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ý
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ANNUAL 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
(State or other jurisdiction of
incorporation or organization)
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98-0429991
(I.R.S. Employer Identification No.)
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Title of each class
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Name of each exchange on which registered
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Common Shares, $0.01 per share
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New York Stock Exchange, Inc.
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Large accelerated filer
ý
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Accelerated filer
o
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Non-accelerated filer
o
(Do not check if a
smaller reporting company)
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Smaller reporting company
o
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•
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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 any securities AGL or any of its subsidiaries have issued, and/or of transactions that AGL’s subsidiaries have insured;
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•
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reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty's insurance;
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•
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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);
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•
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the possibility that budget shortfalls or other factors will result in credit losses or impairments on obligations of state and local governments that Assured Guaranty insures or reinsures;
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•
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the failure of Assured Guaranty to realize loss recoveries that are assumed in its expected loss estimates;
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•
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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;
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increased competition, including from new entrants into the financial guaranty industry;
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•
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rating agency action on obligors, including sovereign debtors, resulting in a reduction in the value of securities in Assured Guaranty's investment portfolio and in collateral posted by and to Assured Guaranty;
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the inability of Assured Guaranty to access external sources of capital on acceptable terms;
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•
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changes in the world’s credit markets, segments thereof, interest rates or general economic conditions;
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the impact of market volatility on the mark-to-market of Assured Guaranty’s contracts written in credit default swap form;
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changes in applicable accounting policies or practices;
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changes in applicable laws or regulations, including insurance and tax laws, or other governmental actions;
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difficulties with the execution of Assured Guaranty’s business strategy;
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loss of key personnel;
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the effects of mergers, acquisitions and divestitures;
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natural or man-made catastrophes;
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other risks and uncertainties that have not been identified at this time;
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management’s response to these factors; and
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other risk factors identified in AGL’s filings with the U.S. Securities and Exchange Commission (the “SEC”).
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ITEM 1.
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BUSINESS
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•
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Sustained low interest rate environment in the U.S.
Within the last five years, interest rates in the U.S. have been at low levels by historical standards. In fact, benchmark AAA yields, as reflected by the 30 year Municipal Market Date index published by Thomson Reuters, a widely followed industry index, were 133 basis points lower at the end of 2014 than at the beginning of such year. As a result, the difference in yield (or the credit spread) between a bond insured by Assured Guaranty and an uninsured bond has provided comparatively little room for issuer savings and insurance premium, and Assured Guaranty has seen a lower demand for its financial guaranty insurance from issuers than it had prior to 2009.
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•
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Continued low volume of issuance in the U.S. public finance market.
According to industry compilations, U.S. municipalities issued only $314.9 billion of bonds in 2014, up only 1% from 2013 (which had been 15% less than in 2012). With the exception of 2011, the 2013 volume of issuance in the U.S. public finance market was the lowest since 2001 and 2014 was similar by comparison. In 2015, the Company expects the volume of issuance to continue to be low, in light of austerity measures municipalities have been implementing in order to address budget shortfalls, including those resulting from increased pension and healthcare costs.
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•
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Increased competition.
The Company estimates, based on third party industry compilations, that of the insured U.S. public finance bonds issued in the primary market in 2014, the Company insured approximately 57.9% of the par, while Build America Mutual Assurance Company ("BAM"), insured 40.3% of the par. National Public Finance Guarantee Corporation, an affiliate of MBIA Insurance Corporation ("MBIA"), insured the remaining 1.8% of the balance. The continued presence in the market of BAM, as well as new entrants, affects the Company's insured volume as well as the amount of premium the Company is able to charge.
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•
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Continued uncertainty over the Company's financial strength ratings.
When Assured Guaranty issues a financial guaranty on a debt obligation, the rating agencies generally raise the debt or short-term credit ratings of the obligation to the same rating as the financial strength rating of the Assured Guaranty subsidiary that has guaranteed that obligation. Accordingly, investors in products insured by AGM, MAC, AGE or AGC frequently rely on rating agency ratings, and a failure of the insurer to maintain strong financial strength ratings or uncertainty over such ratings would have a negative impact on the demand for its insurance product. The Company's financial strength ratings have been subject to substantial uncertainty in the years subsequent to the financial crisis due to changes in rating agency methodologies for rating financial guaranty insurance companies, periodic rating agency reviews for possible downgrade and actual downgrades. The uncertainty over the Company's financial strength ratings over time has had a negative effect on the demand for the Company's financial guaranties. If the financial strength rating of one or more of the Company's insurance subsidiaries were reduced below current levels, the Company expects that would reduce the number of transactions that would benefit from the Company's insurance and consequently harm the Company's new business opportunities.
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•
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Portfolio Risk Management Committee
—This committee establishes company-wide credit policy for the Company's direct and assumed business. It implements specific underwriting procedures and limits for the Company and allocates underwriting capacity among the Company's subsidiaries. The Portfolio Risk Management Committee focuses on measuring and managing credit, market and liquidity risk for the overall company. All transactions in new asset classes or new jurisdictions must be approved by this committee.
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•
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U.S. Management Committee
—This committee establishes strategic policy and reviews the implementation of strategic initiatives and general business progress in the U.S. The U.S. Management Committee approves risk policy at the U.S. operating company level.
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•
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Risk Management Committees
—The U.S., U.K. and AG Re risk management committees conduct an in-depth review of the insured portfolios of the relevant subsidiaries, focusing on varying portions of the portfolio at each
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•
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Workout Committee
—This committee receives reports from Surveillance and Workout personnel on transactions that might benefit from active loss mitigation or risk reduction, and approves loss mitigation or risk reduction strategies for such transactions.
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•
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Reserve Committees
—Oversight of reserving risk is vested in the U.S. Reserve Committee, the AG Re Reserve Committee and the U.K. Reserve Committee. The committees review the reserve methodology and assumptions for each major asset class or significant BIG transaction, as well as the loss projection scenarios used and the probability weights assigned to those scenarios. The reserve committees establish reserves for the relevant subsidiaries, taking into consideration supporting information provided by Surveillance personnel.
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•
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Instability of Rating Criteria and Methodologies.
Rating agencies purport to issue ratings pursuant to published rating criteria and methodologies. In recent years, the rating agencies have made material changes to their rating criteria and methodologies applicable to financial guaranty insurers, sometimes through formal changes and other times through
ad hoc
adjustments to the conclusions reached by existing criteria. Furthermore, these criteria and methodology changes are typically implemented without any transition period, making it difficult for an insurer to comply quickly with new standards.
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•
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Instability of Severe Stress Case Loss Assumptions.
A major component in arriving at a financial guaranty insurer's rating has been the rating agency’s assessment of the insurer’s capital adequacy, with each rating agency employing its own proprietary model. These capital adequacy approaches include “stress case” loss assumptions for various risks or risk categories. Since the financial crisis, the rating agencies have at various times materially increased stress case loss assumptions for various risks or risk categories, in some cases later reducing such stress case losses. This approach has made predicting the amount of capital required to maintain or attain a certain rating more difficult.
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•
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More Reliance on Qualitative Rating Criteria.
In prior years, the financial strength ratings of the Company’s insurance company subsidiaries were largely consistent with the rating agency’s assessment of the insurers’ capital adequacy, such that a rating downgrade could generally be avoided by raising additional capital or otherwise improving capital adequacy under the rating agency’s model. In recent years, however, both S&P and Moody’s have applied other factors, some of which are subjective, such as the insurer's business strategy and franchise value or the anticipated future demand for its product, to justify ratings for the Company’s insurance company subsidiaries significantly below the ratings implied by their own capital adequacy models. Currently, for example, S&P has concluded that AGM has “AAA” capital adequacy under the S&P model (but subject to a downward adjustment due to a “large obligor test”) and Moody’s has concluded that AGM has “Aa” capital adequacy under the Moody’s model (offset by other factors including the rating agency’s assessment of competitive profile, future profitability and market share).
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AGM is a New York domiciled insurance company licensed to write financial guaranty insurance and reinsurance in 50 U.S. states, the District of Columbia, Guam, Puerto Rico and the U.S. Virgin Islands.
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MAC is a New York domiciled insurance company licensed to write financial guaranty insurance and reinsurance in 50 U.S. states and the District of Columbia. MAC will only insure U.S. public finance debt obligations, focusing on investment grade bonds in select sectors of that market.
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•
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AGC is a Maryland domiciled insurance company licensed to write financial guaranty insurance and reinsurance (which is classified in some states as surety or another line of insurance) in 50 U.S. states, the District of Columbia and Puerto Rico. AGC is registered as a foreign company in Australia and currently operates through a representative office in Sydney; it currently intends to withdraw its registration in Australia effective March 31, 2015.
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with respect to policies written prior to July 1, 1989, in an amount equal to 50% of earned premiums less permitted reductions; and
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with respect to policies written on and after July 1, 1989, quarterly on a pro rata basis over a period of 20 years for municipal bonds and 15 years for all other obligations, in an amount equal to the greater of 50% of premiums written for the relevant category of insurance or a percentage of the principal guaranteed, varying from 0.55% to 2.50%, depending on the type of obligation guaranteed, until the contingency reserve amount for the category equals the applicable percentage of net unpaid principal. The contingency reserve is then taken down over the same period of time that it was established.
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the insured average annual debt service for a single risk, net of qualifying reinsurance and collateral, or
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the insured unpaid principal (reduced by the extent to which the unpaid principal of the supporting assets exceeds the insured unpaid principal) divided by nine, net of qualifying reinsurance and collateral, may not exceed 10% of the sum of the insurer's policyholders' surplus and contingency reserves, subject to certain conditions.
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•
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The minimum share capital must be always issued and outstanding and cannot be reduced. For AG Re, which is registered as a Class 3B insurer, the minimum share capital is $120,000. For AGRO, which is registered both as a Class 3A and a Class C long-term insurer, the minimum share capital is $370,000.
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With respect to the distribution (including repurchase of shares) of any share capital, contributed surplus or other statutory capital:
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(a)
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any such distribution that would reduce AG Re's or AGRO's total statutory capital by 15% or more of their respective total statutory capital as set out in their previous year's financial statements requires the prior approval of the Authority. Any application for such approval must include an affidavit stating that the company will continue to meet the required margins; and
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(b)
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as a Class C long-term insurer, AGRO may not use the funds allocated to its long-term business fund, directly or indirectly, for any purpose other than a purpose of its long-term business except in so far as such payment can be made out of any surplus certified by AGRO's approved actuary to be available for distribution otherwise than to policyholders;
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•
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With respect to the declaration and payment of dividends:
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(a)
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each of AG Re and AGRO is prohibited from declaring or paying any dividends during any financial year if it is in breach of its solvency margin, minimum liquidity ratio or enhanced capital requirement, or if the declaration or payment of such dividends would cause such a breach (if it has failed to meet its minimum solvency margin or minimum liquidity ratio on the last day of any financial year, the insurer will be prohibited, without the approval of the Authority, from declaring or paying any dividends during the next financial year). Dividends, are paid out of each insurer's statutory surplus and, therefore, dividends cannot exceed such surplus. See "—Minimum Solvency Margin and Enhanced Capital Requirements" above and "—Minimum Liquidity Ratio" below;
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(b)
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an insurer which at any time fails to meet its minimum solvency margin or comply with the enhanced capital requirement may not declare or pay any dividend until the failure is rectified, and also in such circumstances the insurer must report, within 14 days after becoming aware of its failure or having reason to believe that such failure has occurred, to the Authority in writing giving particulars of the circumstances leading to the failure and giving a plan detailing the manner, specific actions to be taken and time frame in which the insurer intends to rectify the failure. A failure to comply with the enhanced capital requirement will also result in the insurer furnishing certain other information to the Authority within 45 days after becoming aware of its failure or having reason to believe that such failure has occurred;
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(c)
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as a Class 3B insurer, AG Re may not declare or pay, in any financial year, dividends of more than 25% of its total statutory capital and surplus (as set out on its previous year's financial statements) unless it files (at least
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(d)
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as a Class C long-term insurer, AGRO may not declare or pay a dividend to any person other than a policyholder unless the value of the assets of its long-term business fund, as certified by AGRO's approved actuary, exceeds the extent (as so certified) of the liabilities of AGRO's long-term business, and the amount of any such dividend shall not exceed the aggregate of (1) that excess; and (2) any other funds properly available for the payment of dividends being funds arising out of AGRO's business other than its long-term business.
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•
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the PRA, a subsidiary of the Bank of England, is responsible for prudential regulation of key systemically important firms (which includes insurance companies, among others), and
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•
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the FCA is responsible for the prudential regulation of all non-PRA firms, the conduct of business regulation of all firms and the regulation of market conduct.
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an insurer's head office, and in particular its mind and management, must be in the United Kingdom if it is incorporated in the United Kingdom;
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•
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an insurer's business must be conducted in a prudent manner — in particular, the insurer must maintain appropriate financial and non-financial resources;
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•
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the insurer must be fit and proper, and be appropriately staffed; and
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•
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the insurer and its group must be capable of being effectively supervised.
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•
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assets and liabilities are generally to be valued at their market value;
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•
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the amount of required economic capital is intended to ensure, with a probability of 99.5%, that regulated firms are able to meet their obligations to policyholders and beneficiaries over the following 12 months; and
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•
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reinsurance recoveries will be treated as a separate asset (rather than being netted against the underlying insurance liabilities).
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ITEM 1A.
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RISK FACTORS
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•
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For approximately
$5.9 billion
of such contracts, AGC has negotiated caps such that the posting requirement cannot exceed a certain fixed amount, regardless of the mark-to-market valuation of the exposure or the financial strength ratings of AGC. For such contracts, AGC need not post on a cash basis more than
$665 million
, although the value of the collateral posted may exceed such fixed amount depending on the advance rate agreed with the counterparty for the particular type of collateral posted.
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•
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For the remaining approximately
$242 million
of such contracts, AGC or AGRO could be required from time to time to post additional collateral without such cap based on movements in the mark-to-market valuation of the underlying exposure.
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•
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the Company is 25% or more owned directly, indirectly through foreign entities or by attribution by U.S. Persons;
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•
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the gross RPII of AG Re or any other AGL foreign subsidiary engaged in the insurance business that has not made an election under section 953(d) of the Code to be treated as a U.S. corporation for all U.S. tax purposes or are CFCs owned directly or indirectly by AGUS (each, with AG Re, a "Foreign Insurance Subsidiary") were to equal or exceed 20% of such Foreign Insurance Subsidiary's gross insurance income in any taxable year; and
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•
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direct or indirect insureds (and persons related to such insureds) own (or are treated as owning directly or indirectly through entities) 20% or more of the voting power or value of the Company's shares.
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•
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With respect to income, the dividends that AGL receives from its subsidiaries should be exempt from U.K. corporation tax under the exemption contained in section 931D of the Corporation Tax Act 2009.
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•
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With respect to capital gains, if AGL were to dispose of shares in its direct subsidiaries or if it were deemed to have done so, it may realize a chargeable gain for U.K. tax purposes. Any tax charge would be based on AGL’s original acquisition cost. It is anticipated that any such future gain should qualify for exemption under the substantial shareholding exemption in Schedule 7AC to the Taxation of Chargeable Gains Act 1992. However, the availability of such exemption would depend on facts at the time of disposal, in particular the “trading” nature of the activities of the Assured Guaranty group and of the relevant subsidiary. There is no statutory definition of what constitutes “trading” activities for this purpose and in practice reliance is placed on the published guidance of HMRC.
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•
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investor perceptions of the Company, its prospects and that of the financial guaranty industry and the markets in which the Company operates;
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•
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the Company's operating and financial performance;
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the Company's access to financial and capital markets to raise additional capital, refinance its debt or replace existing senior secured credit and receivables-backed facilities;
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the Company's ability to repay debt;
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the Company's dividend policy;
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future sales of equity or equity-related securities;
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•
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changes in earnings estimates or buy/sell recommendations by analysts; and
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general financial, economic and other market conditions.
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ITEM 1B.
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UNRESOLVED STAFF COMMENTS
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ITEM 2.
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PROPERTIES
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ITEM 3.
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LEGAL PROCEEDINGS
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•
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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
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•
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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.
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ITEM 4.
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MINE SAFETY DISCLOSURES
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Name
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Age
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Position(s)
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Dominic J. Frederico
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62
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President and Chief Executive Officer; Deputy Chairman
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James M. Michener
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62
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General Counsel and Secretary
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Robert B. Mills
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65
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Chief Operating Officer *
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Russell B. Brewer II
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57
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Chief Surveillance Officer
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Robert A. Bailenson
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48
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Chief Financial Officer
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Bruce E. Stern
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60
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Executive Officer
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Howard W. Albert
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55
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Chief Risk Officer
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*
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On February 4, 2015, Assured Guaranty Ltd. agreed with Robert B. Mills, the Company’s current Chief Operating Officer, that the position of Chief Operating Officer would be eliminated, and as a result, Mr. Mills would separate from the Company effective March 31, 2015.
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ITEM 5.
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MARKET FOR REGISTRANT'S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES
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2014
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2013
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Sales Price
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Cash
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Sales Price
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Cash
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High
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Low
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Dividends
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High
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Low
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Dividends
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||||||||||||
First Quarter
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$
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26.76
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$
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20.44
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$
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0.11
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$
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21.30
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$
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13.95
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$
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0.10
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Second Quarter
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26.78
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23.10
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0.11
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24.73
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18.92
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0.10
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||||||
Third Quarter
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24.91
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21.61
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0.11
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23.64
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18.42
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0.10
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Fourth Quarter
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26.79
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20.02
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0.11
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24.81
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17.80
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0.10
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Period
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Total
Number of
Shares
Purchased
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Average
Price Paid
Per Share
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Total Number of
Shares Purchased as
Part of Publicly
Announced Program (1)
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Maximum Number (or Approximate Dollar Value)
of Shares that
May Yet Be
Purchased
Under the Program(2)
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||||||
October 1 - October 31
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2,641,854
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$
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22.04
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2,641,854
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$
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303,875,524
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November 1 - November 30
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1,641,333
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$
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24.35
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1,641,333
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$
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263,913,812
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December 1 - December 31
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2,105,000
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$
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25.67
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2,105,000
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$
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209,872,429
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Total
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6,388,187
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$
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23.83
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6,388,187
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(1)
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After giving effect to repurchases since the beginning of 2013 through February 26, 2015, the Company has repurchased a total of 40.5 million common shares for approximately $946 million, excluding commissions, at an average price of $23.36 per share. On August 6, 2014, the Company's board of directors approved an incremental $400 million share repurchase authorization, out of which
$118 million
of capacity to repurchase remains as of the filing date.
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(2)
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Excludes commissions.
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Assured Guaranty
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S&P 500 Index
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S&P 500
Financial Index
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||||||
12/31/2009
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$
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100.00
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$
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100.00
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$
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100.00
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12/31/2010
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82.17
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115.06
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112.13
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12/31/2011
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61.81
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117.49
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93.00
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12/31/2012
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68.71
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|
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136.27
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119.73
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12/31/2013
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116.01
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180.40
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162.34
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12/31/2014
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130.16
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205.05
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|
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186.97
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ITEM 6.
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SELECTED FINANCIAL DATA
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|
Year Ended December 31,
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||||||||||||||||||
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2014
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2013
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2012
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2011
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2010
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||||||||||
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(dollars in millions, except per share amounts)
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||||||||||||||||||
Statement of operations data:
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||||||||||
Revenues:
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||||||||||
Net earned premiums
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$
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570
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|
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$
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752
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|
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$
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853
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|
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$
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920
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|
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$
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1,187
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Net investment income
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403
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|
|
393
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|
|
404
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|
|
396
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|
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361
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|
|||||
Net realized investment gains (losses)
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(60
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)
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|
52
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|
|
1
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|
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(18
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)
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|
(2
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)
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|||||
Realized gains and other settlements on credit derivatives
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23
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|
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(42
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)
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|
(108
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)
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|
6
|
|
|
153
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|
|||||
Net unrealized gains (losses) on credit derivatives
|
800
|
|
|
107
|
|
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(477
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)
|
|
554
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|
|
(155
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)
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|||||
Fair value gains (losses) on committed capital securities
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(11
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)
|
|
10
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|
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(18
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)
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|
35
|
|
|
9
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|||||
Fair value gains (losses) on financial guaranty variable interest entities
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255
|
|
|
346
|
|
|
191
|
|
|
(146
|
)
|
|
(274
|
)
|
|||||
Other income (loss)
|
14
|
|
|
(10
|
)
|
|
108
|
|
|
58
|
|
|
34
|
|
|||||
Total revenues
|
1,994
|
|
|
1,608
|
|
|
954
|
|
|
1,805
|
|
|
1,313
|
|
|||||
Expenses:
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss and loss adjustment expenses
|
126
|
|
|
154
|
|
|
504
|
|
|
448
|
|
|
412
|
|
|||||
Amortization of deferred acquisition costs
(1)
|
25
|
|
|
12
|
|
|
14
|
|
|
17
|
|
|
22
|
|
|||||
Assured Guaranty Municipal Holdings Inc. acquisition-related expenses
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|||||
Interest expense
|
92
|
|
|
82
|
|
|
92
|
|
|
99
|
|
|
100
|
|
|||||
Other operating expenses
(1)
|
220
|
|
|
218
|
|
|
212
|
|
|
212
|
|
|
238
|
|
|||||
Total expenses
|
463
|
|
|
466
|
|
|
822
|
|
|
776
|
|
|
779
|
|
|||||
Income (loss) before (benefit) provision for income taxes
|
1,531
|
|
|
1,142
|
|
|
132
|
|
|
1,029
|
|
|
534
|
|
|||||
Provision (benefit) for income taxes
|
443
|
|
|
334
|
|
|
22
|
|
|
256
|
|
|
50
|
|
|||||
Net income (loss)
|
1,088
|
|
|
808
|
|
|
110
|
|
|
773
|
|
|
484
|
|
|||||
Earnings (loss) per share:
|
|
|
|
|
|
|
|
|
|
||||||||||
Basic
|
$
|
6.30
|
|
|
$
|
4.32
|
|
|
$
|
0.58
|
|
|
$
|
4.21
|
|
|
$
|
2.63
|
|
Diluted
|
$
|
6.26
|
|
|
$
|
4.30
|
|
|
$
|
0.57
|
|
|
$
|
4.16
|
|
|
$
|
2.56
|
|
Dividends per share
|
$
|
0.44
|
|
|
$
|
0.40
|
|
|
$
|
0.36
|
|
|
$
|
0.18
|
|
|
$
|
0.18
|
|
|
As of December 31,
|
||||||||||||||||||
|
2014
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
||||||||||
|
(dollars in millions, except per share amounts)
|
||||||||||||||||||
Balance sheet data (end of period):
|
|
|
|
|
|
|
|
|
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investments and cash
|
$
|
11,459
|
|
|
$
|
10,969
|
|
|
$
|
11,223
|
|
|
$
|
11,314
|
|
|
$
|
10,849
|
|
Premiums receivable, net of commissions payable
|
729
|
|
|
876
|
|
|
1,005
|
|
|
1,003
|
|
|
1,168
|
|
|||||
Ceded unearned premium reserve
|
381
|
|
|
452
|
|
|
561
|
|
|
709
|
|
|
822
|
|
|||||
Salvage and subrogation recoverable
|
151
|
|
|
174
|
|
|
456
|
|
|
368
|
|
|
1,032
|
|
|||||
Credit derivative assets
|
68
|
|
|
94
|
|
|
141
|
|
|
153
|
|
|
185
|
|
|||||
Total assets
|
14,925
|
|
|
16,287
|
|
|
17,242
|
|
|
17,709
|
|
|
19,370
|
|
|||||
Liabilities and shareholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||||
Unearned premium reserve
|
4,261
|
|
|
4,595
|
|
|
5,207
|
|
|
5,963
|
|
|
6,973
|
|
|||||
Loss and loss adjustment expense reserve
|
799
|
|
|
592
|
|
|
601
|
|
|
679
|
|
|
574
|
|
|||||
Reinsurance balances payable, net
|
107
|
|
|
148
|
|
|
219
|
|
|
171
|
|
|
274
|
|
|||||
Long-term debt
|
1,303
|
|
|
816
|
|
|
836
|
|
|
1,038
|
|
|
1,053
|
|
|||||
Credit derivative liabilities
|
963
|
|
|
1,787
|
|
|
1,934
|
|
|
1,457
|
|
|
2,055
|
|
|||||
Total liabilities
|
9,167
|
|
|
11,172
|
|
|
12,248
|
|
|
13,057
|
|
|
15,700
|
|
|||||
Accumulated other comprehensive income
|
370
|
|
|
160
|
|
|
515
|
|
|
368
|
|
|
112
|
|
|||||
Shareholders' equity
|
5,758
|
|
|
5,115
|
|
|
4,994
|
|
|
4,652
|
|
|
3,670
|
|
|||||
Book value per share
|
36.37
|
|
|
28.07
|
|
|
25.74
|
|
|
25.52
|
|
|
19.97
|
|
|||||
Consolidated statutory financial information
(2)
:
|
|
|
|
|
|
|
|
|
|
||||||||||
Contingency reserve
|
$
|
2,330
|
|
|
$
|
2,934
|
|
|
$
|
2,364
|
|
|
$
|
2,571
|
|
|
$
|
2,288
|
|
Policyholders' surplus
|
4,142
|
|
|
3,202
|
|
|
3,579
|
|
|
3,116
|
|
|
2,627
|
|
|||||
Claims-paying resources
(3)
|
12,189
|
|
|
12,147
|
|
|
12,328
|
|
|
12,839
|
|
|
12,630
|
|
|||||
Outstanding Exposure:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net debt service outstanding
|
$
|
609,622
|
|
|
$
|
690,535
|
|
|
$
|
780,356
|
|
|
$
|
844,447
|
|
|
$
|
926,698
|
|
Net par outstanding
|
403,729
|
|
|
459,107
|
|
|
518,772
|
|
|
556,830
|
|
|
616,686
|
|
(1)
|
Accounting guidance restricting the types and amounts of financial guaranty insurance contract acquisition costs that may be deferred was adopted and retrospectively applied effective January 1, 2012.
|
(2)
|
Prepared in accordance with accounting practices prescribed or permitted by U.S. insurance regulatory authorities, for all insurance subsidiaries.
|
(3)
|
Claims-paying resources is calculated as the sum of statutory policyholders' surplus, statutory contingency reserve, statutory unearned premium reserves, statutory loss and LAE reserves, present value of installment premium on financial guaranty and credit derivatives, discounted at 6%, and standby lines of credit/stop loss. Total claims-paying resources is used by the Company to evaluate the adequacy of capital resources.
|
ITEM 7.
|
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions, except per share amounts)
|
||||||||||
Net income (loss)
|
$
|
1,088
|
|
|
$
|
808
|
|
|
$
|
110
|
|
Operating income(1)
|
491
|
|
|
609
|
|
|
535
|
|
|||
|
|
|
|
|
|
||||||
Net income (loss) per diluted share
|
6.26
|
|
|
4.30
|
|
|
0.57
|
|
|||
Operating income per share(1)
|
2.83
|
|
|
3.25
|
|
|
2.81
|
|
|||
Diluted shares(2)
|
173.6
|
|
|
187.6
|
|
|
190.7
|
|
|||
|
|
|
|
|
|
||||||
Present value of new business production (“PVP”)(1)
|
168
|
|
|
141
|
|
|
210
|
|
|||
Gross par written
|
13,171
|
|
|
9,350
|
|
|
16,816
|
|
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
||||||||||||
|
|
Amount
|
|
Per Share
|
|
Amount
|
|
Per Share
|
||||||||
|
|
(in millions, except per share amounts)
|
||||||||||||||
Shareholders' equity
|
|
$
|
5,758
|
|
|
$
|
36.37
|
|
|
$
|
5,115
|
|
|
$
|
28.07
|
|
Operating shareholders' equity(1)
|
|
5,933
|
|
|
37.48
|
|
|
6,164
|
|
|
33.83
|
|
||||
Adjusted book value(1)
|
|
8,495
|
|
|
53.66
|
|
|
9,033
|
|
|
49.58
|
|
||||
Common shares outstanding
|
|
158.3
|
|
|
|
|
182.2
|
|
|
|
(1)
|
Please refer to “—Non-GAAP Financial Measures” for a definition of the financial measures that were not determined in accordance with GAAP and a reconciliation of the non-GAAP financial measure and the most directly comparable GAAP financial measure, if available.
|
(2)
|
Same for GAAP net income and non-GAAP operating income.
|
|
Amount
|
|
Number of Shares
|
|
Average price per share
|
|||||
|
(in millions, except per share data)
|
|||||||||
2014
|
$
|
590
|
|
|
24.4
|
|
|
$
|
24.17
|
|
2013
|
$
|
264
|
|
|
12.5
|
|
|
$
|
21.12
|
|
|
Year Ended December 31, 2014
|
|
As of
December 31, 2014 |
||||
|
(per share)
|
||||||
Net income
|
$
|
0.71
|
|
|
|
||
Operating income
|
0.32
|
|
|
|
|||
Shareholders' equity
|
|
|
$
|
2.56
|
|
||
Operating shareholders' equity
|
|
|
2.78
|
|
|||
Adjusted book value
|
|
|
5.84
|
|
(1)
|
Cumulative repurchases since the beginning of 2013.
|
•
|
New business production and commutations
|
•
|
Capital management
|
•
|
Loss mitigation
|
|
Year Ended December 31,
|
|||||||||||||||||||
|
2014
|
|
2013
|
|
2012
|
|||||||||||||||
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|||||||||
|
(dollars in billions, except number of issues)
|
|||||||||||||||||||
New municipal bonds issued
|
$
|
314.9
|
|
|
10,162
|
|
|
$
|
311.9
|
|
|
10,558
|
|
|
$
|
366.7
|
|
|
12,544
|
|
Total insured
|
18.5
|
|
|
1,403
|
|
|
12.1
|
|
|
1,025
|
|
|
13.2
|
|
|
1,159
|
|
|||
Insured by AGC, AGM and MAC
|
10.7
|
|
|
697
|
|
|
7.5
|
|
|
488
|
|
|
13.2
|
|
|
1,157
|
|
|
Year Ended December 31,
|
||||
|
2014
|
|
2013
|
|
2012
|
Market penetration par
|
5.9%
|
|
3.9%
|
|
3.6%
|
Market penetration based on number of issues
|
13.8
|
|
9.7
|
|
9.2
|
% of single A par sold
|
19.7
|
|
11.0
|
|
11.9
|
% of single A transactions sold
|
49.3
|
|
30.6
|
|
29.5
|
% of under $25 million par sold
|
16.5
|
|
10.9
|
|
11.7
|
% of under $25 million transactions sold
|
15.4
|
|
10.7
|
|
10.3
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
PVP(1):
|
|
|
|
|
|
||||||
Public Finance—U.S.
|
|
|
|
|
|
||||||
Assumed from Radian Asset
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
22
|
|
Direct
|
128
|
|
|
116
|
|
|
144
|
|
|||
Public Finance—non-U.S.
|
7
|
|
|
18
|
|
|
1
|
|
|||
Structured Finance—U.S.
|
24
|
|
|
7
|
|
|
43
|
|
|||
Structured Finance—non-U.S.
|
9
|
|
|
—
|
|
|
—
|
|
|||
Total PVP
|
$
|
168
|
|
|
$
|
141
|
|
|
$
|
210
|
|
Gross Par Written:
|
|
|
|
|
|
||||||
Public Finance—U.S.
|
|
|
|
|
|
||||||
Assumed from Radian Asset
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,797
|
|
Direct
|
12,275
|
|
|
8,671
|
|
|
14,364
|
|
|||
Public Finance—non-U.S.
|
128
|
|
|
392
|
|
|
35
|
|
|||
Structured Finance—U.S.
|
418
|
|
|
287
|
|
|
620
|
|
|||
Structured Finance—non-U.S.
|
350
|
|
|
—
|
|
|
—
|
|
|||
Total gross par written
|
$
|
13,171
|
|
|
$
|
9,350
|
|
|
$
|
16,816
|
|
(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.”
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Revenues:
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
570
|
|
|
$
|
752
|
|
|
$
|
853
|
|
Net investment income
|
403
|
|
|
393
|
|
|
404
|
|
|||
Net realized investment gains (losses)
|
(60
|
)
|
|
52
|
|
|
1
|
|
|||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
||||||
Realized gains (losses) and other settlements
|
23
|
|
|
(42
|
)
|
|
(108
|
)
|
|||
Net unrealized gains (losses)
|
800
|
|
|
107
|
|
|
(477
|
)
|
|||
Net change in fair value of credit derivatives
|
823
|
|
|
65
|
|
|
(585
|
)
|
|||
Fair value gains (losses) on committed capital securities ("CCS")
|
(11
|
)
|
|
10
|
|
|
(18
|
)
|
|||
Fair value gains (losses) on FG VIEs
|
255
|
|
|
346
|
|
|
191
|
|
|||
Other income (loss)
|
14
|
|
|
(10
|
)
|
|
108
|
|
|||
Total revenues
|
1,994
|
|
|
1,608
|
|
|
954
|
|
|||
Expenses:
|
|
|
|
|
|
||||||
Loss and loss adjustment expenses
|
126
|
|
|
154
|
|
|
504
|
|
|||
Amortization of deferred acquisition costs
|
25
|
|
|
12
|
|
|
14
|
|
|||
Interest expense
|
92
|
|
|
82
|
|
|
92
|
|
|||
Other operating expenses
|
220
|
|
|
218
|
|
|
212
|
|
|||
Total expenses
|
463
|
|
|
466
|
|
|
822
|
|
|||
Income (loss) before provision for income taxes
|
1,531
|
|
|
1,142
|
|
|
132
|
|
|||
Provision (benefit) for income taxes
|
443
|
|
|
334
|
|
|
22
|
|
|||
Net income (loss)
|
$
|
1,088
|
|
|
$
|
808
|
|
|
$
|
110
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Financial guaranty:
|
|
|
|
|
|
||||||
Public finance
|
|
|
|
|
|
||||||
Scheduled net earned premiums and accretion
|
$
|
279
|
|
|
$
|
292
|
|
|
$
|
339
|
|
Accelerations (1)
|
135
|
|
|
207
|
|
|
250
|
|
|||
Total public finance
|
414
|
|
|
499
|
|
|
589
|
|
|||
Structured finance (2)
|
|
|
|
|
|
||||||
Scheduled net earned premiums and accretion
|
152
|
|
|
195
|
|
|
263
|
|
|||
Accelerations (1)
|
1
|
|
|
56
|
|
|
—
|
|
|||
Total structured finance
|
153
|
|
|
251
|
|
|
263
|
|
|||
Other
|
3
|
|
|
2
|
|
|
1
|
|
|||
Total net earned premiums
|
$
|
570
|
|
|
$
|
752
|
|
|
$
|
853
|
|
(1)
|
Reflects the unscheduled refunding of an insured obligation or the termination of the insurance on an insured obligation.
|
(2)
|
Excludes $
32 million
, $
60 million
and
$153 million
for
2014
,
2013
and
2012
, respectively, related to consolidated FG VIEs.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Income from fixed-maturity securities managed by third parties
|
$
|
324
|
|
|
$
|
322
|
|
|
$
|
346
|
|
Income from internally managed securities:
|
|
|
|
|
|
||||||
Fixed-maturities
|
74
|
|
|
74
|
|
|
60
|
|
|||
Other invested assets
|
13
|
|
|
5
|
|
|
6
|
|
|||
Other
|
1
|
|
|
0
|
|
|
1
|
|
|||
Gross investment income
|
412
|
|
|
401
|
|
|
413
|
|
|||
Investment expenses
|
(9
|
)
|
|
(8
|
)
|
|
(9
|
)
|
|||
Net investment income
|
$
|
403
|
|
|
$
|
393
|
|
|
$
|
404
|
|
(1)
|
Net investment income excludes $11 million for
2014
and $13 million for
2013
and
2012
, related to consolidated FG VIEs.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Gross realized gains on investment portfolio
|
$
|
22
|
|
|
$
|
113
|
|
|
$
|
43
|
|
Gross realized losses on investment portfolio
|
(7
|
)
|
|
(19
|
)
|
|
(25
|
)
|
|||
Other-than-temporary impairment
|
(75
|
)
|
|
(42
|
)
|
|
(17
|
)
|
|||
Net realized investment gains (losses) (1)
|
$
|
(60
|
)
|
|
$
|
52
|
|
|
$
|
1
|
|
(1)
|
Excludes realized gains (losses) related to consolidated FG VIEs of $5 million for
2014
, $(2) million for
2013
and $(4) million for
2012
.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Foreign exchange gain (loss) on remeasurement of premium receivable and loss reserves
|
$
|
(21
|
)
|
|
$
|
(1
|
)
|
|
$
|
22
|
|
Commutation gains
|
23
|
|
|
2
|
|
|
82
|
|
|||
Other
|
12
|
|
|
(11
|
)
|
|
4
|
|
|||
Total other income (loss)
|
$
|
14
|
|
|
$
|
(10
|
)
|
|
$
|
108
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
$
|
0
|
|
|
$
|
140
|
|
|
$
|
367
|
|
Net benefit for recoveries for breaches of R&W
|
(268
|
)
|
|
(296
|
)
|
|
(179
|
)
|
|||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
(268
|
)
|
|
(156
|
)
|
|
188
|
|
|||
Other structured finance
|
68
|
|
|
(34
|
)
|
|
(28
|
)
|
|||
Public finance
|
171
|
|
|
256
|
|
|
295
|
|
|||
Other
|
(1
|
)
|
|
(10
|
)
|
|
(17
|
)
|
|||
Total
|
$
|
(30
|
)
|
|
$
|
56
|
|
|
$
|
438
|
|
(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
December 31, 2014 |
|
As of
December 31, 2013 |
||||
|
(in millions)
|
||||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
$
|
901
|
|
|
$
|
1,205
|
|
Net benefit for recoveries for breaches of R&W
|
(317
|
)
|
|
(712
|
)
|
||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
584
|
|
|
493
|
|
||
Other structured finance
|
241
|
|
|
171
|
|
||
Public finance
|
348
|
|
|
321
|
|
||
Other
|
(4
|
)
|
|
(3
|
)
|
||
Total
|
$
|
1,169
|
|
|
$
|
982
|
|
•
|
updated the liquidation rates it uses on delinquent loans based on observations and on an assumption that loan modifications (which improve liquidation rates) would over the next year be less frequent than they were over the most recent year
|
•
|
updated the liquidation rate it uses for loans reported as current but that had been reported as modified over the previous twelve months, based on observations
|
•
|
established a liquidation rate assumption for loans reported as current and not modified in the past twelve months but that had been reported as delinquent in the previous twelve months
|
•
|
established loss severity assumptions by vintage category as well as product type, rather than just product type as previously
|
•
|
beginning with the third quarter 2014, each quarter shortened by three months the period it is projecting it will take in the base case to reach the final conditional default rate ("CDR")
|
•
|
reflect increased recoveries on newly defaulted loans as well as previously defaulted loans
|
•
|
project incremental defaults associated with increased monthly payments that occur when interest-only periods end
|
•
|
increase the assumed final conditional prepayment rate from 10% to 15%
|
•
|
established a liquidation rate assumption for loans reported as current but that had been reported as modified in the previous 12 months,
|
•
|
assumed that currently delinquent loans that did not roll to liquidation would behave like modified loans, and so applied the modified loan liquidation rate to them,
|
•
|
increased from two to three years the period over which it calculates the initial CDR based on assumed liquidations of non-performing loans and modified loans, to account for the longer period modified loans will take to default,
|
•
|
increased the period it assumes the transactions will experience the initial loss severity assumption before it improves and the period during which the transaction will experience low voluntary prepayment rates,
|
•
|
established an assumption for servicers not to advance loan payments on all delinquent loans
|
•
|
in its most optimistic scenario, it reduced by three months the period it assumed it would take the mortgage market to recover; and
|
•
|
in its most pessimistic scenario, it increased by three months the period it assumed it would take the mortgage market to recover.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
U.S. RMBS
|
$
|
(129
|
)
|
|
$
|
(4
|
)
|
|
$
|
308
|
|
Other structured finance
|
95
|
|
|
(35
|
)
|
|
(7
|
)
|
|||
Public finance
|
191
|
|
|
214
|
|
|
285
|
|
|||
Other
|
(1
|
)
|
|
—
|
|
|
(17
|
)
|
|||
Total insurance contracts before FG VIE consolidation
|
156
|
|
|
175
|
|
|
569
|
|
|||
Effect of consolidating FG VIEs
|
(30
|
)
|
|
(21
|
)
|
|
(65
|
)
|
|||
Total loss and LAE
|
$
|
126
|
|
|
$
|
154
|
|
|
$
|
504
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
U.S. RMBS
|
$
|
(184
|
)
|
|
$
|
8
|
|
|
$
|
369
|
|
Other structured finance
|
76
|
|
|
(36
|
)
|
|
(40
|
)
|
|||
Public finance
|
188
|
|
|
212
|
|
|
284
|
|
|||
Other
|
(1
|
)
|
|
(10
|
)
|
|
(17
|
)
|
|||
Total
|
$
|
79
|
|
|
$
|
174
|
|
|
$
|
596
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Loss and LAE
|
$
|
126
|
|
|
$
|
154
|
|
|
$
|
504
|
|
Credit derivative loss expense
|
(77
|
)
|
|
(1
|
)
|
|
28
|
|
|||
FG VIE loss expense
|
30
|
|
|
21
|
|
|
64
|
|
|||
Loss expense included in operating income
|
$
|
79
|
|
|
$
|
174
|
|
|
$
|
596
|
|
|
In GAAP
Reported
Income
|
|
In Non-GAAP
Operating
Income
|
||||
|
(in millions)
|
||||||
2015
|
$
|
33
|
|
|
$
|
45
|
|
2016
|
34
|
|
|
44
|
|
||
2017
|
27
|
|
|
36
|
|
||
2018
|
24
|
|
|
31
|
|
||
2019
|
22
|
|
|
28
|
|
||
2020-2024
|
79
|
|
|
100
|
|
||
2025-2029
|
46
|
|
|
55
|
|
||
2030-2034
|
32
|
|
|
41
|
|
||
After 2034
|
21
|
|
|
27
|
|
||
Net expected loss to be expensed (1)
|
318
|
|
|
407
|
|
||
Discount
|
413
|
|
|
447
|
|
||
Total future value
|
$
|
731
|
|
|
$
|
854
|
|
(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.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Realized gains on credit derivatives (credit derivative revenues)
|
$
|
73
|
|
|
$
|
121
|
|
|
$
|
128
|
|
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
|
(50
|
)
|
|
(163
|
)
|
|
(236
|
)
|
|||
Realized gains (losses) and other settlements on credit derivatives
|
23
|
|
|
(42
|
)
|
|
(108
|
)
|
|||
Net change in unrealized gains (losses) on credit derivatives:
|
|
|
|
|
|
||||||
Pooled corporate obligations
|
(18
|
)
|
|
(32
|
)
|
|
59
|
|
|||
U.S. RMBS
|
814
|
|
|
(69
|
)
|
|
(551
|
)
|
|||
CMBS
|
2
|
|
|
—
|
|
|
2
|
|
|||
Other(1)
|
2
|
|
|
208
|
|
|
13
|
|
|||
Net change in unrealized gains (losses) on credit derivatives
|
800
|
|
|
107
|
|
|
(477
|
)
|
|||
Net change in fair value of credit derivatives
|
$
|
823
|
|
|
$
|
65
|
|
|
$
|
(585
|
)
|
(1)
|
“Other” includes all other U.S. and international asset classes, such as commercial receivables, international infrastructure, international RMBS securities, and pooled infrastructure securities.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Net par of terminated CDS contracts
|
$
|
3,591
|
|
|
$
|
4,054
|
|
|
$
|
2,264
|
|
Realized gains (losses) and other settlements
|
1
|
|
|
21
|
|
|
3
|
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|||
AGC
|
323
|
|
|
460
|
|
|
678
|
|
AGM
|
325
|
|
|
525
|
|
|
536
|
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|||
AGC
|
80
|
|
|
185
|
|
|
270
|
|
AGM
|
85
|
|
|
220
|
|
|
257
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Change in unrealized gains (losses) of credit derivatives:
|
|
|
|
|
|
||||||
Before considering implication of the Company’s credit spreads
|
$
|
1,396
|
|
|
$
|
1,374
|
|
|
$
|
798
|
|
Resulting from change in the Company’s credit spreads
|
(596
|
)
|
|
(1,267
|
)
|
|
(1,275
|
)
|
|||
After considering implication of the Company’s credit spreads
|
$
|
800
|
|
|
$
|
107
|
|
|
$
|
(477
|
)
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Debt issued by AGUS
|
$
|
36
|
|
|
$
|
23
|
|
|
$
|
31
|
|
Debt issued by AGMH
|
54
|
|
|
54
|
|
|
54
|
|
|||
Notes payable by AGM
|
2
|
|
|
5
|
|
|
7
|
|
|||
Total
|
$
|
92
|
|
|
$
|
82
|
|
|
$
|
92
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Total provision (benefit) for income taxes
|
$
|
443
|
|
|
$
|
334
|
|
|
$
|
22
|
|
Effective tax rate
|
28.9
|
%
|
|
29.2
|
%
|
|
16.5
|
%
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Net earned premiums
|
$
|
(32
|
)
|
|
$
|
(60
|
)
|
|
$
|
(153
|
)
|
Net investment income
|
(11
|
)
|
|
(13
|
)
|
|
(13
|
)
|
|||
Net realized investment gains (losses)
|
(5
|
)
|
|
2
|
|
|
4
|
|
|||
Fair value gains (losses) on FG VIEs
|
255
|
|
|
346
|
|
|
191
|
|
|||
Other income
|
(2
|
)
|
|
—
|
|
|
—
|
|
|||
Loss and LAE
|
30
|
|
|
21
|
|
|
65
|
|
|||
Effect on net income before tax
|
235
|
|
|
296
|
|
|
94
|
|
|||
Less: tax provision (benefit)
|
82
|
|
|
103
|
|
|
32
|
|
|||
Effect on net income (loss)
|
$
|
153
|
|
|
$
|
193
|
|
|
$
|
62
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
|
|
|
||||||||
Net income (loss)
|
$
|
1,088
|
|
|
$
|
808
|
|
|
$
|
110
|
|
Less after-tax adjustments:
|
|
|
|
|
|
||||||
Realized gains (losses) on investments
|
(34
|
)
|
|
40
|
|
|
(4
|
)
|
|||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
500
|
|
|
(40
|
)
|
|
(486
|
)
|
|||
Fair value gains (losses) on CCS
|
(7
|
)
|
|
7
|
|
|
(12
|
)
|
|||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves
|
(15
|
)
|
|
(1
|
)
|
|
15
|
|
|||
Effect of consolidating FG VIEs
|
153
|
|
|
193
|
|
|
62
|
|
|||
Operating income
|
$
|
491
|
|
|
$
|
609
|
|
|
$
|
535
|
|
|
|
|
|
|
|
||||||
Effective tax rate on operating income
|
29.0
|
%
|
|
26.7
|
%
|
|
25.0
|
%
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
||||||||||||
|
Total
|
|
Per Share
|
|
Total
|
|
Per Share
|
||||||||
|
(dollars in millions, except
per share amounts)
|
||||||||||||||
Shareholders’ equity
|
$
|
5,758
|
|
|
$
|
36.37
|
|
|
$
|
5,115
|
|
|
$
|
28.07
|
|
Less after-tax adjustments:
|
|
|
|
|
|
|
|
||||||||
Effect of consolidating FG VIEs
|
(44
|
)
|
|
(0.28
|
)
|
|
(172
|
)
|
|
(0.95
|
)
|
||||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
(527
|
)
|
|
(3.33
|
)
|
|
(1,052
|
)
|
|
(5.77
|
)
|
||||
Fair value gains (losses) on CCS
|
23
|
|
|
0.14
|
|
|
30
|
|
|
0.16
|
|
||||
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect
|
373
|
|
|
2.36
|
|
|
145
|
|
|
0.80
|
|
||||
Operating shareholders’ equity
|
5,933
|
|
|
37.48
|
|
|
6,164
|
|
|
33.83
|
|
||||
After-tax adjustments:
|
|
|
|
|
|
|
|
|
|
||||||
Less: Deferred acquisition costs
|
156
|
|
|
0.99
|
|
|
161
|
|
|
0.88
|
|
||||
Plus: Net present value of estimated net future credit derivative revenue
|
109
|
|
|
0.69
|
|
|
146
|
|
|
0.80
|
|
||||
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed
|
2,609
|
|
|
16.48
|
|
|
2,884
|
|
|
15.83
|
|
||||
Adjusted book value
|
$
|
8,495
|
|
|
$
|
53.66
|
|
|
$
|
9,033
|
|
|
$
|
49.58
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Total PVP
|
$
|
168
|
|
|
$
|
141
|
|
|
$
|
210
|
|
Less: Financial guaranty installment premium PVP
|
42
|
|
|
26
|
|
|
45
|
|
|||
Total: Financial guaranty upfront gross written premiums
|
126
|
|
|
115
|
|
|
165
|
|
|||
Plus: Financial guaranty installment gross written premiums and other GAAP adjustments
|
(22
|
)
|
|
8
|
|
|
88
|
|
|||
Total gross written premiums
|
$
|
104
|
|
|
$
|
123
|
|
|
$
|
253
|
|
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
||||||||
Sector
|
|
Net Par
Outstanding
|
|
Avg.
