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

12 Months Ended

Dec. 31, 2022

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Schedule of Variable Interest Entities

Number of Consolidated

Structured Finance and Other FG VIEs

			Year Ended December 31,
			2022						2021						2020
Beginning of year			25						25						27
Consolidated			2						1						2
Deconsolidated			(2)						(1)						(2)
Matured			—						—						(2)
December 31			25						25						25

The table below shows the carrying value of FG VIEs’ assets and liabilities, segregated by type of collateral.

Consolidated FG VIEs by Type of Collateral 

			As of December 31,
			2022						2021
			(in millions)
FG VIEs’ assets:
U.S. RMBS first lien			$	167					$	221
U.S. RMBS second lien			30						39
Puerto Rico Trusts’ assets (includes $209 million at fair value) (1)			212						—
Other			7						—
Total FG VIEs’ assets			$	416					$	260
FG VIEs’ liabilities with recourse:
U.S. RMBS first lien			$	176					$	227
U.S. RMBS second lien			24						42
Puerto Rico Trusts’ liabilities			495						—
Other			7						—
Total FG VIEs’ liabilities with recourse			$	702					$	269
FG VIEs’ liabilities without recourse:
U.S. RMBS first lien			$	13					$	20
Total FG VIEs’ liabilities without recourse			$	13					$	20

____________________

(1)    Includes $2 million of cash.

Selected Information for FG VIEs’ Assets and Liabilities

Measured under the FVO

			As of December 31,
			2022						2021
			(in millions)
Excess of unpaid principal over fair value of:
FG VIEs’ assets			$	265					$	255
FG VIEs’ liabilities with recourse			21						12
FG VIEs’ liabilities without recourse			15						15
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due			34						52
Unpaid principal for FG VIEs’ liabilities with recourse (1)			723						281

____________________

(1)    FG VIEs’ liabilities with recourse will mature at various dates ranging from 2023 through 2041.

Number of Consolidated CIVs by Type

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

____________________

(1)    As of December 31, 2022, two CIVs were VOEs and as of December 31, 2021 one CIV was a VOE. Certain funds meet the criteria for a VOE 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 2022, 2021 and 2020, two, five and two, respectively, consolidated CLO warehouses became CLOs.

Roll Forward of Number of Consolidated CIVs

			Year Ended December 31,
			2022						2021						2020
Beginning of year			20						11						4
Consolidated			4						10						7
Deconsolidated (1)			(2)						(1)						—
December 31			22						20						11

____________________

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

Assets and Liabilities of CIVs

			As of December 31,
			2022						2021
			(in millions)
Assets:
Fund assets:
Cash and cash equivalents			$	59					$	64
Fund investments, at fair value:
Equity securities and warrants			434						252
Obligations of state and political subdivisions			—						101
Corporate securities			96						98
Structured products			128						62
Due from brokers and counterparties			—						49
Other			1						1
CLO and CLO warehouse assets:
Cash			38						156
CLO investments:
Loans in CLOs, FVO			4,202						3,913
Loans in CLO warehouses, FVO			368						331
Short-term investments, at fair value			135						145
Due from brokers and counterparties			32						99
Total assets (1)			$	5,493					$	5,271
Liabilities:
CLO obligations, FVO (2)			$	4,090					$	3,665
Warehouse financing debt, FVO (3)			313						126
Securities sold short, at fair value			—						41
Due to brokers and counterparties			112						570
Other liabilities			110						34
Total liabilities			$	4,625					$	4,436

____________________

(1)    Includes investments in AssuredIM Funds and other affiliated entities of $392 million and $223 million as of December 31, 2022 and December 31, 2021, respectively. Includes assets and liabilities of voting interest entities as of December 31, 2022 of $58 million and $1 million, respectively, and assets of $12 million as of December 31, 2021.

(2)     The weighted average maturity of CLO obligations was 6.2 years as of December 31, 2022 and 6.6 years as of December 31, 2021. The weighted average interest rate of CLO obligations was 5.3% as of December 31, 2022 and 1.8% for December 31, 2021. CLO obligations will mature at various dates from 2034 to 2035.

(3)    The weighted average maturity of warehouse financing debt of CLO warehouses was 1.9 years as of December 31, 2022 and 1.8 years as of December 31, 2021. The weighted average interest rate of warehouse financing debt of CLO warehouses was 4.5% as of December 31, 2022 and 1.1% as of December 31, 2021. Warehouse financing debt will mature at various dates from 2023 to 2031.

Distribution of Fixed Maturity Securities by Contractual Maturity

Distribution of Available-for-Sale Fixed-Maturity Securities by Contractual Maturity

As of December 31, 2022 

			Amortized Cost						Estimated Fair Value
			(in millions)
Due within one year			$	290					$	282
Due after one year through five years			1,713						1,585
Due after five years through 10 years			1,778						1,667
Due after 10 years			3,226						2,974
Mortgage-backed securities:
RMBS			418						340
CMBS			282						271
Total			$	7,707					$	7,119

New Recovery Bonds in FG VIEs’ Assets

Distribution by Contractual Maturity

As of December 31, 2022 

			Amortized Cost						Estimated Fair Value
			(in millions)
Due within one year			$	1					$	1
Due after one year through five years			6						5
Due after five years through 10 years			41						41
Due after 10 years			156						157
Total			$	204					$	204

Redeemable Noncontrolling Interest

The table below presents the rollforward of redeemable noncontrolling interest in CIVs.

Redeemable NCI in CIVs

			Year Ended December 31,
			2022						2021						2020
			(in millions)
Beginning balance			$	22					$	21					$	7
Net income (loss) attributable to the redeemable NCI			(1)						1						(1)
Reallocation of ownership interests			—						—						(10)
Reclassification to liabilities as mandatorily redeemable NCI (1)			(21)						—						—
Contributions			21						—						25
Distributions			(21)						—						—
December 31,			$	—					$	22					$	21

____________________

(1)    Included in “liabilities of consolidated investment vehicles” on the consolidated balance sheets. On January 31, 2023 this liability has been substantially paid.

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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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