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

3 Months Ended

Mar. 31, 2022

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Schedule of Consolidated FG VIE's

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
			March 31, 2022						December 31, 2021
			(in millions)
FG VIEs’ assets:
U.S. RMBS first lien			$	204					$	221
U.S. RMBS second lien			35						39
Puerto Rico securities			53						—
Other			15						—
Total FG VIEs’ assets			$	307					$	260
FG VIEs’ liabilities with recourse:
U.S. RMBS first lien			$	209					$	227
U.S. RMBS second lien			36						42
Puerto Rico Trust liabilities			56						—
Other			15						—
Total FG VIEs’ liabilities with recourse			$	316					$	269
FG VIEs’ liabilities without recourse:
U.S. RMBS first lien			$	19					$	20
Total FG VIEs’ liabilities without recourse			$	19					$	20

Selected Information for FG VIEs Assets and Liabilities

Measured under the Fair Value Option

			As of
			March 31, 2022						December 31, 2021
			(in millions)
Excess of unpaid principal over fair value of:
FG VIEs’ assets			$	260					$	255
FG VIEs’ liabilities with recourse			17						12
FG VIEs’ liabilities without recourse			15						15
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due			47						52
Unpaid principal for FG VIEs’ liabilities with recourse (1)			333						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						March 31, 2022						December 31, 2021
Funds						8						8
CLOs						9						9
CLO warehouses						3						3
Total number of consolidated CIVs						20						20

The table below summarizes the change in the number of consolidated CIVs during each of the periods. During 2022, no consolidated CLO warehouses became CLOs. During 2021, one consolidated CLO warehouse became a CLO.

Roll Forward of Number of Consolidated CIVs

			First Quarter
			2022						2021
Beginning of year			20						11
Consolidated			—						2
Deconsolidated			—						(1)
March 31,			20						12

Assets and Liabilities of CIVs

			As of
			March 31, 2022						December 31, 2021
			(in millions)
Assets:
Fund assets:
Cash and cash equivalents			$	68					$	64
Fund investments, at fair value
Equity securities and warrants (1)			255						252
Obligations of state and political subdivisions			126						101
Corporate securities			85						98
Structured products (2)			74						62
Due from brokers and counterparties			16						49
Other			1						1
CLO and CLO warehouse assets:
Cash			90						156
CLO investments:
Loans in CLOs, fair value option			3,865						3,913
Loans in CLO warehouses, fair value option			834						331
Short-term investments, at fair value			165						145
Due from brokers and counterparties			121						99
Total assets (3)			$	5,700					$	5,271
Liabilities:
CLO obligations, fair value option (4)			3,598						3,665
Warehouse financing debt, fair value option (5)			339						126
Securities sold short, at fair value			36						41
Due to brokers and counterparties			844						570
Other liabilities			37						34
Total liabilities			$	4,854					$	4,436

____________________

(1)    Includes investments in AssuredIM Funds and other affiliated entities of $200 million and $198 million as of March 31, 2022 and December 31, 2021, respectively.

(2)    Includes investments in affiliated entities of $23 million and $25 million as of March 31, 2022 and December 31, 2021, respectively.

(3)    Includes assets of a voting interest entity as of March 31, 2022 and December 31, 2021 of $17 million and $12 million, respectively.

(4)    The weighted average maturity of CLO obligations was 6.7 years as of March 31, 2022 and 6.6 years as of December 31, 2021. The weighted average interest rate of CLO obligations was 1.9% as of March 31, 2022 and 1.8% as of December 31, 2021. CLO obligations have stated final maturity dates from 2034 to 2035.

(5)    The weighted average maturity of warehouse financing debt of CLO warehouses was 0.6 years as of March 31, 2022 and 1.8 years as of December 31, 2021. The weighted average interest rate of warehouse financing debt of CLO warehouses was 1.3% as of March 31, 2022 and 1.1% as of December 31, 2021. Warehouse financing debt will mature at various dates from 2022 to 2023.

Redeemable Noncontrolling Interest

Redeemable Noncontrolling Interests in CIVs

			First Quarter
			2022						2021
			(in millions)
Beginning balance			$	22					$	21
Net income (loss) attributable to the redeemable noncontrolling interest			(1)						—
March 31,			$	21					$	21

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Tabular disclosure of redeemable noncontrolling interest (as defined) included in the statement of financial position as either a liability or temporary equity. As of the date of the statement of financial position, such redeemable noncontrolling interest is currently redeemable, as defined, for cash or other assets of the entity at (1) at a fixed or determinable price on a fixed or determinable date, (2) at the option of the holder of the noncontrolling interest, or (3) upon occurrence of an event that is not solely within the control of the entity.

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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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