Company's Assets And Liabilities Measured At Fair Value On Recurring Basis

The following tables present the fair value of the Company’s assets (including short-term investments) and liabilities measured and reported at fair value on a recurring basis as of March 31, 2026 and December 31, 2025:


				Fair Value Measurements at Reporting Date Using
				Quoted Prices in		Significant
				Active Markets		Other		Significant
				for Identical		Observable		Unobservable			Balance as of
				Assets		Inputs		Inputs			March 31,
In millions				(Level 1)		(Level 2)		(Level 3)			2026
Assets:
Fixed-maturity investments:
	U.S. Treasury and government agency			$	438	$	-	$	-		$	438
	State and municipal bonds				-		99		-			99
	Foreign governments				-		5		-			5
	Corporate obligations				-		454		19	(1)		473
	Mortgage-backed securities:
		Residential mortgage-backed agency			-		111		-			111
		Residential mortgage-backed non-agency			-		22		-			22
		Commercial mortgage-backed			-		16		-			16
	Asset-backed securities:
		Collateralized debt obligations			-		82		-			82
		Other asset-backed			-		238		-			238
			Total fixed-maturity investments		438		1,027		19			1,484
Money market securities					65		-		-			65
Equity investments					46		6		34			96	(2)
Cash and cash equivalents					70		-		-			70
Assets of consolidated VIEs:
	Cash				2		-		-			2
	Loans receivable at fair value:
		Residential loans receivable			-		-		34			34
Total assets				$	621	$	1,033	$	87		$	1,751
Liabilities:
Medium-term notes				$	-	$	-	$	43		$	43
Liabilities of consolidated VIEs:
	Variable interest entity notes				-		-		24			24
	Currency derivatives				-		-		12			12
Total liabilities				$	-	$	-	$	79		$	79

(1) - Includes loans carried at fair value of $18 million.

(2) - Includes $10 million of an exchange-traded bond fund that seeks to track the investment results of an index composed of U.S. dollar-denominated, high yield corporate bonds. The fund is measured at fair value by applying the net asset value per share practical expedient, and is not required to be classified in the fair value hierarchy.


				Fair Value Measurements at Reporting Date Using
				Quoted Prices in		Significant
				Active Markets		Other		Significant
				for Identical		Observable		Unobservable			Balance as of
				Assets		Inputs		Inputs			December 31,
In millions				(Level 1)		(Level 2)		(Level 3)			2025
Assets:
Fixed-maturity investments:
	U.S. Treasury and government agency			$	473	$	-	$	-		$	473
	State and municipal bonds				-		100		-			100
	Foreign governments				-		5		-			5
	Corporate obligations				-		415		18	(1)		433
	Mortgage-backed securities:
		Residential mortgage-backed agency			-		117		-			117
		Residential mortgage-backed non-agency			-		21		-			21
		Commercial mortgage-backed			-		18		-			18
	Asset-backed securities:
		Collateralized debt obligations			-		49		-			49
		Other asset-backed			-		252		-			252
			Total fixed-maturity investments		473		977		18			1,468
Money market securities					109		-		-			109
Equity investments					47		7		33			97	(2)
Cash and cash equivalents					69		-		-			69
Assets of consolidated VIEs:
	Cash				2		-		-			2
	Loans receivable at fair value:
		Residential loans receivable			-		-		34			34
Total assets				$	700	$	984	$	85		$	1,779
Liabilities:
Medium-term notes				$	-	$	-	$	46		$	46
Liabilities of consolidated VIEs:
	Variable interest entity notes				-		-		25			25
	Currency derivatives				-		-		12			12
Total liabilities				$	-	$	-	$	83		$	83

(1) - Includes loans carried at fair value of $17 million.

(2) - Includes $10 million of an exchange-traded bond fund that seeks to track the investment results of an index composed of U.S. dollar-denominated, high yield corporate bonds. The fund is measured at fair value by applying the net asset value per share practical expedient, and is not required to be classified in the fair value hierarchy.

Changes In Level 3 Assets Measured At Fair Value On A Recurring Basis

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended March 31, 2026


																						Change in		Change in
																						Unrealized		Unrealized
																						Gains		Gains
																						(Losses) for		(Losses) for
																						the Period		the Period
																						Included in		Included in
			Total																			Earnings		OCI
			Gains /		Unrealized																	for Assets		for Assets
			(Losses)		Gains /																	still held		still held
	Balance,		Included		(Losses)										Transfers		Transfers					as of		as of
	Beginning		in		Included										into		out of		Ending			March 31,		March 31,
In millions	of Period		Earnings		in OCI(1)		Purchases		Issuances		Settlements		Sales		Level 3		Level 3		Balance			2026		2026(1)
Assets:
Corporate obligations	$	18	$	-	$	-	$	1	$	-	$	-	$	-	$	-	$	-	$	19	(3)	$	-	$	-
Equity investments		33		1		-		-		-		-		-		-		-		34			1		-
Assets of consolidated VIEs:
Loans receivable - residential		34		-		-		-		-		-		-		-		-		34			-		-
Total assets	$	85	$	1	$	-	$	1	$	-	$	-	$	-	$	-	$	-	$	87		$	1	$	-

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended March 31, 2025


																							Change in			Change in
																							Unrealized			Unrealized
																							Gains			Gains
																							(Losses) for			(Losses) for
																							the Period			the Period
																							Included in			Included in
			Total																				Earnings for			OCI for
			Gains /			Unrealized																	Assets			Assets
			(Losses)			Gains /																	still held			still held
	Balance,		Included			(Losses)										Transfers		Transfers					as of			as of
	Beginning		in			Included										into		out of		Ending			March 31,			March 31,
In millions	of Period		Earnings			in OCI(1)		Purchases		Issuances		Settlements		Sales		Level 3		Level 3		Balance			2025			2025(1)
Assets:
Corporate obligations	$	16	$	(1	)	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	15	(3)	$	(1	)	$	-
Equity investments		52		-			-		-		-		-		-		-		-		52			-			-
Assets of consolidated VIEs:
Loans receivable- residential		28		2			-		-		-		-		-		-		-		30			2			-
Total assets	$	96	$	1		$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	97		$	1		$	-

Gains And Losses (Realized And Unrealized) Included In Earnings Pertaining To Level 3 Assets And Liabilities

Gains and losses (realized and unrealized) included in earnings related to Level 3 assets and liabilities for the three months ended March 31, 2026 and 2025 are reported on the Company’s consolidated statements of operations as follows:


		Three Months Ended March 31, 2026				Three Months Ended March 31, 2025
				Change in					Change in
				Unrealized					Unrealized
				Gains (Losses)					Gains (Losses)
				for the					for the
				Period Included					Period Included
				in Earnings					in Earnings
				for Assets					for Assets
				and					and
		Total Gains		Liabilities still		Total Gains			Liabilities still
		(Losses)		held as of		(Losses)			held as of
		Included		March 31,		Included			March 31,
In millions		in Earnings		2026		in Earnings			2025
Revenues:
	Net gains (losses) on financial instruments at fair value and foreign exchange	$	3	$	3	$	(3	)	$	(3	)
	Revenues of consolidated VIEs (1)		-		-		-			2
Total		$	3	$	3	$	(3	)	$	(1	)

(1) - Reported within "Net gains (losses) on financial instruments at fair value and foreign exchange-VIE" and "Other net realized gains (losses)-VIE" on the Company's consolidated statements of operations.

Changes In Fair Value Included In The Company's Consolidated Statements Of Operations

The following table presents the gains and (losses) included in the Company's consolidated statements of operations for the three months ended March 31, 2026 and 2025 for financial instruments for which the fair value option was elected:


		Three Months Ended March 31,
In millions		2026			2025
Investments carried at fair value (1)		$	(1	)	$	(2	)
Loans receivable at fair value:
	Residential mortgage loans (2)		-			2
Medium-term notes (1)			2			(2	)
Variable interest entity notes (2)			-			(2	)

___________________

(1) - Reported within "Net gains (losses) on financial instruments at fair value and foreign exchange" on the Company's consolidated statements of operations.

(2) - Reported within "Net gains (losses) on financial instruments at fair value and foreign exchange-VIE" and/or "Other net realized gains (losses)-VIE" on the Company's consolidated statements of operations.