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Investments and Cash (Tables) | 12 Months Ended
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Dec. 31, 2022
Investments, Debt and Equity Securities [Abstract] |
Marketable Securities | Investment Portfolio Carrying Value
| As of December 31,
| 2022 |  | 2021
| (in millions)
Fixed-maturity securities, available-for-sale (1): |  |  |
Externally managed | $ | 5,519 |  |  | $ | 6,843 |
Loss Mitigation Securities and other | 705 |  |  | 818 |
AssuredIM managed | 537 |  |  | 541 |
Fixed-maturity securities - Puerto Rico New Recovery Bonds (2) | 358 |  |  | — |
Fixed-maturity securities, trading - Puerto Rico CIVs (2) | 303 |  |  | — |
Short-term investments (3) | 810 |  |  | 1,225 |
Other invested assets: |  |  |
Equity method investments | 123 |  |  | 169 |
Other | 10 |  |  | 12 |
Total | $ | 8,365 |  |  | $ | 9,608 |
____________________ (1) 7.4% and 7.5% of fixed-maturity securities were rated BIG as of December 31, 2022 and December 31, 2021, respectively, consisting primarily of Loss Mitigation Securities. 5.9% and 0.9% were not rated, as of December 31, 2022 and December 31, 2021, respectively. (2) These securities are not rated. (3) Weighted average credit rating of AAA as of both December 31, 2022 and December 31, 2021, based on the lower of the Moody’s Investors Service, Inc. (Moody’s) and S&P classifications.
Fixed Maturity Securities and Short Term Investments by Security Type | Available-for-Sale Fixed-Maturity Securities by Security Type As of December 31, 2022
Security Type |  | Percent of Total (1) |  | Amortized Cost |  | Allowance for Credit Losses |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Weighted Average Credit Rating (2)
|  | (dollars in millions)
Obligations of state and political subdivisions |  | 45 | % |  | $ | 3,509 |  |  | $ | (14) |  |  | $ | 37 |  |  | $ | (138) |  |  | $ | 3,394 |  |  | A
U.S. government and agencies |  | 2 |  |  | 118 |  |  | — |  |  | 1 |  |  | (8) |  |  | 111 |  |  | AA+
Corporate securities (3) |  | 31 |  |  | 2,387 |  |  | (6) |  |  | 2 |  |  | (299) |  |  | 2,084 |  |  | A
Mortgage-backed securities (4): |  |  |  |  |  |  |  |  |  |  |  |  |  |
RMBS |  | 5 |  |  | 418 |  |  | (19) |  |  | 3 |  |  | (62) |  |  | 340 |  |  | BBB
Commercial mortgage-backed securities (CMBS) |  | 4 |  |  | 282 |  |  | — |  |  | — |  |  | (11) |  |  | 271 |  |  | AAA
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
CLOs |  | 6 |  |  | 449 |  |  | — |  |  | — |  |  | (21) |  |  | 428 |  |  | A+
Other |  | 5 |  |  | 423 |  |  | (26) |  |  | 22 |  |  | (26) |  |  | 393 |  |  | CCC+
Non-U.S. government securities |  | 2 |  |  | 121 |  |  | — |  |  | — |  |  | (23) |  |  | 98 |  |  | AA-
Total available-for-sale fixed-maturity securities |  | 100 | % |  | $ | 7,707 |  |  | $ | (65) |  |  | $ | 65 |  |  | $ | (588) |  |  | $ | 7,119 |  |  | 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 |  | 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 |  |  | A
Mortgage-backed securities (4): |  |  |  |  |  |  |  |  |  |  |  |  |  |
RMBS |  | 6 |  |  | 454 |  |  | (17) |  |  | 24 |  |  | (24) |  |  | 437 |  |  | BBB+
CMBS |  | 4 |  |  | 332 |  |  | — |  |  | 14 |  |  | — |  |  | 346 |  |  | AAA
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
CLOs |  | 6 |  |  | 457 |  |  | — |  |  | 1 |  |  | — |  |  | 458 |  |  | AA-
