Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2019

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Effect of Consolidating VIEs

on the Consolidated Balance Sheets

Increase (Decrease)



	As of December 31, 2019			As of December 31, 2018
	(in millions)
Assets
Investment portfolio:
Fixed maturity securities and short-term investments	$	(39	)	$	(38	)
Equity method investments (1)	(77		)	—
Total investments	(116		)	(38		)
Premiums receivable, net of commissions payable	(7		)	(9		)
Salvage and subrogation recoverable	(8		)	(1		)
FG VIEs’ assets, at fair value	442			569
Assets of consolidated investment vehicles (1)	572			—
Total assets	$	883		$	521
Liabilities and shareholders’ equity
Unearned premium reserve	$	(39	)	$	(51	)
Loss and LAE reserve	(41		)	(48		)
FG VIEs’ liabilities with recourse, at fair value	367			517
FG VIEs’ liabilities without recourse, at fair value	102			102
Liabilities of consolidated investment vehicles (1)	482			—
Total liabilities	871			520

Redeemable noncontrolling interests in consolidated investment vehicles (1)	7			—

Retained earnings	34			34
Accumulated other comprehensive income	(35		)	(33		)
Total shareholders’ equity attributable to Assured Guaranty Ltd.	(1		)	1
Nonredeemable noncontrolling interests (1)	6			—
Total shareholders’ equity	5			1
Total liabilities, redeemable noncontrolling interests and shareholders’ equity	$	883		$	521

____________________


(1)	These line items represent the components of the effect of consolidating Assured Investment Management investment vehicles.

Effect of Consolidating VIEs

on the Consolidated Statements of Operations

Increase (Decrease)



	Year Ended December 31,
	2019			2018			2017
	(in millions)
Net earned premiums	$	(18	)	$	(12	)	$	(15	)
Net investment income	(4		)	(4		)	(5		)
Fair value gains (losses) on FG VIEs (1)	42			14			30
Other income (loss) (2)	(3		)	—			—
Loss and LAE	(20		)	(3		)	7
Equity in net earnings of investees	2			—			—
Effect on income before tax	(1		)	(5		)	17
Less: Tax provision (benefit)	—			(1		)	6
Effect on net income (loss)	(1		)	(4		)	11
Effect on redeemable noncontrolling interests	(1		)	—			—
Effect on net income (loss) attributable to AGL	$	—		$	(4	)	$	11

____________________


(1)	See consolidated statements of comprehensive income and Note 22, Other Comprehensive Income, for information on changes in fair value of the FG VIEs’ liabilities with recourse that are attributable to changes in the Company's own credit risk.


(2)	Represents change in fair value of consolidated investment vehicles.

Consolidated FG VIEs

By Type of Collateral



	As of December 31, 2019				As of December 31, 2018
	Assets		Liabilities		Assets		Liabilities
	(in millions)
With recourse:
U.S. RMBS first lien	$	270	$	297	$	299	$	326
U.S. RMBS second lien	70		70		115		137
Manufactured housing	—		—		53		54
Total with recourse	340		367		467		517
Without recourse	102		102		102		102
Total	$	442	$	469	$	569	$	619

Number of FG VIEs Consolidated



	Year Ended December 31,
	2019		2018		2017

Beginning of year	31		32		32
Consolidated	1		—		2
Deconsolidated	(3	)	(1	)	(2	)
Matured	(2	)	—		—
December 31	27		31		32

Assets and Liabilities

of Consolidated Investment Vehicles



	As of December 31, 2019
	(in millions)
Assets:
Cash and restricted cash (1)	$	14
Corporate loans of CFE, at fair value	494
Corporate loans, at fair value	47
Other assets (2)	17
Total assets	$	572
Liabilities:
CLO obligations of CFE, at fair value (3)	$	481
Other liabilities	1
Total liabilities	$	482

____________________


(1)	Cash held by consolidated investment vehicles are not available to fund the general liquidity needs of the Company.


(2)	Includes investment in affiliates of $9 million.

(3)

The weighted average maturity and weighted average interest rate of CLO obligations were 12.8 years and 3.8%, respectively. CLO obligations will mature in 2032.

The ISCR amount is determined by using expected cash flows at the original date of consolidation discounted at the effective yield less current expected cash flows discounted at that same original effective yield.



	As of December 31, 2019		As of December 31, 2018
	(in millions)
Excess of unpaid principal over fair value of:
FG VIEs' assets	$	279	$	350
FG VIEs' liabilities with recourse	21		48
FG VIEs' liabilities without recourse	19		28
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due	52		71
Unpaid principal for FG VIEs’ liabilities with recourse (1)	388		565

____________________

(1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2019 to 2038.

Redeemable Noncontrolling Interest

Redeemable Noncontrolling Interests in Consolidated Investment Vehicles



	Year Ended December 31, 2019
	(in millions)
Beginning balance	$	—
Contributions to investment vehicles	12
Distributions from investment vehicles	(4		)
Net loss	(1		)
December 31,	$	7

- 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 + Details