XML 45 R34.htm IDEA: XBRL DOCUMENT

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

6 Months Ended

Jun. 30, 2023

Organization, Consolidation and Presentation of Financial Statements [Abstract]

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.

- 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

- 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