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v3.23.2

Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles (Tables) | 6 Months Ended
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Jun. 30, 2023
Organization, Consolidation and Presentation of Financial Statements [Abstract] |
Debt Securities, Available-for-Sale | Puerto Rico Trusts Carrying Value
| As of
| June 30, 2023 |  | December 31, 2022
| (in millions)
New Recovery Bonds, available-for-sale | $ | 218 |  |  | $ | 204 |
CVIs, trading | 5 |  |  | 5 |
New Recovery Bonds Reported in FG VIEs’ Assets Available-for-Sale
|  | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Estimated Fair Value
|  | (dollars in millions)
As of June 30, 2023 |  | $ | 205 |  |  | $ | 15 |  |  | $ | (2) |  |  | $ | 218 |
As of December 31, 2022 |  | 204 |  |  | 4 |  |  | (4) |  |  | 204 |
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 June 30, 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 June 30, 2023
| Amortized Cost |  | Estimated Fair Value
| (in millions)
Due within one year | $ | 286 |  |  | $ | 280 |
Due after one year through five years | 1,537 |  |  | 1,430 |
Due after five years through 10 years | 1,696 |  |  | 1,597 |
Due after 10 years | 2,871 |  |  | 2,625 |
Mortgage-backed securities: |  |  |
RMBS | 440 |  |  | 352 |
CMBS | 214 |  |  | 204 |
Total | $ | 7,044 |  |  | $ | 6,488 |
New Recovery Bonds in FG VIEs’ Assets Available-for-Sale Distribution by Contractual Maturity As of June 30, 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 |  |  | 44 |
Due after 10 years | 156 |  |  | 167 |
Total | $ | 205 |  |  | $ | 218 |
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
| June 30, 2023 |  | December 31, 2022
| (in millions)
FG VIEs’ assets: |  |  |
U.S. RMBS first lien | $ | 154 |  |  | $ | 167 |
U.S. RMBS second lien | 27 |  |  | 30 |
Puerto Rico Trusts’ assets (includes $223 and $209 at fair value) (1) | 226 |  |  | 212 |
Other | 7 |  |  | 7 |
Total FG VIEs’ assets | $ | 414 |  |  | $ | 416 |
FG VIEs’ liabilities with recourse: |  |  |
U.S. RMBS first lien | $ | 165 |  |  | $ | 176 |
U.S. RMBS second lien | 22 |  |  | 24 |
Puerto Rico Trusts’ liabilities | 493 |  |  | 495 |
Other | 7 |  |  | 7 |
Total FG VIEs’ liabilities with recourse | $ | 687 |  |  | $ | 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
| June 30, 2023 |  | December 31, 2022
| (in millions)
Excess of unpaid principal over fair value of: |  |  |
FG VIEs’ assets | $ | 266 |  |  | $ | 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 | 30 |  |  | 34 |
Unpaid principal for FG VIEs’ liabilities with recourse (1) | 710 |  |  | 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 |  | June 30, 2023 |  | December 31, 2022
Funds (1) |  | 6 |  |  | 8 |
CLOs (2) |  | 10 |  |  | 10 |
CLO warehouses (3) |  | 2 |  |  | 4 |
Total number of consolidated CIVs (4) |  | 18 |  |  | 22 |
____________________ (1) Two funds were deconsolidated in six months 2023. One fund was consolidated in six months 2022. (2) During six months 2022, the Company deconsolidated a CLO with assets and liabilities of $417 million. (3) Two CLO warehouses were deconsolidated in six months 2023. One CLO warehouse was consolidated in six months 2022 (4) As of June 30, 2023 and December 31, 2022, one and two, respectively, CIV were voting interest entities (VOEs). Certain funds meet the criteria for a VOE because the Company possesses substantially all of the economics and all of the decision-making authority. Assets and Liabilities of CIVs
| As of
| June 30, 2023 |  | December 31, 2022
| (in millions)
Assets: |  |  |
Fund assets: |  |  |
Cash and cash equivalents | $ | 28 |  |  | $ | 59 |
Fund investments, at fair value |  |  |
Equity securities and warrants | 299 |  |  | 434 |
Corporate securities | 84 |  |  | 96 |
Structured products | 74 |  |  | 128 |
Due from brokers and counterparties | 3 |  |  | — |
Other | — |  |  | 1 |
CLO and CLO warehouse assets: |  |  |
Cash | 21 |  |  | 38 |
CLO investments: |  |  |
Loans in CLOs, FVO | 4,283 |  |  | 4,202 |
Loans in CLO warehouses, FVO | 169 |  |  | 368 |
Short-term investments, at fair value | 69 |  |  | 135 |
Due from brokers and counterparties | 25 |  |  | 32 |
Total assets (1) | $ | 5,055 |  |  | $ | 5,493 |
Liabilities: |  |  |
CLO obligations, FVO (2) | 4,138 |  |  | 4,090 |
Warehouse financing debt, FVO (3) | 157 |  |  | 313 |
Due to brokers and counterparties | 60 |  |  | 112 |
Other liabilities | 105 |  |  | 110 |
Total liabilities | $ | 4,460 |  |  | $ | 4,625 |
____________________ (1) Includes investments in AssuredIM Funds and other affiliated entities of $267 million and $392 million as of June 30, 2023 and December 31, 2022, respectively. Includes assets of a VOE of $24 million as of June 30, 2023, and assets and liabilities of a VOE of $58 million and $1 million, respectively, as of December 31, 2022. (2) The weighted average maturity of CLO obligations was 5.8 years as of June 30, 2023 and 6.2 years as of December 31, 2022. The weighted average interest rate of CLO obligations was 6.6% as of June 30, 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 0.3 years as of June 30, 2023 and 1.9 years as of December 31, 2022. The weighted average interest rate of warehouse financing debt of CLO warehouses was 5.3% as of June 30, 2023 and 4.5% as of December 31, 2022. Warehouse financing debt will mature at various dates from 2023 to 2024.

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- Definition Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale). + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 9 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-9 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-3 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 4: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 5: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 6: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (aa) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 7: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (aaa) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 8: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 9: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-3 Reference 10: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-3 Reference 11: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-3 Reference 12: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-3 + Details
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- 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org//1943274/2147481203/810-10-50-3 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 5A -Publisher FASB -URI https://asc.fasb.org//1943274/2147481203/810-10-50-5A Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 9 -Publisher FASB -URI https://asc.fasb.org//1943274/2147481203/810-10-50-9 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org//1943274/2147481203/810-10-50-4 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 6 -Publisher FASB -URI https://asc.fasb.org//1943274/2147481203/810-10-50-6 + Details
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