
	As of
	September 30, 2023		December 31, 2022
	(in millions)
FG VIEs’ assets:
U.S. RMBS first lien	$	146	$	167
U.S. RMBS second lien	27		30
Puerto Rico Trusts’ assets (includes $146 and $209 at fair value) (1)	147		212
Other	7		7
Total FG VIEs’ assets	$	327	$	416
FG VIEs’ liabilities with recourse:
U.S. RMBS first lien	$	156	$	176
U.S. RMBS second lien	20		24
Puerto Rico Trusts’ liabilities	347		495
Other	8		7
Total FG VIEs’ liabilities with recourse	$	531	$	702
FG VIEs’ liabilities without recourse:
U.S. RMBS first lien	$	11	$	13
Total FG VIEs’ liabilities without recourse	$	11	$	13


	As of
	September 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	51		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)	582		723

(1) As of December 31, 2022, two CIVs were voting interest entities (VOEs). Funds meet the criteria for consolidating a VOE when the Company possesses substantially all of the economics and all of the decision-making authority.

Assets and Liabilities of CIVs


	As of
	September 30, 2023		December 31, 2022
	(in millions)
Assets:
Fund assets:
Cash and cash equivalents	$	7	$	59
Fund investments, at fair value
Equity securities and warrants	79		434
Structured products	239		128
Corporate securities	—		96
Other	5		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)	$	330	$	5,493
Liabilities:
CLO obligations, FVO (2)	—		4,090
Warehouse financing debt, FVO (3)	—		313
Due to brokers and counterparties	4		112
Other liabilities (4)	—		110
Total liabilities	$	4	$	4,625

(1) 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.

- 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