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Fair Value Measurement (Tables)
 3 Months Ended
Mar. 31, 2020
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, 2020
 
 
 
 
Fair Value Hierarchy
 
Fair Value
 
Level 1
 
Level 2
 
Level 3
 
(in millions)
Assets:
 

 
 

 
 

 
 

Investment portfolio, available-for-sale:
 

 
 

 
 

 
 

Fixed-maturity securities
 

 
 

 
 

 
 

Obligations of state and political subdivisions
$
4,204

 
$
—

 
$
4,118

 
$
86

U.S. government and agencies
175

 
—

 
175

 
—

Corporate securities
2,233

 
—

 
2,207

 
26

Mortgage-backed securities:
 

 
 
 
 
 
 
RMBS
717

 
—

 
464

 
253

Commercial mortgage-backed securities (CMBS)
414

 
—

 
414

 
—

Asset-backed securities
653

 
—

 
57

 
596

Non-U.S. government securities
172

 
—

 
172

 
—

Total fixed-maturity securities
8,568


—

 
7,607

 
961

Short-term investments
933

 
865

 
68

 
—

Other invested assets (1)
12

 
6

 
—

 
6

FG VIEs’ assets, at fair value
368

 
—

 
—

 
368

Assets of consolidated investment vehicles
557

 
—

 
461

 
96

Other assets
177

 
36

 
38

 
103

Total assets carried at fair value
$
10,615

 
$
907

 
$
8,174

 
$
1,534

Liabilities:
 

 
 
 
 
 
 
Credit derivative liabilities
$
265

 
$
—

 
$
—

 
$
265

FG VIEs’ liabilities with recourse, at fair value
312

 
—

 
—

 
312

FG VIEs’ liabilities without recourse, at fair value
82

 
—

 
—

 
82

Liabilities of consolidated investment vehicles
426

 
—

 
—

 
426

Total liabilities carried at fair value
$
1,085

 
$
—

 
$
—

 
$
1,085

 
Fair Value Hierarchy of Financial Instruments Carried at Fair Value
As of December 31, 2019
 
 
 
 
Fair Value Hierarchy
 
Fair Value
 
Level 1
 
Level 2
 
Level 3
 
(in millions)
Assets:
 

 
 

 
 

 
 

Investment portfolio, available-for-sale:
 

 
 

 
 

 
 

Fixed-maturity securities
 

 
 

 
 

 
 

Obligations of state and political subdivisions
$
4,340

 
$
—

 
$
4,233

 
$
107

U.S. government and agencies
147

 
—

 
147

 
—

Corporate securities
2,221

 
—

 
2,180

 
41

Mortgage-backed securities:
 

 
 

 
 

 
 

RMBS
775

 
—

 
467

 
308

CMBS
419

 
—

 
419

 
—

Asset-backed securities
720

 
—

 
62

 
658

Non-U.S. government securities
232

 
—

 
232

 
—

Total fixed-maturity securities
8,854

 
—

 
7,740

 
1,114

Short-term investments
1,268

 
1,061

 
207

 
—

Other invested assets (1)
6

 
—

 
—

 
6

FG VIEs’ assets, at fair value
442

 
—

 
—

 
442

Assets of consolidated investment vehicles
558

 
—

 
494

 
64

Other assets
135

 
32

 
45

 
58

Total assets carried at fair value
$
11,263

 
$
1,093

 
$
8,486

 
$
1,684

Liabilities:
 

 
 

 
 

 
 

Credit derivative liabilities
$
191

 
$
—

 
$
—

 
$
191

FG VIEs’ liabilities with recourse, at fair value
367

 
—

 
—

 
367

FG VIEs’ liabilities without recourse, at fair value
102

 
—

 
—

 
102

Liabilities of consolidated investment vehicles
481

 
—

 
—

 
481

Total liabilities carried at fair value
$
1,141

 
$
—

 
$
—

 
$
1,141

____________________
(1)
Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis.
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 2020 and 2019.

Rollforward of Level 3 Assets
At Fair Value on a Recurring Basis
First Quarter 2020
 
Fixed-Maturity Securities
 
 
 
 
 
 
 
 
Obligations
of State and
Political
Subdivisions
 
Corporate Securities
 
RMBS
 
Asset-
Backed
Securities
 
FG VIEs’
Assets at
Fair
Value
 
Assets of Consolidated Investment Vehicles
 
Other
(7)
 
 
(in millions)
Fair value as of
December 31, 2019
$
107

 
$
41

 
$
308

 
$
658

 
$
442

 
$
64

 
$
55

 
Total pretax realized and unrealized gains/(losses) recorded in:
 
 
 
 
 
 
 
 

 
 
 
 
 
 

Net income (loss)
1

(1
)
(7
)
(1
)
3

(1
)
7

(1
)
(37
)
(2
)
1

(4
)
48

(3
)
Other comprehensive income (loss)
(21
)
 
(8
)
 
(47
)
 
(59
)
 

—

 
—

 
—

 

Purchases
—

 
—

 
—

 
—

 

—

 
45

 
—

 

Sales
—

 
—

 
—

 
(2
)
 
—

 
—

 
—

 
Settlements
(1
)
 
—

 
(11
)
 
(7
)
 
(37
)
 
(14
)
 
—

 

Transfers out of Level 3
—

 
—

 
—

 
(1
)
 
—

 
—

 
—

 
Fair value as of
March 31, 2020
$
86

 
$
26

 
$
253

 
$
596

 
$
368

 
$
96

 
$
103

 
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of March 31, 2020
 
 
 
 
 
 
 
 
$
(35
)
(2
)
$
1

(4
)
$
48

(3
)
Change in unrealized
gains/(losses) included in OCI related to financial instruments held as of March 31, 2020
$
(21
)
 
$
(8
)
 
$
(46
)
 
$
(58
)
 
 
 
 
 
 
 
Rollforward of Level 3 Liabilities
At Fair Value on a Recurring Basis
First Quarter 2020
 
 
 
FG VIEs’ Liabilities, at Fair Value
 
 
 
 
Credit
Derivative
Asset
(Liability),
net (5)
 
With
Recourse
 
Without
Recourse
 
Liabilities of Consolidated Investment Vehicles
 
 
(in millions)
Fair value as of December 31, 2019
$
(185
)
 
$
(367
)
 
$
(102
)
 
$
(481
)
 
Total pretax realized and unrealized gains/(losses) recorded in:
 
 

 
 

 
 

 
 
Net income (loss)
(77
)
(6
)
16

(2
)
11

(2
)
55

(4
)
Other comprehensive income (loss)
—

 

13

 

—

 

—

 
Settlements
—

 

26

 

9

 

—

 
Fair value as of March 31, 2020
$
(262
)
 
$
(312
)
 
$
(82
)
 
$
(426
)
 
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of March 31, 2020
$
(73
)
(6
)
$
15

(2
)
$
11

(2
)
$
55

(4
)
Change in unrealized gains/(losses) included in OCI related to financial instruments held as of March 31, 2020
 
 
$
13

 
 
 
 
 

































Rollforward of Level 3 Assets and Liabilities
At Fair Value on a Recurring Basis
First Quarter 2019
 
Fixed-Maturity Securities
 
 
 
 
 
 
 
FG VIEs’ Liabilities, at Fair Value
 
 
Obligations
of State and
Political
Subdivisions
 
Corporate Securities
 
RMBS
 
Asset-
Backed
Securities
 
FG VIEs’
Assets at
Fair
Value
 
Other
(7)
 
Credit
Derivative
Asset
(Liability),
net (5)
 

With
Recourse
 

Without
Recourse
 
 
(in millions)
Fair value as of
December 31, 2018
$
99

 
$
56

 
$
309

 
$
947

 
$
569

 
$
77

 
$
(207
)
 
$
(517
)
 
$
(102
)
 
Total pretax realized and unrealized gains/(losses) recorded in:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

Net income (loss)
1

(1
)
(11
)
(1
)
6

(1
)
14

(1
)
17

(2
)
(9
)
(3
)
(22
)
(6
)
(11
)
(2
)
(4
)
(2
)
Other comprehensive income (loss)
5

 
3

 
5

 
(9
)
 
—

 
—

 

—

 

—

 

—

 

Purchases
—

 
—

 
11

 
10

 
—

 
—

 

—

 

—

 

—

 

Settlements
(1
)
 
—

 
(13
)
 
(4
)
 
(26
)
 
—

 

1

 

23

 

2

 

Fair value as of
March 31, 2019
$
104

 
$
48

 
$
318

 
$
958

 
$
560

 
$
68

 
$
(228
)
 
$
(505
)
 
$
(104
)
 
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of March 31, 2019
 
 
 
 
 
 
 
 
$
20

(2
)
$
(9
)
(3
)
$
(21
)
(6
)
$
(11
)
(2
)
$
(3
)
(2
)
Change in unrealized gains/(losses) included in OCI related to financial instruments held at March 31. 2019
$
5

 
$
3

 
$
5

 
$
(8
)
 
 
 
$
—

 
 
 
$
—

 
 
 
 ____________________
(1)
Included in net realized investment gains (losses) and net investment income.

(2)
Included in fair value gains (losses) on FG VIEs.

(3)
Recorded in fair value gains (losses) on CCS, net investment income and other income.

(4)
Recorded in fair value gains (losses) on consolidated investment vehicles.

(5)
Represents the net position of credit derivatives. Credit derivative assets (recorded 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 sheet based on net exposure by transaction.

(6)
Reported in net change in fair value of credit derivatives.

(7)
Includes CCS and other invested assets.
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 2020 and 2019.

Rollforward of Level 3 Assets
At Fair Value on a Recurring Basis
First Quarter 2020
 
Fixed-Maturity Securities
 
 
 
 
 
 
 
 
Obligations
of State and
Political
Subdivisions
 
Corporate Securities
 
RMBS
 
Asset-
Backed
Securities
 
FG VIEs’
Assets at
Fair
Value
 
Assets of Consolidated Investment Vehicles
 
Other
(7)
 
 
(in millions)
Fair value as of
December 31, 2019
$
107

 
$
41

 
$
308

 
$
658

 
$
442

 
$
64

 
$
55

 
Total pretax realized and unrealized gains/(losses) recorded in:
 
 
 
 
 
 
 
 

 
 
 
 
 
 

Net income (loss)
1

(1
)
(7
)
(1
)
3

(1
)
7

(1
)
(37
)
(2
)
1

(4
)
48

(3
)
Other comprehensive income (loss)
(21
)
 
(8
)
 
(47
)
 
(59
)
 

—

 
—

 
—

 

Purchases
—

 
—

 
—

 
—

 

—

 
45

 
—

 

Sales
—

 
—

 
—

 
(2
)
 
—

 
—

 
—

 
Settlements
(1
)
 
—

 
(11
)
 
(7
)
 
(37
)
 
(14
)
 
—

 

Transfers out of Level 3
—

 
—

 
—

 
(1
)
 
—

 
—

 
—

 
Fair value as of
March 31, 2020
$
86

 
$
26

 
$
253

 
$
596

 
$
368

 
$
96

 
$
103

 
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of March 31, 2020
 
 
 
 
 
 
 
 
$
(35
)
(2
)
$
1

(4
)
$
48

(3
)
Change in unrealized
gains/(losses) included in OCI related to financial instruments held as of March 31, 2020
$
(21
)
 
$
(8
)
 
$
(46
)
 
$
(58
)
 
 
 
 
 
 
 
Rollforward of Level 3 Liabilities
At Fair Value on a Recurring Basis
First Quarter 2020
 
 
 
FG VIEs’ Liabilities, at Fair Value
 
 
 
 
Credit
Derivative
Asset
(Liability),
net (5)
 
With
Recourse
 
Without
Recourse
 
Liabilities of Consolidated Investment Vehicles
 
 
(in millions)
Fair value as of December 31, 2019
$
(185
)
 
$
(367
)
 
$
(102
)
 
$
(481
)
 
Total pretax realized and unrealized gains/(losses) recorded in:
 
 

 
 

 
 

 
 
Net income (loss)
(77
)
(6
)
16

(2
)
11

(2
)
55

(4
)
Other comprehensive income (loss)
—

 

13

 

—

 

—

 
Settlements
—

 

26

 

9

 

—

 
Fair value as of March 31, 2020
$
(262
)
 
$
(312
)
 
$
(82
)
 
$
(426
)
 
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of March 31, 2020
$
(73
)
(6
)
$
15

(2
)
$
11

(2
)
$
55

(4
)
Change in unrealized gains/(losses) included in OCI related to financial instruments held as of March 31, 2020
 
 
$
13

 
 
 
 
 

































Rollforward of Level 3 Assets and Liabilities
At Fair Value on a Recurring Basis
First Quarter 2019
 
Fixed-Maturity Securities
 
 
 
 
 
 
 
FG VIEs’ Liabilities, at Fair Value
 
 
Obligations
of State and
Political
Subdivisions
 
Corporate Securities
 
RMBS
 
Asset-
Backed
Securities
 
FG VIEs’
Assets at
Fair
Value
 
Other
(7)
 
Credit
Derivative
Asset
(Liability),
net (5)
 

With
Recourse
 

Without
Recourse
 
 
(in millions)
Fair value as of
December 31, 2018
$
99

 
$
56

 
$
309

 
$
947

 
$
569

 
$
77

 
$
(207
)
 
$
(517
)
 
$
(102
)
 
Total pretax realized and unrealized gains/(losses) recorded in:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

Net income (loss)
1

(1
)
(11
)
(1
)
6

(1
)
14

(1
)
17

(2
)
(9
)
(3
)
(22
)
(6
)
(11
)
(2
)
(4
)
(2
)
Other comprehensive income (loss)
5

 
3

 
5

 
(9
)
 
—

 
—

 

—

 

—

 

—

 

Purchases
—

 
—

 
11

 
10

 
—

 
—

 

—

 

—

 

—

 

Settlements
(1
)
 
—

 
(13
)
 
(4
)
 
(26
)
 
—

 

1

 

23

 

2

 

Fair value as of
March 31, 2019
$
104

 
$
48

 
$
318

 
$
958

 
$
560

 
$
68

 
$
(228
)
 
$
(505
)
 
$
(104
)
 
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of March 31, 2019
 
 
 
 
 
 
 
 
$
20

(2
)
$
(9
)
(3
)
$
(21
)
(6
)
$
(11
)
(2
)
$
(3
)
(2
)
Change in unrealized gains/(losses) included in OCI related to financial instruments held at March 31. 2019
$
5

 
$
3

 
$
5

 
$
(8
)
 
 
 
$
—

 
 
 
$
—

 
 
 
 ____________________
(1)
Included in net realized investment gains (losses) and net investment income.

(2)
Included in fair value gains (losses) on FG VIEs.

(3)
Recorded in fair value gains (losses) on CCS, net investment income and other income.

(4)
Recorded in fair value gains (losses) on consolidated investment vehicles.

(5)
Represents the net position of credit derivatives. Credit derivative assets (recorded 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 sheet based on net exposure by transaction.

(6)
Reported in net change in fair value of credit derivatives.

(7)
Includes CCS and other invested assets.
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements
Quantitative Information About Level 3 Fair Value Inputs
At March 31, 2020

Financial Instrument Description
 
Fair Value at
March 31, 2020
(in millions)
 
Significant Unobservable Inputs
 
Range
 
Weighted Average (4)
Assets (2):
 
 

 
 
 
 
 
 
Fixed-maturity securities (1):
 
 

 
 
 
 
 
 
 
 
Obligations of state and political subdivisions
 
$
86

 
Yield
 
5.3
%
-
41.4%
 
16.9%
 
 
 
 
 
 
 
 
 
 
 
Corporate securities
 
26

 
Yield
 
51.7%
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
253

 
CPR
 
3.3
%
-
15.0%
 
6.4%
 
 
CDR
 
1.5
%
-
7.5%
 
4.9%
 
 
Loss severity
 
40.0
%
-
125.0%
 
79.0%
 
 
Yield
 
5.7
%
-
8.1%
 
6.9%
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
Life insurance transactions
 
321

 
Yield
 
6.5%
 
 
 
 
 
 
 
 
 
 
 
 
 
CLOs /Trust preferred securities (TruPS)
 
240

 
Yield
 
2.4
%
-
4.4%
 
3.0%
 
 
 
 
 
 
 
 
 
 
 
Others
 
35

 
Yield
 
20.7%
 
 
 
 
 
 
 
 
 
 
 
 
 
FG VIEs’ assets, at fair value (1)
 
368

 
CPR
 
0.1
%
-
18.7%
 
8.4%
 
 
CDR
 
1.2
%
-
24.9%
 
4.9%
 
 
Loss severity
 
40.0
%
-
100.0%
 
74.3%
 
 
Yield
 
5.1
%
-
10.8%
 
7.2%
 
 
 
 
 
 
 
 
 
 
 
Assets of consolidated investment vehicles (3)
 
96

 
Discount rate
 
15.3
%
-
27.6%
 
21.8%
 
 
 
Market multiple - enterprise/revenue value
 
0.6x

-
8.6x
 
 
 
 
 
Yield
 
6.9
%
-
21.2%
 
12.7%
 
 
 
 
 
 
 
 
 
 
 
Other assets (1)
 
100

 
Implied Yield
 
5.5
%
-
6.3%
 
5.9%
 
 
Term (years)
 
10 years
 
 
Financial Instrument Description (1)
 
Fair Value at
March 31, 2020
(in millions)
 
Significant Unobservable Inputs
 
Range
 
Weighted Average (4)
Liabilities:
 
 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit derivative liabilities, net
 
$
(262
)
 
Year 1 loss estimates
 
0.0
%
-
85.0%
 
2.3%
 
 
Hedge cost (in basis points (bps))
 
35.0
-
168.0
 
67.0
 
 
Bank profit (in bps)
 
0.0
-
369.0
 
104.0
 
 
Internal floor (in bps)
 
9.0

-
30.0
 
14.0
 
 
Internal credit rating
 
AAA

-
CCC
 
AA-
 
 
 
 
 
 
 
 
 
 
 
FG VIEs’ liabilities, at fair value
 
(394
)
 
CPR
 
0.1
%
-
18.7%
 
8.4%
 
 
CDR
 
1.2
%
-
24.9%
 
4.9%
 
 
Loss severity
 
40.0
%
-
100.0%
 
74.3%
 
 
Yield
 
4.2
%
-
10.8%
 
5.6%
 
 
 
 
 
 
 
 
 
 
 
Liabilities of consolidated investment vehicles:
 
 
 
 
 
 
 
 
 
 
CLO obligations (5)
 
(426
)
 
Yield
 
3.8%
 
 
 
 
 
 
Discount rate
 
29.0%
 
 
___________________
(1)
Discounted cash flow is used as the primary valuation technique.

(2)
Excludes several investments recorded in other invested assets with fair value of $6 million.

(3)
The primary inputs to the valuation are recent market transaction prices, supported by market multiples and yields/discount rates.

(4)
Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of consolidated investment vehicles, where it is calculated as a percentage of fair value.

(5)
See CFE fair value methodology described above for CLO XXVI.
Quantitative Information About Level 3 Fair Value Inputs
At December 31, 2019

Financial Instrument Description
 
Fair Value at
December 31, 2019
(in millions)
 
Significant Unobservable Inputs
 
Range
 
Weighted Average as a Percentage of Current Par Outstanding
Assets (2):
 
 

 
 
 
 
 
 
 
 
Fixed-maturity securities (1):
 
 

 
 
 
 
 
 
 
 
Obligations of state and political subdivisions
 
$
107

 
Yield
 
4.5
%
-
31.1%
 
8.5%
 
 
 
 
 
 
 
 
 
 
 
Corporate securities
 
41

 
Yield
 
35.9%
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
308

 
CPR
 
2.0
%
-
15.0%
 
6.3%
 
 
CDR
 
1.5
%
-
7.0%
 
4.9%
 
 
Loss severity
 
40.0
%
-
125.0%
 
78.8%
 
 
Yield
 
3.7
%
-
6.1%
 
4.8%
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
Life insurance transactions
 
350

 
Yield
 
5.8%
 
 
 
 
 
 
 
 
 
 
 
 
 
CLOs/TruPS
 
256

 
Yield
 
2.5
%
-
4.1%
 
2.9%
 
 
 
 
 
 
 
 
 
 
 
Others
 
52

 
Yield
 
2.3
%
-
9.4%
 
9.3%
 
 
 
 
 
 
 
 
 
 
 
FG VIEs’ assets, at fair value (1)
 
442

 
CPR
 
0.1
%
-
18.6%
 
8.6%
 
 
CDR
 
1.2
%
-
24.7%
 
4.9%
 
 
Loss severity
 
40.0
%
-
100.0%
 
76.1%
 
 
Yield
 
3.0
%
-
8.4%
 
5.2%
 
 
 
 
 
 
 
 
 
 
 
Assets of consolidated investment vehicles (3)
 
64

 
Discount rate
 
16.0
%
-
28.0%
 
21.0%
 
 
Market multiple - enterprise/revenue value
 
0.5x

-
6.7x
 
 
 
 
Yield
 
12.5%
 
 
 
 
 
 
 
 
 
 
 
 
 
Other assets (1)
 
52

 
Implied Yield
 
5.1
%
-
5.8%
 
5.5%
 
 
 
 
Term (years)
 
10 years
 
 

Financial Instrument Description (1)
 
Fair Value at
December 31, 2019
(in millions)
 
Significant Unobservable Inputs
 
Range
 
Weighted Average as a Percentage of Current Par Outstanding
Liabilities:
 
 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit derivative liabilities, net
 
$
(185
)
 
Year 1 loss estimates
 
0.0
%
-
46.0%
 
1.3%
 
 
Hedge cost (in bps)
 
5.0
-
31.0
 
11.0
 
 
Bank profit (in bps)
 
51.0
-
212.0
 
76.0
 
 
Internal floor (in bps)
 
30.0
 
 
 
 
Internal credit rating
 
AAA

-
CCC
 
AA-
 
 
 
 
 
 
 
 
 
 
 
FG VIEs’ liabilities, at fair value
 
(469
)
 
CPR
 
0.1
%
-
18.6%
 
8.6%
 
 
CDR
 
1.2
%
-
24.7%
 
4.9%
 
 
Loss severity
 
40.0
%
-
100.0%
 
76.1%
 
 
Yield
 
2.7
%
-
8.4%
 
4.2%
 
 
 
 
 
 
 
 
 
 
 
Liabilities of consolidated investment vehicles:
 
 
 
 
 
 
 
 
 
 
CLO obligations
 
(481
)
 
Yield
 
10.0%
 
 
____________________
(1)
Discounted cash flow is used as the primary valuation technique.

(2)
Excludes several investments recorded in other invested assets with fair value of $6 million.

(3)
The primary inputs to the valuation are recent market transaction prices, supported by market multiples and yields/discount rates.
Fair Value of Financial Instruments

Fair Value of Financial Instruments Not Carried at Fair Value
 
 
As of
March 31, 2020
 
As of
December 31, 2019
 
Carrying
Amount
 
Estimated
Fair Value
 
Carrying
Amount
 
Estimated
Fair Value
 
(in millions)
Assets (liabilities):
 

 
 

 
 

 
 

Other invested assets
$
1

 
$
2

 
$
1

 
$
2

Other assets (1)
93

 
93

 
97

 
97

Financial guaranty insurance contracts (2)
(2,668
)
 
(4,306
)
 
(2,714
)
 
(4,013
)
Long-term debt
(1,221
)
 
(1,510
)
 
(1,235
)
 
(1,573
)
Other liabilities (1)
(18
)
 
(18
)
 
(14
)
 
(14
)
____________________
(1)
The Company's other assets and other liabilities consist predominantly of: accrued interest, management fees receivables, receivables for securities sold and payables for securities purchased, for which the carrying value approximates fair value, and a promissory note receivable.

(2)
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.