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Investments (Tables) | 6 Months Ended
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Jun. 30, 2023
Investments, Debt and Equity Securities [Abstract] |
Marketable Securities | Investment Portfolio Carrying Value
| As of
| June 30, 2023 |  | December 31, 2022
| (in millions)
Fixed-maturity securities, available-for-sale (1): |  |  |
Externally managed (2) | $ | 5,551 |  |  | $ | 5,824 |
Loss Mitigation Securities | 509 |  |  | 548 |
Puerto Rico, New Recovery Bonds (3) | 36 |  |  | 358 |
Other (4) | 392 |  |  | 389 |
Fixed-maturity securities, trading - Puerto Rico, CVIs (3) | 340 |  |  | 303 |
Short-term investments (5) | 1,650 |  |  | 810 |
Other invested assets: |  |  |
Equity method investments (6) | 130 |  |  | 123 |
Other | 16 |  |  | 10 |
Total | $ | 8,624 |  |  | $ | 8,365 |
____________________ (1) 7.5% and 7.4% of fixed-maturity securities were rated BIG as of June 30, 2023 and December 31, 2022, respectively, consisting primarily of Loss Mitigation Securities. 1.7% and 5.9% were not rated, as of June 30, 2023 and December 31, 2022, respectively. (2) As of June 30, 2023 and December 31, 2022 amounts include $292 million and $305 million, respectively, of CLOs that had been managed by AssuredIM under an investment management agreement until June 20, 2023. (3) These securities are not rated. (4) As of June 30, 2023 and December 31, 2022 amounts include $221 million and $232 million, respectively, of municipal bonds that had been managed by AssuredIM under an investment management agreement until June 20, 2023. (5) Weighted average credit rating of AAA as of both June 30, 2023 and December 31, 2022, 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. (6) Excludes investments in AssuredIM Funds which are consolidated and accounted for as CIVs.
Fixed Maturity Securities and Short Term Investments by Security Type | Available-for-Sale Fixed-Maturity Securities by Security Type As of June 30, 2023
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 |  | 42 | % |  | $ | 2,973 |  |  | $ | (14) |  |  | $ | 27 |  |  | $ | (110) |  |  | $ | 2,876 |  |  | AA-
U.S. government and agencies |  | 1 |  |  | 69 |  |  | — |  |  | 1 |  |  | (6) |  |  | 64 |  |  | AA+
Corporate securities (3) |  | 33 |  |  | 2,330 |  |  | (6) |  |  | 3 |  |  | (261) |  |  | 2,066 |  |  | A
Mortgage-backed securities (4): |  |  |  |  |  |  |  |  |  |  |  |  |  |
RMBS |  | 6 |  |  | 440 |  |  | (20) |  |  | 3 |  |  | (71) |  |  | 352 |  |  | BBB+
Commercial mortgage-backed securities (CMBS) |  | 3 |  |  | 214 |  |  | — |  |  | — |  |  | (10) |  |  | 204 |  |  | AAA
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
CLOs |  | 7 |  |  | 468 |  |  | — |  |  | — |  |  | (14) |  |  | 454 |  |  | A+
Other |  | 6 |  |  | 432 |  |  | (39) |  |  | 17 |  |  | (36) |  |  | 374 |  |  | CCC+
Non-U.S. government securities |  | 2 |  |  | 118 |  |  | — |  |  | — |  |  | (20) |  |  | 98 |  |  | AA-
Total available-for-sale fixed-maturity securities |  | 100 | % |  | $ | 7,044 |  |  | $ | (79) |  |  | $ | 51 |  |  | $ | (528) |  |  | $ | 6,488 |  |  | A
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
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
____________________ (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 38% and 30% of mortgage-backed securities as of June 30, 2023 and December 31, 2022, respectively, based on fair value.
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, 2023
| 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 | $ | 1,357 |  |  | $ | (18) |  |  | $ | 622 |  |  | $ | (89) |  |  | $ | 1,979 |  |  | $ | (107) |
U.S. government and agencies | 9 |  |  | — |  |  | 32 |  |  | (6) |  |  | 41 |  |  | (6) |
Corporate securities | 473 |  |  | (13) |  |  | 1,253 |  |  | (202) |  |  | 1,726 |  |  | (215) |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |
RMBS | 127 |  |  | (6) |  |  | 56 |  |  | (5) |  |  | 183 |  |  | (11) |
CMBS | 21 |  |  | (1) |  |  | 183 |  |  | (9) |  |  | 204 |  |  | (10) |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |
CLOs | 1 |  |  | — |  |  | 415 |  |  | (14) |  |  | 416 |  |  | (14) |
Other | 10 |  |  | — |  |  | 18 |  |  | (2) |  |  | 28 |  |  | (2) |
Non-U.S. government securities | — |  |  | — |  |  | 94 |  |  | (20) |  |  | 94 |  |  | (20) |
Total | $ | 1,998 |  |  | $ | (38) |  |  | $ | 2,673 |  |  | $ | (347) |  |  | $ | 4,671 |  |  | $ | (385) |
Number of securities (1) |  |  | 778 |  |  |  |  | 1,079 |  |  |  |  | 1,830 |
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 |
___________________ (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, 2023 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, 2023
| Amortized Cost |  | Estimated Fair Value
| (in millions)
Due within one year | $ | 286 |  |  | $ | 280 |
Due after one year through five years | 1,537 |  |  | 1,430 |
Due after five years through 10 years | 1,696 |  |  | 1,597 |
Due after 10 years | 2,871 |  |  | 2,625 |
Mortgage-backed securities: |  |  |
RMBS | 440 |  |  | 352 |
CMBS | 214 |  |  | 204 |
Total | $ | 7,044 |  |  | $ | 6,488 |
New Recovery Bonds in FG VIEs’ Assets Available-for-Sale Distribution by Contractual Maturity As of June 30, 2023
| Amortized Cost |  | Estimated Fair Value
| (in millions)
Due within one year | $ | 1 |  |  | $ | 1 |
Due after one year through five years | 6 |  |  | 6 |
Due after five years through 10 years | 42 |  |  | 44 |
Due after 10 years | 156 |  |  | 167 |
Total | $ | 205 |  |  | $ | 218 |
Net Investment Income | Income from Investments
| Second Quarter |  | Six Months
| 2023 |  | 2022 |  | 2023 |  | 2022
| (in millions)
Investment income: |  |  |  |  |  |  |
Fixed-maturity securities, available-for-sale: |  |  |  |  |  |  |
Externally managed (1) | $ | 53 |  |  | $ | 50 |  |  | $ | 105 |  |  | $ | 100 |
Loss Mitigation Securities | 12 |  |  | 6 |  |  | 22 |  |  | 15 |
Puerto Rico, New Recovery Bonds | 1 |  |  | 3 |  |  | 4 |  |  | 4 |
Other (2) | 4 |  |  | 4 |  |  | 7 |  |  | 7 |
Short-term investments | 18 |  |  | 1 |  |  | 32 |  |  | 1 |
Other invested assets | 2 |  |  | — |  |  | 2 |  |  | — |
Investment income | 90 |  |  | 64 |  |  | 172 |  |  | 127 |
Investment expenses | (1) |  |  | (2) |  |  | (2) |  |  | (3) |
Net investment income | $ | 89 |  |  | $ | 62 |  |  | $ | 170 |  |  | $ | 124 |
Fair value gains (losses) on trading securities (3) | $ | 40 |  |  | $ | (18) |  |  | $ | 38 |  |  | $ | (22) |
Equity in earnings (losses) of investees (4) | $ | 5 |  |  | $ | — |  |  | $ | 7 |  |  | $ | (11) |
____________________ (1) Amounts for 2022 include income on the portion of the CLO portfolio that was previously managed by AssuredIM. (2) Amounts for 2022 include income on the portion of the municipal bond portfolio that was previously managed by AssuredIM. (3) Fair value gains on trading securities pertaining to securities still held as of June 30, 2023 were $40 million for second quarter 2023 and $38 million for six months 2023, respectively. 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, respectively. (4) Fair value gains (losses) on investments where the fair value option (FVO) was elected utilizing the NAV as a practical expedient were $1 million in second quarter 2023, $2 million in six months 2023, and $3 million in six months 2022.
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
| 2023 |  | 2022 |  | 2023 |  | 2022
| (in millions)
Gross realized gains on sales of available-for-sale securities (1) | $ | 7 |  |  | $ | — |  |  | $ | 19 |  |  | $ | — |
Gross realized losses on sales of available-for-sale securities (1) | (6) |  |  | (21) |  |  | (15) |  |  | (23) |
Net foreign currency gains (losses) | — |  |  | (3) |  |  | — |  |  | (3) |
Change in allowance for credit losses and intent to sell | (10) |  |  | (4) |  |  | (15) |  |  | (9) |
Other net realized gains (losses) | — |  |  | — |  |  | — |  |  | 10 |
Net realized investment gains (losses) | $ | (9) |  |  | $ | (28) |  |  | $ | (11) |  |  | $ | (25) |
____________________ (1) Gross realized gains and losses on sales in all periods related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions.
Rollforward of Credit Losses for Available-for-sale Fixed-Maturity Securities | 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
| Second Quarter |  | Six Months
| 2023 |  | 2022 |  | 2023 |  | 2022
| (in millions)
Balance, beginning of period | $ | 69 |  |  | $ | 47 |  |  | $ | 65 |  |  | $ | 42 |
Additions for securities for which credit losses were not previously recognized | — |  |  | — |  |  | — |  |  | 4 |
Additions (reductions) for securities for which credit losses were previously recognized | 10 |  |  | 4 |  |  | 14 |  |  | 5 |
Balance, end of period | $ | 79 |  |  | $ | 51 |  |  | $ | 79 |  |  | $ | 51 |

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