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 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 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 with the assistance of an independent third party using a discounted cash flow approach and the third party’s proprietary pricing models. In addition to market information, models also incorporate transaction details, such as maturity of the instrument and contractual features designed to reduce the Company’s credit exposure, such as collateral rights as applicable.

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 for certain products becomes more or less transparent, the Company may refine its methodologies and assumptions. During six months 2022, 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 methods for calculating fair value produce a fair value that may not be indicative of net realizable value or reflective of 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 as follows, with Level 1 being the highest and Level 3 the lowest. An asset’s or liability’s categorization is based on the lowest level of significant input to its valuation.

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 determined using pricing models, discounted cash flow methodologies or similar techniques and at least one significant model assumption or input is unobservable. Level 3 financial instruments also include those for which the determination of fair value requires significant management judgment or estimation.

The fair value of fixed-maturity securities is generally based on prices received from third-party pricing services or alternative pricing sources with 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.

Benchmark yields have in many cases taken priority over reported trades for securities that trade less frequently or those that are distressed trades, and therefore may not be indicative of the market. 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 June 30, 2022, the Company used models to price 184 securities, including securities that were purchased or obtained for loss mitigation, with a Level 3 fair value of $1.0 billion. 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 on the basis of 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 is a significant factor in determining the fair value of the securities.

Short-term investments that are traded in active markets are classified within Level 1 in the fair value hierarchy as their value is based on quoted market prices. Securities such as discount notes are classified within Level 2 because these securities are typically not actively traded due to their approaching maturity and, as such, their cost approximates fair value.

Other invested assets that are carried at fair value primarily include: (i) equity securities traded in active markets that are classified within Level 1 in the fair value hierarchy as their value is based on quoted market prices; and (ii) equity method investments for which the Company elected the FVO using NAV, as a practical expedient, which are excluded from the fair value hierarchy.

Each of AGC and AGM have entered into put agreements with four separate custodial trusts allowing each of AGC and AGM to issue an aggregate of $200 million of non-cumulative redeemable perpetual preferred securities to the trusts in exchange for cash. Each custodial trust was created for the primary purpose of issuing $50 million face amount of CCS, investing the proceeds in high-quality assets and entering into put options with AGC or AGM, as applicable.

The fair value of CCS, which is reported in other assets on the condensed consolidated balance sheets, represents the difference between the present value of remaining expected put option premium payments under AGC CCS and AGM’s Committed Preferred Trust Securities (the AGM CPS) agreements, and the estimated present value that the Company would hypothetically have to pay currently for a comparable security. The change in fair value of the AGC CCS and AGM CPS are 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 is based on several factors, including AGM and AGC CDS spreads, LIBOR curve projections, the Company's publicly traded debt and the term the securities are estimated to remain outstanding. The AGC CCS and AGM CPS are classified as Level 3 in the fair value hierarchy.

The Company classifies 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 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.

The Company’s credit derivatives in the Insurance segment primarily consist of insured CDS contracts, and also include interest rate swaps that qualify as derivatives under GAAP, which require fair value measurement with changes in the fair value reported in the condensed consolidated statements of operations. The Company did not enter into CDS contracts with the intent to trade these contracts and the Company may not unilaterally terminate a CDS contract absent an event of default or termination event that entitles the Company to terminate such contracts; however, the Company has mutually agreed with various counterparties to terminate certain CDS transactions. In transactions where the counterparty does not have the right to terminate, such transactions are generally terminated for an amount that approximates the present value of future premiums or for a negotiated amount, rather than at fair value.

The terms of the Company’s CDS contracts differ from more standardized credit derivative contracts sold by companies outside the financial guaranty industry. The non-standard terms generally include the absence of collateral support agreements or immediate settlement provisions. In addition, the Company employs relatively high attachment points and does not exit derivatives it sells, except under specific circumstances such as mutual agreements with counterparties. Management considers the non-standard terms of the Company’s credit derivative contracts in determining the fair value of these contracts.

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. 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. These contracts are classified as Level 3 in the fair value hierarchy as 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 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 CDS contractual terms. Credit spreads capture the effect of recovery rates and performance of underlying assets of these contracts, among other factors. Consistent with previous years, market conditions at June 30, 2022 were such that market prices of the Company’s CDS contracts were not available.

