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Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2020

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Number of FG VIEs Consolidated


	Year Ended December 31,
	2020	2019	2018

Beginning of year	27	31	32
Consolidated (1)	2	1	—
Deconsolidated (1)	(2)	(3)	(1)
Matured	(2)	(2)	—
December 31	25	27	31

____________________

(1) Net loss on consolidation was $1 million in 2020 and de minimis in 2019. Net gain on deconsolidation was $1 million in 2020 and de minims in 2019 and 2018.

The ISCR amount is determined by using expected cash flows at the original date of consolidation discounted at the effective yield less current expected cash flows discounted at that same original effective yield.


	As of
	December 31, 2020		December 31, 2019
	(in millions)
Excess of unpaid principal over fair value of:
FG VIEs' assets	$	274	$	279
FG VIEs' liabilities with recourse	15		19
FG VIEs' liabilities without recourse	16		52
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due	68		21
Unpaid principal for FG VIEs’ liabilities with recourse (1)	330		388

____________________

(1) FG VIEs’ liabilities with recourse will mature at various dates through 2038.

Consolidated FG VIEs

By Type of Collateral


	As of December 31, 2020				As of December 31, 2019
	Assets		Liabilities		Assets		Liabilities
	(in millions)
With recourse:
U.S. RMBS first lien	$	226	$	260	$	270	$	297
U.S. RMBS second lien	53		56		70		70
Total with recourse	279		316		340		367
Without recourse	17		17		102		102
Total	$	296	$	333	$	442	$	469

Assets and Liabilities

of CIVs


	As of
	December 31, 2020		December 31, 2019
	(in millions)
Assets:
Fund assets:
Cash and cash equivalents	$	117	$	2
Fund investments, at fair value (1)
Corporate securities	9		47
Structured products	39		17
Obligations of state and political subdivisions	61		—
Equity securities, warrants and other	18		—
Due from brokers and counterparties	35		—

CLO and CLO warehouse assets:
Cash	17		12
CLO investments, at fair value
Loans of CFE	1,291		494
Loans, at fair value option	170		—
Short-term investments	139		—
Due from brokers and counterparties	17		—
Total assets (2)	$	1,913	$	572
Liabilities:
CLO obligations of CFE, at fair value (3)	$	1,227	$	481
Warehouse financing debt, at fair value option (4)	25		—
Securities sold short, at fair value	47		—
Due to brokers and counterparties	290		—
Other liabilities	1		1
Total liabilities	$	1,590	$	482

____________________

(1) Includes investment in affiliates of $10 million and $9 million as of December 31, 2020 and December 31, 2019, respectively.

(2) The December 31, 2020 amount included $10 million for an entity that is a voting interest entity.

(3) The weighted average maturity and weighted average interest rate of CLO obligations were 5.6 years and 2.4%, respectively, for December 31, 2020, and 12.8 years and 3.8%, respectively, for December 31, 2019. CLO obligations will mature at various dates ranging from 2031 to 2033.

(4) The weighted average maturity and weighted average interest rate of warehouse financing debt of a CLO warehouse were 1.7 years and 1.7%, respectively, for December 31, 2020. Warehouse financing debt will mature in 2022.

The following table shows the information for assets and liabilities of the CIVs measured using the fair value option.


	As of
	December 31, 2020
	(in millions)
Excess of unpaid principal over fair value of CLO loans	$	1
Unpaid principal for warehouse financing debt	25

Effect of Consolidating FG VIEs and CIVs

on the Consolidated Balance Sheets

Increase (Decrease)


	As of
	December 31, 2020		December 31, 2019
	(in millions)
Assets
Investment portfolio:
Fixed-maturity securities and short-term investments (1)	$	(32)	$	(39)
Equity method investments (2)	(254)		(77)
Other invested assets	(2)		—
Total investments	(288)		(116)
Premiums receivable, net of commissions payable (3)	(6)		(7)
Salvage and subrogation recoverable (3)	(9)		(8)
FG VIEs’ assets, at fair value	296		442
Assets of CIVs	1,913		572
Other assets	(3)		—
Total assets	$	1,903	$	883
Liabilities and shareholders’ equity
Unearned premium reserve (3)	$	(38)	$	(39)
Loss and LAE reserve (3)	(41)		(41)
FG VIEs’ liabilities with recourse, at fair value	316		367
FG VIEs’ liabilities without recourse, at fair value	17		102
Liabilities of CIVs	1,590		482
Total liabilities	1,844		871

Redeemable noncontrolling interests (4)	21		7

Retained earnings	22		34
AOCI (5)	(25)		(35)
Total shareholders’ equity attributable to Assured Guaranty Ltd.	(3)		(1)
Nonredeemable noncontrolling interests (4)	41		6
Total shareholders’ equity	38		5
Total liabilities, redeemable noncontrolling interests and shareholders’ equity	$	1,903	$	883

____________________

(1) Represents the elimination of investment balances related to the insurance subsidiaries' purchases of insured FG VIEs’ debt.

(2) Represents the elimination of the equity method investment related to AGAS and the other subsidiaries' investments in the consolidated AssuredIM Funds.

(3) Represents the elimination of insurance balances related to the insurance subsidiaries' guarantee of FG VIEs’ liabilities with recourse.

(4) Represents the proportion of consolidated AssuredIM Funds that is not owned by AGAS or other subsidiaries.

(5) Represents (a) changes in fair value of the FG VIEs’ liabilities with recourse that are attributable to changes in the Company's own credit risk and (b) elimination of the AOCI related to the insurance subsidiaries' purchases of insured FG VIEs' debt.

Effect of Consolidating FG VIEs and CIVs

on the Consolidated Statements of Operations

Increase (Decrease)


	Year Ended December 31,
	2020		2019		2018
	(in millions)
Net earned premiums (1)	$	(5)	$	(18)	$	(12)
Net investment income (2)	(5)		(4)		(4)
Asset management fees (3)	(9)		—		—
Fair value gains (losses) on FG VIEs (4)	(10)		42		14
Fair value gains (losses) on CIVs	41		(3)		—
Loss and LAE (1)	3		(20)		(3)
Other operating expenses	4		—		—
Equity in earnings of investees (5)	(28)		2		—
Effect on income before tax	(9)		(1)		(5)
Less: Tax provision (benefit)	(3)		—		(1)
Effect on net income (loss)	(6)		(1)		(4)
Less: Effect on noncontrolling interests (6)	6		(1)		—
Effect on net income (loss) attributable to AGL	$	(12)	$	—	$	(4)

____________________

(1) Represents the elimination of insurance balances related to the insurance subsidiaries' guarantee of FG VIEs’ liabilities with recourse.

(2) Represents the elimination of investment balances related to the insurance subsidiaries' purchases of insured FG VIEs’ debt.

(3) Represents the elimination of intercompany asset management fees.

(4) Changes in fair value of the FG VIEs’ liabilities with recourse that are attributable to factors other than changes in the Company's own credit risk.

(5) Represents the elimination of the equity in earnings in investees related to AGAS and the other subsidiaries' investments in the consolidated AssuredIM Funds.

(6) Represents the proportion of consolidated AssuredIM Funds that is not owned by AGAS or other subsidiaries.

Redeemable Noncontrolling Interest

Redeemable Noncontrolling Interests in CIVs


	Year Ended December 31, 2020		Year Ended December 31, 2019
	(in millions)
Beginning balance	$	7	$	—
Reallocation of ownership interests	(10)		—
Contributions to investment vehicles	25		12
Distributions from investment vehicles	—		(4)
Net income (loss)	(1)		(1)
December 31,	$	21	$	7

- 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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