|
ý
|
|
QUARTERLY REPORT UNDER SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
o
|
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Bermuda
|
|
98-0429991
|
(State or other jurisdiction
|
|
(I.R.S. employer
|
of incorporation)
|
|
identification no.)
|
Large accelerated filer
x
|
|
Accelerated filer
o
|
|
|
|
Non-accelerated filer
o
|
|
Smaller reporting company
o
|
(Do not check if a smaller reporting company)
|
|
|
|
|
|
Page
|
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
PART I.
|
FINANCIAL INFORMATION
|
ITEM 1.
|
FINANCIAL STATEMENTS
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||
Assets
|
|
|
|
|
|
||
Investment portfolio:
|
|
|
|
|
|
||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $9,310 and $9,972)
|
$
|
9,833
|
|
|
$
|
10,491
|
|
Short-term investments, at fair value
|
349
|
|
|
767
|
|
||
Other invested assets
|
132
|
|
|
126
|
|
||
Total investment portfolio
|
10,314
|
|
|
11,384
|
|
||
Cash
|
885
|
|
|
75
|
|
||
Premiums receivable, net of commissions payable
|
700
|
|
|
729
|
|
||
Ceded unearned premium reserve
|
365
|
|
|
381
|
|
||
Deferred acquisition costs
|
120
|
|
|
121
|
|
||
Reinsurance recoverable on unpaid losses
|
77
|
|
|
78
|
|
||
Salvage and subrogation recoverable
|
128
|
|
|
151
|
|
||
Credit derivative assets
|
77
|
|
|
68
|
|
||
Deferred tax asset, net
|
218
|
|
|
260
|
|
||
Financial guaranty variable interest entities’ assets, at fair value
|
1,499
|
|
|
1,402
|
|
||
Other assets
|
294
|
|
|
276
|
|
||
Total assets
|
$
|
14,677
|
|
|
$
|
14,925
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
|
||
Unearned premium reserve
|
$
|
4,127
|
|
|
$
|
4,261
|
|
Loss and loss adjustment expense reserve
|
787
|
|
|
799
|
|
||
Reinsurance balances payable, net
|
74
|
|
|
107
|
|
||
Long-term debt
|
1,304
|
|
|
1,303
|
|
||
Credit derivative liabilities
|
859
|
|
|
963
|
|
||
Current income tax payable
|
—
|
|
|
5
|
|
||
Financial guaranty variable interest entities’ liabilities with recourse, at fair value
|
1,278
|
|
|
1,277
|
|
||
Financial guaranty variable interest entities’ liabilities without recourse, at fair value
|
145
|
|
|
142
|
|
||
Other liabilities
|
317
|
|
|
310
|
|
||
Total liabilities
|
8,891
|
|
|
9,167
|
|
||
Commitments and contingencies (See Note 14)
|
|
|
|
||||
Common stock ($0.01 par value, 500,000,000 shares authorized; 152,835,331 and 158,306,661 shares issued and outstanding)
|
2
|
|
|
2
|
|
||
Additional paid-in capital
|
1,733
|
|
|
1,887
|
|
||
Retained earnings
|
3,676
|
|
|
3,494
|
|
||
Accumulated other comprehensive income, net of tax of $149 and $159
|
370
|
|
|
370
|
|
||
Deferred equity compensation (320,193 and 320,193 shares)
|
5
|
|
|
5
|
|
||
Total shareholders’ equity
|
5,786
|
|
|
5,758
|
|
||
Total liabilities and shareholders’ equity
|
$
|
14,677
|
|
|
$
|
14,925
|
|
|
Three Months Ended March 31,
|
||||||
|
2015
|
|
2014
|
||||
Revenues
|
|
|
|
||||
Net earned premiums
|
$
|
142
|
|
|
$
|
132
|
|
Net investment income
|
101
|
|
|
103
|
|
||
Net realized investment gains (losses):
|
|
|
|
||||
Other-than-temporary impairment losses
|
(5
|
)
|
|
(3
|
)
|
||
Less: portion of other-than-temporary impairment loss
recognized in other comprehensive income
|
2
|
|
|
2
|
|
||
Net impairment loss
|
(7
|
)
|
|
(5
|
)
|
||
Other net realized investment gains (losses)
|
23
|
|
|
7
|
|
||
Net realized investment gains (losses)
|
16
|
|
|
2
|
|
||
Net change in fair value of credit derivatives:
|
|
|
|
||||
Realized gains (losses) and other settlements
|
21
|
|
|
19
|
|
||
Net unrealized gains (losses)
|
103
|
|
|
(230
|
)
|
||
Net change in fair value of credit derivatives
|
124
|
|
|
(211
|
)
|
||
Fair value gains (losses) on committed capital securities
|
2
|
|
|
(9
|
)
|
||
Fair value gains (losses) on financial guaranty variable interest entities
|
(7
|
)
|
|
157
|
|
||
Other income (loss)
|
(9
|
)
|
|
21
|
|
||
Total revenues
|
369
|
|
|
195
|
|
||
Expenses
|
|
|
|
||||
Loss and loss adjustment expenses
|
18
|
|
|
41
|
|
||
Amortization of deferred acquisition costs
|
4
|
|
|
5
|
|
||
Interest expense
|
25
|
|
|
20
|
|
||
Other operating expenses
|
56
|
|
|
60
|
|
||
Total expenses
|
103
|
|
|
126
|
|
||
Income (loss) before income taxes
|
266
|
|
|
69
|
|
||
Provision (benefit) for income taxes
|
|
|
|
||||
Current
|
13
|
|
|
21
|
|
||
Deferred
|
52
|
|
|
6
|
|
||
Total provision (benefit) for income taxes
|
65
|
|
|
27
|
|
||
Net income (loss)
|
$
|
201
|
|
|
$
|
42
|
|
|
|
|
|
||||
Earnings per share:
|
|
|
|
||||
Basic
|
$
|
1.29
|
|
|
$
|
0.23
|
|
Diluted
|
$
|
1.28
|
|
|
$
|
0.23
|
|
Dividends per share
|
$
|
0.12
|
|
|
$
|
0.11
|
|
|
Three Months Ended March 31,
|
||||||
|
2015
|
|
2014
|
||||
Net income (loss)
|
$
|
201
|
|
|
$
|
42
|
|
Unrealized holding gains (losses) arising during the period on:
|
|
|
|
||||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $1 and $41
|
18
|
|
|
94
|
|
||
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(2) and $3
|
(2
|
)
|
|
8
|
|
||
Unrealized holding gains (losses) arising during the period, net of tax
|
16
|
|
|
102
|
|
||
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $6 and $(1)
|
10
|
|
|
(2
|
)
|
||
Change in net unrealized gains on investments
|
6
|
|
|
104
|
|
||
Other, net of tax provision
|
(6
|
)
|
|
0
|
|
||
Other comprehensive income (loss)
|
$
|
0
|
|
|
$
|
104
|
|
Comprehensive income (loss)
|
$
|
201
|
|
|
$
|
146
|
|
|
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, 2014
|
158,306,661
|
|
|
|
$
|
2
|
|
|
$
|
1,887
|
|
|
$
|
3,494
|
|
|
$
|
370
|
|
|
$
|
5
|
|
|
$
|
5,758
|
|
Net income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
201
|
|
|
—
|
|
|
—
|
|
|
201
|
|
||||||
Dividends ($0.12 per share)
|
—
|
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
||||||
Common stock repurchases
|
(5,860,291
|
)
|
|
|
0
|
|
|
(152
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(152
|
)
|
||||||
Share-based compensation and other
|
388,961
|
|
|
|
0
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
||||||
Other comprehensive income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
—
|
|
|
0
|
|
||||||
Balance at March 31, 2015
|
152,835,331
|
|
|
|
$
|
2
|
|
|
$
|
1,733
|
|
|
$
|
3,676
|
|
|
$
|
370
|
|
|
$
|
5
|
|
|
$
|
5,786
|
|
|
Three Months Ended March 31,
|
||||||
|
2015
|
|
2014
|
||||
Net cash flows provided by (used in) operating activities
|
$
|
23
|
|
|
$
|
101
|
|
Investing activities
|
|
|
|
|
|
||
Fixed-maturity securities:
|
|
|
|
|
|
||
Purchases
|
(448
|
)
|
|
(517
|
)
|
||
Sales
|
841
|
|
|
155
|
|
||
Maturities
|
155
|
|
|
148
|
|
||
Net sales (purchases) of short-term investments
|
420
|
|
|
184
|
|
||
Net proceeds from paydowns on financial guaranty variable interest entities’ assets
|
30
|
|
|
286
|
|
||
Other
|
3
|
|
|
19
|
|
||
Net cash flows provided by (used in) investing activities
|
1,001
|
|
|
275
|
|
||
Financing activities
|
|
|
|
|
|
||
Dividends paid
|
(19
|
)
|
|
(20
|
)
|
||
Repurchases of common stock
|
(152
|
)
|
|
(35
|
)
|
||
Share activity under option and incentive plans
|
(5
|
)
|
|
0
|
|
||
Net paydowns of financial guaranty variable interest entities’ liabilities
|
(39
|
)
|
|
(281
|
)
|
||
Repayment of long-term debt
|
(1
|
)
|
|
(6
|
)
|
||
Other
|
4
|
|
|
—
|
|
||
Net cash flows provided by (used in) financing activities
|
(212
|
)
|
|
(342
|
)
|
||
Effect of foreign exchange rate changes
|
(2
|
)
|
|
1
|
|
||
Increase (decrease) in cash
|
810
|
|
|
35
|
|
||
Cash at beginning of period
|
75
|
|
|
184
|
|
||
Cash at end of period
|
$
|
885
|
|
|
$
|
219
|
|
Supplemental cash flow information
|
|
|
|
|
|
||
Cash paid (received) during the period for:
|
|
|
|
|
|
||
Income taxes
|
$
|
17
|
|
|
$
|
37
|
|
Interest
|
$
|
7
|
|
|
$
|
8
|
|
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.
|
•
|
Effective April 8, 2015, at the Company's request, Moody’s withdrew the financial strength ratings it had assigned to Assured Guaranty Re Ltd. (AG Re) and Assured Guaranty Re Overseas Ltd. ("AGRO").
|
•
|
On May 5, 2015, A.M. Best Company, Inc. assigned a financial strength rating of A+ (Stable) to AGRO.
|
•
|
Note 6, Financial Guaranty Insurance Losses
|
•
|
Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives
|
•
|
Note 13, Reinsurance and Other Monoline Exposures
|
•
|
Note 15, Long-Term Debt and Credit Facilities
|
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
|
||||||||||||
|
March 31,
2015 |
|
December 31,
2014 |
|
March 31,
2015 |
|
December 31,
2014 |
||||||||
|
(in millions)
|
||||||||||||||
Public finance
|
$
|
565,386
|
|
|
$
|
587,245
|
|
|
$
|
533,359
|
|
|
$
|
553,612
|
|
Structured finance
|
54,546
|
|
|
59,477
|
|
|
51,300
|
|
|
56,010
|
|
||||
Total financial guaranty
|
$
|
619,932
|
|
|
$
|
646,722
|
|
|
$
|
584,659
|
|
|
$
|
609,622
|
|
|
|
Public Finance
U.S.
|
|
Public Finance
Non-U.S.
|
|
Structured Finance
U.S
|
|
Structured Finance
Non-U.S
|
|
Total
|
|||||||||||||||||||||||||
Rating
Category
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|||||||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
AAA
|
|
$
|
3,563
|
|
|
1.1
|
%
|
|
$
|
613
|
|
|
2.1
|
%
|
|
$
|
18,176
|
|
|
47.3
|
%
|
|
$
|
4,397
|
|
|
57.8
|
%
|
|
$
|
26,749
|
|
|
6.9
|
%
|
AA
|
|
86,521
|
|
|
27.6
|
|
|
2,650
|
|
|
9.0
|
|
|
8,360
|
|
|
21.7
|
|
|
377
|
|
|
5.0
|
|
|
97,908
|
|
|
25.2
|
|
|||||
A
|
|
171,308
|
|
|
54.7
|
|
|
7,091
|
|
|
23.9
|
|
|
2,228
|
|
|
5.8
|
|
|
365
|
|
|
4.7
|
|
|
180,992
|
|
|
46.4
|
|
|||||
BBB
|
|
44,110
|
|
|
14.1
|
|
|
17,891
|
|
|
60.4
|
|
|
1,843
|
|
|
4.8
|
|
|
1,746
|
|
|
23.0
|
|
|
65,590
|
|
|
16.9
|
|
|||||
BIG
|
|
7,942
|
|
|
2.5
|
|
|
1,374
|
|
|
4.6
|
|
|
7,823
|
|
|
20.4
|
|
|
721
|
|
|
9.5
|
|
|
17,860
|
|
|
4.6
|
|
|||||
Total net par outstanding (1)
|
|
$
|
313,444
|
|
|
100.0
|
%
|
|
$
|
29,619
|
|
|
100.0
|
%
|
|
$
|
38,430
|
|
|
100.0
|
%
|
|
$
|
7,606
|
|
|
100.0
|
%
|
|
$
|
389,099
|
|
|
100.0
|
%
|
(1)
|
Excludes
$1.3 billion
of loss mitigation securities insured and held by the Company as of
March 31, 2015
, 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
|
|
$
|
4,082
|
|
|
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.
|
|
BIG Net Par Outstanding
|
|
Net Par
|
||||||||||||||||
|
BIG 1
|
|
BIG 2
|
|
BIG 3
|
|
Total BIG
|
|
Outstanding
|
||||||||||
|
|
|
|
|
(in millions)
|
|
|
|
|
||||||||||
U.S. public finance
|
$
|
6,669
|
|
|
$
|
1,156
|
|
|
$
|
117
|
|
|
$
|
7,942
|
|
|
$
|
313,444
|
|
Non-U.S. public finance
|
863
|
|
|
511
|
|
|
—
|
|
|
1,374
|
|
|
29,619
|
|
|||||
First lien U.S. residential mortgage-backed securities ("RMBS"):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Prime first lien
|
49
|
|
|
59
|
|
|
241
|
|
|
349
|
|
|
454
|
|
|||||
Alt-A first lien
|
579
|
|
|
436
|
|
|
763
|
|
|
1,778
|
|
|
2,449
|
|
|||||
Option ARM
|
9
|
|
|
53
|
|
|
108
|
|
|
170
|
|
|
374
|
|
|||||
Subprime
|
179
|
|
|
529
|
|
|
831
|
|
|
1,539
|
|
|
3,935
|
|
|||||
Second lien U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Closed-end second lien
|
—
|
|
|
19
|
|
|
113
|
|
|
132
|
|
|
212
|
|
|||||
Home equity lines of credit (“HELOCs”)
|
1,235
|
|
|
29
|
|
|
240
|
|
|
1,504
|
|
|
1,654
|
|
|||||
Total U.S. RMBS
|
2,051
|
|
|
1,125
|
|
|
2,296
|
|
|
5,472
|
|
|
9,078
|
|
|||||
Triple-X life insurance transactions
|
—
|
|
|
—
|
|
|
598
|
|
|
598
|
|
|
3,133
|
|
|||||
Trust preferred securities (“TruPS”)
|
828
|
|
|
—
|
|
|
327
|
|
|
1,155
|
|
|
4,075
|
|
|||||
Other structured finance
|
927
|
|
|
237
|
|
|
155
|
|
|
1,319
|
|
|
29,750
|
|
|||||
Total
|
$
|
11,338
|
|
|
$
|
3,029
|
|
|
$
|
3,493
|
|
|
$
|
17,860
|
|
|
$
|
389,099
|
|
|
BIG Net Par Outstanding
|
|
Net Par
|
||||||||||||||||
|
BIG 1
|
|
BIG 2
|
|
BIG 3
|
|
Total BIG
|
|
Outstanding
|
||||||||||
|
|
|
|
|
(in millions)
|
|
|
|
|
||||||||||
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
|
|
|||||
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
|
|
|||||
HELOCs
|
1,012
|
|
|
36
|
|
|
509
|
|
|
1,557
|
|
|
1,738
|
|
|||||
Total U.S. RMBS
|
1,868
|
|
|
1,291
|
|
|
2,484
|
|
|
5,643
|
|
|
9,417
|
|
|||||
Triple-X life insurance transactions
|
—
|
|
|
—
|
|
|
598
|
|
|
598
|
|
|
3,133
|
|
|||||
TruPS
|
997
|
|
|
—
|
|
|
336
|
|
|
1,333
|
|
|
4,326
|
|
|||||
Other structured finance
|
1,021
|
|
|
240
|
|
|
158
|
|
|
1,419
|
|
|
33,371
|
|
|||||
Total
|
$
|
11,865
|
|
|
$
|
2,689
|
|
|
$
|
3,693
|
|
|
$
|
18,247
|
|
|
$
|
403,729
|
|
|
|
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
|
|
$
|
9,887
|
|
|
$
|
1,451
|
|
|
$
|
11,338
|
|
|
164
|
|
|
18
|
|
|
182
|
|
Category 2
|
|
2,345
|
|
|
684
|
|
|
3,029
|
|
|
73
|
|
|
12
|
|
|
85
|
|
|||
Category 3
|
|
2,705
|
|
|
788
|
|
|
3,493
|
|
|
119
|
|
|
25
|
|
|
144
|
|
|||
Total BIG
|
|
$
|
14,937
|
|
|
$
|
2,923
|
|
|
$
|
17,860
|
|
|
356
|
|
|
55
|
|
|
411
|
|
|
|
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
|
|
(2)
|
A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments.
|
|
Gross Par Outstanding
|
|
Gross Debt Service Outstanding
|
||||||||||||
|
March 31,
2015 |
|
December 31,
2014 |
|
March 31,
2015 |
|
December 31,
2014 |
||||||||
|
(in millions)
|
||||||||||||||
Previously Subject to the Voided Recovery Act (1)
|
$
|
3,059
|
|
|
$
|
3,058
|
|
|
$
|
5,252
|
|
|
$
|
5,326
|
|
Not Previously Subject to the Voided Recovery Act
|
2,977
|
|
|
2,977
|
|
|
4,675
|
|
|
4,748
|
|
||||
Total
|
$
|
6,036
|
|
|
$
|
6,035
|
|
|
$
|
9,927
|
|
|
$
|
10,074
|
|
(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
March 31, 2015 |
|
As of
December 31, 2014 |
||||||||
|
|
Total
|
|
Internal Rating
|
|
Total
|
|
Internal Rating
|
||||
|
|
(in millions)
|
||||||||||
Exposures Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
||||
PRHTA (Transportation revenue)
|
|
$
|
844
|
|
|
BB-
|
|
$
|
844
|
|
|
BB-
|
PREPA
|
|
773
|
|
|
B-
|
|
772
|
|
|
B-
|
||
Puerto Rico Aqueduct and Sewer Authority
|
|
384
|
|
|
BB-
|
|
384
|
|
|
BB-
|
||
PRHTA (Highway revenue)
|
|
273
|
|
|
BB
|
|
273
|
|
|
BB
|
||
Puerto Rico Convention Center District Authority
|
|
174
|
|
|
BB-
|
|
174
|
|
|
BB-
|
||
Total
|
|
2,448
|
|
|
|
|
2,447
|
|
|
|
||
|
|
|
|
|
|
|
|
|
||||
Exposures Not Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
|
1,672
|
|
|
BB
|
|
1,672
|
|
|
BB
|
||
Puerto Rico Municipal Finance Agency
|
|
399
|
|
|
BB-
|
|
399
|
|
|
BB-
|
||
Puerto Rico Sales Tax Financing Corporation
|
|
269
|
|
|
BBB
|
|
269
|
|
|
BBB
|
||
Puerto Rico Public Buildings Authority
|
|
100
|
|
|
BB
|
|
100
|
|
|
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
|
|
|
|
|
2,492
|
|
|
|
||
Total net exposure to Puerto Rico
|
|
$
|
4,940
|
|
|
|
|
$
|
4,939
|
|
|
|
|
Scheduled BIG Net Par Amortization
|
|
Scheduled BIG Net Debt Service Amortization
|
|
||||||||||||||||||||
|
Previously Subject to the Voided Recovery Act
|
|
Not Previously Subject to the Voided Recovery Act
|
|
Total
|
|
Previously Subject to the Voided Recovery Act
|
|
Not Previously Subject to the Voided Recovery Act
|
|
Total
|
|
||||||||||||
|
(in millions)
|
|
||||||||||||||||||||||
2015 (April 1 - June 30)
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
2
|
|
|
$
|
1
|
|
|
$
|
3
|
|
|
2015 (July 1 - September 30)
|
126
|
|
|
171
|
|
|
297
|
|
|
186
|
|
|
227
|
|
|
413
|
|
|
||||||
2015 (October 1 - December 31)
|
0
|
|
|
33
|
|
|
33
|
|
|
2
|
|
|
35
|
|
|
37
|
|
|
||||||
2016
|
84
|
|
|
183
|
|
|
267
|
|
|
200
|
|
|
287
|
|
|
487
|
|
|
||||||
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
|
|
|
123
|
|
|
274
|
|
|
||||||
2022
|
43
|
|
|
67
|
|
|
110
|
|
|
140
|
|
|
129
|
|
|
269
|
|
|
||||||
2023
|
102
|
|
|
39
|
|
|
141
|
|
|
198
|
|
|
99
|
|
|
297
|
|
|
||||||
2024
|
82
|
|
|
78
|
|
|
160
|
|
|
173
|
|
|
136
|
|
|
309
|
|
|
||||||
2025-2029
|
576
|
|
|
340
|
|
|
916
|
|
|
951
|
|
|
566
|
|
|
1,517
|
|
|
||||||
2030-2034
|
440
|
|
|
387
|
|
|
827
|
|
|
696
|
|
|
542
|
|
|
1,238
|
|
|
||||||
2035 -2039
|
397
|
|
|
272
|
|
|
669
|
|
|
525
|
|
|
304
|
|
|
829
|
|
|
||||||
2040 -2044
|
78
|
|
|
12
|
|
|
90
|
|
|
146
|
|
|
13
|
|
|
159
|
|
|
||||||
2045 -2047
|
246
|
|
|
—
|
|
|
246
|
|
|
272
|
|
|
—
|
|
|
272
|
|
|
||||||
Total
|
$
|
2,448
|
|
|
$
|
2,223
|
|
|
$
|
4,671
|
|
|
$
|
4,297
|
|
|
$
|
3,384
|
|
|
$
|
7,681
|
|
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-infrastructure public finance (2)
|
$
|
—
|
|
|
$
|
779
|
|
|
$
|
91
|
|
|
$
|
211
|
|
|
$
|
1,081
|
|
Infrastructure finance
|
265
|
|
|
11
|
|
|
11
|
|
|
120
|
|
|
407
|
|
|||||
Total sovereign and sub-sovereign exposure
|
265
|
|
|
790
|
|
|
102
|
|
|
331
|
|
|
1,488
|
|
|||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Regulated utilities
|
—
|
|
|
210
|
|
|
—
|
|
|
—
|
|
|
210
|
|
|||||
RMBS
|
174
|
|
|
234
|
|
|
—
|
|
|
—
|
|
|
408
|
|
|||||
Total non-sovereign exposure
|
174
|
|
|
444
|
|
|
—
|
|
|
—
|
|
|
618
|
|
|||||
Total
|
$
|
439
|
|
|
$
|
1,234
|
|
|
$
|
102
|
|
|
$
|
331
|
|
|
$
|
2,106
|
|
Total BIG (See Note 5)
|
$
|
370
|
|
|
$
|
—
|
|
|
$
|
102
|
|
|
$
|
331
|
|
|
$
|
803
|
|
(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.
|
4.
|
Financial Guaranty Insurance Premiums
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Scheduled net earned premiums
|
$
|
96
|
|
|
$
|
107
|
|
Acceleration of net earned premiums
|
41
|
|
|
19
|
|
||
Accretion of discount on net premiums receivable
|
4
|
|
|
6
|
|
||
Financial guaranty insurance net earned premiums
|
141
|
|
|
132
|
|
||
Other
|
1
|
|
|
—
|
|
||
Net earned premiums(1)
|
$
|
142
|
|
|
$
|
132
|
|
(1)
|
Excludes
$5 million
and
$17 million
for
First Quarter
2015
and
2014
, respectively, related to consolidated FG VIEs.
|
|
As of March 31, 2015
|
|
As of December 31, 2014
|
||||||||||||||||||||
|
Gross
|
|
Ceded
|
|
Net(1)
|
|
Gross
|
|
Ceded
|
|
Net(1)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Deferred premium revenue:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Financial guaranty insurance
|
$
|
4,038
|
|
|
$
|
370
|
|
|
$
|
3,668
|
|
|
$
|
4,167
|
|
|
$
|
387
|
|
|
$
|
3,780
|
|
Other
|
1
|
|
|
—
|
|
|
1
|
|
|
0
|
|
|
—
|
|
|
0
|
|
||||||
Deferred premium revenue
|
$
|
4,039
|
|
|
$
|
370
|
|
|
$
|
3,669
|
|
|
$
|
4,167
|
|
|
$
|
387
|
|
|
$
|
3,780
|
|
Contra-paid (2)
|
88
|
|
|
(5
|
)
|
|
93
|
|
|
94
|
|
|
(6
|
)
|
|
100
|
|
||||||
Unearned premium reserve
|
$
|
4,127
|
|
|
$
|
365
|
|
|
$
|
3,762
|
|
|
$
|
4,261
|
|
|
$
|
381
|
|
|
$
|
3,880
|
|
(1)
|
Excludes $
125 million
and $
125 million
of deferred premium revenue, and
$41 million
and
$42 million
of contra-paid related to FG VIEs as of
March 31, 2015
and
December 31, 2014
, respectively.
|
(2)
|
See Note 6, "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" for an explanation of "contra-paid".
