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ý
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ANNUAL REPORT UNDER SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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o
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Bermuda
(State or other jurisdiction of
incorporation or organization)
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98-0429991
(I.R.S. Employer Identification No.)
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Title of each class
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Name of each exchange on which registered
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Common Shares, $0.01 per share
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New York Stock Exchange, Inc.
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Large accelerated filer
ý
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Accelerated filer
o
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Non-accelerated filer
o
(Do not check if a
smaller reporting company)
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Smaller reporting company
o
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•
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rating agency action, including a ratings downgrade, a change in outlook, the placement of ratings on watch for downgrade, or a change in rating criteria, at any time, of AGL or any of its subsidiaries, and/or of any securities AGL or any of its subsidiaries have issued, and/or of transactions that AGL’s subsidiaries have insured;
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•
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reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty's insurance;
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•
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developments in the world’s financial and capital markets that adversely affect obligors’ payment rates, Assured Guaranty’s loss experience, or its exposure to refinancing risk in transactions (which could result in substantial liquidity claims on its guarantees);
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•
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the possibility that budget or pension shortfalls or other factors will result in credit losses or impairments on obligations of state, territorial and local governments and their related authorities and public corporations that Assured Guaranty insures or reinsures;
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•
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the failure of Assured Guaranty to realize loss recoveries that are assumed in its expected loss estimates;
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•
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deterioration in the financial condition of Assured Guaranty’s reinsurers, the amount and timing of reinsurance recoverables actually received and the risk that reinsurers may dispute amounts owed to Assured Guaranty under its reinsurance agreements;
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•
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increased competition, including from new entrants into the financial guaranty industry;
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•
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rating agency action on obligors, including sovereign debtors, resulting in a reduction in the value of securities in Assured Guaranty's investment portfolio and in collateral posted by and to Assured Guaranty;
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•
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the inability of Assured Guaranty to access external sources of capital on acceptable terms;
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•
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changes in the world’s credit markets, segments thereof, interest rates or general economic conditions;
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•
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the impact of market volatility on the mark-to-market of Assured Guaranty’s contracts written in credit default swap form;
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•
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changes in applicable accounting policies or practices;
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•
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changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions;
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difficulties with the execution of Assured Guaranty’s business strategy;
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•
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loss of key personnel;
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•
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the effects of mergers, acquisitions and divestitures;
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•
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natural or man-made catastrophes;
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•
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other risks and uncertainties that have not been identified at this time;
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•
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management’s response to these factors; and
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•
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other risk factors identified in AGL’s filings with the U.S. Securities and Exchange Commission (the “SEC”).
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ITEM 1.
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BUSINESS
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•
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Sustained low interest rate environment in the U.S.
Over the last several years, interest rates generally have been lower than historical norms. In 2015, average daily 30-year municipal interest rates, as reflected by the benchmark AAA 30-year Municipal Market Data index published by Thomson Reuters ("MMD Index"), were approximately 35 basis points lower than their levels in 2014, a year in which rates were already low by historical standards. As a result, the difference in yield (or the credit spread) between a bond insured by Assured Guaranty and an uninsured bond has provided comparatively little room for issuer savings and insurance premium, and Assured Guaranty has seen a lower demand for its financial guaranty insurance from issuers over the past several years than it saw historically.
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•
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Increased competition.
The Company estimates, based on third party industry compilations, that of the insured U.S. public finance bonds issued in the primary market in 2015, the Company insured approximately 60% of the par, while Build America Mutual Assurance Company ("BAM"), insured 38% of the par. National Public Finance Guarantee Corporation ("National"), an affiliate of MBIA Insurance Corporation ("MBIA"), insured the remaining 2% of the balance. The continued presence in the market of BAM affects the Company's insured volume as well as the amount of premium the Company is able to charge.
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•
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Portfolio Risk Management Committee
—This committee establishes company-wide credit policy for the Company's direct and assumed business. It implements specific underwriting procedures and limits for the Company and allocates underwriting capacity among the Company's subsidiaries. The Portfolio Risk Management Committee focuses on measuring and managing credit, market and liquidity risk for the overall company. All transactions in new asset classes or new jurisdictions must be approved by this committee.
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•
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U.S. Management Committee
—This committee establishes strategic policy and reviews the implementation of strategic initiatives and general business progress in the U.S. The U.S. Management Committee approves risk policy at the U.S. operating company level.
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•
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Risk Management Committees
—The U.S., U.K. and AG Re risk management committees conduct an in-depth review of the insured portfolios of the relevant subsidiaries, focusing on varying portions of the portfolio at each meeting. They assign internal ratings of the insured transactions and review sector reports, monthly product line surveillance reports and compliance reports.
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•
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Workout Committee
—This committee receives reports from Surveillance and Workout personnel on transactions that might benefit from active loss mitigation or risk reduction, and approves loss mitigation or risk reduction strategies for such transactions.
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•
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Reserve Committees
—Oversight of reserving risk is vested in the U.S. Reserve Committee, the AG Re Reserve Committee and the U.K. Reserve Committee. The committees review the reserve methodology and assumptions for each major asset class or significant BIG transaction, as well as the loss projection scenarios used and the probability weights assigned to those scenarios. The reserve committees establish reserves for the relevant subsidiaries, taking into consideration supporting information provided by Surveillance personnel.
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•
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Instability of Rating Criteria and Methodologies.
Rating agencies purport to issue ratings pursuant to published rating criteria and methodologies. In recent years, the rating agencies have made material changes to their rating criteria and methodologies applicable to financial guaranty insurers, sometimes through formal changes and other times through
ad hoc
adjustments to the conclusions reached by existing criteria. Furthermore, these criteria and methodology changes are typically implemented without any transition period, making it difficult for an insurer to comply quickly with new standards.
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•
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Instability of Severe Stress Case Loss Assumptions.
A major component in arriving at a financial guaranty insurer's rating has been the rating agency’s assessment of the insurer’s capital adequacy, with each rating agency employing its own proprietary model. These capital adequacy approaches include “stress case” loss assumptions for various risks or risk categories. Since the financial crisis, the rating agencies have at various times materially increased stress case loss assumptions for various risks or risk categories, in some cases later reducing such stress case losses. This approach has made predicting the amount of capital required to maintain or attain a certain rating more difficult.
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•
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More Reliance on Qualitative Rating Criteria.
In prior years, the financial strength ratings of the Company’s insurance company subsidiaries were largely consistent with the rating agency’s assessment of the insurers’ capital adequacy, such that a rating downgrade could generally be avoided by raising additional capital or otherwise improving capital adequacy under the rating agency’s model. In recent years, however, both S&P and Moody’s have applied other factors, some of which are subjective, such as the insurer's business strategy and franchise value or the anticipated future demand for its product, to justify ratings for the Company’s insurance company subsidiaries significantly below the ratings implied by their own capital adequacy models. Currently, for example, S&P has concluded that AGM has “AAA” capital adequacy under the S&P model (but subject to a downward adjustment due to a “large obligor test”) and Moody’s has concluded that AGM has “Aa” capital adequacy under the Moody’s model (offset by other factors including the rating agency’s assessment of competitive profile, future profitability and market share).
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•
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AGM is a New York domiciled insurance company licensed to write financial guaranty insurance and reinsurance in 50 U.S. states, the District of Columbia, Guam, Puerto Rico and the U.S. Virgin Islands.
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•
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MAC is a New York domiciled insurance company licensed to write financial guaranty insurance and reinsurance in 50 U.S. states and the District of Columbia. MAC will only insure U.S. public finance debt obligations, focusing on investment grade bonds in select sectors of that market.
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•
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AGC is a Maryland domiciled insurance company licensed to write financial guaranty insurance and reinsurance in 50 U.S. states, the District of Columbia and Puerto Rico.
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with respect to policies written prior to July 1, 1989, in an amount equal to 50% of earned premiums less permitted reductions; and
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with respect to policies written on and after July 1, 1989, quarterly on a pro rata basis over a period of 20 years for municipal bonds and 15 years for all other obligations, in an amount equal to the greater of 50% of premiums written for the relevant category of insurance or a percentage of the principal guaranteed, varying from 0.55% to 2.50%, depending on the type of obligation guaranteed, until the contingency reserve amount for the category equals the applicable percentage of net unpaid principal. The contingency reserve is then taken down over the same period of time that it was established.
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the insured average annual debt service for a single risk, net of qualifying reinsurance and collateral, or
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the insured unpaid principal (reduced by the extent to which the unpaid principal of the supporting assets exceeds the insured unpaid principal) divided by nine, net of qualifying reinsurance and collateral, may not exceed 10% of the sum of the insurer's policyholders' surplus and contingency reserves, subject to certain conditions.
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The minimum share capital must be always issued and outstanding and cannot be reduced. For AG Re, which is registered as a Class 3B insurer, the minimum share capital is $120,000. For AGRO, which is registered both as a Class 3A and a Class C long-term insurer, the minimum share capital is $370,000.
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With respect to the distribution (including repurchase of shares) of any share capital, contributed surplus or other statutory capital:
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(a)
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any such distribution that would reduce AG Re's or AGRO's total statutory capital by 15% or more of their respective total statutory capital as set out in their previous year's financial statements requires the prior approval of the Authority. Any application for such approval must include an affidavit stating that the company will continue to meet the required margins; and
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(b)
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as a Class C long-term insurer, AGRO may not use the funds allocated to its long-term business fund, directly or indirectly, for any purpose other than a purpose of its long-term business except in so far as such payment can be made out of any surplus certified by AGRO's approved actuary to be available for distribution otherwise than to policyholders;
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•
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With respect to the declaration and payment of dividends:
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(a)
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each of AG Re and AGRO is prohibited from declaring or paying any dividends during any financial year if it is in breach of its solvency margin, minimum liquidity ratio or enhanced capital requirement, or if the declaration or payment of such dividends would cause such a breach (if it has failed to meet its minimum solvency margin or minimum liquidity ratio on the last day of any financial year, the insurer will be prohibited, without the approval of the Authority, from declaring or paying any dividends during the next financial year). Dividends, are paid out of each insurer's statutory surplus and, therefore, dividends cannot exceed such surplus. See "—Minimum Solvency Margin and Enhanced Capital Requirements" above and "—Minimum Liquidity Ratio" below;
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(b)
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an insurer which at any time fails to meet its minimum solvency margin or comply with the enhanced capital requirement may not declare or pay any dividend until the failure is rectified, and also in such circumstances the insurer must report, within 14 days after becoming aware of its failure or having reason to believe that such failure has occurred, to the Authority in writing giving particulars of the circumstances leading to the failure and giving a plan detailing the manner, specific actions to be taken and time frame in which the insurer intends to rectify the failure. A failure to comply with the enhanced capital requirement will also result in the insurer furnishing certain other information to the Authority within 45 days after becoming aware of its failure or having reason to believe that such failure has occurred;
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(c)
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each of AG Re and AGRO is prohibited from declaring or paying in any financial year dividends of more than 25% of its total statutory capital and surplus (as shown on its previous financial year's statutory balance sheet) unless it files (at least seven days before payments of such dividends) with the Authority an affidavit signed by at least 2 directors (one of whom must be a Bermuda resident director if any of the insurer's directors are resident in Bermuda) and the principal representative stating that it will continue to meet its solvency margin and minimum liquidity ratio. Where such an affidavit is filed, it shall be available for public inspection at the offices of the Authority; and
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(d)
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as a Class C long-term insurer, AGRO may not declare or pay a dividend to any person other than a policyholder unless the value of the assets of its long-term business fund, as certified by AGRO's approved actuary, exceeds the extent (as so certified) of the liabilities of AGRO's long-term business, and the amount of any such dividend shall not exceed the aggregate of (1) that excess; and (2) any other funds properly available for the payment of dividends being funds arising out of AGRO's business other than its long-term business.
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•
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the PRA, a part of the Bank of England, is responsible for prudential regulation of key systemically important firms (which includes insurance companies, among others), and
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•
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the FCA is responsible for the conduct of business regulation of all firms and the regulation of market conduct and the prudential regulation of all non-PRA firms.
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•
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an insurer's head office, and in particular its mind and management, must be in the United Kingdom if it is incorporated in the United Kingdom;
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•
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an insurer's business must be conducted in a prudent manner — in particular, the insurer must maintain appropriate financial and non-financial resources;
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the insurer must be fit and proper, and be appropriately staffed; and
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the insurer and its group must be capable of being effectively supervised.
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•
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assets and liabilities are generally to be valued at their market value;
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•
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the amount of required economic capital is intended to ensure, with a probability of 99.5%, that regulated firms are able to meet their obligations to policyholders and beneficiaries over the following 12 months; and
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•
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reinsurance recoveries will be treated as a separate asset (rather than being netted against the underlying insurance liabilities).
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•
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have in place an effective system of governance that provides for the sound and prudent management of its business;
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•
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establish effective risk-management systems; and
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•
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take a comprehensive approach to considering their risks through an Own Risk and Solvency Assessment (“ORSA”) as proportionate to the nature, scale and complexity of the risks inherent in their business.
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ITEM 1A.
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RISK FACTORS
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•
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For approximately
$3.6 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
$575 million
, although the value of the collateral posted may exceed such fixed amount depending on the advance rate agreed with the counterparty for the particular type of collateral posted.
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•
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For the remaining approximately
$221 million
of such contracts, AGC could be required from time to time to post additional collateral without such cap based on movements in the mark-to-market valuation of the underlying exposure.
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•
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the Company is 25% or more owned directly, indirectly through foreign entities or by attribution by U.S. Persons;
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•
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the gross RPII of AG Re or any other AGL foreign subsidiary engaged in the insurance business that has not made an election under section 953(d) of the Code to be treated as a U.S. corporation for all U.S. tax purposes or are CFCs owned directly or indirectly by AGUS (each, with AG Re, a "Foreign Insurance Subsidiary") were to equal or exceed 20% of such Foreign Insurance Subsidiary's gross insurance income in any taxable year; and
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•
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direct or indirect insureds (and persons related to such insureds) own (or are treated as owning directly or indirectly through entities) 20% or more of the voting power or value of the Company's shares.
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•
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With respect to income, the dividends that AGL receives from its subsidiaries should be exempt from U.K. corporation tax under the exemption contained in section 931D of the Corporation Tax Act 2009.
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•
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With respect to capital gains, if AGL were to dispose of shares in its direct subsidiaries or if it were deemed to have done so, it may realize a chargeable gain for U.K. tax purposes. Any tax charge would be based on AGL’s original acquisition cost. It is anticipated that any such future gain should qualify for exemption under the substantial shareholding exemption in Schedule 7AC to the Taxation of Chargeable Gains Act 1992. However, the availability of such exemption would depend on facts at the time of disposal, in particular the “trading” nature of the activities of the Assured Guaranty group and of the relevant subsidiary. There is no statutory definition of what constitutes “trading” activities for this purpose and in practice reliance is placed on the published guidance of HMRC.
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•
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investor perceptions of the Company, its prospects and that of the financial guaranty industry and the markets in which the Company operates;
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•
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the Company's operating and financial performance;
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•
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the Company's access to financial and capital markets to raise additional capital, refinance its debt or replace existing senior secured credit and receivables-backed facilities;
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•
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the Company's ability to repay debt;
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•
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the Company's dividend policy;
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•
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future sales of equity or equity-related securities;
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•
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changes in earnings estimates or buy/sell recommendations by analysts; and
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•
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general financial, economic and other market conditions.
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ITEM 1B.
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UNRESOLVED STAFF COMMENTS
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ITEM 2.
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PROPERTIES
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ITEM 3.
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LEGAL PROCEEDINGS
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ITEM 4.
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MINE SAFETY DISCLOSURES
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Name
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Age
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Position(s)
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Dominic J. Frederico
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63
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President and Chief Executive Officer; Deputy Chairman
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James M. Michener
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63
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General Counsel and Secretary
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Russell B. Brewer II
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58
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Chief Surveillance Officer
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Robert A. Bailenson
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49
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Chief Financial Officer
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Bruce E. Stern
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61
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Executive Officer
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Howard W. Albert
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56
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Chief Risk Officer
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ITEM 5.
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MARKET FOR REGISTRANT'S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES
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2015
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2014
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Sales Price
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Cash
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Sales Price
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Cash
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||||||||||||||||
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High
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Low
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Dividends
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High
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Low
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Dividends
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||||||||||||
First Quarter
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$
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26.96
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$
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24.21
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$
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0.12
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$
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26.76
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$
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20.44
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$
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0.11
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Second Quarter
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29.75
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22.55
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0.12
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26.78
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23.10
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0.11
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||||||
Third Quarter
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26.87
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22.86
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0.12
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24.91
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21.61
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0.11
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||||||
Fourth Quarter
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29.62
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24.39
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0.12
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26.79
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20.02
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0.11
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Period
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Total
Number of
Shares
Purchased
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Average
Price Paid
Per Share
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Total Number of
Shares Purchased as
Part of Publicly
Announced Program (1)
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Maximum Number (or Approximate Dollar Value)
of Shares that
May Yet Be
Purchased
Under the Program(2)
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||||||
October 1 - October 31
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1,660,310
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$
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27.10
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1,660,310
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$
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145,035,556
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November 1 - November 30
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1,628,406
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$
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27.63
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1,628,406
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$
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100,036,984
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December 1 - December 31
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1,746,921
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$
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25.76
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1,746,921
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$
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55,035,579
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Total
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5,035,637
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$
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26.81
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5,035,637
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(1)
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After giving effect to repurchases since the beginning of 2013 through February 9, 2016, the Company has repurchased a total of 60.2 million common shares for approximately $1,464 million, excluding commissions, at an average price of $24.33 per share. On February 24, 2016, the Company's Board of Directors approved a $250 million share repurchase authorization; as of the filing date, the Company has not repurchased any common shares under this authorization.
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(2)
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Excludes commissions.
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Assured Guaranty
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S&P 500 Index
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S&P 500
Financial Index
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||||||
12/31/2010
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$
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100.00
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$
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100.00
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$
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100.00
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12/31/2011
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75.22
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102.11
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|
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82.94
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|||
12/31/2012
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83.62
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118.44
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|
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106.78
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|||
12/31/2013
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141.19
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|
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156.79
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|
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144.78
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12/31/2014
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158.40
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178.24
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166.76
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12/31/2015
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163.95
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|
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180.66
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164.15
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ITEM 6.
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SELECTED FINANCIAL DATA
|
|
Year Ended December 31,
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||||||||||||||||||
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2015
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2014
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2013
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2012
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2011
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||||||||||
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(dollars in millions, except per share amounts)
|
||||||||||||||||||
Statement of operations data:
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||||||||||
Revenues:
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|
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|
|
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|
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||||||||||
Net earned premiums
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$
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766
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|
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$
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570
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|
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$
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752
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|
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$
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853
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|
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$
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920
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Net investment income
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423
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|
|
403
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|
|
393
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|
|
404
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|
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396
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|
|||||
Net realized investment gains (losses)
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(26
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)
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|
(60
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)
|
|
52
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|
|
1
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|
|
(18
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)
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|||||
Realized gains and other settlements on credit derivatives
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(18
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)
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23
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|
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(42
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)
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|
(108
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)
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6
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|
|||||
Net unrealized gains (losses) on credit derivatives
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746
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|
|
800
|
|
|
107
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|
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(477
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)
|
|
554
|
|
|||||
Fair value gains (losses) on committed capital securities
|
27
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|
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(11
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)
|
|
10
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|
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(18
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)
|
|
35
|
|
|||||
Fair value gains (losses) on financial guaranty variable interest entities
|
38
|
|
|
255
|
|
|
346
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|
|
191
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|
|
(146
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)
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|||||
Bargain purchase gain and settlement of pre-existing relationships
|
214
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|
|
—
|
|
|
—
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|
|
—
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|
|
—
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|
|||||
Other income (loss)
|
37
|
|
|
14
|
|
|
(10
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)
|
|
108
|
|
|
58
|
|
|||||
Total revenues
|
2,207
|
|
|
1,994
|
|
|
1,608
|
|
|
954
|
|
|
1,805
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|
|||||
Expenses:
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss and loss adjustment expenses
|
424
|
|
|
126
|
|
|
154
|
|
|
504
|
|
|
448
|
|
|||||
Amortization of deferred acquisition costs
(1)
|
20
|
|
|
25
|
|
|
12
|
|
|
14
|
|
|
17
|
|
|||||
Interest expense
|
101
|
|
|
92
|
|
|
82
|
|
|
92
|
|
|
99
|
|
|||||
Other operating expenses
(1)
|
231
|
|
|
220
|
|
|
218
|
|
|
212
|
|
|
212
|
|
|||||
Total expenses
|
776
|
|
|
463
|
|
|
466
|
|
|
822
|
|
|
776
|
|
|||||
Income (loss) before (benefit) provision for income taxes
|
1,431
|
|
|
1,531
|
|
|
1,142
|
|
|
132
|
|
|
1,029
|
|
|||||
Provision (benefit) for income taxes
|
375
|
|
|
443
|
|
|
334
|
|
|
22
|
|
|
256
|
|
|||||
Net income (loss)
|
1,056
|
|
|
1,088
|
|
|
808
|
|
|
110
|
|
|
773
|
|
|||||
Earnings (loss) per share:
|
|
|
|
|
|
|
|
|
|
||||||||||
Basic
|
$
|
7.12
|
|
|
$
|
6.30
|
|
|
$
|
4.32
|
|
|
$
|
0.58
|
|
|
$
|
4.21
|
|
Diluted
|
$
|
7.08
|
|
|
$
|
6.26
|
|
|
$
|
4.30
|
|
|
$
|
0.57
|
|
|
$
|
4.16
|
|
Dividends per share
|
$
|
0.48
|
|
|
$
|
0.44
|
|
|
$
|
0.40
|
|
|
$
|
0.36
|
|
|
$
|
0.18
|
|
|
As of December 31,
|
||||||||||||||||||
|
2015
|
|
2014
|
|
2013
|
|
2012
|
|
2011
|
||||||||||
|
(dollars in millions, except per share amounts)
|
||||||||||||||||||
Balance sheet data (end of period):
|
|
|
|
|
|
|
|
|
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investments and cash
|
$
|
11,358
|
|
|
$
|
11,459
|
|
|
$
|
10,969
|
|
|
$
|
11,223
|
|
|
$
|
11,314
|
|
Premiums receivable, net of commissions payable
|
693
|
|
|
729
|
|
|
876
|
|
|
1,005
|
|
|
1,003
|
|
|||||
Ceded unearned premium reserve
|
232
|
|
|
381
|
|
|
452
|
|
|
561
|
|
|
709
|
|
|||||
Salvage and subrogation recoverable
|
126
|
|
|
151
|
|
|
174
|
|
|
456
|
|
|
368
|
|
|||||
Credit derivative assets
|
81
|
|
|
68
|
|
|
94
|
|
|
141
|
|
|
153
|
|
|||||
Total assets
(2)
|
14,544
|
|
|
14,919
|
|
|
16,285
|
|
|
17,240
|
|
|
17,705
|
|
|||||
Liabilities and shareholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||||
Unearned premium reserve
|
3,996
|
|
|
4,261
|
|
|
4,595
|
|
|
5,207
|
|
|
5,963
|
|
|||||
Loss and loss adjustment expense reserve
|
1,067
|
|
|
799
|
|
|
592
|
|
|
601
|
|
|
679
|
|
|||||
Reinsurance balances payable, net
|
51
|
|
|
107
|
|
|
148
|
|
|
219
|
|
|
171
|
|
|||||
Long-term debt
(2)
|
1,300
|
|
|
1,297
|
|
|
814
|
|
|
834
|
|
|
1,034
|
|
|||||
Credit derivative liabilities
|
446
|
|
|
963
|
|
|
1,787
|
|
|
1,934
|
|
|
1,457
|
|
|||||
Total liabilities
(2)
|
8,481
|
|
|
9,161
|
|
|
11,170
|
|
|
12,246
|
|
|
13,053
|
|
|||||
Accumulated other comprehensive income
|
237
|
|
|
370
|
|
|
160
|
|
|
515
|
|
|
368
|
|
|||||
Shareholders' equity
|
6,063
|
|
|
5,758
|
|
|
5,115
|
|
|
4,994
|
|
|
4,652
|
|
|||||
Book value per share
|
43.96
|
|
|
36.37
|
|
|
28.07
|
|
|
25.74
|
|
|
25.52
|
|
|||||
Consolidated statutory financial information:
|
|
|
|
|
|
|
|
|
|
||||||||||
Contingency reserve
|
$
|
2,263
|
|
|
$
|
2,330
|
|
|
$
|
2,934
|
|
|
$
|
2,364
|
|
|
$
|
2,571
|
|
Policyholders' surplus
|
4,550
|
|
|
4,142
|
|
|
3,202
|
|
|
3,579
|
|
|
3,116
|
|
|||||
Claims-paying resources
(3)
|
12,306
|
|
|
12,189
|
|
|
12,147
|
|
|
12,328
|
|
|
12,839
|
|
|||||
Outstanding Exposure:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net debt service outstanding
|
$
|
536,341
|
|
|
$
|
609,622
|
|
|
$
|
690,535
|
|
|
$
|
780,356
|
|
|
$
|
844,447
|
|
Net par outstanding
|
358,571
|
|
|
403,729
|
|
|
459,107
|
|
|
518,772
|
|
|
556,830
|
|
(1)
|
Accounting guidance restricting the types and amounts of financial guaranty insurance contract acquisition costs that may be deferred was adopted and retrospectively applied effective January 1, 2012.
|
(2)
|
Accounting guidance (a) requiring that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability and (b) resulting in reclassification of its debt issuance costs from other assets to long-term debt, was adopted and retrospectively applied effective December 31, 2015.
|
(3)
|
Prepared in accordance with accounting practices prescribed or permitted by U.S. insurance regulatory authorities, for all insurance subsidiaries. Claims-paying resources is calculated as the sum of statutory policyholders' surplus, statutory contingency reserve, statutory unearned premium reserves, statutory loss and LAE reserves, present value of installment premium on financial guaranty and credit derivatives, discounted at 6%, and standby lines of credit/stop loss. Total claims-paying resources is used by the Company to evaluate the adequacy of capital resources. The December 31, 2015 amount includes
an aggregate
$360 million
excess-of-loss reinsurance facility for the benefit of AGC, AGM and MAC, which became effective January 1, 2016. The facility terminates on January 1, 2018 unless AGC, AGM and MAC choose to extend it.
The December 31, 2014 amount includes
an aggregate $450 million excess-of-loss reinsurance facility for the benefit of AGC, AGM and MAC.
The December 31, 2013, 2012 and 2011 amounts include
an aggregate $435 million excess-of-loss reinsurance facility for the benefit of AGC and AGM.
|
ITEM 7.
|
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions, except per share amounts)
|
||||||||||
Net income (loss)
|
$
|
1,056
|
|
|
$
|
1,088
|
|
|
$
|
808
|
|
Operating income(1)
|
699
|
|
|
491
|
|
|
609
|
|
|||
|
|
|
|
|
|
||||||
Net income (loss) per diluted share
|
7.08
|
|
|
6.26
|
|
|
4.30
|
|
|||
Operating income per share(1)
|
4.69
|
|
|
2.83
|
|
|
3.25
|
|
|||
Diluted shares
|
149.0
|
|
|
173.6
|
|
|
187.6
|
|
|||
|
|
|
|
|
|
||||||
Present value of new business production (“PVP”)(1)
|
179
|
|
|
168
|
|
|
141
|
|
|||
Gross par written
|
17,336
|
|
|
13,171
|
|
|
9,350
|
|
|
|
As of December 31, 2015
|
|
As of December 31, 2014
|
||||||||||||
|
|
Amount
|
|
Per Share
|
|
Amount
|
|
Per Share
|
||||||||
|
|
(in millions, except per share amounts)
|
||||||||||||||
Shareholders' equity
|
|
$
|
6,063
|
|
|
$
|
43.96
|
|
|
$
|
5,758
|
|
|
$
|
36.37
|
|
Operating shareholders' equity(1)
|
|
5,946
|
|
|
43.11
|
|
|
5,933
|
|
|
37.48
|
|
||||
Adjusted book value(1)
|
|
8,439
|
|
|
61.18
|
|
|
8,495
|
|
|
53.66
|
|
||||
Common shares outstanding (2)
|
|
137.9
|
|
|
|
|
158.3
|
|
|
|
(1)
|
Please refer to “—Non-GAAP Financial Measures” for a definition of the financial measures that were not determined in accordance with GAAP and a reconciliation of the non-GAAP financial measure to the most directly comparable GAAP measure, if available.
|
(2)
|
Please refer to "Key Business Strategies – Capital Management" below for information on common share repurchases.
|
•
|
New business production
|
•
|
Capital management
|
•
|
Alternative strategies to create value, including through acquisitions and commutations
|
•
|
Loss mitigation
|
|
Year Ended December 31,
|
|||||||||||||||||||
|
2015
|
|
2014
|
|
2013
|
|||||||||||||||
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|||||||||
|
(dollars in billions, except number of issues)
|
|||||||||||||||||||
New municipal bonds issued
|
$
|
377.6
|
|
|
12,076
|
|
|
$
|
314.9
|
|
|
10,162
|
|
|
$
|
311.9
|
|
|
10,558
|
|
Total insured
|
25.2
|
|
|
1,880
|
|
|
18.5
|
|
|
1,403
|
|
|
12.1
|
|
|
1,025
|
|
|||
Insured by Assured Guaranty
|
15.1
|
|
|
1,009
|
|
|
10.7
|
|
|
697
|
|
|
7.5
|
|
|
488
|
|
|
Year Ended December 31,
|
||||
|
2015
|
|
2014
|
|
2013
|
Market penetration based on par
|
6.7%
|
|
5.9%
|
|
3.9%
|
Market penetration based on number of issues
|
15.6
|
|
13.8
|
|
9.7
|
% of single A par sold
|
22.1
|
|
19.7
|
|
11.0
|
% of single A transactions sold
|
54.1
|
|
49.3
|
|
30.6
|
% of $25 million and under par sold
|
18.7
|
|
16.5
|
|
10.9
|
% of $25 million and under transactions sold
|
17.6
|
|
15.4
|
|
10.7
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
PVP(1):
|
|
|
|
|
|
||||||
Public Finance—U.S.
|
$
|
124
|
|
|
$
|
128
|
|
|
$
|
116
|
|
Public Finance—non-U.S.
|
27
|
|
|
7
|
|
|
18
|
|
|||
Structured Finance—U.S.
|
22
|
|
|
24
|
|
|
7
|
|
|||
Structured Finance—non-U.S.
|
6
|
|
|
9
|
|
|
—
|
|
|||
Total PVP
|
$
|
179
|
|
|
$
|
168
|
|
|
$
|
141
|
|
Gross Par Written:
|
|
|
|
|
|
||||||
Public Finance—U.S.
|
$
|
16,377
|
|
|
$
|
12,275
|
|
|
$
|
8,671
|
|
Public Finance—non-U.S.
|
567
|
|
|
128
|
|
|
392
|
|
|||
Structured Finance—U.S.
|
327
|
|
|
418
|
|
|
287
|
|
|||
Structured Finance—non-U.S.
|
65
|
|
|
350
|
|
|
—
|
|
|||
Total gross par written
|
$
|
17,336
|
|
|
$
|
13,171
|
|
|
$
|
9,350
|
|
(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," when the transaction settles. See “– Non-GAAP Financial Measures – PVP or Present Value of New Business Production.”
|
|
Amount
|
|
Number of Shares
|
|
Average price per share
|
|||||
|
(in millions, except per share data)
|
|||||||||
2013
|
$
|
264
|
|
|
12.5
|
|
|
$
|
21.12
|
|
2014
|
590
|
|
|
24.4
|
|
|
24.17
|
|
||
2015
|
555
|
|
|
21.0
|
|
|
26.43
|
|
||
2016 (through February 9, 2016)
|
55
|
|
|
2.3
|
|
|
24.37
|
|
||
Cumulative repurchases since the beginning of 2013
|
$
|
1,464
|
|
|
60.2
|
|
|
$
|
24.33
|
|
|
|
Year Ended December 31,
|
|
|
|
|
||||||||||
|
|
2015
|
|
2014
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
||||||||
|
|
(per share)
|
||||||||||||||
Net income
|
|
$
|
1.56
|
|
|
$
|
0.71
|
|
|
|
|
|
||||
Operating income
|
|
0.98
|
|
|
0.32
|
|
|
|
|
|
||||||
Shareholders' equity
|
|
|
|
|
|
$
|
5.75
|
|
|
$
|
2.56
|
|
||||
Operating shareholders' equity
|
|
|
|
|
|
5.49
|
|
|
2.78
|
|
||||||
Adjusted book value
|
|
|
|
|
|
10.83
|
|
|
5.84
|
|
(1)
|
Cumulative repurchases since the beginning of 2013.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Revenues:
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
766
|
|
|
$
|
570
|
|
|
$
|
752
|
|
Net investment income
|
423
|
|
|
403
|
|
|
393
|
|
|||
Net realized investment gains (losses)
|
(26
|
)
|
|
(60
|
)
|
|
52
|
|
|||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
||||||
Realized gains (losses) and other settlements
|
(18
|
)
|
|
23
|
|
|
(42
|
)
|
|||
Net unrealized gains (losses)
|
746
|
|
|
800
|
|
|
107
|
|
|||
Net change in fair value of credit derivatives
|
728
|
|
|
823
|
|
|
65
|
|
|||
Fair value gains (losses) on CCS
|
27
|
|
|
(11
|
)
|
|
10
|
|
|||
Fair value gains (losses) on FG VIEs
|
38
|
|
|
255
|
|
|
346
|
|
|||
Bargain purchase gain and settlement of pre-existing relationships
|
214
|
|
|
—
|
|
|
—
|
|
|||
Other income (loss)
|
37
|
|
|
14
|
|
|
(10
|
)
|
|||
Total revenues
|
2,207
|
|
|
1,994
|
|
|
1,608
|
|
|||
Expenses:
|
|
|
|
|
|
||||||
Loss and loss adjustment expenses
|
424
|
|
|
126
|
|
|
154
|
|
|||
Amortization of deferred acquisition costs
|
20
|
|
|
25
|
|
|
12
|
|
|||
Interest expense
|
101
|
|
|
92
|
|
|
82
|
|
|||
Other operating expenses
|
231
|
|
|
220
|
|
|
218
|
|
|||
Total expenses
|
776
|
|
|
463
|
|
|
466
|
|
|||
Income (loss) before provision for income taxes
|
1,431
|
|
|
1,531
|
|
|
1,142
|
|
|||
Provision (benefit) for income taxes
|
375
|
|
|
443
|
|
|
334
|
|
|||
Net income (loss)
|
$
|
1,056
|
|
|
$
|
1,088
|
|
|
$
|
808
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Financial guaranty:
|
|
|
|
|
|
||||||
Public finance
|
|
|
|
|
|
||||||
Scheduled net earned premiums and accretion
|
$
|
308
|
|
|
$
|
279
|
|
|
$
|
292
|
|
Accelerations (1)
|
317
|
|
|
135
|
|
|
207
|
|
|||
Total public finance
|
625
|
|
|
414
|
|
|
499
|
|
|||
Structured finance (2)
|
|
|
|
|
|
||||||
Scheduled net earned premiums and accretion
|
125
|
|
|
152
|
|
|
195
|
|
|||
Accelerations (1)
|
14
|
|
|
1
|
|
|
56
|
|
|||
Total structured finance
|
139
|
|
|
153
|
|
|
251
|
|
|||
Other
|
2
|
|
|
3
|
|
|
2
|
|
|||
Total net earned premiums
|
$
|
766
|
|
|
$
|
570
|
|
|
$
|
752
|
|
(1)
|
Reflects the unscheduled refunding or termination of the insurance on an insured obligation as well as changes in scheduled earnings due to changes in the expected lives of the insured obligations.
|
(2)
|
Excludes
$21 million
,
$32 million
and
$60 million
for
2015
,
2014
and
2013
, respectively, on consolidated FG VIEs.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Income from fixed-maturity securities managed by third parties
|
$
|
335
|
|
|
$
|
324
|
|
|
$
|
322
|
|
Income from internally managed securities:
|
|
|
|
|
|
||||||
Fixed maturities
|
61
|
|
|
74
|
|
|
74
|
|
|||
Other
|
37
|
|
|
14
|
|
|
5
|
|
|||
Gross investment income
|
433
|
|
|
412
|
|
|
401
|
|
|||
Investment expenses
|
(10
|
)
|
|
(9
|
)
|
|
(8
|
)
|
|||
Net investment income
|
$
|
423
|
|
|
$
|
403
|
|
|
$
|
393
|
|
(1)
|
Net investment income excludes $32 million for
2015
and $11 million for
2014
and $13 million in
2013
, related to consolidated FG VIEs.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Gross realized gains on the investment portfolio
|
$
|
46
|
|
|
$
|
22
|
|
|
$
|
113
|
|
Gross realized losses on the investment portfolio
|
(25
|
)
|
|
(7
|
)
|
|
(19
|
)
|
|||
Other-than-temporary impairment
|
(47
|
)
|
|
(75
|
)
|
|
(42
|
)
|
|||
Net realized investment gains (losses) (1)
|
$
|
(26
|
)
|
|
$
|
(60
|
)
|
|
$
|
52
|
|
(1)
|
Excludes realized gains (losses) related to fixed maturity securities purchased in the investment portfolio that were issued by consolidated FG VIEs of $(10) million for
2015
, $5 million for
2014
and $(2) million for
2013
.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Foreign exchange gain (loss) on remeasurement of premium receivable and loss reserves
|
$
|
(15
|
)
|
|
$
|
(21
|
)
|
|
$
|
(1
|
)
|
Commutation gains
|
28
|
|
|
23
|
|
|
2
|
|
|||
Other
|
24
|
|
|
12
|
|
|
(11
|
)
|
|||
Total other income (loss)
|
$
|
37
|
|
|
$
|
14
|
|
|
$
|
(10
|
)
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
||||
|
(in millions)
|
||||||
Public finance
|
$
|
809
|
|
|
$
|
348
|
|
Structured finance
|
|
|
|
||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
488
|
|
|
901
|
|
||
Net benefit for recoveries for breaches of R&W (1)
|
(79
|
)
|
|
(317
|
)
|
||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
409
|
|
|
584
|
|
||
Other structured finance
|
173
|
|
|
237
|
|
||
Structured finance
|
582
|
|
|
821
|
|
||
Total
|
$
|
1,391
|
|
|
$
|
1,169
|
|
(1)
|
As of December 31, 2015, the remaining estimated benefit for recoveries for breaches of R&W are subject to contractual settlement agreements. The Company is no longer actively pursuing any R&W providers for breaches.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Public finance
|
$
|
405
|
|
|
$
|
171
|
|
|
$
|
256
|
|
Structured finance
|
|
|
|
|
|
||||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
(149
|
)
|
|
0
|
|
|
140
|
|
|||
Net development (benefit) for recoveries for breaches of R&W
|
67
|
|
|
(268
|
)
|
|
(296
|
)
|
|||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
(82
|
)
|
|
(268
|
)
|
|
(156
|
)
|
|||
Other structured finance
|
(4
|
)
|
|
67
|
|
|
(44
|
)
|
|||
Structured finance
|
(86
|
)
|
|
(201
|
)
|
|
(200
|
)
|
|||
Total
|
$
|
319
|
|
|
$
|
(30
|
)
|
|
$
|
56
|
|
(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.
|
•
|
updated the liquidation rates it uses on delinquent loans based on observations and on an assumption that loan modifications (which improve liquidation rates) would over the next year be less frequent than they were over the most recent year
|
•
|
updated the liquidation rate it uses for loans reported as current but that had been reported as modified over the previous twelve months, based on observed data
|
•
|
established a liquidation rate assumption for loans reported as current and not modified in the past twelve months but that had been reported as delinquent in the previous twelve months
|
•
|
established loss severity assumptions by vintage category as well as product type, rather than just product type as done previously
|
•
|
beginning with the third quarter 2014, each quarter shortened by three months the period it is projecting it will take in the base case to reach the final CDR
|
•
|
reflect increased recoveries on newly defaulted loans as well as previously defaulted loans
|
•
|
project incremental defaults associated with increased monthly payments that occur when interest-only periods end
|
•
|
increase the assumed final conditional prepayment rate from 10% to 15%
|
•
|
established a liquidation rate assumption for loans reported as current but that had been reported as modified in the previous 12 months
|
•
|
assumed that currently delinquent loans that did not roll to liquidation would behave like modified loans, and so applied the modified loan liquidation rate to them
|
•
|
increased from two to three years the period over which it calculates the initial CDR based on assumed liquidations of non-performing loans and modified loans, to account for the longer period modified loans will take to default
|
•
|
increased the period it assumes the transactions will experience the initial loss severity assumption before it improves and the period during which the transaction will experience low voluntary prepayment rates
|
•
|
established an assumption for servicers not to advance loan payments on all delinquent loans
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Public finance
|
$
|
393
|
|
|
$
|
191
|
|
|
$
|
214
|
|
Structured finance
|
|
|
|
|
|
||||||
U.S. RMBS
|
54
|
|
|
(129
|
)
|
|
(4
|
)
|
|||
Other structured finance
|
5
|
|
|
94
|
|
|
(35
|
)
|
|||
Structured finance
|
59
|
|
|
(35
|
)
|
|
(39
|
)
|
|||
Total insurance contracts before FG VIE consolidation
|
452
|
|
|
156
|
|
|
175
|
|
|||
Effect of consolidating FG VIEs
|
(28
|
)
|
|
(30
|
)
|
|
(21
|
)
|
|||
Total loss and LAE (1)
|
$
|
424
|
|
|
$
|
126
|
|
|
$
|
154
|
|
(1)
|
Excludes credit derivative loss expense of $22 million for 2015 and credit derivative benefit of $77 million and $1 million for 2014 and 2013, respectively, which are included in non-GAAP loss expense.
