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Fair Value Measurement (Tables)
 9 Months Ended
Sep. 30, 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 September 30, 2020
 
  Fair Value Hierarchy
 Fair ValueLevel 1Level 2Level 3
 (in millions)
Assets:    
Investment portfolio, available-for-sale:
    
Fixed-maturity securities    
Obligations of state and political subdivisions$3,999 $— $3,906 $93 
U.S. government and agencies192 — 192 — 
Corporate securities2,273 — 2,243 30 
Mortgage-backed securities: 
RMBS606 — 349 257 
Commercial mortgage-backed securities (CMBS)396 — 396 — 
Asset-backed securities947 — 50 897 
Non-U.S. government securities143 — 143 — 
Total fixed-maturity securities8,556 — 7,279 1,277 
Short-term investments
858 826 32 — 
Other invested assets (1)16 10 — 6 
FG VIEs’ assets, at fair value314 — — 314 
Assets of consolidated investment vehicles:
Fund investments
Corporate securities85 — 23 62 
Equity securities and warrants43 — — 43 
Structured products40 — 40 — 
Obligations of state and political subdivisions50 — 50 — 
CLO investments
Loans1,053 — 1,053 — 
Short-term investments30 30 — — 
Total assets of consolidated investment vehicles1,301 30 1,166 105 
Other assets155 43 44 68 
Total assets carried at fair value$11,200 $909 $8,521 $1,770 
Liabilities: 
Credit derivative liabilities$162 $— $— $162 
FG VIEs’ liabilities with recourse, at fair value336 — — 336 
FG VIEs’ liabilities without recourse, at fair value19 — — 19 
Liabilities of consolidated investment vehicles:
CLO obligations of CFE 830 — — 830 
Warehouse financing debt47 — 47 — 
Securities sold short 53 — 53 — 
Total liabilities of consolidated investment vehicles930 — 100 830 
Total liabilities carried at fair value$1,447 $— $100 $1,347 
 
Fair Value Hierarchy of Financial Instruments Carried at Fair Value
As of December 31, 2019
 
  Fair Value Hierarchy
 Fair ValueLevel 1Level 2Level 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 agencies147 — 147 — 
Corporate securities2,221 — 2,180 41 
Mortgage-backed securities:    
RMBS775 — 467 308 
CMBS419 — 419 — 
Asset-backed securities720 — 62 658 
Non-U.S. government securities232 — 232 — 
Total fixed-maturity securities8,854 — 7,740 1,114 
Short-term investments
1,268 1,061 207 — 
Other invested assets (1)6 — — 6 
FG VIEs’ assets, at fair value442 — — 442 
Assets of consolidated investment vehicles:
Fund investments
Corporate securities47 — — 47 
Equity securities and warrants17 — — 17 
CLO investments
Loans494 — 494 — 
Total assets of consolidated investment vehicles558 — 494 64 
Other assets135 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 value367 — — 367 
FG VIEs’ liabilities without recourse, at fair value102 — — 102 
Liabilities of consolidated investment vehicles
CLO obligations of CFE 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 Third Quarter 2020, Third Quarter 2019, Nine Months 2020 and Nine Months 2019.

Rollforward of Level 3 Assets
At Fair Value on a Recurring Basis
Third Quarter 2020
Fixed-Maturity SecuritiesAssets of Consolidated Investment Vehicles
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS Asset-
Backed
Securities		 FG VIEs’
Assets at
Fair
Value		Corporate SecuritiesEquity Securities and WarrantsStructured ProductsOther
(7)		 
 (in millions)
Fair value as of June 30, 2020$97 $29 $254 $714 $318 $60 $53 $6 $78 
Total pretax realized and unrealized gains/(losses) recorded in:  
Net income (loss)2 (1)1 (1)5 (1)7 (1)8 (2)2 6 (4)— (10)(3)
Other comprehensive income (loss)(5)— 9 26  — — — — —  
Purchases— — — 172  — — 5 — —  
Sales— — — (19)— — (21)(6)— 
Settlements(1)— (11)(3)(12)— — — —  
Fair value as of September 30, 2020$93 $30 $257 $897 $314 $62 $43 $— $68 
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2020$8 (2)$2 (4)$5 (4)$— (4)$(10)(3)
Change in unrealized
gains/(losses) included in OCI related to financial instruments held as of September 30, 2020		$(5)$— $9 $26 $— 
Rollforward of Level 3 Liabilities
At Fair Value on a Recurring Basis
Third Quarter 2020
                   FG VIEs’ Liabilities, at Fair Value
 Credit
Derivative
Asset
(Liability),
net (5)		 With
Recourse		 Without
Recourse		Liabilities of Consolidated Investment Vehicles
 (in millions)
Fair value as of June 30, 2020$(161)$(332)$(20)$(806)
Total pretax realized and unrealized gains/(losses) recorded in:   
Net income (loss)(3)(6)(9)(2)(1)(2)(24)(4)
Other comprehensive income (loss)—  (4) —  — 
Issuances— — — — 
Settlements5  9  2  — 
Fair value as of September 30, 2020$(159)$(336)$(19)$(830)
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2020$1 (6)$(7)(2)$(1)(2)$(24)(4)
Change in unrealized gains/(losses) included in OCI related to financial instruments held as of September 30, 2020$(4)

Rollforward of Level 3 Assets and Liabilities
At Fair Value on a Recurring Basis
Third Quarter 2019
Fixed-Maturity Securities      FG VIEs’ Liabilities, at Fair Value
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS 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 June 30, 2019$105 $48 $325 $674 $526 $87 $(216)$(446)$(105)
Total pretax realized and unrealized gains/(losses) recorded in: 
Net income (loss)3 (1)1 (1)5 (1)7 (1)6 (2)(14)(3)5 (6)(2)(2)(2)(2)
Other comprehensive income (loss)(4)(3)1 (3)— —  —  1  —  
Purchases6 — — 1 — —  —  —  —  
Settlements(1)— (15)(15)(69)—  3  64  3  
FG VIE consolidation— — — — 6 — — (5)(1)
Fair value as of September 30, 2019$109 $46 $316 $664 $469 $73 $(208)$(388)$(105)
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2019$6 (2)$(14)(3)$8 (6)$(2)(2)$(1)(2)
Change in unrealized gains/(losses) included in OCI related to financial instruments held at September 30, 2019$(4)$(3)$1 $(2)$— $1 
Rollforward of Level 3 Assets
At Fair Value on a Recurring Basis
Nine Months 2020
Fixed-Maturity SecuritiesAssets of Consolidated Investment Vehicles
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS Asset-
Backed
Securities		 FG VIEs’
Assets at
Fair
Value		Corporate SecuritiesEquity Securities and WarrantsStructured ProductsOther
(7)		 
 (in millions)
Fair value as of December 31, 2019$107 $41 $308 $658 $442 $47 $17 $— $55 
Total pretax realized and unrealized gains/(losses) recorded in:  
Net income (loss)4 (1)(5)(1)10 (1)21 (1)(79)(2)10 (4)9 (4)3 (4)13 (3)
Other comprehensive income (loss)(16)(6)(26)(16) — — — — —  
Purchases— — — 290  — 5 55 17 —  
Sales— — — (42)— — (38)(20)— 
Settlements(2)— (35)(13)(67)— — — —  
FG VIE consolidations— — — — 18 — — — — 
Transfers out of Level 3— — — (1)— — — — — 
Fair value as of September 30, 2020$93 $30 $257 $897 $314 $62 $43 $— $68 
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2020$(2)(2)$10 (4)$8 (4)$— $13 (3)
Change in unrealized
gains/(losses) included in OCI related to financial instruments held as of September 30, 2020		$(16)$(6)$(24)$(17)

Rollforward of Level 3 Liabilities
At Fair Value on a Recurring Basis
Nine Months 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)20 (6)(5)(2)73 (2)13 (4)
Other comprehensive income (loss)—  2  —  — 
Issuances— — — (362)
Settlements6  50  13  — 
FG VIE consolidations— (16)(3)— 
Fair value as of September 30, 2020$(159)$(336)$(19)$(830)
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2020$28 (6)$(3)(2)$(2)(2)$13 (4)
Change in unrealized gains/(losses) included in OCI related to financial instruments held as of September 30, 2020$2 
Rollforward of Level 3 Assets and Liabilities
At Fair Value on a Recurring Basis
Nine Months 2019
Fixed-Maturity Securities      FG VIEs’ Liabilities, at Fair Value
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS 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)5 (1)(9)(1)16 (1)51 (1)70 (2)(4)(3)(25)(6)(33)(2)(9)(2)
Other comprehensive income (loss)1 (1)21 (97)— —  —  6  —  
Purchases6 — 11 19 — —  —  —  —  
Settlements(2)— (41)(257)(170)—  24  156  6  
FG VIE consolidation— — — — 6 — — (5)(1)
FG VIE deconsolidation— — — — (6)— — 5 1 
Transfers into Level 3— — — 1 — — — — — 
Fair value as of September 30, 2019$109 $46 $316 $664 $469 $73 $(208)$(388)$(105)
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2019$78 (2)$(4)(3)$(19)(6)$(32)(2)$(16)(2)
Change in unrealized gains/(losses) included in OCI related to financial instruments held at September 30. 2019$1 $(1)$21 $8 $— $6 
 ____________________
(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 Third Quarter 2020, Third Quarter 2019, Nine Months 2020 and Nine Months 2019.

Rollforward of Level 3 Assets
At Fair Value on a Recurring Basis
Third Quarter 2020
Fixed-Maturity SecuritiesAssets of Consolidated Investment Vehicles
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS Asset-
Backed
Securities		 FG VIEs’
Assets at
Fair
Value		Corporate SecuritiesEquity Securities and WarrantsStructured ProductsOther
(7)		 
 (in millions)
Fair value as of June 30, 2020$97 $29 $254 $714 $318 $60 $53 $6 $78 
Total pretax realized and unrealized gains/(losses) recorded in:  
Net income (loss)2 (1)1 (1)5 (1)7 (1)8 (2)2 6 (4)— (10)(3)
Other comprehensive income (loss)(5)— 9 26  — — — — —  
Purchases— — — 172  — — 5 — —  
Sales— — — (19)— — (21)(6)— 
Settlements(1)— (11)(3)(12)— — — —  
Fair value as of September 30, 2020$93 $30 $257 $897 $314 $62 $43 $— $68 
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2020$8 (2)$2 (4)$5 (4)$— (4)$(10)(3)
Change in unrealized
gains/(losses) included in OCI related to financial instruments held as of September 30, 2020		$(5)$— $9 $26 $— 
Rollforward of Level 3 Liabilities
At Fair Value on a Recurring Basis
Third Quarter 2020
                   FG VIEs’ Liabilities, at Fair Value
 Credit
Derivative
Asset
(Liability),
net (5)		 With
Recourse		 Without
Recourse		Liabilities of Consolidated Investment Vehicles
 (in millions)
Fair value as of June 30, 2020$(161)$(332)$(20)$(806)
Total pretax realized and unrealized gains/(losses) recorded in:   
Net income (loss)(3)(6)(9)(2)(1)(2)(24)(4)
Other comprehensive income (loss)—  (4) —  — 
Issuances— — — — 
Settlements5  9  2  — 
Fair value as of September 30, 2020$(159)$(336)$(19)$(830)
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2020$1 (6)$(7)(2)$(1)(2)$(24)(4)
Change in unrealized gains/(losses) included in OCI related to financial instruments held as of September 30, 2020$(4)

Rollforward of Level 3 Assets and Liabilities
At Fair Value on a Recurring Basis
Third Quarter 2019
Fixed-Maturity Securities      FG VIEs’ Liabilities, at Fair Value
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS 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 June 30, 2019$105 $48 $325 $674 $526 $87 $(216)$(446)$(105)
Total pretax realized and unrealized gains/(losses) recorded in: 
Net income (loss)3 (1)1 (1)5 (1)7 (1)6 (2)(14)(3)5 (6)(2)(2)(2)(2)
Other comprehensive income (loss)(4)(3)1 (3)— —  —  1  —  
Purchases6 — — 1 — —  —  —  —  
Settlements(1)— (15)(15)(69)—  3  64  3  
FG VIE consolidation— — — — 6 — — (5)(1)
Fair value as of September 30, 2019$109 $46 $316 $664 $469 $73 $(208)$(388)$(105)
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2019$6 (2)$(14)(3)$8 (6)$(2)(2)$(1)(2)
Change in unrealized gains/(losses) included in OCI related to financial instruments held at September 30, 2019$(4)$(3)$1 $(2)$— $1 
Rollforward of Level 3 Assets
At Fair Value on a Recurring Basis
Nine Months 2020
Fixed-Maturity SecuritiesAssets of Consolidated Investment Vehicles
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS Asset-
Backed
Securities		 FG VIEs’
Assets at
Fair
Value		Corporate SecuritiesEquity Securities and WarrantsStructured ProductsOther
(7)		 
 (in millions)
Fair value as of December 31, 2019$107 $41 $308 $658 $442 $47 $17 $— $55 
Total pretax realized and unrealized gains/(losses) recorded in:  
Net income (loss)4 (1)(5)(1)10 (1)21 (1)(79)(2)10 (4)9 (4)3 (4)13 (3)
Other comprehensive income (loss)(16)(6)(26)(16) — — — — —  
Purchases— — — 290  — 5 55 17 —  
Sales— — — (42)— — (38)(20)— 
Settlements(2)— (35)(13)(67)— — — —  
FG VIE consolidations— — — — 18 — — — — 
Transfers out of Level 3— — — (1)— — — — — 
Fair value as of September 30, 2020$93 $30 $257 $897 $314 $62 $43 $— $68 
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2020$(2)(2)$10 (4)$8 (4)$— $13 (3)
Change in unrealized
gains/(losses) included in OCI related to financial instruments held as of September 30, 2020		$(16)$(6)$(24)$(17)

Rollforward of Level 3 Liabilities
At Fair Value on a Recurring Basis
Nine Months 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)20 (6)(5)(2)73 (2)13 (4)
Other comprehensive income (loss)—  2  —  — 
Issuances— — — (362)
Settlements6  50  13  — 
FG VIE consolidations— (16)(3)— 
Fair value as of September 30, 2020$(159)$(336)$(19)$(830)
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2020$28 (6)$(3)(2)$(2)(2)$13 (4)
Change in unrealized gains/(losses) included in OCI related to financial instruments held as of September 30, 2020$2 
Rollforward of Level 3 Assets and Liabilities
At Fair Value on a Recurring Basis
Nine Months 2019
Fixed-Maturity Securities      FG VIEs’ Liabilities, at Fair Value
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS 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)5 (1)(9)(1)16 (1)51 (1)70 (2)(4)(3)(25)(6)(33)(2)(9)(2)
Other comprehensive income (loss)1 (1)21 (97)— —  —  6  —  
Purchases6 — 11 19 — —  —  —  —  
Settlements(2)— (41)(257)(170)—  24  156  6  
FG VIE consolidation— — — — 6 — — (5)(1)
FG VIE deconsolidation— — — — (6)— — 5 1 
Transfers into Level 3— — — 1 — — — — — 
Fair value as of September 30, 2019$109 $46 $316 $664 $469 $73 $(208)$(388)$(105)
Change in unrealized gains/(losses) included in earnings related to financial instruments held as of September 30, 2019$78 (2)$(4)(3)$(19)(6)$(32)(2)$(16)(2)
Change in unrealized gains/(losses) included in OCI related to financial instruments held at September 30. 2019$1 $(1)$21 $8 $— $6 
 ____________________
(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 September 30, 2020
Financial Instrument Description Fair Value at September 30, 2020 (in millions)Significant Unobservable InputsRangeWeighted Average (5)
Assets (2):   
Fixed-maturity securities (1):  
Obligations of state and political subdivisions$93 Yield5.3 %-37.6%13.2%
Corporate securities30 Yield44.9%
RMBS257 CPR1.1 %-15.0%6.9%
CDR1.5 %-11.4%6.1%
Loss severity45.0 %-125.0%83.5%
Yield3.7 %-6.5%4.7%
Asset-backed securities:
Life insurance transactions360 Yield5.4%
CLOs 498 Discount margin0.9 %-4.1%1.9%
Others39 Yield3.1 %-11.4%11.3%
FG VIEs’ assets, at fair value (1)314 CPR0.9 %-18.9%8.7%
CDR1.8 %-25.6%5.9%
Loss severity45.0 %-100.0%79.9%
Yield2.1 %-7.7%5.3%
Assets of consolidated investment vehicles (3):
Corporate securities62 Discount rate15.3 %-22.8%18.4%
Market multiple - enterprise/revenue value0.66x
Market multiple - enterprise/EBITDA (4)10.0x
Equity securities and warrants43 Discount rate15.3 %-27.2%25.9%
Market multiple - enterprise/revenue value0.66x
Market multiple - enterprise/EBITDA8.0x-10.0x
Yield9.3%
Other assets (1)65 Implied Yield3.8 %-4.5%4.2%
Term (years)10 years
Financial Instrument Description (1) Fair Value at September 30, 2020 (in millions)Significant Unobservable InputsRangeWeighted Average (5)
Liabilities:  
Credit derivative liabilities, net$(159)Year 1 loss estimates0.0 %-85.0%2.0%
Hedge cost (in basis points (bps))20.0-105.032.0
Bank profit (in bps)48.0-285.0101.0
Internal credit ratingAAA-CCCAA-
FG VIEs’ liabilities, at fair value(355)CPR0.9 %-18.9%8.7%
CDR1.8 %-25.6%5.9%
Loss severity45.0 %-100.0%79.9%
Yield1.7 %-7.0%4.1%
Liabilities of consolidated investment vehicles:
CLO obligations of CFE (6)(830)Yield2.3 %-12.8%2.6%
___________________
(1)    Discounted cash flow is used as the primary valuation technique.

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

(3)    The primary inputs to the valuation are data on comparable companies, including market multiples, yields/discount rates, financial projections, and recent market transaction prices where available.

(4)    Earnings before interest, taxes, depreciation, and amortization.

(5)    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.

(6)    See CFE fair value methodology described above for consolidated CLOs.
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 InputsRangeWeighted Average as a Percentage of Current Par Outstanding
Assets (2):   
Fixed-maturity securities (1):  
Obligations of state and political subdivisions$107 Yield4.5 %-31.1%8.5%
Corporate securities41 Yield35.9%
RMBS308 CPR2.0 %-15.0%6.3%
CDR1.5 %-7.0%4.9%
Loss severity40.0 %-125.0%78.8%
Yield3.7 %-6.1%4.8%
Asset-backed securities:
Life insurance transactions350 Yield5.8%
CLOs/TruPS256 Yield2.5 %-4.1%2.9%
Others52 Yield2.3 %-9.4%9.3%
FG VIEs’ assets, at fair value (1)442 CPR0.1 %-18.6%8.6%
CDR1.2 %-24.7%4.9%
Loss severity40.0 %-100.0%76.1%
Yield3.0 %-8.4%5.2%
Assets of consolidated investment vehicles (3):
Corporate securities47 Discount rate16.0 %-28.0%21.5%
Market multiple - enterprise/revenue value0.5x
Market multiple - enterprise/EBITDA9.5x
Equity securities and warrants17 Discount rate16.0 %-28.0%20.8%
Market multiple - enterprise/revenue value0.5x
Market multiple - enterprise/EBITDA9.5x
Yield12.5%
Other assets (1)
52 Implied Yield5.1 %-5.8%5.5%
Term (years)10 years
Financial Instrument Description (1)Fair Value at December 31, 2019 (in millions)Significant Unobservable InputsRangeWeighted Average as a Percentage of Current Par Outstanding
Liabilities:  
Credit derivative liabilities, net$(185)Year 1 loss estimates0.0 %-46.0%1.3%
Hedge cost (in bps)5.0-31.011.0
Bank profit (in bps)51.0-212.076.0
Internal floor (in bps)30.0
Internal credit ratingAAA-CCCAA-
FG VIEs’ liabilities, at fair value(469)CPR0.1 %-18.6%8.6%
CDR1.2 %-24.7%4.9%
Loss severity40.0 %-100.0%76.1%
Yield2.7 %-8.4%4.2%
Liabilities of consolidated investment vehicles:
CLO obligations of CFE(481)Yield10.0%
____________________
(1)    Discounted cash flow is used as the primary valuation technique.

(2)    Excludes several investments recorded in other invested assets with a 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 Disclosure of Asset and Liability Not Measured at Fair Value
Fair Value of Financial Instruments Not Carried at Fair Value
 
 As of September 30, 2020As of December 31, 2019
 Carrying
Amount		Estimated
Fair Value		Carrying
Amount		Estimated
Fair Value
 (in millions)
Assets (liabilities):    
Other invested assets$— $2 $1 $2 
Other assets (1)86 86 97 97 
Financial guaranty insurance contracts (2)(2,461)(4,147)(2,714)(4,013)
Long-term debt(1,223)(1,548)(1,235)(1,573)
Other liabilities (1)(55)(55)(14)(14)
Assets (liabilities) of consolidated investment vehicles:
Due from brokers and counterparties55 55 — — 
Other assets1 1 — — 
Due to brokers and counterparties(162)(162)— — 
____________________
(1)    The Company's other assets and other liabilities consist 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.