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Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2025

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, 2025


	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	$	—	$	1,914	$	10	$	1,924
U.S. government and agencies	—		72		—		72
Corporate securities	—		2,472		5		2,477
Mortgage-backed securities:
RMBS	—		425		144		569
CMBS	—		182		—		182
Asset-backed securities	—		137		983		1,120
Non-U.S. government securities	—		71		—		71
Total fixed-maturity securities, available-for-sale	—		5,273		1,142		6,415
Fixed-maturity securities, trading	—		132		5		137
Short-term investments	1,154		4		—		1,158
Other invested assets (1)	—		—		3		3
FG VIEs’ assets	—		—		145		145
Assets of CIVs, equity securities	—		—		118		118
Other assets	68		58		8		134
Total assets carried at fair value	$	1,222	$	5,467	$	1,421	$	8,110
Liabilities:
FG VIEs’ liabilities (2)	$	—	$	—	$	163	$	163
Other liabilities	—		—		34		34
Total liabilities carried at fair value	$	—	$	—	$	197	$	197

Fair Value Hierarchy of Financial Instruments Carried at Fair Value

As of December 31, 2024


	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	$	—	$	1,930	$	10	$	1,940
U.S. government and agencies	—		67		—		67
Corporate securities	—		2,382		—		2,382
Mortgage-backed securities:
RMBS	—		422		145		567
CMBS	—		186		—		186
Asset-backed securities	—		127		1,031		1,158
Non-U.S. government securities	—		69		—		69
Total fixed-maturity securities, available-for-sale	—		5,183		1,186		6,369
Fixed-maturity securities, trading	—		142		5		147
Short-term investments	1,218		3		—		1,221
Other invested assets (1)	—		—		4		4
FG VIEs’ assets	—		—		147		147
Assets of CIVs, equity securities	—		—		99		99
Other assets	65		59		7		131
Total assets carried at fair value	$	1,283	$	5,387	$	1,448	$	8,118
Liabilities:
FG VIEs’ liabilities (2)	$	—	$	—	$	164	$	164
Other liabilities	—		—		34		34
Total liabilities carried at fair value	$	—	$	—	$	198	$	198

___________________

(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 2025 and first quarter 2024.

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

First Quarter 2025


	Fixed-Maturity Securities, Available-for-Sale
	Obligations of State and Political Subdivisions		Corporate		RMBS			Asset- Backed Securities			Fixed-Maturity Securities, Trading			FG VIEs’ Assets			Assets of CIVs, Equity Securities			Other (7)
	(in millions)
Fair value as of December 31, 2024	$	10	$	—	$	145		$	1,031		$	5		$	147		$	99		$	5
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	—		—		3		(1)	7		(1)	—			3		(2)	19		(4)	2		(3)
Other comprehensive income (loss)	—		—		2			1			—			—			—			(1)
Purchases	—		5		—			—			—			—			—			—
Sales	—		—		—			(9)			—			—			—			—
Settlements	—		—		(6)			(47)			—			(5)			—			—



Fair value as of March 31, 2025	$	10	$	5	$	144		$	983		$	5		$	145		$	118		$	6
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2025 included in:
Earnings											$	(1)	(9)	$	2	(2)	$	19	(4)	$	2	(3)
OCI	$	6	$	—	$	(53)		$	(1)											$	(1)

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

First Quarter 2025


	Credit Derivative Liability, net (5)			FG VIEs’ Liabilities (8)
	(in millions)
Fair value as of December 31, 2024	$	(29)		$	(164)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	104		(6)	(2)		(2)
Other comprehensive income (loss)	—			(1)

Settlements	(105)			4
Fair value as of March 31, 2025	$	(30)		$	(163)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2025 included in:
Earnings	$	(1)	(6)	$	(2)	(2)
OCI				$	(1)

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

First Quarter 2024


	Fixed-Maturity Securities, Available-for-Sale											Assets of CIVs
	Obligations of State and Political Subdivisions		RMBS			Asset- Backed Securities			FG VIEs’ Assets			Equity Securities			Structured Products			Other (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)
Settlements	1			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)

____________________

(1)Included in “net realized investment gains (losses)” and “net investment income.”

(2)Reported 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 (reported in “other liabilities”) are shown as either assets or liabilities in the condensed consolidated balance sheets.

(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)Reported in “fair value gains (losses) on trading securities.”

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 2025 and first quarter 2024.

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

First Quarter 2025


	Fixed-Maturity Securities, Available-for-Sale
	Obligations of State and Political Subdivisions		Corporate		RMBS			Asset- Backed Securities			Fixed-Maturity Securities, Trading			FG VIEs’ Assets			Assets of CIVs, Equity Securities			Other (7)
	(in millions)
Fair value as of December 31, 2024	$	10	$	—	$	145		$	1,031		$	5		$	147		$	99		$	5
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	—		—		3		(1)	7		(1)	—			3		(2)	19		(4)	2		(3)
Other comprehensive income (loss)	—		—		2			1			—			—			—			(1)
Purchases	—		5		—			—			—			—			—			—
Sales	—		—		—			(9)			—			—			—			—
Settlements	—		—		(6)			(47)			—			(5)			—			—



Fair value as of March 31, 2025	$	10	$	5	$	144		$	983		$	5		$	145		$	118		$	6
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2025 included in:
Earnings											$	(1)	(9)	$	2	(2)	$	19	(4)	$	2	(3)
OCI	$	6	$	—	$	(53)		$	(1)											$	(1)

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

First Quarter 2025


	Credit Derivative Liability, net (5)			FG VIEs’ Liabilities (8)
	(in millions)
Fair value as of December 31, 2024	$	(29)		$	(164)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	104		(6)	(2)		(2)
Other comprehensive income (loss)	—			(1)

Settlements	(105)			4
Fair value as of March 31, 2025	$	(30)		$	(163)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2025 included in:
Earnings	$	(1)	(6)	$	(2)	(2)
OCI				$	(1)

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

First Quarter 2024


	Fixed-Maturity Securities, Available-for-Sale											Assets of CIVs
	Obligations of State and Political Subdivisions		RMBS			Asset- Backed Securities			FG VIEs’ Assets			Equity Securities			Structured Products			Other (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)
Settlements	1			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)

____________________

(1)Included in “net realized investment gains (losses)” and “net investment income.”

(2)Reported 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.

(9)Reported in “fair value gains (losses) on trading securities.”

Schedule of Quantitative Information About Level 3 Liabilities, Fair Value Measurements

Quantitative Information About Level 3 Fair Value Inputs

As of March 31, 2025


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	$	10	Yield	5.8	%	-	20.0%	7.7%
Corporate	5		Yield	15.0%
RMBS	144		Conditional prepayment rate (CPR)	2.0	%	-	17.0%	3.2%
			CDR	1.5	%	-	18.7%	5.4%
			Loss severity	50.0	%	-	125.0%	79.9%
			Yield	7.6	%	-	10.9%	9.0%
Asset-backed securities:
CLOs	542		Discount margin	1.1	%	-	2.9%	2.0%
			Yield	15.2	%	-	23.3%	19.7%
Others	441		Yield	6.5	%	-	9.9%	6.8%
Fixed-maturity securities, trading (1)	5		Yield	0.0	%	-	12.1%	5.1%
FG VIEs’ assets (1)	145		CPR	2.4	%	-	27.7%	5.5%
			CDR	1.3	%	-	41.0%	10.6%
			Loss severity	45.0	%	-	100.0%	83.3%
			Yield	7.0	%	-	10.6%	9.3%
Assets of CIVs - equity securities (3)	118		Discount rate	24.9%
			Market multiple-price to book	1.10x
			Market multiple-price to earnings	6.05x
			Terminal growth rate	4.0%
			Exit multiple-price to book	1.10x
			Exit multiple-price to earnings	5.75x
Other assets (1)	4		Implied Yield	6.5	%	-	7.1%	6.8%
			Term (years)	10 years
Credit derivative liabilities, net (1)	(30)		Hedge cost (in basis points) (bps)	15.4		-	36.0	20.1
			Bank profit (in bps)	62.2		-	289.9	156.8
			Internal floor (in bps)	10.0
			Internal credit rating	AAA		-	CCC	A
			Discount rates of future expected premium cash flows	3.6	%	-	4.2%	4.1%
FG VIEs’ liabilities (1)	(163)		CPR	2.4	%	-	27.7%	5.5%
			CDR	1.3	%	-	41.0%	10.6%
			Loss severity	45.0	%	-	100.0%	83.3%
			Yield	5.6	%	-	10.6%	6.8%

___________________

(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.

(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, 2024


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	$	10	Yield	5.5	%	-	22.0%	7.5%
RMBS	145		CPR	1.8	%	-	17.0%	2.8%
			CDR	1.8	%	-	18.7%	5.4%
			Loss severity	50.0	%	-	125.0%	79.9%
			Yield	7.7	%	-	10.8%	9.1%
Asset-backed securities:
CLOs	611		Discount margin	0.8	%	-	2.9%	1.9%
			Yield	12.5	%	-	22.5%	17.9%
Others	420		Yield	6.4	%	-	9.1%	6.7%
Fixed-maturity securities, trading (1)	5		Yield	19.8	%	-	169.5%	163.8%
FG VIEs’ assets (1)	147		CPR	2.2	%	-	25.0%	5.7%
			CDR	1.3	%	-	41.0%	10.7%
			Loss severity	45.0	%	-	100.0%	83.2%
			Yield	6.8	%	-	10.8%	9.3%
Assets of CIVs - equity securities (3)	99		Discount rate	24.3%
			Market multiple-price to book	1.05x
			Market multiple-price to earnings	5.25x
			Terminal growth rate	4.0%
			Exit multiple-price to book	1.05x
			Exit multiple-price to earnings	5.50x
Other assets (1)	2		Implied Yield	6.5	%	-	7.0%	6.8%
			Term (years)	10 years
Credit derivative liabilities, net (1)	(29)		Hedge cost (in bps)	12.8		-	30.1	16.8
			Bank profit (in bps)	73.2		-	275.9	139.3
			Internal floor (in bps)	10.0		-	85.5	29.7
			Internal credit rating	AAA		-	CCC	A
			Discount rates of future expected premium cash flows	3.9	%		4.4%	4.3%
FG VIEs’ liabilities (1)	(164)		CPR	2.2	%	-	25.0%	5.7%
			CDR	1.3	%	-	41.0%	10.7%
			Loss severity	45.0	%	-	100.0%	83.2%
			Yield	5.5	%	-	10.8%	7.0%

____________________

(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.

(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.

Schedule of Financial Instruments Not Carried 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, 2025				As of December 31, 2024
	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
	(in millions)
Assets (liabilities):
Other assets (including other invested assets)	$	103	$	104	$	115	$	116
Financial guaranty insurance contracts (1)	(1,999)		(1,147)		(2,029)		(1,136)
Long-term debt	(1,700)		(1,596)		(1,699)		(1,579)
Other liabilities	(15)		(15)		(16)		(16)

____________________

(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.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details