|
|
In GAAP
Reported
Income
|
|
In Non-GAAP
Operating
Income
|
||||
|
(in millions)
|
||||||
2016
|
$
|
38
|
|
|
$
|
48
|
|
2017
|
31
|
|
|
40
|
|
||
2018
|
30
|
|
|
38
|
|
||
2019
|
29
|
|
|
36
|
|
||
2020
|
27
|
|
|
32
|
|
||
2021-2025
|
102
|
|
|
117
|
|
||
2026-2030
|
70
|
|
|
79
|
|
||
2031-2035
|
41
|
|
|
50
|
|
||
After 2035
|
19
|
|
|
24
|
|
||
Net expected loss to be expensed
|
387
|
|
|
464
|
|
||
Discount
|
286
|
|
|
327
|
|
||
Total expected future loss and LAE
|
$
|
673
|
|
|
$
|
791
|
|
(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 and credit derivatives.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Realized gains on credit derivatives
|
$
|
63
|
|
|
$
|
73
|
|
|
$
|
121
|
|
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
|
(81
|
)
|
|
(50
|
)
|
|
(163
|
)
|
|||
Realized gains (losses) and other settlements on credit derivatives(1)
|
(18
|
)
|
|
23
|
|
|
(42
|
)
|
|||
Net change in unrealized gains (losses) on credit derivatives:
|
|
|
|
|
|
||||||
Pooled corporate obligations
|
147
|
|
|
(18
|
)
|
|
(32
|
)
|
|||
U.S. RMBS
|
396
|
|
|
814
|
|
|
(69
|
)
|
|||
CMBS
|
42
|
|
|
2
|
|
|
—
|
|
|||
Other
|
161
|
|
|
2
|
|
|
208
|
|
|||
Net change in unrealized gains (losses) on credit derivatives
|
746
|
|
|
800
|
|
|
107
|
|
|||
Net change in fair value of credit derivatives
|
$
|
728
|
|
|
$
|
823
|
|
|
$
|
65
|
|
(1)
|
Includes realized gains and losses due to terminations of CDS contracts.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Net par of terminated credit derivative contracts
|
$
|
2,777
|
|
|
$
|
3,591
|
|
|
$
|
4,054
|
|
Realized gains on credit derivatives
|
13
|
|
|
1
|
|
|
21
|
|
|||
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
|
116
|
|
|
26
|
|
|
—
|
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
|||
Five-year CDS spread:
|
|
|
|
|
|
|||
AGC
|
376
|
|
|
323
|
|
|
460
|
|
AGM
|
366
|
|
|
325
|
|
|
525
|
|
|
|
|
|
|
|
|||
One-year CDS spread
|
|
|
|
|
|
|||
AGC
|
139
|
|
|
80
|
|
|
185
|
|
AGM
|
131
|
|
|
85
|
|
|
220
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Change in unrealized gains (losses) of credit derivatives:
|
|
|
|
|
|
||||||
Before considering implication of the Company’s credit spreads
|
$
|
663
|
|
|
$
|
1,396
|
|
|
$
|
1,374
|
|
Resulting from change in the Company’s credit spreads
|
83
|
|
|
(596
|
)
|
|
(1,267
|
)
|
|||
After considering implication of the Company’s credit spreads
|
$
|
746
|
|
|
$
|
800
|
|
|
$
|
107
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Debt issued by AGUS
|
$
|
49
|
|
|
$
|
36
|
|
|
$
|
23
|
|
Debt issued by AGMH
|
54
|
|
|
54
|
|
|
54
|
|
|||
Notes payable by AGM
|
(2
|
)
|
|
2
|
|
|
5
|
|
|||
Total
|
$
|
101
|
|
|
$
|
92
|
|
|
$
|
82
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Net earned premiums
|
$
|
(21
|
)
|
|
$
|
(32
|
)
|
|
$
|
(60
|
)
|
Net investment income
|
(32
|
)
|
|
(11
|
)
|
|
(13
|
)
|
|||
Net realized investment gains (losses)
|
10
|
|
|
(5
|
)
|
|
2
|
|
|||
Fair value gains (losses) on FG VIEs
|
38
|
|
|
255
|
|
|
346
|
|
|||
Loss and LAE
|
28
|
|
|
30
|
|
|
21
|
|
|||
Bargain purchase gain
|
2
|
|
|
—
|
|
|
—
|
|
|||
Other income (loss)
|
0
|
|
|
(2
|
)
|
|
—
|
|
|||
Effect on net income before tax
|
25
|
|
|
235
|
|
|
296
|
|
|||
Less: tax provision (benefit)
|
8
|
|
|
82
|
|
|
103
|
|
|||
Effect on net income (loss)
|
$
|
17
|
|
|
$
|
153
|
|
|
$
|
193
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Total provision (benefit) for income taxes
|
$
|
375
|
|
|
$
|
443
|
|
|
$
|
334
|
|
Effective tax rate
|
26.2
|
%
|
|
28.9
|
%
|
|
29.2
|
%
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(dollars in millions)
|
||||||||||
Net income (loss)
|
$
|
1,056
|
|
|
$
|
1,088
|
|
|
$
|
808
|
|
Less after-tax adjustments:
|
|
|
|
|
|
||||||
Realized gains (losses) on investments
|
(25
|
)
|
|
(34
|
)
|
|
40
|
|
|||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
358
|
|
|
500
|
|
|
(40
|
)
|
|||
Fair value gains (losses) on CCS
|
17
|
|
|
(7
|
)
|
|
7
|
|
|||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves
|
(10
|
)
|
|
(15
|
)
|
|
(1
|
)
|
|||
Effect of consolidating FG VIEs
|
17
|
|
|
153
|
|
|
193
|
|
|||
Operating income
|
$
|
699
|
|
|
$
|
491
|
|
|
$
|
609
|
|
|
|
|
|
|
|
||||||
Effective tax rate on operating income
|
24.5
|
%
|
|
29.0
|
%
|
|
26.7
|
%
|
|
As of December 31, 2015
|
|
As of December 31, 2014
|
||||||||||||
|
Total
|
|
Per Share
|
|
Total
|
|
Per Share
|
||||||||
|
(dollars in millions, except
per share amounts)
|
||||||||||||||
Shareholders’ equity
|
$
|
6,063
|
|
|
$
|
43.96
|
|
|
$
|
5,758
|
|
|
$
|
36.37
|
|
Less after-tax adjustments:
|
|
|
|
|
|
|
|
||||||||
Effect of consolidating FG VIEs
|
(23
|
)
|
|
(0.16
|
)
|
|
(44
|
)
|
|
(0.28
|
)
|
||||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
(160
|
)
|
|
(1.16
|
)
|
|
(527
|
)
|
|
(3.33
|
)
|
||||
Fair value gains (losses) on CCS
|
40
|
|
|
0.29
|
|
|
23
|
|
|
0.14
|
|
||||
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect
|
260
|
|
|
1.88
|
|
|
373
|
|
|
2.36
|
|
||||
Operating shareholders’ equity
|
5,946
|
|
|
43.11
|
|
|
5,933
|
|
|
37.48
|
|
||||
After-tax adjustments:
|
|
|
|
|
|
|
|
||||||||
Less: Deferred acquisition costs
|
147
|
|
|
1.06
|
|
|
156
|
|
|
0.99
|
|
||||
Plus: Net present value of estimated net future credit derivative revenue
|
116
|
|
|
0.84
|
|
|
109
|
|
|
0.69
|
|
||||
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed
|
2,524
|
|
|
18.29
|
|
|
2,609
|
|
|
16.48
|
|
||||
Adjusted book value
|
$
|
8,439
|
|
|
$
|
61.18
|
|
|
$
|
8,495
|
|
|
$
|
53.66
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Total PVP
|
$
|
179
|
|
|
$
|
168
|
|
|
$
|
141
|
|
Less: PVP of non-financial guaranty insurance
|
7
|
|
|
—
|
|
|
—
|
|
|||
PVP of financial guaranty insurance
|
172
|
|
|
168
|
|
|
141
|
|
|||
Less: Financial guaranty installment premium PVP
|
46
|
|
|
42
|
|
|
26
|
|
|||
Total: Financial guaranty upfront gross written premiums
|
126
|
|
|
126
|
|
|
115
|
|
|||
Plus: Installment gross written premiums and other GAAP adjustments
|
55
|
|
|
(22
|
)
|
|
8
|
|
|||
Total gross written premiums
|
$
|
181
|
|
|
$
|
104
|
|
|
$
|
123
|
|
|
|
As of December 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
|
|
$
|
126,255
|
|
|
A
|
|
$
|
140,276
|
|
|
A
|
Tax backed
|
|
58,062
|
|
|
A
|
|
62,525
|
|
|
A
|
||
Municipal utilities
|
|
45,936
|
|
|
A
|
|
52,090
|
|
|
A
|
||
Transportation
|
|
23,454
|
|
|
A
|
|
27,823
|
|
|
A
|
||
Healthcare
|
|
15,006
|
|
|
A
|
|
14,848
|
|
|
A
|
||
Higher education
|
|
11,936
|
|
|
A
|
|
13,099
|
|
|
A
|
||
Infrastructure finance
|
|
4,993
|
|
|
BBB
|
|
4,181
|
|
|
BBB
|
||
Housing
|
|
2,037
|
|
|
A
|
|
2,779
|
|
|
A+
|
||
Investor-owned utilities
|
|
916
|
|
|
A-
|
|
944
|
|
|
A-
|
||
Other public finance
|
|
3,271
|
|
|
A
|
|
3,558
|
|
|
A
|
||
Total public finance—U.S.
|
|
291,866
|
|
|
A
|
|
322,123
|
|
|
A
|
||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Infrastructure finance
|
|
12,728
|
|
|
BBB
|
|
12,808
|
|
|
BBB
|
||
Regulated utilities
|
|
10,048
|
|
|
BBB+
|
|
10,914
|
|
|
BBB+
|
||
Pooled infrastructure
|
|
1,879
|
|
|
AA
|
|
2,420
|
|
|
AA
|
||
Other public finance
|
|
4,922
|
|
|
A
|
|
5,217
|
|
|
A
|
||
Total public finance—non-U.S.
|
|
29,577
|
|
|
BBB+
|
|
31,359
|
|
|
BBB+
|
||
Total public finance
|
|
321,443
|
|
|
A
|
|
353,482
|
|
|
A
|
||
Structured finance:
|
|
|
|
|
|
|
|
|
|
|||
U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Pooled corporate obligations
|
|
16,008
|
|
|
AAA
|
|
20,646
|
|
|
AAA
|
||
RMBS
|
|
7,067
|
|
|
BBB-
|
|
9,417
|
|
|
BBB-
|
||
Insurance securitizations
|
|
3,000
|
|
|
A+
|
|
3,433
|
|
|
A-
|
||
Consumer receivables
|
|
2,099
|
|
|
A-
|
|
2,099
|
|
|
BBB+
|
||
Financial products
|
|
1,906
|
|
|
AA-
|
|
2,276
|
|
|
AA-
|
||
CMBS and other commercial real estate related exposures
|
|
533
|
|
|
AAA
|
|
1,957
|
|
|
AAA
|
||
Commercial receivables
|
|
427
|
|
|
BBB+
|
|
560
|
|
|
BBB+
|
||
Other structured finance
|
|
730
|
|
|
AA-
|
|
783
|
|
|
AA-
|
||
Total structured finance—U.S.
|
|
31,770
|
|
|
AA-
|
|
41,171
|
|
|
AA-
|
||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Pooled corporate obligations
|
|
3,645
|
|
|
AA
|
|
6,604
|
|
|
AA+
|
||
Commercial receivables
|
|
600
|
|
|
BBB+
|
|
944
|
|
|
BBB
|
||
RMBS
|
|
492
|
|
|
BBB
|
|
794
|
|
|
A
|
||
Other structured finance
|
|
621
|
|
|
AA-
|
|
734
|
|
|
AA
|
||
Total structured finance—non-U.S.
|
|
5,358
|
|
|
AA-
|
|
9,076
|
|
|
AA
|
||
Total structured finance
|
|
37,128
|
|
|
AA-
|
|
50,247
|
|
|
AA-
|
||
Total net par outstanding
|
|
$
|
358,571
|
|
|
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
|
|
$
|
3,053
|
|
|
1.1
|
%
|
|
$
|
709
|
|
|
2.4
|
%
|
|
$
|
14,366
|
|
|
45.2
|
%
|
|
$
|
2,709
|
|
|
50.6
|
%
|
|
$
|
20,837
|
|
|
5.8
|
%
|
AA
|
|
69,274
|
|
|
23.7
|
|
|
2,017
|
|
|
6.8
|
|
|
7,934
|
|
|
25.0
|
|
|
177
|
|
|
3.3
|
|
|
79,402
|
|
|
22.1
|
|
|||||
A
|
|
157,440
|
|
|
53.9
|
|
|
6,765
|
|
|
22.9
|
|
|
2,486
|
|
|
7.8
|
|
|
555
|
|
|
10.3
|
|
|
167,246
|
|
|
46.7
|
|
|||||
BBB
|
|
54,315
|
|
|
18.6
|
|
|
18,708
|
|
|
63.2
|
|
|
1,515
|
|
|
4.8
|
|
|
1,365
|
|
|
25.5
|
|
|
75,903
|
|
|
21.2
|
|
|||||
BIG
|
|
7,784
|
|
|
2.7
|
|
|
1,378
|
|
|
4.7
|
|
|
5,469
|
|
|
17.2
|
|
|
552
|
|
|
10.3
|
|
|
15,183
|
|
|
4.2
|
|
|||||
Total net par outstanding (1)(2)
|
|
$
|
291,866
|
|
|
100.0
|
%
|
|
$
|
29,577
|
|
|
100.0
|
%
|
|
$
|
31,770
|
|
|
100.0
|
%
|
|
$
|
5,358
|
|
|
100.0
|
%
|
|
$
|
358,571
|
|
|
100.0
|
%
|
(1)
|
Excludes $
1.5 billion
of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG.
|
(2)
|
The
December 31, 2015
amounts include
$10.9 billion
of net par acquired from Radian Asset.
|
|
|
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 BIG.
|
|
Net Par Outstanding
|
|
Percent of Total U.S. Public Finance Net Par Outstanding
|
|
Rating
|
|||
|
(dollars in millions)
|
|||||||
New Jersey (State of)
|
$
|
4,692
|
|
|
1.6
|
%
|
|
BBB+
|
California (State of)
|
2,400
|
|
|
0.8
|
|
|
A
|
|
Illinois (State of)
|
2,136
|
|
|
0.7
|
|
|
BBB+
|
|
New York (City of) New York
|
2,082
|
|
|
0.7
|
|
|
AA-
|
|
Chicago (City of) Illinois
|
1,960
|
|
|
0.7
|
|
|
BBB+
|
|
New York (State of)
|
1,916
|
|
|
0.7
|
|
|
A+
|
|
Skyway Concession Company LLC (1)
|
1,842
|
|
|
0.6
|
|
|
BBB-
|
|
Puerto Rico General Obligation, Appropriations and Guarantees of the Commonwealth
|
1,821
|
|
|
0.6
|
|
|
CCC
|
|
Massachusetts (Commonwealth of)
|
1,780
|
|
|
0.6
|
|
|
AA
|
|
Los Angeles, California Unified School District
|
1,615
|
|
|
0.6
|
|
|
AA-
|
|
Total of top ten U.S. public finance exposures
|
$
|
22,244
|
|
|
7.6
|
%
|
|
|
(1)
|
On February 25, 2016, in connection with the sale of the membership interests in SCC, the various SCC obligations insured by the Company were retired. See Note 5, Expected Loss to be Paid for additional information.
|
|
Net Par Outstanding
|
|
Percent of Total U.S. Structured Finance Net Par Outstanding
|
|
Rating
|
|||
|
(dollars in millions)
|
|||||||
Stone Tower Credit Funding
|
$
|
835
|
|
|
2.6
|
%
|
|
AAA
|
Private US Insurance Securitization
|
800
|
|
|
2.5
|
|
|
AA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
767
|
|
|
2.4
|
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
744
|
|
|
2.3
|
|
|
AAA
|
|
Fortress Credit Opportunities I, LP.
|
715
|
|
|
2.3
|
|
|
AA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
655
|
|
|
2.1
|
|
|
AAA
|
|
Wachovia Super Senior CDO 2007-1
|
563
|
|
|
1.8
|
|
|
AAA
|
|
Synthetic Investment Grade Pooled Corporate CDO
|
516
|
|
|
1.6
|
|
|
AAA
|
|
Private US Insurance Securitization
|
500
|
|
|
1.6
|
|
|
AA
|
|
Shenandoah Trust Capital I Term Securities
|
484
|
|
|
1.5
|
|
|
A+
|
|
Total of top ten U.S. structured finance exposures
|
$
|
6,579
|
|
|
20.7
|
%
|
|
|
|
Country
|
|
Net Par Outstanding
|
|
Percent of Total Non-U.S. Net Par Outstanding
|
|
Rating
|
|||
|
|
|
(dollars in millions)
|
|||||||
Quebec Province
|
Canada
|
|
$
|
2,089
|
|
|
6.0
|
%
|
|
A+
|
Thames Water Utility Finance PLC
|
United Kingdom
|
|
1,167
|
|
|
3.3
|
|
|
A-
|
|
Societe des Autoroutes du Nord et de l'Est de France S.A.
|
France
|
|
960
|
|
|
2.7
|
|
|
BBB+
|
|
Channel Link Enterprises Finance PLC (Eurotunnel)
|
France, United Kingdom
|
|
907
|
|
|
2.6
|
|
|
BBB
|
|
Capital Hospitals (Issuer) PLC
|
United Kingdom
|
|
803
|
|
|
2.3
|
|
|
BBB-
|
|
Southern Water Services Limited
|
United Kingdom
|
|
729
|
|
|
2.1
|
|
|
A-
|
|
International Infrastructure Pool
|
United Kingdom
|
|
671
|
|
|
1.9
|
|
|
AA
|
|
Southern Gas Networks PLC
|
United Kingdom
|
|
661
|
|
|
1.9
|
|
|
BBB
|
|
Verbund - Lease and Sublease of Hydro-Electric equipment
|
Austria
|
|
644
|
|
|
1.8
|
|
|
AAA
|
|
South Lanarkshire Schools
|
Scotland
|
|
631
|
|
|
1.8
|
|
|
BBB-
|
|
Total of top ten non-U.S. exposures
|
|
|
$
|
9,262
|
|
|
26.4
|
%
|
|
|
|
Number of Risks
|
|
Net Par Outstanding
|
|
Percent of Total Net Par Outstanding
|
||||
|
|
|
(dollars in millions)
|
||||||
U.S.:
|
|
|
|
|
|
||||
U.S. Public Finance:
|
|
|
|
|
|
||||
California
|
1,514
|
|
|
$
|
47,731
|
|
|
13.3
|
%
|
Texas
|
1,307
|
|
|
23,891
|
|
|
6.7
|
|
|
Pennsylvania
|
944
|
|
|
23,655
|
|
|
6.6
|
|
|
New York
|
961
|
|
|
22,513
|
|
|
6.3
|
|
|
Illinois
|
816
|
|
|
22,220
|
|
|
6.2
|
|
|
Florida
|
369
|
|
|
16,595
|
|
|
4.6
|
|
|
New Jersey
|
553
|
|
|
13,605
|
|
|
3.8
|
|
|
Michigan
|
577
|
|
|
10,898
|
|
|
3.0
|
|
|
Georgia
|
183
|
|
|
6,991
|
|
|
1.9
|
|
|
Ohio
|
464
|
|
|
6,753
|
|
|
1.9
|
|
|
Other states and U.S. territories
|
3,927
|
|
|
97,014
|
|
|
27.0
|
|
|
Total U.S. public finance
|
11,615
|
|
|
291,866
|
|
|
81.3
|
|
|
U.S. Structured finance (multiple states)
|
723
|
|
|
31,770
|
|
|
8.9
|
|
|
Total U.S.
|
12,338
|
|
|
323,636
|
|
|
90.2
|
|
|
Non-U.S.:
|
|
|
|
|
|
||||
United Kingdom
|
101
|
|
|
17,565
|
|
|
4.9
|
|
|
Australia
|
22
|
|
|
3,349
|
|
|
0.9
|
|
|
Canada
|
10
|
|
|
3,099
|
|
|
0.9
|
|
|
France
|
16
|
|
|
2,609
|
|
|
0.7
|
|
|
Italy
|
8
|
|
|
1,296
|
|
|
0.4
|
|
|
Other
|
72
|
|
|
7,017
|
|
|
2.0
|
|
|
Total non-U.S.
|
229
|
|
|
34,935
|
|
|
9.8
|
|
|
Total
|
12,567
|
|
|
$
|
358,571
|
|
|
100.0
|
%
|
|
|
Net Par Outstanding
|
|
|
|
|
||||||||||||||||||||
|
|
AGM Consolidated
|
|
AGC Consolidated
|
|
AG Re (1) Consolidated
|
|
Eliminations (2)
|
|
Total Net Par Outstanding (4)
|
|
Gross Par Outstanding
|
|
Internal Rating
|
||||||||||||
|
|
(in millions)
|
|
|
||||||||||||||||||||||
Exposures Previously Subject to the Voided Recovery Act(3):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
PRHTA (Transportation revenue) (5)
|
|
$
|
289
|
|
|
$
|
475
|
|
|
$
|
225
|
|
|
$
|
(80
|
)
|
|
$
|
909
|
|
|
$
|
936
|
|
|
CCC-
|
PREPA
|
|
431
|
|
|
74
|
|
|
239
|
|
|
—
|
|
|
744
|
|
|
902
|
|
|
CC
|
||||||
Puerto Rico Aqueduct and Sewer Authority
|
|
—
|
|
|
296
|
|
|
92
|
|
|
—
|
|
|
388
|
|
|
388
|
|
|
CCC
|
||||||
PRHTA (Highway revenue) (5)
|
|
219
|
|
|
101
|
|
|
50
|
|
|
—
|
|
|
370
|
|
|
575
|
|
|
CCC
|
||||||
Puerto Rico Convention Center District Authority ("PRCCDA") (5)
|
|
—
|
|
|
82
|
|
|
82
|
|
|
—
|
|
|
164
|
|
|
164
|
|
|
CCC-
|
||||||
Total
|
|
939
|
|
|
1,028
|
|
|
688
|
|
|
(80
|
)
|
|
2,575
|
|
|
2,965
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Exposures Not Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
|
720
|
|
|
415
|
|
|
480
|
|
|
—
|
|
|
1,615
|
|
|
1,737
|
|
|
CCC
|
||||||
MFA
|
|
206
|
|
|
65
|
|
|
116
|
|
|
—
|
|
|
387
|
|
|
571
|
|
|
CCC-
|
||||||
Puerto Rico Sales Tax Financing Corporation
|
|
261
|
|
|
—
|
|
|
8
|
|
|
—
|
|
|
269
|
|
|
269
|
|
|
CCC+
|
||||||
Puerto Rico Public Buildings Authority
|
|
14
|
|
|
137
|
|
|
37
|
|
|
—
|
|
|
188
|
|
|
194
|
|
|
CCC
|
||||||
PRIFA (5) (6)
|
|
—
|
|
|
10
|
|
|
8
|
|
|
—
|
|
|
18
|
|
|
18
|
|
|
CCC-
|
||||||
University of Puerto Rico
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
1
|
|
|
CCC-
|
||||||
Total
|
|
1,201
|
|
|
628
|
|
|
649
|
|
|
—
|
|
|
2,478
|
|
|
2,790
|
|
|
|
||||||
Total net exposure to Puerto Rico
|
|
$
|
2,140
|
|
|
$
|
1,656
|
|
|
$
|
1,337
|
|
|
$
|
(80
|
)
|
|
$
|
5,053
|
|
|
$
|
5,755
|
|
|
|
(1)
|
"AG Re" means 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 July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling.
|
(4)
|
Includes exposure to capital appreciation bonds with a current aggregate net par outstanding of $32 million and a fully accreted net par at maturity of $66 million. Of these amounts, current net par of $17 million and fully accreted net par at maturity of $50 million relate to the Puerto Rico Sales Tax Financing Corporation, current net par of $10 million and fully accreted net par at maturity of $11 million relate to the PRHTA, and current net par of $4 million and fully accreted net par at maturity of $5 million relate to the Commonwealth General Obligation Bonds.
|
(5)
|
The Governor issued executive orders on November 30, 2015 and December 8, 2015, directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes and revenues pledged to secure the payment of bonds issued by PRHTA, PRIFA and PRCCDA. On January 7, 2016, the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes and revenues is unconstitutional, and demanding declaratory and injunctive relief.
|
(6)
|
On January 1, 2016 PRIFA defaulted on full payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately
$451 thousand
of claims for the interest payments on which PRIFA had defaulted.
|
|
Scheduled Net Par Amortization
|
|||||||||||||||||||||||||||||||||||||||||||||||
|
2016
|
2017
|
2018
|
2019
|
2020
|
2021
|
2022
|
2023
|
2024
|
2025
|
2026 -2030
|
2031 -2035
|
2036 -2040
|
2041 -2045
|
2046 -2047
|
Total
|
||||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||||||||||
Exposures Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
PRHTA (Transportation revenue)
|
$
|
32
|
|
$
|
36
|
|
$
|
42
|
|
$
|
28
|
|
$
|
23
|
|
$
|
18
|
|
$
|
19
|
|
$
|
21
|
|
$
|
1
|
|
$
|
26
|
|
$
|
151
|
|
$
|
227
|
|
$
|
240
|
|
$
|
45
|
|
$
|
—
|
|
$
|
909
|
|
PREPA
|
20
|
|
5
|
|
4
|
|
25
|
|
42
|
|
22
|
|
22
|
|
81
|
|
78
|
|
52
|
|
309
|
|
84
|
|
0
|
|
—
|
|
—
|
|
744
|
|
||||||||||||||||
Puerto Rico Aqueduct and Sewer Authority
|
15
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2
|
|
25
|
|
84
|
|
—
|
|
2
|
|
92
|
|
168
|
|
388
|
|
||||||||||||||||
PRHTA (Highway revenue)
|
20
|
|
10
|
|
10
|
|
21
|
|
22
|
|
26
|
|
6
|
|
8
|
|
8
|
|
8
|
|
27
|
|
167
|
|
37
|
|
—
|
|
—
|
|
370
|
|
||||||||||||||||
PRCCDA
|
11
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
19
|
|
105
|
|
29
|
|
—
|
|
—
|
|
164
|
|
||||||||||||||||
Total
|
98
|
|
51
|
|
56
|
|
74
|
|
87
|
|
66
|
|
47
|
|
110
|
|
89
|
|
111
|
|
590
|
|
583
|
|
308
|
|
137
|
|
168
|
|
2,575
|
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Exposures Not Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
142
|
|
95
|
|
75
|
|
82
|
|
137
|
|
16
|
|
37
|
|
15
|
|
73
|
|
68
|
|
254
|
|
475
|
|
146
|
|
—
|
|
—
|
|
1,615
|
|
||||||||||||||||
MFA
|
55
|
|
47
|
|
47
|
|
44
|
|
37
|
|
33
|
|
33
|
|
16
|
|
12
|
|
11
|
|
52
|
|
—
|
|
—
|
|
—
|
|
—
|
|
387
|
|
||||||||||||||||
Puerto Rico Sales Tax Financing Corporation
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(2
|
)
|
(2
|
)
|
1
|
|
0
|
|
(2
|
)
|
(6
|
)
|
32
|
|
98
|
|
155
|
|
—
|
|
269
|
|
||||||||||||||||
Puerto Rico Public Buildings Authority
|
8
|
|
30
|
|
—
|
|
5
|
|
10
|
|
12
|
|
0
|
|
7
|
|
0
|
|
8
|
|
52
|
|
40
|
|
16
|
|
—
|
|
—
|
|
188
|
|
||||||||||||||||
PRIFA
|
—
|
|
—
|
|
2
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2
|
|
—
|
|
—
|
|
—
|
|
—
|
|
3
|
|
11
|
|
—
|
|
18
|
|
||||||||||||||||
University of Puerto Rico
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
—
|
|
—
|
|
—
|
|
1
|
|
||||||||||||||||
Total
|
204
|
|
171
|
|
123
|
|
130
|
|
183
|
|
59
|
|
68
|
|
41
|
|
85
|
|
85
|
|
352
|
|
548
|
|
263
|
|
166
|
|
—
|
|
2,478
|
|
||||||||||||||||
Total net par for Puerto Rico
|
$
|
302
|
|
$
|
222
|
|
$
|
179
|
|
$
|
204
|
|
$
|
270
|
|
$
|
125
|
|
$
|
115
|
|
$
|
151
|
|
$
|
174
|
|
$
|
196
|
|
$
|
942
|
|
$
|
1,131
|
|
$
|
571
|
|
$
|
303
|
|
$
|
168
|
|
$
|
5,053
|
|
|
Scheduled Net Debt Service Amortization
|
|||||||||||||||||||||||||||||||||||||||||||||||
|
2016
|
2017
|
2018
|
2019
|
2020
|
2021
|
2022
|
2023
|
2024
|
2025
|
2026 -2030
|
2031 -2035
|
2036 -2040
|
2041 -2045
|
2046 -2047
|
Total
|
||||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||||||||||
Exposures Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
PRHTA (Transportation revenue)
|
$
|
80
|
|
$
|
82
|
|
$
|
86
|
|
$
|
69
|
|
$
|
63
|
|
$
|
57
|
|
$
|
57
|
|
$
|
58
|
|
$
|
37
|
|
$
|
61
|
|
$
|
309
|
|
$
|
348
|
|
$
|
288
|
|
$
|
47
|
|
$
|
—
|
|
$
|
1,642
|
|
PREPA
|
55
|
|
38
|
|
37
|
|
58
|
|
74
|
|
52
|
|
50
|
|
109
|
|
102
|
|
72
|
|
366
|
|
92
|
|
0
|
|
—
|
|
—
|
|
1,105
|
|
||||||||||||||||
Puerto Rico Aqueduct and Sewer Authority
|
35
|
|
19
|
|
19
|
|
19
|
|
19
|
|
19
|
|
19
|
|
19
|
|
21
|
|
45
|
|
160
|
|
68
|
|
70
|
|
160
|
|
181
|
|
873
|
|
||||||||||||||||
PRHTA (Highway revenue)
|
40
|
|
29
|
|
29
|
|
39
|
|
39
|
|
42
|
|
20
|
|
21
|
|
21
|
|
21
|
|
87
|
|
203
|
|
39
|
|
—
|
|
—
|
|
630
|
|
||||||||||||||||
PRCCDA
|
19
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
51
|
|
127
|
|
30
|
|
—
|
|
—
|
|
290
|
|
||||||||||||||||
Total
|
229
|
|
175
|
|
178
|
|
192
|
|
202
|
|
177
|
|
153
|
|
214
|
|
188
|
|
206
|
|
973
|
|
838
|
|
427
|
|
207
|
|
181
|
|
4,540
|
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Exposures Not Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
226
|
|
172
|
|
146
|
|
150
|
|
201
|
|
72
|
|
93
|
|
69
|
|
127
|
|
116
|
|
458
|
|
606
|
|
161
|
|
—
|
|
—
|
|
2,597
|
|
||||||||||||||||
MFA
|
74
|
|
64
|
|
62
|
|
56
|
|
47
|
|
40
|
|
39
|
|
21
|
|
16
|
|
15
|
|
57
|
|
—
|
|
—
|
|
—
|
|
—
|
|
491
|
|
||||||||||||||||
Puerto Rico Sales Tax Financing Corporation
|
12
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
16
|
|
15
|
|
12
|
|
68
|
|
103
|
|
164
|
|
170
|
|
—
|
|
638
|
|
||||||||||||||||
Puerto Rico Public Buildings Authority
|
18
|
|
39
|
|
8
|
|
12
|
|
18
|
|
20
|
|
6
|
|
14
|
|
6
|
|
14
|
|
72
|
|
49
|
|
17
|
|
—
|
|
—
|
|
293
|
|
||||||||||||||||
PRIFA
|
0
|
|
1
|
|
3
|
|
1
|
|
1
|
|
1
|
|
1
|
|
3
|
|
0
|
|
0
|
|
4
|
|
4
|
|
6
|
|
12
|
|
—
|
|
37
|
|
||||||||||||||||
University of Puerto Rico
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
—
|
|
—
|
|
—
|
|
1
|
|
||||||||||||||||
Total
|
330
|
|
289
|
|
232
|
|
232
|
|
280
|
|
146
|
|
152
|
|
123
|
|
164
|
|
157
|
|
659
|
|
763
|
|
348
|
|
182
|
|
—
|
|
4,057
|
|
||||||||||||||||
Total net debt service for Puerto Rico
|
$
|
559
|
|
$
|
464
|
|
$
|
410
|
|
$
|
424
|
|
$
|
482
|
|
$
|
323
|
|
$
|
305
|
|
$
|
337
|
|
$
|
352
|
|
$
|
363
|
|
$
|
1,632
|
|
$
|
1,601
|
|
$
|
775
|
|
$
|
389
|
|
$
|
181
|
|
$
|
8,597
|
|
Original Par Amount Per Issue
|
|
Number of
Issues
|
|
Net Par
Outstanding
|
|
% of Public
Finance
Net Par
Outstanding
|
|||
|
(dollars in millions)
|
||||||||
Less than $10 million
|
16,116
|
|
$
|
44,672
|
|
|
13.9
|
%
|
|
$10 through $50 million
|
5,746
|
|
97,227
|
|
|
30.2
|
|
||
$50 through $100 million
|
1,097
|
|
56,787
|
|
|
17.7
|
|
||
$100 million to $200 million
|
477
|
|
50,028
|
|
|
15.6
|
|
||
$200 million or greater
|
283
|
|
72,729
|
|
|
22.6
|
|
||
Total
|
23,719
|
|
$
|
321,443
|
|
|
100.0
|
%
|
Original Par Amount Per Issue
|
|
Number of
Issues
|
|
Net Par
Outstanding
|
|
% of Structured
Finance
Net Par
Outstanding
|
|||
|
(dollars in millions)
|
||||||||
Less than $10 million
|
217
|
|
$
|
115
|
|
|
0.3
|
%
|
|
$10 through $50 million
|
291
|
|
2,907
|
|
|
7.8
|
|
||
$50 through $100 million
|
105
|
|
3,313
|
|
|
8.9
|
|
||
$100 million to $200 million
|
157
|
|
8,069
|
|
|
21.8
|
|
||
$200 million or greater
|
169
|
|
22,724
|
|
|
61.2
|
|
||
Total
|
939
|
|
$
|
37,128
|
|
|
100.0
|
%
|
Ratings:
|
|
Prime
First Lien
|
|
Alt-A
First Lien
|
|
Option
ARMs
|
|
Subprime
First Lien
|
|
Second
Lien
|
|
Total Net Par Outstanding
|
||||||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||||
AAA
|
|
$
|
9
|
|
|
$
|
220
|
|
|
$
|
16
|
|
|
$
|
1,536
|
|
|
$
|
0
|
|
|
$
|
1,781
|
|
AA
|
|
95
|
|
|
325
|
|
|
91
|
|
|
482
|
|
|
108
|
|
|
1,102
|
|
||||||
A
|
|
1
|
|
|
—
|
|
|
4
|
|
|
41
|
|
|
1
|
|
|
47
|
|
||||||
BBB
|
|
56
|
|
|
15
|
|
|
—
|
|
|
94
|
|
|
0
|
|
|
165
|
|
||||||
BIG
|
|
284
|
|
|
793
|
|
|
141
|
|
|
1,304
|
|
|
1,452
|
|
|
3,973
|
|
||||||
Total exposures
|
|
$
|
445
|
|
|
$
|
1,353
|
|
|
$
|
252
|
|
|
$
|
3,457
|
|
|
$
|
1,560
|
|
|
$
|
7,067
|
|
Year
insured:
|
|
Prime
First Lien
|
|
Alt-A
First Lien
|
|
Option
ARMs
|
|
Subprime
First Lien
|
|
Second
Lien
|
|
Total Net Par Outstanding
|
||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||
2004 and prior
|
|
$
|
55
|
|
|
$
|
56
|
|
|
$
|
18
|
|
|
$
|
1,069
|
|
|
$
|
108
|
|
|
$
|
1,305
|
|
2005
|
|
127
|
|
|
450
|
|
|
36
|
|
|
182
|
|
|
345
|
|
|
1,140
|
|
||||||
2006
|
|
85
|
|
|
196
|
|
|
35
|
|
|
724
|
|
|
438
|
|
|
1,478
|
|
||||||
2007
|
|
177
|
|
|
651
|
|
|
163
|
|
|
1,414
|
|
|
669
|
|
|
3,075
|
|
||||||
2008
|
|
—
|
|
|
—
|
|
|
—
|
|
|
68
|
|
|
—
|
|
|
68
|
|
||||||
Total exposures
|
|
$
|
445
|
|
|
$
|
1,353
|
|
|
$
|
252
|
|
|
$
|
3,457
|
|
|
$
|
1,560
|
|
|
$
|
7,067
|
|
|
|
Ratings at
|
|
Par Outstanding (1)
|
||||||||||||
|
|
February 24, 2016
|
|
As of December 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) (2)
|
|
WR (3)
|
|
WR
|
|
$
|
5,227
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd. (2)
|
|
Aa3 (4)
|
|
A+ (4)
|
|
4,216
|
|
|
—
|
|
|
—
|
|
|||
Syncora Guarantee Inc. (2)
|
|
WR
|
|
WR
|
|
2,451
|
|
|
1,244
|
|
|
727
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd. (2)
|
|
A1
|
|
A+ (4)
|
|
1,818
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
714
|
|
|
20
|
|
|
—
|
|
|||
Ambac Assurance Corporation
|
|
WR
|
|
WR
|
|
117
|
|
|
3,889
|
|
|
10,388
|
|
|||
National (6)
|
|
A3
|
|
AA-
|
|
—
|
|
|
5,299
|
|
|
5,100
|
|
|||
MBIA
|
|
(7)
|
|
(7)
|
|
—
|
|
|
1,802
|
|
|
440
|
|
|||
FGIC
|
|
(8)
|
|
(8)
|
|
—
|
|
|
1,424
|
|
|
652
|
|
|||
Ambac Assurance Corp. Segregated Account
|
|
NR
|
|
NR
|
|
—
|
|
|
91
|
|
|
873
|
|
|||
CIFG Assurance North America Inc.
|
|
WR
|
|
WR
|
|
—
|
|
|
43
|
|
|
2,996
|
|
|||
Other (2)
|
|
Various
|
|
Various
|
|
78
|
|
|
796
|
|
|
133
|
|
|||
Total
|
|
|
|
|
|
$
|
14,621
|
|
|
$
|
14,608
|
|
|
$
|
21,339
|
|
(1)
|
Includes par related to insured credit derivatives.
|
(2)
|
The total collateral posted by all non-affiliated reinsurers required or agreeing to post collateral as of
December 31, 2015
was approximately
$470 million
.
|
(6)
|
National is rated AA+ by KBRA.
|
(7)
|
MBIA includes subsidiaries MBIA Insurance Corp. rated B by S&P and B3 by Moody's and MBIA U.K. Insurance Ltd. rated BB by S&P and Ba2 by Moody’s.
|
(8)
|
FGIC includes subsidiaries Financial Guaranty Insurance Company and FGIC UK Limited both of which had their ratings withdrawn by rating agencies.
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-infrastructure public finance (2)
|
$
|
—
|
|
|
$
|
1,023
|
|
|
$
|
91
|
|
|
$
|
331
|
|
|
$
|
1,445
|
|
Infrastructure finance
|
274
|
|
|
10
|
|
|
—
|
|
|
120
|
|
|
404
|
|
|||||
Total sub-sovereign exposure
|
274
|
|
|
1,033
|
|
|
91
|
|
|
451
|
|
|
1,849
|
|
|||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Regulated utilities
|
—
|
|
|
226
|
|
|
—
|
|
|
—
|
|
|
226
|
|
|||||
RMBS and other structured finance
|
176
|
|
|
278
|
|
|
—
|
|
|
13
|
|
|
467
|
|
|||||
Total non-sovereign exposure
|
176
|
|
|
504
|
|
|
—
|
|
|
13
|
|
|
693
|
|
|||||
Total
|
$
|
450
|
|
|
$
|
1,537
|
|
|
$
|
91
|
|
|
$
|
464
|
|
|
$
|
2,542
|
|
Total BIG
|
$
|
380
|
|
|
$
|
—
|
|
|
$
|
91
|
|
|
$
|
464
|
|
|
$
|
935
|
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-infrastructure public finance(2)
|
$
|
—
|
|
|
$
|
780
|
|
|
$
|
85
|
|
|
$
|
240
|
|
|
$
|
1,105
|
|
Infrastructure finance
|
271
|
|
|
10
|
|
|
—
|
|
|
120
|
|
|
401
|
|
|||||
Total sub-sovereign exposure
|
271
|
|
|
790
|
|
|
85
|
|
|
360
|
|
|
1,506
|
|
|||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Regulated utilities
|
—
|
|
|
212
|
|
|
—
|
|
|
—
|
|
|
212
|
|
|||||
RMBS and other structured finance
|
170
|
|
|
244
|
|
|
—
|
|
|
13
|
|
|
427
|
|
|||||
Total non-sovereign exposure
|
170
|
|
|
456
|
|
|
—
|
|
|
13
|
|
|
639
|
|
|||||
Total
|
$
|
441
|
|
|
$
|
1,246
|
|
|
$
|
85
|
|
|
$
|
373
|
|
|
$
|
2,145
|
|
Total BIG
|
$
|
374
|
|
|
$
|
—
|
|
|
$
|
85
|
|
|
$
|
373
|
|
|
$
|
832
|
|
(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.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Dividends paid by AGC to AGUS
|
$
|
90
|
|
|
$
|
69
|
|
|
$
|
67
|
|
Dividends paid by AGM to AGMH
|
215
|
|
|
160
|
|
|
163
|
|
|||
Dividends paid by AG Re to AGL
|
150
|
|
|
82
|
|
|
144
|
|
|||
Dividends paid by other subsidiaries of AGMH
|
—
|
|
|
10
|
|
|
—
|
|
|||
Repayment of surplus note by AGM to AGMH
|
25
|
|
|
50
|
|
|
50
|
|
|||
Dividends paid to AGL shareholders
|
(72
|
)
|
|
(76
|
)
|
|
(75
|
)
|
|||
Repurchases of common shares by AGL(1)
|
(555
|
)
|
|
(590
|
)
|
|
(264
|
)
|
|||
Interest paid by AGMH and AGUS
|
(95
|
)
|
|
(83
|
)
|
|
(70
|
)
|
|||
Proceeds from issuance of long-term debt
|
—
|
|
|
495
|
|
|
—
|
|
|||
Payment of long-term debt by AGUS
|
—
|
|
|
—
|
|
|
(7
|
)
|
|||
Issuance of note by AGUS to AGC(2)
|
(200
|
)
|
|
—
|
|
|
—
|
|
|||
Repayment of note by AGC to AGUS(2)
|
200
|
|
|
—
|
|
|
—
|
|
(1)
|
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. On a settlement date basis, the remaining authorization for share repurchases was
$55 million
on December 31, 2015. After the repurchase of additional shares in 2016, the Company exhausted the share repurchase authorization on February 9, 2016. On February 24, 2016, the Board of Directors approved a $250 million share repurchase authorization.
|
(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 the company's surplus that represents the net earnings, gains or profits (after deduction of all losses) that have not
|
•
|
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 the lesser of 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 2016 for AGC to distribute as ordinary dividends will be approximately $
79 million
, of which approximately
$9 million
is available for distribution in the first quarter of 2016.
|
•
|
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 in its previous year's financial statements requires the prior approval of the Bermuda Monetary Authority ("Authority"). Separately, dividends are paid out of an insurer's statutory surplus and cannot exceed that surplus. Further, annual dividends cannot exceed
25%
of total statutory capital and surplus surplus as set out in its previous year's financial statements, which is
$254 million
, without AG Re certifying to the Authority that it will continue to meet required margins. Based on the foregoing limitations, in 2016 AG Re has the capacity to (i) make capital distributions in an aggregate amount up to
$127 million
without the prior approval of the Authority and (ii) declare and pay dividends in an aggregate amount up to the limit of its outstanding statutory surplus, which is
$174 million
. Such dividend capacity is further limited by the actual amount of AG Re’s unencumbered assets, which amount changes from time to time due in part to collateral posting requirements. As of
December 31, 2015
, AG Re had unencumbered assets of approximately
$640 million
.
|
•
|
operating expenses,
|
•
|
claims on the insured portfolio,
|
•
|
posting of collateral in connection with credit derivatives and reinsurance transactions,
|
•
|
reinsurance premiums,
|
•
|
dividends to AGL, AGUS and/or AGMH, as applicable,
|
•
|
principal of and, where applicable, interest on surplus notes, and
|
•
|
capital investments in their own subsidiaries, where appropriate.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Public finance
|
$
|
(29
|
)
|
|
$
|
(144
|
)
|
|
$
|
6
|
|
Structured finance:
|
|
|
|
|
|
||||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
(270
|
)
|
|
(304
|
)
|
|
(587
|
)
|
|||
Net benefit for recoveries for breaches of R&W
|
173
|
|
|
663
|
|
|
954
|
|
|||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
(97
|
)
|
|
359
|
|
|
367
|
|
|||
Other structured finance
|
(161
|
)
|
|
2
|
|
|
(124
|
)
|
|||
Structured finance
|
(258
|
)
|
|
361
|
|
|
243
|
|
|||
Claims (paid) recovered, net of reinsurance(1)
|
$
|
(287
|
)
|
|
$
|
217
|
|
|
$
|
249
|
|
(1)
|
Includes $21 million and $20 million paid in 2015 and 2014, and $189 million recovered in 2013, respectively, for consolidated FG VIEs. Claims recovered in 2013 include invested assets received as part of a restructuring.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Net cash flows provided by (used in) operating activities before effects of trading securities and FG VIEs consolidation
|
$
|
(103
|
)
|
|
$
|
431
|
|
|
$
|
396
|
|
(Purchases) sales of trading securities, net
|
8
|
|
|
78
|
|
|
(16
|
)
|
|||
Effect of FG VIEs consolidation
|
43
|
|
|
68
|
|
|
(136
|
)
|
|||
Net cash flows provided by (used in) operating activities - reported
|
(52
|
)
|
|
577
|
|
|
244
|
|
|||
Net cash flows provided by (used in) investing activities before effects of FG VIEs consolidation
|
823
|
|
|
(423
|
)
|
|
37
|
|
|||
Effect of FG VIEs consolidation
|
171
|
|
|
327
|
|
|
644
|
|
|||
Net cash flows provided by (used in) investing activities - reported
|
994
|
|
|
(96
|
)
|
|
681
|
|
|||
Net cash flows provided by (used in) financing activities before effects of FG VIEs consolidation
|
(633
|
)
|
|
(189
|
)
|
|
(367
|
)
|
|||
Effect of FG VIEs consolidation
|
(214
|
)
|
|
(396
|
)
|
|
(511
|
)
|
|||
Net cash flows provided by (used in) financing activities - reported (1)
|
(847
|
)
|
|
(585
|
)
|
|
(878
|
)
|
|||
Effect of exchange rate changes
|
(4
|
)
|
|
(5
|
)
|
|
(1
|
)
|
|||
Cash at beginning of period
|
75
|
|
|
184
|
|
|
138
|
|
|||
Total cash at the end of the period
|
$
|
166
|
|
|
$
|
75
|
|
|
$
|
184
|
|
(1)
|
Claims paid on consolidated FG VIEs are presented in the consolidated cash flow statements as a component of paydowns on FG VIE liabilities in financing activities as opposed to operating activities.
|
|
Principal Amount
|
|
Interest Paid
|
||||||||||||||||
|
As of December 31,
|
|
Year Ended December 31,
|
||||||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
|
2013
|
||||||||||
|
(in millions)
|
||||||||||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
7.0% Senior Notes(1)
|
$
|
200
|
|
|
$
|
200
|
|
|
$
|
14
|
|
|
$
|
14
|
|
|
$
|
14
|
|
5.0% Senior Notes(1)
|
500
|
|
|
500
|
|
|
25
|
|
|
13
|
|
|
—
|
|
|||||
Series A Enhanced Junior Subordinated Debentures(2)
|
150
|
|
|
150
|
|
|
10
|
|
|
10
|
|
|
10
|
|
|||||
Total AGUS
|
850
|
|
|
850
|
|
|
49
|
|
|
37
|
|
|
24
|
|
|||||
AGMH(4):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
6
7
/
8
% QUIBS(1)
|
100
|
|
|
100
|
|
|
7
|
|
|
7
|
|
|
7
|
|
|||||
6.25% Notes(1)
|
230
|
|
|
230
|
|
|
14
|
|
|
14
|
|
|
14
|
|
|||||
5.60% Notes(1)
|
100
|
|
|
100
|
|
|
6
|
|
|
6
|
|
|
6
|
|
|||||
Junior Subordinated Debentures(2)
|
300
|
|
|
300
|
|
|
19
|
|
|
19
|
|
|
19
|
|
|||||
Total AGMH
|
730
|
|
|
730
|
|
|
46
|
|
|
46
|
|
|
46
|
|
|||||
AGM(3):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
AGM Notes Payable
|
12
|
|
|
16
|
|
|
0
|
|
|
3
|
|
|
6
|
|
|||||
Total AGM
|
12
|
|
|
16
|
|
|
0
|
|
|
3
|
|
|
6
|
|
|||||
Total
|
$
|
1,592
|
|
|
$
|
1,596
|
|
|
$
|
95
|
|
|
$
|
86
|
|
|
$
|
76
|
|
(1)
|
AGL fully and unconditionally guarantees these obligations
|
(2)
|
Guaranteed by AGL on a junior subordinated basis.
|
•
|
a maximum debt-to-capital ratio of
30%
; and
|
•
|
a minimum net worth of
75%
of consolidated net worth as of July 1, 2009, plus, beginning June 30, 2015 and on each anniversary of such date, an amount equal to the product of (i)
25%
of the aggregate consolidated net income (or loss) for the period beginning July 2, 2009 and ending on June 30, 2014 and (ii) a fraction, the numerator of which is the commitment amount as of the relevant calculation date and the denominator of which is $
1 billion
.
|
|
As of December 31, 2015
|
||||||||||||||||||
|
Less Than
1 Year
|
|
1-3
Years
|
|
3-5
Years
|
|
After
5 Years
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
||||||||||
7.0% Senior Notes
|
$
|
14
|
|
|
$
|
28
|
|
|
$
|
28
|
|
|
$
|
387
|
|
|
$
|
457
|
|
5.0% Senior Notes
|
25
|
|
|
50
|
|
|
50
|
|
|
588
|
|
|
713
|
|
|||||
Series A Enhanced Junior Subordinated Debentures
|
10
|
|
|
19
|
|
|
19
|
|
|
591
|
|
|
639
|
|
|||||
6
7
/
8
% QUIBS
|
7
|
|
|
14
|
|
|
14
|
|
|
657
|
|
|
692
|
|
|||||
6.25% Notes
|
14
|
|
|
29
|
|
|
29
|
|
|
1,407
|
|
|
1,479
|
|
|||||
5.60% Notes
|
6
|
|
|
11
|
|
|
11
|
|
|
563
|
|
|
591
|
|
|||||
Junior Subordinated Debentures
|
19
|
|
|
38
|
|
|
38
|
|
|
1,183
|
|
|
1,278
|
|
|||||
Notes Payable
|
4
|
|
|
6
|
|
|
1
|
|
|
2
|
|
|
13
|
|
|||||
Operating lease obligations(1)
|
4
|
|
|
13
|
|
|
16
|
|
|
84
|
|
|
117
|
|
|||||
Other compensation plans(3)
|
17
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17
|
|
|||||
Estimated financial guaranty claim payments(2)
|
242
|
|
|
348
|
|
|
143
|
|
|
2,165
|
|
|
2,898
|
|
|||||
Total
|
$
|
362
|
|
|
$
|
556
|
|
|
$
|
349
|
|
|
$
|
7,627
|
|
|
$
|
8,894
|
|
(1)
|
Operating lease obligations exclude escalations in building operating costs and real estate taxes.
|
(2)
|
Financial guaranty claim payments represent estimated undiscounted expected cash outflows under direct and assumed financial guaranty contracts, whether accounted for as insurance or credit derivatives, including claim payments under contracts in consolidated FG VIEs. The amounts presented are not reduced for cessions under reinsurance contracts. Amounts include any benefit anticipated from excess spread or other recoveries within the contracts but do not reflect any benefit for recoveries under breaches of R&W.
|
(3)
|
Amount excludes approximately $55 million of liabilities under various supplemental retirement plans, which are fair valued and payable at the time of termination of employment by either employer or employee. Amount also excludes approximately $70 million of liabilities under AGL 2004 long term incentive plan, which are fair valued and payable at the time of vesting or termination of employment by either employer or employee. Given the nature of these awards, we are unable to determine the year in which they will be paid.
|
|
As of December 31, 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
|
$
|
5,528
|
|
|
$
|
5,841
|
|
|
$
|
5,416
|
|
|
$
|
5,795
|
|
U.S. government and agencies
|
377
|
|
|
400
|
|
|
635
|
|
|
665
|
|
||||
Corporate securities
|
1,505
|
|
|
1,520
|
|
|
1,320
|
|
|
1,368
|
|
||||
Mortgage-backed securities(1):
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,238
|
|
|
1,245
|
|
|
1,255
|
|
|
1,285
|
|
||||
CMBS
|
506
|
|
|
513
|
|
|
639
|
|
|
659
|
|
||||
Asset-backed securities
|
831
|
|
|
825
|
|
|
411
|
|
|
417
|
|
||||
Foreign government securities
|
290
|
|
|
283
|
|
|
296
|
|
|
302
|
|
||||
Total fixed-maturity securities
|
10,275
|
|
|
10,627
|
|
|
9,972
|
|
|
10,491
|
|
||||
Short-term investments
|
396
|
|
|
396
|
|
|
767
|
|
|
767
|
|
||||
Total fixed-maturity and short-term investments
|
$
|
10,671
|
|
|
$
|
11,023
|
|
|
$
|
10,739
|
|
|
$
|
11,258
|
|
(1)
|
Government-agency obligations were approximately
54%
of mortgage backed securities as of
December 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
|
$
|
316
|
|
|
$
|
(10
|
)
|
|
$
|
7
|
|
|
$
|
0
|
|
|
$
|
323
|
|
|
$
|
(10
|
)
|
U.S. government and agencies
|
77
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
77
|
|
|
0
|
|
||||||
Corporate securities
|
381
|
|
|
(8
|
)
|
|
95
|
|
|
(15
|
)
|
|
476
|
|
|
(23
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
RMBS
|
438
|
|
|
(8
|
)
|
|
90
|
|
|
(14
|
)
|
|
528
|
|
|
(22
|
)
|
||||||
CMBS
|
140
|
|
|
(2
|
)
|
|
2
|
|
|
0
|
|
|
142
|
|
|
(2
|
)
|
||||||
Asset-backed securities
|
517
|
|
|
(10
|
)
|
|
—
|
|
|
—
|
|
|
517
|
|
|
(10
|
)
|
||||||
Foreign government securities
|
97
|
|
|
(4
|
)
|
|
82
|
|
|
(7
|
)
|
|
179
|
|
|
(11
|
)
|
||||||
Total
|
$
|
1,966
|
|
|
$
|
(42
|
)
|
|
$
|
276
|
|
|
$
|
(36
|
)
|
|
$
|
2,242
|
|
|
$
|
(78
|
)
|
Number of securities(1)
|
|
|
|
335
|
|
|
|
|
|
71
|
|
|
|
|
|
396
|
|
||||||
Number of securities with other-than-temporary impairment
|
|
|
|
9
|
|
|
|
|
|
4
|
|
|
|
|
|
13
|
|
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
||||||||||||||||||
|
Fair
Value
|
|
Unrealized
Loss
|
|
Fair
Value
|
|
Unrealized
Loss
|
|
Fair
Value
|
|
Unrealized
Loss
|
||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Obligations of state and political subdivisions
|
$
|
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
|
$
|
234
|
|
|
$
|
233
|
|
Due after one year through five years
|
1,911
|
|
|
1,965
|
|
||
Due after five years through 10 years
|
2,169
|
|
|
2,257
|
|
||
Due after 10 years
|
4,217
|
|
|
4,414
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,238
|
|
|
1,245
|
|
||
CMBS
|
506
|
|
|
513
|
|
||
Total
|
$
|
10,275
|
|
|
$
|
10,627
|
|
Rating
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
||
AAA
|
|
10.8
|
%
|
|
14.0
|
%
|
AA
|
|
59.0
|
|
|
60.3
|
|
A
|
|
17.6
|
|
|
17.9
|
|
BBB
|
|
0.9
|
|
|
0.5
|
|
BIG(1)
|
|
11.4
|
|
|
7.3
|
|
Not rated
|
|
0.3
|
|
|
—
|
|
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 and Supplementary Data.
|
ITEM 7A.
|
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|
•
|
The fair value of credit derivatives within the financial guaranty portfolio of insured obligations which fluctuate based on changes in credit spreads of the underlying obligations and the Company's own credit spreads.
|
•
|
The Investment Portfolio's fair value is primarily driven by changes in interest rates and also affected by changes in credit spreads.
|
•
|
The Investment Portfolio also contains foreign denominated securities whose value fluctuates based on changes in foreign exchange rates.
|
•
|
Premiums receivable include foreign denominated receivables whose carrying value fluctuates based on changes in foreign exchange rates.
|
•
|
The fair value of the assets and liabilities of consolidated FG VIE's may fluctuate based on changes in prepayment spreads, default rates, interest rates, and house price depreciation/appreciation.
|
|
|
As of December 31, 2015
|
|
As of December 31, 2014
|
||||||||||||
Credit Spreads(1)
|
|
Estimated Net
Fair Value
(Pre-Tax)
|
|
Estimated Change
in Gain/(Loss)
(Pre-Tax)
|
|
Estimated Net
Fair Value (Pre-Tax) |
|
Estimated Change
in Gain/(Loss) (Pre-Tax) |
||||||||
|
(in millions)
|
|||||||||||||||
100% widening in spreads
|
$
|
(742
|
)
|
|
$
|
(377
|
)
|
|
$
|
(1,821
|
)
|
|
$
|
(926
|
)
|
|
50% widening in spreads
|
(554
|
)
|
|
(189
|
)
|
|
(1,358
|
)
|
|
(463
|
)
|
|||||
25% widening in spreads
|
(460
|
)
|
|
(95
|
)
|
|
(1,128
|
)
|
|
(233
|
)
|
|||||
10% widening in spreads
|
(403
|
)
|
|
(38
|
)
|
|
(989
|
)
|
|
(94
|
)
|
|||||
Base Scenario
|
(365
|
)
|
|
—
|
|
|
(895
|
)
|
|
—
|
|
|||||
10% narrowing in spreads
|
(330
|
)
|
|
35
|
|
|
(809
|
)
|
|
86
|
|
|||||
25% narrowing in spreads
|
(277
|
)
|
|
88
|
|
|
(679
|
)
|
|
216
|
|
|||||
50% narrowing in spreads
|
(190
|
)
|
|
175
|
|
|
(466
|
)
|
|
429
|
|
(1)
|
Includes the effects of spreads on both the underlying asset classes and the Company's own credit spread.
|
|
Increase (Decrease) in Fair Value from Changes in Interest Rates
|
||||||||||||||||||||||
|
300 Basis
Point
Decrease
|
|
200 Basis
Point
Decrease
|
|
100 Basis
Point
Decrease
|
|
100 Basis
Point
Increase
|
|
200 Basis
Point
Increase
|
|
300 Basis
Point
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
December 31, 2015
|
$
|
1,561
|
|
|
$
|
1,107
|
|
|
$
|
568
|
|
|
$
|
(557
|
)
|
|
$
|
(1,094
|
)
|
|
$
|
(1,607
|
)
|
December 31, 2014
|
1,294
|
|
|
942
|
|
|
496
|
|
|
(509
|
)
|
|
(1,016
|
)
|
|
(1,514
|
)
|
|
Increase (Decrease) in Fair Value from Changes in Foreign Exchange Rates
|
||||||||||||||||||||||
|
30%
Decrease
|
|
20%
Decrease
|
|
10%
Decrease
|
|
10%
Increase
|
|
20%
Increase
|
|
30%
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
December 31, 2015
|
$
|
(163
|
)
|
|
$
|
(108
|
)
|
|
$
|
(54
|
)
|
|
$
|
54
|
|
|
$
|
108
|
|
|
$
|
163
|
|
December 31, 2014
|
(135
|
)
|
|
(90
|
)
|
|
(45
|
)
|
|
45
|
|
|
90
|
|
|
135
|
|
|
Increase (Decrease) in Premium Receivable from Changes in Foreign Exchange Rates
|
||||||||||||||||||||||
|
30%
Decrease
|
|
20%
Decrease
|
|
10%
Decrease
|
|
10%
Increase
|
|
20%
Increase
|
|
30%
Increase
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
December 31, 2015
|
$
|
(96
|
)
|
|
$
|
(64
|
)
|
|
$
|
(32
|
)
|
|
$
|
32
|
|
|
$
|
64
|
|
|
$
|
96
|
|
December 31, 2014
|
(95
|
)
|
|
(63
|
)
|
|
(32
|
)
|
|
32
|
|
|
63
|
|
|
95
|
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
||||
Assets
|
|
|
|
|
|
||
Investment portfolio:
|
|
|
|
|
|
||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $10,275 and $9,972)
|
$
|
10,627
|
|
|
$
|
10,491
|
|
Short-term investments, at fair value
|
396
|
|
|
767
|
|
||
Other invested assets
|
169
|
|
|
126
|
|
||
Total investment portfolio
|
11,192
|
|
|
11,384
|
|
||
Cash
|
166
|
|
|
75
|
|
||
Premiums receivable, net of commissions payable
|
693
|
|
|
729
|
|
||
Ceded unearned premium reserve
|
232
|
|
|
381
|
|
||
Deferred acquisition costs
|
114
|
|
|
121
|
|
||
Reinsurance recoverable on unpaid losses
|
69
|
|
|
78
|
|
||
Salvage and subrogation recoverable
|
126
|
|
|
151
|
|
||
Credit derivative assets
|
81
|
|
|
68
|
|
||
Deferred tax asset, net
|
276
|
|
|
260
|
|
||
Current income tax receivable
|
40
|
|
|
—
|
|
||
Financial guaranty variable interest entities’ assets, at fair value
|
1,261
|
|
|
1,402
|
|
||
Other assets
|
294
|
|
|
270
|
|
||
Total assets
|
$
|
14,544
|
|
|
$
|
14,919
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
|
||
Unearned premium reserve
|
$
|
3,996
|
|
|
$
|
4,261
|
|
Loss and loss adjustment expense reserve
|
1,067
|
|
|
799
|
|
||
Reinsurance balances payable, net
|
51
|
|
|
107
|
|
||
Long-term debt
|
1,300
|
|
|
1,297
|
|
||
Credit derivative liabilities
|
446
|
|
|
963
|
|
||
Current income tax payable
|
—
|
|
|
5
|
|
||
Financial guaranty variable interest entities’ liabilities with recourse, at fair value
|
1,225
|
|
|
1,277
|
|
||
Financial guaranty variable interest entities’ liabilities without recourse, at fair value
|
124
|
|
|
142
|
|
||
Other liabilities
|
272
|
|
|
310
|
|
||
Total liabilities
|
8,481
|
|
|
9,161
|
|
||
Commitments and contingencies (See Note 15)
|
|
|
|
||||
Common stock ($0.01 par value, 500,000,000 shares authorized; 137,928,552 and 158,306,661 shares issued and outstanding)
|
1
|
|
|
2
|
|
||
Additional paid-in capital
|
1,342
|
|
|
1,887
|
|
||
Retained earnings
|
4,478
|
|
|
3,494
|
|
||
Accumulated other comprehensive income, net of tax of $104 and $159
|
237
|
|
|
370
|
|
||
Deferred equity compensation (320,193 and 320,193 shares)
|
5
|
|
|
5
|
|
||
Total shareholders’ equity
|
6,063
|
|
|
5,758
|
|
||
Total liabilities and shareholders’ equity
|
$
|
14,544
|
|
|
$
|
14,919
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
Revenues
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
766
|
|
|
$
|
570
|
|
|
$
|
752
|
|
Net investment income
|
423
|
|
|
403
|
|
|
393
|
|
|||
Net realized investment gains (losses):
|
|
|
|
|
|
|
|
||||
Other-than-temporary impairment losses
|
(47
|
)
|
|
(76
|
)
|
|
(32
|
)
|
|||
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income
|
0
|
|
|
(1
|
)
|
|
10
|
|
|||
Net impairment loss
|
(47
|
)
|
|
(75
|
)
|
|
(42
|
)
|
|||
Other net realized investment gains (losses)
|
21
|
|
|
15
|
|
|
94
|
|
|||
Net realized investment gains (losses)
|
(26
|
)
|
|
(60
|
)
|
|
52
|
|
|||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
||||||
Realized gains (losses) and other settlements
|
(18
|
)
|
|
23
|
|
|
(42
|
)
|
|||
Net unrealized gains (losses)
|
746
|
|
|
800
|
|
|
107
|
|
|||
Net change in fair value of credit derivatives
|
728
|
|
|
823
|
|
|
65
|
|
|||
Fair value gains (losses) on committed capital securities
|
27
|
|
|
(11
|
)
|
|
10
|
|
|||
Fair value gains (losses) on financial guaranty variable interest entities
|
38
|
|
|
255
|
|
|
346
|
|
|||
Bargain purchase gain and settlement of pre-existing relationships
|
214
|
|
|
—
|
|
|
—
|
|
|||
Other income (loss)
|
37
|
|
|
14
|
|
|
(10
|
)
|
|||
Total revenues
|
2,207
|
|
|
1,994
|
|
|
1,608
|
|
|||
Expenses
|
|
|
|
|
|
|
|
||||
Loss and loss adjustment expenses
|
424
|
|
|
126
|
|
|
154
|
|
|||
Amortization of deferred acquisition costs
|
20
|
|
|
25
|
|
|
12
|
|
|||
Interest expense
|
101
|
|
|
92
|
|
|
82
|
|
|||
Other operating expenses
|
231
|
|
|
220
|
|
|
218
|
|
|||
Total expenses
|
776
|
|
|
463
|
|
|
466
|
|
|||
Income (loss) before income taxes
|
1,431
|
|
|
1,531
|
|
|
1,142
|
|
|||
Provision (benefit) for income taxes
|
|
|
|
|
|
|
|
||||
Current
|
75
|
|
|
96
|
|
|
157
|
|
|||
Deferred
|
300
|
|
|
347
|
|
|
177
|
|
|||
Total provision (benefit) for income taxes
|
375
|
|
|
443
|
|
|
334
|
|
|||
Net income (loss)
|
$
|
1,056
|
|
|
$
|
1,088
|
|
|
$
|
808
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
||||||
Basic
|
$
|
7.12
|
|
|
$
|
6.30
|
|
|
$
|
4.32
|
|
Diluted
|
$
|
7.08
|
|
|
$
|
6.26
|
|
|
$
|
4.30
|
|
Dividends per share
|
$
|
0.48
|
|
|
$
|
0.44
|
|
|
$
|
0.40
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
Net income (loss)
|
$
|
1,056
|
|
|
$
|
1,088
|
|
|
$
|
808
|
|
Unrealized holding gains (losses) arising during the period on:
|
|
|
|
|
|
|
|
||||
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $(36), $80 and $(106)
|
(93
|
)
|
|
196
|
|
|
(309
|
)
|
|||
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(23), $(9) and $(17)
|
(43
|
)
|
|
(20
|
)
|
|
(35
|
)
|
|||
Unrealized holding gains (losses) arising during the period, net of tax
|
(136
|
)
|
|
176
|
|
|
(344
|
)
|
|||
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(7), $(21) and $5
|
(10
|
)
|
|
(41
|
)
|
|
14
|
|
|||
Change in net unrealized gains on investments
|
(126
|
)
|
|
217
|
|
|
(358
|
)
|
|||
Other, net of tax provision
|
(7
|
)
|
|
(7
|
)
|
|
3
|
|
|||
Other comprehensive income (loss)
|
$
|
(133
|
)
|
|
$
|
210
|
|
|
$
|
(355
|
)
|
Comprehensive income (loss)
|
$
|
923
|
|
|
$
|
1,298
|
|
|
$
|
453
|
|
|
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, 2012
|
194,003,297
|
|
|
|
$
|
2
|
|
|
$
|
2,724
|
|
|
$
|
1,749
|
|
|
$
|
515
|
|
|
$
|
4
|
|
|
$
|
4,994
|
|
Net income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
808
|
|
|
—
|
|
|
—
|
|
|
808
|
|
||||||
Dividends ($0.40 per share)
|
—
|
|
|
|
—
|
|
|
—
|
|
|
(75
|
)
|
|
—
|
|
|
—
|
|
|
(75
|
)
|
||||||
Common stock repurchases
|
(12,512,759
|
)
|
|
|
0
|
|
|
(264
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(264
|
)
|
||||||
Share-based compensation and other
|
687,328
|
|
|
|
0
|
|
|
6
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
7
|
|
||||||
Other comprehensive income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(355
|
)
|
|
—
|
|
|
(355
|
)
|
||||||
Balance at December 31, 2013
|
182,177,866
|
|
|
|
2
|
|
|
2,466
|
|
|
2,482
|
|
|
160
|
|
|
5
|
|
|
5,115
|
|
||||||
Net income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
1,088
|
|
|
—
|
|
|
—
|
|
|
1,088
|
|
||||||
Dividends ($0.44 per share)
|
—
|
|
|
|
—
|
|
|
—
|
|
|
(76
|
)
|
|
—
|
|
|
—
|
|
|
(76
|
)
|
||||||
Common stock repurchases
|
(24,413,781
|
)
|
|
|
0
|
|
|
(590
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(590
|
)
|
||||||
Share-based compensation and other
|
542,576
|
|
|
|
0
|
|
|
11
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11
|
|
||||||
Other comprehensive loss
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
210
|
|
|
—
|
|
|
210
|
|
||||||
Balance at December 31, 2014
|
158,306,661
|
|
|
|
$
|
2
|
|
|
$
|
1,887
|
|
|
$
|
3,494
|
|
|
$
|
370
|
|
|
$
|
5
|
|
|
$
|
5,758
|
|
Net income
|
—
|
|
|
|
—
|
|
|
—
|
|
|
1,056
|
|
|
—
|
|
|
—
|
|
|
1,056
|
|
||||||
Dividends ($0.48 per share)
|
—
|
|
|
|
—
|
|
|
—
|
|
|
(72
|
)
|
|
—
|
|
|
—
|
|
|
(72
|
)
|
||||||
Common stock repurchases
|
(20,995,419
|
)
|
|
|
(1
|
)
|
|
(554
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(555
|
)
|
||||||
Share-based compensation and other
|
617,310
|
|
|
|
0
|
|
|
9
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9
|
|
||||||
Other comprehensive loss
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(133
|
)
|
|
—
|
|
|
(133
|
)
|
||||||
Balance at December 31, 2015
|
137,928,552
|
|
|
|
$
|
1
|
|
|
$
|
1,342
|
|
|
$
|
4,478
|
|
|
$
|
237
|
|
|
$
|
5
|
|
|
$
|
6,063
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
Operating Activities:
|
|
|
|
|
|
||||||
Net Income
|
$
|
1,056
|
|
|
$
|
1,088
|
|
|
$
|
808
|
|
Adjustments to reconcile net income to net cash flows provided by operating activities:
|
|
|
|
|
|
||||||
Non-cash interest and operating expenses
|
27
|
|
|
23
|
|
|
19
|
|
|||
Net amortization of premium (discount) on investments
|
(25
|
)
|
|
(16
|
)
|
|
(8
|
)
|
|||
Provision (benefit) for deferred income taxes
|
300
|
|
|
347
|
|
|
177
|
|
|||
Net realized investment losses (gains)
|
17
|
|
|
60
|
|
|
(52
|
)
|
|||
Net unrealized losses (gains) on credit derivatives
|
(746
|
)
|
|
(800
|
)
|
|
(107
|
)
|
|||
Fair value losses (gains) on committed capital securities
|
(27
|
)
|
|
11
|
|
|
(10
|
)
|
|||
Bargain purchase gain and settlement of pre-existing relationships
|
(214
|
)
|
|
—
|
|
|
—
|
|
|||
Change in deferred acquisition costs
|
9
|
|
|
3
|
|
|
(8
|
)
|
|||
Change in premiums receivable, net of premiums and commissions payable
|
(8
|
)
|
|
108
|
|
|
86
|
|
|||
Change in ceded unearned premium reserve
|
79
|
|
|
69
|
|
|
109
|
|
|||
Change in unearned premium reserve
|
(744
|
)
|
|
(332
|
)
|
|
(612
|
)
|
|||
Change in loss and loss adjustment expense reserve, net
|
244
|
|
|
182
|
|
|
136
|
|
|||
Change in current income tax
|
(45
|
)
|
|
(45
|
)
|
|
30
|
|
|||
Change in financial guaranty variable interest entities' assets and liabilities, net
|
(6
|
)
|
|
(170
|
)
|
|
(295
|
)
|
|||
(Purchases) sales of trading securities, net
|
8
|
|
|
78
|
|
|
(16
|
)
|
|||
Other
|
23
|
|
|
(29
|
)
|
|
(13
|
)
|
|||
Net cash flows provided by (used in) operating activities
|
(52
|
)
|
|
577
|
|
|
244
|
|
|||
Investing activities
|
|
|
|
|
|
|
|
||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
||||
Purchases
|
(2,577
|
)
|
|
(2,801
|
)
|
|
(1,886
|
)
|
|||
Sales
|
2,107
|
|
|
1,251
|
|
|
1,029
|
|
|||
Maturities
|
898
|
|
|
877
|
|
|
883
|
|
|||
Net sales (purchases) of short-term investments
|
897
|
|
|
158
|
|
|
(87
|
)
|
|||
Net proceeds from paydowns on financial guaranty variable interest entities’ assets
|
400
|
|
|
408
|
|
|
663
|
|
|||
Acquisition of Radian Asset, net of cash acquired
|
(800
|
)
|
|
—
|
|
|
—
|
|
|||
Other
|
69
|
|
|
11
|
|
|
79
|
|
|||
Net cash flows provided by (used in) investing activities
|
994
|
|
|
(96
|
)
|
|
681
|
|
|||
Financing activities
|
|
|
|
|
|
|
|
||||
Dividends paid
|
(72
|
)
|
|
(76
|
)
|
|
(75
|
)
|
|||
Repurchases of common stock
|
(555
|
)
|
|
(590
|
)
|
|
(264
|
)
|
|||
Share activity under option and incentive plans
|
(2
|
)
|
|
1
|
|
|
(1
|
)
|
|||
Net paydowns of financial guaranty variable interest entities’ liabilities
|
(214
|
)
|
|
(396
|
)
|
|
(511
|
)
|
|||
Net proceeds from issuance of long-term debt
|
—
|
|
|
495
|
|
|
—
|
|
|||
Repayment of long-term debt
|
(4
|
)
|
|
(19
|
)
|
|
(27
|
)
|
|||
Net cash flows provided by (used in) financing activities
|
(847
|
)
|
|
(585
|
)
|
|
(878
|
)
|
|||
Effect of foreign exchange rate changes
|
(4
|
)
|
|
(5
|
)
|
|
(1
|
)
|
|||
Increase (decrease) in cash
|
91
|
|
|
(109
|
)
|
|
46
|
|
|||
Cash at beginning of period
|
75
|
|
|
184
|
|
|
138
|
|
|||
Cash at end of period
|
$
|
166
|
|
|
$
|
75
|
|
|
$
|
184
|
|
Supplemental cash flow information
|
|
|
|
|
|
|
|
||||
Cash paid (received) during the period for:
|
|
|
|
|
|
|
|
||||
Income taxes
|
$
|
103
|
|
|
$
|
122
|
|
|
$
|
110
|
|
Interest
|
$
|
95
|
|
|
$
|
86
|
|
|
$
|
76
|
|
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.
|
Acquisition of Radian Asset Assurance Inc.
|
Note 2
|
Expected loss to be paid (insurance, credit derivatives and FG VIE contracts)
|
Note 5
|
Financial guaranty insurance (premium revenue recognition, loss and loss adjustment expense and policy acquisition cost)
|
Note 6
|
Fair value measurement
|
Note 7
|
Credit derivatives (at fair value)
|
Note 8
|
Variable interest entities (at fair value)
|
Note 9
|
Investments and cash
|
Note 10
|
Income taxes
|
Note 12
|
Earnings per share
|
Note 17
|
Stock based compensation
|
Note 19
|
2.
|
Acquisition of Radian Asset Assurance Inc.
|
|
Fair Value of Net Assets Acquired, before Settlement of Pre-existing Relationships
|
|
Net effect of Settlement of Pre-existing Relationships
|
|
Net Effect of Radian Asset Acquisition
|
||||||
|
(in millions)
|
||||||||||
Cash purchase price(1)
|
$
|
804
|
|
|
$
|
—
|
|
|
$
|
804
|
|
Identifiable assets acquired:
|
|
|
|
|
|
||||||
Investments
|
1,473
|
|
|
—
|
|
|
1,473
|
|
|||
Cash
|
4
|
|
|
—
|
|
|
4
|
|
|||
Ceded unearned premium reserve
|
(3
|
)
|
|
(65
|
)
|
|
(68
|
)
|
|||
Credit derivative assets
|
30
|
|
|
—
|
|
|
30
|
|
|||
Deferred tax asset, net
|
263
|
|
|
(56
|
)
|
|
207
|
|
|||
Financial guaranty variable interest entities’ assets
|
122
|
|
|
—
|
|
|
122
|
|
|||
Other assets
|
86
|
|
|
(67
|
)
|
|
19
|
|
|||
Total assets
|
1,975
|
|
|
(188
|
)
|
|
1,787
|
|
|||
|
|
|
|
|
|
|
|||||
Liabilities assumed:
|
|
|
|
|
|
||||||
Unearned premium reserves
|
697
|
|
|
(216
|
)
|
|
481
|
|
|||
Credit derivative liabilities
|
271
|
|
|
(26
|
)
|
|
245
|
|
|||
Financial guaranty variable interest entities’ liabilities
|
118
|
|
|
—
|
|
|
118
|
|
|||
Other liabilities
|
30
|
|
|
(49
|
)
|
|
(19
|
)
|
|||
Total liabilities
|
1,116
|
|
|
(291
|
)
|
|
825
|
|
|||
Net asset effect of Radian Asset Acquisition
|
859
|
|
|
103
|
|
|
962
|
|
|||
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, after-tax
|
55
|
|
|
103
|
|
|
158
|
|
|||
Deferred tax
|
—
|
|
|
56
|
|
|
56
|
|
|||
Bargain purchase gain and settlement of pre-existing relationships resulting from Radian Asset Acquisition, pre-tax
|
$
|
55
|
|
|
$
|
159
|
|
|
$
|
214
|
|
(1)
|
The cash purchase price of
$804 million
was the cash transferred for the acquisition which was allocated as follows: (1)
$987 million
for the purchase of net assets of
$1,042 million
, and (2) the settlement of pre-existing relationships between Radian Asset and Assured Guaranty at a fair value of $
(183) million
.
|
|
Year Ended December 31, 2015
|
||
|
(in millions)
|
||
Professional services
|
$
|
2
|
|
Financial advisory fees
|
10
|
|
|
Total
|
$
|
12
|
|
|
Year Ended December 31, 2015
|
|
Year Ended December 31, 2014
|
||||
|
(in millions, except per share amounts)
|
||||||
Pro forma revenues
|
$
|
2,030
|
|
|
$
|
2,501
|
|
Pro forma net income
|
922
|
|
|
1,531
|
|
||
Pro forma earnings per share ("EPS"):
|
|
|
|
||||
Basic
|
6.22
|
|
|
8.86
|
|
||
Diluted
|
6.18
|
|
|
8.81
|
|
3.
|
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 most recently affirmed such ratings in a credit analysis issued on June 29, 2015.
|
•
|
On July 2, 2014, Moody's affirmed the ratings of AGL’s insurance subsidiaries, but changed to negative the outlook of the insurance financial strength ratings of AGC and its subsidiary Assured Guaranty (UK) Ltd. ("AGUK"). Moody's
|
•
|
On June 22, 2013, KBRA assigned a financial strength rating of AA+ (stable outlook) to MAC, and affirmed that rating on August 3, 2015. On November 13, 2014, KBRA assigned a financial strength rating of AA+ (stable outlook) to AGM, and affirmed that rating on December 10, 2015.
|
•
|
On May 5, 2015, Best assigned to AGRO a financial strength rating of A+ (Stable), which is their second highest rating.
|
•
|
Note 6, Financial Guaranty Insurance
|
•
|
Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives
|
•
|
Note 13, Reinsurance and Other Monoline Exposures
|
•
|
Note 16, Long-Term Debt and Credit Facilities
|
4.
|
Outstanding Exposure
|
•
|
BIG Category 1: Below-investment-grade transactions showing sufficient deterioration to make future losses possible, but for which none are currently expected.
|
•
|
BIG Category 2: Below-investment-grade transactions for which future losses are expected but for which no claims (other than liquidity claims, which is a claim that the Company expects to be reimbursed within
one
year) have yet been paid.
|
•
|
BIG Category 3: Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid.
|
|
Gross Debt Service
Outstanding
|
|
Net Debt Service
Outstanding
|
||||||||||||
|
December 31,
2015 |
|
December 31,
2014 |
|
December 31,
2015 |
|
December 31,
2014 |
||||||||
|
(in millions)
|
||||||||||||||
Public finance
|
$
|
515,494
|
|
|
$
|
587,245
|
|
|
$
|
494,426
|
|
|
$
|
553,612
|
|
Structured finance
|
43,976
|
|
|
59,477
|
|
|
41,915
|
|
|
56,010
|
|
||||
Total financial guaranty
|
$
|
559,470
|
|
|
$
|
646,722
|
|
|
$
|
536,341
|
|
|
$
|
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
|
|
$
|
3,053
|
|
|
1.1
|
%
|
|
$
|
709
|
|
|
2.4
|
%
|
|
$
|
14,366
|
|
|
45.2
|
%
|
|
$
|
2,709
|
|
|
50.6
|
%
|
|
$
|
20,837
|
|
|
5.8
|
%
|
AA
|
|
69,274
|
|
|
23.7
|
|
|
2,017
|
|
|
6.8
|
|
|
7,934
|
|
|
25.0
|
|
|
177
|
|
|
3.3
|
|
|
79,402
|
|
|
22.1
|
|
|||||
A
|
|
157,440
|
|
|
53.9
|
|
|
6,765
|
|
|
22.9
|
|
|
2,486
|
|
|
7.8
|
|
|
555
|
|
|
10.3
|
|
|
167,246
|
|
|
46.7
|
|
|||||
BBB
|
|
54,315
|
|
|
18.6
|
|
|
18,708
|
|
|
63.2
|
|
|
1,515
|
|
|
4.8
|
|
|
1,365
|
|
|
25.5
|
|
|
75,903
|
|
|
21.2
|
|
|||||
BIG
|
|
7,784
|
|
|
2.7
|
|
|
1,378
|
|
|
4.7
|
|
|
5,469
|
|
|
17.2
|
|
|
552
|
|
|
10.3
|
|
|
15,183
|
|
|
4.2
|
|
|||||
Total net par outstanding (1)(2)
|
|
$
|
291,866
|
|
|
100.0
|
%
|
|
$
|
29,577
|
|
|
100.0
|
%
|
|
$
|
31,770
|
|
|
100.0
|
%
|
|
$
|
5,358
|
|
|
100.0
|
%
|
|
$
|
358,571
|
|
|
100.0
|
%
|
(1)
|
Excludes $
1.5 billion
of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG.
|
(2)
|
The
December 31, 2015
amounts include
$10.9 billion
of net par acquired from Radian Asset.
|
|
|
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 BIG.
|
|
Gross Par Outstanding
|
|
Ceded Par Outstanding
|
|
Net Par Outstanding
|
||||||||||||||||||
Sector
|
As of December 31, 2015
|
|
As of December 31, 2014
|
|
As of December 31, 2015
|
|
As of December 31, 2014
|
|
As of December 31, 2015
|
|
As of December 31, 2014
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Public finance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
General obligation
|
$
|
129,386
|
|
|
$
|
144,714
|
|
|
$
|
3,131
|
|
|
$
|
4,438
|
|
|
$
|
126,255
|
|
|
$
|
140,276
|
|
Tax backed
|
59,649
|
|
|
65,600
|
|
|
1,587
|
|
|
3,075
|
|
|
58,062
|
|
|
62,525
|
|
||||||
Municipal utilities
|
46,951
|
|
|
53,471
|
|
|
1,015
|
|
|
1,381
|
|
|
45,936
|
|
|
52,090
|
|
||||||
Transportation
|
24,351
|
|
|
28,914
|
|
|
897
|
|
|
1,091
|
|
|
23,454
|
|
|
27,823
|
|
||||||
Healthcare
|
15,967
|
|
|
16,225
|
|
|
961
|
|
|
1,377
|
|
|
15,006
|
|
|
14,848
|
|
||||||
Higher education
|
11,984
|
|
|
13,485
|
|
|
48
|
|
|
386
|
|
|
11,936
|
|
|
13,099
|
|
||||||
Infrastructure finance
|
5,241
|
|
|
5,098
|
|
|
248
|
|
|
917
|
|
|
4,993
|
|
|
4,181
|
|
||||||
Housing
|
2,075
|
|
|
2,880
|
|
|
38
|
|
|
101
|
|
|
2,037
|
|
|
2,779
|
|
||||||
Investor-owned utilities
|
916
|
|
|
944
|
|
|
0
|
|
|
0
|
|
|
916
|
|
|
944
|
|
||||||
Other public finance
|
3,288
|
|
|
3,575
|
|
|
17
|
|
|
17
|
|
|
3,271
|
|
|
3,558
|
|
||||||
Total public finance—U.S.
|
299,808
|
|
|
334,906
|
|
|
7,942
|
|
|
12,783
|
|
|
291,866
|
|
|
322,123
|
|
||||||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Infrastructure finance
|
14,040
|
|
|
15,091
|
|
|
1,312
|
|
|
2,283
|
|
|
12,728
|
|
|
12,808
|
|
||||||
Regulated utilities
|
12,616
|
|
|
14,582
|
|
|
2,568
|
|
|
3,668
|
|
|
10,048
|
|
|
10,914
|
|
||||||
Pooled infrastructure
|
2,013
|
|
|
2,565
|
|
|
134
|
|
|
145
|
|
|
1,879
|
|
|
2,420
|
|
||||||
Other public finance
|
5,714
|
|
|
6,216
|
|
|
792
|
|
|
999
|
|
|
4,922
|
|
|
5,217
|
|
||||||
Total public finance—non-U.S.
|
34,383
|
|
|
38,454
|
|
|
4,806
|
|
|
7,095
|
|
|
29,577
|
|
|
31,359
|
|
||||||
Total public finance
|
334,191
|
|
|
373,360
|
|
|
12,748
|
|
|
19,878
|
|
|
321,443
|
|
|
353,482
|
|
||||||
Structured finance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pooled corporate obligations
|
16,757
|
|
|
21,791
|
|
|
749
|
|
|
1,145
|
|
|
16,008
|
|
|
20,646
|
|
||||||
Residential Mortgage-Backed Securities ("RMBS")
|
7,441
|
|
|
10,109
|
|
|
374
|
|
|
692
|
|
|
7,067
|
|
|
9,417
|
|
||||||
Insurance securitizations
|
3,047
|
|
|
3,480
|
|
|
47
|
|
|
47
|
|
|
3,000
|
|
|
3,433
|
|
||||||
Consumer receivables
|
2,153
|
|
|
2,157
|
|
|
54
|
|
|
58
|
|
|
2,099
|
|
|
2,099
|
|
||||||
Financial products
|
1,906
|
|
|
2,276
|
|
|
—
|
|
|
—
|
|
|
1,906
|
|
|
2,276
|
|
||||||
Commercial mortgage-backed securities ("CMBS")
and other commercial real estate related exposures
|
549
|
|
|
1,979
|
|
|
16
|
|
|
22
|
|
|
533
|
|
|
1,957
|
|
||||||
Commercial receivables
|
432
|
|
|
567
|
|
|
5
|
|
|
7
|
|
|
427
|
|
|
560
|
|
||||||
Other structured finance
|
823
|
|
|
929
|
|
|
93
|
|
|
146
|
|
|
730
|
|
|
783
|
|
||||||
Total structured finance—U.S.
|
33,108
|
|
|
43,288
|
|
|
1,338
|
|
|
2,117
|
|
|
31,770
|
|
|
41,171
|
|
||||||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pooled corporate obligations
|
4,087
|
|
|
7,439
|
|
|
442
|
|
|
835
|
|
|
3,645
|
|
|
6,604
|
|
||||||
Commercial receivables
|
619
|
|
|
965
|
|
|
19
|
|
|
21
|
|
|
600
|
|
|
944
|
|
||||||
RMBS
|
552
|
|
|
893
|
|
|
60
|
|
|
99
|
|
|
492
|
|
|
794
|
|
||||||
Other structured finance
|
635
|
|
|
759
|
|
|
14
|
|
|
25
|
|
|
621
|
|
|
734
|
|
||||||
Total structured finance—non-U.S.
|
5,893
|
|
|
10,056
|
|
|
535
|
|
|
980
|
|
|
5,358
|
|
|
9,076
|
|
||||||
Total structured finance
|
39,001
|
|
|
53,344
|
|
|
1,873
|
|
|
3,097
|
|
|
37,128
|
|
|
50,247
|
|
||||||
Total net par outstanding
|
$
|
373,192
|
|
|
$
|
426,704
|
|
|
$
|
14,621
|
|
|
$
|
22,975
|
|
|
$
|
358,571
|
|
|
$
|
403,729
|
|
|
Public Finance
|
|
Structured Finance
|
|
Total
|
||||||
|
(in millions)
|
||||||||||
0 to 5 years
|
$
|
97,518
|
|
|
$
|
24,430
|
|
|
$
|
121,948
|
|
5 to 10 years
|
68,144
|
|
|
4,786
|
|
|
72,930
|
|
|||
10 to 15 years
|
58,348
|
|
|
2,768
|
|
|
61,116
|
|
|||
15 to 20 years
|
45,623
|
|
|
2,765
|
|
|
48,388
|
|
|||
20 years and above
|
51,810
|
|
|
2,379
|
|
|
54,189
|
|
|||
Total net par outstanding
|
$
|
321,443
|
|
|
$
|
37,128
|
|
|
$
|
358,571
|
|
|
BIG Net Par Outstanding
|
|
Net Par
|
||||||||||||||||
|
BIG 1
|
|
BIG 2
|
|
BIG 3
|
|
Total BIG
|
|
Outstanding
|
||||||||||
|
|
|
|
|
(in millions)
|
|
|
|
|
||||||||||
U.S. public finance
|
$
|
4,765
|
|
|
$
|
2,883
|
|
|
$
|
136
|
|
|
$
|
7,784
|
|
|
$
|
291,866
|
|
Non-U.S. public finance
|
875
|
|
|
503
|
|
|
—
|
|
|
1,378
|
|
|
29,577
|
|
|||||
Structured finance
|
|
|
|
|
|
|
|
|
|
||||||||||
First lien U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Prime first lien
|
225
|
|
|
34
|
|
|
25
|
|
|
284
|
|
|
445
|
|
|||||
Alt-A first lien
|
119
|
|
|
73
|
|
|
601
|
|
|
793
|
|
|
1,353
|
|
|||||
Option ARM
|
39
|
|
|
12
|
|
|
90
|
|
|
141
|
|
|
252
|
|
|||||
Subprime
|
146
|
|
|
228
|
|
|
930
|
|
|
1,304
|
|
|
3,457
|
|
|||||
Second lien U.S. RMBS
|
491
|
|
|
50
|
|
|
910
|
|
|
1,451
|
|
|
1,560
|
|
|||||
Total U.S. RMBS
|
1,020
|
|
|
397
|
|
|
2,556
|
|
|
3,973
|
|
|
7,067
|
|
|||||
Triple-X life insurance transactions
|
—
|
|
|
—
|
|
|
216
|
|
|
216
|
|
|
2,750
|
|
|||||
Trust preferred securities (“TruPS”)
|
679
|
|
|
127
|
|
|
—
|
|
|
806
|
|
|
4,379
|
|
|||||
Student loans
|
12
|
|
|
68
|
|
|
83
|
|
|
163
|
|
|
1,818
|
|
|||||
Other structured finance
|
672
|
|
|
151
|
|
|
40
|
|
|
863
|
|
|
21,114
|
|
|||||
Total
|
$
|
8,023
|
|
|
$
|
4,129
|
|
|
$
|
3,031
|
|
|
$
|
15,183
|
|
|
$
|
358,571
|
|
|
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
|
|
|||||
Structured finance
|
|
|
|
|
|
|
|
|
|
||||||||||
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
|
1,012
|
|
|
55
|
|
|
624
|
|
|
1,691
|
|
|
1,956
|
|
|||||
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
|
|
|||||
Student loans
|
14
|
|
|
68
|
|
|
113
|
|
|
195
|
|
|
1,857
|
|
|||||
Other structured finance
|
1,007
|
|
|
172
|
|
|
45
|
|
|
1,224
|
|
|
31,514
|
|
|||||
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
|
|
$
|
7,019
|
|
|
$
|
1,004
|
|
|
$
|
8,023
|
|
|
202
|
|
|
12
|
|
|
214
|
|
Category 2
|
|
3,655
|
|
|
474
|
|
|
4,129
|
|
|
85
|
|
|
8
|
|
|
93
|
|
|||
Category 3
|
|
2,900
|
|
|
131
|
|
|
3,031
|
|
|
132
|
|
|
12
|
|
|
144
|
|
|||
Total BIG
|
|
$
|
13,574
|
|
|
$
|
1,609
|
|
|
$
|
15,183
|
|
|
419
|
|
|
32
|
|
|
451
|
|
|
|
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.
|
|
Number of Risks
|
|
Net Par Outstanding
|
|
Percent of Total Net Par Outstanding
|
||||
|
(dollars in millions)
|
||||||||
U.S.:
|
|
|
|
|
|
||||
U.S. Public finance:
|
|
|
|
|
|
||||
California
|
1,514
|
|
|
$
|
47,731
|
|
|
13.3
|
%
|
Texas
|
1,307
|
|
|
23,891
|
|
|
6.7
|
|
|
Pennsylvania
|
944
|
|
|
23,655
|
|
|
6.6
|
|
|
New York
|
961
|
|
|
22,513
|
|
|
6.3
|
|
|
Illinois
|
816
|
|
|
22,220
|
|
|
6.2
|
|
|
Florida
|
369
|
|
|
16,595
|
|
|
4.6
|
|
|
New Jersey
|
553
|
|
|
13,605
|
|
|
3.8
|
|
|
Michigan
|
577
|
|
|
10,898
|
|
|
3.0
|
|
|
Georgia
|
183
|
|
|
6,991
|
|
|
1.9
|
|
|
Ohio
|
464
|
|
|
6,753
|
|
|
1.9
|
|
|
Other states and U.S. territories
|
3,927
|
|
|
97,014
|
|
|
27.0
|
|
|
Total U.S. public finance
|
11,615
|
|
|
291,866
|
|
|
81.3
|
|
|
U.S. Structured finance (multiple states)
|
723
|
|
|
31,770
|
|
|
8.9
|
|
|
Total U.S.
|
12,338
|
|
|
323,636
|
|
|
90.2
|
|
|
Non-U.S.:
|
|
|
|
|
|
||||
United Kingdom
|
101
|
|
|
17,565
|
|
|
4.9
|
|
|
Australia
|
22
|
|
|
3,349
|
|
|
0.9
|
|
|
Canada
|
10
|
|
|
3,099
|
|
|
0.9
|
|
|
France
|
16
|
|
|
2,609
|
|
|
0.7
|
|
|
Italy
|
8
|
|
|
1,296
|
|
|
0.4
|
|
|
Other
|
72
|
|
|
7,017
|
|
|
2.0
|
|
|
Total non-U.S.
|
229
|
|
|
34,935
|
|
|
9.8
|
|
|
Total
|
12,567
|
|
|
$
|
358,571
|
|
|
100.0
|
%
|
|
Gross Par Outstanding
|
|
Gross Debt Service Outstanding
|
||||||||||||
|
December 31,
2015 |
|
December 31,
2014 |
|
December 31,
2015 |
|
December 31,
2014 |
||||||||
|
(in millions)
|
||||||||||||||
Previously Subject to the Voided Recovery Act (1)
|
$
|
2,965
|
|
|
$
|
3,058
|
|
|
$
|
5,162
|
|
|
$
|
5,326
|
|
Not Previously Subject to the Voided Recovery Act
|
2,790
|
|
|
2,977
|
|
|
4,470
|
|
|
4,748
|
|
||||
Total
|
$
|
5,755
|
|
|
$
|
6,035
|
|
|
$
|
9,632
|
|
|
$
|
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 U.S. Bankruptcy Code and is therefore void. On July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling.
|
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
||||||||
|
|
Total(1)
|
|
Internal Rating
|
|
Total
|
|
Internal Rating
|
||||
|
|
(in millions)
|
||||||||||
Exposures Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
||||
PRHTA (Transportation revenue) (2)
|
|
$
|
909
|
|
|
CCC-
|
|
$
|
844
|
|
|
BB-
|
PREPA
|
|
744
|
|
|
CC
|
|
772
|
|
|
B-
|
||
Puerto Rico Aqueduct and Sewer Authority
|
|
388
|
|
|
CCC
|
|
384
|
|
|
BB-
|
||
PRHTA (Highway revenue) (2)
|
|
370
|
|
|
CCC
|
|
273
|
|
|
BB
|
||
Puerto Rico Convention Center District Authority ("PRCCDA")(2)
|
|
164
|
|
|
CCC-
|
|
174
|
|
|
BB-
|
||
Total
|
|
2,575
|
|
|
|
|
2,447
|
|
|
|
||
|
|
|
|
|
|
|
|
|
||||
Exposures Not Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
|
1,615
|
|
|
CCC
|
|
1,672
|
|
|
BB
|
||
MFA
|
|
387
|
|
|
CCC-
|
|
399
|
|
|
BB-
|
||
Puerto Rico Sales Tax Financing Corporation
|
|
269
|
|
|
CCC+
|
|
269
|
|
|
BBB
|
||
Puerto Rico Public Buildings Authority
|
|
188
|
|
|
CCC
|
|
100
|
|
|
BB
|
||
GDB
|
|
—
|
|
|
—
|
|
33
|
|
|
BB
|
||
PRIFA (2) (3)
|
|
18
|
|
|
CCC-
|
|
18
|
|
|
BB-
|
||
University of Puerto Rico
|
|
1
|
|
|
CCC-
|
|
1
|
|
|
BB-
|
||
Total
|
|
2,478
|
|
|
|
|
2,492
|
|
|
|
||
Total net exposure to Puerto Rico
|
|
$
|
5,053
|
|
|
|
|
$
|
4,939
|
|
|
|
(1)
|
As of
December 31, 2015
, the Company's Puerto Rico net exposures increased due to (1) net par of
$385 million
acquired in the Radian Asset Acquisition, of which
$21 million
was of PREPA and
$166 million
of PRHTA, and (2) a commutation of previously ceded Puerto Rico exposures.
|
(2)
|
The Governor issued executive orders on November 30, 2015, and December 8, 2015, directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes and revenues pledged to secure the payment of bonds issued by PRHTA, PRIFA and PRCCDA. On January 7, 2016 the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes and revenues is unconstitutional, and demanding declaratory and injunctive relief.
|
(3)
|
On January 1, 2016 PRIFA defaulted on full payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately
$451 thousand
of claims for the interest payments on which PRIFA had defaulted.
|
|
Scheduled Net Par Amortization
|
|
Scheduled 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)
|
|
||||||||||||||||||||||
2016
|
$
|
98
|
|
|
$
|
204
|
|
|
$
|
302
|
|
|
$
|
229
|
|
|
$
|
330
|
|
|
$
|
559
|
|
|
2017
|
51
|
|
|
171
|
|
|
222
|
|
|
175
|
|
|
289
|
|
|
464
|
|
|
||||||
2018
|
56
|
|
|
123
|
|
|
179
|
|
|
178
|
|
|
232
|
|
|
410
|
|
|
||||||
2019
|
74
|
|
|
130
|
|
|
204
|
|
|
192
|
|
|
232
|
|
|
424
|
|
|
||||||
2020
|
87
|
|
|
183
|
|
|
270
|
|
|
202
|
|
|
280
|
|
|
482
|
|
|
||||||
2021
|
66
|
|
|
59
|
|
|
125
|
|
|
177
|
|
|
146
|
|
|
323
|
|
|
||||||
2022
|
47
|
|
|
68
|
|
|
115
|
|
|
153
|
|
|
152
|
|
|
305
|
|
|
||||||
2023
|
110
|
|
|
41
|
|
|
151
|
|
|
214
|
|
|
123
|
|
|
337
|
|
|
||||||
2024
|
89
|
|
|
85
|
|
|
174
|
|
|
188
|
|
|
164
|
|
|
352
|
|
|
||||||
2025
|
111
|
|
|
85
|
|
|
196
|
|
|
206
|
|
|
157
|
|
|
363
|
|
|
||||||
2026 - 2030
|
590
|
|
|
352
|
|
|
942
|
|
|
973
|
|
|
659
|
|
|
1,632
|
|
|
||||||
2031 - 2035
|
583
|
|
|
548
|
|
|
1,131
|
|
|
838
|
|
|
763
|
|
|
1,601
|
|
|
||||||
2036 - 2040
|
308
|
|
|
263
|
|
|
571
|
|
|
427
|
|
|
348
|
|
|
775
|
|
|
||||||
2041 - 2045
|
137
|
|
|
166
|
|
|
303
|
|
|
207
|
|
|
182
|
|
|
389
|
|
|
||||||
2046 - 2047
|
168
|
|
|
—
|
|
|
168
|
|
|
181
|
|
|
—
|
|
|
181
|
|
|
||||||
Total
|
$
|
2,575
|
|
|
$
|
2,478
|
|
|
$
|
5,053
|
|
|
$
|
4,540
|
|
|
$
|
4,057
|
|
|
$
|
8,597
|
|
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sub-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-infrastructure public finance(2)
|
$
|
—
|
|
|
$
|
780
|
|
|
$
|
85
|
|
|
$
|
240
|
|
|
$
|
1,105
|
|
Infrastructure finance
|
271
|
|
|
10
|
|
|
—
|
|
|
120
|
|
|
401
|
|
|||||
Total sub-sovereign exposure
|
271
|
|
|
790
|
|
|
85
|
|
|
360
|
|
|
1,506
|
|
|||||
Non-sovereign exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Regulated utilities
|
—
|
|
|
212
|
|
|
—
|
|
|
—
|
|
|
212
|
|
|||||
RMBS and other structured finance
|
170
|
|
|
244
|
|
|
—
|
|
|
13
|
|
|
427
|
|
|||||
Total non-sovereign exposure
|
170
|
|
|
456
|
|
|
—
|
|
|
13
|
|
|
639
|
|
|||||
Total
|
$
|
441
|
|
|
$
|
1,246
|
|
|
$
|
85
|
|
|
$
|
373
|
|
|
$
|
2,145
|
|
Total BIG (See Note 5)
|
$
|
374
|
|
|
$
|
—
|
|
|
$
|
85
|
|
|
$
|
373
|
|
|
$
|
832
|
|
(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 RMBS 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.
|
5.
|
Expected Loss to be Paid
|
|
Year Ended December 31, 2015
|
||
|
(in millions)
|
||
Net expected loss to be paid, beginning of period
|
$
|
1,169
|
|
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015
|
190
|
|
|
Economic loss development due to:
|
|
||
Accretion of discount
|
32
|
|
|
Changes in discount rates
|
(23
|
)
|
|
Changes in timing and assumptions
|
310
|
|
|
Total economic loss development
|
319
|
|
|
Paid losses
|
(287
|
)
|
|
Net expected loss to be paid, end of period
|
$
|
1,391
|
|
|
Net Expected
Loss to be
Paid (Recovered) as of
December 31, 2014(2)
|
|
Net Expected
Loss to be Paid (Recovered) on Radian Asset portfolio as of April 1, 2015 |
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Net Expected
Loss to be Paid (Recovered) as of December 31, 2015 (2) |
||||||||||
|
(in millions)
|
||||||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. public finance
|
$
|
303
|
|
|
$
|
81
|
|
|
$
|
416
|
|
|
$
|
(29
|
)
|
|
$
|
771
|
|
Non-U.S. public finance
|
45
|
|
|
4
|
|
|
(11
|
)
|
|
—
|
|
|
38
|
|
|||||
Public Finance
|
348
|
|
|
85
|
|
|
405
|
|
|
(29
|
)
|
|
809
|
|
|||||
Structured Finance:
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Prime first lien
|
4
|
|
|
—
|
|
|
(1
|
)
|
|
(5
|
)
|
|
(2
|
)
|
|||||
Alt-A first lien
|
304
|
|
|
7
|
|
|
(126
|
)
|
|
(58
|
)
|
|
127
|
|
|||||
Option ARM
|
(16
|
)
|
|
0
|
|
|
(16
|
)
|
|
4
|
|
|
(28
|
)
|
|||||
Subprime
|
303
|
|
|
(4
|
)
|
|
19
|
|
|
(67
|
)
|
|
251
|
|
|||||
Total first lien
|
595
|
|
|
3
|
|
|
(124
|
)
|
|
(126
|
)
|
|
348
|
|
|||||
Second lien
|
(11
|
)
|
|
1
|
|
|
42
|
|
|
29
|
|
|
61
|
|
|||||
Total U.S. RMBS
|
584
|
|
|
4
|
|
|
(82
|
)
|
|
(97
|
)
|
|
409
|
|
|||||
Triple-X life insurance transactions
|
161
|
|
|
—
|
|
|
11
|
|
|
(73
|
)
|
|
99
|
|
|||||
TruPS
|
23
|
|
|
—
|
|
|
(18
|
)
|
|
—
|
|
|
5
|
|
|||||
Student loans
|
68
|
|
|
—
|
|
|
(9
|
)
|
|
(5
|
)
|
|
54
|
|
|||||
Other structured finance
|
(15
|
)
|
|
101
|
|
|
12
|
|
|
(83
|
)
|
|
15
|
|
|||||
Structured Finance
|
821
|
|
|
105
|
|
|
(86
|
)
|
|
(258
|
)
|
|
582
|
|
|||||
Total
|
$
|
1,169
|
|
|
$
|
190
|
|
|
$
|
319
|
|
|
$
|
(287
|
)
|
|
$
|
1,391
|
|
|
Net Expected
Loss to be
Paid (Recovered) as of
December 31, 2013
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses(1)
|
|
Net Expected
Loss to be Paid (Recovered) as of December 31, 2014 (2) |
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
264
|
|
|
$
|
183
|
|
|
$
|
(144
|
)
|
|
$
|
303
|
|
Non-U.S. public finance
|
57
|
|
|
(12
|
)
|
|
—
|
|
|
45
|
|
||||
Public Finance
|
321
|
|
|
171
|
|
|
(144
|
)
|
|
348
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
21
|
|
|
(16
|
)
|
|
(1
|
)
|
|
4
|
|
||||
Alt-A first lien
|
304
|
|
|
(144
|
)
|
|
144
|
|
|
304
|
|
||||
Option ARM
|
(9
|
)
|
|
(59
|
)
|
|
52
|
|
|
(16
|
)
|
||||
Subprime
|
304
|
|
|
(7
|
)
|
|
6
|
|
|
303
|
|
||||
Total first lien
|
620
|
|
|
(226
|
)
|
|
201
|
|
|
595
|
|
||||
Second lien
|
(127
|
)
|
|
(42
|
)
|
|
158
|
|
|
(11
|
)
|
||||
Total U.S. RMBS
|
493
|
|
|
(268
|
)
|
|
359
|
|
|
584
|
|
||||
Triple-X life insurance transactions
|
75
|
|
|
92
|
|
|
(6
|
)
|
|
161
|
|
||||
TruPS
|
51
|
|
|
(28
|
)
|
|
—
|
|
|
23
|
|
||||
Student loans
|
52
|
|
|
16
|
|
|
0
|
|
|
68
|
|
||||
Other structured finance
|
(10
|
)
|
|
(13
|
)
|
|
8
|
|
|
(15
|
)
|
||||
Structured Finance
|
661
|
|
|
(201
|
)
|
|
361
|
|
|
821
|
|
||||
Total
|
$
|
982
|
|
|
$
|
(30
|
)
|
|
$
|
217
|
|
|
$
|
1,169
|
|
(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
$25 million
and
$37 million
in LAE for the years ended
December 31, 2015
and
2014
, respectively.
|
(2)
|
Includes expected LAE to be paid of
$12 million
as of
December 31, 2015
and
$16 million
as of
December 31, 2014
.
|
|
Future Net
R&W Benefit as of December 31, 2015 (1) |
|
Future Net
R&W Benefit as of December 31, 2014 |
|
Future Net
R&W Benefit as of December 31, 2013 |
||||||
|
(in millions)
|
||||||||||
U.S. RMBS:
|
|
|
|
|
|
||||||
First lien
|
$
|
0
|
|
|
$
|
232
|
|
|
$
|
569
|
|
Second lien
|
79
|
|
|
85
|
|
|
143
|
|
|||
Total
|
$
|
79
|
|
|
$
|
317
|
|
|
$
|
712
|
|
(1)
|
See the section "Breaches of Representations and Warranties" below for eligible assets held in trust.
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1) and Other
|
|
Credit
Derivatives(2) |
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
771
|
|
|
$
|
—
|
|
|
$
|
0
|
|
|
$
|
771
|
|
Non-U.S. public finance
|
38
|
|
|
—
|
|
|
—
|
|
|
38
|
|
||||
Public Finance
|
809
|
|
|
—
|
|
|
—
|
|
|
809
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
2
|
|
|
—
|
|
|
(4
|
)
|
|
(2
|
)
|
||||
Alt-A first lien
|
110
|
|
|
17
|
|
|
0
|
|
|
127
|
|
||||
Option ARM
|
(27
|
)
|
|
—
|
|
|
(1
|
)
|
|
(28
|
)
|
||||
Subprime
|
153
|
|
|
59
|
|
|
39
|
|
|
251
|
|
||||
Total first lien
|
238
|
|
|
76
|
|
|
34
|
|
|
348
|
|
||||
Second lien
|
13
|
|
|
44
|
|
|
4
|
|
|
61
|
|
||||
Total U.S. RMBS
|
251
|
|
|
120
|
|
|
38
|
|
|
409
|
|
||||
Triple-X life insurance transactions
|
88
|
|
|
—
|
|
|
11
|
|
|
99
|
|
||||
TruPS
|
0
|
|
|
—
|
|
|
5
|
|
|
5
|
|
||||
Student loans
|
54
|
|
|
—
|
|
|
—
|
|
|
54
|
|
||||
Other structured finance
|
37
|
|
|
16
|
|
|
(38
|
)
|
|
15
|
|
||||
Structured Finance
|
430
|
|
|
136
|
|
|
16
|
|
|
582
|
|
||||
Total
|
$
|
1,239
|
|
|
$
|
136
|
|
|
$
|
16
|
|
|
$
|
1,391
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1) and Other
|
|
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
|
(53
|
)
|
|
38
|
|
|
4
|
|
|
(11
|
)
|
||||
Total U.S. RMBS
|
385
|
|
|
126
|
|
|
73
|
|
|
584
|
|
||||
Triple-X life insurance transactions
|
153
|
|
|
—
|
|
|
8
|
|
|
161
|
|
||||
TruPS
|
1
|
|
|
—
|
|
|
22
|
|
|
23
|
|
||||
Student loans
|
68
|
|
|
—
|
|
|
—
|
|
|
68
|
|
||||
Other structured finance
|
34
|
|
|
(4
|
)
|
|
(45
|
)
|
|
(15
|
)
|
||||
Structured Finance
|
641
|
|
|
122
|
|
|
58
|
|
|
821
|
|
||||
Total
|
$
|
989
|
|
|
$
|
122
|
|
|
$
|
58
|
|
|
$
|
1,169
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1) and Other
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
421
|
|
|
$
|
—
|
|
|
$
|
(5
|
)
|
|
$
|
416
|
|
Non-U.S. public finance
|
(11
|
)
|
|
—
|
|
|
—
|
|
|
(11
|
)
|
||||
Public Finance
|
410
|
|
|
—
|
|
|
(5
|
)
|
|
405
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
0
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
||||
Alt-A first lien
|
(49
|
)
|
|
0
|
|
|
(77
|
)
|
|
(126
|
)
|
||||
Option ARM
|
(17
|
)
|
|
—
|
|
|
1
|
|
|
(16
|
)
|
||||
Subprime
|
9
|
|
|
11
|
|
|
(1
|
)
|
|
19
|
|
||||
Total first lien
|
(57
|
)
|
|
11
|
|
|
(78
|
)
|
|
(124
|
)
|
||||
Second lien
|
35
|
|
|
7
|
|
|
—
|
|
|
42
|
|
||||
Total U.S. RMBS
|
(22
|
)
|
|
18
|
|
|
(78
|
)
|
|
(82
|
)
|
||||
Triple-X life insurance transactions
|
6
|
|
|
—
|
|
|
5
|
|
|
11
|
|
||||
TruPS
|
(1
|
)
|
|
—
|
|
|
(17
|
)
|
|
(18
|
)
|
||||
Student loans
|
(9
|
)
|
|
—
|
|
|
—
|
|
|
(9
|
)
|
||||
Other structured finance
|
1
|
|
|
(2
|
)
|
|
13
|
|
|
12
|
|
||||
Structured Finance
|
(25
|
)
|
|
16
|
|
|
(77
|
)
|
|
(86
|
)
|
||||
Total
|
$
|
385
|
|
|
$
|
16
|
|
|
$
|
(82
|
)
|
|
$
|
319
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1) and Other
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
183
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
183
|
|
Non-U.S. public finance
|
(10
|
)
|
|
—
|
|
|
(2
|
)
|
|
(12
|
)
|
||||
Public Finance
|
173
|
|
|
—
|
|
|
(2
|
)
|
|
171
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|||||
Prime first lien
|
—
|
|
|
—
|
|
|
(16
|
)
|
|
(16
|
)
|
||||
Alt-A first lien
|
(87
|
)
|
|
(13
|
)
|
|
(44
|
)
|
|
(144
|
)
|
||||
Option ARM
|
(48
|
)
|
|
1
|
|
|
(12
|
)
|
|
(59
|
)
|
||||
Subprime
|
(15
|
)
|
|
6
|
|
|
2
|
|
|
(7
|
)
|
||||
Total first lien
|
(150
|
)
|
|
(6
|
)
|
|
(70
|
)
|
|
(226
|
)
|
||||
Second lien
|
(130
|
)
|
|
91
|
|
|
(3
|
)
|
|
(42
|
)
|
||||
Total U.S. RMBS
|
(280
|
)
|
|
85
|
|
|
(73
|
)
|
|
(268
|
)
|
||||
Triple-X life insurance transactions
|
86
|
|
|
—
|
|
|
6
|
|
|
92
|
|
||||
TruPS
|
(2
|
)
|
|
—
|
|
|
(26
|
)
|
|
(28
|
)
|
||||
Student loans
|
16
|
|
|
—
|
|
|
—
|
|
|
16
|
|
||||
Other structured finance
|
(5
|
)
|
|
(1
|
)
|
|
(7
|
)
|
|
(13
|
)
|
||||
Structured Finance
|
(185
|
)
|
|
84
|
|
|
(100
|
)
|
|
(201
|
)
|
||||
Total
|
$
|
(12
|
)
|
|
$
|
84
|
|
|
$
|
(102
|
)
|
|
$
|
(30
|
)
|
•
|
updated the liquidation rates it uses on delinquent loans based on observations and on an assumption that loan modifications (which improve liquidation rates) would over the next year be less frequent than they were over the most recent year
|
•
|
updated the liquidation rate it uses for loans reported as current but that had been reported as modified over the previous twelve months, based on observed data
|
•
|
established a liquidation rate assumption for loans reported as current and not modified in the past twelve months but that had been reported as delinquent in the previous twelve months
|
•
|
established loss severity assumptions by vintage category as well as product type, rather than just product type as done previously
|
•
|
beginning with the third quarter 2014, each quarter shortened by three months the period it is projecting it will take in the base case to reach the final CDR
|
•
|
reflect increased recoveries on newly defaulted loans as well as previously defaulted loans
|
•
|
project incremental defaults associated with increased monthly payments that occur when interest-only periods end
|
•
|
increase the assumed final conditional prepayment rate ("CPR") from
10%
to
15%
|
|
December 31, 2015
|
|
December 31, 2014
|
|
December 31, 2013
|
Current Loans Modified in the Previous 12 Months
|
|
|
|
|
|
Alt A and Prime
|
25%
|
|
25%
|
|
35%
|
Option ARM
|
25
|
|
25
|
|
35
|
Subprime
|
25
|
|
25
|
|
35
|
Current Loans Delinquent in the Previous 12 Months
|
|
|
|
|
|
Alt A and Prime
|
25
|
|
25
|
|
N/A
|
Option ARM
|
25
|
|
25
|
|
N/A
|
Subprime
|
25
|
|
25
|
|
N/A
|
30 – 59 Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
35
|
|
35
|
|
50
|
Option ARM
|
40
|
|
40
|
|
50
|
Subprime
|
45
|
|
35
|
|
45
|
60 – 89 Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
45
|
|
50
|
|
60
|
Option ARM
|
50
|
|
55
|
|
65
|
Subprime
|
55
|
|
40
|
|
50
|
90+ Days Delinquent
|
|
|
|
|
|
Alt A and Prime
|
55
|
|
60
|
|
75
|
Option ARM
|
60
|
|
65
|
|
70
|
Subprime
|
60
|
|
55
|
|
60
|
Bankruptcy
|
|
|
|
|
|
Alt A and Prime
|
45
|
|
45
|
|
60
|
Option ARM
|
50
|
|
50
|
|
60
|
Subprime
|
40
|
|
40
|
|
55
|
Foreclosure
|
|
|
|
|
|
Alt A and Prime
|
65
|
|
75
|
|
85
|
Option ARM
|
70
|
|
80
|
|
80
|
Subprime
|
70
|
|
70
|
|
70
|
Real Estate Owned
|
|
|
|
|
|
All
|
100
|
|
100
|
|
100
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
|||||||||||||||
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
|||||||||
Alt-A First Lien
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
1.7
|
%
|
–
|
26.4%
|
|
6.4%
|
|
2.0
|
%
|
–
|
13.4%
|
|
7.3%
|
|
2.8
|
%
|
–
|
18.4%
|
|
9.7%
|
Intermediate CDR
|
0.3
|
%
|
–
|
5.3%
|
|
1.3%
|
|
0.4
|
%
|
–
|
2.7%
|
|
1.5%
|
|
0.6
|
%
|
–
|
3.7%
|
|
1.9%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
|
48 months
|
|
|
|||||||||
Final CDR
|
0.1
|
%
|
–
|
1.3%
|
|
0.3%
|
|
0.1
|
%
|
–
|
0.7%
|
|
0.3%
|
|
0.1
|
%
|
–
|
0.9%
|
|
0.5%
|
Initial loss severity:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
2005 and prior
|
60.0%
|
|
|
|
60.0%
|
|
|
|
65.0%
|
|
|
|||||||||
2006
|
70.0%
|
|
|
|
70.0%
|
|
|
|
65.0%
|
|
|
|||||||||
2007
|
65.0%
|
|
|
|
65.0%
|
|
|
|
65.0%
|
|
|
|||||||||
Initial CPR
|
2.7
|
%
|
–
|
32.5%
|
|
11.5%
|
|
1.7
|
%
|
–
|
21.0%
|
|
7.7%
|
|
0.0
|
%
|
–
|
34.2%
|
|
9.7%
|
Final CPR(2)
|
15%
|
|
|
|
15%
|
|
|
|
15%
|
|
|
|||||||||
Option ARM
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
3.5
|
%
|
–
|
10.3%
|
|
7.8%
|
|
4.3
|
%
|
–
|
14.2%
|
|
10.6%
|
|
4.9
|
%
|
–
|
16.8%
|
|
11.9%
|
Intermediate CDR
|
0.7
|
%
|
–
|
2.1%
|
|
1.6%
|
|
0.9
|
%
|
–
|
2.8%
|
|
2.1%
|
|
1.0
|
%
|
–
|
3.4%
|
|
2.4%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
|
48 months
|
|
|
|||||||||
Final CDR
|
0.2
|
%
|
–
|
0.5%
|
|
0.4%
|
|
0.2
|
%
|
–
|
0.7%
|
|
0.5%
|
|
0.2
|
%
|
–
|
0.8%
|
|
0.5%
|
Initial loss severity:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
2005 and prior
|
60.0%
|
|
|
|
60.0%
|
|
|
|
65.0%
|
|
|
|||||||||
2006
|
70.0%
|
|
|
|
70.0%
|
|
|
|
65.0%
|
|
|
|||||||||
2007
|
65.0%
|
|
|
|
65.0%
|
|
|
|
65.0%
|
|
|
|||||||||
Initial CPR
|
1.5
|
%
|
–
|
10.9%
|
|
5.1%
|
|
1.1
|
%
|
–
|
11.8%
|
|
4.9%
|
|
0.4
|
%
|
–
|
13.1%
|
|
4.7%
|
Final CPR(2)
|
15%
|
|
|
|
15%
|
|
|
|
15%
|
|
|
|||||||||
Subprime
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Plateau CDR
|
4.7
|
%
|
–
|
13.2%
|
|
9.5%
|
|
4.9
|
%
|
–
|
15%
|
|
10.6%
|
|
5.6
|
%
|
–
|
16.2%
|
|
11.8%
|
Intermediate CDR
|
0.9
|
%
|
–
|
2.6%
|
|
1.9%
|
|
1.0
|
%
|
–
|
3.0%
|
|
2.1%
|
|
1.1
|
%
|
–
|
3.2%
|
|
2.4%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
|
48 months
|
|
|
|||||||||
Final CDR
|
0.2
|
%
|
–
|
0.7%
|
|
0.4%
|
|
0.2
|
%
|
–
|
0.7%
|
|
0.4%
|
|
0.3
|
%
|
–
|
0.8%
|
|
0.4%
|
Initial loss severity:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
2005 and prior
|
75.0%
|
|
|
|
75.0%
|
|
|
|
90.0%
|
|
|
|||||||||
2006
|
90.0%
|
|
|
|
90.0%
|
|
|
|
90.0%
|
|
|
|||||||||
2007
|
90.0%
|
|
|
|
90.0%
|
|
|
|
90.0%
|
|
|
|||||||||
Initial CPR
|
0.0
|
%
|
–
|
10.1%
|
|
3.6%
|
|
0.0
|
%
|
–
|
10.5%
|
|
6.1%
|
|
0.0
|
%
|
–
|
15.7%
|
|
4.1%
|
Final CPR(2)
|
15%
|
|
|
|
15%
|
|
|
|
15%
|
|
|
(2)
|
For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used.
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
|||||||||||||||
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
|||||||||
Plateau CDR
|
4.9
|
%
|
–
|
23.5%
|
|
10.3%
|
|
2.8
|
%
|
–
|
6.8%
|
|
4.1%
|
|
2.3
|
%
|
–
|
7.7%
|
|
4.9%
|
Final CDR trended down to
|
0.5
|
%
|
–
|
3.2%
|
|
1.2%
|
|
0.5
|
%
|
–
|
3.2%
|
|
1.2%
|
|
0.4
|
%
|
–
|
3.2%
|
|
1.1%
|
Period until final CDR
|
34 months
|
|
|
|
34 months
|
|
|
|
34 months
|
|
|
|||||||||
Initial CPR
|
10.9%
|
|
|
|
6.9
|
%
|
–
|
21.8%
|
|
11.0%
|
|
2.7
|
%
|
–
|
21.5%
|
|
9.9%
|
|||
Final CPR(2)
|
10.0
|
%
|
–
|
15.0%
|
|
13.3%
|
|
15.0
|
%
|
–
|
21.8%
|
|
15.5%
|
|
10%
|
|
|
|||
Loss severity
|
98.0%
|
|
|
|
90.0
|
%
|
–
|
98.0%
|
|
90.4%
|
|
98%
|
|
|
(1)
|
Represents variables for most heavily weighted scenario (the “base case”).
|
(2)
|
For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used.
|
•
|
Bank of America
.
Under the Company's agreement with Bank of America Corporation and certain of its subsidiaries (“Bank of America”), Bank of America agreed to reimburse the Company for
80%
of claims on the first lien transactions covered by the agreement that the Company pays in the future, until the aggregate lifetime collateral losses (not insurance losses or claims) on those transactions reach
$6.6 billion
. As of
December 31, 2015
aggregate
|
•
|
Deutsche Bank.
Under the Company's May 2012 agreement with Deutsche Bank AG and certain of its affiliates (collectively, “Deutsche Bank”), Deutsche Bank agreed to reimburse the Company for certain claims it pays in the future on eight first and second lien transactions, including
80%
of claims it pays on those transactions until the aggregate lifetime claims (before reimbursement) reach
$319 million
. As of
December 31, 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
. Deutsche Bank’s reimbursement obligation is secured by
$71 million
of collateral held in trust for the Company’s benefit.
|
•
|
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
$54 million
of collateral held in trust for the Company's benefit.
|
6.
|
Financial Guaranty Insurance
|
•
|
For premiums received upfront on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is equal to the amount of cash received. Upfront premiums typically relate to public finance transactions.
|
•
|
For premiums received in installments on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is the present value of either (1) contractual premiums due or (2) in cases where the underlying collateral is comprised of homogeneous pools of assets, the expected premiums to be collected over the life of the contract. To be considered a homogeneous pool of assets, prepayments must be contractually prepayable, the amount of prepayments must be probable, and the timing and amount of prepayments must be reasonably estimable. When the Company adjusts prepayment assumptions or expected premium collections, an adjustment is recorded to the deferred premium revenue, with a corresponding adjustment to the premium receivable, and prospective changes are recognized in premium revenues. Premiums receivable are discounted at the risk-free rate at inception and such discount rate is updated only when changes to prepayment assumptions are made that change the expected date of final maturity. Installment premiums typically relate to structured finance transactions, where the insurance premium rate is determined at the inception of the contract but the insured par is subject to prepayment throughout the life of the transaction.
|
•
|
For financial guaranty insurance contracts acquired in a business combination, deferred premium revenue is equal to the fair value of the Company's stand-ready obligation portion of the insurance contract at the date of acquisition based on what a hypothetical similarly rated financial guaranty insurer would have charged for the contract at that date and not the actual cash flows under the insurance contract. The amount of deferred premium revenue may differ significantly from cash collections due primarily to fair value adjustments recorded in connection with a business combination.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Scheduled net earned premiums
|
$
|
416
|
|
|
$
|
415
|
|
|
$
|
470
|
|
Acceleration of net earned premiums (1)
|
331
|
|
|
136
|
|
|
263
|
|
|||
Accretion of discount on net premiums receivable
|
17
|
|
|
16
|
|
|
17
|
|
|||
Financial guaranty insurance net earned premiums
|
764
|
|
|
567
|
|
|
750
|
|
|||
Other
|
2
|
|
|
3
|
|
|
2
|
|
|||
Net earned premiums (2)
|
$
|
766
|
|
|
$
|
570
|
|
|
$
|
752
|
|
(1)
|
Reflects the unscheduled refunding or termination of the insurance on an insured obligation as well as changes in scheduled earnings due to changes in the expected lives of the insured obligations.
|
(2)
|
Excludes
$21 million
,
$32 million
and
$60 million
for the year ended
December 31, 2015
,
2014
and
2013
, respectively, related to consolidated FG VIEs.
|
|
As of December 31, 2015
|
|
As of December 31, 2014
|
||||||||||||||||||||
|
Gross
|
|
Ceded
|
|
Net(1)
|
|
Gross
|
|
Ceded
|
|
Net(1)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Deferred premium revenue
|
$
|
4,008
|
|
|
$
|
238
|
|
|
$
|
3,770
|
|
|
$
|
4,167
|
|
|
$
|
387
|
|
|
$
|
3,780
|
|
Contra-paid(2)
|
(12
|
)
|
|
(6
|
)
|
|
(6
|
)
|
|
94
|
|
|
(6
|
)
|
|
100
|
|
||||||
Unearned premium reserve
|
$
|
3,996
|
|
|
$
|
232
|
|
|
$
|
3,764
|
|
|
$
|
4,261
|
|
|
$
|
381
|
|
|
$
|
3,880
|
|
(1)
|
Excludes
$110 million
and $
125 million
of deferred premium revenue and
$30 million
and
$42 million
of contra-paid related to FG VIEs as of
December 31, 2015
and
December 31, 2014
, respectively.
|
(2)
|
See "Financial Guaranty Insurance Losses – Insurance Contracts' Loss Information" below for an explanation of "contra-paid".
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Beginning of period, December 31
|
$
|
729
|
|
|
$
|
876
|
|
|
$
|
1,005
|
|
Premiums receivable acquired in Radian Asset Acquisition on April 1, 2015
|
2
|
|
|
—
|
|
|
—
|
|
|||
Gross premium written, net of commissions on assumed business
|
198
|
|
|
171
|
|
|
145
|
|
|||
Gross premiums received, net of commissions on assumed business
|
(206
|
)
|
|
(230
|
)
|
|
(259
|
)
|
|||
Adjustments:
|
|
|
|
|
|
||||||
Changes in the expected term
|
(19
|
)
|
|
(66
|
)
|
|
(28
|
)
|
|||
Accretion of discount, net of commissions on assumed business
|
18
|
|
|
10
|
|
|
20
|
|
|||
Foreign exchange translation
|
(25
|
)
|
|
(31
|
)
|
|
(1
|
)
|
|||
Consolidation/deconsolidation of FG VIEs
|
(4
|
)
|
|
(1
|
)
|
|
—
|
|
|||
Other adjustments
|
0
|
|
|
—
|
|
|
(6
|
)
|
|||
End of period, December 31 (1)
|
$
|
693
|
|
|
$
|
729
|
|
|
$
|
876
|
|
(1)
|
Excludes
$17 million
,
$19 million
and
$21 million
as of
December 31, 2015
,
2014
and
2013
, respectively, related to consolidated FG VIEs.
|
|
As of December 31, 2015
|
||
|
(in millions)
|
||
2016 (January 1 – March 31)
|
$
|
34
|
|
2016 (April 1 – June 30)
|
23
|
|
|
2016 (July 1 – September 30)
|
18
|
|
|
2016 (October 1 – December 31)
|
17
|
|
|
2017
|
67
|
|
|
2018
|
61
|
|
|
2019
|
57
|
|
|
2020
|
56
|
|
|
2021-2025
|
226
|
|
|
2026-2030
|
147
|
|
|
2031-2035
|
103
|
|
|
After 2035
|
84
|
|
|
Total(1)
|
$
|
893
|
|
(1)
|
Excludes expected cash collections on FG VIEs of
$22 million
.
|
|
As of December 31, 2015
|
||
|
(in millions)
|
||
2016 (January 1 – March 31)
|
$
|
100
|
|
2016 (April 1 – June 30)
|
97
|
|
|
2016 (July 1 – September 30)
|
93
|
|
|
2016 (October 1 – December 31)
|
91
|
|
|
Subtotal 2016
|
381
|
|
|
2017
|
332
|
|
|
2018
|
298
|
|
|
2019
|
272
|
|
|
2020
|
250
|
|
|
2021-2025
|
977
|
|
|
2026-2030
|
616
|
|
|
2031-2035
|
363
|
|
|
After 2035
|
281
|
|
|
Net deferred premium revenue(1)
|
3,770
|
|
|
Future accretion
|
186
|
|
|
Total future net earned premiums
|
$
|
3,956
|
|
(1)
|
Excludes scheduled net earned premiums on consolidated FG VIEs of
$110 million
.
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
||||
|
(dollars in millions)
|
||||||
Premiums receivable, net of commission payable
|
$
|
693
|
|
|
$
|
729
|
|
Gross deferred premium revenue
|
1,240
|
|
|
1,370
|
|
||
Weighted-average risk-free rate used to discount premiums
|
3.1
|
%
|
|
3.5
|
%
|
||
Weighted-average period of premiums receivable (in years)
|
9.4
|
|
|
9.4
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Beginning of period
|
$
|
121
|
|
|
$
|
124
|
|
|
$
|
116
|
|
DAC adjustments related to Radian Asset Acquisition on April 1, 2015
|
1
|
|
|
—
|
|
|
—
|
|
|||
Costs deferred during the period:
|
|
|
|
|
|
||||||
Commissions on assumed and ceded business
|
(1
|
)
|
|
7
|
|
|
9
|
|
|||
Premium taxes
|
2
|
|
|
3
|
|
|
4
|
|
|||
Compensation and other acquisition costs
|
11
|
|
|
10
|
|
|
8
|
|
|||
Total
|
12
|
|
|
20
|
|
|
21
|
|
|||
Costs amortized during the period
|
(20
|
)
|
|
(23
|
)
|
|
(13
|
)
|
|||
End of period
|
$
|
114
|
|
|
$
|
121
|
|
|
$
|
124
|
|
•
|
a reduction in the corresponding loss and LAE reserve with a benefit to the income statement,
|
•
|
no entry recorded, if “total loss” is not in excess of deferred premium revenue, or
|
•
|
the recording of a salvage asset with a benefit to the income statement if the transaction is in a net recovery position at the reporting date.
|
|
As of December 31, 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
|
$
|
604
|
|
|
$
|
7
|
|
|
$
|
597
|
|
|
$
|
243
|
|
|
$
|
8
|
|
|
$
|
235
|
|
Non-U.S. public finance
|
25
|
|
|
—
|
|
|
25
|
|
|
30
|
|
|
—
|
|
|
30
|
|
||||||
Public Finance
|
629
|
|
|
7
|
|
|
622
|
|
|
273
|
|
|
8
|
|
|
265
|
|
||||||
Structured Finance:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Prime first lien
|
2
|
|
|
—
|
|
|
2
|
|
|
2
|
|
|
—
|
|
|
2
|
|
||||||
Alt-A first lien
|
46
|
|
|
—
|
|
|
46
|
|
|
87
|
|
|
—
|
|
|
87
|
|
||||||
Option ARM
|
13
|
|
|
42
|
|
|
(29
|
)
|
|
28
|
|
|
40
|
|
|
(12
|
)
|
||||||
Subprime
|
169
|
|
|
21
|
|
|
148
|
|
|
166
|
|
|
8
|
|
|
158
|
|
||||||
First lien
|
230
|
|
|
63
|
|
|
167
|
|
|
283
|
|
|
48
|
|
|
235
|
|
||||||
Second lien
|
32
|
|
|
53
|
|
|
(21
|
)
|
|
7
|
|
|
78
|
|
|
(71
|
)
|
||||||
Total U.S. RMBS
|
262
|
|
|
116
|
|
|
146
|
|
|
290
|
|
|
126
|
|
|
164
|
|
||||||
Triple-X life insurance transactions
|
82
|
|
|
—
|
|
|
82
|
|
|
140
|
|
|
—
|
|
|
140
|
|
||||||
TruPS
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
—
|
|
|
0
|
|
||||||
Student loans
|
51
|
|
|
—
|
|
|
51
|
|
|
64
|
|
|
—
|
|
|
64
|
|
||||||
Other structured finance
|
48
|
|
|
—
|
|
|
48
|
|
|
34
|
|
|
8
|
|
|
26
|
|
||||||
Structured Finance
|
443
|
|
|
116
|
|
|
327
|
|
|
528
|
|
|
134
|
|
|
394
|
|
||||||
Subtotal
|
1,072
|
|
|
123
|
|
|
949
|
|
|
801
|
|
|
142
|
|
|
659
|
|
||||||
Other recoverables
|
—
|
|
|
3
|
|
|
(3
|
)
|
|
—
|
|
|
13
|
|
|
(13
|
)
|
||||||
Subtotal
|
1,072
|
|
|
126
|
|
|
946
|
|
|
801
|
|
|
155
|
|
|
646
|
|
||||||
Effect of consolidating FG VIEs
|
(74
|
)
|
|
0
|
|
|
(74
|
)
|
|
(80
|
)
|
|
(1
|
)
|
|
(79
|
)
|
||||||
Total (1)
|
$
|
998
|
|
|
$
|
126
|
|
|
$
|
872
|
|
|
$
|
721
|
|
|
$
|
154
|
|
|
$
|
567
|
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
||||
|
(in millions)
|
||||||
Loss and LAE reserve
|
$
|
1,067
|
|
|
$
|
799
|
|
Reinsurance recoverable on unpaid losses
|
(69
|
)
|
|
(78
|
)
|
||
Loss and LAE reserve, net
|
998
|
|
|
721
|
|
||
Salvage and subrogation recoverable
|
(126
|
)
|
|
(151
|
)
|
||
Salvage and subrogation payable(1)
|
3
|
|
|
10
|
|
||
Other recoverables
|
(3
|
)
|
|
(13
|
)
|
||
Salvage and subrogation recoverable, net, and other recoverable
|
(126
|
)
|
|
(154
|
)
|
||
Net reserves (salvage)
|
$
|
872
|
|
|
$
|
567
|
|
|
As of December 31, 2015
|
||
|
(in millions)
|
||
Net expected loss to be paid
|
$
|
1,375
|
|
Less: net expected loss to be paid for FG VIEs and other
|
136
|
|
|
Total
|
1,239
|
|
|
Contra-paid, net
|
5
|
|
|
Salvage and subrogation recoverable, net of reinsurance
|
123
|
|
|
Loss and LAE reserve, net of reinsurance
|
(982
|
)
|
|
Other recoveries
|
2
|
|
|
Net expected loss to be expensed (present value)(1)
|
$
|
387
|
|
(1)
|
Excludes
$77 million
as of
December 31, 2015
related to consolidated FG VIEs.
|
|
As of December 31, 2015
|
||
|
(in millions)
|
||
2016 (January 1 – March 31)
|
$
|
12
|
|
2016 (April 1 – June 30)
|
10
|
|
|
2016 (July 1 – September 30)
|
8
|
|
|
2016 (October 1 – December 31)
|
8
|
|
|
Subtotal 2016
|
38
|
|
|
2017
|
31
|
|
|
2018
|
30
|
|
|
2019
|
29
|
|
|
2020
|
27
|
|
|
2021-2025
|
102
|
|
|
2026-2030
|
70
|
|
|
2031-2035
|
41
|
|
|
After 2035
|
19
|
|
|
Net expected loss to be expensed
|
387
|
|
|
Discount
|
286
|
|
|
Total expected future loss and LAE
|
$
|
673
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Public Finance:
|
|
|
|
|
|
||||||
U.S. public finance
|
$
|
392
|
|
|
$
|
192
|
|
|
$
|
198
|
|
Non-U.S. public finance
|
1
|
|
|
(1
|
)
|
|
16
|
|
|||
Public finance
|
393
|
|
|
191
|
|
|
214
|
|
|||
Structured Finance:
|
|
|
|
|
|
||||||
U.S. RMBS:
|
|
|
|
|
|
||||||
First lien:
|
|
|
|
|
|
||||||
Prime first lien
|
(1
|
)
|
|
(1
|
)
|
|
1
|
|
|||
Alt-A first lien
|
(23
|
)
|
|
(66
|
)
|
|
(2
|
)
|
|||
Option ARM
|
(15
|
)
|
|
(37
|
)
|
|
(48
|
)
|
|||
Subprime
|
33
|
|
|
8
|
|
|
80
|
|
|||
First lien
|
(6
|
)
|
|
(96
|
)
|
|
31
|
|
|||
Second lien
|
60
|
|
|
(33
|
)
|
|
(35
|
)
|
|||
Total U.S. RMBS
|
54
|
|
|
(129
|
)
|
|
(4
|
)
|
|||
Triple-X life insurance transactions
|
16
|
|
|
85
|
|
|
(44
|
)
|
|||
TruPS
|
(1
|
)
|
|
(1
|
)
|
|
(1
|
)
|
|||
Student loans
|
(9
|
)
|
|
17
|
|
|
10
|
|
|||
Other structured finance
|
(1
|
)
|
|
(7
|
)
|
|
0
|
|
|||
Structured finance
|
59
|
|
|
(35
|
)
|
|
(39
|
)
|
|||
Loss and LAE on insurance contracts before FG VIE consolidation
|
452
|
|
|
156
|
|
|
175
|
|
|||
Effect of consolidating FG VIEs
|
(28
|
)
|
|
(30
|
)
|
|
(21
|
)
|
|||
Loss and LAE
|
$
|
424
|
|
|
$
|
126
|
|
|
$
|
154
|
|
|
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)
|
202
|
|
|
(46
|
)
|
|
85
|
|
|
(13
|
)
|
|
132
|
|
|
(44
|
)
|
|
419
|
|
|
—
|
|
|
419
|
|
|||||||||
Remaining weighted-average contract period (in years)
|
10.0
|
|
|
8.7
|
|
|
13.8
|
|
|
9.5
|
|
|
7.7
|
|
|
5.9
|
|
|
10.7
|
|
|
—
|
|
|
10.7
|
|
|||||||||
Outstanding exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Principal
|
$
|
7,751
|
|
|
$
|
(732
|
)
|
|
$
|
3,895
|
|
|
$
|
(240
|
)
|
|
$
|
3,087
|
|
|
$
|
(187
|
)
|
|
$
|
13,574
|
|
|
$
|
—
|
|
|
$
|
13,574
|
|
Interest
|
4,109
|
|
|
(354
|
)
|
|
2,805
|
|
|
(110
|
)
|
|
1,011
|
|
|
(42
|
)
|
|
7,419
|
|
|
—
|
|
|
7,419
|
|
|||||||||
Total(2)
|
$
|
11,860
|
|
|
$
|
(1,086
|
)
|
|
$
|
6,700
|
|
|
$
|
(350
|
)
|
|
$
|
4,098
|
|
|
$
|
(229
|
)
|
|
$
|
20,993
|
|
|
$
|
—
|
|
|
$
|
20,993
|
|
Expected cash outflows (inflows)
|
$
|
386
|
|
|
$
|
(42
|
)
|
|
$
|
1,158
|
|
|
$
|
(60
|
)
|
|
$
|
1,464
|
|
|
$
|
(53
|
)
|
|
$
|
2,853
|
|
|
$
|
(343
|
)
|
|
$
|
2,510
|
|
Potential recoveries
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Undiscounted R&W
|
69
|
|
|
(2
|
)
|
|
(49
|
)
|
|
1
|
|
|
(85
|
)
|
|
5
|
|
|
(61
|
)
|
|
7
|
|
|
(54
|
)
|
|||||||||
Other(3)
|
(441
|
)
|
|
14
|
|
|
(118
|
)
|
|
7
|
|
|
(587
|
)
|
|
19
|
|
|
(1,106
|
)
|
|
175
|
|
|
(931
|
)
|
|||||||||
Total potential recoveries
|
(372
|
)
|
|
12
|
|
|
(167
|
)
|
|
8
|
|
|
(672
|
)
|
|
24
|
|
|
(1,167
|
)
|
|
182
|
|
|
(985
|
)
|
|||||||||
Subtotal
|
14
|
|
|
(30
|
)
|
|
991
|
|
|
(52
|
)
|
|
792
|
|
|
(29
|
)
|
|
1,686
|
|
|
(161
|
)
|
|
1,525
|
|
|||||||||
Discount
|
91
|
|
|
3
|
|
|
(286
|
)
|
|
12
|
|
|
(58
|
)
|
|
(89
|
)
|
|
(327
|
)
|
|
41
|
|
|
(286
|
)
|
|||||||||
Present value of expected cash flows
|
$
|
105
|
|
|
$
|
(27
|
)
|
|
$
|
705
|
|
|
$
|
(40
|
)
|
|
$
|
734
|
|
|
$
|
(118
|
)
|
|
$
|
1,359
|
|
|
$
|
(120
|
)
|
|
$
|
1,239
|
|
Deferred premium revenue
|
$
|
371
|
|
|
$
|
(37
|
)
|
|
$
|
150
|
|
|
$
|
(4
|
)
|
|
$
|
386
|
|
|
$
|
(32
|
)
|
|
$
|
834
|
|
|
$
|
(100
|
)
|
|
$
|
734
|
|
Reserves (salvage)
|
$
|
2
|
|
|
$
|
(19
|
)
|
|
$
|
591
|
|
|
$
|
(38
|
)
|
|
$
|
404
|
|
|
$
|
(9
|
)
|
|
$
|
931
|
|
|
$
|
(74
|
)
|
|
$
|
857
|
|
|
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)
|
$
|
(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.
|
7.
|
Fair Value Measurement
|
•
|
reviews methodologies, any model updates and inputs and compares such information to management’s own market information and, where applicable, the internal models,
|
•
|
reviews internally developed analytic packages that highlight, at a CUSIP level, price changes from the previous quarter to the current quarter, and evaluates, documents, and resolves any significant pricing differences with the assistance of the third party pricing source, and
|
•
|
compares prices received from different third party pricing sources, and evaluates, documents the rationale for, and resolves any significant pricing differences.
|
•
|
Gross spread.
|
•
|
The allocation of gross spread among:
|
◦
|
the profit the originator, usually an investment bank, realizes for putting the deal together and funding the transaction (“bank profit”);
|
◦
|
premiums paid to the Company for the Company’s credit protection provided (“net spread”); and
|
◦
|
the cost of CDS protection purchased by the originator to hedge their counterparty credit risk exposure to the Company (“hedge cost”).
|
•
|
The weighted average life which is based on Debt Service schedules.
|
•
|
Actual collateral specific credit spreads (if up-to-date and reliable market-based spreads are available).
|
•
|
Deals priced or closed during a specific quarter within a specific asset class and specific rating. No transactions closed during the periods presented.
|
•
|
Credit spreads interpolated based upon market indices.
|
•
|
Credit spreads provided by the counterparty of the CDS.
|
•
|
Credit spreads extrapolated based upon transactions of similar asset classes, similar ratings, and similar time to maturity.
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
||
Based on actual collateral specific spreads
|
13
|
%
|
|
9
|
%
|
Based on market indices
|
73
|
%
|
|
82
|
%
|
Provided by the CDS counterparty
|
14
|
%
|
|
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
December 31, 2015
and
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
|
$
|
5,841
|
|
|
$
|
—
|
|
|
$
|
5,833
|
|
|
$
|
8
|
|
U.S. government and agencies
|
400
|
|
|
—
|
|
|
400
|
|
|
—
|
|
||||
Corporate securities
|
1,520
|
|
|
—
|
|
|
1,449
|
|
|
71
|
|
||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,245
|
|
|
—
|
|
|
897
|
|
|
348
|
|
||||
CMBS
|
513
|
|
|
—
|
|
|
513
|
|
|
—
|
|
||||
Asset-backed securities
|
825
|
|
|
—
|
|
|
168
|
|
|
657
|
|
||||
Foreign government securities
|
283
|
|
|
—
|
|
|
283
|
|
|
—
|
|
||||
Total fixed-maturity securities
|
10,627
|
|
|
—
|
|
|
9,543
|
|
|
1,084
|
|
||||
Short-term investments
|
396
|
|
|
305
|
|
|
31
|
|
|
60
|
|
||||
Other invested assets (1)
|
12
|
|
|
—
|
|
|
5
|
|
|
7
|
|
||||
Credit derivative assets
|
81
|
|
|
—
|
|
|
—
|
|
|
81
|
|
||||
FG VIEs’ assets, at fair value
|
1,261
|
|
|
—
|
|
|
—
|
|
|
1,261
|
|
||||
Other assets
|
106
|
|
|
23
|
|
|
21
|
|
|
62
|
|
||||
Total assets carried at fair value
|
$
|
12,483
|
|
|
$
|
328
|
|
|
$
|
9,600
|
|
|
$
|
2,555
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Credit derivative liabilities
|
$
|
446
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
446
|
|
FG VIEs’ liabilities with recourse, at fair value
|
1,225
|
|
|
—
|
|
|
—
|
|
|
1,225
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
124
|
|
|
—
|
|
|
—
|
|
|
124
|
|
||||
Total liabilities carried at fair value
|
$
|
1,795
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,795
|
|
|
|
|
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)
|
24
|
|
|
—
|
|
|
17
|
|
|
7
|
|
||||
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
|
$
|
12,826
|
|
|
$
|
385
|
|
|
$
|
10,163
|
|
|
$
|
2,278
|
|
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)
|
Excluded from the table above are investments funds of
$45 million
and
$76 million
as of December 31, 2015 and December 31, 2014, respectively, measured using NAV per share practical expedient. Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis.
|
(2)
|
Excludes restricted cash.
|
|
Fixed-Maturity Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
|
Obligations
of State and Political Subdivisions |
|
Corporate Securities
|
|
RMBS
|
|
Asset-
Backed Securities |
|
Short-Term Investments
|
|
FG VIEs’
Assets at Fair Value |
|
Other
Assets (8) |
|
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
|
|
|
|
$
|
—
|
|
|
$
|
1,398
|
|
|
|
$
|
37
|
|
|
|
$
|
(895
|
)
|
|
$
|
(1,277
|
)
|
|
$
|
(142
|
)
|
|
|||||||
Radian Asset Acquisition
|
—
|
|
|
—
|
|
|
4
|
|
|
—
|
|
|
—
|
|
|
122
|
|
|
2
|
|
|
(215
|
)
|
|
(114
|
)
|
|
(4
|
)
|
|
||||||||||||||||||||
Total pretax realized and unrealized gains/(losses) recorded in: (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Net income (loss)
|
3
|
|
(2
|
)
|
3
|
|
(2
|
)
|
18
|
|
(2
|
)
|
1
|
|
(2
|
)
|
24
|
|
(2
|
)
|
59
|
|
(3
|
)
|
26
|
|
(4
|
)
|
728
|
|
(6
|
)
|
111
|
|
(3
|
)
|
(28
|
)
|
(3
|
)
|
||||||||||
Other comprehensive income (loss)
|
(2
|
)
|
|
(11
|
)
|
|
(12
|
)
|
|
(9
|
)
|
|
|
0
|
|
|
—
|
|
|
|
0
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|||||||||||||||
Purchases
|
—
|
|
|
—
|
|
|
48
|
|
|
471
|
|
|
|
52
|
|
(7
|
)
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
||||||||||||||
Settlements
|
(31
|
)
|
(7
|
)
|
—
|
|
|
(134
|
)
|
|
(34
|
)
|
|
(16
|
)
|
|
(400
|
)
|
|
—
|
|
|
|
17
|
|
|
|
186
|
|
|
|
28
|
|
|
||||||||||||||||
FG VIE consolidations
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
|
—
|
|
|
104
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(131
|
)
|
|
—
|
|
|
||||||||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(22
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
22
|
|
|
||||||||||||||||||||
Fair value as of December 31, 2015
|
$
|
8
|
|
|
$
|
71
|
|
|
$
|
348
|
|
|
$
|
657
|
|
|
|
$
|
60
|
|
|
$
|
1,261
|
|
|
|
$
|
65
|
|
|
|
$
|
(365
|
)
|
|
$
|
(1,225
|
)
|
|
$
|
(124
|
)
|
|
|||||||
Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2015
|
$
|
0
|
|
|
$
|
(11
|
)
|
|
$
|
(9
|
)
|
|
$
|
(9
|
)
|
|
$
|
0
|
|
|
$
|
110
|
|
|
$
|
26
|
|
|
$
|
281
|
|
|
$
|
4
|
|
|
$
|
(22
|
)
|
|
|
Fixed-Maturity Securities
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
|
Obligations
of State and Political Subdivisions |
|
Corporate Securities
|
|
RMBS
|
|
Asset-
Backed Securities |
|
FG VIEs’
Assets at Fair Value |
|
Other
Assets (8) |
|
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
|
|
|
$
|
2,565
|
|
|
|
$
|
48
|
|
|
$
|
(1,693
|
)
|
|
|
$
|
(1,790
|
)
|
|
$
|
(1,081
|
)
|
|
|||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Net income (loss)
|
4
|
|
(2
|
)
|
(46
|
)
|
(2
|
)
|
21
|
|
(2
|
)
|
17
|
|
(2
|
)
|
164
|
|
(3
|
)
|
(11
|
)
|
(4
|
)
|
823
|
|
(6
|
)
|
94
|
|
(3
|
)
|
(43
|
)
|
(3
|
)
|
|||||||||
Other comprehensive income (loss)
|
(1
|
)
|
|
(6
|
)
|
|
24
|
|
|
5
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|||||||||||||||
Purchases
|
—
|
|
|
—
|
|
|
263
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|||||||||||||||
Settlements
|
(1
|
)
|
|
(5
|
)
|
|
(59
|
)
|
|
(62
|
)
|
|
(408
|
)
|
|
—
|
|
|
(25
|
)
|
|
|
374
|
|
|
|
22
|
|
|
||||||||||||||||
FG VIE consolidations
|
—
|
|
|
—
|
|
|
(127
|
)
|
|
—
|
|
|
206
|
|
|
|
—
|
|
|
—
|
|
|
|
(189
|
)
|
|
(42
|
)
|
|
||||||||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
13
|
|
|
—
|
|
|
(1,129
|
)
|
|
—
|
|
|
—
|
|
|
234
|
|
|
1,002
|
|
|
||||||||||||||||||
Fair value as of December 31, 2014
|
$
|
38
|
|
|
$
|
79
|
|
|
$
|
425
|
|
|
$
|
228
|
|
|
$
|
1,398
|
|
|
|
$
|
37
|
|
|
$
|
(895
|
)
|
|
|
$
|
(1,277
|
)
|
|
$
|
(142
|
)
|
|
|||||||
Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2014
|
$
|
(1
|
)
|
|
$
|
(6
|
)
|
|
$
|
21
|
|
|
$
|
4
|
|
|
$
|
141
|
|
|
$
|
(11
|
)
|
|
$
|
254
|
|
|
$
|
(22
|
)
|
|
$
|
3
|
|
|
(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, net realized investment gains (losses) and net investment income.
|
(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)
|
Primarily non-cash transaction.
|
(8)
|
Includes CCS and other invested assets.
|
Financial Instrument Description(1)
|
|
Fair Value at December 31, 2015(in millions)
|
|
Significant Unobservable Inputs
|
|
Range
|
|
Weighted Average as a Percentage of Current Par Outstanding
|
|||||
Assets (2):
|
|
|
|
|
|
|
|
|
|
|
|
||
Fixed-maturity securities (3):
|
|
|
|
|
|
|
|
|
|
|
|
||
Corporate securities
|
|
$
|
71
|
|
|
Yield
|
|
21.8%
|
|
|
|||
|
|
|
|
|
|
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||
RMBS
|
|
348
|
|
|
CPR
|
|
0.3
|
%
|
-
|
9.0%
|
|
2.6%
|
|
|
|
CDR
|
|
2.7
|
%
|
-
|
9.3%
|
|
7.0%
|
||||
|
|
Loss severity
|
|
60.0
|
%
|
-
|
100.0%
|
|
74.0%
|
||||
|
|
Yield
|
|
4.7
|
%
|
-
|
8.2%
|
|
6.0%
|
||||
Asset-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|||
Investor owned utility
|
|
69
|
|
|
Cash flow receipts
|
|
100.0%
|
|
|
||||
|
|
Collateral recovery period
|
|
2.9 years
|
|
|
|||||||
|
|
Discount factor
|
|
7.0%
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|||
Triple-X life insurance transactions
|
|
329
|
|
|
Yield
|
|
3.5
|
%
|
-
|
7.5%
|
|
5.0%
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|||
Collateralized debt obligations ("CDO")
|
|
259
|
|
|
Yield
|
|
20.0%
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|||
Short-term investments
|
|
60
|
|
|
Yield
|
|
17.0%
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|||
FG VIEs’ assets, at fair value
|
|
1,261
|
|
|
CPR
|
|
0.3
|
%
|
-
|
9.2%
|
|
3.9%
|
|
|
|
CDR
|
|
1.2
|
%
|
-
|
16.0%
|
|
4.7%
|
||||
|
|
Loss severity
|
|
40.0
|
%
|
-
|
100.0%
|
|
85.9%
|
||||
|
|
Yield
|
|
1.9
|
%
|
-
|
20.0%
|
|
6.4%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|||
Other assets
|
|
62
|
|
|
Quotes from third party pricing
|
|
$44
|
-
|
$46
|
|
$45
|
||
|
|
Term (years)
|
|
5 years
|
|
|
Financial Instrument Description(1)
|
|
Fair Value at
December 31, 2015 (in millions) |
|
Significant Unobservable Inputs
|
|
Range
|
|
Weighted Average as a Percentage of Current Par Outstanding
|
||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivative liabilities, net
|
|
(365
|
)
|
|
Year 1 loss estimates
|
|
0.0
|
%
|
-
|
41.0%
|
|
0.6%
|
|
|
Hedge cost (in bps)
|
|
32.8
|
|
-
|
282.0
|
|
66.3
|
|||
|
|
Bank profit (in bps)
|
|
3.8
|
|
-
|
1,017.5
|
|
110.8
|
|||
|
|
Internal floor (in bps)
|
|
7.0
|
|
-
|
100.0
|
|
16.8
|
|||
|
|
Internal credit rating
|
|
AAA
|
|
-
|
CCC
|
|
AA+
|
|||
|
|
|
|
|
|
|
|
|
|
|
||
FG VIEs’ liabilities, at fair value
|
|
(1,349
|
)
|
|
CPR
|
|
0.3
|
%
|
-
|
9.2%
|
|
3.9%
|
|
|
CDR
|
|
1.2
|
%
|
-
|
16.0%
|
|
4.7%
|
|||
|
|
Loss severity
|
|
40.0
|
%
|
-
|
100.0%
|
|
85.9%
|
|||
|
|
Yield
|
|
1.9
|
%
|
-
|
20.0%
|
|
5.6%
|
(1)
|
Discounted cash flow is used as valuation technique for all financial instruments.
|
(2)
|
Excludes several investments recorded in other invested assets with fair value of
$7 million
.
|
(3)
|
Excludes obligations of state and political subdivisions investments with fair value of
$8 million
.
|
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
|
|
100.0%
|
|
|
||||
|
|
Collateral recovery period
|
|
4 years
|
|
|
|||||||
|
|
Discount factor
|
|
7.0%
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|||
Triple-X life insurance transactions
|
|
133
|
|
|
Yield
|
|
7.3%
|
|
|
||||
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|||
Other invested assets
|
|
7
|
|
|
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%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|||
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%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|||
Other assets
|
|
35
|
|
|
Quotes from third party pricing
|
|
$52
|
-
|
$61
|
|
$57
|
||
|
|
|
Term (years)
|
|
5 years
|
|
|
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
|
||||
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
December 31, 2015 |
|
As of
December 31, 2014 |
||||||||||||
|
Carrying
Amount
|
|
Estimated
Fair Value
|
|
Carrying
Amount
|
|
Estimated
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Fixed-maturity securities
|
$
|
10,627
|
|
|
$
|
10,627
|
|
|
$
|
10,491
|
|
|
$
|
10,491
|
|
Short-term investments
|
396
|
|
|
396
|
|
|
767
|
|
|
767
|
|
||||
Other invested assets(1)
|
150
|
|
|
152
|
|
|
108
|
|
|
110
|
|
||||
Credit derivative assets
|
81
|
|
|
81
|
|
|
68
|
|
|
68
|
|
||||
FG VIEs’ assets, at fair value
|
1,261
|
|
|
1,261
|
|
|
1,398
|
|
|
1,398
|
|
||||
Other assets
|
206
|
|
|
206
|
|
|
184
|
|
|
184
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Financial guaranty insurance contracts(2)
|
3,998
|
|
|
8,712
|
|
|
3,823
|
|
|
6,205
|
|
||||
Long-term debt
|
1,300
|
|
|
1,512
|
|
|
1,297
|
|
|
1,603
|
|
||||
Credit derivative liabilities
|
446
|
|
|
446
|
|
|
963
|
|
|
963
|
|
||||
FG VIEs’ liabilities with recourse, at fair value
|
1,225
|
|
|
1,225
|
|
|
1,277
|
|
|
1,277
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
124
|
|
|
124
|
|
|
142
|
|
|
142
|
|
||||
Other liabilities
|
9
|
|
|
9
|
|
|
27
|
|
|
27
|
|
(1)
|
Includes investments not carried at fair value with a carrying value of
$93 million
. Excludes investments carried under the equity method.
|
(2)
|
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 December 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 obligations/collateralized bond obligations
|
|
$
|
5,873
|
|
|
30.9
|
%
|
|
42.3
|
%
|
|
AAA
|
|
$
|
11,688
|
|
|
32.0
|
%
|
|
36.9
|
%
|
|
AAA
|
Synthetic investment grade pooled corporate
|
|
7,108
|
|
|
21.7
|
|
|
19.4
|
|
|
AAA
|
|
7,640
|
|
|
22.6
|
|
|
20.6
|
|
|
AAA
|
||
TruPS CDOs
|
|
3,429
|
|
|
45.8
|
|
|
42.6
|
|
|
A-
|
|
3,119
|
|
|
45.3
|
|
|
35.8
|
|
|
BBB-
|
||
Market value CDOs of corporate obligations
|
|
1,113
|
|
|
17.0
|
|
|
30.1
|
|
|
AAA
|
|
1,174
|
|
|
19.1
|
|
|
20.7
|
|
|
AAA
|
||
Total pooled corporate obligations
|
|
17,523
|
|
|
29.2
|
|
|
32.3
|
|
|
AAA
|
|
23,621
|
|
|
30.1
|
|
|
30.7
|
|
|
AAA
|
||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Option ARM and Alt-A first lien
|
|
351
|
|
|
10.5
|
|
|
12.7
|
|
|
AA-
|
|
1,378
|
|
|
16.3
|
|
|
10.7
|
|
|
BB+
|
||
Subprime first lien
|
|
981
|
|
|
27.7
|
|
|
45.2
|
|
|
AA
|
|
1,366
|
|
|
31.1
|
|
|
50.5
|
|
|
A
|
||
Prime first lien
|
|
177
|
|
|
10.9
|
|
|
0.0
|
|
|
BB
|
|
223
|
|
|
10.9
|
|
|
0.0
|
|
|
B
|
||
Closed-end second lien
|
|
17
|
|
|
—
|
|
|
—
|
|
|
CCC
|
|
19
|
|
|
—
|
|
|
—
|
|
|
CCC
|
||
Total U.S. RMBS
|
|
1,526
|
|
|
24.1
|
|
|
37.4
|
|
|
A+
|
|
2,986
|
|
|
24.8
|
|
|
33.9
|
|
|
BBB
|
||
CMBS
|
|
530
|
|
|
44.8
|
|
|
52.6
|
|
|
AAA
|
|
1,952
|
|
|
35.3
|
|
|
43.6
|
|
|
AAA
|
||
Other
|
|
6,015
|
|
|
—
|
|
|
—
|
|
|
A
|
|
6,437
|
|
|
—
|
|
|
—
|
|
|
A
|
||
Total(2)
|
|
$
|
25,594
|
|
|
|
|
|
|
|
|
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.
|
(2)
|
The December 31, 2015 total amount includes
$3.5 billion
net par outstanding of credit derivatives acquired from Radian Asset.
|
|
|
As of December 31, 2015
|
|
As of December 31, 2014
|
||||||||||
Ratings
|
|
Net Par
Outstanding
|
|
% of Total
|
|
Net Par
Outstanding
|
|
% of Total
|
||||||
|
|
(dollars in millions)
|
||||||||||||
AAA
|
|
$
|
14,808
|
|
|
57.9
|
%
|
|
$
|
21,817
|
|
|
62.3
|
%
|
AA
|
|
4,821
|
|
|
18.8
|
|
|
5,398
|
|
|
15.4
|
|
||
A
|
|
2,144
|
|
|
8.4
|
|
|
1,982
|
|
|
5.7
|
|
||
BBB
|
|
2,212
|
|
|
8.6
|
|
|
2,774
|
|
|
8.0
|
|
||
BIG(1)
|
|
1,609
|
|
|
6.3
|
|
|
3,025
|
|
|
8.6
|
|
||
Credit derivative net par outstanding
|
|
$
|
25,594
|
|
|
100.0
|
%
|
|
$
|
34,996
|
|
|
100.0
|
%
|
(1)
|
The December 31, 2015 BIG amount includes
$125 million
net par outstanding of credit derivatives acquired from Radian Asset.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Realized gains on credit derivatives
|
$
|
63
|
|
|
$
|
73
|
|
|
$
|
121
|
|
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
|
(81
|
)
|
|
(50
|
)
|
|
(163
|
)
|
|||
Realized gains (losses) and other settlements on credit derivatives
|
(18
|
)
|
|
23
|
|
|
(42
|
)
|
|||
Net change in unrealized gains (losses) on credit derivatives:
|
|
|
|
|
|
||||||
Pooled corporate obligations
|
147
|
|
|
(18
|
)
|
|
(32
|
)
|
|||
U.S. RMBS
|
396
|
|
|
814
|
|
|
(69
|
)
|
|||
CMBS
|
42
|
|
|
2
|
|
|
—
|
|
|||
Other
|
161
|
|
|
2
|
|
|
208
|
|
|||
Net change in unrealized gains (losses) on credit derivatives
|
746
|
|
|
800
|
|
|
107
|
|
|||
Net change in fair value of credit derivatives
|
$
|
728
|
|
|
$
|
823
|
|
|
$
|
65
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Net par of terminated credit derivative contracts
|
$
|
2,777
|
|
|
$
|
3,591
|
|
|
$
|
4,054
|
|
Realized gains on credit derivatives
|
13
|
|
|
1
|
|
|
21
|
|
|||
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
|
116
|
|
|
26
|
|
|
—
|
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
|
As of
December 31, 2013 |
|||
Five-year CDS spread:
|
|
|
|
|
|
|||
AGC
|
376
|
|
|
323
|
|
|
460
|
|
AGM
|
366
|
|
|
325
|
|
|
525
|
|
|
|
|
|
|
|
|||
One-year CDS spread
|
|
|
|
|
|
|||
AGC
|
139
|
|
|
80
|
|
|
185
|
|
AGM
|
131
|
|
|
85
|
|
|
220
|
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
||||
|
(in millions)
|
||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads
|
$
|
(1,448
|
)
|
|
$
|
(2,029
|
)
|
Plus: Effect of AGC and AGM credit spreads
|
1,083
|
|
|
1,134
|
|
||
Net fair value of credit derivatives (1)
|
$
|
(365
|
)
|
|
$
|
(895
|
)
|
(1)
|
December 31, 2015 amount includes
$44 million
of net fair value loss of credit derivatives acquired from Radian Asset.
|
|
|
Fair Value of Credit Derivative
Asset (Liability), net
|
|
Expected Loss to be (Paid)
Recovered (1)
|
||||||||||||
Asset Type
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
||||||||
|
|
(in millions)
|
||||||||||||||
Pooled corporate obligations
|
|
$
|
(82
|
)
|
|
$
|
(49
|
)
|
|
$
|
(5
|
)
|
|
$
|
(23
|
)
|
U.S. RMBS
|
|
(98
|
)
|
|
(494
|
)
|
|
(38
|
)
|
|
(73
|
)
|
||||
CMBS
|
|
0
|
|
|
0
|
|
|
—
|
|
|
—
|
|
||||
Other
|
|
(185
|
)
|
|
(352
|
)
|
|
27
|
|
|
38
|
|
||||
Total
|
|
$
|
(365
|
)
|
|
$
|
(895
|
)
|
|
$
|
(16
|
)
|
|
$
|
(58
|
)
|
(1)
|
Includes R&W benefit of
$0.4 million
as of
December 31, 2015
and
$86 million
as of
December 31, 2014
.
|
•
|
For approximately
$3.6 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 an aggregate of more than
$575 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
$221 million
of such contracts, AGC 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
|
|
$
|
(742
|
)
|
|
$
|
(377
|
)
|
50% widening in spreads
|
|
(554
|
)
|
|
(189
|
)
|
||
25% widening in spreads
|
|
(460
|
)
|
|
(95
|
)
|
||
10% widening in spreads
|
|
(403
|
)
|
|
(38
|
)
|
||
Base Scenario
|
|
(365
|
)
|
|
—
|
|
||
10% narrowing in spreads
|
|
(330
|
)
|
|
35
|
|
||
25% narrowing in spreads
|
|
(277
|
)
|
|
88
|
|
||
50% narrowing in spreads
|
|
(190
|
)
|
|
175
|
|
(1)
|
Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread.
|
9.
|
Consolidated Variable Interest Entities
|
|
Year Ended December 31,
|
|||||||
|
2015
|
|
2014
|
|
2013
|
|||
|
|
|||||||
Beginning of the period, December 31
|
32
|
|
|
40
|
|
|
33
|
|
Radian Asset Acquisition
|
4
|
|
|
—
|
|
|
—
|
|
Consolidated(1)
|
1
|
|
|
2
|
|
|
11
|
|
Deconsolidated(1)
|
(1
|
)
|
|
(8
|
)
|
|
(3
|
)
|
Matured
|
(2
|
)
|
|
(2
|
)
|
|
(1
|
)
|
End of the period, December 31
|
34
|
|
|
32
|
|
|
40
|
|
(1)
|
Net loss on consolidation was
$26 million
in
2015
. Net gain on deconsolidation was
$120 million
and net loss on consolidation was
$26 million
in
2014
. Net loss on consolidation and deconsolidation was
$7 million
in
2013
.
|
|
As of December 31, 2015 (1)
|
|
As of December 31, 2014
|
||||||||||||
|
Assets
|
|
Liabilities
|
|
Assets
|
|
Liabilities
|
||||||||
|
(in millions)
|
||||||||||||||
With recourse:
|
|
|
|
|
|
|
|
|
|
|
|
||||
U.S. RMBS first lien
|
$
|
506
|
|
|
$
|
521
|
|
|
$
|
632
|
|
|
$
|
581
|
|
U.S. RMBS second lien
|
194
|
|
|
273
|
|
|
238
|
|
|
327
|
|
||||
Other
|
431
|
|
|
431
|
|
|
369
|
|
|
369
|
|
||||
Total with recourse
|
1,131
|
|
|
1,225
|
|
|
1,239
|
|
|
1,277
|
|
||||
Without recourse
|
130
|
|
|
124
|
|
|
163
|
|
|
142
|
|
||||
Total
|
$
|
1,261
|
|
|
$
|
1,349
|
|
|
$
|
1,402
|
|
|
$
|
1,419
|
|
(1)
|
The December 31, 2015 amounts include
$111 million
of FG VIE assets and
$107 million
of FG VIE liabilities acquired from Radian Asset.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Net earned premiums
|
$
|
(21
|
)
|
|
$
|
(32
|
)
|
|
$
|
(60
|
)
|
Net investment income
|
(32
|
)
|
|
(11
|
)
|
|
(13
|
)
|
|||
Net realized investment gains (losses)
|
10
|
|
|
(5
|
)
|
|
2
|
|
|||
Fair value gains (losses) on FG VIEs
|
38
|
|
|
255
|
|
|
346
|
|
|||
Loss and LAE
|
28
|
|
|
30
|
|
|
21
|
|
|||
Bargain purchase gain
|
2
|
|
|
—
|
|
|
—
|
|
|||
Other income (loss)
|
0
|
|
|
(2
|
)
|
|
—
|
|
|||
Effect on net income before tax
|
25
|
|
|
235
|
|
|
296
|
|
|||
Less: tax provision (benefit)
|
8
|
|
|
82
|
|
|
103
|
|
|||
Effect on net income (loss)
|
$
|
17
|
|
|
$
|
153
|
|
|
$
|
193
|
|
|
|
|
|
|
|
||||||
Effect on cash flows from operating activities
|
$
|
43
|
|
|
$
|
68
|
|
|
$
|
(136
|
)
|
|
As of
December 31, 2015 |
|
As of
December 31, 2014 |
||||
|
(in millions)
|
||||||
Effect on shareholders’ equity (decrease) increase
|
$
|
(23
|
)
|
|
$
|
(44
|
)
|
10.
|
Investments and Cash
|
•
|
guaranteed investment contracts, which are carried at amortized cost plus accrued interest,
|
•
|
preferred stocks, which are carried at fair value with changes in unrealized gains and losses recorded in OCI,
|
•
|
a
50%
equity investment acquired in a restructuring of an insured CDS carried at its proportionate share of the underlying entity's U.S. GAAP equity value.
|
•
|
a decline in the market value of a security by
20%
or more below amortized cost for a continuous period of at least
six months
;
|
•
|
a decline in the market value of a security for a continuous period of
12
months;
|
•
|
recent credit downgrades of the applicable security or the issuer by rating agencies;
|
•
|
the financial condition of the applicable issuer;
|
•
|
whether loss of investment principal is anticipated;
|
•
|
the impact of foreign exchange rates; and
|
•
|
whether scheduled interest payments are past due.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Income from fixed-maturity securities managed by third parties
|
$
|
335
|
|
|
$
|
324
|
|
|
$
|
322
|
|
Income from internally managed securities:
|
|
|
|
|
|
||||||
Fixed maturities
|
61
|
|
|
74
|
|
|
74
|
|
|||
Other
|
37
|
|
|
14
|
|
|
5
|
|
|||
Gross investment income
|
433
|
|
|
412
|
|
|
401
|
|
|||
Investment expenses
|
(10
|
)
|
|
(9
|
)
|
|
(8
|
)
|
|||
Net investment income
|
$
|
423
|
|
|
$
|
403
|
|
|
$
|
393
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Gross realized gains on available-for-sale securities
|
$
|
44
|
|
|
$
|
14
|
|
|
$
|
73
|
|
Gross realized gains on other assets in investment portfolio
|
2
|
|
|
8
|
|
|
40
|
|
|||
Gross realized losses on available-for-sale securities
|
(15
|
)
|
|
(5
|
)
|
|
(12
|
)
|
|||
Gross realized losses on other assets in investment portfolio
|
(10
|
)
|
|
(2
|
)
|
|
(7
|
)
|
|||
Other-than-temporary impairment
|
(47
|
)
|
|
(75
|
)
|
|
(42
|
)
|
|||
Net realized investment gains (losses)
|
$
|
(26
|
)
|
|
$
|
(60
|
)
|
|
$
|
52
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Balance, beginning of period
|
$
|
124
|
|
|
$
|
80
|
|
|
$
|
64
|
|
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized
|
3
|
|
|
64
|
|
|
18
|
|
|||
Eliminations of securities issued by FG VIEs
|
—
|
|
|
(15
|
)
|
|
—
|
|
|||
Reductions for securities sold and other settlement during the period
|
(28
|
)
|
|
(12
|
)
|
|
(21
|
)
|
|||
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized
|
9
|
|
|
7
|
|
|
19
|
|
|||
Balance, end of period
|
$
|
108
|
|
|
$
|
124
|
|
|
$
|
80
|
|
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
|
%
|
|
$
|
5,528
|
|
|
$
|
323
|
|
|
$
|
(10
|
)
|
|
$
|
5,841
|
|
|
$
|
5
|
|
|
AA
|
U.S. government and agencies
|
|
3
|
|
|
377
|
|
|
23
|
|
|
0
|
|
|
400
|
|
|
—
|
|
|
AA+
|
|||||
Corporate securities
|
|
14
|
|
|
1,505
|
|
|
38
|
|
|
(23
|
)
|
|
1,520
|
|
|
(13
|
)
|
|
A-
|
|||||
Mortgage-backed securities(4):
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
RMBS
|
|
11
|
|
|
1,238
|
|
|
29
|
|
|
(22
|
)
|
|
1,245
|
|
|
(7
|
)
|
|
A
|
|||||
CMBS
|
|
5
|
|
|
506
|
|
|
9
|
|
|
(2
|
)
|
|
513
|
|
|
—
|
|
|
AAA
|
|||||
Asset-backed securities
|
|
8
|
|
|
831
|
|
|
4
|
|
|
(10
|
)
|
|
825
|
|
|
(6
|
)
|
|
B+
|
|||||
Foreign government securities
|
|
3
|
|
|
290
|
|
|
4
|
|
|
(11
|
)
|
|
283
|
|
|
—
|
|
|
AA+
|
|||||
Total fixed-maturity securities
|
|
96
|
|
|
10,275
|
|
|
430
|
|
|
(78
|
)
|
|
10,627
|
|
|
(21
|
)
|
|
A+
|
|||||
Short-term investments
|
|
4
|
|
|
396
|
|
|
0
|
|
|
0
|
|
|
396
|
|
|
—
|
|
|
AA-
|
|||||
Total investment portfolio
|
|
100
|
%
|
|
$
|
10,671
|
|
|
$
|
430
|
|
|
$
|
(78
|
)
|
|
$
|
11,023
|
|
|
$
|
(21
|
)
|
|
A+
|
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 20, Other Comprehensive Income.
|
(3)
|
Ratings in the tables above represent the lower of the Moody’s and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company’s portfolio consists primarily of high-quality, liquid instruments.
|
(4)
|
Government-agency obligations were approximately
54%
of mortgage backed securities as of
December 31, 2015
and
44%
as of
December 31, 2014
based on fair value.
|
State
|
|
State
General
Obligation
|
|
Local
General
Obligation
|
|
Revenue Bonds
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Average
Credit
Rating
|
||||||||||
|
|
(in millions)
|
||||||||||||||||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
New York
|
|
$
|
13
|
|
|
$
|
59
|
|
|
$
|
571
|
|
|
$
|
643
|
|
|
$
|
610
|
|
|
AA
|
Texas
|
|
28
|
|
|
224
|
|
|
325
|
|
|
577
|
|
|
542
|
|
|
AA
|
|||||
California
|
|
78
|
|
|
66
|
|
|
411
|
|
|
555
|
|
|
521
|
|
|
A+
|
|||||
Washington
|
|
59
|
|
|
79
|
|
|
200
|
|
|
338
|
|
|
323
|
|
|
AA
|
|||||
Florida
|
|
17
|
|
|
—
|
|
|
268
|
|
|
285
|
|
|
266
|
|
|
AA-
|
|||||
Illinois
|
|
47
|
|
|
69
|
|
|
128
|
|
|
244
|
|
|
234
|
|
|
A
|
|||||
Massachusetts
|
|
75
|
|
|
—
|
|
|
148
|
|
|
223
|
|
|
207
|
|
|
AA
|
|||||
Arizona
|
|
—
|
|
|
10
|
|
|
181
|
|
|
191
|
|
|
181
|
|
|
AA
|
|||||
Pennsylvania
|
|
48
|
|
|
26
|
|
|
47
|
|
|
121
|
|
|
115
|
|
|
A
|
|||||
Ohio
|
|
17
|
|
|
14
|
|
|
83
|
|
|
114
|
|
|
106
|
|
|
AA
|
|||||
All others
|
|
156
|
|
|
168
|
|
|
1,148
|
|
|
1,472
|
|
|
1,396
|
|
|
AA-
|
|||||
Subtotal
|
|
538
|
|
|
715
|
|
|
3,510
|
|
|
4,763
|
|
|
4,501
|
|
|
AA-
|
|||||
Short-term investments (2)
|
|
—
|
|
|
—
|
|
|
60
|
|
|
60
|
|
|
60
|
|
|
CC
|
|||||
Total
|
|
$
|
538
|
|
|
$
|
715
|
|
|
$
|
3,570
|
|
|
$
|
4,823
|
|
|
$
|
4,561
|
|
|
AA-
|
State
|
|
State
General
Obligation
|
|
Local
General
Obligation
|
|
Revenue Bonds
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Average
Credit
Rating
|
||||||||||
|
|
(in millions)
|
||||||||||||||||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Texas
|
|
$
|
60
|
|
|
$
|
293
|
|
|
$
|
305
|
|
|
$
|
658
|
|
|
$
|
613
|
|
|
AA
|
New York
|
|
13
|
|
|
41
|
|
|
551
|
|
|
605
|
|
|
571
|
|
|
AA
|
|||||
California
|
|
45
|
|
|
70
|
|
|
377
|
|
|
492
|
|
|
449
|
|
|
A+
|
|||||
Florida
|
|
47
|
|
|
34
|
|
|
256
|
|
|
337
|
|
|
311
|
|
|
AA-
|
|||||
Illinois
|
|
20
|
|
|
99
|
|
|
177
|
|
|
296
|
|
|
275
|
|
|
A+
|
|||||
Washington
|
|
67
|
|
|
48
|
|
|
163
|
|
|
278
|
|
|
262
|
|
|
AA
|
|||||
Massachusetts
|
|
46
|
|
|
8
|
|
|
169
|
|
|
223
|
|
|
204
|
|
|
AA
|
|||||
Arizona
|
|
—
|
|
|
7
|
|
|
170
|
|
|
177
|
|
|
165
|
|
|
AA
|
|||||
Michigan
|
|
—
|
|
|
—
|
|
|
132
|
|
|
132
|
|
|
122
|
|
|
AA-
|
|||||
Ohio
|
|
6
|
|
|
40
|
|
|
82
|
|
|
128
|
|
|
119
|
|
|
AA
|
|||||
All others
|
|
276
|
|
|
251
|
|
|
1,096
|
|
|
1,623
|
|
|
1,528
|
|
|
AA-
|
|||||
Total
|
|
$
|
580
|
|
|
$
|
891
|
|
|
$
|
3,478
|
|
|
$
|
4,949
|
|
|
$
|
4,619
|
|
|
AA-
|
(1)
|
Excludes $
1,078 million
and $
846 million
as of
December 31, 2015
and
2014
, respectively, of pre-refunded bonds, at fair value. The credit ratings are based on the underlying ratings and do not include any benefit from bond insurance.
|
|
|
As of December 31, 2015
|
|
As of December 31, 2014
|
||||||||||||
Type
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
||||||||
|
|
(in millions)
|
||||||||||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
||||||||
Transportation
|
|
$
|
867
|
|
|
$
|
815
|
|
|
$
|
796
|
|
|
$
|
733
|
|
Water and sewer
|
|
612
|
|
|
576
|
|
|
563
|
|
|
527
|
|
||||
Tax backed
|
|
610
|
|
|
576
|
|
|
551
|
|
|
514
|
|
||||
Higher education
|
|
518
|
|
|
487
|
|
|
527
|
|
|
492
|
|
||||
Municipal utilities
|
|
414
|
|
|
393
|
|
|
512
|
|
|
479
|
|
||||
Healthcare
|
|
344
|
|
|
321
|
|
|
346
|
|
|
317
|
|
||||
All others
|
|
145
|
|
|
141
|
|
|
183
|
|
|
173
|
|
||||
Subtotal
|
|
3,510
|
|
|
3,309
|
|
|
3,478
|
|
|
3,235
|
|
||||
Short-term investments (1)
|
|
60
|
|
|
60
|
|
|
—
|
|
|
—
|
|
||||
Total
|
|
$
|
3,570
|
|
|
$
|
3,369
|
|
|
$
|
3,478
|
|
|
$
|
3,235
|
|
|
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
|
$
|
316
|
|
|
$
|
(10
|
)
|
|
$
|
7
|
|
|
$
|
0
|
|
|
$
|
323
|
|
|
$
|
(10
|
)
|
U.S. government and agencies
|
77
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
77
|
|
|
0
|
|
||||||
Corporate securities
|
381
|
|
|
(8
|
)
|
|
95
|
|
|
(15
|
)
|
|
476
|
|
|
(23
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
RMBS
|
438
|
|
|
(8
|
)
|
|
90
|
|
|
(14
|
)
|
|
528
|
|
|
(22
|
)
|
||||||
CMBS
|
140
|
|
|
(2
|
)
|
|
2
|
|
|
0
|
|
|
142
|
|
|
(2
|
)
|
||||||
Asset-backed securities
|
517
|
|
|
(10
|
)
|
|
—
|
|
|
—
|
|
|
517
|
|
|
(10
|
)
|
||||||
Foreign government securities
|
97
|
|
|
(4
|
)
|
|
82
|
|
|
(7
|
)
|
|
179
|
|
|
(11
|
)
|
||||||
Total
|
$
|
1,966
|
|
|
$
|
(42
|
)
|
|
$
|
276
|
|
|
$
|
(36
|
)
|
|
$
|
2,242
|
|
|
$
|
(78
|
)
|
Number of securities(1)
|
|
|
|
335
|
|
|
|
|
|
71
|
|
|
|
|
|
396
|
|
||||||
Number of securities with other-than-temporary impairment
|
|
|
|
9
|
|
|
|
|
|
4
|
|
|
|
|
|
13
|
|
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
||||||||||||||||||
|
Fair
Value
|
|
Unrealized
Loss
|
|
Fair
Value
|
|
Unrealized
Loss
|
|
Fair
Value
|
|
Unrealized
Loss
|
||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Obligations of state and political subdivisions
|
$
|
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
|
$
|
234
|
|
|
$
|
233
|
|
Due after one year through five years
|
1,911
|
|
|
1,965
|
|
||
Due after five years through 10 years
|
2,169
|
|
|
2,257
|
|
||
Due after 10 years
|
4,217
|
|
|
4,414
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,238
|
|
|
1,245
|
|
||
CMBS
|
506
|
|
|
513
|
|
||
Total
|
$
|
10,275
|
|
|
$
|
10,627
|
|
|
As of December 31,
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Assets purchased for loss mitigation and other risk management purposes:
|
|
|
|
||||
Fixed-maturity securities, at fair value
|
$
|
1,266
|
|
|
$
|
835
|
|
Other invested assets
|
114
|
|
|
46
|
|
||
Other
|
55
|
|
|
79
|
|
||
Total
|
$
|
1,435
|
|
|
$
|
960
|
|
11.
|
Insurance Company Regulatory Requirements
|
•
|
upfront premiums are earned when related principal and interest have expired rather than earned over the expected period of coverage;
|
•
|
acquisition costs are charged to expense as incurred rather than over the period that related premiums are earned;
|
•
|
a contingency reserve is computed based on statutory requirements, whereas no such reserve is required under GAAP;
|
•
|
certain assets designated as “non-admitted assets” are charged directly to statutory surplus, rather than reflected as assets under GAAP;
|
•
|
investments in subsidiaries are carried on the balance sheet on the equity basis, to the extent admissible, rather than consolidated with the parent;
|
•
|
the amount of deferred tax assets that may be admitted is subject to an adjusted surplus threshold and is generally limited to the lesser of those assets the Company expects to realize within
three years
of the balance sheet date or
fifteen percent
of the Company's adjusted surplus. This realization period and surplus percentage is subject to change based on the amount of adjusted surplus. Under GAAP there is no non-admitted asset determination, rather a valuation allowance is recorded to reduce the deferred tax asset to an amount that is more likely than not to be realized;
|
•
|
insured credit derivatives are accounted for as insurance contracts rather than as derivative contracts measured at fair value;
|
•
|
bonds are generally carried at amortized cost rather than fair value;
|
•
|
VIEs and refinancing vehicles are not consolidated;
|
•
|
surplus notes are recognized as surplus and each payment of principal and interest is recorded only upon approval of the insurance regulator rather than liabilities with periodic accrual of interest;
|
•
|
push-down acquisition accounting is not applicable under statutory accounting practices, as it is under GAAP;
|
•
|
expected losses are discounted at a rate of
4.0%
or
5.0%
, recorded when the loss is deemed probable and without consideration of the deferred premium revenue rather than discounted at the risk free rate at the end of each reporting period and only to the extent they exceed deferred premium revenue;
|
•
|
the present value of installment premiums and commissions are not recorded on the balance sheet as they are under GAAP;
|
•
|
mergers of acquired companies are treated as statutory mergers at historical balances and financial statements are retroactively revised assuming the merger occurred at the beginning of the prior year, rather than prospectively beginning with the date of acquisition at fair value under GAAP.
|
•
|
acquisition costs on upfront premiums are charged to operations as incurred, rather than over the period that related premiums are earned;
|
•
|
certain assets designated as “non-admitted assets” are charged directly to statutory surplus rather than reflected as assets under GAAP;
|
•
|
insured credit derivatives are accounted for as insurance contracts (except that loss reserves on insured credit derivatives are not net of unearned premium reserve), rather than as derivative contracts measured at fair value;
|
•
|
Loss reserves on non derivative contracts are net of unearned premium, which is offset by deferred acquisition costs, rather than only unearned premium. Loss reserves include a statutory reserve which includes a discount safety margin and statutory catastrophe reserve.
|
|
Policyholders' Surplus
|
|
Net Income (Loss)
|
||||||||||||||||
|
As of December 31,
|
|
Year Ended December 31,
|
||||||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
|
2013
|
||||||||||
|
(in millions)
|
||||||||||||||||||
U.S. statutory companies:
|
|
|
|
|
|
|
|
|
|
||||||||||
AGM(1)
|
$
|
2,441
|
|
|
$
|
2,267
|
|
|
$
|
217
|
|
|
$
|
304
|
|
|
$
|
340
|
|
MAC
|
730
|
|
|
612
|
|
|
102
|
|
|
75
|
|
|
26
|
|
|||||
AGC(1)(2)
|
1,365
|
|
|
1,086
|
|
|
(92
|
)
|
|
116
|
|
|
211
|
|
|||||
Bermuda statutory company:
|
|
|
|
|
|
|
|
|
|
||||||||||
AG Re
|
1,018
|
|
|
1,114
|
|
|
85
|
|
|
28
|
|
|
103
|
|
(1)
|
Policyholders' surplus of AGM and AGC include their indirect share of MAC. AGM and AGC own approximately
61%
and
39%
, respectively, of the outstanding stock of Municipal Assurance Holdings Inc. ("MAC Holdings"), which owns
100%
of the outstanding common stock of MAC.
|
(2)
|
As indicated in Note 2, Acquisition of Radian Asset Assurance Inc., AGC completed the acquisition of Radian Asset on April 1, 2015. Radian Asset was merged with and into AGC, with AGC as the surviving company of the merger. The impact to AGC's policyholders' surplus was approximately
$333 million
, on a statutory basis, as of April 1, 2015.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Dividends paid by AGC to AGUS
|
$
|
90
|
|
|
$
|
69
|
|
|
$
|
67
|
|
Dividends paid by AGM to AGMH
|
215
|
|
|
160
|
|
|
163
|
|
|||
Dividends paid by AG Re to AGL
|
150
|
|
|
82
|
|
|
144
|
|
|||
Repayment of surplus note by AGM to AGMH
|
25
|
|
|
50
|
|
|
50
|
|
|||
Issuance of surplus notes by MAC to MAC Holdings
|
—
|
|
|
—
|
|
|
(300
|
)
|
|||
Issuance of surplus notes by MAC to AGM
|
—
|
|
|
—
|
|
|
(100
|
)
|
12.
|
Income Taxes
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions
|
$
|
443
|
|
|
$
|
490
|
|
|
$
|
390
|
|
Tax-exempt interest
|
(54
|
)
|
|
(53
|
)
|
|
(57
|
)
|
|||
Gain on bargain purchase
|
(19
|
)
|
|
—
|
|
|
—
|
|
|||
Change in liability for uncertain tax positions
|
12
|
|
|
9
|
|
|
(2
|
)
|
|||
Other
|
(7
|
)
|
|
(3
|
)
|
|
3
|
|
|||
Total provision (benefit) for income taxes
|
$
|
375
|
|
|
$
|
443
|
|
|
$
|
334
|
|
Effective tax rate
|
26.2
|
%
|
|
28.9
|
%
|
|
29.2
|
%
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
United States
|
$
|
1,853
|
|
|
$
|
1,633
|
|
|
$
|
1,389
|
|
Bermuda
|
361
|
|
|
365
|
|
|
219
|
|
|||
U.K.
|
(7
|
)
|
|
(4
|
)
|
|
0
|
|
|||
Total
|
$
|
2,207
|
|
|
$
|
1,994
|
|
|
$
|
1,608
|
|
|
As of December 31,
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Deferred tax assets:
|
|
|
|
||||
Unrealized losses on credit derivative financial instruments, net
|
$
|
33
|
|
|
$
|
224
|
|
Unearned premium reserves, net
|
254
|
|
|
55
|
|
||
Loss and LAE reserve
|
64
|
|
|
66
|
|
||
Tax and loss bonds
|
39
|
|
|
39
|
|
||
Alternative minimum tax credit
|
55
|
|
|
57
|
|
||
Foreign tax credit
|
11
|
|
|
—
|
|
||
FG VIEs
|
—
|
|
|
13
|
|
||
DAC
|
27
|
|
|
35
|
|
||
Investment basis difference
|
86
|
|
|
104
|
|
||
Deferred compensation
|
41
|
|
|
38
|
|
||
Other
|
17
|
|
|
19
|
|
||
Total deferred income tax assets
|
627
|
|
|
650
|
|
||
Deferred tax liabilities:
|
|
|
|
||||
Contingency reserves
|
64
|
|
|
64
|
|
||
Public debt
|
94
|
|
|
96
|
|
||
Unrealized appreciation on investments
|
108
|
|
|
159
|
|
||
Unrealized gains on CCS
|
22
|
|
|
22
|
|
||
Market discount
|
21
|
|
|
28
|
|
||
FG VIEs
|
13
|
|
|
—
|
|
||
Other
|
18
|
|
|
21
|
|
||
Total deferred income tax liabilities
|
340
|
|
|
390
|
|
||
Less: Valuation allowance
|
11
|
|
|
—
|
|
||
Net deferred income tax asset
|
$
|
276
|
|
|
$
|
260
|
|
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Balance as of January 1,
|
$
|
28
|
|
|
$
|
20
|
|
|
$
|
22
|
|
True-up from tax return filings
|
10
|
|
|
6
|
|
|
4
|
|
|||
Increase in unrecognized tax benefits as a result of position taken during the current period
|
2
|
|
|
2
|
|
|
3
|
|
|||
Decrease due to closing of IRS audit
|
—
|
|
|
—
|
|
|
(9
|
)
|
|||
Balance as of December 31,
|
$
|
40
|
|
|
$
|
28
|
|
|
$
|
20
|
|
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.
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Increase (decrease) in net unearned premium reserve
|
$
|
23
|
|
|
$
|
20
|
|
|
$
|
11
|
|
Increase (decrease) in net par outstanding
|
855
|
|
|
1,167
|
|
|
151
|
|
|||
Commutation gains recorded in other income
|
28
|
|
|
23
|
|
|
2
|
|
|
Year Ended December 31,
|
|||||||||
|
2015
|
|
2014
|
|
2013
|
|||||
|
(in millions)
|
|||||||||
Premiums Written:
|
|
|
|
|
|
|||||
Direct
|
$
|
164
|
|
|
$
|
116
|
|
|
106
|
|
Assumed(1)
|
17
|
|
|
(12
|
)
|
|
17
|
|
||
Ceded(2)
|
10
|
|
|
15
|
|
|
2
|
|
||
Net
|
$
|
191
|
|
|
$
|
119
|
|
|
125
|
|
Premiums Earned:
|
|
|
|
|
|
|||||
Direct
|
$
|
792
|
|
|
$
|
581
|
|
|
819
|
|
Assumed
|
40
|
|
|
47
|
|
|
40
|
|
||
Ceded
|
(66
|
)
|
|
(58
|
)
|
|
(107
|
)
|
||
Net
|
$
|
766
|
|
|
$
|
570
|
|
|
752
|
|
Loss and LAE:
|
|
|
|
|
|
|||||
Direct
|
$
|
399
|
|
|
$
|
132
|
|
|
110
|
|
Assumed
|
45
|
|
|
37
|
|
|
73
|
|
||
Ceded
|
(20
|
)
|
|
(43
|
)
|
|
(29
|
)
|
||
Net
|
$
|
424
|
|
|
$
|
126
|
|
|
154
|
|
(1)
|
Negative assumed premiums written were due to changes in expected Debt Service schedules.
|
(2)
|
Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules.
|
|
|
Ratings at
|
|
Par Outstanding (1)
|
||||||||||||
|
|
February 24, 2016
|
|
As of December 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) (2)
|
|
WR (3)
|
|
WR
|
|
$
|
5,227
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) (2)
|
|
Aa3 (4)
|
|
A+ (4)
|
|
4,216
|
|
|
—
|
|
|
—
|
|
|||
Syncora Guarantee Inc. (2)
|
|
WR
|
|
WR
|
|
2,451
|
|
|
1,244
|
|
|
727
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd. (2)
|
|
A1
|
|
A+ (4)
|
|
1,818
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
714
|
|
|
20
|
|
|
—
|
|
|||
Ambac
|
|
WR
|
|
WR
|
|
117
|
|
|
3,889
|
|
|
10,388
|
|
|||
National (6)
|
|
A3
|
|
AA-
|
|
—
|
|
|
5,299
|
|
|
5,100
|
|
|||
MBIA
|
|
(7)
|
|
(7)
|
|
—
|
|
|
1,802
|
|
|
440
|
|
|||
FGIC
|
|
(8)
|
|
(8)
|
|
—
|
|
|
1,424
|
|
|
652
|
|
|||
Ambac Assurance Corp. Segregated Account
|
|
NR
|
|
NR
|
|
—
|
|
|
91
|
|
|
873
|
|
|||
CIFG Assurance North America Inc. ("CIFG")
|
|
WR
|
|
WR
|
|
—
|
|
|
43
|
|
|
2,996
|
|
|||
Other (2)
|
|
Various
|
|
Various
|
|
78
|
|
|
796
|
|
|
133
|
|
|||
Total
|
|
|
|
|
|
$
|
14,621
|
|
|
$
|
14,608
|
|
|
$
|
21,339
|
|
(1)
|
Includes par related to insured credit derivatives.
|
(2)
|
The total collateral posted by all non-affiliated reinsurers required or agreeing to post collateral as of
December 31, 2015
, is approximately
$470 million
.
|
(6)
|
National is rated AA+ by KBRA.
|
(7)
|
MBIA includes subsidiaries MBIA Insurance Corp. rated B by S&P and B3 by Moody's and MBIA U.K. Insurance Ltd. rated BB by S&P and Ba2 by Moody’s.
|
(8)
|
FGIC includes subsidiaries Financial Guaranty Insurance Company and FGIC UK Limited both of which had their ratings withdrawn by rating agencies.
|
|
|
Internal Credit Rating
|
|||||||||||||||||||||||
Reinsurer
|
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
Total
|
||||||||||||
|
|
(in millions)
|
|||||||||||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
|
$
|
403
|
|
|
$
|
1,809
|
|
|
$
|
1,607
|
|
|
$
|
1,087
|
|
|
$
|
321
|
|
|
$
|
5,227
|
|
|
Tokio
|
|
564
|
|
|
529
|
|
|
1,131
|
|
|
1,365
|
|
|
627
|
|
|
4,216
|
|
|||||||
Syncora Guarantee Inc.
|
|
—
|
|
|
132
|
|
|
430
|
|
|
1,766
|
|
|
123
|
|
|
2,451
|
|
|||||||
Mitsui Sumitomo Insurance Co. Ltd.
|
|
131
|
|
|
552
|
|
|
590
|
|
|
372
|
|
|
173
|
|
|
1,818
|
|
|||||||
ACA Financial Guaranty Corp
|
|
—
|
|
|
449
|
|
|
246
|
|
|
19
|
|
|
—
|
|
|
714
|
|
|||||||
Ambac
|
|
—
|
|
|
—
|
|
|
117
|
|
|
—
|
|
|
—
|
|
|
117
|
|
|||||||
Other
|
|
49
|
|
|
0
|
|
|
1
|
|
|
28
|
|
|
—
|
|
|
78
|
|
|||||||
Total
|
|
$
|
1,147
|
|
|
$
|
3,471
|
|
|
$
|
4,122
|
|
|
$
|
4,637
|
|
|
$
|
1,244
|
|
|
$
|
14,621
|
|
|
Public Finance
|
|
Structured Finance
|
||||||||||||||||||||||||||||||||||||||||
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
Total
|
||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||
Syncora Guarantee Inc.
|
$
|
—
|
|
|
$
|
71
|
|
|
$
|
176
|
|
|
$
|
624
|
|
|
$
|
329
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
44
|
|
|
$
|
1,244
|
|
ACA Financial Guaranty Corp.
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
19
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
20
|
|
|||||||||||
Ambac
|
10
|
|
|
1,024
|
|
|
1,517
|
|
|
1,085
|
|
|
49
|
|
|
1
|
|
|
—
|
|
|
58
|
|
|
137
|
|
|
8
|
|
|
3,889
|
|
|||||||||||
National
|
71
|
|
|
1,649
|
|
|
3,555
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
24
|
|
|
—
|
|
|
—
|
|
|
5,299
|
|
|||||||||||
MBIA
|
—
|
|
|
65
|
|
|
254
|
|
|
240
|
|
|
—
|
|
|
—
|
|
|
886
|
|
|
16
|
|
|
234
|
|
|
107
|
|
|
1,802
|
|
|||||||||||
FGIC
|
—
|
|
|
31
|
|
|
749
|
|
|
251
|
|
|
201
|
|
|
149
|
|
|
—
|
|
|
8
|
|
|
—
|
|
|
35
|
|
|
1,424
|
|
|||||||||||
Ambac Assurance Corp. Segregated Account
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
24
|
|
|
—
|
|
|
—
|
|
|
67
|
|
|
91
|
|
|||||||||||
CIFG
|
—
|
|
|
—
|
|
|
—
|
|
|
22
|
|
|
21
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
43
|
|
|||||||||||
Other
|
—
|
|
|
796
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
796
|
|
|||||||||||
Total
|
$
|
81
|
|
|
$
|
3,636
|
|
|
$
|
6,251
|
|
|
$
|
2,223
|
|
|
$
|
619
|
|
|
$
|
150
|
|
|
$
|
910
|
|
|
$
|
106
|
|
|
$
|
371
|
|
|
$
|
261
|
|
|
$
|
14,608
|
|
(1)
|
Assured Guaranty’s internal rating.
|
|
Assumed
Premium, net
of Commissions
|
|
Ceded
Premium, net
of Commissions
|
|
Assumed
Expected Loss to be Paid |
|
Ceded
Expected Loss to be Paid |
||||||||
|
(in millions)
|
||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re)
|
$
|
—
|
|
|
$
|
(7
|
)
|
|
$
|
—
|
|
|
$
|
24
|
|
Tokio
|
—
|
|
|
(12
|
)
|
|
—
|
|
|
43
|
|
||||
Syncora Guarantee Inc.
|
15
|
|
|
(22
|
)
|
|
—
|
|
|
5
|
|
||||
Mitsui Sumitomo Insurance Co. Ltd.
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
17
|
|
||||
Ambac
|
41
|
|
|
—
|
|
|
(5
|
)
|
|
—
|
|
||||
National
|
6
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
||||
MBIA
|
5
|
|
|
—
|
|
|
(11
|
)
|
|
—
|
|
||||
FGIC
|
4
|
|
|
—
|
|
|
(14
|
)
|
|
—
|
|
||||
Ambac Assurance Corp. Segregated Account
|
11
|
|
|
—
|
|
|
(67
|
)
|
|
—
|
|
||||
CIFG
|
0
|
|
|
—
|
|
|
(62
|
)
|
|
—
|
|
||||
Other
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
||||
Total
|
$
|
82
|
|
|
$
|
(47
|
)
|
|
$
|
(163
|
)
|
|
$
|
89
|
|
14.
|
Related Party Transactions
|
15.
|
Commitments and Contingencies
|
Year
|
|
(in millions)
|
||
2016
|
$
|
4
|
|
|
2017
|
6
|
|
||
2018
|
7
|
|
||
2019
|
8
|
|
||
2020
|
8
|
|
||
Thereafter
|
84
|
|
||
Total
|
$
|
117
|
|
16.
|
Long-Term Debt and Credit Facilities
|
|
As of December 31, 2015
|
|
As of December 31, 2014
|
||||||||||||
|
Principal
|
|
Carrying
Value
|
|
Principal
|
|
Carrying
Value
|
||||||||
|
(in millions)
|
||||||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
7.0% Senior Notes
|
$
|
200
|
|
|
$
|
197
|
|
|
$
|
200
|
|
|
$
|
196
|
|
5.0% Senior Notes
|
500
|
|
|
495
|
|
|
500
|
|
|
495
|
|
||||
Series A Enhanced Junior Subordinated Debentures
|
150
|
|
|
150
|
|
|
150
|
|
|
150
|
|
||||
Total AGUS
|
850
|
|
|
842
|
|
|
850
|
|
|
841
|
|
||||
AGMH:
|
|
|
|
|
|
|
|
|
|
|
|
||||
6
7
/
8
% QUIBS
|
100
|
|
|
69
|
|
|
100
|
|
|
68
|
|
||||
6.25% Notes
|
230
|
|
|
140
|
|
|
230
|
|
|
139
|
|
||||
5.60% Notes
|
100
|
|
|
56
|
|
|
100
|
|
|
55
|
|
||||
Junior Subordinated Debentures
|
300
|
|
|
180
|
|
|
300
|
|
|
175
|
|
||||
Total AGMH
|
730
|
|
|
445
|
|
|
730
|
|
|
437
|
|
||||
AGM:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Notes Payable
|
12
|
|
|
13
|
|
|
16
|
|
|
19
|
|
||||
Total AGM
|
12
|
|
|
13
|
|
|
16
|
|
|
19
|
|
||||
Total
|
$
|
1,592
|
|
|
$
|
1,300
|
|
|
$
|
1,596
|
|
|
$
|
1,297
|
|
Expected Withdrawal Date
|
|
AGUS
|
|
AGMH
|
|
AGM
|
|
Total
|
||||||||
|
|
(in millions)
|
||||||||||||||
2016
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4
|
|
|
$
|
4
|
|
2017
|
|
—
|
|
|
—
|
|
|
4
|
|
|
4
|
|
||||
2018
|
|
—
|
|
|
—
|
|
|
2
|
|
|
2
|
|
||||
2019
|
|
—
|
|
|
—
|
|
|
1
|
|
|
1
|
|
||||
2020
|
|
—
|
|
|
—
|
|
|
0
|
|
|
0
|
|
||||
2021-2040
|
|
700
|
|
|
—
|
|
|
1
|
|
|
701
|
|
||||
2041-2060
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
2061-2080
|
|
150
|
|
|
300
|
|
|
—
|
|
|
450
|
|
||||
Thereafter
|
|
—
|
|
|
430
|
|
|
—
|
|
|
430
|
|
||||
Total
|
|
$
|
850
|
|
|
$
|
730
|
|
|
$
|
12
|
|
|
$
|
1,592
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|||
7.0% Senior Notes
|
$
|
13
|
|
|
$
|
13
|
|
|
$
|
13
|
|
5.0% Senior Notes
|
26
|
|
|
13
|
|
|
—
|
|
|||
Series A Enhanced Junior Subordinated Debentures
|
10
|
|
|
10
|
|
|
10
|
|
|||
Total AGUS
|
49
|
|
|
36
|
|
|
23
|
|
|||
AGMH:
|
|
|
|
|
|
|
|
|
|||
6
7
/
8
% QUIBS
|
7
|
|
|
7
|
|
|
7
|
|
|||
6.25% Notes
|
16
|
|
|
16
|
|
|
16
|
|
|||
5.60% Notes
|
6
|
|
|
6
|
|
|
6
|
|
|||
Junior Subordinated Debentures
|
25
|
|
|
25
|
|
|
25
|
|
|||
Total AGMH
|
54
|
|
|
54
|
|
|
54
|
|
|||
AGM:
|
|
|
|
|
|
|
|
|
|||
Notes Payable
|
(2
|
)
|
|
2
|
|
|
5
|
|
|||
Total AGM
|
(2
|
)
|
|
2
|
|
|
5
|
|
|||
Total
|
$
|
101
|
|
|
$
|
92
|
|
|
$
|
82
|
|
•
|
a maximum debt-to-capital ratio of
30%
; and
|
•
|
a minimum net worth of
75%
of consolidated net worth as of July 1, 2009, plus, beginning June 30, 2015 and on each anniversary of such date, an amount equal to the product of (i)
25%
of the aggregate consolidated net income (or loss) for the period beginning July 2, 2009 and ending on June 30, 2014 and (ii) a fraction, the numerator of which is the commitment amount as of the relevant calculation date and the denominator of which is $
1 billion
.
|
17.
|
Earnings Per Share
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions, except per share amounts)
|
||||||||||
Basic EPS:
|
|
|
|
|
|
||||||
Net income (loss) attributable to AGL
|
$
|
1,056
|
|
|
$
|
1,088
|
|
|
808
|
|
|
Less: Distributed and undistributed income (loss) available to nonvested shareholders
|
1
|
|
|
0
|
|
|
1
|
|
|||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
$
|
1,055
|
|
|
$
|
1,088
|
|
|
807
|
|
|
Basic shares
|
148.1
|
|
|
172.6
|
|
|
186.6
|
|
|||
Basic EPS
|
$
|
7.12
|
|
|
$
|
6.30
|
|
|
$
|
4.32
|
|
|
|
|
|
|
|
||||||
Diluted EPS:
|
|
|
|
|
|
||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
$
|
1,055
|
|
|
$
|
1,088
|
|
|
$
|
807
|
|
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries
|
0
|
|
|
0
|
|
|
0
|
|
|||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted
|
$
|
1,055
|
|
|
$
|
1,088
|
|
|
$
|
807
|
|
|
|
|
|
|
|
||||||
Basic shares
|
148.1
|
|
|
172.6
|
|
|
186.6
|
|
|||
Dilutive securities
|
0.9
|
|
|
1.0
|
|
|
1.0
|
|
|||
Diluted shares
|
149.0
|
|
|
173.6
|
|
|
187.6
|
|
|||
Diluted EPS
|
$
|
7.08
|
|
|
$
|
6.26
|
|
|
$
|
4.30
|
|
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect
|
0.5
|
|
|
1.6
|
|
|
2.7
|
|
18.
|
Shareholders' Equity
|
Year
|
|
Number of Shares Repurchased
|
|
Total Payments
(in millions)
|
|
Average Price Paid Per Share
|
|||||
2013
|
|
12,512,759
|
|
|
$
|
264
|
|
|
$
|
21.12
|
|
2014
|
|
24,413,781
|
|
|
$
|
590
|
|
|
$
|
24.17
|
|
2015
|
|
20,995,419
|
|
|
$
|
555
|
|
|
$
|
26.43
|
|
2016 (through February 9, 2016 on a settlement date basis)
|
|
2,258,602
|
|
|
$
|
55
|
|
|
$
|
24.37
|
|
Cumulative repurchases since the beginning of 2013
|
|
60,180,561
|
|
|
$
|
1,464
|
|
|
$
|
24.33
|
|
19.
|
Employee Benefit Plans
|
|
Options for
Common Shares
|
|
Weighted
Average
Exercise Price
|
|
Number of
Exercisable
Options
|
|
||||
Balance as of December 31, 2014
|
2,802,853
|
|
|
$
|
21.45
|
|
|
2,631,653
|
|
|
Options granted
|
—
|
|
|
—
|
|
|
|
|
||
Options exercised
|
(432,974
|
)
|
|
20.12
|
|
|
|
|
||
Options forfeited/expired
|
(9,539
|
)
|
|
20.76
|
|
|
|
|
||
Balance as of December 31, 2015
|
2,360,340
|
|
|
$
|
21.73
|
|
|
2,275,096
|
|
|
|
2014
|
|
2013
|
||||
Dividend yield
|
2.03
|
%
|
|
2.07
|
%
|
||
Expected volatility
|
53.24
|
%
|
|
53.41
|
%
|
||
Risk free interest rate
|
2.21
|
%
|
|
1.35
|
%
|
||
Expected life
|
6.6 years
|
|
|
6.6 years
|
|
||
Forfeiture rate
|
3.5
|
%
|
|
4.5
|
%
|
||
Weighted average grant date fair value
|
$
|
10.35
|
|
|
$
|
8.94
|
|
(1)
|
No
options were granted in 2015.
|
|
Options for
Common Shares
|
|
Weighted
Average
Exercise Price
|
|
Number of
Exercisable
Options
|
|
||||
Balance as of December 31, 2014
|
246,879
|
|
|
$
|
17.97
|
|
|
0
|
|
|
Options granted
|
—
|
|
|
—
|
|
|
|
|
||
Options exercised
|
(7,342
|
)
|
|
17.44
|
|
|
|
|
||
Options forfeited/expired
|
—
|
|
|
—
|
|
|
|
|
||
Balance as of December 31, 2015
|
239,537
|
|
|
$
|
17.92
|
|
|
166,897
|
|
|
|
2013
|
||
Dividend yield
|
2.07
|
%
|
|
Expected volatility
|
53.5
|
%
|
|
Risk free interest rate
|
1.36
|
%
|
|
Expected life
|
6.3 years
|
|
|
Forfeiture rate
|
4.5
|
%
|
|
Weighted average grant date fair value
|
$
|
8.17
|
|
(1)
|
No
options were granted in neither 2015 nor 2014.
|
Nonvested Shares
|
|
Number of
Shares
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|||
Nonvested at December 31, 2014
|
43,577
|
|
|
$
|
23.98
|
|
|
Granted
|
62,145
|
|
|
25.67
|
|
||
Vested
|
(43,577
|
)
|
|
23.98
|
|
||
Forfeited
|
—
|
|
|
—
|
|
||
Nonvested at December 31, 2015
|
62,145
|
|
|
$
|
25.67
|
|
Nonvested Stock Units
|
|
Number of
Stock Units
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|||
Nonvested at December 31, 2014
|
691,303
|
|
|
$
|
19.23
|
|
|
Granted
|
320,983
|
|
|
25.23
|
|
||
Delivered
|
(321,210
|
)
|
|
16.96
|
|
||
Forfeited
|
(1,795
|
)
|
|
21.73
|
|
||
Nonvested at December 31, 2015
|
689,281
|
|
|
$
|
23.23
|
|
Performance Restricted Stock Units
|
|
Number of
Performance Share Units
|
|
Weighted
Average Grant
Date Fair Value
Per Share
|
|||
Nonvested at December 31, 2014
|
423,302
|
|
|
$
|
26.72
|
|
|
Granted
|
200,353
|
|
|
28.31
|
|
||
Delivered
|
(215,395
|
)
|
|
27.39
|
|
||
Forfeited
|
—
|
|
|
—
|
|
||
Nonvested at December 31, 2015
|
408,260
|
|
|
$
|
27.32
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(dollars in millions)
|
||||||||||
Proceeds from purchase of shares by employees
|
$
|
0.8
|
|
|
$
|
0.9
|
|
|
$
|
0.9
|
|
Number of shares issued by the Company
|
38,565
|
|
|
43,273
|
|
|
57,980
|
|
|||
Recorded in share-based compensation, net of deferral
|
$
|
0.2
|
|
|
$
|
0.2
|
|
|
$
|
0.3
|
|
|
Year Ended December 31,
|
||||||||||
|
2015
|
|
2014
|
|
2013
|
||||||
|
(in millions)
|
||||||||||
Share‑based compensation expense
|
$
|
10
|
|
|
$
|
10
|
|
|
$
|
8
|
|
Share‑based compensation capitalized as DAC
|
0.5
|
|
|
0.3
|
|
|
0.2
|
|
|||
Income tax benefit
|
2
|
|
|
2
|
|
|
2
|
|
20.
|
Other Comprehensive Income
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2014
|
$
|
367
|
|
|
$
|
4
|
|
|
$
|
(10
|
)
|
|
$
|
9
|
|
|
$
|
370
|
|
Other comprehensive income (loss) before reclassifications
|
(93
|
)
|
|
(43
|
)
|
|
(6
|
)
|
|
—
|
|
|
(142
|
)
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net realized investment gains (losses)
|
(11
|
)
|
|
37
|
|
|
—
|
|
|
—
|
|
|
26
|
|
|||||
Net investment income
|
(9
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9
|
)
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|||||
Total before tax
|
(20
|
)
|
|
37
|
|
|
—
|
|
|
(1
|
)
|
|
16
|
|
|||||
Tax (provision) benefit
|
6
|
|
|
(13
|
)
|
|
—
|
|
|
0
|
|
|
(7
|
)
|
|||||
Total amount reclassified from AOCI, net of tax
|
(14
|
)
|
|
24
|
|
|
—
|
|
|
(1
|
)
|
|
9
|
|
|||||
Net current period other comprehensive income (loss)
|
(107
|
)
|
|
(19
|
)
|
|
(6
|
)
|
|
(1
|
)
|
|
(133
|
)
|
|||||
Balance, December 31, 2015
|
$
|
260
|
|
|
$
|
(15
|
)
|
|
$
|
(16
|
)
|
|
$
|
8
|
|
|
$
|
237
|
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2013
|
$
|
178
|
|
|
$
|
(24
|
)
|
|
$
|
(3
|
)
|
|
$
|
9
|
|
|
$
|
160
|
|
Other comprehensive income (loss) before reclassifications
|
196
|
|
|
(20
|
)
|
|
(7
|
)
|
|
—
|
|
|
169
|
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net realized investment gains (losses)
|
(12
|
)
|
|
74
|
|
|
—
|
|
|
—
|
|
|
62
|
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
0
|
|
|||||
Total before tax
|
(12
|
)
|
|
74
|
|
|
—
|
|
|
0
|
|
|
62
|
|
|||||
Tax (provision) benefit
|
5
|
|
|
(26
|
)
|
|
—
|
|
|
0
|
|
|
(21
|
)
|
|||||
Total amount reclassified from AOCI, net of tax
|
(7
|
)
|
|
48
|
|
|
—
|
|
|
0
|
|
|
41
|
|
|||||
Net current period other comprehensive income (loss)
|
189
|
|
|
28
|
|
|
(7
|
)
|
|
0
|
|
|
210
|
|
|||||
Balance, December 31, 2014
|
$
|
367
|
|
|
$
|
4
|
|
|
$
|
(10
|
)
|
|
$
|
9
|
|
|
$
|
370
|
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2012
|
$
|
517
|
|
|
$
|
(5
|
)
|
|
$
|
(6
|
)
|
|
$
|
9
|
|
|
$
|
515
|
|
Other comprehensive income (loss) before reclassifications
|
(309
|
)
|
|
(35
|
)
|
|
3
|
|
|
—
|
|
|
(341
|
)
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net realized investment gains (losses)
|
(43
|
)
|
|
24
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|||||
Total before tax
|
(43
|
)
|
|
24
|
|
|
—
|
|
|
(1
|
)
|
|
(20
|
)
|
|||||
Tax (provision) benefit
|
13
|
|
|
(8
|
)
|
|
—
|
|
|
1
|
|
|
6
|
|
|||||
Total amount reclassified from AOCI, net of tax
|
(30
|
)
|
|
16
|
|
|
—
|
|
|
0
|
|
|
(14
|
)
|
|||||
Net current period other comprehensive income (loss)
|
(339
|
)
|
|
(19
|
)
|
|
3
|
|
|
0
|
|
|
(355
|
)
|
|||||
Balance, December 31, 2013
|
$
|
178
|
|
|
$
|
(24
|
)
|
|
$
|
(3
|
)
|
|
$
|
9
|
|
|
$
|
160
|
|
21.
|
Subsidiary Information
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total investment portfolio and cash
|
$
|
10
|
|
|
$
|
156
|
|
|
$
|
22
|
|
|
$
|
11,530
|
|
|
$
|
(360
|
)
|
|
$
|
11,358
|
|
Investment in subsidiaries
|
5,961
|
|
|
5,569
|
|
|
4,081
|
|
|
377
|
|
|
(15,988
|
)
|
|
—
|
|
||||||
Premiums receivable, net of commissions payable
|
—
|
|
|
—
|
|
|
—
|
|
|
833
|
|
|
(140
|
)
|
|
693
|
|
||||||
Ceded unearned premium reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,266
|
|
|
(1,034
|
)
|
|
232
|
|
||||||
Deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
176
|
|
|
(62
|
)
|
|
114
|
|
||||||
Reinsurance recoverable on unpaid losses
|
—
|
|
|
—
|
|
|
—
|
|
|
467
|
|
|
(398
|
)
|
|
69
|
|
||||||
Credit derivative assets
|
—
|
|
|
—
|
|
|
—
|
|
|
207
|
|
|
(126
|
)
|
|
81
|
|
||||||
Deferred tax asset, net
|
—
|
|
|
52
|
|
|
—
|
|
|
357
|
|
|
(133
|
)
|
|
276
|
|
||||||
Intercompany receivable
|
—
|
|
|
—
|
|
|
—
|
|
|
90
|
|
|
(90
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ assets, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
1,261
|
|
|
—
|
|
|
1,261
|
|
||||||
Other
|
98
|
|
|
29
|
|
|
26
|
|
|
571
|
|
|
(264
|
)
|
|
460
|
|
||||||
TOTAL ASSETS
|
$
|
6,069
|
|
|
$
|
5,806
|
|
|
$
|
4,129
|
|
|
$
|
17,135
|
|
|
$
|
(18,595
|
)
|
|
$
|
14,544
|
|
LIABILITIES AND SHAREHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Unearned premium reserves
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,143
|
|
|
$
|
(1,147
|
)
|
|
$
|
3,996
|
|
Loss and LAE reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,537
|
|
|
(470
|
)
|
|
1,067
|
|
||||||
Long-term debt
|
—
|
|
|
842
|
|
|
445
|
|
|
13
|
|
|
—
|
|
|
1,300
|
|
||||||
Intercompany payable
|
—
|
|
|
90
|
|
|
—
|
|
|
300
|
|
|
(390
|
)
|
|
—
|
|
||||||
Credit derivative liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
572
|
|
|
(126
|
)
|
|
446
|
|
||||||
Deferred tax liabilities, net
|
—
|
|
|
—
|
|
|
91
|
|
|
—
|
|
|
(91
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ liabilities, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
1,349
|
|
|
—
|
|
|
1,349
|
|
||||||
Other
|
6
|
|
|
82
|
|
|
15
|
|
|
622
|
|
|
(402
|
)
|
|
323
|
|
||||||
TOTAL LIABILITIES
|
6
|
|
|
1,014
|
|
|
551
|
|
|
9,536
|
|
|
(2,626
|
)
|
|
8,481
|
|
||||||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
6,063
|
|
|
4,792
|
|
|
3,578
|
|
|
7,222
|
|
|
(15,592
|
)
|
|
6,063
|
|
||||||
Noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
377
|
|
|
(377
|
)
|
|
—
|
|
||||||
TOTAL SHAREHOLDERS’ EQUITY
|
6,063
|
|
|
4,792
|
|
|
3,578
|
|
|
7,599
|
|
|
(15,969
|
)
|
|
6,063
|
|
||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY
|
$
|
6,069
|
|
|
$
|
5,806
|
|
|
$
|
4,129
|
|
|
$
|
17,135
|
|
|
$
|
(18,595
|
)
|
|
$
|
14,544
|
|
|
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
|
|
|
71
|
|
|
27
|
|
|
538
|
|
|
(242
|
)
|
|
421
|
|
||||||
TOTAL ASSETS
|
$
|
5,765
|
|
|
$
|
5,401
|
|
|
$
|
4,039
|
|
|
$
|
17,180
|
|
|
$
|
(17,466
|
)
|
|
$
|
14,919
|
|
LIABILITIES AND SHAREHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Unearned premium reserves
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,328
|
|
|
$
|
(1,067
|
)
|
|
$
|
4,261
|
|
Loss and LAE reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,066
|
|
|
(267
|
)
|
|
799
|
|
||||||
Long-term debt
|
—
|
|
|
841
|
|
|
437
|
|
|
19
|
|
|
—
|
|
|
1,297
|
|
||||||
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
|
|
|
940
|
|
|
547
|
|
|
10,068
|
|
|
(2,401
|
)
|
|
9,161
|
|
||||||
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
|
|
|
$
|
5,401
|
|
|
$
|
4,039
|
|
|
$
|
17,180
|
|
|
$
|
(17,466
|
)
|
|
$
|
14,919
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
783
|
|
|
$
|
(17
|
)
|
|
$
|
766
|
|
Net investment income
|
0
|
|
|
1
|
|
|
0
|
|
|
432
|
|
|
(10
|
)
|
|
423
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
0
|
|
|
1
|
|
|
(19
|
)
|
|
(8
|
)
|
|
(26
|
)
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
(18
|
)
|
|
0
|
|
|
(18
|
)
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
773
|
|
|
(27
|
)
|
|
746
|
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
755
|
|
|
(27
|
)
|
|
728
|
|
||||||
Bargain purchase gain and settlement of pre-existing relationships
|
—
|
|
|
—
|
|
|
—
|
|
|
54
|
|
|
160
|
|
|
214
|
|
||||||
Other
|
0
|
|
|
0
|
|
|
—
|
|
|
102
|
|
|
0
|
|
|
102
|
|
||||||
TOTAL REVENUES
|
0
|
|
|
1
|
|
|
1
|
|
|
2,107
|
|
|
98
|
|
|
2,207
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
434
|
|
|
(10
|
)
|
|
424
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
29
|
|
|
(9
|
)
|
|
20
|
|
||||||
Interest expense
|
—
|
|
|
52
|
|
|
54
|
|
|
14
|
|
|
(19
|
)
|
|
101
|
|
||||||
Other operating expenses
|
30
|
|
|
1
|
|
|
1
|
|
|
202
|
|
|
(3
|
)
|
|
231
|
|
||||||
TOTAL EXPENSES
|
30
|
|
|
53
|
|
|
55
|
|
|
679
|
|
|
(41
|
)
|
|
776
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(30
|
)
|
|
(52
|
)
|
|
(54
|
)
|
|
1,428
|
|
|
139
|
|
|
1,431
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
18
|
|
|
19
|
|
|
(365
|
)
|
|
(47
|
)
|
|
(375
|
)
|
||||||
Equity in net earnings of subsidiaries
|
1,086
|
|
|
923
|
|
|
468
|
|
|
39
|
|
|
(2,516
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
1,056
|
|
|
889
|
|
|
433
|
|
|
1,102
|
|
|
(2,424
|
)
|
|
1,056
|
|
||||||
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
39
|
|
|
(39
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
1,056
|
|
|
$
|
889
|
|
|
$
|
433
|
|
|
$
|
1,063
|
|
|
$
|
(2,385
|
)
|
|
$
|
1,056
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
923
|
|
|
$
|
787
|
|
|
$
|
359
|
|
|
$
|
967
|
|
|
$
|
(2,113
|
)
|
|
$
|
923
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
566
|
|
|
$
|
4
|
|
|
$
|
570
|
|
Net investment income
|
0
|
|
|
0
|
|
|
1
|
|
|
412
|
|
|
(10
|
)
|
|
403
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
0
|
|
|
0
|
|
|
(58
|
)
|
|
(2
|
)
|
|
(60
|
)
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
23
|
|
|
—
|
|
|
23
|
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
800
|
|
|
—
|
|
|
800
|
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
823
|
|
|
—
|
|
|
823
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
259
|
|
|
(1
|
)
|
|
258
|
|
||||||
TOTAL REVENUES
|
0
|
|
|
0
|
|
|
1
|
|
|
2,002
|
|
|
(9
|
)
|
|
1,994
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
122
|
|
|
4
|
|
|
126
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
33
|
|
|
(8
|
)
|
|
25
|
|
||||||
Interest expense
|
—
|
|
|
40
|
|
|
54
|
|
|
16
|
|
|
(18
|
)
|
|
92
|
|
||||||
Other operating expenses
|
31
|
|
|
1
|
|
|
1
|
|
|
195
|
|
|
(8
|
)
|
|
220
|
|
||||||
TOTAL EXPENSES
|
31
|
|
|
41
|
|
|
55
|
|
|
366
|
|
|
(30
|
)
|
|
463
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(31
|
)
|
|
(41
|
)
|
|
(54
|
)
|
|
1,636
|
|
|
21
|
|
|
1,531
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
14
|
|
|
19
|
|
|
(469
|
)
|
|
(7
|
)
|
|
(443
|
)
|
||||||
Equity in net earnings of subsidiaries
|
1,119
|
|
|
983
|
|
|
513
|
|
|
32
|
|
|
(2,647
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
1,088
|
|
|
956
|
|
|
478
|
|
|
1,199
|
|
|
(2,633
|
)
|
|
1,088
|
|
||||||
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
32
|
|
|
(32
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
1,088
|
|
|
$
|
956
|
|
|
$
|
478
|
|
|
$
|
1,167
|
|
|
$
|
(2,601
|
)
|
|
$
|
1,088
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
1,298
|
|
|
$
|
1,114
|
|
|
$
|
577
|
|
|
$
|
1,570
|
|
|
$
|
(3,261
|
)
|
|
$
|
1,298
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
740
|
|
|
$
|
12
|
|
|
$
|
752
|
|
Net investment income
|
0
|
|
|
0
|
|
|
1
|
|
|
408
|
|
|
(16
|
)
|
|
393
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
0
|
|
|
0
|
|
|
87
|
|
|
(35
|
)
|
|
52
|
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
(42
|
)
|
|
—
|
|
|
(42
|
)
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
107
|
|
|
—
|
|
|
107
|
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
65
|
|
|
—
|
|
|
65
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
348
|
|
|
(2
|
)
|
|
346
|
|
||||||
TOTAL REVENUES
|
0
|
|
|
0
|
|
|
1
|
|
|
1,648
|
|
|
(41
|
)
|
|
1,608
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
144
|
|
|
10
|
|
|
154
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
12
|
|
|
0
|
|
|
12
|
|
||||||
Interest expense
|
—
|
|
|
28
|
|
|
54
|
|
|
20
|
|
|
(20
|
)
|
|
82
|
|
||||||
Other operating expenses
|
22
|
|
|
1
|
|
|
1
|
|
|
199
|
|
|
(5
|
)
|
|
218
|
|
||||||
TOTAL EXPENSES
|
22
|
|
|
29
|
|
|
55
|
|
|
375
|
|
|
(15
|
)
|
|
466
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(22
|
)
|
|
(29
|
)
|
|
(54
|
)
|
|
1,273
|
|
|
(26
|
)
|
|
1,142
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
9
|
|
|
17
|
|
|
(387
|
)
|
|
27
|
|
|
(334
|
)
|
||||||
Equity in net earnings of subsidiaries
|
830
|
|
|
768
|
|
|
701
|
|
|
19
|
|
|
(2,318
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
808
|
|
|
748
|
|
|
664
|
|
|
905
|
|
|
(2,317
|
)
|
|
808
|
|
||||||
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
19
|
|
|
(19
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
808
|
|
|
$
|
748
|
|
|
$
|
664
|
|
|
$
|
886
|
|
|
$
|
(2,298
|
)
|
|
$
|
808
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
453
|
|
|
$
|
522
|
|
|
$
|
515
|
|
|
$
|
309
|
|
|
$
|
(1,346
|
)
|
|
$
|
453
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
Net cash flows provided by (used in) operating activities
|
$
|
513
|
|
|
$
|
408
|
|
|
$
|
185
|
|
|
$
|
52
|
|
|
$
|
(1,210
|
)
|
|
$
|
(52
|
)
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
(72
|
)
|
|
(21
|
)
|
|
(2,550
|
)
|
|
66
|
|
|
(2,577
|
)
|
||||||
Sales
|
—
|
|
|
177
|
|
|
30
|
|
|
1,900
|
|
|
—
|
|
|
2,107
|
|
||||||
Maturities
|
—
|
|
|
9
|
|
|
—
|
|
|
889
|
|
|
—
|
|
|
898
|
|
||||||
Sales (purchases) of short-term investments, net
|
116
|
|
|
33
|
|
|
19
|
|
|
729
|
|
|
—
|
|
|
897
|
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
400
|
|
|
—
|
|
|
400
|
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
25
|
|
|
—
|
|
|
(25
|
)
|
|
—
|
|
||||||
Acquisition of Radian Asset, net of cash acquired
|
—
|
|
|
—
|
|
|
—
|
|
|
(800
|
)
|
|
—
|
|
|
(800
|
)
|
||||||
Other
|
—
|
|
|
(5
|
)
|
|
—
|
|
|
74
|
|
|
—
|
|
|
69
|
|
||||||
Net cash flows provided by (used in) investing activities
|
116
|
|
|
142
|
|
|
53
|
|
|
642
|
|
|
41
|
|
|
994
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(25
|
)
|
|
25
|
|
|
—
|
|
||||||
Capital contribution from parent
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Dividends paid
|
(72
|
)
|
|
(455
|
)
|
|
(234
|
)
|
|
(455
|
)
|
|
1,144
|
|
|
(72
|
)
|
||||||
Repurchases of common stock
|
(555
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(555
|
)
|
||||||
Share activity under option and incentive plans
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(214
|
)
|
|
—
|
|
|
(214
|
)
|
||||||
Net proceeds from issuance of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|
(4
|
)
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Net cash flows provided by (used in) financing activities
|
(629
|
)
|
|
(455
|
)
|
|
(234
|
)
|
|
(698
|
)
|
|
1,169
|
|
|
(847
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|
(4
|
)
|
||||||
Increase (decrease) in cash
|
—
|
|
|
95
|
|
|
4
|
|
|
(8
|
)
|
|
—
|
|
|
91
|
|
||||||
Cash at beginning of period
|
0
|
|
|
0
|
|
|
4
|
|
|
71
|
|
|
—
|
|
|
75
|
|
||||||
Cash at end of period
|
$
|
0
|
|
|
$
|
95
|
|
|
$
|
8
|
|
|
$
|
63
|
|
|
$
|
—
|
|
|
$
|
166
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
Net cash flows provided by (used in) operating activities
|
$
|
758
|
|
|
$
|
223
|
|
|
$
|
144
|
|
|
$
|
663
|
|
|
$
|
(1,211
|
)
|
|
$
|
577
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
(540
|
)
|
|
(8
|
)
|
|
(2,253
|
)
|
|
—
|
|
|
(2,801
|
)
|
||||||
Sales
|
—
|
|
|
464
|
|
|
10
|
|
|
777
|
|
|
—
|
|
|
1,251
|
|
||||||
Maturities
|
—
|
|
|
6
|
|
|
1
|
|
|
870
|
|
|
—
|
|
|
877
|
|
||||||
Sales (purchases) of short-term investments, net
|
(93
|
)
|
|
(15
|
)
|
|
(3
|
)
|
|
269
|
|
|
—
|
|
|
158
|
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
408
|
|
|
—
|
|
|
408
|
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
50
|
|
|
—
|
|
|
(50
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
11
|
|
|
—
|
|
|
11
|
|
||||||
Net cash flows provided by (used in) investing activities
|
(93
|
)
|
|
(85
|
)
|
|
50
|
|
|
82
|
|
|
(50
|
)
|
|
(96
|
)
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
—
|
|
||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(50
|
)
|
|
50
|
|
|
—
|
|
||||||
Capital contribution from parent
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Dividends paid
|
(76
|
)
|
|
(700
|
)
|
|
(190
|
)
|
|
(321
|
)
|
|
1,211
|
|
|
(76
|
)
|
||||||
Repurchases of common stock
|
(590
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(590
|
)
|
||||||
Share activity under option and incentive plans
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(396
|
)
|
|
—
|
|
|
(396
|
)
|
||||||
Net proceeds from issuance of long-term debt
|
—
|
|
|
495
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
495
|
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
|
(19
|
)
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Net cash flows provided by (used in) financing activities
|
(665
|
)
|
|
(205
|
)
|
|
(190
|
)
|
|
(786
|
)
|
|
1,261
|
|
|
(585
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
|
—
|
|
|
(5
|
)
|
||||||
Increase (decrease) in cash
|
—
|
|
|
(67
|
)
|
|
4
|
|
|
(46
|
)
|
|
—
|
|
|
(109
|
)
|
||||||
Cash at beginning of period
|
0
|
|
|
67
|
|
|
0
|
|
|
117
|
|
|
—
|
|
|
184
|
|
||||||
Cash at end of period
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
4
|
|
|
$
|
71
|
|
|
$
|
—
|
|
|
$
|
75
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
Net cash flows provided by (used in) operating activities
|
$
|
128
|
|
|
$
|
178
|
|
|
$
|
133
|
|
|
$
|
347
|
|
|
$
|
(542
|
)
|
|
$
|
244
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
(93
|
)
|
|
(26
|
)
|
|
(1,832
|
)
|
|
65
|
|
|
(1,886
|
)
|
||||||
Sales
|
176
|
|
|
1
|
|
|
25
|
|
|
892
|
|
|
(65
|
)
|
|
1,029
|
|
||||||
Maturities
|
29
|
|
|
3
|
|
|
2
|
|
|
849
|
|
|
—
|
|
|
883
|
|
||||||
Sales (purchases) of short-term investments, net
|
7
|
|
|
(28
|
)
|
|
(15
|
)
|
|
(51
|
)
|
|
—
|
|
|
(87
|
)
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
663
|
|
|
—
|
|
|
663
|
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
(7
|
)
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
0
|
|
|
49
|
|
|
—
|
|
|
(49
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
79
|
|
|
—
|
|
|
79
|
|
||||||
Net cash flows provided by (used in) investing activities
|
212
|
|
|
(117
|
)
|
|
35
|
|
|
607
|
|
|
(56
|
)
|
|
681
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(50
|
)
|
|
50
|
|
|
—
|
|
||||||
Capital contribution from parent
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
(1
|
)
|
|
—
|
|
||||||
Dividends paid
|
(75
|
)
|
|
—
|
|
|
(168
|
)
|
|
(374
|
)
|
|
542
|
|
|
(75
|
)
|
||||||
Repurchases of common stock
|
(264
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(264
|
)
|
||||||
Share activity under option and incentive plans
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(511
|
)
|
|
—
|
|
|
(511
|
)
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(27
|
)
|
|
—
|
|
|
(27
|
)
|
||||||
Intercompany debt
|
—
|
|
|
(7
|
)
|
|
—
|
|
|
—
|
|
|
7
|
|
|
—
|
|
||||||
Net cash flows provided by (used in) financing activities
|
(340
|
)
|
|
(7
|
)
|
|
(168
|
)
|
|
(961
|
)
|
|
598
|
|
|
(878
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
||||||
Increase (decrease) in cash
|
0
|
|
|
54
|
|
|
—
|
|
|
(8
|
)
|
|
—
|
|
|
46
|
|
||||||
Cash at beginning of period
|
—
|
|
|
13
|
|
|
0
|
|
|
125
|
|
|
—
|
|
|
138
|
|
||||||
Cash at end of period
|
$
|
0
|
|
|
$
|
67
|
|
|
$
|
0
|
|
|
$
|
117
|
|
|
$
|
—
|
|
|
$
|
184
|
|
22.
|
Quarterly Financial Information (Unaudited)
|
2015
|
|
First
Quarter
|
|
Second
Quarter
|
|
Third
Quarter
|
|
Fourth
Quarter
|
|
Full
Year
|
||||||||||
|
(dollars in millions, except per share data)
|
|||||||||||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net earned premiums
|
$
|
142
|
|
|
$
|
219
|
|
|
$
|
213
|
|
|
$
|
192
|
|
|
$
|
766
|
|
|
Net investment income
|
101
|
|
|
98
|
|
|
112
|
|
|
112
|
|
|
423
|
|
||||||
Net realized investment gains (losses)
|
16
|
|
|
(9
|
)
|
|
(27
|
)
|
|
(6
|
)
|
|
(26
|
)
|
||||||
Net change in fair value of credit derivatives
|
124
|
|
|
90
|
|
|
86
|
|
|
428
|
|
|
728
|
|
||||||
Fair value gains (losses) on CCS
|
2
|
|
|
23
|
|
|
(15
|
)
|
|
17
|
|
|
27
|
|
||||||
Fair value gains (losses) on FG VIEs
|
(7
|
)
|
|
5
|
|
|
2
|
|
|
38
|
|
|
38
|
|
||||||
Bargain purchase gain and settlement of pre-existing relationships
|
—
|
|
|
214
|
|
|
—
|
|
|
—
|
|
|
214
|
|
||||||
Other income (loss)
|
(9
|
)
|
|
55
|
|
|
(3
|
)
|
|
(6
|
)
|
|
37
|
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||||||||||
Loss and LAE
|
18
|
|
|
188
|
|
|
112
|
|
|
106
|
|
|
424
|
|
||||||
Amortization of DAC
|
4
|
|
|
6
|
|
|
5
|
|
|
5
|
|
|
20
|
|
||||||
Interest expense
|
25
|
|
|
26
|
|
|
25
|
|
|
25
|
|
|
101
|
|
||||||
Other operating expenses
|
56
|
|
|
66
|
|
|
54
|
|
|
55
|
|
|
231
|
|
||||||
Income (loss) before provision for income taxes
|
266
|
|
|
409
|
|
|
172
|
|
|
584
|
|
|
1,431
|
|
||||||
Provision (benefit) for income taxes
|
65
|
|
|
112
|
|
|
43
|
|
|
155
|
|
|
375
|
|
||||||
Net income (loss)
|
201
|
|
|
297
|
|
|
129
|
|
|
429
|
|
|
1,056
|
|
||||||
Earnings (loss) per share(1):
|
|
|
|
|
|
|
|
|
|
|||||||||||
Basic
|
$
|
1.29
|
|
|
$
|
1.97
|
|
|
$
|
0.88
|
|
|
$
|
3.05
|
|
|
$
|
7.12
|
|
|
Diluted
|
$
|
1.28
|
|
|
$
|
1.96
|
|
|
$
|
0.88
|
|
|
$
|
3.03
|
|
|
$
|
7.08
|
|
|
Dividends per share
|
$
|
0.12
|
|
|
$
|
0.12
|
|
|
$
|
0.12
|
|
|
$
|
0.12
|
|
|
$
|
0.48
|
|
2014
|
|
First
Quarter
|
|
Second
Quarter
|
|
Third
Quarter
|
|
Fourth
Quarter
|
|
Full
Year
|
||||||||||
|
(dollars in millions, except per share data)
|
|||||||||||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net earned premiums
|
$
|
132
|
|
|
$
|
136
|
|
|
$
|
144
|
|
|
$
|
158
|
|
|
$
|
570
|
|
|
Net investment income
|
103
|
|
|
96
|
|
|
102
|
|
|
102
|
|
|
403
|
|
||||||
Net realized investment gains (losses)
|
2
|
|
|
(8
|
)
|
|
(19
|
)
|
|
(35
|
)
|
|
(60
|
)
|
||||||
Net change in fair value of credit derivatives
|
(211
|
)
|
|
103
|
|
|
255
|
|
|
676
|
|
|
823
|
|
||||||
Fair value gains (losses) on CCS
|
(9
|
)
|
|
(6
|
)
|
|
4
|
|
|
—
|
|
|
(11
|
)
|
||||||
Fair value gains (losses) on FG VIEs
|
157
|
|
|
25
|
|
|
50
|
|
|
23
|
|
|
255
|
|
||||||
Bargain purchase gain and settlement of pre-existing relationships
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other income (loss)
|
21
|
|
|
7
|
|
|
(11
|
)
|
|
(3
|
)
|
|
14
|
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||||||||||
Loss and LAE
|
41
|
|
|
57
|
|
|
(44
|
)
|
|
72
|
|
|
126
|
|
||||||
Amortization of DAC
|
5
|
|
|
3
|
|
|
4
|
|
|
13
|
|
|
25
|
|
||||||
Interest expense
|
20
|
|
|
20
|
|
|
27
|
|
|
25
|
|
|
92
|
|
||||||
Other operating expenses
|
60
|
|
|
55
|
|
|
50
|
|
|
55
|
|
|
220
|
|
||||||
Income (loss) before provision for income taxes
|
69
|
|
|
218
|
|
|
488
|
|
|
756
|
|
|
1,531
|
|
||||||
Provision (benefit) for income taxes
|
27
|
|
|
59
|
|
|
133
|
|
|
224
|
|
|
443
|
|
||||||
Net income (loss)
|
42
|
|
|
159
|
|
|
355
|
|
|
532
|
|
|
1,088
|
|
||||||
Earnings (loss) per share(1):
|
|
|
|
|
|
|
|
|
|
|||||||||||
Basic
|
$
|
0.23
|
|
|
$
|
0.89
|
|
|
$
|
2.10
|
|
|
$
|
3.30
|
|
|
$
|
6.30
|
|
|
Diluted
|
$
|
0.23
|
|
|
$
|
0.89
|
|
|
$
|
2.09
|
|
|
$
|
3.28
|
|
|
$
|
6.26
|
|
|
Dividends per share
|
$
|
0.11
|
|
|
$
|
0.11
|
|
|
$
|
0.11
|
|
|
$
|
0.11
|
|
|
$
|
0.44
|
|
(1)
|
Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive.
|
ITEM 9.
|
CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE
|
ITEM 9A.
|
CONTROLS AND PROCEDURES
|
ITEM 9B.
|
OTHER INFORMATION
|
ITEM 10.
|
DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
|
ITEM 11.
|
EXECUTIVE COMPENSATION
|
ITEM 12.
|
SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
|
ITEM 13.
|
CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE
|
ITEM 14.
|
PRINCIPAL ACCOUNTING FEES AND SERVICES
|
ITEM 15.
|
EXHIBITS, FINANCIAL STATEMENT SCHEDULES
|
(a)
|
Financial Statements, Financial Statement Schedules and Exhibits
|
1.
