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ý
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QUARTERLY REPORT UNDER SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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o
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Bermuda
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98-0429991
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(State or other jurisdiction
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(I.R.S. employer
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of incorporation)
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identification no.)
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Large accelerated filer
x
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Accelerated filer
o
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Non-accelerated filer
o
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Smaller reporting company
o
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(Do not check if a smaller reporting company)
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Page
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PART I.
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FINANCIAL INFORMATION
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ITEM 1.
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FINANCIAL STATEMENTS
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As of
June 30, 2014 |
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As of
December 31, 2013 |
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Assets
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Investment portfolio:
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Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $10,078 and $9,488)
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$
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10,530
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$
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9,711
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Short-term investments, at fair value
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979
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904
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Other invested assets
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126
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170
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Total investment portfolio
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11,635
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10,785
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Cash
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106
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184
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Premiums receivable, net of commissions payable
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849
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876
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Ceded unearned premium reserve
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440
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452
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Deferred acquisition costs
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122
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124
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Reinsurance recoverable on unpaid losses
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59
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36
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Salvage and subrogation recoverable
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273
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174
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Credit derivative assets
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80
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94
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Deferred tax asset, net
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571
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688
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Financial guaranty variable interest entities’ assets, at fair value
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1,284
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2,565
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Other assets
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271
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309
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Total assets
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$
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15,690
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$
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16,287
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Liabilities and shareholders’ equity
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Unearned premium reserve
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$
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4,391
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$
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4,595
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Loss and loss adjustment expense reserve
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775
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592
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Reinsurance balances payable, net
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178
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148
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Long-term debt
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1,311
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816
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Credit derivative liabilities
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1,917
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1,787
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Current income tax payable
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12
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44
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Financial guaranty variable interest entities’ liabilities with recourse, at fair value
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1,366
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1,790
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Financial guaranty variable interest entities’ liabilities without recourse, at fair value
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124
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1,081
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Other liabilities
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374
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319
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Total liabilities
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10,448
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11,172
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Commitments and contingencies (See Note 14)
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Common stock ($0.01 par value, 500,000,000 shares authorized; 174,155,033 and 182,177,866 shares issued and outstanding)
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2
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2
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Additional paid-in capital
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2,260
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2,466
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Retained earnings
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2,643
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2,482
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Accumulated other comprehensive income, net of tax of $143 and $71
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332
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160
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Deferred equity compensation (320,193 and 320,193 shares)
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5
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5
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Total shareholders’ equity
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5,242
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5,115
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Total liabilities and shareholders’ equity
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$
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15,690
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$
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16,287
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Three Months Ended June 30,
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Six Months Ended June 30,
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2014
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2013
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2014
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2013
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Revenues
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Net earned premiums
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$
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136
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$
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163
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$
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268
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$
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411
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Net investment income
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96
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93
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199
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187
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Net realized investment gains (losses):
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Other-than-temporary impairment losses
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(27
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)
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(16
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)
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(30
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)
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(17
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)
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Less: portion of other-than-temporary impairment loss
recognized in other comprehensive income
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(15
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)
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(9
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)
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(13
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)
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(5
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)
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Net impairment loss
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(12
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)
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(7
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)
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(17
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)
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(12
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)
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Other net realized investment gains (losses)
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4
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9
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11
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42
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Net realized investment gains (losses)
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(8
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)
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2
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(6
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)
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30
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Net change in fair value of credit derivatives:
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Realized gains (losses) and other settlements
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15
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(86
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)
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34
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(68
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)
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Net unrealized gains (losses)
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88
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160
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(142
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)
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(450
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)
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Net change in fair value of credit derivatives
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103
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74
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(108
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)
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(518
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)
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Fair value gains (losses) on committed capital securities
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(6
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)
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(3
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)
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(15
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)
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(13
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)
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Fair value gains (losses) on financial guaranty variable interest entities
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25
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143
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182
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213
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Other income (loss)
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7
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(7
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)
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28
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(21
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)
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Total revenues
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353
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465
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548
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289
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Expenses
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Loss and loss adjustment expenses
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57
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62
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98
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14
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Amortization of deferred acquisition costs
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3
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1
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8
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4
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Interest expense
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20
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21
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40
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42
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Other operating expenses
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55
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52
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115
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112
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Total expenses
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135
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136
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261
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172
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Income (loss) before income taxes
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218
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329
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287
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117
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Provision (benefit) for income taxes
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Current
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18
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3
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39
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58
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Deferred
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41
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107
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47
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(16
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)
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Total provision (benefit) for income taxes
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59
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110
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86
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|
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42
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Net income (loss)
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$
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159
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$
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219
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$
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201
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$
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75
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Earnings per share:
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Basic
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$
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0.89
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$
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1.17
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$
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1.12
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$
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0.39
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Diluted
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$
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0.89
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$
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1.16
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$
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1.11
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$
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0.39
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Dividends per share
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$
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0.11
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$
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0.10
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$
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0.22
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$
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0.20
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Three Months Ended June 30,
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Six Months Ended June 30,
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2014
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|
2013
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2014
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|
2013
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||||||||
Net income (loss)
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$
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159
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$
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219
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|
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$
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201
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$
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75
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Unrealized holding gains (losses) arising during the period on:
|
|
|
|
|
|
|
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Investments with no other-than-temporary impairment, net of tax provision (benefit) of $29, $(79), $70 and $(98)
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75
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(219
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)
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169
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|
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(269
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)
|
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Investments with other-than-temporary impairment, net of tax provision (benefit) of $(8), $(7), $(5) and $(15)
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(17
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)
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(16
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)
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(9
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)
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(32
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)
|
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Unrealized holding gains (losses) arising during the period, net of tax
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58
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|
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(235
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)
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160
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|
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(301
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)
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Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(3), $0, $(4) and $(2)
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(7
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)
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2
|
|
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(9
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)
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(1
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)
|
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Change in net unrealized gains on investments
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65
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|
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(237
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)
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169
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|
|
(300
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)
|
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Other, net of tax provision
|
3
|
|
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(1
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)
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|
3
|
|
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(6
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)
|
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Other comprehensive income (loss)
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$
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68
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|
|
$
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(238
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)
|
|
$
|
172
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|
|
$
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(306
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)
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Comprehensive income (loss)
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$
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227
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|
|
$
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(19
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)
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$
|
373
|
|
|
$
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(231
|
)
|
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Common Shares Outstanding
|
|
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Common Stock Par Value
|
|
Additional
Paid-in
Capital
|
|
Retained Earnings
|
|
Accumulated
Other
Comprehensive Income
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|
Deferred
Equity Compensation
|
|
Total
Shareholders’ Equity
|
|||||||||||||
Balance at December 31, 2013
|
182,177,866
|
|
|
|
$
|
2
|
|
|
$
|
2,466
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|
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$
|
2,482
|
|
|
$
|
160
|
|
|
$
|
5
|
|
|
$
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5,115
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|
Net income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
201
|
|
|
—
|
|
|
—
|
|
|
201
|
|
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Dividends ($0.22 per share)
|
—
|
|
|
|
—
|
|
|
—
|
|
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(40
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)
|
|
—
|
|
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—
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|
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(40
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)
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Common stock repurchases
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(8,402,285
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)
|
|
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0
|
|
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(212
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)
|
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—
|
|
|
—
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|
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—
|
|
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(212
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)
|
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Share-based compensation and other
|
379,452
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|
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0
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|
|
6
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|
|
—
|
|
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—
|
|
|
—
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|
|
6
|
|
||||||
Other comprehensive income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
172
|
|
|
—
|
|
|
172
|
|
||||||
Balance at June 30, 2014
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174,155,033
|
|
|
|
$
|
2
|
|
|
$
|
2,260
|
|
|
$
|
2,643
|
|
|
$
|
332
|
|
|
$
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5
|
|
|
$
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5,242
|
|
|
Six Months Ended June 30,
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||||||
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2014
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|
2013
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||||
Net cash flows provided by (used in) operating activities
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$
|
222
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|
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$
|
122
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Investing activities
|
|
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|
|
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Fixed-maturity securities:
|
|
|
|
|
|
||
Purchases
|
(1,357
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)
|
|
(987
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)
|
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Sales
|
444
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|
|
632
|
|
||
Maturities
|
397
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|
|
446
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|
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Net sales (purchases) of short-term investments
|
(51
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)
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|
(126
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)
|
||
Proceeds from paydowns on financial guaranty variable interest entities’ assets
|
315
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|
|
440
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|
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Other
|
23
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|
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67
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|
||
Net cash flows provided by (used in) investing activities
|
(229
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)
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472
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|
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Financing activities
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|
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|
|
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Dividends paid
|
(40
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)
|
|
(38
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)
|
||
Repurchases of common stock
|
(212
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)
|
|
(244
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)
|
||
Share activity under option and incentive plans
|
1
|
|
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(1
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)
|
||
Paydowns of financial guaranty variable interest entities’ liabilities
|
(311
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)
|
|
(289
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)
|
||
Proceeds from issuance of long-term debt
|
496
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|
|
—
|
|
||
Repayment of long-term debt
|
(7
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)
|
|
(13
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)
|
||
Net cash flows provided by (used in) financing activities
|
(73
|
)
|
|
(585
|
)
|
||
Effect of exchange rate changes
|
2
|
|
|
(4
|
)
|
||
Increase (decrease) in cash
|
(78
|
)
|
|
5
|
|
||
Cash at beginning of period
|
184
|
|
|
138
|
|
||
Cash at end of period
|
$
|
106
|
|
|
$
|
143
|
|
Supplemental cash flow information
|
|
|
|
|
|
||
Cash paid (received) during the period for:
|
|
|
|
|
|
||
Income taxes
|
$
|
68
|
|
|
$
|
69
|
|
Interest
|
$
|
36
|
|
|
$
|
38
|
|
1.
|
Business and Basis of Presentation
|
•
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Assured Guaranty Municipal Corp. ("AGM"), domiciled in New York;
|
•
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Municipal Assurance Corp. ("MAC"), domiciled in New York;
|
•
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Assured Guaranty Corp. ("AGC"), domiciled in Maryland;
|
•
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Assured Guaranty (Europe) Ltd. ("AGE"), organized in the United Kingdom; and
|
•
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Assured Guaranty Re Ltd. (“AG Re”), domiciled in Bermuda.
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2.
|
Rating Actions and Other Developments
|
•
|
On March 18, 2014, Standard & Poor's Ratings Services ("S&P") upgraded the financial strength ratings of all of AGL's insurance subsidiaries to AA (stable outlook) from AA- (stable outlook); it affirmed such ratings in a credit analysis issued on July 2, 2014.
|
•
|
The most recent rating action of Moody's Investors Service, Inc. ("Moody's") was on July 2, 2014, when it affirmed the ratings of AGL and its subsidiaries, but changed to negative the outlook of the financial strength ratings of AGC and its subsidiary Assured Guaranty (UK) Ltd. ("AGUK").
|
•
|
On July 15, 2014, Moody’s issued a “Request for Comment” on proposed changes to its credit rating methodology for financial guaranty insurance companies. While Moody’s noted that if changes to the credit rating methodology were adopted as proposed, Moody's does not expect to change outstanding ratings that it has assigned, there can be no assurance that the proposed changes will be adopted as proposed or that, even if they are, Moody’s would not change its ratings on AGM, AGC or AG Re.
|
•
|
The most recent rating action of Kroll Bond Rating Agency was on August 4, 2014, when it affirmed MAC's AA+ (stable outlook) financial strength rating.
|
•
|
Note 6, Financial Guaranty Insurance Losses
|
•
|
Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives
|
•
|
Note 13, Reinsurance and Other Monoline Exposures
|
•
|
Note 15, Long Term Debt and Credit Facilities (regarding the impact on the Company's insured leveraged lease transactions)
|
•
|
Repurchase of Common Shares:
The Company repurchased
7.1 million
and
8.4 million
common shares in
Second Quarter
2014 and
Six Months
2014, respectively. See Note 17, Shareholders' Equity, for more information.
|
•
|
Issuance of long-term debt:
The Company issued
$500 million
in long-term debt. See Note 15, Long-Term Debt and Credit Facilities, for more information.
|
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.
|
|
Gross Debt Service
Outstanding
|
|
Net Debt Service
Outstanding
|
||||||||||||
|
June 30,
2014 |
|
December 31,
2013 |
|
June 30,
2014 |
|
December 31,
2013 |
||||||||
|
(in millions)
|
||||||||||||||
Public finance
|
$
|
627,173
|
|
|
$
|
650,924
|
|
|
$
|
589,294
|
|
|
$
|
610,011
|
|
Structured finance
|
78,092
|
|
|
86,456
|
|
|
72,710
|
|
|
80,524
|
|
||||
Total financial guaranty
|
$
|
705,265
|
|
|
$
|
737,380
|
|
|
$
|
662,004
|
|
|
$
|
690,535
|
|
|
|
Public Finance
U.S.
|
|
Public Finance
Non-U.S.
|
|
Structured Finance
U.S
|
|
Structured Finance
Non-U.S
|
|
Total
|
|||||||||||||||||||||||||
Rating
Category
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|||||||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
AAA
|
|
$
|
4,239
|
|
|
1.3
|
%
|
|
$
|
1,031
|
|
|
2.9
|
%
|
|
$
|
26,709
|
|
|
51.9
|
%
|
|
$
|
7,597
|
|
|
64.5
|
%
|
|
$
|
39,576
|
|
|
9.0
|
%
|
AA
|
|
100,089
|
|
|
29.5
|
|
|
432
|
|
|
1.2
|
|
|
8,963
|
|
|
17.4
|
|
|
567
|
|
|
4.8
|
|
|
110,051
|
|
|
25.2
|
|
|||||
A
|
|
184,593
|
|
|
54.5
|
|
|
9,803
|
|
|
27.7
|
|
|
2,395
|
|
|
4.7
|
|
|
610
|
|
|
5.2
|
|
|
197,401
|
|
|
45.1
|
|
|||||
BBB
|
|
41,174
|
|
|
12.1
|
|
|
22,529
|
|
|
63.6
|
|
|
3,331
|
|
|
6.5
|
|
|
1,939
|
|
|
16.5
|
|
|
68,973
|
|
|
15.8
|
|
|||||
BIG
|
|
8,861
|
|
|
2.6
|
|
|
1,613
|
|
|
4.6
|
|
|
10,044
|
|
|
19.5
|
|
|
1,057
|
|
|
9.0
|
|
|
21,575
|
|
|
4.9
|
|
|||||
Total net par outstanding (excluding loss mitigation bonds)
|
|
$
|
338,956
|
|
|
100.0
|
%
|
|
$
|
35,408
|
|
|
100.0
|
%
|
|
$
|
51,442
|
|
|
100.0
|
%
|
|
$
|
11,770
|
|
|
100.0
|
%
|
|
$
|
437,576
|
|
|
100.0
|
%
|
Loss Mitigation Bonds
|
|
29
|
|
|
|
|
—
|
|
|
|
|
1,187
|
|
|
|
|
—
|
|
|
|
|
1,216
|
|
|
|
||||||||||
Net Par Outstanding (including loss mitigation bonds)
|
|
$
|
338,985
|
|
|
|
|
$
|
35,408
|
|
|
|
|
$
|
52,629
|
|
|
|
|
$
|
11,770
|
|
|
|
|
$
|
438,792
|
|
|
|
|
|
Public Finance
U.S.
|
|
Public Finance
Non-U.S.
|
|
Structured Finance
U.S
|
|
Structured Finance
Non-U.S
|
|
Total
|
|||||||||||||||||||||||||
Rating
Category
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|||||||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
AAA
|
|
$
|
4,998
|
|
|
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
|
|
|
|
||||||||||
Net Par Outstanding (including loss mitigation bonds)
|
|
$
|
352,213
|
|
|
|
|
$
|
33,998
|
|
|
|
|
$
|
60,070
|
|
|
|
|
$
|
14,021
|
|
|
|
|
$
|
460,302
|
|
|
|
|
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
|
$
|
51
|
|
|
$
|
301
|
|
|
$
|
29
|
|
|
$
|
381
|
|
|
$
|
509
|
|
|
0.1
|
%
|
Alt-A first lien
|
681
|
|
|
729
|
|
|
1,211
|
|
|
2,621
|
|
|
3,369
|
|
|
0.6
|
|
|||||
Option ARM
|
95
|
|
|
20
|
|
|
433
|
|
|
548
|
|
|
833
|
|
|
0.1
|
|
|||||
Subprime
|
223
|
|
|
829
|
|
|
772
|
|
|
1,824
|
|
|
5,736
|
|
|
0.4
|
|
|||||
Second lien U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Closed-end second lien
|
33
|
|
|
20
|
|
|
87
|
|
|
140
|
|
|
232
|
|
|
0.0
|
|
|||||
Home equity lines of credit (“HELOCs”)
|
1,402
|
|
|
18
|
|
|
251
|
|
|
1,671
|
|
|
1,901
|
|
|
0.4
|
|
|||||
Total U.S. RMBS
|
2,485
|
|
|
1,917
|
|
|
2,783
|
|
|
7,185
|
|
|
12,580
|
|
|
1.6
|
|
|||||
Trust preferred securities (“TruPS”)
|
1,217
|
|
|
—
|
|
|
344
|
|
|
1,561
|
|
|
4,724
|
|
|
0.4
|
|
|||||
Other structured finance
|
1,341
|
|
|
298
|
|
|
716
|
|
|
2,355
|
|
|
45,908
|
|
|
0.5
|
|
|||||
U.S. public finance
|
7,170
|
|
|
1,269
|
|
|
422
|
|
|
8,861
|
|
|
338,956
|
|
|
2.0
|
|
|||||
Non-U.S. public finance
|
1,611
|
|
|
2
|
|
|
—
|
|
|
1,613
|
|
|
35,408
|
|
|
0.4
|
|
|||||
Total
|
$
|
13,824
|
|
|
$
|
3,486
|
|
|
$
|
4,265
|
|
|
$
|
21,575
|
|
|
$
|
437,576
|
|
|
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
|
$
|
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
|
|
|||||
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
|
|
|||||
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
|
%
|
|
|
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
|
|
$
|
11,613
|
|
|
$
|
2,211
|
|
|
$
|
13,824
|
|
|
184
|
|
|
29
|
|
|
213
|
|
Category 2
|
|
2,608
|
|
|
878
|
|
|
3,486
|
|
|
84
|
|
|
18
|
|
|
102
|
|
|||
Category 3
|
|
2,883
|
|
|
1,382
|
|
|
4,265
|
|
|
113
|
|
|
27
|
|
|
140
|
|
|||
Total BIG
|
|
$
|
17,104
|
|
|
$
|
4,471
|
|
|
$
|
21,575
|
|
|
381
|
|
|
74
|
|
|
455
|
|
|
|
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
|
|
(2)
|
A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments.
|
|
Hungary
|
|
Ireland
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||||
|
|
||||||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Non-infrastructure public finance (2)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,007
|
|
|
$
|
95
|
|
|
$
|
272
|
|
|
$
|
1,374
|
|
Infrastructure finance
|
369
|
|
|
—
|
|
|
16
|
|
|
11
|
|
|
155
|
|
|
551
|
|
||||||
Sub-total
|
369
|
|
|
—
|
|
|
1,023
|
|
|
106
|
|
|
427
|
|
|
1,925
|
|
||||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Regulated utilities
|
—
|
|
|
—
|
|
|
242
|
|
|
—
|
|
|
—
|
|
|
242
|
|
||||||
RMBS
|
214
|
|
|
144
|
|
|
308
|
|
|
—
|
|
|
—
|
|
|
666
|
|
||||||
Sub-total
|
214
|
|
|
144
|
|
|
550
|
|
|
—
|
|
|
—
|
|
|
908
|
|
||||||
Total
|
$
|
583
|
|
|
$
|
144
|
|
|
$
|
1,573
|
|
|
$
|
106
|
|
|
$
|
427
|
|
|
$
|
2,833
|
|
Total BIG (See Note 5)
|
$
|
583
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
106
|
|
|
$
|
427
|
|
|
$
|
1,116
|
|
(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 and Euros. 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)
|
The exposure shown in the “Non-infrastructure public finance” category is from transactions backed by receivable payments from sub-sovereigns in Italy, Spain and Portugal. Sub-sovereign debt is debt issued by a governmental entity or government backed entity, or supported by such an entity, that is other than direct sovereign debt of the ultimate governing body of the country.
|
|
Gross Par Outstanding
|
|
Gross Debt Service Outstanding
|
||||
|
(in millions)
|
||||||
Subject to the terms of the Recovery Act
|
$
|
3,195
|
|
|
$
|
5,472
|
|
Not subject to the terms of the Recovery Act
|
3,220
|
|
|
5,000
|
|
||
Total
|
$
|
6,415
|
|
|
$
|
10,472
|
|
|
|
As of
June 30, 2014 |
|
As of
December 31, 2013 |
||||||||
|
|
Total (1)
|
|
Internal Rating
|
|
Total
|
|
Internal Rating
|
||||
|
|
(in millions)
|
||||||||||
Exposures subject to the terms of the Recovery Act:
|
|
|
|
|
|
|
|
|
||||
Puerto Rico Highways and Transportation Authority (Transportation revenue)
|
|
$
|
872
|
|
|
BB-
|
|
$
|
872
|
|
|
BB-
|
PREPA
|
|
819
|
|
|
B-
|
|
860
|
|
|
BB-
|
||
Puerto Rico Aqueduct and Sewer Authority
|
|
384
|
|
|
BB-
|
|
384
|
|
|
BB-
|
||
Puerto Rico Highways and Transportation Authority (Highway revenue)
|
|
302
|
|
|
BB
|
|
302
|
|
|
BB
|
||
Puerto Rico Convention Center District Authority
|
|
185
|
|
|
BB-
|
|
185
|
|
|
BB-
|
||
Puerto Rico Public Finance Corporation
|
|
—
|
|
|
-
|
|
44
|
|
|
B
|
||
Total
|
|
2,562
|
|
|
|
|
2,647
|
|
|
|
||
|
|
|
|
|
|
|
|
|
||||
Exposures not subject to the terms of the Recovery Act:
|
|
|
|
|
|
|
|
|
||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
|
1,766
|
|
|
BB
|
|
1,885
|
|
|
BB
|
||
Puerto Rico Municipal Finance Authority
|
|
450
|
|
|
BB-
|
|
450
|
|
|
BB-
|
||
Puerto Rico Sales Tax Financing Corporation
|
|
268
|
|
|
BBB
|
|
268
|
|
|
A-
|
||
Puerto Rico Public Buildings Authority
|
|
124
|
|
|
BB
|
|
139
|
|
|
BB
|
||
GDB
|
|
33
|
|
|
BB
|
|
33
|
|
|
BB
|
||
Puerto Rico Infrastructure Financing Authority
|
|
18
|
|
|
BB-
|
|
18
|
|
|
BB-
|
||
University of Puerto Rico
|
|
1
|
|
|
BB-
|
|
1
|
|
|
BB-
|
||
Total
|
|
2,660
|
|
|
|
|
2,794
|
|
|
|
||
Total net exposure to Puerto Rico
|
|
$
|
5,222
|
|
|
|
|
$
|
5,441
|
|
|
|
(1)
|
In July 2014, various Puerto Rico issuers made payment on
$215 million
of par scheduled to be paid; of that amount,
$46 million
of par was paid by PREPA.
|
|
Scheduled BIG Net Par Amortization
|
|
Scheduled BIG Net Debt Service Amortization
|
|
||||||||||||||||||||
|
Subject to the Terms of the Recovery Act
|
|
Not Subject to the Terms of the Recovery Act
|
|
Total
|
|
Subject to the Terms of the Recovery Act
|
|
Not Subject to the Terms of the Recovery Act
|
|
Total
|
|
||||||||||||
|
(in millions)
|
|
||||||||||||||||||||||
2014 (July 1 - December 31)
|
$
|
93
|
|
|
$
|
161
|
|
|
$
|
254
|
|
|
$
|
155
|
|
|
$
|
217
|
|
|
$
|
372
|
|
(1)
|
2015
|
126
|
|
|
205
|
|
|
331
|
|
|
246
|
|
|
316
|
|
|
562
|
|
|
||||||
2016
|
105
|
|
|
184
|
|
|
289
|
|
|
220
|
|
|
284
|
|
|
504
|
|
|
||||||
2017
|
41
|
|
|
167
|
|
|
208
|
|
|
152
|
|
|
259
|
|
|
411
|
|
|
||||||
2018
|
48
|
|
|
111
|
|
|
159
|
|
|
157
|
|
|
195
|
|
|
352
|
|
|
||||||
2019
|
61
|
|
|
128
|
|
|
189
|
|
|
167
|
|
|
206
|
|
|
373
|
|
|
||||||
2020
|
73
|
|
|
182
|
|
|
255
|
|
|
175
|
|
|
252
|
|
|
427
|
|
|
||||||
2021
|
51
|
|
|
58
|
|
|
109
|
|
|
149
|
|
|
123
|
|
|
272
|
|
|
||||||
2022
|
43
|
|
|
67
|
|
|
110
|
|
|
139
|
|
|
128
|
|
|
267
|
|
|
||||||
2023
|
102
|
|
|
40
|
|
|
142
|
|
|
195
|
|
|
98
|
|
|
293
|
|
|
||||||
2024-2028
|
581
|
|
|
351
|
|
|
932
|
|
|
971
|
|
|
589
|
|
|
1,560
|
|
|
||||||
2029-2033
|
375
|
|
|
320
|
|
|
695
|
|
|
641
|
|
|
483
|
|
|
1,124
|
|
|
||||||
2034 -2038
|
461
|
|
|
405
|
|
|
866
|
|
|
603
|
|
|
449
|
|
|
1,052
|
|
|
||||||
2039 -2043
|
156
|
|
|
13
|
|
|
169
|
|
|
230
|
|
|
15
|
|
|
245
|
|
|
||||||
2044 -2047
|
246
|
|
|
—
|
|
|
246
|
|
|
278
|
|
|
—
|
|
|
278
|
|
|
||||||
Total
|
$
|
2,562
|
|
|
$
|
2,392
|
|
|
$
|
4,954
|
|
|
$
|
4,478
|
|
|
$
|
3,614
|
|
|
$
|
8,092
|
|
|
(1)
|
In July 2014, various Puerto Rico issuers made scheduled par payments of
$215 million
plus interest. Of that amount
$46 million
of par related to PREPA.
|
4.
|
Financial Guaranty Insurance Premiums
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
(in millions)
|
||||||||||||||
Scheduled net earned premiums
|
$
|
106
|
|
|
$
|
113
|
|
|
$
|
213
|
|
|
$
|
241
|
|
Acceleration of net earned premiums
|
24
|
|
|
46
|
|
|
43
|
|
|
159
|
|
||||
Accretion of discount on net premiums receivable
|
5
|
|
|
3
|
|
|
11
|
|
|
10
|
|
||||
Financial guaranty insurance net earned premiums
|
135
|
|
|
162
|
|
|
267
|
|
|
410
|
|
||||
Other
|
1
|
|
|
1
|
|
|
1
|
|
|
1
|
|
||||
Net earned premiums(1)
|
$
|
136
|
|
|
$
|
163
|
|
|
$
|
268
|
|
|
$
|
411
|
|
(1)
|
Excludes
$5 million
and
$15 million
for Second Quarter 2014 and 2013, respectively, and
$22 million
and
$33 million
for Six Months 2014 and 2013, respectively, related to consolidated FG VIEs.
|
|
As of June 30, 2014
|
|
As of December 31, 2013
|
||||||||||||||||||||
|
Gross
|
|
Ceded
|
|
Net(1)
|
|
Gross
|
|
Ceded
|
|
Net(1)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Deferred premium revenue:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Financial guaranty insurance
|
$
|
4,435
|
|
|
$
|
451
|
|
|
$
|
3,984
|
|
|
$
|
4,647
|
|
|
$
|
470
|
|
|
$
|
4,177
|
|
Other
|
5
|
|
|
—
|
|
|
5
|
|
|
5
|
|
|
—
|
|
|
5
|
|
||||||
Deferred premium revenue
|
$
|
4,440
|
|
|
$
|
451
|
|
|
$
|
3,989
|
|
|
$
|
4,652
|
|
|
$
|
470
|
|
|
$
|
4,182
|
|
Contra-paid
|
(49
|
)
|
|
(11
|
)
|
|
(38
|
)
|
|
(57
|
)
|
|
(18
|
)
|
|
(39
|
)
|
||||||
Unearned premium reserve
|
$
|
4,391
|
|
|
$
|
440
|
|
|
$
|
3,951
|
|
|
$
|
4,595
|
|
|
$
|
452
|
|
|
$
|
4,143
|
|
(1)
|
Excludes $
132 million
and $
187 million
of deferred premium revenue, and
$47 million
and
$55 million
of contra-paid related to FG VIEs as of
June 30, 2014
and
December 31, 2013
, respectively.
|
|
Six Months
|
||||||
|
2014
|
|
2013
|
||||
|
(in millions)
|
||||||
Beginning of period, December 31
|
$
|
876
|
|
|
$
|
1,005
|
|
Gross premium written, net of commissions on assumed business
|
61
|
|
|
32
|
|
||
Gross premiums received, net of commissions on assumed business
|
(97
|
)
|
|
(109
|
)
|
||
Adjustments:
|
|
|
|
||||
Changes in the expected term
|
(13
|
)
|
|
1
|
|
||
Accretion of discount, net of commissions on assumed business
|
12
|
|
|
13
|
|
||
Foreign exchange translation
|
9
|
|
|
(27
|
)
|
||
Other adjustments
|
1
|
|
|
0
|
|
||
End of period, June 30 (1)
|
$
|
849
|
|
|
$
|
915
|
|
(1)
|
Excludes $
18 million
and $
20 million
as of
June 30, 2014
and June 30, 2013, respectively, related to consolidated FG VIEs.
|
|
As of June 30, 2014
|
||
|
(in millions)
|
||
2014 (July 1 - September 30)
|
$
|
38
|
|
2014 (October 1 – December 31)
|
30
|
|
|
2015
|
99
|
|
|
2016
|
86
|
|
|
2017
|
79
|
|
|
2018
|
72
|
|
|
2019-2023
|
283
|
|
|
2024-2028
|
177
|
|
|
2029-2033
|
124
|
|
|
After 2033
|
132
|
|
|
Total(1)
|
$
|
1,120
|
|
(1)
|
Excludes expected cash collections on FG VIEs of $
23 million
.
|
|
As of June 30, 2014
|
||
|
(in millions)
|
||
2014 (July 1 - September 30)
|
$
|
103
|
|
2014 (October 1–December 31)
|
99
|
|
|
2015
|
360
|
|
|
2016
|
334
|
|
|
2017
|
296
|
|
|
2018
|
270
|
|
|
2019 - 2023
|
1,054
|
|
|
2024 - 2028
|
675
|
|
|
2029 - 2033
|
412
|
|
|
After 2033
|
381
|
|
|
Total present value basis(1)
|
3,984
|
|
|
Discount
|
235
|
|
|
Total future value
|
$
|
4,219
|
|
(1)
|
Excludes scheduled net earned premiums on consolidated FG VIEs of $
132 million
.
|
|
As of
June 30, 2014 |
|
As of
December 31, 2013 |
||||
|
(dollars in millions)
|
||||||
Premiums receivable, net of commission payable
|
$
|
849
|
|
|
$
|
876
|
|
Gross deferred premium revenue
|
1,501
|
|
|
1,576
|
|
||
Weighted-average risk-free rate used to discount premiums
|
3.4
|
%
|
|
3.4
|
%
|
||
Weighted-average period of premiums receivable (in years)
|
9.4
|
|
|
9.4
|
|
5.