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Beginning of period, December 31
|
$
|
729
|
|
|
$
|
876
|
|
Gross premium written, net of commissions on assumed business
|
36
|
|
|
33
|
|
||
Gross premiums received, net of commissions on assumed business
|
(36
|
)
|
|
(53
|
)
|
||
Adjustments:
|
|
|
|
||||
Changes in the expected term
|
(6
|
)
|
|
(3
|
)
|
||
Accretion of discount, net of commissions on assumed business
|
5
|
|
|
7
|
|
||
Foreign exchange translation
|
(25
|
)
|
|
2
|
|
||
Consolidation/deconsolidation of FG VIEs
|
(4
|
)
|
|
1
|
|
||
Other adjustments
|
0
|
|
|
—
|
|
||
End of period, March 31 (1)
|
$
|
699
|
|
|
$
|
863
|
|
(1)
|
Excludes $
22 million
and $
18 million
as of
March 31, 2015
and
March 31, 2014
, respectively, related to consolidated FG VIEs. Excludes
$1 million
related to non-financial guaranty line of business as of
March 31, 2015
.
|
|
As of March 31, 2015
|
||
|
(in millions)
|
||
2015 (April 1 – June 30)
|
$
|
23
|
|
2015 (July 1 – September 30)
|
24
|
|
|
2015 (October 1 – December 31)
|
19
|
|
|
2016
|
74
|
|
|
2017
|
67
|
|
|
2018
|
61
|
|
|
2019
|
57
|
|
|
2020-2024
|
238
|
|
|
2025-2029
|
154
|
|
|
2030-2034
|
108
|
|
|
After 2034
|
98
|
|
|
Total(1)
|
$
|
923
|
|
(1)
|
Excludes expected cash collections on FG VIEs of $
28 million
.
|
|
As of March 31, 2015
|
||
|
(in millions)
|
||
2015 (April 1 – June 30)
|
$
|
91
|
|
2015 (July 1 – September 30)
|
89
|
|
|
2015 (October 1 – December 31)
|
86
|
|
|
2016
|
334
|
|
|
2017
|
294
|
|
|
2018
|
267
|
|
|
2019
|
244
|
|
|
2020-2024
|
955
|
|
|
2025-2029
|
610
|
|
|
2030-2034
|
373
|
|
|
After 2034
|
325
|
|
|
Net deferred premium revenue(1)
|
3,668
|
|
|
Future accretion
|
198
|
|
|
Total future net earned premiums
|
$
|
3,866
|
|
(1)
|
Excludes scheduled net earned premiums on consolidated FG VIEs of $
125 million
.
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||
|
(dollars in millions)
|
||||||
Premiums receivable, net of commission payable
|
$
|
699
|
|
|
$
|
729
|
|
Gross deferred premium revenue
|
1,334
|
|
|
1,370
|
|
||
Weighted-average risk-free rate used to discount premiums
|
3.4
|
%
|
|
3.5
|
%
|
||
Weighted-average period of premiums receivable (in years)
|
9.4
|
|
|
9.4
|
|
5.
|
Expected Loss to be Paid
|
|
Net Expected
Loss to be
Paid (Recovered
)
as of
December 31, 2014
(2)
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses
(1)
|
|
Net Expected
Loss to be Paid (Recovered )
as of
March 31,2015 (2) |
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
303
|
|
|
$
|
9
|
|
|
$
|
(2
|
)
|
|
$
|
310
|
|
Non-U.S public finance
|
45
|
|
|
(3
|
)
|
|
—
|
|
|
42
|
|
||||
Public Finance
|
348
|
|
|
6
|
|
|
(2
|
)
|
|
352
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
4
|
|
|
0
|
|
|
(1
|
)
|
|
3
|
|
||||
Alt-A first lien
|
304
|
|
|
(5
|
)
|
|
(10
|
)
|
|
289
|
|
||||
Option ARM
|
(16
|
)
|
|
4
|
|
|
(4
|
)
|
|
(16
|
)
|
||||
Subprime
|
303
|
|
|
(1
|
)
|
|
(9
|
)
|
|
293
|
|
||||
Total first lien
|
595
|
|
|
(2
|
)
|
|
(24
|
)
|
|
569
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
8
|
|
|
1
|
|
|
2
|
|
|
11
|
|
||||
HELOCs
|
(19
|
)
|
|
5
|
|
|
4
|
|
|
(10
|
)
|
||||
Total second lien
|
(11
|
)
|
|
6
|
|
|
6
|
|
|
1
|
|
||||
Total U.S. RMBS
|
584
|
|
|
4
|
|
|
(18
|
)
|
|
570
|
|
||||
Triple-X life insurance transactions
|
161
|
|
|
5
|
|
|
(1
|
)
|
|
165
|
|
||||
TruPS
|
23
|
|
|
(9
|
)
|
|
—
|
|
|
14
|
|
||||
Other structured finance
|
57
|
|
|
(8
|
)
|
|
3
|
|
|
52
|
|
||||
Structured Finance
|
825
|
|
|
(8
|
)
|
|
(16
|
)
|
|
801
|
|
||||
Subtotal
|
1,173
|
|
|
(2
|
)
|
|
(18
|
)
|
|
1,153
|
|
||||
Other insurance
|
(4
|
)
|
|
(1
|
)
|
|
6
|
|
|
1
|
|
||||
Total
|
$
|
1,169
|
|
|
$
|
(3
|
)
|
|
$
|
(12
|
)
|
|
$
|
1,154
|
|
|
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
March 31,2014 |
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
264
|
|
|
$
|
23
|
|
|
$
|
(6
|
)
|
|
$
|
281
|
|
Non-U.S public finance
|
57
|
|
|
—
|
|
|
—
|
|
|
57
|
|
||||
Public Finance
|
321
|
|
|
23
|
|
|
(6
|
)
|
|
338
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
|
|
|
|
||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
21
|
|
|
(3
|
)
|
|
—
|
|
|
18
|
|
||||
Alt-A first lien
|
304
|
|
|
8
|
|
|
(4
|
)
|
|
308
|
|
||||
Option ARM
|
(9
|
)
|
|
(15
|
)
|
|
(4
|
)
|
|
(28
|
)
|
||||
Subprime
|
304
|
|
|
(7
|
)
|
|
(2
|
)
|
|
295
|
|
||||
Total first lien
|
620
|
|
|
(17
|
)
|
|
(10
|
)
|
|
593
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
(11
|
)
|
|
5
|
|
|
2
|
|
|
(4
|
)
|
||||
HELOCs
|
(116
|
)
|
|
2
|
|
|
5
|
|
|
(109
|
)
|
||||
Total second lien
|
(127
|
)
|
|
7
|
|
|
7
|
|
|
(113
|
)
|
||||
Total U.S. RMBS
|
493
|
|
|
(10
|
)
|
|
(3
|
)
|
|
480
|
|
||||
Triple-X life insurance transactions
|
75
|
|
|
13
|
|
|
(1
|
)
|
|
87
|
|
||||
TruPS
|
51
|
|
|
(19
|
)
|
|
—
|
|
|
32
|
|
||||
Other structured finance
|
45
|
|
|
6
|
|
|
—
|
|
|
51
|
|
||||
Structured Finance
|
664
|
|
|
(10
|
)
|
|
(4
|
)
|
|
650
|
|
||||
Subtotal
|
985
|
|
|
13
|
|
|
(10
|
)
|
|
988
|
|
||||
Other insurance
|
(3
|
)
|
|
(1
|
)
|
|
—
|
|
|
(4
|
)
|
||||
Total
|
$
|
982
|
|
|
$
|
12
|
|
|
$
|
(10
|
)
|
|
$
|
984
|
|
(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
$4 million
and
$6 million
in loss adjustment expenses ("LAE") for
First Quarter
2015
and
2014
, respectively.
|
(2)
|
Includes expected LAE to be paid of
$13 million
as of
March 31, 2015
and
$16 million
as of
December 31, 2014
.
|
|
Future Net
R&W Benefit as of
December 31, 2014
|
|
R&W Development
and Accretion of Discount During 2015 |
|
R&W (Recovered)
During 2015 |
|
Future Net
R&W Benefit as of March 31,2015 (1) |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
2
|
|
|
$
|
(1
|
)
|
|
$
|
—
|
|
|
$
|
1
|
|
Alt-A first lien
|
106
|
|
|
(10
|
)
|
|
(2
|
)
|
|
94
|
|
||||
Option ARM
|
15
|
|
|
(20
|
)
|
|
(15
|
)
|
|
(20
|
)
|
||||
Subprime
|
109
|
|
|
(19
|
)
|
|
(3
|
)
|
|
87
|
|
||||
Total first lien
|
232
|
|
|
(50
|
)
|
|
(20
|
)
|
|
162
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
85
|
|
|
(1
|
)
|
|
(1
|
)
|
|
83
|
|
||||
HELOC
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total second lien
|
85
|
|
|
(1
|
)
|
|
(1
|
)
|
|
83
|
|
||||
Total
|
$
|
317
|
|
|
$
|
(51
|
)
|
|
$
|
(21
|
)
|
|
$
|
245
|
|
|
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 March 31, 2014 |
||||||||
|
(in millions)
|
||||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
$
|
4
|
|
|
$
|
(1
|
)
|
|
$
|
—
|
|
|
$
|
3
|
|
Alt-A first lien
|
274
|
|
|
3
|
|
|
(8
|
)
|
|
269
|
|
||||
Option ARM
|
173
|
|
|
9
|
|
|
(30
|
)
|
|
152
|
|
||||
Subprime
|
118
|
|
|
28
|
|
|
—
|
|
|
146
|
|
||||
Total first lien
|
569
|
|
|
39
|
|
|
(38
|
)
|
|
570
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
||||||||
Closed-end second lien
|
98
|
|
|
(3
|
)
|
|
—
|
|
|
95
|
|
||||
HELOC
|
45
|
|
|
12
|
|
|
(1
|
)
|
|
56
|
|
||||
Total second lien
|
143
|
|
|
9
|
|
|
(1
|
)
|
|
151
|
|
||||
Total
|
$
|
712
|
|
|
$
|
48
|
|
|
$
|
(39
|
)
|
|
$
|
721
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
310
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
310
|
|
Non-U.S. public finance
|
42
|
|
|
—
|
|
|
—
|
|
|
42
|
|
||||
Public Finance
|
352
|
|
|
—
|
|
|
—
|
|
|
352
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
3
|
|
|
—
|
|
|
—
|
|
|
3
|
|
||||
Alt-A first lien
|
278
|
|
|
17
|
|
|
(6
|
)
|
|
289
|
|
||||
Option ARM
|
(17
|
)
|
|
—
|
|
|
1
|
|
|
(16
|
)
|
||||
Subprime
|
157
|
|
|
69
|
|
|
67
|
|
|
293
|
|
||||
Total first lien
|
421
|
|
|
86
|
|
|
62
|
|
|
569
|
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(24
|
)
|
|
31
|
|
|
4
|
|
|
11
|
|
||||
HELOCs
|
(15
|
)
|
|
5
|
|
|
—
|
|
|
(10
|
)
|
||||
Total second lien
|
(39
|
)
|
|
36
|
|
|
4
|
|
|
1
|
|
||||
Total U.S. RMBS
|
382
|
|
|
122
|
|
|
66
|
|
|
570
|
|
||||
Triple-X life insurance transactions
|
157
|
|
|
—
|
|
|
8
|
|
|
165
|
|
||||
TruPS
|
0
|
|
|
—
|
|
|
14
|
|
|
14
|
|
||||
Other structured finance
|
98
|
|
|
—
|
|
|
(46
|
)
|
|
52
|
|
||||
Structured Finance
|
637
|
|
|
122
|
|
|
42
|
|
|
801
|
|
||||
Subtotal
|
$
|
989
|
|
|
$
|
122
|
|
|
$
|
42
|
|
|
$
|
1,153
|
|
Other
|
|
|
|
|
|
|
1
|
|
|||||||
Total
|
|
|
|
|
|
|
$
|
1,154
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
303
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
303
|
|
Non-U.S. public finance
|
45
|
|
|
—
|
|
|
—
|
|
|
45
|
|
||||
Public Finance
|
348
|
|
|
—
|
|
|
—
|
|
|
348
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
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
|
|
||||
Triple-X life insurance transactions
|
153
|
|
|
—
|
|
|
8
|
|
|
161
|
|
||||
TruPS
|
1
|
|
|
—
|
|
|
22
|
|
|
23
|
|
||||
Other structured finance
|
102
|
|
|
—
|
|
|
(45
|
)
|
|
57
|
|
||||
Structured Finance
|
641
|
|
|
126
|
|
|
58
|
|
|
825
|
|
||||
Subtotal
|
$
|
989
|
|
|
$
|
126
|
|
|
$
|
58
|
|
|
1,173
|
|
|
Other
|
|
|
|
|
|
|
(4
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
1,169
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
9
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9
|
|
Non-U.S. public finance
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
||||
Public Finance
|
6
|
|
|
—
|
|
|
—
|
|
|
6
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
1
|
|
|
—
|
|
|
(1
|
)
|
|
0
|
|
||||
Alt-A first lien
|
2
|
|
|
—
|
|
|
(7
|
)
|
|
(5
|
)
|
||||
Option ARM
|
1
|
|
|
—
|
|
|
3
|
|
|
4
|
|
||||
Subprime
|
(4
|
)
|
|
4
|
|
|
(1
|
)
|
|
(1
|
)
|
||||
Total first lien
|
0
|
|
|
4
|
|
|
(6
|
)
|
|
(2
|
)
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
1
|
|
|
1
|
|
|
(1
|
)
|
|
1
|
|
||||
HELOCs
|
7
|
|
|
(2
|
)
|
|
—
|
|
|
5
|
|
||||
Total second lien
|
8
|
|
|
(1
|
)
|
|
(1
|
)
|
|
6
|
|
||||
Total U.S. RMBS
|
8
|
|
|
3
|
|
|
(7
|
)
|
|
4
|
|
||||
Triple-X life insurance transactions
|
4
|
|
|
—
|
|
|
1
|
|
|
5
|
|
||||
TruPS
|
(1
|
)
|
|
—
|
|
|
(8
|
)
|
|
(9
|
)
|
||||
Other structured finance
|
(5
|
)
|
|
—
|
|
|
(3
|
)
|
|
(8
|
)
|
||||
Structured Finance
|
6
|
|
|
3
|
|
|
(17
|
)
|
|
(8
|
)
|
||||
Subtotal
|
$
|
12
|
|
|
$
|
3
|
|
|
$
|
(17
|
)
|
|
$
|
(2
|
)
|
Other
|
|
|
|
|
|
|
(1
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
(3
|
)
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1)
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
23
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
23
|
|
Non-U.S. public finance
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Public Finance
|
23
|
|
|
—
|
|
|
—
|
|
|
23
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
(3
|
)
|
||||
Alt-A first lien
|
19
|
|
|
(12
|
)
|
|
1
|
|
|
8
|
|
||||
Option ARM
|
(16
|
)
|
|
1
|
|
|
—
|
|
|
(15
|
)
|
||||
Subprime
|
(8
|
)
|
|
(2
|
)
|
|
3
|
|
|
(7
|
)
|
||||
Total first lien
|
(5
|
)
|
|
(13
|
)
|
|
1
|
|
|
(17
|
)
|
||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Closed-end second lien
|
(1
|
)
|
|
2
|
|
|
4
|
|
|
5
|
|
||||
HELOCs
|
(56
|
)
|
|
58
|
|
|
—
|
|
|
2
|
|
||||
Total second lien
|
(57
|
)
|
|
60
|
|
|
4
|
|
|
7
|
|
||||
Total U.S. RMBS
|
(62
|
)
|
|
47
|
|
|
5
|
|
|
(10
|
)
|
||||
Triple-X life insurance transactions
|
13
|
|
|
—
|
|
|
—
|
|
|
13
|
|
||||
TruPS
|
(1
|
)
|
|
—
|
|
|
(18
|
)
|
|
(19
|
)
|
||||
Other structured finance
|
4
|
|
|
—
|
|
|
2
|
|
|
6
|
|
||||
Structured Finance
|
(46
|
)
|
|
47
|
|
|
(11
|
)
|
|
(10
|
)
|
||||
Subtotal
|
$
|
(23
|
)
|
|
$
|
47
|
|
|
$
|
(11
|
)
|
|
13
|
|
|
Other
|
|
|
|
|
|
|
(1
|
)
|
|||||||
Total
|
|
|
|
|
|
|
$
|
12
|
|
|
March 31, 2015
|
|
December 31, 2014
|
Current Loans Modified in the Previous 12 Months
|
|
|
|
Alt A and Prime
|
25%
|
|
25%
|
Option ARM
|
25
|
|
25
|
Subprime
|
25
|
|
25
|
Current Loans Delinquent in the Previous 12 Months
|
|
|
|
Alt A and Prime
|
25
|
|
25
|
Option ARM
|
25
|
|
25
|
Subprime
|
25
|
|
25
|
30 – 59 Days Delinquent
|
|
|
|
Alt A and Prime
|
35
|
|
35
|
Option ARM
|
40
|
|
40
|
Subprime
|
35
|
|
35
|
60 – 89 Days Delinquent
|
|
|
|
Alt A and Prime
|
50
|
|
50
|
Option ARM
|
55
|
|
55
|
Subprime
|
40
|
|
40
|
90+ Days Delinquent
|
|
|
|
Alt A and Prime
|
60
|
|
60
|
Option ARM
|
65
|
|
65
|
Subprime
|
55
|
|
55
|
Bankruptcy
|
|
|
|
Alt A and Prime
|
45
|
|
45
|
Option ARM
|
50
|
|
50
|
Subprime
|
40
|
|
40
|
Foreclosure
|
|
|
|
Alt A and Prime
|
75
|
|
75
|
Option ARM
|
80
|
|
80
|
Subprime
|
70
|
|
70
|
Real Estate Owned
|
|
|
|
All
|
100
|
|
100
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||||||||
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
||||||
Alt-A First Lien
|
|
|
|
|
|
|
|
|
|
|
|
||
Plateau CDR
|
2.6
|
%
|
–
|
13.1%
|
|
7.4%
|
|
2.0
|
%
|
–
|
13.4%
|
|
7.3%
|
Intermediate CDR
|
0.5
|
%
|
–
|
2.6%
|
|
1.5%
|
|
0.4
|
%
|
–
|
2.7%
|
|
1.5%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
||||||
Final CDR
|
0.1
|
%
|
–
|
0.7%
|
|
0.3%
|
|
0.1
|
%
|
–
|
0.7%
|
|
0.3%
|
Initial loss severity:
|
|
|
|
|
|
|
|
||||||
2005 and prior
|
60.0%
|
|
|
|
60.0%
|
|
|
||||||
2006
|
70.0%
|
|
|
|
70.0%
|
|
|
||||||
2007
|
65.0%
|
|
|
|
65.0%
|
|
|
||||||
Initial conditional prepayment rate ("CPR")
|
2.7
|
%
|
–
|
22.4%
|
|
8.1%
|
|
1.7
|
%
|
–
|
21.0%
|
|
7.7%
|
Final CPR(2)
|
15.0
|
%
|
–
|
22.4%
|
|
15.2%
|
|
15%
|
|
|
|||
Option ARM
|
|
|
|
|
|
|
|
|
|
|
|
||
Plateau CDR
|
4.5
|
%
|
–
|
12.9%
|
|
9.9%
|
|
4.3
|
%
|
–
|
14.2%
|
|
10.6%
|
Intermediate CDR
|
0.9
|
%
|
–
|
2.6%
|
|
2.0%
|
|
0.9
|
%
|
–
|
2.8%
|
|
2.1%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
||||||
Final CDR
|
0.2
|
%
|
–
|
0.6%
|
|
0.5%
|
|
0.2
|
%
|
–
|
0.7%
|
|
0.5%
|
Initial loss severity:
|
|
|
|
|
|
|
|
||||||
2005 and prior
|
60.0%
|
|
|
|
60.0%
|
|
|
||||||
2006
|
70.0%
|
|
|
|
70.0%
|
|
|
||||||
2007
|
65.0%
|
|
|
|
65.0%
|
|
|
||||||
Initial CPR
|
1.8
|
%
|
–
|
12.7%
|
|
4.9%
|
|
1.1
|
%
|
–
|
11.8%
|
|
4.9%
|
Final CPR(2)
|
15%
|
|
|
|
15%
|
|
|
||||||
Subprime
|
|
|
|
|
|
|
|
|
|
|
|
||
Plateau CDR
|
4.8
|
%
|
–
|
14.4%
|
|
10.2%
|
|
4.9
|
%
|
–
|
15.0%
|
|
10.6%
|
Intermediate CDR
|
1.0
|
%
|
–
|
2.9%
|
|
2.0%
|
|
1.0
|
%
|
–
|
3.0%
|
|
2.1%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
||||||
Final CDR
|
0.2
|
%
|
–
|
0.7%
|
|
0.4%
|
|
0.2
|
%
|
–
|
0.7%
|
|
0.4%
|
Initial loss severity:
|
|
|
|
|
|
|
|
||||||
2005 and prior
|
75.0%
|
|
|
|
75.0%
|
|
|
||||||
2006
|
90.0%
|
|
|
|
90.0%
|
|
|
||||||
2007
|
90.0%
|
|
|
|
90.0%
|
|
|
||||||
Initial CPR
|
0.0
|
%
|
–
|
9.7%
|
|
4.7%
|
|
0.0
|
%
|
–
|
10.5%
|
|
6.1%
|
Final CPR(2)
|
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
March 31, 2015 |
|
As of
December 31, 2014 |
||||||||||
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
||||||
Plateau CDR
|
2.3
|
%
|
–
|
7.5%
|
|
4.4%
|
|
2.8
|
%
|
–
|
6.8%
|
|
4.1%
|
Final CDR trended down to
|
0.5
|
%
|
–
|
3.2%
|
|
1.2%
|
|
0.5
|
%
|
–
|
3.2%
|
|
1.2%
|
Period until final CDR
|
34 months
|
|
|
|
34 months
|
|
|
||||||
Initial CPR
|
6.9
|
%
|
–
|
23.2%
|
|
10.2%
|
|
6.9
|
%
|
–
|
21.8%
|
|
11.0%
|
Final CPR(2)
|
10.0
|
%
|
–
|
23.2%
|
|
15.2%
|
|
15.0
|
%
|
–
|
21.8%
|
|
15.5%
|
Loss severity
|
90.0
|
%
|
–
|
98.0%
|
|
90.4%
|
|
90.0
|
%
|
–
|
98.0%
|
|
90.4%
|
Closed-end second lien key assumptions
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||||||||
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
||||||
Plateau CDR
|
4.7
|
%
|
–
|
12.4%
|
|
6.9%
|
|
5.5
|
%
|
–
|
12.5%
|
|
7.2%
|
Final CDR trended down to
|
3.5
|
%
|
–
|
9.1%
|
|
4.9%
|
|
3.5
|
%
|
–
|
9.1%
|
|
4.9%
|
Period until final CDR
|
34 months
|
|
|
|
34 months
|
|
|
||||||
Initial CPR
|
3.4
|
%
|
–
|
11.8%
|
|
7.6%
|
|
2.8
|
%
|
–
|
13.9%
|
|
9.9%
|
Final CPR(2)
|
15%
|
|
|
|
15%
|
|
|
||||||
Loss severity
|
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
March 31, 2015
aggregate lifetime collateral losses on those transactions was
$4.2 billion
, and the Company was projecting in its base case that such collateral losses would eventually reach
$5.2 billion
. Bank of America's reimbursement obligation is secured by
$569 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
March 31, 2015
, 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
$95 million
of collateral held in trust for the Company's benefit.
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Estimated increase (decrease) in defaults that will result in additional (lower) breaches(1)
|
$
|
(52
|
)
|
|
$
|
0
|
|
Inclusion or removal of deals with breaches of R&W during period
|
0
|
|
|
—
|
|
||
Change in recovery assumptions
|
—
|
|
|
10
|
|
||
Settlements and anticipated settlements
|
—
|
|
|
35
|
|
||
Accretion of discount on balance
|
1
|
|
|
3
|
|
||
Total
|
$
|
(51
|
)
|
|
$
|
48
|
|
(1)
|
The negative R&W development is offset by higher anticipated cash flows in the covered transactions that were related to a third party settlement.
|
|
As of March 31, 2015
|
|
As of December 31, 2014
|
||||||||||||||||||||
|
Loss and
LAE
Reserve, net
|
|
Salvage and
Subrogation
Recoverable, net
|
|
Net Reserve (Recoverable)
|
|
Loss and
LAE
Reserve, net
|
|
Salvage and
Subrogation
Recoverable, net
|
|
Net Reserve (Recoverable)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
U.S. public finance
|
$
|
253
|
|
|
$
|
8
|
|
|
$
|
245
|
|
|
$
|
243
|
|
|
$
|
8
|
|
|
$
|
235
|
|
Non-U.S. public finance
|
28
|
|
|
—
|
|
|
28
|
|
|
30
|
|
|
—
|
|
|
30
|
|
||||||
Public Finance
|
281
|
|
|
8
|
|
|
273
|
|
|
273
|
|
|
8
|
|
|
265
|
|
||||||
Structured Finance:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Prime first lien
|
2
|
|
|
—
|
|
|
2
|
|
|
2
|
|
|
—
|
|
|
2
|
|
||||||
Alt-A first lien
|
80
|
|
|
—
|
|
|
80
|
|
|
87
|
|
|
—
|
|
|
87
|
|
||||||
Option ARM
|
24
|
|
|
42
|
|
|
(18
|
)
|
|
28
|
|
|
40
|
|
|
(12
|
)
|
||||||
Subprime
|
159
|
|
|
6
|
|
|
153
|
|
|
166
|
|
|
8
|
|
|
158
|
|
||||||
First lien
|
265
|
|
|
48
|
|
|
217
|
|
|
283
|
|
|
48
|
|
|
235
|
|
||||||
Second lien:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Closed-end second lien
|
5
|
|
|
37
|
|
|
(32
|
)
|
|
4
|
|
|
39
|
|
|
(35
|
)
|
||||||
HELOCs
|
2
|
|
|
29
|
|
|
(27
|
)
|
|
3
|
|
|
39
|
|
|
(36
|
)
|
||||||
Second lien
|
7
|
|
|
66
|
|
|
(59
|
)
|
|
7
|
|
|
78
|
|
|
(71
|
)
|
||||||
Total U.S. RMBS
|
272
|
|
|
114
|
|
|
158
|
|
|
290
|
|
|
126
|
|
|
164
|
|
||||||
Triple-X life insurance transactions
|
144
|
|
|
—
|
|
|
144
|
|
|
140
|
|
|
—
|
|
|
140
|
|
||||||
TruPS
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
—
|
|
|
0
|
|
||||||
Other structured finance
|
90
|
|
|
—
|
|
|
90
|
|
|
96
|
|
|
2
|
|
|
94
|
|
||||||
Structured Finance
|
506
|
|
|
114
|
|
|
392
|
|
|
526
|
|
|
128
|
|
|
398
|
|
||||||
Financial guaranty
|
787
|
|
|
122
|
|
|
665
|
|
|
799
|
|
|
136
|
|
|
663
|
|
||||||
Other recoverables
|
—
|
|
|
7
|
|
|
(7
|
)
|
|
—
|
|
|
13
|
|
|
(13
|
)
|
||||||
Subtotal
|
787
|
|
|
129
|
|
|
658
|
|
|
799
|
|
|
149
|
|
|
650
|
|
||||||
Effect of consolidating FG VIEs
|
(78
|
)
|
|
(1
|
)
|
|
(77
|
)
|
|
(80
|
)
|
|
(1
|
)
|
|
(79
|
)
|
||||||
Subtotal
|
709
|
|
|
128
|
|
|
581
|
|
|
719
|
|
|
148
|
|
|
571
|
|
||||||
Other
|
1
|
|
|
—
|
|
|
1
|
|
|
2
|
|
|
6
|
|
|
(4
|
)
|
||||||
Total (1)
|
$
|
710
|
|
|
$
|
128
|
|
|
$
|
582
|
|
|
$
|
721
|
|
|
$
|
154
|
|
|
$
|
567
|
|
(1)
|
See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components.
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||
|
(in millions)
|
||||||
Loss and LAE reserve
|
$
|
787
|
|
|
$
|
799
|
|
Reinsurance recoverable on unpaid losses
|
(77
|
)
|
|
(78
|
)
|
||
Loss and LAE reserve, net
|
710
|
|
|
721
|
|
||
Salvage and subrogation recoverable
|
(128
|
)
|
|
(151
|
)
|
||
Salvage and subrogation payable(1)
|
7
|
|
|
10
|
|
||
Other recoverables
|
(7
|
)
|
|
(13
|
)
|
||
Salvage and subrogation recoverable, net and other recoverable
|
(128
|
)
|
|
(154
|
)
|
||
Subtotal
|
582
|
|
|
567
|
|
||
Less: other (non-financial guaranty business)
|
1
|
|
|
(4
|
)
|
||
Net reserves (salvage) - financial guaranty
|
$
|
581
|
|
|
$
|
571
|
|
(1)
|
Recorded as a component of reinsurance balances payable.
|
|
As of March 31, 2015
|
|
As of December 31, 2014
|
||||||||||||||||||||
|
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
|
$
|
2
|
|
|
$
|
—
|
|
|
$
|
2
|
|
|
$
|
20
|
|
|
$
|
—
|
|
|
$
|
20
|
|
Loss and LAE reserve, net
|
146
|
|
|
(8
|
)
|
|
138
|
|
|
185
|
|
|
(8
|
)
|
|
177
|
|
(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
March 31, 2015 |
||
|
(in millions)
|
||
Net expected loss to be paid
|
$
|
1,111
|
|
Less: net expected loss to be paid for FG VIEs
|
122
|
|
|
Total
|
989
|
|
|
Contra-paid, net
|
(93
|
)
|
|
Salvage and subrogation recoverable, net of reinsurance
|
121
|
|
|
Loss and LAE reserve, net of reinsurance
|
(709
|
)
|
|
Other recoveries
|
7
|
|
|
Net expected loss to be expensed (present value) (1)
|
$
|
315
|
|
(1)
|
Excludes
$86 million
as of
March 31, 2015
, related to consolidated FG VIEs.
|
|
As of
March 31, 2015 |
||
|
(in millions)
|
||
2015 (April 1 – June 30)
|
$
|
7
|
|
2015 (July 1 – September 30)
|
9
|
|
|
2015 (October 1 – December 31)
|
11
|
|
|
Subtotal 2015
|
27
|
|
|
2016
|
36
|
|
|
2017
|
27
|
|
|
2018
|
25
|
|
|
2019
|
23
|
|
|
2020-2024
|
77
|
|
|
2025-2029
|
45
|
|
|
2030-2034
|
34
|
|
|
After 2034
|
21
|
|
|
Net expected loss to be expensed
|
315
|
|
|
Discount
|
389
|
|
|
Total expected future loss and LAE
|
$
|
704
|
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Public Finance:
|
|
|
|
||||
U.S. public finance
|
$
|
13
|
|
|
$
|
26
|
|
Non-U.S. public finance
|
5
|
|
|
1
|
|
||
Public finance
|
18
|
|
|
27
|
|
||
Structured Finance:
|
|
|
|
||||
U.S. RMBS:
|
|
|
|
||||
First lien:
|
|
|
|
||||
Prime first lien
|
0
|
|
|
0
|
|
||
Alt-A first lien
|
(2
|
)
|
|
7
|
|
||
Option ARM
|
(1
|
)
|
|
(8
|
)
|
||
Subprime
|
0
|
|
|
(8
|
)
|
||
First lien
|
(3
|
)
|
|
(9
|
)
|
||
Second lien:
|
|
|
|
||||
Closed-end second lien
|
1
|
|
|
—
|
|
||
HELOCs
|
9
|
|
|
8
|
|
||
Second lien
|
10
|
|
|
8
|
|
||
Total U.S. RMBS
|
7
|
|
|
(1
|
)
|
||
Triple-X life insurance transactions
|
6
|
|
|
13
|
|
||
TruPS
|
(1
|
)
|
|
(1
|
)
|
||
Other structured finance
|
(6
|
)
|
|
3
|
|
||
Structured finance
|
6
|
|
|
14
|
|
||
Subtotal
|
24
|
|
|
41
|
|
||
Other
|
(1
|
)
|
|
(1
|
)
|
||
Loss and LAE on insurance contracts before FG VIE consolidation
|
23
|
|
|
40
|
|
||
Effect of consolidating FG VIEs
|
(5
|
)
|
|
1
|
|
||
Loss and LAE
|
$
|
18
|
|
|
$
|
41
|
|
|
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
|
|
|
(61
|
)
|
|
73
|
|
|
(15
|
)
|
|
119
|
|
|
(38
|
)
|
|
356
|
|
|
—
|
|
|
356
|
|
|||||||||
Remaining weighted-average contract period (in years)
|
9.8
|
|
|
7.2
|
|
|
8.7
|
|
|
7.2
|
|
|
9.9
|
|
|
7.3
|
|
|
10.1
|
|
|
—
|
|
|
10.1
|
|
|||||||||
Outstanding exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Principal
|
$
|
11,993
|
|
|
$
|
(2,106
|
)
|
|
$
|
2,701
|
|
|
$
|
(356
|
)
|
|
$
|
2,847
|
|
|
$
|
(142
|
)
|
|
$
|
14,937
|
|
|
$
|
—
|
|
|
$
|
14,937
|
|
Interest
|
6,082
|
|
|
(792
|
)
|
|
1,262
|
|
|
(127
|
)
|
|
1,013
|
|
|
(45
|
)
|
|
7,393
|
|
|
—
|
|
|
7,393
|
|
|||||||||
Total(2)
|
$
|
18,075
|
|
|
$
|
(2,898
|
)
|
|
$
|
3,963
|
|
|
$
|
(483
|
)
|
|
$
|
3,860
|
|
|
$
|
(187
|
)
|
|
$
|
22,330
|
|
|
$
|
—
|
|
|
$
|
22,330
|
|
Expected cash outflows (inflows)
|
$
|
1,655
|
|
|
$
|
(616
|
)
|
|
$
|
759
|
|
|
$
|
(84
|
)
|
|
$
|
1,721
|
|
|
$
|
(91
|
)
|
|
$
|
3,344
|
|
|
$
|
(343
|
)
|
|
$
|
3,001
|
|
Potential recoveries
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Undiscounted R&W
|
(1
|
)
|
|
(1
|
)
|
|
(47
|
)
|
|
2
|
|
|
(133
|
)
|
|
7
|
|
|
(173
|
)
|
|
8
|
|
|
(165
|
)
|
|||||||||
Other(3)
|
(1,583
|
)
|
|
600
|
|
|
(271
|
)
|
|
18
|
|
|
(449
|
)
|
|
47
|
|
|
(1,638
|
)
|
|
180
|
|
|
(1,458
|
)
|
|||||||||
Total potential recoveries
|
(1,584
|
)
|
|
599
|
|
|
(318
|
)
|
|
20
|
|
|
(582
|
)
|
|
54
|
|
|
(1,811
|
)
|
|
188
|
|
|
(1,623
|
)
|
|||||||||
Subtotal
|
71
|
|
|
(17
|
)
|
|
441
|
|
|
(64
|
)
|
|
1,139
|
|
|
(37
|
)
|
|
1,533
|
|
|
(155
|
)
|
|
1,378
|
|
|||||||||
Discount
|
(7
|
)
|
|
0
|
|
|
(96
|
)
|
|
10
|
|
|
(336
|
)
|
|
7
|
|
|
(422
|
)
|
|
33
|
|
|
(389
|
)
|
|||||||||
Present value of expected cash flows
|
$
|
64
|
|
|
$
|
(17
|
)
|
|
$
|
345
|
|
|
$
|
(54
|
)
|
|
$
|
803
|
|
|
$
|
(30
|
)
|
|
$
|
1,111
|
|
|
$
|
(122
|
)
|
|
$
|
989
|
|
Deferred premium revenue
|
$
|
402
|
|
|
$
|
(75
|
)
|
|
$
|
104
|
|
|
$
|
(6
|
)
|
|
$
|
268
|
|
|
$
|
(25
|
)
|
|
$
|
668
|
|
|
$
|
(111
|
)
|
|
$
|
557
|
|
Reserves (salvage)(4)
|
$
|
(10
|
)
|
|
$
|
(7
|
)
|
|
$
|
269
|
|
|
$
|
(52
|
)
|
|
$
|
468
|
|
|
$
|
(10
|
)
|
|
$
|
658
|
|
|
$
|
(77
|
)
|
|
$
|
581
|
|
|
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
|
|
(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).”
|
7.
|
Fair Value Measurement
|
◦
|
the profit the originator, usually an investment bank, realizes for putting the deal together and funding the transaction (“bank profit”);
|
◦
|
premiums paid to the Company for the Company’s credit protection provided (“net spread”); and
|
◦
|
the cost of CDS protection purchased by the originator to hedge their counterparty credit risk exposure to the Company (“hedge cost”).
|
•
|
Actual collateral specific credit spreads (if up-to-date and reliable market-based spreads are available).
|
•
|
Deals priced or closed during a specific quarter within a specific asset class and specific rating. 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
March 31, 2015 |
|
As of
December 31, 2014 |
||
Based on actual collateral specific spreads
|
9
|
%
|
|
9
|
%
|
Based on market indices
|
81
|
%
|
|
82
|
%
|
Provided by the CDS counterparty
|
10
|
%
|
|
9
|
%
|
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
March 31, 2015
and
December 31, 2014
, 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
|
$
|
5,458
|
|
|
$
|
—
|
|
|
$
|
5,450
|
|
|
$
|
8
|
|
U.S. government and agencies
|
497
|
|
|
—
|
|
|
497
|
|
|
—
|
|
||||
Corporate securities
|
1,399
|
|
|
—
|
|
|
1,320
|
|
|
79
|
|
||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,185
|
|
|
—
|
|
|
802
|
|
|
383
|
|
||||
Commercial mortgage-backed securities ("CMBS")
|
600
|
|
|
—
|
|
|
600
|
|
|
—
|
|
||||
Asset-backed securities
|
401
|
|
|
—
|
|
|
175
|
|
|
226
|
|
||||
Foreign government securities
|
293
|
|
|
—
|
|
|
293
|
|
|
—
|
|
||||
Total fixed-maturity securities
|
9,833
|
|
|
—
|
|
|
9,137
|
|
|
696
|
|
||||
Short-term investments
|
349
|
|
|
172
|
|
|
177
|
|
|
—
|
|
||||
Other invested assets (1)
|
107
|
|
|
0
|
|
|
26
|
|
|
81
|
|
||||
Credit derivative assets
|
77
|
|
|
—
|
|
|
—
|
|
|
77
|
|
||||
FG VIEs’ assets, at fair value (2)
|
1,495
|
|
|
—
|
|
|
—
|
|
|
1,495
|
|
||||
Other assets
|
84
|
|
|
30
|
|
|
17
|
|
|
37
|
|
||||
Total assets carried at fair value
|
$
|
11,945
|
|
|
$
|
202
|
|
|
$
|
9,357
|
|
|
$
|
2,386
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Credit derivative liabilities
|
$
|
859
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
859
|
|
FG VIEs’ liabilities with recourse, at fair value
|
1,278
|
|
|
—
|
|
|
—
|
|
|
1,278
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
145
|
|
|
—
|
|
|
—
|
|
|
145
|
|
||||
Total liabilities carried at fair value
|
$
|
2,282
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,282
|
|
|
|
|
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
|
|
|
0
|
|
|
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
|
|
(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, 2014
|
$
|
38
|
|
|
|
$
|
79
|
|
|
$
|
425
|
|
|
|
$
|
228
|
|
|
|
$
|
78
|
|
|
$
|
1,398
|
|
|
|
$
|
35
|
|
|
|
$
|
(895
|
)
|
|
$
|
(1,277
|
)
|
|
$
|
(142
|
)
|
|
|||||
Total pretax realized and unrealized gains/(losses) recorded in:(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Net income (loss)
|
3
|
|
(2
|
)
|
2
|
|
(2
|
)
|
9
|
|
(2
|
)
|
(2
|
)
|
(2
|
)
|
(4
|
)
|
(2
|
)
|
23
|
|
(3
|
)
|
2
|
|
(4
|
)
|
124
|
|
(6
|
)
|
93
|
|
(3
|
)
|
(5
|
)
|
(3
|
)
|
||||||||||
Other comprehensive income (loss)
|
(2
|
)
|
|
|
(2
|
)
|
|
5
|
|
|
|
1
|
|
|
|
2
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||||
Purchases
|
—
|
|
|
|
—
|
|
|
9
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||||
Settlements
|
(31
|
)
|
(7
|
)
|
—
|
|
|
(65
|
)
|
|
(1
|
)
|
|
0
|
|
|
(30
|
)
|
|
—
|
|
|
|
(11
|
)
|
|
|
37
|
|
|
|
2
|
|
|
|
|||||||||||||||
FG VIE consolidations
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
104
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(131
|
)
|
|
—
|
|
|
|
|||||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||||||||||||||||||
Fair value as of March 31, 2015
|
$
|
8
|
|
|
|
$
|
79
|
|
|
$
|
383
|
|
|
|
$
|
226
|
|
|
|
$
|
76
|
|
|
$
|
1,495
|
|
|
|
$
|
37
|
|
|
|
$
|
(782
|
)
|
|
$
|
(1,278
|
)
|
|
$
|
(145
|
)
|
|
|||||
Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2015
|
$
|
0
|
|
|
$
|
(2
|
)
|
|
$
|
7
|
|
|
$
|
1
|
|
|
$
|
2
|
|
|
$
|
34
|
|
|
$
|
2
|
|
|
$
|
103
|
|
|
$
|
(6
|
)
|
|
$
|
(4
|
)
|
|
|
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)
|
1
|
|
(2
|
)
|
3
|
|
(2
|
)
|
4
|
|
(2
|
)
|
7
|
|
(2
|
)
|
—
|
|
|
82
|
|
(3
|
)
|
(9
|
)
|
(4
|
)
|
(211
|
)
|
(6
|
)
|
(72
|
)
|
(3
|
)
|
(9
|
)
|
(3
|
)
|
|||||||||||
Other comprehensive income (loss)
|
1
|
|
|
4
|
|
|
14
|
|
|
8
|
|
|
|
1
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||||||
Purchases
|
—
|
|
|
—
|
|
|
53
|
|
|
—
|
|
|
45
|
|
(7
|
)
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||||||
Settlements
|
—
|
|
|
(5
|
)
|
|
(15
|
)
|
|
(31
|
)
|
|
—
|
|
|
(286
|
)
|
|
—
|
|
|
|
(19
|
)
|
|
|
269
|
|
|
|
12
|
|
|
|
||||||||||||||||
FG VIE consolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
|||||||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
13
|
|
|
—
|
|
|
—
|
|
|
(1,104
|
)
|
|
—
|
|
|
—
|
|
|
247
|
|
|
977
|
|
|
||||||||||||||||||||
Fair value as of March 31, 2014
|
$
|
38
|
|
|
$
|
138
|
|
|
$
|
359
|
|
|
$
|
252
|
|
|
|
$
|
48
|
|
|
$
|
1,257
|
|
|
$
|
37
|
|
|
$
|
(1,923
|
)
|
|
$
|
(1,346
|
)
|
|
$
|
(101
|
)
|
|
|||||||||
Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2014
|
$
|
1
|
|
|
$
|
4
|
|
|
$
|
15
|
|
|
$
|
7
|
|
|
$
|
1
|
|
|
$
|
25
|
|
|
$
|
(9
|
)
|
|
$
|
(232
|
)
|
|
$
|
(28
|
)
|
|
$
|
(10
|
)
|
|
(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)
|
Includes a non-cash transaction.
|
Financial Instrument Description (1)
|
|
Fair Value at
March 31, 2015 (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
|
|
$
|
8
|
|
|
Rate of inflation
|
|
1.0
|
%
|
-
|
3.0%
|
|
2.0%
|
|
|
|
Cash flow receipts
|
|
0.5
|
%
|
-
|
20.9%
|
|
12.9%
|
|||||
|
|
Yield
|
|
4.6%
|
|
|
||||||||
|
|
Collateral recovery period
|
|
4 months
|
|
-
|
8.3 years
|
|
4.3 years
|
|||||
|
|
|
|
|
|
|
|
|
|
|
||||
Corporate securities
|
|
79
|
|
|
Yield
|
|
18.0%
|
|
|
|||||
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
RMBS
|
|
383
|
|
|
CPR
|
|
0.3
|
%
|
-
|
7.5%
|
|
3.4%
|
||
|
|
CDR
|
|
2.4
|
%
|
-
|
11.6%
|
|
5.5%
|
|||||
|
|
Loss severity
|
|
50.0
|
%
|
-
|
100.0%
|
|
72.4%
|
|||||
|
|
Yield
|
|
4.2
|
%
|
-
|
10.0%
|
|
5.9%
|
|||||
Asset-backed securities:
|
|
|
|
|
|
|
|
|
|
|
||||
Investor owned utility
|
|
96
|
|
|
Cash flow receipts
|
|
100.0%
|
|
|
|||||
|
|
Collateral recovery period
|
|
3.8 years
|
|
|
||||||||
|
|
Discount factor
|
|
7.0%
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Triple-X life insurance transactions
|
|
130
|
|
|
Yield
|
|
6.8%
|
|
|
|||||
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Other invested assets
|
|
81
|
|
|
Discount for lack of liquidity
|
|
20.0%
|
|
|
|||||
|
|
Recovery on delinquent loans
|
|
40.0%
|
|
|
||||||||
|
|
Default rates
|
|
0.0
|
%
|
-
|
7.0%
|
|
6.1%
|
|||||
|
|
Loss severity
|
|
40.0
|
%
|
-
|
75.0%
|
|
68.7%
|
|||||
|
|
Prepayment speeds
|
|
6.0
|
%
|
-
|
15.0%
|
|
12.0%
|
|||||
|
|
Net asset value (per share)
|
|
$
|
966
|
|
-
|
$1,147
|
|
$1,046
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
FG VIEs’ assets, at fair value
|
|
1,495
|
|
|
CPR
|
|
0.3
|
%
|
-
|
11.0%
|
|
2.6%
|
||
|
|
CDR
|
|
1.7
|
%
|
-
|
13.1%
|
|
4.2%
|
|||||
|
|
Loss severity
|
|
36.0
|
%
|
-
|
100.0%
|
|
64.2%
|
|||||
|
|
Yield
|
|
2.7
|
%
|
-
|
16.7%
|
|
6.4%
|
Financial Instrument Description (1)
|
|
Fair Value at
March 31, 2015 (in millions) |
|
Significant Unobservable Inputs
|
|
Range
|
|
Weighted Average as a Percentage of Current Par Outstanding
|
|||||
Other assets
|
|
37
|
|
|
Quotes from third party pricing
|
|
$
|
51
|
|
-
|
$60
|
|
$56
|
|
|
Term (years)
|
|
5 years
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||
Credit derivative liabilities, net
|
|
(782
|
)
|
|
Year 1 loss estimates
|
|
0.0
|
%
|
-
|
50.0%
|
|
1.7%
|
|
|
|
Hedge cost (in bps)
|
|
15.0
|
|
-
|
255.8
|
|
57.4
|
||||
|
|
Bank profit (in bps)
|
|
1.0
|
|
-
|
990.0
|
|
124.8
|
||||
|
|
Internal floor (in bps)
|
|
7.0
|
|
-
|
100.0
|
|
16.3
|
||||
|
|
Internal credit rating
|
|
AAA
|
|
-
|
CCC
|
|
AA
|
||||
|
|
|
|
|
|
|
|
|
|
|
|||
FG VIEs’ liabilities, at fair value
|
|
(1,423
|
)
|
|
CPR
|
|
0.3
|
%
|
-
|
11.0%
|
|
2.6%
|
|
|
|
CDR
|
|
1.7
|
%
|
-
|
13.1%
|
|
4.2%
|
||||
|
|
Loss severity
|
|
36.0
|
%
|
-
|
100.0%
|
|
64.2%
|
||||
|
|
Yield
|
|
2.7
|
%
|
-
|
16.7%
|
|
5.5%
|
(1)
|
Discounted cash flow is used as valuation technique for all financial instruments.
|
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%
|
|||||
|
|
Discount rates
|
|
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%
|
|
|
|||||
|
|
Collateral recovery period
|
|
4 years
|
|
|
||||||||
|
|
Discount factor
|
|
7.0%
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Triple-X 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.
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||||||||||
|
Carrying
Amount
|
|
Estimated
Fair Value
|
|
Carrying
Amount
|
|
Estimated
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Fixed-maturity securities
|
$
|
9,833
|
|
|
$
|
9,833
|
|
|
$
|
10,491
|
|
|
$
|
10,491
|
|
Short-term investments
|
349
|
|
|
349
|
|
|
767
|
|
|
767
|
|
||||
Other invested assets
|
114
|
|
|
116
|
|
|
108
|
|
|
110
|
|
||||
Credit derivative assets
|
77
|
|
|
77
|
|
|
68
|
|
|
68
|
|
||||
FG VIEs’ assets, at fair value
|
1,495
|
|
|
1,495
|
|
|
1,398
|
|
|
1,398
|
|
||||
Other assets
|
189
|
|
|
189
|
|
|
184
|
|
|
184
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Financial guaranty insurance contracts(1)
|
3,719
|
|
|
6,343
|
|
|
3,823
|
|
|
6,205
|
|
||||
Long-term debt
|
1,304
|
|
|
1,609
|
|
|
1,303
|
|
|
1,603
|
|
||||
Credit derivative liabilities
|
859
|
|
|
859
|
|
|
963
|
|
|
963
|
|
||||
FG VIEs’ liabilities with recourse, at fair value
|
1,278
|
|
|
1,278
|
|
|
1,277
|
|
|
1,277
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
145
|
|
|
145
|
|
|
142
|
|
|
142
|
|
||||
Other liabilities
|
72
|
|
|
72
|
|
|
27
|
|
|
27
|
|
(1)
|
Carrying amount includes the assets and liabilities related to financial guaranty insurance contract premiums, losses, and salvage and subrogation and other recoverables net of reinsurance.
|
8.
|
Financial Guaranty Contracts Accounted for as Credit Derivatives
|
|
|
As of March 31, 2015
|
|
As of December 31, 2014
|
||||||||||||||||||||
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
|
|
$
|
10,372
|
|
|
32.0
|
%
|
|
37.7
|
%
|
|
AAA
|
|
$
|
11,688
|
|
|
32.0
|
%
|
|
36.9
|
%
|
|
AAA
|
Synthetic investment grade pooled corporate
|
|
6,363
|
|
|
22.3
|
|
|
20.2
|
|
|
AAA
|
|
7,640
|
|
|
22.6
|
|
|
20.6
|
|
|
AAA
|
||
TruPS CDOs
|
|
2,948
|
|
|
45.6
|
|
|
37.5
|
|
|
BBB-
|
|
3,119
|
|
|
45.3
|
|
|
35.8
|
|
|
BBB-
|
||
Market value CDOs of corporate obligations
|
|
1,052
|
|
|
17.0
|
|
|
15.7
|
|
|
AAA
|
|
1,174
|
|
|
19.1
|
|
|
20.7
|
|
|
AAA
|
||
Total pooled corporate obligations
|
|
20,735
|
|
|
30.2
|
|
|
31.2
|
|
|
AAA
|
|
23,621
|
|
|
30.1
|
|
|
30.7
|
|
|
AAA
|
||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Option ARM and Alt-A first lien
|
|
1,321
|
|
|
16.2
|
|
|
10.5
|
|
|
BB+
|
|
1,378
|
|
|
16.3
|
|
|
10.7
|
|
|
BB+
|
||
Subprime first lien
|
|
1,315
|
|
|
31.3
|
|
|
49.9
|
|
|
A
|
|
1,366
|
|
|
31.1
|
|
|
50.5
|
|
|
A
|
||
Prime first lien
|
|
213
|
|
|
10.9
|
|
|
0.0
|
|
|
B
|
|
223
|
|
|
10.9
|
|
|
0.0
|
|
|
B
|
||
Closed-end second lien
|
|
19
|
|
|
—
|
|
|
—
|
|
|
CCC
|
|
19
|
|
|
—
|
|
|
—
|
|
|
CCC
|
||
Total U.S. RMBS
|
|
2,868
|
|
|
24.8
|
|
|
33.3
|
|
|
BBB
|
|
2,986
|
|
|
24.8
|
|
|
33.9
|
|
|
BBB
|
||
CMBS
|
|
1,785
|
|
|
35.9
|
|
|
45.5
|
|
|
AAA
|
|
1,952
|
|
|
35.3
|
|
|
43.6
|
|
|
AAA
|
||
Other
|
|
6,343
|
|
|
—
|
|
|
—
|
|
|
A
|
|
6,437
|
|
|
—
|
|
|
—
|
|
|
A
|
||
Total
|
|
$
|
31,731
|
|
|
|
|
|
|
|
|
AA
|
|
$
|
34,996
|
|
|
|
|
|
|
|
|
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 March 31, 2015
|
|
As of December 31, 2014
|
||||||||||
Ratings
|
|
Net Par
Outstanding
|
|
% of Total
|
|
Net Par
Outstanding
|
|
% of Total
|
||||||
|
|
(dollars in millions)
|
||||||||||||
AAA
|
|
$
|
19,132
|
|
|
60.3
|
%
|
|
$
|
21,817
|
|
|
62.3
|
%
|
AA
|
|
5,195
|
|
|
16.4
|
|
|
5,398
|
|
|
15.4
|
|
||
A
|
|
1,865
|
|
|
5.9
|
|
|
1,982
|
|
|
5.7
|
|
||
BBB
|
|
2,616
|
|
|
8.2
|
|
|
2,774
|
|
|
8.0
|
|
||
BIG
|
|
2,923
|
|
|
9.2
|
|
|
3,025
|
|
|
8.6
|
|
||
Credit derivative net par outstanding
|
|
$
|
31,731
|
|
|
100.0
|
%
|
|
$
|
34,996
|
|
|
100.0
|
%
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Realized gains on credit derivatives (1)
|
$
|
23
|
|
|
$
|
20
|
|
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
|
(2
|
)
|
|
(1
|
)
|
||
Realized gains (losses) and other settlements on credit derivatives
|
21
|
|
|
19
|
|
||
Net change in unrealized gains (losses) on credit derivatives:
|
|
|
|
||||
Pooled corporate obligations
|
17
|
|
|
(58
|
)
|
||
U.S. RMBS
|
75
|
|
|
(140
|
)
|
||
CMBS
|
0
|
|
|
0
|
|
||
Other
|
11
|
|
|
(32
|
)
|
||
Net change in unrealized gains (losses) on credit derivatives
|
103
|
|
|
(230
|
)
|
||
Net change in fair value of credit derivatives
|
$
|
124
|
|
|
$
|
(211
|
)
|
(1)
|
Includes realized gain due to terminations of CDS contracts of
$11 million
and
$0.2 million
for First Quarter 2015 and First Quarter 2014, respectively. Net par of
$93 million
and
$1.1 billion
were terminated in
First Quarter 2015
and
First Quarter 2014
, respectively. CDS terminations reflect a payment received from the resolution of a dispute related to a termination of CDS in 2008.
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
|
As of
March 31, 2014 |
|
As of
December 31, 2013 |
||||
AGC
|
317
|
|
|
323
|
|
|
291
|
|
|
460
|
|
AGM
|
341
|
|
|
325
|
|
|
305
|
|
|
525
|
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
|
As of
March 31, 2014 |
|
As of
December 31, 2013 |
||||
AGC
|
60
|
|
|
80
|
|
|
55
|
|
|
185
|
|
AGM
|
80
|
|
|
85
|
|
|
70
|
|
|
220
|
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||
|
(in millions)
|
||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads
|
$
|
(1,820
|
)
|
|
$
|
(2,029
|
)
|
Plus: Effect of AGC and AGM credit spreads
|
1,038
|
|
|
1,134
|
|
||
Net fair value of credit derivatives
|
$
|
(782
|
)
|
|
$
|
(895
|
)
|
|
|
Fair Value of Credit Derivative
Asset (Liability), net
|
|
Expected Loss to be (Paid) Recovered (1)
|
||||||||||||
Asset Type
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||||||
|
|
(in millions)
|
||||||||||||||
Pooled corporate obligations
|
|
$
|
(22
|
)
|
|
$
|
(49
|
)
|
|
$
|
(13
|
)
|
|
$
|
(23
|
)
|
U.S. RMBS
|
|
(419
|
)
|
|
(494
|
)
|
|
(66
|
)
|
|
(73
|
)
|
||||
CMBS
|
|
0
|
|
|
0
|
|
|
—
|
|
|
—
|
|
||||
Other
|
|
(341
|
)
|
|
(352
|
)
|
|
37
|
|
|
38
|
|
||||
Total
|
|
$
|
(782
|
)
|
|
$
|
(895
|
)
|
|
$
|
(42
|
)
|
|
$
|
(58
|
)
|
(1)
|
Includes R&W benefit of $
75 million
as of
March 31, 2015
and $
86 million
as of
December 31, 2014
.
|
•
|
For approximately
$5.5 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 $
241 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
|
|
$
|
(1,590
|
)
|
|
$
|
(808
|
)
|
50% widening in spreads
|
|
(1,186
|
)
|
|
(404
|
)
|
||
25% widening in spreads
|
|
(986
|
)
|
|
(204
|
)
|
||
10% widening in spreads
|
|
(864
|
)
|
|
(82
|
)
|
||
Base Scenario
|
|
(782
|
)
|
|
—
|
|
||
10% narrowing in spreads
|
|
(706
|
)
|
|
76
|
|
||
25% narrowing in spreads
|
|
(593
|
)
|
|
189
|
|
||
50% narrowing in spreads
|
|
(407
|
)
|
|
375
|
|
(1)
|
Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread.
|
9.
|
Consolidated Variable Interest Entities
|
|
First Quarter
|
||||
|
2015
|
|
2014
|
||
|
|
||||
Beginning of the period, December 31
|
32
|
|
|
40
|
|
Consolidated (1)
|
1
|
|
|
—
|
|
Deconsolidated (1)
|
—
|
|
|
(7
|
)
|
Matured
|
—
|
|
|
(2
|
)
|
End of the period, March 31
|
33
|
|
|
31
|
|
(1)
|
Net loss on consolidation was
$26 million
in
First Quarter 2015
, and net gain on deconsolidation was
$120 million
in
First Quarter 2014
, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations.
|
|
As of March 31, 2015
|
|
As of December 31, 2014
|
||||||||||||
|
Assets
|
|
Liabilities
|
|
Assets
|
|
Liabilities
|
||||||||
|
(in millions)
|
||||||||||||||
With recourse:
|
|
|
|
|
|
|
|
|
|
|
|
||||
U.S. RMBS first lien
|
$
|
739
|
|
|
$
|
591
|
|
|
$
|
632
|
|
|
$
|
581
|
|
U.S. RMBS second lien
|
228
|
|
|
322
|
|
|
238
|
|
|
327
|
|
||||
Other
|
365
|
|
|
365
|
|
|
369
|
|
|
369
|
|
||||
Total with recourse
|
1,332
|
|
|
1,278
|
|
|
1,239
|
|
|
1,277
|
|
||||
Without recourse
|
167
|
|
|
145
|
|
|
163
|
|
|
142
|
|
||||
Total
|
$
|
1,499
|
|
|
$
|
1,423
|
|
|
$
|
1,402
|
|
|
$
|
1,419
|
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
|
||||||
Net earned premiums
|
$
|
(5
|
)
|
|
$
|
(17
|
)
|
Net investment income
|
(3
|
)
|
|
(3
|
)
|
||
Fair value gains (losses) on FG VIEs
|
(7
|
)
|
|
157
|
|
||
Other income (loss)
|
0
|
|
|
(2
|
)
|
||
Loss and LAE
|
5
|
|
|
(1
|
)
|
||
Effect on net income before tax
|
(10
|
)
|
|
134
|
|
||
Less: tax provision (benefit)
|
(4
|
)
|
|
47
|
|
||
Effect on net income (loss)
|
$
|
(6
|
)
|
|
$
|
87
|
|
|
|
|
|
||||
Effect on cash flows from operating activities
|
$
|
18
|
|
|
$
|
(8
|
)
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||
|
(in millions)
|
||||||
Effect on shareholders’ equity (decrease) increase
|
$
|
(49
|
)
|
|
$
|
(44
|
)
|
10.
|
Investments and Cash
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Income from fixed-maturity securities managed by third parties
|
$
|
82
|
|
|
$
|
80
|
|
Income from internally managed securities:
|
|
|
|
||||
Fixed maturities
|
15
|
|
|
20
|
|
||
Other invested assets
|
6
|
|
|
5
|
|
||
Gross investment income
|
103
|
|
|
105
|
|
||
Investment expenses
|
(2
|
)
|
|
(2
|
)
|
||
Net investment income
|
$
|
101
|
|
|
$
|
103
|
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Gross realized gains on available-for-sale securities
|
$
|
24
|
|
|
$
|
4
|
|
Gross realized gains on other assets in investment portfolio
|
1
|
|
|
5
|
|
||
Gross realized losses on available-for-sale securities
|
(1
|
)
|
|
(2
|
)
|
||
Gross realized losses on other assets in investment portfolio
|
(1
|
)
|
|
0
|
|
||
Other-than-temporary impairment
|
(7
|
)
|
|
(5
|
)
|
||
Net realized investment gains (losses)
|
$
|
16
|
|
|
$
|
2
|
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Balance, beginning of period
|
$
|
124
|
|
|
$
|
80
|
|
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized
|
—
|
|
|
1
|
|
||
Reductions for securities sold and other settlement during the period
|
(21
|
)
|
|
—
|
|
||
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized
|
3
|
|
|
4
|
|
||
Balance, end of period
|
$
|
106
|
|
|
$
|
85
|
|
Investment Category
|
|
Percent
of
Total(1)
|
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Estimated
Fair
Value
|
|
AOCI(2)
Gain
(Loss) on
Securities
with
Other-Than-Temporary Impairment
|
|
Weighted
Average
Credit
Rating
(3)
|
|||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Obligations of state and political subdivisions
|
|
52
|
%
|
|
$
|
5,099
|
|
|
$
|
361
|
|
|
$
|
(2
|
)
|
|
$
|
5,458
|
|
|
$
|
4
|
|
|
AA
|
U.S. government and agencies
|
|
5
|
|
|
464
|
|
|
33
|
|
|
0
|
|
|
497
|
|
|
—
|
|
|
AA+
|
|||||
Corporate securities
|
|
14
|
|
|
1,340
|
|
|
65
|
|
|
(6
|
)
|
|
1,399
|
|
|
(4
|
)
|
|
A
|
|||||
Mortgage-backed securities(4):
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
RMBS
|
|
12
|
|
|
1,145
|
|
|
56
|
|
|
(16
|
)
|
|
1,185
|
|
|
5
|
|
|
A
|
|||||
CMBS
|
|
6
|
|
|
573
|
|
|
27
|
|
|
0
|
|
|
600
|
|
|
—
|
|
|
AAA
|
|||||
Asset-backed securities
|
|
4
|
|
|
394
|
|
|
7
|
|
|
—
|
|
|
401
|
|
|
3
|
|
|
BBB-
|
|||||
Foreign government securities
|
|
3
|
|
|
295
|
|
|
6
|
|
|
(8
|
)
|
|
293
|
|
|
0
|
|
|
AA+
|
|||||
Total fixed-maturity securities
|
|
96
|
|
|
9,310
|
|
|
555
|
|
|
(32
|
)
|
|
9,833
|
|
|
8
|
|
|
AA-
|
|||||
Short-term investments
|
|
4
|
|
|
349
|
|
|
0
|
|
|
0
|
|
|
349
|
|
|
—
|
|
|
AAA
|
|||||
Total investment portfolio
|
|
100
|
%
|
|
$
|
9,659
|
|
|
$
|
555
|
|
|
$
|
(32
|
)
|
|
$
|
10,182
|
|
|
$
|
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
Rating
(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-
|
(1)
|
Based on amortized cost.
|
(2)
|
Accumulated OCI. See also Note 17, Shareholders' Equity.
|
(3)
|
Ratings in the tables above represent the lower of the Moody’s and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company’s portfolio consists primarily of high-quality, liquid instruments.
|
(4)
|
Government-agency obligations were approximately
47%
of mortgage backed securities as of
March 31, 2015
and
44%
as of
December 31, 2014
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
|
$
|
189
|
|
|
$
|
(2
|
)
|
|
$
|
5
|
|
|
$
|
0
|
|
|
$
|
194
|
|
|
$
|
(2
|
)
|
U.S. government and agencies
|
26
|
|
|
0
|
|
|
12
|
|
|
0
|
|
|
38
|
|
|
0
|
|
||||||
Corporate securities
|
194
|
|
|
(6
|
)
|
|
5
|
|
|
0
|
|
|
199
|
|
|
(6
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
RMBS
|
94
|
|
|
(1
|
)
|
|
85
|
|
|
(15
|
)
|
|
179
|
|
|
(16
|
)
|
||||||
CMBS
|
21
|
|
|
0
|
|
|
2
|
|
|
0
|
|
|
23
|
|
|
0
|
|
||||||
Asset-backed securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Foreign government securities
|
156
|
|
|
(8
|
)
|
|
—
|
|
|
—
|
|
|
156
|
|
|
(8
|
)
|
||||||
Total
|
$
|
680
|
|
|
$
|
(17
|
)
|
|
$
|
109
|
|
|
$
|
(15
|
)
|
|
$
|
789
|
|
|
$
|
(32
|
)
|
Number of securities (1)
|
|
|
|
166
|
|
|
|
|
|
24
|
|
|
|
|
|
187
|
|
||||||
Number of securities with other-than-temporary impairment
|
|
|
|
2
|
|
|
|
|
|
3
|
|
|
|
|
|
5
|
|
|
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
|
|
(1)
|
The number of securities does not add across because lots of the same securities have been purchased at different times and appear in both categories above (i.e. Less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column.
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||
|
(in millions)
|
||||||
Due within one year
|
$
|
156
|
|
|
$
|
158
|
|
Due after one year through five years
|
1,706
|
|
|
1,763
|
|
||
Due after five years through 10 years
|
2,146
|
|
|
2,288
|
|
||
Due after 10 years
|
3,584
|
|
|
3,839
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,145
|
|
|
1,185
|
|
||
CMBS
|
573
|
|
|
600
|
|
||
Total
|
$
|
9,310
|
|
|
$
|
9,833
|
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||
|
(in millions)
|
||||||
Assets purchased for loss mitigation and other risk management purposes:
|
|
|
|
||||
Fixed-maturity securities
|
721
|
|
|
835
|
|
||
Other invested assets
|
41
|
|
|
46
|
|
||
Other
|
91
|
|
|
79
|
|
||
Total
|
$
|
853
|
|
|
$
|
960
|
|
11.
|
Insurance Company Regulatory Requirements
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Dividends paid by AGC to AGUS
|
$
|
20
|
|
|
$
|
—
|
|
Dividends paid by AGM to AGMH
|
66
|
|
|
—
|
|
||
Dividends paid by AG Re to AGL
|
50
|
|
|
62
|
|
||
Repayment of surplus note by AGM to AGMH
|
25
|
|
|
25
|
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions
|
$
|
77
|
|
|
$
|
38
|
|
Tax-exempt interest
|
(14
|
)
|
|
(14
|
)
|
||
Change in liability for uncertain tax positions
|
1
|
|
|
1
|
|
||
Other
|
1
|
|
|
2
|
|
||
Total provision (benefit) for income taxes
|
$
|
65
|
|
|
$
|
27
|
|
Effective tax rate
|
24.2
|
%
|
|
38.8
|
%
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
United States
|
$
|
300
|
|
|
$
|
195
|
|
Bermuda
|
73
|
|
|
1
|
|
||
U.K.
|
(4
|
)
|
|
(1
|
)
|
||
Total
|
$
|
369
|
|
|
$
|
195
|
|
13.
|
Reinsurance and Other Monoline Exposures
|
•
|
if the Company fails to meet certain financial and regulatory criteria and to maintain a specified minimum financial strength rating, or
|
•
|
upon certain changes of control of the Company.
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Premiums Written:
|
|
|
|
||||
Direct
|
$
|
29
|
|
|
$
|
31
|
|
Assumed(1)
|
3
|
|
|
(1
|
)
|
||
Ceded
|
0
|
|
|
(24
|
)
|
||
Net
|
$
|
32
|
|
|
$
|
6
|
|
Premiums Earned:
|
|
|
|
||||
Direct
|
$
|
148
|
|
|
$
|
140
|
|
Assumed
|
10
|
|
|
11
|
|
||
Ceded
|
(16
|
)
|
|
(19
|
)
|
||
Net
|
$
|
142
|
|
|
$
|
132
|
|
Loss and LAE:
|
|
|
|
||||
Direct
|
$
|
26
|
|
|
$
|
34
|
|
Assumed
|
(7
|
)
|
|
6
|
|
||
Ceded
|
(1
|
)
|
|
1
|
|
||
Net
|
$
|
18
|
|
|
$
|
41
|
|
(1)
|
Negative assumed premiums written were due to change in expected Debt Service schedules.
|
|
|
Ratings at
|
|
Par Outstanding (1)
|
||||||||||||
|
|
May 6, 2015
|
|
As of March 31, 2015
|
||||||||||||
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
|
|
$
|
6,363
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
|
Aa3 (3)
|
|
AA- (3)
|
|
5,006
|
|
|
—
|
|
|
—
|
|
|||
Radian Asset (4)
|
|
WR
|
|
NR
|
|
3,984
|
|
|
18
|
|
|
620
|
|
|||
Syncora Guarantee Inc.
|
|
WR
|
|
WR
|
|
3,522
|
|
|
1,451
|
|
|
160
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd.
|
|
A1
|
|
A+ (3)
|
|
1,995
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
745
|
|
|
1
|
|
|
—
|
|
|||
Swiss Reinsurance Co.
|
|
Aa3
|
|
AA-
|
|
91
|
|
|
—
|
|
|
—
|
|
|||
Ambac
|
|
WR
|
|
WR
|
|
82
|
|
|
4,796
|
|
|
13,281
|
|
|||
NPFGC (6)
|
|
A3
|
|
AA-
|
|
—
|
|
|
6,061
|
|
|
5,724
|
|
|||
MBIA
|
|
(7)
|
|
(7)
|
|
—
|
|
|
2,465
|
|
|
484
|
|
|||
Financial Guaranty Insurance Co.
|
|
WR
|
|
WR
|
|
—
|
|
|
2,008
|
|
|
809
|
|
|||
Ambac Assurance Corp. Segregated Account
|
|
NR
|
|
NR
|
|
—
|
|
|
105
|
|
|
936
|
|
|||
CIFG Assurance North America Inc.
|
|
WR
|
|
WR
|
|
—
|
|
|
102
|
|
|
4,177
|
|
|||
Other
|
|
Various
|
|
Various
|
|
199
|
|
|
804
|
|
|
45
|
|
|||
Total
|
|
|
|
|
|
$
|
21,987
|
|
|
$
|
17,811
|
|
|
$
|
26,266
|
|
(1)
|
Includes par related to insured credit derivatives.
|
(4)
|
On April 1, 2015, AGC consummated the acquisition of Radian Asset and merged Radian Asset with and into AGC, with AGC as the surviving company of the merger.
|
(6)
|
NPFGC is rated AA+ by KBRA.
|
(7)
|
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.
|
|
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)
|
$
|
—
|
|
|
$
|
(7
|
)
|
|
$
|
—
|
|
|
$
|
10
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
—
|
|
|
(12
|
)
|
|
—
|
|
|
45
|
|
||||
Radian Asset
|
—
|
|
|
(12
|
)
|
|
—
|
|
|
18
|
|
||||
Syncora Guarantee Inc.
|
—
|
|
|
(27
|
)
|
|
—
|
|
|
4
|
|
||||
Mitsui Sumitomo Insurance Co. Ltd.
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
14
|
|
||||
Swiss Reinsurance Co.
