F&G Annuities & Life, Inc.FG
F&G Annuities & Life, Inc. Fair Value Disclosure
Fair Value of Financial Instruments
Our measurement of fair value is based on assumptions used by market participants in pricing the asset or liability, which may include inherent risk, restrictions on the sale or use of an asset, or non-performance risk, which may include our own credit risk. We estimate an exchange price is the price in an orderly transaction between market participants to sell the asset or transfer the liability (“exit price”) in the principal market, or the most advantageous market for that asset or liability in the absence of a principal market as opposed to the price that would be paid to acquire the asset or assume a liability (“entry price”). We categorize financial instruments carried at fair value into a three-level fair value hierarchy, based on the priority of inputs to the respective valuation technique, along with net asset value. The three-level hierarchy for fair value measurement is defined as follows:
Level 1 – Values are unadjusted quoted prices for identical assets and liabilities in active markets accessible at the measurement date.
Level 2 – Inputs include quoted prices for similar assets or liabilities in active markets, quoted prices from those willing to trade in markets that are not active, or other inputs that are observable or can be corroborated by market data for the term of the instrument. Such inputs include market interest rates and volatilities, spreads, and yield curves.
Level 3 – Certain inputs are unobservable (supported by little or no market activity) and significant to the fair value measurement. Unobservable inputs reflect the Company’s best estimate of what hypothetical market participants would use to determine a transaction price for the asset or liability at the reporting date based on the best information available in the circumstances.
Net Asset Value (“NAV”) – Certain equity investments are measured using NAV as a practical expedient in determining fair value. In addition, our unconsolidated affiliates (primarily limited partnerships) are primarily accounted for using the equity method of accounting with fair value determined using NAV as a practical expedient. Our carrying value reflects our pro rata ownership percentage as indicated by NAV in the unconsolidated affiliate’s financial statements, which we may adjust if we determine NAV is not calculated consistent with investment company fair value principles. The underlying investments of the unconsolidated affiliates may have significant unobservable inputs, which may include, but are not limited to, comparable multiples and weighted average cost of capital rates applied in valuation models or a discounted cash flow model. Additionally, management inquires quarterly with the general partner to determine whether any credit or other market events have occurred since prior period financial statements to ensure any material events are properly included in current period valuation and investment income.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the investment.
When a determination is made to classify an asset or liability within Level 3 of the fair value hierarchy, the determination is based upon the significance of the unobservable inputs to the overall fair value measurement. Because certain securities trade in less liquid or illiquid markets with limited or no pricing information, the determination of fair value for these securities is inherently more difficult. In addition to the unobservable inputs, Level 3 fair value investments may include observable components, which are components that are actively quoted or can be validated to market-based sources.
Our assets and liabilities measured and carried at fair value on a recurring basis, summarized according to the hierarchy previously described, are as follows (in millions):
| December 31, 2025 | |||||||||||||||||||||||||||||
| Level 1 | Level 2 | Level 3 | NAV | Fair Value | |||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||
| Cash and cash equivalents | $ | 1,486 | $ | — | $ | — | $ | — | $ | 1,486 | |||||||||||||||||||
| Fixed maturity securities, available-for-sale: | |||||||||||||||||||||||||||||
| Asset-backed securities | — | 8,638 | 10,094 | — | 18,732 | ||||||||||||||||||||||||
| Commercial mortgage-backed securities | — | 5,155 | — | — | 5,155 | ||||||||||||||||||||||||
| Corporates | 40 | 20,086 | 3,124 | — | 23,250 | ||||||||||||||||||||||||
| Hybrids | 36 | 558 | 15 | — | 609 | ||||||||||||||||||||||||
| Municipals | — | 1,352 | 3 | — | 1,355 | ||||||||||||||||||||||||
| Residential mortgage-backed securities | — | 2,842 | 3 | — | 2,845 | ||||||||||||||||||||||||
| U.S. Government | 493 | — | — | — | 493 | ||||||||||||||||||||||||
| Foreign Governments | — | 238 | 23 | — | 261 | ||||||||||||||||||||||||
| Equity securities: | |||||||||||||||||||||||||||||
| Preferred equity securities | 115 | 117 | 7 | — | 239 | ||||||||||||||||||||||||
| Common equity securities | 62 | — | 5 | 35 | 102 | ||||||||||||||||||||||||
| Derivative investments | — | 1,148 | — | — | 1,148 | ||||||||||||||||||||||||
| Investments in unconsolidated affiliates | — | — | 270 | — | 270 | ||||||||||||||||||||||||
| Other long-term investments (a) | — | 248 | 41 | — | 289 | ||||||||||||||||||||||||
| Short term investments | 887 | 82 | 74 | — | 1,043 | ||||||||||||||||||||||||
| Indexed annuities/IUL ceded embedded derivatives, included in Reinsurance recoverable | — | — | 399 | — | 399 | ||||||||||||||||||||||||
| Loan receivable, included in Prepaid expenses and other assets | — | — | 24 | — | 24 | ||||||||||||||||||||||||
| Market risk benefits asset | — | — | 285 | — | 285 | ||||||||||||||||||||||||
| Total financial assets at fair value | $ | 3,119 | $ | 40,464 | $ | 14,367 | $ | 35 | $ | 57,985 | |||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||
| Derivatives: | |||||||||||||||||||||||||||||
| Indexed annuities/IUL embedded derivatives, included in Contractholder funds | $ | — | $ | — | $ | 6,542 | $ | — | $ | 6,542 | |||||||||||||||||||
| Interest rate and foreign currency swaps, included in Accounts payable and accrued liabilities | — | 3 | 9 | — | 12 | ||||||||||||||||||||||||
| Reinsurance related embedded derivatives, included in Funds withheld for reinsurance liabilities | — | 75 | — | — | 75 | ||||||||||||||||||||||||
| Contingent consideration, included in Accounts payable and accrued liabilities | — | — | 72 | — | 72 | ||||||||||||||||||||||||
| Market risk benefits liability | — | — | 903 | — | 903 | ||||||||||||||||||||||||
| Total financial liabilities at fair value | $ | — | $ | 78 | $ | 7,526 | $ | — | $ | 7,604 | |||||||||||||||||||
(a)Includes certain interests in VIEs for which the fair value option has been elected. Refer to Note C - Investments for further details.
| December 31, 2024 | |||||||||||||||||||||||||||||
| Level 1 | Level 2 | Level 3 | NAV | Fair Value | |||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||
| Cash and cash equivalents | $ | 2,264 | $ | — | $ | — | $ | — | $ | 2,264 | |||||||||||||||||||
| Fixed maturity securities, available-for-sale: | |||||||||||||||||||||||||||||
| Asset-backed securities | — | 7,506 | 8,143 | — | 15,649 | ||||||||||||||||||||||||
| Commercial mortgage-backed securities | — | 5,131 | — | — | 5,131 | ||||||||||||||||||||||||
| Corporates | 41 | 17,496 | 2,941 | — | 20,478 | ||||||||||||||||||||||||
| Hybrids | 35 | 546 | — | — | 581 | ||||||||||||||||||||||||
| Municipals | — | 1,346 | — | — | 1,346 | ||||||||||||||||||||||||
| Residential mortgage-backed securities | — | 2,785 | 3 | — | 2,788 | ||||||||||||||||||||||||
| U.S. Government | 158 | — | — | — | 158 | ||||||||||||||||||||||||
| Foreign Governments | — | 182 | 4 | — | 186 | ||||||||||||||||||||||||
| Equity securities: | |||||||||||||||||||||||||||||
| Preferred equity securities | 119 | 144 | 7 | — | 270 | ||||||||||||||||||||||||
| Common equity securities | 88 | — | — | 57 | 145 | ||||||||||||||||||||||||
| Derivative investments | — | 789 | 3 | — | 792 | ||||||||||||||||||||||||
| Investments in unconsolidated affiliates | — | — | 272 | — | 272 | ||||||||||||||||||||||||
| Other long-term investments | — | — | 32 | — | 32 | ||||||||||||||||||||||||
| Short term investments | 2,355 | 18 | 37 | — | 2,410 | ||||||||||||||||||||||||
| Indexed annuities/IUL ceded embedded derivatives, included in Reinsurance recoverable | — | — | 98 | — | 98 | ||||||||||||||||||||||||
| Loan receivable, included in Prepaid expenses and other assets | — | — | 11 | — | 11 | ||||||||||||||||||||||||
| Market risk benefits asset | — | — | 189 | — | 189 | ||||||||||||||||||||||||
| Total financial assets at fair value | $ | 5,060 | $ | 35,943 | $ | 11,740 | $ | 57 | $ | 52,800 | |||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||
| Derivatives: | |||||||||||||||||||||||||||||
| Indexed annuities/IUL embedded derivatives, included in Contractholder funds | $ | — | $ | — | $ | 5,220 | $ | — | $ | 5,220 | |||||||||||||||||||
| Interest rate swaps, included in Accounts payable and accrued liabilities | — | 10 | — | — | 10 | ||||||||||||||||||||||||
| Reinsurance related embedded derivatives, included in Funds withheld for reinsurance liabilities | — | (109) | — | — | (109) | ||||||||||||||||||||||||
| Contingent consideration, included in Accounts payable and accrued liabilities | — | — | 74 | — | 74 | ||||||||||||||||||||||||
| Market risk benefits liability | — | — | 549 | — | 549 | ||||||||||||||||||||||||
| Total financial liabilities at fair value | $ | — | $ | (99) | $ | 5,843 | $ | — | $ | 5,744 | |||||||||||||||||||
Valuation Methodologies
Cash and Cash Equivalents
The carrying amounts reported in the Consolidated Balance Sheets for these instruments approximate fair value.
Fixed Maturity, Preferred and Equity Securities
We measure the fair value of our securities based on assumptions used by market participants in pricing the security. The most appropriate valuation methodology is selected based on the specific characteristics of the fixed maturity, preferred or equity security, and we will then consistently apply the valuation methodology to measure the security’s fair value. Our fair value measurement is based on a market approach, which utilizes prices and other relevant information generated by market transactions involving identical or comparable securities. Sources of inputs to the market approach include third-party pricing services, independent broker quotations, or pricing matrices. We use observable and unobservable inputs in our valuation methodologies. Observable inputs include
benchmark yields, reported trades, broker-dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, and reference data including market research publications. In addition, market indicators and industry and economic events are monitored and further market data will be acquired when certain thresholds are met.
For certain security types, additional inputs may be used, or some of the inputs described above may not be applicable. The significant input used in the fair value measurement of equity securities for which the market approach valuation technique is employed is yield for comparable securities. Increases or decreases in the yields would result in lower or higher, respectively, fair value measurements. For broker-quoted only securities, quotes from market makers or broker-dealers are obtained from sources recognized to be market participants. We believe the broker quotes are prices at which trades could be executed based on historical trades executed at broker-quoted or slightly higher prices.
We analyze the third-party valuation methodologies and related inputs to perform assessments to determine the appropriate level within the fair value hierarchy. However, we did not adjust prices received from third parties as of December 31, 2025 or 2024.
Certain equity investments are measured using NAV as a practical expedient in determining fair value.
Derivative Financial Instruments
Derivative contracts can either be exchange traded or traded over the counter. Exchange traded derivatives typically fall within Level 1 of the fair value hierarchy if there is active trading activity. Two methods are used to value over-the-counter derivatives. When required inputs are available, certain derivatives are valued using valuation pricing models, which represent what we would expect to receive or pay at the balance sheet date if we cancelled or exercised the derivative or entered into offsetting positions. Valuation models require a variety of inputs, which include the use of market-observable inputs, including interest rate, yield curve volatilities, foreign currency exchange rates and other factors. These over-the-counter derivatives are typically classified within Level 2 of the fair value hierarchy as the majority trade in liquid markets, we can verify model inputs and model selection does not involve significant management judgment. When inputs are not available for valuation models, certain over-the-counter derivatives are valued using independent broker quotes, which are based on unobservable market data and classified within Level 3. Effective September 30, 2024, pricing for certain derivatives was obtained from internal models using substantially all market observable inputs, and those derivatives were transferred out of Level 3 to Level 2.