Rating
|
|
Net Par
Outstanding
|
|
Avg.
Rating
|
||||
|
|
(dollars in millions)
|
||||||||||
Public finance:
|
|
|
|
|
|
|
|
|
|
|||
U.S.:
|
|
|
|
|
|
|
|
|
|
|||
General obligation
|
|
$
|
140,276
|
|
|
A
|
|
$
|
155,277
|
|
|
A+
|
Tax backed
|
|
62,525
|
|
|
A
|
|
66,824
|
|
|
A+
|
||
Municipal utilities
|
|
52,090
|
|
|
A
|
|
56,324
|
|
|
A
|
||
Transportation
|
|
27,823
|
|
|
A
|
|
30,830
|
|
|
A
|
||
Healthcare
|
|
14,848
|
|
|
A
|
|
16,132
|
|
|
A
|
||
Higher education
|
|
13,099
|
|
|
A
|
|
14,071
|
|
|
A
|
||
Infrastructure finance
|
|
4,181
|
|
|
BBB
|
|
4,114
|
|
|
BBB
|
||
Housing
|
|
2,779
|
|
|
A+
|
|
3,386
|
|
|
A+
|
||
Investor-owned utilities
|
|
944
|
|
|
A-
|
|
991
|
|
|
A-
|
||
Other public finance—U.S.
|
|
3,558
|
|
|
A
|
|
4,232
|
|
|
A
|
||
Total public finance—U.S.
|
|
322,123
|
|
|
A
|
|
352,181
|
|
|
A
|
||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Infrastructure finance
|
|
12,808
|
|
|
BBB
|
|
14,703
|
|
|
BBB
|
||
Regulated utilities
|
|
10,914
|
|
|
BBB+
|
|
11,205
|
|
|
BBB+
|
||
Pooled infrastructure
|
|
2,420
|
|
|
AA
|
|
2,520
|
|
|
A
|
||
Other public finance—non-U.S.
|
|
5,217
|
|
|
A
|
|
5,570
|
|
|
A
|
||
Total public finance—non-U.S.
|
|
31,359
|
|
|
BBB+
|
|
33,998
|
|
|
BBB+
|
||
Total public finance
|
|
353,482
|
|
|
A
|
|
386,179
|
|
|
A
|
||
Structured finance:
|
|
|
|
|
|
|
|
|
|
|||
U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Pooled corporate obligations
|
|
20,646
|
|
|
AAA
|
|
31,325
|
|
|
AAA
|
||
RMBS
|
|
9,417
|
|
|
BBB-
|
|
13,721
|
|
|
BBB-
|
||
Insurance securitizations
|
|
3,433
|
|
|
A-
|
|
3,035
|
|
|
A-
|
||
Financial products
|
|
2,276
|
|
|
AA-
|
|
2,709
|
|
|
AA-
|
||
Consumer receivables
|
|
2,099
|
|
|
BBB+
|
|
2,198
|
|
|
BBB+
|
||
CMBS and other commercial real estate related exposures
|
|
1,957
|
|
|
AAA
|
|
3,952
|
|
|
AAA
|
||
Commercial receivables
|
|
560
|
|
|
BBB+
|
|
911
|
|
|
A-
|
||
Structured credit
|
|
69
|
|
|
BB
|
|
69
|
|
|
BB
|
||
Other structured finance—U.S.
|
|
714
|
|
|
AA
|
|
987
|
|
|
A-
|
||
Total structured finance—U.S.
|
|
41,171
|
|
|
AA-
|
|
58,907
|
|
|
AA-
|
||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Pooled corporate obligations
|
|
6,604
|
|
|
AA+
|
|
11,058
|
|
|
AAA
|
||
Commercial receivables
|
|
944
|
|
|
BBB
|
|
1,263
|
|
|
BBB+
|
||
RMBS
|
|
794
|
|
|
A
|
|
1,146
|
|
|
AA-
|
||
Structured credit
|
|
9
|
|
|
BBB+
|
|
176
|
|
|
BBB
|
||
Other structured finance—non-U.S.
|
|
725
|
|
|
AA
|
|
378
|
|
|
AAA
|
||
Total structured finance—non-U.S.
|
|
9,076
|
|
|
AA
|
|
14,021
|
|
|
AA+
|
||
Total structured finance
|
|
50,247
|
|
|
AA-
|
|
72,928
|
|
|
AA
|
||
Total net par outstanding
|
|
$
|
403,729
|
|
|
A
|
|
$
|
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
|
|
$
|
4,082
|
|
|
1.3
|
%
|
|
$
|
615
|
|
|
2.0
|
%
|
|
$
|
20,037
|
|
|
48.7
|
%
|
|
$
|
5,409
|
|
|
59.6
|
%
|
|
$
|
30,143
|
|
|
7.5
|
%
|
AA
|
|
90,464
|
|
|
28.1
|
|
|
2,785
|
|
|
8.9
|
|
|
8,213
|
|
|
19.9
|
|
|
503
|
|
|
5.5
|
|
|
101,965
|
|
|
25.3
|
|
|||||
A
|
|
176,298
|
|
|
54.7
|
|
|
7,192
|
|
|
22.9
|
|
|
2,940
|
|
|
7.1
|
|
|
445
|
|
|
4.9
|
|
|
186,875
|
|
|
46.3
|
|
|||||
BBB
|
|
43,429
|
|
|
13.5
|
|
|
19,363
|
|
|
61.7
|
|
|
1,795
|
|
|
4.4
|
|
|
1,912
|
|
|
21.1
|
|
|
66,499
|
|
|
16.4
|
|
|||||
BIG
|
|
7,850
|
|
|
2.4
|
|
|
1,404
|
|
|
4.5
|
|
|
8,186
|
|
|
19.9
|
|
|
807
|
|
|
8.9
|
|
|
18,247
|
|
|
4.5
|
|
|||||
Net par outstanding (1)
|
|
$
|
322,123
|
|
|
100.0
|
%
|
|
$
|
31,359
|
|
|
100.0
|
%
|
|
$
|
41,171
|
|
|
100.0
|
%
|
|
$
|
9,076
|
|
|
100.0
|
%
|
|
$
|
403,729
|
|
|
100.0
|
%
|
(1)
|
Excludes
$1.3 billion
in loss mitigation securities insured and held by the Company as of
December 31, 2014
, which are primarily in the BIG category.
|
|
|
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
|
|
|||||
Net par outstanding (1)
|
|
$
|
352,181
|
|
|
100.0
|
%
|
|
$
|
33,998
|
|
|
100.0
|
%
|
|
$
|
58,907
|
|
|
100.0
|
%
|
|
$
|
14,021
|
|
|
100.0
|
%
|
|
$
|
459,107
|
|
|
100.0
|
%
|
(1)
|
Excludes
$1.2 billion
in loss mitigation securities insured and held by the Company as of
December 31, 2013
, which are primarily in the BIG category.
|
|
Net Par Outstanding
|
|
Percent of Total U.S. Public Finance Net Par Outstanding
|
|
Rating
|
|||
|
(dollars in millions)
|
|||||||
New Jersey (State of)
|
$
|
3,947
|
|
|
1.2
|
%
|
|
A-
|
California (State of)
|
3,222
|
|
|
1.0
|
%
|
|
A-
|
|
New York (City of) New York
|
2,530
|
|
|
0.8
|
%
|
|
AA-
|
|
Massachusetts (Commonwealth of)
|
2,230
|
|
|
0.7
|
%
|
|
AA
|
|
Illinois (State of)
|
2,193
|
|
|
0.7
|
%
|
|
A-
|
|
New York (State of)
|
2,146
|
|
|
0.7
|
%
|
|
A+
|
|
Miami-Dade County Florida Aviation Authority - Miami International Airport
|
2,144
|
|
|
0.7
|
%
|
|
A
|
|
Chicago (City of) Illinois
|
2,108
|
|
|
0.7
|
%
|
|
BBB+
|
|
Puerto Rico General Obligation, Appropriations and Guarantees of the Commonwealth
|
1,823
|
|
|
0.6
|
%
|
|
BB
|
|
Los Angeles, California Unified School District
|
1,777
|
|
|
0.6
|
%
|
|
AA-
|
|
Total of top ten U.S. public finance exposures
|
$
|
24,120
|
|
|
7.7
|
%
|
|
|
|
Net Par Outstanding
|
|
Percent of Total U.S. Structured Finance Net Par Outstanding
|
|
Rating
|
|||
|
(dollars in millions)
|
|||||||
Fortress Credit Opportunities I, LP.
|
$
|
1,217
|
|
|
3.0
|
%
|
|
AA
|
Private Other Structured Finance Transaction
|
800
|
|
|
1.9
|
%
|
|
AA
|
|
Stone Tower Credit Funding
|
790
|
|
|
1.9
|
%
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
767
|
|
|
1.9
|
%
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
763
|
|
|
1.9
|
%
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
745
|
|
|
1.8
|
%
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
666
|
|
|
1.6
|
%
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
655
|
|
|
1.6
|
%
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
516
|
|
|
1.3
|
%
|
|
AAA
|
|
Private US Insurance Securitization
|
500
|
|
|
1.2
|
%
|
|
AA
|
|
Total of top ten U.S. structured finance exposures
|
$
|
7,419
|
|
|
18.1
|
%
|
|
|
|
Country
|
|
Net Par Outstanding
|
|
Percent of Total Non-U.S. Net Par Outstanding
|
|
Rating
|
|||
|
|
|
(dollars in millions)
|
|||||||
Quebec Province
|
Canada
|
|
$
|
2,366
|
|
|
5.9
|
%
|
|
A+
|
Thames Water Utility Finance PLC
|
United Kingdom
|
|
1,438
|
|
|
3.6
|
%
|
|
A-
|
|
Channel Link Enterprises Finance PLC
|
France, United Kingdom
|
|
908
|
|
|
2.2
|
%
|
|
BBB
|
|
Southern Gas Networks PLC
|
United Kingdom
|
|
902
|
|
|
2.2
|
%
|
|
BBB
|
|
Societe des Autoroutes du Nord et de l'Est de France S.A.
|
France
|
|
811
|
|
|
2.0
|
%
|
|
BBB+
|
|
Capital Hospitals (Issuer) PLC
|
United Kingdom
|
|
786
|
|
|
1.9
|
%
|
|
BBB-
|
|
Sydney Airport Finance Company
|
Australia
|
|
748
|
|
|
1.9
|
%
|
|
BBB
|
|
International Infrastructure Pool
|
United Kingdom
|
|
728
|
|
|
1.8
|
%
|
|
AA
|
|
Southern Water Services Limited
|
United Kingdom
|
|
691
|
|
|
1.7
|
%
|
|
A-
|
|
International Infrastructure Pool
|
United Kingdom
|
|
656
|
|
|
1.6
|
%
|
|
AA
|
|
Total of top ten non-U.S. exposures
|
|
|
$
|
10,034
|
|
|
24.8
|
%
|
|
|
|
Number of Risks
|
|
Net Par Outstanding
|
|
Percent of Total Net Par Outstanding
|
||||
|
|
|
(dollars in millions)
|
||||||
U.S.:
|
|
|
|
|
|
||||
U.S. Public Finance:
|
|
|
|
|
|
||||
California
|
1,465
|
|
|
$
|
50,668
|
|
|
12.6
|
%
|
Pennsylvania
|
1,009
|
|
|
26,173
|
|
|
6.5
|
|
|
New York
|
995
|
|
|
26,044
|
|
|
6.5
|
|
|
Texas
|
1,239
|
|
|
25,449
|
|
|
6.3
|
|
|
Illinois
|
830
|
|
|
22,825
|
|
|
5.7
|
|
|
Florida
|
384
|
|
|
19,470
|
|
|
4.8
|
|
|
New Jersey
|
602
|
|
|
13,558
|
|
|
3.4
|
|
|
Michigan
|
668
|
|
|
12,739
|
|
|
3.2
|
|
|
Georgia
|
192
|
|
|
8,217
|
|
|
2.0
|
|
|
Ohio
|
507
|
|
|
7,818
|
|
|
1.9
|
|
|
Other states and U.S. territories
|
4,174
|
|
|
109,162
|
|
|
27.0
|
|
|
Total U.S. public finance
|
12,065
|
|
|
322,123
|
|
|
79.9
|
|
|
U.S. Structured finance (multiple states)
|
839
|
|
|
41,171
|
|
|
10.2
|
|
|
Total U.S.
|
12,904
|
|
|
363,294
|
|
|
90.1
|
|
|
Non-U.S.:
|
|
|
|
|
|
||||
United Kingdom
|
114
|
|
|
19,856
|
|
|
4.9
|
|
|
Australia
|
26
|
|
|
4,121
|
|
|
1.0
|
|
|
Canada
|
10
|
|
|
3,526
|
|
|
0.9
|
|
|
France
|
20
|
|
|
2,820
|
|
|
0.7
|
|
|
Italy
|
9
|
|
|
1,501
|
|
|
0.4
|
|
|
Other
|
78
|
|
|
8,611
|
|
|
2.0
|
|
|
Total non-U.S.
|
257
|
|
|
40,435
|
|
|
9.9
|
|
|
Total
|
13,161
|
|
|
$
|
403,729
|
|
|
100.0
|
%
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-infrastructure public finance (2)
|
$
|
—
|
|
|
$
|
1,174
|
|
|
$
|
103
|
|
|
$
|
384
|
|
|
$
|
1,661
|
|
Infrastructure finance
|
334
|
|
|
14
|
|
|
11
|
|
|
137
|
|
|
496
|
|
|||||
Total sovereign and sub-sovereign exposure
|
334
|
|
|
1,188
|
|
|
114
|
|
|
521
|
|
|
2,157
|
|
|||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Regulated utilities
|
—
|
|
|
239
|
|
|
—
|
|
|
—
|
|
|
239
|
|
|||||
RMBS
|
195
|
|
|
323
|
|
|
—
|
|
|
—
|
|
|
518
|
|
|||||
Total non-sovereign exposure
|
195
|
|
|
562
|
|
|
—
|
|
|
—
|
|
|
757
|
|
|||||
Total
|
$
|
529
|
|
|
$
|
1,750
|
|
|
$
|
114
|
|
|
$
|
521
|
|
|
$
|
2,914
|
|
Total BIG
|
$
|
451
|
|
|
$
|
—
|
|
|
$
|
114
|
|
|
$
|
521
|
|
|
$
|
1,086
|
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-infrastructure public finance(2)
|
$
|
—
|
|
|
$
|
878
|
|
|
$
|
91
|
|
|
$
|
239
|
|
|
$
|
1,208
|
|
Infrastructure finance
|
313
|
|
|
13
|
|
|
11
|
|
|
135
|
|
|
472
|
|
|||||
Total sovereign and sub-sovereign exposure
|
313
|
|
|
891
|
|
|
102
|
|
|
374
|
|
|
1,680
|
|
|||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Regulated utilities
|
—
|
|
|
220
|
|
|
—
|
|
|
—
|
|
|
220
|
|
|||||
RMBS
|
186
|
|
|
267
|
|
|
—
|
|
|
—
|
|
|
453
|
|
|||||
Total non-sovereign exposure
|
186
|
|
|
487
|
|
|
—
|
|
|
—
|
|
|
673
|
|
|||||
Total
|
$
|
499
|
|
|
$
|
1,378
|
|
|
$
|
102
|
|
|
$
|
374
|
|
|
$
|
2,353
|
|
Total BIG
|
$
|
424
|
|
|
$
|
—
|
|
|
$
|
102
|
|
|
$
|
374
|
|
|
$
|
900
|
|
(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.
|
|
|
Net Par Outstanding
|
|
|
|
|
||||||||||||||||||||
|
|
AGM Consolidated
|
|
AGC Consolidated
|
|
AG Re (1) Consolidated
|
|
Eliminations (2)
|
|
Total Net Par Outstanding
|
|
Gross Par Outstanding
|
|
Internal Rating
|
||||||||||||
|
|
(in millions)
|
|
|
|
|
||||||||||||||||||||
Exposures subject to the Now Voided Recovery Act (3):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
PRHTA (Transportation revenue)
|
|
$
|
303
|
|
|
$
|
392
|
|
|
$
|
229
|
|
|
$
|
(80
|
)
|
|
$
|
844
|
|
|
$
|
912
|
|
|
BB-
|
PREPA
|
|
464
|
|
|
53
|
|
|
255
|
|
|
—
|
|
|
772
|
|
|
1,006
|
|
|
B-
|
||||||
Puerto Rico Aqueduct and Sewer Authority
|
|
—
|
|
|
288
|
|
|
96
|
|
|
—
|
|
|
384
|
|
|
384
|
|
|
BB-
|
||||||
PRHTA (Highway revenue)
|
|
197
|
|
|
24
|
|
|
52
|
|
|
—
|
|
|
273
|
|
|
582
|
|
|
BB
|
||||||
Puerto Rico Convention Center District Authority
|
|
—
|
|
|
87
|
|
|
87
|
|
|
—
|
|
|
174
|
|
|
174
|
|
|
BB-
|
||||||
Total
|
|
964
|
|
|
844
|
|
|
719
|
|
|
(80
|
)
|
|
2,447
|
|
|
3,058
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Exposures not subject to the Now Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
|
749
|
|
|
417
|
|
|
506
|
|
|
—
|
|
|
1,672
|
|
|
1,844
|
|
|
BB
|
||||||
Puerto Rico Municipal Finance Agency
|
|
223
|
|
|
44
|
|
|
132
|
|
|
—
|
|
|
399
|
|
|
656
|
|
|
BB-
|
||||||
Puerto Rico Sales Tax Financing Corporation
|
|
261
|
|
|
—
|
|
|
8
|
|
|
—
|
|
|
269
|
|
|
269
|
|
|
BBB
|
||||||
Puerto Rico Public Buildings Authority
|
|
18
|
|
|
41
|
|
|
41
|
|
|
—
|
|
|
100
|
|
|
156
|
|
|
BB
|
||||||
GDB
|
|
—
|
|
|
33
|
|
|
—
|
|
|
—
|
|
|
33
|
|
|
33
|
|
|
BB
|
||||||
Puerto Rico Infrastructure Finance Authority (“PRIFA”)
|
|
—
|
|
|
10
|
|
|
8
|
|
|
—
|
|
|
18
|
|
|
18
|
|
|
BB-
|
||||||
University of Puerto Rico
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
1
|
|
|
BB-
|
||||||
Total
|
|
1,251
|
|
|
546
|
|
|
695
|
|
|
—
|
|
|
2,492
|
|
|
2,977
|
|
|
|
||||||
Total net exposure to Puerto Rico
|
|
$
|
2,215
|
|
|
$
|
1,390
|
|
|
$
|
1,414
|
|
|
$
|
(80
|
)
|
|
$
|
4,939
|
|
|
$
|
6,035
|
|
|
|
(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.
|
(3)
|
On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the Federal Bankruptcy Code and is therefore void. On February 19, 2015, the Commonwealth appealed the ruling to the U.S. Court of Appeals for the First Circuit.
|
|
Scheduled Net Par Amortization
|
|||||||||||||||||||||||||||||||||||||||||||||||
|
2015
|
2016
|
2017
|
2018
|
2019
|
2020
|
2021
|
2022
|
2023
|
2024
|
2025 -2029
|
2030 -2034
|
2035 -2039
|
2040 -2044
|
2045 -2047
|
Total
|
||||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||||||||||
Exposures subject to the Now Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
PRHTA (Transportation revenue)
|
$
|
22
|
|
$
|
29
|
|
$
|
32
|
|
$
|
39
|
|
$
|
26
|
|
$
|
21
|
|
$
|
16
|
|
$
|
17
|
|
$
|
17
|
|
$
|
1
|
|
$
|
128
|
|
$
|
137
|
|
$
|
281
|
|
$
|
78
|
|
$
|
—
|
|
$
|
844
|
|
PREPA
|
73
|
|
19
|
|
4
|
|
4
|
|
24
|
|
40
|
|
20
|
|
19
|
|
78
|
|
74
|
|
300
|
|
113
|
|
4
|
|
—
|
|
—
|
|
772
|
|
||||||||||||||||
Puerto Rico Aqueduct and Sewer Authority
|
14
|
|
15
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
109
|
|
—
|
|
—
|
|
—
|
|
246
|
|
384
|
|
||||||||||||||||
PRHTA (Highway revenue)
|
6
|
|
10
|
|
5
|
|
5
|
|
11
|
|
12
|
|
15
|
|
6
|
|
7
|
|
7
|
|
20
|
|
114
|
|
55
|
|
—
|
|
—
|
|
273
|
|
||||||||||||||||
Puerto Rico Convention Center District Authority
|
11
|
|
11
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
19
|
|
76
|
|
57
|
|
—
|
|
—
|
|
174
|
|
||||||||||||||||
Total
|
126
|
|
84
|
|
41
|
|
48
|
|
61
|
|
73
|
|
51
|
|
42
|
|
102
|
|
82
|
|
576
|
|
440
|
|
397
|
|
78
|
|
246
|
|
2,447
|
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Exposures not subject to the Now Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
109
|
|
127
|
|
95
|
|
64
|
|
82
|
|
137
|
|
16
|
|
37
|
|
14
|
|
66
|
|
278
|
|
381
|
|
266
|
|
—
|
|
—
|
|
1,672
|
|
||||||||||||||||
Puerto Rico Municipal Finance Authority
|
51
|
|
48
|
|
41
|
|
43
|
|
39
|
|
35
|
|
30
|
|
30
|
|
16
|
|
12
|
|
52
|
|
2
|
|
—
|
|
—
|
|
—
|
|
399
|
|
||||||||||||||||
Puerto Rico Sales Tax Financing Corporation
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(2
|
)
|
(2
|
)
|
1
|
|
0
|
|
(10
|
)
|
34
|
|
(1
|
)
|
255
|
|
—
|
|
269
|
|
||||||||||||||||
Puerto Rico Public Buildings Authority
|
12
|
|
8
|
|
30
|
|
—
|
|
5
|
|
10
|
|
12
|
|
0
|
|
8
|
|
0
|
|
10
|
|
3
|
|
2
|
|
—
|
|
—
|
|
100
|
|
||||||||||||||||
GDB
|
33
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
33
|
|
||||||||||||||||
PRIFA
|
—
|
|
—
|
|
—
|
|
2
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2
|
|
—
|
|
—
|
|
—
|
|
2
|
|
12
|
|
—
|
|
18
|
|
||||||||||||||||
University of Puerto Rico
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
—
|
|
—
|
|
—
|
|
1
|
|
||||||||||||||||
Total
|
204
|
|
182
|
|
165
|
|
108
|
|
125
|
|
181
|
|
56
|
|
65
|
|
41
|
|
78
|
|
330
|
|
421
|
|
269
|
|
267
|
|
—
|
|
2,492
|
|
||||||||||||||||
Total net par for Puerto Rico
|
$
|
330
|
|
$
|
266
|
|
$
|
206
|
|
$
|
156
|
|
$
|
186
|
|
$
|
254
|
|
$
|
107
|
|
$
|
107
|
|
$
|
143
|
|
$
|
160
|
|
$
|
906
|
|
$
|
861
|
|
$
|
666
|
|
$
|
345
|
|
$
|
246
|
|
$
|
4,939
|
|
|
Scheduled Net Debt Service Amortization
|
|||||||||||||||||||||||||||||||||||||||||||||||
|
2015
|
2016
|
2017
|
2018
|
2019
|
2020
|
2021
|
2022
|
2023
|
2024
|
2025 -2029
|
2030 -2034
|
2035 -2039
|
2040 -2044
|
2045 -2047
|
Total
|
||||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||||||||||
Exposures subject to the Now Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
PRHTA (Transportation revenue)
|
$
|
66
|
|
$
|
72
|
|
$
|
73
|
|
$
|
79
|
|
$
|
64
|
|
$
|
57
|
|
$
|
51
|
|
$
|
51
|
|
$
|
51
|
|
$
|
34
|
|
$
|
280
|
|
$
|
257
|
|
$
|
338
|
|
$
|
84
|
|
$
|
—
|
|
$
|
1,557
|
|
PREPA
|
109
|
|
51
|
|
36
|
|
35
|
|
55
|
|
70
|
|
48
|
|
47
|
|
104
|
|
97
|
|
365
|
|
125
|
|
5
|
|
—
|
|
—
|
|
1,147
|
|
||||||||||||||||
Puerto Rico Aqueduct and Sewer Authority
|
34
|
|
34
|
|
18
|
|
18
|
|
18
|
|
18
|
|
18
|
|
18
|
|
18
|
|
18
|
|
186
|
|
63
|
|
63
|
|
63
|
|
271
|
|
858
|
|
||||||||||||||||
PRHTA (Highway revenue)
|
21
|
|
24
|
|
19
|
|
19
|
|
24
|
|
24
|
|
27
|
|
17
|
|
18
|
|
18
|
|
68
|
|
148
|
|
59
|
|
—
|
|
—
|
|
486
|
|
||||||||||||||||
Puerto Rico Convention Center District Authority
|
19
|
|
18
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
52
|
|
103
|
|
61
|
|
—
|
|
—
|
|
309
|
|
||||||||||||||||
Total
|
249
|
|
199
|
|
153
|
|
158
|
|
168
|
|
176
|
|
151
|
|
140
|
|
198
|
|
174
|
|
951
|
|
696
|
|
526
|
|
147
|
|
271
|
|
4,357
|
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Exposures not subject to the Now Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
195
|
|
208
|
|
170
|
|
133
|
|
149
|
|
200
|
|
71
|
|
91
|
|
67
|
|
119
|
|
492
|
|
529
|
|
295
|
|
—
|
|
—
|
|
2,719
|
|
||||||||||||||||
Puerto Rico Municipal Finance Authority
|
70
|
|
66
|
|
57
|
|
56
|
|
50
|
|
44
|
|
38
|
|
36
|
|
20
|
|
15
|
|
59
|
|
3
|
|
—
|
|
—
|
|
—
|
|
514
|
|
||||||||||||||||
Puerto Rico Sales Tax Financing Corporation
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
16
|
|
15
|
|
63
|
|
106
|
|
63
|
|
283
|
|
—
|
|
650
|
|
||||||||||||||||
Puerto Rico Public Buildings Authority
|
17
|
|
12
|
|
34
|
|
3
|
|
7
|
|
13
|
|
14
|
|
1
|
|
9
|
|
1
|
|
12
|
|
5
|
|
4
|
|
—
|
|
—
|
|
132
|
|
||||||||||||||||
GDB
|
36
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
36
|
|
||||||||||||||||
PRIFA
|
1
|
|
1
|
|
1
|
|
3
|
|
1
|
|
1
|
|
1
|
|
1
|
|
3
|
|
1
|
|
3
|
|
3
|
|
5
|
|
13
|
|
—
|
|
38
|
|
||||||||||||||||
University of Puerto Rico
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
—
|
|
—
|
|
—
|
|
1
|
|
||||||||||||||||
Total
|
332
|
|
300
|
|
275
|
|
208
|
|
220
|
|
271
|
|
137
|
|
142
|
|
115
|
|
151
|
|
629
|
|
647
|
|
367
|
|
296
|
|
—
|
|
4,090
|
|
||||||||||||||||
Total net debt service for Puerto Rico
|
$
|
581
|
|
$
|
499
|
|
$
|
428
|
|
$
|
366
|
|
$
|
388
|
|
$
|
447
|
|
$
|
288
|
|
$
|
282
|
|
$
|
313
|
|
$
|
325
|
|
$
|
1,580
|
|
$
|
1,343
|
|
$
|
893
|
|
$
|
443
|
|
$
|
271
|
|
$
|
8,447
|
|
Original Par Amount Per Issue
|
|
Number of
Issues
|
|
Net Par
Outstanding
|
|
% of Public
Finance
Net Par
Outstanding
|
|||
|
(dollars in millions)
|
||||||||
Less than $10 million
|
16,595
|
|
$
|
46,971
|
|
|
13.3
|
%
|
|
$10 through $50 million
|
6,173
|
|
105,720
|
|
|
29.9
|
|
||
$50 through $100 million
|
1,202
|
|
63,564
|
|
|
18.0
|
|
||
$100 million to $200 million
|
517
|
|
55,899
|
|
|
15.8
|
|
||
$200 million or greater
|
307
|
|
81,328
|
|
|
23.0
|
|
||
Total
|
24,794
|
|
$
|
353,482
|
|
|
100.0
|
%
|
Original Par Amount Per Issue
|
|
Number of
Issues
|
|
Net Par
Outstanding
|
|
% of Structured
Finance
Net Par
Outstanding
|
|||
|
(dollars in millions)
|
||||||||
Less than $10 million
|
235
|
|
$
|
121
|
|
|
0.2
|
%
|
|
$10 through $50 million
|
428
|
|
4,821
|
|
|
9.6
|
|
||
$50 through $100 million
|
119
|
|
4,300
|
|
|
8.6
|
|
||
$100 million to $200 million
|
175
|
|
10,531
|
|
|
21.0
|
|
||
$200 million or greater
|
192
|
|
30,474
|
|
|
60.6
|
|
||
Total
|
1,149
|
|
$
|
50,247
|
|
|
100.0
|
%
|
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
|
|
|
$
|
—
|
|
|
$
|
8
|
|
|
$
|
314
|
|
|
$
|
46
|
|
|
$
|
1,306
|
|
|
$
|
1,675
|
|
AA
|
|
84
|
|
|
83
|
|
|
66
|
|
|
361
|
|
|
147
|
|
|
927
|
|
|
1,667
|
|
|||||||
A
|
|
6
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
107
|
|
|
114
|
|
|||||||
BBB
|
|
28
|
|
|
—
|
|
|
107
|
|
|
16
|
|
|
31
|
|
|
136
|
|
|
319
|
|
|||||||
BIG
|
|
353
|
|
|
134
|
|
|
1,557
|
|
|
1,841
|
|
|
183
|
|
|
1,575
|
|
|
5,643
|
|
|||||||
Total exposures
|
|
$
|
472
|
|
|
$
|
218
|
|
|
$
|
1,738
|
|
|
$
|
2,532
|
|
|
$
|
407
|
|
|
$
|
4,051
|
|
|
$
|
9,417
|
|
Year
insured:
|
|
Prime
First
Lien
|
|
Closed
End
Second
Lien
|
|
HELOC
|
|
Alt-A
First Lien
|
|
Option
ARM
|
|
Subprime
First
Lien
|
|
Total Net
Par
Outstanding
|
||||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||||||
2004 and prior
|
|
$
|
18
|
|
|
$
|
0
|
|
|
$
|
149
|
|
|
$
|
65
|
|
|
$
|
21
|
|
|
$
|
1,087
|
|
|
$
|
1,340
|
|
2005
|
|
150
|
|
|
—
|
|
|
471
|
|
|
476
|
|
|
40
|
|
|
192
|
|
|
1,328
|
|
|||||||
2006
|
|
81
|
|
|
51
|
|
|
505
|
|
|
290
|
|
|
52
|
|
|
935
|
|
|
1,913
|
|
|||||||
2007
|
|
223
|
|
|
166
|
|
|
614
|
|
|
1,263
|
|
|
252
|
|
|
1,768
|
|
|
4,286
|
|
|||||||
2008
|
|
—
|
|
|
—
|
|
|
—
|
|
|
438
|
|
|
43
|
|
|
70
|
|
|
550
|
|
|||||||
Total exposures
|
|
$
|
472
|
|
|
$
|
218
|
|
|
$
|
1,738
|
|
|
$
|
2,532
|
|
|
$
|
407
|
|
|
$
|
4,051
|
|
|
$
|
9,417
|
|
|
|
Ratings at
|
|
Par Outstanding (1)
|
||||||||||||
|
|
February 24, 2015
|
|
As of December 31, 2014
|
||||||||||||
Reinsurer
|
|
Moody’s
Reinsurer
Rating
|
|
S&P
Reinsurer
Rating
|
|
Ceded Par
Outstanding
|
|
Second-to-
Pay Insured
Par
Outstanding
|
|
Assumed Par
Outstanding
|
||||||
|
|
(dollars in millions)
|
||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
|
WR (2)
|
|
WR
|
|
$
|
6,727
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
|
Aa3 (3)
|
|
AA- (3)
|
|
5,276
|
|
|
—
|
|
|
—
|
|
|||
Radian Asset (6)
|
|
Ba1
|
|
B+
|
|
4,104
|
|
|
21
|
|
|
671
|
|
|||
Syncora Guarantee Inc.
|
|
WR
|
|
WR
|
|
3,715
|
|
|
1,514
|
|
|
161
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd.
|
|
A1
|
|
A+ (3)
|
|
2,033
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
746
|
|
|
2
|
|
|
—
|
|
|||
Swiss Reinsurance Co.
|
|
Aa3
|
|
AA-
|
|
93
|
|
|
—
|
|
|
—
|
|
|||
Ambac Assurance Corporation
|
|
WR
|
|
WR
|
|
82
|
|
|
4,930
|
|
|
14,342
|
|
|||
National Public Finance Guarantee Corporation
|
|
A3
|
|
AA-
|
|
—
|
|
|
6,210
|
|
|
5,894
|
|
|||
MBIA
|
|
(4)
|
|
(4)
|
|
—
|
|
|
2,613
|
|
|
587
|
|
|||
Financial Guaranty Insurance Co.
|
|
WR
|
|
WR
|
|
—
|
|
|
2,074
|
|
|
834
|
|
|||
Ambac Assurance Corp. Segregated Account
|
|
NR
|
|
NR
|
|
—
|
|
|
109
|
|
|
956
|
|
|||
CIFG Assurance North America Inc.
|
|
WR
|
|
WR
|
|
—
|
|
|
102
|
|
|
4,365
|
|
|||
Other
|
|
Various
|
|
Various
|
|
199
|
|
|
894
|
|
|
46
|
|
|||
Total
|
|
|
|
|
|
$
|
22,975
|
|
|
$
|
18,469
|
|
|
$
|
27,886
|
|
(1)
|
Includes par related to insured credit derivatives.
|
(4)
|
MBIA includes subsidiaries MBIA Insurance Corp. rated B by S&P and B2 by Moody's and MBIA U.K. Insurance Ltd. rated B by S&P and Ba2 by Moody’s.
|
(5)
|
Represents “Not Rated.”
|
(6)
|
On December 22, 2014, the Company entered into an agreement to purchase all of the issued and outstanding capital stock of Radian Asset.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Dividends paid by AGC to AGUS
|
$
|
69
|
|
|
$
|
67
|
|
|
$
|
55
|
|
Dividends paid by AGM to AGMH
|
160
|
|
|
163
|
|
|
30
|
|
|||
Dividends paid by AG Re to AGL
|
82
|
|
|
144
|
|
|
151
|
|
|||
Dividends paid by other subsidiaries to AGMH
|
10
|
|
|
—
|
|
|
—
|
|
|||
Repayment of surplus note by AGM to AGMH
|
50
|
|
|
50
|
|
|
50
|
|
|||
Proceeds from issuance of common shares
|
—
|
|
|
—
|
|
|
173
|
|
|||
Dividends paid to AGL shareholders
|
(76
|
)
|
|
(75
|
)
|
|
(69
|
)
|
|||
Repurchases of common shares (1)
|
(590
|
)
|
|
(264
|
)
|
|
(24
|
)
|
|||
Interest paid
|
(83
|
)
|
|
(70
|
)
|
|
(77
|
)
|
|||
Acquisition of MAC, net of cash acquired
|
—
|
|
|
—
|
|
|
(91
|
)
|
|||
Loans from subsidiaries
|
—
|
|
|
—
|
|
|
173
|
|
|||
Net proceeds from issuance of long-term debt
|
495
|
|
|
—
|
|
|
—
|
|
|||
Payment of long-term debt
|
—
|
|
|
(7
|
)
|
|
(173
|
)
|
(1)
|
As of
December 31, 2014
and February 26, 2015, on a settlement date basis, the remaining authorization for share repurchases was
$210 million
and
$118 million
, respectively.
|
•
|
Under New York insurance law, AGM may only pay dividends out of "earned surplus", which is the portion of a company's surplus that represents the net earnings, gains or profits (after deduction of all losses) that have not been distributed to shareholders as dividends or transferred to stated capital or capital surplus, or applied to other purposes permitted by law, but does not include unrealized appreciation of assets. AGM may pay dividends without the prior approval of the the New York Superintendent of Financial Services ("New York Superintendent") that, together with all dividends declared or distributed by it during the preceding 12 months, does not exceed the lesser of
10%
of its policyholders' surplus (as of the last annual or quarterly statement filed
|
•
|
Under Maryland's insurance law, AGC may, with prior notice to the Maryland Insurance Commissioner, pay an ordinary dividend that, together with all dividends paid in the prior 12 months, does not exceed 10% of its policyholders' surplus (as of the prior December 31) or 100% of its adjusted net investment income during that period. The maximum amount available during 2015 for AGC to distribute as ordinary dividends will be approximately $
90 million
, of which approximately
$21 million
is available for distribution in the first quarter of 2015, after giving effect to dividends paid in the prior 12 months.
|
•
|
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.
|
•
|
Any distribution (including repurchase of shares) of any share capital, contributed surplus or other statutory capital) that would reduce AG Re's total statutory capital by
15%
or more of its total statutory capital as set out in its previous year's financial statements requires the prior approval of the Authority. Separately, dividends are paid out of an insurer's statutory surplus and cannot exceed that surplus. Further, annual dividends cannot exceed
25%
of total statutory capital and surplus, which is
$279 million
, without AG Re certifying to the Bermuda Monetary Authority that it will continue to meet required margins. Based on the foregoing limitations, in 2015 AG Re has the capacity to (i) make capital distributions in an aggregate amount up to
$127 million
without the prior approval of the Authority and (ii) declare and pay dividends in an aggregate amount up to the limit of its outstanding statutory surplus, which is
$271 million
. Such dividend capacity is further limited by the actual amount of AG Re’s unencumbered assets, which amount changes from time to time due in part to collateral posting requirements. As of
December 31, 2014
, AG Re had unencumbered assets of approximately
$651 million
.
