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v3.22.2.2

Investments (Tables) | 3 Months Ended | 9 Months Ended
--- | --- | ---
Sep. 30, 2022 | Sep. 30, 2022
Investments [Abstract] |  |
Net Realized Capital Gains (Losses) |  |
Net Realized Gains (Losses)
| Three Months Ended September 30, |  | Nine Months Ended September 30,
(Before tax) | 2022 | 2021 |  | 2022 | 2021
Gross gains on sales of fixed maturities | $ | 16 |  | $ | 63 |  |  | $ | 54 |  | $ | 162 |
Gross losses on sales of fixed maturities | (81) |  | (8) |  |  | (256) |  | (54) |
Equity securities [1] |  |  |  |  |
Net realized gains (losses) on sales of equity securities | (9) |  | 35 |  |  | 36 |  | 43 |
Change in net unrealized gains (losses) of equity securities | (72) |  | (32) |  |  | (486) |  | 91 |
Net realized and unrealized gains (losses) on equity securities | (81) |  | 3 |  |  | (450) |  | 134 |
Net credit losses on fixed maturities, AFS | (3) |  | — |  |  | (15) |  | 4 |
Change in ACL on mortgage loans | — |  | (2) |  |  | (7) |  | 12 |
Intent-to-sell impairments | (2) |  | — |  |  | (5) |  | — |
Other, net [2] | (15) |  | 14 |  |  | 30 |  | 39 |
Net realized gains (losses) | $ | (166) |  | $ | 70 |  |  | $ | (649) |  | $ | 297 |
[1]The net unrealized gains (losses) on equity securities still held as of September 30, 2022, and included in net realized gains (losses) were $(84) and $(439) for the three and nine months ended September 30, 2022, respectively. The net unrealized gains (losses) on equity securities still held as of September 30, 2021, and included in net realized gains (losses) were $(17) and $92 for the three and nine months ended September 30, 2021, respectively. [2]For the three and nine months ended September 30, 2022, includes gains (losses) from transactional foreign currency revaluation of $16 and $37, respectively, and gains (losses) on non-qualifying derivatives of $(19) and $42, respectively. For the three and nine months ended September 30, 2021 includes gains (losses) from transactional foreign currency revaluation of $6 and $(1), respectively, and non-qualifying derivatives of $10 and $16, respectively.
Debt Securities, Available-for-sale, Allowance for Credit Loss [Table Text Block] |
ACL on Fixed Maturities, AFS by Type
| Three Months Ended September 30, |  |
| 2022 |  | 2021 |  |  |  |
(Before tax) | Corporate | Foreign govt./govt. agencies | CMBS | Total |  | Corporate |  | Total |  |  |  |  |  |  |  |  |
Balance as of beginning of period | $ | 8 |  | $ | 4 |  | $ | 1 |  | $ | 13 |  |  | $ | 4 |  |  | $ | 4 |  |  |  |  |  |  |  |  |  |
Credit losses on fixed maturities where an allowance was not previously recorded | — |  | — |  | 6 |  | 6 |  |  | — |  |  | — |  |  |  |  |  |  |  |  |  |
Reduction due to sales | — |  | (1) |  | — |  | (1) |  |  | — |  |  | — |  |  |  |  |  |  |  |  |  |
Reduction due to intent to sell | — |  | (3) |  | — |  | (3) |  |  | — |  |  | — |  |  |  |  |  |  |  |  |  |
Balance as of end of period | $ | 8 |  | $ | — |  | $ | 7 |  | $ | 15 |  |  | $ | 4 |  |  | $ | 4 |  |  |  |  |  |  |  |  |  |
ACL on Fixed Maturities, AFS by Type
|  |  | Nine Months Ended September 30,
|  |  |  |  | 2022 |  | 2021
(Before tax) |  |  |  |  |  |  |  | Corporate | Foreign govt./govt. agencies | CMBS | Total |  | Corporate |  | Total
Balance as of beginning of period |  |  |  |  |  |  |  | $ | 1 |  | $ | — |  | $ | — |  | $ | 1 |  |  | $ | 23 |  |  | $ | 23 |
Credit losses on fixed maturities where an allowance was not previously recorded |  |  |  |  |  |  |  | 8 |  | 3 |  | 7 |  | 18 |  |  | 2 |  |  | 2 |
Reduction due to sales |  |  |  |  |  |  |  | — |  | (1) |  | — |  | (1) |  |  | (15) |  |  | (15) |
Reduction due to intent to sell |  |  |  |  |  |  |  | — |  | (3) |  | — |  | (3) |  |  | — |  |  | — |
Net increases (decreases) on fixed maturities where an allowance was previously recorded |  |  |  |  |  |  |  | (1) |  | 1 |  | — |  | — |  |  | (6) |  |  | (6) |
Balance as of end of period |  |  |  |  |  |  |  | $ | 8 |  | $ | — |  | $ | 7 |  | $ | 15 |  |  | $ | 4 |  |  | $ | 4 |
Schedule of Available-for-sale Securities |  |
Fixed Maturities, AFS, by Type
| September 30, 2022 |  | December 31, 2021
| Amortized Cost | ACL | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value |  |  | Amortized Cost | ACL | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value |
ABS | $ | 1,969 |  | $ | — |  | $ | — |  | $ | (77) |  | $ | 1,892 |  |  |  | $ | 1,125 |  | $ | — |  | $ | 13 |  | $ | (3) |  | $ | 1,135 |  |
CLO | 3,027 |  | — |  | 2 |  | (110) |  | 2,919 |  |  |  | 3,019 |  | — |  | 8 |  | (2) |  | 3,025 |  |
CMBS | 3,601 |  | (7) |  | 22 |  | (338) |  | 3,278 |  |  |  | 3,955 |  | — |  | 179 |  | (15) |  | 4,119 |  |
Corporate | 16,799 |  | (8) |  | 9 |  | (1,912) |  | 14,888 |  |  |  | 17,744 |  | (1) |  | 1,038 |  | (74) |  | 18,707 |  |
Foreign govt./govt. agencies | 655 |  | — |  | — |  | (71) |  | 584 |  |  |  | 883 |  | — |  | 33 |  | (6) |  | 910 |  |
Municipal | 6,839 |  | — |  | 55 |  | (697) |  | 6,197 |  |  |  | 7,473 |  | — |  | 787 |  | (3) |  | 8,257 |  |
RMBS | 4,218 |  | — |  | 2 |  | (496) |  | 3,724 |  |  |  | 3,610 |  | — |  | 60 |  | (27) |  | 3,643 |  |
U.S. Treasuries | 2,479 |  | — |  | 1 |  | (245) |  | 2,235 |  |  |  | 2,979 |  | — |  | 86 |  | (14) |  | 3,051 |  |
Total fixed maturities, AFS | $ | 39,587 |  | $ | (15) |  | $ | 91 |  | $ | (3,946) |  | $ | 35,717 |  |  |  | $ | 40,788 |  | $ | (1) |  | $ | 2,204 |  | $ | (144) |  | $ | 42,847 |  |
Investments by Contractual Maturity Year |  |
Fixed Maturities, AFS, by Contractual Maturity Year
| September 30, 2022 |  | December 31, 2021
| Amortized Cost | Fair Value |  | Amortized Cost | Fair Value
One year or less | $ | 1,440 |  | $ | 1,420 |  |  | $ | 1,400 |  | $ | 1,419 |
Over one year through five years | 8,116 |  | 7,613 |  |  | 8,615 |  | 8,894 |
Over five years through ten years | 7,432 |  | 6,472 |  |  | 8,303 |  | 8,633 |
Over ten years | 9,784 |  | 8,399 |  |  | 10,761 |  | 11,979 |
Subtotal | 26,772 |  | 23,904 |  |  | 29,079 |  | 30,925 |
Mortgage-backed and asset-backed securities | 12,815 |  | 11,813 |  |  | 11,709 |  | 11,922 |
Total fixed maturities, AFS | $ | 39,587 |  | $ | 35,717 |  |  | $ | 40,788 |  | $ | 42,847 |
Unrealized Gain (Loss) on Investments [Table Text Block] |  |
Unrealized Loss Aging for Fixed Maturities, AFS by Type and Length of Time as of September 30, 2022
|  | Less Than 12 Months |  |  | 12 Months or More |  |  | Total
|  | Fair Value | Unrealized Losses |  |  | Fair Value | Unrealized Losses |  |  | Fair Value | Unrealized Losses
ABS |  | $ | 1,798 |  | $ | (66) |  |  |  | $ | 92 |  | $ | (11) |  |  |  | $ | 1,890 |  | $ | (77) |
CLO |  | 2,167 |  | (81) |  |  |  | 683 |  | (29) |  |  |  | 2,850 |  | (110) |
CMBS |  | 2,887 |  | (284) |  |  |  | 266 |  | (54) |  |  |  | 3,153 |  | (338) |
Corporate |  | 12,682 |  | (1,531) |  |  |  | 1,533 |  | (381) |  |  |  | 14,215 |  | (1,912) |
Foreign govt./govt. agencies |  | 402 |  | (51) |  |  |  | 172 |  | (20) |  |  |  | 574 |  | (71) |
Municipal |  | 4,706 |  | (651) |  |  |  | 161 |  | (46) |  |  |  | 4,867 |  | (697) |
RMBS |  | 3,023 |  | (375) |  |  |  | 612 |  | (121) |  |  |  | 3,635 |  | (496) |
U.S. Treasuries |  | 1,764 |  | (185) |  |  |  | 423 |  | (60) |  |  |  | 2,187 |  | (245) |
Total fixed maturities, AFS in an unrealized loss position |  | $ | 29,429 |  | $ | (3,224) |  |  |  | $ | 3,942 |  | $ | (722) |  |  |  | $ | 33,371 |  | $ | (3,946) |
Unrealized Loss Aging for Fixed Maturities, AFS by Type and Length of Time as of December 31, 2021
|  | Less Than 12 Months |  |  | 12 Months or More |  |  | Total
|  | Fair Value | Unrealized Losses |  |  | Fair Value | Unrealized Losses |  |  | Fair Value | Unrealized Losses
ABS |  | $ | 396 |  | $ | (3) |  |  |  | $ | — |  | $ | — |  |  |  | $ | 396 |  | $ | (3) |
CLO |  | 1,434 |  | (2) |  |  |  | 147 |  | — |  |  |  | 1,581 |  | (2) |
CMBS |  | 594 |  | (7) |  |  |  | 82 |  | (8) |  |  |  | 676 |  | (15) |
Corporate |  | 3,698 |  | (65) |  |  |  | 234 |  | (9) |  |  |  | 3,932 |  | (74) |
Foreign govt./govt. agencies |  | 340 |  | (5) |  |  |  | 16 |  | (1) |  |  |  | 356 |  | (6) |
Municipal |  | 301 |  | (3) |  |  |  | 12 |  | — |  |  |  | 313 |  | (3) |
RMBS |  | 1,869 |  | (23) |  |  |  | 94 |  | (4) |  |  |  | 1,963 |  | (27) |
U.S. Treasuries |  | 2,301 |  | (13) |  |  |  | 23 |  | (1) |  |  |  | 2,324 |  | (14) |
Total fixed maturities, AFS in an unrealized loss position |  | $ | 10,933 |  | $ | (121) |  |  |  | $ | 608 |  | $ | (23) |  |  |  | $ | 11,541 |  | $ | (144) |
Financing Receivable, Allowance for Credit Loss [Table Text Block] |  |
ACL on Mortgage Loans
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2022 | 2021 |  | 2022 | 2021
ACL as of beginning of period | $ | 36 |  | $ | 24 |  |  | $ | 29 |  | $ | 38 |
Current period provision (release) | — |  | 2 |  |  | 7 |  | (12) |
ACL as of September 30, | $ | 36 |  | $ | 26 |  |  | $ | 36 |  | $ | 26 |
Loans Credit Quality |  |
Mortgage Loans LTV & DSCR by Origination Year as of September 30, 2022
| 2022 | 2021 | 2020 | 2019 | 2018 | 2017 & Prior | Total
Loan-to-value | Amortized Cost | Avg. DSCR | Amortized Cost | Avg. DSCR | Amortized Cost | Avg. DSCR | Amortized Cost | Avg. DSCR | Amortized Cost | Avg. DSCR | Amortized Cost | Avg. DSCR | Amortized Cost [1] | Avg. DSCR
65% - 80% | $ | 16 |  | 2.02x | $ | — |  | —x | $ | 22 |  | 2.66x | $ | 70 |  | 1.36x | $ | 108 |  | 1.11x | $ | 89 |  | 2.00x | $ | 305 |  | 1.58x
Less than 65% | 703 |  | 2.61x | 1,496 |  | 2.85x | 681 |  | 2.92x | 711 |  | 2.87x | 438 |  | 2.24x | 1,633 |  | 2.41x | 5,662 |  | 2.66x
Total mortgage loans | $ | 719 |  | 2.59x | $ | 1,496 |  | 2.85x | $ | 703 |  | 2.91x | $ | 781 |  | 2.73x | $ | 546 |  | 2.02x | $ | 1,722 |  | 2.39x | $ | 5,967 |  | 2.60x
[1]Amortized cost of mortgage loans excludes ACL of $36.
Mortgage Loans LTV & DSCR by Origination Year as of December 31, 2021 |  |  |  |  |  |  |
| 2021 | 2020 | 2019 | 2018 | 2017 | 2016 & Prior | Total |  |  |  |  |  |  |
Loan-to-value | Amortized Cost | Avg. DSCR | Amortized Cost | Avg. DSCR | Amortized Cost | Avg. DSCR | Amortized Cost | Avg. DSCR | Amortized Cost | Avg. DSCR | Amortized Cost | Avg. DSCR | Amortized Cost [1] | Avg. DSCR |  |  |  |  |  |  |
65% - 80% | $ | 7 |  | 2.37x | $ | 50 |  | 2.63x | $ | 91 |  | 1.57x | $ | 100 |  | 1.00x | $ | 45 |  | 1.37x | $ | 97 |  | 1.80x | $ | 390 |  | 1.61x |  |  |  |  |  |  |
Less than 65% | 1,481 |  | 2.70x | 645 |  | 2.78x | 722 |  | 2.78x | 472 |  | 2.23x | 417 |  | 1.91x | 1,285 |  | 2.45x | 5,022 |  | 2.55x |  |  |  |  |  |  |
Total mortgage loans | $ | 1,488 |  | 2.70x | $ | 695 |  | 2.77x | $ | 813 |  | 2.64x | $ | 572 |  | 2.02x | $ | 462 |  | 1.86x | $ | 1,382 |  | 2.41x | $ | 5,412 |  | 2.48x |  |  |  |  |  |  |
[1]Amortized cost of mortgage loans excludes ACL of $29.
Mortgage Loans by Region
| September 30, 2022 |  | December 31, 2021
| Amortized Cost | Percent of Total |  | Amortized Cost | Percent of Total
East North Central | $ | 313 |  | 5.2 | % |  | $ | 284 |  | 5.2 | %
Middle Atlantic | 291 |  | 4.9 | % |  | 303 |  | 5.6 | %
Mountain | 708 |  | 11.9 | % |  | 450 |  | 8.3 | %
New England | 419 |  | 7.0 | % |  | 393 |  | 7.3 | %
Pacific | 1,300 |  | 21.8 | % |  | 1,245 |  | 23.0 | %
South Atlantic | 1,643 |  | 27.5 | % |  | 1,556 |  | 28.8 | %
West North Central | 101 |  | 1.7 | % |  | 85 |  | 1.6 | %
West South Central | 422 |  | 7.1 | % |  | 424 |  | 7.8 | %
Other [1] | 770 |  | 12.9 | % |  | 672 |  | 12.4 | %
Total mortgage loans | 5,967 |  | 100.0 | % |  | 5,412 |  | 100.0 | %
ACL | (36) |  |  |  | (29) |  |
Total mortgage loans, net of ACL | $ | 5,931 |  |  |  | $ | 5,383 |  |
[1]Primarily represents loans collateralized by multiple properties in various regions.
Mortgage Loans by Property Type
| September 30, 2022 |  | December 31, 2021
| Amortized Cost | Percent of Total |  | Amortized Cost | Percent of Total
Commercial |  |  |  |  |
Industrial | $ | 2,146 |  | 36.0 | % |  | $ | 1,931 |  | 35.7 | %
Multifamily | 2,222 |  | 37.2 | % |  | 1,833 |  | 33.9 | %
Office | 611 |  | 10.2 | % |  | 627 |  | 11.6 | %
Retail [1] | 948 |  | 15.9 | % |  | 951 |  | 17.6 | %
Single Family | — |  | — | % |  | 30 |  | 0.5 | %
Other | 40 |  | 0.7 | % |  | 40 |  | 0.7 | %
Total mortgage loans | 5,967 |  | 100.0 | % |  | 5,412 |  | 100.0 | %
ACL | (36) |  |  |  | (29) |  |
Total mortgage loans, net of ACL | $ | 5,931 |  |  |  | $ | 5,383 |  |
[1]Primarily comprised of grocery-anchored retail centers, with no exposure to regional shopping malls.
Schedule of Financial Instruments Owned and Pledged as Collateral |  |
| September 30, 2022 | December 31, 2021
| Fair Value | Fair Value
Securities on deposit with government agencies | $ | 2,078 |  | $ | 2,376 |
Fixed maturities in trust for benefit of Lloyd's Syndicate policyholders | 651 |  | 712 |
Short-term investments in trust for benefit of Lloyd's Syndicate policyholders | 7 |  | 7 |
Fixed maturities in Lloyd's trust account | 141 |  | 160 |
Other investments | 58 |  | 65 |
Total Other Restricted Investments | $ | 2,935 |  | $ | 3,320 |

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