The fair value of the reinsurance-related embedded derivatives in our funds withheld reinsurance agreements are estimated based upon the change in fair value (for total return swaps), or the fair value (for the index credit obligation due the reinsurer), of the assets supporting the funds withheld from reinsurance liabilities. The fair value of the assets is based on a quoted market price of similar assets or is obtained from models using substantially all market observable inputs (Level 2), and therefore the fair value of the embedded derivatives are based on market-observable inputs and are classified as Level 2.
The fair value measurement of the indexed annuities/IUL embedded derivatives, representing the indexed crediting feature of the policies included in Contractholder funds, and the ceded portion, the reinsured indexed crediting feature embedded derivatives recorded as a component of the Reinsurance recoverable, is determined through a combination of market observable information and significant unobservable inputs using the option budget method. The market observable inputs are the market value of option and treasury rates. The significant unobservable inputs are the budgeted option cost (i.e., the expected cost to purchase equity options in future periods to fund the equity indexed linked feature), surrender rates, mortality multiplier and non-performance spread. The mortality multiplier at December 31, 2025 and 2024 was applied to the 2012 Individual Annuity mortality tables. Increases or decreases in the market value of an option in isolation would result in a higher or lower, respectively, fair value measurement. Increases or decreases in treasury rates, mortality multiplier, surrender rates, or non-performance spread in isolation would result in a lower or higher fair value measurement, respectively. Generally, a change in any one unobservable input would not directly result in a change in any other unobservable input. Also
refer to Management's Estimates in Note A - Business and Summary of Significant Accounting Policies regarding certain assumption updates.
Investments in Unconsolidated affiliates
We have elected the fair value option (“FVO”) for certain investments in unconsolidated affiliates as we believe this better aligns them with other investments in unconsolidated affiliates that are measured using NAV as a practical expedient in determining fair value. Investments measured using the FVO are included in Level 3 and the fair values of these investments are determined using a multiple of the affiliates’ earnings before interest, taxes, depreciation and amortization (“EBITDA”). The EBITDA is based on the affiliates’ financial information. The multiple is derived from market analysis of transactions involving comparable companies. The inputs are considered unobservable, as not all market participants have access to this data.
Other Long-term Investments
We have elected the fair value option (“FVO”) for certain loans held by consolidated VIEs to better align measurement with the economic characteristics of the underlying structures and to reduce accounting mismatches that would otherwise result from measuring the assets and liabilities using different attributes. We have also elected to apply the collateralized financing entity guidance in ASC 810 to measure both the financial assets and the financial liabilities of the VIE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities. We believe that the value of the debt securities, that trade in the secondary market, are more observable than the pricing of the individual loans and will use the fair value of the debt securities issued by the VIE as a practical expedient in determining the fair value of the loans. Based on the market-observable inputs of the debt securities, the fair value of the loans are included in Level 2.
We hold a fund-linked note, which provides for an additional payment at maturity based on the value of an embedded derivative based on the actual return of a dedicated return fund. Fair value of the embedded derivative is based on an unobservable input, the NAV of the fund at the balance sheet date. The embedded derivative is similar to an equity option on the NAV of the fund with a strike price of zero since we will not be required to make any additional payments at maturity of the fund-linked note in order to receive the NAV of the fund on the maturity date. A Black-Scholes model determines the NAV of the fund as the fair value of the equity option regardless of the values used for the other inputs to the option pricing model. The NAV of the fund is provided by the fund manager at the end of each calendar month and represents the value an investor would receive if it withdrew its investment on the balance sheet date. Therefore, the key unobservable input used in the Black-Scholes model is the value of the fund. As the value of the fund increases or decreases, the fair value of the embedded derivative will increase or decrease. See further discussion on the available-for-sale embedded derivative in Note D - Derivative Financial Instruments.
Short-term Investments
The carrying amounts reported in the Consolidated Balance Sheets for these instruments approximate fair value. Certain short-term investments are valued based on third-party pricing services or broker quotes and are classified as Level 2 or 3.
Loan receivable
Concurrent with the Roar purchase agreement, we executed a separate loan agreement with the sellers of Roar. The loan is collateralized by the sellers’ minority equity stake in Roar. The loan receivable is measured at fair value using a discounted cash flow model applied using a Monte Carlo simulation of estimated cash flows at each measurement period and for each simulated path relative to the estimated collateral value. The Monte Carlo simulation utilizes the outstanding principal balance, a risk-adjusted discount rate, and risk-free rates to discount the expected cash flows and compare to the estimated collateral value for each payment period and simulated path. The discounted cash flow approach applies a company-specific discount rate to future expected interest and payoff payments to calculate the estimated fair value based on the average outcome from the simulation. This loan
receivable is included in Level 3 and the inputs are considered unobservable, as not all market participants have access to this data.
Contingent Consideration
We have recorded contingent consideration pursuant to the terms of the purchase agreement for the acquisition of Roar. The contingent consideration is measured at fair value using a discounted cash flow model applied using a Monte Carlo simulation of estimated EBITDA at each measurement period and for each simulated path relative to contractual EBITDA milestones. The Monte Carlo simulation utilizes a risk-adjusted discount rate, volatility assumption, and risk-free rates to assess the probability Roar's EBITDA trajectory reaches required milestones for the earn out payments to be made. The discounted cash flow approach applies a company-specific discount rate based on F&G credit profile to future expected earn out payments to calculate the estimated fair value based on the average outcome from the simulation. This contingent consideration is included in Level 3 and the inputs are considered unobservable, as not all market participants have access to this data. See further discussion on the contingent consideration in Note N - Commitments and Contingencies.
