Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 2021

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, 2021

			Fair Value Hierarchy
	Total		Level 1		Level 2		Level 3
	(in millions)
Assets:
Investment portfolio, available-for-sale:
Fixed-maturity securities
Obligations of state and political subdivisions	$	3,853	$	—	$	3,743	$	110
U.S. government and agencies	131		—		131		—
Corporate securities	2,707		—		2,707		—
Mortgage-backed securities:
RMBS	484		—		246		238
CMBS	354		—		354		—
Asset-backed securities	997		—		29		968
Non-U.S. government securities	137		—		137		—
Total fixed-maturity securities	8,663		—		7,347		1,316
Short-term investments	694		691		3		—
Other invested assets (1)	13		6		—		7
FG VIEs’ assets	271		—		—		271
Assets of CIVs (2):
Fund investments:
Obligations of state and political subdivisions	93		—		93		—
Structured products	53		—		53		—
Corporate securities	2		—		2		—
Equity securities	34		—		—		34
Other	1		—		1		—
CLOs and CLO warehouse assets:
Loans	3,672		—		3,672		—
Short-term investments	252		252		—		—
Total assets of CIVs	4,107		252		3,821		34
Other assets	127		50		51		26
Total assets carried at fair value	$	13,875	$	999	$	11,222	$	1,654
Liabilities:
Credit derivative liabilities	$	137	$	—	$	—	$	137
FG VIEs’ liabilities with recourse	281		—		—		281
FG VIEs’ liabilities without recourse	20		—		—		20
Liabilities of CIVs:
CLO obligations of CFEs	2,937		—		—		2,937
Warehouse financing debt	275		—		216		59
Securities sold short	31		—		31		—
Total liabilities of CIVs	3,243		—		247		2,996
Total liabilities carried at fair value	$	3,681	$	—	$	247	$	3,434

Fair Value Hierarchy of Financial Instruments Carried at Fair Value

As of December 31, 2020  

			Fair Value Hierarchy
	Total		Level 1		Level 2		Level 3
	(in millions)
Assets:
Investment portfolio, available-for-sale:
Fixed-maturity securities
Obligations of state and political subdivisions	$	3,991	$	—	$	3,890	$	101
U.S. government and agencies	162		—		162		—
Corporate securities	2,513		—		2,483		30
Mortgage-backed securities:
RMBS	566		—		311		255
CMBS	387		—		387		—
Asset-backed securities	981		—		41		940
Non-U.S. government securities	173		—		173		—
Total fixed-maturity securities	8,773		—		7,447		1,326
Short-term investments	851		786		65		—
Other invested assets (1)	15		10		—		5
FG VIEs’ assets	296		—		—		296
Assets of CIVs (2):
Fund investments:
Obligations of state and political subdivisions	61		—		61		—
Structured products	39		—		39		—
Corporate securities	9		—		9		—
Equity securities	10		—		8		2
CLOs and CLO warehouse assets:
Loans	1,461		—		1,461		—
Short-term investments	139		139		—		—
Total assets of CIVs	1,719		139		1,578		2
Other assets	145		42		48		55
Total assets carried at fair value	$	11,799	$	977	$	9,138	$	1,684
Liabilities:
Credit derivative liabilities	$	103	$	—	$	—	$	103
FG VIEs’ liabilities with recourse	316		—		—		316
FG VIEs’ liabilities without recourse	17		—		—		17
Liabilities of CIVs
CLO obligations of CFEs	1,227		—		—		1,227
Warehouse financing debt	25		—		25		—
Securities sold short	47		—		47		—
Total liabilities of CIVs	1,299		—		72		1,227
Other liabilities	1		—		1		—
Total liabilities carried at fair value	$	1,736	$	—	$	73	$	1,663

____________________

(1)    Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. Excludes $119 million and $91 million of equity method investments measured at fair value under the fair value option using the NAV as a practical expedient as of September 30, 2021 and December 31, 2020, respectively.

(2)    Excludes $9 million and $8 million as of September 30, 2021 and December 31, 2020, respectively, in AssuredIM Funds carried by certain feeder funders owned by employees that are consolidated, but for which the Company records noncontrolling interest for 100% of the balance. The consolidation of these funds result in a gross up assets and

noncontrolling interests on the condensed consolidated financial statements; however, they result in no economic equity or net income attributable to AGL.

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 2021, Third Quarter 2020, Nine Months 2021 and Nine Months 2020.

Roll Forward of Level 3 Assets

At Fair Value on a Recurring Basis

Third Quarter 2021

	Fixed-Maturity Securities
	Obligations of State and Political Subdivisions			RMBS			Asset- Backed Securities			FG VIEs’ Assets			Assets of CIVs - Equity Securities		Other (7)
	(in millions)
Fair value as of June 30, 2021	$	110		$	248		$	975		$	287		$	1	$	31
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	1		(1)	8		(1)	5		(1)	2		(2)	—		(4)		(3)
Other comprehensive income (loss)	(1)			(2)			3			—			—		—
Purchases	—			—			55			—			33		—
Sales	—			—			—			—			—		—
Settlements	—			(16)			(70)			(18)			—		—
Fair value as of September 30, 2021	$	110		$	238		$	968		$	271		$	34	$	27
Change in unrealized gains (losses) included in earnings related to financial instruments held as of September 30, 2021										$	2	(2)	$	—	$	(3)	(3)
Change in unrealized gains (losses) included in OCI related to financial instruments held as of September 30, 2021	$	(1)		$	(2)		$	3

Roll Forward of Level 3 Liabilities

At Fair Value on a Recurring Basis

Third Quarter 2021

				FG VIEs’ Liabilities
	Credit Derivative Asset (Liability), net (5)			With Recourse			Without Recourse			Liabilities of CIVs
	(in millions)
Fair value as of June 30, 2021	$	(154)		$	(296)		$	(24)		$	(2,385)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	21		(6)	—		(2)	2		(2)	4		(4)
Other comprehensive income (loss)	—			2			—			—
Issuances	—			—			—			(989)
Settlements	(1)			13			2			374
Fair value as of September 30, 2021	$	(134)		$	(281)		$	(20)		$	(2,996)
Change in unrealized gains (losses) included in earnings related to financial instruments held as of September 30, 2021	$	1	(6)	$	—	(2)	$	2	(2)	$	1	(4)
Change in unrealized gains (losses) included in OCI related to financial instruments held as of September 30, 2021				$	2

Roll Forward of Level 3 Assets

At Fair Value on a Recurring Basis

Third Quarter 2020

	Fixed-Maturity Securities															Assets of CIVs
	Obligations of State and Political Subdivisions			Corporate Securities			RMBS			Asset- Backed Securities			FG VIEs’ Assets			Corporate Securities			Equity Securities and Warrants			Structured Products		Other (7)
	(in millions)
Fair value as of June 30, 2020	$	97		$	29		$	254		$	714		$	318		$	60		$	53		$	6	$	78
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	2		(1)	1		(1)	5		(1)	7		(1)	8		(2)	2		(4)	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)	$	—	$	(10)	(3)
Change in unrealized gains (losses) included in OCI related to financial instruments held as of September 30, 2020	$	(5)		$	—		$	9		$	26

Roll Forward of Level 3 Liabilities

At Fair Value on a Recurring Basis

Third Quarter 2020

				FG VIEs’ Liabilities
	Credit Derivative Asset (Liability), net (5)			With Recourse			Without Recourse			Liabilities of CIVs
	(in millions)
Fair value as of June 30, 2020	$	(161)		$	(332)		$	(20)		$	(806)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	(3)		(6)	(9)		(2)	(1)		(2)	(24)		(4)
Other comprehensive income (loss)	—			(4)			—			—
Issuances	—			—			—			—
Settlements	5			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)

Roll Forward of Level 3 Assets

At Fair Value on a Recurring Basis

Nine Months 2021

	Fixed-Maturity Securities
	Obligations of State and Political Subdivisions			Corporate Securities			RMBS			Asset- Backed Securities			FG VIEs’ Assets			Assets of CIVs - Equity Securities			Other (7)
	(in millions)
Fair value as of December 31, 2020	$	101		$	30		$	255		$	940		$	296		$	2		$	54
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	4		(1)	2		(1)	15		(1)	16		(1)	20		(2)	4		(4)	(28)		(3)
Other comprehensive income (loss)	7			16			7			9			—			—			1
Purchases	—			—			—			266			—			55			—
Sales	—			(48)			—			(76)			—			(27)			—
Settlements	(2)			—			(39)			(187)			(45)			—			—
Fair value as of September 30, 2021	$	110		$	—		$	238		$	968		$	271		$	34		$	27
Change in unrealized gains (losses) included in earnings related to financial instruments held as of September 30, 2021													$	21	(2)	$	2	(4)	$	(28)	(3)
Change in unrealized gains (losses) included in OCI related to financial instruments held as of September 30, 2021	$	7		$	—		$	6		$	9								$	1

Roll Forward of Level 3 Liabilities

At Fair Value on a Recurring Basis

Nine Months 2021

				FG VIEs’ Liabilities
	Credit Derivative Asset (Liability), net (5)			With Recourse			Without Recourse			Liabilities of CIVs
	(in millions)
Fair value as of December 31, 2020	$	(100)		$	(316)		$	(17)		$	(1,227)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	(31)		(6)	1		(2)	(6)		(2)	2		(4)
Other comprehensive income (loss)	—			(1)			—			—
Issuances	—			—			—			(2,147)
Settlements	(3)			35			3			376
Fair value as of September 30, 2021	$	(134)		$	(281)		$	(20)		$	(2,996)
Change in unrealized gains (losses) included in earnings related to financial instruments held as of September 30, 2021	$	(54)	(6)	$	2	(2)	$	(6)	(2)	$	5	(4)
Change in unrealized gains (losses) included in OCI related to financial instruments held as of September 30, 2021				$	(1)

Roll Forward of Level 3 Assets

At Fair Value on a Recurring Basis

Nine Months 2020

	Fixed-Maturity Securities															Assets of CIVs
	Obligations of State and Political Subdivisions			Corporate Securities			RMBS			Asset- Backed Securities			FG VIEs’ Assets			Corporate Securities			Equity Securities and Warrants			Structured Products			Other (7)
	(in millions)
Fair value as of December 31, 2019	$	107		$	41		$	308		$	658		$	442		$	47		$	17		$	—		$	55
Total pre-tax 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)			—			—			—			—
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 at September 30, 2020	$	(16)		$	(6)		$	(24)		$	(17)

Roll Forward of Level 3 Liabilities

At Fair Value on a Recurring Basis

Nine Months 2020

				FG VIEs’ Liabilities
	Credit Derivative Asset (Liability), net (5)			With Recourse			Without Recourse			Liabilities of CIVs
	(in millions)
Fair value as of December 31, 2019	$	(185)		$	(367)		$	(102)		$	(481)
Total pre-tax 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)
Settlements	6			50			13			—
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 at September 30, 2020				$	2

____________________

(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 CIVs.

(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 sheets based on net exposure by transaction.

(6)Reported in fair value gains (losses) on 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 2021, Third Quarter 2020, Nine Months 2021 and Nine Months 2020.

Roll Forward of Level 3 Assets

At Fair Value on a Recurring Basis

Third Quarter 2021

	Fixed-Maturity Securities
	Obligations of State and Political Subdivisions			RMBS			Asset- Backed Securities			FG VIEs’ Assets			Assets of CIVs - Equity Securities		Other (7)
	(in millions)
Fair value as of June 30, 2021	$	110		$	248		$	975		$	287		$	1	$	31
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	1		(1)	8		(1)	5		(1)	2		(2)	—		(4)		(3)
Other comprehensive income (loss)	(1)			(2)			3			—			—		—
Purchases	—			—			55			—			33		—
Sales	—			—			—			—			—		—
Settlements	—			(16)			(70)			(18)			—		—
Fair value as of September 30, 2021	$	110		$	238		$	968		$	271		$	34	$	27
Change in unrealized gains (losses) included in earnings related to financial instruments held as of September 30, 2021										$	2	(2)	$	—	$	(3)	(3)
Change in unrealized gains (losses) included in OCI related to financial instruments held as of September 30, 2021	$	(1)		$	(2)		$	3

Roll Forward of Level 3 Liabilities

At Fair Value on a Recurring Basis

Third Quarter 2021

				FG VIEs’ Liabilities
	Credit Derivative Asset (Liability), net (5)			With Recourse			Without Recourse			Liabilities of CIVs
	(in millions)
Fair value as of June 30, 2021	$	(154)		$	(296)		$	(24)		$	(2,385)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	21		(6)	—		(2)	2		(2)	4		(4)
Other comprehensive income (loss)	—			2			—			—
Issuances	—			—			—			(989)
Settlements	(1)			13			2			374
Fair value as of September 30, 2021	$	(134)		$	(281)		$	(20)		$	(2,996)
Change in unrealized gains (losses) included in earnings related to financial instruments held as of September 30, 2021	$	1	(6)	$	—	(2)	$	2	(2)	$	1	(4)
Change in unrealized gains (losses) included in OCI related to financial instruments held as of September 30, 2021				$	2

Roll Forward of Level 3 Assets

At Fair Value on a Recurring Basis

Third Quarter 2020

	Fixed-Maturity Securities															Assets of CIVs
	Obligations of State and Political Subdivisions			Corporate Securities			RMBS			Asset- Backed Securities			FG VIEs’ Assets			Corporate Securities			Equity Securities and Warrants			Structured Products		Other (7)
	(in millions)
Fair value as of June 30, 2020	$	97		$	29		$	254		$	714		$	318		$	60		$	53		$	6	$	78
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	2		(1)	1		(1)	5		(1)	7		(1)	8		(2)	2		(4)	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)	$	—	$	(10)	(3)
Change in unrealized gains (losses) included in OCI related to financial instruments held as of September 30, 2020	$	(5)		$	—		$	9		$	26

Roll Forward of Level 3 Liabilities

At Fair Value on a Recurring Basis

Third Quarter 2020

				FG VIEs’ Liabilities
	Credit Derivative Asset (Liability), net (5)			With Recourse			Without Recourse			Liabilities of CIVs
	(in millions)
Fair value as of June 30, 2020	$	(161)		$	(332)		$	(20)		$	(806)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	(3)		(6)	(9)		(2)	(1)		(2)	(24)		(4)
Other comprehensive income (loss)	—			(4)			—			—
Issuances	—			—			—			—
Settlements	5			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)

Roll Forward of Level 3 Assets

At Fair Value on a Recurring Basis

Nine Months 2021

	Fixed-Maturity Securities
	Obligations of State and Political Subdivisions			Corporate Securities			RMBS			Asset- Backed Securities			FG VIEs’ Assets			Assets of CIVs - Equity Securities			Other (7)
	(in millions)
Fair value as of December 31, 2020	$	101		$	30		$	255		$	940		$	296		$	2		$	54
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	4		(1)	2		(1)	15		(1)	16		(1)	20		(2)	4		(4)	(28)		(3)
Other comprehensive income (loss)	7			16			7			9			—			—			1
Purchases	—			—			—			266			—			55			—
Sales	—			(48)			—			(76)			—			(27)			—
Settlements	(2)			—			(39)			(187)			(45)			—			—
Fair value as of September 30, 2021	$	110		$	—		$	238		$	968		$	271		$	34		$	27
Change in unrealized gains (losses) included in earnings related to financial instruments held as of September 30, 2021													$	21	(2)	$	2	(4)	$	(28)	(3)
Change in unrealized gains (losses) included in OCI related to financial instruments held as of September 30, 2021	$	7		$	—		$	6		$	9								$	1

Roll Forward of Level 3 Liabilities

At Fair Value on a Recurring Basis

Nine Months 2021

				FG VIEs’ Liabilities
	Credit Derivative Asset (Liability), net (5)			With Recourse			Without Recourse			Liabilities of CIVs
	(in millions)
Fair value as of December 31, 2020	$	(100)		$	(316)		$	(17)		$	(1,227)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	(31)		(6)	1		(2)	(6)		(2)	2		(4)
Other comprehensive income (loss)	—			(1)			—			—
Issuances	—			—			—			(2,147)
Settlements	(3)			35			3			376
Fair value as of September 30, 2021	$	(134)		$	(281)		$	(20)		$	(2,996)
Change in unrealized gains (losses) included in earnings related to financial instruments held as of September 30, 2021	$	(54)	(6)	$	2	(2)	$	(6)	(2)	$	5	(4)
Change in unrealized gains (losses) included in OCI related to financial instruments held as of September 30, 2021				$	(1)

Roll Forward of Level 3 Assets

At Fair Value on a Recurring Basis

Nine Months 2020

	Fixed-Maturity Securities															Assets of CIVs
	Obligations of State and Political Subdivisions			Corporate Securities			RMBS			Asset- Backed Securities			FG VIEs’ Assets			Corporate Securities			Equity Securities and Warrants			Structured Products			Other (7)
	(in millions)
Fair value as of December 31, 2019	$	107		$	41		$	308		$	658		$	442		$	47		$	17		$	—		$	55
Total pre-tax 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)			—			—			—			—
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 at September 30, 2020	$	(16)		$	(6)		$	(24)		$	(17)

Roll Forward of Level 3 Liabilities

At Fair Value on a Recurring Basis

Nine Months 2020

				FG VIEs’ Liabilities
	Credit Derivative Asset (Liability), net (5)			With Recourse			Without Recourse			Liabilities of CIVs
	(in millions)
Fair value as of December 31, 2019	$	(185)		$	(367)		$	(102)		$	(481)
Total pre-tax 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)
Settlements	6			50			13			—
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 at September 30, 2020				$	2

____________________

(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 CIVs.

(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 sheets based on net exposure by transaction.

(6)Reported in fair value gains (losses) on 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, 2021

Financial Instrument Description	Fair Value at September 30, 2021 (in millions)		Significant Unobservable Inputs	Range				Weighted Average (4)
Assets (2):
Fixed-maturity securities (1):
Obligations of state and political subdivisions	$	110	Yield	4.2	%	-	49.5%	5.9%
RMBS	238		CPR	0.0	%	-	22.2%	9.6%
			CDR	1.4	%	-	12.0%	6.0%
			Loss severity	50.0	%	-	125.0%	84.6%
			Yield	3.4	%	-	6.0%	4.6%
Asset-backed securities:
Life insurance transactions	382		Yield	4.6%
CLOs	543		Discount margin	0.8	%	-	3.4%	1.8%
Others	43		Yield	2.8	%	-	7.3%	7.3%
FG VIEs’ assets (1)	271		CPR	0.9	%	-	21.7%	12.2%
			CDR	1.4	%	-	26.9%	7.9%
			Loss severity	45.0	%	-	100.0%	81.6%
			Yield	1.5	%	-	7.9%	4.8%
Assets of CIVs:
Equity securities (3)	34		(3)	(3)				(3)
Other assets (1)	23		Implied Yield	2.7	%	-	3.3%	3.0%
			Term (years)	10 years

Financial Instrument Description (1)	Fair Value at September 30, 2021 (in millions)		Significant Unobservable Inputs	Range				Weighted Average (4)
Liabilities:
Credit derivative liabilities, net	$	(134)	Year 1 loss estimates	0.0	%	-	85.8%	0.1%
			Hedge cost (in bps)	9.4		-	46.1	15.2
			Bank profit (in bps)	0.0		-	186.9	69.3
			Internal floor (in bps)	8.8
			Internal credit rating	AAA		-	CCC	AA-
FG VIEs’ liabilities	(301)		CPR	0.9	%	-	21.7%	12.2%
			CDR	1.4	%	-	26.9%	7.9%
			Loss severity	45.0	%	-	100.0%	81.6%
			Yield	1.5	%	-	7.9%	3.9%
Liabilities of CIVs:
CLO obligations of CFEs (5)	(2,937)		Yield	1.6	%	-	11.7%	2.1%
Warehouse financing debt	(59)		Yield	12.7	%	-	15.8%	14.1%

___________________

(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 $7 million.

(3)    Includes an equity investment of $33 million acquired in Third Quarter 2021 by a consolidated fund. Due to this fund’s quarter lag in reporting, the investment’s purchase price represents its fair value of September 30, 2021.

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

(5)    See CFE fair value methodology described above for consolidated CLOs.

Quantitative Information About Level 3 Fair Value Inputs

At December 31, 2020

Financial Instrument Description	Fair Value at December 31, 2020 (in millions)		Significant Unobservable Inputs	Range				Weighted Average (4)
Assets (2):
Fixed-maturity securities (1):
Obligations of state and political subdivisions	$	101	Yield	6.4	%	-	33.4%	12.8%
Corporate security	30		Yield	42.0%
RMBS	255		CPR	0.4	%	-	30.0%	7.1%
			CDR	1.5	%	-	9.9%	6.0%
			Loss severity	45.0	%	-	125.0%	83.6%
			Yield	3.7	%	-	5.9%	4.5%
Asset-backed securities:
Life insurance transactions	367		Yield	5.2%
CLOs	532		Discount Margin	0.1	%	-	3.1%	1.9%
Others	41		Yield	2.6	%	-	9.0%	9.0%
FG VIEs’ assets (1)	296		CPR	0.9	%	-	19.0%	9.4%
			CDR	1.9	%	-	26.6%	6.0%
			Loss severity	45.0	%	-	100.0%	81.5%
			Yield	1.9	%	-	6.0%	4.8%
Assets of CIVs (3):
Equity securities	2		Yield	9.7%
Other assets (1)	52		Implied Yield	3.4	%	-	4.2%	3.8%
			Term (years)	10 years

Financial Instrument Description	Fair Value at December 31, 2020 (in millions)		Significant Unobservable Inputs	Range				Weighted Average (4)
Liabilities:
Credit derivative liabilities, net	$	(100)	Year 1 loss estimates	0.0	%	-	85.0%	1.9%
			Hedge cost (in bps)	19.0		-	99.0	32.0
			Bank profit (in bps)	47.0		-	329.0	93.0
			Internal floor (in bps)	15.0		-	30.0	21.0
			Internal credit rating	AAA		-	CCC	AA-
FG VIEs’ liabilities	(333)		CPR	0.9	%	-	19.0%	9.4%
			CDR	1.9	%	-	26.6%	6.0%
			Loss severity	45.0	%	-	100.0%	81.5%
			Yield	1.9	%	-	6.2%	3.8%
Liabilities of CIVs:
CLO obligations of CFEs (5)	(1,227)		Yield	2.2	%	-	15.2%	2.5%

____________________

(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 $5 million.

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

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

(5)    See CFE fair value methodology described above for consolidated CLOs.

Fair Value Disclosure of Asset and Liability Not Measured 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, 2021				As of December 31, 2020
	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
	(in millions)
Assets (liabilities):
Other invested assets	$	—	$	2	$	1	$	3
Other assets (1)	91		91		83		83
Financial guaranty insurance contracts (2)	(2,163)		(2,056)		(2,464)		(3,882)
Long-term debt	(1,671)		(1,845)		(1,224)		(1,561)
Other liabilities (1)	(40)		(40)		(27)		(27)
Assets (liabilities) of CIVs:
Due from brokers and counterparties	116		116		52		52
Due to brokers and counterparties	(642)		(642)		(290)		(290)

____________________

(1)    The Company’s other assets and other liabilities consist of: accrued interest, repurchase agreement liability, management fees receivables, promissory note receivable, receivables for securities sold and payables for securities purchased, for which the carrying value approximates fair value. Includes a $19 million repurchase agreement liability entered into during Nine Months 2021.

(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.