Our fixed maturity securities investments have been designated as available-for-sale and are carried at fair value, net of allowance for expected credit losses, with unrealized gains and losses included in AOCI, net of associated adjustments for DAC, VOBA, DSI, UREV, SOP 03-1 reserves, and deferred income taxes. Our preferred and equity securities investments are carried at fair value with unrealized gains and losses included in net income (loss). The Company’s consolidated investments are summarized as follows (in millions):


	December 31, 2021
	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Carrying Value
Available-for-sale securities
Asset-backed securities	$	8,516	$	(3)	$	220	$	(38)	$	8,695	$	8,695
Commercial mortgage-backed securities	2,684		(2)		308		(11)		2,979		2,979
Corporates	15,822		—		830		(158)		16,494		16,494
Hybrids	838		—		74		—		912		912
Municipals	1,445		—		67		(11)		1,501		1,501
Residential mortgage-backed securities	731		(3)		7		(4)		731		731
U.S. Government	393		—		3		(2)		394		394
Foreign Governments	276		—		9		(1)		284		284
Total available-for-sale securities	$	30,705	$	(8)	$	1,518	$	(225)	$	31,990	$	31,990


	December 31, 2020
	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Carrying Value
Available-for-sale securities
Asset-backed securities	$	5,941	$	—	$	343	$	(18)	$	6,266	$	6,266
Commercial mortgage-backed/asset-backed securities	2,490		—		342		(3)		2,829		2,829
Corporates	13,582		(16)		1,184		(15)		14,735		14,735
Hybrids	914		—		80		—		994		994
Municipals	1,333		—		72		(2)		1,403		1,403
Residential mortgage-backed securities	806		(3)		23		(1)		825		825
U.S. Government	332		—		10		—		342		342
Foreign Governments	179		—		14		—		193		193
Total available-for-sale securities	$	25,577	$	(19)	$	2,068	$	(39)	$	27,587	$	27,587

At December 31, 2021 and 2020, the Company's accrued interest receivable balance was $253 million and $235 million, respectively. Accrued interest receivable is classified within Prepaid expenses and other assets within the Consolidated Balance Sheets.

In accordance with our FHLB agreements, the investments supporting the funding agreement liabilities are pledged as collateral to secure the FHLB funding agreement liabilities and are not available to the Company for general purposes. The collateral investments had a fair value of $2,469 million and $1,622 million at December 31, 2021 and 2020, respectively.

The amortized cost and fair value of fixed maturity securities by contractual maturities, as applicable, are shown below. Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations.


	December 31, 2021				December 31, 2020
	(in millions)				(in millions)
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Corporates, Non-structured Hybrids, Municipal and Government securities:
Due in one year or less	$	426	$	431	$	466	$	463
Due after one year through five years	2,998		3,051		2,171		2,295
Due after five years through ten years	2,389		2,458		2,116		2,255
Due after ten years	12,930		13,608		11,560		12,624
	18,743		19,548		16,313		17,637
Other securities, which provide for periodic payments:
Asset-backed securities	8,516		8,695		5,941		6,266
Commercial mortgage-backed securities	2,684		2,979		2,490		2,829
Structured hybrids	31		37		27		30
Residential mortgage-backed securities	731		731		806		825
	11,962		12,442		9,264		9,950
Total fixed maturity available-for-sale securities	$	30,705	$	31,990	$	25,577	$	27,587

We regularly review AFS securities for declines in fair value that we determine to be credit related. For our fixed maturity securities, we generally consider the following in determining whether our unrealized losses are credit related, and if so, the magnitude of the credit loss:

We recognize an allowance for current expected credit losses on fixed maturity securities in an unrealized loss position when it is determined, using the factors discussed above, a component of the unrealized loss is related to credit. We measure the credit loss using a discounted cash flow model that utilizes the single best estimate cash flow and the recognized credit loss is limited to the total unrealized loss on the security (i.e. the fair value floor). Cash flows are discounted using the implicit yield of bonds at their time of purchase and the current book yield for asset and mortgage backed securities as well as variable rate securities. We recognize the expected credit losses in Recognized gains and losses, net in the Consolidated Statements of Earnings, with an offset for the amount of non-credit impairments recognized in AOCI. We do not measure a credit loss allowance on accrued investment income because we write-off accrued interest through to Interest and investment income when collectability concerns arise.

