Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2026

Fair Value Hierarchy of Financial Instruments Carried at Fair Value

Amounts recorded at fair value in the Company’s condensed consolidated financial statements are presented in the tables below.

Fair Value Hierarchy of Financial Instruments Carried at Fair Value

As of March 31, 2026


	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	$	—	$	1,734	$	10	$	1,744
U.S. government and agencies	—		52		—		52
Corporate securities	—		3,188		162		3,350
Mortgage-backed securities:
RMBS	—		484		140		624
CMBS	—		272		—		272
Asset-backed securities	—		186		429		615
Non-U.S. government securities	—		218		—		218
Total fixed-maturity securities, available-for-sale	—		6,134		741		6,875
Fixed-maturity securities, trading	—		119		8		127
Short-term investments	767		1		—		768
Other invested assets (1)	—		—		3		3
Funds withheld	—		—		296		296
FG VIEs’ assets	10		11		146		167
Other assets	81		66		33		180
Total assets carried at fair value	$	858	$	6,331	$	1,227	$	8,416
Liabilities:
FG VIEs’ liabilities (2)	$	—	$	—	$	152	$	152
Other liabilities	—		5		21		26
Total liabilities carried at fair value	$	—	$	5	$	173	$	178

Fair Value Hierarchy of Financial Instruments Carried at Fair Value

As of December 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	$	—	$	1,759	$	10	$	1,769
U.S. government and agencies	—		52		—		52
Corporate securities	—		2,784		168		2,952
Mortgage-backed securities:
RMBS	—		471		144		615
CMBS	—		198		—		198
Asset-backed securities	—		154		511		665
Non-U.S. government securities	—		118		—		118
Total fixed-maturity securities, available-for-sale	—		5,536		833		6,369
Fixed-maturity securities, trading	—		120		4		124
Short-term investments	898		5		—		903
Other invested assets (1)	—		—		3		3
FG VIEs’ assets	15		7		150		172
Assets of CIVs, equity securities	—		—		167		167
Other assets	81		65		28		174
Total assets carried at fair value	$	994	$	5,733	$	1,185	$	7,912
Liabilities:
FG VIEs’ liabilities (2)	$	—	$	—	$	197	$	197
Other liabilities	—		—		21		21
Total liabilities carried at fair value	$	—	$	—	$	218	$	218

___________________

(1) Other invested assets include Level 3 mortgage loans that are recorded at fair value on a non-recurring basis.

(2) FG VIEs’ liabilities include those with and without recourse, some of which are measured at fair value on a nonrecurring basis as of December 31, 2025. See Note 10. Variable Interest Entities.

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 2026 and first quarter 2025.

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

First Quarter 2026


	Fixed-Maturity Securities, Available-for-Sale
	Obligations of State and Political Subdivisions		Corporate			RMBS			Asset- Backed Securities			Fixed-Maturity Securities, Trading		Funds Withheld			FG VIEs’ Assets		Assets of CIVs			Other (7)
	(in millions)
Fair value as of December 31, 2025	$	10	$	168		$	144		$	511		$	4	$	—		$	150	$	167		$	24
Assured Life Re Acquisition	—		—			—			—			—		293			—		—			—
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	—		1		(1)	2		(1)	(4)		(1)	—		3		(6)	—		4		(4)	6		(3)
Other comprehensive income (loss)	—		(7)			(1)			(46)			—		—			—		—			—
Purchases	—		—			—			14			—		—			—		—			—

Settlements	—		—			(5)			(46)			(1)		—			(4)		(165)			—

Deconsolidations	—		—			—			—			—		—			—		(6)			—
Transfers into Level 3	—		—			—			—			5		—			—		—			—

Fair value as of March 31, 2026	$	10	$	162		$	140		$	429		$	8	$	296		$	146	$	—		$	30
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2026 included in:
Earnings												$	—	$	3	(6)	$	—	$	—		$	6	(3)
OCI	$	—	$	(7)		$	(1)		$	(46)												$	—

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

First Quarter 2026


	Credit Derivative Liability, net (5)			FG VIEs’ Liabilities (8)
	(in millions)
Fair value as of December 31, 2025	$	(15)		$	(156)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	1		(6)	1		(2)
Other comprehensive income (loss)	—			—
Settlements	(2)			3

Fair value as of March 31, 2026	$	(16)		$	(152)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2026 included in:
Earnings	$	(1)	(6)	$	1	(2)
OCI				$	—

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			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)

____________________

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

(2)Reported in “gains (losses) on financial guaranty variable interest entities.”

(3)Reported in “fair value gains (losses) on committed capital securities,” “net investment income” and “other income (loss).”

(4)Reported in “fair value gains (losses) on consolidated investment vehicles.”

(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 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 2026 and first quarter 2025.

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

First Quarter 2026


	Fixed-Maturity Securities, Available-for-Sale
	Obligations of State and Political Subdivisions		Corporate			RMBS			Asset- Backed Securities			Fixed-Maturity Securities, Trading		Funds Withheld			FG VIEs’ Assets		Assets of CIVs			Other (7)
	(in millions)
Fair value as of December 31, 2025	$	10	$	168		$	144		$	511		$	4	$	—		$	150	$	167		$	24
Assured Life Re Acquisition	—		—			—			—			—		293			—		—			—
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	—		1		(1)	2		(1)	(4)		(1)	—		3		(6)	—		4		(4)	6		(3)
Other comprehensive income (loss)	—		(7)			(1)			(46)			—		—			—		—			—
Purchases	—		—			—			14			—		—			—		—			—

Settlements	—		—			(5)			(46)			(1)		—			(4)		(165)			—

Deconsolidations	—		—			—			—			—		—			—		(6)			—
Transfers into Level 3	—		—			—			—			5		—			—		—			—

Fair value as of March 31, 2026	$	10	$	162		$	140		$	429		$	8	$	296		$	146	$	—		$	30
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2026 included in:
Earnings												$	—	$	3	(6)	$	—	$	—		$	6	(3)
OCI	$	—	$	(7)		$	(1)		$	(46)												$	—

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

First Quarter 2026


	Credit Derivative Liability, net (5)			FG VIEs’ Liabilities (8)
	(in millions)
Fair value as of December 31, 2025	$	(15)		$	(156)
Total pre-tax realized and unrealized gains (losses) recorded in:
Net income (loss)	1		(6)	1		(2)
Other comprehensive income (loss)	—			—
Settlements	(2)			3

Fair value as of March 31, 2026	$	(16)		$	(152)
Change in unrealized gains (losses) related to financial instruments held as of March 31, 2026 included in:
Earnings	$	(1)	(6)	$	1	(2)
OCI				$	—

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			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)

____________________

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

(2)Reported in “gains (losses) on financial guaranty variable interest entities.”

(3)Reported in “fair value gains (losses) on committed capital securities,” “net investment income” and “other income (loss).”

(4)Reported in “fair value gains (losses) on consolidated investment vehicles.”

(6)Reported in “fair value gains (losses) on 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, 2026


Financial Instrument Description	Fair Value Assets (Liabilities) (in millions)		Significant Unobservable Inputs	Range				Weighted Average (3)
Investments (2):
Fixed-maturity securities, available-for-sale (1):
Obligations of state and political subdivisions	$	10	Yield	5.4	%	-	15.0%	7.4%
Corporate	162		Yield	5.7	%	-	8.7%	5.9%
RMBS	140		Conditional prepayment rate (CPR)	0.0	%	-	22.2%	4.2%
			CDR	1.3	%	-	18.5%	5.5%
			Loss severity	50.0	%	-	125.0%	79.2%
			Yield	7.4	%	-	10.3%	8.7%
Asset-backed securities:
CLOs	374		Discount margin	0.9	%	-	2.9%	1.7%
			Yield	9.9	%	-	36.0%	23.6%
Others	55		Yield	9.0%
Fixed-maturity securities, trading (1)	8		Yield	3.7	%	-	20.0%	15.0%
Funds withheld	296		Discount margin	2.8	%	-	6.9%	4.5%
FG VIEs’ assets (1)	146		CPR	0.1	%	-	26.2%	5.7%
			CDR	1.2	%	-	41.0%	10.6%
			Loss severity	45.0	%	-	100.0%	83.7%
			Yield	6.3	%	-	10.3%	7.4%
Other assets (1)	28		Implied Yield	6.6	%	-	7.1%	6.9%
			Term (years)	10 years
Credit derivative liabilities, net (1)	(16)		Hedge cost (in basis points) (bps)	13.2		-	31.2	17.6
			Bank profit (in bps)	67.7		-	273.0	140.3
			Internal credit rating	AAA		-	CCC	A+
			Discount rates of future expected premium cash flows	3.5	%	-	4.4%	4.3%
FG VIEs’ liabilities (1)	(152)		CPR	0.1	%	-	26.2%	5.7%
			CDR	1.2	%	-	41.0%	10.6%
			Loss severity	45.0	%	-	100.0%	83.7%
			Yield	5.1	%	-	10.3%	6.8%

