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Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 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 September 30, 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			$	—					$	2,112					$	7					$	2,119
U.S. government and agencies			—						71						—						71
Corporate securities			—						2,404						—						2,404
Mortgage-backed securities:
RMBS			—						392						152						544
CMBS			—						180						—						180
Asset-backed securities			—						104						787						891
Non-U.S. government securities			—						75						—						75
Total fixed-maturity securities, available-for-sale			—						5,338						946						6,284
Fixed-maturity securities, trading			—						157						6						163
Short-term investments			1,482						5						—						1,487
Other invested assets (1)			—						—						5						5
FG VIEs’ assets			—						—						156						156
Assets of CIVs:
Equity securities			—						—						97						97
Structured products			—						—						237						237
Total assets of CIVs			—						—						334						334
Other assets			64						59						6						129
Total assets carried at fair value			$	1,546					$	5,559					$	1,453					$	8,558
Liabilities:
Credit derivative liabilities			$	—					$	—					$	39					$	39
FG VIEs’ liabilities (2)			—						—						392						392
Total liabilities carried at fair value			$	—					$	—					$	431					$	431

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 third quarter 2024, third quarter 2023, nine months 2024 and nine months 2023.

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

Third Quarter 2024

			Fixed-Maturity Securities, Available-for-Sale																														Assets of CIVs
			Obligations of State and Political Subdivisions						RMBS						Asset- Backed Securities						Fixed-Maturity Securities, Trading						FG VIEs’ Assets						Equity Securities						Structured Products						Other (7)
			(in millions)
Fair value as of June 30, 2024			$	7					$	150					$	795					$	—					$	160					$	93					$	225					$	6
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)			—						5			(1)			7			(1)			—						2			(2)			9			(4)			(5)			(4)			(4)			(3)
Other comprehensive income (loss)			—						3						(3)						—						—						—						—						1
Purchases			—						—						19						—						—						—						25						1
Sales			—						—						—						—						—						(3)						—						—
Settlements			—						(6)						(31)						(2)						(6)						—						—						—
Reclassifications (10)			—						—						—						8						—						—						(8)						—
Transfers out of Level 3			—						—						—						—						—						(2)						—						—
Fair value as of September 30, 2024			$	7					$	152					$	787					$	6					$	156					$	97					$	237					$	4
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:
Earnings																					$	—					$	—					$	9		(4)			$	(1)		(4)			$	(4)		(3)
OCI			$	—					$	3					$	(3)																													$	1

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

Third Quarter 2024

			Credit Derivative Liability, net (5)						FG VIEs’ Liabilities (8)
			(in millions)
Fair value as of June 30, 2024			$	(34)					$	(393)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)			3			(6)			(3)			(2)
Other comprehensive income (loss)			—						(1)
Issuances			(2)						—
Settlements			(1)						5
Fair value as of September 30, 2024			$	(34)					$	(392)
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:
Earnings			$	1		(6)			$	(4)		(2)
OCI									$	(1)

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						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 (9)
			(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

Nine Months 2024

			Fixed-Maturity Securities, Available-for-Sale																		Fixed-Maturity Securities, Trading												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)			—						12			(1)			24			(1)			—						(1)			(2)			21			(4)			(10)			(4)			(12)			(3)
Other comprehensive income (loss)			2						5						5						—						1						—						—						1
Purchases			—						—						30						—						—						—						76						1
Sales			—						—						—						—						—						(5)						(20)						—
Settlements			(1)						(19)						(95)						(2)						(18)						—						—						—
Reclassifications (10)			—						—						—						8						—						—						(8)						—
Transfers into Level 3			—						—						20						—						—						3						10						—
Transfers out of Level 3			—						—						—						—						—						(2)						—						—
Fair value as of September 30, 2024			$	7					$	152					$	787					$	6					$	156					$	97					$	237					$	4
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:
Earnings																					$	—					$	(5)		(2)			$	21		(4)			$	(3)		(4)			$	(12)		(3)
OCI			$	2					$	5					$	3											$	1																	$	1

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

Nine Months 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)			19			(6)			6			(2)
Other comprehensive income (loss)			—						(1)
Issuances			(2)						—
Settlements			(1)						157
Fair value as of September 30, 2024			$	(34)					$	(392)
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:
Earnings			$	9		(6)			$	—
OCI									$	(1)

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 (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)			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					$	—

____________________

(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.

(10)Represent securities transferred from one of the CIVs to the investment portfolio due to the distribution of assets of that CIV. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for additional information.

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 2024, third quarter 2023, nine months 2024 and nine months 2023.

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

Third Quarter 2024

			Fixed-Maturity Securities, Available-for-Sale																														Assets of CIVs
			Obligations of State and Political Subdivisions						RMBS						Asset- Backed Securities						Fixed-Maturity Securities, Trading						FG VIEs’ Assets						Equity Securities						Structured Products						Other (7)
			(in millions)
Fair value as of June 30, 2024			$	7					$	150					$	795					$	—					$	160					$	93					$	225					$	6
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)			—						5			(1)			7			(1)			—						2			(2)			9			(4)			(5)			(4)			(4)			(3)
Other comprehensive income (loss)			—						3						(3)						—						—						—						—						1
Purchases			—						—						19						—						—						—						25						1
Sales			—						—						—						—						—						(3)						—						—
Settlements			—						(6)						(31)						(2)						(6)						—						—						—
Reclassifications (10)			—						—						—						8						—						—						(8)						—
Transfers out of Level 3			—						—						—						—						—						(2)						—						—
Fair value as of September 30, 2024			$	7					$	152					$	787					$	6					$	156					$	97					$	237					$	4
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:
Earnings																					$	—					$	—					$	9		(4)			$	(1)		(4)			$	(4)		(3)
OCI			$	—					$	3					$	(3)																													$	1

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

Third Quarter 2024

			Credit Derivative Liability, net (5)						FG VIEs’ Liabilities (8)
			(in millions)
Fair value as of June 30, 2024			$	(34)					$	(393)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)			3			(6)			(3)			(2)
Other comprehensive income (loss)			—						(1)
Issuances			(2)						—
Settlements			(1)						5
Fair value as of September 30, 2024			$	(34)					$	(392)
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:
Earnings			$	1		(6)			$	(4)		(2)
OCI									$	(1)

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						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 (9)
			(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

Nine Months 2024

			Fixed-Maturity Securities, Available-for-Sale																		Fixed-Maturity Securities, Trading												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)			—						12			(1)			24			(1)			—						(1)			(2)			21			(4)			(10)			(4)			(12)			(3)
Other comprehensive income (loss)			2						5						5						—						1						—						—						1
Purchases			—						—						30						—						—						—						76						1
Sales			—						—						—						—						—						(5)						(20)						—
Settlements			(1)						(19)						(95)						(2)						(18)						—						—						—
Reclassifications (10)			—						—						—						8						—						—						(8)						—
Transfers into Level 3			—						—						20						—						—						3						10						—
Transfers out of Level 3			—						—						—						—						—						(2)						—						—
Fair value as of September 30, 2024			$	7					$	152					$	787					$	6					$	156					$	97					$	237					$	4
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:
Earnings																					$	—					$	(5)		(2)			$	21		(4)			$	(3)		(4)			$	(12)		(3)
OCI			$	2					$	5					$	3											$	1																	$	1

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

Nine Months 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)			19			(6)			6			(2)
Other comprehensive income (loss)			—						(1)
Issuances			(2)						—
Settlements			(1)						157
Fair value as of September 30, 2024			$	(34)					$	(392)
Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:
Earnings			$	9		(6)			$	—
OCI									$	(1)

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 (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)			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					$	—

____________________

(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.

(10)Represent securities transferred from one of the CIVs to the investment portfolio due to the distribution of assets of that CIV. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for additional information.

Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements

Quantitative Information About Level 3 Fair Value Inputs

As of September 30, 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						$	7					Yield						5.5		%	-			20.0%						6.9%
RMBS						152						CPR						1.8		%	-			17.0%						2.5%
												CDR						1.8		%	-			18.7%						5.5%
												Loss severity						50.0		%	-			125.0%						79.9%
												Yield						7.1		%	-			10.4%						8.6%
Asset-backed securities:
CLOs						383						Discount margin						1.0		%	-			10.0%						2.3%
Others						404						Yield						7.0		%	-			10.1%						7.3%
Fixed-maturity securities, trading (1)						6						Yield						21.6		%	-			41.6%						28.8%
FG VIEs’ assets (1)						156						CPR						0.2		%	-			22.9%						6.3%
												CDR						1.3		%	-			41.0%						10.6%
												Loss severity						45.0		%	-			100.0%						83.1%
												Yield						5.5		%	-			10.0%						9.0%
Assets of CIVs (3):
Equity securities						97						Discount rate						19.7		%	-			42.3%						24.8%
												Market multiple-price to book						1.05x
												Market multiple-price to earnings						5.50x
												Terminal growth rate						4.0%
												Exit multiple-price to book						1.05x
												Exit multiple-price to earnings						5.25x
Structured products						237						Yield						12.2		%	-			42.3%						15.5%
Other assets (1)						1						Implied Yield						7.0		%	-			7.5%						7.2%
												Term (years)						10 years
Credit derivative liabilities, net (1)						(34)						Hedge cost (in basis points) (bps)						11.6			-			26.1						15.4
												Bank profit (in bps)						77.0			-			277.0						140.0
												Internal floor (in bps)						10.0			-			85.5						29.6
												Internal credit rating						AAA			-			CCC						A
FG VIEs’ liabilities (1)						(392)						CPR						0.2		%	-			22.9%						6.3%
												CDR						1.3		%	-			41.0%						10.6%
												Loss severity						45.0		%	-			100.0%						83.1%
												Yield						4.4		%	-			10.0%						5.7%

___________________

(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.

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						Implied Yield						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.

Schedule of Financial Instruments Not Carried 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, 2024												As of December 31, 2023
			Carrying Amount						Estimated Fair Value						Carrying Amount						Estimated Fair Value
			(in millions)
Assets (liabilities):
Assets of CIVs			$	31					$	31					$	19					$	19
Other assets (including other invested assets)			115						116						79						80
Financial guaranty insurance contracts (1)			(1,946)						(1,709)						(2,244)						(1,811)
Long-term debt			(1,698)						(1,625)						(1,694)						(1,593)
Other liabilities			(71)						(71)						(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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