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Fair Value Measurement (Tables) | 6 Months Ended
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Jun. 30, 2022
Fair Value Disclosures [Abstract] |
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | Amounts recorded at fair value in the Company’s financial statements are presented in the tables below. Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of June 30, 2022
| Fair Value Hierarchy |  |
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| (in millions)
Assets: |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |
Fixed-maturity securities, available-for-sale |  |  |  |  |  |  |
Obligations of state and political subdivisions | $ | — |  |  | $ | 3,433 |  |  | $ | 51 |  |  | $ | 3,484 |
U.S. government and agencies | — |  |  | 119 |  |  | — |  |  | 119 |
Corporate securities | — |  |  | 2,194 |  |  | — |  |  | 2,194 |
Mortgage-backed securities: |  |  |  |  |  |  |
RMBS | — |  |  | 185 |  |  | 184 |  |  | 369 |
CMBS | — |  |  | 298 |  |  | — |  |  | 298 |
Asset-backed securities | — |  |  | 24 |  |  | 805 |  |  | 829 |
Non-U.S. government securities | — |  |  | 103 |  |  | — |  |  | 103 |
Total fixed-maturity securities, available-for-sale | — |  |  | 6,356 |  |  | 1,040 |  |  | 7,396 |
Fixed-maturity securities, trading | — |  |  | 87 |  |  | — |  |  | 87 |
Short-term investments | 844 |  |  | 19 |  |  | — |  |  | 863 |
Other invested assets (1) | 2 |  |  | — |  |  | 5 |  |  | 7 |
FG VIEs’ assets | — |  |  | 41 |  |  | 223 |  |  | 264 |
Assets of CIVs (2): |  |  |  |  |  |  |
Fund investments: |  |  |  |  |  |  |
Equity securities and warrants | — |  |  | 7 |  |  | 258 |  |  | 265 |
Corporate securities | — |  |  | — |  |  | 90 |  |  | 90 |
Structured products | — |  |  | 89 |  |  | 38 |  |  | 127 |
CLOs and CLO warehouse assets: |  |  |  |  |  |  |
Loans | — |  |  | 4,393 |  |  | — |  |  | 4,393 |
Short-term investments | 230 |  |  | — |  |  | — |  |  | 230 |
Total assets of CIVs | 230 |  |  | 4,489 |  |  | 386 |  |  | 5,105 |
Other assets | 50 |  |  | 45 |  |  | 35 |  |  | 130 |
Total assets carried at fair value | $ | 1,126 |  |  | $ | 11,037 |  |  | $ | 1,689 |  |  | $ | 13,852 |
Liabilities: |  |  |  |  |  |  |
Credit derivative liabilities | $ | — |  |  | $ | — |  |  | $ | 148 |  |  | $ | 148 |
FG VIEs’ liabilities (3) | — |  |  | — |  |  | 282 |  |  | 282 |
Liabilities of CIVs: |  |  |  |  |  |  |
CLO obligations of CFEs | — |  |  | — |  |  | 3,947 |  |  | 3,947 |
Warehouse financing debt | — |  |  | 138 |  |  | 19 |  |  | 157 |
Securitized borrowing | — |  |  | — |  |  | 21 |  |  | 21 |
Total liabilities of CIVs | — |  |  | 138 |  |  | 3,987 |  |  | 4,125 |
Other liabilities | — |  |  | 7 |  |  | — |  |  | 7 |
Total liabilities carried at fair value | $ | — |  |  | $ | 145 |  |  | $ | 4,417 |  |  | $ | 4,562 |
Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 2021
| Fair Value Hierarchy |  |
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| (in millions)
Assets: |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |
Fixed-maturity securities, available-for sale |  |  |  |  |  |  |
Obligations of state and political subdivisions | $ | — |  |  | $ | 3,588 |  |  | $ | 72 |  |  | $ | 3,660 |
U.S. government and agencies | — |  |  | 128 |  |  | — |  |  | 128 |
Corporate securities | — |  |  | 2,605 |  |  | — |  |  | 2,605 |
Mortgage-backed securities: |  |  |  |  |  |  |
RMBS | — |  |  | 221 |  |  | 216 |  |  | 437 |
CMBS | — |  |  | 346 |  |  | — |  |  | 346 |
Asset-backed securities | — |  |  | 27 |  |  | 863 |  |  | 890 |
Non-U.S. government securities | — |  |  | 136 |  |  | — |  |  | 136 |
Total fixed-maturity securities, available-for-sale | — |  |  | 7,051 |  |  | 1,151 |  |  | 8,202 |
Short-term investments | 1,225 |  |  | — |  |  | — |  |  | 1,225 |
Other invested assets (1) | 6 |  |  | — |  |  | 6 |  |  | 12 |
FG VIEs’ assets | — |  |  | — |  |  | 260 |  |  | 260 |
Assets of CIVs (2): |  |  |  |  |  |  |
Fund investments: |  |  |  |  |  |  |
Equity securities and warrants | — |  |  | 7 |  |  | 239 |  |  | 246 |
Obligations of state and political subdivisions | — |  |  | 101 |  |  | — |  |  | 101 |
Corporate securities | — |  |  | 7 |  |  | 91 |  |  | 98 |
Structured products | — |  |  | 62 |  |  | — |  |  | 62 |
CLOs and CLO warehouse assets: |  |  |  |  |  |  |
Loans | — |  |  | 4,244 |  |  | — |  |  | 4,244 |
Short-term investments | 145 |  |  | — |  |  | — |  |  | 145 |
Total assets of CIVs | 145 |  |  | 4,421 |  |  | 330 |  |  | 4,896 |
Other assets | 53 |  |  | 54 |  |  | 25 |  |  | 132 |
Total assets carried at fair value | $ | 1,429 |  |  | $ | 11,526 |  |  | $ | 1,772 |  |  | $ | 14,727 |
Liabilities: |  |  |  |  |  |  |
Credit derivative liabilities | $ | — |  |  | $ | — |  |  | $ | 156 |  |  | $ | 156 |
FG VIEs’ liabilities (3) | — |  |  | — |  |  | 289 |  |  | 289 |
Liabilities of CIVs: |  |  |  |  |  |  |
CLO obligations of CFEs | — |  |  | — |  |  | 3,665 |  |  | 3,665 |
Warehouse financing debt | — |  |  | 103 |  |  | 23 |  |  | 126 |
Securities sold short | — |  |  | 41 |  |  | — |  |  | 41 |
Securitized borrowing | — |  |  | — |  |  | 17 |  |  | 17 |
Total liabilities of CIVs | — |  |  | 144 |  |  | 3,705 |  |  | 3,849 |
Other liabilities | — |  |  | 1 |  |  | — |  |  | 1 |
Total liabilities carried at fair value | $ | — |  |  | $ | 145 |  |  | $ | 4,150 |  |  | $ | 4,295 |
___________________ (1) Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. Excludes $16 million and $19 million of equity method investments measured at fair value under the FVO using the NAV as a practical expedient as of June 30, 2022 and December 31, 2021, respectively. (2) Excludes $5 million and $6 million as of June 30, 2022 and December 31, 2021, respectively, in investments in AssuredIM Funds for which the Company records a 100% noncontrolling interest. The consolidation of these funds results in a gross up of assets and noncontrolling interest on the consolidated financial statements; however, it results in no economic equity or net income attributable to AGL. As of June 30, 2022, excludes a $124 million investment in the AssuredIM municipal relative value master fund, which is measured using NAV as a practical expedient. (3) Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.
Fair Value Assets Measured on Recurring Basis | The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during second quarter 2022, second quarter 2021, six months 2022, and six months 2021. Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Second Quarter 2022
| Fixed-Maturity Securities, Available-for-Sale |  |  |  | Assets of CIVs |  |  |
| Obligations of State and Political Subdivisions |  | RMBS |  | Asset- Backed Securities |  | FG VIEs’ Assets |  | Equity Securities and Warrants |  | Corporate Securities |  | Structured Products |  | Other (7) |
| (in millions)
Fair value as of March 31, 2022 | $ | 70 |  |  | $ | 200 |  |  | $ | 842 |  |  | $ | 267 |  |  | $ | 243 |  |  | $ | 83 |  |  | $ | — |  |  | $ | 28 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | (1) |  | (1) |  | 6 |  | (1) |  | (3) |  | (1) |  | 1 |  | (2) |  | 16 |  | (4) |  | 7 |  | (4) |  | (3) |  | (4) |  | 10 |  | (3) |
Other comprehensive income (loss) | (3) |  |  | (11) |  |  | (30) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (1) |  |
Purchases | — |  |  | — |  |  | 10 |  |  | — |  |  | 5 |  |  | — |  |  | 42 |  |  | — |  |
Sales | — |  |  | — |  |  | (9) |  |  | — |  |  | (6) |  |  | — |  |  | (21) |  |  | — |  |
Settlements | (14) |  |  | (11) |  |  | (5) |  |  | (26) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Deconsolidations | — |  |  | — |  |  | — |  |  | (15) |  |  | — |  |  | — |  |  | 20 |  |  | — |  |
Transfers out of Level 3 | (1) |  |  | — |  |  | — |  |  | (4) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Fair value as of June 30, 2022 | $ | 51 |  |  | $ | 184 |  |  | $ | 805 |  |  | $ | 223 |  |  | $ | 258 |  |  | $ | 90 |  |  | $ | 38 |  |  | $ | 37 |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | 2 |  | (2) |  | $ | 10 |  | (4) |  | $ | 7 |  | (4) |  | $ | (3) |  | (4) |  | $ | 10 |  | (3) |
OCI | $ | (4) |  |  | $ | (10) |  |  | $ | (29) |  |  |  |  |  |  |  |  |  |  | $ | (1) |  |
Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Second Quarter 2022
| Credit Derivative Asset (Liability), net (5) |  | FG VIEs’ Liabilities (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of March 31, 2022 | $ | (156) |  |  | $ | (335) |  |  | $ | (3,650) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | 9 |  | (6) |  | 11 |  | (2) |  | 250 |  | (4) |
Other comprehensive income (loss) | — |  |  | 3 |  |  | 37 |  |
Issuances | — |  |  | — |  |  | (1,027) |  |
Settlements | — |  |  | 24 |  |  | 29 |  |
Deconsolidations | — |  |  | 15 |  |  | 374 |  |
Fair value as of June 30, 2022 | $ | (147) |  |  | $ | (282) |  |  | $ | (3,987) |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in: |  |  |  |  |  |
Earnings | $ | 8 |  | (6) |  | $ | 11 |  | (2) |  | $ | 262 |  | (4) |
OCI |  |  | $ | 3 |  |  | $ | 37 |  |