|
Expected Loss to be Paid
|
|
Net Expected
Loss to be Paid as of March 31, 2014 |
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Net Expected
Loss to be Paid as of June 30, 2014(2) |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
18
|
|
|
$
|
(7
|
)
|
|
$
|
—
|
|
|
$
|
11
|
|
Alt-A first lien
|
308
|
|
|
4
|
|
|
(11
|
)
|
|
301
|
|
||||
Option ARM
|
(28
|
)
|
|
(24
|
)
|
|
1
|
|
|
(51
|
)
|
||||
Subprime
|
295
|
|
|
6
|
|
|
40
|
|
|
341
|
|
||||
Total first lien
|
593
|
|
|
(21
|
)
|
|
30
|
|
|
602
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(4
|
)
|
|
(5
|
)
|
|
—
|
|
|
(9
|
)
|
||||
HELOCs
|
(109
|
)
|
|
(33
|
)
|
|
25
|
|
|
(117
|
)
|
||||
Total second lien
|
(113
|
)
|
|
(38
|
)
|
|
25
|
|
|
(126
|
)
|
||||
Total U.S. RMBS
|
480
|
|
|
(59
|
)
|
|
55
|
|
|
476
|
|
||||
TruPS
|
32
|
|
|
0
|
|
|
—
|
|
|
32
|
|
||||
Other structured finance
|
138
|
|
|
5
|
|
|
(3
|
)
|
|
140
|
|
||||
U.S. public finance
|
281
|
|
|
82
|
|
|
(24
|
)
|
|
339
|
|
||||
Non-U.S public finance
|
57
|
|
|
(5
|
)
|
|
—
|
|
|
52
|
|
||||
Other insurance
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
||||
Total
|
$
|
984
|
|
|
$
|
23
|
|
|
$
|
28
|
|
|
$
|
1,035
|
|
|
Net Expected
Loss to be
Paid as of
March 31, 2013
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Net Expected
Loss to be Paid as of June 30, 2013 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
11
|
|
|
$
|
7
|
|
|
$
|
—
|
|
|
$
|
18
|
|
Alt-A first lien
|
313
|
|
|
(7
|
)
|
|
(18
|
)
|
|
288
|
|
||||
Option ARM
|
(327
|
)
|
|
21
|
|
|
286
|
|
|
(20
|
)
|
||||
Subprime
|
263
|
|
|
23
|
|
|
(12
|
)
|
|
274
|
|
||||
Total first lien
|
260
|
|
|
44
|
|
|
256
|
|
|
560
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
(21
|
)
|
|
6
|
|
|
1
|
|
|
(14
|
)
|
||||
HELOCs
|
(122
|
)
|
|
(31
|
)
|
|
56
|
|
|
(97
|
)
|
||||
Total second lien
|
(143
|
)
|
|
(25
|
)
|
|
57
|
|
|
(111
|
)
|
||||
Total U.S. RMBS
|
117
|
|
|
19
|
|
|
313
|
|
|
449
|
|
||||
TruPS
|
23
|
|
|
1
|
|
|
9
|
|
|
33
|
|
||||
Other structured finance
|
307
|
|
|
(24
|
)
|
|
(125
|
)
|
|
158
|
|
||||
U.S. public finance
|
(9
|
)
|
|
87
|
|
|
(7
|
)
|
|
71
|
|
||||
Non-U.S public finance
|
62
|
|
|
4
|
|
|
—
|
|
|
66
|
|
||||
Other insurance
|
(13
|
)
|
|
—
|
|
|
10
|
|
|
(3
|
)
|
||||
Total
|
$
|
487
|
|
|
$
|
87
|
|
|
$
|
200
|
|
|
$
|
774
|
|
|
Net Expected
Loss to be
Paid as of
December 31, 2013(2)
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Net Expected
Loss to be Paid as of June 30, 2014(2) |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
21
|
|
|
$
|
(10
|
)
|
|
$
|
—
|
|
|
$
|
11
|
|
Alt-A first lien
|
304
|
|
|
12
|
|
|
(15
|
)
|
|
301
|
|
||||
Option ARM
|
(9
|
)
|
|
(39
|
)
|
|
(3
|
)
|
|
(51
|
)
|
||||
Subprime
|
304
|
|
|
(1
|
)
|
|
38
|
|
|
341
|
|
||||
Total first lien
|
620
|
|
|
(38
|
)
|
|
20
|
|
|
602
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(11
|
)
|
|
—
|
|
|
2
|
|
|
(9
|
)
|
||||
HELOCs
|
(116
|
)
|
|
(31
|
)
|
|
30
|
|
|
(117
|
)
|
||||
Total second lien
|
(127
|
)
|
|
(31
|
)
|
|
32
|
|
|
(126
|
)
|
||||
Total U.S. RMBS
|
493
|
|
|
(69
|
)
|
|
52
|
|
|
476
|
|
||||
TruPS
|
51
|
|
|
(19
|
)
|
|
—
|
|
|
32
|
|
||||
Other structured finance
|
120
|
|
|
24
|
|
|
(4
|
)
|
|
140
|
|
||||
U.S. public finance
|
264
|
|
|
105
|
|
|
(30
|
)
|
|
339
|
|
||||
Non-U.S public finance
|
57
|
|
|
(5
|
)
|
|
—
|
|
|
52
|
|
||||
Other insurance
|
(3
|
)
|
|
(1
|
)
|
|
—
|
|
|
(4
|
)
|
||||
Total
|
$
|
982
|
|
|
$
|
35
|
|
|
$
|
18
|
|
|
$
|
1,035
|
|
|
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 June 30, 2013 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
6
|
|
|
$
|
13
|
|
|
$
|
(1
|
)
|
|
$
|
18
|
|
Alt-A first lien
|
315
|
|
|
2
|
|
|
(29
|
)
|
|
288
|
|
||||
Option ARM
|
(131
|
)
|
|
(117
|
)
|
|
228
|
|
|
(20
|
)
|
||||
Subprime
|
242
|
|
|
48
|
|
|
(16
|
)
|
|
274
|
|
||||
Total first lien
|
432
|
|
|
(54
|
)
|
|
182
|
|
|
560
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
(39
|
)
|
|
7
|
|
|
18
|
|
|
(14
|
)
|
||||
HELOCs
|
(111
|
)
|
|
(34
|
)
|
|
48
|
|
|
(97
|
)
|
||||
Total second lien
|
(150
|
)
|
|
(27
|
)
|
|
66
|
|
|
(111
|
)
|
||||
Total U.S. RMBS
|
282
|
|
|
(81
|
)
|
|
248
|
|
|
449
|
|
||||
TruPS
|
27
|
|
|
(2
|
)
|
|
8
|
|
|
33
|
|
||||
Other structured finance
|
312
|
|
|
(26
|
)
|
|
(128
|
)
|
|
158
|
|
||||
U.S. public finance
|
7
|
|
|
94
|
|
|
(30
|
)
|
|
71
|
|
||||
Non-U.S public finance
|
52
|
|
|
14
|
|
|
—
|
|
|
66
|
|
||||
Other insurance
|
(3
|
)
|
|
(10
|
)
|
|
10
|
|
|
(3
|
)
|
||||
Total
|
$
|
677
|
|
|
$
|
(11
|
)
|
|
$
|
108
|
|
|
$
|
774
|
|
(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 loss adjustment expenses ("LAE") to be paid of
$33 million
as of
June 30
, 2014 and
$34 million
as of December 31, 2013. The Company paid
$8 million
and
$16 million
in LAE for
Second Quarter
2014 and 2013, respectively, and
$14 million
and
$29 million
in LAE for
Six Months
2014 and 2013, respectively.
|
|
Future Net
R&W Benefit as of
March 31, 2014
|
|
R&W Development
and Accretion of Discount During Second Quarter 2014 |
|
R&W (Recovered)
During Second Quarter 2014 |
|
Future Net
R&W Benefit as of June 30, 2014(1) |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
3
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3
|
|
Alt-A first lien
|
269
|
|
|
(2
|
)
|
|
(4
|
)
|
|
263
|
|
||||
Option ARM
|
152
|
|
|
11
|
|
|
(19
|
)
|
|
144
|
|
||||
Subprime
|
146
|
|
|
1
|
|
|
(48
|
)
|
|
99
|
|
||||
Total first lien
|
570
|
|
|
10
|
|
|
(71
|
)
|
|
509
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
95
|
|
|
—
|
|
|
(2
|
)
|
|
93
|
|
||||
HELOC
|
56
|
|
|
9
|
|
|
(16
|
)
|
|
49
|
|
||||
Total second lien
|
151
|
|
|
9
|
|
|
(18
|
)
|
|
142
|
|
||||
Total
|
$
|
721
|
|
|
$
|
19
|
|
|
$
|
(89
|
)
|
|
$
|
651
|
|
|
Future Net
R&W Benefit as of March 31, 2013 |
|
R&W Development
and Accretion of Discount During Second Quarter 2013 |
|
R&W (Recovered)
During Second Quarter 2013 |
|
Future Net
R&W Benefit as of June 30, 2013 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
4
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4
|
|
Alt-A first lien
|
362
|
|
|
(5
|
)
|
|
(9
|
)
|
|
348
|
|
||||
Option ARM
|
690
|
|
|
13
|
|
|
(410
|
)
|
|
293
|
|
||||
Subprime
|
113
|
|
|
(5
|
)
|
|
—
|
|
|
108
|
|
||||
Total first lien
|
1,169
|
|
|
3
|
|
|
(419
|
)
|
|
753
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
108
|
|
|
(3
|
)
|
|
(3
|
)
|
|
102
|
|
||||
HELOC
|
161
|
|
|
51
|
|
|
(103
|
)
|
|
109
|
|
||||
Total second lien
|
269
|
|
|
48
|
|
|
(106
|
)
|
|
211
|
|
||||
Total
|
$
|
1,438
|
|
|
$
|
51
|
|
|
$
|
(525
|
)
|
|
$
|
964
|
|
|
Future Net
R&W Benefit as of
December 31, 2013
|
|
R&W Development
and Accretion of Discount During 2014 |
|
R&W (Recovered)
During 2014 |
|
Future Net
R&W Benefit as of June 30, 2014(1) |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
4
|
|
|
$
|
(1
|
)
|
|
$
|
—
|
|
|
$
|
3
|
|
Alt-A first lien
|
274
|
|
|
1
|
|
|
(12
|
)
|
|
263
|
|
||||
Option ARM
|
173
|
|
|
20
|
|
|
(49
|
)
|
|
144
|
|
||||
Subprime
|
118
|
|
|
29
|
|
|
(48
|
)
|
|
99
|
|
||||
Total first lien
|
569
|
|
|
49
|
|
|
(109
|
)
|
|
509
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
98
|
|
|
(3
|
)
|
|
(2
|
)
|
|
93
|
|
||||
HELOC
|
45
|
|
|
21
|
|
|
(17
|
)
|
|
49
|
|
||||
Total second lien
|
143
|
|
|
18
|
|
|
(19
|
)
|
|
142
|
|
||||
Total
|
$
|
712
|
|
|
$
|
67
|
|
|
$
|
(128
|
)
|
|
$
|
651
|
|
|
Future Net
R&W Benefit as of
December 31, 2012
|
|
R&W Development
and Accretion of Discount During 2013 |
|
R&W (Recovered)
During 2013 |
|
Future Net
R&W Benefit as of June 30, 2013 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
4
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4
|
|
Alt-A first lien
|
378
|
|
|
(13
|
)
|
|
(17
|
)
|
|
348
|
|
||||
Option ARM
|
591
|
|
|
166
|
|
|
(464
|
)
|
|
293
|
|
||||
Subprime
|
109
|
|
|
(1
|
)
|
|
—
|
|
|
108
|
|
||||
Total first lien
|
1,082
|
|
|
152
|
|
|
(481
|
)
|
|
753
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
138
|
|
|
(12
|
)
|
|
(24
|
)
|
|
102
|
|
||||
HELOC
|
150
|
|
|
68
|
|
|
(109
|
)
|
|
109
|
|
||||
Total second lien
|
288
|
|
|
56
|
|
|
(133
|
)
|
|
211
|
|
||||
Total
|
$
|
1,370
|
|
|
$
|
208
|
|
|
$
|
(614
|
)
|
|
$
|
964
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
3
|
|
|
$
|
—
|
|
|
$
|
8
|
|
|
$
|
11
|
|
Alt-A first lien
|
211
|
|
|
21
|
|
|
69
|
|
|
301
|
|
||||
Option ARM
|
(60
|
)
|
|
—
|
|
|
9
|
|
|
(51
|
)
|
||||
Subprime
|
191
|
|
|
76
|
|
|
74
|
|
|
341
|
|
||||
Total first lien
|
345
|
|
|
97
|
|
|
160
|
|
|
602
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(31
|
)
|
|
27
|
|
|
(5
|
)
|
|
(9
|
)
|
||||
HELOCs
|
(101
|
)
|
|
(16
|
)
|
|
—
|
|
|
(117
|
)
|
||||
Total second lien
|
(132
|
)
|
|
11
|
|
|
(5
|
)
|
|
(126
|
)
|
||||
Total U.S. RMBS
|
213
|
|
|
108
|
|
|
155
|
|
|
476
|
|
||||
TruPS
|
2
|
|
|
—
|
|
|
30
|
|
|
32
|
|
||||
Other structured finance
|
179
|
|
|
—
|
|
|
(39
|
)
|
|
140
|
|
||||
U.S. public finance
|
339
|
|
|
—
|
|
|
—
|
|
|
339
|
|
||||
Non-U.S. public finance
|
51
|
|
|
—
|
|
|
1
|
|
|
52
|
|
||||
Subtotal
|
$
|
784
|
|
|
$
|
108
|
|
|
$
|
147
|
|
|
1,039
|
|
|
Other
|
|
|
|
|
|
|
(4
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
1,035
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
U.S. 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(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
(8
|
)
|
|
$
|
(7
|
)
|
Alt-A first lien
|
7
|
|
|
2
|
|
|
(5
|
)
|
|
4
|
|
||||
Option ARM
|
(23
|
)
|
|
—
|
|
|
(1
|
)
|
|
(24
|
)
|
||||
Subprime
|
4
|
|
|
3
|
|
|
(1
|
)
|
|
6
|
|
||||
Total first lien
|
(11
|
)
|
|
5
|
|
|
(15
|
)
|
|
(21
|
)
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(1
|
)
|
|
1
|
|
|
(5
|
)
|
|
(5
|
)
|
||||
HELOCs
|
(34
|
)
|
|
1
|
|
|
—
|
|
|
(33
|
)
|
||||
Total second lien
|
(35
|
)
|
|
2
|
|
|
(5
|
)
|
|
(38
|
)
|
||||
Total U.S. RMBS
|
(46
|
)
|
|
7
|
|
|
(20
|
)
|
|
(59
|
)
|
||||
TruPS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Other structured finance
|
4
|
|
|
—
|
|
|
1
|
|
|
5
|
|
||||
U.S. public finance
|
82
|
|
|
—
|
|
|
—
|
|
|
82
|
|
||||
Non-U.S. public finance
|
(4
|
)
|
|
—
|
|
|
(1
|
)
|
|
(5
|
)
|
||||
Subtotal
|
$
|
36
|
|
|
$
|
7
|
|
|
$
|
(20
|
)
|
|
23
|
|
|
Other
|
|
|
|
|
|
|
—
|
|
|||||||
Total
|
|
|
|
|
|
|
$
|
23
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
(1
|
)
|
|
$
|
—
|
|
|
$
|
8
|
|
|
$
|
7
|
|
Alt-A first lien
|
(12
|
)
|
|
1
|
|
|
4
|
|
|
(7
|
)
|
||||
Option ARM
|
15
|
|
|
4
|
|
|
2
|
|
|
21
|
|
||||
Subprime
|
3
|
|
|
16
|
|
|
4
|
|
|
23
|
|
||||
Total first lien
|
5
|
|
|
21
|
|
|
18
|
|
|
44
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(7
|
)
|
|
2
|
|
|
11
|
|
|
6
|
|
||||
HELOCs
|
(10
|
)
|
|
(22
|
)
|
|
1
|
|
|
(31
|
)
|
||||
Total second lien
|
(17
|
)
|
|
(20
|
)
|
|
12
|
|
|
(25
|
)
|
||||
Total U.S. RMBS
|
(12
|
)
|
|
1
|
|
|
30
|
|
|
19
|
|
||||
TruPS
|
0
|
|
|
—
|
|
|
1
|
|
|
1
|
|
||||
Other structured finance
|
(9
|
)
|
|
—
|
|
|
(15
|
)
|
|
(24
|
)
|
||||
U.S. public finance
|
87
|
|
|
—
|
|
|
—
|
|
|
87
|
|
||||
Non-U.S. public finance
|
4
|
|
|
—
|
|
|
—
|
|
|
4
|
|
||||
Subtotal
|
$
|
70
|
|
|
$
|
1
|
|
|
$
|
16
|
|
|
87
|
|
|
Other
|
|
|
|
|
|
|
—
|
|
|||||||
Total
|
|
|
|
|
|
|
$
|
87
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
(11
|
)
|
|
$
|
(10
|
)
|
Alt-A first lien
|
26
|
|
|
(10
|
)
|
|
(4
|
)
|
|
12
|
|
||||
Option ARM
|
(39
|
)
|
|
1
|
|
|
(1
|
)
|
|
(39
|
)
|
||||
Subprime
|
(4
|
)
|
|
1
|
|
|
2
|
|
|
(1
|
)
|
||||
Total first lien
|
(16
|
)
|
|
(8
|
)
|
|
(14
|
)
|
|
(38
|
)
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(2
|
)
|
|
3
|
|
|
(1
|
)
|
|
—
|
|
||||
HELOCs
|
(90
|
)
|
|
59
|
|
|
—
|
|
|
(31
|
)
|
||||
Total second lien
|
(92
|
)
|
|
62
|
|
|
(1
|
)
|
|
(31
|
)
|
||||
Total U.S. RMBS
|
(108
|
)
|
|
54
|
|
|
(15
|
)
|
|
(69
|
)
|
||||
TruPS
|
(1
|
)
|
|
—
|
|
|
(18
|
)
|
|
(19
|
)
|
||||
Other structured finance
|
21
|
|
|
—
|
|
|
3
|
|
|
24
|
|
||||
U.S. public finance
|
105
|
|
|
—
|
|
|
—
|
|
|
105
|
|
||||
Non-U.S. public finance
|
(4
|
)
|
|
—
|
|
|
(1
|
)
|
|
(5
|
)
|
||||
Subtotal
|
$
|
13
|
|
|
$
|
54
|
|
|
$
|
(31
|
)
|
|
36
|
|
|
Other
|
|
|
|
|
|
|
(1
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
35
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
(1
|
)
|
|
$
|
—
|
|
|
$
|
14
|
|
|
$
|
13
|
|
Alt-A first lien
|
(7
|
)
|
|
—
|
|
|
9
|
|
|
2
|
|
||||
Option ARM
|
(78
|
)
|
|
(33
|
)
|
|
(6
|
)
|
|
(117
|
)
|
||||
Subprime
|
15
|
|
|
20
|
|
|
13
|
|
|
48
|
|
||||
Total first lien
|
(71
|
)
|
|
(13
|
)
|
|
30
|
|
|
(54
|
)
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(2
|
)
|
|
(1
|
)
|
|
10
|
|
|
7
|
|
||||
HELOCs
|
(17
|
)
|
|
(18
|
)
|
|
1
|
|
|
(34
|
)
|
||||
Total second lien
|
(19
|
)
|
|
(19
|
)
|
|
11
|
|
|
(27
|
)
|
||||
Total U.S. RMBS
|
(90
|
)
|
|
(32
|
)
|
|
41
|
|
|
(81
|
)
|
||||
TruPS
|
0
|
|
|
—
|
|
|
(2
|
)
|
|
(2
|
)
|
||||
Other structured finance
|
(19
|
)
|
|
—
|
|
|
(7
|
)
|
|
(26
|
)
|
||||
U.S. public finance
|
94
|
|
|
—
|
|
|
—
|
|
|
94
|
|
||||
Non-U.S. public finance
|
13
|
|
|
—
|
|
|
1
|
|
|
14
|
|
||||
Subtotal
|
$
|
(2
|
)
|
|
$
|
(32
|
)
|
|
$
|
33
|
|
|
(1
|
)
|
|
Other
|
|
|
|
|
|
|
(10
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
(11
|
)
|
|
June 30, 2014
|
|
March 31, 2014
|
|
December 31, 2013
|
Current Loans Modified in Previous 12 Months
|
|
|
|
|
|
Alt A and Prime
|
35%
|
|
35%
|
|
35%
|
Option ARM
|
35
|
|
35
|
|
35
|
Subprime
|
35
|
|
35
|
|
35
|
30 – 59 Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
50
|
|
50
|
|
50
|
Option ARM
|
50
|
|
50
|
|
50
|
Subprime
|
45
|
|
45
|
|
45
|
60 – 89 Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
60
|
|
60
|
|
60
|
Option ARM
|
65
|
|
65
|
|
65
|
Subprime
|
50
|
|
50
|
|
50
|
90+ Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
75
|
|
75
|
|
75
|
Option ARM
|
70
|
|
70
|
|
70
|
Subprime
|
60
|
|
60
|
|
60
|
Bankruptcy
|
|
|
|
|
|
Alt A and Prime
|
60
|
|
60
|
|
60
|
Option ARM
|
60
|
|
60
|
|
60
|
Subprime
|
55
|
|
55
|
|
55
|
Foreclosure
|
|
|
|
|
|
Alt A and Prime
|
85
|
|
85
|
|
85
|
Option ARM
|
80
|
|
80
|
|
80
|
Subprime
|
70
|
|
70
|
|
70
|
Real Estate Owned
|
|
|
|
|
|
All
|
100
|
|
100
|
|
100
|
|
As of
June 30, 2014 |
|
As of
March 31, 2014 |
|
As of
December 31, 2013 |
|||||||||
Alt-A First Lien
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
2.9
|
%
|
–
|
16.8%
|
|
2.3
|
%
|
–
|
18.4%
|
|
2.8
|
%
|
–
|
18.4%
|
Intermediate CDR
|
0.6
|
%
|
–
|
3.4%
|
|
0.5
|
%
|
–
|
3.7%
|
|
0.6
|
%
|
–
|
3.7%
|
Period until intermediate CDR
|
48 months
|
|
48 months
|
|
48 months
|
|||||||||
Final CDR
|
0.1
|
%
|
–
|
0.8%
|
|
0.1
|
%
|
–
|
0.9%
|
|
0.1
|
%
|
–
|
0.9%
|
Initial loss severity
|
65%
|
|
65%
|
|
65%
|
|||||||||
Initial conditional prepayment rate ("CPR")
|
1.0
|
%
|
–
|
23.2%
|
|
0.9
|
%
|
–
|
33.9%
|
|
0.0
|
%
|
–
|
34.2%
|
Final CPR
|
15%
|
|
15%
|
|
15%
|
|||||||||
Option ARM
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
5.0
|
%
|
–
|
15.8%
|
|
3.8
|
%
|
–
|
16.8%
|
|
4.9
|
%
|
–
|
16.8%
|
Intermediate CDR
|
1.0
|
%
|
–
|
3.2%
|
|
0.8
|
%
|
–
|
3.4%
|
|
1.0
|
%
|
–
|
3.4%
|
Period until intermediate CDR
|
48 months
|
|
48 months
|
|
48 months
|
|||||||||
Final CDR
|
0.2
|
%
|
–
|
0.8%
|
|
0.2
|
%
|
–
|
0.8%
|
|
0.2
|
%
|
–
|
0.8%
|
Initial loss severity
|
65%
|
|
65%
|
|
65%
|
|||||||||
Initial CPR
|
0.9
|
%
|
–
|
9.0%
|
|
0.8
|
%
|
–
|
12.2%
|
|
0.4
|
%
|
–
|
13.1%
|
Final CPR
|
15%
|
|
15%
|
|
15%
|
|||||||||
Subprime
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
5.7
|
%
|
–
|
16.5%
|
|
5.9
|
%
|
–
|
16.3%
|
|
5.6
|
%
|
–
|
16.2%
|
Intermediate CDR
|
1.1
|
%
|
–
|
3.3%
|
|
1.2
|
%
|
–
|
3.3%
|
|
1.1
|
%
|
–
|
3.2%
|
Period until intermediate CDR
|
48 months
|
|
48 months
|
|
48 months
|
|||||||||
Final CDR
|
0.3
|
%
|
–
|
0.8%
|
|
0.3
|
%
|
–
|
0.8%
|
|
0.3
|
%
|
–
|
0.8%
|
Initial loss severity
|
90%
|
|
90%
|
|
90%
|
|||||||||
Initial CPR
|
0.0
|
%
|
–
|
13.7%
|
|
0.0
|
%
|
–
|
11.6%
|
|
0.0
|
%
|
–
|
15.7%
|
Final CPR
|
15%
|
|
15%
|
|
15%
|
HELOC key assumptions
|
|
As of
June 30, 2014 |
|
As of
March 31, 2014 |
|
As of
December 31, 2013 |
|||||||||
Plateau CDR
|
|
2.2
|
%
|
–
|
9.6%
|
|
1.9
|
%
|
–
|
7.3%
|
|
2.3
|
%
|
–
|
7.7%
|
Final CDR trended down to
|
|
0.5
|
%
|
–
|
3.2%
|
|
0.4
|
%
|
–
|
3.2%
|
|
0.4
|
%
|
–
|
3.2%
|
Period until final CDR
|
|
34 months
|
|
34 months
|
|
34 months
|
|||||||||
Initial CPR
|
|
2.4
|
%
|
–
|
19.4%
|
|
2.3
|
%
|
–
|
21.0%
|
|
2.7
|
%
|
–
|
21.5%
|
Final CPR
|
|
10%
|
|
10%
|
|
10%
|
|||||||||
Loss severity
|
|
98%
|
|
98%
|
|
98%
|
Closed-end second lien key assumptions
|
|
As of
June 30, 2014 |
|
As of
March 31, 2014 |
|
As of
December 31, 2013 |
|||||||||
Plateau CDR
|
|
4.8
|
%
|
–
|
14.9%
|
|
6.7
|
%
|
–
|
15.5%
|
|
7.3
|
%
|
–
|
15.1%
|
Final CDR trended down to
|
|
3.5
|
%
|
–
|
9.1%
|
|
3.5
|
%
|
–
|
9.1%
|
|
3.5
|
%
|
–
|
9.1%
|
Period until final CDR
|
|
34 months
|
|
34 months
|
|
34 months
|
|||||||||
Initial CPR
|
|
2.6
|
%
|
–
|
10.4%
|
|
2.9
|
%
|
–
|
12.8%
|
|
3.1
|
%
|
–
|
12.0%
|
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
|
$
|
2,811
|
|
Agreement amounts projected to be received in the future
|
388
|
|
|
Repurchase amounts paid into the relevant RMBS prior to settlement (1)
|
579
|
|
|
Total R&W payments, gross of reinsurance
|
$
|
3,778
|
|
(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 June 30, 2014 (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
|
|
$
|
999
|
|
|
$
|
500
|
|
|
$
|
220
|
|
|
$
|
593
|
|
Bank of America - Second Lien
|
April 2011
|
|
1,292
|
|
|
968
|
|
|
NA
|
|
|
NA
|
|
||||
Deutsche Bank
|
May 2012 and October 2013
|
|
1,582
|
|
|
245
|
|
|
96
|
|
|
139
|
|
||||
UBS
|
May 2013
|
|
754
|
|
|
420
|
|
|
18
|
|
|
129
|
|
||||
Others
|
Various
|
|
1,153
|
|
|
453
|
|
|
43
|
|
|
NA
|
|
||||
Total
|
|
|
$
|
5,780
|
|
|
$
|
2,586
|
|
|
$
|
377
|
|
|
$
|
861
|
|
(1)
|
This table relates to past and projected future recoveries under R&W and related agreements. Excluded from this table is the
$274 million
of future net recoveries the Company projects receiving from R&W counterparties in transactions with
$1,174 million
of net par outstanding as of
June 30, 2014
not covered by current agreements.
|
•
|
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
June 30, 2014
aggregate lifetime collateral losses on those transactions was
$4.0 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
June 30, 2014
, 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.
|
|
Number of Risks (1) as of
|
|
Debt Service as of
|
||||||||||
|
June 30, 2014
|
|
December 31, 2013
|
|
June 30, 2014
|
|
December 31, 2013
|
||||||
|
|
|
|
|
(dollars in millions)
|
||||||||
Prime first lien
|
1
|
|
|
1
|
|
|
$
|
35
|
|
|
$
|
38
|
|
Alt-A first lien
|
23
|
|
|
19
|
|
|
2,739
|
|
|
2,856
|
|
||
Option ARM
|
10
|
|
|
9
|
|
|
553
|
|
|
641
|
|
||
Subprime
|
4
|
|
|
5
|
|
|
668
|
|
|
998
|
|
||
Closed-end second lien
|
4
|
|
|
4
|
|
|
149
|
|
|
158
|
|
||
HELOC
|
2
|
|
|
4
|
|
|
70
|
|
|
320
|
|
||
Total
|
44
|
|
|
42
|
|
|
$
|
4,214
|
|
|
$
|
5,011
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
(in millions)
|
||||||||||||||
Inclusion or removal of deals with breaches of R&W during period
|
$
|
—
|
|
|
$
|
6
|
|
|
$
|
—
|
|
|
$
|
6
|
|
Change in recovery assumptions as the result of recovery success
|
17
|
|
|
6
|
|
|
27
|
|
|
17
|
|
||||
Estimated increase (decrease) in defaults that will result in additional (lower) breaches
|
(11
|
)
|
|
(4
|
)
|
|
(11
|
)
|
|
(3
|
)
|
||||
Settlements and anticipated settlements
|
10
|
|
|
38
|
|
|
45
|
|
|
180
|
|
||||
Accretion of discount on balance
|
3
|
|
|
5
|
|
|
6
|
|
|
8
|
|
||||
Total
|
$
|
19
|
|
|
$
|
51
|
|
|
$
|
67
|
|
|
$
|
208
|
|
•
|
Most of the Company's net par exposure relates to
$1.0 billion
of sewer revenue bonds and
$784 million
of water revenue bonds, both of which the Company rates BBB. Both the sewer and water systems provide services to areas that extend beyond the city limits, and the bonds are secured by a lien on "special revenues." On August 7, 2014, the City announced tender offers for approximately
$5.2 billion
of outstanding sewer and water revenue bonds. Under the terms of the tender offer, bondholders who wish to participate must advise the City of their intention to sell bonds to the City by August 21, 2014, and the City expects to advise bondholders on August 22, 2014 whether the offers are accepted and if the City intends to repurchase the bonds. If the City completes the purchase of bonds subject to the tender offer, on the closing date of such purchase, it will file an amended plan of adjustment with the Bankruptcy Court that would amend the provisions contained in the current plan of adjustment that impair certain classes of the bonds, including those provisions which provide for the impairment of interest rates and call protection on such bonds. Under such amended plan of adjustment, all bonds that are not purchased pursuant to the tender offer would be unimpaired.
|
•
|
The Company has net par exposure of
$128 million
to the City's general obligation bonds, which are secured by a pledge of the unlimited tax, full faith, credit and resources of the City and the specific
ad valorem
taxes approved by the voters solely to pay debt service on the general obligation bonds. The Company rates this exposure BIG. On April 9, 2014, the City and the Company reached a tentative settlement with respect to the treatment of the unlimited tax general obligation bonds insured by the Company. The agreement provides for the confirmation of both the secured status of such general obligation bonds and the existence of a valid lien on the City’s pledged property tax revenues, a finding that such revenues constitute “special revenues” under the U.S. Bankruptcy Code, and the provision of additional security for such general obligation bonds in the form of a statutory lien on, and intercept of, the City’s distributable state aid. After giving effect to post-petition payments made by Assured Guaranty on such general obligation bonds, the settlement results in a minimum ultimate recovery of approximately
74%
on such general obligation bonds, with the ability to achieve a higher ultimate recovery rate over time if other debt creditors’ recoveries reach certain specified thresholds. The settlement is subject to a number of conditions, including confirmation of a plan of adjustment.
|
•
|
The Company has net par exposure of
$175 million
to the City's Certificates of Participation, which are unsecured unconditional contractual obligations of the City. The Company rates this exposure BIG.
|
•
|
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. On May 6, 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. 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.
|
|
As of June 30, 2014
|
|
As of December 31, 2013
|
||||||||||||||||||||
|
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
|
121
|
|
|
—
|
|
|
121
|
|
|
108
|
|
|
—
|
|
|
108
|
|
||||||
Option ARM
|
18
|
|
|
80
|
|
|
(62
|
)
|
|
22
|
|
|
47
|
|
|
(25
|
)
|
||||||
Subprime
|
186
|
|
|
2
|
|
|
184
|
|
|
143
|
|
|
2
|
|
|
141
|
|
||||||
First lien
|
328
|
|
|
82
|
|
|
246
|
|
|
276
|
|
|
49
|
|
|
227
|
|
||||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Closed-end second lien
|
4
|
|
|
43
|
|
|
(39
|
)
|
|
5
|
|
|
45
|
|
|
(40
|
)
|
||||||
HELOC
|
3
|
|
|
127
|
|
|
(124
|
)
|
|
5
|
|
|
127
|
|
|
(122
|
)
|
||||||
Second lien
|
7
|
|
|
170
|
|
|
(163
|
)
|
|
10
|
|
|
172
|
|
|
(162
|
)
|
||||||
Total U.S. RMBS
|
335
|
|
|
252
|
|
|
83
|
|
|
286
|
|
|
221
|
|
|
65
|
|
||||||
TruPS
|
0
|
|
|
—
|
|
|
0
|
|
|
2
|
|
|
—
|
|
|
2
|
|
||||||
Other structured finance
|
162
|
|
|
4
|
|
|
158
|
|
|
145
|
|
|
6
|
|
|
139
|
|
||||||
U.S. public finance
|
272
|
|
|
7
|
|
|
265
|
|
|
189
|
|
|
8
|
|
|
181
|
|
||||||
Non-U.S. public finance
|
34
|
|
|
—
|
|
|
34
|
|
|
35
|
|
|
—
|
|
|
35
|
|
||||||
Financial guaranty
|
803
|
|
|
263
|
|
|
540
|
|
|
657
|
|
|
235
|
|
|
422
|
|
||||||
Other
|
2
|
|
|
6
|
|
|
(4
|
)
|
|
2
|
|
|
5
|
|
|
(3
|
)
|
||||||
Subtotal
|
805
|
|
|
269
|
|
|
536
|
|
|
659
|
|
|
240
|
|
|
419
|
|
||||||
Effect of consolidating FG VIEs
|
(89
|
)
|
|
(16
|
)
|
|
(73
|
)
|
|
(103
|
)
|
|
(85
|
)
|
|
(18
|
)
|
||||||
Total (1)
|
$
|
716
|
|
|
$
|
253
|
|
|
$
|
463
|
|
|
$
|
556
|
|
|
$
|
155
|
|
|
$
|
401
|
|
(1)
|
See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components.
|
|
As of
June 30, 2014 |
|
As of
December 31, 2013 |
||||
|
(in millions)
|
||||||
Loss and LAE reserve
|
$
|
775
|
|
|
$
|
592
|
|
Reinsurance recoverable on unpaid losses
|
(59
|
)
|
|
(36
|
)
|
||
Loss and LAE reserve, net
|
716
|
|
|
556
|
|
||
Salvage and subrogation recoverable
|
(273
|
)
|
|
(174
|
)
|
||
Salvage and subrogation payable(1)
|
20
|
|
|
19
|
|
||
Salvage and subrogation recoverable, net
|
(253
|
)
|
|
(155
|
)
|
||
Subtotal
|
463
|
|
|
401
|
|
||
Other recoverables(2)
|
(15
|
)
|
|
(15
|
)
|
||
Net reserves (salvage)
|
448
|
|
|
386
|
|
||
Less: other (non-financial guaranty business)
|
(4
|
)
|
|
(3
|
)
|
||
Net reserves (salvage)
|
$
|
452
|
|
|
$
|
389
|
|
(1)
|
Recorded as a component of reinsurance balances payable.
|
(2)
|
R&W recoverables recorded in other assets on the consolidated balance sheet.
|
|
As of June 30, 2014
|
|
As of December 31, 2013
|
||||||||||||||||||||
|
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
|
$
|
132
|
|
|
$
|
—
|
|
|
$
|
132
|
|
|
$
|
122
|
|
|
$
|
(49
|
)
|
|
$
|
73
|
|
Loss and LAE reserve, net
|
317
|
|
|
(13
|
)
|
|
304
|
|
|
363
|
|
|
(24
|
)
|
|
339
|
|
(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
June 30, 2014 |
||
|
(in millions)
|
||
Net expected loss to be paid
|
$
|
892
|
|
Less: net expected loss to be paid for FG VIEs
|
108
|
|
|
Total
|
784
|
|
|
Contra-paid, net
|
38
|
|
|
Salvage and subrogation recoverable, net of reinsurance
|
247
|
|
|
Loss and LAE reserve, net of reinsurance
|
(714
|
)
|
|
Other recoveries (1)
|
15
|
|
|
Net expected loss to be expensed (Present value) (2)
|
$
|
370
|
|
(1)
|
R&W recoverables recorded in other assets on the consolidated balance sheet.
|
(2)
|
Excludes
$82 million
as of
June 30, 2014
, related to consolidated FG VIEs.
|
|
As of
June 30, 2014 |
||
|
(in millions)
|
||
2014 (July 1– September 30)
|
$
|
10
|
|
2014 (October 1–December 31)
|
10
|
|
|
2015
|
39
|
|
|
2016
|
36
|
|
|
2017
|
30
|
|
|
2018
|
27
|
|
|
2019 - 2023
|
96
|
|
|
2024 - 2028
|
57
|
|
|
2029 - 2033
|
37
|
|
|
After 2033
|
28
|
|
|
Net expected loss to be expensed (Present value) (1)
|
370
|
|
|
Discount
|
435
|
|
|
Total future value
|
$
|
805
|
|
(1)
|
Consolidation of FG VIEs resulted in reductions of $
82 million
in net expected loss to be expensed on a present value basis.
