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AVAILABLE-FOR-SALE FIXED MATURITY SECURITIES

6 Months Ended

Jun. 30, 2024

Investments, Debt and Equity Securities [Abstract]

AVAILABLE-FOR-SALE FIXED MATURITY SECURITIES

AVAILABLE-FOR-SALE FIXED MATURITY SECURITIES

The amortized cost and fair value of available-for-sale fixed maturity securities are shown below:

AS OF JUN. 30, 2024 US$ MILLIONS						Amortized Cost						Gross Unrealized Gains						Gross Unrealized Losses						Allowance for Credit Losses						Fair Value
U.S. treasury and government						$	436					$	1					$	(39)					$	—					$	398
U.S. states and political subdivisions						3,324						85						(25)						—						3,384
Foreign governments						1,002						18						(30)						—						990
Corporate debt securities						36,508						537						(782)						(35)						36,228
Residential mortgage-backed securities						1,292						25						(8)						—						1,309
Commercial mortgage-backed securities						3,450						56						(37)						(6)						3,463
Collateralized debt securities						6,796						55						(24)						(2)						6,825
Total fixed maturity securities						$	52,808					$	777					$	(945)					$	(43)					$	52,597

AS OF DEC. 31, 2023 US$ MILLIONS						Amortized Cost						Gross Unrealized Gains						Gross Unrealized Losses						Allowance for Credit Losses						Fair Value
U.S. treasury and government						$	529					$	4					$	(36)					$	—					$	497
U.S. states and political subdivisions						684						3						(17)						—						670
Foreign governments						603						27						(16)						—						614
Corporate debt securities						15,097						121						(607)						(19)						14,592
Residential mortgage-backed securities						367						14						(4)						(1)						376
Commercial mortgage-backed securities						750						13						(31)						(6)						726
Collateralized debt securities						1,311						19						(24)						(4)						1,302
Total fixed maturity securities						$	19,341					$	201					$	(735)					$	(30)					$	18,777

The amortized cost and fair value, by contractual maturity, of available-for-sale fixed maturity securities are shown below. Actual maturities may differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Residential and commercial mortgage-backed securities and collateralized debt securities, which are not due at a single maturity, have been separately presented below.

AS OF JUN. 30, 2024 US$ MILLIONS						Amortized Cost						Fair Value
Due in one year or less						$	1,558					$	1,556
Due after one year through five years						14,385						14,314
Due after five years through ten years						9,937						9,714
Due after ten years						15,390						15,416
						41,270						41,000
Residential mortgage-backed securities						1,292						1,309
Commercial mortgage-backed securities						3,450						3,463
Collateralized debt securities						6,796						6,825
Total						$	52,808					$	52,597

Proceeds from sales of available-for-sale fixed maturity securities, with the related gross realized gains and losses, are shown below:

FOR THE PERIODS ENDED JUN. 30 US$ MILLIONS						Three Months Ended												Six Months Ended
						2024						2023						2024						2023
Proceeds from sales of available-for-sale fixed maturity securities						$	2,617					$	1,513					$	3,729					$	3,530
Gross realized gains						9						2						24						26
Gross realized losses						(31)						(30)						(37)						(89)

The Company has pledged bonds in connection with certain agreements and transactions, such as financing and reinsurance agreements. The carrying value of bonds pledged was $10.1 billion and $168 million as of June 30, 2024 and December 31, 2023, respectively.

In accordance with various regulations, the Company has securities on deposit with regulating authorities with a carrying value of $165 million and $153 million as of June 30, 2024 and December 31, 2023, respectively. There are no restrictions on these assets.

The gross unrealized losses and fair value of available-for-sale fixed maturity securities, aggregated by investment category and the length of time individual securities have been in a continuous unrealized loss position due to market factors are shown below:

						Less than 12 months																		12 months or more																		Total
AS OF JUN. 30, 2024 US$ MILLIONS, EXCEPT NUMBER OF ISSUES						Number of Issues						Gross Unrealized Losses						Fair Value						Number of Issues						Gross Unrealized Losses						Fair Value						Number of Issues						Gross Unrealized Losses						Fair Value
U.S. treasury and government						88						$	—					$	131					34						$	(39)					$	105					122						$	(39)					$	236
U.S. states and political subdivisions						213						(11)						303						162						(14)						305						375						(25)						608
Foreign governments						30						(9)						290						39						(21)						150						69						(30)						440
Corporate debt securities						1,459						(130)						4,728						1,366						(652)						7,762						2,825						(782)						12,490
Residential mortgage-backed securities						161						(4)						133						35						(4)						75						196						(8)						208
Commercial mortgage-backed securities						138						(17)						879						40						(20)						217						178						(37)						1,096
Collateralized debt securities						377						(15)						2,739						57						(9)						337						434						(24)						3,076
Total						2,466						$	(186)					$	9,203					1,733						$	(759)					$	8,951					4,199						$	(945)					$	18,154

						Less than 12 months																		12 months or more																		Total
AS OF DEC. 31, 2023 US$ MILLIONS, EXCEPT NUMBER OF ISSUES						Number of Issues						Gross Unrealized Losses						Fair Value						Number of Issues						Gross Unrealized Losses						Fair Value						Number of Issues						Gross Unrealized Losses						Fair Value
U.S. treasury and government						10						$	—					$	29					29						$	(36)					$	92					39						$	(36)					$	121
U.S. states and political subdivisions						208						(3)						217						106						(14)						288						314						(17)						505
Foreign governments						24						(3)						129						25						(13)						56						49						(16)						185
Corporate debt securities						863						(137)						3,088						917						(470)						8,357						1,780						(607)						11,445
Residential mortgage-backed securities						16						(1)						42						18						(3)						64						34						(4)						106
Commercial mortgage-backed securities						32						(8)						104						55						(23)						262						87						(31)						366
Collateralized debt securities						69						(1)						147						41						(23)						324						110						(24)						471
Total						1,222						$	(153)					$	3,756					1,191						$	(582)					$	9,443					2,413						$	(735)					$	13,199

The unrealized losses as of June 30, 2024 and December 31, 2023 are principally related to the timing of the purchases of certain securities, which carry less yield than those available as of those dates. Approximately 93% and 89% of the fair value of fixed maturity securities shown above as of June 30, 2024 and December 31, 2023, respectively, are rated investment grade.

The Company expects to recover the amortized cost on all securities except for those securities on which it recognized an allowance for credit loss. In addition, as the Company did not have the intent to sell fixed maturity securities with unrealized losses and it was not more likely than not that the Company would be required to sell these securities prior to recovery of the amortized cost, which may be maturity, the Company did not write down these investments to fair value through the statements of operations.

Allowance for Credit Losses

Several assumptions and underlying estimates are made in the evaluation of allowance for credit loss. Examples include financial condition, near term and long-term prospects of the issue or issuer, including relevant industry conditions and trends and implications of rating agency actions and offering prices. Based on this evaluation, unrealized losses on available-for-sale securities where an allowance for credit loss was not recorded were concentrated within the financials sector as of June 30, 2024 (December 31, 2023 – financials sector).

The rollforward of the allowance for credit losses for available-for-sale fixed maturity securities is shown below for the three and six months ended June 30, 2024 and 2023.

FOR THE PERIODS ENDED JUN. 30, 2024 US$ MILLIONS												Corporate Debt Securities						Residential Mortgage Backed Securities						Commercial Mortgage Backed Securities						Collateralized Debt Securities						Total
Balance as of January 1, 2024												$	(19)					$	(1)					$	(6)					$	(4)					$	(30)
Credit losses recognized on securities for which credit losses were not previously recorded												(12)						—						—						—						(12)
Reductions for securities sold during the period												1						—						—						—						1
Changes in previously recorded allowance												6						1						—						2						9
Balance as of March 31, 2024												$	(24)					$	—					$	(6)					$	(2)					$	(32)
Credit losses recognized on securities for which credit losses were not previously recorded												(14)						—						—						—						(14)
Reductions for securities sold during the period												—						—						—						—						—
Changes in previously recorded allowance												3						—						—						—						3
Balance as of June 30, 2024												$	(35)					$	—					$	(6)					$	(2)					$	(43)

FOR THE PERIODS ENDED JUN. 30, 2023 US$ MILLIONS												Corporate Debt Securities						Residential Mortgage Backed Securities						Commercial Mortgage Backed Securities						Collateralized Debt Securities						Total
Balance as of January 1, 2023												$	(24)					$	—					$	—					$	(6)					$	(30)
Credit losses recognized on securities for which credit losses were not previously recorded												(1)						—						—						(5)						(6)
Reductions for securities sold during the period												13						—						—						2						15
Changes in previously recorded allowance												(1)						—						—						(1)						(2)
Balance as of March 31, 2023												$	(13)					$	—					$	—					$	(10)					$	(23)
Credit losses recognized on securities for which credit losses were not previously recorded												(17)						—						—						(13)						(30)
Reductions for securities sold during the period												1						—						—						—						1
Changes in previously recorded allowance												6						—						—						7						13
Balance as of June 30, 2023												$	(23)					$	—					$	—					$	(16)					$	(39)

No accrued interest receivables were written off as of June 30, 2024 and December 31, 2023.

EQUITY SECURITIES

The net gains (losses) on equity securities recognized in “Investment related gains (losses)” on the statements of operations are shown below:

FOR THE THREE MONTHS ENDED JUN. 30 US$ MILLIONS						Three Months Ended												Six Months Ended
						2024						2023						2024						2023
Unrealized gains (losses) on equity securities						$	(144)					$	88					$	(124)					$	(1)
Net gains (losses) on equity securities sold						172						157						172						157
Net gains (losses) on equity securities						$	28					$	245					$	48					$	156

Equity securities by market sector distribution are shown below, based on carrying value:

AS OF						June 30, 2024						December 31, 2023
Consumer goods						7		%				6		%
Energy and utilities						19		%				16		%
Finance						54		%				44		%
Healthcare						3		%				22		%
Industrials						2		%				2		%
Information technology						11		%				7		%
Other						4		%				3		%
Total						100		%				100		%

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The entire disclosure for investments in certain debt and equity securities.

+ References

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-Topic 940
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-Name Accounting Standards Codification
-Publisher FASB
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-Name Regulation S-K (SK)
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-Section 1403
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-Publisher SEC

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