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Investments (Tables)
 9 Months Ended
Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract]  
Net Investment Income
Net investment income is as follows:

Three Months EndedNine Months Ended
September 30,September 30,
2022202120222021
(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 
Other19 13 47 43 
Total investment income425 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)
Investment Gains (Losses)
Investment gains (losses) are as follows:

Three Months EndedNine Months Ended
September 30,September 30,
2022202120222021
(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 instruments24 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.
Impairment Losses (Gains) on Earnings
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 EndedNine Months Ended
September 30,September 30,
2022202120222021
(In millions)  
   
Fixed maturity securities available-for-sale:  
Corporate and other bonds$24 $53 $5 
Asset-backed1 $11 2 11 
Impairment losses (gains) recognized in earnings$25 $11 $55 $16 
Amortized Cost and Fair Values of Fixed Maturity Securities
The following tables present a summary of fixed maturity securities:

September 30, 2022Cost or Amortized CostGross 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-backed3,153 6 470 2,689 
Commercial mortgage-backed1,921 4 237 1,688 
Other asset-backed3,264 2 349 $3 2,914 
Total asset-backed8,338 12 1,056 3 7,291 
U.S. Treasury and obligations of
 government sponsored enterprises		107 3 1 109 
Foreign government544 2 48 498 
Redeemable preferred stock3 3 
Fixed maturities available-for-sale41,318 507 4,583 3 37,239 
Fixed maturities trading270 5 265 
Total fixed maturity securities$41,588 $507 $4,588 $3 $37,504 

December 31, 2021Cost or Amortized CostGross 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-backed2,893 71 8 2,956 
Commercial mortgage-backed1,987 63 19 2,031 
Other asset-backed2,561 54 10 7 2,598 
Total asset-backed7,441 188 37 7 7,585 
U.S. Treasury and obligations of
 government sponsored enterprises		132 1 3 130 
Foreign government570 15 2 583 
Fixed maturities available-for-sale39,945 4,558 112 18 44,373 
Fixed maturities trading7 7 
Total fixed maturity securities$39,952 $4,558 $112 $18 $44,380 
Available-for-sale Securities in Gross Unrealized Loss Position
The available-for-sale securities in a gross unrealized loss position for which an allowance for credit losses has not been recorded are as follows:

 Less than 12 Months12 Months or LongerTotal
September 30, 2022Estimated Fair ValueGross Unrealized LossesEstimated Fair ValueGross Unrealized LossesEstimated Fair ValueGross 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-backed2,582 462 17 8 2,599 470 
Commercial mortgage-backed1,372 194 233 43 1,605 237 
Other asset-backed2,433 307 233 42 2,666 349 
Total asset-backed6,387 963 483 93 6,870 1,056 
U.S. Treasury and obligations of
 government-sponsored enterprises		61 1 61 1 
Foreign government446 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-backed1,043 8 1,043 8 
Commercial mortgage-backed527 7 167 12 694 19 
Other asset-backed840 10 62 902 10 
Total asset-backed2,410 25 229 12 2,639 37 
U.S. Treasury and obligations of
 government-sponsored enterprises		69 3 5 74 3 
Foreign government97 2 97 2 
Total fixed maturity securities$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, 2022December 31, 2021
Estimated Fair ValueGross Unrealized LossesEstimated Fair ValueGross Unrealized Losses
(In millions)
U.S. Government, Government agencies and Government-sponsored enterprises$2,360 $360 $898 $8 
AAA1,566 318 368 6 
AA4,430 917 875 17 
A6,548 838 1,516 23 
BBB13,394 1,902 1,812 42 
Non-investment grade1,646 248 596 16 
Total$29,944 $4,583 $6,065 $112 
Allowance for Credit Losses
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, 2021Corporate and Other BondsAsset-backedTotal
(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 assets2 2 
 
Reductions to the allowance for credit losses:
Write-offs charged against the allowance16 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 $18 
Additions to the allowance for credit losses:
Available-for-sale securities accounted for as PCD assets3 3 
Reductions to the allowance for credit losses:
Write-offs charged against the allowance12 12 
Additional increases or (decreases) to the allowance for credit
losses on securities that had an allowance recorded in a previous period
1 (7)(6)
Total allowance for credit losses$— $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 recorded14 14 
Available-for-sale securities accounted for as PCD assets4 4 8 
 
Reductions to the allowance for credit losses:
Securities sold during the period (realized)6 6 
Write-offs charged against the allowance16 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 
Available-for-sale Fixed Maturity Securities by Contractual Maturity
The following table presents available-for-sale fixed maturity securities by contractual maturity.

September 30, 2022December 31, 2021
Cost or Amortized CostEstimated Fair
Value		Cost or Amortized CostEstimated
Fair
Value
(In millions)
Due in one year or less$952 $948 $1,603 $1,624 
Due after one year through five years9,487 9,000 10,637 11,229 
Due after five years through ten years14,323 12,765 13,294 14,338 
Due after ten years16,556 14,526 14,411 17,182 
Total$41,318 $37,239 $39,945 $44,373 
Amortized Cost Basis of Mortgage Loans for Each Credit Quality Indicator by Year of Origination
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 (“LTV”) ratios.

Mortgage Loans Amortized Cost Basis by Origination Year (a)
As of September 30, 2022
2022
2021
2020
2019
2018
PriorTotal
(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)The values in the table above reflect DSCR on a standardized amortization period and LTV ratios based on the most recent appraised values trended forward using changes in a commercial real estate price index.
Aggregate Contractual or Notional Amounts and Estimated Fair Values Related to Derivative Financial Instruments 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
instruments. Gross estimated fair values of derivative positions are currently presented in Equity securities, Receivables and Payable to brokers on the Consolidated Condensed Balance Sheets.

September 30, 2022December 31, 2021
Contractual/Notional AmountEstimated Fair Value Contractual/Notional AmountEstimated Fair Value
Asset
(Liability)
Asset(Liability)
(In millions)
Without hedge designation:
Interest rate swaps$240 $19 $100 
Embedded derivative on funds withheld liability220 1 270 $(12)
Other127 7