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
Structured Finance:
|
|
|
|
|
(in millions)
|
||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
0
|
|
Alt-A first lien
|
10
|
|
|
(9
|
)
|
|
17
|
|
|
0
|
|
||||
Option ARM
|
(22
|
)
|
|
22
|
|
|
(30
|
)
|
|
(61
|
)
|
||||
Subprime
|
10
|
|
|
23
|
|
|
2
|
|
|
34
|
|
||||
First lien
|
(2
|
)
|
|
36
|
|
|
(11
|
)
|
|
(27
|
)
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
(1
|
)
|
|
(1
|
)
|
|
(1
|
)
|
|
19
|
|
||||
HELOC
|
(18
|
)
|
|
(19
|
)
|
|
(10
|
)
|
|
(16
|
)
|
||||
Second lien
|
(19
|
)
|
|
(20
|
)
|
|
(11
|
)
|
|
3
|
|
||||
Total U.S. RMBS
|
(21
|
)
|
|
16
|
|
|
(22
|
)
|
|
(24
|
)
|
||||
TruPS
|
0
|
|
|
(1
|
)
|
|
(1
|
)
|
|
(1
|
)
|
||||
Other structured finance
|
4
|
|
|
(9
|
)
|
|
20
|
|
|
(21
|
)
|
||||
Structured finance
|
(17
|
)
|
|
6
|
|
|
(3
|
)
|
|
(46
|
)
|
||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
83
|
|
|
78
|
|
|
109
|
|
|
74
|
|
||||
Non-U.S. public finance
|
(1
|
)
|
|
—
|
|
|
0
|
|
|
1
|
|
||||
Public finance
|
82
|
|
|
78
|
|
|
109
|
|
|
75
|
|
||||
Subtotal
|
65
|
|
|
84
|
|
|
106
|
|
|
29
|
|
||||
Other
|
0
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
||||
Loss and LAE on insurance contracts before FG VIE consolidation
|
65
|
|
|
84
|
|
|
105
|
|
|
29
|
|
||||
Effect of consolidating FG VIEs
|
(8
|
)
|
|
(22
|
)
|
|
(7
|
)
|
|
(15
|
)
|
||||
Loss and LAE
|
$
|
57
|
|
|
$
|
62
|
|
|
$
|
98
|
|
|
$
|
14
|
|
|
BIG Categories
|
||||||||||||||||||||||||||||||||||
|
BIG 1
|
|
BIG 2
|
|
BIG 3
|
|
Total
BIG, Net
|
|
Effect of
Consolidating
FG VIEs
|
|
Total
|
||||||||||||||||||||||||
|
Gross
|
|
Ceded
|
|
Gross
|
|
Ceded
|
|
Gross
|
|
Ceded
|
|
|
|
|||||||||||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||||||||||||||
Number of risks(1)
|
184
|
|
|
(71
|
)
|
|
84
|
|
|
(21
|
)
|
|
113
|
|
|
(35
|
)
|
|
381
|
|
|
—
|
|
|
381
|
|
|||||||||
Remaining weighted-average contract period (in years)
|
9.9
|
|
|
7.4
|
|
|
9.6
|
|
|
9.0
|
|
|
9.9
|
|
|
7.6
|
|
|
10.3
|
|
|
—
|
|
|
10.3
|
|
|||||||||
Outstanding exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Principal
|
$
|
14,049
|
|
|
$
|
(2,436
|
)
|
|
$
|
2,918
|
|
|
$
|
(310
|
)
|
|
$
|
3,020
|
|
|
$
|
(137
|
)
|
|
$
|
17,104
|
|
|
$
|
—
|
|
|
$
|
17,104
|
|
Interest
|
7,204
|
|
|
(942
|
)
|
|
1,473
|
|
|
(134
|
)
|
|
1,204
|
|
|
(48
|
)
|
|
8,757
|
|
|
—
|
|
|
8,757
|
|
|||||||||
Total(2)
|
$
|
21,253
|
|
|
$
|
(3,378
|
)
|
|
$
|
4,391
|
|
|
$
|
(444
|
)
|
|
$
|
4,224
|
|
|
$
|
(185
|
)
|
|
$
|
25,861
|
|
|
$
|
—
|
|
|
$
|
25,861
|
|
Expected cash outflows (inflows)
|
$
|
1,812
|
|
|
$
|
(502
|
)
|
|
$
|
752
|
|
|
$
|
(55
|
)
|
|
$
|
1,738
|
|
|
$
|
(71
|
)
|
|
$
|
3,674
|
|
|
$
|
(354
|
)
|
|
$
|
3,320
|
|
Potential recoveries
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Undiscounted R&W
|
(159
|
)
|
|
3
|
|
|
(81
|
)
|
|
3
|
|
|
(336
|
)
|
|
13
|
|
|
(557
|
)
|
|
14
|
|
|
(543
|
)
|
|||||||||
Other(3)
|
(1,773
|
)
|
|
489
|
|
|
(175
|
)
|
|
5
|
|
|
(319
|
)
|
|
26
|
|
|
(1,747
|
)
|
|
189
|
|
|
(1,558
|
)
|
|||||||||
Total potential recoveries
|
(1,932
|
)
|
|
492
|
|
|
(256
|
)
|
|
8
|
|
|
(655
|
)
|
|
39
|
|
|
(2,304
|
)
|
|
203
|
|
|
(2,101
|
)
|
|||||||||
Subtotal
|
(120
|
)
|
|
(10
|
)
|
|
496
|
|
|
(47
|
)
|
|
1,083
|
|
|
(32
|
)
|
|
1,370
|
|
|
(151
|
)
|
|
1,219
|
|
|||||||||
Discount
|
20
|
|
|
(1
|
)
|
|
(138
|
)
|
|
10
|
|
|
(378
|
)
|
|
9
|
|
|
(478
|
)
|
|
43
|
|
|
(435
|
)
|
|||||||||
Present value of expected cash flows
|
$
|
(100
|
)
|
|
$
|
(11
|
)
|
|
$
|
358
|
|
|
$
|
(37
|
)
|
|
$
|
705
|
|
|
$
|
(23
|
)
|
|
$
|
892
|
|
|
$
|
(108
|
)
|
|
$
|
784
|
|
Deferred premium revenue
|
$
|
482
|
|
|
$
|
(82
|
)
|
|
$
|
143
|
|
|
$
|
(7
|
)
|
|
$
|
270
|
|
|
$
|
(23
|
)
|
|
$
|
783
|
|
|
$
|
(124
|
)
|
|
$
|
659
|
|
Reserves (salvage)(4)
|
$
|
(185
|
)
|
|
$
|
3
|
|
|
$
|
247
|
|
|
$
|
(31
|
)
|
|
$
|
502
|
|
|
$
|
(11
|
)
|
|
$
|
525
|
|
|
$
|
(73
|
)
|
|
$
|
452
|
|
|
BIG Categories
|
||||||||||||||||||||||||||||||||||
|
BIG 1
|
|
BIG 2
|
|
BIG 3
|
|
Total
BIG, Net
|
|
Effect of
Consolidating
FG VIEs
|
|
Total
|
||||||||||||||||||||||||
|
Gross
|
|
Ceded
|
|
Gross
|
|
Ceded
|
|
Gross
|
|
Ceded
|
|
|||||||||||||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||||||||||||||
Number of risks(1)
|
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(2)
|
$
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Undiscounted R&W
|
(105
|
)
|
|
1
|
|
|
(201
|
)
|
|
8
|
|
|
(356
|
)
|
|
13
|
|
|
(640
|
)
|
|
72
|
|
|
(568
|
)
|
|||||||||
Other(3)
|
(1,774
|
)
|
|
513
|
|
|
(470
|
)
|
|
19
|
|
|
(351
|
)
|
|
19
|
|
|
(2,044
|
)
|
|
507
|
|
|
(1,537
|
)
|
|||||||||
Total potential recoveries
|
(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)(4)
|
$
|
(114
|
)
|
|
$
|
1
|
|
|
$
|
117
|
|
|
$
|
(4
|
)
|
|
$
|
420
|
|
|
$
|
(13
|
)
|
|
$
|
407
|
|
|
$
|
(18
|
)
|
|
$
|
389
|
|
(1)
|
The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure.
|
(2)
|
Includes BIG amounts related to FG VIEs.
|
(3)
|
Includes excess spread and draws on HELOCs.
|
(4)
|
See table “Components of net reserves (salvage).”
|
7.
|
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”).
|
•
|
Actual collateral specific credit spreads (if up-to-date and reliable market-based spreads are available).
|
•
|
Deals priced or closed during a specific quarter within a specific asset class and specific rating.
|
•
|
Credit spreads interpolated based upon market indices.
|
•
|
Credit spreads provided by the counterparty of the CDS.
|
•
|
Credit spreads extrapolated based upon transactions of similar asset classes, similar ratings, and similar time to maturity.
|
|
As of
June 30, 2014 |
|
As of
December 31, 2013 |
||
Based on actual collateral specific spreads
|
7
|
%
|
|
6
|
%
|
Based on market indices
|
86
|
%
|
|
88
|
%
|
Provided by the CDS counterparty
|
7
|
%
|
|
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 premium the Company receives per annum (in bps)
|
40
|
|
|
22
|
%
|
|
10
|
|
|
2
|
%
|
•
|
The model takes into account the transaction structure and the key drivers of market value. The transaction structure includes par insured, weighted average life, level of subordination and composition of collateral.
|
•
|
The model maximizes the use of market-driven inputs whenever they are available. The key inputs to the model are market-based spreads for the collateral, and the credit rating of referenced entities. These are viewed by the Company to be the key parameters that affect fair value of the transaction.
|
•
|
The model is a consistent approach to valuing positions. The Company has developed a hierarchy for market-based spread inputs that helps mitigate the degree of subjectivity during periods of high illiquidity.
|
•
|
There is no exit market or actual exit transactions. Therefore the Company’s exit market is a hypothetical one based on the Company’s entry market.
|
•
|
There is a very limited market in which to validate the reasonableness of the fair values developed by the Company’s model.
|
•
|
At
June 30, 2014
and December 31, 2013, the markets for the inputs to the model were highly illiquid, which impacts their reliability.
|
•
|
Due to the non-standard terms under which the Company enters into derivative contracts, the fair value of its credit derivatives may not reflect the same prices observed in an actively traded market of credit derivatives that do not contain terms and conditions similar to those observed in the financial guaranty market.
|
|
|
|
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
|
$
|
5,500
|
|
|
$
|
—
|
|
|
$
|
5,462
|
|
|
$
|
38
|
|
U.S. government and agencies
|
853
|
|
|
—
|
|
|
853
|
|
|
—
|
|
||||
Corporate securities
|
1,413
|
|
|
—
|
|
|
1,307
|
|
|
106
|
|
||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,171
|
|
|
—
|
|
|
821
|
|
|
350
|
|
||||
Commercial mortgage-backed securities ("CMBS")
|
712
|
|
|
—
|
|
|
712
|
|
|
—
|
|
||||
Asset-backed securities
|
548
|
|
|
—
|
|
|
294
|
|
|
254
|
|
||||
Foreign government securities
|
333
|
|
|
—
|
|
|
333
|
|
|
—
|
|
||||
Total fixed-maturity securities
|
10,530
|
|
|
—
|
|
|
9,782
|
|
|
748
|
|
||||
Short-term investments
|
979
|
|
|
583
|
|
|
396
|
|
|
—
|
|
||||
Other invested assets (1)
|
89
|
|
|
—
|
|
|
33
|
|
|
56
|
|
||||
Credit derivative assets
|
80
|
|
|
—
|
|
|
—
|
|
|
80
|
|
||||
FG VIEs’ assets, at fair value
|
1,284
|
|
|
—
|
|
|
—
|
|
|
1,284
|
|
||||
Other assets
|
73
|
|
|
25
|
|
|
17
|
|
|
31
|
|
||||
Total assets carried at fair value
|
$
|
13,035
|
|
|
$
|
608
|
|
|
$
|
10,228
|
|
|
$
|
2,199
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Credit derivative liabilities
|
$
|
1,917
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,917
|
|
FG VIEs’ liabilities with recourse, at fair value
|
1,366
|
|
|
—
|
|
|
—
|
|
|
1,366
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
124
|
|
|
—
|
|
|
—
|
|
|
124
|
|
||||
Total liabilities carried at fair value
|
$
|
3,407
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,407
|
|
|
|
|
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
|
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
|
|
(1)
|
Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis.
|
|
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 March 31, 2014
|
$
|
38
|
|
|
|
$
|
138
|
|
|
$
|
359
|
|
|
|
$
|
252
|
|
|
|
$
|
48
|
|
|
$
|
1,257
|
|
|
|
$
|
37
|
|
|
|
$
|
(1,923
|
)
|
|
$
|
(1,346
|
)
|
|
$
|
(101
|
)
|
|
||||
Total pretax realized and unrealized gains/(losses) recorded in:(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Net income (loss)
|
1
|
|
(2
|
)
|
(7
|
)
|
(2
|
)
|
6
|
|
(2
|
)
|
3
|
|
(2
|
)
|
—
|
|
|
35
|
|
(3
|
)
|
(6
|
)
|
(4
|
)
|
103
|
|
(6
|
)
|
(25
|
)
|
(3
|
)
|
(27
|
)
|
(3
|
)
|
||||||||||
Other comprehensive income (loss)
|
0
|
|
|
|
(25
|
)
|
|
0
|
|
|
|
0
|
|
|
|
1
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|||||||||||
Purchases
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|||||||||||
Settlements
|
(1
|
)
|
|
—
|
|
|
(15
|
)
|
|
(1
|
)
|
|
0
|
|
|
(29
|
)
|
|
—
|
|
|
|
(17
|
)
|
|
|
30
|
|
|
|
—
|
|
|
|
|||||||||||||||
FG VIE consolidations
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
46
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(25
|
)
|
|
(21
|
)
|
|
|
||||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(25
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
25
|
|
|
|||||||||||||||||||
Fair value as of June 30, 2014
|
$
|
38
|
|
|
|
$
|
106
|
|
|
$
|
350
|
|
|
|
$
|
254
|
|
|
|
$
|
49
|
|
|
$
|
1,284
|
|
|
|
$
|
31
|
|
|
|
$
|
(1,837
|
)
|
|
$
|
(1,366
|
)
|
|
$
|
(124
|
)
|
|
||||
Change in unrealized gains/(losses) related to financial instruments held as of June 30, 2014
|
$
|
0
|
|
|
$
|
(25
|
)
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
1
|
|
|
$
|
40
|
|
|
$
|
(6
|
)
|
|
$
|
88
|
|
|
$
|
(24
|
)
|
|
$
|
4
|
|
|
|
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 March 31, 2013
|
$
|
35
|
|
|
|
$
|
221
|
|
|
|
$
|
286
|
|
|
|
$
|
1
|
|
|
$
|
2,813
|
|
|
|
$
|
26
|
|
|
|
$
|
(2,393
|
)
|
|
$
|
(2,071
|
)
|
|
$
|
(1,107
|
)
|
|
||||
Total pretax realized and unrealized gains/(losses) recorded in:(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net income (loss)
|
—
|
|
(2
|
)
|
6
|
|
(2
|
)
|
5
|
|
(2
|
)
|
(1
|
)
|
(7
|
)
|
341
|
|
(3
|
)
|
(3
|
)
|
(4
|
)
|
74
|
|
(6
|
)
|
(82
|
)
|
(3
|
)
|
(118
|
)
|
(3
|
)
|
|||||||||
Other comprehensive income (loss)
|
1
|
|
|
|
(3
|
)
|
|
|
—
|
|
|
|
2
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||
Purchases
|
—
|
|
|
|
67
|
|
|
|
11
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||
Settlements
|
—
|
|
|
(15
|
)
|
|
(2
|
)
|
|
—
|
|
|
(302
|
)
|
|
—
|
|
|
|
71
|
|
|
|
78
|
|
|
|
44
|
|
|
|
||||||||||||||
FG VIE consolidations
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
|||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(178
|
)
|
|
—
|
|
|
—
|
|
|
135
|
|
|
47
|
|
|
||||||||||||||||||
Fair value as of June 30, 2013
|
$
|
36
|
|
|
|
$
|
276
|
|
|
$
|
300
|
|
|
$
|
2
|
|
|
$
|
2,674
|
|
|
$
|
23
|
|
|
$
|
(2,248
|
)
|
|
$
|
(1,940
|
)
|
|
$
|
(1,134
|
)
|
|
||||||||
Change in unrealized gains/(losses) related to financial instruments held as of June 30, 2013
|
$
|
1
|
|
|
$
|
(3
|
)
|
|
$
|
1
|
|
|
$
|
2
|
|
|
$
|
231
|
|
|
$
|
(3
|
)
|
|
$
|
294
|
|
|
$
|
(82
|
)
|
|
$
|
(132
|
)
|
|
|
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, 2013
|
$
|
36
|
|
|
|
$
|
136
|
|
|
$
|
290
|
|
|
|
$
|
268
|
|
|
|
$
|
2
|
|
|
$
|
2,565
|
|
|
|
$
|
46
|
|
|
|
$
|
(1,693
|
)
|
|
$
|
(1,790
|
)
|
|
$
|
(1,081
|
)
|
|
||||
Total pretax realized and unrealized gains/(losses) recorded in:(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Net income (loss)
|
2
|
|
(2
|
)
|
(4
|
)
|
(2
|
)
|
10
|
|
(2
|
)
|
10
|
|
(2
|
)
|
—
|
|
|
117
|
|
(3
|
)
|
(15
|
)
|
(4
|
)
|
(108
|
)
|
(6
|
)
|
(97
|
)
|
(3
|
)
|
(36
|
)
|
(3
|
)
|
||||||||||
Other comprehensive income (loss)
|
1
|
|
|
|
(21
|
)
|
|
14
|
|
|
|
8
|
|
|
|
2
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|||||||||||
Purchases
|
—
|
|
|
|
—
|
|
|
53
|
|
|
|
—
|
|
|
|
45
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|||||||||||
Settlements
|
(1
|
)
|
|
(5
|
)
|
|
(30
|
)
|
|
(32
|
)
|
|
0
|
|
|
(315
|
)
|
|
—
|
|
|
|
(36
|
)
|
|
|
299
|
|
|
|
12
|
|
|
|
|||||||||||||||
FG VIE consolidations
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
46
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(25
|
)
|
|
(21
|
)
|
|
|
||||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
13
|
|
|
—
|
|
|
—
|
|
|
(1,129
|
)
|
|
—
|
|
|
—
|
|
|
247
|
|
|
1,002
|
|
|
|||||||||||||||||||
Fair value as of June 30, 2014
|
$
|
38
|
|
|
|
$
|
106
|
|
|
$
|
350
|
|
|
|
$
|
254
|
|
|
|
$
|
49
|
|
|
$
|
1,284
|
|
|
|
$
|
31
|
|
|
|
$
|
(1,837
|
)
|
|
$
|
(1,366
|
)
|
|
$
|
(124
|
)
|
|
||||
Change in unrealized gains/(losses) related to financial instruments held as of June 30, 2014
|
$
|
1
|
|
|
$
|
(21
|
)
|
|
$
|
15
|
|
|
$
|
7
|
|
|
$
|
2
|
|
|
$
|
65
|
|
|
$
|
(15
|
)
|
|
$
|
(144
|
)
|
|
$
|
(53
|
)
|
|
$
|
(5
|
)
|
|
|
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, 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)
|
1
|
|
(2
|
)
|
11
|
|
(2
|
)
|
9
|
|
(2
|
)
|
(1
|
)
|
(7
|
)
|
556
|
|
(3
|
)
|
(13
|
)
|
(4
|
)
|
(518
|
)
|
(6
|
)
|
(163
|
)
|
(3
|
)
|
(192
|
)
|
(3
|
)
|
|||||||||
Other comprehensive income (loss)
|
1
|
|
|
|
4
|
|
|
|
(22
|
)
|
|
|
2
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||
Purchases
|
—
|
|
|
|
70
|
|
|
|
11
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||
Settlements
|
(1
|
)
|
|
(28
|
)
|
|
(4
|
)
|
|
—
|
|
|
(440
|
)
|
|
—
|
|
|
|
63
|
|
|
|
190
|
|
|
|
99
|
|
|
|
||||||||||||||
FG VIE consolidations
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
48
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(12
|
)
|
|
(37
|
)
|
|
|
|||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(178
|
)
|
|
—
|
|
|
—
|
|
|
135
|
|
|
47
|
|
|
||||||||||||||||||
Fair value as of June 30, 2013
|
$
|
36
|
|
|
|
$
|
276
|
|
|
$
|
300
|
|
|
$
|
2
|
|
|
$
|
2,674
|
|
|
$
|
23
|
|
|
$
|
(2,248
|
)
|
|
$
|
(1,940
|
)
|
|
$
|
(1,134
|
)
|
|
||||||||
Change in unrealized gains/(losses) related to financial instruments held as of June 30, 2013
|
$
|
1
|
|
|
$
|
5
|
|
|
$
|
(21
|
)
|
|
$
|
2
|
|
|
$
|
430
|
|
|
$
|
(13
|
)
|
|
$
|
(317
|
)
|
|
$
|
(165
|
)
|
|
$
|
(226
|
)
|
|
(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.
|
Financial Instrument Description
|
|
Fair Value at
June 30, 2014 (in millions) |
|
Valuation
Technique |
|
Significant Unobservable Inputs
|
|
Range
|
||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|||
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|||
Obligations of state and political subdivisions
|
|
$
|
38
|
|
|
Discounted
|
|
Rate of inflation
|
|
1.0
|
%
|
-
|
3.0%
|
|
|
|
cash flow
|
|
Cash flow receipts
|
0.5
|
%
|
-
|
61.3%
|
||||||
|
|
|
|
Yield
|
4.6
|
%
|
-
|
9.0%
|
||||||
|
|
|
|
Collateral recovery period
|
1 month
|
|
-
|
34 years
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Corporate securities
|
|
106
|
|
|
Discounted
|
|
Yield
|
|
11.5%
|
|||||
|
|
cash flow
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
RMBS
|
|
350
|
|
|
Discounted
|
|
CPR
|
|
0.3
|
%
|
-
|
16.4%
|
||
|
|
cash flow
|
|
CDR
|
|
3.2
|
%
|
-
|
18.0%
|
|||||
|
|
|
|
Severity
|
|
40.0
|
%
|
-
|
108.9%
|
|||||
|
|
|
|
Yield
|
|
2.2
|
%
|
-
|
8.3%
|
|||||
Asset-backed securities:
|
|
|
|
|
|
|
|
|
|
|
||||
Investor owned utility
|
|
121
|
|
|
Discounted cash flow
|
|
Liquidation value (in millions)
|
|
|
$178
|
|
-
|
$284
|
|
|
|
|
Years to liquidation
|
|
0 years
|
|
-
|
2.5 years
|
||||||
|
|
|
Collateral recovery period
|
|
6 months
|
|
-
|
5.5 years
|
||||||
|
|
|
Discount factor
|
|
7.0%
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
XXX life insurance transactions
|
|
133
|
|
|
Discounted
|
|
Yield
|
|
12.0%
|
|||||
|
|
cash flow
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Other invested assets
|
|
56
|
|
|
Discounted cash flow
|
|
Discount for lack of liquidity
|
|
10.0
|
%
|
-
|
20.0%
|
||
|
|
|
Recovery on delinquent loans
|
|
20.0
|
%
|
-
|
60.0%
|
||||||
|
|
|
Default rates
|
|
0.0
|
%
|
-
|
10.0%
|
||||||
|
|
|
Loss severity
|
|
40.0
|
%
|
-
|
90.0%
|
||||||
|
|
|
Prepayment speeds
|
|
5.0
|
%
|
-
|
15.0%
|
||||||
|
|
|
Net asset value (per share)
|
|
$
|
1,029
|
|
-
|
$1,038
|
|||||
|
|
|
|
|
|
|
|
|
|
|
||||
FG VIEs’ assets, at fair value
|
|
1,284
|
|
|
Discounted
|
|
CPR
|
|
0.0
|
%
|
-
|
9.7%
|
||
|
|
cash flow
|
|
CDR
|
|
0.7
|
%
|
-
|
20.2%
|
|||||
|
|
|
|
Loss severity
|
|
20.3
|
%
|
-
|
149.0%
|
|||||
|
|
|
|
Yield
|
|
3.3
|
%
|
-
|
9.3%
|
Financial Instrument Description
|
|
Fair Value at
June 30, 2014 (in millions) |
|
Valuation
Technique |
|
Significant Unobservable Inputs
|
|
Range
|
|||||
Other assets
|
|
31
|
|
|
Discounted cash flow
|
|
Quotes from third party pricing
|
|
$
|
52
|
|
-
|
$65
|
|
|
|
|
Term (years)
|
|
5 years
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||
Credit derivative liabilities, net
|
|
(1,837
|
)
|
|
Discounted
|
|
Year 1 loss estimates
|
|
0.0
|
%
|
-
|
51.0%
|
|
|
|
|
cash flow
|
|
Hedge cost (in bps)
|
|
21.3
|
|
-
|
345.5
|
|||
|
|
|
|
|
Bank profit (in bps)
|
|
1.0
|
|
-
|
1,453.5
|
|||
|
|
|
|
|
Internal floor (in bps)
|
|
7.0
|
|
-
|
100.0
|
|||
|
|
|
|
|
Internal credit rating
|
|
AAA
|
|
-
|
CCC
|
|||
|
|
|
|
|
|
|
|
|
|
|
|||
FG VIEs’ liabilities, at fair value
|
|
(1,490
|
)
|
|
Discounted
|
|
CPR
|
|
0.0
|
%
|
-
|
9.7%
|
|
|
|
cash flow
|
|
CDR
|
|
0.7
|
%
|
-
|
20.2%
|
||||
|
|
|
|
Loss severity
|
|
20.3
|
%
|
-
|
149.0%
|
||||
|
|
|
|
Yield
|
|
3.3
|
%
|
-
|
9.3%
|
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
|
|
-
|
CCC
|
||
|
|
|
|
|
|
|
|
|
|
|
||
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%
|
|
As of
June 30, 2014 |
|
As of
December 31, 2013 |
||||||||||||
|
Carrying
Amount
|
|
Estimated
Fair Value
|
|
Carrying
Amount
|
|
Estimated
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Fixed-maturity securities
|
$
|
10,530
|
|
|
$
|
10,530
|
|
|
$
|
9,711
|
|
|
$
|
9,711
|
|
Short-term investments
|
979
|
|
|
979
|
|
|
904
|
|
|
904
|
|
||||
Other invested assets
|
106
|
|
|
109
|
|
|
147
|
|
|
155
|
|
||||
Credit derivative assets
|
80
|
|
|
80
|
|
|
94
|
|
|
94
|
|
||||
FG VIEs’ assets, at fair value
|
1,284
|
|
|
1,284
|
|
|
2,565
|
|
|
2,565
|
|
||||
Other assets
|
188
|
|
|
188
|
|
|
179
|
|
|
179
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Financial guaranty insurance contracts(1)
|
3,709
|
|
|
6,294
|
|
|
3,783
|
|
|
5,128
|
|
||||
Long-term debt
|
1,311
|
|
|
1,577
|
|
|
816
|
|
|
970
|
|
||||
Credit derivative liabilities
|
1,917
|
|
|
1,917
|
|
|
1,787
|
|
|
1,787
|
|
||||
FG VIEs’ liabilities with recourse, at fair value
|
1,366
|
|
|
1,366
|
|
|
1,790
|
|
|
1,790
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
124
|
|
|
124
|
|
|
1,081
|
|
|
1,081
|
|
||||
Other liabilities
|
115
|
|
|
115
|
|
|
36
|
|
|
36
|
|
(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.
|
8.
|
Financial Guaranty Contracts Accounted for as Credit Derivatives
|
|
|
As of June 30, 2014
|
|
As of December 31, 2013
|
||||||||||||||||||||
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
|
|
$
|
15,737
|
|
|
32.4
|
%
|
|
36.3
|
%
|
|
AAA
|
|
$
|
19,323
|
|
|
32.4
|
%
|
|
34.0
|
%
|
|
AAA
|
Synthetic investment grade pooled corporate
|
|
9,487
|
|
|
21.4
|
|
|
19.9
|
|
|
AAA
|
|
9,754
|
|
|
21.6
|
|
|
20.0
|
|
|
AAA
|
||
Synthetic high yield pooled corporate
|
|
978
|
|
|
47.0
|
|
|
40.6
|
|
|
AAA
|
|
2,690
|
|
|
47.2
|
|
|
41.1
|
|
|
AAA
|
||
TruPS CDOs
|
|
3,361
|
|
|
45.3
|
|
|
34.0
|
|
|
BB+
|
|
3,554
|
|
|
45.5
|
|
|
32.9
|
|
|
BB+
|
||
Market value CDOs of corporate obligations
|
|
1,619
|
|
|
24.3
|
|
|
34.3
|
|
|
AAA
|
|
2,000
|
|
|
24.4
|
|
|
30.5
|
|
|
AAA
|
||
Total pooled corporate obligations
|
|
31,182
|
|
|
31.4
|
|
|
31.6
|
|
|
AAA
|
|
37,321
|
|
|
31.5
|
|
|
30.6
|
|
|
AAA
|
||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Option ARM and Alt-A first lien
|
|
2,434
|
|
|
19.0
|
|
|
7.4
|
|
|
BB-
|
|
2,609
|
|
|
19.2
|
|
|
8.6
|
|
|
BB-
|
||
Subprime first lien
|
|
2,716
|
|
|
30.8
|
|
|
51.2
|
|
|
AA-
|
|
2,930
|
|
|
30.5
|
|
|
51.9
|
|
|
AA-
|
||
Prime first lien
|
|
246
|
|
|
10.9
|
|
|
1.2
|
|
|
CCC
|
|
264
|
|
|
10.9
|
|
|
3.2
|
|
|
CCC
|
||
Closed-end second lien
|
|
21
|
|
|
—
|
|
|
—
|
|
|
BB
|
|
23
|
|
|
—
|
|
|
—
|
|
|
B+
|
||
Total U.S. RMBS
|
|
5,417
|
|
|
24.4
|
|
|
29.0
|
|
|
BBB+
|
|
5,826
|
|
|
24.4
|
|
|
30.1
|
|
|
BBB
|
||
CMBS
|
|
2,614
|
|
|
32.6
|
|
|
43.4
|
|
|
AAA
|
|
3,744
|
|
|
33.5
|
|
|
42.5
|
|
|
AAA
|
||
Other
|
|
7,574
|
|
|
—
|
|
|
—
|
|
|
A-
|
|
7,591
|
|
|
—
|
|
|
—
|
|
|
A-
|
||
Total
|
|
$
|
46,787
|
|
|
|
|
|
|
|
|
AA
|
|
$
|
54,482
|
|
|
|
|
|
|
|
|
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 June 30, 2014
|
|
As of December 31, 2013
|
||||||||||
Ratings
|
|
Net Par
Outstanding
|
|
% of Total
|
|
Net Par
Outstanding
|
|
% of Total
|
||||||
|
|
(dollars in millions)
|
||||||||||||
AAA
|
|
$
|
30,983
|
|
|
66.2
|
%
|
|
$
|
38,244
|
|
|
70.2
|
%
|
AA
|
|
3,434
|
|
|
7.3
|
|
|
3,648
|
|
|
6.7
|
|
||
A
|
|
3,753
|
|
|
8.0
|
|
|
3,636
|
|
|
6.7
|
|
||
BBB
|
|
4,146
|
|
|
8.9
|
|
|
4,161
|
|
|
7.6
|
|
||
BIG
|
|
4,471
|
|
|
9.6
|
|
|
4,793
|
|
|
8.8
|
|
||
Credit derivative net par outstanding
|
|
$
|
46,787
|
|
|
100.0
|
%
|
|
$
|
54,482
|
|
|
100.0
|
%
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Realized gains on credit derivatives (1)
|
|
$
|
21
|
|
|
$
|
41
|
|
|
$
|
41
|
|
|
$
|
69
|
|
Net credit derivative losses (paid and payable) recovered and recoverable
|
|
(6
|
)
|
|
(127
|
)
|
|
(7
|
)
|
|
(137
|
)
|
||||
Realized gains (losses) and other settlements on credit derivatives
|
|
15
|
|
|
(86
|
)
|
|
34
|
|
|
(68
|
)
|
||||
Net change in unrealized gains (losses) on credit derivatives (2)
|
|
88
|
|
|
160
|
|
|
(142
|
)
|
|
(450
|
)
|
||||
Net change in fair value of credit derivatives
|
|
$
|
103
|
|
|
$
|
74
|
|
|
$
|
(108
|
)
|
|
$
|
(518
|
)
|
(1)
|
Includes accelerations due to terminations of CDS contracts of
$0.5 million
and
$14 million
related to net par of
$0.2 billion
and
$2.0 billion
for
Second Quarter 2014
and
Second Quarter 2013
, respectively, and
$0.7 million
and
$15 million
related to net par of
$1.3 billion
and
$3.0 billion
for
Six Months 2014
and
Six Months 2013
, respectively.
|
(2)
|
Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 5), 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.
