XML 53 R37.htm IDEA: XBRL DOCUMENT
v3.22.4

Expected Loss to be Paid (Recovered) (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2022
Expected Losses [Abstract] |
Net Expected Loss to be Paid By Accounting Model | Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) by Accounting Model
|  | Net Expected Loss to be Paid (Recovered) |  | Net Economic Loss Development (Benefit)
|  | As of December 31, |  | Year Ended December 31,
Accounting Model |  | 2022 |  | 2021 |  | 2022 |  | 2021 |  | 2020
|  | (in millions) |  |
Insurance (see Note 5) |  | $ | 205 |  |  | $ | 364 |  |  | $ | (112) |  |  | $ | (281) |  |  | $ | 142 |
FG VIEs (see Note 8) |  | 314 |  | (1) | 42 |  |  | (17) |  |  | (20) |  |  | 1 |
Credit derivatives (see Note 6) |  | 3 |  |  | 5 |  |  | 4 |  |  | 14 |  |  | 2 |
Total |  | $ | 522 |  |  | $ | 411 |  |  | $ | (125) |  |  | $ | (287) |  |  | $ | 145 |
____________________ (1) The increase in expected loss to be paid for FG VIEs primarily relates to trusts established as part of the 2022 Puerto Rico Resolutions (Puerto Rico Trusts) that were consolidated as a result of the 2022 Puerto Rico Resolutions. Prior to the 2022 Puerto Rico Resolutions, all Puerto Rico Exposures were accounted for as insurance.
Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward | The following tables present a roll forward of net expected loss to be paid (recovered) for all contracts, which are accounted for under one of the following accounting models: insurance, derivative and FG VIE. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 3.82% to 4.69% with a weighted average of 4.08% as of December 31, 2022 and 0.00% to 1.98% with a weighted average of 1.02% as of December 31, 2021. Expected losses to be paid for U.S. dollar denominated transactions represented approximately 98.5% and 97.2% of the total as of December 31, 2022 and December 31, 2021, respectively. Net Expected Loss to be Paid (Recovered) Roll Forward
| Year Ended December 31,
| 2022 |  | 2021 |  | 2020
| (in millions)
Net expected loss to be paid (recovered), beginning of period | $ | 411 |  |  | $ | 529 |  |  | $ | 737 |
Economic loss development (benefit) due to: |  |  |  |  |
Accretion of discount | 16 |  |  | 7 |  |  | 9 |
Changes in discount rates | (115) |  |  | (33) |  |  | 13 |
Changes in timing and assumptions | (26) |  |  | (261) |  |  | 123 |
Total economic loss development (benefit) | (125) |  |  | (287) |  |  | 145 |
Net (paid) recovered losses (1) | 236 |  |  | 169 |  |  | (353) |
Net expected loss to be paid (recovered), end of period | $ | 522 |  |  | $ | 411 |  |  | $ | 529 |
____________________ (1) Net (paid) recovered losses in 2022 include the net amounts received pursuant to the Puerto Rico Resolutions, as described in Note 3, Outstanding Exposure. Net Expected Loss to be Paid (Recovered) Roll Forward by Sector
|  | Year Ended December 31, 2022
Sector |  | Net Expected Loss to be Paid (Recovered) as of December 31, 2021 |  | Economic Loss Development (Benefit) |  | Net (Paid) Recovered Losses (1) |  | Net Expected Loss to be Paid (Recovered) as of December 31, 2022
|  | (in millions)
Public finance: |  |  |  |  |  |  |  |
U.S. public finance |  | $ | 197 |  |  | $ | 19 |  |  | $ | 187 |  |  | $ | 403 |
Non-U.S. public finance |  | 12 |  |  | (2) |  |  | (1) |  |  | 9 |
Public finance |  | 209 |  |  | 17 |  |  | 186 |  |  | 412 |
Structured finance: |  |  |  |  |  |  |  |
U.S. RMBS |  | 150 |  |  | (143) |  |  | 59 |  |  | 66 |
Other structured finance |  | 52 |  |  | 1 |  |  | (9) |  |  | 44 |
Structured finance |  | 202 |  |  | (142) |  |  | 50 |  |  | 110 |
Total |  | $ | 411 |  |  | $ | (125) |  |  | $ | 236 |  |  | $ | 522 |
|  | Year Ended December 31, 2021
Sector |  | Net Expected Loss to be Paid (Recovered) as of December 31, 2020 |  | Economic Loss Development (Benefit) |  | Net (Paid) Recovered Losses (1) |  | Net Expected Loss to be Paid (Recovered) as of December 31, 2021
|  | (in millions)
Public finance: |  |  |  |  |  |  |  |
U.S. public finance |  | $ | 305 |  |  | $ | (182) |  |  | $ | 74 |  |  | $ | 197 |
Non-U.S. public finance |  | 36 |  |  | (22) |  |  | (2) |  |  | 12 |
Public finance |  | 341 |  |  | (204) |  |  | 72 |  |  | 209 |
Structured finance: |  |  |  |  |  |  |  |
U.S. RMBS |  | 148 |  |  | (100) |  |  | 102 |  |  | 150 |
Other structured finance |  | 40 |  |  | 17 |  |  | (5) |  |  | 52 |
Structured finance |  | 188 |  |  | (83) |  |  | 97 |  |  | 202 |
Total |  | $ | 529 |  |  | $ | (287) |  |  | $ | 169 |  |  | $ | 411 |
|  | Year Ended December 31, 2020
Sector |  | Net Expected Loss to be Paid (Recovered) as of December 31, 2019 |  | Economic Loss Development (Benefit) |  | Net (Paid) Recovered Losses (1) |  | Net Expected Loss to be Paid (Recovered) as of December 31, 2020
|  | (in millions)
Public finance: |  |  |  |  |  |  |  |
U.S. public finance |  | $ | 531 |  |  | $ | 190 |  |  | $ | (416) |  |  | $ | 305 |
Non-U.S. public finance |  | 23 |  |  | 13 |  |  | — |  |  | 36 |
Public finance |  | 554 |  |  | 203 |  |  | (416) |  |  | 341 |
Structured finance: |  |  |  |  |  |  |  |
U.S. RMBS |  | 146 |  |  | (71) |  |  | 73 |  |  | 148 |
Other structured finance |  | 37 |  |  | 13 |  |  | (10) |  |  | 40 |
Structured finance |  | 183 |  |  | (58) |  |  | 63 |  |  | 188 |
Total |  | $ | 737 |  |  | $ | 145 |  |  | $ | (353) |  |  | $ | 529 |
____________________ (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 as reinsurance recoverable on paid losses in “other assets”. The tables above include: (a) net LAE paid of $33 million, $36 million and $25 million for the years ended December 31, 2022, 2021 and 2020, respectively; and (b) net expected LAE to be paid of $11 million as of December 31, 2022 and $26 million as of December 31, 2021.
Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss | Net Economic Loss Development (Benefit) U.S. RMBS
| Year Ended December 31,
| 2022 |  | 2021 |  | 2020
| (in millions)
First lien U.S. RMBS | $ | (36) |  |  | $ | — |  |  | $ | (45) |
Second lien U.S. RMBS | (107) |  |  | (100) |  |  | (26) |
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS | First Lien U.S. RMBS Liquidation Rates
| As of December 31,
| 2022 |  | 2021
Current but recently delinquent: |  |  |
Alt-A and Prime | 20% |  | 20%
Option ARM | 20% |  | 20%
Subprime | 20% |  | 20%
30 – 59 Days Delinquent: |  |  |
Alt-A and Prime | 35% |  | 35%
Option ARM | 35% |  | 35%
Subprime | 30% |  | 30%
60 – 89 Days Delinquent: |  |  |
Alt-A and Prime | 40% |  | 40%
Option ARM | 45% |  | 45%
Subprime | 40% |  | 40%
90+ Days Delinquent: |  |  |
Alt-A and Prime | 55% |  | 55%
Option ARM | 60% |  | 60%
Subprime | 45% |  | 45%
Bankruptcy: |  |  |
Alt-A and Prime | 45% |  | 45%
Option ARM | 50% |  | 50%
Subprime | 40% |  | 40%
Foreclosure: |  |  |
Alt-A and Prime | 60% |  | 60%
Option ARM | 65% |  | 65%
Subprime | 55% |  | 55%
Real Estate Owned |  |  |
All | 100% |  | 100%
Key Assumptions in Base Scenario Expected Loss Estimates First Lien U.S. RMBS
| As of December 31, 2022 |  | As of December 31, 2021
| Range |  | Weighted Average |  | Range |  | Weighted Average
Alt-A and Prime: |  |  |  |  |  |  |  |  |  |  |
Plateau CDR | 1.6 | % | – | 11.5% |  | 5.1% |  | 0.9 | % | – | 11.6% |  | 5.9%
Final CDR | 0.1 | % | – | 0.6% |  | 0.3% |  | 0.0 | % | – | 0.6% |  | 0.3%
Initial loss severity: |  |  |  |  |  |  |
2005 and prior | 50% |  |  |  | 60% |  |
2006 | 50% |  |  |  | 60% |  |
2007+ | 50% |  |  |  | 60% |  |
Option ARM: |  |  |  |  |  |  |  |  |  |  |
Plateau CDR | 2.0 | % | – | 7.7% |  | 4.3% |  | 1.8 | % | – | 11.9% |  | 5.6%
Final CDR | 0.1 | % | – | 0.4% |  | 0.2% |  | 0.1 | % | – | 0.6% |  | 0.3%
Initial loss severity: |  |  |  |  |  |  |
2005 and prior | 50% |  |  |  | 60% |  |
2006 | 50% |  |  |  | 60% |  |
2007+ | 50% |  |  |  | 60% |  |
Subprime: |  |  |  |  |  |  |  |  |  |  |
Plateau CDR | 2.7 | % | – | 9.7% |  | 5.6% |  | 2.9 | % | – | 10.0% |  | 6.0%
Final CDR | 0.1 | % | – | 0.5% |  | 0.3% |  | 0.1 | % | – | 0.5% |  | 0.3%
Initial loss severity: |  |  |  |  |  |  |
2005 and prior | 50% |  |  |  | 60% |  |
2006 | 50% |  |  |  | 60% |  |
2007+ | 50% |  |  |  | 60% |  |
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | Key Assumptions in Base Scenario Expected Loss Estimates HELOCs
| As of December 31, 2022 |  | As of December 31, 2021
| Range |  | Weighted Average |  | Range |  | Weighted Average
Plateau CDR | 0.4 | % | – | 8.4% |  | 3.5% |  | 6.5 | % | – | 39.6% |  | 16.4%
Final CDR trended down to | 0.0 | % | – | 0.4% |  | 0.2% |  | 1.0% |  |
Liquidation rates: |  |  |  |  |  |  |
Current but recently delinquent | 20% |  |  |  | 20% |  |
30 – 59 Days Delinquent | 30 |  |  |  | 30 |  |
60 – 89 Days Delinquent | 40 |  |  |  | 40 |  |
90+ Days Delinquent | 60 |  |  |  | 60 |  |
Bankruptcy | 55 |  |  |  | 55 |  |
Foreclosure | 55 |  |  |  | 55 |  |
Real Estate Owned | 100 |  |  |  | 100 |  |
Loss severity on future defaults | 98% |  |  |  | 98% |  |
Projected future recoveries on previously charged-off loans | 30% |  |  |  | 30% |  |

X
- Definition Expected Losses [Abstract] + References No definition available. + Details
Name: | ago_ExpectedLossesAbstract
Namespace Prefix: | ago_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of a roll forward of the present value of net expected loss and LAE to be paid for financial guaranty contracts accounted for as insurance by sector. Expected loss to be paid is the Company's estimate of the present value of future claim payments, net of reinsurance and net of salvage and subrogation which includes the present value benefit of estimated recoveries for breaches of R&W. + References No definition available. + Details
Name: | ago_PresentValueOfNetExpectedLossAndLossAdjustmentExpensesToBePaidRollForwardTableTextBlock
Namespace Prefix: | ago_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the key assumptions used in the calculation of estimated expected losses for first lien RMBS. + References No definition available. + Details
Name: | ago_ScheduleOfEstimatedExpectedLossesAssumptionsFirstLienRmbsTableTextBlock
Namespace Prefix: | ago_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the key assumptions used in the calculation of estimated expected losses for second lien RMBS. + References No definition available. + Details
Name: | ago_ScheduleOfEstimatedExpectedLossesAssumptionsSecondLienRmbsTableTextBlock
Namespace Prefix: | ago_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss [Table Text Block] + References No definition available. + Details
Name: | ago_ScheduleOfNetExpectedLossesToBePaidRecoveredAndNetEconomicDevelopmentBenefitLossTableTextBlock
Namespace Prefix: | ago_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Schedule of Net Expected Losses to be Paid [Table Text Block] + References No definition available. + Details
Name: | ago_ScheduleofNetExpectedLossestobePaidTableTextBlock
Namespace Prefix: | ago_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration