Derivatives (Tables)

9 Months Ended

Sep. 30, 2026

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating

The components of the Company’s credit derivative net par outstanding and net fair value asset (liability) by sector are presented in the table below. The estimated remaining weighted average life of credit derivatives was 8.6 years as of both September 30, 2026 and December 31, 2025.

Credit Derivatives (1)


	Net Par Outstanding				Net Fair Value Asset (Liability)
	As of September 30, 2026		As of December 31, 2025		As of September 30, 2026		As of December 31, 2025
	(in billions)				(in millions)
U.S. public finance	$	1.0	$	1.0	$	(2)	$	(2)
Non-U.S. public finance	1.3		1.6		(12)		(12)
U.S. structured finance	0.1		0.2		(1)		(1)
Non-U.S. structured finance	1.1		1.0		1		—
Total credit derivatives	$	3.5	$	3.8	$	(14)	$	(15)

____________________

(1) See Note 5. Expected Loss to be Paid (Recovered), for expected loss to be paid on credit derivatives.

CDS Spread on AGC and AGM

CDS Spread on AG (in basis points)


	As of September 30, 2026	As of December 31, 2025	As of September 30, 2025	As of December 31, 2024
Five-year CDS spread	68	69	70	75
One-year CDS spread	23	23	24	25

Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads

Fair Value of Credit Derivative Assets (Liabilities)

and Effect of AG Credit Spread


	As of
	September 30, 2026		December 31, 2025
	(in millions)
Fair value of credit derivatives before effect of AG credit spread	$	(32)	$	(40)
Plus: Effect of AG credit spread	18		25
Net fair value of credit derivatives	$	(14)	$	(15)

Schedule of Derivative Instruments

The following table presents the notional amounts and the net fair value asset (liability) of the freestanding derivatives.

Freestanding Derivatives (1)

As of September 30, 2026


	Notional		Net Fair Value Asset (Liability)
	(in billions)		(in millions)
Cross-currency swaps	$	0.1	$	2
Interest rate swaps	—		(3)
Inflation swaps	0.2		2

Total freestanding derivatives	$	0.3	$	1

____________________

(1) Excludes the embedded derivative in funds withheld.

Net Change in Fair Value of Credit Derivatives

Fair Value Gains (Losses) on Derivatives


	Third Quarter				Nine Months
	2026		2025		2026		2025
	(in millions)
Fair value gains (losses) on credit derivatives:
Realized gains (losses) and other settlements (1)	$	1	$	2	$	4	$	107
Net unrealized gains (losses)	1		3		1		3
Fair value gains (losses) on credit derivatives	2		5		5		110
Fair value gains (losses) on annuity reinsurance derivatives:
Cross-currency swaps	3		—		(1)		—
Interest rate swaps	(1)		—		(2)		—
Inflation swaps	4		—		6		—
Funds withheld - embedded derivative	2		—		9		—
Fair value gains (losses) on derivatives	$	10	$	5	$	17	$	110

____________________

(1) Nine months 2025 results include $103 million gain recognized in connection with the LBIE litigation, which represents the full satisfaction of the judgment the Company was awarded and its claims for attorneys’ fees, expenses and interest.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details