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

12 Months Ended

Dec. 31, 2021

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Number of Consolidated FG VIEs


	Year Ended December 31,
	2021	2020	2019

Beginning of year	25	27	31
Consolidated	1	2	1
Deconsolidated	(1)	(2)	(3)
Matured	—	(2)	(2)
December 31	25	25	27

The table below shows the carrying value of the consolidated FG VIEs’ assets and liabilities in the consolidated balance sheets, segregated by the types of assets that collateralize the respective debt obligations for FG VIEs’ liabilities with recourse.

Consolidated FG VIEs by Type of Collateral


	As of December 31,
	2021		2020
	(in millions)
FG VIEs’ assets:
U.S. RMBS first lien	$	221	$	243
U.S. RMBS second lien	39		53
Total FG VIEs’ assets	$	260	$	296

FG VIEs’ liabilities with recourse:
U.S. RMBS first lien	$	227	$	260
U.S. RMBS second lien	42		56
Total FG VIEs’ liabilities with recourse	$	269	$	316
FG VIEs’ liabilities without recourse:
U.S. RMBS first lien	$	20	$	17
Total FG VIEs’ liabilities without recourse	$	20	$	17


	As of December 31,
	2021		2020
	(in millions)
Excess of unpaid principal over fair value of:
FG VIEs’ assets	$	255	$	274
FG VIEs’ liabilities with recourse	12		15
FG VIEs’ liabilities without recourse	15		16
Unpaid principal balance for FG VIEs’ assets that were 90 days or more past due	52		68
Unpaid principal for FG VIEs’ liabilities with recourse (1)	281		330

____________________

(1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2021 through 2038.

Number of Consolidated CIVs by Type


	As of December 31,
CIV Type	2021	2020
Funds	8	7
CLOs	9	3
CLO warehouses	3	1
Total number of consolidated CIVs	20	11

The table below summarizes the change in the number of consolidated CIVs during each of the periods. During 2021, five consolidated CLO warehouses became CLOs. During 2020, two consolidated CLO warehouses became CLOs.

Roll Forward of Number of Consolidated CIVs


	Year Ended December 31,
	2021	2020	2019
Beginning of year	11	4	—
Consolidated	10	7	4
Deconsolidated	(1)	—	—
December 31	20	11	4

Assets and Liabilities of CIVs


	As of December 31,
	2021		2020
	(in millions)
Assets:
Fund assets:
Cash and cash equivalents	$	64	$	117
Fund investments, at fair value:
Equity securities and warrants (1)	252		18
Obligations of state and political subdivisions	101		61
Corporate securities	98		9
Structured products (2)	62		39
Due from brokers and counterparties	49		35
Other	1		—
CLO and CLO warehouse assets:
Cash	156		17
CLO investments:
Loans in CLOs, fair value option	3,913		1,291
Loans in CLO warehouses, fair value option	331		170
Short-term investments, at fair value	145		139
Due from brokers and counterparties	99		17
Total assets (3)	$	5,271	$	1,913

Liabilities:
CLO obligations, fair value option (4)	$	3,665	$	1,227
Warehouse financing debt, fair value option (5)	126		25
Securities sold short, at fair value	41		47
Due to brokers and counterparties	570		290
Other liabilities	34		1
Total liabilities	$	4,436	$	1,590

____________________

(1) Includes investments in AssuredIM Funds or other affiliated entities of $198 million and $10 million as of December 31, 2021 and December 31, 2020, respectively.

(2) Includes investments in affiliated entities of $25 million and $16 million as of December 31, 2021 and December 31, 2020, respectively.

(3) Includes assets of a VOE as of December 31, 2021 and December 31, 2020 of $12 million and $10 million, respectively.

(4) The weighted average maturity of CLO obligations was 6.6 years and 5.6 years for December 31, 2021 and December 31, 2020, respectively. The weighted average interest rate of CLO obligations was 1.8% as of December 31, 2021 and 2.4% for December 31, 2020. CLO obligations will mature at various dates from 2033 to 2035.

(5) The weighted average maturity of warehouse financing debt of CLO warehouses was 1.8 years as of December 31, 2021 and 1.7 years as of December 31, 2020. The weighted average interest rate of warehouse financing debt of CLO warehouses was 1.1% as of December 31, 2021 and 1.7% as of December 31, 2020. Warehouse financing debt will mature at various dates during 2023.

Redeemable Noncontrolling Interest

Redeemable Noncontrolling Interests in CIVs


	Year Ended December 31,
	2021		2020		2019
	(in millions)
Beginning balance	$	21	$	7	$	—
Reallocation of ownership interests	—		(10)		—
Contributions to CIVs	—		25		12
Distributions from CIVs	—		—		(4)
Net income (loss) attributable to the redeemable NCI	1		(1)		(1)
December 31,	$	22	$	21	$	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.

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