Market Risk Benefits
MRBs (inclusive of reinsured MRBs) are measured at fair value using an attributed fee measurement approach where attributed fees are explicit rider charges collectible from the policyholder (or paid to the reinsurer) used to cover the excess benefits. The fair value is calculated using a risk neutral valuation method and is based on current net amounts at risk, market data, internal and industry experience, and other factors. The balances are computed using assumptions including mortality, full and partial surrender, rider benefit utilization, risk-free rates including non-performance spread and risk margin, market value of options and economic scenarios. Policyholder behavior assumptions are reviewed at least annually, typically in the third quarter, for any revisions. Reinsured MRBs are valued using a methodology consistent with direct MRBs, with the exception of the non-performance spread which reflects the credit of the reinsurer. See further discussion on MRBs in Note G - Market Risk Benefits.
Quantitative information regarding significant unobservable inputs used for recurring Level 3 fair value measurements of financial instruments carried at fair value as of December 31, 2025 and 2024, excluding assets and liabilities for which significant quantitative unobservable inputs are not developed internally and not readily available to the Company (primarily those valued using broker quotes and certain third-party pricing services) are as follows (in millions):
| December 31, 2025 | |||||||||||||||||||||||||||||
| Fair Value | Valuation Technique | Unobservable Input(s) | Range | Weighted Average | |||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||
| Fixed maturity securities, available-for-sale: | |||||||||||||||||||||||||||||
| Asset-backed securities | $ | 92 | Third-Party Valuation | Discount Rate | 4.36% - 7.15% | 5.80% | |||||||||||||||||||||||
| Corporates | 649 | Third-Party Valuation | Discount Rate | 3.45% - 8.68% | 5.84% | ||||||||||||||||||||||||
| Municipals | 3 | Third-Party Valuation | Discount Rate | 4.94% - 4.94% | 4.94% | ||||||||||||||||||||||||
| Residential mortgage-backed securities | 3 | Third-Party Valuation | Discount Rate | 5.41% - 5.41% | 5.41% | ||||||||||||||||||||||||
| Foreign Governments | 5 | Third-Party Valuation | Discount Rate | 5.73% - 5.73% | 5.73% | ||||||||||||||||||||||||
| Investments in unconsolidated affiliates | 270 | Market Comparable Company Analysis | EBITDA Multiple | 7.4x - 15.5x | 12.10x | ||||||||||||||||||||||||
| Other long-term investments: | |||||||||||||||||||||||||||||
| Available-for-sale embedded derivative | 41 | Black Scholes Model | Market Value of AnchorPath Fund | 100.00% | |||||||||||||||||||||||||
| Reinsurance recoverable: | |||||||||||||||||||||||||||||
| Indexed annuities/IUL ceded embedded derivatives | 399 | Discounted Cash Flow | Market Value of Option | 0.00% - 31.77% | 2.74% | ||||||||||||||||||||||||
| Mortality Multiplier | 80.00% - 115.00% | 100.00% | |||||||||||||||||||||||||||
| Surrender Rates | 0.25% - 50.00% | 3.33% | |||||||||||||||||||||||||||
| Partial Withdrawals | 2.00% - 6.50% | 2.22% | |||||||||||||||||||||||||||
| Non-Performance Spread | 0.53% - 1.15% | 0.90% | |||||||||||||||||||||||||||
| December 31, 2025 | |||||||||||||||||||||||||||||
| Fair Value | Valuation Technique | Unobservable Input(s) | Range | Weighted Average | |||||||||||||||||||||||||
| Option Cost | 1.39% - 5.30% | 1.98% | |||||||||||||||||||||||||||
| Prepaid expenses and other assets: | |||||||||||||||||||||||||||||
| Loan receivable | 24 | Discounted Cash Flow | Risk-Adjusted Discount Rate | 6.35% - 6.35% | 6.35% | ||||||||||||||||||||||||
| Collateral Volatility | 35.00% - 35.00% | 35.00% | |||||||||||||||||||||||||||
| Market risk benefits asset | 285 | Discounted Cash Flow | Mortality | 80.00% - 115.00% | 100.00% | ||||||||||||||||||||||||
| Surrender Rates | 0.25% - 30.00% | 5.33% | |||||||||||||||||||||||||||
| Partial Withdrawal Rates | 0.00% - 25.64% | 2.47% | |||||||||||||||||||||||||||
| Non-Performance Spread | 0.43% - 0.85% | 0.64% | |||||||||||||||||||||||||||
| GMWB Utilization | 50.00% - 75.00% | 63.03% | |||||||||||||||||||||||||||
| Total financial assets at fair value (a) | $ | 1,771 | |||||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||
| Derivatives: | |||||||||||||||||||||||||||||
| Indexed annuities/IUL embedded derivatives, included in Contractholder funds | $ | 6,542 | Discounted Cash Flow | Market Value of Option | 0.00% - 40.13% | 3.84% | |||||||||||||||||||||||
| Mortality Multiplier | 80.00% - 115.00% | 100.00% | |||||||||||||||||||||||||||
| Surrender Rates | 0.25% - 50.00% | 6.68% | |||||||||||||||||||||||||||
| Partial Withdrawals | 2.00% - 35.71% | 2.69% | |||||||||||||||||||||||||||
| Non-Performance Spread | 0.43% - 0.85% | 0.64% | |||||||||||||||||||||||||||
| Option Cost | 0.50% - 6.09% | 2.78% | |||||||||||||||||||||||||||
| Contingent consideration, included in Accounts payable and accrued liabilities | 72 | Discounted Cash Flow | Risk-Adjusted Discount Rate | 11.50% - 11.50% | 11.50% | ||||||||||||||||||||||||
| EBITDA Volatility | 35.00% - 35.00% | 35.00% | |||||||||||||||||||||||||||
| Counterparty Discount Rate | 6.30% - 6.30% | 6.30% | |||||||||||||||||||||||||||
| Market risk benefits liability | 903 | Discounted Cash Flow | Mortality | 80.00% - 115.00% | 100.00% | ||||||||||||||||||||||||
| Surrender Rates | 0.25% - 30.00% | 5.33% | |||||||||||||||||||||||||||
| Partial Withdrawal Rates | 0.00% - 25.64% | 2.47% | |||||||||||||||||||||||||||
| Non-Performance Spread | 0.43% - 0.85% | 0.64% | |||||||||||||||||||||||||||
| GMWB Utilization | 50.00% - 75.00% | 63.03% | |||||||||||||||||||||||||||
| Total financial liabilities at fair value | $ | 7,517 | |||||||||||||||||||||||||||
(a)Assets of $12,596 million and liabilities of $9 million for which significant quantitative unobservable inputs are not developed internally and not readily available to the Company (primarily those valued using broker quotes and certain third-party pricing services) are excluded from the respective totals in the table above.
