43) | $ (112) | (65) | (224) | $ (133) | $ (59) | (27) | (375) | (443) | (334) |
Total amount reclassified from AOCI, net of tax | 10 | 41 | (14) | ||||||||
Net current period other comprehensive income (loss) | (133) | 210 | (355) | ||||||||
Balance at end of period | 237 | 370 | 237 | 370 | 160 | ||||||
Reclassification out of Accumulated Other Comprehensive Income [Member] | |||||||||||
Amounts reclassified from AOCI to: | |||||||||||
Net realized investment gains (losses) | 26 | 62 | (19) | ||||||||
Net investment income | (9) | ||||||||||
Interest expense | (1) | 0 | (1) | ||||||||
Total before tax | 16 | 62 | (20) | ||||||||
Total (provision) benefit for income taxes | (7) | (21) | 6 | ||||||||
Total amount reclassified from AOCI, net of tax | 9 | 41 | (14) | ||||||||
Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment [Member] | |||||||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||||||||||
Balance at beginning of period | 367 | 178 | 367 | 178 | 517 | ||||||
Other comprehensive income (loss) before reclassifications | (93) | 196 | (309) | ||||||||
Amounts reclassified from AOCI to: | |||||||||||
Net current period other comprehensive income (loss) | (107) | 189 | (339) | ||||||||
Balance at end of period | 260 | 367 | 260 | 367 | 178 | ||||||
Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | |||||||||||
Amounts reclassified from AOCI to: | |||||||||||
Net realized investment gains (losses) | (11) | (12) | (43) | ||||||||
Net investment income | (9) | ||||||||||
Interest expense | 0 | 0 | 0 | ||||||||
Total before tax | (20) | (12) | (43) | ||||||||
Total (provision) benefit for income taxes | 6 | 5 | 13 | ||||||||
Total amount reclassified from AOCI, net of tax | (14) | (7) | (30) | ||||||||
Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment [Member] | |||||||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||||||||||
Balance at beginning of period | 4 | (24) | 4 | (24) | (5) | ||||||
Other comprehensive income (loss) before reclassifications | (43) | (20) | (35) | ||||||||
Amounts reclassified from AOCI to: | |||||||||||
Net current period other comprehensive income (loss) | (19) | 28 | (19) | ||||||||
Balance at end of period | (15) | 4 | (15) | 4 | (24) | ||||||
Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | |||||||||||
Amounts reclassified from AOCI to: | |||||||||||
Net realized investment gains (losses) | 37 | 74 | 24 | ||||||||
Net investment income | 0 | ||||||||||
Interest expense | 0 | 0 | 0 | ||||||||
Total before tax | 37 | 74 | 24 | ||||||||
Total (provision) benefit for income taxes | (13) | (26) | (8) | ||||||||
Total amount reclassified from AOCI, net of tax | 24 | 48 | 16 | ||||||||
Accumulated Translation Adjustment [Member] | |||||||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||||||||||
Balance at beginning of period | (10) | (3) | (10) | (3) | (6) | ||||||
Other comprehensive income (loss) before reclassifications | (6) | (7) | 3 | ||||||||
Amounts reclassified from AOCI to: | |||||||||||
Net current period other comprehensive income (loss) | (6) | (7) | 3 | ||||||||
Balance at end of period | (16) | (10) | (16) | (10) | (3) | ||||||
Accumulated Translation Adjustment [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | |||||||||||
Amounts reclassified from AOCI to: | |||||||||||
Net realized investment gains (losses) | 0 | 0 | 0 | ||||||||
Net investment income | 0 | ||||||||||
Interest expense | 0 | 0 | 0 | ||||||||
Total before tax | 0 | 0 | 0 | ||||||||
Total (provision) benefit for income taxes | 0 | 0 | 0 | ||||||||
Total amount reclassified from AOCI, net of tax | 0 | 0 | 0 | ||||||||
Cash Flow Hedge [Member] | |||||||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||||||||||
Balance at beginning of period | $ 9 | $ 9 | 9 | 9 | 9 | ||||||
Other comprehensive income (loss) before reclassifications | 0 | 0 | 0 | ||||||||
Amounts reclassified from AOCI to: | |||||||||||
Net current period other comprehensive income (loss) | (1) | 0 | 0 | ||||||||
