
	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
(In millions)

Fixed maturity securities	$	454	$	425	$	1,324	$	1,278
Limited partnership investments	(32)		89		(5)		285

Equity securities (a)	2		4		(7)		53
Income (loss) from trading portfolio (a)	(18)		(30)		(95)		46
Other	19		13		47		43
Total investment income	425		501		1,264		1,705
Investment expenses	(21)		(18)		(62)		(56)
Net investment income	$	404	$	483	$	1,202	$	1,649
(a) Net investment income (loss) recognized due to the change in fair value of equity and trading portfolio securities held as of September 30, 2022 and 2021	$	(68)	$	(55)	$	(179)	$	(9)


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
(In millions)

Fixed maturity securities:
Gross gains	$	23	$	50	$	94	$	159
Gross losses	(134)		(28)		(222)		(68)
Investment gains (losses) on fixed maturity securities	(111)		22		(128)		91
Equity securities (a)	(2)		(2)		(111)		17
Derivative instruments	24		2		79		7
Short term investments and other	(7)				(6)		(13)
Altium Packaging (see Note 1)							555

Investment gains (losses)	$	(96)	$	22	$	(166)	$	657
(a) Investment gains (losses) recognized due to the change in fair value of non-redeemable preferred stock included within equity securities held as of September 30, 2022 and 2021	$	(2)	$	(2)	$	(109)	$	15

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 CNA’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 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:


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
(In millions)

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

There were $8 million of losses on mortgage loans recognized 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:
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
Fixed maturities available-for-sale	41,318		507		4,583		3		37,239
Fixed maturities trading	270				5				265
Total fixed maturity securities	$	41,588	$	507	$	4,588	$	3	$	37,504


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:
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

Fixed maturities available-for-sale	39,945		4,558		112		18		44,373
Fixed maturities trading	7								7
Total fixed maturity securities	$	39,952	$	4,558	$	112	$	18	$	44,380

The net unrealized gains and losses on available-for-sale investments included in the tables above are recorded as a component of AOCI. When presented in AOCI, these amounts are net of tax and noncontrolling interests 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 business 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 and noncontrolling interests, through Other comprehensive income (loss) (“Shadow Adjustments”). As of September 30, 2022


	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:
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 fixed maturity securities	$	28,394	$	4,152	$	1,550	$	431	$	29,944	$	4,583

December 31, 2021

Fixed maturity securities:
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 fixed maturity securities	$	5,695	$	92	$	370	$	20	$	6,065	$	112


	September 30, 2022				December 31, 2021
	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
(In millions)

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 unrealized losses presented in the September 30, 2022 securities in the gross unrealized loss position table above are not believed to be 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 recent volatility in risk-free rates and credit spreads, as well as the fact that the unrealized losses are concentrated in investment grade issuers, were considered. Additionally, there is no current intent to sell securities with unrealized losses, nor is it more likely than not that sale will be required prior to recovery of amortized cost; accordingly, it was determined that there are no additional impairment losses to be recorded at 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 receivables 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 are excluded from the estimate of expected credit losses and the amortized cost basis in the tables within this Note.


Three months ended September 30, 2022	Corporate and Other Bonds		Asset-backed		Total
(In millions)

Allowance for credit losses:
Balance as of July 1, 2022	$	—	$	5	$	5
Additions to the allowance for credit losses:

Available-for-sale securities accounted for as PCD assets					—

Reductions to the allowance for credit losses:


Write-offs charged against the allowance					—

Additional decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period			(2)		(2)
Total allowance for credit losses	$	—	$	3	$	3


Three months ended September 30, 2021	Corporate and Other Bonds		Asset-backed		Total
(In millions)

Allowance for credit losses:
Balance as of July 1, 2021	$	24	$	21	$	45
Additions to the allowance for credit losses:


Available-for-sale securities accounted for as PCD assets	2				2

Reductions to the allowance for credit losses:

Write-offs charged against the allowance	16				16


Total allowance for credit losses	$	10	$	21	$	31


Nine months ended September 30, 2022

Allowance for credit losses:
Balance as of January 1, 2022	$	11	$	7	$	18
Additions to the allowance for credit losses:

Available-for-sale securities accounted for as PCD assets			3		3

Reductions to the allowance for credit losses:


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)
Total allowance for credit losses	$	—	$	3	$	3


Nine months ended September 30, 2021

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 decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period	(9)				(9)
Total allowance for credit losses	$	10	$	21	$	31


	September 30, 2022				December 31, 2021
	Cost or Amortized Cost		Estimated Fair Value		Cost or Amortized Cost		Estimated Fair Value
(In millions)

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


	Mortgage Loans Amortized Cost Basis by Origination Year (a)
As of September 30, 2022	2022		2021		2020		2019		2018		Prior		Total
(In millions)

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 ≤1.2x
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

A summary of the aggregate contractual or notional amounts and gross estimated fair values related to derivative financial instruments follows. The contractual or notional amounts for derivatives are used to calculate the exchange of contractual payments under related agreements and may not be representative of the potential for gain or loss on these


	September 30, 2022					December 31, 2021
	Contractual/Notional Amount		Estimated Fair Value			Contractual/Notional Amount		Estimated Fair Value
			Asset		(Liability)			Asset	(Liability)
(In millions)

Without hedge designation:





Interest rate swaps	$	240	$	19		$	100


Embedded derivative on funds withheld liability	220		1			270			$	(12)
Other	127		7

As part of the overall investment strategy, investments are made 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, commitments to purchase or fund were approximately $1.6 billion and to sell were approximately $100 million under the terms of these investments.