
Year Ended December 31	2022		2021		2020
(In millions)

Fixed maturity securities	$	1,787	$	1,707	$	1,728
Limited partnership investments	(6)		375		127
Short term investments	17		2		10
Equity securities (a)	23		83		65
Income from trading portfolio (a)			106		83
Other	65		61		58
Total investment income	1,886		2,334		2,071
Investment expenses	(84)		(75)		(76)
Net investment income	$	1,802	$	2,259	$	1,995
(a) Net investment income recognized due to the change in fair value of equity and trading portfolio securities held as of December 31, 2022, 2021 and 2020	$	3	$	23	$	88


Year Ended December 31	2022		2021		2020
(In millions)

Fixed maturity securities:
Gross gains	$	120	$	186	$	220
Gross losses	(261)		(90)		(220)
Investment gains (losses) on fixed maturity securities	(141)		96		—
Equity securities (a)	(116)		4		(3)
Derivative instruments	64		6		(10)
Short term investments and other	(6)		14		(22)
Altium Packaging (see Note 2)			555
Diamond Offshore (see Note 2)			(15)		(1,211)
Investment gains (losses)	$	(199)	$	660	$	(1,246)
(a) Investment gains (losses) recognized due to the change in fair value of non-redeemable preferred stock included within equity securities held as of December 31, 2022, 2021 and 2020	$	(75)	$	2	$	(3)

Investment gains (losses) for the year ended December 31, 2022 in the table above include an $18 million net gain related to the 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 gain of $18 million is comprised of a $62 million gain on the associated embedded derivative partially offset by a $44 million loss on fixed maturity securities supporting the funds withheld liability, transferred with the novation, to recognize unrealized losses which had been included in AOCI since the inception of the coinsurance agreement. Taken together, this net gain is the final recognition of changes in the valuation of the funds held assets and offsets previously recognized investment losses 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:


December 31, 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	$	23,137	$	301	$	2,009			$	21,429
States, municipalities and political subdivisions	8,918		338		939				8,317
Asset-backed:
Residential mortgage-backed	3,073		5		447				2,631
Commercial mortgage-backed	1,886		4		255				1,635
Other asset-backed	3,287		2		361		$	1	2,927
Total asset-backed	8,246		11		1,063		1		7,193
U.S. Treasury and obligations of government sponsored enterprises	111		1		2				110
Foreign government	617		1		43				575
Redeemable preferred stock	3								3
Fixed maturities available-for-sale	41,032		652		4,056		1		37,627
Fixed maturities trading	70								70
Total fixed maturity securities	$	41,102	$	652	$	4,056	$	1	$	37,697


December 31, 2021


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


	Less than 12 Months				12 Months or Longer				Total
December 31, 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	$	15,946	$	1,585	$	1,634	$	424	$	17,580	$	2,009
States, municipalities and political subdivisions	4,079		769		456		170		4,535		939
Asset-backed:
Residential mortgage-backed	1,406		144		1,143		303		2,549		447
Commercial mortgage-backed	1,167		159		408		96		1,575		255
Other asset-backed	2,087		262		542		99		2,629		361
Total asset-backed	4,660		565		2,093		498		6,753		1,063
U.S. Treasury and obligations of government-sponsored enterprises	76		1		16		1		92		2
Foreign government	473		26		78		17		551		43
Total fixed maturity securities	$	25,234	$	2,946	$	4,277	$	1,110	$	29,511	$	4,056

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


	December 31, 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	$	2,355	$	337	$	898	$	8
AAA	1,559		298		368		6
AA	4,327		817		875		17
A	6,615		749		1,516		23
BBB	13,226		1,621		1,812		42
Non-investment grade	1,429		234		596		16
Total	$	29,511	$	4,056	$	6,065	$	112

Based on current facts and circumstances, the unrealized losses presented in the December 31, 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 December 31, 2022.

The following tables present the activity related to the allowance on available-for-sale securities with credit impairments and PCD assets. Accrued interest receivables on available-for-sale fixed maturity securities totaled $394 million and $369 million as of December 31, 2022 and 2021 and are excluded from the estimate of expected credit losses and the amortized cost basis in the tables within this Note.


Year Ended December 31, 2022	Corporate and Other Bonds		Asset-backed		Total
(In millions)

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		(9)		(8)
Total allowance for credit losses	$	—	$	1	$	1


Year Ended December 31, 2021	Corporate and Other Bonds		Asset-backed		Total
(In millions)

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	5		6		11

Reductions to the allowance for credit losses:
Securities sold during the period (realized)	7		17		24
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	(8)		1		(7)
Total allowance for credit losses	$	11	$	7	$	18


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

Due in one year or less	$	1,012	$	1,001	$	1,603	$	1,624
Due after one year through five years	9,880		9,399		10,637		11,229
Due after five years through ten years	13,788		12,453		13,294		14,338
Due after ten years	16,352		14,774		14,411		17,182
Total	$	41,032	$	37,627	$	39,945	$	44,373

The carrying value of limited partnerships as of December 31, 2022 and 2021 was approximately $2.0 billion and $1.9 billion, which includes net undistributed earnings of $183 million and $266 million. Limited partnerships comprising 27% of the total carrying value are reported on a current basis through December 31, 2022 with no reporting lag, 5% of the total carrying value are reported on a one month lag and the remainder are reported on more than a one month lag. The number of limited partnerships held and the strategies employed provide diversification to the limited partnership portfolio and the overall invested asset portfolio.

Limited partnerships comprising 75% and 65% of the carrying value at December 31, 2022 and 2021 were invested in private debt and equity. Limited partnerships comprising 25% and 35% of the carrying value as of December 31, 2022 and 2021 employ hedge fund strategies. Private debt and equity funds cover a broad range of investment strategies including buyout, co-investment, private credit, growth capital, distressed investing and real estate. Hedge fund strategies include both long and short positions in fixed income, equity and derivative instruments.

The ten largest limited partnership positions held totaled $633 million and $665 million as of December 31, 2022 and 2021. Based on the most recent information available regarding percentage ownership of the individual limited partnerships, the carrying value reflected on the Consolidated Balance Sheets represents approximately 1% of the aggregate partnership equity at December 31, 2022 and 2021, and the related income reflected on the Consolidated Statements of Operations represents approximately 2% of the changes in aggregate partnership equity for the years ended December 31, 2022, 2021 and 2020.

Private debt, private equity and other non-hedge fund limited partnership investments generally do not permit voluntary withdrawals. Hedge fund limited partnership investments contain withdrawal provisions that generally limit liquidity for a period of thirty days up to one year or longer. Typically, hedge fund withdrawals require advance written notice of up to 90 days.


	Mortgage Loans Amortized Cost Basis by Origination Year (a)
As of December 31, 2022	2022		2021		2020		2019		2018		Prior		Total
(In millions)

DSCR ≥1.6x
LTV less than 55%	$	9	$	13	$	112	$	41	$	53	$	255	$	483
LTV 55% to 65%	13												13
LTV greater than 65%	18		11										29
DSCR 1.2x - 1.6x
LTV less than 55%	5		49		18		43		10		37		162
LTV 55% to 65%	86				20						8		114
LTV greater than 65%	15												15
DSCR ≤1.2x
LTV less than 55%	35						57						92
LTV 55% to 65%	41		21				38						100
LTV greater than 65%	27						22				7		56
Total	$	249	$	94	$	150	$	201	$	63	$	307	$	1,064

Derivatives may be used in the normal course of business, primarily in an attempt to reduce exposure to market risk (principally interest rate risk, credit risk, equity price risk, commodity price risk and foreign currency risk) stemming from various assets and liabilities. The principal objective under such strategies is to achieve the desired reduction in economic risk, even if the position does not receive hedge accounting treatment.

Interest rate swaps, futures and forward commitments to purchase securities may be entered into to manage interest rate risk. Credit derivatives such as credit default swaps may be entered into to modify the credit risk inherent in certain investments. Forward contracts, futures, swaps and options may be used to manage foreign currency and commodity price risk.

In addition to the derivatives used for risk management purposes described above, derivatives may also be used for purposes of income enhancement. Income enhancement transactions include interest rate swaps, call options, put options, credit default swaps, index futures and foreign currency forwards. See Note 4 for information regarding the fair value of derivative instruments.


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





Without hedge designation:

Equity markets:
Futures - short	$	169
Warrants	117		$	6
Interest rate swaps	240		19				$	100
Currency forwards	12				$	(1)
Embedded derivative on funds withheld liability							270			$	(12)

As of December 31, 2021, CNA held an embedded derivative on a funds withheld liability related to a coinsurance agreement on its legacy annuity business. During the year ended December 31, 2022, CNA novated the coinsurance agreement, resulting in the settlement of the embedded derivative.

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 December 31, 2022, commitments to purchase or fund were approximately $1.5 billion and to sell were approximately $60 million under the terms of these investments.

Cash and securities with carrying values of approximately $0.9 billion and $1.2 billion were deposited with financial institutions in trust accounts or as collateral for letters of credit to secure obligations with various third parties as of December 31, 2022 and 2021.