Balance at end of period | $ 8 | $ 9 | 8 | 9 | 9 | ||||||
Cash Flow Hedge [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | |||||||||||
Amounts reclassified from AOCI to: | |||||||||||
Net realized investment gains (losses) | 0 | 0 | 0 | ||||||||
Net investment income | 0 | ||||||||||
Interest expense | (1) | 0 | (1) | ||||||||
Total before tax | (1) | 0 | (1) | ||||||||
Total (provision) benefit for income taxes | 0 | 0 | 1 | ||||||||
Total amount reclassified from AOCI, net of tax | $ (1) | $ 0 | $ 0 |
Subsidiary Information - Conden
Subsidiary Information - Condensed Consolidating Balance Sheet (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Assets | |||||
Total investment portfolio and cash | $ 11,358 | $ 11,459 | |||
Investment in subsidiaries | 0 | 0 | |||
Premiums receivable, net of commissions payable | 693 | 729 | |||
Ceded unearned premium reserve | 232 | 381 | |||
Deferred acquisition costs | 114 | 121 | $ 124 | $ 116 | |
Reinsurance recoverable on unpaid losses | 69 | 78 | |||
Credit derivative assets | 81 | 68 | |||
Deferred tax asset, net | 276 | 260 | |||
Intercompany receivable | 0 | 0 | |||
Financial guaranty variable interest entities’ assets, at fair value | 1,261 | [1] | 1,402 | ||
Other | 460 | 421 | |||
Total assets | 14,544 | 14,919 | |||
Liabilities and shareholders’ equity | |||||
Unearned premium reserve | 3,996 | 4,261 | |||
Loss and loss adjustment expense reserve | 1,067 | 799 | |||
Long-term debt | 1,300 | 1,297 | |||
Intercompany payable | 0 | 0 | |||
Credit derivative liabilities | 446 | 963 | |||
Deferred tax liabilities, net | 0 | 0 | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 1,349 | [1] | 1,419 | ||
Other | 323 | 422 | |||
Total liabilities | 8,481 | 9,161 | |||
Effect on shareholders’ equity (decrease) increase | 6,063 | 5,758 | $ 5,115 | $ 4,994 | |
Noncontrolling interest | 0 | 0 | |||
Total shareholders' equity | 6,063 | 5,758 | |||
Total liabilities and shareholders’ equity | 14,544 | 14,919 | |||
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | |||||
Assets | |||||
Total investment portfolio and cash | 10 | 126 | |||
Investment in subsidiaries | 5,961 | 5,612 | |||
Premiums receivable, net of commissions payable | 0 | 0 | |||
Ceded unearned premium reserve | 0 | 0 | |||
Deferred acquisition costs | 0 | 0 | |||
Reinsurance recoverable on unpaid losses | 0 | 0 | |||
Credit derivative assets | 0 | 0 | |||
Deferred tax asset, net | 0 | 0 | |||
Intercompany receivable | 0 | 0 | |||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | |||
Other | 98 | 27 | |||
Total assets | 6,069 | 5,765 | |||
Liabilities and shareholders’ equity | |||||
Unearned premium reserve | 0 | 0 | |||
Loss and loss adjustment expense reserve | 0 | 0 | |||
Long-term debt | 0 | 0 | |||
Intercompany payable | 0 | 0 | |||
Credit derivative liabilities | 0 | 0 | |||
Deferred tax liabilities, net | 0 | 0 | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | |||
Other | 6 | 7 | |||
Total liabilities | 6 | 7 | |||
Effect on shareholders’ equity (decrease) increase | 6,063 | 5,758 | |||
Noncontrolling interest | 0 | 0 | |||
Total shareholders' equity | 6,063 | 5,758 | |||
Total liabilities and shareholders’ equity | 6,069 | 5,765 | |||
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | |||||
Assets | |||||
Total investment portfolio and cash | 156 | 204 | |||
Investment in subsidiaries | 5,569 | 5,072 | |||
Premiums receivable, net of commissions payable | 0 | 0 | |||
Ceded unearned premium reserve | 0 | 0 | |||
Deferred acquisition costs | 0 | 0 | |||
Reinsurance recoverable on unpaid losses | 0 | 0 | |||
Credit derivative assets | 0 | 0 | |||
Deferred tax asset, net | 52 | 54 | |||
Intercompany receivable | 0 | 0 | |||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | |||
Other | 29 | 71 | |||
Total assets | 5,806 | 5,401 | |||
Liabilities and shareholders’ equity | |||||
Unearned premium reserve | 0 | 0 | |||
Loss and loss adjustment expense reserve | 0 | 0 | |||
Long-term debt | 842 | 841 | |||
Intercompany payable | 90 | 90 | |||
