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Fair Value Measurement (Tables) | 3 Months Ended
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Mar. 31, 2024
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, 2024
| 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 | $ | — |  |  | $ | 2,325 |  |  | $ | 6 |  |  | $ | 2,331 |
U.S. government and agencies | — |  |  | 55 |  |  | — |  |  | 55 |
Corporate securities | — |  |  | 2,101 |  |  | — |  |  | 2,101 |
Mortgage-backed securities: |  |  |  |  |  |  |
RMBS | — |  |  | 249 |  |  | 153 |  |  | 402 |
CMBS | — |  |  | 196 |  |  | — |  |  | 196 |
Asset-backed securities | — |  |  | 101 |  |  | 821 |  |  | 922 |
Non-U.S. government securities | — |  |  | 84 |  |  | — |  |  | 84 |
Total fixed-maturity securities, available-for-sale | — |  |  | 5,111 |  |  | 980 |  |  | 6,091 |
Fixed-maturity securities, trading | — |  |  | 272 |  |  | — |  |  | 272 |
Short-term investments | 1,649 |  |  | — |  |  | — |  |  | 1,649 |
Other invested assets (1) | — |  |  | — |  |  | 4 |  |  | 4 |
FG VIEs’ assets | — |  |  | — |  |  | 167 |  |  | 167 |
Assets of CIVs: |  |  |  |  |  |  |
Equity securities | — |  |  | — |  |  | 89 |  |  | 89 |
Structured products | — |  |  | 44 |  |  | 220 |  |  | 264 |
Total assets of CIVs | — |  |  | 44 |  |  | 309 |  |  | 353 |
Other assets | 61 |  |  | 55 |  |  | 7 |  |  | 123 |
Total assets carried at fair value | $ | 1,710 |  |  | $ | 5,482 |  |  | $ | 1,467 |  |  | $ | 8,659 |
Liabilities: |  |  |  |  |  |  |
Credit derivative liabilities | $ | — |  |  | $ | — |  |  | $ | 43 |  |  | $ | 43 |
FG VIEs’ liabilities (2) | — |  |  | — |  |  | 399 |  |  | 399 |
Total liabilities carried at fair value | $ | — |  |  | $ | — |  |  | $ | 442 |  |  | $ | 442 |
Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 31, 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 | $ | — |  |  | $ | 2,655 |  |  | $ | 6 |  |  | $ | 2,661 |
U.S. government and agencies | — |  |  | 60 |  |  | — |  |  | 60 |
Corporate securities | — |  |  | 2,141 |  |  | — |  |  | 2,141 |
Mortgage-backed securities: |  |  |  |  |  |  |
RMBS | — |  |  | 188 |  |  | 154 |  |  | 342 |
CMBS | — |  |  | 151 |  |  | — |  |  | 151 |
Asset-backed securities | — |  |  | 49 |  |  | 803 |  |  | 852 |
Non-U.S. government securities | — |  |  | 100 |  |  | — |  |  | 100 |
Total fixed-maturity securities, available-for-sale | — |  |  | 5,344 |  |  | 963 |  |  | 6,307 |
Fixed-maturity securities, trading | — |  |  | 318 |  |  | — |  |  | 318 |
Short-term investments | 1,657 |  |  | 4 |  |  | — |  |  | 1,661 |
Other invested assets (1) | — |  |  | — |  |  | 3 |  |  | 3 |
FG VIEs’ assets | — |  |  | — |  |  | 174 |  |  | 174 |
Assets of CIVs: |  |  |  |  |  |  |
Equity securities and warrants | — |  |  | 3 |  |  | 80 |  |  | 83 |
Structured products | — |  |  | 59 |  |  | 189 |  |  | 248 |
Total assets of CIVs | — |  |  | 62 |  |  | 269 |  |  | 331 |
Other assets | 55 |  |  | 52 |  |  | 16 |  |  | 123 |
Total assets carried at fair value | $ | 1,712 |  |  | $ | 5,780 |  |  | $ | 1,425 |  |  | $ | 8,917 |
Liabilities: |  |  |  |  |  |  |
Credit derivative liabilities | $ | — |  |  | $ | — |  |  | $ | 53 |  |  | $ | 53 |
FG VIEs’ liabilities (2) | — |  |  | — |  |  | 554 |  |  | 554 |
Total liabilities carried at fair value | $ | — |  |  | $ | — |  |  | $ | 607 |  |  | $ | 607 |
___________________ (1) Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. (2) 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 2024 and first quarter 2023. Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis First Quarter 2024
| Fixed-Maturity Securities, Available-for-Sale |  |  |  | Assets of CIVs |  |  |
| Obligations of State and Political Subdivisions |  | RMBS |  | Asset- Backed Securities |  | FG VIEs’ Assets |  | Equity Securities |  | Structured Products |  | Other (7) |
| (in millions)
Fair value as of December 31, 2023 | $ | 6 |  |  | $ | 154 |  |  | $ | 803 |  |  | $ | 174 |  |  | $ | 80 |  |  | $ | 189 |  |  | $ | 14 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | — |  |  | 3 |  | (1) | 16 |  | (1) | (2) |  | (2) | 8 |  | (4) | 4 |  | (4) | (10) |  | (3)
Other comprehensive income (loss) | — |  |  | 1 |  |  | 2 |  |  | 1 |  |  | — |  |  | — |  |  | 1 |  |
Purchases | — |  |  | — |  |  | 10 |  |  | — |  |  | — |  |  | 29 |  |  | — |  |
Sales | — |  |  | — |  |  | — |  |  | — |  |  | (2) |  |  | (12) |  |  | — |  |
Settlements | — |  |  | (5) |  |  | (30) |  |  | (6) |  |  | — |  |  | — |  |  | — |  |
Transfers into Level 3 | — |  |  | — |  |  | 20 |  |  | — |  |  | 3 |  |  | 10 |  |  | — |  |
Fair value as of March 31, 2024 | $ | 6 |  |  | $ | 153 |  |  | $ | 821 |  |  | $ | 167 |  |  | $ | 89 |  |  | $ | 220 |  |  | $ | 5 |  |
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2024 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | (3) |  | (2) | $ | 7 |  | (4) | $ | 5 |  | (4) | $ | (10) |  | (3)
OCI | $ | — |  |  | $ | 1 |  |  | $ | 2 |  |  |  |  |  |  |  |  | $ | 1 |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis First Quarter 2024
| Credit Derivative Liability, net (5) |  | FG VIEs’ Liabilities (8) |
| (in millions)
Fair value as of December 31, 2023 | $ | (50) |  |  | $ | (554) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |
Net income (loss) | 10 |  | (6) | 9 |  | (2)
Other comprehensive income (loss) | — |  |  | (2) |  |
Settlements | 1 |  |  | 148 |  |
Fair value as of March 31, 2024 | $ | (39) |  |  | $ | (399) |  |
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2024 included in: |  |  |  |
Earnings | $ | 4 |  | (6) | $ | 2 |  | (2)
OCI |  |  | $ | (2) |  |
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 |  |  |  |  |  |  | $ | — |  |  | $ | 32 |  | (4) | $ | (3) |  | (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 (9) |
| (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) |  |
____________________ (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 policy. (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. (9)Includes primarily various tranches of CLO debt. The CLOs were collateralized financing entities that were consolidated until the Sound Point Transaction occurred on July 1, 2023.
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 2024 and first quarter 2023. Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis First Quarter 2024
| Fixed-Maturity Securities, Available-for-Sale |  |  |  | Assets of CIVs |  |  |
| Obligations of State and Political Subdivisions |  | RMBS |  | Asset- Backed Securities |  | FG VIEs’ Assets |  | Equity Securities |  | Structured Products |  | Other (7) |
| (in millions)
Fair value as of December 31, 2023 | $ | 6 |  |  | $ | 154 |  |  | $ | 803 |  |  | $ | 174 |  |  | $ | 80 |  |  | $ | 189 |  |  | $ | 14 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | — |  |  | 3 |  | (1) | 16 |  | (1) | (2) |  | (2) | 8 |  | (4) | 4 |  | (4) | (10) |  | (3)
Other comprehensive income (loss) | — |  |  | 1 |  |  | 2 |  |  | 1 |  |  | — |  |  | — |  |  | 1 |  |
Purchases | — |  |  | — |  |  | 10 |  |  | — |  |  | — |  |  | 29 |  |  | — |  |
Sales | — |  |  | — |  |  | — |  |  | — |  |  | (2) |  |  | (12) |  |  | — |  |
Settlements | — |  |  | (5) |  |  | (30) |  |  | (6) |  |  | — |  |  | — |  |  | — |  |
Transfers into Level 3 | — |  |  | — |  |  | 20 |  |  | — |  |  | 3 |  |  | 10 |  |  | — |  |
Fair value as of March 31, 2024 | $ | 6 |  |  | $ | 153 |  |  | $ | 821 |  |  | $ | 167 |  |  | $ | 89 |  |  | $ | 220 |  |  | $ | 5 |  |
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2024 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  | $ | (3) |  | (2) | $ | 7 |  | (4) | $ | 5 |  | (4) | $ | (10) |  | (3)
OCI | $ | — |  |  | $ | 1 |  |  | $ | 2 |  |  |  |  |  |  |  |  | $ | 1 |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis First Quarter 2024
| Credit Derivative Liability, net (5) |  | FG VIEs’ Liabilities (8) |
| (in millions)
Fair value as of December 31, 2023 | $ | (50) |  |  | $ | (554) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |
Net income (loss) | 10 |  | (6) | 9 |  | (2)
Other comprehensive income (loss) | — |  |  | (2) |  |
Settlements | 1 |  |  | 148 |  |
Fair value as of March 31, 2024 | $ | (39) |  |  | $ | (399) |  |
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2024 included in: |  |  |  |
Earnings | $ | 4 |  | (6) | $ | 2 |  | (2)
OCI |  |  | $ | (2) |  |
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 |  |  |  |  |  |  | $ | — |  |  | $ | 32 |  | (4) | $ | (3) |  | (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 (9) |
| (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) |  |
____________________ (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 policy. (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. (9)Includes primarily various tranches of CLO debt. The CLOs were collateralized financing entities that were consolidated until the Sound Point Transaction occurred on July 1, 2023.
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements | Quantitative Information About Level 3 Fair Value Inputs As of March 31, 2024
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 |  | $ | 6 |  |  | Yield |  | 7.0 | % | - | 22.5% |  | 7.8%
RMBS |  | 153 |  |  | CPR |  | 0.9 | % | - | 15.0% |  | 3.2%
|  |  |  | CDR |  | 1.5 | % | - | 18.8% |  | 5.7%
|  |  |  | Loss severity |  | 50.0 | % | - | 125.0% |  | 81.6%
|  |  |  | Yield |  | 7.6 | % | - | 11.4% |  | 9.0%
Asset-backed securities: |  |  |  |  |  |  |  |  |  |
CLOs |  | 439 |  |  | Discount margin |  | 1.0 | % | - | 9.6% |  | 2.5%
Others |  | 382 |  |  | Yield |  | 6.6 | % | - | 10.1% |  | 7.8%
FG VIEs’ assets (1) |  | 167 |  |  | CPR |  | 0.2 | % | - | 21.6% |  | 7.6%
|  |  |  | CDR |  | 1.3 | % | - | 41.0% |  | 10.5%
|  |  |  | Loss severity |  | 45.0 | % | - | 100.0% |  | 82.9%
|  |  |  | Yield |  | 5.7 | % | - | 10.8% |  | 9.5%
Assets of CIVs (3): |  |  |  |  |  |  |  |  |  |
Equity securities |  | 89 |  |  | Discount rate |  | 16.5 | % | - | 23.5% |  | 20.5%
