All fixed-maturity securities are reported on a trade date-basis, measured at fair value and classified as either trading or available-for-sale. Changes in fair value on trading fixed-maturity securities are reported as a component of net income, while unrealized gains and losses on available-for-sale fixed-maturity securities are reported in accumulated other comprehensive income (AOCI). Loss Mitigation Securities, which are a component of available-for-sale fixed-maturity securities, are accounted for based on their underlying investment type, excluding the effects of the Company’s insurance.

Other invested assets primarily consist of equity method investments; the Sound Point investment being the most significant. The Company reports its interest in the earnings of equity method investments in “equity in earnings (losses) of investees” in the consolidated statement of operations. Most equity method investments are reported on a one-quarter lag. At the time of acquisition, the difference between the Company’s cost of an equity method investment (fair value) and the Company’s proportionate share of the carrying value of the investee’s net assets is referred to as the basis difference. The basis difference includes amounts attributed to finite-lived intangible assets, which are amortized over the assets’ remaining useful life, and is reported in “equity in earnings (losses) of investees.”

The Company classifies distributions received from equity method investments using the cumulative earnings approach in the consolidated statements of cash flows. Under the cumulative earnings approach, distributions received up to the amount of cumulative equity in earnings recognized are treated as returns on investment within operating cash flows, and those in excess of that amount are treated as returns of investment within investing cash flows.

Sound Point managed funds (and prior to July 1, 2023, AssuredIM managed funds), in which the Company invests (primarily through its investment subsidiary, AGAS), and where the Company has been deemed to be the primary beneficiary, are not reported in “investments” on the consolidated balance sheets, but rather, reported in “assets of consolidated investment vehicles” and “liabilities of consolidated investment vehicles,” with the portion not owned by the Company presented as nonredeemable noncontrolling interests (NCI). See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for further information regarding the CIVs.

Net investment income primarily includes the income earned on fixed-maturity securities and short-term investments, including amortization of premiums and accretion of discounts. For mortgage-backed securities and any other securities for which there is prepayment risk, prepayment assumptions are evaluated quarterly and revised as necessary. For securities other than purchased credit deteriorated (PCD) securities, any necessary adjustments due to changes in effective yields and expected maturities are recognized in net investment income using the retrospective method. PCD securities are defined as financial assets that, as of the date of acquisition, have experienced a more-than-insignificant deterioration in credit quality since origination.

Realized gains and losses on sales of available-for-sale fixed-maturity securities and credit losses are reported in the consolidated statement of operations. Net realized investment gains (losses) include sales of investments, which are determined using the specific identification method, reductions to amortized cost of available-for-sale investments that have been written down due to the Company’s intent to sell them or it being more-likely-than-not that the Company will be required to sell them, and the change in allowance for credit losses (including accretion) as discussed below.

For all fixed-maturity securities that were originally purchased with credit deterioration, accrued interest is not separately presented, but rather is a component of the amortized cost of the instrument. For all other available-for-sale securities, a separate amount for accrued interest is reported in “other assets”.

For an available-for-sale fixed-maturity security that has experienced a decline in fair value below its amortized cost due to credit related factors, an allowance is established for the difference between the estimated recoverable value and amortized cost with a corresponding charge to net realized investment gains (losses) in the consolidated statement of operations. The estimated recoverable value is the present value of cash flows expected to be collected. The allowance for credit losses is limited to the difference between amortized cost and fair value. Any difference between the security’s fair value and its amortized cost that is not associated with credit related factors is presented as a component of AOCI.

When estimating future cash flows for fixed-maturity securities, management considers the historical performance of underlying assets and available market information as well as bond-specific considerations. In addition, the process of estimating future cash flows includes, but is not limited to, the following critical inputs, which vary by security type:

The allowance for credit losses and the corresponding charge to net realized investment gains (losses) may be reversed if conditions change. However, the allowance for credit losses is never reduced below zero. When the Company determines that all or a portion of a fixed-maturity security is uncollectible, the uncollectible amortized cost amount is written off with a corresponding reduction to the allowance for credit losses. If cash flows that were previously written off are collected, the recovery is recognized in net realized investment gains (losses).

An allowance for credit losses is established upon initial recognition for available-for-sale PCD securities. On the date of acquisition, the amortized cost of PCD securities is equal to the purchase price plus the allowance for credit losses, with no credit loss expense recognized in the consolidated statements of operations. After the date of acquisition, deterioration (or improvement) in credit will result in an increase (or decrease) to the allowance and an offsetting credit loss expense (or benefit). To measure this, the Company performs a discounted cash flow analysis. For PCD securities that are also beneficial interests, favorable or adverse changes in expected cash flows are recognized as a change in the allowance for credit losses. Changes in expected cash flows that are not captured through the allowance are reflected as a prospective adjustment to the security’s yield within net investment income.

The Company has elected to not measure credit losses on its accrued interest receivable and instead write off accrued interest when it is six months past due or on the date it is deemed uncollectible, if earlier. All write-offs of accrued interest are recorded as a reduction to net investment income in the consolidated statements of operations.

For impaired securities that (i) the Company intends to sell, or (ii) it is more-likely-than-not that the Company will be required to sell before recovering its amortized cost, the amortized cost is written down to fair value with a corresponding charge to net realized investment gains (losses). No allowance is established in these situations and any previously recorded allowance is reversed. The new cost basis is not adjusted for subsequent increases in estimated fair value.

The Company monitors its equity method investments for indicators of other-than-temporary declines in fair value on an ongoing basis. If such a decline occurs, an impairment charge is recorded, measured as the difference between the carrying value and the estimated fair value.

The majority of the investment portfolio comprises investment grade fixed-maturity securities managed by three outside managers. The Company has established investment guidelines for these investment managers regarding credit quality, exposure to a particular sector and exposure to a particular obligor within a sector.

The remainder of the investment portfolio primarily consists of (i) Loss Mitigation Securities; (ii) CVIs and New Recovery Bonds received in connection with the 2022 Puerto Rico Resolutions; (iii) equity method investments; and (iv) short-term investments. Equity method investments primarily consist of the investment in Sound Point and fund investments across a variety of strategies.


	As of December 31,
	2023		2022
	(in millions)
Fixed-maturity securities, available-for-sale (1):
Externally managed (2)	$	5,372	$	5,824
Loss Mitigation Securities	459		506
Puerto Rico New Recovery Bonds (3) (6)	14		358
Other (4)	462		431
Fixed-maturity securities, trading - Puerto Rico CVIs (3)	318		303
Short-term investments	1,661		810
Other invested assets:
Equity method investments:
Sound Point	429		—
Alternative investments (5)	394		123
Other	6		10
Total	$	9,115	$	8,365

(1) 7.8% and 7.4% of fixed-maturity securities were rated BIG as of December 31, 2023 and December 31, 2022, respectively, consisting primarily of Loss Mitigation Securities. 1.4% and 5.9% were not rated, as of December 31, 2023 and December 31, 2022, respectively.

(2) As of December 31, 2023 and December 31, 2022, amounts include $318 million and $305 million, respectively, of CLOs that had been managed internally by AssuredIM under an investment management agreement until such CLOs transitioned to a third-party manager in June 2023.

(4) As of December 31, 2023 and December 31, 2022, amounts include $223 million and $232 million, respectively, of investment grade municipal bonds that had been managed by AssuredIM under an investment management agreement until June 2023. In connection with the Sound Point Transaction, the Company retained management of the strategy internally. As of December 31, 2023, the strategy was managed by the U.S. Insurance Subsidiaries for their own accounts. In February 2024, responsibility for the Company’s investment grade municipal securities strategy was transitioned to a third-party asset manager.

Upon closing of the Sound Point Transaction and the AHP Transaction in July 2023, the Company has increased the aggregate amount it has agreed to invest in alternative investments to $1.5 billion, including the $1 billion in Sound Point managed investments, subject to regulatory approval. The fair value of alternative investments as of December 31, 2023 was

$739 million. The Company had $779 million in unfunded commitments to alternative investments (of which $363 million is committed to specific funds). See Note 1, Business and Basis of Presentation for a description of the Sound Point Transaction.

Of the $1.5 billion mentioned above, the U.S. Insurance Subsidiaries through their jointly owned investment subsidiary, AGAS, are authorized to invest up to $750 million plus previously distributed gains of $108 million for a total of $858 million as of December 31, 2023. As of December 31, 2023, AGAS commitments to Sound Point and AHP funds were $775 million (of which $534 million was funded with a net asset value (NAV) of $571 million). This capital was committed to several funds, each dedicated to a single strategy, including CLOs, asset-based finance and healthcare structured capital. As of December 31, 2023, three of the eight funds in which AGAS invests are accounted for as CIVs. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.

As of December 31, 2023, the aggregate carrying value of Company’s investments in Sound Point and Sound Point managed funds was $631 million, consisting of the Company’s equity method investments and certain fixed-maturity securities.

Accrued investment income, which is reported in “other assets,” was $71 million as of both December 31, 2023 and December 31, 2022. In 2023, 2022 and 2021, the Company did not write off any accrued investment income.


Security Type	Percent of Total (1)		Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
	(dollars in millions)
Obligations of state and political subdivisions	41	%	$	2,733	$	(13)	$	33	$	(92)	$	2,661
U.S. government and agencies	1		65		—		1		(6)		60
Corporate securities (2)	34		2,327		(6)		17		(197)		2,141
Mortgage-backed securities (3):
RMBS	6		428		(21)		3		(68)		342
Commercial mortgage-backed securities (CMBS)	2		157		—		—		(6)		151
Asset-backed securities:
CLOs	7		456		—		1		(7)		450
Other	7		465		(37)		—		(26)		402
Non-U.S. government securities	2		115		—		—		(15)		100
Total available-for-sale fixed-maturity securities	100	%	$	6,746	$	(77)	$	55	$	(417)	$	6,307


Security Type	Percent of Total (1)		Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
	(dollars in millions)
Obligations of state and political subdivisions	45	%	$	3,509	$	(14)	$	37	$	(138)	$	3,394
U.S. government and agencies	2		118		—		1		(8)		111
Corporate securities (2)	31		2,387		(6)		2		(299)		2,084
Mortgage-backed securities (3):
RMBS	5		418		(19)		3		(62)		340
CMBS	4		282		—		—		(11)		271
Asset-backed securities:
CLOs	6		449		—		—		(21)		428
Other	5		423		(26)		22		(26)		393
Non-U.S. government securities	2		121		—		—		(23)		98
Total available-for-sale fixed-maturity securities	100	%	$	7,707	$	(65)	$	65	$	(588)	$	7,119


	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	$	641	$	(4)	$	931	$	(87)	$	1,572	$	(91)
U.S. government and agencies	—		—		33		(6)		33		(6)
Corporate securities	72		(1)		1,426		(152)		1,498		(153)
Mortgage-backed securities:
RMBS	27		(1)		124		(8)		151		(9)
CMBS	3		—		148		(6)		151		(6)
Asset-backed securities:
CLOs	22		(1)		379		(6)		401		(7)
Other	1		—		26		(1)		27		(1)
Non-U.S. government securities	—		—		95		(15)		95		(15)
Total	$	766	$	(7)	$	3,162	$	(281)	$	3,928	$	(288)
Number of securities (1)			274				1,266				1,525


	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.

The Company considered the credit quality, cash flows, interest rate movements, ability to hold a security to recovery and intent to sell a security in determining whether a security had a credit loss. The Company has determined that the unrealized losses recorded as of December 31, 2023 and December 31, 2022 were primarily related to higher interest rates rather than credit quality. As of December 31, 2023, the Company did not intend to and was not required to sell investments in an unrealized loss position prior to expected recovery in value. As of December 31, 2023, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, 409 securities had unrealized losses in excess of 10% of their carrying value, whereas as of December 31, 2022, 567 securities had unrealized losses in excess of 10% of their carrying value. The total unrealized loss for these securities was $200 million as of December 31, 2023 and $329 million as of December 31, 2022.

The amortized cost and estimated fair value of available-for-sale fixed-maturity securities by contractual maturity as of December 31, 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.


	Amortized Cost		Estimated Fair Value
	(in millions)
Due within one year	$	331	$	325
Due after one year through five years	1,427		1,368
Due after five years through 10 years	1,741		1,675
Due after 10 years	2,662		2,446
Mortgage-backed securities:
RMBS	428		342
CMBS	157		151
Total	$	6,746	$	6,307

Based on fair value, fixed-maturity securities, short-term investments and cash that are either held in trust for the benefit of third-party ceding insurers in accordance with statutory requirements, placed on deposit to fulfill state licensing requirements, or otherwise pledged or restricted totaled $234 million as of December 31, 2023 and $222 million as of December 31, 2022. The investment portfolio also contains securities that are held in trust by certain AGL subsidiaries or are otherwise restricted for the benefit of other AGL subsidiaries in accordance with statutory and regulatory requirements with a fair value of $1,154 million and $1,169 million as of December 31, 2023 and December 31, 2022, respectively.


	Year Ended December 31,
	2023		2022		2021
	(in millions)
Investment income:
Fixed-maturity securities, available-for-sale:
Externally managed (1)	$	207	$	201	$	212
Loss Mitigation Securities	55		31		38
Puerto Rico, New Recovery Bonds	12		7		—
Other (2)	20		19		24
Short-term investments	73		15		—
Other invested assets	3		1		1
Investment income	370		274		275
Investment expenses	(5)		(5)		(6)
Net investment income	$	365	$	269	$	269

Fair value gains (losses) on trading securities (3)	$	74	$	(34)	$	—

Equity in earnings (losses) of investees
Sound Point (5)	$	5	$	—	$	—
Funds (4)	15		2		30
Other	8		(41)		64
Equity in earnings (losses) of investees	$	28	$	(39)	$	94

(3) Fair value gains on trading securities pertaining to securities still held as of December 31, 2023 were $31 million for 2023. Fair value losses on trading securities pertaining to securities still held as of December 31, 2022 were $29 million for 2022.

As of December 31, 2023, the carrying value of the Company’s investment in Sound Point was $429 million. The basis difference relates principally to goodwill and indefinite-lived intangible assets of $243 million, and finite-lived intangible assets of $37 million which had an average estimated term of 6.4 years.

Distributions received from equity method investments that are presented within operating activities in the consolidated statements of cash flows were $7 million, $10 million and $15 million for the years ended December 31, 2023, 2022 and 2021, respectively.

The table below presents summarized financial information for equity method investments that meet, in aggregate, the requirements for reporting summarized disclosures. Such requirements were met in 2021, and the information for 2023 and 2022 is presented for comparative purposes.


	As of December, 31
	2023		2022
	(in millions)
Investments	$	1,735	$	444
Assets of consolidated funds and CLOs	1,449		—
Other assets	792		253
Total assets	$	3,976	$	697

Liabilities of consolidated funds and CLOs	$	1,342	$	—
Other liabilities	365		76
Total liabilities	$	1,707	$	76

Equity attributable to investees	$	2,234	$	621
Noncontrolling interest	35		—
Total equity	$	2,269	$	621


	Year Ended December 31,
	2023		2022		2021
	(in millions)
Fee income	$	57	$	15	$	29
Net gains (losses) on investments and investment income	129		(365)		456
Income of consolidated funds and CLOs	37		—		—
Other income	39		35		63
Total revenues	$	262	$	(315)	$	548

Expenses of consolidated funds and CLOs	$	25	$	—	$	—
Other expenses	108		49		64
Total expenses	$	133	$	49	$	64

Net income (loss)	$	129	$	(364)	$	484
Net income (loss) attributable to investees	$	127	$	(364)	$	484


	Year Ended December 31,
	2023		2022		2021
	(in millions)
Gross realized gains on sales of available-for-sale securities (1)	$	21	$	3	$	20
Gross realized losses on sales of available-for-sale securities (2)	(19)		(45)		(5)
Net foreign currency gains (losses)	(1)		(4)		2
Change in the allowance for credit losses and intent to sell (3)	(14)		(21)		(7)
Other net realized gains (losses)	(1)		11		5
Net realized investment gains (losses)	$	(14)	$	(56)	$	15


	Year Ended December 31,
	2023		2022		2021
	(in millions)
Balance, beginning of period	$	65	$	42	$	78
Additions for securities for which credit losses were not previously recognized	—		7		4
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	12		14		2
Reductions for securities sold and other settlements	—		—		(42)
Balance, end of period	$	77	$	65	$	42

During 2022, the Company purchased a Loss Mitigation Security with a fair value of $22 million that was accounted for as a PCD security. At acquisition, this security had unpaid principal on remaining collateral of $31 million, an allowance for credit losses of $2 million, and a non-credit related discount of $7 million. The Company did not purchase any other securities with credit deterioration during the periods presented. Most of the Company’s securities with credit deterioration are Loss Mitigation Securities.