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Second Quarter 2021
| Fixed-Maturity Securities, Available-for-Sale |  |  |  |  |  |  |
| Obligations of State and Political Subdivisions |  | Corporate Securities |  | RMBS |  | Asset- Backed Securities |  | FG VIEs’ Assets |  | Assets of CIVs- Equity Securities |  | Other (7) |
| (in millions)
Fair value as of March 31, 2021 | $ | 103 |  |  | $ | 28 |  |  | $ | 246 |  |  | $ | 941 |  |  | $ | 281 |  |  | $ | 1 |  |  | $ | 37 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | 2 |  | (1) |  | — |  |  | 5 |  | (1) |  | 5 |  | (1) |  | 19 |  | (2) |  | 2 |  | (4) |  | (6) |  | (3) |
Other comprehensive income (loss) | 6 |  |  | 20 |  |  | 9 |  |  | 1 |  |  | — |  |  | — |  |  | — |  |
Purchases | — |  |  | — |  |  | — |  |  | 117 |  |  | — |  |  | 14 |  |  | — |  |
Sales | — |  |  | (48) |  |  | — |  |  | (38) |  |  | — |  |  | (16) |  |  | — |  |
Settlements | (1) |  |  | — |  |  | (12) |  |  | (51) |  |  | (13) |  |  | — |  |  | — |  |
Fair value as of June 30, 2021 | $ | 110 |  |  | $ | — |  |  | $ | 248 |  |  | $ | 975 |  |  | $ | 287 |  |  | $ | 1 |  |  | $ | 31 |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  |  |  | $ | 19 |  | (2) |  | $ | — |  |  | $ | (6) |  | (3) |
OCI | $ | 6 |  |  | $ | — |  |  | $ | 9 |  |  | $ | 3 |  |  |  |  |  |  |  |
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Second Quarter 2021
| Credit Derivative Asset (Liability), net (5) |  | FG VIEs’ Liabilities (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of March 31, 2021 | $ | (120) |  |  | $ | (318) |  |  | $ | (1,973) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | (33) |  | (6) |  | (10) |  | (2) |  | (8) |  | (4) |
Other comprehensive income (loss) | — |  |  | (2) |  |  | — |  |
Issuances | — |  |  | — |  |  | (406) |  |
Settlements | (1) |  |  | 10 |  |  | 2 |  |
Fair value as of June 30, 2021 | $ | (154) |  |  | $ | (320) |  |  | $ | (2,385) |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021 included in: |  |  |  |  |  |
Earnings | $ | (35) |  | (6) |  | $ | (11) |  | (2) |  | $ | (2) |  | (4) |
OCI |  |  | $ | (2) |  |  |  |
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Six Months 2022
| Fixed-Maturity Securities, Available-for-Sale |  |  |  | Assets of CIVs |  |  |
| Obligations of State and Political Subdivisions |  | RMBS |  | Asset- Backed Securities |  | FG VIEs’ Assets |  | Equity Securities and Warrants |  | Corporate Securities |  | Structured Products |  | Other (7) |
| (in millions)
Fair value as of December 31, 2021 | $ | 72 |  |  | $ | 216 |  |  | $ | 863 |  |  | $ | 260 |  |  | $ | 239 |  |  | $ | 91 |  |  | $ | — |  |  | $ | 27 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | — |  |  | 10 |  | (1) |  | — |  |  | (3) |  | (2) |  | 26 |  | (4) |  | 6 |  | (4) |  | (3) |  | (4) |  | 11 |  | (3) |
Other comprehensive income (loss) | (8) |  |  | (19) |  |  | (37) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (1) |  |
Purchases | — |  |  | — |  |  | 35 |  |  | — |  |  | 5 |  |  | 1 |  |  | 42 |  |  | — |  |
Sales | — |  |  | — |  |  | (12) |  |  | — |  |  | (12) |  |  | (8) |  |  | (21) |  |  | — |  |
Settlements | (13) |  |  | (23) |  |  | (44) |  |  | (34) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Consolidations | — |  |  | — |  |  | — |  |  | 15 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Deconsolidations | — |  |  | — |  |  | — |  |  | (15) |  |  | — |  |  | — |  |  | 20 |  |  | — |  |
Fair value as of June 30, 2022 | $ | 51 |  |  | $ | 184 |  |  | $ | 805 |  |  | $ | 223 |  |  | $ | 258 |  |  | $ | 90 |  |  | $ | 38 |  |  | $ | 37 |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | (2) |  | (2) |  | $ | 18 |  | (4) |  | $ | 5 |  | (4) |  | $ | (3) |  | (4) |  | $ | 11 |  | (3) |
OCI | $ | (10) |  |  | $ | (17) |  |  | $ | (36) |  |  |  |  |  |  |  |  |  |  | $ | (1) |  |
Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Six Months 2022
| Credit Derivative Asset (Liability), net (5) |  | FG VIEs’ Liabilities (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of December 31, 2021 | $ | (154) |  |  | $ | (289) |  |  | $ | (3,705) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | 6 |  | (6) |  | 26 |  | (2) |  | 295 |  | (4) |
Other comprehensive income (loss) | — |  |  | 3 |  |  | 56 |  |
Issuances | — |  |  | — |  |  | (1,408) |  |
Settlements | 1 |  |  | 65 |  |  | 401 |  |
Consolidations | — |  |  | (102) |  |  | — |  |
Deconsolidations | — |  |  | 15 |  |  | 374 |  |