|
Financial Statements
|
|
|
Exhibit
Number
|
Description of Document
|
3.1
|
Certificate of Incorporation and Memorandum of Association of the Registrant, as amended by Certificate of Incorporation on Change of Name dated March 30, 2004 and Certificate of Deposit of Memorandum of Increase of Capital dated April 21, 2004 (Incorporated by reference to Exhibit 3.1 to Form 10-K for the year ended December 31, 2009)
|
3.2
|
First Amended and Restated Bye-laws of the Registrant, as amended (Incorporated by reference to Exhibit 3.1 to Form 8-K filed on May 10, 2011)
|
4.1
|
Specimen Common Share Certificate (Incorporated by reference to Exhibit 4.1 to Form S-1 (#333-111491))
|
4.2
|
Certificate of Incorporation and Memorandum of Association of the Registrant, as amended by Certificate of Incorporation on Change of Name dated March 30, 2004 and Certificate of Deposit of Memorandum of Increase of Capital dated April 21, 2004 (See Exhibit 3.1)
|
4.3
|
Bye-laws of the Registrant (See Exhibit 3.2)
|
4.4
|
Indenture, dated as of May 1, 2004, among the Company, Assured Guaranty U.S. Holdings Inc. and The Bank of New York, as trustee (Incorporated by reference to Exhibit 4.1 to Form 10-Q for the quarter ended March 31, 2004)
|
4.5
|
Indenture, dated as of December 1, 2006, entered into among Assured Guaranty Ltd., Assured Guaranty U.S. Holdings Inc. and The Bank of New York, as trustee (Incorporated by reference to Exhibit 4.1 to Form 8-K filed on December 20, 2006)
|
4.6
|
First Supplemental Subordinated Indenture, dated as of December 20, 2006, entered into among Assured Guaranty Ltd., Assured Guaranty U.S. Holdings Inc. and The Bank of New York, as trustee (Incorporated by reference to Exhibit 4.2 to Form 8-K filed on December 20, 2006)
|
4.7
|
Replacement Capital Covenant, dated as of December 20, 2006, between Assured Guaranty U.S. Holdings Inc. and Assured Guaranty Ltd., in favor of and for the benefit of each Covered Debtholder (as defined therein) (Incorporated by reference to Exhibit 4.1 to Form 8-K filed on December 20, 2006)
|
4.8
|
Amended and Restated Trust Indenture dated as of February 24, 1999 between Financial Security Assurance Holdings Ltd. and the Senior Debt Trustee (Incorporated by reference to Exhibit 4.1 to Financial Security Assurance Holdings Ltd.'s Registration Statement to Form S-3 (#333-74165))
|
|
|
Exhibit
Number
|
Description of Document
|
4.9
|
Form of Assured Guaranty Municipal Holdings Inc., formerly known as Financial Security Assurance Holdings Ltd. 6
7
/
8
% Quarterly Interest Bond Securities due 2101 (Incorporated by reference to Exhibit 4.1 to Form 10-Q for the quarter ended March 31, 2010)
|
4.10
|
Form of Assured Guaranty Municipal Holdings Inc., formerly known as Financial Security Assurance Holdings Ltd. 6.25% Notes due November 1, 2102 (Incorporated by reference to Exhibit 4.2 to Form 10-Q for the quarter ended March 31, 2010)
|
4.11
|
Form of Assured Guaranty Municipal Holdings Inc., formerly known as Financial Security Assurance Holdings Ltd. 5.60% Notes due July 15, 2103 (Incorporated by reference to Exhibit 4.3 to Form 10-Q for the quarter ended March 31, 2010)
|
4.12
|
Supplemental indenture, dated as of August 26, 2009, between Assured Guaranty Ltd., Financial Security Assurance Holdings Ltd. and U.S. Bank National Association, as trustee (Incorporated by reference to Exhibit 99.1 to Form 8-K filed on September 1, 2009)
|
4.13
|
Indenture, dated as of November 22, 2006, between Financial Security Assurance Holdings Ltd. and The Bank of New York, as Trustee (Incorporated by reference to Exhibit 4.1 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 28, 2006)
|
4.14
|
Form of Financial Security Assurance Holdings Ltd. Junior Subordinated Debenture, Series 2006-1 (Incorporated by reference to Exhibit 10.3 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 25, 2002)
|
4.15
|
Supplemental indenture, dated as of August 26, 2009, between Assured Guaranty Ltd., Financial Security Assurance Holdings Ltd. and The Bank of New York Mellon, as trustee (Incorporated by reference to Exhibit 99.2 to Form 8-K filed on September 1, 2009)
|
4.16
|
First Supplemental Indenture, to be dated as of June 24, 2009, between Assured Guaranty US Holdings Inc., Assured Guaranty Ltd. and The Bank of New York Mellon, as trustee (including the form of 8.50% Senior Note due 2014 of Assured Guaranty US Holdings Inc.) (Incorporated by reference to Exhibit 4.1 to Form 8-K filed on June 23, 2009)
|
4.17
|
Officers’ Certificate, dated June 20, 2014, related to 5.000% Senior Notes due 2024, containing form of 5.000% Senior Notes due 2024 as Exhibit A thereto (Incorporated by reference to Exhibit 4.1 to Form 8-K filed on June 20, 2014)
|
10.1
|
Guaranty by Assured Guaranty Re Ltd. in favor of Assured Guaranty Re Overseas Ltd., amended and restated as of May 1, 2014 (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended June 30, 2014)
|
10.2
|
Put Agreement between Assured Guaranty Corp. and Woodbourne Capital Trust [I][II][III][IV] (Incorporated by reference to Exhibit 10.6 to Form 10-Q for the quarter ended March 31, 2005)
|
10.3
|
Custodial Trust Expense Reimbursement Agreement (Incorporated by reference to Exhibit 10.7 to Form 10-Q for the quarter ended March 31, 2005)
|
10.4
|
Assured Guaranty Corp. Articles Supplementary Classifying and Designating Series of Preferred Stock as Series A Perpetual Preferred Stock, Series B Perpetual Preferred Stock, Series C Perpetual Preferred Stock, Series D Perpetual Preferred Stock (Incorporated by reference to Exhibit 10.8 to Form 10-Q for the quarter ended March 31, 2005)
|
10.5
|
Purchase Agreement among Dexia Holdings Inc., Dexia Crédit Local S.A. and the Company dated as of November 14, 2008 (Incorporated by reference to Exhibit 99.1 to Form 8-K filed on November 17, 2008)
|
10.6
|
Amended and Restated Revolving Credit Agreement dated as of June 30, 2009 among FSA Asset Management LLC, Dexia Crédit Local S.A. and Dexia Bank Belgium S.A. (Incorporated by reference to Exhibit 10.1 to Form 8-K filed on July 8, 2009)
|
10.7
|
First Amendment to Amended and Restated Revolving Credit Agreement dated as of September 20, 2010 among FSA Asset Management LLC, Dexia Crédit Local S.A. and Dexia Bank Belgium S.A. (Incorporated by reference to Exhibit 10.11 to Form 10-K for the year ended December 31, 2013)
|
10.8
|
Second Amendment to Amended and Restated Revolving Credit Agreement dated as of May 16, 2012 among FSA Asset Management LLC, Dexia Crédit Local S.A. and Dexia Bank Belgium S.A. (Incorporated by reference to Exhibit 10.12 to Form 10-K for the year ended December 31, 2013)
|
10.9
|
Assignment Pursuant to the Amended and Restated Revolving Credit Agreement, as amended, dated as of December 12, 2013 between Belfius Bank SA/NV and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.13 to Form 10-K for the year ended December 31, 2013)
|
10.10
|
Master Repurchase Agreement (September 1996 Version) dated as of June 30, 2009 between Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.2.1 to Form 8-K filed on July 8, 2009)
|
|
|
Exhibit
Number
|
Description of Document
|
10.11
|
Annex I-Committed Term Repurchase Agreement Annex dated as of June 30, 2009 between Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.2.2 to Form 8-K filed on July 8, 2009)
|
10.12
|
ISDA Master Agreement (Multicurrency-Cross Border) dated as of June 30, 2009 among Dexia SA, Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.3.1 to Form 8-K filed on July 8, 2009)
|
10.13
|
Schedule to the 1992 Master Agreement, Guaranteed Put Contract, dated as of June 30, 2009 among Dexia Crédit Local S.A., Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.3.2 to Form 8-K filed on July 8, 2009)
|
10.14
|
Put Option Confirmation, Guaranteed Put Contract, dated June 30, 2009 to FSA Asset Management LLC from Dexia SA and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.3.3 to Form 8-K filed on July 8, 2009)
|
10.15
|
ISDA Credit Support Annex (New York Law) to the Schedule to the ISDA Master Agreement, Guaranteed Put Contract, dated as of June 30, 2009 between Dexia Crédit Local S.A. and Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.3.4 to Form 8-K filed on July 8, 2009)
|
10.16
|
ISDA Master Agreement (Multicurrency-Cross Border) dated as of June 30, 2009 among Dexia SA, Dexia Crédit Local S.A. and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.4.1 to Form 8-K filed on July 8, 2009)
|
10.17
|
Schedule to the 1992 Master Agreement, Non-Guaranteed Put Contract, dated as of June 30, 2009 among Dexia Crédit Local S.A., Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.4.2 to Form 8-K filed on July 8, 2009)
|
10.18
|
Put Option Confirmation, Non-Guaranteed Put Contract, dated June 30, 2009 to FSA Asset Management LLC from Dexia SA and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.4.3 to Form 8-K filed on July 8, 2009)
|
10.19
|
ISDA Credit Support Annex (New York Law) to the Schedule to the ISDA Master Agreement, Non-Guaranteed Put Contract, dated as of June 30, 2009 between Dexia Crédit Local S.A. and Dexia SA and FSA Asset Management LLC (Incorporated by reference to Exhibit 10.4.4 to Form 8-K filed on July 8, 2009)
|
10.20
|
First Demand Guarantee Relating to the “Financial Products” Portfolio of FSA Asset Management LLC issued by the Belgian State and the French State and executed as of June 30, 2009 (Incorporated by reference to Exhibit 10.5 to Form 8-K filed on July 8, 2009)
|
10.21
|
Guaranty, dated as of June 30, 2009, made jointly and severally by Dexia SA and Dexia Crédit Local S.A., in favor of Financial Security Assurance Inc. (Incorporated by reference to Exhibit 10.6 to Form 8-K filed on July 8, 2009)
|
10.22
|
Indemnification Agreement (GIC Business) dated as of June 30, 2009 by and among Financial Security Assurance Inc., Dexia Crédit Local S.A. and Dexia SA (Incorporated by reference to Exhibit 10.7 to Form 8-K filed on July 8, 2009)
|
10.23
|
Pledge and Administration Agreement, dated as of June 30, 2009, among Dexia SA, Dexia Crédit Local S.A., Dexia Bank Belgium SA, Dexia FP Holdings Inc., Financial Security Assurance Inc., FSA Asset Management LLC, FSA Portfolio Asset Limited, FSA Capital Markets Services LLC, FSA Capital Markets Services (Caymans) Ltd., FSA Capital Management Services LLC and The Bank of New York Mellon Trust Company, National Association (Incorporated by reference to Exhibit 10.8 to Form 8-K filed on July 8, 2009)
|
10.24
|
Separation Agreement, dated as of July 1, 2009, among Dexia Crédit Local S.A., Financial Security Assurance Inc., Financial Security Assurance International, Ltd., FSA Global Funding Limited and Premier International Funding Co. (Incorporated by reference to Exhibit 10.9 to Form 8-K filed on July 8, 2009)
|
10.25
|
Funding Guaranty, dated as of July 1, 2009, made by Dexia Crédit Local S.A. in favor of Financial Security Assurance Inc. and Financial Security Assurance International, Ltd. (Incorporated by reference to Exhibit 10.10 to Form 8-K filed on July 8, 2009)
|
10.26
|
Reimbursement Guaranty, dated as of July 1, 2009, made by Dexia Crédit Local S.A. in favor of Financial Security Assurance Inc. and Financial Security Assurance International, Ltd. (Incorporated by reference to Exhibit 10.11 to Form 8-K filed on July 8, 2009)
|
10.27
|
Amended and Restated Strip Coverage Liquidity and Security Agreement, dated as of July 1, 2009, between Assured Guaranty Municipal Corp. and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.31 to Form 10-K for the year ended December 31, 2013)
|
10.28
|
First Amendment to Amended and Restated Strip Coverage Liquidity and Security Agreement, dated as of June 30, 2014, between Assured Guaranty Municipal Corp. and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.6 to Form 10-Q for the quarter ended June 30, 2014)
|
|
|
Exhibit
Number
|
Description of Document
|
10.29
|
Indemnification Agreement (FSA Global Business), dated as of July 1, 2009, by and between Financial Security Assurance Inc., Assured Guaranty Ltd. and Dexia Crédit Local S.A. (Incorporated by reference to Exhibit 10.13 to Form 8-K filed on July 8, 2009)
|
10.30
|
Pledge and Administration Annex Amendment Agreement dated as of July 1, 2009 among Dexia SA, Dexia Crédit Local S.A., Dexia Bank Belgium SA, Dexia FP Holdings Inc., Financial Security Assurance Inc., FSA Asset Management LLC, FSA Portfolio Asset Limited, FSA Capital Markets Services LLC, FSA Capital Markets Services (Caymans) Ltd., FSA Capital Management Services LLC and The Bank of New York Mellon Trust Company, National Association (Incorporated by reference to Exhibit 10.14 to Form 8-K filed on July 8, 2009)
|
10.31
|
Put Confirmation Annex Amendment Agreement dated as of July 1, 2009 among Dexia SA and Dexia Crédit Local S.A. and FSA Asset Management LLC and Financial Security Assurance Inc. (Incorporated by reference to Exhibit 10.15 to Form 8-K filed on July 8, 2009)
|
10.32
|
Master Repurchase Agreement between FSA Capital Management Services LLC and FSA Capital Markets Services LLC (Incorporated by reference to Exhibit 10.20 to Form 10-Q for the quarter ended June 30, 2009)
|
10.33
|
Confirmation to Master Repurchase Agreement (Incorporated by reference to Exhibit 10.21 to Form 10-Q for the quarter ended June 30, 2009)
|
10.34
|
Master Repurchase Agreement Annex I (Incorporated by reference to Exhibit 10.22 to Form 10-Q for the quarter ended June 30, 2009)
|
10.35
|
Pledge and Intercreditor Agreement, among Dexia Crédit Local, Dexia Bank Belgium S.A., Financial Security Assurance Inc. and FSA Asset Management LLC, dated November 13, 2008 (Incorporated by reference to Exhibit 10.3 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended September 30, 2008)
|
10.36
|
Amended and Restated Pledge and Intercreditor Agreement, dated as of February 20, 2009, between Dexia Crédit Local, Dexia Bank Belgium S.A., Financial Security Assurance Inc., FSA Asset Management LLC, FSA Capital Markets Services LLC and FSA Capital Management Services LLC (Incorporated by reference to Exhibit 10.19 to Financial Security Assurance Holdings Ltd.'s Form 10-K for the year ended December 31, 2008)
|
10.37
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust I (Incorporated by reference to Exhibit 99.5 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.38
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust II (Incorporated by reference to Exhibit 99.6 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.39
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust III (Incorporated by reference to Exhibit 99.7 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.40
|
Put Option Agreement, dated as of June 23, 2003 by and between FSA and Sutton Capital Trust IV (Incorporated by reference to Exhibit 99.8 to Financial Security Assurance Holdings Ltd.'s Form 10-Q for the quarter ended June 30, 2003)
|
10.41
|
Contribution Agreement, dated as of November 22, 2006, between Dexia S.A. and Financial Security Assurance Holdings Ltd. (Incorporated by reference to Exhibit 10.4 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 28, 2006)
|
10.42
|
Replacement Capital Covenant, dated as of November 22, 2006, by Financial Security Assurance Holdings Ltd. (Incorporated by reference to Exhibit 10.5 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on November 28, 2006)
|
10.43
|
Agreement and Amendment between Dexia Holdings Inc., Dexia Credit Local S.A. and the Company dated as of June 9, 2009 (Incorporated by reference to Exhibit 10.1 to Form 8-K filed on June 12, 2009)
|
10.44
|
Stock Purchase Agreement, dated as of December 22, 2014, between Assured Guaranty Corp. and Radian Guaranty Inc. (Incorporated by reference to Exhibit 10.44 to Form 10-K for the year ended December 31, 2014)
|
10.45
|
Summary of Annual Compensation*
|
10.46
|
Director Compensation Summary (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended March 31, 2015)*
|
|
|
Exhibit
Number
|
Description of Document
|
10.47
|
Assured Guaranty Ltd. 2004 Long-Term Incentive Plan, as amended and restated as of May 7, 2009 and as amended through the Third Amendment (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended March 31, 2014)*
|
10.48
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.34 to Form 10-K for the year ended December 31, 2005)*
|
10.49
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.35 to Form 10-K for the year ended December 31, 2005)*
|
10.50
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.66 to Form 10-K for the year ended December 31, 2007)*
|
10.51
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.67 to Form 10-K for the year ended December 31, 2007)*
|
10.52
|
Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.71 to Form 10-K for the year ended December 31, 2008)*
|
10.53
|
Non-Qualified Stock Option Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.19 to Form 10-Q for the quarter ended June 30, 2009)*
|
10.54
|
2010 Form of Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan to be used with employment agreement (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended March 31, 2010)*
|
10.55
|
2010 Form of Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan for use without employment agreement (Incorporated by reference to Exhibit 10.4 to Form 10-Q for the quarter ended March 31, 2010)*
|
10.56
|
2012 Form of Executive Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.7 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.57
|
2013 Form of Executive Non-Qualified Stock Option Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.58
|
Restricted Stock Unit Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long Term Incentive Plan (Incorporated by reference to Exhibit 10.37 to Form 10-K for the year ended December 31, 2005)*
|
10.59
|
Restricted Stock Unit Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended June 30, 2007)*
|
10.60
|
Restricted Stock Unit Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended June 30, 2008)*
|
10.61
|
Form of amendment to Restricted Stock Unit Awards for Outside Directors (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended June 30, 2008)*
|
10.62
|
Restricted Stock Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended June 30, 2008)*
|
10.63
|
2014 Restricted Stock Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.5 to Form 10-Q for the quarter ended June 30, 2014)*
|
10.64
|
Form of Restricted Stock Agreement for Outside Directors under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan, as in effect for awards commencing in 2015 (Incorporated by reference to Exhibit 10.4 to Form 10-Q for the quarter ended March 31, 2015)*
|
10.65
|
2013 Form of Executive Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.66
|
2014 Form of Executive Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended June 30, 2014)*
|
10.67
|
Form of Executive Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan, as in effect for awards commencing in 2015 (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended March 31, 2015)*
|
10.68
|
2013 Form of Executive Performance-Based Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended March 31, 2013)*
|
|
|
Exhibit
Number
|
Description of Document
|
10.69
|
2014 Form of Executive Performance-Based Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.3 to Form 10-Q for the quarter ended June 30, 2014)*
|
10.70
|
2015 Form of Executive Performance-Based Restricted Stock Unit Agreement under Assured Guaranty Ltd. 2004 Long-Term Incentive Plan (Incorporated by reference to Exhibit 10.2 to Form 10-Q for the quarter ended March 31, 2015)*
|
10.71
|
First Amendment to the Restricted Stock Unit Agreement for Outside Directors (Incorporated by reference to Exhibit 10.106 to Form 10-K for the year ended December 31, 2012)*
|
10.72
|
Assured Guaranty Ltd. Employee Stock Purchase Plan, as amended through the second amendment (Incorporated by reference to Exhibit 10.5 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.73
|
Assured Guaranty Ltd. Performance Retention Plan (As Amended and Restated as of February 14, 2008 for Awards Granted during 2007) (Incorporated by reference to Exhibit 10.50 to Form 10-K for the year ended December 31, 2007)*
|
10.74
|
Assured Guaranty Ltd. Performance Retention Plan (As Amended and Restated as of February 14, 2008) (Incorporated by reference to Exhibit 10.58 to Form 10-K for the year ended December 31, 2007)*
|
10.75
|
Terms of Performance Retention Award Four Year Installment Vesting Granted on February 9, 2012 for participants Subject to $1 million Limit (Incorporated by reference to Exhibit 10.10 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.76
|
Terms of Performance Retention Award Four Year Installment Vesting Granted on February 7, 2013 for Participants Subject to $1 million Limit (Incorporated by reference to Exhibit 10.4 to Form 10-Q for the quarter ended March 31, 2013)*
|
10.77
|
Terms of Performance Retention Award Four Year Installment Vesting Granted on February 5, 2014 for Participants Subject to $1 million Limit (Incorporated by reference to Exhibit 10.4 to Form 10-Q for the quarter ended June 30, 2014)*
|
10.78
|
Assured Guaranty Ltd. Executive Severance Plan (Incorporated by reference to Exhibit 10.5 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.79
|
Form of Acknowledgement Letter for Participants in Assured Guaranty Ltd. Executive Severance Plan (Incorporated by reference to Exhibit 10.11 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.80
|
Assured Guaranty Ltd. Perquisite Policy (Incorporated by reference to Exhibit 10.6 to Form 10-Q for the quarter ended March 31, 2012)*
|
10.81
|
Form of Indemnification Agreement between the Company and its executive officers and directors (Incorporated by reference to Exhibit 10.42 to Form 10-K for the year ended December 31, 2005)*
|
10.82
|
Assured Guaranty Ltd. Executive Officer Recoupment Policy (Incorporated by reference to Exhibit 10.69 to Form 10-K for the year ended December 31, 2008)*
|
10.83
|
Form of Acknowledgement of Assured Guaranty Ltd. Executive Officer Recoupment Policy (Incorporated by reference to Exhibit 10.70 to Form 10-K for the year ended December 31, 2008)*
|
10.84
|
Amended and Restated Assured Guaranty Ltd. Executive Officer Recoupment Policy (amended and restated effective November 3, 2015)*
|
10.85
|
Form of Acknowledgement of Amended and Restated Assured Guaranty Ltd. Executive Officer Recoupment Policy*
|
10.86
|
Assured Guaranty Ltd. Supplemental Employee Retirement Plan, as amended and restated effective January 1, 2009 and as amended by the First, Second, Third, Fourth and Fifth Amendments (Incorporated by reference to Exhibit 10.1 to Form 10-Q for the quarter ended September 30, 2012)*
|
10.87
|
Assured Guaranty Corp. Supplemental Executive Retirement Plan as amended through the Third Amendment thereto (Incorporated by reference to Exhibit 4.5 to Form S-8 (#333-178625))*
|
10.88
|
Financial Security Assurance Holdings Ltd. 1989 Supplemental Executive Retirement Plan (amended and restated as of December 17, 2004) (Incorporated by reference to Exhibit 10.4 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on December 17, 2004)*
|
10.89
|
Amendment to the Financial Security Assurance Holdings Ltd. 1989 Supplemental Employee Retirement Plan (Incorporated by reference to Exhibit 10.29 to Form 10-Q for the quarter ended June 30, 2009)*
|
10.90
|
Financial Security Assurance Holdings Ltd. 2004 Supplemental Executive Retirement Plan, as amended on February 14, 2008 (Incorporated by reference to Exhibit 10.3 to Financial Security Assurance Holdings Ltd.'s Form 8-K filed on February 15, 2008)*
|
|
|
Exhibit
Number
|
Description of Document
|
10.91
|
Separation Agreement, dated February 4, 2015, between Robert B. Mills and the Registrant (Incorporated by reference to Exhibit 10.91 to Form 10-K for the year ended December 31, 2014)*
|
12.1
|
Computation of Ratio of Earnings to Fixed Charges
|
21.1
|
Subsidiaries of the Registrant
|
23.1
|
Accountants Consent
|
31.1
|
Certification of CEO Pursuant to Exchange Act Rules 13A-14 and 15D-14, as Adopted Pursuant to Section 302 of the Sarbanes‑Oxley Act of 2002
|
31.2
|
Certification of CFO Pursuant to Exchange Act Rules 13A-14 and 15D-14, as Adopted Pursuant to Section 302 of the Sarbanes‑Oxley Act of 2002
|
32.1
|
Certification of CEO Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes‑ Oxley Act of 2002
|
32.2
|
Certification of CFO Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes‑ Oxley Act of 2002
|
101.1
|
The following financial information from Registrant's Annual Report on Form 10-K for the year ended December 31, 2015 formatted in XBRL (eXtensible Business Reporting Language) interactive data files pursuant to Rule 405 of Regulation S-T: (i) Consolidated Balance Sheets at December 31, 2015 and 2014; (ii) Consolidated Statements of Operations for the years ended December 31, 2015, 2014 and 2013; (iii) Consolidated Statements of Comprehensive Income for the years ended December 31, 2015, 2014 and 2013; (iv) Consolidated Statements of Shareholders' Equity for the years ended December 31, 2015, 2014 and 2013; (v) Consolidated Statements of Cash Flows for the years ended December 31, 2015, 2014 and 2013; and (vi) Notes to Consolidated Financial Statements.
|
*
|
Management contract or compensatory plan
|
|
Assured Guaranty Ltd.
|
|
|
|
|
|
|
|
|
By:
|
/s/ Dominic J. Frederico
Name: Dominic J. Frederico
Title:
President and Chief Executive Officer
|
|
|
Name
|
|
|
|
|
Position
|
|
|
|
|
Date
|
|
|
|
|
|
||||||||||||
/s/ Francisco L. Borges
Francisco L. Borges
|
Chairman of the Board; Director
|
February 26, 2016
|
||||||||||||
|
|
|
||||||||||||
/s/ Dominic J. Frederico
Dominic J. Frederico
|
President and Chief Executive Officer; Director
|
February 26, 2016
|
||||||||||||
|
|
|
||||||||||||
/s/ Robert A. Bailenson
Robert A. Bailenson
|
Chief Financial Officer (Principal Financial and Accounting Officer and Duly Authorized Officer)
|
February 26, 2016
|
||||||||||||
|
|
|
||||||||||||
/s/ G. Lawrence Buhl
G. Lawrence Buhl
|
Director
|
February 26, 2016
|
||||||||||||
|
|
|
||||||||||||
/s/ Stephen A. Cozen
Stephen A. Cozen
|
Director
|
February 26, 2016
|
||||||||||||
|
|
|
||||||||||||
/s/ Bonnie L. Howard
Bonnie L. Howard
|
Director
|
February 26, 2016
|
||||||||||||
|
|
|
||||||||||||
/s/ Thomas W. Jones
Thomas W. Jones
|
Director
|
February 26, 2016
|
||||||||||||
|
|
|
||||||||||||
/s/ Patrick W. Kenny
Patrick W. Kenny
|
Director
|
February 26, 2016
|
||||||||||||
|
|
|
||||||||||||
/s/ Alan J. Kreczko
Alan J. Kreczko
|
Director
|
February 26, 2016
|
||||||||||||
|
|
|
||||||||||||
/s/ Simon W. Leathes
Simon W. Leathes
|
Director
|
February 26, 2016
|
||||||||||||
|
|
|
||||||||||||
/s/ Michael T. O'Kane
Michael T. O'Kane
|
Director
|
February 26, 2016
|
||||||||||||
|
|
|
||||||||||||
/s/ Yukiko Omura
Yukiko Omura
|
Director
|
February 26, 2016
|
Executive Officer
|
Salary
|
Dominic J. Frederico
President and Chief Executive Officer
|
$1,150,000
|
Robert A. Bailenson
Chief Financial Officer
|
$600,000
|
James M. Michener
General Counsel
|
$600,000
|
Russell B. Brewer II
Chief Surveillance Officer
|
$450,000
|
Bruce E. Stern
Executive Officer
|
$450,000
|
•
|
To be considered to receive non-equity incentive compensation for 2016 performance.
|
•
|
To be considered to receive grants in 2017 under Assured Guaranty’s long-term incentive plans for 2016 performance.
|
•
|
To receive other annual compensation and benefits, including employer contributions to retirement plans and perquisites provided under the Assured Guaranty Ltd. Perquisite Policy.
|
(a)
|
If there is a material restatement of the financial statements of the Company that is materially related to the misconduct of an individual who, at the time of the misconduct, is an Executive Officer, then any exercise of an option occurring within 12 months after the restated period may, in the discretion of the Compensation Committee, be rescinded, subject to the following:
|
(b)
|
For purposes of this Policy, the term “option” means an option to purchase shares of Company stock that is granted in return for services provided to the Company and its subsidiaries as an employee, excluding any option granted under the Assured Guaranty Ltd. Employee Stock Purchase Plan or other plan that is intended to satisfy the requirements of section 423 of the Internal Revenue Code.
|
(c)
|
For purposes of this paragraph 1, “Optionee” means, with respect to any option, the person to whom the option has been granted.
|
(a)
|
If there is a material restatement of the financial statements of the Company, then any bonus paid to a person may, in the discretion of the Compensation Committee, be recouped, subject to the following:
|
(b)
|
For purposes of this Policy, the term “bonus” means cash compensation for services provided to the Company or its subsidiaries as an employee that is payable in recognition of the employee’s past or future level of achievement of objective or subjective performance goals; provided that the determination of whether a payment constitutes a “bonus” shall be made without regard to whether the amount is determined on a discretionary or formulaic basis. However, the term “bonus” does not include compensation that is guaranteed regardless of the level of performance.
|
(a)
|
If the amount of incentive compensation payable to an individual is based solely on the attainment of a level of objective quantifiable performance goals and, after the date on which such incentive compensation is paid (or would have been paid in the absence of an elective deferral of payment by the individual), the level of such performance used to determine the amount of such payment is determined to have been inaccurate, and so the amount of the payment is greater than it should have been, then an individual who received an amount of incentive compensation in excess of the amount that would have been paid if the accurate level of performance had been known
may, in the discretion of the Compensation Committee, be required to repay the excess, subject to the following:
|
(b)
|
For purposes of this Policy, the term “incentive compensation” means compensation for services provided to the Company or its subsidiaries as an employee; provided that a payment shall constitute “incentive compensation” only if the amount of such payment is based solely on attainment of objective quantifiable performance goals over a specified performance period; and further provided that the determination of whether a payment constitutes “incentive compensation” shall be made without regard to whether it is paid in cash or stock. However, the term “incentive compensation” does not include compensation that is guaranteed regardless of the level of performance.
|
(a)
|
Attorney Fees
. In the event of a dispute between the Company and an individual recipient of an option, bonus, or incentive compensation as to whether an amount may be recouped under this Policy, the Company will pay the individual’s reasonable attorney fees incurred in connection with the dispute as those fees are incurred by the individual. The individual will be required to repay the legal fees to the Company if the court or arbitrator finds that the individual engaged in misconduct with respect to the amount subject to the recoupment.
|
(b)
|
Taxes
. The amount that would otherwise be recouped from an individual in accordance with paragraphs 1, 2 and 3 above will be reduced by the excess, if any, of the amount of any taxes due from the individual with respect to payments (including amounts taxable as a result of the exercise of an option) previously made to him or her, minus the amount of the tax benefits to him or her attributable to the recoupment.
|
(c)
|
Employment Status
. The right of recoupment against an individual shall apply without regard to whether the individual is employed by the Company or a subsidiary at the time of the recoupment.
|
(d)
|
Amendment
. This Policy may be amended by the Compensation Committee of the Company at any time; provided that, except for amendments that are required to comply with applicable law, governmental regulations or stock exchange requirements (“Applicable Law,” which term expressly includes regulations of the U.S. Securities and Exchange Commission (“SEC”) and/or listing standards of the New York Stock Exchange (“NYSE”)) no such amendment may adversely affect any individual with respect to an option, bonus, or incentive compensation with a Grant Date that is before the date on which the amendment is adopted by the Compensation Committee.
|
(e)
|
Discretion
. The Compensation Committee, after taking into account such considerations at the members of that committee determine to be relevant, may reduce the amount otherwise due under this Policy, and may provide that the Company will enter into such arrangements for repayment as the committee determines to be appropriate.
|
(f)
|
Effective Date
. Paragraphs 1, 2, and 3 will not apply to any option, bonus, or incentive compensation with a Grant Date earlier than January 1, 2009. Notwithstanding any other provision of this Policy, to the extent required by Applicable Law, this Policy will apply to any option, bonus, incentive compensation or any other compensation subject to such Applicable Law, including any option, bonus, incentive compensation or any other compensation subject to such Applicable Law with a Grant Date occurring, or performance period commencing, prior to the effective date of such Applicable Law, including regulations adopted by the SEC to implement the mandate of the Dodd-Frank Wall Street Reform and Consumer Protection Act with respect to the recoupment of erroneously awarded or paid compensation and NYSE listing standards adopted pursuant thereto.
|
(g)
|
Change in Control
. Unless required by Applicable Law, no recoupment under this Policy will be made after a Change in Control with respect to any option, bonus, or incentive compensation with a Grant Date before the Change in Control. For this purpose, the term “Change in Control” shall have the meaning ascribed to it in the 2004 Long-Term Incentive Plan as in effect on February 5, 2009.
|
(a)
|
Company
. The term “Company” includes Assured Guaranty Ltd. and any successor to Assured Guaranty Ltd.
|
(b)
|
Executive Officer
. An individual will be an “Executive Officer” as of any date if he or she is an individual identified as an executive officer (including the chief financial officer) in the annual report on Form 10-K for the Company as of that date.
|
(c)
|
Grant Date
. The “Grant Date” of an option will be the date on which it is treated as having been granted for financial accounting purposes. The “Grant Date” of a bonus or incentive compensation payment will be the first day of the period of service with respect to which the payment is made.
|
(d)
|
Misconduct
. “Misconduct” means fraudulent or illegal conduct or omission that is knowing or intentional.
|
|
Year Ended December 31,
|
||||||||||||||||||
|
2015
|
|
2014
|
|
2013
|
|
2012
|
|
2011
|
||||||||||
Income (loss) before income taxes
|
$
|
1,431
|
|
|
$
|
1,531
|
|
|
$
|
1,142
|
|
|
$
|
132
|
|
|
$
|
1,029
|
|
Fixed Charges
|
145
|
|
|
136
|
|
|
156
|
|
|
174
|
|
|
252
|
|
|||||
Income (loss) as adjusted
|
1,576
|
|
|
1,667
|
|
|
1,298
|
|
|
306
|
|
|
1,281
|
|
|||||
Fixed charges:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest expense (1)
|
101
|
|
|
92
|
|
|
82
|
|
|
92
|
|
|
99
|
|
|||||
Portion of rents representative of the interest factor
|
4
|
|
|
3
|
|
|
4
|
|
|
4
|
|
|
5
|
|
|||||
Interest expense on financial guaranty variable interest entities’ (“FG VIE”) liabilities (1)
|
40
|
|
|
41
|
|
|
70
|
|
|
78
|
|
|
148
|
|
|||||
Total fixed charges
|
$
|
145
|
|
|
$
|
136
|
|
|
$
|
156
|
|
|
$
|
174
|
|
|
$
|
252
|
|
Ratio of consolidated earnings to fixed charges (1)
|
10.9
|
|
|
12.3
|
|
|
8.3
|
|
|
1.8
|
|
|
5.1
|
|
(1)
|
For purposes of computing the ratios, earnings consist of income (loss) before income tax expense plus fixed charges to the extent that these charges are included in the determination of earnings. Fixed charges consist of interest expense plus one-third of rent expense under operating leases, which are estimated by management to be the interest factor of these rentals. Interest expense includes interest on long term debt and interest expense on FG VIE liabilities with and without recourse. The Company is not primarily liable for the debt obligations issued by the FG VIEs they insure (i.e. with recourse) and would only be required to make payments on these obligations in the event that the issuer of such debt obligations defaults on any principal or interest due. FG VIEs’ liabilities that are insured by the Company are considered to be with recourse because the Company guarantees the payment of principal and interest regardless of the performance of the FG VIEs’ assets. FG VIEs’ liabilities that are not insured by the Company are considered to be without recourse because the payment of principal and interest on these liabilities is wholly dependent on the performance of the FG VIEs’ assets.
|
Assured Guaranty Re Ltd. (Bermuda domiciled subsidiary of Assured Guaranty Ltd.)
|
|
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Cypress Point Funding Limited (Cayman Islands domiciled 23% owned subsidiary of Assured Guaranty Re Ltd.)
2
|
|
|
Assured Guaranty Overseas US Holdings Inc. (Delaware domiciled subsidiary of Assured Guaranty Re Ltd.)
|
|
|
Assured Guaranty Re Overseas Ltd. (Bermuda domiciled subsidiary of Assured Guaranty Overseas US Holdings Inc.)
|
|
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AG Intermediary Inc. (New York domiciled subsidiary of Assured Guaranty Re Overseas Ltd.)
|
|
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AG Management Ltd. (Bermuda domiciled subsidiary of Assured Guaranty Re Overseas Ltd.)
|
|
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Assured Guaranty Finance Overseas Ltd. (England domiciled subsidiary of Assured Guaranty Ltd.)
|
|
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Cedar Personnel Ltd. (Bermuda domiciled subsidiary of Assured Guaranty Ltd.)
|
|
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Assured Guaranty US Holdings Inc. (Delaware domiciled subsidiary of Assured Guaranty Ltd.)
|
|
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Assured Guaranty Municipal Holdings Inc. (New York domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
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EFS-AGIC Master Business Trust (Delaware domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
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AE Global Holdings, LLC (Delaware domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
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AE Global Investments, LLC (Delaware domiciled subsidiary of AE Global Holdings, LLC)
|
|
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AE Global Asset Funding, LLC (Delaware domiciled subsidiary of AE Global Holdings, LLC)
|
|
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FSA Portfolio Management Inc. (New York domiciled subsidiary of Assured Guaranty Municipal Holdings Inc.)
|
|
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Transaction Services Corporation (New York domiciled subsidiary of Assured Guaranty Municipal Holdings Inc.)
|
|
|
Assured Guaranty Municipal Corp. (New York domiciled subsidiary of Assured Guaranty Municipal Holdings Inc.)
|
|
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Assured Guaranty (Europe) Ltd. (England domiciled subsidiary of Assured Guaranty Municipal Corp.)
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|
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Municipal Assurance Holdings Inc. (Delaware domiciled 60.7% owned subsidiary of Assured Guaranty Municipal Corp. and 39.3% owned subsidiary of Assured Guaranty Corp.)
|
|
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Municipal Assurance Corp. (New York domiciled subsidiary of Municipal Assurance Holdings Inc.)
|
|
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AG Analytics Inc. (Delaware domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
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Assured Guaranty (UK) Services Limited (England domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
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Assured Guaranty Corp. (Maryland domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
|
Prescott, LLC (Delaware domiciled subsidiary of Assured Guaranty Corp.)
|
|
|
Four Hundred Main Street LLC (Delaware domiciled subsidiary of Assured Guaranty Corp)
|
|
|
AG PFC Holding LLC (Delaware domiciled subsidiary of Assured Guaranty Corp.)
|
|
|
AGFP Holdings LLC (Delaware domiciled subsidiary of AG PFC Holding LLC)
|
|
|
Portfolio Funding Company LLC I (Delaware domiciled 50% owned subsidiary of AGFP Holdings LLC)
3
|
|
|
Van American Insurance Agency, Inc. (South Carolina domiciled subsidiary of Assured Guaranty Corp.)
|
|
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Hoboken LLC (Delaware domiciled subsidiary of Assured Guaranty Corp.)
|
|
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Assured Guaranty (UK) Ltd. (England domiciled subsidiary of Assured Guaranty Corp.)
|
|
|
AG Financial Products Inc. (Delaware domiciled subsidiary of Assured Guaranty US Holdings Inc.)
|
|
|
AG CAT Re Ltd. (Bermuda domiciled company)
4
|
|
(1)
|
All subsidiaries are wholly owned except for AG CAT Re Ltd., Cypress Point Funding Limited, and Portfolio Funding Company LLC I.
|
(2)
|
The remaining 77% of Cypress Point Funding Limited (Cayman) is 23% owned by XL Insurance Ltd. and 54% owned by Maples FS Limited.
|
(3)
|
The remaining 50% of Portfolio Funding Company LLC I was owned by a subsidiary of Goldman, Sachs & Co. as of December 31, 2014, and since January 23, 2015, is owned by a subsidiary of AMC Networks Inc.
|
(4)
|
AG CAT Re Ltd. is wholly owned by Codan Trust Company Limited, an entity that is not owned or controlled by Assured Guaranty Ltd. The insurance manager of AG CAT Re Ltd. is AG Management Ltd.
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1.
|
I have reviewed this Annual Report on Form 10-K of Assured Guaranty Ltd.
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent function):
|
|
By:
|
/s/ DOMINIC J. FREDERICO
|
|
|
|
|
|
Dominic J. Frederico
|
|
|
President and Chief Executive Officer
|
1.
|
I have reviewed this Annual Report on Form 10-K of Assured Guaranty Ltd.
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent function):
|
|
By:
|
/s/ ROBERT A. BAILENSON
|
|
|
|
|
|
Robert A. Bailenson
|
|
|
Chief Financial Officer
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ DOMINIC J. FREDERICO
|
|
|
|
Name: Dominic J. Frederico
|
|
Title:
President and Chief Executive Officer
|
|
Date: February 26, 2016
|
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ ROBERT A. BAILENSON
|
|
|
|
Name: Robert A. Bailenson
|
|
Title:
Chief Financial Officer
|
|
Date: February 26, 2016
|
|