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
Asset Type
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
|
|
|
|
(in millions)
|
||||||||||
Pooled corporate obligations
|
|
$
|
64
|
|
|
$
|
(34
|
)
|
|
$
|
6
|
|
|
$
|
(139
|
)
|
U.S. RMBS
|
|
5
|
|
|
14
|
|
|
(135
|
)
|
|
(443
|
)
|
||||
CMBS
|
|
2
|
|
|
(1
|
)
|
|
2
|
|
|
(4
|
)
|
||||
Other(1)
|
|
17
|
|
|
181
|
|
|
(15
|
)
|
|
136
|
|
||||
Total
|
|
$
|
88
|
|
|
$
|
160
|
|
|
$
|
(142
|
)
|
|
$
|
(450
|
)
|
(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
June 30, 2014 |
|
As of
March 31, 2014 |
|
As of
December 31, 2013 |
|
As of
June 30, 2013 |
|
As of
March 31, 2013 |
|
As of
December 31, 2012 |
||||||
AGC
|
327
|
|
|
291
|
|
|
460
|
|
|
343
|
|
|
397
|
|
|
678
|
|
AGM
|
346
|
|
|
305
|
|
|
525
|
|
|
365
|
|
|
380
|
|
|
536
|
|
|
As of
June 30, 2014 |
|
As of
March 31, 2014 |
|
As of
December 31, 2013 |
|
As of
June 30, 2013 |
|
As of
March 31, 2013 |
|
As of
December 31, 2012 |
||||||
AGC
|
85
|
|
|
55
|
|
|
185
|
|
|
57
|
|
|
59
|
|
|
270
|
|
AGM
|
115
|
|
|
70
|
|
|
220
|
|
|
72
|
|
|
60
|
|
|
257
|
|
|
As of
June 30, 2014 |
|
As of
December 31, 2013 |
||||
|
(in millions)
|
||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads
|
$
|
(3,020
|
)
|
|
$
|
(3,442
|
)
|
Plus: Effect of AGC and AGM credit spreads
|
1,183
|
|
|
1,749
|
|
||
Net fair value of credit derivatives
|
$
|
(1,837
|
)
|
|
$
|
(1,693
|
)
|
|
|
Fair Value of Credit Derivative
Asset (Liability), net
|
|
Expected Loss to be (Paid) Recovered (1)
|
||||||||||||
Asset Type
|
|
As of
June 30, 2014 |
|
As of
December 31, 2013 |
|
As of
June 30, 2014 |
|
As of
December 31, 2013 |
||||||||
|
|
(in millions)
|
||||||||||||||
Pooled corporate obligations
|
|
$
|
(25
|
)
|
|
$
|
(30
|
)
|
|
$
|
(30
|
)
|
|
$
|
(48
|
)
|
U.S. RMBS
|
|
(1,443
|
)
|
|
(1,308
|
)
|
|
(155
|
)
|
|
(175
|
)
|
||||
CMBS
|
|
(1
|
)
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
||||
Other
|
|
(368
|
)
|
|
(353
|
)
|
|
38
|
|
|
39
|
|
||||
Total
|
|
$
|
(1,837
|
)
|
|
$
|
(1,693
|
)
|
|
$
|
(147
|
)
|
|
$
|
(184
|
)
|
(1)
|
Includes R&W benefit of $
167 million
as of
June 30, 2014
and $
180 million
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
|
|
$
|
(3,702
|
)
|
|
$
|
(1,865
|
)
|
50% widening in spreads
|
|
(2,769
|
)
|
|
(932
|
)
|
||
25% widening in spreads
|
|
(2,303
|
)
|
|
(466
|
)
|
||
10% widening in spreads
|
|
(2,023
|
)
|
|
(186
|
)
|
||
Base Scenario
|
|
(1,837
|
)
|
|
—
|
|
||
10% narrowing in spreads
|
|
(1,657
|
)
|
|
180
|
|
||
25% narrowing in spreads
|
|
(1,387
|
)
|
|
450
|
|
||
50% narrowing in spreads
|
|
(927
|
)
|
|
910
|
|
(1)
|
Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread.
|
9.
|
Consolidated Variable Interest Entities
|
|
Six Months
|
||||
|
2014
|
|
2013
|
||
|
|
||||
Beginning of period, December 31
|
40
|
|
|
33
|
|
Consolidated (1)
|
1
|
|
|
11
|
|
Deconsolidated (1)
|
(8
|
)
|
|
(2
|
)
|
Matured
|
(2
|
)
|
|
(1
|
)
|
End of period, June 30
|
31
|
|
|
41
|
|
(1)
|
Net gain on deconsolidation was
$120 million
in
Six Months 2014
, and a net loss on consolidation and deconsolidation was
$7 million
in
Six Months 2013
, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations.
|
|
As of June 30, 2014
|
|
As of December 31, 2013
|
||||||||||||
|
Assets
|
|
Liabilities
|
|
Assets
|
|
Liabilities
|
||||||||
|
(in millions)
|
||||||||||||||
With recourse:
|
|
|
|
|
|
|
|
|
|
|
|
||||
U.S. RMBS first lien
|
$
|
536
|
|
|
$
|
628
|
|
|
$
|
630
|
|
|
$
|
791
|
|
U.S. RMBS second lien
|
252
|
|
|
378
|
|
|
460
|
|
|
640
|
|
||||
Other
|
360
|
|
|
360
|
|
|
359
|
|
|
359
|
|
||||
Total with recourse
|
1,148
|
|
|
1,366
|
|
|
1,449
|
|
|
1,790
|
|
||||
Without recourse
|
136
|
|
|
124
|
|
|
1,116
|
|
|
1,081
|
|
||||
Total
|
$
|
1,284
|
|
|
$
|
1,490
|
|
|
$
|
2,565
|
|
|
$
|
2,871
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Net earned premiums
|
|
$
|
(5
|
)
|
|
$
|
(15
|
)
|
|
$
|
(22
|
)
|
|
$
|
(33
|
)
|
Net investment income
|
|
(3
|
)
|
|
(4
|
)
|
|
(6
|
)
|
|
(7
|
)
|
||||
Net realized investment gains (losses)
|
|
(5
|
)
|
|
1
|
|
|
(5
|
)
|
|
2
|
|
||||
Fair value gains (losses) on FG VIEs
|
|
25
|
|
|
143
|
|
|
182
|
|
|
213
|
|
||||
Other income
|
|
0
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
||||
Loss and LAE
|
|
8
|
|
|
22
|
|
|
7
|
|
|
15
|
|
||||
Effect on net income before tax provision
|
|
20
|
|
|
147
|
|
|
154
|
|
|
190
|
|
||||
Less: tax provision (benefit)
|
|
7
|
|
|
51
|
|
|
54
|
|
|
66
|
|
||||
Effect on net income (loss)
|
|
$
|
13
|
|
|
$
|
96
|
|
|
$
|
100
|
|
|
$
|
124
|
|
|
|
|
|
|
|
|
|
|
||||||||
Effect on cash flows from operating activities
|
|
$
|
47
|
|
|
$
|
(162
|
)
|
|
$
|
39
|
|
|
$
|
(141
|
)
|
|
As of
June 30, 2014 |
|
As of
December 31, 2013 |
||||
|
(in millions)
|
||||||
Effect on shareholders’ equity (decrease) increase
|
$
|
(82
|
)
|
|
$
|
(172
|
)
|
10.
|
Investments and Cash
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Income from fixed-maturity securities managed by third parties
|
|
$
|
81
|
|
|
$
|
80
|
|
|
$
|
161
|
|
|
$
|
159
|
|
Income from internally managed securities:
|
|
|
|
|
|
|
|
|
||||||||
Fixed maturities
|
|
17
|
|
|
14
|
|
|
37
|
|
|
30
|
|
||||
Other invested assets
|
|
0
|
|
|
1
|
|
|
5
|
|
|
2
|
|
||||
Gross investment income
|
|
98
|
|
|
95
|
|
|
203
|
|
|
191
|
|
||||
Investment expenses
|
|
(2
|
)
|
|
(2
|
)
|
|
(4
|
)
|
|
(4
|
)
|
||||
Net investment income
|
|
$
|
96
|
|
|
$
|
93
|
|
|
$
|
199
|
|
|
$
|
187
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Gross realized gains on available-for-sale securities
|
|
$
|
3
|
|
|
$
|
12
|
|
|
$
|
7
|
|
|
$
|
18
|
|
Gross realized gains on other assets in investment portfolio
|
|
2
|
|
|
3
|
|
|
7
|
|
|
36
|
|
||||
Gross realized losses on available-for-sale securities
|
|
(1
|
)
|
|
(5
|
)
|
|
(3
|
)
|
|
(9
|
)
|
||||
Gross realized losses on other assets in investment portfolio
|
|
0
|
|
|
(1
|
)
|
|
0
|
|
|
(3
|
)
|
||||
Other-than-temporary impairment
|
|
(12
|
)
|
|
(7
|
)
|
|
(17
|
)
|
|
(12
|
)
|
||||
Net realized investment gains (losses)
|
|
$
|
(8
|
)
|
|
$
|
2
|
|
|
$
|
(6
|
)
|
|
$
|
30
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Balance, beginning of period
|
|
$
|
85
|
|
|
$
|
69
|
|
|
$
|
80
|
|
|
$
|
64
|
|
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized
|
|
9
|
|
|
—
|
|
|
10
|
|
|
1
|
|
||||
Reductions for securities sold during the period
|
|
(12
|
)
|
|
—
|
|
|
(12
|
)
|
|
—
|
|
||||
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized
|
|
2
|
|
|
3
|
|
|
6
|
|
|
7
|
|
||||
Balance, end of period
|
|
$
|
84
|
|
|
$
|
72
|
|
|
$
|
84
|
|
|
$
|
72
|
|
Investment Category
|
|
Percent
of
Total(1)
|
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Estimated
Fair
Value
|
|
AOCI(2)
Gain
(Loss) on
Securities
with
Other-Than-Temporary Impairment
|
|
Weighted
Average
Credit
Quality
(3)
|
|||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Obligations of state and political subdivisions
|
|
47
|
%
|
|
$
|
5,163
|
|
|
$
|
342
|
|
|
$
|
(5
|
)
|
|
$
|
5,500
|
|
|
$
|
8
|
|
|
AA
|
U.S. government and agencies
|
|
7
|
|
|
823
|
|
|
33
|
|
|
(3
|
)
|
|
853
|
|
|
—
|
|
|
AA+
|
|||||
Corporate securities
|
|
12
|
|
|
1,376
|
|
|
59
|
|
|
(22
|
)
|
|
1,413
|
|
|
(17
|
)
|
|
A+
|
|||||
Mortgage-backed securities(4):
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
RMBS
|
|
11
|
|
|
1,170
|
|
|
46
|
|
|
(45
|
)
|
|
1,171
|
|
|
(28
|
)
|
|
A
|
|||||
CMBS
|
|
6
|
|
|
691
|
|
|
21
|
|
|
0
|
|
|
712
|
|
|
—
|
|
|
AAA
|
|||||
Asset-backed securities
|
|
5
|
|
|
538
|
|
|
13
|
|
|
(3
|
)
|
|
548
|
|
|
3
|
|
|
BBB+
|
|||||
Foreign government securities
|
|
3
|
|
|
317
|
|
|
17
|
|
|
(1
|
)
|
|
333
|
|
|
—
|
|
|
AA+
|
|||||
Total fixed-maturity securities
|
|
91
|
|
|
10,078
|
|
|
531
|
|
|
(79
|
)
|
|
10,530
|
|
|
(34
|
)
|
|
AA-
|
|||||
Short-term investments
|
|
9
|
|
|
979
|
|
|
0
|
|
|
0
|
|
|
979
|
|
|
—
|
|
|
AAA
|
|||||
Total investment portfolio
|
|
100
|
%
|
|
$
|
11,057
|
|
|
$
|
531
|
|
|
$
|
(79
|
)
|
|
$
|
11,509
|
|
|
$
|
(34
|
)
|
|
AA-
|
Investment Category
|
|
Percent
of
Total(1)
|
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Estimated
Fair
Value
|
|
AOCI
Gain
(Loss) on
Securities
with
Other-Than-Temporary Impairment
|
|
Weighted
Average
Credit
Quality
(3)
|
|||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Obligations of state and political subdivisions
|
|
47
|
%
|
|
$
|
4,899
|
|
|
$
|
219
|
|
|
$
|
(39
|
)
|
|
$
|
5,079
|
|
|
$
|
4
|
|
|
AA
|
U.S. government and agencies
|
|
7
|
|
|
674
|
|
|
32
|
|
|
(6
|
)
|
|
700
|
|
|
—
|
|
|
AA+
|
|||||
Corporate securities
|
|
13
|
|
|
1,314
|
|
|
44
|
|
|
(18
|
)
|
|
1,340
|
|
|
0
|
|
|
A
|
|||||
Mortgage-backed securities(4):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
RMBS
|
|
11
|
|
|
1,160
|
|
|
34
|
|
|
(72
|
)
|
|
1,122
|
|
|
(43
|
)
|
|
A
|
|||||
CMBS
|
|
5
|
|
|
536
|
|
|
17
|
|
|
(4
|
)
|
|
549
|
|
|
—
|
|
|
AAA
|
|||||
Asset-backed securities
|
|
6
|
|
|
605
|
|
|
10
|
|
|
(7
|
)
|
|
608
|
|
|
2
|
|
|
BBB+
|
|||||
Foreign government securities
|
|
3
|
|
|
300
|
|
|
14
|
|
|
(1
|
)
|
|
313
|
|
|
—
|
|
|
AA+
|
|||||
Total fixed-maturity securities
|
|
91
|
|
|
9,488
|
|
|
370
|
|
|
(147
|
)
|
|
9,711
|
|
|
(37
|
)
|
|
AA-
|
|||||
Short-term investments
|
|
9
|
|
|
904
|
|
|
0
|
|
|
0
|
|
|
904
|
|
|
—
|
|
|
AAA
|
|||||
Total investment portfolio
|
|
100
|
%
|
|
$
|
10,392
|
|
|
$
|
370
|
|
|
$
|
(147
|
)
|
|
$
|
10,615
|
|
|
$
|
(37
|
)
|
|
AA-
|
(1)
|
Based on amortized cost.
|
(2)
|
Accumulated OCI ("AOCI"). See also Note 17, Shareholders' Equity.
|
(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
44%
of mortgage backed securities as of
June 30, 2014
and
50%
as of
December 31, 2013
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
|
$
|
53
|
|
|
$
|
(1
|
)
|
|
$
|
217
|
|
|
$
|
(4
|
)
|
|
$
|
270
|
|
|
$
|
(5
|
)
|
U.S. government and agencies
|
7
|
|
|
0
|
|
|
172
|
|
|
(3
|
)
|
|
179
|
|
|
(3
|
)
|
||||||
Corporate securities
|
122
|
|
|
(17
|
)
|
|
156
|
|
|
(5
|
)
|
|
278
|
|
|
(22
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
RMBS
|
89
|
|
|
(2
|
)
|
|
317
|
|
|
(43
|
)
|
|
406
|
|
|
(45
|
)
|
||||||
CMBS
|
—
|
|
|
—
|
|
|
26
|
|
|
0
|
|
|
26
|
|
|
0
|
|
||||||
Asset-backed securities
|
9
|
|
|
0
|
|
|
48
|
|
|
(3
|
)
|
|
57
|
|
|
(3
|
)
|
||||||
Foreign government securities
|
44
|
|
|
0
|
|
|
10
|
|
|
(1
|
)
|
|
54
|
|
|
(1
|
)
|
||||||
Total
|
$
|
324
|
|
|
$
|
(20
|
)
|
|
$
|
946
|
|
|
$
|
(59
|
)
|
|
$
|
1,270
|
|
|
$
|
(79
|
)
|
Number of securities
|
|
|
|
58
|
|
|
|
|
|
165
|
|
|
|
|
|
223
|
|
||||||
Number of securities with other-than-temporary impairment
|
|
|
|
2
|
|
|
|
|
|
11
|
|
|
|
|
|
13
|
|
|
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 other-than-temporary impairment
|
|
|
|
13
|
|
|
|
|
|
11
|
|
|
|
|
|
24
|
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||
|
(in millions)
|
||||||
Due within one year
|
$
|
169
|
|
|
$
|
171
|
|
Due after one year through five years
|
2,206
|
|
|
2,292
|
|
||
Due after five years through 10 years
|
2,248
|
|
|
2,381
|
|
||
Due after 10 years
|
3,594
|
|
|
3,803
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,170
|
|
|
1,171
|
|
||
CMBS
|
691
|
|
|
712
|
|
||
Total
|
$
|
10,078
|
|
|
$
|
10,530
|
|
|
As of June 30,
|
|
As of December 31,
|
||||
|
2014
|
|
2013
|
||||
|
(in millions)
|
||||||
Assets purchased for loss mitigation purposes:
|
|
|
|
||||
Fixed maturity securities:
|
|
|
|
||||
Obligations of state and political subdivisions
|
$
|
30
|
|
|
$
|
28
|
|
RMBS
|
275
|
|
|
284
|
|
||
Asset-backed securities
|
133
|
|
|
127
|
|
||
Other invested assets
|
24
|
|
|
47
|
|
||
Other risk management assets:
|
|
|
|
||||
Fixed maturity securities
|
369
|
|
|
322
|
|
||
Other
|
83
|
|
|
35
|
|
||
Trading portfolio (other invested assets)
|
19
|
|
|
88
|
|
||
Total
|
$
|
933
|
|
|
$
|
931
|
|
11.
|
Insurance Company Regulatory Requirements
|
•
|
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 MIA and the NYDFS.
|
•
|
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
$276 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
$280 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
$127 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.
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Dividends paid by AGC to AGUS
|
|
$
|
15
|
|
|
$
|
17
|
|
|
$
|
15
|
|
|
$
|
17
|
|
Dividends paid by AGM to AGMH
|
|
45
|
|
|
38
|
|
|
45
|
|
|
38
|
|
||||
Dividends paid by AG Re to AGL
|
|
20
|
|
|
60
|
|
|
82
|
|
|
100
|
|
||||
Repayment of surplus note by AGM to AGMH
|
|
—
|
|
|
—
|
|
|
25
|
|
|
25
|
|
12.
|
Income Taxes
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions
|
|
$
|
72
|
|
|
$
|
124
|
|
|
$
|
110
|
|
|
$
|
76
|
|
Tax-exempt interest
|
|
(14
|
)
|
|
(15
|
)
|
|
(28
|
)
|
|
(29
|
)
|
||||
Change in liability for uncertain tax positions
|
|
—
|
|
|
1
|
|
|
1
|
|
|
(7
|
)
|
||||
Other
|
|
1
|
|
|
0
|
|
|
3
|
|
|
2
|
|
||||
Total provision (benefit) for income taxes
|
|
$
|
59
|
|
|
$
|
110
|
|
|
$
|
86
|
|
|
$
|
42
|
|
Effective tax rate
|
|
27.2
|
%
|
|
33.5
|
%
|
|
30.0
|
%
|
|
36.4
|
%
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
United States
|
|
$
|
209
|
|
|
$
|
353
|
|
|
$
|
322
|
|
|
$
|
219
|
|
Bermuda
|
|
18
|
|
|
(24
|
)
|
|
(19
|
)
|
|
(102
|
)
|
||||
U.K.
|
|
(9
|
)
|
|
0
|
|
|
(16
|
)
|
|
0
|
|
||||
Total
|
|
$
|
218
|
|
|
$
|
329
|
|
|
$
|
287
|
|
|
$
|
117
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
United States
|
|
$
|
293
|
|
|
$
|
425
|
|
|
$
|
488
|
|
|
$
|
298
|
|
Bermuda
|
|
61
|
|
|
40
|
|
|
62
|
|
|
(9
|
)
|
||||
U.K.
|
|
(1
|
)
|
|
0
|
|
|
(2
|
)
|
|
0
|
|
||||
Total
|
|
$
|
353
|
|
|
$
|
465
|
|
|
$
|
548
|
|
|
$
|
289
|
|
13.
|
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.
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Premiums Written:
|
|
|
|
|
|
|
|
|
||||||||
Direct
|
|
$
|
17
|
|
|
$
|
1
|
|
|
$
|
48
|
|
|
$
|
20
|
|
Assumed(1)
|
|
0
|
|
|
21
|
|
|
(1
|
)
|
|
19
|
|
||||
Ceded(2)
|
|
2
|
|
|
1
|
|
|
(22
|
)
|
|
(1
|
)
|
||||
Net
|
|
$
|
19
|
|
|
$
|
23
|
|
|
$
|
25
|
|
|
$
|
38
|
|
Premiums Earned:
|
|
|
|
|
|
|
|
|
||||||||
Direct
|
|
$
|
147
|
|
|
$
|
187
|
|
|
$
|
287
|
|
|
$
|
454
|
|
Assumed
|
|
9
|
|
|
1
|
|
|
20
|
|
|
14
|
|
||||
Ceded
|
|
(20
|
)
|
|
(25
|
)
|
|
(39
|
)
|
|
(57
|
)
|
||||
Net
|
|
$
|
136
|
|
|
$
|
163
|
|
|
$
|
268
|
|
|
$
|
411
|
|
Loss and LAE:
|
|
|
|
|
|
|
|
|
||||||||
Direct
|
|
$
|
70
|
|
|
$
|
20
|
|
|
$
|
104
|
|
|
$
|
(7
|
)
|
Assumed
|
|
9
|
|
|
49
|
|
|
15
|
|
|
35
|
|
||||
Ceded
|
|
(22
|
)
|
|
(7
|
)
|
|
(21
|
)
|
|
(14
|
)
|
||||
Net
|
|
$
|
57
|
|
|
$
|
62
|
|
|
$
|
98
|
|
|
$
|
14
|
|
(1)
|
Negative assumed premiums written were due to changes in expected Debt Service schedules.
|
|
|
Ratings at
|
|
Par Outstanding
|
||||||||||||
|
|
August 5, 2014
|
|
As of June 30, 2014
|
||||||||||||
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
|
|
$
|
7,854
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
|
Aa3 (3)
|
|
AA- (3)
|
|
6,031
|
|
|
—
|
|
|
—
|
|
|||
Radian Asset Assurance Inc.
|
|
Ba1
|
|
B+
|
|
4,600
|
|
|
22
|
|
|
940
|
|
|||
Syncora Guarantee Inc.
|
|
WR
|
|
WR
|
|
4,198
|
|
|
1,784
|
|
|
161
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd.
|
|
A1
|
|
A+ (3)
|
|
2,101
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
801
|
|
|
3
|
|
|
—
|
|
|||
Federal Insurance Company
|
|
Aa2
|
|
AA
|
|
382
|
|
|
—
|
|
|
—
|
|
|||
Swiss Reinsurance Co.
|
|
Aa3
|
|
AA-
|
|
344
|
|
|
—
|
|
|
—
|
|
|||
Security Life of Denver Insurance Company
|
|
A3
|
|
A-
|
|
239
|
|
|
—
|
|
|
—
|
|
|||
Ambac (4)
|
|
WR
|
|
WR
|
|
82
|
|
|
5,665
|
|
|
17,336
|
|
|||
CIFG Assurance North America Inc.
|
|
WR
|
|
WR
|
|
—
|
|
|
114
|
|
|
4,758
|
|
|||
MBIA Inc.
|
|
(4)
|
|
(4)
|
|
—
|
|
|
9,968
|
|
|
7,008
|
|
|||
Financial Guaranty Insurance Co.
|
|
WR
|
|
WR
|
|
—
|
|
|
2,227
|
|
|
1,180
|
|
|||
Other
|
|
Various
|
|
Various
|
|
247
|
|
|
2,164
|
|
|
46
|
|
|||
Total
|
|
|
|
|
|
$
|
26,879
|
|
|
$
|
21,947
|
|
|
$
|
31,459
|
|
(1)
|
Includes $
2,827 million
in ceded par outstanding related to insured credit derivatives.
|
(4)
|
MBIA Inc. includes various subsidiaries which are rated AA- and B by S&P and A3, Ba2 and B2 by Moody’s. Ambac includes policies in their general and segregated account.
|
(5)
|
Represents “Not Rated.”
|
|
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
|
$
|
—
|
|
|
$
|
(9
|
)
|
|
$
|
—
|
|
|
$
|
10
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
—
|
|
|
(18
|
)
|
|
—
|
|
|
31
|
|
||||
Radian Asset Assurance Inc.
|
—
|
|
|
(17
|
)
|
|
—
|
|
|
17
|
|
||||
Syncora Guarantee Inc.
|
—
|
|
|
(39
|
)
|
|
—
|
|
|
2
|
|
||||
Mitsui Sumitomo Insurance Co. Ltd.
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
9
|
|
||||
Federal Insurance Company
|
|
|
|
(17
|
)
|
|
—
|
|
|
—
|
|
||||
Swiss Reinsurance Co.
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
3
|
|
||||
Security Life of Denver Insurance Company
|
—
|
|
|
(9
|
)
|
|
—
|
|
|
—
|
|
||||
Ambac
|
64
|
|
|
—
|
|
|
(89
|
)
|
|
—
|
|
||||
CIFG Assurance North America Inc.
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
—
|
|
||||
MBIA Inc.
|
13
|
|
|
—
|
|
|
(10
|
)
|
|
—
|
|
||||
Financial Guaranty Insurance Co.
|
6
|
|
|
—
|
|
|
(109
|
)
|
|
—
|
|
||||
Other
|
0
|
|
|
(24
|
)
|
|
—
|
|
|
—
|
|
||||
Total
|
$
|
83
|
|
|
$
|
(139
|
)
|
|
$
|
(214
|
)
|
|
$
|
72
|
|
14.
|
Commitments and Contingencies
|
•
|
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,
|
15.
|
Long-Term Debt and Credit Facilities
|
|
As of June 30, 2014
|
|
As of December 31, 2013
|
||||||||||||
|
Principal
|
|
Carrying
Value
|
|
Principal
|
|
Carrying
Value
|
||||||||
|
(in millions)
|
||||||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
7.0% Senior Notes
|
$
|
200
|
|
|
$
|
198
|
|
|
$
|
200
|
|
|
$
|
198
|
|
5.0% Senior Notes
|
500
|
|
|
499
|
|
|
—
|
|
|
—
|
|
||||
Series A Enhanced Junior Subordinated Debentures
|
150
|
|
|
150
|
|
|
150
|
|
|
150
|
|
||||
Total AGUS
|
850
|
|
|
847
|
|
|
350
|
|
|
348
|
|
||||
AGMH:
|
|
|
|
|
|
|
|
|
|
|
|
||||
6
7
/
8
% QUIBS
|
100
|
|
|
68
|
|
|
100
|
|
|
68
|
|
||||
6.25% Notes
|
230
|
|
|
139
|
|
|
230
|
|
|
138
|
|
||||
5.60% Notes
|
100
|
|
|
55
|
|
|
100
|
|
|
55
|
|
||||
Junior Subordinated Debentures
|
300
|
|
|
171
|
|
|
300
|
|
|
169
|
|
||||
Total AGMH
|
730
|
|
|
433
|
|
|
730
|
|
|
430
|
|
||||
AGM:
|
|
|
|
|
|
|
|
|
|
|
|
||||
AGM Notes Payable
|
27
|
|
|
31
|
|
|
34
|
|
|
38
|
|
||||
Total
|
$
|
1,607
|
|
|
$
|
1,311
|
|
|
$
|
1,114
|
|
|
$
|
816
|
|
•
|
a minimum net worth of
75%
of consolidated net worth as of July 1, 2009, plus, beginning June 30, 2015 and on each anniversary of such date, an amount equal to the product of (i)
25%
of the aggregate consolidated net income (or loss) for the period beginning July 2, 2009 and ending on June 30, 2014 and (ii) a fraction, the numerator of which is the commitment amount as of the relevant calculation date and the denominator of which is
$1 billion
.
|
16.
|
Earnings Per Share
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions, except per share amounts)
|
||||||||||||||
Basic earnings per share ("EPS"):
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss) attributable to AGL
|
|
$
|
159
|
|
|
$
|
219
|
|
|
$
|
201
|
|
|
$
|
75
|
|
Less: Distributed and undistributed income (loss) available to nonvested shareholders
|
|
0
|
|
|
0
|
|
|
0
|
|
|
0
|
|
||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
|
$
|
159
|
|
|
$
|
219
|
|
|
$
|
201
|
|
|
$
|
75
|
|
Basic shares
|
|
178.4
|
|
|
187.8
|
|
|
180.3
|
|
|
190.8
|
|
||||
Basic EPS
|
|
$
|
0.89
|
|
|
$
|
1.17
|
|
|
$
|
1.12
|
|
|
$
|
0.39
|
|
|
|
|
|
|
|
|
|
|
||||||||
Diluted EPS:
|
|
|
|
|
|
|
|
|
||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
|
$
|
159
|
|
|
$
|
219
|
|
|
$
|
201
|
|
|
$
|
75
|
|
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries
|
|
0
|
|
|
0
|
|
|
0
|
|
|
0
|
|
||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted
|
|
$
|
159
|
|
|
$
|
219
|
|
|
$
|
201
|
|
|
$
|
75
|
|
|
|
|
|
|
|
|
|
|
||||||||
Basic shares
|
|
178.4
|
|
|
187.8
|
|
|
180.3
|
|
|
190.8
|
|
||||
Effect of dilutive securities:
|
|
|
|
|
|
|
|
|
||||||||
Options and restricted stock awards
|
|
1.1
|
|
|
1.0
|
|
|
1.0
|
|
|
0.9
|
|
||||
Diluted shares
|
|
179.5
|
|
|
188.8
|
|
|
181.3
|
|
|
191.7
|
|
||||
Diluted EPS
|
|
$
|
0.89
|
|
|
$
|
1.16
|
|
|
$
|
1.11
|
|
|
$
|
0.39
|
|
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect
|
|
1.5
|
|
|
2.0
|
|
|
1.5
|
|
|
3.6
|
|
17.