___________________

(1) Discounted cash flows are used as the primary valuation technique.

(2) This amount excludes several investments reported in “other invested assets” with a fair value of $3 million.

(3) Weighted average is calculated as a percentage of current par outstanding for all categories except for “fixed-maturity securities, trading,” and “funds withheld” for which it is calculated as a percentage of fair value.

Quantitative Information About Level 3 Fair Value Inputs

As of December 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	5.2	%	-	15.0%	6.6%
Corporate	168		Yield	5.0	%	-	8.0%	5.2%
RMBS	144		CPR	0.0	%	-	21.3%	4.1%
			CDR	1.2	%	-	18.6%	5.6%
			Loss severity	50.0	%	-	125.0%	79.2%
			Yield	7.0	%	-	9.9%	8.3%
Asset-backed securities:
CLOs	456		Discount margin	1.0	%	-	2.9%	1.7%
			Yield	11.0	%	-	26.5%	19.0%
Others	55		Yield	9.1%
Fixed-maturity securities, trading (1)	4		Yield	0.1	%	-	8.8%	4.4%
FG VIEs’ assets (1)	150		CPR	0.2	%	-	27.5%	5.3%
			CDR	1.2	%	-	41.0%	10.5%
			Loss severity	45.0	%	-	100.0%	83.6%
			Yield	6.0	%	-	9.8%	8.7%
Assets of CIVs (3)	167		Discount rate	23.3%
			Market multiple-price to book	1.00x
			Market multiple-price to earnings	5.75x
			Terminal growth rate	4.0%
			Exit multiple-price to book	1.00x
			Exit multiple-price to earnings	5.50x
Other assets (1)	22		Implied Yield	6.4	%	-	6.9%	6.6%
			Term (years)	10 years
Credit derivative liabilities, net (1)	(15)		Hedge cost (in bps)	11.5		-	27.4	15.1
			Bank profit (in bps)	66.0		-	261.9	124.7
			Internal credit rating	AAA		-	CCC	A
			Discount rates of future expected premium cash flows	3.3	%	-	4.5%	4.3%
FG VIEs’ liabilities (1)	(197)		CPR	0.2	%	-	27.5%	5.3%
			CDR	1.2	%	-	41.0%	10.5%
			Loss severity	45.0	%	-	100.0%	83.6%
			Yield	5.0	%	-	9.8%	6.5%

____________________

(1) Discounted cash flows are used as the primary valuation technique.

(2) This amount 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 and “fixed-maturity securities, trading,” 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, 2026				As of December 31, 2025
	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
	(in millions)
Assets (liabilities):
Other assets (including other invested assets)	$	126	$	130	$	90	$	91
FG insurance contracts (1)	(1,938)		(1,664)		(1,906)		(1,485)
Policyholder account balances for annuity reinsurance contracts	(263)		(276)		—		—
Long-term debt	(1,705)		(1,566)		(1,704)		(1,610)
FG VIEs’ liabilities	(41)		(41)		—		—
Other liabilities	(14)		(14)		(18)		(18)

____________________

(1) Carrying amount includes the assets and liabilities related to FG 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