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ý
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QUARTERLY REPORT UNDER SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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o
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Bermuda
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98-0429991
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(State or other jurisdiction
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(I.R.S. employer
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of incorporation)
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identification no.)
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Large accelerated filer
x
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Accelerated filer
o
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Non-accelerated filer
o
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Smaller reporting company
o
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(Do not check if a smaller reporting company)
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Page
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ITEM 1.
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FINANCIAL STATEMENTS
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As of
March 31, 2016 |
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As of
December 31, 2015 |
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Assets
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Investment portfolio:
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Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $10,123
a
nd $10,275)
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$
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10,588
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$
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10,627
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Short-term investments, at fair value
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459
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396
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Other invested assets
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167
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169
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Total investment portfolio
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11,214
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11,192
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Cash
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112
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166
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Premiums receivable, net of commissions payable
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662
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693
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Ceded unearned premium reserve
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236
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232
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Deferred acquisition costs
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113
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114
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Reinsurance recoverable on unpaid losses
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72
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69
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Salvage and subrogation recoverable
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206
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126
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Credit derivative assets
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55
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81
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Deferred tax asset, net
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278
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276
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Current income tax receivable
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11
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40
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Financial guaranty variable interest entities’ assets, at fair value
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1,191
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1,261
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Other assets
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302
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294
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Total assets
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$
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14,452
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$
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14,544
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Liabilities and shareholders’ equity
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Unearned premium reserve
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$
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3,810
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$
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3,996
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Loss and loss adjustment expense reserve
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1,112
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1,067
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Reinsurance balances payable, net
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58
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51
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Long-term debt
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1,302
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1,300
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Credit derivative liabilities
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489
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446
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Financial guaranty variable interest entities’ liabilities with recourse, at fair value
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1,165
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1,225
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Financial guaranty variable interest entities’ liabilities without recourse, at fair value
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119
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124
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Other liabilities
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284
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272
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Total liabilities
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8,339
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8,481
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Commitments and contingencies (See Note 14)
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Common stock ($0.01 par value, 500,000,000 shares authorized; 135,083,637 and 137,928,552 shares issued and outstanding)
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1
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1
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Additional paid-in capital
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1,269
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1,342
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Retained earnings
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4,519
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4,478
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Accumulated other comprehensive income, net of tax of $127 and $104
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319
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237
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Deferred equity compensation (320,193 and 320,193 shares)
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5
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5
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Total shareholders’ equity
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6,113
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6,063
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Total liabilities and shareholders’ equity
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$
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14,452
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$
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14,544
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Three Months Ended March 31,
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2016
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2015
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Revenues
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Net earned premiums
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$
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183
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$
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142
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Net investment income
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99
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101
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Net realized investment gains (losses):
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Other-than-temporary impairment losses
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(20
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)
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(5
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)
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Less: portion of other-than-temporary impairment loss
recognized in other comprehensive income
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(4
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)
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2
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Net impairment loss
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(16
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)
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(7
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)
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Other net realized investment gains (losses)
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3
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23
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Net realized investment gains (losses)
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(13
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)
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16
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Net change in fair value of credit derivatives:
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Realized gains (losses) and other settlements
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8
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21
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Net unrealized gains (losses)
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(68
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)
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103
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Net change in fair value of credit derivatives
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(60
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)
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124
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Fair value gains (losses) on committed capital securities
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(16
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)
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2
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Fair value gains (losses) on financial guaranty variable interest entities
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18
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(7
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)
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Other income (loss)
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34
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(9
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)
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Total revenues
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245
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369
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Expenses
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Loss and loss adjustment expenses
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90
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18
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Amortization of deferred acquisition costs
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4
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4
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Interest expense
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26
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25
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Other operating expenses
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60
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56
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Total expenses
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180
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103
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Income (loss) before income taxes
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65
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266
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Provision (benefit) for income taxes
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Current
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30
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13
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Deferred
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(24
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)
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52
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Total provision (benefit) for income taxes
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6
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65
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Net income (loss)
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$
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59
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$
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201
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Earnings per share:
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Basic
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$
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0.43
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$
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1.29
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Diluted
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$
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0.43
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$
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1.28
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Dividends per share
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$
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0.13
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$
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0.12
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Three Months Ended March 31,
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2016
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2015
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Net income (loss)
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$
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59
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$
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201
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Unrealized holding gains (losses) arising during the period on:
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Investments with no other-than-temporary impairment, net of tax provision (benefit) of $31, and $1
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95
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18
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Investments with other-than-temporary impairment, net of tax provision (benefit) of $(10) and $(2)
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(17
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)
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(2
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)
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Unrealized holding gains (losses) arising during the period, net of tax
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78
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16
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Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(4) and $6
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(6
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)
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10
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Change in net unrealized gains on investments
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84
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6
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Other, net of tax provision
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(2
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)
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(6
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)
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Other comprehensive income (loss)
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$
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82
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$
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0
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Comprehensive income (loss)
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$
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141
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$
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201
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Common Shares Outstanding
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Common Stock Par Value
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Additional
Paid-in
Capital
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Retained Earnings
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Accumulated
Other
Comprehensive Income
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Deferred
Equity Compensation
|
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Total
Shareholders’ Equity
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|||||||||||||
Balance at December 31, 2015
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137,928,552
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$
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1
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$
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1,342
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|
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$
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4,478
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$
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237
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|
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$
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5
|
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$
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6,063
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Net income
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—
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|
|
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—
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—
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59
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—
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—
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59
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Dividends ($0.13 per share)
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—
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—
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—
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(18
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)
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—
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—
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(18
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)
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Common stock repurchases
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(3,038,928
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)
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0
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(75
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)
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—
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—
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—
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(75
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)
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Share-based compensation and other
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194,013
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|
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0
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|
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2
|
|
|
—
|
|
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—
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|
|
—
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|
|
2
|
|
||||||
Other comprehensive income
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—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
82
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|
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—
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|
|
82
|
|
||||||
Balance at March 31, 2016
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135,083,637
|
|
|
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$
|
1
|
|
|
$
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1,269
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|
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$
|
4,519
|
|
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$
|
319
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|
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$
|
5
|
|
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$
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6,113
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|
|
Three Months Ended March 31,
|
||||||
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2016
|
|
2015
|
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Net cash flows provided by (used in) operating activities
|
$
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(90
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)
|
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$
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23
|
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Investing activities
|
|
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|
|
|
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Fixed-maturity securities:
|
|
|
|
|
|
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Purchases
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(296
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)
|
|
(448
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)
|
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Sales
|
162
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|
|
841
|
|
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Maturities
|
301
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|
|
155
|
|
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Net sales (purchases) of short-term investments
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(63
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)
|
|
420
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|
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Net proceeds from paydowns on financial guaranty variable interest entities’ assets
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66
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|
|
30
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|
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Other
|
2
|
|
|
3
|
|
||
Net cash flows provided by (used in) investing activities
|
172
|
|
|
1,001
|
|
||
Financing activities
|
|
|
|
|
|
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Dividends paid
|
(18
|
)
|
|
(19
|
)
|
||
Repurchases of common stock
|
(75
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)
|
|
(152
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)
|
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Share activity under option and incentive plans
|
0
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|
|
(5
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)
|
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Net paydowns of financial guaranty variable interest entities’ liabilities
|
(42
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)
|
|
(39
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)
|
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Repayment of long-term debt
|
0
|
|
|
(1
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)
|
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Other
|
(1
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)
|
|
4
|
|
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Net cash flows provided by (used in) financing activities
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(136
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)
|
|
(212
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)
|
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Effect of foreign exchange rate changes
|
0
|
|
|
(2
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)
|
||
Increase (decrease) in cash
|
(54
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)
|
|
810
|
|
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Cash at beginning of period
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166
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|
|
75
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|
||
Cash at end of period
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$
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112
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$
|
885
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Supplemental cash flow information
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|
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Cash paid (received) during the period for:
|
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|
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Income taxes
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$
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1
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$
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17
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Interest
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$
|
7
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|
|
$
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7
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1.
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Business and Basis of Presentation
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•
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Assured Guaranty Municipal Corp. ("AGM"), domiciled in New York;
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•
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Municipal Assurance Corp. ("MAC"), domiciled in New York;
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•
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Assured Guaranty Corp. ("AGC"), domiciled in Maryland;
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•
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Assured Guaranty (Europe) Ltd. ("AGE"), organized in the United Kingdom; and
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•
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Assured Guaranty Re Ltd. (“AG Re”), domiciled in Bermuda.
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2.
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Acquisitions
|
•
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On December 8, 2015 Moody's published credit opinions maintaining its existing insurance financial strength ratings of A2 (stable outlook) on AGM and AGE and A3 (negative outlook) on AGC and AGC's subsidiary Assured Guaranty (UK) Ltd. ("AGUK"). Effective April 8, 2015, at the Company's request, Moody’s withdrew the financial strength ratings it had assigned to AG Re and AGRO.
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•
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On August 3, 2015 and December 10, 2015, KBRA affirmed the AA+ (stable outlook) financial strength ratings of MAC and AGM, respectively.
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•
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On June 29, 2015, S&P affirmed the AA (stable) financial strength ratings of all of AGL's insurance subsidiaries.
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•
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On May 5, 2015, Best assigned to AGRO a financial strength rating of A+ (Stable), which is their second highest rating.
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•
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Note 6, Financial Guaranty Insurance
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•
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Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives
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•
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Note 13, Reinsurance and Other Monoline Exposures
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•
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Note 15, Long-Term Debt and Credit Facilities
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4.
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Outstanding Exposure
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•
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BIG Category 1: Below-investment-grade transactions showing sufficient deterioration to make future losses possible, but for which none are currently expected.
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•
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BIG Category 2: Below-investment-grade transactions for which future losses are expected but for which no claims (other than liquidity claims, which are claims that the Company expects to be reimbursed within
one
year) have yet been paid.
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•
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BIG Category 3: Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid.
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Gross Debt Service
Outstanding
|
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Net Debt Service
Outstanding
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||||||||||||
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March 31,
2016 |
|
December 31,
2015 |
|
March 31,
2016 |
|
December 31,
2015 |
||||||||
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(in millions)
|
||||||||||||||
Public finance
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$
|
496,630
|
|
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$
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515,494
|
|
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$
|
476,362
|
|
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$
|
494,426
|
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Structured finance
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42,012
|
|
|
43,976
|
|
|
40,037
|
|
|
41,915
|
|
||||
Total financial guaranty
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$
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538,642
|
|
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$
|
559,470
|
|
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$
|
516,399
|
|
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$
|
536,341
|
|
|
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Public Finance
U.S.
|
|
Public Finance
Non-U.S.
|
|
Structured Finance
U.S
|
|
Structured Finance
Non-U.S
|
|
Total
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|||||||||||||||||||||||||
Rating
Category
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|
Net Par
Outstanding
|
|
%
|
|||||||||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
AAA
|
|
$
|
2,541
|
|
|
0.9
|
%
|
|
$
|
688
|
|
|
2.3
|
%
|
|
$
|
13,953
|
|
|
45.8
|
%
|
|
$
|
2,529
|
|
|
49.4
|
%
|
|
$
|
19,711
|
|
|
5.7
|
%
|
AA
|
|
65,310
|
|
|
23.2
|
|
|
1,969
|
|
|
6.7
|
|
|
7,505
|
|
|
24.7
|
|
|
154
|
|
|
3.0
|
|
|
74,938
|
|
|
21.6
|
|
|||||
A
|
|
145,515
|
|
|
51.6
|
|
|
6,695
|
|
|
22.8
|
|
|
2,584
|
|
|
8.5
|
|
|
551
|
|
|
10.8
|
|
|
155,345
|
|
|
44.7
|
|
|||||
BBB
|
|
60,736
|
|
|
21.5
|
|
|
18,622
|
|
|
63.4
|
|
|
1,279
|
|
|
4.2
|
|
|
1,267
|
|
|
24.7
|
|
|
81,904
|
|
|
23.6
|
|
|||||
BIG
|
|
7,953
|
|
|
2.8
|
|
|
1,411
|
|
|
4.8
|
|
|
5,131
|
|
|
16.8
|
|
|
622
|
|
|
12.1
|
|
|
15,117
|
|
|
4.4
|
|
|||||
Total net par outstanding (1)
|
|
$
|
282,055
|
|
|
100.0
|
%
|
|
$
|
29,385
|
|
|
100.0
|
%
|
|
$
|
30,452
|
|
|
100.0
|
%
|
|
$
|
5,123
|
|
|
100.0
|
%
|
|
$
|
347,015
|
|
|
100.0
|
%
|
(1)
|
Excludes
$1.5 billion
of loss mitigation securities insured and held by the Company as of
March 31, 2016
, which are primarily BIG.
|
|
|
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)
|
|
$
|
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.
|
|
BIG Net Par Outstanding
|
|
Net Par
|
||||||||||||||||
|
BIG 1
|
|
BIG 2
|
|
BIG 3
|
|
Total BIG
|
|
Outstanding
|
||||||||||
|
|
|
|
|
(in millions)
|
|
|
|
|
||||||||||
U.S. public finance
|
$
|
4,608
|
|
|
$
|
3,191
|
|
|
$
|
154
|
|
|
$
|
7,953
|
|
|
$
|
282,055
|
|
Non-U.S. public finance
|
882
|
|
|
529
|
|
|
—
|
|
|
1,411
|
|
|
29,385
|
|
|||||
Structured finance:
|
|
|
|
|
|
|
|
|
|
||||||||||
First lien U.S. residential mortgage-backed securities ("RMBS"):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Prime first lien
|
192
|
|
|
32
|
|
|
24
|
|
|
248
|
|
|
425
|
|
|||||
Alt-A first lien
|
125
|
|
|
66
|
|
|
507
|
|
|
698
|
|
|
1,238
|
|
|||||
Option ARM
|
50
|
|
|
7
|
|
|
78
|
|
|
135
|
|
|
235
|
|
|||||
Subprime
|
82
|
|
|
281
|
|
|
866
|
|
|
1,229
|
|
|
3,305
|
|
|||||
Second lien U.S. RMBS
|
225
|
|
|
47
|
|
|
1,100
|
|
|
1,372
|
|
|
1,474
|
|
|||||
Total U.S. RMBS
|
674
|
|
|
433
|
|
|
2,575
|
|
|
3,682
|
|
|
6,677
|
|
|||||
Triple-X life insurance transactions
|
—
|
|
|
—
|
|
|
216
|
|
|
216
|
|
|
2,650
|
|
|||||
Trust preferred securities (“TruPS”)
|
650
|
|
|
127
|
|
|
—
|
|
|
777
|
|
|
4,296
|
|
|||||
Student loans
|
—
|
|
|
68
|
|
|
81
|
|
|
149
|
|
|
1,815
|
|
|||||
Other structured finance
|
743
|
|
|
147
|
|
|
39
|
|
|
929
|
|
|
20,137
|
|
|||||
Total
|
$
|
7,557
|
|
|
$
|
4,495
|
|
|
$
|
3,065
|
|
|
$
|
15,117
|
|
|
$
|
347,015
|
|
|
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
|
|
|||||
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
|
|
|
|
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
|
|
$
|
6,585
|
|
|
$
|
972
|
|
|
$
|
7,557
|
|
|
202
|
|
|
12
|
|
|
214
|
|
Category 2
|
|
4,015
|
|
|
480
|
|
|
4,495
|
|
|
86
|
|
|
7
|
|
|
93
|
|
|||
Category 3
|
|
2,938
|
|
|
127
|
|
|
3,065
|
|
|
129
|
|
|
12
|
|
|
141
|
|
|||
Total BIG
|
|
$
|
13,538
|
|
|
$
|
1,579
|
|
|
$
|
15,117
|
|
|
417
|
|
|
31
|
|
|
448
|
|
|
|
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
|
|
(2)
|
A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments.
|
|
Gross Par Outstanding
|
|
Gross Debt Service Outstanding
|
||||||||||||
|
March 31,
2016 |
|
December 31,
2015 |
|
March 31,
2016 |
|
December 31,
2015 |
||||||||
|
(in millions)
|
||||||||||||||
Previously Subject to the Voided Recovery Act (1)
|
$
|
2,965
|
|
|
$
|
2,965
|
|
|
$
|
5,090
|
|
|
$
|
5,162
|
|
Not Previously Subject to the Voided Recovery Act
|
2,791
|
|
|
2,790
|
|
|
4,398
|
|
|
4,470
|
|
||||
Total
|
$
|
5,756
|
|
|
$
|
5,755
|
|
|
$
|
9,488
|
|
|
$
|
9,632
|
|
(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
March 31, 2016 |
|
As of
December 31, 2015 |
||||||||
|
|
Total
|
|
Internal Rating
|
|
Total
|
|
Internal Rating
|
||||
|
|
(in millions)
|
||||||||||
Exposures Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
||||
PRHTA (Transportation revenue) (1)
|
|
$
|
910
|
|
|
CCC-
|
|
$
|
909
|
|
|
CCC-
|
PREPA
|
|
744
|
|
|
CC
|
|
744
|
|
|
CC
|
||
PRASA
|
|
388
|
|
|
CCC
|
|
388
|
|
|
CCC
|
||
PRHTA (Highway revenue)(1)
|
|
369
|
|
|
CCC
|
|
370
|
|
|
CCC
|
||
PRCCDA (1)
|
|
164
|
|
|
CCC-
|
|
164
|
|
|
CCC-
|
||
Total
|
|
2,575
|
|
|
|
|
2,575
|
|
|
|
||
|
|
|
|
|
|
|
|
|
||||
Exposures Not Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
|
1,615
|
|
|
CCC
|
|
1,615
|
|
|
CCC
|
||
MFA
|
|
387
|
|
|
CCC-
|
|
387
|
|
|
CCC-
|
||
COFINA
|
|
270
|
|
|
CCC+
|
|
269
|
|
|
CCC+
|
||
Puerto Rico Public Buildings Authority
|
|
188
|
|
|
CCC
|
|
188
|
|
|
CCC
|
||
PRIFA (1) (2)
|
|
18
|
|
|
C
|
|
18
|
|
|
CCC-
|
||
University of Puerto Rico
|
|
1
|
|
|
CCC-
|
|
1
|
|
|
CCC-
|
||
Total
|
|
2,479
|
|
|
|
|
2,478
|
|
|
|
||
Total net exposure to Puerto Rico
|
|
$
|
5,054
|
|
|
|
|
$
|
5,053
|
|
|
|
(1)
|
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.
|
(2)
|
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 (April 1 – June 30)
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
2
|
|
|
$
|
0
|
|
|
$
|
2
|
|
2016 (July 1 – September 30)
|
98
|
|
|
204
|
|
|
302
|
|
|
161
|
|
|
267
|
|
|
428
|
|
||||||
2016 (October 1 – December 31)
|
0
|
|
|
0
|
|
|
0
|
|
|
2
|
|
|
0
|
|
|
2
|
|
||||||
2017
|
51
|
|
|
171
|
|
|
222
|
|
|
175
|
|
|
288
|
|
|
463
|
|
||||||
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
|
|
|
40
|
|
|
150
|
|
|
214
|
|
|
123
|
|
|
337
|
|
||||||
2024
|
89
|
|
|
85
|
|
|
174
|
|
|
188
|
|
|
164
|
|
|
352
|
|
||||||
2025
|
111
|
|
|
85
|
|
|
196
|
|
|
206
|
|
|
159
|
|
|
365
|
|
||||||
2026-2030
|
590
|
|
|
353
|
|
|
943
|
|
|
974
|
|
|
660
|
|
|
1,634
|
|
||||||
2031-2035
|
583
|
|
|
548
|
|
|
1,131
|
|
|
838
|
|
|
761
|
|
|
1,599
|
|
||||||
2036-2040
|
308
|
|
|
271
|
|
|
579
|
|
|
427
|
|
|
355
|
|
|
782
|
|
||||||
2041-2045
|
137
|
|
|
159
|
|
|
296
|
|
|
206
|
|
|
174
|
|
|
380
|
|
||||||
2046-2047
|
168
|
|
|
—
|
|
|
168
|
|
|
181
|
|
|
—
|
|
|
181
|
|
||||||
Total
|
$
|
2,575
|
|
|
$
|
2,479
|
|
|
$
|
5,054
|
|
|
$
|
4,476
|
|
|
$
|
3,993
|
|
|
$
|
8,469
|
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sub-sovereign exposure(2)
|
$
|
271
|
|
|
$
|
827
|
|
|
$
|
84
|
|
|
$
|
375
|
|
|
$
|
1,557
|
|
Non-sovereign exposure(3)
|
179
|
|
|
458
|
|
|
—
|
|
|
—
|
|
|
637
|
|
|||||
Total
|
$
|
450
|
|
|
$
|
1,285
|
|
|
$
|
84
|
|
|
$
|
375
|
|
|
$
|
2,194
|
|
Total BIG (See Note 5)
|
$
|
379
|
|
|
$
|
—
|
|
|
$
|
84
|
|
|
$
|
375
|
|
|
$
|
838
|
|
(1)
|
While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros.
|
(2)
|
Sub-sovereign exposure in Selected European Countries includes transactions backed by receivables from or supported by sub-sovereigns, which are governmental or government-backed entities other than the ultimate governing body of the country.
|
(3)
|
Non-sovereign exposure in Selected European Countries includes debt of regulated utilities and RMBS.
|
5.
|
Expected Loss to be Paid
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Net expected loss to be paid, beginning of period
|
$
|
1,391
|
|
|
$
|
1,169
|
|
Economic loss development due to:
|
|
|
|
||||
Accretion of discount
|
9
|
|
|
7
|
|
||
Changes in discount rates
|
63
|
|
|
7
|
|
||
Changes in timing and assumptions
|
(13
|
)
|
|
(17
|
)
|
||
Total economic loss development
|
59
|
|
|
(3
|
)
|
||
Paid losses
|
(113
|
)
|
|
(12
|
)
|
||
Net expected loss to be paid, end of period
|
$
|
1,337
|
|
|
$
|
1,154
|
|
|
Net Expected
Loss to be
Paid
(Recovered)
as of
December 31, 2015 (2)
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses (1)
|
|
Net Expected
Loss to be Paid
(Recovered)
as of
March 31, 2016 (2) |
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
771
|
|
|
$
|
98
|
|
|
$
|
(5
|
)
|
|
$
|
864
|
|
Non-U.S. public finance
|
38
|
|
|
1
|
|
|
—
|
|
|
39
|
|
||||
Public Finance
|
809
|
|
|
99
|
|
|
(5
|
)
|
|
903
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
(2
|
)
|
|
0
|
|
|
1
|
|
|
(1
|
)
|
||||
Alt-A first lien
|
127
|
|
|
(16
|
)
|
|
(75
|
)
|
|
36
|
|
||||
Option ARM
|
(28
|
)
|
|
(21
|
)
|
|
2
|
|
|
(47
|
)
|
||||
Subprime
|
251
|
|
|
1
|
|
|
(12
|
)
|
|
240
|
|
||||
Total first lien
|
348
|
|
|
(36
|
)
|
|
(84
|
)
|
|
228
|
|
||||
Second lien
|
61
|
|
|
5
|
|
|
(1
|
)
|
|
65
|
|
||||
Total U.S. RMBS
|
409
|
|
|
(31
|
)
|
|
(85
|
)
|
|
293
|
|
||||
Triple-X life insurance transactions
|
99
|
|
|
4
|
|
|
(1
|
)
|
|
102
|
|
||||
Student loans
|
54
|
|
|
(14
|
)
|
|
(8
|
)
|
|
32
|
|
||||
Other structured finance
|
20
|
|
|
1
|
|
|
(14
|
)
|
|
7
|
|
||||
Structured Finance
|
582
|
|
|
(40
|
)
|
|
(108
|
)
|
|
434
|
|
||||
Total
|
$
|
1,391
|
|
|
$
|
59
|
|
|
$
|
(113
|
)
|
|
$
|
1,337
|
|
|
Net Expected
Loss to be
Paid (Recovered
)
as of
December 31, 2014
|
|
Economic Loss
Development
|
|
(Paid)
Recovered
Losses
(1)
|
|
Net Expected
Loss to be Paid (Recovered )
as of
March 31, 2015 |
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
303
|
|
|
$
|
9
|
|
|
$
|
(2
|
)
|
|
$
|
310
|
|
Non-U.S. public finance
|
45
|
|
|
(3
|
)
|
|
—
|
|
|
42
|
|
||||
Public Finance
|
348
|
|
|
6
|
|
|
(2
|
)
|
|
352
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
|
|
|
|
||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
4
|
|
|
0
|
|
|
(1
|
)
|
|
3
|
|
||||
Alt-A first lien
|
304
|
|
|
(5
|
)
|
|
(10
|
)
|
|
289
|
|
||||
Option ARM
|
(16
|
)
|
|
4
|
|
|
(4
|
)
|
|
(16
|
)
|
||||
Subprime
|
303
|
|
|
(1
|
)
|
|
(9
|
)
|
|
293
|
|
||||
Total first lien
|
595
|
|
|
(2
|
)
|
|
(24
|
)
|
|
569
|
|
||||
Second lien
|
(11
|
)
|
|
6
|
|
|
6
|
|
|
1
|
|
||||
Total U.S. RMBS
|
584
|
|
|
4
|
|
|
(18
|
)
|
|
570
|
|
||||
Triple-X life insurance transactions
|
161
|
|
|
5
|
|
|
(1
|
)
|
|
165
|
|
||||
Student loans
|
68
|
|
|
(6
|
)
|
|
—
|
|
|
62
|
|
||||
Other structured finance
|
8
|
|
|
(12
|
)
|
|
9
|
|
|
5
|
|
||||
Structured Finance
|
821
|
|
|
(9
|
)
|
|
(10
|
)
|
|
802
|
|
||||
Total
|
$
|
1,169
|
|
|
$
|
(3
|
)
|
|
$
|
(12
|
)
|
|
$
|
1,154
|
|
(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
$2 million
and
$4 million
in l
oss adjustment expenses ("
LAE") for
First Quarter 2016
and
2015
, respectively.
|
(2)
|
Includes expected LAE to be paid of
$9 million
as of
March 31, 2016
and
$12 million
as of
December 31, 2015
.
