XML 42 R31.htm IDEA: XBRL DOCUMENT
v3.22.2

Investments (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2022
Investments, Debt and Equity Securities [Abstract] |
Marketable Securities | Investment Portfolio Carrying Value
| As of
| June 30, 2022 |  | December 31, 2021
| (in millions)
Fixed-maturity securities, available-for-sale (1): |  |  |
Externally managed | $ | 5,894 |  |  | $ | 6,843 |
Loss mitigation securities and other | 735 |  |  | 818 |
AssuredIM managed | 526 |  |  | 541 |
Fixed-maturity securities - Puerto Rico (2) | 241 |  |  | — |
Fixed-maturity securities - Puerto Rico, trading (3) | 87 |  |  | — |
Short-term investments (4) | 863 |  |  | 1,225 |
Other invested assets: |  |  |
Equity method investments | 140 |  |  | 169 |
Other | 10 |  |  | 12 |
Total | $ | 8,496 |  |  | $ | 9,608 |
____________________ (1) 7.4% and 7.5% of fixed-maturity securities were rated BIG as of June 30, 2022 and December 31, 2021, respectively, consisting primarily of loss mitigation securities. 4.1% and 0.9% were not rated, as of June 30, 2022 and December 31, 2021, respectively. (2) Represents new recovery bonds received in connection with the consummation of the March Puerto Rico Resolutions. These securities are not rated. (3) Represents CVIs received in connection with the consummation of the March Puerto Rico Resolutions. These securities are not rated. (4) Weighted average credit rating of AAA as of both June 30, 2022 and December 31, 2021, based on the lower of the Moody’s Investors Service, Inc. (Moody’s) and S&P Global Ratings, a division of Standard & Poor's Financial Services LLC (S&P) classifications.
Fixed Maturity Securities and Short Term Investments by Security Type | Available-for-Sale Fixed-Maturity Securities by Security Type As of June 30, 2022
Security Type |  | Percent of Total (1) |  | Amortized Cost |  | Allowance for Credit Losses |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Estimated Fair Value |  | AOCI (5) Pre-tax Gain (Loss) on Securities with Credit Loss |  | Weighted Average Credit Rating (2)
|  | (dollars in millions)
Obligations of state and political subdivisions |  | 45 | % |  | $ | 3,542 |  |  | $ | (14) |  |  | $ | 57 |  |  | $ | (101) |  |  | $ | 3,484 |  |  | $ | (5) |  |  | A+
U.S. government and agencies |  | 2 |  |  | 122 |  |  | — |  |  | 3 |  |  | (6) |  |  | 119 |  |  | — |  |  | AA+
Corporate securities (3) |  | 31 |  |  | 2,434 |  |  | (4) |  |  | 3 |  |  | (239) |  |  | 2,194 |  |  | (78) |  |  | A
Mortgage-backed securities (4): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RMBS |  | 5 |  |  | 419 |  |  | (15) |  |  | 5 |  |  | (40) |  |  | 369 |  |  | (35) |  |  | BBB+
Commercial mortgage-backed securities (CMBS) |  | 4 |  |  | 303 |  |  | — |  |  | — |  |  | (5) |  |  | 298 |  |  | — |  |  | AAA
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CLOs |  | 6 |  |  | 442 |  |  | — |  |  | — |  |  | (21) |  |  | 421 |  |  | — |  |  | A+
Other |  | 5 |  |  | 419 |  |  | (18) |  |  | 20 |  |  | (13) |  |  | 408 |  |  | (12) |  |  | CCC+
Non-U.S. government securities |  | 2 |  |  | 122 |  |  | — |  |  | — |  |  | (19) |  |  | 103 |  |  | (2) |  |  | AA-
Total available-for-sale fixed-maturity securities |  | 100 | % |  | $ | 7,803 |  |  | $ | (51) |  |  | $ | 88 |  |  | $ | (444) |  |  | $ | 7,396 |  |  | $ | (132) |  |  | A
Available-for-Sale Fixed-Maturity Securities by Security Type As of December 31, 2021
Security Type |  | Percent of Total (1) |  | Amortized Cost |  | Allowance for Credit Losses |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Estimated Fair Value |  | AOCI Pre-tax Gain (Loss) on Securities with Credit Loss |  | Weighted Average Credit Rating (2)
|  | (dollars in millions)
Obligations of state and political subdivisions |  | 43 | % |  | $ | 3,386 |  |  | $ | (12) |  |  | $ | 290 |  |  | $ | (4) |  |  | $ | 3,660 |  |  | $ | — |  |  | AA-
U.S. government and agencies |  | 2 |  |  | 123 |  |  | — |  |  | 7 |  |  | (2) |  |  | 128 |  |  | — |  |  | AA+
Corporate securities (3) |  | 32 |  |  | 2,516 |  |  | (1) |  |  | 111 |  |  | (21) |  |  | 2,605 |  |  | (4) |  |  | A
Mortgage-backed securities (4): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RMBS |  | 6 |  |  | 454 |  |  | (17) |  |  | 24 |  |  | (24) |  |  | 437 |  |  | (24) |  |  | BBB+
CMBS |  | 4 |  |  | 332 |  |  | — |  |  | 14 |  |  | — |  |  | 346 |  |  | — |  |  | AAA
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CLOs |  | 6 |  |  | 457 |  |  | — |  |  | 1 |  |  | — |  |  | 458 |  |  | — |  |  | AA-
Other |  | 5 |  |  | 420 |  |  | (12) |  |  | 26 |  |  | (2) |  |  | 432 |  |  | (2) |  |  | CCC+
Non-U.S. government securities |  | 2 |  |  | 134 |  |  | — |  |  | 5 |  |  | (3) |  |  | 136 |  |  | — |  |  | AA-
Total available-for-sale fixed-maturity securities |  | 100 | % |  | $ | 7,822 |  |  | $ | (42) |  |  | $ | 478 |  |  | $ | (56) |  |  | $ | 8,202 |  |  | $ | (30) |  |  | A+
____________________ (1)Based on amortized cost. (2)Ratings represent the lower of the Moody’s and S&P classifications, except for loss mitigation and certain other securities, which use internal ratings classifications. The Company’s portfolio primarily consists of high-quality, liquid instruments. New recovery bonds received in connection with the consummation of the March Puerto Rico Resolutions are not rated. (3)Includes securities issued by taxable universities and hospitals. (4)U.S. government-agency obligations were approximately 31% of mortgage-backed securities as of both June 30, 2022 December 31, 2021 based on fair value. (5)Accumulated other comprehensive income (AOCI).
Fixed-Maturity Securities Gross Unrealized Loss by Length of Time | Gross Unrealized Loss by Length of Time for Available-for-Sale Fixed-Maturity Securities for Which a Credit Loss was Not Recorded As of June 30, 2022
| Less than 12 months |  | 12 months or more |  | Total
| Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss
| (dollars in millions)
Obligations of state and political subdivisions | $ | 1,398 |  |  | $ | (91) |  |  | $ | 16 |  |  | $ | (5) |  |  | $ | 1,414 |  |  | $ | (96) |
U.S. government and agencies | 40 |  |  | (1) |  |  | 38 |  |  | (5) |  |  | 78 |  |  | (6) |
Corporate securities | 1,510 |  |  | (138) |  |  | 92 |  |  | (23) |  |  | 1,602 |  |  | (161) |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |
RMBS | 149 |  |  | (5) |  |  | 1 |  |  | — |  |  | 150 |  |  | (5) |
CMBS | 275 |  |  | (5) |  |  | — |  |  | — |  |  | 275 |  |  | (5) |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |
CLOs | 312 |  |  | (15) |  |  | 107 |  |  | (6) |  |  | 419 |  |  | (21) |
Other | 22 |  |  | (1) |  |  | — |  |  | — |  |  | 22 |  |  | (1) |
Non-U.S. government securities | 88 |  |  | (12) |  |  | 13 |  |  | (5) |  |  | 101 |  |  | (17) |
Total | $ | 3,794 |  |  | $ | (268) |  |  | $ | 267 |  |  | $ | (44) |  |  | $ | 4,061 |  |  | $ | (312) |
Number of securities (1) |  |  | 1,353 |  |  |  |  | 115 |  |  |  |  | 1,455 |
Gross Unrealized Loss by Length of Time for Available-for-Sale Fixed-Maturity Securities for Which a Credit Loss was Not Recorded As of December 31, 2021
| Less than 12 months |  | 12 months or more |  | Total
| Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss
| (dollars in millions)
Obligations of state and political subdivisions | $ | 117 |  |  | $ | (3) |  |  | $ | 10 |  |  | $ | (1) |  |  | $ | 127 |  |  | $ | (4) |
U.S. government and agencies | 26 |  |  | — |  |  | 32 |  |  | (2) |  |  | 58 |  |  | (2) |
Corporate securities | 407 |  |  | (12) |  |  | 70 |  |  | (5) |  |  | 477 |  |  | (17) |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |
RMBS | 4 |  |  | — |  |  | — |  |  | — |  |  | 4 |  |  | — |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |
CLOs | 226 |  |  | — |  |  | — |  |  | — |  |  | 226 |  |  | — |
Non-U.S. government securities | 24 |  |  | (2) |  |  | 8 |  |  | (1) |  |  | 32 |  |  | (3) |
Total | $ | 804 |  |  | $ | (17) |  |  | $ | 120 |  |  | $ | (9) |  |  | $ | 924 |  |  | $ | (26) |
Number of securities (1) |  |  | 355 |  |  |  |  | 60 |  |  |  |  | 410 |
___________________ (1) The number of securities does not add across because lots consisting of the same securities have been purchased at different times and appear in both categories above (i.e., less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the total column.
Investments Classified by Contractual Maturity Date | The amortized cost and estimated fair value of available-for-sale fixed-maturity securities by contractual maturity as of June 30, 2022 are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Distribution of Available-for-Sale Fixed-Maturity Securities by Contractual Maturity As of June 30, 2022
| Amortized Cost |  | Estimated Fair Value
| (in millions)
Due within one year | $ | 186 |  |  | $ | 184 |
Due after one year through five years | 1,902 |  |  | 1,815 |
Due after five years through 10 years | 1,739 |  |  | 1,656 |
Due after 10 years | 3,254 |  |  | 3,074 |
Mortgage-backed securities: |  |  |
RMBS | 419 |  |  | 369 |
CMBS | 303 |  |  | 298 |
Total | $ | 7,803 |  |  | $ | 7,396 |
Net Investment Income | Income from Investment Portfolio
| Second Quarter |  | Six Months
| 2022 |  | 2021 |  | 2022 |  | 2021
| (in millions)
Investment income: |  |  |  |  |  |  |
Externally managed | $ | 47 |  |  | $ | 52 |  |  | $ | 95 |  |  | $ | 103 |
Loss mitigation securities and other | 12 |  |  | 14 |  |  | 23 |  |  | 30 |
Managed by AssuredIM (1) | 5 |  |  | 4 |  |  | 9 |  |  | 8 |
Investment income | 64 |  |  | 70 |  |  | 127 |  |  | 141 |
Investment expenses | (2) |  |  | (2) |  |  | (3) |  |  | (3) |
Net investment income | $ | 62 |  |  | $ | 68 |  |  | $ | 124 |  |  | $ | 138 |
Fair value gains (losses) on trading securities (2) | $ | (18) |  |  | $ | — |  |  | $ | (22) |  |  | $ | — |
Equity in earnings (losses) of investees (3) | $ | — |  |  | $ | 34 |  |  | $ | (11) |  |  | $ | 43 |
____________________ (1) Represents interest income on a portfolio of CLOs and municipal bonds managed by AssuredIM under an IMA. (2) Fair value losses on trading securities pertaining to securities still held as of June 30, 2022 were $12 million for second quarter 2022 and $16 million for six months 2022. (3) Fair value gains on investments where the fair value option (FVO) was elected utilizing the net asset value (NAV), as a practical expedient were $3 million in six months 2022 and $26 million in both second quarter 2021 and six months 2021. In addition, the Company received $5 million for six months 2022 in dividends related to the same investment.
