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Fair Value Measurement (Tables)
 3 Months Ended
Mar. 31, 2024
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 March 31, 2024
 Fair Value Hierarchy
 Level 1Level 2Level 3Total
 (in millions)
Assets:   
Fixed-maturity securities, available-for-sale   
Obligations of state and political subdivisions$— $2,325 $6 $2,331 
U.S. government and agencies— 55 — 55 
Corporate securities— 2,101 — 2,101 
Mortgage-backed securities:
RMBS— 249 153 402 
CMBS— 196 — 196 
Asset-backed securities— 101 821 922 
Non-U.S. government securities— 84 — 84 
Total fixed-maturity securities, available-for-sale— 5,111 980 6,091 
Fixed-maturity securities, trading— 272 — 272 
Short-term investments 1,649 — — 1,649 
Other invested assets (1)— — 4 4 
FG VIEs’ assets— — 167 167 
Assets of CIVs:
Equity securities— — 89 89 
Structured products— 44 220 264 
Total assets of CIVs— 44 309 353 
Other assets61 55 7 123 
Total assets carried at fair value$1,710 $5,482 $1,467 $8,659 
Liabilities:
Credit derivative liabilities$— $— $43 $43 
FG VIEs’ liabilities (2)— — 399 399 
Total liabilities carried at fair value$— $— $442 $442 
Fair Value Hierarchy of Financial Instruments Carried at Fair Value
As of December 31, 2023  
 Fair Value Hierarchy
 Level 1Level 2Level 3Total
 (in millions)
Assets:   
Fixed-maturity securities, available-for sale   
Obligations of state and political subdivisions$— $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 assets55 52 16 123 
Total assets carried at fair value$1,712 $5,780 $1,425 $8,917 
Liabilities:
Credit derivative liabilities$— $— $53 $53 
FG VIEs’ liabilities (2)— — 554 554 
Total liabilities carried at fair value$— $— $607 $607 
___________________
(1)    Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis.
(2)    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 first quarter 2024 and first quarter 2023.
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
First Quarter 2024
Fixed-Maturity Securities, Available-for-SaleAssets of CIVs
 Obligations
of State and
Political
Subdivisions		 RMBS Asset-
Backed
Securities		 FG VIEs’
Assets		Equity Securities Structured ProductsOther
(7)		 
 (in millions)
Fair value as of December 31, 2023$6 $154 $803 $174 $80 $189 $14 
Total pre-tax realized and unrealized gains (losses) recorded in:  
Net income (loss)— 3 (1)16 (1)(2)(2)8 (4)4 (4)(10)(3)
Other comprehensive income (loss)— 1 2  1 — — 1  
Purchases— — 10  — — 29 —  
Sales— — — — (2)(12)— 
Settlements— (5)(30)(6)— — —  
Transfers into Level 3— — 20 — 3 10 — 
Fair value as of March 31, 2024$6 $153 $821 $167 $89 $220 $5 
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2024 included in:
Earnings$(3)(2)$7 (4)$5 (4)$(10)(3)
OCI$— $1 $2 $1 


Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
First Quarter 2024
 Credit Derivative
Liability, net (5)		 FG VIEs’ Liabilities (8)
 (in millions)
Fair value as of December 31, 2023$(50)$(554)
Total pre-tax realized and unrealized gains (losses) recorded in:  
Net income (loss)10 (6)9 (2)
Other comprehensive income (loss)—  (2) 
Settlements1  148  
Fair value as of March 31, 2024$(39)$(399)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2024 included in:
Earnings$4 (6)$2 (2)
OCI$(2)
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
First Quarter 2023
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, 2022
$47 $179 $794 $204 $297 $96 $46 $50 
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)— 3 (1)3 (1)1 (2)33 (4)(2)(4)2 (4)(16)(3)
Other comprehensive income (loss)1 (1)(3)— — — — — 
Purchases— — 5 — 4 4 — — 
Sales— — — — (5)(5)(31)— 
Settlements(1)(7)(4)(8)— — — — 
Fair value as of March 31, 2023$47 $174 $795 $197 $329 $93 $17 $34 
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2023 included in:
Earnings$— $32 (4)$(3)(4)$— $(16)(3)
OCI$1 $(1)$(3)$— 


Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
First Quarter 2023
 Credit Derivative
Liability, net (5)		 FG VIEs’
Liabilities (8)		Liabilities of CIVs (9)
 (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)15 (6)3 (2)(62)(4)
Other comprehensive income (loss)— (1)(8)
Settlements(1)9 4 
Fair value as of March 31, 2023
$(148)$(704)$(4,220)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2023 included in:
Earnings$14 (6)$(2)(2)$(65)(4)
OCI$(1)$(8)
____________________
(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 policy.
(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.
(9)Includes primarily various tranches of CLO debt. The CLOs were collateralized financing entities that were consolidated until the Sound Point Transaction occurred on July 1, 2023.
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 first quarter 2024 and first quarter 2023.
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
First Quarter 2024
Fixed-Maturity Securities, Available-for-SaleAssets of CIVs
 Obligations
of State and
Political
Subdivisions		 RMBS Asset-
Backed
Securities		 FG VIEs’
Assets		Equity Securities Structured ProductsOther
(7)		 
 (in millions)
Fair value as of December 31, 2023$6 $154 $803 $174 $80 $189 $14 
Total pre-tax realized and unrealized gains (losses) recorded in:  
Net income (loss)— 3 (1)16 (1)(2)(2)8 (4)4 (4)(10)(3)
Other comprehensive income (loss)— 1 2  1 — — 1  
Purchases— — 10  — — 29 —  
Sales— — — — (2)(12)— 
Settlements— (5)(30)(6)— — —  
Transfers into Level 3— — 20 — 3 10 — 
Fair value as of March 31, 2024$6 $153 $821 $167 $89 $220 $5 
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2024 included in:
Earnings$(3)(2)$7 (4)$5 (4)$(10)(3)
OCI$— $1 $2 $1 


Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
First Quarter 2024
 Credit Derivative
Liability, net (5)		 FG VIEs’ Liabilities (8)
 (in millions)
Fair value as of December 31, 2023$(50)$(554)
Total pre-tax realized and unrealized gains (losses) recorded in:  
Net income (loss)10 (6)9 (2)
Other comprehensive income (loss)—  (2) 
Settlements1  148  
Fair value as of March 31, 2024$(39)$(399)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2024 included in:
Earnings$4 (6)$2 (2)
OCI$(2)
Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
First Quarter 2023
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, 2022
$47 $179 $794 $204 $297 $96 $46 $50 
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)— 3 (1)3 (1)1 (2)33 (4)(2)(4)2 (4)(16)(3)
Other comprehensive income (loss)1 (1)(3)— — — — — 
Purchases— — 5 — 4 4 — — 
Sales— — — — (5)(5)(31)— 
Settlements(1)(7)(4)(8)— — — — 
Fair value as of March 31, 2023$47 $174 $795 $197 $329 $93 $17 $34 
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2023 included in:
Earnings$— $32 (4)$(3)(4)$— $(16)(3)
OCI$1 $(1)$(3)$— 


Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis
First Quarter 2023
 Credit Derivative
Liability, net (5)		 FG VIEs’
Liabilities (8)		Liabilities of CIVs (9)
 (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)15 (6)3 (2)(62)(4)
Other comprehensive income (loss)— (1)(8)
Settlements(1)9 4 
Fair value as of March 31, 2023
$(148)$(704)$(4,220)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2023 included in:
Earnings$14 (6)$(2)(2)$(65)(4)
OCI$(1)$(8)
____________________
(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 policy.
(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.
(9)Includes primarily various tranches of CLO debt. The CLOs were collateralized financing entities that were consolidated until the Sound Point Transaction occurred on July 1, 2023.
Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements
Quantitative Information About Level 3 Fair Value Inputs
As of March 31, 2024
Financial Instrument Description Fair Value Assets (Liabilities)
(in millions)		Significant Unobservable InputsRangeWeighted Average (4)
Investments (2):  
Fixed-maturity securities, available-for-sale (1):  
Obligations of state and political subdivisions$6 Yield7.0 %-22.5%7.8%
RMBS153 CPR0.9 %-15.0%3.2%
CDR1.5 %-18.8%5.7%
Loss severity50.0 %-125.0%81.6%
Yield7.6 %-11.4%9.0%
Asset-backed securities:
CLOs 439 Discount margin1.0 %-9.6%2.5%
Others382 Yield6.6 %-10.1%7.8%
FG VIEs’ assets (1)167 CPR0.2 %-21.6%7.6%
CDR1.3 %-41.0%10.5%
Loss severity45.0 %-100.0%82.9%
Yield5.7 %-10.8%9.5%
Assets of CIVs (3):
Equity securities 89 Discount rate16.5 %-23.5%20.5%
Market multiple-price to book
1.05x
Market multiple-price to earnings
5.25x
Terminal growth rate4.0%
Exit multiple-price to book
1.10x
Exit multiple-price to earnings
5.25x
Structured products220 Yield9.8 %-23.5%16.6%
Other assets (1)3 Implied Yield7.5 %-8.0%7.8%
Term (years)10 years
Credit derivative liabilities, net (1)(39)Hedge cost (in basis points) (bps)8.7-20.612.5
Bank profit (in bps)83.6-268.3139.4
Internal floor (in bps)10.0
Internal credit ratingAAA-CCCA
FG VIEs’ liabilities (1)(399)CPR0.2 %-21.6%7.6%
CDR1.3 %-41.0%10.5%
Loss severity45.0 %-100.0%82.9%
Yield4.8 %-10.8%5.9%
___________________
(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 $4 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, 2023
Financial Instrument Description Fair Value Assets (Liabilities)
(in millions)		Significant Unobservable InputsRangeWeighted Average (4)
Investments (2):   
Fixed-maturity securities, available-for-sale (1):  
Obligations of state and political subdivisions$6 Yield7.4 %-22.5%7.8%
RMBS154 CPR0.1 %-15.0%3.4%
CDR1.5 %-18.8%5.6%
Loss severity50.0 %-125.0%82.6%
Yield7.5 %-11.3%8.9%
Asset-backed securities:
CLOs450 Discount margin1.1 %-9.5%2.6%
Others353Yield6.2 %-11.7%7.8%
FG VIEs’ assets (1)174 CPR0.2 %-21.4%7.8%
CDR1.3 %-41.0%10.4%
Loss severity45.0 %-100.0%82.9%
Yield5.5 %-10.9%9.4%
Assets of CIVs (3):
Equity securities 80 Discount rate20.9%
Market multiple-price to book
1.10x
Market multiple-price to earnings
5.50x
Terminal growth rate4.0%
Exit multiple-price to book
1.10x
Exit multiple-price to earnings
5.50x
Structured products189Yield14.7 %-21.4%18.0%
Other assets (1)
13 Year 1 loss estimates7.8 %-8.4%8.1%
Term (years)10 years
Credit derivative liabilities, net (1)(50)Hedge cost (in bps)10.2-26.515.8
Bank profit (in bps)105.6-302.6158.6
Internal floor (in bps)10.0
Internal credit ratingAAA-CCCA
FG VIEs’ liabilities (1)(554)CPR0.2 %-21.4%7.8%
CDR1.3 %-41.0%10.4%
Loss severity45.0 %-100.0%82.9%
Yield5.0 %-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.
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 March 31, 2024As of December 31, 2023
 Carrying
Amount		Estimated
Fair Value		Carrying
Amount		Estimated
Fair Value
 (in millions)
Assets (liabilities):    
Assets of CIVs $27 $27 $19 $19 
Other assets (including other invested assets) 79 80 79 80 
Financial guaranty insurance contracts (1)(2,153)(1,635)(2,244)(1,811)
Long-term debt(1,695)(1,597)(1,694)(1,593)
Other liabilities (24)(24)(15)(15)
____________________
(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.