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||||
|
(in millions)
|
||||||
U.S. RMBS:
|
|
|
|
||||
First lien
|
$
|
(30
|
)
|
|
$
|
0
|
|
Second lien
|
77
|
|
|
79
|
|
||
Total
|
$
|
47
|
|
|
$
|
79
|
|
(1)
|
The Company’s agreements with providers of breaches of R&W generally provide for reimbursement to the Company as claim payments are made and, to the extent the Company later receives reimbursements of such claims from excess spread or other sources, for the Company to provide reimbursement to the R&W providers. See the section “Breaches of Representations and Warranties” for information about the R&W agreements and eligible assets held in trust with respect to such agreements. When the Company projects receiving more reimbursements in the future than it projects to pay in claims, the Company will have a net R&W payable.
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1) and Other
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
864
|
|
|
$
|
—
|
|
|
$
|
0
|
|
|
$
|
864
|
|
Non-U.S. public finance
|
39
|
|
|
—
|
|
|
—
|
|
|
39
|
|
||||
Public Finance
|
903
|
|
|
—
|
|
|
0
|
|
|
903
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prime first lien
|
2
|
|
|
—
|
|
|
(3
|
)
|
|
(1
|
)
|
||||
Alt-A first lien
|
19
|
|
|
18
|
|
|
(1
|
)
|
|
36
|
|
||||
Option ARM
|
(44
|
)
|
|
—
|
|
|
(3
|
)
|
|
(47
|
)
|
||||
Subprime
|
148
|
|
|
55
|
|
|
37
|
|
|
240
|
|
||||
Total first lien
|
125
|
|
|
73
|
|
|
30
|
|
|
228
|
|
||||
Second lien
|
19
|
|
|
43
|
|
|
3
|
|
|
65
|
|
||||
Total U.S. RMBS
|
144
|
|
|
116
|
|
|
33
|
|
|
293
|
|
||||
Triple-X life insurance transactions
|
91
|
|
|
—
|
|
|
11
|
|
|
102
|
|
||||
Student loans
|
32
|
|
|
—
|
|
|
—
|
|
|
32
|
|
||||
Other structured finance
|
40
|
|
|
2
|
|
|
(35
|
)
|
|
7
|
|
||||
Structured Finance
|
307
|
|
|
118
|
|
|
9
|
|
|
434
|
|
||||
Total
|
$
|
1,210
|
|
|
$
|
118
|
|
|
$
|
9
|
|
|
$
|
1,337
|
|
|
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
|
|
|
—
|
|
|
0
|
|
|
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
|
|
||||
Student loans
|
54
|
|
|
—
|
|
|
—
|
|
|
54
|
|
||||
Other structured finance
|
37
|
|
|
16
|
|
|
(33
|
)
|
|
20
|
|
||||
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
|
$
|
98
|
|
|
$
|
—
|
|
|
$
|
0
|
|
|
$
|
98
|
|
Non-U.S. public finance
|
1
|
|
|
—
|
|
|
0
|
|
|
1
|
|
||||
Public Finance
|
99
|
|
|
—
|
|
|
0
|
|
|
99
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
0
|
|
|
—
|
|
|
0
|
|
|
0
|
|
||||
Alt-A first lien
|
(17
|
)
|
|
1
|
|
|
0
|
|
|
(16
|
)
|
||||
Option ARM
|
(19
|
)
|
|
—
|
|
|
(2
|
)
|
|
(21
|
)
|
||||
Subprime
|
3
|
|
|
0
|
|
|
(2
|
)
|
|
1
|
|
||||
Total first lien
|
(33
|
)
|
|
1
|
|
|
(4
|
)
|
|
(36
|
)
|
||||
Second lien
|
2
|
|
|
3
|
|
|
0
|
|
|
5
|
|
||||
Total U.S. RMBS
|
(31
|
)
|
|
4
|
|
|
(4
|
)
|
|
(31
|
)
|
||||
Triple-X life insurance transactions
|
3
|
|
|
—
|
|
|
1
|
|
|
4
|
|
||||
Student loans
|
(14
|
)
|
|
—
|
|
|
—
|
|
|
(14
|
)
|
||||
Other structured finance
|
4
|
|
|
0
|
|
|
(3
|
)
|
|
1
|
|
||||
Structured Finance
|
(38
|
)
|
|
4
|
|
|
(6
|
)
|
|
(40
|
)
|
||||
Total
|
$
|
61
|
|
|
$
|
4
|
|
|
$
|
(6
|
)
|
|
$
|
59
|
|
|
Financial
Guaranty
Insurance
|
|
FG VIEs(1) and Other
|
|
Credit
Derivatives(2)
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Public Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. public finance
|
$
|
9
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9
|
|
Non-U.S. public finance
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
||||
Public Finance
|
6
|
|
|
—
|
|
|
—
|
|
|
6
|
|
||||
Structured Finance:
|
|
|
|
|
|
|
|
||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
||||||||
First lien:
|
|
|
|
|
|
|
|
||||||||
Prime first lien
|
1
|
|
|
—
|
|
|
(1
|
)
|
|
0
|
|
||||
Alt-A first lien
|
2
|
|
|
—
|
|
|
(7
|
)
|
|
(5
|
)
|
||||
Option ARM
|
1
|
|
|
—
|
|
|
3
|
|
|
4
|
|
||||
Subprime
|
(4
|
)
|
|
4
|
|
|
(1
|
)
|
|
(1
|
)
|
||||
Total first lien
|
—
|
|
|
4
|
|
|
(6
|
)
|
|
(2
|
)
|
||||
Second lien
|
8
|
|
|
(1
|
)
|
|
(1
|
)
|
|
6
|
|
||||
Total U.S. RMBS
|
8
|
|
|
3
|
|
|
(7
|
)
|
|
4
|
|
||||
Triple-X life insurance transactions
|
4
|
|
|
—
|
|
|
1
|
|
|
5
|
|
||||
Student loans
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
||||
Other structured finance
|
0
|
|
|
(1
|
)
|
|
(11
|
)
|
|
(12
|
)
|
||||
Structured Finance
|
6
|
|
|
2
|
|
|
(17
|
)
|
|
(9
|
)
|
||||
Total
|
$
|
12
|
|
|
$
|
2
|
|
|
$
|
(17
|
)
|
|
$
|
(3
|
)
|
|
March 31, 2016
|
|
December 31, 2015
|
Current Loans Modified in the Previous 12 Months
|
|
|
|
Alt A and Prime
|
25%
|
|
25%
|
Option ARM
|
25
|
|
25
|
Subprime
|
25
|
|
25
|
Current Loans Delinquent in the Previous 12 Months
|
|
|
|
Alt A and Prime
|
25
|
|
25
|
Option ARM
|
25
|
|
25
|
Subprime
|
25
|
|
25
|
30 – 59 Days Delinquent
|
|
|
|
Alt A and Prime
|
35
|
|
35
|
Option ARM
|
40
|
|
40
|
Subprime
|
45
|
|
45
|
60 – 89 Days Delinquent
|
|
|
|
Alt A and Prime
|
45
|
|
45
|
Option ARM
|
50
|
|
50
|
Subprime
|
55
|
|
55
|
90+ Days Delinquent
|
|
|
|
Alt A and Prime
|
55
|
|
55
|
Option ARM
|
60
|
|
60
|
Subprime
|
60
|
|
60
|
Bankruptcy
|
|
|
|
Alt A and Prime
|
45
|
|
45
|
Option ARM
|
50
|
|
50
|
Subprime
|
40
|
|
40
|
Foreclosure
|
|
|
|
Alt A and Prime
|
65
|
|
65
|
Option ARM
|
70
|
|
70
|
Subprime
|
70
|
|
70
|
Real Estate Owned
|
|
|
|
All
|
100
|
|
100
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||||||||||
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
||||||
Alt-A First Lien
|
|
|
|
|
|
|
|
|
|
|
|
||
Plateau CDR
|
0.9
|
%
|
-
|
27.8%
|
|
6.4%
|
|
1.7
|
%
|
–
|
26.4%
|
|
6.4%
|
Intermediate CDR
|
0.2
|
%
|
-
|
5.6%
|
|
1.3%
|
|
0.3
|
%
|
–
|
5.3%
|
|
1.3%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
||||||
Final CDR
|
0.0
|
%
|
-
|
1.4%
|
|
0.3%
|
|
0.1
|
%
|
–
|
1.3%
|
|
0.3%
|
Initial loss severity:
|
|
|
|
|
|
|
|
||||||
2005 and prior
|
60.0%
|
|
|
|
60.0%
|
|
|
||||||
2006
|
80.0%
|
|
|
|
70.0%
|
|
|
||||||
2007
|
65.0%
|
|
|
|
65.0%
|
|
|
||||||
Initial conditional prepayment rate ("CPR")
|
2.7
|
%
|
-
|
31.6%
|
|
11.8%
|
|
2.7
|
%
|
–
|
32.5%
|
|
11.5%
|
Final CPR(2)
|
15%
|
|
|
|
15%
|
|
|
||||||
Option ARM
|
|
|
|
|
|
|
|
|
|
|
|
||
Plateau CDR
|
3.4
|
%
|
-
|
10.6%
|
|
7.8%
|
|
3.5
|
%
|
–
|
10.3%
|
|
7.8%
|
Intermediate CDR
|
0.7
|
%
|
-
|
2.1%
|
|
1.6%
|
|
0.7
|
%
|
–
|
2.1%
|
|
1.6%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
||||||
Final CDR
|
0.2
|
%
|
-
|
0.5%
|
|
0.4%
|
|
0.2
|
%
|
–
|
0.5%
|
|
0.4%
|
Initial loss severity:
|
|
|
|
|
|
|
|
||||||
2005 and prior
|
60.0%
|
|
|
|
60.0%
|
|
|
||||||
2006
|
70.0%
|
|
|
|
70.0%
|
|
|
||||||
2007
|
65.0%
|
|
|
|
65.0%
|
|
|
||||||
Initial CPR
|
2.0
|
%
|
-
|
13.7%
|
|
5.5%
|
|
1.5
|
%
|
–
|
10.9%
|
|
5.1%
|
Final CPR(2)
|
15%
|
|
|
|
15%
|
|
|
||||||
Subprime
|
|
|
|
|
|
|
|
|
|
|
|
||
Plateau CDR
|
4.2
|
%
|
-
|
14.4%
|
|
9.4%
|
|
4.7
|
%
|
–
|
13.2%
|
|
9.5%
|
Intermediate CDR
|
0.8
|
%
|
-
|
2.9%
|
|
1.9%
|
|
0.9
|
%
|
–
|
2.6%
|
|
1.9%
|
Period until intermediate CDR
|
48 months
|
|
|
|
48 months
|
|
|
||||||
Final CDR
|
0.2
|
%
|
-
|
0.7%
|
|
0.4%
|
|
0.2
|
%
|
–
|
0.7%
|
|
0.4%
|
Initial loss severity:
|
|
|
|
|
|
|
|
||||||
2005 and prior
|
80.0%
|
|
|
|
75.0%
|
|
|
||||||
2006
|
90.0%
|
|
|
|
90.0%
|
|
|
||||||
2007
|
90.0%
|
|
|
|
90.0%
|
|
|
||||||
Initial CPR
|
0.3
|
%
|
-
|
9.2%
|
|
4.2%
|
|
0.0
|
%
|
–
|
10.1%
|
|
3.6%
|
Final CPR(2)
|
15%
|
|
|
|
15%
|
|
|
(2)
|
For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used.
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||||||||||
|
Range
|
|
Weighted Average
|
|
Range
|
|
Weighted Average
|
||||||
Plateau CDR
|
5.3
|
%
|
–
|
26.1%
|
|
11.9%
|
|
4.9
|
%
|
–
|
23.5%
|
|
10.3%
|
Final CDR trended down to
|
0.5
|
%
|
–
|
3.2%
|
|
1.2%
|
|
0.5
|
%
|
–
|
3.2%
|
|
1.2%
|
Period until final CDR
|
34 months
|
|
|
|
34 months
|
|
|
||||||
Initial CPR
|
11.0
|
%
|
–
|
14.9%
|
|
11.1%
|
|
10.9%
|
|
|
|||
Final CPR(2)
|
10.0
|
%
|
–
|
15.0%
|
|
13.3%
|
|
10.0
|
%
|
–
|
15.0%
|
|
13.3%
|
Loss severity
|
98.0%
|
|
|
|
98.0%
|
|
|
(1)
|
Represents variables for most heavily weighted scenario (the “base case”).
|
(2)
|
For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used.
|
•
|
Bank of America
. Under the Company's agreement with Bank of America Corporation and certain of its subsidiaries (“Bank of America”), Bank of America agreed to reimburse the Company for
80%
of claims on the first lien transactions covered by the agreement that the Company pays in the future, until the aggregate lifetime collateral losses (not insurance losses or claims) on those transactions reach
$6.6 billion
. As of
March 31, 2016
aggregate lifetime collateral losses on those transactions was
$4.4 billion
, and the Company was projecting in its base case that such collateral losses would eventually reach
$5.2 billion
. Bank of America's reimbursement obligation is secured by
$578 million
of collateral held in trust for the Company's benefit.
|
•
|
Deutsche Bank
. Under the Company's agreement with Deutsche Bank AG and certain of its affiliates (collectively, “Deutsche Bank”), Deutsche Bank agreed to reimburse the Company for certain claims it pays in the future on eight first and second lien transactions, including
80%
of claims it pays on those transactions until the aggregate lifetime claims (before reimbursement) reach
$319 million
. As of
March 31, 2016
, 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
$70 million
of collateral held in trust for the Company’s benefit.
|
•
|
UBS.
Under the Company’s agreement with UBS Real Estate Securities Inc. and affiliates (“UBS”), UBS agreed to reimburse the Company for
85%
of future losses on
three
first lien RMBS transactions, and such reimbursement obligation is secured by
$49 million
of collateral held in trust for the Company's benefit.
|
6.
|
Financial Guaranty Insurance
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Scheduled net earned premiums
|
$
|
91
|
|
|
$
|
96
|
|
Acceleration of net earned premiums (1)
|
89
|
|
|
41
|
|
||
Accretion of discount on net premiums receivable
|
3
|
|
|
4
|
|
||
Financial guaranty insurance net earned premiums
|
183
|
|
|
141
|
|
||
Other
|
0
|
|
|
1
|
|
||
Net earned premiums (2)
|
$
|
183
|
|
|
$
|
142
|
|
(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
$5 million
and
$5 million
for
First Quarter
2016
and
2015
, respectively, related to consolidated FG VIEs.
|
|
As of March 31, 2016
|
|
As of December 31, 2015
|
||||||||||||||||||||
|
Gross
|
|
Ceded
|
|
Net(1)
|
|
Gross
|
|
Ceded
|
|
Net(1)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Deferred premium revenue
|
3,829
|
|
|
241
|
|
|
3,588
|
|
|
4,008
|
|
|
238
|
|
|
3,770
|
|
||||||
Contra-paid (2)
|
(19
|
)
|
|
(5
|
)
|
|
(14
|
)
|
|
(12
|
)
|
|
(6
|
)
|
|
(6
|
)
|
||||||
Unearned premium reserve
|
$
|
3,810
|
|
|
$
|
236
|
|
|
$
|
3,574
|
|
|
$
|
3,996
|
|
|
$
|
232
|
|
|
$
|
3,764
|
|
(1)
|
Excludes
$105 million
and
$110 million
of deferred premium revenue, and
$29 million
and
$30 million
of contra-paid related to FG VIEs as of
March 31, 2016
and
December 31, 2015
, respectively.
|
(2)
|
See "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" below for an explanation of "contra-paid".
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Beginning of period, December 31
|
$
|
693
|
|
|
$
|
729
|
|
Gross premium written, net of commissions on assumed business
|
41
|
|
|
36
|
|
||
Gross premiums received, net of commissions on assumed business
|
(49
|
)
|
|
(36
|
)
|
||
Adjustments:
|
|
|
|
||||
Changes in the expected term
|
(22
|
)
|
|
(6
|
)
|
||
Accretion of discount, net of commissions on assumed business
|
0
|
|
|
5
|
|
||
Foreign exchange translation
|
(1
|
)
|
|
(25
|
)
|
||
Consolidation/deconsolidation of FG VIEs
|
0
|
|
|
(4
|
)
|
||
End of period, March 31 (1)
|
$
|
662
|
|
|
$
|
699
|
|
(1)
|
Excludes
$16 million
and
$22 million
as of
March 31, 2016
and
March 31, 2015
, respectively, related to consolidated FG VIEs. Excludes
$1 million
related to non-financial guaranty line of business as of March 31, 2015.
|
|
As of March 31, 2016
|
||
|
(in millions)
|
||
2016 (April 1 – June 30)
|
$
|
31
|
|
2016 (July 1 – September 30)
|
18
|
|
|
2016 (October 1 – December 31)
|
17
|
|
|
2017
|
66
|
|
|
2018
|
58
|
|
|
2019
|
55
|
|
|
2020
|
55
|
|
|
2021-2025
|
222
|
|
|
2026-2030
|
147
|
|
|
2031-2035
|
103
|
|
|
After 2035
|
82
|
|
|
Total(1)
|
$
|
854
|
|
(1)
|
Excludes expected cash collections on FG VIEs of
$20 million
.
|
|
As of March 31, 2016
|
||
|
(in millions)
|
||
2016 (April 1 – June 30)
|
$
|
92
|
|
2016 (July 1 – September 30)
|
89
|
|
|
2016 (October 1 – December 31)
|
85
|
|
|
2017
|
313
|
|
|
2018
|
290
|
|
|
2019
|
264
|
|
|
2020
|
245
|
|
|
2021-2025
|
955
|
|
|
2026-2030
|
610
|
|
|
2031-2035
|
363
|
|
|
After 2035
|
282
|
|
|
Net deferred premium revenue(1)
|
3,588
|
|
|
Future accretion
|
179
|
|
|
Total future net earned premiums
|
$
|
3,767
|
|
(1)
|
Excludes scheduled net earned premiums on consolidated FG VIEs of
$105 million
.
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||||
|
(dollars in millions)
|
||||||
Premiums receivable, net of commission payable
|
$
|
662
|
|
|
$
|
693
|
|
Gross deferred premium revenue
|
1,156
|
|
|
1,240
|
|
||
Weighted-average risk-free rate used to discount premiums
|
3.1
|
%
|
|
3.1
|
%
|
||
Weighted-average period of premiums receivable (in years)
|
9.4
|
|
|
9.4
|
|
|
As of March 31, 2016
|
|
As of December 31, 2015
|
||||||||||||||||||||
|
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
|
$
|
695
|
|
|
$
|
7
|
|
|
$
|
688
|
|
|
$
|
604
|
|
|
$
|
7
|
|
|
$
|
597
|
|
Non-U.S. public finance
|
27
|
|
|
—
|
|
|
27
|
|
|
25
|
|
|
—
|
|
|
25
|
|
||||||
Public Finance
|
722
|
|
|
7
|
|
|
715
|
|
|
629
|
|
|
7
|
|
|
622
|
|
||||||
Structured Finance:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
First lien:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Prime first lien
|
2
|
|
|
—
|
|
|
2
|
|
|
2
|
|
|
—
|
|
|
2
|
|
||||||
Alt-A first lien
|
35
|
|
|
73
|
|
|
(38
|
)
|
|
46
|
|
|
—
|
|
|
46
|
|
||||||
Option ARM
|
10
|
|
|
51
|
|
|
(41
|
)
|
|
13
|
|
|
42
|
|
|
(29
|
)
|
||||||
Subprime
|
161
|
|
|
21
|
|
|
140
|
|
|
169
|
|
|
21
|
|
|
148
|
|
||||||
First lien
|
208
|
|
|
145
|
|
|
63
|
|
|
230
|
|
|
63
|
|
|
167
|
|
||||||
Second lien
|
34
|
|
|
49
|
|
|
(15
|
)
|
|
32
|
|
|
53
|
|
|
(21
|
)
|
||||||
Total U.S. RMBS
|
242
|
|
|
194
|
|
|
48
|
|
|
262
|
|
|
116
|
|
|
146
|
|
||||||
Triple-X life insurance transactions
|
85
|
|
|
—
|
|
|
85
|
|
|
82
|
|
|
—
|
|
|
82
|
|
||||||
Student loans
|
30
|
|
|
—
|
|
|
30
|
|
|
51
|
|
|
—
|
|
|
51
|
|
||||||
Other structured finance
|
32
|
|
|
—
|
|
|
32
|
|
|
48
|
|
|
—
|
|
|
48
|
|
||||||
Structured Finance
|
389
|
|
|
194
|
|
|
195
|
|
|
443
|
|
|
116
|
|
|
327
|
|
||||||
Subtotal
|
1,111
|
|
|
201
|
|
|
910
|
|
|
1,072
|
|
|
123
|
|
|
949
|
|
||||||
Other recoverables
|
—
|
|
|
3
|
|
|
(3
|
)
|
|
—
|
|
|
3
|
|
|
(3
|
)
|
||||||
Subtotal
|
1,111
|
|
|
204
|
|
|
907
|
|
|
1,072
|
|
|
126
|
|
|
946
|
|
||||||
Effect of consolidating FG VIEs
|
(71
|
)
|
|
—
|
|
|
(71
|
)
|
|
(74
|
)
|
|
0
|
|
|
(74
|
)
|
||||||
Total (1)
|
$
|
1,040
|
|
|
$
|
204
|
|
|
$
|
836
|
|
|
$
|
998
|
|
|
$
|
126
|
|
|
$
|
872
|
|
(1)
|
See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components.