|  |  |  | Market multiple-price to book |  | 1.05x |  |
|  |  |  | 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 |  | 220 |  |  | Yield |  | 9.8 | % | - | 23.5% |  | 16.6%
Other assets (1) |  | 3 |  |  | Implied Yield |  | 7.5 | % | - | 8.0% |  | 7.8%
|  |  |  | Term (years) |  | 10 years |  |
Credit derivative liabilities, net (1) |  | (39) |  |  | Hedge cost (in basis points) (bps) |  | 8.7 | - | 20.6 |  | 12.5
|  |  |  | Bank profit (in bps) |  | 83.6 | - | 268.3 |  | 139.4
|  |  |  | Internal floor (in bps) |  | 10.0 |  |
|  |  |  | Internal credit rating |  | AAA | - | CCC |  | A
FG VIEs’ liabilities (1) |  | (399) |  |  | CPR |  | 0.2 | % | - | 21.6% |  | 7.6%
|  |  |  | CDR |  | 1.3 | % | - | 41.0% |  | 10.5%
|  |  |  | Loss severity |  | 45.0 | % | - | 100.0% |  | 82.9%
|  |  |  | Yield |  | 4.8 | % | - | 10.8% |  | 5.9%
___________________ (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 $4 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, 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 |  | $ | 6 |  |  | Yield |  | 7.4 | % | - | 22.5% |  | 7.8%
RMBS |  | 154 |  |  | CPR |  | 0.1 | % | - | 15.0% |  | 3.4%
|  |  |  | CDR |  | 1.5 | % | - | 18.8% |  | 5.6%
|  |  |  | Loss severity |  | 50.0 | % | - | 125.0% |  | 82.6%
|  |  |  | Yield |  | 7.5 | % | - | 11.3% |  | 8.9%
Asset-backed securities: |  |  |  |  |  |  |  |  |  |
CLOs |  | 450 |  |  | Discount margin |  | 1.1 | % | - | 9.5% |  | 2.6%
Others |  | 353 |  | Yield |  | 6.2 | % | - | 11.7% |  | 7.8%
FG VIEs’ assets (1) |  | 174 |  |  | CPR |  | 0.2 | % | - | 21.4% |  | 7.8%
|  |  |  | CDR |  | 1.3 | % | - | 41.0% |  | 10.4%
|  |  |  | Loss severity |  | 45.0 | % | - | 100.0% |  | 82.9%
|  |  |  | Yield |  | 5.5 | % | - | 10.9% |  | 9.4%
Assets of CIVs (3): |  |  |  |  |  |  |  |  |  |
Equity securities |  | 80 |  |  | Discount rate |  | 20.9% |  |
|  |  |  | Market multiple-price to book |  | 1.10x |  |
|  |  |  | Market multiple-price to earnings |  | 5.50x |  |
|  |  |  | Terminal growth rate |  | 4.0% |  |
|  |  |  | Exit multiple-price to book |  | 1.10x |  |
|  |  |  | Exit multiple-price to earnings |  | 5.50x |  |
Structured products |  | 189 |  | Yield |  | 14.7 | % | - | 21.4% |  | 18.0%
Other assets (1) |  | 13 |  |  | Year 1 loss estimates |  | 7.8 | % | - | 8.4% |  | 8.1%
|  |  |  | Term (years) |  | 10 years |  |
Credit derivative liabilities, net (1) |  | (50) |  |  | Hedge cost (in bps) |  | 10.2 | - | 26.5 |  | 15.8
|  |  |  | Bank profit (in bps) |  | 105.6 | - | 302.6 |  | 158.6
|  |  |  | Internal floor (in bps) |  | 10.0 |  |
|  |  |  | Internal credit rating |  | AAA | - | CCC |  | A
FG VIEs’ liabilities (1) |  | (554) |  |  | CPR |  | 0.2 | % | - | 21.4% |  | 7.8%
|  |  |  | CDR |  | 1.3 | % | - | 41.0% |  | 10.4%
|  |  |  | Loss severity |  | 45.0 | % | - | 100.0% |  | 82.9%
|  |  |  | Yield |  | 5.0 | % | - | 10.7% |  | 5.8%
____________________ (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.
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, 2024 |  | As of December 31, 2023
| Carrying Amount |  | Estimated Fair Value |  | Carrying Amount |  | Estimated Fair Value
| (in millions)
Assets (liabilities): |  |  |  |  |  |  |
Assets of CIVs | $ | 27 |  |  | $ | 27 |  |  | $ | 19 |  |  | $ | 19 |
Other assets (including other invested assets) | 79 |  |  | 80 |  |  | 79 |  |  | 80 |
Financial guaranty insurance contracts (1) | (2,153) |  |  | (1,635) |  |  | (2,244) |  |  | (1,811) |
Long-term debt | (1,695) |  |  | (1,597) |  |  | (1,694) |  |  | (1,593) |
Other liabilities | (24) |  |  | (24) |  |  | (15) |  |  | (15) |
____________________ (1) 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.

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