Investment Information

3 Months Ended

Mar. 31, 2024

Disclosure Investment Information [Abstract]

Available For Sale Investments

The following table summarizes the fair value and cost or amortized cost of the Company’s securities classified as available for sale:


	Estimated Fair Value		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Expected Credit Losses		Cost or Amortized Cost
March 31, 2024
Fixed maturities:
Corporate bonds	$	11,698	$	98	$	(442)	$	(24)	$	12,066
U.S. government and government agencies	4,370		6		(109)		—		4,473
Asset backed securities	2,762		15		(44)		(5)		2,796
Non-U.S. government securities	2,195		20		(113)		(1)		2,289
Commercial mortgage backed securities	1,197		3		(30)		(2)		1,226
Residential mortgage backed securities	1,179		4		(69)		—		1,244
Municipal bonds	227		1		(18)		—		244
Total	23,628		147		(825)		(32)		24,338

Short-term investments	2,142		2		(3)		—		2,143
Total	$	25,770	$	149	$	(828)	$	(32)	$	26,481

December 31, 2023
Fixed maturities:
Corporate bonds	$	10,855	$	157	$	(464)	$	(20)	$	11,182
U.S. government and government agencies	5,814		63		(86)		—		5,837
Asset backed securities	2,250		11		(55)		(5)		2,299
Non-U.S. government securities	2,062		33		(100)		(1)		2,130
Commercial mortgage backed securities	1,213		3		(34)		(2)		1,246
Residential mortgage backed securities	1,103		7		(66)		—		1,162
Municipal bonds	256		1		(20)		—		275
Total	23,553		275		(825)		(28)		24,131

Short-term investments	2,063		1		(2)		—		2,064
Total	$	25,616	$	276	$	(827)	$	(28)	$	26,195

The following table summarizes, for all available for sale securities in an unrealized loss position, the fair value and gross unrealized loss by length of time the security has been in a continual unrealized loss position:


	Less than 12 Months				12 Months or More				Total
	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
March 31, 2024
Fixed maturities:
Corporate bonds	$	3,314	$	(50)	$	4,419	$	(392)	$	7,733	$	(442)
U.S. government and government agencies	3,093		(36)		763		(73)		3,856		(109)
Non-U.S. government securities	829		(10)		821		(103)		1,650		(113)
Residential mortgage backed securities	267		(4)		508		(65)		775		(69)
Asset backed securities	489		(1)		729		(43)		1,218		(44)
Commercial mortgage backed securities	88		(1)		892		(29)		980		(30)
Municipal bonds	18		—		197		(18)		215		(18)
Total	8,098		(102)		8,329		(723)		16,427		(825)

Short-term investments	727		(3)		—		—		727		(3)
Total	$	8,825	$	(105)	$	8,329	$	(723)	$	17,154	$	(828)

December 31, 2023
Fixed maturities:
Corporate bonds	$	1,559	$	(45)	$	4,959	$	(419)	$	6,518	$	(464)
U.S. government and government agencies	1,066		(10)		941		(76)		2,007		(86)
Non-U.S. government securities	365		(4)		897		(96)		1,262		(100)
Residential mortgage backed securities	221		(3)		522		(63)		743		(66)
Asset backed securities	234		(1)		1,112		(54)		1,346		(55)
Commercial mortgage backed securities	100		(1)		909		(33)		1,009		(34)
Municipal bonds	20		(1)		215		(19)		235		(20)
Total	3,565		(65)		9,555		(760)		13,120		(825)

Short-term investments	302		(2)		—		—		302		(2)
Total	$	3,867	$	(67)	$	9,555	$	(760)	$	13,422	$	(827)

At March 31, 2024, on a lot level basis, approximately 8,380 security lots out of a total of approximately 16,400 security lots were in an unrealized loss position and the largest single unrealized loss from a single lot in the Company’s fixed maturity portfolio was $5 million. At December 31, 2023, on a lot level basis, approximately 7,100 security lots out of a total of approximately 15,720 security lots were in an unrealized loss position and the largest single unrealized loss from a single lot in the Company’s fixed maturity portfolio was $6 million.

The contractual maturities of the Company’s fixed maturities are shown in the following table. Expected maturities, which are management’s best estimates, will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.


	March 31, 2024				December 31, 2023
Maturity	Estimated Fair Value		Amortized Cost		Estimated Fair Value		Amortized Cost
Due in one year or less	$	536	$	554	$	480	$	499
Due after one year through five years	12,998		13,299		12,924		13,101
Due after five years through 10 years	4,632		4,860		5,249		5,450
Due after 10 years	324		359		334		374
	18,490		19,072		18,987		19,424
Residential mortgage backed securities	1,179		1,244		1,103		1,162
Commercial mortgage backed securities	1,197		1,226		1,213		1,246
Asset backed securities	2,762		2,796		2,250		2,299
Total	$	23,628	$	24,338	$	23,553	$	24,131

Equity Securities, at Fair Value

At March 31, 2024, the Company held $1.7 billion of equity securities, at fair value, compared to $1.2 billion at December 31, 2023. Such holdings include publicly traded common stocks primarily in the consumer cyclical and non-cyclical, technology, communication and financial sectors and exchange-traded funds in fixed income, equity and other sectors.

Other Investments, at Fair Value

The following table summarizes the Company’s other investments and other investable assets:


	March 31, 2024		December 31, 2023
Other investments	$	1,914	$	1,777
Fixed maturities	930		683
Short term investments	35		21
Equity securities	7		7



Total	$	2,886	$	2,488

The following table summarizes the Company’s other investments, as detailed in the previous table, by strategy:


	March 31, 2024		December 31, 2023
Lending	$	442	$	427
Investment grade fixed income	799		754
Term loan investments	344		272
Private equity	191		182
Credit related funds	120		124
Energy	18		18


Total	$	1,914	$	1,777

Net Investment Income

The components of net investment income were derived from the following sources:


	March 31,
	2024		2023
Three Months Ended
Fixed maturities	$	280	$	188

Short term investments	29		14
Equity securities	8		4
Other (1)	33		13
Gross investment income	350		219
Investment expenses	(23)		(20)
Net investment income	$	327	$	199

(1) Amounts include dividends and other distributions on investment funds, term loan investments, funds held balances, cash balances and other items.

Net Realized Gains (Losses)

Net realized gains (losses), which include changes in the allowance for credit losses on financial assets and net impairment losses recognized in earnings were as follows:


	March 31,
	2024		2023
Three Months Ended
Available for sale securities:
Gross gains on investment sales	$	50	$	17
Gross losses on investment sales	(78)		(111)
Change in fair value of assets and liabilities accounted for using the fair value option:
Fixed maturities	2		6
Other investments	(2)		9
Equity securities	—		1

Equity securities, at fair value:
Net realized gains (losses) on sales during the period	11		19
Net unrealized gains (losses) on equity securities still held at reporting date	82		38
Allowance for credit losses:
Investments related	(6)		(16)
Underwriting related	1		—

Derivative instruments (1)	(10)		56
Other	17		(2)
Net realized gains (losses)	$	67	$	17

(1) See note 9 for information on the Company’s derivative instruments.

Investments Accounted For Using the Equity Method

The following table summarizes the Company’s investments accounted for using the equity method, by strategy:


	March 31, 2024		December 31, 2023
Credit related funds	$	1,320	$	1,258
Private equity	1,341		1,175
Real estate	671		666
Lending	582		597
Infrastructure	323		320
Fixed income	327		277
Equities	188		178
Energy	90		95
Total	$	4,842	$	4,566

Certain of the Company’s other investments are in investment funds for which the Company has the option to redeem at agreed upon values as described in each investment fund’s subscription agreement. Depending on the terms of the various subscription agreements, investments in investment funds may be redeemed daily, monthly, quarterly or on other terms. Two common redemption restrictions which may impact the Company’s ability to redeem these investment funds are gates and lockups. A gate is a suspension of redemptions which may be implemented by the general partner or investment manager of the fund in order to

defer, in whole or in part, the redemption request in the event the aggregate amount of redemption requests exceeds a predetermined percentage of the investment fund’s net assets which may otherwise hinder the general partner or investment manager’s ability to liquidate holdings in an orderly fashion in order to generate the cash necessary to fund extraordinarily large redemption payouts. A lockup period is the initial amount of time an investor is contractually required to hold the security before having the ability to redeem. If the investment funds are eligible to be redeemed, the time to redeem such fund can take weeks or months following the notification.

Limited Partnership Interests

In the normal course of its activities, the Company invests in limited partnerships as part of its overall investment strategy. Such amounts are included in ‘investments accounted for using the equity method’ and ‘investments accounted for using the fair value option.’ The Company has determined that it is not required to consolidate these investments because it is not the primary beneficiary of the funds. The Company’s maximum exposure to loss with respect to these investments is limited to the investment carrying amounts reported in the Company’s consolidated balance sheet and any unfunded commitment.

