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Investments
 9 Months Ended
Sep. 30, 2024
Investments [Abstract]  
Investments
Note 5Investments
Portfolio composition
($ in millions)September 30, 2024December 31, 2023
Fixed income securities, at fair value$53,961 $48,865 
Equity securities, at fair value2,091 2,411 
Mortgage loans, net765 822 
Limited partnership interests 8,925 8,380 
Short-term investments, at fair value6,994 5,144 
Other investments, net866 1,055 
Total$73,602 $66,677 
Amortized cost, gross unrealized gains (losses) and fair value for fixed income securities
($ in millions)Amortized cost, netGross unrealized
Fair
value
GainsLosses
September 30, 2024    
U.S. government and agencies$9,125 $162 $(41)$9,246 
Municipal8,223 131 (96)8,258 
Corporate33,480 799 (483)33,796 
Foreign government1,446 37 (6)1,477 
ABS1,173 14 (3)1,184 
Total fixed income securities$53,447 $1,143 $(629)$53,961 
December 31, 2023    
U.S. government and agencies$8,624 $114 $(119)$8,619 
Municipal6,049 109 (152)6,006 
Corporate31,951 397 (1,143)31,205 
Foreign government1,286 17 (13)1,290 
ABS1,739 13 (7)1,745 
Total fixed income securities$49,649 $650 $(1,434)$48,865 
Scheduled maturities for fixed income securities
($ in millions)September 30, 2024December 31, 2023
Amortized cost, net
Fair
value
Amortized cost, net
Fair
value
Due in one year or less$2,663 $2,641 $3,422 $3,374 
Due after one year through five years22,966 22,968 23,218 22,614 
Due after five years through ten years17,073 17,351 12,553 12,273 
Due after ten years9,572 9,817 8,717 8,859 
 52,274 52,777 47,910 47,120 
ABS1,173 1,184 1,739 1,745 
Total$53,447 $53,961 $49,649 $48,865 
Actual maturities may differ from those scheduled as a result of calls and make-whole payments by the issuers. ABS is shown separately because of potential prepayment of principal prior to contractual maturity dates.
Net investment income
($ in millions)Three months ended September 30,Nine months ended September 30,
2024202320242023
Fixed income securities$587 $457 $1,684 $1,269 
Equity securities17 15 50 47 
Mortgage loans9 9 27 25 
Limited partnership interests138 190 440 446 
Short-term investments87 59 216 194 
Other investments25 41 71 121 
Investment income, before expense863 771 2,488 2,102 
Investment expense(80)(82)(229)(228)
Net investment income
$783 $689 $2,259 $1,874 
Net gains (losses) on investments and derivatives by asset type
($ in millions)Three months ended September 30,Nine months ended September 30,
2024202320242023
Fixed income securities$105 $(129)$(92)$(397)
Equity securities119 (35)195 153 
Mortgage loans(1)(1)— (4)
Limited partnership interests(8)(6)(13)1 
Derivatives20 31 (3)(28)
Other investments8 54 12 52 
Other (1)
— — (123)— 
Net gains (losses) on investments and derivatives$243 $(86)$(24)$(223)
(1)Related to the loss for the carrying value of the surplus notes issued by Adirondack Insurance Exchange and New Jersey Skylands Insurance Association (together “Reciprocal Exchanges”). See Note 8 for further detail.
Net gains (losses) on investments and derivatives by transaction type
($ in millions)
Three months ended September 30,Nine months ended September 30,
2024202320242023
Sales$116 $(63)$(85)$(313)
Credit losses(12)(20)(143)(69)
Valuation change of equity investments (1)
119 (34)207 187 
Valuation change and settlements of derivatives20 31 (3)(28)
Net gains (losses) on investments and derivatives$243 $(86)$(24)$(223)
(1)Includes valuation change of equity securities and certain limited partnership interests where the underlying assets are predominately public equity securities.