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
6
|
|
||||
Ambac
|
43
|
|
|
—
|
|
|
(18
|
)
|
|
—
|
|
||||
Ambac Assurance Corp. Segregated Account
|
12
|
|
|
—
|
|
|
(77
|
)
|
|
—
|
|
||||
CIFG Assurance North America Inc.
|
—
|
|
|
—
|
|
|
(7
|
)
|
|
—
|
|
||||
MBIA
|
6
|
|
|
—
|
|
|
(10
|
)
|
|
—
|
|
||||
NPFGC
|
6
|
|
|
—
|
|
|
(7
|
)
|
|
—
|
|
||||
Financial Guaranty Insurance Co.
|
4
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
||||
Other
|
2
|
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
||||
Total
|
$
|
73
|
|
|
$
|
(67
|
)
|
|
$
|
(121
|
)
|
|
$
|
97
|
|
14.
|
Commitments and Contingencies
|
•
|
AGMH received a subpoena from the Antitrust Division of the Department of Justice in November 2006 issued in connection with an ongoing criminal investigation of bid rigging of awards of municipal GICs and other municipal derivatives; and
|
•
|
AGM received a subpoena from the SEC in November 2006 related to an ongoing industry-wide investigation concerning the bidding of municipal GICs and other municipal derivatives.
|
15.
|
Long-Term Debt and Credit Facilities
|
|
As of March 31, 2015
|
|
As of December 31, 2014
|
||||||||||||
|
Principal
|
|
Carrying
Value
|
|
Principal
|
|
Carrying
Value
|
||||||||
|
(in millions)
|
||||||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
7.0% Senior Notes
|
$
|
200
|
|
|
$
|
198
|
|
|
$
|
200
|
|
|
$
|
198
|
|
5.0% Senior Notes
|
500
|
|
|
499
|
|
|
500
|
|
|
499
|
|
||||
Series A Enhanced Junior Subordinated Debentures
|
150
|
|
|
150
|
|
|
150
|
|
|
150
|
|
||||
Total AGUS
|
850
|
|
|
847
|
|
|
850
|
|
|
847
|
|
||||
AGMH:
|
|
|
|
|
|
|
|
|
|
|
|
||||
6
7
/
8
% QUIBS
|
100
|
|
|
68
|
|
|
100
|
|
|
68
|
|
||||
6.25% Notes
|
230
|
|
|
139
|
|
|
230
|
|
|
139
|
|
||||
5.60% Notes
|
100
|
|
|
55
|
|
|
100
|
|
|
55
|
|
||||
Junior Subordinated Debentures
|
300
|
|
|
177
|
|
|
300
|
|
|
175
|
|
||||
Total AGMH
|
730
|
|
|
439
|
|
|
730
|
|
|
437
|
|
||||
AGM:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Notes Payable
|
15
|
|
|
18
|
|
|
16
|
|
|
19
|
|
||||
Total AGM
|
15
|
|
|
18
|
|
|
16
|
|
|
19
|
|
||||
Total
|
$
|
1,595
|
|
|
$
|
1,304
|
|
|
$
|
1,596
|
|
|
$
|
1,303
|
|
•
|
a minimum net worth of
75%
of consolidated net worth as of July 1, 2009, plus, beginning June 30, 2015 and on each anniversary of such date, an amount equal to the product of (i)
25%
of the aggregate consolidated net income (or loss) for the period beginning July 2, 2009 and ending on June 30, 2014 and (ii) a fraction, the numerator of which is the commitment amount as of the relevant calculation date and the denominator of which is
$1 billion
.
|
16.
|
Earnings Per Share
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions, except per share amounts)
|
||||||
Basic earnings per share ("EPS"):
|
|
|
|
||||
Net income (loss) attributable to AGL
|
$
|
201
|
|
|
$
|
42
|
|
Less: Distributed and undistributed income (loss) available to nonvested shareholders
|
0
|
|
|
0
|
|
||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
$
|
201
|
|
|
$
|
42
|
|
Basic shares
|
155.8
|
|
|
182.1
|
|
||
Basic EPS
|
$
|
1.29
|
|
|
$
|
0.23
|
|
|
|
|
|
||||
Diluted EPS:
|
|
|
|
||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
$
|
201
|
|
|
$
|
42
|
|
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries
|
0
|
|
|
—
|
|
||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted
|
$
|
201
|
|
|
$
|
42
|
|
|
|
|
|
||||
Basic shares
|
155.8
|
|
|
182.1
|
|
||
Effect of dilutive securities:
|
|
|
|
||||
Options and restricted stock awards
|
1.0
|
|
|
1.0
|
|
||
Diluted shares
|
156.8
|
|
|
183.1
|
|
||
Diluted EPS
|
$
|
1.28
|
|
|
$
|
0.23
|
|
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect
|
0.7
|
|
|
1.5
|
|
17.
|
Shareholders' Equity
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2014
|
$
|
367
|
|
|
$
|
4
|
|
|
$
|
(10
|
)
|
|
$
|
9
|
|
|
$
|
370
|
|
Other comprehensive income (loss) before reclassifications
|
18
|
|
|
(2
|
)
|
|
(5
|
)
|
|
—
|
|
|
11
|
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net realized investment gains (losses)
|
(20
|
)
|
|
4
|
|
|
—
|
|
|
—
|
|
|
(16
|
)
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|||||
Total before tax
|
(20
|
)
|
|
4
|
|
|
—
|
|
|
(1
|
)
|
|
(17
|
)
|
|||||
Tax (provision) benefit
|
7
|
|
|
(1
|
)
|
|
—
|
|
|
0
|
|
|
6
|
|
|||||
Total amount reclassified from AOCI, net of tax
|
(13
|
)
|
|
3
|
|
|
—
|
|
|
(1
|
)
|
|
(11
|
)
|
|||||
Net current period other comprehensive income (loss)
|
5
|
|
|
1
|
|
|
(5
|
)
|
|
(1
|
)
|
|
0
|
|
|||||
Balance, March 31, 2015
|
$
|
372
|
|
|
$
|
5
|
|
|
$
|
(15
|
)
|
|
$
|
8
|
|
|
$
|
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, 2013
|
$
|
178
|
|
|
$
|
(24
|
)
|
|
$
|
(3
|
)
|
|
$
|
9
|
|
|
$
|
160
|
|
Other comprehensive income (loss) before reclassifications
|
94
|
|
|
8
|
|
|
1
|
|
|
—
|
|
|
103
|
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Net realized investment gains (losses)
|
(2
|
)
|
|
5
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
0
|
|
|||||
Total before tax
|
(2
|
)
|
|
5
|
|
|
—
|
|
|
0
|
|
|
3
|
|
|||||
Tax (provision) benefit
|
1
|
|
|
(2
|
)
|
|
—
|
|
|
(1
|
)
|
|
(2
|
)
|
|||||
Total amount reclassified from AOCI, net of tax
|
(1
|
)
|
|
3
|
|
|
—
|
|
|
(1
|
)
|
|
1
|
|
|||||
Net current period other comprehensive income (loss)
|
93
|
|
|
11
|
|
|
1
|
|
|
(1
|
)
|
|
104
|
|
|||||
Balance, March 31, 2014
|
$
|
271
|
|
|
$
|
(13
|
)
|
|
$
|
(2
|
)
|
|
$
|
8
|
|
|
$
|
264
|
|
Period
|
|
Number of Shares Repurchased
|
|
Total Payments(in millions)
|
|
Average Price Paid Per Share
|
|||||
2013
|
|
12,512,759
|
|
|
$
|
264
|
|
|
$
|
21.12
|
|
2014 (January 1 - March 31)
|
|
1,350,443
|
|
|
35
|
|
|
25.92
|
|
||
2014 (April 1 - June 30)
|
|
7,051,842
|
|
|
177
|
|
|
25.14
|
|
||
2014 (July 1 - September 30)
|
|
9,623,309
|
|
|
226
|
|
|
23.47
|
|
||
2014 (October 1 - December 31)
|
|
6,388,187
|
|
|
152
|
|
|
23.83
|
|
||
Total 2014
|
|
24,413,781
|
|
|
590
|
|
|
24.17
|
|
||
2015 (January 1 - March 31)
|
|
5,860,291
|
|
|
152
|
|
|
25.87
|
|
||
Total 2015 (through March 31)
|
|
5,860,291
|
|
|
152
|
|
|
25.87
|
|
||
2015 (April 1 - through May 8)
|
|
2,058,927
|
|
|
56
|
|
|
27.36
|
|
||
Total 2015
|
|
7,919,218
|
|
|
208
|
|
|
26.26
|
|
||
Cumulative repurchases since the beginning of 2013
|
|
44,845,758
|
|
|
$
|
1,062
|
|
|
$
|
23.69
|
|
18.
|
Subsidiary Information
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total investment portfolio and cash
|
$
|
47
|
|
|
$
|
82
|
|
|
$
|
23
|
|
|
$
|
11,347
|
|
|
$
|
(300
|
)
|
|
$
|
11,199
|
|
Investment in subsidiaries
|
5,722
|
|
|
5,087
|
|
|
3,955
|
|
|
350
|
|
|
(15,114
|
)
|
|
—
|
|
||||||
Premiums receivable, net of commissions payable
|
—
|
|
|
—
|
|
|
—
|
|
|
830
|
|
|
(130
|
)
|
|
700
|
|
||||||
Ceded unearned premium reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,430
|
|
|
(1,065
|
)
|
|
365
|
|
||||||
Deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
184
|
|
|
(64
|
)
|
|
120
|
|
||||||
Reinsurance recoverable on unpaid losses
|
—
|
|
|
—
|
|
|
—
|
|
|
344
|
|
|
(267
|
)
|
|
77
|
|
||||||
Credit derivative assets
|
—
|
|
|
—
|
|
|
—
|
|
|
262
|
|
|
(185
|
)
|
|
77
|
|
||||||
Deferred tax asset, net
|
—
|
|
|
56
|
|
|
—
|
|
|
251
|
|
|
(89
|
)
|
|
218
|
|
||||||
Intercompany receivable
|
—
|
|
|
200
|
|
|
—
|
|
|
90
|
|
|
(290
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ assets, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
1,499
|
|
|
—
|
|
|
1,499
|
|
||||||
Other
|
21
|
|
|
79
|
|
|
31
|
|
|
522
|
|
|
(231
|
)
|
|
422
|
|
||||||
TOTAL ASSETS
|
$
|
5,790
|
|
|
$
|
5,504
|
|
|
$
|
4,009
|
|
|
$
|
17,109
|
|
|
$
|
(17,735
|
)
|
|
$
|
14,677
|
|
LIABILITIES AND SHAREHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Unearned premium reserves
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,173
|
|
|
$
|
(1,046
|
)
|
|
$
|
4,127
|
|
Loss and LAE reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,062
|
|
|
(275
|
)
|
|
787
|
|
||||||
Long-term debt
|
—
|
|
|
847
|
|
|
439
|
|
|
18
|
|
|
—
|
|
|
1,304
|
|
||||||
Intercompany payable
|
—
|
|
|
90
|
|
|
—
|
|
|
500
|
|
|
(590
|
)
|
|
—
|
|
||||||
Credit derivative liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
1,044
|
|
|
(185
|
)
|
|
859
|
|
||||||
Deferred tax liabilities, net
|
—
|
|
|
—
|
|
|
93
|
|
|
—
|
|
|
(93
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ liabilities, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
1,423
|
|
|
—
|
|
|
1,423
|
|
||||||
Other
|
4
|
|
|
23
|
|
|
22
|
|
|
702
|
|
|
(360
|
)
|
|
391
|
|
||||||
TOTAL LIABILITIES
|
4
|
|
|
960
|
|
|
554
|
|
|
9,922
|
|
|
(2,549
|
)
|
|
8,891
|
|
||||||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
5,786
|
|
|
4,544
|
|
|
3,455
|
|
|
6,837
|
|
|
(14,836
|
)
|
|
5,786
|
|
||||||
Noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
350
|
|
|
(350
|
)
|
|
—
|
|
||||||
TOTAL SHAREHOLDERS' EQUITY
|
5,786
|
|
|
4,544
|
|
|
3,455
|
|
|
7,187
|
|
|
(15,186
|
)
|
|
5,786
|
|
||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY
|
$
|
5,790
|
|
|
$
|
5,504
|
|
|
$
|
4,009
|
|
|
$
|
17,109
|
|
|
$
|
(17,735
|
)
|
|
$
|
14,677
|
|
|
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)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
140
|
|
|
$
|
2
|
|
|
$
|
142
|
|
Net investment income
|
0
|
|
|
0
|
|
|
0
|
|
|
104
|
|
|
(3
|
)
|
|
101
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
0
|
|
|
0
|
|
|
19
|
|
|
(3
|
)
|
|
16
|
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
21
|
|
|
0
|
|
|
21
|
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
103
|
|
|
—
|
|
|
103
|
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
124
|
|
|
0
|
|
|
124
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
(14
|
)
|
|
—
|
|
|
(14
|
)
|
||||||
TOTAL REVENUES
|
0
|
|
|
0
|
|
|
—
|
|
|
373
|
|
|
(4
|
)
|
|
369
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
18
|
|
|
0
|
|
|
18
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
(2
|
)
|
|
4
|
|
||||||
Interest expense
|
—
|
|
|
13
|
|
|
13
|
|
|
4
|
|
|
(5
|
)
|
|
25
|
|
||||||
Other operating expenses
|
8
|
|
|
0
|
|
|
0
|
|
|
48
|
|
|
0
|
|
|
56
|
|
||||||
TOTAL EXPENSES
|
8
|
|
|
13
|
|
|
13
|
|
|
76
|
|
|
(7
|
)
|
|
103
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(8
|
)
|
|
(13
|
)
|
|
(13
|
)
|
|
297
|
|
|
3
|
|
|
266
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
5
|
|
|
5
|
|
|
(72
|
)
|
|
(3
|
)
|
|
(65
|
)
|
||||||
Equity in net earnings of subsidiaries
|
209
|
|
|
163
|
|
|
92
|
|
|
9
|
|
|
(473
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
$
|
201
|
|
|
$
|
155
|
|
|
$
|
84
|
|
|
$
|
234
|
|
|
$
|
(473
|
)
|
|
$
|
201
|
|
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
9
|
|
|
(9
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
201
|
|
|
$
|
155
|
|
|
$
|
84
|
|
|
$
|
225
|
|
|
$
|
(464
|
)
|
|
$
|
201
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
201
|
|
|
$
|
134
|
|
|
$
|
80
|
|
|
$
|
233
|
|
|
$
|
(447
|
)
|
|
$
|
201
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
131
|
|
|
$
|
1
|
|
|
$
|
132
|
|
Net investment income
|
0
|
|
|
0
|
|
|
0
|
|
|
105
|
|
|
(2
|
)
|
|
103
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
—
|
|
|
0
|
|
|
4
|
|
|
(2
|
)
|
|
2
|
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
19
|
|
|
0
|
|
|
19
|
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
(230
|
)
|
|
—
|
|
|
(230
|
)
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
(211
|
)
|
|
0
|
|
|
(211
|
)
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
169
|
|
|
—
|
|
|
169
|
|
||||||
TOTAL REVENUES
|
0
|
|
|
0
|
|
|
0
|
|
|
198
|
|
|
(3
|
)
|
|
195
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
39
|
|
|
2
|
|
|
41
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
(1
|
)
|
|
5
|
|
||||||
Interest expense
|
—
|
|
|
7
|
|
|
13
|
|
|
5
|
|
|
(5
|
)
|
|
20
|
|
||||||
Other operating expenses
|
8
|
|
|
0
|
|
|
0
|
|
|
53
|
|
|
(1
|
)
|
|
60
|
|
||||||
TOTAL EXPENSES
|
8
|
|
|
7
|
|
|
13
|
|
|
103
|
|
|
(5
|
)
|
|
126
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(8
|
)
|
|
(7
|
)
|
|
(13
|
)
|
|
95
|
|
|
2
|
|
|
69
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
2
|
|
|
5
|
|
|
(33
|
)
|
|
(1
|
)
|
|
(27
|
)
|
||||||
Equity in net earnings of subsidiaries
|
50
|
|
|
87
|
|
|
169
|
|
|
8
|
|
|
(314
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
$
|
42
|
|
|
$
|
82
|
|
|
$
|
161
|
|
|
$
|
70
|
|
|
$
|
(313
|
)
|
|
$
|
42
|
|
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|
(8
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
42
|
|
|
$
|
82
|
|
|
$
|
161
|
|
|
$
|
62
|
|
|
$
|
(305
|
)
|
|
$
|
42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
146
|
|
|
$
|
165
|
|
|
$
|
212
|
|
|
$
|
258
|
|
|
$
|
(635
|
)
|
|
$
|
146
|
|
|
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
|
$
|
97
|
|
|
$
|
127
|
|
|
$
|
59
|
|
|
$
|
34
|
|
|
$
|
(294
|
)
|
|
$
|
23
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
(46
|
)
|
|
(6
|
)
|
|
(396
|
)
|
|
—
|
|
|
(448
|
)
|
||||||
Sales
|
—
|
|
|
122
|
|
|
11
|
|
|
708
|
|
|
—
|
|
|
841
|
|
||||||
Maturities
|
—
|
|
|
4
|
|
|
—
|
|
|
151
|
|
|
—
|
|
|
155
|
|
||||||
Sales (purchases) of short-term investments, net
|
79
|
|
|
43
|
|
|
19
|
|
|
279
|
|
|
—
|
|
|
420
|
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
30
|
|
|
—
|
|
|
30
|
|
||||||
Intercompany debt
|
—
|
|
|
(200
|
)
|
|
—
|
|
|
—
|
|
|
200
|
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
25
|
|
|
—
|
|
|
(25
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|
3
|
|
||||||
Net cash flows provided by (used in) investing activities
|
79
|
|
|
(77
|
)
|
|
49
|
|
|
775
|
|
|
175
|
|
|
1,001
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(25
|
)
|
|
25
|
|
|
—
|
|
||||||
Dividends paid
|
(19
|
)
|
|
(50
|
)
|
|
(108
|
)
|
|
(136
|
)
|
|
294
|
|
|
(19
|
)
|
||||||
Repurchases of common stock
|
(152
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(152
|
)
|
||||||
Share activity under option and incentive plans
|
(5
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(39
|
)
|
|
—
|
|
|
(39
|
)
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
200
|
|
|
(200
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
4
|
|
|
—
|
|
|
4
|
|
||||||
Net cash flows provided by (used in) financing activities
|
(176
|
)
|
|
(50
|
)
|
|
(108
|
)
|
|
3
|
|
|
119
|
|
|
(212
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
(2
|
)
|
||||||
Increase (decrease) in cash
|
—
|
|
|
—
|
|
|
—
|
|
|
810
|
|
|
—
|
|
|
810
|
|
||||||
Cash at beginning of period
|
0
|
|
|
0
|
|
|
4
|
|
|
71
|
|
|
—
|
|
|
75
|
|
||||||
Cash at end of period
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
4
|
|
|
$
|
881
|
|
|
$
|
—
|
|
|
$
|
885
|
|
|
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
|
$
|
58
|
|
|
$
|
0
|
|
|
$
|
(6
|
)
|
|
$
|
111
|
|
|
$
|
(62
|
)
|
|
$
|
101
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
(1
|
)
|
|
(3
|
)
|
|
(513
|
)
|
|
—
|
|
|
(517
|
)
|
||||||
Sales
|
—
|
|
|
—
|
|
|
—
|
|
|
155
|
|
|
—
|
|
|
155
|
|
||||||
Maturities
|
—
|
|
|
—
|
|
|
—
|
|
|
148
|
|
|
—
|
|
|
148
|
|
||||||
Sales (purchases) of short-term investments, net
|
(3
|
)
|
|
—
|
|
|
(16
|
)
|
|
203
|
|
|
—
|
|
|
184
|
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
286
|
|
|
—
|
|
|
286
|
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
25
|
|
|
—
|
|
|
(25
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
19
|
|
|
—
|
|
|
19
|
|
||||||
Net cash flows provided by (used in) investing activities
|
(3
|
)
|
|
(1
|
)
|
|
6
|
|
|
298
|
|
|
(25
|
)
|
|
275
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(25
|
)
|
|
25
|
|
|
—
|
|
||||||
Dividends paid
|
(20
|
)
|
|
—
|
|
|
—
|
|
|
(62
|
)
|
|
62
|
|
|
(20
|
)
|
||||||
Repurchases of common stock
|
(35
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(35
|
)
|
||||||
Share activity under option and incentive plans
|
0
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(281
|
)
|
|
—
|
|
|
(281
|
)
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
—
|
|
|
(6
|
)
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Net cash flows provided by (used in) financing activities
|
(55
|
)
|
|
—
|
|
|
—
|
|
|
(374
|
)
|
|
87
|
|
|
(342
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
||||||
Increase (decrease) in cash
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
36
|
|
|
—
|
|
|
35
|
|
||||||
Cash at beginning of period
|
0
|
|
|
67
|
|
|
0
|
|
|
117
|
|
|
—
|
|
|
184
|
|
||||||
Cash at end of period
|
$
|
0
|
|
|
$
|
66
|
|
|
$
|
0
|
|
|
$
|
153
|
|
|
$
|
—
|
|
|
$
|
219
|
|
ITEM 2.
|
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
•
|
rating agency action, including a ratings downgrade, a change in outlook, the placement of ratings on watch for downgrade, or a change in rating criteria, at any time, of AGL or any of its subsidiaries, and/or of any securities AGL or any of its subsidiaries have issued, and/or of transactions that AGL's subsidiaries have insured;
|
•
|
reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty's insurance;
|
•
|
developments in the world’s financial and capital markets that adversely affect obligors’ payment rates, Assured Guaranty’s loss experience, or its exposure to refinancing risk in transactions (which could result in substantial liquidity claims on its guarantees);
|
•
|
the possibility that budget shortfalls or other factors will result in credit losses or impairments on obligations of state and local governments and their related authorities and public corporations that Assured Guaranty insures or reinsures;
|
•
|
the failure of Assured Guaranty to realize loss recoveries that are assumed in its expected loss estimates;
|
•
|
deterioration in the financial condition of Assured Guaranty’s reinsurers, the amount and timing of reinsurance recoverables actually received and the risk that reinsurers may dispute amounts owed to Assured Guaranty under its reinsurance agreements;
|
•
|
increased competition, including from new entrants into the financial guaranty industry;
|
•
|
rating agency action on obligors, including sovereign debtors, resulting in a reduction in the value of securities in Assured Guaranty’s investment portfolio and in collateral posted by and to Assured Guaranty;
|
•
|
the inability of Assured Guaranty to access external sources of capital on acceptable terms;
|
•
|
changes in the world’s credit markets, segments thereof, interest rates or general economic conditions;
|
•
|
the impact of market volatility on the mark-to-market of Assured Guaranty’s contracts written in credit default swap form;
|
•
|
changes in applicable accounting policies or practices;
|
•
|
changes in applicable laws or regulations, including insurance and tax laws, other governmental actions;
|
•
|
difficulties with the execution of Assured Guaranty’s business strategy;
|
•
|
loss of key personnel;
|
•
|
the effects of mergers, acquisitions and divestitures;
|
•
|
natural or man-made catastrophes;
|
•
|
other risks and uncertainties that have not been identified at this time;
|
•
|
management’s response to these factors; and
|
•
|
other risk factors identified in AGL's filings with the U.S. Securities and Exchange Commission (the “SEC”).
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions, except per share amounts)
|
||||||
Net income (loss)
|
|
$
|
201
|
|
|
$
|
42
|
|
Operating income(1)
|
|
140
|
|
|
132
|
|
||
|
|
|
|
|
||||
Net income (loss) per diluted share
|
|
1.28
|
|
|
0.23
|
|
||
Operating income per share(1)
|
|
0.89
|
|
|
0.72
|
|
||
Diluted shares(2)
|
|
156.8
|
|
|
183.1
|
|
||
|
|
|
|
|
||||
Present value of new business production (“PVP”)(1)
|
|
36
|
|
|
31
|
|
||
Gross par written
|
|
2,708
|
|
|
1,869
|
|
|
|
As of March 31, 2015
|
|
As of December 31, 2014
|
||||||||||||
|
|
Amount
|
|
Per Share
|
|
Amount
|
|
Per Share
|
||||||||
|
|
(in millions, except per share amounts)
|
||||||||||||||
Shareholders' equity
|
|
$
|
5,786
|
|
|
$
|
37.86
|
|
|
$
|
5,758
|
|
|
$
|
36.37
|
|
Operating shareholders' equity(1)
|
|
5,876
|
|
|
38.45
|
|
|
5,933
|
|
|
37.48
|
|
||||
Adjusted book value(1)
|
|
8,354
|
|
|
54.66
|
|
|
8,495
|
|
|
53.66
|
|
||||
Common shares outstanding
|
|
152.8
|
|
|
|
|
158.3
|
|
|
|
(1)
|
Please refer to “—Non-GAAP Financial Measures” for a definition of the financial measures that were not determined in accordance with accounting principles generally accepted in the United States of America ("GAAP") and a reconciliation of the non-GAAP financial measure and the most directly comparable GAAP financial measure, if available.
|
(2)
|
Same for GAAP net income and non-GAAP operating income.
|
•
|
New business production, acquisitions and commutations
|
•
|
Capital management
|
•
|
Loss mitigation
|
|
First Quarter 2015
|
|
First Quarter 2014
|
|
Year Ended December 31, 2014
|
|||||||||||||||
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|||||||||
|
(dollars in billions, except number of issues)
|
|||||||||||||||||||
New municipal bonds issued
|
$
|
103.9
|
|
|
3,057
|
|
|
$
|
60.4
|
|
|
1,955
|
|
|
$
|
314.9
|
|
|
10,162
|
|
Total insured
|
6.0
|
|
|
517
|
|
|
2.8
|
|
|
252
|
|
|
18.5
|
|
|
1,403
|
|
|||
Insured by AGC, AGM and MAC (1)
|
3.4
|
|
|
276
|
|
|
1.4
|
|
|
117
|
|
|
10.7
|
|
|
697
|
|
(1)
|
Assured Guaranty Corp. ("AGC"), Assured Guaranty Municipal Corp. ("AGM") and Municipal Assurance Corp. ("MAC").
|
|
First Quarter
|
|
Year Ended December 31,
|
||
|
2015
|
|
2014
|
|
2014
|
Market penetration par
|
5.7%
|
|
4.6%
|
|
5.9%
|
Market penetration based on number of issues
|
16.9
|
|
12.9
|
|
13.8
|
% of single A par sold
|
21.6
|
|
15.2
|
|
19.7
|
% of single A transactions sold
|
55.2
|
|
39.8
|
|
49.3
|
% of under $25 million par sold
|
19.8
|
|
15.5
|
|
16.5
|
% of under $25 million transactions sold
|
19.8
|
|
14.6
|
|
15.4
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
PVP (1):
|
|
|
|
|
||||
Public Finance—U.S.
|
|
$
|
13
|
|
|
$
|
23
|
|
Public Finance—non-U.S.
|
|
—
|
|
|
7
|
|
||
Structured Finance—U.S.
|
|
18
|
|
|
1
|
|
||
Structured Finance—non-U.S.
|
|
5
|
|
|
—
|
|
||
Total PVP
|
|
$
|
36
|
|
|
$
|
31
|
|
Gross Par Written:
|
|
|
|
|
||||
Public Finance—U.S.
|
|
$
|
2,441
|
|
|
$
|
1,737
|
|
Public Finance—non-U.S.
|
|
—
|
|
|
128
|
|
||
Structured Finance—U.S.
|
|
261
|
|
|
4
|
|
||
Structured Finance—non-U.S.
|
|
6
|
|
|
—
|
|
||
Total gross par written
|
|
$
|
2,708
|
|
|
$
|
1,869
|
|
(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.”
|
|
Amount
|
|
Number of Shares
|
|
Average price per share
|
|||||
|
(in millions, except per share data)
|
|||||||||
First Quarter 2015
|
$
|
152
|
|
|
5.9
|
|
|
$
|
25.87
|
|
2014
|
590
|
|
|
24.4
|
|
|
24.17
|
|
||
2013
|
264
|
|
|
12.5
|
|
|
21.12
|
|
||
Cumulative as of March 31, 2015
|
$
|
1,006
|
|
|
42.8
|
|
|
23.51
|
|
|
First Quarter 2015
|
|
As of March 31, 2015
|
||||
|
(per share)
|
||||||
Net income
|
$
|
0.25
|
|
|
|
||
Operating income
|
0.18
|
|
|
|
|||
Shareholders' equity
|
|
|
$
|
3.23
|
|
||
Operating shareholders' equity
|
|
|
3.36
|
|
|||
Adjusted book value
|
|
|
6.90
|
|
(1)
|
Cumulative repurchases since the beginning of 2013.
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Revenues:
|
|
|
|
|
||||
Net earned premiums
|
|
$
|
142
|
|
|
$
|
132
|
|
Net investment income
|
|
101
|
|
|
103
|
|
||
Net realized investment gains (losses)
|
|
16
|
|
|
2
|
|
||
Net change in fair value of credit derivatives:
|
|
|
|
|
||||
Realized gains (losses) and other settlements
|
|
21
|
|
|
19
|
|
||
Net unrealized gains (losses)
|
|
103
|
|
|
(230
|
)
|
||
Net change in fair value of credit derivatives
|
|
124
|
|
|
(211
|
)
|
||
Fair value gains (losses) on committed capital securities ("CCS")
|
|
2
|
|
|
(9
|
)
|
||
Fair value gains (losses) on FG VIEs
|
|
(7
|
)
|
|
157
|
|
||
Other income (loss)
|
|
(9
|
)
|
|
21
|
|
||
Total revenues
|
|
369
|
|
|
195
|
|
||
Expenses:
|
|
|
|
|
||||
Loss and loss adjustment expenses
|
|
18
|
|
|
41
|
|
||
Amortization of deferred acquisition costs
|
|
4
|
|
|
5
|
|
||
Interest expense
|
|
25
|
|
|
20
|
|
||
Other operating expenses
|
|
56
|
|
|
60
|
|
||
Total expenses
|
|
103
|
|
|
126
|
|
||
Income (loss) before provision for income taxes
|
|
266
|
|
|
69
|
|
||
Provision (benefit) for income taxes
|
|
65
|
|
|
27
|
|
||
Net income (loss)
|
|
$
|
201
|
|
|
$
|
42
|
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Financial guaranty:
|
|
|
|
|
||||
Public finance
|
|
|
|
|
||||
Scheduled net earned premiums and accretion
|
|
$
|
66
|
|
|
$
|
72
|
|
Accelerations(1)
|
|
40
|
|
|
19
|
|
||
Total public finance
|
|
106
|
|
|
91
|
|
||
Structured finance(2)
|
|
|
|
|
||||
Scheduled net earned premiums and accretion
|
|
34
|
|
|
41
|
|
||
Accelerations(1)
|
|
1
|
|
|
0
|
|
||
Total structured finance
|
|
35
|
|
|
41
|
|
||
Other
|
|
1
|
|
|
—
|
|
||
Total net earned premiums
|
|
$
|
142
|
|
|
$
|
132
|
|
(1)
|
Reflects the unscheduled refunding of an insured obligation or the termination of the insurance on an insured obligation.
|
(2)
|
Excludes
$5 million
and
$17 million
for
First Quarter
2015
and
2014
, respectively related to consolidated FG VIEs.
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Income from fixed-maturity securities managed by third parties
|
$
|
82
|
|
|
$
|
80
|
|
Income from internally managed securities:
|
|
|
|
||||
Fixed maturities
|
15
|
|
|
20
|
|
||
Other invested assets
|
6
|
|
|
5
|
|
||
Gross investment income
|
103
|
|
|
105
|
|
||
Investment expenses
|
(2
|
)
|
|
(2
|
)
|
||
Net investment income
|
$
|
101
|
|
|
$
|
103
|
|
(1)
|
Net investment income excludes $3 million and $3 million for
First Quarter
2015
and
2014
, respectively, related to consolidated FG VIEs.
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Gross realized gains on investment portfolio
|
|
$
|
25
|
|
|
$
|
9
|
|
Gross realized losses on investment portfolio
|
|
(2
|
)
|
|
(2
|
)
|
||
Other-than-temporary impairment
|
|
(7
|
)
|
|
(5
|
)
|
||
Net realized investment gains (losses) (1)
|
|
$
|
16
|
|
|
$
|
2
|
|
(1)
|
Excludes realized gains (losses) related to consolidated FG VIEs which were de minimis for
First Quarter
2015
and
2014
.
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Foreign exchange gain (loss) on remeasurement of premium receivable and loss reserves
|
|
$
|
(13
|
)
|
|
$
|
1
|
|
Commutation gains
|
|
—
|
|
|
19
|
|
||
Other
|
|
4
|
|
|
1
|
|
||
Total other income (loss)
|
|
$
|
(9
|
)
|
|
$
|
21
|
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Public finance
|
|
$
|
6
|
|
|
$
|
23
|
|
Structured finance
|
|
|
|
|
||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
|
(47
|
)
|
|
38
|
|
||
Net benefit for recoveries for breaches of R&W
|
|
51
|
|
|
(48
|
)
|
||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
|
4
|
|
|
(10
|
)
|
||
Other structured finance
|
|
(12
|
)
|
|
0
|
|
||
Structured finance
|
|
(8
|
)
|
|
(10
|
)
|
||
Other
|
|
(1
|
)
|
|
(1
|
)
|
||
Total
|
|
$
|
(3
|
)
|
|
$
|
12
|
|
(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
March 31, 2015 |
|
As of
December 31, 2014 |
||||
|
(in millions)
|
||||||
Public finance
|
$
|
352
|
|
|
$
|
348
|
|
Structured finance
|
|
|
|
||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
815
|
|
|
901
|
|
||
Net benefit for recoveries for breaches of R&W
|
(245
|
)
|
|
(317
|
)
|
||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
570
|
|
|
584
|
|
||
Other structured finance
|
231
|
|
|
241
|
|
||
Structured finance
|
801
|
|
|
825
|
|
||
Other
|
1
|
|
|
(4
|
)
|
||
Total
|
$
|
1,154
|
|
|
$
|
1,169
|
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Public finance
|
|
$
|
18
|
|
|
$
|
27
|
|
Structured finance
|
|
|
|
|
||||
U.S. RMBS
|
|
7
|
|
|
(1
|
)
|
||
Other structured finance
|
|
(1
|
)
|
|
15
|
|
||
Structured finance
|
|
6
|
|
|
14
|
|
||
Other
|
|
(1
|
)
|
|
(1
|
)
|
||
Total insurance contracts before FG VIE consolidation
|
|
23
|
|
|
40
|
|
||
Effect of consolidating FG VIEs
|
|
(5
|
)
|
|
1
|
|
||
Total loss and LAE
|
|
$
|
18
|
|
|
$
|
41
|
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Public finance
|
|
$
|
18
|
|
|
$
|
26
|
|
Structured finance
|
|
|
|
|
||||
U.S. RMBS
|
|
3
|
|
|
5
|
|
||
Other structured finance
|
|
(8
|
)
|
|
2
|
|
||
Structured finance
|
|
(5
|
)
|
|
7
|
|
||
Other
|
|
(1
|
)
|
|
(1
|
)
|
||
Total
|
|
$
|
12
|
|
|
$
|
32
|
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Loss and LAE
|
|
$
|
18
|
|
|
$
|
41
|
|
Credit derivative loss expense
|
|
(12
|
)
|
|
(8
|
)
|
||
FG VIE loss expense
|
|
6
|
|
|
(1
|
)
|
||
Loss expense included in operating income
|
|
$
|
12
|
|
|
$
|
32
|
|
|
In GAAP
Reported
Income
|
|
In Non-GAAP
Operating
Income
|
||||
|
(in millions)
|
||||||
2015 (April 1 – June 30)
|
$
|
7
|
|
|
$
|
11
|
|
2015 (July 1 – September 30)
|
9
|
|
|
12
|
|
||
2015 (October 1 – December 31)
|
11
|
|
|
14
|
|
||
2016
|
36
|
|
|
46
|
|
||
2017
|
27
|
|
|
37
|
|
||
2018
|
25
|
|
|
33
|
|
||
2019
|
23
|
|
|
29
|
|
||
2020-2024
|
77
|
|
|
95
|
|
||
2025-2029
|
45
|
|
|
54
|
|
||
2030-2034
|
34
|
|
|
43
|
|
||
After 2034
|
21
|
|
|
27
|
|
||
Net expected loss to be expensed (1)
|
315
|
|
|
401
|
|
||
Discount
|
389
|
|
|
422
|
|
||
Total expected future loss and LAE
|
$
|
704
|
|
|
$
|
823
|
|
(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.
|
|
First Quarter
|
||||||
|
2015
|
|
2014
|
||||
|
|
||||||
Realized gains on credit derivatives (1)
|
$
|
23
|
|
|
$
|
20
|
|
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
|
(2
|
)
|
|
(1
|
)
|
||
Realized gains (losses) and other settlements on credit derivatives
|
21
|
|
|
19
|
|
||
Net change in unrealized gains (losses) on credit derivatives:
|
|
|
|
||||
Pooled corporate obligations
|
17
|
|
|
(58
|
)
|
||
U.S. RMBS
|
75
|
|
|
(140
|
)
|
||
Commercial mortgage-backed securities ("CMBS")
|
0
|
|
|
0
|
|
||
Other
|
11
|
|
|
(32
|
)
|
||
Net change in unrealized gains (losses) on credit derivatives
|
103
|
|
|
(230
|
)
|
||
Net change in fair value of credit derivatives
|
$
|
124
|
|
|
$
|
(211
|
)
|
(1)
|
Includes realized gain due to terminations of CDS contracts of
$11 million
and
$0.2 million
for First Quarter 2015 and First Quarter 2014, respectively. Net par of
$93 million
and
$1.1 billion
were terminated in
First Quarter 2015
and
First Quarter 2014
, respectively.
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
|
As of
March 31, 2014 |
|
As of
December 31, 2013 |
||||
AGC
|
317
|
|
|
323
|
|
|
291
|
|
|
460
|
|
AGM
|
341
|
|
|
325
|
|
|
305
|
|
|
525
|
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
|
As of
March 31, 2014 |
|
As of
December 31, 2013 |
||||
AGC
|
60
|
|
|
80
|
|
|
55
|
|
|
185
|
|
AGM
|
80
|
|
|
85
|
|
|
70
|
|
|
220
|
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Change in unrealized gains (losses) of credit derivatives:
|
|
|
|
|
||||
Before considering implication of the Company’s credit spreads
|
|
$
|
111
|
|
|
$
|
347
|
|
Resulting from change in the Company’s credit spreads
|
|
(8
|
)
|
|
(577
|
)
|
||
After considering implication of the Company’s credit spreads
|
|
$
|
103
|
|
|
$
|
(230
|
)
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Total provision (benefit) for income taxes
|
|
$
|
65
|
|
|
$
|
27
|
|
Effective tax rate
|
|
24.2
|
%
|
|
38.8
|
%
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Net earned premiums
|
|
$
|
(5
|
)
|
|
$
|
(17
|
)
|
Net investment income
|
|
(3
|
)
|
|
(3
|
)
|
||
Fair value gains (losses) on FG VIEs
|
|
(7
|
)
|
|
157
|
|
||
Other income
|
|
0
|
|
|
(2
|
)
|
||
Loss and LAE
|
|
5
|
|
|
(1
|
)
|
||
Effect on net income before tax
|
|
(10
|
)
|
|
134
|
|
||
Less: tax provision (benefit)
|
|
(4
|
)
|
|
47
|
|
||
Effect on net income (loss)
|
|
$
|
(6
|
)
|
|
$
|
87
|
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
( in millions)
|
||||||
Net income (loss)
|
|
$
|
201
|
|
|
$
|
42
|
|
Less after-tax adjustments:
|
|
|
|
|
||||
Realized gains (losses) on investments
|
|
9
|
|
|
(1
|
)
|
||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
|
66
|
|
|
(171
|
)
|
||
Fair value gains (losses) on CCS
|
|
1
|
|
|
(5
|
)
|
||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves
|
|
(9
|
)
|
|
0
|
|
||
Effect of consolidating FG VIEs
|
|
(6
|
)
|
|
87
|
|
||
Operating income
|
|
$
|
140
|
|
|
$
|
132
|
|
|
|
|
|
|
||||
Effective tax rate on operating income
|
|
22.1
|
%
|
|
26.7
|
%
|
|
As of March 31, 2015
|
|
As of December 31, 2014
|
||||||||||||
|
Total
|
|
Per Share
|
|
Total
|
|
Per Share
|
||||||||
|
(dollars in millions, except per share amounts)
|
||||||||||||||
Shareholders’ equity
|
$
|
5,786
|
|
|
$
|
37.86
|
|
|
$
|
5,758
|
|
|
$
|
36.37
|
|
Less after-tax adjustments:
|
|
|
|
|
|
|
|
||||||||
Effect of consolidating FG VIEs
|
(49
|
)
|
|
(0.32
|
)
|
|
(44
|
)
|
|
(0.28
|
)
|
||||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
(460
|
)
|
|
(3.01
|
)
|
|
(527
|
)
|
|
(3.33
|
)
|
||||
Fair value gains (losses) on CCS
|
24
|
|
|
0.16
|
|
|
23
|
|
|
0.14
|
|
||||
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect
|
395
|
|
|
2.58
|
|
|
373
|
|
|
2.36
|
|
||||
Operating shareholders’ equity
|
5,876
|
|
|
38.45
|
|
|
5,933
|
|
|
37.48
|
|
||||
After-tax adjustments:
|
|
|
|
|
|
|
|
|
|
|
|||||
Less: Deferred acquisition costs
|
155
|
|
|
1.02
|
|
|
156
|
|
|
0.99
|
|
||||
Plus: Net present value of estimated net future credit derivative revenue
|
99
|
|
|
0.65
|
|
|
109
|
|
|
0.69
|
|
||||
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed
|
2,534
|
|
|
16.58
|
|
|
2,609
|
|
|
16.48
|
|
||||
Adjusted book value
|
$
|
8,354
|
|
|
$
|
54.66
|
|
|
$
|
8,495
|
|
|
$
|
53.66
|
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
( in millions)
|
||||||
Total PVP
|
|
$
|
36
|
|
|
$
|
31
|
|
Less: PVP of non-financial guaranty insurance
|
|
6
|
|
|
—
|
|
||
PVP of financial guaranty insurance
|
|
30
|
|
|
31
|
|
||
Less: Financial guaranty installment premium PVP
|
|
17
|
|
|
10
|
|
||
Total: Financial guaranty upfront gross written premiums
|
|
13
|
|
|
21
|
|
||
Plus: Installment gross written premiums and other GAAP adjustments
|
|
19
|
|
|
9
|
|
||
Total gross written premiums
|
|
32
|
|
|
30
|
|
|
|
As of March 31, 2015
|
|
As of December 31, 2014
|
||||||||
Sector
|
|
Net Par
Outstanding
|
|
Avg.
Rating
|
|
Net Par
Outstanding
|
|
Avg.
Rating
|
||||
|
|
(dollars in millions)
|
||||||||||
Public finance:
|
|
|
|
|
|
|
|
|
|
|||
U.S.:
|
|
|
|
|
|
|
|
|
|
|||
General obligation
|
|
$
|
136,833
|
|
|
A
|
|
$
|
140,276
|
|
|
A
|
Tax backed
|
|
60,686
|
|
|
A
|
|
62,525
|
|
|
A
|
||
Municipal utilities
|
|
50,542
|
|
|
A
|
|
52,090
|
|
|
A
|
||
Transportation
|
|
26,309
|
|
|
A
|
|
27,823
|
|
|
A
|
||
Healthcare
|
|
14,805
|
|
|
A
|
|
14,848
|
|
|
A
|
||
Higher education
|
|
13,010
|
|
|
A
|
|
13,099
|
|
|
A
|
||
Infrastructure finance
|
|
4,171
|
|
|
BBB
|
|
4,181
|
|
|
BBB
|
||
Housing
|
|
2,645
|
|
|
A+
|
|
2,779
|
|
|
A+
|
||
Investor-owned utilities
|
|
922
|
|
|
A-
|
|
944
|
|
|
A-
|
||
Other public finance—U.S.
|
|
3,521
|
|
|
A
|
|
3,558
|
|
|
A
|
||
Total public finance—U.S.
|
|
313,444
|
|
|
A
|
|
322,123
|
|
|
A
|
||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Infrastructure finance
|
|
11,913
|
|
|
BBB
|
|
12,808
|
|
|
BBB
|
||
Regulated utilities
|
|
10,377
|
|
|
BBB+
|
|
10,914
|
|
|
BBB+
|
||
Pooled infrastructure
|
|
2,284
|
|
|
AA
|
|
2,420
|
|
|
AA
|
||
Other public finance
|
|
5,045
|
|
|
A
|
|
5,217
|
|
|
A
|
||
Total public finance—non-U.S.
|
|
29,619
|
|
|
BBB+
|
|
31,359
|
|
|
BBB+
|
||
Total public finance
|
|
343,063
|
|
|
A
|
|
353,482
|
|
|
A
|
||
Structured finance:
|
|
|
|
|
|
|
|
|
|
|||
U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Pooled corporate obligations
|
|
18,683
|
|
|
AAA
|
|
20,646
|
|
|
AAA
|
||
RMBS
|
|
9,078
|
|
|
BBB-
|
|
9,417
|
|
|
BBB-
|
||
Insurance securitizations
|
|
3,383
|
|
|
A-
|
|
3,433
|
|
|
A-
|
||
Financial products
|
|
2,147
|
|
|
AA-
|
|
2,276
|
|
|
AA-
|
||
Consumer receivables
|
|
2,069
|
|
|
BBB+
|
|
2,099
|
|
|
BBB+
|
||
CMBS and other commercial real estate related exposures
|
|
1,788
|
|
|
AAA
|
|
1,957
|
|
|
AAA
|
||
Commercial receivables
|
|
526
|
|
|
BBB+
|
|
560
|
|
|
BBB+
|
||
Structured credit
|
|
69
|
|
|
BB
|
|
69
|
|
|
BB
|
||
Other structured finance—U.S.
|
|
687
|
|
|
AA
|
|
714
|
|
|
AA
|
||
Total structured finance—U.S.
|
|
38,430
|
|
|
AA-
|
|
41,171
|
|
|
AA-
|
||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Pooled corporate obligations
|
|
5,289
|
|
|
AA+
|
|
6,604
|
|
|
AA+
|
||
Commercial receivables
|
|
877
|
|
|
BBB
|
|
944
|
|
|
BBB
|
||
RMBS
|
|
718
|
|
|
A
|
|
794
|
|
|
A
|
||
Structured credit
|
|
8
|
|
|
BBB+
|
|
9
|
|
|
BBB+
|
||
Other structured finance
|
|
714
|
|
|
AA
|
|
725
|
|
|
AA
|
||
Total structured finance—non-U.S.
|
|
7,606
|
|
|
AA
|
|
9,076
|
|
|
AA
|
||
Total structured finance
|
|
46,036
|
|
|
AA-
|
|
50,247
|
|
|
AA-
|
||
Total net par outstanding
|
|
$
|
389,099
|
|
|
A
|
|
$
|
403,729
|
|
|
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
|
|
$
|
3,563
|
|
|
1.1
|
%
|
|
$
|
613
|
|
|
2.1
|
%
|
|
$
|
18,176
|
|
|
47.3
|
%
|
|
$
|
4,397
|
|
|
57.8
|
%
|
|
$
|
26,749
|
|
|
6.9
|
%
|
AA
|
|
86,521
|
|
|
27.6
|
|
|
2,650
|
|
|
9.0
|
|
|
8,360
|
|
|
21.7
|
|
|
377
|
|
|
5.0
|
|
|
97,908
|
|
|
25.2
|
|
|||||
A
|
|
171,308
|
|
|
54.7
|
|
|
7,091
|
|
|
23.9
|
|
|
2,228
|
|
|
5.8
|
|
|
365
|
|
|
4.7
|
|
|
180,992
|
|
|
46.4
|
|
|||||
BBB
|
|
44,110
|
|
|
14.1
|
|
|
17,891
|
|
|
60.4
|
|
|
1,843
|
|
|
4.8
|
|
|
1,746
|
|
|
23.0
|
|
|
65,590
|
|
|
16.9
|
|
|||||
BIG
|
|
7,942
|
|
|
2.5
|
|
|
1,374
|
|
|
4.6
|
|
|
7,823
|
|
|
20.4
|
|
|
721
|
|
|
9.5
|
|
|
17,860
|
|
|
4.6
|
|
|||||
Total net par outstanding (1)
|
|
$
|
313,444
|
|
|
100.0
|
%
|
|
$
|
29,619
|
|
|
100.0
|
%
|
|
$
|
38,430
|
|
|
100.0
|
%
|
|
$
|
7,606
|
|
|
100.0
|
%
|
|
$
|
389,099
|
|
|
100.0
|
%
|
(1)
|
Excludes
1.3 billion
of loss mitigation securities insured and held by the Company as of
March 31, 2015
, 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
|
|
$
|
4,082
|
|
|
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.
|
|
|
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 Previously Subject to the Voided Recovery Act(3):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
PRHTA (Transportation revenue)
|
|
$
|
303
|
|
|
$
|
392
|
|
|
$
|
229
|
|
|
$
|
(80
|
)
|
|
$
|
844
|
|
|
$
|
912
|
|
|
BB-
|
PREPA
|
|
464
|
|
|
53
|
|
|
256
|
|
|
—
|
|
|
773
|
|
|
1,007
|
|
|
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
|
|
|
720
|
|
|
(80
|
)
|
|
2,448
|
|
|
3,059
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Exposures Not Previously Subject to the 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
|
|
|
$
|
1,415
|
|
|
$
|
(80
|
)
|
|
$
|
4,940
|
|
|
$
|
6,036
|
|
|
|
(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 U.S. 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 (2Q)
|
2015 (3Q)
|
2015 (4Q)
|
2016
|
2017
|
2018
|
2019
|
2020
|
2021
|
2022
|
2023
|
2024
|
2025 -2029
|
2030 -2034
|
2035 -2039
|
2040 -2044
|
2045 -2047
|
Total
|
||||||||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
PRHTA (Transportation revenue)
|
$
|
0
|
|
$
|
22
|
|
$
|
0
|
|
$
|
29
|
|
$
|
32
|
|
$
|
39
|
|
$
|
26
|
|
$
|
21
|
|
$
|
16
|
|
$
|
17
|
|
$
|
17
|
|
$
|
1
|
|
$
|
128
|
|
$
|
137
|
|
$
|
281
|
|
$
|
78
|
|
$
|
—
|
|
$
|
844
|
|
PREPA
|
0
|
|
73
|
|
0
|
|
19
|
|
4
|
|
4
|
|
24
|
|
40
|
|
20
|
|
20
|
|
78
|
|
74
|
|
300
|
|
113
|
|
4
|
|
—
|
|
—
|
|
773
|
|
||||||||||||||||||
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
|
0
|
|
126
|
|
0
|
|
84
|
|
41
|
|
48
|
|
61
|
|
73
|
|
51
|
|
43
|
|
102
|
|
82
|
|
576
|
|
440
|
|
397
|
|
78
|
|
246
|
|
2,448
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
Exposures Not Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
0
|
|
109
|
|
0
|
|
127
|
|
95
|
|
64
|
|
82
|
|
137
|
|
16
|
|
37
|
|
14
|
|
66
|
|
278
|
|
381
|
|
266
|
|
—
|
|
—
|
|
1,672
|
|
||||||||||||||||||
Puerto Rico Municipal Finance Agency
|
—
|
|
51
|
|
—
|
|
48
|
|
41
|
|
43
|
|
39
|
|
35
|
|
30
|
|
30
|
|
16
|
|
12
|
|
52
|
|
2
|
|
—
|
|
—
|
|
—
|
|
399
|
|
||||||||||||||||||
Puerto Rico Sales Tax Financing Corporation
|
0
|
|
(1
|
)
|
0
|
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(2
|
)
|
(2
|
)
|
1
|
|
0
|
|
(10
|
)
|
34
|
|
(1
|
)
|
255
|
|
—
|
|
269
|
|
||||||||||||||||||
Puerto Rico Public Buildings Authority
|
—
|
|
11
|
|
—
|
|
8
|
|
30
|
|
—
|
|
5
|
|
10
|
|
12
|
|
0
|
|
7
|
|
0
|
|
10
|
|
3
|
|
4
|
|
—
|
|
—
|
|
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
|
0
|
|
170
|
|
33
|
|
182
|
|
165
|
|
108
|
|
125
|
|
181
|
|
56
|
|
65
|
|
40
|
|
78
|
|
330
|
|
421
|
|
271
|
|
267
|
|
—
|
|
2,492
|
|
||||||||||||||||||
Total net par for Puerto Rico
|
$
|
0
|
|
$
|
296
|
|
$
|
33
|
|
$
|
266
|
|
$
|
206
|
|
$
|
156
|
|
$
|
186
|
|
$
|
254
|
|
$
|
107
|
|
$
|
108
|
|
$
|
142
|
|
$
|
160
|
|
$
|
906
|
|
$
|
861
|
|
$
|
668
|
|
$
|
345
|
|
$
|
246
|
|
$
|
4,940
|
|
|
Scheduled Net Debt Service Amortization
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2015 (2Q)
|
2015 (3Q)
|
2015 (4Q)
|
2016
|
2017
|
2018
|
2019
|
2020
|
2021
|
2022
|
2023
|
2024
|
2025 -2029
|
2030 -2034
|
2035 -2039
|
2040 -2044
|
2045 -2047
|
Total
|
||||||||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
PRHTA (Transportation revenue)
|
$
|
—
|
|
$
|
44
|
|
$
|
—
|
|
$
|
72
|
|
$
|
73
|
|
$
|
79
|
|
$
|
64
|
|
$
|
57
|
|
$
|
51
|
|
$
|
51
|
|
$
|
51
|
|
$
|
34
|
|
$
|
280
|
|
$
|
257
|
|
$
|
339
|
|
$
|
83
|
|
$
|
—
|
|
$
|
1,535
|
|
PREPA
|
2
|
|
89
|
|
2
|
|
51
|
|
36
|
|
35
|
|
55
|
|
70
|
|
48
|
|
47
|
|
104
|
|
97
|
|
365
|
|
125
|
|
4
|
|
—
|
|
—
|
|
1,130
|
|
||||||||||||||||||
Puerto Rico Aqueduct and Sewer Authority
|
—
|
|
24
|
|
—
|
|
34
|
|
18
|
|
18
|
|
18
|
|
18
|
|
18
|
|
18
|
|
18
|
|
18
|
|
186
|
|
63
|
|
63
|
|
63
|
|
272
|
|
849
|
|
||||||||||||||||||
PRHTA (Highway revenue)
|
—
|
|
14
|
|
—
|
|
24
|
|
19
|
|
19
|
|
24
|
|
24
|
|
27
|
|
17
|
|
18
|
|
17
|
|
68
|
|
148
|
|
59
|
|
—
|
|
—
|
|
478
|
|
||||||||||||||||||
Puerto Rico Convention Center District Authority
|
—
|
|
15
|
|
—
|
|
19
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
52
|
|
103
|
|
60
|
|
—
|
|
—
|
|
305
|
|
||||||||||||||||||
Total
|
2
|
|
186
|
|
2
|
|
200
|
|
153
|
|
158
|
|
168
|
|
176
|
|
151
|
|
140
|
|
198
|
|
173
|
|
951
|
|
696
|
|
525
|
|
146
|
|
272
|
|
4,297
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
Exposures Not Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
1
|
|
151
|
|
1
|
|
208
|
|
170
|
|
133
|
|
149
|
|
200
|
|
71
|
|
91
|
|
67
|
|
119
|
|
492
|
|
530
|
|
295
|
|
—
|
|
—
|
|
2,678
|
|
||||||||||||||||||
Puerto Rico Municipal Finance Agency
|
—
|
|
61
|
|
—
|
|
66
|
|
57
|
|
56
|
|
50
|
|
44
|
|
37
|
|
36
|
|
20
|
|
15
|
|
59
|
|
3
|
|
—
|
|
—
|
|
—
|
|
504
|
|
||||||||||||||||||
Puerto Rico Sales Tax Financing Corporation
|
—
|
|
6
|
|
—
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
16
|
|
15
|
|
64
|
|
107
|
|
64
|
|
283
|
|
—
|
|
646
|
|
||||||||||||||||||
Puerto Rico Public Buildings Authority
|
—
|
|
14
|
|
—
|
|
12
|
|
34
|
|
3
|
|
7
|
|
13
|
|
14
|
|
1
|
|
9
|
|
1
|
|
12
|
|
5
|
|
4
|
|
—
|
|
—
|
|
129
|
|
||||||||||||||||||
GDB
|
—
|
|
1
|
|
34
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
35
|
|
||||||||||||||||||
PRIFA
|
—
|
|
0
|
|
—
|
|
1
|
|
1
|
|
3
|
|
1
|
|
1
|
|
1
|
|
1
|
|
3
|
|
1
|
|
3
|
|
3
|
|
5
|
|
13
|
|
—
|
|
37
|
|
||||||||||||||||||
University of Puerto Rico
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
—
|
|
—
|
|
—
|
|
1
|
|
||||||||||||||||||
Total
|
1
|
|
233
|
|
35
|
|
300
|
|
275
|
|
208
|
|
220
|
|
271
|
|
136
|
|
142
|
|
115
|
|
151
|
|
630
|
|
649
|
|
368
|
|
296
|
|
—
|
|
4,030
|
|
||||||||||||||||||
Total net debt service for Puerto Rico
|
$
|
3
|
|
$
|
419
|
|
$
|
37
|
|
$
|
500
|
|
$
|
428
|
|
$
|
366
|
|
$
|
388
|
|
$
|
447
|
|
$
|
287
|
|
$
|
282
|
|
$
|
313
|
|
$
|
324
|
|
$
|
1,581
|
|
$
|
1,345
|
|
$
|
893
|
|
$
|
442
|
|
$
|
272
|
|
$
|
8,327
|
|
Ratings:
|
|
Prime First Lien
|
|
Closed-End Second Lien
|
|
Home Equity Lines of Credit
|
|
Alt-A First Lien
|
|
Option ARMs
|
|
Subprime First Lien
|
|
Total Net Par Outstanding
|
||||||||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||||||||
AAA
|
|
$
|
0
|
|
|
$
|
—
|
|
|
$
|
0
|
|
|
$
|
301
|
|
|
$
|
52
|
|
|
$
|
1,382
|
|
|
$
|
1,736
|
|
AA
|
|
81
|
|
|
80
|
|
|
58
|
|
|
353
|
|
|
118
|
|
|
865
|
|
|
1,555
|
|
|||||||
A
|
|
5
|
|
|
0
|
|
|
—
|
|
|
3
|
|
|
28
|
|
|
34
|
|
|
71
|
|
|||||||
BBB
|
|
19
|
|
|
—
|
|
|
91
|
|
|
13
|
|
|
4
|
|
|
116
|
|
|
244
|
|
|||||||
BIG
|
|
349
|
|
|
132
|
|
|
1,504
|
|
|
1,778
|
|
|
170
|
|
|
1,538
|
|
|
5,472
|
|
|||||||
Total exposures
|
|
$
|
454
|
|
|
$
|
212
|
|
|
$
|
1,654
|
|
|
$
|
2,449
|
|
|
$
|
374
|
|
|
$
|
3,935
|
|
|
$
|
9,078
|
|
Year
insured:
|
|
Prime
First
Lien
|
|
Closed
End
Second
Lien
|
|
Home Equity Lines of Credit
|
|
Alt-A
First Lien
|
|
Option
ARM
|
|
Subprime
First
Lien
|
|
Total Net
Par
Outstanding
|
||||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||||||
2004 and prior
|
|
$
|
16
|
|
|
$
|
0
|
|
|
$
|
139
|
|
|
$
|
64
|
|
|
$
|
20
|
|
|
$
|
1,061
|
|
|
$
|
1,301
|
|
2005
|
|
147
|
|
|
—
|
|
|
446
|
|
|
464
|
|
|
39
|
|
|
189
|
|
|
1,286
|
|
|||||||
2006
|
|
78
|
|
|
51
|
|
|
479
|
|
|
284
|
|
|
46
|
|
|
887
|
|
|
1,825
|
|
|||||||
2007
|
|
213
|
|
|
161
|
|
|
589
|
|
|
1,225
|
|
|
227
|
|
|
1,728
|
|
|
4,143
|
|
|||||||
2008
|
|
—
|
|
|
—
|
|
|
—
|
|
|
413
|
|
|
40
|
|
|
70
|
|
|
523
|
|
|||||||
Total exposures
|
|
$
|
454
|
|
|
$
|
212
|
|
|
$
|
1,654
|
|
|
$
|
2,449
|
|
|
$
|
374
|
|
|
$
|
3,935
|
|
|
$
|
9,078
|
|
|
|
Ratings at
|
|
Par Outstanding (1)
|
||||||||||||
|
|
May 6, 2015
|
|
As of March 31, 2015
|
||||||||||||
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
|
|
$
|
6,363
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
|
Aa3 (3)
|
|
AA- (3)
|
|
5,006
|
|
|
—
|
|
|
—
|
|
|||
Radian Asset (4)
|
|
WR
|
|
NR
|
|
3,984
|
|
|
18
|
|
|
620
|
|
|||
Syncora Guarantee Inc.
|
|
WR
|
|
WR
|
|
3,522
|
|
|
1,451
|
|
|
160
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd.
|
|
A1
|
|
A+ (3)
|
|
1,995
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
745
|
|
|
1
|
|
|
—
|
|
|||
Swiss Reinsurance Co.
|
|
Aa3
|
|
AA-
|
|
91
|
|
|
—
|
|
|
—
|
|
|||
Ambac Assurance Corporation
|
|
WR
|
|
WR
|
|
82
|
|
|
4,796
|
|
|
13,281
|
|
|||
NPFGC (6)
|
|
A3
|
|
AA-
|
|
—
|
|
|
6,061
|
|
|
5,724
|
|
|||
MBIA
|
|
(7)
|
|
(7)
|
|
—
|
|
|
2,465
|
|
|
484
|
|
|||
Financial Guaranty Insurance Co.
|
|
WR
|
|
WR
|
|
—
|
|
|
2,008
|
|
|
809
|
|
|||
Ambac Assurance Corp. Segregated Account
|
|
NR
|
|
NR
|
|
—
|
|
|
105
|
|
|
936
|
|
|||
CIFG Assurance North America Inc.
|
|
WR
|
|
WR
|
|
—
|
|
|
102
|
|
|
4,177
|
|
|||
Other
|
|
Various
|
|
Various
|
|
199
|
|
|
804
|
|
|
45
|
|
|||
Total
|
|
|
|
|
|
$
|
21,987
|
|
|
$
|
17,811
|
|
|
$
|
26,266
|
|
(1)
|
Includes par related to insured credit derivatives.
|
(4)
|
On April 1, 2015, AGC consummated the acquisition of Radian Asset and merged Radian Asset with and into AGC, with AGC as the surviving company of the merger.
|
(6)
|
NPFGC is rated AA+ by Kroll Bond Rating Agency.
|
(7)
|
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.
|
|
Internal Credit Rating
|
|
|
|||||||||||||||||||||
Reinsurer
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
Total
|
||||||||||||
|
(in millions)
|
|||||||||||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
$
|
572
|
|
|
$
|
2,352
|
|
|
$
|
1,864
|
|
|
$
|
1,084
|
|
|
$
|
491
|
|
|
$
|
6,363
|
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
710
|
|
|
898
|
|
|
1,456
|
|
|
1,180
|
|
|
762
|
|
|
5,006
|
|
|||||||
Radian Asset
|
211
|
|
|
280
|
|
|
2,026
|
|
|
981
|
|
|
486
|
|
|
3,984
|
|
|||||||
Syncora Guarantee Inc.
|
—
|
|
|
276
|
|
|
457
|
|
|
2,055
|
|
|
734
|
|
|
3,522
|
|
|||||||
Mitsui Sumitomo Insurance Co. Ltd.
|
132
|
|
|
658
|
|
|
730
|
|
|
287
|
|
|
188
|
|
|
1,995
|
|
|||||||
ACA Financial Guaranty Corp
|
—
|
|
|
457
|
|
|
277
|
|
|
11
|
|
|
—
|
|
|
745
|
|
|||||||
Swiss Reinsurance Co.
|
—
|
|
|
—
|
|
|
0
|
|
|
24
|
|
|
67
|
|
|
91
|
|
|||||||
Ambac Assurance Corporation
|
—
|
|
|
—
|
|
|
82
|
|
|
—
|
|
|
—
|
|
|
82
|
|
|||||||
Other
|
57
|
|
|
79
|
|
|
56
|
|
|
7
|
|
|
—
|
|
|
199
|
|
|||||||
Total
|
$
|
1,682
|
|
|
$
|
5,000
|
|
|
$
|
6,948
|
|
|
$
|
5,629
|
|
|
$
|
2,728
|
|
|
$
|
21,987
|
|
|
Public Finance
|
|
Structured Finance
|
|
|
||||||||||||||||||||||||||||||||||||||
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
Total
|
||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||
Radian Asset
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3
|
|
|
$
|
9
|
|
|
$
|
6
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
18
|
|
Syncora Guarantee Inc.
|
—
|
|
|
45
|
|
|
326
|
|
|
689
|
|
|
258
|
|
|
89
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
44
|
|
|
1,451
|
|
|||||||||||
ACA Financial Guaranty Corp.
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|||||||||||
Ambac Assurance Corporation
|
10
|
|
|
1,289
|
|
|
2,330
|
|
|
819
|
|
|
52
|
|
|
1
|
|
|
—
|
|
|
62
|
|
|
227
|
|
|
6
|
|
|
4,796
|
|
|||||||||||
National Public Finance Guarantee Corp.
|
161
|
|
|
2,176
|
|
|
3,700
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
24
|
|
|
—
|
|
|
—
|
|
|
6,061
|
|
|||||||||||
MBIA
|
—
|
|
|
64
|
|
|
242
|
|
|
402
|
|
|
—
|
|
|
—
|
|
|
1,407
|
|
|
—
|
|
|
238
|
|
|
112
|
|
|
2,465
|
|
|||||||||||
Financial Guaranty Insurance Co.
|
—
|
|
|
77
|
|
|
956
|
|
|
270
|
|
|
282
|
|
|
359
|
|
|
—
|
|
|
23
|
|
|
—
|
|
|
41
|
|
|
2,008
|
|
|||||||||||
Ambac Assurance Corp. Segregated Account
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
31
|
|
|
—
|
|
|
—
|
|
|
74
|
|
|
105
|
|
|||||||||||
CIFG Assurance North America Inc.
|
—
|
|
|
4
|
|
|
51
|
|
|
22
|
|
|
25
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
102
|
|
|||||||||||
Other
|
—
|
|
|
804
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
804
|
|
|||||||||||
Total
|
$
|
171
|
|
|
$
|
4,459
|
|
|
$
|
7,608
|
|
|
$
|
2,212
|
|
|
$
|
623
|
|
|
$
|
449
|
|
|
$
|
1,438
|
|
|
$
|
109
|
|
|
$
|
465
|
|
|
$
|
277
|
|
|
$
|
17,811
|
|
(1)
|
Assured Guaranty’s internal rating.
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-infrastructure public finance (2)
|
$
|
—
|
|
|
$
|
1,042
|
|
|
$
|
103
|
|
|
$
|
339
|
|
|
$
|
1,484
|
|
Infrastructure finance
|
283
|
|
|
12
|
|
|
11
|
|
|
122
|
|
|
428
|
|
|||||
Total sovereign and sub-sovereign exposure
|
283
|
|
|
1,054
|
|
|
114
|
|
|
461
|
|
|
1,912
|
|
|||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Regulated utilities
|
—
|
|
|
227
|
|
|
—
|
|
|
—
|
|
|
227
|
|
|||||
RMBS
|
182
|
|
|
284
|
|
|
—
|
|
|
—
|
|
|
466
|
|
|||||
Total non-sovereign exposure
|
182
|
|
|
511
|
|
|
—
|
|
|
—
|
|
|
693
|
|
|||||
Total
|
$
|
465
|
|
|
$
|
1,565
|
|
|
$
|
114
|
|
|
$
|
461
|
|
|
$
|
2,605
|
|
Total BIG
|
$
|
393
|
|
|
$
|
—
|
|
|
$
|
114
|
|
|
$
|
461
|
|
|
$
|
968
|
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sovereign and sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-infrastructure public finance (2)
|
$
|
—
|
|
|
$
|
779
|
|
|
$
|
91
|
|
|
$
|
211
|
|
|
$
|
1,081
|
|
Infrastructure finance
|
265
|
|
|
11
|
|
|
11
|
|
|
120
|
|
|
407
|
|
|||||
Total sovereign and sub-sovereign exposure
|
265
|
|
|
790
|
|
|
102
|
|
|
331
|
|
|
1,488
|
|
|||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Regulated utilities
|
—
|
|
|
210
|
|
|
—
|
|
|
—
|
|
|
210
|
|
|||||
RMBS
|
174
|
|
|
234
|
|
|
—
|
|
|
—
|
|
|
408
|
|
|||||
Total non-sovereign exposure
|
174
|
|
|
444
|
|
|
—
|
|
|
—
|
|
|
618
|
|
|||||
Total
|
$
|
439
|
|
|
$
|
1,234
|
|
|
$
|
102
|
|
|
$
|
331
|
|
|
$
|
2,106
|
|
Total BIG
|
$
|
370
|
|
|
$
|
—
|
|
|
$
|
102
|
|
|
$
|
331
|
|
|
$
|
803
|
|
(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 tables.
|
(2)
|
The exposure shown in the "Non-infrastructure public finance" category is from transactions backed by receivable payments from sub-sovereigns in Italy, Spain and Portugal.
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Dividends paid by AGC to AGUS
|
|
$
|
20
|
|
|
$
|
—
|
|
Dividends paid by AGM to AGMH
|
|
66
|
|
|
—
|
|
||
Dividends paid by AG Re to AGL
|
|
50
|
|
|
62
|
|
||
Repayment of surplus note by AGM to AGMH
|
|
25
|
|
|
25
|
|
||
Dividends paid to AGL shareholders
|
|
(19
|
)
|
|
(20
|
)
|
||
Repurchases of common shares(1)
|
|
(152
|
)
|
|
(35
|
)
|
||
Interest paid
|
|
(7
|
)
|
|
(7
|
)
|
||
Issuance of note by AGUS to AGC(2)
|
|
(200
|
)
|
|
—
|
|
(1)
|
As of
March 31, 2015
and May 8, 2015, on a settlement date basis, the remaining authorization for share repurchases was $58 million and
$2 million
, respectively. On May 6, 2015, in continuation of the Company's capital management strategy of repurchasing its common shares, the Company's Board of Directors approved the repurchase of an incremental $400 million of common shares.
|
(2)
|
On March 31, 2015, AGUS, as lender, provided
$200 million
to AGC, as borrower, from available funds to help fund the purchase of Radian Asset. AGC repaid that loan in full on April 14, 2015.
|
•
|
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 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 with the New York Superintendent) or
100%
of its adjusted net investment income during that period. The maximum amount available during 2015 for AGM to distribute as dividends without regulatory approval is estimated to be approximately
$221 million
, of which approximately
$40 million
is estimated to be available for distribution in the second quarter of 2015.
|
•
|
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
$16 million
is available for distribution in the second quarter of 2015.
|
•
|
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.
|
•
|
For AG Re, any distribution (including repurchase of shares) of any share capital, contributed surplus or other statutory capital) that would reduce its total statutory capital by
15%
or more of its total statutory capital as set out
|
•
|
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.
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Public finance
|
|
$
|
(2
|
)
|
|
$
|
(6
|
)
|
Structured finance:
|
|
|
|
|
||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
|
(39
|
)
|
|
(42
|
)
|
||
Net benefit for recoveries for breaches of R&W
|
|
21
|
|
|
39
|
|
||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
|
(18
|
)
|
|
(3
|
)
|
||
Other structured finance
|
|
2
|
|
|
(1
|
)
|
||
Structured finance
|
|
(16
|
)
|
|
(4
|
)
|
||
Other
|
|
6
|
|
|
—
|
|
||
Claims (paid) recovered, net of reinsurance(1)
|
|
$
|
(12
|
)
|
|
$
|
(10
|
)
|
(1)
|
Includes $6 million paid and $1 million paid for consolidated FG VIEs for
First Quarter
2015
and
2014
, respectively.
|
|
|
First Quarter
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(in millions)
|
||||||
Net cash flows provided by (used in) operating activities before effects of trading securities and FG VIEs consolidation
|
|
$
|
8
|
|
|
$
|
25
|
|
(Purchases) sales of trading securities, net
|
|
(3
|
)
|
|
84
|
|
||
Effect of FG VIEs consolidation
|
|
18
|
|
|
(8
|
)
|
||
Net cash flows provided by (used in) operating activities - reported
|
|
23
|
|
|
101
|
|
||
Net cash flows provided by (used in) investing activities before effects of FG VIEs consolidation
|
|
980
|
|
|
(13
|
)
|
||
Effect of FG VIEs consolidation
|
|
21
|
|
|
288
|
|
||
Net cash flows provided by (used in) investing activities - reported
|
|
1,001
|
|
|
275
|
|
||
Net cash flows provided by (used in) financing activities before effects of FG VIEs consolidation
|
|
(173
|
)
|
|
(61
|
)
|
||
Effect of FG VIEs consolidation
|
|
(39
|
)
|
|
(281
|
)
|
||
Net cash flows provided by (used in) financing activities - reported (1)
|
|
(212
|
)
|
|
(342
|
)
|
||
Effect of exchange rate changes
|
|
(2
|
)
|
|
1
|
|
||
Cash at beginning of period
|
|
75
|
|
|
184
|
|
||
Total cash at the end of the period
|
|
$
|
885
|
|
|
$
|
219
|
|
(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
March 31, |
|
As of
December 31, |
|
First Quarter
|
||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(in millions)
|
||||||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|
||||||
7.0% Senior Notes(1)
|
$
|
200
|
|
|
$
|
200
|
|
|
$
|
—
|
|
|
$
|
—
|
|
5.0% Senior Notes(1)
|
500
|
|
|
500
|
|
|
—
|
|
|
—
|
|
||||
Series A Enhanced Junior Subordinated Debentures(2)
|
150
|
|
|
150
|
|
|
—
|
|
|
—
|
|
||||
Total AGUS
|
850
|
|
|
850
|
|
|
—
|
|
|
—
|
|
||||
AGMH(3):
|
|
|
|
|
|
|
|
|
|
||||||
6
7
/
8
% QUIBS(1)
|
100
|
|
|
100
|
|
|
2
|
|
|
2
|
|
||||
6.25% Notes(1)
|
230
|
|
|
230
|
|
|
4
|
|
|
4
|
|
||||
5.60% Notes(1)
|
100
|
|
|
100
|
|
|
1
|
|
|
1
|
|
||||
Junior Subordinated Debentures(2)
|
300
|
|
|
300
|
|
|
—
|
|
|
—
|
|
||||
Total AGMH
|
730
|
|
|
730
|
|
|
7
|
|
|
7
|
|
||||
AGM(3):
|
|
|
|
|
|
|
|
|
|
||||||
AGM Notes Payable
|
15
|
|
|
16
|
|
|
0
|
|
|
1
|
|
||||
Total AGM
|
$
|
15
|
|
|
$
|
16
|
|
|
$
|
0
|
|
|
$
|
1
|
|
Total
|
$
|
1,595
|
|
|
$
|
1,596
|
|
|
$
|
7
|
|
|
$
|
8
|
|
(1)
|
AGL fully and unconditionally guarantees these obligations
|
(2)
|
Guaranteed by AGL on a junior subordinated basis.
|
•
|
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 March 31, 2015
|
|
As of December 31, 2014
|
||||||||||||
|
Amortized
Cost
|
|
Estimated
Fair Value
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Obligations of state and political subdivisions
|
$
|
5,099
|
|
|
$
|
5,458
|
|
|
$
|
5,416
|
|
|
$
|
5,795
|
|
U.S. government and agencies
|
464
|
|
|
497
|
|
|
635
|
|
|
665
|
|
||||
Corporate securities
|
1,340
|
|
|
1,399
|
|
|
1,320
|
|
|
1,368
|
|
||||
Mortgage-backed securities(1):
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,145
|
|
|
1,185
|
|
|
1,255
|
|
|
1,285
|
|
||||
CMBS
|
573
|
|
|
600
|
|
|
639
|
|
|
659
|
|
||||
Asset-backed securities
|
394
|
|
|
401
|
|
|
411
|
|
|
417
|
|
||||
Foreign government securities
|
295
|
|
|
293
|
|
|
296
|
|
|
302
|
|
||||
Total fixed-maturity securities
|
9,310
|
|
|
9,833
|
|
|
9,972
|
|
|
10,491
|
|
||||
Short-term investments
|
349
|
|
|
349
|
|
|
767
|
|
|
767
|
|
||||
Total fixed-maturity and short-term investments
|
$
|
9,659
|
|
|
$
|
10,182
|
|
|
$
|
10,739
|
|
|
$
|
11,258
|
|
(1)
|
Government-agency obligations were approximately
47%
of mortgage backed securities as of
March 31, 2015
and
44%
as of
December 31, 2014
, 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
|
$
|
189
|
|
|
$
|
(2
|
)
|
|
$
|
5
|
|
|
$
|
0
|
|
|
$
|
194
|
|
|
$
|
(2
|
)
|
U.S. government and agencies
|
26
|
|
|
0
|
|
|
12
|
|
|
0
|
|
|
38
|
|
|
0
|
|
||||||
Corporate securities
|
194
|
|
|
(6
|
)
|
|
5
|
|
|
0
|
|
|
199
|
|
|
(6
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
RMBS
|
94
|
|
|
(1
|
)
|
|
85
|
|
|
(15
|
)
|
|
179
|
|
|
(16
|
)
|
||||||
CMBS
|
21
|
|
|
0
|
|
|
2
|
|
|
0
|
|
|
23
|
|
|
0
|
|
||||||
Asset-backed securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Foreign government securities
|
156
|
|
|
(8
|
)
|
|
—
|
|
|
—
|
|
|
156
|
|
|
(8
|
)
|
||||||
Total
|
$
|
680
|
|
|
$
|
(17
|
)
|
|
$
|
109
|
|
|
$
|
(15
|
)
|
|
$
|
789
|
|
|
$
|
(32
|
)
|
Number of securities(1)
|
|
|
|
166
|
|
|
|
|
|
24
|
|
|
|
|
|
187
|
|
||||||
Number of securities with other-than-temporary impairment
|
|
|
|
2
|
|
|
|
|
|
3
|
|
|
|
|
|
5
|
|
|
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
|
|
|
|
|
|
—
|
|
||||||
Number of securities with other-than-temporary impairment
|
|
|
|
3
|
|
|
|
|
|
7
|
|
|
|
|
|
10
|
|
(1)
|
The number of securities does not add across because lots of the same securities have been purchased at different times and appear in both categories above (i.e. Less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column.
