XML 47 R27.htm IDEA: XBRL DOCUMENT v3.23.1

Outstanding Exposure (Tables)

3 Months Ended

Mar. 31, 2023

Outstanding Exposure Disclosure [Abstract]

Debt Service Outstanding

Financial Guaranty Portfolio

Debt Service and Par Outstanding

			As of March 31, 2023												As of December 31, 2022
			Gross						Net						Gross						Net
			(in millions)
Debt Service
Public finance			$	363,914					$	363,717					$	359,899					$	359,703
Structured finance			10,784						10,758						10,273						10,248
Total financial guaranty			$	374,698					$	374,475					$	370,172					$	369,951
Par Outstanding
Public finance			$	226,902					$	226,746					$	224,254					$	224,099
Structured finance			9,663						9,637						9,184						9,159
Total financial guaranty			$	236,565					$	236,383					$	233,438					$	233,258

Financial Guaranty Portfolio by Internal Rating

Financial Guaranty Portfolio by Internal Rating

As of March 31, 2023

						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						$	220					0.1		%				$	2,000					4.4		%				$	908					10.5		%				$	472					48.3		%				$	3,600					1.5		%
AA						16,239						9.0						3,535						7.6						4,605						53.1						12						1.2						24,391						10.3
A						97,909						54.1						10,460						22.8						1,567						18.1						385						39.4						110,321						46.7
BBB						62,665						34.7						28,924						63.0						492						5.7						108						11.1						92,189						39.0
BIG						3,804						2.1						990						2.2						1,088						12.6						—						—						5,882						2.5
Total net par outstanding						$	180,837					100.0		%				$	45,909					100.0		%				$	8,660					100.0		%				$	977					100.0		%				$	236,383					100.0		%

Financial Guaranty Portfolio by Internal Rating

As of December 31, 2022 

						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						$	222					0.1		%				$	1,967					4.4		%				$	926					11.2		%				$	469					50.4		%				$	3,584					1.5		%
AA						16,241						9.1						3,497						7.9						4,633						56.3						12						1.3						24,383						10.5
A						96,807						53.9						9,271						20.9						1,075						13.1						340						36.5						107,493						46.1
BBB						62,570						34.8						28,747						64.6						479						5.8						110						11.8						91,906						39.4
BIG						3,796						2.1						981						2.2						1,115						13.6						—						—						5,892						2.5
Total net par outstanding						$	179,636					100.0		%				$	44,463					100.0		%				$	8,228					100.0		%				$	931					100.0		%				$	233,258					100.0		%

Schedule of BIG Net Par Outstanding and Number of Risks

Financial Guaranty Portfolio

Components of BIG Net Par Outstanding

As of March 31, 2023

			BIG Net Par Outstanding																								Net Par
			BIG 1						BIG 2						BIG 3						Total BIG						Outstanding
															(in millions)
Public finance:
U.S. public finance			$	2,374					$	109					$	1,321					$	3,804					$	180,837
Non-U.S. public finance			990						—						—						990						45,909
Public finance			3,364						109						1,321						4,794						226,746
Structured finance:
U.S. RMBS			12						39						937						988						1,910
Other structured finance			—						32						68						100						7,727
Structured finance			12						71						1,005						1,088						9,637
Total			$	3,376					$	180					$	2,326					$	5,882					$	236,383

Financial Guaranty Portfolio

Components of BIG Net Par Outstanding

As of December 31, 2022

			BIG Net Par Outstanding																								Net Par
			BIG 1						BIG 2						BIG 3						Total BIG						Outstanding
															(in millions)
Public finance:
U.S. public finance			$	2,364					$	108					$	1,324					$	3,796					$	179,636
Non-U.S. public finance			981						—						—						981						44,463
Public finance			3,345						108						1,324						4,777						224,099
Structured finance:
U.S. RMBS			18						39						953						1,010						1,956
Other structured finance			—						34						71						105						7,203
Structured finance			18						73						1,024						1,115						9,159
Total			$	3,363					$	181					$	2,348					$	5,892					$	233,258

BIG Net Par Outstanding and Number of Risks

Financial Guaranty Portfolio

BIG Net Par Outstanding and Number of Risks

As of March 31, 2023

						Net Par Outstanding																		Number of Risks (2)
Description						Financial Guaranty Insurance (1)						Credit Derivatives						Total						Financial Guaranty Insurance (1)						Credit Derivatives						Total
						(dollars in millions)
BIG:
Category 1						$	3,370					$	6					$	3,376					117						1						118
Category 2						170						10						180						15						2						17
Category 3						2,286						40						2,326						109						8						117
Total BIG						$	5,826					$	56					$	5,882					241						11						252

 Financial Guaranty Portfolio

BIG Net Par Outstanding and Number of Risks

As of December 31, 2022

						Net Par Outstanding																		Number of Risks (2)
Description						Financial Guaranty Insurance (1)						Credit Derivatives						Total						Financial Guaranty Insurance (1)						Credit Derivatives						Total
						(dollars in millions)
BIG:
Category 1						$	3,357					$	6					$	3,363					122						1						123
Category 2						171						10						181						14						2						16
Category 3						2,307						41						2,348						111						10						121
Total BIG						$	5,835					$	57					$	5,892					247						13						260

_____________________

(1)    Includes FG VIEs.

(2)    A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments.

The following table shows the scheduled amortization of the insured general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. The Company guarantees payment of interest and principal when those amounts are scheduled to be paid and cannot be required to pay on an accelerated basis, although in certain circumstances it may elect to do so. In the event that obligors default on their obligations, the Company would only be required to pay the shortfall between the debt service due in any given period and the amount paid by the obligors.

Amortization Schedule of Puerto Rico

Net Par Outstanding and Net Debt Service Outstanding

As of March 31, 2023

			Scheduled Net Par Amortization						Scheduled Net Debt Service Amortization
			(in millions)
2023 (April 1 - June 30)			$	—					$	3
2023 (July 1 - September 30)			124						154
2023 (October 1 - December 31)			—						3
Subtotal 2023			124						160
2024			110						170
2025			94						148
2026			149						200
2027			124						168
2028-2032			378						528
2033-2037			240						311
2038-2041			132						150
Total			$	1,351					$	1,835

The following tables provide information on financial guaranty insurance contracts categorized as BIG.

Financial Guaranty Insurance

BIG Transaction Loss Summary

As of March 31, 2023  

			Gross																								Net Total BIG
			BIG 1						BIG 2						BIG 3						Total BIG
			(dollars in millions)
Number of risks (1)			117						15						109						241						241
Remaining weighted-average period (in years)			11.2						8.5						7.4						9.7						9.7
Outstanding exposure:
Par			$	3,376					$	170					$	2,296					$	5,842					$	5,826
Interest			2,172						77						872						3,121						3,117
Total (2)			$	5,548					$	247					$	3,168					$	8,963					$	8,943
Expected cash outflows (inflows)			$	263					$	122					$	1,704					$	2,089					$	2,077
Potential recoveries (3)			(412)						(79)						(1,330)						(1,821)						(1,809)
Subtotal			(149)						43						374						268						268
Discount			40						(12)						(94)						(66)						(66)
Expected losses to be paid (recovered)			$	(109)					$	31					$	280					$	202					$	202
Deferred premium revenue			$	165					$	15					$	155					$	335					$	335
Reserves (salvage)			$	(158)					$	23					$	164					$	29					$	29

Financial Guaranty Insurance

BIG Transaction Loss Summary

As of December 31, 2022 

			Gross																								Net Total BIG
			BIG 1						BIG 2						BIG 3						Total BIG
			(dollars in millions)
Number of risks (1)			122						14						111						247						247
Remaining weighted-average period (in years)			11.3						8.7						7.6						9.8						9.8
Outstanding exposure:
Par			$	3,363					$	171					$	2,318					$	5,852					$	5,835
Interest			2,177						77						894						3,148						3,144
Total (2)			$	5,540					$	248					$	3,212					$	9,000					$	8,979
Expected cash outflows (inflows)			$	128					$	121					$	1,771					$	2,020					$	2,008
Potential recoveries (3)			(294)						(79)						(1,364)						(1,737)						(1,725)
Subtotal			(166)						42						407						283						283
Discount			35						(13)						(104)						(82)						(82)
Expected losses to be paid (recovered)			$	(131)					$	29					$	303					$	201					$	201
Deferred premium revenue			$	170					$	15					$	160					$	345					$	345
Reserves (salvage)			$	(174)					$	21					$	186					$	33					$	33

____________________

(1)    A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments.

(2)Includes amounts related to FG VIEs.

(3)Represents expected inflows from future payments by obligors pursuant to restructuring agreements, settlements, excess spread on any underlying collateral and other estimated recoveries. Potential recoveries also include recoveries on certain investment grade credits, related mainly to exposures that were previously BIG and for which claims have been paid in the past.

Gross Par and Gross Debt Service Outstanding

All Puerto Rico exposures are internally rated BIG. The following tables show the Company’s insured exposure to general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations.

Puerto Rico

Gross Par and Gross Debt Service Outstanding

			Gross Par Outstanding												Gross Debt Service Outstanding
			As of												As of
			March 31, 2023						December 31, 2022						March 31, 2023						December 31, 2022
			(in millions)
Exposure to Puerto Rico			$	1,367					$	1,378					$	1,855					$	1,899

Schedule of Geographic Exposure of Net Par Outstanding

Puerto Rico

Net Par Outstanding

			As of
			March 31, 2023						December 31, 2022
			(in millions)
Defaulted Puerto Rico Exposures
PREPA			$	720					$	720
Total Defaulted			720						720
Resolved Puerto Rico Exposures
PRHTA (Transportation revenue) (1)			295						298
PRHTA (Highway revenue) (1)			182						182
Commonwealth of Puerto Rico - GO (1)			25						25
PBA (1)			4						4
Total Resolved			506						509
Other Puerto Rico Exposures
MFA (2)			124						131
PRASA and U of PR (2)			1						1
Total Other			125						132
Total net exposure to Puerto Rico			$	1,351					$	1,361

____________________

(1)    Resolved in pursuant to the 2022 Puerto Rico Resolutions.

(2)    All debt service on these insured exposures have been paid to date without any insurance claim being made on the Company.

Schedule of Non-Financial Guaranty Exposure

Specialty Insurance, Reinsurance and Guaranties

						As of March 31, 2023												As of December 31, 2022
						Gross Exposure						Net Exposure						Gross Exposure						Net Exposure
						(in millions)
Life insurance transactions (1)						$	1,302					$	974					$	1,314					$	986
Aircraft residual value insurance policies						355						200						355						200
Other guaranties						1,626						1,626						228						228

____________________

(1)    The life insurance transactions net exposure is projected to reach $1.1 billion in 2025.

X

- Definition

Gross Par and Gross Debt Service Outstanding [Table Text Block]

+ References

No definition available.

+ Details

Name:	ago_GrossParandGrossDebtServiceOutstandingTableTextBlock
Namespace Prefix:	ago_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Outstanding Exposure Disclosure [Abstract]

+ References

No definition available.

+ Details

Name:	ago_OutstandingExposureDisclosureAbstract
Namespace Prefix:	ago_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Schedule Of Insured Financial Obligations, Below Investment Grade [Table Text Block]

+ References

No definition available.

+ Details

Name:	ago_ScheduleOfInsuredFinancialObligationsBelowInvestmentGradeTableTextBlock
Namespace Prefix:	ago_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the outstanding principal amounts of financial obligations underlying the entity's financial guaranty contracts, net of ceded contracts, by internal credit rating.

+ References

No definition available.

+ Details

Name:	ago_ScheduleofFinancialGuarantyObligationsbyInternalRatingTableTextBlock
Namespace Prefix:	ago_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Schedule of Geographic Exposure of Net Par Outstanding [Table Text Block]

+ References

No definition available.

+ Details

Name:	ago_ScheduleofGeographicExposureofNetParOutstandingTableTextBlock
Namespace Prefix:	ago_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the outstanding amounts of the insured contractual payments (principal and interest) outstanding on the underlying the entity's financial guaranty contracts, prior to and net of cessions

+ References

No definition available.

+ Details

Name:	ago_ScheduleofInsuredContractualPaymentsOutstandingTableTextBlock
Namespace Prefix:	ago_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Schedule of Non-Financial Guaranty Exposure [Table Text Block]

+ References

No definition available.

+ Details

Name:	ago_ScheduleofNonFinancialGuarantyExposureTableTextBlock
Namespace Prefix:	ago_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of insured financial obligations with credit deterioration related to the claim liability on financial guarantee insurance contracts as of the end of each annual and interim reporting period detailing, at a minimum, the following for each surveillance category or grouping used to track and monitor the entity's insured financial obligations: (1) number of issued and outstanding financial guarantee insurance contracts; (2) remaining weighted average contract period; (3) insured contractual payments outstanding, segregating principal and interest; (4) gross claim liability; (5) gross potential recoveries; (6) net discount of both the claim liability and potential recoveries; (7) net claim liability; (8) reinsurance recoverable; and (9) unearned premium revenue.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 944
-SubTopic 40
-Section 55
-Paragraph 34
-URI https://asc.fasb.org/extlink&oid=99379334&loc=SL5751140-161288

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 944
-SubTopic 40
-Section 50
-Paragraph 9
-Subparagraph (a)(5), (b)(1)
-URI https://asc.fasb.org/extlink&oid=99382878&loc=SL5749324-161292

+ Details

Name:	us-gaap_ScheduleOfInsuredFinancialObligationsWithCreditDeteriorationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration