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Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2023

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 March 31, 2023

			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			$	—					$	3,050					$	47					$	3,097
U.S. government and agencies			—						88						—						88
Corporate securities			—						2,153						—						2,153
Mortgage-backed securities:
RMBS			—						176						174						350
CMBS			—						258						—						258
Asset-backed securities			—						27						795						822
Non-U.S. government securities			—						101						—						101
Total fixed-maturity securities, available-for-sale			—						5,853						1,016						6,869
Fixed-maturity securities, trading			—						300						—						300
Short-term investments			1,240						33						—						1,273
Other invested assets (1)			—						—						5						5
FG VIEs’ assets			—						216						197						413
Assets of CIVs (2):
Fund investments:
Equity securities and warrants			—						5						329						334
Corporate securities			—						—						93						93
Structured products			—						77						17						94
CLOs and CLO warehouse assets:
Loans			—						4,447						—						4,447
Short-term investments			94						—						—						94
Total assets of CIVs			94						4,529						439						5,062
Assets held for sale			1						—						—						1
Other assets			60						47						33						140
Total assets carried at fair value			$	1,395					$	10,978					$	1,690					$	14,063
Liabilities:
Credit derivative liabilities			$	—					$	—					$	150					$	150
FG VIEs’ liabilities (3)			—						—						704						704
Liabilities of CIVs:
CLO obligations of CFEs			—						—						4,155						4,155
Warehouse financing debt			—						132						37						169
Securitized borrowing			—						—						28						28
Total liabilities of CIVs			—						132						4,220						4,352
Liabilities held for sale			—						7						—						7
Total liabilities carried at fair value			$	—					$	139					$	5,074					$	5,213

Fair Value Hierarchy of Financial Instruments Carried at Fair Value

As of December 31, 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			$	—					$	3,347					$	47					$	3,394
U.S. government and agencies			—						111						—						111
Corporate securities			—						2,084						—						2,084
Mortgage-backed securities:
RMBS			—						161						179						340
CMBS			—						271						—						271
Asset-backed securities			—						27						794						821
Non-U.S. government securities			—						98						—						98
Total fixed-maturity securities, available-for-sale			—						6,099						1,020						7,119
Fixed-maturity securities, trading			—						303						—						303
Short-term investments			771						39						—						810
Other invested assets (1)			2						—						5						7
FG VIEs’ assets			—						209						204						413
Assets of CIVs (2):
Fund investments:
Equity securities and warrants			—						5						297						302
Corporate securities			—						—						96						96
Structured products			—						82						46						128
CLOs and CLO warehouse assets:
Loans			—						4,570						—						4,570
Short-term investments			135						—						—						135
Total assets of CIVs			135						4,657						439						5,231
Other assets			54						46						48						148
Total assets carried at fair value			$	962					$	11,353					$	1,716					$	14,031
Liabilities:
Credit derivative liabilities			$	—					$	—					$	163					$	163
FG VIEs’ liabilities (3)			—						—						715						715
Liabilities of CIVs:
CLO obligations of CFEs			—						—						4,090						4,090
Warehouse financing debt			—						277						36						313
Securitized borrowing			—						—						28						28
Total liabilities of CIVs			—						277						4,154						4,431
Other liabilities			—						7						—						7
Total liabilities carried at fair value			$	—					$	284					$	5,032					$	5,316

___________________

(1)    Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. Excludes $22 million and $23 million of equity method investments measured at fair value under the FVO using the NAV as a practical expedient as of March 31, 2023 and December 31, 2022, respectively.

(2)    Excludes $5 million as of both March 31, 2023 and December 31, 2022, in investments in AssuredIM Funds for which the Company records a 100% NCI. The consolidation of these funds results in a gross up of assets and NCI on the consolidated financial statements; however, it results in no economic equity or net income attributable to AGL. As of December 31, 2022, excludes $127 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 first quarter 2023 and first quarter 2022.