|
•
|
operating expenses,
|
•
|
claims on the insured portfolio,
|
•
|
posting of collateral in connection with credit derivatives and reinsurance transactions,
|
•
|
reinsurance premiums,
|
•
|
dividends to AGL, AGUS and/or AGMH, as applicable,
|
•
|
principal paydown on surplus notes issued, and
|
•
|
capital investments in their own subsidiaries, where appropriate.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
$
|
(304
|
)
|
|
$
|
(587
|
)
|
|
$
|
(996
|
)
|
Net benefit for recoveries for breaches of R&W
|
663
|
|
|
954
|
|
|
459
|
|
|||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
359
|
|
|
367
|
|
|
(537
|
)
|
|||
Other structured finance
|
2
|
|
|
(134
|
)
|
|
(39
|
)
|
|||
Public finance
|
(144
|
)
|
|
6
|
|
|
(303
|
)
|
|||
Other
|
—
|
|
|
10
|
|
|
12
|
|
|||
Claims (paid) recovered, net of reinsurance(1)
|
$
|
217
|
|
|
$
|
249
|
|
|
$
|
(867
|
)
|
(1)
|
Includes $20 million paid in 2014 and $189 million and $38 million recovered in 2013 and 2012, respectively, for consolidated FG VIEs. Claims recovered in 2013 include invested assets received as part of a restructuring.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
|
|
|
||||||||
Net cash flows provided by (used in) operating activities before effects of trading securities and FG VIEs consolidation
|
$
|
431
|
|
|
$
|
396
|
|
|
$
|
(272
|
)
|
(Purchases) sales of trading securities, net
|
78
|
|
|
(16
|
)
|
|
(59
|
)
|
|||
Effect of FG VIEs consolidation
|
68
|
|
|
(136
|
)
|
|
166
|
|
|||
Net cash flows provided by (used in) operating activities - reported
|
577
|
|
|
244
|
|
|
(165
|
)
|
|||
Net cash flows provided by (used in) investing activities before effects of FG VIEs consolidation
|
(423
|
)
|
|
37
|
|
|
387
|
|
|||
Effect of FG VIEs consolidation
|
327
|
|
|
644
|
|
|
556
|
|
|||
Net cash flows provided by (used in) investing activities - reported
|
(96
|
)
|
|
681
|
|
|
943
|
|
|||
Net cash flows provided by (used in) financing activities before effects of FG VIEs consolidation
|
(189
|
)
|
|
(367
|
)
|
|
(132
|
)
|
|||
Effect of FG VIEs consolidation
|
(396
|
)
|
|
(511
|
)
|
|
(724
|
)
|
|||
Net cash flows provided by (used in) financing activities - reported (1)
|
(585
|
)
|
|
(878
|
)
|
|
(856
|
)
|
|||
Effect of exchange rate changes
|
(5
|
)
|
|
(1
|
)
|
|
1
|
|
|||
Cash at beginning of period
|
184
|
|
|
138
|
|
|
215
|
|
|||
Total cash at the end of the period
|
$
|
75
|
|
|
$
|
184
|
|
|
$
|
138
|
|
(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 December 31,
|
|
Year Ended December 31,
|
||||||||||||||||
|
2014
|
|
2013
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
|
(in millions)
|
||||||||||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
7.0% Senior Notes(1)
|
$
|
200
|
|
|
$
|
200
|
|
|
$
|
14
|
|
|
$
|
14
|
|
|
$
|
14
|
|
5.0% Senior Notes(1)
|
500
|
|
|
—
|
|
|
13
|
|
|
—
|
|
|
—
|
|
|||||
8.50% Senior Notes(1)(2)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|||||
Series A Enhanced Junior Subordinated Debentures(3)
|
150
|
|
|
150
|
|
|
10
|
|
|
10
|
|
|
10
|
|
|||||
Total AGUS
|
850
|
|
|
350
|
|
|
37
|
|
|
24
|
|
|
31
|
|
|||||
AGMH(4):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
6
7
/
8
% QUIBS(1)
|
100
|
|
|
100
|
|
|
7
|
|
|
7
|
|
|
7
|
|
|||||
6.25% Notes(1)
|
230
|
|
|
230
|
|
|
14
|
|
|
14
|
|
|
14
|
|
|||||
5.60% Notes(1)
|
100
|
|
|
100
|
|
|
6
|
|
|
6
|
|
|
6
|
|
|||||
Junior Subordinated Debentures(3)
|
300
|
|
|
300
|
|
|
19
|
|
|
19
|
|
|
19
|
|
|||||
Total AGMH
|
730
|
|
|
730
|
|
|
46
|
|
|
46
|
|
|
46
|
|
|||||
AGM(4):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
AGM Notes Payable
|
16
|
|
|
34
|
|
|
3
|
|
|
6
|
|
|
8
|
|
|||||
Total AGM
|
16
|
|
|
34
|
|
|
3
|
|
|
6
|
|
|
8
|
|
|||||
Total
|
$
|
1,596
|
|
|
$
|
1,114
|
|
|
$
|
86
|
|
|
$
|
76
|
|
|
$
|
85
|
|
(1)
|
AGL fully and unconditionally guarantees these obligations
|
(2)
|
On June 1, 2012, AGUS retired all of the 8.5% Senior Notes. See Note 17, Long-Term Debt and Credit Facilities, of the Financial Statements and Supplementary Data.
|
(3)
|
Guaranteed by AGL on a junior subordinated basis.
|
•
|
a maximum debt-to-capital ratio of
30%
; and
|
•
|
a minimum net worth of
75%
of consolidated net worth as of July 1, 2009, plus, beginning June 30, 2015 and on each anniversary of such date, an amount equal to the product of (i)
25%
of the aggregate consolidated net income (or loss) for the period beginning July 2, 2009 and ending on June 30, 2014 and (ii) a fraction, the numerator of which is the commitment amount as of the relevant calculation date and the denominator of which is $
1 billion
.
|
|
As of December 31, 2014
|
||||||||||||||||||
|
Less Than
1 Year
|
|
1-3
Years
|
|
3-5
Years
|
|
After
5 Years
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
||||||||||
7.0% Senior Notes
|
$
|
14
|
|
|
$
|
28
|
|
|
$
|
28
|
|
|
$
|
401
|
|
|
$
|
471
|
|
5.0% Senior Notes
|
25
|
|
|
50
|
|
|
50
|
|
|
613
|
|
|
738
|
|
|||||
Series A Enhanced Junior Subordinated Debentures
|
10
|
|
|
19
|
|
|
19
|
|
|
601
|
|
|
649
|
|
|||||
6
7
/
8
% QUIBS
|
7
|
|
|
14
|
|
|
14
|
|
|
664
|
|
|
699
|
|
|||||
6.25% Notes
|
14
|
|
|
29
|
|
|
29
|
|
|
1,422
|
|
|
1,494
|
|
|||||
5.60% Notes
|
6
|
|
|
11
|
|
|
11
|
|
|
568
|
|
|
596
|
|
|||||
Junior Subordinated Debentures
|
19
|
|
|
38
|
|
|
38
|
|
|
1,202
|
|
|
1,297
|
|
|||||
Notes Payable
|
8
|
|
|
7
|
|
|
2
|
|
|
—
|
|
|
17
|
|
|||||
Operating lease obligations(1)
|
8
|
|
|
16
|
|
|
16
|
|
|
50
|
|
|
90
|
|
|||||
Other compensation plans(3)
|
16
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
16
|
|
|||||
Estimated financial guaranty claim payments(2)
|
231
|
|
|
957
|
|
|
714
|
|
|
708
|
|
|
2,610
|
|
|||||
Total
|
$
|
358
|
|
|
$
|
1,169
|
|
|
$
|
921
|
|
|
$
|
6,229
|
|
|
$
|
8,677
|
|
(1)
|
Operating lease obligations exclude escalations in building operating costs and real estate taxes.
|
(2)
|
Financial guaranty claim payments represent estimated undiscounted expected cash outflows under direct and assumed financial guaranty contracts, whether accounted for as insurance or credit derivatives, including claim payments under contracts in consolidated FG VIEs. The amounts presented are not reduced for cessions under reinsurance contracts. Amounts include any benefit anticipated from excess spread or other recoveries within the contracts but do not reflect any benefit for recoveries under breaches of R&W.
|
(3)
|
Amount excludes approximately $54 million of liabilities under various supplemental retirement plans, which are fair valued and payable at the time of termination of employment by either employer or employee. Amount also excludes approximately $76 million of liabilities under AGL 2004 long term incentive plan, which are fair valued and payable at the time of termination of employment by either employer or employee. Given the nature of these awards, we are unable to determine the year in which they will be paid.
|
|
As of December 31, 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
|
$
|
5,416
|
|
|
$
|
5,795
|
|
|
$
|
4,899
|
|
|
$
|
5,079
|
|
U.S. government and agencies
|
635
|
|
|
665
|
|
|
674
|
|
|
700
|
|
||||
Corporate securities
|
1,320
|
|
|
1,368
|
|
|
1,314
|
|
|
1,340
|
|
||||
Mortgage-backed securities(1):
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,255
|
|
|
1,285
|
|
|
1,160
|
|
|
1,122
|
|
||||
CMBS
|
639
|
|
|
659
|
|
|
536
|
|
|
549
|
|
||||
Asset-backed securities
|
411
|
|
|
417
|
|
|
605
|
|
|
608
|
|
||||
Foreign government securities
|
296
|
|
|
302
|
|
|
300
|
|
|
313
|
|
||||
Total fixed-maturity securities
|
9,972
|
|
|
10,491
|
|
|
9,488
|
|
|
9,711
|
|
||||
Short-term investments
|
767
|
|
|
767
|
|
|
904
|
|
|
904
|
|
||||
Total fixed-maturity and short-term investments
|
$
|
10,739
|
|
|
$
|
11,258
|
|
|
$
|
10,392
|
|
|
$
|
10,615
|
|
(1)
|
Government-agency obligations were approximately
44%
of mortgage backed securities as of
December 31, 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
|
$
|
64
|
|
|
$
|
0
|
|
|
$
|
25
|
|
|
$
|
(1
|
)
|
|
$
|
89
|
|
|
$
|
(1
|
)
|
U.S. government and agencies
|
139
|
|
|
0
|
|
|
68
|
|
|
(1
|
)
|
|
207
|
|
|
(1
|
)
|
||||||
Corporate securities
|
189
|
|
|
(3
|
)
|
|
104
|
|
|
(2
|
)
|
|
293
|
|
|
(5
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
RMBS
|
205
|
|
|
(3
|
)
|
|
159
|
|
|
(18
|
)
|
|
364
|
|
|
(21
|
)
|
||||||
CMBS
|
36
|
|
|
0
|
|
|
19
|
|
|
0
|
|
|
55
|
|
|
0
|
|
||||||
Asset-backed securities
|
56
|
|
|
(2
|
)
|
|
18
|
|
|
(1
|
)
|
|
74
|
|
|
(3
|
)
|
||||||
Foreign government securities
|
108
|
|
|
(2
|
)
|
|
0
|
|
|
0
|
|
|
108
|
|
|
(2
|
)
|
||||||
Total
|
$
|
797
|
|
|
$
|
(10
|
)
|
|
$
|
393
|
|
|
$
|
(23
|
)
|
|
$
|
1,190
|
|
|
$
|
(33
|
)
|
Number of securities(1)
|
|
|
|
125
|
|
|
|
|
|
82
|
|
|
|
|
|
198
|
|
||||||
Number of securities with other-than-temporary impairment
|
|
|
|
3
|
|
|
|
|
|
7
|
|
|
|
|
|
10
|
|
|
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
|
|
(1)
|
The number of securities does not add across because of lots of the same securities that have been purchased at different times and appear in both categories above (i.e., Less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the Total column.
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||
|
(in millions)
|
||||||
Due within one year
|
$
|
111
|
|
|
$
|
112
|
|
Due after one year through five years
|
1,961
|
|
|
2,028
|
|
||
Due after five years through 10 years
|
2,286
|
|
|
2,422
|
|
||
Due after 10 years
|
3,720
|
|
|
3,985
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,255
|
|
|
1,285
|
|
||
CMBS
|
639
|
|
|
659
|
|
||
Total
|
$
|
9,972
|
|
|
$
|
10,491
|
|
Rating
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
||
AAA
|
|
14.0
|
%
|
|
16.5
|
%
|
AA
|
|
60.3
|
|
|
57.5
|
|
A
|
|
17.9
|
|
|
17.6
|
|
BBB
|
|
0.5
|
|
|
0.9
|
|
BIG(1)
|
|
7.3
|
|
|
7.5
|
|
Total
|
|
100.0
|
%
|
|
100.0
|
%
|
(1)
|
Comprised primarily of loss mitigation and other risk management assets. See Note 11, Investments and Cash, of the Financial Statements and Supplementary Data.
|
•
|
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
December 31, 2014
the commitments totaled $3.6 billion of (which approximately $1.0 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
December 31, 2014
, no amounts were outstanding under the Repurchase Facility Agreement.
|
ITEM 7A.
|
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|
•
|
The fair value of credit derivatives within the financial guaranty portfolio of insured obligations which fluctuate based on changes in credit spreads of the underlying obligations and the Company's own credit spreads.
|
•
|
The Investment Portfolio's fair value is primarily driven by changes in interest rates and also affected by changes in credit spreads.
|
•
|
The Investment Portfolio also contains foreign denominated securities whose value fluctuates based on changes in foreign exchange rates.
|
•
|
Premiums receivable include foreign denominated receivables whose carrying value fluctuates based on changes in foreign exchange rates.
|
•
|
The fair value of the assets and liabilities of consolidated FG VIE's may fluctuate based on changes in prepayment spreads, default rates, interest rates, and house price depreciation/appreciation.
|
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
||||||||||||
Credit Spreads(1)
|
|
Estimated Net
Fair Value
(Pre-Tax)
|
|
Estimated Change
in Gain/(Loss)
(Pre-Tax)
|
|
Estimated Net
Fair Value (Pre-Tax) |
|
Estimated Change
in Gain/(Loss) (Pre-Tax) |
||||||||
|
(in millions)
|
|||||||||||||||
100% widening in spreads
|
$
|
(1,821
|
)
|
|
$
|
(926
|
)
|
|
$
|
(3,499
|
)
|
|
$
|
(1,806
|
)
|
|
50% widening in spreads
|
(1,358
|
)
|
|
(463
|
)
|
|
(2,596
|
)
|
|
(903
|
)
|
|||||
25% widening in spreads
|
(1,128
|
)
|
|
(233
|
)
|
|
(2,145
|
)
|
|
(452
|
)
|
|||||
10% widening in spreads
|
(989
|
)
|
|
(94
|
)
|
|
(1,874
|
)
|
|
(181
|
)
|
|||||
Base Scenario
|
(895
|
)
|
|
—
|
|
|
(1,693
|
)
|
|
—
|
|
|||||
10% narrowing in spreads
|
(809
|
)
|
|
86
|
|
|
(1,527
|
)
|
|
166
|
|
|||||
25% narrowing in spreads
|
(679
|
)
|
|
216
|
|
|
(1,276
|
)
|
|
417
|
|
|||||
50% narrowing in spreads
|
(466
|
)
|
|
429
|
|
|
(860
|
)
|
|
833
|
|
(1)
|
Includes the effects of spreads on both the underlying asset classes and the Company's own credit spread.
|
|
Increase (Decrease) in Fair Value from Changes in Interest Rates
|
||||||||||||||||||||||
|
300 Basis
Point
Decrease
|
|
200 Basis
Point
Decrease
|
|
100 Basis
Point
Decrease
|
|
100 Basis
Point
Increase
|
|
200 Basis
Point
Increase
|
|
300 Basis
Point
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
December 31, 2014
|
$
|
1,294
|
|
|
$
|
942
|
|
|
$
|
496
|
|
|
$
|
(509
|
)
|
|
$
|
(1,016
|
)
|
|
$
|
(1,514
|
)
|
December 31, 2013
|
953
|
|
|
768
|
|
|
446
|
|
|
(499
|
)
|
|
(984
|
)
|
|
(1,434
|
)
|
|
Increase (Decrease) in Fair Value from Changes in Foreign Exchange Rates
|
||||||||||||||||||||||
|
30%
Decrease
|
|
20%
Decrease
|
|
10%
Decrease
|
|
10%
Increase
|
|
20%
Increase
|
|
30%
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
December 31, 2014
|
$
|
(135
|
)
|
|
$
|
(90
|
)
|
|
$
|
(45
|
)
|
|
$
|
45
|
|
|
$
|
90
|
|
|
$
|
135
|
|
December 31, 2013
|
(131
|
)
|
|
(87
|
)
|
|
(44
|
)
|
|
44
|
|
|
87
|
|
|
131
|
|
|
Increase (Decrease) in Premium Receivable from Changes in Foreign Exchange Rates
|
||||||||||||||||||||||
|
30%
Decrease
|
|
20%
Decrease
|
|
10%
Decrease
|
|
10%
Increase
|
|
20%
Increase
|
|
30%
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
December 31, 2014
|
$
|
(95
|
)
|
|
$
|
(63
|
)
|
|
$
|
(32
|
)
|
|
$
|
32
|
|
|
$
|
63
|
|
|
$
|
95
|
|
December 31, 2013
|
(108
|
)
|
|
(72
|
)
|
|
(36
|
)
|
|
36
|
|
|
72
|
|
|
108
|
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
||||
Assets
|
|
|
|
|
|
||
Investment portfolio:
|
|
|
|
|
|
||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $9,972 and $9,488)
|
$
|
10,491
|
|
|
$
|
9,711
|
|
Short-term investments, at fair value
|
767
|
|
|
904
|
|
||
Other invested assets
|
126
|
|
|
170
|
|
||
Total investment portfolio
|
11,384
|
|
|
10,785
|
|
||
Cash
|
75
|
|
|
184
|
|
||
Premiums receivable, net of commissions payable
|
729
|
|
|
876
|
|
||
Ceded unearned premium reserve
|
381
|
|
|
452
|
|
||
Deferred acquisition costs
|
121
|
|
|
124
|
|
||
Reinsurance recoverable on unpaid losses
|
78
|
|
|
36
|
|
||
Salvage and subrogation recoverable
|
151
|
|
|
174
|
|
||
Credit derivative assets
|
68
|
|
|
94
|
|
||
Deferred tax asset, net
|
260
|
|
|
688
|
|
||
Financial guaranty variable interest entities’ assets, at fair value
|
1,402
|
|
|
2,565
|
|
||
Other assets
|
276
|
|
|
309
|
|
||
Total assets
|
$
|
14,925
|
|
|
$
|
16,287
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
|
||
Unearned premium reserve
|
$
|
4,261
|
|
|
$
|
4,595
|
|
Loss and loss adjustment expense reserve
|
799
|
|
|
592
|
|
||
Reinsurance balances payable, net
|
107
|
|
|
148
|
|
||
Long-term debt
|
1,303
|
|
|
816
|
|
||
Credit derivative liabilities
|
963
|
|
|
1,787
|
|
||
Current income tax payable
|
5
|
|
|
44
|
|
||
Financial guaranty variable interest entities’ liabilities with recourse, at fair value
|
1,277
|
|
|
1,790
|
|
||
Financial guaranty variable interest entities’ liabilities without recourse, at fair value
|
142
|
|
|
1,081
|
|
||
Other liabilities
|
310
|
|
|
319
|
|
||
Total liabilities
|
9,167
|
|
|
11,172
|
|
||
Commitments and contingencies (See Note 16)
|
|
|
|
||||
Common stock ($0.01 par value, 500,000,000 shares authorized; 158,306,661 and 182,177,866 shares issued and outstanding)
|
2
|
|
|
2
|
|
||
Additional paid-in capital
|
1,887
|
|
|
2,466
|
|
||
Retained earnings
|
3,494
|
|
|
2,482
|
|
||
Accumulated other comprehensive income, net of tax of $159 and $71
|
370
|
|
|
160
|
|
||
Deferred equity compensation (320,193 and 320,193 shares)
|
5
|
|
|
5
|
|
||
Total shareholders’ equity
|
5,758
|
|
|
5,115
|
|
||
Total liabilities and shareholders’ equity
|
$
|
14,925
|
|
|
$
|
16,287
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
Revenues
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
570
|
|
|
$
|
752
|
|
|
$
|
853
|
|
Net investment income
|
403
|
|
|
393
|
|
|
404
|
|
|||
Net realized investment gains (losses):
|
|
|
|
|
|
|
|
||||
Other-than-temporary impairment losses
|
(76
|
)
|
|
(32
|
)
|
|
(58
|
)
|
|||
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income
|
(1
|
)
|
|
10
|
|
|
(41
|
)
|
|||
Net impairment loss
|
(75
|
)
|
|
(42
|
)
|
|
(17
|
)
|
|||
Other net realized investment gains (losses)
|
15
|
|
|
94
|
|
|
18
|
|
|||
Net realized investment gains (losses)
|
(60
|
)
|
|
52
|
|
|
1
|
|
|||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
||||||
Realized gains (losses) and other settlements
|
23
|
|
|
(42
|
)
|
|
(108
|
)
|
|||
Net unrealized gains (losses)
|
800
|
|
|
107
|
|
|
(477
|
)
|
|||
Net change in fair value of credit derivatives
|
823
|
|
|
65
|
|
|
(585
|
)
|
|||
Fair value gains (losses) on committed capital securities
|
(11
|
)
|
|
10
|
|
|
(18
|
)
|
|||
Fair value gains (losses) on financial guaranty variable interest entities
|
255
|
|
|
346
|
|
|
191
|
|
|||
Other income (loss)
|
14
|
|
|
(10
|
)
|
|
108
|
|
|||
Total revenues
|
1,994
|
|
|
1,608
|
|
|
954
|
|
|||
Expenses
|
|
|
|
|
|
|
|
||||
Loss and loss adjustment expenses
|
126
|
|
|
154
|
|
|
504
|
|
|||
Amortization of deferred acquisition costs
|
25
|
|
|
12
|
|
|
14
|
|
|||
Interest expense
|
92
|
|
|
82
|
|
|
92
|
|
|||
Other operating expenses
|
220
|
|
|
218
|
|
|
212
|
|
|||
Total expenses
|
463
|
|
|
466
|
|
|
822
|
|
|||
Income (loss) before income taxes
|
1,531
|
|
|
1,142
|
|
|
132
|
|
|||
Provision (benefit) for income taxes
|
|
|
|
|
|
|
|
||||
Current
|
96
|
|
|
157
|
|
|
57
|
|
|||
Deferred
|
347
|
|
|
177
|
|
|
(35
|
)
|
|||
Total provision (benefit) for income taxes
|
443
|
|
|
334
|
|
|
22
|
|
|||
Net income (loss)
|
$
|
1,088
|
|
|
$
|
808
|
|
|
$
|
110
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
||||||
Basic
|
$
|
6.30
|
|
|
$
|
4.32
|
|
|
$
|
0.58
|
|
Diluted
|
$
|
6.26
|
|
|
$
|
4.30
|
|
|
$
|
0.57
|
|
Dividends per share
|
$
|
0.44
|
|
|
$
|
0.40
|
|
|
$
|
0.36
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
Net income (loss)
|
$
|
1,088
|
|
|
$
|
808
|
|
|
$
|
110
|
|
Unrealized holding gains (losses) arising during the period on:
|
|
|
|
|
|
|
|
||||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $80, $(106) and $56
|
196
|
|
|
(309
|
)
|
|
148
|
|
|||
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(9), $(17) and $(2)
|
(20
|
)
|
|
(35
|
)
|
|
(7
|
)
|
|||
Unrealized holding gains (losses) arising during the period, net of tax
|
176
|
|
|
(344
|
)
|
|
141
|
|
|||
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(21), $5 and $(7)
|
(41
|
)
|
|
14
|
|
|
(4
|
)
|
|||
Change in net unrealized gains on investments
|
217
|
|
|
(358
|
)
|
|
145
|
|
|||
Other, net of tax provision
|
(7
|
)
|
|
3
|
|
|
2
|
|
|||
Other comprehensive income (loss)
|
$
|
210
|
|
|
$
|
(355
|
)
|
|
$
|
147
|
|
Comprehensive income (loss)
|
$
|
1,298
|
|
|
$
|
453
|
|
|
$
|
257
|
|
|
Common Shares Outstanding
|
|
|
Common Stock Par Value
|
|
Additional
Paid-in Capital |
|
Retained Earnings
|
|
Accumulated
Other Comprehensive Income |
|
Deferred
Equity Compensation |
|
Total
Shareholders’ Equity |
|||||||||||||
Balance at December 31, 2011
|
182,235,798
|
|
|
|
2
|
|
|
2,570
|
|
|
1,708
|
|
|
368
|
|
|
4
|
|
|
4,652
|
|
||||||
Net income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
110
|
|
|
—
|
|
|
—
|
|
|
110
|
|
||||||
Dividends ($0.36 per share)
|
—
|
|
|
|
—
|
|
|
—
|
|
|
(69
|
)
|
|
—
|
|
|
—
|
|
|
(69
|
)
|
||||||
Common stock issuance, net
|
13,428,770
|
|
|
|
0
|
|
|
173
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
173
|
|
||||||
Common stock repurchases
|
(2,066,759
|
)
|
|
|
0
|
|
|
(24
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(24
|
)
|
||||||
Share-based compensation and other
|
405,488
|
|
|
|
0
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5
|
|
||||||
Other comprehensive income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
147
|
|
|
—
|
|
|
147
|
|
||||||
Balance at December 31, 2012
|
194,003,297
|
|
|
|
2
|
|
|
2,724
|
|
|
1,749
|
|
|
515
|
|
|
4
|
|
|
4,994
|
|
||||||
Net income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
808
|
|
|
—
|
|
|
—
|
|
|
808
|
|
||||||
Dividends ($0.40 per share)
|
—
|
|
|
|
—
|
|
|
—
|
|
|
(75
|
)
|
|
—
|
|
|
—
|
|
|
(75
|
)
|
||||||
Common stock repurchases
|
(12,512,759
|
)
|
|
|
0
|
|
|
(264
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(264
|
)
|
||||||
Share-based compensation and other
|
687,328
|
|
|
|
0
|
|
|
6
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
7
|
|
||||||
Other comprehensive loss
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(355
|
)
|
|
—
|
|
|
(355
|
)
|
||||||
Balance at December 31, 2013
|
182,177,866
|
|
|
|
$
|
2
|
|
|
$
|
2,466
|
|
|
$
|
2,482
|
|
|
$
|
160
|
|
|
$
|
5
|
|
|
$
|
5,115
|
|
Net income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
1,088
|
|
|
—
|
|
|
—
|
|
|
1,088
|
|
||||||
Dividends ($0.44 per share)
|
—
|
|
|
|
—
|
|
|
—
|
|
|
(76
|
)
|
|
—
|
|
|
—
|
|
|
(76
|
)
|
||||||
Common stock repurchases
|
(24,413,781
|
)
|
|
|
0
|
|
|
(590
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(590
|
)
|
||||||
Share-based compensation and other
|
542,576
|
|
|
|
0
|
|
|
11
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11
|
|
||||||
Other comprehensive loss
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
210
|
|
|
—
|
|
|
210
|
|
||||||
Balance at December 31, 2014
|
158,306,661
|
|
|
|
$
|
2
|
|
|
$
|
1,887
|
|
|
$
|
3,494
|
|
|
$
|
370
|
|
|
$
|
5
|
|
|
$
|
5,758
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
Operating Activities:
|
|
|
|
|
|
||||||
Net Income
|
$
|
1,088
|
|
|
$
|
808
|
|
|
$
|
110
|
|
Adjustments to reconcile net income to net cash flows provided by operating activities:
|
|
|
|
|
|
||||||
Non-cash interest and operating expenses
|
23
|
|
|
19
|
|
|
18
|
|
|||
Net amortization of premium (discount) on investments
|
(16
|
)
|
|
(8
|
)
|
|
8
|
|
|||
Provision (benefit) for deferred income taxes
|
347
|
|
|
177
|
|
|
(35
|
)
|
|||
Net realized investment losses (gains)
|
60
|
|
|
(52
|
)
|
|
(1
|
)
|
|||
Net unrealized losses (gains) on credit derivatives
|
(800
|
)
|
|
(107
|
)
|
|
477
|
|
|||
Fair value loss (gains) on committed capital securities
|
11
|
|
|
(10
|
)
|
|
18
|
|
|||
Change in deferred acquisition costs
|
3
|
|
|
(8
|
)
|
|
18
|
|
|||
Change in premiums receivable, net of commissions payable
|
108
|
|
|
86
|
|
|
48
|
|
|||
Change in ceded unearned premium reserve
|
69
|
|
|
109
|
|
|
141
|
|
|||
Change in unearned premium reserve
|
(332
|
)
|
|
(612
|
)
|
|
(749
|
)
|
|||
Change in loss and loss adjustment expense reserve, net
|
182
|
|
|
136
|
|
|
(258
|
)
|
|||
Change in current income tax
|
(45
|
)
|
|
30
|
|
|
129
|
|
|||
Change in financial guaranty variable interest entities' assets and liabilities, net
|
(170
|
)
|
|
(295
|
)
|
|
(7
|
)
|
|||
(Purchases) sales of trading securities, net
|
78
|
|
|
(16
|
)
|
|
(59
|
)
|
|||
Other
|
(29
|
)
|
|
(13
|
)
|
|
(23
|
)
|
|||
Net cash flows provided by (used in) operating activities
|
577
|
|
|
244
|
|
|
(165
|
)
|
|||
Investing activities
|
|
|
|
|
|
|
|
||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
||||
Purchases
|
(2,801
|
)
|
|
(1,886
|
)
|
|
(1,649
|
)
|
|||
Sales
|
1,251
|
|
|
1,029
|
|
|
912
|
|
|||
Maturities
|
877
|
|
|
883
|
|
|
1,105
|
|
|||
Net sales (purchases) of short-term investments
|
158
|
|
|
(87
|
)
|
|
29
|
|
|||
Net proceeds from paydowns on financial guaranty variable interest entities’ assets
|
408
|
|
|
663
|
|
|
545
|
|
|||
Acquisition of MAC, net of cash acquired
|
—
|
|
|
—
|
|
|
(91
|
)
|
|||
Other
|
11
|
|
|
79
|
|
|
92
|
|
|||
Net cash flows provided by (used in) investing activities
|
(96
|
)
|
|
681
|
|
|
943
|
|
|||
Financing activities
|
|
|
|
|
|
|
|
||||
Proceeds from issuances of common stock
|
—
|
|
|
—
|
|
|
173
|
|
|||
Dividends paid
|
(76
|
)
|
|
(75
|
)
|
|
(69
|
)
|
|||
Repurchases of common stock
|
(590
|
)
|
|
(264
|
)
|
|
(24
|
)
|
|||
Share activity under option and incentive plans
|
1
|
|
|
(1
|
)
|
|
(3
|
)
|
|||
Net paydowns of financial guaranty variable interest entities’ liabilities
|
(396
|
)
|
|
(511
|
)
|
|
(724
|
)
|
|||
Net proceeds from issuance of long-term debt
|
495
|
|
|
—
|
|
|
—
|
|
|||
Repayment of long-term debt
|
(19
|
)
|
|
(27
|
)
|
|
(209
|
)
|
|||
Net cash flows provided by (used in) financing activities
|
(585
|
)
|
|
(878
|
)
|
|
(856
|
)
|
|||
Effect of foreign exchange rate changes
|
(5
|
)
|
|
(1
|
)
|
|
1
|
|
|||
Increase (decrease) in cash
|
(109
|
)
|
|
46
|
|
|
(77
|
)
|
|||
Cash at beginning of period
|
184
|
|
|
138
|
|
|
215
|
|
|||
Cash at end of period
|
$
|
75
|
|
|
$
|
184
|
|
|
$
|
138
|
|
Supplemental cash flow information
|
|
|
|
|
|
|
|
||||
Cash paid (received) during the period for:
|
|
|
|
|
|
|
|
||||
Income taxes
|
$
|
122
|
|
|
$
|
110
|
|
|
$
|
(24
|
)
|
Interest
|
$
|
86
|
|
|
$
|
76
|
|
|
$
|
85
|
|
1.
|
Business and Basis of Presentation
|
•
|
Assured Guaranty Municipal Corp. ("AGM"), domiciled in New York;
|
•
|
Municipal Assurance Corp. ("MAC"), domiciled in New York;
|
•
|
Assured Guaranty Corp. ("AGC"), domiciled in Maryland;
|
•
|
Assured Guaranty (Europe) Ltd. ("AGE"), organized in the United Kingdom; and
|
•
|
Assured Guaranty Re Ltd. (“AG Re”), domiciled in Bermuda.
|
2.
|
Rating Actions
|
•
|
On March 18, 2014, S&P upgraded the financial strength ratings of all of AGL's insurance subsidiaries to AA (stable outlook) from AA- (stable outlook); it affirmed such ratings in a credit analysis issued on July 2, 2014.
|
•
|
On July 2, 2014, Moody's 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 August 4, 2014, KBRA affirmed MAC's AA+ (stable outlook) financial strength rating.
|
•
|
On November 13, 2014, KBRA assigned a financial strength rating of AA+ (stable outlook) to AGM.
|
•
|
On January 20, 2015, Moody's adopted changes to its credit methodology for financial guaranty insurance companies, and on February 18, 2015 Moody's published a credit opinion maintaining its existing ratings of AGL and its subsidiaries under that new methodology.
|
•
|
Note 7, Financial Guaranty Insurance Losses
|
•
|
Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives
|
•
|
Note 14, Reinsurance and Other Monoline Exposures
|
•
|
Note 17, Long-Term Debt and Credit Facilities (regarding the impact on the Company's insured leveraged lease transactions)
|
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
|
||||||||||||
|
December 31,
2014 |
|
December 31,
2013 |
|
December 31,
2014 |
|
December 31,
2013 |
||||||||
|
(in millions)
|
||||||||||||||
Public finance
|
$
|
587,245
|
|
|
$
|
650,924
|
|
|
$
|
553,612
|
|
|
$
|
610,011
|
|
Structured finance
|
59,477
|
|
|
86,456
|
|
|
56,010
|
|
|
80,524
|
|
||||
Total financial guaranty
|
$
|
646,722
|
|
|
$
|
737,380
|
|
|
$
|
609,622
|
|
|
$
|
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
|
|
$
|
4,082
|
|
|
1.3
|
%
|
|
$
|
615
|
|
|
2.0
|
%
|
|
$
|
20,037
|
|
|
48.7
|
%
|
|
$
|
5,409
|
|
|
59.6
|
%
|
|
$
|
30,143
|
|
|
7.5
|
%
|
AA
|
|
90,464
|
|
|
28.1
|
|
|
2,785
|
|
|
8.9
|
|
|
8,213
|
|
|
19.9
|
|
|
503
|
|
|
5.5
|
|
|
101,965
|
|
|
25.3
|
|
|||||
A
|
|
176,298
|
|
|
54.7
|
|
|
7,192
|
|
|
22.9
|
|
|
2,940
|
|
|
7.1
|
|
|
445
|
|
|
4.9
|
|
|
186,875
|
|
|
46.3
|
|
|||||
BBB
|
|
43,429
|
|
|
13.5
|
|
|
19,363
|
|
|
61.7
|
|
|
1,795
|
|
|
4.4
|
|
|
1,912
|
|
|
21.1
|
|
|
66,499
|
|
|
16.4
|
|
|||||
BIG
|
|
7,850
|
|
|
2.4
|
|
|
1,404
|
|
|
4.5
|
|
|
8,186
|
|
|
19.9
|
|
|
807
|
|
|
8.9
|
|
|
18,247
|
|
|
4.5
|
|
|||||
Total net par outstanding (1)
|
|
$
|
322,123
|
|
|
100.0
|
%
|
|
$
|
31,359
|
|
|
100.0
|
%
|
|
$
|
41,171
|
|
|
100.0
|
%
|
|
$
|
9,076
|
|
|
100.0
|
%
|
|
$
|
403,729
|
|
|
100.0
|
%
|
(1)
|
Excludes $
1.3 billion
of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily in the BIG category.
|
|
|
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 (1)
|
|
$
|
352,181
|
|
|
100.0
|
%
|
|
$
|
33,998
|
|
|
100.0
|
%
|
|
$
|
58,907
|
|
|
100.0
|
%
|
|
$
|
14,021
|
|
|
100.0
|
%
|
|
$
|
459,107
|
|
|
100.0
|
%
|
(1)
|
Excludes $
1.2 billion
of loss mitigation securities insured and held by the Company as of December 31, 2013, which are primarily in the BIG category.
|
|
Gross Par Outstanding
|
|
Ceded Par Outstanding
|
|
Net Par Outstanding
|
||||||||||||||||||
Sector
|
As of December 31, 2014
|
|
As of December 31, 2013
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Public finance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
General obligation
|
$
|
144,714
|
|
|
$
|
160,751
|
|
|
$
|
4,438
|
|
|
$
|
5,474
|
|
|
$
|
140,276
|
|
|
$
|
155,277
|
|
Tax backed
|
65,600
|
|
|
70,552
|
|
|
3,075
|
|
|
3,728
|
|
|
62,525
|
|
|
66,824
|
|
||||||
Municipal utilities
|
53,471
|
|
|
57,893
|
|
|
1,381
|
|
|
1,569
|
|
|
52,090
|
|
|
56,324
|
|
||||||
Transportation
|
28,914
|
|
|
32,514
|
|
|
1,091
|
|
|
1,684
|
|
|
27,823
|
|
|
30,830
|
|
||||||
Healthcare
|
16,225
|
|
|
17,663
|
|
|
1,377
|
|
|
1,531
|
|
|
14,848
|
|
|
16,132
|
|
||||||
Higher education
|
13,485
|
|
|
14,470
|
|
|
386
|
|
|
399
|
|
|
13,099
|
|
|
14,071
|
|
||||||
Infrastructure finance
|
5,098
|
|
|
5,014
|
|
|
917
|
|
|
900
|
|
|
4,181
|
|
|
4,114
|
|
||||||
Housing
|
2,880
|
|
|
3,518
|
|
|
101
|
|
|
132
|
|
|
2,779
|
|
|
3,386
|
|
||||||
Investor-owned utilities
|
944
|
|
|
992
|
|
|
0
|
|
|
1
|
|
|
944
|
|
|
991
|
|
||||||
Other public finance—U.S.
|
3,575
|
|
|
4,249
|
|
|
17
|
|
|
17
|
|
|
3,558
|
|
|
4,232
|
|
||||||
Total public finance—U.S.
|
334,906
|
|
|
367,616
|
|
|
12,783
|
|
|
15,435
|
|
|
322,123
|
|
|
352,181
|
|
||||||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Infrastructure finance
|
15,091
|
|
|
17,373
|
|
|
2,283
|
|
|
2,670
|
|
|
12,808
|
|
|
14,703
|
|
||||||
Regulated utilities
|
14,582
|
|
|
15,502
|
|
|
3,668
|
|
|
4,297
|
|
|
10,914
|
|
|
11,205
|
|
||||||
Pooled infrastructure
|
2,565
|
|
|
2,754
|
|
|
145
|
|
|
234
|
|
|
2,420
|
|
|
2,520
|
|
||||||
Other public finance—non-U.S.
|
6,216
|
|
|
6,645
|
|
|
999
|
|
|
1,075
|
|
|
5,217
|
|
|
5,570
|
|
||||||
Total public finance—non-U.S.
|
38,454
|
|
|
42,274
|
|
|
7,095
|
|
|
8,276
|
|
|
31,359
|
|
|
33,998
|
|
||||||
Total public finance
|
373,360
|
|
|
409,890
|
|
|
19,878
|
|
|
23,711
|
|
|
353,482
|
|
|
386,179
|
|
||||||
Structured finance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pooled corporate obligations
|
21,791
|
|
|
32,955
|
|
|
1,145
|
|
|
1,630
|
|
|
20,646
|
|
|
31,325
|
|
||||||
RMBS
|
10,109
|
|
|
14,542
|
|
|
692
|
|
|
821
|
|
|
9,417
|
|
|
13,721
|
|
||||||
Insurance securitizations
|
3,480
|
|
|
3,082
|
|
|
47
|
|
|
47
|
|
|
3,433
|
|
|
3,035
|
|
||||||
Financial product
|
2,276
|
|
|
2,709
|
|
|
—
|
|
|
—
|
|
|
2,276
|
|
|
2,709
|
|
||||||
Consumer receivables
|
2,157
|
|
|
2,257
|
|
|
58
|
|
|
59
|
|
|
2,099
|
|
|
2,198
|
|
||||||
Commercial mortgage-backed securities ("CMBS")
and other commercial real estate related exposures
|
1,979
|
|
|
3,990
|
|
|
22
|
|
|
38
|
|
|
1,957
|
|
|
3,952
|
|
||||||
Commercial receivables
|
567
|
|
|
918
|
|
|
7
|
|
|
7
|
|
|
560
|
|
|
911
|
|
||||||
Structured credit
|
71
|
|
|
71
|
|
|
2
|
|
|
2
|
|
|
69
|
|
|
69
|
|
||||||
Other structured finance—U.S.
|
858
|
|
|
2,067
|
|
|
144
|
|
|
1,080
|
|
|
714
|
|
|
987
|
|
||||||
Total structured finance—U.S.
|
43,288
|
|
|
62,591
|
|
|
2,117
|
|
|
3,684
|
|
|
41,171
|
|
|
58,907
|
|
||||||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pooled corporate obligations
|
7,439
|
|
|
12,232
|
|
|
835
|
|
|
1,174
|
|
|
6,604
|
|
|
11,058
|
|
||||||
Commercial receivables
|
965
|
|
|
1,286
|
|
|
21
|
|
|
23
|
|
|
944
|
|
|
1,263
|
|
||||||
RMBS
|
893
|
|
|
1,296
|
|
|
99
|
|
|
150
|
|
|
794
|
|
|
1,146
|
|
||||||
Structured credit
|
9
|
|
|
197
|
|
|
—
|
|
|
21
|
|
|
9
|
|
|
176
|
|
||||||
Other structured finance—non-U.S.
|
750
|
|
|
403
|
|
|
25
|
|
|
25
|
|
|
725
|
|
|
378
|
|
||||||
Total structured finance—non-U.S.
|
10,056
|
|
|
15,414
|
|
|
980
|
|
|
1,393
|
|
|
9,076
|
|
|
14,021
|
|
||||||
Total structured finance
|
53,344
|
|
|
78,005
|
|
|
3,097
|
|
|
5,077
|
|
|
50,247
|
|
|
72,928
|
|
||||||
Total net par outstanding
|
$
|
426,704
|
|
|
$
|
487,895
|
|
|
$
|
22,975
|
|
|
$
|
28,788
|
|
|
$
|
403,729
|
|
|
$
|
459,107
|
|
|
Public Finance
|
|
Structured Finance
|
|
Total
|
||||||
|
(in millions)
|
||||||||||
0 to 5 years
|
$
|
98,431
|
|
|
$
|
36,482
|
|
|
$
|
134,913
|
|
5 to 10 years
|
75,279
|
|
|
5,454
|
|
|
80,733
|
|
|||
10 to 15 years
|
67,354
|
|
|
2,874
|
|
|
70,228
|
|
|||
15 to 20 years
|
51,139
|
|
|
2,412
|
|
|
53,551
|
|
|||
20 years and above
|
61,279
|
|
|
3,025
|
|
|
64,304
|
|
|||
Total net par outstanding
|
$
|
353,482
|
|
|
$
|
50,247
|
|
|
$
|
403,729
|
|
|
BIG Net Par Outstanding
|
|
Net Par
|
||||||||||||||||
|
BIG 1
|
|
BIG 2
|
|
BIG 3
|
|
Total BIG
|
|
Outstanding
|
||||||||||
|
|
|
|
|
(in millions)
|
|
|
|
|
||||||||||
First lien U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Prime first lien
|
$
|
68
|
|
|
$
|
33
|
|
|
$
|
252
|
|
|
$
|
353
|
|
|
$
|
471
|
|
Alt-A first lien
|
585
|
|
|
531
|
|
|
725
|
|
|
1,841
|
|
|
2,532
|
|
|||||
Option ARM
|
47
|
|
|
18
|
|
|
118
|
|
|
183
|
|
|
407
|
|
|||||
Subprime
|
156
|
|
|
654
|
|
|
765
|
|
|
1,575
|
|
|
4,051
|
|
|||||
Second lien U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Closed-end second lien
|
—
|
|
|
19
|
|
|
115
|
|
|
134
|
|
|
218
|
|
|||||
Home equity lines of credit (“HELOCs”)
|
1,012
|
|
|
36
|
|
|
509
|
|
|
1,557
|
|
|
1,738
|
|
|||||
Total U.S. RMBS
|
1,868
|
|
|
1,291
|
|
|
2,484
|
|
|
5,643
|
|
|
9,417
|
|
|||||
Trust preferred securities (“TruPS”)
|
997
|
|
|
—
|
|
|
336
|
|
|
1,333
|
|
|
4,326
|
|
|||||
Other structured finance
|
1,021
|
|
|
240
|
|
|
756
|
|
|
2,017
|
|
|
36,504
|
|
|||||
U.S. public finance
|
6,577
|
|
|
1,156
|
|
|
117
|
|
|
7,850
|
|
|
322,123
|
|
|||||
Non-U.S. public finance
|
1,402
|
|
|
2
|
|
|
—
|
|
|
1,404
|
|
|
31,359
|
|
|||||
Total
|
$
|
11,865
|
|
|
$
|
2,689
|
|
|
$
|
3,693
|
|
|
$
|
18,247
|
|
|
$
|
403,729
|
|
|
BIG Net Par Outstanding
|
|
Net Par
|
||||||||||||||||
|
BIG 1
|
|
BIG 2
|
|
BIG 3
|
|
Total BIG
|
|
Outstanding
|
||||||||||
|
|
|
|
|
(in millions)
|
|
|
|
|
||||||||||
First lien U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Prime first lien
|
$
|
52
|
|
|
$
|
321
|
|
|
$
|
30
|
|
|
$
|
403
|
|
|
$
|
541
|
|
Alt-A first lien
|
656
|
|
|
1,137
|
|
|
935
|
|
|
2,728
|
|
|
3,590
|
|
|||||
Option ARM
|
71
|
|
|
60
|
|
|
467
|
|
|
598
|
|
|
937
|
|
|||||
Subprime
|
297
|
|
|
908
|
|
|
740
|
|
|
1,945
|
|
|
6,130
|
|
|||||
Second lien U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Closed-end second lien
|
8
|
|
|
20
|
|
|
118
|
|
|
146
|
|
|
244
|
|
|||||
HELOCs
|
1,499
|
|
|
20
|
|
|
378
|
|
|
1,897
|
|
|
2,279
|
|
|||||
Total U.S. RMBS
|
2,583
|
|
|
2,466
|
|
|
2,668
|
|
|
7,717
|
|
|
13,721
|
|
|||||
TruPS
|
1,587
|
|
|
135
|
|
|
—
|
|
|
1,722
|
|
|
4,970
|
|
|||||
Other structured finance
|
1,367
|
|
|
309
|
|
|
721
|
|
|
2,397
|
|
|
54,237
|
|
|||||
U.S. public finance
|
8,205
|
|
|
440
|
|
|
449
|
|
|
9,094
|
|
|
352,181
|
|
|||||
Non-U.S. public finance
|
1,009
|
|
|
599
|
|
|
—
|
|
|
1,608
|
|
|
33,998
|
|
|||||
Total
|
$
|
14,751
|
|
|
$
|
3,949
|
|
|
$
|
3,838
|
|
|
$
|
22,538
|
|
|
$
|
459,107
|
|
|
|
Net Par Outstanding
|
|
Number of Risks(2)
|
|||||||||||||||||
Description
|
|
Financial
Guaranty
Insurance(1)
|
|
Credit
Derivative
|
|
Total
|
|
Financial
Guaranty
Insurance(1)
|
|
Credit
Derivative
|
|
Total
|
|||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||
BIG:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Category 1
|
|
$
|
10,195
|
|
|
$
|
1,670
|
|
|
$
|
11,865
|
|
|
164
|
|
|
18
|
|
|
182
|
|
Category 2
|
|
2,135
|
|
|
554
|
|
|
2,689
|
|
|
75
|
|
|
14
|
|
|
89
|
|
|||
Category 3
|
|
2,892
|
|
|
801
|
|
|
3,693
|
|
|
119
|
|
|
24
|
|
|
143
|
|
|||
Total BIG
|
|
$
|
15,222
|
|
|
$
|
3,025
|
|
|
$
|
18,247
|
|
|
358
|
|
|
56
|
|
|
414
|
|
|
|
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.