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||
|
(in millions)
|
||||||
Due within one year
|
$
|
156
|
|
|
$
|
158
|
|
Due after one year through five years
|
1,706
|
|
|
1,763
|
|
||
Due after five years through 10 years
|
2,146
|
|
|
2,288
|
|
||
Due after 10 years
|
3,584
|
|
|
3,839
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,145
|
|
|
1,185
|
|
||
CMBS
|
573
|
|
|
600
|
|
||
Total
|
$
|
9,310
|
|
|
$
|
9,833
|
|
Rating
|
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||
AAA
|
|
13.7
|
%
|
|
14.0
|
%
|
AA
|
|
59.7
|
|
|
60.3
|
|
A
|
|
19.0
|
|
|
17.9
|
|
BBB
|
|
0.6
|
|
|
0.5
|
|
BIG(1)
|
|
7.0
|
|
|
7.3
|
|
Total
|
|
100.0
|
%
|
|
100.0
|
%
|
(1)
|
Comprised primarily of loss mitigation and other risk management assets. See Note 10, Investments and Cash, of the Financial Statements.
|
•
|
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
March 31, 2015
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
March 31, 2015
, no amounts were outstanding under the Repurchase Facility Agreement.
|
ITEM 3.
|
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|
ITEM 4.
|
CONTROLS AND PROCEDURES
|
PART II.
|
OTHER INFORMATION
|
ITEM 1.
|
LEGAL PROCEEDINGS
|
ITEM 1A.
|
RISK FACTORS
|
ITEM 2.
|
UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
|
Period
|
|
Total
Number of
Shares
Purchased
|
|
Average
Price Paid
Per Share
|
|
Total Number of
Shares Purchased as
Part of Publicly
Announced Program (1)
|
|
Maximum Number (or Approximate Dollar Value)
of Shares that
May Yet Be
Purchased
Under the Program(2)
|
||||||
January 1 - January 31
|
|
1,809,211
|
|
|
$
|
25.62
|
|
|
1,809,211
|
|
|
$
|
163,525,014
|
|
February 1 - February 28
|
|
1,862,556
|
|
|
$
|
25.69
|
|
|
1,862,556
|
|
|
$
|
115,670,093
|
|
March 1 - March 31
|
|
2,188,524
|
|
|
$
|
26.24
|
|
|
2,188,524
|
|
|
$
|
58,245,680
|
|
Total
|
|
5,860,291
|
|
|
$
|
25.87
|
|
|
5,860,291
|
|
|
|
|
(1)
|
After giving effect to repurchases since the beginning of 2015 through May 8, 2015, the Company has repurchased a total of
7.9 million
common shares for approximately
$208 million
, excluding commissions, at an average price of
$26.26
per share. On May 6, 2015, the Company's board of directors approved an incremental
$400 million
share repurchase authorization.
|
(2)
|
Excludes commissions.
|
ITEM 6.
|
EXHIBITS.
|
|
ASSURED GUARANTY LTD.
(Registrant)
|
|
|
|
|
Dated May 8, 2015
|
By:
|
/s/ ROBERT A. BAILENSON
|
|
|
|
|
|
Robert A. Bailenson
Chief Financial Officer (Principal Financial and
Accounting Officer and Duly Authorized Officer)
|
Exhibit
Number
|
|
Description of Document
|
|
10.1
|
|
|
Director Compensation Summary*
|
10.2
|
|
|
2015 Form of Executive Performance-Based Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan *
|
10.3
|
|
|
Form of Executive Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan, as in effect for awards commencing in 2015*
|
10.4
|
|
|
Form of Restricted Stock Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan, as in effect for awards commencing in 2015*
|
31.1
|
|
|
Certification of CEO Pursuant to Exchange Act Rules 13A-14 and 15D-14, as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
31.2
|
|
|
Certification of CFO Pursuant to Exchange Act Rules 13A-14 and 15D-14, as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
32.1
|
|
|
Certification of CEO Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes- Oxley Act of 2002
|
32.2
|
|
|
Certification of CFO Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes- Oxley Act of 2002
|
101.1
|
|
|
The following financial information from Assured Guaranty Ltd.’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2015 formatted in XBRL: (i) Consolidated Balance Sheets at March 31, 2015 and December 31, 2014; (ii) Consolidated Statements of Operations for the Three Months ended March 31, 2015 and 2014; (iii) Consolidated Statements of Comprehensive Income for the Three Months ended March 31, 2015 and 2014 (iv) Consolidated Statement of Shareholders’ Equity for the Three Months ended March 31, 2015; (v) Consolidated Statements of Cash Flows for the Three Months ended March 31, 2015 and 2014; and (vi) Notes to Consolidated Financial Statements.
|
•
|
The Chairman of the Board receives an additional $125,000 annual retainer
|
•
|
The Chairman of each of the Audit Committee, the Compensation Committee, the Finance Committee, the Nominating and Governance Committee, and the Risk Oversight Committee receives an additional $30,000 annual retainer
|
•
|
Members, other than the chairman, of each of the Audit Committee, the Compensation Committee, the Finance Committee, the Nominating and Governance Committee and the Risk Oversight Committee receive an additional $15,000 annual retainer.
|
(a)
|
The "Participant" is
__________
______________________
|
(b)
|
The "Grant Date" is February 4, 2015
.
|
(c)
|
The number of “Covered Units” granted under this Agreement is _____ Covered Units.
|
(d)
|
The “Delivery Date” with respect to the Covered Units shall be the third anniversary of the Grant Date.
|
(e)
|
The “Performance Determination Date” is the earlier to occur of (i) December 31, 2017; (ii) the date of a Change in Control.
|
(f)
|
The “Performance Period” is July 1, 2016 through December 31, 2017; provided, however, if a Change in Control occurs on or after July 1, 2016 but prior to December 31, 2017, the Performance Period shall be the eighteen month period preceding the Change in Control; provided, further, however, if a Change in Control occurs prior to July 1, 2016, the Performance Period shall be the period beginning on January 1, 2015 and ending on the date of the Change in Control.
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
Performance Level
|
AGO High Stock Price in Performance Period
|
% of Units Vesting (the “Performance Percentage”)
|
Outstanding
|
$36 or higher
|
200%
|
Target
|
$32
|
100%
|
Threshold
|
$28
|
50%
|
< Threshold
|
Less than $28
|
0%
|
(a)
|
Death or Disability
. If the Participant’s Date of Termination occurs due to the Participant’s death or Disability prior to the last day of the Restricted Period, the Restricted Period shall immediately lapse upon such Date of Termination.
|
(b)
|
Retirement
. If the Participant’s Date of Termination occurs due to a Retirement prior to the last day of the Restricted Period, then, only for purposes of this Section 5 (and not for purposes of determining the Pro-Rata Fraction), the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period, subject to the Participant not engaging in any Competitive Activity or any Post-Retirement Activity prior to the last day of the Restricted Period and subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
(c)
|
Qualifying Termination Before a Change in Control
. If the Participant’s Date of Termination occurs due to a Qualifying Termination prior to the last day of the Restricted Period and prior to the date of a Change in Control, then, only for purposes of this Section 5 (and not for purposes of determining the Pro-Rata Fraction), the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period, subject to the Participant not engaging in any Competitive Activity prior to the last day of the Restricted Period and subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not effective within the sixty-day period required by Section 7.1 of the Severance Plan or in the event that the Participant engages in a Competitive Activity prior to the last day of the Restricted Period, the Participant shall immediately forfeit all of the Covered Units.
|
(d)
|
Qualifying Termination On or After a Change in Control
. If the Participant’s Date of Termination occurs due to a Qualifying Termination prior to the last day of the Restricted Period but on or after the date of a Change in Control that is not a Vesting Change in Control, then, only for purposes of this Section 5 (and not for purposes of determining the Pro-Rata Fraction), the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not effective within the sixty-day period required by Section 7.1 of the Severance Plan, the Participant shall immediately forfeit all of the Covered Units.
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
(a)
|
The Committee may cancel, rescind, suspend, withhold or otherwise limit or restrict the Performance-Based Restricted Stock Unit Award at any time if the Participant engages in any "Competitive Activity" or, in the case of a Participant whose Date of Termination has occurred due to Retirement, if the Participant engages in any Post-Retirement Activity.
|
(b)
|
Immediately prior to the Delivery Date (or, if earlier, a 457A Delivery Date) and prior to the transfer of the shares of Stock to the Participant, the Participant shall certify, to the extent required by the Committee, in a manner acceptable to the Committee, that the Participant is not engaging and has not engaged in any Competitive Activity and, in the case of a Participant whose Date of Termination has occurred due to Retirement, that the Participant is not engaging and has not engaged in any Post-Retirement Activity. In the event a Participant has engaged in any Competitive Activity or, if applicable, any Post-Retirement Activity, prior to, or during the twelve months after, the later to occur of the Delivery Date or the last day of the Restricted Period with respect to any Covered Units (the “Restrictive Covenant Period”), the right to delivery of shares of Stock with respect to such Covered Units (including the delivery or vesting of any Restricted Shares) may be rescinded by the Committee within two years of the end of the Restricted Covenant Period. In the event of any such rescission, the Participant shall pay to the Company the amount of any gain realized as a result of the prior delivery of shares of Stock applicable to the rescinded Covered Units, in such manner and on such terms and conditions as may be required by the Company, and the Company shall be entitled to set-off against the amount of any such gain any amount owed to the Participant by the Company and/or Subsidiary.
|
(a)
|
Notwithstanding anything in this Agreement to the contrary, the Participant’s rights with respect to the Performance-Based Restricted Stock Unit Award shall be subject to the Assured Guaranty Ltd. Executive Officer Recoupment Policy as amended from time to time.
|
(b)
|
Notwithstanding anything in this Agreement to the contrary, but subject to subparagraph (a) of this Section 14 above, this Agreement shall be subject to the terms of the Plan, a copy of which may be obtained by the Participant from the office of the Secretary of the Company; and this Agreement is subject to all interpretations, amendments, rules and regulations promulgated by the Committee from time to time pursuant to the Plan.
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
(a)
|
AGO High Stock Price
. The term “AGO High Stock Price” shall mean the highest forty-trading day average stock price of a share of Stock as traded on the New York Stock Exchange during the Performance Period.
|
(b)
|
Change in Control
. The term "Change in Control" shall be defined as set forth in the Plan.
|
(c)
|
Competitive Activity
. The term “Competitive Activity” shall mean (i) the Participant’s engaging in an activity, directly or indirectly, whether as an employee, consultant, partner, principal, agent, distributor, representative, stockholder (except as a less than one percent stockholder of a publicly traded company or a less than five percent stockholder of a privately held company) or otherwise, within the United States, Bermuda, or the Cayman Islands, if such activities involve insurance or reinsurance of United States based entities or risks that are competitive with the financial guaranty insurance business then being conducted by the Company or any affiliate and which, during the period covered by the Participant's employment, were conducted by the Company or any affiliate; or (ii) the Participant’s engaging in any activity, directly or indirectly, whether on behalf of himself or herself or any other person or entity (x) to solicit any client and/or customer of the Company or any affiliate or (y) to hire any employee or former employee of the Company or any present or former affiliate of the Company or encourage any employee of the Company or affiliate to leave the employ of the Company or affiliate; or (iii) the Participant’s violation of Section 7.3 of the Severance Plan (relating to confidentiality).
|
(d)
|
Date of Termination
. A Participant's "Date of Termination" means, with respect to an employee, the date on which the Participant's employment with the Company and Subsidiaries terminates for any reason, and with respect to a Director, the date immediately following the last day on which the Participant serves as a Director;
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
(e)
|
Director
. The term "Director" means a member of the Board of Directors of Assured Guaranty, Ltd., who may or may not be an employee of the Company or a Subsidiary.
|
(f)
|
Disability
. The Participant shall be considered to have a "Disability" during the period in which the Participant is unable, by reason of a medically determinable physical or mental impairment, to engage in any substantial gainful activity, which condition, in the opinion of a physician selected by the Committee, is expected to have a duration of not less than 120 days.
|
(g)
|
Post-Retirement Activity
. The term “Post-Retirement Activity” shall mean the Participant’s provision of significant commercial or business services to any one or more persons or entities, regardless of whether such entity is owned or controlled by the Participant; provided that the Participant’s devotion of reasonable time to the supervision of his personal investments, and activities involving professional, charitable, community, educational, religious and similar types of organizations, speaking engagements, membership on the boards of directors of other organizations, and similar types of activities shall not be considered Post-Retirement Activity, to the extent that the Committee, in its discretion, determines that such activities are consistent with the Participant’s Retirement. At the request of the Participant, the Committee shall determine whether a proposed activity of the Participant will be considered a Post-Retirement Activity for purposes of this Agreement. Such request shall be accompanied by a description of the proposed activities, and the Participant shall provide such additional information as the Committee may determine is necessary to make the determination. Such a determination shall be made promptly, but in no event more than 30 days after the written request, together with any additional information requested of the Participant, is delivered to the Committee.
|
(h)
|
Pro-Rata Fraction
. The term “Pro-Rata Fraction” shall mean a fraction, the numerator of which shall be equal to the number of days between the Grant Date and the Participant’s Date of Termination and the denominator of which shall be 1095.
|
(i)
|
Qualifying Termination
. The term “Qualifying Termination” is defined in Section 1 of the Severance Plan.
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
(j)
|
Retirement
. The term “Retirement” means the occurrence of a Participant’s Date of Termination due to the voluntary termination of employment with the consent of the Committee (as described below) by a Participant who meets the following requirements as of such Date of Termination: (i) the Participant is age 60 or older and (ii) the total of the Participant’s age and years of service equals or exceeds 70. For purposes of defining “Retirement,” years of service shall be determined in accordance with rules which may be established by the Committee, and shall take into account service with the Company and the Subsidiaries. If, on or before the date of the initial public offering of stock of the Company, the Participant was employed by the Company or its Subsidiaries, years of service shall also include service with ACE Limited and its subsidiaries occurring prior to such the initial public offering. For purposes of this Agreement, the Participant’s Date of Termination shall not be considered to be a Retirement unless, prior to such Date of Termination, the Committee approved treating such Participant’s Date of Termination as a Retirement for purposes of this Agreement. The determination of whether to treat the Participant’s Date of Termination as a Retirement shall be made in the sole discretion of the Committee and such determination shall be final and binding on all persons.
|
(k)
|
Severance Plan
. The term “Severance Plan” shall mean the Assured Guaranty Ltd. Executive Severance Plan.
|
(l)
|
Vesting Change in Control
. The term “Vesting Change in Control” shall mean the date of a Change in Control where this Performance-Based Restricted Stock Unit Award is terminated pursuant to Section 7(b) of this Agreement.
|
|
Assured Guaranty Ltd.
|
|
Participant
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
AMECURRENT 715404539.3 16-Apr-15 11:57
|
|
|
(a)
|
The "Participant" is
__________
______________________
|
(b)
|
The "Grant Date" is February 4, 2015
.
|
(c)
|
The number of “Covered Units” granted under this Agreement is _____ Units. Each “Unit” represents the right to receive one share of Stock on the Delivery Date, subject to the terms of this Agreement and the Plan.
|
(d)
|
The “Delivery Date” with respect to the Covered Units shall be the earliest to occur of: (i) the third anniversary of the Grant Date; (ii) the Participant’s death; and (iii) the date on which the Participant becomes Permanently Disabled.
|
AMECURRENT 715404543.3 16-Apr-15 11:57
|
|
|
(a)
|
Death or Disability
. If the Participant’s Date of Termination occurs due to the Participant’s death or Disability prior to the last day of the Restricted Period, the Restricted Period shall immediately lapse upon such Date of Termination.
|
(b)
|
Retirement
. If the Participant’s Date of Termination occurs due to a Retirement prior to the last day of the Restricted Period, then, only for purposes of this Section 4 (and not for purposes of determining the Pro-Rata Fraction), the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period, subject to the Participant not engaging in any Competitive Activity or any Post-Retirement Activity prior to the last day of the Restricted Period and subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not effective within the sixty-day period required by Section 7.1 of the Severance Plan or in the event that the Participant engages in a Competitive Activity or a Post-Retirement Activity prior to the last day of the Restricted Period, the Participant shall immediately forfeit all of the Covered Units.
|
(c)
|
Qualifying Termination Before a Change in Control
. If the Participant’s Date of Termination occurs due to a Qualifying Termination prior to the last day of the Restricted Period and prior to the date of a Change in Control, then the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period, subject to the Participant not engaging in any Competitive Activity prior to the last day of the Restricted Period and subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not effective within the sixty-day period required by Section 7.1 of the Severance Plan or in the event that the Participant engages in a Competitive Activity prior to the last day of the Restricted Period, the Participant shall immediately forfeit all of the Covered Units.
|
(d)
|
Qualifying Termination On or After a Change in Control
. If the Participant’s Date of Termination occurs due to a Qualifying Termination prior to the last day of the Restricted Period but on or after the date of a Change in Control that is not a Vesting Change in Control, then the Participant shall be treated as if his Date of Termination had not occurred prior to the last day of the Restricted Period subject to the Participant signing and not revoking a general release and waiver of all claims against the Company as required by Section 7.1 of the Severance Plan. If such release is not effective within the sixty-day period required by Section 7.1 of the Severance Plan, the Participant shall immediately forfeit all of the Covered Units.
|
AMECURRENT 715404543.3 16-Apr-15 11:57
|
|
|
AMECURRENT 715404543.3 16-Apr-15 11:57
|
|
|
(a)
|
The Committee may cancel, rescind, suspend, withhold or otherwise limit or restrict the Restricted Stock Unit Award at any time if the Participant engages in any "Competitive Activity" or, in the case of a Participant whose Date of Termination has occurred due to Retirement, if the Participant engages in any Post-Retirement Activity.
|
(b)
|
Immediately prior to the Delivery Date and prior to the transfer of the shares of Stock to the Participant, the Participant shall certify, to the extent required by the Committee, in a manner acceptable to the Committee, that the Participant is not engaging and has not engaged in any Competitive Activity and, in the case of a Participant whose Date of Termination has occurred due to Retirement, that the Participant is not engaging and has not engaged in any Post-Retirement Activity. In the event a Participant has engaged in any Competitive Activity or, if applicable, any Post-Retirement Activity, prior to, or during the twelve months after, the later to occur of the Delivery Date or the last day of the Restricted Period (the “Restrictive Covenant Period”) with respect to any Covered Units, the right to delivery of shares with respect to such Covered Units may be rescinded by the Committee within two years of the last day of the Restrictive Covenant Period. In the event of any such rescission, the Participant shall pay to the Company the amount of any gain realized as a result of the prior delivery of shares applicable to the rescinded Covered Units, in such manner and on such terms and conditions as may be required by the Company, and the Company shall be entitled to set-off against the amount of any such gain any amount owed to the Participant by the Company and/or Subsidiary.
|
AMECURRENT 715404543.3 16-Apr-15 11:57
|
|
|
AMECURRENT 715404543.3 16-Apr-15 11:57
|
|
|
(a)
|
Change in Control
. The term "Change in Control" shall be defined as set forth in the Plan.
|
(b)
|
Competitive Activity
. The term “Competitive Activity” shall mean (i) the Participant’s engaging in an activity, directly or indirectly, whether as an employee, consultant, partner, principal, agent, distributor, representative, stockholder (except as a less than one percent stockholder of a publicly traded company or a less than five percent stockholder of a privately held company) or otherwise, within the United States, Bermuda, or the Cayman Islands, if such activities involve insurance or reinsurance of United States based entities or risks that are competitive with the financial guaranty insurance business then being conducted by the Company or any affiliate and which, during the period covered by the Participant's employment, were conducted by the Company or any affiliate; or (ii) the Participant’s engaging in any activity, directly or indirectly, whether on behalf of himself or herself or any other person or entity (x) to solicit any client and/or customer of the Company or any affiliate or (y) to hire any employee or former employee of the Company or any present or former affiliate of the Company or encourage any employee of the Company or affiliate to leave the employ of the Company or affiliate; or (iii) the Participant’s violation of Section 7.3 of the Severance Plan (relating to confidentiality).
|
(c)
|
Date of Termination
. A Participant's "Date of Termination" means, with respect to an employee, the date on which the Participant's employment with the Company and Subsidiaries terminates for any reason, and with respect to a Director, the date immediately following the last day on which the Participant serves as a Director; provided that a Date of Termination shall not be deemed to occur by reason of a Participant's transfer of employment between the Company and a Subsidiary or between two Subsidiaries; further provided that a Date of Termination shall not be deemed to occur by reason of a Participant's cessation of service as a Director if immediately following such cessation of service the Participant becomes or continues to be employed by the Company or a Subsidiary, nor by reason of a Participant's termination of employment with the Company or a Subsidiary if immediately following such termination of employment the Participant becomes or continues to be a Director; and further provided that a Participant's employment shall not be considered terminated while the Participant is on a leave of absence from the Company or a Subsidiary approved by the Participant's employer.
|
(d)
|
Director
. The term "Director" means a member of the Board of Directors of Assured Guaranty, Ltd., who may or may not be an employee of the Company or a Subsidiary.
|
AMECURRENT 715404543.3 16-Apr-15 11:57
|
|
|
(e)
|
Disability
. The Participant shall be considered to have a "Disability" during the period in which the Participant is unable, by reason of a medically determinable physical or mental impairment, to engage in any substantial gainful activity, which condition, in the opinion of a physician selected by the Committee, is expected to have a duration of not less than 120 days.
|
(f)
|
Permanent Disability
. The Participant shall be considered to be “Permanently Disabled” if he would be treated as “disabled” in accordance with the provisions of Treas. Reg. §1.409A-3(i)(4).
|
(g)
|
Post-Retirement Activity
. The term “Post-Retirement Activity” shall mean the Participant’s provision of significant commercial or business services to any one or more persons or entities, regardless of whether such entity is owned or controlled by the Participant; provided that the Participant’s devotion of reasonable time to the supervision of his personal investments, and activities involving professional, charitable, community, educational, religious and similar types of organizations, speaking engagements, membership on the boards of directors of other organizations, and similar types of activities shall not be considered Post-Retirement Activity, to the extent that the Committee, in its discretion, determines that such activities are consistent with the Participant’s Retirement. At the request of the Participant, the Committee shall determine whether a proposed activity of the Participant will be considered a Post-Retirement Activity for purposes of this Agreement. Such request shall be accompanied by a description of the proposed activities, and the Participant shall provide such additional information as the Committee may determine is necessary to make the determination. Such a determination shall be made promptly, but in no event more than 30 days after the written request, together with any additional information requested of the Participant, is delivered to the Committee.
|
(h)
|
Pro-Rata Fraction
. The term “Pro-Rata Fraction” shall mean a fraction, the numerator of which shall be equal to the number of days between the Grant Date and the Participant’s Date of Termination and the denominator of which shall be 1095.
|
(i)
|
Qualifying Termination
. The term “Qualifying Termination” is defined in Section 1 of the Severance Plan.
|
(j)
|
Retirement
. The term “Retirement” means the occurrence of a Participant’s Date of Termination due to the voluntary termination of employment with the consent of the Committee (as described below) by a Participant who meets the following requirements as of such Date of Termination: (i) the Participant is age 60 or older and (ii) the total of the Participant’s age and years of service equals or exceeds 70. For purposes of defining “Retirement,” years of service shall be determined in accordance with rules which may be established by the Committee, and shall take into account service with the Company and the Subsidiaries. If, on or before the date of the initial public offering of stock of the Company, the Participant was employed by the Company or its Subsidiaries, years of service shall also include service with ACE Limited and its subsidiaries occurring prior to such the initial public offering. For purposes of this Agreement, the Participant’s Date of
|
AMECURRENT 715404543.3 16-Apr-15 11:57
|
|
|
(k)
|
Severance Plan
. The term “Severance Plan” shall mean the Assured Guaranty Ltd. Executive Severance Plan.
|
(l)
|
Vesting Change in Control
. The term “Vesting Change in Control” shall mean the date of a Change in Control where this Restricted Stock Unit Award is terminated pursuant to Section 6(b) of this Agreement.
|
|
Assured Guaranty Ltd.
|
|
Participant
|
AMECURRENT 715404543.3 16-Apr-15 11:57
|
|
|
AMECURRENT 715404543.3 16-Apr-15 11:57
|
|
|
(a)
|
The "Director" is _______________.
|
(b)
|
The "Grant Date" is May 6, 2015.
|
(c)
|
The number of "Covered Shares" shall be __________ shares of Stock.
|
|
|
|
|
|
|
|
|
|
Assured Guaranty Ltd.
|
|
|
|
By:
|
James Michener
|
Its:
|
General Counsel
|
Director:
|
|
|
|
|
|
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Assured Guaranty Ltd.
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent function):
|
|
By:
|
/s/ DOMINIC J. FREDERICO
|
|
|
|
|
|
Dominic J. Frederico
|
|
|
President and Chief Executive Officer
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Assured Guaranty Ltd.
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent function):
|
|
By:
|
/s/ ROBERT A. BAILENSON
|
|
|
|
|
|
Robert A. Bailenson
|
|
|
Chief Financial Officer
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ DOMINIC J. FREDERICO
|
|
|
|
Name: Dominic J. Frederico
|
|
Title:
President and Chief Executive Officer
|
|
Date:
May 8, 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:
May 8, 2015
|
|