Gross realized gains (losses) on sales of fixed income securities
($ in millions)Three months ended September 30,Nine months ended September 30,
2024202320242023
Gross realized gains$201 $11 $275 $85 
Gross realized losses (93)(133)(363)(459)
Net appreciation (decline) recognized in net income for assets that are still held
($ in millions)Three months ended September 30,Nine months ended September 30,
2024202320242023
Equity securities$107 $(32)$170 $31 
Limited partnership interests carried at fair value
18 19 65 67 
Total$125 $(13)$235 $98 
Credit losses recognized in net income
($ in millions)Three months ended September 30,Nine months ended September 30,
2024202320242023
Assets
Fixed income securities:    
Municipal$(2)$— $(2)$— 
Corporate(1)(7)(2)(23)
Total fixed income securities(3)(7)(4)(23)
Mortgage loans(1)(1)— (4)
Limited partnership interests(8)(9)(24)(25)
Other investments
Bank loans— (2)5 (16)
Real estate
— — 2 — 
Other assets
— — (123)— 
Total credit losses by asset type$(12)$(19)$(144)$(68)
Liabilities
Commitments to fund commercial mortgage loans and bank loans— (1)1 (1)
Total $(12)$(20)$(143)$(69)
Unrealized net capital gains and losses included in accumulated other comprehensive income (“AOCI”)
($ in millions)
Fair
value
Gross unrealized
Unrealized net
gains (losses)
September 30, 2024GainsLosses
Fixed income securities$53,961 $1,143 $(629)$514 
Short-term investments6,994 — (1)(1)
Derivative instruments— — (2)(2)
Limited partnership interests
   — 
Investments classified as held for sale(50)
Unrealized net capital gains and losses, pre-tax   461 
Reclassification of noncontrolling interest   5 
Deferred income taxes   (105)
Unrealized net capital gains and losses, after-tax   $361 
December 31, 2023
Fixed income securities$48,865 $650 $(1,434)$(784)
Short-term investments5,144 — (1)(1)
Derivative instruments — — (2)(2)
Limited partnership interests (1)
 
 
 
(4)
Unrealized net capital gains and losses, pre-tax   (791)
Reclassification of noncontrolling interest   13 
Deferred income taxes   174 
Unrealized net capital gains and losses, after-tax   $(604)
(1)Unrealized net capital gains and losses for limited partnership interests represent the Company’s share of the equity method of accounting (“EMA”) limited partnerships’ OCI. Fair value and gross unrealized gains and losses are not applicable.
Change in unrealized net capital gains (losses)
($ in millions)Nine months ended September 30, 2024
Fixed income securities$1,298 
Short-term investments— 
Derivative instruments— 
Limited partnership interests4 
Investments classified as held for sale
(50)
Total1,252 
Reclassification of noncontrolling interest(8)
Deferred income taxes(279)
Change in unrealized net capital gains and losses, after-tax
$965 
Carrying value for limited partnership interests
($ in millions)September 30, 2024December 31, 2023
Private equity$7,531 $7,154 
Real estate1,246 1,085 
Other (1)
148 141 
Total$8,925 $8,380 
(1)Other consists of certain limited partnership interests where the underlying assets are predominately public equity and debt securities.
Short-term investments, including money market funds, commercial paper, U.S. Treasury bills and other short-term investments, are carried at fair value. As of September 30, 2024 and December 31, 2023, the fair value of short-term investments totaled $6.99 billion and $5.14 billion, respectively.
Other investments primarily consist of bank loans, real estate and derivatives. Bank loans are primarily senior secured corporate loans and are carried at amortized cost, net. Real estate is carried at cost less accumulated depreciation.
Other investments by asset type
($ in millions)September 30, 2024December 31, 2023
Bank loans, net$187 $224 
Real estate677 709 
Policy loans— 119 
Other2 3 
Total$866 $1,055 
Portfolio monitoring and credit losses
Fixed income securities The Company has a comprehensive portfolio monitoring process to identify and evaluate each fixed income security that may require a credit loss allowance.
For each fixed income security in an unrealized loss position, the Company assesses whether management with the appropriate authority has made the decision to sell or whether it is more likely than not the Company will be required to sell the security before recovery of the amortized cost basis for reasons such as liquidity, contractual or regulatory purposes. If a security meets either of these criteria, any existing credit loss allowance would be written-off against the amortized cost basis of the asset along with any remaining unrealized losses, with incremental losses recorded in earnings.
If the Company has not made the decision to sell the fixed income security and it is not more likely than not the Company will be required to sell the fixed income security before recovery of its amortized cost basis, the Company evaluates whether it expects to receive cash flows sufficient to recover the entire amortized cost basis of the security. The Company calculates the estimated recovery value based on the best estimate of future cash flows considering past events, current conditions and reasonable and supportable forecasts. The estimated future cash flows are discounted at the security’s current effective rate and is compared to the amortized cost of the security.
The determination of cash flow estimates is inherently subjective, and methodologies may vary depending on facts and circumstances specific to the security. All reasonably available information relevant to the collectability of the security is considered when developing the estimate of cash flows expected to be collected. That information generally includes, but is not limited to, the remaining payment terms of the
security, prepayment speeds, the financial condition and future earnings potential of the issue or issuer, expected defaults, expected recoveries, the value of underlying collateral, origination vintage year, geographic concentration of underlying collateral, available reserves or escrows, current subordination levels, third-party guarantees and other credit enhancements. Other information, such as industry analyst reports and forecasts, credit ratings, financial condition of the bond insurer for insured fixed income securities, and other market data relevant to the realizability of contractual cash flows, may also be considered. The estimated fair value of collateral will be used to estimate recovery value if the Company determines that the security is dependent on the liquidation of collateral for ultimate settlement.
If the Company does not expect to receive cash flows sufficient to recover the entire amortized cost basis of the fixed income security, a credit loss allowance is recorded in earnings for the shortfall in expected cash flows; however, the amortized cost, net of the credit loss allowance, may not be lower than the fair value of the security. The portion of the unrealized loss related to factors other than credit remains classified in AOCI. If the Company determines that the fixed income security does not have sufficient cash flow or other information to estimate a recovery value for the security, the Company may conclude that the entire decline in fair value is deemed to be credit related and the loss is recorded in earnings.
When a security is sold or otherwise disposed or when the security is deemed uncollectible and written off, the Company reverses amounts previously recognized in the credit loss allowance. Recoveries after write-offs are recognized when received. Accrued interest excluded from the amortized cost of fixed income securities totaled $560 million and $495 million as of September 30, 2024 and December 31, 2023, respectively, and is reported within the accrued
investment income line of the Condensed Consolidated Statements of Financial Position. The Company monitors accrued interest and writes off amounts when they are not expected to be received.
The Company’s portfolio monitoring process includes a quarterly review of all securities to identify instances where the fair value of a security compared to its amortized cost is below internally established thresholds. The process also includes the monitoring of other credit loss indicators such as ratings, ratings downgrades and payment defaults. The securities identified, in addition to other securities for which the Company may have a concern, are evaluated for potential credit losses using all reasonably available information relevant to the collectability or recovery of
the security. Inherent in the Company’s evaluation of credit losses for these securities are assumptions and estimates about the financial condition and future earnings potential of the issue or issuer. Some of the factors that may be considered in evaluating whether a decline in fair value requires a credit loss allowance are: 1) the financial condition, near-term and long-term prospects of the issue or issuer, including relevant industry specific market conditions and trends, geographic location and implications of rating agency actions and offering prices; 2) the specific reasons that a security is in an unrealized loss position, including overall market conditions which could affect liquidity; and 3) the extent to which the fair value has been less than amortized cost.
Rollforward of credit loss allowance for fixed income securities
Three months ended September 30,Nine months ended September 30,
($ in millions)2024202320242023
Beginning balance$(19)$(29)$(36)$(13)
Credit losses on securities for which credit losses not previously reported(3)(8)(10)(12)
Net (increases) decreases related to credit losses previously reported— 1 3 (11)
(Increase) decrease of allowance related to sales and other
— (1)3 (1)
Write-offs— — 18 — 
Ending balance$(22)$(37)$(22)$(37)
Components of credit loss allowance as of September 30
Municipal bonds
$(2)$— 
Corporate bonds(18)(34)
ABS(2)(3)
Total$(22)$(37)
Gross unrealized losses and fair value by type and length of time held in a continuous unrealized loss position (1)
($ in millions)Less than 12 months12 months or more
Total
unrealized
losses
Number
of 
issues
Fair
value
Unrealized
losses
Number
of 
issues
Fair
value
Unrealized
losses
September 30, 2024       
Fixed income securities       
U.S. government and agencies33 $1,299 $(11)69 $914 $(30)$(41)
Municipal119 352 (1)1,214 1,817 (95)(96)
Corporate149 1,288 (18)1,249 10,608 (465)(483)
Foreign government1 10 — 56 139 (6)(6)
ABS19 82 — 85 44 (3)(3)
Total fixed income securities321 $3,031 $(30)2,673 $13,522 $(599)$(629)
Investment grade fixed income securities280 $2,755 $(25)2,459 $11,984 $(533)$(558)
Below investment grade fixed income securities41 276 (5)214 1,538 (66)(71)
Total fixed income securities321 $3,031 $(30)2,673 $13,522 $(599)$(629)
December 31, 2023       
Fixed income securities       
U.S. government and agencies63 $2,554 $(38)117 $2,513 $(81)$(119)
Municipal271 400 (4)1,784 2,245 (148)(152)
Corporate251 2,225 (48)2,106 17,319 (1,095)(1,143)
Foreign government7 31 — 75 356 (13)(13)
ABS19 64 (1)150 584 (6)(7)
Total fixed income securities611 $5,274 $(91)4,232 $23,017 $(1,343)$(1,434)
Investment grade fixed income securities568 $5,061 $(83)3,864 $20,429 $(1,151)$(1,234)
Below investment grade fixed income securities43 213 (8)368 2,588 (192)(200)
Total fixed income securities611 $5,274 $(91)4,232 $23,017 $(1,343)$(1,434)
(1)Includes fixed income securities with fair values of $19 million and $32 million and unrealized losses of $7 million and $3 million with credit loss allowances of $3 million and $8 million as of September 30, 2024 and December 31, 2023, respectively.
Gross unrealized losses by unrealized loss position and credit quality as of September 30, 2024
($ in millions)
Investment
grade
Below investment gradeTotal
Fixed income securities with unrealized loss position less than 20% of amortized cost, net (1)
$(546)$(64)$(610)
Fixed income securities with unrealized loss position greater than or equal to 20% of amortized cost, net (2)
(12)(7)(19)
Total unrealized losses$(558)$(71)$(629)
(1)Related to securities with an unrealized loss position less than 20% of amortized cost, net, the degree of which suggests that these securities do not pose a high risk of having credit losses.
(2)Evaluated based on factors such as discounted cash flows and the financial condition and near-term and long-term prospects of the issue or issuer and were determined to have adequate resources to fulfill contractual obligations.
Investment grade is defined as a security having a National Association of Insurance Commissioners (“NAIC”) designation of 1 or 2, which is comparable to a rating of Aaa, Aa, A or Baa from Moody’s or AAA, AA, A or BBB from S&P Global Ratings (“S&P”), or a comparable internal rating if an externally provided rating is not available. Market prices for certain securities may have credit spreads which imply higher or lower credit quality than the current third-party rating. Unrealized losses on investment grade securities are principally related to an increase in market yields which may include increased risk-free interest rates or wider credit spreads since the time of initial purchase. The unrealized losses are expected to reverse as the securities approach maturity.
ABS in an unrealized loss position were evaluated based on actual and projected collateral losses relative to the securities’ positions in the respective securitization trusts, security specific expectations of cash flows, and credit ratings. This evaluation also takes into consideration credit enhancement, measured in terms of (i) subordination from other classes of securities in the trust that are contractually obligated to absorb losses before the class of security the Company owns, and (ii) the expected impact of other structural features embedded in the securitization trust beneficial to the class of securities the Company owns, such as overcollateralization and excess spread. Municipal bonds in an unrealized loss position were evaluated based on the underlying credit
quality of the primary obligor, obligation type and quality of the underlying assets.
As of September 30, 2024, the Company has not made the decision to sell and it is not more likely than not the Company will be required to sell fixed income securities with unrealized losses before recovery of the amortized cost basis.
Loans The Company establishes a credit loss allowance for mortgage loans and bank loans when they are originated or purchased, and for unfunded commitments unless they are unconditionally cancellable by the Company. The Company uses a probability of default and loss given default model for mortgage loans and bank loans to estimate current expected credit losses that considers all relevant information available including past events, current conditions, and reasonable and supportable forecasts over the life of an asset. The Company also considers such factors as historical losses, expected prepayments and various economic factors. For mortgage loans, the Company considers origination vintage year and property level information such as debt service coverage, property type, property location and collateral value. For bank loans, the Company considers the credit rating of the borrower, credit spreads and type of loan. After the reasonable and supportable forecast period, the Company’s model reverts to historical loss trends.
Loans are evaluated on a pooled basis when they share similar risk characteristics. The Company monitors loans through a quarterly credit monitoring process to determine when they no longer share similar risk characteristics and are to be evaluated individually when estimating credit losses.
Loans are written off against their corresponding allowances when there is no reasonable expectation of recovery. If a loan recovers after a write-off, the estimate of expected credit losses includes the expected recovery.
Accrual of income is suspended for loans that are in default or when full and timely collection of principal
and interest payments is not probable. Accrued income receivable is monitored for recoverability and when not expected to be collected is written off through net investment income. Cash receipts on loans on non-accrual status are generally recorded as a reduction of amortized cost.
Accrued interest is excluded from the amortized cost of loans and is reported within the accrued investment income line of the Condensed Consolidated Statements of Financial Position. Accrued interest as of September 30, 2024 and December 31, 2023 was not significant for bank loans or mortgage loans.
Mortgage loans When it is determined a mortgage loan shall be evaluated individually, the Company uses various methods to estimate credit losses on individual loans such as using collateral value less estimated costs to sell where applicable, including when foreclosure is probable or when repayment is expected to be provided substantially through the operation or sale of the collateral and the borrower is experiencing financial difficulty. When collateral value is used, the mortgage loans may not have a credit loss allowance when the fair value of the collateral exceeds the loan’s amortized cost. An alternative approach may be utilized to estimate credit losses using the present value of the loan’s expected future repayment cash flows discounted at the loan’s current effective interest rate. Individual loan credit loss allowances are adjusted for subsequent changes in the fair value of the collateral less costs to sell, when applicable, or present value of the loan’s expected future repayment cash flows.
Debt service coverage ratio is considered a key credit quality indicator when mortgage loan credit loss allowances are estimated. Debt service coverage ratio represents the amount of estimated cash flow from the property available to the borrower to meet principal and interest payment obligations. Debt service coverage ratio estimates are updated annually or more frequently if conditions are warranted based on the Company’s credit monitoring process.
Mortgage loans amortized cost by debt service coverage ratio distribution and year of origination
September 30, 2024December 31, 2023
($ in millions)2019 and prior20202021202220232024TotalTotal
Below 1.0$— $— $— $— $— $— $— $13 
1.0 - 1.2560 — — 18 27 — 105 41 
1.26 - 1.5048 10 — 30 41 — 129 133 
Above 1.50185 41 183 42 76 15 542 646 
Amortized cost before allowance$293 $51 $183 $90 $144 $15 $776 $833 
Allowance(11)(11)
Amortized cost, net$765 $822 
Mortgage loans with a debt service coverage ratio below 1.0 that are not considered impaired primarily relate to instances where the borrower has the financial capacity to fund the revenue shortfalls from the properties for the foreseeable term, the decrease in cash flows from the properties is considered
temporary, or there are other risk mitigating circumstances such as additional collateral, escrow balances or borrower guarantees. Payments on all mortgage loans were current as of September 30, 2024 and December 31, 2023.
Rollforward of credit loss allowance for mortgage loans
Three months ended September 30,Nine months ended September 30,
($ in millions)2024202320242023
Beginning balance$(10)$(10)$(11)$(7)
Net increases related to credit losses(1)(1)— (4)
Write-offs— — — — 
Ending balance
$(11)$(11)$(11)$(11)
Bank loans When it is determined a bank loan shall be evaluated individually, the Company uses various methods to estimate credit losses on individual loans such as the present value of the loan’s expected future repayment cash flows discounted at the loan’s current effective interest rate.

Credit ratings of the borrower are considered a key credit quality indicator when bank loan credit loss allowances are estimated. The ratings are either received from the Securities Valuation Office of the NAIC based on availability of applicable ratings from rating agencies on the NAIC credit rating provider list or a comparable internal rating. The year of origination is determined to be the year in which the asset is acquired.
Bank loans amortized cost by credit rating and year of origination
September 30, 2024December 31, 2023
($ in millions)2019 and prior20202021202220232024TotalTotal
NAIC 1 / A
$— $— $— $— $— $10 $10 $— 
NAIC 2 / BBB — — — — — 37 37 9 
NAIC 3 / BB— — 2 — 2 15 19 38 
NAIC 4 / B25 1 4 2 38 49 119 153 
NAIC 5-6 / CCC and below— — — — 10 3 13 46 
Amortized cost before allowance$25 $1 $6 $2 $50 $114 $198 $246 
Allowance(11)(22)
Amortized cost, net$187 $224 
Rollforward of credit loss allowance for bank loans
($ in millions)Three months ended September 30,Nine months ended September 30,
2024202320242023
Beginning balance$(11)$(62)$(22)$(57)
Net (increases) decreases related to credit losses— (2)5 (16)
Reduction of allowance related to sales— 28 — 34 
Write-offs— — 6 3 
Ending balance
$(11)$(36)$(11)$(36)