Fair value as of June 30, 2022 | $ | (147) |  |  | $ | (282) |  |  | $ | (3,987) |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in: |  |  |  |  |  |
Earnings | $ | 5 |  | (6) |  | $ | 49 |  | (2) |  | $ | 303 |  | (4) |
OCI |  |  | $ | 3 |  |  | $ | 56 |  |
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Six Months 2021
| Fixed-Maturity Securities, Available-for-Sale |  |  |  |  |  |
| Obligations of State and Political Subdivisions |  | Corporate Securities |  | RMBS |  | Asset- Backed Securities |  | FG VIEs’ Assets |  | Assets of CIVs - Equity Securities |  | Other (7) |
| (in millions) |  |
Fair value as of December 31, 2020 | $ | 101 |  |  | $ | 30 |  |  | $ | 255 |  |  | $ | 940 |  |  | $ | 296 |  |  | $ | 2 |  |  | $ | 54 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | 3 |  | (1) |  | 2 |  | (1) |  | 7 |  | (1) |  | 11 |  | (1) |  | 18 |  | (2) |  | 4 |  | (4) |  | (24) |  | (3) |
Other comprehensive income (loss) | 8 |  |  | 16 |  |  | 9 |  |  | 6 |  |  | — |  |  | — |  |  | 1 |  |
Purchases | — |  |  | — |  |  | — |  |  | 211 |  |  | — |  |  | 22 |  |  | — |  |
Sales | — |  |  | (48) |  |  | — |  |  | (80) |  |  | — |  |  | (27) |  |  | — |  |
Settlements | (2) |  |  | — |  |  | (23) |  |  | (113) |  |  | (27) |  |  | — |  |  | — |  |
Fair value as of June 30, 2021 | $ | 110 |  |  | $ | — |  |  | $ | 248 |  |  | $ | 975 |  |  | $ | 287 |  |  | $ | 1 |  |  | $ | 31 |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  |  |  | $ | 18 |  | (2) |  | $ | 3 |  | (4) |  | $ | (25) |  | (3) |
OCI | $ | 8 |  |  | $ | — |  |  | $ | 9 |  |  | $ | 8 |  |  |  |  |  |  | $ | 1 |  |
Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Six Months 2021
| Credit Derivative Asset (Liability), net (5) |  | FG VIEs’ (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of December 31, 2020 | $ | (100) |  |  | $ | (333) |  |  | $ | (1,227) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | (52) |  | (6) |  | (7) |  | (2) |  | (2) |  | (4) |
Other comprehensive income (loss) | — |  |  | (3) |  |  | — |  |
Issuances | — |  |  | — |  |  | (1,158) |  |
Settlements | (2) |  |  | 23 |  |  | 2 |  |
Fair value as of June 30, 2021 | $ | (154) |  |  | $ | (320) |  |  | $ | (2,385) |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021 included in: |  |  |  |  |  |
Earnings | $ | (55) |  | (6) |  | $ | (6) |  | (2) |  | $ | 4 |  | (4) |
OCI |  |  | $ | (3) |  |  |  |
____________________ (1)Included in “net realized investment gains (losses)” and “net investment income”. (2)Included in “fair value gains (losses) on FG VIEs”. (3)Reported in “fair value gains (losses) on CCS”, “net investment income” and “other income”. (4)Reported in “fair value gains (losses) on CIVs”. (5)Represents the net position of credit derivatives. Credit derivative assets (reported in “other assets”) and credit derivative liabilities (presented as a separate line item) are shown as either assets or liabilities in the condensed consolidated balance sheets based on net exposure by transaction. (6)Reported in “fair value gains (losses) on credit derivatives”. (7)Includes CCS and other invested assets. (8)Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse.
Fair Value, Liabilities Measured on Recurring Basis | The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during second quarter 2022, second quarter 2021, six months 2022, and six months 2021. Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Second Quarter 2022
| Fixed-Maturity Securities, Available-for-Sale |  |  |  | Assets of CIVs |  |  |
| Obligations of State and Political Subdivisions |  | RMBS |  | Asset- Backed Securities |  | FG VIEs’ Assets |  | Equity Securities and Warrants |  | Corporate Securities |  | Structured Products |  | Other (7) |
| (in millions)
Fair value as of March 31, 2022 | $ | 70 |  |  | $ | 200 |  |  | $ | 842 |  |  | $ | 267 |  |  | $ | 243 |  |  | $ | 83 |  |  | $ | — |  |  | $ | 28 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | (1) |  | (1) |  | 6 |  | (1) |  | (3) |  | (1) |  | 1 |  | (2) |  | 16 |  | (4) |  | 7 |  | (4) |  | (3) |  | (4) |  | 10 |  | (3) |
Other comprehensive income (loss) | (3) |  |  | (11) |  |  | (30) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (1) |  |
Purchases | — |  |  | — |  |  | 10 |  |  | — |  |  | 5 |  |  | — |  |  | 42 |  |  | — |  |
Sales | — |  |  | — |  |  | (9) |  |  | — |  |  | (6) |  |  | — |  |  | (21) |  |  | — |  |
Settlements | (14) |  |  | (11) |  |  | (5) |  |  | (26) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Deconsolidations | — |  |  | — |  |  | — |  |  | (15) |  |  | — |  |  | — |  |  | 20 |  |  | — |  |
Transfers out of Level 3 | (1) |  |  | — |  |  | — |  |  | (4) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Fair value as of June 30, 2022 | $ | 51 |  |  | $ | 184 |  |  | $ | 805 |  |  | $ | 223 |  |  | $ | 258 |  |  | $ | 90 |  |  | $ | 38 |  |  | $ | 37 |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | 2 |  | (2) |  | $ | 10 |  | (4) |  | $ | 7 |  | (4) |  | $ | (3) |  | (4) |  | $ | 10 |  | (3) |
OCI | $ | (4) |  |  | $ | (10) |  |  | $ | (29) |  |  |  |  |  |  |  |  |  |  | $ | (1) |  |
Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Second Quarter 2022
| Credit Derivative Asset (Liability), net (5) |  | FG VIEs’ Liabilities (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of March 31, 2022 | $ | (156) |  |  | $ | (335) |  |  | $ | (3,650) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | 9 |  | (6) |  | 11 |  | (2) |  | 250 |  | (4) |
Other comprehensive income (loss) | — |  |  | 3 |  |  | 37 |  |
Issuances | — |  |  | — |  |  | (1,027) |  |
Settlements | — |  |  | 24 |  |  | 29 |  |
Deconsolidations | — |  |  | 15 |  |  | 374 |  |
Fair value as of June 30, 2022 | $ | (147) |  |  | $ | (282) |  |  | $ | (3,987) |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in: |  |  |  |  |  |
Earnings | $ | 8 |  | (6) |  | $ | 11 |  | (2) |  | $ | 262 |  | (4) |
OCI |  |  | $ | 3 |  |  | $ | 37 |  |
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Second Quarter 2021
| Fixed-Maturity Securities, Available-for-Sale |  |  |  |  |  |  |
| Obligations of State and Political Subdivisions |  | Corporate Securities |  | RMBS |  | Asset- Backed Securities |  | FG VIEs’ Assets |  | Assets of CIVs- Equity Securities |  | Other (7) |
| (in millions)
Fair value as of March 31, 2021 | $ | 103 |  |  | $ | 28 |  |  | $ | 246 |  |  | $ | 941 |  |  | $ | 281 |  |  | $ | 1 |  |  | $ | 37 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | 2 |  | (1) |  | — |  |  | 5 |  | (1) |  | 5 |  | (1) |  | 19 |  | (2) |  | 2 |  | (4) |  | (6) |  | (3) |
Other comprehensive income (loss) | 6 |  |  | 20 |  |  | 9 |  |  | 1 |  |  | — |  |  | — |  |  | — |  |
Purchases | — |  |  | — |  |  | — |  |  | 117 |  |  | — |  |  | 14 |  |  | — |  |
Sales | — |  |  | (48) |  |  | — |  |  | (38) |  |  | — |  |  | (16) |  |  | — |  |
Settlements | (1) |  |  | — |  |  | (12) |  |  | (51) |  |  | (13) |  |  | — |  |  | — |  |
Fair value as of June 30, 2021 | $ | 110 |  |  | $ | — |  |  | $ | 248 |  |  | $ | 975 |  |  | $ | 287 |  |  | $ | 1 |  |  | $ | 31 |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  |  |  | $ | 19 |  | (2) |  | $ | — |  |  | $ | (6) |  | (3) |
OCI | $ | 6 |  |  | $ | — |  |  | $ | 9 |  |  | $ | 3 |  |  |  |  |  |  |  |
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Second Quarter 2021
| Credit Derivative Asset (Liability), net (5) |  | FG VIEs’ Liabilities (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of March 31, 2021 | $ | (120) |  |  | $ | (318) |  |  | $ | (1,973) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | (33) |  | (6) |  | (10) |  | (2) |  | (8) |  | (4) |
Other comprehensive income (loss) | — |  |  | (2) |  |  | — |  |
Issuances | — |  |  | — |  |  | (406) |  |
Settlements | (1) |  |  | 10 |  |  | 2 |  |
Fair value as of June 30, 2021 | $ | (154) |  |  | $ | (320) |  |  | $ | (2,385) |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021 included in: |  |  |  |  |  |
Earnings | $ | (35) |  | (6) |  | $ | (11) |  | (2) |  | $ | (2) |  | (4) |
OCI |  |  | $ | (2) |  |  |  |
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Six Months 2022
| Fixed-Maturity Securities, Available-for-Sale |  |  |  | Assets of CIVs |  |  |
| Obligations of State and Political Subdivisions |  | RMBS |  | Asset- Backed Securities |  | FG VIEs’ Assets |  | Equity Securities and Warrants |  | Corporate Securities |  | Structured Products |  | Other (7) |
| (in millions)
Fair value as of December 31, 2021 | $ | 72 |  |  | $ | 216 |  |  | $ | 863 |  |  | $ | 260 |  |  | $ | 239 |  |  | $ | 91 |  |  | $ | — |  |  | $ | 27 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | — |  |  | 10 |  | (1) |  | — |  |  | (3) |  | (2) |  | 26 |  | (4) |  | 6 |  | (4) |  | (3) |  | (4) |  | 11 |  | (3) |
Other comprehensive income (loss) | (8) |  |  | (19) |  |  | (37) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (1) |  |
Purchases | — |  |  | — |  |  | 35 |  |  | — |  |  | 5 |  |  | 1 |  |  | 42 |  |  | — |  |
Sales | — |  |  | — |  |  | (12) |  |  | — |  |  | (12) |  |  | (8) |  |  | (21) |  |  | — |  |
