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Fair Value Measurement (Tables)
 6 Months Ended
Jun. 30, 2022
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 June 30, 2022
 Fair Value Hierarchy
 Level 1Level 2Level 3Total
 (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 investments230 — — 230 
Total assets of CIVs230 4,489 386 5,105 
Other assets50 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 $4,562 
Fair Value Hierarchy of Financial Instruments Carried at Fair Value
As of December 31, 2021  
 Fair Value Hierarchy
 Level 1Level 2Level 3Total
 (in millions)
Assets:   
Investments:   
Fixed-maturity securities, available-for sale   
Obligations of state and political subdivisions$— $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 investments145 — — 145 
Total assets of CIVs145 4,421 330 4,896 
Other assets53 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 
___________________
(1)    Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. Excludes $16 million and $19 million of equity method investments measured at fair value under the FVO using the NAV as a practical expedient as of June 30, 2022 and December 31, 2021, respectively.
(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
to AGL. As of June 30, 2022, excludes a $124 million investment in the AssuredIM municipal relative value master fund, which is measured using NAV as a practical expedient.
(3)    Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.
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 second quarter 2022, second quarter 2021, six months 2022, and six months 2021.

Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis
Second Quarter 2022

Fixed-Maturity Securities, Available-for-SaleAssets of CIVs
 Obligations
of State and
Political
Subdivisions		 RMBS Asset-
Backed
Securities		 FG VIEs’
Assets		Equity Securities and WarrantsCorporate SecuritiesStructured ProductsOther
(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)

Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis
Second Quarter 2022

 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 
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis
Second Quarter 2021

Fixed-Maturity Securities, Available-for-Sale
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS Asset-
Backed
Securities		 FG VIEs’
Assets		Assets of CIVs- Equity SecuritiesOther
(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 

Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis
Second Quarter 2021

 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)
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis
Six Months 2022

Fixed-Maturity Securities, Available-for-SaleAssets of CIVs
 Obligations
of State and
Political
Subdivisions		 RMBS Asset-
Backed
Securities		 FG VIEs’
Assets		Equity Securities and WarrantsCorporate SecuritiesStructured ProductsOther
(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)


Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis
Six Months 2022
 Credit Derivative
Asset (Liability),
net (5)		 FG VIEs’ Liabilities (8)Liabilities of CIVs
 (in millions)
Fair value as of December 31, 2021$(154)$(289)$(3,705)
Total pre-tax realized and unrealized gains (losses) recorded in:  
Net income (loss)6 (6)26 (2)295 (4)
Other comprehensive income (loss)—  3  56 
Issuances— — (1,408)
Settlements1  65  401 
Consolidations— (102)— 
Deconsolidations— 15 374 
Fair value as of June 30, 2022$(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 
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis
Six Months 2021
Fixed-Maturity Securities, Available-for-Sale
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS Asset-
Backed
Securities		FG VIEs’
Assets		Assets of CIVs - Equity SecuritiesOther
(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 

Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis
Six Months 2021
 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)
____________________
(1)Included in “net realized investment gains (losses)” and “net investment income”.
(2)Included in “fair value gains (losses) on FG VIEs”.
(3)Reported in “fair value gains (losses) on CCS”, “net investment income” and “other income”.
(4)Reported in “fair value gains (losses) on CIVs”.
(5)Represents the net position of credit derivatives. Credit derivative assets (reported 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.
(8)Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse.
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 second quarter 2022, second quarter 2021, six months 2022, and six months 2021.

Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis
Second Quarter 2022

Fixed-Maturity Securities, Available-for-SaleAssets of CIVs
 Obligations
of State and
Political
Subdivisions		 RMBS Asset-
Backed
Securities		 FG VIEs’
Assets		Equity Securities and WarrantsCorporate SecuritiesStructured ProductsOther
(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)

Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis
Second Quarter 2022

 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 
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis
Second Quarter 2021

Fixed-Maturity Securities, Available-for-Sale
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS Asset-
Backed
Securities		 FG VIEs’
Assets		Assets of CIVs- Equity SecuritiesOther
(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 

Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis
Second Quarter 2021

 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)
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis
Six Months 2022

Fixed-Maturity Securities, Available-for-SaleAssets of CIVs
 Obligations
of State and
Political
Subdivisions		 RMBS Asset-
Backed
Securities		 FG VIEs’
Assets		Equity Securities and WarrantsCorporate SecuritiesStructured ProductsOther
(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)


Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis
Six Months 2022
 Credit Derivative
Asset (Liability),
net (5)		 FG VIEs’ Liabilities (8)Liabilities of CIVs
 (in millions)
Fair value as of December 31, 2021$(154)$(289)$(3,705)
Total pre-tax realized and unrealized gains (losses) recorded in:  
Net income (loss)6 (6)26 (2)295 (4)
Other comprehensive income (loss)—  3  56 
Issuances— — (1,408)
Settlements1  65  401 
Consolidations— (102)— 
Deconsolidations— 15 374 
Fair value as of June 30, 2022$(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 
Roll Forward of Level 3 Assets at Fair Value on a Recurring Basis
Six Months 2021
Fixed-Maturity Securities, Available-for-Sale
 Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS Asset-
Backed
Securities		FG VIEs’
Assets		Assets of CIVs - Equity SecuritiesOther
(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 

Roll Forward of Level 3 Liabilities at Fair Value on a Recurring Basis
Six Months 2021
 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)
____________________
(1)Included in “net realized investment gains (losses)” and “net investment income”.
(2)Included in “fair value gains (losses) on FG VIEs”.
(3)Reported in “fair value gains (losses) on CCS”, “net investment income” and “other income”.
(4)Reported in “fair value gains (losses) on CIVs”.
(5)Represents the net position of credit derivatives. Credit derivative assets (reported 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.
(8)Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse.
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements
Quantitative Information About Level 3 Fair Value Inputs
As of June 30, 2022
Financial Instrument Description Fair Value
(in millions)		Significant Unobservable InputsRangeWeighted Average (4)
Assets (2):   
Fixed-maturity securities, available-for-sale (1):  
Obligations of state and political subdivisions$51 Yield6.9 %-32.1%9.4%
RMBS184 CPR0.0 %-22.2%11.1%
CDR1.5 %-12.0%5.6%
Loss severity50.0 %-125.0%85.2%
Yield4.6 %-7.6%6.8%
Asset-backed securities:
Life insurance transactions357 Yield8.8%
CLOs 420 Discount Margin1.8 %-4.0%2.9%
Others28 Yield6.4 %-13.7%13.6%
FG VIEs’ assets (1)223 CPR0.9 %-25.9%14.3%
CDR1.0 %-41.0%7.6%
Loss severity45.0 %-100.0%82.2%
Yield2.9 %-8.8%5.6%
Assets of CIVs (3):
Equity securities and warrants258 Yield8.8%
Discount rate19.8 %-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 rate4.0%
Cost
1.0x
Corporate securities90 Discount rate20.8 %-23.9%22.0%
Yield16.3%
Cost
1.00x
Market multiple-enterprise value/EBITDA
3.00x
-
8.00x
4.95x
Structured products38 Yield11.0 %-27.4%16.1%
Other assets (1)34 Implied Yield4.7 %-5.4%5.0%
Term (years)10 years
Financial Instrument Description Fair Value
(in millions)		Significant Unobservable InputsRangeWeighted Average (4)
Liabilities (1):
Credit derivative liabilities, net $(147)Year 1 loss estimates0.0 %-92.5%2.6%
Hedge cost (in bps)17.9-41.425.6
Bank profit (in bps)53.7-292.6102.9
Internal credit ratingAAA-CCCAA
FG VIEs’ liabilities(282)CPR0.9 %-25.9%13.2%
CDR1.0 %-41.0%7.0%
Loss severity45.0 %-100.0%75.6%
Yield1.5 %-8.8%5.2%
Liabilities of CIVs:
CLO obligations of CFEs (5)(3,947)Yield1.6 %-24.1%3.2%
Warehouse financing debt(19)Yield16.0%
Securitized borrowing(21)Discount rate24.3%
Market multiple-enterprise value/EBITDA
10.00x
-
11.00x
10.67x
___________________
(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 valuation technique uses the income and/or market approach; the key inputs to the valuation are yield/discount rates and market multiples.
(4)    Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of CIVs, for which it is calculated as a percentage of fair value.
(5)    See CFE fair value methodology described above for consolidated CLOs.
(6)    Earnings before interest, taxes, depreciation, and amortization (EBITDA).
Quantitative Information About Level 3 Fair Value Inputs
As of December 31, 2021
Financial Instrument Description Fair Value (in millions)Significant Unobservable InputsRangeWeighted Average (4)
Assets (2):   
Fixed-maturity securities, available-for-sale (1):  
Obligations of state and political subdivisions$72 Yield4.4 %-24.5%6.2%
RMBS216 CPR0.0 %-22.7%10.4%
CDR1.4 %-12.0%5.9%
Loss severity50.0 %-125.0%84.9%
Yield3.8 %-5.6%4.5%
Asset-backed securities:
Life insurance transactions367 Yield5.0%
CLOs458 Discount margin0.0 %-2.9%1.8%
Others38 Yield3.2 %-7.9%7.9%
FG VIEs’ assets (1)260 CPR0.9 %-24.5%13.3%
CDR1.4 %-26.9%7.6%
Loss severity45.0 %-100.0%81.6%
Yield1.4 %-8.0%4.6%
Assets of CIVs (3):
Equity securities and warrants239 Yield7.7%
Discount rate14.7 %-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 securities91 Discount rate14.7 %-21.4%17.8%
Yield16.4%
Other assets (1)
23 Implied Yield2.7 %-3.3%3.0%
Term (years)10 years
Liabilities (1):  
Credit derivative liabilities, net (154)Year 1 loss estimates0.0 %-85.8%0.1%
Hedge cost (in bps)8.0-37.112.6
Bank profit (in bps)0.0-187.867.9
Internal floor (in bps)8.8
Internal credit ratingAAA-CCCAA
FG VIEs’ liabilities (289)CPR0.9 %-24.5%13.3%
CDR1.4 %-26.9%7.6%
Loss severity45.0 %-100.0%81.6%
Yield1.4 %-8.0%3.7%
Liabilities of CIVs:
CLO obligations of CFEs (5)(3,665)Yield1.6 %-13.7%2.1%
Warehouse financing debt(23)Yield12.6 %-16.0%13.8%
Securitized borrowing(17)Discount rate23.9%
Market multiple-enterprise value/revenue
10.50x
____________________
(1)    Discounted cash flow is used as the primary valuation technique.
(2)    Excludes several investments reported in “other invested assets” with a fair value of $6 million.
(3)    The primary valuation technique uses the income and/or market approach, the key inputs to the valuation are yield/discount rates and market multiples.
(4)    Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of CIVs, for which 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 June 30, 2022As 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)
____________________
(1)    Includes due from brokers and counterparties and cash equivalents. Carrying value approximates fair value.
(2)    Primarily includes accrued interest, receivable for an unsettled sale of a portion of the Puerto Rico salvage and subrogation recoverable, management fees receivables and receivables for securities sold for which carrying value approximates fair value.
(3)    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. 
(4)    Includes due to brokers and counterparties and fund’s loan payable. Carrying value approximates fair value.
(5)    Includes accrued interest, repurchase agreement liability and payables for securities purchased for which carrying value approximates fair value.