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||||
|
(in millions)
|
||||||
Loss and LAE reserve
|
$
|
1,112
|
|
|
$
|
1,067
|
|
Reinsurance recoverable on unpaid losses
|
(72
|
)
|
|
(69
|
)
|
||
Loss and LAE reserve, net
|
1,040
|
|
|
998
|
|
||
Salvage and subrogation recoverable
|
(206
|
)
|
|
(126
|
)
|
||
Salvage and subrogation payable(1)
|
5
|
|
|
3
|
|
||
Other recoverables
|
(3
|
)
|
|
(3
|
)
|
||
Salvage and subrogation recoverable, net and other recoverable
|
(204
|
)
|
|
(126
|
)
|
||
Net reserves (salvage)
|
$
|
836
|
|
|
$
|
872
|
|
(1)
|
Recorded as a component of reinsurance balances payable.
|
|
As of
March 31, 2016 |
||
|
(in millions)
|
||
Net expected loss to be paid - financial guaranty insurance (1)
|
$
|
1,210
|
|
Contra-paid, net
|
14
|
|
|
Salvage and subrogation recoverable, net of reinsurance
|
201
|
|
|
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance
|
(1,038
|
)
|
|
Other recoveries
|
2
|
|
|
Net expected loss to be expensed (present value) (2)
|
$
|
389
|
|
(1)
|
See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid.
|
(2)
|
Excludes
$74 million
as of
March 31, 2016
, related to consolidated FG VIEs.
|
|
As of
March 31, 2016 |
||
|
(in millions)
|
||
2016 (April 1 – June 30)
|
$
|
11
|
|
2016 (July 1 – September 30)
|
10
|
|
|
2016 (October 1 – December 31)
|
9
|
|
|
Subtotal 2016
|
30
|
|
|
2017
|
34
|
|
|
2018
|
33
|
|
|
2019
|
30
|
|
|
2020
|
27
|
|
|
2021-2025
|
100
|
|
|
2026-2030
|
70
|
|
|
2031-2035
|
45
|
|
|
After 2035
|
20
|
|
|
Net expected loss to be expensed
|
389
|
|
|
Future accretion
|
156
|
|
|
Total expected future loss and LAE
|
$
|
545
|
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Public Finance:
|
|
|
|
||||
U.S. public finance
|
$
|
97
|
|
|
$
|
13
|
|
Non-U.S. public finance
|
0
|
|
|
5
|
|
||
Public finance
|
97
|
|
|
18
|
|
||
Structured Finance:
|
|
|
|
||||
U.S. RMBS:
|
|
|
|
||||
First lien:
|
|
|
|
||||
Prime first lien
|
0
|
|
|
0
|
|
||
Alt-A first lien
|
8
|
|
|
(2
|
)
|
||
Option ARM
|
(14
|
)
|
|
(1
|
)
|
||
Subprime
|
4
|
|
|
0
|
|
||
First lien
|
(2
|
)
|
|
(3
|
)
|
||
Second lien
|
13
|
|
|
10
|
|
||
Total U.S. RMBS
|
11
|
|
|
7
|
|
||
Triple-X life insurance transactions
|
3
|
|
|
6
|
|
||
Student loans
|
(14
|
)
|
|
(6
|
)
|
||
Other structured finance
|
0
|
|
|
(2
|
)
|
||
Structured finance
|
0
|
|
|
5
|
|
||
Loss and LAE on insurance contracts before FG VIE consolidation
|
97
|
|
|
23
|
|
||
Effect of consolidating FG VIEs
|
(7
|
)
|
|
(5
|
)
|
||
Loss and LAE
|
$
|
90
|
|
|
$
|
18
|
|
|
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
|
|
|
(43
|
)
|
|
86
|
|
|
(14
|
)
|
|
129
|
|
|
(45
|
)
|
|
417
|
|
|
—
|
|
|
417
|
|
|||||||||
Remaining weighted-average contract period (in years)
|
10.1
|
|
|
7.4
|
|
|
13.1
|
|
|
10.4
|
|
|
7.2
|
|
|
5.4
|
|
|
10.6
|
|
|
—
|
|
|
10.6
|
|
|||||||||
Outstanding exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Principal
|
$
|
7,084
|
|
|
$
|
(499
|
)
|
|
$
|
4,461
|
|
|
$
|
(446
|
)
|
|
$
|
3,145
|
|
|
$
|
(207
|
)
|
|
$
|
13,538
|
|
|
$
|
—
|
|
|
$
|
13,538
|
|
Interest
|
3,764
|
|
|
(214
|
)
|
|
3,058
|
|
|
(233
|
)
|
|
962
|
|
|
(44
|
)
|
|
7,293
|
|
|
—
|
|
|
7,293
|
|
|||||||||
Total(2)
|
$
|
10,848
|
|
|
$
|
(713
|
)
|
|
$
|
7,519
|
|
|
$
|
(679
|
)
|
|
$
|
4,107
|
|
|
$
|
(251
|
)
|
|
$
|
20,831
|
|
|
$
|
—
|
|
|
$
|
20,831
|
|
Expected cash outflows (inflows)
|
$
|
337
|
|
|
$
|
(28
|
)
|
|
$
|
1,418
|
|
|
$
|
(77
|
)
|
|
$
|
1,372
|
|
|
$
|
(58
|
)
|
|
$
|
2,964
|
|
|
$
|
(345
|
)
|
|
$
|
2,619
|
|
Potential recoveries
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Undiscounted R&W
|
97
|
|
|
(2
|
)
|
|
(42
|
)
|
|
1
|
|
|
(88
|
)
|
|
5
|
|
|
(29
|
)
|
|
6
|
|
|
(23
|
)
|
|||||||||
Other(3)
|
(590
|
)
|
|
16
|
|
|
(250
|
)
|
|
10
|
|
|
(631
|
)
|
|
25
|
|
|
(1,420
|
)
|
|
190
|
|
|
(1,230
|
)
|
|||||||||
Total potential recoveries
|
(493
|
)
|
|
14
|
|
|
(292
|
)
|
|
11
|
|
|
(719
|
)
|
|
30
|
|
|
(1,449
|
)
|
|
196
|
|
|
(1,253
|
)
|
|||||||||
Subtotal
|
(156
|
)
|
|
(14
|
)
|
|
1,126
|
|
|
(66
|
)
|
|
653
|
|
|
(28
|
)
|
|
1,515
|
|
|
(149
|
)
|
|
1,366
|
|
|||||||||
Discount
|
153
|
|
|
(3
|
)
|
|
(288
|
)
|
|
14
|
|
|
29
|
|
|
(94
|
)
|
|
(189
|
)
|
|
33
|
|
|
(156
|
)
|
|||||||||
Present value of expected cash flows
|
$
|
(3
|
)
|
|
$
|
(17
|
)
|
|
$
|
838
|
|
|
$
|
(52
|
)
|
|
$
|
682
|
|
|
$
|
(122
|
)
|
|
$
|
1,326
|
|
|
$
|
(116
|
)
|
|
$
|
1,210
|
|
Deferred premium revenue
|
$
|
280
|
|
|
$
|
(10
|
)
|
|
$
|
156
|
|
|
$
|
(7
|
)
|
|
$
|
380
|
|
|
$
|
(33
|
)
|
|
$
|
766
|
|
|
$
|
(96
|
)
|
|
$
|
670
|
|
Reserves (salvage)
|
$
|
(96
|
)
|
|
$
|
(12
|
)
|
|
$
|
717
|
|
|
$
|
(47
|
)
|
|
$
|
352
|
|
|
$
|
(8
|
)
|
|
$
|
906
|
|
|
$
|
(71
|
)
|
|
$
|
835
|
|
|
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
|
|
(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.
|
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.
|
◦
|
the profit the originator, usually an investment bank, realizes for putting the deal together and funding the transaction (“bank profit”);
|
◦
|
premiums paid to the Company for the Company’s credit protection provided (“net spread”); and
|
◦
|
the cost of CDS protection purchased by the originator to hedge their counterparty credit risk exposure to the Company (“hedge cost”).
|
•
|
Actual collateral specific credit spreads (if up-to-date and reliable market-based spreads are available).
|
•
|
Deals priced or closed during a specific quarter within a specific asset class and specific rating. 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
March 31, 2016 |
|
As of
December 31, 2015 |
||
Based on actual collateral specific spreads
|
14
|
%
|
|
13
|
%
|
Based on market indices
|
72
|
%
|
|
73
|
%
|
Provided by the CDS counterparty
|
14
|
%
|
|
14
|
%
|
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.
|
•
|
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
|
$
|
5,776
|
|
|
$
|
—
|
|
|
$
|
5,769
|
|
|
$
|
7
|
|
U.S. government and agencies
|
405
|
|
|
—
|
|
|
405
|
|
|
—
|
|
||||
Corporate securities
|
1,525
|
|
|
—
|
|
|
1,451
|
|
|
74
|
|
||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,239
|
|
|
—
|
|
|
879
|
|
|
360
|
|
||||
CMBS
|
556
|
|
|
—
|
|
|
556
|
|
|
—
|
|
||||
Asset-backed securities
|
811
|
|
|
—
|
|
|
172
|
|
|
639
|
|
||||
Foreign government securities
|
276
|
|
|
—
|
|
|
276
|
|
|
—
|
|
||||
Total fixed-maturity securities
|
10,588
|
|
|
—
|
|
|
9,508
|
|
|
1,080
|
|
||||
Short-term investments
|
459
|
|
|
332
|
|
|
127
|
|
|
—
|
|
||||
Other invested assets (1)
|
12
|
|
|
—
|
|
|
5
|
|
|
7
|
|
||||
Credit derivative assets
|
55
|
|
|
—
|
|
|
—
|
|
|
55
|
|
||||
FG VIEs’ assets, at fair value
|
1,191
|
|
|
—
|
|
|
—
|
|
|
1,191
|
|
||||
Other assets
|
93
|
|
|
26
|
|
|
21
|
|
|
46
|
|
||||
Total assets carried at fair value
|
$
|
12,398
|
|
|
$
|
358
|
|
|
$
|
9,661
|
|
|
$
|
2,379
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Credit derivative liabilities
|
$
|
489
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
489
|
|
FG VIEs’ liabilities with recourse, at fair value
|
1,165
|
|
|
—
|
|
|
—
|
|
|
1,165
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
119
|
|
|
—
|
|
|
—
|
|
|
119
|
|
||||
Total liabilities carried at fair value
|
$
|
1,773
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,773
|
|
|
|
|
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
|
|
(1)
|
Excluded from the table above are investments funds of
$45 million
and
$45 million
as of
March 31, 2016
and
December 31, 2015
, respectively, measured using NAV per share. Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis.
|
|
Fixed-Maturity Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
|
Obligations
of State and Political Subdivisions |
|
Corporate Securities
|
|
RMBS
|
|
Asset-
Backed Securities |
|
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, 2015
|
$
|
8
|
|
|
$
|
71
|
|
|
$
|
348
|
|
|
$
|
657
|
|
|
|
$
|
60
|
|
|
$
|
1,261
|
|
|
|
$
|
65
|
|
|
|
$
|
(365
|
)
|
|
$
|
(1,225
|
)
|
|
$
|
(124
|
)
|
|
|||||||
Total pretax realized and unrealized gains/(losses) recorded in: (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Net income (loss)
|
0
|
|
(2
|
)
|
2
|
|
(2
|
)
|
(2
|
)
|
(2
|
)
|
1
|
|
(2
|
)
|
0
|
|
(2
|
)
|
(4
|
)
|
(3
|
)
|
(16
|
)
|
(4
|
)
|
(60
|
)
|
(6
|
)
|
21
|
|
(3
|
)
|
2
|
|
(3
|
)
|
||||||||||
Other comprehensive income (loss)
|
0
|
|
|
1
|
|
|
(5
|
)
|
|
(5
|
)
|
|
|
0
|
|
|
—
|
|
|
|
0
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||||||
Purchases
|
—
|
|
|
—
|
|
|
34
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
||||||||||||||
Settlements
|
(1
|
)
|
|
—
|
|
|
(15
|
)
|
|
(14
|
)
|
|
(60
|
)
|
|
(66
|
)
|
|
—
|
|
|
|
(9
|
)
|
|
|
39
|
|
|
|
3
|
|
|
|
||||||||||||||||
FG VIE consolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
|
|||||||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
—
|
|
|
||||||||||||||||||||
Fair value as of
March 31, 2016
|
$
|
7
|
|
|
$
|
74
|
|
|
$
|
360
|
|
|
$
|
639
|
|
|
|
$
|
—
|
|
|
$
|
1,191
|
|
|
|
$
|
49
|
|
|
|
$
|
(434
|
)
|
|
$
|
(1,165
|
)
|
|
$
|
(119
|
)
|
|
|||||||
Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2016
|
$
|
0
|
|
|
$
|
1
|
|
|
$
|
(6
|
)
|
|
$
|
(5
|
)
|
|
$
|
—
|
|
|
$
|
4
|
|
|
$
|
(16
|
)
|
|
$
|
(79
|
)
|
|
$
|
21
|
|
|
$
|
1
|
|
|
|
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, 2014
|
$
|
38
|
|
|
$
|
79
|
|
|
$
|
425
|
|
|
$
|
228
|
|
|
$
|
1,398
|
|
|
|
$
|
37
|
|
|
|
$
|
(895
|
)
|
|
$
|
(1,277
|
)
|
|
$
|
(142
|
)
|
|
|||||||
Total pretax realized and unrealized gains/(losses) recorded in: (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Net income (loss)
|
3
|
|
(2
|
)
|
2
|
|
(2
|
)
|
9
|
|
(2
|
)
|
(2
|
)
|
(2
|
)
|
23
|
|
(3
|
)
|
2
|
|
(4
|
)
|
124
|
|
(6
|
)
|
93
|
|
(3
|
)
|
(5
|
)
|
(3
|
)
|
|||||||||
Other comprehensive income (loss)
|
(2
|
)
|
|
(2
|
)
|
|
5
|
|
|
1
|
|
|
—
|
|
|
|
1
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|||||||||||||
Purchases
|
—
|
|
|
—
|
|
|
9
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|||||||||||||
Settlements
|
(31
|
)
|
(7
|
)
|
—
|
|
|
(65
|
)
|
|
(1
|
)
|
|
(30
|
)
|
|
—
|
|
|
|
(11
|
)
|
|
|
37
|
|
|
|
2
|
|
|
|
|||||||||||||
FG VIE consolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
104
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(131
|
)
|
|
—
|
|
|
|
||||||||||||||
FG VIE deconsolidations
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||||||||||||||||
Fair value as of
March 31, 2015
|
$
|
8
|
|
|
$
|
79
|
|
|
$
|
383
|
|
|
$
|
226
|
|
|
$
|
1,495
|
|
|
$
|
40
|
|
|
$
|
(782
|
)
|
|
$
|
(1,278
|
)
|
|
$
|
(145
|
)
|
|
|||||||||
Change in unrealized gains/(losses) related to financial instruments held as of March 31, 2015
|
$
|
0
|
|
|
$
|
(2
|
)
|
|
$
|
7
|
|
|
$
|
1
|
|
|
$
|
34
|
|
|
$
|
3
|
|
|
$
|
103
|
|
|
$
|
(6
|
)
|
|
$
|
(4
|
)
|
|
(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 investment income and other 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 March 31, 2016 (in millions)
|
|
Significant Unobservable Inputs
|
|
Range
|
|
Weighted Average as a Percentage of Current Par Outstanding
|
||||||
Assets (2):
|
|
|
|
|
|
|
|
|
|
|||||
Fixed-maturity securities (3):
|
|
|
|
|
|
|
|
|
|
|
|
|||
Corporate securities
|
|
$
|
74
|
|
|
Yield
|
|
20.2%
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
RMBS
|
|
360
|
|
|
CPR
|
|
1.0
|
%
|
-
|
9.8%
|
|
2.8%
|
||
|
|
CDR
|
|
4.8
|
%
|
-
|
12.8%
|
|
9.7%
|
|||||
|
|
Loss severity
|
|
65.0
|
%
|
-
|
100.0%
|
|
78.0%
|
|||||
|
|
Yield
|
|
3.9
|
%
|
-
|
8.9%
|
|
6.0%
|
|||||
Asset-backed securities:
|
|
|
|
|
|
|
|
|
|
|
||||
Investor owned utility
|
|
71
|
|
|
Cash flow receipts
|
|
100.0%
|
|
|
|||||
|
|
Collateral recovery period
|
|
2.7 years
|
|
|
||||||||
|
|
Discount factor
|
|
7.0%
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
||||
Triple-X life insurance transactions
|
|
321
|
|
|
Yield
|
|
3.5
|
%
|
-
|
7.3%
|
|
4.9%
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
Collateralized debt obligations ("CDO")
|
|
247
|
|
|
Yield
|
|
15.0%
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
||||
FG VIEs’ assets, at fair value
|
|
1,191
|
|
|
CPR
|
|
2.5
|
%
|
-
|
8.6%
|
|
5.1%
|
||
|
|
CDR
|
|
1.2
|
%
|
-
|
23.1%
|
|
5.6%
|
|||||
|
|
Loss severity
|
|
40.0
|
%
|
-
|
100.0%
|
|
86.8%
|
|||||
|
|
Yield
|
|
3.5
|
%
|
-
|
20.9%
|
|
6.8%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
||||
Other assets
|
|
46
|
|
|
Quotes from third party pricing
|
|
$
|
51
|
|
-
|
$54
|
|
$53
|
|
|
|
Term (years)
|
|
5 years
|
|
|
Financial Instrument Description (1)
|
|
Fair Value at March 31, 2016 (in millions)
|
|
Significant Unobservable Inputs
|
|
Range
|
|
Weighted Average as a Percentage of Current Par Outstanding
|
||||
|
|
|
|
|
|
|
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivative liabilities, net
|
|
(434
|
)
|
|
Year 1 loss estimates
|
|
0.0
|
%
|
-
|
41.0%
|
|
0.8%
|
|
|
Hedge cost (in bps)
|
|
25.5
|
|
-
|
231.8
|
|
52.8
|
|||
|
|
Bank profit (in bps)
|
|
3.8
|
|
-
|
1,544.4
|
|
112.3
|
|||
|
|
Internal floor (in bps)
|
|
7.0
|
|
-
|
100.0
|
|
18.2
|
|||
|
|
Internal credit rating
|
|
AAA
|
|
-
|
CCC
|
|
AA+
|
|||
|
|
|
|
|
|
|
|
|
|
|
||
FG VIEs’ liabilities, at fair value
|
|
(1,284
|
)
|
|
CPR
|
|
2.5
|
%
|
-
|
8.6%
|
|
5.1%
|
|
|
CDR
|
|
1.2
|
%
|
-
|
23.1%
|
|
5.6%
|
|||
|
|
Loss severity
|
|
40.0
|
%
|
-
|
100.0%
|
|
86.8%
|
|||
|
|
Yield
|
|
3.5
|
%
|
-
|
20.9%
|
|
5.9%
|
(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
$7 million
.
|
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%
|
|
|
|
|
|
|
|
|
|
|
|
||
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
.
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||||||||||||
|
Carrying
Amount
|
|
Estimated
Fair Value
|
|
Carrying
Amount
|
|
Estimated
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Fixed-maturity securities
|
$
|
10,588
|
|
|
$
|
10,588
|
|
|
$
|
10,627
|
|
|
$
|
10,627
|
|
Short-term investments
|
459
|
|
|
459
|
|
|
396
|
|
|
396
|
|
||||
Other invested assets (1)
|
150
|
|
|
152
|
|
|
150
|
|
|
152
|
|
||||
Credit derivative assets
|
55
|
|
|
55
|
|
|
81
|
|
|
81
|
|
||||
FG VIEs’ assets, at fair value
|
1,191
|
|
|
1,191
|
|
|
1,261
|
|
|
1,261
|
|
||||
Other assets
|
211
|
|
|
211
|
|
|
206
|
|
|
206
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Financial guaranty insurance contracts (2)
|
3,804
|
|
|
9,500
|
|
|
3,998
|
|
|
8,712
|
|
||||
Long-term debt
|
1,302
|
|
|
1,500
|
|
|
1,300
|
|
|
1,512
|
|
||||
Credit derivative liabilities
|
489
|
|
|
489
|
|
|
446
|
|
|
446
|
|
||||
FG VIEs’ liabilities with recourse, at fair value
|
1,165
|
|
|
1,165
|
|
|
1,225
|
|
|
1,225
|
|
||||
FG VIEs’ liabilities without recourse, at fair value
|
119
|
|
|
119
|
|
|
124
|
|
|
124
|
|
||||
Other liabilities
|
73
|
|
|
73
|
|
|
9
|
|
|
9
|
|
(1)
|
Includes investments not carried at fair value with a carrying value of
$93 million
and
$93 million
as of
March 31, 2016
and
December 31, 2015
, respectively. 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 March 31, 2016
|
|
As of December 31, 2015
|
||||||||||||||||||||
Asset Type
|
|
Net Par
Outstanding
|
|
Original
Subordination(1)
|
|
Current
Subordination(1)
|
|
Weighted
Average
Credit
Rating
|
|
Net Par
Outstanding
|
|
Original
Subordination(1)
|
|
Current
Subordination(1)
|
|
Weighted
Average
Credit
Rating
|
||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||||
Pooled corporate obligations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Collateralized loan obligation/collateral bond obligations
|
|
$
|
5,197
|
|
|
30.7
|
%
|
|
42.8
|
%
|
|
AAA
|
|
$
|
5,873
|
|
|
30.9
|
%
|
|
42.3
|
%
|
|
AAA
|
Synthetic investment grade pooled corporate
|
|
7,127
|
|
|
21.7
|
|
|
19.4
|
|
|
AAA
|
|
7,108
|
|
|
21.7
|
|
|
19.4
|
|
|
AAA
|
||
TruPS CDOs
|
|
3,394
|
|
|
45.6
|
|
|
42.9
|
|
|
A-
|
|
3,429
|
|
|
45.8
|
|
|
42.6
|
|
|
A-
|
||
Market value CDOs of corporate obligations
|
|
1,113
|
|
|
17.0
|
|
|
27.8
|
|
|
AAA
|
|
1,113
|
|
|
17.0
|
|
|
30.1
|
|
|
AAA
|
||
Total pooled corporate obligations
|
|
16,831
|
|
|
29.0
|
|
|
31.9
|
|
|
AAA
|
|
17,523
|
|
|
29.2
|
|
|
32.3
|
|
|
AAA
|
||
U.S. RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Option ARM and Alt-A first lien
|
|
336
|
|
|
10.5
|
|
|
12.8
|
|
|
AA-
|
|
351
|
|
|
10.5
|
|
|
12.7
|
|
|
AA-
|
||
Subprime first lien
|
|
951
|
|
|
27.7
|
|
|
45.0
|
|
|
AA
|
|
981
|
|
|
27.7
|
|
|
45.2
|
|
|
AA
|
||
Prime first lien
|
|
169
|
|
|
10.9
|
|
|
0.0
|
|
|
BB
|
|
177
|
|
|
10.9
|
|
|
0.0
|
|
|
BB
|
||
Closed-end second lien
|
|
16
|
|
|
—
|
|
|
—
|
|
|
CCC
|
|
17
|
|
|
—
|
|
|
—
|
|
|
CCC
|
||
Total U.S. RMBS
|
|
1,472
|
|
|
24.1
|
|
|
37.3
|
|
|
A+
|
|
1,526
|
|
|
24.1
|
|
|
37.4
|
|
|
A+
|
||
CMBS
|
|
496
|
|
|
44.7
|
|
|
53.8
|
|
|
AAA
|
|
530
|
|
|
44.8
|
|
|
52.6
|
|
|
AAA
|
||
Other
|
|
6,067
|
|
|
—
|
|
|
—
|
|
|
A
|
|
6,015
|
|
|
—
|
|
|
—
|
|
|
A
|
||
Total
|
|
$
|
24,866
|
|
|
|
|
|
|
|
|
AA+
|
|
$
|
25,594
|
|
|
|
|
|
|
|
|
AA+
|
(1)
|
Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses.
