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Contracts Accounted for as Credit Derivatives (Tables)

9 Months Ended

Sep. 30, 2025

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating

The components of the Company’s credit derivative net par outstanding by sector are presented in the table below. The estimated remaining weighted average life of credit derivatives was 8.9 years and 8.4 years as of September 30, 2025 and December 31, 2024, respectively.

Credit Derivatives (1)


	As of September 30, 2025				As of December 31, 2024
Sector	Net Par Outstanding		Net Fair Value Asset (Liability)		Net Par Outstanding		Net Fair Value Asset (Liability)
	(in millions)
U.S. public finance	$	997	$	(11)	$	1,025	$	(12)
Non-U.S. public finance	1,645		(14)		2,044		(15)
U.S. structured finance	143		(2)		150		(2)
Non-U.S. structured finance	974		1		993		—
Total	$	3,759	$	(26)	$	4,212	$	(29)

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(1) See Note 4, Expected Loss to be Paid (Recovered), for expected loss to be paid on credit derivatives.

Net Change in Fair Value of Credit Derivatives

Fair Value Gains (Losses) on Credit Derivatives


	Third Quarter				Nine Months
	2025		2024		2025		2024
	(in millions)
Realized gains (losses) and other settlements	$	2	$	2	$	107	$	2
Net unrealized gains (losses)	3		1		3		17
Fair value gains (losses) on credit derivatives	$	5	$	3	$	110	$	19

CDS Spread on AGC and AGM

CDS Spread on AG (in basis points)


	As of September 30, 2025	As of December 31, 2024	As of September 30, 2024	As of December 31, 2023
Five-year CDS spread	70	75	65	66
One-year CDS spread	24	25	26	23

Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads

Fair Value of Credit Derivative Assets (Liabilities)

and Effect of AG Credit Spread


	As of
	September 30, 2025		December 31, 2024
	(in millions)
Fair value of credit derivatives before effect of AG credit spread	$	(59)	$	(64)
Plus: Effect of AG credit spread	33		35
Net fair value of credit derivatives	$	(26)	$	(29)

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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