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

First Quarter 2023

			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, 2022			$	47					$	179					$	794					$	204					$	297					$	96					$	46					$	50
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)			—						3			(1)			3			(1)			1			(2)			33			(4)			(2)			(4)			2			(4)			(16)			(3)
Other comprehensive income (loss)			1						(1)						(3)						—						—						—						—						—
Purchases			—						—						5						—						4						4						—						—
Sales			—						—						—						—						(5)						(5)						(31)						—
Settlements			(1)						(7)						(4)						(8)						—						—						—						—
Fair value as of March 31, 2023			$	47					$	174					$	795					$	197					$	329					$	93					$	17					$	34
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2023 included in:
Earnings																					$	—		(2)			$	32		(4)			$	(3)		(4)			$	—		(4)			$	(16)		(3)
OCI			$	1					$	(1)					$	(3)																													$	—

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

First Quarter 2023

			Credit Derivative Liability, net (5)						FG VIEs’ Liabilities (8)						Liabilities of CIVs
			(in millions)
Fair value as of December 31, 2022			$	(162)					$	(715)					$	(4,154)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)			15			(6)			3			(2)			(62)			(4)
Other comprehensive income (loss)			—						(1)						(8)
Settlements			(1)						9						4
Fair value as of March 31, 2023			$	(148)					$	(704)					$	(4,220)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2023 included in:
Earnings			$	14		(6)			$	(2)		(2)			$	(65)		(4)
OCI									$	(1)					$	(8)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

First 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						Corporate Securities						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)			—						4			(1)			3			(1)			(3)			(2)			10			(4)			(1)			(4)			1			(3)
Other comprehensive income (loss)			(5)						(8)						(7)						(1)						—						—						—
Purchases			4						—						25						—						—						1						—
Sales			—						—						(3)						—						(6)						(8)						—
Settlements			(1)						(12)						(39)						(18)						—						—						—
Consolidations			—						—						—						29						—						—						—
Fair value as of March 31, 2022			$	70					$	200					$	842					$	267					$	243					$	83					$	28
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2022 included in:
Earnings																					$	(3)		(2)			$	8					$	(2)		(4)			$	1		(3)
OCI			$	(5)					$	(7)					$	(7)					$	(1)																	$	—

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

First Quarter 2022

			Credit Derivative 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)			(3)			(6)			15			(2)			64			(4)
Other comprehensive income (loss)			—						—						—
Issuances			—						—						(381)
Settlements			1						41						372
Consolidations			—						(102)						—
Fair value as of March 31, 2022			$	(156)					$	(335)					$	(3,650)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2022 included in:
Earnings			$	(3)		(6)			$	38		(2)			$	41		(4)
OCI									$	—

____________________

(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 (loss)”.

(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 first quarter 2023 and first quarter 2022.

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

First Quarter 2023

			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, 2022			$	47					$	179					$	794					$	204					$	297					$	96					$	46					$	50
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)			—						3			(1)			3			(1)			1			(2)			33			(4)			(2)			(4)			2			(4)			(16)			(3)
Other comprehensive income (loss)			1						(1)						(3)						—						—						—						—						—
Purchases			—						—						5						—						4						4						—						—
Sales			—						—						—						—						(5)						(5)						(31)						—
Settlements			(1)						(7)						(4)						(8)						—						—						—						—
Fair value as of March 31, 2023			$	47					$	174					$	795					$	197					$	329					$	93					$	17					$	34
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2023 included in:
Earnings																					$	—		(2)			$	32		(4)			$	(3)		(4)			$	—		(4)			$	(16)		(3)
OCI			$	1					$	(1)					$	(3)																													$	—

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

First Quarter 2023

			Credit Derivative Liability, net (5)						FG VIEs’ Liabilities (8)						Liabilities of CIVs
			(in millions)
Fair value as of December 31, 2022			$	(162)					$	(715)					$	(4,154)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)			15			(6)			3			(2)			(62)			(4)
Other comprehensive income (loss)			—						(1)						(8)
Settlements			(1)						9						4
Fair value as of March 31, 2023			$	(148)					$	(704)					$	(4,220)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2023 included in:
Earnings			$	14		(6)			$	(2)		(2)			$	(65)		(4)
OCI									$	(1)					$	(8)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

First 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						Corporate Securities						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)			—						4			(1)			3			(1)			(3)			(2)			10			(4)			(1)			(4)			1			(3)
Other comprehensive income (loss)			(5)						(8)						(7)						(1)						—						—						—
Purchases			4						—						25						—						—						1						—
Sales			—						—						(3)						—						(6)						(8)						—
Settlements			(1)						(12)						(39)						(18)						—						—						—
Consolidations			—						—						—						29						—						—						—
Fair value as of March 31, 2022			$	70					$	200					$	842					$	267					$	243					$	83					$	28
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2022 included in:
Earnings																					$	(3)		(2)			$	8					$	(2)		(4)			$	1		(3)
OCI			$	(5)					$	(7)					$	(7)					$	(1)																	$	—

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

First Quarter 2022

			Credit Derivative 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)			(3)			(6)			15			(2)			64			(4)
Other comprehensive income (loss)			—						—						—
Issuances			—						—						(381)
Settlements			1						41						372
Consolidations			—						(102)						—
Fair value as of March 31, 2022			$	(156)					$	(335)					$	(3,650)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2022 included in:
Earnings			$	(3)		(6)			$	38		(2)			$	41		(4)
OCI									$	—

____________________

(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 (loss)”.