|
|
|
As of March 31, 2016
|
|
As of December 31, 2015
|
||||||||||
Ratings
|
|
Net Par
Outstanding
|
|
% of Total
|
|
Net Par
Outstanding
|
|
% of Total
|
||||||
|
|
(dollars in millions)
|
||||||||||||
AAA
|
|
$
|
14,302
|
|
|
57.5
|
%
|
|
$
|
14,808
|
|
|
57.9
|
%
|
AA
|
|
4,624
|
|
|
18.6
|
|
|
4,821
|
|
|
18.8
|
|
||
A
|
|
2,253
|
|
|
9.1
|
|
|
2,144
|
|
|
8.4
|
|
||
BBB
|
|
2,108
|
|
|
8.5
|
|
|
2,212
|
|
|
8.6
|
|
||
BIG
|
|
1,579
|
|
|
6.3
|
|
|
1,609
|
|
|
6.3
|
|
||
Credit derivative net par outstanding
|
|
$
|
24,866
|
|
|
100.0
|
%
|
|
$
|
25,594
|
|
|
100.0
|
%
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Realized gains on credit derivatives
|
$
|
10
|
|
|
$
|
23
|
|
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
|
(2
|
)
|
|
(2
|
)
|
||
Realized gains (losses) and other settlements on credit derivatives
|
8
|
|
|
21
|
|
||
Net change in unrealized gains (losses) on credit derivatives:
|
|
|
|
||||
Pooled corporate obligations
|
(48
|
)
|
|
17
|
|
||
U.S. RMBS
|
(15
|
)
|
|
75
|
|
||
CMBS
|
0
|
|
|
0
|
|
||
Other
|
(5
|
)
|
|
11
|
|
||
Net change in unrealized gains (losses) on credit derivatives
|
(68
|
)
|
|
103
|
|
||
Net change in fair value of credit derivatives
|
$
|
(60
|
)
|
|
$
|
124
|
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Net par of terminated credit derivative contracts
|
$
|
—
|
|
|
$
|
93
|
|
Realized gains on credit derivatives
|
0
|
|
|
11
|
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||
Five-year CDS spread:
|
|
|
|
|
|
|
|
||||
AGC
|
307
|
|
|
376
|
|
|
317
|
|
|
323
|
|
AGM
|
309
|
|
|
366
|
|
|
341
|
|
|
325
|
|
One-year CDS spread
|
|
|
|
|
|
|
|
||||
AGC
|
105
|
|
|
139
|
|
|
60
|
|
|
80
|
|
AGM
|
102
|
|
|
131
|
|
|
80
|
|
|
85
|
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||||
|
(in millions)
|
||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads
|
$
|
(1,509
|
)
|
|
$
|
(1,448
|
)
|
Plus: Effect of AGC and AGM credit spreads
|
1,075
|
|
|
1,083
|
|
||
Net fair value of credit derivatives (1)
|
$
|
(434
|
)
|
|
$
|
(365
|
)
|
|
|
Fair Value of Credit Derivative
Asset (Liability), net
|
|
Expected Loss to be (Paid) Recovered
|
||||||||||||
Asset Type
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||||||||
|
|
(in millions)
|
||||||||||||||
Pooled corporate obligations
|
|
$
|
(131
|
)
|
|
$
|
(82
|
)
|
|
$
|
(4
|
)
|
|
$
|
(5
|
)
|
U.S. RMBS
|
|
(113
|
)
|
|
(98
|
)
|
|
(33
|
)
|
|
(38
|
)
|
||||
CMBS
|
|
0
|
|
|
0
|
|
|
—
|
|
|
—
|
|
||||
Other
|
|
(190
|
)
|
|
(185
|
)
|
|
28
|
|
|
27
|
|
||||
Total
|
|
$
|
(434
|
)
|
|
$
|
(365
|
)
|
|
$
|
(9
|
)
|
|
$
|
(16
|
)
|
•
|
For approximately
$3.5 billion
of such contracts, AGC has negotiated caps such that the posting requirement cannot exceed a certain fixed amount, regardless of the mark-to-market valuation of the exposure or the financial strength ratings of AGC. For such contracts, AGC need not post on a cash basis 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
$219 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
|
|
$
|
(883
|
)
|
|
$
|
(449
|
)
|
50% widening in spreads
|
|
(658
|
)
|
|
(224
|
)
|
||
25% widening in spreads
|
|
(547
|
)
|
|
(113
|
)
|
||
10% widening in spreads
|
|
(479
|
)
|
|
(45
|
)
|
||
Base Scenario
|
|
(434
|
)
|
|
—
|
|
||
10% narrowing in spreads
|
|
(392
|
)
|
|
42
|
|
||
25% narrowing in spreads
|
|
(329
|
)
|
|
105
|
|
||
50% narrowing in spreads
|
|
(226
|
)
|
|
208
|
|
(1)
|
Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread.
|
9.
|
Consolidated Variable Interest Entities
|
|
First Quarter
|
||||
|
2016
|
|
2015
|
||
|
|
||||
Beginning of the period, December 31
|
34
|
|
|
32
|
|
Consolidated (1)
|
—
|
|
|
1
|
|
Deconsolidated (1)
|
(1
|
)
|
|
—
|
|
End of the period, September 30
|
33
|
|
|
33
|
|
(1)
|
Net loss on deconsolidation was de minimis in
First Quarter 2016
, and net loss on consolidation was
$26 million
in
First Quarter 2015
, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations.
|
|
As of March 31, 2016
|
|
As of December 31, 2015
|
||||||||||||
|
Assets
|
|
Liabilities
|
|
Assets
|
|
Liabilities
|
||||||||
|
(in millions)
|
||||||||||||||
With recourse:
|
|
|
|
|
|
|
|
|
|
|
|
||||
U.S. RMBS first lien
|
$
|
457
|
|
|
$
|
495
|
|
|
$
|
506
|
|
|
$
|
521
|
|
U.S. RMBS second lien
|
189
|
|
|
250
|
|
|
194
|
|
|
273
|
|
||||
Life insurance
|
339
|
|
|
339
|
|
|
347
|
|
|
347
|
|
||||
Manufactured housing
|
81
|
|
|
81
|
|
|
84
|
|
|
84
|
|
||||
Total with recourse
|
1,066
|
|
|
1,165
|
|
|
1,131
|
|
|
1,225
|
|
||||
Without recourse
|
125
|
|
|
119
|
|
|
130
|
|
|
124
|
|
||||
Total
|
$
|
1,191
|
|
|
$
|
1,284
|
|
|
$
|
1,261
|
|
|
$
|
1,349
|
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Net earned premiums
|
$
|
(5
|
)
|
|
$
|
(5
|
)
|
Net investment income
|
(5
|
)
|
|
(3
|
)
|
||
Net realized investment gains (losses)
|
1
|
|
|
0
|
|
||
Fair value gains (losses) on FG VIEs
|
18
|
|
|
(7
|
)
|
||
Loss and LAE
|
6
|
|
|
5
|
|
||
Effect on income before tax
|
15
|
|
|
(10
|
)
|
||
Less: tax provision (benefit)
|
5
|
|
|
(4
|
)
|
||
Effect on net income (loss)
|
$
|
10
|
|
|
$
|
(6
|
)
|
|
|
|
|
||||
Effect on cash flows from operating activities
|
$
|
6
|
|
|
$
|
18
|
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||||
|
(in millions)
|
||||||
Effect on shareholders’ equity (decrease) increase
|
$
|
(12
|
)
|
|
$
|
(23
|
)
|
10.
|
Investments and Cash
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Income from fixed-maturity securities managed by third parties
|
$
|
79
|
|
|
$
|
82
|
|
Income from internally managed securities:
|
|
|
|
||||
Fixed maturities
|
17
|
|
|
15
|
|
||
Other
|
5
|
|
|
6
|
|
||
Gross investment income
|
101
|
|
|
103
|
|
||
Investment expenses
|
(2
|
)
|
|
(2
|
)
|
||
Net investment income
|
$
|
99
|
|
|
$
|
101
|
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Gross realized gains on available-for-sale securities
|
$
|
6
|
|
|
$
|
24
|
|
Gross realized gains on other assets in investment portfolio
|
—
|
|
|
1
|
|
||
Gross realized losses on available-for-sale securities
|
(2
|
)
|
|
(1
|
)
|
||
Gross realized losses on other assets in investment portfolio
|
(1
|
)
|
|
(1
|
)
|
||
Other-than-temporary impairment
|
(16
|
)
|
|
(7
|
)
|
||
Net realized investment gains (losses)
|
$
|
(13
|
)
|
|
$
|
16
|
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Balance, beginning of period
|
$
|
108
|
|
|
$
|
124
|
|
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized
|
1
|
|
|
—
|
|
||
Reductions for securities sold and other settlement during the period
|
(2
|
)
|
|
(21
|
)
|
||
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized
|
0
|
|
|
3
|
|
||
Balance, end of period
|
$
|
107
|
|
|
$
|
106
|
|
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
|
|
51
|
%
|
|
$
|
5,417
|
|
|
$
|
360
|
|
|
$
|
(1
|
)
|
|
$
|
5,776
|
|
|
$
|
3
|
|
|
AA
|
U.S. government and agencies
|
|
4
|
|
|
379
|
|
|
26
|
|
|
0
|
|
|
405
|
|
|
—
|
|
|
AA+
|
|||||
Corporate securities
|
|
14
|
|
|
1,473
|
|
|
69
|
|
|
(17
|
)
|
|
1,525
|
|
|
(11
|
)
|
|
A-
|
|||||
Mortgage-backed securities(4):
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
RMBS
|
|
11
|
|
|
1,222
|
|
|
37
|
|
|
(20
|
)
|
|
1,239
|
|
|
(13
|
)
|
|
A
|
|||||
CMBS
|
|
5
|
|
|
531
|
|
|
25
|
|
|
0
|
|
|
556
|
|
|
—
|
|
|
AAA
|
|||||
Asset-backed securities
|
|
8
|
|
|
821
|
|
|
3
|
|
|
(13
|
)
|
|
811
|
|
|
(11
|
)
|
|
B+
|
|||||
Foreign government securities
|
|
3
|
|
|
280
|
|
|
5
|
|
|
(9
|
)
|
|
276
|
|
|
—
|
|
|
AA+
|
|||||
Total fixed-maturity securities
|
|
96
|
|
|
10,123
|
|
|
525
|
|
|
(60
|
)
|
|
10,588
|
|
|
(32
|
)
|
|
A+
|
|||||
Short-term investments
|
|
4
|
|
|
459
|
|
|
0
|
|
|
0
|
|
|
459
|
|
|
—
|
|
|
AAA
|
|||||
Total investment portfolio
|
|
100
|
%
|
|
$
|
10,582
|
|
|
$
|
525
|
|
|
$
|
(60
|
)
|
|
$
|
11,047
|
|
|
$
|
(32
|
)
|
|
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
|
|
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+
|
(1)
|
Based on amortized cost.
|
(2)
|
Accumulated OCI. See also Note 17, Shareholders' Equity.
|
(3)
|
Ratings in the tables above represent the lower of the Moody’s and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company’s portfolio consists primarily of high-quality, liquid instruments.
|
(4)
|
Government-agency obligations were approximately
52%
of mortgage backed securities as of
March 31, 2016
and
54%
as of
December 31, 2015
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
|
$
|
58
|
|
|
$
|
0
|
|
|
$
|
87
|
|
|
$
|
(1
|
)
|
|
$
|
145
|
|
|
$
|
(1
|
)
|
U.S. government and agencies
|
7
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
0
|
|
||||||
Corporate securities
|
78
|
|
|
(2
|
)
|
|
122
|
|
|
(15
|
)
|
|
200
|
|
|
(17
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
RMBS
|
123
|
|
|
(5
|
)
|
|
182
|
|
|
(15
|
)
|
|
305
|
|
|
(20
|
)
|
||||||
CMBS
|
7
|
|
|
0
|
|
|
5
|
|
|
0
|
|
|
12
|
|
|
0
|
|
||||||
Asset-backed securities
|
456
|
|
|
(13
|
)
|
|
—
|
|
|
—
|
|
|
456
|
|
|
(13
|
)
|
||||||
Foreign government securities
|
91
|
|
|
(4
|
)
|
|
53
|
|
|
(5
|
)
|
|
144
|
|
|
(9
|
)
|
||||||
Total
|
$
|
820
|
|
|
$
|
(24
|
)
|
|
$
|
449
|
|
|
$
|
(36
|
)
|
|
$
|
1,269
|
|
|
$
|
(60
|
)
|
Number of securities (1)
|
|
|
|
110
|
|
|
|
|
|
82
|
|
|
|
|
|
185
|
|
||||||
Number of securities with other-than-temporary impairment
|
|
|
|
12
|
|
|
|
|
|
6
|
|
|
|
|
|
18
|
|
|
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
|
|
(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
|
$
|
469
|
|
|
$
|
470
|
|
Due after one year through five years
|
1,654
|
|
|
1,719
|
|
||
Due after five years through 10 years
|
2,195
|
|
|
2,320
|
|
||
Due after 10 years
|
4,052
|
|
|
4,284
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,222
|
|
|
1,239
|
|
||
CMBS
|
531
|
|
|
556
|
|
||
Total
|
$
|
10,123
|
|
|
$
|
10,588
|
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||||
|
(in millions)
|
||||||
Assets purchased for loss mitigation and other risk management purposes:
|
|
|
|
||||
Fixed-maturity securities, at fair value
|
$
|
1,264
|
|
|
$
|
1,266
|
|
Other invested assets
|
112
|
|
|
114
|
|
||
Other
|
55
|
|
|
55
|
|
||
Total
|
$
|
1,431
|
|
|
$
|
1,435
|
|
11.
|
Insurance Company Regulatory Requirements
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Dividends paid by AGC to AGUS
|
$
|
—
|
|
|
$
|
20
|
|
Dividends paid by AGM to AGMH
|
95
|
|
|
66
|
|
||
Dividends paid by AG Re to AGL
|
25
|
|
|
50
|
|
||
Repayment of surplus note by AGM to AGMH
|
—
|
|
|
25
|
|
12.
|
Income Taxes
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions
|
$
|
18
|
|
|
$
|
77
|
|
Tax-exempt interest
|
(13
|
)
|
|
(14
|
)
|
||
Change in liability for uncertain tax positions
|
0
|
|
|
1
|
|
||
Other
|
1
|
|
|
1
|
|
||
Total provision (benefit) for income taxes
|
$
|
6
|
|
|
$
|
65
|
|
Effective tax rate
|
10.0
|
%
|
|
24.2
|
%
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
United States
|
$
|
205
|
|
|
$
|
300
|
|
Bermuda
|
42
|
|
|
73
|
|
||
U.K.
|
(2
|
)
|
|
(4
|
)
|
||
Total
|
$
|
245
|
|
|
$
|
369
|
|
13.
|
Reinsurance and Other Monoline Exposures
|
•
|
if the Company fails to meet certain financial and regulatory criteria and to maintain a specified minimum financial strength rating, or
|
•
|
upon certain changes of control of the Company.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Premiums Written:
|
|
|
|
||||
Direct
|
$
|
21
|
|
|
$
|
29
|
|
Assumed
|
(2
|
)
|
|
3
|
|
||
Ceded
|
(17
|
)
|
|
0
|
|
||
Net
|
$
|
2
|
|
|
$
|
32
|
|
Premiums Earned:
|
|
|
|
||||
Direct
|
$
|
190
|
|
|
$
|
148
|
|
Assumed
|
8
|
|
|
10
|
|
||
Ceded
|
(15
|
)
|
|
(16
|
)
|
||
Net
|
$
|
183
|
|
|
$
|
142
|
|
Loss and LAE:
|
|
|
|
||||
Direct
|
$
|
109
|
|
|
$
|
26
|
|
Assumed
|
(14
|
)
|
|
(7
|
)
|
||
Ceded
|
(5
|
)
|
|
(1
|
)
|
||
Net
|
$
|
90
|
|
|
$
|
18
|
|
|
|
Ratings at
|
|
Par Outstanding (1)
|
||||||||||||
|
|
May 3, 2016
|
|
As of March 31, 2016
|
||||||||||||
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 (2)
|
|
WR (3)
|
|
WR
|
|
$
|
4,960
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd. (2)
|
|
Aa3 (4)
|
|
A+ (4)
|
|
4,171
|
|
|
—
|
|
|
—
|
|
|||
Syncora Guarantee Inc. (2)
|
|
WR
|
|
WR
|
|
2,411
|
|
|
1,319
|
|
|
700
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd. (2)
|
|
A1
|
|
A+ (4)
|
|
1,718
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
700
|
|
|
38
|
|
|
—
|
|
|||
Ambac
|
|
WR
|
|
WR
|
|
117
|
|
|
3,892
|
|
|
9,589
|
|
|||
National (6)
|
|
A3
|
|
AA-
|
|
—
|
|
|
5,139
|
|
|
5,065
|
|
|||
MBIA
|
|
(7)
|
|
(7)
|
|
—
|
|
|
1,591
|
|
|
428
|
|
|||
FGIC
|
|
(8)
|
|
(8)
|
|
—
|
|
|
1,437
|
|
|
636
|
|
|||
Ambac Assurance Corp. Segregated Account
|
|
NR
|
|
NR
|
|
—
|
|
|
86
|
|
|
823
|
|
|||
CIFG Assurance North America Inc.
|
|
WR
|
|
WR
|
|
—
|
|
|
43
|
|
|
2,784
|
|
|||
Other (2)
|
|
Various
|
|
Various
|
|
76
|
|
|
776
|
|
|
128
|
|
|||
Total
|
|
|
|
|
|
$
|
14,153
|
|
|
$
|
14,321
|
|
|
$
|
20,183
|
|
(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
March 31, 2016
was approximately
$436 million
.
|
(6)
|
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.
|
|
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
|
$
|
—
|
|
|
$
|
(6
|
)
|
|
$
|
—
|
|
|
$
|
25
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
—
|
|
|
(11
|
)
|
|
—
|
|
|
44
|
|
||||
Syncora Guarantee Inc.
|
15
|
|
|
(21
|
)
|
|
—
|
|
|
5
|
|
||||
Mitsui Sumitomo Insurance Co. Ltd.
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
18
|
|
||||
Ambac
|
39
|
|
|
—
|
|
|
(3
|
)
|
|
—
|
|
||||
National
|
6
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
||||
MBIA
|
5
|
|
|
—
|
|
|
(10
|
)
|
|
—
|
|
||||
FGIC
|
4
|
|
|
—
|
|
|
(15
|
)
|
|
—
|
|
||||
Ambac Assurance Corp. Segregated Account
|
10
|
|
|
—
|
|
|
(46
|
)
|
|
—
|
|
||||
CIFG Assurance North America Inc.
|
0
|
|
|
—
|
|
|
(63
|
)
|
|
—
|
|
||||
Other
|
—
|
|
|
(12
|
)
|
|
—
|
|
|
—
|
|
||||
Total
|
$
|
79
|
|
|
$
|
(53
|
)
|
|
$
|
(141
|
)
|
|
$
|
92
|
|
15.
|
Long-Term Debt and Credit Facilities
|
|
As of March 31, 2016
|
|
As of December 31, 2015
|
||||||||||||
|
Principal
|
|
Carrying
Value
|
|
Principal
|
|
Carrying
Value
|
||||||||
|
(in millions)
|
||||||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
7% Senior Notes
|
$
|
200
|
|
|
$
|
197
|
|
|
$
|
200
|
|
|
$
|
197
|
|
5% Senior Notes
|
500
|
|
|
496
|
|
|
500
|
|
|
495
|
|
||||
Series A Enhanced Junior Subordinated Debentures
|
150
|
|
|
150
|
|
|
150
|
|
|
150
|
|
||||
Total AGUS
|
850
|
|
|
843
|
|
|
850
|
|
|
842
|
|
||||
AGMH:
|
|
|
|
|
|
|
|
|
|
|
|
||||
6
7
/
8
% QUIBS
|
100
|
|
|
69
|
|
|
100
|
|
|
69
|
|
||||
6.25% Notes
|
230
|
|
|
140
|
|
|
230
|
|
|
140
|
|
||||
5.6% Notes
|
100
|
|
|
56
|
|
|
100
|
|
|
56
|
|
||||
Junior Subordinated Debentures
|
300
|
|
|
182
|
|
|
300
|
|
|
180
|
|
||||
Total AGMH
|
730
|
|
|
447
|
|
|
730
|
|
|
445
|
|
||||
AGM:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Notes Payable
|
11
|
|
|
12
|
|
|
12
|
|
|
13
|
|
||||
Total AGM
|
11
|
|
|
12
|
|
|
12
|
|
|
13
|
|
||||
Total
|
$
|
1,591
|
|
|
$
|
1,302
|
|
|
$
|
1,592
|
|
|
$
|
1,300
|
|
•
|
a minimum net worth of
75%
of consolidated net worth as of July 1, 2009, plus, beginning June 30, 2015 and on each anniversary of such date, an amount equal to the product of (i)
25%
of the aggregate consolidated net income (or loss) for the period beginning July 2, 2009 and ending on June 30, 2014 and (ii) a fraction, the numerator of which is the commitment amount as of the relevant calculation date and the denominator of which is
$1 billion
.
|
16.
|
Earnings Per Share
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Basic earnings per share ("EPS"):
|
|
|
|
||||
Net income (loss) attributable to AGL
|
$
|
59
|
|
|
$
|
201
|
|
Less: Distributed and undistributed income (loss) available to nonvested shareholders
|
1
|
|
|
0
|
|
||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
$
|
58
|
|
|
$
|
201
|
|
Basic shares
|
136.2
|
|
|
155.8
|
|
||
Basic EPS
|
$
|
0.43
|
|
|
$
|
1.29
|
|
|
|
|
|
||||
Diluted EPS:
|
|
|
|
||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic
|
$
|
58
|
|
|
$
|
201
|
|
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries
|
0
|
|
|
0
|
|
||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted
|
$
|
58
|
|
|
$
|
201
|
|
|
|
|
|
||||
Basic shares
|
136.2
|
|
|
155.8
|
|
||
Dilutive securities:
|
|
|
|
||||
Options and restricted stock awards
|
0.8
|
|
|
1.0
|
|
||
Diluted shares
|
137.0
|
|
|
156.8
|
|
||
Diluted EPS
|
$
|
0.43
|
|
|
$
|
1.28
|
|
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect
|
0.8
|
|
|
0.7
|
|
17.
