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Fair Value Measurement (Tables) | 9 Months Ended
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Sep. 30, 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 September 30, 2023
| Fair Value Hierarchy |  |
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| (in millions)
Assets: |  |  |  |  |  |  |
Fixed-maturity securities, available-for-sale |  |  |  |  |  |  |
Obligations of state and political subdivisions | $ | — |  |  | $ | 2,764 |  |  | $ | 2 |  |  | $ | 2,766 |
U.S. government and agencies | — |  |  | 58 |  |  | — |  |  | 58 |
Corporate securities | — |  |  | 2,009 |  |  | — |  |  | 2,009 |
Mortgage-backed securities: |  |  |  |  |  |  |
RMBS | — |  |  | 177 |  |  | 153 |  |  | 330 |
CMBS | — |  |  | 188 |  |  | — |  |  | 188 |
Asset-backed securities | — |  |  | 27 |  |  | 796 |  |  | 823 |
Non-U.S. government securities | — |  |  | 93 |  |  | — |  |  | 93 |
Total fixed-maturity securities, available-for-sale | — |  |  | 5,316 |  |  | 951 |  |  | 6,267 |
Fixed-maturity securities, trading | — |  |  | 350 |  |  | — |  |  | 350 |
Short-term investments | 1,418 |  |  | 8 |  |  | — |  |  | 1,426 |
Other invested assets (1) | — |  |  | — |  |  | 3 |  |  | 3 |
FG VIEs’ assets | — |  |  | 146 |  |  | 180 |  |  | 326 |
Assets of CIVs: |  |  |  |  |  |  |
Equity securities and warrants | — |  |  | 4 |  |  | 75 |  |  | 79 |
Structured products | — |  |  | 66 |  |  | 173 |  |  | 239 |
Total assets of CIVs | — |  |  | 70 |  |  | 248 |  |  | 318 |
Other assets | 51 |  |  | 48 |  |  | 13 |  |  | 112 |
Total assets carried at fair value | $ | 1,469 |  |  | $ | 5,938 |  |  | $ | 1,395 |  |  | $ | 8,802 |
Liabilities: |  |  |  |  |  |  |
Credit derivative liabilities | $ | — |  |  | $ | — |  |  | $ | 50 |  |  | $ | 50 |
FG VIEs’ liabilities (3) | — |  |  | — |  |  | 542 |  |  | 542 |
Total liabilities carried at fair value | $ | — |  |  | $ | — |  |  | $ | 592 |  |  | $ | 592 |
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: |  |  |  |  |  |  |
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. (2) As of December 31, 2022, excludes $5 million in investments in AssuredIM funds for which the Company recorded a 100% NCI. The consolidation of these funds resulted in a gross up of assets and NCI on the consolidated financial statements; however, it resulted in no economic equity or net income attributable to AGL. (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 third quarter 2023, third quarter 2022, nine months 2023 and nine months 2022. Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Third 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 June 30, 2023 | $ | 46 |  |  | $ | 162 |  |  | $ | 800 |  |  | $ | 188 |  |  | $ | 290 |  |  | $ | 84 |  |  | $ | — |  |  | $ | 33 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | — |  |  | 4 |  | (1) | 13 |  | (1) | 1 |  | (2) | 5 |  | (4) | — |  |  | 7 |  | (4) | (20) |  | (3)
Other comprehensive income (loss) | (3) |  |  | (6) |  |  | (2) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Purchases | — |  |  | — |  |  | — |  |  | — |  |  | 3 |  |  | — |  |  | — |  |  | — |  |
Sales | — |  |  | — |  |  | — |  |  | — |  |  | (4) |  |  | — |  |  | — |  |  | — |  |
Settlements | (1) |  |  | (7) |  |  | (15) |  |  | (9) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Consolidations | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Deconsolidations | — |  |  | — |  |  | — |  |  | — |  |  | (219) |  |  | (84) |  |  | 166 |  |  | — |  |
Transfers out of Level 3 | (40) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Fair value as of September 30, 2023 | $ | 2 |  |  | $ | 153 |  |  | $ | 796 |  |  | $ | 180 |  |  | $ | 75 |  |  | $ | — |  |  | $ | 173 |  |  | $ | 13 |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | — |  |  | $ | 6 |  | (4) | $ | — |  |  | $ | 7 |  | (4) | $ | (20) |  | (3)
OCI | $ | — |  |  | $ | (6) |  |  | $ | 3 |  |  |  |  |  |  |  |  |  |  | $ | — |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Third Quarter 2023
| Credit Derivative Liability, net (5) |  | FG VIEs’ Liabilities (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of June 30, 2023 | $ | (57) |  |  | $ | (699) |  |  | $ | (4,199) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | 9 |  | (6) | 17 |  | (2) | — |  |
Other comprehensive income (loss) | — |  |  | 13 |  |  | — |  |
Settlements | (1) |  |  | 127 |  |  | — |  |
Deconsolidations | — |  |  | — |  |  | 4,199 |  |
Fair value as of September 30, 2023 | $ | (49) |  |  | $ | (542) |  |  | $ | — |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in: |  |  |  |  |  |
Earnings | $ | 9 |  | (6) | $ | 9 |  | (2) | $ | — |  |
OCI |  |  | $ | 13 |  |  | $ | — |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Third 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 June 30, 2022 | $ | 51 |  |  | $ | 184 |  |  | $ | 805 |  |  | $ | 223 |  |  | $ | 258 |  |  | $ | 90 |  |  | $ | 38 |  |  | $ | 37 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | — |  |  | 3 |  | (1) | 2 |  | (1) | 3 |  | (2) | (11) |  | (4) | (2) |  | (4) | (3) |  | (4) | 1 |  | (3)
Other comprehensive income (loss) | (3) |  |  | (8) |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Purchases | — |  |  | 22 |  |  | 4 |  |  | — |  |  | 52 |  |  | 1 |  |  | 8 |  |  | — |  |
Sales | — |  |  | — |  |  | (1) |  |  | — |  |  | (2) |  |  | (2) |  |  | — |  |  | — |  |
Settlements | — |  |  | (9) |  |  | (5) |  |  | (16) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Fair value as of September 30, 2022 | $ | 48 |  |  | $ | 192 |  |  | $ | 806 |  |  | $ | 210 |  |  | $ | 297 |  |  | $ | 87 |  |  | $ | 43 |  |  | $ | 38 |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | 3 |  | (2) | $ | (11) |  | (4) | $ | (2) |  | (4) | $ | (3) |  | (4) | $ | 1 |  | (3)
OCI | $ | (3) |  |  | $ | (8) |  |  | $ | 1 |  |  |  |  |  |  |  |  |  |  | $ | — |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Third Quarter 2022
| Credit Derivative Liability, net (5) |  | FG VIEs’ Liabilities (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of June 30, 2022 | $ | (147) |  |  | $ | (282) |  |  | $ | (3,987) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | (48) |  | (6) | 8 |  | (2) | (31) |  | (4)
Other comprehensive income (loss) | — |  |  | (4) |  |  | 41 |  |
Issuances | — |  |  | — |  |  | (8) |  |
Sales | — |  |  | — |  |  | 2 |  |
Settlements | 1 |  |  | 27 |  |  | — |  |
Consolidations | — |  |  | — |  |  | (26) |  |
Fair value as of September 30, 2022 | $ | (194) |  |  | $ | (251) |  |  | $ | (4,009) |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: |  |  |  |  |  |
Earnings | $ | (46) |  | (6) | $ | 8 |  | (2) | $ | (13) |  | (4)
OCI |  |  | $ | (4) |  |  | $ | 41 |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Nine Months 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) | 1 |  | (1) | 11 |  | (1) | 13 |  | (1) | — |  |  | 45 |  | (4) | (3) |  | (4) | 9 |  | (4) | (33) |  | (3)
Other comprehensive income (loss) | (3) |  |  | (14) |  |  | (10) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Purchases | — |  |  | — |  |  | 23 |  |  | — |  |  | 41 |  |  | 6 |  |  | — |  |  | — |  |
Sales | — |  |  | — |  |  | (2) |  |  | — |  |  | (89) |  |  | (15) |  |  | (48) |  |  | — |  |
Settlements | (3) |  |  | (23) |  |  | (22) |  |  | (24) |  |  | — |  |  | — |  |  | — |  |  | (4) |  |
Deconsolidations | — |  |  | — |  |  | — |  |  | — |  |  | (219) |  |  | (84) |  |  | 166 |  |  | — |  |
Transfers out of Level 3 | (40) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Fair value as of September 30, 2023 | $ | 2 |  |  | $ | 153 |  |  | $ | 796 |  |  | $ | 180 |  |  | $ | 75 |  |  | $ | — |  |  | $ | 173 |  |  | $ | 13 |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | (3) |  | (2) | $ | 6 |  | (4) | $ | — |  |  | $ | 7 |  | (4) | $ | (33) |  | (3)
OCI | $ | — |  |  | $ | (13) |  |  | $ | — |  |  |  |  |  |  |  |  |  |  | $ | — |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Nine Months 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) | 115 |  | (6) | 18 |  | (2) | (45) |  | (4)
Other comprehensive income (loss) | — |  |  | 14 |  |  | (13) |  |
Settlements | (2) |  |  | 141 |  |  | 13 |  |
Deconsolidations | — |  |  | — |  |  | 4,199 |  |
Fair value as of September 30, 2023 | $ | (49) |  |  | $ | (542) |  |  | $ | — |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in: |  |  |  |  |  |
Earnings | $ | 114 |  | (6) | $ | 11 |  | (2) | $ | — |  |
OCI |  |  | $ | 14 |  |  | $ | — |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Nine 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 |  | 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) | — |  |  | 13 |  | (1) | 2 |  | (1) | — |  |  | 15 |  | (4) | 4 |  | (4) | (6) |  | (4) | 12 |  | (3)
Other comprehensive income (loss) | (11) |  |  | (27) |  |  | (36) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (1) |  |
Purchases | — |  |  | 22 |  |  | 39 |  |  | — |  |  | 57 |  |  | 2 |  |  | 50 |  |  | — |  |
Sales | — |  |  | — |  |  | (13) |  |  | — |  |  | (14) |  |  | (10) |  |  | (21) |  |  | — |  |
Settlements | (13) |  |  | (32) |  |  | (49) |  |  | (50) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Consolidations | — |  |  | — |  |  | — |  |  | 15 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Deconsolidations | — |  |  | — |  |  | — |  |  | (15) |  |  | — |  |  | — |  |  | 20 |  |  | — |  |
Fair value as of September 30, 2022 | $ | 48 |  |  | $ | 192 |  |  | $ | 806 |  |  | $ | 210 |  |  | $ | 297 |  |  | $ | 87 |  |  | $ | 43 |  |  | $ | 38 |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | 1 |  | (2) | $ | 7 |  | (4) | $ | 3 |  | (4) | $ | (6) |  | (4) | $ | 12 |  | (3)
OCI | $ | (13) |  |  | $ | (25) |  |  | $ | (35) |  |  |  |  |  |  |  |  |  |  | $ | (1) |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Nine Months 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) | (42) |  | (6) | 34 |  | (2) | 264 |  | (4)
Other comprehensive income (loss) | — |  |  | (1) |  |  | 97 |  |
Issuances | — |  |  | — |  |  | (1,416) |  |
Sales | — |  |  | — |  |  | 2 |  |
Settlements | 2 |  |  | 92 |  |  | 401 |  |
Consolidations | — |  |  | (102) |  |  | (26) |  |
Deconsolidations | — |  |  | 15 |  |  | 374 |  |
Fair value as of September 30, 2022 | $ | (194) |  |  | $ | (251) |  |  | $ | (4,009) |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: |  |  |  |  |  |
Earnings | $ | (41) |  | (6) | $ | 57 |  | (2) | $ | 289 |  | (4)
OCI |  |  | $ | (1) |  |  | $ | 97 |  |
____________________ (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 third quarter 2023, third quarter 2022, nine months 2023 and nine months 2022. Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Third 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 June 30, 2023 | $ | 46 |  |  | $ | 162 |  |  | $ | 800 |  |  | $ | 188 |  |  | $ | 290 |  |  | $ | 84 |  |  | $ | — |  |  | $ | 33 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | — |  |  | 4 |  | (1) | 13 |  | (1) | 1 |  | (2) | 5 |  | (4) | — |  |  | 7 |  | (4) | (20) |  | (3)
Other comprehensive income (loss) | (3) |  |  | (6) |  |  | (2) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Purchases | — |  |  | — |  |  | — |  |  | — |  |  | 3 |  |  | — |  |  | — |  |  | — |  |
Sales | — |  |  | — |  |  | — |  |  | — |  |  | (4) |  |  | — |  |  | — |  |  | — |  |
Settlements | (1) |  |  | (7) |  |  | (15) |  |  | (9) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Consolidations | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Deconsolidations | — |  |  | — |  |  | — |  |  | — |  |  | (219) |  |  | (84) |  |  | 166 |  |  | — |  |
Transfers out of Level 3 | (40) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Fair value as of September 30, 2023 | $ | 2 |  |  | $ | 153 |  |  | $ | 796 |  |  | $ | 180 |  |  | $ | 75 |  |  | $ | — |  |  | $ | 173 |  |  | $ | 13 |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | — |  |  | $ | 6 |  | (4) | $ | — |  |  | $ | 7 |  | (4) | $ | (20) |  | (3)
OCI | $ | — |  |  | $ | (6) |  |  | $ | 3 |  |  |  |  |  |  |  |  |  |  | $ | — |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Third Quarter 2023
| Credit Derivative Liability, net (5) |  | FG VIEs’ Liabilities (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of June 30, 2023 | $ | (57) |  |  | $ | (699) |  |  | $ | (4,199) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | 9 |  | (6) | 17 |  | (2) | — |  |
Other comprehensive income (loss) | — |  |  | 13 |  |  | — |  |
Settlements | (1) |  |  | 127 |  |  | — |  |
Deconsolidations | — |  |  | — |  |  | 4,199 |  |
Fair value as of September 30, 2023 | $ | (49) |  |  | $ | (542) |  |  | $ | — |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in: |  |  |  |  |  |
Earnings | $ | 9 |  | (6) | $ | 9 |  | (2) | $ | — |  |
OCI |  |  | $ | 13 |  |  | $ | — |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Third 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 June 30, 2022 | $ | 51 |  |  | $ | 184 |  |  | $ | 805 |  |  | $ | 223 |  |  | $ | 258 |  |  | $ | 90 |  |  | $ | 38 |  |  | $ | 37 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | — |  |  | 3 |  | (1) | 2 |  | (1) | 3 |  | (2) | (11) |  | (4) | (2) |  | (4) | (3) |  | (4) | 1 |  | (3)
Other comprehensive income (loss) | (3) |  |  | (8) |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Purchases | — |  |  | 22 |  |  | 4 |  |  | — |  |  | 52 |  |  | 1 |  |  | 8 |  |  | — |  |
Sales | — |  |  | — |  |  | (1) |  |  | — |  |  | (2) |  |  | (2) |  |  | — |  |  | — |  |
Settlements | — |  |  | (9) |  |  | (5) |  |  | (16) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Fair value as of September 30, 2022 | $ | 48 |  |  | $ | 192 |  |  | $ | 806 |  |  | $ | 210 |  |  | $ | 297 |  |  | $ | 87 |  |  | $ | 43 |  |  | $ | 38 |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | 3 |  | (2) | $ | (11) |  | (4) | $ | (2) |  | (4) | $ | (3) |  | (4) | $ | 1 |  | (3)
OCI | $ | (3) |  |  | $ | (8) |  |  | $ | 1 |  |  |  |  |  |  |  |  |  |  | $ | — |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Third Quarter 2022
| Credit Derivative Liability, net (5) |  | FG VIEs’ Liabilities (8) |  | Liabilities of CIVs |
| (in millions)
Fair value as of June 30, 2022 | $ | (147) |  |  | $ | (282) |  |  | $ | (3,987) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |
Net income (loss) | (48) |  | (6) | 8 |  | (2) | (31) |  | (4)
Other comprehensive income (loss) | — |  |  | (4) |  |  | 41 |  |
Issuances | — |  |  | — |  |  | (8) |  |
Sales | — |  |  | — |  |  | 2 |  |
Settlements | 1 |  |  | 27 |  |  | — |  |
Consolidations | — |  |  | — |  |  | (26) |  |
Fair value as of September 30, 2022 | $ | (194) |  |  | $ | (251) |  |  | $ | (4,009) |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: |  |  |  |  |  |
Earnings | $ | (46) |  | (6) | $ | 8 |  | (2) | $ | (13) |  | (4)
OCI |  |  | $ | (4) |  |  | $ | 41 |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Nine Months 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) | 1 |  | (1) | 11 |  | (1) | 13 |  | (1) | — |  |  | 45 |  | (4) | (3) |  | (4) | 9 |  | (4) | (33) |  | (3)
Other comprehensive income (loss) | (3) |  |  | (14) |  |  | (10) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Purchases | — |  |  | — |  |  | 23 |  |  | — |  |  | 41 |  |  | 6 |  |  | — |  |  | — |  |
Sales | — |  |  | — |  |  | (2) |  |  | — |  |  | (89) |  |  | (15) |  |  | (48) |  |  | — |  |
Settlements | (3) |  |  | (23) |  |  | (22) |  |  | (24) |  |  | — |  |  | — |  |  | — |  |  | (4) |  |
Deconsolidations | — |  |  | — |  |  | — |  |  | — |  |  | (219) |  |  | (84) |  |  | 166 |  |  | — |  |
Transfers out of Level 3 | (40) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Fair value as of September 30, 2023 | $ | 2 |  |  | $ | 153 |  |  | $ | 796 |  |  | $ | 180 |  |  | $ | 75 |  |  | $ | — |  |  | $ | 173 |  |  | $ | 13 |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | (3) |  | (2) | $ | 6 |  | (4) | $ | — |  |  | $ | 7 |  | (4) | $ | (33) |  | (3)
OCI | $ | — |  |  | $ | (13) |  |  | $ | — |  |  |  |  |  |  |  |  |  |  | $ | — |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Nine Months 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) | 115 |  | (6) | 18 |  | (2) | (45) |  | (4)
Other comprehensive income (loss) | — |  |  | 14 |  |  | (13) |  |
Settlements | (2) |  |  | 141 |  |  | 13 |  |
Deconsolidations | — |  |  | — |  |  | 4,199 |  |
Fair value as of September 30, 2023 | $ | (49) |  |  | $ | (542) |  |  | $ | — |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in: |  |  |  |  |  |
Earnings | $ | 114 |  | (6) | $ | 11 |  | (2) | $ | — |  |
OCI |  |  | $ | 14 |  |  | $ | — |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Nine 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 |  | 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) | — |  |  | 13 |  | (1) | 2 |  | (1) | — |  |  | 15 |  | (4) | 4 |  | (4) | (6) |  | (4) | 12 |  | (3)
Other comprehensive income (loss) | (11) |  |  | (27) |  |  | (36) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (1) |  |
Purchases | — |  |  | 22 |  |  | 39 |  |  | — |  |  | 57 |  |  | 2 |  |  | 50 |  |  | — |  |
Sales | — |  |  | — |  |  | (13) |  |  | — |  |  | (14) |  |  | (10) |  |  | (21) |  |  | — |  |
Settlements | (13) |  |  | (32) |  |  | (49) |  |  | (50) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Consolidations | — |  |  | — |  |  | — |  |  | 15 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Deconsolidations | — |  |  | — |  |  | — |  |  | (15) |  |  | — |  |  | — |  |  | 20 |  |  | — |  |
Fair value as of September 30, 2022 | $ | 48 |  |  | $ | 192 |  |  | $ | 806 |  |  | $ | 210 |  |  | $ | 297 |  |  | $ | 87 |  |  | $ | 43 |  |  | $ | 38 |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | 1 |  | (2) | $ | 7 |  | (4) | $ | 3 |  | (4) | $ | (6) |  | (4) | $ | 12 |  | (3)
OCI | $ | (13) |  |  | $ | (25) |  |  | $ | (35) |  |  |  |  |  |  |  |  |  |  | $ | (1) |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis Nine Months 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) | (42) |  | (6) | 34 |  | (2) | 264 |  | (4)
Other comprehensive income (loss) | — |  |  | (1) |  |  | 97 |  |
Issuances | — |  |  | — |  |  | (1,416) |  |
Sales | — |  |  | — |  |  | 2 |  |
Settlements | 2 |  |  | 92 |  |  | 401 |  |
Consolidations | — |  |  | (102) |  |  | (26) |  |
Deconsolidations | — |  |  | 15 |  |  | 374 |  |
Fair value as of September 30, 2022 | $ | (194) |  |  | $ | (251) |  |  | $ | (4,009) |  |
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2022 included in: |  |  |  |  |  |
Earnings | $ | (41) |  | (6) | $ | 57 |  | (2) | $ | 289 |  | (4)
OCI |  |  | $ | (1) |  |  | $ | 97 |  |
____________________ (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 September 30, 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 |  | $ | 2 |  |  | Yield |  | 8.8 | % | - | 21.5% |  | 9.1%
RMBS |  | 153 |  |  | CPR |  | 0.0 | % | - | 15.0% |  | 3.9%
|  | CDR |  | 1.4 | % | - | 16.0% |  | 5.7%
|  | Loss severity |  | 50.0 | % | - | 125.0% |  | 82.6%
|  | Yield |  | 8.2 | % | - | 11.9% |  | 9.7%
Asset-backed securities: |  |  |  |  |  |  |  |  |  |
Life insurance transactions |  | 331 |  |  | Yield |  | 8.1% |  |
CLOs |  | 454 |  |  | Discount margin |  | 1.3 | % | - | 7.8% |  | 2.7%
Others |  | 11 |  |  | Yield |  | 6.3 | % | - | 12.3% |  | 12.1%
FG VIEs’ assets (1) |  | 180 |  |  | CPR |  | 0.1 | % | - | 21.2% |  | 8.0%
|  | CDR |  | 1.3 | % | - | 41.0% |  | 9.3%
|  | Loss severity |  | 45.0 | % | - | 100.0% |  | 82.6%
|  | Yield |  | 8.1 | % | - | 11.5% |  | 10.1%
Assets of CIVs (3): |  |  |  |  |  |  |  |  |  |
Equity securities and warrants |  | 75 |  |  | Discount rate |  | 20.9% |  |
|  |  |  | Market multiple-price to book |  | 1.10x |  |
|  |  |  | Market multiple-price to earnings |  | 5.25x |  |
|  |  |  | Terminal growth rate |  | 4.0% |  |
|  |  |  | Exit multiple-price to book |  | 1.10x |  |
|  |  |  | Exit multiple-price to earnings |  | 5.25x |  |
Structured products |  | 173 |  |  | Yield |  | 7.5 | % | - | 28.1% |  | 17.9%
Other assets (1) |  | 12 |  |  | Implied Yield |  | 7.7 | % | - | 8.2% |  | 7.9%
|  | Term (years) |  | 10 years |  |
Credit derivative liabilities, net (1) |  | (49) |  |  | Hedge cost (in bps) |  | 17.2 | - | 39.2 |  | 24.1
|  | Bank profit (in bps) |  | 115.5 | - | 293.2 |  | 155.7
|  | Internal floor (in bps) |  | 10.0 |  |
|  | Internal credit rating |  | AAA | - | CCC |  | A
FG VIEs’ liabilities (1) |  | (542) |  |  | CPR |  | 0.1 | % | - | 21.2% |  | 8.0%
|  | CDR |  | 1.3 | % | - | 41.0% |  | 9.3%
|  | Loss severity |  | 45.0 | % | - | 100.0% |  | 82.6%
|  | Yield |  | 5.5 | % | - | 11.5% |  | 6.5%
___________________ (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 $3 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. 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 (6) |  | 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. (6) Earnings before interest, taxes, depreciation, and amortization (EBITDA).
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 September 30, 2023 |  | As of December 31, 2022
| Carrying Amount |  | Estimated Fair Value |  | Carrying Amount |  | Estimated Fair Value
| (in millions)
Assets (liabilities): |  |  |  |  |  |  |
Assets of CIVs (1) | $ | 21 |  |  | $ | 21 |  |  | $ | 46 |  |  | $ | 46 |
Other assets (including other invested assets) (2) | 106 |  |  | 107 |  |  | 92 |  |  | 93 |
Financial guaranty insurance contracts (3) | (2,280) |  |  | (1,712) |  |  | (2,335) |  |  | (986) |
Long-term debt | (1,693) |  |  | (1,477) |  |  | (1,675) |  |  | (1,477) |
Liabilities of CIVs (4) | (4) |  |  | (4) |  |  | (170) |  |  | (170) |
Other liabilities (5) | (17) |  |  | (17) |  |  | (43) |  |  | (43) |
____________________ (1) Includes due from brokers and counterparties and cash equivalents. Carrying value approximates fair value. (2) Primarily includes accrued interest, a participation loan, and receivables for securities sold, for which carrying value approximates fair value. Also includes note receivable from Sound Point as of September 30, 2023 and management fees receivables as of December 31, 2022. (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, as of December 31, 2022, 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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