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Investments | 12 Months Ended
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Dec. 31, 2023
Investments, Debt and Equity Securities [Abstract] |
Investments | 11. Investments See Note 13 for information about the fair value hierarchy for investments and the related valuation methodologies. Investment Risks and Uncertainties Investments are exposed to the following primary sources of risk: credit, interest rate, liquidity, market valuation, currency and real estate risk. The financial statement risks, stemming from such investment risks, are those associated with the determination of estimated fair values, the diminished ability to sell certain investments in times of strained market conditions, the recognition of ACL and impairments, the recognition of income on certain investments and the potential consolidation of VIEs. The use of different methodologies, assumptions and inputs relating to these financial statement risks may have a material effect on the amounts presented within the consolidated financial statements. The determination of ACL and impairments is highly subjective and is based upon quarterly evaluations and assessments of known and inherent risks associated with the respective asset class. Such evaluations and assessments are revised as conditions change and new information becomes available. The recognition of income on certain investments (e.g. structured securities, including mortgage-backed securities, asset-backed securities and collateralized loan obligations (“ABS & CLO”), certain structured investment transactions and FVO securities) is dependent upon certain factors such as prepayments and defaults, and changes in such factors could result in changes in amounts to be earned. Fixed Maturity Securities AFS Fixed Maturity Securities AFS by Sector The following table presents fixed maturity securities AFS by sector. U.S. corporate and foreign corporate sectors include redeemable preferred stock. RMBS includes agency, prime, prime investor, non-qualified residential mortgage, alternative, reperforming and sub-prime mortgage-backed securities. ABS & CLO includes securities collateralized by consumer loans, corporate loans and broadly syndicated bank loans. Municipals includes taxable and tax-exempt revenue bonds and, to a much lesser extent, general obligations of states, municipalities and political subdivisions. Commercial mortgage-backed securities (“CMBS”) primarily includes securities collateralized by multiple commercial mortgage loans. RMBS, ABS & CLO and CMBS are, collectively, “Structured Products.”
|  | December 31,
|  | 2023 |  | 2022
|  | Amortized Cost |  |  |  | Gross Unrealized |  | Estimated Fair Value |  | Amortized Cost |  |  |  | Gross Unrealized |  | Estimated Fair Value
Sector |  |  | Allowance for Credit Loss |  | Gains |  | Losses |  | Allowance for Credit Loss |  | Gains |  | Losses |
|  | (In millions)
U.S. corporate |  | $ | 85,563 |  |  | $ | (68) |  |  | $ | 1,894 |  |  | $ | 6,672 |  |  | $ | 80,717 |  |  | $ | 88,466 |  |  | $ | (29) |  |  | $ | 1,133 |  |  | $ | 9,540 |  |  | $ | 80,030 |
Foreign corporate |  | 59,123 |  |  | (2) |  |  | 1,750 |  |  | 5,427 |  |  | 55,444 |  |  | 59,696 |  |  | (5) |  |  | 1,213 |  |  | 8,332 |  |  | 52,572 |
Foreign government |  | 48,260 |  |  | (88) |  |  | 1,754 |  |  | 4,437 |  |  | 45,489 |  |  | 50,047 |  |  | (130) |  |  | 1,876 |  |  | 5,046 |  |  | 46,747 |
U.S. government and agency |  | 35,374 |  |  | — |  |  | 590 |  |  | 3,712 |  |  | 32,252 |  |  | 35,658 |  |  | — |  |  | 431 |  |  | 3,860 |  |  | 32,229 |
RMBS |  | 31,479 |  |  | (1) |  |  | 353 |  |  | 2,735 |  |  | 29,096 |  |  | 29,496 |  |  | — |  |  | 187 |  |  | 3,518 |  |  | 26,165 |
ABS & CLO |  | 17,910 |  |  | (7) |  |  | 54 |  |  | 663 |  |  | 17,294 |  |  | 17,991 |  |  | — |  |  | 23 |  |  | 1,192 |  |  | 16,822 |
Municipals |  | 11,991 |  |  | — |  |  | 408 |  |  | 1,228 |  |  | 11,171 |  |  | 13,548 |  |  | — |  |  | 317 |  |  | 1,713 |  |  | 12,152 |
CMBS |  | 10,855 |  |  | (18) |  |  | 73 |  |  | 961 |  |  | 9,949 |  |  | 11,123 |  |  | (19) |  |  | 59 |  |  | 1,100 |  |  | 10,063 |
Total fixed maturity securities AFS |  | $ | 300,555 |  |  | $ | (184) |  |  | $ | 6,876 |  |  | $ | 25,835 |  |  | $ | 281,412 |  |  | $ | 306,025 |  |  | $ | (183) |  |  | $ | 5,239 |  |  | $ | 34,301 |  |  | $ | 276,780 |
Methodology for Amortization of Premium and Accretion of Discount on Structured Products Amortization of premium and accretion of discount on Structured Products considers the estimated timing and amount of prepayments of the underlying loans. Actual prepayment experience is periodically reviewed and effective yields are recalculated when differences arise between the originally anticipated and the actual prepayments received and currently anticipated. Prepayment assumptions for Structured Products are estimated using inputs obtained from third-party specialists and based on management’s knowledge of the current market. For credit-sensitive and certain prepayment-sensitive Structured Products, the effective yield is recalculated on a prospective basis. For all other Structured Products, the effective yield is recalculated on a retrospective basis. Maturities of Fixed Maturity Securities AFS The amortized cost, net of ACL, and estimated fair value of fixed maturity securities AFS, by contractual maturity date, were as follows at December 31, 2023:
| Due in One Year or Less |  | Due After One Year Through Five Years |  | Due After Five Years Through Ten Years |  | Due After Ten Years |  | Structured Products |  | Total Fixed Maturity Securities AFS
| (In millions)
Amortized cost, net of ACL | $ | 9,644 |  |  | $ | 48,922 |  |  | $ | 51,837 |  |  | $ | 129,750 |  |  | $ | 60,218 |  |  | $ | 300,371 |
Estimated fair value | $ | 9,677 |  |  | $ | 48,325 |  |  | $ | 50,598 |  |  | $ | 116,473 |  |  | $ | 56,339 |  |  | $ | 281,412 |
Actual maturities may differ from contractual maturities due to the exercise of call or prepayment options. Fixed maturity securities AFS not due at a single maturity date have been presented in the year of final contractual maturity. Structured Products are shown separately, as they are not due at a single maturity. Continuous Gross Unrealized Losses for Fixed Maturity Securities AFS by Sector The following table presents the estimated fair value and gross unrealized losses of fixed maturity securities AFS in an unrealized loss position without an ACL by sector and aggregated by length of time that the securities have been in a continuous unrealized loss position.
| December 31,
| 2023 |  | 2022
| Less than 12 Months |  | Equal to or Greater than 12 Months |  | Less than 12 Months |  | Equal to or Greater than 12 Months
Sector & Credit Quality | Estimated Fair Value |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Gross Unrealized Losses
| (Dollars in millions)
U.S. corporate | $ | 4,722 |  |  | $ | 420 |  |  | $ | 45,373 |  |  | $ | 6,208 |  |  | $ | 55,210 |  |  | $ | 7,573 |  |  | $ | 6,484 |  |  | $ | 1,965 |
Foreign corporate | 3,210 |  |  | 187 |  |  | 32,355 |  |  | 5,240 |  |  | 31,932 |  |  | 5,999 |  |  | 8,956 |  |  | 2,332 |
Foreign government | 3,913 |  |  | 246 |  |  | 19,715 |  |  | 4,187 |  |  | 16,568 |  |  | 2,170 |  |  | 8,308 |  |  | 2,874 |
U.S. government and agency | 7,856 |  |  | 368 |  |  | 13,960 |  |  | 3,344 |  |  | 20,436 |  |  | 2,784 |  |  | 4,177 |  |  | 1,076 |
RMBS | 3,465 |  |  | 60 |  |  | 17,128 |  |  | 2,675 |  |  | 16,223 |  |  | 1,890 |  |  | 6,650 |  |  | 1,628 |
ABS & CLO | 1,662 |  |  | 31 |  |  | 11,438 |  |  | 629 |  |  | 10,924 |  |  | 712 |  |  | 4,326 |  |  | 480 |
Municipals | 483 |  |  | 34 |  |  | 5,449 |  |  | 1,194 |  |  | 7,277 |  |  | 1,514 |  |  | 482 |  |  | 199 |
CMBS | 1,034 |  |  | 36 |  |  | 6,671 |  |  | 917 |  |  | 6,890 |  |  | 764 |  |  | 2,037 |  |  | 335 |
Total fixed maturity securities AFS | $ | 26,345 |  |  | $ | 1,382 |  |  | $ | 152,089 |  |  | $ | 24,394 |  |  | $ | 165,460 |  |  | $ | 23,406 |  |  | $ | 41,420 |  |  | $ | 10,889 |
Investment grade | $ | 24,834 |  |  | $ | 1,287 |  |  | $ | 146,138 |  |  | $ | 23,675 |  |  | $ | 157,654 |  |  | $ | 22,713 |  |  | $ | 38,785 |  |  | $ | 10,298 |
Below investment grade | 1,511 |  |  | 95 |  |  | 5,951 |  |  | 719 |  |  | 7,806 |  |  | 693 |  |  | 2,635 |  |  | 591 |
Total fixed maturity securities AFS | $ | 26,345 |  |  | $ | 1,382 |  |  | $ | 152,089 |  |  | $ | 24,394 |  |  | $ | 165,460 |  |  | $ | 23,406 |  |  | $ | 41,420 |  |  | $ | 10,889 |
Total number of securities in an unrealized loss position | 2,922 |  |  |  |  | 13,049 |  |  |  |  | 15,204 |  |  |  |  | 4,303 |  |  |
Evaluation of Fixed Maturity Securities AFS for Credit Loss Evaluation and Measurement Methodologies Management considers a wide range of factors about the security issuer and uses its best judgment in evaluating the cause of the decline in the estimated fair value of the security and in assessing the prospects for near-term recovery. Inherent in management’s evaluation of the security are assumptions and estimates about the operations of the issuer and its future earnings potential. Considerations used in the credit loss evaluation process include, but are not limited to: (i) the extent to which the estimated fair value has been below amortized cost, (ii) adverse conditions specifically related to a security, an industry sector or sub-sector, or an economically depressed geographic area, adverse change in the financial condition of the issuer of the security, changes in technology, discontinuance of a segment of the business that may affect future earnings, and changes in the quality of credit enhancement, (iii) payment structure of the security and likelihood of the issuer being able to make payments, (iv) failure of the issuer to make scheduled interest and principal payments, (v) whether the issuer, or series of issuers or an industry has suffered a catastrophic loss or has exhausted natural resources, (vi) whether the Company has the intent to sell or will more likely than not be required to sell, including transfers in connection with reinsurance transactions, a particular security before the decline in estimated fair value below amortized cost recovers, (vii) with respect to Structured Products, changes in forecasted cash flows after considering the changes in the financial condition of the underlying loan obligors and quality of underlying collateral, expected prepayment speeds, current and forecasted loss severity, consideration of the payment terms of the underlying assets backing a particular security, and the payment priority within the tranche structure of the security, (viii) changes in the rating of the security by a rating agency, and (ix) other subjective factors, including concentrations and information obtained from regulators. The methodology and significant inputs used to determine the amount of credit loss are as follows: •The Company calculates the recovery value by performing a discounted cash flow analysis based on the present value of future cash flows. The discount rate is generally the effective interest rate of the security at the time of purchase for fixed-rate securities and the spot rate at the date of evaluation of credit loss for floating-rate securities. •When determining collectability and the period over which value is expected to recover, the Company applies considerations utilized in its overall credit loss evaluation process which incorporates information regarding the specific security, fundamentals of the industry and geographic area in which the security issuer operates, and overall macroeconomic conditions. Projected future cash flows are estimated using assumptions derived from management’s single best estimate, the most likely outcome in a range of possible outcomes, after giving consideration to a variety of variables that include, but are not limited to: payment terms of the security; the likelihood that the issuer can service the interest and principal payments; the quality and amount of any credit enhancements; the security’s position within the capital structure of the issuer; possible corporate restructurings or asset sales by the issuer; any private and public sector programs to restructure foreign government securities and municipals; and changes to the rating of the security or the issuer by rating agencies. •Additional considerations are made when assessing the features that apply to certain Structured Products including, but not limited to: the quality of underlying collateral, historical performance of the underlying loan obligors, historical rent and vacancy levels, changes in the financial condition of the underlying loan obligors, expected prepayment speeds, current and forecasted loss severity, consideration of the payment terms of the underlying loans or assets backing a particular security, changes in the quality of credit enhancement and the payment priority within the tranche structure of the security. With respect to securities that have attributes of debt and equity (“perpetual hybrid securities”), consideration is given in the credit loss analysis as to whether there has been any deterioration in the credit of the issuer and the likelihood of recovery in value of the securities that are in a severe unrealized loss position. Consideration is also given as to whether any perpetual hybrid securities with an unrealized loss, regardless of credit rating, have deferred any dividend payments. In periods subsequent to the recognition of an initial ACL on a security, the Company reassesses credit loss quarterly. Subsequent increases or decreases in the expected cash flow from the security result in corresponding decreases or increases in the ACL which are recognized in earnings and reported within net investment gains (losses); however, the previously recorded ACL is not reduced to an amount below zero. Full or partial write-offs are deducted from the ACL in the period the security, or a portion thereof, is considered uncollectible. Recoveries of amounts previously written off are recorded to the ACL in the period received. When the Company has the intent-to-sell the security or it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost, any ACL is written off and the amortized cost is written down to estimated fair value through a charge within net investment gains (losses), which becomes the new amortized cost of the security. Evaluation of Fixed Maturity Securities AFS in an Unrealized Loss Position Gross unrealized losses on securities without an ACL decreased $8.5 billion for the year ended December 31, 2023 to $25.8 billion primarily due to interest rate volatility, narrowing credit spreads, impairments in connection with a reinsurance transaction and, to a lesser extent, the strengthening of foreign currencies on certain non-functional currency denominated fixed maturity securities. As shown above, most of the gross unrealized losses on securities without an ACL that have been in a continuous gross unrealized loss position for 12 months or greater at December 31, 2023 relate to investment grade securities. These unrealized losses are principally due to widening credit spreads since purchase and, with respect to fixed-rate securities, rising interest rates since purchase. As of December 31, 2023, $719 million of gross unrealized losses on securities without an ACL that have been in a continuous gross unrealized loss position for 12 months or greater on below investment grade securities were concentrated in the consumer, transportation, and communications sectors within corporate securities and in foreign government securities. These unrealized losses are the result of significantly wider credit spreads resulting from higher risk premiums since purchase, largely due to economic and market uncertainty and, with respect to fixed-rate securities, rising interest rates since purchase. At December 31, 2023, the Company did not intend to sell its securities in an unrealized loss position without an ACL, and it was not more likely than not that the Company would be required to sell these securities before the anticipated recovery of the remaining amortized cost. Therefore, the Company concluded that these securities had not incurred a credit loss and should not have an ACL at December 31, 2023. Future provisions for credit loss will depend primarily on economic fundamentals, issuer performance (including changes in the present value of future cash flows expected to be collected), changes in credit ratings and collateral valuation. Rollforward of Allowance for Credit Loss for Fixed Maturity Securities AFS By Sector The rollforward of ACL for fixed maturity securities AFS by sector is as follows:
|  | U.S. Corporate |  | Foreign Corporate |  | Foreign Government |  |  |  | RMBS |  | ABS & CLO |  |  |  | CMBS |  | Total
Year Ended December 31, 2023 |  | (In millions)
Balance at January 1, |  | $ | 29 |  |  | $ | 5 |  |  | $ | 130 |  |  |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | 19 |  |  | $ | 183 |
ACL not previously recorded |  | 36 |  |  | — |  |  | — |  |  |  |  | 2 |  |  | 7 |  |  |  |  | 2 |  |  | 47 |
Changes for securities with previously recorded ACL |  | 7 |  |  | — |  |  | (23) |  |  |  |  | (1) |  |  | — |  |  |  |  | 8 |  |  | (9) |
Securities sold or exchanged |  | (4) |  |  | (3) |  |  | (19) |  |  |  |  | — |  |  | — |  |  |  |  | (11) |  |  | (37) |
Balance at December 31, |  | $ | 68 |  |  | $ | 2 |  |  | $ | 88 |  |  |  |  | $ | 1 |  |  | $ | 7 |  |  |  |  | $ | 18 |  |  | $ | 184 |
|  | U.S. Corporate |  | Foreign Corporate |  | Foreign Government |  |  |  | RMBS |  | ABS & CLO |  |  |  | CMBS |  | Total
Year Ended December 31, 2022 |  | (In millions)
Balance at January 1, |  | $ | 30 |  |  | $ | 28 |  |  | $ | 19 |  |  |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | 14 |  |  | $ | 91 |
ACL not previously recorded |  | 13 |  |  | 67 |  |  | 207 |  |  |  |  | — |  |  | — |  |  |  |  | 5 |  |  | 292 |
Changes for securities with previously recorded ACL |  | 17 |  |  | 2 |  |  | (48) |  |  |  |  | — |  |  | — |  |  |  |  | — |  |  | (29) |
Securities sold or exchanged |  | (9) |  |  | (93) |  |  | (37) |  |  |  |  | — |  |  | — |  |  |  |  | — |  |  | (139) |
Effect of foreign currency translation |  | — |  |  | 1 |  |  | (11) |  |  |  |  | — |  |  | — |  |  |  |  | — |  |  | (10) |
Write-offs |  | (22) |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  |  |  | — |  |  | (22) |
Balance at December 31, |  | $ | 29 |  |  | $ | 5 |  |  | $ | 130 |  |  |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | 19 |  |  | $ | 183 |
Equity Securities The following table presents equity securities by security type. Common stock includes common stock, exchange traded funds, certain mutual funds and certain real estate investment trusts.
|  | December 31,
|  | 2023 | 2022
|  | Cost |  | Net Unrealized Gains (Losses) (1) |  | Estimated Fair Value |  | Cost |  | Net Unrealized Gains (Losses) (1) |  | Estimated Fair Value
Security Type |  |  |  |  |
|  |  |  | (In millions)
Common stock |  | $ | 424 |  |  | $ | 239 |  |  | $ | 663 |  |  | $ | 1,347 |  |  | $ | 195 |  |  | $ | 1,542 |
Non-redeemable preferred stock |  | 90 |  |  | 4 |  |  | 94 |  |  | 148 |  |  | (6) |  |  | 142 |
Total |  | $ | 514 |  |  | $ | 243 |  |  | $ | 757 |  |  | $ | 1,495 |  |  | $ | 189 |  |  | $ | 1,684 |
__________________ (1)Represents cumulative changes in estimated fair value, recognized in earnings, and not in OCI. Contractholder-Directed Equity Securities and FVO Securities The following table presents these investments by asset type. Unit-linked investments are primarily equity securities (including mutual funds). FVO securities includes fixed maturity and equity securities to support asset and liability management strategies for certain insurance products and investments in certain separate accounts.
|  | December 31,
|  | 2023 | 2022
|  | Cost or Amortized Cost |  | Net Unrealized Gains (Losses) (1) |  | Estimated Fair Value |  | Cost or Amortized Cost |  | Net Unrealized Gains (Losses) (1) |  | Estimated Fair Value
Asset Type |  |  |  |  |
|  | (In millions)
Unit-linked investments |  | $ | 7,770 |  |  | $ | 1,112 |  |  | $ | 8,882 |  |  | $ | 7,945 |  |  | $ | 288 |  |  | $ | 8,233 |
FVO securities |  | 972 |  |  | 477 |  |  | 1,449 |  |  | 1,161 |  |  | 274 |  |  | 1,435 |
Total |  | $ | 8,742 |  |  | $ | 1,589 |  |  | $ | 10,331 |  |  | $ | 9,106 |  |  | $ | 562 |  |  | $ | 9,668 |
__________________ (1)Represents cumulative changes in estimated fair value, recognized in earnings, and not in OCI. Mortgage Loans Mortgage Loans by Portfolio Segment Mortgage loans are summarized as follows at:
|  | December 31,
|  | 2023 |  | 2022
Portfolio Segment |  | Carrying Value (1) |  | % of Total |  | Carrying Value |  | % of Total
|  | (Dollars in millions)
Commercial |  | $ | 60,326 |  |  | 65.2 | % |  | $ | 52,502 |  |  | 62.7 | %
Agricultural |  | 19,805 |  |  | 21.4 |  |  | 19,306 |  |  | 23.0 |
Residential |  | 13,096 |  |  | 14.2 |  |  | 12,482 |  |  | 14.9 |
Total amortized cost |  | 93,227 |  |  | 100.8 |  |  | 84,290 |  |  | 100.6 |
Allowance for credit loss |  | (721) |  |  | (0.8) |  |  | (527) |  |  | (0.6) |
Total mortgage loans |  | $ | 92,506 |  |  | 100.0 | % |  | $ | 83,763 |  |  | 100.0 | %
__________________ (1)Includes certain mortgage loans originated for third parties of $8.5 billion at amortized cost ($8.2 billion commercial and $246 million agricultural) and the related ACL of $73 million, with the corresponding mortgage loan secured financing liability of $8.5 billion included in other liabilities on the consolidated balance sheet. The investment income on these mortgage loans originated for third parties and the interest expense on the mortgage loan secured financing liability was $408 million for the year ended December 31, 2023, and recorded in investment income and investment expenses, within net investment income. See Note 1. The amount of net (discounts) premiums and deferred (fees) expenses, included within total amortized cost, primarily attributable to residential mortgage loans was ($736) million and ($744) million at December 31, 2023 and 2022, respectively. The accrued interest income excluded from total amortized cost for commercial, agricultural and residential mortgage loans at December 31, 2023 was $277 million, $204 million, and $95 million, respectively. The accrued interest income excluded from total amortized cost for commercial, agricultural and residential mortgage loans at December 31, 2022 was $219 million, $176 million and $81 million, respectively. Purchases of mortgage loans, consisting primarily of residential mortgage loans, were $1.5 billion, $3.1 billion and $1.8 billion for the years ended December 31, 2023, 2022 and 2021, respectively. During the year ended December 31, 2023, the Company disposed of commercial mortgage loans with an amortized cost of $254 million in connection with a reinsurance transaction. The disposition resulted in a loss of $58 million for the year ended December 31, 2023. During the years ended December 31, 2023 and 2022, the Company contributed commercial mortgage loans with an amortized cost of $15 million and $489 million, respectively, to joint ventures in anticipation of subsequent foreclosure or deed-in-lieu of foreclosure transactions. During the years ended December 31, 2023 and 2022, the joint ventures completed foreclosure or deed-in-lieu of foreclosure transactions on loans with an amortized cost of $37 million and $467 million, respectively. During the year ended December 31, 2023, no gains or losses were recognized on foreclosures or deed-in-lieu of foreclosures within joint ventures as the estimated fair value of the real estate collateralizing the foreclosures or deed-in-lieu of foreclosures approximated amortized cost. The real estate collateralizing the 2022 foreclosures or deed-in-lieu of foreclosures had an estimated fair value in excess of amortized cost. Therefore, during the year ended December 31, 2022, the Company recognized its pro rata share of $34 million within net investment gains (losses) upon consummation of the foreclosures or deed-in-lieu of foreclosures. See “— Real Estate and Real Estate Joint Ventures” for the carrying value of wholly-owned real estate acquired through foreclosure. Rollforward of Allowance for Credit Loss for Mortgage Loans by Portfolio Segment The rollforward of ACL for mortgage loans, by portfolio segment, is as follows:
| Years Ended December 31,
| 2023 |  | 2022 |  | 2021
| Commercial |  | Agricultural |  | Residential |  | Total |  | Commercial |  | Agricultural |  | Residential |  | Total |  | Commercial |  | Agricultural |  | Residential |  | Total
| (In millions)
Balance at January 1, | $ | 218 |  |  | $ | 119 |  |  | $ | 190 |  |  | $ | 527 |  |  | $ | 340 |  |  | $ | 88 |  |  | $ | 206 |  |  | $ | 634 |  |  | $ | 252 |  |  | $ | 106 |  |  | $ | 232 |  |  | $ | 590 |
Provision (release) | 168 |  |  | 89 |  |  | (8) |  |  | 249 |  |  | (2) |  |  | 53 |  |  | (8) |  |  | 43 |  |  | 88 |  |  | 6 |  |  | (27) |  |  | 67 |
Initial credit losses on PCD loans (1) | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3 |  |  | 3 |
Charge-offs, net of recoveries | (19) |  |  | (36) |  |  | — |  |  | (55) |  |  | (120) |  |  | (22) |  |  | (8) |  |  | (150) |  |  | — |  |  | (24) |  |  | (2) |  |  | (26) |
Balance at December 31, | $ | 367 |  |  | $ | 172 |  |  | $ | 182 |  |  | $ | 721 |  |  | $ | 218 |  |  | $ | 119 |  |  | $ | 190 |  |  | $ | 527 |  |  | $ | 340 |  |  | $ | 88 |  |  | $ | 206 |  |  | $ | 634 |
__________________ (1)Represents the initial credit losses on purchased mortgage loans accounted for as PCD. Allowance for Credit Loss Methodology The Company records an allowance for expected lifetime credit loss in earnings within net investment gains (losses) in an amount that represents the portion of the amortized cost basis of mortgage loans that the Company does not expect to collect, resulting in mortgage loans being presented at the net amount expected to be collected. In determining the Company’s ACL, management applies significant judgment to estimate expected lifetime credit loss, including: (i) pooling mortgage loans that share similar risk characteristics, (ii) considering expected lifetime credit loss over the contractual term of its mortgage loans adjusted for expected prepayments and any extensions, and (iii) considering past events and current and forecasted economic conditions. Each of the Company’s commercial, agricultural and residential mortgage loan portfolio segments are evaluated separately. The ACL is calculated for each mortgage loan portfolio segment based on inputs unique to each loan portfolio segment. On a quarterly basis, mortgage loans within a portfolio segment that share similar risk characteristics, such as internal risk ratings or consumer credit scores, are pooled for calculation of ACL. On an ongoing basis, mortgage loans with dissimilar risk characteristics (i.e., loans with significant declines in credit quality), such as collateral dependent mortgage loans (i.e., when the borrower is experiencing financial difficulty, including when foreclosure is reasonably possible or probable), are evaluated individually for credit loss. The ACL for loans evaluated individually are established using the same methodologies for all three portfolio segments. For example, the ACL for a collateral dependent loan is established as the excess of amortized cost over the estimated fair value of the loan’s underlying collateral, less selling cost when foreclosure is probable. Accordingly, the change in the estimated fair value of collateral dependent loans, which are evaluated individually for credit loss, is recorded as a change in the ACL which is recorded on a quarterly basis as a charge or credit to earnings in net investment gains (losses). Commercial and Agricultural Mortgage Loan Portfolio Segments Within each loan portfolio segment, commercial and agricultural loans are pooled by internal risk rating. Estimated lifetime loss rates, which vary by internal risk rating, are applied to the amortized cost of each loan, excluding accrued investment income, on a quarterly basis to develop the ACL. Internal risk ratings are based on an assessment of the loan’s credit quality, which can change over time. The estimated lifetime loss rates are based on several loan portfolio segment-specific factors, including (i) the Company’s experience with defaults and loss severity, (ii) expected default and loss severity over the forecast period, (iii) current and forecasted economic conditions including growth, inflation, interest rates and unemployment levels, (iv) loan specific characteristics including loan-to-value (“LTV”) ratios, and (v) internal risk ratings. These evaluations are revised as conditions change and new information becomes available. The Company uses its several decades of historical default and loss severity experience which capture multiple economic cycles. The Company uses a forecast of economic assumptions for a two-year period for most of its commercial and agricultural mortgage loans, while a one-year period is used for loans originated in certain markets. After the applicable forecast period, the Company reverts to its historical loss experience using a straight-line basis over two years. For evaluations of commercial mortgage loans, in addition to historical experience, management considers factors that include the impact of a rapid change to the economy, which may not be reflected in the loan portfolio, recent loss and recovery trend experience as compared to historical loss and recovery experience, and loan specific characteristics including debt service coverage ratios (“DSCR”). In estimating expected lifetime credit loss over the term of its commercial mortgage loans, the Company adjusts for expected prepayment and extension experience during the forecast period using historical prepayment and extension experience considering the expected position in the economic cycle and the loan profile (i.e., floating rate, shorter-term fixed rate and longer-term fixed rate) and after the forecast period using long-term historical prepayment experience. For evaluations of agricultural mortgage loans, in addition to historical experience, management considers factors that include increased stress in certain sectors, which may be evidenced by higher delinquency rates, or a change in the number of higher risk loans. In estimating expected lifetime credit loss over the term of its agricultural mortgage loans, the Company’s experience is much less sensitive to the position in the economic cycle and by loan profile; accordingly, historical prepayment experience is used, while extension terms are not prevalent with the Company’s agricultural mortgage loans. Commercial mortgage loans are reviewed on an ongoing basis, which review includes, but is not limited to, an analysis of the property financial statements and rent roll, lease rollover analysis, property inspections, market analysis, estimated valuations of the underlying collateral, LTV ratios, DSCR and tenant creditworthiness. The monitoring process focuses on higher risk loans, which include those that are classified as restructured, delinquent or in foreclosure, as well as loans with higher LTV ratios and lower DSCR. Agricultural mortgage loans are reviewed on an ongoing basis, which review includes, but is not limited to, property inspections, market analysis, estimated valuations of the underlying collateral, LTV ratios and borrower creditworthiness, as well as reviews on a geographic and property-type basis. The monitoring process for agricultural mortgage loans also focuses on higher risk loans. For commercial mortgage loans, the primary credit quality indicator is the DSCR, which compares a property’s net operating income to amounts needed to service the principal and interest due under the loan. Generally, the lower the DSCR, the higher the risk of experiencing a credit loss. The Company also reviews the LTV ratio of its commercial mortgage loan portfolio. LTV ratios compare the unpaid principal balance of the loan to the estimated fair value of the underlying collateral. Generally, the higher the LTV ratio, the higher the risk of experiencing a credit loss. The DSCR and the values utilized in calculating the ratio are updated routinely. In addition, the LTV ratio is routinely updated for all but the lowest risk loans as part of the Company’s ongoing review of its commercial mortgage loan portfolio. For agricultural mortgage loans, the Company’s primary credit quality indicator is the LTV ratio. The values utilized in calculating this ratio are developed in connection with the ongoing review of the agricultural mortgage loan portfolio and are routinely updated. After commercial and agricultural mortgage loans are approved, the Company makes commitments to lend and, typically, borrowers draw down on some or all of the commitments. The timing of mortgage loan funding is based on the commitment expiration dates. A liability for credit loss for unfunded commercial and agricultural mortgage loan commitments that is not unconditionally cancellable is recognized in earnings and is reported within net investment gains (losses). The liability is based on estimated lifetime loss rates as described above and the amount of the outstanding commitments, which for lines of credit, considers estimated utilization rates. When the commitment is funded or expires, the liability is adjusted accordingly. Residential Mortgage Loan Portfolio Segment The Company’s residential mortgage loan portfolio is comprised primarily of purchased closed end, amortizing residential mortgage loans, including both performing loans purchased within 12 months of origination and reperforming loans purchased after they have been performing for at least 12 months post-modification. Residential mortgage loans are pooled by loan type (i.e., new origination and reperforming) and pooled by similar risk profiles (including consumer credit score and LTV ratios). Estimated lifetime loss rates, which vary by loan type and risk profile, are applied to the amortized cost of each loan excluding accrued investment income on a quarterly basis to develop the ACL. The estimated lifetime loss rates are based on several factors, including (i) industry historical experience and expected results over the forecast period for defaults, (ii) loss severity, (iii) prepayment rates, (iv) current and forecasted