|
Shareholders' Equity
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2015
|
$
|
260
|
|
|
$
|
(15
|
)
|
|
$
|
(16
|
)
|
|
$
|
8
|
|
|
$
|
237
|
|
Other comprehensive income (loss) before reclassifications
|
95
|
|
|
(17
|
)
|
|
(2
|
)
|
|
—
|
|
|
76
|
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net realized investment gains (losses)
|
(4
|
)
|
|
17
|
|
|
—
|
|
|
—
|
|
|
13
|
|
|||||
Net investment income
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
0
|
|
|||||
Total before tax
|
(7
|
)
|
|
17
|
|
|
—
|
|
|
0
|
|
|
10
|
|
|||||
Tax (provision) benefit
|
2
|
|
|
(6
|
)
|
|
—
|
|
|
0
|
|
|
(4
|
)
|
|||||
Total amount reclassified from AOCI, net of tax
|
(5
|
)
|
|
11
|
|
|
—
|
|
|
0
|
|
|
6
|
|
|||||
Net current period other comprehensive income (loss)
|
90
|
|
|
(6
|
)
|
|
(2
|
)
|
|
0
|
|
|
82
|
|
|||||
Balance, March 31, 2016
|
$
|
350
|
|
|
$
|
(21
|
)
|
|
$
|
(18
|
)
|
|
$
|
8
|
|
|
$
|
319
|
|
|
Net Unrealized
Gains (Losses) on
Investments with no Other-Than-Temporary Impairment
|
|
Net Unrealized
Gains (Losses) on
Investments with Other-Than-Temporary Impairment
|
|
Cumulative
Translation
Adjustment
|
|
Cash Flow Hedge
|
|
Total Accumulated
Other
Comprehensive
Income
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Balance, December 31, 2014
|
$
|
367
|
|
|
$
|
4
|
|
|
$
|
(10
|
)
|
|
$
|
9
|
|
|
$
|
370
|
|
Other comprehensive income (loss) before reclassifications
|
18
|
|
|
(2
|
)
|
|
(5
|
)
|
|
—
|
|
|
11
|
|
|||||
Amounts reclassified from AOCI to:
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Net realized investment gains (losses)
|
(20
|
)
|
|
4
|
|
|
—
|
|
|
—
|
|
|
(16
|
)
|
|||||
Interest expense
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|||||
Total before tax
|
(20
|
)
|
|
4
|
|
|
—
|
|
|
(1
|
)
|
|
(17
|
)
|
|||||
Tax (provision) benefit
|
7
|
|
|
(1
|
)
|
|
—
|
|
|
0
|
|
|
6
|
|
|||||
Total amount reclassified from AOCI, net of tax
|
(13
|
)
|
|
3
|
|
|
—
|
|
|
(1
|
)
|
|
(11
|
)
|
|||||
Net current period other comprehensive income (loss)
|
5
|
|
|
1
|
|
|
(5
|
)
|
|
(1
|
)
|
|
0
|
|
|||||
Balance, March 31, 2015
|
$
|
372
|
|
|
$
|
5
|
|
|
$
|
(15
|
)
|
|
$
|
8
|
|
|
$
|
370
|
|
Period
|
|
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 (January 1 - March 31)
|
|
5,860,291
|
|
|
152
|
|
|
25.87
|
|
||
2015 (April 1 - June 30)
|
|
4,737,388
|
|
|
133
|
|
|
28.13
|
|
||
2015 (July 1 - September 30)
|
|
5,362,103
|
|
|
135
|
|
|
25.17
|
|
||
2015 (October 1 - December 31)
|
|
5,035,637
|
|
|
135
|
|
|
26.81
|
|
||
Total 2015
|
|
20,995,419
|
|
|
555
|
|
|
26.43
|
|
||
2016 (January 1 - March 31)
|
|
3,038,928
|
|
|
75
|
|
|
24.69
|
|
||
2016 (April 1 - through May 4, 2016)
|
|
793,672
|
|
|
20
|
|
|
25.20
|
|
||
Total 2016
|
|
3,832,600
|
|
|
95
|
|
|
24.80
|
|
||
Cumulative repurchases since the beginning of 2013
|
|
61,754,559
|
|
|
$
|
1,504
|
|
|
$
|
24.36
|
|
18.
|
Subsidiary Information
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total investment portfolio and cash
|
$
|
80
|
|
|
$
|
94
|
|
|
$
|
23
|
|
|
$
|
11,489
|
|
|
$
|
(360
|
)
|
|
$
|
11,326
|
|
Investment in subsidiaries
|
6,003
|
|
|
5,570
|
|
|
4,077
|
|
|
389
|
|
|
(16,039
|
)
|
|
—
|
|
||||||
Premiums receivable, net of commissions payable
|
—
|
|
|
—
|
|
|
—
|
|
|
792
|
|
|
(130
|
)
|
|
662
|
|
||||||
Ceded unearned premium reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,236
|
|
|
(1,000
|
)
|
|
236
|
|
||||||
Deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
172
|
|
|
(59
|
)
|
|
113
|
|
||||||
Reinsurance recoverable on unpaid losses
|
—
|
|
|
—
|
|
|
—
|
|
|
491
|
|
|
(419
|
)
|
|
72
|
|
||||||
Credit derivative assets
|
—
|
|
|
—
|
|
|
—
|
|
|
163
|
|
|
(108
|
)
|
|
55
|
|
||||||
Deferred tax asset, net
|
—
|
|
|
40
|
|
|
—
|
|
|
368
|
|
|
(130
|
)
|
|
278
|
|
||||||
Intercompany receivable
|
—
|
|
|
—
|
|
|
—
|
|
|
90
|
|
|
(90
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ assets, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
1,191
|
|
|
—
|
|
|
1,191
|
|
||||||
Other
|
34
|
|
|
46
|
|
|
28
|
|
|
645
|
|
|
(234
|
)
|
|
519
|
|
||||||
TOTAL ASSETS
|
$
|
6,117
|
|
|
$
|
5,750
|
|
|
$
|
4,128
|
|
|
$
|
17,026
|
|
|
$
|
(18,569
|
)
|
|
$
|
14,452
|
|
LIABILITIES AND SHAREHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Unearned premium reserves
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4,914
|
|
|
$
|
(1,104
|
)
|
|
$
|
3,810
|
|
Loss and LAE reserve
|
—
|
|
|
—
|
|
|
—
|
|
|
1,605
|
|
|
(493
|
)
|
|
1,112
|
|
||||||
Long-term debt
|
—
|
|
|
842
|
|
|
447
|
|
|
13
|
|
|
—
|
|
|
1,302
|
|
||||||
Intercompany payable
|
—
|
|
|
90
|
|
|
—
|
|
|
300
|
|
|
(390
|
)
|
|
—
|
|
||||||
Credit derivative liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
597
|
|
|
(108
|
)
|
|
489
|
|
||||||
Deferred tax liabilities, net
|
—
|
|
|
—
|
|
|
90
|
|
|
—
|
|
|
(90
|
)
|
|
—
|
|
||||||
Financial guaranty variable interest entities’ liabilities, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
1,284
|
|
|
—
|
|
|
1,284
|
|
||||||
Other
|
4
|
|
|
26
|
|
|
18
|
|
|
655
|
|
|
(361
|
)
|
|
342
|
|
||||||
TOTAL LIABILITIES
|
4
|
|
|
958
|
|
|
555
|
|
|
9,368
|
|
|
(2,546
|
)
|
|
8,339
|
|
||||||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
6,113
|
|
|
4,792
|
|
|
3,573
|
|
|
7,269
|
|
|
(15,634
|
)
|
|
6,113
|
|
||||||
Noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
389
|
|
|
(389
|
)
|
|
—
|
|
||||||
TOTAL SHAREHOLDERS' EQUITY
|
6,113
|
|
|
4,792
|
|
|
3,573
|
|
|
7,658
|
|
|
(16,023
|
)
|
|
6,113
|
|
||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY
|
$
|
6,117
|
|
|
$
|
5,750
|
|
|
$
|
4,128
|
|
|
$
|
17,026
|
|
|
$
|
(18,569
|
)
|
|
$
|
14,452
|
|
|
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)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
192
|
|
|
$
|
(9
|
)
|
|
$
|
183
|
|
Net investment income
|
0
|
|
|
0
|
|
|
0
|
|
|
100
|
|
|
(1
|
)
|
|
99
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
—
|
|
|
—
|
|
|
(12
|
)
|
|
(1
|
)
|
|
(13
|
)
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|
0
|
|
|
8
|
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
(68
|
)
|
|
—
|
|
|
(68
|
)
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
(60
|
)
|
|
0
|
|
|
(60
|
)
|
||||||
Bargain purchase gain and settlement of pre-existing relationships
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other
|
0
|
|
|
—
|
|
|
—
|
|
|
36
|
|
|
—
|
|
|
36
|
|
||||||
TOTAL REVENUES
|
0
|
|
|
0
|
|
|
0
|
|
|
256
|
|
|
(11
|
)
|
|
245
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
93
|
|
|
(3
|
)
|
|
90
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
(3
|
)
|
|
4
|
|
||||||
Interest expense
|
—
|
|
|
13
|
|
|
13
|
|
|
3
|
|
|
(3
|
)
|
|
26
|
|
||||||
Other operating expenses
|
8
|
|
|
0
|
|
|
1
|
|
|
52
|
|
|
(1
|
)
|
|
60
|
|
||||||
TOTAL EXPENSES
|
8
|
|
|
13
|
|
|
14
|
|
|
155
|
|
|
(10
|
)
|
|
180
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(8
|
)
|
|
(13
|
)
|
|
(14
|
)
|
|
101
|
|
|
(1
|
)
|
|
65
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
5
|
|
|
5
|
|
|
(16
|
)
|
|
0
|
|
|
(6
|
)
|
||||||
Equity in net earnings of subsidiaries
|
67
|
|
|
50
|
|
|
77
|
|
|
9
|
|
|
(203
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
$
|
59
|
|
|
$
|
42
|
|
|
$
|
68
|
|
|
$
|
94
|
|
|
$
|
(204
|
)
|
|
$
|
59
|
|
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
9
|
|
|
(9
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
59
|
|
|
$
|
42
|
|
|
$
|
68
|
|
|
$
|
85
|
|
|
$
|
(195
|
)
|
|
$
|
59
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
141
|
|
|
$
|
80
|
|
|
$
|
92
|
|
|
$
|
178
|
|
|
$
|
(350
|
)
|
|
$
|
141
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
REVENUES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net earned premiums
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
140
|
|
|
$
|
2
|
|
|
$
|
142
|
|
Net investment income
|
0
|
|
|
0
|
|
|
0
|
|
|
104
|
|
|
(3
|
)
|
|
101
|
|
||||||
Net realized investment gains (losses)
|
0
|
|
|
0
|
|
|
0
|
|
|
19
|
|
|
(3
|
)
|
|
16
|
|
||||||
Net change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Realized gains (losses) and other settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
21
|
|
|
0
|
|
|
21
|
|
||||||
Net unrealized gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
103
|
|
|
—
|
|
|
103
|
|
||||||
Net change in fair value of credit derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
124
|
|
|
0
|
|
|
124
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
(14
|
)
|
|
—
|
|
|
(14
|
)
|
||||||
TOTAL REVENUES
|
0
|
|
|
0
|
|
|
0
|
|
|
373
|
|
|
(4
|
)
|
|
369
|
|
||||||
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Loss and LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
18
|
|
|
0
|
|
|
18
|
|
||||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
(2
|
)
|
|
4
|
|
||||||
Interest expense
|
—
|
|
|
13
|
|
|
13
|
|
|
4
|
|
|
(5
|
)
|
|
25
|
|
||||||
Other operating expenses
|
8
|
|
|
0
|
|
|
0
|
|
|
48
|
|
|
0
|
|
|
56
|
|
||||||
TOTAL EXPENSES
|
8
|
|
|
13
|
|
|
13
|
|
|
76
|
|
|
(7
|
)
|
|
103
|
|
||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES
|
(8
|
)
|
|
(13
|
)
|
|
(13
|
)
|
|
297
|
|
|
3
|
|
|
266
|
|
||||||
Total (provision) benefit for income taxes
|
—
|
|
|
5
|
|
|
5
|
|
|
(72
|
)
|
|
(3
|
)
|
|
(65
|
)
|
||||||
Equity in net earnings of subsidiaries
|
209
|
|
|
163
|
|
|
92
|
|
|
9
|
|
|
(473
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS)
|
$
|
201
|
|
|
$
|
155
|
|
|
$
|
84
|
|
|
$
|
234
|
|
|
$
|
(473
|
)
|
|
$
|
201
|
|
Less: noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
9
|
|
|
(9
|
)
|
|
—
|
|
||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD.
|
$
|
201
|
|
|
$
|
155
|
|
|
$
|
84
|
|
|
$
|
225
|
|
|
$
|
(464
|
)
|
|
$
|
201
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
COMPREHENSIVE INCOME (LOSS)
|
$
|
201
|
|
|
$
|
134
|
|
|
$
|
80
|
|
|
$
|
233
|
|
|
$
|
(447
|
)
|
|
$
|
201
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
Net cash flows provided by (used in) operating activities
|
$
|
166
|
|
|
$
|
17
|
|
|
$
|
88
|
|
|
$
|
(74
|
)
|
|
$
|
(287
|
)
|
|
$
|
(90
|
)
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
(4
|
)
|
|
(11
|
)
|
|
—
|
|
|
(281
|
)
|
|
—
|
|
|
(296
|
)
|
||||||
Sales
|
1
|
|
|
—
|
|
|
—
|
|
|
161
|
|
|
—
|
|
|
162
|
|
||||||
Maturities
|
—
|
|
|
—
|
|
|
—
|
|
|
301
|
|
|
—
|
|
|
301
|
|
||||||
Sales (purchases) of short-term investments, net
|
(69
|
)
|
|
11
|
|
|
—
|
|
|
(5
|
)
|
|
—
|
|
|
(63
|
)
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
66
|
|
|
—
|
|
|
66
|
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
2
|
|
||||||
Net cash flows provided by (used in) investing activities
|
(72
|
)
|
|
0
|
|
|
—
|
|
|
244
|
|
|
—
|
|
|
172
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Dividends paid
|
(18
|
)
|
|
(80
|
)
|
|
(87
|
)
|
|
(120
|
)
|
|
287
|
|
|
(18
|
)
|
||||||
Repurchases of common stock
|
(75
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(75
|
)
|
||||||
Share activity under option and incentive plans
|
0
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(42
|
)
|
|
—
|
|
|
(42
|
)
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
—
|
|
|
0
|
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
||||||
Net cash flows provided by (used in) financing activities
|
(93
|
)
|
|
(80
|
)
|
|
(87
|
)
|
|
(163
|
)
|
|
287
|
|
|
(136
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
0
|
|
|
—
|
|
|
0
|
|
||||||
Increase (decrease) in cash
|
1
|
|
|
(63
|
)
|
|
1
|
|
|
7
|
|
|
—
|
|
|
(54
|
)
|
||||||
Cash at beginning of period
|
0
|
|
|
95
|
|
|
8
|
|
|
63
|
|
|
—
|
|
|
166
|
|
||||||
Cash at end of period
|
$
|
1
|
|
|
$
|
32
|
|
|
$
|
9
|
|
|
$
|
70
|
|
|
$
|
—
|
|
|
$
|
112
|
|
|
Assured
Guaranty Ltd.
(Parent)
|
|
AGUS
(Issuer)
|
|
AGMH
(Issuer)
|
|
Other
Entities
|
|
Consolidating
Adjustments
|
|
Assured
Guaranty Ltd.
(Consolidated)
|
||||||||||||
Net cash flows provided by (used in) operating activities
|
$
|
97
|
|
|
$
|
127
|
|
|
$
|
59
|
|
|
$
|
34
|
|
|
$
|
(294
|
)
|
|
$
|
23
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases
|
—
|
|
|
(46
|
)
|
|
(6
|
)
|
|
(396
|
)
|
|
—
|
|
|
(448
|
)
|
||||||
Sales
|
—
|
|
|
122
|
|
|
11
|
|
|
708
|
|
|
—
|
|
|
841
|
|
||||||
Maturities
|
—
|
|
|
4
|
|
|
—
|
|
|
151
|
|
|
—
|
|
|
155
|
|
||||||
Sales (purchases) of short-term investments, net
|
79
|
|
|
43
|
|
|
19
|
|
|
279
|
|
|
—
|
|
|
420
|
|
||||||
Net proceeds from financial guaranty variable entities’ assets
|
—
|
|
|
—
|
|
|
—
|
|
|
30
|
|
|
—
|
|
|
30
|
|
||||||
Intercompany debt
|
—
|
|
|
(200
|
)
|
|
—
|
|
|
—
|
|
|
200
|
|
|
—
|
|
||||||
Investment in subsidiary
|
—
|
|
|
—
|
|
|
25
|
|
|
—
|
|
|
(25
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|
3
|
|
||||||
Net cash flows provided by (used in) investing activities
|
79
|
|
|
(77
|
)
|
|
49
|
|
|
775
|
|
|
175
|
|
|
1,001
|
|
||||||
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Return of capital
|
—
|
|
|
—
|
|
|
—
|
|
|
(25
|
)
|
|
25
|
|
|
—
|
|
||||||
Dividends paid
|
(19
|
)
|
|
(50
|
)
|
|
(108
|
)
|
|
(136
|
)
|
|
294
|
|
|
(19
|
)
|
||||||
Repurchases of common stock
|
(152
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(152
|
)
|
||||||
Share activity under option and incentive plans
|
(5
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
||||||
Net paydowns of financial guaranty variable entities’ liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
(39
|
)
|
|
—
|
|
|
(39
|
)
|
||||||
Payment of long-term debt
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
||||||
Intercompany debt
|
—
|
|
|
—
|
|
|
—
|
|
|
200
|
|
|
(200
|
)
|
|
—
|
|
||||||
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
4
|
|
|
—
|
|
|
4
|
|
||||||
Net cash flows provided by (used in) financing activities
|
(176
|
)
|
|
(50
|
)
|
|
(108
|
)
|
|
3
|
|
|
119
|
|
|
(212
|
)
|
||||||
Effect of exchange rate changes
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
(2
|
)
|
||||||
Increase (decrease) in cash
|
—
|
|
|
—
|
|
|
—
|
|
|
810
|
|
|
—
|
|
|
810
|
|
||||||
Cash at beginning of period
|
0
|
|
|
—
|
|
|
4
|
|
|
71
|
|
|
—
|
|
|
75
|
|
||||||
Cash at end of period
|
$
|
0
|
|
|
$
|
—
|
|
|
$
|
4
|
|
|
$
|
881
|
|
|
$
|
—
|
|
|
$
|
885
|
|
ITEM 2.
|
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
•
|
rating agency action, including a ratings downgrade, a change in outlook, the placement of ratings on watch for downgrade, or a change in rating criteria, at any time, of AGL or any of its subsidiaries, and/or of any securities AGL or any of its subsidiaries have issued, and/or of transactions that AGL's subsidiaries have insured;
|
•
|
reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty's insurance;
|
•
|
developments in the world’s financial and capital markets that adversely affect obligors’ payment rates, Assured Guaranty’s loss experience, or its exposure to refinancing risk in transactions (which could result in substantial liquidity claims on its guarantees);
|
•
|
the possibility that budget 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;
|
•
|
the failure of Assured Guaranty to realize loss recoveries that are assumed in its expected loss estimates;
|
•
|
deterioration in the financial condition of Assured Guaranty’s reinsurers, the amount and timing of reinsurance recoverables actually received and the risk that reinsurers may dispute amounts owed to Assured Guaranty under its reinsurance agreements;
|
•
|
increased competition, including from new entrants into the financial guaranty industry;
|
•
|
rating agency action on obligors, including sovereign debtors, resulting in a reduction in the value of securities in Assured Guaranty’s investment portfolio and in collateral posted by and to Assured Guaranty;
|
•
|
the inability of Assured Guaranty to access external sources of capital on acceptable terms;
|
•
|
changes in the world’s credit markets, segments thereof, interest rates or general economic conditions;
|
•
|
the impact of market volatility on the mark-to-market of Assured Guaranty’s contracts written in credit default swap form;
|
•
|
changes in applicable accounting policies or practices;
|
•
|
changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions;
|
•
|
difficulties with the execution of Assured Guaranty’s business strategy;
|
•
|
loss of key personnel;
|
•
|
the effects of mergers, acquisitions and divestitures;
|
•
|
natural or man-made catastrophes;
|
•
|
other risks and uncertainties that have not been identified at this time;
|
•
|
management’s response to these factors; and
|
•
|
other risk factors identified in AGL's filings with the U.S. Securities and Exchange Commission (the “SEC”).