|
Shareholders' Equity
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, March 31, 2014
|
$
|
271
|
|
|
$
|
(13
|
)
|
|
$
|
(2
|
)
|
|
$
|
8
|
|
|
$
|
264
|
|
Other comprehensive income (loss) before reclassified
|
75
|
|
|
(17
|
)
|
|
3
|
|
|
—
|
|
|
61
|
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
||||||||||
Other net realized investment gains (losses)
|
(2
|
)
|
|
12
|
|
|
—
|
|
|
—
|
|
|
10
|
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
0
|
|
|||||
Total before tax
|
(2
|
)
|
|
12
|
|
|
—
|
|
|
0
|
|
|
10
|
|
|||||
Tax (provision) benefit
|
1
|
|
|
(4
|
)
|
|
—
|
|
|
0
|
|
|
(3
|
)
|
|||||
Total amount reclassified from AOCI, net of tax
|
(1
|
)
|
|
8
|
|
|
—
|
|
|
0
|
|
|
7
|
|
|||||
Net current period other comprehensive income
|
74
|
|
|
(9
|
)
|
|
3
|
|
|
0
|
|
|
68
|
|
|||||
Balance, June 30, 2014
|
$
|
345
|
|
|
$
|
(22
|
)
|
|
$
|
1
|
|
|
$
|
8
|
|
|
$
|
332
|
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, March 31, 2013
|
$
|
466
|
|
|
$
|
(17
|
)
|
|
$
|
(11
|
)
|
|
$
|
9
|
|
|
$
|
447
|
|
Other comprehensive income (loss) before reclassified
|
(219
|
)
|
|
(16
|
)
|
|
(1
|
)
|
|
—
|
|
|
(236
|
)
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
||||||||||
Other net realized investment gains (losses)
|
(13
|
)
|
|
11
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|||||
Total before tax
|
(13
|
)
|
|
11
|
|
|
—
|
|
|
(1
|
)
|
|
(3
|
)
|
|||||
Tax (provision) benefit
|
3
|
|
|
(3
|
)
|
|
—
|
|
|
1
|
|
|
1
|
|
|||||
Total amount reclassified from AOCI, net of tax
|
(10
|
)
|
|
8
|
|
|
—
|
|
|
0
|
|
|
(2
|
)
|
|||||
Net current period other comprehensive income
|
(229
|
)
|
|
(8
|
)
|
|
(1
|
)
|
|
0
|
|
|
(238
|
)
|
|||||
Balance, June 30, 2013
|
$
|
237
|
|
|
$
|
(25
|
)
|
|
$
|
(12
|
)
|
|
$
|
9
|
|
|
$
|
209
|
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2013
|
$
|
178
|
|
|
$
|
(24
|
)
|
|
$
|
(3
|
)
|
|
$
|
9
|
|
|
$
|
160
|
|
Other comprehensive income (loss) before reclassified
|
169
|
|
|
(9
|
)
|
|
4
|
|
|
—
|
|
|
164
|
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
||||||||||
Other net realized investment gains (losses)
|
(4
|
)
|
|
17
|
|
|
—
|
|
|
—
|
|
|
13
|
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
0
|
|
|||||
Total before tax
|
(4
|
)
|
|
17
|
|
|
—
|
|
|
0
|
|
|
13
|
|
|||||
Tax (provision) benefit
|
2
|
|
|
(6
|
)
|
|
—
|
|
|
(1
|
)
|
|
(5
|
)
|
|||||
Total amount reclassified from AOCI, net of tax
|
(2
|
)
|
|
11
|
|
|
—
|
|
|
(1
|
)
|
|
8
|
|
|||||
Net current period other comprehensive income
|
167
|
|
|
2
|
|
|
4
|
|
|
(1
|
)
|
|
172
|
|
|||||
Balance, June 30, 2014
|
$
|
345
|
|
|
$
|
(22
|
)
|
|
$
|
1
|
|
|
$
|
8
|
|
|
$
|
332
|
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2012
|
$
|
517
|
|
|
$
|
(5
|
)
|
|
$
|
(6
|
)
|
|
$
|
9
|
|
|
$
|
515
|
|
Other comprehensive income (loss) before reclassified
|
(269
|
)
|
|
(32
|
)
|
|
(6
|
)
|
|
—
|
|
|
(307
|
)
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Other net realized investment gains (losses)
|
(14
|
)
|
|
17
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|||||
Total before tax
|
(14
|
)
|
|
17
|
|
|
—
|
|
|
(1
|
)
|
|
2
|
|
|||||
Tax (provision) benefit
|
3
|
|
|
(5
|
)
|
|
—
|
|
|
1
|
|
|
(1
|
)
|
|||||
Total amount reclassified from AOCI, net of tax
|
(11
|
)
|
|
12
|
|
|
—
|
|
|
0
|
|
|
1
|
|
|||||
Net current period other comprehensive income
|
(280
|
)
|
|
(20
|
)
|
|
(6
|
)
|
|
0
|
|
|
(306
|
)
|
|||||
Balance, June 30, 2013
|
$
|
237
|
|
|
$
|
(25
|
)
|
|
$
|
(12
|
)
|
|
$
|
9
|
|
|
$
|
209
|
|
Period
|
|
Number of Shares Repurchased
|
|
Total Payments(in millions)
|
|
Average Price Paid Per Share
|
|||||
2013 (January 1 - March 31)
|
|
1,914,566
|
|
|
$
|
39
|
|
|
$
|
20.46
|
|
2013 (April 1 - June 30)
|
|
9,574,963
|
|
|
205
|
|
|
21.42
|
|
||
2013 (July 1 - September 30)
|
|
732,092
|
|
|
14
|
|
|
19.47
|
|
||
2013 (October 1 - December 31)
|
|
291,138
|
|
|
6
|
|
|
19.74
|
|
||
Total 2013
|
|
12,512,759
|
|
|
264
|
|
|
21.12
|
|
||
2014 (January 1 - March 31)
|
|
1,350,443
|
|
|
35
|
|
|
25.92
|
|
||
2014 (April 1 - June 30)
|
|
7,051,842
|
|
|
177
|
|
|
25.14
|
|
||
2014 (July 1 through filing date)
|
|
5,693,000
|
|
|
133
|
|
|
23.36
|
|
||
Total 2014
|
|
14,095,285
|
|
|
345
|
|
|
$
|
24.49
|
|
|
|
|
26,608,044
|
|
|
$
|
609
|
|
|
$
|
22.91
|
|
18.
|
Subsidiary Information
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total investment portfolio and cash
|
$
|
46
|
|
|
$
|
550
|
|
|
$
|
35
|
|
|
$
|
11,410
|
|
|
$
|
(300
|
)
|
|
$
|
11,741
|
|
Investment in subsidiaries
|
5,172
|
|
|
4,476
|
|
|
3,858
|
|
|
319
|
|
|
(13,825
|
)
|
|
—
|
|
||||||
Premiums receivable, net of commissions payable
|
—
|
|
|
—
|
|
|
—
|
|
|
981
|
|
|
(132
|
)
|
|
849
|
|
||||||
Ceded unearned premium reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,544
|
|
|
(1,104
|
)
|
|
440
|
|
||||||
Deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
193
|
|
|
(71
|
)
|
|
122
|
|
||||||
Reinsurance recoverable on unpaid losses
|
—
|
|
|
—
|
|
|
—
|
|
|
232
|
|
|
(173
|
)
|
|
59
|
|
||||||
Credit derivative assets
|
—
|
|
|
—
|
|
|
—
|
|
|
497
|
|
|
(417
|
)
|
|
80
|
|
||||||
Deferred tax asset, net
|
—
|
|
|
109
|
|
|
—
|
|
|
550
|
|
|
(88
|
)
|
|
571
|
|
||||||
Intercompany receivable
|
—
|
|
|
—
|
|
|
—
|
|
|
90
|
|
|
(90
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ assets, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
1,284
|
|
|
—
|
|
|
1,284
|
|
||||||
Other
|
29
|
|
|
15
|
|
|
39
|
|
|
670
|
|
|
(209
|
)
|
|
544
|
|
||||||
TOTAL ASSETS
|
$
|
5,247
|
|
|
$
|
5,150
|
|
|
$
|
3,932
|
|
|
$
|
17,770
|
|
|
$
|
(16,409
|
)
|
|
$
|
15,690
|
|
LIABILITIES AND SHAREHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Unearned premium reserves
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,474
|
|
|
$
|
(1,083
|
)
|
|
$
|
4,391
|
|
Loss and LAE reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
954
|
|
|
(179
|
)
|
|
775
|
|
||||||
Long-term debt
|
—
|
|
|
847
|
|
|
433
|
|
|
31
|
|
|
—
|
|
|
1,311
|
|
||||||
Intercompany payable
|
—
|
|
|
90
|
|
|
—
|
|
|
300
|
|
|
(390
|
)
|
|
—
|
|
||||||
Credit derivative liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
2,334
|
|
|
(417
|
)
|
|
1,917
|
|
||||||
Deferred tax liabilities, net
|
—
|
|
|
—
|
|
|
94
|
|
|
—
|
|
|
(94
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ liabilities, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
1,490
|
|
|
—
|
|
|
1,490
|
|
||||||
Other
|
5
|
|
|
10
|
|
|
16
|
|
|
865
|
|
|
(332
|
)
|
|
564
|
|
||||||
TOTAL LIABILITIES
|
5
|
|
|
947
|
|
|
543
|
|
|
11,448
|
|
|
(2,495
|
)
|
|
10,448
|
|
||||||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
5,242
|
|
|
4,203
|
|
|
3,389
|
|
|
6,003
|
|
|
(13,595
|
)
|
|
5,242
|
|
||||||
Noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
319
|
|
|
(319
|
)
|
|
—
|
|
||||||
TOTAL SHAREHOLDERS' EQUITY
|
5,242
|
|
|
4,203
|
|
|
3,389
|
|
|
6,322
|
|
|
(13,914
|
)
|
|
5,242
|
|
||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY
|
$
|
5,247
|
|
|
$
|
5,150
|
|
|
$
|
3,932
|
|
|
$
|
17,770
|
|
|
$
|
(16,409
|
)
|
|
$
|
15,690
|
|
|
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)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
135
|
|
|
$
|
1
|
|
|
$
|
136
|
|
Net investment income
|
0
|
|
|
0
|
|
|
0
|
|
|
98
|
|
|
(2
|
)
|
|
96
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
0
|
|
|
0
|
|
|
(8
|
)
|
|
—
|
|
|
(8
|
)
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
15
|
|
|
0
|
|
|
15
|
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
88
|
|
|
—
|
|
|
88
|
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
103
|
|
|
0
|
|
|
103
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
27
|
|
|
(1
|
)
|
|
26
|
|
||||||
TOTAL REVENUES
|
—
|
|
|
—
|
|
|
—
|
|
|
355
|
|
|
(2
|
)
|
|
353
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
53
|
|
|
4
|
|
|
57
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
5
|
|
|
(2
|
)
|
|
3
|
|
||||||
Interest expense
|
—
|
|
|
7
|
|
|
14
|
|
|
3
|
|
|
(4
|
)
|
|
20
|
|
||||||
Other operating expenses
|
8
|
|
|
1
|
|
|
0
|
|
|
46
|
|
|
—
|
|
|
55
|
|
||||||
TOTAL EXPENSES
|
8
|
|
|
8
|
|
|
14
|
|
|
107
|
|
|
(2
|
)
|
|
135
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(8
|
)
|
|
(8
|
)
|
|
(14
|
)
|
|
248
|
|
|
—
|
|
|
218
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
3
|
|
|
4
|
|
|
(67
|
)
|
|
1
|
|
|
(59
|
)
|
||||||
Equity in net earnings of subsidiaries
|
167
|
|
|
152
|
|
|
120
|
|
|
8
|
|
|
(447
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
$
|
159
|
|
|
$
|
147
|
|
|
$
|
110
|
|
|
$
|
189
|
|
|
$
|
(446
|
)
|
|
$
|
159
|
|
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
16
|
|
|
(16
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
159
|
|
|
$
|
147
|
|
|
$
|
110
|
|
|
$
|
173
|
|
|
$
|
(430
|
)
|
|
$
|
159
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
227
|
|
|
$
|
191
|
|
|
$
|
137
|
|
|
$
|
302
|
|
|
$
|
(630
|
)
|
|
$
|
227
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
161
|
|
|
$
|
2
|
|
|
$
|
163
|
|
Net investment income
|
—
|
|
|
—
|
|
|
—
|
|
|
98
|
|
|
(5
|
)
|
|
93
|
|
||||||
Net realized investment gains (losses)
|
—
|
|
|
—
|
|
|
1
|
|
|
(3
|
)
|
|
4
|
|
|
2
|
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
(86
|
)
|
|
—
|
|
|
(86
|
)
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
160
|
|
|
—
|
|
|
160
|
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
74
|
|
|
—
|
|
|
74
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
132
|
|
|
1
|
|
|
133
|
|
||||||
TOTAL REVENUES
|
—
|
|
|
—
|
|
|
1
|
|
|
462
|
|
|
2
|
|
|
465
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
61
|
|
|
1
|
|
|
62
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
(11
|
)
|
|
12
|
|
|
1
|
|
||||||
Interest expense
|
—
|
|
|
8
|
|
|
14
|
|
|
5
|
|
|
(6
|
)
|
|
21
|
|
||||||
Other operating expenses
|
7
|
|
|
0
|
|
|
0
|
|
|
44
|
|
|
1
|
|
|
52
|
|
||||||
TOTAL EXPENSES
|
7
|
|
|
8
|
|
|
14
|
|
|
99
|
|
|
8
|
|
|
136
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(7
|
)
|
|
(8
|
)
|
|
(13
|
)
|
|
363
|
|
|
(6
|
)
|
|
329
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
2
|
|
|
4
|
|
|
(119
|
)
|
|
3
|
|
|
(110
|
)
|
||||||
Equity in net earnings of subsidiaries
|
226
|
|
|
252
|
|
|
220
|
|
|
—
|
|
|
(698
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
$
|
219
|
|
|
$
|
246
|
|
|
$
|
211
|
|
|
$
|
244
|
|
|
$
|
(701
|
)
|
|
$
|
219
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
(19
|
)
|
|
$
|
92
|
|
|
$
|
122
|
|
|
$
|
(142
|
)
|
|
$
|
(72
|
)
|
|
$
|
(19
|
)
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
266
|
|
|
$
|
2
|
|
|
$
|
268
|
|
Net investment income
|
0
|
|
|
0
|
|
|
0
|
|
|
203
|
|
|
(4
|
)
|
|
199
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
0
|
|
|
0
|
|
|
(4
|
)
|
|
(2
|
)
|
|
(6
|
)
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
34
|
|
|
—
|
|
|
34
|
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
(142
|
)
|
|
—
|
|
|
(142
|
)
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
(108
|
)
|
|
—
|
|
|
(108
|
)
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
196
|
|
|
(1
|
)
|
|
195
|
|
||||||
TOTAL REVENUES
|
—
|
|
|
—
|
|
|
—
|
|
|
553
|
|
|
(5
|
)
|
|
548
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
92
|
|
|
6
|
|
|
98
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
11
|
|
|
(3
|
)
|
|
8
|
|
||||||
Interest expense
|
—
|
|
|
14
|
|
|
27
|
|
|
8
|
|
|
(9
|
)
|
|
40
|
|
||||||
Other operating expenses
|
16
|
|
|
1
|
|
|
0
|
|
|
99
|
|
|
(1
|
)
|
|
115
|
|
||||||
TOTAL EXPENSES
|
16
|
|
|
15
|
|
|
27
|
|
|
210
|
|
|
(7
|
)
|
|
261
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(16
|
)
|
|
(15
|
)
|
|
(27
|
)
|
|
343
|
|
|
2
|
|
|
287
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
5
|
|
|
9
|
|
|
(100
|
)
|
|
—
|
|
|
(86
|
)
|
||||||
Equity in net earnings of subsidiaries
|
217
|
|
|
239
|
|
|
289
|
|
|
16
|
|
|
(761
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
$
|
201
|
|
|
$
|
229
|
|
|
$
|
271
|
|
|
$
|
259
|
|
|
$
|
(759
|
)
|
|
$
|
201
|
|
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
16
|
|
|
(16
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
201
|
|
|
$
|
229
|
|
|
$
|
271
|
|
|
$
|
243
|
|
|
$
|
(743
|
)
|
|
$
|
201
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
373
|
|
|
$
|
356
|
|
|
$
|
349
|
|
|
$
|
560
|
|
|
$
|
(1,265
|
)
|
|
$
|
373
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
407
|
|
|
$
|
4
|
|
|
$
|
411
|
|
Net investment income
|
0
|
|
|
0
|
|
|
0
|
|
|
197
|
|
|
(10
|
)
|
|
187
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
—
|
|
|
1
|
|
|
25
|
|
|
4
|
|
|
30
|
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
(68
|
)
|
|
—
|
|
|
(68
|
)
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
(450
|
)
|
|
—
|
|
|
(450
|
)
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
(518
|
)
|
|
—
|
|
|
(518
|
)
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
179
|
|
|
—
|
|
|
179
|
|
||||||
TOTAL REVENUES
|
0
|
|
|
0
|
|
|
1
|
|
|
290
|
|
|
(2
|
)
|
|
289
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
17
|
|
|
(3
|
)
|
|
14
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
7
|
|
|
4
|
|
||||||
Interest expense
|
—
|
|
|
15
|
|
|
27
|
|
|
11
|
|
|
(11
|
)
|
|
42
|
|
||||||
Other operating expenses
|
12
|
|
|
0
|
|
|
0
|
|
|
102
|
|
|
(2
|
)
|
|
112
|
|
||||||
TOTAL EXPENSES
|
12
|
|
|
15
|
|
|
27
|
|
|
127
|
|
|
(9
|
)
|
|
172
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(12
|
)
|
|
(15
|
)
|
|
(26
|
)
|
|
163
|
|
|
7
|
|
|
117
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
5
|
|
|
9
|
|
|
(54
|
)
|
|
(2
|
)
|
|
(42
|
)
|
||||||
Equity in net earnings of subsidiaries
|
87
|
|
|
170
|
|
|
382
|
|
|
—
|
|
|
(639
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
$
|
75
|
|
|
$
|
160
|
|
|
$
|
365
|
|
|
$
|
109
|
|
|
$
|
(634
|
)
|
|
$
|
75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
(231
|
)
|
|
$
|
(45
|
)
|
|
$
|
239
|
|
|
$
|
(395
|
)
|
|
$
|
201
|
|
|
$
|
(231
|
)
|
|
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
|
$
|
264
|
|
|
$
|
68
|
|
|
$
|
32
|
|
|
$
|
275
|
|
|
$
|
(417
|
)
|
|
$
|
222
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
(356
|
)
|
|
(6
|
)
|
|
(995
|
)
|
|
—
|
|
|
(1,357
|
)
|
||||||
Sales
|
—
|
|
|
126
|
|
|
7
|
|
|
311
|
|
|
—
|
|
|
444
|
|
||||||
Maturities
|
—
|
|
|
3
|
|
|
1
|
|
|
393
|
|
|
—
|
|
|
397
|
|
||||||
Sales (purchases) of short-term investments, net
|
(13
|
)
|
|
(199
|
)
|
|
6
|
|
|
155
|
|
|
—
|
|
|
(51
|
)
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
315
|
|
|
—
|
|
|
315
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
25
|
|
|
—
|
|
|
(25
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
23
|
|
|
—
|
|
|
23
|
|
||||||
Net cash flows provided by (used in) investing activities
|
(13
|
)
|
|
(426
|
)
|
|
33
|
|
|
202
|
|
|
(25
|
)
|
|
(229
|
)
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(25
|
)
|
|
25
|
|
|
—
|
|
||||||
Dividends paid
|
(40
|
)
|
|
(200
|
)
|
|
(65
|
)
|
|
(152
|
)
|
|
417
|
|
|
(40
|
)
|
||||||
Repurchases of common stock
|
(212
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(212
|
)
|
||||||
Share activity under option and incentive plans
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(311
|
)
|
|
—
|
|
|
(311
|
)
|
||||||
Proceeds from issuance of long-term debt
|
—
|
|
|
496
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
496
|
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(7
|
)
|
|
—
|
|
|
(7
|
)
|
||||||
Net cash flows provided by (used in) financing activities
|
(251
|
)
|
|
296
|
|
|
(65
|
)
|
|
(495
|
)
|
|
442
|
|
|
(73
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
2
|
|
||||||
Increase (decrease) in cash
|
—
|
|
|
(62
|
)
|
|
—
|
|
|
(16
|
)
|
|
—
|
|
|
(78
|
)
|
||||||
Cash at beginning of period
|
0
|
|
|
67
|
|
|
0
|
|
|
117
|
|
|
—
|
|
|
184
|
|
||||||
Cash at end of period
|
$
|
0
|
|
|
$
|
5
|
|
|
$
|
0
|
|
|
$
|
101
|
|
|
$
|
—
|
|
|
$
|
106
|
|
|
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
|
$
|
86
|
|
|
$
|
43
|
|
|
$
|
14
|
|
|
$
|
172
|
|
|
$
|
(193
|
)
|
|
$
|
122
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
—
|
|
|
(23
|
)
|
|
(1,029
|
)
|
|
65
|
|
|
(987
|
)
|
||||||
Sales
|
171
|
|
|
1
|
|
|
19
|
|
|
506
|
|
|
(65
|
)
|
|
632
|
|
||||||
Maturities
|
21
|
|
|
—
|
|
|
2
|
|
|
423
|
|
|
—
|
|
|
446
|
|
||||||
Sales (purchases) of short-term investments, net
|
5
|
|
|
(56
|
)
|
|
1
|
|
|
(76
|
)
|
|
—
|
|
|
(126
|
)
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
440
|
|
|
—
|
|
|
440
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
25
|
|
|
—
|
|
|
(25
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
67
|
|
|
—
|
|
|
67
|
|
||||||
Net cash flows provided by (used in) investing activities
|
197
|
|
|
(55
|
)
|
|
24
|
|
|
331
|
|
|
(25
|
)
|
|
472
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(25
|
)
|
|
25
|
|
|
—
|
|
||||||
Dividends paid
|
(38
|
)
|
|
—
|
|
|
(38
|
)
|
|
(155
|
)
|
|
193
|
|
|
(38
|
)
|
||||||
Repurchases of common stock
|
(244
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(244
|
)
|
||||||
Share activity under option and incentive plans
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(289
|
)
|
|
—
|
|
|
(289
|
)
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(13
|
)
|
|
—
|
|
|
(13
|
)
|
||||||
Net cash flows provided by (used in) financing activities
|
(283
|
)
|
|
—
|
|
|
(38
|
)
|
|
(482
|
)
|
|
218
|
|
|
(585
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|
(4
|
)
|
||||||
Increase (decrease) in cash
|
—
|
|
|
(12
|
)
|
|
—
|
|
|
17
|
|
|
—
|
|
|
5
|
|
||||||
Cash at beginning of period
|
—
|
|
|
13
|
|
|
0
|
|
|
125
|
|
|
—
|
|
|
138
|
|
||||||
Cash at end of period
|
$
|
—
|
|
|
$
|
1
|
|
|
$
|
0
|
|
|
$
|
142
|
|
|
$
|
—
|
|
|
$
|
143
|
|
ITEM 2.
|
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
•
|
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 AGL or any of its subsidiaries and/or of transactions that AGL'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, interest rates 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 AGL's filings with the U.S. Securities and Exchange Commission (the “SEC”).
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions, except per share amounts)
|
||||||||||||||
Selected income statement data
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss)
|
|
$
|
159
|
|
|
$
|
219
|
|
|
$
|
201
|
|
|
$
|
75
|
|
Diluted earnings (loss) per share
|
|
0.89
|
|
|
1.16
|
|
|
1.11
|
|
|
0.39
|
|
||||
Weighted average shares (diluted)
|
|
179.5
|
|
|
188.8
|
|
|
181.3
|
|
|
191.7
|
|
||||
Selected non-GAAP measures(1)
|
|
|
|
|
|
|
|
|
||||||||
Operating income
|
|
101
|
|
|
98
|
|
|
233
|
|
|
358
|
|
||||
Operating income per share
|
|
0.56
|
|
|
0.52
|
|
|
1.28
|
|
|
1.87
|
|
||||
Present value of new business production (“PVP”)
|
|
27
|
|
|
16
|
|
|
58
|
|
|
34
|
|
(1)
|
Please refer to “—Non-GAAP Financial Measures” for a definition of the financial measures that were not promulgated in accordance with accounting principles generally accepted in the United States of America ("GAAP") and a reconciliation of the non-GAAP financial measure and the most directly comparable GAAP financial measure, if available.
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
PVP (1):
|
|
|
|
|
|
|
|
|
||||||||
Public Finance—U.S.
|
|
$
|
16
|
|
|
$
|
15
|
|
|
$
|
39
|
|
|
$
|
31
|
|
Public Finance—non-U.S.
|
|
—
|
|
|
—
|
|
|
7
|
|
|
—
|
|
||||
Structured Finance—U.S.
|
|
6
|
|
|
1
|
|
|
7
|
|
|
3
|
|
||||
Structured Finance—non-U.S.
|
|
5
|
|
|
—
|
|
|
5
|
|
|
—
|
|
||||
Total PVP
|
|
$
|
27
|
|
|
$
|
16
|
|
|
$
|
58
|
|
|
$
|
34
|
|
Gross Par Written:
|
|
|
|
|
|
|
|
|
||||||||
Public Finance—U.S.
|
|
$
|
2,453
|
|
|
$
|
2,276
|
|
|
$
|
4,190
|
|
|
$
|
3,856
|
|
Public Finance—non-U.S.
|
|
—
|
|
|
—
|
|
|
128
|
|
|
—
|
|
||||
Structured Finance—U.S.
|
|
5
|
|
|
—
|
|
|
9
|
|
|
14
|
|
||||
Structured Finance—non-U.S.
|
|
200
|
|
|
—
|
|
|
200
|
|
|
—
|
|
||||
Total gross par written
|
|
$
|
2,658
|
|
|
$
|
2,276
|
|
|
$
|
4,527
|
|
|
$
|
3,870
|
|
(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. PVP and Gross Par Written in the table above are based on close date. See “—Non-GAAP Measures—PVP or Present Value of New Business Production.”
|
|
Six Months 2014
|
|
Six Months 2013
|
|
Year Ended December 31, 2013
|
|||||||||||||||
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|||||||||
|
(dollars in billions, except number of issues)
|
|||||||||||||||||||
New municipal bonds issued
|
$
|
143.2
|
|
|
4,914
|
|
|
$
|
170.1
|
|
|
6,139
|
|
|
$
|
311.9
|
|
|
10,558
|
|
Total insured
|
7.3
|
|
|
629
|
|
|
5.6
|
|
|
561
|
|
|
12.1
|
|
|
1,025
|
|
|||
Insured by AGC, AGM and MAC
|
3.9
|
|
|
298
|
|
|
3.4
|
|
|
270
|
|
|
7.5
|
|
|
488
|
|
|
Six Months
|
|
Year Ended December 31,
|
||
|
2014
|
|
2013
|
|
2013
|
Market penetration par
|
5.1%
|
|
3.3%
|
|
3.9%
|
Market penetration based on number of issues
|
12.8
|
|
9.1
|
|
9.7
|
% of single A par sold
|
18.2
|
|
11.0
|
|
11.0
|
% of single A transactions sold
|
46.4
|
|
29.6
|
|
30.6
|
% of under $25 million par sold
|
15.8
|
|
10.3
|
|
10.9
|
% of under $25 million transactions sold
|
14.3
|
|
10.3
|
|
10.7
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
||||||||
Net earned premiums
|
|
$
|
136
|
|
|
$
|
163
|
|
|
$
|
268
|
|
|
$
|
411
|
|
Net investment income
|
|
96
|
|
|
93
|
|
|
199
|
|
|
187
|
|
||||
Net realized investment gains (losses)
|
|
(8
|
)
|
|
2
|
|
|
(6
|
)
|
|
30
|
|
||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
||||||
Realized gains (losses) and other settlements
|
|
15
|
|
|
(86
|
)
|
|
34
|
|
|
(68
|
)
|
||||
Net unrealized gains (losses)
|
|
88
|
|
|
160
|
|
|
(142
|
)
|
|
(450
|
)
|
||||
Net change in fair value of credit derivatives
|
|
103
|
|
|
74
|
|
|
(108
|
)
|
|
(518
|
)
|
||||
Fair value gains (losses) on committed capital securities ("CCS")
|
|
(6
|
)
|
|
(3
|
)
|
|
(15
|
)
|
|
(13
|
)
|
||||
Fair value gains (losses) on FG VIEs
|
|
25
|
|
|
143
|
|
|
182
|
|
|
213
|
|
||||
Other income (loss)
|
|
7
|
|
|
(7
|
)
|
|
28
|
|
|
(21
|
)
|
||||
Total revenues
|
|
353
|
|
|
465
|
|
|
548
|
|
|
289
|
|
||||
Expenses:
|
|
|
|
|
|
|
|
|
||||||||
Loss and loss adjustment expenses
|
|
57
|
|
|
62
|
|
|
98
|
|
|
14
|
|
||||
Amortization of deferred acquisition costs
|
|
3
|
|
|
1
|
|
|
8
|
|
|
4
|
|
||||
Interest expense
|
|
20
|
|
|
21
|
|
|
40
|
|
|
42
|
|
||||
Other operating expenses
|
|
55
|
|
|
52
|
|
|
115
|
|
|
112
|
|
||||
Total expenses
|
|
135
|
|
|
136
|
|
|
261
|
|
|
172
|
|
||||
Income (loss) before provision for income taxes
|
|
218
|
|
|
329
|
|
|
287
|
|
|
117
|
|
||||
Provision (benefit) for income taxes
|
|
59
|
|
|
110
|
|
|
86
|
|
|
42
|
|
||||
Net income (loss)
|
|
$
|
159
|
|
|
$
|
219
|
|
|
$
|
201
|
|
|
$
|
75
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Financial guaranty:
|
|
|
|
|
|
|
|
|
||||||||
Public finance
|
|
|
|
|
|
|
|
|
||||||||
Scheduled net earned premiums and accretion
|
|
$
|
72
|
|
|
$
|
70
|
|
|
$
|
144
|
|
|
$
|
147
|
|
Accelerations(1)
|
|
24
|
|
|
46
|
|
|
43
|
|
|
112
|
|
||||
Total public finance
|
|
96
|
|
|
116
|
|
|
187
|
|
|
259
|
|
||||
Structured finance(2)
|
|
|
|
|
|
|
|
|
||||||||
Scheduled net earned premiums and accretion
|
|
39
|
|
|
46
|
|
|
80
|
|
|
104
|
|
||||
Accelerations(1)
|
|
0
|
|
|
—
|
|
|
0
|
|
|
47
|
|
||||
Total structured finance
|
|
39
|
|
|
46
|
|
|
80
|
|
|
151
|
|
||||
Other
|
|
1
|
|
|
1
|
|
|
1
|
|
|
1
|
|
||||
Total net earned premiums
|
|
$
|
136
|
|
|
$
|
163
|
|
|
$
|
268
|
|
|
$
|
411
|
|
(1)
|
Reflects the unscheduled refunding of an insured obligation or the termination of the insurance on an insured obligation.
|
(2)
|
Excludes
$5 million
and
$15 million
for Second Quarter 2014 and 2013, respectively, and
$22 million
and
$33 million
for Six Months 2014 and 2013, respectively,related to consolidated FG VIEs.
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Income from fixed-maturity securities managed by third parties
|
|
$
|
81
|
|
|
$
|
80
|
|
|
$
|
161
|
|
|
$
|
159
|
|
Income from internally managed securities:
|
|
|
|
|
|
|
|
|
||||||||
Fixed maturities
|
|
17
|
|
|
14
|
|
|
37
|
|
|
30
|
|
||||
Other invested assets
|
|
—
|
|
|
1
|
|
|
5
|
|
|
2
|
|
||||
Gross investment income
|
|
98
|
|
|
95
|
|
|
203
|
|
|
191
|
|
||||
Investment expenses
|
|
(2
|
)
|
|
(2
|
)
|
|
(4
|
)
|
|
(4
|
)
|
||||
Net investment income
|
|
$
|
96
|
|
|
$
|
93
|
|
|
$
|
199
|
|
|
$
|
187
|
|
(1)
|
Net investment income excludes $3 million and $4 million for
Second Quarter
2014 and 2013, respectively, and $6 million and $7 million for
Six Months
2014 and 2013, respectively,related to consolidated FG VIEs.
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Gross realized gains on investment portfolio (1)
|
|
$
|
5
|
|
|
$
|
15
|
|
|
$
|
14
|
|
|
$
|
54
|
|
Gross realized losses on investment portfolio
|
|
(1
|
)
|
|
(6
|
)
|
|
(3
|
)
|
|
(12
|
)
|
||||
Other-than-temporary impairment (2)
|
|
(12
|
)
|
|
(7
|
)
|
|
(17
|
)
|
|
(12
|
)
|
||||
Net realized investment gains (losses)
|
|
$
|
(8
|
)
|
|
$
|
2
|
|
|
$
|
(6
|
)
|
|
$
|
30
|
|
(1)
|
Excludes realized gains related to consolidated FG VIEs of $5 million for
Second Quarter
and
Six Months
2014. There were no realized gains related to FG VIEs in
Second Quarter
and
Six Months
2013.
|
(2)
|
Excludes other-than-temporary impairment related to consolidated FG VIEs of
$1 million
for
Second Quarter
2013 and
$2 million
for
Six Months
2013. The amount of other-than-temporary impairment related to consolidated FG VIEs is de minimis for
Six Months
2014 and there were none for
Second Quarter
2014.
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Foreign exchange gain (loss) on remeasurement of premium receivable and loss reserves
|
|
$
|
5
|
|
|
$
|
(3
|
)
|
|
$
|
6
|
|
|
$
|
(19
|
)
|
Commutation gains
|
|
0
|
|
|
—
|
|
|
19
|
|
|
—
|
|
||||
Other
|
|
2
|
|
|
(4
|
)
|
|
3
|
|
|
(2
|
)
|
||||
Total other income (loss)
|
|
$
|
7
|
|
|
$
|
(7
|
)
|
|
$
|
28
|
|
|
$
|
(21
|
)
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
|
$
|
(40
|
)
|
|
$
|
70
|
|
|
$
|
(2
|
)
|
|
$
|
127
|
|
Net benefit for recoveries for breaches of R&W
|
|
(19
|
)
|
|
(51
|
)
|
|
(67
|
)
|
|
(208
|
)
|
||||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
|
(59
|
)
|
|
19
|
|
|
(69
|
)
|
|
(81
|
)
|
||||
Other structured finance
|
|
5
|
|
|
(23
|
)
|
|
5
|
|
|
(28
|
)
|
||||
Public finance
|
|
77
|
|
|
91
|
|
|
100
|
|
|
108
|
|
||||
Other
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(10
|
)
|
||||
Total
|
|
$
|
23
|
|
|
$
|
87
|
|
|
$
|
35
|
|
|
$
|
(11
|
)
|
(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.
|
|
As of
June 30, 2014 |
|
As of
December 31, 2013 |
||||
|
(in millions)
|
||||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
$
|
1,127
|
|
|
$
|
1,205
|
|
Net benefit for recoveries for breaches of R&W
|
(651
|
)
|
|
(712
|
)
|
||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
476
|
|
|
493
|
|
||
Other structured finance
|
172
|
|
|
171
|
|
||
Public finance
|
391
|
|
|
321
|
|
||
Other
|
(4
|
)
|
|
(3
|
)
|
||
Total
|
$
|
1,035
|
|
|
$
|
982
|
|
|
(in millions)
|
||
Agreement amounts already received
|
$
|
2,811
|
|
Agreement amounts projected to be received in the future
|
388
|
|
|
Repurchase amounts paid into the relevant RMBS prior to settlement (1)
|
579
|
|
|
Total R&W payments, gross of reinsurance
|
$
|
3,778
|
|
(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.
|
|
Second Quarter 2014
|
||
|
(in millions)
|
||
Inclusion or removal of deals with breaches of R&W during period
|
$
|
—
|
|
Change in recovery assumptions as the result of recovery success
|
17
|
|
|
Estimated increase (decrease) in defaults that will result in additional (lower) breaches
|
(11
|
)
|
|
Settlements and anticipated settlements
|
10
|
|
|
Accretion of discount on balance
|
3
|
|
|
Total
|
$
|
19
|
|
•
|
in its base scenario, it reduced by two months the period it assumed it would take the mortgage market to recover; and
|
•
|
in its optimistic scenario, it decreased by three months the period it assumed it would take the mortgage market to recover.
|
|
Second Quarter 2013
|
||
|
(in millions)
|
||
Inclusion or removal of deals with breaches of R&W during period
|
$
|
6
|
|
Change in recovery assumptions as the result of recovery success
|
6
|
|
|
Estimated increase (decrease) in defaults that will result in additional (lower) breaches
|
(4
|
)
|
|
Results of settlements and judgments
|
38
|
|
|
Accretion of discount on balance
|
5
|
|
|
Total
|
$
|
51
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
U.S. RMBS
|
|
$
|
(21
|
)
|
|
$
|
16
|
|
|
$
|
(22
|
)
|
|
$
|
(24
|
)
|
Other structured finance
|
|
4
|
|
|
(10
|
)
|
|
19
|
|
|
(22
|
)
|
||||
Public finance
|
|
82
|
|
|
78
|
|
|
109
|
|
|
75
|
|
||||
Other
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
||||
Total insurance contracts before FG VIE consolidation
|
|
65
|
|
|
84
|
|
|
105
|
|
|
29
|
|
||||
Effect of consolidating FG VIEs
|
|
(8
|
)
|
|
(22
|
)
|
|
(7
|
)
|
|
(15
|
)
|
||||
Total loss and LAE
|
|
$
|
57
|
|
|
$
|
62
|
|
|
$
|
98
|
|
|
$
|
14
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
U.S. RMBS
|
|
$
|
(39
|
)
|
|
$
|
37
|
|
|
$
|
(34
|
)
|
|
$
|
21
|
|
Other structured finance
|
|
4
|
|
|
(20
|
)
|
|
6
|
|
|
(36
|
)
|
||||
Public finance
|
|
81
|
|
|
79
|
|
|
107
|
|
|
76
|
|
||||
Other
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(10
|
)
|
||||
Total
|
|
$
|
46
|
|
|
$
|
96
|
|
|
$
|
78
|
|
|
$
|
51
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Loss and LAE
|
|
$
|
57
|
|
|
$
|
62
|
|
|
$
|
98
|
|
|
$
|
14
|
|
Credit derivative loss expense
|
|
(18
|
)
|
|
12
|
|
|
(26
|
)
|
|
22
|
|
||||
FG VIE loss expense
|
|
7
|
|
|
22
|
|
|
6
|
|
|
15
|
|
||||
Loss expense included in operating income
|
|
$
|
46
|
|
|
$
|
96
|
|
|
$
|
78
|
|
|
$
|
51
|
|
|
In GAAP
Reported
Income
|
|
In Non-GAAP
Operating
Income
|
||||
|
(in millions)
|
||||||
2014 (July 1 - September 30)
|
$
|
10
|
|
|
$
|
12
|
|
2014 (October 1 - December 31)
|
10
|
|
|
12
|
|
||
2015
|
39
|
|
|
48
|
|
||
2016
|
36
|
|
|
43
|
|
||
2017
|
30
|
|
|
37
|
|
||
2018
|
27
|
|
|
32
|
|
||
2019-2023
|
96
|
|
|
118
|
|
||
2024-2028
|
57
|
|
|
68
|
|
||
2029-2033
|
37
|
|
|
46
|
|
||
After 2033
|
28
|
|
|
36
|
|
||
Net expected loss to be expensed (1)
|
370
|
|
|
452
|
|
||
Discount
|
435
|
|
|
478
|
|
||
Total future value
|
$
|
805
|
|
|
$
|
930
|
|
(1)
|
Net expected loss to be expensed for GAAP reported income is different than operating income, a non-GAAP financial measure, by the amount related to consolidated FG VIEs.
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Realized gains on credit derivatives
|
|
$
|
21
|
|
|
$
|
41
|
|
|
$
|
41
|
|
|
$
|
69
|
|
Net credit derivative losses (paid and payable) recovered and recoverable
|
|
(6
|
)
|
|
(127
|
)
|
|
(7
|
)
|
|
(137
|
)
|
||||
Realized gains (losses) and other settlements on credit derivatives
|
|
15
|
|
|
(86
|
)
|
|
34
|
|
|
(68
|
)
|
||||
Net change in unrealized gains (losses) on credit derivatives
|
|
88
|
|
|
160
|
|
|
(142
|
)
|
|
(450
|
)
|
||||
Net change in fair value of credit derivatives
|
|
$
|
103
|
|
|
$
|
74
|
|
|
$
|
(108
|
)
|
|
$
|
(518
|
)
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Net par of terminated CDS contracts
|
|
$
|
200
|
|
|
$
|
1,992
|
|
|
$
|
1,300
|
|
|
$
|
3,041
|
|
Accelerations of credit derivative revenues
|
|
0.5
|
|
|
14
|
|
|
0.7
|
|
|
15
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
Asset Type
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
|
|
|
|
(in millions)
|
||||||||||
Pooled corporate obligations
|
|
$
|
64
|
|
|
$
|
(34
|
)
|
|
$
|
6
|
|
|
$
|
(139
|
)
|
U.S. RMBS
|
|
5
|
|
|
14
|
|
|
(135
|
)
|
|
(443
|
)
|
||||
Commercial mortgage-backed securities ("CMBS")
|
|
2
|
|
|
(1
|
)
|
|
2
|
|
|
(4
|
)
|
||||
Other(1)
|
|
17
|
|
|
181
|
|
|
(15
|
)
|
|
136
|
|
||||
Total
|
|
$
|
88
|
|
|
$
|
160
|
|
|
$
|
(142
|
)
|
|
$
|
(450
|
)
|
(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
June 30, 2014 |
|
As of
March 31, 2014 |
|
As of
December 31, 2013 |
|
As of
June 30, 2013 |
|
As of
March 31, 2013 |
|
As of
December 31, 2012 |
||||||
AGC
|
327
|
|
|
291
|
|
|
460
|
|
|
343
|
|
|
397
|
|
|
678
|
|
AGM
|
346
|
|
|
305
|
|
|
525
|
|
|
365
|
|
|
380
|
|
|
536
|
|
|
As of
June 30, 2014 |
|
As of
March 31, 2014 |
|
As of
December 31, 2013 |
|
As of
June 30, 2013 |
|
As of
March 31, 2013 |
|
As of
December 31, 2012 |
||||||
AGC
|
85
|
|
|
55
|
|
|
185
|
|
|
57
|
|
|
59
|
|
|
270
|
|
AGM
|
115
|
|
|
70
|
|
|
220
|
|
|
72
|
|
|
60
|
|
|
257
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Change in unrealized gains (losses) of credit derivatives:
|
|
|
|
|
|
|
|
|
||||||||
Before considering implication of the Company’s credit spreads
|
|
$
|
15
|
|
|
$
|
350
|
|
|
$
|
422
|
|
|
$
|
854
|
|
Resulting from change in the Company’s credit spreads
|
|
73
|
|
|
(190
|
)
|
|
(564
|
)
|
|
(1,304
|
)
|
||||
After considering implication of the Company’s credit spreads
|
|
$
|
88
|
|
|
$
|
160
|
|
|
$
|
(142
|
)
|
|
$
|
(450
|
)
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Total provision (benefit) for income taxes
|
|
$
|
59
|
|
|
$
|
110
|
|
|
$
|
86
|
|
|
$
|
42
|
|
Effective tax rate
|
|
27.2
|
%
|
|
33.5
|
%
|
|
30.0
|
%
|
|
36.4
|
%
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Net earned premiums
|
|
$
|
(5
|
)
|
|
$
|
(15
|
)
|
|
$
|
(22
|
)
|
|
$
|
(33
|
)
|
Net investment income
|
|
(3
|
)
|
|
(4
|
)
|
|
(6
|
)
|
|
(7
|
)
|
||||
Net realized investment gains (losses)
|
|
(5
|
)
|
|
1
|
|
|
(5
|
)
|
|
2
|
|
||||
Fair value gains (losses) on FG VIEs
|
|
25
|
|
|
143
|
|
|
182
|
|
|
213
|
|
||||
Other income
|
|
0
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
||||
Loss and LAE
|
|
8
|
|
|
22
|
|
|
7
|
|
|
15
|
|
||||
Effect on net income before tax provision
|
|
20
|
|
|
147
|
|
|
154
|
|
|
190
|
|
||||
Less: tax provision (benefit)
|
|
7
|
|
|
51
|
|
|
54
|
|
|
66
|
|
||||
Effect on net income (loss)
|
|
$
|
13
|
|
|
$
|
96
|
|
|
$
|
100
|
|
|
$
|
124
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Net income (loss)
|
|
$
|
159
|
|
|
$
|
219
|
|
|
$
|
201
|
|
|
$
|
75
|
|
Less after-tax adjustments:
|
|
|
|
|
|
|
|
|
||||||||
Realized gains (losses) on investments
|
|
(2
|
)
|
|
2
|
|
|
(3
|
)
|
|
21
|
|
||||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
|
47
|
|
|
28
|
|
|
(124
|
)
|
|
(406
|
)
|
||||
Fair value gains (losses) on CCS
|
|
(5
|
)
|
|
(2
|
)
|
|
(10
|
)
|
|
(8
|
)
|
||||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves
|
|
5
|
|
|
(3
|
)
|
|
5
|
|
|
(14
|
)
|
||||
Effect of consolidating FG VIEs
|
|
13
|
|
|
96
|
|
|
100
|
|
|
124
|
|
||||
Operating income
|
|
$
|
101
|
|
|
$
|
98
|
|
|
$
|
233
|
|
|
$
|
358
|
|
|
|
|
|
|
|
|
|
|
||||||||
Effective tax rate on operating income
|
|
25.6
|
%
|
|
29.4
|
%
|
|
26.2
|
%
|
|
25.8
|
%
|
|
As of June 30, 2014
|
|
As of December 31, 2013
|
||||||||||||
|
Total
|
|
Per Share
|
|
Total
|
|
Per Share
|
||||||||
|
(dollars in millions, except per share amounts)
|
||||||||||||||
Shareholders’ equity
|
$
|
5,242
|
|
|
$
|
30.10
|
|
|
$
|
5,115
|
|
|
$
|
28.07
|
|
Less after-tax adjustments:
|
|
|
|
|
|
|
|
||||||||
Effect of consolidating FG VIEs
|
(82
|
)
|
|
(0.47
|
)
|
|
(172
|
)
|
|
(0.95
|
)
|
||||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
(1,172
|
)
|
|
(6.73
|
)
|
|
(1,052
|
)
|
|
(5.77
|
)
|
||||
Fair value gains (losses) on CCS
|
20
|
|
|
0.12
|
|
|
30
|
|
|
0.16
|
|
||||
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect
|
327
|
|
|
1.87
|
|
|
145
|
|
|
0.80
|
|
||||
Operating shareholders’ equity
|
6,149
|
|
|
35.31
|
|
|
6,164
|
|
|
33.83
|
|
||||
After-tax adjustments:
|
|
|
|
|
|
|
|
|
|
|
|||||
Less: Deferred acquisition costs
|
158
|
|
|
0.91
|
|
|
161
|
|
|
0.88
|
|
||||
Plus: Net present value of estimated net future credit derivative revenue
|
129
|
|
|
0.74
|
|
|
146
|
|
|
0.80
|
|
||||
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed
|
2,730
|
|
|
15.68
|
|
|
2,884
|
|
|
15.83
|
|
||||
Adjusted book value
|
$
|
8,850
|
|
|
$
|
50.82
|
|
|
$
|
9,033
|
|
|
$
|
49.58
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
( in millions)
|
||||||||||||||
Total PVP
|
|
$
|
27
|
|
|
$
|
16
|
|
|
$
|
58
|
|
|
$
|
34
|
|
Less: Financial guaranty installment premium PVP
|
|
11
|
|
|
—
|
|
|
21
|
|
|
1
|
|
||||
Total: Financial guaranty upfront gross written premiums
|
|
16
|
|
|
16
|
|
|
37
|
|
|
33
|
|
||||
Plus: Financial guaranty installment gross written premiums and other GAAP adjustments
|
|
1
|
|
|
6
|
|
|
10
|
|
|
6
|
|
||||
Total gross written premiums
|
|
$
|
17
|
|
|
$
|
22
|
|
|
$
|
47
|
|
|
$
|
39
|
|
|
|
As of June 30, 2014
|
|
As of December 31, 2013
|
||||||||||||||||||||||||
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
|
||||||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||||||||
Public finance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
General obligation
|
|
$
|
149,039
|
|
|
$
|
—
|
|
|
$
|
149,039
|
|
|
A
|
|
$
|
155,277
|
|
|
$
|
—
|
|
|
$
|
155,277
|
|
|
A+
|
Tax backed
|
|
64,088
|
|
|
29
|
|
|
64,059
|
|
|
A
|
|
66,856
|
|
|
32
|
|
|
66,824
|
|
|
A+
|
||||||
Municipal utilities
|
|
54,595
|
|
|
—
|
|
|
54,595
|
|
|
A
|
|
56,324
|
|
|
—
|
|
|
56,324
|
|
|
A
|
||||||
Transportation
|
|
29,896
|
|
|
—
|
|
|
29,896
|
|
|
A
|
|
30,830
|
|
|
—
|
|
|
30,830
|
|
|
A
|
||||||
Healthcare
|
|
15,623
|
|
|
—
|
|
|
15,623
|
|
|
A
|
|
16,132
|
|
|
—
|
|
|
16,132
|
|
|
A
|
||||||
Higher education
|
|
13,554
|
|
|
—
|
|
|
13,554
|
|
|
A
|
|
14,071
|
|
|
—
|
|
|
14,071
|
|
|
A
|
||||||
Infrastructure finance
|
|
4,109
|
|
|
—
|
|
|
4,109
|
|
|
BBB
|
|
4,114
|
|
|
—
|
|
|
4,114
|
|
|
BBB
|
||||||
Housing
|
|
3,229
|
|
|
—
|
|
|
3,229
|
|
|
A+
|
|
3,386
|
|
|
—
|
|
|
3,386
|
|
|
A+
|
||||||
Investor-owned utilities
|
|
980
|
|
|
—
|
|
|
980
|
|
|
A-
|
|
991
|
|
|
—
|
|
|
991
|
|
|
A-
|
||||||
Other public finance—U.S.
|
|
3,872
|
|
|
—
|
|
|
3,872
|
|
|
A
|
|
4,232
|
|
|
—
|
|
|
4,232
|
|
|
A
|
||||||
Total public finance—U.S.
|
|
338,985
|
|
|
29
|
|
|
338,956
|
|
|
A
|
|
352,213
|
|
|
32
|
|
|
352,181
|
|
|
A
|
||||||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Infrastructure finance
|
|
15,218
|
|
|
—
|
|
|
15,218
|
|
|
BBB
|
|
14,703
|
|
|
—
|
|
|
14,703
|
|
|
BBB
|
||||||
Regulated utilities
|
|
12,092
|
|
|
—
|
|
|
12,092
|
|
|
BBB+
|
|
11,205
|
|
|
—
|
|
|
11,205
|
|
|
BBB+
|
||||||
Pooled infrastructure
|
|
2,591
|
|
|
—
|
|
|
2,591
|
|
|
A
|
|
2,520
|
|
|
—
|
|
|
2,520
|
|
|
A
|
||||||
Other public finance—non-U.S.
|
|
5,507
|
|
|
—
|
|
|
5,507
|
|
|
A
|
|
5,570
|
|
|
—
|
|
|
5,570
|
|
|
A
|
||||||
Total public finance—non-U.S.
|
|
35,408
|
|
|
—
|
|
|
35,408
|
|
|
BBB+
|
|
33,998
|
|
|
—
|
|
|
33,998
|
|
|
BBB+
|
||||||
Total public finance
|
|
374,393
|
|
|
29
|
|
|
374,364
|
|
|
A
|
|
386,211
|
|
|
32
|
|
|
386,179
|
|
|
A
|
||||||
Structured finance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pooled corporate obligations
|
|
26,596
|
|
|
—
|
|
|
26,596
|
|
|
AAA
|
|
31,325
|
|
|
—
|
|
|
31,325
|
|
|
AAA
|
||||||
RMBS
|
|
13,442
|
|
|
862
|
|
|
12,580
|
|
|
BBB-
|
|
14,559
|
|
|
838
|
|
|
13,721
|
|
|
BBB-
|
||||||
Insurance securitizations
|
|
3,359
|
|
|
325
|
|
|
3,034
|
|
|
A-
|
|
3,360
|
|
|
325
|
|
|
3,035
|
|
|
A-
|
||||||
CMBS and other commercial real estate related exposures
|
|
2,804
|
|
|
—
|
|
|
2,804
|
|
|
AAA
|
|
3,952
|
|
|
—
|
|
|
3,952
|
|
|
AAA
|
||||||
Financial products
|
|
2,585
|
|
|
—
|
|
|
2,585
|
|
|
AA-
|
|
2,709
|
|
|
—
|
|
|
2,709
|
|
|
AA-
|
||||||
Consumer receivables
|
|
2,152
|
|
|
—
|
|
|
2,152
|
|
|
BBB+
|
|
2,198
|
|
|
—
|
|
|
2,198
|
|
|
BBB+
|
||||||
Commercial receivables
|
|
682
|
|
|
—
|
|
|
682
|
|
|
A-
|
|
911
|
|
|
—
|
|
|
911
|
|
|
A-
|
||||||
Structured credit
|
|
69
|
|
|
—
|
|
|
69
|
|
|
BB
|
|
69
|
|
|
—
|
|
|
69
|
|
|
BB
|
||||||
Other structured finance—U.S.
|
|
940
|
|
|
—
|
|
|
940
|
|
|
A-
|
|
987
|
|
|
—
|
|
|
987
|
|
|
A-
|
||||||
Total structured finance—U.S.
|
|
52,629
|
|
|
1,187
|
|
|
51,442
|
|
|
AA-
|
|
60,070
|
|
|
1,163
|
|
|
58,907
|
|
|
AA-
|
||||||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pooled corporate obligations
|
|
9,066
|
|
|
—
|
|
|
9,066
|
|
|
AA+
|
|
11,058
|
|
|
—
|
|
|
11,058
|
|
|
AAA
|
||||||
Commercial receivables
|
|
1,162
|
|
|
—
|
|
|
1,162
|
|
|
BBB+
|
|
1,263
|
|
|
—
|
|
|
1,263
|
|
|
BBB+
|
||||||
RMBS
|
|
927
|
|
|
—
|
|
|
927
|
|
|
A
|
|
1,146
|
|
|
—
|
|
|
1,146
|
|
|
AA-
|
||||||
Structured credit
|
|
37
|
|
|
—
|
|
|
37
|
|
|
BBB-
|
|
176
|
|
|
—
|
|
|
176
|
|
|
BBB
|
||||||
Other structured finance—non-U.S.
|
|
578
|
|
|
—
|
|
|
578
|
|
|
AA+
|
|
378
|
|
|
—
|
|
|
378
|
|
|
AAA
|
||||||
Total structured finance—non-U.S.
|
|
11,770
|
|
|
—
|
|
|
11,770
|
|
|
AA
|
|
14,021
|
|
|
—
|
|
|
14,021
|
|
|
AA+
|
||||||
Total structured finance
|
|
64,399
|
|
|
1,187
|
|
|
63,212
|
|
|
AA-
|
|
74,091
|
|
|
1,163
|
|
|
72,928
|
|
|
AA
|
||||||
Total net par outstanding
|
|
$
|
438,792
|
|
|
$
|
1,216
|
|
|
$
|
437,576
|
|
|
A
|
|
$
|
460,302
|
|
|
$
|
1,195
|
|
|
$
|
459,107
|
|
|
A
|
|
|
Public Finance
U.S. |
|
Public Finance
Non-U.S.
|
|
Structured Finance
U.S
|
|
Structured Finance
Non-U.S
|
|
Total
|
|||||||||||||||||||||||||
Rating
Category |
|
Net Par
Outstanding |
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|||||||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
AAA
|
|
$
|
4,239
|
|
|
1.3
|
%
|
|
$
|
1,031
|
|
|
2.9
|
%
|
|
$
|
26,709
|
|
|
51.9
|
%
|
|
$
|
7,597
|
|
|
64.5
|
%
|
|
$
|
39,576
|
|
|
9.0
|
%
|
AA
|
|
100,089
|
|
|
29.5
|
|
|
432
|
|
|
1.2
|
|
|
8,963
|
|
|
17.4
|
|
|
567
|
|
|
4.8
|
|
|
110,051
|
|
|
25.2
|
|
|||||
A
|
|
184,593
|
|
|
54.5
|
|
|
9,803
|
|
|
27.7
|
|
|
2,395
|
|
|
4.7
|
|
|
610
|
|
|
5.2
|
|
|
197,401
|
|
|
45.1
|
|
|||||
BBB
|
|
41,174
|
|
|
12.1
|
|
|
22,529
|
|
|
63.6
|
|
|
3,331
|
|
|
6.5
|
|
|
1,939
|
|
|
16.5
|
|
|
68,973
|
|
|
15.8
|
|
|||||
BIG
|
|
8,861
|
|
|
2.6
|
|
|
1,613
|
|
|
4.6
|
|
|
10,044
|
|
|
19.5
|
|
|
1,057
|
|
|
9.0
|
|
|
21,575
|
|
|
4.9
|
|
|||||
Total net par outstanding (excluding loss mitigation bonds)
|
|
$
|
338,956
|
|
|
100.0
|
%
|
|
$
|
35,408
|
|
|
100.0
|
%
|
|
$
|
51,442
|
|
|
100.0
|
%
|
|
$
|
11,770
|
|
|
100.0
|
%
|
|
$
|
437,576
|
|
|
100.0
|
%
|
Loss Mitigation Bonds
|
|
29
|
|
|
|
|
—
|
|
|
|
|
1,187
|
|
|
|
|
—
|
|
|
|
|
1,216
|
|
|
|
||||||||||
Net Par Outstanding (including loss mitigation bonds)
|
|
$
|
338,985
|
|
|
|
|
$
|
35,408
|
|
|
|
|
$
|
52,629
|
|
|
|
|
$
|
11,770
|
|
|
|
|
$
|
438,792
|
|
|
|
|
|
Public Finance
U.S.
|
|
Public Finance
Non-U.S.
|
|
Structured Finance
U.S
|
|
Structured Finance
Non-U.S
|
|
Total
|
|||||||||||||||||||||||||
Rating
Category
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|||||||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
AAA
|
|
$
|
4,998
|
|
|
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
|
|
|
|
||||||||||
Net Par Outstanding (including loss mitigation bonds)
|
|
$
|
352,213
|
|
|
|
|
$
|
33,998
|
|
|
|
|
$
|
60,070
|
|
|
|
|
$
|
14,021
|
|
|
|
|
$
|
460,302
|
|
|
|
|
Hungary
|
|
Ireland
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Non-infrastructure public finance (2)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,348
|
|
|
$
|
109
|
|
|
$
|
438
|
|
|
$
|
1,895
|
|
Infrastructure finance
|
394
|
|
|
—
|
|
|
17
|
|
|
11
|
|
|
158
|
|
|
580
|
|
||||||
Sub-total
|
394
|
|
|
—
|
|
|
1,365
|
|
|
120
|
|
|
596
|
|
|
2,475
|
|
||||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Regulated utilities
|
—
|
|
|
—
|
|
|
262
|
|
|
—
|
|
|
—
|
|
|
262
|
|
||||||
RMBS
|
224
|
|
|
144
|
|
|
371
|
|
|
—
|
|
|
—
|
|
|
739
|
|
||||||
Sub-total
|
224
|
|
|
144
|
|
|
633
|
|
|
—
|
|
|
—
|
|
|
1,001
|
|
||||||
Total
|
$
|
618
|
|
|
$
|
144
|
|
|
$
|
1,998
|
|
|
$
|
120
|
|
|
$
|
596
|
|
|
$
|
3,476
|
|
Total BIG
|
$
|
618
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
120
|
|
|
$
|
595
|
|
|
$
|
1,333
|
|
|
Hungary
|
|
Ireland
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Non-infrastructure public finance (2)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,007
|
|
|
$
|
95
|
|
|
$
|
272
|
|
|
$
|
1,374
|
|
Infrastructure finance
|
369
|
|
|
—
|
|
|
16
|
|
|
11
|
|
|
155
|
|
|
551
|
|
||||||
Sub-total
|
369
|
|
|
—
|
|
|
1,023
|
|
|
106
|
|
|
427
|
|
|
1,925
|
|
||||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Regulated utilities
|
—
|
|
|
—
|
|
|
242
|
|
|
—
|
|
|
—
|
|
|
242
|
|
||||||
RMBS
|
214
|
|
|
144
|
|
|
308
|
|
|
—
|
|
|
—
|
|
|
666
|
|
||||||
Sub-total
|
214
|
|
|
144
|
|
|
550
|
|
|
—
|
|
|
—
|
|
|
908
|
|
||||||
Total
|
$
|
583
|
|
|
$
|
144
|
|
|
$
|
1,573
|
|
|
$
|
106
|
|
|
$
|
427
|
|
|
$
|
2,833
|
|
Total BIG
|
$
|
583
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
106
|
|
|
$
|
427
|
|
|
$
|
1,116
|
|
(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 and Euros. Included in both tables 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 tables.
|
(2)
|
The exposure shown in the "Non-infrastructure public finance" category is from transactions backed by receivable payments from sub-sovereigns in Italy, Spain and Portugal.
|
|
Greece
|
|
Ireland
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Pooled corporate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gross par ($ millions)
|
$
|
17
|
|
|
$
|
104
|
|
|
$
|
124
|
|
|
$
|
3
|
|
|
$
|
417
|
|
|
$
|
665
|
|
Net par ($ millions)
|
$
|
16
|
|
|
$
|
87
|
|
|
$
|
112
|
|
|
$
|
3
|
|
|
$
|
377
|
|
|
$
|
595
|
|
Average proportion
|
1.5
|
%
|
|
2.4
|
%
|
|
2.6
|
%
|
|
0.5
|
%
|
|
4.2
|
%
|
|
3.2
|
%
|
||||||
Commercial receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Gross par ($ millions)
|
$
|
—
|
|
|
$
|
13
|
|
|
$
|
58
|
|
|
$
|
13
|
|
|
$
|
2
|
|
|
$
|
86
|
|
Net par ($ millions)
|
$
|
—
|
|
|
$
|
13
|
|
|
$
|
57
|
|
|
$
|
12
|
|
|
$
|
2
|
|
|
$
|
84
|
|
Average proportion
|
0.0
|
%
|
|
10.8
|
%
|
|
7.4
|
%
|
|
2.3
|
%
|
|
1.8
|
%
|
|
5.5
|
%
|
|
|
Net Par Outstanding
|
|
|
||||||||||||||||||
|
|
AGM Consolidated
|
|
AGC Consolidated
|
|
AG Re (1) Consolidated
|
|
Eliminations (2)
|
|
Total
|
|
Internal Rating
|
||||||||||
|
|
(in millions)
|
|
|
||||||||||||||||||
Exposures subject to the terms of the Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Puerto Rico Highways and Transportation Authority (Transportation revenue)
|
|
$
|
316
|
|
|
$
|
400
|
|
|
$
|
236
|
|
|
$
|
(80
|
)
|
|
$
|
872
|
|
|
BB-
|
PREPA
|
|
481
|
|
|
65
|
|
|
273
|
|
|
—
|
|
|
819
|
|
|
B-
|
|||||
Puerto Rico Aqueduct and Sewer Authority
|
|
—
|
|
|
288
|
|
|
96
|
|
|
—
|
|
|
384
|
|
|
BB-
|
|||||
Puerto Rico Highways and Transportation Authority (Highway revenue)
|
|
216
|
|
|
28
|
|
|
58
|
|
|
—
|
|
|
302
|
|
|
BB
|
|||||
Puerto Rico Convention Center District Authority
|
|
—
|
|
|
93
|
|
|
92
|
|
|
—
|
|
|
185
|
|
|
BB-
|
|||||
Total
|
|
1,013
|
|
|
874
|
|
|
755
|
|
|
(80
|
)
|
|
2,562
|
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Exposures not subject to the terms of the Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
|
758
|
|
|
476
|
|
|
532
|
|
|
—
|
|
|
1,766
|
|
|
BB
|
|||||
Puerto Rico Municipal Finance Authority
|
|
252
|
|
|
49
|
|
|
149
|
|
|
—
|
|
|
450
|
|
|
BB-
|
|||||
Puerto Rico Sales Tax Financing Corporation
|
|
261
|
|
|
—
|
|
|
7
|
|
|
—
|
|
|
268
|
|
|
BBB
|
|||||
Puerto Rico Public Buildings Authority
|
|
32
|
|
|
46
|
|
|
46
|
|
|
—
|
|
|
124
|
|
|
BB
|
|||||
GDB
|
|
—
|
|
|
33
|
|
|
—
|
|
|
—
|
|
|
33
|
|
|
BB
|
|||||
Puerto Rico Infrastructure Financing Authority
|
|
—
|
|
|
10
|
|
|
8
|
|
|
—
|
|
|
18
|
|
|
BB-
|
|||||
University of Puerto Rico
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
BB-
|
|||||
Total
|
|
1,303
|
|
|
615
|
|
|
742
|
|
|
—
|
|
|
2,660
|
|
|
|
|||||
Total net exposure to Puerto Rico
|
|
$
|
2,316
|
|
|
$
|
1,489
|
|
|
$
|
1,497
|
|
|
$
|
(80
|
)
|
|
$
|
5,222
|
|
|
|
(1)
|
Assured Guaranty Re Ltd.
|
(2)
|
Net par outstanding eliminations relate to second-to-pay policies under which an Assured Guaranty insurance subsidiary guarantees an obligation already insured by another Assured Guaranty insurance subsidiary.
|
|
Scheduled Net Par Amortization
|
|||||||||||||||||||||||||||||||||||||||||||||||
|
2014 (2H)
|
2015
|
2016
|
2017
|
2018
|
2019
|
2020
|
2021
|
2022
|
2023
|
2024 -2028
|
2029 -2033
|
2034 -2038
|
2039 -2043
|
2044 -2047
|
Total
|
||||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||||||||||
Exposures subject to the terms of the Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Puerto Rico Highways and Transportation Authority (Transportation revenue)
|
$
|
29
|
|
$
|
22
|
|
$
|
29
|
|
$
|
32
|
|
$
|
39
|
|
$
|
26
|
|
$
|
21
|
|
$
|
16
|
|
$
|
17
|
|
$
|
17
|
|
$
|
86
|
|
$
|
94
|
|
$
|
288
|
|
$
|
156
|
|
$
|
—
|
|
$
|
872
|
|
PREPA
|
46
|
|
73
|
|
19
|
|
4
|
|
4
|
|
24
|
|
40
|
|
20
|
|
20
|
|
78
|
|
347
|
|
136
|
|
8
|
|
—
|
|
—
|
|
819
|
|
||||||||||||||||
Puerto Rico Aqueduct and Sewer Authority
|
—
|
|
14
|
|
15
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
109
|
|
—
|
|
—
|
|
—
|
|
246
|
|
384
|
|
||||||||||||||||
Puerto Rico Highways and Transportation Authority (Highway revenue)
|
8
|
|
6
|
|
31
|
|
5
|
|
5
|
|
11
|
|
12
|
|
15
|
|
6
|
|
7
|
|
20
|
|
95
|
|
81
|
|
—
|
|
—
|
|
302
|
|
||||||||||||||||
Puerto Rico Convention Center District Authority
|
10
|
|
11
|
|
11
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
19
|
|
50
|
|
84
|
|
—
|
|
—
|
|
185
|
|
||||||||||||||||
Total
|
93
|
|
126
|
|
105
|
|
41
|
|
48
|
|
61
|
|
73
|
|
51
|
|
43
|
|
102
|
|
581
|
|
375
|
|
461
|
|
156
|
|
246
|
|
2,562
|
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Exposures not subject to the terms of the Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
94
|
|
109
|
|
127
|
|
95
|
|
64
|
|
82
|
|
137
|
|
16
|
|
37
|
|
14
|
|
282
|
|
310
|
|
399
|
|
—
|
|
—
|
|
1,766
|
|
||||||||||||||||
Puerto Rico Municipal Finance Authority
|
50
|
|
51
|
|
48
|
|
41
|
|
43
|
|
39
|
|
35
|
|
30
|
|
30
|
|
16
|
|
60
|
|
7
|
|
—
|
|
—
|
|
—
|
|
450
|
|
||||||||||||||||
Puerto Rico Sales Tax Financing Corporation
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(2
|
)
|
(2
|
)
|
1
|
|
(7
|
)
|
20
|
|
10
|
|
255
|
|
—
|
|
268
|
|
||||||||||||||||
Puerto Rico Public Buildings Authority
|
17
|
|
12
|
|
9
|
|
31
|
|
2
|
|
7
|
|
10
|
|
12
|
|
—
|
|
8
|
|
9
|
|
2
|
|
5
|
|
—
|
|
—
|
|
124
|
|
||||||||||||||||
GDB
|
—
|
|
33
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
33
|
|
||||||||||||||||
Puerto Rico Infrastructure Financing Authority
|
—
|
|
—
|
|
—
|
|
—
|
|
2
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2
|
|
—
|
|
—
|
|
1
|
|
13
|
|
—
|
|
18
|
|
||||||||||||||||
University of Puerto Rico
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
—
|
|
—
|
|
—
|
|
1
|
|
||||||||||||||||
Total
|
160
|
|
204
|
|
183
|
|
166
|
|
110
|
|
127
|
|
181
|
|
56
|
|
65
|
|
41
|
|
344
|
|
340
|
|
415
|
|
268
|
|
—
|
|
2,660
|
|
||||||||||||||||
Total net par for Puerto Rico(1)
|
$
|
253
|
|
$
|
330
|
|
$
|
288
|
|
$
|
207
|
|
$
|
158
|
|
$
|
188
|
|
$
|
254
|
|
$
|
107
|
|
$
|
108
|
|
$
|
143
|
|
$
|
925
|
|
$
|
715
|
|
$
|
876
|
|
$
|
424
|
|
$
|
246
|
|
$
|
5,222
|
|
(1)
|
In July 2014, various Puerto Rico issuers made payment on
$215 million
of par scheduled to be paid; of that amount,
$46 million
of par was paid by PREPA.
|
|
Scheduled Net Debt Service Amortization
|
|||||||||||||||||||||||||||||||||||||||||||||||
|
2014 (2H)
|
2015
|
2016
|
2017
|
2018
|
2019
|
2020
|
2021
|
2022
|
2023
|
2024 -2028
|
2029 -2033
|
2034 -2038
|
2039 -2043
|
2044 -2047
|
Total
|
||||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||||||||||
Exposures subject to the terms of the Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Puerto Rico Highways and Transportation Authority (Transportation revenue)
|
$
|
51
|
|
$
|
65
|
|
$
|
72
|
|
$
|
72
|
|
$
|
78
|
|
$
|
63
|
|
$
|
57
|
|
$
|
51
|
|
$
|
50
|
|
$
|
50
|
|
$
|
240
|
|
$
|
217
|
|
$
|
355
|
|
$
|
167
|
|
$
|
—
|
|
$
|
1,588
|
|
PREPA
|
64
|
|
107
|
|
51
|
|
36
|
|
35
|
|
55
|
|
69
|
|
47
|
|
47
|
|
102
|
|
421
|
|
152
|
|
9
|
|
—
|
|
—
|
|
1,195
|
|
||||||||||||||||
Puerto Rico Aqueduct and Sewer Authority
|
10
|
|
33
|
|
33
|
|
18
|
|
18
|
|
18
|
|
18
|
|
18
|
|
18
|
|
18
|
|
189
|
|
63
|
|
63
|
|
63
|
|
278
|
|
858
|
|
||||||||||||||||
Puerto Rico Highways and Transportation Authority (Highway revenue)
|
16
|
|
22
|
|
46
|
|
19
|
|
19
|
|
24
|
|
24
|
|
26
|
|
17
|
|
18
|
|
69
|
|
131
|
|
87
|
|
—
|
|
—
|
|
518
|
|
||||||||||||||||
Puerto Rico Convention Center District Authority
|
14
|
|
19
|
|
18
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
52
|
|
78
|
|
89
|
|
—
|
|
—
|
|
319
|
|
||||||||||||||||
Total
|
155
|
|
246
|
|
220
|
|
152
|
|
157
|
|
167
|
|
175
|
|
149
|
|
139
|
|
195
|
|
971
|
|
641
|
|
603
|
|
230
|
|
278
|
|
4,478
|
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Exposures not subject to the terms of the Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
137
|
|
192
|
|
205
|
|
167
|
|
132
|
|
147
|
|
195
|
|
71
|
|
91
|
|
67
|
|
504
|
|
467
|
|
439
|
|
—
|
|
—
|
|
2,814
|
|
||||||||||||||||
Puerto Rico Municipal Finance Authority
|
61
|
|
70
|
|
65
|
|
56
|
|
55
|
|
49
|
|
43
|
|
37
|
|
35
|
|
20
|
|
69
|
|
7
|
|
—
|
|
—
|
|
—
|
|
567
|
|
||||||||||||||||
Puerto Rico Sales Tax Financing Corporation
|
5
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
16
|
|
65
|
|
95
|
|
76
|
|
291
|
|
—
|
|
652
|
|
||||||||||||||||
Puerto Rico Public Buildings Authority
|
19
|
|
18
|
|
13
|
|
35
|
|
5
|
|
9
|
|
13
|
|
14
|
|
1
|
|
9
|
|
12
|
|
4
|
|
6
|
|
—
|
|
—
|
|
158
|
|
||||||||||||||||
GDB
|
0
|
|
35
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
35
|
|
||||||||||||||||
Puerto Rico Infrastructure Financing Authority
|
0
|
|
1
|
|
1
|
|
1
|
|
3
|
|
1
|
|
1
|
|
1
|
|
1
|
|
2
|
|
4
|
|
4
|
|
4
|
|
15
|
|
—
|
|
39
|
|
||||||||||||||||
University of Puerto Rico
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
—
|
|
—
|
|
—
|
|
1
|
|
||||||||||||||||
Total
|
222
|
|
329
|
|
297
|
|
272
|
|
208
|
|
219
|
|
265
|
|
136
|
|
141
|
|
114
|
|
654
|
|
578
|
|
525
|
|
306
|
|
—
|
|
4,266
|
|
||||||||||||||||
Total net debt service for Puerto Rico (1)
|
$
|
377
|
|
$
|
575
|
|
$
|
517
|
|
$
|
424
|
|
$
|
365
|
|
$
|
386
|
|
$
|
440
|
|
$
|
285
|
|
$
|
280
|
|
$
|
309
|
|
$
|
1,625
|
|
$
|
1,219
|
|
$
|
1,128
|
|
$
|
536
|
|
$
|
278
|
|
$
|
8,744
|
|
(1)
|
In July 2014, various Puerto Rico issuers made scheduled par payments of
$215 million
, plus interest. Of that amount
$46 million
of par related to PREPA.
|
Ratings:
|
|
Prime First Lien
|
|
Closed-End Second Lien
|
|
HELOC
|
|
Alt-A First Lien
|
|
Option ARMs
|
|
Subprime First Lien
|
|
Total Net Par Outstanding
|
||||||||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||||||||
AAA
|
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
14
|
|
|
$
|
205
|
|
|
$
|
53
|
|
|
$
|
2,280
|
|
|
$
|
2,553
|
|
AA
|
|
91
|
|
|
91
|
|
|
83
|
|
|
526
|
|
|
182
|
|
|
1,373
|
|
|
2,346
|
|
|||||||
A
|
|
7
|
|
|
0
|
|
|
8
|
|
|
—
|
|
|
17
|
|
|
121
|
|
|
153
|
|
|||||||
BBB
|
|
30
|
|
|
—
|
|
|
127
|
|
|
17
|
|
|
32
|
|
|
138
|
|
|
344
|
|
|||||||
BIG
|
|
381
|
|
|
140
|
|
|
1,670
|
|
|
2,621
|
|
|
548
|
|
|
1,824
|
|
|
7,185
|
|
|||||||
Total exposures
|
|
$
|
509
|
|
|
$
|
232
|
|
|
$
|
1,901
|
|
|
$
|
3,369
|
|
|
$
|
833
|
|
|
$
|
5,736
|
|
|
$
|
12,580
|
|
|
|
Net Par
Outstanding
|
|
Pool
Factor
|
|
Subordination
|
|
Cumulative
Losses
|
|
60+ Day
Delinquencies
|
|
Number of
Transactions
|
|||||||
|
|
(dollars in millions)
|
|||||||||||||||||
U.S. Prime First Lien
|
|
$
|
487
|
|
|
29.2
|
%
|
|
3.8
|
%
|
|
4.7
|
%
|
|
15.8
|
%
|
|
8
|
|
U.S. Closed-End Second Lien
|
|
222
|
|
|
10.6
|
%
|
|
—
|
%
|
|
69.2
|
%
|
|
5.0
|
%
|
|
9
|
|
|
U.S. HELOC
|
|
1,681
|
|
|
15.6
|
%
|
|
4.6
|
%
|
|
37.5
|
%
|
|
3.7
|
%
|
|
18
|
|
|
U.S. Alt-A First Lien
|
|
3,297
|
|
|
31.5
|
%
|
|
5.5
|
%
|
|
17.5
|
%
|
|
25.5
|
%
|
|
43
|
|
|
U.S. Option ARMs
|
|
801
|
|
|
32.8
|
%
|
|
4.5
|
%
|
|
22.1
|
%
|
|
26.4
|
%
|
|
19
|
|
|
U.S. Subprime First Lien
|
|
4,567
|
|
|
27.1
|
%
|
|
36.7
|
%
|
|
24.6
|
%
|
|
33.1
|
%
|
|
21
|
|
|
|
Ratings at
|
|
Par Outstanding
|
||||||||||||
|
|
August 5, 2014
|
|
As of June 30, 2014
|
||||||||||||
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
|
|
$
|
7,854
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
|
Aa3 (3)
|
|
AA- (3)
|
|
6,031
|
|
|
—
|
|
|
—
|
|
|||
Radian Asset Assurance Inc. ("Radian")
|
|
Ba1
|
|
B+
|
|
4,600
|
|
|
22
|
|
|
940
|
|
|||
Syncora Guarantee Inc.
|
|
WR
|
|
WR
|
|
4,198
|
|
|
1,784
|
|
|
161
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd.
|
|
A1
|
|
A+ (3)
|
|
2,101
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
801
|
|
|
3
|
|
|
—
|
|
|||
Federal Insurance Company
|
|
Aa2
|
|
AA
|
|
382
|
|
|
—
|
|
|
—
|
|
|||
Swiss Reinsurance Co.
|
|
Aa3
|
|
AA-
|
|
344
|
|
|
—
|
|
|
—
|
|
|||
Security Life of Denver Insurance Company
|
|
A3
|
|
A-
|
|
239
|
|
|
—
|
|
|
—
|
|
|||
Ambac Assurance Corporation ("Ambac")(4)
|
|
WR
|
|
WR
|
|
82
|
|
|
5,665
|
|
|
17,336
|
|
|||
CIFG Assurance North America Inc. ("CIFG")
|
|
WR
|
|
WR
|
|
—
|
|
|
114
|
|
|
4,758
|
|
|||
MBIA Inc.
|
|
(4)
|
|
(4)
|
|
—
|
|
|
9,968
|
|
|
7,008
|
|
|||
Financial Guaranty Insurance Co.
|
|
WR
|
|
WR
|
|
—
|
|
|
2,227
|
|
|
1,180
|
|
|||
Other
|
|
Various
|
|
Various
|
|
247
|
|
|
2,164
|
|
|
46
|
|
|||
Total
|
|
|
|
|
|
$
|
26,879
|
|
|
$
|
21,947
|
|
|
$
|
31,459
|
|
(1)
|
Includes $
2,827 million
in ceded par outstanding related to insured credit derivatives.
|
(4)
|
MBIA Inc. includes various subsidiaries which are rated AA- and B by S&P and A3, Ba2 and B2 by Moody’s. Ambac includes policies in their general and segregated account.
|
|
Internal Credit Rating
|
|
|
|||||||||||||||||||||
Reinsurer
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
Total
|
||||||||||||
|
(in millions)
|
|||||||||||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
$
|
817
|
|
|
$
|
2,700
|
|
|
$
|
2,376
|
|
|
$
|
1,402
|
|
|
$
|
559
|
|
|
$
|
7,854
|
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
949
|
|
|
1,087
|
|
|
1,673
|
|
|
1,466
|
|
|
856
|
|
|
6,031
|
|
|||||||
Radian
|
207
|
|
|
288
|
|
|
2,284
|
|
|
1,259
|
|
|
562
|
|
|
4,600
|
|
|||||||
Syncora Guarantee Inc.
|
—
|
|
|
223
|
|
|
766
|
|
|
2,401
|
|
|
808
|
|
|
4,198
|
|
|||||||
Mitsui Sumitomo Insurance Co. Ltd.
|
143
|
|
|
678
|
|
|
771
|
|
|
310
|
|
|
199
|
|
|
2,101
|
|
|||||||
ACA Financial Guaranty Corp
|
—
|
|
|
465
|
|
|
324
|
|
|
12
|
|
|
—
|
|
|
801
|
|
|||||||
Federal Insurance Company
|
—
|
|
|
—
|
|
|
382
|
|
|
—
|
|
|
—
|
|
|
382
|
|
|||||||
Swiss Reinsurance Co.
|
—
|
|
|
1
|
|
|
239
|
|
|
28
|
|
|
76
|
|
|
344
|
|
|||||||
Security Life of Denver Insurance Company
|
—
|
|
|
—
|
|
|
239
|
|
|
—
|
|
|
—
|
|
|
239
|
|
|||||||
Ambac
|
—
|
|
|
—
|
|
|
82
|
|
|
—
|
|
|
—
|
|
|
82
|
|
|||||||
Other
|
—
|
|
|
88
|
|
|
123
|
|
|
36
|
|
|
—
|
|
|
247
|
|
|||||||
Total
|
$
|
2,116
|
|
|
$
|
5,530
|
|
|
$
|
9,259
|
|
|
$
|
6,914
|
|
|
$
|
3,060
|
|
|
$
|
26,879
|
|
|
Public Finance
|
|
Structured Finance
|
|
|
||||||||||||||||||||||||||||||||||||||
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
Total
|
||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||
Radian
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3
|
|
|
$
|
13
|
|
|
$
|
6
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
22
|
|
Syncora Guarantee Inc.
|
—
|
|
|
25
|
|
|
376
|
|
|
794
|
|
|
317
|
|
|
114
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
158
|
|
|
1,784
|
|
|||||||||||
ACA Financial Guaranty Corp.
|
—
|
|
|
1
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|||||||||||
Ambac
|
30
|
|
|
1,320
|
|
|
2,845
|
|
|
956
|
|
|
76
|
|
|
—
|
|
|
39
|
|
|
67
|
|
|
201
|
|
|
131
|
|
|
5,665
|
|
|||||||||||
CIFG
|
—
|
|
|
5
|
|
|
56
|
|
|
22
|
|
|
31
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
114
|
|
|||||||||||
MBIA Inc.
|
201
|
|
|
2,300
|
|
|
4,401
|
|
|
1,000
|
|
|
—
|
|
|
—
|
|
|
1,646
|
|
|
24
|
|
|
173
|
|
|
223
|
|
|
9,968
|
|
|||||||||||
Financial Guaranty Insurance Co.
|
—
|
|
|
78
|
|
|
1,007
|
|
|
306
|
|
|
346
|
|
|
413
|
|
|
—
|
|
|
32
|
|
|
—
|
|
|
45
|
|
|
2,227
|
|
|||||||||||
Other
|
—
|
|
|
—
|
|
|
2,164
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,164
|
|
|||||||||||
Total
|
$
|
231
|
|
|
$
|
3,729
|
|
|
$
|
10,852
|
|
|
$
|
3,093
|
|
|
$
|
776
|
|
|
$
|
527
|
|
|
$
|
1,685
|
|
|
$
|
123
|
|
|
$
|
374
|
|
|
$
|
557
|
|
|
$
|
21,947
|
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Dividends paid by AGC to AGUS
|
|
$
|
15
|
|
|
$
|
17
|
|
|
$
|
15
|
|
|
$
|
17
|
|
Dividends paid by AGM to AGMH
|
|
45
|
|
|
38
|
|
|
45
|
|
|
38
|
|
||||
Dividends paid by AG Re to AGL
|
|
20
|
|
|
60
|
|
|
82
|
|
|
100
|
|
||||
Dividends paid by other subsidiaries to AGMH
|
|
10
|
|
|
—
|
|
|
10
|
|
|
—
|
|
||||
Repayment of surplus note by AGM to AGMH
|
|
—
|
|
|
—
|
|
|
25
|
|
|
25
|
|
||||
Dividends paid to AGL shareholders
|
|
(20
|
)
|
|
(19
|
)
|
|
(40
|
)
|
|
(38
|
)
|
||||
Repurchases of common shares
|
|
(177
|
)
|
|
(205
|
)
|
|
(212
|
)
|
|
(244
|
)
|
||||
Interest paid
|
|
(28
|
)
|
|
(28
|
)
|
|
(35
|
)
|
|
(35
|
)
|
||||
Proceeds from issuance of long-term debt
|
|
496
|
|
|
—
|
|
|
496
|
|
|
—
|
|
•
|
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 of Financial Services ("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 aggregate amount available for AGM to distribute as dividends in the next twelve months without regulatory approval is estimated to be approximately
$174 million
.
|
•
|
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 aggregate amount available for AGC to distribute as ordinary dividends in 2014, including amounts already paid per the table above, will be approximately
$69 million
.
|
•
|
MAC is a New York domiciled insurance company subject to the same dividend limitations described above for AGM. The Company does not currently anticipate that MAC will distribute any dividends.
|
•
|
AG Re, based on regulatory capital requirements, has
$784 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
$276 million
. In addition, annual dividends cannot exceed 25% of total statutory capital and surplus, which is
$280 million
, without AG Re certifying to the Bermuda Monetary Authority that it will continue to meet required margins. As of June 30, 2014, AG Re had unencumbered assets of approximately
$217 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.
|
•
|
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.
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
|
$
|
(34
|
)
|
|
$
|
(212
|
)
|
|
$
|
(76
|
)
|
|
$
|
(366
|
)
|
Net benefit for recoveries for breaches of R&W
|
|
89
|
|
|
525
|
|
|
128
|
|
|
614
|
|
||||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
|
55
|
|
|
313
|
|
|
52
|
|
|
248
|
|
||||
Other structured finance
|
|
(3
|
)
|
|
(116
|
)
|
|
(4
|
)
|
|
(120
|
)
|
||||
Public finance
|
|
(24
|
)
|
|
(7
|
)
|
|
(30
|
)
|
|
(30
|
)
|
||||
Other
|
|
—
|
|
|
10
|
|
|
—
|
|
|
10
|
|
||||
Claims (paid) recovered, net of reinsurance(1)
|
|
$
|
28
|
|
|
$
|
200
|
|
|
$
|
18
|
|
|
$
|
108
|
|
(1)
|
Includes $6 million paid and $168 million recovered for consolidated FG VIEs for Second Quarter
2014
and
2013
, respectively, and $7 million paid and $159 million recovered for consolidated FG VIEs for Six Months
2014
and
2013
, respectively. Claims recovered include invested assets received as part of a restructuring. See Note 5, Expected Loss to be Paid, of the Financial Statements.
|
|
|
Second Quarter
|
|
Six Months
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||
|
|
(in millions)
|
||||||||||||||
Net cash flows provided by (used in) operating activities before effects of FG VIEs consolidation
|
|
$
|
74
|
|
|
$
|
298
|
|
|
$
|
183
|
|
|
$
|
263
|
|
Effect of FG VIEs consolidation
|
|
47
|
|
|
(162
|
)
|
|
39
|
|
|
(141
|
)
|
||||
Net cash flows provided by (used in) operating activities - reported
|
|
121
|
|
|
136
|
|
|
222
|
|
|
122
|
|
||||
Net cash flows provided by (used in) investing activities
|
|
(504
|
)
|
|
235
|
|
|
(229
|
)
|
|
472
|
|
||||
Net cash flows provided by (used in) financing activities (1)
|
|
269
|
|
|
(352
|
)
|
|
(73
|
)
|
|
(585
|
)
|
||||
Effect of exchange rate changes
|
|
1
|
|
|
(1
|
)
|
|
2
|
|
|
(4
|
)
|
||||
Cash at beginning of period
|
|
219
|
|
|
125
|
|
|
184
|
|
|
138
|
|
||||
Total cash at the end of the period
|
|
$
|
106
|
|
|
$
|
143
|
|
|
$
|
106
|
|
|
$
|
143
|
|
(1)
|
Claims paid on consolidated FG VIEs are presented in the consolidated cash flow statements as a component of paydowns on FG VIE liabilities in financing activities as opposed to operating activities.
|
|
Principal Amount
|
|
Interest Paid
|
||||||||||||||||||||
|
As of
June 30, |
|
As of
December 31, |
|
Second Quarter
|
|
Six Months
|
||||||||||||||||
|
2014
|
|
2013
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
7.0% Senior Notes
|
$
|
200
|
|
|
$
|
200
|
|
|
$
|
7
|
|
|
$
|
7
|
|
|
$
|
7
|
|
|
$
|
7
|
|
5.0% Senior Notes
|
500
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Series A Enhanced Junior Subordinated Debentures
|
150
|
|
|
150
|
|
|
5
|
|
|
5
|
|
|
5
|
|
|
5
|
|
||||||
Total AGUS
|
850
|
|
|
350
|
|
|
12
|
|
|
12
|
|
|
12
|
|
|
12
|
|
||||||
AGMH(1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
6
7
/
8
% QUIBS
|
100
|
|
|
100
|
|
|
1
|
|
|
1
|
|
|
3
|
|
|
3
|
|
||||||
6.25% Notes
|
230
|
|
|
230
|
|
|
3
|
|
|
3
|
|
|
7
|
|
|
7
|
|
||||||
5.60% Notes
|
100
|
|
|
100
|
|
|
2
|
|
|
2
|
|
|
3
|
|
|
3
|
|
||||||
Junior Subordinated Debentures
|
300
|
|
|
300
|
|
|
10
|
|
|
10
|
|
|
10
|
|
|
10
|
|
||||||
Total AGMH
|
730
|
|
|
730
|
|
|
16
|
|
|
16
|
|
|
23
|
|
|
23
|
|
||||||
AGM(1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
AGM Notes Payable
|
27
|
|
|
34
|
|
|
0
|
|
|
1
|
|
|
1
|
|
|
3
|
|
||||||
Total
|
$
|
1,607
|
|
|
$
|
1,114
|
|
|
$
|
28
|
|
|
$
|
29
|
|
|
$
|
36
|
|
|
$
|
38
|
|
(1)
|
Principal amounts vary from carrying amounts due primarily to acquisition method fair value adjustments at the AGMH acquisition date, which are accreted or amortized into interest expense over the remaining terms of these obligations.
|
•
|
7.0
% Senior Notes issued by AGUS
|
•
|
5.0% 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
|
•
|
a minimum net worth of
75%
of consolidated net worth as of July 1, 2009, plus, beginning June 30, 2015 and on each anniversary of such date, an amount equal to the product of (i)
25%
of the aggregate consolidated net income (or loss) for the period beginning July 2, 2009 and ending on June 30, 2014 and (ii) a fraction, the numerator of which is the commitment amount as of the relevant calculation date and the denominator of which is
$1 billion
.
|
|
As of June 30, 2014
|
|
As of December 31, 2013
|
||||||||||||
|
Amortized
Cost
|
|
Estimated
Fair Value
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Obligations of state and political subdivisions
|
$
|
5,163
|
|
|
$
|
5,500
|
|
|
$
|
4,899
|
|
|
$
|
5,079
|
|
U.S. government and agencies
|
823
|
|
|
853
|
|
|
674
|
|
|
700
|
|
||||
Corporate securities
|
1,376
|
|
|
1,413
|
|
|
1,314
|
|
|
1,340
|
|
||||
Mortgage-backed securities(1):
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,170
|
|
|
1,171
|
|
|
1,160
|
|
|
1,122
|
|
||||
CMBS
|
691
|
|
|
712
|
|
|
536
|
|
|
549
|
|
||||
Asset-backed securities
|
538
|
|
|
548
|
|
|
605
|
|
|
608
|
|
||||
Foreign government securities
|
317
|
|
|
333
|
|
|
300
|
|
|
313
|
|
||||
Total fixed-maturity securities
|
10,078
|
|
|
10,530
|
|
|
9,488
|
|
|
9,711
|
|
||||
Short-term investments
|
979
|
|
|
979
|
|
|
904
|
|
|
904
|
|
||||
Total fixed-maturity and short-term investments
|
$
|
11,057
|
|
|
$
|
11,509
|
|
|
$
|
10,392
|
|
|
$
|
10,615
|
|
(1)
|
Government-agency obligations were approximately
44%
of mortgage backed securities as of
June 30, 2014
and
50%
as of
December 31, 2013
, 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
|
$
|
53
|
|
|
$
|
(1
|
)
|
|
$
|
217
|
|
|
$
|
(4
|
)
|
|
$
|
270
|
|
|
$
|
(5
|
)
|
U.S. government and agencies
|
7
|
|
|
0
|
|
|
172
|
|
|
(3
|
)
|
|
179
|
|
|
(3
|
)
|
||||||
Corporate securities
|
122
|
|
|
(17
|
)
|
|
156
|
|
|
(5
|
)
|
|
278
|
|
|
(22
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
RMBS
|
89
|
|
|
(2
|
)
|
|
317
|
|
|
(43
|
)
|
|
406
|
|
|
(45
|
)
|
||||||
CMBS
|
—
|
|
|
—
|
|
|
26
|
|
|
0
|
|
|
26
|
|
|
0
|
|
||||||
Asset-backed securities
|
9
|
|
|
0
|
|
|
48
|
|
|
(3
|
)
|
|
57
|
|
|
(3
|
)
|
||||||
Foreign government securities
|
44
|
|
|
0
|
|
|
10
|
|
|
(1
|
)
|
|
54
|
|
|
(1
|
)
|
||||||
Total
|
$
|
324
|
|
|
$
|
(20
|
)
|
|
$
|
946
|
|
|
$
|
(59
|
)
|
|
$
|
1,270
|
|
|
$
|
(79
|
)
|
Number of securities
|
|
|
|
58
|
|
|
|
|
|
165
|
|
|
|
|
|
223
|
|
||||||
Number of securities with other-than-temporary impairment
|
|
|
|
2
|
|
|
|
|
|
11
|
|
|
|
|
|
13
|
|
|
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 other-than-temporary impairment
|
|
|
|
13
|
|
|
|
|
|
11
|
|
|
|
|
|
24
|
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||
|
(in millions)
|
||||||
Due within one year
|
$
|
169
|
|
|
$
|
171
|
|
Due after one year through five years
|
2,206
|
|
|
2,292
|
|
||
Due after five years through 10 years
|
2,248
|
|
|
2,381
|
|
||
Due after 10 years
|
3,594
|
|
|
3,803
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,170
|
|
|
1,171
|
|
||
CMBS
|
691
|
|
|
712
|
|
||
Total
|
$
|
10,078
|
|
|
$
|
10,530
|
|
Rating
|
|
As of
June 30, 2014 |
|
As of
December 31, 2013 |
||
AAA
|
|
15.5
|
%
|
|
16.5
|
%
|
AA
|
|
59.4
|
|
|
57.5
|
|
A
|
|
18.1
|
|
|
17.6
|
|
BBB
|
|
0.6
|
|
|
0.9
|
|
BIG(1)
|
|
6.4
|
|
|
7.5
|
|
Total
|
|
100.0
|
%
|
|
100.0
|
%
|
(1)
|
Comprised primarily of loss mitigation and other risk management assets. See Note 10, Investments and Cash, of the Financial Statements.
|
Guarantor
|
|
As of
June 30, 2014 |
||
|
|
(in millions)
|
||
Ambac
|
|
$
|
439
|
|
National Public Finance Guarantee Corporation
|
|
418
|
|
|
CIFG
|
|
21
|
|
|
Berkshire Hathaway Assurance Corporation
|
|
5
|
|
|
Syncora Guarantee Inc.
|
|
3
|
|
|
Total
|
|
$
|
886
|
|
(1)
|
99% 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 Dexia Crédit Local S.A. commits to provide funds to FSAM. As a result of agreed reductions and GIC amortization as of
June 30, 2014
the commitments totaled $3.7 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 Dexia Crédit Local S.A. will provide up to $3.5 billion of funds in exchange for the transfer by FSAM to Dexia Crédit Local S.A. of FSAM securities that are not eligible to satisfy collateralization obligations of the GIC Issuers under the GICs. As of
June 30, 2014
, no amounts were outstanding under the Repurchase Facility Agreement.
|
ITEM 3.
|
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|
ITEM 4.
|
CONTROLS AND PROCEDURES
|
PART II.
|
OTHER INFORMATION
|
ITEM 1.
|
LEGAL PROCEEDINGS
|
ITEM 1A.
|
RISK FACTORS
|
ITEM 2.
|
UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
|
Period
|
|
Total
Number of
Shares
Purchased
|
|
Average
Price Paid
Per Share
|
|
Total Number of
Shares Purchased as
Part of Publicly
Announced Program (1)
|
|
Maximum Number (or Approximate Dollar Value)
of Shares that
May Yet Be
Purchased
Under the Program(2)
|
||||||
April 1 - April 30
|
|
1,626,742
|
|
|
$
|
24.59
|
|
|
1,626,742
|
|
|
$
|
325,000,033
|
|
May 1 - May 31
|
|
1,750,100
|
|
|
$
|
24.86
|
|
|
1,750,100
|
|
|
$
|
281,499,762
|
|
June 1 - June 30
|
|
3,675,000
|
|
|
$
|
25.51
|
|
|
3,675,000
|
|
|
$
|
187,735,304
|
|
Total
|
|
7,051,842
|
|
|
$
|
25.14
|
|
|
7,051,842
|
|
|
|
|
(1)
|
On November 11, 2013, the Company's share repurchase authorization of $400 million replaced the prior authorization. After giving effect to repurchases through the filing date, the Company had repurchased in 2014 a total of
14.1 million
common shares for approximately
$345 million
, excluding commissions, at an average price of
$24.49
per share. On August 6, 2014, the Company's board of directors approved an incremental
$400 million
share repurchase authorization.
|
(2)
|
Excludes commissions.
|
ITEM 6.
|
EXHIBITS.
|
|
ASSURED GUARANTY LTD.
(Registrant)
|
|
|
|
|
Dated August 8, 2014
|
By:
|
/s/ ROBERT A. BAILENSON
|
|
|
|
|
|
Robert A. Bailenson
Chief Financial Officer (Principal Financial and
Accounting Officer and Duly Authorized Officer)
|
Exhibit
Number
|
|
Description of Document
|
|
10.1
|
|
|
Guaranty by Assured Guaranty Re Ltd. in favor of Assured Guaranty Re Overseas Ltd., amended and restated as of May 1, 2014
|
10.2
|
|
|
2014 Form of Executive Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan*
|
10.3
|
|
|
2014 Form of Executive Performance-Based Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan*
|
10.4
|
|
|
Terms of Performance Retention Award Four Year Installment Vesting Granted on February 5, 2014 for Participants Subject to $1 million Limit*
|
10.5
|
|
|
2014 Restricted Stock Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan*
|
10.6
|
|
|
First Amendment to Amended and Restated Strip Coverage Liquidity and Security Agreement, dated as of June 30, 2014, between Assured Guaranty Municipal Corp. and Dexia Crédit Local S.A.
|
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 Assured Guaranty Ltd.’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2014 formatted in XBRL: (i) Consolidated Balance Sheets at June 30, 2014 and December 31, 2013; (ii) Consolidated Statements of Operations for the Three and Six Months ended June 30, 2014 and 2013; (iii) Consolidated Statements of Comprehensive Income for the Three and Six Months ended June 30, 2014 and 2013 (iv) Consolidated Statement of Shareholders’ Equity for the Six Months ended June 30, 2014; (v) Consolidated Statements of Cash Flows for the Six Months ended June 30, 2014 and 2013; and (vi) Notes to Consolidated Financial Statements.
|
(a)
|
The "Participant" is
__________
______________________
|
(b)
|
The "Grant Date" is February 5, 2014
.
|
(c)
|
The number of “Covered Units” granted under this Agreement is _____ Units. Each “Unit” represents the right to receive one share of Stock on the Delivery Date, subject to the terms of this Agreement and the Plan.
|
(d)
|
The “Delivery Date” with respect to the Covered Units shall be the earliest to occur of: (i) the third anniversary of the Grant Date; (ii) the Participant’s death; and (iii) the date on which the Participant becomes Permanently Disabled.
|
AMECURRENT 708661693.5 20-May-14 16:52
|
|
|
(a)
|
Death or Disability
. If the Participant’s Date of Termination occurs due to the Participant’s death or Disability prior to the last day of the Restricted Period, the Restricted Period shall immediately lapse upon such Date of Termination.
|
(b)
|
Retirement
. If the Participant’s Date of Termination occurs due to a Retirement prior to the last day of the Restricted Period, then, only for purposes of this Section 4 (and not for purposes of determining the Pro-Rata Fraction), the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period, subject to the Participant not engaging in any Competitive Activity or any Post-Retirement Activity prior to the last day of the Restricted Period and subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not effective within the sixty-day period required by Section 7.1 of the Severance Plan or in the event that the Participant engages in a Competitive Activity or a Post-Retirement Activity prior to the last day of the Restricted Period, the Participant shall immediately forfeit all of the Covered Units.
|
(c)
|
Qualifying Termination Before a Change in Control
. If the Participant’s Date of Termination occurs due to a Qualifying Termination prior to the last day of the Restricted Period and prior to the date of a Change in Control, then the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period, subject to the Participant not engaging in any Competitive Activity prior to the last day of the Restricted Period and subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not effective within the sixty-day period required by Section 7.1 of the Severance Plan or in the event that the Participant engages in a Competitive Activity prior to the last day of the Restricted Period, the Participant shall immediately forfeit all of the Covered Units.
|
(d)
|
Qualifying Termination On or After a Change in Control
. If the Participant’s Date of Termination occurs due to a Qualifying Termination prior to the last day of the Restricted Period but on or after the date of a Change in Control that is not a Vesting Change in Control, then the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not effective within the sixty-day period required by Section 7.1 of the Severance Plan, the Participant shall immediately forfeit all of the Covered Units.
|
AMECURRENT 708661693.5 20-May-14 16:52
|
|
|
AMECURRENT 708661693.5 20-May-14 16:52
|
|
|
(a)
|
The Committee may cancel, rescind, suspend, withhold or otherwise limit or restrict the Restricted Stock Unit Award at any time if the Participant engages in any "Competitive Activity" or, in the case of a Participant whose Date of Termination has occurred due to Retirement, if the Participant engages in any Post-Retirement Activity.
|
(b)
|
Immediately prior to the Delivery Date and prior to the transfer of the shares of Stock to the Participant, the Participant shall certify, to the extent required by the Committee, in a manner acceptable to the Committee, that the Participant is not engaging and has not engaged in any Competitive Activity and, in the case of a Participant whose Date of Termination has occurred due to Retirement, that the Participant is not engaging and has not engaged in any Post-Retirement Activity. In the event a Participant has engaged in any Competitive Activity or, if applicable, any Post-Retirement Activity, prior to, or during the twelve months after, the later to occur of the Delivery Date or the last day of the Restricted Period (the “Restrictive Covenant Period”) with respect to any Covered Units, the right to delivery of shares with respect to such Covered Units may be rescinded by the Committee within two years of the last day of the Restrictive Covenant Period. In the event of any such rescission, the Participant shall pay to the Company the amount of any gain realized as a result of the prior delivery of shares applicable to the rescinded Covered Units, in such manner and on such terms and conditions as may be required by the Company, and the Company shall be entitled to set-off against the amount of any such gain any amount owed to the Participant by the Company and/or Subsidiary.
|
AMECURRENT 708661693.5 20-May-14 16:52
|
|
|
AMECURRENT 708661693.5 20-May-14 16:52
|
|
|
(a)
|
Change in Control
. The term "Change in Control" shall be defined as set forth in the Plan.
|
(b)
|
Competitive Activity
. The term “Competitive Activity” shall mean (i) the Participant’s engaging in an activity, directly or indirectly, whether as an employee, consultant, partner, principal, agent, distributor, representative, stockholder (except as a less than one percent stockholder of a publicly traded company or a less than five percent stockholder of a privately held company) or otherwise, within the United States, Bermuda, or the Cayman Islands, if such activities involve insurance or reinsurance of United States based entities or risks that are competitive with the financial guaranty insurance business then being conducted by the Company or any affiliate and which, during the period covered by the Participant's employment, were conducted by the Company or any affiliate; or (ii) the Participant’s engaging in any activity, directly or indirectly, whether on behalf of himself or herself or any other person or entity (x) to solicit any client and/or customer of the Company or any affiliate or (y) to hire any employee or former employee of the Company or any present or former affiliate of the Company or encourage any employee of the Company or affiliate to leave the employ of the Company or affiliate; or (iii) the Participant’s violation of Section 7.3 of the Severance Plan (relating to confidentiality).
|
(c)
|
Date of Termination
. A Participant's "Date of Termination" means, with respect to an employee, the date on which the Participant's employment with the Company and Subsidiaries terminates for any reason, and with respect to a Director, the date immediately following the last day on which the Participant serves as a Director; provided that a Date of Termination shall not be deemed to occur by reason of a Participant's transfer of employment between the Company and a Subsidiary or between two Subsidiaries; further provided that a Date of Termination shall not be deemed to occur by reason of a Participant's cessation of service as a Director if immediately following such cessation of service the Participant becomes or continues to be employed by the Company or a Subsidiary, nor by reason of a Participant's termination of employment with the Company or a Subsidiary if immediately following such termination of employment the Participant becomes or continues to be a Director; and further provided that a Participant's employment shall not be considered terminated while the Participant is on a leave of absence from the Company or a Subsidiary approved by the Participant's employer.
|
(d)
|
Director
. The term "Director" means a member of the Board of Directors of Assured Guaranty, Ltd., who may or may not be an employee of the Company or a Subsidiary.
|
AMECURRENT 708661693.5 20-May-14 16:52
|
|
|
(e)
|
Disability
. The Participant shall be considered to have a "Disability" during the period in which the Participant is unable, by reason of a medically determinable physical or mental impairment, to engage in any substantial gainful activity, which condition, in the opinion of a physician selected by the Committee, is expected to have a duration of not less than 120 days.
|
(f)
|
Permanent Disability
. The Participant shall be considered to be “Permanently Disabled” if he would be treated as “disabled” in accordance with the provisions of Treas. Reg. §1.409A-3(i)(4).
|
(g)
|
Post-Retirement Activity
. The term “Post-Retirement Activity” shall mean the Participant’s provision of significant commercial or business services to any one or more persons or entities, regardless of whether such entity is owned or controlled by the Participant; provided that the Participant’s devotion of reasonable time to the supervision of his personal investments, and activities involving professional, charitable, community, educational, religious and similar types of organizations, speaking engagements, membership on the boards of directors of other organizations, and similar types of activities shall not be considered Post-Retirement Activity, to the extent that the Committee, in its discretion, determines that such activities are consistent with the Participant’s Retirement. At the request of the Participant, the Committee shall determine whether a proposed activity of the Participant will be considered a Post-Retirement Activity for purposes of this Agreement. Such request shall be accompanied by a description of the proposed activities, and the Participant shall provide such additional information as the Committee may determine is necessary to make the determination. Such a determination shall be made promptly, but in no event more than 30 days after the written request, together with any additional information requested of the Participant, is delivered to the Committee.
|
(h)
|
Pro-Rata Fraction
. The term “Pro-Rata Fraction” shall mean a fraction, the numerator of which shall be equal to the number of days between the Grant Date and the Participant’s Date of Termination and the denominator of which shall be 1095.
|
(i)
|
Qualifying Termination
. The term “Qualifying Termination” is defined in Section 1 of the Severance Plan.
|
(j)
|
Retirement
. The term “Retirement” means the occurrence of a Participant’s Date of Termination due to the voluntary termination of employment with the consent of the Committee (as described below) by a Participant who meets the following requirements as of such Date of Termination: (i) the Participant is age 60 or older and (ii) the total of the Participant’s age and years of service equals or exceeds 70. For purposes of defining “Retirement,” years of service shall be determined in accordance with rules which may be established by the Committee, and shall take into account service with the Company and the Subsidiaries. If, on or before the date of the initial public offering of stock of the Company, the Participant was employed by the Company or its Subsidiaries, years of service shall also include service with ACE Limited and its subsidiaries occurring prior to such the initial public offering. For purposes of this Agreement, the Participant’s Date of
|
AMECURRENT 708661693.5 20-May-14 16:52
|
|
|
(k)
|
Severance Plan
. The term “Severance Plan” shall mean the Assured Guaranty Ltd. Executive Severance Plan.
|
(l)
|
Vesting Change in Control
. The term “Vesting Change in Control” shall mean the date of a Change in Control where this Restricted Stock Unit Award is terminated pursuant to Section 6(b) of this Agreement.
|
AMECURRENT 708661693.5 20-May-14 16:52
|
|
|
AMECURRENT 708661693.5 20-May-14 16:52
|
|
|
(a)
|
The "Participant" is
__________
______________________
|
(b)
|
The "Grant Date" is February 5, 2014
.
|
(c)
|
The number of “Covered Units” granted under this Agreement is _____ Covered Units.
|
(d)
|
The “Delivery Date” with respect to the Covered Units shall be the third anniversary of the Grant Date.
|
(e)
|
The “Performance Determination Date” is the earlier to occur of (i) December 31, 2016; (ii) the date of a Change in Control.
|
(f)
|
The “Performance Period” is January 1, 2014 through the Performance Determination Date.
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
Performance Level
|
AGO High Stock Price in Performance Period
|
% of Units Vesting (the “Performance Percentage”)
|
Outstanding
|
$36 or higher
|
200%
|
Target
|
$32
|
100%
|
Threshold
|
$28
|
35%
|
< Threshold
|
Less than $28
|
0%
|
(a)
|
Death or Disability
. If the Participant’s Date of Termination occurs due to the Participant’s death or Disability prior to the last day of the Restricted Period, the Restricted Period shall immediately lapse upon such Date of Termination.
|
(b)
|
Retirement
. If the Participant’s Date of Termination occurs due to a Retirement prior to the last day of the Restricted Period, then, only for purposes of this Section 5 (and not for purposes of determining the Pro-Rata Fraction), the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period, subject to the Participant not engaging in any Competitive Activity or any Post-Retirement Activity prior to the last day of the Restricted Period and subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not effective within the sixty-day period required by Section 7.1 of the Severance Plan or in the event that the Participant engages in a Competitive Activity or a Post-Retirement Activity prior to the last day of the Restricted Period, the Participant shall immediately forfeit all of the Covered Units.
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
(c)
|
Qualifying Termination Before a Change in Control
. If the Participant’s Date of Termination occurs due to a Qualifying Termination prior to the last day of the Restricted Period and prior to the date of a Change in Control, then, only for purposes of this Section 5 (and not for purposes of determining the Pro-Rata Fraction), the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period, subject to the Participant not engaging in any Competitive Activity prior to the last day of the Restricted Period and subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not effective within the sixty-day period required by Section 7.1 of the Severance Plan or in the event that the Participant engages in a Competitive Activity prior to the last day of the Restricted Period, the Participant shall immediately forfeit all of the Covered Units.
|
(d)
|
Qualifying Termination On or After a Change in Control
. If the Participant’s Date of Termination occurs due to a Qualifying Termination prior to the last day of the Restricted Period but on or after the date of a Change in Control that is not a Vesting Change in Control, then, only for purposes of this Section 5 (and not for purposes of determining the Pro-Rata Fraction), the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not effective within the sixty-day period required by Section 7.1 of the Severance Plan, the Participant shall immediately forfeit all of the Covered Units.
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
(a)
|
The Committee may cancel, rescind, suspend, withhold or otherwise limit or restrict the Performance-Based Restricted Stock Unit Award at any time if the Participant engages in any "Competitive Activity" or, in the case of a Participant whose Date of Termination has occurred due to Retirement, if the Participant engages in any Post-Retirement Activity.
|
(b)
|
Immediately prior to the Delivery Date (or, if earlier, a 457A Delivery Date) and prior to the transfer of the shares of Stock to the Participant, the Participant shall certify, to the extent required by the Committee, in a manner acceptable to the Committee, that the Participant is not engaging and has not engaged in any Competitive Activity and, in the case of a Participant whose Date of Termination has occurred due to Retirement, that the Participant is not engaging and has not engaged in any Post-Retirement Activity. In the event a Participant has engaged in any Competitive Activity or, if applicable, any Post-Retirement Activity, prior to, or during the twelve months after, the later to occur of the Delivery Date or the last day of the Restricted Period with respect to any Covered Units (the “Restrictive Covenant Period”), the right to delivery of shares of Stock with respect to such Covered Units (including the delivery or vesting of any Restricted Shares) may be rescinded by the Committee within two years of the end of the Restricted Covenant Period. In the event of any such rescission, the Participant shall pay to the Company the amount of any gain realized as a result of the prior delivery of shares of Stock applicable to the rescinded Covered Units, in such manner and on such terms and conditions as may be required by the Company, and the Company shall be entitled to set-off against the amount of any such gain any amount owed to the Participant by the Company and/or Subsidiary.
|
(a)
|
Notwithstanding anything in this Agreement to the contrary, the Participant’s rights with respect to the Performance-Based Restricted Stock Unit Award shall be subject to the Assured Guaranty Ltd. Executive Officer Recoupment Policy as amended from time to time.
|
(b)
|
Notwithstanding anything in this Agreement to the contrary, but subject to subparagraph (a) of this Section 14 above, this Agreement shall be subject to the terms of the Plan, a copy of which may be obtained by the Participant from the office of the Secretary of the Company; and this Agreement is subject to all interpretations, amendments, rules and regulations promulgated by the Committee from time to time pursuant to the Plan.
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
(a)
|
AGO High Stock Price
. The term “AGO High Stock Price” shall mean the highest forty-trading day average stock price of a share of Stock as traded on the New York Stock Exchange during the Performance Period.
|
(b)
|
Change in Control
. The term "Change in Control" shall be defined as set forth in the Plan.
|
(c)
|
Competitive Activity
. The term “Competitive Activity” shall mean (i) the Participant’s engaging in an activity, directly or indirectly, whether as an employee, consultant, partner, principal, agent, distributor, representative, stockholder (except as a less than one percent stockholder of a publicly traded company or a less than five percent stockholder of a privately held company) or otherwise, within the United States, Bermuda, or the Cayman Islands, if such activities involve insurance or reinsurance of United States based entities or risks that are competitive with the financial guaranty insurance business then being conducted by the Company or any affiliate and which, during the period covered by the Participant's employment, were conducted by the Company or any affiliate; or (ii) the Participant’s engaging in any activity, directly or indirectly, whether on behalf of himself or herself or any other person or entity (x) to solicit any client and/or customer of the Company or any affiliate or (y) to hire any employee or former employee of the Company or any present or former affiliate of the Company or encourage any employee of the Company or affiliate to leave the employ of the Company or affiliate; or (iii) the Participant’s violation of Section 7.3 of the Severance Plan (relating to confidentiality).
|
(d)
|
Date of Termination
. A Participant's "Date of Termination" means, with respect to an employee, the date on which the Participant's employment with the Company and Subsidiaries terminates for any reason, and with respect to a Director, the date immediately following the last day on which the Participant serves as a Director; provided that a Date of Termination shall not be deemed to occur by reason of a Participant's transfer of employment between the Company and a Subsidiary or between two Subsidiaries; further provided that a Date of Termination shall not be deemed to occur by reason of a Participant's cessation of service as a Director if immediately following such cessation of service the Participant becomes or continues to be employed by the Company or a Subsidiary, nor by reason of a Participant's termination of employment with the Company or a Subsidiary if immediately following such
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
(e)
|
Director
. The term "Director" means a member of the Board of Directors of Assured Guaranty, Ltd., who may or may not be an employee of the Company or a Subsidiary.
|
(f)
|
Disability
. The Participant shall be considered to have a "Disability" during the period in which the Participant is unable, by reason of a medically determinable physical or mental impairment, to engage in any substantial gainful activity, which condition, in the opinion of a physician selected by the Committee, is expected to have a duration of not less than 120 days.
|
(g)
|
Post-Retirement Activity
. The term “Post-Retirement Activity” shall mean the Participant’s provision of significant commercial or business services to any one or more persons or entities, regardless of whether such entity is owned or controlled by the Participant; provided that the Participant’s devotion of reasonable time to the supervision of his personal investments, and activities involving professional, charitable, community, educational, religious and similar types of organizations, speaking engagements, membership on the boards of directors of other organizations, and similar types of activities shall not be considered Post-Retirement Activity, to the extent that the Committee, in its discretion, determines that such activities are consistent with the Participant’s Retirement. At the request of the Participant, the Committee shall determine whether a proposed activity of the Participant will be considered a Post-Retirement Activity for purposes of this Agreement. Such request shall be accompanied by a description of the proposed activities, and the Participant shall provide such additional information as the Committee may determine is necessary to make the determination. Such a determination shall be made promptly, but in no event more than 30 days after the written request, together with any additional information requested of the Participant, is delivered to the Committee.
|
(h)
|
Pro-Rata Fraction
. The term “Pro-Rata Fraction” shall mean a fraction, the numerator of which shall be equal to the number of days between the Grant Date and the Participant’s Date of Termination and the denominator of which shall be 1095.
|
(i)
|
Qualifying Termination
. The term “Qualifying Termination” is defined in Section 1 of the Severance Plan.
|
(j)
|
Retirement
. The term “Retirement” means the occurrence of a Participant’s Date of Termination due to the voluntary termination of employment with the consent of the Committee (as described below) by a Participant who meets the following requirements as of such Date of Termination: (i) the Participant is age 60 or older and (ii) the total of the Participant’s age and years of service equals or exceeds 70. For purposes of defining “Retirement,” years of service shall be determined in accordance with rules which may be established by the Committee, and shall take into account service with the Company
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
(k)
|
Severance Plan
. The term “Severance Plan” shall mean the Assured Guaranty Ltd. Executive Severance Plan.
|
(l)
|
Vesting Change in Control
. The term “Vesting Change in Control” shall mean the date of a Change in Control where this Performance-Based Restricted Stock Unit Award is terminated pursuant to Section 7(b) of this Agreement.
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
AMECURRENT 708659810.7 20-May-14 16:13
|
|
|
Installment Number
:
|
First Day of Performance Period
:
|
Last Day of Performance Period
:
|
Portion of Principal Amount Attributable to Installment
:
|
1
|
January 1, 2014
|
December 31, 2015
|
25% of Principal Amount
|
2
|
January 1, 2014
|
December 31, 2016
|
25% of Principal Amount
|
3
|
January 1, 2014
|
December 31, 2017
|
50% of Principal Amount
|
(a)
|
The Award Payment for each Installment will equal the sum of the amounts described in paragraph (i) below and paragraph (ii) below:
|
(b)
|
The amount determined under both paragraph (a)(i) above and paragraph (a)(ii) above will be zero if both of the following are true:
|
(c)
|
Notwithstanding the foregoing provisions of this paragraph 2 (but subject to the provisions of paragraph 5), if:
|
(a)
|
If, in accordance with the following provisions of this paragraph 3, the Participant is vested in the Award Payment for any Performance Period, the Award Payment (if any) for that Performance Period will be due on the Payment Date as described in paragraph 4, subject to the terms of the Plan and these Award Terms. If the Participant is not vested in the Award for a Performance Period, the Participant will forfeit that Award.
|
(b)
|
If, with respect to any Installment, the Participant’s Date of Termination does not occur before the last day of the Performance Period for that Installment, the Participant will be vested in the Award Payment. Subject to paragraph 5, if the Participant’s Date of Termination occurs before the last day of the Performance Period for that Installment, the Participant will not be vested in the Award Payment for that Installment.
|
(a)
|
Except as otherwise provided in this paragraph 4, and subject to paragraphs 2(b), 2(c), and 5, the Participant’s Award Payment attributable to any Installment will be due on the last day of the Performance Period with respect to that Installment (the “Payment Date” with respect to that Installment).
|
(b)
|
The Award will be paid to the Participant in a cash lump sum in the same currency as the Principal Amount as stated in the Award Letter. Payment will be due on the Payment Date, and will be paid no later than the 15th day of the third month following the end of the Participant’s first taxable year in which the right to the payment is no longer subject to a substantial risk of forfeiture (as determined in accordance with Treas. Reg. §1.409A-1(b)(4)).
|
(c)
|
Notwithstanding the foregoing, except in the case of a Performance Period ending by reason of the Participant’s death or Permanent Disability, no payment will be made unless, on or before the date of payment, the Committee has certified that the performance goals for the Performance Period and any other material provisions of the Award Terms have in fact been satisfied.
|
(a)
|
Death
. If the Participant’s Date of Termination occurs by reason of death, the following provisions of this paragraph (a) will apply:
|
(b)
|
Permanent Disability
. If the Participant incurs a Permanent Disability prior to his Date of Termination, the following provisions of this paragraph (b) will apply:
|
(c)
|
Disability
. If the Participant’s Date of Termination occurs by reason of Disability (and unless he has previously incurred a Permanent Disability), the following provisions of this paragraph (c) will apply:
|
(d)
|
Retirement
. If the Participant’s Date of Termination occurs by reason of Retirement, the following provisions of this paragraph (d) will apply:
|
(a)
|
Notwithstanding anything in this Agreement to the contrary, the Participant’s rights with respect to the Award shall be subject to the Assured Guaranty Ltd. Executive Officer Recoupment Policy as amended from time to time.
|
(b)
|
The Award Payments described in the Award Letter are granted under and pursuant to the terms of the Plan and Section 4 (relating to Cash Incentive Awards) of the Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (the "LTIP") and are intended to constitute performance-based compensation as that term is used in the LTIP and section 162(m) of the Code. In no event may the amount payable under these Award Terms, when added to any other amounts payable under Section 4 of the LTIP to the Participant that are intended to constitute “performance-based compensation” as that term is used in the LTIP and section 162(m) of the Code, exceed the limit imposed by Section 5.2(e)(v) of the LTIP for the applicable performance period. Subject to paragraph (a) above, the terms of this Agreement shall be subject to the terms of the LTIP and the Plan, and this Agreement is subject to all interpretations, amendments, rules and regulations promulgated by the Committee from time to time pursuant to the LTIP and the Plan.
|
(a)
|
The Committee may cancel, rescind, suspend, withhold or otherwise limit or restrict the Performance Retention Award at any time if the Participant engages in any "Competitive Activity" or, in the case of a Participant whose Date of Termination has occurred due to Retirement, if the Participant engages in any Post-Retirement Activity.
|
(b)
|
Immediately prior to the Payment Date with respect to an Installment and prior to the payment of the Award Payment attributable to such Installment to the Participant, the Participant shall certify, to the extent required by the Committee, in a manner acceptable to the Committee, that the Participant is not engaging and has not engaged in any Competitive Activity and, in the case of a Participant whose Date of Termination has occurred due to Retirement, that the Participant is not engaging and has not engaged in any Post-Retirement Activity. In the event a Participant has engaged in any Competitive Activity or, if applicable, any Post-Retirement Activity, prior to, or during the twelve months after, the Payment Date with respect to any Installment (the “Restrictive Covenant Period”), the right to payment of the Award Payment attributable to such Installment may be rescinded by the Committee within two years of the end of the Restricted Covenant Period. In the event of any such rescission, the Participant shall pay to the Company the amount Award Payment attributable to such Installment, in such manner and on such terms and conditions as may be required by the Company, and the Company shall be entitled to set-off against the amount of any such gain any amount owed to the Participant by the Company and/or Subsidiary.
|
(a)
|
Adjusted Book Value
. The “Adjusted Book Value” of the Company as of any date shall equal shareholders’ equity attributable to Assured Guaranty Ltd. (which excludes noncontrolling interest in consolidated entities), as reported under accounting principles generally accepted in the United States of America (GAAP), adjusted for the following:
|
(b)
|
Competitive Activity
. The term “Competitive Activity” shall mean (i) the Participant’s engaging in an activity, directly or indirectly, whether as an employee, consultant, partner, principal, agent, distributor, representative, stockholder (except as a less than one percent stockholder of a publicly traded company or a less than five percent stockholder of a privately held company) or otherwise, within the United States, Bermuda, or the Cayman Islands, if such activities involve insurance or reinsurance of United States based entities or risks that are competitive with the financial guaranty insurance business then being conducted by the Company or any affiliate and which, during the period covered by the Participant's employment, were conducted by the Company or any affiliate; or (ii) the Participant’s engaging in any activity, directly or indirectly, whether on behalf of himself or herself or any other person or entity (x) to solicit any client and/or customer of the Company or any affiliate or (y) to hire any employee or former employee of the Company or any present or former affiliate of the Company or encourage any employee of the Company or affiliate to leave the employ of the Company or affiliate; or (iii) the Participant’s use or disclosure, without the prior written consent of the Company, to any person (other than an employee of either of the Company or a Subsidiary, or other person, to whom disclosure is necessary to the performance by the Participant of his or her duties in the employ of the Company or Subsidiary) of any confidential or proprietary information about the Company or any affiliate or their business, unless and until such information has become known to the public generally (other than as a result of unauthorized disclosure by the Participant).
|
(c)
|
Date of Termination
. A Participant's “Date of Termination” means the first day on which the Participant is not employed by the Company or any Subsidiary, regardless of the reason for the termination of employment; provided that a termination of employment shall not be deemed to occur by reason of a transfer of the Participant between the Company and a Subsidiary or between two Subsidiaries, nor by reason of a Participant’s termination of employment with the Company or a Subsidiary if immediately following such termination of employment the Participant continues to be or becomes a Director; and further provided that the Participant’s employment shall not be considered terminated while the Participant is on a leave of absence from the Company or a Subsidiary approved by the Participant’s employer. If, as a result of a sale or other transaction, the Participant’s employer ceases to be a Subsidiary (and the Participant’s employer is or becomes an entity that is separate from the Company), and the Participant is not, at the end of the 30‑day period following the transaction, employed by the Company or an entity that is then a Subsidiary, then the occurrence of such transaction shall be treated as the Date of Termination.
|
(d)
|
Director
. The term "Director" means a member of the Board, who may or may not be an employee of the Company or a Subsidiary.
|
(e)
|
Disabled
. The Participant shall be considered to have a "Disability" during the period in which the Participant is unable, by reason of a medically determinable physical or mental impairment, to engage in any substantial gainful activity, which condition, in the opinion of a physician selected by the Committee, is expected to have a duration of not less than 180 days. The Participant shall be considered to be Permanently Disabled if he would be treated as “disabled” in accordance with the provisions of Treas. Reg. §1.409A-3(i)(4).
|
(f)
|
Operating Return on Equity
. Operating Return on Equity represents operating income (as defined below) for the specified period divided by the average of operating shareholders' equity at the beginning and the end of that period. Operating shareholders’ equity is a non-GAAP financial measure calculated as shareholders’ equity attributable to Assured Guaranty Ltd. as reported under GAAP, adjusted for the following:
|
(g)
|
Operating Income
. Operating income is a non-GAAP financial measure defined as net income (loss) attributable to Assured Guaranty Ltd., as reported under GAAP, adjusted for the following:
|
(h)
|
Performance Period
. The “Performance Period” will be determined in accordance with paragraph 1.
|
(i)
|
Plan
. “Plan” means the Assured Guaranty Ltd. Performance Retention Plan.
|
(j)
|
Post-Retirement Activity
. The term “Post-Retirement Activity” shall mean the Participant’s provision of significant commercial or business services to any one or more persons or entities such that the Participant will not be considered to have retired (or have terminated by reason of Retirement) pursuant to paragraph 9(l)(iii) below.
|
(k)
|
Principal Amount
. The "Principal Amount" with respect to the Participant will be the Principal Amount as stated in the Award Letter.
|
(l)
|
Retirement
. “Retirement" of a Participant will be determined in accordance with the following:
|
(a)
|
The "Director" is _______________.
|
(b)
|
The "Grant Date" is May 7, 2014.
|
(c)
|
The number of "Covered Shares" shall be __________ shares of Stock.
|
Error! Document Variable not defined.
|
|
|
|
|
ASSURED GUARANTY MUNICIPAL CORP.
|
|
|
|
By:
/s/ Bruce Stern
|
|
|
|
Name:
Bruce Stern
|
|
|
|
Title:
Executive Officer
|
|
|
|
|
|
|
|
DEXIA CRÉDIT LOCAL S.A., ACTING THROUGH ITS NEW YORK BRANCH
|
|
|
|
By:
/s/ Guy Cools
|
|
|
|
Name:
Guy Cools
|
|
|
|
Title:
General Manager
|
Period Beginning
|
Period Ending
|
Aggregate Strip Policy Exposure
|
July 1, 2009
|
July 31, 2009
|
2,377,492,109
|
August 1, 2009
|
August 31, 2009
|
2,376,812,775
|
September 1, 2009
|
September 30, 2009
|
2,376,168,422
|
October 1, 2009
|
October 31, 2009
|
2,375,413,380
|
November 1, 2009
|
November 30, 2009
|
2,374,544,702
|
December 1, 2009
|
December 31, 2009
|
2,373,714,427
|
January 1, 2010
|
January 31, 2010
|
2,391,866,640
|
February 1, 2010
|
February 28, 2010
|
2,415,436,687
|
March 1, 2010
|
March 31, 2010
|
2,412,231,732
|
April 1, 2010
|
April 30, 2010
|
2,410,760,494
|
May 1, 2010
|
May 31, 2010
|
2,409,276,523
|
June 1, 2010
|
June 30, 2010
|
2,407,671,880
|
July 1, 2010
|
July 31, 2010
|
2,405,844,823
|
August 1, 2010
|
August 31, 2010
|
2,403,963,179
|
September 1, 2010
|
September 30, 2010
|
2,402,115,104
|
October 1, 2010
|
October 31, 2010
|
2,400,165,733
|
November 1, 2010
|
November 30, 2010
|
2,398,036,121
|
December 1, 2010
|
December 31, 2010
|
2,395,834,754
|
January 1, 2011
|
January 31, 2011
|
2,401,095,965
|
February 1, 2011
|
February 28, 2011
|
2,399,507,717
|
March 1, 2011
|
March 31, 2011
|
2,395,591,296
|
April 1, 2011
|
April 30, 2011
|
2,392,964,434
|
May 1, 2011
|
May 31, 2011
|
2,390,219,328
|
June 1, 2011
|
June 30, 2011
|
2,387,375,615
|
July 1, 2011
|
July 31, 2011
|
2,384,246,134
|
August 1, 2011
|
August 31, 2011
|
2,381,131,664
|
September 1, 2011
|
September 30, 2011
|
2,378,046,613
|
October 1, 2011
|
October 31, 2011
|
2,374,838,258
|
November 1, 2011
|
November 30, 2011
|
2,371,597,895
|
December 1, 2011
|
December 31, 2011
|
2,368,387,110
|
January 1, 2012
|
January 31, 2012
|
2,373,213,557
|
February 1, 2012
|
February 29, 2012
|
2,370,220,952
|
March 1, 2012
|
March 31, 2012
|
2,366,564,241
|
October 1, 2015
|
October 31, 2015
|
2,194,203,161
|
November 1, 2015
|
November 30, 2015
|
2,187,896,298
|
December 1, 2015
|
December 31, 2015
|
2,195,486,468
|
January 1, 2016
|
January 31, 2016
|
2,198,525,981
|
February 1, 2016
|
February 29, 2016
|
2,189,917,057
|
March 1, 2016
|
March 31, 2016
|
2,182,823,128
|
April 1, 2016
|
April 30, 2016
|
2,176,274,157
|
May 1, 2016
|
May 31, 2016
|
2,169,531,693
|
June 1, 2016
|
June 30, 2016
|
2,162,824,228
|
July 1, 2016
|
July 31, 2016
|
2,155,381,625
|
August 1, 2016
|
August 31, 2016
|
2,148,443,279
|
September 1, 2016
|
September 30, 2016
|
2,141,608,693
|
October 1, 2016
|
October 31, 2016
|
2,134,634,455
|
November 1, 2016
|
November 30, 2016
|
2,127,666,481
|
December 1, 2016
|
December 31, 2016
|
2,120,736,261
|
January 1, 2017
|
January 31, 2017
|
2,108,861,399
|
February 1, 2017
|
February 28, 2017
|
2,082,606,516
|
March 1, 2017
|
March 31, 2017
|
2,075,209,676
|
April 1, 2017
|
April 30, 2017
|
2,067,053,201
|
May 1, 2017
|
May 31, 2017
|
2,059,264,166
|
June 1, 2017
|
June 30, 2017
|
2,051,494,059
|
July 1, 2017
|
July 31, 2017
|
2,043,431,019
|
August 1, 2017
|
August 31, 2017
|
2,035,278,901
|
September 1, 2017
|
September 30, 2017
|
2,027,015,350
|
October 1, 2017
|
October 31, 2017
|
2,018,457,734
|
November 1, 2017
|
November 30, 2017
|
2,009,775,411
|
December 1, 2017
|
December 31, 2017
|
2,000,991,526
|
January 1, 2018
|
January 31, 2018
|
1,981,502,007
|
February 1, 2018
|
February 28, 2018
|
1,958,852,315
|
March 1, 2018
|
March 31, 2018
|
1,951,174,577
|
April 1, 2018
|
April 30, 2018
|
1,942,912,963
|
May 1, 2018
|
May 31, 2018
|
1,934,894,489
|
June 1, 2018
|
June 30, 2018
|
1,927,018,421
|
July 1, 2018
|
July 31, 2018
|
1,916,705,996
|
August 1, 2018
|
August 31, 2018
|
1,908,837,507
|
September 1, 2018
|
September 30, 2018
|
1,900,989,624
|
October 1, 2018
|
October 31, 2018
|
1,892,971,066
|
November 1, 2018
|
November 30, 2018
|
1,884,868,399
|
December 1, 2018
|
December 31, 2018
|
1,876,869,329
|
January 1, 2019
|
January 31, 2019
|
1,862,747,846
|
February 1, 2019
|
February 28, 2019
|
1,834,882,736
|
March 1, 2019
|
March 31, 2019
|
1,827,371,695
|
October 1, 2022
|
October 31, 2022
|
1,324,146,768
|
November 1, 2022
|
November 30, 2022
|
1,314,669,010
|
December 1, 2022
|
December 31, 2022
|
1,305,839,484
|
January 1, 2023
|
January 31, 2023
|
1,278,862,964
|
February 1, 2023
|
February 28, 2023
|
1,267,881,882
|
March 1, 2023
|
March 31, 2023
|
1,254,823,047
|
April 1, 2023
|
April 30, 2023
|
1,246,055,784
|
May 1, 2023
|
May 31, 2023
|
1,237,841,489
|
June 1, 2023
|
June 30, 2023
|
1,229,677,115
|
July 1, 2023
|
July 31, 2023
|
1,221,573,826
|
August 1, 2023
|
August 31, 2023
|
1,213,417,516
|
September 1, 2023
|
September 30, 2023
|
1,205,325,436
|
October 1, 2023
|
October 31, 2023
|
1,197,337,628
|
November 1, 2023
|
November 30, 2023
|
1,189,381,212
|
December 1, 2023
|
December 31, 2023
|
1,181,545,972
|
January 1, 2024
|
January 31, 2024
|
1,159,066,086
|
February 1, 2024
|
February 29, 2024
|
1,151,089,124
|
March 1, 2024
|
March 31, 2024
|
1,142,724,470
|
April 1, 2024
|
April 30, 2024
|
1,134,342,071
|
May 1, 2024
|
May 31, 2024
|
1,125,942,322
|
June 1, 2024
|
June 30, 2024
|
1,117,546,032
|
1.
|
I have reviewed this quarterly report on Form 10-Q 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 quarterly report on Form 10-Q 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.
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/s/ DOMINIC J. FREDERICO
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Name: Dominic J. Frederico
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Title:
President and Chief Executive Officer
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Date: August 8, 2014
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(1)
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The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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(2)
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The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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/s/ ROBERT A. BAILENSON
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Name: Robert A. Bailenson
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Title:
Chief Financial Officer
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Date: August 8, 2014
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