Credit derivative liabilities | 0 | 0 | |||
Deferred tax liabilities, net | 0 | 0 | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | |||
Other | 82 | 9 | |||
Total liabilities | 1,014 | 940 | |||
Effect on shareholders’ equity (decrease) increase | 4,792 | 4,461 | |||
Noncontrolling interest | 0 | 0 | |||
Total shareholders' equity | 4,792 | 4,461 | |||
Total liabilities and shareholders’ equity | 5,806 | 5,401 | |||
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | |||||
Assets | |||||
Total investment portfolio and cash | 22 | 47 | |||
Investment in subsidiaries | 4,081 | 3,965 | |||
Premiums receivable, net of commissions payable | 0 | 0 | |||
Ceded unearned premium reserve | 0 | 0 | |||
Deferred acquisition costs | 0 | 0 | |||
Reinsurance recoverable on unpaid losses | 0 | 0 | |||
Credit derivative assets | 0 | 0 | |||
Deferred tax asset, net | 0 | 0 | |||
Intercompany receivable | 0 | 0 | |||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | |||
Other | 26 | 27 | |||
Total assets | 4,129 | 4,039 | |||
Liabilities and shareholders’ equity | |||||
Unearned premium reserve | 0 | 0 | |||
Loss and loss adjustment expense reserve | 0 | 0 | |||
Long-term debt | 445 | 437 | |||
Intercompany payable | 0 | 0 | |||
Credit derivative liabilities | 0 | 0 | |||
Deferred tax liabilities, net | 91 | 94 | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | |||
Other | 15 | 16 | |||
Total liabilities | 551 | 547 | |||
Effect on shareholders’ equity (decrease) increase | 3,578 | 3,492 | |||
Noncontrolling interest | 0 | 0 | |||
Total shareholders' equity | 3,578 | 3,492 | |||
Total liabilities and shareholders’ equity | 4,129 | 4,039 | |||
Reportable Legal Entities [Member] | Other Entities [Member] | |||||
Assets | |||||
Total investment portfolio and cash | 11,530 | 11,382 | |||
Investment in subsidiaries | 377 | 339 | |||
Premiums receivable, net of commissions payable | 833 | 864 | |||
Ceded unearned premium reserve | 1,266 | 1,469 | |||
Deferred acquisition costs | 176 | 186 | |||
Reinsurance recoverable on unpaid losses | 467 | 338 | |||
Credit derivative assets | 207 | 277 | |||
Deferred tax asset, net | 357 | 295 | |||
Intercompany receivable | 90 | 90 | |||
Financial guaranty variable interest entities’ assets, at fair value | 1,261 | 1,402 | |||
Other | 571 | 538 | |||
Total assets | 17,135 | 17,180 | |||
Liabilities and shareholders’ equity | |||||
Unearned premium reserve | 5,143 | 5,328 | |||
Loss and loss adjustment expense reserve | 1,537 | 1,066 | |||
Long-term debt | 13 | 19 | |||
Intercompany payable | 300 | 300 | |||
Credit derivative liabilities | 572 | 1,172 | |||
Deferred tax liabilities, net | 0 | 0 | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 1,349 | 1,419 | |||
Other | 622 | 764 | |||
Total liabilities | 9,536 | 10,068 | |||
Effect on shareholders’ equity (decrease) increase | 7,222 | 6,773 | |||
Noncontrolling interest | 377 | 339 | |||
Total shareholders' equity | 7,599 | 7,112 | |||
Total liabilities and shareholders’ equity | 17,135 | 17,180 | |||
Consolidating Adjustments [Member] | |||||
Assets | |||||
Total investment portfolio and cash | (360) | (300) | |||
Investment in subsidiaries | (15,988) | (14,988) | |||
Premiums receivable, net of commissions payable | (140) | (135) | |||
Ceded unearned premium reserve | (1,034) | (1,088) | |||
Deferred acquisition costs | (62) | (65) | |||
Reinsurance recoverable on unpaid losses | (398) | (260) | |||
Credit derivative assets | (126) | (209) | |||
Deferred tax asset, net | (133) | (89) | |||
Intercompany receivable | (90) | (90) | |||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | |||
Other | (264) | (242) | |||
Total assets | (18,595) | (17,466) | |||
Liabilities and shareholders’ equity | |||||
Unearned premium reserve | (1,147) | (1,067) | |||
Loss and loss adjustment expense reserve | (470) | (267) | |||
Long-term debt | 0 | 0 | |||
Intercompany payable | (390) | (390) | |||
Credit derivative liabilities | (126) | (209) | |||