If we intend to sell a fixed maturity security or it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis and the fair value of the security is below amortized cost, we will write down the security to current fair value, with a corresponding charge, net of any amount previously recognized as an allowance for expected credit loss, to Recognized gains and losses, net in the accompanying Consolidated Statements of Earnings. If we do not intend to sell a fixed maturity security or it is more likely than not that we will not be required to sell a fixed maturity security before recovery of its amortized cost basis but believe amounts related to a security are uncollectible (generally based on proximity to expected credit loss), an impairment is deemed to have occurred and the amortized cost is written down to the estimated recovery value with a corresponding charge, net of any amount previously recognized as an allowance for expected credit loss, to Recognized gains and losses, net in the accompanying Consolidated Statements of Earnings. The remainder of unrealized loss is held in AOCI.


	Year Ended December 31, 2021
			Additions							Reductions
	Balance at Beginning of Period		For credit losses on securities for which losses were not previously recorded		For initial credit losses on purchased securities accounted for as PCD financial assets (1)		(Additions) reductions in allowance recorded on previously impaired securities			For securities sold during the period		For securities intended/required to be sold prior to recovery of amortized cost basis		Write offs charged against the allowance		Recoveries of amounts previously written off		Balance at End of Period
Available-for-sale securities
Asset-backed securities	$	—	$	—	$	(1)	$	(2)		$	—	$	—	$	—	—		$	(3)
Commercial mortgage-backed securities	—		(2)		—		—		—	—		—		—		—		(2)
Corporates	(16)		—		—		4			—		—		8		4		—
Hybrids	—		—		—		—			—		—		—		—		—

Residential mortgage-backed securities	(3)		—		—		—			—		—		—		—		(3)


Total available-for-sale securities	$	(19)	$	(2)	$	(1)	$	2		$	—	$	—	$	8	$	4	$	(8)


	Year ended December 31, 2020
			Additions						Reductions
	Balance at Beginning of Period		For credit losses on securities for which losses were not previously recorded		For initial credit losses on purchased securities accounted for as PCD financial assets (1)		(Additions) reductions in allowance recorded on previously impaired securities		For securities sold during the period		For securities intended/required to be sold prior to recovery of amortized cost basis		Write offs charged against the allowance		Balance at End of Period
Available-for-sale securities
Asset-backed securities	$	—	$	7	$	(9)	$	2	$	—	$	—	$	—	$	—

Corporates	—		(16)		(16)		7		3		4		2		(16)
Hybrids	—		—		(3)		—		3		—		—		—

Residential mortgage-backed securities	—		2		(7)		1		1		—		—		(3)


Total available-for-sale securities	$	—	$	(7)	$	(35)	$	10	$	7	$	4	$	2	$	(19)

Purchased credit-deteriorated available-for-sale debt securities ("PCD"s) are AFS securities purchased at a discount, where part of that discount is attributable to credit. Credit loss allowances are calculated for these securities as of the date of their acquisition, with the initial allowance serving to increase amortized cost. The following table summarizes year to date PCD AFS security purchases (in millions).


Purchased credit-deteriorated available-for-sale debt securities	December 31, 2021		December 31, 2020
Purchase price	$	4	$	265
Allowance for credit losses at acquisition	1		35
Discount (or premiums) attributable to other factors	—		84
AFS purchased credit-deteriorated par value	$	5	$	384

The fair value and gross unrealized losses of available-for-sale securities, excluding securities in an unrealized loss position with an allowance for expected credit loss, aggregated by investment category and duration of fair value below amortized cost were as follows (dollars in millions):


	December 31, 2021
	Less than 12 months				12 months or longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Available-for-sale securities
Asset-backed securities	$	4,410	$	(31)	$	146	$	(7)	$	4,556	$	(38)
Commercial mortgage-backed securities	603		(11)		1		—		604		(11)
Corporates	5,391		(132)		394		(26)		5,785		(158)
Hybrids	3		—		—		—		3		—
Municipals	410		(5)		85		(6)		495		(11)
Residential mortgage-backed securities	325		(3)		11		(1)		336		(4)
U.S. Government	219		(2)		4		—		223		(2)
Foreign Government	82		(1)		5		—		87		(1)
Total available-for-sale securities	$	11,443	$	(185)	$	646	$	(40)	$	12,089	$	(225)
Total number of available-for-sale securities in an unrealized loss position less than twelve months											2,056
Total number of available-for-sale securities in an unrealized loss position twelve months or longer											68
Total number of available-for-sale securities in an unrealized loss position											2,124


	December 31, 2020
	Less than 12 months				12 months or longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Available-for-sale securities
Asset-backed securities	$	477	$	(18)	$	—	$	—	$	477	$	(18)
Commercial mortgage-backed securities	51		(3)		—		—		51		(3)
Corporates	$	865	$	(15)	$	36	$	—	$	901	$	(15)
Hybrids	1		—		—		—		1		—
Municipals	115		(2)		—		—		115		(2)
Residential mortgage-backed securities	30		(1)		—		—		30		(1)
U.S. Government	11		—		—		—		11		—

Total available-for-sale securities	$	1,550	$	(39)	$	36	$	—	$	1,586	$	(39)
Total number of available-for-sale securities in an unrealized loss position less than twelve months											222
Total number of available-for-sale securities in an unrealized loss position twelve months or longer											11
Total number of available-for-sale securities in an unrealized loss position											233

We determined the increase in unrealized losses was caused by the increasing treasury rates, offset by narrower credit spreads. Specific to asset-backed and mortgage-backed securities for which an expected credit loss was not determined, the effect of any increased expectations of underlying collateral defaults have not risen to the level of impacting the tranches of those securities.

Commercial mortgage loans ("CMLs") represented approximately 7% of our total investments at December 31, 2021. We primarily invest in mortgage loans on income producing properties including hotels, industrial properties, retail buildings, multifamily properties and office buildings. We diversify our CML portfolio by geographic region and property type to attempt to reduce concentration risk. We continuously evaluate CMLs based on relevant current information to ensure properties are performing at a consistent and acceptable level to secure the related debt. The distribution of CMLs, gross of valuation allowances, by property type and geographic region is reflected in the following tables (dollars in millions):


	December 31, 2021				December 31, 2020
	Gross Carrying Value		% of Total		Gross Carrying Value		% of Total
Property Type:


Hotel	$	19	1	%	$	19	2	%
Industrial - General	497		23	%	302		33	%
Mixed Use	13		1	%	12		1	%
Multifamily	894		41	%	165		18	%
Office	343		16	%	140		15	%
Retail	121		6	%	142		17	%
Other	204		8	%	125		14	%
Student Housing	83		4	%	—		—	%
Total commercial mortgage loans, gross of valuation allowance	$	2,174	100	%	$	905	100	%
Allowance for expected credit loss	(6)				(2)
Total commercial mortgage loans	$	2,168			$	903

U.S. Region:
East North Central	$	137	6	%	$	61	7	%
East South Central	79		4	%	80		9	%
Middle Atlantic	293		13	%	100		11	%
Mountain	236		11	%	48		5	%
New England	149		7	%	79		9	%
Pacific	649		30	%	333		37	%
South Atlantic	459		21	%	133		15	%
West North Central	12		1	%	13		1	%
West South Central	160		7	%	58		6	%

Total commercial mortgage loans, gross of valuation allowance	$	2,174	100	%	$	905	100	%
Allowance for expected credit loss	(6)				(2)
Total commercial mortgage loans	$	2,168			$	903

LTV and debt service coverage ("DSC") ratios are measures commonly used to assess the risk and quality of mortgage loans. The LTV ratio is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A LTV ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The DSC ratio, based upon the most recently received financial statements, is expressed as a percentage of the amount of a property’s net income to its debt service payments. A DSC ratio of less than 1.00 indicates that a property’s operations do not generate sufficient income to cover debt payments. We normalize our DSC ratios to a 25-year amortization period for purposes of our general loan allowance evaluation.


	Debt-Service Coverage Ratios						Total Amount	% of Total		Estimated Fair Value		% of Total
	>1.25		1.00 - 1.25		<1.00
December 31, 2021
LTV Ratios:
Less than 50%	$	626	$	33	$	9		$	668	31	%	$	745	33	%
50% to 60%	470		—		—			470		22		481		21
60% to 75%	1,036		—		—			1,036		47		1,039		46
Commercial mortgage loans	$	2,132	$	33	$	9		$	2,174	100	%	$	2,265	100	%

December 31, 2020
LTV Ratios:
Less than 50%	$	519	$	18	$	—		$	537	60	%	$	557	60	%
50% to 60%	237		9		—			246		27		251		27
60% to 75%	122		—		—			122		13		119		13
Commercial mortgage loans	$	878	$	27	$	—		$	905	100	%	$	927	100	%

We estimate expected credit losses for our commercial mortgage loan portfolio using a probability of default/loss given default model. Significant inputs to this model include the loans current performance, underlying collateral type, location, contractual life, LTV, and DSC. The model projects losses using a two year reasonable and supportable forecast and then reverts over a three year period to market-wide historical loss experience. Changes in our allowance for expected credit losses on commercial mortgage loans are recognized in Recognized gains and losses, net in the accompanying Consolidated Statements of Earnings.

Residential mortgage loans ("RMLs") represented approximately 4% of our total investments at December 31, 2021. Our residential mortgage loans are closed end, amortizing loans and 100% of the properties are located in the United States. We diversify our RML portfolio by state to attempt to reduce concentration risk. The distribution of RMLs by state with highest-to-lowest concentration are reflected in the following tables (dollars in millions):

Residential mortgage loans have a primary credit quality indicator of either a performing or nonperforming loan. We define non-performing residential mortgage loans as those that are 90 or more days past due or in nonaccrual status, which is assessed monthly. The credit quality of RMLs was as follows (dollars in millions):


	December 31, 2021				December 31, 2020
Performance indicators:	Carrying Value		% of Total		Carrying Value		% of Total
Performing	$	1,533	95	%	$	1,059	91	%
Non-performing	73		5		106		9	%
Total residential mortgage loans, gross of valuation allowance	$	1,606	100	%	$	1165	100	%
Allowance for expected loan loss	(25)		—		(37)		—	%
Total residential mortgage loans	$	1,581	100	%	$	1128	100	%


	December 31, 2021

	Amortized Cost by Origination Year
	2021		2020		2019		2018		2017		Prior		Total
Residential mortgages
Current (less than 30 days past due)	$	795	$	293	$	323	$	50	$	36	$	21	$	1,518
30-89 days past due	5		4		6		1		—		—		16
Over 90 days past due	1		23		46		2		—		—		72
Total residential mortgages	$	801	$	320	$	375	$	53	$	36	$	21	$	1,606
Commercial mortgages
Current (less than 30 days past due)	$	1,301	$	543	$	—	$	6	$	—	$	324	$	2,174
30-89 days past due	—		—		—		—		—		—		—
Over 90 days past due	—		—		—		—		—		—		—
Total commercial mortgages	$	1,301	$	543	$	—	$	6	$	—	$	324	$	2,174


	December 31, 2020

	Amortized Cost by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
Residential mortgages
Current (less than 30 days past due)	$	311	$	545	$	68	$	42	$	62	$	2	$	1,030
30-89 days past due	2		22		2		—		—		—		26
Over 90 days past due	26		74		3		—		—		—		103
Total residential mortgages	$	339	$	641	$	73	$	42	$	62	$	2	$	1,159
Commercial mortgages
Current (less than 30 days past due)	$	542	$	—	$	6	$	—	$	11	$	346	$	905
30-89 days past due	—		—		—		—		—		—		—
Over 90 days past due	—		—		—		—		—		—		—
Total commercial mortgage	$	542	$	—	$	6	$	—	$	11	$	346	$	905


	December 31, 2021

	Amortized Cost by Origination Year
	2021		2020		2019		2018		2017		Prior		Total
Commercial mortgages
LTV
Less than 50%	$	120	$	229	$	—	$	6	$	—	$	313	$	668
50% to 60%	267		192		—		—		—		11		470
60% to 75%	914		122		—		—		—		—		1,036
Total commercial mortgages	$	1301	$	543	$	—	$	6	$	—	$	324	$	2174
Commercial mortgages
DSCR
Greater than 1.25x	$	1,301	$	543	$	—	$	4	$	—	$	284	$	2,132
1.00x - 1.25x	—		—		—		2		—		31		33
Less than 1.00x	—		—		—		—		—		9		9
Total commercial mortgages	$	1301	$	543	$	—	$	6	$	—	$	324	$	2174


	December 31, 2020

	Amortized Cost by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
Commercial mortgages
LTV
Less than 50%	$	228	$	—	$	6	$	—	$	—	$	303	$	537
50% to 60%	192		—		—		—		11		43		246
60% to 75%	122		—		—		—		—		—		122
Total commercial mortgages	$	542	$	—	$	6	$	—	$	11	$	346	$	905
Commercial mortgages
DSCR
Greater than 1.25x	$	542	$	—	$	6	$	—	$	11	$	319	$	878
1.00x - 1.25x	—		—		—		—		—		27		27
Less than 1.00x	—		—		—		—		—		—		—
Total commercial mortgages	$	542	$	—	$	6	$	—	$	11	$	346	$	905

It is our policy to cease to accrue interest on loans that are over 90 days delinquent. For loans less than 90 days delinquent, interest is accrued unless it is determined that the accrued interest is not collectible. If a loan becomes over 90 days delinquent, it is our general policy to initiate foreclosure proceedings unless a workout arrangement to bring the loan current is in place. At December 31, 2021 and 2020, we had $72 million and $99 million, respectively, of mortgage loans that were over 90 days past due, of which $39 million and $24 million, respectively, were in the process of foreclosure. We will continue to evaluate these policies with regard to the economic challenges for mortgage debtors related to COVID-19. Our ability to initiate foreclosure proceedings may be limited by legislation passed and executive orders issued in response to COVID-19.

We estimate expected credit losses for our residential mortgage loan portfolio using a probability of default/loss given default model. Significant inputs to this model include the loans' current performance, underlying collateral type, location, contractual life, LTV, and Debt to Income or FICO. The model projects losses using a two year reasonable and supportable forecast and then reverts over a three year period to market-wide historical loss experience. Changes in our allowance for expected credit losses on mortgage loans are recognized in Recognized gains and losses, net in the accompanying Consolidated Statements of Earnings.


	Year ended December 31, 2021			Seven months ended December 31, 2020

		Residential Mortgage		Commercial Mortgage		Total		Residential Mortgage		Commercial Mortgage		Total
Beginning Balance		$	37	$	2	$	39	—		—		—
Provision for loan losses		(12)		4		(8)		$	30	$	2	$	32
For initial credit losses on purchased loans accounted for as PCD financial assets		—		—		—		7		—		7



Ending Balance		$	25	$	6	$	31	$	37	$	2	$	39

An allowance for expected credit loss is not measured on accrued interest income for commercial mortgage loans as we have a process to write-off interest on loans that enter into non-accrual status (over 90 days past due). Allowances for expected credit losses are measured on accrued interest income for residential mortgage loans and were immaterial as of December 31, 2021 and 2020.


	Year ended
		December 31, 2021		December 31, 2020		December 31, 2019
Fixed maturity securities, available-for-sale		$	1,267	$	708	$	70
Equity securities		23		19		10
Preferred securities		63		59		24
Mortgage loans		131		50		—

Invested cash and short-term investments		7		8		34

Limited partnerships		589		76		—
Tax deferred property exchange income		16		33		72
Other investments		32		25		19
Gross investment income		2,128		978		229
Investment expense		(167)		(78)		(4)
Interest and investment income		$	1,961	$	900	$	225


	Year ended
		December 31, 2021		December 31, 2020		December 31, 2019
Net realized gains (losses) on fixed maturity available-for-sale securities		$	111	$	102	$	(6)
Net realized/unrealized gains (losses) on equity securities (2)		(434)		241		309
Net realized/unrealized gains (losses) on preferred securities (3)		(14)		15		28
Realized gains (losses) on other invested assets		8		(25)		(13)
Change in allowance for expected credit losses		8		(37)		—
Derivatives and embedded derivatives:
Realized gains on certain derivative instruments		456		76		—
Unrealized gains on certain derivative instruments		159		161		—
Change in fair value of reinsurance related embedded derivatives (1)		34		(53)		—
Change in fair value of other derivatives and embedded derivatives		6		8		—
Realized gains on derivatives and embedded derivatives		655		192		—
Recognized gains and losses, net		$	334	$	488	$	318

The Company owns investments in VIEs that are not consolidated within our financial statements. A VIE is an entity that does not have sufficient equity to finance its own activities without additional financial support, where investors lack certain characteristics of a controlling financial interest, or where the entity is structured with non-substantive voting rights. VIEs are consolidated by their ‘primary beneficiary’, a designation given to an entity that receives both the benefits from the VIE as well as the substantive power to make its key economic decisions. While the Company participates in the benefits from VIEs in which it invests, but does not consolidate, the substantive power to make the key economic decisions for each respective VIE resides with entities not under common control with the Company. It is for this reason that the Company is not considered the primary beneficiary for the VIE investments that are not consolidated.

We invest in various limited partnerships and limited liability companies primarily as a passive investor. These investments are primarily in credit funds with a bias towards current income, real assets, or private equity. Limited partnership and limited liability company interests are accounted for under the equity method and are included in Investments in unconsolidated affiliates on our Consolidated Balance Sheets. In addition, we invest in structured investments which may be VIEs, but for which we are not the primary beneficiary. These structured investments typically invest in fixed income investments and are managed by third parties and include asset-backed securities, commercial mortgage-backed securities and residential mortgage-backed securities included in fixed maturity securities available for sale on our Consolidated Balance Sheets.

Our maximum exposure to loss with respect to these VIEs is limited to the investment carrying amounts reported in our Consolidated Balance Sheets for limited partnerships and the amortized costs of our fixed maturity securities, in addition to any required unfunded commitments (also refer to Note H - Commitments and Contingencies).


	December 31, 2021				December 31, 2020
	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure
Investments in unconsolidated affiliates	$	2,350	$	3,496	$	1,156	$	1,550
Fixed maturity securities	12,382		12,802		9,873		9,513
Total unconsolidated VIE investments	$	14,732	$	16,298	$	11,029	$	11,063

Included in equity securities as of December 31, 2021 and 2020 are 5,775,598 and 5,706,134 shares, respectively, of Cannae common stock (NYSE: CNNE). The fair value of our related party investment based on quoted market prices was $203 million and $253 million as of December 31, 2021 and December 31, 2020, respectively. In order to maintain the tax-free treatment of the November 17, 2017 split-off of Cannae Holdings, Inc. we are required to dispose of these shares by November 17, 2022.