The following table summarizes investments in limited partnership interests where the Company has a variable interest by balance sheet line item:


	March 31, 2024		December 31, 2023
Investments accounted for using the equity method (1)	$	4,842	$	4,566
Investments accounted for using the fair value option (2)	109		114
Total	$	4,951	$	4,680

(1) Aggregate unfunded commitments were $3.5 billion at March 31, 2024, compared with $3.4 billion at December 31, 2023.

(2) Aggregate unfunded commitments were $29 million at March 31, 2024, compared to $32 million at December 31, 2023.

Equity in Net Income (Loss) of Investment Funds Accounted for Using the Equity Method

Income from investment funds accounted for using the equity method for the 2024 first quarter was $99 million, compared to $48 million for the 2023 first quarter. In applying the equity method, investments are initially recorded at cost and are subsequently adjusted based on the Company’s proportionate share of the net income or loss of the funds (which include changes in the market value of the underlying securities in the funds). Such investments are generally recorded on a one to three month lag based on the availability of reports from the investment funds.

Investments in Operating Affiliates

Investments in which the Company has significant influence over the operating and financial policies are classified as ‘investments in operating affiliates’ on the Company’s balance sheets and are accounted for under the equity method. Such investments primarily include the Company’s investment in Coface SA (“Coface”), Greysbridge Holdings Ltd., (“Greysbridge”) and Premia Holdings Ltd. Investments in Coface and Premia Holdings Ltd. are generally recorded on a three month lag, while the Company’s investment in Greysbridge is not recorded on a lag.

As of March 31, 2024, the Company owned approximately 29.9% of the issued shares of Coface, or 30.1% excluding treasury shares, with a carrying value of $586 million, compared to $570 million at December 31, 2023.

As of March 31, 2024, the Company owned 40% of Greysbridge with a carrying value of $472 million, compared to $430 million at December 31, 2023.

Income from operating affiliates for the 2024 first quarter was $55 million, compared to $39 million for the 2023 first quarter.

See note 15 for information on Company’s transactions with related parties.

Allowance for Expected Credit Losses

The following table provides a roll forward of the allowance for expected credit losses of the Company’s securities classified as available for sale:


	Structured Securities (1)		Corporate Bonds		Non-U.S. Government Securities		Total
Three Months Ended March 31, 2024
Balance at beginning of period	$	7	$	20	$	1	$	28

Additions for current-period provision for expected credit losses	—		—		—		—
Additions (reductions) for previously recognized expected credit losses	—		5		—		5
Reductions due to disposals	—		(1)		—		(1)

Balance at end of period	$	7	$	24	$	1	$	32

Three Months Ended March 31, 2023
Balance at beginning of period	$	9	$	30	$	2	$	41

Additions for current-period provision for expected credit losses	—		1		—		1
Additions (reductions) for previously recognized expected credit losses	(1)		15		1		15
Reductions due to disposals	—		(1)		—		(1)

Balance at end of period	$	8	$	45	$	3	$	56

(1) Includes asset backed securities, residential mortgage backed securities and commercial mortgage backed securities.

Restricted Assets

The Company is required to maintain assets on deposit, which primarily consist of fixed maturities, with various regulatory authorities to support its underwriting operations. The Company’s subsidiaries maintain assets in trust accounts as collateral for transactions with affiliated companies and also have investments in segregated portfolios primarily to provide collateral or guarantees for letters of credit to third parties. See note 18, “Commitments and Contingencies,” of the notes to consolidated financial statements in the Company’s 2023 Form 10-K.

The following table details the value of the Company’s restricted assets:


	March 31, 2024		December 31, 2023
Assets used for collateral or guarantees:
Affiliated transactions	$	4,874	$	4,854
Third party agreements	2,694		2,869
Deposits with U.S. regulatory authorities	828		833
Other (1)	1,343		1,376

Total restricted assets	$	9,739	$	9,932

(1) Primarily includes Funds at Lloyds, deposits with non-U.S. regulatory authorities and other restricted assets.

Reconciliation of Cash and Restricted Cash

The following table details reconciliation of cash and restricted cash within the Consolidated Balance Sheets:


	March 31, 2024		December 31, 2023
Cash	$	993	$	917
Restricted cash (included in ‘other assets’)	607		581
Cash and restricted cash	$	1,600	$	1,498