Investments

3 Months Ended

Mar. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Net investment income is as follows:





Three Months Ended March 31	2023		2022
(In millions)

Fixed maturity securities	$	470	$	429
Limited partnership investments	27		20
Short term investments	16
Equity securities (a)	12		2
Income (loss) from trading portfolio (a)	45		(15)
Other	20		15
Total investment income	590		451
Investment expenses	(21)		(19)
Net investment income	$	569	$	432
(a) Net investment income (loss) recognized due to the change in fair value of equity and trading portfolio securities held as of March 31, 2023 and 2022	$	11	$	(31)

Investment gains (losses) are as follows:





Three Months Ended March 31	2023		2022
(In millions)

Fixed maturity securities:
Gross gains	$	35	$	26
Gross losses	(57)		(28)
Investment losses on fixed maturity securities	(22)		(2)
Equity securities (a)	(14)		(38)
Derivative instruments			29
Short term investments and other	1


Investment losses	$	(35)	$	(11)
(a) Investment losses recognized due to the change in fair value of non-redeemable preferred stock included within equity securities held as of March 31, 2023 and 2022	$	(2)	$	(38)

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 March 31	2023		2022
(In millions)

Fixed maturity securities available-for-sale:
Corporate and other bonds	$	8	$	8
Asset-backed			2
Impairment losses recognized in earnings	$	8	$	10

There were no losses recognized on mortgage loans during the three months ended March 31, 2023 and 2022.

The following tables present a summary of fixed maturity securities:


March 31, 2023	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	$	24,140	$	437	$	1,675	$	1	$	22,901
States, municipalities and political subdivisions	8,332		410		741				8,001
Asset-backed:
Residential mortgage-backed	3,066		6		413				2,659
Commercial mortgage-backed	1,868		5		242				1,631
Other asset-backed	3,464		8		306		1		3,165
Total asset-backed	8,398		19		961		1		7,455
U.S. Treasury and obligations of government sponsored enterprises	126				2				124
Foreign government	647		1		39				609
Redeemable preferred stock	3								3
Fixed maturities available-for-sale	41,646		867		3,418		2		39,093
Fixed maturities trading	253		3						256
Total fixed maturity securities	$	41,899	$	870	$	3,418	$	2	$	39,349


December 31, 2022


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

The available-for-sale fixed maturity securities in a gross unrealized loss position for which an allowance for credit losses has not been recorded are as follows:


	Less than 12 Months				12 Months or Longer				Total
March 31, 2023	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	$	10,753	$	545	$	6,184	$	1,130	$	16,937	$	1,675
States, municipalities and political subdivisions	1,708		87		2,347		654		4,055		741
Asset-backed:
Residential mortgage-backed	741		28		1,784		385		2,525		413
Commercial mortgage-backed	474		36		1,072		206		1,546		242
Other asset-backed	1,073		86		1,474		220		2,547		306
Total asset-backed	2,288		150		4,330		811		6,618		961
U.S. Treasury and obligations of government-sponsored enterprises	57		1		41		1		98		2
Foreign government	231		7		327		32		558		39
Total fixed maturity securities	$	15,037	$	790	$	13,229	$	2,628	$	28,266	$	3,418

December 31, 2022

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

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


	March 31, 2023				December 31, 2022
	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
(In millions)

U.S. Government, Government agencies and Government-sponsored enterprises	$	2,357	$	302	$	2,355	$	337
AAA	1,424		260		1,559		298
AA	4,053		670		4,327		817
A	6,440		619		6,615		749
BBB	12,651		1,360		13,226		1,621
Non-investment grade	1,341		207		1,429		234
Total	$	28,266	$	3,418	$	29,511	$	4,056

Based on current facts and circumstances, the unrealized losses presented in the March 31, 2023 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 continued 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 March 31, 2023.

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 $407 million, $394 million and $389 million as of March 31, 2023, December 31, 2022 and March 31, 2022 and are excluded from the estimate of expected credit losses and the amortized cost basis in the tables within this Note.


Three months ended March 31, 2023	Corporate and Other Bonds		Asset-backed		Total
(In millions)

Allowance for credit losses:
Balance as of January 1, 2023	$	—	$	1	$	1
Additions to the allowance for credit losses:

Available-for-sale securities accounted for as PCD assets	9				9

Reductions to the allowance for credit losses:
Securities sold during the period (realized)	6				6
Intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost basis	3				3


Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period	1				1
Total allowance for credit losses	$	1	$	1	$	2


Three months ended March 31, 2022	Corporate and Other Bonds		Asset-backed		Total
(In millions)

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









Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period	1		(2)		(1)
Total allowance for credit losses	$	12	$	5	$	17

Contractual Maturity

The following table presents available-for-sale fixed maturity securities by contractual maturity.


	March 31, 2023				December 31, 2022
	Cost or Amortized Cost		Estimated Fair Value		Cost or Amortized Cost		Estimated Fair Value
(In millions)

Due in one year or less	$	1,009	$	989	$	1,012	$	1,001
Due after one year through five years	10,486		10,035		9,880		9,399
Due after five years through ten years	13,763		12,702		13,788		12,453
Due after ten years	16,388		15,367		16,352		14,774
Total	$	41,646	$	39,093	$	41,032	$	37,627

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.

Mortgage Loans

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 March 31, 2023	2023		2022		2021		2020		2019		Prior		Total
(In millions)

DSCR ≥1.6x
LTV less than 55%			$	9	$	13	$	112	$	41	$	280	$	455
LTV 55% to 65%													—
LTV greater than 65%			31		11								42
DSCR 1.2x - 1.6x
LTV less than 55%			5		49		13		43		47		157
LTV 55% to 65%	$	12	44				24				8		88
LTV greater than 65%			58										58
DSCR ≤1.2x
LTV less than 55%			34						35				69
LTV 55% to 65%			41						43				84
LTV greater than 65%			27		21				22		7		77
Total	$	12	$	249	$	94	$	149	$	184	$	342	$	1,030


(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.

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.


	March 31, 2023						December 31, 2022
	Contractual/Notional Amount		Estimated Fair Value				Contractual/Notional Amount		Estimated Fair Value
			Asset		(Liability)				Asset		(Liability)
(In millions)

Without hedge designation:
Equity markets:
Options – purchased	$	142	$	6
Futures – short	102				$	(1)	$	169
Warrants	117		6				117		$	6
Interest rate swaps	240		16				240		19

Currency forwards	13				(1)		12				$	(1)

Investment Commitments

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 March 31, 2023, commitments to purchase or fund were approximately $1.7 billion and to sell were approximately $125 million under the terms of these investments.