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

9 Months Ended

Sep. 30, 2024

Organization, Consolidation and Presentation of Financial Statements [Abstract]

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
	September 30, 2024		December 31, 2023
	(in millions)
FG VIEs’ assets:
U.S. RMBS first lien	$	129	$	145
U.S. RMBS second lien	25		28
Puerto Rico Trusts’ assets (includes $2 and $1 at fair value) (1)	2		155
Total FG VIEs’ assets	$	156	$	328
FG VIEs’ liabilities with recourse:
U.S. RMBS first lien	$	144	$	156
U.S. RMBS second lien	20		21
Puerto Rico Trusts’ liabilities	218		366
Total FG VIEs’ liabilities with recourse	$	382	$	543
FG VIEs’ liabilities without recourse:
U.S. RMBS first lien	$	10	$	11
Total FG VIEs’ liabilities without recourse	$	10	$	11

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

Selected Information for FG VIEs’ Assets and Liabilities

Measured under the FVO


	As of
	September 30, 2024		December 31, 2023
	(in millions)
Excess of unpaid principal over fair value of:
FG VIEs’ assets	$	261	$	259
FG VIEs’ liabilities with recourse	29		25
FG VIEs’ liabilities without recourse	16		16
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due	25		29
Unpaid principal for FG VIEs’ liabilities with recourse (1)	411		568

____________________

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

Assets and Liabilities of CIVs


	As of
	September 30, 2024		December 31, 2023
	(in millions)
Assets:
Cash and cash equivalents	$	23	$	35
Equity securities	97		83
Structured products	237		248
Other	2		—
Total assets (1)	$	359	$	366
Liabilities:
Due to brokers and counterparties	$	15	$	—
Other liabilities	3		4
Total liabilities (2)	$	18	$	4

____________________

(1) Includes investments with Sound Point affiliated entities of $335 million and $281 million as of September 30, 2024 and December 31, 2023, respectively.

(2) The balance is reported in “other liabilities” in the condensed consolidated balance sheets and includes $3 million with Sound Point affiliated entities as of both September 30, 2024 and December 31, 2023.

- 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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