Net Realized Investment Gains (Losses) | The table below presents the components of net realized investment gains (losses). Realized gains and losses on sales of investments are determined using the specific identification method. Net Realized Investment Gains (Losses)
| Second Quarter |  | Six Months
| 2022 |  | 2021 |  | 2022 |  | 2021
| (in millions)
Gross realized gains on sales available-for-sale securities | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | 2 |
Gross realized losses on sales available-for-sale securities (1) | (21) |  |  | — |  |  | (23) |  |  | (2) |
Net foreign currency gains (losses) | (3) |  |  | 1 |  |  | (3) |  |  | 2 |
Change in credit impairment and intent to sell | (4) |  |  | — |  |  | (9) |  |  | (4) |
Other net realized gains (losses) (2) | — |  |  | 2 |  |  | 10 |  |  | 3 |
Net realized investment gains (losses) | $ | (28) |  |  | $ | 4 |  |  | $ | (25) |  |  | $ | 1 |
____________________ (1) Second quarter 2022 and six months 2022 related primarily to sales of bonds received as part of the March Puerto Rico Resolutions. (2) Net realized gains in six months 2022 related primarily to the sale of one of the Company’s alternative investments.
Rollforward of Credit Losses for Available-for-sale Fixed-Maturity Securities | The following table presents the roll forward of the credit losses on available-for-sale fixed-maturity securities for which the Company has recognized an allowance for credit losses in 2022 and 2021. Roll Forward of Credit Losses for Available-for-Sale Fixed-Maturity Securities
| Second Quarter |  | Six Months
| 2022 |  | 2021 |  | 2022 |  | 2021
| (in millions)
Balance, beginning of period | $ | 47 |  |  | $ | 81 |  |  | $ | 42 |  |  | $ | 78 |
Additions for securities for which credit impairments were not previously recognized | — |  |  | — |  |  | 4 |  |  | 1 |
Additions (reductions) for credit losses on securities for which credit impairments were previously recognized | 4 |  |  | — |  |  | 5 |  |  | 2 |
Reductions for securities sold and other settlements (1) | — |  |  | (42) |  |  | — |  |  | (42) |
Balance, end of period | $ | 51 |  |  | $ | 39 |  |  | $ | 51 |  |  | $ | 39 |
(1) Primarily attributable to the sale of a security with a $42 million credit allowance in second quarter 2021.

X
- Definition Tabular disclosure of allowance for credit loss on investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 30 -Section 50 -Paragraph 9 -URI https://asc.fasb.org/extlink&oid=124269663&loc=SL82922900-210455 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleAllowanceForCreditLossTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of fair value of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale), in unrealized loss position, without allowance for credit loss. Includes beneficial interest in securitized financial asset. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 30 -Section 55 -Paragraph 8 -URI https://asc.fasb.org/extlink&oid=121590138&loc=SL82922954-210456 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126970911&loc=d3e27290-111563 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 30 -Section 50 -Paragraph 4 -URI https://asc.fasb.org/extlink&oid=124269663&loc=SL82922888-210455 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleUnrealizedLossPositionFairValueTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of investment income, including, but not limited to, interest and dividend income and amortization of discount (premium) derived from debt and equity securities. Excludes realized and unrealized gain (loss) on investments. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 220 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.9) -URI https://asc.fasb.org/extlink&oid=126953954&loc=SL114868664-224227 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 944 -SubTopic 220 -Section S99 -Paragraph 1 -Subparagraph (SX 210.7-04.2) -URI https://asc.fasb.org/extlink&oid=120400993&loc=SL114874131-224263 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 220 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.7(a),(b)) -URI https://asc.fasb.org/extlink&oid=126953954&loc=SL114868664-224227 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 220 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.8) -URI https://asc.fasb.org/extlink&oid=126953954&loc=SL114868664-224227 + Details
Name: | us-gaap_InvestmentIncomeTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of maturities of an entity's investments as well as any other information pertinent to the investments. + References No definition available. + Details
Name: | us-gaap_InvestmentsClassifiedByContractualMaturityDateTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of marketable securities. This may consist of investments in certain debt and equity securities, short-term investments and other assets. + References No definition available. + Details
Name: | us-gaap_MarketableSecuritiesTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of realized gains and losses on investments reported in the statement of income. + References No definition available. + Details
Name: | us-gaap_RealizedGainLossOnInvestmentsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the reconciliation of available-for-sale securities from cost basis to fair value. + References No definition available. + Details
Name: | us-gaap_ScheduleOfAvailableForSaleSecuritiesReconciliationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration