
Periods ended September 30	Three Months				Nine Months
(In millions)	2022		2021		2022		2021
Fixed maturity securities	$	454	$	425	$	1,324	$	1,278
Equity securities	2		4		(7)		53
Limited partnership investments	(35)		85		(11)		274
Mortgage loans	13		13		40		42
Short term investments	4		1		6		1
Trading portfolio	1		1		2		8
Other	1		(1)		1		—
Gross investment income	440		528		1,355		1,656
Investment expense	(18)		(15)		(53)		(48)
Net investment income	$	422	$	513	$	1,302	$	1,608
Net investment income (loss) recognized due to the change in fair value of common stock held as of September 30, 2022 and 2021	$	(18)	$	(7)	$	(38)	$	11


Periods ended September 30	Three Months				Nine Months
(In millions)	2022		2021		2022		2021
Net investment gains (losses):
Fixed maturity securities:
Gross gains	$	23	$	50	$	94	$	159
Gross losses	(134)		(28)		(222)		(68)
Net investment gains (losses) on fixed maturity securities	(111)		22		(128)		91
Equity securities	(2)		(2)		(111)		17
Derivatives	24		2		79		7
Mortgage loans	(8)		—		(8)		—
Short term investments and other	1		—		2		2
Net investment gains (losses)	$	(96)	$	22	$	(166)	$	117
Net investment gains (losses) recognized due to the change in fair value of non-redeemable preferred stock held as of September 30, 2022 and 2021	$	(2)	$	(2)	$	(109)	$	15

Net investment gains (losses) for the three months ended September 30, 2022 in the table above include a $35 million net loss related to the expected novation of a coinsurance agreement on the Company’s legacy annuity business, which was transacted on a funds withheld basis and gave rise to an embedded derivative. The net loss of $35 million is comprised of a $59 million loss on the fixed maturity securities supporting the funds withheld liability to recognize unrealized losses which had been included in AOCI since the inception of the coinsurance agreement, partially offset by a $24 million gain on the associated embedded derivative. Taken together, this net loss is the final recognition of changes in the valuation of the funds held assets and offsets previously recognized net investment gains on the associated embedded derivative.

The components of available-for-sale impairment losses (gains) recognized in earnings by asset type are presented in the following table. The table includes losses (gains) on securities with an intention to sell and changes in the allowance for credit losses on securities since acquisition date.


Periods ended September 30	Three Months				Nine Months
(In millions)	2022		2021		2022		2021
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	24	$	—	$	53	$	5
Asset-backed	1		11		2		11
Impairment losses (gains) recognized in earnings	$	25	$	11	$	55	$	16

The Company also recognized $8 million of losses on mortgage loans during the three and nine months ended September 30, 2022 primarily due to changes in expected credit losses. There were no losses recognized on mortgage loans during the three and nine months ended September 30, 2021.


September 30, 2022	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Estimated Fair Value
(In millions)
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	23,082	$	231	$	2,398	$	—	$	20,915
States, municipalities and political subdivisions	9,244		259		1,080		—		8,423
Asset-backed:
Residential mortgage-backed	3,153		6		470		—		2,689
Commercial mortgage-backed	1,921		4		237		—		1,688
Other asset-backed	3,264		2		349		3		2,914
Total asset-backed	8,338		12		1,056		3		7,291
U.S. Treasury and obligations of government-sponsored enterprises	107		3		1		—		109
Foreign government	544		2		48		—		498
Redeemable preferred stock	3		—		—		—		3
Total fixed maturity securities available-for-sale	41,318		507		4,583		3		37,239
Total fixed maturity securities trading	12		—		—		—		12
Total fixed maturity securities	$	41,330	$	507	$	4,583	$	3	$	37,251


December 31, 2021	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Estimated Fair Value
(In millions)
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	21,444	$	2,755	$	56	$	11	$	24,132
States, municipalities and political subdivisions	10,358		1,599		14		—		11,943
Asset-backed:
Residential mortgage-backed	2,893		71		8		—		2,956
Commercial mortgage-backed	1,987		63		19		—		2,031
Other asset-backed	2,561		54		10		7		2,598
Total asset-backed	7,441		188		37		7		7,585
U.S. Treasury and obligations of government-sponsored enterprises	132		1		3		—		130
Foreign government	570		15		2		—		583
Redeemable preferred stock	—		—		—		—		—
Total fixed maturity securities available-for-sale	39,945		4,558		112		18		44,373
Total fixed maturity securities trading	7		—		—		—		7
Total fixed maturity securities	$	39,952	$	4,558	$	112	$	18	$	44,380

The net unrealized gains and losses on investments included in the tables above are recorded as a component of AOCI. When presented in AOCI, these amounts are net of tax and any required Shadow Adjustments. To the extent there are unrealized gains on fixed income securities supporting the reserves of certain products within the Life & Group segment that would result in a premium deficiency, or would impact the reserve balance if realized, a related increase in Insurance reserves is recorded as a reduction of net unrealized gains (losses), net of tax, through Other comprehensive income (loss) (Shadow Adjustments). As of September 30, 2022 and December 31, 2021, the net unrealized gains and losses on investments included in AOCI were correspondingly reduced by Shadow Adjustments of $46 million and $2,477 million.

The following tables present the estimated fair value and gross unrealized losses of fixed maturity securities in a gross unrealized loss position for which an allowance for credit loss has not been recorded, by the length of time in which the securities have continuously been in that position.


	Less than 12 Months				12 Months or Longer				Total
September 30, 2022	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
(In millions)
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	16,707	$	2,117	$	914	$	281	$	17,621	$	2,398
States, municipalities and political subdivisions	4,793		1,029		128		51		4,921		1,080
Asset-backed:
Residential mortgage-backed	2,582		462		17		8		2,599		470
Commercial mortgage-backed	1,372		194		233		43		1,605		237
Other asset-backed	2,433		307		233		42		2,666		349
Total asset-backed	6,387		963		483		93		6,870		1,056
U.S. Treasury and obligations of government-sponsored enterprises	61		1		—		—		61		1
Foreign government	446		42		25		6		471		48
Total	$	28,394	$	4,152	$	1,550	$	431	$	29,944	$	4,583


	Less than 12 Months				12 Months or Longer				Total
December 31, 2021	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
(In millions)
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	2,389	$	48	$	136	$	8	$	2,525	$	56
States, municipalities and political subdivisions	730		14		—		—		730		14
Asset-backed:
Residential mortgage-backed	1,043		8		—		—		1,043		8
Commercial mortgage-backed	527		7		167		12		694		19
Other asset-backed	840		10		62		—		902		10
Total asset-backed	2,410		25		229		12		2,639		37
U.S. Treasury and obligations of government-sponsored enterprises	69		3		5		—		74		3
Foreign government	97		2		—		—		97		2
Total	$	5,695	$	92	$	370	$	20	$	6,065	$	112

The following table presents the estimated fair value and gross unrealized losses of fixed maturity securities in a gross unrealized loss position for which an allowance for credit loss has not been recorded, by ratings distribution.


	September 30, 2022				December 31, 2021
(In millions)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
U.S. Government, Government agencies and Government-sponsored enterprises	$	2,360	$	360	$	898	$	8
AAA	1,566		318		368		6
AA	4,430		917		875		17
A	6,548		838		1,516		23
BBB	13,394		1,902		1,812		42
Non-investment grade	1,646		248		596		16
Total	$	29,944	$	4,583	$	6,065	$	112

Based on current facts and circumstances, the Company believes the unrealized losses presented in the September 30, 2022 securities in a gross unrealized loss position tables above are not indicative of the ultimate collectibility of the current amortized cost of the securities, but rather are primarily attributable to changes in risk-free interest rates and a general market widening of credit spreads. In reaching this determination, the Company considered the recent volatility in risk-free rates and credit spreads as well as the fact that its unrealized losses are concentrated in investment grade issuers. Additionally, the Company has no current intent to sell securities with unrealized losses, nor is it more likely than not that it will be required to sell prior to recovery of amortized cost; accordingly, the Company has determined that there are no additional impairment losses to be recorded as of September 30, 2022.

The following tables present the activity related to the allowance on available-for-sale securities with credit impairments and purchased credit-deteriorated (PCD) assets. Accrued interest receivable on available-for-sale fixed maturity securities totaled $401 million, $369 million and $387 million as of September 30, 2022, December 31, 2021 and September 30, 2021 and is excluded from the estimate of expected credit losses and the amortized cost basis in the tables included within this Note.


(In millions)	Corporate and other bonds		Asset-backed		Total
Allowance for credit losses:
Balance as of July 1, 2022	$	—	$	5	$	5
Additions to the allowance for credit losses:
Securities for which credit losses were not previously recorded	—		—		—
Available-for-sale securities accounted for as PCD assets	—		—		—

Reductions to the allowance for credit losses:
Securities sold during the period (realized)	—		—		—

Write-offs charged against the allowance	—		—		—


Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period	—		(2)		(2)
Balance as of September 30, 2022	$	—	$	3	$	3


(In millions)	Corporate and other bonds		Asset-backed		Total
Allowance for credit losses:
Balance as of July 1, 2021	$	24	$	21	$	45
Additions to the allowance for credit losses:
Securities for which credit losses were not previously recorded	—		—		—
Available-for-sale securities accounted for as PCD assets	2		—		2

Reductions to the allowance for credit losses:
Securities sold during the period (realized)	—		—		—

Write-offs charged against the allowance	16		—		16


Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period	—		—		—
Balance as of September 30, 2021	$	10	$	21	$	31


(In millions)	Corporate and other bonds		Asset-backed		Total
Allowance for credit losses:
Balance as of January 1, 2022	$	11	$	7	$	18
Additions to the allowance for credit losses:
Securities for which credit losses were not previously recorded	—		—		—
Available-for-sale securities accounted for as PCD assets	—		3		3

Reductions to the allowance for credit losses:
Securities sold during the period (realized)	—		—		—

Write-offs charged against the allowance	12		—		12


Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period	1		(7)		(6)
Balance as of September 30, 2022	$	—	$	3	$	3


(In millions)	Corporate and other bonds		Asset-backed		Total
Allowance for credit losses:
Balance as of January 1, 2021	$	23	$	17	$	40
Additions to the allowance for credit losses:
Securities for which credit losses were not previously recorded	14		—		14
Available-for-sale securities accounted for as PCD assets	4		4		8

Reductions to the allowance for credit losses:
Securities sold during the period (realized)	6		—		6

Write-offs charged against the allowance	16		—		16


Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period	(9)		—		(9)
Balance as of September 30, 2021	$	10	$	21	$	31


	September 30, 2022				December 31, 2021
(In millions)	Cost or Amortized Cost		Estimated Fair Value		Cost or Amortized Cost		Estimated Fair Value
Due in one year or less	$	952	$	948	$	1,603	$	1,624
Due after one year through five years	9,487		9,000		10,637		11,229
Due after five years through ten years	14,323		12,765		13,294		14,338
Due after ten years	16,556		14,526		14,411		17,182
Total	$	41,318	$	37,239	$	39,945	$	44,373

Actual maturities may differ from contractual maturities because certain securities may be called or prepaid. Securities not due at a single date are allocated based on weighted average life.

The Company holds an embedded derivative on a funds withheld liability with a notional value of $220 million and $270 million and a fair value of $1 million and $(12) million as of September 30, 2022 and December 31, 2021. The embedded derivative on the funds withheld liability is accounted for separately and reported with the funds withheld liability in Other liabilities on the Condensed Consolidated Balance Sheets.

As part of its overall investment strategy, the Company invests in various assets which require future purchase, sale or funding commitments. These investments are recorded once funded, and the related commitments may include future capital calls from various third-party limited partnerships, signed and accepted mortgage loan applications, and obligations related to private placement securities. As of September 30, 2022, the Company had commitments to purchase or fund approximately $1,595 million and sell approximately $100 million under the terms of these investments.

The following table presents the amortized cost basis of mortgage loans for each credit quality indicator by year of origination. The primary credit quality indicators utilized are debt service coverage ratios (DSCR) and loan-to-value ratios (LTV).


September 30, 2022	Mortgage Loans Amortized Cost Basis by Origination Year (1)
(In millions)	2022		2021		2020		2019		2018		Prior		Total
DSCR ≥1.6x
LTV less than 55%	$	9	$	13	$	112	$	29	$	54	$	275	$	492
LTV 55% to 65%	—		—		—		—		—		—		—
LTV greater than 65%	18		11		—		—		—		—		29
DSCR 1.2x - 1.6x
LTV less than 55%	5		49		18		56		10		42		180
LTV 55% to 65%	87		—		20		—		—		8		115
LTV greater than 65%	—		—		—		—		—		—		—
DSCR ≤1.2
LTV less than 55%	—		—		—		57		—		—		57
LTV 55% to 65%	—		21		—		44		—		—		65
LTV greater than 65%	10		—		—		22		—		7		39
Total	$	129	$	94	$	150	$	208	$	64	$	332	$	977

(1) The values in the table above reflect DSCR on a standardized amortization period and LTV based on the most recent appraised values trended forward using changes in a commercial real estate price index.

As of September 30, 2022, accrued interest receivable on mortgage loans totaled $3 million and is excluded from the amortized cost basis disclosed in the table above and the estimate of expected credit losses.