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Fair Value Measurement (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2023


	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Fixed-maturity securities, available-for-sale:
Obligations of state and political subdivisions	$	—	$	2,655	$	6	$	2,661
U.S. government and agencies	—		60		—		60
Corporate securities	—		2,141		—		2,141
Mortgage-backed securities:
RMBS	—		188		154		342
CMBS	—		151		—		151
Asset-backed securities	—		49		803		852
Non-U.S. government securities	—		100		—		100
Total fixed-maturity securities, available-for-sale	—		5,344		963		6,307
Fixed-maturity securities, trading	—		318		—		318
Short-term investments	1,657		4		—		1,661
Other invested assets (1)	—		—		3		3
FG VIEs’ assets	—		—		174		174
Assets of CIVs:
Equity securities and warrants	—		3		80		83
Structured products	—		59		189		248
Total assets of CIVs	—		62		269		331
Other assets	55		52		16		123
Total assets carried at fair value	$	1,712	$	5,780	$	1,425	$	8,917
Liabilities:
Credit derivative liabilities	$	—	$	—	$	53	$	53
FG VIEs’ liabilities (3)	—		—		554		554
Total liabilities carried at fair value	$	—	$	—	$	607	$	607

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:
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.

(2) As of December 31, 2022, excludes $5 million in investments in AssuredIM funds for which the Company recorded a 100% NCI. The consolidation of these funds resulted in a gross up of assets and NCI on the consolidated financial statements; however, it resulted in no economic equity or net income attributable to AGL.

(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, 2023 and 2022.

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

Year Ended December 31, 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)	13		(1)	32		(1)	9		(2)	51		(4)	(3)		(4)	21		(4)	(32)		(3)
Other comprehensive income (loss)	(2)			(8)			(8)			—			—			—			—			—
Purchases	—			—			23			—			42			6			5			—
Sales	—			—			(2)			—			(91)			(15)			(48)			—
Settlements	(3)			(30)			(36)			(33)			—			—			—			(4)
Deconsolidations	—			—			—			(7)			(219)			(84)			165			—
Transfers into Level 3	3			—			—			1			—			—			—			—
Transfers out of Level 3	(40)			—			—			—			—			—			—			—
Fair value as of December 31, 2023	$	6		$	154		$	803		$	174		$	80		$	—		$	189		$	14
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2023 included in:
Earnings										$	4	(2)	$	11	(4)	$	—	(4)	$	10	(4)	$	(32)	(3)
OCI	$	—		$	(7)		$	9														$	—

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

Year Ended December 31, 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)	114		(6)	2		(2)	(45)		(4)
Other comprehensive income (loss)	—			3			(13)
Issuances	(1)			—			—
Settlements	(1)			149			13
Deconsolidations	—			7			4,199
Fair value as of December 31, 2023	$	(50)		$	(554)		$	—
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2023 included in:
Earnings	$	112	(6)	$	—		$	—
OCI				$	3		$	—

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

Year Ended December 31, 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 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)			—			—			—			—
Consolidation	—			—			—			22			—			—			—			—
Deconsolidations	—			—			—			(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 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
Settlements	3			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

__________________

(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, 2023 and 2022.

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

Year Ended December 31, 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)	13		(1)	32		(1)	9		(2)	51		(4)	(3)		(4)	21		(4)	(32)		(3)
Other comprehensive income (loss)	(2)			(8)			(8)			—			—			—			—			—
Purchases	—			—			23			—			42			6			5			—
Sales	—			—			(2)			—			(91)			(15)			(48)			—
Settlements	(3)			(30)			(36)			(33)			—			—			—			(4)
Deconsolidations	—			—			—			(7)			(219)			(84)			165			—
Transfers into Level 3	3			—			—			1			—			—			—			—
Transfers out of Level 3	(40)			—			—			—			—			—			—			—
Fair value as of December 31, 2023	$	6		$	154		$	803		$	174		$	80		$	—		$	189		$	14
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2023 included in:
Earnings										$	4	(2)	$	11	(4)	$	—	(4)	$	10	(4)	$	(32)	(3)
OCI	$	—		$	(7)		$	9														$	—

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

Year Ended December 31, 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)	114		(6)	2		(2)	(45)		(4)
Other comprehensive income (loss)	—			3			(13)
Issuances	(1)			—			—
Settlements	(1)			149			13
Deconsolidations	—			7			4,199
Fair value as of December 31, 2023	$	(50)		$	(554)		$	—
Change in unrealized gains (losses) related to financial instruments held as of December 31, 2023 included in:
Earnings	$	112	(6)	$	—		$	—
OCI				$	3		$	—

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

Year Ended December 31, 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 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)			—			—			—			—
Consolidation	—			—			—			22			—			—			—			—
Deconsolidations	—			—			—			(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 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
Settlements	3			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

__________________

(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 December 31, 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	$	6	Yield	7.4	%	-	22.5%	7.8%
RMBS	154		CPR	0.1	%	-	15.0%	3.4%
			CDR	1.5	%	-	18.8%	5.6%
			Loss severity	50.0	%	-	125.0%	82.6%
			Yield	7.5	%	-	11.3%	8.9%
Asset-backed securities:
CLOs	450		Discount margin	1.1	%	-	9.5%	2.6%
Others	353		Yield	6.2	%	-	11.7%	7.8%
FG VIEs’ assets (1)	174		CPR	0.2	%	-	21.4%	7.8%
			CDR	1.3	%	-	41.0%	10.4%
			Loss severity	45.0	%	-	100.0%	82.9%
			Yield	5.5	%	-	10.9%	9.4%
Assets of CIVs (3):
Equity securities and warrants	80		Discount rate	20.9%
			Market multiple-price to book	1.10x
			Market multiple-price to earnings	5.50x
			Terminal growth rate	4.0%
			Exit multiple-price to book	1.10x
			Exit multiple-price to earnings	5.50x
Structured products	189		Yield	14.7	%	-	21.4%	18.0%
Other assets (1)	13		Implied Yield	7.8	%	-	8.4%	8.1%
			Term (years)	10 years
Credit derivative liabilities, net (1)	(50)		Hedge cost (in basis points)( bps)	10.2	%	-	26.5%	15.8%
			Bank profit (in bps)	105.6		-	302.6	158.6
			Internal floor (in bps)	10.0
			Internal credit rating	CCC		-	AAA	A
FG VIEs’ liabilities (1)	(554)		CPR	0.2	%	-	21.4%	7.8%
			CDR	1.3	%	-	41.0%	10.4%
			Loss severity	45.0	%	-	100.0%	82.9%
			Yield	5.0	%	-	10.7%	5.8%

____________________

(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.

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:
CLOs	428		Discount margin	1.8	%	-	4.1%	3.0%
Others	366		Yield	7.4	%	-	12.9%	11.4%
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 (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 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
Credit derivative liabilities, net (1)	(162)		Hedge cost (in bps)	11.5	%	-	25.2%	15.7%
			Bank profit (in bps)	51.0		-	270.5	109.4
			Internal credit rating	AAA		-	CCC	AA


Financial Instrument Description	Fair Value Assets (Liabilities) (in millions)	Significant Unobservable Inputs	Range				Weighted Average (4)
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.

(6) Earnings before interest, taxes, depreciation, and amortization (EBITDA).

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, 2023				As of December 31, 2022
	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
	(in millions)
Assets (liabilities):
Assets of CIVs	$	19	$	19	$	46	$	46
Other assets (including other invested assets)	79		80		92		93
Financial guaranty insurance contracts (1)	(2,244)		(1,811)		(2,335)		(986)
Long-term debt	(1,694)		(1,593)		(1,675)		(1,477)
Liabilities of CIVs	—		—		(170)		(170)
Other liabilities	(15)		(15)		(43)		(43)

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(1) 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.