| December 31, 2024 | |||||||||||||||||||||||||||||
| Fair Value | Valuation Technique | Unobservable Input(s) | Range | Weighted Average | |||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||
| Fixed maturity securities, available-for-sale: | |||||||||||||||||||||||||||||
| Asset-backed securities | $ | 95 | Third-Party Valuation | Discount Rate | 4.83% - 7.15% | 6.33% | |||||||||||||||||||||||
| Corporates | 750 | Third-Party Valuation | Discount Rate | 2.00% - 22.53% | 6.76% | ||||||||||||||||||||||||
| Residential mortgage-backed securities | 3 | Third-Party Valuation | Discount Rate | 5.89% - 5.89% | 5.89% | ||||||||||||||||||||||||
| Foreign Governments | 4 | Third-Party Valuation | Discount Rate | 12.14% - 12.14% | 12.14% | ||||||||||||||||||||||||
| Investments in unconsolidated affiliates | 272 | Market Comparable Company Analysis | EBITDA Multiple | 8.7x - 23.6x | 14.6x | ||||||||||||||||||||||||
| Other long-term investments: | |||||||||||||||||||||||||||||
| Available-for-sale embedded derivative | 32 | Black Scholes Model | Market Value of AnchorPath Fund | 100.00% | |||||||||||||||||||||||||
| Reinsurance recoverable: | |||||||||||||||||||||||||||||
| Indexed annuities/IUL ceded embedded derivatives | 98 | Discounted Cash Flow | Market Value of Option | 0.35% - 2.53% | 1.39% | ||||||||||||||||||||||||
| Mortality Multiplier | 80.00% - 115.00% | 100.00% | |||||||||||||||||||||||||||
| Surrender Rates | 0.25% - 50.00% | 3.24% | |||||||||||||||||||||||||||
| Partial Withdrawals | 2.00% - 5.00% | 2.13% | |||||||||||||||||||||||||||
| Non-Performance Spread | 0.48% - 0.95% | 0.75% | |||||||||||||||||||||||||||
| Option Cost | 1.40% - 1.40% | 1.40% | |||||||||||||||||||||||||||
| Prepaid expenses and other assets: | |||||||||||||||||||||||||||||
| Loan receivable | 11 | Discounted Cash Flow | Risk-Adjusted Discount Rate | 7.22% - 7.22% | 7.22% | ||||||||||||||||||||||||
| Collateral Volatility | 35.00% - 35.00% | 35.00% | |||||||||||||||||||||||||||
| Market risk benefits asset | 189 | Discounted Cash Flow | Mortality | 80.00% - 115.00% | 100.00% | ||||||||||||||||||||||||
| Surrender Rates | 0.25% - 30.00% | 5.05% | |||||||||||||||||||||||||||
| Partial Withdrawal Rates | 2.00% - 24.39% | 2.48% | |||||||||||||||||||||||||||
| Non-Performance Spread | 0.48% - 0.95% | 0.75% | |||||||||||||||||||||||||||
| GMWB Utilization | 50.00% - 75.00% | 61.77% | |||||||||||||||||||||||||||
| Total financial assets at fair value (a) | $ | 1,454 | |||||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||
| Derivatives: | |||||||||||||||||||||||||||||
| Indexed annuities/IUL embedded derivatives, included in Contractholder funds | $ | 5,220 | Discounted Cash Flow | Market Value of Option | 0.00% - 20.81% | 2.92% | |||||||||||||||||||||||
| Mortality Multiplier | 80.00% - 115.00% | 100.00% | |||||||||||||||||||||||||||
| Surrender Rates | 0.25% - 50.00% | 6.94% | |||||||||||||||||||||||||||
| Partial Withdrawals | 2.00% - 35.71% | 2.72% | |||||||||||||||||||||||||||
| Non-Performance Spread | 0.48% - 0.95% | 0.75% | |||||||||||||||||||||||||||
| Option Cost | 0.07% - 5.70% | 2.68% | |||||||||||||||||||||||||||
| Contingent consideration, included in Accounts payable and accrued liabilities | 74 | Discounted Cash Flow | Risk-Adjusted Discount Rate | 13.50% - 13.50% | 13.50% | ||||||||||||||||||||||||
| EBITDA Volatility | 35.00% - 35.00% | 35.00% | |||||||||||||||||||||||||||
| Counterparty Discount Rate | 6.50% - 6.50% | 6.50% | |||||||||||||||||||||||||||
| Market risk benefits liability | 549 | Discounted Cash Flow | Mortality | 80.00% - 115.00% | 100.00% | ||||||||||||||||||||||||
| Surrender Rates | 0.25% - 30.00% | 5.05% | |||||||||||||||||||||||||||
| Partial Withdrawal Rates | 2.00% - 24.39% | 2.48% | |||||||||||||||||||||||||||
| Non-Performance Spread | 0.48% - 0.95% | 0.75% | |||||||||||||||||||||||||||
| GMWB Utilization | 50.00% - 75.00% | 61.77% | |||||||||||||||||||||||||||
| Total financial liabilities at fair value | $ | 5,843 | |||||||||||||||||||||||||||
(a)Assets of $10,286 million for which significant quantitative unobservable inputs are not developed internally and not readily available to the Company (primarily those valued using broker quotes and certain third-party pricing services) are excluded from the respective totals in the table above.
The following tables summarize changes to the Company’s financial instruments carried at fair value and classified within Level 3 of the fair value hierarchy for the years ended December 31, 2025 and 2024, respectively (in millions).The gains and losses below may include changes in fair value due in part to observable inputs that are a component of the valuation methodology.
Year ended December 31, 2025 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Balance at Beginning of Period | Total Gains (Losses) for Assets and (Gains) Losses for Liabilities | Purchases | Sales | Settlements | Net transfer In (Out) of Level 3 (a) | Balance at End of Period | Change in Unrealized Included in OCI | ||||||||||||||||||||||||||||||||||||||||||||||
| Included in AOCI | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Fixed maturity securities available-for-sale: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Asset-backed securities | $ | 8,143 | $ | (5) | $ | 80 | $ | 3,688 | $ | (433) | $ | (1,228) | $ | (151) | $ | 10,094 | $ | 73 | |||||||||||||||||||||||||||||||||||
| Commercial mortgage-backed securities | — | — | — | 46 | — | (46) | — | — | |||||||||||||||||||||||||||||||||||||||||||||
| Corporates | 2,941 | (11) | 73 | 1,476 | (886) | (407) | (62) | 3,124 | 73 | ||||||||||||||||||||||||||||||||||||||||||||
| Hybrids | — | — | — | 15 | — | — | — | 15 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Municipals | — | — | — | 4 | — | (1) | — | 3 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Residential mortgage-backed securities | 3 | — | — | 2 | — | — | (2) | 3 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Foreign Governments | 4 | — | 2 | 19 | — | (2) | — | 23 | 1 | ||||||||||||||||||||||||||||||||||||||||||||
| Equity securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Preferred equity securities | 7 | (1) | 1 | — | — | — | — | 7 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Common equity securities | — | — | — | 5 | — | — | — | 5 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Derivative investments | 3 | (2) | (2) | 1 | — | — | — | — | (2) | ||||||||||||||||||||||||||||||||||||||||||||
| Investments in unconsolidated affiliates | 272 | (2) | — | — | — | — | — | 270 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Other long-term investments: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Available-for-sale embedded derivative | 32 | — | 9 | — | — | — | — | 41 | 9 | ||||||||||||||||||||||||||||||||||||||||||||
| Short term investments | 37 | — | — | 75 | — | (38) | — | 74 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Reinsurance recoverable: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Indexed annuities/IUL ceded embedded derivatives | 98 | 48 | — | 256 | — | (3) | — | 399 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Prepaid expenses and other assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Loan receivable (b) | 11 | — | — | 13 | — | — | — | 24 | — | ||||||||||||||||||||||||||||||||||||||||||||
Subtotal assets at Level 3 fair value | 11,551 | $ | 27 | $ | 163 | $ | 5,600 | $ | (1,319) | $ | (1,679) | $ | (261) | 14,082 | $ | 154 | |||||||||||||||||||||||||||||||||||||
| Market risk benefits asset (c) | 189 | 285 | |||||||||||||||||||||||||||||||||||||||||||||||||||
| Total assets at Level 3 fair value | $ | 11,740 | $ | 14,367 | |||||||||||||||||||||||||||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Derivatives: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Indexed annuities/IUL embedded derivatives, included in Contractholder funds | $ | 5,220 | $ | 450 | $ | — | $ | 1,357 | $ | — | $ | (485) | $ | — | $ | 6,542 | $ | — | |||||||||||||||||||||||||||||||||||
| Foreign currency swaps, included in Accounts payable and accrued liabilities | — | 9 | — | — | — | — | — | 9 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Contingent consideration, included in Accounts payable and accrued liabilities | 74 | 10 | — | — | — | (12) | — | 72 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Subtotal liabilities at Level 3 fair value | 5,294 | $ | 469 | $ | — | $ | 1,357 | $ | — | $ | (497) | $ | — | 6,623 | — | ||||||||||||||||||||||||||||||||||||||
| Market risk benefits liability (c) | 549 | 903 | |||||||||||||||||||||||||||||||||||||||||||||||||||
| Total liabilities at Level 3 fair value | $ | 5,843 | $ | 7,526 | |||||||||||||||||||||||||||||||||||||||||||||||||
(a)The net transfers out of Level 3 during the year ended December 31, 2025 were exclusively into Level 2.
(b)Purchases represent advances on the loan commitment to Roar. Refer to Note N - Commitments and Contingencies for further details.
(c)Refer to Note G - Market Risk Benefits for roll forward activity of the net Market Risk Benefits Asset and Liability.