economic conditions including growth, inflation, interest rates and unemployment levels, and (v) loan pool specific characteristics including consumer credit scores, LTV ratios, payment history and home prices. These evaluations are revised as conditions change and new information becomes available. The Company uses industry historical experience which captures multiple economic cycles as the Company has purchased most of its residential mortgage loans in the last five years. The Company uses a forecast of economic assumptions for a two-year period for most of its residential mortgage loans. After the applicable forecast period, the Company reverts to industry historical loss experience using a straight-line basis over one year. For residential mortgage loans, the Company’s primary credit quality indicator is whether the loan is performing or nonperforming. The Company generally defines nonperforming residential mortgage loans as those that are 60 or more days past due and/or in nonaccrual status which is assessed monthly. Generally, nonperforming residential mortgage loans have a higher risk of experiencing a credit loss. Modifications to Borrowers Experiencing Financial Difficulty The Company may modify mortgage loans to borrowers. Each mortgage loan modification is evaluated to determine whether the borrower was experiencing financial difficulties. Disclosed below are those modifications, in materially impacted segments, where the borrower was determined to be experiencing financial difficulties and the mortgage loans were modified by any of the following means, principal forgiveness, interest rate reduction, other-than-insignificant payment delay or term extension. The amount, timing and extent of modifications granted are considered in determining any ACL recorded. Mortgage loans are summarized as follows at:
| December 31, 2023
| Maturity Extension |  |  |  |  |  |  |  | Weighted Average Life Increase |  |  |  | % of Total BV
| Amortized Cost |  |  |  |  |  |  |  | Affected Loans (in Years) |  |  |  |
| (Dollars in millions)
Commercial | $ | 522 |  |  |  |  |  |  |  |  | Less than one year |  |  |  |  |  | 1.0 | %
For the year ended December 31, 2023, the Company did not have a significant amount of mortgage loans that were modified to borrowers experiencing financial difficulty that are not considered current. Credit Quality of Mortgage Loans by Portfolio Segment The amortized cost of commercial mortgage loans by credit quality indicator and vintage year was as follows at December 31, 2023:
Credit Quality Indicator |  | 2023 |  | 2022 |  | 2021 |  | 2020 |  | 2019 |  | Prior |  | Revolving Loans |  | Total |  | % of Total
|  | (Dollars in millions)
LTV ratios: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Less than 65% |  | $ | 2,592 |  |  | $ | 2,724 |  |  | $ | 3,392 |  |  | $ | 1,787 |  |  | $ | 4,220 |  |  | $ | 13,082 |  |  | $ | 2,698 |  |  | $ | 30,495 |  |  | 50.6 | %
65% to 75% |  | 372 |  |  | 4,465 |  |  | 2,737 |  |  | 1,651 |  |  | 1,636 |  |  | 6,114 |  |  | — |  |  | 16,975 |  |  | 28.1 |
76% to 80% |  | 58 |  |  | 846 |  |  | 335 |  |  | 377 |  |  | 1,367 |  |  | 1,692 |  |  | — |  |  | 4,675 |  |  | 7.7 |
Greater than 80% |  | 46 |  |  | 794 |  |  | 977 |  |  | 899 |  |  | 1,392 |  |  | 4,073 |  |  | — |  |  | 8,181 |  |  | 13.6 |
Total |  | $ | 3,068 |  |  | $ | 8,829 |  |  | $ | 7,441 |  |  | $ | 4,714 |  |  | $ | 8,615 |  |  | $ | 24,961 |  |  | $ | 2,698 |  |  | $ | 60,326 |  |  | 100.0 | %
DSCR: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
> 1.20x |  | $ | 2,088 |  |  | $ | 7,387 |  |  | $ | 6,880 |  |  | $ | 4,372 |  |  | $ | 7,243 |  |  | $ | 21,644 |  |  | $ | 2,698 |  |  | $ | 52,312 |  |  | 86.7 | %
1.00x - 1.20x |  | 666 |  |  | 590 |  |  | 543 |  |  | — |  |  | 849 |  |  | 1,986 |  |  | — |  |  | 4,634 |  |  | 7.7 |
<1.00x |  | 314 |  |  | 852 |  |  | 18 |  |  | 342 |  |  | 523 |  |  | 1,331 |  |  | — |  |  | 3,380 |  |  | 5.6 |
Total |  | $ | 3,068 |  |  | $ | 8,829 |  |  | $ | 7,441 |  |  | $ | 4,714 |  |  | $ | 8,615 |  |  | $ | 24,961 |  |  | $ | 2,698 |  |  | $ | 60,326 |  |  | 100.0 | %
The amortized cost of agricultural mortgage loans by credit quality indicator and vintage year was as follows at December 31, 2023:
Credit Quality Indicator |  | 2023 |  | 2022 |  | 2021 |  | 2020 |  | 2019 |  | Prior |  | Revolving Loans |  | Total |  | % of Total
|  | (Dollars in millions)
LTV ratios: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Less than 65% |  | $ | 1,123 |  |  | $ | 2,796 |  |  | $ | 2,650 |  |  | $ | 2,725 |  |  | $ | 1,728 |  |  | $ | 5,953 |  |  | $ | 1,394 |  |  | $ | 18,369 |  |  | 92.8 | %
65% to 75% |  | 30 |  |  | 96 |  |  | 301 |  |  | 160 |  |  | 24 |  |  | 542 |  |  | 121 |  |  | 1,274 |  |  | 6.4 |
76% to 80% |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Greater than 80% |  | 4 |  |  | — |  |  | — |  |  | 5 |  |  | 133 |  |  | 14 |  |  | 6 |  |  | 162 |  |  | 0.8 |
Total |  | $ | 1,157 |  |  | $ | 2,892 |  |  | $ | 2,951 |  |  | $ | 2,890 |  |  | $ | 1,885 |  |  | $ | 6,509 |  |  | $ | 1,521 |  |  | $ | 19,805 |  |  | 100.0 | %
The amortized cost of residential mortgage loans by credit quality indicator and vintage year was as follows at December 31, 2023:
Credit Quality Indicator |  | 2023 |  | 2022 |  | 2021 |  | 2020 |  | 2019 |  | Prior |  | Revolving Loans |  | Total |  | % of Total
|  | (Dollars in millions)
Performance indicators: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Performing |  | $ | 767 |  |  | $ | 2,508 |  |  | $ | 1,501 |  |  | $ | 336 |  |  | $ | 927 |  |  | $ | 6,639 |  |  | $ | — |  |  | $ | 12,678 |  |  | 96.8 | %
Nonperforming (1) |  | 5 |  |  | 46 |  |  | 22 |  |  | 16 |  |  | 44 |  |  | 285 |  |  | — |  |  | 418 |  |  | 3.2 |
Total |  | $ | 772 |  |  | $ | 2,554 |  |  | $ | 1,523 |  |  | $ | 352 |  |  | $ | 971 |  |  | $ | 6,924 |  |  | $ | — |  |  | $ | 13,096 |  |  | 100.0 | %
__________________ (1)Includes residential mortgage loans in process of foreclosure of $140 million and $146 million at December 31, 2023 and 2022, respectively. LTV ratios compare the unpaid principal balance of the loan to the estimated fair value of the underlying collateral. The amortized cost of commercial and agricultural mortgage loans with an LTV ratio in excess of 100% was $1.6 billion, or 2% of total commercial and agricultural mortgage loans, at December 31, 2023. Past Due and Nonaccrual Mortgage Loans The Company has a high quality, well performing mortgage loan portfolio, with 99% of all mortgage loans classified as performing at both December 31, 2023 and 2022. The Company defines delinquency consistent with industry practice, when mortgage loans are past due more than two or more months, as applicable, by portfolio segment. The past due and nonaccrual mortgage loans at amortized cost, prior to ACL by portfolio segment, were as follows:
|  | Past Due |  | Past Due and Still Accruing Interest |  | Nonaccrual
Portfolio Segment |  | December 31, 2023 |  | December 31, 2022 |  | December 31, 2023 |  | December 31, 2022 |  | December 31, 2023 |  | December 31, 2022
|  | (In millions)
Commercial |  | $ | 75 |  |  | $ | 6 |  |  | $ | 3 |  |  | $ | 6 |  |  | $ | 427 |  |  | $ | 169 |
Agricultural |  | 40 |  |  | 124 |  |  | — |  |  | 21 |  |  | 206 |  |  | 131 |
Residential |  | 418 |  |  | 473 |  |  | 16 |  |  | 12 |  |  | 402 |  |  | 462 |
Total |  | $ | 533 |  |  | $ | 603 |  |  | $ | 19 |  |  | $ | 39 |  |  | $ | 1,035 |  |  | $ | 762 |
Real Estate and Real Estate Joint Ventures The Company’s real estate investment portfolio is diversified by property type, geography and income stream, including income from operating leases, operating income and equity in earnings from equity method real estate joint ventures. Real estate investments, by income type, as well as income earned, were as follows at and for the periods indicated:
|  | December 31, |  | Years Ended December 31, |  |
|  | 2023 |  | 2022 |  | 2023 |  | 2022 |  | 2021 |  |
Income Type |  | Carrying Value |  | Income |  |
|  | (In millions) |  |
Wholly-owned real estate: |  |  |  |  |  |  |  |  |  |  |  |
Leased real estate |  | $ | 4,446 |  |  | $ | 4,523 |  |  | $ | 366 |  |  | $ | 392 |  |  | $ | 429 |  |  |
Other real estate |  | 507 |  |  | 487 |  |  | 297 |  |  | 252 |  |  | 199 |  |  |
Real estate joint ventures |  | 8,379 |  |  | 8,127 |  |  | (225) |  |  | 556 |  |  | 326 |  |  |
Total real estate and real estate joint ventures |  | $ | 13,332 |  |  | $ | 13,137 |  |  | $ | 438 |  |  | $ | 1,200 |  |  | $ | 954 |  |  |
The carrying value of wholly-owned real estate acquired through foreclosure was $190 million and $182 million at December 31, 2023 and 2022, respectively. Depreciation expense on real estate investments was $112 million, $118 million and $123 million for the years ended December 31, 2023, 2022 and 2021, respectively. Real estate investments were net of accumulated depreciation of $952 million and $863 million at December 31, 2023 and 2022, respectively. Leases Leased Real Estate Investments - Operating Leases The Company, as lessor, leases investment real estate, principally commercial real estate for office and retail use, through a variety of operating lease arrangements, which typically include tenant reimbursement for property operating costs and options to renew or extend the lease. In some circumstances, leases may include an option for the lessee to purchase the property. In addition, certain leases of retail space may stipulate that a portion of the income earned is contingent upon the level of the tenants’ revenues. The Company has elected a practical expedient of not separating non-lease components related to reimbursement of property operating costs from associated lease components. These property operating costs have the same timing and pattern of transfer as the related lease component, because they are incurred over the same period of time as the operating lease. Therefore, the combined component is accounted for as a single operating lease. Risk is managed through lessee credit analysis, property type diversification, and geographic diversification. Leased real estate investments and income earned, by property type, were as follows at and for the periods indicated:
|  | December 31, |  | Years Ended December 31, |  |
|  | 2023 |  | 2022 |  | 2023 |  | 2022 |  | 2021 |  |
Property Type |  | Carrying Value |  | Income |  |
|  | (In millions) |  |
Leased real estate investments: |  |  |  |  |  |  |  |  |  |  |  |
Office |  | $ | 2,221 |  |  | $ | 2,206 |  |  | $ | 228 |  |  | $ | 183 |  |  | $ | 196 |  |  |
Retail |  | 753 |  |  | 804 |  |  | 47 |  |  | 60 |  |  | 75 |  |  |
Apartment |  | 641 |  |  | 625 |  |  | 47 |  |  | 56 |  |  | 66 |  |  |
Land |  | 564 |  |  | 562 |  |  | 24 |  |  | 26 |  |  | 28 |  |  |
Industrial |  | 200 |  |  | 254 |  |  | 15 |  |  | 62 |  | 58 |  |
Hotel |  | 67 |  |  | 72 |  | 5 |  |  | 5 |  | 6 |  |
Total leased real estate investments |  | $ | 4,446 |  |  | $ | 4,523 |  |  | $ | 366 |  |  | $ | 392 |  |  | $ | 429 |  |  |
Future contractual receipts under operating leases at December 31, 2023 were $244 million in 2024, $200 million in 2025, $164 million in 2026, $144 million in 2027, $125 million in 2028, $957 million thereafter and, in total, were $1.8 billion. Other Invested Assets Other invested assets is comprised primarily of freestanding derivatives with positive estimated fair values (see Note 12), direct financing and leveraged leases (see Note 1), annuities funding structured settlement claims (see Note 1),operating joint ventures (see Note 1), COLI (see Note 1), tax credit and renewable energy partnerships (see Note 1) and FHLBNY common stock (see “— Invested Assets on Deposit, Held in Trust and Pledged as Collateral”). Tax Credit Partnerships The carrying value of tax credit partnerships was $518 million and $759 million at December 31, 2023 and 2022, respectively. Losses from tax credit partnerships included within net investment income were $145 million, $174 million and $195 million for the years ended December 31, 2023, 2022 and 2021, respectively. Cash Equivalents Cash equivalents, which includes securities and other investments with an original or remaining maturity of three months or less at the time of purchase, was $10.8 billion and $10.0 billion, principally at estimated fair value, at December 31, 2023 and 2022, respectively. Concentrations of Credit Risk Investments in any counterparty that were greater than 10% of the Company’s equity, other than the U.S. government and its agencies, at estimated fair value, were in fixed income securities of the following foreign governments and their agencies:
|  | December 31,
|  | 2023 |  | 2022
|  | (In millions)
Japan |  | $ | 22,606 |  |  | $ | 24,295 |
South Korea |  | $ | 6,411 |  |  | $ | 5,887 |
Mexico |  | $ | 3,778 |  |  | $ | 3,463 |
Securities Lending Transactions and Repurchase Agreements Securities, Collateral and Reinvestment Portfolio A summary of these transactions and agreements accounted for as secured borrowings were as follows:
|  | December 31,
|  | 2023 |  | 2022
|  | Securities (1) |  |  |  |  |  | Securities (1) |  |  |  |
Agreement Type |  | Estimated Fair Value |  | Cash Collateral Received from Counterparties (2) |  | Reinvestment Portfolio at Estimated Fair Value |  | Estimated Fair Value |  | Cash Collateral Received from Counterparties (2) |  | Reinvestment Portfolio at Estimated Fair Value
|  | (In millions)
Securities lending |  | $ | 10,510 |  |  | $ | 10,788 |  |  | $ | 10,553 |  |  | $ | 11,756 |  |  | $ | 12,092 |  |  | $ | 11,833 |
Repurchase agreements |  | $ | 3,029 |  |  | $ | 2,975 |  |  | $ | 2,913 |  |  | $ | 3,176 |  |  | $ | 3,125 |  |  | $ | 3,057 |
__________________ (1)These securities were included within fixed maturity securities AFS, short-term investments and cash equivalents at December 31, 2023 and within fixed maturity securities AFS and short-term investments at December 31, 2022. (2)The liability for cash collateral is included within payables for collateral under securities loaned and other transactions. Contractual Maturities Contractual maturities of these transactions and agreements accounted for as secured borrowings were as follows:
|  | December 31, |  |
|  | 2023 |  | 2022 |  |
|  | Remaining Maturities |  |  |  | Remaining Maturities |  |  |  |
Security Type |  | Open (1) |  | 1 Month or Less |  | Over 1 Month to 6 Months |  | Over 6 Months to 1 Year |  | Total |  | Open (1) |  | 1 Month or Less |  | Over 1 Month to 6 Months |  | Over 6 Months to 1 Year |  | Total |  |
|  | (In millions)
Cash collateral liability by security type: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities lending: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and agency |  | $ | 1,393 |  |  | $ | 4,106 |  |  | $ | 3,919 |  |  | $ | — |  |  | $ | 9,418 |  |  | $ | 1,945 |  |  | $ | 5,448 |  |  | $ | 3,101 |  |  | $ | — |  |  | $ | 10,494 |  |  |
Foreign government |  | — |  |  | 483 |  |  | 624 |  |  | — |  |  | 1,107 |  |  | — |  |  | 422 |  |  | 922 |  |  | — |  |  | 1,344 |  |  |
Agency RMBS |  | — |  |  | 88 |  |  | 175 |  |  | — |  |  | 263 |  |  | — |  |  | 63 |  |  | 191 |  |  | — |  |  | 254 |  |  |
Total |  | $ | 1,393 |  |  | $ | 4,677 |  |  | $ | 4,718 |  |  | $ | — |  |  | $ | 10,788 |  |  | $ | 1,945 |  |  | $ | 5,933 |  |  | $ | 4,214 |  |  | $ | — |  |  | $ | 12,092 |  |  |
Repurchase agreements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and agency |  | $ | — |  |  | $ | 2,975 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,975 |  |  | $ | — |  |  | $ | 3,125 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,125 |  |  |
__________________ (1)The related security could be returned to the Company on the next business day, which would require the Company to immediately return the cash collateral. If the Company is required to return significant amounts of cash collateral on short notice and is forced to sell investments to meet the return obligation, it may have difficulty selling such collateral that is invested in a timely manner, be forced to sell investments in a volatile or illiquid market for less than what otherwise would have been realized under normal market conditions, or both. The securities lending and repurchase agreements reinvestment portfolios consist principally of high quality, liquid, publicly-traded fixed maturity securities AFS, short-term investments, cash equivalents or cash. If the securities in the reinvestment portfolio become less liquid, liquidity resources within the general account are available to meet any potential cash demands when securities are put back by the counterparty. Invested Assets on Deposit, Held in Trust and Pledged as Collateral Invested assets on deposit, held in trust and pledged as collateral are presented below at estimated fair value for all asset classes, except mortgage loans, which are presented at carrying value and were as follows at:
|  | December 31,
|  | 2023 |  | 2022
|  | (In millions)
Invested assets on deposit (regulatory deposits) |  | $ | 1,596 |  |  | $ | 1,514 |
Invested assets held in trust (external reinsurance agreements) (1) |  | 941 |  |  | 881 |
Invested assets pledged as collateral (2) |  | 26,017 |  |  | 25,442 |
Total invested assets on deposit, held in trust and pledged as collateral |  | $ | 28,554 |  |  | $ | 27,837 |
__________________ (1)Represents assets held in trust related to third-party reinsurance agreements. Excludes assets held in trust related to reinsurance agreements between wholly-owned subsidiaries of $2.0 billion and $1.9 billion at December 31, 2023 and 2022, respectively. (2)The Company has pledged invested assets in connection with various agreements and transactions, including funding agreements (see Note 5), derivative transactions (see Note 12), secured debt and short-term debt related to repurchase agreements (see Note 16), and a collateral financing arrangement (see Note 17). See “— Securities Lending Transactions and Repurchase Agreements” for information regarding securities supporting securities lending transactions and repurchase agreements and Note 10 for information regarding investments designated to the closed block. In addition, the Company’s investment in FHLBNY common stock, included within other invested assets, which is considered restricted until redeemed by the issuer, was $714 million and $729 million, at redemption value, at December 31, 2023 and 2022, respectively. Collectively Significant Equity Method Investments The Company held equity method investments o f $25.2 billion at December 31, 2023, comprised primarily of other limited partnership interests (private equity funds and hedge funds), real estate joint ventures (including real estate funds), tax credit and renewable energy partnerships and operating joint ventures. The Company’s maximum exposure to loss related to these equity method investments was limited to the carrying value of these investments plus $6.7 billion of unfunded commitments at December 31, 2023. As described in Note 1, the Company generally recognizes its share of earnings in its equity method investments within net investment income using a three-month lag in instances where the investee’s financial information is not sufficiently timely or when the investee’s reporting period differs from the Company’s reporting period. Aggregate net investment income from these equity method investments exceeded 10% of the Company’s consolidated pre-tax income (loss) for two of the three most recent annual periods: 2022 and 2021. The following aggregated summarized financial data reflects the latest available financial information and does not represent the Company’s proportionate share of the assets, liabilities, or earnings of such entities. Aggregate total assets of these entities totaled $1.2 trillion at both December 31, 2023 and 2022. Aggregate total liabilities of these entities totaled $148.0 billion and $148.9 billion at December 31, 2023 and 2022, respectively. Aggregate net income (loss) of these entities totaled $32.8 billion, ($11.8) billion and $231.0 billion for the years ended December 31, 2023, 2022 and 2021, respectively. Aggregate net income (loss) from the underlying entities in which the Company invests is primarily comprised of investment income, including recurring investment income (loss) and realized and unrealized investment gains (losses). Variable Interest Entities The Company has invested in legal entities that are VIEs. In certain instances, the Company holds both the power to direct the most significant activities of the entity, as well as an economic interest in the entity and, as such, is deemed to be the primary beneficiary or consolidator of the entity. The determination of the VIE’s primary beneficiary requires an evaluation of the contractual and implied rights and obligations associated with each party’s relationship with or involvement in the entity. Consolidated VIEs Creditors or beneficial interest holders of VIEs where the Company is the primary beneficiary have no recourse to the general credit of the Company, as the Company’s obligation to the VIEs is limited to the amount of its committed investment. The following table presents the total assets and total liabilities relating to investment related VIEs for which the Company has concluded that it is the primary beneficiary and which are consolidated at:
|  | December 31,
|  | 2023 |  | 2022
Asset Type |  | Total Assets |  | Total Liabilities |  | Total Assets |  | Total Liabilities
|  | (In millions)
Investment funds (primarily other invested assets) |  | $ | 282 |  |  | $ | 1 |  |  | $ | 266 |  |  | $ | 1 |
Renewable energy partnership (primarily other invested assets) |  | 64 |  |  | — |  |  | 76 |  |  | — |
Total |  | $ | 346 |  |  | $ | 1 |  |  | $ | 342 |  |  | $ | 1 |
Unconsolidated VIEs The carrying amount and maximum exposure to loss relating to VIEs in which the Company holds a significant variable interest but is not the primary beneficiary and which have not been consolidated were as follows at:
|  | December 31,
|  | 2023 |  | 2022
Asset Type |  | Carrying Amount |  | Maximum Exposure to Loss (1) |  | Carrying Amount |  | Maximum Exposure to Loss (1)
|  | (In millions)
Fixed maturity securities AFS (2) |  | $ | 54,182 |  |  | $ | 54,182 |  |  | $ | 51,422 |  |  | $ | 51,422 |
Other limited partnership interests |  | 14,034 |  |  | 19,591 |  |  | 13,244 |  |  | 18,906 |
Other invested assets |  | 1,206 |  |  | 1,275 |  |  | 1,310 |  |  | 1,387 |
Other investments (Real estate joint ventures and FVO securities) |  | 1,039 |  |  | 1,055 |  |  | 945 |  |  | 948 |
Total |  | $ | 70,461 |  |  | $ | 76,103 |  |  | $ | 66,921 |  |  | $ | 72,663 |
__________________ (1)The maximum exposure to loss relating to fixed maturity securities AFS and FVO securities is equal to their carrying amounts or the carrying amounts of retained interests. The maximum exposure to loss relating to other limited partnership interests (“OLPI”) and real estate joint ventures (“REJV”) is equal to the carrying amounts plus any unfunded commitments. For certain of its investments in other invested assets, the Company’s return is in the form of income tax credits which are guaranteed by creditworthy third parties. For such investments, the maximum exposure to loss is equal to the carrying amounts plus any unfunded commitments, reduced by income tax credits guaranteed by third parties. Such a maximum loss would be expected to occur only upon bankruptcy of the issuer or investee. (2)For variable interests in Structured Products included within fixed maturity securities AFS, the Company’s involvement is limited to that of a passive investor in mortgage-backed or asset-backed securities issued by trusts that do not have substantial equity. In connection with the reinsurance transaction with subsidiaries of Global Atlantic Financial Group, collateral securing the reinsurance transaction was transferred to trusts that do not have substantial equity. The Company does not have a carrying amount related to the trusts but does manage a portion of the invested assets. For managing these assets, the Company will receive an investment management fee which represents a variable interest. The Company’s maximum exposure to loss is limited to the investment management fee revenue that has been earned but not yet received. See Note 9 for further information on this reinsurance transaction. As described in Note 24, the Company makes commitments to fund partnership investments in the normal course of business. Excluding these commitments, the Company did not provide financial or other support to investees designated as VIEs for each of the years ended December 31, 2023, 2022 and 2021 Net Investment Income The composition of net investment income by asset type was as follows:
|  | Years Ended December 31,
Asset Type |  | 2023 |  | 2022 |  | 2021
|  | (In millions)
Fixed maturity securities AFS |  | $ | 12,990 |  |  | $ | 11,490 |  |  | $ | 10,996 |
Equity securities |  | 32 |  |  | 36 |  |  | 36 |
FVO securities |  | 188 |  |  | (127) |  |  | 167 |
Mortgage loans |  | 4,761 |  |  | 3,539 |  |  | 3,435 |
Policy loans |  | 471 |  |  | 460 |  |  | 474 |
Real estate and REJV |  | 438 |  |  | 1,200 |  |  | 954 |
OLPI |  | 454 |  |  | 858 |  |  | 4,927 |
Cash, cash equivalents and short-term investments |  | 1,011 |  |  | 358 |  |  | 103 |
Operating joint ventures |  | 38 |  |  | 51 |  |  | 77 |
Other |  | 604 |  |  | 633 |  |  | 223 |
Subtotal investment income |  | 20,987 |  |  | 18,498 |  |  | 21,392 |
Less: Investment expenses |  | 2,262 |  |  | 1,284 |  |  | 949 |
Subtotal, net |  | 18,725 |  |  | 17,214 |  |  | 20,443 |
Unit-linked investments |  | 1,183 |  |  | (1,298) |  |  | 952 |
Net investment income |  | $ | 19,908 |  |  | $ | 15,916 |  |  | $ | 21,395 |
Net Investment Income (“NII”) Information |  |  |  |  |  |
Net realized and unrealized gains (losses) recognized in NII: |  |  |  |  |  |
Net realized gains (losses) from sales and disposals (primarily FVO securities and Unit-linked investments) |  | $ | 207 |  |  | $ | 155 |  |  | $ | 518 |
Net unrealized gains (losses) from changes in estimated fair value (primarily FVO securities and Unit-linked investments) |  | 1,168 |  |  | (1,586) |  |  | 616 |
Net realized and unrealized gains (losses) recognized in NII |  | $ | 1,375 |  |  | $ | (1,431) |  |  | $ | 1,134 |
Changes in estimated fair value subsequent to purchase of FVO securities and Unit-linked investments still held at the end of the respective periods and recognized in NII |  | $ | 1,119 |  |  | $ | (1,286) |  |  | $ | 730 |
Equity method investments NII (primarily REJV, OLPI, tax credit and renewable energy partnerships and operating joint ventures) |  | $ | 151 |  |  | $ | 1,305 |  |  | $ | 5,136 |
Net Investment Gains (Losses) Net Investment Gains (Losses) by Asset Type and Transaction Type The composition of net investment gains (losses) by asset type and transaction type was as follows:
|  | Years Ended December 31,
Asset Type |  | 2023 |  | 2022 |  | 2021
|  | (In millions)
Fixed maturity securities AFS (1) |  | $ | (2,471) |  |  | $ | (1,912) |  |  | $ | 66 |
Equity securities |  | 81 |  |  | (133) |  |  | 108 |
Mortgage loans (1) |  | (270) |  |  | 21 |  |  | (18) |
Real estate and REJV (excluding changes in estimated fair value) |  | 69 |  |  | 653 |  |  | 502 |
OLPI (excluding changes in estimated fair value) |  | 12 |  |  | 53 |  |  | (6) |
Other gains (losses) (2) |  | (158) |  |  | 178 |  |  | 131 |
Subtotal |  | (2,737) |  |  | (1,140) |  |  | 783 |
Change in estimated fair value of OLPI and REJV |  | (6) |  |  | (14) |  |  | 45 |
Non-investment portfolio gains (losses) |  | (81) |  |  | (106) |  |  | 715 |
Subtotal |  | (87) |  |  | (120) |  |  | 760 |
Net investment gains (losses) |  | $ | (2,824) |  |  | $ | (1,260) |  |  | $ | 1,543 |
Transaction Type |  |  |  |  |  |
Realized gains (losses) on investments sold or disposed (1) |  | $ | (1,028) |  |  | $ | (880) |  |  | $ | 711 |
Impairment (losses) (1), (2) |  | (1,498) |  |  | (40) |  |  | (24) |
Recognized gains (losses): |  |  |  |  |  |
Change in allowance for credit loss recognized in earnings |  | (271) |  |  | (134) |  |  | (86) |
Unrealized net gains (losses) recognized in earnings |  | 54 |  |  | (100) |  |  | 227 |
Total recognized gains (losses) |  | (217) |  |  | (234) |  |  | 141 |
Non-investment portfolio gains (losses) |  | (81) |  |  | (106) |  |  | 715 |
Net investment gains (losses) |  | $ | (2,824) |  |  | $ | (1,260) |  |  | $ | 1,543 |
Net Investment Gains (Losses) (“NIGL”) Information |  |  |  |  |  |
Changes in estimated fair value subsequent to purchase of equity securities still held at the end of the respective periods and recognized in NIGL |  | $ | 22 |  |  | $ | (89) |  |  | $ | 77 |
Other gains (losses) include: |  |  |  |  |  |
Gains (losses) on disposed investments which were previously in a qualified cash flow hedge relationship |  | $ | (7) |  |  | $ | 38 |  |  | $ | 88 |
Gains (losses) on leveraged leases and renewable energy partnerships |  | $ | 24 |  |  | $ | 33 |  |  | $ | 12 |
Foreign currency gains (losses) |  | $ | 52 |  |  | $ | 183 |  |  | $ | (9) |
Net Realized Investment Gains (Losses) From Sales and Disposals of Investments |  |  |  |  |  |
Recognized in NIGL |  | $ | (1,028) |  |  | $ | (880) |  |  | $ | 711 |
Recognized in NII |  | 207 |  |  | 155 |  |  | 518 |
Net realized investment gains (losses) from sales and disposals of investments |  | $ | (821) |  |  | $ | (725) |  |  | $ | 1,229 |
__________________ (1)Includes a net loss of $1.2 billion during the year ended December 31, 2023 for investments disposed of in connection with a reinsurance transaction.The net loss was comprised of ($1.3) billion of impairments and $95 million of realized gains on disposal for fixed maturity securities AFS, ($56) million of adjustments to mortgage loans, reflected as impairments, (calculated at lower of amortized cost or estimated fair value), and ($2) million of realized losses on disposal for mortgage loans. See Note 9 for further information on this reinsurance transaction. (2)See Note 3 for information regarding the Company’s pending disposition of MetLife Malaysia. Fixed Maturity Securities AFS and Equity Securities – Composition of Net Investment Gains (Losses) The composition of net investment gains (losses) for these securities is as follows:
|  | Years Ended December 31,
Fixed Maturity Securities AFS |  | 2023 |  | 2022 |  | 2021
|  | (In millions)
Proceeds |  | $ | 40,625 |  |  | $ | 67,754 |  |  | $ | 54,612 |
Gross investment gains |  | $ | 563 |  |  | $ | 935 |  |  | $ | 761 |
Gross investment (losses) |  | (1,732) |  |  | (2,704) |  |  | (656) |
Realized gains (losses) on sales and disposals |  | (1,169) |  |  | (1,769) |  |  | 105 |
Net credit loss (provision) release (change in ACL recognized in earnings) |  | (2) |  |  | (103) |  |  | (15) |
Impairment (losses) |  | (1,300) |  |  | (40) |  |  | (24) |
Net credit loss (provision) release and impairment (losses) |  | (1,302) |  |  | (143) |  |  | (39) |
Net investment gains (losses) |  | $ | (2,471) |  |  | $ | (1,912) |  |  | $ | 66 |
Equity Securities |  |  |  |  |  |
Realized gains (losses) on sales and disposals |  | $ | 21 |  |  | $ | (47) |  |  | $ | (69) |
Unrealized net gains (losses) recognized in earnings |  | 60 |  |  | (86) |  |  | 177 |
Net investment gains (losses) |  | $ | 81 |  |  | $ | (133) |  |  | $ | 108 |

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