XML 58 R42.htm IDEA: XBRL DOCUMENT v3.22.4
Fair Value Measurement (Tables)
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value Hierarchy of Financial Instruments Carried at Fair Value
Fair Value Hierarchy of Financial Instruments Carried at Fair Value
As of December 31, 2022

 Fair Value Hierarchy
 Level 1Level 2Level 3Total
 (in millions)
Assets:   
Investments:   
Fixed-maturity securities, available-for-sale:   
Obligations of state and political subdivisions$— $3,347 $47 $3,394 
U.S. government and agencies— 111 — 111 
Corporate securities— 2,084 — 2,084 
Mortgage-backed securities:
RMBS— 161 179 340 
CMBS— 271 — 271 
Asset-backed securities— 27 794 821 
Non-U.S. government securities— 98 — 98 
Total fixed-maturity securities, available-for-sale— 6,099 1,020 7,119 
Fixed-maturity securities, trading— 303 — 303 
Short-term investments 771 39 — 810 
Other invested assets (1)2 — 5 7 
FG VIEs’ assets— 209 204 413 
Assets of CIVs (2):
Fund investments:
Equity securities and warrants— 5 297 302 
Corporate securities— — 96 96 
Structured products— 82 46 128 
CLOs and CLO warehouse assets:
Loans— 4,570 — 4,570 
Short-term investments135 — — 135 
Total assets of CIVs135 4,657 439 5,231 
Other assets54 46 48 148 
Total assets carried at fair value$962 $11,353 $1,716 $14,031 
Liabilities:   
Credit derivative liabilities $— $— $163 $163 
FG VIEs’ liabilities (3)— — 715 715 
Liabilities of CIVs:
CLO obligations of CFEs— — 4,090 4,090 
Warehouse financing debt— 277 36 313 
Securitized borrowing— — 28 28 
Total liabilities of CIVs— 277 4,154 4,431 
Other liabilities— 7 — 7 
Total liabilities carried at fair value$— $284 $5,032 $5,316 
Fair Value Hierarchy of Financial Instruments Carried at Fair Value
As of December 31, 2021
 Fair Value Hierarchy
 Level 1Level 2Level 3Total
 (in millions)
Assets:   
Investments:   
Fixed-maturity securities, available-for-sale:   
Obligations of state and political subdivisions$— $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 investments1,225 — — 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 $23 million and $19 million of equity method investments measured at fair value under the FVO using the NAV as a practical expedient as of December 31, 2022 and December 31, 2021, respectively.
(2)    Excludes $5 million and $6 million as of December 31, 2022 and December 31, 2021, respectively, in investments in AssuredIM Funds for which the Company records a 100% NCI. The consolidation of these funds results in a gross up of assets and NCI on the consolidated financial statements; however, it results in no economic equity or net income attributable to AGL. As of December 31,
2022, excludes a $127 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 the years ended December 31, 2022 and 2021.

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
Year Ended December 31, 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)1 (1)16 (1)5 (1)(3)(2)1 (4)2 (4)(5)(4)24 (3)
Other comprehensive income (loss)(12)(36)(47) —  — — — (1) 
Purchases— 22 43  —  73 16 52 —  
Sales— — (13)— (16)(13)(21)— 
Settlements(14)(39)(57)(60)— — — —  
Consolidations— — — 22 — — — — 
Deconsolidation— — — (15)— — 20 — 
Fair value as of December 31, 2022$47 $179 $794  $204  $297 $96 $46 $50  
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2022 included in:
Earnings$(3)(2)$(8)(4)$1 (4)$(4)(4)$24 (3)
OCI$(12)$(32)$(45)$(1)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
Year Ended December 31, 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)$(3,705)
Total pre-tax realized and unrealized gains (losses) recorded in:   
Net income (loss)(11)(6)34 (2)178 (4)
Other comprehensive income (loss)—  (3)42 
Issuances —  — (1,421)
Sales— — 2 
Settlements3  99 402 
Consolidations— (571)(26)
Deconsolidations— 15 374 
Fair value as of December 31, 2022$(162)$(715)$(4,154)
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2022 included in:
Earnings$(11)(6)$59 (2)$217 (4)
OCI$(3)$42 
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
Year Ended December 31, 2021
Fixed-Maturity SecuritiesAssets of CIVs
Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS Asset-
Backed
Securities		 FG VIEs’
Assets		 Equity Securities and WarrantsCorporate 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)23 (1)2 (1)16 (1)18 (1)26 (2)35 (4)— (27)(3)
Other comprehensive income (loss)(5)16 (1)(5)—  — — — 
Purchases— — — 344 —  56 — — 
Sales(44)(48)— (142)— (28)— — 
Settlements(3)— (54)(292)(62) — — — 
Consolidation— — — — — 174 91 — 
Fair value as of December 31, 2021$72 $— $216 $863 $260  $239 $91 $27 
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in:
Earnings$27 (2)$(2)(4)$— $(28)(3)
OCI$1 $— $(1)$(6)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
Year Ended December 31, 2021
Credit Derivative Asset (Liability), net (5)FG VIEs’
(Liabilities) (8)		(Liabilities) of CIVs
(in millions)
Fair value as of December 31, 2020$(100)$(333)$(1,227)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)(58)(6)(8)(2)15 (4)
Other comprehensive income (loss)— (1)— 
Issuances— — (3,367)
Settlements4 53 891 
Consolidations— — (17)
Fair value as of December 31, 2021$(154)$(289)$(3,705)
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in:
Earnings$(74)(6)$(6)(2)$(2)(4)
OCI$(1)
__________________
(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 (loss)”.
(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 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 the years ended December 31, 2022 and 2021.

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
Year Ended December 31, 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)1 (1)16 (1)5 (1)(3)(2)1 (4)2 (4)(5)(4)24 (3)
Other comprehensive income (loss)(12)(36)(47) —  — — — (1) 
Purchases— 22 43  —  73 16 52 —  
Sales— — (13)— (16)(13)(21)— 
Settlements(14)(39)(57)(60)— — — —  
Consolidations— — — 22 — — — — 
Deconsolidation— — — (15)— — 20 — 
Fair value as of December 31, 2022$47 $179 $794  $204  $297 $96 $46 $50  
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2022 included in:
Earnings$(3)(2)$(8)(4)$1 (4)$(4)(4)$24 (3)
OCI$(12)$(32)$(45)$(1)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
Year Ended December 31, 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)$(3,705)
Total pre-tax realized and unrealized gains (losses) recorded in:   
Net income (loss)(11)(6)34 (2)178 (4)
Other comprehensive income (loss)—  (3)42 
Issuances —  — (1,421)
Sales— — 2 
Settlements3  99 402 
Consolidations— (571)(26)
Deconsolidations— 15 374 
Fair value as of December 31, 2022$(162)$(715)$(4,154)
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2022 included in:
Earnings$(11)(6)$59 (2)$217 (4)
OCI$(3)$42 
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
Year Ended December 31, 2021
Fixed-Maturity SecuritiesAssets of CIVs
Obligations
of State and
Political
Subdivisions		 Corporate SecuritiesRMBS Asset-
Backed
Securities		 FG VIEs’
Assets		 Equity Securities and WarrantsCorporate 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)23 (1)2 (1)16 (1)18 (1)26 (2)35 (4)— (27)(3)
Other comprehensive income (loss)(5)16 (1)(5)—  — — — 
Purchases— — — 344 —  56 — — 
Sales(44)(48)— (142)— (28)— — 
Settlements(3)— (54)(292)(62) — — — 
Consolidation— — — — — 174 91 — 
Fair value as of December 31, 2021$72 $— $216 $863 $260  $239 $91 $27 
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in:
Earnings$27 (2)$(2)(4)$— $(28)(3)
OCI$1 $— $(1)$(6)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
Year Ended December 31, 2021
Credit Derivative Asset (Liability), net (5)FG VIEs’
(Liabilities) (8)		(Liabilities) of CIVs
(in millions)
Fair value as of December 31, 2020$(100)$(333)$(1,227)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)(58)(6)(8)(2)15 (4)
Other comprehensive income (loss)— (1)— 
Issuances— — (3,367)
Settlements4 53 891 
Consolidations— — (17)
Fair value as of December 31, 2021$(154)$(289)$(3,705)
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2021 included in:
Earnings$(74)(6)$(6)(2)$(2)(4)
OCI$(1)
__________________
(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 (loss)”.
(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 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 December 31, 2022 
Financial Instrument DescriptionFair Value
Assets (Liabilities)
(in millions)		Significant Unobservable 
Inputs		RangeWeighted Average (4)
Investments (2):   
Fixed-maturity securities, available-for-sale (1):  
Obligations of state and political subdivisions$47 Yield7.4 %-13.5%9.4%
RMBS179 CPR3.8 %-16.1%8.2%
CDR1.5 %-12.0%5.9%
Loss severity50.0 %-125.0%82.5%
Yield7.5 %-11.3%9.0%
Asset-backed securities:
Life insurance transactions342 Yield11.3%
CLOs428 Discount Margin1.8 %-4.1%3.0%
Others24 Yield7.4 %-12.9%12.8%
FG VIEs’ assets (1)204 CPR0.9 %-21.9%12.9%
CDR1.3 %-41.0%7.6%
Loss severity45.0 %-100.0%81.0%
Yield6.6 %-10.9%7.5%
Assets of CIVs (3):
Equity securities and warrants297 Yield10.0%
Discount rate19.8 %-25.1%22.7%
Market multiple-enterprise value/revenue
1.05x
-
1.10x
1.08x
Market multiple-enterprise value/EBITDA (6)
2.50x
-
11.00x
10.25x
Market multiple-price to book
1.15x
Market multiple-price to earnings
4.50x
Terminal growth rate
3.0%
-
4.0%
3.5%
Exit multiple -EBITDA
8.00x
-
12.00x
10.53x
Exit multiple-price to book
1.30x
Exit multiple-price to earnings
5.50x
Cost
1.00x
Corporate securities96 Discount rate20.8 %-23.8%21.7%
Yield16.3%
Exit multiple-EBITDA
8.00x
Cost
1.00x
Market multiple-enterprise value/EBITDA
2.50x
-
2.75x
2.63x
Structured products46 Yield12.8 %-37.1%18.9%
Other assets (1)47 Implied Yield7.7 %-8.4%8.1%
Term (years)10 years
Financial Instrument DescriptionFair Value
Assets (Liabilities)
(in millions)		Significant Unobservable 
Inputs		RangeWeighted Average (4)
Credit derivative liabilities, net (1)(162)Hedge cost (in bps)11.5 %-25.2%15.7%
Bank profit (in bps)51.0-270.5109.4
Internal credit ratingAAA-CCCAA
FG VIEs’ liabilities (1)(715)CPR0.9 %-21.9%6.3%
CDR1.3 %-41.0%3.7%
Loss severity45.0 %-100.0%39.9%
Yield4.8 %-10.9%5.9%
Liabilities of CIVs (1):
CLO obligations of CFEs (5)(4,090)Yield3.0 %-27.4%5.5%
Warehouse financing debt(36)Yield11.7 %-16.9%12.9%
Securitized borrowing(28)Discount rate20.9%
Terminal growth rate
3.0%
Exit multiple-EBITDA
11.00x
Market multiple-enterprise value/EBITDA
10.00x
-
11.00x
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 $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 DescriptionFair Value
Assets (Liabilities)
(in millions)		Significant 
Unobservable 
Inputs		RangeWeighted Average (4)
Investments (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
Credit derivative liabilities, net (1)(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 (1)(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 (1):
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
Fair Value of Financial Instruments Not Carried at Fair Value
 As of December 31, 2022As of December 31, 2021
 Carrying
Amount		Estimated
Fair Value		Carrying
Amount		Estimated
Fair Value
 (in millions)
Assets (liabilities):
Assets of CIVs (1)$46 $46 $171 $171 
Other assets (including other invested assets) (2)92 93 134 135 
Financial guaranty insurance contracts (3)(2,335)(986)(2,394)(2,315)
Long-term debt(1,675)(1,477)(1,673)(1,832)
Liabilities of CIVs (4)(170)(170)(586)(586)
Other liabilities (5)(43)(43)(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)    Primarily includes accrued interest, repurchase agreement liability and payables for securities purchased, for which carrying value approximates fair value.