|
|
Number of Risks
|
|
Net Par Outstanding
|
|
Percent of Total Net Par Outstanding
|
||||
|
(dollars in millions)
|
||||||||
U.S.:
|
|
|
|
|
|
||||
U.S. Public finance:
|
|
|
|
|
|
||||
California
|
1,465
|
|
|
$
|
50,668
|
|
|
12.6
|
%
|
Pennsylvania
|
1,009
|
|
|
26,173
|
|
|
6.5
|
|
|
New York
|
995
|
|
|
26,044
|
|
|
6.5
|
|
|
Texas
|
1,239
|
|
|
25,449
|
|
|
6.3
|
|
|
Illinois
|
830
|
|
|
22,825
|
|
|
5.7
|
|
|
Florida
|
384
|
|
|
19,470
|
|
|
4.8
|
|
|
New Jersey
|
602
|
|
|
13,558
|
|
|
3.4
|
|
|
Michigan
|
668
|
|
|
12,739
|
|
|
3.2
|
|
|
Georgia
|
192
|
|
|
8,217
|
|
|
2.0
|
|
|
Ohio
|
507
|
|
|
7,818
|
|
|
1.9
|
|
|
Other states and U.S. territories
|
4,174
|
|
|
109,162
|
|
|
27.0
|
|
|
Total U.S. public finance
|
12,065
|
|
|
322,123
|
|
|
79.9
|
|
|
U.S. Structured finance (multiple states)
|
839
|
|
|
41,171
|
|
|
10.2
|
|
|
Total U.S.
|
12,904
|
|
|
363,294
|
|
|
90.1
|
|
|
Non-U.S.:
|
|
|
|
|
|
||||
United Kingdom
|
114
|
|
|
19,856
|
|
|
4.9
|
|
|
Australia
|
26
|
|
|
4,121
|
|
|
1.0
|
|
|
Canada
|
10
|
|
|
3,526
|
|
|
0.9
|
|
|
France
|
20
|
|
|
2,820
|
|
|
0.7
|
|
|
Italy
|
9
|
|
|
1,501
|
|
|
0.4
|
|
|
Other
|
78
|
|
|
8,611
|
|
|
2.0
|
|
|
Total non-U.S.
|
257
|
|
|
40,435
|
|
|
9.9
|
|
|
Total
|
13,161
|
|
|
$
|
403,729
|
|
|
100.0
|
%
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-infrastructure public finance(2)
|
$
|
—
|
|
|
$
|
878
|
|
|
$
|
91
|
|
|
$
|
239
|
|
|
$
|
1,208
|
|
Infrastructure finance
|
313
|
|
|
13
|
|
|
11
|
|
|
135
|
|
|
472
|
|
|||||
Total sovereign and sub-sovereign exposure
|
313
|
|
|
891
|
|
|
102
|
|
|
374
|
|
|
1,680
|
|
|||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Regulated utilities
|
—
|
|
|
220
|
|
|
—
|
|
|
—
|
|
|
220
|
|
|||||
RMBS
|
186
|
|
|
267
|
|
|
—
|
|
|
—
|
|
|
453
|
|
|||||
Total non-sovereign exposure
|
186
|
|
|
487
|
|
|
—
|
|
|
—
|
|
|
673
|
|
|||||
Total
|
$
|
499
|
|
|
$
|
1,378
|
|
|
$
|
102
|
|
|
$
|
374
|
|
|
$
|
2,353
|
|
Total BIG (See Note 6)
|
$
|
424
|
|
|
$
|
—
|
|
|
$
|
102
|
|
|
$
|
374
|
|
|
$
|
900
|
|
(1)
|
While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. One of the 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
|
||||||||||||
|
December 31,
2014 |
|
December 31,
2013 |
|
December 31,
2014 |
|
December 31,
2013 |
||||||||
|
(in millions)
|
||||||||||||||
Subject to the Now Voided Recovery Act (1)
|
$
|
3,058
|
|
|
$
|
3,279
|
|
|
$
|
5,326
|
|
|
$
|
5,748
|
|
Not subject to the Now Voided Recovery Act
|
2,977
|
|
|
3,517
|
|
|
4,748
|
|
|
5,599
|
|
||||
Total
|
$
|
6,035
|
|
|
$
|
6,796
|
|
|
$
|
10,074
|
|
|
$
|
11,347
|
|
(1)
|
On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the Federal Bankruptcy Code and is therefore void. On February 19, 2015, the Commonwealth appealed the ruling to the U.S. Court of Appeals for the First Circuit.
|
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
||||||||
|
|
Total
|
|
Internal Rating
|
|
Total
|
|
Internal Rating
|
||||
|
|
(in millions)
|
||||||||||
Exposures subject to the Now Voided Recovery Act:
|
|
|
|
|
|
|
|
|
||||
PRHTA (Transportation revenue)
|
|
$
|
844
|
|
|
BB-
|
|
$
|
872
|
|
|
BB-
|
PREPA
|
|
772
|
|
|
B-
|
|
860
|
|
|
BB-
|
||
Puerto Rico Aqueduct and Sewer Authority
|
|
384
|
|
|
BB-
|
|
384
|
|
|
BB-
|
||
PRHTA (Highway revenue)
|
|
273
|
|
|
BB
|
|
302
|
|
|
BB
|
||
Puerto Rico Convention Center District Authority
|
|
174
|
|
|
BB-
|
|
185
|
|
|
BB-
|
||
Puerto Rico Public Finance Corporation
|
|
—
|
|
|
—
|
|
44
|
|
|
B
|
||
Total
|
|
2,447
|
|
|
|
|
2,647
|
|
|
|
||
|
|
|
|
|
|
|
|
|
||||
Exposures not subject to the Now Voided Recovery Act:
|
|
|
|
|
|
|
|
|
||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
|
1,672
|
|
|
BB
|
|
1,885
|
|
|
BB
|
||
Puerto Rico Municipal Finance Agency
|
|
399
|
|
|
BB-
|
|
450
|
|
|
BB-
|
||
Puerto Rico Sales Tax Financing Corporation
|
|
269
|
|
|
BBB
|
|
268
|
|
|
A-
|
||
Puerto Rico Public Buildings Authority
|
|
100
|
|
|
BB
|
|
139
|
|
|
BB
|
||
GDB
|
|
33
|
|
|
BB
|
|
33
|
|
|
BB
|
||
Puerto Rico Infrastructure Finance Authority
|
|
18
|
|
|
BB-
|
|
18
|
|
|
BB-
|
||
University of Puerto Rico
|
|
1
|
|
|
BB-
|
|
1
|
|
|
BB-
|
||
Total
|
|
2,492
|
|
|
|
|
2,794
|
|
|
|
||
Total net exposure to Puerto Rico
|
|
$
|
4,939
|
|
|
|
|
$
|
5,441
|
|
|
|
|
Scheduled BIG Net Par Amortization
|
|
Scheduled BIG Net Debt Service Amortization
|
|
||||||||||||||||||||
|
Subject to the Now Voided Recovery Act
|
|
Not Subject to the Now Voided Recovery Act
|
|
Total
|
|
Subject to the Now Voided Recovery Act
|
|
Not Subject to the Now Voided Recovery Act
|
|
Total
|
|
||||||||||||
|
(in millions)
|
|
||||||||||||||||||||||
2015
|
$
|
126
|
|
|
$
|
205
|
|
|
$
|
331
|
|
|
$
|
249
|
|
|
$
|
319
|
|
|
$
|
568
|
|
|
2016
|
84
|
|
|
183
|
|
|
267
|
|
|
199
|
|
|
287
|
|
|
486
|
|
|
||||||
2017
|
41
|
|
|
166
|
|
|
207
|
|
|
153
|
|
|
262
|
|
|
415
|
|
|
||||||
2018
|
48
|
|
|
109
|
|
|
157
|
|
|
158
|
|
|
195
|
|
|
353
|
|
|
||||||
2019
|
61
|
|
|
126
|
|
|
187
|
|
|
168
|
|
|
207
|
|
|
375
|
|
|
||||||
2020
|
73
|
|
|
182
|
|
|
255
|
|
|
176
|
|
|
258
|
|
|
434
|
|
|
||||||
2021
|
51
|
|
|
58
|
|
|
109
|
|
|
151
|
|
|
124
|
|
|
275
|
|
|
||||||
2022
|
42
|
|
|
67
|
|
|
109
|
|
|
140
|
|
|
129
|
|
|
269
|
|
|
||||||
2023
|
102
|
|
|
40
|
|
|
142
|
|
|
198
|
|
|
99
|
|
|
297
|
|
|
||||||
2024
|
82
|
|
|
78
|
|
|
160
|
|
|
174
|
|
|
136
|
|
|
310
|
|
|
||||||
2025 - 2029
|
576
|
|
|
340
|
|
|
916
|
|
|
951
|
|
|
566
|
|
|
1,517
|
|
|
||||||
2030 - 2034
|
440
|
|
|
387
|
|
|
827
|
|
|
696
|
|
|
541
|
|
|
1,237
|
|
|
||||||
2035 - 2039
|
397
|
|
|
270
|
|
|
667
|
|
|
526
|
|
|
304
|
|
|
830
|
|
|
||||||
2040 - 2044
|
78
|
|
|
12
|
|
|
90
|
|
|
147
|
|
|
13
|
|
|
160
|
|
|
||||||
2045 - 2047
|
246
|
|
|
—
|
|
|
246
|
|
|
271
|
|
|
—
|
|
|
271
|
|
|
||||||
Total
|
$
|
2,447
|
|
|
$
|
2,223
|
|
|
$
|
4,670
|
|
|
$
|
4,357
|
|
|
$
|
3,440
|
|
|
$
|
7,797
|
|
|
4.
|
Financial Guaranty Insurance Premiums
|
•
|
For premiums received upfront on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is equal to the amount of cash received. Upfront premiums typically relate to public finance transactions.
|
•
|
For premiums received in installments on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is the present value of either (1) contractual premiums due or (2) in cases where the underlying collateral is comprised of homogeneous pools of assets, the expected premiums to be collected over the life of the contract. To be considered a homogeneous pool of assets, prepayments must be contractually prepayable, the amount of prepayments must be probable, and the timing and amount of prepayments must be reasonably estimable. When the Company adjusts prepayment assumptions or expected premium collections, an adjustment is recorded to the deferred premium revenue, with a corresponding adjustment to the premium receivable, and prospective changes are recognized in premium revenues. Premiums receivable are discounted at the risk-free rate at inception and such discount rate is updated only when changes to prepayment assumptions are made that change the expected date of final maturity. Installment premiums typically relate to structured finance transactions, where the insurance premium rate is determined at the inception of the contract but the insured par is subject to prepayment throughout the life of the transaction.
|
•
|
For financial guaranty insurance contracts acquired in a business combination, deferred premium revenue is equal to the fair value of the Company's stand-ready obligation portion of the insurance contract at the date of acquisition based on what a hypothetical similarly rated financial guaranty insurer would have charged for the contract at that date and not the actual cash flows under the insurance contract. The amount of deferred premium revenue may differ significantly from cash collections due primarily to fair value adjustments recorded in connection with a business combination.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Scheduled net earned premiums
|
$
|
415
|
|
|
$
|
470
|
|
|
$
|
581
|
|
Acceleration of net earned premiums
|
136
|
|
|
263
|
|
|
249
|
|
|||
Accretion of discount on net premiums receivable
|
16
|
|
|
17
|
|
|
22
|
|
|||
Financial guaranty insurance net earned premiums
|
567
|
|
|
750
|
|
|
852
|
|
|||
Other
|
3
|
|
|
2
|
|
|
1
|
|
|||
Net earned premiums (1)
|
$
|
570
|
|
|
$
|
752
|
|
|
$
|
853
|
|
(1)
|
Excludes $
32 million
, $
60 million
and
$153 million
for the year ended
December 31, 2014
,
2013
and
2012
, respectively, related to consolidated FG VIEs.
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
||||||||||||||||||||
|
Gross
|
|
Ceded
|
|
Net(1)
|
|
Gross
|
|
Ceded
|
|
Net(1)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Deferred premium revenue:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Financial guaranty insurance
|
$
|
4,167
|
|
|
$
|
387
|
|
|
$
|
3,780
|
|
|
$
|
4,647
|
|
|
$
|
470
|
|
|
$
|
4,177
|
|
Other
|
0
|
|
|
—
|
|
|
0
|
|
|
5
|
|
|
—
|
|
|
5
|
|
||||||
Deferred premium revenue
|
$
|
4,167
|
|
|
$
|
387
|
|
|
$
|
3,780
|
|
|
$
|
4,652
|
|
|
$
|
470
|
|
|
$
|
4,182
|
|
Contra-paid(2)
|
94
|
|
|
(6
|
)
|
|
100
|
|
|
(57
|
)
|
|
(18
|
)
|
|
(39
|
)
|
||||||
Unearned premium reserve
|
$
|
4,261
|
|
|
$
|
381
|
|
|
$
|
3,880
|
|
|
$
|
4,595
|
|
|
$
|
452
|
|
|
$
|
4,143
|
|
(1)
|
Excludes $
125 million
and $
187 million
deferred premium revenue and
$42 million
and
$55 million
of contra-paid related to FG VIEs as of
December 31, 2014
and
December 31, 2013
, respectively.
|
(2)
|
See Note 7, "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" for an explanation of "contra-paid".
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Beginning of period, December 31
|
$
|
876
|
|
|
$
|
1,005
|
|
|
$
|
1,003
|
|
Gross premium written, net of commissions on assumed business
|
171
|
|
|
145
|
|
|
211
|
|
|||
Gross premiums received, net of commissions on assumed business
|
(230
|
)
|
|
(259
|
)
|
|
(294
|
)
|
|||
Adjustments:
|
|
|
|
|
|
||||||
Changes in the expected term
|
(66
|
)
|
|
(28
|
)
|
|
44
|
|
|||
Accretion of discount, net of commissions on assumed business
|
10
|
|
|
20
|
|
|
36
|
|
|||
Foreign exchange translation
|
(31
|
)
|
|
(1
|
)
|
|
13
|
|
|||
Consolidation/deconsolidation of FG VIEs
|
(1
|
)
|
|
—
|
|
|
(5
|
)
|
|||
Other adjustments
|
—
|
|
|
(6
|
)
|
|
(3
|
)
|
|||
End of period, December 31 (1)
|
$
|
729
|
|
|
$
|
876
|
|
|
$
|
1,005
|
|
(1)
|
Excludes $
19 million
, $
21 million
and
$29 million
as of
December 31, 2014
,
2013
and
2012
, respectively, related to consolidated FG VIEs.
|
|
As of December 31, 2014
|
||
|
(in millions)
|
||
2015 (January 1 – March 31)
|
$
|
31
|
|
2015 (April 1 – June 30)
|
26
|
|
|
2015 (July 1 – September 30)
|
20
|
|
|
2015 (October 1 – December 31)
|
20
|
|
|
2016
|
74
|
|
|
2017
|
69
|
|
|
2018
|
62
|
|
|
2019
|
58
|
|
|
2020-2024
|
242
|
|
|
2025-2029
|
154
|
|
|
2030-2034
|
106
|
|
|
After 2034
|
102
|
|
|
Total(1)
|
$
|
964
|
|
(1)
|
Excludes expected cash collections on FG VIEs of $
25 million
.
|
|
As of December 31, 2014
|
||
|
(in millions)
|
||
2015 (January 1 – March 31)
|
$
|
93
|
|
2015 (April 1 – June 30)
|
91
|
|
|
2015 (July 1 – September 30)
|
89
|
|
|
2015 (October 1 – December 31)
|
86
|
|
|
Subtotal 2015
|
359
|
|
|
2016
|
332
|
|
|
2017
|
295
|
|
|
2018
|
269
|
|
|
2019
|
246
|
|
|
2020-2024
|
968
|
|
|
2025-2029
|
615
|
|
|
2030-2034
|
370
|
|
|
After 2034
|
326
|
|
|
Total present value basis(1)
|
3,780
|
|
|
Discount
|
208
|
|
|
Total future value
|
$
|
3,988
|
|
(1)
|
Excludes scheduled net earned premiums on consolidated FG VIEs of $
125 million
.
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
||||
|
(dollars in millions)
|
||||||
Premiums receivable, net of commission payable
|
$
|
729
|
|
|
$
|
876
|
|
Gross deferred premium revenue
|
1,370
|
|
|
1,576
|
|
||
Weighted-average risk-free rate used to discount premiums
|
3.5
|
%
|
|
3.4
|
%
|
||
Weighted-average period of premiums receivable (in years)
|
9.4
|
|
|
9.4
|
|
5.
|
Financial Guaranty Insurance Acquisition Costs
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Beginning of period
|
$
|
124
|
|
|
$
|
116
|
|
|
$
|
132
|
|
Costs deferred during the period:
|
|
|
|
|
|
||||||
Commissions on assumed and ceded business
|
7
|
|
|
9
|
|
|
(13
|
)
|
|||
Premium taxes
|
3
|
|
|
4
|
|
|
4
|
|
|||
Compensation and other acquisition costs
|
10
|
|
|
8
|
|
|
10
|
|
|||
Total
|
20
|
|
|
21
|
|
|
1
|
|
|||
Costs amortized during the period
|
(23
|
)
|
|
(13
|
)
|
|
(17
|
)
|
|||
End of period
|
$
|
121
|
|
|
$
|
124
|
|
|
$
|
116
|
|
6.
|
Expected Loss to be Paid
|
|
Net Expected
Loss to be
Paid (Recovered) as of
December 31, 2013(2)
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Net Expected
Loss to be Paid (Recovered) as of December 31, 2014(2) |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
25
|
|
|
$
|
(17
|
)
|
|
$
|
(2
|
)
|
|
$
|
6
|
|
Alt-A first lien
|
578
|
|
|
(13
|
)
|
|
(155
|
)
|
|
410
|
|
||||
Option ARM
|
164
|
|
|
(45
|
)
|
|
(120
|
)
|
|
(1
|
)
|
||||
Subprime
|
422
|
|
|
43
|
|
|
(53
|
)
|
|
412
|
|
||||
Total first lien
|
1,189
|
|
|
(32
|
)
|
|
(330
|
)
|
|
827
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
87
|
|
|
(3
|
)
|
|
9
|
|
|
93
|
|
||||
HELOCs
|
(71
|
)
|
|
35
|
|
|
17
|
|
|
(19
|
)
|
||||
Total second lien
|
16
|
|
|
32
|
|
|
26
|
|
|
74
|
|
||||
Total U.S. RMBS
|
1,205
|
|
|
0
|
|
|
(304
|
)
|
|
901
|
|
||||
TruPS
|
51
|
|
|
(28
|
)
|
|
—
|
|
|
23
|
|
||||
Other structured finance
|
120
|
|
|
96
|
|
|
2
|
|
|
218
|
|
||||
U.S. public finance
|
264
|
|
|
183
|
|
|
(144
|
)
|
|
303
|
|
||||
Non-U.S. public finance
|
57
|
|
|
(12
|
)
|
|
—
|
|
|
45
|
|
||||
Other insurance
|
(3
|
)
|
|
(1
|
)
|
|
—
|
|
|
(4
|
)
|
||||
Total
|
$
|
1,694
|
|
|
$
|
238
|
|
|
$
|
(446
|
)
|
|
$
|
1,486
|
|
|
Net Expected
Loss to be
Paid (Recovered) as of
December 31, 2012
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Net Expected
Loss to be Paid (Recovered) as of December 31, 2013(2) |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
10
|
|
|
$
|
16
|
|
|
$
|
(1
|
)
|
|
$
|
25
|
|
Alt-A first lien
|
693
|
|
|
(40
|
)
|
|
(75
|
)
|
|
578
|
|
||||
Option ARM
|
460
|
|
|
63
|
|
|
(359
|
)
|
|
164
|
|
||||
Subprime
|
351
|
|
|
101
|
|
|
(30
|
)
|
|
422
|
|
||||
Total first lien
|
1,514
|
|
|
140
|
|
|
(465
|
)
|
|
1,189
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
99
|
|
|
(3
|
)
|
|
(9
|
)
|
|
87
|
|
||||
HELOCs
|
39
|
|
|
3
|
|
|
(113
|
)
|
|
(71
|
)
|
||||
Total second lien
|
138
|
|
|
0
|
|
|
(122
|
)
|
|
16
|
|
||||
Total U.S. RMBS
|
1,652
|
|
|
140
|
|
|
(587
|
)
|
|
1,205
|
|
||||
TruPS
|
27
|
|
|
7
|
|
|
17
|
|
|
51
|
|
||||
Other structured finance
|
312
|
|
|
(41
|
)
|
|
(151
|
)
|
|
120
|
|
||||
U.S. public finance
|
7
|
|
|
239
|
|
|
18
|
|
|
264
|
|
||||
Non-U.S. public finance
|
52
|
|
|
17
|
|
|
(12
|
)
|
|
57
|
|
||||
Other insurance
|
(3
|
)
|
|
(10
|
)
|
|
10
|
|
|
(3
|
)
|
||||
Total
|
$
|
2,047
|
|
|
$
|
352
|
|
|
$
|
(705
|
)
|
|
$
|
1,694
|
|
(1)
|
Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled
45 days
after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. The Company paid
$37 million
and
$54 million
in LAE for the years ended
December 31, 2014
and
2013
, respectively.
|
(2)
|
Includes expected LAE to be paid of $
16 million
as of
December 31, 2014
and $
34 million
as of
December 31, 2013
.
|
|
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 December 31, 2014 (1) |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
4
|
|
|
$
|
(1
|
)
|
|
$
|
(1
|
)
|
|
$
|
2
|
|
Alt-A first lien
|
274
|
|
|
131
|
|
|
(299
|
)
|
|
106
|
|
||||
Option ARM
|
173
|
|
|
14
|
|
|
(172
|
)
|
|
15
|
|
||||
Subprime
|
118
|
|
|
50
|
|
|
(59
|
)
|
|
109
|
|
||||
Total first lien
|
569
|
|
|
194
|
|
|
(531
|
)
|
|
232
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
98
|
|
|
(6
|
)
|
|
(7
|
)
|
|
85
|
|
||||
HELOC
|
45
|
|
|
80
|
|
|
(125
|
)
|
|
—
|
|
||||
Total second lien
|
143
|
|
|
74
|
|
|
(132
|
)
|
|
85
|
|
||||
Total
|
$
|
712
|
|
|
$
|
268
|
|
|
$
|
(663
|
)
|
|
$
|
317
|
|
|
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 December 31, 2013 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
4
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4
|
|
Alt-A first lien
|
378
|
|
|
41
|
|
|
(145
|
)
|
|
274
|
|
||||
Option ARM
|
591
|
|
|
161
|
|
|
(579
|
)
|
|
173
|
|
||||
Subprime
|
109
|
|
|
9
|
|
|
—
|
|
|
118
|
|
||||
Total first lien
|
1,082
|
|
|
211
|
|
|
(724
|
)
|
|
569
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
138
|
|
|
(9
|
)
|
|
(31
|
)
|
|
98
|
|
||||
HELOC
|
150
|
|
|
94
|
|
|
(199
|
)
|
|
45
|
|
||||
Total second lien
|
288
|
|
|
85
|
|
|
(230
|
)
|
|
143
|
|
||||
Total
|
$
|
1,370
|
|
|
$
|
296
|
|
|
$
|
(954
|
)
|
|
$
|
712
|
|
(1)
|
See the section "Breaches of Representations and Warranties" below for eligible assets held in trust.
|
|
Net Expected
Loss to be
Paid (Recovered) as of
December 31, 2013
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Net Expected
Loss to be Paid (Recovered) as of December 31, 2014 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
21
|
|
|
$
|
(16
|
)
|
|
$
|
(1
|
)
|
|
$
|
4
|
|
Alt-A first lien
|
304
|
|
|
(144
|
)
|
|
144
|
|
|
304
|
|
||||
Option ARM
|
(9
|
)
|
|
(59
|
)
|
|
52
|
|
|
(16
|
)
|
||||
Subprime
|
304
|
|
|
(7
|
)
|
|
6
|
|
|
303
|
|
||||
Total first lien
|
620
|
|
|
(226
|
)
|
|
201
|
|
|
595
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(11
|
)
|
|
3
|
|
|
16
|
|
|
8
|
|
||||
HELOCs
|
(116
|
)
|
|
(45
|
)
|
|
142
|
|
|
(19
|
)
|
||||
Total second lien
|
(127
|
)
|
|
(42
|
)
|
|
158
|
|
|
(11
|
)
|
||||
Total U.S. RMBS
|
493
|
|
|
(268
|
)
|
|
359
|
|
|
584
|
|
||||
TruPS
|
51
|
|
|
(28
|
)
|
|
—
|
|
|
23
|
|
||||
Other structured finance
|
120
|
|
|
96
|
|
|
2
|
|
|
218
|
|
||||
U.S. public finance
|
264
|
|
|
183
|
|
|
(144
|
)
|
|
303
|
|
||||
Non-U.S. public finance
|
57
|
|
|
(12
|
)
|
|
—
|
|
|
45
|
|
||||
Other insurance
|
(3
|
)
|
|
(1
|
)
|
|
—
|
|
|
(4
|
)
|
||||
Total
|
$
|
982
|
|
|
$
|
(30
|
)
|
|
$
|
217
|
|
|
$
|
1,169
|
|
|
Net Expected
Loss to be
Paid (Recovered) as of
December 31, 2012
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Net Expected
Loss to be Paid (Recovered) as of December 31, 2013 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
6
|
|
|
$
|
16
|
|
|
$
|
(1
|
)
|
|
$
|
21
|
|
Alt-A first lien
|
315
|
|
|
(81
|
)
|
|
70
|
|
|
304
|
|
||||
Option ARM
|
(131
|
)
|
|
(98
|
)
|
|
220
|
|
|
(9
|
)
|
||||
Subprime
|
242
|
|
|
92
|
|
|
(30
|
)
|
|
304
|
|
||||
Total first lien
|
432
|
|
|
(71
|
)
|
|
259
|
|
|
620
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(39
|
)
|
|
6
|
|
|
22
|
|
|
(11
|
)
|
||||
HELOCs
|
(111
|
)
|
|
(91
|
)
|
|
86
|
|
|
(116
|
)
|
||||
Total second lien
|
(150
|
)
|
|
(85
|
)
|
|
108
|
|
|
(127
|
)
|
||||
Total U.S. RMBS
|
282
|
|
|
(156
|
)
|
|
367
|
|
|
493
|
|
||||
TruPS
|
27
|
|
|
7
|
|
|
17
|
|
|
51
|
|
||||
Other structured finance
|
312
|
|
|
(41
|
)
|
|
(151
|
)
|
|
120
|
|
||||
U.S. public finance
|
7
|
|
|
239
|
|
|
18
|
|
|
264
|
|
||||
Non-U.S. public finance
|
52
|
|
|
17
|
|
|
(12
|
)
|
|
57
|
|
||||
Other insurance
|
(3
|
)
|
|
(10
|
)
|
|
10
|
|
|
(3
|
)
|
||||
Total
|
$
|
677
|
|
|
$
|
56
|
|
|
$
|
249
|
|
|
$
|
982
|
|
(1)
|
Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses and recoveries are typically settled
45 days
after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets.
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2) |
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
$
|
2
|
|
|
$
|
—
|
|
|
$
|
2
|
|
|
$
|
4
|
|
Alt-A first lien
|
288
|
|
|
17
|
|
|
(1
|
)
|
|
304
|
|
||||
Option ARM
|
(15
|
)
|
|
—
|
|
|
(1
|
)
|
|
(16
|
)
|
||||
Subprime
|
163
|
|
|
71
|
|
|
69
|
|
|
303
|
|
||||
Total first lien
|
438
|
|
|
88
|
|
|
69
|
|
|
595
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(27
|
)
|
|
31
|
|
|
4
|
|
|
8
|
|
||||
HELOCs
|
(26
|
)
|
|
7
|
|
|
—
|
|
|
(19
|
)
|
||||
Total second lien
|
(53
|
)
|
|
38
|
|
|
4
|
|
|
(11
|
)
|
||||
Total U.S. RMBS
|
385
|
|
|
126
|
|
|
73
|
|
|
584
|
|
||||
TruPS
|
1
|
|
|
—
|
|
|
22
|
|
|
23
|
|
||||
Other structured finance
|
255
|
|
|
—
|
|
|
(37
|
)
|
|
218
|
|
||||
U.S. public finance
|
303
|
|
|
—
|
|
|
—
|
|
|
303
|
|
||||
Non-U.S. public finance
|
45
|
|
|
—
|
|
|
—
|
|
|
45
|
|
||||
Subtotal
|
$
|
989
|
|
|
$
|
126
|
|
|
$
|
58
|
|
|
1,173
|
|
|
Other
|
|
|
|
|
|
|
(4
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
1,169
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2) |
|
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
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(16
|
)
|
|
$
|
(16
|
)
|
Alt-A first lien
|
(87
|
)
|
|
(13
|
)
|
|
(44
|
)
|
|
(144
|
)
|
||||
Option ARM
|
(48
|
)
|
|
1
|
|
|
(12
|
)
|
|
(59
|
)
|
||||
Subprime
|
(15
|
)
|
|
6
|
|
|
2
|
|
|
(7
|
)
|
||||
Total first lien
|
(150
|
)
|
|
(6
|
)
|
|
(70
|
)
|
|
(226
|
)
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(2
|
)
|
|
8
|
|
|
(3
|
)
|
|
3
|
|
||||
HELOCs
|
(128
|
)
|
|
83
|
|
|
—
|
|
|
(45
|
)
|
||||
Total second lien
|
(130
|
)
|
|
91
|
|
|
(3
|
)
|
|
(42
|
)
|
||||
Total U.S. RMBS
|
(280
|
)
|
|
85
|
|
|
(73
|
)
|
|
(268
|
)
|
||||
TruPS
|
(2
|
)
|
|
—
|
|
|
(26
|
)
|
|
(28
|
)
|
||||
Other structured finance
|
97
|
|
|
—
|
|
|
(1
|
)
|
|
96
|
|
||||
U.S. public finance
|
183
|
|
|
—
|
|
|
—
|
|
|
183
|
|
||||
Non-U.S. public finance
|
(10
|
)
|
|
—
|
|
|
(2
|
)
|
|
(12
|
)
|
||||
Subtotal
|
$
|
(12
|
)
|
|
$
|
85
|
|
|
$
|
(102
|
)
|
|
(29
|
)
|
|
Other
|
|
|
|
|
|
|
(1
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
(30
|
)
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|||||
Prime first lien
|
$
|
(1
|
)
|
|
$
|
—
|
|
|
$
|
17
|
|
|
$
|
16
|
|
Alt-A first lien
|
(54
|
)
|
|
5
|
|
|
(32
|
)
|
|
(81
|
)
|
||||
Option ARM
|
(62
|
)
|
|
(36
|
)
|
|
—
|
|
|
(98
|
)
|
||||
Subprime
|
48
|
|
|
32
|
|
|
12
|
|
|
92
|
|
||||
Total first lien
|
(69
|
)
|
|
1
|
|
|
(3
|
)
|
|
(71
|
)
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
30
|
|
|
(34
|
)
|
|
10
|
|
|
6
|
|
||||
HELOCs
|
(91
|
)
|
|
(1
|
)
|
|
1
|
|
|
(91
|
)
|
||||
Total second lien
|
(61
|
)
|
|
(35
|
)
|
|
11
|
|
|
(85
|
)
|
||||
Total U.S. RMBS
|
(130
|
)
|
|
(34
|
)
|
|
8
|
|
|
(156
|
)
|
||||
TruPS
|
—
|
|
|
—
|
|
|
7
|
|
|
7
|
|
||||
Other structured finance
|
(36
|
)
|
|
—
|
|
|
(5
|
)
|
|
(41
|
)
|
||||
U.S. public finance
|
239
|
|
|
—
|
|
|
—
|
|
|
239
|
|
||||
Non-U.S. public finance
|
16
|
|
|
—
|
|
|
1
|
|
|
17
|
|
||||
Subtotal
|
$
|
89
|
|
|
$
|
(34
|
)
|
|
$
|
11
|
|
|
66
|
|
|
Other
|
|
|
|
|
|
|
(10
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
56
|
|
•
|
updated the liquidation rates it uses on delinquent loans based on observations and on an assumption that loan modifications (which improve liquidation rates) would over the next year be less frequent than they were over the most recent year
|
•
|
updated the liquidation rate it uses for loans reported as current but that had been reported as modified over the previous twelve months, based on observed data
|
•
|
established a liquidation rate assumption for loans reported as current and not modified in the past twelve months but that had been reported as delinquent in the previous twelve months
|
•
|
established loss severity assumptions by vintage category as well as product type, rather than just product type as done previously
|
•
|
beginning with the third quarter 2014, each quarter shortened by three months the period it is projecting it will take in the base case to reach the final CDR
|
•
|
reflect increased recoveries on newly defaulted loans as well as previously defaulted loans
|
•
|
project incremental defaults associated with increased monthly payments that occur when interest-only periods end
|
•
|
increase the assumed final conditional prepayment rate ("CPR") from
10%
to
15%
|
•
|
established a liquidation rate assumption for loans reported as current but that had been reported as modified in the previous
12
months,
|
•
|
assumed that currently delinquent loans that did not roll to liquidation would behave like modified loans, and so applied the modified loan liquidation rate to them,
|
•
|
increased from
two
to
three
years the period over which it calculates the initial CDR based on assumed liquidations of non-performing loans and modified loans, to account for the longer period modified loans will take to default,
|
•
|
increased the period it assumes the transactions will experience the initial loss severity assumption before it improves and the period during which the transaction will experience low voluntary prepayment rates,
|
•
|
established an assumption for servicers not to advance loan payments on all delinquent loans
|
|
December 31, 2014
|
|
December 31, 2013
|
|
December 31, 2012
|
Current Loans Modified in Previous 12 Months
|
|
|
|
|
|
Alt A and Prime
|
25%
|
|
35%
|
|
N/A
|
Option ARM
|
25
|
|
35
|
|
N/A
|
Subprime
|
25
|
|
35
|
|
N/A
|
Current Loans Delinquent in the Previous 12 Months
|
|
|
|
|
|
Alt A and Prime
|
25
|
|
N/A
|
|
N/A
|
Option ARM
|
25
|
|
N/A
|
|
N/A
|
Subprime
|
25
|
|
N/A
|
|
N/A
|
30 – 59 Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
35
|
|
50
|
|
35%
|
Option ARM
|
40
|
|
50
|
|
50
|
Subprime
|
35
|
|
45
|
|
30
|
60 – 89 Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
50
|
|
60
|
|
55
|
Option ARM
|
55
|
|
65
|
|
65
|
Subprime
|
40
|
|
50
|
|
45
|
90+ Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
60
|
|
75
|
|
65
|
Option ARM
|
65
|
|
70
|
|
75
|
Subprime
|
55
|
|
60
|
|
60
|
Bankruptcy
|
|
|
|
|
|
Alt A and Prime
|
45
|
|
60
|
|
55
|
Option ARM
|
50
|
|
60
|
|
70
|
Subprime
|
40
|
|
55
|
|
50
|
Foreclosure
|
|
|
|
|
|
Alt A and Prime
|
75
|
|
85
|
|
85
|
Option ARM
|
80
|
|
80
|
|
85
|
Subprime
|
70
|
|
70
|
|
80
|
Real Estate Owned
|
|
|
|
|
|
All
|
100
|
|
100
|
|
100
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|||||||||||||||
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
|||||||||
Alt-A First Lien
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
2.0
|
%
|
–
|
13.4%
|
|
7.3%
|
|
2.8
|
%
|
–
|
18.4%
|
|
9.7%
|
|
3.8
|
%
|
–
|
23.2%
|
|
13.3%
|
Intermediate CDR
|
0.4
|
%
|
–
|
2.7%
|
|
1.5%
|
|
0.6
|
%
|
–
|
3.7%
|
|
1.9%
|
|
0.8
|
%
|
–
|
4.6%
|
|
2.7%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
|
36 months
|
|
|
|||||||||
Final CDR
|
0.1
|
%
|
–
|
0.7%
|
|
0.3%
|
|
0.1
|
%
|
–
|
0.9%
|
|
0.5%
|
|
0.2
|
%
|
–
|
1.2%
|
|
0.6%
|
Initial loss severity:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
2005 and prior
|
60%
|
|
|
|
65%
|
|
|
|
65%
|
|
|
|||||||||
2006
|
70%
|
|
|
|
65%
|
|
|
|
65%
|
|
|
|||||||||
2007
|
65%
|
|
|
|
65%
|
|
|
|
65%
|
|
|
|||||||||
Initial CPR
|
1.7
|
%
|
–
|
21.0%
|
|
7.7%
|
|
0.0
|
%
|
–
|
34.2%
|
|
9.7%
|
|
0.0
|
%
|
–
|
39.4%
|
|
7.4%
|
Final CPR(2)
|
15%
|
|
|
|
15%
|
|
|
|
15%
|
|
|
|||||||||
Option ARM
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
4.3
|
%
|
–
|
14.2%
|
|
10.6%
|
|
4.9
|
%
|
–
|
16.8%
|
|
11.9%
|
|
7.0
|
%
|
–
|
26.1%
|
|
18.4%
|
Intermediate CDR
|
0.9
|
%
|
–
|
2.8%
|
|
2.1%
|
|
1.0
|
%
|
–
|
3.4%
|
|
2.4%
|
|
1.4
|
%
|
–
|
5.2%
|
|
3.7%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
|
36 months
|
|
|
|||||||||
Final CDR
|
0.2
|
%
|
–
|
0.7%
|
|
0.5%
|
|
0.2
|
%
|
–
|
0.8%
|
|
0.5%
|
|
0.4
|
%
|
–
|
1.3%
|
|
0.8%
|
Initial loss severity:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
2005 and prior
|
60%
|
|
|
|
65%
|
|
|
|
65%
|
|
|
|||||||||
2006
|
70%
|
|
|
|
65%
|
|
|
|
65%
|
|
|
|||||||||
2007
|
65%
|
|
|
|
65%
|
|
|
|
65%
|
|
|
|||||||||
Initial CPR
|
1.1
|
%
|
–
|
11.8%
|
|
4.9%
|
|
0.4
|
%
|
–
|
13.1%
|
|
4.7%
|
|
0.0
|
%
|
–
|
10.7%
|
|
4.0%
|
Final CPR(2)
|
15%
|
|
|
|
15%
|
|
|
|
15%
|
|
|
|||||||||
Subprime
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
4.9
|
%
|
–
|
15.0%
|
|
10.6%
|
|
5.6
|
%
|
–
|
16.2%
|
|
11.8%
|
|
7.3
|
%
|
–
|
26.2%
|
|
17.3%
|
Intermediate CDR
|
1.0
|
%
|
–
|
3.0%
|
|
2.1%
|
|
1.1
|
%
|
–
|
3.2%
|
|
2.4%
|
|
1.5
|
%
|
–
|
5.2%
|
|
3.5%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
|
36 months
|
|
|
|||||||||
Final CDR
|
0.2
|
%
|
–
|
0.7%
|
|
0.4%
|
|
0.3
|
%
|
–
|
0.8%
|
|
0.4%
|
|
0.4
|
%
|
–
|
1.3%
|
|
0.6%
|
Initial loss severity:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
2005 and prior
|
75%
|
|
|
|
90%
|
|
|
|
90%
|
|
|
|||||||||
2006
|
90%
|
|
|
|
90%
|
|
|
|
90%
|
|
|
|||||||||
2007
|
90%
|
|
|
|
90%
|
|
|
|
90%
|
|
|
|||||||||
Initial CPR
|
0.0
|
%
|
–
|
10.5%
|
|
6.1%
|
|
0.0
|
%
|
–
|
15.7%
|
|
4.1%
|
|
0.0
|
%
|
–
|
17.6%
|
|
3.6%
|
Final CPR(2)
|
15%
|
|
|
|
15%
|
|
|
|
15%
|
|
|
(2)
|
For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used.
|
HELOC key assumptions
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|||||||||||||||
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
|||||||||
Plateau CDR
|
2.8
|
%
|
–
|
6.8%
|
|
4.1%
|
|
2.3
|
%
|
–
|
7.7%
|
|
4.9%
|
|
3.8
|
%
|
–
|
15.9%
|
|
8.8%
|
Final CDR trended down to
|
0.5
|
%
|
–
|
3.2%
|
|
1.2%
|
|
0.4
|
%
|
–
|
3.2%
|
|
1.1%
|
|
0.4
|
%
|
–
|
3.2%
|
|
1.2%
|
Period until final CDR
|
34 months
|
|
|
|
34 months
|
|
|
|
36 months
|
|
|
|||||||||
Initial CPR
|
6.9
|
%
|
–
|
21.8%
|
|
11.0%
|
|
2.7
|
%
|
–
|
21.5%
|
|
9.9%
|
|
2.9
|
%
|
–
|
15.4%
|
|
6.6%
|
Final CPR(2)
|
15.0
|
%
|
–
|
21.8%
|
|
15.5%
|
|
10%
|
|
|
|
10%
|
|
|
||||||
Loss severity
|
90
|
%
|
–
|
98%
|
|
90.4%
|
|
98%
|
|
|
|
98%
|
|
|
Closed-end second lien key assumptions
|
As of
December 31, 2014 |
|
|
|
As of
December 31, 2013 |
|
|
|
As of
December 31, 2012 |
|||||||||||
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
|||||||||
Plateau CDR
|
5.5
|
%
|
–
|
12.5%
|
|
7.2%
|
|
7.3
|
%
|
–
|
15.1%
|
|
8.5%
|
|
7.3
|
%
|
–
|
20.7%
|
|
12.7%
|
Final CDR trended down to
|
3.5
|
%
|
–
|
9.1%
|
|
4.9%
|
|
3.5
|
%
|
–
|
9.1%
|
|
5.0%
|
|
3.5
|
%
|
–
|
9.1%
|
|
4.9%
|
Period until final CDR
|
34 months
|
|
|
|
34 months
|
|
|
|
36 months
|
|
|
|||||||||
Initial CPR
|
2.8
|
%
|
–
|
13.9%
|
|
9.9%
|
|
3.1
|
%
|
–
|
12.0%
|
|
7.1%
|
|
1.9
|
%
|
–
|
12.5%
|
|
4.0%
|
Final CPR(2)
|
15%
|
|
|
|
10%
|
|
|
|
10%
|
|
|
|||||||||
Loss severity
|
98%
|
|
|
|
98%
|
|
|
|
98%
|
|
|
(1)
|
Represents variables for most heavily weighted scenario (the “base case”).
|
(2)
|
For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used.
|
•
|
Bank of America
.
Under the Company's agreement with Bank of America Corporation and certain of its subsidiaries (“Bank of America”), Bank of America agreed to reimburse the Company for
80%
of claims on the first lien transactions covered by the agreement that the Company pays in the future, until the aggregate lifetime collateral losses (not insurance losses or claims) on those transactions reach
$6.6 billion
. As of
December 31, 2014
aggregate lifetime collateral losses on those transactions was
$4.1 billion
, and the Company was projecting in its base case that such collateral losses would eventually reach
$5.1 billion
. Bank of America's reimbursement obligation is secured by
$574 million
of collateral held in trust for the Company's benefit.
|
•
|
Deutsche Bank.
