Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Feb. 21, 2017 | Jun. 30, 2016 | |
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, 2016 | ||
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 | $ 3,310,230,030 | ||
Entity Common Stock, Shares Outstanding | 125,017,614 | ||
Document Fiscal Year Focus | 2,016 | ||
Document Fiscal Period Focus | FY |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 |
Investment portfolio: | ||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $9,974 and $10,275) | $ 10,233 | $ 10,627 |
Short-term investments, at fair value | 590 | 396 |
Other invested assets | 162 | 169 |
Total investment portfolio | 10,985 | 11,192 |
Cash | 118 | 166 |
Premiums receivable, net of commissions payable | 576 | 693 |
Ceded unearned premium reserve | 206 | 232 |
Deferred acquisition costs | 106 | 114 |
Reinsurance recoverable on unpaid losses | 80 | 69 |
Salvage and subrogation recoverable | 365 | 126 |
Credit derivative assets | 13 | 81 |
Deferred tax asset, net | 497 | 276 |
Current income tax receivable | 12 | 40 |
Financial guaranty variable interest entities’ assets, at fair value | 876 | 1,261 |
Other assets | 317 | 294 |
Total assets | 14,151 | 14,544 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 3,511 | 3,996 |
Loss and loss adjustment expense reserve | 1,127 | 1,067 |
Reinsurance balances payable, net | 64 | 51 |
Long-term debt | 1,306 | 1,300 |
Credit derivative liabilities | 402 | 446 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 807 | 1,225 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 151 | 124 |
Other liabilities | 279 | 272 |
Total liabilities | 7,647 | 8,481 |
Commitments and contingencies (See Note 15) | ||
Common stock ($0.01 par value, 500,000,000 shares authorized; 127,988,230 and 137,928,552 shares issued and outstanding) | 1 | 1 |
Additional paid-in capital | 1,060 | 1,342 |
Retained earnings | 5,289 | 4,478 |
Accumulated other comprehensive income, net of tax of $70 and $104 | 149 | 237 |
Deferred equity compensation (320,193 and 320,193 shares) | 5 | 5 |
Total shareholders’ equity | 6,504 | 6,063 |
Total liabilities and shareholders’ equity | $ 14,151 | $ 14,544 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Fixed-maturity securities, available-for-sale, at fair value | $ 9,974 | $ 10,275 |
Common stock par value (per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 127,988,230 | 137,928,552 |
Common stock, shares outstanding | 127,988,230 | 137,928,552 |
Accumulated other comprehensive income, tax provision | $ 70 | $ 104 |
Deferred equity compensation, shares | 320,193 | 320,193 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Millions | 12 Months Ended | |||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||||
Revenues | ||||||
Net earned premiums | [1] | $ 864 | $ 766 | $ 570 | ||
Net investment income | 408 | 423 | 403 | |||
Net realized investment gains (losses): | ||||||
Other-than-temporary impairment losses | (47) | (47) | (76) | |||
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income | 4 | 0 | (1) | |||
Net impairment loss | (51) | (47) | (75) | |||
Other net realized investment gains (losses) | 22 | 21 | 15 | |||
Net realized investment gains (losses) | (29) | (26) | (60) | |||
Net change in fair value of credit derivatives: | ||||||
Realized gains (losses) and other settlements | 29 | (18) | 23 | |||
Net unrealized gains (losses) | 69 | 746 | 800 | |||
Net change in fair value of credit derivatives | 98 | 728 | 823 | |||
Fair value gains (losses) on committed capital securities | 0 | 27 | (11) | |||
Fair value gains (losses) on financial guaranty variable interest entities | 38 | 38 | 255 | |||
Bargain purchase gain and settlement of pre-existing relationships | 259 | 214 | 0 | |||
Other income (loss) | 39 | 37 | 14 | |||
Total revenues | 1,677 | 2,207 | 1,994 | |||
Expenses | ||||||
Loss and loss adjustment expenses | 295 | 424 | 126 | |||
Amortization of deferred acquisition costs | 18 | 20 | 25 | |||
Interest expense | 102 | 101 | 92 | |||
Other operating expenses | 245 | 231 | 220 | |||
Total expenses | 660 | 776 | 463 | |||
Income (loss) before income taxes | 1,017 | 1,431 | 1,531 | |||
Provision (benefit) for income taxes | ||||||
Current | 117 | 75 | 96 | |||
Deferred | 19 | 300 | 347 | |||
Total provision (benefit) for income taxes | 136 | 375 | 443 | |||
Net income (loss) | $ 881 | $ 1,056 | $ 1,088 | |||
Earnings per share: | ||||||
Basic (in dollars per share) | $ 6.61 | [2] | $ 7.12 | [2] | $ 6.30 | |
Diluted (in dollars per share) | 6.56 | [2] | 7.08 | [2] | 6.26 | |
Dividends (in dollars per share) | $ 0.52 | [2] | $ 0.48 | [2] | $ 0.44 | |
[1] | Excludes $16 million, $21 million and $32 million for the year ended December 31, 2016, 2015 and 2014, respectively, related to consolidated FG VIEs. | |||||
[2] | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Statement of Comprehensive Income [Abstract] | |||
Net income (loss) | $ 881 | $ 1,056 | $ 1,088 |
Unrealized holding gains (losses) arising during the period on: | |||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $(34), $(36) and $80 | (71) | (93) | 196 |
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(5), $(23) and $(9) | (9) | (43) | (20) |
Unrealized holding gains (losses) arising during the period, net of tax | (80) | (136) | 176 |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(10), $(7) and $(21) | (16) | (10) | (41) |
Change in net unrealized gains (losses) on investments | (64) | (126) | 217 |
Other, net of tax provision | (24) | (7) | (7) |
Other comprehensive income (loss) | (88) | (133) | 210 |
Comprehensive income (loss) | $ 793 | $ 923 | $ 1,298 |
Consolidated Statements of Com6
Consolidated Statements of Comprehensive Income (Parenthetical) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Statement of Comprehensive Income [Abstract] | |||
Investments with no other-than-temporary impairment, tax provision (benefit) | $ (34) | $ (36) | $ 80 |
Investments with other-than-temporary impairment, tax provision (benefit) | (5) | (23) | (9) |
Reclassification adjustment for gains (losses) included in net income (loss), tax provision (benefit) | $ (10) | $ (7) | $ (21) |
Consolidated Statement of Share
Consolidated Statement of Shareholders' Equity - USD ($) $ in Millions | Total | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings [Member] | Accumulated Other Comprehensive Income [Member] | Deferred Equity Compensation [Member] |
Beginning balance (in shares) at Dec. 31, 2013 | 182,177,866 | |||||
Beginning 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 (2014 $0.44, 2015 $0.48, 2016 $0.52 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 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 (2014 $0.44, 2015 $0.48, 2016 $0.52 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 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 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net Income | 881 | 881 | ||||
Dividends (2014 $0.44, 2015 $0.48, 2016 $0.52 per share) | (70) | (70) | ||||
Common stock repurchases (in shares) | (10,721,248) | |||||
Common stock repurchases | (306) | (306) | ||||
Share-based compensation and other (in shares) | 780,926 | |||||
Share-based compensation and other | 24 | 24 | ||||
Other comprehensive loss | (88) | (88) | ||||
Ending balance (in shares) at Dec. 31, 2016 | 127,988,230 | |||||
Ending balance at Dec. 31, 2016 | $ 6,504 | $ 1 | $ 1,060 | $ 5,289 | $ 149 | $ 5 |
Consolidated Statement of Shar8
Consolidated Statement of Shareholders' Equity (Parenthetical) - $ / shares | 3 Months Ended | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||||||||||
Statement of Stockholders' Equity [Abstract] | |||||||||||||||||||||
Dividends (in dollars per share) | $ 0.13 | [1] | $ 0.13 | [1] | $ 0.13 | [1] | $ 0.13 | [1] | $ 0.12 | [1] | $ 0.12 | [1] | $ 0.12 | [1] | $ 0.12 | [1] | $ 0.52 | [1] | $ 0.48 | [1] | $ 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. |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Operating Activities: | |||
Net Income | $ 881 | $ 1,056 | $ 1,088 |
Adjustments to reconcile net income to net cash flows provided by operating activities: | |||
Non-cash interest and operating expenses | 39 | 27 | 23 |
Net amortization of premium (discount) on investments | (34) | (25) | (16) |
Provision (benefit) for deferred income taxes | 19 | 300 | 347 |
Net realized investment losses (gains) | 29 | 17 | 60 |
Net unrealized losses (gains) on credit derivatives | (69) | (746) | (800) |
Fair value losses (gains) on committed capital securities | 0 | (27) | 11 |
Bargain purchase gain and settlement of pre-existing relationships | (259) | (214) | 0 |
Change in deferred acquisition costs | 9 | 9 | 3 |
Change in premiums receivable, net of premiums and commissions payable | 128 | (8) | 108 |
Change in ceded unearned premium reserve | 22 | 79 | 69 |
Change in unearned premium reserve | (777) | (744) | (332) |
Change in loss and loss adjustment expense reserve, net | (105) | 244 | 182 |
Change in current income tax | 27 | (45) | (45) |
Change in financial guaranty variable interest entities' assets and liabilities, net | (24) | (6) | (170) |
(Purchases) sales of trading securities, net | 0 | 8 | 78 |
Other | (27) | 23 | (29) |
Net cash flows provided by (used in) operating activities | (141) | (52) | 577 |
Fixed-maturity securities: | |||
Purchases | (1,646) | (2,577) | (2,801) |
Sales | 1,365 | 2,107 | 1,251 |
Maturities | 1,155 | 898 | 877 |
Net sales (purchases) of short-term investments | 17 | 897 | 158 |
Net proceeds from paydowns on financial guaranty variable interest entities’ assets | 629 | 400 | 408 |
Acquisition of CIFG, net of cash acquired | (435) | 0 | 0 |
Acquisition of Radian Asset, net of cash acquired | 0 | (800) | 0 |
Other | (9) | 69 | 11 |
Net cash flows provided by (used in) investing activities | 1,076 | 994 | (96) |
Financing activities | |||
Dividends paid | (69) | (72) | (76) |
Repurchases of common stock | (306) | (555) | (590) |
Share activity under option and incentive plans | 10 | (2) | 1 |
Net paydowns of financial guaranty variable entities’ liabilities | (611) | (214) | (396) |
Net proceeds from issuance of long-term debt | 0 | 0 | 495 |
Repayment of long-term debt | (2) | (4) | (19) |
Net cash flows provided by (used in) financing activities | (978) | (847) | (585) |
Effect of foreign exchange rate changes | (5) | (4) | (5) |
Increase (decrease) in cash | (48) | 91 | (109) |
Cash at beginning of period | 166 | 75 | 184 |
Cash at end of period | 118 | 166 | 75 |
Supplemental cash flow information | |||
Income taxes | 74 | 103 | 122 |
Interest | $ 95 | $ 95 | $ 86 |
Business and Basis of Presentat
Business and Basis of Presentation | 12 Months Ended |
Dec. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Business and Basis of Presentation | Business and Basis of Presentation Business Assured Guaranty Ltd. (AGL and, together with its subsidiaries, Assured Guaranty or the Company) is a Bermuda-based holding company that provides, through its operating subsidiaries, credit protection products to the United States (U.S.) and international public finance (including infrastructure) and structured finance markets. The Company applies its credit underwriting judgment, risk management skills and capital markets experience primarily to offer financial guaranty insurance that protects holders of debt instruments and other monetary obligations from defaults in scheduled payments. If an obligor defaults on a scheduled payment due on an obligation, including a scheduled principal or interest payment (debt service), the Company is required under its unconditional and irrevocable financial guaranty to pay the amount of the shortfall to the holder of the obligation. The Company markets its financial guaranty insurance directly to issuers and underwriters of public finance and structured finance securities as well as to investors in such obligations. The Company guarantees obligations issued principally in the U.S. and the United Kingdom (U.K.), and also guarantees obligations issued in other countries and regions, including Australia and Western Europe. The Company also provides other forms of insurance that are in line with its risk profile and benefit from its underwriting experience. In the past, the Company sold credit protection by issuing policies that guaranteed payment obligations under credit derivatives, primarily credit default swaps (CDS). Contracts accounted for as credit derivatives are generally structured such that the circumstances giving rise to the Company’s obligation to make loss payments are similar to those for financial guaranty insurance contracts. The Company’s credit derivative transactions are governed by International Swaps and Derivative Association, Inc. (ISDA) documentation. The Company has not entered into any new CDS in order to sell credit protection in the U.S. since the beginning of 2009, when regulatory guidelines were issued that limited the terms under which such protection could be sold. The capital and margin requirements applicable under the Dodd-Frank Wall Street Reform and Consumer Protection Act also contributed to the Company not entering into such new CDS in the U.S. since 2009. The Company actively pursues opportunities to terminate existing CDS, which 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 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 U.K.; and • Assured Guaranty Re Ltd. (AG Re) and Assured Guaranty Re Overseas Ltd (AGRO), domiciled in Bermuda. The Company’s organizational structure includes various holding companies, two of which—Assured Guaranty U.S. Holdings Inc. (AGUS) and Assured Guaranty Municipal Holdings Inc. (AGMH) – have public debt outstanding. See Note 16, Long-Term Debt and Credit Facilities and Note 21, Subsidiary Information. 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 Acquisitions Note 2 Expected loss to be paid (insurance, credit derivatives and FG VIE contracts) Note 5 Contracts accounted for as 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 Income Taxes In October 2016, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2016-16, Income Taxes (Topic 740) - Intra-Entity Transfers of Assets Other Than Inventory, which removes the current prohibition against immediate recognition of the current and deferred income tax effects of intra-entity transfers of assets other than inventory. Under the ASU, the selling (transferring) entity is required to recognize a current income tax expense or benefit upon transfer of the asset. Similarly, the purchasing (receiving) entity is required to recognize a deferred tax asset or deferred tax liability, as well as the related deferred tax benefit or expense, upon receipt of the asset. The ASU is effective for annual periods beginning after December 15, 2017, including interim periods within those annual periods, and early adoption is permitted. The ASU’s amendments are to be applied on a modified retrospective basis recognizing the effects in retained earnings as of the beginning of the year of adoption. The Company is currently evaluating the effect on its Consolidated Financial Statements of adopting this ASU. Statement of Cash Flows In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash (a consensus of the Emerging Issues Task Force), which addresses the presentation of changes in restricted cash and restricted cash equivalents in the statement of cash flows with the objective of reducing the existing diversity in practice. Under the ASU, entities are required to show the changes in the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the statement of cash flows. As a result, entities will no longer present transfers between cash and cash equivalents and restricted cash and restricted cash equivalents in the statement of cash flows. When cash, cash equivalents, restricted cash and restricted cash equivalents are presented in more than one line item on the balance sheet, the ASU requires a reconciliation be presented either on the face of the statement of cash flows or in the notes to the financial statements showing the totals in the statement of cash flows to the related captions in the balance sheet. The ASU is effective for public business entities for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. Early adoption is permitted, including adoption in an interim period. If the ASU is adopted in an interim period, any adjustments should be reflected as of the beginning of the fiscal year that includes that interim period. This ASU will not have a material impact on the Company’s Consolidated Statements of Cash Flows. In August 2016, the FASB issued ASU 2016-15, Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments (a consensus of the Emerging Issues Task Force), which addresses eight specific cash flow issues with the objective of reducing the existing diversity in practice. The issues addressed in the new guidance include debt prepayment or debt extinguishment costs, settlement of zero-coupon debt instruments, contingent consideration payments made after a business combination, proceeds from the settlement of insurance claims, proceeds from the settlement of corporate-owned life insurance policies, including bank-owned life insurance policies, distributions received from equity method investments, beneficial interests in securitization transactions and separately identifiable cash flows and application of the predominance principle. The amendments in this ASU are effective for public business entities for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. Early adoption is permitted, including adoption in an interim period. If an entity early adopts the amendments in an interim period, any adjustments should be reflected as of the beginning of the fiscal year that includes that interim period. An entity that elects early adoption must adopt all of the amendments in the same period. This ASU will not have a material impact on the Company’s Consolidated Statements of Cash Flows. Credit Losses on Financial Instruments In June 2016, the FASB issued ASU 2016-13, Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments . The amendments in this ASU are intended to improve financial reporting by requiring timelier recording of credit losses on loans and other financial instruments held by financial institutions and other organizations. The ASU requires the measurement of all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts. Financial institutions will use forward-looking information to better inform their credit loss estimates as a result of the ASU. While many of the loss estimation techniques applied today will still be permitted, the inputs to those techniques will change to reflect the full amount of expected credit losses. The ASU requires enhanced disclosures to help investors and other financial statement users to better understand significant estimates and judgments used in estimating credit losses, as well as credit quality and underwriting standards of an organization’s portfolio. In addition, the ASU amends the accounting for credit losses on available-for-sale securities and purchased financial assets with credit deterioration. The ASU also eliminates the concept of “other than temporary” from the impairment model for certain available-for-sale securities. Accordingly, the ASU states that an entity must use an allowance approach, must limit the allowance to an amount at which the security’s fair value is less than its amortized cost basis, may not consider the length of time fair value has been less than amortized cost, and may not consider recoveries in fair value after the balance sheet date when assessing whether a credit loss exists. For purchased financial assets with credit deterioration, the ASU requires an entity’s method for measuring credit losses to be consistent with its method for measuring expected losses for originated and purchased non-credit-deteriorated assets. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. For most debt instruments, entities will be required to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the first reporting period in which the guidance is adopted. The changes to the impairment model for available-for-sale securities and changes to purchased financial assets with credit deterioration are to be applied prospectively. For the Company, this would be as of January 1, 2020. Early adoption is permitted for fiscal years, and interim periods with those fiscal years, beginning after December 15, 2018. The Company is currently evaluating the effect on its Consolidated Financial Statements of adopting this ASU. Share-Based Payments In March 2016, the FASB issued ASU 2016-09, Compensation - Stock Compensation (Topic 718) - Improvements to Employee Share-Based Payment , which simplifies several aspects of the accounting for employee share-based payment transactions, including the accounting for income taxes, forfeitures, and statutory tax withholding requirements, as well as classification in the statement of cash flows. The new guidance will require all income tax effects of awards to be recognized in the income statement when the awards vest or are settled. It also will allow an employer to repurchase more of an employee’s shares than it can today for tax withholding purposes without triggering liability accounting and to make a policy election to account for forfeitures as they occur. The ASU is effective for fiscal years beginning after December 15, 2016, including interim periods within those fiscal years, and early adoption is permitted. The Company does not expect that the ASU will have a material effect on its Consolidated Financial Statements. Leases In February 2016, the FASB issued ASU 2016-02, Leases (Topic 842) . This ASU requires lessees to present right-of-use assets and lease liabilities on the balance sheet. ASU 2016-02 is to be applied using a modified retrospective approach 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 FASB issued 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. Under the ASU, certain equity securities will need to be accounted for at fair value with changes in fair value recognized through net income. Currently, the Company recognizes unrealized gains and losses for these securities in OCI. Another amendment 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 OCI. Currently, the entire change in the fair value of these liabilities is reflected in the income statement. The Company elected the fair value option to account for its consolidated FG VIEs. FG VIE financial liabilities with recourse are sensitive to changes in the Company’s implied credit worthiness and will be impacted by the ASU. 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 does not expect that the amendment related to certain equity securities will have a material effect on its Consolidated Financial Statements. Upon the adoption date, the Company will present the total change in credit risk for FG VIEs’ financial liabilities with recourse separately in OCI. |
Acquisitions
Acquisitions | 12 Months Ended |
Dec. 31, 2016 | |
Business Combinations [Abstract] | |
Acquisitions | Acquisitions Consistent with one of its key business strategies of supplementing its book of business through acquisitions, the Company has acquired three financial guaranty companies since January 1, 2015, as described below. CIFG Holding Inc. On July 1, 2016, AGC acquired all of the issued and outstanding capital stock of CIFG Holding Inc. (together with its subsidiaries CIFGH), the parent of financial guaranty insurer CIFG Assurance North America, Inc. (CIFGNA), (the CIFG Acquisition), for $450.6 million in cash. AGUS previously owned 1.6% of the outstanding shares of CIFGH, for which it received $7.1 million in consideration from AGC, resulting in a net consolidated purchase price of $443 million . AGC merged CIFGNA with and into AGC, with AGC as the surviving company, on July 5, 2016. The CIFG Acquisition added $4.2 billion of net par insured on July 1, 2016. At the time of the CIFG Acquisition, CIFGNA had a subsidiary financial guaranty company domiciled in France, CIFG Europe S.A. (CIFGE), which had been put into run-off and surrendered its licenses. CIFGNA had reinsured all of CIFGE’s outstanding financial guaranty business and also had issued a “second-to-pay policy” pursuant to which CIFGNA guaranteed the full and complete payment of any shortfall in amounts due from CIFGE on its insured portfolio; AGC assumed these obligations as part of the CIFGNA merger with and into AGC. CIFGE remains a separate subsidiary in runoff, now owned by AGC. As of December 31, 2016 , CIFGE had investment assets of $41 million and gross par exposure of $694 million , and is not currently expected to pay dividends. The CIFG Acquisition was accounted for under the acquisition method of accounting which requires that the assets and liabilities acquired be recorded at fair value. The Company exercised significant judgment to determine the fair value of the assets it acquired and liabilities it assumed in the CIFG Acquisition. The most significant of these determinations related to the valuation of CIFGH's financial guaranty insurance and credit derivative contracts. On an aggregate basis, CIFGH'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 date of the CIFG Acquisition (the CIFG Acquisition Date), particularly for below-investment-grade 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 CIFG 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 on the CIFG Acquisition Date is recorded in unearned premium reserve. After the CIFG Acquisition Date, loss reserves and loss and loss adjustment expenses (LAE) will be 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, Contracts Accounted for as Insurance. The expected losses acquired by the Company as part of the CIFG Acquisition are included in the description of expected losses to be paid under Note 5, Expected Losses 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 CIFGH had pre-existing reinsurance relationships, which were also effectively settled at fair value on the CIFG Acquisition Date. The loss on settlement of these pre-existing reinsurance relationships represents the net difference between the historical assumed balances that were recorded by AGC and the fair value of ceded balances acquired from CIFGH. The Company believes the bargain purchase gain resulted from the nature of the financial guaranty business and the desire of investors in CIFGH to monetize their investments in CIFGH. The bargain purchase gain reflects the fair value of CIFGH’s assets and liabilities, as well as tax attributes that were recorded in deferred taxes comprising net operating losses (after Internal Revenue Code change in control provisions) and other temporary book-to-tax differences for which CIFGH had recorded a full valuation allowance. The following table shows the net effect of the CIFG Acquisition, 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 CIFG Acquisition (in millions) Cash Purchase Price (1) $ 443 $ — $ 443 Identifiable assets acquired: Investments 770 — 770 Cash 8 — 8 Premiums receivable, net of commissions payable 18 — 18 Ceded unearned premium reserve 173 (173 ) — Deferred acquisition costs 1 (1 ) — Salvage and subrogation recoverable 23 — 23 Credit derivative assets 1 — 1 Deferred tax asset, net 194 34 228 Other assets 4 — 4 Total assets 1,192 (140 ) 1,052 Liabilities assumed: Unearned premium reserves 306 (10 ) 296 Loss and loss adjustment expense reserve 1 (66 ) (65 ) Credit derivative liabilities 68 0 68 Other liabilities 17 — 17 Total liabilities 392 (76 ) 316 Net asset effect of CIFG Acquisition 800 (64 ) 736 Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, after-tax 357 (64 ) 293 Deferred tax — (34 ) (34 ) Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, pre-tax $ 357 $ (98 ) $ 259 _____________________ (1) The cash purchase price of $443 million represents the cash transferred for the acquisition which was allocated as follows: (1) $270 million for the purchase of net assets of $627 million , and (2) the settlement of pre-existing relationships between CIFGH and Assured Guaranty at a fair value of $173 million . Revenue and net income related to CIFGH from the CIFG Acquisition Date through December 31, 2016 included in the consolidated statement of operations were approximately $307 million and $323 million , respectively. For 2016, the Company recognized transaction expenses related to the CIFG Acquisition. These expenses were primarily driven by the fees paid to the Company's legal and financial advisors and to the Company's independent auditor. CIFG Acquisition-Related Expenses Year Ended December 31, 2016 (in millions) Professional services $ 2 Financial advisory fees 4 Total $ 6 The Company has determined that the presentation of pro-forma information is impractical for the CIFG Acquisition as historical financial records are not available on a U.S. GAAP basis. Radian Asset Assurance Inc. On April 1, 2015 (Radian 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. 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 Radian 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 Radian Acquisition Date is recorded in unearned premium reserve (please refer to Note 6, Contracts Accounted for as Insurance for additional information on stand-ready obligation). At the Radian 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 Radian Acquisition Date. Loss reserves and loss and 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, Contracts Accounted for as 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 Radian 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 Radian 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 Radian 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 MBIA UK Insurance Limited On January 10, 2017, AGL announced that its subsidiary AGC completed its acquisition of MBIA UK Insurance Limited (MBIA UK), the European operating subsidiary of MBIA Insurance Corporation (MBIA), in accordance with the agreement announced on September 29, 2016. As consideration for the outstanding shares of MBIA UK plus $23 million in cash, AGC exchanged all its holdings of notes issued in the Zohar II 2005-1 transaction. AGC’s Zohar II 2005-1 notes had a total outstanding principal of approximately $347 million and fair value of $334 million as of the date of acquisition. MBIA insured all of the notes issued in the Zohar II 2005-1 transaction. As of December 31, 2016, MBIA UK had an insured portfolio of approximately $12 billion of net par. MBIA UK has been renamed Assured Guaranty (London) Ltd. (AGLN). Assured Guaranty currently maintains AGLN as a stand-alone entity. Assured Guaranty is actively working to combine AGLN with its other affiliated European insurance companies. Any such combination will be subject to regulatory and court approvals; as a result, Assured Guaranty cannot predict when, or if, such a combination will be completed. The Company is in the process of allocating the purchase price to the assets acquired and liabilities assumed and conforming accounting policies but has not yet completed the acquisition date balance sheet. The Company intends to include this information in its first quarter 2017 Form 10-Q. |
Rating Actions
Rating Actions | 12 Months Ended |
Dec. 31, 2016 | |
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 may change. 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 as a result of such assessment may 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, to AGM in 2014, and to AGC in 2016, while the A.M. Best Company, Inc. (Best) rating was first assigned to Assured Guaranty Re Overseas Ltd. (AGRO) in 2015, and a Moody's Investors Service, Inc. (Moody's) rating was never requested for MAC and was dropped from AG Re and AGRO in 2015. On January 13, 2017, AGC announced that it had requested that Moody's withdraw its financial strength rating of AGC. In the last several years, S&P Global Ratings, a division of Standard & Poor's Financial Services LLC (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 September 20, 2016, KBRA assigned a financial strength rating of AA (stable outlook) to AGC. On December 14, 2016 and July 8, 2016, KBRA affirmed the AA+ (stable outlook) financial strength ratings of AGM and MAC, respectively. • On August 8, 2016, Moody's affirmed the A2 (stable outlook) on AGM and AGE and A3 insurance financial strength rating on AGC and AGC's subsidiary Assured Guaranty (U.K.) Ltd. (AGUK) raising the outlook to stable from negative, although AGC has requested that Moody's withdraw its financial strength rating of AGC and AGUK. 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 July 27, 2016, S&P affirmed the AA (stable) financial strength ratings of AGL's insurance subsidiaries. • On May 27, 2016, Best affirmed the A+ (stable) financial strength rating, which is their second highest rating, of AGRO. 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, Contracts Accounted for as Insurance • Note 8, Contracts Accounted for as Credit Derivatives • Note 13, Reinsurance and Other Monoline Exposures |
Outstanding Exposure
Outstanding Exposure | 12 Months Ended | |
Dec. 31, 2016 | ||
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 ratings 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 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 are claims that the Company expects to be reimbursed within one year) have yet been paid. • BIG Category 3: Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid. 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. As of December 31, 2016 and December 31, 2015 , the Company excluded $ 2.1 billion and $1.5 billion , respectively, of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG. The following table presents the gross and net debt service for financial guaranty contracts. Financial Guaranty Debt Service Outstanding Gross Debt Service Outstanding Net Debt Service Outstanding December 31, December 31, December 31, December 31, (in millions) Public finance $ 425,849 $ 515,494 $ 409,447 $ 494,426 Structured finance 29,151 43,976 28,088 41,915 Total financial guaranty $ 455,000 $ 559,470 $ 437,535 $ 536,341 In addition to the financial guaranty debt service shown in the table above, the Company provided structured capital relief Triple-X excess of loss life reinsurance on approximately $390 million of exposure as of December 31, 2016 , which is expected to increase to approximately $1 billion prior to September 30, 2036. There was no exposure to structured capital relief Triple-X excess of loss life reinsurance as of December 31, 2015 . The Company also has mortgage guaranty reinsurance related to loans originated in Ireland on debt service of approximately $36 million as of December 31, 2016 and $102 million as of December 31, 2015 . These transactions are all rated investment grade internally. Financial Guaranty Portfolio by Internal Rating(1) As of December 31, 2016 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 $ 2,066 0.8 % $ 2,221 8.4 % $ 9,757 44.2 % $ 1,447 47.0 % $ 15,491 5.2 % AA 46,420 19.0 170 0.6 5,773 26.2 127 4.1 52,490 17.7 A 133,829 54.7 6,270 23.8 1,589 7.2 456 14.8 142,144 48.0 BBB 55,103 22.5 16,378 62.1 879 4.0 759 24.6 73,119 24.7 BIG 7,380 3.0 1,342 5.1 4,059 18.4 293 9.5 13,074 4.4 Total net par outstanding $ 244,798 100.0 % $ 26,381 100.0 % $ 22,057 100.0 % $ 3,082 100.0 % $ 296,318 100.0 % _____________________ (1) The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. Financial Guaranty Portfolio by Internal Rating(1) As of December 31, 2015 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 $ 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 $ 291,866 100.0 % $ 29,577 100.0 % $ 31,770 100.0 % $ 5,358 100.0 % $ 358,571 100.0 % _____________________ (1) The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. Financial Guaranty Portfolio by Sector Gross Par Outstanding Ceded Par Outstanding Net Par Outstanding Sector As of December 31, 2016 As of December 31, 2015 As of December 31, 2016 As of December 31, 2015 As of December 31, 2016 As of December 31, 2015 (in millions) Public finance: U.S.: General obligation $ 110,167 $ 129,386 $ 2,450 $ 3,131 $ 107,717 $ 126,255 Tax backed 51,325 59,649 1,394 1,587 49,931 58,062 Municipal utilities 38,442 46,951 839 1,015 37,603 45,936 Transportation 19,915 24,351 512 897 19,403 23,454 Healthcare 11,940 15,967 702 961 11,238 15,006 Higher education 10,114 11,984 29 48 10,085 11,936 Infrastructure finance 3,902 5,241 133 248 3,769 4,993 Housing 1,593 2,075 34 38 1,559 2,037 Investor-owned utilities 697 916 0 0 697 916 Other public finance 2,810 3,288 14 17 2,796 3,271 Total public finance—U.S. 250,905 299,808 6,107 7,942 244,798 291,866 Non-U.S.: Infrastructure finance 11,818 14,040 1,087 1,312 10,731 12,728 Regulated utilities 11,395 12,616 2,132 2,568 9,263 10,048 Pooled infrastructure 1,621 2,013 108 134 1,513 1,879 Other public finance 5,653 5,714 779 792 4,874 4,922 Total public finance—non-U.S. 30,487 34,383 4,106 4,806 26,381 29,577 Total public finance 281,392 334,191 10,213 12,748 271,179 321,443 Structured finance: U.S.: Pooled corporate obligations 10,273 16,757 223 749 10,050 16,008 Residential Mortgage-Backed Securities (RMBS) 5,933 7,441 296 374 5,637 7,067 Insurance securitizations 2,355 3,047 47 47 2,308 3,000 Consumer receivables 1,707 2,153 55 54 1,652 2,099 Financial products 1,540 1,906 — — 1,540 1,906 Commercial receivables 234 432 4 5 230 427 Commercial mortgage-backed securities (CMBS) and other commercial real estate related exposures 43 549 — 16 43 533 Other structured finance 646 823 49 93 597 730 Total structured finance—U.S. 22,731 33,108 674 1,338 22,057 31,770 Non-U.S.: Pooled corporate obligations 1,716 4,087 181 442 1,535 3,645 RMBS 661 552 57 60 604 492 Commercial receivables 373 619 17 19 356 600 Other structured finance 601 635 14 14 587 621 Total structured finance—non-U.S. 3,351 5,893 269 535 3,082 5,358 Total structured finance 26,082 39,001 943 1,873 25,139 37,128 Total net par outstanding $ 307,474 $ 373,192 $ 11,156 $ 14,621 $ 296,318 $ 358,571 In addition to amounts shown in the tables above, the Company had outstanding commitments to provide guaranties of $123 million for structured finance and $ 394 million for public finance obligations as of December 31, 2016 . The expiration dates for the public finance commitments range between January 1, 2017 and March 12, 2017 , with $ 380 million expiring prior to the date of this filing. The commitments are contingent on the satisfaction of all conditions set forth in them and may expire unused or be canceled at the counterparty’s request. Therefore, the total commitment amount does not necessarily reflect actual future guaranteed amounts. 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, 2016 Public Finance Structured Finance Total (in millions) 0 to 5 years $ 90,563 $ 16,394 $ 106,957 5 to 10 years 56,351 3,692 60,043 10 to 15 years 45,712 2,548 48,260 15 to 20 years 37,057 1,859 38,916 20 years and above 41,496 646 42,142 Total net par outstanding $ 271,179 $ 25,139 $ 296,318 Components of BIG Portfolio Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) As of December 31, 2016 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,402 $ 3,123 $ 1,855 $ 7,380 $ 244,798 Non-U.S. public finance 1,288 54 — 1,342 26,381 Public finance 3,690 3,177 1,855 8,722 271,179 Structured finance: U.S. RMBS 197 493 2,461 3,151 5,637 Triple-X life insurance transactions — — 126 126 2,057 Trust preferred securities (TruPS) 304 126 — 430 1,892 Other structured finance 304 263 78 645 15,553 Structured finance 805 882 2,665 4,352 25,139 Total $ 4,495 $ 4,059 $ 4,520 $ 13,074 $ 296,318 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) Public finance: U.S. public finance $ 4,765 $ 2,883 $ 136 $ 7,784 $ 291,866 Non-U.S. public finance 875 503 — 1,378 29,577 Public finance 5,640 3,386 136 9,162 321,443 Structured finance: U.S. RMBS 1,020 397 2,556 3,973 7,067 Triple-X life insurance transactions — — 216 216 2,750 TruPS 679 127 — 806 4,379 Other structured finance 684 219 123 1,026 22,932 Structured finance 2,383 743 2,895 6,021 37,128 Total $ 8,023 $ 4,129 $ 3,031 $ 15,183 $ 358,571 BIG Net Par Outstanding and Number of Risks As of December 31, 2016 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 3,861 $ 634 $ 4,495 165 10 175 Category 2 3,857 202 4,059 79 6 85 Category 3 4,383 137 4,520 148 9 157 Total BIG $ 12,101 $ 973 $ 13,074 392 25 417 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 _____________________ (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, 2016 Number of Risks Net Par Outstanding Percent of Total Net Par Outstanding (dollars in millions) U.S.: U.S. Public finance: California 1,459 $ 42,404 14.3 % Texas 1,271 20,599 7.0 Pennsylvania 852 20,232 6.8 New York 935 19,637 6.6 Illinois 776 17,967 6.1 Florida 324 12,643 4.3 New Jersey 495 12,560 4.2 Michigan 506 7,985 2.7 Georgia 172 6,372 2.2 Ohio 409 5,554 1.9 Other states and U.S. territories 3,475 78,845 26.6 Total U.S. public finance 10,674 244,798 82.7 U.S. Structured finance (multiple states) 610 22,057 7.4 Total U.S. 11,284 266,855 90.1 Non-U.S.: United Kingdom 112 15,940 5.4 Australia 18 3,036 1.0 Canada 9 2,730 0.9 France 14 1,809 0.6 Italy 9 1,311 0.4 Other 53 4,637 1.6 Total non-U.S. 215 29,463 9.9 Total 11,499 $ 296,318 100.0 % Exposure to Puerto Rico The Company has insured exposure to general obligation bonds of the Commonwealth of Puerto Rico (Puerto Rico or the Commonwealth) and various obligations of its related authorities and public corporations aggregating $4.8 billion net par as of December 31, 2016 , all of which are rated BIG. Puerto Rico has experienced significant general fund budget deficits in recent years and a challenging economic environment. Beginning on January 1, 2016, a number of Puerto Rico credits have defaulted on bond payments, and the Company has now paid claims on several Puerto Rico credits as shown in the table "Puerto Rico Net Par Outstanding" below. On November 30, 2015 and December 8, 2015, Governor García Padilla of Puerto Rico (the Former 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 pledged to secure the payment of bonds issued by the Puerto Rico Highways and Transportation Authority (PRHTA), Puerto Rico Infrastructure Financing Authority (PRIFA), and Puerto Rico Convention Center District Authority (PRCCDA). 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 is unconstitutional, and demanding declaratory and injunctive relief. The Puerto Rico credits insured by the Company subject to the Clawback Orders are shown in the table “Puerto Rico Net Par Outstanding” below. On April 6, 2016, the Former Governor signed into law the Puerto Rico Emergency Moratorium & Financial Rehabilitation Act (the Moratorium Act). The Moratorium Act purportedly empowers the governor to declare, entity by entity, states of emergencies and moratoriums on debt service payments on obligations of the Commonwealth and its related authorities and public corporations, as well as instituting a stay against related litigation, among other things. The Former Governor used the authority of the Moratorium Act to take a number of actions related to issuers of obligations the Company insures. National Public Finance Guarantee Corporation (National) (another financial guarantor), holders of the Commonwealth general obligation bonds and certain Puerto Rico residents (the National Plaintiffs) have filed suits to invalidate the Moratorium Act, and after the passage of the Puerto Rico Oversight, Management, and Economic Stability Act (PROMESA), the National Plaintiffs sought a relief from the stay of litigation imposed by PROMESA to pursue the action. On July 21, 2016, the Company filed a motion and form of complaint in the U.S. District Court for the District of Puerto Rico seeking relief from the stay of litigation imposed by PROMESA to seek a declaration that the Moratorium Act is preempted by Federal bankruptcy law. In November 2016 that court denied both the Company's and the National Plaintiffs' motions for relief from stay in the respective actions. The PROMESA stay expires on May 1, 2017. On June 30, 2016, PROMESA was signed into law by the President of the United States. PROMESA establishes a seven-member federal financial oversight board (Oversight Board) with authority to require that balanced budgets and fiscal plans be adopted and implemented by Puerto Rico. PROMESA provides a legal framework under which the debt of the Commonwealth and its related authorities and public corporations may be voluntarily restructured, and grants the Oversight Board the sole authority to file restructuring petitions in a federal court to restructure the debt of the Commonwealth and its related authorities and public corporations if voluntary negotiations fail, provided that any such restructuring must be in accordance with an Oversight Board approved fiscal plan that respects the liens and priorities provided under Puerto Rico law. PROMESA also appears to preempt at least portions of the Moratorium Act and to stay debt-related litigation, including the Company’s litigation regarding the Clawback Orders. On August 31, 2016, the President of the United States appointed the seven members of the Oversight Board. The Oversight Board has begun meeting and has hired Ramón Ruiz-Comas as interim executive director. On January 2, 2017, Ricardo Antonio Rosselló Nevares (the Governor) took office, replacing the Former Governor. On January 29, 2017, the Governor signed the Puerto Rico Emergency and Fiscal Responsibility Act (Emergency Act) that, among other things, repeals portions of the Moratorium Act, defines an emergency period until May 1, 2017, continues diversion of collateral away from bonds the Company insures, and defines the powers and duties of the Fiscal Agency and Financial Advisory Authority (FAFAA). The final shape, timing and validity of responses to Puerto Rico’s distress eventually enacted or implemented under the auspices of PROMESA and the Oversight Board or otherwise, and the impact of any such responses on obligations insured by the Company, is uncertain. The Company groups its Puerto Rico exposure into three categories: • Constitutionally Guaranteed. The Company includes in this category public debt benefiting from Article VI of the Constitution of the Commonwealth, which expressly provides that interest and principal payments on the public debt are to be paid before other disbursements are made. • Public Corporations – Certain Revenues Potentially Subject to Clawback. The Company includes in this category the debt of public corporations for which applicable law permits the Commonwealth to claw back, subject to certain conditions and for the payment of public debt, at least a portion of the revenues supporting the bonds the Company insures. As a Constitutional condition to clawback, available Commonwealth revenues for any fiscal year must be insufficient to pay Commonwealth debt service before the payment of any appropriations for that year. The Company believes that this condition has not been satisfied to date, and accordingly that the Commonwealth has not to date been entitled to clawback revenues supporting debt insured by the Company. As noted above, the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that Puerto Rico's recent attempt to claw back pledged taxes is unconstitutional, and demanding declaratory and injunctive relief. • Other Public Corporations. The Company includes in this category the debt of public corporations that are supported by revenues it does not believe are subject to clawback. Constitutionally Guaranteed General Obligation. As of December 31, 2016 , the Company had $1,476 million insured net par outstanding of the general obligations of Puerto Rico, which are supported by the good faith, credit and taxing power of the Commonwealth. On July 1, 2016, despite the requirements of Article VI of its Constitution but pursuant to an executive order issued by the Former Governor under the Moratorium Act, the Commonwealth defaulted on most of the debt service payment due that day, and the Company made its first claim payments on these bonds, and has continued to make claim payments on these bonds. Puerto Rico Public Buildings Authority (PBA). As of December 31, 2016 , the Company had $169 million insured net par outstanding of PBA bonds, which are supported by a pledge of the rents due under leases of government facilities to departments, agencies, instrumentalities and municipalities of the Commonwealth, and that benefit from a Commonwealth guaranty supported by a pledge of the Commonwealth’s good faith, credit and taxing power. On July 1, 2016, despite the requirements of Article VI of its Constitution but pursuant to an executive order issued by the Former Governor under the Moratorium Act, the PBA defaulted on most of the debt service payment due that day, and the Company made its first claim payments on these bonds, and has continued to make claim payments on these bonds. Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA. As of December 31, 2016 , the Company had $918 million insured net par outstanding of PRHTA (Transportation revenue) bonds and $350 million insured net par of PRHTA (Highways revenue) bonds. The transportation revenue bonds are secured by a subordinate gross pledge of gasoline and gas oil and diesel oil taxes, motor vehicle license fees and certain tolls, plus a first lien on up to $120 million annually of taxes on crude oil, unfinished oil and derivative products. The highways revenue bonds are secured by a gross pledge of gasoline and gas oil and diesel oil taxes, motor vehicle license fees and certain tolls. The Clawback Orders cover Commonwealth-derived taxes that are allocated to PRHTA. The Company believes that such sources represented a substantial majority of PRHTA’s revenues in 2015. The PRHTA bonds are subject to executive orders issued pursuant to the Moratorium Act. As noted above, the Company filed a motion and form of complaint in the U.S. District Court for the District of Puerto Rico seeking relief from the PROMESA stay to seek a declaration that the Moratorium Act is preempted by Federal bankruptcy law and that certain gubernatorial executive orders diverting PRHTA pledged toll revenues (which are not subject to the Clawback Orders) are preempted by PROMESA and violate the U.S. Constitution, and also seeking damages and injunctive relief. That motion was denied on November 2, 2016, on procedural grounds. The PROMESA stay expires on May 1, 2017. There were sufficient funds in the PRHTA bond accounts to make the July 1, 2016 and January 1, 2017 PRHTA debt service payments guaranteed by the Company on a primary basis, and those payments were made in full. PRCCDA. As of December 31, 2016 , the Company had $152 million insured net par outstanding of PRCCDA bonds, which are secured by certain hotel tax revenues. These revenues are sensitive to the level of economic activity in the area and are subject to the Clawback Orders, and the bonds are subject to an executive order issued pursuant to the Moratorium Act. There were sufficient funds in the PRCCDA bond accounts to make the July 1, 2016 and January 1, 2017 PRCCDA bond payments guaranteed by the Company, and those payments were made in full. PRIFA. As of December 31, 2016 , the Company had $18 million insured net par outstanding of PRIFA bonds, which are secured primarily by the return to Puerto Rico of federal excise taxes paid on rum. These revenues are subject to the Clawback Orders and the bonds are subject to an executive order issued pursuant to the Moratorium Act. The Company made its first claim payment on PRIFA bonds in January 2016, and has continued to make claim payments on PRIFA bonds. Other Public Corporations Puerto Rico Electric Power Authority (PREPA). As of December 31, 2016 , the Company had $724 million insured net par outstanding of PREPA obligations, which are payable from a pledge of net revenues of the electric system. On December 24, 2015, AGM and AGC entered into a Restructuring Support Agreement (RSA) with PREPA, an ad hoc group of uninsured bondholders and a group of fuel-line lenders that 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 and in exchange for a market premium, Assured Guaranty will issue surety insurance policies in an aggregate amount not expected to exceed $113 million ( $14 million for AGC and $99 million for AGM) 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, which was closed in two tranches on May 19, 2016 and June 22, 2016. AGM's and AGC's share of the bridge financing was approximately $15 million ( $2 million for AGC and $13 million for AGM). Legislation meeting the requirements of the RSA was enacted on February 16, 2016, and a transition charge to be paid by PREPA rate payers for debt service on the securitization bonds as contemplated by the RSA was approved by the Puerto Rico Energy Commission on June 20, 2016. The closing of the restructuring transaction and the issuance of the surety bonds are subject to certain conditions, including execution of acceptable documentation and legal opinions. The RSA has been extended to March 31, 2017. On July 1, 2016, PREPA made full payment of the $41 million of principal and interest due on PREPA revenue bonds insured by AGM and AGC. That payment was funded in part by AGM’s purchase of $26 million of PREPA bonds maturing in 2020. Upon finalization of the transactions contemplated by the RSA, these new PREPA revenue bonds will be supported by securitization bonds contemplated by the RSA. On January 1, 2017, PREPA made full payment of the $18 million of interest due on PREPA revenue bonds insured by AGM and AGC. 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 insured PREPA revenue bonds, will be implemented as currently agreed. In addition, the impact of PROMESA , the Moratorium Act and Emergency Act or any attempt to exercise the power purportedly granted by the Moratorium Act or the Emergency Act on the implementation of the RSA is uncertain. PREPA, during the pendency of the agreements, has suspended deposits into its debt service fund. Puerto Rico Aqueduct and Sewer Authority (PRASA). As of December 31, 2016 , the Company had $373 million of insured net par outstanding to PRASA bonds, which are secured by the gross revenues of the water and sewer system. On September 15, 2015, PRASA entered into a settlement with the U.S.Department of Justice and the U.S. Environmental Protection Agency that requires it to spend $1.6 billion to upgrade and improve its sewer system island-wide. According to a material event notice PRASA filed on March 4, 2016, PRASA owed its contractors $140 million . The PRASA Revitalization Act, which establishes a securitization mechanism that could facilitate debt issuance, was signed into law on July 13, 2016. While certain bonds benefiting from a guarantee by the Commonwealth are subject to an executive order issued under the Moratorium Act, bonds insured by the Company are not subject to that order. There were sufficient funds in the PRASA bond accounts to make the July 1, 2016 and January 1, 2017 PRASA bond payments guaranteed by the Company, and those payments were made in full. Municipal Finance Agency (MFA). As of December 31, 2016 , the Company had $334 million net par outstanding of bonds issued by MFA secured by a pledge of local property tax revenues. There were sufficient funds in the MFA bond accounts to make the July 1, 2016 and January 1, 2017 MFA bond payments guaranteed by the Company, and those payments were made in full. Puerto Rico Sales Tax Financing Corporation (COFINA). As of December 31, 2016 , the Company had $271 million insured net par outstanding of junior COFINA bonds, which are secured primarily by a second lien on certain sales and use taxes. There were no debt service payments due on July 1, 2016, or Janua | [1] |
[1] | As of the date of this filing, the Company has paid claims on these credits. |
Expected Loss to be Paid
Expected Loss to be Paid | 12 Months Ended |
Dec. 31, 2016 | |
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, regardless of the accounting model. 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 contracts. 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 represents 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, Contracts Accounted for as 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, Contracts Accounted for as Credit Derivatives. VIE Consolidation, at Fair Value For financial guaranty (FG) 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. Management assesses the expected 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 Company updates the discount rate each quarter and reflects 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 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 life of most contracts. The determination of expected loss to be paid is an inherently subjective process involving numerous estimates, assumptions and judgments by management, using both internal and external data sources with regard to frequency, severity of loss, economic projections, governmental actions, negotiations and other factors that affect credit performance. These estimates, assumptions and judgments, and the factors on which they are based, may change materially over a reporting period, and as a result the Company’s loss estimates may change materially over that same period. Changes in the Company’s loss estimates for structured finance transactions generally will be influenced by factors impacting the performance of the assets supporting those transactions. For example, changes over a reporting period in the Company’s loss estimates for its RMBS transactions may be influenced by 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 reporting period in the Company’s loss estimates for municipal obligations supported by specified revenue streams, such as revenue bonds issued by toll road authorities, municipal utilities or airport authorities, generally will be influenced by factors impacting their revenue levels, such as changes in demand; changing demographics; and other economic factors, especially if the obligations do not benefit from financial support from other tax revenues or governmental authorities. Changes over a reporting period in the Company’s loss estimates for its tax-supported public finance transactions generally will be influenced by factors impacting the public issuer’s ability and willingness to pay, such as changes in the economy and population of the relevant area; changes in the issuer’s ability or willingness to raise taxes, decrease spending or receive federal assistance; new legislation; rating agency 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 and other expected recoveries. The Company used risk-free rates for U.S. dollar denominated obligations, that ranged from 0.0% to 3.23% with a weighted average of 2.73% as of December 31, 2016 and 0.0% to 3.25% with a weighted average of 2.36% as of December 31, 2015 . Net Expected Loss to be Paid Roll Forward Year Ended December 31, 2016 2015 (in millions) Net expected loss to be paid, beginning of period $ 1,391 $ 1,169 Net expected loss to be paid on the CIFGH portfolio as of July 1, 2016 22 — Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 — 190 Economic loss development due to: Accretion of discount 26 32 Changes in discount rates (15 ) (23 ) Changes in timing and assumptions 128 310 Total economic loss development 139 319 Paid losses (354 ) (287 ) Net expected loss to be paid, end of period $ 1,198 $ 1,391 Net Expected Loss to be Paid Roll Forward by Sector Year Ended December 31, 2016 Net Expected Loss to be Paid (Recovered) as of December 31, 2015(2) Net Expected Economic Loss Development (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 771 $ 40 $ 276 $ (216 ) $ 871 Non-U.S. public finance 38 2 (7 ) — 33 Public finance 809 42 269 (216 ) 904 Structured finance: U.S. RMBS 409 (22 ) (91 ) (90 ) 206 Triple-X life insurance transactions 99 — (22 ) (23 ) 54 Other structured finance 74 2 (17 ) (25 ) 34 Structured finance 582 (20 ) (130 ) (138 ) 294 Total $ 1,391 $ 22 $ 139 $ (354 ) $ 1,198 Net Expected Loss to be Paid Roll Forward by Sector Year Ended December 31, 2015 Net Expected Loss to be Paid (Recovered) as of December 31, 2014 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 584 4 (82 ) (97 ) 409 Triple-X life insurance transactions 161 — 11 (73 ) 99 Other structured finance 76 101 (15 ) (88 ) 74 Structured finance 821 105 (86 ) (258 ) 582 Total $ 1,169 $ 190 $ 319 $ (287 ) $ 1,391 ____________________ (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 $16 million and $25 million in LAE for the years ended December 31, 2016 and 2015 , respectively. (2) Includes expected LAE to be paid of $12 million as of December 31, 2016 and $12 million as of December 31, 2015 . Future Net R&W Recoverable (Payable)(1) Future Net Future Net Future Net (in millions) U.S. RMBS: First lien $ (53 ) $ 0 $ 232 Second lien 47 79 85 Total $ (6 ) $ 79 $ 317 ____________________ (1) The Company’s agreements with R&W providers generally provide that, as the Company makes claim payments, the R&W providers reimburse it for those claims; if the Company later receives reimbursement through the transaction (for example, from excess spread), the Company repays the R&W providers. See the section “Breaches of Representations and Warranties” for information about the R&W agreements. When the Company projects receiving more reimbursements in the future than it projects paying in claims on transactions covered by R&W settlement agreements, the Company will have a net R&W payable. The following table presents the present value of net expected loss to be paid for all contracts by accounting model, by sector and after the benefit for expected recoveries for breaches of R&W. Net Expected Loss to be Paid (Recovered) By Accounting Model As of December 31, 2016 As of December 31, 2015 Public Finance Structured Finance Total Public Finance Structured Finance Total (in millions) Financial guaranty insurance $ 904 $ 179 $ 1,083 $ 809 $ 430 $ 1,239 FG VIEs (1) and other — 105 105 — 136 136 Credit derivatives (2) 0 10 10 — 16 16 Total $ 904 $ 294 $ 1,198 $ 809 $ 582 $ 1,391 ___________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, Contracts Accounted for as Credit Derivatives. The following table presents the net economic loss development for all contracts by accounting model, by sector and after the benefit for expected recoveries for breaches of R&W. Net Economic Loss Development (Benefit) By Accounting Model Year Ended December 31, 2016 Year Ended December 31, 2015 Public Finance Structured Finance Total Public Finance Structured Finance Total (in millions) Financial guaranty insurance $ 269 $ (105 ) $ 164 $ 410 $ (25 ) $ 385 FG VIEs (1) and other — (8 ) (8 ) — 16 16 Credit derivatives (2) — (17 ) (17 ) (5 ) (77 ) (82 ) Total $ 269 $ (130 ) $ 139 $ 405 $ (86 ) $ 319 __________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, 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 $4.8 billion net par as of December 31, 2016 , 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, 2016 , the Company’s net par subject to the plan consists of $113 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 projects that its total net expected loss across its troubled U.S. public finance credits as of December 31, 2016 , including those mentioned above, which incorporated the likelihood of the various outcomes, will be $871 million , compared with a net expected loss of $771 million as of December 31, 2015 . On July 1, 2016, the CIFG Acquisition added $40 million in net economic losses to be paid for U.S. public finance credits. Economic loss development in 2016 was $276 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 exposure net of reinsurance to these Spanish and Portuguese credits is $342 million and $76 million , respectively. The Company rates most of these issuers BIG due to the financial condition of Spain and Portugal and their dependence on the sovereign. The Company's Hungary exposure is to infrastructure bonds dependent on payments from Hungarian governmental entities. The Company's exposure net of reinsurance to these Hungarian credits is $236 million , all of which is rated BIG. The Company estimated net expected losses of $29 million related to these Spanish, Portuguese and Hungarian credits. The economic benefit of approximately $7 million during 2016 was primarily related to changes in the exchange rate between the euro and U.S. Dollar. 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 CDR after the near-term liquidation of currently delinquent loans represent defaults of currently performing loans and projected re-performing loans. A CDR is the outstanding principal amount of defaulted loans liquidated in the current month divided by the remaining outstanding amount of the whole pool of loans (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. The Company calculates a credit for R&W recoveries to include in its cash flow projections. Where the Company has an agreement with an R&W provider (such as its agreements with Bank of America and UBS, which are described in more detail under "Breaches of Representations and Warranties" below), that credit is based on the agreement. Where the Company does not have an agreement with the R&W provider but the Company believes the R&W provider to be economically viable, the Company estimates what portion of its past and projected future claims it believes will be reimbursed by that provider. 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 2016 Compared to Year-End 2015 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, 2016 as it used as of December 31, 2015, except it (1) increased severities for specific vintages of Alt-A first lien, Option ARM and subprime transactions, (2) decreased liquidation rates for specific non-performing categories of subprime transactions and Option ARM and (3) increased liquidation rates for specific non-performing categories of second lien transactions. In 2016 the economic benefit was $68 million for first lien U.S. RMBS and $23 million for second lien U.S. RMBS. 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." In 2015 the economic benefit was $124 million for first lien U.S. RMBS and loss development was $42 million for second lien U.S. RMBS. U.S. First Lien RMBS Loss Projections: Alt-A First Lien, Option ARM, Subprime and Prime The majority of projected losses in first lien RMBS transactions are expected to come from non-performing mortgage loans (those that are or in the past twelve months have been two or more payments behind, have been modified, are in foreclosure, or have been foreclosed upon). Changes in the amount of non-performing loans from the amount projected in the previous period are one of the primary drivers of loss development in this portfolio. In order to determine the number of defaults resulting from these delinquent and foreclosed loans, the Company applies a liquidation rate assumption to loans in each of various non-performing categories. The Company arrived at its liquidation rates based on data purchased from a third party provider and assumptions about how delays in the foreclosure process and loan modifications may ultimately affect the rate at which loans are liquidated. Each quarter the Company reviews the most recent twelve months of this data and (if necessary) adjusts its liquidation rates based on its observations. The following table shows liquidation assumptions for various non-performing categories. First Lien Liquidation Rates December 31, 2016 December 31, 2015 December 31, 2014 Current Loans Modified in the Previous 12 Months Alt-A and Prime 25% 25% 25% Option ARM 25 25 25 Subprime 25 25 25 Current Loans Delinquent in the Previous 12 Months Alt-A and Prime 25 25 25 Option ARM 25 25 25 Subprime 25 25 25 30 – 59 Days Delinquent Alt-A and Prime 35 35 35 Option ARM 35 40 40 Subprime 40 45 35 60 – 89 Days Delinquent Alt-A and Prime 45 45 50 Option ARM 50 50 55 Subprime 50 55 40 90+ Days Delinquent Alt-A and Prime 55 55 60 Option ARM 55 60 65 Subprime 55 60 55 Bankruptcy Alt-A and Prime 45 45 45 Option ARM 50 50 50 Subprime 40 40 40 Foreclosure Alt-A and Prime 65 65 75 Option ARM 65 70 80 Subprime 65 70 70 Real Estate Owned All 100 100 100 While the Company uses liquidation rates as described above to project defaults of non-performing loans (including current loans modified or delinquent within the last 12 months), it projects defaults on presently current loans by applying a CDR trend. The start of that CDR trend is based on the defaults the Company projects will emerge from currently nonperforming, recently nonperforming and modified loans. The total amount of expected defaults from the non-performing loans is translated into a constant CDR ( i.e ., the CDR plateau), which, if applied for each of the next 36 months, would be sufficient to produce approximately the amount of defaults that were calculated to emerge from the various delinquency categories. The CDR thus calculated individually on the delinquent collateral pool for each RMBS is then used as the starting point for the CDR curve used to project defaults of the presently performing loans. In the base case, after the initial 36 -month CDR plateau period, each transaction’s CDR is projected to improve over 12 months to an intermediate CDR (calculated as 20% of its CDR plateau); that intermediate CDR is held constant for 36 months and then trails off in steps to a final CDR of 5% of the CDR plateau. In the base case, the Company assumes the final CDR will be reached 6.5 years after the initial 36 -month CDR plateau period. Under the Company’s methodology, defaults projected to occur in the first 36 months represent defaults that can be attributed to loans that were modified or delinquent in the last 12 months or that are currently delinquent or in foreclosure, while the defaults projected to occur using the projected CDR trend after the first 36 month period represent defaults attributable to borrowers that are currently performing or are projected to reperform. Another important driver of loss projections is loss severity, which is the amount of loss the transaction incurs on a loan after the application of net proceeds from the disposal of the underlying property. Loss severities experienced in first lien transactions have reached historically high levels, and the Company is assuming in the base case that these high levels generally will continue for another 18 months. The Company determines its initial loss severity based on actual recent experience. As a result, the Company updated severities for specific asset classes and vintages based on observed data, as shown in the tables below. The Company then assumes that loss severities begin returning to levels consistent with underwriting assumptions beginning after the initial 18 month period, declining to 40% in the base case over 2.5 years . The following table shows the range as well as the average, weighted by outstanding net insured par, for key assumptions used in the calculation of expected loss to be paid for individual transactions for direct vintage 2004 - 2008 first lien U.S. RMBS. Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS(1) As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Alt-A First Lien Plateau CDR 1.0 % – 13.5% 5.7% 1.7 % – 26.4% 6.4% 2.0 % – 13.4% 7.3% Final CDR 0.0 % – 0.7% 0.3% 0.1 % – 1.3% 0.3% 0.1 % – 0.7% 0.3% Initial loss severity: 2005 and prior 60.0% 60.0% 60.0% 2006 80.0% 70.0% 70.0% 2007 70.0% 65.0% 65.0% Option ARM Plateau CDR 3.2 % – 7.0% 5.6% 3.5 % – 10.3% 7.8% 4.3 % – 14.2% 10.6% Final CDR 0.2 % – 0.3% 0.3% 0.2 % – 0.5% 0.4% 0.2 % – 0.7% 0.5% Initial loss severity: 2005 and prior 60.0% 60.0% 60.0% 2006 70.0% 70.0% 70.0% 2007 75.0% 65.0% 65.0% Subprime Plateau CDR 2.8 % – 14.1% 8.1% 4.7 % – 13.2% 9.5% 4.9 % – 15.0% 10.6% Final CDR 0.1 % – 0.7% 0.4% 0.2 % – 0.7% 0.4% 0.2 % – 0.7% 0.4% Initial loss severity: 2005 and prior 80.0% 75.0% 75.0% 2006 90.0% 90.0% 90.0% 2007 90.0% 90.0% 90.0% ____________________ (1) Represents variables for most heavily weighted scenario (the “base case”). The rate at which the principal amount of loans is voluntarily prepaid may impact both the amount of losses projected (since that amount is a function of the CDR, the loss severity and the loan balance over time) as well as the amount of excess spread (the amount by which the interest paid by the borrowers on the underlying loan exceeds t |
Contracts Accounted for as Insu
Contracts Accounted for as Insurance | 12 Months Ended |
Dec. 31, 2016 | |
Insurance [Abstract] | |
Contracts Accounted for as Insurance | Contracts Accounted for as 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, as well as those that are accounted for as consolidated FG VIEs. Amounts presented in this note relate to financial guaranty insurance contracts, unless otherwise noted. See Note 8, Contracts Accounted for as Credit Derivatives for amounts that relate to CDS and Note 9, Consolidated Variable Interest Entities for amounts that relate to FG VIEs. 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. Premiums receivable 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 made 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, 2016 2015 2014 (in millions) Scheduled net earned premiums $ 381 $ 416 $ 415 Accelerations Refundings 390 294 133 Terminations 79 37 3 Total Accelerations 469 331 136 Accretion of discount on net premiums receivable 14 17 16 Financial guaranty insurance net earned premiums 864 764 567 Other 0 2 3 Net earned premiums (1) $ 864 $ 766 $ 570 ___________________ (1) Excludes $16 million , $21 million and $32 million for the year ended December 31, 2016 , 2015 and 2014 , respectively, related to consolidated FG VIEs. Components of Unearned Premium Reserve As of December 31, 2016 As of December 31, 2015 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue $ 3,548 $ 206 $ 3,342 $ 4,008 $ 238 $ 3,770 Contra-paid(2) (37 ) 0 (37 ) (12 ) (6 ) (6 ) Unearned premium reserve $ 3,511 $ 206 $ 3,305 $ 3,996 $ 232 $ 3,764 ____________________ (1) Excludes $90 million and $ 110 million of deferred premium revenue and $25 million and $30 million of contra-paid related to FG VIEs as of December 31, 2016 and December 31, 2015 , 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, 2016 2015 2014 (in millions) Beginning of period, December 31 $ 693 $ 729 $ 876 Premiums receivable from acquisitions (see Note 2) 18 2 — Gross written premiums on new business, net of commissions on assumed business 193 198 171 Gross premiums received, net of commissions on assumed business (258 ) (206 ) (230 ) Adjustments: Changes in the expected term (38 ) (19 ) (66 ) Accretion of discount, net of commissions on assumed business 9 18 10 Foreign exchange translation (41 ) (25 ) (31 ) Consolidation/deconsolidation of FG VIEs 0 (4 ) (1 ) End of period, December 31 (1) $ 576 $ 693 $ 729 ____________________ (1) Excludes $11 million , $17 million and $19 million as of December 31, 2016 , 2015 and 2014 , respectively, related to consolidated FG VIEs. Foreign exchange translation relates to installment premiums receivable denominated in currencies other than the U.S. dollar. Approximately 50% and 52% of installment premiums at December 31, 2016 and 2015 , respectively, are denominated in currencies other than the U.S. dollar, primarily the euro and pound sterling. The timing and cumulative amount of actual collections may differ from expected collections in the tables below due to factors such as foreign exchange rate fluctuations, counterparty collectability issues, accelerations, commutations and changes in expected lives. Expected Collections of Financial Guaranty Insurance Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of December 31, 2016 (in millions) 2017 (January 1 – March 31) $ 27 2017 (April 1 – June 30) 21 2017 (July 1 – September 30) 14 2017 (October 1 – December 31) 16 2018 58 2019 52 2020 50 2021 49 2022-2026 179 2027-2031 120 2032-2036 80 After 2036 65 Total(1) $ 731 ____________________ (1) Excludes expected cash collections on FG VIEs of $13 million . Scheduled Financial Guaranty Insurance Net Earned Premiums As of December 31, 2016 (in millions) 2017 (January 1 – March 31) $ 89 2017 (April 1 – June 30) 87 2017 (July 1 – September 30) 82 2017 (October 1 – December 31) 80 Subtotal 2017 338 2018 304 2019 268 2020 243 2021 223 2022-2026 856 2027-2031 545 2032-2036 315 After 2036 250 Net deferred premium revenue(1) 3,342 Future accretion 145 Total future net earned premiums $ 3,487 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $90 million . Selected Information for Financial Guaranty Insurance Policies Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 576 $ 693 Gross deferred premium revenue 1,041 1,240 Weighted-average risk-free rate used to discount premiums 3.0 % 3.1 % Weighted-average period of premiums receivable (in years) 9.1 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 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 and 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, 2016 2015 2014 (in millions) Beginning of period $ 114 $ 121 $ 124 DAC adjustments from acquisitions (see Note 2) 0 1 — Costs deferred during the period: Commissions on assumed and ceded business (2 ) (1 ) 7 Premium taxes 4 2 3 Compensation and other acquisition costs 9 11 10 Total 11 12 20 Costs amortized during the period (19 ) (20 ) (23 ) End of period $ 106 $ 114 $ 121 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, rather, credit derivatives are recorded at fair value on the 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 risk-free rates for U.S. dollar denominated financial guaranty insurance obligations that ranged from 0.0% to 3.23% with a weighted average of 2.74% as of December 31, 2016 and 0.0% to 3.25% with a weighted average of 2.37% as of December 31, 2015 . Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts As of December 31, 2016 As of December 31, 2015 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 $ 711 $ 86 $ 625 $ 604 $ 7 $ 597 Non-U.S. public finance 21 — 21 25 — 25 Public finance 732 86 646 629 7 622 Structured finance: U.S. RMBS 283 262 21 262 116 146 Triple-X life insurance transactions 36 — 36 82 — 82 Other structured finance 60 — 60 99 — 99 Structured finance 379 262 117 443 116 327 Subtotal 1,111 348 763 1,072 123 949 Other recoverable (payable) — (1 ) 1 — 3 (3 ) Subtotal 1,111 347 764 1,072 126 946 Elimination of losses attributable to FG VIEs (64 ) — (64 ) (74 ) 0 (74 ) Total (1) $ 1,047 $ 347 $ 700 $ 998 $ 126 $ 872 ______________ (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 $ 1,127 $ 1,067 Reinsurance recoverable on unpaid losses (80 ) (69 ) Loss and LAE reserve, net 1,047 998 Salvage and subrogation recoverable (365 ) (126 ) Salvage and subrogation payable(1) 17 3 Other payable (recoverable) 1 (3 ) Salvage and subrogation recoverable, net, and other recoverable (347 ) (126 ) Net reserves (salvage) $ 700 $ 872 ____________________ (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: (i) the contra-paid which represent the claim payments made and recoveries received that have not yet been recognized in the statement of operations, (ii) salvage and subrogation recoverable for transactions that are in a net recovery position where the Company has not yet received recoveries on claims previously paid (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 (iii) loss reserves that have already been established (and therefore expensed but not yet paid). Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of December 31, 2016 (in millions) Net expected loss to be paid - financial guaranty insurance (1) $ 1,083 Contra-paid, net 37 Salvage and subrogation recoverable, net of reinsurance 348 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (1,046 ) Other recoverable (payable) (1 ) Net expected loss to be expensed (present value) (2) $ 421 ____________________ (1) See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid. (2) Excludes $64 million as of December 31, 2016 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, 2016 (in millions) 2017 (January 1 – March 31) $ 8 2017 (April 1 – June 30) 10 2017 (July 1 – September 30) 8 2017 (October 1 – December 31) 9 Subtotal 2017 35 2018 34 2019 32 2020 32 2021 28 2022-2026 117 2027-2031 82 2032-2036 44 After 2036 17 Net expected loss to be expensed 421 Future accretion 373 Total expected future loss and LAE $ 794 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, 2016 2015 2014 (in millions) Public finance: U.S. public finance $ 307 $ 392 $ 192 Non-U.S. public finance (3 ) 1 (1 ) Public finance 304 393 191 Structured finance: U.S. RMBS 37 54 (129 ) Triple-X life insurance transactions (22 ) 16 85 Other structured finance (17 ) (11 ) 9 Structured finance (2 ) 59 (35 ) Loss and LAE on insurance contracts before FG VIE consolidation 302 452 156 Gain (loss) related to FG VIE consolidation (7 ) (28 ) (30 ) Loss and LAE $ 295 $ 424 $ 126 The following table provides information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2016 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) 165 (35 ) 79 (11 ) 148 (49 ) 392 — 392 Remaining weighted-average contract period (in years) 8.6 7.0 13.2 10.5 8.1 6.0 10.1 — 10.1 Outstanding exposure: Principal $ 4,187 $ (326 ) $ 4,273 $ (416 ) $ 4,703 $ (320 ) $ 12,101 $ — $ 12,101 Interest 1,932 (140 ) 2,926 (219 ) 1,867 (87 ) 6,279 — 6,279 Total(2) $ 6,119 $ (466 ) $ 7,199 $ (635 ) $ 6,570 $ (407 ) $ 18,380 $ — $ 18,380 Expected cash outflows (inflows) $ 172 $ (19 ) $ 1,404 $ (86 ) $ 1,435 $ (65 ) $ 2,841 $ (326 ) $ 2,515 Potential recoveries Undiscounted R&W 120 (3 ) (2 ) — (62 ) 1 54 — 54 Other(3) (560 ) 26 (144 ) 4 (681 ) 44 (1,311 ) 198 (1,113 ) Total potential recoveries (440 ) 23 (146 ) 4 (743 ) 45 (1,257 ) 198 (1,059 ) Subtotal (268 ) 4 1,258 (82 ) 692 (20 ) 1,584 (128 ) 1,456 Discount 61 (4 ) (355 ) 19 (114 ) (4 ) (397 ) 24 (373 ) Present value of expected cash flows $ (207 ) $ 0 $ 903 $ (63 ) $ 578 $ (24 ) $ 1,187 $ (104 ) $ 1,083 Deferred premium revenue $ 131 $ (5 ) $ 246 $ (6 ) $ 476 $ (30 ) $ 812 $ (86 ) $ 726 Reserves (salvage) $ (255 ) $ 5 $ 738 $ (58 ) $ 343 $ (10 ) $ 763 $ (64 ) $ 699 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) (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Total potential recoveries (303 ) 10 (216 ) 9 (757 ) 29 (1,228 ) 189 (1,039 ) Subtotal 83 (32 ) 942 (51 ) 707 (24 ) 1,625 (154 ) 1,471 Discount 22 5 (237 ) 11 27 (94 ) (266 ) 34 (232 ) 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 ____________________ (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. 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 $125 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 $291 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, 2016 , AGM and AGC had insured approximately $4.9 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. A downgrade of the financial strength rating of AGM could trigger a payment obligation of AGM in respect to AGMH's former GIC business. Most GICs insured by AGM allow for the termination of the GIC contract and a withdrawal of GIC funds at the option of the GIC holder in the event of a downgrade of AGM below a specified threshold, generally below A- by S&P or A3 by Moody's. FSAM is expected to have sufficient eligible and liquid assets to satisfy any expected withdrawal and collateral posting obligations resulting from future rating actions affecting AGM. |
Fair Value Measurement
Fair Value Measurement | 12 Months Ended |
Dec. 31, 2016 | |
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 2016 , 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 categorization within the fair value hierarchy is determined based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company estimates of market assumptions. The fair value hierarchy prioritizes model inputs into three broad levels as follows, with Level 1 being the highest and Level 3 the lowest. An asset or liability’s categorization is based on the lowest level of significant input to its valuation. Level 1—Quoted prices for identical instruments in active markets. The Company generally defines an active market as a market in which trading occurs at significant volumes. Active markets generally are more liquid and have a lower bid-ask spread than an inactive market. Level 2—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and observable inputs other than quoted prices, such as interest rates or yield curves and other inputs derived from or corroborated by observable market inputs. Level 3—Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Financial instruments are considered Level 3 when their values are determined using pricing models, discounted cash flow methodologies or similar techniques and at least one significant model assumption or input is unobservable. Level 3 financial instruments also include those for which the determination of fair value requires significant management judgment or estimation. Transfers between Levels 1, 2 and 3 are recognized at the end of the period when the transfer occurs. The Company reviews the classification between Levels 1, 2 and 3 quarterly to determine whether a transfer is necessary. During the periods presented, there were no transfers between Level 1 and Level 2. There were transfers of fixed-maturity securities from Level 2 into Level 3 during 2016 because of a lack of observability relating to the valuation inputs and collateral pricing. There were no transfers into or out of Level 3 during 2015. 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 their value is based on quoted market prices. Securities such as discount notes are classified within Level 2 because these securities are typically not actively traded due to their approaching maturity and, as such, their cost approximates fair value. 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, 2016 , the Company used models to price 80 fixed-maturity securities (primarily securities that were purchased or obtained for loss mitigation or other risk management purposes), which were 11.7% or $1,269 million of the Company’s fixed-maturity securities and short-term investments at fair value. Most Level 3 securities were priced with the assistance of an independent third-party. The pricing is based on a discounted cash flow approach using the third-party’s proprietary pricing models. The models use inputs such as projected prepayment speeds; severity assumptions; recovery lag assumptions; estimated default rates (determined on the basis of an analysis of collateral attributes, historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality); home price appreciation/depreciation rates based on macroeconomic forecasts and recent trading activity. The yield used to discount the projected cash flows is determined by reviewing various attributes of the bond including collateral type, weighted average life, sensitivity to losses, vintage, and convexity, in conjunction with market data on comparable securities. Significant changes to any of these inputs could materially change the expected timing of cash flows within these securities which is a significant factor in determining the fair value of the securities. Other Invested Assets As of December 31, 2016 and December 31, 2015 , other invested assets include investments carried and measured at fair value on a recurring basis of $52 million and $53 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 net asset value (NAV) per share or equivalent. 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 AGM and AGC CDS spreads, the U.S. dollar forward swap curve, London Interbank Offered Rate (LIBOR) curve projections, the Company's publicly traded debt and the term the securities are estimated to remain outstanding. Supplemental Executive Retirement Plans The Company classifies the fair value measurement of the assets of the Company's various supplemental executive retirement plans as either Level 1 or Level 2. The fair value of these assets is valued based on the observable published daily values of the underlying mutual fund included in the aforementioned plans (Level 1) or based upon the NAV of the funds if a published daily value is not available (Level 2). The NAV are based on observable information. Contracts Accounted for as Credit Derivatives The Company’s credit derivatives consist primarily of insured CDS contracts, and also include interest rate swaps and as of December 31, 2016, hedges on other financial guarantors that fall under derivative accounting standards requiring fair value accounting through the statement of operations. The following is a description of the fair value methodology applied to the Company's insured CDS that are accounted for as credit derivatives, which constitute the vast majority of the net credit derivative liability in the consolidated balance sheets. The Company did not enter into CDS with the intent to trade these contracts and the Company may not unilaterally terminate a CDS contract absent an event of default or termination event that entitles the Company to terminate such contracts; however, the Company has mutually agreed with various counterparties to terminate certain CDS transactions. Such terminations generally are done for an amount that approximates the present value of future premiums or for a negotiated amount; not at fair value. The terms of the Company’s CDS contracts differ from more standardized credit derivative contracts sold by companies outside the financial guaranty industry. The non-standard terms generally include the absence of collateral support agreements or immediate settlement provisions. In addition, the Company employs relatively high attachment points and does not exit derivatives it sells 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, 2016 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 1.00% to 2.55% at December 31, 2016 and 0.44% to 2.51% at December 31, 2015 . 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 7 % 13 % Based on market indices 77 % 73 % Provided by the CDS counterparty 16 % 14 % 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 26% and 20% , based on number of deals, of the Company's CDS contracts are fair valued using this minimum premium as of December 31, 2016 and December 31, 2015 , 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. • 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); yields implied by market prices for similar securities; house price depreciation/appreciation rates based on macroeconomic forecasts and, for those liabilities insured by the Company, the benefit from the Company’s insurance policy guaranteeing the timely payment of principal and interest, taking into account the timing of the potential default and the Company’s own credit rating. The third-party also utilizes an internal model to determine an appropriate yield at which to discount the cash flows of the security, by factoring in collateral types, weighted-average lives, and other structural attributes specific to the security being priced. The expected yield is further calibrated by utilizing algorithms designed to aggregate market color, received by the third-party, on comparable bonds. The fair value of the Company’s FG VIE assets is generally sensitive to changes related to estimated prepay |
Contracts Accounted for as Cred
Contracts Accounted for as Credit Derivatives | 12 Months Ended |
Dec. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Contracts Accounted for as Credit Derivatives | Contracts Accounted for as Credit Derivatives The Company has a portfolio of financial guaranty contracts that meet the definition of a derivative in accordance with GAAP (primarily CDS). The credit derivatives portfolio also includes interest rate swaps and hedges on other financial guarantors. 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. Absent such an event of default or termination event, the Company may not unilaterally terminate a CDS contract; however, the Company on occasion has mutually agreed with various counterparties to terminate certain CDS transactions. The estimated remaining weighted average life of credit derivatives was 5.3 years at December 31, 2016 and 5.4 years at December 31, 2015 . The components of the Company’s credit derivative net par outstanding are presented below. Credit Derivatives As of December 31, 2016 As of December 31, 2015 Asset Type Net Par Outstanding Weighted Average Credit Rating Net Par Outstanding Weighted Average Credit Rating (dollars in millions) Pooled corporate obligations: Collateralized loan obligations (CLO) /collateralized bond obligations $ 2,022 AAA $ 5,873 AAA Synthetic investment grade pooled corporate 7,224 AAA 7,108 AAA TruPS CDOs 1,179 BBB+ 3,429 A- Market value CDOs of corporate obligations — -- 1,113 AAA Total pooled corporate obligations 10,425 AAA 17,523 AAA U.S. RMBS 1,142 AA- 1,526 A+ CMBS — -- 530 AAA Other 5,430 A+ 6,015 A Total(1) $ 16,997 AA+ $ 25,594 AA+ ____________________ (1) The December 31, 2016 total amount includes $1.7 billion net par outstanding of credit derivatives from CIFG Acquisition. 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 $1.5 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 $3.9 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, 2016 As of December 31, 2015 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 10,967 64.6 % $ 14,808 57.9 % AA 2,167 12.7 4,821 18.8 A 1,499 8.8 2,144 8.4 BBB 1,391 8.2 2,212 8.6 BIG 973 5.7 1,609 6.3 Credit derivative net par outstanding $ 16,997 100.0 % $ 25,594 100.0 % Fair Value of Credit Derivatives Net Change in Fair Value of Credit Derivatives Gain (Loss) Year Ended December 31, 2016 2015 2014 (in millions) Realized gains on credit derivatives $ 56 $ 63 $ 73 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (27 ) (81 ) (50 ) Realized gains (losses) and other settlements 29 (18 ) 23 Net unrealized gains (losses): Pooled corporate obligations (16 ) 147 (18 ) U.S. RMBS 22 396 814 CMBS 0 42 2 Other 63 161 2 Net unrealized gains (losses) 69 746 800 Net change in fair value of credit derivatives $ 98 $ 728 $ 823 Terminations and Settlements of Direct Credit Derivative Contracts Year Ended December 31, 2016 2015 2014 (in millions) Net par of terminated credit derivative contracts $ 3,811 $ 2,777 $ 3,591 Realized gains on credit derivatives 20 13 1 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements — (116 ) (26 ) Net unrealized gains (losses) on credit derivatives 103 465 546 During 2016, unrealized fair value gains were generated primarily as a result of CDS terminations in the U.S. RMBS and other sectors, run-off of CDS par and price improvements on the underlying collateral of the Company’s CDS. The majority of the CDS transactions were terminated as a result of settlement agreements with several CDS counterparties. The unrealized fair value gains were partially offset by unrealized losses resulting from wider implied net spreads across all sectors. 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 significantly 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, which management refers to as the CDS spread on AGC and AGM, decreased the implied spreads that the Company would expect to receive on these transactions increased. 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. 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 158 376 323 AGM 158 366 325 One-year CDS spread: AGC 35 139 80 AGM 29 131 85 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 $ (811 ) $ (1,448 ) Plus: Effect of AGC and AGM credit spreads 422 1,083 Net fair value of credit derivatives $ (389 ) $ (365 ) The fair value of CDS contracts at December 31, 2016 , before considering the implications of AGC’s and AGM’s credit spreads, is a direct result of continued wide credit spreads in the fixed income security markets and ratings downgrades. The asset classes that remain most affected are TruPS and pooled corporate securities as well as 2005-2007 vintages of Alt-A, Option ARM and subprime RMBS deals. The mark to market benefit between December 31, 2016 , and December 31, 2015 , resulted primarily from several CDS terminations and a narrowing of credit spreads related to the Company's TruPS and U.S. RMBS obligations. 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, 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 of Credit Derivatives As of As of (in millions) Fair value of credit derivative asset (liability), net $ (389 ) $ (365 ) Expected loss to be (paid) recovered (10 ) (16 ) Ratings Sensitivities of Credit Derivative Contracts Within the Company’s insured CDS portfolio, the transaction documentation for approximately $0.7 billion in CDS gross par insured as of December 31, 2016 requires AGC to post eligible collateral to secure its obligations to make payments under such contracts. This constitutes a reduction of approximately $3.1 billion from the $3.8 billion subject to such a requirement as of December 31, 2015, primarily due to an agreement reached in May 2016 with a CDS counterparty reducing the collateral posting requirement with respect to that counterparty to zero . 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 $516 million gross par 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 $500 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 $174 million gross par 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, 2016 , the Company was posting approximately $116 million to secure its obligations under CDS, of which approximately $16 million related to the $174 million of gross par described above, as to which the obligation to collateralize is not capped. 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 $221 million of gross par as to which the obligation to collateralize was not capped. In February 2017, the Company terminated all of its remaining CDS contracts with one of its counterparties as to which it had a posting requirement (subject to a cap); the CDS contracts related to approximately $183 million gross par and $73 million of collateral posted, as December 31, 2016 ; and all the collateral is being returned to the Company. 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, 2016 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (791 ) $ (402 ) 50% widening in spreads (590 ) (201 ) 25% widening in spreads (490 ) (101 ) 10% widening in spreads (430 ) (41 ) Base Scenario (389 ) — 10% narrowing in spreads (351 ) 38 25% narrowing in spreads (295 ) 94 50% narrowing in spreads (203 ) 186 ____________________ (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, 2016 | |
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, 2016 2015 2014 Beginning of the period, December 31 34 32 40 Radian Asset Acquisition — 4 — Consolidated(1) 1 1 2 Deconsolidated(1) (2 ) (1 ) (8 ) Matured (1 ) (2 ) (2 ) End of the period, December 31 32 34 32 ____________________ (1) Net loss on consolidation and deconsolidation was de minimis in 2016 . 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 . The total unpaid principal balance for the FG VIEs’ assets that were over 90 days or more past due was approximately $137 million at December 31, 2016 and $154 million at December 31, 2015 . The aggregate unpaid principal of the FG VIEs’ assets was approximately $432 million greater than the aggregate fair value at December 31, 2016 . 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 change in the instrument-specific credit risk of the FG VIEs’ assets held as of December 31, 2016 that was recorded in the consolidated statements of operations for 2016 were gains of $55 million . 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 for 2014 were gains of $116 million . To calculate the instrument specific credit risk, the changes in the fair value of the FG VIE assets are allocated between changes that are due to the instrument specific credit risk and changes 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, at the relevant effective interest rate. The unpaid principal for FG VIE liabilities with recourse, which represent obligations insured by AGC or AGM, was $871 million and $1,436 million as of December 31, 2016 and December 31, 2015 , respectively. FG VIE liabilities with recourse will mature at various dates ranging from 2025 to 2038 . The aggregate unpaid principal balance of the FG VIE liabilities with and without recourse was approximately $109 million greater than the aggregate fair value of the FG VIEs’ liabilities as of December 31, 2016 . The aggregate unpaid principal balance was approximately $423 million greater than the aggregate fair value of the FG VIEs’ liabilities as of December 31, 2015 . 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, 2016 As of December 31, 2015 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 473 $ 509 $ 506 $ 521 U.S. RMBS second lien 178 223 194 273 Life insurance — — 347 347 Manufactured housing 74 75 84 84 Total with recourse 725 807 1,131 1,225 Without recourse 151 151 130 124 Total $ 876 $ 958 $ 1,261 $ 1,349 The consolidation of FG VIEs affects net income and shareholders' equity due to (i) changes in fair value gains (losses) on FG VIE assets and liabilities, (ii) the elimination of premiums and losses related to the AGC and AGM FG VIE liabilities with recourse and (iii) the elimination of investment balances related to the Company’s purchase of AGC and AGM insured FG VIE debt. Upon consolidation of a FG VIE, the related insurance and, if applicable, the related investment balances, are considered intercompany transactions and therefore eliminated. Such eliminations are included in the table below to present the full effect of consolidating FG VIEs. Effect of Consolidating FG VIEs on Net Income, Cash Flows From Operating Activities and Shareholders’ Equity Year Ended December 31, 2016 2015 2014 (in millions) Net earned premiums $ (16 ) $ (21 ) $ (32 ) Net investment income (10 ) (32 ) (11 ) Net realized investment gains (losses) 1 10 (5 ) Fair value gains (losses) on FG VIEs 38 38 255 Bargain purchase gain — 2 — Loss and LAE 7 28 30 Other income (loss) 0 0 (2 ) Effect on income before tax 20 25 235 Less: tax provision (benefit) 7 8 82 Effect on net income (loss) $ 13 $ 17 $ 153 Effect on cash flows from operating activities $ 24 $ 43 $ 68 As of As of (in millions) Effect on shareholders’ equity (decrease) increase $ (9 ) $ (23 ) Fair value gains (losses) on FG VIEs represent the net change in fair value on the consolidated FG VIEs’ assets and liabilities. In 2016, the Company recorded a pre-tax net fair value gain on consolidated FG VIEs of $38 million . The primary driver of the 2016 gain in fair value of FG VIE assets and liabilities was net mark-to-market gains due to price appreciation resulting from improvements in the underlying collateral of HELOC RMBS assets of the FG VIEs. 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. Other Consolidated VIEs In certain instances where the Company consolidates a VIE that was established as part of a loss mitigation negotiated 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, 2016 and December 31, 2015 , the Company had financial guaranty contracts outstanding for approximately 600 and 750 VIEs, respectively, that it did not consolidate. To date, the Company’s analyses have indicated that it does not have indicated that it is not the primary beneficiary of any other VIEs and, as a result, they are not consolidated. 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, 2016 | |
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, 2016 ), 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 in an unrealized loss position 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, the entire impairment loss (i.e., the difference between the security's fair value and its amortized cost) is 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 using the retrospective method. Loss mitigation securities are generally purchased at a discount and are accounted for based on their underlying investment type, excluding the effects of the Company’s insurance. Interest income on loss mitigation securities is recognized on a level yield basis over the remaining 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 and preferred stocks, which are carried at fair value with changes in unrealized gains and losses recorded in OCI. 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 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 $ 91 million and $ 99 million as of December 31, 2016 and December 31, 2015 , respectively. Net Investment Income Year Ended December 31, 2016 2015 2014 (in millions) Income from fixed-maturity securities managed by third parties $ 306 $ 335 $ 324 Income from internally managed securities: Fixed maturities 103 61 74 Other 7 37 14 Other 1 0 0 Gross investment income 417 433 412 Investment expenses (9 ) (10 ) (9 ) Net investment income $ 408 $ 423 $ 403 Net Realized Investment Gains (Losses) Year Ended December 31, 2016 2015 2014 (in millions) Gross realized gains on available-for-sale securities $ 28 $ 44 $ 14 Gross realized losses on available-for-sale securities (8 ) (15 ) (5 ) Net realized gains (losses) on other invested assets 2 (8 ) 6 Other-than-temporary impairment (51 ) (47 ) (75 ) Net realized investment gains (losses) $ (29 ) $ (26 ) $ (60 ) 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, 2016 2015 2014 (in millions) Balance, beginning of period $ 108 $ 124 $ 80 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 3 3 64 Eliminations of securities issued by FG VIEs — — (15 ) Reductions for securities sold and other settlement during the period (4 ) (28 ) (12 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 27 9 7 Balance, end of period $ 134 $ 108 $ 124 Investment Portfolio Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2016 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 50 % $ 5,269 $ 202 $ (39 ) $ 5,432 $ 13 AA U.S. government and agencies 4 424 17 (1 ) 440 — AA+ Corporate securities 15 1,612 32 (31 ) 1,613 (8 ) A- Mortgage-backed securities(4): — RMBS 9 998 27 (38 ) 987 (21 ) A- CMBS 5 575 13 (5 ) 583 — AAA Asset-backed securities 8 835 110 0 945 33 B Foreign government securities 3 261 4 (32 ) 233 — AA Total fixed-maturity securities 94 9,974 405 (146 ) 10,233 17 A+ Short-term investments 6 590 0 0 590 — AAA Total investment portfolio 100 % $ 10,564 $ 405 $ (146 ) $ 10,823 17 A+ 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 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+ ____________________ (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 42% of mortgage backed securities as of December 31, 2016 and 54% as of December 31, 2015 based on fair value. The Company’s investment portfolio in tax-exempt and taxable municipal securities includes issuances by a wide number of municipal authorities across the U.S. and its territories. The following tables present the fair value of the Company’s available-for-sale portfolio of obligations of state and political subdivisions as of December 31, 2016 and December 31, 2015 by state. Fair Value of Available-for-Sale Portfolio of Obligations of State and Political Subdivisions As of December 31, 2016 (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 $ 38 $ 570 $ 621 $ 604 AA California 73 62 391 526 497 A+ Texas 16 186 316 518 503 AA Washington 81 68 201 350 348 AA Florida 16 11 247 274 266 AA- Massachusetts 74 — 149 223 215 AA Illinois 18 65 127 210 205 A+ Arizona — 3 122 125 122 AA Georgia — 9 104 113 109 A+ Pennsylvania 38 17 58 113 111 A+ All others 153 155 1,085 1,393 1,364 AA- Total $ 482 $ 614 $ 3,370 $ 4,466 $ 4,344 AA- 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- ____________________ (1) Excludes $ 966 million and $ 1,078 million as of December 31, 2016 and 2015 , 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, 2016 As of December 31, 2015 Type Fair Value Amortized Cost Fair Value Amortized Cost (in millions) Fixed-maturity securities: Transportation $ 860 $ 824 $ 867 $ 815 Tax backed 617 601 610 576 Water and sewer 545 531 612 576 Higher education 513 499 518 487 Municipal utilities 365 360 414 393 Healthcare 310 298 344 321 All others 160 158 145 141 Subtotal 3,370 3,271 3,510 3,309 Short-term investments (1) — — 60 60 Total $ 3,370 $ 3,271 $ 3,570 $ 3,369 ____________________ (1) Matured in the first quarter of 2016. The following tables summarize, for all fixed-maturity securities in an unrealized loss position, the aggregate fair value and gross unrealized loss by length of time the amounts have continuously been in an unrealized loss position. Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2016 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 $ 1,110 $ (38 ) $ 6 $ (1 ) $ 1,116 $ (39 ) U.S. government and agencies 87 (1 ) — — 87 (1 ) Corporate securities 492 (11 ) 118 (20 ) 610 (31 ) Mortgage-backed securities: RMBS 391 (23 ) 94 (15 ) 485 (38 ) CMBS 165 (5 ) — — 165 (5 ) Asset-backed securities 36 0 0 0 36 0 Foreign government securities 44 (5 ) 114 (27 ) 158 (32 ) Total $ 2,325 $ (83 ) $ 332 $ (63 ) $ 2,657 $ (146 ) Number of securities(1) 622 60 676 Number of securities with other-than-temporary impairment 8 9 17 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 ___________________ (1) The number of securities does not add across because lots consisting of the same securities have been purchased at different times and appear in both categories above (i.e., less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column. Of the securities in an unrealized loss position for 12 months or more as of December 31, 2016 , 41 securities had unrealized losses greater than 10% of book value. The total unrealized loss for these securities as of December 31, 2016 was $ 59 million . As of December 31, 2015 , of the securities in an unrealized loss position for 12 months or more, nine securities had unrealized losses greater than 10% of book value with an unrealized loss of $26 million . The Company has determined that the unrealized losses recorded as of December 31, 2016 and December 31, 2015 were 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, 2016 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, 2016 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 482 $ 550 Due after one year through five years 1,725 1,727 Due after five years through 10 years 2,112 2,155 Due after 10 years 4,082 4,231 Mortgage-backed securities: RMBS 998 987 CMBS 575 583 Total $ 9,974 $ 10,233 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 $285 million and $283 million , based on fair value, as of December 31, 2016 and December 31, 2015 , respectively. The investment portfolio also contains securities that are held in trust by certain AGL subsidiaries for the benefit of other AGL subsidiaries in accordance with statutory and regulatory requirements in the amount of $1,420 million and $1,411 million , based on fair value as of December 31, 2016 and December 31, 2015 , respectively. The fair value of the Company’s pledged securities to secure its obligations under its CDS exposure totaled $ 116 million and $ 305 million as of December 31, 2016 and December 31, 2015 , respectively. No material investments of the Company were non-income producing for years ended December 31, 2016 and 2015 , respectively. Externally Managed Portfolio 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 Company's investment guidelines generally do not permit its outside managers to purchase securities rated lower than A- by S&P or A3 by Moody’s, excluding a 2.5% allocation to corporate securities not rated lower than BBB by S&P or Baa2 by Moody’s. Internally Managed Portfolio The investment portfolio tables shown above include both assets managed externally and internally. In the table below, more detailed information is provided for the component of the total investment portfolio that is internally managed (excluding short-term investments). The internally managed portfolio, as defined below, represents approximately 15% and 13% of the investment portfolio, on a fair value basis as of December 31, 2016 and December 31, 2015 , 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 (loss mitigation securities). 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). During 2016, the Company established an alternative investments group to focus on deploying a portion of the Company's excess capital to pursue acquisitions and develop new business opportunities that complement the Company's financial guaranty business, are in line with its risk profile and benefit from its core competencies. The alternative investments group has been investigating a number of such opportunities, including, among others, both controlling and non-controlling investments in investment managers. Internally Managed Portfolio Carrying Value As of December 31, 2016 2015 (in millions) Assets purchased for loss mitigation and other risk management purposes: Fixed-maturity securities, at fair value $ 1,492 $ 1,266 Other invested assets 107 114 Other 55 55 Total $ 1,654 $ 1,435 |
Insurance Company Regulatory Re
Insurance Company Regulatory Requirements | 12 Months Ended |
Dec. 31, 2016 | |
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, except for those related to CIFGNA which was merged into AGC and therefore subject to statutory merger accounting requiring the restatement of prior year balances of AGC to include CIFGNA. On the CIFG Acquisition Date, accounting policies were conformed with AGC's accounting policies which do not include any permitted practices. 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; • insured obligations of VIEs and refinancing vehicles debt, where the Company is deemed the primary beneficiary, are accounted for as insurance contracts. Under GAAP, such VIEs and refinancing vehicles are consolidated and any transactions with the Company are eliminated; • surplus notes are recognized as surplus and each payment of principal and interest is recorded only upon approval of the insurance regulator rather than liabilities with periodic accrual of interest; • push-down acquisition accounting is not applicable under statutory accounting practices, as it is under GAAP; • 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. Under GAAP, expected losses are discounted at the risk free rate at the end of each reporting period and are recorded only to the extent they exceed deferred premium revenue; • the present value of installment premiums and commissions are not recorded on the balance sheet as they are under GAAP; and • 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. As of December 31, 2016, the Bermuda Monetary Authority (Authority) now requires insurers to prepare statutory financial statements in accordance with the particular accounting principles adopted by the insurer (which, in the case of AG Re, are U.S. GAAP), subject to certain adjustments. The principal difference relates to certain assets designated as “non-admitted assets” which are charged directly to statutory surplus rather than reflected as assets as they are under U.S. GAAP. Insurance Regulatory Amounts Reported Policyholders' Surplus Net Income (Loss) As of December 31, Year Ended December 31, 2016 2015 2016 2015 2014 (in millions) U.S. statutory companies: AGM(1) $ 2,321 $ 2,441 $ 191 $ 217 $ 304 AGC(1)(2) 1,896 1,365 108 (92 ) 116 MAC 487 730 142 102 75 Bermuda statutory company: AG Re 1,255 984 139 51 28 ____________________ (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, Acquisitions, AGC completed the acquisition of CIFGH (the parent company of CIFGNA) on July 1, 2016 and Radian Asset on April 1, 2015. Both CIFGNA and 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 $287 million from the CIFGH acquisition, on a statutory basis, as of July 1, 2016 and $333 million from the Radian Asset acquisition, on a statutory basis, as of April 1, 2015. 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) did 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 2016, on the latter basis, AGM obtained the NYDFS's approval for a contingency reserve release of approximately $175 million and AGC obtained the MIA's approval for a contingency reserve release of approximately $152 million . In addition, MAC also released approximately $53 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 $175 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 and MAC may only pay dividends out of "earned surplus," which is the portion of the company's surplus that represents the net earnings, gains or profits (after deduction of all losses) that have not been distributed to shareholders as dividends, transferred to stated capital or capital surplus, or applied to other purposes permitted by law, but does not include unrealized appreciation of assets. AGM and MAC may each pay dividends without the prior approval of the New York Superintendent of Financial Services (New York Superintendent) that, together with all dividends declared or distributed by it during the preceding 12 months, do not exceed the lesser of 10% of its policyholders' surplus (as of its last annual or quarterly statement filed with the New York Superintendent) or 100% of its adjusted net investment income during that period. The maximum amount available during 2017 for AGM to distribute as dividends without regulatory approval is estimated to be approximately $232 million , of which approximately $81 million is estimated to be available for distribution in the first quarter of 2017. The maximum amount available during 2017 for MAC to distribute as dividends without regulatory approval is estimated to be approximately $49 million . Since its capitalization in 2013, MAC has not distributed any dividends. MAC currently intends to allocate the distribution of such amount quarterly in 2017. 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 2017 for AGC to distribute as ordinary dividends is approximately $107 million , of which approximately $29 million is available for distribution in the first quarter of 2017. On June 30, 2016, MAC obtained approval from the NYDFS to repay its $300 million surplus note to MAC Holdings and its $100 million surplus note (plus accrued interest) to AGM. Accordingly, on June 30, 2016, MAC transferred cash and/or marketable securities to (i) MAC Holdings in an aggregate amount equal to $300 million , and (ii) AGM in an aggregate amount of $102.5 million . MAC Holdings, upon receipt of such $300 million from MAC, distributed cash and/or marketable securities in an aggregate amount of $300 million to its shareholders, AGM and AGC, in proportion to their respective 61% and 39% ownership interests such that AGM received $182 million and AGC received $118 million . 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 $314 million , without AG Re certifying to the Authority that it will continue to meet required margins. As of December 31, 2016, the Authority now requires insurers to prepare statutory financial statements in accordance with the particular accounting principles adopted by the insurer (which, in the case of AG Re, are U.S. GAAP), subject to certain adjustments. As a result of this new requirement, certain assets previously non-admitted by AG Re are now admitted, resulting in an increase to AG Re’s statutory capital and surplus limitation. Based on the foregoing limitations, in 2017 AG Re has the capacity to (i) make capital distributions in an aggregate amount up to $128 million without the prior approval of the Authority and (ii) declare and pay dividends in an aggregate amount up to the limit of its outstanding statutory surplus, which was approximately $314 million as of December 31, 2016 . 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, 2016 , AG Re had unencumbered assets of approximately $596 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. Dividends and Surplus Notes By Insurance Company Subsidiaries Year Ended December 31, 2016 2015 2014 (in millions) Dividends paid by AGC to AGUS $ 79 $ 90 $ 69 Dividends paid by AGM to AGMH 247 215 160 Dividends paid by AG Re to AGL 100 150 82 Repayment of surplus note by AGM to AGMH — 25 50 Repayment of surplus note by MAC to AGM 100 — — Repayment of surplus note by MAC to MAC Holdings (1) 300 — — ____________________ (1) MAC Holdings returned $300 million to AGM and AGC, in proportion to their ownership percentages, in the second quarter of 2016. Stock Redemption Plan On November 25, 2016, the New York Superintendent approved AGM's request to repurchase 125 of its shares of common stock from its direct parent, AGMH, for approximately $300 million . AGM implemented the stock redemption plan in December 2016. Each share repurchased by AGM was retired and ceased to be an authorized share. Pursuant to AGM's Amended and Restated Charter, the par value of AGM's remaining shares of common stock issued and outstanding increased automatically in order to maintain AGM's total paid-in capital at $15 million and its authorized capital at $20 million . |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2016 | |
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 remains at 20% for 2016. AGL has also registered in the U.K. to report its Value Added Tax (VAT) liability. The current rate of VAT is 20% . Assured Guaranty expects that the dividends AGL receives from its direct subsidiaries will be exempt from U.K. corporation tax due to the exemption in section 931D of the U.K. Corporation Tax Act 2009. In addition, any dividends paid by AGL to its shareholders should not be subject to any withholding tax in the U.K. Assured Guaranty does not expect any profits of non-U.K. resident members of the group to be taxed under the U.K. "controlled foreign companies" regime and has obtained a clearance from 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 and subsidiaries. On April 1, 2015 AGC purchased Radian Asset and Van American. Subsequent to the purchase, Radian Asset merged into AGC and dissolved. Van American joined AGUS consolidated tax group. On July 1, 2016 AGC purchased CIFGNA, which subsequently merged into AGC and dissolved. Assured Guaranty Overseas U.S. 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. marginal corporate tax rate of 20% 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% and is expected to remain unchanged until April 1, 2017. For 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. 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, 2016 2015 2014 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 316 $ 443 $ 490 Tax-exempt interest (49 ) (54 ) (53 ) Gain on bargain purchase (125 ) (19 ) — Change in liability for uncertain tax positions 11 12 9 Effect of provision to tax return filing adjustments (15 ) (11 ) (6 ) Other (2 ) 4 3 Total provision (benefit) for income taxes $ 136 $ 375 $ 443 Effective tax rate 13.4 % 26.2 % 28.9 % 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, 2016 2015 2014 (in millions) United States $ 921 $ 1,284 $ 1,420 Bermuda 126 177 142 U.K. (30 ) (30 ) (31 ) Total $ 1,017 $ 1,431 $ 1,531 Revenue by Tax Jurisdiction Year Ended December 31, 2016 2015 2014 (in millions) United States $ 1,442 $ 1,853 $ 1,633 Bermuda 239 361 365 U.K. (4 ) (7 ) (4 ) Total $ 1,677 $ 2,207 $ 1,994 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, 2016 2015 (in millions) Deferred tax assets: Unrealized losses on credit derivative financial instruments, net $ 66 $ 33 Unearned premium reserves, net 229 254 Loss and LAE reserve 216 64 Tax and loss bonds 50 39 Alternative minimum tax credit 17 55 Foreign tax credit 20 11 DAC 29 27 Investment basis difference 76 86 Deferred compensation 40 41 Net operating loss 64 — Other 43 17 Total deferred income tax assets 850 627 Deferred tax liabilities: Contingency reserves 82 64 Public debt 91 94 Unrealized appreciation on investments 84 108 Unrealized gains on CCS 22 22 Market discount 22 21 Other 33 31 Total deferred income tax liabilities 334 340 Less: Valuation allowance 19 11 Net deferred income tax asset $ 497 $ 276 As of December 31, 2016 , the Company had alternative minimum tax credits of $17 million which do not expire. During 2016 the Company generated $1 million of foreign tax credit which will expire in 2026. Management believes sufficient future taxable income exists to realize the full benefit of these tax credits. As part of the CIFG Acquisition, the Company acquired $189 million of net operating losses (NOL) which will begin to expire in 2033. The NOL has been limited under Internal Revenue Code Section 382 due to a change in control as a result of the acquisition. As of December 31, 2016 , the Company had $184 million of NOL’s available to offset its future U.S. taxable income. Valuation Allowance As part of the Radian Asset Acquisition, the Company acquired $19 million of foreign tax credits (FTC) which will expire in 2020. Of that balance, $11 million was guaranteed at the time of the purchase with an additional $8 million allocated after filing 2015 tax return. 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. In December of 2016 the IRS issued a Revenue Agent Report (RAR) which did not identify any material adjustments that were not already accounted for in the prior periods. It is expected that the audit will close in 2017 and, depending on the final outcome, reserves for uncertain tax positions may be released. Assured Guaranty Oversees U.S. Holdings Inc. has open tax years of 2013 forward. The Company's U.K. subsidiaries are not currently under examination and have open tax years of 2014 forward. CIFGNA, which was acquired by AGC during 2016, is not currently under examination and has open tax years of 2013 forward. Uncertain Tax Positions The following table provides a reconciliation of the beginning and ending balances of the total liability for unrecognized tax positions. 2016 2015 2014 (in millions) Balance as of January 1, $ 40 $ 28 $ 20 Effect of provision to tax return filing adjustments 6 10 6 Increase in unrecognized tax positions as a result of position taken during the current period 4 2 2 Balance as of December 31, $ 50 $ 40 $ 28 The Company's policy is to recognize interest related to uncertain tax positions in income tax expense and has accrued $2 million for 2016 and $1 million per year for the year ended 2015 and 2014 respectively. As of December 31, 2016 and December 31, 2015 , the Company has accrued $7 million and $5 million of interest, respectively. The total amount of unrecognized tax positions as of December 31, 2016 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, 2016 | |
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 third party insurers and reinsurers, including other monoline financial guaranty companies. Under these relationships, the Company assumes a portion of the ceding company’s insured risk in exchange for a portion of the ceding Company's premium for the insured risk (typically, net of a ceding commission). The Company’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 required payment. As of December 31, 2016 , 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 $45 million and $18 million , respectively. The Company has Ceded Business to non-affiliated companies to limit its exposure to risk. Under these relationships, the Company ceded a portion of its insured risk to the reinsurer in exchange for the reinsurer receiving a share of the Company's premiums for the insured risk (typically, net of a ceding commission). The Company remains primarily liable for all risks it directly underwrites and is required to pay all gross claims. It then seeks reimbursement from the reinsurer for its proportionate share of claims. The Company may be exposed to risk for this exposure if it were required to pay the gross claims and not be able to collect ceded claims from an assuming company experiencing financial distress. A number of the financial guaranty insurers to which the Company has ceded par have experienced financial distress and been downgraded by the rating agencies as a result. In addition, state insurance regulators have intervened with respect to some of these insurers. The Company’s ceded contracts generally allow the Company to recapture Ceded 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, 2016 2015 2014 (in millions) Increase (decrease) in net unearned premium reserve $ — $ 23 $ 20 Increase (decrease) in net par outstanding 28 855 1,167 Commutation gains (losses) 8 28 23 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, 2016 2015 2014 (in millions) Premiums Written: Direct $ 165 $ 164 $ 116 Assumed(1) (11 ) 17 (12 ) Ceded(2) (17 ) 10 15 Net $ 137 $ 191 $ 119 Premiums Earned: Direct $ 887 $ 792 $ 581 Assumed 27 40 47 Ceded (50 ) (66 ) (58 ) Net $ 864 $ 766 $ 570 Loss and LAE: Direct $ 327 $ 399 $ 132 Assumed 0 45 37 Ceded (32 ) (20 ) (43 ) Net $ 295 $ 424 $ 126 ____________________ (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. In addition to the items presented in the table above, the Company records in net change in fair value of credit derivatives on the consolidated statements of operations, the effect of assumed and ceded credit derivative exposures. These amounts were losses of $27 million in 2016 and $3 million in 2015 and gains of $2 million in 2014. 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 third party insurers and reinsurers. 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, 2016 , based on fair value, the Company had fixed-maturity securities in its investment portfolio consisting of $110 million insured by National, $83 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. As of December 31, 2016 these bonds had a fair value of $332 million insured by MBIA and $126 million insured by FGIC UK Limited. On January 10, 2017, the Company delivered the bonds insured by MBIA in connection with its acquisition of AGLN. See Note 2, Acquisitions, for more information on the acquisition of AGLN. 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. Monoline and Reinsurer Exposure by Company Par Outstanding As of December 31, 2016 Reinsurer Ceded Par Second-to- Assumed Par (in millions) Reinsurers rated investment grade: Tokio Marine & Nichido Fire Insurance Co., Ltd. (3) (4) $ 3,436 $ — $ — Mitsui Sumitomo Insurance Co. Ltd. (3) (4) 1,273 — — National — 4,420 4,364 Subtotal 4,709 4,420 4,364 Reinsurers rated BIG, had rating withdrawn or not rated: American Overseas Reinsurance Company Limited (3) 3,573 — 30 Syncora (3) 2,062 1,098 655 ACA Financial Guaranty Corp. 637 20 — Ambac 115 2,862 6,695 MBIA — 1,024 165 MBIA UK (5) — 319 211 FGIC (6) — 1,194 410 Ambac Assurance Corp. Segregated Account — 73 614 Other (3) 60 529 120 Subtotal 6,447 7,119 8,900 Total $ 11,156 $ 11,539 $ 13,264 ____________________ (1) Of the total ceded par to reinsurers rated BIG, had rating withdrawn or not rated, $384 million is rated BIG. (2) The par on second-to-pay exposure where the primary insurer and underlying transaction rating are both BIG is $788 million . (3) The total collateral posted by all non-affiliated reinsurers required or had agreed to post collateral as of December 31, 2016 was approximately $387 million . (4) The Company benefits from trust arrangements that satisfy the triple-A credit requirement of S&P and/or Moody’s. (5) See Note 2, Acquisitions, for more information on MBIA UK. (6) FGIC includes subsidiaries Financial Guaranty Insurance Company and FGIC UK Limited. Amounts Due (To) From Reinsurers As of December 31, 2016 Assumed Premium, net of Commissions Ceded Premium, net of Commissions Assumed Ceded (in millions) Reinsurers rated investment grade $ 5 $ (11 ) $ (1 ) $ 62 Reinsurers rated BIG, had rating withdrawn or not rated: Ambac 33 — (1 ) — Syncora 13 (18 ) — (3 ) Ambac Assurance Corp. Segregated Account 6 — (47 ) — FGIC 4 — (13 ) — MBIA 0 — (8 ) — MBIA UK 4 — 0 — American Overseas Reinsurance Company Limited — (5 ) — 28 Other — (12 ) — — Subtotal 60 (35 ) (69 ) 25 Total $ 65 $ (46 ) $ (70 ) $ 87 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 had approximately $9 million of cash in trust accounts for the benefit of the reinsurers to be used to pay the premium for January 1, 2017 through December 31, 2017. |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2016 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Wellington Management Company, LLP (Wellington) and BlackRock Financial Management, Inc. (BlackRock), each own more than 5% of the Company's common shares, and each are investment managers for a portion of the Company's investment portfolio. The net expenses from transactions with Wellington and BlackRock were approximately $ 4.2 million in 2016 . The net expenses from transactions with Wellington were $ 1.9 million in 2015 and $1.9 million in 2014. As of December 31, 2016 and 2015 there were no other significant amounts payable to or amounts receivable from related parties, other than compensation in the ordinary course of business. On January 6, 2017, as part of the Company's share repurchase program, the Company repurchased 297,131 common shares from its Chief Executive Officer and 23,062 common shares from its General Counsel. The Company repurchased the shares at the closing price of an AGL common share on the New York Stock Exchange on January 6, 2017. Separately, on that same date, these officers received 297,131 and 23,062 other common shares, respectively, in settlement of share units held by them in the employer stock fund of the Assured Guaranty Ltd. Supplemental Employee Retirement Plan (the AGL SERP). The units needed to be settled in January 2017 pursuant to the terms of an amendment adopted in 2011 to the AGL SERP, which amendment was adopted to comply with requirements of Section 409A of the Internal Revenue Code (the Code) and Section 457A of the Code. |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2016 | |
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 $ 13.4 million in 2016 , $ 10.5 million in 2015 and $ 10.1 million in 2014 . 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 moved 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 terminated its lease on its existing office space at 31 West 52 nd Street, which had been scheduled to run until 2026 . On September 23, 2016, AGM entered into an amendment to that lease to include the remaining portion of the partial floor for the remainder of the lease term. The fixed annual rent, which commences after an initial rent holiday, begins at $1.1 million per annum, rising in two steps to $1.3 million for the last five years of the initial term. Future Minimum Rental Payments Year (in millions) 2017 $ 6 2018 8 2019 9 2020 9 2021 8 Thereafter 88 Total $ 128 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, including those described in the "Recovery Litigation," section of Note 5, Expected Loss to be Paid. For example, as described there, 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, and in July 2016, the Company filed a motion and form of complaint in the U.S. District Court for the District of Puerto Rico seeking relief from the PROMESA stay in order to file a complaint to protect its interest in certain pledged PRHTA toll revenues. As another example, 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 these and other proceedings to recover losses are uncertain, and recoveries, or failure to obtain recoveries, in any one or more of these proceedings during any quarter or year could be material to the Company's results of operations in that particular quarter or year. 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 CDS. AGC acts as the credit support provider of AGFP under these CDS. LBIE’s complaint, which was filed in the Supreme Court of the State of New York, alleged that AGFP improperly terminated nine credit derivative transactions between LBIE and AGFP and improperly calculated the termination payment in connection with the termination of 28 other credit derivative transactions between LBIE and AGFP. Following defaults by LBIE, AGFP properly terminated the transactions in question in compliance with the agreement between AGFP and LBIE, and calculated the termination payment properly. AGFP calculated that LBIE owes AGFP approximately $29 million in connection with the termination of the credit derivative transactions, whereas LBIE asserted in the complaint that AGFP owes LBIE a termination payment of approximately $1.4 billion . On February 3, 2012, AGFP filed a motion to dismiss certain of the counts in the complaint, and on March 15, 2013, the court granted AGFP's motion to dismiss the count relating to improper termination of the nine credit derivative transactions and denied AGFP's motion to dismiss the counts relating to the remaining transactions. On February 22, 2016, AGFP filed a motion for summary judgment on the remaining causes of action asserted by LBIE and on AGFP's counterclaims. Oral argument on AGFP's motion took place on July 21, 2016. LBIE's administrators disclosed in an April 10, 2015 report to LBIE’s unsecured creditors that LBIE's valuation expert has calculated LBIE's claim for damages in aggregate for the 28 transactions to range between a minimum of approximately $200 million and a maximum of approximately $500 million , depending on what adjustment, if any, is made for AGFP's credit risk and excluding any applicable interest. On September 25, 2013, Wells Fargo Bank, N.A., as trust administrator of the MASTR Adjustable Rate Mortgages Trust 2007-3 (Wells Fargo), filed an interpleader complaint in the U.S. District Court for the Southern District of New York seeking adjudication of a dispute between Wales LLC (Wales) and AGM as to whether AGM is entitled to reimbursement from certain cashflows for principal claims paid in respect of insured certificates. On September 30, 2016, the court issued an opinion denying a motion for judgment on the pleadings filed by Wales. On January 3, 2017, the Court approved a Stipulation and Order of Dismissal of Wales from the action due to Wales having sold its interests in the MASTR Adjustable Rate Mortgages Trust 2007-3 certificates. On February 9, 2017, the remaining parties submitted a Stipulation and (Proposed) Order of Voluntary Dismissal, which the Court has not yet so-ordered. 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 December 22, 2014, Deutsche Bank National Trust Company, as indenture trustee for the AAA Trust 2007-2 Re-REMIC (the Trustee), filed a “trust instructional proceeding” petition in the State of California Superior Court (Probate Division, Orange County), seeking the court’s instruction as to how it should allocate the losses resulting from its December 2014 sale of four RMBS owned by the AAA Trust 2007-2 Re-REMIC. This sale of approximately $70 million principal balance of RMBS was made pursuant to AGC’s liquidation direction in November 2014, and resulted in approximately $27 million of gross proceeds to the Re-REMIC. On December 22, 2014, AGC directed the indenture trustee to allocate to the uninsured Class A-3 Notes the losses realized from the sale. On May 4, 2015, the Superior Court rejected AGC’s allocation direction, and ordered the Trustee to allocate to the Class A-3 noteholders a pro rata share of the $27 million of gross proceeds. AGC is appealing the Superior Court’s decision to the California Court of Appeal. 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 were against entities that the Company did acquire. While Dexia SA and Dexia Crédit Local S.A. (together, Dexia) have paid all expenses and settlement amounts due to date as a result 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 as a result of any potential newly asserted claims related to these matters. Governmental Investigations into Former Financial Products Business AGMH and/or AGM 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. 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. AGMH responded to such requests when they were received several years ago. While it is possible AGMH may receive additional inquiries from these or other regulators, the Company is not currently aware that any governmental authority, including such Attorneys General or the Department of Justice, are actively pursuing or contemplating legal proceedings with respect to AGMH's former Financial Products Business. Lawsuits Relating to Former Financial Products Business From 2008 through 2010, complaints were brought on behalf of a purported class of state, local and municipal government entities 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 actions were consolidated before one judge in the Southern District of New York as Municipal Derivatives Antitrust Litigation (MDL 1950). Following motions to dismiss, amended class action complaints were filed on behalf of a putative class of plaintiffs. The most recently amended, operative class action complaint does not list AGMH or its affiliates as defendants or co-conspirators. On July 8, 2016, the MDL 1950 Court entered an order approving settlement of the remaining class claims, resolving the putative class case. In addition, the Attorney General of the State of West Virginia filed a lawsuit that, as amended, named AGM and Assured Guaranty U.S. Holdings as defendants and alleged a conspiracy to decrease the returns that West Virginia public entities earned on municipal derivative instruments. Also, approximately 19 California and New York government entities brought individual lawsuits that were not a part of the class action and that did not dismiss AGMH or its affiliates. All these cases were transferred to the Southern District of New York and consolidated with MDL 1950 for pretrial purposes. In June and July 2016, Dexia executed settlement agreements covering the action brought by the Attorney General of the State of West Virginia and the actions brought by the individual California and New York plaintiffs, and on July 1, 2016 and July 27, 2016, respectively, the MDL 1950 court dismissed with prejudice the claims against Assured Guaranty U.S. Holdings and AGM in all such actions. Those settlements release all claims as to Assured Guaranty U.S. Holdings, AGMH and AGM, as well as their parents, subsidiaries and affiliates. |
Long-Term Debt and Credit Facil
Long-Term Debt and Credit Facilities | 12 Months Ended |
Dec. 31, 2016 | |
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. Long Term Debt The Company has outstanding long-term debt comprising primarily debt issued by AGUS and AGMH. AGUS has issued 7 % Senior Notes, 5 % Senior Notes and Series A, Enhanced Junior Subordinated Debentures. AGMH has issued 6 7/8 % Quarterly Income Bonds Securities (QUIBS), 6.25 % Notes and 5.6 % Notes, as well as $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 % Senior Notes. On May 18, 2004, AGUS issued $200 million of 7 % Senior Notes due 2034 ( 7 % Senior Notes) for net proceeds of $197 million . Although the coupon on the Senior Notes is 7 %, the effective rate is approximately 6.4% , taking into account the effect of a cash flow hedge executed by the Company in March 2004. 5 % Senior Notes. On June 20, 2014, AGUS issued $500 million of 5 % Senior Notes due 2024 ( 5 % Senior Notes) for net proceeds of $495 million . The 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 6.4% 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. 5.6 % Notes. On July 31, 2003, AGMH issued $100 million face amount of 5.6 % 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 6.4% . If any amount of the debentures remains outstanding after December 15, 2036, then the principal amount of the outstanding debentures will bear interest at a floating interest rate equal to one -month LIBOR plus 2.215% until repaid. AGMH may elect at one or more times to defer payment of interest on the debentures for one or more consecutive interest periods that do not exceed ten years. In connection with the completion of this offering, AGMH entered into a replacement capital covenant for the benefit of persons that buy, hold or sell a specified series of AGMH long-term indebtedness ranking senior to the debentures. Under the covenant, the debentures will not be repaid, redeemed, repurchased or defeased by AGMH or any of its subsidiaries on or before the date that is 20 years prior to the final repayment date, except to the extent that AGMH has received proceeds from the sale of replacement capital securities. The proceeds from this offering were used to pay a dividend to the shareholders of AGMH. 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, 2016 As of December 31, 2015 Principal Carrying Value Principal Carrying Value (in millions) AGUS: 7% Senior Notes $ 200 $ 197 $ 200 $ 197 5% Senior Notes 500 496 500 495 Series A Enhanced Junior Subordinated Debentures 150 150 150 150 Total AGUS 850 843 850 842 AGMH: 6 7 / 8 % QUIBS 100 69 100 69 6.25% Notes 230 141 230 140 5.6% Notes 100 56 100 56 Junior Subordinated Debentures 300 187 300 180 Total AGMH 730 453 730 445 AGM: Notes Payable 9 10 12 13 Total AGM 9 10 12 13 Total $ 1,589 $ 1,306 $ 1,592 $ 1,300 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) 2017 $ — $ — $ 4 $ 4 2018 — — 2 2 2019 — — 1 1 2020 — — 1 1 2021 — — 0 0 2022-2041 700 — 1 701 2042-2061 — — — — 2062-2081 150 300 — 450 Thereafter — 430 — 430 Total $ 850 $ 730 $ 9 $ 1,589 Interest Expense Year Ended December 31, 2016 2015 2014 (in millions) AGUS: 7% Senior Notes $ 13 $ 13 $ 13 5% Senior Notes 26 26 13 Series A Enhanced Junior Subordinated Debentures 9 10 10 Total AGUS 48 49 36 AGMH: 6 7 / 8 % QUIBS 7 7 7 6.25% Notes 16 16 16 5.6% Notes 6 6 6 Junior Subordinated Debentures 25 25 25 Total AGMH 54 54 54 AGM: Notes Payable 0 (2 ) 2 Total AGM 0 (2 ) 2 Total $ 102 $ 101 $ 92 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. 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 the 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. Following such events, 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 $953 million as of December 31, 2016 . 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. At December 31, 2016 , approximately $1.5 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. There have never been any borrowings under the Strip Coverage Facility, the amount of the leveraged leases covered by the Strip Coverage Facility has declined since July 1, 2009 and, to date, none of the leveraged lease transactions in which AGM acts as the strip coverage provider has experienced an early termination due to a lease default. Consequently, and in view of the credit quality of the relevant tax-exempt entities and the cost of the Strip Coverage Facility, the Company determined that maintaining the Strip Coverage Facility was no longer warranted. On July 29, 2016, the parties terminated the Strip Coverage 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. During 2016, AGUS repaid $20 million in outstanding principal as well as accrued and unpaid interest, and the parties agreed to extend the maturity date of the loan from May 2017 to November 2019. As of December 31, 2016 , $70 million remained outstanding. 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, 2016 the put option had not been exercised. 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, 2016 | |
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, 2016 2015 2014 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 881 $ 1,056 1,088 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 880 $ 1,055 1,088 Basic shares 133.0 148.1 172.6 Basic EPS $ 6.61 $ 7.12 $ 6.30 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 880 $ 1,055 $ 1,088 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 $ 880 $ 1,055 $ 1,088 Basic shares 133.0 148.1 172.6 Dilutive securities 1.1 0.9 1.0 Diluted shares 134.1 149.0 173.6 Diluted EPS $ 6.56 $ 7.08 $ 6.26 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.3 0.5 1.6 |
Shareholders' Equity
Shareholders' Equity | 12 Months Ended |
Dec. 31, 2016 | |
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 (the Board). In general, and except as provided below, shareholders have one vote for each common share held by them and are entitled to vote with respect to their fully paid shares at all meetings of shareholders. However, if, and so long as, the common shares (and other of AGL's shares) of a shareholder are treated as "controlled shares" (as determined pursuant to section 958 of the Code) of any U.S. Person and such controlled shares constitute 9.5% or more of the votes conferred by AGL's issued and outstanding shares, the voting rights with respect to the controlled shares owned by such U.S. Person shall be limited, in the aggregate, to a voting power of less than 9.5% of the voting power of all issued and outstanding shares, under a formula specified in AGL's Bye-laws. The formula is applied repeatedly until there is no U.S. Person whose controlled shares constitute 9.5% or more of the voting power of all issued and outstanding shares and who generally would be required to recognize income with respect to AGL under the Code if AGL were a 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 has the power to issue any of AGL's unissued shares as it determines, including the issuance of any shares or class of shares with preferred, deferred or other special rights. Under AGL's Bye-Laws and subject to Bermuda law, if AGL's Board determines that any ownership of AGL's shares may result in adverse tax, legal or regulatory consequences to the Company, any of the Company's subsidiaries or any of its shareholders or indirect holders of shares or its Affiliates (other than such as AGL's Board considers de minimis), the Company has the option, but not the obligation, to require such shareholder to sell to AGL or to a third party to whom AGL assigns the repurchase right the minimum number of common shares necessary to avoid or cure any such adverse consequences at a price determined in the discretion of the Board to represent the shares' fair market value (as defined in AGL's Bye-Laws). In addition, AGL's Board may determine that shares held carry different voting rights when it deems it appropriate to do so to (i) avoid the existence of any 9.5% U.S. Shareholder; and (ii) avoid adverse tax, legal or regulatory consequences to AGL or any of its subsidiaries or any direct or indirect holder of shares or its affiliates. "Controlled shares" includes, among other things, all shares of AGL that such U.S. Person is deemed to own directly, indirectly or constructively (within the meaning of section 958 of the Code). Further, these provisions do not apply in the event one shareholder owns greater than 75% of the voting power of all issued and outstanding shares. Under these provisions, certain shareholders may have their voting rights limited to less than one vote per share, while other shareholders may have voting rights in excess of one vote per share. Moreover, these provisions could have the effect of reducing the votes of certain shareholders who would not otherwise be subject to the 9.5% limitation by virtue of their direct share ownership. AGL's Bye-laws provide that it will use its best efforts to notify shareholders of their voting interests prior to any vote to be taken by them. Share Repurchases On February 22, 2017, the Board authorized an additional $300 million of share repurchases, bringing the total remaining authorization to $407 million as of February 23, 2017. The Company expects to repurchase shares from time to time in the open market or in privately negotiated transactions. The timing, form and amount of the share repurchases under the program are at the discretion of management and will depend on a variety of factors, including funds available at the parent company, market conditions, the Company's capital position, legal requirements and other factors. The repurchase program may be modified, extended or terminated by the Board at any time. It does not have an expiration date. Share Repurchases Year Number of Shares Repurchased Total Payments (in millions) Average Price Paid Per Share 2014 24,413,781 $ 590 $ 24.17 2015 20,995,419 $ 555 $ 26.43 2016 10,721,248 $ 306 $ 28.53 2017 (through February 23, 2017 on a settlement date basis) 3,591,369 $ 142 $ 39.65 Deferred Compensation Each of the Chief Executive Officer and the General Counsel of the Company has elected to invest a portion of his 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, 2016 and 2015 , 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. As indicated in Note 14, Related Party Transactions, on January 6, 2017, the 320,193 shares were distributed in settlement of the AGL SERP units and therefore, there are no shares remaining in trust. 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, 2016 and 2015 , 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, and depends upon the Company's results of operations, cash flows from operating activities, its financial position, capital requirements, general business conditions, legal, tax, regulatory, rating agency and contractual restrictions on the payment of dividends, and any other factors the Company's Board deems relevant. For more information concerning regulatory constraints that affect the Company's ability to pay dividends, see Note 11, Insurance Company Regulatory Requirements. On February 22, 2017, the Company declared a quarterly dividend of $ 0.1425 per common share, an increase of nearly 10% from a quarterly dividend of $ 0.13 per common share paid in 2016. |
Employee Benefit Plans
Employee Benefit Plans | 12 Months Ended |
Dec. 31, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [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, except as otherwise determined by the Board. The Board may amend or terminate the Incentive Plan. As of December 31, 2016 , 10,232,649 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, 2015 2,360,340 $ 21.73 2,275,096 Options granted — — Options exercised (768,212 ) 24.64 Options forfeited/expired (421,535 ) 25.50 Balance as of December 31, 2016 1,170,593 $ 18.43 1,145,356 As of December 31, 2016 , the aggregate intrinsic value and weighted average remaining contractual term of stock options outstanding were $23 million and 2.3 years , respectively. As of December 31, 2016 , the aggregate intrinsic value and weighted average remaining contractual term of exercisable stock options were $22 million and 2.3 years , respectively. As of December 31, 2016 the total unrecognized compensation expense related to outstanding nonvested stock options was $27 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 . Lattice Option Pricing Weighted Average Assumptions (1) 2014 Dividend yield 2.03 % Expected volatility 53.24 % Risk free interest rate 2.21 % Expected life 6.6 years Forfeiture rate 3.5 % Weighted average grant date fair value $ 10.35 ____________________ (1) No options were granted in 2016 and 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, 2016 , 2015 and 2014 was $4.6 million , $2.8 million and $3.0 million , respectively. During the years ended December 31, 2016 , 2015 and 2014 , $12.0 million , $4.9 million and $4.3 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, 2015 239,537 $ 17.92 166,897 Options granted — — Options exercised (5,533 ) 19.08 Options forfeited/expired (12,595 ) 19.24 Balance as of December 31, 2016 221,409 $ 17.89 221,409 As of December 31, 2016 , the aggregate intrinsic value and weighted average remaining contractual term of performance stock options outstanding were $4.4 million and 2.4 years , respectively. As of December 31, 2016 , the aggregate intrinsic value and weighted average remaining contractual term of exercisable performance stock options were $4.4 million and 2.4 years , respectively. As of December 31, 2016 , there was no unexpensed outstanding nonvested performance stock options. No options were granted in 2016, 2015 and 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 years ended December 31, 2016 and 2015 was $41 thousand and $75 thousand , respectively. During the years ended December 31, 2016 and 2015 , $106 thousand and $98 thousand , respectively, 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 to employees 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, 2015 62,145 $ 25.67 Granted 58,858 25.57 Vested (62,145 ) 25.67 Forfeited — — Nonvested at December 31, 2016 58,858 $ 25.57 As of December 31, 2016 the total unrecognized compensation cost related to outstanding nonvested restricted stock awards was $0.6 million , which the Company expects to recognize over the weighted‑average remaining service period of 0.4 years . The total fair value of shares vested during the years ended December 31, 2016 , 2015 and 2014 was $1.6 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 vested over a one -year period and were delivered in January 2017. Restricted Stock Unit Activity Nonvested Stock Units Number of Stock Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2015 689,281 $ 23.23 Granted 377,661 24.51 Vested (114,701 ) 20.88 Forfeited (6,732 ) 24.38 Nonvested at December 31, 2016 945,509 $ 24.01 As of December 31, 2016 , the total unrecognized compensation cost related to outstanding nonvested restricted stock units was $10.8 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, 2016 , 2015 and 2014 was $2 million , $6 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, 2015 408,260 $ 27.32 Granted 270,612 25.62 Delivered (69,437 ) 29.43 Forfeited — — Nonvested at December 31, 2016 (1) 609,435 $ 26.22 ____________________ (1) Excludes 355,353 performance restricted stock units that have met performance hurdles and will be eligible for vesting after December 31, 2016. As of December 31, 2016 , the total unrecognized compensation cost related to outstanding nonvested performance share units was $6.8 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 years ended December 31, 2016 and 2015 was $2.1 million and $6 million , respectively. 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, 2016 2015 2014 (dollars in millions) Proceeds from purchase of shares by employees $ 0.9 $ 0.8 $ 0.9 Number of shares issued by the Company 39,055 38,565 43,273 Recorded in share-based compensation, net of deferral $ 0.2 $ 0.2 $ 0.2 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, 2016 2015 2014 (in millions) Share‑based compensation expense $ 13 $ 10 $ 10 Share‑based compensation capitalized as DAC 0.4 0.5 0.3 Income tax benefit 3 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 2016 . 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 $11 million , $10 million and $11 million for the years ended December 31, 2016 , 2015 and 2014 , 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 certain measures of intrinsic value and financial return defined in each PRP award agreement. The Company recognized performance retention plan expenses of $12 million , $11 million and $15 million for the years ended December 31, 2016 , 2015 and 2014 , 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. Most employees other than executive officers are eligible to receive discretionary bonuses. |
Other Comprehensive Income
Other Comprehensive Income | 12 Months Ended |
Dec. 31, 2016 | |
Equity [Abstract] | |
Other Comprehensive Income | Other Comprehensive Income The following tables present the changes in each component of AOCI and the effect of reclassifications out of AOCI on the respective line items in net income. Changes in Accumulated Other Comprehensive Income by Component Year Ended December 31, 2016 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, 2015 $ 260 $ (15 ) $ (16 ) $ 8 $ 237 Other comprehensive income (loss) before reclassifications (71 ) (9 ) (23 ) — (103 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (23 ) 52 — — 29 Net investment income (3 ) — — — (3 ) Interest expense — — — (1 ) (1 ) Total before tax (26 ) 52 — (1 ) 25 Tax (provision) benefit 8 (18 ) — 0 (10 ) Total amount reclassified from AOCI, net of tax (18 ) 34 — (1 ) 15 Net current period other comprehensive income (loss) (89 ) 25 (23 ) (1 ) (88 ) Balance, December 31, 2016 $ 171 $ 10 $ (39 ) $ 7 $ 149 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 |
Subsidiary Information
Subsidiary Information | 12 Months Ended |
Dec. 31, 2016 | |
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, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 36 $ 384 $ 22 $ 11,029 $ (368 ) $ 11,103 Investment in subsidiaries 6,164 5,696 3,734 296 (15,890 ) — Premiums receivable, net of commissions payable — — — 699 (123 ) 576 Ceded unearned premium reserve — — — 1,099 (893 ) 206 Deferred acquisition costs — — — 156 (50 ) 106 Reinsurance recoverable on unpaid losses — — — 484 (404 ) 80 Credit derivative assets — — — 69 (56 ) 13 Deferred tax asset, net — 16 — 597 (116 ) 497 Intercompany receivable — — — 70 (70 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 876 — 876 Dividend receivable from affiliate 300 — — — (300 ) — Other 11 78 26 801 (222 ) 694 TOTAL ASSETS $ 6,511 $ 6,174 $ 3,782 $ 16,176 $ (18,492 ) $ 14,151 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves — — — 4,488 (977 ) 3,511 Loss and LAE reserve — — — 1,596 (469 ) 1,127 Long-term debt — 843 453 10 — 1,306 Intercompany payable — 70 — 300 (370 ) — Credit derivative liabilities — — — 458 (56 ) 402 Deferred tax liabilities, net — — 88 — (88 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 958 — 958 Dividend payable to affiliate — 300 — — (300 ) — Other 7 3 14 665 (346 ) 343 TOTAL LIABILITIES 7 1,216 555 8,475 (2,606 ) 7,647 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,504 4,958 3,227 7,405 (15,590 ) 6,504 Noncontrolling interest — — — 296 (296 ) — TOTAL SHAREHOLDERS’ EQUITY 6,504 4,958 3,227 7,701 (15,886 ) 6,504 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,511 $ 6,174 $ 3,782 $ 16,176 $ (18,492 ) $ 14,151 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 Dividend receivable from affiliate 69 — — — — 69 Other 29 29 26 571 (264 ) 391 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 Dividend payable to affiliate — 69 — — — 69 Other 6 13 15 622 (402 ) 254 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 STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE YEAR ENDED DECEMBER 31, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 892 $ (28 ) $ 864 Net investment income 0 0 0 412 (4 ) 408 Net realized investment gains (losses) 0 2 0 (28 ) (3 ) (29 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 29 0 29 Net unrealized gains (losses) — — — 69 — 69 Net change in fair value of credit derivatives — — — 98 — 98 Bargain purchase gain and settlement of pre-existing relationships — — — 257 2 259 Other 0 — — 78 (1 ) 77 TOTAL REVENUES 0 2 0 1,709 (34 ) 1,677 EXPENSES Loss and LAE — — — 296 (1 ) 295 Amortization of deferred acquisition costs — — — 30 (12 ) 18 Interest expense — 52 54 10 (14 ) 102 Other operating expenses 29 2 2 217 (5 ) 245 TOTAL EXPENSES 29 54 56 553 (32 ) 660 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (29 ) (52 ) (56 ) 1,156 (2 ) 1,017 Total (provision) benefit for income taxes — 18 20 (175 ) 1 (136 ) Equity in net earnings of subsidiaries 910 794 274 44 (2,022 ) — NET INCOME (LOSS) 881 760 238 1,025 (2,023 ) 881 Less: noncontrolling interest — — — 44 (44 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 881 $ 760 $ 238 $ 981 $ (1,979 ) $ 881 COMPREHENSIVE INCOME (LOSS) $ 793 $ 685 $ 163 $ 953 $ (1,801 ) $ 793 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 — 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 CASH FLOWS FOR THE YEAR ENDED DECEMBER 31, 2016 (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 $ 390 $ 533 $ 213 $ 64 $ (1,341 ) $ (141 ) Cash flows from investing activities Fixed-maturity securities: Purchases (4 ) (143 ) (10 ) (1,489 ) — (1,646 ) Sales 4 24 12 1,325 — 1,365 Maturities — 30 — 1,125 — 1,155 Sales (purchases) of short-term investments, net (26 ) (237 ) (10 ) 290 — 17 Net proceeds from financial guaranty variable entities’ assets — — — 629 — 629 Intercompany debt — — — 20 (20 ) — Proceeds from stock redemption and return of capital from subsidiaries — — 300 4 (304 ) — Acquisition of CIFG, net of cash acquired — — — (442 ) 7 (435 ) Other — 7 — (9 ) (7 ) (9 ) Net cash flows provided by (used in) investing activities (26 ) (319 ) 292 1,453 (324 ) 1,076 Cash flows from financing activities Return of capital — — — (4 ) 4 — Dividends paid (69 ) (288 ) (513 ) (540 ) 1,341 (69 ) Repurchases of common stock (306 ) — — (300 ) 300 (306 ) Share activity under option and incentive plans 11 — — (1 ) — 10 Net paydowns of financial guaranty variable entities’ liabilities — — — (611 ) — (611 ) Payment of long-term debt — — — (2 ) — (2 ) Intercompany debt — (20 ) — — 20 — Net cash flows provided by (used in) financing activities (364 ) (308 ) (513 ) (1,458 ) 1,665 (978 ) Effect of exchange rate changes — — — (5 ) — (5 ) Increase (decrease) in cash — (94 ) (8 ) 54 — (48 ) Cash at beginning of period 0 95 8 63 — 166 Cash at end of period $ 0 $ 1 $ 0 $ 117 $ — $ 118 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 Proceeds from repayment of surplus notes — — 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 — 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 ) Payment of long-term debt — — — (4 ) — (4 ) 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 Proceeds from repayment of surplus notes — — 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 — 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 ) 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 |
Quarterly Financial Information
Quarterly Financial Information (Unaudited) | 12 Months Ended |
Dec. 31, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Information (Unaudited) | Quarterly Financial Information (Unaudited) A summary of selected quarterly information follows: 2016 First Quarter Second Quarter Third Quarter Fourth Quarter Full Year (dollars in millions, except per share data) Revenues Net earned premiums $ 183 $ 214 $ 231 $ 236 $ 864 Net investment income 99 98 94 117 408 Net realized investment gains (losses) (13 ) 10 (2 ) (24 ) (29 ) Net change in fair value of credit derivatives (60 ) 63 21 74 98 Fair value gains (losses) on CCS (16 ) (11 ) (23 ) 50 0 Fair value gains (losses) on FG VIEs 18 4 (11 ) 27 38 Bargain purchase gain and settlement of pre-existing relationships — — 259 — 259 Other income (loss) 34 18 (3 ) (10 ) 39 Expenses Loss and LAE 90 102 (9 ) 112 295 Amortization of DAC 4 5 4 5 18 Interest expense 26 25 26 25 102 Other operating expenses 60 63 65 57 245 Income (loss) before provision for income taxes 65 201 480 271 1,017 Provision (benefit) for income taxes 6 55 1 74 136 Net income (loss) 59 146 479 197 881 Earnings (loss) per share(1): Basic $ 0.43 $ 1.09 $ 3.63 $ 1.51 $ 6.61 Diluted $ 0.43 $ 1.09 $ 3.60 $ 1.49 $ 6.56 Dividends per share $ 0.13 $ 0.13 $ 0.13 $ 0.13 $ 0.52 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 ____________________ (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, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
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. |
Consolidation | The consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, (collectively, the Subsidiaries), and its consolidated 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 Income Taxes In October 2016, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2016-16, Income Taxes (Topic 740) - Intra-Entity Transfers of Assets Other Than Inventory, which removes the current prohibition against immediate recognition of the current and deferred income tax effects of intra-entity transfers of assets other than inventory. Under the ASU, the selling (transferring) entity is required to recognize a current income tax expense or benefit upon transfer of the asset. Similarly, the purchasing (receiving) entity is required to recognize a deferred tax asset or deferred tax liability, as well as the related deferred tax benefit or expense, upon receipt of the asset. The ASU is effective for annual periods beginning after December 15, 2017, including interim periods within those annual periods, and early adoption is permitted. The ASU’s amendments are to be applied on a modified retrospective basis recognizing the effects in retained earnings as of the beginning of the year of adoption. The Company is currently evaluating the effect on its Consolidated Financial Statements of adopting this ASU. Statement of Cash Flows In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash (a consensus of the Emerging Issues Task Force), which addresses the presentation of changes in restricted cash and restricted cash equivalents in the statement of cash flows with the objective of reducing the existing diversity in practice. Under the ASU, entities are required to show the changes in the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the statement of cash flows. As a result, entities will no longer present transfers between cash and cash equivalents and restricted cash and restricted cash equivalents in the statement of cash flows. When cash, cash equivalents, restricted cash and restricted cash equivalents are presented in more than one line item on the balance sheet, the ASU requires a reconciliation be presented either on the face of the statement of cash flows or in the notes to the financial statements showing the totals in the statement of cash flows to the related captions in the balance sheet. The ASU is effective for public business entities for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. Early adoption is permitted, including adoption in an interim period. If the ASU is adopted in an interim period, any adjustments should be reflected as of the beginning of the fiscal year that includes that interim period. This ASU will not have a material impact on the Company’s Consolidated Statements of Cash Flows. In August 2016, the FASB issued ASU 2016-15, Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments (a consensus of the Emerging Issues Task Force), which addresses eight specific cash flow issues with the objective of reducing the existing diversity in practice. The issues addressed in the new guidance include debt prepayment or debt extinguishment costs, settlement of zero-coupon debt instruments, contingent consideration payments made after a business combination, proceeds from the settlement of insurance claims, proceeds from the settlement of corporate-owned life insurance policies, including bank-owned life insurance policies, distributions received from equity method investments, beneficial interests in securitization transactions and separately identifiable cash flows and application of the predominance principle. The amendments in this ASU are effective for public business entities for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. Early adoption is permitted, including adoption in an interim period. If an entity early adopts the amendments in an interim period, any adjustments should be reflected as of the beginning of the fiscal year that includes that interim period. An entity that elects early adoption must adopt all of the amendments in the same period. This ASU will not have a material impact on the Company’s Consolidated Statements of Cash Flows. Credit Losses on Financial Instruments In June 2016, the FASB issued ASU 2016-13, Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments . The amendments in this ASU are intended to improve financial reporting by requiring timelier recording of credit losses on loans and other financial instruments held by financial institutions and other organizations. The ASU requires the measurement of all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts. Financial institutions will use forward-looking information to better inform their credit loss estimates as a result of the ASU. While many of the loss estimation techniques applied today will still be permitted, the inputs to those techniques will change to reflect the full amount of expected credit losses. The ASU requires enhanced disclosures to help investors and other financial statement users to better understand significant estimates and judgments used in estimating credit losses, as well as credit quality and underwriting standards of an organization’s portfolio. In addition, the ASU amends the accounting for credit losses on available-for-sale securities and purchased financial assets with credit deterioration. The ASU also eliminates the concept of “other than temporary” from the impairment model for certain available-for-sale securities. Accordingly, the ASU states that an entity must use an allowance approach, must limit the allowance to an amount at which the security’s fair value is less than its amortized cost basis, may not consider the length of time fair value has been less than amortized cost, and may not consider recoveries in fair value after the balance sheet date when assessing whether a credit loss exists. For purchased financial assets with credit deterioration, the ASU requires an entity’s method for measuring credit losses to be consistent with its method for measuring expected losses for originated and purchased non-credit-deteriorated assets. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. For most debt instruments, entities will be required to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the first reporting period in which the guidance is adopted. The changes to the impairment model for available-for-sale securities and changes to purchased financial assets with credit deterioration are to be applied prospectively. For the Company, this would be as of January 1, 2020. Early adoption is permitted for fiscal years, and interim periods with those fiscal years, beginning after December 15, 2018. The Company is currently evaluating the effect on its Consolidated Financial Statements of adopting this ASU. Share-Based Payments In March 2016, the FASB issued ASU 2016-09, Compensation - Stock Compensation (Topic 718) - Improvements to Employee Share-Based Payment , which simplifies several aspects of the accounting for employee share-based payment transactions, including the accounting for income taxes, forfeitures, and statutory tax withholding requirements, as well as classification in the statement of cash flows. The new guidance will require all income tax effects of awards to be recognized in the income statement when the awards vest or are settled. It also will allow an employer to repurchase more of an employee’s shares than it can today for tax withholding purposes without triggering liability accounting and to make a policy election to account for forfeitures as they occur. The ASU is effective for fiscal years beginning after December 15, 2016, including interim periods within those fiscal years, and early adoption is permitted. The Company does not expect that the ASU will have a material effect on its Consolidated Financial Statements. Leases In February 2016, the FASB issued ASU 2016-02, Leases (Topic 842) . This ASU requires lessees to present right-of-use assets and lease liabilities on the balance sheet. ASU 2016-02 is to be applied using a modified retrospective approach 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 FASB issued 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. Under the ASU, certain equity securities will need to be accounted for at fair value with changes in fair value recognized through net income. Currently, the Company recognizes unrealized gains and losses for these securities in OCI. Another amendment 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 OCI. Currently, the entire change in the fair value of these liabilities is reflected in the income statement. The Company elected the fair value option to account for its consolidated FG VIEs. FG VIE financial liabilities with recourse are sensitive to changes in the Company’s implied credit worthiness and will be impacted by the ASU. 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 does not expect that the amendment related to certain equity securities will have a material effect on its Consolidated Financial Statements. Upon the adoption date, the Company will present the total change in credit risk for FG VIEs’ financial liabilities with recourse separately in OCI. |
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. |
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. Premiums receivable 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 made 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 represents 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, Contracts Accounted for as 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, Contracts Accounted for as Credit Derivatives. VIE Consolidation, at Fair Value For financial guaranty (FG) 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. Management assesses the expected 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 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 and 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 | 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 2016 , 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 categorization within the fair value hierarchy is determined based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company estimates of market assumptions. The fair value hierarchy prioritizes model inputs into three broad levels as follows, with Level 1 being the highest and Level 3 the lowest. An asset or liability’s categorization is based on the lowest level of significant input to its valuation. Level 1—Quoted prices for identical instruments in active markets. The Company generally defines an active market as a market in which trading occurs at significant volumes. Active markets generally are more liquid and have a lower bid-ask spread than an inactive market. Level 2—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and observable inputs other than quoted prices, such as interest rates or yield curves and other inputs derived from or corroborated by observable market inputs. Level 3—Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Financial instruments are considered Level 3 when their values are determined using pricing models, discounted cash flow methodologies or similar techniques and at least one significant model assumption or input is unobservable. Level 3 financial instruments also include those for which the determination of fair value requires significant management judgment or estimation. Transfers between Levels 1, 2 and 3 are recognized at the end of the period when the transfer occurs. The Company reviews the classification between Levels 1, 2 and 3 quarterly to determine whether a transfer is necessary. |
Salvage and Subrogation Recoverable | 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 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, 2016 ), 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 in an unrealized loss position 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, the entire impairment loss (i.e., the difference between the security's fair value and its amortized cost) is 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 using the retrospective method. Loss mitigation securities are generally purchased at a discount and are accounted for based on their underlying investment type, excluding the effects of the Company’s insurance. Interest income on loss mitigation securities is recognized on a level yield basis over the remaining 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 and preferred stocks, which are carried at fair value with changes in unrealized gains and losses recorded in OCI. |
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, rather, credit derivatives are recorded at fair value on the 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 Radian 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 Radian Acquisition Date is recorded in unearned premium reserve (please refer to Note 6, Contracts Accounted for as Insurance for additional information on stand-ready obligation). At the Radian 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 Radian Acquisition Date. Loss reserves and loss and 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, Contracts Accounted for as 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 Radian 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 CIFG Acquisition was accounted for under the acquisition method of accounting which requires that the assets and liabilities acquired be recorded at fair value. The Company exercised significant judgment to determine the fair value of the assets it acquired and liabilities it assumed in the CIFG Acquisition. The most significant of these determinations related to the valuation of CIFGH's financial guaranty insurance and credit derivative contracts. On an aggregate basis, CIFGH'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 date of the CIFG Acquisition (the CIFG Acquisition Date), particularly for below-investment-grade 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 CIFG 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 on the CIFG Acquisition Date is recorded in unearned premium reserve. After the CIFG Acquisition Date, loss reserves and loss and loss adjustment expenses (LAE) will be 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, Contracts Accounted for as Insurance. The expected losses acquired by the Company as part of the CIFG Acquisition are included in the description of expected losses to be paid under Note 5, Expected Losses 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 CIFGH had pre-existing reinsurance relationships, which were also effectively settled at fair value on the CIFG Acquisition Date. The loss on settlement of these pre-existing reinsurance relationships represents the net difference between the historical assumed balances that were recorded by AGC and the fair value of ceded balances acquired from CIFGH. The Company believes the bargain purchase gain resulted from the nature of the financial guaranty business and the desire of investors in CIFGH to monetize their investments in CIFGH. The bargain purchase gain reflects the fair value of CIFGH’s assets and liabilities, as well as tax attributes that were recorded in deferred taxes comprising net operating losses (after Internal Revenue Code change in control provisions) and other temporary book-to-tax differences for which CIFGH had recorded a full valuation allowance. |
Acquisitions (Tables)
Acquisitions (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Business Combinations [Abstract] | |
Schedule of fair values of assets and liabilities acquired from acquisition | The following table shows the net effect of the CIFG Acquisition, 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 CIFG Acquisition (in millions) Cash Purchase Price (1) $ 443 $ — $ 443 Identifiable assets acquired: Investments 770 — 770 Cash 8 — 8 Premiums receivable, net of commissions payable 18 — 18 Ceded unearned premium reserve 173 (173 ) — Deferred acquisition costs 1 (1 ) — Salvage and subrogation recoverable 23 — 23 Credit derivative assets 1 — 1 Deferred tax asset, net 194 34 228 Other assets 4 — 4 Total assets 1,192 (140 ) 1,052 Liabilities assumed: Unearned premium reserves 306 (10 ) 296 Loss and loss adjustment expense reserve 1 (66 ) (65 ) Credit derivative liabilities 68 0 68 Other liabilities 17 — 17 Total liabilities 392 (76 ) 316 Net asset effect of CIFG Acquisition 800 (64 ) 736 Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, after-tax 357 (64 ) 293 Deferred tax — (34 ) (34 ) Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, pre-tax $ 357 $ (98 ) $ 259 _____________________ (1) The cash purchase price of $443 million represents the cash transferred for the acquisition which was allocated as follows: (1) $270 million for the purchase of net assets of $627 million , and (2) the settlement of pre-existing relationships between CIFGH and Assured Guaranty at a fair value of $173 million . The following table shows the net effect of the Radian Asset Acquisition at the Radian 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 CIFG Acquisition, 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 CIFG Acquisition (in millions) Cash Purchase Price (1) $ 443 $ — $ 443 Identifiable assets acquired: Investments 770 — 770 Cash 8 — 8 Premiums receivable, net of commissions payable 18 — 18 Ceded unearned premium reserve 173 (173 ) — Deferred acquisition costs 1 (1 ) — Salvage and subrogation recoverable 23 — 23 Credit derivative assets 1 — 1 Deferred tax asset, net 194 34 228 Other assets 4 — 4 Total assets 1,192 (140 ) 1,052 Liabilities assumed: Unearned premium reserves 306 (10 ) 296 Loss and loss adjustment expense reserve 1 (66 ) (65 ) Credit derivative liabilities 68 0 68 Other liabilities 17 — 17 Total liabilities 392 (76 ) 316 Net asset effect of CIFG Acquisition 800 (64 ) 736 Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, after-tax 357 (64 ) 293 Deferred tax — (34 ) (34 ) Bargain purchase gain and settlement of pre-existing relationships resulting from CIFG Acquisition, pre-tax $ 357 $ (98 ) $ 259 _____________________ (1) The cash purchase price of $443 million represents the cash transferred for the acquisition which was allocated as follows: (1) $270 million for the purchase of net assets of $627 million , and (2) the settlement of pre-existing relationships between CIFGH and Assured Guaranty at a fair value of $173 million . The following table shows the net effect of the Radian Asset Acquisition at the Radian 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 Year Ended December 31, 2016 (in millions) Professional services $ 2 Financial advisory fees 4 Total $ 6 |
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, 2016 | ||
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 $ 425,849 $ 515,494 $ 409,447 $ 494,426 Structured finance 29,151 43,976 28,088 41,915 Total financial guaranty $ 455,000 $ 559,470 $ 437,535 $ 536,341 | |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating(1) As of December 31, 2016 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 $ 2,066 0.8 % $ 2,221 8.4 % $ 9,757 44.2 % $ 1,447 47.0 % $ 15,491 5.2 % AA 46,420 19.0 170 0.6 5,773 26.2 127 4.1 52,490 17.7 A 133,829 54.7 6,270 23.8 1,589 7.2 456 14.8 142,144 48.0 BBB 55,103 22.5 16,378 62.1 879 4.0 759 24.6 73,119 24.7 BIG 7,380 3.0 1,342 5.1 4,059 18.4 293 9.5 13,074 4.4 Total net par outstanding $ 244,798 100.0 % $ 26,381 100.0 % $ 22,057 100.0 % $ 3,082 100.0 % $ 296,318 100.0 % _____________________ (1) The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. Financial Guaranty Portfolio by Internal Rating(1) As of December 31, 2015 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 $ 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 $ 291,866 100.0 % $ 29,577 100.0 % $ 31,770 100.0 % $ 5,358 100.0 % $ 358,571 100.0 % _____________________ (1) The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. | |
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, 2016 As of December 31, 2015 As of December 31, 2016 As of December 31, 2015 As of December 31, 2016 As of December 31, 2015 (in millions) Public finance: U.S.: General obligation $ 110,167 $ 129,386 $ 2,450 $ 3,131 $ 107,717 $ 126,255 Tax backed 51,325 59,649 1,394 1,587 49,931 58,062 Municipal utilities 38,442 46,951 839 1,015 37,603 45,936 Transportation 19,915 24,351 512 897 19,403 23,454 Healthcare 11,940 15,967 702 961 11,238 15,006 Higher education 10,114 11,984 29 48 10,085 11,936 Infrastructure finance 3,902 5,241 133 248 3,769 4,993 Housing 1,593 2,075 34 38 1,559 2,037 Investor-owned utilities 697 916 0 0 697 916 Other public finance 2,810 3,288 14 17 2,796 3,271 Total public finance—U.S. 250,905 299,808 6,107 7,942 244,798 291,866 Non-U.S.: Infrastructure finance 11,818 14,040 1,087 1,312 10,731 12,728 Regulated utilities 11,395 12,616 2,132 2,568 9,263 10,048 Pooled infrastructure 1,621 2,013 108 134 1,513 1,879 Other public finance 5,653 5,714 779 792 4,874 4,922 Total public finance—non-U.S. 30,487 34,383 4,106 4,806 26,381 29,577 Total public finance 281,392 334,191 10,213 12,748 271,179 321,443 Structured finance: U.S.: Pooled corporate obligations 10,273 16,757 223 749 10,050 16,008 Residential Mortgage-Backed Securities (RMBS) 5,933 7,441 296 374 5,637 7,067 Insurance securitizations 2,355 3,047 47 47 2,308 3,000 Consumer receivables 1,707 2,153 55 54 1,652 2,099 Financial products 1,540 1,906 — — 1,540 1,906 Commercial receivables 234 432 4 5 230 427 Commercial mortgage-backed securities (CMBS) and other commercial real estate related exposures 43 549 — 16 43 533 Other structured finance 646 823 49 93 597 730 Total structured finance—U.S. 22,731 33,108 674 1,338 22,057 31,770 Non-U.S.: Pooled corporate obligations 1,716 4,087 181 442 1,535 3,645 RMBS 661 552 57 60 604 492 Commercial receivables 373 619 17 19 356 600 Other structured finance 601 635 14 14 587 621 Total structured finance—non-U.S. 3,351 5,893 269 535 3,082 5,358 Total structured finance 26,082 39,001 943 1,873 25,139 37,128 Total net par outstanding $ 307,474 $ 373,192 $ 11,156 $ 14,621 $ 296,318 $ 358,571 | |
Expected Amortization of Net Par Outstanding | Expected Amortization of Net Par Outstanding As of December 31, 2016 Public Finance Structured Finance Total (in millions) 0 to 5 years $ 90,563 $ 16,394 $ 106,957 5 to 10 years 56,351 3,692 60,043 10 to 15 years 45,712 2,548 48,260 15 to 20 years 37,057 1,859 38,916 20 years and above 41,496 646 42,142 Total net par outstanding $ 271,179 $ 25,139 $ 296,318 | |
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, 2016 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 2,402 $ 3,123 $ 1,855 $ 7,380 $ 244,798 Non-U.S. public finance 1,288 54 — 1,342 26,381 Public finance 3,690 3,177 1,855 8,722 271,179 Structured finance: U.S. RMBS 197 493 2,461 3,151 5,637 Triple-X life insurance transactions — — 126 126 2,057 Trust preferred securities (TruPS) 304 126 — 430 1,892 Other structured finance 304 263 78 645 15,553 Structured finance 805 882 2,665 4,352 25,139 Total $ 4,495 $ 4,059 $ 4,520 $ 13,074 $ 296,318 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) Public finance: U.S. public finance $ 4,765 $ 2,883 $ 136 $ 7,784 $ 291,866 Non-U.S. public finance 875 503 — 1,378 29,577 Public finance 5,640 3,386 136 9,162 321,443 Structured finance: U.S. RMBS 1,020 397 2,556 3,973 7,067 Triple-X life insurance transactions — — 216 216 2,750 TruPS 679 127 — 806 4,379 Other structured finance 684 219 123 1,026 22,932 Structured finance 2,383 743 2,895 6,021 37,128 Total $ 8,023 $ 4,129 $ 3,031 $ 15,183 $ 358,571 | |
BIG Net Par Outstanding and Number of Risks | BIG Net Par Outstanding and Number of Risks As of December 31, 2016 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 3,861 $ 634 $ 4,495 165 10 175 Category 2 3,857 202 4,059 79 6 85 Category 3 4,383 137 4,520 148 9 157 Total BIG $ 12,101 $ 973 $ 13,074 392 25 417 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 _____________________ (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, 2016 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) 165 (35 ) 79 (11 ) 148 (49 ) 392 — 392 Remaining weighted-average contract period (in years) 8.6 7.0 13.2 10.5 8.1 6.0 10.1 — 10.1 Outstanding exposure: Principal $ 4,187 $ (326 ) $ 4,273 $ (416 ) $ 4,703 $ (320 ) $ 12,101 $ — $ 12,101 Interest 1,932 (140 ) 2,926 (219 ) 1,867 (87 ) 6,279 — 6,279 Total(2) $ 6,119 $ (466 ) $ 7,199 $ (635 ) $ 6,570 $ (407 ) $ 18,380 $ — $ 18,380 Expected cash outflows (inflows) $ 172 $ (19 ) $ 1,404 $ (86 ) $ 1,435 $ (65 ) $ 2,841 $ (326 ) $ 2,515 Potential recoveries Undiscounted R&W 120 (3 ) (2 ) — (62 ) 1 54 — 54 Other(3) (560 ) 26 (144 ) 4 (681 ) 44 (1,311 ) 198 (1,113 ) Total potential recoveries (440 ) 23 (146 ) 4 (743 ) 45 (1,257 ) 198 (1,059 ) Subtotal (268 ) 4 1,258 (82 ) 692 (20 ) 1,584 (128 ) 1,456 Discount 61 (4 ) (355 ) 19 (114 ) (4 ) (397 ) 24 (373 ) Present value of expected cash flows $ (207 ) $ 0 $ 903 $ (63 ) $ 578 $ (24 ) $ 1,187 $ (104 ) $ 1,083 Deferred premium revenue $ 131 $ (5 ) $ 246 $ (6 ) $ 476 $ (30 ) $ 812 $ (86 ) $ 726 Reserves (salvage) $ (255 ) $ 5 $ 738 $ (58 ) $ 343 $ (10 ) $ 763 $ (64 ) $ 699 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) (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Total potential recoveries (303 ) 10 (216 ) 9 (757 ) 29 (1,228 ) 189 (1,039 ) Subtotal 83 (32 ) 942 (51 ) 707 (24 ) 1,625 (154 ) 1,471 Discount 22 5 (237 ) 11 27 (94 ) (266 ) 34 (232 ) 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 ____________________ (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. | |
Net Direct Economic Exposure to Selected European Countries | Net Direct Economic Exposure to Selected European Countries(1) As of December 31, 2016 Hungary Italy Portugal Spain Turkey Total (in millions) Sub-sovereign exposure(2) $ 236 $ 880 $ 76 $ 342 $ — $ 1,534 Non-sovereign exposure(3) 114 399 — — 202 715 Total $ 350 $ 1,279 $ 76 $ 342 $ 202 $ 2,249 Total BIG (See Note 5) $ 283 $ — $ 76 $ 342 $ — $ 701 ____________________ (1) While exposures are shown in U.S. dollars, the obligations are in various currencies, primarily euros. (2) Sub-sovereign exposure in Selected European Countries includes transactions backed by receivables from, or supported by, sub-sovereigns, which are governmental or government-backed entities other than the ultimate governing body of the country. (3) Non-sovereign exposure in Selected European Countries includes debt of regulated utilities, RMBS and diversified payment rights (DPR) securitizations. | |
Schedule of Geographic Exposure of Net Par Outstanding | Geographic Distribution of Net Par Outstanding As of December 31, 2016 Number of Risks Net Par Outstanding Percent of Total Net Par Outstanding (dollars in millions) U.S.: U.S. Public finance: California 1,459 $ 42,404 14.3 % Texas 1,271 20,599 7.0 Pennsylvania 852 20,232 6.8 New York 935 19,637 6.6 Illinois 776 17,967 6.1 Florida 324 12,643 4.3 New Jersey 495 12,560 4.2 Michigan 506 7,985 2.7 Georgia 172 6,372 2.2 Ohio 409 5,554 1.9 Other states and U.S. territories 3,475 78,845 26.6 Total U.S. public finance 10,674 244,798 82.7 U.S. Structured finance (multiple states) 610 22,057 7.4 Total U.S. 11,284 266,855 90.1 Non-U.S.: United Kingdom 112 15,940 5.4 Australia 18 3,036 1.0 Canada 9 2,730 0.9 France 14 1,809 0.6 Italy 9 1,311 0.4 Other 53 4,637 1.6 Total non-U.S. 215 29,463 9.9 Total 11,499 $ 296,318 100.0 % | |
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, 2016 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization (in millions) 2017 (January 1 - March 31) $ 0 $ 118 2017 (April 1 - June 30) 0 2 2017 (July 1 - September 30) 220 339 2017 (October 1 - December 31) 0 2 Subtotal 2017 220 461 2018 175 408 2019 206 429 2020 266 480 2021 125 326 2022-2026 869 1,759 2027-2031 889 1,534 2032-2036 1,201 1,612 2037-2041 417 588 2042-2047 418 492 Total $ 4,786 $ 8,089 | [1] |
Gross Par and Gross Debt Service Outstanding | 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) Exposure to Puerto Rico $ 5,435 $ 5,755 $ 9,038 $ 9,632 | |
Schedule of Geographic Exposure of Net Par Outstanding | Puerto Rico Net Par Outstanding As of As of (in millions) Commonwealth Constitutionally Guaranteed Commonwealth of Puerto Rico - General Obligation Bonds (1) $ 1,476 $ 1,615 Puerto Rico Public Buildings Authority (1) 169 188 Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA (Transportation revenue) (1) (2) 918 909 PRHTA (Highways revenue) 350 370 PRCCDA 152 164 PRIFA (1) 18 18 Other Public Corporations PREPA 724 744 PRASA 373 388 MFA 334 387 COFINA 271 269 U of PR 1 1 Total net exposure to Puerto Rico $ 4,786 $ 5,053 ____________________ (1) As of the date of this filing, the Company has paid claims on these credits. (2) The December 31, 2016 amount includes $46 million of net par from the CIFG Acquisition. | [1] |
[1] | As of the date of this filing, the Company has paid claims on these credits. |
Expected Loss to be Paid (Table
Expected Loss to be Paid (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
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 Roll Forward Year Ended December 31, 2016 2015 (in millions) Net expected loss to be paid, beginning of period $ 1,391 $ 1,169 Net expected loss to be paid on the CIFGH portfolio as of July 1, 2016 22 — Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015 — 190 Economic loss development due to: Accretion of discount 26 32 Changes in discount rates (15 ) (23 ) Changes in timing and assumptions 128 310 Total economic loss development 139 319 Paid losses (354 ) (287 ) Net expected loss to be paid, end of period $ 1,198 $ 1,391 Net Expected Loss to be Paid Roll Forward by Sector Year Ended December 31, 2016 Net Expected Loss to be Paid (Recovered) as of December 31, 2015(2) Net Expected Economic Loss Development (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 771 $ 40 $ 276 $ (216 ) $ 871 Non-U.S. public finance 38 2 (7 ) — 33 Public finance 809 42 269 (216 ) 904 Structured finance: U.S. RMBS 409 (22 ) (91 ) (90 ) 206 Triple-X life insurance transactions 99 — (22 ) (23 ) 54 Other structured finance 74 2 (17 ) (25 ) 34 Structured finance 582 (20 ) (130 ) (138 ) 294 Total $ 1,391 $ 22 $ 139 $ (354 ) $ 1,198 Net Expected Loss to be Paid Roll Forward by Sector Year Ended December 31, 2015 Net Expected Loss to be Paid (Recovered) as of December 31, 2014 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 584 4 (82 ) (97 ) 409 Triple-X life insurance transactions 161 — 11 (73 ) 99 Other structured finance 76 101 (15 ) (88 ) 74 Structured finance 821 105 (86 ) (258 ) 582 Total $ 1,169 $ 190 $ 319 $ (287 ) $ 1,391 ____________________ (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 $16 million and $25 million in LAE for the years ended December 31, 2016 and 2015 , respectively. (2) Includes expected LAE to be paid of $12 million as of December 31, 2016 and $12 million as of December 31, 2015 . |
Schedule of Future R&W Benefits | Future Net R&W Recoverable (Payable)(1) Future Net Future Net Future Net (in millions) U.S. RMBS: First lien $ (53 ) $ 0 $ 232 Second lien 47 79 85 Total $ (6 ) $ 79 $ 317 ____________________ (1) The Company’s agreements with R&W providers generally provide that, as the Company makes claim payments, the R&W providers reimburse it for those claims; if the Company later receives reimbursement through the transaction (for example, from excess spread), the Company repays the R&W providers. See the section “Breaches of Representations and Warranties” for information about the R&W agreements. When the Company projects receiving more reimbursements in the future than it projects paying in claims on transactions covered by R&W settlement agreements, the Company will have a net R&W payable. |
Net Expected Loss to be Paid By Accounting Model | Net Expected Loss to be Paid (Recovered) By Accounting Model As of December 31, 2016 As of December 31, 2015 Public Finance Structured Finance Total Public Finance Structured Finance Total (in millions) Financial guaranty insurance $ 904 $ 179 $ 1,083 $ 809 $ 430 $ 1,239 FG VIEs (1) and other — 105 105 — 136 136 Credit derivatives (2) 0 10 10 — 16 16 Total $ 904 $ 294 $ 1,198 $ 809 $ 582 $ 1,391 ___________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, Contracts Accounted for as Credit Derivatives. |
Schedule of Net Economic Loss Development | Net Economic Loss Development (Benefit) By Accounting Model Year Ended December 31, 2016 Year Ended December 31, 2015 Public Finance Structured Finance Total Public Finance Structured Finance Total (in millions) Financial guaranty insurance $ 269 $ (105 ) $ 164 $ 410 $ (25 ) $ 385 FG VIEs (1) and other — (8 ) (8 ) — 16 16 Credit derivatives (2) — (17 ) (17 ) (5 ) (77 ) (82 ) Total $ 269 $ (130 ) $ 139 $ 405 $ (86 ) $ 319 __________ (1) Refer to Note 9, Consolidated Variable Interest Entities. (2) Refer to Note 8, 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, 2016 December 31, 2015 December 31, 2014 Current Loans Modified in the Previous 12 Months Alt-A and Prime 25% 25% 25% Option ARM 25 25 25 Subprime 25 25 25 Current Loans Delinquent in the Previous 12 Months Alt-A and Prime 25 25 25 Option ARM 25 25 25 Subprime 25 25 25 30 – 59 Days Delinquent Alt-A and Prime 35 35 35 Option ARM 35 40 40 Subprime 40 45 35 60 – 89 Days Delinquent Alt-A and Prime 45 45 50 Option ARM 50 50 55 Subprime 50 55 40 90+ Days Delinquent Alt-A and Prime 55 55 60 Option ARM 55 60 65 Subprime 55 60 55 Bankruptcy Alt-A and Prime 45 45 45 Option ARM 50 50 50 Subprime 40 40 40 Foreclosure Alt-A and Prime 65 65 75 Option ARM 65 70 80 Subprime 65 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 1.0 % – 13.5% 5.7% 1.7 % – 26.4% 6.4% 2.0 % – 13.4% 7.3% Final CDR 0.0 % – 0.7% 0.3% 0.1 % – 1.3% 0.3% 0.1 % – 0.7% 0.3% Initial loss severity: 2005 and prior 60.0% 60.0% 60.0% 2006 80.0% 70.0% 70.0% 2007 70.0% 65.0% 65.0% Option ARM Plateau CDR 3.2 % – 7.0% 5.6% 3.5 % – 10.3% 7.8% 4.3 % – 14.2% 10.6% Final CDR 0.2 % – 0.3% 0.3% 0.2 % – 0.5% 0.4% 0.2 % – 0.7% 0.5% Initial loss severity: 2005 and prior 60.0% 60.0% 60.0% 2006 70.0% 70.0% 70.0% 2007 75.0% 65.0% 65.0% Subprime Plateau CDR 2.8 % – 14.1% 8.1% 4.7 % – 13.2% 9.5% 4.9 % – 15.0% 10.6% Final CDR 0.1 % – 0.7% 0.4% 0.2 % – 0.7% 0.4% 0.2 % – 0.7% 0.4% Initial loss severity: 2005 and prior 80.0% 75.0% 75.0% 2006 90.0% 90.0% 90.0% 2007 90.0% 90.0% 90.0% ____________________ (1) Represents variables for most heavily weighted scenario (the “base case”). |
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 3.5 % – 24.8% 13.6% 4.9 % – 23.5% 10.3% 2.8 % – 6.8% 4.1% Final CDR trended down to 0.5 % – 3.2% 1.3% 0.5 % – 3.2% 1.2% 0.5 % – 3.2% 1.2% Liquidation rates: Current Loans Modified in the Previous 12 Months 25% 25% 25% Current Loans Delinquent in the Previous 12 Months 25 25 25 30 – 59 Days Delinquent 50 50 55 60 – 89 Days Delinquent 65 65 70 90+ Days Delinquent 80 75 80 Bankruptcy 55 55 55 Foreclosure 75 75 75 Real Estate Owned 100 100 100 Loss severity 98% 98% 90 % – 98% 90.4% ____________________ (1) Represents variables for most heavily weighted scenario (the base case). |
Contracts Accounted for as In36
Contracts Accounted for as Insurance (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Insurance [Abstract] | |
Net Earned Premiums | Net Earned Premiums Year Ended December 31, 2016 2015 2014 (in millions) Scheduled net earned premiums $ 381 $ 416 $ 415 Accelerations Refundings 390 294 133 Terminations 79 37 3 Total Accelerations 469 331 136 Accretion of discount on net premiums receivable 14 17 16 Financial guaranty insurance net earned premiums 864 764 567 Other 0 2 3 Net earned premiums (1) $ 864 $ 766 $ 570 ___________________ (1) Excludes $16 million , $21 million and $32 million for the year ended December 31, 2016 , 2015 and 2014 , respectively, related to consolidated FG VIEs. |
Components of Unearned Premium Reserve | Components of Unearned Premium Reserve As of December 31, 2016 As of December 31, 2015 Gross Ceded Net(1) Gross Ceded Net(1) (in millions) Deferred premium revenue $ 3,548 $ 206 $ 3,342 $ 4,008 $ 238 $ 3,770 Contra-paid(2) (37 ) 0 (37 ) (12 ) (6 ) (6 ) Unearned premium reserve $ 3,511 $ 206 $ 3,305 $ 3,996 $ 232 $ 3,764 ____________________ (1) Excludes $90 million and $ 110 million of deferred premium revenue and $25 million and $30 million of contra-paid related to FG VIEs as of December 31, 2016 and December 31, 2015 , 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 Insurance Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of December 31, 2016 (in millions) 2017 (January 1 – March 31) $ 27 2017 (April 1 – June 30) 21 2017 (July 1 – September 30) 14 2017 (October 1 – December 31) 16 2018 58 2019 52 2020 50 2021 49 2022-2026 179 2027-2031 120 2032-2036 80 After 2036 65 Total(1) $ 731 ____________________ (1) Excludes expected cash collections on FG VIEs of $13 million . Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward Year Ended December 31, 2016 2015 2014 (in millions) Beginning of period, December 31 $ 693 $ 729 $ 876 Premiums receivable from acquisitions (see Note 2) 18 2 — Gross written premiums on new business, net of commissions on assumed business 193 198 171 Gross premiums received, net of commissions on assumed business (258 ) (206 ) (230 ) Adjustments: Changes in the expected term (38 ) (19 ) (66 ) Accretion of discount, net of commissions on assumed business 9 18 10 Foreign exchange translation (41 ) (25 ) (31 ) Consolidation/deconsolidation of FG VIEs 0 (4 ) (1 ) End of period, December 31 (1) $ 576 $ 693 $ 729 ____________________ (1) Excludes $11 million , $17 million and $19 million as of December 31, 2016 , 2015 and 2014 , respectively, related to consolidated FG VIEs. |
Schedule of Net Earned Premiums | Scheduled Financial Guaranty Insurance Net Earned Premiums As of December 31, 2016 (in millions) 2017 (January 1 – March 31) $ 89 2017 (April 1 – June 30) 87 2017 (July 1 – September 30) 82 2017 (October 1 – December 31) 80 Subtotal 2017 338 2018 304 2019 268 2020 243 2021 223 2022-2026 856 2027-2031 545 2032-2036 315 After 2036 250 Net deferred premium revenue(1) 3,342 Future accretion 145 Total future net earned premiums $ 3,487 ____________________ (1) Excludes scheduled net earned premiums on consolidated FG VIEs of $90 million . |
Selected Information for Policies Paid in Installments | Selected Information for Financial Guaranty Insurance Policies Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 576 $ 693 Gross deferred premium revenue 1,041 1,240 Weighted-average risk-free rate used to discount premiums 3.0 % 3.1 % Weighted-average period of premiums receivable (in years) 9.1 9.4 |
Rollforward of Deferred Acquisition Costs | Rollforward of Deferred Acquisition Costs Year Ended December 31, 2016 2015 2014 (in millions) Beginning of period $ 114 $ 121 $ 124 DAC adjustments from acquisitions (see Note 2) 0 1 — Costs deferred during the period: Commissions on assumed and ceded business (2 ) (1 ) 7 Premium taxes 4 2 3 Compensation and other acquisition costs 9 11 10 Total 11 12 20 Costs amortized during the period (19 ) (20 ) (23 ) End of period $ 106 $ 114 $ 121 |
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, 2016 As of December 31, 2015 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 $ 711 $ 86 $ 625 $ 604 $ 7 $ 597 Non-U.S. public finance 21 — 21 25 — 25 Public finance 732 86 646 629 7 622 Structured finance: U.S. RMBS 283 262 21 262 116 146 Triple-X life insurance transactions 36 — 36 82 — 82 Other structured finance 60 — 60 99 — 99 Structured finance 379 262 117 443 116 327 Subtotal 1,111 348 763 1,072 123 949 Other recoverable (payable) — (1 ) 1 — 3 (3 ) Subtotal 1,111 347 764 1,072 126 946 Elimination of losses attributable to FG VIEs (64 ) — (64 ) (74 ) 0 (74 ) Total (1) $ 1,047 $ 347 $ 700 $ 998 $ 126 $ 872 ______________ (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 $ 1,127 $ 1,067 Reinsurance recoverable on unpaid losses (80 ) (69 ) Loss and LAE reserve, net 1,047 998 Salvage and subrogation recoverable (365 ) (126 ) Salvage and subrogation payable(1) 17 3 Other payable (recoverable) 1 (3 ) Salvage and subrogation recoverable, net, and other recoverable (347 ) (126 ) Net reserves (salvage) $ 700 $ 872 ____________________ (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, 2016 (in millions) Net expected loss to be paid - financial guaranty insurance (1) $ 1,083 Contra-paid, net 37 Salvage and subrogation recoverable, net of reinsurance 348 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (1,046 ) Other recoverable (payable) (1 ) Net expected loss to be expensed (present value) (2) $ 421 ____________________ (1) See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid. (2) Excludes $64 million as of December 31, 2016 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, 2016 (in millions) 2017 (January 1 – March 31) $ 8 2017 (April 1 – June 30) 10 2017 (July 1 – September 30) 8 2017 (October 1 – December 31) 9 Subtotal 2017 35 2018 34 2019 32 2020 32 2021 28 2022-2026 117 2027-2031 82 2032-2036 44 After 2036 17 Net expected loss to be expensed 421 Future accretion 373 Total expected future loss and LAE $ 794 |
Loss and LAE Reported on the Consolidated Statements of Operations | Loss and LAE Reported on the Consolidated Statements of Operations Year Ended December 31, 2016 2015 2014 (in millions) Public finance: U.S. public finance $ 307 $ 392 $ 192 Non-U.S. public finance (3 ) 1 (1 ) Public finance 304 393 191 Structured finance: U.S. RMBS 37 54 (129 ) Triple-X life insurance transactions (22 ) 16 85 Other structured finance (17 ) (11 ) 9 Structured finance (2 ) 59 (35 ) Loss and LAE on insurance contracts before FG VIE consolidation 302 452 156 Gain (loss) related to FG VIE consolidation (7 ) (28 ) (30 ) Loss and LAE $ 295 $ 424 $ 126 |
BIG Net Par Outstanding and Number of Risks | BIG Net Par Outstanding and Number of Risks As of December 31, 2016 Net Par Outstanding Number of Risks(2) Description Financial Guaranty Insurance(1) Credit Derivative Total Financial Guaranty Insurance(1) Credit Derivative Total (dollars in millions) BIG: Category 1 $ 3,861 $ 634 $ 4,495 165 10 175 Category 2 3,857 202 4,059 79 6 85 Category 3 4,383 137 4,520 148 9 157 Total BIG $ 12,101 $ 973 $ 13,074 392 25 417 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 _____________________ (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, 2016 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) 165 (35 ) 79 (11 ) 148 (49 ) 392 — 392 Remaining weighted-average contract period (in years) 8.6 7.0 13.2 10.5 8.1 6.0 10.1 — 10.1 Outstanding exposure: Principal $ 4,187 $ (326 ) $ 4,273 $ (416 ) $ 4,703 $ (320 ) $ 12,101 $ — $ 12,101 Interest 1,932 (140 ) 2,926 (219 ) 1,867 (87 ) 6,279 — 6,279 Total(2) $ 6,119 $ (466 ) $ 7,199 $ (635 ) $ 6,570 $ (407 ) $ 18,380 $ — $ 18,380 Expected cash outflows (inflows) $ 172 $ (19 ) $ 1,404 $ (86 ) $ 1,435 $ (65 ) $ 2,841 $ (326 ) $ 2,515 Potential recoveries Undiscounted R&W 120 (3 ) (2 ) — (62 ) 1 54 — 54 Other(3) (560 ) 26 (144 ) 4 (681 ) 44 (1,311 ) 198 (1,113 ) Total potential recoveries (440 ) 23 (146 ) 4 (743 ) 45 (1,257 ) 198 (1,059 ) Subtotal (268 ) 4 1,258 (82 ) 692 (20 ) 1,584 (128 ) 1,456 Discount 61 (4 ) (355 ) 19 (114 ) (4 ) (397 ) 24 (373 ) Present value of expected cash flows $ (207 ) $ 0 $ 903 $ (63 ) $ 578 $ (24 ) $ 1,187 $ (104 ) $ 1,083 Deferred premium revenue $ 131 $ (5 ) $ 246 $ (6 ) $ 476 $ (30 ) $ 812 $ (86 ) $ 726 Reserves (salvage) $ (255 ) $ 5 $ 738 $ (58 ) $ 343 $ (10 ) $ 763 $ (64 ) $ 699 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) (372 ) 12 (167 ) 8 (672 ) 24 (1,167 ) 182 (985 ) Total potential recoveries (303 ) 10 (216 ) 9 (757 ) 29 (1,228 ) 189 (1,039 ) Subtotal 83 (32 ) 942 (51 ) 707 (24 ) 1,625 (154 ) 1,471 Discount 22 5 (237 ) 11 27 (94 ) (266 ) 34 (232 ) 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 ____________________ (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. |
Fair Value Measurement (Tables)
Fair Value Measurement (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
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 7 % 13 % Based on market indices 77 % 73 % Provided by the CDS counterparty 16 % 14 % 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, 2016 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 $ 5,432 $ — $ 5,393 $ 39 U.S. government and agencies 440 — 440 — Corporate securities 1,613 — 1,553 60 Mortgage-backed securities: RMBS 987 — 622 365 CMBS 583 — 583 — Asset-backed securities 945 — 140 805 Foreign government securities 233 — 233 — Total fixed-maturity securities 10,233 — 8,964 1,269 Short-term investments 590 319 271 — Other invested assets (1) 8 — 0 8 Credit derivative assets 13 — — 13 FG VIEs’ assets, at fair value 876 — — 876 Other assets 114 24 28 62 Total assets carried at fair value $ 11,834 $ 343 $ 9,263 $ 2,228 Liabilities: Credit derivative liabilities $ 402 $ — $ — $ 402 FG VIEs’ liabilities with recourse, at fair value 807 — — 807 FG VIEs’ liabilities without recourse, at fair value 151 — — 151 Total liabilities carried at fair value $ 1,360 $ — $ — $ 1,360 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 ____________________ (1) Excluded from the table above are investments funds of $48 million and $45 million as of December 31, 2016 and December 31, 2015 , respectively, measured using NAV per share. Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. |
Fair Value Assets Measured on Recurring Basis | Fair Value Level 3 Rollforward Recurring Basis Year Ended December 31, 2016 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, 2015 $ 8 $ 71 $ 348 $ 657 $ 60 $ 1,261 $ 65 $ (365 ) $ (1,225 ) $ (124 ) CIFG Acquisition 1 — 20 36 0 — — (67 ) — — Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 2 (2 ) (16 ) (2 ) 10 (2 ) 51 (2 ) 0 (2 ) 167 (3 ) 0 (4 ) 74 (6 ) (125 ) (3 ) (18 ) (3 ) Other comprehensive income (loss) (4 ) 5 (13 ) 116 0 — 0 — — — Purchases 33 — 70 76 — — — — — — Settlements (1 ) — (70 ) (139 ) (60 ) (629 ) — (31 ) 597 14 FG VIE consolidations — — — — — 97 — — (54 ) (43 ) FG VIE deconsolidations — — 0 — — (20 ) — — — 20 Transfers into Level 3 — — — 8 — — — — — — Fair value as of December 31, 2016 $ 39 $ 60 $ 365 $ 805 $ — $ 876 $ 65 $ (389 ) $ (807 ) $ (151 ) Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2016 $ (4 ) $ 5 $ (15 ) $ 116 $ — $ 93 $ 0 $ (33 ) $ (12 ) $ (17 ) 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 ) ____________________ (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), net investment income and other 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 and other income. (7) Primarily non-cash transaction. (8) Includes CCS and other invested assets. |
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, 2016 and 2015 . Fair Value Level 3 Rollforward Recurring Basis Year Ended December 31, 2016 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, 2015 $ 8 $ 71 $ 348 $ 657 $ 60 $ 1,261 $ 65 $ (365 ) $ (1,225 ) $ (124 ) CIFG Acquisition 1 — 20 36 0 — — (67 ) — — Total pretax realized and unrealized gains/(losses) recorded in: (1) Net income (loss) 2 (2 ) (16 ) (2 ) 10 (2 ) 51 (2 ) 0 (2 ) 167 (3 ) 0 (4 ) 74 (6 ) (125 ) (3 ) (18 ) (3 ) Other comprehensive income (loss) (4 ) 5 (13 ) 116 0 — 0 — — — Purchases 33 — 70 76 — — — — — — Settlements (1 ) — (70 ) (139 ) (60 ) (629 ) — (31 ) 597 14 FG VIE consolidations — — — — — 97 — — (54 ) (43 ) FG VIE deconsolidations — — 0 — — (20 ) — — — 20 Transfers into Level 3 — — — 8 — — — — — — Fair value as of December 31, 2016 $ 39 $ 60 $ 365 $ 805 $ — $ 876 $ 65 $ (389 ) $ (807 ) $ (151 ) Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2016 $ (4 ) $ 5 $ (15 ) $ 116 $ — $ 93 $ 0 $ (33 ) $ (12 ) $ (17 ) 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 ) ____________________ (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), net investment income and other 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 and other income. (7) Primarily non-cash transaction. (8) Includes CCS and other invested assets. |
Schedule of Quantitative Information About Level 3 Assets, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At December 31, 2016 Financial Instrument Description(1) Fair Value at December 31, 2016(in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (2): Fixed-maturity securities: Obligations of state and political subdivisions $ 39 Yield 4.3 % - 22.8% 11.1% Corporate securities 60 Yield 20.1% RMBS 365 CPR 1.6 % - 17.0% 4.6% CDR 1.5 % - 10.1% 6.7% Loss severity 30.0 % - 100.0% 77.8% Yield 3.3 % - 9.7% 6.0% Asset-backed securities: Triple-X life insurance transactions 425 Yield 5.7 % - 6.0% 5.8% Collateralized debt obligations (CDO) 332 Yield 10.0% CLO/TruPS 19 Yield 1.5 % - 4.8% 3.1% Others 29 Yield 7.2% FG VIEs’ assets, at fair value 876 CPR 3.5 % - 12.0% 7.8% CDR 2.5 % - 21.6% 5.7% Loss severity 35.0 % - 100.0% 78.6% Yield 2.9 % - 20.0% 6.5% Other assets 62 Implied Yield 4.5 % - 5.1% 4.8% Term (years) 10 years Liabilities: Credit derivative liabilities, net (389 ) Year 1 loss estimates 0.0 % - 38.0% 1.3% Hedge cost (in bps) 7.2 - 118.1 24.5 Bank profit (in bps) 3.8 - 825.0 61.8 Internal floor (in bps) 7.0 - 100.0 13.9 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (958 ) CPR 3.5 % - 12.0% 7.8% CDR 2.5 % - 21.6% 5.7% Loss severity 35.0 % - 100.0% 78.6% Yield 2.4 % - 20.0% 5.0% ____________________ (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 $8 million . 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% 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 Implied Yield 5.5 % - 6.4% 5.9% Term (years) 5 years 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 . |
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At December 31, 2016 Financial Instrument Description(1) Fair Value at December 31, 2016(in millions) Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (2): Fixed-maturity securities: Obligations of state and political subdivisions $ 39 Yield 4.3 % - 22.8% 11.1% Corporate securities 60 Yield 20.1% RMBS 365 CPR 1.6 % - 17.0% 4.6% CDR 1.5 % - 10.1% 6.7% Loss severity 30.0 % - 100.0% 77.8% Yield 3.3 % - 9.7% 6.0% Asset-backed securities: Triple-X life insurance transactions 425 Yield 5.7 % - 6.0% 5.8% Collateralized debt obligations (CDO) 332 Yield 10.0% CLO/TruPS 19 Yield 1.5 % - 4.8% 3.1% Others 29 Yield 7.2% FG VIEs’ assets, at fair value 876 CPR 3.5 % - 12.0% 7.8% CDR 2.5 % - 21.6% 5.7% Loss severity 35.0 % - 100.0% 78.6% Yield 2.9 % - 20.0% 6.5% Other assets 62 Implied Yield 4.5 % - 5.1% 4.8% Term (years) 10 years Liabilities: Credit derivative liabilities, net (389 ) Year 1 loss estimates 0.0 % - 38.0% 1.3% Hedge cost (in bps) 7.2 - 118.1 24.5 Bank profit (in bps) 3.8 - 825.0 61.8 Internal floor (in bps) 7.0 - 100.0 13.9 Internal credit rating AAA - CCC AA+ FG VIEs’ liabilities, at fair value (958 ) CPR 3.5 % - 12.0% 7.8% CDR 2.5 % - 21.6% 5.7% Loss severity 35.0 % - 100.0% 78.6% Yield 2.4 % - 20.0% 5.0% ____________________ (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 $8 million . 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% 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 Implied Yield 5.5 % - 6.4% 5.9% Term (years) 5 years 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 . |
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 $ 10,233 $ 10,233 $ 10,627 $ 10,627 Short-term investments 590 590 396 396 Other invested assets(1) 146 147 150 152 Credit derivative assets 13 13 81 81 FG VIEs’ assets, at fair value 876 876 1,261 1,261 Other assets 205 205 206 206 Liabilities: Financial guaranty insurance contracts(2) 3,483 8,738 3,998 8,712 Long-term debt 1,306 1,546 1,300 1,512 Credit derivative liabilities 402 402 446 446 FG VIEs’ liabilities with recourse, at fair value 807 807 1,225 1,225 FG VIEs’ liabilities without recourse, at fair value 151 151 124 124 Other liabilities 12 12 9 9 ____________________ (1) Includes investments not carried at fair value with a carrying value of $93 million and $93 million as of December 31, 2016 and December 31, 2015 , respectively. 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. |
Contracts Accounted for as Cr38
Contracts Accounted for as Credit Derivatives (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating | Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of December 31, 2016 As of December 31, 2015 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 10,967 64.6 % $ 14,808 57.9 % AA 2,167 12.7 4,821 18.8 A 1,499 8.8 2,144 8.4 BBB 1,391 8.2 2,212 8.6 BIG 973 5.7 1,609 6.3 Credit derivative net par outstanding $ 16,997 100.0 % $ 25,594 100.0 % Credit Derivatives As of December 31, 2016 As of December 31, 2015 Asset Type Net Par Outstanding Weighted Average Credit Rating Net Par Outstanding Weighted Average Credit Rating (dollars in millions) Pooled corporate obligations: Collateralized loan obligations (CLO) /collateralized bond obligations $ 2,022 AAA $ 5,873 AAA Synthetic investment grade pooled corporate 7,224 AAA 7,108 AAA TruPS CDOs 1,179 BBB+ 3,429 A- Market value CDOs of corporate obligations — -- 1,113 AAA Total pooled corporate obligations 10,425 AAA 17,523 AAA U.S. RMBS 1,142 AA- 1,526 A+ CMBS — -- 530 AAA Other 5,430 A+ 6,015 A Total(1) $ 16,997 AA+ $ 25,594 AA+ ____________________ (1) The December 31, 2016 total amount includes $1.7 billion net par outstanding of credit derivatives from CIFG Acquisition. |
Net Change in Fair Value of Credit Derivatives | Net Change in Fair Value of Credit Derivatives Gain (Loss) Year Ended December 31, 2016 2015 2014 (in millions) Realized gains on credit derivatives $ 56 $ 63 $ 73 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (27 ) (81 ) (50 ) Realized gains (losses) and other settlements 29 (18 ) 23 Net unrealized gains (losses): Pooled corporate obligations (16 ) 147 (18 ) U.S. RMBS 22 396 814 CMBS 0 42 2 Other 63 161 2 Net unrealized gains (losses) 69 746 800 Net change in fair value of credit derivatives $ 98 $ 728 $ 823 |
Net Par and Accelerations of Credit Derivative Revenues from Termination of CDS Contracts | Terminations and Settlements of Direct Credit Derivative Contracts Year Ended December 31, 2016 2015 2014 (in millions) Net par of terminated credit derivative contracts $ 3,811 $ 2,777 $ 3,591 Realized gains on credit derivatives 20 13 1 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements — (116 ) (26 ) Net unrealized gains (losses) on credit derivatives 103 465 546 |
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 158 376 323 AGM 158 366 325 One-year CDS spread: AGC 35 139 80 AGM 29 131 85 |
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 $ (811 ) $ (1,448 ) Plus: Effect of AGC and AGM credit spreads 422 1,083 Net fair value of credit derivatives $ (389 ) $ (365 ) |
Net Fair Value and Expected Losses of Credit Derivatives by Sector | Net Fair Value and Expected Losses of Credit Derivatives As of As of (in millions) Fair value of credit derivative asset (liability), net $ (389 ) $ (365 ) Expected loss to be (paid) recovered (10 ) (16 ) |
Effects of Changes in Credit Spread | Effect of Changes in Credit Spread As of December 31, 2016 Credit Spreads(1) Estimated Net Fair Value (Pre-Tax) Estimated Change in Gain/(Loss) (Pre-Tax) (in millions) 100% widening in spreads $ (791 ) $ (402 ) 50% widening in spreads (590 ) (201 ) 25% widening in spreads (490 ) (101 ) 10% widening in spreads (430 ) (41 ) Base Scenario (389 ) — 10% narrowing in spreads (351 ) 38 25% narrowing in spreads (295 ) 94 50% narrowing in spreads (203 ) 186 ____________________ (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, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated FG VIE's | Consolidated FG VIEs By Type of Collateral As of December 31, 2016 As of December 31, 2015 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 473 $ 509 $ 506 $ 521 U.S. RMBS second lien 178 223 194 273 Life insurance — — 347 347 Manufactured housing 74 75 84 84 Total with recourse 725 807 1,131 1,225 Without recourse 151 151 130 124 Total $ 876 $ 958 $ 1,261 $ 1,349 Number of FG VIEs Consolidated Year Ended December 31, 2016 2015 2014 Beginning of the period, December 31 34 32 40 Radian Asset Acquisition — 4 — Consolidated(1) 1 1 2 Deconsolidated(1) (2 ) (1 ) (8 ) Matured (1 ) (2 ) (2 ) End of the period, December 31 32 34 32 ____________________ (1) Net loss on consolidation and deconsolidation was de minimis in 2016 . 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 . Effect of Consolidating FG VIEs on Net Income, Cash Flows From Operating Activities and Shareholders’ Equity Year Ended December 31, 2016 2015 2014 (in millions) Net earned premiums $ (16 ) $ (21 ) $ (32 ) Net investment income (10 ) (32 ) (11 ) Net realized investment gains (losses) 1 10 (5 ) Fair value gains (losses) on FG VIEs 38 38 255 Bargain purchase gain — 2 — Loss and LAE 7 28 30 Other income (loss) 0 0 (2 ) Effect on income before tax 20 25 235 Less: tax provision (benefit) 7 8 82 Effect on net income (loss) $ 13 $ 17 $ 153 Effect on cash flows from operating activities $ 24 $ 43 $ 68 As of As of (in millions) Effect on shareholders’ equity (decrease) increase $ (9 ) $ (23 ) |
Investments and Cash (Tables)
Investments and Cash (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Net Investment Income | Net Investment Income Year Ended December 31, 2016 2015 2014 (in millions) Income from fixed-maturity securities managed by third parties $ 306 $ 335 $ 324 Income from internally managed securities: Fixed maturities 103 61 74 Other 7 37 14 Other 1 0 0 Gross investment income 417 433 412 Investment expenses (9 ) (10 ) (9 ) Net investment income $ 408 $ 423 $ 403 |
Net Realized Investment Gains (Losses) | Net Realized Investment Gains (Losses) Year Ended December 31, 2016 2015 2014 (in millions) Gross realized gains on available-for-sale securities $ 28 $ 44 $ 14 Gross realized losses on available-for-sale securities (8 ) (15 ) (5 ) Net realized gains (losses) on other invested assets 2 (8 ) 6 Other-than-temporary impairment (51 ) (47 ) (75 ) Net realized investment gains (losses) $ (29 ) $ (26 ) $ (60 ) |
Roll Forward of Credit Losses in the Investment Portfolio | Roll Forward of Credit Losses in the Investment Portfolio Year Ended December 31, 2016 2015 2014 (in millions) Balance, beginning of period $ 108 $ 124 $ 80 Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized 3 3 64 Eliminations of securities issued by FG VIEs — — (15 ) Reductions for securities sold and other settlement during the period (4 ) (28 ) (12 ) Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized 27 9 7 Balance, end of period $ 134 $ 108 $ 124 |
Fixed Maturity Securities and Short Term Investments by Security Type | Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2016 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 50 % $ 5,269 $ 202 $ (39 ) $ 5,432 $ 13 AA U.S. government and agencies 4 424 17 (1 ) 440 — AA+ Corporate securities 15 1,612 32 (31 ) 1,613 (8 ) A- Mortgage-backed securities(4): — RMBS 9 998 27 (38 ) 987 (21 ) A- CMBS 5 575 13 (5 ) 583 — AAA Asset-backed securities 8 835 110 0 945 33 B Foreign government securities 3 261 4 (32 ) 233 — AA Total fixed-maturity securities 94 9,974 405 (146 ) 10,233 17 A+ Short-term investments 6 590 0 0 590 — AAA Total investment portfolio 100 % $ 10,564 $ 405 $ (146 ) $ 10,823 17 A+ 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 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+ ____________________ (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 42% of mortgage backed securities as of December 31, 2016 and 54% as of December 31, 2015 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, 2016 (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 $ 38 $ 570 $ 621 $ 604 AA California 73 62 391 526 497 A+ Texas 16 186 316 518 503 AA Washington 81 68 201 350 348 AA Florida 16 11 247 274 266 AA- Massachusetts 74 — 149 223 215 AA Illinois 18 65 127 210 205 A+ Arizona — 3 122 125 122 AA Georgia — 9 104 113 109 A+ Pennsylvania 38 17 58 113 111 A+ All others 153 155 1,085 1,393 1,364 AA- Total $ 482 $ 614 $ 3,370 $ 4,466 $ 4,344 AA- 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- ____________________ (1) Excludes $ 966 million and $ 1,078 million as of December 31, 2016 and 2015 , 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, 2016 As of December 31, 2015 Type Fair Value Amortized Cost Fair Value Amortized Cost (in millions) Fixed-maturity securities: Transportation $ 860 $ 824 $ 867 $ 815 Tax backed 617 601 610 576 Water and sewer 545 531 612 576 Higher education 513 499 518 487 Municipal utilities 365 360 414 393 Healthcare 310 298 344 321 All others 160 158 145 141 Subtotal 3,370 3,271 3,510 3,309 Short-term investments (1) — — 60 60 Total $ 3,370 $ 3,271 $ 3,570 $ 3,369 ____________________ (1) Matured in the first quarter of 2016. |
Fixed Maturity Securities Gross Unrealized Loss by Length of Time | Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2016 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 $ 1,110 $ (38 ) $ 6 $ (1 ) $ 1,116 $ (39 ) U.S. government and agencies 87 (1 ) — — 87 (1 ) Corporate securities 492 (11 ) 118 (20 ) 610 (31 ) Mortgage-backed securities: RMBS 391 (23 ) 94 (15 ) 485 (38 ) CMBS 165 (5 ) — — 165 (5 ) Asset-backed securities 36 0 0 0 36 0 Foreign government securities 44 (5 ) 114 (27 ) 158 (32 ) Total $ 2,325 $ (83 ) $ 332 $ (63 ) $ 2,657 $ (146 ) Number of securities(1) 622 60 676 Number of securities with other-than-temporary impairment 8 9 17 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 ___________________ (1) The number of securities does not add across because lots consisting of the same securities have been purchased at different times and appear in both categories above (i.e., less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column. |
Distribution of Fixed Maturity Securities by Contractual Maturity | Distribution of Fixed-Maturity Securities by Contractual Maturity As of December 31, 2016 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 482 $ 550 Due after one year through five years 1,725 1,727 Due after five years through 10 years 2,112 2,155 Due after 10 years 4,082 4,231 Mortgage-backed securities: RMBS 998 987 CMBS 575 583 Total $ 9,974 $ 10,233 |
Internally Managed Investment Portfolio | Internally Managed Portfolio Carrying Value As of December 31, 2016 2015 (in millions) Assets purchased for loss mitigation and other risk management purposes: Fixed-maturity securities, at fair value $ 1,492 $ 1,266 Other invested assets 107 114 Other 55 55 Total $ 1,654 $ 1,435 |
Insurance Company Regulatory 41
Insurance Company Regulatory Requirements (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
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, 2016 2015 2016 2015 2014 (in millions) U.S. statutory companies: AGM(1) $ 2,321 $ 2,441 $ 191 $ 217 $ 304 AGC(1)(2) 1,896 1,365 108 (92 ) 116 MAC 487 730 142 102 75 Bermuda statutory company: AG Re 1,255 984 139 51 28 ____________________ (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, Acquisitions, AGC completed the acquisition of CIFGH (the parent company of CIFGNA) on July 1, 2016 and Radian Asset on April 1, 2015. Both CIFGNA and 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 $287 million from the CIFGH acquisition, on a statutory basis, as of July 1, 2016 and $333 million from the Radian Asset acquisition, 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, 2016 2015 2014 (in millions) Dividends paid by AGC to AGUS $ 79 $ 90 $ 69 Dividends paid by AGM to AGMH 247 215 160 Dividends paid by AG Re to AGL 100 150 82 Repayment of surplus note by AGM to AGMH — 25 50 Repayment of surplus note by MAC to AGM 100 — — Repayment of surplus note by MAC to MAC Holdings (1) 300 — — ____________________ (1) MAC Holdings returned $300 million to AGM and AGC, in proportion to their ownership percentages, in the second quarter of 2016. |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Effective Tax Rate Reconciliation | Effective Tax Rate Reconciliation Year Ended December 31, 2016 2015 2014 (in millions) Expected tax provision (benefit) at statutory rates in taxable jurisdictions $ 316 $ 443 $ 490 Tax-exempt interest (49 ) (54 ) (53 ) Gain on bargain purchase (125 ) (19 ) — Change in liability for uncertain tax positions 11 12 9 Effect of provision to tax return filing adjustments (15 ) (11 ) (6 ) Other (2 ) 4 3 Total provision (benefit) for income taxes $ 136 $ 375 $ 443 Effective tax rate 13.4 % 26.2 % 28.9 % |
Pretax Income (Loss) by Tax Jurisdiction | Pretax Income (Loss) by Tax Jurisdiction Year Ended December 31, 2016 2015 2014 (in millions) United States $ 921 $ 1,284 $ 1,420 Bermuda 126 177 142 U.K. (30 ) (30 ) (31 ) Total $ 1,017 $ 1,431 $ 1,531 |
Revenue by Tax Jurisdiction | Revenue by Tax Jurisdiction Year Ended December 31, 2016 2015 2014 (in millions) United States $ 1,442 $ 1,853 $ 1,633 Bermuda 239 361 365 U.K. (4 ) (7 ) (4 ) Total $ 1,677 $ 2,207 $ 1,994 |
Components of Deferred Tax Assets and Liabilities | Components of Net Deferred Tax Assets As of December 31, 2016 2015 (in millions) Deferred tax assets: Unrealized losses on credit derivative financial instruments, net $ 66 $ 33 Unearned premium reserves, net 229 254 Loss and LAE reserve 216 64 Tax and loss bonds 50 39 Alternative minimum tax credit 17 55 Foreign tax credit 20 11 DAC 29 27 Investment basis difference 76 86 Deferred compensation 40 41 Net operating loss 64 — Other 43 17 Total deferred income tax assets 850 627 Deferred tax liabilities: Contingency reserves 82 64 Public debt 91 94 Unrealized appreciation on investments 84 108 Unrealized gains on CCS 22 22 Market discount 22 21 Other 33 31 Total deferred income tax liabilities 334 340 Less: Valuation allowance 19 11 Net deferred income tax asset $ 497 $ 276 |
Reconciliation of Uncertain Tax Positions | The following table provides a reconciliation of the beginning and ending balances of the total liability for unrecognized tax positions. 2016 2015 2014 (in millions) Balance as of January 1, $ 40 $ 28 $ 20 Effect of provision to tax return filing adjustments 6 10 6 Increase in unrecognized tax positions as a result of position taken during the current period 4 2 2 Balance as of December 31, $ 50 $ 40 $ 28 |
Reinsurance and Other Monolin43
Reinsurance and Other Monoline Exposures (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
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, 2016 2015 2014 (in millions) Increase (decrease) in net unearned premium reserve $ — $ 23 $ 20 Increase (decrease) in net par outstanding 28 855 1,167 Commutation gains (losses) 8 28 23 |
Effects of Reinsurance on Statement of Operations | Effect of Reinsurance on Statement of Operations Year Ended December 31, 2016 2015 2014 (in millions) Premiums Written: Direct $ 165 $ 164 $ 116 Assumed(1) (11 ) 17 (12 ) Ceded(2) (17 ) 10 15 Net $ 137 $ 191 $ 119 Premiums Earned: Direct $ 887 $ 792 $ 581 Assumed 27 40 47 Ceded (50 ) (66 ) (58 ) Net $ 864 $ 766 $ 570 Loss and LAE: Direct $ 327 $ 399 $ 132 Assumed 0 45 37 Ceded (32 ) (20 ) (43 ) Net $ 295 $ 424 $ 126 ____________________ (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 | Monoline and Reinsurer Exposure by Company Par Outstanding As of December 31, 2016 Reinsurer Ceded Par Second-to- Assumed Par (in millions) Reinsurers rated investment grade: Tokio Marine & Nichido Fire Insurance Co., Ltd. (3) (4) $ 3,436 $ — $ — Mitsui Sumitomo Insurance Co. Ltd. (3) (4) 1,273 — — National — 4,420 4,364 Subtotal 4,709 4,420 4,364 Reinsurers rated BIG, had rating withdrawn or not rated: American Overseas Reinsurance Company Limited (3) 3,573 — 30 Syncora (3) 2,062 1,098 655 ACA Financial Guaranty Corp. 637 20 — Ambac 115 2,862 6,695 MBIA — 1,024 165 MBIA UK (5) — 319 211 FGIC (6) — 1,194 410 Ambac Assurance Corp. Segregated Account — 73 614 Other (3) 60 529 120 Subtotal 6,447 7,119 8,900 Total $ 11,156 $ 11,539 $ 13,264 ____________________ (1) Of the total ceded par to reinsurers rated BIG, had rating withdrawn or not rated, $384 million is rated BIG. (2) The par on second-to-pay exposure where the primary insurer and underlying transaction rating are both BIG is $788 million . (3) The total collateral posted by all non-affiliated reinsurers required or had agreed to post collateral as of December 31, 2016 was approximately $387 million . (4) The Company benefits from trust arrangements that satisfy the triple-A credit requirement of S&P and/or Moody’s. (5) See Note 2, Acquisitions, for more information on MBIA UK. (6) FGIC includes subsidiaries Financial Guaranty Insurance Company and FGIC UK Limited. |
Amounts Due (To) From Reinsurers | Amounts Due (To) From Reinsurers As of December 31, 2016 Assumed Premium, net of Commissions Ceded Premium, net of Commissions Assumed Ceded (in millions) Reinsurers rated investment grade $ 5 $ (11 ) $ (1 ) $ 62 Reinsurers rated BIG, had rating withdrawn or not rated: Ambac 33 — (1 ) — Syncora 13 (18 ) — (3 ) Ambac Assurance Corp. Segregated Account 6 — (47 ) — FGIC 4 — (13 ) — MBIA 0 — (8 ) — MBIA UK 4 — 0 — American Overseas Reinsurance Company Limited — (5 ) — 28 Other — (12 ) — — Subtotal 60 (35 ) (69 ) 25 Total $ 65 $ (46 ) $ (70 ) $ 87 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Future Minimum Rental Payments | Future Minimum Rental Payments Year (in millions) 2017 $ 6 2018 8 2019 9 2020 9 2021 8 Thereafter 88 Total $ 128 |
Long-Term Debt and Credit Fac45
Long-Term Debt and Credit Facilities (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
Principal and Carrying Amounts of Debt | Principal and Carrying Amounts of Debt As of December 31, 2016 As of December 31, 2015 Principal Carrying Value Principal Carrying Value (in millions) AGUS: 7% Senior Notes $ 200 $ 197 $ 200 $ 197 5% Senior Notes 500 496 500 495 Series A Enhanced Junior Subordinated Debentures 150 150 150 150 Total AGUS 850 843 850 842 AGMH: 6 7 / 8 % QUIBS 100 69 100 69 6.25% Notes 230 141 230 140 5.6% Notes 100 56 100 56 Junior Subordinated Debentures 300 187 300 180 Total AGMH 730 453 730 445 AGM: Notes Payable 9 10 12 13 Total AGM 9 10 12 13 Total $ 1,589 $ 1,306 $ 1,592 $ 1,300 |
Expected Maturity Schedule of Debt | Expected Maturity Schedule of Debt Expected Withdrawal Date AGUS AGMH AGM Total (in millions) 2017 $ — $ — $ 4 $ 4 2018 — — 2 2 2019 — — 1 1 2020 — — 1 1 2021 — — 0 0 2022-2041 700 — 1 701 2042-2061 — — — — 2062-2081 150 300 — 450 Thereafter — 430 — 430 Total $ 850 $ 730 $ 9 $ 1,589 |
Schedule of Interest Expense | Interest Expense Year Ended December 31, 2016 2015 2014 (in millions) AGUS: 7% Senior Notes $ 13 $ 13 $ 13 5% Senior Notes 26 26 13 Series A Enhanced Junior Subordinated Debentures 9 10 10 Total AGUS 48 49 36 AGMH: 6 7 / 8 % QUIBS 7 7 7 6.25% Notes 16 16 16 5.6% Notes 6 6 6 Junior Subordinated Debentures 25 25 25 Total AGMH 54 54 54 AGM: Notes Payable 0 (2 ) 2 Total AGM 0 (2 ) 2 Total $ 102 $ 101 $ 92 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Earnings Per Share [Abstract] | |
Schedule of computation of basic and diluted earnings per share | Computation of Earnings Per Share Year Ended December 31, 2016 2015 2014 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 881 $ 1,056 1,088 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 880 $ 1,055 1,088 Basic shares 133.0 148.1 172.6 Basic EPS $ 6.61 $ 7.12 $ 6.30 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 880 $ 1,055 $ 1,088 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 $ 880 $ 1,055 $ 1,088 Basic shares 133.0 148.1 172.6 Dilutive securities 1.1 0.9 1.0 Diluted shares 134.1 149.0 173.6 Diluted EPS $ 6.56 $ 7.08 $ 6.26 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.3 0.5 1.6 |
Schedule of antidilutive securities excluded from computation of earnings per share | Computation of Earnings Per Share Year Ended December 31, 2016 2015 2014 (in millions, except per share amounts) Basic EPS: Net income (loss) attributable to AGL $ 881 $ 1,056 1,088 Less: Distributed and undistributed income (loss) available to nonvested shareholders 1 1 0 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 880 $ 1,055 1,088 Basic shares 133.0 148.1 172.6 Basic EPS $ 6.61 $ 7.12 $ 6.30 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 880 $ 1,055 $ 1,088 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 $ 880 $ 1,055 $ 1,088 Basic shares 133.0 148.1 172.6 Dilutive securities 1.1 0.9 1.0 Diluted shares 134.1 149.0 173.6 Diluted EPS $ 6.56 $ 7.08 $ 6.26 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect 0.3 0.5 1.6 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Equity [Abstract] | |
Schedule of Share Repurchases | Share Repurchases Year Number of Shares Repurchased Total Payments (in millions) Average Price Paid Per Share 2014 24,413,781 $ 590 $ 24.17 2015 20,995,419 $ 555 $ 26.43 2016 10,721,248 $ 306 $ 28.53 2017 (through February 23, 2017 on a settlement date basis) 3,591,369 $ 142 $ 39.65 |
Employee Benefit Plans (Tables)
Employee Benefit Plans (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
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, 2015 62,145 $ 25.67 Granted 58,858 25.57 Vested (62,145 ) 25.67 Forfeited — — Nonvested at December 31, 2016 58,858 $ 25.57 |
Stock Purchase Plan | Stock Purchase Plan Year Ended December 31, 2016 2015 2014 (dollars in millions) Proceeds from purchase of shares by employees $ 0.9 $ 0.8 $ 0.9 Number of shares issued by the Company 39,055 38,565 43,273 Recorded in share-based compensation, net of deferral $ 0.2 $ 0.2 $ 0.2 |
Share-Based Compensation Expense Summary | Share‑Based Compensation Expense Summary Year Ended December 31, 2016 2015 2014 (in millions) Share‑based compensation expense $ 13 $ 10 $ 10 Share‑based compensation capitalized as DAC 0.4 0.5 0.3 Income tax benefit 3 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, 2015 2,360,340 $ 21.73 2,275,096 Options granted — — Options exercised (768,212 ) 24.64 Options forfeited/expired (421,535 ) 25.50 Balance as of December 31, 2016 1,170,593 $ 18.43 1,145,356 |
Schedule of Weighted Average Assumptions on Option Pricing | Lattice Option Pricing Weighted Average Assumptions (1) 2014 Dividend yield 2.03 % Expected volatility 53.24 % Risk free interest rate 2.21 % Expected life 6.6 years Forfeiture rate 3.5 % Weighted average grant date fair value $ 10.35 ____________________ (1) No options were granted in 2016 and 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, 2015 239,537 $ 17.92 166,897 Options granted — — Options exercised (5,533 ) 19.08 Options forfeited/expired (12,595 ) 19.24 Balance as of December 31, 2016 221,409 $ 17.89 221,409 |
Restricted Stock Units [Member] | |
Employee benefit plans [Line Items] | |
Restricted Stock Unit Activity (Excluding Dividend Equivalents) | Restricted Stock Unit Activity Nonvested Stock Units Number of Stock Units Weighted Average Grant Date Fair Value Per Share Nonvested at December 31, 2015 689,281 $ 23.23 Granted 377,661 24.51 Vested (114,701 ) 20.88 Forfeited (6,732 ) 24.38 Nonvested at December 31, 2016 945,509 $ 24.01 |
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, 2015 408,260 $ 27.32 Granted 270,612 25.62 Delivered (69,437 ) 29.43 Forfeited — — Nonvested at December 31, 2016 (1) 609,435 $ 26.22 ____________________ (1) Excludes 355,353 performance restricted stock units that have met performance hurdles and will be eligible for vesting after December 31, 2016. |
Other Comprehensive Income (Tab
Other Comprehensive Income (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Equity [Abstract] | |
Changes in Accumulated Other Comprehensive Income by Component | The following tables present the changes in each component of AOCI and the effect of reclassifications out of AOCI on the respective line items in net income. Changes in Accumulated Other Comprehensive Income by Component Year Ended December 31, 2016 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, 2015 $ 260 $ (15 ) $ (16 ) $ 8 $ 237 Other comprehensive income (loss) before reclassifications (71 ) (9 ) (23 ) — (103 ) Amounts reclassified from AOCI to: Net realized investment gains (losses) (23 ) 52 — — 29 Net investment income (3 ) — — — (3 ) Interest expense — — — (1 ) (1 ) Total before tax (26 ) 52 — (1 ) 25 Tax (provision) benefit 8 (18 ) — 0 (10 ) Total amount reclassified from AOCI, net of tax (18 ) 34 — (1 ) 15 Net current period other comprehensive income (loss) (89 ) 25 (23 ) (1 ) (88 ) Balance, December 31, 2016 $ 171 $ 10 $ (39 ) $ 7 $ 149 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 |
Subsidiary Information (Tables)
Subsidiary Information (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Condensed Financial Information of Parent Company Only Disclosure [Abstract] | |
Condensed Consolidating Balance Sheet | CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) ASSETS Total investment portfolio and cash $ 36 $ 384 $ 22 $ 11,029 $ (368 ) $ 11,103 Investment in subsidiaries 6,164 5,696 3,734 296 (15,890 ) — Premiums receivable, net of commissions payable — — — 699 (123 ) 576 Ceded unearned premium reserve — — — 1,099 (893 ) 206 Deferred acquisition costs — — — 156 (50 ) 106 Reinsurance recoverable on unpaid losses — — — 484 (404 ) 80 Credit derivative assets — — — 69 (56 ) 13 Deferred tax asset, net — 16 — 597 (116 ) 497 Intercompany receivable — — — 70 (70 ) — Financial guaranty variable interest entities’ assets, at fair value — — — 876 — 876 Dividend receivable from affiliate 300 — — — (300 ) — Other 11 78 26 801 (222 ) 694 TOTAL ASSETS $ 6,511 $ 6,174 $ 3,782 $ 16,176 $ (18,492 ) $ 14,151 LIABILITIES AND SHAREHOLDERS’ EQUITY Unearned premium reserves — — — 4,488 (977 ) 3,511 Loss and LAE reserve — — — 1,596 (469 ) 1,127 Long-term debt — 843 453 10 — 1,306 Intercompany payable — 70 — 300 (370 ) — Credit derivative liabilities — — — 458 (56 ) 402 Deferred tax liabilities, net — — 88 — (88 ) — Financial guaranty variable interest entities’ liabilities, at fair value — — — 958 — 958 Dividend payable to affiliate — 300 — — (300 ) — Other 7 3 14 665 (346 ) 343 TOTAL LIABILITIES 7 1,216 555 8,475 (2,606 ) 7,647 TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. 6,504 4,958 3,227 7,405 (15,590 ) 6,504 Noncontrolling interest — — — 296 (296 ) — TOTAL SHAREHOLDERS’ EQUITY 6,504 4,958 3,227 7,701 (15,886 ) 6,504 TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY $ 6,511 $ 6,174 $ 3,782 $ 16,176 $ (18,492 ) $ 14,151 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 Dividend receivable from affiliate 69 — — — — 69 Other 29 29 26 571 (264 ) 391 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 Dividend payable to affiliate — 69 — — — 69 Other 6 13 15 622 (402 ) 254 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 Statement of Operations and Comprehensive Income | CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE YEAR ENDED DECEMBER 31, 2016 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) REVENUES Net earned premiums $ — $ — $ — $ 892 $ (28 ) $ 864 Net investment income 0 0 0 412 (4 ) 408 Net realized investment gains (losses) 0 2 0 (28 ) (3 ) (29 ) Net change in fair value of credit derivatives: Realized gains (losses) and other settlements — — — 29 0 29 Net unrealized gains (losses) — — — 69 — 69 Net change in fair value of credit derivatives — — — 98 — 98 Bargain purchase gain and settlement of pre-existing relationships — — — 257 2 259 Other 0 — — 78 (1 ) 77 TOTAL REVENUES 0 2 0 1,709 (34 ) 1,677 EXPENSES Loss and LAE — — — 296 (1 ) 295 Amortization of deferred acquisition costs — — — 30 (12 ) 18 Interest expense — 52 54 10 (14 ) 102 Other operating expenses 29 2 2 217 (5 ) 245 TOTAL EXPENSES 29 54 56 553 (32 ) 660 INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES (29 ) (52 ) (56 ) 1,156 (2 ) 1,017 Total (provision) benefit for income taxes — 18 20 (175 ) 1 (136 ) Equity in net earnings of subsidiaries 910 794 274 44 (2,022 ) — NET INCOME (LOSS) 881 760 238 1,025 (2,023 ) 881 Less: noncontrolling interest — — — 44 (44 ) — NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. $ 881 $ 760 $ 238 $ 981 $ (1,979 ) $ 881 COMPREHENSIVE INCOME (LOSS) $ 793 $ 685 $ 163 $ 953 $ (1,801 ) $ 793 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 — 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 Cash Flows | CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE YEAR ENDED DECEMBER 31, 2016 (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 $ 390 $ 533 $ 213 $ 64 $ (1,341 ) $ (141 ) Cash flows from investing activities Fixed-maturity securities: Purchases (4 ) (143 ) (10 ) (1,489 ) — (1,646 ) Sales 4 24 12 1,325 — 1,365 Maturities — 30 — 1,125 — 1,155 Sales (purchases) of short-term investments, net (26 ) (237 ) (10 ) 290 — 17 Net proceeds from financial guaranty variable entities’ assets — — — 629 — 629 Intercompany debt — — — 20 (20 ) — Proceeds from stock redemption and return of capital from subsidiaries — — 300 4 (304 ) — Acquisition of CIFG, net of cash acquired — — — (442 ) 7 (435 ) Other — 7 — (9 ) (7 ) (9 ) Net cash flows provided by (used in) investing activities (26 ) (319 ) 292 1,453 (324 ) 1,076 Cash flows from financing activities Return of capital — — — (4 ) 4 — Dividends paid (69 ) (288 ) (513 ) (540 ) 1,341 (69 ) Repurchases of common stock (306 ) — — (300 ) 300 (306 ) Share activity under option and incentive plans 11 — — (1 ) — 10 Net paydowns of financial guaranty variable entities’ liabilities — — — (611 ) — (611 ) Payment of long-term debt — — — (2 ) — (2 ) Intercompany debt — (20 ) — — 20 — Net cash flows provided by (used in) financing activities (364 ) (308 ) (513 ) (1,458 ) 1,665 (978 ) Effect of exchange rate changes — — — (5 ) — (5 ) Increase (decrease) in cash — (94 ) (8 ) 54 — (48 ) Cash at beginning of period 0 95 8 63 — 166 Cash at end of period $ 0 $ 1 $ 0 $ 117 $ — $ 118 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 Proceeds from repayment of surplus notes — — 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 — 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 ) Payment of long-term debt — — — (4 ) — (4 ) 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 Proceeds from repayment of surplus notes — — 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 — 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 ) 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 |
Quarterly Financial Informati51
Quarterly Financial Information (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
Selected Quarterly Information | A summary of selected quarterly information follows: 2016 First Quarter Second Quarter Third Quarter Fourth Quarter Full Year (dollars in millions, except per share data) Revenues Net earned premiums $ 183 $ 214 $ 231 $ 236 $ 864 Net investment income 99 98 94 117 408 Net realized investment gains (losses) (13 ) 10 (2 ) (24 ) (29 ) Net change in fair value of credit derivatives (60 ) 63 21 74 98 Fair value gains (losses) on CCS (16 ) (11 ) (23 ) 50 0 Fair value gains (losses) on FG VIEs 18 4 (11 ) 27 38 Bargain purchase gain and settlement of pre-existing relationships — — 259 — 259 Other income (loss) 34 18 (3 ) (10 ) 39 Expenses Loss and LAE 90 102 (9 ) 112 295 Amortization of DAC 4 5 4 5 18 Interest expense 26 25 26 25 102 Other operating expenses 60 63 65 57 245 Income (loss) before provision for income taxes 65 201 480 271 1,017 Provision (benefit) for income taxes 6 55 1 74 136 Net income (loss) 59 146 479 197 881 Earnings (loss) per share(1): Basic $ 0.43 $ 1.09 $ 3.63 $ 1.51 $ 6.61 Diluted $ 0.43 $ 1.09 $ 3.60 $ 1.49 $ 6.56 Dividends per share $ 0.13 $ 0.13 $ 0.13 $ 0.13 $ 0.52 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 ____________________ (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, 2016segmentCompany | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of holding companies having outstanding public debt | Company | 2 |
Number of reportable segments | segment | 1 |
Acquisitions - Narrative (Detai
Acquisitions - Narrative (Details) $ in Millions | Jan. 10, 2017USD ($) | Jul. 01, 2016USD ($) | Apr. 01, 2015USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | Dec. 31, 2016USD ($)Company | |||||
Business Acquisition [Line Items] | ||||||||||||||
Number of business acquired | Company | 3 | |||||||||||||
Acquisition of Radian Asset, net of cash acquired | $ 0 | $ 800 | $ 0 | |||||||||||
Investments | $ 10,985 | $ 11,192 | 10,985 | 11,192 | $ 10,985 | |||||||||
Gross Par Outstanding | 307,474 | 373,192 | 307,474 | 373,192 | 307,474 | |||||||||
Net par amount outstanding | 296,318 | [1] | 358,571 | [2] | 296,318 | [1] | 358,571 | [2] | 296,318 | [1] | ||||
CIFG Holding Inc. [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Cash purchase price | $ 443 | |||||||||||||
Revenue | 307 | |||||||||||||
Net income (loss) | 323 | |||||||||||||
Net par amount outstanding | 2,900 | 2,900 | 2,900 | |||||||||||
Radian [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Cash purchase price | $ 804 | |||||||||||||
Net par amount outstanding assumed in business acquisition | 13,600 | |||||||||||||
Revenue | 560 | |||||||||||||
Net income (loss) | 366 | |||||||||||||
Net par amount outstanding | $ 10,900 | $ 10,900 | ||||||||||||
CIFG Europe S.A. [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Investments | 41 | 41 | 41 | |||||||||||
Gross Par Outstanding | 694 | 694 | 694 | |||||||||||
Subsidiaries [Member] | CIFG Holding Inc. [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Cash purchase price | 450.6 | |||||||||||||
Subsidiaries [Member] | Radian [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Cash purchase price | 804.5 | |||||||||||||
CIFG Holding Inc. [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Net par amount outstanding assumed in business acquisition | $ 4,200 | |||||||||||||
MBIA UK [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Net par amount outstanding | $ 12,000 | $ 12,000 | $ 12,000 | |||||||||||
AGUS [Member] | CIFG Holding Inc. [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Ownership percentage by noncontrolling owners | 1.60% | |||||||||||||
Acquisition of Radian Asset, net of cash acquired | $ 7.1 | |||||||||||||
AGUS [Member] | Subsidiaries [Member] | Radian [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Acquisition loan from parent company | $ 200 | |||||||||||||
Subsequent Event [Member] | Subsidiaries [Member] | MBIA UK [Member] | ||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||
Cash Acquired from Acquisition | $ 23 | |||||||||||||
Business Combination, Consideration Transferred, Bond Exchanged Amount | 347 | |||||||||||||
Gross Par Outstanding, Fair Value | $ 334 | |||||||||||||
[1] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | |||||||||||||
[2] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. |
Acquisitions - Assets and Liabi
Acquisitions - Assets and Liabilities Assumed (Details) - USD ($) $ in Millions | Jul. 01, 2016 | Apr. 01, 2015 |
CIFG Holding Inc. [Member] | ||
Business Acquisition [Line Items] | ||
Cash purchase price | $ 443 | |
Identifiable assets acquired: | ||
Investments | 770 | |
Cash | 8 | |
Premiums receivable, net of commissions payable | 18 | |
Ceded unearned premium reserve before settlement of pre-existing relationships | 173 | |
Ceded unearned premium reserve, net effect of settlement of pre-existing relationships | (173) | |
Deferred acquisition costs before settlement of pre-existing relationships | 1 | |
Deferred acquisition costs, net effect of settlement of pre-existing relationships | (1) | |
Salvage and subrogation recoverable | 23 | |
Credit derivative assets | 1 | |
Deferred tax asset, net before settlement of pre-existing relationships | 194 | |
Deferred tax asset, net, settlement of pre-existing relationships | 34 | |
Deferred tax asset, net | 228 | |
Other assets before settlement of pre-existing relationships | 4 | |
Total assets before settlement of pre-existing relationships | 1,192 | |
Total assets, net effect of settlement of pre-existing relationships | (140) | |
Total assets | 1,052 | |
Liabilities assumed: | ||
Unearned premium reserves before settlement of pre-existing relationships | 306 | |
Unearned premium reserves, net effect of settlement of pre-existing relationships | (10) | |
Unearned premium reserves | 296 | |
Loss and loss adjustment expense reserve before settlement of pre-existing relationships | 1 | |
Loss and loss adjustment expense reserve, net effect of settlement of pre-existing relationships | (66) | |
Loss and loss adjustment expense reserve | (65) | |
Credit derivative liabilities before settlement of pre-existing relationships | 68 | |
Other liabilities before settlement of pre-existing relationships | 17 | |
Total liabilities before settlement of pre-existing relationships | 392 | |
Total liabilities, net effect of settlement of pre-existing relationships | (76) | |
Total liabilities | 316 | |
Net asset effect of acquisition before settlement of pre-existing relationships | 800 | |
Net asset effect of acquisition, net effect of settlement of pre-existing relationships | (64) | |
Net asset effect of acquisition | 736 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from acquisition before settlement of pre-existing relationships | 357 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from acquisitions, net effect of settlement of pre-existing relationships | (64) | |
Bargain purchase gain and settlement of pre-existing relationships resulting from acquisitions | 293 | |
Deferred tax, net effect of settlement of pre-existing relationships | (34) | |
Deferred tax | (34) | |
Bargain purchase gain and settlement of pre-existing relationships resulting from acquisition before settlement of pre-existing relationships | 357 | |
Bargain purchase gain and settlement of pre-existing relationship resulting from acquisition, pre-tax, net effect of settlement of pre-existing relationships | (98) | |
Bargain purchase gain and settlement of pre-existing relationships resulting from acquisition, pre-tax | 259 | |
Consideration transferred | 270 | |
Assumed assets including pre-existing relationship | 627 | |
Settlement of pre-existing relationship | $ 173 | |
Radian [Member] | ||
Business Acquisition [Line Items] | ||
Cash purchase price | $ 804 | |
Identifiable assets acquired: | ||
Investments | 1,473 | |
Cash | 4 | |
Ceded unearned premium reserve 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 before settlement of pre-existing relationships | 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 before settlement of pre-existing relationships | 86 | |
Other assets, settlement of pre-existing relationship | (67) | |
Other assets | 19 | |
Total assets before settlement of pre-existing relationships | 1,975 | |
Total assets, net effect of settlement of pre-existing relationships | (188) | |
Total assets | 1,787 | |
Liabilities assumed: | ||
Unearned premium reserves before settlement of pre-existing relationships | 697 | |
Unearned premium reserves, net effect of settlement of pre-existing relationships | (216) | |
Unearned premium reserves | 481 | |
Credit derivative liabilities before settlement of pre-existing relationships | 271 | |
Credit derivative liabilities, net effect of settlement of pre-existing relationships | (26) | |
Credit derivative liabilities | 245 | |
Financial guaranty variable interest entities’ liabilities | 118 | |
Other liabilities before settlement of pre-existing relationships | 30 | |
Other liabilities, net effect of settlement of pre-existing relationships | (49) | |
Other liabilities | (19) | |
Total liabilities before settlement of pre-existing relationships | 1,116 | |
Total liabilities, net effect of settlement of pre-existing relationships | (291) | |
Total liabilities | 825 | |
Net asset effect of acquisition before settlement of pre-existing relationships | 859 | |
Net asset effect of acquisition, net effect of settlement of pre-existing relationships | 103 | |
Net asset effect of acquisition | 962 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from acquisition before settlement of pre-existing relationships | 55 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from acquisitions, net effect of settlement of pre-existing relationships | 103 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from acquisitions | 158 | |
Deferred tax, net effect of settlement of pre-existing relationships | 56 | |
Deferred tax | 56 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from acquisition before settlement of pre-existing relationships | 55 | |
Bargain purchase gain and settlement of pre-existing relationship resulting from acquisition, pre-tax, net effect of settlement of pre-existing relationships | 159 | |
Bargain purchase gain and settlement of pre-existing relationships resulting from acquisition, pre-tax | 214 | |
Consideration transferred | 987 | |
Assumed assets including pre-existing relationship | 1,042 | |
Settlement of pre-existing relationship | $ 183 |
Acquisitions - Acquisition Cost
Acquisitions - Acquisition Costs (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
CIFG Holding Inc. [Member] | ||
Business Acquisition [Line Items] | ||
Professional services | $ 2 | |
Financial advisory fees | 4 | |
Total | $ 6 | |
Radian [Member] | ||
Business Acquisition [Line Items] | ||
Professional services | $ 2 | |
Financial advisory fees | 10 | |
Total | $ 12 |
Acquisitions - Pro Forma Inform
Acquisitions - 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, 2016 | Dec. 31, 2015 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 455,000 | $ 559,470 |
Net Debt Service Outstanding | 437,535 | 536,341 |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 425,849 | 515,494 |
Net Debt Service Outstanding | 409,447 | 494,426 |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 29,151 | 43,976 |
Net Debt Service Outstanding | $ 28,088 | $ 41,915 |
Outstanding Exposure - Financia
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 296,318 | [1] | $ 358,571 | [2] |
% of total net par outstanding | 100.00% | [1] | 100.00% | [2] |
United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 266,855 | |||
Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 29,463 | |||
AAA [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 15,491 | [1] | $ 20,837 | [2] |
% of total net par outstanding | 5.20% | [1] | 5.80% | [2] |
AA [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 52,490 | [1] | $ 79,402 | [2] |
% of total net par outstanding | 17.70% | [1] | 22.10% | [2] |
A [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 142,144 | [1] | $ 167,246 | [2] |
% of total net par outstanding | 48.00% | [1] | 46.70% | [2] |
BBB [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 73,119 | [1] | $ 75,903 | [2] |
% of total net par outstanding | 24.70% | [1] | 21.20% | [2] |
BIG [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 13,074 | [1] | $ 15,183 | [2] |
% of total net par outstanding | 4.40% | [1] | 4.20% | [2] |
Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 271,179 | $ 321,443 | ||
Public Finance [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 244,798 | [1] | $ 291,866 | [2] |
% of total net par outstanding | 100.00% | [1] | 100.00% | [2] |
Public Finance [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 26,381 | [1] | $ 29,577 | [2] |
% of total net par outstanding | 100.00% | [1] | 100.00% | [2] |
Public Finance [Member] | AAA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 2,066 | [1] | $ 3,053 | [2] |
% of total net par outstanding | 0.80% | [1] | 1.10% | [2] |
Public Finance [Member] | AAA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 2,221 | [1] | $ 709 | [2] |
% of total net par outstanding | 8.40% | [1] | 2.40% | [2] |
Public Finance [Member] | AA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 46,420 | [1] | $ 69,274 | [2] |
% of total net par outstanding | 19.00% | [1] | 23.70% | [2] |
Public Finance [Member] | AA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 170 | [1] | $ 2,017 | [2] |
% of total net par outstanding | 0.60% | [1] | 6.80% | [2] |
Public Finance [Member] | A [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 133,829 | [1] | $ 157,440 | [2] |
% of total net par outstanding | 54.70% | [1] | 53.90% | [2] |
Public Finance [Member] | A [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 6,270 | [1] | $ 6,765 | [2] |
% of total net par outstanding | 23.80% | [1] | 22.90% | [2] |
Public Finance [Member] | BBB [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 55,103 | [1] | $ 54,315 | [2] |
% of total net par outstanding | 22.50% | [1] | 18.60% | [2] |
Public Finance [Member] | BBB [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 16,378 | [1] | $ 18,708 | [2] |
% of total net par outstanding | 62.10% | [1] | 63.20% | [2] |
Public Finance [Member] | BIG [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 8,722 | $ 9,162 | ||
Public Finance [Member] | BIG [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 7,380 | [1] | $ 7,784 | [2] |
% of total net par outstanding | 3.00% | [1] | 2.70% | [2] |
Public Finance [Member] | BIG [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,342 | [1] | $ 1,378 | [2] |
% of total net par outstanding | 5.10% | [1] | 4.70% | [2] |
Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 25,139 | $ 37,128 | ||
Structured Finance [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 22,057 | [1] | $ 31,770 | [2] |
% of total net par outstanding | 100.00% | [1] | 100.00% | [2] |
Structured Finance [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 3,082 | [1] | $ 5,358 | [2] |
% of total net par outstanding | 100.00% | [1] | 100.00% | [2] |
Structured Finance [Member] | AAA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 9,757 | [1] | $ 14,366 | [2] |
% of total net par outstanding | 44.20% | [1] | 45.20% | [2] |
Structured Finance [Member] | AAA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,447 | [1] | $ 2,709 | [2] |
% of total net par outstanding | 47.00% | [1] | 50.60% | [2] |
Structured Finance [Member] | AA [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 5,773 | [1] | $ 7,934 | [2] |
% of total net par outstanding | 26.20% | [1] | 25.00% | [2] |
Structured Finance [Member] | AA [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 127 | [1] | $ 177 | [2] |
% of total net par outstanding | 4.10% | [1] | 3.30% | [2] |
Structured Finance [Member] | A [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 1,589 | [1] | $ 2,486 | [2] |
% of total net par outstanding | 7.20% | [1] | 7.80% | [2] |
Structured Finance [Member] | A [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 456 | [1] | $ 555 | [2] |
% of total net par outstanding | 14.80% | [1] | 10.30% | [2] |
Structured Finance [Member] | BBB [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 879 | [1] | $ 1,515 | [2] |
% of total net par outstanding | 4.00% | [1] | 4.80% | [2] |
Structured Finance [Member] | BBB [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 759 | [1] | $ 1,365 | [2] |
% of total net par outstanding | 24.60% | [1] | 25.50% | [2] |
Structured Finance [Member] | BIG [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 4,352 | $ 6,021 | ||
Structured Finance [Member] | BIG [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 4,059 | [1] | $ 5,469 | [2] |
% of total net par outstanding | 18.40% | [1] | 17.20% | [2] |
Structured Finance [Member] | BIG [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 293 | [1] | $ 552 | [2] |
% of total net par outstanding | 9.50% | [1] | 10.30% | [2] |
CIFG Holding Inc. [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 2,900 | |||
Radian [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 10,900 | |||
[1] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | |||
[2] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. |
Outstanding Exposure - Financ59
Outstanding Exposure - Financial Guaranty Portfolio by Asset Class (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | $ 307,474 | $ 373,192 | ||
Ceded Par Outstanding | 11,156 | [1] | 14,621 | |
Net Par Outstanding | 296,318 | [2] | 358,571 | [3] |
Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 281,392 | 334,191 | ||
Ceded Par Outstanding | 10,213 | 12,748 | ||
Net Par Outstanding | 271,179 | 321,443 | ||
Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 26,082 | 39,001 | ||
Ceded Par Outstanding | 943 | 1,873 | ||
Net Par Outstanding | 25,139 | 37,128 | ||
United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | 266,855 | |||
United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 250,905 | 299,808 | ||
Ceded Par Outstanding | 6,107 | 7,942 | ||
Net Par Outstanding | 244,798 | [2] | 291,866 | [3] |
United States [Member] | Public Finance [Member] | General obligation [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 110,167 | 129,386 | ||
Ceded Par Outstanding | 2,450 | 3,131 | ||
Net Par Outstanding | 107,717 | 126,255 | ||
United States [Member] | Public Finance [Member] | Tax backed [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 51,325 | 59,649 | ||
Ceded Par Outstanding | 1,394 | 1,587 | ||
Net Par Outstanding | 49,931 | 58,062 | ||
United States [Member] | Public Finance [Member] | Municipal utilities [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 38,442 | 46,951 | ||
Ceded Par Outstanding | 839 | 1,015 | ||
Net Par Outstanding | 37,603 | 45,936 | ||
United States [Member] | Public Finance [Member] | Transportation [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 19,915 | 24,351 | ||
Ceded Par Outstanding | 512 | 897 | ||
Net Par Outstanding | 19,403 | 23,454 | ||
United States [Member] | Public Finance [Member] | Healthcare [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 11,940 | 15,967 | ||
Ceded Par Outstanding | 702 | 961 | ||
Net Par Outstanding | 11,238 | 15,006 | ||
United States [Member] | Public Finance [Member] | Higher education [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 10,114 | 11,984 | ||
Ceded Par Outstanding | 29 | 48 | ||
Net Par Outstanding | 10,085 | 11,936 | ||
United States [Member] | Public Finance [Member] | Infrastructure finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 3,902 | 5,241 | ||
Ceded Par Outstanding | 133 | 248 | ||
Net Par Outstanding | 3,769 | 4,993 | ||
United States [Member] | Public Finance [Member] | Housing [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 1,593 | 2,075 | ||
Ceded Par Outstanding | 34 | 38 | ||
Net Par Outstanding | 1,559 | 2,037 | ||
United States [Member] | Public Finance [Member] | Investor-owned utilities [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 697 | 916 | ||
Ceded Par Outstanding | 0 | 0 | ||
Net Par Outstanding | 697 | 916 | ||
United States [Member] | Public Finance [Member] | Other public/structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 2,810 | 3,288 | ||
Ceded Par Outstanding | 14 | 17 | ||
Net Par Outstanding | 2,796 | 3,271 | ||
United States [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 22,731 | 33,108 | ||
Ceded Par Outstanding | 674 | 1,338 | ||
Net Par Outstanding | 22,057 | [2] | 31,770 | [3] |
United States [Member] | Structured Finance [Member] | Other public/structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 646 | 823 | ||
Ceded Par Outstanding | 49 | 93 | ||
Net Par Outstanding | 597 | 730 | ||
United States [Member] | Structured Finance [Member] | Pooled corporate obligations [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 10,273 | 16,757 | ||
Ceded Par Outstanding | 223 | 749 | ||
Net Par Outstanding | 10,050 | 16,008 | ||
United States [Member] | Structured Finance [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 5,933 | 7,441 | ||
Ceded Par Outstanding | 296 | 374 | ||
Net Par Outstanding | 5,637 | 7,067 | ||
United States [Member] | Structured Finance [Member] | Insurance securitizations [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 2,355 | 3,047 | ||
Ceded Par Outstanding | 47 | 47 | ||
Net Par Outstanding | 2,308 | 3,000 | ||
United States [Member] | Structured Finance [Member] | Consumer receivables [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 1,707 | 2,153 | ||
Ceded Par Outstanding | 55 | 54 | ||
Net Par Outstanding | 1,652 | 2,099 | ||
United States [Member] | Structured Finance [Member] | Financial product [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 1,540 | 1,906 | ||
Ceded Par Outstanding | 0 | 0 | ||
Net Par Outstanding | 1,540 | 1,906 | ||
United States [Member] | Structured Finance [Member] | Commercial receivables [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 234 | 432 | ||
Ceded Par Outstanding | 4 | 5 | ||
Net Par Outstanding | 230 | 427 | ||
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 | 43 | 549 | ||
Ceded Par Outstanding | 0 | 16 | ||
Net Par Outstanding | 43 | 533 | ||
Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | 29,463 | |||
Non United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 30,487 | 34,383 | ||
Ceded Par Outstanding | 4,106 | 4,806 | ||
Net Par Outstanding | 26,381 | [2] | 29,577 | [3] |
Non United States [Member] | Public Finance [Member] | Infrastructure finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 11,818 | 14,040 | ||
Ceded Par Outstanding | 1,087 | 1,312 | ||
Net Par Outstanding | 10,731 | 12,728 | ||
Non United States [Member] | Public Finance [Member] | Regulated utilities [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 11,395 | 12,616 | ||
Ceded Par Outstanding | 2,132 | 2,568 | ||
Net Par Outstanding | 9,263 | 10,048 | ||
Non United States [Member] | Public Finance [Member] | Pooled infrastructure [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 1,621 | 2,013 | ||
Ceded Par Outstanding | 108 | 134 | ||
Net Par Outstanding | 1,513 | 1,879 | ||
Non United States [Member] | Public Finance [Member] | Other public/structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 5,653 | 5,714 | ||
Ceded Par Outstanding | 779 | 792 | ||
Net Par Outstanding | 4,874 | 4,922 | ||
Non United States [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 3,351 | 5,893 | ||
Ceded Par Outstanding | 269 | 535 | ||
Net Par Outstanding | 3,082 | [2] | 5,358 | [3] |
Non United States [Member] | Structured Finance [Member] | Other public/structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 601 | 635 | ||
Ceded Par Outstanding | 14 | 14 | ||
Net Par Outstanding | 587 | 621 | ||
Non United States [Member] | Structured Finance [Member] | Pooled corporate obligations [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 1,716 | 4,087 | ||
Ceded Par Outstanding | 181 | 442 | ||
Net Par Outstanding | 1,535 | 3,645 | ||
Non United States [Member] | Structured Finance [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 661 | 552 | ||
Ceded Par Outstanding | 57 | 60 | ||
Net Par Outstanding | 604 | 492 | ||
Non United States [Member] | Structured Finance [Member] | Commercial receivables [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Gross Par Outstanding | 373 | 619 | ||
Ceded Par Outstanding | 17 | 19 | ||
Net Par Outstanding | $ 356 | $ 600 | ||
[1] | Of the total ceded par to reinsurers rated BIG, had rating withdrawn or not rated, $384 million is rated BIG. | |||
[2] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | |||
[3] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. |
Outstanding Exposure - Expected
Outstanding Exposure - Expected Amortization of Net Par Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | ||
Expected Amortization of Net Par Outstanding [Abstract] | ||||
0 to 5 years | $ 106,957 | |||
5 to 10 years | 60,043 | |||
10 to 15 years | 48,260 | |||
15 to 20 years | 38,916 | |||
20 years and above | 42,142 | |||
Net Par Outstanding | 296,318 | [1] | $ 358,571 | [2] |
Public Finance [Member] | ||||
Expected Amortization of Net Par Outstanding [Abstract] | ||||
0 to 5 years | 90,563 | |||
5 to 10 years | 56,351 | |||
10 to 15 years | 45,712 | |||
15 to 20 years | 37,057 | |||
20 years and above | 41,496 | |||
Net Par Outstanding | 271,179 | 321,443 | ||
Structured Finance [Member] | ||||
Expected Amortization of Net Par Outstanding [Abstract] | ||||
0 to 5 years | 16,394 | |||
5 to 10 years | 3,692 | |||
10 to 15 years | 2,548 | |||
15 to 20 years | 1,859 | |||
20 years and above | 646 | |||
Net Par Outstanding | $ 25,139 | $ 37,128 | ||
[1] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | |||
[2] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. |
Outstanding Exposure - Componen
Outstanding Exposure - Components of BIG Net Par Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | $ 296,318 | [1] | $ 358,571 | [2] |
Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,057 | 2,750 | ||
Trust preferred securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,892 | 4,379 | ||
Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 15,553 | 22,932 | ||
Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 271,179 | 321,443 | ||
Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 25,139 | 37,128 | ||
BIG [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 13,074 | [1] | 15,183 | [2] |
BIG [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 126 | 216 | ||
BIG [Member] | Trust preferred securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 430 | 806 | ||
BIG [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 645 | 1,026 | ||
BIG [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 8,722 | 9,162 | ||
BIG [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,352 | 6,021 | ||
BIG [Member] | BIG 1 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,495 | 8,023 | ||
BIG [Member] | BIG 1 [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 0 | ||
BIG [Member] | BIG 1 [Member] | Trust preferred securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 304 | 679 | ||
BIG [Member] | BIG 1 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 304 | 684 | ||
BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,690 | 5,640 | ||
BIG [Member] | BIG 1 [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 805 | 2,383 | ||
BIG [Member] | BIG 2 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,059 | 4,129 | ||
BIG [Member] | BIG 2 [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 0 | ||
BIG [Member] | BIG 2 [Member] | Trust preferred securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 126 | 127 | ||
BIG [Member] | BIG 2 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 263 | 219 | ||
BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,177 | 3,386 | ||
BIG [Member] | BIG 2 [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 882 | 743 | ||
BIG [Member] | BIG 3 [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,520 | 3,031 | ||
BIG [Member] | BIG 3 [Member] | Triple-X Life Insurance Transaction [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 126 | 216 | ||
BIG [Member] | BIG 3 [Member] | Trust preferred securities (TruPS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 0 | 0 | ||
BIG [Member] | BIG 3 [Member] | Other structured finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 78 | 123 | ||
BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,855 | 136 | ||
BIG [Member] | BIG 3 [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,665 | 2,895 | ||
United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 266,855 | |||
United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 5,637 | 7,067 | ||
United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 244,798 | [1] | 291,866 | [2] |
United States [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 22,057 | [1] | 31,770 | [2] |
United States [Member] | BIG [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,151 | 3,973 | ||
United States [Member] | BIG [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 7,380 | [1] | 7,784 | [2] |
United States [Member] | BIG [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 4,059 | [1] | 5,469 | [2] |
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 | 197 | 1,020 | ||
United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 2,402 | 4,765 | ||
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 | 493 | 397 | ||
United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,123 | 2,883 | ||
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 | 2,461 | 2,556 | ||
United States [Member] | BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,855 | 136 | ||
Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 29,463 | |||
Non United States [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 26,381 | [1] | 29,577 | [2] |
Non United States [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 3,082 | [1] | 5,358 | [2] |
Non United States [Member] | BIG [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,342 | [1] | 1,378 | [2] |
Non United States [Member] | BIG [Member] | Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 293 | [1] | 552 | [2] |
Non United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 1,288 | 875 | ||
Non United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net par amount outstanding | 54 | 503 | ||
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 | ||
[1] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | |||
[2] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. |
Outstanding Exposure - BIG Net
Outstanding Exposure - BIG Net Par Outstanding (Details) $ in Millions | Dec. 31, 2016USD ($)risk | Dec. 31, 2015USD ($)risk | |||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Credit Derivative | [1] | $ 16,997 | $ 25,594 | ||
Net Par Outstanding | $ 296,318 | [2] | 358,571 | [3] | |
Number of Risks | risk | 11,499 | ||||
BIG [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [4] | $ 12,101 | 13,574 | ||
Net Par Outstanding, Credit Derivative | 973 | 1,609 | |||
Net Par Outstanding | $ 13,074 | [2] | $ 15,183 | [3] | |
Number of Risks, Financial Guaranty Insurance | risk | [4],[5],[6] | 392 | 419 | ||
Number of Risks, Credit Derivative | risk | [5] | 25 | 32 | ||
Number of Risks | risk | [5] | 417 | 451 | ||
BIG [Member] | BIG 1 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [4] | $ 3,861 | $ 7,019 | ||
Net Par Outstanding, Credit Derivative | 634 | 1,004 | |||
Net Par Outstanding | $ 4,495 | $ 8,023 | |||
Number of Risks, Financial Guaranty Insurance | risk | [4],[5] | 165 | 202 | ||
Number of Risks, Credit Derivative | risk | [5] | 10 | 12 | ||
Number of Risks | risk | [5] | 175 | 214 | ||
BIG [Member] | BIG 2 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [4] | $ 3,857 | $ 3,655 | ||
Net Par Outstanding, Credit Derivative | 202 | 474 | |||
Net Par Outstanding | $ 4,059 | $ 4,129 | |||
Number of Risks, Financial Guaranty Insurance | risk | [4],[5] | 79 | 85 | ||
Number of Risks, Credit Derivative | risk | [5] | 6 | 8 | ||
Number of Risks | risk | [5] | 85 | 93 | ||
BIG [Member] | BIG 3 [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net Par Outstanding, Financial Guaranty Insurance | [4] | $ 4,383 | $ 2,900 | ||
Net Par Outstanding, Credit Derivative | 137 | 131 | |||
Net Par Outstanding | $ 4,520 | $ 3,031 | |||
Number of Risks, Financial Guaranty Insurance | risk | [4],[5] | 148 | 132 | ||
Number of Risks, Credit Derivative | risk | [5] | 9 | 12 | ||
Number of Risks | risk | [5] | 157 | 144 | ||
[1] | The December 31, 2016 total amount includes $1.7 billion net par outstanding of credit derivatives from CIFG Acquisition. | ||||
[2] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | ||||
[3] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. | ||||
[4] | Includes net par outstanding for VIEs. | ||||
[5] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. | ||||
[6] | 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. |
Outstanding Exposure - Geograph
Outstanding Exposure - Geographic Distribution of Net Par Outstanding (Details) $ in Millions | Dec. 31, 2016USD ($)risk | Dec. 31, 2015USD ($) | ||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 11,499 | |||
Net Par Outstanding | $ 296,318 | [1] | $ 358,571 | [2] |
Percent of Total Net Par Outstanding | 100.00% | |||
United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 11,284 | |||
Net Par Outstanding | $ 266,855 | |||
Percent of Total Net Par Outstanding | 90.10% | |||
Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 215 | |||
Net Par Outstanding | $ 29,463 | |||
Percent of Total Net Par Outstanding | 9.90% | |||
United Kingdom [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 112 | |||
Net Par Outstanding | $ 15,940 | |||
Percent of Total Net Par Outstanding | 5.40% | |||
Australia [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 18 | |||
Net Par Outstanding | $ 3,036 | |||
Percent of Total Net Par Outstanding | 1.00% | |||
Canada [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 9 | |||
Net Par Outstanding | $ 2,730 | |||
Percent of Total Net Par Outstanding | 0.90% | |||
France [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 14 | |||
Net Par Outstanding | $ 1,809 | |||
Percent of Total Net Par Outstanding | 0.60% | |||
Italy [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 9 | |||
Net Par Outstanding | $ 1,311 | |||
Percent of Total Net Par Outstanding | 0.40% | |||
Other Countries [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 53 | |||
Net Par Outstanding | $ 4,637 | |||
Percent of Total Net Par Outstanding | 1.60% | |||
Public Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | $ 271,179 | 321,443 | ||
Public Finance [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 10,674 | |||
Net Par Outstanding | $ 244,798 | [1] | 291,866 | [2] |
Percent of Total Net Par Outstanding | 82.70% | |||
Public Finance [Member] | California [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 1,459 | |||
Net Par Outstanding | $ 42,404 | |||
Percent of Total Net Par Outstanding | 14.30% | |||
Public Finance [Member] | Texas [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 1,271 | |||
Net Par Outstanding | $ 20,599 | |||
Percent of Total Net Par Outstanding | 7.00% | |||
Public Finance [Member] | Pennsylvania [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 852 | |||
Net Par Outstanding | $ 20,232 | |||
Percent of Total Net Par Outstanding | 6.80% | |||
Public Finance [Member] | New York [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 935 | |||
Net Par Outstanding | $ 19,637 | |||
Percent of Total Net Par Outstanding | 6.60% | |||
Public Finance [Member] | Illinois [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 776 | |||
Net Par Outstanding | $ 17,967 | |||
Percent of Total Net Par Outstanding | 6.10% | |||
Public Finance [Member] | Florida [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 324 | |||
Net Par Outstanding | $ 12,643 | |||
Percent of Total Net Par Outstanding | 4.30% | |||
Public Finance [Member] | New Jersey [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 495 | |||
Net Par Outstanding | $ 12,560 | |||
Percent of Total Net Par Outstanding | 4.20% | |||
Public Finance [Member] | Michigan [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 506 | |||
Net Par Outstanding | $ 7,985 | |||
Percent of Total Net Par Outstanding | 2.70% | |||
Public Finance [Member] | Georgia [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 172 | |||
Net Par Outstanding | $ 6,372 | |||
Percent of Total Net Par Outstanding | 2.20% | |||
Public Finance [Member] | Ohio [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 409 | |||
Net Par Outstanding | $ 5,554 | |||
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 | 3,475 | |||
Net Par Outstanding | $ 78,845 | |||
Percent of Total Net Par Outstanding | 26.60% | |||
Public Finance [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | $ 26,381 | [1] | 29,577 | [2] |
Structured Finance [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | $ 25,139 | 37,128 | ||
Structured Finance [Member] | United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Number of Risks | risk | 610 | |||
Net Par Outstanding | $ 22,057 | [1] | 31,770 | [2] |
Percent of Total Net Par Outstanding | 7.40% | |||
Structured Finance [Member] | Non United States [Member] | ||||
Schedule of Insured Financial Obligations [Line Items] | ||||
Net Par Outstanding | $ 3,082 | [1] | $ 5,358 | [2] |
[1] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | |||
[2] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. |
Outstanding Exposure - Puerto R
Outstanding Exposure - Puerto Rico Gross Par and Gross Debt Service Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Par Outstanding | $ 307,474 | $ 373,192 |
Gross Debt Service Outstanding | 455,000 | 559,470 |
Puerto Rico [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Par Outstanding | 5,435 | 5,755 |
Gross Debt Service Outstanding | $ 9,038 | $ 9,632 |
Outstanding Exposure - Puerto65
Outstanding Exposure - Puerto Rico Net Par Outstanding (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | |||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 296,318 | [1] | $ 358,571 | [2] | |
Puerto Rico [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 4,786 | 5,053 | |||
CIFG Holding Inc. [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 2,900 | ||||
Constitutionally Guaranteed [Member] | Puerto Rico [Member] | Commonwealth of Puerto Rico - General Obligation Bonds [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | [3] | 1,476 | 1,615 | ||
Constitutionally Guaranteed [Member] | Puerto Rico [Member] | Puerto Rico Public Buildings Authority [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | [3] | 169 | 188 | ||
Public Corporations - Certain Revenues Potentially Subject to Clawback [Member] | Puerto Rico [Member] | PRHTA (Transportation revenue) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | [3],[4] | 918 | 909 | ||
Public Corporations - Certain Revenues Potentially Subject to Clawback [Member] | Puerto Rico [Member] | PRHTA (Highway revenue) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 350 | 370 | |||
Public Corporations - Certain Revenues Potentially Subject to Clawback [Member] | Puerto Rico [Member] | PRCCDA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 152 | 164 | |||
Public Corporations - Certain Revenues Potentially Subject to Clawback [Member] | Puerto Rico [Member] | PRIFA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | [3] | 18 | 18 | ||
Public Corporations - Certain Revenues Potentially Subject to Clawback [Member] | CIFG Holding Inc. [Member] | Puerto Rico [Member] | PRHTA (Transportation revenue) [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 46 | ||||
Other Public Corporations [Member] | Puerto Rico [Member] | PREPA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 724 | 744 | |||
Other Public Corporations [Member] | Puerto Rico [Member] | PRASA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 373 | 388 | |||
Other Public Corporations [Member] | Puerto Rico [Member] | MFA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 334 | 387 | |||
Other Public Corporations [Member] | Puerto Rico [Member] | COFINA [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | 271 | 269 | |||
Other Public Corporations [Member] | Puerto Rico [Member] | U of PR [Member] | |||||
Schedule of Insured Financial Obligations [Line Items] | |||||
Net par amount outstanding | $ 1 | $ 1 | |||
[1] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | ||||
[2] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. | ||||
[3] | As of the date of this filing, the Company has paid claims on these credits. | ||||
[4] | The December 31, 2016 amount includes $46 million of net par from the CIFG Acquisition. |
Outstanding Exposure - Net Dire
Outstanding Exposure - Net Direct Economic Exposure to Selected European Countries (Details) $ in Millions | Dec. 31, 2016USD ($) | [1] |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | $ 2,249 | |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 701 | |
Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 350 | |
Hungary [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 283 | |
Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,279 | |
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 | 76 | |
Portugal [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 76 | |
Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 342 | |
Spain [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 342 | |
Turkey [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 202 | |
Turkey [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | |
Sovereign and Sub Sovereign [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 1,534 | [2] |
Sovereign and Sub Sovereign [Member] | Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 236 | [2] |
Sovereign and Sub Sovereign [Member] | Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 880 | [2] |
Sovereign and Sub Sovereign [Member] | Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 76 | [2] |
Sovereign and Sub Sovereign [Member] | Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 342 | [2] |
Sovereign and Sub Sovereign [Member] | Turkey [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [2] |
Non-sovereign Exposure [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 715 | [3] |
Non-sovereign Exposure [Member] | Hungary [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 114 | [3] |
Non-sovereign Exposure [Member] | Italy [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 399 | [3] |
Non-sovereign Exposure [Member] | Portugal [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [3] |
Non-sovereign Exposure [Member] | Spain [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | 0 | [3] |
Non-sovereign Exposure [Member] | Turkey [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, European Exposure | $ 202 | [3] |
[1] | While exposures are shown in U.S. dollars, the obligations are in various currencies, primarily euros. | |
[2] | Sub-sovereign exposure in Selected European Countries includes transactions backed by receivables from, or supported by, sub-sovereigns, which are governmental or government-backed entities other than the ultimate governing body of the country. | |
[3] | (3)Non-sovereign exposure in Selected European Countries includes debt of regulated utilities, RMBS and diversified payment rights (DPR) securitizations. |
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, 2016 | Dec. 31, 2015 | ||
Estimated BIG Net Par Amortization [Abstract] | ||||
Net Par Outstanding | $ 296,318 | [1] | $ 358,571 | [2] |
Estimated BIG Net Debt Service Amortization [Abstract] | ||||
Total | 437,535 | 536,341 | ||
Puerto Rico [Member] | ||||
Estimated BIG Net Par Amortization [Abstract] | ||||
2017 (January 1 - March 31) | 0 | |||
2017 (April 1 - June 30) | 0 | |||
2017 (July 1 - September 30) | 220 | |||
2017 (October 1 - December 31) | 0 | |||
Subtotal 2,017 | 220 | |||
2,018 | 175 | |||
2,019 | 206 | |||
2,020 | 266 | |||
2,021 | 125 | |||
2022-2026 | 869 | |||
2027-2031 | 889 | |||
2032-2036 | 1,201 | |||
2037-2041 | 417 | |||
2042-2047 | 418 | |||
Net Par Outstanding | 4,786 | $ 5,053 | ||
Estimated BIG Net Debt Service Amortization [Abstract] | ||||
2017 (January 1 - March 31) | 118 | |||
2017 (April 1 - June 30) | 2 | |||
2017 (July 1 - September 30) | 339 | |||
2017 (October 1 - December 31) | 2 | |||
Subtotal 2,017 | 461 | |||
2,018 | 408 | |||
2,019 | 429 | |||
2,020 | 480 | |||
2,021 | 326 | |||
2022-2026 | 1,759 | |||
2027-2031 | 1,534 | |||
2032-2036 | 1,612 | |||
2037-2041 | 588 | |||
2042-2047 | 492 | |||
Total | $ 8,089 | |||
[1] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | |||
[2] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. |
Outstanding Exposure - Narrativ
Outstanding Exposure - Narrative (Details) - USD ($) | Jan. 01, 2017 | Jul. 01, 2016 | Dec. 31, 2016 | Mar. 04, 2016 | Dec. 31, 2015 | Dec. 24, 2015 | Sep. 15, 2015 | |||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Debt Service Outstanding | $ 437,535,000,000 | $ 536,341,000,000 | ||||||||
Net Par Outstanding | 296,318,000,000 | [1] | 358,571,000,000 | [2] | ||||||
Net Par Outstanding, European Exposure | [3] | 2,249,000,000 | ||||||||
Excess Of Loss Reinsurance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Debt Service Outstanding | 390,000,000 | 0 | ||||||||
Structured Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Debt Service Outstanding | 28,088,000,000 | 41,915,000,000 | ||||||||
Net Par Outstanding | 25,139,000,000 | 37,128,000,000 | ||||||||
Public Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Debt Service Outstanding | 409,447,000,000 | 494,426,000,000 | ||||||||
Net Par Outstanding | $ 271,179,000,000 | 321,443,000,000 | ||||||||
BIG [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Maximum period of liquidity claims (in years) | 1 year | |||||||||
Loss mitigation securities held in investment portfolios excluding from net par | [2] | $ 2,100,000,000 | 1,500,000,000 | |||||||
Net Par Outstanding | 13,074,000,000 | [1] | 15,183,000,000 | [2] | ||||||
Net Par Outstanding, European Exposure | [3] | 701,000,000 | ||||||||
BIG [Member] | Structured Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | 4,352,000,000 | 6,021,000,000 | ||||||||
BIG [Member] | Public Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | 8,722,000,000 | 9,162,000,000 | ||||||||
United Kingdom and Ireland [Member] | Mortgage Loans on Real Estate [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Debt Service Outstanding | 36,000,000 | 102,000,000 | ||||||||
Spain [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding, European Exposure | [3] | 342,000,000 | ||||||||
Spain [Member] | BIG [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding, European Exposure | [3] | 342,000,000 | ||||||||
Select European Countries [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Indirect European exposure | 2,800,000,000 | |||||||||
Calculated exposure to Selected European Countries | 115,000,000 | |||||||||
Greece [Member] | Pooled corporate obligations [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Indirect European exposure | 129,000,000 | |||||||||
Calculated exposure to Selected European Countries | 3,000,000 | |||||||||
Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Debt Service Outstanding | 8,089,000,000 | |||||||||
Net Par Outstanding | 4,786,000,000 | 5,053,000,000 | ||||||||
Puerto Rico [Member] | BIG [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | 4,800,000,000 | |||||||||
Turkey [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding, European Exposure | [3] | 202,000,000 | ||||||||
Turkey [Member] | Diversified Payment Rights [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding, European Exposure | 202,000,000 | |||||||||
Turkey [Member] | BIG [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding, European Exposure | [3] | 0 | ||||||||
Commitment to Provide Guarantees [Member] | Structured Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Outstanding commitments to provide guaranties | 123,000,000 | |||||||||
Commitment to Provide Guarantees [Member] | Public Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Outstanding commitments to provide guaranties | 394,000,000 | |||||||||
Outstanding commitments to provide guaranties expiring prior to the date of filing | $ 380,000,000 | |||||||||
Minimum [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Constant discount rate (as a percent) | 4.00% | |||||||||
Probability of paying more claims than being reimbursed (as a percent) | 50.00% | |||||||||
Minimum [Member] | Public Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Expiration date for insured financial obligation commitments | Jan. 1, 2017 | |||||||||
Minimum [Member] | BIG [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Constant discount rate (as a percent) | 4.00% | |||||||||
Maximum [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Constant discount rate (as a percent) | 5.00% | |||||||||
Maximum [Member] | Excess Of Loss Reinsurance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Debt Service Outstanding | $ 1,000,000,000 | |||||||||
Maximum [Member] | Public Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Expiration date for insured financial obligation commitments | Mar. 12, 2017 | |||||||||
Maximum [Member] | BIG [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Constant discount rate (as a percent) | 5.00% | |||||||||
PREPA [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Full payment due on revenue bonds | $ 41,000,000 | |||||||||
PREPA [Member] | AGM [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Bonds issued in settlement | $ 26,000,000 | |||||||||
PRHTA (Highway revenue) [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Insured Financial Obligations, Secured By Pledges | $ 120,000,000 | |||||||||
U.S. Justice Department and U.S. Environmental Protection Agency [Member] | PRASA [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Settlement agreement, required spending threshold | $ 1,600,000,000 | |||||||||
Settlement agreement, required spending, payable to contractor | $ 140,000,000 | |||||||||
Radian [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | 10,900,000,000 | |||||||||
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 | |||||||||
Surety Bond [Member] | PREPA [Member] | Restructuring Support Agreement [Member] | AGC [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Possible liquidity claims, gross exposure | 14,000,000 | |||||||||
Surety Bond [Member] | PREPA [Member] | Restructuring Support Agreement [Member] | AGM [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Possible liquidity claims, gross exposure | 99,000,000 | |||||||||
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 | |||||||||
Bridge Loan [Member] | PREPA [Member] | Restructuring Support Agreement [Member] | AGC [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Guarantor obligations, debt financing amount | 2,000,000 | |||||||||
Bridge Loan [Member] | PREPA [Member] | Restructuring Support Agreement [Member] | AGM [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Guarantor obligations, debt financing amount | $ 13,000,000 | |||||||||
Constitutionally Guaranteed [Member] | Commonwealth of Puerto Rico - General Obligation Bonds [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | [4] | 1,476,000,000 | 1,615,000,000 | |||||||
Constitutionally Guaranteed [Member] | Puerto Rico Public Buildings Authority [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | [4] | 169,000,000 | 188,000,000 | |||||||
Public Corporations - Certain Revenues Potentially Subject to Clawback [Member] | PRHTA (Transportation revenue) [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | [4],[5] | 918,000,000 | 909,000,000 | |||||||
Public Corporations - Certain Revenues Potentially Subject to Clawback [Member] | PRHTA (Highway revenue) [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | 350,000,000 | 370,000,000 | ||||||||
Public Corporations - Certain Revenues Potentially Subject to Clawback [Member] | PRCCDA [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | 152,000,000 | 164,000,000 | ||||||||
Public Corporations - Certain Revenues Potentially Subject to Clawback [Member] | PRIFA [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | [4] | 18,000,000 | 18,000,000 | |||||||
Other Public Corporations [Member] | PREPA [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | 724,000,000 | 744,000,000 | ||||||||
Other Public Corporations [Member] | Puerto Rico Municipal Finance Authority [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | 334,000,000 | 387,000,000 | ||||||||
Other Public Corporations [Member] | PRASA [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | 373,000,000 | 388,000,000 | ||||||||
Other Public Corporations [Member] | COFINA [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | 271,000,000 | 269,000,000 | ||||||||
Other Public Corporations [Member] | U of PR [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Par Outstanding | $ 1,000,000 | $ 1,000,000 | ||||||||
Subsequent Event [Member] | PREPA [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Full payment due on revenue bonds | $ 18,000,000 | |||||||||
[1] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | |||||||||
[2] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. | |||||||||
[3] | While exposures are shown in U.S. dollars, the obligations are in various currencies, primarily euros. | |||||||||
[4] | As of the date of this filing, the Company has paid claims on these credits. | |||||||||
[5] | The December 31, 2016 amount includes $46 million of net par from the CIFG Acquisition. |
Expected Loss to be Paid - Net
Expected Loss to be Paid - Net Expected Loss to be Paid After Recoveries for Breaches of R&W (Details) - USD ($) $ in Millions | Jul. 01, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | ||
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 | $ 1,391 | [1] | $ 1,169 | ||
Net expected loss to be paid | 22 | 190 | |||
Total economic loss development | 139 | 319 | |||
Accretion of discount | 26 | 32 | |||
Changes in discount rates | (15) | (23) | |||
Changes in timing and assumptions | 128 | 310 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (354) | (287) | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | $ 1,198 | 1,391 | ||
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 | $ 16 | 25 | |||
Expected LAE to be paid | 12 | 12 | |||
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 | 809 | [1] | 348 | ||
Net expected loss to be paid | 42 | 85 | |||
Total economic loss development | 269 | 405 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (216) | (29) | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 904 | 809 | ||
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 | 771 | [1] | 303 | ||
Net expected loss to be paid | 40 | 81 | |||
Total economic loss development | 276 | 416 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (216) | (29) | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 871 | 771 | ||
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 | 38 | [1] | 45 | ||
Net expected loss to be paid | 2 | 4 | |||
Total economic loss development | (7) | (11) | |||
(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] | 33 | 38 | ||
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 | 409 | [1] | 584 | ||
Net expected loss to be paid | (22) | 4 | |||
Total economic loss development | (91) | (82) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (90) | (97) | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 206 | 409 | ||
Triple-X 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 | 99 | [1] | 161 | ||
Net expected loss to be paid | 0 | 0 | |||
Total economic loss development | (22) | 11 | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (23) | (73) | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 54 | 99 | ||
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 | 74 | [1] | 76 | ||
Net expected loss to be paid | 2 | 101 | |||
Total economic loss development | (17) | (15) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (25) | (88) | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 34 | 74 | ||
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 | 582 | [1] | 821 | ||
Net expected loss to be paid | (20) | 105 | |||
Total economic loss development | (130) | (86) | |||
(Paid) Recovered Losses After Recoveries for R&W | [2] | (138) | (258) | ||
End of Period, Net Expected Loss To Be Paid After Recoveries of R&W | [1] | 294 | 582 | ||
CIFG Holding Inc. [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Net expected loss to be paid | 22 | 0 | |||
CIFG Holding Inc. [Member] | Public Finance [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Net expected loss to be paid | $ 40 | ||||
Radian [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Net expected loss to be paid | $ 0 | $ 190 | |||
[1] | Includes expected LAE to be paid of $12 million as of December 31, 2016 and $12 million as of December 31, 2015. | ||||
[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 $16 million and $25 million in LAE for the years ended December 31, 2016 and 2015, respectively. |
Expected Loss to be Paid - Futu
Expected Loss to be Paid - Future Net R&W Benefit (Details) - Residential Mortgage-Backed Securities (RMBS) [Member] - United States [Member] - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Schedule of Expected Losses to be Paid [Line Items] | ||||
Future net R&W benefits | [1] | $ (6) | $ 79 | $ 317 |
First Lien [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Future net R&W benefits | [1] | (53) | 0 | 232 |
Second Lien [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Future net R&W benefits | [1] | $ 47 | $ 79 | $ 85 |
[1] | (1)The Company’s agreements with R&W providers generally provide that, as the Company makes claim payments, the R&W providers reimburse it for those claims; if the Company later receives reimbursement through the transaction (for example, from excess spread), the Company repays the R&W providers. See the section “Breaches of Representations and Warranties” for information about the R&W agreements. When the Company projects receiving more reimbursements in the future than it projects paying in claims on transactions covered by R&W settlement agreements, the Company will have a net R&W payable. |
Expected Loss to be Paid - Ne71
Expected Loss to be Paid - Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) by Accounting Model (Details) - USD ($) $ in Millions | 12 Months Ended | |||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | $ 1,198 | [1] | $ 1,391 | [1] | $ 1,169 | |
Total economic loss development (benefit) | 139 | 319 | ||||
Public Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | 904 | [1] | 809 | [1] | 348 | |
Total economic loss development (benefit) | 269 | 405 | ||||
Structured Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | 294 | [1] | 582 | [1] | $ 821 | |
Total economic loss development (benefit) | (130) | (86) | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | 1,083 | 1,239 | ||||
Total economic loss development (benefit) | 164 | 385 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Public Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | 904 | 809 | ||||
Total economic loss development (benefit) | 269 | 410 | ||||
Financial Guarantee Accounted for as Insurance Contracts [Member] | Structured Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | 179 | 430 | ||||
Total economic loss development (benefit) | (105) | (25) | ||||
Financial Guarantee Variable Interest Entities And Other [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | [2] | 105 | 136 | |||
Total economic loss development (benefit) | [3] | (8) | 16 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Public Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | [2] | 0 | 0 | |||
Total economic loss development (benefit) | [3] | 0 | 0 | |||
Financial Guarantee Variable Interest Entities And Other [Member] | Structured Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | [2] | 105 | 136 | |||
Total economic loss development (benefit) | [3] | (8) | 16 | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | [4] | 10 | 16 | |||
Total economic loss development (benefit) | [5] | (17) | (82) | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Public Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | [4] | 0 | 0 | |||
Total economic loss development (benefit) | [5] | 0 | (5) | |||
Financial Guarantee Accounted for as Credit Derivatives [Member] | Structured Finance [Member] | ||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | [4] | 10 | 16 | |||
Total economic loss development (benefit) | [5] | $ (17) | $ (77) | |||
[1] | Includes expected LAE to be paid of $12 million as of December 31, 2016 and $12 million as of December 31, 2015. | |||||
[2] | Refer to Note 9, Consolidated Variable Interest Entities. | |||||
[3] | Refer to Note 9, Consolidated Variable Interest Entities. | |||||
[4] | Refer to Note 8, Contracts Accounted for as Credit Derivatives. | |||||
[5] | Refer to Note 8, 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) | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Financing Receivable, Modified in Previous 12 Months [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivable, Modified in Previous 12 Months [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivable, Modified in Previous 12 Months [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 25.00% | 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] | ||||
Liquidation Rate | 25.00% | 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] | ||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivable, Delinquent in the Previous 12 Months [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivables, 30 to 59 Days Past Due [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 35.00% | 35.00% | 35.00% | |
Financing Receivables, 30 to 59 Days Past Due [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 35.00% | 40.00% | 40.00% | |
Financing Receivables, 30 to 59 Days Past Due [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 40.00% | 45.00% | 35.00% | |
Financing Receivables, 60 to 89 Days Past Due [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 45.00% | 45.00% | 50.00% | |
Financing Receivables, 60 to 89 Days Past Due [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 50.00% | 50.00% | 55.00% | |
Financing Receivables, 60 to 89 Days Past Due [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 50.00% | 55.00% | 40.00% | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 55.00% | 55.00% | 60.00% | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 55.00% | 60.00% | 65.00% | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 55.00% | 60.00% | 55.00% | |
Financing Receivables, Bankruptcy [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 45.00% | 45.00% | 45.00% | |
Financing Receivables, Bankruptcy [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 50.00% | 50.00% | 50.00% | |
Financing Receivables, Bankruptcy [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 40.00% | 40.00% | 40.00% | |
Financing Receivable, Foreclosure [Member] | Alt-A and Prime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 65.00% | 65.00% | 75.00% | |
Financing Receivable, Foreclosure [Member] | Option ARM [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 65.00% | 70.00% | 80.00% | |
Financing Receivable, Foreclosure [Member] | Subprime [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 65.00% | 70.00% | 70.00% | |
Financing Receivable, Real Estate Owned [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Liquidation Rate | 100.00% | 100.00% | 100.00% | |
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% | 60.00% |
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] | 80.00% | 70.00% | 70.00% |
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] | 70.00% | 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] | 1.00% | 1.70% | 2.00% |
Final CDR | [1] | 0.00% | 0.10% | 0.10% |
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] | 13.50% | 26.40% | 13.40% |
Final CDR | [1] | 0.70% | 1.30% | 0.70% |
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] | 5.70% | 6.40% | 7.30% |
Final CDR | [1] | 0.30% | 0.30% | 0.30% |
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% | 60.00% |
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% | 70.00% |
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] | 75.00% | 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] | 3.20% | 3.50% | 4.30% |
Final CDR | [1] | 0.20% | 0.20% | 0.20% |
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] | 7.00% | 10.30% | 14.20% |
Final CDR | [1] | 0.30% | 0.50% | 0.70% |
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] | 5.60% | 7.80% | 10.60% |
Final CDR | [1] | 0.30% | 0.40% | 0.50% |
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] | 80.00% | 75.00% | 75.00% |
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] | 2.80% | 4.70% | 4.90% |
Final CDR | [1] | 0.10% | 0.20% | 0.20% |
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] | 14.10% | 13.20% | 15.00% |
Final CDR | [1] | 0.70% | 0.70% | 0.70% |
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 | [1] | 8.10% | 9.50% | 10.60% |
Final CDR | [1] | 0.40% | 0.40% | 0.40% |
[1] | Represents variables for most heavily weighted scenario (the “base case”). |
Expected Loss to be Paid - Key
Expected Loss to be Paid - Key Assumptions in Base Case Expected Loss (Details) - Residential Mortgage-Backed Securities (RMBS) [Member] - United States [Member] - Home equity lines of credit (HELOCs) [Member] | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Schedule of Expected Losses to be Paid [Line Items] | ||||
Loss severity | [1] | 98.00% | 98.00% | |
Minimum [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 3.50% | 4.90% | 2.80% |
Final CDR trended down to | [1] | 0.50% | 0.50% | 0.50% |
Loss severity | [1] | 90.00% | ||
Maximum [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 24.80% | 23.50% | 6.80% |
Final CDR trended down to | [1] | 3.20% | 3.20% | 3.20% |
Loss severity | [1] | 98.00% | ||
Weighted Average [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Plateau CDR | [1] | 13.60% | 10.30% | 4.10% |
Final CDR trended down to | [1] | 1.30% | 1.20% | 1.20% |
Loss severity | [1] | 90.40% | ||
Financing Receivable, Modified in Previous 12 Months [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivable, Delinquent in the Previous 12 Months [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 25.00% | 25.00% | 25.00% | |
Financing Receivables, 30 to 59 Days Past Due [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 50.00% | 50.00% | 55.00% | |
Financing Receivables, 60 to 89 Days Past Due [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 65.00% | 65.00% | 70.00% | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 80.00% | 75.00% | 80.00% | |
Financing Receivables, Bankruptcy [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 55.00% | 55.00% | 55.00% | |
Financing Receivable, Foreclosure [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 75.00% | 75.00% | 75.00% | |
Financing Receivable, Real Estate Owned [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Insured Financial Obligations, Projected Loss Assumptions, Liquidation Rate | 100.00% | 100.00% | 100.00% | |
[1] | Represents variables for most heavily weighted scenario (the base case). |
Expected Loss to be Paid - Narr
Expected Loss to be Paid - Narrative (Details) $ in Millions | Jul. 01, 2016USD ($) | Feb. 04, 2015USD ($) | Dec. 31, 2016USD ($)scenarioPaymentTransactionCurve | Dec. 31, 2015USD ($)scenario | Dec. 31, 2014USD ($) | Jan. 15, 2013USD ($) | Nov. 26, 2012USD ($) | Feb. 05, 2009USD ($) | |||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Period of insured credit performance of guaranteed obligations (in some cases over) | 30 years | ||||||||||
Discount factor (as a percent) | 2.73% | 2.36% | |||||||||
Net par amount outstanding | $ 296,318 | [1] | $ 358,571 | [2] | |||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 1,198 | [3] | 1,391 | [3] | $ 1,169 | ||||||
Net expected loss to be paid | 22 | 190 | |||||||||
Economic loss development after recoveries for R&W | $ (139) | $ (319) | |||||||||
Liquidation rate review period | 12 months | ||||||||||
Minimum [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Insured Financial Obligations, Claim Liability, Risk Free Discount Rate | 0.00% | 0.00% | |||||||||
Liquidation rates assumed | 25.00% | ||||||||||
Maximum [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Insured Financial Obligations, Claim Liability, Risk Free Discount Rate | 3.23% | 3.25% | |||||||||
Liquidation rates assumed | 100.00% | ||||||||||
United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | $ 266,855 | ||||||||||
Puerto Rico [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 4,786 | $ 5,053 | |||||||||
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 5,637 | 7,067 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 206 | [3] | 409 | [3] | 584 | ||||||
Net expected loss to be paid | (22) | 4 | |||||||||
Economic loss development after recoveries for R&W | $ 91 | 82 | |||||||||
Maximum number of payments behind to be considered performing borrower | Payment | 1 | ||||||||||
Expected future recoverable for breached representations and warranties | 79 | ||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | [4] | $ 6 | (79) | (317) | |||||||
Triple-X Life Insurance Transaction [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 2,057 | 2,750 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 54 | [3] | 99 | [3] | 161 | ||||||
Net expected loss to be paid | 0 | 0 | |||||||||
Economic loss development after recoveries for R&W | $ 22 | (11) | |||||||||
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 | ||||||||||
Student Loan [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | $ 1,400 | ||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 32 | ||||||||||
Economic loss development after recoveries for R&W | 14 | ||||||||||
Public Finance [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 271,179 | 321,443 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 904 | [3] | 809 | [3] | 348 | ||||||
Net expected loss to be paid | 42 | 85 | |||||||||
Economic loss development after recoveries for R&W | (269) | (405) | |||||||||
Public Finance [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 244,798 | [1] | 291,866 | [2] | |||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 871 | [3] | 771 | [3] | 303 | ||||||
Net expected loss to be paid | 40 | 81 | |||||||||
Economic loss development after recoveries for R&W | (276) | (416) | |||||||||
Public Finance [Member] | Puerto Rico [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Economic loss development after recoveries for R&W | (276) | ||||||||||
Public Finance Stockton General Fund [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 113 | ||||||||||
Non-Infrastructure Public Finance [Member] | Spain [Member] | Sovereign and Sub Sovereign [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 342 | ||||||||||
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 | 76 | ||||||||||
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 | 29 | ||||||||||
Economic loss development after recoveries for R&W | 7 | ||||||||||
Other structured finance [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 15,553 | 22,932 | |||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | 34 | [3] | 74 | [3] | 76 | ||||||
Net expected loss to be paid | 2 | 101 | |||||||||
Economic loss development after recoveries for R&W | 17 | 15 | |||||||||
Other Structured Finance and TruPS [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Economic loss development after recoveries for R&W | (3) | ||||||||||
BIG [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 13,074 | [1] | 15,183 | [2] | |||||||
BIG [Member] | Puerto Rico [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 4,800 | ||||||||||
BIG [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 3,151 | 3,973 | |||||||||
BIG [Member] | Triple-X Life Insurance Transaction [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | $ 126 | 216 | |||||||||
Number of transactions insured | Transaction | 2 | ||||||||||
BIG [Member] | Student Loan [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | $ 109 | ||||||||||
BIG [Member] | Public Finance [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 8,722 | 9,162 | |||||||||
BIG [Member] | Public Finance [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 7,380 | [1] | 7,784 | [2] | |||||||
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 | 236 | ||||||||||
BIG [Member] | Other structured finance [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 645 | 1,026 | |||||||||
BIG [Member] | Other Structured Finance and TruPS [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 966 | ||||||||||
First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Economic loss development after recoveries for R&W | $ 68 | 124 | |||||||||
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 | [4] | $ 53 | 0 | (232) | |||||||
First Lien [Member] | Base Scenario [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Final conditional default rate, shortened term | 12 months | ||||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | ||||||||||
Period from plateau to intermediate conditional default rate (in months) | 12 months | ||||||||||
Intermediate conditional default rate as a percentage of plateau conditional default rate | 20.00% | ||||||||||
Period of constant intermediate conditional default rate (in months) | 36 months | ||||||||||
Final conditional default rate as a percentage of plateau conditional default rate | 5.00% | ||||||||||
Projected loss assumptions, Final CDR, Period for voluntary prepayments to continue | 6 years 6 months | ||||||||||
Period for which estimated defaults are attributed to loans currently delinquent or in foreclosure | 36 months | ||||||||||
Projected loss assumptions, loss severity, subsequent period | 18 months | ||||||||||
Estimated loss severity rate, one through six months (as a percent) | 18 months | ||||||||||
Loss severity (as a percent) | 40.00% | ||||||||||
Projected loss assumptions, period to reach final loss severity rate | 2 years 6 months | ||||||||||
Current conditional prepayment rate used in alternate scenario for loss estimate (as a percent) | 15.00% | ||||||||||
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 | ||||||||||
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 | 46 | ||||||||||
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 | 8 | ||||||||||
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 | $ 27 | ||||||||||
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 | $ (0.1) | ||||||||||
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 | (25) | ||||||||||
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 | (22) | ||||||||||
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 | $ (13) | ||||||||||
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% | ||||||||||
Agreed reimbursement of R&W, number of transactions | Transaction | 3 | ||||||||||
Second Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Economic loss development after recoveries for R&W | $ 23 | $ (42) | |||||||||
Period from plateau to intermediate conditional default rate (in months) | 28 months | 28 months | |||||||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | 5 | |||||||||
Period of loan default estimate | 6 months | ||||||||||
Number of preceding months average liquidation rates used to estimate loan default rate | 6 months | ||||||||||
Monthly Delinquency Threshold, Period | 5 months | ||||||||||
Monthly delinquency, threshold period | 6 months | 6 months | |||||||||
Period of consistent CDR | 6 months | ||||||||||
Stress period (in months) | 34 months | 34 months | |||||||||
Loss recovery assumption | 2.00% | ||||||||||
Final CPR | 15.00% | ||||||||||
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 | [4] | $ (47) | $ (79) | $ (85) | |||||||
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 | $ 39 | ||||||||||
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 | ||||||||||
Period of constant conditional default rate (in months) | 4 months | ||||||||||
Ultimate prepayment rate | 10.00% | ||||||||||
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 | $ 23 | ||||||||||
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% | ||||||||||
Financial Guarantee Accounted for as Credit Derivatives [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | [5] | $ 10 | 16 | ||||||||
Economic loss development after recoveries for R&W | [6] | 17 | 82 | ||||||||
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 | [5] | 0 | 0 | ||||||||
Economic loss development after recoveries for R&W | [6] | 0 | 5 | ||||||||
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 | $ 20 | ||||||||||
Remaining principle amount after tender offer | 2 years | ||||||||||
Supreme Court Of The State Of New York Vs J.P. Morgan Investment Management Inc. [Member] | Triple-X Life Insurance Transaction [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | $ 423 | ||||||||||
CIFG Holding Inc. [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | 2,900 | ||||||||||
Net expected loss to be paid | 22 | $ 0 | |||||||||
CIFG Holding Inc. [Member] | Public Finance [Member] | United States [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net expected loss to be paid | $ 40 | ||||||||||
ACA 2005-2 Collateralized Debt Obligations [Member] | Credit Default Swap [Member] | CIFG Holding Inc. [Member] | CIFG Holdings Inc. vs JP Morgan Securities LLC [Member] | Financial Guarantee Accounted for as Credit Derivatives [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 400 | ||||||||||
Libertas II Collateralized Debt Obligations [Member] | Credit Default Swap [Member] | CIFG Holding Inc. [Member] | CIFG Holdings Inc. vs JP Morgan Securities LLC [Member] | Financial Guarantee Accounted for as Credit Derivatives [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 325 | ||||||||||
Class A-1 Note [Member] | Domestic Corporate Debt Securities [Member] | CIFG Holding Inc. [Member] | CIFG Holding Inc. vs Goldman, Sachs & Co [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | $ 325 | ||||||||||
Class A-2 Note [Member] | Domestic Corporate Debt Securities [Member] | CIFG Holding Inc. [Member] | CIFG Holding Inc. vs Goldman, Sachs & Co [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Purchased debt securities | $ 10 | ||||||||||
Positive Outcome of Litigation [Member] | CIFG Holding Inc. [Member] | CIFG Holding Inc. vs Goldman, Sachs & Co [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Litigation settlement | $ 2.5 | ||||||||||
Pending Litigation [Member] | CIFG Holding Inc. Vs. GreenPoint Mortgage Funding, Inc. [Member] | |||||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||||
Net par amount outstanding | $ 23 | $ 500 | |||||||||
[1] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | ||||||||||
[2] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. | ||||||||||
[3] | Includes expected LAE to be paid of $12 million as of December 31, 2016 and $12 million as of December 31, 2015. | ||||||||||
[4] | (1)The Company’s agreements with R&W providers generally provide that, as the Company makes claim payments, the R&W providers reimburse it for those claims; if the Company later receives reimbursement through the transaction (for example, from excess spread), the Company repays the R&W providers. See the section “Breaches of Representations and Warranties” for information about the R&W agreements. When the Company projects receiving more reimbursements in the future than it projects paying in claims on transactions covered by R&W settlement agreements, the Company will have a net R&W payable. | ||||||||||
[5] | Refer to Note 8, Contracts Accounted for as Credit Derivatives. | ||||||||||
[6] | Refer to Note 8, Contracts Accounted for as Credit Derivatives. |
Contracts Accounted for as In75
Contracts Accounted for as Insurance - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | |||
Guarantor Obligations [Line Items] | ||||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 2.74% | 2.37% | ||
Net par amount outstanding | $ 296,318 | [1] | $ 358,571 | [2] |
Variable Rate Demand Obligation [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Rate basis for bank bond rate | prime rate | |||
Bonds held by bank, minimum installment payment period | 5 years | |||
Minimum [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Financial Guarantee Insurance Contracts, Claim Liability, Risk Free Discount Rate | 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] | ||||
Financial Guarantee Insurance Contracts, Claim Liability, Risk Free Discount Rate | 3.23% | 3.25% | ||
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 | |||
Termination of Swap Obligation due to Rating Downgrade [Member] | Maximum [Member] | AGM [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Increase in losses as a result of an adverse outcome, minimum | $ 125 | |||
Termination of Swap Obligation due to Further Rating Downgrade [Member] | Maximum [Member] | AGM [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Increase in losses as a result of an adverse outcome, minimum | 291 | |||
Variable Rate Demand Obligation [Member] | AGM and AGC [Member] | ||||
Guarantor Obligations [Line Items] | ||||
Net par amount outstanding | 4,900 | |||
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 | 50.00% | 52.00% | ||
[1] | The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition. | |||
[2] | The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition. |
Contracts Accounted for as In76
Contracts Accounted for as Insurance - Net Earned Premiums (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||||||||||||
Scheduled net earned premiums | $ 381 | $ 416 | $ 415 | |||||||||||
Accelerations | ||||||||||||||
Refundings | 390 | 294 | 133 | |||||||||||
Terminations | 79 | 37 | 3 | |||||||||||
Total Accelerations | 469 | 331 | 136 | |||||||||||
Accretion of discount on net premiums receivable | 14 | 17 | 16 | |||||||||||
Financial guaranty insurance net earned premiums | 864 | 764 | 567 | |||||||||||
Other | 0 | 2 | 3 | |||||||||||
Net | $ 236 | $ 231 | $ 214 | $ 183 | $ 192 | $ 213 | $ 219 | $ 142 | 864 | [1] | 766 | [1] | 570 | [1] |
Variable Interest Entity, Primary Beneficiary [Member] | ||||||||||||||
Accelerations | ||||||||||||||
Net | $ 16 | $ 21 | $ 32 | |||||||||||
[1] | Excludes $16 million, $21 million and $32 million for the year ended December 31, 2016, 2015 and 2014, respectively, related to consolidated FG VIEs. |
Contracts Accounted for as In77
Contracts Accounted for as Insurance - Components of Unearned Premium Reserve (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | |
Insurance [Abstract] | |||
Deferred premium revenue, gross | $ 3,548 | $ 4,008 | |
Deferred premium revenue, ceded | 206 | 238 | |
Deferred premium revenue, net | [1] | 3,342 | 3,770 |
Contra-paid, gross | [2] | (37) | (12) |
Contra-paid, ceded | [2] | 0 | (6) |
Contra-paid, net | [1],[2] | (37) | (6) |
Unearned premium reserve, gross | 3,511 | 3,996 | |
Unearned premium reserve, ceded | 206 | 232 | |
Unearned premium reserve, net | [1] | 3,305 | 3,764 |
Total net unearned premium reserve related to FG VIE | 90 | 110 | |
Contra-paid related to FG VIE | $ 25 | $ 30 | |
[1] | Excludes $90 million and $110 million of deferred premium revenue and $25 million and $30 million of contra-paid related to FG VIEs as of December 31, 2016 and December 31, 2015, respectively. | ||
[2] | See "Financial Guaranty Insurance Losses – Insurance Contracts' Loss Information" below for an explanation of "contra-paid". |
Contracts Accounted for as In78
Contracts Accounted for as Insurance - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) - USD ($) $ in Millions | 12 Months Ended | |||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||||
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | ||||||
Beginning of period | $ 693 | [1] | $ 729 | [1] | $ 876 | |
Premiums receivable from acquisitions (see Note 2) | 18 | 2 | 0 | |||
Gross written premiums on new business, net of commissions on assumed business | 193 | 198 | 171 | |||
Gross premiums received, net of commissions on assumed business | (258) | (206) | (230) | |||
Adjustments: | ||||||
Changes in the expected term | (38) | (19) | (66) | |||
Accretion of discount, net of commissions on assumed business | 9 | 18 | 10 | |||
Foreign exchange translation | (41) | (25) | (31) | |||
Consolidation/deconsolidation of FG VIEs | 0 | (4) | (1) | |||
End of period | [1] | 576 | 693 | 729 | ||
Variable Interest Entity, Primary Beneficiary [Member] | ||||||
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | ||||||
Beginning of period | 17 | 19 | ||||
Adjustments: | ||||||
End of period | $ 11 | $ 17 | $ 19 | |||
[1] | (1)Excludes $11 million, $17 million and $19 million as of December 31, 2016 , 2015 and 2014, respectively, related to consolidated FG VIEs. |
Contracts Accounted for as In79
Contracts Accounted for as Insurance - Expected Collections of Gross Premiums Receivable Net of Commissions on Assumed Business (Details) $ in Millions | Dec. 31, 2016USD ($) | |
Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
2017 (January 1 – March 31) | $ 27 | |
2017 (April 1 – June 30) | 21 | |
2017 (July 1 – September 30) | 14 | |
2017 (October 1 – December 31) | 16 | |
2,018 | 58 | |
2,019 | 52 | |
2,020 | 50 | |
2,021 | 49 | |
2022-2026 | 179 | |
2027-2031 | 120 | |
2032-2036 | 80 | |
After 2,036 | 65 | |
Total | 731 | [1] |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial Guarantee Insurance Premiums [Line Items] | ||
Cash collections on FG VIEs | $ 13 | |
[1] | Excludes expected cash collections on FG VIEs of $13 million. |
Contracts Accounted for as In80
Contracts Accounted for as Insurance - Scheduled Net Earned Premiums Insurance Contracts (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | |
Financial Guarantee Insurance Premiums [Line Items] | |||
Deferred premium revenue, net | [1] | $ 3,342 | $ 3,770 |
Financial Guarantee Insurance Product Line [Member] | |||
Financial Guarantee Insurance Premiums [Line Items] | |||
2017 (January 1 – March 31) | 89 | ||
2017 (April 1 – June 30) | 87 | ||
2017 (July 1 – September 30) | 82 | ||
2017 (October 1 – December 31) | 80 | ||
Subtotal 2,017 | 338 | ||
2,018 | 304 | ||
2,019 | 268 | ||
2,020 | 243 | ||
2,021 | 223 | ||
2022-2026 | 856 | ||
2027-2031 | 545 | ||
2032-2036 | 315 | ||
After 2,036 | 250 | ||
Deferred premium revenue, net | [2] | 3,342 | |
Future accretion | 145 | ||
Total future net earned premiums | 3,487 | ||
Variable Interest Entity, Primary Beneficiary [Member] | |||
Financial Guarantee Insurance Premiums [Line Items] | |||
Deferred premium revenue, net | $ 90 | ||
[1] | Excludes $90 million and $110 million of deferred premium revenue and $25 million and $30 million of contra-paid related to FG VIEs as of December 31, 2016 and December 31, 2015, respectively. | ||
[2] | Excludes scheduled net earned premiums on consolidated FG VIEs of $90 million. |
Contracts Accounted for as In81
Contracts Accounted for as Insurance - Selected Information for Policies Paid In Installments (Details) - USD ($) $ in Millions | 12 Months Ended | ||||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | [1] | Dec. 31, 2013 | |||
Financial Guarantee Insurance Premiums [Line Items] | |||||||
Premiums receivable, net of commission payable | $ 576 | [1] | $ 693 | [1] | $ 729 | $ 876 | |
Financial Guarantee Policies Paid in Installments [Member] | |||||||
Financial Guarantee Insurance Premiums [Line Items] | |||||||
Premiums receivable, net of commission payable | 576 | 693 | |||||
Gross deferred premium revenue | $ 1,041 | $ 1,240 | |||||
Weighted-average risk-free rate used to discount premiums (as a percent) | 3.00% | 3.10% | |||||
Weighted-average period of premiums receivable (in years) | 9 years 1 month 24 days | 9 years 4 months 24 days | |||||
[1] | (1)Excludes $11 million, $17 million and $19 million as of December 31, 2016 , 2015 and 2014, respectively, related to consolidated FG VIEs. |
Contracts Accounted for as In82
Contracts Accounted for as Insurance - Deferred Acquisition Costs (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Movement Analysis of Deferred Policy Acquisition Costs [Roll Forward] | |||
Beginning of period | $ 114 | $ 121 | $ 124 |
DAC adjustments related to Radian Asset Acquisition on April 1, 2015 | 0 | 1 | 0 |
Costs deferred during the period: | |||
Commissions on assumed and ceded business | (2) | (1) | 7 |
Premium taxes | 4 | 2 | 3 |
Compensation and other acquisition costs | 9 | 11 | 10 |
Total | 11 | 12 | 20 |
Costs amortized during the period | (19) | (20) | (23) |
End of period | $ 106 | $ 114 | $ 121 |
Contracts Accounted for as In83
Contracts Accounted for as Insurance - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||
Loss and LAE Reserve, net | [1] | $ 1,047 | $ 998 |
Salvage and Subrogation Recoverable, net | [1] | 347 | 126 |
Net Reserve (Recoverable) | [1] | 700 | 872 |
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 | 1,046 | ||
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 | 1,111 | 1,072 | |
Salvage and Subrogation Recoverable, net | 347 | 126 | |
Net Reserve (Recoverable) | 764 | 946 | |
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 | (64) | (74) | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | (64) | (74) | |
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 | 732 | 629 | |
Salvage and Subrogation Recoverable, net | 86 | 7 | |
Net Reserve (Recoverable) | 646 | 622 | |
Triple-X 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 | 36 | 82 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 36 | 82 | |
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 | 60 | 99 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | 60 | 99 | |
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 | 379 | 443 | |
Salvage and Subrogation Recoverable, net | 262 | 116 | |
Net Reserve (Recoverable) | 117 | 327 | |
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 | 1,111 | 1,072 | |
Salvage and Subrogation Recoverable, net | 348 | 123 | |
Net Reserve (Recoverable) | 763 | 949 | |
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 | (1) | 3 | |
Net Reserve (Recoverable) | 1 | (3) | |
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 | 711 | 604 | |
Salvage and Subrogation Recoverable, net | 86 | 7 | |
Net Reserve (Recoverable) | 625 | 597 | |
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 | 283 | 262 | |
Salvage and Subrogation Recoverable, net | 262 | 116 | |
Net Reserve (Recoverable) | 21 | 146 | |
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 | 21 | 25 | |
Salvage and Subrogation Recoverable, net | 0 | 0 | |
Net Reserve (Recoverable) | $ 21 | $ 25 | |
[1] | See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. |
Contracts Accounted for as In84
Contracts Accounted for as Insurance - Components of Net Reserves (Salvage) Insurance Contracts (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | |
Insurance [Abstract] | |||
Loss and LAE reserve | $ 1,127 | $ 1,067 | |
Reinsurance recoverable on unpaid losses | (80) | (69) | |
Loss and LAE reserve, net | [1] | 1,047 | 998 |
Salvage and subrogation recoverable | (365) | (126) | |
Salvage and subrogation payable | [2] | 17 | 3 |
Other payable (recoverable) | 1 | (3) | |
Salvage and subrogation recoverable, net, and other recoverable | (347) | (126) | |
Net reserves (salvage) | $ 700 | $ 872 | |
[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. |
Contracts Accounted for as In85
Contracts Accounted for as Insurance - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | $ (1,198) | [1] | $ (1,391) | [1] | $ (1,169) | |
Contra-paid, net | [2],[3] | 37 | 6 | |||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | [4] | (1,047) | (998) | |||
Other recoverable (payable) | (1) | 3 | ||||
Net expected loss to be expensed (present value) | 421 | |||||
Variable Interest Entity, Primary Beneficiary [Member] | ||||||
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be expensed (present value) | 64 | |||||
Financial Guarantee Insurance And Other Product Line [Member] | ||||||
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be paid (recovered) after recoveries for R&W | [5] | 1,083 | ||||
Contra-paid, net | 37 | |||||
Salvage and subrogation recoverable, net of reinsurance | 348 | |||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (1,046) | |||||
Other recoverable (payable) | (1) | |||||
Net expected loss to be expensed (present value) | [6] | 421 | ||||
Financial Guarantee Insurance And Other Product Line [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||||||
Guarantor Obligations [Line Items] | ||||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | $ 64 | $ 74 | ||||
[1] | Includes expected LAE to be paid of $12 million as of December 31, 2016 and $12 million as of December 31, 2015. | |||||
[2] | Excludes $90 million and $110 million of deferred premium revenue and $25 million and $30 million of contra-paid related to FG VIEs as of December 31, 2016 and December 31, 2015, 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] | See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid. | |||||
[6] | Excludes $64 million as of December 31, 2016 related to consolidated FG VIEs. |
Contracts Accounted for as In86
Contracts Accounted for as Insurance - Net Expected Loss to be Expensed Insurance Contracts (Details) $ in Millions | Dec. 31, 2016USD ($) |
Insurance [Abstract] | |
2017 (January 1 – March 31) | $ 8 |
2017 (April 1 – June 30) | 10 |
2017 (July 1 – September 30) | 8 |
2017 (October 1 – December 31) | 9 |
Subtotal 2,017 | 35 |
2,018 | 34 |
2,019 | 32 |
2,020 | 32 |
2,021 | 28 |
2022-2026 | 117 |
2027-2031 | 82 |
2032-2036 | 44 |
After 2,036 | 17 |
Net expected loss to be expensed | 421 |
Future accretion | 373 |
Total expected future loss and LAE | $ 794 |
Contracts Accounted for as In87
Contracts Accounted for as Insurance - Loss and LAE Reported on the Statements of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | $ 112 | $ (9) | $ 102 | $ 90 | $ 106 | $ 112 | $ 188 | $ 18 | $ 295 | $ 424 | $ 126 |
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 | 302 | 452 | 156 | ||||||||
Variable Interest Entity, Primary Beneficiary [Member] | |||||||||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | |||||||||||
Loss and LAE | (7) | (28) | (30) | ||||||||
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 | 304 | 393 | 191 | ||||||||
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 | 307 | 392 | 192 | ||||||||
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 | (3) | 1 | (1) | ||||||||
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 | 37 | 54 | (129) | ||||||||
Triple-X 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 | (22) | 16 | 85 | ||||||||
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 | (17) | (11) | 9 | ||||||||
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 | $ (2) | $ 59 | $ (35) |
Contracts Accounted for as In88
Contracts Accounted for as Insurance - BIG Transaction Loss Summary (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016USD ($)risk | Dec. 31, 2015USD ($)risk | ||
Discount | |||
Total | $ (373) | ||
Reserves (salvage) | |||
Total | $ 700 | $ 872 | |
BIG [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[2],[3] | 392 | 419 |
Remaining weighted average contract period | |||
Total (in years) | 10 years 1 month 2 days | 10 years 8 months 4 days | |
Principal | |||
Total | [3] | $ 12,101 | $ 13,574 |
Interest | |||
Total | 6,279 | 7,419 | |
Total net outstanding exposure | |||
Total | [4] | 18,380 | 20,993 |
Expected cash outflows (inflows) | |||
Total | 2,515 | 2,510 | |
Potential recoveries | |||
Total, Undiscounted R&W | 54 | (54) | |
Total, Other | [5] | (1,113) | (985) |
Total | (1,059) | (1,039) | |
Subtotal | |||
Total | 1,456 | 1,471 | |
Discount | |||
Total | (373) | (232) | |
Present value of expected cash flows | |||
Net expected loss to be paid | 1,083 | 1,239 | |
Deferred premium revenue | |||
Total | 726 | 734 | |
Reserves (salvage) | |||
Total | $ 699 | $ 857 | |
BIG [Member] | BIG 1 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[3] | 165 | 202 |
Principal | |||
Total | [3] | $ 3,861 | $ 7,019 |
BIG [Member] | BIG 2 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[3] | 79 | 85 |
Principal | |||
Total | [3] | $ 3,857 | $ 3,655 |
BIG [Member] | BIG 3 [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [1],[3] | 148 | 132 |
Principal | |||
Total | [3] | $ 4,383 | $ 2,900 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | |||
Number of risks | |||
Total (in contracts) | risk | [2] | 392 | 419 |
Remaining weighted average contract period | |||
Total (in years) | 10 years 1 month 2 days | 10 years 8 months 4 days | |
Principal | |||
Total | $ 12,101 | $ 13,574 | |
Interest | |||
Total | 6,279 | 7,419 | |
Total net outstanding exposure | |||
Total | [4] | 18,380 | 20,993 |
Expected cash outflows (inflows) | |||
Total | 2,841 | 2,853 | |
Potential recoveries | |||
Total, Undiscounted R&W | 54 | (61) | |
Total, Other | [5] | (1,311) | (1,167) |
Total | (1,257) | (1,228) | |
Subtotal | |||
Total | 1,584 | 1,625 | |
Discount | |||
Total | (397) | (266) | |
Present value of expected cash flows | |||
Net expected loss to be paid | 1,187 | 1,359 | |
Deferred premium revenue | |||
Total | 812 | 834 | |
Reserves (salvage) | |||
Total | $ 763 | $ 931 | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 1 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [2] | (35) | (46) |
Total (in contracts) | risk | [2] | 165 | 202 |
Remaining weighted average contract period | |||
Gross (in years) | 8 years 7 months 2 days | 10 years | |
Ceded (in years) | 7 years | 8 years 8 months 4 days | |
Principal | |||
Gross | $ 4,187 | $ 7,751 | |
Ceded | (326) | (732) | |
Interest | |||
Gross | 1,932 | 4,109 | |
Ceded | (140) | (354) | |
Total net outstanding exposure | |||
Gross | [4] | 6,119 | 11,860 |
Ceded | [4] | (466) | (1,086) |
Expected cash outflows (inflows) | |||
Gross | 172 | 386 | |
Ceded | (19) | (42) | |
Total | (207) | 105 | |
Potential recoveries | |||
Gross, Undiscounted R&W | 120 | 69 | |
Ceded, Undiscounted R&W | (3) | (2) | |
Gross, Other | [5] | (560) | (372) |
Ceded, Other | [5] | 26 | 12 |
Gross | (440) | (303) | |
Ceded | 23 | 10 | |
Subtotal | |||
Gross | (268) | 83 | |
Ceded | 4 | (32) | |
Discount | |||
Gross | 61 | 22 | |
Ceded | (4) | 5 | |
Present value of expected cash flows | |||
Ceded | 0 | (27) | |
Deferred premium revenue | |||
Gross | 131 | 371 | |
Ceded | (5) | (37) | |
Reserves (salvage) | |||
Gross | (255) | 2 | |
Ceded | $ 5 | $ (19) | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 2 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [2] | (11) | (13) |
Total (in contracts) | risk | [2] | 79 | 85 |
Remaining weighted average contract period | |||
Gross (in years) | 13 years 2 months 4 days | 13 years 9 months 6 days | |
Ceded (in years) | 10 years 6 months | 9 years 6 months | |
Principal | |||
Gross | $ 4,273 | $ 3,895 | |
Ceded | (416) | (240) | |
Interest | |||
Gross | 2,926 | 2,805 | |
Ceded | (219) | (110) | |
Total net outstanding exposure | |||
Gross | [4] | 7,199 | 6,700 |
Ceded | [4] | (635) | (350) |
Expected cash outflows (inflows) | |||
Gross | 1,404 | 1,158 | |
Ceded | (86) | (60) | |
Total | 903 | 705 | |
Potential recoveries | |||
Gross, Undiscounted R&W | (2) | (49) | |
Ceded, Undiscounted R&W | 0 | 1 | |
Gross, Other | [5] | (144) | (167) |
Ceded, Other | [5] | 4 | 8 |
Gross | (146) | (216) | |
Ceded | 4 | 9 | |
Subtotal | |||
Gross | 1,258 | 942 | |
Ceded | (82) | (51) | |
Discount | |||
Gross | (355) | (237) | |
Ceded | 19 | 11 | |
Present value of expected cash flows | |||
Ceded | (63) | (40) | |
Deferred premium revenue | |||
Gross | 246 | 150 | |
Ceded | (6) | (4) | |
Reserves (salvage) | |||
Gross | 738 | 591 | |
Ceded | $ (58) | $ (38) | |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 3 [Member] | |||
Number of risks | |||
Ceded (in contracts) | risk | [2] | (49) | (44) |
Total (in contracts) | risk | [2] | 148 | 132 |
Remaining weighted average contract period | |||
Gross (in years) | 8 years 1 month 2 days | 7 years 8 months 4 days | |
Ceded (in years) | 6 years | 5 years 10 months 8 days | |
Principal | |||
Gross | $ 4,703 | $ 3,087 | |
Ceded | (320) | (187) | |
Interest | |||
Gross | 1,867 | 1,011 | |
Ceded | (87) | (42) | |
Total net outstanding exposure | |||
Gross | [4] | 6,570 | 4,098 |
Ceded | [4] | (407) | (229) |
Expected cash outflows (inflows) | |||
Gross | 1,435 | 1,464 | |
Ceded | (65) | (53) | |
Total | 578 | 734 | |
Potential recoveries | |||
Gross, Undiscounted R&W | (62) | (85) | |
Ceded, Undiscounted R&W | 1 | 5 | |
Gross, Other | [5] | (681) | (672) |
Ceded, Other | [5] | 44 | 24 |
Gross | (743) | (757) | |
Ceded | 45 | 29 | |
Subtotal | |||
Gross | 692 | 707 | |
Ceded | (20) | (24) | |
Discount | |||
Gross | (114) | 27 | |
Ceded | (4) | (94) | |
Present value of expected cash flows | |||
Ceded | (24) | (118) | |
Deferred premium revenue | |||
Gross | 476 | 386 | |
Ceded | (30) | (32) | |
Reserves (salvage) | |||
Gross | 343 | 404 | |
Ceded | (10) | (9) | |
BIG [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Expected cash outflows (inflows) | |||
Total | (326) | (343) | |
Potential recoveries | |||
Total, Undiscounted R&W | 0 | 7 | |
Total, Other | [5] | 198 | 182 |
Total | 198 | 189 | |
Subtotal | |||
Total | (128) | (154) | |
Discount | |||
Total | 24 | 34 | |
Present value of expected cash flows | |||
Net expected loss to be paid | (104) | (120) | |
Deferred premium revenue | |||
Total | (86) | (100) | |
Reserves (salvage) | |||
Total | $ (64) | $ (74) | |
[1] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. | ||
[2] | 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. | ||
[3] | Includes net par outstanding for VIEs. | ||
[4] | Includes BIG amounts related to FG VIEs. | ||
[5] | Includes excess spread. |
Fair Value Measurement - Measur
Fair Value Measurement - Measured and Carried at Fair Value (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016USD ($)Securitysource | Dec. 31, 2015USD ($) | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Percentage of CDS contracts which are fair valued using minimum premium | 26.00% | 20.00% | |
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] | 7.00% | 13.00% |
Based on market indices [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Gross spread percentage | [1] | 77.00% | 73.00% |
Provided by the CDS counterparty [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Gross spread percentage | [1] | 16.00% | 14.00% |
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 | $ 52 | $ 53 | |
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 | 80 | ||
Fixed maturity securities | $ 1,269 | ||
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) | 1.00% | 0.44% | |
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) | 2.55% | 2.51% | |
Available-for-Sale Debt Securities and Short Term Investments [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||
Percentage of fixed maturity securities valued using model processes to the Company's fixed-income securities and short-term investments at fair value | 11.70% | ||
[1] | Based on par. |
Fair Value Measurement - Financ
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | |
Assets: | |||
Fixed-maturity securities | $ 10,823 | $ 11,023 | |
Other invested assets | 162 | 169 | |
Credit derivative assets | 13 | 81 | |
Liabilities: | |||
Credit derivative liabilities | 402 | 446 | |
Investment funds measured using Net Asset Value excluded from fair value hierarchy | 48 | 45 | |
Recurring [Member] | |||
Assets: | |||
Other invested assets | [1] | 8 | 12 |
Credit derivative assets | 13 | 81 | |
FG VIEs’ assets, at fair value | 876 | 1,261 | |
Other assets | 114 | 106 | |
Total assets carried at fair value | 11,834 | 12,483 | |
Liabilities: | |||
Credit derivative liabilities | 402 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 807 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 151 | 124 | |
Total liabilities carried at fair value | 1,360 | 1,795 | |
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 | |
Other assets | 24 | 23 | |
Total assets carried at fair value | 343 | 328 | |
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] | 0 | 5 |
Credit derivative assets | 0 | 0 | |
FG VIEs’ assets, at fair value | 0 | 0 | |
Other assets | 28 | 21 | |
Total assets carried at fair value | 9,263 | 9,600 | |
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] | 8 | 7 |
Credit derivative assets | 13 | 81 | |
FG VIEs’ assets, at fair value | 876 | 1,261 | |
Other assets | 62 | 62 | |
Total assets carried at fair value | 2,228 | 2,555 | |
Liabilities: | |||
Credit derivative liabilities | 402 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 807 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 151 | 124 | |
Total liabilities carried at fair value | 1,360 | 1,795 | |
Fixed Maturities [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,233 | 10,627 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,432 | 5,841 | |
Fixed Maturities [Member] | US Treasury and Government [Member] | |||
Assets: | |||
Fixed-maturity securities | 440 | 400 | |
Fixed Maturities [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,613 | 1,520 | |
Fixed Maturities [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||
Assets: | |||
Fixed-maturity securities | [2] | 987 | 1,245 |
Fixed Maturities [Member] | Commercial Mortgage Backed Securities (CMBS) [Member] | |||
Assets: | |||
Fixed-maturity securities | [2] | 583 | 513 |
Fixed Maturities [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 945 | 825 | |
Fixed Maturities [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 233 | 283 | |
Fixed Maturities [Member] | Recurring [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,233 | 10,627 | |
Fixed Maturities [Member] | Recurring [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,432 | 5,841 | |
Fixed Maturities [Member] | Recurring [Member] | US Treasury and Government [Member] | |||
Assets: | |||
Fixed-maturity securities | 440 | 400 | |
Fixed Maturities [Member] | Recurring [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,613 | 1,520 | |
Fixed Maturities [Member] | Recurring [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||
Assets: | |||
Fixed-maturity securities | 987 | 1,245 | |
Fixed Maturities [Member] | Recurring [Member] | Commercial Mortgage Backed Securities (CMBS) [Member] | |||
Assets: | |||
Fixed-maturity securities | 583 | 513 | |
Fixed Maturities [Member] | Recurring [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 945 | 825 | |
Fixed Maturities [Member] | Recurring [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 233 | 283 | |
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 | 8,964 | 9,543 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 5,393 | 5,833 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | US Treasury and Government [Member] | |||
Assets: | |||
Fixed-maturity securities | 440 | 400 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Corporate securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,553 | 1,449 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||
Assets: | |||
Fixed-maturity securities | 622 | 897 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Commercial Mortgage Backed Securities (CMBS) [Member] | |||
Assets: | |||
Fixed-maturity securities | 583 | 513 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Asset-backed Securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 140 | 168 | |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Foreign government securities [Member] | |||
Assets: | |||
Fixed-maturity securities | 233 | 283 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | |||
Assets: | |||
Fixed-maturity securities | 1,269 | 1,084 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Obligations of state and political subdivisions [Member] | |||
Assets: | |||
Fixed-maturity securities | 39 | 8 | |
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 | 60 | 71 | |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||
Assets: | |||
Fixed-maturity securities | 365 | 348 | |
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 | 805 | 657 | |
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 | 590 | 396 | |
Short-term Investments [Member] | Recurring [Member] | |||
Assets: | |||
Fixed-maturity securities | 590 | 396 | |
Short-term Investments [Member] | Recurring [Member] | Level 1 [Member] | |||
Assets: | |||
Fixed-maturity securities | 319 | 305 | |
Short-term Investments [Member] | Recurring [Member] | Level 2 [Member] | |||
Assets: | |||
Fixed-maturity securities | 271 | 31 | |
Short-term Investments [Member] | Recurring [Member] | Level 3 [Member] | |||
Assets: | |||
Fixed-maturity securities | $ 0 | $ 60 | |
[1] | Excluded from the table above are investments funds of $48 million and $45 million as of December 31, 2016 and December 31, 2015, respectively, measured using NAV per share. Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. | ||
[2] | Government-agency obligations were approximately 42% of mortgage backed securities as of December 31, 2016 and 54% as of December 31, 2015 based on fair value. |
- Fair Value Level 3 Rollforwar
- Fair Value Level 3 Rollforward Recurring Basis (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | |||
Short-term Investments [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | $ 60 | $ 0 | ||
CIFG Acquisition | 0 | 0 | ||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [1],[2] | 0 | 24 | |
Other comprehensive income (loss) | [2] | 0 | 0 | |
Purchases | 0 | 52 | [3] | |
Settlements | (60) | (16) | ||
FG VIE consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers into Level 3 | 0 | |||
Fair value at end of period | 0 | 60 | ||
Change in unrealized gains/(losses) related to financial instruments held | 0 | 0 | ||
FG VIEs' assets, at fair value [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 1,261 | 1,398 | ||
CIFG Acquisition | 0 | 122 | ||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [2],[4] | 167 | 59 | |
Other comprehensive income (loss) | [2] | 0 | 0 | |
Purchases | 0 | 0 | ||
Settlements | (629) | (400) | ||
FG VIE consolidations | 97 | 104 | ||
FG VIE deconsolidations | (20) | (22) | ||
Transfers into Level 3 | 0 | |||
Fair value at end of period | 876 | 1,261 | ||
Change in unrealized gains/(losses) related to financial instruments held | 93 | 110 | ||
Other Assets and Other Invested Assets [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | [5] | 65 | 37 | |
CIFG Acquisition | [5] | 0 | 2 | |
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [2],[5],[6] | 0 | 26 | |
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 | |
Transfers into Level 3 | [5] | 0 | ||
Fair value at end of period | [5] | 65 | 65 | |
Change in unrealized gains/(losses) related to financial instruments held | [5] | 0 | 26 | |
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 8 | 38 | ||
CIFG Acquisition | 1 | 0 | ||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [1],[2] | 2 | 3 | |
Other comprehensive income (loss) | [2] | (4) | (2) | |
Purchases | 33 | 0 | ||
Settlements | (1) | (31) | [3] | |
FG VIE consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers into Level 3 | 0 | |||
Fair value at end of period | 39 | 8 | ||
Change in unrealized gains/(losses) related to financial instruments held | (4) | 0 | ||
Corporate securities [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 71 | 79 | ||
CIFG Acquisition | 0 | 0 | ||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [1],[2] | (16) | 3 | |
Other comprehensive income (loss) | [2] | 5 | (11) | |
Purchases | 0 | 0 | ||
Settlements | 0 | 0 | ||
FG VIE consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers into Level 3 | 0 | |||
Fair value at end of period | 60 | 71 | ||
Change in unrealized gains/(losses) related to financial instruments held | 5 | (11) | ||
Residential Mortgage-Backed Securities (RMBS) [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 348 | 425 | ||
CIFG Acquisition | 20 | 4 | ||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [1],[2] | 10 | 18 | |
Other comprehensive income (loss) | [2] | (13) | (12) | |
Purchases | 70 | 48 | ||
Settlements | (70) | (134) | ||
FG VIE consolidations | 0 | (1) | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers into Level 3 | 0 | |||
Fair value at end of period | 365 | 348 | ||
Change in unrealized gains/(losses) related to financial instruments held | (15) | (9) | ||
Asset-backed Securities [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 657 | 228 | ||
CIFG Acquisition | 36 | 0 | ||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [1],[2] | 51 | 1 | |
Other comprehensive income (loss) | [2] | 116 | (9) | |
Purchases | 76 | 471 | ||
Settlements | (139) | (34) | ||
FG VIE consolidations | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers into Level 3 | 8 | |||
Fair value at end of period | 805 | 657 | ||
Change in unrealized gains/(losses) related to financial instruments held | 116 | (9) | ||
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 | (1,225) | (1,277) | ||
CIFG Acquisition | 0 | (114) | ||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [2],[4] | (125) | 111 | |
Other comprehensive income (loss) | [2] | 0 | 0 | |
Purchases | 0 | 0 | ||
Settlements | 597 | 186 | ||
FG VIE consolidations | (54) | (131) | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers into Level 3 | 0 | |||
Fair value at end of period | (807) | (1,225) | ||
Change in unrealized gains/(losses) related to financial instruments held | (12) | 4 | ||
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 | (124) | (142) | ||
CIFG Acquisition | 0 | (4) | ||
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [2],[4] | (18) | (28) | |
Other comprehensive income (loss) | [2] | 0 | 0 | |
Purchases | 0 | 0 | ||
Settlements | 14 | 28 | ||
FG VIE consolidations | (43) | 0 | ||
FG VIE deconsolidations | 20 | 22 | ||
Transfers into Level 3 | 0 | |||
Fair value at end of period | (151) | (124) | ||
Change in unrealized gains/(losses) related to financial instruments held | (17) | (22) | ||
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] | (365) | (895) | |
CIFG Acquisition | [7] | (67) | (215) | |
Total pretax realized and unrealized gains/(losses) recorded in: | ||||
Net income (loss) | [2],[7],[8] | 74 | 728 | |
Other comprehensive income (loss) | [2],[7] | 0 | 0 | |
Purchases | [7] | 0 | 0 | |
Settlements | [7] | (31) | 17 | |
FG VIE consolidations | [7] | 0 | 0 | |
FG VIE deconsolidations | [7] | 0 | 0 | |
Transfers into Level 3 | [7] | 0 | ||
Fair value at end of period | [7] | (389) | (365) | |
Change in unrealized gains (losses) related to financial instruments held | [7] | $ (33) | $ 281 | |
[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), net investment income and other 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 and other income. |
- Quantitative Information - As
- Quantitative Information - Assets (Details) - Income Approach Valuation Technique [Member] - Level 3 [Member] - USD ($) $ in Millions | 12 Months Ended | ||||
Dec. 31, 2016 | Dec. 31, 2015 | ||||
Obligations of state and political subdivisions [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 39 | [1],[2] | $ 8 | ||
Obligations of state and political subdivisions [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 4.30% | |||
Obligations of state and political subdivisions [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 22.80% | |||
Obligations of state and political subdivisions [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 11.10% | |||
Corporate securities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 60 | [1],[2] | $ 71 | [3],[4],[5] | |
Yield (as a percent) | 20.10% | [1],[2] | 21.80% | [3],[4],[5] | |
Residential Mortgage-Backed Securities (RMBS) [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 365 | [1],[2] | $ 348 | [3],[4],[5] | |
Residential Mortgage-Backed Securities (RMBS) [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 3.30% | [1],[2] | 4.70% | [3],[4],[5] | |
Conditional prepayment rate (as a percent) | 1.60% | [1],[2] | 0.30% | [3],[4],[5] | |
Conditional default rate (as a percent) | 1.50% | [1],[2] | 2.70% | [3],[4],[5] | |
Loss severity rate (as a percent) | 30.00% | [1],[2] | 60.00% | [3],[4],[5] | |
Residential Mortgage-Backed Securities (RMBS) [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 9.70% | [1],[2] | 8.20% | [3],[4],[5] | |
Conditional prepayment rate (as a percent) | 17.00% | [1],[2] | 9.00% | [3],[4],[5] | |
Conditional default rate (as a percent) | 10.10% | [1],[2] | 9.30% | [3],[4],[5] | |
Loss severity rate (as a percent) | 100.00% | [1],[2] | 100.00% | [3],[4],[5] | |
Residential Mortgage-Backed Securities (RMBS) [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 6.00% | [1],[2] | 6.00% | [3],[4],[5] | |
Conditional prepayment rate (as a percent) | 4.60% | [1],[2] | 2.60% | [3],[4],[5] | |
Conditional default rate (as a percent) | 6.70% | [1],[2] | 7.00% | [3],[4],[5] | |
Loss severity rate (as a percent) | 77.80% | [1],[2] | 74.00% | [3],[4],[5] | |
Triple-X Life Insurance Transaction [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 425 | [1],[2] | $ 329 | [3],[5] | |
Yield (as a percent) | [3],[5] | 3.50% | |||
Triple-X Life Insurance Transaction [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 5.70% | |||
Triple-X Life Insurance Transaction [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 6.00% | [1],[2] | 7.50% | [3],[5] | |
Triple-X Life Insurance Transaction [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 5.80% | [1],[2] | 5.00% | [3],[5] | |
Pooled corporate obligations [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 332 | [1],[2] | $ 259 | [3],[5] | |
Yield (as a percent) | 10.00% | [1],[2] | 20.00% | [3],[5] | |
Collateralized Loan Obligations And TruPS [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1],[2] | $ 19 | |||
Collateralized Loan Obligations And TruPS [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 1.50% | |||
Collateralized Loan Obligations And TruPS [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 4.80% | |||
Collateralized Loan Obligations And TruPS [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | [1],[2] | 3.10% | |||
Other Asset Backed Securities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [1],[2] | $ 29 | |||
Yield (as a percent) | [1],[2] | 7.20% | |||
Short-term Investments [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [3],[5] | $ 60 | |||
Yield (as a percent) | [3],[5] | 17.00% | |||
Other invested assets [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 8 | $ 7 | |||
Financial Guaranty Variable Interest Entities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 876 | [1],[2] | $ 1,261 | [3],[5] | |
Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 2.90% | [1],[2] | 1.90% | [3],[5] | |
Conditional prepayment rate (as a percent) | 3.50% | [1],[2] | 0.30% | [3],[5] | |
Conditional default rate (as a percent) | 2.50% | [1],[2] | 1.20% | [3],[5] | |
Loss severity rate (as a percent) | 35.00% | [1],[2] | 40.00% | [3],[5] | |
Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 20.00% | [1],[2] | 20.00% | [3],[5] | |
Conditional prepayment rate (as a percent) | 12.00% | [1],[2] | 9.20% | [3],[5] | |
Conditional default rate (as a percent) | 21.60% | [1],[2] | 16.00% | [3],[5] | |
Loss severity rate (as a percent) | 100.00% | [1],[2] | 100.00% | [3],[5] | |
Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 6.50% | [1],[2] | 6.40% | [3],[5] | |
Conditional prepayment rate (as a percent) | 7.80% | [1],[2] | 3.90% | [3],[5] | |
Conditional default rate (as a percent) | 5.70% | [1],[2] | 4.70% | [3],[5] | |
Loss severity rate (as a percent) | 78.60% | [1],[2] | 85.90% | [3],[5] | |
Other Assets [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | $ 62 | [1],[2] | $ 62 | [3],[5] | |
Fair Value Inputs Term | 10 years | [1],[2] | 5 years | [3],[5] | |
Other Assets [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 4.50% | [1],[2] | 5.50% | [3],[5] | |
Other Assets [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 5.10% | [1],[2] | 6.40% | [3],[5] | |
Other Assets [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield (as a percent) | 4.80% | [1],[2] | 5.90% | [3],[5] | |
Investor-owned utilities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Asset, fair value | [3],[5] | $ 69 | |||
Discount factor (as a percent) | [3],[5] | 7.00% | |||
Investor-owned utilities [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Cash flow receipts (as a percent) | [3],[5] | 100.00% | |||
Collateral recovery period (in years) | [3],[5] | 2 years 10 months 24 days | |||
[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 $8 million. | ||||
[3] | Discounted cash flow is used as valuation technique for all financial instruments. | ||||
[4] | Excludes obligations of state and political subdivisions investments with fair value of $8 million. | ||||
[5] | 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, 2016 | [1] | Dec. 31, 2015 | [2] | |
Credit derivative liabilities, net [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Total liabilities carried at fair value | $ (389) | $ (365) | ||
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% | 0.038% | ||
Hedge cost (as a percent) | 0.072% | 0.328% | ||
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) | 8.25% | 10.175% | ||
Hedge cost (as a percent) | 1.181% | 2.82% | ||
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) | 38.00% | 41.00% | ||
Credit derivative liabilities, net [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Internal floor (as a percent) | 0.139% | 0.168% | ||
Bank profit (as a percent) | 0.618% | 1.108% | ||
Hedge cost (as a percent) | 0.245% | 0.663% | ||
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) | 1.30% | 0.60% | ||
Financial Guaranty Variable Interest Entities [Member] | Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Total liabilities carried at fair value | $ (958) | $ (1,349) | ||
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) | 35.00% | 40.00% | ||
Conditional default rate (as a percent) | 2.50% | 1.20% | ||
Conditional prepayment rate (as a percent) | 3.50% | 0.30% | ||
Yield (as a percent) | 2.40% | 1.90% | ||
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) | 21.60% | 16.00% | ||
Conditional prepayment rate (as a percent) | 12.00% | 9.20% | ||
Yield (as a percent) | 20.00% | 20.00% | ||
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) | 78.60% | 85.90% | ||
Conditional default rate (as a percent) | 5.70% | 4.70% | ||
Conditional prepayment rate (as a percent) | 7.80% | 3.90% | ||
Yield (as a percent) | 5.00% | 5.60% | ||
[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, 2016 | Dec. 31, 2015 | |
Assets: | |||
Fixed-maturity securities | $ 10,823 | $ 11,023 | |
Short-term investments | 590 | 396 | |
Other invested assets | 162 | 169 | |
Credit derivative assets | 13 | 81 | |
Liabilities: | |||
Credit derivative liabilities | 402 | 446 | |
Other invested assets | 93 | 93 | |
Carrying Amount [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,233 | 10,627 | |
Short-term investments | 590 | 396 | |
Other invested assets | [1] | 146 | 150 |
Credit derivative assets | 13 | 81 | |
FG VIEs’ assets, at fair value | 876 | 1,261 | |
Other assets | 205 | 206 | |
Liabilities: | |||
Financial guaranty insurance contracts | [2] | 3,483 | 3,998 |
Long-term debt | 1,306 | 1,300 | |
Credit derivative liabilities | 402 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 807 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 151 | 124 | |
Other liabilities | 12 | 9 | |
Estimated Fair Value [Member] | |||
Assets: | |||
Fixed-maturity securities | 10,233 | 10,627 | |
Short-term investments | 590 | 396 | |
Other invested assets | [1] | 147 | 152 |
Credit derivative assets | 13 | 81 | |
FG VIEs’ assets, at fair value | 876 | 1,261 | |
Other assets | 205 | 206 | |
Liabilities: | |||
Financial guaranty insurance contracts | [2] | 8,738 | 8,712 |
Long-term debt | 1,546 | 1,512 | |
Credit derivative liabilities | 402 | 446 | |
FG VIEs’ liabilities with recourse, at fair value | 807 | 1,225 | |
FG VIEs’ liabilities without recourse, at fair value | 151 | 124 | |
Other liabilities | $ 12 | $ 9 | |
[1] | Includes investments not carried at fair value with a carrying value of $93 million and $93 million as of December 31, 2016 and December 31, 2015, respectively. Excludes investments carried under the equity method. | ||
[2] | Carrying amount includes the assets and liabilities related to financial guaranty insurance contract premiums, losses, and salvage and subrogation and other recoverables net of reinsurance. |
Contracts Accounted for as Cr95
Contracts Accounted for as Credit Derivatives - Credit Derivatives Subordination and Ratings (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | |
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | [1] | $ 16,997 | $ 25,594 |
Pooled corporate obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | 10,425 | 17,523 | |
Pooled corporate obligations [Member] | Collateralized Loan Obligations and Collateral Bond Obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | 2,022 | 5,873 | |
Pooled corporate obligations [Member] | Synthetic investment grade pooled corporate [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | 7,224 | 7,108 | |
Pooled corporate obligations [Member] | TruPS CDOs [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | 1,179 | 3,429 | |
Pooled corporate obligations [Member] | Market Value of CDOs of corporate obligations [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | 0 | 1,113 | |
Residential Mortgage-Backed Securities (RMBS) [Member] | United States [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | 1,142 | 1,526 | |
Commercial Mortgage Backed Securities (CMBS) [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | 0 | 530 | |
Other [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | 5,430 | $ 6,015 | |
CIFG Holding Inc. [Member] | |||
Net Par Outstanding on Credit Derivatives | |||
Net Par Outstanding | $ 1,700 | ||
[1] | The December 31, 2016 total amount includes $1.7 billion net par outstanding of credit derivatives from CIFG Acquisition. |
Contracts Accounted for as Cr96
Contracts Accounted for as Credit Derivatives - Distribution of Credit Derivative Net Par Outstanding by Internal Rating (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | ||
Credit Derivatives | |||
Net Par Outstanding | [1] | $ 16,997 | $ 25,594 |
BIG [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | 973 | 1,609 | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 16,997 | $ 25,594 | |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 100.00% | 100.00% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, AAA [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 10,967 | $ 14,808 | |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 64.60% | 57.90% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, AA [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 2,167 | $ 4,821 | |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 12.70% | 18.80% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, A [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 1,499 | $ 2,144 | |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 8.80% | 8.40% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, BBB [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 1,391 | $ 2,212 | |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 8.20% | 8.60% | |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | BIG [Member] | |||
Credit Derivatives | |||
Net Par Outstanding | $ 973 | $ 1,609 | |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 5.70% | 6.30% | |
[1] | The December 31, 2016 total amount includes $1.7 billion net par outstanding of credit derivatives from CIFG Acquisition. |
Contracts Accounted for as Cr97
Contracts Accounted for as Credit Derivatives - Net Change in Fair Value of Credit Derivatives Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Credit Derivatives | |||||||||||
Realized gains on credit derivatives | $ 56 | $ 63 | $ 73 | ||||||||
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | (27) | (81) | (50) | ||||||||
Realized gains (losses) and other settlements | 29 | (18) | 23 | ||||||||
Net change in unrealized gains (losses) on credit derivatives | 69 | 746 | 800 | ||||||||
Net change in fair value of credit derivatives | $ 74 | $ 21 | $ 63 | $ (60) | $ 428 | $ 86 | $ 90 | $ 124 | 98 | 728 | 823 |
Pooled corporate obligations [Member] | |||||||||||
Credit Derivatives | |||||||||||
Net change in unrealized gains (losses) on credit derivatives | (16) | 147 | (18) | ||||||||
Commercial Mortgage Backed Securities (CMBS) [Member] | |||||||||||
Credit Derivatives | |||||||||||
Net change in unrealized gains (losses) on credit derivatives | 0 | 42 | 2 | ||||||||
Other [Member] | |||||||||||
Credit Derivatives | |||||||||||
Net change in unrealized gains (losses) on credit derivatives | 63 | 161 | 2 | ||||||||
United States [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||||||||||
Credit Derivatives | |||||||||||
Net change in unrealized gains (losses) on credit derivatives | 22 | 396 | 814 | ||||||||
Terminated And Settlement Of Credit Derivative Contracts [Member] | |||||||||||
Credit Derivatives | |||||||||||
Net change in unrealized gains (losses) on credit derivatives | 103 | 465 | 546 | ||||||||
Net par of terminated credit derivative contracts | 3,811 | 2,777 | 3,591 | ||||||||
Realized gains on credit derivatives | 20 | 13 | 1 | ||||||||
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | $ 0 | $ (116) | $ (26) |
Contracts Accounted for as Cr98
Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Credit Derivatives | ||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ (811) | $ (1,448) | ||
Plus: Effect of AGC and AGM credit spreads | 422 | 1,083 | ||
Net fair value of credit derivatives | $ (389) | [1] | $ (365) | |
Credit Risk Contract, 5 Year Spread [Member] | AGC [Member] | ||||
Credit Derivatives | ||||
Quoted price of CDS contract (as a percent) | 1.58% | 3.76% | 3.23% | |
Credit Risk Contract, 5 Year Spread [Member] | AGM [Member] | ||||
Credit Derivatives | ||||
Quoted price of CDS contract (as a percent) | 1.58% | 3.66% | 3.25% | |
Credit Risk Contract, 1 Year Spread [Member] | AGC [Member] | ||||
Credit Derivatives | ||||
Quoted price of CDS contract (as a percent) | 0.35% | 1.39% | 0.80% | |
Credit Risk Contract, 1 Year Spread [Member] | AGM [Member] | ||||
Credit Derivatives | ||||
Quoted price of CDS contract (as a percent) | 0.29% | 1.31% | 0.85% | |
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Contracts Accounted for as Cr99
Contracts Accounted for as Credit Derivatives - Net Fair Value and Expected Losses of Credit Derivatives by Sector (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||
Fair value of credit derivative asset (liability), net | $ (389) | [1] | $ (365) |
Expected Loss to be (Paid) Recovered | $ (10) | $ (16) | |
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Contracts Accounted for as C100
Contracts Accounted for as Credit Derivatives - Effect of Changes in Credit Spread (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | |||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Fair Value | [1] | $ (791) | ||
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Fair Value | [1] | (590) | ||
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Fair Value | [1] | (490) | ||
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Fair Value | [1] | (430) | ||
Fair value of credit derivative asset (liability), net | (389) | [1] | $ (365) | |
Credit Risk Derivatives, 10 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (351) | ||
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (295) | ||
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Fair Value | [1] | (203) | ||
Credit Risk Derivatives, 100 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (402) | ||
Credit Risk Derivatives, 50 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (201) | ||
Credit Risk Derivatives, 25 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (101) | ||
Credit Risk Derivatives, 10 Percent Widening in Spreads, Effect on Unrealized Gain (Loss) | [1] | (41) | ||
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] | 38 | ||
Credit Risk Derivatives, 25 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | 94 | ||
Credit Risk Derivatives, 50 Percent Narrowing in Spreads, Effect on Unrealized Gain (Loss) | [1] | $ 186 | ||
[1] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Contracts Accounted for as C101
Contracts Accounted for as Credit Derivatives - Narrative (Details) | 3 Months Ended | 12 Months Ended | ||||
Dec. 31, 2014USD ($)Transaction | Dec. 31, 2016USD ($)TransactionCounterparty | Dec. 31, 2015USD ($)TransactionCounterparty | Dec. 31, 2014USD ($)Transaction | May 31, 2016USD ($) | ||
Credit Derivatives | ||||||
Estimated remaining weighted average life of credit derivatives (in years) | 5 years 3 months 6 days | 5 years 5 months | ||||
Net par outstanding | [1] | $ 16,997,000,000 | $ 25,594,000,000 | |||
Fair value gains | 49,000,000 | |||||
Gain from narrowing of spreads | $ 346,000,000 | |||||
Collateral agreed to be posted | $ 116,000,000 | 305,000,000 | ||||
Market value collateralized debt obligations of corporate obligations [Member] | ||||||
Credit Derivatives | ||||||
Maximum average obligor size (as a percent) | 1.00% | |||||
Maximum exposure of one industry (as a percent) | 10.00% | |||||
Net par outstanding | $ 10,425,000,000 | 17,523,000,000 | ||||
Other pooled infrastructure [Member] | ||||||
Credit Derivatives | ||||||
Net par outstanding | $ 1,500,000,000 | |||||
Pooled infrastructure [Member] | ||||||
Credit Derivatives | ||||||
Number of transactions | Transaction | 1 | |||||
Remaining other CDS [Member] | ||||||
Credit Derivatives | ||||||
Net par outstanding | $ 3,900,000,000 | |||||
Commercial Mortgage Backed Securities (CMBS) [Member] | ||||||
Credit Derivatives | ||||||
Net par outstanding | 0 | 530,000,000 | ||||
Unrealized fair value gain on termination of transactions | 41,000,000 | |||||
Triple-X Life Insurance Transaction [Member] | ||||||
Credit Derivatives | ||||||
Unrealized fair value gain on termination of transactions | 99,000,000 | |||||
Collateral Debt Obligations, Collateral Requirement [Member] | ||||||
Credit Derivatives | ||||||
Amount of par subject to collateral for which the amount of collateral is capped | 700,000,000 | 3,800,000,000 | $ 0 | |||
Derivative, reduction of notional amount | 3,100,000,000 | |||||
Collateral Debt Obligations, Collateral Cap Negotiated [Member] | ||||||
Credit Derivatives | ||||||
Amount of par subject to collateral for which the amount of collateral is capped | 516,000,000 | |||||
Collateral Debt Obligations, No Cap Negotiated [Member] | ||||||
Credit Derivatives | ||||||
Amount of par subject to collateral for which the amount of collateral is capped | 500,000,000 | |||||
Notional amount subject to collateral based on movements in the mark-to-market valuation of the underlying exposure | 174,000,000 | 221,000,000 | ||||
Collateral agreed to be posted | 116,000,000 | 305,000,000 | ||||
Collateral posted, based on mark-to-market valuation | $ 16,000,000 | $ 23,000,000 | ||||
Counterparties involved in eliminating credit derivatives | Counterparty | 1 | |||||
Credit derivative contract, gross par terminated | $ 183,000,000 | |||||
Terminated credit derivatives, collateral already posted | 73,000,000 | |||||
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 | $ 543,000,000 | |||||
Alt-A [Member] | First Lien [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | ||||||
Credit Derivatives | ||||||
Counterparties involved in transaction termination | Counterparty | 1 | |||||
Number of transactions terminated | Transaction | 3 | 5 | 3 | |||
Unrealized fair value gain on termination of transactions | $ 213,000,000 | |||||
Collateralized Loan Obligations and Collateral Bond Obligations [Member] | Market value collateralized debt obligations of corporate obligations [Member] | ||||||
Credit Derivatives | ||||||
Net par outstanding | $ 2,022,000,000 | 5,873,000,000 | ||||
Unrealized fair value gain on termination of transactions | $ 99,000,000 | |||||
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, 2016 total amount includes $1.7 billion net par outstanding of credit derivatives from CIFG Acquisition. |
Consolidated Variable Intere102
Consolidated Variable Interest Entities - Narrative (Details) | 12 Months Ended | |||
Dec. 31, 2016USD ($)Entity | Dec. 31, 2015USD ($)Entity | Dec. 31, 2014USD ($)Entity | Dec. 31, 2013Entity | |
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 | |||
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 financial guaranty variable interest entities | $ 38,000,000 | $ 38,000,000 | $ 255,000,000 | |
Number of entities to be deconsolidated | Entity | 7 | |||
Number of FG VIE's matured | Entity | 2 | |||
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 financial guaranty variable interest entities | $ 38,000,000 | $ 38,000,000 | $ 255,000,000 | |
Net gain on deconsolidation | 120,000,000 | |||
Gain from Company's exercise of options | $ 37,000,000 | |||
Number of FG VIE's matured | Entity | 1 | 2 | 2 | |
Number of VIE that did not require consolidation | Entity | 32 | 34 | 32 | 40 |
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 | 600 | 750 | ||
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 | $ 137,000,000 | $ 154,000,000 | ||
Difference between the aggregate unpaid principal and aggregate fair value of the VIEs' Assets | 432,000,000 | 804,000,000 | ||
Change in the instrument specific credit risk of the VIEs' assets | 55,000,000 | 90,000,000 | $ 116,000,000 | |
Unpaid principal for FG VIEs’ liabilities with recourse | 871,000,000 | 1,436,000,000 | ||
Unpaid principal for FG VIEs' liabilities with and without recourse | $ 109,000,000 | $ 423,000,000 |
Consolidated Variable Intere103
Consolidated Variable Interest Entities - Number of FG VIE's Consolidated (Details) $ in Millions | 12 Months Ended | |||
Dec. 31, 2016Entity | Dec. 31, 2015USD ($)Entity | Dec. 31, 2014USD ($)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 | 34 | 32 | 40 | |
Number of FG VIE's, Radian Asset Acquisition | 0 | 4 | 0 | |
Number of FG VIE's consolidated | [1] | 1 | 1 | 2 |
Number of FG VIE's deconsolidated | [1] | (2) | (1) | (8) |
Number of FG VIE's matured | (1) | (2) | (2) | |
Number of FG VIE's consolidated, end of period | 32 | 34 | 32 | |
Net loss on consolidation of VIEs | $ | $ 26 | $ 26 | ||
Net gain on deconsolidation | $ | $ 120 | |||
[1] | Net loss on consolidation and deconsolidation was de minimis in 2016. Net loss on consolidation was $26 million in 2015. Net gain on deconsolidation was $120 million and net loss on consolidation was $26 million in 2014. |
Consolidated Variable Intere104
Consolidated Variable Interest Entities - Consolidated FG VIE's By Type of Collateral (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 |
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | $ 725 | $ 1,131 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 807 | 1,225 |
Financial guaranty variable interest entities' assets without recourse, at fair value | 151 | 130 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 151 | 124 |
Financial guaranty variable interest entities’ assets, at fair value | 876 | 1,261 |
Financial guaranty variable interest entities’ liabilities, at fair value | 958 | 1,349 |
Life Insurance [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 0 | 347 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 0 | 347 |
Manufactured Housing Loans [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 74 | 84 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 75 | 84 |
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 | 473 | 506 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 509 | 521 |
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 | 178 | 194 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | $ 223 | $ 273 |
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, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||||
Variable Interest Entity [Line Items] | |||||||||||||||
Net earned premiums | $ 236 | $ 231 | $ 214 | $ 183 | $ 192 | $ 213 | $ 219 | $ 142 | $ 864 | [1] | $ 766 | [1] | $ 570 | [1] | |
Net investment income | 117 | 94 | 98 | 99 | 112 | 112 | 98 | 101 | 408 | 423 | 403 | ||||
Net realized investment gains (losses) | (24) | (2) | 10 | (13) | (6) | (27) | (9) | 16 | (29) | (26) | (60) | ||||
Fair value gains (losses) on financial guaranty variable interest entities | 38 | 38 | 255 | ||||||||||||
Loss and LAE | (112) | 9 | (102) | (90) | (106) | (112) | (188) | (18) | (295) | (424) | (126) | ||||
Other income (loss) | (10) | (3) | 18 | 34 | (6) | (3) | 55 | (9) | 39 | 37 | 14 | ||||
Income (loss) before income taxes | 271 | 480 | 201 | 65 | 584 | 172 | 409 | 266 | 1,017 | 1,431 | 1,531 | ||||
Provision (benefit) for income taxes | 74 | 1 | 55 | 6 | 155 | 43 | 112 | 65 | 136 | 375 | 443 | ||||
Net income (loss) | 197 | $ 479 | $ 146 | $ 59 | 429 | $ 129 | $ 297 | $ 201 | 881 | 1,056 | 1,088 | ||||
Net cash flows provided by (used in) operating activities | (141) | (52) | 577 | ||||||||||||
Effect on shareholders’ equity (decrease) increase | 6,504 | 6,063 | 6,504 | 6,063 | 5,758 | $ 5,115 | |||||||||
Variable Interest Entity, Primary Beneficiary [Member] | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Net earned premiums | (16) | (21) | (32) | ||||||||||||
Net investment income | (10) | (32) | (11) | ||||||||||||
Net realized investment gains (losses) | 1 | 10 | (5) | ||||||||||||
Fair value gains (losses) on financial guaranty variable interest entities | 38 | 38 | 255 | ||||||||||||
Bargain purchase gain | 0 | 2 | 0 | ||||||||||||
Loss and LAE | 7 | 28 | 30 | ||||||||||||
Other income (loss) | 0 | 0 | (2) | ||||||||||||
Income (loss) before income taxes | 20 | 25 | 235 | ||||||||||||
Provision (benefit) for income taxes | 7 | 8 | 82 | ||||||||||||
Net income (loss) | 13 | 17 | 153 | ||||||||||||
Net cash flows provided by (used in) operating activities | 24 | 43 | $ 68 | ||||||||||||
Effect on shareholders’ equity (decrease) increase | $ (9) | $ (23) | $ (9) | $ (23) | |||||||||||
[1] | Excludes $16 million, $21 million and $32 million for the year ended December 31, 2016, 2015 and 2014, respectively, related to consolidated FG VIEs. |
Investments and Cash - Net Inve
Investments and Cash - Net Investment Income (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Net Investment Income | |||||||||||
Gross investment income | $ 417 | $ 433 | $ 412 | ||||||||
Investment expenses | (9) | (10) | (9) | ||||||||
Net investment income | $ 117 | $ 94 | $ 98 | $ 99 | $ 112 | $ 112 | $ 98 | $ 101 | 408 | 423 | 403 |
Fixed Maturities, Managed Externally [Member] | |||||||||||
Net Investment Income | |||||||||||
Gross investment income | 306 | 335 | 324 | ||||||||
Fixed Maturities, Managed Internally [Member] | |||||||||||
Net Investment Income | |||||||||||
Gross investment income | 103 | 61 | 74 | ||||||||
Other Invested Assets, Internally Managed [Member] | |||||||||||
Net Investment Income | |||||||||||
Gross investment income | 7 | 37 | 14 | ||||||||
Fixed Maturities, Other [Member] | |||||||||||
Net Investment Income | |||||||||||
Gross investment income | $ 1 | $ 0 | $ 0 |
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, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Net Realized Investment Gains (Losses) | |||||||||||
Gross realized gains on available-for-sale securities | $ 28 | $ 44 | $ 14 | ||||||||
Gross realized losses on available-for-sale securities | (8) | (15) | (5) | ||||||||
Net realized gains (losses) on other invested assets | 2 | (8) | 6 | ||||||||
Other-than-temporary impairment | (51) | (47) | (75) | ||||||||
Net realized investment gains (losses) | $ (24) | $ (2) | $ 10 | $ (13) | $ (6) | $ (27) | $ (9) | $ 16 | $ (29) | $ (26) | $ (60) |
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, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Roll Forward of Credit Losses in the Investment Portfolio | |||
Credit losses, beginning of period | $ 108 | $ 124 | $ 80 |
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized | 3 | 3 | 64 |
Eliminations of securities issued by FG VIEs | 0 | 0 | (15) |
Reductions for securities sold and other settlement during the period | (4) | (28) | (12) |
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized | 27 | 9 | 7 |
Credit losses, end of period | $ 134 | $ 108 | $ 124 |
Investments and Cash - Fixed Ma
Investments and Cash - Fixed Maturity Securities and Short Term Investments (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | ||
Investments | ||||
Percent of Total | [1] | 100.00% | 100.00% | |
Amortized Cost | $ 10,564 | $ 10,671 | ||
Gross Unrealized Gains | 405 | 430 | ||
Gross Unrealized Losses | (146) | (78) | ||
Fixed-maturity securities | 10,823 | 11,023 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 17 | [2] | $ (21) | |
Mortgage backed securities consisting of government-agency obligations, percent | 42.00% | 54.00% | ||
Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 94.00% | 96.00% | |
Amortized Cost | $ 9,974 | $ 10,275 | ||
Gross Unrealized Gains | 405 | 430 | ||
Gross Unrealized Losses | (146) | (78) | ||
Fixed-maturity securities | 10,233 | 10,627 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 17 | [2] | $ (21) | |
Short-term Investments [Member] | ||||
Investments | ||||
Percent of Total | [1] | 6.00% | 4.00% | |
Amortized Cost | $ 590 | $ 396 | ||
Gross Unrealized Gains | 0 | 0 | ||
Gross Unrealized Losses | 0 | 0 | ||
Fixed-maturity securities | 590 | 396 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | [2] | $ 0 | |
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 50.00% | 52.00% | |
Amortized Cost | $ 5,269 | $ 5,528 | ||
Gross Unrealized Gains | 202 | 323 | ||
Gross Unrealized Losses | (39) | (10) | ||
Fixed-maturity securities | 5,432 | 5,841 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 13 | [2] | $ 5 | |
US Treasury and Government [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 4.00% | 3.00% | |
Amortized Cost | $ 424 | $ 377 | ||
Gross Unrealized Gains | 17 | 23 | ||
Gross Unrealized Losses | (1) | 0 | ||
Fixed-maturity securities | 440 | 400 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | [2] | $ 0 | |
Corporate securities [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 15.00% | 14.00% | |
Amortized Cost | $ 1,612 | $ 1,505 | ||
Gross Unrealized Gains | 32 | 38 | ||
Gross Unrealized Losses | (31) | (23) | ||
Fixed-maturity securities | 1,613 | 1,520 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (8) | [2] | $ (13) | |
Residential Mortgage-Backed Securities (RMBS) [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1],[3] | 9.00% | 11.00% | |
Amortized Cost | [3] | $ 998 | $ 1,238 | |
Gross Unrealized Gains | [3] | 27 | 29 | |
Gross Unrealized Losses | [3] | (38) | (22) | |
Fixed-maturity securities | [3] | 987 | 1,245 | |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | [3] | $ (21) | [2] | $ (7) |
Commercial Mortgage Backed Securities (CMBS) [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1],[3] | 5.00% | 5.00% | |
Amortized Cost | [3] | $ 575 | $ 506 | |
Gross Unrealized Gains | [3] | 13 | 9 | |
Gross Unrealized Losses | [3] | (5) | (2) | |
Fixed-maturity securities | [3] | 583 | 513 | |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | [3] | $ 0 | [2] | $ 0 |
Asset-backed Securities [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 8.00% | 8.00% | |
Amortized Cost | $ 835 | $ 831 | ||
Gross Unrealized Gains | 110 | 4 | ||
Gross Unrealized Losses | 0 | (10) | ||
Fixed-maturity securities | 945 | 825 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 33 | [2] | $ (6) | |
Foreign government securities [Member] | Fixed Maturities [Member] | ||||
Investments | ||||
Percent of Total | [1] | 3.00% | 3.00% | |
Amortized Cost | $ 261 | $ 290 | ||
Gross Unrealized Gains | 4 | 4 | ||
Gross Unrealized Losses | (32) | (11) | ||
Fixed-maturity securities | 233 | 283 | ||
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | [2] | $ 0 | |
[1] | Based on amortized cost. | |||
[2] | Accumulated OCI. See also Note 20, Other Comprehensive Income. | |||
[3] | Government-agency obligations were approximately 42% of mortgage backed securities as of December 31, 2016 and 54% as of December 31, 2015 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, 2016 | Dec. 31, 2015 | ||
State General Obligation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | $ 538 | ||
Local General Obligation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 715 | ||
Revenue Bonds [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | $ 3,370 | 3,570 | [1] | |
Amortized Cost | 3,271 | 3,369 | ||
Obligations of state and political subdivisions [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 4,823 | ||
Amortized Cost | [1] | 4,561 | ||
Fixed-maturity securities, available-for-sale, at fair value | 966 | 1,078 | ||
Fixed Maturities [Member] | State General Obligation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 482 | 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] | California [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 73 | 78 | |
Fixed Maturities [Member] | State General Obligation [Member] | Texas [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 16 | 28 | |
Fixed Maturities [Member] | State General Obligation [Member] | Washington [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 81 | 59 | |
Fixed Maturities [Member] | State General Obligation [Member] | Florida [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 16 | 17 | |
Fixed Maturities [Member] | State General Obligation [Member] | Massachusetts [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 74 | 75 | |
Fixed Maturities [Member] | State General Obligation [Member] | Illinois [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 18 | 47 | |
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] | Georgia [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] | 38 | 48 | |
Fixed Maturities [Member] | State General Obligation [Member] | Ohio [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 17 | ||
Fixed Maturities [Member] | State General Obligation [Member] | All others [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 153 | 156 | |
Fixed Maturities [Member] | Local General Obligation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 614 | 715 | |
Fixed Maturities [Member] | Local General Obligation [Member] | New York [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 38 | 59 | |
Fixed Maturities [Member] | Local General Obligation [Member] | California [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 62 | 66 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Texas [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 186 | 224 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Washington [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 68 | 79 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Florida [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 11 | 0 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Massachusetts [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 0 | 0 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Illinois [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 65 | 69 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Arizona [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 3 | 10 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Georgia [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 9 | ||
Fixed Maturities [Member] | Local General Obligation [Member] | Pennsylvania [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 17 | 26 | |
Fixed Maturities [Member] | Local General Obligation [Member] | Ohio [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 14 | ||
Fixed Maturities [Member] | Local General Obligation [Member] | All others [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 155 | 168 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 3,370 | 3,510 | |
Amortized Cost | 3,271 | 3,309 | ||
Fixed Maturities [Member] | Revenue Bonds [Member] | New York [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 570 | 571 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | California [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 391 | 411 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Texas [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 316 | 325 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Washington [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 201 | 200 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Florida [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 247 | 268 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Massachusetts [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 149 | 148 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Illinois [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 127 | 128 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Arizona [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 122 | 181 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Georgia [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 104 | ||
Fixed Maturities [Member] | Revenue Bonds [Member] | Pennsylvania [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 58 | 47 | |
Fixed Maturities [Member] | Revenue Bonds [Member] | Ohio [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 83 | ||
Fixed Maturities [Member] | Revenue Bonds [Member] | All others [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 1,085 | 1,148 | |
Fixed Maturities [Member] | Transportation [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | 860 | 867 | ||
Amortized Cost | 824 | 815 | ||
Fixed Maturities [Member] | Tax backed [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | 617 | 610 | ||
Amortized Cost | 601 | 576 | ||
Fixed Maturities [Member] | Water and Sewer [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | 545 | 612 | ||
Amortized Cost | 531 | 576 | ||
Fixed Maturities [Member] | Higher education [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | 513 | 518 | ||
Amortized Cost | 499 | 487 | ||
Fixed Maturities [Member] | Municipal utilities [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | 365 | 414 | ||
Amortized Cost | 360 | 393 | ||
Fixed Maturities [Member] | Healthcare [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | 310 | 344 | ||
Amortized Cost | 298 | 321 | ||
Fixed Maturities [Member] | All Others [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | 160 | 145 | ||
Amortized Cost | 158 | 141 | ||
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 4,466 | 4,763 | |
Amortized Cost | [1] | 4,344 | 4,501 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | New York [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 621 | 643 | |
Amortized Cost | [1] | 604 | 610 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | California [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 526 | 555 | |
Amortized Cost | [1] | 497 | 521 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Texas [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 518 | 577 | |
Amortized Cost | [1] | 503 | 542 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Washington [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 350 | 338 | |
Amortized Cost | [1] | 348 | 323 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Florida [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 274 | 285 | |
Amortized Cost | [1] | 266 | 266 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Massachusetts [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 223 | 223 | |
Amortized Cost | [1] | 215 | 207 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Illinois [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 210 | 244 | |
Amortized Cost | [1] | 205 | 234 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Arizona [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 125 | 191 | |
Amortized Cost | [1] | 122 | 181 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Georgia [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 113 | ||
Amortized Cost | [1] | 109 | ||
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Pennsylvania [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 113 | 121 | |
Amortized Cost | [1] | 111 | 115 | |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | Ohio [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 114 | ||
Amortized Cost | [1] | 106 | ||
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | All others [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1] | 1,393 | 1,472 | |
Amortized Cost | [1] | 1,364 | 1,396 | |
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] | ||||
Fixed-maturity securities | [3] | 0 | 60 | [1],[2] |
Amortized Cost | [3] | $ 0 | 60 | |
Short-term Investments [Member] | Obligations of state and political subdivisions [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fixed-maturity securities | [1],[2] | 60 | ||
Amortized Cost | [1],[2] | $ 60 | ||
[1] | Excludes $966 million and $1,078 million as of December 31, 2016 and 2015, 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. | |||
[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, 2016USD ($)Security | Dec. 31, 2015USD ($)Security | |
Less than 12 months | |||
Fair value | $ 2,325 | $ 1,966 | |
Unrealized loss | (83) | (42) | |
12 months or more | |||
Fair Value | 332 | 276 | |
Unrealized loss | (63) | (36) | |
Total | |||
Fair value | 2,657 | 2,242 | |
Unrealized loss | $ (146) | $ (78) | |
Number of securities | |||
Less than 12 months (in securities) | Security | [1] | 622 | 335 |
12 months or more (in securities) | Security | [1] | 60 | 71 |
Total (in securities) | Security | [1] | 676 | 396 |
Number of securities with OTTI | |||
Less than 12 months (in securities) | Security | 8 | 9 | |
12 months or more (in securities) | Security | 9 | 4 | |
Total (in securities) | Security | 17 | 13 | |
Obligations of state and political subdivisions [Member] | |||
Less than 12 months | |||
Fair value | $ 1,110 | $ 316 | |
Unrealized loss | (38) | (10) | |
12 months or more | |||
Fair Value | 6 | 7 | |
Unrealized loss | (1) | 0 | |
Total | |||
Fair value | 1,116 | 323 | |
Unrealized loss | (39) | (10) | |
US Treasury and Government [Member] | |||
Less than 12 months | |||
Fair value | 87 | 77 | |
Unrealized loss | (1) | 0 | |
12 months or more | |||
Fair Value | 0 | 0 | |
Unrealized loss | 0 | 0 | |
Total | |||
Fair value | 87 | 77 | |
Unrealized loss | (1) | 0 | |
Corporate securities [Member] | |||
Less than 12 months | |||
Fair value | 492 | 381 | |
Unrealized loss | (11) | (8) | |
12 months or more | |||
Fair Value | 118 | 95 | |
Unrealized loss | (20) | (15) | |
Total | |||
Fair value | 610 | 476 | |
Unrealized loss | (31) | (23) | |
Residential Mortgage-Backed Securities (RMBS) [Member] | |||
Less than 12 months | |||
Fair value | 391 | 438 | |
Unrealized loss | (23) | (8) | |
12 months or more | |||
Fair Value | 94 | 90 | |
Unrealized loss | (15) | (14) | |
Total | |||
Fair value | 485 | 528 | |
Unrealized loss | (38) | (22) | |
Commercial Mortgage Backed Securities (CMBS) [Member] | |||
Less than 12 months | |||
Fair value | 165 | 140 | |
Unrealized loss | (5) | (2) | |
12 months or more | |||
Fair Value | 0 | 2 | |
Unrealized loss | 0 | 0 | |
Total | |||
Fair value | 165 | 142 | |
Unrealized loss | (5) | (2) | |
Asset-backed Securities [Member] | |||
Less than 12 months | |||
Fair value | 36 | 517 | |
Unrealized loss | 0 | (10) | |
12 months or more | |||
Fair Value | 0 | 0 | |
Unrealized loss | 0 | 0 | |
Total | |||
Fair value | 36 | 517 | |
Unrealized loss | 0 | (10) | |
Foreign government securities [Member] | |||
Less than 12 months | |||
Fair value | 44 | 97 | |
Unrealized loss | (5) | (4) | |
12 months or more | |||
Fair Value | 114 | 82 | |
Unrealized loss | (27) | (7) | |
Total | |||
Fair value | 158 | 179 | |
Unrealized loss | $ (32) | $ (11) | |
[1] | The number of securities does not add across because lots consisting of the same securities have been purchased at different times and appear in both categories above (i.e., less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column. |
Investments and Cash - Distribu
Investments and Cash - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | |
Estimated Fair Value | |||
Amortized Cost | $ 10,564 | $ 10,671 | |
Estimated fair value | 10,823 | 11,023 | |
Fixed Maturities [Member] | |||
Amortized Cost | |||
Due within one year | 482 | ||
Due after one year through five years | 1,725 | ||
Due after five years through 10 years | 2,112 | ||
Due after 10 years | 4,082 | ||
Estimated Fair Value | |||
Due within one year | 550 | ||
Due after one year through five years | 1,727 | ||
Due after five years through 10 years | 2,155 | ||
Due after 10 years | 4,231 | ||
Amortized Cost | 9,974 | 10,275 | |
Estimated fair value | 10,233 | 10,627 | |
Fixed Maturities [Member] | Residential Mortgage-Backed Securities (RMBS) [Member] | |||
Estimated Fair Value | |||
Amortized Cost | [1] | 998 | 1,238 |
Estimated fair value | [1] | 987 | 1,245 |
Fixed Maturities [Member] | Commercial Mortgage Backed Securities (CMBS) [Member] | |||
Estimated Fair Value | |||
Amortized Cost | [1] | 575 | 506 |
Estimated fair value | [1] | $ 583 | $ 513 |
[1] | Government-agency obligations were approximately 42% of mortgage backed securities as of December 31, 2016 and 54% as of December 31, 2015 based on fair value. |
Investments and Cash - Internal
Investments and Cash - Internally Managed Investment Portfolio (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 |
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | $ 10,823 | $ 11,023 |
Other invested assets | 162 | 169 |
Total investment portfolio | 10,985 | 11,192 |
Fixed Maturities, Managed Internally [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Fixed-maturity securities | 1,492 | 1,266 |
Other Invested Assets, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 107 | 114 |
Other, Internally Managed [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Other invested assets | 55 | 55 |
Internally Managed Portfolio [Member] | ||
Schedule of Cost-method Investments [Line Items] | ||
Total investment portfolio | $ 1,654 | $ 1,435 |
Investments and Cash - Narrativ
Investments and Cash - Narrative (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2016USD ($)Security | Dec. 31, 2015USD ($)Security | |
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 | $ 91 | $ 99 |
Number of outside managers managing investment portfolio | 4 | |
Externally managed portfolio investments, corporate securities threshold | 2.50% | |
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | Security | 41 | 9 |
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $ 59 | $ 26 |
Assets held-in-trust | 285 | 283 |
Fair market value of company's pledged securities | 116 | 305 |
Investments that were non-income producing during period | $ 0 | $ 0 |
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 | 15.00% | 13.00% |
Assured Guaranty Subsidiaries [Member] | ||
Investment [Line Items] | ||
Assets held-in-trust | $ 1,420 | $ 1,411 |
Insurance Company Regulatory115
Insurance Company Regulatory Requirements - Narrative (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Jul. 15, 2013 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Nov. 25, 2016 | Jul. 01, 2016 | Jul. 17, 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% | ||||||||
Common stock, shares outstanding | 127,988,230 | 137,928,552 | |||||||
Assured Guaranty Re [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Policyholders' surplus | $ 1,255 | $ 984 | |||||||
AGM and AGC [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Incremental reassumption period | 3 years | ||||||||
Contingency reserves, reserves for contingencies reassumed | 522 | ||||||||
AGC [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Policyholders' surplus | [1],[2] | 1,896 | 1,365 | ||||||
Contingency reserves, release of assets | 152 | ||||||||
MAC [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Policyholders' surplus | 487 | 730 | |||||||
Contingency reserves, release of reserves | 53 | ||||||||
AGM [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Policyholders' surplus | [2] | 2,321 | 2,441 | ||||||
Contingency reserves, release of assets | 175 | ||||||||
Amount available for distribution, current year | 232 | ||||||||
Share repurchase program, repurchased amount (in shares) | 125 | ||||||||
Authorized repurchase amount | $ 300 | ||||||||
Additional Paid in Capital | 15 | ||||||||
Capital | 20 | ||||||||
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% | ||||||||
Affiliated Entity [Member] | AGC [Member] | Municipal Assurance Corp Holdings [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Ownership percentage by noncontrolling owners | 39.00% | ||||||||
Proceeds from distribution by subsidiary | $ 118 | ||||||||
Affiliated Entity [Member] | MAC [Member] | Municipal Assurance Corp Holdings [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Repayment of surplus notes | 300 | 300 | 0 | $ 0 | |||||
Affiliated Entity [Member] | MAC [Member] | AGM [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Repayment of surplus notes | 100 | $ 100 | $ 0 | $ 0 | |||||
Intercompany consideration transferred | $ 102.5 | ||||||||
Affiliated Entity [Member] | AGM [Member] | Municipal Assurance Corp Holdings [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Ownership percentage | 61.00% | ||||||||
Proceeds from distribution by subsidiary | $ 182 | ||||||||
New York [Member] | Assured Guaranty Municipal Corp And Municipal Assurance Corp [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% | ||||||||
New York [Member] | MAC [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, current year | $ 49 | ||||||||
New York [Member] | AGM [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, next fiscal quarter | $ 81 | ||||||||
Maryland [Member] | AGC [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Threshold for dividend payments as a percentage of policyholder surplus | 10.00% | ||||||||
Threshold for dividend payments, percentage of adjusted net investment income | 100.00% | ||||||||
Amount available for distribution, next fiscal quarter | $ 29 | ||||||||
Maryland [Member] | AGUS [Member] | AGC [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, current year | 107 | ||||||||
Bermuda [Member] | Assured Guaranty Re [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Amount available for distribution, current year | $ 314 | ||||||||
Dividend payment restrictions, percentage of statutory capital | 15.00% | ||||||||
Dividend restrictions on statutory capital and surplus (as a percent) | 25.00% | ||||||||
Capital distributions | $ 128 | ||||||||
Statutory surplus | 314 | ||||||||
Unencumbered assets | $ 596 | ||||||||
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% | ||||||||
CIFG Holding Inc. [Member] | AGC [Member] | |||||||||
Statutory Accounting Practices [Line Items] | |||||||||
Policyholders' surplus | [2] | $ 287 | |||||||
[1] | As indicated in Note 2, Acquisitions, AGC completed the acquisition of CIFGH (the parent company of CIFGNA) on July 1, 2016 and Radian Asset on April 1, 2015. Both CIFGNA and 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 $287 million from the CIFGH acquisition, on a statutory basis, as of July 1, 2016 and $333 million from the Radian Asset acquisition, on a statutory basis, as of April 1, 2015. | ||||||||
[2] | Policyholders' surplus of AGM and AGC include their indirect share of MAC. AGM and AGC own approximately 61% and 39%, respectively, of the outstanding stock of Municipal Assurance Holdings Inc. (MAC Holdings), which owns 100% of the outstanding common stock of MAC. |
Insurance Company Regulatory116
Insurance Company Regulatory Requirements - Insurance Regulatory Amounts Reported (Details) - USD ($) $ in Millions | 12 Months Ended | ||||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Jul. 01, 2016 | Apr. 01, 2015 | Jul. 17, 2013 | ||
AGM [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | [1] | $ 2,321 | $ 2,441 | ||||
Net Income (Loss) | [1] | 191 | 217 | $ 304 | |||
MAC [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | 487 | 730 | |||||
Net Income (Loss) | 142 | 102 | 75 | ||||
AGC [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | [1],[2] | 1,896 | 1,365 | ||||
Net Income (Loss) | [1],[2] | 108 | (92) | 116 | |||
Assured Guaranty Re [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | 1,255 | 984 | |||||
Net Income (Loss) | $ 139 | $ 51 | $ 28 | ||||
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% | ||||||
CIFG Holding Inc. [Member] | AGC [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | [1] | $ 287 | |||||
Radian [Member] | AGC [Member] | |||||||
Statutory Accounting Practices [Line Items] | |||||||
Policyholders' surplus | [1] | $ 333 | |||||
[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, Acquisitions, AGC completed the acquisition of CIFGH (the parent company of CIFGNA) on July 1, 2016 and Radian Asset on April 1, 2015. Both CIFGNA and 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 $287 million from the CIFGH acquisition, on a statutory basis, as of July 1, 2016 and $333 million from the Radian Asset acquisition, on a statutory basis, as of April 1, 2015. |
Insurance Company Regulatory117
Insurance Company Regulatory Requirements - Dividends and Surplus Notes By Insurance Company Subsidiaries (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 |
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | $ 69 | $ 72 | $ 76 | |
AGUS [Member] | Affiliated Entity [Member] | AGC [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | 79 | 90 | 69 | |
AGMH [Member] | Affiliated Entity [Member] | AGM [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | 247 | 215 | 160 | |
Repayment of surplus notes | 0 | 25 | 50 | |
Assured Guaranty LTD [Member] | Affiliated Entity [Member] | Assured Guaranty Re [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Dividends paid | 100 | 150 | 82 | |
AGM [Member] | Affiliated Entity [Member] | MAC [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Repayment of surplus notes | $ 100 | 100 | 0 | 0 |
Municipal Assurance Corp Holdings [Member] | Affiliated Entity [Member] | MAC [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Repayment of surplus notes | 300 | $ 300 | $ 0 | $ 0 |
AGM and AGC [Member] | Affiliated Entity [Member] | Municipal Assurance Corp Holdings [Member] | ||||
Statutory Accounting Practices [Line Items] | ||||
Distributed capital | $ 300 |
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, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Pre-tax Income Taxes and Revenue [Line Items] | |||||||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $ 316 | $ 443 | $ 490 | ||||||||
Tax-exempt interest | (49) | (54) | (53) | ||||||||
Gain on bargain purchase | (125) | (19) | 0 | ||||||||
Change in liability for uncertain tax positions | 11 | 12 | 9 | ||||||||
Effect of provision to tax return filing adjustments | (15) | (11) | (6) | ||||||||
Other | (2) | 4 | 3 | ||||||||
Total provision (benefit) for income taxes | $ 74 | $ 1 | $ 55 | $ 6 | $ 155 | $ 43 | $ 112 | $ 65 | $ 136 | $ 375 | $ 443 |
Effective tax rate (as a percent) | 13.40% | 26.20% | 28.90% | ||||||||
Income (loss) before provision for income taxes | $ 271 | $ 480 | $ 201 | $ 65 | $ 584 | $ 172 | $ 409 | $ 266 | $ 1,017 | $ 1,431 | $ 1,531 |
Revenue | 1,677 | 2,207 | 1,994 | ||||||||
United States [Member] | |||||||||||
Pre-tax Income Taxes and Revenue [Line Items] | |||||||||||
Income (loss) before provision for income taxes | 921 | 1,284 | 1,420 | ||||||||
Revenue | 1,442 | 1,853 | 1,633 | ||||||||
Bermuda [Member] | |||||||||||
Pre-tax Income Taxes and Revenue [Line Items] | |||||||||||
Income (loss) before provision for income taxes | 126 | 177 | 142 | ||||||||
Revenue | 239 | 361 | 365 | ||||||||
United Kingdom [Member] | |||||||||||
Pre-tax Income Taxes and Revenue [Line Items] | |||||||||||
Income (loss) before provision for income taxes | (30) | (30) | (31) | ||||||||
Revenue | $ (4) | $ (7) | $ (4) |
Income Taxes - Components of Ne
Income Taxes - Components of Net Deferred Tax Assets (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 |
Deferred tax assets: | ||
Unrealized losses on credit derivative financial instruments, net | $ 66 | $ 33 |
Unearned premium reserves, net | 229 | 254 |
Loss and LAE reserve | 216 | 64 |
Tax and loss bonds | 50 | 39 |
Alternative minimum tax credit | 17 | 55 |
Foreign tax credit | 20 | 11 |
DAC | 29 | 27 |
Investment basis difference | 76 | 86 |
Deferred compensation | 40 | 41 |
Net operating loss | 64 | 0 |
Other | 43 | 17 |
Total deferred income tax assets | 850 | 627 |
Deferred tax liabilities: | ||
Contingency reserves | 82 | 64 |
Public debt | 91 | 94 |
Unrealized appreciation on investments | 84 | 108 |
Unrealized gains on CCS | 22 | 22 |
Market discount | 22 | 21 |
Other | 33 | 31 |
Total deferred income tax liabilities | 334 | 340 |
Less: Valuation allowance | 19 | 11 |
Net deferred income tax asset | $ 497 | $ 276 |
Income Taxes - Uncertain Tax Po
Income Taxes - Uncertain Tax Positions (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Reconciliation of Unrecognized Tax Benefits, Excluding Amounts Pertaining to Examined Tax Returns [Roll Forward] | |||
Balance as of January 1, | $ 40 | $ 28 | $ 20 |
Effect of provision to tax return filing adjustments | 6 | 10 | 6 |
Increase in unrecognized tax positions as a result of position taken during the current period | 4 | 2 | 2 |
Balance as of December 31, | $ 50 | $ 40 | $ 28 |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Jul. 01, 2016 | |
Income Taxes [Line Items] | ||||
Foreign tax credit | $ 1 | |||
Less: Valuation allowance | $ 19 | $ 11 | ||
Realization assessment period | 3 years | |||
Interest and penalties related to uncertain tax positions | $ 2 | 1 | $ 1 | |
Accrued interest for uncertain tax positions | $ 7 | $ 5 | ||
Foreign Tax Authority [Member] | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 35.00% | |||
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 | 20.25% | |||
Alternative Minimum Tax Credit Carryforward [Member] | ||||
Income Taxes [Line Items] | ||||
Foreign tax credit | $ 17 | |||
CIFG Holding Inc. [Member] | ||||
Income Taxes [Line Items] | ||||
Operating Loss Carryforwards | 184 | $ 189 | ||
Radian [Member] | ||||
Income Taxes [Line Items] | ||||
Less: Valuation allowance | 19 | |||
Foreign tax credits guarantted at time of purchase of business | 11 | |||
Foreign tax credits allowed after first tax period | $ 8 | |||
Subsequent to April 1, 2015 [Member] | United Kingdom [Member] | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 20.00% | |||
April 1, 2014 to April 1, 2015 [Member] | United Kingdom [Member] | ||||
Income Taxes [Line Items] | ||||
Corporate tax rate | 21.00% |
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, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Insurance [Abstract] | |||
Increase (decrease) in net unearned premium reserve | $ 0 | $ 23 | $ 20 |
Increase (decrease) in net par outstanding | 28 | 855 | 1,167 |
Commutation gains (losses) | $ 8 | $ 28 | $ 23 |
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, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||||
Premiums Written: | |||||||||||||||
Direct | $ 165 | $ 164 | $ 116 | ||||||||||||
Assumed | [1] | (11) | 17 | (12) | |||||||||||
Ceded | [2] | (17) | 10 | 15 | |||||||||||
Net | 137 | 191 | 119 | ||||||||||||
Premiums Earned: | |||||||||||||||
Direct | 887 | 792 | 581 | ||||||||||||
Assumed | 27 | 40 | 47 | ||||||||||||
Ceded | (50) | (66) | (58) | ||||||||||||
Net | $ 236 | $ 231 | $ 214 | $ 183 | $ 192 | $ 213 | $ 219 | $ 142 | 864 | [3] | 766 | [3] | 570 | [3] | |
Loss and LAE: | |||||||||||||||
Direct | 327 | 399 | 132 | ||||||||||||
Assumed | 0 | 45 | 37 | ||||||||||||
Ceded | (32) | (20) | (43) | ||||||||||||
Net | $ 112 | $ (9) | $ 102 | $ 90 | $ 106 | $ 112 | $ 188 | $ 18 | $ 295 | $ 424 | $ 126 | ||||
[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 $16 million, $21 million and $32 million for the year ended December 31, 2016, 2015 and 2014, respectively, related to consolidated FG VIEs. |
Reinsurance and Other Monoli124
Reinsurance and Other Monoline Exposures - Exposure by Reinsurer (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | ||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | $ 11,156 | [1] | $ 14,621 | |
Second-to- Pay Insured Par Outstanding | [2] | 11,539 | ||
Assumed Par Outstanding | 13,264 | |||
Non-affiliated Reinsurers [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Collateral posted by non-affiliated reinsurers | 387 | |||
Investment Grade Reinsurer [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 4,709 | ||
Second-to- Pay Insured Par Outstanding | [2] | 4,420 | ||
Assumed Par Outstanding | 4,364 | |||
Investment Grade Reinsurer [Member] | Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[3],[4] | 3,436 | ||
Second-to- Pay Insured Par Outstanding | [2],[3],[4] | 0 | ||
Assumed Par Outstanding | [3],[4] | 0 | ||
Investment Grade Reinsurer [Member] | Mitsui Sumitomo Insurance Co. Ltd. [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[3],[4] | 1,273 | ||
Second-to- Pay Insured Par Outstanding | [2],[3],[4] | 0 | ||
Assumed Par Outstanding | [3],[4] | 0 | ||
Investment Grade Reinsurer [Member] | National [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 0 | ||
Second-to- Pay Insured Par Outstanding | [2] | 4,420 | ||
Assumed Par Outstanding | 4,364 | |||
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 6,447 | ||
Second-to- Pay Insured Par Outstanding | [2] | 7,119 | ||
Assumed Par Outstanding | 8,900 | |||
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | American Overseas Reinsurance Company Limited [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[4] | 3,573 | ||
Second-to- Pay Insured Par Outstanding | [2],[4] | 0 | ||
Assumed Par Outstanding | [4] | 30 | ||
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | Syncora [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[4] | 2,062 | ||
Second-to- Pay Insured Par Outstanding | [2],[4] | 1,098 | ||
Assumed Par Outstanding | [4] | 655 | ||
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | Aca Financial Guaranty Corp [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 637 | ||
Second-to- Pay Insured Par Outstanding | [2] | 20 | ||
Assumed Par Outstanding | 0 | |||
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | Ambac [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 115 | ||
Second-to- Pay Insured Par Outstanding | [2] | 2,862 | ||
Assumed Par Outstanding | 6,695 | |||
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | MBIA Insurance Corp [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[5] | 0 | ||
Second-to- Pay Insured Par Outstanding | [2],[5] | 1,024 | ||
Assumed Par Outstanding | [5] | 165 | ||
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | MBIA UK [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[5] | 0 | ||
Second-to- Pay Insured Par Outstanding | [2],[5] | 319 | ||
Assumed Par Outstanding | [5] | 211 | ||
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | FGIC [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[6] | 0 | ||
Second-to- Pay Insured Par Outstanding | [2],[6] | 1,194 | ||
Assumed Par Outstanding | [6] | 410 | ||
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | Ambac Assurance Corp. Segregated account [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1] | 0 | ||
Second-to- Pay Insured Par Outstanding | [2] | 73 | ||
Assumed Par Outstanding | 614 | |||
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | Other [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | [1],[4] | 60 | ||
Second-to- Pay Insured Par Outstanding | [2],[4] | 529 | ||
Assumed Par Outstanding | [4] | 120 | ||
Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | External Credit Rating, Non Investment Grade [Member] | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded Par Outstanding | 384 | |||
Second-to- Pay Insured Par Outstanding | $ 788 | |||
[1] | Of the total ceded par to reinsurers rated BIG, had rating withdrawn or not rated, $384 million is rated BIG. | |||
[2] | The par on second-to-pay exposure where the primary insurer and underlying transaction rating are both BIG is $788 million. | |||
[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 had agreed to post collateral as of December 31, 2016 was approximately $387 million. | |||
[5] | See Note 2, Acquisitions, for more information on MBIA UK. | |||
[6] | FGIC includes subsidiaries Financial Guaranty Insurance Company and FGIC UK Limited. |
Reinsurance and Other Monoli125
Reinsurance and Other Monoline Exposures - Reinsurance and Other Monoline Exposures (Details) $ in Millions | Dec. 31, 2016USD ($) |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | $ 65 |
Ceded Premium, net of Commissions | (46) |
Assumed Expected Loss to be Paid | (70) |
Ceded Expected Loss to be Paid | 87 |
Investment Grade [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 5 |
Ceded Premium, net of Commissions | (11) |
Assumed Expected Loss to be Paid | (1) |
Ceded Expected Loss to be Paid | 62 |
External Credit Rating, Non Investment Grade [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 60 |
Ceded Premium, net of Commissions | (35) |
Assumed Expected Loss to be Paid | (69) |
Ceded Expected Loss to be Paid | 25 |
External Credit Rating, Non Investment Grade [Member] | American Overseas Reinsurance Company Limited [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | (5) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 28 |
External Credit Rating, Non Investment Grade [Member] | Syncora [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 13 |
Ceded Premium, net of Commissions | (18) |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | (3) |
External Credit Rating, Non Investment Grade [Member] | Ambac [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 33 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (1) |
Ceded Expected Loss to be Paid | 0 |
External Credit Rating, Non Investment Grade [Member] | MBIA Insurance Corp [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (8) |
Ceded Expected Loss to be Paid | 0 |
External Credit Rating, Non Investment Grade [Member] | MBIA UK [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 4 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | 0 |
Ceded Expected Loss to be Paid | 0 |
External Credit Rating, Non Investment Grade [Member] | Ambac Assurance Corp. Segregated account [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 6 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (47) |
Ceded Expected Loss to be Paid | 0 |
External Credit Rating, Non Investment Grade [Member] | FGIC UK Limited [Member] | |
Ceded Credit Risk [Line Items] | |
Assumed Premium, net of Commissions | 4 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss to be Paid | (13) |
Ceded Expected Loss to be Paid | 0 |
External Credit Rating, Non Investment Grade [Member] | Other [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 | $ 0 |
Reinsurance and Other Monoli126
Reinsurance and Other Monoline Exposures - Narrative (Details) - USD ($) | 1 Months Ended | 12 Months Ended | 24 Months Ended | |||
Jan. 31, 2014 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2015 | Jan. 01, 2016 | |
Ceded Credit Risk [Line Items] | ||||||
Gain (loss) on derivatives | $ (27,000,000) | $ (3,000,000) | $ 2,000,000 | |||
Fixed-maturity securities | 10,823,000,000 | 11,023,000,000 | $ 11,023,000,000 | |||
Assured Guaranty Re [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Amounts could be required to pay if third party exercised right to recapture business | 45,000,000 | |||||
AGC [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Amounts could be required to pay if third party exercised right to recapture business | 18,000,000 | |||||
Fixed Maturities [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Fixed-maturity securities | 10,233,000,000 | 10,627,000,000 | 10,627,000,000 | |||
Fixed Maturities [Member] | National [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Fixed-maturity securities | 110,000,000 | |||||
Fixed Maturities [Member] | Ambac [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Fixed-maturity securities | 83,000,000 | |||||
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 | 126,000,000 | |||||
Fixed Maturities [Member] | MBIA Insurance Corp [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Fixed-maturity securities | 332,000,000 | |||||
Excess of Loss Reinsurance Facility [Member] | AGM, AGC and MAC [Member] | ||||||
Ceded Credit Risk [Line Items] | ||||||
Reinsurance retention policy, excess retention, amount reinsured | $ 450,000,000 | 360,000,000 | ||||
Minimum net losses required for attachment of excess of loss reinsurance facility | $ 1,250,000,000 | $ 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 | |||||
Premiums paid during the period | $ 9,000,000 | |||||
Remaining insurance premium payable | $ 9,000,000 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Related Party Transaction [Line Items] | |||
Net expenses from transactions with related parties | $ 4,200,000 | $ 1,900,000 | $ 1,900,000 |
Accounts payable to related parties | 0 | 0 | |
Accounts Receivable, Related Parties | $ 0 | $ 0 | |
Wellington Management Company LLP [Member] | Common Stock [Member] | Affiliated Entity [Member] | |||
Related Party Transaction [Line Items] | |||
Ownership percentage by noncontrolling owners | 5.00% | ||
BlackRock [Member] | Common Stock [Member] | Affiliated Entity [Member] | |||
Related Party Transaction [Line Items] | |||
Ownership percentage by noncontrolling owners | 5.00% | ||
Chief Executive Officer [Member] | |||
Related Party Transaction [Line Items] | |||
Share repurchase program, repurchased amount (in shares) | 297,131 | ||
Shares to be paid in the future (in shares) | 297,131 | ||
General Counsel [Member] | |||
Related Party Transaction [Line Items] | |||
Share repurchase program, repurchased amount (in shares) | 23,062 | ||
Shares to be paid in the future (in shares) | 23,062 |
Commitments and Contingencies -
Commitments and Contingencies - Future Minimum Rental Payments (Details) $ in Millions | Dec. 31, 2016USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
2,017 | $ 6 |
2,018 | 8 |
2,019 | 9 |
2,020 | 9 |
2,021 | 8 |
Thereafter | 88 |
Total | $ 128 |
Commitments and Contingencie129
Commitments and Contingencies - Narrative (Details) ft² in Thousands, € in Millions, $ in Millions | Sep. 23, 2016USD ($)step | May 28, 2014EUR (€) | Dec. 31, 2014Security | Nov. 30, 2014USD ($) | Dec. 31, 2016USD ($)ft²Plaintiffstep | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | Apr. 10, 2015USD ($) | Sep. 25, 2013USD ($) | Nov. 28, 2011USD ($)Transaction |
Commitments and Contingencies Legal Proceedings | ||||||||||
Rent expense | $ 13.4 | $ 10.5 | $ 10.1 | |||||||
Net Debt Service Outstanding | $ 437,535 | $ 536,341 | ||||||||
AGM [Member] | ||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||
Lease space | ft² | 88 | |||||||||
Renewal term | 5 years | |||||||||
Operating lease, beginning rent expense | $ 6.2 | |||||||||
Operating lease, number of step increases in operating lease expense | step | 2 | |||||||||
Operating leases, rent expense after step increases, net | $ 7.3 | |||||||||
Operating leases, rent expense after step increases, term | 5 years | |||||||||
LBIE vs. AG Financial Products [Member] | AG Financial Products Inc. [Member] | Guarantee Obligations [Member] | ||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||
Number of credit derivative transactions for which termination payment is alleged to be improperly calculated | Transaction | 9 | |||||||||
LBIE vs. AG Financial Products [Member] | Lehman Brothers International (Europe) [Member] | ||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||
Number of credit derivative transactions alleged to be improperly terminated | Transaction | 28 | |||||||||
Pending Litigation [Member] | 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 [Member] | Assured Guaranty Municipal Corp And Assured Guaranty US Holdings vs California And New York Government Entities [Member] | ||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||
Number of plaintiffs filing consolidated complaints | Plaintiff | 19 | |||||||||
Minimum [Member] | Pending Litigation [Member] | 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 | |||||||||
Maximum [Member] | Pending Litigation [Member] | 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 | $ 20 | |||||||||
Positive Outcome of Litigation [Member] | Pending Litigation [Member] | LBIE vs. AG Financial Products [Member] | AG Financial Products Inc. [Member] | ||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||
Termination payments which LBIE owes to AG Financial Products as per calculation of AG Financial Products | $ 29 | |||||||||
Positive Outcome of Litigation [Member] | Pending Litigation [Member] | LBIE vs. AG Financial Products [Member] | Lehman Brothers International (Europe) [Member] | ||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||
Termination payments which AG Financial Products owes to LBIE as per calculation of LBIE | $ 1,400 | |||||||||
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 | |||||||||
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 | |||||||||
AGM [Member] | New York [Member] | ||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||
Operating lease, number of step increases in operating lease expense | step | 2 | |||||||||
Operating leases, expected annual fixed rent | $ 1.1 | |||||||||
Operating leases, increased annual fixed rent after rent holiday | $ 1.3 | |||||||||
Operating leases, rent term after rent holiday | 5 years | |||||||||
Residential Mortgage-Backed Securities (RMBS) [Member] | Pending Litigation [Member] | Deutsche Bank National Trust Company Vs Assured Guaranty Corp [Member] | Re-REMIC [Member] | ||||||||||
Commitments and Contingencies Legal Proceedings | ||||||||||
Number of insured financial obligations | Security | 4 | |||||||||
Net Debt Service Outstanding | $ 70 | |||||||||
Proceeds from Sale of Insurance Investments | $ 27 |
Long-Term Debt and Credit Fa130
Long-Term Debt and Credit Facilities - Narrative (Details) | Mar. 30, 2015USD ($) | Jun. 20, 2014USD ($) | Apr. 07, 2008 | Dec. 20, 2006USD ($)period | May 18, 2004USD ($) | Jun. 30, 2003USD ($)Trust | Dec. 31, 2016USD ($)extension | Dec. 31, 2015USD ($) | Oct. 25, 2013USD ($) | Dec. 31, 2012USD ($) | Nov. 22, 2006USD ($) | Apr. 08, 2005USD ($)Trust | Jul. 31, 2003USD ($) | Nov. 26, 2002USD ($) | Dec. 19, 2001USD ($) |
Debt Instrument [Line Items] | |||||||||||||||
Aggregate principal amount | $ 1,589,000,000 | $ 1,592,000,000 | |||||||||||||
Intercompany debt | 0 | ||||||||||||||
AGC Trust Preferred Securities [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Basis points | 2.50% | ||||||||||||||
AGM Trust Preferred Securities [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Basis points | 2.00% | ||||||||||||||
AGUS [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Aggregate principal amount | 850,000,000 | 850,000,000 | |||||||||||||
AGM [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Aggregate principal amount | 9,000,000 | 12,000,000 | |||||||||||||
AGM [Member] | AGM CPS securities [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Maximum stock purchase obligation of each custodial trust | $ 50,000,000 | ||||||||||||||
Number of custodial trusts | Trust | 4 | ||||||||||||||
Auction interval (in days) | 28 days | ||||||||||||||
Aggregate maximum stock purchase obligation of the custodial trusts | $ 200,000,000 | ||||||||||||||
Rate basis for income distributions | one-month LIBOR | ||||||||||||||
AGC [Member] | AGM CPS securities [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Maximum stock purchase obligation of each custodial trust | $ 200,000,000 | ||||||||||||||
Number of custodial trusts | Trust | 4 | ||||||||||||||
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] | |||||||||||||||
Interest rate of debt (as a percent) | 6.40% | ||||||||||||||
Aggregate principal amount | $ 300,000,000 | 300,000,000 | $ 300,000,000 | ||||||||||||
Interest rate, added to base rate (as a percent) | 2.215% | ||||||||||||||
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 | $ 1,500,000,000 | ||||||||||||||
Line of Credit [Member] | Revolving Credit Facility [Member] | Wilbur L. Ross [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate, as a percentage of Federal short-term or mid-term interest rate | 100.00% | ||||||||||||||
Notes Payable, Other Payables [Member] | AGM [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Aggregate principal amount | $ 9,000,000 | 12,000,000 | |||||||||||||
5.6% Notes [Member] | Notes Payable, Other Payables [Member] | AGMH [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 5.60% | ||||||||||||||
Aggregate principal amount | $ 100,000,000 | 100,000,000 | $ 100,000,000 | ||||||||||||
6.25% Notes [Member] | Notes Payable, Other Payables [Member] | AGMH [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 6.25% | ||||||||||||||
Aggregate principal amount | $ 230,000,000 | 230,000,000 | $ 230,000,000 | ||||||||||||
6.875% QUIBS [Member] | Corporate securities [Member] | AGMH [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 6.875% | ||||||||||||||
Aggregate principal amount | $ 100,000,000 | 100,000,000 | $ 100,000,000 | ||||||||||||
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 | ||||||||||||||
7% Senior Notes [Member] | Senior Notes [Member] | AGUS [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 7.00% | ||||||||||||||
Aggregate principal amount | $ 200,000,000 | $ 200,000,000 | 200,000,000 | ||||||||||||
Net proceeds from issuance of debt | $ 197,000,000 | ||||||||||||||
Effective interest rate of debt (as a percent) | 6.40% | ||||||||||||||
5% Senior Notes [Member] | Senior Notes [Member] | AGUS [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Interest rate of debt (as a percent) | 5.00% | ||||||||||||||
Aggregate principal amount | $ 500,000,000 | $ 500,000,000 | $ 500,000,000 | ||||||||||||
Net proceeds from issuance of debt | $ 495,000,000 | ||||||||||||||
Intercompany Credit Facility [Member] | Line of Credit [Member] | Revolving Credit Facility [Member] | Wilbur L. Ross [Member] | Assured Guaranty LTD [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Related party, maximum borrowing capacity | $ 225,000,000 | ||||||||||||||
Amounts currently outstanding | 0 | ||||||||||||||
Radian [Member] | AGUS [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Intercompany debt | $ 200,000,000 | ||||||||||||||
MAC [Member] | AGUS [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Repayments of Debt | 20,000,000 | ||||||||||||||
Long-term Debt | 70,000,000 | $ 90,000,000 | |||||||||||||
Leveraged Leases [Member] | Structured Finance [Member] | Financial Guarantee [Member] | AGM [Member] | |||||||||||||||
Debt Instrument [Line Items] | |||||||||||||||
Possible liquidity claims, gross exposure | $ 953,000,000 |
Long-Term Debt and Credit Fa131
Long-Term Debt and Credit Facilities - Principal and Carrying Amounts of Debt (Details) - USD ($) | Dec. 31, 2016 | Dec. 31, 2015 | Jun. 20, 2014 | Dec. 20, 2006 | Nov. 22, 2006 | May 18, 2004 | Jul. 31, 2003 | Nov. 26, 2002 | Dec. 19, 2001 |
Debt Instrument [Line Items] | |||||||||
Principal | $ 1,589,000,000 | $ 1,592,000,000 | |||||||
Carrying Value | 1,306,000,000 | 1,300,000,000 | |||||||
AGUS [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Principal | 850,000,000 | 850,000,000 | |||||||
Carrying Value | 843,000,000 | 842,000,000 | |||||||
AGMH [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Principal | 730,000,000 | 730,000,000 | |||||||
Carrying Value | 453,000,000 | 445,000,000 | |||||||
AGM [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Principal | 9,000,000 | 12,000,000 | |||||||
Carrying Value | $ 10,000,000 | 13,000,000 | |||||||
Senior Notes [Member] | AGUS [Member] | 7% Senior Notes [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Interest rate of debt (as a percent) | 7.00% | ||||||||
Principal | $ 200,000,000 | 200,000,000 | $ 200,000,000 | ||||||
Carrying Value | $ 197,000,000 | 197,000,000 | |||||||
Senior Notes [Member] | AGUS [Member] | 5% Senior Notes [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Interest rate of debt (as a percent) | 5.00% | ||||||||
Principal | $ 500,000,000 | 500,000,000 | $ 500,000,000 | ||||||
Carrying Value | 496,000,000 | 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] | 6.875% QUIBS [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Interest rate of debt (as a percent) | 6.875% | ||||||||
Principal | $ 100,000,000 | 100,000,000 | $ 100,000,000 | ||||||
Carrying Value | $ 69,000,000 | 69,000,000 | |||||||
Notes Payable, Other Payables [Member] | AGMH [Member] | 6.25% Notes [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Interest rate of debt (as a percent) | 6.25% | ||||||||
Principal | $ 230,000,000 | 230,000,000 | $ 230,000,000 | ||||||
Carrying Value | $ 141,000,000 | 140,000,000 | |||||||
Notes Payable, Other Payables [Member] | AGMH [Member] | 5.6% Notes [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Interest rate of debt (as a percent) | 5.60% | ||||||||
Principal | $ 100,000,000 | 100,000,000 | $ 100,000,000 | ||||||
Carrying Value | 56,000,000 | 56,000,000 | |||||||
Notes Payable, Other Payables [Member] | AGM [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Principal | 9,000,000 | 12,000,000 | |||||||
Carrying Value | 10,000,000 | 13,000,000 | |||||||
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 | $ 300,000,000 | ||||||
Carrying Value | $ 187,000,000 | $ 180,000,000 |
Long-Term Debt and Credit Fa132
Long-Term Debt and Credit Facilities - Expected Maturity Schedule of Debt (Details) - USD ($) | Dec. 31, 2016 | Dec. 31, 2015 |
Long-term Debt, Fiscal Year Maturity [Abstract] | ||
2,017 | $ 4,000,000 | |
2,018 | 2,000,000 | |
2,019 | 1,000,000 | |
2,020 | 1,000,000 | |
2,021 | 0 | |
2022-2041 | 701,000,000 | |
2042-2061 | 0 | |
2062-2081 | 450,000,000 | |
Thereafter | 430,000,000 | |
Total | 1,589,000,000 | $ 1,592,000,000 |
AGUS [Member] | ||
Long-term Debt, Fiscal Year Maturity [Abstract] | ||
2,017 | 0 | |
2,018 | 0 | |
2,019 | 0 | |
2,020 | 0 | |
2,021 | 0 | |
2022-2041 | 700,000,000 | |
2042-2061 | 0 | |
2062-2081 | 150,000,000 | |
Thereafter | 0 | |
Total | 850,000,000 | 850,000,000 |
AGMH [Member] | ||
Long-term Debt, Fiscal Year Maturity [Abstract] | ||
2,017 | 0 | |
2,018 | 0 | |
2,019 | 0 | |
2,020 | 0 | |
2,021 | 0 | |
2022-2041 | 0 | |
2042-2061 | 0 | |
2062-2081 | 300,000,000 | |
Thereafter | 430,000,000 | |
Total | 730,000,000 | 730,000,000 |
AGM [Member] | ||
Long-term Debt, Fiscal Year Maturity [Abstract] | ||
2,017 | 4,000,000 | |
2,018 | 2,000,000 | |
2,019 | 1,000,000 | |
2,020 | 1,000,000 | |
2,021 | 0 | |
2022-2041 | 1,000,000 | |
2042-2061 | 0 | |
2062-2081 | 0 | |
Thereafter | 0 | |
Total | $ 9,000,000 | $ 12,000,000 |
Long-Term Debt and Credit Fa133
Long-Term Debt and Credit Facilities - Interest Expense (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Debt Instrument [Line Items] | |||
Interest expense | $ 102 | $ 101 | $ 92 |
AGUS [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 48 | 49 | 36 |
AGMH [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 54 | 54 | 54 |
AGM [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 0 | (2) | 2 |
Senior Notes [Member] | AGUS [Member] | 7% Senior Notes [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 13 | 13 | 13 |
Senior Notes [Member] | AGUS [Member] | 5% Senior Notes [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 26 | 26 | 13 |
Series A Enhanced Junior Subordinated Debentures [Member] | AGUS [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 9 | 10 | 10 |
Corporate securities [Member] | AGMH [Member] | 6.875% QUIBS [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 7 | 7 | 7 |
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] | 5.6% Notes [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 6 | 6 | 6 |
Notes Payable, Other Payables [Member] | AGM [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | 0 | (2) | 2 |
Junior Subordinated Debt [Member] | AGMH [Member] | |||
Debt Instrument [Line Items] | |||
Interest expense | $ 25 | $ 25 | $ 25 |
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, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||||||||||
Basic EPS: | |||||||||||||||||||||
Net income (loss) | $ 197 | $ 479 | $ 146 | $ 59 | $ 429 | $ 129 | $ 297 | $ 201 | $ 881 | $ 1,056 | $ 1,088 | ||||||||||
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 1 | 1 | 0 | ||||||||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 880 | $ 1,055 | $ 1,088 | ||||||||||||||||||
Basic shares (in shares) | 133 | 148.1 | 172.6 | ||||||||||||||||||
Basic EPS (in dollars per share) | $ 1.51 | [1] | $ 3.63 | [1] | $ 1.09 | [1] | $ 0.43 | [1] | $ 3.05 | [1] | $ 0.88 | [1] | $ 1.97 | [1] | $ 1.29 | [1] | $ 6.61 | [1] | $ 7.12 | [1] | $ 6.30 |
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 | $ 880 | $ 1,055 | $ 1,088 | ||||||||||||||||||
Basic shares (in shares) | 133 | 148.1 | 172.6 | ||||||||||||||||||
Dilutive securities (in shares) | 1.1 | 0.9 | 1 | ||||||||||||||||||
Diluted shares (in shares) | 134.1 | 149 | 173.6 | ||||||||||||||||||
Diluted EPS (in dollars per share) | $ 1.49 | [1] | $ 3.60 | [1] | $ 1.09 | [1] | $ 0.43 | [1] | $ 3.03 | [1] | $ 0.88 | [1] | $ 1.96 | [1] | $ 1.28 | [1] | $ 6.56 | [1] | $ 7.08 | [1] | $ 6.26 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | 0.3 | 0.5 | 1.6 | ||||||||||||||||||
[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, 2016USD ($)vote$ / sharesshares | Dec. 31, 2015$ / sharesshares | |
Equity [Abstract] | ||
Authorized share capital | $ | $ 5,000,000 | |
Common stock, shares authorized | shares | 500,000,000 | 500,000,000 |
Common stock par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 |
Number of votes per share of common stock | 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 ($) | 2 Months Ended | 12 Months Ended | |||
Feb. 23, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Feb. 22, 2017 | |
Equity, Class of Treasury Stock [Line Items] | |||||
Deferred equity compensation (in shares) | 320,193 | 320,193 | |||
Total payments | $ 306,000,000 | $ 555,000,000 | $ 590,000,000 | ||
Common Stock [Member] | |||||
Equity, Class of Treasury Stock [Line Items] | |||||
Number of Shares Repurchased (in shares) | 10,721,248 | 20,995,419 | 24,413,781 | ||
Total payments | $ 306,000,000 | $ 555,000,000 | $ 590,000,000 | ||
Average price paid (in dollars per share) | $ 28.53 | $ 26.43 | $ 24.17 | ||
Subsequent Event [Member] | Common Stock [Member] | |||||
Equity, Class of Treasury Stock [Line Items] | |||||
Authorized repurchase amount | $ 300,000,000 | ||||
Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased | $ 407,000,000 | ||||
Number of Shares Repurchased (in shares) | 3,591,369 | ||||
Total payments | $ 142,000,000 | ||||
Average price paid (in dollars per share) | $ 39.65 |
Shareholders' Equity - Deferred
Shareholders' Equity - Deferred Compensation (Details) | Jan. 06, 2017shares | Dec. 31, 2016Unitshares | Dec. 31, 2015Unitshares |
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 | |
Subsequent Event [Member] | Chief Executive Officer and General Counsel [Member] | Supplemental Employee Retirement Plan [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Deferred Compensation Arrangement with Individual, Shares Issued | 320,193 | ||
Deferred equity compensation, shares | 0 |
Shareholders' Equity - Dividend
Shareholders' Equity - Dividends (Details) - $ / shares | 2 Months Ended | 3 Months Ended | 12 Months Ended | |||||||||||||||||||
Feb. 22, 2017 | Dec. 31, 2016 | [1] | Sep. 30, 2016 | [1] | Jun. 30, 2016 | [1] | Mar. 31, 2016 | [1] | Dec. 31, 2015 | [1] | Sep. 30, 2015 | [1] | Jun. 30, 2015 | [1] | Mar. 31, 2015 | [1] | Dec. 31, 2016 | [1] | Dec. 31, 2015 | [1] | Dec. 31, 2014 | |
Class of Stock [Line Items] | ||||||||||||||||||||||
Dividends (in dollars per share) | $ 0.13 | $ 0.13 | $ 0.13 | $ 0.13 | $ 0.12 | $ 0.12 | $ 0.12 | $ 0.12 | $ 0.52 | $ 0.48 | $ 0.44 | |||||||||||
Subsequent Event [Member] | ||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||
Dividends (in dollars per share) | $ 0.1425 | |||||||||||||||||||||
Increase in common stock dividend (as a percent) | 10.00% | |||||||||||||||||||||
[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, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||
Stock Options [Member] | |||||
Summary of options issued and outstanding | |||||
Balance at the beginning of the period (in shares) | 2,360,340 | ||||
Options granted (in shares) | 0 | 0 | |||
Options exercised (in shares) | (768,212) | ||||
Options forfeited/expired (in shares) | (421,535) | ||||
Balance at the end of the period (in shares) | 1,170,593 | 2,360,340 | |||
Weighted Average Exercise Price | |||||
Balance at the beginning of the period (in dollars per share) | $ 21.73 | ||||
Options granted (in dollars per share) | 0 | ||||
Options exercised (in dollars per share) | 24.64 | ||||
Options forfeited (in dollars per share) | 25.50 | ||||
Balance at the end of the period (in dollars per share) | $ 18.43 | $ 21.73 | |||
Weighted Average Grant Date Fair Value (in dollars per share) | [1] | $ 10.35 | |||
Number of Exercisable Options (in shares) | 1,145,356 | 2,275,096 | |||
Performance Stock Options [Member] | |||||
Summary of options issued and outstanding | |||||
Balance at the beginning of the period (in shares) | 239,537 | ||||
Options granted (in shares) | 0 | 20,000 | 0 | ||
Options exercised (in shares) | (5,533) | ||||
Options forfeited/expired (in shares) | (12,595) | ||||
Balance at the end of the period (in shares) | 221,409 | 239,537 | |||
Weighted Average Exercise Price | |||||
Balance at the beginning of the period (in dollars per share) | $ 17.92 | ||||
Options granted (in dollars per share) | 0 | ||||
Options exercised (in dollars per share) | 19.08 | ||||
Options forfeited (in dollars per share) | 19.24 | ||||
Balance at the end of the period (in dollars per share) | $ 17.89 | $ 17.92 | |||
Number of Exercisable Options (in shares) | 221,409 | 166,897 | |||
Restricted Stock Awards [Member] | |||||
Restricted Stock Award and Restricted Stock Unit Activity | |||||
Nonvested at the beginning of the period (in shares) | 62,145 | ||||
Granted (in shares) | 58,858 | ||||
Vested (in shares) | (62,145) | ||||
Forfeited (in shares) | 0 | ||||
Nonvested at the end of the period (in shares) | 58,858 | 62,145 | |||
Weighted Average Grant-Date Fair Value | |||||
Nonvested at the beginning of the period (in dollars per share) | $ 25.67 | ||||
Granted (in dollars per share) | 25.57 | ||||
Vested (in dollars per share) | 25.67 | ||||
Forfeited (in dollars per share) | 0 | ||||
Nonvested at the end of the period (in dollars per share) | $ 25.57 | $ 25.67 | |||
Restricted Stock Units [Member] | |||||
Restricted Stock Award and Restricted Stock Unit Activity | |||||
Nonvested at the beginning of the period (in shares) | 689,281 | ||||
Granted (in shares) | 377,661 | ||||
Vested (in shares) | (114,701) | ||||
Forfeited (in shares) | (6,732) | ||||
Nonvested at the end of the period (in shares) | 945,509 | 689,281 | |||
Weighted Average Grant-Date Fair Value | |||||
Nonvested at the beginning of the period (in dollars per share) | $ 23.23 | ||||
Granted (in dollars per share) | 24.51 | ||||
Vested (in dollars per share) | 20.88 | ||||
Forfeited (in dollars per share) | 24.38 | ||||
Nonvested at the end of the period (in dollars per share) | $ 24.01 | $ 23.23 | |||
Performance Restricted Stock Units [Member] | |||||
Restricted Stock Award and Restricted Stock Unit Activity | |||||
Nonvested at the beginning of the period (in shares) | 408,260 | ||||
Granted (in shares) | 270,612 | ||||
Vested (in shares) | (69,437) | ||||
Forfeited (in shares) | 0 | ||||
Nonvested at the end of the period (in shares) | 609,435 | [2] | 408,260 | ||
Weighted Average Grant-Date Fair Value | |||||
Nonvested at the beginning of the period (in dollars per share) | $ 27.32 | ||||
Granted (in dollars per share) | 25.62 | ||||
Vested (in dollars per share) | 29.43 | ||||
Forfeited (in dollars per share) | 0 | ||||
Nonvested at the end of the period (in dollars per share) | $ 26.22 | [2] | $ 27.32 | ||
Excluded due to nonperformance (in shares) | 355,353 | ||||
[1] | No options were granted in 2016 and 2015. | ||||
[2] | Excludes 355,353 performance restricted stock units that have met performance hurdles and will be eligible for vesting after December 31, 2016. |
Employee Benefit Plans - Weight
Employee Benefit Plans - Weighted Average Assumptions on Option Pricing (Details) - $ / shares | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Performance Stock Options [Member] | ||||
Employee benefit plans [Line Items] | ||||
Options granted (in shares) | 0 | 20,000 | 0 | |
Stock Options [Member] | ||||
Employee benefit plans [Line Items] | ||||
Dividend yield (as a percent) | [1] | 2.03% | ||
Expected volatility (as a percent) | [1] | 53.24% | ||
Risk free interest rate (as a percent) | [1] | 2.21% | ||
Expected life (in years) | [1] | 6 years 7 months 6 days | ||
Forfeiture rate (as a percent) | [1] | 3.50% | ||
Weighted average grant date fair value (in dollars per share) | [1] | $ 10.35 | ||
Options granted (in shares) | 0 | 0 | ||
[1] | No options were granted in 2016 and 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, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Employee benefit plans [Line Items] | |||
Proceeds from purchase of shares by employees | $ 0.9 | $ 0.8 | $ 0.9 |
Number of shares issued by the Company | 39,055 | 38,565 | 43,273 |
Recorded in share-based compensation, net of deferral | $ 0.2 | $ 0.2 | $ 0.2 |
Employee Benefit Plans - Share-
Employee Benefit Plans - Share-Based Compensation Expense (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |||
Share‑based compensation expense | $ 13 | $ 10 | $ 10 |
Share‑based compensation capitalized as DAC | 0.4 | 0.5 | 0.3 |
Income tax benefit | $ 3 | $ 2 | $ 2 |
Employee Benefit Plans - Narrat
Employee Benefit Plans - Narrative (Details) | 12 Months Ended | ||
Dec. 31, 2016USD ($)installmentsshares | Dec. 31, 2015USD ($)shares | Dec. 31, 2014USD ($)shares | |
Employee benefit plans [Line Items] | |||
Recognized contribution expense | $ 11,000,000 | $ 10,000,000 | $ 11,000,000 |
Stock Options [Member] | |||
Employee benefit plans [Line Items] | |||
Options granted (in shares) | shares | 0 | 0 | |
Aggregate intrinsic value of awards outstanding | $ 23,000,000 | ||
Weighted average remaining contractual term of awards outstanding (in years) | 2 years 4 months | ||
Aggregate intrinsic value of exercisable awards | $ 22,000,000 | ||
Weighted average remaining contractual term of exercisable awards (in years) | 2 years 4 months | ||
Unrecognized compensation expense | $ 27,000 | ||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 1 month 2 days | ||
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 | $ 4,600,000 | $ 2,800,000 | 3,000,000 |
Amount received from exercise of awards | $ 12,000,000 | $ 4,900,000 | $ 4,300,000 |
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] | |||
Options granted (in shares) | shares | 0 | 20,000 | 0 |
Vesting period of awards (in years) | 3 years | ||
Years from grant date until expiration | 7 years | ||
Aggregate intrinsic value of awards outstanding | $ 4,400,000 | ||
Weighted average remaining contractual term of awards outstanding (in years) | 2 years 4 months 8 days | ||
Aggregate intrinsic value of exercisable awards | $ 4,400,000 | ||
Weighted average remaining contractual term of exercisable awards (in years) | 2 years 4 months 8 days | ||
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 | $ 41,000 | $ 75,000 | |
Amount received from exercise of awards | $ 106,000 | 98,000 | |
Period of highest average share price measurement on performance shares | 40 days | ||
Unrecognized compensation expense | $ 0 | ||
Restricted Stock Awards [Member] | |||
Employee benefit plans [Line Items] | |||
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | 4 months 8 days | ||
Unrecognized compensation expense | $ 600,000 | ||
Total fair value of awards vested | $ 1,600,000 | 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 6 days | ||
Unrecognized compensation expense | $ 10,800,000 | ||
Total fair value of awards delivered | $ 2,000,000 | 6,000,000 | 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 6 days | ||
Period of highest average share price measurement on performance shares | 40 days | ||
Unrecognized compensation expense | $ 6,800,000 | ||
Total fair value of awards delivered | $ 2,100,000 | 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 | ||
Purchase price of shares as a percentage of the fair market value of the stock | 85.00% | ||
Capital shares reserved for future issuance | shares | 600,000 | ||
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 | 10,232,649 | ||
Performance Period Hurdle, One [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting percentage | 50.00% | ||
Vesting from prior period, percentage | 35.00% | ||
Performance Period Hurdle, One [Member] | Performance Stock Options [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting percentage | 35.00% | ||
Performance Period Hurdle, Two [Member] | Performance Stock Options [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting percentage | 50.00% | ||
Performance Period Hurdle, Two [Member] | Performance Restricted Stock Units [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting percentage | 100.00% | ||
Performance Period Hurdle, Three [Member] | Performance Stock Options [Member] | |||
Employee benefit plans [Line Items] | |||
Vesting percentage | 100.00% | ||
Performance Period Hurdle, 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] | |||
Number of installments for award vesting | installments | 3 | ||
Vesting period | 4 years | ||
Defined contribution expenses | $ 12,000,000 | $ 11,000,000 | $ 15,000,000 |
Other Comprehensive Income - C
Other Comprehensive Income - Changes in AOCI by Component (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||||||||||
Beginning balance | $ 6,063 | $ 5,758 | $ 6,063 | $ 5,758 | $ 5,115 | ||||||
Amounts reclassified from AOCI to: | |||||||||||
Net realized investment gains (losses) | $ (24) | $ (2) | $ 10 | (13) | $ (6) | $ (27) | $ (9) | 16 | (29) | (26) | (60) |
Net investment income | 117 | 94 | 98 | 99 | 112 | 112 | 98 | 101 | 408 | 423 | 403 |
Interest expense | (25) | (26) | (25) | (26) | (25) | (25) | (26) | (25) | (102) | (101) | (92) |
Total (provision) benefit for income taxes | (74) | $ (1) | $ (55) | (6) | (155) | $ (43) | $ (112) | (65) | (136) | (375) | (443) |
Ending balance | 6,504 | 6,063 | 6,504 | 6,063 | 5,758 | ||||||
Net Unrealized Gains (Losses) on Investments with no Other-Than-Temporary Impairment [Member] | |||||||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||||||||||
Beginning balance | 260 | 367 | 260 | 367 | 178 | ||||||
Other comprehensive income (loss) before reclassifications | (71) | (93) | 196 | ||||||||
Amounts reclassified from AOCI to: | |||||||||||
Total amount reclassified from AOCI, net of tax | (18) | (14) | (7) | ||||||||
Net current period other comprehensive income (loss) | (89) | (107) | 189 | ||||||||
Ending balance | 171 | 260 | 171 | 260 | 367 | ||||||
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) | (23) | (11) | (12) | ||||||||
Net investment income | (3) | (9) | |||||||||
Interest expense | 0 | 0 | 0 | ||||||||
Total before tax | (26) | (20) | (12) | ||||||||
Total (provision) benefit for income taxes | 8 | 6 | 5 | ||||||||
Net Unrealized Gains (Losses) on Investments with Other-Than-Temporary Impairment [Member] | |||||||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||||||||||
Beginning balance | (15) | 4 | (15) | 4 | (24) | ||||||
Other comprehensive income (loss) before reclassifications | (9) | (43) | (20) | ||||||||
Amounts reclassified from AOCI to: | |||||||||||
Total amount reclassified from AOCI, net of tax | 34 | 24 | 48 | ||||||||
Net current period other comprehensive income (loss) | 25 | (19) | 28 | ||||||||
Ending balance | 10 | (15) | 10 | (15) | 4 | ||||||
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) | 52 | 37 | 74 | ||||||||
Net investment income | 0 | 0 | |||||||||
Interest expense | 0 | 0 | 0 | ||||||||
Total before tax | 52 | 37 | 74 | ||||||||
Total (provision) benefit for income taxes | (18) | (13) | (26) | ||||||||
Accumulated Translation Adjustment [Member] | |||||||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||||||||||
Beginning balance | (16) | (10) | (16) | (10) | (3) | ||||||
Other comprehensive income (loss) before reclassifications | (23) | (6) | (7) | ||||||||
Amounts reclassified from AOCI to: | |||||||||||
Total amount reclassified from AOCI, net of tax | 0 | 0 | 0 | ||||||||
Net current period other comprehensive income (loss) | (23) | (6) | (7) | ||||||||
Ending balance | (39) | (16) | (39) | (16) | (10) | ||||||
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 | 0 | |||||||||
Interest expense | 0 | 0 | 0 | ||||||||
Total before tax | 0 | 0 | 0 | ||||||||
Total (provision) benefit for income taxes | 0 | 0 | 0 | ||||||||
Cash Flow Hedge [Member] | |||||||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||||||||||
Beginning balance | 8 | 9 | 8 | 9 | 9 | ||||||
Other comprehensive income (loss) before reclassifications | 0 | 0 | 0 | ||||||||
Amounts reclassified from AOCI to: | |||||||||||
Total amount reclassified from AOCI, net of tax | (1) | (1) | 0 | ||||||||
Net current period other comprehensive income (loss) | (1) | (1) | 0 | ||||||||
Ending balance | 7 | 8 | 7 | 8 | 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 | 0 | |||||||||
Interest expense | (1) | (1) | 0 | ||||||||
Total before tax | (1) | (1) | 0 | ||||||||
Total (provision) benefit for income taxes | 0 | 0 | 0 | ||||||||
Accumulated Other Comprehensive Income [Member] | |||||||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | |||||||||||
Beginning balance | $ 237 | $ 370 | 237 | 370 | 160 | ||||||
Other comprehensive income (loss) before reclassifications | (103) | (142) | 169 | ||||||||
Amounts reclassified from AOCI to: | |||||||||||
Total amount reclassified from AOCI, net of tax | 15 | 9 | 41 | ||||||||
Net current period other comprehensive income (loss) | (88) | (133) | 210 | ||||||||
Ending balance | $ 149 | $ 237 | 149 | 237 | 370 | ||||||
Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | |||||||||||
Amounts reclassified from AOCI to: | |||||||||||
Net realized investment gains (losses) | 29 | 26 | 62 | ||||||||
Net investment income | (3) | (9) | |||||||||
Interest expense | (1) | (1) | 0 | ||||||||
Total before tax | 25 | 16 | 62 | ||||||||
Total (provision) benefit for income taxes | $ (10) | $ (7) | $ (21) |
Subsidiary Information - Conden
Subsidiary Information - Condensed Consolidating Balance Sheet (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Assets | ||||
Total investment portfolio and cash | $ 11,103 | $ 11,358 | ||
Investment in subsidiaries | 0 | 0 | ||
Premiums receivable, net of commissions payable | 576 | 693 | ||
Ceded unearned premium reserve | 206 | 232 | ||
Deferred acquisition costs | 106 | 114 | $ 121 | $ 124 |
Reinsurance recoverable on unpaid losses | 80 | 69 | ||
Credit derivative assets | 13 | 81 | ||
Deferred tax asset, net | 497 | 276 | ||
Intercompany receivable | 0 | 0 | ||
Financial guaranty variable interest entities’ assets, at fair value | 876 | 1,261 | ||
Dividend receivable from affiliate | 0 | 69 | ||
Other | 694 | 391 | ||
Total assets | 14,151 | 14,544 | ||
Liabilities and shareholders’ equity | ||||
Unearned premium reserve | 3,511 | 3,996 | ||
Loss and loss adjustment expense reserve | 1,127 | 1,067 | ||
Long-term debt | 1,306 | 1,300 | ||
Intercompany payable | 0 | 0 | ||
Credit derivative liabilities | 402 | 446 | ||
Deferred tax liabilities, net | 0 | 0 | ||
Financial guaranty variable interest entities’ liabilities, at fair value | 958 | 1,349 | ||
Dividend payable to affiliate | 0 | 69 | ||
Other | 343 | 254 | ||
Total liabilities | 7,647 | 8,481 | ||
Effect on shareholders’ equity (decrease) increase | 6,504 | 6,063 | $ 5,758 | $ 5,115 |
Noncontrolling interest | 0 | 0 | ||
Total shareholders' equity | 6,504 | 6,063 | ||
Total liabilities and shareholders’ equity | 14,151 | 14,544 | ||
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | ||||
Assets | ||||
Total investment portfolio and cash | 36 | 10 | ||
Investment in subsidiaries | 6,164 | 5,961 | ||
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 | ||
Dividend receivable from affiliate | 300 | 69 | ||
Other | 11 | 29 | ||
Total assets | 6,511 | 6,069 | ||
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 | ||
Dividend payable to affiliate | 0 | 0 | ||
Other | 7 | 6 | ||
Total liabilities | 7 | 6 | ||
Effect on shareholders’ equity (decrease) increase | 6,504 | 6,063 | ||
Noncontrolling interest | 0 | 0 | ||
Total shareholders' equity | 6,504 | 6,063 | ||
Total liabilities and shareholders’ equity | 6,511 | 6,069 | ||
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | ||||
Assets | ||||
Total investment portfolio and cash | 384 | 156 | ||
Investment in subsidiaries | 5,696 | 5,569 | ||
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 | 16 | 52 | ||
Intercompany receivable | 0 | 0 | ||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ||
Dividend receivable from affiliate | 0 | 0 | ||
Other | 78 | 29 | ||
Total assets | 6,174 | 5,806 | ||
Liabilities and shareholders’ equity | ||||
Unearned premium reserve | 0 | 0 | ||
Loss and loss adjustment expense reserve | 0 | 0 | ||
Long-term debt | 843 | 842 | ||
Intercompany payable | 70 | 90 | ||
Credit derivative liabilities | 0 | 0 | ||
Deferred tax liabilities, net | 0 | 0 | ||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | ||
Dividend payable to affiliate | 300 | 69 | ||
Other | 3 | 13 | ||
Total liabilities | 1,216 | 1,014 | ||
Effect on shareholders’ equity (decrease) increase | 4,958 | 4,792 | ||
Noncontrolling interest | 0 | 0 | ||
Total shareholders' equity | 4,958 | 4,792 | ||
Total liabilities and shareholders’ equity | 6,174 | 5,806 | ||
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | ||||
Assets | ||||
Total investment portfolio and cash | 22 | 22 | ||
Investment in subsidiaries | 3,734 | 4,081 | ||
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 | ||
Dividend receivable from affiliate | 0 | 0 | ||
Other | 26 | 26 | ||
Total assets | 3,782 | 4,129 | ||
Liabilities and shareholders’ equity | ||||
Unearned premium reserve | 0 | 0 | ||
Loss and loss adjustment expense reserve | 0 | 0 | ||
Long-term debt | 453 | 445 | ||
Intercompany payable | 0 | 0 | ||
Credit derivative liabilities | 0 | 0 | ||
Deferred tax liabilities, net | 88 | 91 | ||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | ||
Dividend payable to affiliate | 0 | 0 | ||
Other | 14 | 15 | ||
Total liabilities | 555 | 551 | ||
Effect on shareholders’ equity (decrease) increase | 3,227 | 3,578 | ||
Noncontrolling interest | 0 | 0 | ||
Total shareholders' equity | 3,227 | 3,578 | ||
Total liabilities and shareholders’ equity | 3,782 | 4,129 | ||
Reportable Legal Entities [Member] | Other Entities [Member] | ||||
Assets | ||||
Total investment portfolio and cash | 11,029 | 11,530 | ||
Investment in subsidiaries | 296 | 377 | ||
Premiums receivable, net of commissions payable | 699 | 833 | ||
Ceded unearned premium reserve | 1,099 | 1,266 | ||
Deferred acquisition costs | 156 | 176 | ||
Reinsurance recoverable on unpaid losses | 484 | 467 | ||
Credit derivative assets | 69 | 207 | ||
Deferred tax asset, net | 597 | 357 | ||
Intercompany receivable | 70 | 90 | ||
Financial guaranty variable interest entities’ assets, at fair value | 876 | 1,261 | ||
Dividend receivable from affiliate | 0 | 0 | ||
Other | 801 | 571 | ||
Total assets | 16,176 | 17,135 | ||
Liabilities and shareholders’ equity | ||||
Unearned premium reserve | 4,488 | 5,143 | ||
Loss and loss adjustment expense reserve | 1,596 | 1,537 | ||
Long-term debt | 10 | 13 | ||
Intercompany payable | 300 | 300 | ||
Credit derivative liabilities | 458 | 572 | ||
Deferred tax liabilities, net | 0 | 0 | ||
Financial guaranty variable interest entities’ liabilities, at fair value | 958 | 1,349 | ||
Dividend payable to affiliate | 0 | 0 | ||
Other | 665 | 622 | ||
Total liabilities | 8,475 | 9,536 | ||
Effect on shareholders’ equity (decrease) increase | 7,405 | 7,222 | ||
Noncontrolling interest | 296 | 377 | ||
Total shareholders' equity | 7,701 | 7,599 | ||
Total liabilities and shareholders’ equity | 16,176 | 17,135 | ||
Consolidating Adjustments [Member] | ||||
Assets | ||||
Total investment portfolio and cash | (368) | (360) | ||
Investment in subsidiaries | (15,890) | (15,988) | ||
Premiums receivable, net of commissions payable | (123) | (140) | ||
Ceded unearned premium reserve | (893) | (1,034) | ||
Deferred acquisition costs | (50) | (62) | ||
Reinsurance recoverable on unpaid losses | (404) | (398) | ||
Credit derivative assets | (56) | (126) | ||
Deferred tax asset, net | (116) | (133) | ||
Intercompany receivable | (70) | (90) | ||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ||
Dividend receivable from affiliate | (300) | 0 | ||
Other | (222) | (264) | ||
Total assets | (18,492) | (18,595) | ||
Liabilities and shareholders’ equity | ||||
Unearned premium reserve | (977) | (1,147) | ||
Loss and loss adjustment expense reserve | (469) | (470) | ||
Long-term debt | 0 | 0 | ||
Intercompany payable | (370) | (390) | ||
Credit derivative liabilities | (56) | (126) | ||
Deferred tax liabilities, net | (88) | (91) | ||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | ||
Dividend payable to affiliate | (300) | 0 | ||
Other | (346) | (402) | ||
Total liabilities | (2,606) | (2,626) | ||
Effect on shareholders’ equity (decrease) increase | (15,590) | (15,592) | ||
Noncontrolling interest | (296) | (377) | ||
Total shareholders' equity | (15,886) | (15,969) | ||
Total liabilities and shareholders’ equity | $ (18,492) | $ (18,595) |
Subsidiary Information - Con146
Subsidiary Information - Condensed Consolidating Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||||
Revenues | ||||||||||||||
Net earned premiums | $ 236 | $ 231 | $ 214 | $ 183 | $ 192 | $ 213 | $ 219 | $ 142 | $ 864 | [1] | $ 766 | [1] | $ 570 | [1] |
Net investment income | 117 | 94 | 98 | 99 | 112 | 112 | 98 | 101 | 408 | 423 | 403 | |||
Net realized investment gains (losses) | (24) | (2) | 10 | (13) | (6) | (27) | (9) | 16 | (29) | (26) | (60) | |||
Net change in fair value of credit derivatives: | ||||||||||||||
Realized gains (losses) and other settlements | 29 | (18) | 23 | |||||||||||
Net unrealized gains (losses) | 69 | 746 | 800 | |||||||||||
Net change in fair value of credit derivatives | 74 | 21 | 63 | (60) | 428 | 86 | 90 | 124 | 98 | 728 | 823 | |||
Bargain purchase gain and settlement of pre-existing relationships | 0 | 259 | 0 | 0 | 0 | 0 | 214 | 0 | 259 | 214 | 0 | |||
Other | 77 | 102 | 258 | |||||||||||
Total revenues | 1,677 | 2,207 | 1,994 | |||||||||||
Expenses | ||||||||||||||
Loss and LAE | 112 | (9) | 102 | 90 | 106 | 112 | 188 | 18 | 295 | 424 | 126 | |||
Amortization of DAC | 5 | 4 | 5 | 4 | 5 | 5 | 6 | 4 | 18 | 20 | 25 | |||
Interest expense | 25 | 26 | 25 | 26 | 25 | 25 | 26 | 25 | 102 | 101 | 92 | |||
Other operating expenses | 57 | 65 | 63 | 60 | 55 | 54 | 66 | 56 | 245 | 231 | 220 | |||
Total expenses | 660 | 776 | 463 | |||||||||||
Income (loss) before income taxes | 271 | 480 | 201 | 65 | 584 | 172 | 409 | 266 | 1,017 | 1,431 | 1,531 | |||
Total (provision) benefit for income taxes | (74) | (1) | (55) | (6) | (155) | (43) | (112) | (65) | (136) | (375) | (443) | |||
Equity in net earnings of subsidiaries | 0 | 0 | 0 | |||||||||||
Net income (loss) | 881 | 1,056 | 1,088 | |||||||||||
Less: noncontrolling interest | 0 | 0 | 0 | |||||||||||
Net income (loss) | $ 197 | $ 479 | $ 146 | $ 59 | $ 429 | $ 129 | $ 297 | $ 201 | 881 | 1,056 | 1,088 | |||
Comprehensive income (loss) | 793 | 923 | 1,298 | |||||||||||
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 | 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 | 29 | 30 | 31 | |||||||||||
Total expenses | 29 | 30 | 31 | |||||||||||
Income (loss) before income taxes | (29) | (30) | (31) | |||||||||||
Total (provision) benefit for income taxes | 0 | 0 | 0 | |||||||||||
Equity in net earnings of subsidiaries | 910 | 1,086 | 1,119 | |||||||||||
Net income (loss) | 881 | 1,056 | 1,088 | |||||||||||
Less: noncontrolling interest | 0 | 0 | 0 | |||||||||||
Net income (loss) | 881 | 1,056 | 1,088 | |||||||||||
Comprehensive income (loss) | 793 | 923 | 1,298 | |||||||||||
Reportable Legal Entities [Member] | AGUS (Issuer) [Member] | ||||||||||||||
Revenues | ||||||||||||||
Net earned premiums | 0 | 0 | 0 | |||||||||||
Net investment income | 0 | 1 | 0 | |||||||||||
Net realized investment gains (losses) | 2 | 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 | 0 | ||||||||||||
Other | 0 | 0 | 0 | |||||||||||
Total revenues | 2 | 1 | 0 | |||||||||||
Expenses | ||||||||||||||
Loss and LAE | 0 | 0 | 0 | |||||||||||
Amortization of DAC | 0 | 0 | 0 | |||||||||||
Interest expense | 52 | 52 | 40 | |||||||||||
Other operating expenses | 2 | 1 | 1 | |||||||||||
Total expenses | 54 | 53 | 41 | |||||||||||
Income (loss) before income taxes | (52) | (52) | (41) | |||||||||||
Total (provision) benefit for income taxes | 18 | 18 | 14 | |||||||||||
Equity in net earnings of subsidiaries | 794 | 923 | 983 | |||||||||||
Net income (loss) | 760 | 889 | 956 | |||||||||||
Less: noncontrolling interest | 0 | 0 | 0 | |||||||||||
Net income (loss) | 760 | 889 | 956 | |||||||||||
Comprehensive income (loss) | 685 | 787 | 1,114 | |||||||||||
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | ||||||||||||||
Revenues | ||||||||||||||
Net earned premiums | 0 | 0 | 0 | |||||||||||
Net investment income | 0 | 0 | 1 | |||||||||||
Net realized investment gains (losses) | 0 | 1 | 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 | 0 | ||||||||||||
Other | 0 | 0 | 0 | |||||||||||
Total revenues | 0 | 1 | 1 | |||||||||||
Expenses | ||||||||||||||
Loss and LAE | 0 | 0 | 0 | |||||||||||
Amortization of DAC | 0 | 0 | 0 | |||||||||||
Interest expense | 54 | 54 | 54 | |||||||||||
Other operating expenses | 2 | 1 | 1 | |||||||||||
Total expenses | 56 | 55 | 55 | |||||||||||
Income (loss) before income taxes | (56) | (54) | (54) | |||||||||||
Total (provision) benefit for income taxes | 20 | 19 | 19 | |||||||||||
Equity in net earnings of subsidiaries | 274 | 468 | 513 | |||||||||||
Net income (loss) | 238 | 433 | 478 | |||||||||||
Less: noncontrolling interest | 0 | 0 | 0 | |||||||||||
Net income (loss) | 238 | 433 | 478 | |||||||||||
Comprehensive income (loss) | 163 | 359 | 577 | |||||||||||
Reportable Legal Entities [Member] | Other Entities [Member] | ||||||||||||||
Revenues | ||||||||||||||
Net earned premiums | 892 | 783 | 566 | |||||||||||
Net investment income | 412 | 432 | 412 | |||||||||||
Net realized investment gains (losses) | (28) | (19) | (58) | |||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||
Realized gains (losses) and other settlements | 29 | (18) | 23 | |||||||||||
Net unrealized gains (losses) | 69 | 773 | 800 | |||||||||||
Net change in fair value of credit derivatives | 98 | 755 | 823 | |||||||||||
Bargain purchase gain and settlement of pre-existing relationships | 257 | 54 | ||||||||||||
Other | 78 | 102 | 259 | |||||||||||
Total revenues | 1,709 | 2,107 | 2,002 | |||||||||||
Expenses | ||||||||||||||
Loss and LAE | 296 | 434 | 122 | |||||||||||
Amortization of DAC | 30 | 29 | 33 | |||||||||||
Interest expense | 10 | 14 | 16 | |||||||||||
Other operating expenses | 217 | 202 | 195 | |||||||||||
Total expenses | 553 | 679 | 366 | |||||||||||
Income (loss) before income taxes | 1,156 | 1,428 | 1,636 | |||||||||||
Total (provision) benefit for income taxes | (175) | (365) | (469) | |||||||||||
Equity in net earnings of subsidiaries | 44 | 39 | 32 | |||||||||||
Net income (loss) | 1,025 | 1,102 | 1,199 | |||||||||||
Less: noncontrolling interest | 44 | 39 | 32 | |||||||||||
Net income (loss) | 981 | 1,063 | 1,167 | |||||||||||
Comprehensive income (loss) | 953 | 967 | 1,570 | |||||||||||
Consolidating Adjustments [Member] | ||||||||||||||
Revenues | ||||||||||||||
Net earned premiums | (28) | (17) | 4 | |||||||||||
Net investment income | (4) | (10) | (10) | |||||||||||
Net realized investment gains (losses) | (3) | (8) | (2) | |||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | |||||||||||
Net unrealized gains (losses) | 0 | (27) | 0 | |||||||||||
Net change in fair value of credit derivatives | 0 | (27) | 0 | |||||||||||
Bargain purchase gain and settlement of pre-existing relationships | 2 | 160 | ||||||||||||
Other | (1) | 0 | (1) | |||||||||||
Total revenues | (34) | 98 | (9) | |||||||||||
Expenses | ||||||||||||||
Loss and LAE | (1) | (10) | 4 | |||||||||||
Amortization of DAC | (12) | (9) | (8) | |||||||||||
Interest expense | (14) | (19) | (18) | |||||||||||
Other operating expenses | (5) | (3) | (8) | |||||||||||
Total expenses | (32) | (41) | (30) | |||||||||||
Income (loss) before income taxes | (2) | 139 | 21 | |||||||||||
Total (provision) benefit for income taxes | 1 | (47) | (7) | |||||||||||
Equity in net earnings of subsidiaries | (2,022) | (2,516) | (2,647) | |||||||||||
Net income (loss) | (2,023) | (2,424) | (2,633) | |||||||||||
Less: noncontrolling interest | (44) | (39) | (32) | |||||||||||
Net income (loss) | (1,979) | (2,385) | (2,601) | |||||||||||
Comprehensive income (loss) | $ (1,801) | $ (2,113) | $ (3,261) | |||||||||||
[1] | Excludes $16 million, $21 million and $32 million for the year ended December 31, 2016, 2015 and 2014, respectively, related to consolidated FG VIEs. |
Subsidiary Information - Con147
Subsidiary Information - Condensed Consolidating Statement of Cash Flows (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | $ (141) | $ (52) | $ 577 |
Fixed-maturity securities: | |||
Purchases | (1,646) | (2,577) | (2,801) |
Sales | 1,365 | 2,107 | 1,251 |
Maturities | 1,155 | 898 | 877 |
Sales (purchases) of short-term investments, net | 17 | 897 | 158 |
Net proceeds from financial guaranty variable entities’ assets | 629 | 400 | 408 |
Intercompany debt | 0 | ||
Proceeds from stock redemption and return of capital from subsidiaries | 0 | 0 | 0 |
Acquisition of Radian Asset, net of cash acquired | 0 | 800 | 0 |
Acquisition of CIFG, net of cash acquired | 435 | 0 | 0 |
Other | (9) | 69 | 11 |
Net cash flows provided by (used in) investing activities | 1,076 | 994 | (96) |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | 0 |
Dividends paid | (69) | (72) | (76) |
Repurchases of common stock | (306) | (555) | (590) |
Share activity under option and incentive plans | 10 | (2) | 1 |
Net paydowns of financial guaranty variable entities’ liabilities | (611) | (214) | (396) |
Net proceeds from issuance of long-term debt | 0 | 0 | 495 |
Payment of long-term debt | (2) | (4) | (19) |
Intercompany debt | 0 | ||
Net cash flows provided by (used in) financing activities | (978) | (847) | (585) |
Effect of foreign exchange rate changes | (5) | (4) | (5) |
Increase (decrease) in cash | (48) | 91 | (109) |
Cash at beginning of period | 166 | 75 | 184 |
Cash at end of period | 118 | 166 | 75 |
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 | 390 | 513 | 758 |
Fixed-maturity securities: | |||
Purchases | (4) | 0 | 0 |
Sales | 4 | 0 | 0 |
Maturities | 0 | 0 | 0 |
Sales (purchases) of short-term investments, net | (26) | 116 | (93) |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | 0 |
Intercompany debt | 0 | ||
Proceeds from stock redemption and return of capital from subsidiaries | 0 | 0 | 0 |
Acquisition of Radian Asset, net of cash acquired | 0 | ||
Acquisition of CIFG, net of cash acquired | 0 | ||
Other | 0 | 0 | 0 |
Net cash flows provided by (used in) investing activities | (26) | 116 | (93) |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | 0 |
Dividends paid | (69) | (72) | (76) |
Repurchases of common stock | (306) | (555) | (590) |
Share activity under option and incentive plans | 11 | (2) | 1 |
Net paydowns of financial guaranty variable entities’ liabilities | 0 | 0 | 0 |
Net proceeds from issuance of long-term debt | 0 | ||
Payment of long-term debt | 0 | 0 | 0 |
Intercompany debt | 0 | ||
Net cash flows provided by (used in) financing activities | (364) | (629) | (665) |
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 | 533 | 408 | 223 |
Fixed-maturity securities: | |||
Purchases | (143) | (72) | (540) |
Sales | 24 | 177 | 464 |
Maturities | 30 | 9 | 6 |
Sales (purchases) of short-term investments, net | (237) | 33 | (15) |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | 0 |
Intercompany debt | 0 | ||
Proceeds from stock redemption and return of capital from subsidiaries | 0 | 0 | 0 |
Acquisition of Radian Asset, net of cash acquired | 0 | ||
Acquisition of CIFG, net of cash acquired | 0 | ||
Other | 7 | (5) | 0 |
Net cash flows provided by (used in) investing activities | (319) | 142 | (85) |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | 0 |
Dividends paid | (288) | (455) | (700) |
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 | 495 | ||
Payment of long-term debt | 0 | 0 | 0 |
Intercompany debt | (20) | ||
Net cash flows provided by (used in) financing activities | (308) | (455) | (205) |
Effect of foreign exchange rate changes | 0 | 0 | 0 |
Increase (decrease) in cash | (94) | 95 | (67) |
Cash at beginning of period | 95 | 0 | 67 |
Cash at end of period | 1 | 95 | 0 |
Reportable Legal Entities [Member] | AGMH (Issuer) [Member] | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | 213 | 185 | 144 |
Fixed-maturity securities: | |||
Purchases | (10) | (21) | (8) |
Sales | 12 | 30 | 10 |
Maturities | 0 | 0 | 1 |
Sales (purchases) of short-term investments, net | (10) | 19 | (3) |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | 0 |
Intercompany debt | 0 | ||
Proceeds from stock redemption and return of capital from subsidiaries | 300 | 25 | 50 |
Acquisition of Radian Asset, net of cash acquired | 0 | ||
Acquisition of CIFG, net of cash acquired | 0 | ||
Other | 0 | 0 | 0 |
Net cash flows provided by (used in) investing activities | 292 | 53 | 50 |
Cash flows from financing activities | |||
Return of capital | 0 | 0 | 0 |
Dividends paid | (513) | (234) | (190) |
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 | ||
Payment of long-term debt | 0 | 0 | 0 |
Intercompany debt | 0 | ||
Net cash flows provided by (used in) financing activities | (513) | (234) | (190) |
Effect of foreign exchange rate changes | 0 | 0 | 0 |
Increase (decrease) in cash | (8) | 4 | 4 |
Cash at beginning of period | 8 | 4 | 0 |
Cash at end of period | 0 | 8 | 4 |
Reportable Legal Entities [Member] | Other Entities [Member] | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | 64 | 52 | 663 |
Fixed-maturity securities: | |||
Purchases | (1,489) | (2,550) | (2,253) |
Sales | 1,325 | 1,900 | 777 |
Maturities | 1,125 | 889 | 870 |
Sales (purchases) of short-term investments, net | 290 | 729 | 269 |
Net proceeds from financial guaranty variable entities’ assets | 629 | 400 | 408 |
Intercompany debt | 20 | ||
Proceeds from stock redemption and return of capital from subsidiaries | 4 | 0 | 0 |
Acquisition of Radian Asset, net of cash acquired | 800 | ||
Acquisition of CIFG, net of cash acquired | 442 | ||
Other | (9) | 74 | 11 |
Net cash flows provided by (used in) investing activities | 1,453 | 642 | 82 |
Cash flows from financing activities | |||
Return of capital | (4) | (25) | (50) |
Dividends paid | (540) | (455) | (321) |
Repurchases of common stock | (300) | 0 | 0 |
Share activity under option and incentive plans | (1) | 0 | 0 |
Net paydowns of financial guaranty variable entities’ liabilities | (611) | (214) | (396) |
Net proceeds from issuance of long-term debt | 0 | ||
Payment of long-term debt | (2) | (4) | (19) |
Intercompany debt | 0 | ||
Net cash flows provided by (used in) financing activities | (1,458) | (698) | (786) |
Effect of foreign exchange rate changes | (5) | (4) | (5) |
Increase (decrease) in cash | 54 | (8) | (46) |
Cash at beginning of period | 63 | 71 | 117 |
Cash at end of period | 117 | 63 | 71 |
Consolidating Adjustments [Member] | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash flows provided by (used in) operating activities | (1,341) | (1,210) | (1,211) |
Fixed-maturity securities: | |||
Purchases | 0 | 66 | 0 |
Sales | 0 | 0 | 0 |
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 |
Intercompany debt | (20) | ||
Proceeds from stock redemption and return of capital from subsidiaries | (304) | (25) | (50) |
Acquisition of Radian Asset, net of cash acquired | 0 | ||
Acquisition of CIFG, net of cash acquired | (7) | ||
Other | (7) | 0 | 0 |
Net cash flows provided by (used in) investing activities | (324) | 41 | (50) |
Cash flows from financing activities | |||
Return of capital | 4 | 25 | 50 |
Dividends paid | 1,341 | 1,144 | 1,211 |
Repurchases of common stock | 300 | 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 | ||
Payment of long-term debt | 0 | 0 | 0 |
Intercompany debt | 20 | ||
Net cash flows provided by (used in) financing activities | 1,665 | 1,169 | 1,261 |
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 Informat148
Quarterly Financial Information (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||||||||||||
Revenues | ||||||||||||||||||||||
Net earned premiums | $ 236 | $ 231 | $ 214 | $ 183 | $ 192 | $ 213 | $ 219 | $ 142 | $ 864 | [1] | $ 766 | [1] | $ 570 | [1] | ||||||||
Net investment income | 117 | 94 | 98 | 99 | 112 | 112 | 98 | 101 | 408 | 423 | 403 | |||||||||||
Net realized investment gains (losses) | (24) | (2) | 10 | (13) | (6) | (27) | (9) | 16 | (29) | (26) | (60) | |||||||||||
Net change in fair value of credit derivatives | 74 | 21 | 63 | (60) | 428 | 86 | 90 | 124 | 98 | 728 | 823 | |||||||||||
Fair value gains (losses) on CCS | 50 | (23) | (11) | (16) | 17 | (15) | 23 | 2 | 0 | 27 | (11) | |||||||||||
Fair value gains (losses) on FG VIEs | 27 | (11) | 4 | 18 | 38 | 2 | 5 | (7) | 38 | 38 | ||||||||||||
Bargain purchase gain and settlement of pre-existing relationships | 0 | 259 | 0 | 0 | 0 | 0 | 214 | 0 | 259 | 214 | 0 | |||||||||||
Other income (loss) | (10) | (3) | 18 | 34 | (6) | (3) | 55 | (9) | 39 | 37 | 14 | |||||||||||
Expenses | ||||||||||||||||||||||
Loss and LAE | 112 | (9) | 102 | 90 | 106 | 112 | 188 | 18 | 295 | 424 | 126 | |||||||||||
Amortization of DAC | 5 | 4 | 5 | 4 | 5 | 5 | 6 | 4 | 18 | 20 | 25 | |||||||||||
Interest expense | 25 | 26 | 25 | 26 | 25 | 25 | 26 | 25 | 102 | 101 | 92 | |||||||||||
Other operating expenses | 57 | 65 | 63 | 60 | 55 | 54 | 66 | 56 | 245 | 231 | 220 | |||||||||||
Income (loss) before income taxes | 271 | 480 | 201 | 65 | 584 | 172 | 409 | 266 | 1,017 | 1,431 | 1,531 | |||||||||||
Provision (benefit) for income taxes | 74 | 1 | 55 | 6 | 155 | 43 | 112 | 65 | 136 | 375 | 443 | |||||||||||
Net income (loss) | $ 197 | $ 479 | $ 146 | $ 59 | $ 429 | $ 129 | $ 297 | $ 201 | $ 881 | $ 1,056 | $ 1,088 | |||||||||||
Earnings per share: | ||||||||||||||||||||||
Basic (in dollars per share) | $ 1.51 | [2] | $ 3.63 | [2] | $ 1.09 | [2] | $ 0.43 | [2] | $ 3.05 | [2] | $ 0.88 | [2] | $ 1.97 | [2] | $ 1.29 | [2] | $ 6.61 | [2] | $ 7.12 | [2] | $ 6.30 | |
Diluted (in dollars per share) | 1.49 | [2] | 3.60 | [2] | 1.09 | [2] | 0.43 | [2] | 3.03 | [2] | 0.88 | [2] | 1.96 | [2] | 1.28 | [2] | 6.56 | [2] | 7.08 | [2] | 6.26 | |
Dividends (in dollars per share) | $ 0.13 | [2] | $ 0.13 | [2] | $ 0.13 | [2] | $ 0.13 | [2] | $ 0.12 | [2] | $ 0.12 | [2] | $ 0.12 | [2] | $ 0.12 | [2] | $ 0.52 | [2] | $ 0.48 | [2] | $ 0.44 | |
[1] | Excludes $16 million, $21 million and $32 million for the year ended December 31, 2016, 2015 and 2014, 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. |