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Fair Value Measurement (Tables)

6 Months Ended

Jun. 30, 2023

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, 2023


	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	$	—	$	2,830	$	46	$	2,876
U.S. government and agencies	—		64		—		64
Corporate securities	—		2,066		—		2,066
Mortgage-backed securities:
RMBS	—		190		162		352
CMBS	—		204		—		204
Asset-backed securities	—		28		800		828
Non-U.S. government securities	—		98		—		98
Total fixed-maturity securities, available-for-sale	—		5,480		1,008		6,488
Fixed-maturity securities, trading	—		340		—		340
Short-term investments	1,629		21		—		1,650
Other invested assets (1)	—		—		3		3
FG VIEs’ assets	—		223		188		411
Assets of CIVs (2):
Fund investments:
Equity securities and warrants	—		4		290		294
Corporate securities	—		—		84		84
Structured products	—		74		—		74
CLOs and CLO warehouse assets:
Loans	—		4,452		—		4,452
Short-term investments	69		—		—		69
Total assets of CIVs	69		4,530		374		4,973
Assets held for sale	1		—		—		1
Other assets	59		49		33		141
Total assets carried at fair value	$	1,758	$	10,643	$	1,606	$	14,007
Liabilities:
Credit derivative liabilities	$	—	$	—	$	58	$	58
FG VIEs’ liabilities (3)	—		—		699		699
Liabilities of CIVs:
CLO obligations of CFEs	—		—		4,138		4,138
Warehouse financing debt	—		127		30		157
Securitized borrowing	—		—		31		31

Total liabilities of CIVs	—		127		4,199		4,326
Liabilities held for sale	—		7		—		7

Total liabilities carried at fair value	$	—	$	134	$	4,956	$	5,090

Fair Value Hierarchy of Financial Instruments Carried at Fair Value

As of December 31, 2022


	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	$	—	$	3,347	$	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 investments	135		—		—		135
Total assets of CIVs	135		4,657		439		5,231
Other assets	54		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

___________________

(1) Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. Excludes $23 million of equity method investments measured at fair value under the FVO using the NAV as a practical expedient as of both June 30, 2023 and December 31, 2022.

(2) Excludes $5 million, as of both June 30, 2023 and December 31, 2022, 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 $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 second quarter 2023, second quarter 2022, six months 2023 and six months 2022.

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2023


	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, 2023	$	47		$	174		$	795		$	197		$	329		$	93		$	17	$	34
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	1		(1)	4		(1)	(3)		(1)	(2)		(2)	7		(4)	(1)		(4)	—		3		(3)
Other comprehensive income (loss)	(1)			(7)			(5)			—			—			—			—		—
Purchases	—			—			18			—			34			2			—		—
Sales	—			—			(2)			—			(80)			(10)			(17)		—
Settlements	(1)			(9)			(3)			(7)			—			—			—		(4)


Fair value as of June 30, 2023	$	46		$	162		$	800		$	188		$	290		$	84		$	—	$	33
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:
Earnings										$	(3)	(2)	$	(33)	(4)	$	—		$	—	$	3	(3)
OCI	$	(1)		$	(7)		$	(4)													$	—

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2023


	Credit Derivative Liability, net (5)			FG VIEs’ Liabilities (8)			Liabilities of CIVs
	(in millions)
Fair value as of March 31, 2023	$	(148)		$	(704)		$	(4,220)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	91		(6)	(2)		(2)	17		(4)
Other comprehensive income (loss)	—			2			(5)


Settlements	—			5			9


Fair value as of June 30, 2023	$	(57)		$	(699)		$	(4,199)
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:
Earnings	$	91	(6)	$	4	(2)	$	(2)	(4)
OCI				$	2		$	(5)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2022


	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)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2022


	Credit Derivative 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 (Liabilities) at Fair Value on a Recurring Basis

Six Months 2023


	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, 2022	$	47		$	179		$	794	$	204		$	297		$	96		$	46		$	50
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	1		(1)	7		(1)	—		(1)		(2)	40		(4)	(3)		(4)	2		(4)	(13)		(3)
Other comprehensive income (loss)	—			(8)			(8)		—			—			—			—			—
Purchases	—			—			23		—			38			6			—			—
Sales	—			—			(2)		—			(85)			(15)			(48)			—
Settlements	(2)			(16)			(7)		(15)			—			—			—			(4)


Fair value as of June 30, 2023	$	46		$	162		$	800	$	188		$	290		$	84		$	—		$	33
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:
Earnings									$	(3)	(2)	$	(1)	(4)	$	(3)	(4)	$	—		$	(13)	(3)
OCI	$	—		$	(8)		$	(7)													$	—

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Six Months 2023


	Credit Derivative Liability, net (5)			FG VIEs’ Liabilities (8)			Liabilities of CIVs
	(in millions)
Fair value as of December 31, 2022	$	(162)		$	(715)		$	(4,154)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	106		(6)	1		(2)	(45)		(4)
Other comprehensive income (loss)	—			1			(13)


Settlements	(1)			14			13


Fair value as of June 30, 2023	$	(57)		$	(699)		$	(4,199)
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:
Earnings	$	105	(6)	$	2	(2)	$	(67)	(4)
OCI				$	1		$	(13)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Six Months 2022


	Fixed-Maturity Securities, Available-for-Sale										Assets of CIVs
	Obligations of State and Political Subdivisions		RMBS			Asset- Backed Securities		FG VIEs’ Assets			Equity Securities			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)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Six Months 2022


	Credit Derivative 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

____________________

(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 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

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2023


	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, 2023	$	47		$	174		$	795		$	197		$	329		$	93		$	17	$	34
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	1		(1)	4		(1)	(3)		(1)	(2)		(2)	7		(4)	(1)		(4)	—		3		(3)
Other comprehensive income (loss)	(1)			(7)			(5)			—			—			—			—		—
Purchases	—			—			18			—			34			2			—		—
Sales	—			—			(2)			—			(80)			(10)			(17)		—
Settlements	(1)			(9)			(3)			(7)			—			—			—		(4)


Fair value as of June 30, 2023	$	46		$	162		$	800		$	188		$	290		$	84		$	—	$	33
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:
Earnings										$	(3)	(2)	$	(33)	(4)	$	—		$	—	$	3	(3)
OCI	$	(1)		$	(7)		$	(4)													$	—

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2023


	Credit Derivative Liability, net (5)			FG VIEs’ Liabilities (8)			Liabilities of CIVs
	(in millions)
Fair value as of March 31, 2023	$	(148)		$	(704)		$	(4,220)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	91		(6)	(2)		(2)	17		(4)
Other comprehensive income (loss)	—			2			(5)


Settlements	—			5			9


Fair value as of June 30, 2023	$	(57)		$	(699)		$	(4,199)
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:
Earnings	$	91	(6)	$	4	(2)	$	(2)	(4)
OCI				$	2		$	(5)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2022


	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)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2022


	Credit Derivative 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 (Liabilities) at Fair Value on a Recurring Basis

Six Months 2023


	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, 2022	$	47		$	179		$	794	$	204		$	297		$	96		$	46		$	50
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	1		(1)	7		(1)	—		(1)		(2)	40		(4)	(3)		(4)	2		(4)	(13)		(3)
Other comprehensive income (loss)	—			(8)			(8)		—			—			—			—			—
Purchases	—			—			23		—			38			6			—			—
Sales	—			—			(2)		—			(85)			(15)			(48)			—
Settlements	(2)			(16)			(7)		(15)			—			—			—			(4)


Fair value as of June 30, 2023	$	46		$	162		$	800	$	188		$	290		$	84		$	—		$	33
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:
Earnings									$	(3)	(2)	$	(1)	(4)	$	(3)	(4)	$	—		$	(13)	(3)
OCI	$	—		$	(8)		$	(7)													$	—