Under the Company's May 2012 agreement with Deutsche Bank AG and certain of its affiliates (collectively, “Deutsche Bank”), Deutsche Bank agreed to reimburse the Company for certain claims it pays in the future on eight first and second lien transactions, including
80%
of claims it pays on those transactions until the aggregate lifetime claims (before reimbursement) reach
$319 million
. As of
December 31, 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 the Company 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, and such reimbursement obligation is secured by
$109 million
of collateral held in trust for the Company's benefit.
|
|
Year Ended December 31,
|
||||||
|
2014
|
|
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
|
31
|
|
|
(6
|
)
|
||
Estimated increase (decrease) in defaults that will result in additional (lower) breaches
|
(37
|
)
|
|
(8
|
)
|
||
Settlements and anticipated settlements
|
263
|
|
|
289
|
|
||
Accretion of discount on balance
|
11
|
|
|
15
|
|
||
Total
|
$
|
268
|
|
|
$
|
296
|
|
•
|
The Company has net par exposure to
$1.0 billion
of sewer revenue bonds and
$878 million
of water revenue bonds. 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." The Company rates the bonds, which are secured by a lien on "special revenues," BBB. The exposure reflects the City's issuance in September 2014 of new series of sewer and water revenue bonds to finance (i) the purchase of outstanding sewer and water revenue bonds offered and accepted under a tender offer commenced by the City and (ii) the refunding of certain other sewer revenue and revenue refunding bonds, and the Company's insurance of a portion of such issuance. In connection with these transactions, approximately
$677 million
of the Company's then combined
$1.8 billion
net par exposure to the sewer and water revenue bonds was purchased in the tender offer or refunded, and the Company insured approximately
$841 million
gross par of the new sewer and water revenue bonds. Under the City's amended plan of adjustment, the impairment of all outstanding sewer and water revenue bonds (even those not purchased pursuant to the tender offer or refunded) that had been proposed was removed, including those provisions which provided for the impairment of interest rates and call protection on such bonds.
|
•
|
The Company has net par exposure of
$107 million
t
o Michigan Finance Authority by virtue of a court ordered exchange with all holders of the City’s general obligation bonds which occurred upon emergence from bankruptcy in December 2014. The Michigan Finance Authority bonds 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 and additional security in the form of a subordinate statutory lien on, and intercept of, the City’s distributable state aid.
|
•
|
The Company no longer has exposure to the City's Pension Obligation Certificates. Upon the effective date of the City’s plan of adjustment, a commutation agreement between AG Re and Financial Guaranty Insurance Co. ("FGIC") pursuant to which FGIC commuted all the reinsurance AG Re provided to FGIC with respect to the Pension Obligation Certificates became effective.
|
•
|
a reduction in the corresponding loss and LAE reserve with a benefit to the income statement,
|
•
|
no entry recorded, if “total loss” is not in excess of deferred premium revenue, or
|
•
|
the recording of a salvage asset with a benefit to the income statement if the transaction is in a net recovery position at the reporting date.
|
|
As of December 31, 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
|
$
|
2
|
|
|
$
|
—
|
|
|
$
|
2
|
|
|
$
|
3
|
|
|
$
|
—
|
|
|
$
|
3
|
|
Alt-A first lien
|
87
|
|
|
—
|
|
|
87
|
|
|
108
|
|
|
—
|
|
|
108
|
|
||||||
Option ARM
|
28
|
|
|
40
|
|
|
(12
|
)
|
|
22
|
|
|
47
|
|
|
(25
|
)
|
||||||
Subprime
|
166
|
|
|
8
|
|
|
158
|
|
|
143
|
|
|
2
|
|
|
141
|
|
||||||
First lien
|
283
|
|
|
48
|
|
|
235
|
|
|
276
|
|
|
49
|
|
|
227
|
|
||||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Closed-end second lien
|
4
|
|
|
39
|
|
|
(35
|
)
|
|
5
|
|
|
45
|
|
|
(40
|
)
|
||||||
HELOC
|
3
|
|
|
39
|
|
|
(36
|
)
|
|
5
|
|
|
127
|
|
|
(122
|
)
|
||||||
Second lien
|
7
|
|
|
78
|
|
|
(71
|
)
|
|
10
|
|
|
172
|
|
|
(162
|
)
|
||||||
Total U.S. RMBS
|
290
|
|
|
126
|
|
|
164
|
|
|
286
|
|
|
221
|
|
|
65
|
|
||||||
TruPS
|
0
|
|
|
—
|
|
|
0
|
|
|
2
|
|
|
—
|
|
|
2
|
|
||||||
Other structured finance
|
236
|
|
|
2
|
|
|
234
|
|
|
145
|
|
|
6
|
|
|
139
|
|
||||||
U.S. public finance
|
243
|
|
|
8
|
|
|
235
|
|
|
189
|
|
|
8
|
|
|
181
|
|
||||||
Non-U.S. public finance
|
30
|
|
|
—
|
|
|
30
|
|
|
35
|
|
|
—
|
|
|
35
|
|
||||||
Financial guaranty
|
799
|
|
|
136
|
|
|
663
|
|
|
657
|
|
|
235
|
|
|
422
|
|
||||||
Other recoverables
|
—
|
|
|
13
|
|
|
(13
|
)
|
|
—
|
|
|
15
|
|
|
(15
|
)
|
||||||
Subtotal
|
799
|
|
|
149
|
|
|
650
|
|
|
657
|
|
|
250
|
|
|
407
|
|
||||||
Effect of consolidating FG VIEs
|
(80
|
)
|
|
(1
|
)
|
|
(79
|
)
|
|
(103
|
)
|
|
(85
|
)
|
|
(18
|
)
|
||||||
Subtotal
|
719
|
|
|
148
|
|
|
571
|
|
|
554
|
|
|
165
|
|
|
389
|
|
||||||
Other
|
2
|
|
|
6
|
|
|
(4
|
)
|
|
2
|
|
|
5
|
|
|
(3
|
)
|
||||||
Total (1)
|
$
|
721
|
|
|
$
|
154
|
|
|
$
|
567
|
|
|
$
|
556
|
|
|
$
|
170
|
|
|
$
|
386
|
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
||||
|
(in millions)
|
||||||
Loss and LAE reserve
|
$
|
799
|
|
|
$
|
592
|
|
Reinsurance recoverable on unpaid losses
|
(78
|
)
|
|
(36
|
)
|
||
Loss and LAE reserve, net
|
721
|
|
|
556
|
|
||
Salvage and subrogation recoverable
|
(151
|
)
|
|
(174
|
)
|
||
Salvage and subrogation payable(1)
|
10
|
|
|
19
|
|
||
Other recoverables(2)
|
(13
|
)
|
|
(15
|
)
|
||
Salvage and subrogation recoverable, net and other recoverable
|
(154
|
)
|
|
(170
|
)
|
||
Subtotal
|
567
|
|
|
386
|
|
||
Less: other (non-financial guaranty business)
|
(4
|
)
|
|
(3
|
)
|
||
Net reserves (salvage) - financial guaranty
|
$
|
571
|
|
|
$
|
389
|
|
|
As of December 31, 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
|
$
|
20
|
|
|
$
|
—
|
|
|
$
|
20
|
|
|
$
|
122
|
|
|
$
|
(49
|
)
|
|
$
|
73
|
|
Loss and LAE reserve, net
|
185
|
|
|
(8
|
)
|
|
177
|
|
|
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 December 31, 2014
|
||
|
(in millions)
|
||
Net expected loss to be paid
|
$
|
1,115
|
|
Less: net expected loss to be paid for FG VIEs
|
126
|
|
|
Total
|
989
|
|
|
Contra-paid, net
|
(100
|
)
|
|
Salvage and subrogation recoverable, net of reinsurance
|
135
|
|
|
Loss and LAE reserve, net of reinsurance
|
(719
|
)
|
|
Other recoveries (1)
|
13
|
|
|
Net expected loss to be expensed (present value)(2)
|
$
|
318
|
|
(1)
|
R&W recoverables recorded in other assets on the consolidated balance sheet.
|
(2)
|
Excludes
$89 million
as of
December 31, 2014
related to consolidated FG VIEs.
|
|
As of December 31, 2014
|
||
|
(in millions)
|
||
2015 (January 1 – March 31)
|
$
|
8
|
|
2015 (April 1 – June 30)
|
8
|
|
|
2015 (July 1 – September 30)
|
8
|
|
|
2015 (October 1 – December 31)
|
9
|
|
|
Subtotal 2015
|
33
|
|
|
2016
|
34
|
|
|
2017
|
27
|
|
|
2018
|
24
|
|
|
2019
|
22
|
|
|
2020-2024
|
79
|
|
|
2025-2029
|
46
|
|
|
2030-2034
|
32
|
|
|
After 2034
|
21
|
|
|
Net expected loss to be expensed
|
318
|
|
|
Discount
|
413
|
|
|
Total future value
|
$
|
731
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Structured Finance:
|
|
|
|
|
|
||||||
U.S. RMBS:
|
|
|
|
|
|
||||||
First lien:
|
|
|
|
|
|
||||||
Prime first lien
|
$
|
(1
|
)
|
|
$
|
1
|
|
|
$
|
2
|
|
Alt-A first lien
|
(66
|
)
|
|
(2
|
)
|
|
51
|
|
|||
Option ARM
|
(37
|
)
|
|
(48
|
)
|
|
137
|
|
|||
Subprime
|
8
|
|
|
80
|
|
|
38
|
|
|||
First lien
|
(96
|
)
|
|
31
|
|
|
228
|
|
|||
Second lien:
|
|
|
|
|
|
||||||
Closed-end second lien
|
(2
|
)
|
|
18
|
|
|
31
|
|
|||
HELOC
|
(31
|
)
|
|
(53
|
)
|
|
49
|
|
|||
Second lien
|
(33
|
)
|
|
(35
|
)
|
|
80
|
|
|||
Total U.S. RMBS
|
(129
|
)
|
|
(4
|
)
|
|
308
|
|
|||
TruPS
|
(1
|
)
|
|
(1
|
)
|
|
(10
|
)
|
|||
Other structured finance
|
96
|
|
|
(34
|
)
|
|
3
|
|
|||
Structured finance
|
(34
|
)
|
|
(39
|
)
|
|
301
|
|
|||
Public Finance:
|
|
|
|
|
|
||||||
U.S. public finance
|
192
|
|
|
198
|
|
|
51
|
|
|||
Non-U.S. public finance
|
(1
|
)
|
|
16
|
|
|
234
|
|
|||
Public finance
|
191
|
|
|
214
|
|
|
285
|
|
|||
Subtotal
|
157
|
|
|
175
|
|
|
586
|
|
|||
Other
|
(1
|
)
|
|
—
|
|
|
(17
|
)
|
|||
Loss and LAE on insurance contracts before FG VIE consolidation
|
156
|
|
|
175
|
|
|
569
|
|
|||
Effect of consolidating FG VIEs
|
(30
|
)
|
|
(21
|
)
|
|
(65
|
)
|
|||
Loss and LAE
|
$
|
126
|
|
|
$
|
154
|
|
|
$
|
504
|
|
|
BIG Categories
|
||||||||||||||||||||||||||||||||||
|
BIG 1
|
|
BIG 2
|
|
BIG 3
|
|
Total
BIG, Net
|
|
Effect of
Consolidating
FG VIEs
|
|
Total
|
||||||||||||||||||||||||
|
Gross
|
|
Ceded
|
|
Gross
|
|
Ceded
|
|
Gross
|
|
Ceded
|
|
|
|
|||||||||||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||||||||||||||
Number of risks(1)
|
164
|
|
|
(59
|
)
|
|
75
|
|
|
(15
|
)
|
|
119
|
|
|
(38
|
)
|
|
358
|
|
|
—
|
|
|
358
|
|
|||||||||
Remaining weighted-average contract period (in years)
|
9.9
|
|
|
7.4
|
|
|
10.1
|
|
|
8.9
|
|
|
9.6
|
|
|
6.9
|
|
|
10.3
|
|
|
—
|
|
|
10.3
|
|
|||||||||
Outstanding exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Principal
|
$
|
12,358
|
|
|
$
|
(2,163
|
)
|
|
$
|
2,421
|
|
|
$
|
(286
|
)
|
|
$
|
3,067
|
|
|
$
|
(175
|
)
|
|
$
|
15,222
|
|
|
$
|
—
|
|
|
$
|
15,222
|
|
Interest
|
6,350
|
|
|
(838
|
)
|
|
1,274
|
|
|
(121
|
)
|
|
1,034
|
|
|
(48
|
)
|
|
7,651
|
|
|
—
|
|
|
7,651
|
|
|||||||||
Total(2)
|
$
|
18,708
|
|
|
$
|
(3,001
|
)
|
|
$
|
3,695
|
|
|
$
|
(407
|
)
|
|
$
|
4,101
|
|
|
$
|
(223
|
)
|
|
$
|
22,873
|
|
|
$
|
—
|
|
|
$
|
22,873
|
|
Expected cash outflows (inflows)
|
$
|
1,762
|
|
|
$
|
(626
|
)
|
|
$
|
763
|
|
|
$
|
(77
|
)
|
|
$
|
1,716
|
|
|
$
|
(75
|
)
|
|
$
|
3,463
|
|
|
$
|
(345
|
)
|
|
$
|
3,118
|
|
Potential recoveries
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Undiscounted R&W
|
(39
|
)
|
|
0
|
|
|
(48
|
)
|
|
2
|
|
|
(171
|
)
|
|
9
|
|
|
(247
|
)
|
|
8
|
|
|
(239
|
)
|
|||||||||
Other(3)
|
(1,687
|
)
|
|
608
|
|
|
(206
|
)
|
|
5
|
|
|
(404
|
)
|
|
30
|
|
|
(1,654
|
)
|
|
177
|
|
|
(1,477
|
)
|
|||||||||
Total potential recoveries
|
(1,726
|
)
|
|
608
|
|
|
(254
|
)
|
|
7
|
|
|
(575
|
)
|
|
39
|
|
|
(1,901
|
)
|
|
185
|
|
|
(1,716
|
)
|
|||||||||
Subtotal
|
36
|
|
|
(18
|
)
|
|
509
|
|
|
(70
|
)
|
|
1,141
|
|
|
(36
|
)
|
|
1,562
|
|
|
(160
|
)
|
|
1,402
|
|
|||||||||
Discount
|
3
|
|
|
0
|
|
|
(117
|
)
|
|
11
|
|
|
(353
|
)
|
|
9
|
|
|
(447
|
)
|
|
34
|
|
|
(413
|
)
|
|||||||||
Present value of expected cash flows
|
$
|
39
|
|
|
$
|
(18
|
)
|
|
$
|
392
|
|
|
$
|
(59
|
)
|
|
$
|
788
|
|
|
$
|
(27
|
)
|
|
$
|
1,115
|
|
|
$
|
(126
|
)
|
|
$
|
989
|
|
Deferred premium revenue
|
$
|
378
|
|
|
$
|
(70
|
)
|
|
$
|
119
|
|
|
$
|
(6
|
)
|
|
$
|
312
|
|
|
$
|
(33
|
)
|
|
$
|
700
|
|
|
$
|
(116
|
)
|
|
$
|
584
|
|
Reserves (salvage)(4)
|
$
|
(42
|
)
|
|
$
|
(5
|
)
|
|
$
|
278
|
|
|
$
|
(53
|
)
|
|
$
|
482
|
|
|
$
|
(10
|
)
|
|
$
|
650
|
|
|
$
|
(79
|
)
|
|
$
|
571
|
|
|
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)
|
A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure.
|
(2)
|
Includes BIG amounts related to FG VIEs.
|
(3)
|
Includes excess spread and draws on HELOCs.
|
(4)
|
See table “Components of net reserves (salvage).”
|
8.
|
Fair Value Measurement
|
•
|
Gross spread.
|
•
|
The allocation of gross spread among:
|
◦
|
the profit the originator, usually an investment bank, realizes for putting the deal together and funding the transaction (“bank profit”);
|
◦
|
premiums paid to the Company for the Company’s credit protection provided (“net spread”); and
|
◦
|
the cost of CDS protection purchased by the originator to hedge their counterparty credit risk exposure to the Company (“hedge cost”).
|
•
|
The weighted average life which is based on Debt Service schedules.
|
•
|
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. There were no deals closed during the period presented.
|
•
|
Credit spreads interpolated based upon market indices.
|
•
|
Credit spreads provided by the counterparty of the CDS.
|
•
|
Credit spreads extrapolated based upon transactions of similar asset classes, similar ratings, and similar time to maturity.
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
||
Based on actual collateral specific spreads
|
9
|
%
|
|
6
|
%
|
Based on market indices
|
82
|
%
|
|
88
|
%
|
Provided by the CDS counterparty
|
9
|
%
|
|
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
December 31, 2014
and
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
|
$
|
5,795
|
|
|
$
|
—
|
|
|
$
|
5,757
|
|
|
$
|
38
|
|
U.S. government and agencies
|
665
|
|
|
—
|
|
|
665
|
|
|
—
|
|
||||
Corporate securities
|
1,368
|
|
|
—
|
|
|
1,289
|
|
|
79
|
|
||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,285
|
|
|
—
|
|
|
860
|
|
|
425
|
|
||||
CMBS
|
659
|
|
|
—
|
|
|
659
|
|
|
—
|
|
||||
Asset-backed securities
|
417
|
|
|
—
|
|
|
189
|
|
|
228
|
|
||||
Foreign government securities
|
302
|
|
|
—
|
|
|
302
|
|
|
—
|
|
||||
Total fixed-maturity securities
|
10,491
|
|
|
—
|
|
|
9,721
|
|
|
770
|
|
||||
Short-term investments
|
767
|
|
|
359
|
|
|
408
|
|
|
—
|
|
||||
Other invested assets (1)
|
100
|
|
|
—
|
|
|
17
|
|
|
83
|
|
||||
Credit derivative assets
|
68
|
|
|
—
|
|
|
—
|
|
|
68
|
|
||||
FG VIEs’ assets, at fair value (2)
|
1,398
|
|
|
—
|
|
|
—
|
|
|
1,398
|
|
||||
Other assets
|
78
|
|
|
26
|
|
|
17
|
|
|
35
|
|
||||
Total assets carried at fair value
|
$
|
12,902
|
|
|
$
|
385
|
|
|
$
|
10,163
|
|
|
$
|
2,354
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Credit derivative liabilities
|
$
|
963
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
963
|
|
FG VIEs’ liabilities with recourse, at fair value
|
1,277
|
|
|
—
|
|
|
—
|
|
|
1,277
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
142
|
|
|
—
|
|
|
—
|
|
|
142
|
|
||||
Total liabilities carried at fair value
|
$
|
2,382
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,382
|
|
|
|
|
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.
|
(2)
|
Exclude restricted cash.
|
|
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)
|
4
|
|
(2
|
)
|
(46
|
)
|
(2
|
)
|
21
|
|
(2
|
)
|
17
|
|
(2
|
)
|
—
|
|
|
164
|
|
(3
|
)
|
(11
|
)
|
(4
|
)
|
823
|
|
(6
|
)
|
94
|
|
(3
|
)
|
(43
|
)
|
(3
|
)
|
||||||||||
Other comprehensive income (loss)
|
(1
|
)
|
|
|
(6
|
)
|
|
24
|
|
|
|
5
|
|
|
6
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||||
Purchases
|
—
|
|
|
|
—
|
|
|
263
|
|
|
|
—
|
|
|
70
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||||
Settlements
|
(1
|
)
|
|
(5
|
)
|
|
(59
|
)
|
|
(62
|
)
|
|
0
|
|
|
(408
|
)
|
|
—
|
|
|
|
(25
|
)
|
|
|
374
|
|
|
|
22
|
|
|
|
|||||||||||||||
FG VIE consolidations
|
—
|
|
|
|
—
|
|
|
(127
|
)
|
|
|
—
|
|
|
—
|
|
|
206
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(189
|
)
|
|
(42
|
)
|
|
|
|||||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
13
|
|
|
—
|
|
|
—
|
|
|
(1,129
|
)
|
|
—
|
|
|
—
|
|
|
234
|
|
|
1,002
|
|
|
|||||||||||||||||||
Fair value as of December 31, 2014
|
$
|
38
|
|
|
|
$
|
79
|
|
|
$
|
425
|
|
|
|
$
|
228
|
|
|
$
|
78
|
|
|
$
|
1,398
|
|
|
|
$
|
35
|
|
|
|
$
|
(895
|
)
|
|
$
|
(1,277
|
)
|
|
$
|
(142
|
)
|
|
|||||
Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2014
|
$
|
(1
|
)
|
|
$
|
(6
|
)
|
|
$
|
21
|
|
|
$
|
4
|
|
|
$
|
6
|
|
|
$
|
141
|
|
|
$
|
(11
|
)
|
|
$
|
254
|
|
|
$
|
(22
|
)
|
|
$
|
3
|
|
|
|
Fixed-Maturity Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
|
Obligations of state and political subdivisions
|
|
Corporate Securities
|
|
RMBS
|
|
Asset Backed Securities
|
|
Other
Invested Assets |
|
FG VIEs’
Assets at Fair Value |
|
Other
Assets |
|
Credit
Derivative Asset (Liability), net(5) |
|
FG VIEs’ Liabilities
with Recourse, at Fair Value |
|
FG VIEs’ Liabilities
without Recourse, at Fair Value |
|
||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||||||||||||
Fair value as of December 31, 2012
|
$
|
35
|
|
|
$
|
—
|
|
|
$
|
219
|
|
|
|
$
|
306
|
|
|
$
|
1
|
|
|
$
|
2,688
|
|
|
|
$
|
36
|
|
|
$
|
(1,793
|
)
|
|
|
$
|
(2,090
|
)
|
|
$
|
(1,051
|
)
|
|
|||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Net income (loss)
|
(8
|
)
|
(2
|
)
|
4
|
|
(2
|
)
|
13
|
|
(2
|
)
|
67
|
|
(2
|
)
|
(1
|
)
|
(7
|
)
|
686
|
|
(3
|
)
|
10
|
|
(4
|
)
|
65
|
|
(6
|
)
|
(166
|
)
|
(3
|
)
|
(225
|
)
|
(3
|
)
|
||||||||||
Other comprehensive income (loss)
|
13
|
|
|
5
|
|
|
26
|
|
|
|
(43
|
)
|
|
2
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|||||||||||||||
Purchases
|
—
|
|
|
130
|
|
(8
|
)
|
86
|
|
|
|
80
|
|
|
2
|
|
(8
|
)
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|||||||||||||
Settlements
|
(4
|
)
|
|
(3
|
)
|
|
(54
|
)
|
|
(142
|
)
|
|
(2
|
)
|
|
(663
|
)
|
|
—
|
|
|
35
|
|
|
|
343
|
|
|
|
168
|
|
|
|
|||||||||||||||||
FG VIE consolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
48
|
|
|
|
—
|
|
|
—
|
|
|
|
(12
|
)
|
|
(37
|
)
|
|
|
||||||||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(194
|
)
|
|
—
|
|
|
—
|
|
|
135
|
|
|
64
|
|
|
||||||||||||||||||||
Fair value as of December 31, 2013
|
$
|
36
|
|
|
$
|
136
|
|
|
$
|
290
|
|
|
|
$
|
268
|
|
|
$
|
2
|
|
|
$
|
2,565
|
|
|
|
$
|
46
|
|
|
$
|
(1,693
|
)
|
|
|
$
|
(1,790
|
)
|
|
$
|
(1,081
|
)
|
|
|||||||
Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2013
|
$
|
14
|
|
|
$
|
5
|
|
|
$
|
27
|
|
|
$
|
(20
|
)
|
|
$
|
2
|
|
|
$
|
623
|
|
|
$
|
10
|
|
|
$
|
(139
|
)
|
|
$
|
(169
|
)
|
|
$
|
(326
|
)
|
|
(1)
|
Realized and unrealized gains (losses) from changes in values of Level 3 financial instruments represent gains (losses) from changes in values of those financial instruments only for the periods in which the instruments were classified as Level 3.
|
(2)
|
Included in net realized investment gains (losses) and net investment income.
|
(3)
|
Included in fair value gains (losses) on FG VIEs.
|
(4)
|
Recorded in fair value gains (losses) on CCS.
|
(5)
|
Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure.
|
(6)
|
Reported in net change in fair value of credit derivatives.
|
(7)
|
Reported in other income.
|
(8)
|
Non-cash transaction.
|
Financial Instrument Description(1)
|
|
Fair Value at December 31, 2014(in millions)
|
|
Significant Unobservable Inputs
|
|
Range
|
|
Weighted Average as a Percentage of Current Par Outstanding
|
||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|||
Obligations of state and political subdivisions
|
|
$
|
38
|
|
|
Rate of inflation
|
|
1.0
|
%
|
-
|
3.0%
|
|
2.0%
|
|
|
|
Cash flow receipts
|
0.5
|
%
|
-
|
74.3%
|
|
63.0%
|
||||||
|
|
Yield
|
4.6
|
%
|
|
8.0%
|
|
7.3%
|
||||||
|
|
Collateral recovery period
|
1 month
|
|
-
|
34 years
|
|
28 years
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Corporate securities
|
|
79
|
|
|
Yield
|
|
17.8%
|
|
|
|||||
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
RMBS
|
|
425
|
|
|
CPR
|
|
0.3
|
%
|
-
|
8.1%
|
|
3.3%
|
||
|
|
CDR
|
|
2.7
|
%
|
-
|
10.6%
|
|
5.3%
|
|||||
|
|
Loss severity
|
|
52.6
|
%
|
-
|
100.0%
|
|
75.2%
|
|||||
|
|
Yield
|
|
4.7
|
%
|
-
|
11.7%
|
|
6.4%
|
|||||
Asset-backed securities:
|
|
|
|
|
|
|
|
|
|
|
||||
Investor owned utility
|
|
95
|
|
|
Cash flow receipts
|
|
100.0%
|
|
|
|||||
|
|
Collateral recovery period
|
|
4 years
|
|
|
||||||||
|
|
Discount factor
|
|
7.0%
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
XXX life insurance transactions
|
|
133
|
|
|
Yield
|
|
7.3%
|
|
|
|||||
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Other invested assets
|
|
83
|
|
|
Discount for lack of liquidity
|
|
20.0%
|
|
|
|||||
|
|
Recovery on delinquent loans
|
|
40.0%
|
|
|
||||||||
|
|
Default rates
|
|
0.0
|
%
|
-
|
7.0%
|
|
5.8%
|
|||||
|
|
Loss severity
|
|
40.0
|
%
|
-
|
75.0%
|
|
68.3%
|
|||||
|
|
Prepayment speeds
|
|
5.0
|
%
|
-
|
15.0%
|
|
12.3%
|
|||||
|
|
Net asset value (per share)
|
|
$
|
965
|
|
-
|
$1,159
|
|
$1,082
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
FG VIEs’ assets, at fair value
|
|
1,398
|
|
|
CPR
|
|
0.3
|
%
|
-
|
11.0%
|
|
3.3%
|
||
|
|
CDR
|
|
1.6
|
%
|
-
|
11.8%
|
|
5.1%
|
|||||
|
|
Loss severity
|
|
40.0
|
%
|
-
|
100.0%
|
|
82.2%
|
|||||
|
|
Yield
|
|
2.7
|
%
|
-
|
17.7%
|
|
7.9%
|
Financial Instrument Description(1)
|
|
Fair Value at
December 31, 2014 (in millions) |
|
Significant Unobservable Inputs
|
|
Range
|
|
Weighted Average as a Percentage of Current Par Outstanding
|
||||
Other assets
|
|
35
|
|
|
Quotes from third party pricing
|
|
$52
|
-
|
$61
|
|
$57
|
|
|
|
Term (years)
|
|
5 years
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivative liabilities, net
|
|
(895
|
)
|
|
Year 1 loss estimates
|
|
0.0
|
%
|
-
|
93.0%
|
|
2.1%
|
|
|
Hedge cost (in bps)
|
|
20.0
|
|
-
|
243.8
|
|
61.5
|
|||
|
|
Bank profit (in bps)
|
|
1.0
|
|
-
|
994.4
|
|
127.0
|
|||
|
|
Internal floor (in bps)
|
|
7.0
|
|
-
|
100.0
|
|
15.9
|
|||
|
|
Internal credit rating
|
|
AAA
|
|
-
|
CCC
|
|
AA+
|
|||
|
|
|
|
|
|
|
|
|
|
|
||
FG VIEs’ liabilities, at fair value
|
|
(1,419
|
)
|
|
CPR
|
|
0.3
|
%
|
-
|
11.0%
|
|
3.3%
|
|
|
CDR
|
|
1.6
|
%
|
-
|
11.8%
|
|
5.1%
|
|||
|
|
Loss severity
|
|
40.0
|
%
|
-
|
100.0%
|
|
82.2%
|
|||
|
|
Yield
|
|
2.7
|
%
|
-
|
17.7%
|
|
5.8%
|
(1)
|
Discounted cash flow is used as valuation technique for all financial instruments.
|
Financial Instrument Description(1)
|
|
Fair Value at December 31, 2013(in millions)
|
|
Significant Unobservable Inputs
|
|
Range
|
|
Weighted Average as a Percentage of Current Par Outstanding
|
||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|||
Obligations of state and political subdivisions
|
|
$
|
36
|
|
|
Rate of inflation
|
|
1.0
|
%
|
-
|
3.0%
|
|
2.0%
|
|
|
|
Cash flow receipts
|
0.5
|
%
|
-
|
60.9%
|
|
51.1%
|
||||||
|
|
Discount rates
|
4.6
|
%
|
-
|
9.0%
|
|
8.0%
|
||||||
|
|
Collateral recovery period
|
1 month
|
|
-
|
10 years
|
|
3 years
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Corporate securities
|
|
136
|
|
|
Yield
|
|
8.3%
|
|
|
|||||
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
RMBS
|
|
290
|
|
|
CPR
|
|
1.0
|
%
|
-
|
15.8%
|
|
4.1%
|
||
|
|
CDR
|
|
5.0
|
%
|
-
|
25.8%
|
|
17.9%
|
|||||
|
|
Loss severity
|
|
48.1
|
%
|
-
|
102.5%
|
|
87.2%
|
|||||
|
|
Yield
|
|
2.5
|
%
|
-
|
9.4%
|
|
5.7%
|
|||||
Asset-backed securities:
|
|
|
|
|
|
|
|
|
|
|
||||
Investor owned utility
|
|
141
|
|
|
Liquidation value (in millions)
|
|
|
$195
|
|
-
|
$245
|
|
$228
|
|
|
|
Years to liquidation
|
|
0 years
|
|
-
|
3 years
|
|
2 years
|
|||||
|
|
Collateral recovery period
|
|
12 months
|
|
-
|
6 years
|
|
3.5 years
|
|||||
|
|
Discount factor
|
|
15.3%
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
XXX life insurance transactions
|
|
127
|
|
|
Yield
|
|
12.5%
|
|
|
|||||
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Other invested assets
|
|
8
|
|
|
Discount for lack of liquidity
|
|
10.0
|
%
|
-
|
20.0%
|
|
20.0%
|
||
|
|
Recovery on delinquent loans
|
|
20.0
|
%
|
-
|
60.0%
|
|
40.0%
|
|||||
|
|
Default rates
|
|
1.0
|
%
|
-
|
10.0%
|
|
3.2%
|
|||||
|
|
Loss severity
|
|
40.0
|
%
|
-
|
90.0%
|
|
73.5%
|
|||||
|
|
Prepayment speeds
|
|
6.0
|
%
|
-
|
15.0%
|
|
13.1%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
||||
FG VIEs’ assets, at fair value
|
|
2,565
|
|
|
CPR
|
|
0.3
|
%
|
-
|
11.8%
|
|
3.6%
|
||
|
|
CDR
|
|
3.0
|
%
|
-
|
25.8%
|
|
13.6%
|
|||||
|
|
Loss severity
|
|
37.5
|
%
|
-
|
102.0%
|
|
94.6%
|
|||||
|
|
Yield
|
|
3.5
|
%
|
-
|
10.2%
|
|
5.4%
|
Financial Instrument Description(1)
|
|
Fair Value at
December 31, 2013 (in millions) |
|
Significant Unobservable Inputs
|
|
Range
|
|
Weighted Average as a Percentage of Current Par Outstanding
|
||||
Other assets
|
|
46
|
|
|
Quotes from third party pricing
|
|
$47
|
-
|
$53
|
|
$50
|
|
|
|
|
Term (years)
|
|
5 years
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivative liabilities, net
|
|
(1,693
|
)
|
|
Year 1 loss estimates
|
|
0.0
|
%
|
-
|
48.0%
|
|
1.9%
|
|
|
Hedge cost (in bps)
|
|
46.3
|
|
-
|
525.0
|
|
110.1
|
|||
|
|
Bank profit (in bps)
|
|
1.0
|
|
-
|
1,418.5
|
|
250.4
|
|||
|
|
Internal floor (in bps)
|
|
7.0
|
|
-
|
100.0
|
|
15.6
|
|||
|
|
Internal credit rating
|
|
AAA
|
|
-
|
CCC
|
|
AA+
|
|||
|
|
|
|
|
|
|
|
|
|
|
||
FG VIEs’ liabilities, at fair value
|
|
(2,871
|
)
|
|
CPR
|
|
0.3
|
%
|
-
|
11.8%
|
|
3.6%
|
|
|
CDR
|
|
3.0
|
%
|
-
|
25.8%
|
|
13.6%
|
|||
|
|
Loss severity
|
|
37.5
|
%
|
-
|
102.0%
|
|
94.6%
|
|||
|
|
Yield
|
|
3.5
|
%
|
-
|
10.2%
|
|
5.4%
|
(1)
|
Discounted cash flow is used as valuation technique for all financial instruments.
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
||||||||||||
|
Carrying
Amount
|
|
Estimated
Fair Value
|
|
Carrying
Amount
|
|
Estimated
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Fixed-maturity securities
|
$
|
10,491
|
|
|
$
|
10,491
|
|
|
$
|
9,711
|
|
|
$
|
9,711
|
|
Short-term investments
|
767
|
|
|
767
|
|
|
904
|
|
|
904
|
|
||||
Other invested assets
|
108
|
|
|
110
|
|
|
147
|
|
|
155
|
|
||||
Credit derivative assets
|
68
|
|
|
68
|
|
|
94
|
|
|
94
|
|
||||
FG VIEs’ assets, at fair value
|
1,398
|
|
|
1,398
|
|
|
2,565
|
|
|
2,565
|
|
||||
Other assets
|
184
|
|
|
184
|
|
|
179
|
|
|
179
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Financial guaranty insurance contracts(1)
|
3,823
|
|
|
6,205
|
|
|
3,783
|
|
|
5,128
|
|
||||
Long-term debt
|
1,303
|
|
|
1,603
|
|
|
816
|
|
|
970
|
|
||||
Credit derivative liabilities
|
963
|
|
|
963
|
|
|
1,787
|
|
|
1,787
|
|
||||
FG VIEs’ liabilities with recourse, at fair value
|
1,277
|
|
|
1,277
|
|
|
1,790
|
|
|
1,790
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
142
|
|
|
142
|
|
|
1,081
|
|
|
1,081
|
|
||||
Other liabilities
|
27
|
|
|
27
|
|
|
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.
|
9.
|
Financial Guaranty Contracts Accounted for as Credit Derivatives
|
|
|
As of December 31, 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
|
|
$
|
11,688
|
|
|
32.0
|
%
|
|
36.9
|
%
|
|
AAA
|
|
$
|
19,323
|
|
|
32.4
|
%
|
|
34.0
|
%
|
|
AAA
|
Synthetic investment grade pooled corporate
|
|
7,640
|
|
|
22.6
|
|
|
20.6
|
|
|
AAA
|
|
9,754
|
|
|
21.6
|
|
|
20.0
|
|
|
AAA
|
||
Synthetic high yield pooled corporate
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
2,690
|
|
|
47.2
|
|
|
41.1
|
|
|
AAA
|
||
TruPS CDOs
|
|
3,119
|
|
|
45.3
|
|
|
35.8
|
|
|
BBB-
|
|
3,554
|
|
|
45.5
|
|
|
32.9
|
|
|
BB+
|
||
Market value CDOs of corporate obligations
|
|
1,174
|
|
|
19.1
|
|
|
20.7
|
|
|
AAA
|
|
2,000
|
|
|
24.4
|
|
|
30.5
|
|
|
AAA
|
||
Total pooled corporate obligations
|
|
23,621
|
|
|
30.1
|
|
|
30.7
|
|
|
AAA
|
|
37,321
|
|
|
31.5
|
|
|
30.6
|
|
|
AAA
|
||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Option ARM and Alt-A first lien
|
|
1,378
|
|
|
16.3
|
|
|
10.7
|
|
|
BB+
|
|
2,609
|
|
|
19.2
|
|
|
8.6
|
|
|
BB-
|
||
Subprime first lien
|
|
1,366
|
|
|
31.1
|
|
|
50.5
|
|
|
A
|
|
2,930
|
|
|
30.5
|
|
|
51.9
|
|
|
AA-
|
||
Prime first lien
|
|
223
|
|
|
10.9
|
|
|
0.0
|
|
|
B
|
|
264
|
|
|
10.9
|
|
|
3.2
|
|
|
CCC
|
||
Closed-end second lien
|
|
19
|
|
|
—
|
|
|
—
|
|
|
CCC
|
|
23
|
|
|
—
|
|
|
—
|
|
|
B+
|
||
Total U.S. RMBS
|
|
2,986
|
|
|
24.8
|
|
|
33.9
|
|
|
BBB
|
|
5,826
|
|
|
24.4
|
|
|
30.1
|
|
|
BBB
|
||
CMBS
|
|
1,952
|
|
|
35.3
|
|
|
43.6
|
|
|
AAA
|
|
3,744
|
|
|
33.5
|
|
|
42.5
|
|
|
AAA
|
||
Other
|
|
6,437
|
|
|
—
|
|
|
—
|
|
|
A
|
|
7,591
|
|
|
—
|
|
|
—
|
|
|
A-
|
||
Total
|
|
$
|
34,996
|
|
|
|
|
|
|
|
|
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 December 31, 2014
|
|
As of December 31, 2013
|
||||||||||
Ratings
|
|
Net Par
Outstanding
|
|
% of Total
|
|
Net Par
Outstanding
|
|
% of Total
|
||||||
|
|
(dollars in millions)
|
||||||||||||
AAA
|
|
$
|
21,817
|
|
|
62.3
|
%
|
|
$
|
38,244
|
|
|
70.2
|
%
|
AA
|
|
5,398
|
|
|
15.4
|
|
|
3,648
|
|
|
6.7
|
|
||
A
|
|
1,982
|
|
|
5.7
|
|
|
3,636
|
|
|
6.7
|
|
||
BBB
|
|
2,774
|
|
|
8.0
|
|
|
4,161
|
|
|
7.6
|
|
||
BIG
|
|
3,025
|
|
|
8.6
|
|
|
4,793
|
|
|
8.8
|
|
||
Credit derivative net par outstanding
|
|
$
|
34,996
|
|
|
100.0
|
%
|
|
$
|
54,482
|
|
|
100.0
|
%
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Realized gains on credit derivatives
|
$
|
73
|
|
|
$
|
121
|
|
|
$
|
128
|
|
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
|
(50
|
)
|
|
(163
|
)
|
|
(236
|
)
|
|||
Realized gains (losses) and other settlements on credit derivatives
|
23
|
|
|
(42
|
)
|
|
(108
|
)
|
|||
Net change in unrealized gains (losses) on credit derivatives:
|
|
|
|
|
|
||||||
Pooled corporate obligations
|
(18
|
)
|
|
(32
|
)
|
|
59
|
|
|||
U.S. RMBS
|
814
|
|
|
(69
|
)
|
|
(551
|
)
|
|||
CMBS
|
2
|
|
|
—
|
|
|
2
|
|
|||
Other(1)
|
2
|
|
|
208
|
|
|
13
|
|
|||
Net change in unrealized gains (losses) on credit derivatives(2)
|
800
|
|
|
107
|
|
|
(477
|
)
|
|||
Net change in fair value of credit derivatives
|
$
|
823
|
|
|
$
|
65
|
|
|
$
|
(585
|
)
|
(1)
|
“Other” includes all other U.S. and international asset classes, such as commercial receivables, international infrastructure, international RMBS securities, and pooled infrastructure securities.
|
(2)
|
Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Net par of terminated CDS contracts
|
$
|
3,591
|
|
|
$
|
4,054
|
|
|
$
|
2,264
|
|
Realized gains (losses) and other settlements
|
1
|
|
|
21
|
|
|
3
|
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|||
AGC
|
323
|
|
|
460
|
|
|
678
|
|
AGM
|
325
|
|
|
525
|
|
|
536
|
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
|
As of
December 31, 2012 |
|||
AGC
|
80
|
|
|
185
|
|
|
270
|
|
AGM
|
85
|
|
|
220
|
|
|
257
|
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
||||
|
(in millions)
|
||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads
|
$
|
(2,029
|
)
|
|
$
|
(3,442
|
)
|
Plus: Effect of AGC and AGM credit spreads
|
1,134
|
|
|
1,749
|
|
||
Net fair value of credit derivatives
|
$
|
(895
|
)
|
|
$
|
(1,693
|
)
|
|
|
Fair Value of Credit Derivative
Asset (Liability), net
|
|
Expected Loss to be (Paid) Recovered (1)
|
||||||||||||
Asset Type
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
||||||||
|
|
(in millions)
|
||||||||||||||
Pooled corporate obligations
|
|
$
|
(49
|
)
|
|
$
|
(30
|
)
|
|
$
|
(23
|
)
|
|
$
|
(48
|
)
|
U.S. RMBS
|
|
(494
|
)
|
|
(1,308
|
)
|
|
(73
|
)
|
|
(175
|
)
|
||||
CMBS
|
|
0
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
||||
Other
|
|
(352
|
)
|
|
(353
|
)
|
|
38
|
|
|
39
|
|
||||
Total
|
|
$
|
(895
|
)
|
|
$
|
(1,693
|
)
|
|
$
|
(58
|
)
|
|
$
|
(184
|
)
|
(1)
|
Includes R&W benefit of
$86 million
as of
December 31, 2014
and
$180 million
as of
December 31, 2013
.
|
•
|
For approximately
$5.9 billion
of such contracts, AGC has negotiated caps such that the posting requirement cannot exceed a certain fixed amount, regardless of the mark-to-market valuation of the exposure or the financial strength ratings of AGC. For such contracts, AGC need not post on a cash basis more than
$665 million
, although the value of the collateral posted may exceed such fixed amount depending on the advance rate agreed with the counterparty for the particular type of collateral posted.
|
•
|
For the remaining approximately
$242 million
of such contracts, AGC or AGRO could be required from time to time to post additional collateral without such cap based on movements in the mark-to-market valuation of the underlying exposure.
|
Credit Spreads(1)
|
|
Estimated Net
Fair Value
(Pre-Tax)
|
|
Estimated Change
in Gain/(Loss)
(Pre-Tax)
|
||||
|
|
(in millions)
|
||||||
100% widening in spreads
|
|
$
|
(1,821
|
)
|
|
$
|
(926
|
)
|
50% widening in spreads
|
|
(1,358
|
)
|
|
(463
|
)
|
||
25% widening in spreads
|
|
(1,128
|
)
|
|
(233
|
)
|
||
10% widening in spreads
|
|
(989
|
)
|
|
(94
|
)
|
||
Base Scenario
|
|
(895
|
)
|
|
—
|
|
||
10% narrowing in spreads
|
|
(809
|
)
|
|
86
|
|
||
25% narrowing in spreads
|
|
(679
|
)
|
|
216
|
|
||
50% narrowing in spreads
|
|
(466
|
)
|
|
429
|
|
(1)
|
Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread.
|
10.
|
Consolidated Variable Interest Entities
|
|
Year Ended December 31,
|
|||||||
|
2014
|
|
2013
|
|
2012
|
|||
|
|
|||||||
Beginning of the period, December 31
|
40
|
|
|
33
|
|
|
33
|
|
Consolidated(1)
|
2
|
|
|
11
|
|
|
2
|
|
Deconsolidated(1)
|
(8
|
)
|
|
(3
|
)
|
|
—
|
|
Matured
|
(2
|
)
|
|
(1
|
)
|
|
(2
|
)
|
End of the period, December 31
|
32
|
|
|
40
|
|
|
33
|
|
(1)
|
Net gain on deconsolidation was
$120 million
and net loss on consolidation was
$26 million
in
2014
. Net loss on consolidation and deconsolidation was
$7 million
in
2013
and
$6 million
in
2012
, respectively, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations.
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
||||||||||||
|
Assets
|
|
Liabilities
|
|
Assets
|
|
Liabilities
|
||||||||
|
(in millions)
|
||||||||||||||
With recourse:
|
|
|
|
|
|
|
|
|
|
|
|
||||
U.S. RMBS first lien
|
$
|
632
|
|
|
$
|
581
|
|
|
$
|
630
|
|
|
$
|
791
|
|
U.S. RMBS second lien
|
238
|
|
|
327
|
|
|
460
|
|
|
640
|
|
||||
Other
|
369
|
|
|
369
|
|
|
359
|
|
|
359
|
|
||||
Total with recourse
|
1,239
|
|
|
1,277
|
|
|
1,449
|
|
|
1,790
|
|
||||
Without recourse
|
163
|
|
|
142
|
|
|
1,116
|
|
|
1,081
|
|
||||
Total
|
$
|
1,402
|
|
|
$
|
1,419
|
|
|
$
|
2,565
|
|
|
$
|
2,871
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Net earned premiums
|
$
|
(32
|
)
|
|
$
|
(60
|
)
|
|
$
|
(153
|
)
|
Net investment income
|
(11
|
)
|
|
(13
|
)
|
|
(13
|
)
|
|||
Net realized investment gains (losses)
|
(5
|
)
|
|
2
|
|
|
4
|
|
|||
Fair value gains (losses) on FG VIEs
|
255
|
|
|
346
|
|
|
191
|
|
|||
Other income (loss)
|
(2
|
)
|
|
—
|
|
|
—
|
|
|||
Loss and LAE
|
30
|
|
|
21
|
|
|
65
|
|
|||
Effect on net income before tax
|
235
|
|
|
296
|
|
|
94
|
|
|||
Less: tax provision (benefit)
|
82
|
|
|
103
|
|
|
32
|
|
|||
Effect on net income (loss)
|
$
|
153
|
|
|
$
|
193
|
|
|
$
|
62
|
|
|
|
|
|
|
|
||||||
Effect on cash flows from operating activities
|
$
|
68
|
|
|
$
|
(136
|
)
|
|
$
|
166
|
|
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
||||
|
(in millions)
|
||||||
Effect on shareholders’ equity (decrease) increase
|
$
|
(44
|
)
|
|
$
|
(172
|
)
|
11.
|
Investments and Cash
|
•
|
preferred stocks, which are carried at fair value with changes in unrealized gains and losses recorded in OCI,
|
•
|
trading securities, which are carried at fair value with unrealized gains and losses recorded in net income,
|
•
|
a
50%
equity investment acquired in a restructuring of an insured CDS carried at its proportionate share of the underlying entity's U.S. GAAP equity value.
|
•
|
a decline in the market value of a security by
20%
or more below amortized cost for a continuous period of at least six months;
|
•
|
a decline in the market value of a security for a continuous period of
12
months;
|
•
|
recent credit downgrades of the applicable security or the issuer by rating agencies;
|
•
|
the financial condition of the applicable issuer;
|
•
|
whether loss of investment principal is anticipated;
|
•
|
the impact of foreign exchange rates; and
|
•
|
whether scheduled interest payments are past due.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Income from fixed-maturity securities managed by third parties
|
$
|
324
|
|
|
$
|
322
|
|
|
$
|
346
|
|
Income from internally managed securities:
|
|
|
|
|
|
||||||
Fixed maturities
|
74
|
|
|
74
|
|
|
60
|
|
|||
Other invested assets
|
13
|
|
|
5
|
|
|
6
|
|
|||
Other
|
1
|
|
|
0
|
|
|
1
|
|
|||
Gross investment income
|
412
|
|
|
401
|
|
|
413
|
|
|||
Investment expenses
|
(9
|
)
|
|
(8
|
)
|
|
(9
|
)
|
|||
Net investment income
|
$
|
403
|
|
|
$
|
393
|
|
|
$
|
404
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Gross realized gains on available-for-sale securities
|
$
|
14
|
|
|
$
|
73
|
|
|
$
|
29
|
|
Gross realized gains on other assets in investment portfolio
|
8
|
|
|
40
|
|
|
14
|
|
|||
Gross realized losses on available-for-sale securities
|
(5
|
)
|
|
(12
|
)
|
|
(23
|
)
|
|||
Gross realized losses on other assets in investment portfolio
|
(2
|
)
|
|
(7
|
)
|
|
(2
|
)
|
|||
Other-than-temporary impairment
|
(75
|
)
|
|
(42
|
)
|
|
(17
|
)
|
|||
Net realized investment gains (losses)
|
$
|
(60
|
)
|
|
$
|
52
|
|
|
$
|
1
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Balance, beginning of period
|
$
|
80
|
|
|
$
|
64
|
|
|
$
|
47
|
|
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized
|
64
|
|
|
18
|
|
|
14
|
|
|||
Eliminations of securities issued by FG VIEs
|
(15
|
)
|
|
—
|
|
|
—
|
|
|||
Reductions for securities sold during the period
|
(12
|
)
|
|
(21
|
)
|
|
—
|
|
|||
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized
|
7
|
|
|
19
|
|
|
3
|
|
|||
Balance, end of period
|
$
|
124
|
|
|
$
|
80
|
|
|
$
|
64
|
|
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
|
|
50
|
%
|
|
$
|
5,416
|
|
|
$
|
380
|
|
|
$
|
(1
|
)
|
|
$
|
5,795
|
|
|
$
|
7
|
|
|
AA
|
U.S. government and agencies
|
|
6
|
|
|
635
|
|
|
31
|
|
|
(1
|
)
|
|
665
|
|
|
—
|
|
|
AA+
|
|||||
Corporate securities
|
|
12
|
|
|
1,320
|
|
|
53
|
|
|
(5
|
)
|
|
1,368
|
|
|
(2
|
)
|
|
A
|
|||||
Mortgage-backed securities(4):
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
RMBS
|
|
12
|
|
|
1,255
|
|
|
51
|
|
|
(21
|
)
|
|
1,285
|
|
|
0
|
|
|
A-
|
|||||
CMBS
|
|
6
|
|
|
639
|
|
|
20
|
|
|
0
|
|
|
659
|
|
|
—
|
|
|
AAA
|
|||||
Asset-backed securities
|
|
4
|
|
|
411
|
|
|
9
|
|
|
(3
|
)
|
|
417
|
|
|
3
|
|
|
BBB-
|
|||||
Foreign government securities
|
|
3
|
|
|
296
|
|
|
8
|
|
|
(2
|
)
|
|
302
|
|
|
—
|
|
|
AA+
|
|||||
Total fixed-maturity securities
|
|
93
|
|
|
9,972
|
|
|
552
|
|
|
(33
|
)
|
|
10,491
|
|
|
8
|
|
|
AA-
|
|||||
Short-term investments
|
|
7
|
|
|
767
|
|
|
0
|
|
|
0
|
|
|
767
|
|
|
0
|
|
|
AA+
|
|||||
Total investment portfolio
|
|
100
|
%
|
|
$
|
10,739
|
|
|
$
|
552
|
|
|
$
|
(33
|
)
|
|
$
|
11,258
|
|
|
$
|
8
|
|
|
AA-
|
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
|
|
6
|
|
|
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. See also Note 21, Other Comprehensive Income.
|
(3)
|
Ratings in the tables above represent the lower of the Moody’s and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company’s portfolio consists primarily of high-quality, liquid instruments.
|
(4)
|
Government-agency obligations were approximately
44%
of mortgage backed securities as of
December 31, 2014
and
50%
as of
December 31, 2013
based on fair value.
|
State
|
|
State
General
Obligation
|
|
Local
General
Obligation
|
|
Revenue Bonds
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Average
Credit
Rating
|
||||||||||
|
|
(in millions)
|
||||||||||||||||||||
Texas
|
|
$
|
60
|
|
|
$
|
293
|
|
|
$
|
305
|
|
|
$
|
658
|
|
|
$
|
613
|
|
|
AA
|
New York
|
|
13
|
|
|
41
|
|
|
551
|
|
|
605
|
|
|
571
|
|
|
AA
|
|||||
California
|
|
45
|
|
|
70
|
|
|
377
|
|
|
492
|
|
|
449
|
|
|
A+
|
|||||
Florida
|
|
47
|
|
|
34
|
|
|
256
|
|
|
337
|
|
|
311
|
|
|
AA-
|
|||||
Illinois
|
|
20
|
|
|
99
|
|
|
177
|
|
|
296
|
|
|
275
|
|
|
A+
|
|||||
Washington
|
|
67
|
|
|
48
|
|
|
163
|
|
|
278
|
|
|
262
|
|
|
AA
|
|||||
Massachusetts
|
|
46
|
|
|
8
|
|
|
169
|
|
|
223
|
|
|
204
|
|
|
AA
|
|||||
Arizona
|
|
—
|
|
|
7
|
|
|
170
|
|
|
177
|
|
|
165
|
|
|
AA
|
|||||
Michigan
|
|
—
|
|
|
—
|
|
|
132
|
|
|
132
|
|
|
122
|
|
|
AA-
|
|||||
Ohio
|
|
6
|
|
|
40
|
|
|
82
|
|
|
128
|
|
|
119
|
|
|
AA
|
|||||
All others
|
|
276
|
|
|
251
|
|
|
1,096
|
|
|
1,623
|
|
|
1,528
|
|
|
AA-
|
|||||
Total
|
|
$
|
580
|
|
|
$
|
891
|
|
|
$
|
3,478
|
|
|
$
|
4,949
|
|
|
$
|
4,619
|
|
|
|
State
|
|
State
General
Obligation
|
|
Local
General
Obligation
|
|
Revenue Bonds
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Average
Credit
Rating
|
||||||||||
|
|
(in millions)
|
||||||||||||||||||||
Texas
|
|
$
|
77
|
|
|
$
|
299
|
|
|
$
|
277
|
|
|
$
|
653
|
|
|
$
|
629
|
|
|
AA
|
New York
|
|
12
|
|
|
58
|
|
|
519
|
|
|
589
|
|
|
575
|
|
|
AA
|
|||||
California
|
|
32
|
|
|
86
|
|
|
354
|
|
|
472
|
|
|
452
|
|
|
A+
|
|||||
Florida
|
|
33
|
|
|
59
|
|
|
242
|
|
|
334
|
|
|
318
|
|
|
AA-
|
|||||
Illinois
|
|
14
|
|
|
70
|
|
|
156
|
|
|
240
|
|
|
234
|
|
|
A+
|
|||||
Massachusetts
|
|
44
|
|
|
16
|
|
|
147
|
|
|
207
|
|
|
200
|
|
|
AA
|
|||||
Washington
|
|
31
|
|
|
19
|
|
|
153
|
|
|
203
|
|
|
199
|
|
|
AA
|
|||||
Arizona
|
|
—
|
|
|
7
|
|
|
166
|
|
|
173
|
|
|
170
|
|
|
AA
|
|||||
Michigan
|
|
—
|
|
|
28
|
|
|
102
|
|
|
130
|
|
|
125
|
|
|
AA-
|
|||||
Georgia
|
|
13
|
|
|
18
|
|
|
97
|
|
|
128
|
|
|
128
|
|
|
A+
|
|||||
All others
|
|
254
|
|
|
228
|
|
|
943
|
|
|
1,425
|
|
|
1,381
|
|
|
AA-
|
|||||
Total
|
|
$
|
510
|
|
|
$
|
888
|
|
|
$
|
3,156
|
|
|
$
|
4,554
|
|
|
$
|
4,411
|
|
|
AA-
|
(1)
|
Excludes $
846 million
and $
525 million
as of
December 31, 2014
and
2013
, respectively, of pre-refunded bonds, at fair value. The credit ratings are based on the underlying ratings and do not include any benefit from bond insurance.
|
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
||||||||||||
Type
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
||||||||
|
|
(in millions)
|
||||||||||||||
Transportation
|
|
$
|
796
|
|
|
$
|
733
|
|
|
$
|
642
|
|
|
$
|
615
|
|
Water and sewer
|
|
563
|
|
|
527
|
|
|
459
|
|
|
453
|
|
||||
Tax backed
|
|
551
|
|
|
514
|
|
|
708
|
|
|
686
|
|
||||
Higher education
|
|
527
|
|
|
492
|
|
|
358
|
|
|
353
|
|
||||
Municipal utilities
|
|
512
|
|
|
479
|
|
|
500
|
|
|
482
|
|
||||
Healthcare
|
|
346
|
|
|
317
|
|
|
289
|
|
|
281
|
|
||||
All others
|
|
183
|
|
|
173
|
|
|
200
|
|
|
192
|
|
||||
Total
|
|
$
|
3,478
|
|
|
$
|
3,235
|
|
|
$
|
3,156
|
|
|
$
|
3,062
|
|
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
||||||||||||||||||
|
Fair
Value
|
|
Unrealized
Loss
|
|
Fair
Value
|
|
Unrealized
Loss
|
|
Fair
Value
|
|
Unrealized
Loss
|
||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Obligations of state and political subdivisions
|
$
|
64
|
|
|
$
|
0
|
|
|
$
|
25
|
|
|
$
|
(1
|
)
|
|
$
|
89
|
|
|
$
|
(1
|
)
|
U.S. government and agencies
|
139
|
|
|
0
|
|
|
68
|
|
|
(1
|
)
|
|
207
|
|
|
(1
|
)
|
||||||
Corporate securities
|
189
|
|
|
(3
|
)
|
|
104
|
|
|
(2
|
)
|
|
293
|
|
|
(5
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
RMBS
|
205
|
|
|
(3
|
)
|
|
159
|
|
|
(18
|
)
|
|
364
|
|
|
(21
|
)
|
||||||
CMBS
|
36
|
|
|
0
|
|
|
19
|
|
|
0
|
|
|
55
|
|
|
0
|
|
||||||
Asset-backed securities
|
56
|
|
|
(2
|
)
|
|
18
|
|
|
(1
|
)
|
|
74
|
|
|
(3
|
)
|
||||||
Foreign government securities
|
108
|
|
|
(2
|
)
|
|
0
|
|
|
0
|
|
|
108
|
|
|
(2
|
)
|
||||||
Total
|
$
|
797
|
|
|
$
|
(10
|
)
|
|
$
|
393
|
|
|
$
|
(23
|
)
|
|
$
|
1,190
|
|
|
$
|
(33
|
)
|
Number of securities(1)
|
|
|
|
125
|
|
|
|
|
|
82
|
|
|
|
|
|
198
|
|
||||||
Number of securities with other-than-temporary impairment
|
|
|
|
3
|
|
|
|
|
|
7
|
|
|
|
|
|
10
|
|
|
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
|
|
(1)
|
The number of securities does not add across because of lots of the same securities that have been purchased at different times and appear in both categories above (i.e., Less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the Total column.
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||
|
(in millions)
|
||||||
Due within one year
|
$
|
111
|
|
|
$
|
112
|
|
Due after one year through five years
|
1,961
|
|
|
2,028
|
|
||
Due after five years through 10 years
|
2,286
|
|
|
2,422
|
|
||
Due after 10 years
|
3,720
|
|
|
3,985
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,255
|
|
|
1,285
|
|
||
CMBS
|
639
|
|
|
659
|
|
||
Total
|
$
|
9,972
|
|
|
$
|
10,491
|
|
|
As of December 31,
|
||||||
|
2014
|
|
2013
|
||||
|
(in millions)
|
||||||
Assets purchased for loss mitigation and other risk management purposes:
|
|
|
|
||||
Fixed maturity securities
|
$
|
835
|
|
|
$
|
761
|
|
Other invested assets
|
46
|
|
|
82
|
|
||
Other
|
79
|
|
|
88
|
|
||
Total
|
$
|
960
|
|
|
$
|
931
|
|
12.
|
Insurance Company Regulatory Requirements
|
•
|
upfront premiums are earned when related principal and interest have expired rather than earned over the expected period of coverage;
|
•
|
acquisition costs are charged to expense as incurred rather than over the period that related premiums are earned;
|
•
|
a contingency reserve is computed based on statutory requirements, but no such reserve is required under GAAP;
|
•
|
certain assets designated as “non-admitted assets” are charged directly to statutory surplus, but are reflected as assets under GAAP;
|
•
|
investments in subsidiaries are carried on the balance sheet on the equity basis, to the extent admissible, rather than consolidated with the parent;
|
•
|
the amount of deferred tax assets that may be admitted is subject to an adjusted surplus threshold and is generally limited to the lesser of those assets the Company expects to realize within three years of the balance sheet date or fifteen percent of the Company's adjusted surplus. This realization period and surplus percentage is subject to change based on the amount of adjusted surplus. Under GAAP there is no non-admitted asset determination, rather a valuation allowance is recorded to reduce the deferred tax asset to an amount that is more likely than not to be realized;
|
•
|
insured credit derivatives are accounted for as insurance contracts rather than as derivative contracts measured at fair value;
|
•
|
bonds are generally carried at amortized cost rather than fair value;
|
•
|
VIEs and refinancing vehicles are not consolidated;
|
•
|
surplus notes are recognized as surplus and each payment of principal and interest is recorded only upon approval of the insurance regulator rather than liabilities with periodic accrual of interest;
|
•
|
push-down acquisition accounting is not applicable under statutory accounting practices, as it is under GAAP;
|
•
|
expected losses are discounted at a rate of
4.5%
or
5.0%
, recorded when the loss is deemed probable and without consideration of the deferred premium revenue rather than discounted at the risk free rate at the end of each reporting period and only to the extent they exceed deferred premium revenue;
|
•
|
the present value of installment premiums and commissions are not recorded on the balance sheet as they are under GAAP.
|
•
|
acquisition costs on upfront premiums are charged to operations as incurred, rather than over the period that related premiums are earned;
|
•
|
certain assets designated as “non-admitted assets” are charged directly to statutory surplus rather than reflected as assets under GAAP;
|
•
|
insured credit derivatives are accounted for as insurance contracts (except that loss reserves on insured credit derivatives are not net of unearned premium reserve), rather than as derivative contracts measured at fair value;
|
•
|
Loss reserves on non derivative contracts are net of unearned premium, which is offset by deferred acquisition costs, rather than only unearned premium. Loss reserves include a statutory reserve which includes a discount safety margin and statutory catastrophe reserve.
|
|
Policyholders' Surplus
|
|
Net Income (Loss)
|
||||||||||||||||
|
As of December 31,
|
|
Year Ended December 31,
|
||||||||||||||||
|
2014
|
|
2013
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
|
(in millions)
|
||||||||||||||||||
U.S. statutory companies:
|
|
|
|
|
|
|
|
|
|
||||||||||
AGM(1)
|
$
|
2,267
|
|
|
$
|
1,733
|
|
|
$
|
304
|
|
|
$
|
340
|
|
|
$
|
203
|
|
MAC
|
$
|
612
|
|
|
$
|
514
|
|
|
$
|
75
|
|
|
$
|
26
|
|
|
$
|
1
|
|
AGC(1)
|
1,086
|
|
|
693
|
|
|
116
|
|
|
211
|
|
|
31
|
|
|||||
Bermuda statutory company:
|
|
|
|
|
|
|
|
|
|
||||||||||
AG Re
|
1,114
|
|
|
1,119
|
|
|
28
|
|
|
103
|
|
|
117
|
|
(1)
|
Policyholders' surplus of AGM and AGC include their indirect share of MAC. AGM and AGC own approximately
61%
and
39%
, respectively, of the outstanding stock of Municipal Assurance Holdings Inc. ("MAC Holdings"), which owns
100%
of the outstanding common stock of MAC.
|
•
|
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 NYDFS.
|
•
|
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 NYDFS.
|
•
|
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 NYDFS.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Dividends paid by AGC to AGUS
|
$
|
69
|
|
|
$
|
67
|
|
|
$
|
55
|
|
Dividends paid by AGM to AGMH
|
160
|
|
|
163
|
|
|
30
|
|
|||
Dividends paid by AG Re to AGL
|
82
|
|
|
144
|
|
|
151
|
|
|||
Repayment of surplus note by AGM to AGMH
|
50
|
|
|
50
|
|
|
50
|
|
|||
Issuance of surplus notes by MAC to MAC Holdings
|
—
|
|
|
(300
|
)
|
|
—
|
|
|||
Issuance of surplus notes by MAC to AGM
|
—
|
|
|
(100
|
)
|
|
—
|
|
13.
|
Income Taxes
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions
|
$
|
490
|
|
|
$
|
390
|
|
|
$
|
76
|
|
Tax-exempt interest
|
(53
|
)
|
|
(57
|
)
|
|
(61
|
)
|
|||
Change in liability for uncertain tax positions
|
9
|
|
|
(2
|
)
|
|
2
|
|
|||
Other
|
(3
|
)
|
|
3
|
|
|
5
|
|
|||
Total provision (benefit) for income taxes
|
$
|
443
|
|
|
$
|
334
|
|
|
$
|
22
|
|
Effective tax rate
|
28.9
|
%
|
|
29.2
|
%
|
|
16.5
|
%
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
United States
|
$
|
1,633
|
|
|
$
|
1,389
|
|
|
$
|
875
|
|
Bermuda
|
365
|
|
|
219
|
|
|
79
|
|
|||
U.K.
|
(4
|
)
|
|
0
|
|
|
0
|
|
|||
Total
|
$
|
1,994
|
|
|
$
|
1,608
|
|
|
$
|
954
|
|
|
As of December 31,
|
||||||
|
2014
|
|
2013
|
||||
|
(in millions)
|
||||||
Deferred tax assets:
|
|
|
|
||||
Unrealized losses on credit derivative financial instruments, net
|
$
|
224
|
|
|
$
|
402
|
|
Unearned premium reserves, net
|
63
|
|
|
63
|
|
||
Loss and LAE reserve
|
66
|
|
|
134
|
|
||
Tax and loss bonds
|
39
|
|
|
33
|
|
||
Alternative minimum tax credit
|
57
|
|
|
90
|
|
||
Foreign tax credit
|
—
|
|
|
37
|
|
||
FG VIEs
|
13
|
|
|
29
|
|
||
DAC
|
35
|
|
|
40
|
|
||
Investment basis difference
|
104
|
|
|
93
|
|
||
Deferred compensation
|
38
|
|
|
33
|
|
||
Other
|
19
|
|
|
21
|
|
||
Total deferred income tax assets
|
658
|
|
|
975
|
|
||
Deferred tax liabilities:
|
|
|
|
||||
Contingency reserves
|
64
|
|
|
47
|
|
||
Public debt
|
96
|
|
|
98
|
|
||
Unrealized appreciation on investments
|
159
|
|
|
68
|
|
||
Unrealized gains on CCS
|
22
|
|
|
16
|
|
||
Market discount
|
36
|
|
|
24
|
|
||
Other
|
21
|
|
|
34
|
|
||
Total deferred income tax liabilities
|
398
|
|
|
287
|
|
||
Net deferred income tax asset
|
$
|
260
|
|
|
$
|
688
|
|
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Balance as of January 1,
|
$
|
20
|
|
|
$
|
22
|
|
|
$
|
20
|
|
True-up from tax return filings
|
6
|
|
|
4
|
|
|
—
|
|
|||
Increase in unrecognized tax benefits as a result of position taken during the current period
|
2
|
|
|
3
|
|
|
2
|
|
|||
Decrease due to closing of IRS audit
|
—
|
|
|
(9
|
)
|
|
—
|
|
|||
Balance as of December 31,
|
$
|
28
|
|
|
$
|
20
|
|
|
$
|
22
|
|
14.
|
Reinsurance and Other Monoline Exposures
|
•
|
if the Company fails to meet certain financial and regulatory criteria and to maintain a specified minimum financial strength rating, or
|
•
|
upon certain changes of control of the Company.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Increase (decrease) in net unearned premium reserve
|
$
|
20
|
|
|
$
|
11
|
|
|
$
|
109
|
|
Increase (decrease) in net par outstanding
|
1,167
|
|
|
151
|
|
|
19,173
|
|
|||
Commutation gains recorded in other income
|
23
|
|
|
2
|
|
|
82
|
|
|
Year Ended December 31,
|
|||||||||
|
2014
|
|
2013
|
|
2012
|
|||||
|
(in millions)
|
|||||||||
Premiums Written:
|
|
|
|
|
|
|||||
Direct
|
$
|
116
|
|
|
$
|
106
|
|
|
244
|
|
Assumed(1)
|
(12
|
)
|
|
17
|
|
|
9
|
|
||
Ceded(2)
|
15
|
|
|
2
|
|
|
51
|
|
||
Net
|
$
|
119
|
|
|
$
|
125
|
|
|
304
|
|
Premiums Earned:
|
|
|
|
|
|
|||||
Direct
|
$
|
581
|
|
|
$
|
819
|
|
|
936
|
|
Assumed
|
47
|
|
|
40
|
|
|
50
|
|
||
Ceded
|
(58
|
)
|
|
(107
|
)
|
|
(133
|
)
|
||
Net
|
$
|
570
|
|
|
$
|
752
|
|
|
853
|
|
Loss and LAE:
|
|
|
|
|
|
|||||
Direct
|
$
|
132
|
|
|
$
|
110
|
|
|
636
|
|
Assumed
|
37
|
|
|
73
|
|
|
(4
|
)
|
||
Ceded
|
(43
|
)
|
|
(29
|
)
|
|
(128
|
)
|
||
Net
|
$
|
126
|
|
|
$
|
154
|
|
|
504
|
|
(1)
|
Negative assumed premiums written were due to cancellations and changes in expected Debt Service schedules.
|
(2)
|
Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules.
|
|
|
Ratings at
|
|
Par Outstanding (1)
|
||||||||||||
|
|
February 24, 2015
|
|
As of December 31, 2014
|
||||||||||||
Reinsurer
|
|
Moody’s
Reinsurer
Rating
|
|
S&P
Reinsurer
Rating
|
|
Ceded Par
Outstanding
|
|
Second-to-
Pay Insured
Par
Outstanding
|
|
Assumed Par
Outstanding
|
||||||
|
|
(dollars in millions)
|
||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
|
WR (2)
|
|
WR
|
|
$
|
6,727
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”)
|
|
Aa3 (3)
|
|
AA- (3)
|
|
5,276
|
|
|
—
|
|
|
—
|
|
|||
Radian Asset
|
|
Ba1
|
|
B+
|
|
4,104
|
|
|
21
|
|
|
671
|
|
|||
Syncora Guarantee Inc.
|
|
WR
|
|
WR
|
|
3,715
|
|
|
1,514
|
|
|
161
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd.
|
|
A1
|
|
A+ (3)
|
|
2,033
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
746
|
|
|
2
|
|
|
—
|
|
|||
Swiss Reinsurance Co.
|
|
Aa3
|
|
AA-
|
|
93
|
|
|
—
|
|
|
—
|
|
|||
Ambac
|
|
WR
|
|
WR
|
|
82
|
|
|
4,930
|
|
|
14,342
|
|
|||
National Public Finance Guarantee Corporation
|
|
A3
|
|
AA-
|
|
—
|
|
|
6,210
|
|
|
5,894
|
|
|||
MBIA
|
|
(4)
|
|
(4)
|
|
—
|
|
|
2,613
|
|
|
587
|
|
|||
FGIC
|
|
WR
|
|
WR
|
|
—
|
|
|
2,074
|
|
|
834
|
|
|||
Ambac Assurance Corp. Segregated Account
|
|
NR
|
|
NR
|
|
—
|
|
|
109
|
|
|
956
|
|
|||
CIFG Assurance North America Inc. ("CIFG")
|
|
WR
|
|
WR
|
|
—
|
|
|
102
|
|
|
4,365
|
|
|||
Other
|
|
Various
|
|
Various
|
|
199
|
|
|
894
|
|
|
46
|
|
|||
Total
|
|
|
|
|
|
$
|
22,975
|
|
|
$
|
18,469
|
|
|
$
|
27,886
|
|
(1)
|
Includes par related to insured credit derivatives.
|
(4)
|
MBIA includes subsidiaries MBIA Insurance Corp. rated B by S&P and B2 by Moody's and MBIA U.K. Insurance Ltd. rated B by S&P and Ba2 by Moody’s.
|
(5)
|
Represents “Not Rated.”
|
|
|
Internal Credit Rating
|
|||||||||||||||||||||||
Reinsurer
|
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
Total
|
||||||||||||
|
|
(in millions)
|
|||||||||||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
|
$
|
633
|
|
|
$
|
2,452
|
|
|
$
|
1,992
|
|
|
$
|
1,158
|
|
|
$
|
492
|
|
|
$
|
6,727
|
|
|
Tokio
|
|
763
|
|
|
968
|
|
|
1,485
|
|
|
1,281
|
|
|
779
|
|
|
5,276
|
|
|||||||
Radian Asset
|
|
206
|
|
|
287
|
|
|
2,037
|
|
|
1,085
|
|
|
489
|
|
|
4,104
|
|
|||||||
Syncora Guarantee Inc.
|
|
—
|
|
|
291
|
|
|
498
|
|
|
2,193
|
|
|
733
|
|
|
3,715
|
|
|||||||
Mitsui Sumitomo Insurance Co. Ltd.
|
|
134
|
|
|
669
|
|
|
742
|
|
|
299
|
|
|
189
|
|
|
2,033
|
|
|||||||
ACA Financial Guaranty Corp
|
|
—
|
|
|
458
|
|
|
277
|
|
|
11
|
|
|
—
|
|
|
746
|
|
|||||||
Swiss Reinsurance Co.
|
|
—
|
|
|
—
|
|
|
0
|
|
|
26
|
|
|
67
|
|
|
93
|
|
|||||||
Ambac
|
|
—
|
|
|
—
|
|
|
82
|
|
|
—
|
|
|
—
|
|
|
82
|
|
|||||||
Other
|
|
62
|
|
|
82
|
|
|
55
|
|
|
—
|
|
|
—
|
|
|
199
|
|
|||||||
Total
|
|
$
|
1,798
|
|
|
$
|
5,207
|
|
|
$
|
7,168
|
|
|
$
|
6,053
|
|
|
$
|
2,749
|
|
|
$
|
22,975
|
|
|
Public Finance
|
|
Structured Finance
|
||||||||||||||||||||||||||||||||||||||||
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
Total
|
||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||
Radian Asset
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3
|
|
|
$
|
12
|
|
|
$
|
6
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
21
|
|
Syncora Guarantee Inc.
|
—
|
|
|
45
|
|
|
326
|
|
|
727
|
|
|
276
|
|
|
96
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
44
|
|
|
1,514
|
|
|||||||||||
ACA Financial Guaranty Corp.
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|||||||||||
Ambac
|
30
|
|
|
1,301
|
|
|
2,597
|
|
|
637
|
|
|
63
|
|
|
—
|
|
|
1
|
|
|
64
|
|
|
231
|
|
|
6
|
|
|
4,930
|
|
|||||||||||
National Public Finance Guarantee Corporation
|
160
|
|
|
2,193
|
|
|
3,833
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
24
|
|
|
—
|
|
|
—
|
|
|
6,210
|
|
|||||||||||
MBIA
|
—
|
|
|
65
|
|
|
254
|
|
|
424
|
|
|
—
|
|
|
—
|
|
|
1,508
|
|
|
—
|
|
|
243
|
|
|
119
|
|
|
2,613
|
|
|||||||||||
FGIC
|
—
|
|
|
77
|
|
|
975
|
|
|
281
|
|
|
302
|
|
|
371
|
|
|
—
|
|
|
25
|
|
|
—
|
|
|
43
|
|
|
2,074
|
|
|||||||||||
Ambac Assurance Corp. Segregated Account
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
33
|
|
|
—
|
|
|
—
|
|
|
76
|
|
|
109
|
|
|||||||||||
CIFG
|
—
|
|
|
4
|
|
|
51
|
|
|
22
|
|
|
25
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
102
|
|
|||||||||||
Other
|
—
|
|
|
894
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
894
|
|
|||||||||||
Total
|
$
|
190
|
|
|
$
|
4,580
|
|
|
$
|
8,039
|
|
|
$
|
2,104
|
|
|
$
|
672
|
|
|
$
|
467
|
|
|
$
|
1,542
|
|
|
$
|
113
|
|
|
$
|
474
|
|
|
$
|
288
|
|
|
$
|
18,469
|
|
(1)
|
Assured Guaranty’s internal rating.
|
|
Assumed
Premium, net
of Commissions
|
|
Ceded
Premium, net
of Commissions
|
|
Assumed
Expected
Loss and LAE
|
|
Ceded
Expected
Loss and LAE
|
||||||||
|
(in millions)
|
||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
$
|
—
|
|
|
$
|
(8
|
)
|
|
$
|
—
|
|
|
$
|
11
|
|
Tokio
|
—
|
|
|
(13
|
)
|
|
—
|
|
|
46
|
|
||||
Radian Asset
|
—
|
|
|
(13
|
)
|
|
—
|
|
|
19
|
|
||||
Syncora Guarantee Inc.
|
—
|
|
|
(29
|
)
|
|
—
|
|
|
4
|
|
||||
Mitsui Sumitomo Insurance Co. Ltd.
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
15
|
|
||||
Swiss Reinsurance Co.
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
6
|
|
||||
Ambac
|
43
|
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
||||
National Public Finance Guarantee Corporation
|
7
|
|
|
—
|
|
|
(7
|
)
|
|
—
|
|
||||
MBIA
|
5
|
|
|
—
|
|
|
(9
|
)
|
|
—
|
|
||||
FGIC
|
5
|
|
|
—
|
|
|
(3
|
)
|
|
—
|
|
||||
Ambac Assurance Corp. Segregated Account
|
13
|
|
|
—
|
|
|
(83
|
)
|
|
—
|
|
||||
CIFG
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
—
|
|
||||
Other
|
(2
|
)
|
|
(23
|
)
|
|
—
|
|
|
—
|
|
||||
Total
|
$
|
71
|
|
|
$
|
(92
|
)
|
|
$
|
(127
|
)
|
|
$
|
101
|
|
15.
|
Related Party Transactions
|
16.
|
Commitments and Contingencies
|
Year
|
|
(in millions)
|
||
2015
|
$
|
8
|
|
|
2016
|
8
|
|
||
2017
|
8
|
|
||
2018
|
8
|
|
||
2019
|
8
|
|
||
Thereafter
|
52
|
|
||
Total
|
$
|
92
|
|
•
|
AGMH received a subpoena from the Antitrust Division of the Department of Justice in November 2006 issued in connection with an ongoing criminal investigation of bid rigging of awards of municipal GICs and other municipal derivatives; and
|
•
|
AGM received a subpoena from the SEC in November 2006 related to an ongoing industry-wide investigation concerning the bidding of municipal GICs and other municipal derivatives.
|
17.
|
Long-Term Debt and Credit Facilities
|
|
As of December 31, 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
|
|
|
175
|
|
|
300
|
|
|
169
|
|
||||
Total AGMH
|
730
|
|
|
437
|
|
|
730
|
|
|
430
|
|
||||
AGM:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Notes Payable
|
16
|
|
|
19
|
|
|
34
|
|
|
38
|
|
||||
Total AGM
|
16
|
|
|
19
|
|
|
34
|
|
|
38
|
|
||||
Total
|
$
|
1,596
|
|
|
$
|
1,303
|
|
|
$
|
1,114
|
|
|
$
|
816
|
|
Expected Withdrawal Date
|
|
AGUS
|
|
AGMH
|
|
AGM
|
|
Total
|
||||||||
|
|
(in millions)
|
||||||||||||||
2015
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
7
|
|
|
$
|
7
|
|
2016
|
|
—
|
|
|
—
|
|
|
3
|
|
|
3
|
|
||||
2017
|
|
—
|
|
|
—
|
|
|
3
|
|
|
3
|
|
||||
2018
|
|
—
|
|
|
—
|
|
|
2
|
|
|
2
|
|
||||
2019
|
|
—
|
|
|
—
|
|
|
1
|
|
|
1
|
|
||||
2020-2039
|
|
700
|
|
|
—
|
|
|
—
|
|
|
700
|
|
||||
2040-2059
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
2060-2079
|
|
150
|
|
|
300
|
|
|
—
|
|
|
450
|
|
||||
Thereafter
|
|
—
|
|
|
430
|
|
|
—
|
|
|
430
|
|
||||
Total
|
|
$
|
850
|
|
|
$
|
730
|
|
|
$
|
16
|
|
|
$
|
1,596
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|||
7.0% Senior Notes
|
$
|
13
|
|
|
$
|
13
|
|
|
$
|
13
|
|
5.0% Senior Notes
|
13
|
|
|
—
|
|
|
—
|
|
|||
8.50% Senior Notes
|
—
|
|
|
—
|
|
|
8
|
|
|||
Series A Enhanced Junior Subordinated Debentures
|
10
|
|
|
10
|
|
|
10
|
|
|||
Total AGUS
|
36
|
|
|
23
|
|
|
31
|
|
|||
AGMH:
|
|
|
|
|
|
|
|
|
|||
6
7
/
8
% QUIBS
|
7
|
|
|
7
|
|
|
7
|
|
|||
6.25% Notes
|
16
|
|
|
16
|
|
|
16
|
|
|||
5.60% Notes
|
6
|
|
|
6
|
|
|
6
|
|
|||
Junior Subordinated Debentures
|
25
|
|
|
25
|
|
|
25
|
|
|||
Total AGMH
|
54
|
|
|
54
|
|
|
54
|
|
|||
AGM:
|
|
|
|
|
|
|
|
|
|||
Notes Payable
|
2
|
|
|
5
|
|
|
7
|
|
|||
Total AGM
|
2
|
|
|
5
|
|
|
7
|
|
|||
Total
|
$
|
92
|
|
|
$
|
82
|
|
|
$
|
92
|
|
•
|
a maximum debt-to-capital ratio of
30%
; and
|
•
|
a minimum net worth of
75%
of consolidated net worth as of July 1, 2009, plus, beginning June 30, 2015 and on each anniversary of such date, an amount equal to the product of (i)
25%
of the aggregate consolidated net income (or loss) for the period beginning July 2, 2009 and ending on June 30, 2014 and (ii) a fraction, the numerator of which is the commitment amount as of the relevant calculation date and the denominator of which is $
1 billion
.
|
18.
|
Earnings Per Share
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions, except per share amounts)
|
||||||||||
Basic EPS:
|
|
|
|
|
|
||||||
Net income (loss) attributable to AGL
|
$
|
1,088
|
|
|
$
|
808
|
|
|
110
|
|
|
Less: Distributed and undistributed income (loss) available to nonvested shareholders
|
0
|
|
|
1
|
|
|
0
|
|
|||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
$
|
1,088
|
|
|
$
|
807
|
|
|
110
|
|
|
Basic shares
|
172.6
|
|
|
186.6
|
|
|
189.2
|
|
|||
Basic EPS
|
$
|
6.30
|
|
|
$
|
4.32
|
|
|
$
|
0.58
|
|
Diluted EPS:
|
|
|
|
|
|
||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
$
|
1,088
|
|
|
$
|
807
|
|
|
$
|
110
|
|
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries
|
0
|
|
|
0
|
|
|
0
|
|
|||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted
|
$
|
1,088
|
|
|
$
|
807
|
|
|
$
|
110
|
|
|
|
|
|
|
|
||||||
Basic shares
|
172.6
|
|
|
186.6
|
|
|
189.2
|
|
|||
Effect of dilutive securities:
|
|
|
|
|
|
||||||
Options and restricted stock awards
|
1.0
|
|
|
1.0
|
|
|
0.8
|
|
|||
Equity units
|
—
|
|
|
—
|
|
|
0.7
|
|
|||
Diluted shares
|
173.6
|
|
|
187.6
|
|
|
190.7
|
|
|||
Diluted EPS
|
$
|
6.26
|
|
|
$
|
4.30
|
|
|
$
|
0.57
|
|
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect
|
1.6
|
|
|
2.7
|
|
|
9.9
|
|
19.
|
Shareholders' Equity
|
|
Number of
Shares
|
|
Price per
Share
|
|
Proceeds
|
|
Net
Proceeds
|
|||||||
|
(in millions, except share and per share amounts)
|
|||||||||||||
June 1, 2012(1)
|
13,428,770
|
|
|
$
|
12.85
|
|
|
$
|
173
|
|
|
$
|
173
|
|
(1)
|
Relates to the settlement of forward purchase contracts. See Note 17, Long-Term Debt and Credit Facilities.
|
Year
|
|
Number of Shares Repurchased
|
|
Total Payments
(in millions)
|
|
Average Price Paid Per Share
|
|||||
2015 (through February 26, 2015 on a settlement date basis)
|
|
3,581,767
|
|
|
$
|
92
|
|
|
$
|
25.63
|
|
2014
|
|
24,413,781
|
|
|
$
|
590
|
|
|
$
|
24.17
|
|
2013
|
|
12,512,759
|
|
|
264
|
|
|
21.12
|
|
||
2012
|
|
2,066,759
|
|
|
24
|
|
|
11.76
|
|
20.
|
Employee Benefit Plans
|
|
Options for
Common Shares
|
|
Weighted
Average
Exercise Price
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|
Number of
Exercisable
Options
|
|
Year of
Expiration
|
||||||
Balance as of December 31, 2013
|
3,129,251
|
|
|
$
|
20.97
|
|
|
|
|
2,987,088
|
|
|
|
||
Options granted
|
83,162
|
|
|
21.88
|
|
|
$
|
10.35
|
|
|
|
|
2021
|
||
Options exercised
|
(409,560
|
)
|
|
17.88
|
|
|
|
|
|
|
|
||||
Options forfeited/expired
|
—
|
|
|
—
|
|
|
|
|
|
|
|
||||
Balance as of December 31, 2014
|
2,802,853
|
|
|
$
|
21.45
|
|
|
|
|
2,631,653
|
|
|
|
|
2014
|
|
2013
|
|
2012
|
||||
Dividend yield
|
2.03
|
%
|
|
2.07
|
%
|
|
2.06
|
%
|
|
Expected volatility
|
53.24
|
%
|
|
53.41
|
%
|
|
58.89
|
%
|
|
Risk free interest rate
|
2.21
|
%
|
|
1.35
|
%
|
|
1.45
|
%
|
|
Expected life
|
6.6 years
|
|
|
6.6 years
|
|
|
6.6 years
|
|
|
Forfeiture rate
|
3.5
|
%
|
|
4.5
|
%
|
|
4.5
|
%
|
|
Weighted average grant date fair value
|
10.35
|
|
|
$
|
8.94
|
|
|
8.62
|
|
|
Options for
Common Shares
|
|
Weighted
Average
Exercise Price
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|
Number of
Exercisable
Options
|
|
Year of
Expiration
|
|||||||
Balance as of December 31, 2013
|
365,717
|
|
|
$
|
17.80
|
|
|
|
|
0
|
|
|
|
|
||
Options granted
|
—
|
|
|
—
|
|
|
$
|
—
|
|
|
|
|
—
|
|
||
Options exercised
|
—
|
|
|
—
|
|
|
|
|
|
|
|
|||||
Options forfeited/expired
|
(118,838
|
)
|
|
17.44
|
|
|
|
|
|
|
|
|||||
Balance as of December 31, 2014
|
246,879
|
|
|
$
|
17.97
|
|
|
|
|
0
|
|
|
|
|
2013
|
|
2012
|
||||
Dividend yield
|
2.07
|
%
|
|
2.06
|
%
|
||
Expected volatility
|
53.5
|
%
|
|
58.89
|
%
|
||
Risk free interest rate
|
1.36
|
%
|
|
1.45
|
%
|
||
Expected life
|
6.3 years
|
|
|
6.3 years
|
|
||
Forfeiture rate
|
4.5
|
%
|
|
4.5
|
%
|
||
Weighted average grant date fair value
|
$
|
8.17
|
|
|
$
|
7.84
|
|
(1)
|
No options were granted in 2014.