Settlements | (13) |  |  | (23) |  |  | (44) |  |  | (34) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Consolidations | — |  |  | — |  |  | — |  |  | 15 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Deconsolidations | — |  |  | — |  |  | — |  |  | (15) |  |  | — |  |  | — |  |  | 20 |  |  | — |  |
Fair value as of June 30, 2022 | $ | 51 |  |  | $ | 184 |  |  | $ | 805 |  |  | $ | 223 |  |  | $ | 258 |  |  | $ | 90 |  |  | $ | 38 |  |  | $ | 37 |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | (2) |  | (2) |  | $ | 18 |  | (4) |  | $ | 5 |  | (4) |  | $ | (3) |  | (4) |  | $ | 11 |  | (3) |
OCI | $ | (10) |  |  | $ | (17) |  |  | $ | (36) |  |  |  |  |  |  |  |  |  |  | $ | (1) |  |
Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Six Months 2022
| Credit Derivative Asset (Liability), net (5) |  | FG VIEs’ Liabilities (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of December 31, 2021 | $ | (154) |  |  | $ | (289) |  |  | $ | (3,705) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | 6 |  | (6) |  | 26 |  | (2) |  | 295 |  | (4) |
Other comprehensive income (loss) | — |  |  | 3 |  |  | 56 |  |
Issuances | — |  |  | — |  |  | (1,408) |  |
Settlements | 1 |  |  | 65 |  |  | 401 |  |
Consolidations | — |  |  | (102) |  |  | — |  |
Deconsolidations | — |  |  | 15 |  |  | 374 |  |
Fair value as of June 30, 2022 | $ | (147) |  |  | $ | (282) |  |  | $ | (3,987) |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in: |  |  |  |  |  |
Earnings | $ | 5 |  | (6) |  | $ | 49 |  | (2) |  | $ | 303 |  | (4) |
OCI |  |  | $ | 3 |  |  | $ | 56 |  |
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis Six Months 2021
| Fixed-Maturity Securities, Available-for-Sale |  |  |  |  |  |
| Obligations of State and Political Subdivisions |  | Corporate Securities |  | RMBS |  | Asset- Backed Securities |  | FG VIEs’ Assets |  | Assets of CIVs - Equity Securities |  | Other (7) |
| (in millions) |  |
Fair value as of December 31, 2020 | $ | 101 |  |  | $ | 30 |  |  | $ | 255 |  |  | $ | 940 |  |  | $ | 296 |  |  | $ | 2 |  |  | $ | 54 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | 3 |  | (1) |  | 2 |  | (1) |  | 7 |  | (1) |  | 11 |  | (1) |  | 18 |  | (2) |  | 4 |  | (4) |  | (24) |  | (3) |
Other comprehensive income (loss) | 8 |  |  | 16 |  |  | 9 |  |  | 6 |  |  | — |  |  | — |  |  | 1 |  |
Purchases | — |  |  | — |  |  | — |  |  | 211 |  |  | — |  |  | 22 |  |  | — |  |
Sales | — |  |  | (48) |  |  | — |  |  | (80) |  |  | — |  |  | (27) |  |  | — |  |
Settlements | (2) |  |  | — |  |  | (23) |  |  | (113) |  |  | (27) |  |  | — |  |  | — |  |
Fair value as of June 30, 2021 | $ | 110 |  |  | $ | — |  |  | $ | 248 |  |  | $ | 975 |  |  | $ | 287 |  |  | $ | 1 |  |  | $ | 31 |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  |  |  | $ | 18 |  | (2) |  | $ | 3 |  | (4) |  | $ | (25) |  | (3) |
OCI | $ | 8 |  |  | $ | — |  |  | $ | 9 |  |  | $ | 8 |  |  |  |  |  |  | $ | 1 |  |
Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis Six Months 2021
| Credit Derivative Asset (Liability), net (5) |  | FG VIEs’ (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of December 31, 2020 | $ | (100) |  |  | $ | (333) |  |  | $ | (1,227) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | (52) |  | (6) |  | (7) |  | (2) |  | (2) |  | (4) |
Other comprehensive income (loss) | — |  |  | (3) |  |  | — |  |
Issuances | — |  |  | — |  |  | (1,158) |  |
Settlements | (2) |  |  | 23 |  |  | 2 |  |
Fair value as of June 30, 2021 | $ | (154) |  |  | $ | (320) |  |  | $ | (2,385) |  |
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021 included in: |  |  |  |  |  |
Earnings | $ | (55) |  | (6) |  | $ | (6) |  | (2) |  | $ | 4 |  | (4) |
OCI |  |  | $ | (3) |  |  |  |
____________________ (1)Included in “net realized investment gains (losses)” and “net investment income”. (2)Included in “fair value gains (losses) on FG VIEs”. (3)Reported in “fair value gains (losses) on CCS”, “net investment income” and “other income”. (4)Reported in “fair value gains (losses) on CIVs”. (5)Represents the net position of credit derivatives. Credit derivative assets (reported in “other assets”) and credit derivative liabilities (presented as a separate line item) are shown as either assets or liabilities in the condensed consolidated balance sheets based on net exposure by transaction. (6)Reported in “fair value gains (losses) on credit derivatives”. (7)Includes CCS and other invested assets. (8)Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse.
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs As of June 30, 2022
Financial Instrument Description |  | Fair Value (in millions) |  | Significant Unobservable Inputs |  | Range |  | Weighted Average (4)
Assets (2): |  |  |  |  |  |  |  |
Fixed-maturity securities, available-for-sale (1): |  |  |  |  |  |  |  |  |  |
Obligations of state and political subdivisions |  | $ | 51 |  |  | Yield |  | 6.9 | % | - | 32.1% |  | 9.4%
RMBS |  | 184 |  |  | CPR |  | 0.0 | % | - | 22.2% |  | 11.1%
|  | CDR |  | 1.5 | % | - | 12.0% |  | 5.6%
|  | Loss severity |  | 50.0 | % | - | 125.0% |  | 85.2%
|  | Yield |  | 4.6 | % | - | 7.6% |  | 6.8%
Asset-backed securities: |  |  |  |  |  |  |  |  |  |
Life insurance transactions |  | 357 |  |  | Yield |  | 8.8% |  |
CLOs |  | 420 |  |  | Discount Margin |  | 1.8 | % | - | 4.0% |  | 2.9%
Others |  | 28 |  |  | Yield |  | 6.4 | % | - | 13.7% |  | 13.6%
FG VIEs’ assets (1) |  | 223 |  |  | CPR |  | 0.9 | % | - | 25.9% |  | 14.3%
|  | CDR |  | 1.0 | % | - | 41.0% |  | 7.6%
|  | Loss severity |  | 45.0 | % | - | 100.0% |  | 82.2%
|  | Yield |  | 2.9 | % | - | 8.8% |  | 5.6%
Assets of CIVs (3): |  |  |  |  |  |  |  |  |  |
Equity securities and warrants |  | 258 |  |  | Yield |  | 8.8% |  |
|  |  |  | Discount rate |  | 19.8 | % | - | 24.3% |  | 22.6%
|  |  |  | Market multiple-enterprise value/revenue |  | 1.00x | - | 1.10x |  | 1.05x
|  |  |  | Market multiple-enterprise value/EBITDA (6) |  | 3.00x | - | 12.00x |  | 10.34x
|  |  |  | Market multiple-price to book |  | 1.30x | - | 1.65x |  | 1.48x
|  |  |  | Market multiple-price to earnings |  | 6.00x |  |
|  |  |  | Terminal growth rate |  | 4.0% |  |
|  |  |  | Cost |  | 1.0x |  |
Corporate securities |  | 90 |  |  | Discount rate |  | 20.8 | % | - | 23.9% |  | 22.0%
|  |  |  | Yield |  | 16.3% |  |
|  |  |  | Cost |  | 1.00x |  |
|  |  |  | Market multiple-enterprise value/EBITDA |  | 3.00x | - | 8.00x |  | 4.95x
Structured products |  | 38 |  |  | Yield |  | 11.0 | % | - | 27.4% |  | 16.1%
Other assets (1) |  | 34 |  |  | Implied Yield |  | 4.7 | % | - | 5.4% |  | 5.0%
|  | Term (years) |  | 10 years |  |
Financial Instrument Description |  | Fair Value (in millions) |  | Significant Unobservable Inputs |  | Range |  | Weighted Average (4)
Liabilities (1): |  |  |  |  |  |  |  |  |  |
Credit derivative liabilities, net |  | $ | (147) |  |  | Year 1 loss estimates |  | 0.0 | % | - | 92.5% |  | 2.6%
|  | Hedge cost (in bps) |  | 17.9 | - | 41.4 |  | 25.6
|  | Bank profit (in bps) |  | 53.7 | - | 292.6 |  | 102.9
|  | Internal credit rating |  | AAA | - | CCC |  | AA
FG VIEs’ liabilities |  | (282) |  |  | CPR |  | 0.9 | % | - | 25.9% |  | 13.2%
|  | CDR |  | 1.0 | % | - | 41.0% |  | 7.0%
|  | Loss severity |  | 45.0 | % | - | 100.0% |  | 75.6%
|  | Yield |  | 1.5 | % | - | 8.8% |  | 5.2%
Liabilities of CIVs: |  |  |  |  |  |  |  |  |  |
CLO obligations of CFEs (5) |  | (3,947) |  |  | Yield |  | 1.6 | % | - | 24.1% |  | 3.2%
Warehouse financing debt |  | (19) |  |  | Yield |  | 16.0% |  |
Securitized borrowing |  | (21) |  |  | Discount rate |  | 24.3% |  |
|  |  |  | Market multiple-enterprise value/EBITDA |  | 10.00x | - | 11.00x |  | 10.67x
___________________ (1) Discounted cash flow is used as the primary valuation technique. (2) Excludes several investments recorded in “other invested assets” with a fair value of $5 million. (3) The primary valuation technique uses the income and/or market approach; the key inputs to the valuation are yield/discount rates and market multiples. (4) Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of CIVs, for which it is calculated as a percentage of fair value. (5) See CFE fair value methodology described above for consolidated CLOs. (6) Earnings before interest, taxes, depreciation, and amortization (EBITDA). Quantitative Information About Level 3 Fair Value Inputs As of December 31, 2021
Financial Instrument Description |  | Fair Value (in millions) |  | Significant Unobservable Inputs |  | Range |  | Weighted Average (4)
Assets (2): |  |  |  |  |  |  |  |  |  |
Fixed-maturity securities, available-for-sale (1): |  |  |  |  |  |  |  |  |  |
Obligations of state and political subdivisions |  | $ | 72 |  |  | Yield |  | 4.4 | % | - | 24.5% |  | 6.2%
RMBS |  | 216 |  |  | CPR |  | 0.0 | % | - | 22.7% |  | 10.4%
|  | CDR |  | 1.4 | % | - | 12.0% |  | 5.9%
|  | Loss severity |  | 50.0 | % | - | 125.0% |  | 84.9%
|  | Yield |  | 3.8 | % | - | 5.6% |  | 4.5%
