XML 64 R42.htm IDEA: XBRL DOCUMENT

Investments and Cash (Tables)

12 Months Ended

Dec. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Investment Portfolio

Carrying Value


	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.

(3) These securities are not rated.

(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.

(5) 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.

(6) In the fourth quarter of 2023, the majority of the New Recovery Bonds were called. See Note 3, Outstanding Exposure.

Fixed Maturity Securities and Short Term Investments by Security Type

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
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

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
	(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

____________________

(1)Based on amortized cost.

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

(3) U.S. government-agency obligations were approximately 42% of mortgage-backed securities as of December 31, 2023 and 30% as of December 31, 2022, based on fair value.

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

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.

Distribution of Fixed Maturity Securities by Contractual Maturity

Distribution of Available-for-Sale Fixed-Maturity Securities by Contractual Maturity

As of December 31, 2023


	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

Net Investment Income

Income from Investments


	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

____________________

(1) Includes income on the portion of the CLO portfolio that was managed by AssuredIM prior to July 1, 2023.

(2) Includes income on the portion of the municipal bond portfolio that was managed by AssuredIM prior to July 1, 2023.

(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.

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

(5) 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.

Summary of Financial Information for Equity Method Investments

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.

Aggregate Equity Method Investments’

Summarized Balance Sheet Data


	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

Aggregate Equity Method Investments’

Summarized Statement of Operations Data


	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

Net Realized Investment Gains (Losses)

The table below presents the components of net realized investment gains (losses).

Net Realized Investment Gains (Losses)


	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

____________________

(1)2023 and 2022 related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions.

(2)2022 related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions.

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

Debt Securities, Available-for-Sale, Allowance for Credit Loss

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


	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