|
Nonvested Shares
|
|
Number of
Shares
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|||
Nonvested at December 31, 2013
|
48,273
|
|
|
$
|
23.20
|
|
|
Granted
|
47,747
|
|
|
23.98
|
|
||
Vested
|
(48,273
|
)
|
|
23.20
|
|
||
Forfeited
|
(4,170
|
)
|
|
23.98
|
|
||
Nonvested at December 31, 2014
|
43,577
|
|
|
$
|
23.98
|
|
Nonvested Stock Units
|
|
Number of
Stock Units
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|||
Nonvested at December 31, 2013
|
736,409
|
|
|
$
|
17.63
|
|
|
Granted
|
238,976
|
|
|
21.61
|
|
||
Delivered
|
(284,082
|
)
|
|
17.13
|
|
||
Forfeited
|
—
|
|
|
—
|
|
||
Nonvested at December 31, 2014
|
691,303
|
|
|
$
|
19.23
|
|
Performance Restricted Stock Units
|
|
Number of
Performance Share Units
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|||
Nonvested at December 31, 2013
|
223,410
|
|
|
$
|
27.79
|
|
|
Granted
|
203,287
|
|
|
25.17
|
|
||
Delivered
|
—
|
|
|
—
|
|
||
Forfeited
|
(3,395
|
)
|
|
27.35
|
|
||
Nonvested at December 31, 2014
|
423,302
|
|
|
$
|
26.72
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(dollars in millions)
|
||||||||||
Proceeds from purchase of shares by employees
|
$
|
0.9
|
|
|
$
|
0.9
|
|
|
$
|
0.6
|
|
Number of shares issued by the Company
|
43,273
|
|
|
57,980
|
|
|
54,612
|
|
|||
Recorded in share-based compensation, after the effects of DAC
|
$
|
0.2
|
|
|
$
|
0.3
|
|
|
$
|
0.2
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Share‑Based Employee Cost:
|
|
|
|
|
|
||||||
Recurring amortization
|
$
|
9
|
|
|
$
|
7
|
|
|
$
|
6
|
|
Accelerated amortization for retirement eligible employees
|
0
|
|
|
—
|
|
|
1
|
|
|||
Subtotal
|
9
|
|
|
7
|
|
|
7
|
|
|||
ESPP
|
0
|
|
|
0
|
|
|
0
|
|
|||
Total Share‑Based Employee Cost
|
9
|
|
|
7
|
|
|
7
|
|
|||
Total Share‑Based Directors Cost
|
1
|
|
|
1
|
|
|
1
|
|
|||
Total Share‑Based Cost
|
10
|
|
|
8
|
|
|
8
|
|
|||
Less: Share‑based compensation capitalized as DAC
|
0
|
|
|
—
|
|
|
1
|
|
|||
Share‑based compensation expense
|
$
|
10
|
|
|
$
|
8
|
|
|
$
|
7
|
|
Income tax benefit
|
$
|
2
|
|
|
$
|
2
|
|
|
$
|
2
|
|
21.
|
Other Comprehensive Income
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2013
|
$
|
178
|
|
|
$
|
(24
|
)
|
|
$
|
(3
|
)
|
|
$
|
9
|
|
|
$
|
160
|
|
Other comprehensive income (loss) before reclassifications
|
196
|
|
|
(20
|
)
|
|
(7
|
)
|
|
—
|
|
|
169
|
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net realized investment gains (losses)
|
(12
|
)
|
|
74
|
|
|
—
|
|
|
—
|
|
|
62
|
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
0
|
|
|||||
Total before tax
|
(12
|
)
|
|
74
|
|
|
—
|
|
|
0
|
|
|
62
|
|
|||||
Tax (provision) benefit
|
5
|
|
|
(26
|
)
|
|
—
|
|
|
0
|
|
|
(21
|
)
|
|||||
Total amount reclassified from AOCI, net of tax
|
(7
|
)
|
|
48
|
|
|
—
|
|
|
0
|
|
|
41
|
|
|||||
Net current period other comprehensive income (loss)
|
189
|
|
|
28
|
|
|
(7
|
)
|
|
0
|
|
|
210
|
|
|||||
Balance, December 31, 2014
|
$
|
367
|
|
|
$
|
4
|
|
|
$
|
(10
|
)
|
|
$
|
9
|
|
|
$
|
370
|
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2012
|
$
|
517
|
|
|
$
|
(5
|
)
|
|
$
|
(6
|
)
|
|
$
|
9
|
|
|
$
|
515
|
|
Other comprehensive income (loss) before reclassifications
|
(309
|
)
|
|
(35
|
)
|
|
3
|
|
|
—
|
|
|
(341
|
)
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net realized investment gains (losses)
|
(43
|
)
|
|
24
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|||||
Total before tax
|
(43
|
)
|
|
24
|
|
|
—
|
|
|
(1
|
)
|
|
(20
|
)
|
|||||
Tax (provision) benefit
|
13
|
|
|
(8
|
)
|
|
—
|
|
|
1
|
|
|
6
|
|
|||||
Total amount reclassified from AOCI, net of tax
|
(30
|
)
|
|
16
|
|
|
—
|
|
|
0
|
|
|
(14
|
)
|
|||||
Net current period other comprehensive income (loss)
|
(339
|
)
|
|
(19
|
)
|
|
3
|
|
|
0
|
|
|
(355
|
)
|
|||||
Balance, December 31, 2013
|
$
|
178
|
|
|
$
|
(24
|
)
|
|
$
|
(3
|
)
|
|
$
|
9
|
|
|
$
|
160
|
|
|
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, 2011
|
$
|
365
|
|
|
$
|
2
|
|
|
$
|
(8
|
)
|
|
$
|
9
|
|
|
$
|
368
|
|
Other comprehensive income (loss)
|
152
|
|
|
(7
|
)
|
|
2
|
|
|
0
|
|
|
147
|
|
|||||
Balance, December 31, 2012
|
$
|
517
|
|
|
$
|
(5
|
)
|
|
$
|
(6
|
)
|
|
$
|
9
|
|
|
$
|
515
|
|
22.
|
Subsidiary Information
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total investment portfolio and cash
|
$
|
126
|
|
|
$
|
204
|
|
|
$
|
47
|
|
|
$
|
11,382
|
|
|
$
|
(300
|
)
|
|
$
|
11,459
|
|
Investment in subsidiaries
|
5,612
|
|
|
5,072
|
|
|
3,965
|
|
|
339
|
|
|
(14,988
|
)
|
|
—
|
|
||||||
Premiums receivable, net of commissions payable
|
—
|
|
|
—
|
|
|
—
|
|
|
864
|
|
|
(135
|
)
|
|
729
|
|
||||||
Ceded unearned premium reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,469
|
|
|
(1,088
|
)
|
|
381
|
|
||||||
Deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
186
|
|
|
(65
|
)
|
|
121
|
|
||||||
Reinsurance recoverable on unpaid losses
|
—
|
|
|
—
|
|
|
—
|
|
|
338
|
|
|
(260
|
)
|
|
78
|
|
||||||
Credit derivative assets
|
—
|
|
|
—
|
|
|
—
|
|
|
277
|
|
|
(209
|
)
|
|
68
|
|
||||||
Deferred tax asset, net
|
—
|
|
|
54
|
|
|
—
|
|
|
295
|
|
|
(89
|
)
|
|
260
|
|
||||||
Intercompany receivable
|
—
|
|
|
—
|
|
|
—
|
|
|
90
|
|
|
(90
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ assets, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
1,402
|
|
|
—
|
|
|
1,402
|
|
||||||
Other
|
27
|
|
|
77
|
|
|
27
|
|
|
538
|
|
|
(242
|
)
|
|
427
|
|
||||||
TOTAL ASSETS
|
$
|
5,765
|
|
|
$
|
5,407
|
|
|
$
|
4,039
|
|
|
$
|
17,180
|
|
|
$
|
(17,466
|
)
|
|
$
|
14,925
|
|
LIABILITIES AND SHAREHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Unearned premium reserves
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,328
|
|
|
$
|
(1,067
|
)
|
|
$
|
4,261
|
|
Loss and LAE reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,066
|
|
|
(267
|
)
|
|
799
|
|
||||||
Long-term debt
|
—
|
|
|
847
|
|
|
437
|
|
|
19
|
|
|
—
|
|
|
1,303
|
|
||||||
Intercompany payable
|
—
|
|
|
90
|
|
|
—
|
|
|
300
|
|
|
(390
|
)
|
|
—
|
|
||||||
Credit derivative liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
1,172
|
|
|
(209
|
)
|
|
963
|
|
||||||
Deferred tax liabilities, net
|
—
|
|
|
—
|
|
|
94
|
|
|
—
|
|
|
(94
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ liabilities, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
1,419
|
|
|
—
|
|
|
1,419
|
|
||||||
Other
|
7
|
|
|
9
|
|
|
16
|
|
|
764
|
|
|
(374
|
)
|
|
422
|
|
||||||
TOTAL LIABILITIES
|
7
|
|
|
946
|
|
|
547
|
|
|
10,068
|
|
|
(2,401
|
)
|
|
9,167
|
|
||||||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
5,758
|
|
|
4,461
|
|
|
3,492
|
|
|
6,773
|
|
|
(14,726
|
)
|
|
5,758
|
|
||||||
Noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
339
|
|
|
(339
|
)
|
|
—
|
|
||||||
TOTAL SHAREHOLDERS’ EQUITY
|
5,758
|
|
|
4,461
|
|
|
3,492
|
|
|
7,112
|
|
|
(15,065
|
)
|
|
5,758
|
|
||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY
|
$
|
5,765
|
|
|
$
|
5,407
|
|
|
$
|
4,039
|
|
|
$
|
17,180
|
|
|
$
|
(17,466
|
)
|
|
$
|
14,925
|
|
|
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
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
566
|
|
|
$
|
4
|
|
|
$
|
570
|
|
Net investment income
|
0
|
|
|
0
|
|
|
1
|
|
|
412
|
|
|
(10
|
)
|
|
403
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
0
|
|
|
0
|
|
|
(58
|
)
|
|
(2
|
)
|
|
(60
|
)
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
23
|
|
|
—
|
|
|
23
|
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
800
|
|
|
—
|
|
|
800
|
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
823
|
|
|
—
|
|
|
823
|
|
||||||
Other
|
0
|
|
|
0
|
|
|
—
|
|
|
259
|
|
|
(1
|
)
|
|
258
|
|
||||||
TOTAL REVENUES
|
0
|
|
|
0
|
|
|
1
|
|
|
2,002
|
|
|
(9
|
)
|
|
1,994
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
122
|
|
|
4
|
|
|
126
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
33
|
|
|
(8
|
)
|
|
25
|
|
||||||
Interest expense
|
—
|
|
|
40
|
|
|
54
|
|
|
16
|
|
|
(18
|
)
|
|
92
|
|
||||||
Other operating expenses
|
31
|
|
|
1
|
|
|
1
|
|
|
195
|
|
|
(8
|
)
|
|
220
|
|
||||||
TOTAL EXPENSES
|
31
|
|
|
41
|
|
|
55
|
|
|
366
|
|
|
(30
|
)
|
|
463
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(31
|
)
|
|
(41
|
)
|
|
(54
|
)
|
|
1,636
|
|
|
21
|
|
|
1,531
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
14
|
|
|
19
|
|
|
(469
|
)
|
|
(7
|
)
|
|
(443
|
)
|
||||||
Equity in net earnings of subsidiaries
|
$
|
1,119
|
|
|
$
|
983
|
|
|
$
|
513
|
|
|
$
|
32
|
|
|
$
|
(2,647
|
)
|
|
—
|
|
|
NET INCOME (LOSS)
|
1,088
|
|
|
956
|
|
|
478
|
|
|
1,199
|
|
|
(2,633
|
)
|
|
1,088
|
|
||||||
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
32
|
|
|
(32
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
1,088
|
|
|
$
|
956
|
|
|
$
|
478
|
|
|
$
|
1,167
|
|
|
$
|
(2,601
|
)
|
|
$
|
1,088
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
1,298
|
|
|
$
|
1,114
|
|
|
$
|
577
|
|
|
$
|
1,570
|
|
|
$
|
(3,261
|
)
|
|
$
|
1,298
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
740
|
|
|
$
|
12
|
|
|
$
|
752
|
|
Net investment income
|
0
|
|
|
0
|
|
|
1
|
|
|
408
|
|
|
(16
|
)
|
|
393
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
0
|
|
|
0
|
|
|
87
|
|
|
(35
|
)
|
|
52
|
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
(42
|
)
|
|
—
|
|
|
(42
|
)
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
107
|
|
|
—
|
|
|
107
|
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
65
|
|
|
—
|
|
|
65
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
348
|
|
|
(2
|
)
|
|
346
|
|
||||||
TOTAL REVENUES
|
0
|
|
|
0
|
|
|
1
|
|
|
1,648
|
|
|
(41
|
)
|
|
1,608
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
144
|
|
|
10
|
|
|
154
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
12
|
|
|
0
|
|
|
12
|
|
||||||
Interest expense
|
—
|
|
|
28
|
|
|
54
|
|
|
20
|
|
|
(20
|
)
|
|
82
|
|
||||||
Other operating expenses
|
22
|
|
|
1
|
|
|
1
|
|
|
199
|
|
|
(5
|
)
|
|
218
|
|
||||||
TOTAL EXPENSES
|
22
|
|
|
29
|
|
|
55
|
|
|
375
|
|
|
(15
|
)
|
|
466
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(22
|
)
|
|
(29
|
)
|
|
(54
|
)
|
|
1,273
|
|
|
(26
|
)
|
|
1,142
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
9
|
|
|
17
|
|
|
(387
|
)
|
|
27
|
|
|
(334
|
)
|
||||||
Equity in net earnings of subsidiaries
|
830
|
|
|
768
|
|
|
701
|
|
|
19
|
|
|
(2,318
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
808
|
|
|
748
|
|
|
664
|
|
|
905
|
|
|
(2,317
|
)
|
|
808
|
|
||||||
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
19
|
|
|
(19
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
808
|
|
|
$
|
748
|
|
|
$
|
664
|
|
|
$
|
886
|
|
|
$
|
(2,298
|
)
|
|
$
|
808
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
453
|
|
|
$
|
522
|
|
|
$
|
515
|
|
|
$
|
309
|
|
|
$
|
(1,346
|
)
|
|
$
|
453
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
833
|
|
|
$
|
20
|
|
|
$
|
853
|
|
Net investment income
|
0
|
|
|
—
|
|
|
1
|
|
|
422
|
|
|
(19
|
)
|
|
404
|
|
||||||
Net realized investment gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
(108
|
)
|
|
—
|
|
|
(108
|
)
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
(477
|
)
|
|
—
|
|
|
(477
|
)
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
(585
|
)
|
|
—
|
|
|
(585
|
)
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
284
|
|
|
(3
|
)
|
|
281
|
|
||||||
TOTAL REVENUES
|
0
|
|
|
—
|
|
|
1
|
|
|
955
|
|
|
(2
|
)
|
|
954
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
509
|
|
|
(5
|
)
|
|
504
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
28
|
|
|
(14
|
)
|
|
14
|
|
||||||
Interest expense
|
—
|
|
|
35
|
|
|
54
|
|
|
22
|
|
|
(19
|
)
|
|
92
|
|
||||||
Other operating expenses
|
21
|
|
|
2
|
|
|
1
|
|
|
194
|
|
|
(6
|
)
|
|
212
|
|
||||||
TOTAL EXPENSES
|
21
|
|
|
37
|
|
|
55
|
|
|
753
|
|
|
(44
|
)
|
|
822
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(21
|
)
|
|
(37
|
)
|
|
(54
|
)
|
|
202
|
|
|
42
|
|
|
132
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
13
|
|
|
19
|
|
|
(38
|
)
|
|
(16
|
)
|
|
(22
|
)
|
||||||
Equity in net earnings of subsidiaries
|
131
|
|
|
177
|
|
|
424
|
|
|
153
|
|
|
(885
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
$
|
110
|
|
|
$
|
153
|
|
|
$
|
389
|
|
|
$
|
317
|
|
|
$
|
(859
|
)
|
|
$
|
110
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
257
|
|
|
$
|
266
|
|
|
$
|
465
|
|
|
$
|
577
|
|
|
$
|
(1,308
|
)
|
|
$
|
257
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
Net cash flows provided by (used in) operating activities
|
$
|
758
|
|
|
$
|
223
|
|
|
$
|
144
|
|
|
$
|
663
|
|
|
$
|
(1,211
|
)
|
|
$
|
577
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
(540
|
)
|
|
(8
|
)
|
|
(2,253
|
)
|
|
—
|
|
|
(2,801
|
)
|
||||||
Sales
|
—
|
|
|
464
|
|
|
10
|
|
|
777
|
|
|
—
|
|
|
1,251
|
|
||||||
Maturities
|
—
|
|
|
6
|
|
|
1
|
|
|
870
|
|
|
—
|
|
|
877
|
|
||||||
Sales (purchases) of short-term investments, net
|
(93
|
)
|
|
(15
|
)
|
|
(3
|
)
|
|
269
|
|
|
—
|
|
|
158
|
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
|
|
|
|
|
|
|
|
|
408
|
|
|
—
|
|
|
408
|
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
50
|
|
|
—
|
|
|
(50
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
11
|
|
|
—
|
|
|
11
|
|
||||||
Net cash flows provided by (used in) investing activities
|
(93
|
)
|
|
(85
|
)
|
|
50
|
|
|
82
|
|
|
(50
|
)
|
|
(96
|
)
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(50
|
)
|
|
50
|
|
|
—
|
|
||||||
Capital contribution from parent
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Dividends paid
|
(76
|
)
|
|
(700
|
)
|
|
(190
|
)
|
|
(321
|
)
|
|
1,211
|
|
|
(76
|
)
|
||||||
Repurchases of common stock
|
(590
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(590
|
)
|
||||||
Share activity under option and incentive plans
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(396
|
)
|
|
—
|
|
|
(396
|
)
|
||||||
Net proceeds from issuance of long-term debt
|
—
|
|
|
495
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
495
|
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
|
(19
|
)
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Net cash flows provided by (used in) financing activities
|
(665
|
)
|
|
(205
|
)
|
|
(190
|
)
|
|
(786
|
)
|
|
1,261
|
|
|
(585
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
|
—
|
|
|
(5
|
)
|
||||||
Increase (decrease) in cash
|
—
|
|
|
(67
|
)
|
|
4
|
|
|
(46
|
)
|
|
—
|
|
|
(109
|
)
|
||||||
Cash at beginning of period
|
0
|
|
|
67
|
|
|
0
|
|
|
117
|
|
|
—
|
|
|
184
|
|
||||||
Cash at end of period
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
4
|
|
|
$
|
71
|
|
|
$
|
—
|
|
|
$
|
75
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
Net cash flows provided by (used in) operating activities
|
$
|
128
|
|
|
$
|
178
|
|
|
$
|
133
|
|
|
$
|
347
|
|
|
$
|
(542
|
)
|
|
$
|
244
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
(93
|
)
|
|
(26
|
)
|
|
(1,832
|
)
|
|
65
|
|
|
(1,886
|
)
|
||||||
Sales
|
176
|
|
|
1
|
|
|
25
|
|
|
892
|
|
|
(65
|
)
|
|
1,029
|
|
||||||
Maturities
|
29
|
|
|
3
|
|
|
2
|
|
|
849
|
|
|
—
|
|
|
883
|
|
||||||
Sales (purchases) of short-term investments, net
|
7
|
|
|
(28
|
)
|
|
(15
|
)
|
|
(51
|
)
|
|
—
|
|
|
(87
|
)
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
663
|
|
|
—
|
|
|
663
|
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
(7
|
)
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
0
|
|
|
49
|
|
|
—
|
|
|
(49
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
79
|
|
|
—
|
|
|
79
|
|
||||||
Net cash flows provided by (used in) investing activities
|
212
|
|
|
(117
|
)
|
|
35
|
|
|
607
|
|
|
(56
|
)
|
|
681
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
—
|
|
||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(50
|
)
|
|
50
|
|
|
—
|
|
||||||
Capital contribution from parent
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
(1
|
)
|
|
—
|
|
||||||
Dividends paid
|
(75
|
)
|
|
—
|
|
|
(168
|
)
|
|
(374
|
)
|
|
542
|
|
|
(75
|
)
|
||||||
Repurchases of common stock
|
(264
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(264
|
)
|
||||||
Share activity under option and incentive plans
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(511
|
)
|
|
—
|
|
|
(511
|
)
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(27
|
)
|
|
—
|
|
|
(27
|
)
|
||||||
Intercompany debt
|
—
|
|
|
(7
|
)
|
|
—
|
|
|
—
|
|
|
7
|
|
|
—
|
|
||||||
Net cash flows provided by (used in) financing activities
|
(340
|
)
|
|
(7
|
)
|
|
(168
|
)
|
|
(961
|
)
|
|
598
|
|
|
(878
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
||||||
Increase (decrease) in cash
|
0
|
|
|
54
|
|
|
—
|
|
|
(8
|
)
|
|
—
|
|
|
46
|
|
||||||
Cash at beginning of period
|
—
|
|
|
13
|
|
|
0
|
|
|
125
|
|
|
—
|
|
|
138
|
|
||||||
Cash at end of period
|
$
|
0
|
|
|
$
|
67
|
|
|
$
|
0
|
|
|
$
|
117
|
|
|
$
|
—
|
|
|
$
|
184
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
Net cash flows provided by (used in) operating activities
|
$
|
138
|
|
|
$
|
6
|
|
|
$
|
20
|
|
|
$
|
5
|
|
|
$
|
(334
|
)
|
|
$
|
(165
|
)
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
(211
|
)
|
|
(1
|
)
|
|
(13
|
)
|
|
(1,424
|
)
|
|
—
|
|
|
(1,649
|
)
|
||||||
Sales
|
—
|
|
|
—
|
|
|
13
|
|
|
899
|
|
|
—
|
|
|
912
|
|
||||||
Maturities
|
3
|
|
|
—
|
|
|
6
|
|
|
1,096
|
|
|
—
|
|
|
1,105
|
|
||||||
Sales (purchases) of short-term investments, net
|
(7
|
)
|
|
27
|
|
|
26
|
|
|
(17
|
)
|
|
—
|
|
|
29
|
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
545
|
|
|
—
|
|
|
545
|
|
||||||
Acquisition of MAC
|
—
|
|
|
(91
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(91
|
)
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(173
|
)
|
|
173
|
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
46
|
|
|
—
|
|
|
(46
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
92
|
|
|
—
|
|
|
92
|
|
||||||
Net cash flows provided by (used in) investing activities
|
(215
|
)
|
|
(65
|
)
|
|
78
|
|
|
1,018
|
|
|
127
|
|
|
943
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Issuance of common stock
|
173
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
173
|
|
||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(50
|
)
|
|
50
|
|
|
—
|
|
||||||
Capital contribution from parent
|
—
|
|
|
—
|
|
|
—
|
|
|
4
|
|
|
(4
|
)
|
|
—
|
|
||||||
Dividends paid
|
(69
|
)
|
|
—
|
|
|
(98
|
)
|
|
(236
|
)
|
|
334
|
|
|
(69
|
)
|
||||||
Repurchases of common stock
|
(24
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(24
|
)
|
||||||
Share activity under option and incentive plans
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(724
|
)
|
|
—
|
|
|
(724
|
)
|
||||||
Payment of long-term debt
|
—
|
|
|
(173
|
)
|
|
—
|
|
|
(36
|
)
|
|
—
|
|
|
(209
|
)
|
||||||
Intercompany debt
|
—
|
|
|
173
|
|
|
—
|
|
|
—
|
|
|
(173
|
)
|
|
—
|
|
||||||
Net cash flows provided by (used in) financing activities
|
77
|
|
|
—
|
|
|
(98
|
)
|
|
(1,042
|
)
|
|
207
|
|
|
(856
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
||||||
Increase (decrease) in cash
|
—
|
|
|
(59
|
)
|
|
—
|
|
|
(18
|
)
|
|
—
|
|
|
(77
|
)
|
||||||
Cash at beginning of period
|
—
|
|
|
72
|
|
|
0
|
|
|
143
|
|
|
—
|
|
|
215
|
|
||||||
Cash at end of period
|
$
|
—
|
|
|
$
|
13
|
|
|
$
|
0
|
|
|
$
|
125
|
|
|
$
|
—
|
|
|
$
|
138
|
|
2014
|
|
First
Quarter
|
|
Second
Quarter
|
|
Third
Quarter
|
|
Fourth
Quarter
|
|
Full
Year
|
||||||||||
|
(dollars in millions, except per share data)
|
|||||||||||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net earned premiums
|
$
|
132
|
|
|
$
|
136
|
|
|
$
|
144
|
|
|
$
|
158
|
|
|
$
|
570
|
|
|
Net investment income
|
103
|
|
|
96
|
|
|
102
|
|
|
102
|
|
|
403
|
|
||||||
Net realized investment gains (losses)
|
2
|
|
|
(8
|
)
|
|
(19
|
)
|
|
(35
|
)
|
|
(60
|
)
|
||||||
Net change in fair value of credit derivatives
|
(211
|
)
|
|
103
|
|
|
255
|
|
|
676
|
|
|
823
|
|
||||||
Fair value gains (losses) on CCS
|
(9
|
)
|
|
(6
|
)
|
|
4
|
|
|
0
|
|
|
(11
|
)
|
||||||
Fair value gains (losses) on FG VIEs
|
157
|
|
|
25
|
|
|
50
|
|
|
23
|
|
|
255
|
|
||||||
Other income (loss)
|
21
|
|
|
7
|
|
|
(11
|
)
|
|
(3
|
)
|
|
14
|
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||||||||||
Loss and LAE
|
41
|
|
|
57
|
|
|
(44
|
)
|
|
72
|
|
|
126
|
|
||||||
Amortization of DAC
|
5
|
|
|
3
|
|
|
4
|
|
|
13
|
|
|
25
|
|
||||||
Interest expense
|
20
|
|
|
20
|
|
|
27
|
|
|
25
|
|
|
92
|
|
||||||
Other operating expenses
|
60
|
|
|
55
|
|
|
50
|
|
|
55
|
|
|
220
|
|
||||||
Income (loss) before provision for income taxes
|
69
|
|
|
218
|
|
|
488
|
|
|
756
|
|
|
1,531
|
|
||||||
Provision (benefit) for income taxes
|
27
|
|
|
59
|
|
|
133
|
|
|
224
|
|
|
443
|
|
||||||
Net income (loss)
|
42
|
|
|
159
|
|
|
355
|
|
|
532
|
|
|
1,088
|
|
||||||
Earnings (loss) per share(1):
|
|
|
|
|
|
|
|
|
|
|||||||||||
Basic
|
$
|
0.23
|
|
|
$
|
0.89
|
|
|
$
|
2.10
|
|
|
$
|
3.30
|
|
|
$
|
6.30
|
|
|
Diluted
|
$
|
0.23
|
|
|
$
|
0.89
|
|
|
$
|
2.09
|
|
|
$
|
3.28
|
|
|
$
|
6.26
|
|
|
Dividends per share
|
$
|
0.11
|
|
|
$
|
0.11
|
|
|
$
|
0.11
|
|
|
$
|
0.11
|
|
|
$
|
0.44
|
|
2013
|
|
First
Quarter
|
|
Second
Quarter
|
|
Third
Quarter
|
|
Fourth
Quarter
|
|
Full
Year
|
||||||||||
|
(dollars in millions, except per share data)
|
|||||||||||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net earned premiums
|
$
|
248
|
|
|
$
|
163
|
|
|
$
|
159
|
|
|
$
|
182
|
|
|
$
|
752
|
|
|
Net investment income
|
94
|
|
|
93
|
|
|
99
|
|
|
107
|
|
|
393
|
|
||||||
Net realized investment gains (losses)
|
28
|
|
|
2
|
|
|
(7
|
)
|
|
29
|
|
|
52
|
|
||||||
Net change in fair value of credit derivatives
|
(592
|
)
|
|
74
|
|
|
354
|
|
|
229
|
|
|
65
|
|
||||||
Fair value gains (losses) on CCS
|
(10
|
)
|
|
(3
|
)
|
|
9
|
|
|
14
|
|
|
10
|
|
||||||
Fair value gains (losses) on FG VIEs
|
70
|
|
|
143
|
|
|
40
|
|
|
93
|
|
|
346
|
|
||||||
Other income (loss)
|
(14
|
)
|
|
(7
|
)
|
|
16
|
|
|
(5
|
)
|
|
(10
|
)
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||||||||||
Loss and LAE
|
(48
|
)
|
|
62
|
|
|
55
|
|
|
85
|
|
|
154
|
|
||||||
Amortization of DAC
|
3
|
|
|
1
|
|
|
4
|
|
|
4
|
|
|
12
|
|
||||||
Interest expense
|
21
|
|
|
21
|
|
|
21
|
|
|
19
|
|
|
82
|
|
||||||
Other operating expenses
|
60
|
|
|
52
|
|
|
54
|
|
|
52
|
|
|
218
|
|
||||||
Income (loss) before provision for income taxes
|
(212
|
)
|
|
329
|
|
|
536
|
|
|
489
|
|
|
1,142
|
|
||||||
Provision (benefit) for income taxes
|
(68
|
)
|
|
110
|
|
|
152
|
|
|
140
|
|
|
334
|
|
||||||
Net income (loss)
|
(144
|
)
|
|
219
|
|
|
384
|
|
|
349
|
|
|
808
|
|
||||||
Earnings (loss) per share(1):
|
|
|
|
|
|
|
|
|
|
|||||||||||
Basic
|
$
|
(0.74
|
)
|
|
$
|
1.17
|
|
|
$
|
2.10
|
|
|
$
|
1.91
|
|
|
$
|
4.32
|
|
|
Diluted
|
$
|
(0.74
|
)
|
|
$
|
1.16
|
|
|
$
|
2.09
|
|
|
$
|
1.90
|
|
|
$
|
4.30
|
|
|
Dividends per share
|
$
|
0.10
|
|
|
$
|
0.10
|
|
|
$
|
0.10
|
|
|
$
|
0.10
|
|
|
$
|
0.40
|
|
(1)
|
Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive.
|
ITEM 9.
|
CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE
|
ITEM 9A.
|
CONTROLS AND PROCEDURES
|
ITEM 9B.
|
OTHER INFORMATION
|
ITEM 10.
|
DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
|
ITEM 11.
|
EXECUTIVE COMPENSATION
|
ITEM 12.
|
SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
|
ITEM 13.
|
CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE
|
ITEM 14.
|
PRINCIPAL ACCOUNTING FEES AND SERVICES
|
ITEM 15.
|
EXHIBITS, FINANCIAL STATEMENT SCHEDULES
|
(a)
|
Financial Statements, Financial Statement Schedules and Exhibits
|
1.
|
Financial Statements
|
|
|
Exhibit
Number
|
Description of Document
|
3.1
|
Certificate of Incorporation and Memorandum of Association of the Registrant, as amended by Certificate of Incorporation on Change of Name dated March 30, 2004 and Certificate of Deposit of Memorandum of Increase of Capital dated April 21, 2004 (Incorporated by reference to Exhibit 3.1 to Form 10-K for the year ended December 31, 2009)
|
3.2
|
First Amended and Restated Bye-laws of the Registrant, as amended (Incorporated by reference to Exhibit 3.1 to Form 8-K filed on May 10, 2011)
|
4.1
|
Specimen Common Share Certificate (Incorporated by reference to Exhibit 4.1 to Form S-1 (#333-111491))
|
4.2
|
Certificate of Incorporation and Memorandum of Association of the Registrant, as amended by Certificate of Incorporation on Change of Name dated March 30, 2004 and Certificate of Deposit of Memorandum of Increase of Capital dated April 21, 2004 (See Exhibit 3.1)
|
4.3
|
Bye-laws of the Registrant (See Exhibit 3.2)
|
4.4
|
Indenture, dated as of May 1, 2004, among the Company, Assured Guaranty U.S. Holdings Inc. and The Bank of New York, as trustee (Incorporated by reference to Exhibit 4.1 to Form 10-Q for the quarter ended March 31, 2004)
|
4.5
|
Indenture, dated as of December 1, 2006, entered into among Assured Guaranty Ltd., Assured Guaranty U.S. Holdings Inc. and The Bank of New York, as trustee (Incorporated by reference to Exhibit 4.1 to Form 8-K filed on December 20, 2006)
|
4.6
|
First Supplemental Subordinated Indenture, dated as of December 20, 2006, entered into among Assured Guaranty Ltd., Assured Guaranty U.S. Holdings Inc. and The Bank of New York, as trustee (Incorporated by reference to Exhibit 4.2 to Form 8-K filed on December 20, 2006)
|
4.7
|
Replacement Capital Covenant, dated as of December 20, 2006, between Assured Guaranty U.S. Holdings Inc. and Assured Guaranty Ltd., in favor of and for the benefit of each Covered Debtholder (as defined therein) (Incorporated by reference to Exhibit 4.1 to Form 8-K filed on December 20, 2006)
|
4.8
|
Amended and Restated Trust Indenture dated as of February 24, 1999 between Financial Security Assurance Holdings Ltd. and the Senior Debt Trustee (Incorporated by reference to Exhibit 4.1 to Financial Security Assurance Holdings Ltd.'s Registration Statement to Form S-3 (#333-74165))
|
|
|
Exhibit
Number
|
Description of Document
|
4.9
|
Form of Assured Guaranty Municipal Holdings Inc., formerly known as Financial Security Assurance Holdings Ltd. 6
7
/
8
% Quarterly Interest Bond Securities due 2101 (Incorporated by reference to Exhibit 4.1 to Form 10-Q for the quarter ended March 31, 2010)
|
4.10
|
Form of Assured Guaranty Municipal Holdings Inc., formerly known as Financial Security Assurance Holdings Ltd. 6.25% Notes due November 1, 2102 (Incorporated by reference to Exhibit 4.2 to Form 10-Q for the quarter ended March 31, 2010)
|
4.11
|
Form of Assured Guaranty Municipal Holdings Inc., formerly known as Financial Security Assurance Holdings Ltd. 5.60% Notes due July 15, 2103 (Incorporated by reference to Exhibit 4.3 to Form 10-Q for the quarter ended March 31, 2010)
|
4.12
|
Supplemental indenture, dated as of August 26, 2009, between Assured Guaranty Ltd., Financial Security Assurance Holdings Ltd. and U.S. Bank National Association, as trustee (Incorporated by reference to Exhibit 99.1 to Form 8-K filed on September 1, 2009)
|
4.13
|
Indenture, dated as of November 22, 2006, between Financial Security Assurance Holdings Ltd. and The Bank of New York, as Trustee (Incorporated by reference to Exhibit 4.1 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 28, 2006)
|
4.14
|
Form of Financial Security Assurance Holdings Ltd. Junior Subordinated Debenture, Series 2006-1 (Incorporated by reference to Exhibit 10.3 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 25, 2002)
|
4.15
|
Supplemental indenture, dated as of August 26, 2009, between Assured Guaranty Ltd., Financial Security Assurance Holdings Ltd. and The Bank of New York Mellon, as trustee (Incorporated by reference to Exhibit 99.2 to Form 8-K filed on September 1, 2009)
|
4.16
|
First Supplemental Indenture, to be dated as of June 24, 2009, between Assured Guaranty US Holdings Inc., Assured Guaranty Ltd. and The Bank of New York Mellon, as trustee (including the form of 8.50% Senior Note due 2014 of Assured Guaranty US Holdings Inc.) (Incorporated by reference to Exhibit 4.1 to Form 8-K filed on June 23, 2009)
|
4.17
|
Officers’ Certificate, dated June 20, 2014, related to 5.000% Senior Notes due 2024, containing form of 5.000% Senior Notes due 2024 as Exhibit A thereto (Incorporated by reference to Exhibit 4.1 to Form 8-K filed on June 20, 2014)
|
10.1
|
Guaranty by Assured Guaranty Re Ltd. in favor of Assured Guaranty Re Overseas Ltd., amended and restated as of May 1, 2014 (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended June 30, 2014)
|
10.2
|
Put Agreement between Assured Guaranty Corp. and Woodbourne Capital Trust [I][II][III][IV] (Incorporated by reference to Exhibit 10.6 to Form 10-Q for the quarter ended March 31, 2005)
|
10.3
|
Custodial Trust Expense Reimbursement Agreement (Incorporated by reference to Exhibit 10.7 to Form 10-Q for the quarter ended March 31, 2005)
|
10.4
|
Assured Guaranty Corp. Articles Supplementary Classifying and Designating Series of Preferred Stock as Series A Perpetual Preferred Stock, Series B Perpetual Preferred Stock, Series C Perpetual Preferred Stock, Series D Perpetual Preferred Stock (Incorporated by reference to Exhibit 10.8 to Form 10-Q for the quarter ended March 31, 2005)
|
10.5
|
Purchase Agreement among Dexia Holdings Inc., Dexia Credit Local S.A. and the Company dated as of November 14, 2008 (Incorporated by reference to Exhibit 99.1 to Form 8-K filed on November 17, 2008)
|
10.6
|
Amended and Restated Revolving Credit Agreement dated as of June 30, 2009 among FSA Asset Management LLC, Dexia Crédit Local S.A. and Dexia Bank Belgium S.A. (Incorporated by reference to Exhibit 10.1 to Form 8-K filed on July 8, 2009)
|
10.7
|
First Amendment to Amended and Restated Revolving Credit Agreement dated as of September 20, 2010 among FSA Asset Management LLC, Dexia Crédit Local S.A. and Dexia Bank Belgium S.A. (Incorporated by reference to Exhibit 10.11 to Form 10-K for the year ended December 31, 2013)
|
10.8
|
Second Amendment to Amended and Restated Revolving Credit Agreement dated as of May 16, 2012 among FSA Asset Management LLC, Dexia Crédit Local S.A. and Dexia Bank Belgium S.A. (Incorporated by reference to Exhibit 10.12 to Form 10-K for the year ended December 31, 2013)
|
10.9
|
Assignment Pursuant to the Amended and Restated Revolving Credit Agreement, as amended, dated as of December 12, 2013 between Belfius Bank SA/NV and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.13 to Form 10-K for the year ended December 31, 2013)
|
10.10
|
Master Repurchase Agreement (September 1996 Version) dated as of June 30, 2009 between Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.2.1 to Form 8-K filed on July 8, 2009)
|
|
|
Exhibit
Number
|
Description of Document
|
10.11
|
Annex I-Committed Term Repurchase Agreement Annex dated as of June 30, 2009 between Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.2.2 to Form 8-K filed on July 8, 2009)
|
10.12
|
ISDA Master Agreement (Multicurrency-Cross Border) dated as of June 30, 2009 among Dexia SA, Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.3.1 to Form 8-K filed on July 8, 2009)
|
10.13
|
Schedule to the 1992 Master Agreement, Guaranteed Put Contract, dated as of June 30, 2009 among Dexia Crédit Local S.A., Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.3.2 to Form 8-K filed on July 8, 2009)
|
10.14
|
Put Option Confirmation, Guaranteed Put Contract, dated June 30, 2009 to FSA Asset Management LLC from Dexia SA and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.3.3 to Form 8-K filed on July 8, 2009)
|
10.15
|
ISDA Credit Support Annex (New York Law) to the Schedule to the ISDA Master Agreement, Guaranteed Put Contract, dated as of June 30, 2009 between Dexia Crédit Local S.A. and Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.3.4 to Form 8-K filed on July 8, 2009)
|
10.16
|
ISDA Master Agreement (Multicurrency-Cross Border) dated as of June 30, 2009 among Dexia SA, Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.4.1 to Form 8-K filed on July 8, 2009)
|
10.17
|
Schedule to the 1992 Master Agreement, Non-Guaranteed Put Contract, dated as of June 30, 2009 among Dexia Crédit Local S.A., Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.4.2 to Form 8-K filed on July 8, 2009)
|
10.18
|
Put Option Confirmation, Non-Guaranteed Put Contract, dated June 30, 2009 to FSA Asset Management LLC from Dexia SA and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.4.3 to Form 8-K filed on July 8, 2009)
|
10.19
|
ISDA Credit Support Annex (New York Law) to the Schedule to the ISDA Master Agreement, Non-Guaranteed Put Contract, dated as of June 30, 2009 between Dexia Crédit Local S.A. and Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.4.4 to Form 8-K filed on July 8, 2009)
|
10.20
|
First Demand Guarantee Relating to the “Financial Products” Portfolio of FSA Asset Management LLC issued by the Belgian State and the French State and executed as of June 30, 2009 (Incorporated by reference to Exhibit 10.5 to Form 8-K filed on July 8, 2009)
|
10.21
|
Guaranty, dated as of June 30, 2009, made jointly and severally by Dexia SA and Dexia Crédit Local S.A., in favor of Financial Security Assurance Inc. (Incorporated by reference to Exhibit 10.6 to Form 8-K filed on July 8, 2009)
|
10.22
|
Indemnification Agreement (GIC Business) dated as of June 30, 2009 by and among Financial Security Assurance Inc., Dexia Crédit Local S.A. and Dexia SA (Incorporated by reference to Exhibit 10.7 to Form 8-K filed on July 8, 2009)
|
10.23
|
Pledge and Administration Agreement, dated as of June 30, 2009, among Dexia SA, Dexia Crédit Local S.A., Dexia Bank Belgium SA, Dexia FP Holdings Inc., Financial Security Assurance Inc., FSA Asset Management LLC, FSA Portfolio Asset Limited, FSA Capital Markets Services LLC, FSA Capital Markets Services (Caymans) Ltd., FSA Capital Management Services LLC and The Bank of New York Mellon Trust Company, National Association (Incorporated by reference to Exhibit 10.8 to Form 8-K filed on July 8, 2009)
|
10.24
|
Separation Agreement, dated as of July 1, 2009, among Dexia Crédit Local S.A., Financial Security Assurance Inc., Financial Security Assurance International, Ltd., FSA Global Funding Limited and Premier International Funding Co. (Incorporated by reference to Exhibit 10.9 to Form 8-K filed on July 8, 2009)
|
10.25
|
Funding Guaranty, dated as of July 1, 2009, made by Dexia Crédit Local S.A. in favor of Financial Security Assurance Inc. and Financial Security Assurance International, Ltd. (Incorporated by reference to Exhibit 10.10 to Form 8-K filed on July 8, 2009)
|
10.26
|
Reimbursement Guaranty, dated as of July 1, 2009, made by Dexia Crédit Local S.A. in favor of Financial Security Assurance Inc. and Financial Security Assurance International, Ltd. (Incorporated by reference to Exhibit 10.11 to Form 8-K filed on July 8, 2009)
|
10.27
|
Amended and Restated Strip Coverage Liquidity and Security Agreement, dated as of July 1, 2009, between Assured Guaranty Municipal Corp. and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.31 to Form 10-K for the year ended December 31, 2013)
|
|
|
Exhibit
Number
|
Description of Document
|
10.28
|
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. (Incorporated by reference to Exhibit 10.6 to Form 10-Q for the quarter ended June 30, 2014)
|
10.29
|
Indemnification Agreement (FSA Global Business), dated as of July 1, 2009, by and between Financial Security Assurance Inc., Assured Guaranty Ltd. and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.13 to Form 8-K filed on July 8, 2009)
|
10.30
|
Pledge and Administration Annex Amendment Agreement dated as of July 1, 2009 among Dexia SA, Dexia Crédit Local S.A., Dexia Bank Belgium SA, Dexia FP Holdings Inc., Financial Security Assurance Inc., FSA Asset Management LLC, FSA Portfolio Asset Limited, FSA Capital Markets Services LLC, FSA Capital Markets Services (Caymans) Ltd., FSA Capital Management Services LLC and The Bank of New York Mellon Trust Company, National Association (Incorporated by reference to Exhibit 10.14 to Form 8-K filed on July 8, 2009)
|
10.31
|
Put Confirmation Annex Amendment Agreement dated as of July 1, 2009 among Dexia SA and Dexia Crédit Local S.A. and FSA Asset Management LLC and Financial Security Assurance Inc. (Incorporated by reference to Exhibit 10.15 to Form 8-K filed on July 8, 2009)
|
10.32
|
Master Repurchase Agreement between FSA Capital Management Services LLC and FSA Capital Markets Services LLC (Incorporated by reference to Exhibit 10.20 to Form 10-Q for the quarter ended June 30, 2009)
|
10.33
|
Confirmation to Master Repurchase Agreement (Incorporated by reference to Exhibit 10.21 to Form 10-Q for the quarter ended June 30, 2009)
|
10.34
|
Master Repurchase Agreement Annex I (Incorporated by reference to Exhibit 10.22 to Form 10-Q for the quarter ended June 30, 2009)
|
10.35
|
Pledge and Intercreditor Agreement, among Dexia Crédit Local, Dexia Bank Belgium S.A., Financial Security Assurance Inc. and FSA Asset Management LLC, dated November 13, 2008 (Incorporated by reference to Exhibit 10.3 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended September 30, 2008)
|
10.36
|
Amended and Restated Pledge and Intercreditor Agreement, dated as of February 20, 2009, between Dexia Crédit Local, Dexia Bank Belgium S.A., Financial Security Assurance Inc., FSA Asset Management LLC, FSA Capital Markets Services LLC and FSA Capital Management Services LLC (Incorporated by reference to Exhibit 10.19 to Financial Security Assurance Holdings Ltd.'s Form 10-K for the year ended December 31, 2008)
|
10.37
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust I (Incorporated by reference to Exhibit 99.5 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.38
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust II (Incorporated by reference to Exhibit 99.6 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.39
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust III (Incorporated by reference to Exhibit 99.7 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.40
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust IV (Incorporated by reference to Exhibit 99.8 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.41
|
Contribution Agreement, dated as of November 22, 2006, between Dexia S.A. and Financial Security Assurance Holdings Ltd. (Incorporated by reference to Exhibit 10.4 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 28, 2006)
|
10.42
|
Replacement Capital Covenant, dated as of November 22, 2006, by Financial Security Assurance Holdings Ltd. (Incorporated by reference to Exhibit 10.5 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 28, 2006)
|
10.43
|
Agreement and Amendment between Dexia Holdings Inc., Dexia Credit Local S.A. and the Company dated as of June 9, 2009 (Incorporated by reference to Exhibit 10.1 to Form 8-K filed on June 12, 2009)
|
10.44
|
Stock Purchase Agreement, dated as of December 22, 2014, between Assured Guaranty Corp. and Radian Guaranty Inc.
