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

12 Months Ended

Dec. 31, 2023

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Number of Consolidated

Structured Finance and Other FG VIEs


	Year Ended December 31,
	2023	2022	2021

Beginning of year	25	25	25
Consolidated	—	2	1
Deconsolidated	(1)	(2)	(1)
December 31	24	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,
	2023		2022
	(in millions)
FG VIEs’ assets:
U.S. RMBS first lien	$	145	$	167
U.S. RMBS second lien	28		30
Puerto Rico Trusts’ assets (includes $1 and $209 at fair value) (1)	155		212
Other	—		7
Total FG VIEs’ assets	$	328	$	416
FG VIEs’ liabilities with recourse:
U.S. RMBS first lien	$	156	$	176
U.S. RMBS second lien	21		24
Puerto Rico Trusts’ liabilities	366		495
Other	—		7
Total FG VIEs’ liabilities with recourse	$	543	$	702
FG VIEs’ liabilities without recourse:
U.S. RMBS first lien	$	11	$	13
Total FG VIEs’ liabilities without recourse	$	11	$	13

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(1) Includes $154 million and $2 million of cash as of December 31, 2023 and 2022.

Selected Information for FG VIEs’ Assets and Liabilities

Measured under the FVO


	As of December 31,
	2023		2022
	(in millions)
Excess of unpaid principal over fair value of:
FG VIEs’ assets	$	259	$	265
FG VIEs’ liabilities with recourse	25		21
FG VIEs’ liabilities without recourse	16		15
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due	29		34
Unpaid principal for FG VIEs’ liabilities with recourse (1)	568		723

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(1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2024 through 2041.

Number of Consolidated CIVs by Type


	As of December 31,
CIV Type	2023	2022
Funds	3	8
CLOs	—	10
CLO warehouses	—	4
Total number of consolidated CIVs (1)	3	22

____________________

(1) As of December 31, 2022 two CIVs were VOEs.

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

Roll Forward of Number of Consolidated CIVs


	Year Ended December 31,
	2023	2022	2021
Beginning of year	22	20	11
Consolidated	—	4	10
Deconsolidated	(19)	(2)	(1)
December 31	3	22	20

Assets and Liabilities of CIVs


	As of December 31,
	2023		2022
	(in millions)
Assets:
Fund assets:
Cash and cash equivalents	$	35	$	59
Fund investments, at fair value:
Equity securities and warrants	83		434
Structured products	248		128
Corporate securities	—		96

Other	—		1
CLO and CLO warehouse assets:
Cash	—		38
CLO investments:
Loans in CLOs and CLO warehouses, FVO	—		4,570
Short-term investments, at fair value	—		135
Due from brokers and counterparties	—		32
Total assets (1)	$	366	$	5,493
Liabilities:
CLO obligations, FVO (2)	$	—	$	4,090
Warehouse financing debt, FVO (3)	—		313
Due to brokers and counterparties	—		112
Other liabilities (4)	4		110
Total liabilities	$	4	$	4,625

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(1) Includes investments with affiliated entities of $281 million as of December 31, 2023. Includes investments in AssuredIM funds and other affiliated entities of $392 million as of December 31, 2022. Includes assets and liabilities of a VOE of $58 million and $1 million, respectively, as of December 31, 2022.

(2) As of December 31, 2022, the weighted average maturity of CLO obligations was 6.2 years and the weighted average interest rate of CLO obligations was 5.3%.

(3) The weighted average maturity of warehouse financing debt of CLO warehouses was 1.9 years as of December 31, 2022. The weighted average interest rate of warehouse financing debt of CLO warehouses was 4.5% as of December 31, 2022.

(4) Includes $3 million with affiliated entities as of December 31, 2023 and $21 million of redeemable NCI as of December 31, 2022.

- 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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