Year ended December 31, 2024 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Balance at Beginning of Period | Total Gains (Losses) for Assets and Losses for Liabilities | Purchases | Sales | Settlements | Net transfer In (Out) of Level 3 (a) | Balance at End of Period | Change in Unrealized Included in OCI | ||||||||||||||||||||||||||||||||||||||||||||||
| Included in AOCI | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Fixed maturity securities available-for-sale: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Asset-backed securities | $ | 7,122 | $ | 19 | $ | 128 | $ | 5,104 | $ | (2,825) | $ | (1,210) | $ | (195) | $ | 8,143 | $ | 130 | |||||||||||||||||||||||||||||||||||
| Commercial mortgage-backed securities | 18 | — | — | 58 | — | — | (76) | — | — | ||||||||||||||||||||||||||||||||||||||||||||
| Corporates | 1,970 | (2) | 81 | 1,146 | (97) | (139) | (18) | 2,941 | 80 | ||||||||||||||||||||||||||||||||||||||||||||
| Municipals | 49 | — | 1 | — | (50) | — | — | — | 1 | ||||||||||||||||||||||||||||||||||||||||||||
| Residential mortgage-backed securities | 3 | — | — | 1 | — | — | (1) | 3 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Foreign Governments | 16 | — | (1) | — | — | (11) | — | 4 | (1) | ||||||||||||||||||||||||||||||||||||||||||||
| Preferred equity securities | 7 | — | — | — | — | — | — | 7 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Derivative investments | 57 | (50) | 3 | — | — | — | (7) | 3 | 1 | ||||||||||||||||||||||||||||||||||||||||||||
| Investments in unconsolidated affiliates (b) | 285 | 79 | — | — | — | — | (92) | 272 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Other long-term investments: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Available-for-sale embedded derivative | 27 | — | 5 | — | — | — | — | 32 | 5 | ||||||||||||||||||||||||||||||||||||||||||||
| Credit linked note | 10 | 1 | — | — | — | (11) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
| Short term investments | — | — | — | 236 | (190) | (9) | — | 37 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Reinsurance recoverable: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Indexed annuities/IUL ceded embedded derivatives | 20 | (2) | — | 81 | — | (1) | — | 98 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Prepaid expenses and other assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Loan receivable (c) | — | — | — | 11 | — | — | — | 11 | — | ||||||||||||||||||||||||||||||||||||||||||||
Subtotal assets at Level 3 fair value | 9,584 | $ | 45 | $ | 217 | $ | 6,637 | $ | (3,162) | $ | (1,381) | $ | (389) | 11,551 | $ | 216 | |||||||||||||||||||||||||||||||||||||
| Market risk benefits asset (d) | 88 | 189 | |||||||||||||||||||||||||||||||||||||||||||||||||||
| Total assets at Level 3 fair value | $ | 9,672 | $ | 11,740 | |||||||||||||||||||||||||||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Derivatives: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Indexed annuities/IUL embedded derivatives, included in Contractholder funds | $ | 4,258 | $ | 45 | $ | — | $ | 1,351 | $ | — | $ | (434) | $ | — | $ | 5,220 | $ | — | |||||||||||||||||||||||||||||||||||
| Interest rate swaps, included in Accounts payable and accrued liabilities | — | 28 | — | — | — | — | (28) | — | — | ||||||||||||||||||||||||||||||||||||||||||||
| Contingent consideration, included in Accounts payable and accrued liabilities (e) | — | $ | 26 | $ | — | $ | 48 | $ | — | $ | — | $ | — | 74 | $ | — | |||||||||||||||||||||||||||||||||||||
| Subtotal liabilities at Level 3 fair value | 4,258 | $ | 99 | $ | — | $ | 1,399 | $ | — | $ | (434) | $ | (28) | 5,294 | $ | — | |||||||||||||||||||||||||||||||||||||
| Market risk benefits liability (d) | 403 | 549 | |||||||||||||||||||||||||||||||||||||||||||||||||||
| Total liabilities at Level 3 fair value | $ | 4,661 | $ | 5,843 | |||||||||||||||||||||||||||||||||||||||||||||||||
(a)The net transfers out of Level 3 during the year ended December 31, 2024 were exclusively to Level 2.
(b)The transfer out of investments in unconsolidated affiliates represents F&G’s 30% ownership of PALH prior to the majority acquisition on July 18, 2024. Refer to Note P - Acquisitions for details of the PALH majority acquisition.
(c)Purchases represent advances on the loan commitment to Roar. Refer to Note N - Commitments and Contingencies for further details.
(d)Refer to Note G - Market Risk Benefits for roll forward activity of the net Market Risk Benefits Asset and Liability.
(e)The initial contingent consideration recorded in the Roar transaction is included in purchases in the table above. Refer to Note P - Acquisitions for more information.
Fair Value Option
We have elected the FVO for certain investments held by consolidated VIEs, including certain loans reported in other long term investments. See Note C - Investments for additional information on our investments in VIEs. As discussed above, we have also elected the FVO for certain other investments in unconsolidated affiliates and for a loan receivable.
The following table presents information regarding the assets for which the fair value option was elected.
| December 31, | |||||||||||
| 2025 | 2024 | ||||||||||
| Assets | |||||||||||
| Investments in unconsolidated affiliates | $ | 270 | $ | 272 | |||||||
| Other loans, within other long-term investments (a) | |||||||||||
| Fair Value | $ | 248 | $ | — | |||||||
| Aggregate unpaid principal | 250 | — | |||||||||
| Loan receivable, within prepaid expenses and other assets (a) | |||||||||||
| Fair Value | $ | 24 | $ | 11 | |||||||
| Aggregate unpaid principal | 24 | 11 | |||||||||
(a) No loans are 90 days or more past due or on nonaccrual status
The following table presents information regarding the impact of changes in fair value of assets for which the fair value option was elected which are reported within Recognized gains and losses, net on the Consolidated Statements of Operations.
| December 31, | |||||||||||
| 2025 | 2024 | ||||||||||
| Investments in unconsolidated affiliates | (2) | 79 | |||||||||
Valuation Methodologies and Associated Inputs for Financial Instruments Not Carried at Fair Value
The following discussion outlines the methodologies and assumptions used to determine the fair value of our financial instruments not carried at fair value. Considerable judgment is required to develop these assumptions used to measure fair value. Accordingly, the estimates shown are not necessarily indicative of the amounts that would be realized in a one-time, current market exchange of all of our financial instruments.
Mortgage Loans
The fair value of mortgage loans is established using a discounted cash flow method based on internal credit rating, maturity and future income. This yield-based approach is sourced from our third-party vendor. The internal ratings for mortgages in good standing are based on property type, location, market conditions, occupancy, debt service coverage, loan-to-value, quality of tenancy, borrower, and payment record. The inputs used to measure the fair value of our mortgage loans are classified as Level 3 within the fair value hierarchy.
Investments in Unconsolidated affiliates
The fair value of investments in unconsolidated affiliates is primarily determined using NAV as a practical expedient. As discussed in Note A - Business and Summary of Significant Accounting Policies, recognition of income and adjustments to the carrying amount are delayed due to the availability of the related financial statements, which are obtained from the general partner generally on a one to three-month delay.