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Six Months 2023


	Credit Derivative Liability, net (5)			FG VIEs’ Liabilities (8)			Liabilities of CIVs
	(in millions)
Fair value as of December 31, 2022	$	(162)		$	(715)		$	(4,154)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	106		(6)	1		(2)	(45)		(4)
Other comprehensive income (loss)	—			1			(13)


Settlements	(1)			14			13


Fair value as of June 30, 2023	$	(57)		$	(699)		$	(4,199)
Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:
Earnings	$	105	(6)	$	2	(2)	$	(67)	(4)
OCI				$	1		$	(13)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Six Months 2022


	Fixed-Maturity Securities, Available-for-Sale										Assets of CIVs
	Obligations of State and Political Subdivisions		RMBS			Asset- Backed Securities		FG VIEs’ Assets			Equity Securities			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)

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Six Months 2022


	Credit Derivative 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

____________________

(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.”

(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, 2023


Financial Instrument Description	Fair Value Assets (Liabilities) (in millions)		Significant Unobservable Inputs	Range				Weighted Average (4)
Investments (2):
Fixed-maturity securities, available-for-sale (1):
Obligations of state and political subdivisions	$	46	Yield	7.3	%	-	20.0%	8.8%
RMBS	162		CPR	1.0	%	-	15.1%	4.2%
			CDR	1.5	%	-	16.0%	5.8%
			Loss severity	50.0	%	-	125.0%	82.6%
			Yield	7.5	%	-	11.8%	9.0%
Asset-backed securities:
Life insurance transactions	326		Yield	8.1%
CLOs	454		Discount margin	1.5	%	-	3.9%	2.6%
Others	20		Yield	7.0	%	-	12.8%	12.7%
FG VIEs’ assets (1)	188		CPR	0.4	%	-	22.1%	8.3%
			CDR	1.3	%	-	41.0%	9.3%
			Loss severity	45.0	%	-	100.0%	82.5%
			Yield	8.0	%	-	11.1%	9.5%
Assets of CIVs (3):
Equity securities and warrants	290		Yield	8.7%
			Discount rate	17.1	%	-	27.4%	23.6%
			Market multiple-enterprise value/revenue	0.95x		-	0.99x	0.97x
			Market multiple-enterprise value/EBITDA (6)	2.50x		-	11.50x	10.66x
			Market multiple-price to book	1.00x
			Market multiple-price to earnings	5.25x
			Terminal growth rate	3.0	%	-	4.0%	3.4%
			Exit multiple-EBITDA	11.00x		-	12.00x	11.29x
			Exit multiple-price to book	1.10x
			Exit multiple-price to earnings	5.25x
			Cost	1.00x
			Sale scenario - discount rate	4.7	%	-	4.8%	4.8%
			Haircut to Holdback	30.0	%	-	95.0%	62.5%
Corporate securities	84		Discount rate	17.1%
			Yield	16.3%
			Cost	1.00x
			Market multiple-enterprise value/EBITDA	2.50x		-	2.75x	2.63x
Other assets (1)	32		Implied Yield	8.1	%	-	8.7%	8.4%
			Term (years)	10 years


Financial Instrument Description	Fair Value Assets (Liabilities) (in millions)		Significant Unobservable Inputs	Range				Weighted Average (4)
Credit derivative liabilities, net (1)	$	(57)	Hedge cost (in bps)	17.2		-	39.5	24.2
			Bank profit (in bps)	115.9		-	298.8	178.0
			Internal floor (in bps)	10.0
			Internal credit rating	AAA		-	CCC	AA
FG VIEs’ liabilities (1)	(699)		CPR	0.4	%	-	22.1%	8.3%
			CDR	1.3	%	-	41.0%	9.3%
			Loss severity	45.0	%	-	100.0%	82.5%
			Yield	4.5	%	-	11.1%	5.5%
Liabilities of CIVs (1):
CLO obligations of CFEs (5)	(4,138)		Yield	4.8	%	-	24.1%	7.0%
Warehouse financing debt	(30)		Yield	0.0	%	-	9.3%	9.3%
Securitized borrowing	(31)		Discount rate	24.3%
			Terminal growth rate	3.0%
			Exit multiple-EBITDA	11.00x
			Market multiple-enterprise value/EBITDA	10.50x		-	11.50x	11.00x

___________________

(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 $3 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, 2022


Financial Instrument Description	Fair Value Assets (Liabilities) (in millions)		Significant Unobservable Inputs	Range				Weighted Average (4)
Investments (2):
Fixed-maturity securities, available-for-sale (1):
Obligations of state and political subdivisions	$	47	Yield	7.4	%	-	13.5%	9.4%
RMBS	179		CPR	3.8	%	-	16.1%	8.2%
			CDR	1.5	%	-	12.0%	5.9%
			Loss severity	50.0	%	-	125.0%	82.5%
			Yield	7.5	%	-	11.3%	9.0%
Asset-backed securities:
Life insurance transactions	342		Yield	11.3%
CLOs	428		Discount margin	1.8	%	-	4.1%	3.0%
Others	24		Yield	7.4	%	-	12.9%	12.8%
FG VIEs’ assets (1)	204		CPR	0.9	%	-	21.9%	12.9%
			CDR	1.3	%	-	41.0%	7.6%
			Loss severity	45.0	%	-	100.0%	81.0%
			Yield	6.6	%	-	10.9%	7.5%
Assets of CIVs (3):
Equity securities and warrants	297		Yield	10.0%
			Discount rate	19.8%		-	25.1%	22.7%
			Market multiple-enterprise value/revenue	1.05x		-	1.10x	1.08x
			Market multiple-enterprise value/EBITDA	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 securities	96		Discount rate	20.8	%	-	23.8%	21.7%
			Yield	16.3%
			Exit multiple-EBITDA	8.00x
			Cost	1.00x
			Market multiple-enterprise value/EBITDA	2.50x		-	2.75x	2.63x
Structured products	46		Yield	12.8	%	-	37.1%	18.9%
Other assets (1)	47		Implied Yield	7.7	%	-	8.4%	8.1%
			Term (years)	10 years


Financial Instrument Description	Fair Value Assets (Liabilities) (in millions)	Significant Unobservable Inputs	Range				Weighted Average (4)
Credit derivative liabilities, net (1)	(162)	Year 1 loss estimates	11.5	%	-	25.2%	15.7%
		Bank profit (in bps)	51.0		-	270.5	109.4
		Internal credit rating	AAA		-	CCC	AA
FG VIEs’ liabilities (1)	(715)	CPR	0.9	%	-	21.9%	6.3%
		CDR	1.3	%	-	41.0%	3.7%
		Loss severity	45.0	%	-	100.0%	39.9%
		Yield	4.8	%	-	10.9%	5.9%
Liabilities of CIVs (1):
CLO obligations of CFEs (5)	(4,090)	Yield	3.0	%	-	27.4%	5.5%
Warehouse financing debt	(36)	Yield	11.7	%	-	16.9%	12.9%
Securitized borrowing	(28)	Discount rate	20.9%
		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.

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, 2023				As of December 31, 2022
	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
	(in millions)
Assets (liabilities):
Assets of CIVs (1)	$	47	$	47	$	46	$	46
Assets held for sale	10		10		—		—
Other assets (including other invested assets) (2)	130		131		92		93
Financial guaranty insurance contracts (3)	(2,291)		(1,901)		(2,335)		(986)
Long-term debt	(1,677)		(1,491)		(1,675)		(1,477)
Liabilities of CIVs (4)	(114)		(114)		(170)		(170)
Liabilities held for sale	(36)		(36)		—		—
Other liabilities (5)	(66)		(66)		(43)		(43)

____________________

(1) Includes due from brokers and counterparties and cash equivalents. Carrying value approximates fair value.

(2) Primarily includes accrued interest, management fees receivables for December 31, 2022, a participation loan, 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 as of December 31, 2022, and payables for securities purchased for which carrying value approximates fair value.