The following table presents the distribution by contractual maturity of AFS fixed-maturity securities at amortized cost, net of allowance for credit losses, and fair value as of June 30, 2022. Contractual maturity may differ from expected maturity as borrowers may have the right to call or prepay obligations.


	AFS Securities
In millions	Net Amortized Cost		Fair Value
Due in one year or less	$	349	$	349
Due after one year through five years		354		345
Due after five years through ten years		392		358
Due after ten years		901		815
Mortgage-backed and asset-backed		628		598

Total fixed-maturity investments	$	2,624	$	2,465

Deposited and Pledged Securities

The fair value of securities on deposit with various regulatory authorities as of June 30, 2022 and December 31, 2021 was $11 million. These deposits are required to comply with state insurance laws.

Pursuant to the Company’s tax sharing agreement, securities held by MBIA Inc. in the Tax Escrow Account are included as “Investments pledged as collateral, at fair value” on the Company’s consolidated balance sheets.

Investment agreement obligations require the Company to pledge securities as collateral. Securities pledged in connection with investment agreements may not be repledged by the investment agreement counterparty. As of June 30, 2022 and December 31, 2021, the fair value of securities pledged as collateral for these investment agreements approximated $296 million and $280 million, respectively. The Company’s collateral as of June 30, 2022 consisted principally of U.S. Treasury and government agency and corporate obligations, and was primarily held with major U.S. banks.

Refer to “Note 8: Derivative Instruments” for information about securities posted to derivative counterparties.

Impaired Investments

The following tables present the non-credit related gross unrealized losses related to AFS investments as of June 30, 2022 and December 31, 2021:


	June 30, 2022
	Less than 12 Months					12 Months or Longer					Total
In millions	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
AFS Investments
Fixed-maturity investments:
U.S. Treasury and government agency	$	318	$	(27	)	$	19	$	(3	)	$	337	$	(30	)
State and municipal bonds		53		(7	)		-		-			53		(7	)
Foreign governments		15		(4	)		1		-			16		(4	)
Corporate obligations		732		(105	)		25		(7	)		757		(112	)
Mortgage-backed securities:
Residential mortgage-backed agency		146		(7	)		41		(7	)		187		(14	)
Residential mortgage-backed non-agency		118		(11	)		1		-			119		(11	)
Commercial mortgage-backed		16		(1	)		-		-			16		(1	)
Asset-backed securities:
Collateralized debt obligations		81		(3	)		36		(2	)		117		(5	)
Other asset-backed		132		(3	)		1		-			133		(3	)

Total AFS investments	$	1,611	$	(168	)	$	124	$	(19	)	$	1,735	$	(187	)


	December 31, 2021
	Less than 12 Months					12 Months or Longer					Total
In millions	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
AFS Investments
Fixed-maturity investments:
U.S. Treasury and government agency	$	161	$	(1	)	$	16	$	(1	)	$	177	$	(2	)
State and municipal bonds		11		-			-		-			11		-
Foreign governments		3		-			-		-			3		-
Corporate obligations		270		(5	)		8		-			278		(5	)
Mortgage-backed securities:
Residential mortgage-backed agency		94		(1	)		1		-			95		(1	)
Residential mortgage-backed non-agency		3		-			1		-			4		-
Commercial mortgage-backed		2		-			-		-			2		-
Asset-backed securities:
Collateralized debt obligations		60		-			29		-			89		-
Other asset-backed		72		(1	)		-		-			72		(1	)

Total AFS investments	$	676	$	(8	)	$	55	$	(1	)	$	731	$	(9	)

Gross unrealized losses on AFS investments increased as of June 30, 2022 compared with December 31, 2021 primarily due to higher interest rates and widening credit spreads.

With the weighting applied on the fair value of each security relative to the total fair value, the weighted average contractual maturity of securities in an unrealized loss position as of June 30, 2022 and December 31, 2021 was 14 and 11 years, respectively. As of June 30, 2022 and December 31, 2021, there were 89 and 36 securities, respectively, that were in an unrealized loss position for a continuous twelve-month period or longer, of which, fair values of 81 and 7 securities, respectively, were below book value by more than 5%.

The following table presents the distribution of securities in an unrealized loss position for a continuous twelve-month period or longer where fair value was below book value by more than 5% as of June 30, 2022:


	AFS Securities
Percentage of Fair Value Below Book Value	Number of Securities		Book Value (in millions)		Fair Value (in millions)
> 5% to 15%		36	$	53	$	49
> 15% to 25%		18		51		42
> 25% to 50%		24		15		10
> 50%		3		-		-

Total		81	$	119	$	101

As of June 30, 2022, the Company concluded that it does not have the intent to sell securities in an unrealized loss position and it is more likely than not, that it would not have to sell these securities before recovery of their cost basis. In making this conclusion, the Company examined the cash flow projections for its investment portfolios, the potential sources and uses of cash in its businesses, and the cash resources available to its business other than sales of securities. It also considered the existence of any risk management or other plans as of June 30, 2022 that would require the sale of impaired securities. Impaired securities that the Company intends to sell before the expected recovery of such securities’ fair values have been written down to fair value. For the three and six months ended June 30, 2022, impairment loss due to intent to sell securities in an unrealized loss position was $19 million and reported in “Other net realized gains (losses)” on the Company’s consolidated results of operation.

Credit Losses on Investments

The Company’s fixed-maturity securities for which fair value is less than amortized cost are reviewed quarterly in order to determine whether a credit loss exists. If the Company determines that the declines in the fair value are related to credit loss, the Company will establish an allowance for credit losses and recognize the credit component through earnings. Refer to “Note 8: Investments” in the Notes to Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021 for a discussion of the Company’s policy for its determination of credit losses. The Company did not purchase any credit-deteriorated assets for the six months ended June 30, 2022 and 2021.

Allowance for Credit Losses Rollforward

The following tables present the rollforward of allowance for credit losses on AFS investments for the three and six months ended June 30, 2022:


	Three Months Ended June 30, 2022
In millions	Balance as of March 31, 2022		Additions not previously recorded		Additions arising from PCD Assets		Reductions from Securities Sold		Reductions- Intent to sell or MLTN		Change in Allowance Previously Recorded		Write Offs		Recoveries		Balance as of June 30, 2022
AFS Investments
Fixed-maturity investments:
Corporate obligations	$	3	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	3

Total Allowance on AFS investments	$	3	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	3


	Six Months Ended June 30, 2022

In millions	Balance as of December 31, 2021		Additions not previously recorded		Additions arising from PCD Assets		Reductions from Securities Sold		Reductions- Intent to sell or MLTN		Change in Previously Allowance Recorded		Write Offs		Recoveries		Balance as of June 30, 2022
AFS Investments
Fixed-maturity investments:
Corporate obligations	$	-	$	3	$	-	$	-	$	-	$	-	$	-	$	-	$	3

Total Allowance on AFS investments	$	-	$	3	$	-	$	-	$	-	$	-	$	-	$	-	$	3

The additions to credit losses for the six months ended June 30, 2022 were related to concerns on an issuer’s credit deterioration as a result of the Ukraine and Russia conflict. The Company did not record any allowance for credit losses for the three or six months ended June 30, 2021.

The Company does not recognize credit losses on securities insured by MBIA Corp. and National since those securities, whether or not owned by the Company, are evaluated for impairments in accordance with its loss reserving policy. The following table provides information about securities held by the Company as of June 30, 2022 that were in an unrealized loss position and insured by a financial guarantor, along with the amount of insurance loss reserves corresponding to the par amount owned by the Company. The Company did not hold any securities in an unrealized loss position that were insured by a third-party financial guarantor as of June 30, 2022.


In millions	Fair Value		Unrealized Loss		Insurance Loss Reserve (1)
Mortgage-backed	$	110	$	(10)	$	125
Corporate oblig ations		86		(16)		-

Total	$	196	$	(26)	$	125

(1) -

Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured and are discounted using a discount rate equal to the risk-free rate applicable to the currency and weighted average remaining life of the insurance contract and may differ from the fair value.

Sales of Available-for-Sale Investments

Gross realized gains and losses from sales of AFS investments are recorded within “Net realized investment gains (losses)” on the Company’s consolidated statements of operations. The proceeds and the gross realized gains and losses from sales of fixed-maturity securities held as AFS for the three and six months ended June 30, 2022 and 2021 are as follows:


	Three Months Ended June 30,						Six Months Ended June 30,
In millions	2022			2021			2022			2021
Proceeds from sales	$	414		$	218		$	520		$	396
Gross realized gains	$	1		$	2		$	1		$	6
Gross realized losses	$	(22	)	$	(3	)	$	(25	)	$	(8	)

Equity and Trading Investments

Equity and trading investments are included within “Investments carried at fair value” on the Company’s consolidated balance sheets. Investments designated as trading include the CVI received in the first quarter of 2022 in connection with the implementation of the GO PSA. Unrealized gains and losses recognized on equity and trading investments held as of the end of each period for the three and six months ended June 30, 2022 and 2021 are as follows:


In millions	Three Months Ended June 30,					Six Months Ended June 30,
	2022			2021		2022			2021
Net gains (losses) recognized during the period on equity and trading securities	$	(18	)	$	3	$	(28	)	$	5
Less:
Net gains (losses) recognized during the period on equity and trading securities sold during the period		(1	)		-		-			-

Unrealized gains (losses) recognized during the period on equity and trading securities still held at the reporting date	$	(17	)	$	3	$	(28	)	$	5