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Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles (Tables)

9 Months Ended

Sep. 30, 2022

Organization, Consolidation and Presentation of Financial Statements [Abstract]

The table below shows the carrying value of all of the consolidated FG VIEs’ assets and liabilities in the condensed consolidated balance sheets, segregated by the types of assets that collateralize the respective debt obligations for FG VIEs’ liabilities.

Consolidated FG VIEs by Type of Collateral


	As of
	September 30, 2022		December 31, 2021
	(in millions)
FG VIEs’ assets:
U.S. RMBS first lien	$	177	$	221
U.S. RMBS second lien	33		39
Puerto Rico Trusts’ securities	26		—
Total FG VIEs’ assets	$	236	$	260

FG VIEs’ liabilities with recourse:
U.S. RMBS first lien	$	182	$	227
U.S. RMBS second lien	25		42
Puerto Rico Trusts’ liabilities	31		—
Total FG VIEs’ liabilities with recourse	$	238	$	269

FG VIEs’ liabilities without recourse:
U.S. RMBS first lien	$	13	$	20
Total FG VIEs’ liabilities without recourse	$	13	$	20

Selected Information for FG VIEs’ Assets and Liabilities

Measured under the FVO


	As of
	September 30, 2022		December 31, 2021
	(in millions)
Excess of unpaid principal over fair value of:
FG VIEs’ assets	$	261	$	255
FG VIEs’ liabilities with recourse	34		12
FG VIEs’ liabilities without recourse	15		15
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due	38		52
Unpaid principal for FG VIEs’ liabilities with recourse (1)	272		281

____________________

(1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2022 through 2038.

Number of Consolidated CIVs by Type


	As of
CIV Type	September 30, 2022	December 31, 2021
Funds	8	8
CLOs	10	9
CLO warehouses	4	3
Total number of consolidated CIVs (1)	22	20

____________________

(1) As of September 30, 2022 two CIVs were voting interest entities, and as of December 31, 2021 one CIV was a voting interest entity. Certain funds meet the criteria for a voting interest entity because the Company possesses substantially all of the economics and all of the decision-making authority.

The table below summarizes the change in the number of consolidated CIVs during each of the periods. During nine months 2022 and nine months 2021, two and three, respectively, consolidated CLO warehouses were securitized and became CLOs.

Roll Forward of Number of Consolidated CIVs


	Nine Months
	2022	2021
Beginning of year	20	11
Consolidated	4	6
Deconsolidated (1)	(2)	(1)
September 30,	22	16

____________________

(1) During nine months 2022 the Company deconsolidated a CLO with assets and liabilities of $417 million.

Assets and Liabilities of CIVs


	As of
	September 30, 2022		December 31, 2021
	(in millions)
Assets:
Fund assets:
Cash and cash equivalents	$	71	$	64
Fund investments, at fair value
Equity securities and warrants	434		252
Obligations of state and political subdivisions	—		101
Corporate securities	87		98
Structured products	133		62
Due from brokers and counterparties	—		49
Other	1		1
CLO and CLO warehouse assets:
Cash	68		156
CLO investments:
Loans in CLOs, FVO	4,088		3,913
Loans in CLO warehouses, FVO	324		331
Short-term investments, at fair value	85		145
Due from brokers and counterparties	45		99
Total assets (1)	$	5,336	$	5,271
Liabilities:
CLO obligations, FVO (2)	3,962		3,665
Warehouse financing debt, FVO (3)	224		126
Securities sold short, at fair value	—		41
Due to brokers and counterparties	173		570
Other liabilities	88		34
Total liabilities	$	4,447	$	4,436

____________________

(1) Includes investments in AssuredIM Funds and other affiliated entities of $394 million and $223 million as of September 30, 2022 and December 31, 2021, respectively. Includes assets and liabilities of voting interest entities as of September 30, 2022 of $69 million and $2 million, respectively, and assets of $12 million as of December 31, 2021.

(2) The weighted average maturity of CLO obligations was 6.5 years as of September 30, 2022 and 6.6 years as of December 31, 2021. The weighted average interest rate of CLO obligations was 3.9% as of September 30, 2022 and 1.8% as of December 31, 2021. CLO obligations have stated final maturity dates from 2034 to 2035.

(3) The weighted average maturity of warehouse financing debt of CLO warehouses was 1.5 years as of September 30, 2022 and 1.8 years as of December 31, 2021. The weighted average interest rate of warehouse financing debt of CLO warehouses was 2.6% as of September 30, 2022 and 1.1% as of December 31, 2021. Warehouse financing debt will mature at various dates from 2023 to 2031.

Redeemable Noncontrolling Interest

Redeemable Noncontrolling Interest in CIVs


	Third Quarter				Nine Months
	2022		2021		2022		2021
	(in millions)
Beginning balance	$	21	$	21	$	22	$	21
Net income (loss) attributable to the redeemable noncontrolling interest	—		—		(1)		—
Contributions	—		—		21		—
Distributions	—		—		(21)		—
September 30,	$	21	$	21	$	21	$	21

- 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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