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Net income (loss)
|
$
|
59
|
|
|
$
|
201
|
|
Operating income(1)
|
113
|
|
|
140
|
|
||
|
|
|
|
||||
Net income (loss) per diluted share
|
0.43
|
|
|
1.28
|
|
||
Operating income per share(1)
|
0.82
|
|
|
0.89
|
|
||
Diluted shares
|
137.0
|
|
|
156.8
|
|
||
|
|
|
|
||||
Present value of new business production (“PVP”)(1)
|
$
|
38
|
|
|
$
|
36
|
|
Gross par written
|
2,749
|
|
|
2,708
|
|
|
As of March 31, 2016
|
|
As of December 31, 2015
|
||||||||||||
|
Amount
|
|
Per Share
|
|
Amount
|
|
Per Share
|
||||||||
|
(in millions, except per share amounts)
|
||||||||||||||
Shareholders' equity
|
$
|
6,113
|
|
|
$
|
45.26
|
|
|
$
|
6,063
|
|
|
$
|
43.96
|
|
Operating shareholders' equity(1)
|
5,954
|
|
|
44.08
|
|
|
5,946
|
|
|
43.11
|
|
||||
Adjusted book value(1)
|
8,294
|
|
|
61.40
|
|
|
8,439
|
|
|
61.18
|
|
||||
Common shares outstanding (2)
|
135.1
|
|
|
|
|
137.9
|
|
|
|
(1)
|
Please refer to “—Non-GAAP Financial Measures” for a definition of the financial measures that were not determined in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and a reconciliation of the non-GAAP financial measure 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
|
•
|
encourages retail investors, who typically have fewer resources than the Company for analyzing municipal bonds, to purchase such bonds;
|
•
|
enables institutional investors to operate more efficiently; and
|
•
|
allows smaller, less well-known issuers to gain market access on a more cost-effective basis.
|
|
First Quarter 2016
|
|
First Quarter 2015
|
|
Year Ended December 31, 2015
|
|||||||||||||||
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|
Par
|
|
Number of
issues
|
|||||||||
|
(dollars in billions, except number of issues)
|
|||||||||||||||||||
New municipal bonds issued
|
$
|
96.5
|
|
|
2,787
|
|
|
$
|
103.9
|
|
|
3,057
|
|
|
$
|
377.6
|
|
|
12,076
|
|
Total insured
|
5.7
|
|
|
430
|
|
|
6.0
|
|
|
517
|
|
|
25.2
|
|
|
1,880
|
|
|||
Insured by Assured Guaranty
|
3.0
|
|
|
198
|
|
|
3.4
|
|
|
276
|
|
|
15.1
|
|
|
1,009
|
|
|
First Quarter
|
|
Year Ended December 31,
|
||
|
2016
|
|
2015
|
|
2015
|
Market penetration par
|
5.9%
|
|
5.7%
|
|
6.7%
|
Market penetration based on number of issues
|
15.4
|
|
16.9
|
|
15.6
|
% of single A par sold
|
28.0
|
|
21.6
|
|
22.1
|
% of single A transactions sold
|
58.7
|
|
55.2
|
|
54.1
|
% of $25 million and under par sold
|
17.7
|
|
19.8
|
|
18.7
|
% of $25 million and under transactions sold
|
17.7
|
|
19.8
|
|
17.6
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
PVP (1):
|
|
|
|
||||
Public Finance—U.S.
|
$
|
31
|
|
|
$
|
13
|
|
Public Finance—non-U.S.
|
7
|
|
|
—
|
|
||
Structured Finance—U.S.
|
—
|
|
|
18
|
|
||
Structured Finance—non-U.S.
|
—
|
|
|
5
|
|
||
Total PVP
|
$
|
38
|
|
|
$
|
36
|
|
Gross Par Written:
|
|
|
|
||||
Public Finance—U.S.
|
$
|
2,749
|
|
|
$
|
2,441
|
|
Public Finance—non-U.S.
|
—
|
|
|
—
|
|
||
Structured Finance—U.S.
|
—
|
|
|
261
|
|
||
Structured Finance—non-U.S.
|
—
|
|
|
6
|
|
||
Total gross par written
|
$
|
2,749
|
|
|
$
|
2,708
|
|
(1)
|
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 May 4, 2016)
|
95
|
|
|
3.8
|
|
|
24.80
|
|
||
Cumulative repurchases since the beginning of 2013
|
$
|
1,504
|
|
|
61.7
|
|
|
24.36
|
|
|
First Quarter
|
|
|
|
|
||||||||||
|
2016
|
|
2015
|
|
As of March 31, 2016
|
|
As of
December 31, 2015 |
||||||||
|
(per share)
|
||||||||||||||
Net income
|
$
|
0.08
|
|
|
$
|
0.25
|
|
|
|
|
|
||||
Operating income
|
0.20
|
|
|
0.18
|
|
|
|
|
|
||||||
Shareholders' equity
|
|
|
|
|
$
|
6.43
|
|
|
$
|
5.75
|
|
||||
Operating shareholders' equity
|
|
|
|
|
6.07
|
|
|
5.49
|
|
||||||
Adjusted book value
|
|
|
|
|
11.45
|
|
|
10.83
|
|
(1)
|
Cumulative repurchases since the beginning of 2013.
|
|
Three Months Ended March 31,
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Revenues:
|
|
|
|
||||
Net earned premiums
|
$
|
183
|
|
|
$
|
142
|
|
Net investment income
|
99
|
|
|
101
|
|
||
Net realized investment gains (losses)
|
(13
|
)
|
|
16
|
|
||
Net change in fair value of credit derivatives:
|
|
|
|
||||
Realized gains (losses) and other settlements
|
8
|
|
|
21
|
|
||
Net unrealized gains (losses)
|
(68
|
)
|
|
103
|
|
||
Net change in fair value of credit derivatives
|
(60
|
)
|
|
124
|
|
||
Fair value gains (losses) on CCS
|
(16
|
)
|
|
2
|
|
||
Fair value gains (losses) on FG VIEs
|
18
|
|
|
(7
|
)
|
||
Other income (loss)
|
34
|
|
|
(9
|
)
|
||
Total revenues
|
245
|
|
|
369
|
|
||
Expenses:
|
|
|
|
||||
Loss and LAE
|
90
|
|
|
18
|
|
||
Amortization of deferred acquisition costs
|
4
|
|
|
4
|
|
||
Interest expense
|
26
|
|
|
25
|
|
||
Other operating expenses
|
60
|
|
|
56
|
|
||
Total expenses
|
180
|
|
|
103
|
|
||
Income (loss) before provision for income taxes
|
65
|
|
|
266
|
|
||
Provision (benefit) for income taxes
|
6
|
|
|
65
|
|
||
Net income (loss)
|
$
|
59
|
|
|
$
|
201
|
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Financial guaranty:
|
|
|
|
||||
Public finance
|
|
|
|
||||
Scheduled net earned premiums and accretion
|
$
|
69
|
|
|
$
|
66
|
|
Accelerations(1)
|
79
|
|
|
40
|
|
||
Total public finance
|
148
|
|
|
106
|
|
||
Structured finance(2)
|
|
|
|
||||
Scheduled net earned premiums and accretion
|
25
|
|
|
34
|
|
||
Accelerations(1)
|
10
|
|
|
1
|
|
||
Total structured finance
|
35
|
|
|
35
|
|
||
Other
|
0
|
|
|
1
|
|
||
Total net earned premiums
|
$
|
183
|
|
|
$
|
142
|
|
(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
$5 million
and
$5 million
for
First Quarter
2016
and
2015
, respectively related to consolidated FG VIEs.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Income from fixed-maturity securities managed by third parties
|
$
|
79
|
|
|
$
|
82
|
|
Income from internally managed securities:
|
|
|
|
||||
Fixed maturities
|
17
|
|
|
15
|
|
||
Other
|
5
|
|
|
6
|
|
||
Gross investment income
|
101
|
|
|
103
|
|
||
Investment expenses
|
(2
|
)
|
|
(2
|
)
|
||
Net investment income
|
$
|
99
|
|
|
$
|
101
|
|
(1)
|
Net investment income excludes $5 million and $3 million for
First Quarter
2016
and
2015
, respectively, related to consolidated FG VIEs.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Gross realized gains on the investment portfolio
|
$
|
6
|
|
|
$
|
25
|
|
Gross realized losses on the investment portfolio
|
(3
|
)
|
|
(2
|
)
|
||
Other-than-temporary impairment
|
(16
|
)
|
|
(7
|
)
|
||
Net realized investment gains (losses)
|
$
|
(13
|
)
|
|
$
|
16
|
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Foreign exchange gain (loss) on remeasurement of premium receivable and loss reserves
|
$
|
(2
|
)
|
|
$
|
(13
|
)
|
Other (1)
|
36
|
|
|
4
|
|
||
Total other income (loss)
|
$
|
34
|
|
|
$
|
(9
|
)
|
(1)
|
Other in
First Quarter
2016
represents primarily a benefit due to loss mitigation recoveries.
|
•
|
Note 5 for expected loss to be paid,
|
•
|
Note 6 for financial guaranty insurance,
|
•
|
Note 7 for fair value methodologies for credit derivatives and FG VIE assets and liabilities,
|
•
|
Note 8 for credit derivatives, and
|
•
|
Note 9 for consolidated FG VIEs.
|
•
|
considers deferred premium revenue in the calculation of loss reserves and loss expense for financial guaranty insurance contracts,
|
•
|
eliminates losses related to FG VIEs and
|
•
|
does not include estimated losses on credit derivatives.
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||||
|
(in millions)
|
||||||
Public finance
|
$
|
903
|
|
|
$
|
809
|
|
Structured finance
|
|
|
|
||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
340
|
|
|
488
|
|
||
Net benefit for recoveries for breaches of R&W (1)
|
(47
|
)
|
|
(79
|
)
|
||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
293
|
|
|
409
|
|
||
Other structured finance
|
141
|
|
|
173
|
|
||
Structured finance
|
434
|
|
|
582
|
|
||
Total
|
$
|
1,337
|
|
|
$
|
1,391
|
|
(1)
|
As of March 31, 2016 and 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.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Public finance
|
$
|
99
|
|
|
$
|
6
|
|
Structured finance
|
|
|
|
||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
(50
|
)
|
|
(47
|
)
|
||
Net benefit for recoveries for breaches of R&W
|
19
|
|
|
51
|
|
||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
(31
|
)
|
|
4
|
|
||
Other structured finance
|
(9
|
)
|
|
(13
|
)
|
||
Structured finance
|
(40
|
)
|
|
(9
|
)
|
||
Total
|
$
|
59
|
|
|
$
|
(3
|
)
|
(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.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Public finance
|
$
|
97
|
|
|
$
|
18
|
|
Structured finance:
|
|
|
|
||||
U.S. RMBS
|
11
|
|
|
7
|
|
||
Other structured finance
|
(11
|
)
|
|
(2
|
)
|
||
Structured finance
|
0
|
|
|
5
|
|
||
Total insurance contracts before FG VIE consolidation
|
97
|
|
|
23
|
|
||
Effect of consolidating FG VIEs
|
(7
|
)
|
|
(5
|
)
|
||
Total loss and LAE (1)
|
$
|
90
|
|
|
$
|
18
|
|
(1)
|
Excludes credit derivative benefit of $6 million for
First Quarter 2016
and credit derivative benefit of $12 million for
First Quarter 2015
, which are included in non-GAAP loss expense.
|
|
In GAAP
Reported
Income
|
|
In Non-GAAP
Operating
Income (1)
|
||||
|
(in millions)
|
||||||
2016 (April 1 – June 30)
|
$
|
11
|
|
|
$
|
14
|
|
2016 (July 1 – September 30)
|
10
|
|
|
12
|
|
||
2016 (October 1 – December 31)
|
9
|
|
|
12
|
|
||
2017
|
34
|
|
|
42
|
|
||
2018
|
33
|
|
|
41
|
|
||
2019
|
30
|
|
|
36
|
|
||
2020
|
27
|
|
|
33
|
|
||
2021-2025
|
100
|
|
|
117
|
|
||
2026-2030
|
70
|
|
|
78
|
|
||
2031-2035
|
45
|
|
|
54
|
|
||
After 2035
|
20
|
|
|
24
|
|
||
Net expected loss to be expensed
|
389
|
|
|
463
|
|
||
Future accretion
|
156
|
|
|
189
|
|
||
Total expected future loss and LAE
|
$
|
545
|
|
|
$
|
652
|
|
(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.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Realized gains on credit derivatives
|
$
|
10
|
|
|
$
|
23
|
|
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
|
(2
|
)
|
|
(2
|
)
|
||
Realized gains (losses) and other settlements on credit derivatives (1)
|
8
|
|
|
21
|
|
||
Net change in unrealized gains (losses) on credit derivatives:
|
|
|
|
||||
Pooled corporate obligations
|
(48
|
)
|
|
17
|
|
||
U.S. RMBS
|
(15
|
)
|
|
75
|
|
||
CMBS
|
0
|
|
|
0
|
|
||
Other
|
(5
|
)
|
|
11
|
|
||
Net change in unrealized gains (losses) on credit derivatives
|
(68
|
)
|
|
103
|
|
||
Net change in fair value of credit derivatives
|
$
|
(60
|
)
|
|
$
|
124
|
|
(1)
|
Includes realized gains and losses due to terminations and settlements of CDS contracts.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Net par of terminated credit derivative contracts
|
$
|
—
|
|
|
$
|
93
|
|
Realized gains on credit derivatives
|
0
|
|
|
11
|
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
|
As of
March 31, 2015 |
|
As of
December 31, 2014 |
||||
Five-year CDS spread:
|
|
|
|
|
|
|
|
||||
AGC
|
307
|
|
|
376
|
|
|
317
|
|
|
323
|
|
AGM
|
309
|
|
|
366
|
|
|
341
|
|
|
325
|
|
One-year CDS spread
|
|
|
|
|
|
|
|
||||
AGC
|
105
|
|
|
139
|
|
|
60
|
|
|
80
|
|
AGM
|
102
|
|
|
131
|
|
|
80
|
|
|
85
|
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Change in unrealized gains (losses) of credit derivatives:
|
|
|
|
||||
Before considering implication of the Company’s credit spreads
|
$
|
(27
|
)
|
|
$
|
111
|
|
Resulting from change in the Company’s credit spreads
|
(41
|
)
|
|
(8
|
)
|
||
After considering implication of the Company’s credit spreads
|
$
|
(68
|
)
|
|
$
|
103
|
|
•
|
changes in fair value gains (losses) on FG VIE assets and liabilities,
|
•
|
the eliminations of premiums and losses related to the AGC and AGM FG VIE liabilities with recourse, and
|
•
|
the elimination of investment balances related to the Company’s purchase of AGC and AGM insured FG VIE debt.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Net earned premiums
|
$
|
(5
|
)
|
|
$
|
(5
|
)
|
Net investment income
|
(5
|
)
|
|
(3
|
)
|
||
Net realized investment gains (losses)
|
1
|
|
|
0
|
|
||
Fair value gains (losses) on FG VIEs
|
18
|
|
|
(7
|
)
|
||
Loss and LAE
|
6
|
|
|
5
|
|
||
Effect on income before tax
|
15
|
|
|
(10
|
)
|
||
Less: tax provision (benefit)
|
5
|
|
|
(4
|
)
|
||
Effect on net income (loss)
|
$
|
10
|
|
|
$
|
(6
|
)
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Total provision (benefit) for income taxes
|
$
|
6
|
|
|
$
|
65
|
|
Effective tax rate
|
10.0
|
%
|
|
24.2
|
%
|
1)
|
Elimination of the after-tax realized gains (losses) on the Company’s investments, except for gains and losses on securities classified as trading. The timing of realized gains and losses, which depends largely on market credit cycles, can vary considerably across periods. The timing of sales is largely subject to the Company’s discretion and influenced by market opportunities, as well as the Company’s tax and capital profile. Trends in the underlying profitability of the Company’s business can be more clearly identified without the fluctuating effects of these transactions.
|
2)
|
Elimination of the after-tax non-credit-impairment unrealized fair value gains (losses) on credit derivatives, which is the amount in excess of the present value of the expected estimated economic credit losses, and non-economic payments. Such fair value adjustments are heavily affected by, and in part fluctuate with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss. Additionally, such adjustments present all financial guaranty contracts on a more consistent basis of accounting, whether or not they are subject to derivative accounting rules.
|
3)
|
Elimination of the after-tax fair value gains (losses) on the Company’s CCS. Such amounts are heavily affected by, and in part fluctuate with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss.
|
4)
|
Elimination of the after-tax foreign exchange gains (losses) on remeasurement of net premium receivables and loss and LAE reserves. Long-dated receivables constitute a significant portion of the net premium receivable balance and represent the present value of future contractual or expected collections. Therefore, the current period’s foreign exchange remeasurement gains (losses) are not necessarily indicative of the total foreign exchange gains (losses) that the Company will ultimately recognize.
|
5)
|
Elimination of the effects of consolidating FG VIEs in order to present all financial guaranty contracts on a more consistent basis of accounting, whether or not GAAP requires consolidation. GAAP requires the Company to consolidate certain VIEs that have issued debt obligations insured by the Company even though the Company does not own such VIEs.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Net income (loss)
|
$
|
59
|
|
|
$
|
201
|
|
Less after-tax adjustments:
|
|
|
|
||||
Realized gains (losses) on investments
|
(9
|
)
|
|
9
|
|
||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
(43
|
)
|
|
66
|
|
||
Fair value gains (losses) on CCS
|
(10
|
)
|
|
1
|
|
||
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves
|
(2
|
)
|
|
(9
|
)
|
||
Effect of consolidating FG VIEs
|
10
|
|
|
(6
|
)
|
||
Operating income
|
$
|
113
|
|
|
$
|
140
|
|
|
|
|
|
||||
Effective tax rate on operating income
|
20.3
|
%
|
|
22.1
|
%
|
1)
|
Elimination of the effects of consolidating FG VIEs in order to present all financial guaranty contracts on a more consistent basis of accounting, whether or not GAAP requires consolidation. GAAP requires the Company to consolidate certain VIEs that have issued debt obligations insured by the Company even though the Company does not own such VIEs.
|
2)
|
Elimination of the after-tax non-credit-impairment unrealized fair value gains (losses) on credit derivatives, which is the amount in excess of the present value of the expected estimated economic credit losses, and non-economic payments. Such fair value adjustments are heavily affected by, and in part fluctuate with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss.
|
3)
|
Elimination of the after-tax fair value gains (losses) on the Company’s CCS. Such amounts are heavily affected by, and in part fluctuate with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss.
|
4)
|
Elimination of the after-tax unrealized gains (losses) on the Company’s investments that are recorded as a component of accumulated other comprehensive income (“AOCI”) (excluding foreign exchange remeasurement). The AOCI component of the fair value adjustment on the investment portfolio is not deemed economic because the Company generally holds these investments to maturity and therefore should not recognize an economic gain or loss.
|
1)
|
Elimination of after-tax deferred acquisition costs, net. These amounts represent net deferred expenses that have already been paid or accrued and will be expensed in future accounting periods.
|
2)
|
Addition of the after-tax net present value of estimated net future credit derivative revenue. See below.
|
3)
|
Addition of the after-tax value of the unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed, net of reinsurance. This amount represents the expected future net earned premiums, net of expected losses to be expensed, which are not reflected in GAAP equity.
|
|
As of March 31, 2016
|
|
As of December 31, 2015
|
||||||||||||
|
Total
|
|
Per Share
|
|
Total
|
|
Per Share
|
||||||||
|
(dollars in millions, except per share amounts)
|
||||||||||||||
Shareholders’ equity
|
$
|
6,113
|
|
|
$
|
45.26
|
|
|
$
|
6,063
|
|
|
$
|
43.96
|
|
Less after-tax adjustments:
|
|
|
|
|
|
|
|
||||||||
Effect of consolidating FG VIEs
|
(12
|
)
|
|
(0.09
|
)
|
|
(23
|
)
|
|
(0.16
|
)
|
||||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
|
(203
|
)
|
|
(1.50
|
)
|
|
(160
|
)
|
|
(1.16
|
)
|
||||
Fair value gains (losses) on CCS
|
30
|
|
|
0.22
|
|
|
40
|
|
|
0.29
|
|
||||
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect
|
344
|
|
|
2.55
|
|
|
260
|
|
|
1.88
|
|
||||
Operating shareholders’ equity
|
5,954
|
|
|
44.08
|
|
|
5,946
|
|
|
43.11
|
|
||||
After-tax adjustments:
|
|
|
|
|
|
|
|
|
|
|
|||||
Less: Deferred acquisition costs
|
145
|
|
|
1.07
|
|
|
147
|
|
|
1.06
|
|
||||
Plus: Net present value of estimated net future credit derivative revenue
|
91
|
|
|
0.67
|
|
|
116
|
|
|
0.84
|
|
||||
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed
|
2,394
|
|
|
17.72
|
|
|
2,524
|
|
|
18.29
|
|
||||
Adjusted book value
|
$
|
8,294
|
|
|
$
|
61.40
|
|
|
$
|
8,439
|
|
|
$
|
61.18
|
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Total PVP
|
$
|
38
|
|
|
$
|
36
|
|
Less: PVP of non-financial guaranty insurance
|
0
|
|
|
6
|
|
||
PVP of financial guaranty insurance
|
38
|
|
|
30
|
|
||
Less: Financial guaranty installment premium PVP
|
7
|
|
|
17
|
|
||
Total: Financial guaranty upfront gross written premiums
|
31
|
|
|
13
|
|
||
Plus: Installment gross written premiums and other GAAP adjustments (1)
|
(12
|
)
|
|
19
|
|
||
Total gross written premiums
|
$
|
19
|
|
|
$
|
32
|
|
(1)
|
Includes present value of new business on installment policies, gross written premium adjustments on existing installment policies due to changes in assumptions, any cancellations of assumed reinsurance contracts, and other GAAP adjustments.
|
|
|
As of March 31, 2016
|
|
As of December 31, 2015
|
||||||||
Sector
|
|
Net Par
Outstanding
|
|
Avg.
Rating
|
|
Net Par
Outstanding
|
|
Avg.
Rating
|
||||
|
|
(dollars in millions)
|
||||||||||
Public finance:
|
|
|
|
|
|
|
|
|
|
|||
U.S.:
|
|
|
|
|
|
|
|
|
|
|||
General obligation
|
|
$
|
121,800
|
|
|
A
|
|
$
|
126,255
|
|
|
A
|
Tax backed
|
|
57,218
|
|
|
A
|
|
58,062
|
|
|
A
|
||
Municipal utilities
|
|
45,086
|
|
|
A
|
|
45,936
|
|
|
A
|
||
Transportation
|
|
22,531
|
|
|
A
|
|
23,454
|
|
|
A
|
||
Healthcare
|
|
14,631
|
|
|
A
|
|
15,006
|
|
|
A
|
||
Higher education
|
|
11,535
|
|
|
A
|
|
11,936
|
|
|
A
|
||
Infrastructure finance
|
|
3,145
|
|
|
BBB
|
|
4,993
|
|
|
BBB
|
||
Housing
|
|
1,932
|
|
|
A-
|
|
2,037
|
|
|
A
|
||
Investor-owned utilities
|
|
915
|
|
|
A-
|
|
916
|
|
|
A-
|
||
Other public finance—U.S.
|
|
3,262
|
|
|
A
|
|
3,271
|
|
|
A
|
||
Total public finance—U.S.
|
|
282,055
|
|
|
A
|
|
291,866
|
|
|
A
|
||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Infrastructure finance
|
|
12,673
|
|
|
BBB
|
|
12,728
|
|
|
BBB
|
||
Regulated utilities
|
|
9,907
|
|
|
BBB+
|
|
10,048
|
|
|
BBB+
|
||
Pooled infrastructure
|
|
1,831
|
|
|
AA
|
|
1,879
|
|
|
AA
|
||
Other public finance
|
|
4,974
|
|
|
A
|
|
4,922
|
|
|
A
|
||
Total public finance—non-U.S.
|
|
29,385
|
|
|
BBB+
|
|
29,577
|
|
|
BBB+
|
||
Total public finance
|
|
311,440
|
|
|
A
|
|
321,443
|
|
|
A
|
||
Structured finance:
|
|
|
|
|
|
|
|
|
|
|||
U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Pooled corporate obligations
|
|
15,380
|
|
|
AAA
|
|
16,008
|
|
|
AAA
|
||
RMBS
|
|
6,677
|
|
|
BBB-
|
|
7,067
|
|
|
BBB-
|
||
Insurance securitizations
|
|
2,900
|
|
|
A+
|
|
3,000
|
|
|
A+
|
||
Consumer receivables
|
|
2,084
|
|
|
A-
|
|
2,099
|
|
|
A-
|
||
Financial products
|
|
1,824
|
|
|
AA-
|
|
1,906
|
|
|
AA-
|
||
CMBS and other commercial real estate related exposures
|
|
498
|
|
|
AAA
|
|
533
|
|
|
AAA
|
||
Commercial receivables
|
|
382
|
|
|
BBB+
|
|
427
|
|
|
BBB+
|
||
Other structured finance—U.S.
|
|
707
|
|
|
AA-
|
|
730
|
|
|
AA-
|
||
Total structured finance—U.S.
|
|
30,452
|
|
|
AA-
|
|
31,770
|
|
|
AA-
|
||
Non-U.S.:
|
|
|
|
|
|
|
|
|
|
|||
Pooled corporate obligations
|
|
3,465
|
|
|
AA
|
|
3,645
|
|
|
AA
|
||
Commercial receivables
|
|
541
|
|
|
BBB+
|
|
600
|
|
|
BBB+
|
||
RMBS
|
|
504
|
|
|
BBB
|
|
492
|
|
|
BBB
|
||
Other structured finance
|
|
613
|
|
|
AA-
|
|
621
|
|
|
AA-
|
||
Total structured finance—non-U.S.
|
|
5,123
|
|
|
AA-
|
|
5,358
|
|
|
AA-
|
||
Total structured finance
|
|
35,575
|
|
|
AA-
|
|
37,128
|
|
|
AA-
|
||
Total net par outstanding
|
|
$
|
347,015
|
|
|
A
|
|
$
|
358,571
|
|
|
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
|
|
$
|
2,541
|
|
|
0.9
|
%
|
|
$
|
688
|
|
|
2.3
|
%
|
|
$
|
13,953
|
|
|
45.8
|
%
|
|
$
|
2,529
|
|
|
49.4
|
%
|
|
$
|
19,711
|
|
|
5.7
|
%
|
AA
|
|
65,310
|
|
|
23.2
|
|
|
1,969
|
|
|
6.7
|
|
|
7,505
|
|
|
24.7
|
|
|
154
|
|
|
3.0
|
|
|
74,938
|
|
|
21.6
|
|
|||||
A
|
|
145,515
|
|
|
51.6
|
|
|
6,695
|
|
|
22.8
|
|
|
2,584
|
|
|
8.5
|
|
|
551
|
|
|
10.8
|
|
|
155,345
|
|
|
44.7
|
|
|||||
BBB
|
|
60,736
|
|
|
21.5
|
|
|
18,622
|
|
|
63.4
|
|
|
1,279
|
|
|
4.2
|
|
|
1,267
|
|
|
24.7
|
|
|
81,904
|
|
|
23.6
|
|
|||||
BIG
|
|
7,953
|
|
|
2.8
|
|
|
1,411
|
|
|
4.8
|
|
|
5,131
|
|
|
16.8
|
|
|
622
|
|
|
12.1
|
|
|
15,117
|
|
|
4.4
|
|
|||||
Total net par outstanding (1)
|
|
$
|
282,055
|
|
|
100.0
|
%
|
|
$
|
29,385
|
|
|
100.0
|
%
|
|
$
|
30,452
|
|
|
100.0
|
%
|
|
$
|
5,123
|
|
|
100.0
|
%
|
|
$
|
347,015
|
|
|
100.0
|
%
|
(1)
|
Excludes
$1.5 billion
of loss mitigation securities insured and held by the Company as of
March 31, 2016
, which are primarily BIG.
|
|
|
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)
|
|
$
|
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.
|
|
|
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
|
|
|
$
|
476
|
|
|
$
|
225
|
|
|
$
|
(80
|
)
|
|
$
|
910
|
|
|
$
|
937
|
|
|
CCC-
|
PREPA
|
|
431
|
|
|
74
|
|
|
239
|
|
|
—
|
|
|
744
|
|
|
902
|
|
|
CC
|
||||||
PRASA
|
|
—
|
|
|
296
|
|
|
92
|
|
|
—
|
|
|
388
|
|
|
388
|
|
|
CCC
|
||||||
PRHTA (Highway revenue) (5)
|
|
219
|
|
|
100
|
|
|
50
|
|
|
—
|
|
|
369
|
|
|
574
|
|
|
CCC
|
||||||
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
|
|
|
1,738
|
|
|
CCC
|
||||||
MFA
|
|
206
|
|
|
65
|
|
|
116
|
|
|
—
|
|
|
387
|
|
|
570
|
|
|
CCC-
|
||||||
COFINA
|
|
262
|
|
|
—
|
|
|
8
|
|
|
—
|
|
|
270
|
|
|
270
|
|
|
CCC+
|
||||||
Puerto Rico Public Buildings Authority
|
|
13
|
|
|
137
|
|
|
38
|
|
|
—
|
|
|
188
|
|
|
194
|
|
|
CCC
|
||||||
PRIFA (5) (6)
|
|
—
|
|
|
10
|
|
|
8
|
|
|
—
|
|
|
18
|
|
|
18
|
|
|
C
|
||||||
University of Puerto Rico
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
1
|
|
|
CCC-
|
||||||
Total
|
|
1,201
|
|
|
628
|
|
|
650
|
|
|
—
|
|
|
2,479
|
|
|
2,791
|
|
|
|
||||||
Total net exposure to Puerto Rico
|
|
$
|
2,140
|
|
|
$
|
1,656
|
|
|
$
|
1,338
|
|
|
$
|
(80
|
)
|
|
$
|
5,054
|
|
|
$
|
5,756
|
|
|
|
(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 $34 million and a fully accreted net par at maturity of $67 million. Of these amounts, current net par of $18 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 $5 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 (2Q)
|
2016 (3Q)
|
2016 (4Q)
|
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)
|
$
|
0
|
|
$
|
33
|
|
$
|
0
|
|
$
|
36
|
|
$
|
42
|
|
$
|
28
|
|
$
|
23
|
|
$
|
18
|
|
$
|
19
|
|
$
|
21
|
|
$
|
1
|
|
$
|
26
|
|
$
|
151
|
|
$
|
227
|
|
$
|
240
|
|
$
|
45
|
|
$
|
—
|
|
$
|
910
|
|
PREPA
|
0
|
|
20
|
|
0
|
|
5
|
|
4
|
|
25
|
|
42
|
|
22
|
|
22
|
|
81
|
|
78
|
|
52
|
|
309
|
|
84
|
|
0
|
|
—
|
|
—
|
|
744
|
|
||||||||||||||||||
PRASA
|
—
|
|
15
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2
|
|
25
|
|
84
|
|
—
|
|
2
|
|
92
|
|
168
|
|
388
|
|
||||||||||||||||||
PRHTA (Highway revenue)
|
—
|
|
19
|
|
—
|
|
10
|
|
10
|
|
21
|
|
22
|
|
26
|
|
6
|
|
8
|
|
8
|
|
8
|
|
27
|
|
167
|
|
37
|
|
—
|
|
—
|
|
369
|
|
||||||||||||||||||
PRCCDA
|
—
|
|
11
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
19
|
|
105
|
|
29
|
|
—
|
|
—
|
|
164
|
|
||||||||||||||||||
Total
|
0
|
|
98
|
|
0
|
|
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
|
0
|
|
142
|
|
0
|
|
95
|
|
75
|
|
82
|
|
137
|
|
16
|
|
37
|
|
14
|
|
73
|
|
68
|
|
255
|
|
475
|
|
146
|
|
—
|
|
—
|
|
1,615
|
|
||||||||||||||||||
MFA
|
—
|
|
55
|
|
—
|
|
47
|
|
47
|
|
44
|
|
37
|
|
33
|
|
33
|
|
16
|
|
12
|
|
11
|
|
52
|
|
—
|
|
—
|
|
—
|
|
—
|
|
387
|
|
||||||||||||||||||
COFINA
|
0
|
|
(1
|
)
|
0
|
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(1
|
)
|
(2
|
)
|
(2
|
)
|
1
|
|
0
|
|
(2
|
)
|
(6
|
)
|
32
|
|
99
|
|
155
|
|
—
|
|
270
|
|
||||||||||||||||||
Puerto Rico Public Buildings Authority
|
—
|
|
8
|
|
—
|
|
30
|
|
—
|
|
5
|
|
10
|
|
12
|
|
0
|
|
7
|
|
0
|
|
8
|
|
52
|
|
40
|
|
16
|
|
—
|
|
—
|
|
188
|
|
||||||||||||||||||
PRIFA
|
—
|
|
—
|
|
—
|
|
—
|
|
2
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2
|
|
—
|
|
—
|
|
—
|
|
—
|
|
10
|
|
4
|
|
—
|
|
18
|
|
||||||||||||||||||
University of Puerto Rico
|
—
|
|
0
|
|
—
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
—
|
|
—
|
|
—
|
|
1
|
|
||||||||||||||||||
Total
|
0
|
|
204
|
|
0
|
|
171
|
|
123
|
|
130
|
|
183
|
|
59
|
|
68
|
|
40
|
|
85
|
|
85
|
|
353
|
|
548
|
|
271
|
|
159
|
|
—
|
|
2,479
|
|
||||||||||||||||||
Total net par for Puerto Rico
|
$
|
0
|
|
$
|
302
|
|
$
|
0
|
|
$
|
222
|
|
$
|
179
|
|
$
|
204
|
|
$
|
270
|
|
$
|
125
|
|
$
|
115
|
|
$
|
150
|
|
$
|
174
|
|
$
|
196
|
|
$
|
943
|
|
$
|
1,131
|
|
$
|
579
|
|
$
|
296
|
|
$
|
168
|
|
$
|
5,054
|
|
|
|
|
Scheduled Net Debt Service Amortization
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
|
2016 (2Q)
|
2016 (3Q)
|
2016 (4Q)
|
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)
|
$
|
0
|
|
$
|
57
|
|
$
|
—
|
|
$
|
82
|
|
$
|
86
|
|
$
|
69
|
|
$
|
63
|
|
$
|
57
|
|
$
|
57
|
|
$
|
58
|
|
$
|
37
|
|
$
|
61
|
|
$
|
309
|
|
$
|
348
|
|
$
|
288
|
|
$
|
47
|
|
$
|
—
|
|
$
|
1,619
|
|
PREPA
|
2
|
|
35
|
|
2
|
|
38
|
|
37
|
|
58
|
|
74
|
|
52
|
|
50
|
|
109
|
|
102
|
|
72
|
|
366
|
|
92
|
|
0
|
|
—
|
|
—
|
|
1,089
|
|
||||||||||||||||||
PRASA
|
—
|
|
25
|
|
—
|
|
19
|
|
19
|
|
19
|
|
19
|
|
19
|
|
19
|
|
19
|
|
21
|
|
45
|
|
160
|
|
68
|
|
70
|
|
159
|
|
181
|
|
862
|
|
||||||||||||||||||
PRHTA (Highway revenue)
|
—
|
|
29
|
|
—
|
|
29
|
|
29
|
|
39
|
|
39
|
|
42
|
|
20
|
|
21
|
|
21
|
|
21
|
|
88
|
|
203
|
|
39
|
|
—
|
|
—
|
|
620
|
|
||||||||||||||||||
PRCCDA
|
—
|
|
15
|
|
—
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
|
51
|
|
127
|
|
30
|
|
—
|
|
—
|
|
286
|
|
||||||||||||||||||
Total
|
2
|
|
161
|
|
2
|
|
175
|
|
178
|
|
192
|
|
202
|
|
177
|
|
153
|
|
214
|
|
188
|
|
206
|
|
974
|
|
838
|
|
427
|
|
206
|
|
181
|
|
4,476
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
Exposures Not Previously Subject to the Voided Recovery Act:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds
|
0
|
|
184
|
|
—
|
|
171
|
|
146
|
|
150
|
|
201
|
|
72
|
|
93
|
|
69
|
|
127
|
|
117
|
|
459
|
|
605
|
|
161
|
|
—
|
|
—
|
|
2,555
|
|
||||||||||||||||||
MFA
|
—
|
|
64
|
|
—
|
|
64
|
|
62
|
|
56
|
|
47
|
|
40
|
|
39
|
|
21
|
|
16
|
|
15
|
|
57
|
|
—
|
|
—
|
|
—
|
|
—
|
|
481
|
|
||||||||||||||||||
COFINA
|
0
|
|
6
|
|
—
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
13
|
|
16
|
|
15
|
|
12
|
|
68
|
|
103
|
|
164
|
|
170
|
|
—
|
|
632
|
|
||||||||||||||||||
Puerto Rico Public Buildings Authority
|
—
|
|
13
|
|
—
|
|
39
|
|
8
|
|
12
|
|
18
|
|
20
|
|
6
|
|
14
|
|
6
|
|
14
|
|
72
|
|
49
|
|
17
|
|
—
|
|
—
|
|
288
|
|
||||||||||||||||||
PRIFA
|
—
|
|
0
|
|
—
|
|
1
|
|
3
|
|
1
|
|
1
|
|
1
|
|
1
|
|
3
|
|
0
|
|
1
|
|
4
|
|
3
|
|
13
|
|
4
|
|
—
|
|
36
|
|
||||||||||||||||||
University of Puerto Rico
|
—
|
|
0
|
|
—
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
—
|
|
—
|
|
—
|
|
1
|
|
||||||||||||||||||
Total
|
0
|
|
267
|
|
—
|
|
288
|
|
232
|
|
232
|
|
280
|
|
146
|
|
152
|
|
123
|
|
164
|
|
159
|
|
660
|
|
761
|
|
355
|
|
174
|
|
—
|
|
3,993
|
|
||||||||||||||||||
Total net debt service for Puerto Rico
|
$
|
2
|
|
$
|
428
|
|
$
|
2
|
|
$
|
463
|
|
$
|
410
|
|
$
|
424
|
|
$
|
482
|
|
$
|
323
|
|
$
|
305
|
|
$
|
337
|
|
$
|
352
|
|
$
|
365
|
|
$
|
1,634
|
|
$
|
1,599
|
|
$
|
782
|
|
$
|
380
|
|
$
|
181
|
|
$
|
8,469
|
|
Ratings:
|
|
Prime
First
Lien
|
|
Alt-A
First Lien
|
|
Option
ARMs
|
|
Subprime
First
Lien
|
|
Second
Lien
|
|
Total Net
Par
Outstanding
|
||||||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||||
AAA
|
|
$
|
8
|
|
|
$
|
209
|
|
|
$
|
17
|
|
|
$
|
1,560
|
|
|
$
|
30
|
|
|
$
|
1,825
|
|
AA
|
|
92
|
|
|
316
|
|
|
80
|
|
|
390
|
|
|
70
|
|
|
948
|
|
||||||
A
|
|
1
|
|
|
—
|
|
|
4
|
|
|
34
|
|
|
1
|
|
|
39
|
|
||||||
BBB
|
|
76
|
|
|
15
|
|
|
—
|
|
|
92
|
|
|
0
|
|
|
183
|
|
||||||
BIG
|
|
248
|
|
|
698
|
|
|
135
|
|
|
1,229
|
|
|
1,372
|
|
|
3,682
|
|
||||||
Total exposures
|
|
$
|
425
|
|
|
$
|
1,238
|
|
|
$
|
235
|
|
|
$
|
3,305
|
|
|
$
|
1,474
|
|
|
$
|
6,677
|
|
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
|
|
$
|
52
|
|
|
$
|
53
|
|
|
$
|
17
|
|
|
$
|
1,032
|
|
|
$
|
97
|
|
|
$
|
1,252
|
|
2005
|
|
121
|
|
|
433
|
|
|
35
|
|
|
173
|
|
|
322
|
|
|
1,085
|
|
||||||
2006
|
|
82
|
|
|
189
|
|
|
33
|
|
|
695
|
|
|
412
|
|
|
1,411
|
|
||||||
2007
|
|
169
|
|
|
562
|
|
|
150
|
|
|
1,337
|
|
|
642
|
|
|
2,861
|
|
||||||
2008
|
|
—
|
|
|
—
|
|
|
—
|
|
|
67
|
|
|
—
|
|
|
67
|
|
||||||
Total exposures
|
|
$
|
425
|
|
|
$
|
1,238
|
|
|
$
|
235
|
|
|
$
|
3,305
|
|
|
$
|
1,474
|
|
|
$
|
6,677
|
|
|
|
Ratings at
|
|
Par Outstanding (1)
|
||||||||||||
|
|
May 3, 2016
|
|
As of March 31, 2016
|
||||||||||||
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 (2)
|
|
WR (3)
|
|
WR
|
|
$
|
4,960
|
|
|
$
|
—
|
|
|
$
|
30
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd. (2)
|
|
Aa3 (4)
|
|
A+ (4)
|
|
4,171
|
|
|
—
|
|
|
—
|
|
|||
Syncora Guarantee Inc. (2)
|
|
WR
|
|
WR
|
|
2,411
|
|
|
1,319
|
|
|
700
|
|
|||
Mitsui Sumitomo Insurance Co. Ltd. (2)
|
|
A1
|
|
A+ (4)
|
|
1,718
|
|
|
—
|
|
|
—
|
|
|||
ACA Financial Guaranty Corp.
|
|
NR (5)
|
|
WR
|
|
700
|
|
|
38
|
|
|
—
|
|
|||
Ambac Assurance Corporation
|
|
WR
|
|
WR
|
|
117
|
|
|
3,892
|
|
|
9,589
|
|
|||
National Public Finance Guarantee Corporation ("National") (6)
|
|
A3
|
|
AA-
|
|
—
|
|
|
5,139
|
|
|
5,065
|
|
|||
MBIA
|
|
(7)
|
|
(7)
|
|
—
|
|
|
1,591
|
|
|
428
|
|
|||
FGIC
|
|
(8)
|
|
(8)
|
|
—
|
|
|
1,437
|
|
|
636
|
|
|||
Ambac Assurance Corp. Segregated Account
|
|
NR
|
|
NR
|
|
—
|
|
|
86
|
|
|
823
|
|
|||
CIFG Assurance North America Inc.
|
|
WR
|
|
WR
|
|
—
|
|
|
43
|
|
|
2,784
|
|
|||
Other (2)
|
|
Various
|
|
Various
|
|
76
|
|
|
776
|
|
|
128
|
|
|||
Total
|
|
|
|
|
|
$
|
14,153
|
|
|
$
|
14,321
|
|
|
$
|
20,183
|
|
(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
March 31, 2016
was approximately
$436 million
.
|
(6)
|
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
|
$
|
378
|
|
|
$
|
1,760
|
|
|
$
|
1,528
|
|
|
$
|
976
|
|
|
$
|
318
|
|
|
$
|
4,960
|
|
|
Tokio Marine & Nichido Fire Insurance Co., Ltd.
|
543
|
|
|
522
|
|
|
1,126
|
|
|
1,358
|
|
|
622
|
|
|
4,171
|
|
|||||||
Syncora Guarantee Inc.
|
—
|
|
|
132
|
|
|
422
|
|
|
1,734
|
|
|
123
|
|
|
2,411
|
|
|||||||
Mitsui Sumitomo Insurance Co. Ltd.
|
131
|
|
|
504
|
|
|
551
|
|
|
359
|
|
|
173
|
|
|
1,718
|
|
|||||||
ACA Financial Guaranty Corp.
|
—
|
|
|
449
|
|
|
240
|
|
|
11
|
|
|
—
|
|
|
700
|
|
|||||||
Ambac Assurance Corporation
|
—
|
|
|
—
|
|
|
117
|
|
|
—
|
|
|
—
|
|
|
117
|
|
|||||||
Other
|
47
|
|
|
0
|
|
|
1
|
|
|
28
|
|
|
—
|
|
|
76
|
|
|||||||
Total
|
$
|
1,099
|
|
|
$
|
3,367
|
|
|
$
|
3,985
|
|
|
$
|
4,466
|
|
|
$
|
1,236
|
|
|
$
|
14,153
|
|
|
Public Finance
|
|
Structured Finance
|
|
|
||||||||||||||||||||||||||||||||||||||
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BIG
|
|
Total
|
||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||
Syncora Guarantee Inc.
|
$
|
—
|
|
|
$
|
71
|
|
|
$
|
239
|
|
|
$
|
617
|
|
|
$
|
348
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
44
|
|
|
$
|
1,319
|
|
ACA Financial Guaranty Corp.
|
—
|
|
|
—
|
|
|
2
|
|
|
19
|
|
|
17
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
38
|
|
|||||||||||
Ambac Assurance Corporation
|
10
|
|
|
1,037
|
|
|
1,449
|
|
|
1,187
|
|
|
47
|
|
|
1
|
|
|
—
|
|
|
57
|
|
|
96
|
|
|
8
|
|
|
3,892
|
|
|||||||||||
National
|
71
|
|
|
1,655
|
|
|
3,387
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
25
|
|
|
—
|
|
|
—
|
|
|
5,139
|
|
|||||||||||
MBIA
|
—
|
|
|
65
|
|
|
247
|
|
|
265
|
|
|
—
|
|
|
—
|
|
|
750
|
|
|
81
|
|
|
80
|
|
|
103
|
|
|
1,591
|
|
|||||||||||
FGIC
|
—
|
|
|
30
|
|
|
741
|
|
|
261
|
|
|
227
|
|
|
139
|
|
|
—
|
|
|
5
|
|
|
—
|
|
|
34
|
|
|
1,437
|
|
|||||||||||
Ambac Assurance Corp. Segregated Account
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
22
|
|
|
—
|
|
|
—
|
|
|
64
|
|
|
86
|
|
|||||||||||
CIFG Assurance North America Inc.
|
—
|
|
|
—
|
|
|
—
|
|
|
22
|
|
|
21
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
43
|
|
|||||||||||
Other
|
—
|
|
|
776
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
776
|
|
|||||||||||
Total
|
$
|
81
|
|
|
$
|
3,634
|
|
|
$
|
6,065
|
|
|
$
|
2,372
|
|
|
$
|
660
|
|
|
$
|
140
|
|
|
$
|
772
|
|
|
$
|
168
|
|
|
$
|
176
|
|
|
$
|
253
|
|
|
$
|
14,321
|
|
(1)
|
Assured Guaranty’s internal rating.