Deferred tax liabilities, net | (91) | (94) | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | |||
Other | (402) | (374) | |||
Total liabilities | (2,626) | (2,401) | |||
Effect on shareholders’ equity (decrease) increase | (15,592) | (14,726) | |||
Noncontrolling interest | (377) | (339) | |||
Total shareholders' equity | (15,969) | (15,065) | |||
Total liabilities and shareholders’ equity | $ (18,595) | $ (17,466) | |||
[1] | The December 31, 2015 amounts include $111 million of FG VIE assets and $107 million of FG VIE liabilities acquired from Radian Asset. |
Subsidiary Information - Con148
Subsidiary Information - Condensed Consolidating Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||||
Revenues | ||||||||||||||
Net earned premiums | $ 192 | $ 213 | $ 219 | $ 142 | $ 158 | $ 144 | $ 136 | $ 132 | $ 766 | [1] | $ 570 | [1] | $ 752 | [1] |
Net investment income | 112 | 112 | 98 | 101 | 102 | 102 | 96 | 103 | 423 | 403 | 393 | |||
Net realized investment gains (losses) | (6) | (27) | (9) | 16 | (35) | (19) | (8) | 2 | (26) | (60) | 52 | |||
Net change in fair value of credit derivatives: | ||||||||||||||
Realized gains (losses) and other settlements | (18) | 23 | (42) | |||||||||||
Net unrealized gains (losses) | 746 | 800 | 107 | |||||||||||
Net change in fair value of credit derivatives | 428 | 86 | 90 | 124 | 676 | 255 | 103 | (211) | 728 | 823 | 65 | |||
Bargain purchase gain and settlement of pre-existing relationships | 0 | 0 | 214 | 0 | 0 | 0 | 0 | 0 | 214 | 0 | 0 | |||
Other | 102 | 258 | 346 | |||||||||||
Total revenues | 2,207 | 1,994 | 1,608 | |||||||||||
Expenses | ||||||||||||||
Loss and LAE | 106 | 112 | 188 | 18 | 72 | (44) | 57 | 41 | 424 | 126 | 154 | |||
Amortization of DAC | 5 | 5 | 6 | 4 | 13 | 4 | 3 | 5 | 20 | 25 | 12 | |||
Interest expense | 25 | 25 | 26 | 25 | 25 | 27 | 20 | 20 | 101 | 92 | 82 | |||
Other operating expenses | 55 | 54 | 66 | 56 | 55 | 50 | 55 | 60 | 231 | 220 | 218 | |||
Total expenses | 776 | 463 | 466 | |||||||||||
Income (loss) before income taxes | 584 | 172 | 409 | 266 | 756 | 488 | 218 | 69 | 1,431 | 1,531 | 1,142 | |||
Total (provision) benefit for income taxes | (155) | (43) | (112) | (65) | (224) | (133) | (59) | (27) | (375) | (443) | (334) | |||
Equity in net earnings of subsidiaries | 0 | 0 | 0 | |||||||||||
Net income (loss) | 1,056 | 1,088 | 808 | |||||||||||
Less: noncontrolling interest | 0 | 0 | 0 | |||||||||||
Net income (loss) | $ 429 | $ 129 | $ 297 | $ 201 | $ 532 | $ 355 | $ 159 | $ 42 | 1,056 | 1,088 | 808 | |||
Comprehensive income (loss) | 923 | 1,298 | 453 | |||||||||||
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | ||||||||||||||
Revenues | ||||||||||||||
Net earned premiums | 0 | 0 | 0 | |||||||||||
Net investment income | 0 | 0 | 0 | |||||||||||
Net realized investment gains (losses) | 0 | 0 | 0 | |||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | |||||||||||
Net unrealized gains (losses) | 0 | 0 | 0 | |||||||||||
Net change in fair value of credit derivatives | 0 | 0 | 0 | |||||||||||
Bargain purchase gain and settlement of pre-existing relationships | 0 | |||||||||||||
Other | 0 | 0 | 0 | |||||||||||
Total revenues | 0 | 0 | 0 | |||||||||||
Expenses | ||||||||||||||
Loss and LAE | 0 | 0 | 0 | |||||||||||
Amortization of DAC | 0 | 0 | 0 | |||||||||||
Interest expense | 0 | 0 | 0 | |||||||||||
Other operating expenses | 30 | 31 | 22 | |||||||||||
Total expenses | 30 | 31 | 22 | |||||||||||
Income (loss) before income taxes | (30) | (31) | (22) | |||||||||||
Total (provision) benefit for income taxes | 0 | 0 | 0 | |||||||||||
Equity in net earnings of subsidiaries | 1,086 | 1,119 | 830 | |||||||||||
Net income (loss) | 1,056 | 1,088 | 808 | |||||||||||
Less: noncontrolling interest | 0 | 0 | 0 | |||||||||||
Net income (loss) | 1,056 | 1,088 | 808 | |||||||||||
Comprehensive income (loss) | 923 | 1,298 | 453 | |||||||||||
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | ||||||||||||||
Revenues | ||||||||||||||
Net earned premiums | 0 | 0 | 0 | |||||||||||
Net investment income | 1 | 0 | 0 | |||||||||||
Net realized investment gains (losses) | 0 | 0 | 0 | |||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | |||||||||||
Net unrealized gains (losses) | 0 | 0 | 0 | |||||||||||
Net change in fair value of credit derivatives | 0 | 0 | 0 | |||||||||||
Bargain purchase gain and settlement of pre-existing relationships | 0 | |||||||||||||
Other | 0 | 0 | 0 | |||||||||||
Total revenues | 1 | 0 | 0 | |||||||||||
Expenses | ||||||||||||||
Loss and LAE | 0 | 0 | 0 | |||||||||||
Amortization of DAC | 0 | 0 | 0 | |||||||||||
Interest expense | 52 | 40 | 28 | |||||||||||
Other operating expenses | 1 | 1 | 1 | |||||||||||
Total expenses | 53 | 41 | 29 | |||||||||||
Income (loss) before income taxes | (52) | (41) | (29) | |||||||||||
Total (provision) benefit for income taxes | 18 | 14 | 9 | |||||||||||
Equity in net earnings of subsidiaries | 923 | 983 | 768 | |||||||||||
Net income (loss) | 889 | 956 | 748 | |||||||||||
Less: noncontrolling interest | 0 | 0 | 0 | |||||||||||
Net income (loss) | 889 | 956 | 748 | |||||||||||
Comprehensive income (loss) | 787 | 1,114 | 522 | |||||||||||
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | ||||||||||||||
Revenues | ||||||||||||||
Net earned premiums | 0 | 0 | 0 | |||||||||||
Net investment income | 0 | 1 | 1 | |||||||||||
Net realized investment gains (losses) | 1 | 0 | 0 | |||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | |||||||||||
Net unrealized gains (losses) | 0 | 0 | 0 | |||||||||||
Net change in fair value of credit derivatives | 0 | 0 | 0 | |||||||||||
Bargain purchase gain and settlement of pre-existing relationships | 0 | |||||||||||||
Other | 0 | 0 | 0 | |||||||||||
Total revenues | 1 | 1 | 1 | |||||||||||
Expenses | ||||||||||||||
Loss and LAE | 0 | 0 | 0 | |||||||||||
Amortization of DAC | 0 | 0 | 0 | |||||||||||
Interest expense | 54 | 54 | 54 | |||||||||||
Other operating expenses | 1 | 1 | 1 | |||||||||||
Total expenses | 55 | 55 | 55 | |||||||||||
Income (loss) before income taxes | (54) | (54) | (54) | |||||||||||
Total (provision) benefit for income taxes | 19 | 19 | 17 | |||||||||||
Equity in net earnings of subsidiaries | 468 | 513 | 701 | |||||||||||
Net income (loss) | 433 | 478 | 664 | |||||||||||
Less: noncontrolling interest | 0 | 0 | 0 | |||||||||||
Net income (loss) | 433 | 478 | 664 | |||||||||||
Comprehensive income (loss) | 359 | 577 | 515 | |||||||||||
Reportable Legal Entities [Member] | Other Entities [Member] | ||||||||||||||
Revenues | ||||||||||||||
Net earned premiums | 783 | 566 | 740 | |||||||||||
Net investment income | 432 | 412 | 408 | |||||||||||
Net realized investment gains (losses) | (19) | (58) | 87 | |||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||
Realized gains (losses) and other settlements | (18) | 23 | (42) | |||||||||||
Net unrealized gains (losses) | 773 | 800 | 107 | |||||||||||
Net change in fair value of credit derivatives | 755 | 823 | 65 | |||||||||||
Bargain purchase gain and settlement of pre-existing relationships | 54 | |||||||||||||
Other | 102 | 259 | 348 | |||||||||||
Total revenues | 2,107 | 2,002 | 1,648 | |||||||||||
Expenses | ||||||||||||||
Loss and LAE | 434 | 122 | 144 | |||||||||||
Amortization of DAC | 29 | 33 | 12 | |||||||||||
Interest expense | 14 | 16 | 20 | |||||||||||
Other operating expenses | 202 | 195 | 199 | |||||||||||
Total expenses | 679 | 366 | 375 | |||||||||||
Income (loss) before income taxes | 1,428 | 1,636 | 1,273 | |||||||||||
Total (provision) benefit for income taxes | (365) | (469) | (387) | |||||||||||
Equity in net earnings of subsidiaries | 39 | 32 | 19 | |||||||||||
Net income (loss) | 1,102 | 1,199 | 905 | |||||||||||
Less: noncontrolling interest | 39 | 32 | 19 | |||||||||||
Net income (loss) | 1,063 | 1,167 | 886 | |||||||||||
Comprehensive income (loss) | 967 | 1,570 | 309 | |||||||||||
Consolidating Adjustments [Member] | ||||||||||||||
Revenues | ||||||||||||||
Net earned premiums | (17) | 4 | 12 | |||||||||||
Net investment income | (10) | (10) | (16) | |||||||||||
Net realized investment gains (losses) | (8) | (2) | (35) | |||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | |||||||||||
Net unrealized gains (losses) | (27) | 0 | 0 | |||||||||||
Net change in fair value of credit derivatives | (27) | 0 | 0 | |||||||||||
Bargain purchase gain and settlement of pre-existing relationships | 160 | |||||||||||||
Other | 0 | (1) | (2) | |||||||||||
Total revenues | 98 | (9) | (41) | |||||||||||
Expenses | ||||||||||||||
Loss and LAE | (10) | 4 | 10 | |||||||||||
Amortization of DAC | (9) | (8) | 0 | |||||||||||
Interest expense | (19) | (18) | (20) | |||||||||||
Other operating expenses | (3) | (8) | (5) | |||||||||||
Total expenses | (41) | (30) | (15) | |||||||||||
Income (loss) before income taxes | 139 | 21 | (26) | |||||||||||
Total (provision) benefit for income taxes | (47) | (7) | 27 | |||||||||||
Equity in net earnings of subsidiaries | (2,516) | (2,647) | (2,318) | |||||||||||
Net income (loss) | (2,424) | (2,633) | (2,317) | |||||||||||
Less: noncontrolling interest | (39) | (32) | (19) | |||||||||||
Net income (loss) | (2,385) | (2,601) | (2,298) | |||||||||||
Comprehensive income (loss) | $ (2,113) | $ (3,261) | $ (1,346) | |||||||||||
[1] | Excludes $21 million, $32 million and $60 million for the year ended December 31, 2015, 2014 and 2013, respectively, related to consolidated FG VIEs. |
Subsidiary Information - Con149
Subsidiary Information - Condensed Consolidating Statement of Cash Flows (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | $ (52) | $ 577 | $ 244 |
Fixed-maturity securities: | |||
Purchases | (2,577) | (2,801) | (1,886) |
Sales | 2,107 | 1,251 | 1,029 |
Maturities | 898 | 877 | 883 |
Sales (purchases) of short-term investments, net | 897 | 158 | (87) |
Net proceeds from financial guaranty variable entities’ assets | 400 | 408 | 663 |
Acquisition of Radian Asset | (800) | 0 | 0 |
Intercompany debt | 0 | 0 | 0 |
Investment in subsidiary | 0 | 0 | 0 |
Other | 69 | 11 | 79 |
Net cash flows provided by (used in) investing activities | 994 | (96) | 681 |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | 0 |
Capital contribution from parent | 0 | 0 | 0 |
Dividends paid | (72) | (76) | (75) |
Repurchases of common stock | (555) | (590) | (264) |
Share activity under option and incentive plans | (2) | 1 | (1) |
Net paydowns of financial guaranty variable entities’ liabilities | (214) | (396) | (511) |
Net proceeds from issuance of long-term debt | 0 | 495 | 0 |
Payment of long-term debt | (4) | (19) | (27) |
Intercompany debt | 0 | 0 | 0 |
Net cash flows provided by (used in) financing activities | (847) | (585) | (878) |
Effect of foreign exchange rate changes | (4) | (5) | (1) |
Increase (decrease) in cash | 91 | (109) | 46 |
Cash at beginning of period | 75 | 184 | 138 |
Cash at end of period | 166 | 75 | 184 |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | 513 | 758 | 128 |
Fixed-maturity securities: | |||
Purchases | 0 | 0 | 0 |
Sales | 0 | 0 | 176 |
Maturities | 0 | 0 | 29 |
Sales (purchases) of short-term investments, net | 116 | (93) | 7 |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | 0 |
Acquisition of Radian Asset | 0 | ||
Intercompany debt | 0 | 0 | 0 |
Investment in subsidiary | 0 | 0 | 0 |
Other | 0 | 0 | 0 |
Net cash flows provided by (used in) investing activities | 116 | (93) | 212 |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | 0 |
Capital contribution from parent | 0 | 0 | 0 |
Dividends paid | (72) | (76) | (75) |
Repurchases of common stock | (555) | (590) | (264) |
Share activity under option and incentive plans | (2) | 1 | (1) |
Net paydowns of financial guaranty variable entities’ liabilities | 0 | 0 | 0 |
Net proceeds from issuance of long-term debt | 0 | 0 | |
Payment of long-term debt | 0 | 0 | 0 |
Intercompany debt | 0 | 0 | 0 |
Net cash flows provided by (used in) financing activities | (629) | (665) | (340) |
Effect of foreign exchange rate changes | 0 | 0 | 0 |
Increase (decrease) in cash | 0 | 0 | 0 |
Cash at beginning of period | 0 | 0 | 0 |
Cash at end of period | 0 | 0 | 0 |
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | 408 | 223 | 178 |
Fixed-maturity securities: | |||
Purchases | (72) | (540) | (93) |
Sales | 177 | 464 | 1 |
Maturities | 9 | 6 | 3 |
Sales (purchases) of short-term investments, net | 33 | (15) | (28) |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | 0 |
Acquisition of Radian Asset | 0 | ||
Intercompany debt | 0 | 0 | 0 |
Investment in subsidiary | 0 | 0 | 0 |
Other | (5) | 0 | 0 |
Net cash flows provided by (used in) investing activities | 142 | (85) | (117) |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | 0 |
Capital contribution from parent | 0 | 0 | 0 |
Dividends paid | (455) | (700) | 0 |
Repurchases of common stock | 0 | 0 | 0 |
Share activity under option and incentive plans | 0 | 0 | 0 |
Net paydowns of financial guaranty variable entities’ liabilities | 0 | 0 | 0 |
Net proceeds from issuance of long-term debt | 0 | 495 | |
Payment of long-term debt | 0 | 0 | 0 |
Intercompany debt | 0 | 0 | (7) |
Net cash flows provided by (used in) financing activities | (455) | (205) | (7) |
Effect of foreign exchange rate changes | 0 | 0 | 0 |
Increase (decrease) in cash | 95 | (67) | 54 |
Cash at beginning of period | 0 | 67 | 13 |
Cash at end of period | 95 | 0 | 67 |
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | 185 | 144 | 133 |
Fixed-maturity securities: | |||
Purchases | (21) | (8) | (26) |
Sales | 30 | 10 | 25 |
Maturities | 0 | 1 | 2 |
Sales (purchases) of short-term investments, net | 19 | (3) | (15) |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | 0 |
Acquisition of Radian Asset | 0 | ||
Intercompany debt | 0 | 0 | 0 |
Investment in subsidiary | 25 | 50 | 49 |
Other | 0 | 0 | 0 |
Net cash flows provided by (used in) investing activities | 53 | 50 | 35 |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | 0 |
Capital contribution from parent | 0 | 0 | 0 |
Dividends paid | (234) | (190) | (168) |
Repurchases of common stock | 0 | 0 | 0 |
Share activity under option and incentive plans | 0 | 0 | 0 |
Net paydowns of financial guaranty variable entities’ liabilities | 0 | 0 | 0 |
Net proceeds from issuance of long-term debt | 0 | 0 | |
Payment of long-term debt | 0 | 0 | 0 |
Intercompany debt | 0 | 0 | 0 |
Net cash flows provided by (used in) financing activities | (234) | (190) | (168) |
Effect of foreign exchange rate changes | 0 | 0 | 0 |
Increase (decrease) in cash | 4 | 4 | 0 |
Cash at beginning of period | 4 | 0 | 0 |
Cash at end of period | 8 | 4 | 0 |
Reportable Legal Entities [Member] | Other Entities [Member] | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | 52 | 663 | 347 |
Fixed-maturity securities: | |||
Purchases | (2,550) | (2,253) | (1,832) |
Sales | 1,900 | 777 | 892 |
Maturities | 889 | 870 | 849 |
Sales (purchases) of short-term investments, net | 729 | 269 | (51) |
Net proceeds from financial guaranty variable entities’ assets | 400 | 408 | 663 |
Acquisition of Radian Asset | (800) | ||
Intercompany debt | 0 | 0 | 7 |
Investment in subsidiary | 0 | 0 | 0 |
Other | 74 | 11 | 79 |
Net cash flows provided by (used in) investing activities | 642 | 82 | 607 |
Cash flows from financing activities | |||
Return of capital | (25) | (50) | (50) |
Capital contribution from parent | 0 | 0 | 1 |
Dividends paid | (455) | (321) | (374) |
Repurchases of common stock | 0 | 0 | 0 |
Share activity under option and incentive plans | 0 | 0 | 0 |
Net paydowns of financial guaranty variable entities’ liabilities | (214) | (396) | (511) |
Net proceeds from issuance of long-term debt | 0 | 0 | |
Payment of long-term debt | (4) | (19) | (27) |
Intercompany debt | 0 | 0 | 0 |
Net cash flows provided by (used in) financing activities | (698) | (786) | (961) |
Effect of foreign exchange rate changes | (4) | (5) | (1) |
Increase (decrease) in cash | (8) | (46) | (8) |
Cash at beginning of period | 71 | 117 | 125 |
Cash at end of period | 63 | 71 | 117 |
Consolidating Adjustments [Member] | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | (1,210) | (1,211) | (542) |
Fixed-maturity securities: | |||
Purchases | 66 | 0 | 65 |
Sales | 0 | 0 | (65) |
Maturities | 0 | 0 | 0 |
Sales (purchases) of short-term investments, net | 0 | 0 | 0 |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | 0 |
Acquisition of Radian Asset | 0 | ||
Intercompany debt | 0 | 0 | (7) |
Investment in subsidiary | (25) | (50) | (49) |
Other | 0 | 0 | 0 |
Net cash flows provided by (used in) investing activities | 41 | (50) | (56) |
Cash flows from financing activities | |||
Return of capital | 25 | 50 | 50 |
Capital contribution from parent | 0 | 0 | (1) |
Dividends paid | 1,144 | 1,211 | 542 |
Repurchases of common stock | 0 | 0 | 0 |
Share activity under option and incentive plans | 0 | 0 | 0 |
Net paydowns of financial guaranty variable entities’ liabilities | 0 | 0 | 0 |
Net proceeds from issuance of long-term debt | 0 | 0 | |
Payment of long-term debt | 0 | 0 | 0 |
Intercompany debt | 0 | 0 | 7 |
Net cash flows provided by (used in) financing activities | 1,169 | 1,261 | 598 |
Effect of foreign exchange rate changes | 0 | 0 | 0 |
Increase (decrease) in cash | 0 | 0 | 0 |
Cash at beginning of period | 0 | 0 | 0 |
Cash at end of period | $ 0 | $ 0 | $ 0 |
Quarterly Financial Informat150
Quarterly Financial Information (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Millions | Feb. 04, 2015 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||||||||||
Revenues | |||||||||||||||||||||||
Net earned premiums | $ 192 | $ 213 | $ 219 | $ 142 | $ 158 | $ 144 | $ 136 | $ 132 | $ 766 | [1] | $ 570 | [1] | $ 752 | [1] | |||||||||
Net investment income | 112 | 112 | 98 | 101 | 102 | 102 | 96 | 103 | 423 | 403 | 393 | ||||||||||||
Net realized investment gains (losses) | (6) | (27) | (9) | 16 | (35) | (19) | (8) | 2 | (26) | (60) | 52 | ||||||||||||
Net change in fair value of credit derivatives | 428 | 86 | 90 | 124 | 676 | 255 | 103 | (211) | 728 | 823 | 65 | ||||||||||||
Fair value gains (losses) on CCS | 17 | (15) | 23 | 2 | 0 | 4 | (6) | (9) | 27 | (11) | 10 | ||||||||||||
Fair value gains (losses) on FG VIEs | 38 | 2 | 5 | (7) | 23 | 50 | 25 | 157 | 38 | 255 | |||||||||||||
Bargain purchase gain and settlement of pre-existing relationships | 0 | 0 | 214 | 0 | 0 | 0 | 0 | 0 | 214 | 0 | 0 | ||||||||||||
Other income (loss) | (6) | (3) | 55 | (9) | (3) | (11) | 7 | 21 | 37 | 14 | (10) | ||||||||||||
Expenses | |||||||||||||||||||||||
Loss and LAE | 106 | 112 | 188 | 18 | 72 | (44) | 57 | 41 | 424 | 126 | 154 | ||||||||||||
Amortization of DAC | 5 | 5 | 6 | 4 | 13 | 4 | 3 | 5 | 20 | 25 | 12 | ||||||||||||
Interest expense | 25 | 25 | 26 | 25 | 25 | 27 | 20 | 20 | 101 | 92 | 82 | ||||||||||||
Other operating expenses | 55 | 54 | 66 | 56 | 55 | 50 | 55 | 60 | 231 | 220 | 218 | ||||||||||||
Income (loss) before provision for income taxes | 584 | 172 | 409 | 266 | 756 | 488 | 218 | 69 | 1,431 | 1,531 | 1,142 | ||||||||||||
Provision (benefit) for income taxes | 155 | 43 | 112 | 65 | 224 | 133 | 59 | 27 | 375 | 443 | 334 | ||||||||||||
Net income (loss) | $ 429 | $ 129 | $ 297 | $ 201 | $ 532 | $ 355 | $ 159 | $ 42 | $ 1,056 | $ 1,088 | $ 808 | ||||||||||||
Earnings per share: | |||||||||||||||||||||||
Basic (in dollars per share) | $ 3.05 | [2] | $ 0.88 | [2] | $ 1.97 | [2] | $ 1.29 | [2] | $ 3.30 | [2] | $ 2.10 | [2] | $ 0.89 | [2] | $ 0.23 | [2] | $ 7.12 | [2] | $ 6.30 | [2] | $ 4.32 | ||
Diluted (in dollars per share) | 3.03 | [2] | 0.88 | [2] | 1.96 | [2] | 1.28 | [2] | 3.28 | [2] | 2.09 | [2] | 0.89 | [2] | 0.23 | [2] | 7.08 | [2] | 6.26 | [2] | 4.30 | ||
Dividends (in dollars per share) | $ 0.12 | $ 0.12 | [2] | $ 0.12 | [2] | $ 0.12 | [2] | $ 0.12 | [2] | $ 0.11 | [2] | $ 0.11 | [2] | $ 0.11 | [2] | $ 0.11 | [2] | $ 0.48 | [2] | $ 0.44 | [2] | $ 0.40 | |
[1] | Excludes $21 million, $32 million and $60 million for the year ended December 31, 2015, 2014 and 2013, respectively, related to consolidated FG VIEs. | ||||||||||||||||||||||
[2] | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |