|
ý
|
|
ANNUAL REPORT UNDER SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
o
|
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Bermuda
(State or other jurisdiction of
incorporation or organization)
|
|
98-0429991
(I.R.S. Employer Identification No.)
|
Title of each class
|
|
Name of each exchange on which registered
|
Common Shares, $0.01 per share
|
|
New York Stock Exchange, Inc.
|
Large accelerated filer
ý
|
|
Accelerated filer
o
|
|
Non-accelerated filer
o
(Do not check if a
smaller reporting company)
|
|
Smaller reporting company
o
|
|
•
|
rating agency action, including a ratings downgrade, a change in outlook, the placement of ratings on watch for downgrade, or a change in rating criteria, at any time, of Assured Guaranty or any of its subsidiaries and/or of transactions that Assured Guaranty’s subsidiaries have insured;
|
•
|
reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty's insurance;
|
•
|
developments in the world’s financial and capital markets that adversely affect obligors’ payment rates, Assured Guaranty’s loss experience, or its exposure to refinancing risk in transactions (which could result in substantial liquidity claims on its guarantees);
|
•
|
the possibility that budget shortfalls or other factors will result in credit losses or impairments on obligations of state and local governments that the Company insures or reinsures;
|
•
|
the failure of Assured Guaranty to realize insurance loss recoveries or damages through loan putbacks, settlement negotiations or litigation;
|
•
|
deterioration in the financial condition of Assured Guaranty’s reinsurers, the amount and timing of reinsurance recoverables actually received and the risk that reinsurers may dispute amounts owed to Assured Guaranty under its reinsurance agreements;
|
•
|
increased competition, including from new entrants into the financial guaranty industry;
|
•
|
rating agency action on obligors, including sovereign debtors, resulting in a reduction in the value of securities in the Company’s investment portfolio and in collateral posted by and to the Company;
|
•
|
the inability of Assured Guaranty to access external sources of capital on acceptable terms;
|
•
|
changes in the world’s credit markets, segments thereof or general economic conditions;
|
•
|
the impact of market volatility on the mark-to-market of Assured Guaranty’s contracts written in credit default swap form;
|
•
|
changes in applicable accounting policies or practices;
|
•
|
changes in applicable laws or regulations, including insurance and tax laws;
|
•
|
other governmental actions;
|
•
|
difficulties with the execution of Assured Guaranty’s business strategy;
|
•
|
contract cancellations;
|
•
|
loss of key personnel;
|
•
|
adverse technological developments;
|
•
|
the effects of mergers, acquisitions and divestitures;
|
•
|
natural or man-made catastrophes;
|
•
|
other risks and uncertainties that have not been identified at this time;
|
•
|
management’s response to these factors; and
|
•
|
other risk factors identified in Assured Guaranty’s filings with the U.S. Securities and Exchange Commission (the “SEC”).
|
|
|
Page
|
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
ITEM 1.
|
BUSINESS
|
•
|
MAC only has exposure to U.S. public finance risk and no exposure to structured finance risk;
|
•
|
MAC insures only U.S. public finance risk, focusing on investment grade obligations in select sectors of the municipal market;
|
•
|
MAC had approximately $1.5 billion of claims-paying resources as of December 31, 2013, consisting of $834 million of statutory capital and $671 million of statutory unearned premium reserve; and
|
•
|
MAC has strong financial strength ratings from two rating agencies: AA+ (stable outlook) from Kroll Bond Rating Agency ("Kroll") and AA- (stable outlook) from Standard & Poor's Rating Services ("S&P").
|
•
|
Sustained low interest rate environment in the U.S.
Within the last five years, interest rates in the U.S. had been at low levels by historical standards. Although such interest rates did rise slightly in 2013 from record lows in 2012, they are expected to remain low for the near future. As a result, the difference in yield (or the credit spread) between a bond insured by Assured Guaranty and an uninsured bond has provided comparatively little room for issuer savings and insurance premium, and Assured Guaranty has seen a lower demand for its financial guaranty insurance from issuers than it had prior to 2008.
|
•
|
Continued low volume of issuance in the U.S. public finance market.
According to industry compilations, U.S. municipalities issued only $311.9 billion of bonds in 2013, 15% less than in 2012. With the exception of 2011, the 2013 volume of issuance in the U.S. public finance market was the lowest since 2001. The decline was caused in part by fewer refunding transactions — approximately $132 billion in 2013, compared with approximately $189 billion in 2012. In 2014, the Company expects the volume of issuance to continue to be low, in light of austerity measures municipalities have been implementing in order to address budget shortfalls, including those resulting from increased pension and healthcare costs.
|
•
|
Increased competition.
The Company estimates, based on third party industry compilations, that of the insured U.S. public finance bonds issued in the primary market in 2013, the Company insured approximately 62.3% of the par, while Build America Mutual Assurance Company ("BAM"), a newly formed insurance company that commenced operations in 2012, insured 36.8% of the par. The continued presence in the market of BAM, as well as any other new entrants, may affect the Company's insured volume as well as the amount of premium the Company is able to charge.
|
•
|
Continued uncertainty over the Company's financial strength ratings.
When Assured Guaranty issues a financial guaranty on a debt obligation, the rating agencies generally raise the debt or short-term credit ratings of the obligation to the same rating as the financial strength rating of the Assured Guaranty subsidiary that has guaranteed that obligation. Accordingly, investors in products insured by AGM, AGC, MAC or AGE frequently rely on rating agency ratings, and a failure of the insurer to maintain strong financial strength ratings or uncertainty over such ratings would have a negative impact on the demand for its insurance product. The Company's financial strength ratings have been subject to substantial uncertainty in recent years due to changes in rating agency methodologies for rating financial guaranty insurance companies, periodic rating agency reviews for possible downgrade and actual downgrades. For example, in March 2012, Moody's Investors Service, Inc. ("Moody's") placed the ratings of AGL and its subsidiaries, including the financial strength ratings of AGL's insurance subsidiaries, on review for possible downgrade. Moody's did not complete its review until January 2013, when it downgraded the financial strength ratings of AGM and AGC from Aa3 to A2 and A3, respectively, and that of AG Re from A1 to Baa1. In February 2014, Moody's affirmed the financial strength ratings and outlooks of AGM and AGC, and affirmed AG Re's financial strength rating but changed AG Re's outlook to negative, citing its vulnerability to adverse developments within its insured portfolio. The uncertainty over the Company's financial strength ratings over time has had a negative effect on the demand for the Company's financial guaranties. If the financial strength rating of one or more of the Company's insurance subsidiaries were reduced below current levels, the Company expects that would reduce the number of transactions that would benefit from the Company's insurance and consequently harm the Company's new business opportunities.
|
•
|
Portfolio Risk Management Committee
—This committee establishes company-wide credit policy for the Company's direct and assumed business. It implements specific underwriting procedures and limits for the Company and allocates underwriting capacity among the Company's subsidiaries. The Portfolio Risk Management Committee focuses on measuring and managing credit, market and liquidity risk for the overall company. All transactions in new asset classes or new jurisdictions must be approved by this committee.
|
•
|
U.S. Management Committee
—This committee establishes strategic policy and reviews the implementation of strategic initiatives and general business progress in the U.S. The U.S. Management Committee approves risk policy at the U.S. operating company level.
|
•
|
Risk Management Committees
—The U.S., U.K. and AG Re risk management committees conduct an in-depth review of the insured portfolios of the relevant subsidiaries, focusing on varying portions of the portfolio at each meeting. They assign internal ratings of the insured transactions and review sector reports, monthly product line surveillance reports and compliance reports.
|
•
|
Workout Committee
—This committee receives reports from Surveillance and Workout personnel on transactions that might benefit from active loss mitigation and develops and approves loss mitigation strategies for such transactions.
|
•
|
Reserve Committees
—Oversight of reserving risk is vested in the U.S. Reserve Committee, the AG Re Reserve Committee and the U.K. Reserve Committee. The committees review the reserve methodology and assumptions for each major asset class or significant below-investment grade ("BIG") transaction, as well as the loss projection scenarios used and the probability weights assigned to those scenarios. The reserve committees establish reserves for the relevant subsidiaries, taking into consideration supporting information provided by Surveillance personnel.
|
•
|
Instability of Rating Criteria and Methodologies.
Rating agencies purport to issue ratings pursuant to published rating criteria and methodologies. In recent years, the rating agencies have made material changes to their rating criteria and methodologies applicable to financial guaranty insurers, sometimes through formal changes and other times through
ad hoc
adjustments to the conclusions reached by existing criteria. Furthermore, these criteria and methodology changes are typically implemented without any transition period, making it difficult for an insurer to comply quickly with new standards.
|
•
|
Increasingly Severe Stress Case Loss Assumptions.
A major component in arriving at a financial guaranty insurer's rating has been the rating agency’s assessment of the insurer’s capital adequacy, with each rating agency employing its own proprietary model. These capital adequacy models include “stress case” loss assumptions for various risks or risk categories. In reaction to the financial crisis, the rating agencies materially increased stress case loss assumptions across numerous risk categories. However, the stress case loss assumptions applied to financial guaranty insurers do not always appear consistent with, and can appear to be materially more severe than, the assumptions the rating agencies use when rating securities in those risk categories.
|
•
|
More Reliance on Qualitative Rating Criteria.
In prior years, the financial strength ratings of the Company’s insurance company subsidiaries were largely consistent with the rating agency’s assessment of the insurers’ capital adequacy, such that a rating downgrade could generally be avoided by raising additional capital or otherwise improving capital adequacy under the rating agency’s model. In recent years, however, both S&P and Moody’s have applied other factors, some of which are subjective, such as the insurer's business strategy and franchise value or the anticipated future demand for its product, to justify ratings for the Company’s insurance company subsidiaries significantly below the ratings implied by their own capital adequacy models. Currently, for example, S&P has concluded that AGM has “AAA” capital adequacy under the S&P model (but subject to a downward adjustment due to a “large obligor test” and Moody’s has concluded that AGM has “Aa” capital adequacy under the Moody’s model (offset by other factors including the rating agency’s assessment of competitive profile, future profitability and market share).
|
•
|
AGM is a New York domiciled insurance company licensed to write financial guaranty insurance and reinsurance in 50 U.S. states, the District of Columbia, Guam, Puerto Rico and the U.S. Virgin Islands. It also does business in Sydney, through a service company.
|
•
|
MAC is a New York domiciled insurance company licensed to write financial guaranty insurance and reinsurance in 47 U.S. jurisdictions, including the District of Columbia (with license applications pending in the remaining states). MAC will only insure U.S. public finance debt obligations, focusing on investment grade bonds in select sectors of that market.
|
•
|
AGC is a Maryland domiciled insurance company licensed to write financial guaranty insurance and reinsurance (which is classified in some states as surety or another line of insurance) in 50 U.S. states, the District of Columbia and Puerto Rico. It is registered as a foreign company in Australia and currently operates through a representative office in Sydney. AGC currently intends for the representative office to conduct activities so that it does not have a permanent establishment in Australia.
|
•
|
with respect to policies written prior to July 1, 1989, in an amount equal to 50% of earned premiums less permitted reductions; and
|
•
|
with respect to policies written on and after July 1, 1989, quarterly on a pro rata basis over a period of 20 years for municipal bonds and 15 years for all other obligations, in an amount equal to the greater of 50% of premiums written for the relevant category of insurance or a percentage of the principal guaranteed, varying from 0.55% to 2.50%, depending on the type of obligation guaranteed, until the contingency reserve amount for the category equals the applicable percentage of net unpaid principal. The contingency reserve is then taken down over the same period of time that it was established.
|
•
|
the insured average annual debt service for a single risk, net of qualifying reinsurance and collateral, or
|
•
|
the insured unpaid principal (reduced by the extent to which the unpaid principal of the supporting assets exceeds the insured unpaid principal) divided by nine, net of qualifying reinsurance and collateral, may not exceed 10% of the sum of the insurer's policyholders' surplus and contingency reserves, subject to certain conditions.
|
•
|
The minimum share capital must be always issued and outstanding and cannot be reduced. For AG Re, which is registered as a Class 3B insurer, the minimum share capital is $120,000. For AGRO, which is registered both as a Class 3A and a Class C long-term insurer, the minimum share capital is $370,000.
|
•
|
With respect to the distribution (including repurchase of shares) of any share capital, contributed surplus or other statutory capital:
|
(a)
|
any such distribution that would reduce AG Re's or AGRO's total statutory capital by 15% or more of their respective total statutory capital as set out in their previous year's financial statements requires the prior approval of the Authority. Any application for such approval must include an affidavit stating that the company will continue to meet the required margins; and
|
(b)
|
as a Class C long-term insurer, AGRO may not use the funds allocated to its long-term business fund, directly or indirectly, for any purpose other than a purpose of its long-term business except in so far as such payment can be made out of any surplus certified by AGRO's approved actuary to be available for distribution otherwise than to policyholders;
|
•
|
With respect to the declaration and payment of dividends:
|
(a)
|
each of AG Re and AGRO is prohibited from declaring or paying any dividends during any financial year if it is in breach of its solvency margin, minimum liquidity ratio or enhanced capital requirement, or if the declaration or payment of such dividends would cause such a breach (if it has failed to meet its minimum solvency margin or minimum liquidity ratio on the last day of any financial year, the insurer will be prohibited, without the approval of the Authority, from declaring or paying any dividends during the next financial year). Dividends, are paid out of each insurer's statutory surplus and, therefore, dividends cannot exceed such surplus. See "—Minimum Solvency Margin and Enhanced Capital Requirements" above and "—Minimum Liquidity Ratio" below;
|
(b)
|
an insurer which at any time fails to meet its minimum solvency margin or comply with the enhanced capital requirement may not declare or pay any dividend until the failure is rectified, and also in such circumstances the insurer must report, within 14 days after becoming aware of its failure or having reason to believe that such failure has occurred, to the Authority in writing giving particulars of the circumstances leading to the failure and giving a plan detailing the manner, specific actions to be taken and time frame in which the insurer intends to rectify the failure. A failure to comply with the enhanced capital requirement will also result in the insurer furnishing certain other information to the Authority within 45 days after becoming aware of its failure or having reason to believe that such failure has occurred;
|
(c)
|
as a Class 3B insurer, AG Re may not declare or pay, in any financial year, dividends of more than 25% of its total statutory capital and surplus (as set out on its previous year's financial statements) unless it files (at least seven days before payment of such dividends) with the Authority an affidavit stating that it will continue to meet the required margins; and
|
(d)
|
as a Class C long-term insurer, AGRO may not declare or pay a dividend to any person other than a policyholder unless the value of the assets of its long-term business fund, as certified by AGRO's approved actuary, exceeds the extent (as so certified) of the liabilities of AGRO's long-term business, and the amount of any such dividend shall not exceed the aggregate of (1) that excess; and (2) any other funds properly available for the payment of dividends being funds arising out of AGRO's business other than its long-term business.
|
•
|
the PRA, a subsidiary of the Bank of England, is responsible for prudential regulation of key systemically important firms (which includes insurance companies, among others), and
|
•
|
the FCA is responsible for the prudential regulation of all non-PRA firms, the conduct of business regulation of all firms and the regulation of market conduct.
|
•
|
an insurer's head office, and in particular its mind and management, must be in the United Kingdom if it is incorporated in the United Kingdom;
|
•
|
an insurer's business must be conducted in a prudent manner — in particular the insurer must maintain appropriate financial and non-financial resources;
|
•
|
the insurer must be fit and proper, and be appropriately staffed; and
|
•
|
the insurer and its group must be capable of being effectively supervised.
|
•
|
assets and liabilities are generally to be valued at their market value;
|
•
|
the amount of required economic capital is intended to ensure, with a probability of 99.5%, that regulated firms are able to meet their obligations to policyholders and beneficiaries over the following 12 months; and
|
•
|
reinsurance recoveries will be treated as a separate asset (rather than being netted off the underlying insurance liabilities).
|
ITEM 1A.
|
RISK FACTORS
|
•
|
the Company is 25% or more owned directly, indirectly through foreign entities or by attribution by U.S. Persons;
|
•
|
the gross RPII of AG Re or any other AGL foreign subsidiary engaged in the insurance business that has not made an election under section 953(d) of the Code to be treated as a U.S. corporation for all U.S. tax purposes or are CFCs owned directly or indirectly by AGUS (each, with AG Re, a "Foreign Insurance Subsidiary") were to equal or exceed 20% of such Foreign Insurance Subsidiary's gross insurance income in any taxable year; and
|
•
|
direct or indirect insureds (and persons related to such insureds) own (or are treated as owning directly or indirectly through entities) 20% or more of the voting power or value of the Company's shares,
|
•
|
With respect to income, the dividends that AGL receives from its subsidiaries should be exempt from U.K. corporation tax under the exemption contained in section 931D of the Corporation Tax Act 2009.
|
•
|
With respect to capital gains, if AGL were to dispose of shares in its direct subsidiaries or if it were deemed to have done so, it may realize a chargeable gain for U.K. tax purposes. Any tax charge would be based on AGL’s original acquisition cost. It is anticipated that any such future gain should qualify for exemption under the substantial shareholding exemption in Schedule 7AC to the Taxation of Chargeable Gains Act 1992. However, the availability of such exemption would depend on facts at the time of disposal, in particular the “trading” nature of the activities of the Assured Guaranty group and of the relevant subsidiary. There is no statutory definition of what constitutes “trading” activities for this purpose and in practice reliance is placed on the published guidance of HMRC.
|
•
|
investor perceptions of the Company, its prospects and that of the financial guaranty industry and the markets in which the Company operates;
|
•
|
the Company's operating and financial performance;
|
•
|
the Company's access to financial and capital markets to raise additional capital, refinance its debt or replace existing senior secured credit and receivables-backed facilities;
|
•
|
the Company's ability to repay debt;
|
•
|
the Company's dividend policy;
|
•
|
future sales of equity or equity-related securities;
|
•
|
changes in earnings estimates or buy/sell recommendations by analysts; and
|
•
|
general financial, economic and other market conditions.
|
ITEM 1B.
|
UNRESOLVED STAFF COMMENTS
|
ITEM 2.
|
PROPERTIES
|
•
|
AGMH received a subpoena from the Antitrust Division of the Department of Justice in November 2006 issued in connection with an ongoing criminal investigation of bid rigging of awards of municipal GICs and other municipal derivatives; and
|
•
|
AGM received a subpoena from the SEC in November 2006 related to an ongoing industry-wide investigation concerning the bidding of municipal GICs and other municipal derivatives.
|
ITEM 4.
|
MINE SAFETY DISCLOSURES
|
ITEM 5.
|
MARKET FOR REGISTRANT'S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES
|
|
2013
|
|
2012
|
||||||||||||||||||||
|
Sales Price
|
|
Cash
|
|
Sales Price
|
|
Cash
|
||||||||||||||||
|
High
|
|
Low
|
|
Dividends
|
|
High
|
|
Low
|
|
Dividends
|
||||||||||||
First Quarter
|
$
|
21.30
|
|
|
$
|
13.95
|
|
|
$
|
0.10
|
|
|
$
|
19.04
|
|
|
$
|
13.20
|
|
|
$
|
0.09
|
|
Second Quarter
|
24.73
|
|
|
18.92
|
|
|
0.10
|
|
|
16.58
|
|
|
11.17
|
|
|
0.09
|
|
||||||
Third Quarter
|
23.64
|
|
|
18.42
|
|
|
0.10
|
|
|
15.83
|
|
|
11.29
|
|
|
0.09
|
|
||||||
Fourth Quarter
|
24.81
|
|
|
17.80
|
|
|
0.10
|
|
|
14.80
|
|
|
12.48
|
|
|
0.09
|
|
|
Assured Guaranty
|
|
S&P 500 Index
|
|
S&P 500
Financial Index
|
||||||
12/31/2008
|
$
|
100.00
|
|
|
$
|
100.00
|
|
|
$
|
100.00
|
|
12/31/2009
|
193.65
|
|
|
126.45
|
|
|
117.15
|
|
|||
12/31/2010
|
159.12
|
|
|
145.49
|
|
|
131.36
|
|
|||
12/31/2011
|
119.69
|
|
|
148.56
|
|
|
108.95
|
|
|||
12/31/2012
|
133.06
|
|
|
172.32
|
|
|
140.26
|
|
|||
12/31/2013
|
224.66
|
|
|
228.12
|
|
|
190.18
|
|
ITEM 6.
|
SELECTED FINANCIAL DATA
|
|
Year Ended December 31,
|
||||||||||||||||||
|
2013
|
|
2012
|
|
2011
|
|
2010
|
|
2009
|
||||||||||
|
(dollars in millions, except per share amounts)
|
||||||||||||||||||
Statement of operations data:
|
|
|
|
|
|
|
|
|
|
||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net earned premiums
(1)
|
$
|
752
|
|
|
$
|
853
|
|
|
$
|
920
|
|
|
$
|
1,187
|
|
|
$
|
930
|
|
Net investment income
(1)
|
393
|
|
|
404
|
|
|
396
|
|
|
361
|
|
|
262
|
|
|||||
Net realized investment gains (losses)
(1)
|
52
|
|
|
1
|
|
|
(18
|
)
|
|
(2
|
)
|
|
(33
|
)
|
|||||
Realized gains and other settlements on credit derivatives
|
(42
|
)
|
|
(108
|
)
|
|
6
|
|
|
153
|
|
|
164
|
|
|||||
Net unrealized gains (losses) on credit derivatives
|
107
|
|
|
(477
|
)
|
|
554
|
|
|
(155
|
)
|
|
(338
|
)
|
|||||
Fair value gains (losses) on committed capital securities
|
10
|
|
|
(18
|
)
|
|
35
|
|
|
9
|
|
|
(123
|
)
|
|||||
Fair value gains (losses) on financial guaranty variable interest entities
(1)
|
346
|
|
|
191
|
|
|
(146
|
)
|
|
(274
|
)
|
|
(1
|
)
|
|||||
Other income (loss)
|
(10
|
)
|
|
108
|
|
|
58
|
|
|
34
|
|
|
56
|
|
|||||
Total revenues
|
1,608
|
|
|
954
|
|
|
1,805
|
|
|
1,313
|
|
|
917
|
|
|||||
Expenses:
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss and loss adjustment expenses
(1)
|
154
|
|
|
504
|
|
|
448
|
|
|
412
|
|
|
394
|
|
|||||
Amortization of deferred acquisition costs
(2)
|
12
|
|
|
14
|
|
|
17
|
|
|
22
|
|
|
44
|
|
|||||
Assured Guaranty Municipal Holdings Inc. acquisition-related expenses
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
92
|
|
|||||
Interest expense
|
82
|
|
|
92
|
|
|
99
|
|
|
100
|
|
|
63
|
|
|||||
Goodwill and settlement of pre-existing relationship
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
23
|
|
|||||
Other operating expenses
(2)
|
218
|
|
|
212
|
|
|
212
|
|
|
238
|
|
|
192
|
|
|||||
Total expenses
|
466
|
|
|
822
|
|
|
776
|
|
|
779
|
|
|
808
|
|
|||||
Income (loss) before (benefit) provision for income taxes
|
1,142
|
|
|
132
|
|
|
1,029
|
|
|
534
|
|
|
109
|
|
|||||
Provision (benefit) for income taxes
|
334
|
|
|
22
|
|
|
256
|
|
|
50
|
|
|
29
|
|
|||||
Net income (loss)
|
808
|
|
|
110
|
|
|
773
|
|
|
484
|
|
|
80
|
|
|||||
Less: Noncontrolling interest of variable interest entities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|||||
Net income (loss) attributable to Assured Guaranty Ltd.
|
$
|
808
|
|
|
$
|
110
|
|
|
$
|
773
|
|
|
$
|
484
|
|
|
$
|
82
|
|
Earnings (loss) per share:
|
|
|
|
|
|
|
|
|
|
||||||||||
Basic
|
$
|
4.32
|
|
|
$
|
0.58
|
|
|
$
|
4.21
|
|
|
$
|
2.63
|
|
|
$
|
0.64
|
|
Diluted
|
$
|
4.30
|
|
|
$
|
0.57
|
|
|
$
|
4.16
|
|
|
$
|
2.56
|
|
|
$
|
0.63
|
|
Dividends per share
|
$
|
0.40
|
|
|
$
|
0.36
|
|
|
$
|
0.18
|
|
|
$
|
0.18
|
|
|
$
|
0.18
|
|
|
As of December 31,
|
||||||||||||||||||
|
2013
|
|
2012
|
|
2011
|
|
2010
|
|
2009
|
||||||||||
|
(dollars in millions, except per share amounts)
|
||||||||||||||||||
Balance sheet data (end of period):
|
|
|
|
|
|
|
|
|
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investments and cash
|
$
|
10,969
|
|
|
$
|
11,223
|
|
|
$
|
11,314
|
|
|
$
|
10,849
|
|
|
$
|
11,013
|
|
Premiums receivable, net of commissions payable
|
876
|
|
|
1,005
|
|
|
1,003
|
|
|
1,168
|
|
|
1,418
|
|
|||||
Ceded unearned premium reserve
|
452
|
|
|
561
|
|
|
709
|
|
|
822
|
|
|
1,078
|
|
|||||
Salvage and subrogation recoverable
|
174
|
|
|
456
|
|
|
368
|
|
|
1,032
|
|
|
395
|
|
|||||
Credit derivative assets
|
94
|
|
|
141
|
|
|
153
|
|
|
185
|
|
|
217
|
|
|||||
Total assets
|
16,287
|
|
|
17,242
|
|
|
17,709
|
|
|
19,370
|
|
|
16,449
|
|
|||||
Liabilities and shareholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||||
Unearned premium reserve
|
4,595
|
|
|
5,207
|
|
|
5,963
|
|
|
6,973
|
|
|
8,381
|
|
|||||
Loss and loss adjustment expense reserve
|
592
|
|
|
601
|
|
|
679
|
|
|
574
|
|
|
300
|
|
|||||
Reinsurance balances payable, net
|
148
|
|
|
219
|
|
|
171
|
|
|
274
|
|
|
212
|
|
|||||
Long-term debt
|
816
|
|
|
836
|
|
|
1,038
|
|
|
1,053
|
|
|
1,066
|
|
|||||
Credit derivative liabilities
|
1,787
|
|
|
1,934
|
|
|
1,457
|
|
|
2,055
|
|
|
1,759
|
|
|||||
Total liabilities
|
11,172
|
|
|
12,248
|
|
|
13,057
|
|
|
15,700
|
|
|
12,995
|
|
|||||
Accumulated other comprehensive income
|
160
|
|
|
515
|
|
|
368
|
|
|
112
|
|
|
142
|
|
|||||
Shareholders' equity attributable to Assured Guaranty Ltd.
|
5,115
|
|
|
4,994
|
|
|
4,652
|
|
|
3,670
|
|
|
3,455
|
|
|||||
Shareholders' equity
|
5,115
|
|
|
4,994
|
|
|
4,652
|
|
|
3,670
|
|
|
3,454
|
|
|||||
Book value per share
|
28.07
|
|
|
25.74
|
|
|
25.52
|
|
|
19.97
|
|
|
18.76
|
|
|||||
Consolidated statutory financial information
(3)
:
|
|
|
|
|
|
|
|
|
|
||||||||||
Contingency reserve
|
$
|
2,934
|
|
|
$
|
2,364
|
|
|
$
|
2,571
|
|
|
$
|
2,288
|
|
|
$
|
1,879
|
|
Policyholders' surplus
|
3,202
|
|
|
3,579
|
|
|
3,116
|
|
|
2,627
|
|
|
2,962
|
|
|||||
Claims paying resources
(4)
|
12,147
|
|
|
12,328
|
|
|
12,839
|
|
|
12,630
|
|
|
13,051
|
|
|||||
Outstanding Exposure:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net debt service outstanding
|
$
|
690,535
|
|
|
$
|
780,356
|
|
|
$
|
844,447
|
|
|
$
|
926,698
|
|
|
$
|
958,037
|
|
Net par outstanding
|
459,107
|
|
|
518,772
|
|
|
556,830
|
|
|
616,686
|
|
|
640,194
|
|
(1)
|
Accounting guidance for variable interest entities ("VIEs") changed effective January 1, 2010. As a result, amounts are not comparable.
|
(2)
|
Accounting guidance restricting the types and amounts of financial guaranty insurance contract acquisition costs that may be deferred was adopted and retrospectively applied effective January 1, 2012.
|
(3)
|
Prepared in accordance with accounting practices prescribed or permitted by U.S. insurance regulatory authorities, for all insurance subsidiaries.
|
(4)
|
Claims paying resources is calculated as the sum of statutory policyholders' surplus, statutory contingency reserve, statutory unearned premium reserves, statutory loss and LAE reserves, present value of installment premium on financial guaranty and credit derivatives, discounted at 6%, and standby lines of credit/stop loss. Total claims paying resources is used by the Company to evaluate the adequacy of capital resources.
|
ITEM 7.
|
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
Change
|
||||||
|
(in millions, except per share amounts)
|
||||||||||
Selected income statement data
|
|
|
|
|
|
|
|||||
Net earned premiums
|
$
|
752
|
|
|
$
|
853
|
|
|
$
|
(101
|
)
|
Net investment income
|
393
|
|
|
404
|
|
|
(11
|
)
|
|||
Realized gains (losses) and other settlements on credit derivatives
|
(42
|
)
|
|
(108
|
)
|
|
66
|
|
|||
Net unrealized gains (losses) on credit derivatives
|
107
|
|
|
(477
|
)
|
|
584
|
|
|||
Fair value gains (losses) on financial guaranty variable interest entities
|
346
|
|
|
191
|
|
|
155
|
|
|||
Loss and loss adjustment expenses
|
(154
|
)
|
|
(504
|
)
|
|
350
|
|
|||
Other operating expenses
|
(218
|
)
|
|
(212
|
)
|
|
(6
|
)
|
|||
Net income (loss)
|
808
|
|
|
110
|
|
|
698
|
|
|||
Diluted earnings per share
|
$
|
4.30
|
|
|
$
|
0.57
|
|
|
$
|
3.73
|
|
Selected non-GAAP measures(1)
|
|
|
|
|
|
||||||
Operating income
|
$
|
609
|
|
|
$
|
535
|
|
|
$
|
74
|
|
Operating income per share
|
$
|
3.25
|
|
|
$
|
2.81
|
|
|
$
|
0.44
|
|
Present value of new business production (“PVP”)
|
$
|
141
|
|
|
$
|
210
|
|
|
$
|
(69
|
)
|
(1)
|
Please refer to “—Non-GAAP Financial Measures" for a definition of the financial measures that were not promulgated in accordance with GAAP and a reconciliation of the non-GAAP financial measure and the most directly comparable GAAP financial measure, if available.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
PVP(1):
|
|
|
|
|
|
||||||
Public Finance—U.S.
|
|
|
|
|
|
||||||
Assumed from Radian Asset Assurance Inc.
|
$
|
—
|
|
|
$
|
22
|
|
|
$
|
—
|
|
Direct
|
116
|
|
|
144
|
|
|
173
|
|
|||
Public Finance—non-U.S.
|
18
|
|
|
1
|
|
|
3
|
|
|||
Structured Finance—U.S.
|
7
|
|
|
43
|
|
|
60
|
|
|||
Structured Finance—non-U.S.
|
—
|
|
|
—
|
|
|
7
|
|
|||
Total PVP
|
$
|
141
|
|
|
$
|
210
|
|
|
243
|
|
|
Gross Par Written:
|
|
|
|
|
|
||||||
Public Finance—U.S.
|
|
|
|
|
|
||||||
Assumed from Radian Asset Assurance Inc.
|
$
|
—
|
|
|
$
|
1,797
|
|
|
$
|
—
|
|
Direct
|
8,671
|
|
|
14,364
|
|
|
15,092
|
|
|||
Public Finance—non-U.S.
|
392
|
|
|
35
|
|
|
127
|
|
|||
Structured Finance—U.S.
|
287
|
|
|
620
|
|
|
1,673
|
|
|||
Structured Finance—non-U.S.
|
—
|
|
|
—
|
|
|
—
|
|
|||
Total gross par written
|
$
|
9,350
|
|
|
$
|
16,816
|
|
|
16,892
|
|
(1)
|
PVP represents the present value of estimated future earnings primarily on new financial guaranty contracts written in the period, before consideration of cessions to reinsurers. See “--Non-GAAP Financial Measures--PVP or Present Value of New Business Production” for a definition of this non-GAAP financial measure.
|
|
Year Ended December 31,
|
|||||||||||||||||||
|
2013
|
|
2012
|
|
2011
|
|||||||||||||||
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|||||||||
|
(dollars in billions, except number of issues)
|
|||||||||||||||||||
New municipal bonds issued
|
$
|
311.9
|
|
|
10,558
|
|
|
$
|
366.7
|
|
|
12,544
|
|
|
$
|
285.2
|
|
|
10,176
|
|
Total insured
|
12.1
|
|
|
1,025
|
|
|
13.2
|
|
|
1,159
|
|
|
15.2
|
|
|
1,228
|
|
|||
Insured by AGC, AGM and MAC
|
7.5
|
|
|
488
|
|
|
13.2
|
|
|
1,157
|
|
|
15.2
|
|
|
1,228
|
|
|
Year Ended December 31,
|
||||
|
2013
|
|
2012
|
|
2011
|
Market penetration par
|
3.9%
|
|
3.6%
|
|
5.3%
|
Market penetration based on number of issues
|
9.7
|
|
9.2
|
|
12.1
|
% of single A par sold
|
11.0
|
|
11.9
|
|
15.8
|
% of single A transactions sold
|
30.6
|
|
29.5
|
|
37.8
|
% of under $25 million par sold
|
10.9
|
|
11.7
|
|
14.7
|
% of under $25 million transactions sold
|
10.7
|
|
10.3
|
|
13.2
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Revenues:
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
752
|
|
|
$
|
853
|
|
|
$
|
920
|
|
Net investment income
|
393
|
|
|
404
|
|
|
396
|
|
|||
Net realized investment gains (losses)
|
52
|
|
|
1
|
|
|
(18
|
)
|
|||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
||||||
Realized gains (losses) and other settlements
|
(42
|
)
|
|
(108
|
)
|
|
6
|
|
|||
Net unrealized gains (losses)
|
107
|
|
|
(477
|
)
|
|
554
|
|
|||
Net change in fair value of credit derivatives
|
65
|
|
|
(585
|
)
|
|
560
|
|
|||
Fair value gains (losses) on committed capital securities ("CCS")
|
10
|
|
|
(18
|
)
|
|
35
|
|
|||
Fair value gains (losses) on FG VIEs
|
346
|
|
|
191
|
|
|
(146
|
)
|
|||
Other income (loss)
|
(10
|
)
|
|
108
|
|
|
58
|
|
|||
Total revenues
|
1,608
|
|
|
954
|
|
|
1,805
|
|
|||
Expenses:
|
|
|
|
|
|
||||||
Loss and LAE
|
154
|
|
|
504
|
|
|
448
|
|
|||
Amortization of deferred acquisition costs
|
12
|
|
|
14
|
|
|
17
|
|
|||
Interest expense
|
82
|
|
|
92
|
|
|
99
|
|
|||
Other operating expenses
|
218
|
|
|
212
|
|
|
212
|
|
|||
Total expenses
|
466
|
|
|
822
|
|
|
776
|
|
|||
Income (loss) before provision for income taxes
|
1,142
|
|
|
132
|
|
|
1,029
|
|
|||
Provision (benefit) for income taxes
|
334
|
|
|
22
|
|
|
256
|
|
|||
Net income (loss)
|
$
|
808
|
|
|
$
|
110
|
|
|
$
|
773
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Financial guaranty:
|
|
|
|
|
|
||||||
Public finance
|
|
|
|
|
|
||||||
Scheduled net earned premiums and accretion
|
$
|
292
|
|
|
$
|
339
|
|
|
$
|
360
|
|
Accelerations(1)
|
207
|
|
|
250
|
|
|
125
|
|
|||
Total public finance
|
499
|
|
|
589
|
|
|
485
|
|
|||
Structured finance
|
|
|
|
|
|
||||||
Scheduled net earned premiums and accretion
|
195
|
|
|
263
|
|
|
433
|
|
|||
Accelerations(1)
|
56
|
|
|
—
|
|
|
—
|
|
|||
Total structured finance(2)
|
251
|
|
|
263
|
|
|
433
|
|
|||
Other
|
2
|
|
|
1
|
|
|
2
|
|
|||
Total net earned premiums
|
$
|
752
|
|
|
$
|
853
|
|
|
$
|
920
|
|
(1)
|
Reflects the unscheduled refunding of an insured obligation or the termination of the insurance on an insured obligation.
|
(2)
|
Excludes $
60 million
, $
153 million
and
$75 million
for 2013, 2012 and 2011, respectively, related to consolidated FG VIEs.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Income from fixed-maturity securities managed by third parties
|
$
|
322
|
|
|
$
|
346
|
|
|
$
|
359
|
|
Income from internally managed securities:
|
|
|
|
|
|
||||||
Fixed maturities
|
74
|
|
|
60
|
|
|
39
|
|
|||
Other invested assets
|
5
|
|
|
6
|
|
|
6
|
|
|||
Other
|
0
|
|
|
1
|
|
|
1
|
|
|||
Gross investment income
|
401
|
|
|
413
|
|
|
405
|
|
|||
Investment expenses
|
(8
|
)
|
|
(9
|
)
|
|
(9
|
)
|
|||
Net investment income
|
$
|
393
|
|
|
$
|
404
|
|
|
$
|
396
|
|
(1)
|
Net investment income excludes $13 million for 2013 and 2012 and $8 million for 2011 related to consolidated FG VIEs.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Gross realized gains on investment portfolio
|
$
|
113
|
|
|
$
|
43
|
|
|
$
|
37
|
|
Gross realized losses on investment portfolio
|
(19
|
)
|
|
(25
|
)
|
|
(10
|
)
|
|||
Other-than-temporary impairment (1)
|
(42
|
)
|
|
(17
|
)
|
|
(45
|
)
|
|||
Net realized investment gains (losses)
|
$
|
52
|
|
|
$
|
1
|
|
|
$
|
(18
|
)
|
(1)
|
Net realized investment gains (losses) reported in accordance with GAAP exclude other-than-temporary impairment related to consolidated FG VIEs of $
2 million
for 2013, $
4 million
for 2012 and $
12 million
for 2011.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Foreign exchange gain (loss) on remeasurement of premium receivable and loss reserves
|
$
|
(1
|
)
|
|
$
|
22
|
|
|
$
|
(5
|
)
|
Commutation gains (losses)
|
2
|
|
|
82
|
|
|
32
|
|
|||
Other
|
(11
|
)
|
|
4
|
|
|
31
|
|
|||
Total other income (loss)
|
$
|
(10
|
)
|
|
$
|
108
|
|
|
$
|
58
|
|
•
|
BIG Category 1: Below-investment-grade transactions showing sufficient deterioration to make future losses possible, but for which none are currently expected.
|
•
|
BIG Category 2: Below-investment-grade transactions for which future losses are expected but for which no claims (other than liquidity claims which is a claim that the Company expects to be reimbursed within
one
year) have yet been paid.
|
•
|
BIG Category 3: Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid.
|
|
|
Net Par Outstanding
as of December 31, |
|
Number of Risks (1)
as of December 31, |
||||||||||
Description
|
|
2013
|
|
2012
|
|
2013
|
|
2012
|
||||||
|
|
(dollars in millions)
|
||||||||||||
BIG:
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Category 1
|
|
$
|
14,751
|
|
|
$
|
10,820
|
|
|
210
|
|
|
196
|
|
Category 2
|
|
3,949
|
|
|
4,617
|
|
|
101
|
|
|
103
|
|
||
Category 3
|
|
3,838
|
|
|
6,860
|
|
|
146
|
|
|
160
|
|
||
Total BIG
|
|
$
|
22,538
|
|
|
$
|
22,297
|
|
|
457
|
|
|
459
|
|
(1)
|
A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
$
|
140
|
|
|
$
|
367
|
|
|
$
|
1,039
|
|
Net benefit for recoveries for breaches of R&W
|
(296
|
)
|
|
(179
|
)
|
|
(1,038
|
)
|
|||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
(156
|
)
|
|
188
|
|
|
1
|
|
|||
Other structured finance
|
(34
|
)
|
|
(28
|
)
|
|
80
|
|
|||
Public finance
|
256
|
|
|
295
|
|
|
43
|
|
|||
Other
|
(10
|
)
|
|
(17
|
)
|
|
—
|
|
|||
Total
|
$
|
56
|
|
|
$
|
438
|
|
|
$
|
124
|
|
(1)
|
Economic loss development includes the effects of changes in assumptions based on observed market trends, changes in discount rates, accretion of discount and the economic effects of loss mitigation efforts.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
$
|
(587
|
)
|
|
$
|
(996
|
)
|
|
$
|
(1,051
|
)
|
Net benefit for recoveries for breaches of R&W
|
954
|
|
|
459
|
|
|
1,059
|
|
|||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
367
|
|
|
(537
|
)
|
|
8
|
|
|||
Other structured finance
|
(134
|
)
|
|
(39
|
)
|
|
(26
|
)
|
|||
Public finance (2)
|
6
|
|
|
(303
|
)
|
|
(65
|
)
|
|||
Other
|
10
|
|
|
12
|
|
|
—
|
|
|||
Total
|
$
|
249
|
|
|
$
|
(867
|
)
|
|
$
|
(83
|
)
|
(1)
|
Includes cash paid and recovered, as well as non-cash settlement of claims such as those negotiated in restructurings where the Company receives securities instead of cash.
|
(2)
|
The largest component of claims paid in 2012 was related to exposure to Greek sovereign debt which has been fully settled.
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
||||
|
(in millions)
|
||||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
$
|
1,205
|
|
|
$
|
1,652
|
|
Net benefit for recoveries for breaches of R&W
|
(712
|
)
|
|
(1,370
|
)
|
||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
493
|
|
|
282
|
|
||
Other structured finance
|
171
|
|
|
339
|
|
||
Public finance
|
321
|
|
|
59
|
|
||
Other
|
(3
|
)
|
|
(3
|
)
|
||
Total
|
$
|
982
|
|
|
$
|
677
|
|
•
|
established a liquidation rate assumption for loans reported as current but that had been reported as modified in the previous
12
months,
|
•
|
assumed that currently delinquent loans that did not roll to liquidation would behave like modified loans, and so applied the modified loan liquidation rate to them,
|
•
|
increased from
two
to
three
years the period over which it calculates the initial conditional default rate ("CDR") based on assumed liquidations of non-performing loans and modified loans, to account for the longer period modified loans will take to default,
|
•
|
increased the period it assumes the transactions will experience the initial loss severity assumption before it improves and the period during which the transaction will experience low voluntary prepayment rates,
|
•
|
established an assumption for servicers not to advance loan payments on all delinquent loans
|
|
(in millions)
|
||
Agreement amounts already received
|
$
|
2,608
|
|
Agreement amounts projected to be received in the future
|
425
|
|
|
Repurchase amounts paid into the relevant RMBS prior to settlement (1)
|
578
|
|
|
Total R&W payments, gross of reinsurance
|
$
|
3,611
|
|
(1)
|
These amounts were paid into the relevant RMBS transactions (rather than to the Company as in most settlements) and distributed in accordance with the priority of payments set out in the relevant transaction documents. Because the Company may insure only a portion of the capital structure of a transaction, such payments will not necessarily directly benefit the Company dollar-for-dollar, especially in first lien transactions.
|
|
Year Ended December 31, 2013
|
||
|
(in millions)
|
||
Inclusion (removal) of deals with breaches of R&W during period
|
$
|
6
|
|
Change in recovery assumptions as the result of additional file review and recovery success
|
(6
|
)
|
|
Estimated increase (decrease) in defaults that will result in additional (lower) breaches
|
(8
|
)
|
|
Results of settlements
|
289
|
|
|
Accretion of discount on balance
|
15
|
|
|
Total
|
$
|
296
|
|
•
|
in its most optimistic scenario, it reduced by three months the period it assumed it would take the mortgage market to recover; and
|
•
|
in its most pessimistic scenario, it increased by three months the period it assumed it would take the mortgage market to recover.
|
|
Year Ended December 31, 2012
|
||
|
(in millions)
|
||
Inclusion (removal) of deals with breaches of R&W during period
|
$
|
(3
|
)
|
Change in recovery assumptions as the result of additional file review and recovery success
|
(10
|
)
|
|
Estimated increase (decrease) in defaults that will result in additional (lower) breaches
|
63
|
|
|
Results of settlements and judgments
|
120
|
|
|
Accretion of discount on balance
|
9
|
|
|
Total
|
$
|
179
|
|
•
|
based on its observation of the slow mortgage market recovery, the Company increased its base case expected period for reaching the final conditional default rate in second lien transactions and adjusted the probability weightings it applied to second lien scenarios from year-end 2010 to reflect the changes to those scenarios;
|
•
|
also based on its observation of the slow mortgage market recovery the Company added a more stressful first lien scenario at year-end 2011 reflecting an even slower potential recovery in the housing and mortgage markets, making what had prior to that been a stress scenario its base scenario;
|
•
|
based on its observation of increased loss severity rates, the Company increased its projected loss severity rates in various of its first lien scenarios; and
|
•
|
based on its observation of liquidation rates, the Company decreased the liquidation rates it applied to non-performing loans.
|
|
Year Ended December 31, 2011
|
||
|
(in millions)
|
||
Inclusion (removal) of deals with breaches of R&W during period
|
$
|
115
|
|
Change in recovery assumptions as the result of additional file review and recovery success
|
218
|
|
|
Estimated increase (decrease) in defaults that will result in additional (lower) breaches
|
17
|
|
|
Results of settlements
|
668
|
|
|
Accretion of discount on balance
|
20
|
|
|
Total
|
$
|
1,038
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
U.S. RMBS
|
$
|
(4
|
)
|
|
$
|
308
|
|
|
$
|
389
|
|
Other structured finance
|
(35
|
)
|
|
(7
|
)
|
|
118
|
|
|||
Public finance
|
214
|
|
|
285
|
|
|
48
|
|
|||
Other
|
—
|
|
|
(17
|
)
|
|
—
|
|
|||
Total insurance contracts before FG VIE consolidation
|
175
|
|
|
569
|
|
|
555
|
|
|||
Effect of consolidating FG VIEs
|
(21
|
)
|
|
(65
|
)
|
|
(107
|
)
|
|||
Total loss and LAE
|
$
|
154
|
|
|
$
|
504
|
|
|
$
|
448
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
U.S. RMBS
|
$
|
8
|
|
|
$
|
369
|
|
|
$
|
365
|
|
Other structured finance
|
(36
|
)
|
|
(40
|
)
|
|
99
|
|
|||
Public finance
|
212
|
|
|
284
|
|
|
29
|
|
|||
Other
|
(10
|
)
|
|
(17
|
)
|
|
—
|
|
|||
Total
|
$
|
174
|
|
|
$
|
596
|
|
|
$
|
493
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Loss and LAE
|
$
|
154
|
|
|
$
|
504
|
|
|
$
|
448
|
|
Credit derivative loss expense
|
(1
|
)
|
|
28
|
|
|
(62
|
)
|
|||
FG VIE loss expense
|
21
|
|
|
64
|
|
|
107
|
|
|||
Loss expense included in operating income
|
$
|
174
|
|
|
$
|
596
|
|
|
$
|
493
|
|
|
In GAAP
Reported
Income
|
|
In Non-GAAP
Operating
Income
|
||||
|
(in millions)
|
||||||
2014
|
$
|
42
|
|
|
$
|
53
|
|
2015
|
41
|
|
|
52
|
|
||
2016
|
33
|
|
|
42
|
|
||
2017
|
30
|
|
|
39
|
|
||
2018
|
27
|
|
|
35
|
|
||
2014-2018
|
173
|
|
|
221
|
|
||
2019-2023
|
99
|
|
|
120
|
|
||
2024-2028
|
56
|
|
|
68
|
|
||
2029-2033
|
36
|
|
|
44
|
|
||
After 2033
|
27
|
|
|
36
|
|
||
Net expected loss to be expensed (1)
|
391
|
|
|
489
|
|
||
Discount
|
406
|
|
|
457
|
|
||
Total future value
|
$
|
797
|
|
|
$
|
946
|
|
(1)
|
Net expected loss to be expensed for GAAP reported income is different than non-GAAP operating income by the amount related to consolidated FG VIEs.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Net credit derivative premiums received and receivable
|
$
|
119
|
|
|
$
|
127
|
|
|
$
|
185
|
|
Net ceding commissions (paid and payable) received and receivable
|
2
|
|
|
1
|
|
|
3
|
|
|||
Realized gains on credit derivatives
|
121
|
|
|
128
|
|
|
188
|
|
|||
Terminations
|
0
|
|
|
(1
|
)
|
|
(23
|
)
|
|||
Net credit derivative losses (paid and payable) recovered and recoverable
|
(163
|
)
|
|
(235
|
)
|
|
(159
|
)
|
|||
Total realized gains (losses) and other settlements on credit derivatives
|
(42
|
)
|
|
(108
|
)
|
|
6
|
|
|||
Net change in unrealized gains (losses) on credit derivatives
|
107
|
|
|
(477
|
)
|
|
554
|
|
|||
Net change in fair value of credit derivatives
|
$
|
65
|
|
|
$
|
(585
|
)
|
|
$
|
560
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Net par of terminated CDS contracts
|
$
|
4,054
|
|
|
$
|
2,264
|
|
|
$
|
11,543
|
|
Accelerations of credit derivative revenues
|
21
|
|
|
3
|
|
|
25
|
|
|
|
Year Ended December 31,
|
||||||||||
Asset Type
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
(in millions)
|
||||||||||
Pooled corporate obligations
|
|
$
|
(32
|
)
|
|
$
|
59
|
|
|
$
|
39
|
|
U.S. RMBS
|
|
(69
|
)
|
|
(551
|
)
|
|
381
|
|
|||
CMBS
|
|
0
|
|
|
2
|
|
|
11
|
|
|||
Other (1)
|
|
208
|
|
|
13
|
|
|
123
|
|
|||
Total
|
|
$
|
107
|
|
|
$
|
(477
|
)
|
|
$
|
554
|
|
(1)
|
“Other” includes all other U.S. and international asset classes, such as commercial receivables, international infrastructure, international RMBS securities, and pooled infrastructure securities.
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|
As of
December 31, 2011 |
|||
AGC
|
460
|
|
|
678
|
|
|
1,140
|
|
AGM
|
525
|
|
|
536
|
|
|
778
|
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|
As of
December 31, 2011 |
|||
AGC
|
185
|
|
|
270
|
|
|
965
|
|
AGM
|
220
|
|
|
257
|
|
|
538
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Change in unrealized gains (losses) of credit derivatives:
|
|
|
|
|
|
||||||
Before considering implication of the Company’s credit spreads
|
$
|
1,374
|
|
|
$
|
798
|
|
|
$
|
(68
|
)
|
Resulting from change in the Company’s credit spreads
|
(1,267
|
)
|
|
(1,275
|
)
|
|
622
|
|
|||
After considering implication of the Company’s credit spreads
|
$
|
107
|
|
|
$
|
(477
|
)
|
|
$
|
554
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Debt issued by AGUS
|
$
|
23
|
|
|
$
|
31
|
|
|
$
|
39
|
|
Debt issued by AGMH
|
54
|
|
|
54
|
|
|
54
|
|
|||
Notes payable by AGM
|
5
|
|
|
7
|
|
|
6
|
|
|||
Total
|
$
|
82
|
|
|
$
|
92
|
|
|
$
|
99
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Total provision (benefit) for income taxes
|
$
|
334
|
|
|
$
|
22
|
|
|
$
|
256
|
|
Effective tax rate
|
29.2
|
%
|
|
16.5
|
%
|
|
24.9
|
%
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Net earned premiums
|
$
|
(60
|
)
|
|
$
|
(153
|
)
|
|
$
|
(75
|
)
|
Net investment income
|
(13
|
)
|
|
(13
|
)
|
|
(8
|
)
|
|||
Net realized investment gains (losses)
|
2
|
|
|
4
|
|
|
12
|
|
|||
Fair value gains (losses) on FG VIEs
|
346
|
|
|
191
|
|
|
(146
|
)
|
|||
Loss and LAE
|
21
|
|
|
65
|
|
|
107
|
|
|||
Total pretax effect on net income
|
296
|
|
|
94
|
|
|
(110
|
)
|
|||
Less: tax provision (benefit)
|
103
|
|
|
32
|
|
|
(38
|
)
|
|||
Total effect on net income (loss)
|
$
|
193
|
|
|
$
|
62
|
|
|
$
|
(72
|
)
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
|
|
||||||||
Net income (loss)
|
$
|
808
|
|
|
$
|
110
|
|
|
$
|
773
|
|
Less after-tax adjustments:
|
|
|
|
|
|
||||||
Realized gains (losses) on investments
|
40
|
|
|
(4
|
)
|
|
(20
|
)
|
|||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
(40
|
)
|
|
(486
|
)
|
|
244
|
|
|||
Fair value gains (losses) on CCS
|
7
|
|
|
(12
|
)
|
|
23
|
|
|||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves
|
(1
|
)
|
|
15
|
|
|
(3
|
)
|
|||
Effect of consolidating FG VIEs
|
193
|
|
|
62
|
|
|
(72
|
)
|
|||
Operating income
|
$
|
609
|
|
|
$
|
535
|
|
|
$
|
601
|
|
|
|
|
|
|
|
||||||
Effective tax rate on operating income
|
26.7
|
%
|
|
25.0
|
%
|
|
24.4
|
%
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||
|
Total
|
|
Per Share
|
|
Total
|
|
Per Share
|
||||||||
|
(dollars in millions, except
per share amounts)
|
||||||||||||||
Shareholders’ equity
|
$
|
5,115
|
|
|
$
|
28.07
|
|
|
$
|
4,994
|
|
|
$
|
25.74
|
|
Less after-tax adjustments:
|
|
|
|
|
|
|
|
||||||||
Effect of consolidating FG VIEs
|
(172
|
)
|
|
(0.95
|
)
|
|
(348
|
)
|
|
(1.79
|
)
|
||||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
(1,052
|
)
|
|
(5.77
|
)
|
|
(988
|
)
|
|
(5.09
|
)
|
||||
Fair value gains (losses) on CCS
|
30
|
|
|
0.16
|
|
|
23
|
|
|
0.12
|
|
||||
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect
|
145
|
|
|
0.80
|
|
|
477
|
|
|
2.45
|
|
||||
Operating shareholders’ equity
|
6,164
|
|
|
33.83
|
|
|
5,830
|
|
|
30.05
|
|
||||
After-tax adjustments:
|
|
|
|
|
|
|
|
|
|
|
|||||
Less: Deferred acquisition costs
|
161
|
|
|
0.88
|
|
|
165
|
|
|
0.85
|
|
||||
Plus: Net present value of estimated net future credit derivative revenue
|
146
|
|
|
0.80
|
|
|
220
|
|
|
1.14
|
|
||||
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed
|
2,884
|
|
|
15.83
|
|
|
3,266
|
|
|
16.83
|
|
||||
Adjusted book value
|
$
|
9,033
|
|
|
$
|
49.58
|
|
|
$
|
9,151
|
|
|
$
|
47.17
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Total PVP
|
$
|
141
|
|
|
$
|
210
|
|
|
$
|
243
|
|
Less: Financial guaranty installment premium PVP
|
26
|
|
|
45
|
|
|
69
|
|
|||
Total: Financial guaranty upfront gross written premiums
|
115
|
|
|
165
|
|
|
174
|
|
|||
Plus: Financial guaranty installment gross written premiums and other GAAP adjustments
|
8
|
|
|
88
|
|
|
(47
|
)
|
|||
Total gross written premiums
|
$
|
123
|
|
|
$
|
253
|
|
|
$
|
127
|
|
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||||||||||||||
Sector
|
|
Net Par
Outstanding (including loss mitigation bonds)
|
|
Loss Mitigation Bonds
|
|
Net Par
Outstanding (excluding loss mitigation bonds)
|
|
Avg. Rating
|
|
Net Par
Outstanding (including loss mitigation bonds)
|
|
Loss Mitigation Bonds
|
|
Net Par
Outstanding (excluding loss mitigation bonds)
|
|
Avg.
Rating
|
||||||||||||
|
|
|
||||||||||||||||||||||||||
Public finance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
General obligation
|
|
$
|
155,277
|
|
|
$
|
—
|
|
|
$
|
155,277
|
|
|
A+
|
|
$
|
169,985
|
|
|
$
|
—
|
|
|
$
|
169,985
|
|
|
A+
|
Tax backed
|
|
66,856
|
|
|
32
|
|
|
66,824
|
|
|
A+
|
|
73,787
|
|
|
38
|
|
|
73,749
|
|
|
A+
|
||||||
Municipal utilities
|
|
56,324
|
|
|
—
|
|
|
56,324
|
|
|
A
|
|
62,116
|
|
|
—
|
|
|
62,116
|
|
|
A
|
||||||
Transportation
|
|
30,830
|
|
|
—
|
|
|
30,830
|
|
|
A
|
|
33,799
|
|
|
—
|
|
|
33,799
|
|
|
A
|
||||||
Healthcare
|
|
16,132
|
|
|
—
|
|
|
16,132
|
|
|
A
|
|
17,838
|
|
|
—
|
|
|
17,838
|
|
|
A
|
||||||
Higher education
|
|
14,071
|
|
|
—
|
|
|
14,071
|
|
|
A
|
|
15,770
|
|
|
—
|
|
|
15,770
|
|
|
A+
|
||||||
Infrastructure finance
|
|
4,114
|
|
|
—
|
|
|
4,114
|
|
|
BBB
|
|
4,210
|
|
|
—
|
|
|
4,210
|
|
|
BBB
|
||||||
Housing
|
|
3,386
|
|
|
—
|
|
|
3,386
|
|
|
A+
|
|
4,633
|
|
|
—
|
|
|
4,633
|
|
|
AA-
|
||||||
Investor-owned utilities
|
|
991
|
|
|
—
|
|
|
991
|
|
|
A-
|
|
1,069
|
|
|
—
|
|
|
1,069
|
|
|
A-
|
||||||
Other public finance—U.S.
|
|
4,232
|
|
|
—
|
|
|
4,232
|
|
|
A
|
|
4,760
|
|
|
—
|
|
|
4,760
|
|
|
A
|
||||||
Total public finance—U.S.
|
|
352,213
|
|
|
32
|
|
|
352,181
|
|
|
A
|
|
387,967
|
|
|
38
|
|
|
387,929
|
|
|
A
|
||||||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Infrastructure finance
|
|
14,703
|
|
|
—
|
|
|
14,703
|
|
|
BBB
|
|
15,812
|
|
|
—
|
|
|
15,812
|
|
|
BBB
|
||||||
Regulated utilities
|
|
11,205
|
|
|
—
|
|
|
11,205
|
|
|
BBB+
|
|
12,494
|
|
|
—
|
|
|
12,494
|
|
|
BBB+
|
||||||
Pooled infrastructure
|
|
2,520
|
|
|
—
|
|
|
2,520
|
|
|
A
|
|
3,200
|
|
|
—
|
|
|
3,200
|
|
|
AA-
|
||||||
Other public finance—non-U.S.
|
|
5,570
|
|
|
—
|
|
|
5,570
|
|
|
A
|
|
6,034
|
|
|
—
|
|
|
6,034
|
|
|
A
|
||||||
Total public finance—non-U.S.
|
|
33,998
|
|
|
—
|
|
|
33,998
|
|
|
BBB+
|
|
37,540
|
|
|
—
|
|
|
37,540
|
|
|
BBB+
|
||||||
Total public finance
|
|
386,211
|
|
|
32
|
|
|
386,179
|
|
|
A
|
|
425,507
|
|
|
38
|
|
|
425,469
|
|
|
A
|
||||||
Structured finance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pooled corporate obligations
|
|
31,325
|
|
|
—
|
|
|
31,325
|
|
|
AAA
|
|
41,886
|
|
|
—
|
|
|
41,886
|
|
|
AAA
|
||||||
RMBS
|
|
14,559
|
|
|
838
|
|
|
13,721
|
|
|
BBB-
|
|
17,827
|
|
|
792
|
|
|
17,035
|
|
|
BB+
|
||||||
CMBS and other commercial real estate related exposures
|
|
3,952
|
|
|
—
|
|
|
3,952
|
|
|
AAA
|
|
4,247
|
|
|
—
|
|
|
4,247
|
|
|
AAA
|
||||||
Insurance securitizations
|
|
3,360
|
|
|
325
|
|
|
3,035
|
|
|
A-
|
|
3,113
|
|
|
170
|
|
|
2,943
|
|
|
BBB+
|
||||||
Financial products
|
|
2,709
|
|
|
—
|
|
|
2,709
|
|
|
AA-
|
|
3,653
|
|
|
—
|
|
|
3,653
|
|
|
AA-
|
||||||
Consumer receivables
|
|
2,198
|
|
|
—
|
|
|
2,198
|
|
|
BBB+
|
|
2,369
|
|
|
—
|
|
|
2,369
|
|
|
BBB+
|
||||||
Commercial receivables
|
|
911
|
|
|
—
|
|
|
911
|
|
|
A-
|
|
1,025
|
|
|
—
|
|
|
1,025
|
|
|
BBB+
|
||||||
Structured credit
|
|
69
|
|
|
—
|
|
|
69
|
|
|
BB
|
|
319
|
|
|
121
|
|
|
198
|
|
|
B
|
||||||
Other structured finance—U.S.
|
|
987
|
|
|
—
|
|
|
987
|
|
|
A-
|
|
1,179
|
|
|
—
|
|
|
1,179
|
|
|
BBB+
|
||||||
Total structured finance—U.S.
|
|
60,070
|
|
|
1,163
|
|
|
58,907
|
|
|
AA-
|
|
75,618
|
|
|
1,083
|
|
|
74,535
|
|
|
AA-
|
||||||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pooled corporate obligations
|
|
11,058
|
|
|
—
|
|
|
11,058
|
|
|
AAA
|
|
14,813
|
|
|
—
|
|
|
14,813
|
|
|
AAA
|
||||||
Commercial receivables
|
|
1,263
|
|
|
—
|
|
|
1,263
|
|
|
BBB+
|
|
1,463
|
|
|
—
|
|
|
1,463
|
|
|
A-
|
||||||
RMBS
|
|
1,146
|
|
|
—
|
|
|
1,146
|
|
|
AA-
|
|
1,424
|
|
|
—
|
|
|
1,424
|
|
|
AA-
|
||||||
Structured credit
|
|
176
|
|
|
—
|
|
|
176
|
|
|
BBB
|
|
591
|
|
|
—
|
|
|
591
|
|
|
BBB
|
||||||
CMBS and other commercial real estate related exposures
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
100
|
|
|
—
|
|
|
100
|
|
|
AAA
|
||||||
Other structured finance—non-U.S.
|
|
378
|
|
|
—
|
|
|
378
|
|
|
AAA
|
|
377
|
|
|
—
|
|
|
377
|
|
|
AAA
|
||||||
Total structured finance—non-U.S.
|
|
14,021
|
|
|
—
|
|
|
14,021
|
|
|
AA+
|
|
18,768
|
|
|
—
|
|
|
18,768
|
|
|
AA+
|
||||||
Total structured finance
|
|
74,091
|
|
|
1,163
|
|
|
72,928
|
|
|
AA
|
|
94,386
|
|
|
1,083
|
|
|
93,303
|
|
|
AA-
|
||||||
Total net par outstanding
|
|
$
|
460,302
|
|
|
$
|
1,195
|
|
|
$
|
459,107
|
|
|
A
|
|
$
|
519,893
|
|
|
$
|
1,121
|
|
|
$
|
518,772
|
|
|
A+
|
|
|
Public Finance
U.S. |
|
Public Finance
Non-U.S.
|
|
Structured Finance
U.S
|
|
Structured Finance
Non-U.S
|
|
Total
|
|||||||||||||||||||||||||
Rating
Category (1) |
|
Net Par
Outstanding |
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|||||||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
AAA
|
|
$
|
4,998
|
|
|
1.4
|
%
|
|
$
|
1,016
|
|
|
3.0
|
%
|
|
$
|
32,317
|
|
|
54.9
|
%
|
|
$
|
9,684
|
|
|
69.1
|
%
|
|
$
|
48,015
|
|
|
10.5
|
%
|
AA
|
|
107,503
|
|
|
30.5
|
|
|
422
|
|
|
1.2
|
|
|
9,431
|
|
|
16.0
|
|
|
577
|
|
|
4.1
|
|
|
117,933
|
|
|
25.7
|
|
|||||
A
|
|
192,841
|
|
|
54.8
|
|
|
9,453
|
|
|
27.9
|
|
|
2,580
|
|
|
4.4
|
|
|
742
|
|
|
5.3
|
|
|
205,616
|
|
|
44.8
|
|
|||||
BBB
|
|
37,745
|
|
|
10.7
|
|
|
21,499
|
|
|
63.2
|
|
|
3,815
|
|
|
6.4
|
|
|
1,946
|
|
|
13.9
|
|
|
65,005
|
|
|
14.1
|
|
|||||
BIG
|
|
9,094
|
|
|
2.6
|
|
|
1,608
|
|
|
4.7
|
|
|
10,764
|
|
|
18.3
|
|
|
1,072
|
|
|
7.6
|
|
|
22,538
|
|
|
4.9
|
|
|||||
Total net par outstanding (excluding loss mitigation bonds)
|
|
$
|
352,181
|
|
|
100.0
|
%
|
|
$
|
33,998
|
|
|
100.0
|
%
|
|
$
|
58,907
|
|
|
100.0
|
%
|
|
$
|
14,021
|
|
|
100.0
|
%
|
|
$
|
459,107
|
|
|
100.0
|
%
|
Loss Mitigation Bonds
|
|
32
|
|
|
|
|
—
|
|
|
|
|
1,163
|
|
|
|
|
—
|
|
|
|
|
1,195
|
|
|
|
||||||||||
Total net par outstanding (including loss mitigation bonds)
|
|
$
|
352,213
|
|
|
|
|
$
|
33,998
|
|
|
|
|
$
|
60,070
|
|
|
|
|
$
|
14,021
|
|
|
|
|
$
|
460,302
|
|
|
|
|
|
Public Finance
U.S.
|
|
Public Finance
Non-U.S.
|
|
Structured Finance
U.S
|
|
Structured Finance
Non-U.S
|
|
Total
|
|||||||||||||||||||||||||
Rating
Category (1)
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|||||||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
AAA
|
|
$
|
4,502
|
|
|
1.2
|
%
|
|
$
|
1,706
|
|
|
4.5
|
%
|
|
$
|
42,187
|
|
|
56.6
|
%
|
|
$
|
13,169
|
|
|
70.2
|
%
|
|
$
|
61,564
|
|
|
11.9
|
%
|
AA
|
|
124,525
|
|
|
32.1
|
|
|
875
|
|
|
2.3
|
|
|
9,543
|
|
|
12.8
|
|
|
722
|
|
|
3.9
|
|
|
135,665
|
|
|
26.1
|
|
|||||
A
|
|
210,124
|
|
|
54.1
|
|
|
9,781
|
|
|
26.1
|
|
|
4,670
|
|
|
6.3
|
|
|
1,409
|
|
|
7.5
|
|
|
225,984
|
|
|
43.6
|
|
|||||
BBB
|
|
44,213
|
|
|
11.4
|
|
|
22,885
|
|
|
61.0
|
|
|
3,737
|
|
|
5.0
|
|
|
2,427
|
|
|
12.9
|
|
|
73,262
|
|
|
14.1
|
|
|||||
BIG
|
|
4,565
|
|
|
1.2
|
|
|
2,293
|
|
|
6.1
|
|
|
14,398
|
|
|
19.3
|
|
|
1,041
|
|
|
5.5
|
|
|
22,297
|
|
|
4.3
|
|
|||||
Total net par outstanding (excluding loss mitigation bonds)
|
|
$
|
387,929
|
|
|
100.0
|
%
|
|
$
|
37,540
|
|
|
100.0
|
%
|
|
$
|
74,535
|
|
|
100.0
|
%
|
|
$
|
18,768
|
|
|
100.0
|
%
|
|
$
|
518,772
|
|
|
100.0
|
%
|
Loss Mitigation Bonds
|
|
38
|
|
|
|
|
—
|
|
|
|
|
1,083
|
|
|
|
|
—
|
|
|
|
|
1,121
|
|
|
|
||||||||||
Total net par outstanding (including loss mitigation bonds)
|
|
$
|
387,967
|
|
|
|
|
$
|
37,540
|
|
|
|
|
$
|
75,618
|
|
|
|
|
$
|
18,768
|
|
|
|
|
$
|
519,893
|
|
|
|
(1)
|
In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" in Note 3, Outstanding Exposure, of the Financial Statements and Supplementary Data. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012.
|
|
Net Par Outstanding
|
|
Percent of Total U.S. Public Finance Net Par Outstanding
|
|
Rating
|
|||
|
(dollars in millions)
|
|||||||
New Jersey (State of)
|
$
|
3,980
|
|
|
1.1
|
%
|
|
A+
|
California (State of)
|
3,356
|
|
|
0.9
|
%
|
|
A-
|
|
New York (City of) New York
|
3,064
|
|
|
0.9
|
%
|
|
AA-
|
|
Chicago (City of) Illinois
|
2,681
|
|
|
0.8
|
%
|
|
A-
|
|
Massachusetts (Commonwealth of)
|
2,521
|
|
|
0.7
|
%
|
|
AA
|
|
New York (State of)
|
2,408
|
|
|
0.7
|
%
|
|
A+
|
|
Miami-Dade County Florida Aviation Authority - Miami International Airport
|
2,146
|
|
|
0.6
|
%
|
|
A
|
|
Puerto Rico General Obligation, Appropriations and Guarantees of the Commonwealth
|
2,119
|
|
|
0.6
|
%
|
|
BB
|
|
Port Authority of New York and New Jersey
|
2,034
|
|
|
0.6
|
%
|
|
AA-
|
|
Illinois (State of)
|
1,987
|
|
|
0.6
|
%
|
|
A-
|
|
Total of top ten U.S. public finance exposures
|
$
|
26,296
|
|
|
7.5
|
%
|
|
|
|
Net Par Outstanding
|
|
Percent of Total U.S. Structured Finance Net Par Outstanding
|
|
Rating
|
|||
|
(dollars in millions)
|
|||||||
Fortress Credit Opportunities I, LP.
|
$
|
1,328
|
|
|
2.2
|
%
|
|
AA
|
Synthetic Investment Grade Pooled Corporate CDO
|
1,188
|
|
|
2.0
|
%
|
|
AAA
|
|
Stone Tower Credit Funding
|
994
|
|
|
1.7
|
%
|
|
AAA
|
|
Synthetic High Yield Pooled Corporate CDO
|
978
|
|
|
1.7
|
%
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
767
|
|
|
1.3
|
%
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
763
|
|
|
1.3
|
%
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
756
|
|
|
1.3
|
%
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
745
|
|
|
1.3
|
%
|
|
AAA
|
|
Synthetic High Yield Pooled Corporate CDO
|
734
|
|
|
1.2
|
%
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
655
|
|
|
1.1
|
%
|
|
AAA
|
|
Total of top ten U.S. structured finance exposures
|
$
|
8,908
|
|
|
15.1
|
%
|
|
|
|
Net Par Outstanding
|
|
Percent of Total Non-U.S. Net Par Outstanding
|
|
Rating
|
|||
|
(dollars in millions)
|
|||||||
Province of Quebec
|
$
|
2,386
|
|
|
5.0
|
%
|
|
A+
|
Thames Water Utilities Finance Plc
|
1,499
|
|
|
3.1
|
%
|
|
A-
|
|
Sydney Airport Finance Company Pty Limited
|
1,309
|
|
|
2.7
|
%
|
|
BBB
|
|
Channel Link Enterprises Finance PLC
|
978
|
|
|
2.0
|
%
|
|
BBB
|
|
Southern Gas Networks PLC
|
893
|
|
|
1.9
|
%
|
|
BBB
|
|
Societe des Autoroutes du Nord et de l'Est de la France
|
858
|
|
|
1.8
|
%
|
|
BBB+
|
|
Capital Hospitals
|
814
|
|
|
1.7
|
%
|
|
BBB-
|
|
Campania Region
|
752
|
|
|
1.6
|
%
|
|
BBB-
|
|
Artesian Finance II Plc (Southern)
|
727
|
|
|
1.5
|
%
|
|
A-
|
|
International Infrastructure Pool
|
700
|
|
|
1.4
|
%
|
|
A-
|
|
Total of top ten non-U.S. exposures
|
$
|
10,916
|
|
|
22.7
|
%
|
|
|
|
Number of Risks
|
|
Net Par Outstanding
|
|
Percent of Total Net Par Outstanding
|
||||
|
|
|
(dollars in millions)
|
||||||
U.S.:
|
|
|
|
|
|
||||
U.S. Public Finance:
|
|
|
|
|
|
||||
California
|
1,492
|
|
|
$
|
52,704
|
|
|
11.5
|
%
|
New York
|
1,035
|
|
|
28,582
|
|
|
6.2
|
|
|
Pennsylvania
|
1,059
|
|
|
28,475
|
|
|
6.2
|
|
|
Texas
|
1,269
|
|
|
27,249
|
|
|
5.9
|
|
|
Illinois
|
881
|
|
|
24,138
|
|
|
5.3
|
|
|
Florida
|
422
|
|
|
21,773
|
|
|
4.7
|
|
|
New Jersey
|
656
|
|
|
14,462
|
|
|
3.2
|
|
|
Michigan
|
713
|
|
|
14,250
|
|
|
3.1
|
|
|
Georgia
|
204
|
|
|
9,364
|
|
|
2.0
|
|
|
Ohio
|
554
|
|
|
8,763
|
|
|
1.9
|
|
|
Other states and U.S. territories
|
4,517
|
|
|
122,421
|
|
|
26.7
|
|
|
Total U.S. public finance
|
12,802
|
|
|
352,181
|
|
|
76.7
|
|
|
U.S. Structured finance (multiple states)
|
963
|
|
|
58,907
|
|
|
12.8
|
|
|
Total U.S.
|
13,765
|
|
|
411,088
|
|
|
89.5
|
|
|
Non-U.S.:
|
|
|
|
|
|
||||
United Kingdom
|
115
|
|
|
21,405
|
|
|
4.7
|
|
|
Australia
|
29
|
|
|
5,598
|
|
|
1.2
|
|
|
Canada
|
10
|
|
|
3,851
|
|
|
0.8
|
|
|
France
|
21
|
|
|
3,614
|
|
|
0.8
|
|
|
Italy
|
10
|
|
|
1,808
|
|
|
0.4
|
|
|
Other
|
100
|
|
|
11,743
|
|
|
2.6
|
|
|
Total non-U.S.
|
285
|
|
|
48,019
|
|
|
10.5
|
|
|
Total
|
14,050
|
|
|
$
|
459,107
|
|
|
100.0
|
%
|
|
Hungary
|
|
Ireland
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Non-infrastructure public finance
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,372
|
|
|
$
|
114
|
|
|
$
|
441
|
|
|
$
|
1,927
|
|
Infrastructure finance
|
411
|
|
|
—
|
|
|
19
|
|
|
12
|
|
|
159
|
|
|
601
|
|
||||||
Sub-total
|
411
|
|
|
—
|
|
|
1,391
|
|
|
126
|
|
|
600
|
|
|
2,528
|
|
||||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Regulated utilities
|
—
|
|
|
—
|
|
|
254
|
|
|
—
|
|
|
—
|
|
|
254
|
|
||||||
RMBS
|
234
|
|
|
144
|
|
|
379
|
|
|
—
|
|
|
—
|
|
|
757
|
|
||||||
Sub-total
|
234
|
|
|
144
|
|
|
633
|
|
|
—
|
|
|
—
|
|
|
1,011
|
|
||||||
Total
|
$
|
645
|
|
|
$
|
144
|
|
|
$
|
2,024
|
|
|
$
|
126
|
|
|
$
|
600
|
|
|
$
|
3,539
|
|
Total BIG
|
$
|
645
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
126
|
|
|
$
|
600
|
|
|
$
|
1,371
|
|
|
Hungary
|
|
Ireland
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Non-infrastructure public finance
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,024
|
|
|
$
|
98
|
|
|
$
|
275
|
|
|
$
|
1,397
|
|
Infrastructure finance
|
384
|
|
|
—
|
|
|
18
|
|
|
12
|
|
|
155
|
|
|
569
|
|
||||||
Sub-total
|
384
|
|
|
—
|
|
|
1,042
|
|
|
110
|
|
|
430
|
|
|
1,966
|
|
||||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Regulated utilities
|
—
|
|
|
—
|
|
|
234
|
|
|
—
|
|
|
—
|
|
|
234
|
|
||||||
RMBS
|
224
|
|
|
144
|
|
|
315
|
|
|
—
|
|
|
—
|
|
|
683
|
|
||||||
Sub-total
|
224
|
|
|
144
|
|
|
549
|
|
|
—
|
|
|
—
|
|
|
917
|
|
||||||
Total
|
$
|
608
|
|
|
$
|
144
|
|
|
$
|
1,591
|
|
|
$
|
110
|
|
|
$
|
430
|
|
|
$
|
2,883
|
|
Total BIG
|
$
|
608
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
110
|
|
|
$
|
430
|
|
|
$
|
1,148
|
|
|
Greece
|
|
Ireland
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Pooled corporate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gross par ($ in millions)
|
$
|
17
|
|
|
$
|
112
|
|
|
$
|
181
|
|
|
$
|
15
|
|
|
$
|
542
|
|
|
$
|
867
|
|
Net par ($ in millions)
|
$
|
17
|
|
|
$
|
96
|
|
|
$
|
165
|
|
|
$
|
15
|
|
|
$
|
488
|
|
|
$
|
781
|
|
Average proportion
|
2.2
|
%
|
|
1.6
|
%
|
|
2.7
|
%
|
|
1.0
|
%
|
|
4.9
|
%
|
|
3.2
|
%
|
||||||
Commercial receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gross par ($ in millions)
|
$
|
—
|
|
|
$
|
20
|
|
|
$
|
54
|
|
|
$
|
14
|
|
|
$
|
2
|
|
|
$
|
90
|
|
Net par ($ in millions)
|
$
|
—
|
|
|
$
|
19
|
|
|
$
|
52
|
|
|
$
|
13
|
|
|
$
|
2
|
|
|
$
|
86
|
|
Average proportion
|
—
|
%
|
|
4.2
|
%
|
|
8.9
|
%
|
|
2.4
|
%
|
|
1.8
|
%
|
|
5.1
|
%
|
|
|
Net Par Outstanding
|
|
Internal Rating
|
||
|
|
(in millions)
|
|
|
||
Commonwealth of Puerto Rico - General Obligation Bonds
|
|
$
|
1,885
|
|
|
BB
|
Puerto Rico Highways and Transportation Authority (Transportation revenue)
|
|
869
|
|
|
BB-
|
|
Puerto Rico Electric Power Authority
|
|
860
|
|
|
BB-
|
|
Puerto Rico Municipal Finance Authority
|
|
450
|
|
|
BB-
|
|
Puerto Rico Aqueduct and Sewer Authority
|
|
384
|
|
|
BB-
|
|
Puerto Rico Highways and Transportation Authority (Highway revenue)
|
|
302
|
|
|
BB
|
|
Puerto Rico Sales Tax Financing Corporation
|
|
268
|
|
|
A-
|
|
Puerto Rico Convention Center District Authority
|
|
185
|
|
|
BB-
|
|
Puerto Rico Public Buildings Authority
|
|
139
|
|
|
BB
|
|
Puerto Rico Public Finance Corporation
|
|
44
|
|
|
B
|
|
Government Development Bank for Puerto Rico
|
|
33
|
|
|
BB
|
|
Puerto Rico Infrastructure Financing Authority
|
|
18
|
|
|
BB-
|
|
University of Puerto Rico
|
|
1
|
|
|
BB-
|
|
Total
|
|
$
|
5,438
|
|
|
BB
|
|
|
Estimated BIG Net Par Amortization
|
|
Estimated BIG Ending Net Par Outstanding
|
|
Estimated BIG Net Debt Service Amortization
|
|
Estimated BIG Ending Net Debt Service Outstanding
|
||||||||
|
|
(in millions)
|
||||||||||||||
2013 (as of December 31)
|
|
|
|
$
|
5,171
|
|
|
|
|
$
|
8,547
|
|
||||
2014 (January 1 – March 31)
|
|
$
|
—
|
|
|
5,171
|
|
|
$
|
66
|
|
|
8,481
|
|
||
2014 (April 1 – June 30)
|
|
—
|
|
|
5,171
|
|
|
66
|
|
|
8,415
|
|
||||
2014 (July 1 – September 30)
|
|
242
|
|
|
4,929
|
|
|
306
|
|
|
8,109
|
|
||||
2014 (October 1 – December 31)
|
|
—
|
|
|
4,929
|
|
|
63
|
|
|
8,046
|
|
||||
2015
|
|
364
|
|
|
4,565
|
|
|
608
|
|
|
7,438
|
|
||||
2016
|
|
289
|
|
|
4,276
|
|
|
515
|
|
|
6,923
|
|
||||
2017
|
|
208
|
|
|
4,068
|
|
|
421
|
|
|
6,502
|
|
||||
2018
|
|
160
|
|
|
3,908
|
|
|
363
|
|
|
6,139
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
2014-2018
|
|
1,263
|
|
|
3,908
|
|
|
2,408
|
|
|
6,139
|
|
||||
2019-2023
|
|
921
|
|
|
2,987
|
|
|
1,780
|
|
|
4,359
|
|
||||
2024-2028
|
|
979
|
|
|
2,008
|
|
|
1,622
|
|
|
2,737
|
|
||||
2029-2033
|
|
706
|
|
|
1,302
|
|
|
1,141
|
|
|
1,596
|
|
||||
After 2033
|
|
1,302
|
|
|
—
|
|
|
1,596
|
|
|
—
|
|
||||
Total
|
|
$
|
5,171
|
|
|
|
|
$
|
8,547
|
|
|
|
Original Par Amount Per Issue
|
|
Number of
Issues
|
|
Net Par
Outstanding
|
|
% of Public
Finance
Net Par
Outstanding
|
|||
|
(dollars in millions)
|
||||||||
Less than $10 million
|
17,802
|
|
$
|
50,930
|
|
|
13.2
|
%
|
|
$10 through $50 million
|
6,640
|
|
115,492
|
|
|
29.9
|
%
|
||
$50 through $100 million
|
1,263
|
|
69,035
|
|
|
17.9
|
%
|
||
$100 million to $200 million
|
546
|
|
61,053
|
|
|
15.8
|
%
|
||
$200 million or greater
|
324
|
|
89,669
|
|
|
23.2
|
%
|
||
Total
|
26,575
|
|
$
|
386,179
|
|
|
100.0
|
%
|
Original Par Amount Per Issue
|
|
Number of
Issues
|
|
Net Par
Outstanding
|
|
% of Structured
Finance
Net Par
Outstanding
|
|||
|
(dollars in millions)
|
||||||||
Less than $10 million
|
267
|
|
$
|
123
|
|
|
0.2
|
%
|
|
$10 through $50 million
|
482
|
|
6,499
|
|
|
8.9
|
%
|
||
$50 through $100 million
|
154
|
|
5,824
|
|
|
8.0
|
%
|
||
$100 million to $200 million
|
216
|
|
15,032
|
|
|
20.6
|
%
|
||
$200 million or greater
|
225
|
|
45,450
|
|
|
62.3
|
%
|
||
Total
|
1,344
|
|
$
|
72,928
|
|
|
100.0
|
%
|
|
|
Ratings at
|
|
Par Outstanding
|
||||||||||||
|
|
February 24, 2014
|
|
As of December 31, 2013
|
||||||||||||
Reinsurer
|
|
Moody’s
Reinsurer
Rating
|
|
S&P
Reinsurer
Rating
|
|
Ceded
Par
Outstanding(1)
|
|
Second-to-
Pay
Insured Par
Outstanding
|
|
Assumed
Par
Outstanding
|
||||||
|
|
(dollars in millions)
|
||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
|
WR (2)
|
|
WR
|
|
$
|
8,331
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
|
Aa3 (3)
|
|
AA- (3)
|
|
7,279
|
|
|
—
|
|
|
—
|
|
|||
Radian Asset Assurance Inc.
|
|
Ba1
|
|
B+
|
|
4,709
|
|
|
38
|
|
|
1,082
|
|
|||
Syncora Guarantee Inc.
|
|
WR
|
|
WR
|
|
4,201
|
|
|
1,771
|
|
|
162
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd.
|
|
A1
|
|
A+ (3)
|
|
2,144
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
809
|
|
|
5
|
|
|
9
|
|
|||
Swiss Reinsurance Co.
|
|
Aa3
|
|
AA-
|
|
346
|
|
|
—
|
|
|
—
|
|
|||
Ambac Assurance Corporation (4)
|
|
WR
|
|
WR
|
|
85
|
|
|
6,118
|
|
|
17,859
|
|
|||
CIFG Assurance North America Inc.
|
|
WR
|
|
WR
|
|
2
|
|
|
178
|
|
|
5,048
|
|
|||
MBIA Inc.
|
|
(4)
|
|
(4)
|
|
—
|
|
|
10,292
|
|
|
7,386
|
|
|||
Financial Guaranty Insurance Co.
|
|
WR
|
|
WR
|
|
—
|
|
|
2,329
|
|
|
1,315
|
|
|||
Other
|
|
Various
|
|
Various
|
|
882
|
|
|
2,099
|
|
|
46
|
|
|||
Total
|
|
|
|
|
|
$
|
28,788
|
|
|
$
|
22,830
|
|
|
$
|
32,937
|
|
(1)
|
Includes $
3,172 million
in ceded par outstanding related to insured credit derivatives.
|
(4)
|
MBIA Inc. includes various subsidiaries which are rated A and B by S&P and Baa1, B1 and B3 by Moody’s.
Ambac Assurance Corporation
includes policies in their general and segregated account.
|
Ratings (1):
|
|
Prime
First
Lien
|
|
Closed
End
Second
Lien
|
|
HELOC
|
|
Alt-A
First Lien
|
|
Option
ARM
|
|
Subprime
First
Lien
|
|
Total Net
Par
Outstanding
|
||||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||||||
AAA
|
|
$
|
1
|
|
|
$
|
0
|
|
|
$
|
20
|
|
|
$
|
218
|
|
|
$
|
4
|
|
|
$
|
2,210
|
|
|
$
|
2,453
|
|
AA
|
|
98
|
|
|
98
|
|
|
99
|
|
|
407
|
|
|
290
|
|
|
1,675
|
|
|
2,668
|
|
|||||||
A
|
|
1
|
|
|
0
|
|
|
9
|
|
|
12
|
|
|
21
|
|
|
146
|
|
|
189
|
|
|||||||
BBB
|
|
38
|
|
|
—
|
|
|
254
|
|
|
224
|
|
|
23
|
|
|
155
|
|
|
694
|
|
|||||||
BIG
|
|
402
|
|
|
146
|
|
|
1,897
|
|
|
2,728
|
|
|
598
|
|
|
1,945
|
|
|
7,717
|
|
|||||||
Total exposures
|
|
$
|
541
|
|
|
$
|
244
|
|
|
$
|
2,279
|
|
|
$
|
3,590
|
|
|
$
|
937
|
|
|
$
|
6,130
|
|
|
$
|
13,721
|
|
(1)
|
In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" in Note 3, Outstanding Exposure, of the Financial Statements and Supplementary Data.
|
Year
insured:
|
|
Prime
First
Lien
|
|
Closed
End
Second
Lien
|
|
HELOC
|
|
Alt-A
First Lien
|
|
Option
ARM
|
|
Subprime
First
Lien
|
|
Total Net
Par
Outstanding
|
||||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||||||
2004 and prior
|
|
$
|
22
|
|
|
$
|
1
|
|
|
$
|
191
|
|
|
$
|
76
|
|
|
$
|
25
|
|
|
$
|
1,213
|
|
|
$
|
1,527
|
|
2005
|
|
162
|
|
|
—
|
|
|
556
|
|
|
528
|
|
|
43
|
|
|
200
|
|
|
1,490
|
|
|||||||
2006
|
|
92
|
|
|
52
|
|
|
692
|
|
|
317
|
|
|
76
|
|
|
2,486
|
|
|
3,715
|
|
|||||||
2007
|
|
264
|
|
|
192
|
|
|
839
|
|
|
1,663
|
|
|
737
|
|
|
2,157
|
|
|
5,852
|
|
|||||||
2008
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,005
|
|
|
56
|
|
|
73
|
|
|
1,135
|
|
|||||||
Total exposures
|
|
$
|
541
|
|
|
$
|
244
|
|
|
$
|
2,279
|
|
|
$
|
3,590
|
|
|
$
|
937
|
|
|
$
|
6,130
|
|
|
$
|
13,721
|
|
Year
insured:
|
|
AAA
Rated
|
|
AA
Rated
|
|
A
Rated
|
|
BBB
Rated
|
|
BIG
Rated
|
|
Total
|
||||||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||||
2004 and prior
|
|
$
|
978
|
|
|
$
|
124
|
|
|
$
|
41
|
|
|
$
|
69
|
|
|
$
|
315
|
|
|
$
|
1,527
|
|
2005
|
|
103
|
|
|
177
|
|
|
2
|
|
|
90
|
|
|
1,118
|
|
|
1,490
|
|
||||||
2006
|
|
1,292
|
|
|
1,211
|
|
|
80
|
|
|
110
|
|
|
1,022
|
|
|
3,715
|
|
||||||
2007
|
|
9
|
|
|
1,099
|
|
|
66
|
|
|
425
|
|
|
4,254
|
|
|
5,852
|
|
||||||
2008
|
|
71
|
|
|
56
|
|
|
—
|
|
|
—
|
|
|
1,008
|
|
|
1,135
|
|
||||||
Total exposures
|
|
$
|
2,453
|
|
|
$
|
2,668
|
|
|
$
|
189
|
|
|
$
|
694
|
|
|
$
|
7,717
|
|
|
$
|
13,721
|
|
% of total
|
|
17.9
|
%
|
|
19.4
|
%
|
|
1.4
|
%
|
|
5.1
|
%
|
|
56.2
|
%
|
|
100.0
|
%
|
(1)
|
In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" in Note 3, Outstanding Exposure, of the Financial Statements and Supplementary Data.
|
Year
insured:
|
|
Net Par
Outstanding
|
|
Pool
Factor
|
|
Subordination
|
|
Cumulative
Losses
|
|
60+ Day
Delinquencies
|
|
Number of
Transactions
|
|||||||
|
|
(dollars in millions)
|
|||||||||||||||||
2005
|
|
$
|
159
|
|
|
22.4
|
%
|
|
5.4
|
%
|
|
2.6
|
%
|
|
12.2
|
%
|
|
6
|
|
2006
|
|
92
|
|
|
45.9
|
%
|
|
8.3
|
%
|
|
0.9
|
%
|
|
18.8
|
%
|
|
1
|
|
|
2007
|
|
264
|
|
|
32.6
|
%
|
|
2.3
|
%
|
|
6.8
|
%
|
|
18.2
|
%
|
|
1
|
|
|
2008
|
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
|
|
Total
|
|
$
|
516
|
|
|
31.8
|
%
|
|
4.3
|
%
|
|
4.5
|
%
|
|
16.5
|
%
|
|
8
|
|
Year
insured:
|
|
Net Par
Outstanding
|
|
Pool
Factor
|
|
Subordination
|
|
Cumulative
Losses
|
|
60+ Day
Delinquencies
|
|
Number of
Transactions
|
|||||||
|
|
(dollars in millions)
|
|||||||||||||||||
2005
|
|
$
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
|
2006
|
|
43
|
|
|
10.3
|
%
|
|
—
|
%
|
|
60.8
|
%
|
|
4.6
|
%
|
|
1
|
|
|
2007
|
|
192
|
|
|
12.0
|
%
|
|
—
|
%
|
|
70.3
|
%
|
|
6.0
|
%
|
|
8
|
|
|
2008
|
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
|
|
Total
|
|
$
|
235
|
|
|
11.7
|
%
|
|
—
|
%
|
|
68.6
|
%
|
|
5.7
|
%
|
|
9
|
|
Year
insured:
|
|
Net Par
Outstanding
|
|
Pool
Factor
|
|
Subordination
|
|
Cumulative
Losses
|
|
60+ Day
Delinquencies
|
|
Number of
Transactions
|
|||||||
|
|
(dollars in millions)
|
|||||||||||||||||
2005
|
|
$
|
518
|
|
|
11.0
|
%
|
|
3.3
|
%
|
|
18.8
|
%
|
|
4.9
|
%
|
|
5
|
|
2006
|
|
677
|
|
|
19.6
|
%
|
|
4.3
|
%
|
|
38.8
|
%
|
|
3.9
|
%
|
|
7
|
|
|
2007
|
|
839
|
|
|
24.3
|
%
|
|
1.9
|
%
|
|
40.4
|
%
|
|
3.4
|
%
|
|
8
|
|
|
2008
|
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
|
|
Total
|
|
$
|
2,034
|
|
|
19.4
|
%
|
|
3.0
|
%
|
|
34.4
|
%
|
|
3.9
|
%
|
|
20
|
|
Year
insured:
|
|
Net Par
Outstanding
|
|
Pool
Factor
|
|
Subordination
|
|
Cumulative
Losses
|
|
60+ Day
Delinquencies
|
|
Number of
Transactions
|
|||||||
|
|
(dollars in millions)
|
|||||||||||||||||
2005
|
|
$
|
526
|
|
|
23.4
|
%
|
|
8.8
|
%
|
|
7.7
|
%
|
|
17.0
|
%
|
|
20
|
|
2006
|
|
317
|
|
|
29.0
|
%
|
|
0.0
|
%
|
|
22.7
|
%
|
|
37.0
|
%
|
|
7
|
|
|
2007
|
|
1,663
|
|
|
36.8
|
%
|
|
0.6
|
%
|
|
18.5
|
%
|
|
28.2
|
%
|
|
11
|
|
|
2008
|
|
1,005
|
|
|
34.9
|
%
|
|
13.1
|
%
|
|
17.2
|
%
|
|
25.7
|
%
|
|
5
|
|
|
Total
|
|
$
|
3,512
|
|
|
33.6
|
%
|
|
5.3
|
%
|
|
16.9
|
%
|
|
26.6
|
%
|
|
43
|
|
Year
insured:
|
|
Net Par
Outstanding
|
|
Pool
Factor
|
|
Subordination
|
|
Cumulative
Losses
|
|
60+ Day
Delinquencies
|
|
Number of
Transactions
|
|||||||
|
|
(dollars in millions)
|
|||||||||||||||||
2005
|
|
$
|
38
|
|
|
15.2
|
%
|
|
11.8
|
%
|
|
10.4
|
%
|
|
16.2
|
%
|
|
2
|
|
2006
|
|
71
|
|
|
26.6
|
%
|
|
—
|
%
|
|
19.4
|
%
|
|
30.8
|
%
|
|
5
|
|
|
2007
|
|
737
|
|
|
36.1
|
%
|
|
0.9
|
%
|
|
23.0
|
%
|
|
29.4
|
%
|
|
11
|
|
|
2008
|
|
56
|
|
|
37.9
|
%
|
|
49.7
|
%
|
|
17.8
|
%
|
|
23.0
|
%
|
|
1
|
|
|
Total
|
|
$
|
902
|
|
|
34.6
|
%
|
|
4.3
|
%
|
|
21.8
|
%
|
|
28.5
|
%
|
|
19
|
|
Year
insured:
|
|
Net Par
Outstanding
|
|
Pool
Factor
|
|
Subordination
|
|
Cumulative
Losses
|
|
60+ Day
Delinquencies
|
|
Number of
Transactions
|
|||||||
|
|
(dollars in millions)
|
|||||||||||||||||
2005
|
|
$
|
192
|
|
|
32.7
|
%
|
|
15.3
|
%
|
|
9.6
|
%
|
|
26.9
|
%
|
|
3
|
|
2006
|
|
2,481
|
|
|
17.4
|
%
|
|
62.4
|
%
|
|
20.5
|
%
|
|
31.5
|
%
|
|
4
|
|
|
2007
|
|
2,157
|
|
|
39.6
|
%
|
|
8.2
|
%
|
|
28.3
|
%
|
|
40.0
|
%
|
|
13
|
|
|
2008
|
|
73
|
|
|
50.6
|
%
|
|
13.5
|
%
|
|
24.3
|
%
|
|
28.8
|
%
|
|
1
|
|
|
Total
|
|
$
|
4,904
|
|
|
28.3
|
%
|
|
36.0
|
%
|
|
23.5
|
%
|
|
35.1
|
%
|
|
21
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Dividends and return of capital from subsidiaries
|
$
|
424
|
|
|
$
|
286
|
|
|
$
|
166
|
|
Proceeds from issuance of common shares
|
—
|
|
|
173
|
|
|
—
|
|
|||
Dividends paid to AGL shareholders
|
(75
|
)
|
|
(69
|
)
|
|
(33
|
)
|
|||
Repurchases of common shares
|
(264
|
)
|
|
(24
|
)
|
|
(23
|
)
|
|||
Interest paid
|
(70
|
)
|
|
(77
|
)
|
|
(85
|
)
|
|||
Acquisition of MAC, net of cash acquired
|
—
|
|
|
(91
|
)
|
|
—
|
|
|||
Loans from subsidiaries
|
—
|
|
|
173
|
|
|
—
|
|
|||
Payment of long-term debt
|
(7
|
)
|
|
(173
|
)
|
|
—
|
|
•
|
Under Maryland's insurance law, AGC may, with prior notice to the Maryland insurance commissioner, pay an ordinary dividend that, together with all dividends paid in the prior 12 months, does not exceed 10% of its policyholders' surplus (as of the prior December 31) or 100% of its adjusted net investment income during that period. The maximum amount available during 2014 for AGC to pay ordinary dividends to AGUS, after giving effect to dividends paid in the prior 12 months, will be approximately $69 million.
|
•
|
Under New York's insurance law, AGM may only pay dividends out of "earned surplus" and may pay dividends without the prior approval of the New York Superintendent that, together with all dividends paid in the prior 12 months, does not exceed 10% of its policyholders' surplus (as of its last annual or quarterly statement filed with the New York Superintendent) or 100% of its adjusted net investment income during that period. The maximum amount available during 2014 for AGM to pay dividends to AGMH without regulatory approval, after giving effect to dividends paid in the prior 12 months, will be approximately $173 million.
|
•
|
AG Re, based on regulatory capital requirements, has $600 million in excess capital and surplus. However, dividends are paid out of an insurer's statutory surplus and cannot exceed that surplus; AG Re's outstanding statutory surplus is $278 million. In addition, annual dividends cannot exceed 25% of total statutory capital and surplus, which is $281 million, without AG Re certifying to the Bermuda Monetary Authority that it will continue to meet required margins. As of December 31, 2013, AG Re had unencumbered assets of approximately $238 million. Such amount will fluctuate during the quarter based upon factors including the market value of previously posted assets and additional ceded reserves, if any.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Dividends paid by AGC to AGUS
|
$
|
67
|
|
|
$
|
55
|
|
|
$
|
30
|
|
Dividends paid by AGM to AGMH
|
163
|
|
|
30
|
|
|
—
|
|
|||
Dividends paid by AG Re to AGL
|
144
|
|
|
151
|
|
|
86
|
|
|||
Repayment of surplus note by AGM to AGMH
|
50
|
|
|
50
|
|
|
50
|
|
|||
Issuance of surplus notes by MAC to AGM and MAC Holdings
|
(400
|
)
|
|
—
|
|
|
—
|
|
•
|
operating expenses,
|
•
|
claims on the insured portfolio,
|
•
|
posting of collateral in connection with credit derivatives and reinsurance transactions,
|
•
|
reinsurance premiums,
|
•
|
dividends to AGL, AGUS and/or AGMH, as applicable,
|
•
|
principal paydown on surplus notes issued, and
|
•
|
capital investments in their own subsidiaries, where appropriate.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
|
|
||||||||
Claims paid before R&W recoveries, net of reinsurance
|
$
|
705
|
|
|
$
|
1,326
|
|
|
$
|
1,142
|
|
R&W recoveries
|
(954
|
)
|
|
(459
|
)
|
|
(1,059
|
)
|
|||
Claims paid (recovered), net of reinsurance(1)
|
$
|
(249
|
)
|
|
$
|
867
|
|
|
$
|
83
|
|
(1)
|
Includes amounts paid and recovered on consolidated FG VIEs as follows: $189 million in recoveries in 2013, $38 million in recoveries in 2012, and $200 million in payments for 2011. Claims recovered include invested assets received as part of a restructuring. See Note 6, Expected Loss to be Paid, of the Financial Statements and Supplementary Data.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
|
|
||||||||
Net cash flows provided by (used in) operating activities
|
$
|
244
|
|
|
$
|
(165
|
)
|
|
$
|
676
|
|
Net cash flows provided by (used in) investing activities
|
681
|
|
|
943
|
|
|
561
|
|
|||
Net cash flows provided by (used in) financing activities
|
(878
|
)
|
|
(856
|
)
|
|
(1,132
|
)
|
|||
Effect of exchange rate changes
|
(1
|
)
|
|
1
|
|
|
2
|
|
|||
Cash at beginning of period
|
138
|
|
|
215
|
|
|
108
|
|
|||
Total cash at the end of the period
|
$
|
184
|
|
|
$
|
138
|
|
|
$
|
215
|
|
|
Principal Amount
|
|
Interest Paid
|
||||||||||||||||
|
As of December 31,
|
|
Year Ended December 31,
|
||||||||||||||||
|
2013
|
|
2012
|
|
2013
|
|
2012
|
|
2011
|
||||||||||
|
(in millions)
|
||||||||||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
7.0% Senior Notes
|
$
|
200
|
|
|
$
|
200
|
|
|
$
|
14
|
|
|
$
|
14
|
|
|
$
|
14
|
|
8.50% Senior Notes(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
15
|
|
|||||
Series A Enhanced Junior Subordinated Debentures
|
150
|
|
|
150
|
|
|
10
|
|
|
10
|
|
|
10
|
|
|||||
Total AGUS
|
350
|
|
|
350
|
|
|
24
|
|
|
31
|
|
|
39
|
|
|||||
AGMH(1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
6
7
/
8
% QUIBS
|
100
|
|
|
100
|
|
|
7
|
|
|
7
|
|
|
7
|
|
|||||
6.25% Notes
|
230
|
|
|
230
|
|
|
14
|
|
|
14
|
|
|
14
|
|
|||||
5.60% Notes
|
100
|
|
|
100
|
|
|
6
|
|
|
6
|
|
|
6
|
|
|||||
Junior Subordinated Debentures
|
300
|
|
|
300
|
|
|
19
|
|
|
19
|
|
|
19
|
|
|||||
Total AGMH
|
730
|
|
|
730
|
|
|
46
|
|
|
46
|
|
|
46
|
|
|||||
AGM(2):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Notes Payable
|
34
|
|
|
61
|
|
|
6
|
|
|
8
|
|
|
7
|
|
|||||
Total AGM
|
34
|
|
|
61
|
|
|
6
|
|
|
8
|
|
|
7
|
|
|||||
Total
|
$
|
1,114
|
|
|
$
|
1,141
|
|
|
$
|
76
|
|
|
$
|
85
|
|
|
$
|
92
|
|
(2)
|
Principal amounts vary from carrying amounts due primarily to acquisition method fair value adjustments at the Acquisition Date, which are accreted or amortized into interest expense over the remaining terms of these obligations.
|
•
|
7.0
% Senior Notes issued by AGUS
|
•
|
6 7/8
% Quarterly Income Bonds Securities (“QUIBS”) issued by AGMH
|
•
|
6.25
% Notes issued by AGMH
|
•
|
5.60
% Notes issued by AGMH
|
|
As of December 31, 2013
|
||||||||||||||||||
|
Less Than
1 Year
|
|
1-3
Years
|
|
3-5
Years
|
|
After
5 Years
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
||||||||||
7.0% Senior Notes
|
$
|
14
|
|
|
$
|
28
|
|
|
$
|
28
|
|
|
$
|
415
|
|
|
$
|
485
|
|
Series A Enhanced Junior Subordinated Debentures
|
10
|
|
|
19
|
|
|
19
|
|
|
610
|
|
|
658
|
|
|||||
6
7
/
8
% QUIBS
|
7
|
|
|
14
|
|
|
14
|
|
|
670
|
|
|
705
|
|
|||||
6.25% Notes
|
14
|
|
|
29
|
|
|
29
|
|
|
1,436
|
|
|
1,508
|
|
|||||
5.60% Notes
|
6
|
|
|
11
|
|
|
11
|
|
|
573
|
|
|
601
|
|
|||||
Junior Subordinated Debentures
|
19
|
|
|
38
|
|
|
38
|
|
|
1,223
|
|
|
1,318
|
|
|||||
Notes Payable
|
13
|
|
|
15
|
|
|
11
|
|
|
0
|
|
|
39
|
|
|||||
Operating lease obligations(1)
|
8
|
|
|
16
|
|
|
15
|
|
|
59
|
|
|
98
|
|
|||||
Other compensation plans(3)
|
17
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
18
|
|
|||||
Estimated financial guaranty claim payments(2)
|
389
|
|
|
703
|
|
|
159
|
|
|
1,913
|
|
|
3,164
|
|
|||||
Total
|
$
|
497
|
|
|
$
|
874
|
|
|
$
|
324
|
|
|
$
|
6,899
|
|
|
$
|
8,594
|
|
(1)
|
Operating lease obligations exclude escalations in building operating costs and real estate taxes.
|
(2)
|
Financial guaranty claim payments represent estimated undiscounted expected cash outflows under direct and assumed financial guaranty contracts, whether accounted for as insurance or credit derivatives, including claim payments under contracts in consolidated FG VIEs. The amounts presented are not reduced for cessions under reinsurance contracts. Amounts include any benefit anticipated from excess spreads within the contracts but do not reflect any benefit for recoveries under breaches of R&W.
|
(3)
|
Amount excludes approximately $47 million of liabilities under various supplemental retirement plans, which are fair valued and payable at the time of termination of employment by either employer or employee. Amount also excludes approximately $38 million of liabilities under AGL 2004 long term incentive plan, which are fair valued and payable at the time of termination of employment by either employer or employee with change of control. Given the nature of these awards, we are unable to determine the year in which they will be paid.
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||
|
Amortized
Cost
|
|
Estimated
Fair Value
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Obligations of state and political subdivisions
|
$
|
4,899
|
|
|
$
|
5,079
|
|
|
$
|
5,153
|
|
|
$
|
5,631
|
|
U.S. government and agencies
|
674
|
|
|
700
|
|
|
732
|
|
|
794
|
|
||||
Corporate securities
|
1,314
|
|
|
1,340
|
|
|
930
|
|
|
1,010
|
|
||||
Mortgage-backed securities(1):
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,160
|
|
|
1,122
|
|
|
1,281
|
|
|
1,266
|
|
||||
CMBS
|
536
|
|
|
549
|
|
|
482
|
|
|
520
|
|
||||
Asset-backed securities
|
605
|
|
|
608
|
|
|
482
|
|
|
531
|
|
||||
Foreign government securities
|
300
|
|
|
313
|
|
|
286
|
|
|
304
|
|
||||
Total fixed-maturity securities
|
9,488
|
|
|
9,711
|
|
|
9,346
|
|
|
10,056
|
|
||||
Short-term investments
|
904
|
|
|
904
|
|
|
817
|
|
|
817
|
|
||||
Total fixed-maturity and short-term investments
|
$
|
10,392
|
|
|
$
|
10,615
|
|
|
$
|
10,163
|
|
|
$
|
10,873
|
|
(1)
|
Government-agency obligations were approximately
50%
of mortgage backed securities as of
December 31, 2013
and
61%
as of
December 31, 2012
, based on fair value.
|
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
||||||||||||||||||
|
Fair
Value
|
|
Unrealized
Loss
|
|
Fair
Value
|
|
Unrealized
Loss
|
|
Fair
Value
|
|
Unrealized
Loss
|
||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Obligations of state and political subdivisions
|
$
|
781
|
|
|
$
|
(39
|
)
|
|
$
|
5
|
|
|
$
|
0
|
|
|
$
|
786
|
|
|
$
|
(39
|
)
|
U.S. government and agencies
|
173
|
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
173
|
|
|
(6
|
)
|
||||||
Corporate securities
|
401
|
|
|
(18
|
)
|
|
3
|
|
|
0
|
|
|
404
|
|
|
(18
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
RMBS
|
414
|
|
|
(21
|
)
|
|
186
|
|
|
(51
|
)
|
|
600
|
|
|
(72
|
)
|
||||||
CMBS
|
121
|
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
121
|
|
|
(4
|
)
|
||||||
Asset-backed securities
|
196
|
|
|
(2
|
)
|
|
42
|
|
|
(5
|
)
|
|
238
|
|
|
(7
|
)
|
||||||
Foreign government securities
|
54
|
|
|
(1
|
)
|
|
1
|
|
|
0
|
|
|
55
|
|
|
(1
|
)
|
||||||
Total
|
$
|
2,140
|
|
|
$
|
(91
|
)
|
|
$
|
237
|
|
|
$
|
(56
|
)
|
|
$
|
2,377
|
|
|
$
|
(147
|
)
|
Number of securities
|
|
|
|
425
|
|
|
|
|
|
33
|
|
|
|
|
|
458
|
|
||||||
Number of securities with OTTI
|
|
|
|
13
|
|
|
|
|
|
11
|
|
|
|
|
|
24
|
|
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
||||||||||||||||||
|
Fair
Value
|
|
Unrealized
Loss
|
|
Fair
Value
|
|
Unrealized
Loss
|
|
Fair
Value
|
|
Unrealized
Loss
|
||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Obligations of state and political subdivisions
|
$
|
79
|
|
|
$
|
(11
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
79
|
|
|
$
|
(11
|
)
|
U.S. government and agencies
|
62
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
62
|
|
|
0
|
|
||||||
Corporate securities
|
25
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
25
|
|
|
0
|
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
—
|
|
|
—
|
|
||||||
RMBS
|
108
|
|
|
(19
|
)
|
|
121
|
|
|
(58
|
)
|
|
229
|
|
|
(77
|
)
|
||||||
CMBS
|
5
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
5
|
|
|
0
|
|
||||||
Asset-backed securities
|
16
|
|
|
0
|
|
|
35
|
|
|
(10
|
)
|
|
51
|
|
|
(10
|
)
|
||||||
Foreign government securities
|
8
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|
0
|
|
||||||
Total
|
$
|
303
|
|
|
$
|
(30
|
)
|
|
$
|
156
|
|
|
$
|
(68
|
)
|
|
$
|
459
|
|
|
$
|
(98
|
)
|
Number of securities
|
|
|
|
58
|
|
|
|
|
|
16
|
|
|
|
|
|
74
|
|
||||||
Number of securities with OTTI
|
|
|
|
5
|
|
|
|
|
|
6
|
|
|
|
|
|
11
|
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||
|
(in millions)
|
||||||
Due within one year
|
$
|
272
|
|
|
$
|
275
|
|
Due after one year through five years
|
1,662
|
|
|
1,734
|
|
||
Due after five years through 10 years
|
2,420
|
|
|
2,505
|
|
||
Due after 10 years
|
3,438
|
|
|
3,526
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,160
|
|
|
1,122
|
|
||
CMBS
|
536
|
|
|
549
|
|
||
Total
|
$
|
9,488
|
|
|
$
|
9,711
|
|
Rating
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
||
AAA
|
|
16.5
|
%
|
|
18.5
|
%
|
AA
|
|
57.5
|
|
|
61.3
|
|
A
|
|
17.6
|
|
|
14.3
|
|
BBB
|
|
0.9
|
|
|
0.4
|
|
BIG(1)
|
|
7.5
|
|
|
5.5
|
|
Total
|
|
100.0
|
%
|
|
100.0
|
%
|
(1)
|
Comprised primarily of loss mitigation and other risk management assets. See Note 11, Investments and Cash, of the Financial Statements and Supplementary Data.
|
Guarantor
|
|
As of
December 31, 2013 |
||
|
|
(in millions)
|
||
National Public Finance Guarantee Corporation
|
|
$
|
461
|
|
Ambac Assurance Corporation
|
|
455
|
|
|
CIFG Assurance North America Inc.
|
|
19
|
|
|
Berkshire Hathaway Assurance Corporation
|
|
5
|
|
|
Syncora Guarantee Inc.
|
|
3
|
|
|
Total
|
|
$
|
943
|
|
(1)
|
99.2% of these securities had investment grade ratings based on the lower of Moody’s and S&P.
|
•
|
an amended and restated revolving credit agreement (the “Liquidity Facility”) pursuant to which DCL commits to provide funds to FSAM. As a result of agreed reductions and GIC amortization as of December 31, 2013 the commitments totaled $3.8 billion of (which approximately $1.3 billion was drawn), and
|
•
|
a master repurchase agreement (the “Repurchase Facility Agreement” and, together with the Liquidity Facility, the “Guaranteed Liquidity Facilities”) pursuant to which DCL will provide up to $3.5 billion of funds in exchange for the transfer by FSAM to DCL of FSAM securities that are not eligible to satisfy collateralization obligations of the GIC Issuers under the GICs. As of
December 31, 2013
, no amounts were outstanding under the Repurchase Facility Agreement.
|
ITEM 7A.
|
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|
•
|
The fair value of credit derivatives within the financial guaranty portfolio of insured obligations which fluctuate based on changes in credit spreads of the underlying obligations and the Company's own credit spreads.
|
•
|
The Investment Portfolio's fair value is primarily driven by changes in interest rates and also affected by changes in credit spreads.
|
•
|
The Investment Portfolio also contains foreign denominated securities whose value fluctuates based on changes in foreign exchange rates.
|
•
|
Premiums receivable include foreign denominated receivables whose carrying value fluctuates based on changes in foreign exchange rates.
|
•
|
The fair value of the assets and liabilities of consolidated FG VIE's may fluctuate based on changes in prepayment spreads, default rates, interest rates, and house price depreciation/appreciation.
|
|
As of December 31, 2013
|
|||||||
Credit Spreads(1)
|
|
Estimated Net
Fair Value (Pre-Tax)
|
|
Estimated
Change in Gain/(Loss)(Pre-Tax)
|
||||
|
(in millions)
|
|||||||
100% widening in spreads
|
$
|
(3,499
|
)
|
|
$
|
(1,806
|
)
|
|
50% widening in spreads
|
(2,596
|
)
|
|
(903
|
)
|
|||
25% widening in spreads
|
(2,145
|
)
|
|
(452
|
)
|
|||
10% widening in spreads
|
(1,874
|
)
|
|
(181
|
)
|
|||
Base Scenario
|
(1,693
|
)
|
|
—
|
|
|||
10% narrowing in spreads
|
(1,527
|
)
|
|
166
|
|
|||
25% narrowing in spreads
|
(1,276
|
)
|
|
417
|
|
|||
50% narrowing in spreads
|
(860
|
)
|
|
833
|
|
|
As of December 31, 2012
|
|||||||
Credit Spreads(1)
|
|
Estimated Net
Fair Value (Pre-Tax)
|
|
Estimated
Change in Gain/(Loss)(Pre-Tax)
|
||||
|
(in millions)
|
|||||||
100% widening in spreads
|
$
|
(3,765
|
)
|
|
$
|
(1,972
|
)
|
|
50% widening in spreads
|
(2,777
|
)
|
|
(984
|
)
|
|||
25% widening in spreads
|
(2,283
|
)
|
|
(490
|
)
|
|||
10% widening in spreads
|
(1,987
|
)
|
|
(194
|
)
|
|||
Base Scenario
|
(1,793
|
)
|
|
—
|
|
|||
10% narrowing in spreads
|
(1,634
|
)
|
|
159
|
|
|||
25% narrowing in spreads
|
(1,402
|
)
|
|
391
|
|
|||
50% narrowing in spreads
|
(1,028
|
)
|
|
765
|
|
(1)
|
Includes the effects of spreads on both the underlying asset classes and the Company's own credit spread.
|
|
Change in Interest Rates
|
||||||||||||||||||||||
|
300 Basis
Point
Decrease
|
|
200 Basis
Point
Decrease
|
|
100 Basis
Point
Decrease
|
|
100 Basis
Point
Increase
|
|
200 Basis
Point
Increase
|
|
300 Basis
Point
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Estimated change in fair value
|
$
|
953
|
|
|
$
|
768
|
|
|
$
|
446
|
|
|
$
|
(499
|
)
|
|
$
|
(984
|
)
|
|
$
|
(1,434
|
)
|
|
Change in Interest Rates
|
||||||||||||||||||||||
|
300 Basis
Point
Decrease
|
|
200 Basis
Point
Decrease
|
|
100 Basis
Point
Decrease
|
|
100 Basis
Point
Increase
|
|
200 Basis
Point
Increase
|
|
300 Basis
Point
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Estimated change in fair value
|
$
|
576
|
|
|
$
|
532
|
|
|
$
|
382
|
|
|
$
|
(478
|
)
|
|
$
|
(970
|
)
|
|
$
|
(1,456
|
)
|
|
Change in Foreign Exchange Rates
|
||||||||||||||||||||||
|
30%
Decrease
|
|
20%
Decrease
|
|
10%
Decrease
|
|
10%
Increase
|
|
20%
Increase
|
|
30%
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Estimated change in fair value
|
$
|
(131
|
)
|
|
$
|
(87
|
)
|
|
$
|
(44
|
)
|
|
$
|
44
|
|
|
$
|
87
|
|
|
$
|
131
|
|
|
Change in Foreign Exchange Rates
|
||||||||||||||||||||||
|
30%
Decrease
|
|
20%
Decrease
|
|
10%
Decrease
|
|
10%
Increase
|
|
20%
Increase
|
|
30%
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Estimated change in fair value
|
$
|
(119
|
)
|
|
$
|
(79
|
)
|
|
$
|
(40
|
)
|
|
$
|
40
|
|
|
$
|
79
|
|
|
$
|
119
|
|
|
Change in Foreign Exchange Rates
|
||||||||||||||||||||||
|
30%
Decrease
|
|
20%
Decrease
|
|
10%
Decrease
|
|
10%
Increase
|
|
20%
Increase
|
|
30%
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Estimated change in carrying value
|
$
|
(108
|
)
|
|
$
|
(72
|
)
|
|
$
|
(36
|
)
|
|
$
|
36
|
|
|
$
|
72
|
|
|
$
|
108
|
|
|
Change in Foreign Exchange Rates
|
||||||||||||||||||||||
|
30%
Decrease
|
|
20%
Decrease
|
|
10%
Decrease
|
|
10%
Increase
|
|
20%
Increase
|
|
30%
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Estimated change in carrying value
|
$
|
(116
|
)
|
|
$
|
(77
|
)
|
|
$
|
(39
|
)
|
|
$
|
39
|
|
|
$
|
77
|
|
|
$
|
116
|
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
||||
Assets
|
|
|
|
|
|
||
Investment portfolio:
|
|
|
|
|
|
||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $9,488 and $9,346)
|
$
|
9,711
|
|
|
$
|
10,056
|
|
Short-term investments, at fair value
|
904
|
|
|
817
|
|
||
Other invested assets
|
170
|
|
|
212
|
|
||
Total investment portfolio
|
10,785
|
|
|
11,085
|
|
||
Cash
|
184
|
|
|
138
|
|
||
Premiums receivable, net of commissions payable
|
876
|
|
|
1,005
|
|
||
Ceded unearned premium reserve
|
452
|
|
|
561
|
|
||
Deferred acquisition costs
|
124
|
|
|
116
|
|
||
Reinsurance recoverable on unpaid losses
|
36
|
|
|
58
|
|
||
Salvage and subrogation recoverable
|
174
|
|
|
456
|
|
||
Credit derivative assets
|
94
|
|
|
141
|
|
||
Deferred tax asset, net
|
688
|
|
|
721
|
|
||
Financial guaranty variable interest entities’ assets, at fair value
|
2,565
|
|
|
2,688
|
|
||
Other assets
|
309
|
|
|
273
|
|
||
Total assets
|
$
|
16,287
|
|
|
$
|
17,242
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
|
||
Unearned premium reserve
|
$
|
4,595
|
|
|
$
|
5,207
|
|
Loss and loss adjustment expense reserve
|
592
|
|
|
601
|
|
||
Reinsurance balances payable, net
|
148
|
|
|
219
|
|
||
Long-term debt
|
816
|
|
|
836
|
|
||
Credit derivative liabilities
|
1,787
|
|
|
1,934
|
|
||
Current income tax payable
|
44
|
|
|
—
|
|
||
Financial guaranty variable interest entities’ liabilities with recourse, at fair value
|
1,790
|
|
|
2,090
|
|
||
Financial guaranty variable interest entities’ liabilities without recourse, at fair value
|
1,081
|
|
|
1,051
|
|
||
Other liabilities
|
319
|
|
|
310
|
|
||
Total liabilities
|
11,172
|
|
|
12,248
|
|
||
Commitments and contingencies (See Note 16)
|
|
|
|
||||
Common stock ($0.01 par value, 500,000,000 shares authorized; 182,177,866 and 194,003,297 shares issued and outstanding)
|
2
|
|
|
2
|
|
||
Additional paid-in capital
|
2,466
|
|
|
2,724
|
|
||
Retained earnings
|
2,482
|
|
|
1,749
|
|
||
Accumulated other comprehensive income, net of tax of $71 and $198
|
160
|
|
|
515
|
|
||
Deferred equity compensation (320,193 and 320,193 shares)
|
5
|
|
|
4
|
|
||
Total shareholders’ equity
|
5,115
|
|
|
4,994
|
|
||
Total liabilities and shareholders’ equity
|
$
|
16,287
|
|
|
$
|
17,242
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
Revenues
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
752
|
|
|
$
|
853
|
|
|
$
|
920
|
|
Net investment income
|
393
|
|
|
404
|
|
|
396
|
|
|||
Net realized investment gains (losses):
|
|
|
|
|
|
|
|
||||
Other-than-temporary impairment losses
|
(32
|
)
|
|
(58
|
)
|
|
(84
|
)
|
|||
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income
|
10
|
|
|
(41
|
)
|
|
(39
|
)
|
|||
Other net realized investment gains (losses)
|
94
|
|
|
18
|
|
|
27
|
|
|||
Net realized investment gains (losses)
|
52
|
|
|
1
|
|
|
(18
|
)
|
|||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
||||||
Realized gains (losses) and other settlements
|
(42
|
)
|
|
(108
|
)
|
|
6
|
|
|||
Net unrealized gains (losses)
|
107
|
|
|
(477
|
)
|
|
554
|
|
|||
Net change in fair value of credit derivatives
|
65
|
|
|
(585
|
)
|
|
560
|
|
|||
Fair value gains (losses) on committed capital securities
|
10
|
|
|
(18
|
)
|
|
35
|
|
|||
Fair value gains (losses) on financial guaranty variable interest entities
|
346
|
|
|
191
|
|
|
(146
|
)
|
|||
Other income (loss)
|
(10
|
)
|
|
108
|
|
|
58
|
|
|||
Total revenues
|
1,608
|
|
|
954
|
|
|
1,805
|
|
|||
Expenses
|
|
|
|
|
|
|
|
||||
Loss and loss adjustment expenses
|
154
|
|
|
504
|
|
|
448
|
|
|||
Amortization of deferred acquisition costs
|
12
|
|
|
14
|
|
|
17
|
|
|||
Interest expense
|
82
|
|
|
92
|
|
|
99
|
|
|||
Other operating expenses
|
218
|
|
|
212
|
|
|
212
|
|
|||
Total expenses
|
466
|
|
|
822
|
|
|
776
|
|
|||
Income (loss) before income taxes
|
1,142
|
|
|
132
|
|
|
1,029
|
|
|||
Provision (benefit) for income taxes
|
|
|
|
|
|
|
|
||||
Current
|
157
|
|
|
57
|
|
|
(127
|
)
|
|||
Deferred
|
177
|
|
|
(35
|
)
|
|
383
|
|
|||
Total provision (benefit) for income taxes
|
334
|
|
|
22
|
|
|
256
|
|
|||
Net income (loss)
|
$
|
808
|
|
|
$
|
110
|
|
|
$
|
773
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
||||||
Basic
|
$
|
4.32
|
|
|
$
|
0.58
|
|
|
$
|
4.21
|
|
Diluted
|
$
|
4.30
|
|
|
$
|
0.57
|
|
|
$
|
4.16
|
|
Dividends per share
|
$
|
0.40
|
|
|
$
|
0.36
|
|
|
$
|
0.18
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
Net income (loss)
|
$
|
808
|
|
|
$
|
110
|
|
|
$
|
773
|
|
Unrealized holding gains (losses) arising during the period on:
|
|
|
|
|
|
|
|
||||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $(106), $56 and $105
|
(309
|
)
|
|
148
|
|
|
234
|
|
|||
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(17), $(2) and $5
|
(35
|
)
|
|
(7
|
)
|
|
9
|
|
|||
Unrealized holding gains (losses) arising during the period, net of tax
|
(344
|
)
|
|
141
|
|
|
243
|
|
|||
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $5, $(7) and $(7)
|
14
|
|
|
(4
|
)
|
|
(14
|
)
|
|||
Change in net unrealized gains on investments
|
(358
|
)
|
|
145
|
|
|
257
|
|
|||
Other, net of tax provision
|
3
|
|
|
2
|
|
|
(1
|
)
|
|||
Other comprehensive income (loss)
|
$
|
(355
|
)
|
|
$
|
147
|
|
|
$
|
256
|
|
Comprehensive income (loss)
|
$
|
453
|
|
|
$
|
257
|
|
|
$
|
1,029
|
|
|
Common Shares Outstanding
|
|
|
Common Stock Par Value
|
|
Additional
Paid-in Capital |
|
Retained Earnings
|
|
Accumulated
Other Comprehensive Income |
|
Deferred
Equity Compensation |
|
Total
Shareholders’ Equity |
|||||||||||||
Balance at December 31, 2010
|
183,744,655
|
|
|
|
$
|
2
|
|
|
$
|
2,586
|
|
|
$
|
968
|
|
|
$
|
112
|
|
|
$
|
2
|
|
|
$
|
3,670
|
|
Net income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
773
|
|
|
—
|
|
|
—
|
|
|
773
|
|
||||||
Dividends ($0.18 per share)
|
—
|
|
|
|
—
|
|
|
—
|
|
|
(33
|
)
|
|
—
|
|
|
—
|
|
|
(33
|
)
|
||||||
Common stock repurchases
|
(2,000,000
|
)
|
|
|
—
|
|
|
(23
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(23
|
)
|
||||||
Share-based compensation and other
|
491,143
|
|
|
|
—
|
|
|
7
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
9
|
|
||||||
Other comprehensive income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
256
|
|
|
—
|
|
|
256
|
|
||||||
Balance at December 31, 2011
|
182,235,798
|
|
|
|
2
|
|
|
2,570
|
|
|
1,708
|
|
|
368
|
|
|
4
|
|
|
4,652
|
|
||||||
Net income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
110
|
|
|
—
|
|
|
—
|
|
|
110
|
|
||||||
Dividends ($0.36 per share)
|
—
|
|
|
|
—
|
|
|
—
|
|
|
(69
|
)
|
|
—
|
|
|
—
|
|
|
(69
|
)
|
||||||
Common stock issuance, net
|
13,428,770
|
|
|
|
—
|
|
|
173
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
173
|
|
||||||
Common stock repurchases
|
(2,066,759
|
)
|
|
|
—
|
|
|
(24
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(24
|
)
|
||||||
Share-based compensation and other
|
405,488
|
|
|
|
—
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5
|
|
||||||
Other comprehensive income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
147
|
|
|
—
|
|
|
147
|
|
||||||
Balance at December 31, 2012
|
194,003,297
|
|
|
|
2
|
|
|
2,724
|
|
|
1,749
|
|
|
515
|
|
|
4
|
|
|
4,994
|
|
||||||
Net income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
808
|
|
|
—
|
|
|
—
|
|
|
808
|
|
||||||
Dividends ($0.40 per share)
|
—
|
|
|
|
—
|
|
|
—
|
|
|
(75
|
)
|
|
—
|
|
|
—
|
|
|
(75
|
)
|
||||||
Common stock repurchases
|
(12,512,759
|
)
|
|
|
—
|
|
|
(264
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(264
|
)
|
||||||
Share-based compensation and other
|
687,328
|
|
|
|
—
|
|
|
6
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
7
|
|
||||||
Other comprehensive loss
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(355
|
)
|
|
—
|
|
|
(355
|
)
|
||||||
Balance at December 31, 2013
|
182,177,866
|
|
|
|
$
|
2
|
|
|
$
|
2,466
|
|
|
$
|
2,482
|
|
|
$
|
160
|
|
|
$
|
5
|
|
|
$
|
5,115
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
Operating Activities:
|
|
|
|
|
|
||||||
Net Income
|
$
|
808
|
|
|
$
|
110
|
|
|
$
|
773
|
|
Adjustments to reconcile net income to net cash flows provided by operating activities:
|
|
|
|
|
|
||||||
Non-cash interest and operating expenses
|
19
|
|
|
18
|
|
|
20
|
|
|||
Net amortization of premium (discount) on investments
|
(8
|
)
|
|
8
|
|
|
23
|
|
|||
Provision (benefit) for deferred income taxes
|
177
|
|
|
(35
|
)
|
|
383
|
|
|||
Net realized investment losses (gains)
|
(52
|
)
|
|
(1
|
)
|
|
18
|
|
|||
Net unrealized losses (gains) on credit derivatives
|
(107
|
)
|
|
477
|
|
|
(554
|
)
|
|||
Fair value loss (gains) on committed capital securities
|
(10
|
)
|
|
18
|
|
|
(35
|
)
|
|||
Change in deferred acquisition costs
|
(8
|
)
|
|
18
|
|
|
18
|
|
|||
Change in premiums receivable, net of commissions payable
|
86
|
|
|
48
|
|
|
138
|
|
|||
Change in ceded unearned premium reserve
|
109
|
|
|
141
|
|
|
102
|
|
|||
Change in unearned premium reserve
|
(612
|
)
|
|
(749
|
)
|
|
(998
|
)
|
|||
Change in loss and loss adjustment expense reserve, net
|
136
|
|
|
(258
|
)
|
|
636
|
|
|||
Change in current income tax
|
30
|
|
|
129
|
|
|
(182
|
)
|
|||
Change in financial guaranty variable interest entities' assets and liabilities, net
|
(295
|
)
|
|
(7
|
)
|
|
352
|
|
|||
(Purchases) sales of trading securities, net
|
(16
|
)
|
|
(59
|
)
|
|
(6
|
)
|
|||
Other
|
(13
|
)
|
|
(23
|
)
|
|
(12
|
)
|
|||
Net cash flows provided by (used in) operating activities
|
244
|
|
|
(165
|
)
|
|
676
|
|
|||
Investing activities
|
|
|
|
|
|
|
|
||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
||||
Purchases
|
(1,886
|
)
|
|
(1,649
|
)
|
|
(2,308
|
)
|
|||
Sales
|
1,029
|
|
|
912
|
|
|
1,107
|
|
|||
Maturities
|
883
|
|
|
1,105
|
|
|
663
|
|
|||
Net sales (purchases) of short-term investments
|
(87
|
)
|
|
29
|
|
|
320
|
|
|||
Net proceeds from paydowns on financial guaranty variable interest entities’ assets
|
663
|
|
|
545
|
|
|
760
|
|
|||
Acquisition of MAC, net of cash acquired
|
—
|
|
|
(91
|
)
|
|
—
|
|
|||
Other
|
79
|
|
|
92
|
|
|
19
|
|
|||
Net cash flows provided by (used in) investing activities
|
681
|
|
|
943
|
|
|
561
|
|
|||
Financing activities
|
|
|
|
|
|
|
|
||||
Proceeds from issuances of common stock
|
—
|
|
|
173
|
|
|
—
|
|
|||
Dividends paid
|
(75
|
)
|
|
(69
|
)
|
|
(33
|
)
|
|||
Repurchases of common stock
|
(264
|
)
|
|
(24
|
)
|
|
(23
|
)
|
|||
Share activity under option and incentive plans
|
(1
|
)
|
|
(3
|
)
|
|
(1
|
)
|
|||
Net paydowns of financial guaranty variable interest entities’ liabilities
|
(511
|
)
|
|
(724
|
)
|
|
(1,053
|
)
|
|||
Repayment of long-term debt
|
(27
|
)
|
|
(209
|
)
|
|
(22
|
)
|
|||
Net cash flows provided by (used in) financing activities
|
(878
|
)
|
|
(856
|
)
|
|
(1,132
|
)
|
|||
Effect of exchange rate changes
|
(1
|
)
|
|
1
|
|
|
2
|
|
|||
Increase (decrease) in cash
|
46
|
|
|
(77
|
)
|
|
107
|
|
|||
Cash at beginning of period
|
138
|
|
|
215
|
|
|
108
|
|
|||
Cash at end of period
|
$
|
184
|
|
|
$
|
138
|
|
|
$
|
215
|
|
Supplemental cash flow information
|
|
|
|
|
|
|
|
||||
Cash paid (received) during the period for:
|
|
|
|
|
|
|
|
||||
Income taxes
|
$
|
110
|
|
|
$
|
(24
|
)
|
|
$
|
34
|
|
Interest
|
$
|
76
|
|
|
$
|
85
|
|
|
$
|
92
|
|
1.
|
Business and Basis of Presentation
|
•
|
Assured Guaranty Municipal Corp. ("AGM"), domiciled in New York;
|
•
|
Municipal Assurance Corp. ("MAC"), domiciled in New York;
|
•
|
Assured Guaranty Corp. ("AGC"), domiciled in Maryland;
|
•
|
Assured Guaranty (Europe) Ltd., organized in the United Kingdom; and
|
•
|
Assured Guaranty Re Ltd. (“AG Re”), domiciled in Bermuda.
|
2.
|
Business Changes and Developments
|
•
|
Historically low interest rates reduced the demand for financial guaranty insurance as well as the average reinvestment rate in the investment portfolio.
|
•
|
Rating agency downgrades of the Company’s insurance company subsidiaries reduced the available market for financial guaranty insurance.
|
•
|
U.S. municipal budget deficits, and in rare cases bankruptcies, resulted in claims on our policies and reduced new market issuance.
|
•
|
The weak European economy resulted in claims and lower new issuance compared to pre-financial crisis levels.
|
•
|
Residential real estate and other structured products resulted in significant losses and the market for new structured products has not returned to pre-financial crisis levels.
|
|
S&P
|
|
Moody’s
|
|
Kroll Bond Agency
|
AGM
|
AA- (stable outlook)
|
|
A2 (stable outlook)
|
|
—
|
AGC
|
AA- (stable outlook)
|
|
A3 (stable outlook)
|
|
—
|
MAC
|
AA- (stable outlook)
|
|
—
|
|
AA+ (stable outlook)
|
Assured Guaranty (Europe) Ltd.
|
AA- (stable outlook)
|
|
A2 (stable outlook)
|
|
—
|
AG Re
|
AA- (stable outlook)
|
|
Baa1 (negative outlook)
|
|
—
|
•
|
Note 6, Expected Loss to be Paid
|
•
|
Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives
|
•
|
Note 14, Reinsurance and Other Monoline Exposures
|
•
|
Note 17, Long-Term Debt and Credit Facilities (regarding the impact on the Company's insured leveraged lease transactions)
|
•
|
Representation and Warranty Settlements:
There have been several settlements of representation and warranty claims over the past three years. See Note 6, Expected Loss to be Paid.
|
•
|
Repurchase of Common Shares:
The Company has repurchased
12,512,759
common shares in 2013,
2,066,759
in 2012, and
2,000,000
in 2011. See Note 19, Shareholders' Equity.
|
•
|
Issuance of Common Shares:
On June 1, 2012, AGL issued common shares to holders of each Equity Unit, for an aggregate of
13,428,770
common shares. See Note 17, Long-Term Debt and Credit Facilities.
|
•
|
Reinsurance:
The Company has entered into several agreements with reinsurers, including assumption and re-assumption agreements and an excess of loss reinsurance facility. See Note 14, Reinsurance and Other Monoline Exposures.
|
3.
|
Outstanding Exposure
|
•
|
BIG Category 1: Below-investment-grade transactions showing sufficient deterioration to make future losses possible, but for which none are currently expected.
|
•
|
BIG Category 2: Below-investment-grade transactions for which future losses are expected but for which no claims (other than liquidity claims which is a claim that the Company expects to be reimbursed within
one
year) have yet been paid.
|
•
|
BIG Category 3: Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid.
|
|
Previous Approach
|
|
New Approach
|
|
Difference
|
||||||
|
(in millions)
|
||||||||||
BIG 1
|
$
|
9,254
|
|
|
$
|
10,820
|
|
|
$
|
1,566
|
|
BIG 2
|
4,617
|
|
|
4,617
|
|
|
—
|
|
|||
BIG 3
|
8,451
|
|
|
6,860
|
|
|
(1,591
|
)
|
|||
Total
|
$
|
22,322
|
|
|
$
|
22,297
|
|
|
$
|
(25
|
)
|
|
Gross Debt Service
Outstanding
|
|
Net Debt Service
Outstanding
|
||||||||||||
|
December 31,
2013 |
|
December 31,
2012 |
|
December 31,
2013 |
|
December 31,
2012 |
||||||||
|
(in millions)
|
||||||||||||||
Public finance
|
$
|
650,924
|
|
|
$
|
722,478
|
|
|
$
|
610,011
|
|
|
$
|
677,285
|
|
Structured finance
|
86,456
|
|
|
110,620
|
|
|
80,524
|
|
|
103,071
|
|
||||
Total financial guaranty
|
$
|
737,380
|
|
|
$
|
833,098
|
|
|
$
|
690,535
|
|
|
$
|
780,356
|
|
|
|
Public Finance
U.S. |
|
Public Finance
Non-U.S.
|
|
Structured Finance
U.S
|
|
Structured Finance
Non-U.S
|
|
Total
|
|||||||||||||||||||||||||
Rating
Category (1) |
|
Net Par
Outstanding |
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|||||||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
AAA
|
|
$
|
4,998
|
|
|
1.4
|
%
|
|
$
|
1,016
|
|
|
3.0
|
%
|
|
$
|
32,317
|
|
|
54.9
|
%
|
|
$
|
9,684
|
|
|
69.1
|
%
|
|
$
|
48,015
|
|
|
10.5
|
%
|
AA
|
|
107,503
|
|
|
30.5
|
|
|
422
|
|
|
1.2
|
|
|
9,431
|
|
|
16.0
|
|
|
577
|
|
|
4.1
|
|
|
117,933
|
|
|
25.7
|
|
|||||
A
|
|
192,841
|
|
|
54.8
|
|
|
9,453
|
|
|
27.9
|
|
|
2,580
|
|
|
4.4
|
|
|
742
|
|
|
5.3
|
|
|
205,616
|
|
|
44.8
|
|
|||||
BBB
|
|
37,745
|
|
|
10.7
|
|
|
21,499
|
|
|
63.2
|
|
|
3,815
|
|
|
6.4
|
|
|
1,946
|
|
|
13.9
|
|
|
65,005
|
|
|
14.1
|
|
|||||
BIG
|
|
9,094
|
|
|
2.6
|
|
|
1,608
|
|
|
4.7
|
|
|
10,764
|
|
|
18.3
|
|
|
1,072
|
|
|
7.6
|
|
|
22,538
|
|
|
4.9
|
|
|||||
Total net par outstanding (excluding loss mitigation bonds)
|
|
$
|
352,181
|
|
|
100.0
|
%
|
|
$
|
33,998
|
|
|
100.0
|
%
|
|
$
|
58,907
|
|
|
100.0
|
%
|
|
$
|
14,021
|
|
|
100.0
|
%
|
|
$
|
459,107
|
|
|
100.0
|
%
|
Loss Mitigation Bonds
|
|
32
|
|
|
|
|
—
|
|
|
|
|
1,163
|
|
|
|
|
—
|
|
|
|
|
1,195
|
|
|
|
||||||||||
Total net par outstanding (including loss mitigation bonds)
|
|
$
|
352,213
|
|
|
|
|
$
|
33,998
|
|
|
|
|
$
|
60,070
|
|
|
|
|
$
|
14,021
|
|
|
|
|
$
|
460,302
|
|
|
|
|
|
Public Finance
U.S.
|
|
Public Finance
Non-U.S.
|
|
Structured Finance
U.S
|
|
Structured Finance
Non-U.S
|
|
Total
|
|||||||||||||||||||||||||
Rating
Category (1)
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|||||||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
AAA
|
|
$
|
4,502
|
|
|
1.2
|
%
|
|
$
|
1,706
|
|
|
4.5
|
%
|
|
$
|
42,187
|
|
|
56.6
|
%
|
|
$
|
13,169
|
|
|
70.2
|
%
|
|
$
|
61,564
|
|
|
11.9
|
%
|
AA
|
|
124,525
|
|
|
32.1
|
|
|
875
|
|
|
2.3
|
|
|
9,543
|
|
|
12.8
|
|
|
722
|
|
|
3.9
|
|
|
135,665
|
|
|
26.1
|
|
|||||
A
|
|
210,124
|
|
|
54.1
|
|
|
9,781
|
|
|
26.1
|
|
|
4,670
|
|
|
6.3
|
|
|
1,409
|
|
|
7.5
|
|
|
225,984
|
|
|
43.6
|
|
|||||
BBB
|
|
44,213
|
|
|
11.4
|
|
|
22,885
|
|
|
61.0
|
|
|
3,737
|
|
|
5.0
|
|
|
2,427
|
|
|
12.9
|
|
|
73,262
|
|
|
14.1
|
|
|||||
BIG
|
|
4,565
|
|
|
1.2
|
|
|
2,293
|
|
|
6.1
|
|
|
14,398
|
|
|
19.3
|
|
|
1,041
|
|
|
5.5
|
|
|
22,297
|
|
|
4.3
|
|
|||||
Total net par outstanding (excluding loss mitigation bonds)
|
|
$
|
387,929
|
|
|
100.0
|
%
|
|
$
|
37,540
|
|
|
100.0
|
%
|
|
$
|
74,535
|
|
|
100.0
|
%
|
|
$
|
18,768
|
|
|
100.0
|
%
|
|
$
|
518,772
|
|
|
100.0
|
%
|
Loss Mitigation Bonds
|
|
38
|
|
|
|
|
—
|
|
|
|
|
1,083
|
|
|
|
|
—
|
|
|
|
|
1,121
|
|
|
|
||||||||||
Total net par outstanding (including loss mitigation bonds)
|
|
$
|
387,967
|
|
|
|
|
$
|
37,540
|
|
|
|
|
$
|
75,618
|
|
|
|
|
$
|
18,768
|
|
|
|
|
$
|
519,893
|
|
|
|
(1)
|
In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012.
|
|
Gross Par Outstanding
|
|
Ceded Par Outstanding
|
|
Net Par Outstanding
|
||||||||||||||||||
Sector
|
As of December 31, 2013
|
|
As of December 31, 2012
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Public finance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
General obligation
|
$
|
160,751
|
|
|
$
|
175,932
|
|
|
$
|
5,474
|
|
|
$
|
5,947
|
|
|
$
|
155,277
|
|
|
$
|
169,985
|
|
Tax backed
|
70,552
|
|
|
77,894
|
|
|
3,728
|
|
|
4,145
|
|
|
66,824
|
|
|
73,749
|
|
||||||
Municipal utilities
|
57,893
|
|
|
63,933
|
|
|
1,569
|
|
|
1,817
|
|
|
56,324
|
|
|
62,116
|
|
||||||
Transportation
|
32,514
|
|
|
35,624
|
|
|
1,684
|
|
|
1,825
|
|
|
30,830
|
|
|
33,799
|
|
||||||
Healthcare
|
17,663
|
|
|
19,507
|
|
|
1,531
|
|
|
1,669
|
|
|
16,132
|
|
|
17,838
|
|
||||||
Higher education
|
14,470
|
|
|
16,244
|
|
|
399
|
|
|
474
|
|
|
14,071
|
|
|
15,770
|
|
||||||
Infrastructure finance
|
5,014
|
|
|
5,100
|
|
|
900
|
|
|
890
|
|
|
4,114
|
|
|
4,210
|
|
||||||
Housing
|
3,518
|
|
|
4,792
|
|
|
132
|
|
|
159
|
|
|
3,386
|
|
|
4,633
|
|
||||||
Investor-owned utilities
|
992
|
|
|
1,070
|
|
|
1
|
|
|
1
|
|
|
991
|
|
|
1,069
|
|
||||||
Other public finance—U.S.
|
4,249
|
|
|
4,784
|
|
|
17
|
|
|
24
|
|
|
4,232
|
|
|
4,760
|
|
||||||
Total public finance—U.S.
|
367,616
|
|
|
404,880
|
|
|
15,435
|
|
|
16,951
|
|
|
352,181
|
|
|
387,929
|
|
||||||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Infrastructure finance
|
17,373
|
|
|
18,716
|
|
|
2,670
|
|
|
2,904
|
|
|
14,703
|
|
|
15,812
|
|
||||||
Regulated utilities
|
15,502
|
|
|
16,861
|
|
|
4,297
|
|
|
4,367
|
|
|
11,205
|
|
|
12,494
|
|
||||||
Pooled infrastructure
|
2,754
|
|
|
3,430
|
|
|
234
|
|
|
230
|
|
|
2,520
|
|
|
3,200
|
|
||||||
Other public finance—non-U.S.
|
6,645
|
|
|
7,297
|
|
|
1,075
|
|
|
1,263
|
|
|
5,570
|
|
|
6,034
|
|
||||||
Total public finance—non-U.S.
|
42,274
|
|
|
46,304
|
|
|
8,276
|
|
|
8,764
|
|
|
33,998
|
|
|
37,540
|
|
||||||
Total public finance
|
409,890
|
|
|
451,184
|
|
|
23,711
|
|
|
25,715
|
|
|
386,179
|
|
|
425,469
|
|
||||||
Structured finance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pooled corporate obligations
|
32,955
|
|
|
44,120
|
|
|
1,630
|
|
|
2,234
|
|
|
31,325
|
|
|
41,886
|
|
||||||
RMBS
|
14,542
|
|
|
18,114
|
|
|
821
|
|
|
1,079
|
|
|
13,721
|
|
|
17,035
|
|
||||||
Commercial mortgage-backed securities ("CMBS")
and other commercial real estate related exposures
|
3,990
|
|
|
4,293
|
|
|
38
|
|
|
46
|
|
|
3,952
|
|
|
4,247
|
|
||||||
Insurance securitizations
|
3,082
|
|
|
2,991
|
|
|
47
|
|
|
48
|
|
|
3,035
|
|
|
2,943
|
|
||||||
Financial product
|
2,709
|
|
|
3,653
|
|
|
—
|
|
|
—
|
|
|
2,709
|
|
|
3,653
|
|
||||||
Consumer receivables
|
2,257
|
|
|
2,429
|
|
|
59
|
|
|
60
|
|
|
2,198
|
|
|
2,369
|
|
||||||
Commercial receivables
|
918
|
|
|
1,033
|
|
|
7
|
|
|
8
|
|
|
911
|
|
|
1,025
|
|
||||||
Structured credit
|
71
|
|
|
249
|
|
|
2
|
|
|
51
|
|
|
69
|
|
|
198
|
|
||||||
Other structured finance—U.S.
|
2,067
|
|
|
2,307
|
|
|
1,080
|
|
|
1,128
|
|
|
987
|
|
|
1,179
|
|
||||||
Total structured finance—U.S.
|
62,591
|
|
|
79,189
|
|
|
3,684
|
|
|
4,654
|
|
|
58,907
|
|
|
74,535
|
|
||||||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pooled corporate obligations
|
12,232
|
|
|
16,288
|
|
|
1,174
|
|
|
1,475
|
|
|
11,058
|
|
|
14,813
|
|
||||||
Commercial receivables
|
1,286
|
|
|
1,489
|
|
|
23
|
|
|
26
|
|
|
1,263
|
|
|
1,463
|
|
||||||
RMBS
|
1,296
|
|
|
1,586
|
|
|
150
|
|
|
162
|
|
|
1,146
|
|
|
1,424
|
|
||||||
Structured credit
|
197
|
|
|
669
|
|
|
21
|
|
|
78
|
|
|
176
|
|
|
591
|
|
||||||
CMBS and other commercial real estate related exposures
|
—
|
|
|
100
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
100
|
|
||||||
Other structured finance—non-U.S.
|
403
|
|
|
402
|
|
|
25
|
|
|
25
|
|
|
378
|
|
|
377
|
|
||||||
Total structured finance—non-U.S.
|
15,414
|
|
|
20,534
|
|
|
1,393
|
|
|
1,766
|
|
|
14,021
|
|
|
18,768
|
|
||||||
Total structured finance
|
78,005
|
|
|
99,723
|
|
|
5,077
|
|
|
6,420
|
|
|
72,928
|
|
|
93,303
|
|
||||||
Total net par outstanding
|
$
|
487,895
|
|
|
$
|
550,907
|
|
|
$
|
28,788
|
|
|
$
|
32,135
|
|
|
$
|
459,107
|
|
|
$
|
518,772
|
|
|
Public Finance
|
|
Structured Finance
|
|
Total
|
||||||
|
(in millions)
|
||||||||||
0 to 5 years
|
$
|
104,223
|
|
|
$
|
56,783
|
|
|
$
|
161,006
|
|
5 to 10 years
|
81,176
|
|
|
7,261
|
|
|
88,437
|
|
|||
10 to 15 years
|
74,775
|
|
|
2,965
|
|
|
77,740
|
|
|||
15 to 20 years
|
56,734
|
|
|
2,017
|
|
|
58,751
|
|
|||
20 years and above
|
69,271
|
|
|
3,902
|
|
|
73,173
|
|
|||
Total net par outstanding
|
$
|
386,179
|
|
|
$
|
72,928
|
|
|
$
|
459,107
|
|
|
BIG Net Par Outstanding
|
|
Net Par
|
|
BIG Net Par as
a % of Total Net Par |
|||||||||||||||||
|
BIG 1
|
|
BIG 2
|
|
BIG 3
|
|
Total BIG
|
|
Outstanding
|
|
Outstanding
|
|||||||||||
|
|
|
|
|
(in millions)
|
|
|
|
|
|
|
|||||||||||
First lien U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Prime first lien
|
$
|
52
|
|
|
$
|
321
|
|
|
$
|
30
|
|
|
$
|
403
|
|
|
$
|
541
|
|
|
0.1
|
%
|
Alt-A first lien
|
656
|
|
|
1,137
|
|
|
935
|
|
|
2,728
|
|
|
3,590
|
|
|
0.6
|
|
|||||
Option ARM
|
71
|
|
|
60
|
|
|
467
|
|
|
598
|
|
|
937
|
|
|
0.1
|
|
|||||
Subprime
|
297
|
|
|
908
|
|
|
740
|
|
|
1,945
|
|
|
6,130
|
|
|
0.4
|
|
|||||
Second lien U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Closed end second lien
|
8
|
|
|
20
|
|
|
118
|
|
|
146
|
|
|
244
|
|
|
0.0
|
|
|||||
Home equity lines of credit (“HELOCs”)
|
1,499
|
|
|
20
|
|
|
378
|
|
|
1,897
|
|
|
2,279
|
|
|
0.4
|
|
|||||
Total U.S. RMBS
|
2,583
|
|
|
2,466
|
|
|
2,668
|
|
|
7,717
|
|
|
13,721
|
|
|
1.6
|
|
|||||
Trust preferred securities (“TruPS”)
|
1,587
|
|
|
135
|
|
|
—
|
|
|
1,722
|
|
|
4,970
|
|
|
0.4
|
|
|||||
Other structured finance
|
1,367
|
|
|
309
|
|
|
721
|
|
|
2,397
|
|
|
54,237
|
|
|
0.5
|
|
|||||
U.S. public finance
|
8,205
|
|
|
440
|
|
|
449
|
|
|
9,094
|
|
|
352,181
|
|
|
2.0
|
|
|||||
Non-U.S. public finance
|
1,009
|
|
|
599
|
|
|
—
|
|
|
1,608
|
|
|
33,998
|
|
|
0.4
|
|
|||||
Total
|
$
|
14,751
|
|
|
$
|
3,949
|
|
|
$
|
3,838
|
|
|
$
|
22,538
|
|
|
$
|
459,107
|
|
|
4.9
|
%
|
|
BIG Net Par Outstanding
|
|
Net Par
|
|
BIG Net Par as
a % of Total Net Par
|
|||||||||||||||||
|
BIG 1
|
|
BIG 2
|
|
BIG 3
|
|
Total BIG
|
|
Outstanding
|
|
Outstanding
|
|||||||||||
|
|
|
|
|
(in millions)
|
|
|
|
|
|
|
|||||||||||
First lien U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Prime first lien
|
$
|
28
|
|
|
$
|
436
|
|
|
$
|
11
|
|
|
$
|
475
|
|
|
$
|
641
|
|
|
0.1
|
%
|
Alt-A first lien
|
753
|
|
|
1,962
|
|
|
739
|
|
|
3,454
|
|
|
4,469
|
|
|
0.7
|
|
|||||
Option ARM
|
333
|
|
|
392
|
|
|
317
|
|
|
1,042
|
|
|
1,450
|
|
|
0.2
|
|
|||||
Subprime (including net interest margin securities)
|
152
|
|
|
988
|
|
|
921
|
|
|
2,061
|
|
|
7,048
|
|
|
0.4
|
|
|||||
Second lien U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Closed end second lien
|
97
|
|
|
76
|
|
|
58
|
|
|
231
|
|
|
348
|
|
|
0.0
|
|
|||||
HELOCs
|
644
|
|
|
—
|
|
|
1,932
|
|
|
2,576
|
|
|
3,079
|
|
|
0.5
|
|
|||||
Total U.S. RMBS
|
2,007
|
|
|
3,854
|
|
|
3,978
|
|
|
9,839
|
|
|
17,035
|
|
|
1.9
|
|
|||||
TruPS
|
1,920
|
|
|
—
|
|
|
953
|
|
|
2,873
|
|
|
5,694
|
|
|
0.6
|
|
|||||
Other structured finance
|
1,310
|
|
|
263
|
|
|
1,154
|
|
|
2,727
|
|
|
70,574
|
|
|
0.5
|
|
|||||
U.S. public finance
|
3,290
|
|
|
500
|
|
|
775
|
|
|
4,565
|
|
|
387,929
|
|
|
0.9
|
|
|||||
Non-U.S. public finance
|
2,293
|
|
|
—
|
|
|
—
|
|
|
2,293
|
|
|
37,540
|
|
|
0.4
|
|
|||||
Total
|
$
|
10,820
|
|
|
$
|
4,617
|
|
|
$
|
6,860
|
|
|
$
|
22,297
|
|
|
$
|
518,772
|
|
|
4.3
|
%
|
|
|
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
|
|
$
|
12,391
|
|
|
$
|
2,360
|
|
|
$
|
14,751
|
|
|
185
|
|
|
25
|
|
|
210
|
|
Category 2
|
|
2,323
|
|
|
1,626
|
|
|
3,949
|
|
|
80
|
|
|
21
|
|
|
101
|
|
|||
Category 3
|
|
3,031
|
|
|
807
|
|
|
3,838
|
|
|
119
|
|
|
27
|
|
|
146
|
|
|||
Total BIG
|
|
$
|
17,745
|
|
|
$
|
4,793
|
|
|
$
|
22,538
|
|
|
384
|
|
|
73
|
|
|
457
|
|
|
|
Net Par Outstanding
|
|
Number of Risks(2)
|
|||||||||||||||||
Description
|
|
Financial
Guaranty
Insurance(1)
|
|
Credit
Derivative
|
|
Total
|
|
Financial
Guaranty
Insurance(1)
|
|
Credit
Derivative
|
|
Total
|
|||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||
BIG:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Category 1
|
|
$
|
7,929
|
|
|
$
|
2,891
|
|
|
$
|
10,820
|
|
|
163
|
|
|
33
|
|
|
196
|
|
Category 2
|
|
2,116
|
|
|
2,501
|
|
|
4,617
|
|
|
76
|
|
|
27
|
|
|
103
|
|
|||
Category 3
|
|
5,543
|
|
|
1,317
|
|
|
6,860
|
|
|
131
|
|
|
29
|
|
|
160
|
|
|||
Total BIG
|
|
$
|
15,588
|
|
|
$
|
6,709
|
|
|
$
|
22,297
|
|
|
370
|
|
|
89
|
|
|
459
|
|
(2)
|
A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments.
|
|
Number of Risks
|
|
Net Par Outstanding
|
|
Percent of Total Net Par Outstanding
|
||||
|
(dollars in millions)
|
||||||||
U.S.:
|
|
|
|
|
|
||||
U.S. Public Finance:
|
|
|
|
|
|
||||
California
|
1,492
|
|
|
$
|
52,704
|
|
|
11.5
|
%
|
New York
|
1,035
|
|
|
28,582
|
|
|
6.2
|
|
|
Pennsylvania
|
1,059
|
|
|
28,475
|
|
|
6.2
|
|
|
Texas
|
1,269
|
|
|
27,249
|
|
|
5.9
|
|
|
Illinois
|
881
|
|
|
24,138
|
|
|
5.3
|
|
|
Florida
|
422
|
|
|
21,773
|
|
|
4.7
|
|
|
New Jersey
|
656
|
|
|
14,462
|
|
|
3.2
|
|
|
Michigan
|
713
|
|
|
14,250
|
|
|
3.1
|
|
|
Georgia
|
204
|
|
|
9,364
|
|
|
2.0
|
|
|
Ohio
|
554
|
|
|
8,763
|
|
|
1.9
|
|
|
Other states and U.S. territories
|
4,517
|
|
|
122,421
|
|
|
26.7
|
|
|
Total U.S. public finance
|
12,802
|
|
|
352,181
|
|
|
76.7
|
|
|
U.S. Structured finance (multiple states)
|
963
|
|
|
58,907
|
|
|
12.8
|
|
|
Total U.S.
|
13,765
|
|
|
411,088
|
|
|
89.5
|
|
|
Non-U.S.:
|
|
|
|
|
|
||||
United Kingdom
|
115
|
|
|
21,405
|
|
|
4.7
|
|
|
Australia
|
29
|
|
|
5,598
|
|
|
1.2
|
|
|
Canada
|
10
|
|
|
3,851
|
|
|
0.8
|
|
|
France
|
21
|
|
|
3,614
|
|
|
0.8
|
|
|
Italy
|
10
|
|
|
1,808
|
|
|
0.4
|
|
|
Other
|
100
|
|
|
11,743
|
|
|
2.6
|
|
|
Total non-U.S.
|
285
|
|
|
48,019
|
|
|
10.5
|
|
|
Total
|
14,050
|
|
|
$
|
459,107
|
|
|
100.0
|
%
|
|
Hungary (2)
|
|
Ireland
|
|
Italy
|
|
Portugal (2)
|
|
Spain (2)
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Non-infrastructure public finance
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,024
|
|
|
$
|
98
|
|
|
$
|
275
|
|
|
$
|
1,397
|
|
Infrastructure finance
|
384
|
|
|
—
|
|
|
18
|
|
|
12
|
|
|
155
|
|
|
569
|
|
||||||
Sub-total
|
384
|
|
|
—
|
|
|
1,042
|
|
|
110
|
|
|
430
|
|
|
1,966
|
|
||||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Regulated utilities
|
—
|
|
|
—
|
|
|
234
|
|
|
—
|
|
|
—
|
|
|
234
|
|
||||||
RMBS
|
224
|
|
|
144
|
|
|
315
|
|
|
—
|
|
|
—
|
|
|
683
|
|
||||||
Sub-total
|
224
|
|
|
144
|
|
|
549
|
|
|
—
|
|
|
—
|
|
|
917
|
|
||||||
Total
|
$
|
608
|
|
|
$
|
144
|
|
|
$
|
1,591
|
|
|
$
|
110
|
|
|
$
|
430
|
|
|
$
|
2,883
|
|
Total BIG
|
$
|
608
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
110
|
|
|
$
|
430
|
|
|
$
|
1,148
|
|
(1)
|
While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, including U.S. dollars, Euros and British pounds sterling. Included in the table above is $
144 million
of reinsurance assumed on a 2004 - 2006 pool of Irish residential mortgages that is part of the Company’s remaining legacy mortgage reinsurance business. One of the residential mortgage-backed securities included in the table above includes residential mortgages in both Italy and Germany, and only the portion of the transaction equal to the portion of the original mortgage pool in Italian mortgages is shown in the table.
|
(2)
|
See Note 6, Expected Loss to be Paid.
|
|
|
Estimated BIG Net Par Amortization
|
|
Estimated BIG Net Debt Service Amortization
|
||||
|
|
(in millions)
|
||||||
2014
|
|
$
|
242
|
|
|
$
|
501
|
|
2015
|
|
364
|
|
|
608
|
|
||
2016
|
|
289
|
|
|
515
|
|
||
2017
|
|
208
|
|
|
421
|
|
||
2018
|
|
160
|
|
|
363
|
|
||
2019-2023
|
|
921
|
|
|
1,780
|
|
||
2024-2028
|
|
979
|
|
|
1,622
|
|
||
2029-2033
|
|
706
|
|
|
1,141
|
|
||
After 2033
|
|
1,302
|
|
|
1,596
|
|
||
Total
|
|
$
|
5,171
|
|
|
$
|
8,547
|
|
4.
|
Financial Guaranty Insurance Premiums
|
•
|
For premiums received upfront on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is equal to the amount of cash received. Upfront premiums typically relate to public finance transactions.
|
•
|
For premiums received in installments on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is the present value of either (1) contractual premiums due or (2) in cases where the underlying collateral is comprised of homogeneous pools of assets, the expected premiums to be collected over the life of the contract. To be considered a homogeneous pool of assets, prepayments must be contractually prepayable, the amount of prepayments must be probable, and the timing and amount of prepayments must be reasonably estimable. When the Company adjusts prepayment assumptions or expected premium collections, an adjustment is recorded to the deferred premium revenue, with a corresponding adjustment to the premium receivable, and prospective changes are recognized in premium revenues. Premiums receivable are discounted at the risk-free rate at inception and such discount rate is updated only when changes to prepayment assumptions are made that change the expected date of final maturity. Installment premiums typically relate to structured finance transactions, where the insurance premium rate is determined at the inception of the contract but the insured par is subject to prepayment throughout the life of the transaction.
|
•
|
For financial guaranty insurance contracts acquired in a business combination, deferred premium revenue is equal to the fair value of the insurance contract at the date of acquisition based on what a hypothetical similarly rated financial guaranty insurer would have charged for the contract at that date and not the actual cash flows under the insurance contract. The amount of deferred premium revenue may differ significantly from cash collections due primarily to fair value adjustments recorded in connection with a business combination.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Scheduled net earned premiums
|
$
|
470
|
|
|
$
|
581
|
|
|
$
|
765
|
|
Acceleration of net earned premiums
|
263
|
|
|
249
|
|
|
125
|
|
|||
Accretion of discount on net premiums receivable
|
17
|
|
|
22
|
|
|
28
|
|
|||
Financial guaranty insurance net earned premiums
|
750
|
|
|
852
|
|
|
918
|
|
|||
Other
|
2
|
|
|
1
|
|
|
2
|
|
|||
Net earned premiums(1)
|
$
|
752
|
|
|
$
|
853
|
|
|
$
|
920
|
|
(1)
|
Excludes $
60 million
, $
153 million
and
$75 million
for the year ended December 31, 2013, 2012 and 2011, respectively, related to consolidated FG VIEs.
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||||||||||
|
Gross
|
|
Ceded
|
|
Net(1)
|
|
Gross
|
|
Ceded
|
|
Net(1)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Deferred premium revenue:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Financial guaranty insurance
|
$
|
4,647
|
|
|
$
|
470
|
|
|
$
|
4,177
|
|
|
$
|
5,349
|
|
|
$
|
586
|
|
|
$
|
4,763
|
|
Other
|
5
|
|
|
—
|
|
|
5
|
|
|
7
|
|
|
—
|
|
|
7
|
|
||||||
Deferred premium revenue
|
$
|
4,652
|
|
|
$
|
470
|
|
|
$
|
4,182
|
|
|
$
|
5,356
|
|
|
$
|
586
|
|
|
$
|
4,770
|
|
Contra-paid
|
(57
|
)
|
|
(18
|
)
|
|
(39
|
)
|
|
(149
|
)
|
|
(25
|
)
|
|
(124
|
)
|
||||||
Unearned premium reserve
|
$
|
4,595
|
|
|
$
|
452
|
|
|
$
|
4,143
|
|
|
$
|
5,207
|
|
|
$
|
561
|
|
|
$
|
4,646
|
|
(1)
|
Excludes $
187 million
and $
262 million
deferred premium revenue and
$55 million
and
$98 million
contra-paid related to FG VIEs as of
December 31, 2013
and
December 31, 2012
, respectively.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Beginning of period, December 31
|
$
|
1,005
|
|
|
$
|
1,003
|
|
|
$
|
1,168
|
|
Gross premium written, net of commissions on assumed business
|
145
|
|
|
211
|
|
|
245
|
|
|||
Gross premiums received, net of commissions on assumed business
|
(259
|
)
|
|
(294
|
)
|
|
(318
|
)
|
|||
Adjustments:
|
|
|
|
|
|
||||||
Changes in the expected term
|
(28
|
)
|
|
44
|
|
|
(104
|
)
|
|||
Accretion of discount, net of commissions on assumed business
|
20
|
|
|
36
|
|
|
32
|
|
|||
Foreign exchange translation
|
(1
|
)
|
|
13
|
|
|
(5
|
)
|
|||
Consolidation of FG VIEs
|
—
|
|
|
(5
|
)
|
|
(10
|
)
|
|||
Other adjustments
|
(6
|
)
|
|
(3
|
)
|
|
(5
|
)
|
|||
End of period, December 31 (1)
|
$
|
876
|
|
|
$
|
1,005
|
|
|
$
|
1,003
|
|
(1)
|
Excludes $
21 million
, $
29 million
and
$28 million
as of
December 31, 2013
, 2012 and 2011, respectively, related to consolidated FG VIEs.
|
|
As of December 31, 2013
|
||
|
(in millions)
|
||
2014 (January 1 – March 31)
|
$
|
47
|
|
2014 (April 1 – June 30)
|
33
|
|
|
2014 (July 1 – September 30)
|
23
|
|
|
2014 (October 1 – December 31)
|
25
|
|
|
2015
|
91
|
|
|
2016
|
85
|
|
|
2017
|
78
|
|
|
2018
|
70
|
|
|
2019-2023
|
279
|
|
|
2024-2028
|
173
|
|
|
2029-2033
|
121
|
|
|
After 2033
|
129
|
|
|
Total(1)
|
$
|
1,154
|
|
(1)
|
Excludes expected cash collections on FG VIEs of $
27 million
.
|
|
As of December 31, 2013
|
||
|
(in millions)
|
||
2014 (January 1 – March 31)
|
$
|
108
|
|
2014 (April 1 – June 30)
|
107
|
|
|
2014 (July 1 – September 30)
|
105
|
|
|
2014 (October 1 – December 31)
|
102
|
|
|
Subtotal 2014
|
422
|
|
|
2015
|
372
|
|
|
2016
|
328
|
|
|
2017
|
294
|
|
|
2018
|
269
|
|
|
2019-2023
|
1,049
|
|
|
2024-2028
|
668
|
|
|
2029-2033
|
405
|
|
|
After 2033
|
370
|
|
|
Total present value basis(1)
|
4,177
|
|
|
Discount
|
240
|
|
|
Total future value
|
$
|
4,417
|
|
(1)
|
Excludes scheduled net earned premiums on consolidated FG VIEs of $
187 million
.
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
||||
|
(dollars in millions)
|
||||||
Premiums receivable, net of ceding commission payable
|
$
|
876
|
|
|
$
|
1,005
|
|
Gross deferred premium revenue
|
1,576
|
|
|
1,908
|
|
||
Weighted-average risk-free rate used to discount premiums
|
3.4
|
%
|
|
3.5
|
%
|
||
Weighted-average period of premiums receivable (in years)
|
9.4
|
|
|
9.6
|
|
5.
|
Financial Guaranty Insurance Acquisition Costs
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Beginning of period
|
$
|
116
|
|
|
$
|
132
|
|
|
$
|
146
|
|
Costs deferred during the period:
|
|
|
|
|
|
||||||
Commissions on assumed and ceded business
|
9
|
|
|
(13
|
)
|
|
(13
|
)
|
|||
Premium taxes
|
4
|
|
|
4
|
|
|
7
|
|
|||
Compensation and other acquisition costs
|
8
|
|
|
10
|
|
|
9
|
|
|||
Total
|
21
|
|
|
1
|
|
|
3
|
|
|||
Costs amortized during the period
|
(13
|
)
|
|
(17
|
)
|
|
(17
|
)
|
|||
Foreign exchange translation
|
0
|
|
|
0
|
|
|
0
|
|
|||
End of period
|
$
|
124
|
|
|
$
|
116
|
|
|
$
|
132
|
|
6.
|
Expected Loss to be Paid
|
|
Net Expected
Loss to be
Paid as of
December 31, 2012(2)
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Net Expected
Loss to be Paid as of December 31, 2013(2) |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
10
|
|
|
$
|
16
|
|
|
$
|
(1
|
)
|
|
$
|
25
|
|
Alt-A first lien
|
693
|
|
|
(40
|
)
|
|
(75
|
)
|
|
578
|
|
||||
Option ARM
|
460
|
|
|
63
|
|
|
(359
|
)
|
|
164
|
|
||||
Subprime
|
351
|
|
|
101
|
|
|
(30
|
)
|
|
422
|
|
||||
Total first lien
|
1,514
|
|
|
140
|
|
|
(465
|
)
|
|
1,189
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
99
|
|
|
(3
|
)
|
|
(9
|
)
|
|
87
|
|
||||
HELOCs
|
39
|
|
|
3
|
|
|
(113
|
)
|
|
(71
|
)
|
||||
Total second lien
|
138
|
|
|
0
|
|
|
(122
|
)
|
|
16
|
|
||||
Total U.S. RMBS
|
1,652
|
|
|
140
|
|
|
(587
|
)
|
|
1,205
|
|
||||
TruPS
|
27
|
|
|
7
|
|
|
17
|
|
|
51
|
|
||||
Other structured finance
|
312
|
|
|
(41
|
)
|
|
(151
|
)
|
|
120
|
|
||||
U.S. public finance
|
7
|
|
|
239
|
|
|
18
|
|
|
264
|
|
||||
Non-U.S public finance
|
52
|
|
|
17
|
|
|
(12
|
)
|
|
57
|
|
||||
Other insurance
|
(3
|
)
|
|
(10
|
)
|
|
10
|
|
|
(3
|
)
|
||||
Total
|
$
|
2,047
|
|
|
$
|
352
|
|
|
$
|
(705
|
)
|
|
$
|
1,694
|
|
|
Net Expected
Loss to be
Paid as of
December 31, 2011
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Expected
Loss to be Paid as of December 31, 2012 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
5
|
|
|
$
|
5
|
|
|
$
|
—
|
|
|
$
|
10
|
|
Alt-A first lien
|
702
|
|
|
102
|
|
|
(111
|
)
|
|
693
|
|
||||
Option ARM
|
935
|
|
|
128
|
|
|
(603
|
)
|
|
460
|
|
||||
Subprime
|
342
|
|
|
57
|
|
|
(48
|
)
|
|
351
|
|
||||
Total first lien
|
1,984
|
|
|
292
|
|
|
(762
|
)
|
|
1,514
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
138
|
|
|
(5
|
)
|
|
(34
|
)
|
|
99
|
|
||||
HELOCs
|
159
|
|
|
80
|
|
|
(200
|
)
|
|
39
|
|
||||
Total second lien
|
297
|
|
|
75
|
|
|
(234
|
)
|
|
138
|
|
||||
Total U.S. RMBS
|
2,281
|
|
|
367
|
|
|
(996
|
)
|
|
1,652
|
|
||||
TruPS
|
64
|
|
|
(30
|
)
|
|
(7
|
)
|
|
27
|
|
||||
Other structured finance
|
342
|
|
|
2
|
|
|
(32
|
)
|
|
312
|
|
||||
U.S. public finance
|
16
|
|
|
74
|
|
|
(83
|
)
|
|
7
|
|
||||
Non-U.S public finance
|
51
|
|
|
221
|
|
|
(220
|
)
|
|
52
|
|
||||
Other insurance
|
2
|
|
|
(17
|
)
|
|
12
|
|
|
(3
|
)
|
||||
Total
|
$
|
2,756
|
|
|
$
|
617
|
|
|
$
|
(1,326
|
)
|
|
$
|
2,047
|
|
(1)
|
Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled
45 days
after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets.
|
(2)
|
Includes expected LAE to be paid for mitigating claim liabilities of $
34 million
as of
December 31, 2013
and $
39 million
as of
December 31, 2012
. The Company paid
$54 million
and
$47 million
in LAE for the years ended
December 31, 2013
and
2012
, respectively.
|
|
Future Net
R&W Benefit as of
December 31, 2012
|
|
R&W Development
and Accretion of Discount During 2013 |
|
R&W Recovered
During 2013(1) |
|
Future Net
R&W Benefit as of December 31, 2013(2) |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
4
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4
|
|
Alt-A first lien
|
378
|
|
|
41
|
|
|
(145
|
)
|
|
274
|
|
||||
Option ARM
|
591
|
|
|
161
|
|
|
(579
|
)
|
|
173
|
|
||||
Subprime
|
109
|
|
|
9
|
|
|
—
|
|
|
118
|
|
||||
Total first lien
|
1,082
|
|
|
211
|
|
|
(724
|
)
|
|
569
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed end second lien
|
138
|
|
|
(9
|
)
|
|
(31
|
)
|
|
98
|
|
||||
HELOC
|
150
|
|
|
94
|
|
|
(199
|
)
|
|
45
|
|
||||
Total second lien
|
288
|
|
|
85
|
|
|
(230
|
)
|
|
143
|
|
||||
Total
|
$
|
1,370
|
|
|
$
|
296
|
|
|
$
|
(954
|
)
|
|
$
|
712
|
|
|
Future Net
R&W Benefit as of
December 31, 2011
|
|
R&W Development
and Accretion of Discount During 2012 |
|
R&W Recovered
During 2012(1) |
|
Future Net
R&W Benefit as of December 31, 2012 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
3
|
|
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
4
|
|
Alt-A first lien
|
407
|
|
|
40
|
|
|
(69
|
)
|
|
378
|
|
||||
Option ARM
|
725
|
|
|
89
|
|
|
(223
|
)
|
|
591
|
|
||||
Subprime
|
101
|
|
|
8
|
|
|
—
|
|
|
109
|
|
||||
Total first lien
|
1,236
|
|
|
138
|
|
|
(292
|
)
|
|
1,082
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed end second lien
|
224
|
|
|
5
|
|
|
(91
|
)
|
|
138
|
|
||||
HELOC
|
190
|
|
|
36
|
|
|
(76
|
)
|
|
150
|
|
||||
Total second lien
|
414
|
|
|
41
|
|
|
(167
|
)
|
|
288
|
|
||||
Total
|
$
|
1,650
|
|
|
$
|
179
|
|
|
$
|
(459
|
)
|
|
$
|
1,370
|
|
(1)
|
Gross amounts recovered were
$986 million
and $
485 million
for years ended December 31, 2013 and 2012, respectively.
|
(2)
|
Includes excess spread that the Company will receive as salvage as a result of a settlement agreement with a R&W provider.
|
|
Net Expected
Loss to be
Paid as of
December 31, 2012
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Net Expected
Loss to be Paid as of December 31, 2013 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
6
|
|
|
$
|
16
|
|
|
$
|
(1
|
)
|
|
$
|
21
|
|
Alt-A first lien
|
315
|
|
|
(81
|
)
|
|
70
|
|
|
304
|
|
||||
Option ARM
|
(131
|
)
|
|
(98
|
)
|
|
220
|
|
|
(9
|
)
|
||||
Subprime
|
242
|
|
|
92
|
|
|
(30
|
)
|
|
304
|
|
||||
Total first lien
|
432
|
|
|
(71
|
)
|
|
259
|
|
|
620
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(39
|
)
|
|
6
|
|
|
22
|
|
|
(11
|
)
|
||||
HELOCs
|
(111
|
)
|
|
(91
|
)
|
|
86
|
|
|
(116
|
)
|
||||
Total second lien
|
(150
|
)
|
|
(85
|
)
|
|
108
|
|
|
(127
|
)
|
||||
Total U.S. RMBS
|
282
|
|
|
(156
|
)
|
|
367
|
|
|
493
|
|
||||
TruPS
|
27
|
|
|
7
|
|
|
17
|
|
|
51
|
|
||||
Other structured finance
|
312
|
|
|
(41
|
)
|
|
(151
|
)
|
|
120
|
|
||||
U.S. public finance
|
7
|
|
|
239
|
|
|
18
|
|
|
264
|
|
||||
Non-U.S public finance
|
52
|
|
|
17
|
|
|
(12
|
)
|
|
57
|
|
||||
Other
|
(3
|
)
|
|
(10
|
)
|
|
10
|
|
|
(3
|
)
|
||||
Total
|
$
|
677
|
|
|
$
|
56
|
|
|
$
|
249
|
|
|
$
|
982
|
|
|
Net Expected
Loss to be
Paid as of
December 31, 2011
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Expected
Loss to be Paid as of December 31, 2012 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
2
|
|
|
$
|
4
|
|
|
$
|
—
|
|
|
$
|
6
|
|
Alt-A first lien
|
295
|
|
|
62
|
|
|
(42
|
)
|
|
315
|
|
||||
Option ARM
|
210
|
|
|
39
|
|
|
(380
|
)
|
|
(131
|
)
|
||||
Subprime
|
241
|
|
|
49
|
|
|
(48
|
)
|
|
242
|
|
||||
Total first lien
|
748
|
|
|
154
|
|
|
(470
|
)
|
|
432
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(86
|
)
|
|
(10
|
)
|
|
57
|
|
|
(39
|
)
|
||||
HELOCs
|
(31
|
)
|
|
44
|
|
|
(124
|
)
|
|
(111
|
)
|
||||
Total second lien
|
(117
|
)
|
|
34
|
|
|
(67
|
)
|
|
(150
|
)
|
||||
Total U.S. RMBS
|
631
|
|
|
188
|
|
|
(537
|
)
|
|
282
|
|
||||
TruPS
|
64
|
|
|
(30
|
)
|
|
(7
|
)
|
|
27
|
|
||||
Other structured finance
|
342
|
|
|
2
|
|
|
(32
|
)
|
|
312
|
|
||||
U.S. public finance
|
16
|
|
|
74
|
|
|
(83
|
)
|
|
7
|
|
||||
Non-U.S public finance
|
51
|
|
|
221
|
|
|
(220
|
)
|
|
52
|
|
||||
Other
|
2
|
|
|
(17
|
)
|
|
12
|
|
|
(3
|
)
|
||||
Total
|
$
|
1,106
|
|
|
$
|
438
|
|
|
$
|
(867
|
)
|
|
$
|
677
|
|
(1)
|
Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled
45 days
after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets.
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
US RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
3
|
|
|
$
|
—
|
|
|
$
|
18
|
|
|
$
|
21
|
|
Alt-A first lien
|
199
|
|
|
31
|
|
|
74
|
|
|
304
|
|
||||
Option ARM
|
(18
|
)
|
|
(2
|
)
|
|
11
|
|
|
(9
|
)
|
||||
Subprime
|
149
|
|
|
81
|
|
|
74
|
|
|
304
|
|
||||
Total first lien
|
333
|
|
|
110
|
|
|
177
|
|
|
620
|
|
||||
Second Lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(34
|
)
|
|
25
|
|
|
(2
|
)
|
|
(11
|
)
|
||||
HELOCs
|
(41
|
)
|
|
(75
|
)
|
|
—
|
|
|
(116
|
)
|
||||
Total second lien
|
(75
|
)
|
|
(50
|
)
|
|
(2
|
)
|
|
(127
|
)
|
||||
Total U.S. RMBS
|
258
|
|
|
60
|
|
|
175
|
|
|
493
|
|
||||
TruPS
|
3
|
|
|
—
|
|
|
48
|
|
|
51
|
|
||||
Other structured finance
|
161
|
|
|
—
|
|
|
(41
|
)
|
|
120
|
|
||||
U.S. public finance
|
264
|
|
|
—
|
|
|
—
|
|
|
264
|
|
||||
Non-U.S. public finance
|
55
|
|
|
—
|
|
|
2
|
|
|
57
|
|
||||
Subtotal
|
$
|
741
|
|
|
$
|
60
|
|
|
$
|
184
|
|
|
985
|
|
|
Other
|
|
|
|
|
|
|
(3
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
982
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
US RMBS:
|
|
|
|
|
|
|
|
|
|
|
|||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|||||
Prime first lien
|
$
|
4
|
|
|
$
|
—
|
|
|
$
|
2
|
|
|
$
|
6
|
|
Alt-A first lien
|
164
|
|
|
27
|
|
|
124
|
|
|
315
|
|
||||
Option ARM
|
(114
|
)
|
|
(37
|
)
|
|
20
|
|
|
(131
|
)
|
||||
Subprime
|
118
|
|
|
50
|
|
|
74
|
|
|
242
|
|
||||
Total first lien
|
172
|
|
|
40
|
|
|
220
|
|
|
432
|
|
||||
Second Lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(60
|
)
|
|
31
|
|
|
(10
|
)
|
|
(39
|
)
|
||||
HELOCs
|
56
|
|
|
(167
|
)
|
|
—
|
|
|
(111
|
)
|
||||
Total second lien
|
(4
|
)
|
|
(136
|
)
|
|
(10
|
)
|
|
(150
|
)
|
||||
Total U.S. RMBS
|
168
|
|
|
(96
|
)
|
|
210
|
|
|
282
|
|
||||
TruPS
|
1
|
|
|
—
|
|
|
26
|
|
|
27
|
|
||||
Other structured finance
|
224
|
|
|
—
|
|
|
88
|
|
|
312
|
|
||||
U.S. public finance
|
7
|
|
|
—
|
|
|
—
|
|
|
7
|
|
||||
Non-U.S. public finance
|
51
|
|
|
—
|
|
|
1
|
|
|
52
|
|
||||
Subtotal
|
$
|
451
|
|
|
$
|
(96
|
)
|
|
$
|
325
|
|
|
680
|
|
|
Other
|
|
|
|
|
|
|
(3
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
677
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
US RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
(1
|
)
|
|
$
|
—
|
|
|
$
|
17
|
|
|
$
|
16
|
|
Alt-A first lien
|
(54
|
)
|
|
5
|
|
|
(32
|
)
|
|
(81
|
)
|
||||
Option ARM
|
(62
|
)
|
|
(36
|
)
|
|
—
|
|
|
(98
|
)
|
||||
Subprime
|
48
|
|
|
32
|
|
|
12
|
|
|
92
|
|
||||
Total first lien
|
(69
|
)
|
|
1
|
|
|
(3
|
)
|
|
(71
|
)
|
||||
Second Lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
30
|
|
|
(34
|
)
|
|
10
|
|
|
6
|
|
||||
HELOCs
|
(91
|
)
|
|
(1
|
)
|
|
1
|
|
|
(91
|
)
|
||||
Total second lien
|
(61
|
)
|
|
(35
|
)
|
|
11
|
|
|
(85
|
)
|
||||
Total U.S. RMBS
|
(130
|
)
|
|
(34
|
)
|
|
8
|
|
|
(156
|
)
|
||||
TruPS
|
—
|
|
|
—
|
|
|
7
|
|
|
7
|
|
||||
Other structured finance
|
(36
|
)
|
|
—
|
|
|
(5
|
)
|
|
(41
|
)
|
||||
U.S. public finance
|
239
|
|
|
—
|
|
|
—
|
|
|
239
|
|
||||
Non-U.S. public finance
|
16
|
|
|
—
|
|
|
1
|
|
|
17
|
|
||||
Subtotal
|
$
|
89
|
|
|
$
|
(34
|
)
|
|
$
|
11
|
|
|
66
|
|
|
Other
|
|
|
|
|
|
|
(10
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
56
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
US RMBS:
|
|
|
|
|
|
|
|
|
|
|
|||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|||||
Prime first lien
|
$
|
2
|
|
|
$
|
—
|
|
|
$
|
2
|
|
|
$
|
4
|
|
Alt-A first lien
|
38
|
|
|
(10
|
)
|
|
34
|
|
|
62
|
|
||||
Option ARM
|
37
|
|
|
(8
|
)
|
|
10
|
|
|
39
|
|
||||
Subprime
|
31
|
|
|
7
|
|
|
11
|
|
|
49
|
|
||||
Total first lien
|
108
|
|
|
(11
|
)
|
|
57
|
|
|
154
|
|
||||
Second Lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
13
|
|
|
(23
|
)
|
|
—
|
|
|
(10
|
)
|
||||
HELOCs
|
37
|
|
|
7
|
|
|
—
|
|
|
44
|
|
||||
Total second lien
|
50
|
|
|
(16
|
)
|
|
—
|
|
|
34
|
|
||||
Total U.S. RMBS
|
158
|
|
|
(27
|
)
|
|
57
|
|
|
188
|
|
||||
TruPS
|
(11
|
)
|
|
—
|
|
|
(19
|
)
|
|
(30
|
)
|
||||
Other structured finance
|
15
|
|
|
—
|
|
|
(13
|
)
|
|
2
|
|
||||
U.S. public finance
|
75
|
|
|
—
|
|
|
(1
|
)
|
|
74
|
|
||||
Non-U.S. public finance
|
222
|
|
|
—
|
|
|
(1
|
)
|
|
221
|
|
||||
Subtotal
|
$
|
459
|
|
|
$
|
(27
|
)
|
|
$
|
23
|
|
|
455
|
|
|
Other
|
|
|
|
|
|
|
(17
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
438
|
|
•
|
established a liquidation rate assumption for loans reported as current but that had been reported as modified in the previous
12
months,
|
•
|
assumed that currently delinquent loans that did not roll to liquidation would behave like modified loans, and so applied the modified loan liquidation rate to them,
|
•
|
increased from
two
to
three
years the period over which it calculates the initial CDR based on assumed liquidations of non-performing loans and modified loans, to account for the longer period modified loans will take to default,
|
•
|
increased the period it assumes the transactions will experience the initial loss severity assumption before it improves and the period during which the transaction will experience low voluntary prepayment rates,
|
•
|
established an assumption for servicers not to advance loan payments on all delinquent loans
|
•
|
in its most optimistic scenario, it reduced by
three
months the period it assumed it would take the mortgage market to recover; and
|
•
|
in its most pessimistic scenario, it increased by
three
months the period it assumed it would take the mortgage market to recover.
|
|
December 31, 2013
|
|
December 31, 2012
|
|
December 31, 2011
|
Current Loans Modified in Previous 12 Months
|
|
|
|
|
|
Alt A and Prime
|
35%
|
|
N/A
|
|
N/A
|
Option ARM
|
35
|
|
N/A
|
|
N/A
|
Subprime
|
35
|
|
N/A
|
|
N/A
|
30 – 59 Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
50
|
|
35%
|
|
35%
|
Option ARM
|
50
|
|
50
|
|
50
|
Subprime
|
45
|
|
30
|
|
30
|
60 – 89 Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
60
|
|
55
|
|
55
|
Option ARM
|
65
|
|
65
|
|
65
|
Subprime
|
50
|
|
45
|
|
45
|
90+ Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
75
|
|
65
|
|
65
|
Option ARM
|
70
|
|
75
|
|
75
|
Subprime
|
60
|
|
60
|
|
60
|
Bankruptcy
|
|
|
|
|
|
Alt A and Prime
|
60
|
|
55
|
|
55
|
Option ARM
|
60
|
|
70
|
|
70
|
Subprime
|
55
|
|
50
|
|
50
|
Foreclosure
|
|
|
|
|
|
Alt A and Prime
|
85
|
|
85
|
|
85
|
Option ARM
|
80
|
|
85
|
|
85
|
Subprime
|
70
|
|
80
|
|
80
|
Real Estate Owned
|
|
|
|
|
|
All
|
100
|
|
100
|
|
100
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|
As of
December 31, 2011 |
|||||||||
Alt-A First Lien
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
2.8
|
%
|
–
|
18.4%
|
|
3.8
|
%
|
–
|
23.2%
|
|
2.8
|
%
|
–
|
41.3%
|
Intermediate CDR
|
0.6
|
%
|
–
|
3.7%
|
|
0.8
|
%
|
–
|
4.6%
|
|
0.6
|
%
|
–
|
8.3%
|
Period until intermediate CDR
|
48 months
|
|
36 months
|
|
36 months
|
|||||||||
Final CDR
|
0.1
|
%
|
–
|
0.9%
|
|
0.2
|
%
|
–
|
1.2%
|
|
0.1
|
%
|
–
|
2.1%
|
Initial loss severity
|
65%
|
|
65%
|
|
65%
|
|||||||||
Initial conditional prepayment rate ("CPR")
|
0.0
|
%
|
–
|
34.2%
|
|
0.0
|
%
|
–
|
39.4%
|
|
0.0
|
%
|
–
|
37.5%
|
Final CPR
|
15%
|
|
15%
|
|
15%
|
|||||||||
Option ARM
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
4.9
|
%
|
–
|
16.8%
|
|
7.0
|
%
|
–
|
26.1%
|
|
9.6
|
%
|
–
|
31.5%
|
Intermediate CDR
|
1.0
|
%
|
–
|
3.4%
|
|
1.4
|
%
|
–
|
5.2%
|
|
1.9
|
%
|
–
|
6.3%
|
Period until intermediate CDR
|
48 months
|
|
36 months
|
|
36 months
|
|||||||||
Final CDR
|
0.2
|
%
|
–
|
0.8%
|
|
0.4
|
%
|
–
|
1.3%
|
|
0.5
|
%
|
–
|
1.6%
|
Initial loss severity
|
65%
|
|
65%
|
|
65%
|
|||||||||
Initial CPR
|
0.4
|
%
|
–
|
13.1%
|
|
0.0
|
%
|
–
|
10.7%
|
|
0.0
|
%
|
–
|
29.1%
|
Final CPR
|
15%
|
|
15%
|
|
15%
|
|||||||||
Subprime
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
5.6
|
%
|
–
|
16.2%
|
|
7.3
|
%
|
–
|
26.2%
|
|
8.3
|
%
|
–
|
29.9%
|
Intermediate CDR
|
1.1
|
%
|
–
|
3.2%
|
|
1.5
|
%
|
–
|
5.2%
|
|
1.7
|
%
|
–
|
6%
|
Period until intermediate CDR
|
48 months
|
|
36 months
|
|
36 months
|
|||||||||
Final CDR
|
0.3
|
%
|
–
|
0.8%
|
|
0.4
|
%
|
–
|
1.3%
|
|
0.4
|
%
|
–
|
1.5%
|
Initial loss severity
|
90%
|
|
90%
|
|
90%
|
|||||||||
Initial CPR
|
0.0
|
%
|
–
|
15.7%
|
|
0.0
|
%
|
–
|
17.6%
|
|
0.0
|
%
|
–
|
16.3%
|
Final CPR
|
15%
|
|
15%
|
|
15%
|
HELOC key assumptions
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|
As of
December 31, 2011 |
|||||||||
Plateau CDR
|
|
2.3
|
%
|
–
|
7.7%
|
|
3.8
|
%
|
–
|
15.9%
|
|
4.0
|
%
|
–
|
27.4%
|
Final CDR trended down to
|
|
0.4
|
%
|
–
|
3.2%
|
|
0.4
|
%
|
–
|
3.2%
|
|
0.4
|
%
|
–
|
3.2%
|
Period until final CDR
|
|
34 months
|
|
36 months
|
|
36 months
|
|||||||||
Initial CPR
|
|
2.7
|
%
|
–
|
21.5%
|
|
2.9
|
%
|
–
|
15.4%
|
|
1.4
|
%
|
–
|
25.8%
|
Final CPR
|
|
10%
|
|
10%
|
|
10%
|
|||||||||
Loss severity
|
|
98%
|
|
98%
|
|
98%
|
Closed-end second lien key assumptions
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|
As of
December 31, 2011 |
|||||||||
Plateau CDR
|
|
7.3
|
%
|
–
|
15.1%
|
|
7.3
|
%
|
–
|
20.7%
|
|
6.9
|
%
|
–
|
29.5%
|
Final CDR trended down to
|
|
3.5
|
%
|
–
|
9.1%
|
|
3.5
|
%
|
–
|
9.1%
|
|
3.5
|
%
|
–
|
9.1%
|
Period until final CDR
|
|
34 months
|
|
36 months
|
|
36 months
|
|||||||||
Initial CPR
|
|
3.1
|
%
|
–
|
12.0%
|
|
1.9
|
%
|
–
|
12.5%
|
|
0.9
|
%
|
–
|
14.7%
|
Final CPR
|
|
10%
|
|
10%
|
|
10%
|
|||||||||
Loss severity
|
|
98%
|
|
98%
|
|
98%
|
(1)
|
Represents variables for most heavily weighted scenario (the “base case”).
|
|
(in millions)
|
||
Agreement amounts already received
|
$
|
2,608
|
|
Agreement amounts projected to be received in the future
|
425
|
|
|
Repurchase amounts paid into the relevant RMBS prior to settlement (1)
|
578
|
|
|
Total R&W payments, gross of reinsurance
|
$
|
3,611
|
|
(1)
|
These amounts were paid into the relevant RMBS transactions (rather than to the Company as in most settlements) and distributed in accordance with the priority of payments set out in the relevant transaction documents. Because the Company may insure only a portion of the capital structure of a transaction, such payments will not necessarily directly benefit the Company dollar-for-dollar, especially in first lien transactions.
|
|
Agreement Date
|
|
Current Net Par Covered
|
|
Receipts to December 31, 2013 (net of reinsurance)
|
|
Estimated Future Receipts (net of reinsurance)
|
|
Eligible Assets Held in Trust (gross of reinsurance)
|
||||||||
|
(in millions)
|
||||||||||||||||
Bank of America - First Lien
|
April 2011
|
|
$
|
1,059
|
|
|
$
|
474
|
|
|
$
|
201
|
|
|
$
|
593
|
|
Bank of America - Second Lien
|
April 2011
|
|
1,387
|
|
|
968
|
|
|
NA
|
|
|
NA
|
|
||||
Deutsche Bank
|
May 2012
|
|
1,711
|
|
|
179
|
|
|
107
|
|
|
151
|
|
||||
UBS
|
May 2013
|
|
807
|
|
|
394
|
|
|
59
|
|
|
174
|
|
||||
Others
|
Various
|
|
994
|
|
|
385
|
|
|
46
|
|
|
NA
|
|
||||
Total
|
|
|
$
|
5,958
|
|
|
$
|
2,400
|
|
|
$
|
413
|
|
|
$
|
918
|
|
(1)
|
This table relates to past and projected future recoveries under R&W and related agreements. Excluded is the
$299 million
of future net recoveries the Company projects receiving from R&W counterparties in transactions with
$1,617 million
of net par outstanding as of December 31, 2013 not covered by current agreements and
$806 million
of net par partially covered by agreements but for which the Company projects receiving additional amounts.
|
•
|
Bank of America.
Under the Company's agreement with Bank of America Corporation and certain of its subsidiaries (“Bank of America”), Bank of America agreed to reimburse the Company for
80%
of claims on the first lien transactions covered by the agreement that the Company pays in the future, until the aggregate lifetime collateral losses (not insurance losses or claims) on those transactions reach
$6.6 billion
. As of December 31, 2013 aggregate lifetime collateral losses on those transactions was
$3.7 billion
, and the Company was projecting in its base case that such collateral losses would eventually reach
$5.1 billion
.
|
•
|
Deutsche Bank.
Under the Company's May 2012 agreement with Deutsche Bank AG and certain of its affiliates (collectively, “Deutsche Bank”), Deutsche Bank agreed to reimburse the Company for certain claims it pays in the future on eight first and second lien transactions, including
80%
of claims it pays on those transactions until the aggregate lifetime claims (before reimbursement) reach
$319 million
. As of December 31, 2013, the Company was projecting in its base case that such aggregate lifetime claims would remain below
$319 million
. In the event aggregate lifetime claims paid exceed
$389 million
, Deutsche Bank must reimburse Assured Guaranty for
85%
of such claims paid (in excess of
$389 million
) until such claims paid reach
$600 million
.
|
•
|
UBS.
On May 6, 2013, the Company entered into an agreement with UBS Real Estate Securities Inc. and affiliates ("UBS") and a third party resolving the Company’s claims and liabilities related to specified RMBS transactions that were issued, underwritten or sponsored by UBS and insured by AGM or AGC under financial guaranty insurance policies. Under the agreement, UBS agreed to reimburse the Company for
85%
of future losses on three first lien RMBS transactions.
|
•
|
Flagstar.
On June 21, 2013, AGM entered into a settlement agreement with Flagstar Bank in connection with its litigation for breach of contract against Flagstar on the Flagstar Home Equity Loan Trust, Series 2005-1 and Series 2006-2 second lien transactions. The agreement followed judgments by the court in February and April 2013 in favor of AGM, which Flagstar had planned to appeal. As part of the settlement, AGM received a cash payment of
$105 million
and Flagstar withdrew its appeal. Flagstar also will reimburse AGM in full for all future claims on AGM’s financial guaranty insurance policies for such transactions. This settlement resolved all RMBS claims that AGM had asserted against Flagstar and each party agreed to release the other from any and all other future RMBS-related claims between them.
|
|
Number of Risks (1) as of
|
|
Debt Service as of
|
||||||||||
|
December 31, 2013
|
|
December 31, 2012
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||
|
|
|
|
|
(dollars in millions)
|
||||||||
Prime first lien
|
1
|
|
|
1
|
|
|
$
|
38
|
|
|
$
|
44
|
|
Alt-A first lien
|
19
|
|
|
26
|
|
|
2,856
|
|
|
4,173
|
|
||
Option ARM
|
9
|
|
|
10
|
|
|
641
|
|
|
1,183
|
|
||
Subprime
|
5
|
|
|
5
|
|
|
998
|
|
|
989
|
|
||
Closed-end second lien
|
4
|
|
|
4
|
|
|
158
|
|
|
260
|
|
||
HELOC
|
4
|
|
|
7
|
|
|
320
|
|
|
549
|
|
||
Total
|
42
|
|
|
53
|
|
|
$
|
5,011
|
|
|
$
|
7,198
|
|
|
Year Ended December 31,
|
||||||
|
2013
|
|
2012
|
||||
|
(in millions)
|
||||||
Inclusion (removal) of deals with breaches of R&W during period
|
$
|
6
|
|
|
$
|
(3
|
)
|
Change in recovery assumptions as the result of additional file review and recovery success
|
(6
|
)
|
|
(10
|
)
|
||
Estimated increase (decrease) in defaults that will result in additional (lower) breaches
|
(8
|
)
|
|
63
|
|
||
Results of settlements
|
289
|
|
|
120
|
|
||
Accretion of discount on balance
|
15
|
|
|
9
|
|
||
Total
|
$
|
296
|
|
|
$
|
179
|
|
•
|
Stockton.
On June 28, 2012, the City of Stockton, California filed for bankruptcy protection under Chapter 9 of the U.S. Bankruptcy Code. The Company's net exposure to the City's general fund is
$119 million
, consisting of pension obligation bonds. The Company also had exposure to lease obligation bonds; as of
December 31, 2013
, the Company owned all of such bonds and held them in its investment portfolio. As of
December 31, 2013
, the Company had paid
$26 million
in net claims. On October 3, 2013, the Company reached a tentative settlement with the City regarding the treatment of the bonds insured by the Company in the City's proposed plan of adjustment. Under the terms of the settlement, the Company received title to an office building, the ground lease of which secures the lease revenue bonds, and will also be entitled to certain fixed payments and certain variable payments contingent on the City's revenue growth. The settlement is subject to a number of conditions, including a sales tax increase (which was approved by voters on November 5, 2013), confirmation of a plan of adjustment that implements the terms of the settlement and definitive documentation. Pursuant to an order of the Bankruptcy Court, the City held a vote of its creditors on its proposed plan of adjustment; all but one of the classes polled voted to accept the plan. The court proceeding to determine whether to confirm the plan of adjustment is expected to begin in May 2014. The Company expects the plan to be confirmed and implemented during 2014.
|
•
|
Jefferson County.
On November 9, 2011, Jefferson County filed for bankruptcy protection under Chapter 9 of the U.S. Bankruptcy Code. After several years of negotiations and litigation with various parties, Jefferson County's revised plan of adjustment was approved by the bankruptcy court and in December 2013 became effective. In order for Jefferson County to refund and retire the sewer warrants that it had previously issued, and to make other payments under the plan of adjustment, Jefferson County issued approximately
$1,785 million
of new sewer warrants on December 3, 2013. In that issuance, AGM insured approximately
$600 million
in initial aggregate principal amount of the senior lien sewer warrants, which AGM internally rates investment grade. The sewer system emerged from bankruptcy with a significantly lower debt burden and a rate structure that is approved through the life of the new sewer warrants.
|
•
|
Mashantucket Pequot Foxwoods Casino.
During 2013 and as part of a negotiated restructuring, the Company paid off the insured bonds secured by the excess free cash flow of the Foxwoods Casino run by the Mashantucket Pequot Tribe. The Company made cumulative claims payments of
$116 million
(net of reinsurance) on the insured bonds. In return for participating in the restructuring, the Company received new notes with a principal amount of
$145 million
with the same seniority as the bonds the Company had insured. The new notes are held as an investment and accounted for as such.
|
•
|
Harrisburg.
In December 2011, the Commonwealth Court of Pennsylvania appointed a receiver for the City . The Company had insured bonds for a resource recovery facility sponsored by the City. In December 2013 the defaulted recourse recovery facility bonds were paid in full with funds from the sale of the resource recovery facility, the sale of parking system revenue bonds issued by the Pennsylvania Economic Development Financing Authority (“PEDFA”) and claim payments made by the Company. AGM insured
$189 million
of the parking facility revenue bonds issued by PEDFA and is entitled to receive reimbursements for claims it paid from residual cash flow on the parking system after the payment of debt service on the PEDFA bonds.
|
•
|
Deutsche Bank
: AGM has sued Deutsche Bank AG affiliates DB Structured Products, Inc. and ACE Securities Corp. in the Supreme Court of the State of New York on the ACE Securities Corp. Home Equity Loan Trust, Series 2006-GP1 second lien transaction.
|
•
|
Credit Suisse
: AGM and AGC have sued DLJ Mortgage Capital, Inc. (“DLJ”) and Credit Suisse Securities (USA) LLC (“Credit Suisse”) on first lien U.S. RMBS transactions insured by them. The ones insured by AGM are: CSAB Mortgage-Backed Pass Through Certificates, Series 2006-2; CSAB Mortgage-Backed Pass Through Certificates, Series 2006-3; CSAB Mortgage-Backed Pass Through Certificates, Series 2006-4; and CMSC Mortgage-Backed Pass Through Certificates, Series 2007-3. The ones insured by AGC are: CSAB Mortgage-Backed Pass Through Certificates, Series 2007-1 and TBW Mortgage-Backed Pass Through Certificates, Series 2007-2. Although DLJ and Credit Suisse successfully dismissed certain causes of action and claims for relief asserted in the complaint, the primary causes of action against DLJ for breach of R&W and breach of its repurchase obligations remained. On February 27, 2014 the Appellate Division, First Department unanimously reversed certain aspects of the partial dismissal by the Supreme Court of the State of New York of certain claims for relief by holding as a matter of law that AGM’s and AGC’s remedies for breach of R&W are not limited to the repurchase remedy. On October 21, 2013, AGM and AGC filed an amended complaint against DLJ and Credit Suisse (and added Credit Suisse First Boston Mortgage Securities Corp. as a defendant), asserting claims of fraud and material misrepresentation in the inducement of an insurance contract, in addition to their existing breach of contract claims. The defendants have filed a motion to dismiss certain aspects of the fraud claim against Credit Suisse First Boston Mortgage Securities Corp., and AGM's and AGC's claims for compensatory damages in the form of all claims paid and to be paid by AGM and AGC. The motion to dismiss is currently pending.
|
•
|
a reduction in the corresponding loss and LAE reserve with a benefit to the income statement,
|
•
|
no entry recorded, if “total loss” is not in excess of deferred premium revenue, or
|
•
|
the recording of a salvage asset with a benefit to the income statement if the transaction is in a net recovery position at the reporting date.
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||||||||||
|
Loss and
LAE
Reserve, net
|
|
Salvage and
Subrogation
Recoverable, net
|
|
Net Reserve (Recoverable)
|
|
Loss and
LAE
Reserve, net
|
|
Salvage and
Subrogation
Recoverable, net
|
|
Net Reserve (Recoverable)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Prime first lien
|
$
|
3
|
|
|
$
|
—
|
|
|
$
|
3
|
|
|
$
|
3
|
|
|
$
|
—
|
|
|
$
|
3
|
|
Alt-A first lien
|
108
|
|
|
—
|
|
|
108
|
|
|
93
|
|
|
—
|
|
|
93
|
|
||||||
Option ARM
|
22
|
|
|
47
|
|
|
(25
|
)
|
|
52
|
|
|
216
|
|
|
(164
|
)
|
||||||
Subprime
|
143
|
|
|
2
|
|
|
141
|
|
|
82
|
|
|
0
|
|
|
82
|
|
||||||
First lien
|
276
|
|
|
49
|
|
|
227
|
|
|
230
|
|
|
216
|
|
|
14
|
|
||||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Closed-end second lien
|
5
|
|
|
45
|
|
|
(40
|
)
|
|
5
|
|
|
72
|
|
|
(67
|
)
|
||||||
HELOC
|
5
|
|
|
127
|
|
|
(122
|
)
|
|
37
|
|
|
196
|
|
|
(159
|
)
|
||||||
Second lien
|
10
|
|
|
172
|
|
|
(162
|
)
|
|
42
|
|
|
268
|
|
|
(226
|
)
|
||||||
Total U.S. RMBS
|
286
|
|
|
221
|
|
|
65
|
|
|
272
|
|
|
484
|
|
|
(212
|
)
|
||||||
TruPS
|
2
|
|
|
—
|
|
|
2
|
|
|
1
|
|
|
—
|
|
|
1
|
|
||||||
Other structured finance
|
145
|
|
|
6
|
|
|
139
|
|
|
197
|
|
|
4
|
|
|
193
|
|
||||||
U.S. public finance
|
189
|
|
|
8
|
|
|
181
|
|
|
104
|
|
|
134
|
|
|
(30
|
)
|
||||||
Non-U.S. public finance
|
35
|
|
|
—
|
|
|
35
|
|
|
31
|
|
|
—
|
|
|
31
|
|
||||||
Financial guaranty
|
657
|
|
|
235
|
|
|
422
|
|
|
605
|
|
|
622
|
|
|
(17
|
)
|
||||||
Other
|
2
|
|
|
5
|
|
|
(3
|
)
|
|
2
|
|
|
5
|
|
|
(3
|
)
|
||||||
Subtotal
|
659
|
|
|
240
|
|
|
419
|
|
|
607
|
|
|
627
|
|
|
(20
|
)
|
||||||
Effect of consolidating FG VIEs
|
(103
|
)
|
|
(85
|
)
|
|
(18
|
)
|
|
(64
|
)
|
|
(217
|
)
|
|
153
|
|
||||||
Total (1)
|
$
|
556
|
|
|
$
|
155
|
|
|
$
|
401
|
|
|
$
|
543
|
|
|
$
|
410
|
|
|
$
|
133
|
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
||||
|
(in millions)
|
||||||
Loss and LAE reserve
|
$
|
592
|
|
|
$
|
601
|
|
Reinsurance recoverable on unpaid losses
|
(36
|
)
|
|
(58
|
)
|
||
Loss and LAE reserve, net
|
556
|
|
|
543
|
|
||
Salvage and subrogation recoverable
|
(174
|
)
|
|
(456
|
)
|
||
Salvage and subrogation payable(1)
|
19
|
|
|
46
|
|
||
Salvage and subrogation recoverable, net
|
(155
|
)
|
|
(410
|
)
|
||
Other recoverables(2)
|
(15
|
)
|
|
(30
|
)
|
||
Net reserves (salvage)
|
386
|
|
|
103
|
|
||
Less: other (non-financial guaranty business)
|
(3
|
)
|
|
(3
|
)
|
||
Net reserves (salvage)
|
$
|
389
|
|
|
$
|
106
|
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||||||||||
|
For all
Financial
Guaranty
Insurance
Contracts
|
|
Effect of
Consolidating
FG VIEs
|
|
Reported on
Balance Sheet(1)
|
|
For all
Financial
Guaranty
Insurance
Contracts
|
|
Effect of
Consolidating
FG VIEs
|
|
Reported on
Balance Sheet(1)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Salvage and subrogation recoverable, net
|
$
|
122
|
|
|
$
|
(49
|
)
|
|
$
|
73
|
|
|
$
|
449
|
|
|
$
|
(169
|
)
|
|
$
|
280
|
|
Loss and LAE reserve, net
|
363
|
|
|
(24
|
)
|
|
339
|
|
|
571
|
|
|
(33
|
)
|
|
538
|
|
(1)
|
The remaining benefit for R&W is either recorded at fair value in FG VIE assets, or not recorded on the balance sheet until the total loss, net of R&W, exceeds unearned premium reserve.
|
|
As of December 31, 2013
|
||
|
(in millions)
|
||
Net expected loss to be paid
|
$
|
801
|
|
Less: net expected loss to be paid for FG VIEs
|
60
|
|
|
Total
|
741
|
|
|
Contra-paid, net
|
39
|
|
|
Salvage and subrogation recoverable, net of reinsurance
|
150
|
|
|
Loss and LAE reserve, net of reinsurance
|
(554
|
)
|
|
Other recoveries (1)
|
15
|
|
|
Net expected loss to be expensed (2)
|
$
|
391
|
|
(1)
|
R&W recoverables recorded in other assets on the consolidated balance sheet.
|
(2)
|
Excludes
$98 million
as of December 31, 2013 related to consolidated FG VIEs.
|
|
As of December 31, 2013
|
||
|
(in millions)
|
||
2014 (January 1 - March 31)
|
$
|
11
|
|
2014 (April 1 - June 30)
|
11
|
|
|
2014 (July 1 - September 30)
|
10
|
|
|
2014 (October 1–December 31)
|
10
|
|
|
Subtotal 2014
|
42
|
|
|
2015
|
41
|
|
|
2016
|
33
|
|
|
2017
|
30
|
|
|
2018
|
27
|
|
|
2019 - 2023
|
99
|
|
|
2024 - 2028
|
56
|
|
|
2029 - 2033
|
36
|
|
|
After 2033
|
27
|
|
|
Net expected loss to be expensed(1)
|
391
|
|
|
Discount
|
406
|
|
|
Total future value
|
$
|
797
|
|
(1)
|
Consolidation of FG VIEs resulted in reductions of $
98 million
in net expected loss to be expensed which is on a present value basis.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Structured Finance:
|
|
|
|
|
|
||||||
U.S. RMBS:
|
|
|
|
|
|
||||||
First lien:
|
|
|
|
|
|
||||||
Prime first lien
|
$
|
1
|
|
|
$
|
2
|
|
|
$
|
—
|
|
Alt-A first lien
|
(2
|
)
|
|
51
|
|
|
53
|
|
|||
Option ARM
|
(48
|
)
|
|
137
|
|
|
203
|
|
|||
Subprime
|
80
|
|
|
38
|
|
|
(39
|
)
|
|||
First lien
|
31
|
|
|
228
|
|
|
217
|
|
|||
Second lien:
|
|
|
|
|
|
||||||
Closed end second lien
|
18
|
|
|
31
|
|
|
1
|
|
|||
HELOC
|
(53
|
)
|
|
49
|
|
|
171
|
|
|||
Second lien
|
(35
|
)
|
|
80
|
|
|
172
|
|
|||
Total U.S. RMBS
|
(4
|
)
|
|
308
|
|
|
389
|
|
|||
TruPS
|
(1
|
)
|
|
(10
|
)
|
|
11
|
|
|||
Other structured finance
|
(34
|
)
|
|
3
|
|
|
107
|
|
|||
Structured finance
|
(35
|
)
|
|
(7
|
)
|
|
118
|
|
|||
Public Finance:
|
|
|
|
|
|
||||||
U.S. public finance
|
198
|
|
|
51
|
|
|
15
|
|
|||
Non-U.S. public finance
|
16
|
|
|
234
|
|
|
33
|
|
|||
Public finance
|
214
|
|
|
285
|
|
|
48
|
|
|||
Subtotal
|
175
|
|
|
586
|
|
|
555
|
|
|||
Other
|
—
|
|
|
(17
|
)
|
|
—
|
|
|||
Loss and LAE insurance contracts before FG VIE consolidation
|
175
|
|
|
569
|
|
|
555
|
|
|||
Effect of consolidating FG VIEs
|
(21
|
)
|
|
(65
|
)
|
|
(107
|
)
|
|||
Loss and LAE
|
$
|
154
|
|
|
$
|
504
|
|
|
$
|
448
|
|
|
BIG Categories (1)
|
||||||||||||||||||||||||||||||||||
|
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(2)
|
185
|
|
|
(72
|
)
|
|
80
|
|
|
(24
|
)
|
|
119
|
|
|
(34
|
)
|
|
384
|
|
|
—
|
|
|
384
|
|
|||||||||
Remaining weighted-average contract period (in years)
|
10.5
|
|
|
8.1
|
|
|
8.3
|
|
|
5.9
|
|
|
9.8
|
|
|
7.2
|
|
|
10.5
|
|
|
—
|
|
|
10.5
|
|
|||||||||
Outstanding exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Principal
|
$
|
15,132
|
|
|
$
|
(2,741
|
)
|
|
$
|
2,483
|
|
|
$
|
(160
|
)
|
|
$
|
3,189
|
|
|
$
|
(158
|
)
|
|
$
|
17,745
|
|
|
$
|
—
|
|
|
$
|
17,745
|
|
Interest
|
8,114
|
|
|
(1,144
|
)
|
|
1,181
|
|
|
(53
|
)
|
|
1,244
|
|
|
(52
|
)
|
|
9,290
|
|
|
—
|
|
|
9,290
|
|
|||||||||
Total(3)
|
$
|
23,246
|
|
|
$
|
(3,885
|
)
|
|
$
|
3,664
|
|
|
$
|
(213
|
)
|
|
$
|
4,433
|
|
|
$
|
(210
|
)
|
|
$
|
27,035
|
|
|
$
|
—
|
|
|
$
|
27,035
|
|
Expected cash outflows (inflows)
|
$
|
1,853
|
|
|
$
|
(528
|
)
|
|
$
|
1,038
|
|
|
$
|
(40
|
)
|
|
$
|
1,681
|
|
|
$
|
(62
|
)
|
|
$
|
3,942
|
|
|
$
|
(690
|
)
|
|
$
|
3,252
|
|
Potential recoveries(4)
|
(1,879
|
)
|
|
514
|
|
|
(671
|
)
|
|
27
|
|
|
(707
|
)
|
|
32
|
|
|
(2,684
|
)
|
|
579
|
|
|
(2,105
|
)
|
|||||||||
Subtotal
|
(26
|
)
|
|
(14
|
)
|
|
367
|
|
|
(13
|
)
|
|
974
|
|
|
(30
|
)
|
|
1,258
|
|
|
(111
|
)
|
|
1,147
|
|
|||||||||
Discount
|
13
|
|
|
—
|
|
|
(126
|
)
|
|
3
|
|
|
(352
|
)
|
|
5
|
|
|
(457
|
)
|
|
51
|
|
|
(406
|
)
|
|||||||||
Present value of expected cash flows
|
$
|
(13
|
)
|
|
$
|
(14
|
)
|
|
$
|
241
|
|
|
$
|
(10
|
)
|
|
$
|
622
|
|
|
$
|
(25
|
)
|
|
$
|
801
|
|
|
$
|
(60
|
)
|
|
$
|
741
|
|
Deferred premium revenue
|
$
|
517
|
|
|
$
|
(90
|
)
|
|
$
|
163
|
|
|
$
|
(7
|
)
|
|
$
|
303
|
|
|
$
|
(27
|
)
|
|
$
|
859
|
|
|
$
|
(178
|
)
|
|
$
|
681
|
|
Reserves (salvage)(5)
|
$
|
(114
|
)
|
|
$
|
1
|
|
|
$
|
117
|
|
|
$
|
(4
|
)
|
|
$
|
420
|
|
|
$
|
(13
|
)
|
|
$
|
407
|
|
|
$
|
(18
|
)
|
|
$
|
389
|
|
|
BIG Categories (1)
|
||||||||||||||||||||||||||||||||||
|
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(2)
|
163
|
|
|
(66
|
)
|
|
76
|
|
|
(22
|
)
|
|
131
|
|
|
(41
|
)
|
|
370
|
|
|
—
|
|
|
370
|
|
|||||||||
Remaining weighted-average contract period (in years)
|
10.2
|
|
|
9.2
|
|
|
10.6
|
|
|
15.1
|
|
|
9.0
|
|
|
6.0
|
|
|
10.0
|
|
|
—
|
|
|
10.0
|
|
|||||||||
Outstanding exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Principal
|
$
|
9,462
|
|
|
$
|
(1,533
|
)
|
|
$
|
2,248
|
|
|
$
|
(132
|
)
|
|
$
|
6,024
|
|
|
$
|
(481
|
)
|
|
$
|
15,588
|
|
|
$
|
—
|
|
|
$
|
15,588
|
|
Interest
|
4,475
|
|
|
(591
|
)
|
|
1,357
|
|
|
(127
|
)
|
|
1,881
|
|
|
(117
|
)
|
|
6,878
|
|
|
—
|
|
|
6,878
|
|
|||||||||
Total(3)
|
$
|
13,937
|
|
|
$
|
(2,124
|
)
|
|
$
|
3,605
|
|
|
$
|
(259
|
)
|
|
$
|
7,905
|
|
|
$
|
(598
|
)
|
|
$
|
22,466
|
|
|
$
|
—
|
|
|
$
|
22,466
|
|
Expected cash outflows (inflows)
|
$
|
1,914
|
|
|
$
|
(687
|
)
|
|
$
|
863
|
|
|
$
|
(58
|
)
|
|
$
|
2,720
|
|
|
$
|
(146
|
)
|
|
$
|
4,606
|
|
|
$
|
(738
|
)
|
|
$
|
3,868
|
|
Potential recoveries(4)
|
(2,356
|
)
|
|
677
|
|
|
(509
|
)
|
|
18
|
|
|
(1,911
|
)
|
|
117
|
|
|
(3,964
|
)
|
|
798
|
|
|
(3,166
|
)
|
|||||||||
Subtotal
|
(442
|
)
|
|
(10
|
)
|
|
354
|
|
|
(40
|
)
|
|
809
|
|
|
(29
|
)
|
|
642
|
|
|
60
|
|
|
702
|
|
|||||||||
Discount
|
12
|
|
|
8
|
|
|
(107
|
)
|
|
14
|
|
|
(216
|
)
|
|
2
|
|
|
(287
|
)
|
|
36
|
|
|
(251
|
)
|
|||||||||
Present value of expected cash flows
|
$
|
(430
|
)
|
|
$
|
(2
|
)
|
|
$
|
247
|
|
|
$
|
(26
|
)
|
|
$
|
593
|
|
|
$
|
(27
|
)
|
|
$
|
355
|
|
|
$
|
96
|
|
|
$
|
451
|
|
Deferred premium revenue
|
$
|
265
|
|
|
$
|
(32
|
)
|
|
$
|
227
|
|
|
$
|
(15
|
)
|
|
$
|
604
|
|
|
$
|
(83
|
)
|
|
$
|
966
|
|
|
$
|
(251
|
)
|
|
$
|
715
|
|
Reserves (salvage)(5)
|
$
|
(485
|
)
|
|
$
|
10
|
|
|
$
|
102
|
|
|
$
|
(18
|
)
|
|
$
|
347
|
|
|
$
|
(3
|
)
|
|
$
|
(47
|
)
|
|
$
|
153
|
|
|
$
|
106
|
|
(1)
|
In third quarter 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" in Note 3, Outstanding Exposure. This approach is reflected in the "Financial Guaranty Insurance BIG Transaction Loss Summary" tables as of both December 31, 2013 and December 31, 2012.
|
(2)
|
A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure.
|
(3)
|
Includes BIG amounts related to FG VIEs.
|
(4)
|
Includes estimated future recoveries for breaches of R&W as well as excess spread, and draws on HELOCs.
|
(5)
|
See table “Components of net reserves (salvage).”
|
8.
|
Fair Value Measurement
|
•
|
the profit the originator, usually an investment bank, realizes for putting the deal together and funding the transaction (“bank profit”);
|
•
|
premiums paid to the Company for the Company’s credit protection provided (“net spread”); and
|
•
|
the cost of CDS protection purchased by the originator to hedge their counterparty credit risk exposure to the Company (“hedge cost”).
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
||
Based on actual collateral specific spreads
|
6
|
%
|
|
6
|
%
|
Based on market indices
|
88
|
%
|
|
88
|
%
|
Provided by the CDS counterparty
|
6
|
%
|
|
6
|
%
|
Total
|
100
|
%
|
|
100
|
%
|
|
Scenario 1
|
|
Scenario 2
|
||||||||
|
bps
|
|
% of Total
|
|
bps
|
|
% of Total
|
||||
Original gross spread/cash bond price (in bps)
|
185
|
|
|
|
|
|
500
|
|
|
|
|
Bank profit (in bps)
|
115
|
|
|
62
|
%
|
|
50
|
|
|
10
|
%
|
Hedge cost (in bps)
|
30
|
|
|
16
|
%
|
|
440
|
|
|
88
|
%
|
The Company premium received per annum (in bps)
|
40
|
|
|
22
|
%
|
|
10
|
|
|
2
|
%
|
|
|
|
Fair Value Hierarchy
|
||||||||||||
|
Fair Value
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||
|
(in millions)
|
||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Investment portfolio, available-for-sale:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Fixed-maturity securities
|
|
|
|
|
|
|
|
|
|
|
|
||||
Obligations of state and political subdivisions
|
$
|
5,079
|
|
|
$
|
—
|
|
|
$
|
5,043
|
|
|
$
|
36
|
|
U.S. government and agencies
|
700
|
|
|
—
|
|
|
700
|
|
|
—
|
|
||||
Corporate securities
|
1,340
|
|
|
—
|
|
|
1,204
|
|
|
136
|
|
||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,122
|
|
|
—
|
|
|
832
|
|
|
290
|
|
||||
CMBS
|
549
|
|
|
—
|
|
|
549
|
|
|
—
|
|
||||
Asset-backed securities
|
608
|
|
|
—
|
|
|
340
|
|
|
268
|
|
||||
Foreign government securities
|
313
|
|
|
—
|
|
|
313
|
|
|
—
|
|
||||
Total fixed-maturity securities
|
9,711
|
|
|
—
|
|
|
8,981
|
|
|
730
|
|
||||
Short-term investments
|
904
|
|
|
506
|
|
|
398
|
|
|
—
|
|
||||
Other invested assets(1)
|
127
|
|
|
—
|
|
|
119
|
|
|
8
|
|
||||
Credit derivative assets
|
94
|
|
|
—
|
|
|
—
|
|
|
94
|
|
||||
FG VIEs’ assets, at fair value
|
2,565
|
|
|
—
|
|
|
—
|
|
|
2,565
|
|
||||
Other assets(2)
|
84
|
|
|
27
|
|
|
11
|
|
|
46
|
|
||||
Total assets carried at fair value
|
$
|
13,485
|
|
|
$
|
533
|
|
|
$
|
9,509
|
|
|
$
|
3,443
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Credit derivative liabilities
|
$
|
1,787
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,787
|
|
FG VIEs’ liabilities with recourse, at fair value
|
1,790
|
|
|
—
|
|
|
—
|
|
|
1,790
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
1,081
|
|
|
—
|
|
|
—
|
|
|
1,081
|
|
||||
Total liabilities carried at fair value
|
$
|
4,658
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4,658
|
|
|
|
|
Fair Value Hierarchy
|
||||||||||||
|
Fair Value
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||
|
(in millions)
|
||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Investment portfolio, available-for-sale:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Fixed-maturity securities
|
|
|
|
|
|
|
|
|
|
|
|
||||
Obligations of state and political subdivisions
|
$
|
5,631
|
|
|
$
|
—
|
|
|
$
|
5,596
|
|
|
$
|
35
|
|
U.S. government and agencies
|
794
|
|
|
—
|
|
|
794
|
|
|
—
|
|
||||
Corporate securities
|
1,010
|
|
|
—
|
|
|
1,010
|
|
|
—
|
|
||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
RMBS
|
1,266
|
|
|
—
|
|
|
1,047
|
|
|
219
|
|
||||
CMBS
|
520
|
|
|
—
|
|
|
520
|
|
|
—
|
|
||||
Asset-backed securities
|
531
|
|
|
—
|
|
|
225
|
|
|
306
|
|
||||
Foreign government securities
|
304
|
|
|
—
|
|
|
304
|
|
|
—
|
|
||||
Total fixed-maturity securities
|
10,056
|
|
|
—
|
|
|
9,496
|
|
|
560
|
|
||||
Short-term investments
|
817
|
|
|
446
|
|
|
371
|
|
|
—
|
|
||||
Other invested assets(1)
|
120
|
|
|
—
|
|
|
112
|
|
|
8
|
|
||||
Credit derivative assets
|
141
|
|
|
—
|
|
|
—
|
|
|
141
|
|
||||
FG VIEs’ assets, at fair value
|
2,688
|
|
|
—
|
|
|
—
|
|
|
2,688
|
|
||||
Other assets(2)
|
65
|
|
|
24
|
|
|
5
|
|
|
36
|
|
||||
Total assets carried at fair value
|
$
|
13,887
|
|
|
$
|
470
|
|
|
$
|
9,984
|
|
|
$
|
3,433
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Credit derivative liabilities
|
$
|
1,934
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,934
|
|
FG VIEs’ liabilities with recourse, at fair value
|
2,090
|
|
|
—
|
|
|
—
|
|
|
2,090
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
1,051
|
|
|
—
|
|
|
—
|
|
|
1,051
|
|
||||
Total liabilities carried at fair value
|
$
|
5,075
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,075
|
|
(1)
|
Includes mortgage loans that are recorded at fair value on a non-recurring basis. At
December 31, 2013
and
December 31, 2012
, such investments were carried at their fair value of
$6 million
and
$7 million
, respectively.
|
|
Fixed-Maturity Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
|
Obligations
of State and Political Subdivisions |
|
Corporate Securities
|
|
RMBS
|
|
Asset-
Backed Securities |
|
Other
Invested Assets |
|
FG VIEs’
Assets at Fair Value |
|
Other
Assets |
|
Credit
Derivative Asset (Liability), net(5) |
|
FG VIEs' Liabilities
with Recourse, at Fair Value |
|
FG VIEs’ Liabilities
without Recourse, at Fair Value |
|
||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||||||||||||
Fair value as of December 31, 2012
|
$
|
35
|
|
|
|
$
|
—
|
|
|
$
|
219
|
|
|
|
$
|
306
|
|
|
$
|
1
|
|
|
$
|
2,688
|
|
|
|
$
|
36
|
|
|
|
$
|
(1,793
|
)
|
|
$
|
(2,090
|
)
|
|
$
|
(1,051
|
)
|
|
||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Net income (loss)
|
(8
|
)
|
(2
|
)
|
4
|
|
(2
|
)
|
13
|
|
(2
|
)
|
67
|
|
(2
|
)
|
(1
|
)
|
(7
|
)
|
686
|
|
(3
|
)
|
10
|
|
(4
|
)
|
65
|
|
(6
|
)
|
(166
|
)
|
(3
|
)
|
(225
|
)
|
(3
|
)
|
||||||||||
Other comprehensive income (loss)
|
13
|
|
|
|
5
|
|
|
26
|
|
|
|
(43
|
)
|
|
2
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|||||||||||||
Purchases
|
—
|
|
|
|
130
|
|
(8
|
)
|
86
|
|
|
|
80
|
|
|
2
|
|
(8
|
)
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|||||||||||
Settlements
|
(4
|
)
|
|
(3
|
)
|
|
(54
|
)
|
|
(142
|
)
|
|
(2
|
)
|
|
(663
|
)
|
|
—
|
|
|
|
35
|
|
|
|
343
|
|
|
|
168
|
|
|
|
||||||||||||||||
FG VIE consolidations
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
48
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(12
|
)
|
|
(37
|
)
|
|
|
||||||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(194
|
)
|
|
—
|
|
|
—
|
|
|
135
|
|
|
64
|
|
|
||||||||||||||||||||
Fair value as of December 31, 2013
|
$
|
36
|
|
|
|
$
|
136
|
|
|
$
|
290
|
|
|
|
$
|
268
|
|
|
$
|
2
|
|
|
$
|
2,565
|
|
|
|
$
|
46
|
|
|
|
$
|
(1,693
|
)
|
|
$
|
(1,790
|
)
|
|
$
|
(1,081
|
)
|
|
||||||
Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2013
|
$
|
14
|
|
|
$
|
5
|
|
|
$
|
27
|
|
|
$
|
(20
|
)
|
|
$
|
2
|
|
|
$
|
623
|
|
|
$
|
10
|
|
|
$
|
(139
|
)
|
|
$
|
(169
|
)
|
|
$
|
(326
|
)
|
|
|
Fixed-Maturity Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||
|
Obligations of state and political subdivisions
|
|
RMBS
|
|
Asset Backed Securities
|
|
Other
Invested Assets |
|
FG VIEs’
Assets at Fair Value |
|
Other
Assets |
|
Credit
Derivative Asset (Liability), net(5) |
|
FG VIEs’ Liabilities
with Recourse, at Fair Value |
|
FG VIEs’ Liabilities
without Recourse, at Fair Value |
|
||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||||||
Fair value as of December 31, 2011
|
$
|
10
|
|
|
$
|
134
|
|
|
|
$
|
235
|
|
|
$
|
2
|
|
|
$
|
2,819
|
|
|
|
$
|
54
|
|
|
$
|
(1,304
|
)
|
|
|
$
|
(2,397
|
)
|
|
(1,061
|
)
|
|
||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Net income (loss)
|
1
|
|
(2
|
)
|
11
|
|
(2
|
)
|
29
|
|
(2
|
)
|
0
|
|
(7
|
)
|
399
|
|
(3
|
)
|
(18
|
)
|
(4
|
)
|
(585
|
)
|
(6
|
)
|
(276
|
)
|
(3
|
)
|
(195
|
)
|
(3
|
)
|
||||||||
Other comprehensive income (loss)
|
(10
|
)
|
|
16
|
|
|
|
30
|
|
|
(1
|
)
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||||
Purchases
|
34
|
|
|
108
|
|
|
|
40
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||||
Settlements
|
—
|
|
|
(50
|
)
|
|
(28
|
)
|
|
—
|
|
|
(545
|
)
|
|
—
|
|
|
96
|
|
|
|
519
|
|
|
|
205
|
|
|
|
||||||||||||||
FG VIE consolidations
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
15
|
|
|
|
—
|
|
|
—
|
|
|
|
(18
|
)
|
|
—
|
|
|
|
|||||||||||||
FG VIE elimination
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
82
|
|
|
—
|
|
|
|||||||||||||||||
Fair value as of December 31, 2012
|
$
|
35
|
|
|
$
|
219
|
|
|
|
$
|
306
|
|
|
$
|
1
|
|
|
$
|
2,688
|
|
|
|
$
|
36
|
|
|
$
|
(1,793
|
)
|
|
|
$
|
(2,090
|
)
|
|
(1,051
|
)
|
|
||||||
Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2012
|
$
|
(10
|
)
|
|
$
|
11
|
|
|
$
|
33
|
|
|
$
|
(1
|
)
|
|
$
|
674
|
|
|
$
|
(18
|
)
|
|
$
|
(480
|
)
|
|
$
|
(608
|
)
|
|
50
|
|
|
(1)
|
Realized and unrealized gains (losses) from changes in values of Level 3 financial instruments represent gains (losses) from changes in values of those financial instruments only for the periods in which the instruments were classified as Level 3.
|
(2)
|
Included in net realized investment gains (losses) and net investment income.
|
(3)
|
Included in fair value gains (losses) on FG VIEs.
|
(4)
|
Recorded in fair value gains (losses) on CCS.
|
(5)
|
Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure.
|
(6)
|
Reported in net change in fair value of credit derivatives.
|
(7)
|
Reported in other income.
|
(8)
|
Non cash transaction.
|
Financial Instrument Description
|
|
Fair Value at December 31, 2013(in millions)
|
|
Valuation
Technique |
|
Significant Unobservable Inputs
|
|
Range
|
||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|||
Obligations of state and political subdivisions
|
|
$
|
36
|
|
|
Discounted
|
|
Rate of inflation
|
|
1.0
|
%
|
-
|
3.0%
|
|
|
|
cash flow
|
|
Cash flow receipts
|
0.5
|
%
|
-
|
60.9%
|
||||||
|
|
|
|
Discount rates
|
4.6
|
%
|
|
9.0%
|
||||||
|
|
|
|
Collateral recovery period
|
1 month
|
|
-
|
10 years
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Corporate securities
|
|
136
|
|
|
Discounted
|
|
Yield
|
|
8.3%
|
|||||
|
|
cash flow
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
RMBS
|
|
290
|
|
|
Discounted
|
|
CPR
|
|
1.0
|
%
|
-
|
15.8%
|
||
|
|
cash flow
|
|
CDR
|
|
5.0
|
%
|
-
|
25.8%
|
|||||
|
|
|
|
Severity
|
|
48.1
|
%
|
-
|
102.5%
|
|||||
|
|
|
|
Yield
|
|
2.5
|
%
|
-
|
9.4%
|
|||||
Asset-backed securities:
|
|
|
|
|
|
|
|
|
|
|
||||
Investor owned utility
|
|
141
|
|
|
Discounted cash flow
|
|
Liquidation value (in millions)
|
|
|
$195
|
|
-
|
$245
|
|
|
|
|
Years to liquidation
|
|
0 years
|
|
-
|
3 years
|
||||||
|
|
|
Collateral recovery period
|
|
12 months
|
|
|
6 years
|
||||||
|
|
|
Discount factor
|
|
15.3%
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
XXX life insurance transactions
|
|
127
|
|
|
Discounted
|
|
Yield
|
|
12.5%
|
|||||
|
|
cash flow
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Other invested assets
|
|
8
|
|
|
Discounted cash flow
|
|
Discount for lack of liquidity
|
|
10.0
|
%
|
-
|
20.0%
|
||
|
|
|
Recovery on delinquent loans
|
|
20.0
|
%
|
-
|
60.0%
|
||||||
|
|
|
Default rates
|
|
1.0
|
%
|
-
|
10.0%
|
||||||
|
|
|
Loss severity
|
|
40.0
|
%
|
-
|
90.0%
|
||||||
|
|
|
Prepayment speeds
|
|
6.0
|
%
|
-
|
15.0%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
FG VIEs’ assets, at fair value
|
|
2,565
|
|
|
Discounted
|
|
CPR
|
|
0.3
|
%
|
-
|
11.8%
|
||
|
|
cash flow
|
|
CDR
|
|
3.0
|
%
|
-
|
25.8%
|
|||||
|
|
|
|
Loss severity
|
|
37.5
|
%
|
-
|
102.0%
|
|||||
|
|
|
|
Yield
|
|
3.5
|
%
|
-
|
10.2%
|
Financial Instrument Description
|
|
Fair Value at
December 31, 2013 (in millions) |
|
Valuation
Technique |
|
Significant Unobservable Inputs
|
|
Range
|
||||
Other assets
|
|
46
|
|
|
Discounted cash flow
|
|
Quotes from third party pricing
|
|
$47
|
-
|
$53
|
|
|
|
|
|
Term (years)
|
|
5 years
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivative liabilities, net
|
|
(1,693
|
)
|
|
Discounted
|
|
Year 1 loss estimates
|
|
0.0
|
%
|
-
|
48.0%
|
|
|
|
cash flow
|
|
Hedge cost (in bps)
|
|
46.3
|
|
-
|
525.0
|
||
|
|
|
|
|
Bank profit (in bps)
|
|
1.0
|
|
-
|
1,418.5
|
||
|
|
|
|
|
Internal floor (in bps)
|
|
7.0
|
|
-
|
100.0
|
||
|
|
|
|
|
Internal credit rating
|
|
AAA
|
|
-
|
BIG
|
||
|
|
|
|
|
|
|
|
|
|
|
||
FG VIEs’ liabilities, at fair value
|
|
(2,871
|
)
|
|
Discounted
|
|
CPR
|
|
0.3
|
%
|
-
|
11.8%
|
|
|
cash flow
|
|
CDR
|
|
3.0
|
%
|
-
|
25.8%
|
|||
|
|
|
|
Loss severity
|
|
37.5
|
%
|
-
|
102.0%
|
|||
|
|
|
|
Yield
|
|
3.5
|
%
|
-
|
10.2%
|
Financial Instrument Description
|
|
Fair Value at December 31, 2012(in millions)
|
|
Valuation
Technique |
|
Significant Unobservable Inputs
|
|
Range
|
||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|||
Obligations of state and political subdivisions
|
|
$
|
35
|
|
|
Discounted
|
|
Rate of inflation
|
|
1.0
|
%
|
-
|
3.0%
|
|
|
|
cash flow
|
|
Cash flow receipts
|
4.9
|
%
|
-
|
85.8%
|
||||||
|
|
|
|
Discount rates
|
4.3
|
%
|
|
9.0%
|
||||||
|
|
|
|
Collateral recovery period
|
1 month
|
|
-
|
43 years
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
RMBS
|
|
219
|
|
|
Discounted
|
|
CPR
|
|
0.8
|
%
|
-
|
7.5%
|
||
|
|
cash flow
|
|
CDR
|
|
4.4
|
%
|
-
|
28.6%
|
|||||
|
|
|
|
Severity
|
|
48.1
|
%
|
-
|
102.8%
|
|||||
|
|
|
|
Yield
|
|
3.5
|
%
|
-
|
12.8%
|
|||||
Asset-backed securities:
|
|
|
|
|
|
|
|
|
|
|
||||
Whole business securitization
|
|
63
|
|
|
Discounted cash flow
|
|
Annual gross revenue projections (in millions)
|
|
|
$54
|
|
-
|
$96
|
|
|
|
|
Value of primary financial guaranty policy
|
|
43.8%
|
|||||||||
|
|
|
Liquidity discount
|
|
5.0
|
%
|
-
|
20.0%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Investor owned utility
|
|
186
|
|
|
Discounted cash flow
|
|
Liquidation value (in millions)
|
|
|
$212
|
|
-
|
$242
|
|
|
|
|
Years to liquidation
|
|
0 years
|
|
-
|
3 years
|
||||||
|
|
|
Discount factor
|
|
15.3%
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
XXX life insurance transactions
|
|
57
|
|
|
Discounted
|
|
Yield
|
|
12.5%
|
|||||
|
|
cash flow
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Other invested assets
|
|
8
|
|
|
Discounted cash flow
|
|
Discount for lack of liquidity
|
|
10.0
|
%
|
-
|
20.0%
|
||
|
|
|
Recovery on delinquent loans
|
|
20.0
|
%
|
-
|
60.0%
|
||||||
|
|
|
Default rates
|
|
1.0
|
%
|
-
|
12.0%
|
||||||
|
|
|
Loss severity
|
|
40.0
|
%
|
-
|
90.0%
|
||||||
|
|
|
Prepayment speeds
|
|
6.0
|
%
|
-
|
15.0%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
FG VIEs’ assets, at fair value
|
|
2,688
|
|
|
Discounted
|
|
CPR
|
|
0.5
|
%
|
-
|
10.9%
|
||
|
|
cash flow
|
|
CDR
|
|
3.0
|
%
|
-
|
28.6%
|
|||||
|
|
|
|
Loss severity
|
|
37.5
|
%
|
-
|
103.8%
|
|||||
|
|
|
|
Yield
|
|
4.5
|
%
|
-
|
20.0%
|
Financial Instrument Description
|
|
Fair Value at
December 31, 2012 (in millions) |
|
Valuation
Technique |
|
Significant Unobservable Inputs
|
|
Range
|
||||
Other assets
|
|
36
|
|
|
Discounted cash flow
|
|
Quotes from third party pricing
|
|
$38
|
-
|
$51
|
|
|
|
|
|
Term (years)
|
|
3 years
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivative liabilities, net
|
|
(1,793
|
)
|
|
Discounted
|
|
Year 1 loss estimates
|
|
0.0
|
%
|
-
|
58.7%
|
|
|
cash flow
|
|
Hedge cost (in bps)
|
|
64.2
|
|
-
|
678.4
|
|||
|
|
|
|
Bank profit (in bps)
|
|
1.0
|
|
-
|
1,312.9
|
|||
|
|
|
|
Internal floor (in bps)
|
|
7.0
|
|
-
|
60.0
|
|||
|
|
|
|
Internal credit rating
|
|
AAA
|
|
-
|
BIG
|
|||
|
|
|
|
|
|
|
|
|
|
|
||
FG VIEs’ liabilities, at fair value
|
|
(3,141
|
)
|
|
Discounted
|
|
CPR
|
|
0.5
|
%
|
-
|
10.9%
|
|
|
cash flow
|
|
CDR
|
|
3.0
|
%
|
-
|
28.6%
|
|||
|
|
|
|
Loss severity
|
|
37.5
|
%
|
-
|
103.8%
|
|||
|
|
|
|
Yield
|
|
4.5
|
%
|
-
|
20.0%
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
||||||||||||
|
Carrying
Amount
|
|
Estimated
Fair Value
|
|
Carrying
Amount
|
|
Estimated
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Fixed-maturity securities
|
$
|
9,711
|
|
|
$
|
9,711
|
|
|
$
|
10,056
|
|
|
$
|
10,056
|
|
Short-term investments
|
904
|
|
|
904
|
|
|
817
|
|
|
817
|
|
||||
Other invested assets
|
147
|
|
|
155
|
|
|
177
|
|
|
182
|
|
||||
Credit derivative assets
|
94
|
|
|
94
|
|
|
141
|
|
|
141
|
|
||||
FG VIEs’ assets, at fair value
|
2,565
|
|
|
2,565
|
|
|
2,688
|
|
|
2,688
|
|
||||
Other assets
|
179
|
|
|
179
|
|
|
166
|
|
|
166
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Financial guaranty insurance contracts(1)
|
3,783
|
|
|
5,128
|
|
|
3,918
|
|
|
6,537
|
|
||||
Long-term debt
|
816
|
|
|
970
|
|
|
836
|
|
|
1,091
|
|
||||
Credit derivative liabilities
|
1,787
|
|
|
1,787
|
|
|
1,934
|
|
|
1,934
|
|
||||
FG VIEs’ liabilities with recourse, at fair value
|
1,790
|
|
|
1,790
|
|
|
2,090
|
|
|
2,090
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
1,081
|
|
|
1,081
|
|
|
1,051
|
|
|
1,051
|
|
||||
Other liabilities
|
36
|
|
|
36
|
|
|
47
|
|
|
47
|
|
(1)
|
Carrying amount includes the assets and liabilities related to financial guaranty insurance contract premiums, losses, and salvage and subrogation and other recoverables net of reinsurance.
|
9.
|
Financial Guaranty Contracts Accounted for as Credit Derivatives
|
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||||||||||
Asset Type
|
|
Net Par
Outstanding
|
|
Original
Subordination(1)
|
|
Current
Subordination(1)
|
|
Weighted
Average
Credit
Rating
|
|
Net Par
Outstanding
|
|
Original
Subordination(1)
|
|
Current
Subordination(1)
|
|
Weighted
Average
Credit
Rating
|
||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||||
Pooled corporate obligations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Collateralized loan obligation/collateral bond obligations
|
|
$
|
19,323
|
|
|
32.4
|
%
|
|
34.0
|
%
|
|
AAA
|
|
$
|
29,142
|
|
|
32.8
|
%
|
|
33.3
|
%
|
|
AAA
|
Synthetic investment grade pooled corporate
|
|
9,754
|
|
|
21.6
|
|
|
20.0
|
|
|
AAA
|
|
9,658
|
|
|
21.6
|
|
|
19.7
|
|
|
AAA
|
||
Synthetic high yield pooled corporate
|
|
2,690
|
|
|
47.2
|
|
|
41.1
|
|
|
AAA
|
|
3,626
|
|
|
35.0
|
|
|
30.3
|
|
|
AAA
|
||
TruPS CDOs
|
|
3,554
|
|
|
45.5
|
|
|
32.9
|
|
|
BB+
|
|
4,099
|
|
|
46.5
|
|
|
32.7
|
|
|
BB
|
||
Market value CDOs of corporate obligations
|
|
2,000
|
|
|
24.4
|
|
|
30.5
|
|
|
AAA
|
|
3,595
|
|
|
30.1
|
|
|
32.0
|
|
|
AAA
|
||
Total pooled corporate obligations
|
|
37,321
|
|
|
31.5
|
|
|
30.6
|
|
|
AAA
|
|
50,120
|
|
|
31.7
|
|
|
30.4
|
|
|
AAA
|
||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Option ARM and Alt-A first lien
|
|
2,609
|
|
|
19.2
|
|
|
8.6
|
|
|
BB-
|
|
3,381
|
|
|
20.2
|
|
|
10.4
|
|
|
B+
|
||
Subprime first lien
|
|
2,930
|
|
|
30.5
|
|
|
51.9
|
|
|
AA-
|
|
3,494
|
|
|
29.8
|
|
|
52.6
|
|
|
A+
|
||
Prime first lien
|
|
264
|
|
|
10.9
|
|
|
3.2
|
|
|
CCC
|
|
333
|
|
|
10.9
|
|
|
5.2
|
|
|
B
|
||
Closed end second lien and HELOCs
|
|
23
|
|
|
—
|
|
|
—
|
|
|
B+
|
|
49
|
|
|
—
|
|
|
—
|
|
|
B-
|
||
Total U.S. RMBS
|
|
5,826
|
|
|
24.4
|
|
|
30.1
|
|
|
BBB
|
|
7,257
|
|
|
24.2
|
|
|
30.4
|
|
|
BBB
|
||
CMBS
|
|
3,744
|
|
|
33.5
|
|
|
42.5
|
|
|
AAA
|
|
4,094
|
|
|
33.3
|
|
|
41.8
|
|
|
AAA
|
||
Other
|
|
7,591
|
|
|
—
|
|
|
—
|
|
|
A-
|
|
9,310
|
|
|
—
|
|
|
—
|
|
|
A
|
||
Total
|
|
$
|
54,482
|
|
|
|
|
|
|
|
|
AA+
|
|
$
|
70,781
|
|
|
|
|
|
|
|
|
AA+
|
(1)
|
Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses.
|
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||
Ratings
|
|
Net Par
Outstanding
|
|
% of Total
|
|
Net Par
Outstanding
|
|
% of Total
|
||||||
|
|
(dollars in millions)
|
||||||||||||
AAA
|
|
$
|
38,244
|
|
|
70.2
|
%
|
|
$
|
50,918
|
|
|
71.9
|
%
|
AA
|
|
3,648
|
|
|
6.7
|
|
|
3,083
|
|
|
4.4
|
|
||
A
|
|
3,636
|
|
|
6.7
|
|
|
5,487
|
|
|
7.8
|
|
||
BBB
|
|
4,161
|
|
|
7.6
|
|
|
4,584
|
|
|
6.4
|
|
||
BIG
|
|
4,793
|
|
|
8.8
|
|
|
6,709
|
|
|
9.5
|
|
||
Credit derivative net par outstanding
|
|
$
|
54,482
|
|
|
100.0
|
%
|
|
$
|
70,781
|
|
|
100.0
|
%
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Net credit derivative premiums received and receivable
|
$
|
119
|
|
|
$
|
127
|
|
|
$
|
185
|
|
Net ceding commissions (paid and payable) received and receivable
|
2
|
|
|
1
|
|
|
3
|
|
|||
Realized gains on credit derivatives
|
121
|
|
|
128
|
|
|
188
|
|
|||
Terminations
|
0
|
|
|
(1
|
)
|
|
(23
|
)
|
|||
Net credit derivative losses (paid and payable) recovered and recoverable
|
(163
|
)
|
|
(235
|
)
|
|
(159
|
)
|
|||
Realized gains (losses) and other settlements on credit derivatives
|
(42
|
)
|
|
(108
|
)
|
|
6
|
|
|||
Net change in unrealized gains (losses) on credit derivatives(1)
|
107
|
|
|
(477
|
)
|
|
554
|
|
|||
Net change in fair value of credit derivatives
|
$
|
65
|
|
|
$
|
(585
|
)
|
|
$
|
560
|
|
(1)
|
Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Net par of terminated CDS contracts
|
$
|
4,054
|
|
|
$
|
2,264
|
|
|
$
|
11,543
|
|
Accelerations of credit derivative revenues
|
21
|
|
|
3
|
|
|
25
|
|
|
|
Year Ended December 31,
|
||||||||||
Asset Type
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
(in millions)
|
||||||||||
Pooled corporate obligations
|
|
$
|
(32
|
)
|
|
$
|
59
|
|
|
$
|
39
|
|
U.S. RMBS
|
|
(69
|
)
|
|
(551
|
)
|
|
381
|
|
|||
CMBS
|
|
0
|
|
|
2
|
|
|
11
|
|
|||
Other (1)
|
|
208
|
|
|
13
|
|
|
123
|
|
|||
Total
|
|
$
|
107
|
|
|
$
|
(477
|
)
|
|
$
|
554
|
|
(1)
|
“Other” includes all other U.S. and international asset classes, such as commercial receivables, international infrastructure, international RMBS securities, and pooled infrastructure securities.
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|
As of
December 31, 2011 |
|||
AGC
|
460
|
|
|
678
|
|
|
1,140
|
|
AGM
|
525
|
|
|
536
|
|
|
778
|
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|
As of
December 31, 2011 |
|||
AGC
|
185
|
|
|
270
|
|
|
965
|
|
AGM
|
220
|
|
|
257
|
|
|
538
|
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
||||
|
(in millions)
|
||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads
|
$
|
(3,442
|
)
|
|
$
|
(4,809
|
)
|
Plus: Effect of AGC and AGM credit spreads
|
1,749
|
|
|
3,016
|
|
||
Net fair value of credit derivatives
|
$
|
(1,693
|
)
|
|
$
|
(1,793
|
)
|
|
|
Fair Value of Credit Derivative
Asset (Liability), net
|
|
Present Value of Expected Claim
(Payments) Recoveries(1)
|
||||||||||||
Asset Type
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
||||||||
|
|
(in millions)
|
||||||||||||||
Pooled corporate obligations
|
|
$
|
(30
|
)
|
|
$
|
6
|
|
|
$
|
(35
|
)
|
|
$
|
(16
|
)
|
U.S. RMBS
|
|
(1,308
|
)
|
|
(1,237
|
)
|
|
(147
|
)
|
|
(181
|
)
|
||||
CMBS
|
|
(2
|
)
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
||||
Other
|
|
(353
|
)
|
|
(560
|
)
|
|
43
|
|
|
(85
|
)
|
||||
Total
|
|
$
|
(1,693
|
)
|
|
$
|
(1,793
|
)
|
|
$
|
(139
|
)
|
|
$
|
(282
|
)
|
(1)
|
Represents the expected claim payments (recoveries) in excess of the present value of future installment fees to be received of
$45 million
as of
December 31, 2013
and
$43 million
as of
December 31, 2012
. Includes R&W benefit of
$180 million
as of
December 31, 2013
and
$237 million
as of
December 31, 2012
.
|
Credit Spreads(1)
|
|
Estimated Net
Fair Value
(Pre-Tax)
|
|
Estimated Change
in Gain/(Loss)
(Pre-Tax)
|
||||
|
|
(in millions)
|
||||||
100% widening in spreads
|
|
$
|
(3,499
|
)
|
|
$
|
(1,806
|
)
|
50% widening in spreads
|
|
(2,596
|
)
|
|
(903
|
)
|
||
25% widening in spreads
|
|
(2,145
|
)
|
|
(452
|
)
|
||
10% widening in spreads
|
|
(1,874
|
)
|
|
(181
|
)
|
||
Base Scenario
|
|
(1,693
|
)
|
|
—
|
|
||
10% narrowing in spreads
|
|
(1,527
|
)
|
|
166
|
|
||
25% narrowing in spreads
|
|
(1,276
|
)
|
|
417
|
|
||
50% narrowing in spreads
|
|
(860
|
)
|
|
833
|
|
(1)
|
Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread.
|
10.
|
Consolidation of Variable Interest Entities
|
|
Year Ended December 31,
|
|||||||
|
2013
|
|
2012
|
|
2011
|
|||
|
|
|||||||
Beginning of the year
|
33
|
|
|
33
|
|
|
29
|
|
Consolidated(1)
|
11
|
|
|
2
|
|
|
8
|
|
Deconsolidated(1)
|
(3
|
)
|
|
—
|
|
|
—
|
|
Matured
|
(1
|
)
|
|
(2
|
)
|
|
(4
|
)
|
End of the year
|
40
|
|
|
33
|
|
|
33
|
|
(1)
|
Net loss on consolidation and deconsolidation was
$7 million
in 2013,
$6 million
in 2012 and
$95 million
in 2011, respectively, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations.
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||||||||
|
Number of
FG VIEs
|
|
Assets
|
|
Liabilities
|
|
Number of
FG VIEs
|
|
Assets
|
|
Liabilities
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||||
With recourse:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien
|
25
|
|
|
$
|
630
|
|
|
$
|
791
|
|
|
14
|
|
|
$
|
618
|
|
|
$
|
825
|
|
Second lien
|
14
|
|
|
460
|
|
|
640
|
|
|
16
|
|
|
633
|
|
|
915
|
|
||||
Other
|
1
|
|
|
359
|
|
|
359
|
|
|
3
|
|
|
350
|
|
|
350
|
|
||||
Total with recourse
|
40
|
|
|
1,449
|
|
|
1,790
|
|
|
33
|
|
|
1,601
|
|
|
2,090
|
|
||||
Without recourse
|
—
|
|
|
1,116
|
|
|
1,081
|
|
|
—
|
|
|
1,087
|
|
|
1,051
|
|
||||
Total
|
40
|
|
|
$
|
2,565
|
|
|
$
|
2,871
|
|
|
33
|
|
|
$
|
2,688
|
|
|
$
|
3,141
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Net earned premiums
|
$
|
(60
|
)
|
|
$
|
(153
|
)
|
|
$
|
(75
|
)
|
Net investment income
|
(13
|
)
|
|
(13
|
)
|
|
(8
|
)
|
|||
Net realized investment gains (losses)
|
2
|
|
|
4
|
|
|
12
|
|
|||
Fair value gains (losses) on FG VIEs
|
346
|
|
|
191
|
|
|
(146
|
)
|
|||
Loss and LAE
|
21
|
|
|
65
|
|
|
107
|
|
|||
Total pretax effect on net income
|
296
|
|
|
94
|
|
|
(110
|
)
|
|||
Less: tax provision (benefit)
|
103
|
|
|
32
|
|
|
(38
|
)
|
|||
Total effect on net income (loss)
|
$
|
193
|
|
|
$
|
62
|
|
|
$
|
(72
|
)
|
|
|
|
|
|
|
||||||
Effect of consolidating VIEs on cash flows from operating activities
|
$
|
(136
|
)
|
|
$
|
166
|
|
|
$
|
319
|
|
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
||||
|
(in millions)
|
||||||
Effect on shareholders’ equity (decrease) increase
|
$
|
(172
|
)
|
|
$
|
(348
|
)
|
11.
|
Investments and Cash
|
•
|
assets acquired in refinancing transactions which are primarily comprised of franchise loans that are evaluated for impairment by assessing the probability of collecting expected cash flows with any impairment recorded in realized gain (loss) on investments and any subsequent increases in expected cash flows recorded as an increase in yield over the remaining life,
|
•
|
trading securities, which are carried at fair value with unrealized gains and losses recorded in net income,
|
•
|
a
50%
equity investment acquired in a restructuring of an insured CDS carried at its proportionate share of the underlying entity's U.S. GAAP equity value.
|
•
|
a decline in the market value of a security by
20%
or more below amortized cost for a continuous period of at least six months;
|
•
|
a decline in the market value of a security for a continuous period of
12
months;
|
•
|
recent credit downgrades of the applicable security or the issuer by rating agencies;
|
•
|
the financial condition of the applicable issuer;
|
•
|
whether loss of investment principal is anticipated;
|
•
|
the impact of foreign exchange rates;
|
•
|
whether scheduled interest payments are past due; and
|
•
|
whether the Company has the intent to sell the security prior to its recovery in fair value.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Income from fixed maturity securities managed by third parties
|
$
|
322
|
|
|
$
|
346
|
|
|
$
|
359
|
|
Income from internally managed securities:
|
|
|
|
|
|
||||||
Fixed maturities
|
74
|
|
|
60
|
|
|
39
|
|
|||
Other invested assets
|
5
|
|
|
6
|
|
|
6
|
|
|||
Other
|
0
|
|
|
1
|
|
|
1
|
|
|||
Gross investment income
|
401
|
|
|
413
|
|
|
405
|
|
|||
Investment expenses
|
(8
|
)
|
|
(9
|
)
|
|
(9
|
)
|
|||
Net investment income
|
$
|
393
|
|
|
$
|
404
|
|
|
$
|
396
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Gross realized gains on available-for-sale securities
|
$
|
73
|
|
|
$
|
29
|
|
|
$
|
29
|
|
Gross realized gains on other assets in investment portfolio
|
40
|
|
|
14
|
|
|
8
|
|
|||
Gross realized losses on available-for-sale securities
|
(12
|
)
|
|
(23
|
)
|
|
(6
|
)
|
|||
Gross realized losses on other assets in investment portfolio
|
(7
|
)
|
|
(2
|
)
|
|
(4
|
)
|
|||
Other-than-temporary impairment
|
(42
|
)
|
|
(17
|
)
|
|
(45
|
)
|
|||
Net realized investment gains (losses)
|
$
|
52
|
|
|
$
|
1
|
|
|
$
|
(18
|
)
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Balance, beginning of period
|
$
|
64
|
|
|
$
|
47
|
|
|
$
|
27
|
|
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized
|
18
|
|
|
14
|
|
|
27
|
|
|||
Eliminations of securities issued by FG VIEs
|
—
|
|
|
—
|
|
|
(14
|
)
|
|||
Reductions for securities sold during the period
|
(21
|
)
|
|
—
|
|
|
(6
|
)
|
|||
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized
|
19
|
|
|
3
|
|
|
13
|
|
|||
Balance, end of period
|
$
|
80
|
|
|
$
|
64
|
|
|
$
|
47
|
|
Investment Category
|
|
Percent
of
Total(1)
|
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Estimated
Fair
Value
|
|
AOCI
Gain
(Loss) on
Securities
with
OTTI
|
|
Weighted
Average
Credit
Quality
(3)
|
|||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Obligations of state and political subdivisions
|
|
51
|
%
|
|
$
|
5,153
|
|
|
$
|
489
|
|
|
$
|
(11
|
)
|
|
$
|
5,631
|
|
|
$
|
9
|
|
|
AA
|
U.S. government and agencies
|
|
7
|
|
|
732
|
|
|
62
|
|
|
0
|
|
|
794
|
|
|
—
|
|
|
AA+
|
|||||
Corporate securities
|
|
9
|
|
|
930
|
|
|
80
|
|
|
0
|
|
|
1,010
|
|
|
0
|
|
|
AA-
|
|||||
Mortgage-backed securities(4):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
RMBS
|
|
13
|
|
|
1,281
|
|
|
62
|
|
|
(77
|
)
|
|
1,266
|
|
|
(59
|
)
|
|
A+
|
|||||
CMBS
|
|
5
|
|
|
482
|
|
|
38
|
|
|
0
|
|
|
520
|
|
|
—
|
|
|
AAA
|
|||||
Asset-backed securities
|
|
5
|
|
|
482
|
|
|
59
|
|
|
(10
|
)
|
|
531
|
|
|
43
|
|
|
BIG
|
|||||
Foreign government securities
|
|
2
|
|
|
286
|
|
|
18
|
|
|
0
|
|
|
304
|
|
|
0
|
|
|
AAA
|
|||||
Total fixed maturity securities
|
|
92
|
|
|
9,346
|
|
|
808
|
|
|
(98
|
)
|
|
10,056
|
|
|
(7
|
)
|
|
AA-
|
|||||
Short-term investments
|
|
8
|
|
|
817
|
|
|
0
|
|
|
0
|
|
|
817
|
|
|
—
|
|
|
AAA
|
|||||
Total investment portfolio
|
|
100
|
%
|
|
$
|
10,163
|
|
|
$
|
808
|
|
|
$
|
(98
|
)
|
|
$
|
10,873
|
|
|
$
|
(7
|
)
|
|
AA-
|
(1)
|
Based on amortized cost.
|
(2)
|
Accumulated OCI ("AOCI"). See also Note 21, Other Comprehensive Income.
|
(3)
|
Ratings in the tables above represent the lower of the Moody’s and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company’s portfolio consists primarily of high-quality, liquid instruments.
|
(4)
|
Government-agency obligations were approximately
50%
of mortgage backed securities as of
December 31, 2013
and
61%
as of
December 31, 2012
based on fair value.
|
State
|
|
State
General
Obligation
|
|
Local
General
Obligation
|
|
Revenue Bonds
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Average
Credit
Rating
|
||||||||||
|
|
(in millions)
|
||||||||||||||||||||
Texas
|
|
$
|
77
|
|
|
$
|
299
|
|
|
$
|
277
|
|
|
$
|
653
|
|
|
$
|
629
|
|
|
AA
|
New York
|
|
12
|
|
|
58
|
|
|
519
|
|
|
589
|
|
|
575
|
|
|
AA
|
|||||
California
|
|
32
|
|
|
86
|
|
|
354
|
|
|
472
|
|
|
452
|
|
|
A+
|
|||||
Florida
|
|
33
|
|
|
59
|
|
|
242
|
|
|
334
|
|
|
318
|
|
|
AA-
|
|||||
Illinois
|
|
14
|
|
|
70
|
|
|
156
|
|
|
240
|
|
|
234
|
|
|
A+
|
|||||
Massachusetts
|
|
44
|
|
|
16
|
|
|
147
|
|
|
207
|
|
|
200
|
|
|
AA
|
|||||
Washington
|
|
31
|
|
|
19
|
|
|
153
|
|
|
203
|
|
|
199
|
|
|
AA
|
|||||
Arizona
|
|
—
|
|
|
7
|
|
|
166
|
|
|
173
|
|
|
170
|
|
|
AA
|
|||||
Michigan
|
|
—
|
|
|
28
|
|
|
102
|
|
|
130
|
|
|
125
|
|
|
AA-
|
|||||
Georgia
|
|
13
|
|
|
18
|
|
|
97
|
|
|
128
|
|
|
128
|
|
|
A+
|
|||||
All others
|
|
254
|
|
|
228
|
|
|
943
|
|
|
1,425
|
|
|
1,381
|
|
|
AA-
|
|||||
Total
|
|
$
|
510
|
|
|
$
|
888
|
|
|
$
|
3,156
|
|
|
$
|
4,554
|
|
|
$
|
4,411
|
|
|
AA-
|
State
|
|
State
General
Obligation
|
|
Local
General
Obligation
|
|
Revenue Bonds
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Average
Credit
Rating
|
||||||||||
|
|
(in millions)
|
||||||||||||||||||||
Texas
|
|
$
|
88
|
|
|
$
|
345
|
|
|
$
|
342
|
|
|
$
|
775
|
|
|
$
|
708
|
|
|
AA
|
New York
|
|
22
|
|
|
58
|
|
|
593
|
|
|
673
|
|
|
620
|
|
|
AA
|
|||||
California
|
|
23
|
|
|
77
|
|
|
359
|
|
|
459
|
|
|
425
|
|
|
A+
|
|||||
Florida
|
|
47
|
|
|
50
|
|
|
259
|
|
|
356
|
|
|
319
|
|
|
AA-
|
|||||
Illinois
|
|
15
|
|
|
84
|
|
|
188
|
|
|
287
|
|
|
260
|
|
|
A+
|
|||||
Massachusetts
|
|
42
|
|
|
18
|
|
|
165
|
|
|
225
|
|
|
199
|
|
|
AA
|
|||||
Washington
|
|
33
|
|
|
40
|
|
|
145
|
|
|
218
|
|
|
200
|
|
|
AA
|
|||||
Arizona
|
|
—
|
|
|
8
|
|
|
180
|
|
|
188
|
|
|
171
|
|
|
AA
|
|||||
Georgia
|
|
14
|
|
|
20
|
|
|
108
|
|
|
142
|
|
|
132
|
|
|
A+
|
|||||
Pennsylvania
|
|
68
|
|
|
32
|
|
|
40
|
|
|
140
|
|
|
129
|
|
|
AA-
|
|||||
All others
|
|
229
|
|
|
248
|
|
|
1,195
|
|
|
1,672
|
|
|
1,533
|
|
|
AA
|
|||||
Total
|
|
$
|
581
|
|
|
$
|
980
|
|
|
$
|
3,574
|
|
|
$
|
5,135
|
|
|
$
|
4,696
|
|
|
AA-
|
(1)
|
Excludes $
525 million
and $
496 million
as of December 31, 2013 and 2012, respectively, of pre-refunded bonds. The credit ratings are based on the underlying ratings and do not include any benefit from bond insurance.
|
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||
Type
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
||||||||
|
|
(in millions)
|
||||||||||||||
Tax backed
|
|
$
|
708
|
|
|
$
|
686
|
|
|
$
|
720
|
|
|
$
|
656
|
|
Transportation
|
|
642
|
|
|
615
|
|
|
717
|
|
|
646
|
|
||||
Municipal utilities
|
|
500
|
|
|
482
|
|
|
567
|
|
|
519
|
|
||||
Water and sewer
|
|
459
|
|
|
453
|
|
|
567
|
|
|
520
|
|
||||
Higher education
|
|
358
|
|
|
353
|
|
|
430
|
|
|
389
|
|
||||
Healthcare
|
|
289
|
|
|
281
|
|
|
323
|
|
|
296
|
|
||||
All others
|
|
200
|
|
|
192
|
|
|
250
|
|
|
247
|
|
||||
Total
|
|
$
|
3,156
|
|
|
$
|
3,062
|
|
|
$
|
3,574
|
|
|
$
|
3,273
|
|
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
||||||||||||||||||
|
Fair
value
|
|
Unrealized
loss
|
|
Fair
value
|
|
Unrealized
loss
|
|
Fair
value
|
|
Unrealized
loss
|
||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Obligations of state and political subdivisions
|
$
|
781
|
|
|
$
|
(39
|
)
|
|
$
|
5
|
|
|
$
|
0
|
|
|
$
|
786
|
|
|
$
|
(39
|
)
|
U.S. government and agencies
|
173
|
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
173
|
|
|
(6
|
)
|
||||||
Corporate securities
|
401
|
|
|
(18
|
)
|
|
3
|
|
|
0
|
|
|
404
|
|
|
(18
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
RMBS
|
414
|
|
|
(21
|
)
|
|
186
|
|
|
(51
|
)
|
|
600
|
|
|
(72
|
)
|
||||||
CMBS
|
121
|
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
121
|
|
|
(4
|
)
|
||||||
Asset-backed securities
|
196
|
|
|
(2
|
)
|
|
42
|
|
|
(5
|
)
|
|
238
|
|
|
(7
|
)
|
||||||
Foreign government securities
|
54
|
|
|
(1
|
)
|
|
1
|
|
|
0
|
|
|
55
|
|
|
(1
|
)
|
||||||
Total
|
$
|
2,140
|
|
|
$
|
(91
|
)
|
|
$
|
237
|
|
|
$
|
(56
|
)
|
|
$
|
2,377
|
|
|
$
|
(147
|
)
|
Number of securities
|
|
|
|
425
|
|
|
|
|
|
33
|
|
|
|
|
|
458
|
|
||||||
Number of securities with OTTI
|
|
|
|
13
|
|
|
|
|
|
11
|
|
|
|
|
|
24
|
|
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
||||||||||||||||||
|
Fair
value
|
|
Unrealized
loss
|
|
Fair
value
|
|
Unrealized
loss
|
|
Fair
value
|
|
Unrealized
loss
|
||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Obligations of state and political subdivisions
|
$
|
79
|
|
|
$
|
(11
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
79
|
|
|
$
|
(11
|
)
|
U.S. government and agencies
|
62
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
62
|
|
|
0
|
|
||||||
Corporate securities
|
25
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
25
|
|
|
0
|
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
RMBS
|
108
|
|
|
(19
|
)
|
|
121
|
|
|
(58
|
)
|
|
229
|
|
|
(77
|
)
|
||||||
CMBS
|
5
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
5
|
|
|
0
|
|
||||||
Asset-backed securities
|
16
|
|
|
0
|
|
|
35
|
|
|
(10
|
)
|
|
51
|
|
|
(10
|
)
|
||||||
Foreign government securities
|
8
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|
0
|
|
||||||
Total
|
$
|
303
|
|
|
$
|
(30
|
)
|
|
$
|
156
|
|
|
$
|
(68
|
)
|
|
$
|
459
|
|
|
$
|
(98
|
)
|
Number of securities
|
|
|
|
58
|
|
|
|
|
|
16
|
|
|
|
|
|
74
|
|
||||||
Number of securities with OTTI
|
|
|
|
5
|
|
|
|
|
|
6
|
|
|
|
|
|
11
|
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||
|
(in millions)
|
||||||
Due within one year
|
$
|
272
|
|
|
$
|
275
|
|
Due after one year through five years
|
1,662
|
|
|
1,734
|
|
||
Due after five years through 10 years
|
2,420
|
|
|
2,505
|
|
||
Due after 10 years
|
3,438
|
|
|
3,526
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,160
|
|
|
1,122
|
|
||
CMBS
|
536
|
|
|
549
|
|
||
Total
|
$
|
9,488
|
|
|
$
|
9,711
|
|
|
As of December 31,
|
||||||
|
2013
|
|
2012
|
||||
|
(in millions)
|
||||||
Assets purchased for loss mitigation purposes:
|
|
|
|
||||
Fixed maturity securities:
|
|
|
|
||||
Obligations of state and political subdivisions
|
$
|
28
|
|
|
$
|
23
|
|
RMBS
|
284
|
|
|
213
|
|
||
Asset-backed securities
|
127
|
|
|
120
|
|
||
Other invested assets
|
47
|
|
|
72
|
|
||
Other risk management assets:
|
|
|
|
||||
Fixed maturity securities:
|
|
|
|
||||
Obligations of state and political subdivisions
|
8
|
|
|
12
|
|
||
Corporate Securities
|
136
|
|
|
—
|
|
||
RMBS
|
37
|
|
|
6
|
|
||
Asset-backed securities
|
141
|
|
|
186
|
|
||
Other
|
35
|
|
|
49
|
|
||
Trading portfolio (other invested assets)
|
88
|
|
|
91
|
|
||
Total
|
$
|
931
|
|
|
$
|
772
|
|
12.
|
Insurance Company Regulatory Requirements
|
•
|
acquisition costs on upfront premiums are charged to operations as incurred rather than over the period that related premiums are earned;
|
•
|
certain assets designated as “non-admitted assets” are charged directly to statutory surplus but are reflected as assets under GAAP;
|
•
|
insured CDS are accounted for as insurance contracts rather than as derivative contracts recorded at fair value;
|
•
|
loss and loss adjustment expenses include those relating to credit default swaps, which are treated as insurance contracts. Loss reserves on non derivative contracts are net of unearned premium, which is offset by deferred acquisition costs, rather than only unearned premium. Loss reserves on insured CDS are not net of unearned premium. Additionally loss reserves include a statutory reserve which includes a discount safety margin and statutory catastrophe reserve.
|
•
|
upfront premiums are earned when related principal and interest have expired rather than earned over the expected period of coverage;
|
•
|
acquisition costs are charged to expense as incurred rather than over the period that related premiums are earned;
|
•
|
a contingency reserve is computed based on statutory requirements;
|
•
|
certain assets designated as “non-admitted assets” are charged directly to statutory surplus but are reflected as assets under GAAP;
|
•
|
investments in subsidiaries are carried on the balance sheet on the equity basis, to the extent admissible, rather than consolidated with the parent;
|
•
|
the amount of deferred tax assets that may be admitted is subject to an adjusted surplus threshold and is generally limited to the lesser of those assets the Company expects to realize within three years of the balance sheet date or fifteen percent of the Company's adjusted surplus. This realization period and surplus percentage is subject to change based on the amount of adjusted surplus;
|
•
|
insured CDS are accounted for as insurance contracts rather than as derivative contracts recorded at fair value;
|
•
|
bonds are generally carried at amortized cost rather than fair value;
|
•
|
VIEs and refinancing vehicles are not consolidated;
|
•
|
surplus notes are recognized as surplus rather than as a liability and each payment of principal and interest is recorded only upon approval of the insurance regulator;
|
•
|
push-down acquisition accounting is not applicable under statutory accounting practices;
|
•
|
present value of expected losses are discounted at
5%
, recorded when the loss is deemed probable and recorded without consideration of the deferred premium revenue as opposed to discounted at the risk free rate at the end of each reporting period and only to the extent they exceed deferred premium revenue;
|
•
|
present value of installment premiums and commissions are not recorded on the balance sheets.
|
|
Policyholders' Surplus
|
|
Net Income (Loss)
|
||||||||||||||||
|
As of December 31,
|
|
Year Ended December 31,
|
||||||||||||||||
|
2013
|
|
2012
|
|
2013
|
|
2012
|
|
2011
|
||||||||||
|
(in millions)
|
||||||||||||||||||
U.S. statutory companies:
|
|
|
|
|
|
|
|
|
|
||||||||||
MAC
|
$
|
514
|
|
|
$
|
77
|
|
|
$
|
26
|
|
|
$
|
1
|
|
|
$
|
0
|
|
AGC
|
693
|
|
|
905
|
|
|
211
|
|
|
31
|
|
|
230
|
|
|||||
AGM:
|
|
|
|
|
|
|
|
|
|
||||||||||
AGM stand-alone
|
1,733
|
|
|
1,780
|
|
|
340
|
|
|
203
|
|
|
399
|
|
|||||
Assured Guaranty Municipal Insurance Company
|
—
|
|
|
791
|
|
|
—
|
|
|
58
|
|
|
197
|
|
|||||
AGM consolidated(1)
|
1,746
|
|
|
1,785
|
|
|
405
|
|
|
256
|
|
|
632
|
|
|||||
Bermuda statutory company:
|
|
|
|
|
|
|
|
|
|
||||||||||
AG Re
|
1,122
|
|
|
1,283
|
|
|
107
|
|
|
117
|
|
|
133
|
|
(1)
|
Represents the consolidated amounts of AGM and all of its U.S. and foreign subsidiaries.
|
•
|
The AGM Group may reassume
33%
of a contingency reserve base of approximately
$250 million
(the “NY Contingency Reserve Base”) in 2013, after July 16, 2013, the date on which the transactions for the capitalization of MAC were completed (the “Closing Date”).
|
•
|
The AGM Group may reassume
50%
of the NY Contingency Reserve Base in 2014, no earlier than the one year anniversary of the Closing Date, with the prior approval of the NYSDFS.
|
•
|
The AGM Group may reassume the remaining
17%
of the NY Contingency Reserve Base in 2015, no earlier than the two year anniversary of the Closing Date, with the prior approval of the NYSDFS.
|
•
|
AGC may reassume
33%
of a contingency reserve base of approximately
$267 million
(the “MD Contingency Reserve Base”) in 2013, after the Closing Date.
|
•
|
AGC may reassume
50%
of the MD Contingency Reserve Base in 2014, no earlier than the one year anniversary of the Closing Date, with the prior approval of the Maryland Insurance Administration (the "MIA") and the NY DFS.
|
•
|
AGC may reassume the remaining
17%
of the MD Contingency Reserve Base in 2015, no earlier than the two year anniversary of the Closing Date, with the prior approval of the MIA and the NYSDFS.
|
•
|
Dividends shall not exceed outstanding statutory surplus, which is
$278 million
.
|
•
|
Dividends on an annual basis shall not exceed
25%
of its total statutory capital and statutory surplus (as set out in its previous year's financial statements), which is
$281 million
, unless it files (at least
seven
days before payment of such dividends) with the Bermuda Monetary Authority an affidavit stating that it will continue to meet the required margins.
|
•
|
Capital distributions on an annual basis shall not exceed
15%
of its total statutory capital (as set out in its previous year's financial statements), which is
$126 million
, unless approval is granted by the Bermuda Monetary Authority.
|
•
|
Dividends are limited by requirements that the subject company must at all times (i) maintain the minimum solvency margin and the Company's applicable enhanced capital requirements required under the Insurance Act of 1978 and (ii) have relevant assets in an amount at least equal to
75%
of relevant liabilities, both as defined under the Insurance Act of 1978.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Dividends paid by AGC to AGUS
|
$
|
67
|
|
|
$
|
55
|
|
|
$
|
30
|
|
Dividends paid by AGM to AGMH
|
163
|
|
|
30
|
|
|
—
|
|
|||
Dividends paid by AG Re to AGL
|
144
|
|
|
151
|
|
|
86
|
|
|||
Repayment of surplus note by AGM to AGMH
|
50
|
|
|
50
|
|
|
50
|
|
|||
Issuance of surplus notes by MAC to AGM and MAC Holdings
|
(400
|
)
|
|
—
|
|
|
—
|
|
13.
|
Income Taxes
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions
|
$
|
390
|
|
|
$
|
76
|
|
|
$
|
313
|
|
Tax-exempt interest
|
(57
|
)
|
|
(61
|
)
|
|
(62
|
)
|
|||
Change in liability for uncertain tax positions
|
(2
|
)
|
|
2
|
|
|
2
|
|
|||
Other
|
3
|
|
|
5
|
|
|
3
|
|
|||
Total provision (benefit) for income taxes
|
$
|
334
|
|
|
$
|
22
|
|
|
$
|
256
|
|
Effective tax rate
|
29.2
|
%
|
|
16.5
|
%
|
|
24.9
|
%
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
United States
|
$
|
1,389
|
|
|
$
|
875
|
|
|
$
|
1,504
|
|
Bermuda
|
219
|
|
|
79
|
|
|
301
|
|
|||
U.K.
|
0
|
|
|
0
|
|
|
0
|
|
|||
Total
|
$
|
1,608
|
|
|
$
|
954
|
|
|
$
|
1,805
|
|
|
As of December 31,
|
||||||
|
2013
|
|
2012
|
||||
|
(in millions)
|
||||||
Deferred tax assets:
|
|
|
|
||||
Unrealized losses on credit derivative financial instruments, net
|
$
|
402
|
|
|
$
|
425
|
|
Unearned premium reserves, net
|
63
|
|
|
109
|
|
||
Loss and LAE reserve
|
134
|
|
|
90
|
|
||
Tax and loss bonds
|
33
|
|
|
15
|
|
||
Net operating loss ("NOL") carry forward
|
5
|
|
|
7
|
|
||
Alternative minimum tax credit
|
90
|
|
|
58
|
|
||
Tax basis step-up
|
5
|
|
|
5
|
|
||
Foreign tax credit
|
37
|
|
|
30
|
|
||
FG VIEs
|
29
|
|
|
179
|
|
||
DAC
|
40
|
|
|
59
|
|
||
Investment basis difference
|
73
|
|
|
82
|
|
||
Other
|
64
|
|
|
48
|
|
||
Total deferred income tax assets
|
975
|
|
|
1,107
|
|
||
Deferred tax liabilities:
|
|
|
|
||||
Contingency reserves
|
47
|
|
|
15
|
|
||
Public debt
|
98
|
|
|
100
|
|
||
Unrealized appreciation on investments
|
68
|
|
|
198
|
|
||
Unrealized gains on CCS
|
16
|
|
|
12
|
|
||
Market discount
|
24
|
|
|
42
|
|
||
Other
|
34
|
|
|
19
|
|
||
Total deferred income tax liabilities
|
287
|
|
|
386
|
|
||
Net deferred income tax asset
|
$
|
688
|
|
|
$
|
721
|
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Balance as of January 1,
|
$
|
22
|
|
|
$
|
20
|
|
|
$
|
18
|
|
True-up from tax return filings
|
4
|
|
|
—
|
|
|
—
|
|
|||
Increase in unrecognized tax benefits as a result of position taken during the current period
|
3
|
|
|
2
|
|
|
2
|
|
|||
Decrease due to closing of IRS audit
|
(9
|
)
|
|
—
|
|
|
—
|
|
|||
Balance as of December 31,
|
$
|
20
|
|
|
$
|
22
|
|
|
$
|
20
|
|
14.
|
Reinsurance and Other Monoline Exposures
|
•
|
if the Company fails to meet certain financial and regulatory criteria and to maintain a specified minimum financial strength rating, or
|
•
|
upon certain changes of control of the Company.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Increase (decrease) in net unearned premium reserve
|
$
|
11
|
|
|
$
|
109
|
|
|
$
|
(20
|
)
|
Increase (decrease) in net par outstanding
|
151
|
|
|
19,173
|
|
|
(780
|
)
|
|
Year Ended December 31,
|
|||||||||
|
2013
|
|
2012
|
|
2011
|
|||||
|
(in millions)
|
|||||||||
Premiums Written:
|
|
|
|
|
|
|||||
Direct
|
$
|
106
|
|
|
$
|
244
|
|
|
190
|
|
Assumed(1)
|
17
|
|
|
9
|
|
|
(63
|
)
|
||
Ceded(2)
|
2
|
|
|
51
|
|
|
4
|
|
||
Net
|
$
|
125
|
|
|
$
|
304
|
|
|
131
|
|
Premiums Earned:
|
|
|
|
|
|
|||||
Direct
|
$
|
819
|
|
|
$
|
936
|
|
|
997
|
|
Assumed
|
40
|
|
|
50
|
|
|
46
|
|
||
Ceded
|
(107
|
)
|
|
(133
|
)
|
|
(123
|
)
|
||
Net
|
$
|
752
|
|
|
$
|
853
|
|
|
920
|
|
Loss and LAE:
|
|
|
|
|
|
|||||
Direct
|
$
|
110
|
|
|
$
|
636
|
|
|
564
|
|
Assumed
|
73
|
|
|
(4
|
)
|
|
4
|
|
||
Ceded
|
(29
|
)
|
|
(128
|
)
|
|
(120
|
)
|
||
Net
|
$
|
154
|
|
|
$
|
504
|
|
|
448
|
|
(1)
|
Negative assumed premiums written were due to cancellations and changes in expected Debt Service schedules.
|
(2)
|
Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules.
|
|
|
Ratings at
|
|
Par Outstanding
|
||||||||||||
|
|
February 24, 2014
|
|
As of December 31, 2013
|
||||||||||||
Reinsurer
|
|
Moody’s
Reinsurer
Rating
|
|
S&P
Reinsurer
Rating
|
|
Ceded Par
Outstanding(1)
|
|
Second-to-
Pay Insured
Par
Outstanding
|
|
Assumed Par
Outstanding
|
||||||
|
|
(dollars in millions)
|
||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
|
WR (2)
|
|
WR
|
|
$
|
8,331
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”)
|
|
Aa3 (3)
|
|
AA- (3)
|
|
7,279
|
|
|
—
|
|
|
—
|
|
|||
Radian
|
|
Ba1
|
|
B+
|
|
4,709
|
|
|
38
|
|
|
1,082
|
|
|||
Syncora Guarantee Inc.
|
|
WR
|
|
WR
|
|
4,201
|
|
|
1,771
|
|
|
162
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd.
|
|
A1
|
|
A+ (3)
|
|
2,144
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
809
|
|
|
5
|
|
|
9
|
|
|||
Swiss Reinsurance Co.
|
|
Aa3
|
|
AA-
|
|
346
|
|
|
—
|
|
|
—
|
|
|||
Ambac (4)
|
|
WR
|
|
WR
|
|
85
|
|
|
6,118
|
|
|
17,859
|
|
|||
CIFG Assurance North America Inc. ("CIFG")
|
|
WR
|
|
WR
|
|
2
|
|
|
178
|
|
|
5,048
|
|
|||
MBIA Inc.
|
|
(4)
|
|
(4)
|
|
—
|
|
|
10,292
|
|
|
7,386
|
|
|||
Financial Guaranty Insurance Co.
|
|
WR
|
|
WR
|
|
—
|
|
|
2,329
|
|
|
1,315
|
|
|||
Other
|
|
Various
|
|
Various
|
|
882
|
|
|
2,099
|
|
|
46
|
|
|||
Total
|
|
|
|
|
|
$
|
28,788
|
|
|
$
|
22,830
|
|
|
$
|
32,937
|
|
(1)
|
Includes $
3,172 million
in ceded par outstanding related to insured credit derivatives.
|
(4)
|
MBIA Inc. includes various subsidiaries which are rated A and B by S&P and Baa1, B1 and B3 by Moody’s. Ambac includes policies in their general and segregated account.
|
(5)
|
Represents “Not Rated.”
|
|
|
Internal Credit Rating
|
|||||||||||||||||||||||
Reinsurer
|
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
Total
|
||||||||||||
|
|
(in millions)
|
|||||||||||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
|
$
|
967
|
|
|
$
|
2,871
|
|
|
$
|
2,605
|
|
|
$
|
1,327
|
|
|
$
|
561
|
|
|
$
|
8,331
|
|
|
Tokio
|
|
1,127
|
|
|
1,122
|
|
|
2,291
|
|
|
1,793
|
|
|
946
|
|
|
7,279
|
|
|||||||
Radian
|
|
235
|
|
|
296
|
|
|
2,365
|
|
|
1,241
|
|
|
572
|
|
|
4,709
|
|
|||||||
Syncora Guarantee Inc.
|
|
—
|
|
|
223
|
|
|
764
|
|
|
2,334
|
|
|
880
|
|
|
4,201
|
|
|||||||
Mitsui Sumitomo Insurance Co. Ltd.
|
|
146
|
|
|
692
|
|
|
868
|
|
|
232
|
|
|
206
|
|
|
2,144
|
|
|||||||
ACA Financial Guaranty Corp
|
|
—
|
|
|
465
|
|
|
324
|
|
|
20
|
|
|
—
|
|
|
809
|
|
|||||||
Swiss Reinsurance Co.
|
|
—
|
|
|
2
|
|
|
241
|
|
|
27
|
|
|
76
|
|
|
346
|
|
|||||||
Ambac
|
|
—
|
|
|
—
|
|
|
85
|
|
|
—
|
|
|
—
|
|
|
85
|
|
|||||||
CIFG
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
2
|
|
|||||||
Other
|
|
—
|
|
|
93
|
|
|
751
|
|
|
38
|
|
|
—
|
|
|
882
|
|
|||||||
Total
|
|
$
|
2,475
|
|
|
$
|
5,764
|
|
|
$
|
10,294
|
|
|
$
|
7,014
|
|
|
$
|
3,241
|
|
|
$
|
28,788
|
|
|
Public Finance
|
|
Structured Finance
|
||||||||||||||||||||||||||||||||||||||||
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
Total
|
||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||
Radian
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
13
|
|
|
$
|
17
|
|
|
$
|
8
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
38
|
|
Syncora Guarantee Inc.
|
—
|
|
|
25
|
|
|
369
|
|
|
771
|
|
|
301
|
|
|
77
|
|
|
56
|
|
|
—
|
|
|
—
|
|
|
172
|
|
|
1,771
|
|
|||||||||||
ACA Financial Guaranty Corp.
|
—
|
|
|
3
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5
|
|
|||||||||||
Ambac
|
30
|
|
|
1,366
|
|
|
3,157
|
|
|
1,020
|
|
|
81
|
|
|
2
|
|
|
43
|
|
|
71
|
|
|
209
|
|
|
139
|
|
|
6,118
|
|
|||||||||||
CIFG
|
—
|
|
|
11
|
|
|
69
|
|
|
22
|
|
|
76
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
178
|
|
|||||||||||
MBIA Inc.
|
225
|
|
|
2,346
|
|
|
4,250
|
|
|
1,425
|
|
|
—
|
|
|
—
|
|
|
1,589
|
|
|
24
|
|
|
199
|
|
|
234
|
|
|
10,292
|
|
|||||||||||
Financial Guaranty Insurance Co.
|
—
|
|
|
77
|
|
|
990
|
|
|
296
|
|
|
328
|
|
|
518
|
|
|
—
|
|
|
73
|
|
|
—
|
|
|
47
|
|
|
2,329
|
|
|||||||||||
Other
|
—
|
|
|
—
|
|
|
2,099
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,099
|
|
|||||||||||
Total
|
$
|
255
|
|
|
$
|
3,828
|
|
|
$
|
10,947
|
|
|
$
|
3,553
|
|
|
$
|
794
|
|
|
$
|
597
|
|
|
$
|
1,688
|
|
|
$
|
168
|
|
|
$
|
408
|
|
|
$
|
592
|
|
|
$
|
22,830
|
|
(1)
|
Assured Guaranty’s internal rating.
|
|
Assumed
Premium, net
of Commissions
|
|
Ceded
Premium, net
of Commissions
|
|
Assumed
Expected
Loss and LAE
|
|
Ceded
Expected
Loss and LAE
|
||||||||
|
(in millions)
|
||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
$
|
—
|
|
|
$
|
(9
|
)
|
|
$
|
—
|
|
|
$
|
9
|
|
Tokio
|
—
|
|
|
(19
|
)
|
|
—
|
|
|
20
|
|
||||
Radian
|
—
|
|
|
(17
|
)
|
|
—
|
|
|
16
|
|
||||
Syncora Guarantee Inc.
|
—
|
|
|
(40
|
)
|
|
—
|
|
|
1
|
|
||||
Mitsui Sumitomo Insurance Co. Ltd.
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
||||
Swiss Reinsurance Co.
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
||||
Ambac
|
67
|
|
|
—
|
|
|
(79
|
)
|
|
—
|
|
||||
CIFG
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
2
|
|
||||
MBIA Inc.
|
13
|
|
|
—
|
|
|
(11
|
)
|
|
—
|
|
||||
Financial Guaranty Insurance Co.
|
7
|
|
|
—
|
|
|
(103
|
)
|
|
—
|
|
||||
Other
|
—
|
|
|
(43
|
)
|
|
—
|
|
|
—
|
|
||||
Total
|
$
|
87
|
|
|
$
|
(128
|
)
|
|
$
|
(199
|
)
|
|
$
|
51
|
|
15.
|
Related Party Transactions
|
16.
|
Commitments and Contingencies
|
Year
|
|
(in millions)
|
||
2014
|
$
|
8
|
|
|
2015
|
8
|
|
||
2016
|
8
|
|
||
2017
|
7
|
|
||
2018
|
8
|
|
||
Thereafter
|
59
|
|
||
Total
|
$
|
98
|
|
•
|
AGMH received a subpoena from the Antitrust Division of the Department of Justice in November 2006 issued in connection with an ongoing criminal investigation of bid rigging of awards of municipal GICs and other municipal derivatives; and
|
•
|
AGM received a subpoena from the SEC in November 2006 related to an ongoing industry-wide investigation concerning the bidding of municipal GICs and other municipal derivatives.
|
17.
|
Long-Term Debt and Credit Facilities
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||
|
Principal
|
|
Carrying
Value
|
|
Principal
|
|
Carrying
Value
|
||||||||
|
(in millions)
|
||||||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
7.0% Senior Notes
|
$
|
200
|
|
|
$
|
198
|
|
|
$
|
200
|
|
|
$
|
197
|
|
8.50% Senior Notes
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Series A Enhanced Junior Subordinated Debentures
|
150
|
|
|
150
|
|
|
150
|
|
|
150
|
|
||||
Total AGUS
|
350
|
|
|
348
|
|
|
350
|
|
|
347
|
|
||||
AGMH:
|
|
|
|
|
|
|
|
|
|
|
|
||||
6
7
/
8
% QUIBS
|
100
|
|
|
68
|
|
|
100
|
|
|
68
|
|
||||
6.25% Notes
|
230
|
|
|
138
|
|
|
230
|
|
|
137
|
|
||||
5.60% Notes
|
100
|
|
|
55
|
|
|
100
|
|
|
54
|
|
||||
Junior Subordinated Debentures
|
300
|
|
|
169
|
|
|
300
|
|
|
164
|
|
||||
Total AGMH
|
730
|
|
|
430
|
|
|
730
|
|
|
423
|
|
||||
AGM:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Notes Payable
|
34
|
|
|
38
|
|
|
61
|
|
|
66
|
|
||||
Total AGM
|
34
|
|
|
38
|
|
|
61
|
|
|
66
|
|
||||
Total
|
$
|
1,114
|
|
|
$
|
816
|
|
|
$
|
1,141
|
|
|
$
|
836
|
|
Expected Withdrawal Date
|
|
AGUS
|
|
AGMH
|
|
AGM
|
|
Total
|
||||||||
|
|
(in millions)
|
||||||||||||||
2014
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
10
|
|
|
$
|
10
|
|
2015
|
|
—
|
|
|
—
|
|
|
9
|
|
|
9
|
|
||||
2016
|
|
—
|
|
|
—
|
|
|
4
|
|
|
4
|
|
||||
2017
|
|
—
|
|
|
—
|
|
|
10
|
|
|
10
|
|
||||
2018
|
|
—
|
|
|
—
|
|
|
1
|
|
|
1
|
|
||||
2019-2038
|
|
200
|
|
|
—
|
|
|
0
|
|
|
200
|
|
||||
2039-2058
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
2059-2078
|
|
150
|
|
|
300
|
|
|
—
|
|
|
450
|
|
||||
Thereafter
|
|
—
|
|
|
430
|
|
|
—
|
|
|
430
|
|
||||
Total
|
|
$
|
350
|
|
|
$
|
730
|
|
|
$
|
34
|
|
|
$
|
1,114
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|||
7.0% Senior Notes
|
$
|
13
|
|
|
$
|
13
|
|
|
$
|
13
|
|
8.50% Senior Notes
|
—
|
|
|
8
|
|
|
16
|
|
|||
Series A Enhanced Junior Subordinated Debentures
|
10
|
|
|
10
|
|
|
10
|
|
|||
Total AGUS
|
23
|
|
|
31
|
|
|
39
|
|
|||
AGMH:
|
|
|
|
|
|
|
|
|
|||
6
7
/
8
% QUIBS
|
7
|
|
|
7
|
|
|
7
|
|
|||
6.25% Notes
|
16
|
|
|
16
|
|
|
16
|
|
|||
5.60% Notes
|
6
|
|
|
6
|
|
|
6
|
|
|||
Junior Subordinated Debentures
|
25
|
|
|
25
|
|
|
25
|
|
|||
Total AGMH
|
54
|
|
|
54
|
|
|
54
|
|
|||
AGM:
|
|
|
|
|
|
|
|
|
|||
Notes Payable
|
5
|
|
|
7
|
|
|
6
|
|
|||
Total AGM
|
5
|
|
|
7
|
|
|
6
|
|
|||
Total
|
$
|
82
|
|
|
$
|
92
|
|
|
$
|
99
|
|
18.
|
Earnings Per Share
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions, except per share amounts)
|
||||||||||
Basic EPS:
|
|
|
|
|
|
||||||
Net income (loss) attributable to AGL
|
$
|
808
|
|
|
$
|
110
|
|
|
773
|
|
|
Less: Distributed and undistributed income (loss) available to nonvested shareholders
|
1
|
|
|
0
|
|
|
1
|
|
|||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
$
|
807
|
|
|
$
|
110
|
|
|
772
|
|
|
Basic shares
|
186.6
|
|
|
189.2
|
|
|
183.4
|
|
|||
Basic EPS
|
$
|
4.32
|
|
|
$
|
0.58
|
|
|
$
|
4.21
|
|
Diluted EPS:
|
|
|
|
|
|
||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
$
|
807
|
|
|
$
|
110
|
|
|
$
|
772
|
|
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries
|
0
|
|
|
0
|
|
|
0
|
|
|||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted
|
$
|
807
|
|
|
$
|
110
|
|
|
$
|
772
|
|
|
|
|
|
|
|
||||||
Basic shares
|
186.6
|
|
|
189.2
|
|
|
183.4
|
|
|||
Effect of dilutive securities:
|
|
|
|
|
|
||||||
Options and restricted stock awards
|
1.0
|
|
|
0.8
|
|
|
0.9
|
|
|||
Equity units
|
—
|
|
|
0.7
|
|
|
1.2
|
|
|||
Diluted shares
|
187.6
|
|
|
190.7
|
|
|
185.5
|
|
|||
Diluted EPS
|
$
|
4.30
|
|
|
$
|
0.57
|
|
|
$
|
4.16
|
|
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect
|
2.7
|
|
|
9.9
|
|
|
7.2
|
|
19.
|
Shareholders' Equity
|
|
Number of
Shares
|
|
Price per
Share
|
|
Proceeds
|
|
Net
Proceeds
|
|||||||
|
(in millions, except share and per share amounts)
|
|||||||||||||
June 1, 2012(1)
|
13,428,770
|
|
|
$
|
12.85
|
|
|
$
|
173
|
|
|
$
|
173
|
|
(1)
|
Relates to the settlement of forward purchase contracts. See Note 17, Long-Term Debt and Credit Facilities.
|
Year
|
|
Number of Shares Repurchased
|
|
Total Payments
|
|||
|
|
|
|
(in millions)
|
|||
2013
|
|
12,512,759
|
|
|
$
|
264
|
|
2012
|
|
2,066,759
|
|
|
24
|
|
|
2011
|
|
2,000,000
|
|
|
23
|
|
20.
|
Employee Benefit Plans
|
|
Options for
Common Shares
|
|
Weighted
Average
Exercise Price
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|
Number of
Exercisable
Options
|
|
Year of
Expiration
|
||||||
Balance as of December 31, 2012
|
4,229,555
|
|
|
$
|
20.10
|
|
|
|
|
4,047,374
|
|
|
|
||
Options granted
|
102,355
|
|
|
19.36
|
|
|
$
|
8.94
|
|
|
|
|
2020
|
||
Options exercised
|
(1,199,339
|
)
|
|
17.75
|
|
|
|
|
|
|
|
||||
Options forfeited/expired
|
(3,320
|
)
|
|
24.21
|
|
|
|
|
|
|
|
||||
Balance as of December 31, 2013
|
3,129,251
|
|
|
$
|
20.97
|
|
|
|
|
2,987,088
|
|
|
|
|
2013
|
|
2012
|
|||
Dividend yield
|
2.07
|
%
|
|
2.06
|
%
|
|
Expected volatility
|
53.41
|
%
|
|
58.89
|
%
|
|
Risk free interest rate
|
1.35
|
%
|
|
1.45
|
%
|
|
Expected life
|
6.6 years
|
|
|
6.6 years
|
|
|
Forfeiture rate
|
4.5
|
%
|
|
4.5
|
%
|
|
Weighted average grant date fair value
|
$
|
8.94
|
|
|
8.62
|
|
(1)
|
No options were granted in 2011.
|
|
Options for
Common Shares
|
|
Weighted
Average
Exercise Price
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|
Number of
Exercisable
Options
|
|
Year of
Expiration
|
||||||
Balance as of December 31, 2012
|
293,077
|
|
|
$
|
17.44
|
|
|
|
|
0
|
|
|
|
||
Options granted
|
72,640
|
|
|
19.24
|
|
|
$
|
8.17
|
|
|
|
|
2020
|
||
Options exercised
|
—
|
|
|
—
|
|
|
|
|
|
|
|
||||
Options forfeited/expired
|
—
|
|
|
—
|
|
|
|
|
|
|
|
||||
Balance as of December 31, 2013
|
365,717
|
|
|
$
|
17.80
|
|
|
|
|
0
|
|
|
|
|
2013
|
|
2012
|
||||
Dividend yield
|
2.07
|
%
|
|
2.06
|
%
|
||
Expected volatility
|
53.5
|
%
|
|
58.89
|
%
|
||
Risk free interest rate
|
1.36
|
%
|
|
1.45
|
%
|
||
Expected life
|
6.3 years
|
|
|
6.3 years
|
|
||
Forfeiture rate
|
4.5
|
%
|
|
4.5
|
%
|
||
Weighted average grant date fair value
|
$
|
8.17
|
|
|
$
|
7.84
|
|
Nonvested Shares
|
|
Number of
Shares
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|||
Nonvested at December 31, 2012
|
88,549
|
|
|
$
|
12.93
|
|
|
Granted
|
48,273
|
|
|
23.20
|
|
||
Vested
|
(88,549
|
)
|
|
12.93
|
|
||
Forfeited
|
—
|
|
|
—
|
|
||
Nonvested at December 31, 2013
|
48,273
|
|
|
$
|
23.20
|
|
Nonvested Stock Units
|
|
Number of
Stock Units
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|||
Nonvested at December 31, 2012
|
1,006,411
|
|
|
$
|
16.78
|
|
|
Granted
|
93,580
|
|
|
19.29
|
|
||
Delivered
|
(361,157
|
)
|
|
15.04
|
|
||
Forfeited
|
(2,425
|
)
|
|
17.85
|
|
||
Nonvested at December 31, 2013
|
736,409
|
|
|
$
|
17.63
|
|
Performance Restricted Stock Units
|
|
Number of
Performance Share Units
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|||
Nonvested at December 31, 2012
|
178,970
|
|
|
$
|
27.35
|
|
|
Granted
|
44,440
|
|
|
29.54
|
|
||
Delivered
|
—
|
|
|
—
|
|
||
Forfeited
|
—
|
|
|
—
|
|
||
Nonvested at December 31, 2013
|
223,410
|
|
|
$
|
27.79
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(dollars in millions)
|
||||||||||
Proceeds from purchase of shares by employees
|
$
|
0.9
|
|
|
$
|
0.6
|
|
|
$
|
0.7
|
|
Number of shares issued by the Company
|
57,980
|
|
|
54,612
|
|
|
50,523
|
|
|||
Recorded in share-based compensation, after the effects of DAC
|
$
|
0.3
|
|
|
$
|
0.2
|
|
|
$
|
0.2
|
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Share‑Based Employee Cost:
|
|
|
|
|
|
||||||
Recurring amortization
|
$
|
7
|
|
|
$
|
6
|
|
|
$
|
5
|
|
Accelerated amortization for retirement eligible employees
|
—
|
|
|
1
|
|
|
5
|
|
|||
Subtotal
|
7
|
|
|
7
|
|
|
10
|
|
|||
ESPP
|
—
|
|
|
—
|
|
|
—
|
|
|||
Total Share‑Based Employee Cost
|
7
|
|
|
7
|
|
|
10
|
|
|||
Total Share‑Based Directors Cost
|
1
|
|
|
1
|
|
|
1
|
|
|||
Total Share‑Based Cost
|
8
|
|
|
8
|
|
|
11
|
|
|||
Less: Share‑based compensation capitalized as DAC
|
—
|
|
|
1
|
|
|
3
|
|
|||
Share‑based compensation expense
|
$
|
8
|
|
|
$
|
7
|
|
|
$
|
8
|
|
Income tax benefit
|
$
|
2
|
|
|
$
|
2
|
|
|
$
|
2
|
|
21.
|
Other Comprehensive Income
|
|
Net Unrealized
Gains (Losses) on
Investments with no OTTI
|
|
Net Unrealized
Gains (Losses) on
Investments with OTTI
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2012
|
$
|
517
|
|
|
$
|
(5
|
)
|
|
$
|
(6
|
)
|
|
$
|
9
|
|
|
$
|
515
|
|
Other comprehensive income (loss) before reclassified
|
(309
|
)
|
|
(35
|
)
|
|
3
|
|
|
—
|
|
|
(341
|
)
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
||||||||||
Other net realized investment gain (losses)
|
(43
|
)
|
|
24
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|||||
Total before tax
|
(43
|
)
|
|
24
|
|
|
—
|
|
|
(1
|
)
|
|
(20
|
)
|
|||||
Tax (provision) benefit
|
$
|
13
|
|
|
$
|
(8
|
)
|
|
$
|
—
|
|
|
$
|
1
|
|
|
6
|
|
|
Total amount reclassified from AOCI, net of tax
|
(30
|
)
|
|
16
|
|
|
—
|
|
|
0
|
|
|
(14
|
)
|
|||||
Net current period other comprehensive income (loss)
|
(339
|
)
|
|
(19
|
)
|
|
3
|
|
|
0
|
|
|
(355
|
)
|
|||||
Balance, December 31, 2013
|
$
|
178
|
|
|
$
|
(24
|
)
|
|
$
|
(3
|
)
|
|
$
|
9
|
|
|
$
|
160
|
|
|
Net Unrealized
Gains (Losses) on
Investments with no OTTI
|
|
Net Unrealized
Gains (Losses) on
Investments with OTTI
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2011
|
$
|
365
|
|
|
$
|
2
|
|
|
$
|
(8
|
)
|
|
$
|
9
|
|
|
$
|
368
|
|
Other comprehensive income (loss)
|
152
|
|
|
(7
|
)
|
|
2
|
|
|
0
|
|
|
147
|
|
|||||
Balance, December 31, 2012
|
$
|
517
|
|
|
$
|
(5
|
)
|
|
$
|
(6
|
)
|
|
$
|
9
|
|
|
$
|
515
|
|
|
Net Unrealized
Gains (Losses) on
Investments with no OTTI
|
|
Net Unrealized
Gains (Losses) on
Investments with OTTI
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2010
|
$
|
116
|
|
|
$
|
(6
|
)
|
|
$
|
(8
|
)
|
|
$
|
10
|
|
|
$
|
112
|
|
Other comprehensive income (loss)
|
249
|
|
|
8
|
|
|
0
|
|
|
(1
|
)
|
|
256
|
|
|||||
Balance, December 31, 2011
|
$
|
365
|
|
|
$
|
2
|
|
|
$
|
(8
|
)
|
|
$
|
9
|
|
|
$
|
368
|
|
22.
|
Subsidiary Information
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total investment portfolio and cash
|
$
|
33
|
|
|
$
|
186
|
|
|
$
|
42
|
|
|
$
|
11,008
|
|
|
$
|
(300
|
)
|
|
$
|
10,969
|
|
Investment in subsidiaries
|
5,066
|
|
|
4,191
|
|
|
3,574
|
|
|
289
|
|
|
(13,120
|
)
|
|
—
|
|
||||||
Premiums receivable, net of commissions payable
|
—
|
|
|
—
|
|
|
—
|
|
|
1,025
|
|
|
(149
|
)
|
|
876
|
|
||||||
Ceded unearned premium reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,598
|
|
|
(1,146
|
)
|
|
452
|
|
||||||
Deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
198
|
|
|
(74
|
)
|
|
124
|
|
||||||
Reinsurance recoverable on unpaid losses
|
—
|
|
|
—
|
|
|
—
|
|
|
170
|
|
|
(134
|
)
|
|
36
|
|
||||||
Credit derivative assets
|
—
|
|
|
—
|
|
|
—
|
|
|
482
|
|
|
(388
|
)
|
|
94
|
|
||||||
Deferred tax asset, net
|
—
|
|
|
97
|
|
|
—
|
|
|
681
|
|
|
(90
|
)
|
|
688
|
|
||||||
Intercompany receivable
|
—
|
|
|
—
|
|
|
—
|
|
|
90
|
|
|
(90
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ assets, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
2,565
|
|
|
—
|
|
|
2,565
|
|
||||||
Other
|
23
|
|
|
17
|
|
|
31
|
|
|
638
|
|
|
(226
|
)
|
|
483
|
|
||||||
TOTAL ASSETS
|
$
|
5,122
|
|
|
$
|
4,491
|
|
|
$
|
3,647
|
|
|
$
|
18,744
|
|
|
$
|
(15,717
|
)
|
|
$
|
16,287
|
|
LIABILITIES AND SHAREHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Unearned premium reserves
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,720
|
|
|
$
|
(1,125
|
)
|
|
$
|
4,595
|
|
Loss and LAE reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
733
|
|
|
(141
|
)
|
|
592
|
|
||||||
Long-term debt
|
—
|
|
|
348
|
|
|
430
|
|
|
38
|
|
|
—
|
|
|
816
|
|
||||||
Intercompany payable
|
—
|
|
|
90
|
|
|
—
|
|
|
300
|
|
|
(390
|
)
|
|
—
|
|
||||||
Credit derivative liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
2,175
|
|
|
(388
|
)
|
|
1,787
|
|
||||||
Deferred tax liabilities, net
|
—
|
|
|
—
|
|
|
95
|
|
|
—
|
|
|
(95
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ liabilities, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
2,871
|
|
|
—
|
|
|
2,871
|
|
||||||
Other
|
7
|
|
|
7
|
|
|
16
|
|
|
853
|
|
|
(372
|
)
|
|
511
|
|
||||||
TOTAL LIABILITIES
|
7
|
|
|
445
|
|
|
541
|
|
|
12,690
|
|
|
(2,511
|
)
|
|
11,172
|
|
||||||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
5,115
|
|
|
4,046
|
|
|
3,106
|
|
|
5,765
|
|
|
(12,917
|
)
|
|
5,115
|
|
||||||
Noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
289
|
|
|
(289
|
)
|
|
—
|
|
||||||
TOTAL SHAREHOLDERS’ EQUITY
|
5,115
|
|
|
4,046
|
|
|
3,106
|
|
|
6,054
|
|
|
(13,206
|
)
|
|
5,115
|
|
||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY
|
$
|
5,122
|
|
|
$
|
4,491
|
|
|
$
|
3,647
|
|
|
$
|
18,744
|
|
|
$
|
(15,717
|
)
|
|
$
|
16,287
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total investment portfolio and cash
|
$
|
245
|
|
|
$
|
15
|
|
|
$
|
30
|
|
|
$
|
11,233
|
|
|
$
|
(300
|
)
|
|
$
|
11,223
|
|
Investment in subsidiaries
|
4,734
|
|
|
3,958
|
|
|
3,225
|
|
|
3,524
|
|
|
(15,441
|
)
|
|
—
|
|
||||||
Premiums receivable, net of commissions payable
|
—
|
|
|
—
|
|
|
—
|
|
|
1,147
|
|
|
(142
|
)
|
|
1,005
|
|
||||||
Ceded unearned premium reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,550
|
|
|
(989
|
)
|
|
561
|
|
||||||
Deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
190
|
|
|
(74
|
)
|
|
116
|
|
||||||
Reinsurance recoverable on unpaid losses
|
—
|
|
|
—
|
|
|
—
|
|
|
223
|
|
|
(165
|
)
|
|
58
|
|
||||||
Credit derivative assets
|
—
|
|
|
—
|
|
|
—
|
|
|
553
|
|
|
(412
|
)
|
|
141
|
|
||||||
Deferred tax asset, net
|
—
|
|
|
48
|
|
|
(94
|
)
|
|
789
|
|
|
(22
|
)
|
|
721
|
|
||||||
Intercompany receivable
|
—
|
|
|
—
|
|
|
—
|
|
|
173
|
|
|
(173
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ assets, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
2,688
|
|
|
—
|
|
|
2,688
|
|
||||||
Other
|
23
|
|
|
29
|
|
|
26
|
|
|
816
|
|
|
(165
|
)
|
|
729
|
|
||||||
TOTAL ASSETS
|
$
|
5,002
|
|
|
$
|
4,050
|
|
|
$
|
3,187
|
|
|
$
|
22,886
|
|
|
$
|
(17,883
|
)
|
|
$
|
17,242
|
|
LIABILITIES AND SHAREHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Unearned premium reserves
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6,168
|
|
|
$
|
(961
|
)
|
|
$
|
5,207
|
|
Loss and LAE reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
778
|
|
|
(177
|
)
|
|
601
|
|
||||||
Long-term debt
|
—
|
|
|
347
|
|
|
423
|
|
|
66
|
|
|
—
|
|
|
836
|
|
||||||
Intercompany payable
|
—
|
|
|
173
|
|
|
—
|
|
|
300
|
|
|
(473
|
)
|
|
—
|
|
||||||
Credit derivative liabilities
|
—
|
|
|
0
|
|
|
—
|
|
|
2,346
|
|
|
(412
|
)
|
|
1,934
|
|
||||||
Financial guaranty variable interest entities’ liabilities, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
3,141
|
|
|
—
|
|
|
3,141
|
|
||||||
Other
|
8
|
|
|
6
|
|
|
15
|
|
|
803
|
|
|
(303
|
)
|
|
529
|
|
||||||
TOTAL LIABILITIES
|
8
|
|
|
526
|
|
|
438
|
|
|
13,602
|
|
|
(2,326
|
)
|
|
12,248
|
|
||||||
TOTAL SHAREHOLDERS’ EQUITY
|
4,994
|
|
|
3,524
|
|
|
2,749
|
|
|
9,284
|
|
|
(15,557
|
)
|
|
4,994
|
|
||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY
|
$
|
5,002
|
|
|
$
|
4,050
|
|
|
$
|
3,187
|
|
|
$
|
22,886
|
|
|
$
|
(17,883
|
)
|
|
$
|
17,242
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
740
|
|
|
$
|
12
|
|
|
$
|
752
|
|
Net investment income
|
0
|
|
|
0
|
|
|
1
|
|
|
408
|
|
|
(16
|
)
|
|
393
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
0
|
|
|
0
|
|
|
87
|
|
|
(35
|
)
|
|
52
|
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
(42
|
)
|
|
—
|
|
|
(42
|
)
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
107
|
|
|
—
|
|
|
107
|
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
65
|
|
|
—
|
|
|
65
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
348
|
|
|
(2
|
)
|
|
346
|
|
||||||
TOTAL REVENUES
|
0
|
|
|
0
|
|
|
1
|
|
|
1,648
|
|
|
(41
|
)
|
|
1,608
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
144
|
|
|
10
|
|
|
154
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
12
|
|
|
0
|
|
|
12
|
|
||||||
Interest expense
|
—
|
|
|
28
|
|
|
54
|
|
|
20
|
|
|
(20
|
)
|
|
82
|
|
||||||
Other operating expenses
|
22
|
|
|
1
|
|
|
1
|
|
|
199
|
|
|
(5
|
)
|
|
218
|
|
||||||
TOTAL EXPENSES
|
22
|
|
|
29
|
|
|
55
|
|
|
375
|
|
|
(15
|
)
|
|
466
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(22
|
)
|
|
(29
|
)
|
|
(54
|
)
|
|
1,273
|
|
|
(26
|
)
|
|
1,142
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
9
|
|
|
17
|
|
|
(387
|
)
|
|
27
|
|
|
(334
|
)
|
||||||
Equity in earnings of subsidiaries
|
$
|
830
|
|
|
$
|
768
|
|
|
$
|
701
|
|
|
$
|
19
|
|
|
$
|
(2,318
|
)
|
|
—
|
|
|
NET INCOME (LOSS)
|
808
|
|
|
748
|
|
|
664
|
|
|
905
|
|
|
(2,317
|
)
|
|
808
|
|
||||||
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
19
|
|
|
(19
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
808
|
|
|
$
|
748
|
|
|
$
|
664
|
|
|
$
|
886
|
|
|
$
|
(2,298
|
)
|
|
$
|
808
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
453
|
|
|
$
|
522
|
|
|
$
|
515
|
|
|
$
|
309
|
|
|
$
|
(1,346
|
)
|
|
$
|
453
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
833
|
|
|
$
|
20
|
|
|
$
|
853
|
|
Net investment income
|
0
|
|
|
—
|
|
|
1
|
|
|
422
|
|
|
(19
|
)
|
|
404
|
|
||||||
Net realized investment gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
(108
|
)
|
|
—
|
|
|
(108
|
)
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
(477
|
)
|
|
—
|
|
|
(477
|
)
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
(585
|
)
|
|
—
|
|
|
(585
|
)
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
284
|
|
|
(3
|
)
|
|
281
|
|
||||||
TOTAL REVENUES
|
0
|
|
|
—
|
|
|
1
|
|
|
955
|
|
|
(2
|
)
|
|
954
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
509
|
|
|
(5
|
)
|
|
504
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
28
|
|
|
(14
|
)
|
|
14
|
|
||||||
Interest expense
|
—
|
|
|
35
|
|
|
54
|
|
|
22
|
|
|
(19
|
)
|
|
92
|
|
||||||
Other operating expenses
|
21
|
|
|
2
|
|
|
1
|
|
|
194
|
|
|
(6
|
)
|
|
212
|
|
||||||
TOTAL EXPENSES
|
21
|
|
|
37
|
|
|
55
|
|
|
753
|
|
|
(44
|
)
|
|
822
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(21
|
)
|
|
(37
|
)
|
|
(54
|
)
|
|
202
|
|
|
42
|
|
|
132
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
13
|
|
|
19
|
|
|
(38
|
)
|
|
(16
|
)
|
|
(22
|
)
|
||||||
Equity in earnings of subsidiaries
|
131
|
|
|
177
|
|
|
424
|
|
|
153
|
|
|
(885
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
$
|
110
|
|
|
$
|
153
|
|
|
$
|
389
|
|
|
$
|
317
|
|
|
$
|
(859
|
)
|
|
$
|
110
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
257
|
|
|
$
|
266
|
|
|
$
|
465
|
|
|
$
|
577
|
|
|
$
|
(1,308
|
)
|
|
$
|
257
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
904
|
|
|
$
|
16
|
|
|
$
|
920
|
|
Net investment income
|
—
|
|
|
—
|
|
|
1
|
|
|
410
|
|
|
(15
|
)
|
|
396
|
|
||||||
Net realized investment gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
(18
|
)
|
|
—
|
|
|
(18
|
)
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
—
|
|
|
6
|
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
554
|
|
|
—
|
|
|
554
|
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
560
|
|
|
—
|
|
|
560
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
(48
|
)
|
|
(5
|
)
|
|
(53
|
)
|
||||||
TOTAL REVENUES
|
—
|
|
|
—
|
|
|
1
|
|
|
1,808
|
|
|
(4
|
)
|
|
1,805
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
440
|
|
|
8
|
|
|
448
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
37
|
|
|
(20
|
)
|
|
17
|
|
||||||
Interest expense
|
—
|
|
|
39
|
|
|
54
|
|
|
21
|
|
|
(15
|
)
|
|
99
|
|
||||||
Other operating expenses
|
25
|
|
|
1
|
|
|
1
|
|
|
194
|
|
|
(9
|
)
|
|
212
|
|
||||||
TOTAL EXPENSES
|
25
|
|
|
40
|
|
|
55
|
|
|
692
|
|
|
(36
|
)
|
|
776
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(25
|
)
|
|
(40
|
)
|
|
(54
|
)
|
|
1,116
|
|
|
32
|
|
|
1,029
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
14
|
|
|
19
|
|
|
(277
|
)
|
|
(12
|
)
|
|
(256
|
)
|
||||||
Equity in earnings of subsidiaries
|
798
|
|
|
640
|
|
|
398
|
|
|
614
|
|
|
(2,450
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
$
|
773
|
|
|
$
|
614
|
|
|
$
|
363
|
|
|
$
|
1,453
|
|
|
$
|
(2,430
|
)
|
|
$
|
773
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
1,029
|
|
|
$
|
824
|
|
|
$
|
507
|
|
|
$
|
1,918
|
|
|
$
|
(3,249
|
)
|
|
$
|
1,029
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
Net cash flows provided by (used in) operating activities
|
$
|
128
|
|
|
$
|
178
|
|
|
$
|
133
|
|
|
$
|
347
|
|
|
$
|
(542
|
)
|
|
$
|
244
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
(93
|
)
|
|
(26
|
)
|
|
(1,832
|
)
|
|
65
|
|
|
(1,886
|
)
|
||||||
Sales
|
176
|
|
|
1
|
|
|
25
|
|
|
892
|
|
|
(65
|
)
|
|
1,029
|
|
||||||
Maturities
|
29
|
|
|
3
|
|
|
2
|
|
|
849
|
|
|
—
|
|
|
883
|
|
||||||
Sales (purchases) of short-term investments, net
|
7
|
|
|
(28
|
)
|
|
(15
|
)
|
|
(51
|
)
|
|
—
|
|
|
(87
|
)
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
663
|
|
|
—
|
|
|
663
|
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
(7
|
)
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
0
|
|
|
49
|
|
|
—
|
|
|
(49
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
79
|
|
|
—
|
|
|
79
|
|
||||||
Net cash flows provided by (used in) investing activities
|
212
|
|
|
(117
|
)
|
|
35
|
|
|
607
|
|
|
(56
|
)
|
|
681
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(50
|
)
|
|
50
|
|
|
—
|
|
||||||
Capital contribution from parent
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
(1
|
)
|
|
—
|
|
||||||
Dividends paid
|
(75
|
)
|
|
—
|
|
|
(168
|
)
|
|
(374
|
)
|
|
542
|
|
|
(75
|
)
|
||||||
Repurchases of common stock
|
(264
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(264
|
)
|
||||||
Share activity under option and incentive plans
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(511
|
)
|
|
—
|
|
|
(511
|
)
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(27
|
)
|
|
—
|
|
|
(27
|
)
|
||||||
Intercompany debt
|
—
|
|
|
(7
|
)
|
|
—
|
|
|
—
|
|
|
7
|
|
|
—
|
|
||||||
Net cash flows provided by (used in) financing activities
|
(340
|
)
|
|
(7
|
)
|
|
(168
|
)
|
|
(961
|
)
|
|
598
|
|
|
(878
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
||||||
Increase (decrease) in cash
|
0
|
|
|
54
|
|
|
—
|
|
|
(8
|
)
|
|
—
|
|
|
46
|
|
||||||
Cash at beginning of period
|
—
|
|
|
13
|
|
|
0
|
|
|
125
|
|
|
—
|
|
|
138
|
|
||||||
Cash at end of period
|
$
|
0
|
|
|
$
|
67
|
|
|
$
|
0
|
|
|
$
|
117
|
|
|
$
|
—
|
|
|
$
|
184
|
|
|
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
|
$
|
138
|
|
|
$
|
6
|
|
|
$
|
20
|
|
|
$
|
5
|
|
|
$
|
(334
|
)
|
|
$
|
(165
|
)
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
(211
|
)
|
|
(1
|
)
|
|
(13
|
)
|
|
(1,424
|
)
|
|
—
|
|
|
(1,649
|
)
|
||||||
Sales
|
—
|
|
|
—
|
|
|
13
|
|
|
899
|
|
|
—
|
|
|
912
|
|
||||||
Maturities
|
3
|
|
|
—
|
|
|
6
|
|
|
1,096
|
|
|
—
|
|
|
1,105
|
|
||||||
Sales (purchases) of short-term investments, net
|
(7
|
)
|
|
27
|
|
|
26
|
|
|
(17
|
)
|
|
—
|
|
|
29
|
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
545
|
|
|
—
|
|
|
545
|
|
||||||
Acquisition of MAC
|
—
|
|
|
(91
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(91
|
)
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(173
|
)
|
|
173
|
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
46
|
|
|
—
|
|
|
(46
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
92
|
|
|
—
|
|
|
92
|
|
||||||
Net cash flows provided by (used in) investing activities
|
(215
|
)
|
|
(65
|
)
|
|
78
|
|
|
1,018
|
|
|
127
|
|
|
943
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
—
|
|
||||||
Issuance of common stock
|
173
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
173
|
|
||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(50
|
)
|
|
50
|
|
|
—
|
|
||||||
Capital contribution from parent
|
—
|
|
|
—
|
|
|
—
|
|
|
4
|
|
|
(4
|
)
|
|
—
|
|
||||||
Dividends paid
|
(69
|
)
|
|
—
|
|
|
(98
|
)
|
|
(236
|
)
|
|
334
|
|
|
(69
|
)
|
||||||
Repurchases of common stock
|
(24
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(24
|
)
|
||||||
Share activity under option and incentive plans
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(724
|
)
|
|
—
|
|
|
(724
|
)
|
||||||
Payment of long-term debt
|
—
|
|
|
(173
|
)
|
|
—
|
|
|
(36
|
)
|
|
—
|
|
|
(209
|
)
|
||||||
Intercompany debt
|
—
|
|
|
173
|
|
|
—
|
|
|
—
|
|
|
(173
|
)
|
|
—
|
|
||||||
Net cash flows provided by (used in) financing activities
|
77
|
|
|
—
|
|
|
(98
|
)
|
|
(1,042
|
)
|
|
207
|
|
|
(856
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
||||||
Increase (decrease) in cash
|
—
|
|
|
(59
|
)
|
|
—
|
|
|
(18
|
)
|
|
—
|
|
|
(77
|
)
|
||||||
Cash at beginning of period
|
—
|
|
|
72
|
|
|
0
|
|
|
143
|
|
|
—
|
|
|
215
|
|
||||||
Cash at end of period
|
$
|
—
|
|
|
$
|
13
|
|
|
$
|
—
|
|
|
$
|
125
|
|
|
$
|
—
|
|
|
$
|
138
|
|
|
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
|
$
|
68
|
|
|
$
|
84
|
|
|
$
|
(36
|
)
|
|
$
|
676
|
|
|
$
|
(116
|
)
|
|
$
|
676
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
—
|
|
|
(14
|
)
|
|
(2,294
|
)
|
|
—
|
|
|
(2,308
|
)
|
||||||
Sales
|
—
|
|
|
—
|
|
|
—
|
|
|
1,107
|
|
|
—
|
|
|
1,107
|
|
||||||
Maturities
|
—
|
|
|
—
|
|
|
1
|
|
|
662
|
|
|
—
|
|
|
663
|
|
||||||
Sales (purchases) of short-term investments, net
|
(11
|
)
|
|
(25
|
)
|
|
(1
|
)
|
|
357
|
|
|
—
|
|
|
320
|
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
760
|
|
|
—
|
|
|
760
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
50
|
|
|
—
|
|
|
(50
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
19
|
|
|
—
|
|
|
19
|
|
||||||
Net cash flows provided by (used in) investing activities
|
(11
|
)
|
|
(25
|
)
|
|
36
|
|
|
611
|
|
|
(50
|
)
|
|
561
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(50
|
)
|
|
50
|
|
|
—
|
|
||||||
Dividends paid
|
(33
|
)
|
|
—
|
|
|
—
|
|
|
(116
|
)
|
|
116
|
|
|
(33
|
)
|
||||||
Repurchases of common stock
|
(23
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(23
|
)
|
||||||
Share activity under option and incentive plans
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,053
|
)
|
|
—
|
|
|
(1,053
|
)
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(22
|
)
|
|
—
|
|
|
(22
|
)
|
||||||
Net cash flows provided by (used in) financing activities
|
(57
|
)
|
|
—
|
|
|
—
|
|
|
(1,241
|
)
|
|
166
|
|
|
(1,132
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
2
|
|
||||||
Increase (decrease) in cash
|
—
|
|
|
59
|
|
|
—
|
|
|
48
|
|
|
—
|
|
|
107
|
|
||||||
Cash at beginning of period
|
—
|
|
|
13
|
|
|
—
|
|
|
95
|
|
|
—
|
|
|
108
|
|
||||||
Cash at end of period
|
$
|
—
|
|
|
$
|
72
|
|
|
$
|
—
|
|
|
$
|
143
|
|
|
$
|
—
|
|
|
$
|
215
|
|
2013
|
|
First
Quarter
|
|
Second
Quarter
|
|
Third
Quarter
|
|
Fourth
Quarter
|
|
Full
Year
|
||||||||||
|
(dollars in millions, except per share data)
|
|||||||||||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net earned premiums
|
$
|
248
|
|
|
$
|
163
|
|
|
$
|
159
|
|
|
$
|
182
|
|
|
$
|
752
|
|
|
Net investment income
|
94
|
|
|
93
|
|
|
99
|
|
|
107
|
|
|
393
|
|
||||||
Net realized investment gains (losses)
|
28
|
|
|
2
|
|
|
(7
|
)
|
|
29
|
|
|
52
|
|
||||||
Net change in fair value of credit derivatives
|
(592
|
)
|
|
74
|
|
|
354
|
|
|
229
|
|
|
65
|
|
||||||
Fair value gains (losses) on CCS
|
(10
|
)
|
|
(3
|
)
|
|
9
|
|
|
14
|
|
|
10
|
|
||||||
Fair value gains (losses) on FG VIEs
|
70
|
|
|
143
|
|
|
40
|
|
|
93
|
|
|
346
|
|
||||||
Other income (loss)
|
(14
|
)
|
|
(7
|
)
|
|
16
|
|
|
(5
|
)
|
|
(10
|
)
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||||||||||
Loss and LAE
|
(48
|
)
|
|
62
|
|
|
55
|
|
|
85
|
|
|
154
|
|
||||||
Amortization of DAC
|
3
|
|
|
1
|
|
|
4
|
|
|
4
|
|
|
12
|
|
||||||
Interest expense
|
21
|
|
|
21
|
|
|
21
|
|
|
19
|
|
|
82
|
|
||||||
Other operating expenses
|
60
|
|
|
52
|
|
|
54
|
|
|
52
|
|
|
218
|
|
||||||
Income (loss) before provision for income taxes
|
(212
|
)
|
|
329
|
|
|
536
|
|
|
489
|
|
|
1,142
|
|
||||||
Provision (benefit) for income taxes
|
(68
|
)
|
|
110
|
|
|
152
|
|
|
140
|
|
|
334
|
|
||||||
Net income (loss)
|
(144
|
)
|
|
219
|
|
|
384
|
|
|
349
|
|
|
808
|
|
||||||
Earnings (loss) per share(1):
|
|
|
|
|
|
|
|
|
|
|||||||||||
Basic
|
$
|
(0.74
|
)
|
|
$
|
1.17
|
|
|
$
|
2.10
|
|
|
$
|
1.91
|
|
|
$
|
4.32
|
|
|
Diluted
|
$
|
(0.74
|
)
|
|
$
|
1.16
|
|
|
$
|
2.09
|
|
|
$
|
1.90
|
|
|
$
|
4.30
|
|
|
Dividends per share
|
$
|
0.10
|
|
|
$
|
0.10
|
|
|
$
|
0.10
|
|
|
$
|
0.10
|
|
|
$
|
0.40
|
|
2012
|
|
First
Quarter
|
|
Second
Quarter
|
|
Third
Quarter
|
|
Fourth
Quarter
|
|
Full
Year
|
||||||||||
|
(dollars in millions, except per share data)
|
|||||||||||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net earned premiums
|
$
|
194
|
|
|
$
|
219
|
|
|
$
|
222
|
|
|
$
|
218
|
|
|
$
|
853
|
|
|
Net investment income
|
98
|
|
|
101
|
|
|
102
|
|
|
103
|
|
|
404
|
|
||||||
Net realized investment gains (losses)
|
1
|
|
|
(3
|
)
|
|
2
|
|
|
1
|
|
|
1
|
|
||||||
Net change in fair value of credit derivatives
|
(691
|
)
|
|
261
|
|
|
(36
|
)
|
|
(119
|
)
|
|
(585
|
)
|
||||||
Fair value gains (losses) on CCS
|
(14
|
)
|
|
4
|
|
|
(2
|
)
|
|
(6
|
)
|
|
(18
|
)
|
||||||
Fair value gains (losses) on FG VIEs
|
(41
|
)
|
|
168
|
|
|
34
|
|
|
30
|
|
|
191
|
|
||||||
Other income (loss)
|
91
|
|
|
5
|
|
|
16
|
|
|
(4
|
)
|
|
108
|
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||||||||||
Loss and LAE
|
242
|
|
|
118
|
|
|
86
|
|
|
58
|
|
|
504
|
|
||||||
Amortization of DAC
|
5
|
|
|
5
|
|
|
4
|
|
|
0
|
|
|
14
|
|
||||||
Interest expense
|
25
|
|
|
25
|
|
|
21
|
|
|
21
|
|
|
92
|
|
||||||
Other operating expenses
|
62
|
|
|
53
|
|
|
48
|
|
|
49
|
|
|
212
|
|
||||||
Income (loss) before provision for income taxes
|
(696
|
)
|
|
554
|
|
|
179
|
|
|
95
|
|
|
132
|
|
||||||
Provision (benefit) for income taxes
|
(213
|
)
|
|
177
|
|
|
37
|
|
|
21
|
|
|
22
|
|
||||||
Net income (loss)
|
(483
|
)
|
|
377
|
|
|
142
|
|
|
74
|
|
|
110
|
|
||||||
Earnings (loss) per share(1):
|
|
|
|
|
|
|
|
|
|
|||||||||||
Basic
|
$
|
(2.65
|
)
|
|
$
|
2.02
|
|
|
$
|
0.73
|
|
|
$
|
0.38
|
|
|
$
|
0.58
|
|
|
Diluted
|
$
|
(2.65
|
)
|
|
$
|
2.01
|
|
|
$
|
0.73
|
|
|
$
|
0.38
|
|
|
$
|
0.57
|
|
|
Dividends per share
|
$
|
0.09
|
|
|
$
|
0.09
|
|
|
$
|
0.09
|
|
|
$
|
0.09
|
|
|
$
|
0.36
|
|
(1)
|
Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive.
|
ITEM 9.
|
CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE
|
ITEM 9A.
|
CONTROLS AND PROCEDURES
|
ITEM 9B.
|
OTHER INFORMATION
|
ITEM 10.
|
DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
|
ITEM 11.
|
EXECUTIVE COMPENSATION
|
ITEM 12.
|
SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
|
ITEM 13.
|
CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE
|
ITEM 14.
|
PRINCIPAL ACCOUNTING FEES AND SERVICES
|
ITEM 15.
|
EXHIBITS, FINANCIAL STATEMENT SCHEDULES
|
(a)
|
Financial Statements, Financial Statement Schedules and Exhibits
|
1.
|
Financial Statements
|
|
|
Exhibit
Number
|
Description of Document
|
3.1
|
Certificate of Incorporation and Memorandum of Association of the Registrant, as amended by Certificate of Incorporation on Change of Name dated March 30, 2004 and Certificate of Deposit of Memorandum of Increase of Capital dated April 21, 2004 (Incorporated by reference to Exhibit 3.1 to Form 10-K for the year ended December 31, 2009)
|
3.2
|
First Amended and Restated Bye-laws of the Registrant, as amended (Incorporated by reference to Exhibit 3.1 to Form 8-K filed on May 10, 2011)
|
4.1
|
Specimen Common Share Certificate (Incorporated by reference to Exhibit 4.1 to Form S-1 (#333-111491))
|
4.2
|
Certificate of Incorporation and Memorandum of Association of the Registrant, as amended by Certificate of Incorporation on Change of Name dated March 30, 2004 and Certificate of Deposit of Memorandum of Increase of Capital dated April 21, 2004 (See Exhibit 3.1)
|
4.3
|
Bye-laws of the Registrant (See Exhibit 3.2)
|
4.4
|
Indenture, dated as of May 1, 2004, among the Company, Assured Guaranty U.S. Holdings Inc. and The Bank of New York, as trustee (Incorporated by reference to Exhibit 4.1 to Form 10-Q for the quarter ended March 31, 2004)
|
4.5
|
Indenture, dated as of December 1, 2006, entered into among Assured Guaranty Ltd., Assured Guaranty U.S. Holdings Inc. and The Bank of New York, as trustee (Incorporated by reference to Exhibit 4.1 to Form 8-K filed on December 20, 2006)
|
4.6
|
First Supplemental Subordinated Indenture, dated as of December 20, 2006, entered into among Assured Guaranty Ltd., Assured Guaranty U.S. Holdings Inc. and The Bank of New York, as trustee (Incorporated by reference to Exhibit 4.2 to Form 8-K filed on December 20, 2006)
|
4.7
|
Replacement Capital Covenant, dated as of December 20, 2006, between Assured Guaranty U.S. Holdings Inc. and Assured Guaranty Ltd., in favor of and for the benefit of each Covered Debtholder (as defined therein) (Incorporated by reference to Exhibit 4.1 to Form 8-K filed on December 20, 2006)
|
4.8
|
Amended and Restated Trust Indenture dated as of February 24, 1999 between Financial Security Assurance Holdings Ltd. and the Senior Debt Trustee (Incorporated by reference to Exhibit 4.1 to Financial Security Assurance Holdings Ltd.'s Registration Statement to Form S-3 (#333-74165))
|
|
|
Exhibit
Number
|
Description of Document
|
4.9
|
Form of Assured Guaranty Municipal Holdings Inc., formerly known as Financial Security Assurance Holdings Ltd. 6
7
/
8
% Quarterly Interest Bond Securities due 2101 (Incorporated by reference to Exhibit 4.1 to Form 10-Q for the quarter ended March 31, 2010)
|
4.10
|
Form of Assured Guaranty Municipal Holdings Inc., formerly known as Financial Security Assurance Holdings Ltd. 6.25% Notes due November 1, 2102 (Incorporated by reference to Exhibit 4.2 to Form 10-Q for the quarter ended March 31, 2010)
|
4.11
|
Form of Assured Guaranty Municipal Holdings Inc., formerly known as Financial Security Assurance Holdings Ltd. 5.60% Notes due July 15, 2103 (Incorporated by reference to Exhibit 4.3 to Form 10-Q for the quarter ended March 31, 2010)
|
4.12
|
Supplemental indenture, dated as of August 26, 2009, between Assured Guaranty Ltd., Financial Security Assurance Holdings Ltd. and U.S. Bank National Association, as trustee (Incorporated by reference to Exhibit 99.1 to Form 8-K filed on September 1, 2009)
|
4.13
|
Indenture, dated as of November 22, 2006, between Financial Security Assurance Holdings Ltd. and The Bank of New York, as Trustee (Incorporated by reference to Exhibit 4.1 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 28, 2006)
|
4.14
|
Form of Financial Security Assurance Holdings Ltd. Junior Subordinated Debenture, Series 2006-1 (Incorporated by reference to Exhibit 10.3 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 25, 2002)
|
4.15
|
Supplemental indenture, dated as of August 26, 2009, between Assured Guaranty Ltd., Financial Security Assurance Holdings Ltd. and The Bank of New York Mellon, as trustee (Incorporated by reference to Exhibit 99.2 to Form 8-K filed on September 1, 2009)
|
4.16
|
First Supplemental Indenture, to be dated as of June 24, 2009, between Assured Guaranty US Holdings Inc., Assured Guaranty Ltd. and The Bank of New York Mellon, as trustee (including the form of 8.50% Senior Note due 2014 of Assured Guaranty US Holdings Inc.) (Incorporated by reference to Exhibit 4.1 to Form 8-K filed on June 23, 2009)
|
10.1
|
Guaranty by Assured Guaranty Re International Ltd. in favor of Assured Guaranty Re Overseas Ltd. (Incorporated by reference to Exhibit 10.31 to Form S-1 (#333-111491))
|
10.2
|
Put Agreement between Assured Guaranty Corp. and Woodbourne Capital Trust [I][II][III][IV] (Incorporated by reference to Exhibit 10.6 to Form 10-Q for the quarter ended March 31, 2005)
|
10.3
|
Custodial Trust Expense Reimbursement Agreement (Incorporated by reference to Exhibit 10.7 to Form 10-Q for the quarter ended March 31, 2005)
|
10.4
|
Assured Guaranty Corp. Articles Supplementary Classifying and Designating Series of Preferred Stock as Series A Perpetual Preferred Stock, Series B Perpetual Preferred Stock, Series C Perpetual Preferred Stock, Series D Perpetual Preferred Stock (Incorporated by reference to Exhibit 10.8 to Form 10-Q for the quarter ended March 31, 2005)
|
10.5
|
Investment Agreement dated as of February 28, 2008 between Assured Guaranty Ltd. and WLR Recovery Fund IV, L.P. (Incorporated by reference to Exhibit 10.68 to Form 10-K for the year ended December 31, 2007)
|
10.6
|
Approval dated September 16, 2008 pursuant to Investment Agreement dated as of February 28, 2008 with WLR Recovery Fund IV, L.P. Pursuant to the Investment Agreement, WLR Recovery Fund IV, L.P. and other funds affiliated with WL Ross & Co. LLC (Incorporated by reference to Exhibit 10.1 to Form 8-K filed on September 19, 2008)
|
10.7
|
Share Purchase Agreement, dated May 31, 2013, among Assured Guaranty Ltd., WLR Recovery Fund IV, L.P., WLR Recovery Funds III, L.P., WLR AGO Co-Invest, L.P., WLR/GS Master Co-Investments, L.P., WLR IV Parallel ESC, L.P and Wilbur L. Ross, Jr. (Incorporated by reference to Exhibit 10.1 to Form 8-K filed on June 3, 2013)
|
10.8
|
Purchase Agreement among Dexia Holdings Inc., Dexia Credit Local S.A. and the Company dated as of November 14, 2008 (Incorporated by reference to Exhibit 99.1 to Form 8-K filed on November 17, 2008)
|
10.9
|
Amendment to Investment Agreement dated as of November 13, 2008 between the Company and WLR Recovery Fund IV, L.P. (Incorporated by reference to Exhibit 99.2 to Form 8-K filed on November 17, 2008)
|
10.10
|
Amended and Restated Revolving Credit Agreement dated as of June 30, 2009 among FSA Asset Management LLC, Dexia Crédit Local S.A. and Dexia Bank Belgium S.A. (Incorporated by reference to Exhibit 10.1 to Form 8-K filed on July 8, 2009)
|
10.11
|
First Amendment to Amended and Restated Revolving Credit Agreement dated as of September 20, 2010 among FSA Asset Management LLC, Dexia Crédit Local S.A. and Dexia Bank Belgium S.A.
|
|
|
Exhibit
Number
|
Description of Document
|
10.12
|
Second Amendment to Amended and Restated Revolving Credit Agreement dated as of May 16, 2012 among FSA Asset Management LLC, Dexia Crédit Local S.A. and Dexia Bank Belgium S.A.
|
10.13
|
Assignment Pursuant to the Amended and Restated Revolving Credit Agreement, as amended, dated as of December 12, 2013 between Belfius Bank SA/NV and Dexia Crédit Local S.A.
|
10.14
|
Master Repurchase Agreement (September 1996 Version) dated as of June 30, 2009 between Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.2.1 to Form 8-K filed on July 8, 2009)
|
10.15
|
Annex I-Committed Term Repurchase Agreement Annex dated as of June 30, 2009 between Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.2.2 to Form 8-K filed on July 8, 2009)
|
10.16
|
ISDA Master Agreement (Multicurrency-Cross Border) dated as of June 30, 2009 among Dexia SA, Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.3.1 to Form 8-K filed on July 8, 2009)
|
10.17
|
Schedule to the 1992 Master Agreement, Guaranteed Put Contract, dated as of June 30, 2009 among Dexia Crédit Local S.A., Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.3.2 to Form 8-K filed on July 8, 2009)
|
10.18
|
Put Option Confirmation, Guaranteed Put Contract, dated June 30, 2009 to FSA Asset Management LLC from Dexia SA and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.3.3 to Form 8-K filed on July 8, 2009)
|
10.19
|
ISDA Credit Support Annex (New York Law) to the Schedule to the ISDA Master Agreement, Guaranteed Put Contract, dated as of June 30, 2009 between Dexia Crédit Local S.A. and Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.3.4 to Form 8-K filed on July 8, 2009)
|
10.20
|
ISDA Master Agreement (Multicurrency-Cross Border) dated as of June 30, 2009 among Dexia SA, Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.4.1 to Form 8-K filed on July 8, 2009)
|
10.21
|
Schedule to the 1992 Master Agreement, Non-Guaranteed Put Contract, dated as of June 30, 2009 among Dexia Crédit Local S.A., Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.4.2 to Form 8-K filed on July 8, 2009)
|
10.22
|
Put Option Confirmation, Non-Guaranteed Put Contract, dated June 30, 2009 to FSA Asset Management LLC from Dexia SA and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.4.3 to Form 8-K filed on July 8, 2009)
|
10.23
|
ISDA Credit Support Annex (New York Law) to the Schedule to the ISDA Master Agreement, Non-Guaranteed Put Contract, dated as of June 30, 2009 between Dexia Crédit Local S.A. and Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.4.4 to Form 8-K filed on July 8, 2009)
|
10.24
|
First Demand Guarantee Relating to the “Financial Products” Portfolio of FSA Asset Management LLC issued by the Belgian State and the French State and executed as of June 30, 2009 (Incorporated by reference to Exhibit 10.5 to Form 8-K filed on July 8, 2009)
|
10.25
|
Guaranty, dated as of June 30, 2009, made jointly and severally by Dexia SA and Dexia Crédit Local S.A., in favor of Financial Security Assurance Inc. (Incorporated by reference to Exhibit 10.6 to Form 8-K filed on July 8, 2009)
|
10.26
|
Indemnification Agreement (GIC Business) dated as of June 30, 2009 by and among Financial Security Assurance Inc., Dexia Crédit Local S.A. and Dexia SA (Incorporated by reference to Exhibit 10.7 to Form 8-K filed on July 8, 2009)
|
10.27
|
Pledge and Administration Agreement, dated as of June 30, 2009, among Dexia SA, Dexia Crédit Local S.A., Dexia Bank Belgium SA, Dexia FP Holdings Inc., Financial Security Assurance Inc., FSA Asset Management LLC, FSA Portfolio Asset Limited, FSA Capital Markets Services LLC, FSA Capital Markets Services (Caymans) Ltd., FSA Capital Management Services LLC and The Bank of New York Mellon Trust Company, National Association (Incorporated by reference to Exhibit 10.8 to Form 8-K filed on July 8, 2009)
|
10.28
|
Separation Agreement, dated as of July 1, 2009, among Dexia Crédit Local S.A., Financial Security Assurance Inc., Financial Security Assurance International, Ltd., FSA Global Funding Limited and Premier International Funding Co. (Incorporated by reference to Exhibit 10.9 to Form 8-K filed on July 8, 2009)
|
10.29
|
Funding Guaranty, dated as of July 1, 2009, made by Dexia Crédit Local S.A. in favor of Financial Security Assurance Inc. and Financial Security Assurance International, Ltd. (Incorporated by reference to Exhibit 10.10 to Form 8-K filed on July 8, 2009)
|
|
|
Exhibit
Number
|
Description of Document
|
10.30
|
Reimbursement Guaranty, dated as of July 1, 2009, made by Dexia Crédit Local S.A. in favor of Financial Security Assurance Inc. and Financial Security Assurance International, Ltd. (Incorporated by reference to Exhibit 10.11 to Form 8-K filed on July 8, 2009)
|
10.31
|
Amended and Restated Strip Coverage Liquidity and Security Agreement, dated as of July 1, 2009, between Assured Guaranty Municipal Corp. and Dexia Crédit Local S.A.
|
10.32
|
Indemnification Agreement (FSA Global Business), dated as of July 1, 2009, by and between Financial Security Assurance Inc., Assured Guaranty Ltd. and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.13 to Form 8-K filed on July 8, 2009)
|
10.33
|
Pledge and Administration Annex Amendment Agreement dated as of July 1, 2009 among Dexia SA, Dexia Crédit Local S.A., Dexia Bank Belgium SA, Dexia FP Holdings Inc., Financial Security Assurance Inc., FSA Asset Management LLC, FSA Portfolio Asset Limited, FSA Capital Markets Services LLC, FSA Capital Markets Services (Caymans) Ltd., FSA Capital Management Services LLC and The Bank of New York Mellon Trust Company, National Association (Incorporated by reference to Exhibit 10.14 to Form 8-K filed on July 8, 2009)
|
10.34
|
Put Confirmation Annex Amendment Agreement dated as of July 1, 2009 among Dexia SA and Dexia Crédit Local S.A. and FSA Asset Management LLC and Financial Security Assurance Inc. (Incorporated by reference to Exhibit 10.15 to Form 8-K filed on July 8, 2009)
|
10.35
|
Master Repurchase Agreement between FSA Capital Management Services LLC and FSA Capital Markets Services LLC (Incorporated by reference to Exhibit 10.20 to Form 10-Q for the quarter ended June 30, 2009)
|
10.36
|
Confirmation to Master Repurchase Agreement (Incorporated by reference to Exhibit 10.21 to Form 10-Q for the quarter ended June 30, 2009)
|
10.37
|
Master Repurchase Agreement Annex I (Incorporated by reference to Exhibit 10.22 to Form 10-Q for the quarter ended June 30, 2009)
|
10.38
|
Pledge and Intercreditor Agreement, among Dexia Crédit Local, Dexia Bank Belgium S.A., Financial Security Assurance Inc. and FSA Asset Management LLC, dated November 13, 2008 (Incorporated by reference to Exhibit 10.3 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended September 30, 2008)
|
10.39
|
Amended and Restated Pledge and Intercreditor Agreement, dated as of February 20, 2009, between Dexia Crédit Local, Dexia Bank Belgium S.A., Financial Security Assurance Inc., FSA Asset Management LLC, FSA Capital Markets Services LLC and FSA Capital Management Services LLC (Incorporated by reference to Exhibit 10.19 to Financial Security Assurance Holdings Ltd.'s Form 10-K for the year ended December 31, 2008)
|
10.40
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust I (Incorporated by reference to Exhibit 99.5 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.41
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust II (Incorporated by reference to Exhibit 99.6 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.42
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust III (Incorporated by reference to Exhibit 99.7 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.43
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust IV (Incorporated by reference to Exhibit 99.8 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.44
|
Contribution Agreement, dated as of November 22, 2006, between Dexia S.A. and Financial Security Assurance Holdings Ltd. (Incorporated by reference to Exhibit 10.4 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 28, 2006)
|
10.45
|
Replacement Capital Covenant, dated as of November 22, 2006, by Financial Security Assurance Holdings Ltd. (Incorporated by reference to Exhibit 10.5 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 28, 2006)
|
10.46
|
Agreement and Amendment between Dexia Holdings Inc., Dexia Credit Local S.A. and the Company dated as of June 9, 2009 (Incorporated by reference to Exhibit 10.1 to Form 8-K filed on June 12, 2009)
|
10.47
|
Second Amendment to Investment Agreement dated as June 10, 2009 between the Company and WLR Recovery Fund IV, L.P. (Incorporated by reference to Exhibit 10.2 to Form 8-K filed on June 12, 2009)
|
|
|
Exhibit
Number
|
Description of Document
|
10.48
|
Summary of Annual Compensation*
|
10.49
|
Director Compensation Summary (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended September 30, 2013)*
|
10.50
|
Assured Guaranty Ltd. 2004 Long-Term Incentive Plan, as amended and restated as of May 7, 2009 and as amended by the First Amendment (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended September 30, 2012)*
|
10.51
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.34 to Form 10-K for the year ended December 31, 2005)*
|
10.52
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.35 to Form 10-K for the year ended December 31, 2005)*
|
10.53
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.66 to Form 10-K for the year ended December 31, 2007)*
|
10.54
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.67 to Form 10-K for the year ended December 31, 2007)*
|
10.55
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.71 to Form 10-K for the year ended December 31, 2008)*
|
10.56
|
Non-Qualified Stock Option Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.19 to Form 10-Q for the quarter ended June 30, 2009)*
|
10.57
|
2010 Form of Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended March 31, 2010)*
|
10.58
|
2010 Form of Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan for use without employment agreement (Incorporated by reference to Exhibit 10.4 to Form 10-Q for the quarter ended March 31, 2010)*
|
10.59
|
2012 Form of Executive Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.7 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.60
|
2013 Form of Executive Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.61
|
Restricted Stock Unit Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long Term Incentive Plan (Incorporated by reference to Exhibit 10.37 to Form 10-K for the year ended December 31, 2005)*
|
10.62
|
Restricted Stock Unit Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended June 30, 2007)*
|
10.63
|
Restricted Stock Unit Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended June 30, 2008)*
|
10.64
|
Form of amendment to Restricted Stock Unit Awards for Outside Directors (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended June 30, 2008)*
|
10.65
|
Restricted Stock Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended June 30, 2008)*
|
10.66
|
2010 Form of Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended March 31, 2010)*
|
10.67
|
2010 Form of Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used without employment agreement (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended March 31, 2010)*
|
10.68
|
Form of Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.6 to Form 10-Q for the quarter ended March 31, 2011)*
|
10.69
|
Form of Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used without employment agreement (Incorporated by reference to Exhibit 10.7 to the Form 10-Q for the quarter ended March 31, 2011)*
|
|
|
Exhibit
Number
|
Description of Document
|
10.70
|
2012 Form of Executive Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.8 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.71
|
2013 Form of Executive Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.72
|
2012 Form of Executive Performance-Based Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.9 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.73
|
2013 Form of Executive Performance-Based Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.74
|
First Amendment to the Restricted Stock Unit Agreement for Outside Directors (Incorporated by reference to Exhibit 10.106 to Form 10-K for the year ended December 31, 2012)*
|
10.75
|
Assured Guaranty Ltd. Employee Stock Purchase Plan, as amended through the second amendment (Incorporated by reference to Exhibit 10.5 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.76
|
Assured Guaranty Ltd. Performance Retention Plan (As Amended and Restated as of February 14, 2008 for Awards Granted during 2007) (Incorporated by reference to Exhibit 10.50 to Form 10-K for the year ended December 31, 2007)*
|
10.77
|
Assured Guaranty Ltd. Performance Retention Plan (As Amended and Restated as of February 14, 2008) (Incorporated by reference to Exhibit 10.58 to Form 10-K for the year ended December 31, 2007)*
|
10.78
|
Terms of Performance Retention Award, Four Year Installment Vesting Granted on February 25, 2010 for participants subject to $1 million limit (Incorporated by reference to Exhibit 10.5 to Form 10-Q for the quarter ended March 31, 2010)*
|
10.79
|
Terms of Performance Retention Award, Four Year Installment Vesting Granted on February 9, 2011 for participants subject to $1 million limit (Incorporated by reference to Exhibit 10.5 to Form 10-Q for the quarter ended March 31, 2011)*
|
10.80
|
Terms of Performance Retention Award Four Year Installment Vesting Granted on February 9, 2012 for participants Subject to $1 million Limit (Incorporated by reference to Exhibit 10.10 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.81
|
Terms of Performance Retention Award Four Year Installment Vesting Granted on February 7, 2013 for Participants Subject to $1 million Limit (Incorporated by reference to Exhibit 10.4 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.82
|
Assured Guaranty Ltd. Executive Severance Plan (Incorporated by reference to Exhibit 10.5 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.83
|
Form of Acknowledgement Letter for Participants in Assured Guaranty Ltd. Executive Severance Plan (Incorporated by reference to Exhibit 10.11 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.84
|
Assured Guaranty Ltd. Perquisite Policy (Incorporated by reference to Exhibit 10.6 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.85
|
Form of Indemnification Agreement between the Company and its executive officers and directors (Incorporated by reference to Exhibit 10.42 to Form 10-K for the year ended December 31, 2005)*
|
10.86
|
Assured Guaranty Ltd. Executive Officer Recoupment Policy (Incorporated by reference to Exhibit 10.69 to Form 10-K for the year ended December 31, 2008)*
|
10.87
|
Form of Acknowledgement of Assured Guaranty Ltd. Executive Officer Recoupment Policy (Incorporated by reference to Exhibit 10.70 to Form 10-K for the year ended December 31, 2008)*
|
10.88
|
Assured Guaranty Ltd. Supplemental Employee Retirement Plan, as amended and restated effective January 1, 2009 and as amended by the First, Second, Third, Fourth and Fifth Amendments (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended September 30, 2012)*
|
10.89
|
Assured Guaranty Corp. Supplemental Executive Retirement Plan as amended through the Third Amendment thereto (Incorporated by reference to Exhibit 4.5 to Form S-8 (#333-178625))*
|
10.90
|
Financial Security Assurance Holdings Ltd. 1989 Supplemental Executive Retirement Plan (amended and restated as of December 17, 2004) (Incorporated by reference to Exhibit 10.4 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on December 17, 2004)*
|
|
|
Exhibit
Number
|
Description of Document
|
10.91
|
Amendment to the Financial Security Assurance Holdings Ltd. 1989 Supplemental Employee Retirement Plan (Incorporated by reference to Exhibit 10.29 to Form 10-Q for the quarter ended June 30, 2009)*
|
10.92
|
Financial Security Assurance Holdings Ltd. 2004 Supplemental Executive Retirement Plan, as amended on February 14, 2008 (Incorporated by reference to Exhibit 10.3 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on February 15, 2008)*
|
12.1
|
Computation of Ratio of Earnings to Fixed Charges
|
21.1
|
Subsidiaries of the registrant
|
23.1
|
Accountants Consent
|
31.1
|
Certification of CEO Pursuant to Exchange Act Rules 13A-14 and 15D-14, as Adopted Pursuant to Section 302 of the Sarbanes‑Oxley Act of 2002
|
31.2
|
Certification of CFO Pursuant to Exchange Act Rules 13A-14 and 15D-14, as Adopted Pursuant to Section 302 of the Sarbanes‑Oxley Act of 2002
|
32.1
|
Certification of CEO Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes‑ Oxley Act of 2002
|
32.2
|
Certification of CFO Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes‑ Oxley Act of 2002
|
101.1
|
The following financial information from Registrant's Annual Report on Form 10-K for the year ended December 31, 2013 formatted in XBRL (eXtensible Business Reporting Language) interactive data files pursuant to Rule 405 of Regulation S-T: (i) Consolidated Balance Sheets at December 31, 2013 and 2012; (ii) Consolidated Statements of Operations for the years ended December 31, 2013, 2012 and 2011; (iii) Consolidated Statements of Comprehensive Income for the years ended December 31, 2013, 2012 and 2011; (iv) Consolidated Statements of Shareholders' Equity for the years ended December 31, 2013, 2012 and 2011; (v) Consolidated Statements of Cash Flows for the years ended December 31, 2013, 2012 and 2011; and (vi) Notes to Consolidated Financial Statements.
|
*
|
Management contract or compensatory plan
|
|
Assured Guaranty Ltd.
|
|
|
|
|
|
|
|
|
By:
|
/s/ Dominic J. Frederico
Name: Dominic J. Frederico
Title:
President and Chief Executive Officer
|
|
|
Name
|
|
|
|
|
Position
|
|
|
|
|
Date
|
|
|
|
|
|
||||||||||||
/s/ Robin Monro‑Davies
Robin Monro‑Davies
|
Chairman of the Board; Director
|
February 28, 2014
|
||||||||||||
|
|
|
||||||||||||
/s/ Dominic J. Frederico
Dominic J. Frederico
|
President and Chief Executive Officer; Director
|
February 28, 2014
|
||||||||||||
|
|
|
||||||||||||
/s/ Robert A. Bailenson
Robert A. Bailenson
|
Chief Financial Officer (Principal Financial and Accounting Officer and Duly Authorized Officer)
|
February 28, 2014
|
||||||||||||
|
|
|
||||||||||||
/s/ Neil Baron
Neil Baron
|
Director
|
February 28, 2014
|
||||||||||||
|
|
|
||||||||||||
/s/ Francisco L. Borges
Francisco L. Borges
|
Director
|
February 28, 2014
|
||||||||||||
|
|
|
||||||||||||
/s/ G. Lawrence Buhl
G. Lawrence Buhl
|
Director
|
February 28, 2014
|
||||||||||||
|
|
|
||||||||||||
/s/ Stephen A. Cozen
Stephen A. Cozen
|
Director
|
February 28, 2014
|
||||||||||||
|
|
|
||||||||||||
/s/ Bonnie L. Howard
Bonnie L. Howard
|
Director
|
February 28, 2014
|
||||||||||||
|
|
|
||||||||||||
/s/ Patrick W. Kenny
Patrick W. Kenny
|
Director
|
February 28, 2014
|
||||||||||||
|
|
|
||||||||||||
/s/ Simon W. Leathes
Simon W. Leathes
|
Director
|
February 28, 2014
|
||||||||||||
|
|
|
||||||||||||
/s/ Michael T. O'Kane
Michael T. O'Kane
|
Director
|
February 28, 2014
|
||||||||||||
|
|
|
||||||||||||
/s/ Wilbur L. Ross, Jr.
Wilbur L. Ross, Jr.
|
Director
|
February 28, 2014
|
|
|
|
|
2
|
|
|
3
|
|
In its capacity as a Bank and, with respect to its New York Branch, as Agent under the Agreement
|
|
|
DEXIA CRÉDIT LOCAL S.A.
|
|
|
By:
/s/ Pascal Poupelle
Name: Pascal Poupelle
Title: CEO
|
|
|
In its capacity as a Bank:
|
|
|
DEXIA BANK BELGIUM SA
|
|
|
By:
/s/ Chris Jennes
Name: Chris Jennes
Title: Company Lawyer
|
By:
/s/ Joris Laenen
Name: Joris Laenen
Title: Head of Dealing Room
|
|
FSA ASSET MANAGEMENT LLC
|
|
|
By: Dexia Financial Products Services LLC, its
agent and attorney-in-fact
|
|
|
By:
/s/ Laurent Bouscharain
Name: Laurent Bouscharain
Title: Chief Financial Officer
|
|
|
|
FSA ASSET MANAGEMENT LLC
By: Dexia Financial Products Services LLC, its agent and attorney-in-fact
By:
/s/ Guy Cools
Its: Chief Executive Officer
Date: May 16, 2012
|
|
|
DEXIA CRÉDIT LOCAL S.A., in its capacity as a Bank and, with respect to its New York Branch, as Agent
By:
/s/ Guy Creveau
Its: Deputy CFO
Date: May 16, 2012
|
By:
/s/ J. Vankelecom
Its: CFO
Date: May 16, 2012
|
|
DEXIA BANK BELGIUM S.A., in its capacity as a Bank
By:
/s/ Ann De Boeck
Its: Secretary General
Member of the Management Board
Dexia Bank SA
Date: May 16, 2012
|
|
|
FSA ASSET MANAGEMENT LLC
By: Dexia Financial Products Services LLC, its agent and attorney-in-fact
By:
Its:
Date:
|
Re:
|
Assignment Pursuant to the Amended and Restated Revolving Credit Agreement, as Amended
|
For Belfius Bank SA/NV
Signed on December 12, 2013
|
|
|
/s/ Kristin Claessens
|
|
/s/ Bruno Accou
|
Name: Kristin Claessens
|
|
Name: Bruno Accou
|
Title: Head of Operations &
Organization Financial Markets
|
|
Title: Head of TFM Risk MGT
|
For Dexia Crédit Local S.A.
Signed on December 12, 2013
|
/s/ Benoit Debroise
|
Name: Denoit Vebroise
|
Title: Head of Treasury & Financial
Markets
|
Confirmed:
|
For FSA Asset Management LLC
Signed on December 12, 2013
|
Dexia Financial Products Services, LLC,
Its Agent and Attorney-in-Fact
|
/s/ Guy Cools
|
Name: Guy Cools
|
Title: CEO
|
|
|
|
SECTION 1.
|
DEFINITIONS AND PRINCIPLES OF CONSTRUCTION 1
|
1.01
|
Defined Terms 1
|
1.02
|
Principles of Construction 11
|
SECTION 2.
|
AMOUNT AND TERMS OF CREDIT 12
|
2.01
|
The Loans 12
|
2.02
|
Amount of Each Borrowing 12
|
2.03
|
Notice of Borrowing 12
|
2.04
|
Disbursement of Funds 12
|
2.05
|
Note 13
|
2.06
|
Reserved 13
|
2.07
|
Interest 13
|
2.08
|
Change of Office 13
|
2.09
|
Strip Policies 14
|
SECTION 3.
|
COMMISSIONS; FEES; REDUCTIONS OF COMMITMENT 14
|
3.01
|
Fees 14
|
3.02
|
Voluntary Reduction of Commitment 15
|
3.03
|
Mandatory Reduction of Commitments 15
|
SECTION 4.
|
PREPAYMENTS; PAYMENTS 15
|
4.01
|
Voluntary Prepayments 15
|
4.02
|
Mandatory Payments 16
|
4.03
|
Method and Place of Payment 16
|
4.04
|
Net Payments 17
|
SECTION 5.
|
CONDITIONS PRECEDENT TO EFFECTIVENESS 19
|
5.01
|
Execution of Agreement 19
|
5.02
|
Closing 19
|
5.03
|
Note 19
|
SECTION 6.
|
CONDITIONS PRECEDENT TO ALL CREDIT EVENTS 19
|
6.01
|
Effectiveness 19
|
6.02
|
No Default 19
|
6.03
|
Representations and Warranties 19
|
6.04
|
Covenants 19
|
6.05
|
Judgments 20
|
|
i
|
|
6.06
|
Borrower Change of Control 20
|
6.07
|
Notice of Borrowing 20
|
SECTION 7.
|
REPRESENTATIONS, WARRANTIES AND AGREEMENTS 20
|
7.01
|
Corporate Status 21
|
7.02
|
Corporate Power and Authority 21
|
7.03
|
No Violation 21
|
7.04
|
Governmental Approvals 21
|
7.05
|
Litigation 21
|
7.06
|
Use of Proceeds; Margin Regulations 22
|
7.07
|
Tax Returns and Payments 22
|
7.08
|
Financial Statements; Financial Condition; Undisclosed Liabilities; etc 22
|
7.09
|
Compliance with Statutes, etc 22
|
7.10
|
Consolidated Net Worth at Effective Date 22
|
SECTION 8.
|
AFFIRMATIVE COVENANTS 23
|
8.01
|
Information Covenants 23
|
8.02
|
Books, Records and Inspections 24
|
8.03
|
Reserved. 24
|
8.04
|
Compliance with Statutes, etc 24
|
8.05
|
Reserved 24
|
8.06
|
Payment of Taxes 24
|
8.07
|
Use of Proceeds 24
|
8.08
|
Strip Policies 24
|
8.09
|
Collection of Recoveries 24
|
8.10
|
Business 25
|
SECTION 9.
|
NEGATIVE COVENANTS 25
|
9.01
|
Consolidation, Merger, Sale of Assets, etc 25
|
9.02
|
Dividends 26
|
9.03
|
Debt to Total Capitalization Ratio 26
|
9.04
|
Minimum Net Worth 26
|
9.05
|
Liens 26
|
SECTION 10.
|
EVENTS OF DEFAULT 27
|
10.01
|
Payments 27
|
|
ii
|
|
10.02
|
Bankruptcy, etc 27
|
10.03
|
Default Under Other Agreements 27
|
SECTION 11.
|
RESERVED 29
|
SECTION 12.
|
GRANT AND PERFECTION OF SECURITY INTEREST 29
|
12.01
|
Grant of Security Interest 28
|
12.02
|
Perfection of Security Interests 29
|
12.03
|
Certain Remedies 29
|
12.04
|
Release of Security Interest; Removal from Schedule II 30
|
12.05
|
Savings Clause 31
|
SECTION 13.
|
MISCELLANEOUS 31
|
13.01
|
Payment of Expenses, etc 31
|
13.02
|
Transaction Agreement 31
|
13.03
|
Notices 31
|
13.04
|
Benefit of Agreement 31
|
13.05
|
No Waiver; Remedies Cumulative 33
|
13.06
|
Calculations; Computations 33
|
13.07
|
Governing Law; Submission to Jurisdiction; Venue 33
|
13.08
|
Obligation to Make Payments in Dollars 34
|
13.09
|
Counterparts 34
|
13.10
|
Effectiveness 34
|
13.11
|
Table of Contents and Headings Descriptive 34
|
13.12
|
Amendment or Waiver 34
|
13.13
|
SOVEREIGN IMMUNITY 34
|
13.14
|
WAIVER OF JURY TRIAL 35
|
13.15
|
Survival 35
|
13.16
|
Confidentiality 35
|
|
iii
|
|
(a)
|
such Person has used commercially reasonable efforts to cause the applicable Rating Agency to provide a written confirmation that the occurrence of such event or circumstance will not cause such Rating Agency to downgrade or withdraw its Rating assigned to such Person;
|
(b)
|
such Rating Agency has indicated to DCL and FSA, orally or in writing that, as a matter of policy, such Rating Agency will not issue the written confirmation referred to in
clause (a)
above;
|
(c)
|
such Person has provided such Rating Agency with the documents and other information as such Rating Agency requests in order for such Rating Agency to evaluate the effect of such event or circumstance on the Rating of such Person;
|
(d)
|
more than 30 Business Days have elapsed since the date on which all such documents and information have been provided to such Rating Agency; and
|
(e)
|
during such 30-Business Day period, such Rating Agency has not (i) downgraded or withdrawn the Rating of such Person as a result of such event or circumstances or (ii) indicated to DCL and FSA that such event or circumstance would have negative implications for its Rating of such Person.
|
(a)
|
the greater of (i) zero and (ii) 25% of the aggregate of Consolidated Net Income (or Loss) for the period beginning on the first day after the Effective Date and ending on the fifth anniversary of the Financial Cutoff Date, and
|
(b)
|
a fraction, the numerator of which is the Commitment Amount as of such Supplemental Calculation Date and the denominator of which is $1,000,000,000.
|
Transaction
|
Closing Date
|
Country
|
FSA Strip Policy No.
|
Alameda-Contra Costa Transit District
|
9/15/2003
|
U.S.
|
201708
|
Alameda-Contra Costa Transit District
|
12/22/2003
|
U.S.
|
202183
|
BART
|
3/19/2002
|
U.S.
|
28650
|
Bi-State Dev Agency
|
8/28/2001
|
U.S.
|
27838
|
Bi-State Dev Agency
|
11/29/2001
|
U.S.
|
28250
|
Boston University
|
6/30/1998
|
U.S.
|
23689
|
CALTRANS
|
5/4/2000
|
U.S.
|
26150
|
CALTRANS
|
12/18/2001
|
U.S.
|
28331
|
CALTRANS
|
5/21/2002
|
U.S.
|
28942
|
Chicago TA
|
6/11/1998
|
U.S.
|
23553
|
Chicago TA
|
7/25/2002
|
U.S.
|
29371
|
Chicago TA
|
12/10/2002
|
U.S.
|
200079
|
Chicago TA
|
9/23/2003
|
U.S.
|
201709
|
DART
|
7/10/2002
|
U.S.
|
29316
|
DART
|
5/26/1998
|
U.S.
|
23552
|
DART
|
9/28/2000
|
U.S.
|
26597
|
DART
|
10/26/2000
|
U.S.
|
26668
|
Denver Regional TD
|
12/12/1997
|
U.S.
|
22830
|
Greater Cleveland RTA
|
9/30/2002
|
U.S.
|
29714
|
Houston Metro
|
5/2/2002
|
U.S.
|
28871
|
Houston Metro
|
12/19/2002
|
U.S.
|
29931
|
Houston Metro
|
4/22/2003
|
U.S.
|
200721
|
LACMTA
|
6/28/2000
|
U.S.
|
26293
|
LACMTA
|
9/25/2001
|
U.S.
|
27942
|
LACMTA
|
9/26/2002
|
U.S.
|
29685
|
LACMTA
|
7/18/2003
|
U.S.
|
201377
|
MARTA South Line
|
9/29/2003
|
U.S.
|
201782
|
Metra
|
9/18/1998
|
U.S.
|
24165
|
Miami-Dade Co TA
|
8/13/2002
|
U.S.
|
29406
|
Miami-Dade Co TA
|
12/23/1998
|
U.S.
|
24557
|
NJ Transit
|
3/13/1998
|
U.S.
|
23139
|
NJ Transit
|
9/3/1998
|
U.S.
|
24099
|
NJ Transit
|
12/21/2000
|
U.S.
|
26834
|
NJ Transit
|
2/1/2001
|
U.S.
|
26917
|
NJ Transit
|
9/29/2003
|
U.S.
|
201776
|
NJ Transit
|
9/29/2003
|
U.S.
|
201777
|
NJ Transit
|
12/27/2001
|
U.S.
|
28332
|
NJ Transit
|
8/22/2003
|
U.S.
|
201586
|
NY MTA
|
9/25/2002
|
U.S.
|
29687
|
NY MTA
|
12/17/2002
|
U.S.
|
200139
|
PACE
|
9/23/2003
|
U.S.
|
201710
|
PACE
|
11/13/2003
|
U.S.
|
201980
|
Peninsula Corridor
|
2/2/2002
|
U.S.
|
28464
|
Peninsula Corridor
|
11/2/2000
|
U.S.
|
26690
|
Peninsula Corridor
|
9/28/2001
|
U.S.
|
27972
|
San Antonio Elect/Gas
|
6/2/2000
|
U.S.
|
26228
|
San Francisco, CA
|
4/18/2002
|
U.S.
|
28782
|
San Francisco, CA
|
9/25/2003
|
U.S.
|
201771
|
San Joaquin
|
12/14/1998
|
U.S.
|
24573
|
Santa Clara VTD
|
9/24/1998
|
U.S.
|
24176
|
SCRRA
|
12/18/1998
|
U.S.
|
24617
|
SCRRA
|
8/22/2002
|
U.S.
|
29487
|
SEPTA
|
11/16/2001
|
U.S.
|
27997
|
SEPTA
|
9/25/2002
|
U.S.
|
29686
|
SEPTA
|
4/9/2003
|
U.S.
|
200631
|
Tri-Met
|
6/16/1998
|
U.S.
|
23648
|
WMATA
|
10/29/1998
|
U.S.
|
24318
|
WMATA
|
12/18/1998
|
U.S.
|
24608A
|
WMATA
|
3/12/1999
|
U.S.
|
24990
|
Stockholm
|
6/14/2002
|
Sweden
|
29133
|
Stockholm
|
9/27/2002
|
Sweden
|
29689
|
Metro de Lisboa
|
9/28/2001
|
Portugal
|
27964
|
Metro de Porto
|
12/20/2002
|
Portugal
|
200148
|
Metro de Porto
|
8/6/2003
|
Portugal
|
201484
|
LVNL (Dutch Air Traffic Control)
|
9/18/2006
|
Netherlands
|
51754
|
NS Groep
|
12/23/1998
|
Netherlands
|
24654
|
Erftverband
|
9/28/2001
|
Germany
|
27995
|
Konstanz
|
12/21/2000
|
Germany
|
26835
|
Ruhrverband
|
12/14/2001
|
Germany
|
28319
|
RATP
|
9/30/2002
|
France
|
29688
|
SNCF
|
4/13/1999
|
France
|
25078
|
SNCF
|
4/13/1999
|
France
|
80027
|
Energie Oberoestereich
|
12/14/2007
|
Austria
|
51890
|
IKB
|
5/30/2006
|
Austria
|
51735
|
Verbund
|
10/18/2006
|
Austria
|
51767
|
Period Beginning
|
Period Ending
|
Initial Maximum Commitment Amount
|
Aggregate Strip Policy Exposure
|
July 1, 2009
|
July 31, 2009
|
1,000,000,000
|
2,377,492,109
|
August 1, 2009
|
August 31, 2009
|
1,000,000,000
|
2,376,812,775
|
September 1, 2009
|
September 30, 2009
|
1,000,000,000
|
2,376,168,422
|
October 1, 2009
|
October 31, 2009
|
1,000,000,000
|
2,375,413,380
|
November 1, 2009
|
November 30, 2009
|
1,000,000,000
|
2,374,544,702
|
December 1, 2009
|
December 31, 2009
|
1,000,000,000
|
2,373,714,427
|
January 1, 2010
|
January 31, 2010
|
1,000,000,000
|
2,391,866,640
|
February 1, 2010
|
February 28, 2010
|
1,000,000,000
|
2,415,436,687
|
March 1, 2010
|
March 31, 2010
|
998,673,136
|
2,412,231,732
|
April 1, 2010
|
April 30, 2010
|
998,064,038
|
2,410,760,494
|
May 1, 2010
|
May 31, 2010
|
997,449,669
|
2,409,276,523
|
June 1, 2010
|
June 30, 2010
|
996,785,340
|
2,407,671,880
|
July 1, 2010
|
July 31, 2010
|
996,028,932
|
2,405,844,823
|
August 1, 2010
|
August 31, 2010
|
995,249,924
|
2,403,963,179
|
September 1, 2010
|
September 30, 2010
|
994,484,814
|
2,402,115,104
|
October 1, 2010
|
October 31, 2010
|
993,677,767
|
2,400,165,733
|
November 1, 2010
|
November 30, 2010
|
992,796,099
|
2,398,036,121
|
December 1, 2010
|
December 31, 2010
|
991,884,725
|
2,395,834,754
|
January 1, 2011
|
January 31, 2011
|
994,062,886
|
2,401,095,965
|
February 1, 2011
|
February 28, 2011
|
993,405,346
|
2,399,507,717
|
March 1, 2011
|
March 31, 2011
|
991,783,932
|
2,395,591,296
|
April 1, 2011
|
April 30, 2011
|
990,696,402
|
2,392,964,434
|
May 1, 2011
|
May 31, 2011
|
989,559,917
|
2,390,219,328
|
June 1, 2011
|
June 30, 2011
|
988,382,609
|
2,387,375,615
|
July 1, 2011
|
July 31, 2011
|
987,086,992
|
2,384,246,134
|
August 1, 2011
|
August 31, 2011
|
985,797,590
|
2,381,131,664
|
September 1, 2011
|
September 30, 2011
|
984,520,367
|
2,378,046,613
|
October 1, 2011
|
October 31, 2011
|
983,192,095
|
2,374,838,258
|
November 1, 2011
|
November 30, 2011
|
981,850,573
|
2,371,597,895
|
December 1, 2011
|
December 31, 2011
|
980,521,296
|
2,368,387,110
|
January 1, 2012
|
January 31, 2012
|
982,519,463
|
2,373,213,557
|
February 1, 2012
|
February 29, 2012
|
981,280,513
|
2,370,220,952
|
March 1, 2012
|
March 31, 2012
|
979,766,621
|
2,366,564,241
|
April 1, 2012
|
April 30, 2012
|
978,148,097
|
2,362,654,799
|
May 1, 2012
|
May 31, 2012
|
976,452,915
|
2,358,560,194
|
June 1, 2012
|
June 30, 2012
|
974,754,943
|
2,354,458,849
|
July 1, 2012
|
July 31, 2012
|
972,902,765
|
2,349,985,031
|
August 1, 2012
|
August 31, 2012
|
971,100,291
|
2,345,631,268
|
September 1, 2012
|
September 30, 2012
|
969,310,264
|
2,341,307,572
|
October 1, 2012
|
October 31, 2012
|
963,572,577
|
2,327,448,554
|
November 1, 2012
|
November 30, 2012
|
961,822,001
|
2,323,220,147
|
December 1, 2012
|
December 31, 2012
|
960,086,483
|
2,319,028,114
|
January 1, 2013
|
January 31, 2013
|
989,905,140
|
2,391,053,192
|
February 1, 2013
|
February 28, 2013
|
988,707,084
|
2,388,159,364
|
March 1, 2013
|
March 31, 2013
|
986,836,315
|
2,383,640,639
|
April 1, 2013
|
April 30, 2013
|
984,932,972
|
2,379,043,234
|
May 1, 2013
|
May 31, 2013
|
982,978,228
|
2,374,321,674
|
June 1, 2013
|
June 30, 2013
|
981,016,130
|
2,369,582,350
|
July 1, 2013
|
July 31, 2013
|
978,904,934
|
2,364,482,889
|
August 1, 2013
|
August 31, 2013
|
976,843,445
|
2,359,503,496
|
September 1, 2013
|
September 30, 2013
|
974,794,470
|
2,354,554,324
|
October 1, 2013
|
October 31, 2013
|
972,677,556
|
2,349,441,052
|
November 1, 2013
|
November 30, 2013
|
970,510,940
|
2,344,207,730
|
December 1, 2013
|
December 31, 2013
|
968,463,939
|
2,339,263,329
|
January 1, 2014
|
January 31, 2014
|
966,290,274
|
2,334,012,979
|
February 1, 2014
|
February 28, 2014
|
960,061,482
|
2,318,967,724
|
March 1, 2014
|
March 31, 2014
|
957,619,732
|
2,313,069,832
|
April 1, 2014
|
April 30, 2014
|
955,339,761
|
2,307,562,706
|
May 1, 2014
|
May 31, 2014
|
952,992,560
|
2,301,893,193
|
June 1, 2014
|
June 30, 2014
|
950,716,192
|
2,296,394,768
|
July 1, 2014
|
July 31, 2014
|
948,241,330
|
2,290,416,897
|
August 1, 2014
|
August 31, 2014
|
945,885,242
|
2,284,725,916
|
September 1, 2014
|
September 30, 2014
|
943,547,428
|
2,279,079,074
|
October 1, 2014
|
October 31, 2014
|
941,188,220
|
2,273,380,556
|
November 1, 2014
|
November 30, 2014
|
939,512,466
|
2,269,332,879
|
December 1, 2014
|
December 31, 2014
|
936,486,014
|
2,262,022,674
|
January 1, 2015
|
January 31, 2015
|
945,244,250
|
2,283,177,641
|
February 1, 2015
|
February 28, 2015
|
928,393,197
|
2,242,474,987
|
March 1, 2015
|
March 31, 2015
|
926,081,820
|
2,236,892,003
|
April 1, 2015
|
April 30, 2015
|
923,644,793
|
2,231,005,520
|
May 1, 2015
|
May 31, 2015
|
921,150,532
|
2,224,980,789
|
June 1, 2015
|
June 30, 2015
|
918,678,381
|
2,219,009,464
|
July 1, 2015
|
July 31, 2015
|
916,144,339
|
2,212,888,647
|
August 1, 2015
|
August 31, 2015
|
913,578,938
|
2,206,692,082
|
September 1, 2015
|
September 30, 2015
|
911,023,457
|
2,200,519,480
|
October 1, 2015
|
October 31, 2015
|
908,408,476
|
2,194,203,161
|
November 1, 2015
|
November 30, 2015
|
905,797,411
|
2,187,896,298
|
December 1, 2015
|
December 31, 2015
|
908,939,770
|
2,195,486,468
|
January 1, 2016
|
January 31, 2016
|
910,198,141
|
2,198,525,981
|
February 1, 2016
|
February 29, 2016
|
906,634,013
|
2,189,917,057
|
March 1, 2016
|
March 31, 2016
|
903,697,100
|
2,182,823,128
|
April 1, 2016
|
April 30, 2016
|
900,985,800
|
2,176,274,157
|
May 1, 2016
|
May 31, 2016
|
898,194,395
|
2,169,531,693
|
June 1, 2016
|
June 30, 2016
|
895,417,479
|
2,162,824,228
|
July 1, 2016
|
July 31, 2016
|
892,336,213
|
2,155,381,625
|
August 1, 2016
|
August 31, 2016
|
889,463,711
|
2,148,443,279
|
September 1, 2016
|
September 30, 2016
|
886,634,166
|
2,141,608,693
|
October 1, 2016
|
October 31, 2016
|
883,746,805
|
2,134,634,455
|
November 1, 2016
|
November 30, 2016
|
880,862,037
|
2,127,666,481
|
December 1, 2016
|
December 31, 2016
|
877,992,900
|
2,120,736,261
|
January 1, 2017
|
January 31, 2017
|
873,076,662
|
2,108,861,399
|
February 1, 2017
|
February 28, 2017
|
862,207,040
|
2,082,606,516
|
March 1, 2017
|
March 31, 2017
|
859,144,720
|
2,075,209,676
|
April 1, 2017
|
April 30, 2017
|
855,767,908
|
2,067,053,201
|
May 1, 2017
|
May 31, 2017
|
852,543,218
|
2,059,264,166
|
June 1, 2017
|
June 30, 2017
|
849,326,364
|
2,051,494,059
|
July 1, 2017
|
July 31, 2017
|
845,988,235
|
2,043,431,019
|
August 1, 2017
|
August 31, 2017
|
842,613,227
|
2,035,278,901
|
September 1, 2017
|
September 30, 2017
|
839,192,085
|
2,027,015,350
|
October 1, 2017
|
October 31, 2017
|
835,649,200
|
2,018,457,734
|
November 1, 2017
|
November 30, 2017
|
832,054,685
|
2,009,775,411
|
December 1, 2017
|
December 31, 2017
|
828,418,123
|
2,000,991,526
|
January 1, 2018
|
January 31, 2018
|
820,349,388
|
1,981,502,007
|
February 1, 2018
|
February 28, 2018
|
810,972,329
|
1,958,852,315
|
March 1, 2018
|
March 31, 2018
|
807,793,716
|
1,951,174,577
|
April 1, 2018
|
April 30, 2018
|
804,373,376
|
1,942,912,963
|
May 1, 2018
|
May 31, 2018
|
801,053,698
|
1,934,894,489
|
June 1, 2018
|
June 30, 2018
|
797,792,975
|
1,927,018,421
|
July 1, 2018
|
July 31, 2018
|
793,523,592
|
1,916,705,996
|
August 1, 2018
|
August 31, 2018
|
790,266,007
|
1,908,837,507
|
September 1, 2018
|
September 30, 2018
|
787,016,954
|
1,900,989,624
|
October 1, 2018
|
October 31, 2018
|
783,697,240
|
1,892,971,066
|
November 1, 2018
|
November 30, 2018
|
780,342,705
|
1,884,868,399
|
December 1, 2018
|
December 31, 2018
|
777,031,060
|
1,876,869,329
|
January 1, 2019
|
January 31, 2019
|
771,184,712
|
1,862,747,846
|
February 1, 2019
|
February 28, 2019
|
759,648,450
|
1,834,882,736
|
March 1, 2019
|
March 31, 2019
|
756,538,851
|
1,827,371,695
|
April 1, 2019
|
April 30, 2019
|
753,155,330
|
1,819,199,016
|
May 1, 2019
|
May 31, 2019
|
739,234,099
|
1,785,573,164
|
June 1, 2019
|
June 30, 2019
|
735,955,223
|
1,777,653,245
|
July 1, 2019
|
July 31, 2019
|
722,000,391
|
1,743,946,231
|
August 1, 2019
|
August 31, 2019
|
718,646,044
|
1,735,844,020
|
September 1, 2019
|
September 30, 2019
|
715,294,691
|
1,727,749,039
|
October 1, 2019
|
October 31, 2019
|
701,268,426
|
1,693,869,483
|
November 1, 2019
|
November 30, 2019
|
697,880,521
|
1,685,686,214
|
December 1, 2019
|
December 31, 2019
|
694,388,088
|
1,677,250,463
|
January 1, 2020
|
January 31, 2020
|
677,271,644
|
1,635,906,777
|
February 1, 2020
|
February 29, 2020
|
672,248,150
|
1,623,772,843
|
March 1, 2020
|
March 31, 2020
|
668,754,294
|
1,615,333,656
|
April 1, 2020
|
April 30, 2020
|
665,255,711
|
1,606,883,051
|
May 1, 2020
|
May 31, 2020
|
661,760,053
|
1,598,439,510
|
June 1, 2020
|
June 30, 2020
|
658,300,936
|
1,590,084,231
|
July 1, 2020
|
July 31, 2020
|
654,845,898
|
1,581,738,806
|
August 1, 2020
|
August 31, 2020
|
651,384,241
|
1,573,377,394
|
September 1, 2020
|
September 30, 2020
|
647,924,627
|
1,565,020,916
|
October 1, 2020
|
October 31, 2020
|
644,474,474
|
1,556,687,289
|
November 1, 2020
|
November 30, 2020
|
641,058,319
|
1,548,435,782
|
December 1, 2020
|
December 31, 2020
|
637,645,109
|
1,540,191,390
|
January 1, 2021
|
January 31, 2021
|
631,083,549
|
1,524,342,357
|
February 1, 2021
|
February 28, 2021
|
626,993,404
|
1,514,462,871
|
March 1, 2021
|
March 31, 2021
|
623,643,931
|
1,506,372,431
|
April 1, 2021
|
April 30, 2021
|
619,940,072
|
1,497,425,994
|
May 1, 2021
|
May 31, 2021
|
616,385,186
|
1,488,839,391
|
June 1, 2021
|
June 30, 2021
|
612,833,925
|
1,480,261,546
|
July 1, 2021
|
July 31, 2021
|
609,253,720
|
1,471,613,786
|
August 1, 2021
|
August 31, 2021
|
605,661,864
|
1,462,937,886
|
September 1, 2021
|
September 30, 2021
|
602,070,858
|
1,454,264,038
|
October 1, 2021
|
October 31, 2021
|
598,458,370
|
1,445,538,304
|
November 1, 2021
|
November 30, 2021
|
594,850,026
|
1,436,822,576
|
December 1, 2021
|
December 31, 2021
|
591,243,553
|
1,428,111,369
|
January 1, 2022
|
January 31, 2022
|
583,691,835
|
1,409,870,671
|
February 1, 2022
|
February 28, 2022
|
578,307,561
|
1,396,865,299
|
March 1, 2022
|
March 31, 2022
|
574,847,811
|
1,388,508,493
|
April 1, 2022
|
April 30, 2022
|
570,990,815
|
1,379,192,163
|
May 1, 2022
|
May 31, 2022
|
567,306,508
|
1,370,292,953
|
June 1, 2022
|
June 30, 2022
|
563,624,563
|
1,361,399,447
|
July 1, 2022
|
July 31, 2022
|
559,940,146
|
1,352,499,972
|
August 1, 2022
|
August 31, 2022
|
556,230,516
|
1,343,539,596
|
September 1, 2022
|
September 30, 2022
|
552,520,701
|
1,334,578,771
|
October 1, 2022
|
October 31, 2022
|
548,201,812
|
1,324,146,768
|
November 1, 2022
|
November 30, 2022
|
544,277,984
|
1,314,669,010
|
December 1, 2022
|
December 31, 2022
|
540,622,526
|
1,305,839,484
|
January 1, 2023
|
January 31, 2023
|
529,454,144
|
1,278,862,964
|
February 1, 2023
|
February 28, 2023
|
524,907,934
|
1,267,881,882
|
March 1, 2023
|
March 31, 2023
|
519,501,527
|
1,254,823,047
|
April 1, 2023
|
April 30, 2023
|
515,871,847
|
1,246,055,784
|
May 1, 2023
|
May 31, 2023
|
512,471,097
|
1,237,841,489
|
June 1, 2023
|
June 30, 2023
|
509,091,015
|
1,229,677,115
|
July 1, 2023
|
July 31, 2023
|
505,736,222
|
1,221,573,826
|
August 1, 2023
|
August 31, 2023
|
502,359,479
|
1,213,417,516
|
September 1, 2023
|
September 30, 2023
|
499,009,327
|
1,205,325,436
|
October 1, 2023
|
October 31, 2023
|
495,702,344
|
1,197,337,628
|
November 1, 2023
|
November 30, 2023
|
492,408,358
|
1,189,381,212
|
December 1, 2023
|
December 31, 2023
|
489,164,539
|
1,181,545,972
|
January 1, 2024
|
January 31, 2024
|
479,857,780
|
1,159,066,086
|
February 1, 2024
|
February 29, 2024
|
476,555,287
|
1,151,089,124
|
March 1, 2024
|
March 31, 2024
|
473,092,289
|
1,142,724,470
|
April 1, 2024
|
April 30, 2024
|
469,621,943
|
1,134,342,071
|
May 1, 2024
|
May 31, 2024
|
466,144,415
|
1,125,942,322
|
June 1, 2024
|
June 30, 2024
|
462,668,319
|
1,117,546,032
|
July 1, 2024
|
July 31, 2024
|
459,179,422
|
1,109,118,822
|
August 1, 2024
|
August 31, 2024
|
455,656,760
|
1,100,610,055
|
October 1, 2027
|
October 31, 2027
|
304,190,661
|
734,753,283
|
November 1, 2027
|
November 30, 2027
|
300,421,532
|
725,649,191
|
December 1, 2027
|
December 31, 2027
|
297,914,606
|
719,593,868
|
January 1, 2028
|
January 31, 2028
|
283,506,899
|
684,792,965
|
February 1, 2028
|
February 29, 2028
|
274,819,225
|
663,808,437
|
March 1, 2028
|
March 31, 2028
|
272,178,759
|
657,430,560
|
April 1, 2028
|
April 30, 2028
|
270,092,870
|
652,392,227
|
May 1, 2028
|
May 31, 2028
|
268,015,766
|
647,375,113
|
June 1, 2028
|
June 30, 2028
|
265,939,663
|
642,360,419
|
July 1, 2028
|
July 31, 2028
|
263,865,505
|
637,350,421
|
August 1, 2028
|
August 31, 2028
|
261,748,374
|
632,236,626
|
September 1, 2028
|
September 30, 2028
|
259,627,188
|
627,113,035
|
October 1, 2028
|
October 31, 2028
|
257,508,414
|
621,995,271
|
November 1, 2028
|
November 30, 2028
|
255,390,675
|
616,880,006
|
December 1, 2028
|
December 31, 2028
|
253,276,611
|
611,773,618
|
January 1, 2029
|
January 31, 2029
|
242,265,825
|
585,177,762
|
February 1, 2029
|
February 28, 2029
|
237,992,270
|
574,855,260
|
March 1, 2029
|
March 31, 2029
|
235,914,741
|
569,837,120
|
April 1, 2029
|
April 30, 2029
|
232,816,272
|
562,352,965
|
May 1, 2029
|
May 31, 2029
|
230,565,955
|
556,917,466
|
June 1, 2029
|
June 30, 2029
|
228,071,603
|
550,892,517
|
July 1, 2029
|
July 31, 2029
|
225,829,232
|
545,476,211
|
August 1, 2029
|
August 31, 2029
|
223,545,134
|
539,959,118
|
September 1, 2029
|
September 30, 2029
|
221,010,752
|
533,837,478
|
October 1, 2029
|
October 31, 2029
|
218,626,719
|
528,078,998
|
November 1, 2029
|
November 30, 2029
|
216,388,615
|
522,672,999
|
December 1, 2029
|
December 31, 2029
|
214,154,108
|
517,275,688
|
January 1, 2030
|
January 31, 2030
|
206,594,402
|
499,015,699
|
February 1, 2030
|
February 28, 2030
|
204,064,463
|
492,904,789
|
March 1, 2030
|
March 31, 2030
|
199,814,950
|
482,640,362
|
April 1, 2030
|
April 30, 2030
|
200,731,631
|
484,854,546
|
May 1, 2030
|
May 31, 2030
|
198,466,393
|
479,383,007
|
June 1, 2030
|
June 30, 2030
|
195,708,403
|
472,721,257
|
July 1, 2030
|
July 31, 2030
|
193,536,699
|
467,475,643
|
August 1, 2030
|
August 31, 2030
|
191,337,486
|
462,163,582
|
September 1, 2030
|
September 30, 2030
|
188,532,057
|
455,387,247
|
October 1, 2030
|
October 31, 2030
|
186,391,618
|
450,217,152
|
December 1, 2033
|
December 31, 2033
|
81,240,615
|
196,231,562
|
January 1, 2034
|
January 31, 2034
|
66,493,856
|
160,611,699
|
February 1, 2034
|
February 28, 2034
|
65,843,277
|
159,040,267
|
March 1, 2034
|
March 31, 2034
|
65,345,523
|
157,837,975
|
April 1, 2034
|
April 30, 2034
|
64,792,236
|
156,501,543
|
May 1, 2034
|
May 31, 2034
|
64,254,582
|
155,202,875
|
June 1, 2034
|
June 30, 2034
|
63,696,710
|
153,855,369
|
July 1, 2034
|
July 31, 2034
|
63,243,110
|
152,759,728
|
August 1, 2034
|
August 31, 2034
|
62,842,538
|
151,792,172
|
September 1, 2034
|
September 30, 2034
|
62,440,283
|
150,820,551
|
October 1, 2034
|
October 31, 2034
|
62,160,926
|
150,145,782
|
November 1, 2034
|
November 30, 2034
|
61,959,381
|
149,658,961
|
December 1, 2034
|
December 31, 2034
|
61,959,381
|
149,658,961
|
January 1, 2035
|
January 31, 2035
|
55,410,047
|
133,839,460
|
February 1, 2035
|
February 28, 2035
|
55,410,047
|
133,839,460
|
March 1, 2035
|
March 31, 2035
|
55,410,047
|
133,839,460
|
April 1, 2035
|
April 30, 2035
|
55,410,047
|
133,839,460
|
May 1, 2035
|
May 31, 2035
|
55,410,047
|
133,839,460
|
June 1, 2035
|
June 30, 2035
|
55,410,047
|
133,839,460
|
July 1, 2035
|
July 31, 2035
|
55,410,047
|
133,839,460
|
August 1, 2035
|
August 31, 2035
|
55,410,047
|
133,839,460
|
September 1, 2035
|
September 30, 2035
|
55,410,047
|
133,839,460
|
October 1, 2035
|
October 31, 2035
|
55,410,047
|
133,839,460
|
November 1, 2035
|
November 30, 2035
|
55,410,047
|
133,839,460
|
December 1, 2035
|
December 31, 2035
|
55,410,047
|
133,839,460
|
January 1, 2036
|
January 31, 2036
|
48,802,857
|
117,880,212
|
February 1, 2036
|
February 29, 2036
|
48,802,857
|
117,880,212
|
March 1, 2036
|
March 31, 2036
|
48,802,857
|
117,880,212
|
April 1, 2036
|
April 30, 2036
|
48,802,857
|
117,880,212
|
May 1, 2036
|
May 31, 2036
|
48,802,857
|
117,880,212
|
June 1, 2036
|
June 30, 2036
|
48,802,857
|
117,880,212
|
July 1, 2036
|
July 31, 2036
|
48,802,857
|
117,880,212
|
August 1, 2036
|
August 31, 2036
|
48,802,857
|
117,880,212
|
September 1, 2036
|
September 30, 2036
|
48,802,857
|
117,880,212
|
October 1, 2036
|
October 31, 2036
|
48,802,857
|
117,880,212
|
November 1, 2036
|
November 30, 2036
|
48,802,857
|
117,880,212
|
December 1, 2036
|
December 31, 2036
|
48,802,857
|
117,880,212
|
January 1, 2037
|
January 31, 2037
|
41,522,266
|
100,294,404
|
February 1, 2037
|
February 28, 2037
|
41,522,266
|
100,294,404
|
March 1, 2037
|
March 31, 2037
|
41,522,266
|
100,294,404
|
April 1, 2037
|
April 30, 2037
|
41,522,266
|
100,294,404
|
May 1, 2037
|
May 31, 2037
|
41,522,266
|
100,294,404
|
June 1, 2037
|
June 30, 2037
|
41,522,266
|
100,294,404
|
July 1, 2037
|
July 31, 2037
|
41,522,266
|
100,294,404
|
August 1, 2037
|
August 31, 2037
|
41,522,266
|
100,294,404
|
September 1, 2037
|
September 30, 2037
|
41,522,266
|
100,294,404
|
October 1, 2037
|
October 31, 2037
|
41,522,266
|
100,294,404
|
November 1, 2037
|
November 30, 2037
|
41,522,266
|
100,294,404
|
December 1, 2037
|
December 31, 2037
|
41,522,266
|
100,294,404
|
January 1, 2038
|
January 31, 2038
|
34,138,445
|
82,459,252
|
February 1, 2038
|
February 28, 2038
|
34,138,445
|
82,459,252
|
March 1, 2038
|
March 31, 2038
|
34,138,445
|
82,459,252
|
April 1, 2038
|
April 30, 2038
|
34,138,445
|
82,459,252
|
May 1, 2038
|
May 31, 2038
|
34,138,445
|
82,459,252
|
June 1, 2038
|
June 30, 2038
|
34,138,445
|
82,459,252
|
July 1, 2038
|
July 31, 2038
|
34,138,445
|
82,459,252
|
August 1, 2038
|
August 31, 2038
|
34,138,445
|
82,459,252
|
September 1, 2038
|
September 30, 2038
|
34,138,445
|
82,459,252
|
October 1, 2038
|
October 31, 2038
|
34,138,445
|
82,459,252
|
November 1, 2038
|
November 30, 2038
|
34,138,445
|
82,459,252
|
December 1, 2038
|
December 31, 2038
|
34,138,445
|
82,459,252
|
January 1, 2039
|
January 31, 2039
|
27,169,896
|
65,627,164
|
February 1, 2039
|
February 28, 2039
|
27,169,896
|
65,627,164
|
March 1, 2039
|
March 31, 2039
|
27,169,896
|
65,627,164
|
April 1, 2039
|
April 30, 2039
|
27,169,896
|
65,627,164
|
May 1, 2039
|
May 31, 2039
|
27,169,896
|
65,627,164
|
June 1, 2039
|
June 30, 2039
|
27,169,896
|
65,627,164
|
July 1, 2039
|
July 31, 2039
|
27,169,896
|
65,627,164
|
August 1, 2039
|
August 31, 2039
|
27,169,896
|
65,627,164
|
September 1, 2039
|
September 30, 2039
|
27,169,896
|
65,627,164
|
October 1, 2039
|
October 31, 2039
|
27,169,896
|
65,627,164
|
November 1, 2039
|
November 30, 2039
|
27,169,896
|
65,627,164
|
December 1, 2039
|
December 31, 2039
|
27,169,896
|
65,627,164
|
January 1, 2040
|
January 31, 2040
|
19,191,175
|
46,355,068
|
February 1, 2040
|
February 29, 2040
|
19,191,175
|
46,355,068
|
March 1, 2040
|
March 31, 2040
|
19,191,175
|
46,355,068
|
April 1, 2040
|
April 30, 2040
|
19,191,175
|
46,355,068
|
May 1, 2040
|
May 31, 2040
|
19,191,175
|
46,355,068
|
June 1, 2040
|
June 30, 2040
|
19,191,175
|
46,355,068
|
July 1, 2040
|
July 31, 2040
|
19,191,175
|
46,355,068
|
August 1, 2040
|
August 31, 2040
|
19,191,175
|
46,355,068
|
September 1, 2040
|
September 30, 2040
|
19,191,175
|
46,355,068
|
October 1, 2040
|
October 31, 2040
|
19,191,175
|
46,355,068
|
November 1, 2040
|
November 30, 2040
|
19,191,175
|
46,355,068
|
December 1, 2040
|
December 31, 2040
|
19,191,175
|
46,355,068
|
January 1, 2041
|
January 31, 2041
|
14,307,872
|
34,559,760
|
February 1, 2041
|
February 28, 2041
|
14,307,872
|
34,559,760
|
March 1, 2041
|
March 31, 2041
|
14,307,872
|
34,559,760
|
April 1, 2041
|
April 30, 2041
|
14,307,872
|
34,559,760
|
May 1, 2041
|
May 31, 2041
|
14,307,872
|
34,559,760
|
June 1, 2041
|
June 30, 2041
|
14,307,872
|
34,559,760
|
July 1, 2041
|
July 31, 2041
|
14,307,872
|
34,559,760
|
August 1, 2041
|
August 31, 2041
|
14,307,872
|
34,559,760
|
September 1, 2041
|
September 30, 2041
|
14,307,872
|
34,559,760
|
October 1, 2041
|
October 31, 2041
|
14,307,872
|
34,559,760
|
November 1, 2041
|
November 30, 2041
|
14,307,872
|
34,559,760
|
December 1, 2041
|
December 31, 2041
|
14,307,872
|
34,559,760
|
January 1, 2042
|
January 31, 2042
|
9,225,676
|
22,284,036
|
Amount to
be Transferred
|
Person to be Paid
Name
Account No.
|
Name, Address, etc.
Of Transferee
|
$____________
|
____________ __________
|
____________________
____________________
Attention: ____________
|
Date
|
Amount of Loan
|
Amount of Principal Repayment
|
Unpaid Principal Balance
|
Maturity Date
|
Notation Made By
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Date
|
Amount of Loan
|
Amount of Principal Repayment
|
Unpaid Principal Balance
|
Maturity Date
|
Notation Made By
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Executive Officer
|
Salary
|
||
Dominic J. Frederico
President and Chief Executive Officer
|
|
$950,000
|
|
James M. Michener
General Counsel
|
|
$500,000
|
|
Robert B. Mills
Chief Operating Officer
|
|
$520,000
|
|
Russell B. Brewer II
Chief Surveillance Officer
|
|
$390,000
|
|
Robert A. Bailenson
Chief Financial Officer
|
|
$475,000
|
|
•
|
In addition to salary, the named executive officers will be eligible to be considered to receive cash bonuses for 2014 performance.
|
•
|
The named executive officers will be eligible to be considered to receive grants in 2015 under Assured Guaranty’s long-term incentive plans for 2014 performance.
|
•
|
In 2014, the named executive officers will receive other annual compensation and benefits, including employer contributions to retirement plans and perquisites provided under the Assured Guaranty Ltd. Perquisite Policy.
|
|
Year Ended December 31,
|
||||||||||||||||||
|
2013
|
|
2012
|
|
2011
|
|
2010
|
|
2009
|
||||||||||
Income (loss) before income taxes
|
$
|
1,142
|
|
|
$
|
132
|
|
|
$
|
1,029
|
|
|
$
|
534
|
|
|
$
|
109
|
|
Fixed Charges
|
85
|
|
|
95
|
|
|
103
|
|
|
104
|
|
|
66
|
|
|||||
Income (loss) as adjusted
|
1,227
|
|
|
227
|
|
|
1,132
|
|
|
638
|
|
|
175
|
|
|||||
Fixed charges:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest expense
|
82
|
|
|
92
|
|
|
99
|
|
|
100
|
|
|
63
|
|
|||||
Portion of rents representative of the interest factor
|
3
|
|
|
3
|
|
|
4
|
|
|
4
|
|
|
3
|
|
|||||
Total fixed charges
|
$
|
85
|
|
|
$
|
95
|
|
|
$
|
103
|
|
|
$
|
104
|
|
|
$
|
66
|
|
Ratio of consolidated earnings to fixed charges
|
14.4
|
|
|
2.4
|
|
|
11.0
|
|
|
6.1
|
|
|
2.7
|
|
Assured Guaranty Re Ltd. (Bermuda domiciled subsidiary of Assured Guaranty Ltd.)
|
|
||
Assured Guaranty Credit Protection (Cayman) Ltd. (Cayman Islands domiciled company)
2
|
|
||
Cypress Point Funding Limited (Cayman Islands domiciled 23% owned subsidiary of Assured Guaranty Re Ltd.)
3
|
|
||
Assured Guaranty Overseas US Holdings Inc. (Delaware domiciled subsidiary of Assured Guaranty Re Ltd.)
|
|
||
Assured Guaranty Re Overseas Ltd. (Bermuda domiciled subsidiary of Assured Guaranty Overseas US Holdings Inc.)
|
|
||
Assured Guaranty Mortgage Insurance Company (New York domiciled subsidiary of Assured Guaranty Re Overseas Ltd.)
|
|
||
AG Intermediary Inc. (New York domiciled subsidiary of Assured Guaranty Re Overseas Ltd.)
|
|
||
Assured Guaranty Finance Overseas Ltd. (England domiciled subsidiary of Assured Guaranty Ltd.) |
|
||
Cedar Personnel Ltd. (Bermuda domiciled subsidiary of Assured Guaranty Ltd.) |
|
||
Assured Guaranty US Holdings Inc. (Delaware domiciled subsidiary of Assured Guaranty Ltd.)
|
|
||
Assured Guaranty Municipal Holdings Inc. (New York domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
||
FSA Portfolio Management Inc. (New York domiciled subsidiary of Assured Guaranty Municipal Holdings Inc.)
|
|
||
Transaction Services Corporation (New York domiciled subsidiary of Assured Guaranty Municipal Holdings Inc.)
|
|
||
Assured Guaranty Municipal Corp. (New York domiciled subsidiary of Assured Guaranty Municipal Holdings Inc.)
|
|
||
Assured Guaranty (Europe) Ltd. (England domiciled subsidiary of Assured Guaranty Municipal Corp.)
|
|
||
Municipal Assurance Holdings Inc. (Delaware domiciled 60.7% owned subsidiary of Assured Guaranty Municipal Corp. and 39.3% owned subsidiary of Assured Guaranty Corp.)
|
|
||
Municipal Assurance Corp. (New York domiciled subsidiary of Municipal Assurance Holdings Inc.)
|
|
||
Assured Guaranty (UK) Services Limited (England domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
||
Assured Guaranty Corp. (Maryland domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
||
Prescott, LLC (Delaware domiciled subsidiary of Assured Guaranty Corp.)
|
|
||
Assured Guaranty (UK) Ltd. (England domiciled subsidiary of Assured Guaranty Corp.)
|
|
AG PFC Holding LLC (Delaware domiciled subsidiary of Assured Guaranty Corp.)
|
|
||
AGFP Holdings LLC (Delaware domiciled subsidiary of AG PFC Holding LLC)
|
|
||
Portfolio Funding Company LLC I (Delaware domiciled 50% owned subsidiary of AGFP Holdings LLC)
4
|
|
|
|
AG Financial Products Inc. (Delaware domiciled subsidiary of Assured Guaranty US Holdings Inc.) |
|
|
|
AG Analytics Inc. (Delaware domiciled subsidiary of Assured Guaranty US Holdings Inc.) |
|
|
(1)
|
All subsidiaries are wholly owned except for Assured Guaranty Credit Protection (Cayman) Ltd., Cypress Point Funding Limited, and Portfolio Funding Company LLC I.
|
(2)
|
Assured Guaranty Credit Protection (Cayman) Ltd. is wholly owned by Maples FS Limited, an entity that is not owned or controlled by Assured Guaranty Ltd. The sole director of Assured Guaranty Credit Protection (Cayman) Ltd. is an officer of Assured Guaranty Re Ltd.
|
(3)
|
The remaining 77% of Cypress Point Funding Limited (Cayman) is 23% owned by XL Insurance Ltd. and 54% owned by Maples FS Limited.
|
1.
|
I have reviewed this Annual Report on Form 10-K of Assured Guaranty Ltd.
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent function):
|
|
By:
|
/s/ DOMINIC J. FREDERICO
|
|
|
|
|
|
Dominic J. Frederico
|
|
|
President and Chief Executive Officer
|
1.
|
I have reviewed this Annual Report on Form 10-K of Assured Guaranty Ltd.
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent function):
|
|
By:
|
/s/ ROBERT A. BAILENSON
|
|
|
|
|
|
Robert A. Bailenson
|
|
|
Chief Financial Officer
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ DOMINIC J. FREDERICO
|
|
|
|
Name: Dominic J. Frederico
|
|
Title:
President and Chief Executive Officer
|
|
Date: February 28, 2014
|
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ ROBERT A. BAILENSON
|
|
|
|
Name: Robert A. Bailenson
|
|
Title:
Chief Financial Officer
|
|
Date: February 28, 2014
|
|