The various inputs and assumptions that are key to the measurement of the Company’s fair value for CDS contracts are as follows: 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 Company obtains gross spreads on its outstanding contracts from market data sources published by third parties (e.g., dealer spread tables for the collateral similar to assets within the Company’s transactions), as well as collateral-specific spreads provided by or obtained from market sources. The bank profit represents the profit the originator, usually an investment bank, realizes for structuring and funding the transaction; the net spread represents the premiums paid to the Company for the Company’s credit protection provided; and the hedge cost represents the cost of CDS protection purchased by the originator to hedge its counterparty credit risk exposure to the Company.

The premium the Company receives is referred to as the “net spread.” The Company’s pricing model takes into account not only how credit spreads on risks that it assumes affect pricing, but also how the Company’s own credit spread affects the pricing of its transactions. The Company’s own credit risk is factored into the determination of net spread based on the impact of changes in the quoted market price for credit protection bought on the Company, as reflected by quoted market prices on CDS referencing AGC. Due to the relatively low volume and characteristics of CDS contracts remaining in AGM’s portfolio, changes in AGM’s credit spreads do not significantly affect the fair value of these CDS contracts. The Company obtains the quoted price of CDS contracts traded on AGC from market data sources published by third parties. The cost to acquire CDS protection referencing AGC affects the amount of spread on CDS transactions that the Company retains and, hence, their fair value. As the cost to acquire CDS protection referencing AGC increases, the amount of premium the Company retains on a transaction generally decreases.

In the Company’s valuation model, the premium the Company captures is not permitted to go below the minimum rate that the Company would currently charge to assume similar risks. This assumption can have the effect of mitigating the amount of unrealized gains that are recognized on certain CDS contracts. As of June 30, 2022 and December 31, 2021, the use of the minimum premium did not have a significant effect on fair value. The percentage of transactions that price using the minimum premiums fluctuates due to changes in AGC’s credit spreads. In general, when AGC’s credit spreads narrow, the cost to hedge AGC’s name declines and more transactions price above previously established floor levels. Meanwhile, when AGC’s credit spreads widen, the cost to hedge AGC’s name increases causing more transactions to price at established floor levels. The Company corroborates the assumptions in its fair value model, including the portion of exposure to AGC hedged by its counterparties, with independent third parties periodically. The implied credit risk of AGC, indicated by the trading level of AGC’s own credit spread, is a significant factor in the amount of exposure to AGC that a bank or transaction hedges. When AGC’s credit spreads widen, the hedging cost of a bank or originator increases. Higher hedging costs reduce the amount of

The amount of premium a financial guaranty insurance market participant can demand 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, due to the fact that 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 the current market conditions.

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. If the Company were able to freely exchange these contracts (i.e., assuming its contracts did not contain proscriptions on transfer and there was a viable exchange market), it would realize a loss representing the difference between the lower contractual premiums to which it is entitled and the current market premiums for a similar contract. The Company determines the fair value of its CDS contracts by applying the difference between the current net spread and the contractual net spread for the remaining duration of each contract to the notional value of such contract and discounting such amounts using the LIBOR corresponding to the weighted average remaining life of the contract.

For the assets in the Puerto Rico Trusts, new recovery bonds and trust certificates are classified as Level 2 available-for-sale securities, and CVIs are classified as Level 2 trading securities. The liabilities of the Puerto Rico Trusts are measured under the FVO as Level 3 on the fair value hierarchy. See “ - Fixed Maturity Securities” above for a description of the fair value methodology for the recovery bonds and CVIs in the Puerto Rico Trusts, which represent the majority of the assets in the Puerto Rico Trusts.

The fair value of the residential mortgage loan 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 market value of the FG VIEs’ assets and the implied collateral losses within the transaction. 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 could lead to a decrease in

The third party 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 (other than the liabilities of the Puerto Rico Trusts) 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 liabilities of the Puerto Rico Trusts are priced based on the value of the assets in the Puerto Rico Trusts including the value of the insurance subsidiaries financial guaranty policies.

Significant changes to any of the inputs described above could materially change the timing of expected losses within the insured transaction which is a significant factor in determining the implied benefit of the Company’s insurance policy guaranteeing the timely payment of principal and interest for the insured tranches of debt issued by the FG VIEs. In general, extending the timing of expected loss payments by the Company into the future typically could lead 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 shortening of the timing of expected loss payments by the Company 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 net change in the fair value of FG VIEs’ assets and liabilities is reported in “fair value gains (losses) on financial guaranty variable interest entities” in the condensed consolidated statements of operations, except for change in fair value of FG VIEs’ liabilities with recourse caused by changes in ISCR which is separately presented in OCI, and the change in fair value of available-for-sale securities, which is reported as a component of the change in unrealized gains (losses) on investments in OCI. Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on financial guaranty variable interest entities”. The FG VIEs issued securities that are typically collateralized by first lien and second lien residential mortgage loans, or, in the case of the Puerto Rico Trusts, the Plan Consideration received under the GO/PBA Plan.

The consolidated CLOs are collateralized financing entities (CFEs), and therefore, the debt issued by, and loans held by, the consolidated CLOs are measured under the FVO using the CFE practical expedient. Loans in CLOs are priced using a loan pricing service which aggregates quotes from loan market participants. The loans are all Level 2 assets, which are more observable than the fair value of the Level 3 debt issued by the consolidated CLOs. As a result, the less observable CLO debt is measured on the basis of the more observable CLO loans. Under the CFE practical expedient guidance, the loans of consolidated CLOs are measured at fair value and the debt of consolidated CLOs are measured as: (1) the sum of (i) the fair value of the financial assets, and (ii) the carrying value of any nonfinancial assets held temporarily; less (2) the sum of (iii) the fair value of any beneficial interests retained by the Company (other than those that represent compensation for services), and (iv) the Company’s carrying value of any beneficial interests that represent compensation for services. The resulting amount is allocated to the individual financial liabilities (other than the beneficial interests retained by the Company).

Prior to securitization, when loans are warehoused in an investment vehicle, such vehicle is not considered a CFE. The Company has elected the FVO to measure the loans held and the debt issued by CLO warehouses to mitigate the accounting mismatch between such assets and liabilities when a CLO warehouse securitizes and becomes a CLO.

Investments held by CIVs which are listed or quoted on a national securities exchange or market are valued at their last reported sale price on the date of determination. Investments held by CIVs which are not listed or quoted on an exchange, but are traded over-the-counter, or are listed on an exchange which has no reported sales, are valued at their fair value as determined by the Company, after giving consideration to third-party data generally at the average between the offer and bid prices. The methods and procedures to value these investments may include, but are not limited to: (i) performing comparisons with prices of comparable or similar investments; (ii) obtaining valuation-related information from issuers; (iii) calculating the present value of future cash flows; (iv) assessing other analytical data and information related to the investment that is an indication of value; (v) obtaining information provided by third parties; (vi) and/or evaluating information provided by management of these investments. These fair values are generally based on dealer quotes, indications of value or pricing models that consider the time value of money, the current market, contractual prices and potential volatilities of the underlying financial

instruments. Inputs are used in applying the various valuation techniques and broadly refer to the current assumptions that market participants use to make valuation decisions, including assumptions about risk. 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. Investments in private equity funds are generally valued utilizing NAV.

Level 2 assets in the CIVs include assets of the consolidated CLOs and certain assets of the consolidated funds. Level 3 assets in the CIVs include the remainder of the invested assets of consolidated funds. Level 2 liabilities in the CIVs include senior warehouse financing debt used to fund a CLO warehouse (measured under the FVO), securities sold short and derivative liabilities. Level 3 liabilities of the CIVs include various tranches of CLO debt, first loss subordinated warehouse financing and securitized borrowing. Significant changes to any of the inputs described above could have a material effect on the fair value of the consolidated assets and liabilities.


	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed-maturity securities, available-for-sale
Obligations of state and political subdivisions	$	—	$	3,433	$	51	$	3,484
U.S. government and agencies	—		119		—		119
Corporate securities	—		2,194		—		2,194
Mortgage-backed securities:
RMBS	—		185		184		369
CMBS	—		298		—		298
Asset-backed securities	—		24		805		829
Non-U.S. government securities	—		103		—		103
Total fixed-maturity securities, available-for-sale	—		6,356		1,040		7,396
Fixed-maturity securities, trading	—		87		—		87
Short-term investments	844		19		—		863
Other invested assets (1)	2		—		5		7
FG VIEs’ assets	—		41		223		264
Assets of CIVs (2):
Fund investments:
Equity securities and warrants	—		7		258		265
Corporate securities	—		—		90		90
Structured products	—		89		38		127
CLOs and CLO warehouse assets:
Loans	—		4,393		—		4,393
Short-term investments	230		—		—		230
Total assets of CIVs	230		4,489		386		5,105
Other assets	50		45		35		130
Total assets carried at fair value	$	1,126	$	11,037	$	1,689	$	13,852
Liabilities:
Credit derivative liabilities	$	—	$	—	$	148	$	148
FG VIEs’ liabilities (3)	—		—		282		282
Liabilities of CIVs:
CLO obligations of CFEs	—		—		3,947		3,947
Warehouse financing debt	—		138		19		157
Securitized borrowing	—		—		21		21
Total liabilities of CIVs	—		138		3,987		4,125
Other liabilities	—		7		—		7
Total liabilities carried at fair value	$	—	$	145	$	4,417	$	4,562


	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed-maturity securities, available-for sale
Obligations of state and political subdivisions	$	—	$	3,588	$	72	$	3,660
U.S. government and agencies	—		128		—		128
Corporate securities	—		2,605		—		2,605
Mortgage-backed securities:
RMBS	—		221		216		437
CMBS	—		346		—		346
Asset-backed securities	—		27		863		890
Non-U.S. government securities	—		136		—		136
Total fixed-maturity securities, available-for-sale	—		7,051		1,151		8,202
Short-term investments	1,225		—		—		1,225
Other invested assets (1)	6		—		6		12
FG VIEs’ assets	—		—		260		260
Assets of CIVs (2):
Fund investments:
Equity securities and warrants	—		7		239		246
Obligations of state and political subdivisions	—		101		—		101
Corporate securities	—		7		91		98
Structured products	—		62		—		62
CLOs and CLO warehouse assets:
Loans	—		4,244		—		4,244
Short-term investments	145		—		—		145
Total assets of CIVs	145		4,421		330		4,896
Other assets	53		54		25		132
Total assets carried at fair value	$	1,429	$	11,526	$	1,772	$	14,727
Liabilities:
Credit derivative liabilities	$	—	$	—	$	156	$	156
FG VIEs’ liabilities (3)	—		—		289		289
Liabilities of CIVs:
CLO obligations of CFEs	—		—		3,665		3,665
Warehouse financing debt	—		103		23		126
Securities sold short	—		41		—		41
Securitized borrowing	—		—		17		17
Total liabilities of CIVs	—		144		3,705		3,849
Other liabilities	—		1		—		1
Total liabilities carried at fair value	$	—	$	145	$	4,150	$	4,295

(2) Excludes $5 million and $6 million as of June 30, 2022 and December 31, 2021, respectively, in investments in AssuredIM Funds for which the Company records a 100% noncontrolling interest. The consolidation of these funds results in a gross up of assets and noncontrolling interest on the consolidated financial statements; however, it results in no economic equity or net income attributable


	Fixed-Maturity Securities, Available-for-Sale												Assets of CIVs
	Obligations of State and Political Subdivisions			RMBS			Asset- Backed Securities			FG VIEs’ Assets			Equity Securities and Warrants			Corporate Securities			Structured Products			Other (7)
	(in millions)
Fair value as of March 31, 2022	$	70		$	200		$	842		$	267		$	243		$	83		$	—		$	28
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	(1)		(1)	6		(1)	(3)		(1)	1		(2)	16		(4)	7		(4)	(3)		(4)	10		(3)
Other comprehensive income (loss)	(3)			(11)			(30)			—			—			—			—			(1)
Purchases	—			—			10			—			5			—			42			—
Sales	—			—			(9)			—			(6)			—			(21)			—
Settlements	(14)			(11)			(5)			(26)			—			—			—			—
Deconsolidations	—			—			—			(15)			—			—			20			—
Transfers out of Level 3	(1)			—			—			(4)			—			—			—			—
Fair value as of June 30, 2022	$	51		$	184		$	805		$	223		$	258		$	90		$	38		$	37
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in:
Earnings										$	2	(2)	$	10	(4)	$	7	(4)	$	(3)	(4)	$	10	(3)
OCI	$	(4)		$	(10)		$	(29)														$	(1)


	Credit Derivative Asset (Liability), net (5)			FG VIEs’ Liabilities (8)			Liabilities of CIVs
	(in millions)
Fair value as of March 31, 2022	$	(156)		$	(335)		$	(3,650)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	9		(6)	11		(2)	250		(4)
Other comprehensive income (loss)	—			3			37
Issuances	—			—			(1,027)
Settlements	—			24			29
Deconsolidations	—			15			374
Fair value as of June 30, 2022	$	(147)		$	(282)		$	(3,987)
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in:
Earnings	$	8	(6)	$	11	(2)	$	262	(4)
OCI				$	3		$	37


	Fixed-Maturity Securities, Available-for-Sale
	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 March 31, 2021	$	103		$	28	$	246		$	941		$	281		$	1		$	37
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	2		(1)	—		5		(1)	5		(1)	19		(2)	2		(4)	(6)		(3)
Other comprehensive income (loss)	6			20		9			1			—			—			—
Purchases	—			—		—			117			—			14			—
Sales	—			(48)		—			(38)			—			(16)			—
Settlements	(1)			—		(12)			(51)			(13)			—			—
Fair value as of June 30, 2021	$	110		$	—	$	248		$	975		$	287		$	1		$	31
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021included in:
Earnings												$	19	(2)	$	—		$	(6)	(3)
OCI	$	6		$	—	$	9		$	3


	Credit Derivative Asset (Liability), net (5)			FG VIEs’ Liabilities (8)			Liabilities of CIVs
	(in millions)
Fair value as of March 31, 2021	$	(120)		$	(318)		$	(1,973)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	(33)		(6)	(10)		(2)	(8)		(4)
Other comprehensive income (loss)	—			(2)			—
Issuances	—			—			(406)
Settlements	(1)			10			2
Fair value as of June 30, 2021	$	(154)		$	(320)		$	(2,385)
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021 included in:
Earnings	$	(35)	(6)	$	(11)	(2)	$	(2)	(4)
OCI				$	(2)


	Fixed-Maturity Securities, Available-for-Sale										Assets of CIVs
	Obligations of State and Political Subdivisions		RMBS			Asset- Backed Securities		FG VIEs’ Assets			Equity Securities and Warrants			Corporate Securities			Structured Products			Other (7)
	(in millions)
Fair value as of December 31, 2021	$	72	$	216		$	863	$	260		$	239		$	91		$	—		$	27
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	—		10		(1)	—		(3)		(2)	26		(4)	6		(4)	(3)		(4)	11		(3)
Other comprehensive income (loss)	(8)		(19)			(37)		—			—			—			—			(1)
Purchases	—		—			35		—			5			1			42			—
Sales	—		—			(12)		—			(12)			(8)			(21)			—
Settlements	(13)		(23)			(44)		(34)			—			—			—			—
Consolidations	—		—			—		15			—			—			—			—
Deconsolidations	—		—			—		(15)			—			—			20			—
Fair value as of June 30, 2022	$	51	$	184		$	805	$	223		$	258		$	90		$	38		$	37
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in:
Earnings								$	(2)	(2)	$	18	(4)	$	5	(4)	$	(3)	(4)	$	11	(3)
OCI	$	(10)	$	(17)		$	(36)													$	(1)


	Credit Derivative Asset (Liability), net (5)			FG VIEs’ Liabilities (8)			Liabilities of CIVs
	(in millions)
Fair value as of December 31, 2021	$	(154)		$	(289)		$	(3,705)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	6		(6)	26		(2)	295		(4)
Other comprehensive income (loss)	—			3			56
Issuances	—			—			(1,408)
Settlements	1			65			401
Consolidations	—			(102)			—
Deconsolidations	—			15			374
Fair value as of June 30, 2022	$	(147)		$	(282)		$	(3,987)
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2022 included in:
Earnings	$	5	(6)	$	49	(2)	$	303	(4)
OCI				$	3		$	56


	Fixed-Maturity Securities, Available-for-Sale
	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)	3		(1)	2		(1)	7		(1)	11		(1)	18		(2)	4		(4)	(24)		(3)
Other comprehensive income (loss)	8			16			9			6			—			—			1
Purchases	—			—			—			211			—			22			—
Sales	—			(48)			—			(80)			—			(27)			—
Settlements	(2)			—			(23)			(113)			(27)			—			—
Fair value as of June 30, 2021	$	110		$	—		$	248		$	975		$	287		$	1		$	31
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021 included in:
Earnings													$	18	(2)	$	3	(4)	$	(25)	(3)
OCI	$	8		$	—		$	9		$	8								$	1


	Credit Derivative Asset (Liability), net (5)			FG VIEs’ (8)			Liabilities of CIVs
	(in millions)
Fair value as of December 31, 2020	$	(100)		$	(333)		$	(1,227)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	(52)		(6)	(7)		(2)	(2)		(4)
Other comprehensive income (loss)	—			(3)			—
Issuances	—			—			(1,158)
Settlements	(2)			23			2
Fair value as of June 30, 2021	$	(154)		$	(320)		$	(2,385)
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2021 included in:
Earnings	$	(55)	(6)	$	(6)	(2)	$	4	(4)
OCI				$	(3)

As of June 30, 2022


Financial Instrument Description	Fair Value (in millions)		Significant Unobservable Inputs	Range				Weighted Average (4)
Assets (2):
Fixed-maturity securities, available-for-sale (1):
Obligations of state and political subdivisions	$	51	Yield	6.9	%	-	32.1%	9.4%
RMBS	184		CPR	0.0	%	-	22.2%	11.1%
			CDR	1.5	%	-	12.0%	5.6%
			Loss severity	50.0	%	-	125.0%	85.2%
			Yield	4.6	%	-	7.6%	6.8%
Asset-backed securities:
Life insurance transactions	357		Yield	8.8%
CLOs	420		Discount Margin	1.8	%	-	4.0%	2.9%
Others	28		Yield	6.4	%	-	13.7%	13.6%
FG VIEs’ assets (1)	223		CPR	0.9	%	-	25.9%	14.3%
			CDR	1.0	%	-	41.0%	7.6%
			Loss severity	45.0	%	-	100.0%	82.2%
			Yield	2.9	%	-	8.8%	5.6%
Assets of CIVs (3):
Equity securities and warrants	258		Yield	8.8%
			Discount rate	19.8	%	-	24.3%	22.6%
			Market multiple-enterprise value/revenue	1.00x		-	1.10x	1.05x
			Market multiple-enterprise value/EBITDA (6)	3.00x		-	12.00x	10.34x
			Market multiple-price to book	1.30x		-	1.65x	1.48x
			Market multiple-price to earnings	6.00x
			Terminal growth rate	4.0%
			Cost	1.0x
Corporate securities	90		Discount rate	20.8	%	-	23.9%	22.0%
			Yield	16.3%
			Cost	1.00x
			Market multiple-enterprise value/EBITDA	3.00x		-	8.00x	4.95x
Structured products	38		Yield	11.0	%	-	27.4%	16.1%
Other assets (1)	34		Implied Yield	4.7	%	-	5.4%	5.0%
			Term (years)	10 years


Financial Instrument Description	Fair Value (in millions)		Significant Unobservable Inputs	Range				Weighted Average (4)
Liabilities (1):
Credit derivative liabilities, net	$	(147)	Year 1 loss estimates	0.0	%	-	92.5%	2.6%
			Hedge cost (in bps)	17.9		-	41.4	25.6
			Bank profit (in bps)	53.7		-	292.6	102.9
			Internal credit rating	AAA		-	CCC	AA
FG VIEs’ liabilities	(282)		CPR	0.9	%	-	25.9%	13.2%
			CDR	1.0	%	-	41.0%	7.0%
			Loss severity	45.0	%	-	100.0%	75.6%
			Yield	1.5	%	-	8.8%	5.2%
Liabilities of CIVs:
CLO obligations of CFEs (5)	(3,947)		Yield	1.6	%	-	24.1%	3.2%
Warehouse financing debt	(19)		Yield	16.0%
Securitized borrowing	(21)		Discount rate	24.3%
			Market multiple-enterprise value/EBITDA	10.00x		-	11.00x	10.67x


Financial Instrument Description	Fair Value (in millions)		Significant Unobservable Inputs	Range				Weighted Average (4)
Assets (2):
Fixed-maturity securities, available-for-sale (1):
Obligations of state and political subdivisions	$	72	Yield	4.4	%	-	24.5%	6.2%
RMBS	216		CPR	0.0	%	-	22.7%	10.4%
			CDR	1.4	%	-	12.0%	5.9%
			Loss severity	50.0	%	-	125.0%	84.9%
			Yield	3.8	%	-	5.6%	4.5%
Asset-backed securities:
Life insurance transactions	367		Yield	5.0%
CLOs	458		Discount margin	0.0	%	-	2.9%	1.8%
Others	38		Yield	3.2	%	-	7.9%	7.9%
FG VIEs’ assets (1)	260		CPR	0.9	%	-	24.5%	13.3%
			CDR	1.4	%	-	26.9%	7.6%
			Loss severity	45.0	%	-	100.0%	81.6%
			Yield	1.4	%	-	8.0%	4.6%
Assets of CIVs (3):
Equity securities and warrants	239		Yield	7.7%
			Discount rate	14.7	%	-	23.9%	21.6%
			Market multiple-enterprise value/revenue	1.10x
			Market multiple-enterprise value/EBITDA	3.00x			10.50x	8.95x
			Market multiple-price to book	1.85x
Corporate securities	91		Discount rate	14.7	%	-	21.4%	17.8%
			Yield	16.4%
Other assets (1)	23		Implied Yield	2.7	%	-	3.3%	3.0%
			Term (years)	10 years
Liabilities (1):
Credit derivative liabilities, net	(154)		Year 1 loss estimates	0.0	%	-	85.8%	0.1%
			Hedge cost (in bps)	8.0		-	37.1	12.6
			Bank profit (in bps)	0.0		-	187.8	67.9
			Internal floor (in bps)	8.8
			Internal credit rating	AAA		-	CCC	AA
FG VIEs’ liabilities	(289)		CPR	0.9	%	-	24.5%	13.3%
			CDR	1.4	%	-	26.9%	7.6%
			Loss severity	45.0	%	-	100.0%	81.6%
			Yield	1.4	%	-	8.0%	3.7%
Liabilities of CIVs:
CLO obligations of CFEs (5)	(3,665)		Yield	1.6	%	-	13.7%	2.1%
Warehouse financing debt	(23)		Yield	12.6	%	-	16.0%	13.8%
Securitized borrowing	(17)		Discount rate	23.9%
			Market multiple-enterprise value/revenue	10.50x

Fair value is based on management’s estimate of what a similarly rated financial guaranty insurance company would demand to acquire the Company’s in-force book of financial guaranty insurance business. It is based on a variety of factors that may include pricing assumptions management has observed for portfolio transfers, commutations, and acquisitions that have occurred in the financial guaranty market, and also includes adjustments for stressed losses, ceding commissions and return on capital. The Company classified the fair value of financial guaranty insurance contracts as Level 3.

Long-term debt issued by the U.S. Holding Companies is valued by broker-dealers using third party independent 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.

Cash equivalents are recorded at cost which approximates fair value. Due from/to brokers and counterparties primarily consists of cash, margin deposits, and cash collateral with the clearing brokers and various counterparties and the net amounts receivable/payable for securities transactions that had not settled at the balance sheet date. Due from/to brokers and counterparties represent balances on a net-by counterparty basis on the condensed consolidated balance sheets where a contractual right of offset exists under an enforceable netting arrangement. The cash at brokers is partially related to collateral for securities sold short and derivative contracts; its use is therefore restricted until the securities are purchased or the derivative contracts are closed. The carrying value approximates fair value of these items and are considered Level 1 in the fair value hierarchy.

Other liabilities in the table below include $34 million and $37 million as of June 30, 2022 and December 31, 2021, respectively, for AssuredIM’s obligation under a master repurchase agreement to finance AssuredIM’s purchase of 5% of the senior and equity notes issued by certain BlueMountain European CLOs, which was required to comply with its European risk retention obligations. The maturity dates are in 2034 and 2035. AssuredIM’s obligation under the master repurchase agreement is not guaranteed by any Assured Guaranty insurance or holding companies.


	As of June 30, 2022				As of December 31, 2021
	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
	(in millions)
Assets (liabilities):
Assets of CIVs (1)	$	118	$	118	$	171	$	171
Other assets (including other invested assets) (2)	102		103		134		135
Financial guaranty insurance contracts (3)	(2,537)		(1,595)		(2,394)		(2,315)
Long-term debt	(1,674)		(1,539)		(1,673)		(1,832)
Liabilities of CIVs (4)	(442)		(442)		(586)		(586)
Other liabilities (5)	(48)		(50)		(45)		(45)