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

3 Months Ended

Mar. 31, 2023

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Investments Classified by Contractual Maturity Date

The amortized cost and estimated fair value of available-for-sale fixed-maturity securities by contractual maturity as of March 31, 2023 are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

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

As of March 31, 2023


	Amortized Cost		Estimated Fair Value
	(in millions)
Due within one year	$	289	$	283
Due after one year through five years	1,636		1,531
Due after five years through 10 years	1,720		1,636
Due after 10 years	3,018		2,811
Mortgage-backed securities:
RMBS	429		350
CMBS	267		258
Total	$	7,359	$	6,869

New Recovery Bonds in FG VIEs’ Assets

Distribution by Contractual Maturity

As of March 31, 2023


	Amortized Cost		Estimated Fair Value
	(in millions)
Due within one year	$	1	$	1
Due after one year through five years	6		6
Due after five years through 10 years	42		43
Due after 10 years	155		161
Total	$	204	$	211

Schedule of Consolidated FG VIE's

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
	March 31, 2023		December 31, 2022
	(in millions)
FG VIEs’ assets:
U.S. RMBS first lien	$	161	$	167
U.S. RMBS second lien	30		30
Puerto Rico Trusts’ assets (includes $215 and $209 at fair value) (1)	217		212
Other	7		7
Total FG VIEs’ assets	$	415	$	416
FG VIEs’ liabilities with recourse:
U.S. RMBS first lien	$	173	$	176
U.S. RMBS second lien	24		24
Puerto Rico Trusts’ liabilities	487		495
Other	8		7
Total FG VIEs’ liabilities with recourse	$	692	$	702
FG VIEs’ liabilities without recourse:
U.S. RMBS first lien	$	12	$	13
Total FG VIEs’ liabilities without recourse	$	12	$	13

____________________

(1) Includes $2 million of cash as of December 31, 2022.

Selected Information for FG VIEs’ Assets and Liabilities

Measured under the FVO


	As of
	March 31, 2023		December 31, 2022
	(in millions)
Excess of unpaid principal over fair value of:
FG VIEs’ assets	$	264	$	265
FG VIEs’ liabilities with recourse	23		21
FG VIEs’ liabilities without recourse	16		15
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due	32		34
Unpaid principal for FG VIEs’ liabilities with recourse (1)	715		723

____________________

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

Number of Consolidated CIVs by Type


	As of
CIV Type	March 31, 2023	December 31, 2022
Funds (1)	7	8
CLOs	10	10
CLO warehouses	4	4
Total number of consolidated CIVs (1)	21	22

____________________

(1) One fund was deconsolidated in first quarter 2023.

(2) As of March 31, 2023, one CIV was a voting interest entity, and as of December 31, 2022, two CIVs were voting interest entities. 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.

During both first quarter 2023 and first quarter 2022 no consolidated CLO warehouses became CLOs.

Assets and Liabilities of CIVs


	As of
	March 31, 2023		December 31, 2022
	(in millions)
Assets:
Fund assets:
Cash and cash equivalents (4)	$	(50)	$	59
Fund investments, at fair value
Equity securities and warrants	339		434
Corporate securities	93		96
Structured products	94		128
Due from brokers and counterparties	1		—
Other	1		1
CLO and CLO warehouse assets:
Cash	37		38
CLO investments:
Loans in CLOs, FVO	4,270		4,202
Loans in CLO warehouses, FVO	177		368
Short-term investments, at fair value	94		135
Due from brokers and counterparties	62		32
Total assets (1)	$	5,118	$	5,493
Liabilities:
CLO obligations, FVO (2)	4,155		4,090
Warehouse financing debt, FVO (3)	169		313
Due to brokers and counterparties	75		112
Other liabilities	59		110
Total liabilities	$	4,458	$	4,625

____________________

(1) Includes investments in AssuredIM Funds and other affiliated entities of $260 million and $392 million as of March 31, 2023 and December 31, 2022, respectively. Includes assets of a voting interest entity as of March 31, 2023 of $38 million, and assets and liabilities of voting interest entities of $58 million and $1 million, respectively, as of December 31, 2022.

(2) The weighted average maturity of CLO obligations was 5.9 years as of March 31, 2023 and 6.2 years as of December 31, 2022. The weighted average interest rate of CLO obligations was 6.1% as of March 31, 2023 and 5.3% as of December 31, 2022. CLO obligations have stated final maturity dates from 2034 to 2035.

(3) The weighted average maturity of warehouse financing debt of CLO warehouses was 0.5 years as of March 31, 2023 and 1.9 years as of December 31, 2022. The weighted average interest rate of warehouse financing debt of CLO warehouses was 5.0% as of March 31, 2023 and 4.5% as of December 31, 2022. Warehouse financing debt will mature at various dates from 2023 to 2031.

(4) Negative cash as of March 31, 2023 is due to reporting the distribution of certain cash by an AssuredIM Fund to AGAS in the current period, while reporting the receipt of cash as a result of an investment sale by an AssuredIM Fund on a lag.

- 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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