|
10.45
|
Summary of Annual Compensation*
|
|
|
Exhibit
Number
|
Description of Document
|
10.46
|
Director Compensation Summary (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended March 31, 2014)*
|
10.47
|
Assured Guaranty Ltd. 2004 Long-Term Incentive Plan, as amended and restated as of May 7, 2009 and as amended through the Third Amendment (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended March 31, 2014)*
|
10.48
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.34 to Form 10-K for the year ended December 31, 2005)*
|
10.49
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.35 to Form 10-K for the year ended December 31, 2005)*
|
10.50
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.66 to Form 10-K for the year ended December 31, 2007)*
|
10.51
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.67 to Form 10-K for the year ended December 31, 2007)*
|
10.52
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.71 to Form 10-K for the year ended December 31, 2008)*
|
10.53
|
Non-Qualified Stock Option Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.19 to Form 10-Q for the quarter ended June 30, 2009)*
|
10.54
|
2010 Form of Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended March 31, 2010)*
|
10.55
|
2010 Form of Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan for use without employment agreement (Incorporated by reference to Exhibit 10.4 to Form 10-Q for the quarter ended March 31, 2010)*
|
10.56
|
2012 Form of Executive Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.7 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.57
|
2013 Form of Executive Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.58
|
Restricted Stock Unit Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long Term Incentive Plan (Incorporated by reference to Exhibit 10.37 to Form 10-K for the year ended December 31, 2005)*
|
10.59
|
Restricted Stock Unit Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended June 30, 2007)*
|
10.60
|
Restricted Stock Unit Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended June 30, 2008)*
|
10.61
|
Form of amendment to Restricted Stock Unit Awards for Outside Directors (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended June 30, 2008)*
|
10.62
|
Restricted Stock Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended June 30, 2008)*
|
10.63
|
2014 Restricted Stock Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.5 to Form 10-Q for the quarter ended June 30, 2014)*
|
10.64
|
Form of Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.6 to Form 10-Q for the quarter ended March 31, 2011)*
|
10.65
|
Form of Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used without employment agreement (Incorporated by reference to Exhibit 10.7 to the Form 10-Q for the quarter ended March 31, 2011)*
|
10.66
|
2012 Form of Executive Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.8 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.67
|
2013 Form of Executive Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended March 31, 2013)*
|
|
|
Exhibit
Number
|
Description of Document
|
10.68
|
2014 Form of Executive Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended June 30, 2014)*
|
10.69
|
2012 Form of Executive Performance-Based Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.9 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.70
|
2013 Form of Executive Performance-Based Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.71
|
2014 Form of Executive Performance-Based Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended June 30, 2014)*
|
10.72
|
First Amendment to the Restricted Stock Unit Agreement for Outside Directors (Incorporated by reference to Exhibit 10.106 to Form 10-K for the year ended December 31, 2012)*
|
10.73
|
Assured Guaranty Ltd. Employee Stock Purchase Plan, as amended through the second amendment (Incorporated by reference to Exhibit 10.5 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.74
|
Assured Guaranty Ltd. Performance Retention Plan (As Amended and Restated as of February 14, 2008 for Awards Granted during 2007) (Incorporated by reference to Exhibit 10.50 to Form 10-K for the year ended December 31, 2007)*
|
10.75
|
Assured Guaranty Ltd. Performance Retention Plan (As Amended and Restated as of February 14, 2008) (Incorporated by reference to Exhibit 10.58 to Form 10-K for the year ended December 31, 2007)*
|
10.76
|
Terms of Performance Retention Award, Four Year Installment Vesting Granted on February 9, 2011 for participants subject to $1 million limit (Incorporated by reference to Exhibit 10.5 to Form 10-Q for the quarter ended March 31, 2011)*
|
10.77
|
Terms of Performance Retention Award Four Year Installment Vesting Granted on February 9, 2012 for participants Subject to $1 million Limit (Incorporated by reference to Exhibit 10.10 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.78
|
Terms of Performance Retention Award Four Year Installment Vesting Granted on February 7, 2013 for Participants Subject to $1 million Limit (Incorporated by reference to Exhibit 10.4 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.79
|
Terms of Performance Retention Award Four Year Installment Vesting Granted on February 5, 2014 for Participants Subject to $1 million Limit (Incorporated by reference to Exhibit 10.4 to Form 10-Q for the quarter ended June 30, 2014)*
|
10.80
|
Assured Guaranty Ltd. Executive Severance Plan (Incorporated by reference to Exhibit 10.5 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.81
|
Form of Acknowledgement Letter for Participants in Assured Guaranty Ltd. Executive Severance Plan (Incorporated by reference to Exhibit 10.11 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.82
|
Assured Guaranty Ltd. Perquisite Policy (Incorporated by reference to Exhibit 10.6 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.83
|
Form of Indemnification Agreement between the Company and its executive officers and directors (Incorporated by reference to Exhibit 10.42 to Form 10-K for the year ended December 31, 2005)*
|
10.84
|
Assured Guaranty Ltd. Executive Officer Recoupment Policy (Incorporated by reference to Exhibit 10.69 to Form 10-K for the year ended December 31, 2008)*
|
10.85
|
Form of Acknowledgement of Assured Guaranty Ltd. Executive Officer Recoupment Policy (Incorporated by reference to Exhibit 10.70 to Form 10-K for the year ended December 31, 2008)*
|
10.86
|
Assured Guaranty Ltd. Supplemental Employee Retirement Plan, as amended and restated effective January 1, 2009 and as amended by the First, Second, Third, Fourth and Fifth Amendments (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended September 30, 2012)*
|
10.87
|
Assured Guaranty Corp. Supplemental Executive Retirement Plan as amended through the Third Amendment thereto (Incorporated by reference to Exhibit 4.5 to Form S-8 (#333-178625))*
|
10.88
|
Financial Security Assurance Holdings Ltd. 1989 Supplemental Executive Retirement Plan (amended and restated as of December 17, 2004) (Incorporated by reference to Exhibit 10.4 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on December 17, 2004)*
|
|
|
Exhibit
Number
|
Description of Document
|
10.89
|
Amendment to the Financial Security Assurance Holdings Ltd. 1989 Supplemental Employee Retirement Plan (Incorporated by reference to Exhibit 10.29 to Form 10-Q for the quarter ended June 30, 2009)*
|
10.90
|
Financial Security Assurance Holdings Ltd. 2004 Supplemental Executive Retirement Plan, as amended on February 14, 2008 (Incorporated by reference to Exhibit 10.3 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on February 15, 2008)*
|
10.91
|
Separation Agreement, dated February 4, 2015, between Robert B. Mills and the Registrant*
|
12.1
|
Computation of Ratio of Earnings to Fixed Charges
|
21.1
|
Subsidiaries of the Registrant
|
23.1
|
Accountants Consent
|
31.1
|
Certification of CEO Pursuant to Exchange Act Rules 13A-14 and 15D-14, as Adopted Pursuant to Section 302 of the Sarbanes‑Oxley Act of 2002
|
31.2
|
Certification of CFO Pursuant to Exchange Act Rules 13A-14 and 15D-14, as Adopted Pursuant to Section 302 of the Sarbanes‑Oxley Act of 2002
|
32.1
|
Certification of CEO Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes‑ Oxley Act of 2002
|
32.2
|
Certification of CFO Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes‑ Oxley Act of 2002
|
101.1
|
The following financial information from Registrant's Annual Report on Form 10-K for the year ended December 31, 2014 formatted in XBRL (eXtensible Business Reporting Language) interactive data files pursuant to Rule 405 of Regulation S-T: (i) Consolidated Balance Sheets at December 31, 2014 and 2013; (ii) Consolidated Statements of Operations for the years ended December 31, 2014, 2013 and 2012; (iii) Consolidated Statements of Comprehensive Income for the years ended December 31, 2014, 2013 and 2012; (iv) Consolidated Statements of Shareholders' Equity for the years ended December 31, 2014, 2013 and 2012; (v) Consolidated Statements of Cash Flows for the years ended December 31, 2014, 2013 and 2012; and (vi) Notes to Consolidated Financial Statements.
|
*
|
Management contract or compensatory plan
|
|
Assured Guaranty Ltd.
|
|
|
|
|
|
|
|
|
By:
|
/s/ Dominic J. Frederico
Name: Dominic J. Frederico
Title:
President and Chief Executive Officer
|
|
|
Name
|
|
|
|
|
Position
|
|
|
|
|
Date
|
|
|
|
|
|
||||||||||||
/s/ Robin Monro‑Davies
Robin Monro‑Davies
|
Chairman of the Board; Director
|
February 26, 2015
|
||||||||||||
|
|
|
||||||||||||
/s/ Dominic J. Frederico
Dominic J. Frederico
|
President and Chief Executive Officer; Director
|
February 26, 2015
|
||||||||||||
|
|
|
||||||||||||
/s/ Robert A. Bailenson
Robert A. Bailenson
|
Chief Financial Officer (Principal Financial and Accounting Officer and Duly Authorized Officer)
|
February 26, 2015
|
||||||||||||
|
|
|
||||||||||||
/s/ Francisco L. Borges
Francisco L. Borges
|
Director
|
February 26, 2015
|
||||||||||||
|
|
|
||||||||||||
/s/ G. Lawrence Buhl
G. Lawrence Buhl
|
Director
|
February 26, 2015
|
||||||||||||
|
|
|
||||||||||||
/s/ Stephen A. Cozen
Stephen A. Cozen
|
Director
|
February 26, 2015
|
||||||||||||
|
|
|
||||||||||||
/s/ Bonnie L. Howard
Bonnie L. Howard
|
Director
|
February 26, 2015
|
||||||||||||
|
|
|
||||||||||||
/s/ Patrick W. Kenny
Patrick W. Kenny
|
Director
|
February 26, 2015
|
||||||||||||
|
|
|
||||||||||||
/s/ Simon W. Leathes
Simon W. Leathes
|
Director
|
February 26, 2015
|
||||||||||||
|
|
|
||||||||||||
/s/ Michael T. O'Kane
Michael T. O'Kane
|
Director
|
February 26, 2015
|
||||||||||||
|
|
|
||||||||||||
/s/ Yukiko Omura
Yukiko Omura
|
Director
|
February 26, 2015
|
|
Page
|
|
ARTICLE I. DEFINITIONS
|
1
|
|
SECTION 1.1. Definitions
|
1
|
|
ARTICLE II. PURCHASE OF THE SHARES
|
10
|
|
SECTION 2.1. Purchase and Sale of Shares
|
10
|
|
SECTION 2.2. Closing
|
10
|
|
SECTION 2.3. Closing Deliveries
|
10
|
|
ARTICLE III. REPRESENTATIONS AND WARRANTIES OF SELLER
|
12
|
|
SECTION 3.1. Organization, Standing and Corporate Power
|
12
|
|
SECTION 3.2. Capital Structure
|
12
|
|
SECTION 3.3. Subsidiaries
|
13
|
|
SECTION 3.4. Authority
|
13
|
|
SECTION 3.5. Noncontravention; Consents
|
13
|
|
SECTION 3.6. Financial Statements
|
14
|
|
SECTION 3.7. No Undisclosed Liabilities
|
15
|
|
SECTION 3.8. Absence of Certain Changes or Events
|
15
|
|
SECTION 3.9. Employee Benefit Plans; Employees
|
15
|
|
SECTION 3.10. Taxes
|
17
|
|
SECTION 3.11. Compliance with Applicable Laws
|
19
|
|
SECTION 3.12. Litigation
|
21
|
|
SECTION 3.13. Contracts
|
21
|
|
SECTION 3.14. Insurance Regulatory Matters
|
23
|
|
SECTION 3.15. Reinsurance Ceded
|
24
|
|
SECTION 3.16. Actuarial Reports
|
25
|
|
SECTION 3.17. New Business
|
25
|
|
SECTION 3.18. Intellectual Property
|
25
|
|
SECTION 3.19. Real Property; Environmental Matters
|
26
|
|
SECTION 3.20. Insurance
|
26
|
|
SECTION 3.21. Brokers
|
26
|
|
ARTICLE IV. REPRESENTATIONS AND WARRANTIES OF BUYER
|
26
|
|
SECTION 4.1. Organization and Standing
|
26
|
|
SECTION 4.2. Authority
|
26
|
|
SECTION 4.3. Noncontravention; Consents
|
27
|
|
SECTION 4.4. Compliance with Applicable Laws
|
27
|
|
SECTION 4.5. Purchase Not for Distribution
|
27
|
|
SECTION 4.6. Litigation
|
28
|
|
SECTION 4.7. Financial Ability
|
28
|
|
SECTION 4.8. Brokers
|
28
|
|
ARTICLE V. COVENANTS
|
28
|
|
SECTION 5.1. Conduct of Business of the Company
|
28
|
|
SECTION 5.2. Access to Information; Confidentiality
|
31
|
|
SECTION 5.3. Commercially Reasonable Efforts
|
31
|
|
SECTION 5.4. Consents, Approvals and Filings
|
31
|
|
SECTION 5.5. Public Announcements
|
34
|
|
SECTION 5.6. Related Party Agreements
|
34
|
|
SECTION 5.7. Use of Names
|
34
|
|
SECTION 5.8. Further Assurances
|
35
|
|
SECTION 5.9. Access to Books and Records
|
35
|
|
SECTION 5.10. D&O Liabilities
|
36
|
|
SECTION 5.11. Non-Solicitation of Employees
|
36
|
|
SECTION 5.12. Employee Matters
|
36
|
|
SECTION 5.13. Transition Services Agreement
|
38
|
|
SECTION 5.14. Financial Statements
|
39
|
|
SECTION 5.15. Notice of Developments
|
40
|
|
SECTION 5.16. No Solicitations
|
40
|
|
ARTICLE VI. CONDITIONS PRECEDENT
|
41
|
|
SECTION 6.1. Conditions to Each Party’s Obligations
|
41
|
|
SECTION 6.2. Conditions to Obligations of Buyer
|
41
|
|
SECTION 6.3. Conditions to Obligations of Seller
|
42
|
|
ARTICLE VII. INDEMNIFICATION
|
42
|
|
SECTION 7.1. Survival of Representations, Warranties and Covenants
|
42
|
|
SECTION 7.2. Indemnification
|
43
|
|
SECTION 7.3. Certain Limitations
|
44
|
|
SECTION 7.4. Definitions
|
45
|
|
SECTION 7.5. Procedures for Third Party Claims
|
46
|
|
SECTION 7.6. Direct Claims
|
47
|
|
SECTION 7.7. Sole Remedy
|
47
|
|
SECTION 7.8. Certain Other Matters
|
47
|
|
SECTION 7.9. No Contribution
|
48
|
|
SECTION 7.10. Effect of Investigation
|
48
|
|
ARTICLE VIII. TAX MATTERS
|
48
|
|
SECTION 8.1. Indemnification for Taxes
|
48
|
|
SECTION 8.2. Filing of Tax Returns
|
50
|
|
SECTION 8.3. Cooperation and Exchange of Information
|
52
|
|
SECTION 8.4. Conveyance Taxes
|
53
|
|
SECTION 8.5. Amended Returns; Tax Proceedings
|
53
|
|
SECTION 8.6. Refunds
|
55
|
|
SECTION 8.7. Tax Covenants
|
55
|
|
SECTION 8.8. Certain Post-Closing Taxes
|
56
|
|
SECTION 8.9. Miscellaneous
|
58
|
|
ARTICLE IX. TERMINATION PRIOR TO CLOSING
|
59
|
|
SECTION 9.1. Termination of Agreement
|
59
|
|
SECTION 9.2. Effect of Termination
|
61
|
|
ARTICLE X. GENERAL PROVISIONS
|
61
|
|
SECTION 10.1. Fees and Expenses
|
61
|
|
SECTION 10.2. Notices
|
61
|
|
SECTION 10.3. Interpretation
|
62
|
|
SECTION 10.4. Entire Agreement; Third Party Beneficiaries
|
63
|
|
SECTION 10.5. Governing Law
|
63
|
|
SECTION 10.6. Assignment
|
63
|
|
SECTION 10.7. Jurisdiction; Enforcement
|
63
|
|
SECTION 10.8. Severability; Amendment; Modification; Waiver
|
64
|
|
SECTION 10.9. Certain Limitations
|
65
|
|
SECTION 10.10. No Offset
|
65
|
|
SECTION 10.11. Counterparts
|
65
|
|
Term
|
Section
|
Acquisition Transaction
|
5.16(a)
|
Actuarial Reports
|
3.16
|
Adjusted DTA
|
8.8(a)
|
AE Global
|
1.1 (Definition of “Separate Sale Agreements”)
|
Agreement
|
Preamble
|
Alternate Post-Closing Merger
|
5.4(d)
|
Alternative Structure
|
8.7(b)
|
Attribute Supporting Documentation
|
8.3(b)
|
Burdensome Condition
|
5.4(a)
|
Buyer
|
Preamble
|
Buyer Fundamental Representations
|
7.1(a)
|
Term
|
Section
|
Buyer Indemnified Persons
|
7.2(a)
|
Buyer Transferred Employee
|
5.12(a)
|
Ceded Reinsurance Contracts
|
3.15(a)
|
Closing
|
2.2
|
Closing Date
|
2.2
|
Common Stock
|
3.2(a)
|
Company
|
Recitals
|
Company Intellectual Property Rights
|
3.18(a)
|
Contracts
|
3.13
|
Conveyance Taxes
|
8.4
|
D&O Indemnified Person
|
5.10
|
Deductible
|
7.3(a)
|
De Minimis Amount
|
7.3(a)
|
Disputed Item
|
8.8(a)
|
DTA Supporting Documentation
|
8.8(a)
|
EFS-AGIC Master Business Trust
|
1.1 (Definition of “Separate Sale Agreements”)
|
EFSG
|
Recitals
|
Estimated DTA
|
8.8(a)
|
Excluded Tax Proceeding
|
8.5(c)
|
Indemnitee
|
7.4(i)
|
Indemnitor
|
7.4(ii)
|
Indemnifiable Losses
|
7.4(iii)
|
Indemnity Payment
|
7.4(iv)
|
Liens
|
3.2(a)
|
New York Court
|
10.7(a)
|
OFAC
|
3.11(g)
|
Organizational Documents
|
3.1(b)
|
Outside Date
|
9.1(b)
|
Permits
|
3.11(b)
|
Preferred Stock
|
3.2(a)
|
Post-Closing Merger
|
Recitals
|
Required Audited Financial Statements
|
5.14(b)
|
Required Financial Statements
|
5.14(b)
|
Required Unaudited Financial Statements
|
5.14(b)
|
Section 1.1502-36 Election
|
8.7(a)
|
Seller
|
Preamble
|
Seller Fundamental Representations
|
7.1(a)
|
Seller Indemnified Persons
|
7.2(b)
|
Seller Trademarks
|
5.7(a)
|
Seller Transferred Employee
|
5.12(a)
|
Shares
|
Recitals
|
Term
|
Section
|
Statutory Statements
|
3.6(a)
|
Straddle Tax Proceeding
|
8.5(b)
|
Tax Attribute Schedule
|
8.3(b)
|
Third Party Claim
|
7.4(v)
|
Trademark License Agreement
|
5.7(a)
|
Transaction Consultant
|
8.8(a)
|
Transition Services Agreement
|
5.13
|
Transferred Companies
|
Recitals
|
Transferred Subsidiary
|
Recitals
|
Trust Sale Agreement
|
1.1 (Definition of “Separate Sale Agreements”)
|
|
Page
|
|
ARTICLE I. DEFINITIONS
|
1
|
|
SECTION 1.1. Definitions
|
1
|
|
ARTICLE II. PURCHASE OF THE SHARES
|
5
|
|
SECTION 2.1. Purchase and Sale of Shares
|
5
|
|
SECTION 2.2. Closing
|
5
|
|
SECTION 2.3. Closing Deliveries
|
5
|
|
ARTICLE III. REPRESENTATIONS AND WARRANTIES OF SELLER
|
6
|
|
SECTION 3.1. Organization and Standing
|
6
|
|
SECTION 3.2. Authority
|
6
|
|
SECTION 3.3. Consents; No Conflicts
|
6
|
|
SECTION 3.4. Units
|
7
|
|
SECTION 3.5. No Subsidiaries
|
7
|
|
SECTION 3.6. Financial Statements
|
7
|
|
SECTION 3.7. Taxes
|
7
|
|
SECTION 3.8. Litigation
|
7
|
|
SECTION 3.9. Insured Exposures
|
7
|
|
SECTION 3.10. Employees
|
8
|
|
SECTION 3.11. Limitations of Representations and Warranties
|
8
|
|
ARTICLE IV. REPRESENTATIONS AND WARRANTIES OF BUYER
|
8
|
|
SECTION 4.1. Organization and Standing
|
8
|
|
SECTION 4.2. Authority
|
8
|
|
SECTION 4.3. Consents; No Conflicts
|
8
|
|
SECTION 4.4. Purchase Not for Distribution
|
9
|
|
SECTION 4.5. Limitations of Representations and Warranties
|
9
|
|
ARTICLE V. COVENANTS
|
9
|
|
SECTION 5.1. Commercially Reasonable Efforts; Other Action
|
9
|
|
SECTION 5.2. Access to Books and Records
|
10
|
|
SECTION 5.3. Public Announcement
|
10
|
|
SECTION 5.4. Operating Agreement Provisions; Liabilities
|
10
|
|
ARTICLE VI. CONDITIONS PRECEDENT
|
11
|
|
SECTION 6.1. Conditions to Each Party’s Obligations
|
11
|
|
SECTION 6.2. Conditions to Obligations of Buyer
|
11
|
|
SECTION 6.3. Conditions to Obligations of Seller
|
11
|
|
ARTICLE VII. TERMINATION
|
12
|
|
SECTION 7.1. Termination of Agreement
|
12
|
|
SECTION 7.2. Effect of Termination
|
12
|
|
ARTICLE VIII. INDEMNIFICATION
|
13
|
|
SECTION 8.1. Survival of Representations, Warranties and Covenants
|
13
|
|
SECTION 8.2. Indemnification
|
13
|
|
SECTION 8.3. Certain Limitations
|
14
|
|
SECTION 8.4. Definitions
|
15
|
|
SECTION 8.5. Procedures for Third Party Claims
|
16
|
|
SECTION 8.6. Direct Claims
|
17
|
|
SECTION 8.7. Sole Remedy
|
17
|
|
SECTION 8.8. Certain Other Matters
|
17
|
|
SECTION 8.9. No Contribution
|
17
|
|
SECTION 8.10. Effect of Investigation
|
17
|
|
ARTICLE IX. MISCELLANEOUS
|
18
|
|
SECTION 9.1. Fees and Expenses
|
18
|
|
SECTION 9.2. Notices
|
18
|
|
SECTION 9.3. Interpretation
|
19
|
|
SECTION 9.4. Entire Agreement; Third Party Beneficiaries
|
19
|
|
SECTION 9.5. Governing Law
|
19
|
|
SECTION 9.6. Assignment
|
19
|
|
SECTION 9.7. Jurisdiction; Enforcement
|
20
|
|
SECTION 9.8. Severability; Amendment; Modification; Waiver
|
21
|
|
SECTION 9.9. Counterparts
|
21
|
|
Term
|
Section
|
Agreement
|
Preamble
|
Assignment of Units
|
Section 2.3(a)(iii)
|
Buyer
|
Preamble
|
Buyer Fundamental Representations
|
Section 8.1(a)
|
Buyer Indemnified Persons
|
Section 8.2(a)
|
Closing
|
Section SECTION 2.2.
|
Closing Date
|
Section SECTION 2.2.
|
Company
|
Recitals
|
Deductible
|
Section 8.3(a)
|
De Minimis Amount
|
Section 8.3(a)
|
Indemnifiable Losses
|
Section 8.4(iii)
|
Indemnitee
|
Section 8.4(i)
|
Indemnitor
|
Section 8.4(ii)
|
Indemnity Payment
|
Section 8.4(iv)
|
Liens
|
Section 3.4
|
MARTA 2002-1
|
Section 3.9
|
New York Courts
|
Section 9.7(a)
|
Section 9.01(b) Documents
|
Section 5.1(b)
|
Seller
|
Preamble
|
Seller Fundamental Representations
|
Section 8.1(a)
|
Seller Indemnified Persons
|
Section 8.2(b)
|
SPA
|
Recitals
|
Third Party Claim
|
Section 8.4(v)
|
Transaction
|
Recitals
|
Units
|
Recitals
|
Withdrawal Notice to the Company
|
Section 5.1(b)
|
|
|
Page
|
|
Article I DEFINITIONS
|
1
|
|
|
1.1
|
Certain Terms
|
1
|
|
|
|
|
|
Article II PURCHASE AND SALE OF THE INTERESTS; CLOSING
|
5
|
|
|
2.1
|
Purchase and Sale of the Interests
|
5
|
|
2.2
|
Closing
|
5
|
|
2.3
|
Closing Deliverables
|
5
|
|
|
|
|
|
Article III REPRESENTATIONS AND WARRANTIES OF SELLER
|
6
|
|
|
3.1
|
Organization and Standing
|
6
|
|
3.2
|
Authority
|
6
|
|
3.3
|
Consents; No Conflicts
|
6
|
|
3.4
|
Interests; Beneficiary
|
7
|
|
3.5
|
Trust Series; Derivative Contracts
|
7
|
|
3.6
|
No Undisclosed Liabilities
|
7
|
|
3.7
|
Taxes
|
7
|
|
3.8
|
Litigation
|
7
|
|
3.9
|
Employees
|
7
|
|
3.10
|
Business
|
7
|
|
3.11
|
Solvency
|
7
|
|
3.12
|
Limitations of Representations and Warranties
|
8
|
|
|
|
|
|
Article IV REPRESENTATIONS AND WARRANTIES OF BUYER
|
8
|
|
|
4.1
|
Organization and Standing
|
8
|
|
4.2
|
Authority
|
8
|
|
4.3
|
Consents; No Conflicts
|
9
|
|
4.4
|
Purchase Not for Distribution
|
9
|
|
4.5
|
Limitations of Representations and Warranties
|
9
|
|
|
|
|
|
Article V COVENANTS
|
9
|
|
|
5.1
|
Commercially Reasonable Efforts; Other Action
|
9
|
|
5.2
|
Access to Books and Records
|
10
|
|
5.3
|
Public Announcement
|
10
|
|
|
|
|
|
Article VI CONDITIONS PRECEDENT
|
11
|
|
|
6.1
|
Conditions to Each Party’s Obligations
|
11
|
|
6.2
|
Conditions to Obligations of Buyer
|
11
|
|
6.3
|
Conditions to Obligations of Seller
|
11
|
|
|
|
|
|
Article VII TERMINATION
|
12
|
|
|
7.1
|
Termination of Agreement
|
12
|
|
7.2
|
Effect of Termination
|
12
|
|
|
|
|
|
Article VIII INDEMNIFICATION
|
13
|
|
|
8.1
|
Survival of Representations, Warranties and Covenants
|
13
|
|
8.2
|
Indemnification
|
13
|
|
8.3
|
Certain Limitations.
|
14
|
|
8.4
|
Definitions
|
15
|
|
8.5
|
Procedures for Third Party Claims
|
16
|
|
8.6
|
Direct Claims
|
17
|
|
8.7
|
Sole Remedy
|
17
|
|
8.8
|
Certain Other Matters
|
17
|
|
8.9
|
No Contribution
|
17
|
|
8.10
|
Effect of Investigation
|
17
|
|
|
|
|
|
Article IX MISCELLANEOUS
|
18
|
|
|
9.1
|
Fees and Expenses
|
18
|
|
9.2
|
Notices
|
18
|
|
9.3
|
Interpretation
|
19
|
|
9.4
|
Entire Agreement; Third Party Beneficiaries
|
19
|
|
9.5
|
Governing Law
|
19
|
|
9.6
|
Assignment
|
19
|
|
9.7
|
Jurisdiction; Enforcement
|
20
|
|
9.8
|
Severability; Amendment; Modification; Waiver
|
21
|
|
9.9
|
Counterparts
|
21
|
|
Term
|
Section
|
Agreement
|
Preamble
|
Assignment of Interests
|
Section 2.3(a)(i)
|
Buyer
|
Preamble
|
Buyer Fundamental Representations
|
Section 8.1(a)
|
Buyer Indemnified Persons
|
Section 8.2(a)
|
Closing
|
Section SECTION 2.2.
|
Closing Date
|
Section SECTION 2.2.
|
Deductible
|
Section 8.3(a)
|
De Minimis Amount
|
Section 8.3(a)
|
Indemnifiable Losses
|
Section 8.4(iii)
|
Indemnitee
|
Section 8.4(i)
|
Indemnitor
|
Section 8.4(ii)
|
Indemnity Payment
|
Section 8.4(iv)
|
Interests
|
Recitals
|
Liens
|
Section 3.4
|
New Trust Agreements
|
Section 5.1(b)
|
New York Courts
|
Section 9.7(a)
|
Seller
|
Preamble
|
Seller Fundamental Representations
|
Section 8.1(a)
|
Seller Indemnified Persons
|
Section 8.2(b)
|
Solvent
|
Section 3.11
|
SPA
|
Recitals
|
Third Party Claim
|
Section 8.4(c)
|
Transaction
|
Recitals
|
Trust
|
Recitals
|
1.
|
Radian (Reg. No. 2932319)
|
2.
|
Radian Asset Assurance (Reg. No. 2987060)
|
(a)
|
transferring to Buyer existing hard copy records for the Company’s accounting, HR, underwriting, surveillance, workout, e-mail and other records and data. For the electronic records of such data, separating such electronic data from Seller’s systems, and helping Buyer migrate, convert such data into a format acceptable to Buyer and integrate such data onto Buyer’s designated systems, at Buyer’s expense (collectively, the “
Data Transfer
”);
|
(b)
|
providing to Buyer (or its designee) a reasonable level of knowledge transfer, migration assistance and other related support as reasonably requested by Buyer, including, without limitation, assistance with respect to the transfer of applications, programs, licenses and other assets as contemplated by this Agreement;
|
(c)
|
continuing to provide, or causing to be provided, to the Company or Buyer, as directed by Buyer, the services necessary to allow Buyer to conduct the Business as it was conducted prior to the Closing, including operating on behalf of the Company or Buyer, or providing the Company or Buyer with, continued access to Seller’s accounting, HR, underwriting, surveillance, e-mail, telecommunications, network, disaster recovery, business applications, daily operations, paper records and electronic backup data and other systems and services used for or by the Company prior to the Closing, together with appropriate maintenance, support, monitoring, security, management and administration services, each as would be consistent with a joint transition plan agreed by the parties, provided that any costs related to any third party consents will be negotiated as part of the larger agreement;
|
(d)
|
Buyer and Seller shall create a joint Transition Committee that will develop a mutually acceptable Transition Plan to govern the timing and manner of migration and transition; and
|
(e)
|
subject to consent from the landlord, continued use and occupancy by the Company’s personnel of all office space used by the Company in any facility of Seller or any Affiliate of Seller as of the Closing (“
Office Space
”), in any event not to exceed August 30, 2015.
|
|
|
|
|
2
|
|
Executive Officer
|
Salary
|
||
Dominic J. Frederico
President and Chief Executive Officer
|
|
$1,150,000
|
|
Robert A. Bailenson
Chief Financial Officer
|
|
$550,000
|
|
James M. Michener
General Counsel
|
|
$550,000
|
|
Robert B. Mills
Chief Operating Officer
|
|
$520,000
|
|
Russell B. Brewer II
Chief Surveillance Officer
|
|
$400,000
|
|
•
|
To be considered to receive non-equity incentive compensation for 2015 performance.
|
•
|
To be considered to receive grants in 2016 under Assured Guaranty’s long-term incentive plans for 2015 performance.
|
•
|
To receive other annual compensation and benefits, including employer contributions to retirement plans and perquisites provided under the Assured Guaranty Ltd. Perquisite Policy.
|
(a)
|
shall become final and binding immediately following the expiration of your right to revoke the execution of the Second Release in accordance with paragraph 2(d) of the release;
|
(b)
|
shall not become final and binding until the expiration of such right to revoke; and
|
(c)
|
shall not become final and binding if you revoke such execution.
|
(a)
|
The term “Agreement” shall include the Agreement and the Exhibits thereto, and including the plans and arrangements under which the Executive is entitled to benefits in accordance with the Agreement and the Exhibits.
|
(b)
|
The term “Claims” shall include (except for claims for breach of the Agreement) any and all rights, claims, demands, debts, dues, sums of money, accounts, attorneys’ fees, complaints, judgments, executions, actions and causes of action of any nature whatsoever, known or unknown, cognizable at law or equity, shall include claims related to pay, commission, hours, bonuses, pension, disability, physical or mental affliction, benefits including vacation days and payment for unused vacation, reimbursement for expenses, terms and conditions of employment and claims of discrimination on account of age, race, color, sex, sexual harassment, sexual orientation, marital status, disability, national origin, citizenship, religion, or retaliation and shall include, without limitation, claims arising under (or alleged to have arisen under) (i) the Age Discrimination in Employment Act of 1967, as amended; (ii) Title VII of the Civil Rights Act of 1964, as amended; (iii) The Civil Rights Act of 1991; (iv) Section 1981 through 1988 of Title 42 of the United States Code, as amended; (v) the Employee Retirement Income Security Act of 1974, as amended; (vi) The Immigration Reform Control Act, as amended; (vii) The Americans with Disabilities Act of 1990, as amended; (viii) The National Labor Relations Act, as amended; (ix) The Fair Labor Standards Act, as amended; (x) The Occupational Safety and Health Act, as amended; (xi) The Family and Medical Leave Act of 1993; (xii) the Sarbanes-Oxley Act; (xiii) the federal Worker Adjustment and Retraining Notification Act and any similar state laws; (xiv) any state antidiscrimination law; (xv) any state or local wage and hour law; (xvi) any other local, state or federal law, regulation or ordinance; (xvii) any whistleblower law; (xviii) any public
|
(c)
|
The term “Company Releasees” shall include the Company and its Affiliates, and their officers, directors, trustees, members, representatives, agents, employees, shareholders, partners, attorneys, assigns, administrators and fiduciaries under any employee benefit plan of the Company and its Affiliates, and insurers, and their predecessors and successors.
|
(d)
|
The term “Executive Releasors” shall include the Executive, and his family, heirs, executors, representatives, agents, insurers, administrators, successors, assigns, and any other person claiming through the Executive.
|
(a)
|
By this Release and Waiver, the Executive Releasors do not release or waive any right or claim which they may have which arises after the date of execution of this Release and Waiver.
|
(b)
|
In exchange for this Release and Waiver, the Executive hereby acknowledges that he has received separate consideration beyond that to which he is otherwise entitled under the Company’s policy or applicable law.
|
(c)
|
The Company hereby expressly advises the Executive to consult with an attorney of his choosing prior to executing this Release and Waiver.
|
(d)
|
The Executive has twenty-one (21) days from the Offer Date to consider whether or not to execute this Release and Waiver. In the event of such execution, the Executive has a further period of seven (7) days from the date of said execution in which to revoke said execution. This Release and Waiver will not become effective until expiration of such revocation period.
|
(e)
|
This Release and Waiver, and the commitments and obligations of all parties under the Agreement:
|
(a)
|
The term “Agreement” shall include the Agreement and the Exhibits thereto, and including the plans and arrangements under which the Executive is entitled to benefits in accordance with the Agreement and the Exhibits.
|
(b)
|
The term “Claims” shall include (except for claims for breach of the Agreement) any and all rights, claims, demands, debts, dues, sums of money, accounts, attorneys’ fees, complaints, judgments, executions, actions and causes of action of any nature whatsoever, known or unknown, cognizable at law or equity, shall include claims related to pay, commission, hours, bonuses, pension, disability, physical or mental affliction, benefits including vacation days and payment for unused vacation, reimbursement for expenses, terms and conditions of employment and claims of discrimination on account of age, race, color, sex, sexual harassment, sexual orientation, marital status, disability, national origin, citizenship, religion, or retaliation and shall include, without limitation, claims arising under (or alleged to have arisen under) (i) the Age Discrimination in Employment Act of 1967, as amended; (ii) Title VII of the Civil Rights Act of 1964, as amended; (iii) The Civil Rights Act of 1991; (iv) Section 1981 through 1988 of Title 42 of the United States Code, as amended; (v) the Employee Retirement Income Security Act of 1974, as amended; (vi) The Immigration Reform Control Act, as amended; (vii) The Americans with Disabilities Act of 1990, as amended; (viii) The National Labor Relations Act, as amended; (ix) The Fair Labor Standards Act, as amended; (x) The Occupational Safety and Health Act, as amended; (xi) The Family and Medical Leave Act of 1993; (xii) the Sarbanes-Oxley Act; (xiii) the federal Worker Adjustment and Retraining Notification Act and any similar state laws; (xiv) any state antidiscrimination law; (xv) any state or local wage and hour law; (xvi) any other local, state or federal law, regulation or ordinance; (xvii) any whistleblower law; (xviii) any public policy, contract, tort, or common law; or (xix) any allegation for costs, fees, or other expenses
|
(c)
|
The term “Company Releasees” shall include the Company and its Affiliates, and their officers, directors, trustees, members, representatives, agents, employees, shareholders, partners, attorneys, assigns, administrators and fiduciaries under any employee benefit plan of the Company and its Affiliates, and insurers, and their predecessors and successors.
|
(d)
|
The term “Executive Releasors” shall include the Executive, and his family, heirs, executors, representatives, agents, insurers, administrators, successors, assigns, and any other person claiming through the Executive.
|
(a)
|
By this Release and Waiver, the Executive Releasors do not release or waive any right or claim which they may have which arises after the date of execution of this Release and Waiver.
|
(b)
|
In exchange for this Release and Waiver, the Executive hereby acknowledges that he has received separate consideration beyond that to which he is otherwise entitled under the Company’s policy or applicable law.
|
(c)
|
The Company hereby expressly advises the Executive to consult with an attorney of his choosing prior to executing this Release and Waiver.
|
(d)
|
The Executive has had at least twenty-one (21) days from the Offer Date to consider whether or not to execute this Release and Waiver. In the event of such execution, the Executive has a further period of seven (7) days from the date of said execution in which to revoke said execution. This Release and Waiver will not become effective until expiration of such revocation period.
|
(e)
|
This Release and Waiver, and the commitments and obligations of all parties under the Agreement:
|
|
Year Ended December 31,
|
||||||||||||||||||
|
2014
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
||||||||||
Income (loss) before income taxes
|
$
|
1,531
|
|
|
$
|
1,142
|
|
|
$
|
132
|
|
|
$
|
1,029
|
|
|
$
|
534
|
|
Fixed Charges
|
136
|
|
|
156
|
|
|
174
|
|
|
252
|
|
|
187
|
|
|||||
Income (loss) as adjusted
|
1,667
|
|
|
1,298
|
|
|
306
|
|
|
1,281
|
|
|
721
|
|
|||||
Fixed charges:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest expense (1)
|
92
|
|
|
82
|
|
|
92
|
|
|
99
|
|
|
100
|
|
|||||
Portion of rents representative of the interest factor
|
3
|
|
|
4
|
|
|
4
|
|
|
5
|
|
|
5
|
|
|||||
Interest expense on financial guaranty variable interest entities’ (“FG VIE”) liabilities (1)
|
41
|
|
|
70
|
|
|
78
|
|
|
148
|
|
|
82
|
|
|||||
Total fixed charges
|
$
|
136
|
|
|
$
|
156
|
|
|
$
|
174
|
|
|
$
|
252
|
|
|
$
|
187
|
|
Ratio of consolidated earnings to fixed charges (1)
|
12.3
|
|
|
8.3
|
|
|
1.8
|
|
|
5.1
|
|
|
3.9
|
|
Assured Guaranty Re Ltd. (Bermuda domiciled subsidiary of Assured Guaranty Ltd.)
|
|
|
AG CAT Re Ltd. (Bermuda domiciled company)
2
|
|
|
Cypress Point Funding Limited (Cayman Islands domiciled 23% owned subsidiary of Assured Guaranty Re Ltd.)
3
|
|
|
Assured Guaranty Overseas US Holdings Inc. (Delaware domiciled subsidiary of Assured Guaranty Re Ltd.)
|
|
|
Assured Guaranty Re Overseas Ltd. (Bermuda domiciled subsidiary of Assured Guaranty Overseas US Holdings Inc.)
|
|
|
AG Intermediary Inc. (New York domiciled subsidiary of Assured Guaranty Re Overseas Ltd.)
|
|
|
AG Management Ltd. (Bermuda domiciled subsidiary of Assured Guaranty Re Overseas Ltd.)
|
|
|
Assured Guaranty Finance Overseas Ltd. (England domiciled subsidiary of Assured Guaranty Ltd.)
|
|
|
Cedar Personnel Ltd. (Bermuda domiciled subsidiary of Assured Guaranty Ltd.)
|
|
|
Assured Guaranty US Holdings Inc. (Delaware domiciled subsidiary of Assured Guaranty Ltd.)
|
|
|
Assured Guaranty Municipal Holdings Inc. (New York domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
|
FSA Portfolio Management Inc. (New York domiciled subsidiary of Assured Guaranty Municipal Holdings Inc.)
|
|
|
Transaction Services Corporation (New York domiciled subsidiary of Assured Guaranty Municipal Holdings Inc.)
|
|
|
Assured Guaranty Municipal Corp. (New York domiciled subsidiary of Assured Guaranty Municipal Holdings Inc.)
|
|
|
Assured Guaranty (Europe) Ltd. (England domiciled subsidiary of Assured Guaranty Municipal Corp.)
|
|
|
Municipal Assurance Holdings Inc. (Delaware domiciled 60.7% owned subsidiary of Assured Guaranty Municipal Corp. and 39.3% owned subsidiary of Assured Guaranty Corp.)
|
|
|
Municipal Assurance Corp. (New York domiciled subsidiary of Municipal Assurance Holdings Inc.)
|
|
|
Assured Guaranty (UK) Services Limited (England domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
|
Assured Guaranty Corp. (Maryland domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
|
Prescott, LLC (Delaware domiciled subsidiary of Assured Guaranty Corp.)
|
|
|
Assured Guaranty (UK) Ltd. (England domiciled subsidiary of Assured Guaranty Corp.)
|
|
|
AG PFC Holding LLC (Delaware domiciled subsidiary of Assured Guaranty Corp.)
|
|
|
AGFP Holdings LLC (Delaware domiciled subsidiary of AG PFC Holding LLC)
|
|
|
Portfolio Funding Company LLC I (Delaware domiciled 50% owned subsidiary of AGFP Holdings LLC)
4
|
|
|
AG Financial Products Inc. (Delaware domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
|
AG Analytics Inc. (Delaware domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
|
(1)
|
All subsidiaries are wholly owned except for AG CAT Re Ltd., Cypress Point Funding Limited, and Portfolio Funding Company LLC I.
|
(2)
|
AG CAT Re Ltd. is wholly owned by Codan Trust Company Limited, an entity that is not owned or controlled by Assured Guaranty Ltd. The insurance manager of AG CAT Re Ltd. is AG Management Ltd.
|
(3)
|
The remaining 77% of Cypress Point Funding Limited (Cayman) is 23% owned by XL Insurance Ltd. and 54% owned by Maples FS Limited.
|
(4)
|
The remaining 50% of Portfolio Funding Company LLC I was owned by a subsidiary of Goldman, Sachs & Co. as of December 31, 2014, and since January 23, 2015, is owned by a subsidiary of AMC Networks Inc.
|
1.
|
I have reviewed this Annual Report on Form 10-K of Assured Guaranty Ltd.
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent function):
|
|
By:
|
/s/ DOMINIC J. FREDERICO
|
|
|
|
|
|
Dominic J. Frederico
|
|
|
President and Chief Executive Officer
|
1.
|
I have reviewed this Annual Report on Form 10-K of Assured Guaranty Ltd.
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent function):
|
|
By:
|
/s/ ROBERT A. BAILENSON
|
|
|
|
|
|
Robert A. Bailenson
|
|
|
Chief Financial Officer
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ DOMINIC J. FREDERICO
|
|
|
|
Name: Dominic J. Frederico
|
|
Title:
President and Chief Executive Officer
|
|
Date: February 26, 2015
|
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ ROBERT A. BAILENSON
|
|
|
|
Name: Robert A. Bailenson
|
|
Title:
Chief Financial Officer
|
|
Date: February 26, 2015
|
|