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Investments (Tables)

3 Months Ended

Mar. 31, 2024

Investments, Debt and Equity Securities [Abstract]

Marketable Securities

Investment Portfolio

Carrying Value

			As of
			March 31, 2024						December 31, 2023
			(in millions)
Fixed-maturity securities, available-for-sale (1):
Externally managed			$	5,383					$	5,372
Loss Mitigation Securities			464						459
Other			244						476
Fixed-maturity securities, trading - Puerto Rico, CVIs (2)			272						318
Short-term investments			1,649						1,661
Other invested assets:
Equity method investments:
Sound Point			417						429
Alternative investments (3)			451						394
Other			7						6
Total (4)			$	8,887					$	9,115

____________________

(1)    9.5% and 9.2% of fixed-maturity securities, available for sale, were rated BIG or not rated as of March 31, 2024 and December 31, 2023, respectively. BIG rated securities consisted primarily of Loss Mitigation Securities.

(2)    These securities are not rated.

(3)     Excludes certain investments in funds that are consolidated and accounted for as CIVs. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.

(4)     The aggregate carrying value of the Company’s investments in Sound Point, and Sound Point managed funds was $636 million and $631 million as of March 31, 2024 and December 31, 2023, respectively.

Fixed Maturity Securities and Short Term Investments by Security Type

Available-for-Sale Fixed-Maturity Securities by Security Type 

As of March 31, 2024

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						37		%				$	2,418					$	(14)					$	27					$	(100)					$	2,331
U.S. government and agencies						1						60						—						1						(6)						55
Corporate securities (2)						35						2,307						(6)						10						(210)						2,101
Mortgage-backed securities (3):
RMBS						7						490						(22)						3						(69)						402
Commercial mortgage-backed securities (CMBS)						3						202						—						—						(6)						196
Asset-backed securities:
CLOs						7						442						—						1						(4)						439
Other						8						535						(25)						1						(28)						483
Non-U.S. government securities						2						99						—						—						(15)						84
Total available-for-sale fixed-maturity securities						100		%				$	6,553					$	(67)					$	43					$	(438)					$	6,091

Available-for-Sale Fixed-Maturity Securities by Security Type 

As of December 31, 2023 

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
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

____________________

(1)Based on amortized cost.

(2)Includes securities issued by taxable universities and hospitals.

(3)U.S. government-agency obligations were approximately 56% and 42% of mortgage-backed securities as of March 31, 2024 and December 31, 2023, 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 March 31, 2024  

			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			$	603					$	(3)					$	1,250					$	(96)					$	1,853					$	(99)
U.S. government and agencies			7						—						33						(6)						40						(6)
Corporate securities			164						(2)						1,384						(168)						1,548						(170)
Mortgage-backed securities:
RMBS			34						—						138						(11)						172						(11)
CMBS			4						—						127						(6)						131						(6)
Asset-backed securities:
CLOs			9						—						222						(2)						231						(2)
Other			9						—						26						(1)						35						(1)
Non-U.S. government securities			—						—						79						(15)						79						(15)
Total			$	830					$	(5)					$	3,259					$	(305)					$	4,089					$	(310)
Number of securities (1)									319												1,311												1,609

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, 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			$	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

___________________

(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 March 31, 2024 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 March 31, 2024

			Amortized Cost						Estimated Fair Value
			(in millions)
Due within one year			$	289					$	283
Due after one year through five years			1,373						1,305
Due after five years through 10 years			1,605						1,527
Due after 10 years			2,594						2,378
Mortgage-backed securities:
RMBS			490						402
CMBS			202						196
Total			$	6,553					$	6,091

Net Investment Income

Income from Investments

			First Quarter
			2024						2023
			(in millions)
Investment income:
Fixed-maturity securities, available-for-sale:
Externally managed			$	51					$	52
Loss Mitigation Securities			7						9
Puerto Rico, New Recovery Bonds			—						3
Other			4						5
Short-term investments			23						13
Investment income			85						82
Investment expenses			(1)						(1)
Net investment income			$	84					$	81
Fair value gains (losses) on trading securities (1)			$	26					$	(2)
Equity in earnings (losses) of investees:
Sound Point (2)			$	4					$	—
Funds (3)			14						—
Other			6						2
Equity in earnings (losses) of investees			$	24					$	2

____________________

(1)    Fair value gains on trading securities pertaining to securities still held as of March 31, 2024 were $22 million for first quarter 2024. Fair value losses on trading securities pertaining to securities still held as of March 31, 2023 were $2 million for first quarter 2023.

(2)    Beginning in the fourth quarter of 2023, equity in earnings (losses) includes the Company’s share of the earnings of Sound Point, which is reported on a one-quarter lag.

(3)     Sound Point and AHP funds, and, prior to July 1 2023, AssuredIM funds.

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)

			First Quarter
			2024						2023
			(in millions)
Gross realized gains on sales of available-for-sale securities			$	1					$	12
Gross realized losses on sales of available-for-sale securities			(3)						(9)
Change in the allowance for credit losses and intent to sell (1)			10						(5)
Net realized investment gains (losses)			$	8					$	(2)

____________________

(1)    Change in allowance for credit losses for all periods was primarily related to Loss Mitigation Securities.

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

			First Quarter
			2024						2023
			(in millions)
Balance, beginning of period			$	77					$	65
Additions (reductions) for securities for which credit losses were previously recognized			(10)						4
Balance, end of period			$	67					$	69

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