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Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2020

Organization, Consolidation and Presentation of Financial Statements [Abstract]



	As of June 30, 2020		As of December 31, 2019
	(in millions)
Excess of unpaid principal over fair value of:
FG VIEs’ assets	$	312	$	279
FG VIEs’ liabilities with recourse	30		21
FG VIEs’ liabilities without recourse	38		19
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due	49		52
Unpaid principal for FG VIEs’ liabilities with recourse(1)	362		388

____________________

(1)

FG VIEs’ liabilities with recourse will mature at various dates ranging from 2020 to 2038.

Assets and Liabilities

of Consolidated Investment Vehicles



	As of June 30, 2020		As of December 31, 2019
	(in millions)
Assets (1):
Fund assets:
Cash and cash equivalents	$	174	$	2
Fund investments, at fair value (2)
Debt securities	63		47
Equity securities and warrants	54		17
Structured products	43		—
Obligations of state and political subdivisions	39		—
Due from brokers and counterparties	29		—
CLO assets:
Cash	1		12
CLO investments, at fair value
Debt securities (3)	850		494
Short-term investments	403		—
Other assets	13		—
Total assets	$	1,669	$	572
Liabilities:
CLO obligations of CFE, at fair value(4)	806		481
Securities sold short, at fair value	30		—
Due to brokers and counterparties	400		—
Other liabilities	—		1
Total liabilities	$	1,236	$	482

____________________


(1)	Assets held by consolidated investment vehicles are not available to fund the general liquidity needs of the Company.


(2)	Includes investment in affiliates of $53 million and $9 million as of June 30, 2020 and December 31, 2019, respectively.


(3)	Includes $846 million in corporate loans of CFEs as of June 30, 2020 and $494 million as of December 31, 2019.

(4)

The weighted average maturity and weighted average interest rate of CLO obligations were 5.9 years and 2.7%, respectively, for June 30, 2020 and 12.8 years and 3.8%, respectively, for December 31, 2019. CLO obligations will mature at various dates ranging from 2031 to 2032.

Effect of Consolidating FG VIEs and Consolidated Investment Vehicles

on the Condensed Consolidated Statements of Operations

Increase (Decrease)



	Second Quarter						Six Months
	2020			2019			2020			2019
	(in millions)
Net earned premiums	$	(1	)	$	(11	)	$	(2	)	$	(14	)
Net investment income	(2		)	(1		)	(3		)	(2		)
Asset management fees	(1		)	—			(2		)	—
Fair value gains (losses) on FG VIEs	1			33			(8		)	38
Fair value gains (losses) on consolidated investment vehicles	31			—			19			—
Loss and LAE	2			(14		)	8			(15		)
Other operating expense	1			—			1			—
Equity in net earnings of investees	(26		)	—			(16		)	—
Effect on income before tax	5			7			(3		)	7
Less: Tax provision (benefit)	—			1			(1		)	1
Effect on net income (loss)	5			6			(2		)	6
Effect on redeemable noncontrolling interests	5			—			2			—
Effect on net income (loss) attributable to AGL	$	—		$	6		$	(4	)	$	6



	As of June 30, 2020				As of December 31, 2019
	Assets		Liabilities		Assets		Liabilities
	(in millions)
With recourse:
U.S. RMBS first lien	$	228	$	261	$	270	$	297
U.S. RMBS second lien	59		59		70		70
Other	11		12		—		—
Total with recourse	298		332		340		367
Without recourse	20		20		102		102
Total	$	318	$	352	$	442	$	469

Redeemable Noncontrolling Interest

Redeemable Noncontrolling Interests in Consolidated Investment Vehicles



	Second Quarter 2020			Six Months 2020
	(in millions)
Beginning balance	$	8		$	7
Reallocation of ownership interests	(8		)	(10		)
Contributions to investment vehicles	20			25
Net loss	—			(2		)
June 30,	$	20		$	20

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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