Investments (Tables)

9 Months Ended

Sep. 30, 2023

Investments, Debt and Equity Securities [Abstract]

Consolidated Investments

The Company’s consolidated investments at September 30, 2023 and December 31, 2022 are summarized as follows:

	September 30, 2023
	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Available-for-sale securities	(In millions)
Asset-backed securities	$	13,887	$	(18)	$	132	$	(622)	$	13,379
Commercial mortgage-backed securities	4,548		(17)		12		(369)		4,174
Corporates	19,771		(5)		15		(3,602)		16,179
Hybrids	670		—		3		(72)		601
Municipals	1,866		—		—		(338)		1,528
Residential mortgage-backed securities	2,327		(4)		7		(156)		2,174
U.S. Government	470		—		—		(18)		452
Foreign Governments	364		—		—		(66)		298
Total available-for-sale securities	$	43,903	$	(44)	$	169	$	(5,243)	$	38,785

	December 31, 2022
	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Available-for-sale securities	(In millions)
Asset-backed securities	$	12,209	$	(8)	$	36	$	(770)	$	11,467
Commercial mortgage-backed/asset-backed securities	3,337		(1)		11		(284)		3,063
Corporates	17,396		(22)		32		(3,069)		14,337
Hybrids	806		—		9		(84)		731
Municipals	1,749		—		4		(293)		1,460
Residential mortgage-backed securities	1,638		(8)		6		(109)		1,527
U.S. Government	287		—		—		(16)		271
Foreign Governments	286		—		—		(47)		239
Total available-for-sale securities	$	37,708	$	(39)	$	98	$	(4,672)	$	33,095

Investments Classified by Contractual Maturity Date

The amortized cost and fair value of fixed maturity securities by contractual maturities, as applicable, are shown below. Actual maturities may differ from contractual maturities as issuers may have the right to call or prepay obligations.

	September 30, 2023				December 31, 2022
	(In millions)				(In millions)
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Corporates, Non-structured Hybrids, Municipal and Government securities:
Due in one year or less	$	631	$	617	$	536	$	527
Due after one year through five years	4,300		4,082		3,288		3,089
Due after five years through ten years	2,853		2,554		2,171		1,939
Due after ten years	15,356		11,806		14,503		11,457
Subtotal	23,140		19,059		20,498		17,012
Other securities, which provide for periodic payments:
Asset-backed securities	13,888		13,379		12,209		11,467
Commercial mortgage-backed securities	4,548		4,173		3,337		3,063
Structured hybrids	—		—		26		26
Residential mortgage-backed securities	2,327		2,174		1,638		1,527
Subtotal	20,763		19,726		17,210		16,083
Total fixed maturity available-for-sale securities	$	43,903	$	38,785	$	37,708	$	33,095

Fair Value and Gross Unrealized Losses of Available-for-sale Securities

The fair value and gross unrealized losses of AFS securities, excluding securities in an unrealized loss position with an allowance for expected credit loss, aggregated by investment category and duration of fair value below amortized cost as of September 30, 2023 and December 31, 2022 were as follows:

	September 30, 2023
	Less than 12 months				12 months or longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Available-for-sale securities	(In millions)
Asset-backed securities	$	2,662	$	(174)	$	5,291	$	(404)	$	7,953	$	(578)
Commercial mortgage-backed securities	1,161		(79)		1,769		(258)		2,930		(337)
Corporates	5,740		(476)		10,054		(3,126)		15,794		(3,602)
Hybrids	68		(3)		513		(69)		581		(72)
Municipals	632		(91)		874		(248)		1,506		(339)
Residential mortgage-backed securities	1,102		(28)		660		(122)		1,762		(150)
U.S. Government	270		(6)		182		(12)		452		(18)
Foreign Government	120		(9)		169		(56)		289		(65)
Total available-for-sale securities	$	11,755	$	(866)	$	19,512	$	(4,295)	$	31,267	$	(5,161)
Total number of available-for-sale securities in an unrealized loss position less than twelve months											2,215
Total number of available-for-sale securities in an unrealized loss position twelve months or longer											2,821
Total number of available-for-sale securities in an unrealized loss position											5,036

	December 31, 2022
	Less than 12 months				12 months or longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Available-for-sale securities	(In millions)
Asset-backed securities	$	7,001	$	(410)	$	3,727	$	(360)	$	10,728	$	(770)
Commercial mortgage-backed securities	2,079		(169)		475		(116)		2,554		(285)
Corporates	9,913		(1,735)		3,523		(1,330)		13,436		(3,065)
Hybrids	628		(83)		3		(1)		631		(84)
Municipals	998		(180)		352		(113)		1,350		(293)
Residential mortgage-backed securities	992		(51)		184		(22)		1,176		(73)
U.S. Government	130		(7)		140		(8)		270		(15)
Foreign Government	119		(32)		59		(14)		178		(46)
Total available-for-sale securities	$	21,860	$	(2,667)	$	8,463	$	(1,964)	$	30,323	$	(4,631)
Total number of available-for-sale securities in an unrealized loss position less than twelve months											3,114
Total number of available-for-sale securities in an unrealized loss position twelve months or longer											1,296
Total number of available-for-sale securities in an unrealized loss position											4,410

Schedule of Distribution of CMLs, Gross Valuation by Property Type and Geographic Region

The distribution of CMLs, gross of valuation allowances, by property type and geographic region is reflected in the following tables:

	September 30, 2023				December 31, 2022
	Gross Carrying Value		% of Total		Gross Carrying Value		% of Total
Property Type:	(In millions)				(In millions)
Hotel	$	18	1	%	$	18	1	%
Industrial	583		23	%	520		22	%
Mixed Use	11		—	%	12		1	%
Multifamily	1,012		40	%	1,013		42	%
Office	327		13	%	330		14	%
Retail	102		4	%	105		4	%
Student Housing	83		3	%	83		3	%
Other	398		16	%	335		13	%
Total commercial mortgage loans, gross of valuation allowance	$	2,534	100	%	$	2,416	100	%
Allowance for expected credit loss	(15)				(10)
Total commercial mortgage loans, net of valuation allowance	$	2,519			$	2,406
U.S. Region:
East North Central	$	145	5	%	$	151	6	%
East South Central	76		3	%	76		3	%
Middle Atlantic	355		14	%	326		13	%
Mountain	353		14	%	355		15	%
New England	178		7	%	158		7	%
Pacific	731		29	%	708		28	%
South Atlantic	575		23	%	521		22	%
West North Central	4		—	%	4		1	%
West South Central	117		5	%	117		5	%
Total commercial mortgage loans, gross of valuation allowance	$	2,534	100	%	$	2,416	100	%
Allowance for expected credit loss	(15)				(10)
Total commercial mortgage loans, net of valuation allowance	$	2,519			$	2,406

Loans Segregated by Risk Rating Exposure

CMLs segregated by risk rating exposure as of September 30, 2023 and December 31, 2022, were as follows, gross of valuation allowances:

	September 30, 2023
	Amortized Cost by Origination Year
	2023		2022		2021		2020		2019		Prior		Total
Commercial mortgages	(In millions)
Current (less than 30 days past due)	$	171	$	327	$	1,145	$	599	$	—	$	262	$	2,504
30-89 days past due	—		—		—		—		—		—		—
90 days or more past due	—		—		—		—		—		9		9
Total commercial mortgages (a)	$	171	$	327	$	1,145	$	599	$	—	$	271	$	2,513

	December 31, 2022
	Amortized Cost by Origination Year
	2022		2021		2020		2019		2018		Prior		Total
Commercial mortgages	(In millions)
Current (less than 30 days past due)	$	350	$	1,300	$	488	$	—	$	—	$	269	$	2,407
30-89 days past due	—		—		—		—		—		—		—
90 days or more past due	—		—		—		—		—		9		9
Total commercial mortgages	$	350	$	1,300	$	488	$	—	$	—	$	278	$	2,416

(a) Excludes loans under development with an amortized cost and estimated fair value of $21 million for September 30, 2023.

RMLs segregated by risk rating exposure as of September 30, 2023 and December 31, 2022, were as follows, gross of valuation allowances:

	September 30, 2023
	Amortized Cost by Origination Year
	2023		2022		2021		2020		2019		Prior		Total
Residential mortgages	(In millions)
Current (less than 30 days past due)	$	236	$	948	$	846	$	190	$	183	$	194	$	2,597
30-89 days past due	1		3		15		9		6		6		40
90 days or more past due	—		4		25		13		23		2		67
Total residential mortgages	$	237	$	955	$	886	$	212	$	212	$	202	$	2,704

	December 31, 2022
	Amortized Cost by Origination Year
	2022		2021		2020		2019		2018		Prior		Total
Residential mortgages	(In millions)
Current (less than 30 days past due)	$	766	$	884	$	214	$	185	$	23	$	33	$	2,105
30-89 days past due	2		7		—		4		—		—		13
90 days or more past due	3		9		15		34		1		—		62
Total residential mortgages	$	771	$	900	$	229	$	223	$	24	$	33	$	2,180

Schedule of Investment in Mortgage Loans by Loan to Value and Debt Service Coverage Ratios

The following tables present the recorded investment in CMLs by LTV and DSC ratio categories and estimated fair value by the indicated loan-to-value ratios, gross of valuation allowances at September 30, 2023 and December 31, 2022:

	Debt-Service Coverage Ratios						Total Amount		% of Total		Estimated Fair Value		% of Total
	>1.25		1.00 - 1.25		<1.00
September 30, 2023	(In millions)
LTV Ratios:
Less than 50.00%	$	527	$	4	$	10	$	541	22	%	$	505	24	%
50.00% to 59.99%	765		—		—		765		31	%	654		31	%
60.00% to 74.99%	1,160		27		—		1,187		47	%	952		45	%
75.00% to 84.99%	—		2		9		11		—	%	10		—	%
Commercial mortgage loans (a)	$	2,452	$	33	$	28	$	2,513	100	%	$	2,127	100	%
December 31, 2022
LTV Ratios:
Less than 50.00%	$	511	$	4	$	11	$	526	22	%	$	490	24	%
50.00% to 59.99%	706		—		—		706		29	%	615		30	%
60.00% to 74.99%	1,154		3		—		1,157		48	%	955		45	%
75.00% to 84.99%	—		—		18		18		1	%	14		1	%
Commercial mortgage loans (a)	$	2,371	$	7	$	29	$	2,407	100	%	$	2,074	100	%

(a) Excludes loans under development with an amortized cost and estimated fair value of $9 million for September 30, 2023 and an amortized cost and estimated fair value of $9 million for December 31, 2022.

	September 30, 2023
	Amortized Cost by Origination Year
	2023		2022		2021		2020		2019		Prior		Total
Commercial mortgages	(In millions)
LTV
Less than 50.00%	$	52	$	111	$	157	$	97	$	—	$	124	$	541
50.00% to 59.99%	78		126		294		129		—		138		765
60.00% to 74.99%	39		81		694		373		—		—		1,187
75.00% to 84.99%	2		9		—		—		—		—		11
Total commercial mortgages (a)	$	171	$	327	$	1,145	$	599	$	—	$	271	$	2,513
Commercial mortgages
DSCR
Greater than 1.25x	$	146	$	315	$	1,145	$	599	$	—	$	247	$	2,452
1.00x - 1.25x	25		3		—		—		—		5		33
Less than 1.00x	—		9		—		—		—		19		28
Total commercial mortgages (a)	$	171	$	327	$	1,145	$	599	$	—	$	271	$	2,513

	December 31, 2022
	Amortized Cost by Origination Year
	2022		2021		2020		2019		2018		Prior		Total
Commercial mortgages	(In millions)
LTV
Less than 50.00%	$	70	$	120	$	207	$	—	$	—	$	129	$	526
50.00% to 59.99%	149		268		158		—		—		131		706
60.00% to 74.99%	113		912		123		—		—		9		1,157
75.00% to 84.99%	9		—		—		—		—		9		18
Total commercial mortgages (a)	$	341	$	1,300	$	488	$	—	$	—	$	278	$	2,407
Commercial mortgages
DSCR
Greater than 1.25x	$	329	$	1,300	$	488	$	—	$	—	$	254	$	2,371
1.00x - 1.25x	3		—		—		—		—		4		7
Less than 1.00x	9		—		—		—		—		20		29
Total commercial mortgages (a)	$	341	$	1,300	$	488	$	—	$	—	$	278	$	2,407

(a) Excludes loans under development with an amortized cost and estimated fair value of $9 million for September 30, 2023 and an amortized cost and estimated fair value of $9 million for December 31, 2022.

Schedule of Residential Mortgage Loans by State

The distribution of RMLs by state with highest-to-lowest concentration are reflected in the following tables, gross of valuation allowances:

	September 30, 2023
	Amortized Cost		% of Total
U.S. State:	(In millions)
Florida	$	148	5	%
New York	128		5	%
All other states (a)	2,428		90	%
Total residential mortgage loans	$	2,704	100	%

(a)     The individual concentration of each state is equal to or less than 5% as of September 30, 2023.

	December 31, 2022
	Amortized Cost		% of Total
U.S. State:	(In millions)
Florida	$	324	15	%
Texas	215		10	%
New Jersey	172		8	%
Pennsylvania	153		7	%
California	139		6	%
New York	138		6	%
Georgia	125		6	%
All other states (a)	914		42	%
Total residential mortgage loans	$	2,180	100	%

(a)     The individual concentration of each state is equal to or less than 5% as of December 31, 2022.

Schedule of Loans with Credit Quality Indicators, Performing or Nonperforming

The credit quality of RMLs as of September 30, 2023 and December 31, 2022, was as follows:

	September 30, 2023				December 31, 2022
	Amortized Cost		% of Total		Amortized Cost		% of Total
Performance indicators:	(In millions)				(In millions)
Performing	$	2,636	97	%	$	2,118	97	%
Non-performing	68		3	%	62		3	%
Total residential mortgage loans, gross of valuation allowance	$	2,704	100	%	$	2,180	100	%
Allowance for expected loan loss	(49)		—	%	(32)		—	%
Total residential mortgage loans, net of valuation allowance	$	2,655	100	%	$	2,148	100	%

Nonaccrual Loans by Amortized Cost

Non-accrual loans by amortized cost as of September 30, 2023 and December 31, 2022, were as follows:

	September 30, 2023		December 31, 2022
Amortized cost of loans on non-accrual	(In millions)
Residential mortgage:	$	67	$	62
Commercial mortgage:	9		9
Total non-accrual mortgages	$	76	$	71

Allowance for Expected Credit Losses on Loans

The allowances for our mortgage loan portfolio are summarized as follows:

	Three months ended September 30, 2023						Nine months ended September 30, 2023
	(In millions)						(In millions)
	Residential Mortgage		Commercial Mortgage		Total		Residential Mortgage		Commercial Mortgage		Total
Beginning Balance	$	(51)	$	(13)	$	(64)	$	(32)	$	(10)	$	(42)
Provision for loan losses	2		(2)		—		(17)		(5)		(22)
Ending Balance	$	(49)	$	(15)	$	(64)	$	(49)	$	(15)	$	(64)

	Three months ended September 30, 2022						Nine months ended September 30, 2022
	(In millions)						(In millions)
	Residential Mortgage		Commercial Mortgage		Total		Residential Mortgage		Commercial Mortgage		Total
Beginning Balance	$	(29)	$	(6)	$	(35)	$	(25)	$	(6)	$	(31)
Provision for loan losses	(1)		(2)		(3)		(5)		(2)		(7)
Ending Balance	$	(30)	$	(8)	$	(38)	$	(30)	$	(8)	$	(38)

Schedule of Sources of Net Investment Income Reported

The major sources of Interest and investment income reported on the accompanying unaudited Condensed Consolidated Statements of Earnings were as follows:

	Three months ended				Nine months ended
	September 30, 2023		September 30, 2022		September 30, 2023		September 30, 2022
	(In millions)				(In millions)
Fixed maturity securities, available-for-sale	$	493	$	379	$	1,405	$	1,062
Equity securities	8		7		24		23
Preferred securities	12		15		39		48
Mortgage loans	59		48		167		136
Invested cash and short-term investments	39		19		106		36
Limited partnerships	69		(55)		171		116
Tax deferred property exchange income	44		35		128		49
Other investments	25		13		63		27
Gross investment income	749		461		2,103		1,497
Investment expense	(63)		(50)		(188)		(145)
Interest and investment income	$	686	$	411	$	1,915	$	1,352

Recognized Gains and Losses, net

Details underlying Recognized gains and losses, net reported on the accompanying unaudited Condensed Consolidated Statements of Earnings were as follows:

	Three months ended				Nine months ended
	September 30, 2023		September 30, 2022		September 30, 2023		September 30, 2022
	(In millions)				(In millions)
Net realized losses on fixed maturity available-for-sale securities	$	(32)	$	(57)	$	(137)	$	(153)
Net realized/unrealized losses on equity securities (1)	(33)		(51)		(37)		(423)
Net realized/unrealized gains (losses) on preferred securities (2)	1		(8)		(7)		(216)
Realized gains (losses) on other invested assets	9		(54)		(20)		(64)
Change in allowance for expected credit losses	(7)		(8)		(30)		(20)
Derivatives and embedded derivatives:
Realized losses on certain derivative instruments	(30)		(74)		(184)		(59)
Unrealized (losses) gains on certain derivative instruments	(297)		(70)		14		(787)
Change in fair value of reinsurance related embedded derivatives (3)	36		94		34		357
Change in fair value of other derivatives and embedded derivatives	(3)		(2)		—		(10)
Realized losses on derivatives and embedded derivatives	(294)		(52)		(136)		(499)
Recognized gains and losses, net	$	(356)	$	(230)	$	(367)	$	(1,375)

(1) Includes net valuation losses of $22 million and $52 million for the three months ended September 30, 2023 and 2022, respectively, and net valuation losses of $12 million and $440 million for the nine months ended September 30, 2023 and 2022, respectively.

(2) Includes net valuation gains (losses) of $2 million and $(6) million for the three months ended September 30, 2023 and 2022, respectively, and net valuation gains (losses) of $52 million and $(213) million for the nine months ended September 30, 2023 and 2022, respectively.

(3) Change in fair value of reinsurance related embedded derivatives is due to activity related to the reinsurance treaties with Somerset and Aspida Re.

Proceeds from Sale of Fixed Maturity Available-for-sale Securities

The proceeds from the sale of fixed-maturity securities and the gross gains and losses associated with those transactions were as follows:

	Three months ended				Nine months ended
	September 30, 2023		September 30, 2022		September 30, 2023		September 30, 2022
	(In millions)
Proceeds	$	880	$	731	$	1,978	$	2,566
Gross gains	—		3		7		8
Gross losses	(27)		(58)		(109)		(157)

Schedule of Carrying Value and Maximum Loss Exposure, Unconsolidated VIEs

The following table summarizes the carrying value and the maximum loss exposure of our unconsolidated VIEs as of September 30, 2023 and December 31, 2022:

	September 30, 2023				December 31, 2022
	(In millions)				(In millions)
	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure
Investment in unconsolidated affiliates	$	2,920	$	4,525	$	2,427	$	4,030
Fixed maturity securities	19,320		21,091		15,680		17,404
Total unconsolidated VIE investments	$	22,240	$	25,616	$	18,107	$	21,434

Schedules of Investment Concentrations

Our underlying investment concentrations that exceed 10% of shareholders equity are as follows:

	September 30, 2023
	(In millions)
Blackstone Wave Asset Holdco (1)	$	715
(1) Represents a special purpose vehicle that holds investments in numerous limited partnership investments whose underlying investments are further diversified by holding interest in multiple individual investments and industries.