Cover Page
Cover Page - shares | 9 Months Ended | |
Sep. 30, 2019 | Nov. 05, 2019 | |
Cover page. | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Document Period End Date | Sep. 30, 2019 | |
Entity File Number | 001-32141 | |
Entity Registrant Name | ASSURED GUARANTY LTD | |
Entity Incorporation, State or Country Code | D0 | |
Entity Tax Identification Number | 98-0429991 | |
Entity Address, Address Line One | 30 Woodbourne Avenue | |
Entity Address, City or Town | Hamilton | |
Entity Address, Postal Zip Code | HM 08 | |
Entity Address, Country | BM | |
City Area Code | 441 | |
Local Phone Number | 279-5700 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | true | |
Title of 12(b) Security | Common Shares | |
Trading Symbol | AGO | |
Security Exchange Name | NYSE | |
Entity Common Stock, Shares Outstanding | 95,390,972 | |
Entity Central Index Key | 0001273813 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q3 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets (unaudited) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Investment portfolio: | ||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $8,811 and $9,884) | $ 9,277 | $ 10,089 |
Short-term investments, at fair value | 1,142 | 729 |
Other invested assets | 57 | 55 |
Total investment portfolio | 10,476 | 10,873 |
Cash | 229 | 104 |
Premiums receivable, net of commissions payable | 844 | 904 |
Deferred acquisition costs | 107 | 105 |
Salvage and subrogation recoverable | 725 | 490 |
Financial guaranty variable interest entities’ assets, at fair value | 469 | 569 |
Other assets | 517 | 558 |
Total assets | 13,367 | 13,603 |
Liabilities and shareholders’ equity | ||
Unearned premium reserve | 3,334 | 3,512 |
Loss and loss adjustment expense reserve | 1,007 | 1,177 |
Long-term debt | 1,234 | 1,233 |
Credit derivative liabilities | 214 | 209 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 388 | 517 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 105 | 102 |
Other liabilities | 433 | 298 |
Total liabilities | 6,715 | 7,048 |
Commitments and contingencies (see Note 12) | ||
Common stock ($0.01 par value, 500,000,000 shares authorized; 96,495,143 and 103,672,592 shares issued and outstanding) | 1 | 1 |
Additional paid-in capital | 0 | 86 |
Retained earnings | 6,331 | 6,374 |
Accumulated other comprehensive income, net of tax of $77 and $38 | 319 | 93 |
Deferred equity compensation | 1 | 1 |
Total shareholders’ equity | 6,652 | 6,555 |
Total liabilities and shareholders’ equity | $ 13,367 | $ 13,603 |
Condensed Consolidated Balanc_2
Condensed Consolidated Balance Sheets (unaudited) (Parenthetical) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Statement of Financial Position [Abstract] | ||
Fixed maturity securities, available-for-sale, at fair value | $ 8,811 | $ 9,884 |
Common stock par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 500,000,000 | 500,000,000 |
Common stock, shares issued (in shares) | 96,495,143 | 103,672,592 |
Common stock, shares outstanding (in shares) | 96,495,143 | 103,672,592 |
Accumulated other comprehensive income, tax provision | $ 77 | $ 38 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Operations (unaudited) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Revenues | ||||
Net earned premiums | $ 123 | $ 142 | $ 353 | $ 423 |
Net investment income | 88 | 99 | 296 | 297 |
Net realized investment gains (losses) | 16 | (7) | 12 | (14) |
Net change in fair value of credit derivatives | 5 | 21 | (25) | 103 |
Fair value gains (losses) on financial guaranty variable interest entities | 4 | 5 | 42 | 11 |
Foreign exchange gain (loss) on remeasurement | (21) | (9) | (24) | (22) |
Fair value gains (losses) on equity investments | 0 | 32 | 0 | 29 |
Loss on extinguishment of debt | 0 | (9) | (1) | (26) |
Other income (loss) | (9) | 1 | 14 | (13) |
Total revenues | 206 | 275 | 667 | 788 |
Expenses | ||||
Loss and loss adjustment expenses | 30 | 17 | 75 | 43 |
Amortization of deferred acquisition costs | 3 | 3 | 13 | 12 |
Interest expense | 22 | 23 | 67 | 71 |
Other operating expenses | 65 | 56 | 189 | 183 |
Total expenses | 120 | 99 | 344 | 309 |
Income (loss) before income taxes and equity in net earnings of investees | 86 | 176 | 323 | 479 |
Equity in net earnings of investees | 0 | (1) | 3 | 0 |
Income (loss) before income taxes | 86 | 175 | 326 | 479 |
Provision (benefit) for income taxes | 17 | 14 | 61 | 46 |
Net income (loss) attributable to Assured Guaranty Ltd. | $ 69 | $ 161 | $ 265 | $ 433 |
Earnings per share: | ||||
Basic (in dollars per share) | $ 0.71 | $ 1.48 | $ 2.63 | $ 3.87 |
Diluted (in dollars per share) | $ 0.70 | $ 1.47 | $ 2.61 | $ 3.83 |
Condensed Consolidated Statem_2
Condensed Consolidated Statements of Comprehensive Income (unaudited) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 69 | $ 161 | $ 265 | $ 433 |
Change in net unrealized gains (losses) on: | ||||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $7, $(12), $51 and $(43) | 33 | (59) | 275 | (250) |
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(2), $(2), $(14) and $(2) | (9) | (9) | (52) | (5) |
Change in net unrealized gains (losses) on investments | 24 | (68) | 223 | (255) |
Change in net unrealized gains (losses) on financial guaranty variable interest entities' liabilities with recourse resulting from a change in the instrument-specific credit risk, net of tax | 0 | (3) | 4 | (1) |
Other, net of tax provision (benefit) | 0 | (3) | (1) | (6) |
Other comprehensive income (loss) | 24 | (74) | 226 | (262) |
Comprehensive income (loss) | $ 93 | $ 87 | $ 491 | $ 171 |
Condensed Consolidated Statem_3
Condensed Consolidated Statements of Comprehensive Income (unaudited) (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Statement of Comprehensive Income [Abstract] | ||||
Investments with no other-than-temporary impairment, tax provision (benefit) | $ 7 | $ (12) | $ 51 | $ (43) |
Investments with other-than-temporary impairment, tax provision (benefit) | $ (2) | $ (2) | $ (14) | $ (2) |
Condensed Consolidated Statem_4
Condensed Consolidated Statement of Shareholders' Equity (unaudited) - USD ($) $ in Millions | Total | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings [Member] | Accumulated Other Comprehensive Income [Member] | Deferred Equity Compensation [Member] |
Increase (Decrease) in Shareholders' Equity | ||||||
Effect of adoption of ASU | $ (32) | |||||
Beginning balance (in shares) at Dec. 31, 2017 | 116,020,852 | |||||
Beginning balance at Dec. 31, 2017 | 6,839 | $ 1 | $ 573 | $ 5,892 | $ 372 | $ 1 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net income | 433 | 433 | ||||
Dividends (in dollars per share) | (54) | (54) | ||||
Share-based compensation and other (in shares) | 867,024 | |||||
Share-based compensation and other | 7 | 7 | ||||
Common stock repurchases (in shares) | (10,250,175) | |||||
Common stock repurchases | (380) | (380) | ||||
Effect on OCI | (262) | (262) | ||||
Ending balance (in shares) at Sep. 30, 2018 | 106,637,701 | |||||
Ending balance at Sep. 30, 2018 | 6,583 | $ 1 | 200 | 6,303 | 78 | 1 |
Beginning balance (in shares) at Jun. 30, 2018 | 109,614,214 | |||||
Beginning balance at Jun. 30, 2018 | 6,634 | $ 1 | 321 | 6,159 | 152 | 1 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net income | 161 | 161 | ||||
Dividends (in dollars per share) | (17) | (17) | ||||
Share-based compensation and other (in shares) | 322,536 | |||||
Share-based compensation and other | 9 | 9 | ||||
Common stock repurchases (in shares) | (3,299,049) | |||||
Common stock repurchases | (130) | (130) | ||||
Effect on OCI | (74) | (74) | ||||
Ending balance (in shares) at Sep. 30, 2018 | 106,637,701 | |||||
Ending balance at Sep. 30, 2018 | 6,583 | $ 1 | 200 | 6,303 | 78 | 1 |
Beginning balance (in shares) at Dec. 31, 2018 | 103,672,592 | |||||
Beginning balance at Dec. 31, 2018 | 6,555 | $ 1 | 86 | 6,374 | 93 | 1 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net income | 265 | 265 | ||||
Dividends (in dollars per share) | (56) | (56) | ||||
Share-based compensation and other (in shares) | 650,963 | |||||
Share-based compensation and other | 2 | 2 | ||||
Common stock repurchases (in shares) | (7,828,412) | |||||
Common stock repurchases | (340) | (88) | (252) | |||
Effect on OCI | 226 | 226 | ||||
Ending balance (in shares) at Sep. 30, 2019 | 96,495,143 | |||||
Ending balance at Sep. 30, 2019 | 6,652 | $ 1 | 0 | 6,331 | 319 | 1 |
Beginning balance (in shares) at Jun. 30, 2019 | 99,801,012 | |||||
Beginning balance at Jun. 30, 2019 | 6,722 | $ 1 | 0 | 6,425 | 295 | 1 |
Increase (Decrease) in Shareholders' Equity | ||||||
Net income | 69 | 69 | ||||
Dividends (in dollars per share) | (18) | (18) | ||||
Share-based compensation and other (in shares) | 94,808 | |||||
Share-based compensation and other | 5 | 5 | ||||
Common stock repurchases (in shares) | (3,400,677) | |||||
Common stock repurchases | (150) | (5) | (145) | |||
Effect on OCI | 24 | 24 | ||||
Ending balance (in shares) at Sep. 30, 2019 | 96,495,143 | |||||
Ending balance at Sep. 30, 2019 | $ 6,652 | $ 1 | $ 0 | $ 6,331 | $ 319 | $ 1 |
Condensed Consolidated Statem_5
Condensed Consolidated Statement of Shareholders' Equity (unaudited) (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Statement of Stockholders' Equity [Abstract] | ||||
Dividends, per share (in dollars per share) | $ 0.18 | $ 0.16 | $ 0.54 | $ 0.48 |
Condensed Consolidated Statem_6
Condensed Consolidated Statements of Cash Flows (unaudited) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2019 | Sep. 30, 2018 | |
Statement of Cash Flows [Abstract] | ||
Net cash flows provided by (used in) operating activities | $ (365) | $ 352 |
Fixed-maturity securities: | ||
Purchases | (688) | (1,478) |
Sales | 1,306 | 908 |
Maturities and paydowns | 664 | 746 |
Short-term investments with original maturities of over three months: | ||
Purchases | (216) | (148) |
Sales | 2 | 1 |
Maturities and paydowns | 206 | 136 |
Net sales (purchases) of short-term investments with original maturities of less than three months | (404) | (80) |
Net proceeds from paydowns on financial guaranty variable interest entities’ assets | 119 | 90 |
Net proceeds from sales of financial guaranty variable interest entities’ assets | 51 | 0 |
Other | 30 | 19 |
Net cash flows provided by (used in) investing activities | 1,070 | 194 |
Financing activities | ||
Dividends paid | (56) | (55) |
Repurchases of common stock | (340) | (380) |
Net paydowns of financial guaranty variable interest entities’ liabilities | (162) | (90) |
Paydown of long-term debt | (4) | (73) |
Other | (16) | (8) |
Net cash flows provided by (used in) financing activities | (578) | (606) |
Effect of foreign exchange rate changes | (2) | (2) |
Increase (decrease) in cash and restricted cash | 125 | (62) |
Cash and restricted cash at beginning of period (see Note 7) | 104 | 144 |
Cash and restricted cash at end of period (see Note 7) | 229 | 82 |
Supplemental cash flow information | ||
Income taxes | (2) | (5) |
Interest on long-term debt | $ 51 | $ 66 |
Business and Basis of Presentat
Business and Basis of Presentation | 9 Months Ended |
Sep. 30, 2019 | |
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 and, as of October 1, 2019, asset management services. 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 Western Europe, Canada and Australia. The Company also provides non-financial guaranty insurance and reinsurance on transactions with similar risk profiles to its structured finance exposures written in financial guaranty form. In addition, as of October 1, 2019, the Company manages assets across collateralized loan obligations (CLOs) and long-duration opportunity funds that build on its corporate credit, asset-backed finance and healthcare experience as well as certain funds now subject to orderly wind-down. Basis of Presentation The unaudited interim condensed consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). In management's opinion, all material adjustments necessary for a fair statement of the financial condition, results of operations and cash flows of the Company and its consolidated variable interest entities (VIEs) are reflected in the periods presented and are of a normal, recurring nature. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. These unaudited interim condensed consolidated financial statements are as of September 30, 2019 and cover the three-month period ended September 30, 2019 ( Third Quarter 2019 ), the three-month period ended September 30, 2018 ( Third Quarter 2018 ), the nine-month period ended September 30, 2019 ( Nine Months 2019 ) and the nine-month period ended September 30, 2018 ( Nine Months 2018 ). Certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but is not required for interim reporting purposes, has been condensed or omitted. The year-end condensed consolidated balance sheet data was derived from audited financial statements, but does not include all disclosures required by GAAP. The presentation of cash flow amounts related to short-term investments was changed during the fourth quarter of 2018 to reflect cash flows on a gross, rather than a net, basis. The presentation of equity in net earnings of investees was changed in 2019 to reclassify amounts previously reported in net investment income and other income to a separate line item on the condensed consolidated statements of operations. Certain prior year balances have been reclassified to conform to the current year's presentation. The unaudited interim condensed consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries and its consolidated VIEs. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. These unaudited interim condensed consolidated financial statements should be read in conjunction with the consolidated financial statements included in AGL’s Annual Report on Form 10-K for the year ended December 31, 2018 , filed with the U.S. Securities and Exchange Commission (SEC). 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) plc (AGE), organized in the U.K.; • Assured Guaranty Re Ltd. (AG Re), domiciled in Bermuda; and • Assured Guaranty Re Overseas Ltd. (AGRO), domiciled in Bermuda. The Company’s organizational structure includes various holding companies, two of which - Assured Guaranty US Holdings Inc. (AGUS) and Assured Guaranty Municipal Holdings Inc. (AGMH) - have public debt outstanding. See Note 15, Subsidiary Information. Acquisition of BlueMountain On October 1, 2019, AGUS completed the acquisition of all of the outstanding equity interests in BlueMountain Capital Management, LLC (BlueMountain) and its associated entities, for a purchase price of approximately $160 million (BlueMountain Acquisition). As of the date of acquisition, BlueMountain managed $18.3 billion in assets across CLOs and long-duration opportunity funds that build on its corporate credit, asset-backed finance and healthcare experience, as well as certain funds now subject to orderly wind-down. In addition, AGUS contributed $60 million of cash to BlueMountain at closing and intends to contribute an additional $30 million in cash within a year from closing. To fund the BlueMountain Acquisition and the related capital contributions, AGM, AGC and MAC made 10 year, 3.5% interest rate inter-company loans to AGUS totaling $250 million . 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 Form 10-K for year ended December 31, 2019. Adopted Accounting Standards Leases In February 2016, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2016-02, Leases (Topic 842) . The Company adopted Topic 842 on January 1, 2019 using the optional transition method that allows the Company to initially apply the new requirements at the effective date, with no revision to prior periods. See Note 12, Commitments and Contingencies, for additional information. Premium Amortization on Purchased Callable Debt Securities In March 2017, the FASB issued ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Topic 310-20) - Premium Amortization on Purchased Callable Debt Securities . This ASU shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date. This ASU was adopted on January 1, 2019, with no effect on the Company's condensed consolidated financial statements. Future Application of Accounting Standards 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 ASU provides a new current expected credit loss model to account for credit losses on certain financial assets (e.g., reinsurance recoverables, premium receivables, and held-to-maturity debt securities) and off-balance sheet exposures (e.g., loan commitments). That model requires an entity to estimate lifetime credit losses related to certain financial assets, based on relevant historical information, adjusted for current conditions and reasonable and supportable forecasts that could affect the collectability of the reported amount. The ASU also makes targeted amendments to the current impairment model for available-for-sale debt securities, which includes requiring the recognition of an allowance rather than a direct write-down of the investment. The allowance may be reversed in the event that the credit of an issuer improves. In addition, the ASU eliminates the existing guidance for purchased credit impaired assets and introduces a new model for purchased financial assets with credit deterioration, such as the Company's loss mitigation securities, which requires the recognition of an initial allowance for credit losses. Under the new guidance, the amortized cost would be the purchase price plus the allowance at the acquisition date. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. For reinsurance recoverables, premiums receivable and debt instruments such as loans and held to maturity securities, 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 purchased financial assets with credit deterioration are to be applied prospectively. Early adoption of the amendments is permitted; however, the Company does not plan to adopt this ASU until January 1, 2020. The Company does not expect ASU 2016-13 to have a material effect on shareholders' equity at the date of adoption. Targeted Improvements to the Accounting for Long-Duration Contracts In August 2018, the FASB issued ASU 2018-12, Financial Services - Insurance (Topic 944): Targeted Improvements to the Accounting for Long-Duration Contracts . The amendments in this ASU: • improve the timeliness of recognizing changes in the liability for future policy benefits and modify the rate used to discount future cash flows, • simplify and improve the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, • simplify the amortization of deferred acquisition costs, and • improve the effectiveness of the required disclosures. This ASU does not affect the Company’s financial guaranty insurance contracts, but may affect its accounting for certain non-financial guaranty contracts. In October 2019, the FASB affirmed its decision to defer the effective date of the ASU to January 1, 2022. The Company does not plan to adopt this ASU early, and does not expect this ASU to have a material effect on its condensed consolidated financial statements. |
Ratings
Ratings | 9 Months Ended |
Sep. 30, 2019 | |
Rating Actions [Abstract] | |
Ratings | Ratings The financial strength ratings (or similar ratings) for AGL’s insurance subsidiaries, along with the date of the most recent rating action (or confirmation) by the rating agency, are shown in the table below. Ratings are subject to continuous rating agency review and revision or withdrawal at any time. In addition, 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. S&P Global Ratings, a division of Standard & Poor’s Financial Services LLC (S&P) Kroll Bond Rating Agency Moody’s Investors Service, Inc. (Moody’s) A.M. Best Company, Inc. AGM AA (stable) (11/7/19) AA+ (stable) (12/21/18) A2 (stable) (8/13/19) — AGC AA (stable) (11/7/19) AA (stable) (11/30/18) (1) — MAC AA (stable) (11/7/19) AA+ (stable) (7/12/19) — — AG Re AA (stable) (11/7/19) — — — AGRO AA (stable) (11/7/19) — — A+ (stable) (7/12/19) AGE AA (stable) (11/7/19) AA+ (stable) (12/21/18) A2 (stable) (8/13/19) — ____________________ (1) AGC requested that Moody’s withdraw its financial strength ratings of AGC in January 2017, but Moody's denied that request. Moody’s continues to rate AGC A3 (stable). There can be no assurance that any of the rating agencies will not take negative action on the financial strength ratings (or similar ratings) of AGL's insurance subsidiaries in the future or cease to rate one or more of AGL's insurance subsidiaries, either voluntarily or at the request of that subsidiary. For a discussion of the effects of rating actions on the Company, see Note 5, Contracts Accounted for as Insurance, and Note 11, Reinsurance. |
Outstanding Exposure
Outstanding Exposure | 9 Months Ended |
Sep. 30, 2019 | |
Outstanding Exposure Disclosure | |
Outstanding Exposure | Outstanding Exposure The Company primarily sells credit protection contracts in financial guaranty insurance form. Until 2009, the Company also sold credit protection by issuing policies that guaranteed payment obligations under credit derivatives, primarily credit default swaps (CDS). The Company's contracts accounted for as credit derivatives are generally structured such that the circumstances giving rise to the Company’s obligation to make loss payments are similar to those for its financial guaranty insurance contracts. The Company has not entered into any new CDS in order to sell credit protection in the U.S. since the beginning of 2009, when regulatory guidelines were issued that limited the terms under which such protection could be sold. The capital and margin requirements applicable under the Dodd-Frank Wall Street Reform and Consumer Protection Act also contributed to the Company not entering into such new CDS in the U.S. since 2009. The Company has, however, acquired or reinsured portfolios both before and after 2009 that include financial guaranty contracts in credit derivative form. The Company also writes non-financial guaranty insurance that is consistent with its risk profile and benefits from its underwriting experience. The Company seeks to limit its exposure to losses by underwriting obligations that it views as investment grade at inception, although on occasion it may underwrite new issuances that it views as below-investment-grade (BIG), typically as part of its loss mitigation strategy for existing troubled exposures. The Company also seeks to acquire portfolios of insurance from financial guarantors that are no longer writing new business by acquiring such companies, providing reinsurance on a portfolio of insurance or reassuming a portfolio of reinsurance it had previously ceded; in such instances, it evaluates the risk characteristics of the target portfolio, which may include some BIG exposures, as a whole in the context of the proposed transaction. The Company diversifies its insured portfolio across asset classes and, in the structured finance portfolio, typically requires subordination or collateral to protect it from loss. Reinsurance may be used in order to reduce net exposure to certain insured transactions. Public finance obligations insured by the Company primarily consist of general obligation bonds supported by the taxing powers of U.S. state or municipal governmental authorities, as well as tax-supported bonds, revenue bonds and other obligations supported by covenants from state or municipal governmental authorities or other municipal obligors to impose and collect fees and charges for public services or specific infrastructure projects. The Company 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, healthcare 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, 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. The Company also provides non-financial guaranty insurance and reinsurance on transactions without special purpose entities but with similar risk profiles to its structured finance exposures written in financial guaranty form. Second-to-pay insured par outstanding represents transactions the Company has insured that are already insured by another financial guaranty insurer and where the Company's obligation to pay under its insurance of such transactions arises only if both the obligor on the underlying insured obligation and the primary financial guaranty insurer default. The Company underwrites such transactions based on the underlying insured obligation without regard to the primary financial guaranty insurer and internally rates the transaction the higher of the rating of the underlying obligation and the rating of the primary financial guarantor. The second-to-pay insured par outstanding as of September 30, 2019 and December 31, 2018 was $6.4 billion and $6.7 billion , respectively. The par on second-to-pay exposure where the ratings of the primary financial guaranty insurer and underlying insured transaction are both BIG and/or not rated was $106 million and $111 million as of September 30, 2019 and December 31, 2018 , respectively. 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 insured portfolio and refreshes its internal credit ratings on individual exposures in quarterly, semi-annual or annual cycles based on the Company’s view of the exposure’s credit quality, loss potential, volatility and sector. Ratings on exposures in sectors identified as under the most stress or with the most potential volatility are reviewed every quarter, although the Company may also review a rating in response to developments impacting the credit when a ratings review is not scheduled. For assumed exposures, the Company may use the ceding company’s credit ratings of transactions where it is impractical for it to assign its own rating. Exposures identified as BIG are subjected to further review to determine the probability of a loss. See Note 4, Expected Loss to be Paid, for additional information. Surveillance personnel then assign each BIG transaction to the appropriate BIG surveillance category based upon whether a future loss is expected and whether a claim has been paid. The Company uses a tax-equivalent yield to calculate the present value of projected payments and recoveries and determine whether a future loss is expected in order to assign the appropriate BIG surveillance category to a transaction. For financial statement measurement purposes, the Company uses risk-free rates, which are determined each quarter, to calculate the expected loss. More extensive monitoring and intervention is employed for all BIG surveillance categories, with internal credit ratings reviewed quarterly. For purposes of determining the appropriate surveillance category, the Company expects “future losses” on a transaction when the Company believes there is at least a 50% chance that, on a present value basis, it will in the future pay claims on that transaction that will not be fully reimbursed. The three BIG categories are: • BIG Category 1: Below-investment-grade transactions showing sufficient deterioration to make future losses possible, but for which none are currently expected. • BIG Category 2: Below-investment-grade transactions for which future losses are expected but for which no claims (other than liquidity claims, which are claims that the Company expects to be reimbursed within one year ) have yet been paid. • BIG Category 3: Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid. 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 from par and debt service outstanding, which amounts are included in the investment portfolio, because it manages such securities as investments and not insurance exposure. As of September 30, 2019 and December 31, 2018 , the Company excluded $1.5 billion and $1.9 billion , respectively, of net par attributable to loss mitigation securities. Financial Guaranty Exposure Financial Guaranty Portfolio Debt Service Outstanding Gross Debt Service Outstanding Net Debt Service Outstanding As of September 30, 2019 As of December 31, 2018 As of September 30, 2019 As of December 31, 2018 (in millions) Public finance $ 343,956 $ 361,511 $ 342,801 $ 358,438 Structured finance 12,324 13,569 11,811 13,148 Total financial guaranty $ 356,280 $ 375,080 $ 354,612 $ 371,586 Financial Guaranty Portfolio by Internal Rating As of September 30, 2019 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 $ 384 0.2 % $ 2,429 5.6 % $ 1,345 14.6 % $ 179 23.8 % $ 4,337 1.9 % AA 20,646 11.7 1,707 4.0 3,740 40.5 37 4.9 26,130 11.4 A 97,366 55.2 12,764 29.8 912 9.9 174 23.1 111,216 48.5 BBB 52,359 29.6 25,119 58.6 1,378 14.9 321 42.7 79,177 34.5 BIG 5,760 3.3 863 2.0 1,851 20.1 41 5.5 8,515 3.7 Total net par outstanding $ 176,515 100.0 % $ 42,882 100.0 % $ 9,226 100.0 % $ 752 100.0 % $ 229,375 100.0 % Financial Guaranty Portfolio by Internal Rating As of December 31, 2018 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 $ 413 0.2 % $ 2,399 5.4 % $ 1,533 15.4 % $ 273 22.9 % $ 4,618 1.9 % AA 21,646 11.6 1,711 3.9 3,599 36.2 65 5.4 27,021 11.2 A 105,180 56.4 13,013 29.5 1,016 10.2 206 17.3 119,415 49.4 BBB 52,935 28.4 25,939 58.8 1,164 11.7 550 46.1 80,588 33.3 BIG 6,388 3.4 1,041 2.4 2,632 26.5 99 8.3 10,160 4.2 Total net par outstanding $ 186,562 100.0 % $ 44,103 100.0 % $ 9,944 100.0 % $ 1,193 100.0 % $ 241,802 100.0 % In addition to amounts shown in the table above, the Company had outstanding commitments to provide guaranties of $983 million of gross par for public finance. These commitments are contingent on the satisfaction of all conditions set forth in them and may expire unused or be canceled at the counterparty’s request. Therefore, the total commitment amount does not necessarily reflect actual future guaranteed amounts. In addition, in Third Quarter 2019 the Company entered into a commitment to issue a financial guaranty policy for $500 million in structured finance gross par. Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of September 30, 2019 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 1,604 $ 398 $ 3,758 $ 5,760 $ 176,515 Non-U.S. public finance 819 — 44 863 42,882 Public finance 2,423 398 3,802 6,623 219,397 Structured finance: U.S. residential mortgage-backed securities (RMBS) 118 88 1,460 1,666 3,687 Life insurance transactions — — 40 40 1,223 Other structured finance 71 65 50 186 5,068 Structured finance 189 153 1,550 1,892 9,978 Total $ 2,612 $ 551 $ 5,352 $ 8,515 $ 229,375 Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 31, 2018 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 1,767 $ 399 $ 4,222 $ 6,388 $ 186,562 Non-U.S. public finance 796 245 — 1,041 44,103 Public finance 2,563 644 4,222 7,429 230,665 Structured finance: U.S. RMBS 368 214 1,805 2,387 4,270 Life insurance transactions — — 85 85 1,184 Other structured finance 127 79 53 259 5,683 Structured finance 495 293 1,943 2,731 11,137 Total $ 3,058 $ 937 $ 6,165 $ 10,160 $ 241,802 Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of September 30, 2019 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 $ 2,543 $ 69 $ 2,612 119 6 125 Category 2 547 4 551 26 1 27 Category 3 5,293 59 5,352 134 7 141 Total BIG $ 8,383 $ 132 $ 8,515 279 14 293 Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 2018 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 $ 2,981 $ 77 $ 3,058 128 6 134 Category 2 932 5 937 39 1 40 Category 3 6,090 75 6,165 145 8 153 Total BIG $ 10,003 $ 157 $ 10,160 312 15 327 _____________________ (1) Includes VIEs. (2) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. Exposure to Puerto Rico The Company had insured exposure to general obligation bonds of the Commonwealth of Puerto Rico (Puerto Rico or the Commonwealth) and various obligations of its related authorities and public corporations aggregating $4.3 billion net par as of September 30, 2019 , all of which was rated BIG. Beginning on January 1, 2016, a number of Puerto Rico exposures have defaulted on bond payments, and the Company has now paid claims on all of its Puerto Rico exposures except for Puerto Rico Aqueduct and Sewer Authority (PRASA), Municipal Finance Agency (MFA) and University of Puerto Rico (U of PR). On November 30, 2015 and December 8, 2015, the then governor of Puerto Rico issued executive orders (Clawback Orders) directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to "claw back" 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). The Puerto Rico exposures insured by the Company subject to clawback are shown in the table “Puerto Rico Net Par Outstanding.” On June 30, 2016, the Puerto Rico Oversight, Management, and Economic Stability Act (PROMESA) was signed into law. PROMESA established a seven-member financial oversight board (Oversight Board) with authority to require that balanced budgets and fiscal plans be adopted and implemented by Puerto Rico. The Company believes that a number of the actions taken by the Commonwealth, the Oversight Board and others with respect to obligations the Company insures are illegal or unconstitutional or both, and has taken legal action, and may take additional legal action in the future, to enforce its rights with respect to these matters. In addition, the Commonwealth, the Oversight Board and others have taken legal action naming the Company as a party. See “Puerto Rico Litigation” below. The Company also participates in mediation and negotiations relating to its Puerto Rico exposure. The final form and timing of responses to Puerto Rico’s financial distress and the devastation of Hurricane Maria eventually taken by the federal government or implemented under the auspices of PROMESA and the Oversight Board or otherwise, and the final impact, after resolution of legal challenges, of any such responses on obligations insured by the Company, are 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 claw back revenues supporting debt insured by the Company. • 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 September 30, 2019 , the Company had $1,253 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. Despite the requirements of Article VI of its Constitution, the Commonwealth defaulted on the debt service payment due on July 1, 2016, and the Company has been making claim payments on these bonds since that date. The Oversight Board has filed a petition under Title III of PROMESA with respect to the Commonwealth. On May 9, 2019, the Oversight Board certified a revised fiscal plan for the Commonwealth. The revised certified Commonwealth fiscal plan indicates an expected primary budget surplus, if fiscal plan reforms are enacted, of $13.7 billion that would be available for debt service over the six -year forecast period ending 2024. The Company believes the available surplus set forth in the Oversight Board's revised certified fiscal plan (which assumes certain fiscal reforms are implemented by the Commonwealth) should be sufficient to cover contractual debt service of Commonwealth general obligation issuances and of authorities and public corporations directly implicated by the Commonwealth’s general fund during the forecast period. However, the revised certified Commonwealth fiscal plan indicates a net cumulative primary budget deficit through 2049, and there can be no assurance that the fiscal reforms will be enacted or, if they are, that the forecasted primary budget surplus will occur or, if it does, that such funds will be used to cover contractual debt service. On June 16, 2019, the Oversight Board announced it had entered into a general obligation Plan Support Agreement (GO PSA) with certain general obligation and Puerto Rico Public Buildings Authority (PBA) bondholders representing only approximately $3 billion of claims. The GO PSA purports to provide a framework to address approximately $35 billion of claims against the Commonwealth. The Company is not a party to that agreement and does not support it. The GO PSA provides for different recoveries for bonds issued before 2012 (Vintage) and bonds issued in 2012 and 2014 (New) based on the Oversight Board’s attempt to invalidate the New general obligation and PBA bonds (see “Puerto Rico Litigation” below), and the proposed recovery varies depending on the outcome of that litigation. Under the GO PSA: • Vintage general obligation bondholders generally would receive newly issued Commonwealth bonds and cash equal to 64.3% of their outstanding claims, plus up to approximately 25.1% of their outstanding claims to a cap of 89.4% from settlement and litigation savings from the invalidation lawsuit, as well as a share of excess revenues if the Commonwealth outperforms its fiscal plan in the near term. • If the Oversight Board loses its invalidation lawsuit, holders of New general obligation bonds generally would receive the same treatment as the holders of Vintage general obligation bonds but would not share in the upside if the Commonwealth outperforms its fiscal plan. • If the Oversight Board wins its invalidation lawsuit, holders of New general obligation bonds would not receive any recovery. • In all cases, holders of general obligation bonds supporting the GO PSA are also entitled to certain fees. On September 27, 2019, the Oversight Board filed with the Title III court a Plan of Adjustment (POA) to restructure approximately $35 billion of debt (including the general obligation bonds) and other claims against the government of Puerto Rico and certain entities and $50 billion in pension obligations. The POA incorporates the terms related to the general obligation bonds proposed under the GO PSA. The Company believes the POA, as currently constituted, does not comply with the laws and constitution of Puerto Rico and the provisions of PROMESA and does not satisfy the statutory requirements for confirmation of a plan of adjustment under Title III of PROMESA. PBA. As of September 30, 2019 , the Company had $140 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. Despite the requirements of Article VI of its Constitution, the PBA defaulted on most of the debt service payment due on July 1, 2016, and the Company has been making claim payments on these bonds since then. On September 27, 2019, the Oversight Board filed a petition under Title III of PROMESA with respect to the PBA to allow the restructuring of the PBA claims through the POA. Under the GO PSA (which does not include the Company as a party and which the Company does not support): • Holders of Vintage PBA bonds generally would receive newly issued Commonwealth bonds and cash equal to 72.6% of their outstanding claims, plus up to approximately 16.8% of their outstanding claims to a cap of 89.4% from settlement and litigation savings from the invalidation lawsuit, as well as a share of excess revenues if the Commonwealth outperforms its fiscal plan in the near term. • If the Oversight Board loses its invalidation lawsuit, holders of New PBA bonds generally would receive the same treatment as the holders of Vintage PBA bonds but would not share in the upside if the Commonwealth outperforms its fiscal plan. • If the Oversight Board wins its invalidation lawsuit, holders of New PBA bonds would not receive any recovery. • In all cases, holders of PBA bonds supporting the GO PSA are also entitled to certain fees. As noted above, on September 27, 2019, the Oversight Board filed with the Title III court a POA to restructure approximately $35 billion of debt (including the PBA bonds) and other claims against the government of Puerto Rico and certain entities and $50 billion in pension obligations. The POA incorporates the terms related to the PBA bonds proposed under the GO PSA. The Company believes the POA, as currently constituted, does not comply with the laws and constitution of Puerto Rico and the provisions of PROMESA and does not satisfy the statutory requirements for confirmation of a plan of adjustment under Title III of PROMESA. Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA. As of September 30, 2019 , the Company had $811 million insured net par outstanding of PRHTA (transportation revenue) bonds and $454 million insured net par outstanding of PRHTA (highways revenue) bonds. The transportation revenue bonds are secured by a subordinate gross lien on gasoline and gas oil and diesel oil taxes, motor vehicle license fees and certain tolls, plus a first lien on up to $120 million annually of taxes on crude oil, unfinished oil and derivative products. The highways revenue bonds are secured by a gross lien on gasoline and gas oil and diesel oil taxes, motor vehicle license fees and certain tolls. The non-toll revenues consisting of excise taxes and fees collected by the Commonwealth on behalf of PRHTA and its bondholders that are statutorily allocated to PRHTA and its bondholders are potentially subject to clawback. Despite the presence of funds in relevant debt service reserve accounts that the Company believes should have been employed to fund debt service, PRHTA defaulted on the full July 1, 2017 insured debt service payment, and the Company has been making claim payments on these bonds since that date. The Oversight Board has filed a petition under Title III of PROMESA with respect to PRHTA. On June 5, 2019, the Oversight Board certified a revised fiscal plan for PRHTA. The revised certified PRHTA fiscal plan projects very limited capacity to pay debt service over the six -year forecast period. PRCCDA. As of September 30, 2019 , 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 potentially subject to clawback. There were sufficient funds in the PRCCDA bond accounts to make only partial payments on the July 1, 2017 PRCCDA bond payments guaranteed by the Company, and the Company has been making claim payments on these bonds since that date. PRIFA. As of September 30, 2019 , the Company had $16 million insured net par outstanding of PRIFA bonds, which are secured primarily by the return to PRIFA and its bondholders of a portion of federal excise taxes paid on rum. These revenues are potentially subject to the clawback. The Company has been making claim payments on the PRIFA bonds since January 2016. Other Public Corporations Puerto Rico Electric Power Authority ( PREPA). As of September 30, 2019 , the Company had $822 million insured net par outstanding of PREPA obligations, which are secured by a lien on the revenues of the electric system. The Company has been making claim payments on these bonds since July 1, 2017. On July 2, 2017, the Oversight Board commenced proceedings for PREPA under Title III of PROMESA. On June 27, 2019, the Oversight Board certified a revised fiscal plan for PREPA. On May 3, 2019, AGM and AGC entered into a restructuring support agreement with PREPA (PREPA RSA) and other stakeholders, including a group of uninsured PREPA bondholders, the Commonwealth of Puerto Rico, and the Oversight Board, that is intended to, among other things, provide a framework for the consensual resolution of the treatment of the Company’s insured PREPA revenue bonds in PREPA's recovery plan. Upon consummation of the restructuring transaction, PREPA’s revenue bonds will be exchanged into new securitization bonds issued by a special purpose corporation and secured by a segregated transition charge assessed on electricity bills. The revised fiscal plan of PREPA certified by the Oversight Board on June 27, 2019 reflects the relevant terms of the PREPA RSA. The closing of the restructuring transaction is subject to a number of conditions, including approval by the Title III Court of the PREPA RSA and settlement described therein, a minimum of 67% support of voting bondholders for a plan of adjustment that includes this proposed treatment of PREPA revenue bonds and confirmation of such plan by the Title III court, and execution of acceptable documentation and legal opinions. Under the PREPA RSA, the Company has the option to guarantee its allocated share of the securitization exchange bonds, which may then be offered and sold in the capital markets. The Company believes that the additive value created by attaching its guarantee to the securitization exchange bonds would materially improve its overall recovery under the transaction, as well as generate new insurance premiums; and therefore that its economic results could differ from those reflected in the PREPA RSA. PRASA. As of September 30, 2019 , the Company had $373 million of insured net par outstanding of PRASA bonds, which are secured by a lien on the revenues of the water and sewer system. On June 29, 2019, the Oversight Board certified a revised fiscal plan for PRASA. In July 2019, PRASA entered into a restructuring transaction with the federal government and the Oversight Board to restructure its subordinated loans from federal agencies that had been under forbearance for over three years (the PRASA Agreement). The PRASA Agreement extends the maturity of the loans for up to 40 years and provides for low interest rates and no interest accrual for the first ten years on a portion of the loans, but also places the subordinated loans on a parity with the PRASA bonds the Company guarantees. The Company was not asked to consent to the PRASA Agreement. The PRASA Agreement reduces the amount of annual debt service owed by PRASA for its current debt. The PRASA bond accounts contained sufficient funds to make the PRASA bond payments due through the date of this filing that were guaranteed by the Company, and those payments were made in full. MFA. As of September 30, 2019 , the Company had $248 million net par outstanding of bonds issued by MFA secured by a lien on local property tax revenues. The MFA bond accounts contained sufficient funds to make the MFA bond payments due through the date of this filing that were guaranteed by the Company, and those payments were made in full. U of PR. As of September 30, 2019 , the Company had $1 million insured net par outstanding of U of PR bonds, which are general obligations of the university and are secured by a subordinate lien on the proceeds, profits and other income of the university, subject to a senior pledge and lien for the benefit of outstanding university system revenue bonds. As of the date of this filing, all debt service payments on U of PR bonds insured by the Company have been made in full. Resolved Commonwealth Credit Puerto Rico Sales Tax Financing Corporation ( COFINA). On February 12, 2019, pursuant to a plan of adjustment approved by the PROMESA Title III Court on February 4, 2019 (COFINA Plan of Adjustment), the Company paid off in full its $273 million net par outstanding of insured COFINA bonds, plus accrued and unpaid interest. Pursuant to the COFINA Plan of Adjustment, the Company received $152 million in initial par of closed lien senior bonds of COFINA validated by the PROMESA Title III Court (COFINA Exchange Senior Bonds), along with cash. The total par recovery (cash and COFINA Exchange Senior Bonds) represented 60% of the Company’s official Title III claim, which related to amounts owed as of the date COFINA entered Title III proceedings. The fair value of the COFINA Exchange Senior Bonds, excluding accrued interest, was $139 million at February 12, 2019, and was recorded as salvage received. During Third Quarter 2019 the Company sold all of its COFINA Exchange Senior Bonds. Puerto Rico Litigation The Company believes that a number of the actions taken by the Commonwealth, the Oversight Board and others with respect to obligations it insures are illegal or unconstitutional or both, and has taken legal action, and may take additional legal action in the future, to enforce its rights with respect to these matters. In addition, the Commonwealth, the Oversight Board and others have taken legal action naming the Company as party. Currently there are numerous legal actions relating to the default by the Commonwealth and certain of its entities on debt service payments, and related matters, and the Company is a party to a number of them. On July 24, 2019, Judge Laura Taylor Swain of the United States District Court for the District of Puerto Rico (Federal District Court for Puerto Rico) held an omnibus hearing on litigation matters relating to the Commonwealth. At that hearing, she imposed a stay through November 30, 2019, on a series of adversary proceedings and contested matters amongst the stakeholders and imposed mandatory mediation on all parties through that date. On October 28, 2019, Judge Swai |
Expected Loss to be Paid
Expected Loss to be Paid | 9 Months Ended |
Sep. 30, 2019 | |
Expected Losses [Abstract] | |
Expected Loss to be Paid | Expected Loss to be Paid This note provides information regarding expected claim payments to be made under all contracts in the insured portfolio, regardless of the accounting model (insurance, derivative or VIE). The expected loss to be paid is equal to the present value of expected future cash outflows for claim and loss adjustment expenses (LAE) payments, net of inflows for expected salvage and subrogation (e.g., future payments by obligors pursuant to restructuring agreements, settlements or litigation judgments, excess spread on underlying collateral, and other estimated recoveries, including those from restructuring bonds and for breaches of representations and warranties (R&W)), using current risk-free rates. 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, sector-driven loss severity assumptions and/or judgmental assessments. In the case of its assumed business, the Company may conduct its own analysis as just described or, depending on the Company’s view of the potential size of any loss and the information available to the Company, the Company may use loss estimates provided by ceding insurers. The Company monitors the performance of its transactions with expected losses and each quarter the Company’s loss reserve committees review and refresh their loss projection assumptions, scenarios and the probabilities they assign to those scenarios based on actual developments during the 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 loss on a policy is subject to significant uncertainty over the life of the insured transaction. Credit performance can be adversely affected by economic, fiscal and financial market variability over the life of most contracts. The Company does not use traditional actuarial approaches to determine its estimates of expected losses. The determination of expected loss to be paid 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. In some instances, the terms of the Company's policy give it the option to pay principal losses that have been recognized in the transaction but which it is not yet required to pay, thereby reducing the amount of guaranteed interest due in the future. The Company has sometimes exercised this option, which uses cash but reduces projected future losses. The following tables present a roll forward of net expected loss to be paid for all contracts. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 0.00% to 2.20% with a weighted average of 1.79% as of September 30, 2019 and 0.00% to 3.06% with a weighted average of 2.74% as of December 31, 2018 . Expected losses to be paid for transactions denominated in currencies other than the U.S. dollar represented approximately 4.0% and 2.7% of the total as of September 30, 2019 and December 31, 2018 , respectively. Net Expected Loss to be Paid Roll Forward Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Net expected loss to be paid, beginning of period $ 960 $ 1,432 $ 1,183 $ 1,303 Net expected loss to be paid on the Syncora Guarantee Inc. (SGI) portfolio as of June 1, 2018 (see Note 11) — — — 131 Economic loss development (benefit) due to: Accretion of discount 5 10 19 27 Changes in discount rates 1 (9 ) (4 ) (15 ) Changes in timing and assumptions 19 (1 ) (29 ) (17 ) Total economic loss development (benefit) 25 — (14 ) (5 ) Net (paid) recovered losses (267 ) (241 ) (451 ) (238 ) Net expected loss to be paid, end of period $ 718 $ 1,191 $ 718 $ 1,191 Net Expected Loss to be Paid Roll Forward by Sector Third Quarter 2019 Net Expected Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 749 $ 50 $ (279 ) $ 520 Non-U.S. public finance 23 5 — 28 Public finance 772 55 (279 ) 548 Structured finance: U.S. RMBS 162 (40 ) 13 135 Other structured finance 26 10 (1 ) 35 Structured finance 188 (30 ) 12 170 Total $ 960 $ 25 $ (267 ) $ 718 Net Expected Loss to be Paid Roll Forward by Sector Third Quarter 2018 Net Expected Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 1,041 $ 42 $ (251 ) $ 832 Non-U.S. public finance 41 (3 ) — 38 Public finance 1,082 39 (251 ) 870 Structured finance: U.S. RMBS 326 (40 ) 17 303 Other structured finance 24 1 (7 ) 18 Structured finance 350 (39 ) 10 321 Total $ 1,432 $ — $ (241 ) $ 1,191 Net Expected Loss to be Paid Roll Forward by Sector Nine Months 2019 Net Expected Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 832 $ 204 $ (516 ) $ 520 Non-U.S. public finance 32 (4 ) — 28 Public finance 864 200 (516 ) 548 Structured finance: U.S. RMBS 293 (223 ) 65 135 Other structured finance 26 9 — 35 Structured finance 319 (214 ) 65 170 Total $ 1,183 $ (14 ) $ (451 ) $ 718 Net Expected Loss to be Paid Roll Forward by Sector Nine Months 2018 Net Expected Net Expected Loss to be Paid on SGI Portfolio as of June 1, 2018 Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 1,157 — $ 59 $ (384 ) $ 832 Non-U.S. public finance 46 1 (9 ) — 38 Public finance 1,203 1 50 (384 ) 870 Structured finance: U.S. RMBS 73 130 (52 ) 152 303 Other structured finance 27 — (3 ) (6 ) 18 Structured finance 100 130 (55 ) 146 321 Total $ 1,303 $ 131 $ (5 ) $ (238 ) $ 1,191 ____________________ (1) Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded as reinsurance recoverable on paid losses in other assets. The amounts for Nine Months 2019 are net of the COFINA Exchange Senior Bonds and cash that were received pursuant to the COFINA Plan of Adjustment. See Note 3, Outstanding Exposure, for additional information. The tables above include (1) LAE paid of $7 million and $6 million for Third Quarter 2019 and 2018 , respectively, and $23 million and $17 million for Nine Months 2019 and 2018 , respectively, and (2) expected LAE to be paid of $34 million as of September 30, 2019 and $31 million as of December 31, 2018 . Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) By Accounting Model Net Expected Loss to be Paid (Recovered) Net Economic Loss Development (Benefit) As of Third Quarter Nine Months September 30, 2019 December 31, 2018 2019 2018 2019 2018 (in millions) Insurance $ 662 $ 1,110 17 1 $ 5 $ (9 ) Financial guaranty VIEs (FG VIEs) (See Note 9) 61 75 (2 ) (3 ) (26 ) (7 ) Credit derivatives (See Note 8) (5 ) (2 ) 10 2 7 11 Total $ 718 $ 1,183 $ 25 $ — $ (14 ) $ (5 ) Selected U.S. Public Finance Transactions The Company insured general obligation bonds of the Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations aggregating $4.3 billion net par as of September 30, 2019 , all of which was BIG. For additional information regarding the Company's Puerto Rico exposure, see "Exposure to Puerto Rico" in Note 3, Outstanding Exposure. As of December 31, 2018, the Company had approximately $18 million of net par exposure to bonds issued by Parkway East Public Improvement District (District), which is located in Madison County, Mississippi. The bonds were rated BIG. As part of a settlement with the County, during Third Quarter 2019 the bonds were paid off, reducing the Company's net par exposure to zero, and the Company received new bonds issued by the District, which the Company holds in its investment portfolio. On February 25, 2015, a plan of adjustment resolving the bankruptcy filing of the City of Stockton, California under chapter 9 of the Bankruptcy Code became effective. As of September 30, 2019 , the Company’s net par subject to the plan consisted of $107 million of pension obligation bonds. As part of the plan of adjustment, the City will repay any claims paid on the pension obligation bonds from certain fixed payments and certain variable payments contingent on the City’s revenue growth. The Company projects its total net expected loss across its troubled U.S. public finance exposures as of September 30, 2019 , including those mentioned above, to be $520 million , compared with a net expected loss of $832 million as of December 31, 2018 . The total net expected loss for troubled U.S. public finance exposures is net of a credit for estimated future recoveries of claims already paid. At September 30, 2019 that credit was $842 million compared with $586 million at December 31, 2018 . The Company’s net expected losses incorporate management’s probability weighted estimates of possible scenarios. Each quarter, the Company may revise its scenarios, update assumptions and/or shift probability weightings of its scenarios based on public information as well as nonpublic information obtained through its surveillance and loss mitigation activities. Management assesses the possible implications of such information on each insured obligation, considering the unique characteristics of each transaction. The economic loss development for U.S. public finance transactions was $50 million during Third Quarter 2019 and $204 million during Nine Months 2019 , which was primarily attributable to Puerto Rico exposures. The loss development attributable to the Company’s Puerto Rico exposures reflects adjustments the Company made to the assumptions and weightings it uses in its scenarios based on the public information summarized under "Exposure to Puerto Rico" in Note 3, Outstanding Exposure as well as nonpublic information related to its loss mitigation activities during the periods presented. Selected Non - U.S. Public Finance Transactions Expected loss to be paid for non-U.S. public finance transactions was $28 million as of September 30, 2019 , compared with $32 million as of December 31, 2018 , primarily consisting of: (i) an obligation backed by payments from a region in Italy, and for which the Company has been paying claims because of the impact of negative Euro Interbank Offered Rate (Euribor) on the transaction, (ii) transactions 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, and (iii) an obligation backed by the availability and toll revenues of a major arterial road into a city in the U.K., which has been underperforming due to higher costs compared with expectations at underwriting. The economic loss development for non-U.S. public finance transactions, including those mentioned above was approximately $5 million during Third Quarter 2019 due to the impact of negative European interest rates on an interest rate swap in an Italian transaction. The economic benefit was $4 million during Nine Months 2019 , which was mainly attributable to the improved internal outlook of certain Spanish sovereigns and sub-sovereigns, and partially offset by the impact of negative European interest rates on an interest rate swap in an Italian transaction. U.S. RMBS Loss Projections The Company projects losses on its insured U.S. RMBS on a transaction-by-transaction basis by projecting the performance of the underlying pool of mortgages over time and then applying the structural features (i.e., payment priorities and tranching) of the RMBS and any expected R&W recoveries/payables to the projected performance of the collateral over time. The resulting projected claim payments or reimbursements are then discounted using risk-free rates. As of September 30, 2019 , the Company had a net R&W payable of $60 million to R&W counterparties, compared with a net R&W receivable of $5 million as of December 31, 2018 . The Company’s agreements with providers of R&W generally provide for reimbursement to the Company as claim payments are made and, to the extent the Company later receives reimbursements of such claims from excess spread or other sources, for the Company to provide reimbursement to the R&W providers. When the Company projects receiving more reimbursements in the future than it projects to pay in claims on transactions covered by R&W settlement agreements, the Company will have a net R&W payable. 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 to whether those changes are normal fluctuations or part of a trend. The assumptions that the Company uses to project RMBS losses are shown in the sections below. Net Economic Loss Development (Benefit) U.S. RMBS Third Quarter Nine Months 2019 2018 2019 2018 (in millions) First lien U.S. RMBS $ (27 ) (13 ) $ (77 ) $ 4 Second lien U.S. RMBS (13 ) (27 ) (146 ) (56 ) 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 As of September 30, 2019 As of June 30, 2019 As of December 31, 2018 Delinquent/Modified in the Previous 12 Months Alt-A and Prime 20% 20% 20% Option ARM 20 20 20 Subprime 20 20 20 30 – 59 Days Delinquent Alt-A and Prime 30 30 30 Option ARM 35 35 35 Subprime 35 40 40 60 – 89 Days Delinquent Alt-A and Prime 40 40 40 Option ARM 45 45 45 Subprime 45 45 45 90+ Days Delinquent Alt-A and Prime 55 50 50 Option ARM 55 55 55 Subprime 50 55 50 Bankruptcy Alt-A and Prime 45 45 45 Option ARM 50 50 50 Subprime 40 40 40 Foreclosure Alt-A and Prime 65 60 60 Option ARM 65 65 65 Subprime 60 60 60 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 conditional default rate (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 most heavily weighted scenario (the base case), after the initial 36 -month CDR plateau period, each transaction’s CDR is projected to improve over 12 months to an intermediate CDR (calculated as 20% of its CDR plateau); that intermediate CDR is held constant 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 3.75 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 had reached historically high levels, and the Company is assuming in the base case that the still elevated levels generally will continue for another 18 months . The Company determines its initial loss severity based on actual recent experience. Each quarter the Company reviews available data and (if necessary) adjusts its severities based on its observations. The Company then assumes that loss severities begin returning to levels consistent with underwriting assumptions beginning after the initial 18 -month period, declining to 40% in the base case over 2.5 years . The following table shows the range as well as the average, weighted by outstanding net insured par, for key assumptions used in the calculation of expected loss to be paid for individual transactions for vintage 2004 - 2008 first lien U.S. RMBS. Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Alt-A First Lien Plateau CDR 0.5 % - 10.5% 4.1% 0.0 % - 9.5% 4.0% 1.2 % - 11.4% 4.6% Final CDR 0.0 % - 0.5% 0.2% 0.0 % - 0.5% 0.2% 0.1 % - 0.6% 0.2% Initial loss severity: 2005 and prior 60% 60% 60% 2006 70% 70% 70% 2007+ 70% 70% 70% Option ARM Plateau CDR 2.0 % - 8.4% 5.6% 2.4 % - 7.9% 5.5% 1.8 % - 8.3% 5.6% Final CDR 0.1 % - 0.4% 0.3% 0.1 % - 0.4% 0.3% 0.1 % - 0.4% 0.3% Initial loss severity: 2005 and prior 60% 60% 60% 2006 60% 60% 60% 2007+ 70% 70% 70% Subprime Plateau CDR 1.5 % - 20.2% 5.6% 2.5 % - 22.8% 6.0% 1.8 % - 23.2% 6.2% Final CDR 0.1 % - 1.0% 0.3% 0.1 % - 1.1% 0.3% 0.1 % - 1.2% 0.3% Initial loss severity: 2005 and prior 80% 80% 80% 2006 75% 75% 75% 2007+ 85% 95% 95% The rate at which the principal amount of loans is voluntarily prepaid may impact both the amount of losses projected (since that amount is a function of the CDR, the loss severity and the loan balance over time) as well as the amount of excess spread (the amount by which the interest paid by the borrowers on the underlying loan exceeds the amount of interest owed on the insured obligations). The assumption for the voluntary conditional prepayment rate (CPR) follows a similar pattern to that of the CDR. The current level of voluntary prepayments is assumed to continue for the plateau period before gradually increasing over 12 months to the final CPR, which is assumed to be 15% in the base case. For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. These CPR assumptions are the same as those the Company used for June 30, 2019 and December 31, 2018 . In estimating expected losses, the Company modeled and probability weighted sensitivities for first lien transactions by varying its assumptions of how fast a recovery is expected to occur. One of the variables used to model sensitivities was how quickly the CDR returned to its modeled equilibrium, which was defined as 5% of the initial CDR. The Company also stressed CPR and the speed of recovery of loss severity rates. The Company probability weighted a total of five scenarios as of September 30, 2019 and December 31, 2018 . Total expected loss to be paid on all first lien U.S. RMBS was $164 million and $243 million as of September 30, 2019 and December 31, 2018 , respectively. The $27 million economic benefit in Third Quarter 2019 and $77 million economic benefit in Nine Months 2019 for first lien U.S. RMBS was primarily attributable to higher excess spread on certain transactions supported by large portions of fixed rate assets (either originally fixed or modified to be fixed) and with insured floating rate debt linked to London Interbank Offered Rate (LIBOR), which decreased in Third Quarter 2019 and Nine Months 2019 . The Company used a similar approach to establish its pessimistic and optimistic scenarios as of September 30, 2019 as it used as of December 31, 2018 , increasing and decreasing the periods of stress from those used in the base case. LIBOR may be discontinued, and it is not yet clear how this will impact the calculation of the various interest rates in this portfolio referencing LIBOR. In the Company's most stressful scenario where loss severities were assumed to rise and then recover over nine years and the initial ramp-down of the CDR was assumed to occur over 15 months , expected loss to be paid would increase from current projections by approximately $49 million for all first lien U.S. RMBS transactions. In the Company's least stressful scenario where the CDR plateau was six months shorter ( 30 months , effectively assuming that liquidation rates would improve) and the CDR recovery was more pronounced (including an initial ramp-down of the CDR over nine months ), expected loss to be paid would decrease from current projections by approximately $44 million for all first lien U.S. RMBS transactions. U.S. Second Lien RMBS Loss Projections Second lien RMBS transactions include both home equity lines of credit (HELOC) and closed end second lien mortgages. The Company believes the primary variable affecting its expected losses in second lien RMBS transactions is the amount and timing of future losses in the collateral pool supporting the transactions. Expected losses are also a function of the structure of the transaction, the CPR of the collateral, the interest rate environment and assumptions about loss severity. In second lien transactions, the projection of near-term defaults from currently delinquent loans is relatively straightforward because loans in second lien transactions are generally “charged off” (treated as defaulted) by the securitization’s servicer once the loan is 180 days past due. The Company estimates the amount of loans that will default over the next six months by calculating current representative liquidation rates. Similar to first liens, the Company then calculates a CDR for six months , which is the period over which the currently delinquent collateral is expected to be liquidated. That CDR is then used as the basis for the plateau CDR period that follows the embedded plateau losses. For the base case scenario, the CDR (the plateau CDR) was held constant for six months . Once the plateau period has ended, the CDR is assumed to gradually trend down in uniform increments to its final long-term steady state CDR. (The long-term steady state CDR is calculated as the constant CDR that would have yielded the amount of losses originally expected at underwriting.) In the base case scenario, the time over which the CDR trends down to its final CDR is 28 months . Therefore, the total stress period for second lien transactions is 34 months , representing six months of delinquent loan liquidations, followed by 28 months of decrease to the steady state CDR, the same as of December 31, 2018 . HELOC loans generally permit the borrower to pay only interest for an initial period (often ten years ) and, after that period, require the borrower to make both the monthly interest payment and a monthly principal payment. This causes the borrower's total monthly payment to increase, sometimes substantially, at the end of the initial interest-only period. In prior periods, as the HELOC loans underlying the Company's insured HELOC transactions reached their principal amortization period, the Company incorporated an assumption that a percentage of loans reaching their principal amortization periods would default around the time of the payment increase. The HELOC loans underlying the Company's insured HELOC transactions are now past their original interest-only reset date, although a significant number of HELOC loans were modified to extend the original interest-only period for another five years . As a result, the Company does not apply a CDR increase when such loans reach their principal amortization period. In addition, based on the average performance history, the Company applies a CDR floor of 2.5% for the future steady state CDR on all its HELOC transactions. When a second lien loan defaults, there is generally a low recovery. The Company assumed, as of September 30, 2019 and December 31, 2018 , that it will generally recover 2% of future defaulting collateral at the time of charge-off, with additional amounts of post charge-off recoveries projected to come in over time. A second lien on the borrower’s home may be retained in the Company's second lien transactions after the loan is charged off and the loss applied to the transaction, particularly in cases where the holder of the first lien has not foreclosed. If the second lien is retained and the value of the home increases, the servicer may be able to use the second lien to increase recoveries, either by arranging for the borrower to resume payments or by realizing value upon the sale of the underlying real estate. The Company evaluates its assumptions periodically based on actual recoveries of charged-off loans observed from period to period. In instances where the Company is able to obtain information on the lien status of charged-off loans, it assumes there will be a certain level of future recoveries of the balance of the charged-off loans where the second lien is still intact. The Company projected future recoveries on these charged off loans of 20% as of September 30, 2019 and 10% as of December 31, 2018 , with such recoveries to be received evenly over the next five years . The increase in recovery assumptions is attributable to the higher actual recovery rates observed in certain transactions during the year. Increasing the recovery rate to 30% would result in an economic benefit of $61 million , while decreasing the recovery rate back to 10% would result in an economic loss of $61 million . The rate at which the principal amount of loans is prepaid may impact both the amount of losses projected as well as the amount of excess spread. In the base case, an average CPR (based on experience of the past year) is assumed to continue until the end of the plateau before gradually increasing to the final CPR over the same period the CDR decreases. The final CPR is assumed to be 15% for second lien transactions (in the base case), which is lower than the historical average but reflects the Company’s continued uncertainty about the projected performance of the borrowers in these transactions. For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. This pattern is consistent with how the Company modeled the CPR as of June 30, 2019 and December 31, 2018 . To the extent that prepayments differ from projected levels it could materially change the Company’s projected excess spread and losses. In estimating expected losses, the Company modeled and probability weighted five scenarios, each with a different CDR curve applicable to the period preceding the return to the long-term steady state CDR. The Company believes that the level of the elevated CDR and the length of time it will persist and the ultimate prepayment rate are the primary drivers behind the amount of losses the collateral will likely suffer. The Company continues to evaluate the assumptions affecting its modeling results. The Company believes the most important driver of its projected second lien RMBS losses is the performance of its HELOC transactions. Total expected recovery on all second lien U.S. RMBS was $29 million as of September 30, 2019 and the expected loss to be paid was $50 million as of December 31, 2018 . The economic benefit for second lien U.S. RMBS was $13 million in Third Quarter 2019 , primarily attributable to improved performance of underlying collateral, and $146 million in Nine Months 2019 , primarily attributable to higher projected recoveries for previously charged-off loans and improved performance of underlying collateral. The following table shows the range as well as the average, weighted by net par outstanding, for key assumptions used in the calculation of expected loss to be paid for individual transactions for vintage 2004 - 2008 HELOCs. Key Assumptions in Base Case Expected Loss Estimates HELOCs As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Plateau CDR 4.8 % - 20.7% 9.1% 4.6 % - 23.5% 9.2% 4.6 % - 26.8% 10.1% Final CDR trended down to 2.5 % - 3.2% 2.5% 2.5 % - 3.2% 2.5% 2.5 % - 3.2% 2.5% Liquidation rates: Delinquent/Modified in the Previous 12 Months 20% 20% 20% 30 – 59 Days Delinquent 35 30 35 60 – 89 Days Delinquent 45 45 50 90+ Days Delinquent 65 65 70 Bankruptcy 55 55 55 Foreclosure 55 60 65 Real Estate Owned 100 100 100 Loss severity (1) 98% 98% 98% ___________________ (1) Loss severities on future defaults. The Company’s base case assumed a six month CDR plateau and a 28 month ramp-down (for a total stress period of 34 months ). The Company also modeled a scenario with a longer period of elevated defaults and another with a shorter period of elevated defaults. In the Company's most stressful scenario, increasing the CDR plateau to eight months and increasing the ramp-down by three months to 31 months (for a total stress period of 39 months ) would increase the expected loss by approximately $6 million for HELOC transactions. On the other hand, in the Company's least stressful scenario, reducing the CDR plateau to four months and decreasing the length of the CDR ramp-down to 25 months (for a total stress period of 29 months ), and lowering the ultimate prepayment rate to 10% would decrease the expected loss by approximately $7 million for HELOC transactions. Other Structured Finance The Company projected that its total net expected loss across its troubled other structured finance exposures as of September 30, 2019 was $35 million and is primarily attributable to $87 million in BIG net par of student loan securitizations issued by private issuers that are classified as structured finance. In general, the projected losses of these transactions are due to: (i) the poor credit performance of private student loan collateral and high loss severities, or (ii) high interest rates on auction rate securities with respect to which the auctions have failed. The Company also had exposure to troubled life insurance transactions. As of September 30, 2019 , the Company's BIG net par in these transactions was $40 million , which was lower than the $85 million as of December 31, 2018 because of the settlement of a transaction. The economic loss development during Third Quar |
Contracts Accounted for as Insu
Contracts Accounted for as Insurance | 9 Months Ended |
Sep. 30, 2019 | |
Insurance [Abstract] | |
Contracts Accounted for as Insurance | Contracts Accounted for as Insurance Premiums The portfolio of outstanding exposures discussed in Note 3, Outstanding Exposure, and Note 4, Expected Loss to be Paid, includes contracts that are accounted for as insurance contracts, derivatives, and consolidated FG VIEs. Amounts presented in this note relate only to contracts accounted for as insurance. See Note 8, Contracts Accounted for as Credit Derivatives for amounts that relate to CDS and Note 9, Variable Interest Entities for amounts that are accounted for as consolidated FG VIEs. Net Earned Premiums Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Financial guaranty: Scheduled net earned premiums $ 81 $ 95 $ 253 $ 275 Accelerations from refundings and terminations 37 40 83 131 Accretion of discount on net premiums receivable 4 6 13 14 Financial guaranty insurance net earned premiums 122 141 349 420 Non-financial guaranty net earned premiums 1 1 4 3 Net earned premiums (1) $ 123 $ 142 $ 353 $ 423 ___________________ (1) Excludes $2 million and $3 million for Third Quarter 2019 and 2018 , respectively, and $16 million and $9 million for Nine Months 2019 and 2018 , respectively, related to consolidated FG VIEs. Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward Nine Months 2019 2018 (in millions) Beginning of year $ 904 $ 915 Less: Non-financial guaranty insurance premium receivable 1 1 Financial guaranty insurance premiums receivable 903 914 Gross written premiums on new business, net of commissions (1) 164 508 Gross premiums received, net of commissions (198 ) (477 ) Adjustments: Changes in the expected term (10 ) (2 ) Accretion of discount, net of commissions on assumed business 8 5 Foreign exchange translation and remeasurement (2) (24 ) (23 ) Cancellation of assumed reinsurance — (10 ) Financial guaranty insurance premium receivable (3) 843 915 Non-financial guaranty insurance premium receivable 1 1 September 30, $ 844 $ 916 ____________________ (1) For transactions where one of the Company's financial guaranty contracts is replaced by another of the Company's insurance subsidiary's contracts, gross written premium in this table represents only the incremental amount in excess of the original gross written premiums. Nine Months 2018 included $330 million of gross written premiums assumed from SGI on June 1, 2018, when the Company closed a reinsurance transaction with SGI (SGI Transaction). See Note 11, Reinsurance. (2) Includes foreign exchange loss on remeasurement recorded in the condensed consolidated statements of operations of $24 million in Nine Months 2019 and $21 million in Nine Months 2018 . The remaining foreign exchange translation in Nine Months 2018 was recorded in other comprehensive income (OCI) prior to the combination of the European subsidiaries. (3) Excludes $7 million and $9 million as of September 30, 2019 and September 30, 2018 , respectively, related to consolidated FG VIEs. Approximately 73% and 72% of installment premiums at September 30, 2019 and December 31, 2018 , respectively, are denominated in currencies other than the U.S. dollar, primarily the pound sterling and euro. The timing and cumulative amount of actual collections may differ from those of expected collections in the table below due to factors such as foreign exchange rate fluctuations, counterparty collectability issues, accelerations, commutations, changes in expected lives and new business. Expected Collections of Financial Guaranty Insurance Gross Premiums Receivable, Net of Commissions on Assumed Business (Undiscounted) As of (in millions) 2019 (October 1 - December 31) $ 29 2020 102 2021 77 2022 78 2023 65 2024-2028 275 2029-2033 182 2034-2038 97 After 2038 104 Total (1) $ 1,009 ____________________ (1) Excludes expected cash collections on consolidated FG VIEs of $9 million . The timing and cumulative amount of actual net earned premiums may differ from those of expected net earned premiums in the table below due to factors such as accelerations, commutations, changes in expected lives and new business. Scheduled Financial Guaranty Insurance Net Earned Premiums As of (in millions) 2019 (October 1 - December 31) $ 79 2020 301 2021 275 2022 252 2023 231 2024-2028 908 2029-2033 620 2034-2038 356 After 2038 319 Net deferred premium revenue (1) 3,341 Future accretion 165 Total future net earned premiums $ 3,506 ____________________ (1) Excludes net earned premiums on consolidated FG VIEs of $48 million . Selected Information for Financial Guaranty Insurance Policies with Premiums Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 843 $ 903 Gross deferred premium revenue 1,237 1,313 Weighted-average risk-free rate used to discount premiums 2.2 % 2.3 % Weighted-average period of premiums receivable (in years) 9.1 9.1 Financial Guaranty Insurance Losses The following table provides information on net reserve (salvage), which includes loss and LAE reserves and salvage and subrogation recoverable, both net of reinsurance. To discount loss reserves, the Company used risk-free rates for U.S. dollar denominated financial guaranty insurance obligations that ranged from 0.00% to 2.20% with a weighted average of 1.80% as of September 30, 2019 and 0.00% to 3.06% with a weighted average of 2.74% as of December 31, 2018 . Net Reserve (Salvage) As of As of (in millions) Public finance: U.S. public finance $ 326 $ 612 Non-U.S. public finance 5 14 Public finance 331 626 Structured finance: U.S. RMBS (1) (97 ) 21 Other structured finance 38 30 Structured finance (59 ) 51 Subtotal 272 677 Other payable (recoverable) — (3 ) Total $ 272 $ 674 ____________________ (1) Excludes net reserves of $36 million and $47 million as of September 30, 2019 and December 31, 2018 , respectively, related to consolidated FG VIEs. Components of Net Reserves (Salvage) As of As of (in millions) Loss and LAE reserve $ 1,007 $ 1,177 Reinsurance recoverable on unpaid losses (1) (36 ) (34 ) Loss and LAE reserve, net 971 1,143 Salvage and subrogation recoverable (725 ) (490 ) Salvage and subrogation reinsurance payable (2) 26 24 Other payable (recoverable) (1) — (3 ) Salvage and subrogation recoverable, net, and other recoverable (699 ) (469 ) Net reserves (salvage) $ 272 $ 674 ____________________ (1) Recorded as a component of other assets in the condensed consolidated balance sheets. (2) Recorded as a component of other liabilities in the condensed consolidated balance sheets. 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 represents 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 (and therefore recognized in income but not yet received), and (iii) loss reserves that have already been established (and therefore expensed but not yet paid). Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts As of (in millions) Net expected loss to be paid - financial guaranty insurance $ 661 Contra-paid, net 58 Salvage and subrogation recoverable, net, and other recoverable 699 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (970 ) Net expected loss to be expensed (present value) (1) $ 448 ____________________ (1) Excludes $34 million as of September 30, 2019 , 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 (in millions) 2019 (October 1 - December 31) $ 9 2020 37 2021 36 2022 35 2023 31 2024-2028 147 2029-2033 99 2034-2038 45 After 2038 9 Net expected loss to be expensed 448 Future accretion 30 Total expected future loss and LAE $ 478 The following table presents the loss and LAE recorded in the condensed consolidated statements of operations by sector for insurance contracts. Amounts presented are net of reinsurance. Loss and LAE Reported on the Condensed Consolidated Statements of Operations Loss (Benefit) Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Public finance: U.S. public finance $ 64 $ 42 $ 228 $ 76 Non-U.S. public finance 1 (3 ) (7 ) (5 ) Public finance 65 39 221 71 Structured finance: U.S. RMBS (1) (35 ) (21 ) (150 ) (17 ) Other structured finance — (1 ) 4 (11 ) Structured finance (35 ) (22 ) (146 ) (28 ) Loss and LAE $ 30 $ 17 $ 75 $ 43 ____________________ (1) Excludes a benefit of $3 million and $3 million for Third Quarter 2019 and 2018 , respectively, and a benefit of $18 million and a loss of $0 million for Nine Months 2019 and 2018 respectively, related to consolidated FG VIEs. The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 2019 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) 119 (6 ) 26 — 134 (7 ) 279 — 279 Remaining weighted-average contract period (in years) 8.2 5.4 17.1 — 9.9 8.5 9.9 — 9.9 Outstanding exposure: Principal $ 2,596 $ (53 ) $ 547 $ — $ 5,463 $ (170 ) $ 8,383 $ — $ 8,383 Interest 1,192 (16 ) 478 — 2,638 (72 ) 4,220 — 4,220 Total (2) $ 3,788 $ (69 ) $ 1,025 $ — $ 8,101 $ (242 ) $ 12,603 $ — $ 12,603 Expected cash outflows (inflows) $ 110 $ (3 ) $ 124 $ — $ 3,550 $ (118 ) $ 3,663 $ (267 ) $ 3,396 Potential recoveries (3) (567 ) 21 (51 ) — (2,393 ) 95 (2,895 ) 190 (2,705 ) Subtotal (457 ) 18 73 — 1,157 (23 ) 768 (77 ) 691 Discount 69 (4 ) (13 ) — (92 ) (6 ) (46 ) 16 (30 ) Present value of expected cash flows $ (388 ) $ 14 $ 60 $ — $ 1,065 $ (29 ) $ 722 $ (61 ) $ 661 Deferred premium revenue $ 147 $ (1 ) $ 25 $ — $ 505 $ (5 ) $ 671 $ (49 ) $ 622 Reserves (salvage) $ (418 ) $ 15 $ 41 $ — $ 694 $ (25 ) $ 307 $ (36 ) $ 271 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2018 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) 128 (8 ) 39 (1 ) 145 (7 ) 312 — 312 Remaining weighted-average contract period (in years) 7.9 6.5 13.2 2.1 10.1 9.1 9.8 — 9.8 Outstanding exposure: Principal $ 3,052 $ (71 ) $ 938 $ (6 ) $ 6,249 $ (159 ) $ 10,003 $ — $ 10,003 Interest 1,319 (29 ) 592 (1 ) 3,140 (72 ) 4,949 — 4,949 Total (2) $ 4,371 $ (100 ) $ 1,530 $ (7 ) $ 9,389 $ (231 ) $ 14,952 $ — $ 14,952 Expected cash outflows (inflows) $ 98 $ (5 ) $ 264 $ (1 ) $ 4,029 $ (80 ) $ 4,305 $ (290 ) $ 4,015 Potential recoveries (3) (465 ) 23 (81 ) — (2,542 ) 55 (3,010 ) 192 (2,818 ) Subtotal (367 ) 18 183 (1 ) 1,487 (25 ) 1,295 (98 ) 1,197 Discount 83 (5 ) (53 ) — (134 ) (2 ) (111 ) 23 (88 ) Present value of expected cash flows $ (284 ) $ 13 $ 130 $ (1 ) $ 1,353 $ (27 ) $ 1,184 $ (75 ) $ 1,109 Deferred premium revenue $ 125 $ (4 ) $ 151 $ — $ 518 $ (2 ) $ 788 $ (64 ) $ 724 Reserves (salvage) $ (311 ) $ 15 $ 48 $ (1 ) $ 993 $ (24 ) $ 720 $ (47 ) $ 673 ____________________ (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 amounts related to FG VIEs. (3) Represents expected inflows for future payments by obligors pursuant to restructuring agreements, settlement or litigation judgments, excess spread on any underlying collateral and other estimated recoveries. Potential recoveries also include recoveries on certain investment grade credits, related mainly to exposures that were previously BIG and for which claims have been paid in the past. Ratings Impact on Financial Guaranty Business A downgrade of one of AGL’s insurance subsidiaries may result in increased claims under financial guaranties issued by the Company if counterparties exercise contractual rights triggered by the downgrade against insured obligors, and the insured obligors are unable to pay. See Part II, Item 8, Financial Statements and Supplementary Data, Note 6, Contracts Accounted for as Insurance, of the Company’s Annual Report on Form 10-K for the year ended December 31, 2018 . |
Fair Value Measurement
Fair Value Measurement | 9 Months Ended |
Sep. 30, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurement | Fair Value Measurement The Company carries a portion of its assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit price). The price represents the price available in the principal market for the asset or liability. If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market). Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on either internally developed models that primarily use, as inputs, market-based or independently sourced market parameters, including but not limited to yield curves, interest rates and debt prices or with the assistance of an independent third party using a discounted cash flow approach and the third party’s proprietary pricing models. In addition to market information, models also incorporate transaction details, such as maturity of the instrument and contractual features designed to reduce the Company’s credit exposure, such as collateral rights as applicable. Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity. As markets and products develop and the pricing for certain products becomes more or less transparent, the Company may refine its methodologies and assumptions. During Nine Months 2019 , no changes were made to the Company’s valuation models that had, or are expected to have, a material impact on the Company’s condensed consolidated balance sheets or statements of operations and comprehensive income. The Company’s methods for calculating fair value produce a fair value that may not be indicative of net realizable value or reflective of future fair values. The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The categorization within the fair value hierarchy is determined based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company estimates of market assumptions. The fair value hierarchy prioritizes model inputs into three broad levels as follows, with Level 1 being the highest and Level 3 the lowest. An asset's or liability’s categorization is based on the lowest level of significant input to its valuation. Level 1—Quoted prices for identical instruments in active markets. The Company generally defines an active market as a market in which trading occurs at significant volumes. Active markets generally are more liquid and have a lower bid-ask spread than an inactive market. Level 2—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and observable inputs other than quoted prices, such as interest rates or yield curves and other inputs derived from or corroborated by observable market inputs. Level 3—Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Financial instruments are considered Level 3 when their values are determined using pricing models, discounted cash flow methodologies or similar techniques and at least one significant model assumption or input is unobservable. Level 3 financial instruments also include those for which the determination of fair value requires significant management judgment or estimation. There was a transfer of a fixed-maturity security from Level 2 into Level 3 during Nine Months 2019 . There were no other transfers into or from Level 3 during the periods presented. 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 using their pricing models, which take into account: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, industry and economic events, and sector groupings. Additional valuation factors that can be taken into account are nominal spreads and liquidity adjustments. The pricing services evaluate each asset class based on relevant market and credit information, perceived market movements, and sector news. Benchmark yields have in many cases taken priority over reported trades for securities that trade less frequently or those that are distressed trades, and therefore may not be indicative of the market. The extent of the use of each input is dependent on the asset class and the market conditions. The valuation of fixed-maturity investments is more subjective when markets are less liquid due to the lack of market based inputs. 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. As of September 30, 2019 , the Company used models to price 133 securities, including securities that were purchased or obtained for loss mitigation or other risk management purposes, with a Level 3 fair value of $1,135 million . 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 security including collateral type, weighted average life, sensitivity to losses, vintage, and convexity, in conjunction with market data on comparable securities. Significant changes to any of these inputs could have materially changed the expected timing of cash flows within these securities which is a significant factor in determining the fair value of the securities. Other Assets Committed Capital Securities (CCS) Each of AGC and AGM have entered into put agreements with four separate custodial trusts allowing each of AGC and AGM, respectively, to issue an aggregate of $200 million of non-cumulative redeemable perpetual preferred securities to the trusts in exchange for cash. Each custodial trust was created for the primary purpose of issuing $50 million face amount of CCS, investing the proceeds in high-quality assets and entering into put options with AGC or AGM, as applicable. Fair value losses on CCS recorded in other income were $14 million and $4 million in Third Quarter 2019 and Nine Months 2019 , respectively, and fair value losses were $1 million and $3 million in Third Quarter 2018 and Nine Months 2018 , respectively. The fair value of CCS represents the difference between the present value of remaining expected put option premium payments under AGC CCS and AGM’s Committed Preferred Trust Securities (the AGM CPS) agreements, and the estimated present value that the Company would hypothetically have to pay currently for a comparable security. The change in fair value of the AGC CCS and AGM CPS are recorded in other income in the condensed consolidated statement of operations. The estimated current cost of the Company’s CCS is based on several factors, including AGM's and AGC's CDS spreads, LIBOR curve projections, the Company's publicly traded debt and the term the securities are estimated to remain outstanding. The AGC CCS and AGM CPS are classified as Level 3 in the fair value hierarchy. Supplemental Executive Retirement Plan (SERP) The fair value of the Company's various SERP assets are based on either (i) the observable published daily values of the underlying mutual fund included in the plans (Level 1) or (ii) the net asset value of the funds if a published daily value is not available (Level 2). The net asset value's are based on observable information. Change in fair value of SERP assets is recorded in other operating expenses in the condensed consolidated statement of operations. Contracts Accounted for as Credit Derivatives The Company’s credit derivatives primarily consist of insured CDS contracts, and also include interest rate swaps that qualify as derivatives under GAAP, which requires fair value measurement with changes recorded in the statement of operations. 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. In transactions where the counterparty does not have the right to terminate, such transactions are generally terminated for an amount that approximates the present value of future premiums or for a negotiated amount, rather than at fair value. The terms of the Company’s CDS contracts differ from more standardized credit derivative contracts sold by companies outside the financial guaranty industry. The non-standard terms generally include the absence of collateral support agreements or immediate settlement provisions. In addition, the Company employs relatively high attachment points and does not exit derivatives it sells, except under specific circumstances such as mutual agreements with counterparties. Management considers the non-standard terms of the Company's credit derivative contracts in determining the fair value of these contracts. Due to the lack of quoted prices and other observable inputs for its instruments or for similar instruments, the Company determines the fair value of its credit derivative contracts primarily through internally developed, proprietary models that use both observable and unobservable market data inputs. There is no established market where financial guaranty insured credit derivatives are actively traded; therefore, management has determined that the exit market for the Company’s credit derivatives is a hypothetical one based on its entry market. Management has tracked the historical pricing of the Company’s transactions 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 as there are multiple unobservable inputs deemed significant to the valuation model, most importantly the Company’s estimate of the value of the non-standard terms and conditions of its credit derivative contracts and how the Company’s own credit spread affects the pricing of its transactions. The fair value of the Company’s credit derivative contracts represents the difference between the present value of remaining premiums the Company expects to receive 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 September 30, 2019 were such that market prices of the Company’s CDS contracts were not available. Assumptions and Inputs The various inputs and assumptions that are key to the establishment of the Company’s fair value for CDS contracts are as follows: the gross spread, the allocation of gross spread among the bank profit, net spread and hedge cost, and the weighted average life which is based on debt service schedules. The Company obtains gross spreads on its outstanding contracts from market data sources published by third parties (e.g., dealer spread tables for the collateral similar to assets within the Company’s transactions), as well as collateral-specific spreads provided or obtained from market sources. The bank profit represents the profit the originator, usually an investment bank, realizes for structuring and funding the transaction; the net spread represents the premiums paid to the Company for the Company’s credit protection provided; and the hedge cost represents the cost of CDS protection purchased by the originator to hedge its counterparty credit risk exposure to the Company. With respect to CDS transactions for which there is an expected claim payment within the next twelve months, the allocation of gross spread reflects a higher allocation to the cost of credit rather than the bank profit component. It is assumed that a bank would be willing to accept a lower profit on distressed transactions in order to remove these transactions from its financial statements. Market sources determine credit spreads by reviewing new issuance pricing for specific asset classes and receiving price quotes from 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. The following spread hierarchy is utilized in determining which source of gross spread to use. • Actual collateral specific credit spreads (if up-to-date and reliable market-based spreads are available). • Transactions priced or closed during a specific quarter within a specific asset class and specific rating. • Credit spreads interpolated based upon market indices adjusted to reflect the non-standard terms of the Company's CDS contracts. • Credit spreads extrapolated based upon transactions of similar asset classes, similar ratings, and similar time to maturity. The rates used to discount future expected premium cash flows ranged from 1.50% to 2.13% at September 30, 2019 and 2.47% to 2.89% at December 31, 2018 . The premium the Company receives is referred to as the “net spread.” The Company’s pricing model takes into account not only how credit spreads on risks that it assumes affect pricing, but also how the Company’s own credit spread affects the pricing of its transactions. The Company’s own credit risk is factored into the determination of net spread based on the impact of changes in the quoted market price for credit protection bought on the Company, as reflected by quoted market prices on CDS referencing AGC. For credit spreads on the Company’s name the Company obtains the quoted price of CDS contracts traded on AGC from market data sources published by third parties. The cost to acquire CDS protection referencing AGC affects the amount of spread on CDS transactions that the Company retains and, hence, their fair value. As the cost to acquire CDS protection referencing AGC increases, the amount of premium the Company retains on a transaction generally decreases. Due to the relatively low volume and characteristics of CDS contracts remaining in AGM's portfolio, changes in AGM's credit spreads do not significantly affect the fair value of these CDS contracts. 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 17% , based on fair value, of the Company's CDS contracts were fair valued using this minimum premium as of December 31, 2018 . As of September 30, 2019 , the corresponding number was de minimis. The percentage of transactions that price using the minimum premiums fluctuates due to changes in AGC's credit spreads. In general, when AGC's credit spreads narrow, the cost to hedge AGC's name declines and more transactions price above previously established floor levels. Meanwhile, when AGC's credit spreads widen, the cost to hedge AGC's name increases causing more transactions to price at previously established floor levels. The Company corroborates the assumptions in its fair value model, including the portion of exposure to AGC hedged by its counterparties, with independent third parties periodically. The implied credit risk of AGC, indicated by the trading level of AGC’s own credit spread, is a significant factor in the amount of exposure to AGC that a bank or transaction hedges. When AGC's credit spreads widen, the hedging cost of a bank or originator increases. Higher hedging costs reduce the amount of contractual cash flows AGC can capture as premium for selling its protection, while lower hedging costs increase the amount of contractual cash flows AGC can capture. The amount of premium a financial guaranty insurance market participant can demand is inversely related to the cost of credit protection on the insurance company as measured by market credit spreads assuming all other assumptions remain constant. This is because the buyers of credit protection typically hedge a portion of their risk to the financial guarantor, due to the fact that the contractual terms of the Company's contracts typically do not require the posting of collateral by the guarantor. The extent of the hedge depends on the types of instruments insured and the current market conditions. A credit derivative liability on protection sold is the result of contractual cash inflows on in-force transactions that are less than what a hypothetical financial guarantor could receive if it sold protection on the same risk as of the reporting date. If the Company were able to freely exchange these contracts (i.e., assuming its contracts did not contain proscriptions on transfer and there was a viable exchange market), it would realize a loss representing the difference between the lower contractual premiums to which it is entitled and the current market premiums for a similar contract. The Company determines the fair value of its CDS contracts by applying the difference between the current net spread and the contractual net spread for the remaining duration of each contract to the notional value of its CDS contracts and taking the present value of such amounts discounted at the LIBOR corresponding to the weighted average remaining life of the contract. Strengths and Weaknesses of Model The Company’s credit derivative valuation model, like any financial model, has certain strengths and weaknesses. The primary strengths of the Company’s CDS modeling techniques are: • The model takes into account the transaction structure and the key drivers of market value. • The model maximizes the use of market-driven inputs whenever they are available. • The model is a consistent approach to valuing positions. The primary weaknesses of the Company’s CDS modeling techniques are: • There is no exit market or any actual exit transactions; therefore, the Company’s exit market is a hypothetical one based on the Company’s entry market. • There is a very limited market in which to validate the reasonableness of the fair values developed by the Company’s model. • The markets for the inputs to the model are highly illiquid, which impacts their reliability. • Due to the non-standard terms under which the Company enters into derivative contracts, the fair value of its credit derivatives may not reflect the same prices observed in an actively traded market of credit derivatives that do not contain terms and conditions similar to those observed in the financial guaranty market. Fair Value Option on FG VIEs’ Assets and Liabilities The Company elected the fair value option for all the FG VIEs’ assets and liabilities and classifies them as Level 3 in the fair value hierarchy. The prices are generally determined with the assistance of an independent third party, based on a discounted cash flow approach. The net change in the fair value of consolidated FG VIEs’ assets and liabilities is recorded in "fair value gains (losses) on FG VIEs" in the consolidated statements of operations, except for change in fair value of FG VIEs’ liabilities with recourse caused by changes in instrument-specific credit risk (ISCR) which is separately presented in OCI. Interest income and interest expense are derived from the trustee reports and also included in "fair value gains (losses) on FG VIEs." The FG VIEs issued securities collateralized by first lien and second lien RMBS as well as loans and receivables. The fair value of the Company’s FG VIEs’ assets is generally sensitive to changes in estimated prepayment speeds; estimated default rates (determined on the basis of an analysis of collateral attributes such as: historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality); yields implied by market prices for similar securities; and house price depreciation/appreciation rates based on macroeconomic forecasts. Significant changes to some of these inputs could have materially changed the market value of the FG VIEs’ assets and the implied collateral losses within the transaction. In general, the fair value of the FG VIEs’ assets is most sensitive to changes in the projected collateral losses, where an increase in collateral losses typically could lead to a decrease in the fair value of FG VIEs’ assets, while a decrease in collateral losses typically leads to an increase in the fair value of FG VIEs’ assets. The third party utilizes an internal model to determine an appropriate yield at which to discount the cash flows of the security, by factoring in collateral types, weighted-average lives, and other structural attributes specific to the security being priced. The expected yield is further calibrated by utilizing algorithms designed to aggregate market color, received by the independent third party, on comparable bonds. The models to price the FG VIEs’ liabilities used, where appropriate, the same inputs used in determining fair value of FG VIEs’ assets and, for those liabilities insured by the Company, the benefit of the Company's insurance policy guaranteeing the timely payment of principal and interest, taking into account the Company's own credit risk. Significant changes to any of the inputs described above could have materially changed the timing of expected losses within the insured transaction which is a significant factor in determining the implied benefit of the Company’s insurance policy guaranteeing the timely payment of principal and interest for the tranches of debt issued by the FG VIEs. In general, extending the timing of expected loss payments by the Company into the future typically could lead to a decrease in the value of the Company’s insurance and a decrease in the fair value of the Company’s FG VIEs’ liabilities with recourse, while a shortening of the timing of expected loss payments by the Company typically could lead to an increase in the value of the Company’s insurance and an increase in the fair value of the Company’s FG VIEs’ liabilities with recourse. Amounts recorded at fair value in the Company’s financial statements are presented in the tables below. Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of September 30, 2019 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 $ 4,463 $ — $ 4,354 $ 109 U.S. government and agencies 155 — 155 — Corporate securities 2,339 — 2,293 46 Mortgage-backed securities: RMBS 877 — 561 316 Commercial mortgage-backed securities (CMBS) 469 — 469 — Asset-backed securities 775 — 111 664 Non-U.S. government securities 199 — 199 — Total fixed-maturity securities 9,277 — 8,142 1,135 Short-term investments 1,142 888 254 — Other invested assets (1) 6 — — 6 FG VIEs’ assets, at fair value 469 — — 469 Other assets 148 30 42 76 Total assets carried at fair value $ 11,042 $ 918 $ 8,438 $ 1,686 Liabilities: Credit derivative liabilities $ 214 $ — $ — $ 214 FG VIEs’ liabilities with recourse, at fair value 388 — — 388 FG VIEs’ liabilities without recourse, at fair value 105 — — 105 Total liabilities carried at fair value $ 707 $ — $ — $ 707 Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 2018 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 $ 4,911 $ — $ 4,812 $ 99 U.S. government and agencies 175 — 175 — Corporate securities 2,136 — 2,080 56 Mortgage-backed securities: RMBS 982 — 673 309 CMBS 539 — 539 — Asset-backed securities 1,068 — 121 947 Non-U.S. government securities 278 — 278 — Total fixed-maturity securities 10,089 — 8,678 1,411 Short-term investments 729 429 300 — Other invested assets (1) 7 — — 7 FG VIEs’ assets, at fair value 569 — — 569 Other assets 139 25 38 76 Total assets carried at fair value $ 11,533 $ 454 $ 9,016 $ 2,063 Liabilities: Credit derivative liabilities $ 209 $ — $ — $ 209 FG VIEs’ liabilities with recourse, at fair value 517 — — 517 FG VIEs’ liabilities without recourse, at fair value 102 — — 102 Total liabilities carried at fair value $ 828 $ — $ — $ 828 ____________________ (1) Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. Changes in Level 3 Fair Value Measurements The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during Third Quarter 2019 and 2018 and Nine Months 2019 and 2018 . Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2019 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit With Without (in millions) Fair value as of $ 105 $ 48 $ 325 $ 674 $ 526 $ 87 $ (216 ) $ (446 ) $ (105 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 3 (1 ) 1 (1 ) 5 (1 ) 7 (1 ) 6 (2 ) (14 ) (3 ) 5 (5 ) (2 ) (2 ) (2 ) (2 ) Other comprehensive income (loss) (4 ) (3 ) 1 (3 ) — — — 1 — Purchases 6 — — 1 — — — — — Settlements (1 ) — (15 ) (15 ) (69 ) — 3 64 3 FG VIE consolidation — — — — 6 — — (5 ) (1 ) Fair value as of $ 109 $ 46 $ 316 $ 664 $ 469 $ 73 $ (208 ) $ (388 ) $ (105 ) Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2019 $ 6 (2 ) $ (14 ) (3 ) $ 8 (5 ) $ (2 ) (2 ) $ (1 ) (2 ) Change in unrealized gains/(losses) included in OCI related to financial instruments held as of September 30, 2019 $ (4 ) $ (3 ) $ 1 $ (2 ) $ — $ 1 Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2018 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit With Without (in millions) Fair value as of $ 92 $ 63 $ 311 $ 897 $ 627 $ 61 $ (257 ) $ (571 ) $ (108 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 1 (1 ) 2 (1 ) 3 (1 ) 14 (1 ) (1 ) (2 ) (1 ) (3 ) 21 (5 ) 3 (2 ) 1 (2 ) Other comprehensive income (loss) 6 (5 ) — (12 ) — — — (3 ) — Purchases — — — 64 — — — — — Settlements — — (15 ) (10 ) (30 ) — (1 ) 26 3 Fair value as of $ 99 $ 60 $ 299 $ 953 $ 596 $ 60 $ (237 ) $ (545 ) $ (104 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2018 $ 6 $ (5 ) $ 1 $ (11 ) $ 2 (2 ) $ (1 ) (3 ) $ 20 (5 ) $ (1 ) (2 ) $ 1 (2 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2019 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit With Without (in millions) Fair value as of $ 99 $ 56 $ 309 $ 947 $ 569 $ 77 $ (207 ) $ (517 ) $ (102 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 5 (1 ) (9 ) (1 ) 16 (1 ) 51 (1 ) 70 (2 ) (4 ) (3 ) (25 ) (5 ) (33 ) (2 ) (9 ) (2 ) Other comprehensive income (loss) 1 (1 ) 21 (97 ) — — — 6 — Purchases 6 — 11 19 — — — — — Settlements (2 ) — (41 ) (257 ) (170 ) — 24 156 6 FG VIE consolidation — — — — 6 — — (5 ) (1 ) FG VIE deconsolidations — — — — (6 ) — — 5 1 Transfers into Level 3 — — — 1 — — — — — Fair value as of $ 109 $ 46 $ 316 $ 664 $ 469 $ 73 $ (208 ) $ (388 ) $ (105 ) Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2019 $ 78 (2 ) $ (4 ) (3 ) $ (19 ) (5 ) $ (32 ) (2 ) $ (16 ) (2 ) Change in unrealized gains/(losses) included in OCI related to financial instruments held as of September 30, 2019 $ 1 $ (1 ) $ 21 $ 8 $ — $ 6 Fair Value Level 3 Rollforward Recurring Basis Nine Months 2018 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit (in millions) Fair value as of $ 76 $ 67 $ 334 $ 787 $ 700 $ 64 $ (269 ) $ (627 ) $ (130 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 3 (1 ) (2 ) (1 ) 16 (1 ) 43 (1 ) 3 (2 ) (3 ) (3 ) 103 (5 ) (1 ) (2 ) 3 (2 ) Other comprehensive income (loss) 17 (5 ) (10 ) (3 ) — — — (1 ) — Purchases 4 — 9 164 — — — — — Issuances — — — — — — (68 ) (7 ) — — Settlements (1 ) — (50 ) (38 ) (90 ) (1 ) (3 ) 83 7 FG VIE deconsolidations — — — — (17 ) — — 1 16 Fair value as of $ 99 $ 60 $ 299 $ 953 $ 596 $ 60 $ (237 ) $ (545 ) $ (104 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2018 $ 17 $ (5 ) $ (7 ) $ (1 ) $ 13 (2 ) $ (3 ) (3 ) $ 93 (5 ) $ (2 ) (2 ) $ 2 (2 ) ____________________ (1) Included in net realized investment gains (losses) and net investment income. (2) Included in fair value gains (losses) on FG VIEs. (3) Recorded in net investment income and other income. (4) Represents the net position of credit derivatives. Credit derivative assets (recorded in other assets) and credit derivative liabilities (presented as a separate line item) are shown as either assets or liabilities in the condensed consolidated balance sheet based on net exposure by counterparty. (5) Reported in net change in fair value of credit derivatives. (6) Includes CCS and other invested assets. (7) Relates to SGI Transaction. See Note 11, Reinsurance. Level 3 Fair Value Disclosures Quantitative Information About Level 3 Fair Value Inputs At September 30, 2019 Financial Instrument Description (1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (liabilities) (2): Fixed-maturity securities: Obligations of state and political subdivisions $ 109 Yield 4.5 % - 32.3% 8.4% Corporate securities 46 Yield 35.8% RMBS 316 CPR 1.4 % - 16.9% 6.0% CDR 1.5 % - 6.9% 4.9% Loss severity 40.0 % - 125.0% 85.7% Yield 3.5 % - 6.1% 4.2% |
Investments and Cash
Investments and Cash | 9 Months Ended |
Sep. 30, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments and Cash | Investments and Cash 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 $86 million and $91 million as of September 30, 2019 and December 31, 2018 , respectively. Net Investment Income Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Income from fixed-maturity securities managed by third parties $ 66 $ 75 $ 207 $ 224 Income from internally managed securities 24 26 95 80 Gross investment income 90 101 302 304 Investment expenses (2 ) (2 ) (6 ) (7 ) Net investment income $ 88 $ 99 $ 296 $ 297 The table below presents the components of net realized investment gains (losses). Realized gains and losses on sales of investments are determined using the specific identification method. Net Realized Investment Gains (Losses) Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Gross realized gains on available-for-sale securities $ 29 $ 5 $ 48 $ 16 Gross realized losses on available-for-sale securities (1 ) (3 ) (4 ) (9 ) Net realized gains (losses) on other invested assets — — — (1 ) Other-than-temporary impairment (OTTI): Total OTTI (12 ) (8 ) (29 ) (23 ) Less: portion of OTTI recognized in OCI — 1 3 (3 ) Net OTTI recognized in net income (loss) (1) (12 ) (9 ) (32 ) (20 ) Net realized investment gains (losses) $ 16 $ (7 ) $ 12 $ (14 ) ____________________ (1) Net OTTI recognized in net income was mainly attributable to change in foreign exchange rates in Third Quarter 2019 and Third Quarter 2018 . OTTI for Nine Months 2019 and Nine Months 2018 was attributable to change in foreign exchange rates and securities purchased for loss mitigation and other risk management purposes. The proceeds from sales of fixed-maturity securities available-for-sale were $405 million in Third Quarter 2019 , $316 million in Third Quarter 2018 , $1,306 million in Nine Months 2019 and $908 million in Nine Months 2018 . In Nine Months 2019 and 2018, the Company received $144 million and $4 million in bonds under financial guaranty contract settlement agreements, primarily the COFINA Exchange Senior Bonds. In Third Quarter 2019, the Company exchanged $44 million in COFINA taxable bonds for COFINA non-taxable bonds. During Third Quarter 2019 the Company sold all of its COFINA Exchange Senior Bonds. These transactions were non-cash and are not shown in the investing cash flows in the condensed consolidated statements of cash flows. The following table presents the roll-forward of the credit losses on fixed-maturity securities for which the Company has recognized an OTTI and for which unrealized loss was recognized in OCI. Roll Forward of Credit Losses in the Investment Portfolio Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Balance, beginning of period $ 191 $ 170 $ 185 $ 162 Additions for credit losses on securities for which an OTTI was previously recognized — 2 13 10 Reductions for securities sold and other settlements — — (7 ) — Balance, end of period $ 191 $ 172 $ 191 $ 172 See Part II, Item 8, Financial Statements and Supplementary Data, Note 10, Investments and Cash, of the Company's 2018 Annual Report on Form 10-K for a discussion of the accounting policy for evaluating investments for OTTI. Investment Portfolio As of September 30, 2019 , the majority of the investment portfolio is managed by seven outside managers (including Wasmer, Schroeder & Company LLC, in which the Company has a minority interest). 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 permit its outside managers to purchase only a small amount of securities rated lower than BBB- by S&P or Baa3 by Moody’s, and then only those securities rated no lower than B by S&P or B2 by Moody’s and subject to certain other specific requirements. Additionally, the managed portfolio must maintain a minimum average rating of A+ by S&P or A1 by Moody's. The investment portfolio tables shown below include assets managed both externally and internally. The internally managed portfolio primarily consists of the Company's investments in securities for (i) loss mitigation purposes, (ii) other risk management purposes and (iii) other alternative investments that the Company believes present an attractive investment opportunity. One of the Company's strategies for mitigating losses has been to purchase loss mitigation securities at discounted prices. The Company also holds other invested assets that were obtained or purchased as part of negotiated settlements with insured counterparties or under the terms of the financial guaranties (other risk management assets). Alternative investments include investing in both equity and debt securities as well as investments in investment managers. In February 2017 the Company agreed to purchase up to $100 million of limited partnership interests in a fund that invests in the equity of private equity managers of which $86 million of the commitment was not funded as of September 30, 2019 . Investment Portfolio Carrying Value As of As of (in millions) Fixed-maturity securities (1): Externally managed $ 8,363 $ 8,909 Internally managed 914 1,180 Short-term investments 1,142 729 Other invested assets: Internally managed Alternative investments 42 39 Other 15 16 Total $ 10,476 $ 10,873 ____________________ (1) 8.4% and 10.8% of fixed-maturity securities are rated BIG as of September 30, 2019 and December 31, 2018 , respectively. The Company has a de minimis amount of restricted cash as of September 30, 2019 and December 31, 2018 . Fixed-Maturity Securities and Short-Term Investments by Security Type As of September 30, 2019 Security Type Percent of Total (1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI (2) Pre-tax Gain (Loss) on Securities with OTTI Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 42 % $ 4,132 $ 331 $ — $ 4,463 $ 42 AA- U.S. government and agencies 1 144 11 — 155 — AA+ Corporate securities 24 2,286 80 (27 ) 2,339 (4 ) A Mortgage-backed securities (4): 0 RMBS 8 846 41 (10 ) 877 4 A- CMBS 5 448 21 — 469 — AAA Asset-backed securities 7 745 33 (3 ) 775 10 BBB- Non-U.S. government securities 2 210 1 (12 ) 199 — AA Total fixed-maturity securities 89 8,811 518 (52 ) 9,277 52 A+ Short-term investments 11 1,142 — — 1,142 — AAA Total investment portfolio 100 % $ 9,953 $ 518 $ (52 ) $ 10,419 $ 52 A+ Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2018 Security Type Percent of Total (1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI Pre-tax Gain (Loss) on Securities with OTTI Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 45 % $ 4,761 $ 168 $ (18 ) $ 4,911 $ 40 AA- U.S. government and agencies 2 167 9 (1 ) 175 — AA+ Corporate securities 20 2,175 13 (52 ) 2,136 (4 ) A Mortgage-backed securities (4): RMBS 9 999 17 (34 ) 982 (15 ) A- CMBS 5 542 4 (7 ) 539 — AAA Asset-backed securities 9 942 131 (5 ) 1,068 97 BB Non-U.S. government securities 3 298 2 (22 ) 278 — AA Total fixed-maturity securities 93 9,884 344 (139 ) 10,089 118 A+ Short-term investments 7 729 — — 729 — AAA Total investment portfolio 100 % $ 10,613 $ 344 $ (139 ) $ 10,818 $ 118 A+ ____________________ (1) Based on amortized cost. (2) Accumulated OCI (AOCI). (3) Ratings 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 primarily consists of high-quality, liquid instruments. (4) U.S. government-agency obligations were approximately 44% of mortgage backed securities as of September 30, 2019 and 48% as of December 31, 2018 based on fair value. 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 September 30, 2019 Less than 12 months 12 months or more Total Fair Value Unrealized Loss Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 5 $ — $ 4 $ — $ 9 $ — U.S. government and agencies 13 — 4 — 17 — Corporate securities 349 (8 ) 170 (19 ) 519 (27 ) Mortgage-backed securities: RMBS 7 — 193 (10 ) 200 (10 ) CMBS 1 — 4 — 5 — Asset-backed securities 83 (2 ) 147 (1 ) 230 (3 ) Non-U.S. government securities 53 (2 ) 80 (10 ) 133 (12 ) Total $ 511 $ (12 ) $ 602 $ (40 ) $ 1,113 $ (52 ) Number of securities (1) 133 143 256 Number of securities with OTTI 12 9 21 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2018 Less than 12 months 12 months or more Total Fair Unrealized Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 195 $ (4 ) $ 658 $ (14 ) $ 853 $ (18 ) U.S. government and agencies 11 — 24 (1 ) 35 (1 ) Corporate securities 836 (19 ) 522 (33 ) 1,358 (52 ) Mortgage-backed securities: RMBS 85 (2 ) 447 (32 ) 532 (34 ) CMBS 111 (1 ) 164 (6 ) 275 (7 ) Asset-backed securities 322 (4 ) 38 (1 ) 360 (5 ) Non-U.S. government securities 83 (4 ) 99 (18 ) 182 (22 ) Total $ 1,643 $ (34 ) $ 1,952 $ (105 ) $ 3,595 $ (139 ) Number of securities (1) 417 608 997 Number of securities with OTTI (1) 22 22 42 ___________________ (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 September 30, 2019 and December 31, 2018 , 27 and 38 securities, respectively, had unrealized losses greater than 10% of book value. The total unrealized loss for these securities was $24 million as of September 30, 2019 and $43 million as of December 31, 2018 . The Company considered the credit quality, cash flows, interest rate movements, ability to hold a security to recovery and intent to sell a security in determining whether a security had a credit loss. The Company has determined that the unrealized losses recorded as of September 30, 2019 and December 31, 2018 were yield-related and not the result of OTTI. The amortized cost and estimated fair value of available-for-sale fixed maturity securities by contractual maturity as of September 30, 2019 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 September 30, 2019 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 274 $ 275 Due after one year through five years 1,617 1,635 Due after five years through 10 years 2,133 2,242 Due after 10 years 3,493 3,779 Mortgage-backed securities: RMBS 846 877 CMBS 448 469 Total $ 8,811 $ 9,277 Based on fair value, investments and restricted cash that are either held in trust for the benefit of third party ceding insurers in accordance with statutory requirements, placed on deposit to fulfill state licensing requirements, or otherwise pledged or restricted totaled $278 million and $266 million , as of September 30, 2019 and December 31, 2018 , respectively. The investment portfolio also contains securities that are held in trust by certain AGL subsidiaries or otherwise restricted for the benefit of other AGL subsidiaries in accordance with statutory and regulatory requirements in the amount of $1,596 million and $1,855 million , based on fair value as of September 30, 2019 and December 31, 2018 |
Contracts Accounted for as Cred
Contracts Accounted for as Credit Derivatives | 9 Months Ended |
Sep. 30, 2019 | |
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 derivative portfolio also includes interest rate swaps. Credit derivative transactions are governed by International Swaps and Derivative Association, Inc. documentation and have certain characteristics that differ from financial guaranty insurance contracts. For example, the Company’s control rights with respect to a reference obligation under a credit derivative may be more limited than when the Company issues a financial guaranty insurance contract. In addition, there are more circumstances under which the Company may be obligated to make payments. Similar to a financial guaranty insurance contract, the Company would be obligated to pay if the obligor failed to make a scheduled payment of principal or interest in full. However, the Company may also be required to pay if the obligor becomes bankrupt or if the reference obligation were restructured if, after negotiation, those credit events are specified in the documentation for the credit derivative transactions. Furthermore, the Company may be required to make a payment due to an event that is unrelated to the performance of the obligation referenced in the credit derivative. If events of default or termination events specified in the credit derivative documentation were to occur, the non-defaulting or the non-affected party, which may be either the Company or the counterparty, depending upon the circumstances, may decide to terminate a credit derivative prior to maturity. In that case, the Company may be required to make a termination payment to its swap counterparty upon such termination. Absent such an event of default or termination event, the Company may not unilaterally terminate a CDS contract; however, the Company on occasion has mutually agreed with various counterparties to terminate certain CDS transactions. Credit Derivative Net Par Outstanding by Sector The components of the Company’s credit derivative net par outstanding are presented in the table below. The estimated remaining weighted average life of credit derivatives was 11.2 years and 11.6 years as of September 30, 2019 and December 31, 2018 , respectively. Credit Derivatives (1) As of September 30, 2019 As of December 31, 2018 (2) Net Par Outstanding Net Fair Value Net Par Outstanding Net Fair Value (in millions) U.S. public finance $ 2,067 $ (103 ) $ 1,783 $ (65 ) Non-U.S. public finance 2,709 (46 ) 2,807 (51 ) U.S. structured finance 1,266 (51 ) 1,465 (85 ) Non-U.S. structured finance 123 (8 ) 127 (6 ) Total $ 6,165 $ (208 ) $ 6,182 $ (207 ) ____________________ (1) Expected recoveries were $5 million as of September 30, 2019 and $2 million as of December 31, 2018 . (2) Prior year presentation has been conformed to the current year's presentation. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of September 30, 2019 As of December 31, 2018 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 1,662 27.0 % $ 1,813 29.4 % AA 1,748 28.4 1,690 27.3 A 1,255 20.3 1,171 18.9 BBB 1,368 22.2 1,351 21.9 BIG (1) 132 2.1 157 2.5 Credit derivative net par outstanding $ 6,165 100.0 % $ 6,182 100.0 % ____________________ (1) All BIG credit derivatives are U.S. RMBS transactions. Fair Value of Credit Derivatives Net Change in Fair Value of Credit Derivative Gain (Loss) Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Realized gains on credit derivatives $ 2 $ 2 $ 6 $ 6 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (5 ) (1 ) (30 ) (2 ) Realized gains (losses) and other settlements (3 ) 1 (24 ) 4 Net unrealized gains (losses) 8 20 (1 ) 99 Net change in fair value of credit derivatives $ 5 $ 21 $ (25 ) $ 103 Realized losses and other settlements for Nine Months 2019 were primarily due to a final maturity paydown of a U.S. structured finance transaction, for which there was an offsetting unrealized gain. During Third Quarter 2019 , unrealized fair value gains were generated primarily as a result of price improvements on the underlying collateral of certain of the Company's public finance CDS. The unrealized fair value gains were partially offset by unrealized fair value losses related to certain structured finance CDS transactions and changes in discount rates. During Nine Months 2019 , unrealized fair value losses were generated primarily as a result of wider implied net spreads driven by the decreased market cost to buy protection in AGC’s name during the period. For those CDS transactions that were pricing at or above their floor levels, when the cost of purchasing CDS protection on AGC, which management refers to as the CDS spread on AGC, decreased, the implied spreads that the Company would expect to receive on these transactions increased. These unrealized losses were offset by price improvements and the final maturity paydown of a CDS contract. During Third Quarter 2018 , unrealized fair value gains were generated primarily as a result of price improvements on the underlying collateral of the Company’s CDS. This was the primary driver of the unrealized fair value gains in the U.S. structured finance and U.S. public finance sectors. The unrealized fair value gains were partially offset by unrealized fair value losses related to the decreased cost to buy protection in AGC’s name as the market cost of AGC’s credit protection decreased during the period. During Nine Months 2018 , unrealized fair value gains were generated primarily as a result of the increase in credit given to the primary insurer on one of the Company's second-to-pay CDS policies, CDS terminations, and price improvements on the underlying collateral of the Company’s CDS. The unrealized fair value gains were partially offset by unrealized fair value losses related to the decreased cost to buy protection in AGC’s name as the market cost of AGC’s credit protection decreased during the period. 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. 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 Quoted price of CDS contract (in bps) As of As of As of As of As of As of Five-year CDS spread 56 56 110 77 105 163 One-year CDS spread 14 13 22 15 22 70 Fair Value of Credit Derivative Assets (Liabilities) and Effect of AGC Credit Spreads As of As of (in millions) Fair value of credit derivatives before effect of AGC credit spread $ (306 ) $ (407 ) Plus: Effect of AGC credit spread 98 200 Net fair value of credit derivatives $ (208 ) $ (207 ) The fair value of CDS contracts at September 30, 2019 , before considering the benefit applicable to AGC’s credit spreads, is a direct result of the relatively wide credit spreads of certain underlying credits generally due to the long tenor of these credits. Collateral Posting for Certain Credit Derivative Contracts The transaction documentation with one counterparty for $193 million in CDS net par insured by AGC requires AGC to post collateral, subject to a $193 million cap, to secure its obligation to make payments under such contracts. Eligible collateral is generally cash or U.S. government or agency securities; eligible collateral other than cash is valued at a discount to the face amount. There was no collateral posted as of September 30, 2019. |
Variable Interest Entities
Variable Interest Entities | 9 Months Ended |
Sep. 30, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Variable Interest Entities | Variable Interest Entities The Company provides financial guaranties with respect to debt obligations of special purpose entities, including VIEs but does not act as the servicer or collateral manager for any VIE obligations guaranteed by its insurance subsidiaries. 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 Company's financial guaranty insurance policy only covers a senior layer of losses experienced by multiple obligations issued by the VIE. The first loss exposure with respect to the assets is either retained by the seller or sold off in the form of equity or mezzanine debt to other investors. In the case of excess spread, the financial assets contributed to VIEs generate interest income that are in excess of the interest payments on the debt issued by the VIE. Such excess spread is typically distributed through the transaction’s cash flow waterfall and may be used to create additional credit enhancement, applied to redeem debt issued by the VIE (thereby, creating additional overcollateralization), or distributed to equity or other investors in the transaction. 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 FG VIEs’ liabilities. Net fair value gains and losses on FG VIEs are expected to reverse to zero at maturity of the FG VIEs’ 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 4, Expected Loss to be Paid. As part of the terms of its financial guaranty contracts, the Company, under its insurance contract, obtains certain protective rights with respect to the VIE that give the Company additional controls over a VIE. These protective rights are triggered by the occurrence of certain events, such as failure to be in compliance with a covenant due to poor deal performance or a deterioration in a servicer or collateral manager's financial condition. At deal inception, the 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 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 to no longer have those protective rights, the VIE is deconsolidated. Consolidated FG VIEs As of September 30, 2019 and December 31, 2018 , the Company consolidated 28 and 31 FG VIEs, respectively. During Nine Months 2019 , two FG VIEs were deconsolidated, two FG VIEs matured and one FG VIE was consolidated. During Nine Months 2018 , one FG VIE was deconsolidated. There were no new consolidations for Nine Months 2018 . The change in the ISCR of the FG VIEs’ assets held as of the end of the reporting period that was recorded in the condensed consolidated statements of operations for Third Quarter 2019 and 2018 were gains of $7 million and $1 million , respectively, and $42 million and $4 million for Nine Months 2019 and 2018 , respectively. To calculate ISCR, the change in the fair value of the FG VIEs’ assets is allocated between changes that are due to ISCR and changes due to other factors, including interest rates. The ISCR amount is determined by using expected cash flows at the original date of consolidation discounted at the effective yield less current expected cash flows discounted at that same original effective yield. As of As of (in millions) Excess of unpaid principal over fair value of: FG VIEs’ assets $ 279 $ 350 FG VIEs’ liabilities with recourse 21 48 FG VIEs’ liabilities without recourse 19 28 Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due 61 71 Unpaid principal for FG VIEs’ liabilities with recourse (1) 409 565 ____________________ (1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2019 to 2038 . The table below shows the carrying value of the consolidated FG VIEs’ assets and liabilities in the condensed consolidated financial statements, segregated by the types of assets that collateralize the respective debt obligations for FG VIEs’ liabilities with recourse. Consolidated FG VIEs By Type of Collateral As of September 30, 2019 As of December 31, 2018 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 289 $ 314 $ 299 $ 326 U.S. RMBS second lien 75 74 115 137 Manufactured housing — — 53 54 Total with recourse 364 388 467 517 Without recourse 105 105 102 102 Total $ 469 $ 493 $ 569 $ 619 The effect of consolidating FG VIEs includes (i) changes in fair value gains (losses) on FG VIEs’ assets and liabilities, (ii) the elimination of premiums and losses related to the AGC and AGM FG VIEs’ liabilities with recourse and (iii) the elimination of investment balances related to the Company’s purchase of AGC and AGM insured FG VIEs’ 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 Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Net earned premiums $ (2 ) $ (3 ) $ (16 ) $ (9 ) Net investment income (1 ) (1 ) (3 ) (3 ) Fair value gains (losses) on FG VIEs (1) 4 5 42 11 Loss and LAE (3 ) (3 ) (18 ) — Effect on income before tax (2 ) (2 ) 5 (1 ) Less: Tax provision (benefit) — — 1 — Effect on net income (loss) $ (2 ) $ (2 ) $ 4 $ (1 ) Effect on OCI $ 1 $ (2 ) $ (1 ) $ — Effect on cash flows from operating activities $ 1 $ 1 $ — $ 7 ____________________ (1) See condensed consolidated statements of comprehensive income and Note 14, Shareholders' Equity, for information on changes in fair value of the FG VIEs’ liabilities with recourse that are attributable to changes in the Company's own credit risk. The consolidation of FG VIEs increased shareholders' equity by $4 million as of September 30, 2019 and $1 million as of December 31, 2018 . The primary driver of the gain during Third Quarter 2019 is due to price appreciation on FG VIEs assets. The primary driver of the gain during Nine Months 2019 was attributable to higher recoveries on second lien U.S. RMBS FG VIEs' assets. The primary driver of the gain during Third Quarter 2018 and Nine Months 2018 was improvement in the underlying collateral of the FG VIEs' assets. Other Consolidated VIEs In certain instances where the Company consolidates a VIE that was established as part of a loss mitigation negotiated settlement that results in the termination of the original insured financial guaranty insurance or credit derivative contract, the Company classifies the assets and liabilities of those VIEs in the line items that most accurately reflect the nature of the items, as opposed to within the FG VIEs’ assets and FG VIEs’ liabilities. The largest of these VIEs had assets of $91 million and liabilities of $9 million as of September 30, 2019 , and assets of $87 million and liabilities of $21 million as of December 31, 2018 , primarily recorded in the investment portfolio and credit derivative liabilities on the condensed consolidated balance sheets. Non-Consolidated VIEs As described in Note 3, Outstanding Exposure, the Company monitors all policies in the insured portfolio. Of the approximately 18 thousand policies monitored as of September 30, 2019 , approximately 15 thousand policies are not within the scope of Accounting Standards Codification 810 because these financial guaranties relate to the debt obligations of governmental organizations or financing entities established by a governmental organization. The majority of the remaining policies involve transactions where the Company is not deemed to currently have control over the FG VIEs’ most significant activities. As of September 30, 2019 and December 31, 2018 , the Company identified 96 and 110 policies, respectively, that contain provisions and experienced events that may trigger consolidation. Based on management’s assessment of these potential triggers or events, the Company consolidated 28 and 31 FG VIEs as of September 30, 2019 and December 31, 2018 , respectively. The Company’s exposure provided through its financial guaranties with respect to debt obligations of FG VIEs is included within net par outstanding in Note 3, Outstanding Exposure. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2019 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes Overview AGL and its Bermuda subsidiaries AG Re, AGRO, and Cedar Personnel Ltd. (Bermuda Subsidiaries) are not subject to any income, withholding or capital gains taxes under current Bermuda law. The Company has received an assurance from the Minister of Finance in Bermuda that, in the event of any taxes being imposed, AGL and its Bermuda Subsidiaries will be exempt from taxation in Bermuda until March 31, 2035. AGL's U.S. 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, has elected under Section 953(d) of the U.S. Internal Revenue Code to be taxed as a U.S. domestic corporation. In November 2013, AGL became tax resident in the U.K. although it remains a Bermuda-based company and its administrative and head office functions continue to be carried on in Bermuda. As a U.K. tax resident company, AGL is required to file a corporation tax return with Her Majesty's Revenue & Customs. AGL is subject to U.K. corporation tax in respect of its worldwide profits (both income and capital gains), subject to any applicable exemptions. The corporation tax rate is at 19% for 2019. 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 Her Majesty's Revenue & Customs confirming this on the basis of current facts. AGUS files a consolidated federal income tax return with all of its U.S. subsidiaries. Assured Guaranty Overseas US Holdings Inc. and its subsidiaries AGRO and AG Intermediary Inc. file their own consolidated federal income tax return. Provision for Income Taxes The Company's provision for income taxes for interim financial periods is not based on an estimated annual effective rate due, for example, to the variability in loss reserves, fair value of its credit derivatives and VIEs, and foreign exchange gains and losses which prevents the Company from projecting a reliable estimated annual effective tax rate and pretax income for the full year 2019. A discrete calculation of the provision is calculated for each interim period. The effective tax rates reflect the proportion of income recognized by each of the Company’s operating subsidiaries, with U.S. subsidiaries taxed at the U.S. marginal corporate income tax rate of 21% , U.K. subsidiaries taxed at the U.K. marginal corporate tax rate of 19% , and no taxes for the Company’s Bermuda Subsidiaries unless subject to U.S. tax by election. The Company’s overall effective tax rate fluctuates based on the distribution of income across jurisdictions. A reconciliation of the difference between the provision for income taxes and the expected tax provision at statutory rates in taxable jurisdictions is presented below. Effective Tax Rate Reconciliation Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Expected tax provision (benefit) $ 17 $ 31 $ 64 $ 80 Tax-exempt interest (5 ) (6 ) (15 ) (18 ) Change in liability for uncertain tax positions 1 (10 ) 1 (16 ) Effect of provision to tax return filing adjustment (6 ) (1 ) (6 ) (1 ) State tax — 5 1 6 Foreign taxes 6 1 11 4 Taxes on reinsurance 5 1 9 — Effect of adjustments to the provisional amounts as a result of 2017 Tax Cuts and Jobs Act — (4 ) — (4 ) Deferred compensation (1 ) (1 ) (3 ) (2 ) Other — (2 ) (1 ) (3 ) Total provision (benefit) for income taxes $ 17 $ 14 $ 61 $ 46 Effective tax rate 19.2 % 8.3 % 18.6 % 9.7 % The expected tax provision (benefit) 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. 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 tables present pretax income and revenue by jurisdiction. Pretax Income (Loss) by Tax Jurisdiction Third Quarter Nine Months 2019 2018 2019 2018 (in millions) U.S. $ 101 $ 128 $ 326 $ 374 Bermuda 10 24 26 97 U.K. and other (25 ) 23 (26 ) 8 Total $ 86 $ 175 $ 326 $ 479 Revenue by Tax Jurisdiction Third Quarter Nine Months 2019 2018 2019 2018 (in millions) U.S. $ 186 $ 192 $ 562 $ 628 Bermuda 37 47 110 135 U.K. and other (17 ) 36 (5 ) 25 Total $ 206 $ 275 $ 667 $ 788 Pretax income by jurisdiction may be disproportionate to revenue by jurisdiction to the extent that insurance losses incurred are disproportionate. Tax Assets (Liabilities) Deferred and Current Tax Assets (Liabilities) (1) As of As of (in millions) Deferred tax assets (liabilities) $ (24 ) $ 68 Current tax assets (liabilities) 14 22 ____________________ (1) Included in other assets or other liabilities on the condensed consolidated balance sheets. Valuation Allowance The Company has $13 million of foreign tax credit (FTC) carryovers from previous acquisitions and $23 million of FTC due to the 2017 Tax Cuts and Jobs Act for use against regular tax in future years. FTCs will begin to expire in 2020 and will fully expire by 2027. In analyzing the future realizability of FTCs, the Company notes limitations on future foreign source income due to overall foreign losses as negative evidence. After reviewing positive and negative evidence, the Company came to the conclusion that it is more likely than not that the FTC of $36 million 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 deferred tax assets will be fully realized after weighing all positive and negative evidence available as required under GAAP. The positive evidence that was considered included the cumulative income the Company has earned over the last three years , and the significant unearned premium income to be included in taxable income. The positive evidence outweighs any negative evidence that exists. As such, the Company believes that no valuation allowance is necessary in connection with the remaining net deferred tax asset. The Company will continue to analyze the need for a valuation allowance on a quarterly basis. Audits As of September 30, 2019 , AGUS had open tax years with the U.S. Internal Revenue Service (IRS) for 2016 to present and is currently under audit for the 2016 tax year. In December 2016, the IRS issued a Revenue Agent Report for the 2009 - 2012 audit period, which did not identify any material adjustments that were not already accounted for in prior periods. The 2013 and 2014 tax years closed in 2018. Assured Guaranty Overseas US Holdings Inc. has open tax years of 2016 forward but is not currently under audit with the IRS. The Company's U.K. subsidiaries are not currently under examination and have open tax years of 2017 forward. CIFGNA, which was acquired by AGC during 2016, is not currently under examination and has open tax years of 2016 to the date of acquisition. Uncertain Tax Positions The Company's policy is to recognize interest related to uncertain tax positions in income tax expense and has accrued $0.7 million for Nine Months 2019 and $1 million for the full year 2018. As of September 30, 2019 and December 31, 2018 , the Company has accrued $1 million and $2 million of interest, respectively. The total amount of reserves for unrecognized tax positions, including accrued interest, as of both September 30, 2019 and December 31, 2018 that would affect the effective tax rate, if recognized, was $16 million |
Reinsurance
Reinsurance | 9 Months Ended |
Sep. 30, 2019 | |
Insurance [Abstract] | |
Reinsurance | Reinsurance The Company assumes exposure (Assumed Business) from third party insurers, primarily other monoline financial guaranty companies that currently are in runoff and no longer actively writing new business (Legacy Monoline Insurers), and may cede portions of exposure it has insured (Ceded Business) in exchange for premiums, net of any ceding commissions. The Company, if required, secures its reinsurance obligations to these Legacy Monoline Insurers, typically by depositing in trust assets with a market value equal to its assumed liabilities calculated on a U.S. statutory basis. Substantially all of the Company’s Assumed Business and Ceded Business relates to financial guaranty business, except for a modest amount that relates to AGRO's non-financial guaranty business. The Company historically entered into, and with respect to new business originated by AGRO continues to enter into, ceded reinsurance contracts in order to obtain greater business diversification and reduce the net potential loss from large risks. Financial Guaranty Business The Company’s facultative and treaty assumed agreements with the Legacy Monoline Insurers are generally subject to termination at the option of the ceding company: • if the Company fails to meet certain financial and regulatory criteria; • if the Company fails to maintain a specified minimum financial strength rating, or • upon certain changes of control of the Company. Upon termination due to one of the above events, the Company typically would be required to return to the ceding company unearned premiums (net of ceding commissions) and loss reserves, calculated on a U.S. statutory basis, attributable to the Assumed Business (plus in certain cases, an additional required amount), after which the Company would be released from liability with respect to such business. As of September 30, 2019 , if each third party company 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 $42 million and $291 million , respectively. The Company has ceded financial guaranty business to non-affiliated companies to limit its exposure to risk. 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. The Company’s ceded contracts generally allow the Company to recapture ceded financial guaranty business after certain triggering events, such as reinsurer downgrades. Non-Financial Guaranty Business The Company, through AGRO, assumes non-financial guaranty business from third party insurers (Assumed Non-Financial Guaranty Business). It also cedes and retrocedes some of its non-financial guaranty business to third party reinsurers. A downgrade of AGRO’s financial strength rating by S&P below A would require AGRO to post, as of September 30, 2019 , an estimated $0.3 million of collateral in respect of certain of its Assumed Non-Financial Guaranty Business. A further downgrade of AGRO’s S&P rating below A- would give the company ceding such business the right to recapture the business for AGRO’s collateral amount, and, if also accompanied by a downgrade of AGRO's financial strength rating by A.M. Best Company, Inc. below A-, would also require AGRO to post, as of September 30, 2019 , an estimated $11 million of collateral in respect of a different portion of AGRO’s Assumed Non-Financial Guaranty Business. AGRO’s ceded/retroceded contracts generally have equivalent provisions requiring the assuming reinsurer to post collateral and/or allowing AGRO to recapture the ceded/retroceded business upon certain triggering events, such as reinsurer rating downgrades. Effect of Reinsurance The following table presents the components of premiums and losses reported in the condensed consolidated statements of operations and the contribution of the Company's Assumed and Ceded Businesses (both financial guaranty and non-financial guaranty). Effect of Reinsurance on Statement of Operations Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Premiums Written: Direct $ 67 $ 57 $ 156 $ 192 Assumed (1) 2 (7 ) 3 324 Ceded (2) (1 ) 1 12 14 Net $ 68 $ 51 $ 171 $ 530 Premiums Earned: Direct $ 113 $ 127 $ 317 $ 400 Assumed 12 19 42 33 Ceded (2 ) (4 ) (6 ) (10 ) Net $ 123 $ 142 $ 353 $ 423 Loss and LAE: Direct $ 28 $ 18 $ 82 $ 53 Assumed 2 1 4 (7 ) Ceded — (2 ) (11 ) (3 ) Net $ 30 $ 17 $ 75 $ 43 ____________________ (1) Negative assumed premiums written were due to changes in expected debt service schedules. (2) Positive ceded premiums written were due to terminations, commutations and changes in expected debt service schedules. Ceded Reinsurance (1) As of As of (in millions) Ceded premium payable, net of commissions $ 19 $ 26 Ceded expected loss to be recovered (paid) 14 14 Financial guaranty ceded par outstanding (2) 1,343 2,389 Non-financial guaranty ceded exposure (see Note 3) 275 239 ____________________ (1) The total collateral posted by all non-affiliated reinsurers required to post, or that had agreed to post, collateral as of September 30, 2019 and December 31, 2018 was approximately $69 million and $80 million , respectively. Such collateral is posted (i) in the case of certain reinsurers not authorized or "accredited" in the U.S., in order for the Company to receive credit for the liabilities ceded to such reinsurers in statutory financial statements, and (ii) in the case of certain reinsurers authorized in the U.S., on terms negotiated with the Company. (2) Of the total par ceded to unrated or BIG rated reinsurers, $224 million and $236 million is rated BIG as of September 30, 2019 and December 31, 2018 , respectively. Reinsurance of Syncora Guarantee Inc.’s Insured Portfolio On June 1, 2018, the Company closed the SGI Transaction under which AGC assumed, generally on a 100% quota share basis, substantially all of SGI’s insured portfolio and AGM reassumed a book of business previously ceded to SGI by AGM. As of June 1, 2018, the net par value of exposures reinsured and commuted totaled approximately $12 billion (including credit derivative net par of approximately $1.5 billion ). The reinsured portfolio consisted predominantly of public finance and infrastructure obligations that met AGC’s underwriting criteria and generated $330 million of gross written premiums. On June 1, 2018, as consideration, SGI paid $363 million and assigned to Assured Guaranty financial guaranty future insurance installment premiums of $45 million , and future credit derivative installments of approximately $17 million . The assumed portfolio from SGI included BIG contracts which had, as of June 1, 2018, expected losses to be paid of $131 million (present value basis using risk-free rates), which will be expensed over the expected terms of those contracts as unearned premium reserve amortizes. In connection with the SGI Transaction, the Company incurred and expensed $4 million in fees to professional advisors. Additionally, beginning on June 1, 2018, on behalf of SGI, AGC began providing certain administrative services on the assumed portfolio, including surveillance, risk management and claims processing. Commutations Commutations of Ceded Reinsurance Contracts Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Increase in net unearned premium reserve $ — $ 4 $ 15 $ 64 Increase in net par outstanding — 224 1,069 1,457 Commutation gains (losses) — 1 1 (16 ) Excess of Loss Reinsurance Facility Effective January 1, 2018, AGC, AGM and MAC entered into a $400 million aggregate excess of loss reinsurance facility of which $180 million was placed with an unaffiliated reinsurer. This facility covers losses occurring either from January 1, 2018 through December 31, 2024, or January 1, 2019 through December 31, 2025, at the option of AGC, AGM and MAC. It terminates on January 1, 2020, unless AGC, AGM and MAC choose to extend it. It covers certain U.S. public finance exposures insured or reinsured by AGC, AGM and MAC as of September 30, 2017, excluding exposures that were rated below investment grade as of December 31, 2017 by Moody’s or S&P or internally by AGC, AGM or MAC and is subject to certain per credit limits. Among the exposures excluded are those associated with the Commonwealth of Puerto Rico and its related authorities and public corporations. The 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 $0.8 billion in the aggregate. The facility covers a portion of the next $400 million of losses, with the reinsurer assuming $180 million of the $400 million of losses and AGC, AGM and MAC jointly retaining the remaining $220 million . The reinsurer is required to be rated at least AA- or to post collateral sufficient to provide AGC, AGM and MAC with the same reinsurance credit as reinsurers rated AA-. AGC, AGM and MAC are each obligated to pay the reinsurer its share of recoveries relating to losses during the coverage period in the covered portfolio. AGC, AGM and MAC paid approximately $3.2 million of premiums in 2018 for the term January 1, 2018 through December 31, 2018 and approximately $3.2 million of premiums in 2019 for the term January 1, 2019 through December 31, 2019. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Leases The Company is party to various non-cancelable lease agreements. The largest lease relates to approximately 103,500 square feet of office space in New York City, which expires in 2032. Subject to certain conditions, the Company has an option to renew this lease for an additional five years at a fair market rent. The Company also has leases for additional office and apartment space in several other locations which expire at various dates through 2029. Effective January 1, 2019, the Company adopted Topic 842, which requires the establishment of a right-of-use (ROU) asset and a lease liability on the balance sheet for operating leases. All of the Company’s leases are classified as operating leases; however, the Company made an accounting policy election not to apply the recognition requirements of Topic 842 to short-term leases with an initial term of 12 months or less. At the inception of a lease the total payments under a lease agreement are discounted utilizing an incremental borrowing rate that represents the Company’s collateralized borrowing rate. The rate was determined based on the remaining lease term as of the date of adoption. The Company does not include its renewal options in calculating the lease liability. Operating lease expense is recognized on a straight-line basis over the lease term. Actual costs incurred related to non-lease components (i.e., common area maintenance, real estate taxes, building insurance and other operating expenses) for all the Company’s office leases are recorded as a variable lease expense in the period incurred. The Company elected the package of practical expedients, which permits organizations not to reassess (i) whether any expired or existing contracts are or contain leases, (ii) the lease classification of expired or existing leases and (iii) initial direct costs for existing leases. The Company also elected the practical expedient to account for all lease components and their associated non-lease components as a single lease component and has allocated all of the contract consideration across lease components. Upon adoption, the Company recognized lease liabilities of approximately $95 million , recorded in other liabilities, and ROU assets of approximately $69 million , recorded in other assets, and derecognized existing deferred rent and lease incentive liabilities of approximately $26 million , resulting in no cumulative-effect adjustment to retained earnings. As of September 30, 2019 , the ROU assets were $65 million and the lease liabilities were $90 million . Components of Lease Expense Third Quarter 2019 Nine Months 2019 (in millions) Lease cost (1) $ 3 $ 7 Cash paid for amounts included in the measurement of lease liabilities 3 7 ____________________ (1) Variable and short-term lease costs are de minimis. As of September 30, 2019 , operating leases had a weighted average remaining lease term of 12.0 years and were discounted at a weighted average rate of 3.0% . Future Minimum Rental Payments As of Year (in millions) 2019 (remaining three months) $ 2 2020 9 2021 8 2022 8 2023 9 Thereafter 72 Total lease payments (1) 108 Less: imputed interest 18 Total operating lease liabilities $ 90 ____________________ (1) At December 31, 2018, future lease payments were $9 million , $9 million , $8 million , $8 million , and $9 million for 2019 through 2023, respectively, and $72 million in aggregate for all years thereafter. Legal Proceedings Lawsuits arise in the ordinary course of the Company’s business. It is the opinion of the Company’s management, based upon the information available, that the expected outcome of litigation against the Company, individually or in the aggregate, will not have a material adverse effect on the Company’s financial position or liquidity, although an adverse resolution of litigation against the Company in a fiscal quarter or year could have a material adverse effect on the Company’s results of operations in a particular quarter or year. In addition, in the ordinary course of their respective businesses, certain of AGL's subsidiaries are involved in litigation with third parties to recover losses paid in prior periods or prevent or reduce losses in the future. For example, the Company is involved in a number of legal actions in the Federal District Court for Puerto Rico to enforce or defend its rights with respect to the obligations it insures of Puerto Rico and various of its related authorities and public corporations. See "Exposure to Puerto Rico" section of Note 3, Outstanding Exposure, for a description of such actions. See "Recovery Litigation" section of Note 4, Expected Loss to be Paid, for a description of recovery litigation unrelated to Puerto Rico. The impact, if any, of these and other proceedings on the amount of recoveries the Company receives and losses it pays in the future is uncertain, and the impact of any one or more of these proceedings during any quarter or year could be material to the Company's results of operations in that particular quarter or year. The Company also receives subpoenas duces tecum and interrogatories from regulators from time to time. Litigation On November 28, 2011, Lehman Brothers International (Europe) (in administration) (LBIE) sued AG Financial Products Inc. (AGFP), an affiliate of AGC which in the past had provided credit protection to counterparties under CDS. AGC acts as the credit support provider of AGFP under these CDS. LBIE’s complaint, which was filed in the Supreme Court of the State of New York, asserted a claim for breach of the implied covenant of good faith and fair dealing based on AGFP's termination of nine credit derivative transactions between LBIE and AGFP and asserted claims for breach of contract and breach of the implied covenant of good faith and fair dealing based on AGFP's termination of 28 other credit derivative transactions between LBIE and AGFP and AGFP's calculation of the termination payment in connection with those 28 other credit derivative transactions. Following defaults by LBIE, AGFP properly terminated the transactions in question in compliance with the agreement between AGFP and LBIE, and calculated the termination payment properly. AGFP calculated that LBIE owes AGFP approximately $4 million for the claims which were dismissed and approximately $25 million in connection with the termination of the other credit derivative transactions, whereas LBIE asserted in the complaint that AGFP owes LBIE a termination payment of approximately $1.4 billion . AGFP filed a motion to dismiss the claims for breach of the implied covenant of good faith in LBIE's complaint, and on March 15, 2013, the court granted AGFP's motion to dismiss in respect of the count relating to the nine credit derivative transactions and narrowed LBIE's claim with respect to the 28 other credit derivative transactions. LBIE's administrators disclosed in an April 10, 2015 report to LBIE’s unsecured creditors that LBIE's valuation expert has calculated LBIE's claim for damages in aggregate for the 28 transactions to range between a minimum of approximately $200 million and a maximum of approximately $500 million , depending on what adjustment, if any, is made for AGFP's credit risk and excluding any applicable interest. AGFP filed a motion for summary judgment on the remaining causes of action asserted by LBIE and on AGFP's counterclaims, and on July 2, 2018, the court granted in part and denied in part AGFP’s motion. The court dismissed, in its entirety, LBIE’s remaining claim for breach of the implied covenant of good faith and fair dealing and also dismissed LBIE’s claim for breach of contract solely to the extent that it is based upon AGFP’s conduct in connection with the auction. With respect to LBIE’s claim for breach of contract, the court held that there are triable issues of fact regarding whether AGFP calculated its loss reasonably and in good faith. On October 1, 2018, AGFP filed an appeal with the Appellate Division of the Supreme Court of the State of New York, First Judicial Department, seeking reversal of the portions of the lower court's ruling denying AGFP’s motion for summary judgment with respect to LBIE’s sole remaining claim for breach of contract. On January 17, 2019, the Appellate Division affirmed the Supreme Court's decision, holding that the lower court correctly determined that there are triable issues of fact regarding whether AGFP calculated its loss reasonably and in good faith. A trial has been scheduled to take place in March 2020. |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2019 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share Computation of Earnings Per Share Third Quarter Nine Months 2019 2018 2019 2018 (in millions, except per share amounts) Basic Earnings Per Share (EPS): Net income (loss) attributable to AGL $ 69 $ 161 $ 265 $ 433 Less: Distributed and undistributed income (loss) available to nonvested shareholders — 1 — 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 69 $ 160 $ 265 $ 432 Basic shares 98.2 108.0 100.8 111.6 Basic EPS $ 0.71 $ 1.48 $ 2.63 $ 3.87 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 69 $ 160 $ 265 $ 432 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries — — — — Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 69 $ 160 $ 265 $ 432 Basic shares 98.2 108.0 100.8 111.6 Dilutive securities: Options and restricted stock awards 0.7 1.3 0.8 1.3 Diluted shares 98.9 109.3 101.6 112.9 Diluted EPS $ 0.70 $ 1.47 $ 2.61 $ 3.83 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect — — — 0.1 |
Shareholders' Equity
Shareholders' Equity | 9 Months Ended |
Sep. 30, 2019 | |
Equity [Abstract] | |
Shareholders' Equity | Shareholders' Equity Other Comprehensive Income The following tables present the changes in each component of AOCI and the effect of reclassifications out of AOCI on the respective line items in net income. Changes in Accumulated Other Comprehensive Income by Component Third Quarter 2019 Net Unrealized Net Unrealized Net Unrealized Gains (Losses) on FG VIEs’ Liabilities with Recourse due to ISCR Cumulative Cash Flow Total (in millions) Balance, June 30, 2019 $ 301 $ 51 $ (27 ) $ (38 ) $ 8 295 Other comprehensive income (loss) before reclassifications 57 (21 ) (2 ) — — 34 Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 29 (12 ) — — — 17 Fair value gains (losses) on FG VIEs — — (3 ) — — (3 ) Total before tax 29 (12 ) (3 ) — — 14 Tax (provision) benefit (5 ) — 1 — — (4 ) Total amount reclassified from AOCI, net of tax 24 (12 ) (2 ) — — 10 Net current period other comprehensive income (loss) 33 (9 ) — — — 24 Balance, September 30, 2019 $ 334 $ 42 $ (27 ) $ (38 ) $ 8 $ 319 Changes in Accumulated Other Comprehensive Income by Component Third Quarter 2018 Net Unrealized Net Unrealized Net Unrealized Gains (Losses) on FG VIEs’ Liabilities with Recourse due to ISCR Cumulative Cash Flow Total (in millions) Balance, June 30, 2018 $ 83 $ 124 $ (31 ) $ (32 ) $ 8 $ 152 Other comprehensive income (loss) before reclassifications (59 ) (16 ) (5 ) (3 ) — (83 ) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 1 (8 ) — — — (7 ) Fair value gains (losses) on FG VIEs — — (2 ) — — (2 ) Total before tax 1 (8 ) (2 ) — — (9 ) Tax (provision) benefit (1 ) 1 — — — — Total amount reclassified from AOCI, net of tax — (7 ) (2 ) — — (9 ) Net current period other comprehensive income (loss) (59 ) (9 ) (3 ) (3 ) — (74 ) Balance, September 30, 2018 $ 24 $ 115 $ (34 ) $ (35 ) $ 8 $ 78 Changes in Accumulated Other Comprehensive Income by Component Nine Months 2019 Net Unrealized Gains (Losses) on Investments with no OTTI Net Unrealized Gains (Losses) on Investments with OTTI Net Unrealized Gains (Losses) on FG VIEs ’ Liabilities with Recourse due to ISCR Cumulative Translation Adjustment Cash Flow Hedge Total AOCI (in millions) Balance, December 31, 2018 $ 59 $ 94 $ (31 ) $ (37 ) $ 8 $ 93 Other comprehensive income (loss) before reclassifications 312 (68 ) (6 ) (1 ) — 237 Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 43 (30 ) — — — 13 Net investment income 2 14 — — — 16 Fair value gains (losses) on FG VIEs — — (13 ) — — (13 ) Total before tax 45 (16 ) (13 ) — — 16 Tax (provision) benefit (8 ) — 3 — — (5 ) Total amount reclassified from AOCI, net of tax 37 (16 ) (10 ) — — 11 Net current period other comprehensive income (loss) 275 (52 ) 4 (1 ) — 226 Balance, September 30, 2019 $ 334 $ 42 $ (27 ) $ (38 ) $ 8 $ 319 Changes in Accumulated Other Comprehensive Income by Component Nine Months 2018 Net Unrealized Gains (Losses) on Investments with no OTTI Net Unrealized Gains (Losses) on Investments with OTTI Net Unrealized Gains (Losses) on FG VIEs’ Liabilities with Recourse due to ISCR Cumulative Translation Adjustment Cash Flow Hedge Total AOCI (in millions) Balance, December 31, 2017 $ 273 $ 120 $ — $ (29 ) $ 8 $ 372 Effect of adoption of ASU 2016-01 (1) 1 — (33 ) — — (32 ) Other comprehensive income (loss) before reclassifications (245 ) (21 ) (6 ) (6 ) — (278 ) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 6 (19 ) — — — (13 ) Fair value gains (losses) on FG VIEs — — (6 ) — — (6 ) Total before tax 6 (19 ) (6 ) — — (19 ) Tax (provision) benefit (1 ) 3 1 — — 3 Total amount reclassified from AOCI, net of tax 5 (16 ) (5 ) — — (16 ) Net current period other comprehensive income (loss) (250 ) (5 ) (1 ) (6 ) — (262 ) Balance, September 30, 2018 $ 24 $ 115 $ (34 ) $ (35 ) $ 8 $ 78 ____________________ (1) On January 1, 2018, the Company adopted ASU 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities, resulting in a cumulative-effect reclassification of a $32 million loss, net of tax, from retained earnings to AOCI. Share Repurchases On February 27, 2019, the Board of Directors authorized the repurchase of $300 million of common shares and on August 7, 2019 authorized the repurchase of another $300 million of common shares. As of November 7, 2019 , the Company was authorized to purchase $299 million of its common shares. The Company expects to repurchase shares from time to time in the open market or in privately negotiated transactions. The timing, form and amount of the share repurchases under the program are at the discretion of management and will depend on a variety of factors, including funds available at the parent company, other potential uses for such funds, market conditions, the Company's capital position, legal requirements and other factors. The repurchase program may be modified, extended or terminated by the Board of Directors at any time. It does not have an expiration date. Share Repurchases Period Number of Shares Repurchased Total Payments (in millions) Average Price Paid Per Share 2018 (January 1 - March 31) 2,787,936 $ 98 $ 35.20 2018 (April 1 - June 30) 4,163,190 152 36.48 2018 (July 1 - September 30) 3,299,049 130 39.41 2018 (October 1 - December 31) 2,992,932 120 40.09 Total 2018 13,243,107 $ 500 $ 37.76 2019 (January 1 - March 31) 1,908,605 79 41.62 2019 (April 1 - June 30) 2,519,130 111 43.89 2019 (July 1 - September 30) 3,400,677 150 44.11 2019 (October 1 - November 7) 1,276,692 59 45.98 Total 2019 9,105,104 $ 399 $ 43.79 |
Subsidiary Information
Subsidiary Information | 9 Months Ended |
Sep. 30, 2019 | |
Condensed Financial Information 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 that are fully and unconditionally guaranteed by AGL. The information for AGL, AGUS and AGMH presents their subsidiaries on the equity method of accounting. CONDENSED CONSOLIDATING BALANCE SHEET AS OF SEPTEMBER 30, 2019 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) (1) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Assets Total investment portfolio and cash $ 41 $ 416 $ 24 $ 10,655 $ (431 ) $ 10,705 Investment in subsidiaries 6,531 5,898 4,135 204 (16,768 ) — Premiums receivable, net of commissions payable — — — 997 (153 ) 844 Deferred acquisition costs — — — 142 (35 ) 107 Intercompany loan receivable — — — 50 (50 ) — FG VIEs’ assets, at fair value — — — 469 — 469 Dividends receivable from affiliate 70 10 — — (80 ) — Other 25 84 32 2,723 (1,622 ) 1,242 Total assets $ 6,667 $ 6,408 $ 4,191 $ 15,240 $ (19,139 ) $ 13,367 Liabilities and shareholders' equity Unearned premium reserves $ — $ — $ — $ 4,228 $ (894 ) $ 3,334 Loss and LAE reserve — — — 1,251 (244 ) 1,007 Long-term debt — 844 474 4 (88 ) 1,234 Intercompany loan payable — 50 — 300 (350 ) — Credit derivative liabilities — — — 249 (35 ) 214 FG VIEs’ liabilities, at fair value — — — 493 — 493 Dividends payable to affiliate — 70 10 — (80 ) — Other 15 75 71 894 (622 ) 433 Total liabilities 15 1,039 555 7,419 (2,313 ) 6,715 Total shareholders' equity attributable to Assured Guaranty Ltd. 6,652 5,369 3,636 7,617 (16,622 ) 6,652 Noncontrolling interest — — — 204 (204 ) — Total shareholders' equity 6,652 5,369 3,636 7,821 (16,826 ) 6,652 Total liabilities and shareholders' equity $ 6,667 $ 6,408 $ 4,191 $ 15,240 $ (19,139 ) $ 13,367 ____________________ (1) The fair value of the AGMH debt purchased by AGUS, and recorded in the AGUS investment portfolio, was $131 million . CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 2018 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) (1) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Assets Total investment portfolio and cash $ 45 $ 334 $ 23 $ 11,000 $ (425 ) $ 10,977 Investment in subsidiaries 6,440 5,835 3,991 226 (16,492 ) — Premiums receivable, net of commissions payable — — — 1,071 (167 ) 904 Deferred acquisition costs — — — 143 (38 ) 105 Deferred tax asset, net — — — 162 (94 ) 68 Intercompany loan receivable — — — 50 (50 ) — FG VIEs’ assets, at fair value — — — 569 — 569 Dividends receivable from affiliate 60 — — — (60 ) — Other 29 66 24 2,437 (1,576 ) 980 Total assets $ 6,574 $ 6,235 $ 4,038 $ 15,658 $ (18,902 ) $ 13,603 Liabilities and shareholders' equity Unearned premium reserves $ — $ — $ — $ 4,452 $ (940 ) $ 3,512 Loss and LAE reserve — — — 1,467 (290 ) 1,177 Long-term debt — 844 468 5 (84 ) 1,233 Intercompany loan payable — 50 — 300 (350 ) — Credit derivative liabilities — — — 236 (27 ) 209 Deferred tax liabilities, net — 49 50 — (99 ) — FG VIEs’ liabilities, at fair value — — — 619 — 619 Dividends payable to affiliate — 60 — — (60 ) — Other 19 3 17 763 (504 ) 298 Total liabilities 19 1,006 535 7,842 (2,354 ) 7,048 Total shareholders' equity attributable to Assured Guaranty Ltd. 6,555 5,229 3,503 7,590 (16,322 ) 6,555 Noncontrolling interest — — — 226 (226 ) — Total shareholders' equity 6,555 5,229 3,503 7,816 (16,548 ) 6,555 Total liabilities and shareholders' equity $ 6,574 $ 6,235 $ 4,038 $ 15,658 $ (18,902 ) $ 13,603 ____________________ (1) The fair value of the AGMH debt purchased by AGUS, and recorded in the AGUS investment portfolio, was $125 million . CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2019 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Revenues Net earned premiums $ — $ — $ — $ 126 $ (3 ) $ 123 Net investment income — 2 — 91 (5 ) 88 Net realized investment gains (losses) — — — 16 — 16 Net change in fair value of credit derivatives — — — 5 — 5 Other 3 — — 20 (49 ) (26 ) Total revenues 3 2 — 258 (57 ) 206 Expenses Loss and LAE — — — 32 (2 ) 30 Amortization of deferred acquisition costs — — — 4 (1 ) 3 Interest expense — 12 13 3 (6 ) 22 Other operating expenses 10 1 — 103 (49 ) 65 Total expenses 10 13 13 142 (58 ) 120 Equity in net earnings of investees — — — — — — Income (loss) before income taxes and equity in net earnings of subsidiaries (7 ) (11 ) (13 ) 116 1 86 Total (provision) benefit for income taxes — 3 2 (21 ) (1 ) (17 ) Equity in net earnings of subsidiaries 76 71 52 5 (204 ) — Net income (loss) $ 69 $ 63 $ 41 $ 100 $ (204 ) $ 69 Less: noncontrolling interest — — — 5 (5 ) — Net income (loss) attributable to Assured Guaranty Ltd. $ 69 $ 63 $ 41 $ 95 $ (199 ) $ 69 Comprehensive income (loss) $ 93 $ 73 $ 38 $ 124 $ (235 ) $ 93 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2018 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Revenues Net earned premiums $ — $ — $ — $ 146 $ (4 ) $ 142 Net investment income — 2 — 101 (4 ) 99 Net realized investment gains (losses) — — — (7 ) — (7 ) Net change in fair value of credit derivatives — — — 21 — 21 Other 3 — — 72 (55 ) 20 Total revenues 3 2 — 333 (63 ) 275 Expenses Loss and LAE — — — 18 (1 ) 17 Amortization of deferred acquisition costs — — — 5 (2 ) 3 Interest expense — 13 13 2 (5 ) 23 Other operating expenses 10 6 (1 ) 93 (52 ) 56 Total expenses 10 19 12 118 (60 ) 99 Equity in net earnings of investees — — — (1 ) — (1 ) Income (loss) before income taxes and equity in net earnings of subsidiaries (7 ) (17 ) (12 ) 214 (3 ) 175 Total (provision) benefit for income taxes — 45 3 (58 ) (4 ) (14 ) Equity in net earnings of subsidiaries 168 111 108 7 (394 ) — Net income (loss) $ 161 $ 139 $ 99 $ 163 $ (401 ) $ 161 Less: noncontrolling interest — — — 7 (7 ) — Net income (loss) attributable to Assured Guaranty Ltd. $ 161 $ 139 $ 99 $ 156 $ (394 ) $ 161 Comprehensive income (loss) $ 87 $ 76 $ 61 $ 92 $ (229 ) $ 87 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2019 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Revenues Net earned premiums $ — $ — $ — $ 361 $ (8 ) $ 353 Net investment income — 8 — 302 (14 ) 296 Net realized investment gains (losses) — — — 12 — 12 Net change in fair value of credit derivatives — — — (25 ) — (25 ) Other 7 — — 179 (155 ) 31 Total revenues 7 8 — 829 (177 ) 667 Expenses Loss and LAE — — — 84 (9 ) 75 Amortization of deferred acquisition costs — — — 16 (3 ) 13 Interest expense — 37 40 8 (18 ) 67 Other operating expenses 30 3 — 308 (152 ) 189 Total expenses 30 40 40 416 (182 ) 344 Equity in net earnings of investees — — — 3 — 3 Income (loss) before income taxes and equity in net earnings of subsidiaries (23 ) (32 ) (40 ) 416 5 326 Total (provision) benefit for income taxes — 7 8 (74 ) (2 ) (61 ) Equity in net earnings of subsidiaries 288 275 215 14 (792 ) — Net income (loss) $ 265 $ 250 $ 183 $ 356 $ (789 ) $ 265 Less: noncontrolling interest — — — 14 (14 ) — Net income (loss) attributable to Assured Guaranty Ltd. $ 265 $ 250 $ 183 $ 342 $ (775 ) $ 265 Comprehensive income (loss) $ 491 $ 388 $ 299 $ 584 $ (1,271 ) $ 491 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Revenues Net earned premiums $ — $ — $ — $ 434 $ (11 ) $ 423 Net investment income — 6 — 301 (10 ) 297 Net realized investment gains (losses) — — — (14 ) — (14 ) Net change in fair value of credit derivatives — — — 103 — 103 Other 9 — — 137 (167 ) (21 ) Total revenues 9 6 — 961 (188 ) 788 Expenses Loss and LAE — — — 48 (5 ) 43 Amortization of deferred acquisition costs — — — 16 (4 ) 12 Interest expense — 37 40 7 (13 ) 71 Other operating expenses 30 9 — 293 (149 ) 183 Total expenses 30 46 40 364 (171 ) 309 Equity in net earnings of investees — — — — — — Income (loss) before income taxes and equity in net earnings of subsidiaries (21 ) (40 ) (40 ) 597 (17 ) 479 Total (provision) benefit for income taxes — 50 9 (103 ) (2 ) (46 ) Equity in net earnings of subsidiaries 454 336 219 20 (1,029 ) — Net income (loss) $ 433 $ 346 $ 188 $ 514 $ (1,048 ) $ 433 Less: noncontrolling interest — — — 20 (20 ) — Net income (loss) attributable to Assured Guaranty Ltd. $ 433 $ 346 $ 188 $ 494 $ (1,028 ) $ 433 Comprehensive income (loss) $ 171 $ 150 $ 54 $ 255 $ (459 ) $ 171 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2019 (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 $ 408 $ 217 $ 157 $ (280 ) $ (867 ) $ (365 ) Cash flows from investing activities Fixed-maturity securities: Purchases — (3 ) — (688 ) 3 (688 ) Sales — — — 1,306 — 1,306 Maturities and paydowns — 4 7 653 — 664 Short-term investments with maturities of over three months: Purchases — — — (216 ) — (216 ) Sales — — — 2 — 2 Maturities and paydowns — 12 — 194 — 206 Net sales (purchases) of short-term investments with maturities of less than three months 4 (90 ) (3 ) (315 ) — (404 ) Net proceeds from paydowns on FG VIEs’ assets — — — 119 — 119 Net proceeds from sales of FG VIEs’ assets — — — 51 — 51 Proceeds from stock redemption and return of capital from subsidiaries — 100 — 10 (110 ) — Other — — — 30 — 30 Net cash flows provided by (used in) investing activities 4 23 4 1,146 (107 ) 1,070 Cash flows from financing activities Return of capital — — — (10 ) 10 — Dividends paid (56 ) (237 ) (156 ) (474 ) 867 (56 ) Repurchases of common stock (340 ) — — (100 ) 100 (340 ) Net paydowns of FG VIEs’ liabilities — — — (162 ) — (162 ) Paydown of long-term debt — — — (1 ) (3 ) (4 ) Other (16 ) — — — — (16 ) Net cash flows provided by (used in) financing activities (412 ) (237 ) (156 ) (747 ) 974 (578 ) Effect of exchange rate changes — — — (2 ) — (2 ) Increase (decrease) in cash and restricted cash — 3 5 117 — 125 Cash and restricted cash at beginning of period — 1 — 103 — 104 Cash and restricted cash at end of period $ — $ 4 $ 5 $ 220 $ — $ 229 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018 (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 $ 454 $ 101 $ 126 $ 448 $ (777 ) $ 352 Cash flows from investing activities Fixed-maturity securities: Purchases — (76 ) (12 ) (1,462 ) 72 (1,478 ) Sales — 31 8 869 — 908 Maturities and paydowns — 28 — 718 — 746 Short-term investments with maturities of over three months: Purchases — — — (148 ) — (148 ) Sales — — — 1 — 1 Maturities and paydowns — — — 136 — 136 Net sales (purchases) of short-term investments with maturities of less than three months (11 ) 60 (74 ) (55 ) — (80 ) Net proceeds from paydowns on FG VIEs’ assets — — — 90 — 90 Proceeds from stock redemption and return of capital from subsidiaries — 200 — — (200 ) — Other — (15 ) — 34 — 19 Net cash flows provided by (used in) investing activities (11 ) 228 (78 ) 183 (128 ) 194 Cash flows from financing activities Dividends paid (55 ) (362 ) (50 ) (365 ) 777 (55 ) Repurchases of common stock (380 ) — — (200 ) 200 (380 ) Net paydowns of FG VIEs’ liabilities — — — (90 ) — (90 ) Paydown of long-term debt — — — (1 ) (72 ) (73 ) Other (8 ) — — — — (8 ) Net cash flows provided by (used in) financing activities (443 ) (362 ) (50 ) (656 ) 905 (606 ) Effect of exchange rate changes — — — (2 ) — (2 ) Increase (decrease) in cash and restricted cash — (33 ) (2 ) (27 ) — (62 ) Cash and restricted cash at beginning of period — 33 2 109 — 144 Cash and restricted cash at end of period $ — $ — $ — $ 82 $ — $ 82 |
Business and Basis of Present_2
Business and Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Basis of Presentation The unaudited interim condensed consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). In management's opinion, all material adjustments necessary for a fair statement of the financial condition, results of operations and cash flows of the Company and its consolidated variable interest entities (VIEs) are reflected in the periods presented and are of a normal, recurring nature. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. These unaudited interim condensed consolidated financial statements are as of September 30, 2019 and cover the three-month period ended September 30, 2019 ( Third Quarter 2019 ), the three-month period ended September 30, 2018 ( Third Quarter 2018 ), the nine-month period ended September 30, 2019 ( Nine Months 2019 ) and the nine-month period ended September 30, 2018 ( Nine Months 2018 ). Certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but is not required for interim reporting purposes, has been condensed or omitted. The year-end condensed consolidated balance sheet data was derived from audited financial statements, but does not include all disclosures required by GAAP. The presentation of cash flow amounts related to short-term investments was changed during the fourth quarter of 2018 to reflect cash flows on a gross, rather than a net, basis. The presentation of equity in net earnings of investees was changed in 2019 to reclassify amounts previously reported in net investment income and other income to a separate line item on the condensed consolidated statements of operations. Certain prior year balances have been reclassified to conform to the current year's presentation. |
Consolidation | The unaudited interim condensed consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries and its consolidated VIEs. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. |
New Accounting Pronouncements Adopted and Future Application | Adopted Accounting Standards Leases In February 2016, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2016-02, Leases (Topic 842) . The Company adopted Topic 842 on January 1, 2019 using the optional transition method that allows the Company to initially apply the new requirements at the effective date, with no revision to prior periods. See Note 12, Commitments and Contingencies, for additional information. Premium Amortization on Purchased Callable Debt Securities In March 2017, the FASB issued ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Topic 310-20) - Premium Amortization on Purchased Callable Debt Securities . This ASU shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date. This ASU was adopted on January 1, 2019, with no effect on the Company's condensed consolidated financial statements. Future Application of Accounting Standards 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 ASU provides a new current expected credit loss model to account for credit losses on certain financial assets (e.g., reinsurance recoverables, premium receivables, and held-to-maturity debt securities) and off-balance sheet exposures (e.g., loan commitments). That model requires an entity to estimate lifetime credit losses related to certain financial assets, based on relevant historical information, adjusted for current conditions and reasonable and supportable forecasts that could affect the collectability of the reported amount. The ASU also makes targeted amendments to the current impairment model for available-for-sale debt securities, which includes requiring the recognition of an allowance rather than a direct write-down of the investment. The allowance may be reversed in the event that the credit of an issuer improves. In addition, the ASU eliminates the existing guidance for purchased credit impaired assets and introduces a new model for purchased financial assets with credit deterioration, such as the Company's loss mitigation securities, which requires the recognition of an initial allowance for credit losses. Under the new guidance, the amortized cost would be the purchase price plus the allowance at the acquisition date. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. For reinsurance recoverables, premiums receivable and debt instruments such as loans and held to maturity securities, 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 purchased financial assets with credit deterioration are to be applied prospectively. Early adoption of the amendments is permitted; however, the Company does not plan to adopt this ASU until January 1, 2020. The Company does not expect ASU 2016-13 to have a material effect on shareholders' equity at the date of adoption. Targeted Improvements to the Accounting for Long-Duration Contracts In August 2018, the FASB issued ASU 2018-12, Financial Services - Insurance (Topic 944): Targeted Improvements to the Accounting for Long-Duration Contracts . The amendments in this ASU: • improve the timeliness of recognizing changes in the liability for future policy benefits and modify the rate used to discount future cash flows, • simplify and improve the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, • simplify the amortization of deferred acquisition costs, and • improve the effectiveness of the required disclosures. This ASU does not affect the Company’s financial guaranty insurance contracts, but may affect its accounting for certain non-financial guaranty contracts. In October 2019, the FASB affirmed its decision to defer the effective date of the ASU to January 1, 2022. The Company does not plan to adopt this ASU early, and does not expect this ASU to have a material effect on its condensed consolidated financial statements. |
Fair Value of Financial Instruments | The Company carries a portion of its assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit price). The price represents the price available in the principal market for the asset or liability. If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market). Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on either internally developed models that primarily use, as inputs, market-based or independently sourced market parameters, including but not limited to yield curves, interest rates and debt prices or with the assistance of an independent third party using a discounted cash flow approach and the third party’s proprietary pricing models. In addition to market information, models also incorporate transaction details, such as maturity of the instrument and contractual features designed to reduce the Company’s credit exposure, such as collateral rights as applicable. Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity. As markets and products develop and the pricing for certain products becomes more or less transparent, the Company may refine its methodologies and assumptions. During Nine Months 2019 , no changes were made to the Company’s valuation models that had, or are expected to have, a material impact on the Company’s condensed consolidated balance sheets or statements of operations and comprehensive income. The Company’s methods for calculating fair value produce a fair value that may not be indicative of net realizable value or reflective of future fair values. The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The categorization within the fair value hierarchy is determined based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company estimates of market assumptions. The fair value hierarchy prioritizes model inputs into three broad levels as follows, with Level 1 being the highest and Level 3 the lowest. An asset's or liability’s categorization is based on the lowest level of significant input to its valuation. Level 1—Quoted prices for identical instruments in active markets. The Company generally defines an active market as a market in which trading occurs at significant volumes. Active markets generally are more liquid and have a lower bid-ask spread than an inactive market. Level 2—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and observable inputs other than quoted prices, such as interest rates or yield curves and other inputs derived from or corroborated by observable market inputs. Level 3—Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Financial instruments are considered Level 3 when their values are determined using pricing models, discounted cash flow methodologies or similar techniques and at least one significant model assumption or input is unobservable. Level 3 financial instruments also include those for which the determination of fair value requires significant management judgment or estimation. |
Ratings (Tables)
Ratings (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Rating Actions [Abstract] | |
Schedule of Credit Agency Ratings | The financial strength ratings (or similar ratings) for AGL’s insurance subsidiaries, along with the date of the most recent rating action (or confirmation) by the rating agency, are shown in the table below. Ratings are subject to continuous rating agency review and revision or withdrawal at any time. In addition, 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. S&P Global Ratings, a division of Standard & Poor’s Financial Services LLC (S&P) Kroll Bond Rating Agency Moody’s Investors Service, Inc. (Moody’s) A.M. Best Company, Inc. AGM AA (stable) (11/7/19) AA+ (stable) (12/21/18) A2 (stable) (8/13/19) — AGC AA (stable) (11/7/19) AA (stable) (11/30/18) (1) — MAC AA (stable) (11/7/19) AA+ (stable) (7/12/19) — — AG Re AA (stable) (11/7/19) — — — AGRO AA (stable) (11/7/19) — — A+ (stable) (7/12/19) AGE AA (stable) (11/7/19) AA+ (stable) (12/21/18) A2 (stable) (8/13/19) — ____________________ (1) AGC requested that Moody’s withdraw its financial strength ratings of AGC in January 2017, but Moody's denied that request. Moody’s continues to rate AGC A3 (stable). |
Outstanding Exposure (Tables)
Outstanding Exposure (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Schedule of Insured Financial Obligations [Line Items] | |
Debt Service Outstanding | Financial Guaranty Portfolio Debt Service Outstanding Gross Debt Service Outstanding Net Debt Service Outstanding As of September 30, 2019 As of December 31, 2018 As of September 30, 2019 As of December 31, 2018 (in millions) Public finance $ 343,956 $ 361,511 $ 342,801 $ 358,438 Structured finance 12,324 13,569 11,811 13,148 Total financial guaranty $ 356,280 $ 375,080 $ 354,612 $ 371,586 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating As of September 30, 2019 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 $ 384 0.2 % $ 2,429 5.6 % $ 1,345 14.6 % $ 179 23.8 % $ 4,337 1.9 % AA 20,646 11.7 1,707 4.0 3,740 40.5 37 4.9 26,130 11.4 A 97,366 55.2 12,764 29.8 912 9.9 174 23.1 111,216 48.5 BBB 52,359 29.6 25,119 58.6 1,378 14.9 321 42.7 79,177 34.5 BIG 5,760 3.3 863 2.0 1,851 20.1 41 5.5 8,515 3.7 Total net par outstanding $ 176,515 100.0 % $ 42,882 100.0 % $ 9,226 100.0 % $ 752 100.0 % $ 229,375 100.0 % Financial Guaranty Portfolio by Internal Rating As of December 31, 2018 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 $ 413 0.2 % $ 2,399 5.4 % $ 1,533 15.4 % $ 273 22.9 % $ 4,618 1.9 % AA 21,646 11.6 1,711 3.9 3,599 36.2 65 5.4 27,021 11.2 A 105,180 56.4 13,013 29.5 1,016 10.2 206 17.3 119,415 49.4 BBB 52,935 28.4 25,939 58.8 1,164 11.7 550 46.1 80,588 33.3 BIG 6,388 3.4 1,041 2.4 2,632 26.5 99 8.3 10,160 4.2 Total net par outstanding $ 186,562 100.0 % $ 44,103 100.0 % $ 9,944 100.0 % $ 1,193 100.0 % $ 241,802 100.0 % |
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) | Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of September 30, 2019 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 1,604 $ 398 $ 3,758 $ 5,760 $ 176,515 Non-U.S. public finance 819 — 44 863 42,882 Public finance 2,423 398 3,802 6,623 219,397 Structured finance: U.S. residential mortgage-backed securities (RMBS) 118 88 1,460 1,666 3,687 Life insurance transactions — — 40 40 1,223 Other structured finance 71 65 50 186 5,068 Structured finance 189 153 1,550 1,892 9,978 Total $ 2,612 $ 551 $ 5,352 $ 8,515 $ 229,375 Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 31, 2018 BIG Net Par Outstanding Net Par BIG 1 BIG 2 BIG 3 Total BIG Outstanding (in millions) Public finance: U.S. public finance $ 1,767 $ 399 $ 4,222 $ 6,388 $ 186,562 Non-U.S. public finance 796 245 — 1,041 44,103 Public finance 2,563 644 4,222 7,429 230,665 Structured finance: U.S. RMBS 368 214 1,805 2,387 4,270 Life insurance transactions — — 85 85 1,184 Other structured finance 127 79 53 259 5,683 Structured finance 495 293 1,943 2,731 11,137 Total $ 3,058 $ 937 $ 6,165 $ 10,160 $ 241,802 |
Schedule of BIG Net Par Outstanding and Number of Risks | Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of September 30, 2019 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 $ 2,543 $ 69 $ 2,612 119 6 125 Category 2 547 4 551 26 1 27 Category 3 5,293 59 5,352 134 7 141 Total BIG $ 8,383 $ 132 $ 8,515 279 14 293 Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 2018 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 $ 2,981 $ 77 $ 3,058 128 6 134 Category 2 932 5 937 39 1 40 Category 3 6,090 75 6,165 145 8 153 Total BIG $ 10,003 $ 157 $ 10,160 312 15 327 _____________________ (1) Includes VIEs. (2) |
BIG Net Par Outstanding and Number of Risks | The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 2019 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) 119 (6 ) 26 — 134 (7 ) 279 — 279 Remaining weighted-average contract period (in years) 8.2 5.4 17.1 — 9.9 8.5 9.9 — 9.9 Outstanding exposure: Principal $ 2,596 $ (53 ) $ 547 $ — $ 5,463 $ (170 ) $ 8,383 $ — $ 8,383 Interest 1,192 (16 ) 478 — 2,638 (72 ) 4,220 — 4,220 Total (2) $ 3,788 $ (69 ) $ 1,025 $ — $ 8,101 $ (242 ) $ 12,603 $ — $ 12,603 Expected cash outflows (inflows) $ 110 $ (3 ) $ 124 $ — $ 3,550 $ (118 ) $ 3,663 $ (267 ) $ 3,396 Potential recoveries (3) (567 ) 21 (51 ) — (2,393 ) 95 (2,895 ) 190 (2,705 ) Subtotal (457 ) 18 73 — 1,157 (23 ) 768 (77 ) 691 Discount 69 (4 ) (13 ) — (92 ) (6 ) (46 ) 16 (30 ) Present value of expected cash flows $ (388 ) $ 14 $ 60 $ — $ 1,065 $ (29 ) $ 722 $ (61 ) $ 661 Deferred premium revenue $ 147 $ (1 ) $ 25 $ — $ 505 $ (5 ) $ 671 $ (49 ) $ 622 Reserves (salvage) $ (418 ) $ 15 $ 41 $ — $ 694 $ (25 ) $ 307 $ (36 ) $ 271 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2018 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) 128 (8 ) 39 (1 ) 145 (7 ) 312 — 312 Remaining weighted-average contract period (in years) 7.9 6.5 13.2 2.1 10.1 9.1 9.8 — 9.8 Outstanding exposure: Principal $ 3,052 $ (71 ) $ 938 $ (6 ) $ 6,249 $ (159 ) $ 10,003 $ — $ 10,003 Interest 1,319 (29 ) 592 (1 ) 3,140 (72 ) 4,949 — 4,949 Total (2) $ 4,371 $ (100 ) $ 1,530 $ (7 ) $ 9,389 $ (231 ) $ 14,952 $ — $ 14,952 Expected cash outflows (inflows) $ 98 $ (5 ) $ 264 $ (1 ) $ 4,029 $ (80 ) $ 4,305 $ (290 ) $ 4,015 Potential recoveries (3) (465 ) 23 (81 ) — (2,542 ) 55 (3,010 ) 192 (2,818 ) Subtotal (367 ) 18 183 (1 ) 1,487 (25 ) 1,295 (98 ) 1,197 Discount 83 (5 ) (53 ) — (134 ) (2 ) (111 ) 23 (88 ) Present value of expected cash flows $ (284 ) $ 13 $ 130 $ (1 ) $ 1,353 $ (27 ) $ 1,184 $ (75 ) $ 1,109 Deferred premium revenue $ 125 $ (4 ) $ 151 $ — $ 518 $ (2 ) $ 788 $ (64 ) $ 724 Reserves (salvage) $ (311 ) $ 15 $ 48 $ (1 ) $ 993 $ (24 ) $ 720 $ (47 ) $ 673 ____________________ (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 amounts related to FG VIEs. (3) Represents expected inflows for future payments by obligors pursuant to restructuring agreements, settlement or litigation judgments, excess spread on any underlying collateral and other estimated recoveries. Potential recoveries also include recoveries on certain investment grade credits, related mainly to exposures that were previously BIG and for which claims have been paid in the past. |
Schedule of Non-Financial Guaranty Exposure | The Company also provides non-financial guaranty insurance and reinsurance on transactions with similar risk profiles to its structured finance exposures written in financial guaranty form. All non-financial guaranty exposures shown in the table below are rated investment grade internally. Non-Financial Guaranty Exposure Gross Exposure Net Exposure As of September 30, 2019 As of December 31, 2018 As of September 30, 2019 As of December 31, 2018 (in millions) Life insurance transactions (1) $ 1,014 $ 880 $ 872 $ 763 Aircraft residual value insurance policies 376 340 243 218 ____________________ (1) The life insurance transactions net exposure is expected to increase to approximately $1.0 billion prior to September 30, 2036 . |
Puerto Rico [Member] | |
Schedule of Insured Financial Obligations [Line Items] | |
Gross Par and Gross Debt Service Outstanding | Puerto Rico Gross Par and Gross Debt Service Outstanding Gross Par Outstanding Gross Debt Service Outstanding As of September 30, 2019 As of December 31, 2018 As of September 30, 2019 As of December 31, 2018 (in millions) Exposure to Puerto Rico $ 4,458 $ 4,971 $ 6,958 $ 8,035 |
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) $ 1,253 $ 1,340 PBA (1) 140 142 Public Corporations - Certain Revenues Potentially Subject to Clawback PRHTA (Transportation revenue) (1) 811 844 PRHTA (Highways revenue) (1) 454 475 PRCCDA 152 152 PRIFA 16 16 Other Public Corporations PREPA (1) 822 848 PRASA 373 373 MFA 248 303 COFINA — 273 U of PR 1 1 Total net exposure to Puerto Rico $ 4,270 $ 4,767 ____________________ (1) As of the date of this filing, the Oversight Board has certified a filing under Title III of PROMESA for these exposures. |
BIG Net Par Outstanding and Number of Risks | Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of September 30, 2019 Scheduled Net Par Amortization Scheduled Net Debt Service Amortization (in millions) 2019 (October 1 - December 31) $ — $ 3 2020 (January 1 - March 31) — 106 2020 (April 1 - June 30) — 3 2020 (July 1 - September 30) 286 392 2020 (October 1 - December 31) — 3 Subtotal 2020 286 504 2021 149 351 2022 139 332 2023 205 392 2024-2028 1,213 1,977 2029-2033 884 1,392 2034-2038 957 1,184 2039-2043 176 259 2044-2047 261 300 Total $ 4,270 $ 6,694 |
Expected Loss to be Paid (Table
Expected Loss to be Paid (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Expected Losses [Abstract] | |
Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward | The following tables present a roll forward of net expected loss to be paid for all contracts. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 0.00% to 2.20% with a weighted average of 1.79% as of September 30, 2019 and 0.00% to 3.06% with a weighted average of 2.74% as of December 31, 2018 . Expected losses to be paid for transactions denominated in currencies other than the U.S. dollar represented approximately 4.0% and 2.7% of the total as of September 30, 2019 and December 31, 2018 , respectively. Net Expected Loss to be Paid Roll Forward Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Net expected loss to be paid, beginning of period $ 960 $ 1,432 $ 1,183 $ 1,303 Net expected loss to be paid on the Syncora Guarantee Inc. (SGI) portfolio as of June 1, 2018 (see Note 11) — — — 131 Economic loss development (benefit) due to: Accretion of discount 5 10 19 27 Changes in discount rates 1 (9 ) (4 ) (15 ) Changes in timing and assumptions 19 (1 ) (29 ) (17 ) Total economic loss development (benefit) 25 — (14 ) (5 ) Net (paid) recovered losses (267 ) (241 ) (451 ) (238 ) Net expected loss to be paid, end of period $ 718 $ 1,191 $ 718 $ 1,191 Net Expected Loss to be Paid Roll Forward by Sector Third Quarter 2019 Net Expected Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 749 $ 50 $ (279 ) $ 520 Non-U.S. public finance 23 5 — 28 Public finance 772 55 (279 ) 548 Structured finance: U.S. RMBS 162 (40 ) 13 135 Other structured finance 26 10 (1 ) 35 Structured finance 188 (30 ) 12 170 Total $ 960 $ 25 $ (267 ) $ 718 Net Expected Loss to be Paid Roll Forward by Sector Third Quarter 2018 Net Expected Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 1,041 $ 42 $ (251 ) $ 832 Non-U.S. public finance 41 (3 ) — 38 Public finance 1,082 39 (251 ) 870 Structured finance: U.S. RMBS 326 (40 ) 17 303 Other structured finance 24 1 (7 ) 18 Structured finance 350 (39 ) 10 321 Total $ 1,432 $ — $ (241 ) $ 1,191 Net Expected Loss to be Paid Roll Forward by Sector Nine Months 2019 Net Expected Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 832 $ 204 $ (516 ) $ 520 Non-U.S. public finance 32 (4 ) — 28 Public finance 864 200 (516 ) 548 Structured finance: U.S. RMBS 293 (223 ) 65 135 Other structured finance 26 9 — 35 Structured finance 319 (214 ) 65 170 Total $ 1,183 $ (14 ) $ (451 ) $ 718 Net Expected Loss to be Paid Roll Forward by Sector Nine Months 2018 Net Expected Net Expected Loss to be Paid on SGI Portfolio as of June 1, 2018 Economic Loss (Paid) Recovered Losses (1) Net Expected (in millions) Public finance: U.S. public finance $ 1,157 — $ 59 $ (384 ) $ 832 Non-U.S. public finance 46 1 (9 ) — 38 Public finance 1,203 1 50 (384 ) 870 Structured finance: U.S. RMBS 73 130 (52 ) 152 303 Other structured finance 27 — (3 ) (6 ) 18 Structured finance 100 130 (55 ) 146 321 Total $ 1,303 $ 131 $ (5 ) $ (238 ) $ 1,191 ____________________ (1) Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded as reinsurance recoverable on paid losses in other assets. The amounts for Nine Months 2019 are net of the COFINA Exchange Senior Bonds and cash that were received pursuant to the COFINA Plan of Adjustment. See Note 3, Outstanding Exposure, for additional information. The tables above include (1) LAE paid of $7 million and $6 million for Third Quarter 2019 and 2018 , respectively, and $23 million and $17 million for Nine Months 2019 and 2018 , respectively, and (2) expected LAE to be paid of $34 million as of September 30, 2019 and $31 million as of December 31, 2018 . |
Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss | Net Economic Loss Development (Benefit) U.S. RMBS Third Quarter Nine Months 2019 2018 2019 2018 (in millions) First lien U.S. RMBS $ (27 ) (13 ) $ (77 ) $ 4 Second lien U.S. RMBS (13 ) (27 ) (146 ) (56 ) Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) By Accounting Model Net Expected Loss to be Paid (Recovered) Net Economic Loss Development (Benefit) As of Third Quarter Nine Months September 30, 2019 December 31, 2018 2019 2018 2019 2018 (in millions) Insurance $ 662 $ 1,110 17 1 $ 5 $ (9 ) Financial guaranty VIEs (FG VIEs) (See Note 9) 61 75 (2 ) (3 ) (26 ) (7 ) Credit derivatives (See Note 8) (5 ) (2 ) 10 2 7 11 Total $ 718 $ 1,183 $ 25 $ — $ (14 ) $ (5 ) |
Net Expected Loss to be Paid By Accounting Model | Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) By Accounting Model Net Expected Loss to be Paid (Recovered) Net Economic Loss Development (Benefit) As of Third Quarter Nine Months September 30, 2019 December 31, 2018 2019 2018 2019 2018 (in millions) Insurance $ 662 $ 1,110 17 1 $ 5 $ (9 ) Financial guaranty VIEs (FG VIEs) (See Note 9) 61 75 (2 ) (3 ) (26 ) (7 ) Credit derivatives (See Note 8) (5 ) (2 ) 10 2 7 11 Total $ 718 $ 1,183 $ 25 $ — $ (14 ) $ (5 ) |
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS | Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Alt-A First Lien Plateau CDR 0.5 % - 10.5% 4.1% 0.0 % - 9.5% 4.0% 1.2 % - 11.4% 4.6% Final CDR 0.0 % - 0.5% 0.2% 0.0 % - 0.5% 0.2% 0.1 % - 0.6% 0.2% Initial loss severity: 2005 and prior 60% 60% 60% 2006 70% 70% 70% 2007+ 70% 70% 70% Option ARM Plateau CDR 2.0 % - 8.4% 5.6% 2.4 % - 7.9% 5.5% 1.8 % - 8.3% 5.6% Final CDR 0.1 % - 0.4% 0.3% 0.1 % - 0.4% 0.3% 0.1 % - 0.4% 0.3% Initial loss severity: 2005 and prior 60% 60% 60% 2006 60% 60% 60% 2007+ 70% 70% 70% Subprime Plateau CDR 1.5 % - 20.2% 5.6% 2.5 % - 22.8% 6.0% 1.8 % - 23.2% 6.2% Final CDR 0.1 % - 1.0% 0.3% 0.1 % - 1.1% 0.3% 0.1 % - 1.2% 0.3% Initial loss severity: 2005 and prior 80% 80% 80% 2006 75% 75% 75% 2007+ 85% 95% 95% First Lien Liquidation Rates As of September 30, 2019 As of June 30, 2019 As of December 31, 2018 Delinquent/Modified in the Previous 12 Months Alt-A and Prime 20% 20% 20% Option ARM 20 20 20 Subprime 20 20 20 30 – 59 Days Delinquent Alt-A and Prime 30 30 30 Option ARM 35 35 35 Subprime 35 40 40 60 – 89 Days Delinquent Alt-A and Prime 40 40 40 Option ARM 45 45 45 Subprime 45 45 45 90+ Days Delinquent Alt-A and Prime 55 50 50 Option ARM 55 55 55 Subprime 50 55 50 Bankruptcy Alt-A and Prime 45 45 45 Option ARM 50 50 50 Subprime 40 40 40 Foreclosure Alt-A and Prime 65 60 60 Option ARM 65 65 65 Subprime 60 60 60 Real Estate Owned All 100 100 100 |
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | Key Assumptions in Base Case Expected Loss Estimates HELOCs As of As of As of Range Weighted Average Range Weighted Average Range Weighted Average Plateau CDR 4.8 % - 20.7% 9.1% 4.6 % - 23.5% 9.2% 4.6 % - 26.8% 10.1% Final CDR trended down to 2.5 % - 3.2% 2.5% 2.5 % - 3.2% 2.5% 2.5 % - 3.2% 2.5% Liquidation rates: Delinquent/Modified in the Previous 12 Months 20% 20% 20% 30 – 59 Days Delinquent 35 30 35 60 – 89 Days Delinquent 45 45 50 90+ Days Delinquent 65 65 70 Bankruptcy 55 55 55 Foreclosure 55 60 65 Real Estate Owned 100 100 100 Loss severity (1) 98% 98% 98% ___________________ (1) Loss severities on future defaults. |
Contracts Accounted for as In_2
Contracts Accounted for as Insurance (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Insurance [Abstract] | |
Net Earned Premiums | Net Earned Premiums Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Financial guaranty: Scheduled net earned premiums $ 81 $ 95 $ 253 $ 275 Accelerations from refundings and terminations 37 40 83 131 Accretion of discount on net premiums receivable 4 6 13 14 Financial guaranty insurance net earned premiums 122 141 349 420 Non-financial guaranty net earned premiums 1 1 4 3 Net earned premiums (1) $ 123 $ 142 $ 353 $ 423 ___________________ (1) Excludes $2 million and $3 million for Third Quarter 2019 and 2018 , respectively, and $16 million and $9 million for Nine Months 2019 and 2018 , respectively, related to consolidated FG VIEs. |
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 (in millions) 2019 (October 1 - December 31) $ 29 2020 102 2021 77 2022 78 2023 65 2024-2028 275 2029-2033 182 2034-2038 97 After 2038 104 Total (1) $ 1,009 ____________________ (1) Excludes expected cash collections on consolidated FG VIEs of $9 million . Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward Nine Months 2019 2018 (in millions) Beginning of year $ 904 $ 915 Less: Non-financial guaranty insurance premium receivable 1 1 Financial guaranty insurance premiums receivable 903 914 Gross written premiums on new business, net of commissions (1) 164 508 Gross premiums received, net of commissions (198 ) (477 ) Adjustments: Changes in the expected term (10 ) (2 ) Accretion of discount, net of commissions on assumed business 8 5 Foreign exchange translation and remeasurement (2) (24 ) (23 ) Cancellation of assumed reinsurance — (10 ) Financial guaranty insurance premium receivable (3) 843 915 Non-financial guaranty insurance premium receivable 1 1 September 30, $ 844 $ 916 ____________________ (1) For transactions where one of the Company's financial guaranty contracts is replaced by another of the Company's insurance subsidiary's contracts, gross written premium in this table represents only the incremental amount in excess of the original gross written premiums. Nine Months 2018 included $330 million of gross written premiums assumed from SGI on June 1, 2018, when the Company closed a reinsurance transaction with SGI (SGI Transaction). See Note 11, Reinsurance. (2) Includes foreign exchange loss on remeasurement recorded in the condensed consolidated statements of operations of $24 million in Nine Months 2019 and $21 million in Nine Months 2018 . The remaining foreign exchange translation in Nine Months 2018 was recorded in other comprehensive income (OCI) prior to the combination of the European subsidiaries. (3) Excludes $7 million and $9 million as of September 30, 2019 and September 30, 2018 , respectively, related to consolidated FG VIEs. |
Schedule of Net Earned Premiums | Scheduled Financial Guaranty Insurance Net Earned Premiums As of (in millions) 2019 (October 1 - December 31) $ 79 2020 301 2021 275 2022 252 2023 231 2024-2028 908 2029-2033 620 2034-2038 356 After 2038 319 Net deferred premium revenue (1) 3,341 Future accretion 165 Total future net earned premiums $ 3,506 ____________________ (1) Excludes net earned premiums on consolidated FG VIEs of $48 million . |
Selected Information for Policies Paid in Installments | Selected Information for Financial Guaranty Insurance Policies with Premiums Paid in Installments As of As of (dollars in millions) Premiums receivable, net of commission payable $ 843 $ 903 Gross deferred premium revenue 1,237 1,313 Weighted-average risk-free rate used to discount premiums 2.2 % 2.3 % Weighted-average period of premiums receivable (in years) 9.1 9.1 |
Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts | Net Reserve (Salvage) As of As of (in millions) Public finance: U.S. public finance $ 326 $ 612 Non-U.S. public finance 5 14 Public finance 331 626 Structured finance: U.S. RMBS (1) (97 ) 21 Other structured finance 38 30 Structured finance (59 ) 51 Subtotal 272 677 Other payable (recoverable) — (3 ) Total $ 272 $ 674 ____________________ (1) Excludes net reserves of $36 million and $47 million as of September 30, 2019 and December 31, 2018 , respectively, related to consolidated FG VIEs. |
Components of Net Reserves (Salvage) Insurance Contracts | Components of Net Reserves (Salvage) As of As of (in millions) Loss and LAE reserve $ 1,007 $ 1,177 Reinsurance recoverable on unpaid losses (1) (36 ) (34 ) Loss and LAE reserve, net 971 1,143 Salvage and subrogation recoverable (725 ) (490 ) Salvage and subrogation reinsurance payable (2) 26 24 Other payable (recoverable) (1) — (3 ) Salvage and subrogation recoverable, net, and other recoverable (699 ) (469 ) Net reserves (salvage) $ 272 $ 674 ____________________ (1) Recorded as a component of other assets in the condensed consolidated balance sheets. (2) Recorded as a component of other liabilities in the condensed consolidated balance sheets. |
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 (in millions) Net expected loss to be paid - financial guaranty insurance $ 661 Contra-paid, net 58 Salvage and subrogation recoverable, net, and other recoverable 699 Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance (970 ) Net expected loss to be expensed (present value) (1) $ 448 ____________________ (1) Excludes $34 million as of September 30, 2019 , 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 (in millions) 2019 (October 1 - December 31) $ 9 2020 37 2021 36 2022 35 2023 31 2024-2028 147 2029-2033 99 2034-2038 45 After 2038 9 Net expected loss to be expensed 448 Future accretion 30 Total expected future loss and LAE $ 478 |
Loss and LAE Reported on the Consolidated Statements of Operations | Loss and LAE Reported on the Condensed Consolidated Statements of Operations Loss (Benefit) Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Public finance: U.S. public finance $ 64 $ 42 $ 228 $ 76 Non-U.S. public finance 1 (3 ) (7 ) (5 ) Public finance 65 39 221 71 Structured finance: U.S. RMBS (1) (35 ) (21 ) (150 ) (17 ) Other structured finance — (1 ) 4 (11 ) Structured finance (35 ) (22 ) (146 ) (28 ) Loss and LAE $ 30 $ 17 $ 75 $ 43 ____________________ (1) Excludes a benefit of $3 million and $3 million for Third Quarter 2019 and 2018 , respectively, and a benefit of $18 million and a loss of $0 million for Nine Months 2019 and 2018 respectively, related to consolidated FG VIEs. |
BIG Net Par Outstanding and Number of Risks | The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 2019 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) 119 (6 ) 26 — 134 (7 ) 279 — 279 Remaining weighted-average contract period (in years) 8.2 5.4 17.1 — 9.9 8.5 9.9 — 9.9 Outstanding exposure: Principal $ 2,596 $ (53 ) $ 547 $ — $ 5,463 $ (170 ) $ 8,383 $ — $ 8,383 Interest 1,192 (16 ) 478 — 2,638 (72 ) 4,220 — 4,220 Total (2) $ 3,788 $ (69 ) $ 1,025 $ — $ 8,101 $ (242 ) $ 12,603 $ — $ 12,603 Expected cash outflows (inflows) $ 110 $ (3 ) $ 124 $ — $ 3,550 $ (118 ) $ 3,663 $ (267 ) $ 3,396 Potential recoveries (3) (567 ) 21 (51 ) — (2,393 ) 95 (2,895 ) 190 (2,705 ) Subtotal (457 ) 18 73 — 1,157 (23 ) 768 (77 ) 691 Discount 69 (4 ) (13 ) — (92 ) (6 ) (46 ) 16 (30 ) Present value of expected cash flows $ (388 ) $ 14 $ 60 $ — $ 1,065 $ (29 ) $ 722 $ (61 ) $ 661 Deferred premium revenue $ 147 $ (1 ) $ 25 $ — $ 505 $ (5 ) $ 671 $ (49 ) $ 622 Reserves (salvage) $ (418 ) $ 15 $ 41 $ — $ 694 $ (25 ) $ 307 $ (36 ) $ 271 Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2018 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) 128 (8 ) 39 (1 ) 145 (7 ) 312 — 312 Remaining weighted-average contract period (in years) 7.9 6.5 13.2 2.1 10.1 9.1 9.8 — 9.8 Outstanding exposure: Principal $ 3,052 $ (71 ) $ 938 $ (6 ) $ 6,249 $ (159 ) $ 10,003 $ — $ 10,003 Interest 1,319 (29 ) 592 (1 ) 3,140 (72 ) 4,949 — 4,949 Total (2) $ 4,371 $ (100 ) $ 1,530 $ (7 ) $ 9,389 $ (231 ) $ 14,952 $ — $ 14,952 Expected cash outflows (inflows) $ 98 $ (5 ) $ 264 $ (1 ) $ 4,029 $ (80 ) $ 4,305 $ (290 ) $ 4,015 Potential recoveries (3) (465 ) 23 (81 ) — (2,542 ) 55 (3,010 ) 192 (2,818 ) Subtotal (367 ) 18 183 (1 ) 1,487 (25 ) 1,295 (98 ) 1,197 Discount 83 (5 ) (53 ) — (134 ) (2 ) (111 ) 23 (88 ) Present value of expected cash flows $ (284 ) $ 13 $ 130 $ (1 ) $ 1,353 $ (27 ) $ 1,184 $ (75 ) $ 1,109 Deferred premium revenue $ 125 $ (4 ) $ 151 $ — $ 518 $ (2 ) $ 788 $ (64 ) $ 724 Reserves (salvage) $ (311 ) $ 15 $ 48 $ (1 ) $ 993 $ (24 ) $ 720 $ (47 ) $ 673 ____________________ (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 amounts related to FG VIEs. (3) Represents expected inflows for future payments by obligors pursuant to restructuring agreements, settlement or litigation judgments, excess spread on any underlying collateral and other estimated recoveries. Potential recoveries also include recoveries on certain investment grade credits, related mainly to exposures that were previously BIG and for which claims have been paid in the past. |
Fair Value Measurement (Tables)
Fair Value Measurement (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | Amounts recorded at fair value in the Company’s financial statements are presented in the tables below. Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of September 30, 2019 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 $ 4,463 $ — $ 4,354 $ 109 U.S. government and agencies 155 — 155 — Corporate securities 2,339 — 2,293 46 Mortgage-backed securities: RMBS 877 — 561 316 Commercial mortgage-backed securities (CMBS) 469 — 469 — Asset-backed securities 775 — 111 664 Non-U.S. government securities 199 — 199 — Total fixed-maturity securities 9,277 — 8,142 1,135 Short-term investments 1,142 888 254 — Other invested assets (1) 6 — — 6 FG VIEs’ assets, at fair value 469 — — 469 Other assets 148 30 42 76 Total assets carried at fair value $ 11,042 $ 918 $ 8,438 $ 1,686 Liabilities: Credit derivative liabilities $ 214 $ — $ — $ 214 FG VIEs’ liabilities with recourse, at fair value 388 — — 388 FG VIEs’ liabilities without recourse, at fair value 105 — — 105 Total liabilities carried at fair value $ 707 $ — $ — $ 707 Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 2018 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 $ 4,911 $ — $ 4,812 $ 99 U.S. government and agencies 175 — 175 — Corporate securities 2,136 — 2,080 56 Mortgage-backed securities: RMBS 982 — 673 309 CMBS 539 — 539 — Asset-backed securities 1,068 — 121 947 Non-U.S. government securities 278 — 278 — Total fixed-maturity securities 10,089 — 8,678 1,411 Short-term investments 729 429 300 — Other invested assets (1) 7 — — 7 FG VIEs’ assets, at fair value 569 — — 569 Other assets 139 25 38 76 Total assets carried at fair value $ 11,533 $ 454 $ 9,016 $ 2,063 Liabilities: Credit derivative liabilities $ 209 $ — $ — $ 209 FG VIEs’ liabilities with recourse, at fair value 517 — — 517 FG VIEs’ liabilities without recourse, at fair value 102 — — 102 Total liabilities carried at fair value $ 828 $ — $ — $ 828 ____________________ (1) Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. |
Fair Value Assets Measured on Recurring Basis | The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during Third Quarter 2019 and 2018 and Nine Months 2019 and 2018 . Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2019 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit With Without (in millions) Fair value as of $ 105 $ 48 $ 325 $ 674 $ 526 $ 87 $ (216 ) $ (446 ) $ (105 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 3 (1 ) 1 (1 ) 5 (1 ) 7 (1 ) 6 (2 ) (14 ) (3 ) 5 (5 ) (2 ) (2 ) (2 ) (2 ) Other comprehensive income (loss) (4 ) (3 ) 1 (3 ) — — — 1 — Purchases 6 — — 1 — — — — — Settlements (1 ) — (15 ) (15 ) (69 ) — 3 64 3 FG VIE consolidation — — — — 6 — — (5 ) (1 ) Fair value as of $ 109 $ 46 $ 316 $ 664 $ 469 $ 73 $ (208 ) $ (388 ) $ (105 ) Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2019 $ 6 (2 ) $ (14 ) (3 ) $ 8 (5 ) $ (2 ) (2 ) $ (1 ) (2 ) Change in unrealized gains/(losses) included in OCI related to financial instruments held as of September 30, 2019 $ (4 ) $ (3 ) $ 1 $ (2 ) $ — $ 1 Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2018 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit With Without (in millions) Fair value as of $ 92 $ 63 $ 311 $ 897 $ 627 $ 61 $ (257 ) $ (571 ) $ (108 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 1 (1 ) 2 (1 ) 3 (1 ) 14 (1 ) (1 ) (2 ) (1 ) (3 ) 21 (5 ) 3 (2 ) 1 (2 ) Other comprehensive income (loss) 6 (5 ) — (12 ) — — — (3 ) — Purchases — — — 64 — — — — — Settlements — — (15 ) (10 ) (30 ) — (1 ) 26 3 Fair value as of $ 99 $ 60 $ 299 $ 953 $ 596 $ 60 $ (237 ) $ (545 ) $ (104 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2018 $ 6 $ (5 ) $ 1 $ (11 ) $ 2 (2 ) $ (1 ) (3 ) $ 20 (5 ) $ (1 ) (2 ) $ 1 (2 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2019 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit With Without (in millions) Fair value as of $ 99 $ 56 $ 309 $ 947 $ 569 $ 77 $ (207 ) $ (517 ) $ (102 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 5 (1 ) (9 ) (1 ) 16 (1 ) 51 (1 ) 70 (2 ) (4 ) (3 ) (25 ) (5 ) (33 ) (2 ) (9 ) (2 ) Other comprehensive income (loss) 1 (1 ) 21 (97 ) — — — 6 — Purchases 6 — 11 19 — — — — — Settlements (2 ) — (41 ) (257 ) (170 ) — 24 156 6 FG VIE consolidation — — — — 6 — — (5 ) (1 ) FG VIE deconsolidations — — — — (6 ) — — 5 1 Transfers into Level 3 — — — 1 — — — — — Fair value as of $ 109 $ 46 $ 316 $ 664 $ 469 $ 73 $ (208 ) $ (388 ) $ (105 ) Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2019 $ 78 (2 ) $ (4 ) (3 ) $ (19 ) (5 ) $ (32 ) (2 ) $ (16 ) (2 ) Change in unrealized gains/(losses) included in OCI related to financial instruments held as of September 30, 2019 $ 1 $ (1 ) $ 21 $ 8 $ — $ 6 Fair Value Level 3 Rollforward Recurring Basis Nine Months 2018 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit (in millions) Fair value as of $ 76 $ 67 $ 334 $ 787 $ 700 $ 64 $ (269 ) $ (627 ) $ (130 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 3 (1 ) (2 ) (1 ) 16 (1 ) 43 (1 ) 3 (2 ) (3 ) (3 ) 103 (5 ) (1 ) (2 ) 3 (2 ) Other comprehensive income (loss) 17 (5 ) (10 ) (3 ) — — — (1 ) — Purchases 4 — 9 164 — — — — — Issuances — — — — — — (68 ) (7 ) — — Settlements (1 ) — (50 ) (38 ) (90 ) (1 ) (3 ) 83 7 FG VIE deconsolidations — — — — (17 ) — — 1 16 Fair value as of $ 99 $ 60 $ 299 $ 953 $ 596 $ 60 $ (237 ) $ (545 ) $ (104 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2018 $ 17 $ (5 ) $ (7 ) $ (1 ) $ 13 (2 ) $ (3 ) (3 ) $ 93 (5 ) $ (2 ) (2 ) $ 2 (2 ) ____________________ (1) Included in net realized investment gains (losses) and net investment income. (2) Included in fair value gains (losses) on FG VIEs. (3) Recorded in net investment income and other income. (4) Represents the net position of credit derivatives. Credit derivative assets (recorded in other assets) and credit derivative liabilities (presented as a separate line item) are shown as either assets or liabilities in the condensed consolidated balance sheet based on net exposure by counterparty. (5) Reported in net change in fair value of credit derivatives. (6) Includes CCS and other invested assets. (7) Relates to SGI Transaction. See Note 11, Reinsurance. |
Fair Value, Liabilities Measured on Recurring Basis | The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during Third Quarter 2019 and 2018 and Nine Months 2019 and 2018 . Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2019 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit With Without (in millions) Fair value as of $ 105 $ 48 $ 325 $ 674 $ 526 $ 87 $ (216 ) $ (446 ) $ (105 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 3 (1 ) 1 (1 ) 5 (1 ) 7 (1 ) 6 (2 ) (14 ) (3 ) 5 (5 ) (2 ) (2 ) (2 ) (2 ) Other comprehensive income (loss) (4 ) (3 ) 1 (3 ) — — — 1 — Purchases 6 — — 1 — — — — — Settlements (1 ) — (15 ) (15 ) (69 ) — 3 64 3 FG VIE consolidation — — — — 6 — — (5 ) (1 ) Fair value as of $ 109 $ 46 $ 316 $ 664 $ 469 $ 73 $ (208 ) $ (388 ) $ (105 ) Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2019 $ 6 (2 ) $ (14 ) (3 ) $ 8 (5 ) $ (2 ) (2 ) $ (1 ) (2 ) Change in unrealized gains/(losses) included in OCI related to financial instruments held as of September 30, 2019 $ (4 ) $ (3 ) $ 1 $ (2 ) $ — $ 1 Fair Value Level 3 Rollforward Recurring Basis Third Quarter 2018 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit With Without (in millions) Fair value as of $ 92 $ 63 $ 311 $ 897 $ 627 $ 61 $ (257 ) $ (571 ) $ (108 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 1 (1 ) 2 (1 ) 3 (1 ) 14 (1 ) (1 ) (2 ) (1 ) (3 ) 21 (5 ) 3 (2 ) 1 (2 ) Other comprehensive income (loss) 6 (5 ) — (12 ) — — — (3 ) — Purchases — — — 64 — — — — — Settlements — — (15 ) (10 ) (30 ) — (1 ) 26 3 Fair value as of $ 99 $ 60 $ 299 $ 953 $ 596 $ 60 $ (237 ) $ (545 ) $ (104 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2018 $ 6 $ (5 ) $ 1 $ (11 ) $ 2 (2 ) $ (1 ) (3 ) $ 20 (5 ) $ (1 ) (2 ) $ 1 (2 ) Fair Value Level 3 Rollforward Recurring Basis Nine Months 2019 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit With Without (in millions) Fair value as of $ 99 $ 56 $ 309 $ 947 $ 569 $ 77 $ (207 ) $ (517 ) $ (102 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 5 (1 ) (9 ) (1 ) 16 (1 ) 51 (1 ) 70 (2 ) (4 ) (3 ) (25 ) (5 ) (33 ) (2 ) (9 ) (2 ) Other comprehensive income (loss) 1 (1 ) 21 (97 ) — — — 6 — Purchases 6 — 11 19 — — — — — Settlements (2 ) — (41 ) (257 ) (170 ) — 24 156 6 FG VIE consolidation — — — — 6 — — (5 ) (1 ) FG VIE deconsolidations — — — — (6 ) — — 5 1 Transfers into Level 3 — — — 1 — — — — — Fair value as of $ 109 $ 46 $ 316 $ 664 $ 469 $ 73 $ (208 ) $ (388 ) $ (105 ) Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2019 $ 78 (2 ) $ (4 ) (3 ) $ (19 ) (5 ) $ (32 ) (2 ) $ (16 ) (2 ) Change in unrealized gains/(losses) included in OCI related to financial instruments held as of September 30, 2019 $ 1 $ (1 ) $ 21 $ 8 $ — $ 6 Fair Value Level 3 Rollforward Recurring Basis Nine Months 2018 Fixed-Maturity Securities FG VIEs’ Liabilities, at Fair Value Obligations Corporate Securities RMBS Asset- FG VIEs’ Other (6) Credit (in millions) Fair value as of $ 76 $ 67 $ 334 $ 787 $ 700 $ 64 $ (269 ) $ (627 ) $ (130 ) Total pretax realized and unrealized gains/(losses) recorded in: Net income (loss) 3 (1 ) (2 ) (1 ) 16 (1 ) 43 (1 ) 3 (2 ) (3 ) (3 ) 103 (5 ) (1 ) (2 ) 3 (2 ) Other comprehensive income (loss) 17 (5 ) (10 ) (3 ) — — — (1 ) — Purchases 4 — 9 164 — — — — — Issuances — — — — — — (68 ) (7 ) — — Settlements (1 ) — (50 ) (38 ) (90 ) (1 ) (3 ) 83 7 FG VIE deconsolidations — — — — (17 ) — — 1 16 Fair value as of $ 99 $ 60 $ 299 $ 953 $ 596 $ 60 $ (237 ) $ (545 ) $ (104 ) Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2018 $ 17 $ (5 ) $ (7 ) $ (1 ) $ 13 (2 ) $ (3 ) (3 ) $ 93 (5 ) $ (2 ) (2 ) $ 2 (2 ) ____________________ (1) Included in net realized investment gains (losses) and net investment income. (2) Included in fair value gains (losses) on FG VIEs. (3) Recorded in net investment income and other income. (4) Represents the net position of credit derivatives. Credit derivative assets (recorded in other assets) and credit derivative liabilities (presented as a separate line item) are shown as either assets or liabilities in the condensed consolidated balance sheet based on net exposure by counterparty. (5) Reported in net change in fair value of credit derivatives. (6) Includes CCS and other invested assets. (7) Relates to SGI Transaction. See Note 11, Reinsurance. |
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs At September 30, 2019 Financial Instrument Description (1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (liabilities) (2): Fixed-maturity securities: Obligations of state and political subdivisions $ 109 Yield 4.5 % - 32.3% 8.4% Corporate securities 46 Yield 35.8% RMBS 316 CPR 1.4 % - 16.9% 6.0% CDR 1.5 % - 6.9% 4.9% Loss severity 40.0 % - 125.0% 85.7% Yield 3.5 % - 6.1% 4.2% Asset-backed securities: Life insurance transactions 339 Yield 5.5% CLOs /Trust preferred securities (TruPS) 274 Yield 2.5 % - 5.1% 3.6% Others 51 Yield 9.9% FG VIEs’ assets, at fair value 469 CPR 0.7 % - 18.4% 8.8% CDR 1.2 % - 25.7% 4.7% Loss severity 60.0 % - 100.0% 77.6% Yield 3.3 % - 8.3% 5.0% Other assets 70 Implied Yield 5.8 % - 6.5% 6.2% Term (years) 10 years Credit derivative liabilities, net (208 ) Year 1 loss estimates 0.0 % - 50.0% 1.2% Hedge cost (in basis points (bps)) 8.0 - 42.0 17.0 Bank profit (in bps) 38.0 - 191.0 81.0 Internal floor (in bps) 30.0 Internal credit rating AAA - CCC A+ FG VIEs’ liabilities, at fair value (493 ) CPR 0.7 % - 18.4% 8.8% CDR 1.2 % - 25.7% 4.7% Loss severity 60.0 % - 100.0% 77.6% Yield 3.3 % - 8.3% 4.2% ___________________ (1) Discounted cash flow is used as the primary valuation technique for all financial instruments listed in this table. (2) Excludes several investments recorded in other invested assets with fair value of $6 million . Quantitative Information About Level 3 Fair Value Inputs At December 31, 2018 Financial Instrument Description (1) Fair Value at Significant Unobservable Inputs Range Weighted Average as a Percentage of Current Par Outstanding Assets (liabilities) (2): Fixed-maturity securities: Obligations of state and political subdivisions $ 99 Yield 4.5 % - 32.7% 12.0% Corporate securities 56 Yield 29.5% RMBS 309 CPR 3.4 % - 19.4% 6.2% CDR 1.5 % - 6.9% 5.2% Loss severity 40.0 % - 125.0% 82.7% Yield 5.3 % - 8.1% 6.3% Asset-backed securities: Life insurance transactions 620 Yield 6.5 % - 7.1% 6.8% CLOs/TruPS 274 Yield 3.8 % - 4.7% 4.3% Others 53 Yield 11.5% FG VIEs’ assets, at fair value 569 CPR 0.9 % - 18.1% 9.3% CDR 1.3 % - 23.7% 5.1% Loss severity 60.0 % - 100.0% 79.8% Yield 5.0 % - 10.2% 7.1% Other assets 74 Implied Yield 6.6 % - 7.2% 6.9% Term (years) 10 years Credit derivative liabilities, net (207 ) Year 1 loss estimates 0.0 % - 66.0% 2.2% Hedge cost (in bps) 5.5 - 82.5 23.3 Bank profit (in bps) 7.2 - 509.9 77.3 Internal floor (in bps) 8.8 - 30.0 19.0 Internal credit rating AAA - CCC AA- FG VIEs’ liabilities, at fair value (619 ) CPR 0.9 % - 18.1% 9.3% CDR 1.3 % - 23.7% 5.1% Loss severity 60.0 % - 100.0% 79.8% Yield 5.0 % - 10.2% 5.6% ____________________ (1) Discounted cash flow is used as the primary valuation technique for all financial instruments listed in this table. (2) Excludes several investments recorded in other invested assets with fair value of $7 million |
Fair Value of Financial Instruments | Fair Value of Financial Instruments Not Carried at Fair Value As of As of Carrying Amount Estimated Fair Value Carrying Amount Estimated Fair Value (in millions) Assets (liabilities): Other invested assets $ 1 $ 2 $ 1 $ 2 Other assets (1) 91 91 130 130 Financial guaranty insurance contracts (2) (2,731 ) (5,200 ) (3,240 ) (5,932 ) Long-term debt (1,234 ) (1,549 ) (1,233 ) (1,496 ) Other liabilities (1) (45 ) (45 ) (12 ) (12 ) ____________________ (1) The Company's other assets and other liabilities consist predominantly of accrued interest, receivables for securities sold and payables for securities purchased, for which the carrying value approximates fair value. (2) |
Investments and Cash (Tables)
Investments and Cash (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Net Investment Income | Net Investment Income Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Income from fixed-maturity securities managed by third parties $ 66 $ 75 $ 207 $ 224 Income from internally managed securities 24 26 95 80 Gross investment income 90 101 302 304 Investment expenses (2 ) (2 ) (6 ) (7 ) Net investment income $ 88 $ 99 $ 296 $ 297 |
Net Realized Investment Gains (Losses) | Net Realized Investment Gains (Losses) Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Gross realized gains on available-for-sale securities $ 29 $ 5 $ 48 $ 16 Gross realized losses on available-for-sale securities (1 ) (3 ) (4 ) (9 ) Net realized gains (losses) on other invested assets — — — (1 ) Other-than-temporary impairment (OTTI): Total OTTI (12 ) (8 ) (29 ) (23 ) Less: portion of OTTI recognized in OCI — 1 3 (3 ) Net OTTI recognized in net income (loss) (1) (12 ) (9 ) (32 ) (20 ) Net realized investment gains (losses) $ 16 $ (7 ) $ 12 $ (14 ) ____________________ (1) Net OTTI recognized in net income was mainly attributable to change in foreign exchange rates in Third Quarter 2019 and Third Quarter 2018 . OTTI for Nine Months 2019 and Nine Months 2018 was attributable to change in foreign exchange rates and securities purchased for loss mitigation and other risk management purposes. |
Roll Forward of Credit Losses in the Investment Portfolio | The following table presents the roll-forward of the credit losses on fixed-maturity securities for which the Company has recognized an OTTI and for which unrealized loss was recognized in OCI. Roll Forward of Credit Losses in the Investment Portfolio Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Balance, beginning of period $ 191 $ 170 $ 185 $ 162 Additions for credit losses on securities for which an OTTI was previously recognized — 2 13 10 Reductions for securities sold and other settlements — — (7 ) — Balance, end of period $ 191 $ 172 $ 191 $ 172 |
Fixed Maturity Securities and Short Term Investments by Security Type | Fixed-Maturity Securities and Short-Term Investments by Security Type As of September 30, 2019 Security Type Percent of Total (1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI (2) Pre-tax Gain (Loss) on Securities with OTTI Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 42 % $ 4,132 $ 331 $ — $ 4,463 $ 42 AA- U.S. government and agencies 1 144 11 — 155 — AA+ Corporate securities 24 2,286 80 (27 ) 2,339 (4 ) A Mortgage-backed securities (4): 0 RMBS 8 846 41 (10 ) 877 4 A- CMBS 5 448 21 — 469 — AAA Asset-backed securities 7 745 33 (3 ) 775 10 BBB- Non-U.S. government securities 2 210 1 (12 ) 199 — AA Total fixed-maturity securities 89 8,811 518 (52 ) 9,277 52 A+ Short-term investments 11 1,142 — — 1,142 — AAA Total investment portfolio 100 % $ 9,953 $ 518 $ (52 ) $ 10,419 $ 52 A+ Fixed-Maturity Securities and Short-Term Investments by Security Type As of December 31, 2018 Security Type Percent of Total (1) Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value AOCI Pre-tax Gain (Loss) on Securities with OTTI Weighted Average Credit Rating (3) (dollars in millions) Fixed-maturity securities: Obligations of state and political subdivisions 45 % $ 4,761 $ 168 $ (18 ) $ 4,911 $ 40 AA- U.S. government and agencies 2 167 9 (1 ) 175 — AA+ Corporate securities 20 2,175 13 (52 ) 2,136 (4 ) A Mortgage-backed securities (4): RMBS 9 999 17 (34 ) 982 (15 ) A- CMBS 5 542 4 (7 ) 539 — AAA Asset-backed securities 9 942 131 (5 ) 1,068 97 BB Non-U.S. government securities 3 298 2 (22 ) 278 — AA Total fixed-maturity securities 93 9,884 344 (139 ) 10,089 118 A+ Short-term investments 7 729 — — 729 — AAA Total investment portfolio 100 % $ 10,613 $ 344 $ (139 ) $ 10,818 $ 118 A+ ____________________ (1) Based on amortized cost. (2) Accumulated OCI (AOCI). (3) Ratings 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 primarily consists of high-quality, liquid instruments. (4) U.S. government-agency obligations were approximately 44% of mortgage backed securities as of September 30, 2019 and 48% as of December 31, 2018 based on fair value. |
Fixed Maturity Securities Gross Unrealized Loss by Length of Time | 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 September 30, 2019 Less than 12 months 12 months or more Total Fair Value Unrealized Loss Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 5 $ — $ 4 $ — $ 9 $ — U.S. government and agencies 13 — 4 — 17 — Corporate securities 349 (8 ) 170 (19 ) 519 (27 ) Mortgage-backed securities: RMBS 7 — 193 (10 ) 200 (10 ) CMBS 1 — 4 — 5 — Asset-backed securities 83 (2 ) 147 (1 ) 230 (3 ) Non-U.S. government securities 53 (2 ) 80 (10 ) 133 (12 ) Total $ 511 $ (12 ) $ 602 $ (40 ) $ 1,113 $ (52 ) Number of securities (1) 133 143 256 Number of securities with OTTI 12 9 21 Fixed-Maturity Securities Gross Unrealized Loss by Length of Time As of December 31, 2018 Less than 12 months 12 months or more Total Fair Unrealized Fair Unrealized Fair Unrealized (dollars in millions) Obligations of state and political subdivisions $ 195 $ (4 ) $ 658 $ (14 ) $ 853 $ (18 ) U.S. government and agencies 11 — 24 (1 ) 35 (1 ) Corporate securities 836 (19 ) 522 (33 ) 1,358 (52 ) Mortgage-backed securities: RMBS 85 (2 ) 447 (32 ) 532 (34 ) CMBS 111 (1 ) 164 (6 ) 275 (7 ) Asset-backed securities 322 (4 ) 38 (1 ) 360 (5 ) Non-U.S. government securities 83 (4 ) 99 (18 ) 182 (22 ) Total $ 1,643 $ (34 ) $ 1,952 $ (105 ) $ 3,595 $ (139 ) Number of securities (1) 417 608 997 Number of securities with OTTI (1) 22 22 42 ___________________ (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 | The amortized cost and estimated fair value of available-for-sale fixed maturity securities by contractual maturity as of September 30, 2019 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 September 30, 2019 Amortized Cost Estimated Fair Value (in millions) Due within one year $ 274 $ 275 Due after one year through five years 1,617 1,635 Due after five years through 10 years 2,133 2,242 Due after 10 years 3,493 3,779 Mortgage-backed securities: RMBS 846 877 CMBS 448 469 Total $ 8,811 $ 9,277 |
Contracts Accounted for as Cr_2
Contracts Accounted for as Credit Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating | Credit Derivatives (1) As of September 30, 2019 As of December 31, 2018 (2) Net Par Outstanding Net Fair Value Net Par Outstanding Net Fair Value (in millions) U.S. public finance $ 2,067 $ (103 ) $ 1,783 $ (65 ) Non-U.S. public finance 2,709 (46 ) 2,807 (51 ) U.S. structured finance 1,266 (51 ) 1,465 (85 ) Non-U.S. structured finance 123 (8 ) 127 (6 ) Total $ 6,165 $ (208 ) $ 6,182 $ (207 ) ____________________ (1) Expected recoveries were $5 million as of September 30, 2019 and $2 million as of December 31, 2018 . (2) Prior year presentation has been conformed to the current year's presentation. Distribution of Credit Derivative Net Par Outstanding by Internal Rating As of September 30, 2019 As of December 31, 2018 Ratings Net Par Outstanding % of Total Net Par Outstanding % of Total (dollars in millions) AAA $ 1,662 27.0 % $ 1,813 29.4 % AA 1,748 28.4 1,690 27.3 A 1,255 20.3 1,171 18.9 BBB 1,368 22.2 1,351 21.9 BIG (1) 132 2.1 157 2.5 Credit derivative net par outstanding $ 6,165 100.0 % $ 6,182 100.0 % ____________________ (1) All BIG credit derivatives are U.S. RMBS transactions. |
Net Change in Fair Value of Credit Derivatives | Net Change in Fair Value of Credit Derivative Gain (Loss) Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Realized gains on credit derivatives $ 2 $ 2 $ 6 $ 6 Net credit derivative losses (paid and payable) recovered and recoverable and other settlements (5 ) (1 ) (30 ) (2 ) Realized gains (losses) and other settlements (3 ) 1 (24 ) 4 Net unrealized gains (losses) 8 20 (1 ) 99 Net change in fair value of credit derivatives $ 5 $ 21 $ (25 ) $ 103 |
CDS Spread on AGC and AGM | CDS Spread on AGC Quoted price of CDS contract (in bps) As of As of As of As of As of As of Five-year CDS spread 56 56 110 77 105 163 One-year CDS spread 14 13 22 15 22 70 |
Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads | Fair Value of Credit Derivative Assets (Liabilities) and Effect of AGC Credit Spreads As of As of (in millions) Fair value of credit derivatives before effect of AGC credit spread $ (306 ) $ (407 ) Plus: Effect of AGC credit spread 98 200 Net fair value of credit derivatives $ (208 ) $ (207 ) |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated FG VIE's | Effect of Consolidating FG VIEs Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Net earned premiums $ (2 ) $ (3 ) $ (16 ) $ (9 ) Net investment income (1 ) (1 ) (3 ) (3 ) Fair value gains (losses) on FG VIEs (1) 4 5 42 11 Loss and LAE (3 ) (3 ) (18 ) — Effect on income before tax (2 ) (2 ) 5 (1 ) Less: Tax provision (benefit) — — 1 — Effect on net income (loss) $ (2 ) $ (2 ) $ 4 $ (1 ) Effect on OCI $ 1 $ (2 ) $ (1 ) $ — Effect on cash flows from operating activities $ 1 $ 1 $ — $ 7 ____________________ (1) See condensed consolidated statements of comprehensive income and Note 14, Shareholders' Equity, for information on changes in fair value of the FG VIEs’ liabilities with recourse that are attributable to changes in the Company's own credit risk. The consolidation of FG VIEs increased shareholders' equity by $4 million as of September 30, 2019 and $1 million as of December 31, 2018 . As of As of (in millions) Excess of unpaid principal over fair value of: FG VIEs’ assets $ 279 $ 350 FG VIEs’ liabilities with recourse 21 48 FG VIEs’ liabilities without recourse 19 28 Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due 61 71 Unpaid principal for FG VIEs’ liabilities with recourse (1) 409 565 ____________________ (1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2019 to 2038 . As of September 30, 2019 As of December 31, 2018 Assets Liabilities Assets Liabilities (in millions) With recourse: U.S. RMBS first lien $ 289 $ 314 $ 299 $ 326 U.S. RMBS second lien 75 74 115 137 Manufactured housing — — 53 54 Total with recourse 364 388 467 517 Without recourse 105 105 102 102 Total $ 469 $ 493 $ 569 $ 619 |
Income Taxes (Tables)
Income Taxes (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Income Tax Disclosure [Abstract] | |
Effective Tax Rate Reconciliation | A reconciliation of the difference between the provision for income taxes and the expected tax provision at statutory rates in taxable jurisdictions is presented below. Effective Tax Rate Reconciliation Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Expected tax provision (benefit) $ 17 $ 31 $ 64 $ 80 Tax-exempt interest (5 ) (6 ) (15 ) (18 ) Change in liability for uncertain tax positions 1 (10 ) 1 (16 ) Effect of provision to tax return filing adjustment (6 ) (1 ) (6 ) (1 ) State tax — 5 1 6 Foreign taxes 6 1 11 4 Taxes on reinsurance 5 1 9 — Effect of adjustments to the provisional amounts as a result of 2017 Tax Cuts and Jobs Act — (4 ) — (4 ) Deferred compensation (1 ) (1 ) (3 ) (2 ) Other — (2 ) (1 ) (3 ) Total provision (benefit) for income taxes $ 17 $ 14 $ 61 $ 46 Effective tax rate 19.2 % 8.3 % 18.6 % 9.7 % |
Pretax Income (Loss) by Tax Jurisdiction | The following tables present pretax income and revenue by jurisdiction. Pretax Income (Loss) by Tax Jurisdiction Third Quarter Nine Months 2019 2018 2019 2018 (in millions) U.S. $ 101 $ 128 $ 326 $ 374 Bermuda 10 24 26 97 U.K. and other (25 ) 23 (26 ) 8 Total $ 86 $ 175 $ 326 $ 479 |
Revenue by Tax Jurisdiction | Revenue by Tax Jurisdiction Third Quarter Nine Months 2019 2018 2019 2018 (in millions) U.S. $ 186 $ 192 $ 562 $ 628 Bermuda 37 47 110 135 U.K. and other (17 ) 36 (5 ) 25 Total $ 206 $ 275 $ 667 $ 788 |
Schedule of Deferred Tax Assets and Liabilities | Tax Assets (Liabilities) Deferred and Current Tax Assets (Liabilities) (1) As of As of (in millions) Deferred tax assets (liabilities) $ (24 ) $ 68 Current tax assets (liabilities) 14 22 ____________________ (1) Included in other assets or other liabilities on the condensed consolidated balance sheets. |
Reinsurance (Tables)
Reinsurance (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Insurance [Abstract] | |
Effects of Reinsurance on Statement of Operations | Effect of Reinsurance on Statement of Operations Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Premiums Written: Direct $ 67 $ 57 $ 156 $ 192 Assumed (1) 2 (7 ) 3 324 Ceded (2) (1 ) 1 12 14 Net $ 68 $ 51 $ 171 $ 530 Premiums Earned: Direct $ 113 $ 127 $ 317 $ 400 Assumed 12 19 42 33 Ceded (2 ) (4 ) (6 ) (10 ) Net $ 123 $ 142 $ 353 $ 423 Loss and LAE: Direct $ 28 $ 18 $ 82 $ 53 Assumed 2 1 4 (7 ) Ceded — (2 ) (11 ) (3 ) Net $ 30 $ 17 $ 75 $ 43 ____________________ (1) Negative assumed premiums written were due to changes in expected debt service schedules. (2) Positive ceded premiums written were due to terminations, commutations and changes in expected debt service schedules. |
Exposure by Reinsurer | Ceded Reinsurance (1) As of As of (in millions) Ceded premium payable, net of commissions $ 19 $ 26 Ceded expected loss to be recovered (paid) 14 14 Financial guaranty ceded par outstanding (2) 1,343 2,389 Non-financial guaranty ceded exposure (see Note 3) 275 239 ____________________ (1) The total collateral posted by all non-affiliated reinsurers required to post, or that had agreed to post, collateral as of September 30, 2019 and December 31, 2018 was approximately $69 million and $80 million , respectively. Such collateral is posted (i) in the case of certain reinsurers not authorized or "accredited" in the U.S., in order for the Company to receive credit for the liabilities ceded to such reinsurers in statutory financial statements, and (ii) in the case of certain reinsurers authorized in the U.S., on terms negotiated with the Company. (2) Of the total par ceded to unrated or BIG rated reinsurers, $224 million and $236 million is rated BIG as of September 30, 2019 and December 31, 2018 , respectively. |
Schedule Of Commutations And Cancellations Of Reinsurance Contracts | Commutations of Ceded Reinsurance Contracts Third Quarter Nine Months 2019 2018 2019 2018 (in millions) Increase in net unearned premium reserve $ — $ 4 $ 15 $ 64 Increase in net par outstanding — 224 1,069 1,457 Commutation gains (losses) — 1 1 (16 ) |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Lease, Cost | Components of Lease Expense Third Quarter 2019 Nine Months 2019 (in millions) Lease cost (1) $ 3 $ 7 Cash paid for amounts included in the measurement of lease liabilities 3 7 ____________________ (1) Variable and short-term lease costs are de minimis. |
Lessee, Operating Lease, Liability, Maturity | Future Minimum Rental Payments As of Year (in millions) 2019 (remaining three months) $ 2 2020 9 2021 8 2022 8 2023 9 Thereafter 72 Total lease payments (1) 108 Less: imputed interest 18 Total operating lease liabilities $ 90 ____________________ (1) At December 31, 2018, future lease payments were $9 million , $9 million , $8 million , $8 million , and $9 million for 2019 through 2023, respectively, and $72 million in aggregate for all years thereafter. |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Earnings Per Share [Abstract] | |
Schedule of computation of basic and diluted earnings per share | Computation of Earnings Per Share Third Quarter Nine Months 2019 2018 2019 2018 (in millions, except per share amounts) Basic Earnings Per Share (EPS): Net income (loss) attributable to AGL $ 69 $ 161 $ 265 $ 433 Less: Distributed and undistributed income (loss) available to nonvested shareholders — 1 — 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 69 $ 160 $ 265 $ 432 Basic shares 98.2 108.0 100.8 111.6 Basic EPS $ 0.71 $ 1.48 $ 2.63 $ 3.87 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 69 $ 160 $ 265 $ 432 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries — — — — Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 69 $ 160 $ 265 $ 432 Basic shares 98.2 108.0 100.8 111.6 Dilutive securities: Options and restricted stock awards 0.7 1.3 0.8 1.3 Diluted shares 98.9 109.3 101.6 112.9 Diluted EPS $ 0.70 $ 1.47 $ 2.61 $ 3.83 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect — — — 0.1 |
Schedule of antidilutive securities excluded from computation of earnings per share | Computation of Earnings Per Share Third Quarter Nine Months 2019 2018 2019 2018 (in millions, except per share amounts) Basic Earnings Per Share (EPS): Net income (loss) attributable to AGL $ 69 $ 161 $ 265 $ 433 Less: Distributed and undistributed income (loss) available to nonvested shareholders — 1 — 1 Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 69 $ 160 $ 265 $ 432 Basic shares 98.2 108.0 100.8 111.6 Basic EPS $ 0.71 $ 1.48 $ 2.63 $ 3.87 Diluted EPS: Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic $ 69 $ 160 $ 265 $ 432 Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries — — — — Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted $ 69 $ 160 $ 265 $ 432 Basic shares 98.2 108.0 100.8 111.6 Dilutive securities: Options and restricted stock awards 0.7 1.3 0.8 1.3 Diluted shares 98.9 109.3 101.6 112.9 Diluted EPS $ 0.70 $ 1.47 $ 2.61 $ 3.83 Potentially dilutive securities excluded from computation of EPS because of antidilutive effect — — — 0.1 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 Third Quarter 2019 Net Unrealized Net Unrealized Net Unrealized Gains (Losses) on FG VIEs’ Liabilities with Recourse due to ISCR Cumulative Cash Flow Total (in millions) Balance, June 30, 2019 $ 301 $ 51 $ (27 ) $ (38 ) $ 8 295 Other comprehensive income (loss) before reclassifications 57 (21 ) (2 ) — — 34 Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 29 (12 ) — — — 17 Fair value gains (losses) on FG VIEs — — (3 ) — — (3 ) Total before tax 29 (12 ) (3 ) — — 14 Tax (provision) benefit (5 ) — 1 — — (4 ) Total amount reclassified from AOCI, net of tax 24 (12 ) (2 ) — — 10 Net current period other comprehensive income (loss) 33 (9 ) — — — 24 Balance, September 30, 2019 $ 334 $ 42 $ (27 ) $ (38 ) $ 8 $ 319 Changes in Accumulated Other Comprehensive Income by Component Third Quarter 2018 Net Unrealized Net Unrealized Net Unrealized Gains (Losses) on FG VIEs’ Liabilities with Recourse due to ISCR Cumulative Cash Flow Total (in millions) Balance, June 30, 2018 $ 83 $ 124 $ (31 ) $ (32 ) $ 8 $ 152 Other comprehensive income (loss) before reclassifications (59 ) (16 ) (5 ) (3 ) — (83 ) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 1 (8 ) — — — (7 ) Fair value gains (losses) on FG VIEs — — (2 ) — — (2 ) Total before tax 1 (8 ) (2 ) — — (9 ) Tax (provision) benefit (1 ) 1 — — — — Total amount reclassified from AOCI, net of tax — (7 ) (2 ) — — (9 ) Net current period other comprehensive income (loss) (59 ) (9 ) (3 ) (3 ) — (74 ) Balance, September 30, 2018 $ 24 $ 115 $ (34 ) $ (35 ) $ 8 $ 78 Changes in Accumulated Other Comprehensive Income by Component Nine Months 2019 Net Unrealized Gains (Losses) on Investments with no OTTI Net Unrealized Gains (Losses) on Investments with OTTI Net Unrealized Gains (Losses) on FG VIEs ’ Liabilities with Recourse due to ISCR Cumulative Translation Adjustment Cash Flow Hedge Total AOCI (in millions) Balance, December 31, 2018 $ 59 $ 94 $ (31 ) $ (37 ) $ 8 $ 93 Other comprehensive income (loss) before reclassifications 312 (68 ) (6 ) (1 ) — 237 Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 43 (30 ) — — — 13 Net investment income 2 14 — — — 16 Fair value gains (losses) on FG VIEs — — (13 ) — — (13 ) Total before tax 45 (16 ) (13 ) — — 16 Tax (provision) benefit (8 ) — 3 — — (5 ) Total amount reclassified from AOCI, net of tax 37 (16 ) (10 ) — — 11 Net current period other comprehensive income (loss) 275 (52 ) 4 (1 ) — 226 Balance, September 30, 2019 $ 334 $ 42 $ (27 ) $ (38 ) $ 8 $ 319 Changes in Accumulated Other Comprehensive Income by Component Nine Months 2018 Net Unrealized Gains (Losses) on Investments with no OTTI Net Unrealized Gains (Losses) on Investments with OTTI Net Unrealized Gains (Losses) on FG VIEs’ Liabilities with Recourse due to ISCR Cumulative Translation Adjustment Cash Flow Hedge Total AOCI (in millions) Balance, December 31, 2017 $ 273 $ 120 $ — $ (29 ) $ 8 $ 372 Effect of adoption of ASU 2016-01 (1) 1 — (33 ) — — (32 ) Other comprehensive income (loss) before reclassifications (245 ) (21 ) (6 ) (6 ) — (278 ) Less: Amounts reclassified from AOCI to: Net realized investment gains (losses) 6 (19 ) — — — (13 ) Fair value gains (losses) on FG VIEs — — (6 ) — — (6 ) Total before tax 6 (19 ) (6 ) — — (19 ) Tax (provision) benefit (1 ) 3 1 — — 3 Total amount reclassified from AOCI, net of tax 5 (16 ) (5 ) — — (16 ) Net current period other comprehensive income (loss) (250 ) (5 ) (1 ) (6 ) — (262 ) Balance, September 30, 2018 $ 24 $ 115 $ (34 ) $ (35 ) $ 8 $ 78 ____________________ (1) On January 1, 2018, the Company adopted ASU 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities, resulting in a cumulative-effect reclassification of a $32 million loss, net of tax, from retained earnings to AOCI. |
Schedule of Share Repurchases | Period Number of Shares Repurchased Total Payments (in millions) Average Price Paid Per Share 2018 (January 1 - March 31) 2,787,936 $ 98 $ 35.20 2018 (April 1 - June 30) 4,163,190 152 36.48 2018 (July 1 - September 30) 3,299,049 130 39.41 2018 (October 1 - December 31) 2,992,932 120 40.09 Total 2018 13,243,107 $ 500 $ 37.76 2019 (January 1 - March 31) 1,908,605 79 41.62 2019 (April 1 - June 30) 2,519,130 111 43.89 2019 (July 1 - September 30) 3,400,677 150 44.11 2019 (October 1 - November 7) 1,276,692 59 45.98 Total 2019 9,105,104 $ 399 $ 43.79 |
Subsidiary Information (Tables)
Subsidiary Information (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Condensed Financial Information Disclosure [Abstract] | |
Condensed Consolidating Balance Sheet | CONDENSED CONSOLIDATING BALANCE SHEET AS OF SEPTEMBER 30, 2019 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) (1) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Assets Total investment portfolio and cash $ 41 $ 416 $ 24 $ 10,655 $ (431 ) $ 10,705 Investment in subsidiaries 6,531 5,898 4,135 204 (16,768 ) — Premiums receivable, net of commissions payable — — — 997 (153 ) 844 Deferred acquisition costs — — — 142 (35 ) 107 Intercompany loan receivable — — — 50 (50 ) — FG VIEs’ assets, at fair value — — — 469 — 469 Dividends receivable from affiliate 70 10 — — (80 ) — Other 25 84 32 2,723 (1,622 ) 1,242 Total assets $ 6,667 $ 6,408 $ 4,191 $ 15,240 $ (19,139 ) $ 13,367 Liabilities and shareholders' equity Unearned premium reserves $ — $ — $ — $ 4,228 $ (894 ) $ 3,334 Loss and LAE reserve — — — 1,251 (244 ) 1,007 Long-term debt — 844 474 4 (88 ) 1,234 Intercompany loan payable — 50 — 300 (350 ) — Credit derivative liabilities — — — 249 (35 ) 214 FG VIEs’ liabilities, at fair value — — — 493 — 493 Dividends payable to affiliate — 70 10 — (80 ) — Other 15 75 71 894 (622 ) 433 Total liabilities 15 1,039 555 7,419 (2,313 ) 6,715 Total shareholders' equity attributable to Assured Guaranty Ltd. 6,652 5,369 3,636 7,617 (16,622 ) 6,652 Noncontrolling interest — — — 204 (204 ) — Total shareholders' equity 6,652 5,369 3,636 7,821 (16,826 ) 6,652 Total liabilities and shareholders' equity $ 6,667 $ 6,408 $ 4,191 $ 15,240 $ (19,139 ) $ 13,367 ____________________ (1) The fair value of the AGMH debt purchased by AGUS, and recorded in the AGUS investment portfolio, was $131 million . CONDENSED CONSOLIDATING BALANCE SHEET AS OF DECEMBER 31, 2018 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) (1) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Assets Total investment portfolio and cash $ 45 $ 334 $ 23 $ 11,000 $ (425 ) $ 10,977 Investment in subsidiaries 6,440 5,835 3,991 226 (16,492 ) — Premiums receivable, net of commissions payable — — — 1,071 (167 ) 904 Deferred acquisition costs — — — 143 (38 ) 105 Deferred tax asset, net — — — 162 (94 ) 68 Intercompany loan receivable — — — 50 (50 ) — FG VIEs’ assets, at fair value — — — 569 — 569 Dividends receivable from affiliate 60 — — — (60 ) — Other 29 66 24 2,437 (1,576 ) 980 Total assets $ 6,574 $ 6,235 $ 4,038 $ 15,658 $ (18,902 ) $ 13,603 Liabilities and shareholders' equity Unearned premium reserves $ — $ — $ — $ 4,452 $ (940 ) $ 3,512 Loss and LAE reserve — — — 1,467 (290 ) 1,177 Long-term debt — 844 468 5 (84 ) 1,233 Intercompany loan payable — 50 — 300 (350 ) — Credit derivative liabilities — — — 236 (27 ) 209 Deferred tax liabilities, net — 49 50 — (99 ) — FG VIEs’ liabilities, at fair value — — — 619 — 619 Dividends payable to affiliate — 60 — — (60 ) — Other 19 3 17 763 (504 ) 298 Total liabilities 19 1,006 535 7,842 (2,354 ) 7,048 Total shareholders' equity attributable to Assured Guaranty Ltd. 6,555 5,229 3,503 7,590 (16,322 ) 6,555 Noncontrolling interest — — — 226 (226 ) — Total shareholders' equity 6,555 5,229 3,503 7,816 (16,548 ) 6,555 Total liabilities and shareholders' equity $ 6,574 $ 6,235 $ 4,038 $ 15,658 $ (18,902 ) $ 13,603 ____________________ (1) The fair value of the AGMH debt purchased by AGUS, and recorded in the AGUS investment portfolio, was $125 million . |
Condensed Consolidating Statement of Operations and Comprehensive Income | CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2019 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Revenues Net earned premiums $ — $ — $ — $ 126 $ (3 ) $ 123 Net investment income — 2 — 91 (5 ) 88 Net realized investment gains (losses) — — — 16 — 16 Net change in fair value of credit derivatives — — — 5 — 5 Other 3 — — 20 (49 ) (26 ) Total revenues 3 2 — 258 (57 ) 206 Expenses Loss and LAE — — — 32 (2 ) 30 Amortization of deferred acquisition costs — — — 4 (1 ) 3 Interest expense — 12 13 3 (6 ) 22 Other operating expenses 10 1 — 103 (49 ) 65 Total expenses 10 13 13 142 (58 ) 120 Equity in net earnings of investees — — — — — — Income (loss) before income taxes and equity in net earnings of subsidiaries (7 ) (11 ) (13 ) 116 1 86 Total (provision) benefit for income taxes — 3 2 (21 ) (1 ) (17 ) Equity in net earnings of subsidiaries 76 71 52 5 (204 ) — Net income (loss) $ 69 $ 63 $ 41 $ 100 $ (204 ) $ 69 Less: noncontrolling interest — — — 5 (5 ) — Net income (loss) attributable to Assured Guaranty Ltd. $ 69 $ 63 $ 41 $ 95 $ (199 ) $ 69 Comprehensive income (loss) $ 93 $ 73 $ 38 $ 124 $ (235 ) $ 93 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2018 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Revenues Net earned premiums $ — $ — $ — $ 146 $ (4 ) $ 142 Net investment income — 2 — 101 (4 ) 99 Net realized investment gains (losses) — — — (7 ) — (7 ) Net change in fair value of credit derivatives — — — 21 — 21 Other 3 — — 72 (55 ) 20 Total revenues 3 2 — 333 (63 ) 275 Expenses Loss and LAE — — — 18 (1 ) 17 Amortization of deferred acquisition costs — — — 5 (2 ) 3 Interest expense — 13 13 2 (5 ) 23 Other operating expenses 10 6 (1 ) 93 (52 ) 56 Total expenses 10 19 12 118 (60 ) 99 Equity in net earnings of investees — — — (1 ) — (1 ) Income (loss) before income taxes and equity in net earnings of subsidiaries (7 ) (17 ) (12 ) 214 (3 ) 175 Total (provision) benefit for income taxes — 45 3 (58 ) (4 ) (14 ) Equity in net earnings of subsidiaries 168 111 108 7 (394 ) — Net income (loss) $ 161 $ 139 $ 99 $ 163 $ (401 ) $ 161 Less: noncontrolling interest — — — 7 (7 ) — Net income (loss) attributable to Assured Guaranty Ltd. $ 161 $ 139 $ 99 $ 156 $ (394 ) $ 161 Comprehensive income (loss) $ 87 $ 76 $ 61 $ 92 $ (229 ) $ 87 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2019 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Revenues Net earned premiums $ — $ — $ — $ 361 $ (8 ) $ 353 Net investment income — 8 — 302 (14 ) 296 Net realized investment gains (losses) — — — 12 — 12 Net change in fair value of credit derivatives — — — (25 ) — (25 ) Other 7 — — 179 (155 ) 31 Total revenues 7 8 — 829 (177 ) 667 Expenses Loss and LAE — — — 84 (9 ) 75 Amortization of deferred acquisition costs — — — 16 (3 ) 13 Interest expense — 37 40 8 (18 ) 67 Other operating expenses 30 3 — 308 (152 ) 189 Total expenses 30 40 40 416 (182 ) 344 Equity in net earnings of investees — — — 3 — 3 Income (loss) before income taxes and equity in net earnings of subsidiaries (23 ) (32 ) (40 ) 416 5 326 Total (provision) benefit for income taxes — 7 8 (74 ) (2 ) (61 ) Equity in net earnings of subsidiaries 288 275 215 14 (792 ) — Net income (loss) $ 265 $ 250 $ 183 $ 356 $ (789 ) $ 265 Less: noncontrolling interest — — — 14 (14 ) — Net income (loss) attributable to Assured Guaranty Ltd. $ 265 $ 250 $ 183 $ 342 $ (775 ) $ 265 Comprehensive income (loss) $ 491 $ 388 $ 299 $ 584 $ (1,271 ) $ 491 CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS AND COMPREHENSIVE INCOME FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018 (in millions) Assured Guaranty Ltd. (Parent) AGUS (Issuer) AGMH (Issuer) Other Entities Consolidating Adjustments Assured Guaranty Ltd. (Consolidated) Revenues Net earned premiums $ — $ — $ — $ 434 $ (11 ) $ 423 Net investment income — 6 — 301 (10 ) 297 Net realized investment gains (losses) — — — (14 ) — (14 ) Net change in fair value of credit derivatives — — — 103 — 103 Other 9 — — 137 (167 ) (21 ) Total revenues 9 6 — 961 (188 ) 788 Expenses Loss and LAE — — — 48 (5 ) 43 Amortization of deferred acquisition costs — — — 16 (4 ) 12 Interest expense — 37 40 7 (13 ) 71 Other operating expenses 30 9 — 293 (149 ) 183 Total expenses 30 46 40 364 (171 ) 309 Equity in net earnings of investees — — — — — — Income (loss) before income taxes and equity in net earnings of subsidiaries (21 ) (40 ) (40 ) 597 (17 ) 479 Total (provision) benefit for income taxes — 50 9 (103 ) (2 ) (46 ) Equity in net earnings of subsidiaries 454 336 219 20 (1,029 ) — Net income (loss) $ 433 $ 346 $ 188 $ 514 $ (1,048 ) $ 433 Less: noncontrolling interest — — — 20 (20 ) — Net income (loss) attributable to Assured Guaranty Ltd. $ 433 $ 346 $ 188 $ 494 $ (1,028 ) $ 433 Comprehensive income (loss) $ 171 $ 150 $ 54 $ 255 $ (459 ) $ 171 |
Condensed Consolidating Statement of Cash Flows | CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2019 (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 $ 408 $ 217 $ 157 $ (280 ) $ (867 ) $ (365 ) Cash flows from investing activities Fixed-maturity securities: Purchases — (3 ) — (688 ) 3 (688 ) Sales — — — 1,306 — 1,306 Maturities and paydowns — 4 7 653 — 664 Short-term investments with maturities of over three months: Purchases — — — (216 ) — (216 ) Sales — — — 2 — 2 Maturities and paydowns — 12 — 194 — 206 Net sales (purchases) of short-term investments with maturities of less than three months 4 (90 ) (3 ) (315 ) — (404 ) Net proceeds from paydowns on FG VIEs’ assets — — — 119 — 119 Net proceeds from sales of FG VIEs’ assets — — — 51 — 51 Proceeds from stock redemption and return of capital from subsidiaries — 100 — 10 (110 ) — Other — — — 30 — 30 Net cash flows provided by (used in) investing activities 4 23 4 1,146 (107 ) 1,070 Cash flows from financing activities Return of capital — — — (10 ) 10 — Dividends paid (56 ) (237 ) (156 ) (474 ) 867 (56 ) Repurchases of common stock (340 ) — — (100 ) 100 (340 ) Net paydowns of FG VIEs’ liabilities — — — (162 ) — (162 ) Paydown of long-term debt — — — (1 ) (3 ) (4 ) Other (16 ) — — — — (16 ) Net cash flows provided by (used in) financing activities (412 ) (237 ) (156 ) (747 ) 974 (578 ) Effect of exchange rate changes — — — (2 ) — (2 ) Increase (decrease) in cash and restricted cash — 3 5 117 — 125 Cash and restricted cash at beginning of period — 1 — 103 — 104 Cash and restricted cash at end of period $ — $ 4 $ 5 $ 220 $ — $ 229 CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018 (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 $ 454 $ 101 $ 126 $ 448 $ (777 ) $ 352 Cash flows from investing activities Fixed-maturity securities: Purchases — (76 ) (12 ) (1,462 ) 72 (1,478 ) Sales — 31 8 869 — 908 Maturities and paydowns — 28 — 718 — 746 Short-term investments with maturities of over three months: Purchases — — — (148 ) — (148 ) Sales — — — 1 — 1 Maturities and paydowns — — — 136 — 136 Net sales (purchases) of short-term investments with maturities of less than three months (11 ) 60 (74 ) (55 ) — (80 ) Net proceeds from paydowns on FG VIEs’ assets — — — 90 — 90 Proceeds from stock redemption and return of capital from subsidiaries — 200 — — (200 ) — Other — (15 ) — 34 — 19 Net cash flows provided by (used in) investing activities (11 ) 228 (78 ) 183 (128 ) 194 Cash flows from financing activities Dividends paid (55 ) (362 ) (50 ) (365 ) 777 (55 ) Repurchases of common stock (380 ) — — (200 ) 200 (380 ) Net paydowns of FG VIEs’ liabilities — — — (90 ) — (90 ) Paydown of long-term debt — — — (1 ) (72 ) (73 ) Other (8 ) — — — — (8 ) Net cash flows provided by (used in) financing activities (443 ) (362 ) (50 ) (656 ) 905 (606 ) Effect of exchange rate changes — — — (2 ) — (2 ) Increase (decrease) in cash and restricted cash — (33 ) (2 ) (27 ) — (62 ) Cash and restricted cash at beginning of period — 33 2 109 — 144 Cash and restricted cash at end of period $ — $ — $ — $ 82 $ — $ 82 |
Business and Basis of Present_3
Business and Basis of Presentation Business and Basis of Presentation (Details) | Oct. 01, 2019USD ($) | Sep. 30, 2019Company |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Number of holding companies having outstanding public debt | Company | 2 | |
Forecast [Member] | BlueMountain Acquisition [Member] | ||
Business Acquisition [Line Items] | ||
Other payments to acquire businesses | $ 30,000,000 | |
Subsequent Event [Member] | BlueMountain Acquisition [Member] | ||
Business Acquisition [Line Items] | ||
Purchase price | 160,000,000 | |
Financial assets recognized | 18,300,000,000 | |
Other payments to acquire businesses | $ 60,000,000 | |
Subsequent Event [Member] | BlueMountain Acquisition [Member] | AGM, AGC and MAC [Member] | ||
Business Acquisition [Line Items] | ||
Interest rate, stated percentage | 3.50% | |
Debt instrument, face amount | $ 250,000,000 | |
Debt instrument, term | 10 years |
Outstanding Exposure - Debt Ser
Outstanding Exposure - Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 356,280 | $ 375,080 |
Net Debt Service Outstanding | 354,612 | 371,586 |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 343,956 | 361,511 |
Net Debt Service Outstanding | 342,801 | 358,438 |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | 12,324 | 13,569 |
Net Debt Service Outstanding | $ 11,811 | $ 13,148 |
Outstanding Exposure - Financia
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 229,375 | $ 241,802 |
% of total net par outstanding | 100.00% | 100.00% |
AAA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 4,337 | $ 4,618 |
% of total net par outstanding | 1.90% | 1.90% |
AA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 26,130 | $ 27,021 |
% of total net par outstanding | 11.40% | 11.20% |
A [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 111,216 | $ 119,415 |
% of total net par outstanding | 48.50% | 49.40% |
BBB [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 79,177 | $ 80,588 |
% of total net par outstanding | 34.50% | 33.30% |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 8,515 | $ 10,160 |
% of total net par outstanding | 3.70% | 4.20% |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 219,397 | $ 230,665 |
Public Finance [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 176,515 | $ 186,562 |
% of total net par outstanding | 100.00% | 100.00% |
Public Finance [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 42,882 | $ 44,103 |
% of total net par outstanding | 100.00% | |
Public Finance [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 44,103 | |
% of total net par outstanding | 100.00% | |
Public Finance [Member] | AAA [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 384 | $ 413 |
% of total net par outstanding | 0.20% | 0.20% |
Public Finance [Member] | AAA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 2,429 | |
% of total net par outstanding | 5.60% | |
Public Finance [Member] | AAA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 2,399 | |
% of total net par outstanding | 5.40% | |
Public Finance [Member] | AA [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 20,646 | $ 21,646 |
% of total net par outstanding | 11.70% | 11.60% |
Public Finance [Member] | AA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 1,707 | |
% of total net par outstanding | 4.00% | |
Public Finance [Member] | AA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 1,711 | |
% of total net par outstanding | 3.90% | |
Public Finance [Member] | A [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 97,366 | $ 105,180 |
% of total net par outstanding | 55.20% | 56.40% |
Public Finance [Member] | A [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 12,764 | |
% of total net par outstanding | 29.80% | |
Public Finance [Member] | A [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 13,013 | |
% of total net par outstanding | 29.50% | |
Public Finance [Member] | BBB [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 52,359 | $ 52,935 |
% of total net par outstanding | 29.60% | 28.40% |
Public Finance [Member] | BBB [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 25,119 | |
% of total net par outstanding | 58.60% | |
Public Finance [Member] | BBB [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 25,939 | |
% of total net par outstanding | 58.80% | |
Public Finance [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 6,623 | $ 7,429 |
Public Finance [Member] | BIG [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 5,760 | $ 6,388 |
% of total net par outstanding | 3.30% | 3.40% |
Public Finance [Member] | BIG [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 863 | $ 1,041 |
% of total net par outstanding | 2.00% | |
Public Finance [Member] | BIG [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 1,041 | |
% of total net par outstanding | 2.40% | |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 9,978 | $ 11,137 |
Structured Finance [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 9,226 | $ 9,944 |
% of total net par outstanding | 100.00% | 100.00% |
Structured Finance [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 752 | |
% of total net par outstanding | 100.00% | |
Structured Finance [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 1,193 | |
% of total net par outstanding | 100.00% | |
Structured Finance [Member] | AAA [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 1,345 | $ 1,533 |
% of total net par outstanding | 14.60% | 15.40% |
Structured Finance [Member] | AAA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 179 | |
% of total net par outstanding | 23.80% | |
Structured Finance [Member] | AAA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 273 | |
% of total net par outstanding | 22.90% | |
Structured Finance [Member] | AA [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 3,740 | $ 3,599 |
% of total net par outstanding | 40.50% | 36.20% |
Structured Finance [Member] | AA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 37 | |
% of total net par outstanding | 4.90% | |
Structured Finance [Member] | AA [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 65 | |
% of total net par outstanding | 5.40% | |
Structured Finance [Member] | A [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 912 | $ 1,016 |
% of total net par outstanding | 9.90% | 10.20% |
Structured Finance [Member] | A [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 174 | |
% of total net par outstanding | 23.10% | |
Structured Finance [Member] | A [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 206 | |
% of total net par outstanding | 17.30% | |
Structured Finance [Member] | BBB [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 1,378 | $ 1,164 |
% of total net par outstanding | 14.90% | 11.70% |
Structured Finance [Member] | BBB [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 321 | |
% of total net par outstanding | 42.70% | |
Structured Finance [Member] | BBB [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 550 | |
% of total net par outstanding | 46.10% | |
Structured Finance [Member] | BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 1,892 | $ 2,731 |
Structured Finance [Member] | BIG [Member] | United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 1,851 | $ 2,632 |
% of total net par outstanding | 20.10% | 26.50% |
Structured Finance [Member] | BIG [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 41 | |
% of total net par outstanding | 5.50% | |
Structured Finance [Member] | BIG [Member] | Non United States [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 99 | |
% of total net par outstanding | 8.30% |
Outstanding Exposure - Componen
Outstanding Exposure - Components of BIG Net Par Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 229,375 | $ 241,802 |
Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 219,397 | 230,665 |
Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 1,223 | 1,184 |
Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 5,068 | 5,683 |
Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 9,978 | 11,137 |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 8,515 | 10,160 |
BIG [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 6,623 | 7,429 |
BIG [Member] | Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 40 | 85 |
BIG [Member] | Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 186 | 259 |
BIG [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 1,892 | 2,731 |
BIG [Member] | BIG 1 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 2,612 | 3,058 |
BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 2,423 | 2,563 |
BIG [Member] | BIG 1 [Member] | Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 0 | 0 |
BIG [Member] | BIG 1 [Member] | Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 71 | 127 |
BIG [Member] | BIG 1 [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 189 | 495 |
BIG [Member] | BIG 2 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 551 | 937 |
BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 398 | 644 |
BIG [Member] | BIG 2 [Member] | Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 0 | 0 |
BIG [Member] | BIG 2 [Member] | Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 65 | 79 |
BIG [Member] | BIG 2 [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 153 | 293 |
BIG [Member] | BIG 3 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 5,352 | 6,165 |
BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 3,802 | 4,222 |
BIG [Member] | BIG 3 [Member] | Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 40 | 85 |
BIG [Member] | BIG 3 [Member] | Other structured finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 50 | 53 |
BIG [Member] | BIG 3 [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 1,550 | 1,943 |
United States [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 176,515 | 186,562 |
United States [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 3,687 | 4,270 |
United States [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 9,226 | 9,944 |
United States [Member] | BIG [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 5,760 | 6,388 |
United States [Member] | BIG [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 1,666 | 2,387 |
United States [Member] | BIG [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 1,851 | 2,632 |
United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 1,604 | 1,767 |
United States [Member] | BIG [Member] | BIG 1 [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 118 | 368 |
United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 398 | 399 |
United States [Member] | BIG [Member] | BIG 2 [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 88 | 214 |
United States [Member] | BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 3,758 | 4,222 |
United States [Member] | BIG [Member] | BIG 3 [Member] | RMBS [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 1,460 | 1,805 |
Non United States [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 42,882 | 44,103 |
Non United States [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 752 | |
Non United States [Member] | BIG [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 863 | 1,041 |
Non United States [Member] | BIG [Member] | Structured Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 41 | |
Non United States [Member] | BIG [Member] | BIG 1 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 819 | 796 |
Non United States [Member] | BIG [Member] | BIG 2 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 0 | 245 |
Non United States [Member] | BIG [Member] | BIG 3 [Member] | Public Finance [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 44 | $ 0 |
Outstanding Exposure - BIG Net
Outstanding Exposure - BIG Net Par Outstanding (Details) $ in Millions | Sep. 30, 2019USD ($)risk | Dec. 31, 2018USD ($)risk |
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Credit Derivative | $ 6,165 | $ 6,182 |
Total | 229,375 | 241,802 |
BIG [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | 8,383 | 10,003 |
Net Par Outstanding, Credit Derivative | 132 | 157 |
Total | $ 8,515 | $ 10,160 |
Number of Risks, Financial Guaranty Insurance | risk | 279 | 312 |
Number of Risks, Credit Derivative | risk | 14 | 15 |
Number of Risks | risk | 293 | 327 |
BIG [Member] | BIG 1 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | $ 2,543 | $ 2,981 |
Net Par Outstanding, Credit Derivative | 69 | 77 |
Total | $ 2,612 | $ 3,058 |
Number of Risks, Financial Guaranty Insurance | risk | 119 | 128 |
Number of Risks, Credit Derivative | risk | 6 | 6 |
Number of Risks | risk | 125 | 134 |
BIG [Member] | BIG 2 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | $ 547 | $ 932 |
Net Par Outstanding, Credit Derivative | 4 | 5 |
Total | $ 551 | $ 937 |
Number of Risks, Financial Guaranty Insurance | risk | 26 | 39 |
Number of Risks, Credit Derivative | risk | 1 | 1 |
Number of Risks | risk | 27 | 40 |
BIG [Member] | BIG 3 [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Net Par Outstanding, Financial Guaranty Insurance | $ 5,293 | $ 6,090 |
Net Par Outstanding, Credit Derivative | 59 | 75 |
Total | $ 5,352 | $ 6,165 |
Number of Risks, Financial Guaranty Insurance | risk | 134 | 145 |
Number of Risks, Credit Derivative | risk | 7 | 8 |
Number of Risks | risk | 141 | 153 |
Outstanding Exposure - Puerto R
Outstanding Exposure - Puerto Rico Gross Par and Gross Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Debt Service Outstanding | $ 356,280 | $ 375,080 |
Puerto Rico [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Par Outstanding | 4,458 | 4,971 |
Gross Debt Service Outstanding | $ 6,958 | $ 8,035 |
Outstanding Exposure - Puerto_2
Outstanding Exposure - Puerto Rico Net Par Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 229,375 | $ 241,802 |
Puerto Rico [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 4,270 | 4,767 |
Constitutionally Guaranteed [Member] | Puerto Rico [Member] | Commonwealth of Puerto Rico [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 1,253 | 1,340 |
Constitutionally Guaranteed [Member] | Puerto Rico [Member] | Puerto Rico Public Buildings Authority [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 140 | 142 |
Public Corporations, Certain Revenue Potentially Subject to Clawback [Member] | Puerto Rico [Member] | PRHTA (Transportation revenue) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 811 | 844 |
Public Corporations, Certain Revenue Potentially Subject to Clawback [Member] | Puerto Rico [Member] | PRHTA (Highway revenue) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 454 | 475 |
Public Corporations, Certain Revenue Potentially Subject to Clawback [Member] | Puerto Rico [Member] | PRCCDA (Puerto Rico Convention Center District Authority) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 152 | 152 |
Public Corporations, Certain Revenue Potentially Subject to Clawback [Member] | Puerto Rico [Member] | PRIFA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 16 | 16 |
Other Public Corporations [Member] | Puerto Rico [Member] | PREPA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 822 | 848 |
Other Public Corporations [Member] | Puerto Rico [Member] | PRASA (Puerto Rico Aqueduct and Sewer Authority) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 373 | 373 |
Other Public Corporations [Member] | Puerto Rico [Member] | MFA [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 248 | 303 |
Other Public Corporations [Member] | Puerto Rico [Member] | COFINA (Puerto Rico Sales Tax Financing Corporation) [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | 0 | |
Other Public Corporations [Member] | Puerto Rico [Member] | University of Puerto Rico [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Total net exposure | $ 1 | $ 1 |
Outstanding Exposure - Amortiza
Outstanding Exposure - Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Estimated Net Par Amortization [Abstract] | ||
Total | $ 229,375 | $ 241,802 |
Estimated Net Debt Service Amortization [Abstract] | ||
Total | 354,612 | 371,586 |
Puerto Rico [Member] | ||
Estimated Net Par Amortization [Abstract] | ||
2019 (October 1 - December 31) | 0 | |
2020 (January 1 - March 31) | 0 | |
2020 (April 1 - June 30) | 0 | |
2020 (July 1 - September 30) | 286 | |
2020 (October 1 - December 31) | 0 | |
Subtotal 2020 | 286 | |
2021 | 149 | |
2022 | 139 | |
2023 | 205 | |
2024-2028 | 1,213 | |
2029-2033 | 884 | |
2034-2038 | 957 | |
2039-2043 | 176 | |
2044-2047 | 261 | |
Total | 4,270 | $ 4,767 |
Estimated Net Debt Service Amortization [Abstract] | ||
2019 (October 1 - December 31) | 3 | |
2020 (January 1 - March 31) | 106 | |
2020 (April 1 - June 30) | 3 | |
2020 (July 1 - September 30) | 392 | |
2020 (October 1 - December 31) | 3 | |
Subtotal 2020 | 504 | |
2021 | 351 | |
2022 | 332 | |
2023 | 392 | |
2024-2028 | 1,977 | |
2029-2033 | 1,392 | |
2034-2038 | 1,184 | |
2039-2043 | 259 | |
2044-2047 | 300 | |
Total | $ 6,694 |
Outstanding Exposure - Narrativ
Outstanding Exposure - Narrative (Details) - USD ($) $ in Millions | Jun. 05, 2019 | May 09, 2019 | Feb. 12, 2019 | Sep. 30, 2019 | Sep. 27, 2019 | Jun. 27, 2019 | Jun. 16, 2019 | Feb. 19, 2019 | Jan. 14, 2019 | Dec. 31, 2018 |
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Second-to-pay insured par outstanding | $ 6,400 | $ 6,700 | ||||||||
Loss mitigation securities | 1,500 | 1,900 | ||||||||
Total net exposure | 229,375 | 241,802 | ||||||||
Structured Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 9,978 | 11,137 | ||||||||
Public Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 219,397 | 230,665 | ||||||||
Aircraft residual value insurance (RVI) [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Exposure | $ 243 | 218 | ||||||||
BIG [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Maximum period of liquidity claims (in years) | 1 year | |||||||||
Total net exposure | $ 8,515 | 10,160 | ||||||||
BIG [Member] | Structured Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 1,892 | 2,731 | ||||||||
BIG [Member] | Public Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 6,623 | 7,429 | ||||||||
AAA [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 4,337 | 4,618 | ||||||||
United States [Member] | RMBS [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 3,687 | 4,270 | ||||||||
United States [Member] | Structured Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 9,226 | 9,944 | ||||||||
United States [Member] | Public Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 176,515 | 186,562 | ||||||||
United States [Member] | BIG [Member] | RMBS [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 1,666 | 2,387 | ||||||||
United States [Member] | BIG [Member] | Structured Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 1,851 | 2,632 | ||||||||
United States [Member] | BIG [Member] | Public Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 5,760 | 6,388 | ||||||||
United States [Member] | AAA [Member] | Structured Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 1,345 | 1,533 | ||||||||
United States [Member] | AAA [Member] | Public Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 384 | 413 | ||||||||
Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 4,270 | 4,767 | ||||||||
Puerto Rico [Member] | COFINA Exchange Senior Bonds [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Plan of Adjustment, closed lien senior bonds received, initial par value | $ 152 | |||||||||
Plan of adjustment closed lien senior bonds received, fair value | $ 139 | |||||||||
Puerto Rico [Member] | BIG [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 4,300 | |||||||||
U.S. Virgin Islands [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 494 | |||||||||
U.S. Virgin Islands [Member] | BIG [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 220 | |||||||||
U.S. Virgin Islands [Member] | Internal Investment Grade [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 274 | |||||||||
Commitment to Provide Guarantees [Member] | Structured Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Outstanding commitments to provide guaranties | 500 | |||||||||
Commitment to Provide Guarantees [Member] | Public Finance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Outstanding commitments to provide guaranties | $ 983 | |||||||||
Minimum [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Probability of paying more claims than being reimbursed (as a percent) | 50.00% | |||||||||
Maximum [Member] | Capital relieve triple-X life insurance [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Net Exposure | $ 1,000 | |||||||||
Commonwealth of Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Certified fiscal plan, commonwealth debt service, period | 6 years | |||||||||
PRHTA (Highway revenue) [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Obligations secured by taxes on crude oil, unfinished oil and derivative products | 120 | |||||||||
PRHTA [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Certified fiscal plan, commonwealth debt service, period | 6 years | |||||||||
Constitutionally Guaranteed [Member] | Commonwealth of Puerto Rico [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 1,253 | 1,340 | ||||||||
Fiscal plan, commonwealth general obligation bonds, litigation amount | $ 35,000 | $ 35,000 | ||||||||
Vintage GO bondholders, expected receivable of outstanding claims, percent | 64.30% | |||||||||
Vintage GO bondholders, additional expected receivable of outstanding claims, percent | 25.10% | |||||||||
Expected receivable of outstanding claims, additional amount from Commonwealth if it outperforms fiscal plan, percent | 16.80% | |||||||||
Fiscal plan, commonwealth surplus available for debt service | $ 13,700 | |||||||||
General Obligation Plan Support Agreement, Outstanding Principal Amount, Net | $ 3,000 | |||||||||
Constitutionally Guaranteed [Member] | Commonwealth of Puerto Rico [Member] | General Obligations Bonds Issues On or After March 2012 [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Fiscal plan, commonwealth general obligation bonds, litigation amount | $ 6,000 | |||||||||
Fiscal plan, commonwealth surplus available for debt service | 369 | |||||||||
Constitutionally Guaranteed [Member] | Commonwealth of Puerto Rico [Member] | General Obligations Bonds Issued in or after 2011 [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Fiscal plan, commonwealth surplus available for debt service | 215 | |||||||||
Constitutionally Guaranteed [Member] | Commonwealth of Puerto Rico [Member] | Maximum [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Vintage GO bondholders, additional expected receivable of outstanding claims, percent | 89.40% | |||||||||
Constitutionally Guaranteed [Member] | COFINA (Puerto Rico Sales Tax Financing Corporation) [Member] | Puerto Rico [Member] | Subordinated Bonds [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Expected repayments of debt, percent | 60.00% | |||||||||
Constitutionally Guaranteed [Member] | Puerto Rico Public Buildings Authority [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 140 | 142 | ||||||||
Vintage GO bondholders, expected receivable of outstanding claims, percent | 72.60% | |||||||||
Constitutionally Guaranteed [Member] | Puerto Rico Public Buildings Authority [Member] | Maximum [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Vintage GO bondholders, additional expected receivable of outstanding claims, percent | 89.40% | |||||||||
Other Public Corporations [Member] | PRASA (Puerto Rico Aqueduct and Sewer Authority) [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | $ 373 | 373 | ||||||||
Minimum period in forbearance | 3 years | |||||||||
Debt instrument, term | 40 years | |||||||||
Non-interest accrual period | 10 years | |||||||||
Other Public Corporations [Member] | MFA [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | $ 248 | 303 | ||||||||
Other Public Corporations [Member] | COFINA (Puerto Rico Sales Tax Financing Corporation) [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 0 | |||||||||
Other Public Corporations [Member] | COFINA (Puerto Rico Sales Tax Financing Corporation) [Member] | Puerto Rico [Member] | Closed Lien Senior Bonds [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | $ 273 | |||||||||
Other Public Corporations [Member] | PREPA [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Total net exposure | 822 | 848 | ||||||||
Fiscal plan, commonwealth contractual debt service restructuring, minimum bondholder support threshold, percent | 67.00% | |||||||||
Pension Obligations [Member] | Commonwealth of Puerto Rico [Member] | Puerto Rico [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Fiscal plan, commonwealth general obligation bonds, litigation amount | $ 50,000 | |||||||||
External Credit Rating, Non Investment Grade [Member] | Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | ||||||||||
Schedule of Insured Financial Obligations [Line Items] | ||||||||||
Second-to-pay insured par outstanding | $ 106 | $ 111 |
Outstanding Exposure Outstandin
Outstanding Exposure Outstanding Exposure - Schedule of Non-Financial Guaranty Exposure (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Life Insurance Transaction [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | $ 1,014 | $ 880 |
Net Exposure | 872 | 763 |
Aircraft residual value insurance policies [Member] | ||
Schedule of Insured Financial Obligations [Line Items] | ||
Gross Exposure | 376 | 340 |
Net Exposure | $ 243 | $ 218 |
Expected Loss to be Paid - Net
Expected Loss to be Paid - Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Rollforward (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
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 for R&W | $ 960 | $ 1,432 | $ 1,183 | $ 1,303 | |
Economic Loss Development / (Benefit) | 25 | 0 | (14) | (5) | |
Accretion of discount | 5 | 10 | 19 | 27 | |
Changes in discount rates | 1 | (9) | (4) | (15) | |
Changes in timing and assumptions | 19 | (1) | (29) | (17) | |
(Paid) Recovered Losses | (267) | (241) | (451) | (238) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 718 | 1,191 | $ 718 | 1,191 | |
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 | 7 | 6 | $ 23 | 17 | |
Expected LAE to be paid | 34 | 34 | $ 31 | ||
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 for R&W | 772 | 1,082 | 864 | 1,203 | |
Economic Loss Development / (Benefit) | 55 | 39 | 200 | 50 | |
(Paid) Recovered Losses | (279) | (251) | (516) | (384) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 548 | 870 | 548 | 870 | |
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 for R&W | 749 | 1,041 | 832 | 1,157 | |
Economic Loss Development / (Benefit) | 50 | 42 | 204 | 59 | |
(Paid) Recovered Losses | (279) | (251) | (516) | (384) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 520 | 832 | 520 | 832 | |
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 for R&W | 23 | 41 | 32 | 46 | |
Economic Loss Development / (Benefit) | 5 | (3) | (4) | (9) | |
(Paid) Recovered Losses | 0 | 0 | 0 | 0 | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 28 | 38 | 28 | 38 | |
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 for R&W | 162 | 326 | 293 | 73 | |
Economic Loss Development / (Benefit) | (40) | (40) | (223) | (52) | |
(Paid) Recovered Losses | 13 | 17 | 65 | 152 | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 135 | 303 | 135 | 303 | |
RMBS [Member] | First Lien [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 243 | ||||
Economic Loss Development / (Benefit) | 27 | 13 | 77 | (4) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 164 | 164 | |||
RMBS [Member] | Second Lien [Member] | United States [Member] | |||||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | |||||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 50 | ||||
Economic Loss Development / (Benefit) | 13 | 27 | 146 | 56 | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 29 | 29 | |||
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 for R&W | 26 | 24 | 26 | 27 | |
Economic Loss Development / (Benefit) | 10 | 1 | 9 | (3) | |
(Paid) Recovered Losses | (1) | (7) | 0 | (6) | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 35 | 18 | 35 | 18 | |
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 for R&W | 188 | 350 | 319 | 100 | |
Economic Loss Development / (Benefit) | (30) | (39) | (214) | (55) | |
(Paid) Recovered Losses | 12 | 10 | 65 | 146 | |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 170 | 321 | 170 | $ 321 | |
Reinsurance of SGI Insured Portfolio [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 for R&W | $ 0 | $ 0 | $ 0 |
Expected Loss to be Paid - Narr
Expected Loss to be Paid - Narrative Net Expected Recoveries from Breaches of R&W (Details) - RMBS [Member] - United States [Member] - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2019 | Dec. 31, 2018 | |
Schedule of Expected Losses to be Paid [Line Items] | ||
Future net R&W benefit | $ 60 | $ 5 |
Second Lien [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Period from plateau to intermediate conditional default rate (in months) | 28 months | |
Second Lien [Member] | Most Stressful [Member] | ||
Schedule of Expected Losses to be Paid [Line Items] | ||
Period from plateau to intermediate conditional default rate (in months) | 31 months |
Expected Loss to be Paid - Ne_2
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 | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Jun. 30, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | |
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | $ 718 | $ 1,191 | $ 718 | $ 1,191 | $ 960 | $ 1,183 | $ 1,432 | $ 1,303 |
Economic loss development after recoveries for R&W | 25 | 0 | (14) | (5) | ||||
Public Finance [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 548 | 870 | 548 | 870 | 772 | 864 | 1,082 | 1,203 |
Economic loss development after recoveries for R&W | 55 | 39 | 200 | 50 | ||||
Public Finance [Member] | United States [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 520 | 832 | 520 | 832 | 749 | 832 | 1,041 | 1,157 |
Economic loss development after recoveries for R&W | 50 | 42 | 204 | 59 | ||||
Public Finance [Member] | Non United States [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 28 | 28 | 32 | |||||
Economic loss development after recoveries for R&W | (4) | |||||||
RMBS [Member] | United States [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 135 | 303 | 135 | 303 | 162 | 293 | 326 | 73 |
Economic loss development after recoveries for R&W | (40) | (40) | (223) | (52) | ||||
RMBS [Member] | First Lien [Member] | United States [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 164 | 164 | 243 | |||||
Economic loss development after recoveries for R&W | 27 | 13 | 77 | (4) | ||||
RMBS [Member] | Second Lien [Member] | United States [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 29 | 29 | 50 | |||||
Economic loss development after recoveries for R&W | 13 | 27 | 146 | 56 | ||||
Other structured finance [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 35 | 18 | 35 | 18 | 26 | 26 | 24 | 27 |
Economic loss development after recoveries for R&W | 10 | 1 | 9 | (3) | ||||
Structured Finance [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 170 | 321 | 170 | 321 | $ 188 | 319 | $ 350 | $ 100 |
Economic loss development after recoveries for R&W | (30) | (39) | (214) | (55) | ||||
Insurance Contracts [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 662 | 662 | 1,110 | |||||
Economic loss development after recoveries for R&W | 17 | 1 | 5 | (9) | ||||
FG VIEs and other [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | 61 | 61 | 75 | |||||
Economic loss development after recoveries for R&W | (2) | (3) | (26) | (7) | ||||
Credit derivatives [Member] | ||||||||
Schedule of Expected Losses to be Paid [Line Items] | ||||||||
Net expected loss to be paid after recoveries for R&W | (5) | (5) | $ (2) | |||||
Economic loss development after recoveries for R&W | $ 10 | $ 2 | $ 7 | $ 11 |
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) - scenario | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2019 | Dec. 31, 2018 | Jun. 30, 2019 | |
Financing Receivable, Delinquent/Modified in Previous 12 Months [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 20.00% | 20.00% | 20.00% |
Financing Receivable, Delinquent/Modified in Previous 12 Months [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 20.00% | 20.00% | 20.00% |
Financing Receivable, Delinquent/Modified in Previous 12 Months [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 20.00% | 20.00% | 20.00% |
Financial Asset, 30 to 59 Days Past Due [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 35.00% | 40.00% | 40.00% |
Financial Asset, 30 to 59 Days Past Due [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 30.00% | 30.00% | 30.00% |
Financial Asset, 30 to 59 Days Past Due [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 35.00% | 35.00% | 35.00% |
Financial Asset, 60 to 89 Days Past Due [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 45.00% | 45.00% | 45.00% |
Financial Asset, 60 to 89 Days Past Due [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 40.00% | 40.00% | 40.00% |
Financial Asset, 60 to 89 Days Past Due [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 45.00% | 45.00% | 45.00% |
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 50.00% | 50.00% | 55.00% |
Financial Asset, Equal to or 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% | 50.00% | 50.00% |
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 55.00% | 55.00% | 55.00% |
Financing Receivables, Bankruptcy [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 40.00% | 40.00% | 40.00% |
Financing 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 Receivable, Foreclosure [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 60.00% | 60.00% | 60.00% |
Financing Receivable, Foreclosure [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 65.00% | 60.00% | 60.00% |
Financing Receivable, Foreclosure [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 65.00% | 65.00% | 65.00% |
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 and Prime [Member] | 2005 and prior [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 60.00% | 60.00% | 60.00% |
United States [Member] | Alt-A and Prime [Member] | 2006 [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 70.00% | 70.00% | 70.00% |
United States [Member] | Alt-A and Prime [Member] | 2007 [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 70.00% | 70.00% | 70.00% |
United States [Member] | Alt-A and Prime [Member] | Minimum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 0.50% | 1.20% | 0.00% |
Final CDR | 0.00% | 0.10% | 0.00% |
United States [Member] | Alt-A and Prime [Member] | Maximum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 10.50% | 11.40% | 9.50% |
Final CDR | 0.50% | 0.60% | 0.50% |
United States [Member] | Alt-A and Prime [Member] | Weighted Average [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 4.10% | 4.60% | 4.00% |
Final CDR | 0.20% | 0.20% | 0.20% |
United States [Member] | Option ARM [Member] | 2005 and prior [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 60.00% | 60.00% | 60.00% |
United States [Member] | Option ARM [Member] | 2006 [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 60.00% | 60.00% | 60.00% |
United States [Member] | Option ARM [Member] | 2007 [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 70.00% | 70.00% | 70.00% |
United States [Member] | Option ARM [Member] | Minimum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 2.00% | 1.80% | 2.40% |
Final CDR | 0.10% | 0.10% | 0.10% |
United States [Member] | Option ARM [Member] | Maximum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 8.40% | 8.30% | 7.90% |
Final CDR | 0.40% | 0.40% | 0.40% |
United States [Member] | Option ARM [Member] | Weighted Average [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 5.60% | 5.60% | 5.50% |
Final CDR | 0.30% | 0.30% | 0.30% |
United States [Member] | Subprime [Member] | 2005 and prior [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 80.00% | 80.00% | 80.00% |
United States [Member] | Subprime [Member] | 2006 [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 75.00% | 75.00% | 75.00% |
United States [Member] | Subprime [Member] | 2007 [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Initial loss severity | 85.00% | 95.00% | 95.00% |
United States [Member] | Subprime [Member] | Minimum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 1.50% | 1.80% | 2.50% |
Final CDR | 0.10% | 0.10% | 0.10% |
United States [Member] | Subprime [Member] | Maximum [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 20.20% | 23.20% | 22.80% |
Final CDR | 1.00% | 1.20% | 1.10% |
United States [Member] | Subprime [Member] | Weighted Average [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 5.60% | 6.20% | 6.00% |
Final CDR | 0.30% | 0.30% | 0.30% |
First Lien [Member] | United States [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Projected loss assumptions, Final CPR, Period for voluntary prepayments to continue | 12 months | ||
Number of scenarios weighted in estimating expected losses | 5 | 5 | |
Base Scenario [Member] | First Lien [Member] | United States [Member] | RMBS [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Projected loss assumptions, Final CPR, Period for voluntary prepayments to continue | 3 years 9 months | ||
Final CPR | 15.00% | 15.00% | 15.00% |
Expected Loss to be Paid - Key
Expected Loss to be Paid - Key Assumptions in Base Case Expected Loss Second Lien RMBS (Details) - scenario | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2019 | Dec. 31, 2018 | Jun. 30, 2019 | |
RMBS [Member] | United States [Member] | Option ARM [Member] | Minimum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 2.00% | 1.80% | 2.40% |
Final CDR | 0.10% | 0.10% | 0.10% |
RMBS [Member] | United States [Member] | Option ARM [Member] | Maximum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 8.40% | 8.30% | 7.90% |
Final CDR | 0.40% | 0.40% | 0.40% |
RMBS [Member] | United States [Member] | Option ARM [Member] | Weighted Average [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 5.60% | 5.60% | 5.50% |
Final CDR | 0.30% | 0.30% | 0.30% |
RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | Minimum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 0.50% | 1.20% | 0.00% |
Final CDR | 0.00% | 0.10% | 0.00% |
RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | Maximum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 10.50% | 11.40% | 9.50% |
Final CDR | 0.50% | 0.60% | 0.50% |
RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | Weighted Average [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 4.10% | 4.60% | 4.00% |
Final CDR | 0.20% | 0.20% | 0.20% |
RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 98.00% | 98.00% | 98.00% |
RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | Minimum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Final CPR | 2.50% | ||
Plateau CDR | 4.80% | 4.60% | 4.60% |
Final CDR | 2.50% | 2.50% | 2.50% |
RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | Maximum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 20.70% | 26.80% | 23.50% |
Final CDR | 3.20% | 3.20% | 3.20% |
RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | Weighted Average [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 9.10% | 10.10% | 9.20% |
Final CDR | 2.50% | 2.50% | 2.50% |
RMBS [Member] | United States [Member] | Subprime [Member] | Minimum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 1.50% | 1.80% | 2.50% |
Final CDR | 0.10% | 0.10% | 0.10% |
RMBS [Member] | United States [Member] | Subprime [Member] | Maximum [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 20.20% | 23.20% | 22.80% |
Final CDR | 1.00% | 1.20% | 1.10% |
RMBS [Member] | United States [Member] | Subprime [Member] | Weighted Average [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Plateau CDR | 5.60% | 6.20% | 6.00% |
Final CDR | 0.30% | 0.30% | 0.30% |
Financing Receivable, Delinquent/Modified in Previous 12 Months [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 20.00% | 20.00% | 20.00% |
Financing Receivable, Delinquent/Modified in Previous 12 Months [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation rate | 20.00% | 20.00% | 20.00% |
Financial Asset, 30 to 59 Days Past Due [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 30.00% | 30.00% | 30.00% |
Financial Asset, 30 to 59 Days Past Due [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation rate | 35.00% | 35.00% | 30.00% |
Financial Asset, 60 to 89 Days Past Due [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 40.00% | 40.00% | 40.00% |
Financial Asset, 60 to 89 Days Past Due [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation rate | 45.00% | 50.00% | 45.00% |
Financial Asset, Equal to or 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% | 50.00% | 50.00% |
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation rate | 65.00% | 70.00% | 65.00% |
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] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation rate | 55.00% | 55.00% | 55.00% |
Financing Receivable, Foreclosure [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 65.00% | 60.00% | 60.00% |
Financing Receivable, Foreclosure [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation rate | 55.00% | 65.00% | 60.00% |
Financing Receivable, Real Estate Owned [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation Rate | 100.00% | 100.00% | 100.00% |
Financing Receivable, Real Estate Owned [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Liquidation rate | 100.00% | 100.00% | 100.00% |
Second Lien [Member] | RMBS [Member] | United States [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss recovery assumption (as a percent) | 2.00% | 2.00% | |
Number of scenarios weighted in estimating expected losses | 5 | ||
Second Lien [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit and Closed-end Mortgage [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Final CPR | 15.00% | 15.00% | 15.00% |
First Lien [Member] | RMBS [Member] | United States [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Number of scenarios weighted in estimating expected losses | 5 | 5 | |
Projected loss assumptions, Final CPR, Period for voluntary prepayments to continue | 12 months | ||
Base Scenario [Member] | First Lien [Member] | RMBS [Member] | United States [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Final CPR | 15.00% | 15.00% | 15.00% |
Projected loss assumptions, Final CPR, Period for voluntary prepayments to continue | 3 years 9 months | ||
2005 and prior [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 60.00% | 60.00% | 60.00% |
2005 and prior [Member] | RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 60.00% | 60.00% | 60.00% |
2005 and prior [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 80.00% | 80.00% | 80.00% |
2006 [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 60.00% | 60.00% | 60.00% |
2006 [Member] | RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 70.00% | 70.00% | 70.00% |
2006 [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 75.00% | 75.00% | 75.00% |
2007 [Member] | RMBS [Member] | United States [Member] | Option ARM [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 70.00% | 70.00% | 70.00% |
2007 [Member] | RMBS [Member] | United States [Member] | Alt-A and Prime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 70.00% | 70.00% | 70.00% |
2007 [Member] | RMBS [Member] | United States [Member] | Subprime [Member] | |||
Schedule of Expected Losses to be Paid [Line Items] | |||
Loss severity | 85.00% | 95.00% | 95.00% |
Expected Loss to be Paid - Na_2
Expected Loss to be Paid - Narrative (Details) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||||
Sep. 30, 2019USD ($) | Sep. 30, 2018USD ($) | Sep. 30, 2019USD ($)CurvePaymentscenario | Sep. 30, 2018USD ($) | Dec. 31, 2018USD ($)scenario | Jun. 30, 2019USD ($) | Jun. 30, 2018USD ($) | Dec. 31, 2017USD ($) | Nov. 26, 2012USD ($) | |
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) | 1.79% | 2.74% | |||||||
Total net exposure | $ 229,375 | $ 229,375 | $ 241,802 | ||||||
Net expected loss to be paid after recoveries for R&W | 718 | $ 1,191 | 718 | $ 1,191 | $ 1,183 | $ 960 | $ 1,432 | $ 1,303 | |
Economic loss development after recoveries for R&W | $ (25) | 0 | $ 14 | 5 | |||||
Additional loss recovery assumption | 20.00% | 20.00% | 10.00% | ||||||
Additional loss recovery assumption, recovery period | 5 years | ||||||||
Loss Recovery Assumption, Additional Increase in Recovery Projection, Percent | 30.00% | 30.00% | |||||||
Loss Recovery Assumption, Additional Increase in Recovery Projection, Economic Benefit | $ 61 | $ 61 | |||||||
Loss Recovery Assumption, Additional Decrease in Recovery Projection, Percent | 10.00% | 10.00% | |||||||
Loss Recovery Assumption, Additional Decrease in Recovery Projection, Economic Loss | $ 61 | $ 61 | |||||||
Minimum [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Risk free discount rate | 0.00% | 0.00% | |||||||
Maximum [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Risk free discount rate | 2.20% | 3.06% | |||||||
Puerto Rico [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 4,270 | $ 4,270 | $ 4,767 | ||||||
Non United States [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Net expected loss to be paid after recoveries for representations and warranties, percent | 4.00% | 2.70% | |||||||
RMBS [Member] | United States [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 3,687 | $ 3,687 | $ 4,270 | ||||||
Net expected loss to be paid after recoveries for R&W | 135 | 303 | 135 | 303 | 293 | 162 | 326 | 73 | |
Economic loss development after recoveries for R&W | 40 | 40 | 223 | 52 | |||||
Future net R&W benefit | $ 60 | $ 60 | 5 | ||||||
RMBS [Member] | United States [Member] | Minimum [Member] | HELOCs [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Final CPR | 2.50% | 2.50% | |||||||
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 | ||||||||
Extended period for which borrow can pay only interest payments | 5 years | ||||||||
Other structured finance [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | $ 5,068 | $ 5,068 | 5,683 | ||||||
Net expected loss to be paid after recoveries for R&W | 35 | 18 | 35 | 18 | 26 | 26 | 24 | 27 | |
Economic loss development after recoveries for R&W | (10) | (1) | (9) | 3 | |||||
Public Finance [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 219,397 | 219,397 | 230,665 | ||||||
Net expected loss to be paid after recoveries for R&W | 548 | 870 | 548 | 870 | 864 | 772 | 1,082 | 1,203 | |
Economic loss development after recoveries for R&W | (55) | (39) | (200) | (50) | |||||
Public Finance [Member] | United States [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 176,515 | 176,515 | 186,562 | ||||||
Net expected loss to be paid after recoveries for R&W | 520 | 832 | 520 | 832 | 832 | $ 749 | $ 1,041 | $ 1,157 | |
Net expected credit for estimated future recoveries of claims paid | 842 | 842 | 586 | ||||||
Economic loss development after recoveries for R&W | (50) | (42) | (204) | (59) | |||||
Public Finance [Member] | Non United States [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 42,882 | 42,882 | 44,103 | ||||||
Net expected loss to be paid after recoveries for R&W | 28 | 28 | 32 | ||||||
Economic loss development after recoveries for R&W | 4 | ||||||||
Public Finance Stockton Pension Oblgiation Bonds [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 107 | 107 | |||||||
BIG [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 8,515 | 8,515 | 10,160 | ||||||
BIG [Member] | Puerto Rico [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 4,300 | 4,300 | |||||||
BIG [Member] | RMBS [Member] | United States [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 1,666 | 1,666 | 2,387 | ||||||
BIG [Member] | Other structured finance [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 186 | 186 | 259 | ||||||
BIG [Member] | Life Insurance Transaction [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 40 | 40 | |||||||
BIG [Member] | Student Loan [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 87 | 87 | |||||||
BIG [Member] | Public Finance [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 6,623 | 6,623 | 7,429 | ||||||
BIG [Member] | Public Finance [Member] | United States [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 5,760 | 5,760 | 6,388 | ||||||
BIG [Member] | Public Finance [Member] | Non United States [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | 863 | 863 | 1,041 | ||||||
First Lien [Member] | RMBS [Member] | United States [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | 164 | 164 | $ 243 | ||||||
Economic loss development after recoveries for R&W | $ (27) | (13) | $ (77) | 4 | |||||
Number of delinquent payments | Payment | 2 | ||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | ||||||||
Projected loss assumptions, Final CPR, Period for voluntary prepayments to continue | 12 months | ||||||||
Intermediate conditional default rate (as a percent) | 5.00% | 5.00% | |||||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | 5 | |||||||
First Lien [Member] | Base Scenario [Member] | RMBS [Member] | United States [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Projected loss assumptions, CDR, plateau rate, projection period | 36 months | ||||||||
Performing or projected to reperform, projection period | 36 months | ||||||||
Period from plateau to intermediate conditional default rate (in months) | 12 months | ||||||||
Period of constant intermediate conditional default rate (in months) | 36 months | ||||||||
Intermediate conditional default rate as a percentage of plateau conditional default rate | 20.00% | ||||||||
Final conditional default rate as a percentage of plateau conditional default rate | 5.00% | ||||||||
Projected loss assumptions, Final CPR, Period for voluntary prepayments to continue | 3 years 9 months | ||||||||
Default from delinquentor rate, term | 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% | 40.00% | |||||||
Projected loss assumptions, period to reach final loss severity rate | 2 years 6 months | ||||||||
Final CPR | 15.00% | 15.00% | 15.00% | 15.00% | |||||
First Lien [Member] | More Stressful Environment [Member] | 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 | ||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 49 | ||||||||
First Lien [Member] | Least Stressful Environment [Member] | 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 | ||||||||
Projected loss assumptions, increase (decrease) in expected loss to be paid, net | $ 44 | ||||||||
Decrease in the plateau period used to calculate potential change in loss estimate (in months) | 6 months | ||||||||
Second Lien [Member] | RMBS [Member] | United States [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | $ 29 | $ 29 | $ 50 | ||||||
Economic loss development after recoveries for R&W | $ (13) | (27) | $ (146) | (56) | |||||
Period from plateau to intermediate conditional default rate (in months) | 28 months | ||||||||
Number of scenarios weighted in estimating expected losses | scenario | 5 | ||||||||
Period of loan default estimate | 6 months | ||||||||
Number of preceding months average liquidation rates used to estimate loan default rate | 6 months | ||||||||
Projected loss assumptions, period of consistent conditional default rate | 6 months | ||||||||
Stress period (in months) | 34 months | ||||||||
Loss recovery assumption (as a percent) | 2.00% | 2.00% | 2.00% | ||||||
Number of conditional default rate curves modeled in estimating losses | Curve | 5 | ||||||||
Monthly delinquency threshold | 6 months | ||||||||
Second Lien [Member] | RMBS [Member] | United States [Member] | Home Equity Line of Credit and Closed-end Mortgage [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Final CPR | 15.00% | 15.00% | 15.00% | 15.00% | |||||
Second Lien [Member] | Base Scenario [Member] | RMBS [Member] | United States [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Stress period (in months) | 34 months | ||||||||
Second Lien [Member] | Most Stressful [Member] | 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] | Most Stressful [Member] | RMBS [Member] | United States [Member] | HELOCs [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Change in estimate for increased conditional default rate plateau period | $ 6 | ||||||||
Second Lien [Member] | Lease Stressful [Member] | 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 | ||||||||
Change in estimate for decreased prepayment rate, Percent | 10.00% | ||||||||
Decreased conditional default rate ramp down period | 25 months | ||||||||
Second Lien [Member] | Lease Stressful [Member] | RMBS [Member] | United States [Member] | HELOCs [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Change in estimate for decreased conditional default rate ramp down period | $ 7 | ||||||||
Southern District of Mississippi Vs Madison County, Mississippi [Member] | Parkway East [Member] | Public Finance [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Total net exposure | $ 18 | ||||||||
Second Lien [Member] | 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 | ||||||||
Period of constant conditional default rate (in months) | 6 months | ||||||||
Credit derivatives [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | $ (5) | $ (5) | $ (2) | ||||||
Economic loss development after recoveries for R&W | $ (10) | $ (2) | $ (7) | $ (11) | |||||
ACA 2005-2 Collateralized Debt Obligations [Member] | CIFG Holding Inc. [Member] | Total [Member] | Credit derivatives [Member] | CIFG Holdings Inc. vs JP Morgan Securities LLC [Member] | RMBS [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | $ 400 | ||||||||
Libertas II Collateralized Debt Obligations [Member] | CIFG Holding Inc. [Member] | Total [Member] | Credit derivatives [Member] | CIFG Holdings Inc. vs JP Morgan Securities LLC [Member] | RMBS [Member] | |||||||||
Schedule of Expected Losses to be Paid [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | $ 325 |
Expected Loss to be Paid Expect
Expected Loss to be Paid Expected Loss to be Paid - Net Economic Loss Development (Benefit) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Schedule of Expected Losses to be Paid [Line Items] | ||||
Economic loss development after recoveries for R&W | $ 25 | $ 0 | $ (14) | $ (5) |
RMBS [Member] | United States [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Economic loss development after recoveries for R&W | (40) | (40) | (223) | (52) |
RMBS [Member] | United States [Member] | First Lien [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Economic loss development after recoveries for R&W | 27 | 13 | 77 | (4) |
RMBS [Member] | United States [Member] | Second Lien [Member] | ||||
Schedule of Expected Losses to be Paid [Line Items] | ||||
Economic loss development after recoveries for R&W | $ 13 | $ 27 | $ 146 | $ 56 |
Contracts Accounted for as In_3
Contracts Accounted for as Insurance - Narrative (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Guarantor Obligations [Line Items] | ||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 1.80% | 2.74% |
Minimum [Member] | ||
Guarantor Obligations [Line Items] | ||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 0.00% | 0.00% |
Maximum [Member] | ||
Guarantor Obligations [Line Items] | ||
Weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations | 2.20% | 3.06% |
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 | 73.00% | 72.00% |
Contracts Accounted for as In_4
Contracts Accounted for as Insurance - Net Earned Premiums (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Financial Guarantee Insurance Premiums [Line Items] | ||||
Scheduled net earned premiums | $ 81 | $ 95 | $ 253 | $ 275 |
Accelerations from refundings and terminations | 37 | 40 | 83 | 131 |
Accretion of discount on net premiums receivable | 4 | 6 | 13 | 14 |
Financial guaranty insurance net earned premiums | 122 | 141 | 349 | 420 |
Non-financial guaranty net earned premiums | 1 | 1 | 4 | 3 |
Net | 123 | 142 | 353 | 423 |
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Net | $ 2 | $ 3 | $ 16 | $ 9 |
Contracts Accounted for as In_5
Contracts Accounted for as Insurance - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2019 | Sep. 30, 2018 | |
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | ||
Beginning balance | $ 904 | $ 915 |
Less: Non-financial guaranty insurance premium receivable | 1 | 1 |
Financial guaranty insurance premiums receivable | 903 | 914 |
Gross written premiums on new business, net of commissions | 164 | 508 |
Gross premiums received, net of commissions | (198) | (477) |
Adjustments: | ||
Changes in the expected term | (10) | (2) |
Accretion of discount, net of commissions on assumed business | 8 | 5 |
Foreign exchange translation and remeasurement | (24) | (23) |
Cancellation of assumed reinsurance | 0 | (10) |
FG insurance premiums receivable | 843 | 915 |
Non-financial guaranty insurance premium receivable | 1 | 1 |
Ending balance | 844 | 916 |
Foreign Currency Gain (Loss) [Member] | ||
Adjustments: | ||
Foreign exchange translation and remeasurement | (24) | (21) |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Adjustments: | ||
Ending balance | $ 7 | 9 |
Reinsurance of SGI Insured Portfolio [Member] | ||
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | ||
Gross written premiums on new business, net of commissions | $ 330 |
Contracts Accounted for as In_6
Contracts Accounted for as Insurance - Expected Collections of Gross Premiums Receivable Net of Commissions on Assumed Business (Details) $ in Millions | Sep. 30, 2019USD ($) |
Financial Guarantee Insurance Product Line [Member] | |
Financial Guarantee Insurance Premiums [Line Items] | |
2019 (October 1 - December 31) | $ 29 |
2020 | 102 |
2021 | 77 |
2022 | 78 |
2023 | 65 |
2024-2028 | 275 |
2029-2033 | 182 |
2034-2038 | 97 |
After 2038 | 104 |
Total | 1,009 |
Variable Interest Entity, Primary Beneficiary [Member] | |
Financial Guarantee Insurance Premiums [Line Items] | |
Cash collections on FG VIEs | $ 9 |
Contracts Accounted for as In_7
Contracts Accounted for as Insurance - Scheduled Net Earned Premiums Insurance Contracts (Details) $ in Millions | Sep. 30, 2019USD ($) |
Financial Guarantee Insurance Product Line [Member] | |
Financial Guarantee Insurance Premiums [Line Items] | |
2019 (October 1 - December 31) | $ 79 |
2020 | 301 |
2021 | 275 |
2022 | 252 |
2023 | 231 |
2024-2028 | 908 |
2029-2033 | 620 |
2034-2038 | 356 |
After 2038 | 319 |
Deferred premium revenue, net | 3,341 |
Future accretion | 165 |
Total future net earned premiums | 3,506 |
Variable Interest Entity, Primary Beneficiary [Member] | |
Financial Guarantee Insurance Premiums [Line Items] | |
Deferred premium revenue, net | $ 48 |
Contracts Accounted for as In_8
Contracts Accounted for as Insurance - Selected Information for Policies Paid In Installments (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Dec. 31, 2017 | |
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commission payable | $ 844 | $ 904 | $ 916 | $ 915 |
Financial Guarantee Policies Paid in Installments [Member] | ||||
Financial Guarantee Insurance Premiums [Line Items] | ||||
Premiums receivable, net of commission payable | 843 | 903 | ||
Gross deferred premium revenue | $ 1,237 | $ 1,313 | ||
Weighted-average risk-free rate used to discount premiums | 2.20% | 2.30% | ||
Weighted-average period of premiums receivable (in years) | 9 years 1 month 6 days | 9 years 1 month 6 days |
Contracts Accounted for as In_9
Contracts Accounted for as Insurance - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | $ 272 | $ 674 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | 36 | 47 |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | 331 | 626 |
Other structured finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | 38 | 30 |
Structured Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | (59) | 51 |
Financial Guarantee [Member] | Financial Guarantee Insurance And Other Product Line [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | 272 | 677 |
Other [Member] | Financial Guarantee Insurance And Other Product Line [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | 0 | (3) |
United States [Member] | Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | 326 | 612 |
United States [Member] | RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | (97) | 21 |
Non United States [Member] | Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | ||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||
Net Reserve (Recoverable) | $ 5 | $ 14 |
Contracts Accounted for as I_10
Contracts Accounted for as Insurance - Components of Net Reserves (Salvage) Insurance Contracts (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Insurance [Abstract] | ||
Loss and LAE reserve | $ 1,007 | $ 1,177 |
Reinsurance recoverable on unpaid losses | (36) | (34) |
Loss and LAE reserve, net | 971 | 1,143 |
Salvage and subrogation recoverable | (725) | (490) |
Salvage and subrogation payable | 26 | 24 |
Other payable (recoverable) | 0 | (3) |
Salvage and subrogation recoverable, net, and other recoverable | (699) | (469) |
Net reserves (salvage) | $ 272 | $ 674 |
Contracts Accounted for as I_11
Contracts Accounted for as Insurance - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 |
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be paid - financial guaranty insurance | $ (718) | $ (960) | $ (1,183) | $ (1,191) | $ (1,432) | $ (1,303) |
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (971) | $ (1,143) | ||||
Net expected loss to be expensed | 448 | |||||
Variable Interest Entity, Primary Beneficiary [Member] | ||||||
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be expensed | 34 | |||||
Financial Guarantee Insurance And Other Product Line [Member] | ||||||
Guarantor Obligations [Line Items] | ||||||
Net expected loss to be paid - financial guaranty insurance | 661 | |||||
Contra-paid, net | 58 | |||||
Salvage and subrogation recoverable, net, and other recoverable | 699 | |||||
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (970) | |||||
Net expected loss to be expensed | $ 448 |
Contracts Accounted for as I_12
Contracts Accounted for as Insurance - Net Expected Loss to be Expensed Insurance Contracts (Details) $ in Millions | Sep. 30, 2019USD ($) |
Insurance [Abstract] | |
2019 (October 1 - December 31) | $ 9 |
2020 | 37 |
2021 | 36 |
2022 | 35 |
2023 | 31 |
2024-2028 | 147 |
2029-2033 | 99 |
2034-2038 | 45 |
After 2038 | 9 |
Net expected loss to be expensed | 448 |
Future accretion | 30 |
Total expected future loss and LAE | $ 478 |
Contracts Accounted for as I_13
Contracts Accounted for as Insurance - Loss and LAE Reported on the Statements of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | $ 30 | $ 17 | $ 75 | $ 43 |
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 3 | 3 | 18 | 0 |
Public Finance [Member] | 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 | 65 | 39 | 221 | 71 |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 64 | 42 | 228 | 76 |
Public Finance [Member] | Financial Guarantee Insurance And Other Product Line [Member] | Non United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | 1 | (3) | (7) | (5) |
RMBS [Member] | Financial Guarantee Insurance And Other Product Line [Member] | United States [Member] | ||||
Liability for Claims and Claims Adjustment Expense Including Salvage and Subrogation Recoverable [Line Items] | ||||
Loss and LAE | (35) | (21) | (150) | (17) |
Other structured finance [Member] | 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 | 0 | (1) | 4 | (11) |
Structured Finance [Member] | 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 | $ (35) | $ (22) | $ (146) | $ (28) |
Contracts Accounted for as I_14
Contracts Accounted for as Insurance - BIG Transaction Loss Summary (Details) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019USD ($)risk | Dec. 31, 2018USD ($)risk | |
Discount | ||
Total | $ (30) | |
Reserves (salvage) | ||
Total | $ 272 | $ 674 |
BIG [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 279 | 312 |
Remaining weighted average contract period | ||
Total (in years) | 9 years 10 months 24 days | 9 years 9 months 18 days |
Principal | ||
Total | $ 8,383 | $ 10,003 |
Interest | ||
Total | 4,220 | 4,949 |
Total net outstanding exposure | ||
Total | 12,603 | 14,952 |
Expected cash outflows (inflows) | ||
Total | 3,396 | 4,015 |
Potential recoveries | ||
Total | (2,705) | (2,818) |
Subtotal | ||
Total | 691 | 1,197 |
Discount | ||
Total | (30) | (88) |
Present value of expected cash flows | ||
Net expected loss to be paid | 661 | 1,109 |
Deferred premium revenue | ||
Total | 622 | 724 |
Reserves (salvage) | ||
Total | $ 271 | $ 673 |
BIG [Member] | BIG 1 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 119 | 128 |
Principal | ||
Total | $ 2,543 | $ 2,981 |
BIG [Member] | BIG 2 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 26 | 39 |
Principal | ||
Total | $ 547 | $ 932 |
BIG [Member] | BIG 3 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 134 | 145 |
Principal | ||
Total | $ 5,293 | $ 6,090 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 279 | 312 |
Remaining weighted average contract period | ||
Total (in years) | 9 years 10 months 24 days | 9 years 9 months 18 days |
Principal | ||
Total | $ 8,383 | $ 10,003 |
Interest | ||
Total | 4,220 | 4,949 |
Total net outstanding exposure | ||
Total | 12,603 | 14,952 |
Expected cash outflows (inflows) | ||
Total | 3,663 | 4,305 |
Potential recoveries | ||
Total | (2,895) | (3,010) |
Subtotal | ||
Total | 768 | 1,295 |
Discount | ||
Total | (46) | (111) |
Present value of expected cash flows | ||
Net expected loss to be paid | 722 | 1,184 |
Deferred premium revenue | ||
Total | 671 | 788 |
Reserves (salvage) | ||
Total | $ 307 | $ 720 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 1 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 119 | 128 |
Ceded (in contracts) | risk | (6) | (8) |
Remaining weighted average contract period | ||
Gross (in years) | 8 years 2 months 12 days | 7 years 10 months 24 days |
Ceded (in years) | 5 years 4 months 24 days | 6 years 6 months |
Principal | ||
Gross | $ 2,596 | $ 3,052 |
Ceded | (53) | (71) |
Interest | ||
Gross | 1,192 | 1,319 |
Ceded | (16) | (29) |
Total net outstanding exposure | ||
Gross | 3,788 | 4,371 |
Ceded | (69) | (100) |
Expected cash outflows (inflows) | ||
Gross | 110 | 98 |
Ceded | (3) | (5) |
Potential recoveries | ||
Gross | (567) | (465) |
Ceded | 21 | 23 |
Subtotal | ||
Gross | (457) | (367) |
Ceded | 18 | 18 |
Discount | ||
Gross | 69 | 83 |
Ceded | (4) | (5) |
Present value of expected cash flows | ||
Gross | (388) | (284) |
Ceded | 14 | 13 |
Deferred premium revenue | ||
Gross | 147 | 125 |
Ceded | (1) | (4) |
Reserves (salvage) | ||
Gross | (418) | (311) |
Ceded | $ 15 | $ 15 |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 2 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 26 | 39 |
Ceded (in contracts) | risk | 0 | (1) |
Remaining weighted average contract period | ||
Gross (in years) | 17 years 1 month 6 days | 13 years 2 months 12 days |
Ceded (in years) | 2 years 1 month 6 days | |
Principal | ||
Gross | $ 547 | $ 938 |
Ceded | 0 | (6) |
Interest | ||
Gross | 478 | 592 |
Ceded | 0 | (1) |
Total net outstanding exposure | ||
Gross | 1,025 | 1,530 |
Ceded | 0 | (7) |
Expected cash outflows (inflows) | ||
Gross | 124 | 264 |
Ceded | 0 | (1) |
Potential recoveries | ||
Gross | (51) | (81) |
Ceded | 0 | 0 |
Subtotal | ||
Gross | 73 | 183 |
Ceded | 0 | (1) |
Discount | ||
Gross | (13) | (53) |
Ceded | 0 | 0 |
Present value of expected cash flows | ||
Gross | 60 | 130 |
Ceded | 0 | (1) |
Deferred premium revenue | ||
Gross | 25 | 151 |
Ceded | 0 | 0 |
Reserves (salvage) | ||
Gross | 41 | 48 |
Ceded | $ 0 | $ (1) |
BIG [Member] | Consolidated Entity Excluding Variable Interest Entities (VIE) [Member] | BIG 3 [Member] | ||
Number of risks | ||
Total (in contracts) | risk | 134 | 145 |
Ceded (in contracts) | risk | (7) | (7) |
Remaining weighted average contract period | ||
Gross (in years) | 9 years 10 months 24 days | 10 years 1 month 6 days |
Ceded (in years) | 8 years 6 months | 9 years 1 month 6 days |
Principal | ||
Gross | $ 5,463 | $ 6,249 |
Ceded | (170) | (159) |
Interest | ||
Gross | 2,638 | 3,140 |
Ceded | (72) | (72) |
Total net outstanding exposure | ||
Gross | 8,101 | 9,389 |
Ceded | (242) | (231) |
Expected cash outflows (inflows) | ||
Gross | 3,550 | 4,029 |
Ceded | (118) | (80) |
Potential recoveries | ||
Gross | (2,393) | (2,542) |
Ceded | 95 | 55 |
Subtotal | ||
Gross | 1,157 | 1,487 |
Ceded | (23) | (25) |
Discount | ||
Gross | (92) | (134) |
Ceded | (6) | (2) |
Present value of expected cash flows | ||
Gross | 1,065 | 1,353 |
Ceded | (29) | (27) |
Deferred premium revenue | ||
Gross | 505 | 518 |
Ceded | (5) | (2) |
Reserves (salvage) | ||
Gross | 694 | 993 |
Ceded | (25) | (24) |
BIG [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Expected cash outflows (inflows) | ||
Total | (267) | (290) |
Potential recoveries | ||
Total | 190 | 192 |
Subtotal | ||
Total | (77) | (98) |
Discount | ||
Total | 16 | 23 |
Present value of expected cash flows | ||
Net expected loss to be paid | (61) | (75) |
Deferred premium revenue | ||
Total | (49) | (64) |
Reserves (salvage) | ||
Total | $ (36) | $ (47) |
Fair Value Measurement - Narrat
Fair Value Measurement - Narrative (Details) | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2019USD ($)Security | Sep. 30, 2018USD ($) | Sep. 30, 2019USD ($)Security | Sep. 30, 2018USD ($) | Dec. 31, 2018 | Apr. 08, 2005USD ($)Trust | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||||||
Percentage of CDS contracts which are fair valued using minimum premium | 17.00% | |||||
Recurring [Member] | Level 3 [Member] | ||||||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||||||
Number of fixed maturity securities valued using model processes | Security | 133 | 133 | ||||
Fixed maturity securities | $ 1,135,000,000 | $ 1,135,000,000 | ||||
Measurement Input, Default Rate [Member] | Total [Member] | Recurring [Member] | Level 3 [Member] | Minimum [Member] | ||||||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||||||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 1.50% | 2.47% | ||||
Measurement Input, Default Rate [Member] | Total [Member] | Recurring [Member] | Level 3 [Member] | Maximum [Member] | ||||||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||||||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 2.13% | 2.89% | ||||
AGC [Member] | ||||||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||||||
Number of custodial trusts | Trust | 4 | |||||
Share value, amount | $ 200,000,000 | |||||
Maximum amount | $ 50,000,000 | |||||
Other Income [Member] | ||||||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||||||
Fair value gains (losses) on Committed Capital Securities | $ (14,000,000) | $ (1,000,000) | $ (4,000,000) | $ (3,000,000) |
Fair Value Measurement - Financ
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Assets: | ||
Fixed-maturity securities | $ 10,419 | $ 10,818 |
Other invested assets | 57 | 55 |
Liabilities: | ||
Credit derivative liabilities | 214 | 209 |
Recurring [Member] | ||
Assets: | ||
Other invested assets | 6 | 7 |
FG VIEs’ assets, at fair value | 469 | 569 |
Other assets | 148 | 139 |
Total assets carried at fair value | 11,042 | 11,533 |
Liabilities: | ||
Credit derivative liabilities | 214 | 209 |
FG VIEs’ liabilities with recourse, at fair value | 388 | 517 |
FG VIEs’ liabilities without recourse, at fair value | 105 | 102 |
Total liabilities carried at fair value | 707 | 828 |
Recurring [Member] | Level 1 [Member] | ||
Assets: | ||
Other invested assets | 0 | 0 |
FG VIEs’ assets, at fair value | 0 | 0 |
Other assets | 30 | 25 |
Total assets carried at fair value | 918 | 454 |
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 | 0 | 0 |
FG VIEs’ assets, at fair value | 0 | 0 |
Other assets | 42 | 38 |
Total assets carried at fair value | 8,438 | 9,016 |
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 | 6 | 7 |
FG VIEs’ assets, at fair value | 469 | 569 |
Other assets | 76 | 76 |
Total assets carried at fair value | 1,686 | 2,063 |
Liabilities: | ||
Credit derivative liabilities | 214 | 209 |
FG VIEs’ liabilities with recourse, at fair value | 388 | 517 |
FG VIEs’ liabilities without recourse, at fair value | 105 | 102 |
Total liabilities carried at fair value | 707 | 828 |
Fixed Maturities [Member] | ||
Assets: | ||
Fixed-maturity securities | 9,277 | 10,089 |
Fixed Maturities [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 4,463 | 4,911 |
Fixed Maturities [Member] | US government and agencies [Member] | ||
Assets: | ||
Fixed-maturity securities | 155 | 175 |
Fixed Maturities [Member] | Corporate securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 2,339 | 2,136 |
Fixed Maturities [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 877 | 982 |
Fixed Maturities [Member] | CMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 469 | 539 |
Fixed Maturities [Member] | Asset-backed Securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 775 | 1,068 |
Fixed Maturities [Member] | Foreign government securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 199 | 278 |
Fixed Maturities [Member] | Recurring [Member] | ||
Assets: | ||
Fixed-maturity securities | 9,277 | 10,089 |
Fixed Maturities [Member] | Recurring [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 4,463 | 4,911 |
Fixed Maturities [Member] | Recurring [Member] | US government and agencies [Member] | ||
Assets: | ||
Fixed-maturity securities | 155 | 175 |
Fixed Maturities [Member] | Recurring [Member] | Corporate securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 2,339 | 2,136 |
Fixed Maturities [Member] | Recurring [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 877 | 982 |
Fixed Maturities [Member] | Recurring [Member] | CMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 469 | 539 |
Fixed Maturities [Member] | Recurring [Member] | Asset-backed Securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 775 | 1,068 |
Fixed Maturities [Member] | Recurring [Member] | Foreign government securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 199 | 278 |
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 government and agencies [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] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 0 | 0 |
Fixed Maturities [Member] | Recurring [Member] | Level 1 [Member] | 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 | 8,142 | 8,678 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 4,354 | 4,812 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | US government and agencies [Member] | ||
Assets: | ||
Fixed-maturity securities | 155 | 175 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Corporate securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 2,293 | 2,080 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 561 | 673 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | CMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 469 | 539 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Asset-backed Securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 111 | 121 |
Fixed Maturities [Member] | Recurring [Member] | Level 2 [Member] | Foreign government securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 199 | 278 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | ||
Assets: | ||
Fixed-maturity securities | 1,135 | 1,411 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Obligations of state and political subdivisions [Member] | ||
Assets: | ||
Fixed-maturity securities | 109 | 99 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | US government and agencies [Member] | ||
Assets: | ||
Fixed-maturity securities | 0 | 0 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Corporate securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 46 | 56 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | RMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 316 | 309 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | CMBS [Member] | ||
Assets: | ||
Fixed-maturity securities | 0 | 0 |
Fixed Maturities [Member] | Recurring [Member] | Level 3 [Member] | Asset-backed Securities [Member] | ||
Assets: | ||
Fixed-maturity securities | 664 | 947 |
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 | 1,142 | 729 |
Short-term Investments [Member] | Recurring [Member] | ||
Assets: | ||
Fixed-maturity securities | 1,142 | 729 |
Short-term Investments [Member] | Recurring [Member] | Level 1 [Member] | ||
Assets: | ||
Fixed-maturity securities | 888 | 429 |
Short-term Investments [Member] | Recurring [Member] | Level 2 [Member] | ||
Assets: | ||
Fixed-maturity securities | 254 | 300 |
Short-term Investments [Member] | Recurring [Member] | Level 3 [Member] | ||
Assets: | ||
Fixed-maturity securities | $ 0 | $ 0 |
Fair Value Measurement - Fair V
Fair Value Measurement - Fair Value Level 3 Rollforward Recurring Basis (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
FG VIEs' assets, at fair value [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | $ 526 | $ 627 | $ 569 | $ 700 |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | 6 | (1) | 70 | 3 |
Other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Issuances | 0 | |||
Settlements | (69) | (30) | (170) | (90) |
FG VIE consolidation | 6 | 6 | ||
FG VIE deconsolidations | (6) | (17) | ||
Transfers Into Level 3 | 0 | |||
Fair value at end of period | 469 | 596 | 469 | 596 |
Change in unrealized gains/(losses) related to financial instruments held | 6 | 2 | 78 | 13 |
Other Assets and Other Invested Assets [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 87 | 61 | 77 | 64 |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | (14) | (1) | (4) | (3) |
Other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Issuances | 0 | |||
Settlements | 0 | 0 | 0 | (1) |
FG VIE consolidation | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers Into Level 3 | 0 | |||
Fair value at end of period | 73 | 60 | 73 | 60 |
Change in unrealized gains/(losses) related to financial instruments held | (14) | (1) | (4) | (3) |
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 105 | 92 | 99 | 76 |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | 3 | 1 | 5 | 3 |
Other comprehensive income (loss) | (4) | 6 | 1 | 17 |
Purchases | 6 | 0 | 6 | 4 |
Issuances | 0 | |||
Settlements | (1) | 0 | (2) | (1) |
FG VIE consolidation | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers Into Level 3 | 0 | |||
Fair value at end of period | 109 | 99 | 109 | 99 |
Change in unrealized gains/(losses) related to financial instruments held | 6 | 17 | ||
Corporate securities [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 48 | 63 | 56 | 67 |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | 1 | 2 | (9) | (2) |
Other comprehensive income (loss) | (3) | (5) | (1) | (5) |
Purchases | 0 | 0 | 0 | 0 |
Issuances | 0 | |||
Settlements | 0 | 0 | 0 | 0 |
FG VIE consolidation | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers Into Level 3 | 0 | |||
Fair value at end of period | 46 | 60 | 46 | 60 |
Change in unrealized gains/(losses) related to financial instruments held | (5) | (5) | ||
RMBS [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 325 | 311 | 309 | 334 |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | 5 | 3 | 16 | 16 |
Other comprehensive income (loss) | 1 | 0 | 21 | (10) |
Purchases | 0 | 0 | 11 | 9 |
Issuances | 0 | |||
Settlements | (15) | (15) | (41) | (50) |
FG VIE consolidation | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers Into Level 3 | 0 | |||
Fair value at end of period | 316 | 299 | 316 | 299 |
Change in unrealized gains/(losses) related to financial instruments held | 1 | (7) | ||
Asset-backed Securities [Member] | Fixed Maturities [Member] | ||||
Fair Value Level 3 Rollforward | ||||
Fair value at beginning of period | 674 | 897 | 947 | 787 |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Net Income (loss) | 7 | 14 | 51 | 43 |
Other comprehensive income (loss) | (3) | (12) | (97) | (3) |
Purchases | 1 | 64 | 19 | 164 |
Issuances | 0 | |||
Settlements | (15) | (10) | (257) | (38) |
FG VIE consolidation | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers Into Level 3 | 1 | |||
Fair value at end of period | 664 | 953 | 664 | 953 |
Change in unrealized gains/(losses) related to financial instruments held | (11) | (1) | ||
Other Comprehensive Income (Loss) [Member] | Other Assets and Other Invested Assets [Member] | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Change in unrealized gains/(losses) related to financial instruments held | 0 | 0 | ||
Other Comprehensive Income (Loss) [Member] | Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Change in unrealized gains/(losses) related to financial instruments held | (4) | 1 | ||
Other Comprehensive Income (Loss) [Member] | Corporate securities [Member] | Fixed Maturities [Member] | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Change in unrealized gains/(losses) related to financial instruments held | (3) | (1) | ||
Other Comprehensive Income (Loss) [Member] | RMBS [Member] | Fixed Maturities [Member] | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Change in unrealized gains/(losses) related to financial instruments held | 1 | 21 | ||
Other Comprehensive Income (Loss) [Member] | Asset-backed Securities [Member] | Fixed Maturities [Member] | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Assets [Abstract] | ||||
Change in unrealized gains/(losses) related to financial instruments held | (2) | 8 | ||
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 | (446) | (571) | (517) | (627) |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | ||||
Net income (loss) | (2) | 3 | (33) | (1) |
Other comprehensive income (loss) | 1 | (3) | 6 | (1) |
Purchases | 0 | 0 | 0 | 0 |
Issuances | 0 | |||
Settlements | 64 | 26 | 156 | 83 |
FG VIE consolidation | (5) | (5) | ||
FG VIE deconsolidations | 5 | 1 | ||
Transfers Into Level 3 | 0 | |||
Fair value at end of period | (388) | (545) | (388) | (545) |
Change in unrealized gains/(losses) included in earnings related to financial instruments | (2) | (1) | (32) | (2) |
FG VIEs' liabilities with recourse, at fair value [Member] | Other Comprehensive Income (Loss) [Member] | ||||
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | ||||
Change in unrealized gains/(losses) included in earnings related to financial instruments | 1 | 6 | ||
Financial Guaranty Variable Interest Liabilities without Recourse [Member] | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair value at beginning of period | (105) | (108) | (102) | (130) |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Liabilities [Abstract] | ||||
Net income (loss) | (2) | 1 | (9) | 3 |
Other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Issuances | 0 | |||
Settlements | 3 | 3 | 6 | 7 |
FG VIE consolidation | (1) | (1) | ||
FG VIE deconsolidations | 1 | 16 | ||
Transfers Into Level 3 | 0 | |||
Fair value at end of period | (105) | (104) | (105) | (104) |
Change in unrealized gains/(losses) included in earnings related to financial instruments | (1) | 1 | (16) | 2 |
Credit Risk Contract [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||||
Fair value at start of period | (216) | (257) | (207) | (269) |
Total Pretax Realized And Unrealized Gains (Losses) Recorded As Net Derivative Asset (Liability) [Abstract] | ||||
Net income (loss) | 5 | 21 | (25) | 103 |
Other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Issuances | (68) | |||
Settlements | 3 | (1) | 24 | (3) |
FG VIE consolidation | 0 | 0 | ||
FG VIE deconsolidations | 0 | 0 | ||
Transfers into Level 3 | 0 | |||
Fair value at end of period | (208) | (237) | (208) | (237) |
Change in unrealized gains/(losses) related to financial instruments held as of end of year | $ 8 | $ 20 | $ (19) | $ 93 |
Fair Value Measurement - Quanti
Fair Value Measurement - Quantitative Information - Assets (Details) - Valuation, Income Approach [Member] - Level 3 [Member] - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Obligations of state and political subdivisions [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 109 | $ 99 |
Obligations of state and political subdivisions [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.50% | 4.50% |
Obligations of state and political subdivisions [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 32.30% | 32.70% |
Obligations of state and political subdivisions [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 8.40% | 12.00% |
Corporate securities [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 46 | $ 56 |
Yield (as a percent) | 35.80% | 29.50% |
RMBS [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 316 | $ 309 |
RMBS [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.50% | 5.30% |
RMBS [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 6.10% | 8.10% |
RMBS [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.20% | 6.30% |
Life Insurance Transaction [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 339 | $ 620 |
Yield (as a percent) | 5.50% | |
Life Insurance Transaction [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 6.50% | |
Life Insurance Transaction [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 7.10% | |
Life Insurance Transaction [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 6.80% | |
Collateralized loan obligations (CLO) /TruPS [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 274 | $ 274 |
Collateralized loan obligations (CLO) /TruPS [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 2.50% | 3.80% |
Collateralized loan obligations (CLO) /TruPS [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 5.10% | 4.70% |
Collateralized loan obligations (CLO) /TruPS [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.60% | 4.30% |
Other Asset Backed Securities [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 51 | $ 53 |
Yield (as a percent) | 9.90% | 11.50% |
FG VIEs and other [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 469 | $ 569 |
FG VIEs and other [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.30% | 5.00% |
FG VIEs and other [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 8.30% | 10.20% |
FG VIEs and other [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 5.00% | 7.10% |
Other Assets [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 70 | $ 74 |
Fair Value Inputs Term | 10 years | 10 years |
Other Assets [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 5.80% | 6.60% |
Other Assets [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 6.50% | 7.20% |
Other Assets [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 6.20% | 6.90% |
Other invested assets [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset, fair value | $ 6 | $ 7 |
Measurement Input, Prepayment Rate [Member] | RMBS [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 1.40% | 3.40% |
Measurement Input, Prepayment Rate [Member] | RMBS [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 16.90% | 19.40% |
Measurement Input, Prepayment Rate [Member] | RMBS [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 6.00% | 6.20% |
Measurement Input, Prepayment Rate [Member] | FG VIEs and other [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 0.70% | 0.90% |
Measurement Input, Prepayment Rate [Member] | FG VIEs and other [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 18.40% | 18.10% |
Measurement Input, Prepayment Rate [Member] | FG VIEs and other [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 8.80% | 9.30% |
Measurement Input, Default Rate [Member] | RMBS [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 1.50% | 1.50% |
Measurement Input, Default Rate [Member] | RMBS [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 6.90% | 6.90% |
Measurement Input, Default Rate [Member] | RMBS [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 4.90% | 5.20% |
Measurement Input, Default Rate [Member] | FG VIEs and other [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 1.20% | 1.30% |
Measurement Input, Default Rate [Member] | FG VIEs and other [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 25.70% | 23.70% |
Measurement Input, Default Rate [Member] | FG VIEs and other [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 4.70% | 5.10% |
Measurement Input, Loss Severity [Member] | RMBS [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 40.00% | 40.00% |
Measurement Input, Loss Severity [Member] | RMBS [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 125.00% | 125.00% |
Measurement Input, Loss Severity [Member] | RMBS [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 85.70% | 82.70% |
Measurement Input, Loss Severity [Member] | FG VIEs and other [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 60.00% | 60.00% |
Measurement Input, Loss Severity [Member] | FG VIEs and other [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 100.00% | 100.00% |
Measurement Input, Loss Severity [Member] | FG VIEs and other [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 77.60% | 79.80% |
Fair Value Measurement - Quan_2
Fair Value Measurement - Quantitative Information - Liabilities (Details) - Valuation, Income Approach [Member] - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Credit derivative liabilities, net [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (208) | $ (207) |
Internal floor (as a percent) | 0.30% | |
Credit derivative liabilities, net [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Internal floor (as a percent) | 0.088% | |
Bank profit (as a percent) | 0.38% | 0.072% |
Hedge cost (as a percent) | 0.08% | 0.055% |
Credit derivative liabilities, net [Member] | Minimum [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 0.00% | 0.00% |
Credit derivative liabilities, net [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Internal floor (as a percent) | 0.30% | |
Bank profit (as a percent) | 1.91% | 5.099% |
Hedge cost (as a percent) | 0.42% | 0.825% |
Credit derivative liabilities, net [Member] | Maximum [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 50.00% | 66.00% |
Credit derivative liabilities, net [Member] | Weighted Average [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Internal floor (as a percent) | 0.19% | |
Bank profit (as a percent) | 0.81% | 0.773% |
Hedge cost (as a percent) | 0.17% | 0.233% |
Credit derivative liabilities, net [Member] | Weighted Average [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Year 1 loss estimates (as a percent) | 1.20% | 2.20% |
Financial Guaranty Variable Interest Entities [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total liabilities carried at fair value | $ (493) | $ (619) |
Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 3.30% | 5.00% |
Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 8.30% | 10.20% |
Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Yield (as a percent) | 4.20% | 5.60% |
Measurement Input, Prepayment Rate [Member] | Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 0.70% | 0.90% |
Measurement Input, Prepayment Rate [Member] | Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 18.40% | 18.10% |
Measurement Input, Prepayment Rate [Member] | Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 8.80% | 9.30% |
Measurement Input, Default Rate [Member] | Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 1.20% | 1.30% |
Measurement Input, Default Rate [Member] | Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 25.70% | 23.70% |
Measurement Input, Default Rate [Member] | Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 4.70% | 5.10% |
Measurement Input, Loss Severity [Member] | Financial Guaranty Variable Interest Entities [Member] | Minimum [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 60.00% | 60.00% |
Measurement Input, Loss Severity [Member] | Financial Guaranty Variable Interest Entities [Member] | Maximum [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 100.00% | 100.00% |
Measurement Input, Loss Severity [Member] | Financial Guaranty Variable Interest Entities [Member] | Weighted Average [Member] | Level 3 [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Transferor's continuing involvement, servicing assets or liabilities, prepayment speed | 77.60% | 79.80% |
Fair Value Measurement - Fair_2
Fair Value Measurement - Fair Value of Financial Instruments Not Carried at Fair Value (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Assets: | ||
Other invested assets | $ 57 | $ 55 |
Carrying Amount [Member] | ||
Assets: | ||
Other invested assets | 1 | 1 |
Other assets | 91 | 130 |
Liabilities: | ||
Financial guaranty insurance contracts | (2,731) | (3,240) |
Long-term debt | (1,234) | (1,233) |
Other liabilities | (45) | (12) |
Estimated Fair Value [Member] | ||
Assets: | ||
Other invested assets | 2 | 2 |
Other assets | 91 | 130 |
Liabilities: | ||
Financial guaranty insurance contracts | (5,200) | (5,932) |
Long-term debt | (1,549) | (1,496) |
Other liabilities | $ (45) | $ (12) |
Investments and Cash - Narrativ
Investments and Cash - Narrative (Details) $ in Millions | 1 Months Ended | 3 Months Ended | 9 Months Ended | |||
Feb. 28, 2017USD ($) | Sep. 30, 2019USD ($)Security | Sep. 30, 2018USD ($) | Sep. 30, 2019USD ($)Securitymanager | Sep. 30, 2018USD ($) | Dec. 31, 2018USD ($)Security | |
Investment [Line Items] | ||||||
Accrued investment income | $ 86 | $ 86 | $ 91 | |||
Proceeds from sale of fixed-maturity securities available-for-sale | $ 405 | $ 316 | 1,306 | $ 908 | ||
Non-cash payments to acquire fixed-maturity securities | $ 144 | $ 4 | ||||
Number of outside managers managing investment portfolio | manager | 7 | |||||
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | Security | 27 | 27 | 38 | |||
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $ 24 | $ 24 | $ 43 | |||
Assets held-in-trust | 278 | 278 | 266 | |||
Future Equity Investments [Member] | ||||||
Investment [Line Items] | ||||||
Long-term purchase commitment, amount | $ 100 | |||||
Remaining minimum amount committed | 86 | 86 | ||||
AGL Subsidiaries [Member] | ||||||
Investment [Line Items] | ||||||
Assets held-in-trust | $ 1,596 | 1,596 | $ 1,855 | |||
COFINA Taxable Bonds [Member] | ||||||
Investment [Line Items] | ||||||
Non-cash proceeds from sale of fixed-maturity securities | $ 44 |
Investments and Cash - Net Inve
Investments and Cash - Net Investment Income (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Net Investment Income | ||||
Gross investment income | $ 90 | $ 101 | $ 302 | $ 304 |
Investment expenses | (2) | (2) | (6) | (7) |
Net investment income | 88 | 99 | 296 | 297 |
Fixed Maturities, Managed Externally [Member] | ||||
Net Investment Income | ||||
Gross investment income | 66 | 75 | 207 | 224 |
Investments, Managed Internally [Member] | ||||
Net Investment Income | ||||
Gross investment income | $ 24 | $ 26 | $ 95 | $ 80 |
Investments and Cash - Net Real
Investments and Cash - Net Realized Investment Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Gross realized gains on available-for-sale securities | $ 29 | $ 5 | $ 48 | $ 16 |
Gross realized losses on available-for-sale securities | (1) | (3) | (4) | (9) |
Net realized gains (losses) on other invested assets | 0 | 0 | 0 | (1) |
Total OTTI | (12) | (8) | (29) | (23) |
Less: portion of OTTI recognized in OCI | 0 | 1 | 3 | (3) |
Net OTTI recognized in net income (loss) | (12) | (9) | (32) | (20) |
Net realized investment gains (losses) | $ 16 | $ (7) | $ 12 | $ (14) |
Investments and Cash - Roll For
Investments and Cash - Roll Forward of Credit Losses in the Investment Portfolio (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Roll Forward of Credit Losses in the Investment Portfolio | ||||
Balance, beginning of period | $ 191 | $ 170 | $ 185 | $ 162 |
Additions for credit losses on securities for which an OTTI was previously recognized | 0 | 2 | 13 | 10 |
Reductions for securities sold and other settlements | 0 | 0 | (7) | 0 |
Balance, end of period | $ 191 | $ 172 | $ 191 | $ 172 |
Investments and Cash - Internal
Investments and Cash - Internally Managed Investment Portfolio (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed-maturity securities | $ 10,419 | $ 10,818 |
Short-term investments, at fair value | 1,142 | 729 |
Other invested assets | 57 | 55 |
Total investment portfolio | 10,476 | 10,873 |
Fixed Maturities, Managed Externally [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed-maturity securities | 8,363 | 8,909 |
Investments, Managed Internally [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed-maturity securities | 914 | 1,180 |
Alternative Investments [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Other invested assets | 42 | 39 |
Other Investments, Internally Managed [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Other invested assets | $ 15 | $ 16 |
BIG [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed-Maturity Investments, Non-Investment Grade, Percent | 8.40% | 10.80% |
Investments and Cash - Fixed Ma
Investments and Cash - Fixed Maturity Securities and Short Term Investments (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Investments | ||
Percent of Total | 100.00% | 100.00% |
Amortized Cost | $ 9,953 | $ 10,613 |
Gross Unrealized Gains | 518 | 344 |
Gross Unrealized Losses | (52) | (139) |
Estimated Fair Value | 10,419 | 10,818 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 52 | $ 118 |
Government agency obligations as a percentage of total mortgage backed securities | 44.00% | 48.00% |
Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 89.00% | 93.00% |
Amortized Cost | $ 8,811 | $ 9,884 |
Gross Unrealized Gains | 518 | 344 |
Gross Unrealized Losses | (52) | (139) |
Estimated Fair Value | 9,277 | 10,089 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 52 | $ 118 |
Short-term Investments [Member] | ||
Investments | ||
Percent of Total | 11.00% | 7.00% |
Amortized Cost | $ 1,142 | $ 729 |
Gross Unrealized Gains | 0 | 0 |
Gross Unrealized Losses | 0 | 0 |
Estimated Fair Value | 1,142 | 729 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | $ 0 |
Obligations of state and political subdivisions [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 42.00% | 45.00% |
Amortized Cost | $ 4,132 | $ 4,761 |
Gross Unrealized Gains | 331 | 168 |
Gross Unrealized Losses | 0 | (18) |
Estimated Fair Value | 4,463 | 4,911 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 42 | $ 40 |
US government and agencies [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 1.00% | 2.00% |
Amortized Cost | $ 144 | $ 167 |
Gross Unrealized Gains | 11 | 9 |
Gross Unrealized Losses | 0 | (1) |
Estimated Fair Value | 155 | 175 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | $ 0 |
Corporate securities [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 24.00% | 20.00% |
Amortized Cost | $ 2,286 | $ 2,175 |
Gross Unrealized Gains | 80 | 13 |
Gross Unrealized Losses | (27) | (52) |
Estimated Fair Value | 2,339 | 2,136 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ (4) | $ (4) |
RMBS [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 8.00% | 9.00% |
Amortized Cost | $ 846 | $ 999 |
Gross Unrealized Gains | 41 | 17 |
Gross Unrealized Losses | (10) | (34) |
Estimated Fair Value | 877 | 982 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 4 | $ (15) |
CMBS [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 5.00% | 5.00% |
Amortized Cost | $ 448 | $ 542 |
Gross Unrealized Gains | 21 | 4 |
Gross Unrealized Losses | 0 | (7) |
Estimated Fair Value | 469 | 539 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | $ 0 |
Asset-backed Securities [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 7.00% | 9.00% |
Amortized Cost | $ 745 | $ 942 |
Gross Unrealized Gains | 33 | 131 |
Gross Unrealized Losses | (3) | (5) |
Estimated Fair Value | 775 | 1,068 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 10 | $ 97 |
Foreign government securities [Member] | Fixed Maturities [Member] | ||
Investments | ||
Percent of Total | 2.00% | 3.00% |
Amortized Cost | $ 210 | $ 298 |
Gross Unrealized Gains | 1 | 2 |
Gross Unrealized Losses | (12) | (22) |
Estimated Fair Value | 199 | 278 |
AOCI Gain (Loss) on Securities with Other-Than-Temporary Impairment | $ 0 | $ 0 |
Investments and Cash - Gross Un
Investments and Cash - Gross Unrealized Loss by Length of Time (Details) $ in Millions | Sep. 30, 2019USD ($)Security | Dec. 31, 2018USD ($)Security |
Less than 12 months | ||
Fair value | $ 511 | $ 1,643 |
Unrealized loss | (12) | (34) |
12 months or more | ||
Fair Value | 602 | 1,952 |
Unrealized loss | (40) | (105) |
Total | ||
Fair value | 1,113 | 3,595 |
Unrealized loss | $ (52) | $ (139) |
Number of securities | ||
Less than 12 months (in securities) | Security | 133 | 417 |
12 months or more (in securities) | Security | 143 | 608 |
Total (in securities) | Security | 256 | 997 |
Number of securities with OTTI | ||
Less than 12 months (in securities) | Security | 12 | 22 |
12 months or more (in securities) | Security | 9 | 22 |
Total (in securities) | Security | 21 | 42 |
Obligations of state and political subdivisions [Member] | ||
Less than 12 months | ||
Fair value | $ 5 | $ 195 |
Unrealized loss | 0 | (4) |
12 months or more | ||
Fair Value | 4 | 658 |
Unrealized loss | 0 | (14) |
Total | ||
Fair value | 9 | 853 |
Unrealized loss | 0 | (18) |
US government and agencies [Member] | ||
Less than 12 months | ||
Fair value | 13 | 11 |
Unrealized loss | 0 | 0 |
12 months or more | ||
Fair Value | 4 | 24 |
Unrealized loss | 0 | (1) |
Total | ||
Fair value | 17 | 35 |
Unrealized loss | 0 | (1) |
Corporate securities [Member] | ||
Less than 12 months | ||
Fair value | 349 | 836 |
Unrealized loss | (8) | (19) |
12 months or more | ||
Fair Value | 170 | 522 |
Unrealized loss | (19) | (33) |
Total | ||
Fair value | 519 | 1,358 |
Unrealized loss | (27) | (52) |
RMBS [Member] | ||
Less than 12 months | ||
Fair value | 7 | 85 |
Unrealized loss | 0 | (2) |
12 months or more | ||
Fair Value | 193 | 447 |
Unrealized loss | (10) | (32) |
Total | ||
Fair value | 200 | 532 |
Unrealized loss | (10) | (34) |
CMBS [Member] | ||
Less than 12 months | ||
Fair value | 1 | 111 |
Unrealized loss | 0 | (1) |
12 months or more | ||
Fair Value | 4 | 164 |
Unrealized loss | 0 | (6) |
Total | ||
Fair value | 5 | 275 |
Unrealized loss | 0 | (7) |
Asset-backed Securities [Member] | ||
Less than 12 months | ||
Fair value | 83 | 322 |
Unrealized loss | (2) | (4) |
12 months or more | ||
Fair Value | 147 | 38 |
Unrealized loss | (1) | (1) |
Total | ||
Fair value | 230 | 360 |
Unrealized loss | (3) | (5) |
Foreign government securities [Member] | ||
Less than 12 months | ||
Fair value | 53 | 83 |
Unrealized loss | (2) | (4) |
12 months or more | ||
Fair Value | 80 | 99 |
Unrealized loss | (10) | (18) |
Total | ||
Fair value | 133 | 182 |
Unrealized loss | $ (12) | $ (22) |
Investments and Cash - Distribu
Investments and Cash - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Amortized Cost | ||
Amortized Cost | $ 9,953 | $ 10,613 |
Estimated Fair Value | ||
Estimated Fair Value | 10,419 | 10,818 |
Fixed Maturities [Member] | ||
Amortized Cost | ||
Due within one year | 274 | |
Due after one year through five years | 1,617 | |
Due after five years through 10 years | 2,133 | |
Due after 10 years | 3,493 | |
Amortized Cost | 8,811 | 9,884 |
Estimated Fair Value | ||
Due within one year | 275 | |
Due after one year through five years | 1,635 | |
Due after five years through 10 years | 2,242 | |
Due after 10 years | 3,779 | |
Estimated Fair Value | 9,277 | 10,089 |
Fixed Maturities [Member] | RMBS [Member] | ||
Amortized Cost | ||
Amortized Cost | 846 | 999 |
Estimated Fair Value | ||
Estimated Fair Value | 877 | 982 |
Fixed Maturities [Member] | CMBS [Member] | ||
Amortized Cost | ||
Amortized Cost | 448 | 542 |
Estimated Fair Value | ||
Estimated Fair Value | $ 469 | $ 539 |
Investments and Cash Investment
Investments and Cash Investments and Cash - Cash and Restricted Cash (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Dec. 31, 2017 |
Investments, Debt and Equity Securities [Abstract] | ||||
Cash | $ 229 | $ 104 | ||
Cash and Restricted Cash | $ 229 | $ 104 | $ 82 | $ 144 |
Contracts Accounted for as Cr_3
Contracts Accounted for as Credit Derivatives - Credit Derivatives Subordination and Ratings (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | $ 6,165 | $ 6,182 |
Credit risk derivatives, at fair value, net | (208) | (207) |
Expected loss to be recovered | 5 | 2 |
Public Finance [Member] | Non United States [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 2,709 | 2,807 |
Credit risk derivatives, at fair value, net | (46) | (51) |
Public Finance [Member] | United States [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 2,067 | 1,783 |
Credit risk derivatives, at fair value, net | (103) | (65) |
Structured Finance [Member] | Non United States [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 123 | 127 |
Credit risk derivatives, at fair value, net | (8) | (6) |
Structured Finance [Member] | United States [Member] | ||
Net Par Outstanding on Credit Derivatives | ||
Net Par Outstanding | 1,266 | 1,465 |
Credit risk derivatives, at fair value, net | $ (51) | $ (85) |
Contracts Accounted for as Cr_4
Contracts Accounted for as Credit Derivatives - Distribution of Credit Derivative Net Par Outstanding by Internal Rating (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Credit Derivatives | ||
Net Par Outstanding | $ 6,165 | $ 6,182 |
BIG [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | 132 | 157 |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 6,165 | $ 6,182 |
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 | $ 1,662 | $ 1,813 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 27.00% | 29.40% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, AA [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,748 | $ 1,690 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 28.40% | 27.30% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, A [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,255 | $ 1,171 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 20.30% | 18.90% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | Internal Credit Rating, BBB [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 1,368 | $ 1,351 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 22.20% | 21.90% |
Credit Concentration Risk [Member] | Derivative, Aggregate Notional Amount [Member] | BIG [Member] | ||
Credit Derivatives | ||
Net Par Outstanding | $ 132 | $ 157 |
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 2.10% | 2.50% |
Contracts Accounted for as Cr_5
Contracts Accounted for as Credit Derivatives - Net Change in Fair Value of Credit Derivatives Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Realized gains on credit derivatives | $ 2 | $ 2 | $ 6 | $ 6 |
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | (5) | (1) | (30) | (2) |
Realized gains (losses) and other settlements | (3) | 1 | (24) | 4 |
Net change in unrealized gains (losses) on credit derivatives | 8 | 20 | (1) | 99 |
Net change in fair value of credit derivatives | $ 5 | $ 21 | $ (25) | $ 103 |
Contracts Accounted for as Cr_6
Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 |
Credit Derivatives | ||||||
Fair value of credit derivatives before effect of AGC credit spread | $ (306) | $ (407) | ||||
Plus: Effect of AGC credit spread | 98 | 200 | ||||
Net fair value of credit derivatives | $ (208) | $ (207) | ||||
Credit Risk Contract, 5 Year Spread [Member] | AGC [Member] | ||||||
Credit Derivatives | ||||||
Quoted price of CDS contract (as a percent) | 0.56% | 0.56% | 1.10% | 0.77% | 1.05% | 1.63% |
Credit Risk Contract, 1 Year Spread [Member] | AGC [Member] | ||||||
Credit Derivatives | ||||||
Quoted price of CDS contract (as a percent) | 0.14% | 0.13% | 0.22% | 0.15% | 0.22% | 0.70% |
Contracts Accounted for as Cr_7
Contracts Accounted for as Credit Derivatives - Collateral Posting Requirements on Credit Derivatives (Details) $ in Millions | Sep. 30, 2019USD ($) |
Gross par of CDS with collateral posting requirement [Member] | |
Credit Derivatives | |
Collateral posting requirement | $ 193 |
Maximum posting requirement [Member] | |
Credit Derivatives | |
Collateral posting requirement | 193 |
Collateral posted [Member] | |
Credit Derivatives | |
Collateral posted | $ 0 |
Contracts Accounted for as Cr_8
Contracts Accounted for as Credit Derivatives - Narrative (Details) $ in Millions | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2019USD ($)Counterparty | Dec. 31, 2018USD ($) | Jun. 30, 2019USD ($) | Sep. 30, 2018USD ($) | Jun. 30, 2018USD ($) | Dec. 31, 2017USD ($) | |
Credit Derivatives | ||||||
Net Par Outstanding | $ 6,165 | $ 6,182 | ||||
Credit risk derivatives, at fair value, net | (208) | (207) | ||||
Net expected loss to be paid after recoveries | $ 718 | $ 1,183 | $ 960 | $ 1,191 | $ 1,432 | $ 1,303 |
Estimated remaining weighted average life of credit derivatives (in years) | 11 years 2 months 12 days | 11 years 7 months 6 days | ||||
Gross par of CDS with collateral posting requirement [Member] | ||||||
Credit Derivatives | ||||||
Collateral posting requirement | $ 193 | |||||
Number of counterparties | Counterparty | 1 | |||||
Collateral posted [Member] | ||||||
Credit Derivatives | ||||||
Collateral posted | $ 0 |
Variable Interest Entities - N
Variable Interest Entities - Narrative (Details) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2019USD ($)policyEntity | Sep. 30, 2018USD ($) | Sep. 30, 2019USD ($)policyEntity | Sep. 30, 2018USD ($)Entity | Jun. 30, 2019USD ($) | Dec. 31, 2018USD ($)policyEntity | Jun. 30, 2018USD ($) | Dec. 31, 2017USD ($) | |
Variable Interest Entity [Line Items] | ||||||||
Effect on shareholders' equity (decrease) increase | $ 6,652,000,000 | $ 6,583,000,000 | $ 6,652,000,000 | $ 6,583,000,000 | $ 6,722,000,000 | $ 6,555,000,000 | $ 6,634,000,000 | $ 6,839,000,000 |
Net fair value gains and losses on FG VIEs are expected to reverse to zero at maturity of the VIE debt | 0 | 0 | ||||||
Fair value gains (losses) on FG VIEs | 4,000,000 | 5,000,000 | 42,000,000 | 11,000,000 | ||||
Variable Interest Entity, Other Consolidated [Abstract] | ||||||||
Other consolidated VIE assets | 91,000,000 | 91,000,000 | 87,000,000 | |||||
Other consolidated VIE liabilities | $ 9,000,000 | $ 9,000,000 | $ 21,000,000 | |||||
Number of Policies Monitored | policy | 18,000 | 18,000 | ||||||
Number of Policies Monitored, Not Within the Scope of ASC 810 | policy | 15,000 | 15,000 | ||||||
Number of Policies that Contain Provisions for Consolidation | policy | 96 | 96 | 110 | |||||
Variable Interest Entity, Primary Beneficiary [Member] | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Effect on shareholders' equity (decrease) increase | $ 4,000,000 | $ 4,000,000 | $ 1,000,000 | |||||
Fair value gains (losses) on FG VIEs | $ 4,000,000 | 5,000,000 | $ 42,000,000 | $ 11,000,000 | ||||
Variable Interest Entity, Other Consolidated [Abstract] | ||||||||
Number of Entities Consolidated | Entity | 28 | 28 | 31 | |||||
Number of Entities Deconsolidated | Entity | 2 | 1 | ||||||
FG VIE matured, number | Entity | 2 | |||||||
FG VIE consolidated, number | Entity | 1 | |||||||
Residential Mortgage Backed Securities and Other Insurance Products [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Change in the instrument specific credit risk of the VIEs' assets | $ 7,000,000 | $ 1,000,000 | $ 42,000,000 | $ 4,000,000 |
Variable Interest Entities Vari
Variable Interest Entities Variable Interest Entities - Unpaid Principal (Details) - Variable Interest Entity, Primary Beneficiary [Member] - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Variable Interest Entity [Line Items] | ||
FG VIEs’ assets | $ 279 | $ 350 |
FG VIEs' liabilities with recourse | 21 | 48 |
FG VIEs’ liabilities without recourse | 19 | 28 |
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due | 61 | 71 |
Unpaid principal for FG VIEs’ liabilities with recourse | $ 409 | $ 565 |
Variable Interest Entities - Co
Variable Interest Entities - Consolidated FG VIE's By Type of Collateral (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | $ 364 | $ 467 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 388 | 517 |
Financial guaranty variable interest entities' assets without recourse, at fair value | 105 | 102 |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 105 | 102 |
Financial guaranty variable interest entities’ assets, at fair value | 469 | 569 |
Financial guaranty variable interest entities’ liabilities, at fair value | 493 | 619 |
Manufactured Housing Loans [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 0 | 53 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 0 | 54 |
United States [Member] | First Lien [Member] | RMBS [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 289 | 299 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 314 | 326 |
United States [Member] | Second Lien [Member] | RMBS [Member] | ||
Variable Interest Entity [Line Items] | ||
Financial guaranty variable interest entities' assets with recourse, at fair value | 75 | 115 |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | $ 74 | $ 137 |
Variable Interest Entities - Ef
Variable Interest Entities - Effect of Consolidating FG VIE's on Financial Information (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Variable Interest Entity [Line Items] | ||||
Net earned premiums | $ 123 | $ 142 | $ 353 | $ 423 |
Net investment income | 88 | 99 | 296 | 297 |
Fair value gains (losses) on FG VIEs | 4 | 5 | 42 | 11 |
Loss and LAE | (30) | (17) | (75) | (43) |
Income (loss) before income taxes and equity in net earnings of investees | 86 | 176 | 323 | 479 |
Less: Tax provision (benefit) | 17 | 14 | 61 | 46 |
Net income (loss) attributable to Assured Guaranty Ltd. | 69 | 161 | 265 | 433 |
Effect on OCI | 24 | (74) | 226 | (262) |
Net cash flows provided by (used in) operating activities | (365) | 352 | ||
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Variable Interest Entity [Line Items] | ||||
Net earned premiums | (2) | (3) | (16) | (9) |
Net investment income | (1) | (1) | (3) | (3) |
Fair value gains (losses) on FG VIEs | 4 | 5 | 42 | 11 |
Loss and LAE | (3) | (3) | (18) | 0 |
Income (loss) before income taxes and equity in net earnings of investees | (2) | (2) | 5 | (1) |
Less: Tax provision (benefit) | 0 | 0 | 1 | 0 |
Net income (loss) attributable to Assured Guaranty Ltd. | (2) | (2) | 4 | (1) |
Effect on OCI | 1 | (2) | (1) | 0 |
Net cash flows provided by (used in) operating activities | $ 1 | $ 1 | $ 0 | $ 7 |
Income Taxes - Effective Tax Ra
Income Taxes - Effective Tax Rate Reconciliation and Pretax Income (Loss) and Revenue by Tax Jurisdiction (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Expected tax provision (benefit) | $ 17 | $ 31 | $ 64 | $ 80 |
Tax-exempt interest | (5) | (6) | (15) | (18) |
Change in liability for uncertain tax positions | 1 | (10) | 1 | (16) |
Effect of provision to tax return filing adjustment | (6) | (1) | (6) | (1) |
State tax | 0 | 5 | 1 | 6 |
Foreign taxes | 6 | 1 | 11 | 4 |
Taxes on reinsurance | 5 | 1 | 9 | 0 |
Effect of adjustments to the provisional amounts as a result of 2017 Tax Cuts and Jobs Act | 0 | (4) | 0 | (4) |
Effective Income Tax Rate Reconciliation, Nondeductible Expense, Deferred Compensation, Amount | (1) | (1) | (3) | (2) |
Other | 0 | (2) | (1) | (3) |
Provision (benefit) for income taxes | $ 17 | $ 14 | $ 61 | $ 46 |
Effective tax rate (as a percent) | 19.20% | 8.30% | 18.60% | 9.70% |
Income (loss) before income taxes | $ 86 | $ 176 | $ 323 | $ 479 |
Total before tax | 86 | 175 | 326 | 479 |
Revenue | 206 | 275 | 667 | 788 |
United States [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before income taxes | 101 | 128 | 326 | 374 |
Revenue | 186 | 192 | 562 | 628 |
Bermuda [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before income taxes | 10 | 24 | 26 | 97 |
Revenue | 37 | 47 | 110 | 135 |
U.K and Other [Member] | ||||
Pre-tax Income Taxes and Revenue [Line Items] | ||||
Income (loss) before income taxes | (25) | 23 | (26) | 8 |
Revenue | $ (17) | $ 36 | $ (5) | $ 25 |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Income Taxes [Line Items] | ||
Foreign tax credits acquired | $ 36 | |
Tax Cuts and Jobs Act of 2017, incomplete accounting, transition tax for accumulated foreign earnings, tax credit realized | $ 23 | |
Realization assessment period | 3 years | |
Interest and penalties related to uncertain tax positions | $ 0.7 | $ 1 |
Accrued interest, uncertain tax positions | $ 1 | 2 |
Unrecognized tax benefits that would impact effective tax rate | $ 16 | |
United Kingdom [Member] | ||
Income Taxes [Line Items] | ||
Corporate tax rate | 19.00% | |
Radian [Member] | ||
Income Taxes [Line Items] | ||
Foreign tax credits acquired | $ 13 |
Income Taxes Income Taxes - Def
Income Taxes Income Taxes - Deferred and Current Tax Liabilities (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Income Tax Disclosure [Abstract] | ||
Deferred tax assets (liabilities) | $ (24) | $ 68 |
Current tax assets (liabilities) | $ 14 | $ 22 |
Reinsurance - Effect of Reinsur
Reinsurance - Effect of Reinsurance on Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Premiums Written: | ||||
Direct | $ 67 | $ 57 | $ 156 | $ 192 |
Assumed (1) | 2 | (7) | 3 | 324 |
Ceded | (1) | 1 | 12 | 14 |
Net | 68 | 51 | 171 | 530 |
Premiums Earned: | ||||
Direct | 113 | 127 | 317 | 400 |
Assumed | 12 | 19 | 42 | 33 |
Ceded | (2) | (4) | (6) | (10) |
Net | 123 | 142 | 353 | 423 |
Loss and LAE: | ||||
Direct | 28 | 18 | 82 | 53 |
Assumed | 2 | 1 | 4 | (7) |
Ceded | 0 | (2) | (11) | (3) |
Net | $ 30 | $ 17 | $ 75 | $ 43 |
Reinsurance - Ceded Reinsurers
Reinsurance - Ceded Reinsurers (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Ceded Credit Risk [Line Items] | ||
Ceded Premium, net of Commissions | $ 19 | $ 26 |
Ceded expected loss to be recovered (paid) | 14 | 14 |
Ceded par outstanding | 1,343 | 2,389 |
Non-financial guaranty ceded exposure (see Note 3) | 275 | 239 |
External Credit Rating, Non Investment Grade [Member] | Below Investment Grade, Rating Withdrawn Or Not Rated Reinsurer [Member] | ||
Ceded Credit Risk [Line Items] | ||
Ceded Par Outstanding | 224 | 236 |
Non-affiliated Reinsurers [Member] | ||
Ceded Credit Risk [Line Items] | ||
Funds held under reinsurance agreements | $ 69 | $ 80 |
Reinsurance - Narrative (Detail
Reinsurance - Narrative (Details) - USD ($) | Jun. 01, 2018 | Sep. 30, 2019 | Dec. 31, 2018 | Dec. 31, 2019 | Jun. 30, 2019 | Sep. 30, 2018 | Jun. 30, 2018 | Jan. 01, 2018 | Dec. 31, 2017 |
Ceded Credit Risk [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | $ 718,000,000 | $ 1,183,000,000 | $ 960,000,000 | $ 1,191,000,000 | $ 1,432,000,000 | $ 1,303,000,000 | |||
Assured Guaranty Re [Member] | |||||||||
Ceded Credit Risk [Line Items] | |||||||||
Amounts could be required to pay if third party exercised right to recapture business | 42,000,000 | ||||||||
AGC [Member] | |||||||||
Ceded Credit Risk [Line Items] | |||||||||
Amounts could be required to pay if third party exercised right to recapture business | 291,000,000 | ||||||||
Reinsurance of SGI Insured Portfolio [Member] | |||||||||
Ceded Credit Risk [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | $ 131,000,000 | 0 | $ 0 | $ 0 | |||||
Reinsurance of SGI Insured Portfolio [Member] | Assured Guaranty Re [Member] | |||||||||
Ceded Credit Risk [Line Items] | |||||||||
Net expected loss to be paid after recoveries for R&W | $ 131,000,000 | ||||||||
Reinsurance of SGI Insured Portfolio [Member] | AGC [Member] | |||||||||
Ceded Credit Risk [Line Items] | |||||||||
Reinsurance retention policy quota share basis percent | 100.00% | ||||||||
Reinsurance retention policy, excess retention, amount reinsured | $ 12,000,000,000 | ||||||||
Premiums paid during the period | 330,000,000 | ||||||||
Prepaid reinsurance premiums | 363,000,000 | ||||||||
Future insurance installment premiums | 45,000,000 | ||||||||
Professional fees paid to advisors | 4,000,000 | ||||||||
Excess of Loss Reinsurance Facility [Member] | AGM, AGC and MAC [Member] | |||||||||
Ceded Credit Risk [Line Items] | |||||||||
Premiums paid during the period | 3,200,000 | $ 3,200,000 | |||||||
Remaining amount of losses covered under the facility | $ 220,000,000 | ||||||||
Amount of losses covered under the facility | 400,000,000 | ||||||||
Minimum net losses required for attachment of excess of loss reinsurance facility | $ 800,000,000 | ||||||||
Uncollateralized [Member] | AM Best, A- Rating [Member] | |||||||||
Ceded Credit Risk [Line Items] | |||||||||
Guaranty Liabilities | 11,000,000 | ||||||||
Uncollateralized [Member] | Standard & Poor's, A Rating [Member] | |||||||||
Ceded Credit Risk [Line Items] | |||||||||
Guaranty Liabilities | $ 300,000 | ||||||||
Forecast [Member] | Excess of Loss Reinsurance Facility [Member] | AGM, AGC and MAC [Member] | |||||||||
Ceded Credit Risk [Line Items] | |||||||||
Reinsurance retention policy, excess retention, amount reinsured | $ 180,000,000 | ||||||||
Credit derivatives [Member] | Reinsurance of SGI Insured Portfolio [Member] | AGC [Member] | |||||||||
Ceded Credit Risk [Line Items] | |||||||||
Reinsurance retention policy, excess retention, amount reinsured | 1,500,000,000 | ||||||||
Future insurance installment premiums | $ 17,000,000 |
Reinsurance Reinsurance - Net E
Reinsurance Reinsurance - Net Effect of Commutations of Ceded and Cancellations of Assumed Reinsurance Contracts (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Insurance [Abstract] | ||||
Increase in net unearned premium reserve | $ 0 | $ 4 | $ 15 | $ 64 |
Increase in net par outstanding | 0 | 224 | 1,069 | 1,457 |
Commutation gains (losses) | $ 0 | $ 1 | $ 1 | $ (16) |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) $ in Millions | 9 Months Ended | ||||
Sep. 30, 2019USD ($)ft² | Jan. 01, 2019USD ($) | Apr. 10, 2015USD ($)Transaction | Mar. 15, 2013Transaction | Nov. 28, 2011USD ($)Transaction | |
Commitments and Contingencies Legal Proceedings | |||||
Lease, number of square feet | ft² | 103,500 | ||||
Lessee, operating lease, renewal term | 5 years | ||||
Leases excluded from recognition of Topic 842, initial lease term (or less) | 12 months | ||||
Weighted average remaining lease term (years)-operating leases | 12 years | ||||
Weighted average discount rate-operating leases | 3.00% | ||||
Total operating lease liabilities | $ 90 | $ 95 | |||
Right-of-use asset | $ 65 | 69 | |||
Deferred rent and lease incentive liabilities | $ 26 | ||||
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 | 9 | |||
LBIE vs. AG Financial Products [Member] | Lehman Brothers International (Europe) [Member] | |||||
Commitments and Contingencies Legal Proceedings | |||||
Gain contingency, number of credit derivative transactions with improperly calculated payments | Transaction | 28 | ||||
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 | $ 4 | ||||
Other credit derivative transactions which LBIE owes to AG Financial Products as per calculation of AG financial products | 25 | ||||
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 | ||||
Minimum [Member] | Positive Outcome of Litigation [Member] | LBIE vs. AG Financial Products [Member] | Lehman Brothers International (Europe) [Member] | |||||
Commitments and Contingencies Legal Proceedings | |||||
Gain contingency, unrecorded amount | $ 200 | ||||
Maximum [Member] | Positive Outcome of Litigation [Member] | LBIE vs. AG Financial Products [Member] | Lehman Brothers International (Europe) [Member] | |||||
Commitments and Contingencies Legal Proceedings | |||||
Gain contingency, unrecorded amount | $ 500 |
Commitments and Contingencies C
Commitments and Contingencies Commitments and Contingencies - Components of Lease Expense (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended |
Sep. 30, 2019 | Sep. 30, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | ||
Lease cost | $ 3 | $ 7 |
Cash paid for amounts included in the measurement of lease liabilities | $ 3 | $ 7 |
Commitments and Contingencies_2
Commitments and Contingencies Commitments and Contingencies - Lease Maturity Schedule (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Jan. 01, 2019 | Dec. 31, 2018 |
Lessee, Operating Lease, Liability, Payment, Due [Abstract] | |||
2019 (remaining three months) | $ 2 | ||
2020 | 9 | ||
2021 | 8 | ||
2022 | 8 | ||
2023 | 9 | ||
Thereafter | 72 | ||
Total lease payments | 108 | ||
Less: imputed interest | 18 | ||
Total operating lease liabilities | $ 90 | $ 95 | |
Operating Leases, Future Minimum Payments Due, Fiscal Year Maturity [Abstract] | |||
2019 | $ 9 | ||
2020 | 9 | ||
2021 | 8 | ||
2022 | 8 | ||
2023 | 9 | ||
Thereafter | $ 72 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Basic EPS: | ||||
Net income (loss) attributable to AGL | $ 69 | $ 161 | $ 265 | $ 433 |
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 0 | 1 | 0 | 1 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 69 | $ 160 | $ 265 | $ 432 |
Basic shares | 98.2 | 108 | 100.8 | 111.6 |
Basic EPS (in dollars per share) | $ 0.71 | $ 1.48 | $ 2.63 | $ 3.87 |
Diluted EPS: | ||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ 69 | $ 160 | $ 265 | $ 432 |
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | 0 | 0 | 0 | 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ 69 | $ 160 | $ 265 | $ 432 |
Basic shares | 98.2 | 108 | 100.8 | 111.6 |
Effect of dilutive securities: | ||||
Options and restricted stock awards (in shares) | 0.7 | 1.3 | 0.8 | 1.3 |
Diluted shares | 98.9 | 109.3 | 101.6 | 112.9 |
Diluted EPS (in dollars per share) | $ 0.70 | $ 1.47 | $ 2.61 | $ 3.83 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect (in shares) | 0 | 0 | 0 | 0.1 |
Shareholders' Equity - Changes
Shareholders' Equity - Changes in AOCI by Component (Details) - USD ($) $ in Millions | Jan. 01, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2017 |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||||
Beginning balance | $ 6,839 | $ 6,722 | $ 6,634 | $ 6,555 | $ 6,839 | |
New accounting pronouncement or change in accounting principle, effect of change on net income | $ (32) | |||||
Other comprehensive income (loss) before reclassifications | 34 | (83) | 237 | (278) | ||
Amounts reclassified from AOCI to: | ||||||
Net realized investment gains (losses) | 16 | (7) | 12 | (14) | ||
Income (loss) before income taxes | 86 | 175 | 326 | 479 | ||
Tax (provision) benefit | (17) | (14) | (61) | (46) | ||
Net current period other comprehensive income (loss) | 24 | (74) | 226 | (262) | ||
Ending balance | 6,652 | 6,583 | 6,652 | 6,583 | ||
Effect on OCI | 0 | (3) | 4 | (1) | ||
Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Amounts reclassified from AOCI to: | ||||||
Net realized investment gains (losses) | 17 | (7) | 13 | (13) | ||
Net investment income | 16 | |||||
Fair value gains (losses) on FG VIEs | (3) | (2) | (13) | (6) | ||
Income (loss) before income taxes | 14 | (9) | 16 | (19) | ||
Tax (provision) benefit | (4) | 0 | (5) | 3 | ||
Total amount reclassified from AOCI, net of tax | 10 | (9) | 11 | (16) | ||
Total Accumulated Other Comprehensive Income [Member] | ||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||||
Beginning balance | 372 | 295 | 152 | 93 | 372 | |
Amounts reclassified from AOCI to: | ||||||
Ending balance | 319 | 78 | 319 | 78 | ||
Net Unrealized Gains (Losses) on Investments with no OTTI [Member] | ||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||||
Beginning balance | 273 | 301 | 83 | 59 | 273 | |
New accounting pronouncement or change in accounting principle, effect of change on net income | 1 | |||||
Other comprehensive income (loss) before reclassifications | 57 | (59) | 312 | (245) | ||
Amounts reclassified from AOCI to: | ||||||
Net current period other comprehensive income (loss) | 33 | (59) | 275 | (250) | ||
Ending balance | 334 | 24 | 334 | 24 | ||
Net Unrealized Gains (Losses) on Investments with no OTTI [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Amounts reclassified from AOCI to: | ||||||
Net realized investment gains (losses) | 29 | 1 | 43 | 6 | ||
Net investment income | 2 | |||||
Fair value gains (losses) on FG VIEs | 0 | 0 | 0 | 0 | ||
Income (loss) before income taxes | 29 | 1 | 45 | 6 | ||
Tax (provision) benefit | (5) | (1) | (8) | (1) | ||
Total amount reclassified from AOCI, net of tax | 24 | 0 | 37 | 5 | ||
Net Unrealized Gains (Losses) on Investments with OTTI [Member] | ||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||||
Beginning balance | 120 | 51 | 124 | 94 | 120 | |
New accounting pronouncement or change in accounting principle, effect of change on net income | 0 | |||||
Other comprehensive income (loss) before reclassifications | (21) | (16) | (68) | (21) | ||
Amounts reclassified from AOCI to: | ||||||
Net current period other comprehensive income (loss) | (9) | (9) | (52) | (5) | ||
Ending balance | 42 | 115 | 42 | 115 | ||
Net Unrealized Gains (Losses) on Investments with OTTI [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Amounts reclassified from AOCI to: | ||||||
Net realized investment gains (losses) | (12) | (8) | (30) | (19) | ||
Net investment income | 14 | |||||
Fair value gains (losses) on FG VIEs | 0 | 0 | 0 | 0 | ||
Income (loss) before income taxes | (12) | (8) | (16) | (19) | ||
Tax (provision) benefit | 0 | 1 | 0 | 3 | ||
Total amount reclassified from AOCI, net of tax | (12) | (7) | (16) | (16) | ||
Net Unrealized Gains (Losses) on FG VIE Liabilities with Recourse due to Instrument Specific Credit Risk [Member] | ||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||||
Beginning balance | 0 | (27) | (31) | (31) | 0 | |
New accounting pronouncement or change in accounting principle, effect of change on net income | (33) | |||||
Other comprehensive income (loss) before reclassifications | (2) | (5) | (6) | (6) | ||
Amounts reclassified from AOCI to: | ||||||
Net current period other comprehensive income (loss) | 0 | (3) | 4 | (1) | ||
Ending balance | (27) | (34) | (27) | (34) | ||
Net Unrealized Gains (Losses) on FG VIE Liabilities with Recourse due to Instrument Specific Credit Risk [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Amounts reclassified from AOCI to: | ||||||
Net realized investment gains (losses) | 0 | 0 | 0 | 0 | ||
Net investment income | 0 | |||||
Fair value gains (losses) on FG VIEs | (3) | (2) | (13) | (6) | ||
Income (loss) before income taxes | (3) | (2) | (13) | (6) | ||
Tax (provision) benefit | 1 | 0 | 3 | 1 | ||
Total amount reclassified from AOCI, net of tax | (2) | (2) | (10) | (5) | ||
Cumulative Translation Adjustment [Member] | ||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||||
Beginning balance | (29) | (38) | (32) | (37) | (29) | |
New accounting pronouncement or change in accounting principle, effect of change on net income | 0 | |||||
Other comprehensive income (loss) before reclassifications | 0 | (3) | (1) | (6) | ||
Amounts reclassified from AOCI to: | ||||||
Net current period other comprehensive income (loss) | 0 | (3) | (1) | (6) | ||
Ending balance | (38) | (35) | (38) | (35) | ||
Cumulative Translation Adjustment [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Amounts reclassified from AOCI to: | ||||||
Net realized investment gains (losses) | 0 | 0 | 0 | 0 | ||
Net investment income | 0 | |||||
Fair value gains (losses) on FG VIEs | 0 | 0 | 0 | 0 | ||
Income (loss) before income taxes | 0 | 0 | 0 | 0 | ||
Tax (provision) benefit | 0 | 0 | 0 | 0 | ||
Total amount reclassified from AOCI, net of tax | 0 | 0 | 0 | 0 | ||
Cash Flow Hedge [Member] | ||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||||
Beginning balance | 8 | 8 | 8 | 8 | 8 | |
New accounting pronouncement or change in accounting principle, effect of change on net income | $ 0 | |||||
Other comprehensive income (loss) before reclassifications | 0 | 0 | 0 | 0 | ||
Amounts reclassified from AOCI to: | ||||||
Net current period other comprehensive income (loss) | 0 | 0 | 0 | 0 | ||
Ending balance | 8 | 8 | 8 | 8 | ||
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 | 0 | ||
Net investment income | 0 | |||||
Fair value gains (losses) on FG VIEs | 0 | 0 | 0 | 0 | ||
Income (loss) before income taxes | 0 | 0 | 0 | 0 | ||
Tax (provision) benefit | 0 | 0 | 0 | 0 | ||
Total amount reclassified from AOCI, net of tax | $ 0 | $ 0 | $ 0 | $ 0 | ||
Accounting Standards Update 2016-01 [Member] | ||||||
Amounts reclassified from AOCI to: | ||||||
Effect on OCI | 32 | |||||
Accounting Standards Update 2016-01 [Member] | Total Accumulated Other Comprehensive Income [Member] | ||||||
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ||||||
New accounting pronouncement or change in accounting principle, effect of change on net income | $ (32) |
Shareholders' Equity - Shares R
Shareholders' Equity - Shares Repurchased (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 10 Months Ended | 12 Months Ended | |||||||||
Nov. 07, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Nov. 07, 2019 | Dec. 31, 2018 | Aug. 07, 2019 | Feb. 27, 2019 | |
Equity, Class of Treasury Stock [Line Items] | ||||||||||||||
Repurchases of common stock | $ 340,000,000 | $ 380,000,000 | ||||||||||||
Common Stock [Member] | ||||||||||||||
Equity, Class of Treasury Stock [Line Items] | ||||||||||||||
Shares repurchased (in shares) | 3,400,677 | 2,519,130 | 1,908,605 | 2,992,932 | 3,299,049 | 4,163,190 | 2,787,936 | 13,243,107 | ||||||
Repurchases of common stock | $ 150,000,000 | $ 111,000,000 | $ 79,000,000 | $ 120,000,000 | $ 130,000,000 | $ 152,000,000 | $ 98,000,000 | $ 500,000,000 | ||||||
Average price paid per share (in dollars per share) | $ 44.11 | $ 43.89 | $ 41.62 | $ 40.09 | $ 39.41 | $ 36.48 | $ 35.20 | $ 37.76 | ||||||
Repurchase authorized amount | $ 300,000,000 | $ 300,000,000 | ||||||||||||
Subsequent Event [Member] | Common Stock [Member] | ||||||||||||||
Equity, Class of Treasury Stock [Line Items] | ||||||||||||||
Shares repurchased (in shares) | 1,276,692 | 9,105,104 | ||||||||||||
Repurchases of common stock | $ 59,000,000 | $ 399,000,000 | ||||||||||||
Average price paid per share (in dollars per share) | $ 45.98 | $ 43.79 | ||||||||||||
Remaining capacity of shares repurchase program | $ 299,000,000 | $ 299,000,000 |
Subsidiary Information - Conden
Subsidiary Information - Condensed Consolidating Balance Sheet (Details) - USD ($) $ in Millions | 9 Months Ended | |||||
Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | |
Condensed Financial Information Disclosure [Abstract] | ||||||
Ownership interest | 100.00% | |||||
Assets | ||||||
Total investment portfolio and cash | $ 10,705 | $ 10,977 | ||||
Investment in subsidiaries | 0 | 0 | ||||
Premiums receivable, net of commissions payable | 844 | 904 | ||||
Deferred acquisition costs | 107 | 105 | ||||
Deferred tax asset, net | 68 | |||||
Intercompany loan receivable | 0 | 0 | ||||
Financial guaranty variable interest entities’ assets, at fair value | 469 | 569 | ||||
Dividends receivable from affiliate | 0 | 0 | ||||
Other | 1,242 | 980 | ||||
Total assets | 13,367 | 13,603 | ||||
Liabilities and shareholders’ equity | ||||||
Unearned premium reserve | 3,334 | 3,512 | ||||
Loss and loss adjustment expense reserve | 1,007 | 1,177 | ||||
Long-term debt | 1,234 | 1,233 | ||||
Intercompany loan payable | 0 | 0 | ||||
Credit derivative liabilities | 214 | 209 | ||||
Deferred tax liabilities, net | 0 | |||||
FG VIEs’ liabilities, at fair value | 493 | 619 | ||||
Dividends payable to affiliate | 0 | 0 | ||||
Other | 433 | 298 | ||||
Total liabilities | 6,715 | 7,048 | ||||
Effect on shareholders' equity (decrease) increase | 6,652 | $ 6,722 | 6,555 | $ 6,583 | $ 6,634 | $ 6,839 |
Noncontrolling interest | 0 | 0 | ||||
Total shareholders' equity | 6,652 | 6,555 | ||||
Total liabilities and shareholders’ equity | 13,367 | 13,603 | ||||
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | ||||||
Assets | ||||||
Total investment portfolio and cash | 41 | 45 | ||||
Investment in subsidiaries | 6,531 | 6,440 | ||||
Premiums receivable, net of commissions payable | 0 | 0 | ||||
Deferred acquisition costs | 0 | 0 | ||||
Deferred tax asset, net | 0 | |||||
Intercompany loan receivable | 0 | 0 | ||||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ||||
Dividends receivable from affiliate | 70 | 60 | ||||
Other | 25 | 29 | ||||
Total assets | 6,667 | 6,574 | ||||
Liabilities and shareholders’ equity | ||||||
Unearned premium reserve | 0 | 0 | ||||
Loss and loss adjustment expense reserve | 0 | 0 | ||||
Long-term debt | 0 | 0 | ||||
Intercompany loan payable | 0 | 0 | ||||
Credit derivative liabilities | 0 | 0 | ||||
Deferred tax liabilities, net | 0 | |||||
FG VIEs’ liabilities, at fair value | 0 | 0 | ||||
Dividends payable to affiliate | 0 | 0 | ||||
Other | 15 | 19 | ||||
Total liabilities | 15 | 19 | ||||
Effect on shareholders' equity (decrease) increase | 6,652 | 6,555 | ||||
Noncontrolling interest | 0 | 0 | ||||
Total shareholders' equity | 6,652 | 6,555 | ||||
Total liabilities and shareholders’ equity | 6,667 | 6,574 | ||||
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGUS [Member] | ||||||
Assets | ||||||
Total investment portfolio and cash | 416 | 334 | ||||
Investment in subsidiaries | 5,898 | 5,835 | ||||
Premiums receivable, net of commissions payable | 0 | 0 | ||||
Deferred acquisition costs | 0 | 0 | ||||
Deferred tax asset, net | 0 | |||||
Intercompany loan receivable | 0 | 0 | ||||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ||||
Dividends receivable from affiliate | 10 | 0 | ||||
Other | 84 | 66 | ||||
Total assets | 6,408 | 6,235 | ||||
Liabilities and shareholders’ equity | ||||||
Unearned premium reserve | 0 | 0 | ||||
Loss and loss adjustment expense reserve | 0 | 0 | ||||
Long-term debt | 844 | 844 | ||||
Intercompany loan payable | 50 | 50 | ||||
Credit derivative liabilities | 0 | 0 | ||||
Deferred tax liabilities, net | 49 | |||||
FG VIEs’ liabilities, at fair value | 0 | 0 | ||||
Dividends payable to affiliate | 70 | 60 | ||||
Other | 75 | 3 | ||||
Total liabilities | 1,039 | 1,006 | ||||
Effect on shareholders' equity (decrease) increase | 5,369 | 5,229 | ||||
Noncontrolling interest | 0 | 0 | ||||
Total shareholders' equity | 5,369 | 5,229 | ||||
Total liabilities and shareholders’ equity | 6,408 | 6,235 | ||||
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGMH [Member] | ||||||
Assets | ||||||
Total investment portfolio and cash | 24 | 23 | ||||
Investment in subsidiaries | 4,135 | 3,991 | ||||
Premiums receivable, net of commissions payable | 0 | 0 | ||||
Deferred acquisition costs | 0 | 0 | ||||
Deferred tax asset, net | 0 | |||||
Intercompany loan receivable | 0 | 0 | ||||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ||||
Dividends receivable from affiliate | 0 | 0 | ||||
Other | 32 | 24 | ||||
Total assets | 4,191 | 4,038 | ||||
Liabilities and shareholders’ equity | ||||||
Unearned premium reserve | 0 | 0 | ||||
Loss and loss adjustment expense reserve | 0 | 0 | ||||
Long-term debt | 474 | 468 | ||||
Intercompany loan payable | 0 | 0 | ||||
Credit derivative liabilities | 0 | 0 | ||||
Deferred tax liabilities, net | 50 | |||||
FG VIEs’ liabilities, at fair value | 0 | 0 | ||||
Dividends payable to affiliate | 10 | 0 | ||||
Other | 71 | 17 | ||||
Total liabilities | 555 | 535 | ||||
Effect on shareholders' equity (decrease) increase | 3,636 | 3,503 | ||||
Noncontrolling interest | 0 | 0 | ||||
Total shareholders' equity | 3,636 | 3,503 | ||||
Total liabilities and shareholders’ equity | 4,191 | 4,038 | ||||
Reportable Legal Entities [Member] | Other Entities [Member] | ||||||
Assets | ||||||
Total investment portfolio and cash | 10,655 | 11,000 | ||||
Investment in subsidiaries | 204 | 226 | ||||
Premiums receivable, net of commissions payable | 997 | 1,071 | ||||
Deferred acquisition costs | 142 | 143 | ||||
Deferred tax asset, net | 162 | |||||
Intercompany loan receivable | 50 | 50 | ||||
Financial guaranty variable interest entities’ assets, at fair value | 469 | 569 | ||||
Dividends receivable from affiliate | 0 | 0 | ||||
Other | 2,723 | 2,437 | ||||
Total assets | 15,240 | 15,658 | ||||
Liabilities and shareholders’ equity | ||||||
Unearned premium reserve | 4,228 | 4,452 | ||||
Loss and loss adjustment expense reserve | 1,251 | 1,467 | ||||
Long-term debt | 4 | 5 | ||||
Intercompany loan payable | 300 | 300 | ||||
Credit derivative liabilities | 249 | 236 | ||||
Deferred tax liabilities, net | 0 | |||||
FG VIEs’ liabilities, at fair value | 493 | 619 | ||||
Dividends payable to affiliate | 0 | 0 | ||||
Other | 894 | 763 | ||||
Total liabilities | 7,419 | 7,842 | ||||
Effect on shareholders' equity (decrease) increase | 7,617 | 7,590 | ||||
Noncontrolling interest | 204 | 226 | ||||
Total shareholders' equity | 7,821 | 7,816 | ||||
Total liabilities and shareholders’ equity | 15,240 | 15,658 | ||||
Consolidating Adjustments [Member] | ||||||
Assets | ||||||
Total investment portfolio and cash | (431) | (425) | ||||
Investment in subsidiaries | (16,768) | (16,492) | ||||
Premiums receivable, net of commissions payable | (153) | (167) | ||||
Deferred acquisition costs | (35) | (38) | ||||
Deferred tax asset, net | (94) | |||||
Intercompany loan receivable | (50) | (50) | ||||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ||||
Dividends receivable from affiliate | (80) | (60) | ||||
Other | (1,622) | (1,576) | ||||
Total assets | (19,139) | (18,902) | ||||
Liabilities and shareholders’ equity | ||||||
Unearned premium reserve | (894) | (940) | ||||
Loss and loss adjustment expense reserve | (244) | (290) | ||||
Long-term debt | (88) | (84) | ||||
Intercompany loan payable | (350) | (350) | ||||
Credit derivative liabilities | (35) | (27) | ||||
Deferred tax liabilities, net | (99) | |||||
FG VIEs’ liabilities, at fair value | 0 | 0 | ||||
Dividends payable to affiliate | (80) | (60) | ||||
Other | (622) | (504) | ||||
Total liabilities | (2,313) | (2,354) | ||||
Effect on shareholders' equity (decrease) increase | (16,622) | (16,322) | ||||
Noncontrolling interest | (204) | (226) | ||||
Total shareholders' equity | (16,826) | (16,548) | ||||
Total liabilities and shareholders’ equity | (19,139) | (18,902) | ||||
AGMH [Member] | Issuer Subsidiary [Member] | ||||||
Liabilities and shareholders’ equity | ||||||
Debt instrument, fair value | $ 131 | $ 125 |
Subsidiary Information - Cond_2
Subsidiary Information - Condensed Consolidating Statement of Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Revenues | ||||
Net earned premiums | $ 123 | $ 142 | $ 353 | $ 423 |
Net investment income | 88 | 99 | 296 | 297 |
Net realized investment gains (losses) | 16 | (7) | 12 | (14) |
Net change in fair value of credit derivatives | 5 | 21 | (25) | 103 |
Other | (26) | 20 | 31 | (21) |
Total revenues | 206 | 275 | 667 | 788 |
Expenses | ||||
Loss and LAE | 30 | 17 | 75 | 43 |
Amortization of deferred acquisition costs | 3 | 3 | 13 | 12 |
Interest expense | 22 | 23 | 67 | 71 |
Other operating expenses | 65 | 56 | 189 | 183 |
Total expenses | 120 | 99 | 344 | 309 |
Equity in net earnings of investees | 0 | (1) | 3 | 0 |
Total before tax | 86 | 175 | 326 | 479 |
Total (provision) benefit for income taxes | (17) | (14) | (61) | (46) |
Equity in net earnings of subsidiaries | 0 | 0 | 0 | 0 |
Net income (loss) | 69 | 161 | 265 | 433 |
Less: noncontrolling interest | 0 | 0 | 0 | 0 |
Net income (loss) attributable to Assured Guaranty Ltd. | 69 | 161 | 265 | 433 |
Comprehensive income (loss) | 93 | 87 | 491 | 171 |
Reportable Legal Entities [Member] | Assured Guaranty Ltd. (Parent) [Member] | ||||
Revenues | ||||
Net earned premiums | 0 | 0 | 0 | 0 |
Net investment income | 0 | 0 | 0 | 0 |
Net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Net change in fair value of credit derivatives | 0 | 0 | 0 | 0 |
Other | 3 | 3 | 7 | 9 |
Total revenues | 3 | 3 | 7 | 9 |
Expenses | ||||
Loss and LAE | 0 | 0 | 0 | 0 |
Amortization of deferred acquisition costs | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | 0 | 0 |
Other operating expenses | 10 | 10 | 30 | 30 |
Total expenses | 10 | 10 | 30 | 30 |
Equity in net earnings of investees | 0 | 0 | 0 | 0 |
Total before tax | (7) | (7) | (23) | (21) |
Total (provision) benefit for income taxes | 0 | 0 | 0 | 0 |
Equity in net earnings of subsidiaries | 76 | 168 | 288 | 454 |
Net income (loss) | 69 | 161 | 265 | 433 |
Less: noncontrolling interest | 0 | 0 | 0 | 0 |
Net income (loss) attributable to Assured Guaranty Ltd. | 69 | 161 | 265 | 433 |
Comprehensive income (loss) | 93 | 87 | 491 | 171 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGUS [Member] | ||||
Revenues | ||||
Net earned premiums | 0 | 0 | 0 | 0 |
Net investment income | 2 | 2 | 8 | 6 |
Net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Net change in fair value of credit derivatives | 0 | 0 | 0 | 0 |
Other | 0 | 0 | 0 | 0 |
Total revenues | 2 | 2 | 8 | 6 |
Expenses | ||||
Loss and LAE | 0 | 0 | 0 | 0 |
Amortization of deferred acquisition costs | 0 | 0 | 0 | 0 |
Interest expense | 12 | 13 | 37 | 37 |
Other operating expenses | 1 | 6 | 3 | 9 |
Total expenses | 13 | 19 | 40 | 46 |
Equity in net earnings of investees | 0 | 0 | 0 | 0 |
Total before tax | (11) | (17) | (32) | (40) |
Total (provision) benefit for income taxes | 3 | 45 | 7 | 50 |
Equity in net earnings of subsidiaries | 71 | 111 | 275 | 336 |
Net income (loss) | 63 | 139 | 250 | 346 |
Less: noncontrolling interest | 0 | 0 | 0 | 0 |
Net income (loss) attributable to Assured Guaranty Ltd. | 63 | 139 | 250 | 346 |
Comprehensive income (loss) | 73 | 76 | 388 | 150 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGMH [Member] | ||||
Revenues | ||||
Net earned premiums | 0 | 0 | 0 | 0 |
Net investment income | 0 | 0 | 0 | 0 |
Net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Net change in fair value of credit derivatives | 0 | 0 | 0 | 0 |
Other | 0 | 0 | 0 | 0 |
Total revenues | 0 | 0 | 0 | 0 |
Expenses | ||||
Loss and LAE | 0 | 0 | 0 | 0 |
Amortization of deferred acquisition costs | 0 | 0 | 0 | 0 |
Interest expense | 13 | 13 | 40 | 40 |
Other operating expenses | 0 | (1) | 0 | 0 |
Total expenses | 13 | 12 | 40 | 40 |
Equity in net earnings of investees | 0 | 0 | 0 | 0 |
Total before tax | (13) | (12) | (40) | (40) |
Total (provision) benefit for income taxes | 2 | 3 | 8 | 9 |
Equity in net earnings of subsidiaries | 52 | 108 | 215 | 219 |
Net income (loss) | 41 | 99 | 183 | 188 |
Less: noncontrolling interest | 0 | 0 | 0 | 0 |
Net income (loss) attributable to Assured Guaranty Ltd. | 41 | 99 | 183 | 188 |
Comprehensive income (loss) | 38 | 61 | 299 | 54 |
Reportable Legal Entities [Member] | Other Entities [Member] | ||||
Revenues | ||||
Net earned premiums | 126 | 146 | 361 | 434 |
Net investment income | 91 | 101 | 302 | 301 |
Net realized investment gains (losses) | 16 | (7) | 12 | (14) |
Net change in fair value of credit derivatives | 5 | 21 | (25) | 103 |
Other | 20 | 72 | 179 | 137 |
Total revenues | 258 | 333 | 829 | 961 |
Expenses | ||||
Loss and LAE | 32 | 18 | 84 | 48 |
Amortization of deferred acquisition costs | 4 | 5 | 16 | 16 |
Interest expense | 3 | 2 | 8 | 7 |
Other operating expenses | 103 | 93 | 308 | 293 |
Total expenses | 142 | 118 | 416 | 364 |
Equity in net earnings of investees | 0 | (1) | 3 | 0 |
Total before tax | 116 | 214 | 416 | 597 |
Total (provision) benefit for income taxes | (21) | (58) | (74) | (103) |
Equity in net earnings of subsidiaries | 5 | 7 | 14 | 20 |
Net income (loss) | 100 | 163 | 356 | 514 |
Less: noncontrolling interest | 5 | 7 | 14 | 20 |
Net income (loss) attributable to Assured Guaranty Ltd. | 95 | 156 | 342 | 494 |
Comprehensive income (loss) | 124 | 92 | 584 | 255 |
Consolidating Adjustments [Member] | ||||
Revenues | ||||
Net earned premiums | (3) | (4) | (8) | (11) |
Net investment income | (5) | (4) | (14) | (10) |
Net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Net change in fair value of credit derivatives | 0 | 0 | 0 | 0 |
Other | (49) | (55) | (155) | (167) |
Total revenues | (57) | (63) | (177) | (188) |
Expenses | ||||
Loss and LAE | (2) | (1) | (9) | (5) |
Amortization of deferred acquisition costs | (1) | (2) | (3) | (4) |
Interest expense | (6) | (5) | (18) | (13) |
Other operating expenses | (49) | (52) | (152) | (149) |
Total expenses | (58) | (60) | (182) | (171) |
Equity in net earnings of investees | 0 | 0 | 0 | 0 |
Total before tax | 1 | (3) | 5 | (17) |
Total (provision) benefit for income taxes | (1) | (4) | (2) | (2) |
Equity in net earnings of subsidiaries | (204) | (394) | (792) | (1,029) |
Net income (loss) | (204) | (401) | (789) | (1,048) |
Less: noncontrolling interest | (5) | (7) | (14) | (20) |
Net income (loss) attributable to Assured Guaranty Ltd. | (199) | (394) | (775) | (1,028) |
Comprehensive income (loss) | $ (235) | $ (229) | $ (1,271) | $ (459) |
Subsidiary Information - Cond_3
Subsidiary Information - Condensed Consolidating Statement of Cash Flows (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
Condensed Cash Flow Statements, Captions [Line Items] | ||||||
Net cash flows provided by (used in) operating activities | $ (365) | $ 352 | ||||
Fixed-maturity securities: | ||||||
Purchases | (688) | (1,478) | ||||
Sales | $ 405 | $ 316 | 1,306 | 908 | ||
Maturities and paydowns | 664 | 746 | ||||
Short-term investments with maturities of over three months: | ||||||
Purchases | (216) | (148) | ||||
Sales | 2 | 1 | ||||
Maturities and paydowns | 206 | 136 | ||||
Net sales (purchases) of short-term investments with original maturities of less than three months | (404) | (80) | ||||
Net proceeds from paydowns on FG VIEs’ assets | 119 | 90 | ||||
Net proceeds from sales of FG VIEs’ assets | 51 | 0 | ||||
Proceeds from stock redemption and return of capital from subsidiaries | 0 | 0 | ||||
Other | 30 | 19 | ||||
Net cash flows provided by (used in) investing activities | 1,070 | 194 | ||||
Cash flows from financing activities | ||||||
Return of capital | 0 | |||||
Dividends paid | (56) | (55) | ||||
Repurchases of common stock | (340) | (380) | ||||
Net paydowns of financial guaranty variable interest entities’ liabilities | (162) | (90) | ||||
Paydown of long-term debt | (4) | (73) | ||||
Other | (16) | (8) | ||||
Net cash flows provided by (used in) financing activities | (578) | (606) | ||||
Effect of foreign exchange rate changes | (2) | (2) | ||||
Increase (decrease) in cash | 125 | (62) | ||||
Cash and restricted cash at beginning of period | $ 82 | 104 | 144 | $ 144 | ||
Cash and restricted cash at end of period | 229 | 104 | 82 | 229 | 82 | 104 |
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 | 408 | 454 | ||||
Fixed-maturity securities: | ||||||
Purchases | 0 | 0 | ||||
Sales | 0 | 0 | ||||
Maturities and paydowns | 0 | 0 | ||||
Short-term investments with maturities of over three months: | ||||||
Purchases | 0 | 0 | ||||
Sales | 0 | 0 | ||||
Maturities and paydowns | 0 | 0 | ||||
Net sales (purchases) of short-term investments with original maturities of less than three months | 4 | (11) | ||||
Net proceeds from paydowns on FG VIEs’ assets | 0 | 0 | ||||
Net proceeds from sales of FG VIEs’ assets | 0 | |||||
Proceeds from stock redemption and return of capital from subsidiaries | 0 | 0 | ||||
Other | 0 | 0 | ||||
Net cash flows provided by (used in) investing activities | 4 | (11) | ||||
Cash flows from financing activities | ||||||
Return of capital | 0 | |||||
Dividends paid | (56) | (55) | ||||
Repurchases of common stock | (340) | (380) | ||||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||||
Paydown of long-term debt | 0 | 0 | ||||
Other | (16) | (8) | ||||
Net cash flows provided by (used in) financing activities | (412) | (443) | ||||
Effect of foreign exchange rate changes | 0 | 0 | ||||
Increase (decrease) in cash | 0 | 0 | ||||
Cash and restricted cash at beginning of period | 0 | 0 | 0 | 0 | ||
Cash and restricted cash at end of period | 0 | 0 | 0 | 0 | 0 | 0 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGUS [Member] | ||||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||||
Net cash flows provided by (used in) operating activities | 217 | 101 | ||||
Fixed-maturity securities: | ||||||
Purchases | (3) | (76) | ||||
Sales | 0 | 31 | ||||
Maturities and paydowns | 4 | 28 | ||||
Short-term investments with maturities of over three months: | ||||||
Purchases | 0 | 0 | ||||
Sales | 0 | 0 | ||||
Maturities and paydowns | 12 | 0 | ||||
Net sales (purchases) of short-term investments with original maturities of less than three months | (90) | 60 | ||||
Net proceeds from paydowns on FG VIEs’ assets | 0 | 0 | ||||
Net proceeds from sales of FG VIEs’ assets | 0 | |||||
Proceeds from stock redemption and return of capital from subsidiaries | 100 | 200 | ||||
Other | 0 | (15) | ||||
Net cash flows provided by (used in) investing activities | 23 | 228 | ||||
Cash flows from financing activities | ||||||
Return of capital | 0 | |||||
Dividends paid | (237) | (362) | ||||
Repurchases of common stock | 0 | 0 | ||||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||||
Paydown of long-term debt | 0 | 0 | ||||
Other | 0 | 0 | ||||
Net cash flows provided by (used in) financing activities | (237) | (362) | ||||
Effect of foreign exchange rate changes | 0 | 0 | ||||
Increase (decrease) in cash | 3 | (33) | ||||
Cash and restricted cash at beginning of period | 0 | 1 | 33 | 33 | ||
Cash and restricted cash at end of period | 4 | 1 | 0 | 4 | 0 | 1 |
Reportable Legal Entities [Member] | Issuer Subsidiary [Member] | AGMH [Member] | ||||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||||
Net cash flows provided by (used in) operating activities | 157 | 126 | ||||
Fixed-maturity securities: | ||||||
Purchases | 0 | (12) | ||||
Sales | 0 | 8 | ||||
Maturities and paydowns | 7 | 0 | ||||
Short-term investments with maturities of over three months: | ||||||
Purchases | 0 | 0 | ||||
Sales | 0 | 0 | ||||
Maturities and paydowns | 0 | 0 | ||||
Net sales (purchases) of short-term investments with original maturities of less than three months | (3) | (74) | ||||
Net proceeds from paydowns on FG VIEs’ assets | 0 | 0 | ||||
Net proceeds from sales of FG VIEs’ assets | 0 | |||||
Proceeds from stock redemption and return of capital from subsidiaries | 0 | 0 | ||||
Other | 0 | 0 | ||||
Net cash flows provided by (used in) investing activities | 4 | (78) | ||||
Cash flows from financing activities | ||||||
Return of capital | 0 | |||||
Dividends paid | (156) | (50) | ||||
Repurchases of common stock | 0 | 0 | ||||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||||
Paydown of long-term debt | 0 | 0 | ||||
Other | 0 | 0 | ||||
Net cash flows provided by (used in) financing activities | (156) | (50) | ||||
Effect of foreign exchange rate changes | 0 | 0 | ||||
Increase (decrease) in cash | 5 | (2) | ||||
Cash and restricted cash at beginning of period | 0 | 0 | 2 | 2 | ||
Cash and restricted cash at end of period | 5 | 0 | 0 | 5 | 0 | 0 |
Reportable Legal Entities [Member] | Other Entities [Member] | ||||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||||
Net cash flows provided by (used in) operating activities | (280) | 448 | ||||
Fixed-maturity securities: | ||||||
Purchases | (688) | (1,462) | ||||
Sales | 1,306 | 869 | ||||
Maturities and paydowns | 653 | 718 | ||||
Short-term investments with maturities of over three months: | ||||||
Purchases | (216) | (148) | ||||
Sales | 2 | 1 | ||||
Maturities and paydowns | 194 | 136 | ||||
Net sales (purchases) of short-term investments with original maturities of less than three months | (315) | (55) | ||||
Net proceeds from paydowns on FG VIEs’ assets | 119 | 90 | ||||
Net proceeds from sales of FG VIEs’ assets | 51 | |||||
Proceeds from stock redemption and return of capital from subsidiaries | 10 | 0 | ||||
Other | 30 | 34 | ||||
Net cash flows provided by (used in) investing activities | 1,146 | 183 | ||||
Cash flows from financing activities | ||||||
Return of capital | (10) | |||||
Dividends paid | (474) | (365) | ||||
Repurchases of common stock | (100) | (200) | ||||
Net paydowns of financial guaranty variable interest entities’ liabilities | (162) | (90) | ||||
Paydown of long-term debt | (1) | (1) | ||||
Other | 0 | 0 | ||||
Net cash flows provided by (used in) financing activities | (747) | (656) | ||||
Effect of foreign exchange rate changes | (2) | (2) | ||||
Increase (decrease) in cash | 117 | (27) | ||||
Cash and restricted cash at beginning of period | 82 | 103 | 109 | 109 | ||
Cash and restricted cash at end of period | 220 | 103 | 82 | 220 | 82 | 103 |
Consolidating Adjustments [Member] | ||||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||||
Net cash flows provided by (used in) operating activities | (867) | (777) | ||||
Fixed-maturity securities: | ||||||
Purchases | 3 | 72 | ||||
Sales | 0 | 0 | ||||
Maturities and paydowns | 0 | 0 | ||||
Short-term investments with maturities of over three months: | ||||||
Purchases | 0 | 0 | ||||
Sales | 0 | 0 | ||||
Maturities and paydowns | 0 | 0 | ||||
Net sales (purchases) of short-term investments with original maturities of less than three months | 0 | 0 | ||||
Net proceeds from paydowns on FG VIEs’ assets | 0 | 0 | ||||
Net proceeds from sales of FG VIEs’ assets | 0 | |||||
Proceeds from stock redemption and return of capital from subsidiaries | (110) | (200) | ||||
Other | 0 | 0 | ||||
Net cash flows provided by (used in) investing activities | (107) | (128) | ||||
Cash flows from financing activities | ||||||
Return of capital | 10 | |||||
Dividends paid | 867 | 777 | ||||
Repurchases of common stock | 100 | 200 | ||||
Net paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||||
Paydown of long-term debt | (3) | (72) | ||||
Other | 0 | 0 | ||||
Net cash flows provided by (used in) financing activities | 974 | 905 | ||||
Effect of foreign exchange rate changes | 0 | 0 | ||||
Increase (decrease) in cash | 0 | 0 | ||||
Cash and restricted cash at beginning of period | 0 | 0 | 0 | 0 | ||
Cash and restricted cash at end of period | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 |
Uncategorized Items - gaapago-0
Label | Element | Value |
Reinsurance of SGI Insured Portfolio [Member] | Structured Finance [Member] | ||
Guarantor Obligations, Net Expected Loss to be Paid After Recoveries for Representations and Warranties | ago_GuarantorObligationsNetExpectedLosstobePaidAfterRecoveriesforRepresentationsandWarranties | $ 130,000,000 |
Reinsurance of SGI Insured Portfolio [Member] | Other Structured Finance [Member] | ||
Guarantor Obligations, Net Expected Loss to be Paid After Recoveries for Representations and Warranties | ago_GuarantorObligationsNetExpectedLosstobePaidAfterRecoveriesforRepresentationsandWarranties | 0 |
Reinsurance of SGI Insured Portfolio [Member] | Public Finance [Member] | ||
Guarantor Obligations, Net Expected Loss to be Paid After Recoveries for Representations and Warranties | ago_GuarantorObligationsNetExpectedLosstobePaidAfterRecoveriesforRepresentationsandWarranties | 1,000,000 |
Non-US [Member] | Reinsurance of SGI Insured Portfolio [Member] | Public Finance [Member] | ||
Guarantor Obligations, Net Expected Loss to be Paid After Recoveries for Representations and Warranties | ago_GuarantorObligationsNetExpectedLosstobePaidAfterRecoveriesforRepresentationsandWarranties | 1,000,000 |
UNITED STATES | Reinsurance of SGI Insured Portfolio [Member] | Residential Mortgage Backed Securities [Member] | ||
Guarantor Obligations, Net Expected Loss to be Paid After Recoveries for Representations and Warranties | ago_GuarantorObligationsNetExpectedLosstobePaidAfterRecoveriesforRepresentationsandWarranties | 130,000,000 |
UNITED STATES | Reinsurance of SGI Insured Portfolio [Member] | Public Finance [Member] | ||
Guarantor Obligations, Net Expected Loss to be Paid After Recoveries for Representations and Warranties | ago_GuarantorObligationsNetExpectedLosstobePaidAfterRecoveriesforRepresentationsandWarranties | 0 |
Accounting Standards Update 2016-01 [Member] | Retained Earnings [Member] | ||
Cumulative Effect of New Accounting Principle in Period of Adoption | us-gaap_CumulativeEffectOfNewAccountingPrincipleInPeriodOfAdoption | $ 32,000,000 |