(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 March 31, 2023

Financial Instrument Description						Fair Value Assets (Liabilities) (in millions)						Significant Unobservable Inputs						Range												Weighted Average (4)
Investments (2):
Fixed-maturity securities, available-for-sale (1):
Obligations of state and political subdivisions						$	47					Yield						7.2		%	-			12.8%						9.1%
RMBS						174						CPR						2.2		%	-			15.3%						5.6%
												CDR						1.5		%	-			16.0%						6.1%
												Loss severity						50.0		%	-			125.0%						82.5%
												Yield						7.1		%	-			11.0%						8.6%
Asset-backed securities:
Life insurance transactions						340						Yield						11.4%
CLOs						433						Discount Margin						1.8		%	-			4.0%						2.9%
Others						22						Yield						6.7		%	-			12.9%						12.8%
FG VIEs’ assets (1)						197						CPR						2.3		%	-			24.8%						10.2%
												CDR						1.3		%	-			41.0%						9.1%
												Loss severity						45.0		%	-			100.0%						82.4%
												Yield						7.4		%	-			10.4%						9.1%
Assets of CIVs (3):
Equity securities and warrants						329						Yield						8.7%
												Discount rate						20.4		%	-			27.2%						22.9%
												Market multiple-enterprise value/revenue						1.05x			-			1.10x						1.08x
												Market multiple-enterprise value/EBITDA (6)						2.50x			-			11.50x						10.67x
												Market multiple-price to book						1.10x
												Market multiple-price to earnings						5.25x
												Terminal growth rate						3.0		%	-			4.0%						3.5%
												Exit multiple-EBITDA						8.00x			-			12.00x						10.14x
												Exit multiple-price to book						1.30x
												Exit multiple-price to earnings						5.50x
												Cost						1.00x
												Sale scenario - discount rate						4.4		%	-			5.5%						4.9%
												Haircut to Holdback						30.0		%	-			95.0%						62.5%
Corporate securities						93						Discount rate						20.6		%	-			21.1%						20.7%
												Yield						16.3%
												Exit multiple-EBITDA						8.00x
												Cost						1.00x
												Market multiple-enterprise value/EBITDA						2.50x			-			2.75x						2.63x
												Sale scenario - discount rate						4.4		%	-			5.5%						4.9%
												Haircut to Holdback						30.0		%	-			95.0%						62.5%
Structured products						17						Yield						15.7		%	-			26.9%						20.8%
Other assets (1)						31						Implied Yield						7.8		%	-			8.3%						8.0%
												Term (years)						10 years

Financial Instrument Description						Fair Value Assets (Liabilities) (in millions)						Significant Unobservable Inputs						Range												Weighted Average (4)
Credit derivative liabilities, net (1)						$	(148)					Hedge cost (in bps)						15.0			-			33.0						20.6
												Bank profit (in bps)						49.6			-			306.8						109.5
												Internal credit rating						AAA			-			CCC						AA
FG VIEs’ liabilities (1)						(704)						CPR						2.3		%	-			24.8%						10.2%
												CDR						1.3		%	-			41.0%						9.1%
												Loss severity						45.0		%	-			100.0%						82.4%
												Yield						4.5		%	-			10.4%						5.7%
Liabilities of CIVs (1):
CLO obligations of CFEs (5)						(4,155)						Yield						3.9		%	-			21.5%						6.5%
Warehouse financing debt						(37)						Yield						0.0		%	-			9.5%						6.9%
Securitized borrowing						(28)						Discount rate						23.7%
												Terminal growth rate						3.0%
												Exit multiple-EBITDA						11.00x
												Market multiple-enterprise value/EBITDA						10.50x			-			11.50x						11.00x

___________________

(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 $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, 2022

Financial Instrument Description						Fair Value Assets (Liabilities) (in millions)						Significant Unobservable Inputs						Range												Weighted Average (4)
Investments (2):
Fixed-maturity securities, available-for-sale (1):
Obligations of state and political subdivisions						$	47					Yield						7.4		%	-			13.5%						9.4%
RMBS						179						CPR						3.8		%	-			16.1%						8.2%
												CDR						1.5		%	-			12.0%						5.9%
												Loss severity						50.0		%	-			125.0%						82.5%
												Yield						7.5		%	-			11.3%						9.0%
Asset-backed securities:
Life insurance transactions						342						Yield						11.3%
CLOs						428						Discount Margin						1.8		%	-			4.1%						3.0%
Others						24						Yield						7.4		%	-			12.9%						12.8%
FG VIEs’ assets (1)						204						CPR						0.9		%	-			21.9%						12.9%
												CDR						1.3		%	-			41.0%						7.6%
												Loss severity						45.0		%	-			100.0%						81.0%
												Yield						6.6		%	-			10.9%						7.5%
Assets of CIVs (3):
Equity securities and warrants						297						Yield						10.0%
												Discount rate						19.8%			-			25.1%						22.7%
												Market multiple-enterprise value/revenue						1.05x			-			1.10x						1.08x
												Market multiple-enterprise value/EBITDA						2.50x			-			11.00x						10.25x
												Market multiple-price to book						1.15x
												Market multiple-price to earnings						4.50x
												Terminal growth rate						3.0%			-			4.0%						3.5%
												Exit multiple-EBITDA						8.00x			-			12.00x						10.53x
												Exit multiple-price to book						1.30x
												Exit multiple-price to earnings						5.50x
												Cost						1.00x
Corporate securities						96						Discount rate						20.8		%	-			23.8%						21.7%
												Yield						16.3%
												Exit multiple-EBITDA						8.00x
												Cost						1.00x
												Market multiple-enterprise value/EBITDA						2.50x			-			2.75x						2.63x
Structured products						46						Yield						12.8		%	-			37.1%						18.9%
Other assets (1)						47						Implied Yield						7.7		%	-			8.4%						8.1%
												Term (years)						10 years

Financial Instrument Description						Fair Value Assets (Liabilities) (in millions)						Significant Unobservable Inputs						Range												Weighted Average (4)
Credit derivative liabilities, net (1)						(162)						Year 1 loss estimates						11.5		%	-			25.2%						15.7%
												Bank profit (in bps)						51.0			-			270.5						109.4
												Internal credit rating						AAA			-			CCC						AA
FG VIEs’ liabilities (1)						(715)						CPR						0.9		%	-			21.9%						6.3%
												CDR						1.3		%	-			41.0%						3.7%
												Loss severity						45.0		%	-			100.0%						39.9%
												Yield						4.8		%	-			10.9%						5.9%
Liabilities of CIVs (1):
CLO obligations of CFEs (5)						(4,090)						Yield						3.0		%	-			27.4%						5.5%
Warehouse financing debt						(36)						Yield						11.7		%	-			16.9%						12.9%
Securitized borrowing						(28)						Discount rate						20.9%
												Terminal growth rate						3.0%
												Exit multiple-EBITDA						11.00x
												Market multiple-enterprise value/EBITDA						10.00x			-			11.00x						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 $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.

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 March 31, 2023												As of December 31, 2022
			Carrying Amount						Estimated Fair Value						Carrying Amount						Estimated Fair Value
			(in millions)
Assets (liabilities):
Assets of CIVs (1)			$	64					$	64					$	46					$	46
Assets held for sale			10						10						—						—
Other assets (including other invested assets) (2)			101						102						92						93
Financial guaranty insurance contracts (3)			(2,296)						(1,083)						(2,335)						(986)
Long-term debt			(1,676)						(1,497)						(1,675)						(1,477)
Liabilities of CIVs (4)			(102)						(102)						(170)						(170)
Liabilities held for sale			(36)						(36)						—						—
Other liabilities (5)			(33)						(33)						(43)						(43)

____________________

(1)    Includes due from brokers and counterparties and cash equivalents. Carrying value approximates fair value.

(2)    Primarily includes accrued interest, management fees receivables for December 31, 2022, a participation loan, 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)    Primarily includes accrued interest, repurchase agreement liability as of December 31, 2022, and payables for securities purchased for which carrying value approximates fair value.

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