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Fair Value Measurement (Tables)

9 Months Ended

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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