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sub-sovereign exposure(2)
|
$
|
274
|
|
|
$
|
1,082
|
|
|
$
|
90
|
|
|
$
|
470
|
|
|
$
|
1,916
|
|
Non-sovereign exposure(3)
|
185
|
|
|
506
|
|
|
—
|
|
|
—
|
|
|
691
|
|
|||||
Total
|
$
|
459
|
|
|
$
|
1,588
|
|
|
$
|
90
|
|
|
$
|
470
|
|
|
$
|
2,607
|
|
Total BIG
|
$
|
385
|
|
|
$
|
—
|
|
|
$
|
90
|
|
|
$
|
470
|
|
|
$
|
945
|
|
|
Hungary
|
|
Italy
|
|
Portugal
|
|
Spain
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Sub-sovereign exposure(2)
|
$
|
271
|
|
|
$
|
827
|
|
|
$
|
84
|
|
|
$
|
375
|
|
|
$
|
1,557
|
|
Non-sovereign exposure(3)
|
179
|
|
|
458
|
|
|
—
|
|
|
—
|
|
|
637
|
|
|||||
Total
|
$
|
450
|
|
|
$
|
1,285
|
|
|
$
|
84
|
|
|
$
|
375
|
|
|
$
|
2,194
|
|
Total BIG
|
$
|
379
|
|
|
$
|
—
|
|
|
$
|
84
|
|
|
$
|
375
|
|
|
$
|
838
|
|
(1)
|
While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros.
|
(2)
|
Sub-sovereign exposure in Selected European Countries includes transactions backed by receivables from or supported by sub-sovereigns, which are governmental or government-backed entities other than the ultimate governing body of the country.
|
(3)
|
Non-sovereign exposure in Selected European Countries includes debt of regulated utilities and RMBS.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Dividends paid by AGC to AGUS
|
$
|
—
|
|
|
$
|
20
|
|
Dividends paid by AGM to AGMH
|
95
|
|
|
66
|
|
||
Dividends paid by AG Re to AGL
|
25
|
|
|
50
|
|
||
Repayment of surplus note by AGM to AGMH
|
—
|
|
|
25
|
|
||
Dividends paid to AGL shareholders
|
(18
|
)
|
|
(19
|
)
|
||
Repurchases of common shares(1)
|
(75
|
)
|
|
(152
|
)
|
||
Interest paid
|
(7
|
)
|
|
(7
|
)
|
||
Issuance of note by AGUS to AGC(2)
|
—
|
|
|
(200
|
)
|
(1)
|
On February 24, 2016, in continuation of the Company's capital management strategy of repurchasing its common shares, the Company's Board of Directors approved the repurchase of a $250 million of common shares. As of
March 31, 2016
and May 4, 2016, on a settlement date basis, the remaining authorization for share repurchases was
$230 million
and
$210 million
, respectively.
|
(2)
|
On March 31, 2015, AGUS, as lender, provided
$200 million
to AGC, as borrower, from available funds to help partially 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 been distributed to shareholders as dividends or transferred to stated capital or capital surplus, or applied to other purposes permitted by law, but does not include unrealized appreciation of assets. AGM may pay dividends without the prior approval of the New York Superintendent that, together with all dividends declared or distributed by it during the preceding 12 months, does not exceed the lesser of
10%
of its policyholders' surplus
|
•
|
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
$24 million
is available for distribution in the second quarter of 2016.
|
•
|
Municipal Assurance Corp. ("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
$246 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
$140 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
March 31, 2016
, AG Re had unencumbered assets of approximately
$594 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.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Public finance
|
$
|
(5
|
)
|
|
$
|
(2
|
)
|
Structured finance:
|
|
|
|
||||
U.S. RMBS before benefit for recoveries for breaches of R&W
|
(98
|
)
|
|
(39
|
)
|
||
Net benefit for recoveries for breaches of R&W
|
13
|
|
|
21
|
|
||
U.S. RMBS after benefit for recoveries for breaches of R&W
|
(85
|
)
|
|
(18
|
)
|
||
Other structured finance
|
(23
|
)
|
|
8
|
|
||
Structured finance
|
(108
|
)
|
|
(10
|
)
|
||
Claims (paid) recovered, net of reinsurance(1)
|
$
|
(113
|
)
|
|
$
|
(12
|
)
|
(1)
|
Includes $8 million paid and $6 million paid for consolidated FG VIEs for
First Quarter
2016
and
2015
, respectively.
|
|
First Quarter
|
||||||
|
2016
|
|
2015
|
||||
|
(in millions)
|
||||||
Net cash flows provided by (used in) operating activities before effects of trading securities and FG VIEs consolidation
|
$
|
(96
|
)
|
|
$
|
8
|
|
(Purchases) sales of trading securities, net
|
—
|
|
|
(3
|
)
|
||
Effect of FG VIEs consolidation
|
6
|
|
|
18
|
|
||
Net cash flows provided by (used in) operating activities - reported
|
(90
|
)
|
|
23
|
|
||
Net cash flows provided by (used in) investing activities before effects of FG VIEs consolidation
|
136
|
|
|
980
|
|
||
Effect of FG VIEs consolidation
|
36
|
|
|
21
|
|
||
Net cash flows provided by (used in) investing activities - reported
|
172
|
|
|
1,001
|
|
||
Net cash flows provided by (used in) financing activities before effects of FG VIEs consolidation
|
(94
|
)
|
|
(173
|
)
|
||
Effect of FG VIEs consolidation
|
(42
|
)
|
|
(39
|
)
|
||
Net cash flows provided by (used in) financing activities - reported (1)
|
(136
|
)
|
|
(212
|
)
|
||
Effect of exchange rate changes
|
0
|
|
|
(2
|
)
|
||
Cash at beginning of period
|
166
|
|
|
75
|
|
||
Total cash at the end of the period
|
$
|
112
|
|
|
$
|
885
|
|
(1)
|
Claims paid on consolidated FG VIEs are presented in the consolidated cash flow statements as a component of paydowns on FG VIE liabilities in financing activities as opposed to operating activities.
|
|
Principal Amount
|
|
Interest Paid
|
||||||||||||
|
As of
March 31, |
|
As of
December 31, |
|
First Quarter
|
||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(in millions)
|
||||||||||||||
AGUS:
|
|
|
|
|
|
|
|
|
|
||||||
7% Senior Notes(1)
|
$
|
200
|
|
|
$
|
200
|
|
|
$
|
—
|
|
|
$
|
—
|
|
5% Senior Notes(1)
|
500
|
|
|
500
|
|
|
—
|
|
|
—
|
|
||||
Series A Enhanced Junior Subordinated Debentures(2)
|
150
|
|
|
150
|
|
|
—
|
|
|
—
|
|
||||
Total AGUS
|
850
|
|
|
850
|
|
|
—
|
|
|
—
|
|
||||
AGMH(3):
|
|
|
|
|
|
|
|
|
|
||||||
6
7
/
8
% QUIBS(1)
|
100
|
|
|
100
|
|
|
2
|
|
|
2
|
|
||||
6.25% Notes(1)
|
230
|
|
|
230
|
|
|
4
|
|
|
4
|
|
||||
5.6% Notes(1)
|
100
|
|
|
100
|
|
|
1
|
|
|
1
|
|
||||
Junior Subordinated Debentures(2)
|
300
|
|
|
300
|
|
|
—
|
|
|
—
|
|
||||
Total AGMH
|
730
|
|
|
730
|
|
|
7
|
|
|
7
|
|
||||
AGM(3):
|
|
|
|
|
|
|
|
|
|
||||||
AGM Notes Payable
|
11
|
|
|
12
|
|
|
0
|
|
|
0
|
|
||||
Total AGM
|
11
|
|
|
12
|
|
|
0
|
|
|
0
|
|
||||
Total
|
$
|
1,591
|
|
|
$
|
1,592
|
|
|
$
|
7
|
|
|
$
|
7
|
|
(1)
|
AGL fully and unconditionally guarantees these obligations
|
(2)
|
Guaranteed by AGL on a junior subordinated basis.
|
•
|
a minimum net worth of
75%
of consolidated net worth as of July 1, 2009, plus, beginning June 30, 2015 and on each anniversary of such date, an amount equal to the product of (i)
25%
of the aggregate consolidated net income (or loss) for the period beginning July 2, 2009 and ending on June 30, 2014 and (ii) a fraction, the numerator of which is the commitment amount as of the relevant calculation date and the denominator of which is
$1 billion
.
|
|
As of March 31, 2016
|
|
As of December 31, 2015
|
||||||||||||
|
Amortized
Cost
|
|
Estimated
Fair Value
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Fixed-maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Obligations of state and political subdivisions
|
$
|
5,417
|
|
|
$
|
5,776
|
|
|
$
|
5,528
|
|
|
$
|
5,841
|
|
U.S. government and agencies
|
379
|
|
|
405
|
|
|
377
|
|
|
400
|
|
||||
Corporate securities
|
1,473
|
|
|
1,525
|
|
|
1,505
|
|
|
1,520
|
|
||||
Mortgage-backed securities(1):
|
|
|
|
|
|
|
|
|
|||||||
RMBS
|
1,222
|
|
|
1,239
|
|
|
1,238
|
|
|
1,245
|
|
||||
CMBS
|
531
|
|
|
556
|
|
|
506
|
|
|
513
|
|
||||
Asset-backed securities
|
821
|
|
|
811
|
|
|
831
|
|
|
825
|
|
||||
Foreign government securities
|
280
|
|
|
276
|
|
|
290
|
|
|
283
|
|
||||
Total fixed-maturity securities
|
10,123
|
|
|
10,588
|
|
|
10,275
|
|
|
10,627
|
|
||||
Short-term investments
|
459
|
|
|
459
|
|
|
396
|
|
|
396
|
|
||||
Total fixed-maturity and short-term investments
|
$
|
10,582
|
|
|
$
|
11,047
|
|
|
$
|
10,671
|
|
|
$
|
11,023
|
|
(1)
|
Government-agency obligations were approximately
52%
of mortgage backed securities as of
March 31, 2016
and
54%
as of
December 31, 2015
, 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
|
$
|
58
|
|
|
$
|
0
|
|
|
$
|
87
|
|
|
$
|
(1
|
)
|
|
$
|
145
|
|
|
$
|
(1
|
)
|
U.S. government and agencies
|
7
|
|
|
0
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
0
|
|
||||||
Corporate securities
|
78
|
|
|
(2
|
)
|
|
122
|
|
|
(15
|
)
|
|
200
|
|
|
(17
|
)
|
||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
RMBS
|
123
|
|
|
(5
|
)
|
|
182
|
|
|
(15
|
)
|
|
305
|
|
|
(20
|
)
|
||||||
CMBS
|
7
|
|
|
0
|
|
|
5
|
|
|
0
|
|
|
12
|
|
|
0
|
|
||||||
Asset-backed securities
|
456
|
|
|
(13
|
)
|
|
—
|
|
|
—
|
|
|
456
|
|
|
(13
|
)
|
||||||
Foreign government securities
|
91
|
|
|
(4
|
)
|
|
53
|
|
|
(5
|
)
|
|
144
|
|
|
(9
|
)
|
||||||
Total
|
$
|
820
|
|
|
$
|
(24
|
)
|
|
$
|
449
|
|
|
$
|
(36
|
)
|
|
$
|
1,269
|
|
|
$
|
(60
|
)
|
Number of securities(1)
|
|
|
|
110
|
|
|
|
|
|
82
|
|
|
|
|
|
185
|
|
||||||
Number of securities with other-than-temporary impairment
|
|
|
|
12
|
|
|
|
|
|
6
|
|
|
|
|
|
18
|
|
|
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
|
|
(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
|
$
|
469
|
|
|
$
|
470
|
|
Due after one year through five years
|
1,654
|
|
|
1,719
|
|
||
Due after five years through 10 years
|
2,195
|
|
|
2,320
|
|
||
Due after 10 years
|
4,052
|
|
|
4,284
|
|
||
Mortgage-backed securities:
|
|
|
|
|
|
||
RMBS
|
1,222
|
|
|
1,239
|
|
||
CMBS
|
531
|
|
|
556
|
|
||
Total
|
$
|
10,123
|
|
|
$
|
10,588
|
|
Rating
|
|
As of
March 31, 2016 |
|
As of
December 31, 2015 |
||
AAA
|
|
11.4
|
%
|
|
10.8
|
%
|
AA
|
|
58.6
|
|
|
59.0
|
|
A
|
|
17.3
|
|
|
17.6
|
|
BBB
|
|
1.0
|
|
|
0.9
|
|
BIG(1)
|
|
11.4
|
|
|
11.4
|
|
Not rated
|
|
0.3
|
|
|
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.
|
ITEM 3.
|
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|
ITEM 4.
|
CONTROLS AND PROCEDURES
|
PART II.
|
OTHER INFORMATION
|
ITEM 1.
|
LEGAL PROCEEDINGS
|
ITEM 1A.
|
RISK FACTORS
|
ITEM 2.
|
UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
|
Period
|
|
Total
Number of
Shares
Purchased
|
|
Average
Price Paid
Per Share
|
|
Total Number of
Shares Purchased as
Part of Publicly
Announced Program (1)
|
|
Maximum Number (or Approximate Dollar Value)
of Shares that
May Yet Be
Purchased
Under the Program(2)
|
||||||
January 1 - January 31
|
|
1,776,387
|
|
|
$
|
24.57
|
|
|
1,776,387
|
|
|
$
|
11,384,707
|
|
February 1 - February 29
|
|
482,215
|
|
|
$
|
23.61
|
|
|
482,215
|
|
|
$
|
250,000,000
|
|
March 1 - March 31
|
|
780,326
|
|
|
$
|
25.63
|
|
|
780,326
|
|
|
$
|
230,000,012
|
|
Total
|
|
3,038,928
|
|
|
$
|
24.69
|
|
|
3,038,928
|
|
|
|
|
(1)
|
After giving effect to repurchases since the beginning of 2013 through May 4, 2016, the Company has repurchased a total of
61.7
common shares for approximately
$1,504
million, excluding commissions, at an average price of
$24.36
per share. On February 24, 2016, the Company's Board of Directors approved a $250 million share repurchase authorization. As of May 4, 2016,
$210 million
of total capacity remained from the authorization, on a settlement basis.
|
(2)
|
Excludes commissions.
|
ITEM 6.
|
EXHIBITS.
|
|
ASSURED GUARANTY LTD.
(Registrant)
|
|
|
|
|
Dated May 5, 2016
|
By:
|
/s/ ROBERT A. BAILENSON
|
|
|
|
|
|
Robert A. Bailenson
Chief Financial Officer (Principal Financial and
Accounting Officer and Duly Authorized Officer)
|
Exhibit
Number
|
|
Description of Document
|
|
10.1
|
|
|
Director Compensation Summary*
|
10.2
|
|
|
Agreement and Plan of Merger, dated as of April 12, 2016, among Assured Guaranty Corp., Cultivate Merger Sub, Inc. and CIFG Holding Inc.
|
31.1
|
|
|
Certification of CEO Pursuant to Exchange Act Rules 13A-14 and 15D-14, as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
31.2
|
|
|
Certification of CFO Pursuant to Exchange Act Rules 13A-14 and 15D-14, as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
32.1
|
|
|
Certification of CEO Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes- Oxley Act of 2002
|
32.2
|
|
|
Certification of CFO Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes- Oxley Act of 2002
|
101.1
|
|
|
The following financial information from Assured Guaranty Ltd.’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2015 formatted in XBRL: (i) Consolidated Balance Sheets at September 30, 2015 and December 31, 2014; (ii) Consolidated Statements of Operations for the Three and Nine Months ended September 30, 2015 and 2014; (iii) Consolidated Statements of Comprehensive Income for the Three and Nine Months ended September 30, 2015 and 2014 (iv) Consolidated Statement of Shareholders’ Equity for the Nine Months ended September 30, 2015; (v) Consolidated Statements of Cash Flows for the Nine Months ended September 30, 2015 and 2014; and (vi) Notes to Consolidated Financial Statements.
|
•
|
The Chairman of the Board receives an additional $125,000 annual retainer
|
•
|
The Chairman of each of the Audit Committee, the Compensation Committee, the Finance Committee, the Nominating and Governance Committee, and the Risk Oversight Committee, unless also the Chairman of the Board, receives an additional $30,000 annual retainer
|
•
|
Members, other than the chairman of the committee or the Chairman of the Board, of each of the Audit Committee, the Compensation Committee, the Finance Committee, the Nominating and Governance Committee and the Risk Oversight Committee receive an additional $15,000 annual retainer.
|
|
|
Page
|
ARTICLE I DEFINITIONS
|
2
|
|
Section 1.01
|
Definitions
|
2
|
ARTICLE II THE MERGER
|
11
|
|
Section 2.01
|
The Merger
|
11
|
Section 2.02
|
Effective Time; Closing
|
11
|
Section 2.03
|
Effect of the Merger
|
11
|
Section 2.04
|
Certificate of Incorporation; Bylaws
|
11
|
Section 2.05
|
Directors and Officers
|
11
|
Section 2.06
|
Conversion of Securities
|
12
|
Section 2.07
|
Deposit of Consideration
|
12
|
Section 2.08
|
No Set-Off
|
12
|
Section 2.09
|
Dissenting Company Shares
|
13
|
Section 2.10
|
Payment and Surrender of Certificates
|
13
|
Section 2.11
|
Withholding Rights
|
14
|
ARTICLE III REPRESENTATIONS AND WARRANTIES OF THE COMPANY
|
15
|
|
Section 3.01
|
Organization and Qualification; Subsidiaries
|
15
|
Section 3.02
|
Capitalization
|
16
|
Section 3.03
|
Authority
|
17
|
Section 3.04
|
No Conflict; Required Filings and Consents
|
17
|
Section 3.05
|
Financial Statements
|
18
|
Section 3.06
|
No Undisclosed Liabilities; Indebtedness
|
19
|
Section 3.07
|
Material Contracts
|
19
|
Section 3.08
|
Property and Leases
|
21
|
Section 3.09
|
Permits; Compliance
|
22
|
Section 3.10
|
Litigation
|
23
|
Section 3.11
|
Labor Matters
|
23
|
Section 3.12
|
Employee Benefit Plans
|
24
|
Section 3.13
|
Intellectual Property
|
26
|
Section 3.14
|
Taxes
|
27
|
Section 3.15
|
Insurance
|
28
|
Section 3.16
|
Insurance Regulatory Matters.
|
29
|
Section 3.17
|
Reinsurance Ceded.
|
29
|
Section 3.18
|
Non-Financial Guaranty Business; New Business
|
30
|
Section 3.19
|
Absence of Certain Changes or Events
|
30
|
Section 3.20
|
Actuarial Reports
|
30
|
Section 3.21
|
Investment Assets
|
31
|
|
|
Page
|
Section 3.22
|
Capital Analyses
|
31
|
Section 3.23
|
Brokers
|
31
|
Section 3.24
|
Certain Fees and Expenses
|
31
|
Section 3.25
|
No other Representations and Warranties
|
31
|
ARTICLE IV REPRESENTATIONS AND WARRANTIES OF PARENT AND
MERGER SUB
|
32
|
|
Section 4.01
|
Organization and Qualification
|
32
|
Section 4.02
|
Authority
|
32
|
Section 4.03
|
No Conflict; Required Filings and Consents
|
32
|
Section 4.04
|
Litigation
|
33
|
Section 4.05
|
Merger Sub
|
33
|
Section 4.06
|
Brokers
|
33
|
Section 4.07
|
Investment Intent
|
33
|
Section 4.08
|
Sufficiency of Funds
|
34
|
Section 4.09
|
Independent Assessment
|
34
|
Section 4.10
|
Non-Reliance
|
34
|
Section 4.11
|
No other Representations and Warranties
|
34
|
ARTICLE V ADDITIONAL AGREEMENTS
|
35
|
|
Section 5.01
|
Conduct of Business by the Company Pending the Merger
|
35
|
Section 5.02
|
Stockholders’ Approval and Filing of Amendment
|
38
|
Section 5.03
|
Access to Information; Confidentiality; Migration of Data
|
38
|
Section 5.04
|
Directors’ and Officers’ Indemnification and Insurance
|
39
|
Section 5.05
|
Notification of Certain Matters
|
39
|
Section 5.06
|
Consents and Approvals
|
40
|
Section 5.07
|
Antitrust Notifications
|
41
|
Section 5.08
|
Further Assurances
|
42
|
Section 5.09
|
Public Announcements
|
42
|
Section 5.10
|
Fees and Expenses
|
42
|
Section 5.11
|
Employees and Benefits
|
43
|
Section 5.12
|
No Solicitation
|
45
|
Section 5.13
|
Taxes
|
45
|
Section 5.14
|
Post-Closing Reorganization
|
46
|
ARTICLE VI CONDITIONS TO THE MERGER
|
47
|
|
Section 6.01
|
Conditions to Each Party’s Obligation to Effect the Merger
|
47
|
Section 6.02
|
Conditions to Obligations of Parent and Merger Sub
|
48
|
Section 6.03
|
Conditions to Obligations of the Company
|
49
|
ARTICLE VII TERMINATION
|
50
|
|
Section 7.01
|
Termination
|
50
|
Section 7.02
|
Effect of Termination
|
52
|
|
|
Page
|
ARTICLE VIII GENERAL PROVISIONS
|
52
|
|
Section 8.01
|
Non-Survival of Representations, Warranties and Agreements
|
52
|
Section 8.02
|
Amendment
|
52
|
Section 8.03
|
Waiver
|
52
|
Section 8.04
|
Notices
|
53
|
Section 8.05
|
Severability
|
54
|
Section 8.06
|
Entire Agreement; Third-Party Beneficiaries
|
54
|
Section 8.07
|
Assignment
|
54
|
Section 8.08
|
Specific Performance
|
54
|
Section 8.09
|
Governing Law
|
54
|
Section 8.10
|
Waiver of Jury Trial
|
55
|
Section 8.11
|
Legal Representation
|
55
|
Section 8.12
|
Releases
|
56
|
Section 8.13
|
Parent and Merger Sub Acknowledgement
|
57
|
Section 8.14
|
General Interpretation
|
58
|
Section 8.15
|
Counterparts
|
58
|
|
|
|
EXHIBITS
|
|
|
Exhibit A
|
Amendment to the Company Charter
|
|
Exhibit B
|
Surviving Corporation Certificate of Incorporation
|
|
Exhibit C
|
Surviving Corporation Bylaws
|
|
|
|
|
SCHEDULES
|
|
|
Company Disclosure Schedule
|
|
|
Parent Disclosure Schedule
|
|
|
|
|
|
Defined Term
|
Section Reference
|
Acquisition Transaction
|
Section 5.12(a)
|
Action
|
Section 3.10
|
Actuarial Reports
|
Section 3.20
|
Affiliated Agreements
|
Section 3.07(a)(ii)
|
Agreement
|
Preamble
|
Burdensome Condition
|
Section 5.06(a)
|
Ceded Reinsurance Contract
|
Section 3.17(a)
|
CIFG Europe
|
Recitals
|
CIFG NA
|
Recitals
|
CIFG Services
|
Recitals
|
Class X Security
|
Section 3.07(a)(xi)
|
Closing
|
Section 2.02
|
Code
|
Section 2.11
|
Company
|
Preamble
|
Company Disclosure Schedule
|
Article III
|
Company Required Approvals
|
Section 3.04(b)
|
Confidentiality Agreement
|
Section 5.03(b)
|
Constituent Documents
|
Section 3.04(a)
|
Dissenting Company Shares
|
Section 2.09(a)
|
Defined Term
|
Section Reference
|
Dissenting Stockholder
|
Section 2.09(a)
|
Effective Time
|
Section 2.02
|
Employees
|
Section 5.11(b)
|
ERISA
|
Section 3.12(a)
|
FTC
|
Section 5.07(a)
|
Indemnified Person
|
Section 5.04(a)
|
Insurance Policies
|
Section 3.15
|
Insurance Subsidiaries
|
Recitals
|
Investment Assets
|
Section 3.21
|
Law
|
Section 3.04(a)
|
Letter of Transmittal
|
Section 2.10(a)
|
Material Contracts
|
Section 3.07(a)
|
Material Tangible Property
|
Section 3.08(a)
|
Merger
|
Recitals
|
Merger Sub
|
Preamble
|
Mogador
|
Section 3.01(c)
|
New Plans
|
Section 5.11(d)
|
NGF Trusts
OFAC
Old Plans
|
Section 3.01(c)
Section 3.09(e)
Section 5.11(d)
|
Outside Date
|
Section 7.01(b)(i)
|
Parent
|
Preamble
|
Parent Disclosure Schedule
Parent Required Approvals
Paying Agent Agreement
|
Article IV
Section 4.03(b)
Section 2.10(a)
|
Permits
|
Section 3.09(a)
|
Plans
|
Section 3.12(a)
|
Post-Closing Reorganization
|
Recitals
|
Premium Cap
|
Section 5.04(b)
|
Purchased Insured Bonds
|
Section 3.08(e)
|
Real Property Lease
|
Section 3.08(c)
|
Securityholder Beneficiaries
|
Section 5.14(a)
|
Securityholder Group
|
Section 8.11
|
Statutory Statements
|
Section 3.05(a)
|
Statutory Statements Date
|
Section 3.05(a)
|
Surviving LLC
|
Recitals
|
Surviving Corporation
|
Section 2.01
|
Surviving Corporation Certificate of Incorporation
|
Section 2.04
|
Surviving Corporation Bylaws
|
Section 2.04
|
Synthetic Commutation
|
Section 3.07(a)(xi)
|
Transferred Subsidiaries
|
Recitals
|
Treasury Regulations
|
Section 2.11
|
Trusts
|
Section 3.01(c)
|
ASSURED GUARANTY CORP.
|
|
By
/s/ Dominic J. Frederico________
Name: Dominic J. Frederico
Title: President and Chief Executive Officer
|
|
CULTIVATE MERGER SUB, INC.
|
|
By
/s/ Robert A. Bailenson__________
Name: Robert A. Bailenson
Title: President
|
CIFG HOLDING INC.
|
|
By
/s/ Eugene Davis_____________
Name: Eugene Davis
Title:
Chairman of the Board of Directors
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Assured Guaranty Ltd.
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent function):
|
|
By:
|
/s/ DOMINIC J. FREDERICO
|
|
|
|
|
|
Dominic J. Frederico
|
|
|
President and Chief Executive Officer
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Assured Guaranty Ltd.
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
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5.
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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):
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By:
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/s/ ROBERT A. BAILENSON
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Robert A. Bailenson
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Chief Financial Officer
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(1)
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The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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(2)
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The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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/s/ DOMINIC J. FREDERICO
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Name: Dominic J. Frederico
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Title:
President and Chief Executive Officer
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Date: May 5, 2016
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(1)
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The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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(2)
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The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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/s/ ROBERT A. BAILENSON
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Name: Robert A. Bailenson
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Title:
Chief Financial Officer
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Date: May 5, 2016
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