Policy Loans
Policy loans are reported at the unpaid principal balance and are fully collateralized by the cash surrender value of underlying insurance policies. The carrying value of the policy loans approximates the fair value and are classified as Level 3 in the fair value hierarchy.
Company Owned Life Insurance
Company owned life insurance (“COLI”) is a life insurance program used to finance certain employee benefit expenses. The fair value of COLI is based on net realizable value, which is generally cash surrender value. COLI is classified as Level 3 within the fair value hierarchy.
Investment Contracts
Investment contracts include deferred annuities (indexed annuities and fixed rate annuities), IUL policies, funding agreements and PRT and immediate annuity contracts without life contingencies. The indexed annuities/ IUL embedded derivatives, included in contractholder funds are excluded as they are carried at fair value. The fair value of the deferred annuities (indexed annuities and fixed rate annuities) and IUL contracts is based on their cash surrender value (i.e., the cost the Company would incur to extinguish the liability) as these contracts are generally issued without an annuitization date. The fair value of funding agreements and PRT and immediate annuity contracts without life contingencies is derived by calculating a new fair value interest rate using the updated yield curve and treasury spreads as of the respective reporting date. The Company is not required to, and has not, estimated the fair value of the liabilities under contracts that involve significant mortality or morbidity risks, as these liabilities fall within the definition of insurance contracts that are exceptions from financial instruments that require disclosures of fair value.
Other
FHLB common stock is carried at cost, which approximates fair value. The carrying amount of FHLB common stock represents the value it can be sold back to the FHLB and is classified as Level 2 within the hierarchy.
Notes Payable
The fair value of notes payable, with the exception of the Revolving Credit Facility, is based on quoted market prices of debt with similar credit risk and tenor. The inputs used to measure the fair value of these notes payable results in a Level 2 classification within the fair value hierarchy.
The carrying value of outstanding balances under our revolving credit facility would approximate fair value as the rates would be comparable to those at which we could currently borrow under similar terms. As such, the fair value of our revolving credit facility was classified as a Level 2 measurement. At December 31, 2025 and 2024, there were no outstanding balances for the revolving credit facility.
The following tables provide the carrying value and estimated fair value of our financial instruments that are carried on the Consolidated Balance Sheets at amounts other than fair value, summarized according to the fair value hierarchy previously described (in millions).
| December 31, 2025 | |||||||||||||||||||||||||||||||||||
| Level 1 | Level 2 | Level 3 | NAV | Total Estimated Fair Value | Carrying Amount | ||||||||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||||||||
| FHLB common stock | $ | — | $ | 155 | $ | — | $ | — | $ | 155 | $ | 155 | |||||||||||||||||||||||
| Commercial mortgage loans | — | — | 3,025 | — | 3,025 | 3,242 | |||||||||||||||||||||||||||||
| Residential mortgage loans | — | — | 4,424 | — | 4,424 | 4,649 | |||||||||||||||||||||||||||||
| Investments in unconsolidated affiliates | — | — | — | 4,608 | 4,608 | 4,608 | |||||||||||||||||||||||||||||
| Policy loans | — | — | 147 | — | 147 | 147 | |||||||||||||||||||||||||||||
| Company-owned life insurance | — | — | 850 | — | 850 | 850 | |||||||||||||||||||||||||||||
Total | $ | — | $ | 155 | $ | 8,446 | $ | 4,608 | $ | 13,209 | $ | 13,651 | |||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||
| Investment contracts, included in Contractholder funds | $ | — | $ | — | $ | 51,027 | $ | — | $ | 51,027 | $ | 56,184 | |||||||||||||||||||||||
| Notes payable | — | 2,289 | — | — | 2,289 | 2,237 | |||||||||||||||||||||||||||||
Total | $ | — | $ | 2,289 | $ | 51,027 | $ | — | $ | 53,316 | $ | 58,421 | |||||||||||||||||||||||
| December 31, 2024 | |||||||||||||||||||||||||||||||||||
| Level 1 | Level 2 | Level 3 | NAV | Total Estimated Fair Value | Carrying Amount | ||||||||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||||||||
| FHLB common stock | $ | — | $ | 153 | $ | — | $ | — | $ | 153 | $ | 153 | |||||||||||||||||||||||
| Commercial mortgage loans | — | — | 2,404 | — | 2,404 | 2,705 | |||||||||||||||||||||||||||||
| Residential mortgage loans | — | — | 2,916 | — | 2,916 | 3,221 | |||||||||||||||||||||||||||||
| Investments in unconsolidated affiliates | — | — | 5 | 3,288 | 3,293 | 3,293 | |||||||||||||||||||||||||||||
| Policy loans | — | — | 104 | — | 104 | 104 | |||||||||||||||||||||||||||||
| Company-owned life insurance | — | — | 395 | — | 395 | 395 | |||||||||||||||||||||||||||||
Total | $ | — | $ | 153 | $ | 5,824 | $ | 3,288 | $ | 9,265 | $ | 9,871 | |||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||
| Investment contracts, included in Contractholder funds | $ | — | $ | — | $ | 46,339 | $ | — | $ | 46,339 | $ | 51,184 | |||||||||||||||||||||||
| Notes payable | — | 2,228 | — | — | 2,228 | 2,171 | |||||||||||||||||||||||||||||
Total | $ | — | $ | 2,228 | $ | 46,339 | $ | — | $ | 48,567 | $ | 53,355 | |||||||||||||||||||||||
For investments for which NAV is used, we do not have any significant restrictions in our ability to liquidate our positions in these investments, other than obtaining general partner approval, nor do we believe it is probable a price less than NAV would be received in the event of a liquidation.
We review the fair value hierarchy classifications each reporting period. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in and out of Level 3, or between other levels, at the beginning fair value for the reporting period in which the changes occur. The transfers into and out of Level 3 were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Feb 26, 2026 | Showing above |
| 2024 | Feb 28, 2025 | |
| 2023 | Feb 29, 2024 | |
| 2022 | Feb 27, 2023 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.