Investments (Tables)

3 Months Ended

Mar. 31, 2023

Schedule of Investments [Abstract]

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

Allowance for Credit Losses—The following table summarizes the activity in the allowance for credit losses for AFS securities by asset type:

	Three months ended March 31, 2023
			Additions				Reductions
(In millions)	Beginning balance		Initial credit losses		Initial credit losses on PCD securities		Securities sold during the period		Additions (reductions) to previously impaired securities		Ending Balance
AFS securities
Foreign governments	$	27	$	—	$	—	$	—	$	—	$	27
Corporate	61		21		—		(6)		3		79
CLO	7		1		—		—		(4)		4
ABS	29		—		—		—		2		31
CMBS	5		1		—		—		(1)		5
RMBS	329		3		28		(4)		—		356
Total AFS securities	458		26		28		(10)		—		502
AFS securities – related parties, CLO	1		—		—		—		—		1
Total AFS securities including related parties	$	459	$	26	$	28	$	(10)	$	—	$	503

	Three months ended March 31, 2022
			Additions				Reductions
(In millions)	January 1, 2022		Initial credit losses		Initial credit losses on PCD securities		Securities sold during the period		Additions (reductions) to previously impaired securities		Ending Balance
AFS securities
Foreign governments	$	—	$	66	$	—	$	—	$	—	$	66
Corporate	—		55		—		—		—		55
CLO	—		18		—		—		—		18
ABS	5		5		—		—		1		11
CMBS	—		6		—		—		—		6
RMBS	306		9		—		(8)		5		312
Total AFS securities	311		159		—		(8)		6		468
AFS securities – related party
CLO	—		3		—		—		—		3
ABS	—		17		—		—		—		17
Total AFS securities – related party	—		20		—		—		—		20
Total AFS securities including related parties	$	311	$	179	$	—	$	(8)	$	6	$	488

Available-for-sale Securities

The following table represents the amortized cost, allowance for credit losses, gross unrealized gains and losses and fair value of our AFS investments by asset type:

	March 31, 2023
(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities
US government and agencies	$	3,327	$	—	$	6	$	(630)	$	2,703
US state, municipal and political subdivisions	1,215		—		—		(249)		966
Foreign governments	1,205		(27)		5		(261)		922
Corporate	75,348		(79)		167		(12,295)		63,141
CLO	18,643		(4)		134		(1,207)		17,566
ABS	11,696		(31)		31		(823)		10,873
CMBS	4,717		(5)		2		(524)		4,190
RMBS	7,050		(356)		197		(539)		6,352
Total AFS securities	123,201		(502)		542		(16,528)		106,713
AFS securities – related parties
Corporate	1,180		—		1		(54)		1,127
CLO	3,736		(1)		14		(236)		3,513
ABS	7,480		—		12		(266)		7,226
Total AFS securities – related parties	12,396		(1)		27		(556)		11,866
Total AFS securities including related parties	$	135,597	$	(503)	$	569	$	(17,084)	$	118,579

	December 31, 2022
(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities
US government and agencies	$	3,333	$	—	$	—	$	(756)	$	2,577
US state, municipal and political subdivisions	1,218		—		—		(291)		927
Foreign governments	1,207		(27)		3		(276)		907
Corporate	74,644		(61)		92		(13,774)		60,901
CLO	17,722		(7)		115		(1,337)		16,493
ABS	11,447		(29)		15		(906)		10,527
CMBS	4,636		(5)		6		(479)		4,158
RMBS	6,775		(329)		64		(596)		5,914
Total AFS securities	120,982		(458)		295		(18,415)		102,404
AFS securities – related parties
Corporate	1,028		—		1		(47)		982
CLO	3,346		(1)		10		(276)		3,079
ABS	6,066		—		3		(309)		5,760
Total AFS securities – related parties	10,440		(1)		14		(632)		9,821
Total AFS securities including related parties	$	131,422	$	(459)	$	309	$	(19,047)	$	112,225

The following summarizes the number of AFS securities that were in an unrealized loss position, including related parties, for which an allowance for credit losses has not been recorded:

	March 31, 2023
	Unrealized loss position	Unrealized loss position 12 months or more
AFS securities	8,873	7,387
AFS securities – related parties	194	103

Available-for-sale Securities by Contractual Maturity

The amortized cost and fair value of AFS securities, including related parties, are shown by contractual maturity below:    

	March 31, 2023
(In millions)	Amortized Cost		Fair Value
AFS securities
Due in one year or less	$	1,410	$	1,377
Due after one year through five years	13,421		12,501
Due after five years through ten years	20,917		18,072
Due after ten years	45,347		35,782
CLO, ABS, CMBS and RMBS	42,106		38,981
Total AFS securities	123,201		106,713
AFS securities – related parties
Due after one year through five years	735		731
Due after five years through ten years	286		258
Due after ten years	159		138
CLO and ABS	11,216		10,739
Total AFS securities – related parties	12,396		11,866
Total AFS securities including related parties	$	135,597	$	118,579

Fair Values and Unrealized Losses on Available-for-sale Securities

The following summarizes the fair value and gross unrealized losses for AFS securities, including related parties, for which an allowance for credit losses has not been recorded, aggregated by asset type and length of time the fair value has remained below amortized cost:

	March 31, 2023
	Less than 12 months				12 months or more				Total
(In millions)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
AFS securities
US government and agencies	$	68	$	(4)	$	2,431	$	(626)	$	2,499	$	(630)
US state, municipal and political subdivisions	22		(2)		936		(247)		958		(249)
Foreign governments	98		(8)		795		(252)		893		(260)
Corporate	10,062		(812)		47,858		(11,472)		57,920		(12,284)
CLO	3,038		(92)		11,579		(1,063)		14,617		(1,155)
ABS	3,623		(197)		3,938		(492)		7,561		(689)
CMBS	1,776		(35)		1,483		(354)		3,259		(389)
RMBS	739		(44)		1,846		(258)		2,585		(302)
Total AFS securities	19,426		(1,194)		70,866		(14,764)		90,292		(15,958)
AFS securities – related parties
Corporate	875		(24)		141		(30)		1,016		(54)
CLO	1,009		(35)		2,124		(200)		3,133		(235)
ABS	2,625		(82)		2,736		(184)		5,361		(266)
Total AFS securities – related parties	4,509		(141)		5,001		(414)		9,510		(555)
Total AFS securities including related parties	$	23,935	$	(1,335)	$	75,867	$	(15,178)	$	99,802	$	(16,513)

	December 31, 2022
	Less than 12 months				12 months or more				Total
(In millions)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
AFS securities
US government and agencies	$	2,539	$	(756)	$	—	$	—	$	2,539	$	(756)
US state, municipal and political subdivisions	911		(291)		—		—		911		(291)
Foreign governments	891		(275)		—		—		891		(275)
Corporate	58,256		(13,773)		—		—		58,256		(13,773)
CLO	13,486		(1,277)		—		—		13,486		(1,277)
ABS	8,119		(801)		—		—		8,119		(801)
CMBS	2,650		(427)		—		—		2,650		(427)
RMBS	2,621		(365)		—		—		2,621		(365)
Total AFS securities	89,473		(17,965)		—		—		89,473		(17,965)
AFS securities – related parties
Corporate	619		(47)		—		—		619		(47)
CLO	2,752		(273)		—		—		2,752		(273)
ABS	5,487		(308)		—		—		5,487		(308)
Total AFS securities – related parties	8,858		(628)		—		—		8,858		(628)
Total AFS securities including related parties	$	98,331	$	(18,593)	$	—	$	—	$	98,331	$	(18,593)

Net Investment Income

Net Investment Income—Net investment income by asset class consists of the following:

	Three months ended March 31,
(In millions)	2023		2022
AFS securities	$	1,469	$	876
Trading securities	42		63
Equity securities	15		15
Mortgage loans	447		237
Investment funds	43		304
Funds withheld at interest	429		337
Other	190		42
Investment revenue	2,635		1,874
Investment expenses	(228)		(191)
Net investment income	$	2,407	$	1,683

Investment Related Gains (Losses)

Investment Related Gains (Losses)—Investment related gains (losses) by asset class consists of the following:

	Three months ended March 31,
(In millions)	2023		2022
AFS securities1
Gross realized gains on investment activity	$	183	$	103
Gross realized losses on investment activity	(104)		(410)
Net realized investment gains (losses) on AFS securities	79		(307)
Net recognized investment gains (losses) on trading securities	64		(207)
Net recognized investment gains (losses) on equity securities	(18)		23
Net recognized investment gains (losses) on mortgage loans	277		(796)
Derivative gains (losses)	993		(3,041)
Provision for credit losses	(66)		(192)
Other gains (losses)	(264)		308
Investment related gains (losses)	$	1,065	$	(4,212)
1 Includes the effects of recognized gains or losses on AFS securities associated with designated hedges.

The following table summarizes the change in unrealized gains (losses) on trading and equity securities, including related parties, we held as of the respective period end:

	Three months ended March 31,
(In millions)	2023		2022
Trading securities	$	66	$	(189)
Trading securities – related parties	6		(4)
Equity securities	(23)		17
Equity securities – related parties	3		(5)

Mortgage Loans, Net

Mortgage loans includes both commercial and residential loans. In connection with the merger, we elected the fair value option on our mortgage loan portfolio. See Note 7 – Fair Value for further fair value option information. The following represents the mortgage loan portfolio, with fair value option loans presented at unpaid principal balance:

(In millions)	March 31, 2023		December 31, 2022
Commercial mortgage loans	$	21,743	$	21,061
Commercial mortgage loans under development	1,020		790
Total commercial mortgage loans	22,763		21,851
Mark to fair value	(1,740)		(1,743)
Commercial mortgage loans	21,023		20,108
Residential mortgage loans	13,211		11,802
Mark to fair value	(842)		(1,099)
Residential mortgage loans	12,369		10,703
Mortgage loans	$	33,392	$	30,811

The distribution of commercial mortgage loans, including those under development, by property type and geographic region, is as follows:

	March 31, 2023				December 31, 2022
(In millions, except for percentages)	Net Carrying Value		Percentage of Total		Net Carrying Value		Percentage of Total
Property type
Office building	$	4,535	21.6	%	$	4,651	23.1	%
Retail	1,450		6.9	%	1,454		7.2	%
Apartment	7,506		35.7	%	6,692		33.3	%
Hotels	1,873		8.9	%	1,855		9.2	%
Industrial	2,242		10.7	%	2,047		10.2	%
Other commercial	3,417		16.2	%	3,409		17.0	%
Total commercial mortgage loans	$	21,023	100.0	%	$	20,108	100.0	%
US region
East North Central	$	1,438	6.8	%	$	1,437	7.1	%
East South Central	422		2.0	%	413		2.1	%
Middle Atlantic	5,561		26.5	%	5,183		25.8	%
Mountain	923		4.4	%	898		4.5	%
New England	1,071		5.1	%	1,076		5.4	%
Pacific	4,033		19.2	%	3,781		18.8	%
South Atlantic	2,876		13.6	%	2,756		13.7	%
West North Central	225		1.1	%	231		1.1	%
West South Central	1,066		5.1	%	1,085		5.4	%
Total US region	17,615		83.8	%	16,860		83.9	%
International region
United Kingdom	1,970		9.4	%	1,898		9.4	%
Other international1	1,438		6.8	%	1,350		6.7	%
Total international region	3,408		16.2	%	3,248		16.1	%
Total commercial mortgage loans	$	21,023	100.0	%	$	20,108	100.0	%
1 Represents all other countries, with each individual country comprising less than 5% of the portfolio.

Our residential mortgage loan portfolio includes first lien residential mortgage loans collateralized by properties in various geographic locations and is summarized by proportion of the portfolio in the following table:

	March 31, 2023		December 31, 2022
US States
California	28.5	%	28.9	%
Florida	10.1	%	9.7	%
New York	5.8	%	5.6	%
New Jersey	5.4	%	5.3	%
Arizona	5.0	%	5.1	%
Other1	32.8	%	31.7	%
Total US residential mortgage loan percentage	87.6	%	86.3	%
International
United Kingdom	5.0	%	5.4	%
Other2	7.4	%	8.3	%
Total international residential mortgage loan percentage	12.4	%	13.7	%
Total residential mortgage loan percentage	100.0	%	100.0	%
1 Represents all other states, with each individual state comprising less than 5% of the portfolio.
2 Represents all other countries, with each individual country comprising less than 5% of the portfolio.

Investment Funds

The following summarizes our investment funds, including related parties and consolidated VIEs:

	March 31, 2023				December 31, 2022
(In millions, except for percentages)	Carrying value		Percent of total		Carrying value		Percent of total
Investment funds
Equity	$	43	55.8	%	$	46	58.2	%
Hybrid	28		36.4	%	32		40.5	%
Other	6		7.8	%	1		1.3	%
Total investment funds	77		100.0	%	79		100.0	%
Investment funds – related parties
Strategic origination platforms	35		2.2	%	34		2.2	%
Strategic insurance platforms	1,305		81.8	%	1,259		80.2	%
Apollo and other fund investments
Equity	228		14.3	%	246		15.7	%
Yield	5		0.3	%	5		0.3	%
Other	22		1.4	%	25		1.6	%
Total investment funds – related parties	1,595		100.0	%	1,569		100.0	%
Investment funds consolidated VIEs
Strategic origination platforms	4,991		38.8	%	4,829		38.7	%
Strategic insurance platforms	515		4.0	%	529		4.2	%
Apollo and other fund investments
Equity	2,815		21.9	%	2,640		21.2	%
Hybrid	3,180		24.6	%	3,112		24.9	%
Yield	1,091		8.5	%	1,044		8.4	%
Other	288		2.2	%	326		2.6	%
Total investment funds consolidated VIEs	12,880		100.0	%	12,480		100.0	%
Total investment funds including related parties and funds owned by consolidated VIEs	$	14,552			$	14,128

Schedule of Variable Interest Entities

The following summarizes the carrying value and maximum loss exposure of these non-consolidated investments:

	March 31, 2023				December 31, 2022
(In millions)	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure
Investment funds	$	77	$	518	$	79	$	340
Investment in related parties – investment funds	1,595		2,251		1,569		2,253
Assets of consolidated VIEs – investment funds	12,880		20,372		12,480		20,278
Investment in fixed maturity securities	39,373		42,555		37,454		40,992
Investment in related parties – fixed maturity securities	11,624		12,101		9,717		10,290
Investment in related parties – equity securities	251		251		279		279
Total non-consolidated investments	$	65,800	$	78,048	$	61,578	$	74,432

The following summarizes the income statement activity of the consolidated VIEs:

	Three months ended March 31,
(In millions)	2023		2022
Trading securities	$	23	$	—
Mortgage loans	24		20
Investment funds	35		(3)
Other investments	(2)		—
Net investment income	$	80	$	17
Net recognized investment gains (losses) on trading securities	$	6	$	—
Net recognized investment gains (losses) on mortgage loans	9		(112)
Net recognized investment gains (losses) on investment funds	226		70
Other gains (losses)	(40)		—
Investment related gains (losses)	$	201	$	(42)

Schedule of Repurchase Agreements

The following table summarizes the remaining contractual maturities of our repurchase agreements, which are included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets:

(In millions)	March 31, 2023		December 31, 2022
Less than 30 days	$	1,642	$	608
30-90 days	2,774		1,268
91 days to 1 year	500		—
Greater than 1 year	2,865		2,867
Payables for repurchase agreements	$	7,781	$	4,743

The following table summarizes the securities pledged as collateral for repurchase agreements:

	March 31, 2023				December 31, 2022
(In millions)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
AFS securities
US government and agencies	$	2,825	$	2,261	$	2,559	$	1,941
Foreign governments	146		108		146		107
Corporate	5,324		4,425		1,940		1,605
CLO	275		265		273		261
ABS	1,218		1,093		1,243		1,082
Total securities pledged under repurchase agreements	$	9,788	$	8,152	$	6,161	$	4,996

Schedules of Concentration of Risk, by Risk Factor

The following table represents our investment concentrations in excess of 10% of shareholders’ equity:

(In millions)	March 31, 2023
Wheels Donlen1	$	1,419
PK AirFinance1	1,334
Athora1	1,279
Atlas1	995
AP Tundra	873
MFI Investments	869
(In millions)	December 31, 2022
Wheels Donlen1	$	1,288
Athora1	1,232
PK AirFinance1	999
AP Tundra	896
MFI Investments	878
SoftBank Vision Fund II	789
MidCap1	788
Cayman Universe	756
1 Related party amounts are representative of single issuer risk and may only include a portion of the total investments associated with a related party. See further discussion of these related parties in Note 13 – Related Parties.