Asset-backed securities: |  |  |  |  |  |  |  |  |  |
Life insurance transactions |  | 367 |  |  | Yield |  | 5.0% |  |
CLOs |  | 458 |  |  | Discount margin |  | 0.0 | % | - | 2.9% |  | 1.8%
Others |  | 38 |  |  | Yield |  | 3.2 | % | - | 7.9% |  | 7.9%
FG VIEs’ assets (1) |  | 260 |  |  | CPR |  | 0.9 | % | - | 24.5% |  | 13.3%
|  | CDR |  | 1.4 | % | - | 26.9% |  | 7.6%
|  | Loss severity |  | 45.0 | % | - | 100.0% |  | 81.6%
|  | Yield |  | 1.4 | % | - | 8.0% |  | 4.6%
Assets of CIVs (3): |  |  |  |  |  |  |  |  |  |
Equity securities and warrants |  | 239 |  |  | Yield |  | 7.7% |  |
|  |  |  | Discount rate |  | 14.7 | % | - | 23.9% |  | 21.6%
|  |  |  | Market multiple-enterprise value/revenue |  | 1.10x |  |
|  |  |  | Market multiple-enterprise value/EBITDA |  | 3.00x |  | 10.50x |  | 8.95x
|  |  |  | Market multiple-price to book |  | 1.85x |  |
Corporate securities |  | 91 |  |  | Discount rate |  | 14.7 | % | - | 21.4% |  | 17.8%
|  |  |  | Yield |  | 16.4% |  |
Other assets (1) |  | 23 |  |  | Implied Yield |  | 2.7 | % | - | 3.3% |  | 3.0%
|  |  |  | Term (years) |  | 10 years |  |
Liabilities (1): |  |  |  |  |  |  |  |
Credit derivative liabilities, net |  | (154) |  |  | Year 1 loss estimates |  | 0.0 | % | - | 85.8% |  | 0.1%
|  | Hedge cost (in bps) |  | 8.0 | - | 37.1 |  | 12.6
|  | Bank profit (in bps) |  | 0.0 | - | 187.8 |  | 67.9
|  | Internal floor (in bps) |  | 8.8 |  |
|  | Internal credit rating |  | AAA | - | CCC |  | AA
FG VIEs’ liabilities |  | (289) |  |  | CPR |  | 0.9 | % | - | 24.5% |  | 13.3%
|  | CDR |  | 1.4 | % | - | 26.9% |  | 7.6%
|  | Loss severity |  | 45.0 | % | - | 100.0% |  | 81.6%
|  | Yield |  | 1.4 | % | - | 8.0% |  | 3.7%
Liabilities of CIVs: |  |  |  |  |  |  |  |  |  |
CLO obligations of CFEs (5) |  | (3,665) |  |  | Yield |  | 1.6 | % | - | 13.7% |  | 2.1%
Warehouse financing debt |  | (23) |  |  | Yield |  | 12.6 | % | - | 16.0% |  | 13.8%
Securitized borrowing |  | (17) |  |  | Discount rate |  | 23.9% |  |
|  |  |  | Market multiple-enterprise value/revenue |  | 10.50x |  |
____________________ (1) Discounted cash flow is used as the primary valuation technique. (2) Excludes several investments reported in “other invested assets” with a fair value of $6 million. (3) The primary valuation technique uses the income and/or market approach, the key inputs to the valuation are yield/discount rates and market multiples. (4) Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of CIVs, for which it is calculated as a percentage of fair value. (5) See CFE fair value methodology described above for consolidated CLOs.
Fair Value Disclosure of Asset and Liability Not Measured at Fair Value | The carrying amount and estimated fair value of the Company’s financial instruments not carried at fair value are presented in the following table. Fair Value of Financial Instruments Not Carried at Fair Value
| As of June 30, 2022 |  | As of December 31, 2021
| Carrying Amount |  | Estimated Fair Value |  | Carrying Amount |  | Estimated Fair Value
| (in millions)
Assets (liabilities): |  |  |  |  |  |  |
Assets of CIVs (1) | $ | 118 |  |  | $ | 118 |  |  | $ | 171 |  |  | $ | 171 |
Other assets (including other invested assets) (2) | 102 |  |  | 103 |  |  | 134 |  |  | 135 |
Financial guaranty insurance contracts (3) | (2,537) |  |  | (1,595) |  |  | (2,394) |  |  | (2,315) |
Long-term debt | (1,674) |  |  | (1,539) |  |  | (1,673) |  |  | (1,832) |
Liabilities of CIVs (4) | (442) |  |  | (442) |  |  | (586) |  |  | (586) |
Other liabilities (5) | (48) |  |  | (50) |  |  | (45) |  |  | (45) |
____________________ (1) Includes due from brokers and counterparties and cash equivalents. Carrying value approximates fair value. (2) Primarily includes accrued interest, receivable for an unsettled sale of a portion of the Puerto Rico salvage and subrogation recoverable, management fees receivables and receivables for securities sold for which carrying value approximates fair value. (3) Carrying amount includes the assets and liabilities related to financial guaranty insurance contract premiums, losses, and salvage and subrogation and other recoverables net of reinsurance. (4) Includes due to brokers and counterparties and fund’s loan payable. Carrying value approximates fair value. (5) Includes accrued interest, repurchase agreement liability and payables for securities purchased for which carrying value approximates fair value.

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