Other |  | 5 |  |  | 420 |  |  | (12) |  |  | 26 |  |  | (2) |  |  | 432 |  |  | 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 |  |  | A+
____________________ (1)Based on amortized cost. (2) Ratings represent the lower of the Moody’s and S&P classifications, except for Loss Mitigation Securities 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 2022 Puerto Rico Resolutions are not rated. (3) Includes securities issued by taxable universities and hospitals. (4) U.S. government-agency obligations were approximately 30% of mortgage-backed securities as of December 31, 2022 and 31% as of December 31, 2021, based on fair value. 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, 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 | $ | 1,763 |  |  | $ | (79) |  |  | $ | 163 |  |  | $ | (56) |  |  | $ | 1,926 |  |  | $ | (135) |
U.S. government and agencies | 32 |  |  | — |  |  | 52 |  |  | (8) |  |  | 84 |  |  | (8) |
Corporate securities | 1,276 |  |  | (95) |  |  | 519 |  |  | (147) |  |  | 1,795 |  |  | (242) |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |
RMBS | 147 |  |  | (9) |  |  | 3 |  |  | (1) |  |  | 150 |  |  | (10) |
CMBS | 270 |  |  | (11) |  |  | — |  |  | — |  |  | 270 |  |  | (11) |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |
CLOs | 171 |  |  | (7) |  |  | 250 |  |  | (14) |  |  | 421 |  |  | (21) |
Other | 27 |  |  | (2) |  |  | — |  |  | — |  |  | 27 |  |  | (2) |
Non-U.S. government securities | 65 |  |  | (10) |  |  | 30 |  |  | (13) |  |  | 95 |  |  | (23) |
Total | $ | 3,751 |  |  | $ | (213) |  |  | $ | 1,017 |  |  | $ | (239) |  |  | $ | 4,768 |  |  | $ | (452) |
Number of securities (1) |  |  | 1,340 |  |  |  |  | 466 |  |  |  |  | 1,776 |
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.
Distribution of Fixed Maturity Securities by Contractual Maturity | Distribution of Available-for-Sale Fixed-Maturity Securities by Contractual Maturity As of December 31, 2022
| Amortized Cost |  | Estimated Fair Value
| (in millions)
Due within one year | $ | 290 |  |  | $ | 282 |
Due after one year through five years | 1,713 |  |  | 1,585 |
Due after five years through 10 years | 1,778 |  |  | 1,667 |
Due after 10 years | 3,226 |  |  | 2,974 |
Mortgage-backed securities: |  |  |
RMBS | 418 |  |  | 340 |
CMBS | 282 |  |  | 271 |
Total | $ | 7,707 |  |  | $ | 7,119 |
New Recovery Bonds in FG VIEs’ Assets Distribution by Contractual Maturity As of December 31, 2022
| Amortized Cost |  | Estimated Fair Value
| (in millions)
Due within one year | $ | 1 |  |  | $ | 1 |
Due after one year through five years | 6 |  |  | 5 |
Due after five years through 10 years | 41 |  |  | 41 |
Due after 10 years | 156 |  |  | 157 |
Total | $ | 204 |  |  | $ | 204 |
Net Investment Income | Income from Investments
| Year Ended December 31,
| 2022 |  | 2021 |  | 2020
| (in millions)
Investment income: |  |  |  |  |
Externally managed | $ | 189 |  |  | $ | 204 |  |  | $ | 231 |
Loss Mitigation Securities and other | 63 |  |  | 55 |  |  | 65 |
Managed by AssuredIM (1) | 22 |  |  | 16 |  |  | 8 |
Investment income | 274 |  |  | 275 |  |  | 304 |
Investment expenses | (5) |  |  | (6) |  |  | (7) |
Net investment income | $ | 269 |  |  | $ | 269 |  |  | $ | 297 |
Fair value gains (losses) on trading securities (2) | $ | (34) |  |  | $ | — |  |  | $ | — |
Equity in earnings (losses) of investees | $ | (39) |  |  | $ | 94 |  |  | $ | 27 |
____________________ (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 December 31, 2022 were $29 million for 2022.
Net Realized Investment Gains (Losses) | The table below presents the components of net realized investment gains (losses). Net Realized Investment Gains (Losses)
| Year Ended December 31,
| 2022 |  | 2021 |  | 2020
| (in millions)
Gross realized gains on sales of available-for-sale securities | $ | 3 |  |  | $ | 20 |  |  | $ | 27 |
Gross realized losses on sales of available-for-sale securities (1) | (45) |  |  | (5) |  |  | (5) |
Net foreign currency gains (losses) | (4) |  |  | 2 |  |  | 6 |
Change in the allowance for credit losses and intent to sell (2) | (21) |  |  | (7) |  |  | (17) |
Other net realized gains (losses) (3) | 11 |  |  | 5 |  |  | 7 |
Net realized investment gains (losses) | $ | (56) |  |  | $ | 15 |  |  | $ | 18 |
____________________ (1)2022 related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions. (2) Change in allowance for credit losses in 2022 and 2021 was primarily due to Loss Mitigation Securities. COVID-19 pandemic restrictions contributed to the increase in the allowance for credit losses in 2020. (3) Net realized gains in 2022 related primarily to the sale of one of the Company’s alternative investments.
Debt Securities, Available-for-Sale, Allowance for Credit Loss | The following table presents the roll forward of allowance for the credit losses on available-for-sale fixed-maturity securities. Roll Forward of Allowance for Credit Losses for Available-for-Sale Fixed-Maturity Securities
| Year Ended December 31,
| 2022 |  | 2021 |  | 2020
| (in millions)
Balance, beginning of period | $ | 42 |  |  | $ | 78 |  |  | $ | — |
Effect of adoption of accounting guidance on credit losses on January 1, 2020 | — |  |  | — |  |  | 62 |
Additions for securities for which credit losses were not previously recognized | 7 |  |  | 4 |  |  | 1 |
Additions for purchases of securities accounted for as purchased financial assets with credit deterioration | 2 |  |  | — |  |  | — |
Additions (reductions) for securities for which credit losses were previously recognized | 14 |  |  | 2 |  |  | 15 |
Reductions for securities sold and other settlements | — |  |  | (42) |  |  | — |
Balance, end of period | $ | 65 |  |  | $ | 42 |  |  | $ | 78 |
Equity in Earnings of Investees | Equity in Earnings (Losses) of Investees
| Year Ended December 31,
| 2022 |  | 2021 |  | 2020
| (in millions)
AssuredIM Funds | $ | 2 |  |  | $ | 30 |  |  | $ | 14 |
Other | (41) |  |  | 64 |  |  | 13 |
Total equity in earnings (losses) of investees (1) | $ | (39) |  |  | $ | 94 |  |  | $ | 27 |
____________________ (1) Includes $36 million, and $14 million for the year ended December 31, 2021 and 2020, respectively, related to fair value gains on investments at FVO using net asset value (NAV), as a practical expedient.
Summary of Financial Information for Equity Method Investments | The table below presents summarized financial information for equity method investments that meet, in aggregate, the requirements for reporting summarized disclosures. Amounts in the table below represent amounts reported in the consolidated financial statements as of December 31, 2022 and 2021, and for the years ended December 31, 2022, 2021 and 2020. The financial statements for the majority of these equity method investments are reported on a lag. Aggregate Equity Investments’ Summarized Balance Sheet Data
| As of December, 31
| 2022 |  | 2021
| (in millions)
Total assets | $ | 697 |  |  | $ | 1,543 |
Total liabilities | 76 |  |  | 412 |
Total equity | 621 |  |  | 1,131 |
Aggregate Equity Investments’ Summarized Statement of Operations Data
| Year Ended December 31,
| 2022 |  | 2021 |  | 2020
| (in millions)
Total revenues | $ | (315) |  |  | $ | 548 |  |  | $ | 225 |
Total expenses | 49 |  |  | 64 |  |  | 84 |
Net income (loss) | (364) |  |  | 484 |  |  | 141 |

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