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Fair Value Measurement | 3 Months Ended
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Mar. 31, 2025
Fair Value Disclosures [Abstract] |
Fair Value Measurement | Fair Value Measurement The Company carries a significant portion of its assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit or transfer price). The price represents the price available in the principal market for the asset or liability. If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market). Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on either (i) internally developed models that primarily use, as inputs, market-based or independently sourced market parameters (including, but not limited to, yield curves, interest rates, and debt prices) or (ii) discounted cash flows using a third party’s proprietary pricing models. In addition to market information, when applicable, the models also incorporate transaction details, such as the instrument’s maturity and contractual features that reduce the Company’s credit exposure (e.g., collateral rights). Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity. As markets and products develop and the pricing transparency for certain products changes, the Company may refine its methodologies and assumptions. During first quarter 2025, no changes were made to the Company’s valuation models that had (or are expected to have) a material impact on the Company’s condensed consolidated balance sheets or statements of operations and comprehensive income. The Company’s valuation methods produce fair values that may not be indicative of net realizable value or future fair values. The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a materially different estimate of fair value at the reporting date. The categorization within the fair value hierarchy is determined based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company estimates of market assumptions. The fair value hierarchy prioritizes model inputs into three broad levels, with Level 1 being the highest and Level 3 the lowest. The categorization, of an asset or liability, within the hierarchy is based on the lowest level of significant input to its valuation. Level 1—Quoted prices for identical instruments in active markets. The Company generally defines an active market as a market in which trading occurs at significant volumes. Active markets generally are more liquid and have a lower bid-ask spread than an inactive market. Level 2—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and observable inputs other than quoted prices, such as interest rates or yield curves and other inputs derived from or corroborated by observable market inputs. Level 3—Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Financial instruments are considered Level 3 when their values are (i) determined using pricing models, discounted cash flow methodologies or similar techniques and (ii) at least one significant model assumption or input is unobservable. Level 3 financial instruments include those for which the determination of fair value requires significant management judgment or estimation. There were transfers of securities into Level 3 in the investment portfolio and in CIVs due to changes in observability of pricing inputs in first quarter 2024. There were no other transfers from or into Level 3 during the periods presented. Carried at Fair Value Fixed-Maturity Securities The fair value of fixed-maturity securities is generally based on prices received from third-party pricing services or alternative pricing sources that provide reasonable levels of price transparency. The pricing services prepare estimates of fair value using their pricing models, which take into account: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, industry and economic events and sector groupings. Additional valuation factors that can be taken into account are nominal spreads and liquidity adjustments. The pricing services evaluate each asset class based on relevant market and credit information, perceived market movements and sector news. In many cases, benchmark yields have proven to be more reliable indicators of the market for a security, as compared to reported trades for infrequently traded securities and distressed transactions. The extent of the use of each input is dependent on the asset class and the market conditions. The valuation of fixed-maturity securities is more subjective when markets are less liquid due to the lack of market-based inputs. As of March 31, 2025, the Company used models to price 175 securities. All Level 3 securities were priced with the assistance of independent third parties. The pricing is based on a discounted cash flow approach using the third party’s proprietary pricing models. The models use inputs such as projected prepayment speeds; severity assumptions; recovery lag assumptions; estimated default rates (determined based on an analysis of collateral attributes, historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality); home price appreciation/depreciation rates based on macroeconomic forecasts; and recent trading activity. The yield used to discount the projected cash flows is determined by reviewing various attributes of the security including collateral type, weighted average life, sensitivity to losses, vintage, and convexity, in conjunction with market data on comparable securities. Significant changes to any of these inputs could have materially changed the expected timing of cash flows within these securities which could have significantly affected the fair value of the securities. Short-Term Investments Short-term investments that are traded in active markets are classified as Level 1 as their value is based on quoted market prices. Securities such as discount notes are classified as Level 2 because these securities are typically not actively traded. Due to their approaching maturity the cost of discount notes approximates fair value. Other Assets CCS AG has entered into put agreements with eight separate custodial trusts allowing it to issue an aggregate of $400 million of non-cumulative redeemable perpetual preferred securities to the trusts in exchange for cash. The arrangement entails eight custodial trusts (Woodbourne Capital Trust I, II, III and IV and Sutton Capital Trust I, II, III and IV), each of which issued $50 million face amount of CCS and invested the proceeds of that issuance in eligible assets that enable the trust to have the cash necessary to respond to AG’s exercise of a put option. The put option consists of a right that AG has, pursuant to separate put agreements that AG entered into with each of the trusts, to issue to each trust $50 million of non-cumulative redeemable perpetual preferred stock, in exchange for an equivalent amount of cash (i.e., an aggregate of $400 million). When AG exercises its put option, the relevant trust must liquidate the portfolio of high-quality, liquid assets that it currently maintains and use the liquidation proceeds to purchase AG preferred stock. The put agreements have no scheduled termination date or maturity but may be terminated upon the occurrence of certain specified events. None of the events that would give rise to a termination of the put agreements have occurred. The fair value of CCS, which is reported in “other assets” in the condensed consolidated balance sheets, represents the difference between the present value of the remaining expected put option premium payments under the put agreements, and the estimated present value of the amounts that the Company would hypothetically have to pay as of the reporting date for a comparable security. The change in fair value of the CCS is reported in “fair value gains (losses) on committed capital securities” in the condensed consolidated statements of operations. The estimated current cost of the Company’s CCS as of the reporting date is based on several factors, including AG’s CDS spreads, the Company’s publicly traded debt and an estimation of the securities’ remaining term. The CCS are classified as Level 3. Supplemental Executive Retirement Plans The Company classified assets included in the Company’s various supplemental executive retirement plans as either Level 1 or Level 2. The fair value of these assets is based on the observable published daily values of the underlying mutual funds included in the plans (Level 1) or based upon the net asset value (NAV) of the funds if a published daily value is not available (Level 2). The NAVs are based on observable information. The change in fair value of these assets is reported in “other operating expenses” in the condensed consolidated statements of operations. Contracts Accounted for as Credit Derivatives There is no established market where financial guaranty insured credit derivatives are actively traded; therefore, management has determined that the exit market for the Company’s credit derivatives is a hypothetical one based on its entry market. Due to the lack of quoted prices and other observable inputs for its instruments or for similar instruments, the Company determines the fair value of its credit derivative contracts primarily through internally developed, proprietary models that use both observable and unobservable market data inputs, and such contracts are therefore classified as Level 3 in the fair value hierarchy. There are multiple unobservable inputs deemed significant to the valuation model, most importantly the Company’s estimate of the value of the non-standard terms and conditions of its credit derivative contracts and how the Company’s own credit spread affects the pricing of its transactions. The fair value of the Company’s credit derivative contracts generally represents the difference between the present value of remaining premiums the Company expects to receive and the estimated present value of premiums that a financial guarantor of comparable credit-worthiness would hypothetically charge at the reporting date for the same protection. The fair value of the Company’s credit derivatives depends on a number of factors, including notional amount of the contract, expected term, credit spreads, changes in interest rates, the credit ratings of referenced entities, the Company’s own credit risk and remaining contractual cash flows. The expected remaining contractual premium cash flows are the most readily observable inputs since they are based on the credit derivatives contractual terms. Credit spreads capture the effect of recovery rates and performance of underlying assets of these contracts, among other factors. A credit derivative liability on protection sold is the result of contractual cash inflows on in-force transactions that are lower than what a hypothetical financial guarantor could receive if it sold protection on the same risk as of the reporting date. Consistent with previous years, market conditions as of March 31, 2025 were such that market prices of the Company’s CDS contracts were not available. Assumptions and Inputs The main inputs and assumptions to the measurement of fair value for CDS contracts are the gross spread, the allocation of gross spread among the bank profit, net spread and hedge cost and the weighted average life (which is based on debt service schedules). The primary sources of information used to determine gross spread and the fair value for CDS contracts include actual collateral credit spreads (if up-to-date and reliable market-based spreads are available), transactions priced or closed during a specific quarter within a specific asset class and specific rating and information provided by the counterparty of the credit derivative. Credit spreads may also be interpolated based upon market indices adjusted to reflect the non-standard terms of the Company’s CDS contracts, or extrapolated based upon transactions of similar asset classes, similar ratings and similar time to maturity. The Company’s own credit risk is factored into the determination of the current premium. Such credit risk is based on the quoted market price for credit protection bought on the Company as reflected by quoted market prices on CDS contracts referencing AG. The Company obtains the quoted price of CDS contracts traded on AG from market data sources published by third parties. The amount of premium a financial guaranty insurance market participant can demand (or “current premium”) is inversely related to the cost of credit protection on the insurance company as measured by market credit spreads assuming all other assumptions remain constant. This is because the buyers of credit protection typically hedge a portion of their risk to the financial guarantor, because the contractual terms of the Company’s contracts typically do not require the posting of collateral by the guarantor. The extent of the hedge depends on the types of instruments insured and current market conditions. In the Company’s valuation model, the current premium is not permitted to go below the minimum rate that the Company would charge to assume similar risks in the reporting period. This assumption can have the effect of limiting the amount of unrealized gains that are recognized on certain CDS contracts. The minimum premium had no effect on the fair value of CDS contracts as of March 31, 2025 and December 31, 2024. FG VIEs’ Assets and Liabilities Structured finance FG VIEs’ assets and liabilities are carried at fair value under the FVO and are classified as Level 3. The fair value of the residential mortgage loans in the FG VIEs’ assets is generally sensitive to changes in estimated prepayment speeds; estimated default rates (determined on the basis of an analysis of collateral attributes such as: historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality); yields implied by market prices for similar securities; and, as applicable, house price depreciation/appreciation rates based on macroeconomic forecasts. Significant changes to some of these inputs could have materially changed the fair value of the FG VIEs’ assets and the implied collateral losses within these transactions. In general, the fair value of the FG VIEs’ assets is most sensitive to changes in the projected collateral losses, where an increase in collateral losses typically leads to a potential decrease in the fair value of FG VIEs’ assets, while a decrease in collateral losses typically leads to an increase in the fair value of FG VIEs’ assets. The prices of the assets and liabilities of the FG VIEs are generally determined with the assistance of an independent third party and based on a discounted cash flow approach. The third party pricing service utilizes an internal model to determine an appropriate yield at which to discount the cash flows of the security by factoring in collateral types, weighted-average lives and other structural attributes specific to the security being priced. The expected yield is further calibrated by utilizing algorithms designed to aggregate market color, received by the independent third party, on comparable bonds. The models used to price the FG VIEs’ liabilities generally apply the same inputs used in determining fair value of FG VIEs’ assets. For those liabilities insured by the Company, the benefit of the Company’s insurance policy guaranteeing the timely payment of debt service is also taken into account. The timing of expected losses within an insured transaction is a significant factor in determining the implied benefit of the Company’s insurance policy which guarantees the timely payment of principal and interest for the insured tranches of debt issued by the FG VIEs. In general, a longer time period until the Company’s expected loss payments typically leads to a decrease in the value of the Company’s insurance and a decrease in the fair value of the Company’s FG VIEs’ liabilities with recourse, while a shorter time period until the Company’s expected loss payments typically could lead to an increase in the value of the Company’s insurance and an increase in the fair value of the Company’s FG VIEs’ liabilities with recourse. The change in fair value of FG VIEs’ assets and liabilities is reported in “fair value gains (losses) on FG VIEs” in the condensed consolidated statement of operations, except for the change in fair value attributable to change in ISCR on FG VIEs’ liabilities, which is reported in other comprehensive income. Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on FG VIEs.” Assets and Liabilities of CIVs Investments held by CIVs which are quoted on a national securities exchange are valued at their last reported sale price on the date of determination. Investments held by CIVs which are traded over-the-counter reflect third-party data and generally reflect the average of dealer offer and bid prices. The valuation methodology may include, but is not limited to: (i) performing price comparisons with similar investments; (ii) obtaining valuation-related information from issuers; (iii) calculating the present value of future cash flows; (iv) assessing other data related to the investment that may be an indication of value; (v) obtaining information provided by third parties; and/or (vi) evaluating information provided by the investment manager. Inputs may include dealer price quotations, yield curves, credit curves, forward/CDS/index spreads, prepayments rates, strike and expiry dates, volatility statistics and other factors. Significant changes to any of the inputs described above could have a material effect on the fair value of the CIV’s assets and liabilities. 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, 2025
| 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 | $ | — |  |  | $ | 1,914 |  |  | $ | 10 |  |  | $ | 1,924 |
U.S. government and agencies | — |  |  | 72 |  |  | — |  |  | 72 |
Corporate securities | — |  |  | 2,472 |  |  | 5 |  |  | 2,477 |
Mortgage-backed securities: |  |  |  |  |  |  |
RMBS | — |  |  | 425 |  |  | 144 |  |  | 569 |
CMBS | — |  |  | 182 |  |  | — |  |  | 182 |
Asset-backed securities | — |  |  | 137 |  |  | 983 |  |  | 1,120 |
Non-U.S. government securities | — |  |  | 71 |  |  | — |  |  | 71 |
Total fixed-maturity securities, available-for-sale | — |  |  | 5,273 |  |  | 1,142 |  |  | 6,415 |
Fixed-maturity securities, trading | — |  |  | 132 |  |  | 5 |  |  | 137 |
Short-term investments | 1,154 |  |  | 4 |  |  | — |  |  | 1,158 |
Other invested assets (1) | — |  |  | — |  |  | 3 |  |  | 3 |
FG VIEs’ assets | — |  |  | — |  |  | 145 |  |  | 145 |
Assets of CIVs, equity securities | — |  |  | — |  |  | 118 |  |  | 118 |
Other assets | 68 |  |  | 58 |  |  | 8 |  |  | 134 |
Total assets carried at fair value | $ | 1,222 |  |  | $ | 5,467 |  |  | $ | 1,421 |  |  | $ | 8,110 |
Liabilities: |  |  |  |  |  |  |
FG VIEs’ liabilities (2) | $ | — |  |  | $ | — |  |  | $ | 163 |  |  | $ | 163 |
Other liabilities | — |  |  | — |  |  | 34 |  |  | 34 |
Total liabilities carried at fair value | $ | — |  |  | $ | — |  |  | $ | 197 |  |  | $ | 197 |
Fair Value Hierarchy of Financial Instruments Carried at Fair Value As of December 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 | $ | — |  |  | $ | 1,930 |  |  | $ | 10 |  |  | $ | 1,940 |
U.S. government and agencies | — |  |  | 67 |  |  | — |  |  | 67 |
Corporate securities | — |  |  | 2,382 |  |  | — |  |  | 2,382 |
Mortgage-backed securities: |  |  |  |  |  |  |
RMBS | — |  |  | 422 |  |  | 145 |  |  | 567 |
CMBS | — |  |  | 186 |  |  | — |  |  | 186 |
Asset-backed securities | — |  |  | 127 |  |  | 1,031 |  |  | 1,158 |
Non-U.S. government securities | — |  |  | 69 |  |  | — |  |  | 69 |
Total fixed-maturity securities, available-for-sale | — |  |  | 5,183 |  |  | 1,186 |  |  | 6,369 |
Fixed-maturity securities, trading | — |  |  | 142 |  |  | 5 |  |  | 147 |
Short-term investments | 1,218 |  |  | 3 |  |  | — |  |  | 1,221 |
Other invested assets (1) | — |  |  | — |  |  | 4 |  |  | 4 |
FG VIEs’ assets | — |  |  | — |  |  | 147 |  |  | 147 |
Assets of CIVs, equity securities | — |  |  | — |  |  | 99 |  |  | 99 |
Other assets | 65 |  |  | 59 |  |  | 7 |  |  | 131 |
Total assets carried at fair value | $ | 1,283 |  |  | $ | 5,387 |  |  | $ | 1,448 |  |  | $ | 8,118 |
Liabilities: |  |  |  |  |  |  |
FG VIEs’ liabilities (2) | $ | — |  |  | $ | — |  |  | $ | 164 |  |  | $ | 164 |
Other liabilities | — |  |  | — |  |  | 34 |  |  | 34 |
Total liabilities carried at fair value | $ | — |  |  | $ | — |  |  | $ | 198 |  |  | $ | 198 |
___________________ (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. Changes in Level 3 Fair Value Measurements 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 2025 and first quarter 2024. Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis First Quarter 2025
| Fixed-Maturity Securities, Available-for-Sale |  |  |  |  |  |  |  |
| Obligations of State and Political Subdivisions |  | Corporate |  | RMBS |  | Asset- Backed Securities |  | Fixed-Maturity Securities, Trading |  | FG VIEs’ Assets |  | Assets of CIVs, Equity Securities |  | Other (7) |
| (in millions)
Fair value as of December 31, 2024 | $ | 10 |  |  | $ | — |  |  | $ | 145 |  |  | $ | 1,031 |  |  | $ | 5 |  |  | $ | 147 |  |  | $ | 99 |  |  | $ | 5 |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net income (loss) | — |  |  | — |  |  | 3 |  | (1) | 7 |  | (1) | — |  |  | 3 |  | (2) | 19 |  | (4) | 2 |  | (3)
Other comprehensive income (loss) | — |  |  | — |  |  | 2 |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | (1) |  |
Purchases | — |  |  | 5 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Sales | — |  |  | — |  |  | — |  |  | (9) |  |  | — |  |  | — |  |  | — |  |  | — |  |
Settlements | — |  |  | — |  |  | (6) |  |  | (47) |  |  | — |  |  | (5) |  |  | — |  |  | — |  |
Fair value as of March 31, 2025 | $ | 10 |  |  | $ | 5 |  |  | $ | 144 |  |  | $ | 983 |  |  | $ | 5 |  |  | $ | 145 |  |  | $ | 118 |  |  | $ | 6 |  |
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2025 included in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnings |  |  |  |  |  |  |  |  | $ | (1) |  | (9) | $ | 2 |  | (2) | $ | 19 |  | (4) | $ | 2 |  | (3)
OCI | $ | 6 |  |  | $ | — |  |  | $ | (53) |  |  | $ | (1) |  |  |  |  |  |  |  |  | $ | (1) |  |
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis First Quarter 2025
| Credit Derivative Liability, net (5) |  | FG VIEs’ Liabilities (8) |
| (in millions)
Fair value as of December 31, 2024 | $ | (29) |  |  | $ | (164) |  |
Total pre-tax realized and unrealized gains (losses) recorded in: |  |  |  |
Net income (loss) | 104 |  | (6) | (2) |  | (2)
Other comprehensive income (loss) | — |  |  | (1) |  |
Settlements | (105) |  |  | 4 |  |
Fair value as of March 31, 2025 | $ | (30) |  |  | $ | (163) |  |
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2025 included in: |  |  |  |
Earnings | $ | (1) |  | (6) | $ | (2) |  | (2)
OCI |  |  | $ | (1) |  |
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) |  |
____________________ (1)Included in “net realized investment gains (losses)” and “net investment income.” (2)Reported 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 (reported in “other liabilities”) are shown as either assets or liabilities in the condensed consolidated balance sheets. (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)Reported in “fair value gains (losses) on trading securities.” Level 3 Fair Value Disclosures Quantitative Information About Level 3 Fair Value Inputs As of March 31, 2025
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 |  | $ | 10 |  |  | Yield |  | 5.8 | % | - | 20.0% |  | 7.7%
Corporate |  | 5 |  |  | Yield |  | 15.0% |  |
RMBS |  | 144 |  |  | Conditional prepayment rate (CPR) |  | 2.0 | % | - | 17.0% |  | 3.2%
|  |  |  | CDR |  | 1.5 | % | - | 18.7% |  | 5.4%
|  |  |  | Loss severity |  | 50.0 | % | - | 125.0% |  | 79.9%
|  |  |  | Yield |  | 7.6 | % | - | 10.9% |  | 9.0%
Asset-backed securities: |  |  |  |  |  |  |  |  |  |
CLOs |  | 542 |  |  | Discount margin |  | 1.1 | % | - | 2.9% |  | 2.0%
|  |  |  | Yield |  | 15.2 | % | - | 23.3% |  | 19.7%
Others |  | 441 |  |  | Yield |  | 6.5 | % | - | 9.9% |  | 6.8%
Fixed-maturity securities, trading (1) |  | 5 |  |  | Yield |  | 0.0 | % | - | 12.1% |  | 5.1%
FG VIEs’ assets (1) |  | 145 |  |  | CPR |  | 2.4 | % | - | 27.7% |  | 5.5%
|  |  |  | CDR |  | 1.3 | % | - | 41.0% |  | 10.6%
|  |  |  | Loss severity |  | 45.0 | % | - | 100.0% |  | 83.3%
|  |  |  | Yield |  | 7.0 | % | - | 10.6% |  | 9.3%
Assets of CIVs - equity securities (3) |  | 118 |  |  | Discount rate |  | 24.9% |  |
|  |  |  | Market multiple-price to book |  | 1.10x |  |
|  |  |  | Market multiple-price to earnings |  | 6.05x |  |
|  |  |  | Terminal growth rate |  | 4.0% |  |
|  |  |  | Exit multiple-price to book |  | 1.10x |  |
|  |  |  | Exit multiple-price to earnings |  | 5.75x |  |
Other assets (1) |  | 4 |  |  | Implied Yield |  | 6.5 | % | - | 7.1% |  | 6.8%
|  |  |  | Term (years) |  | 10 years |  |
Credit derivative liabilities, net (1) |  | (30) |  |  | Hedge cost (in basis points) (bps) |  | 15.4 | - | 36.0 |  | 20.1
|  |  |  | Bank profit (in bps) |  | 62.2 | - | 289.9 |  | 156.8
|  |  |  | Internal floor (in bps) |  | 10.0 |  |
|  |  |  | Internal credit rating |  | AAA | - | CCC |  | A
|  |  |  | Discount rates of future expected premium cash flows |  | 3.6 | % | - | 4.2% |  | 4.1%
FG VIEs’ liabilities (1) |  | (163) |  |  | CPR |  | 2.4 | % | - | 27.7% |  | 5.5%
|  |  |  | CDR |  | 1.3 | % | - | 41.0% |  | 10.6%
|  |  |  | Loss severity |  | 45.0 | % | - | 100.0% |  | 83.3%
|  |  |  | Yield |  | 5.6 | % | - | 10.6% |  | 6.8%
___________________ (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. (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, 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 |  | $ | 10 |  |  | Yield |  | 5.5 | % | - | 22.0% |  | 7.5%
RMBS |  | 145 |  |  | CPR |  | 1.8 | % | - | 17.0% |  | 2.8%
|  |  |  | CDR |  | 1.8 | % | - | 18.7% |  | 5.4%
|  |  |  | Loss severity |  | 50.0 | % | - | 125.0% |  | 79.9%
|  |  |  | Yield |  | 7.7 | % | - | 10.8% |  | 9.1%
Asset-backed securities: |  |  |  |  |  |  |  |  |  |
CLOs |  | 611 |  |  | Discount margin |  | 0.8 | % | - | 2.9% |  | 1.9%
|  |  |  | Yield |  | 12.5 | % | - | 22.5% |  | 17.9%
Others |  | 420 |  | Yield |  | 6.4 | % | - | 9.1% |  | 6.7%
Fixed-maturity securities, trading (1) |  | 5 |  |  | Yield |  | 19.8 | % | - | 169.5% |  | 163.8%
FG VIEs’ assets (1) |  | 147 |  |  | CPR |  | 2.2 | % | - | 25.0% |  | 5.7%
|  |  |  | CDR |  | 1.3 | % | - | 41.0% |  | 10.7%
|  |  |  | Loss severity |  | 45.0 | % | - | 100.0% |  | 83.2%
|  |  |  | Yield |  | 6.8 | % | - | 10.8% |  | 9.3%
Assets of CIVs - equity securities (3) |  | 99 |  |  | Discount rate |  | 24.3% |  |
|  |  |  | Market multiple-price to book |  | 1.05x |  |
|  |  |  | Market multiple-price to earnings |  | 5.25x |  |
|  |  |  | Terminal growth rate |  | 4.0% |  |
|  |  |  | Exit multiple-price to book |  | 1.05x |  |
|  |  |  | Exit multiple-price to earnings |  | 5.50x |  |
Other assets (1) |  | 2 |  |  | Implied Yield |  | 6.5 | % | - | 7.0% |  | 6.8%
|  |  |  | Term (years) |  | 10 years |  |
Credit derivative liabilities, net (1) |  | (29) |  |  | Hedge cost (in bps) |  | 12.8 | - | 30.1 |  | 16.8
|  |  |  | Bank profit (in bps) |  | 73.2 | - | 275.9 |  | 139.3
|  |  |  | Internal floor (in bps) |  | 10.0 | - | 85.5 |  | 29.7
|  |  |  | Internal credit rating |  | AAA | - | CCC |  | A
|  |  |  | Discount rates of future expected premium cash flows |  | 3.9 | % |  | 4.4% |  | 4.3%
FG VIEs’ liabilities (1) |  | (164) |  |  | CPR |  | 2.2 | % | - | 25.0% |  | 5.7%
|  |  |  | CDR |  | 1.3 | % | - | 41.0% |  | 10.7%
|  |  |  | Loss severity |  | 45.0 | % | - | 100.0% |  | 83.2%
|  |  |  | Yield |  | 5.5 | % | - | 10.8% |  | 7.0%
____________________ (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. (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. Not Carried at Fair Value Financial Guaranty Insurance Contracts Fair value is based on management’s estimate of the consideration that would be paid to, or received from, a similarly rated financial guaranty insurance company to acquire the Company’s in-force book of financial guaranty insurance business. It is based upon the ratio of current trends in premium pricing to risk-based expected loss for investment grade portions of the portfolio and stressed loss pricing for BIG transactions. The Company classified the fair value of financial guaranty insurance contracts as Level 3. Long-Term Debt Long-term debt issued by the U.S. Holding Companies is valued by broker-dealers using independent third-party pricing sources and standard market conventions and classified as Level 2 in the fair value hierarchy. The market conventions utilize market quotations, market transactions for the Company’s comparable instruments, and to a lesser extent, similar instruments in the broader insurance industry. 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, 2025 |  | As of December 31, 2024
| Carrying Amount |  | Estimated Fair Value |  | Carrying Amount |  | Estimated Fair Value
| (in millions)
Assets (liabilities): |  |  |  |  |  |  |
Other assets (including other invested assets) | $ | 103 |  |  | $ | 104 |  |  | $ | 115 |  |  | $ | 116 |
Financial guaranty insurance contracts (1) | (1,999) |  |  | (1,147) |  |  | (2,029) |  |  | (1,136) |
Long-term debt | (1,700) |  |  | (1,596) |  |  | (1,699) |  |  | (1,579) |
Other liabilities | (15) |  |  | (15) |  |  | (16) |  |  | (16) |
____________________ (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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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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