Our fixed maturity securities investments have been designated as available-for-sale ("AFS"), 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, unearned revenue ("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 earnings. The Company’s consolidated investments at March 31, 2022 and December 31, 2021 are summarized as follows (in millions):


	March 31, 2022
	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Carrying Value
Available-for-sale securities
Asset-backed securities	$	9,137	$	(1)	$	129	$	(207)	$	9,058	$	9,058
Commercial mortgage-backed securities	2,951		(2)		170		(67)		3,052		3,052
Corporates	16,480		(3)		188		(1,124)		15,541		15,541
Hybrids	832		—		31		(14)		849		849
Municipals	1,444		—		17		(89)		1,372		1,372
Residential mortgage-backed securities	801		(5)		4		(39)		761		761
U.S. Government	594		—		3		(10)		587		587
Foreign Governments	269		—		3		(14)		258		258
Total available-for-sale securities	$	32,508	$	(11)	$	545	$	(1,564)	$	31,478	$	31,478


	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/asset-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

As of March 31, 2022 and December 31, 2021, the Company's accrued interest receivable balance was $278 million and $253 million, respectively. Accrued interest receivable is classified within Prepaid expenses and other assets within the unaudited Condensed 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 us for general purposes. The collateral investments had a fair value of $2,840 million and $2,469 million as of March 31, 2022 and December 31, 2021, 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.


	March 31, 2022				December 31, 2021
	(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	$	439	$	444	$	426	$	431
Due after one year through five years	3,320		3,249		2,998		3,051
Due after five years through ten years	2,378		2,295		2,389		2,458
Due after ten years	13,456		12,590		12,930		13,608
Subtotal	19,593		18,578		18,743		19,548
Other securities which provide for periodic payments:
Asset-backed securities	9,137		9,058		8,516		8,695
Commercial mortgage-backed securities	2,951		3,052		2,684		2,979
Structured hybrids	26		29		31		37
Residential mortgage-backed securities	801		761		731		731
Subtotal	12,915		12,900		11,962		12,442
Total fixed maturity available-for-sale securities	$	32,508	$	31,478	$	30,705	$	31,990

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.


	Three Months Ended March 31, 2022
			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	$	(3)	$	—	$	—	$	—	$	2	$	—	$	—	—		$	(1)
Commercial mortgage-backed securities	(2)		—		—		—		—		—		—		—		(2)
Corporates	—		(3)		—		—		—		—		—		—		(3)


Residential mortgage-backed securities	(3)		—		—		(2)		—		—		—		—		(5)


Total available-for-sale securities	$	(8)	$	(3)	$	—	$	(2)	$	2	$	—	$	—	$	—	$	(11)


	Three Months Ended March 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

Commercial mortgage-backed securities	$	—	$	(1)	$	—	$	—	$	—	$	—	$	—	$	—	$	(1)
Corporates	(16)		—		—		7		—		—		3		3		$	(3)


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


Total available-for-sale securities	$	(19)	$	(1)	$	—	$	7	$	—	$	—	$	3	$	3	$	(7)

PCDs 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. There were no purchases of PCD AFS securities during the three months ended March 31, 2022 or 2021.

The fair value and gross unrealized losses of AFS 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 as of March 31, 2022 and December 31, 2021 were as follows (dollars in millions):


	March 31, 2022
	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	$	5,910	$	(179)	$	348	$	(28)	$	6,258	$	(207)
Commercial mortgage-backed securities	1,205		(62)		44		(5)		1,249		(67)
Corporates	10,103		(817)		1,613		(307)		11,716		(1,124)
Hybrids	407		(14)		2		—		409		(14)
Municipals	954		(72)		131		(17)		1,085		(89)
Residential mortgage-backed securities	609		(37)		19		(2)		628		(39)
U.S. Government	327		(9)		30		(1)		357		(10)
Foreign Government	152		(11)		12		(3)		164		(14)
Total available-for-sale securities	$	19,667	$	(1,201)	$	2,199	$	(363)	$	21,866	$	(1,564)
Total number of available-for-sale securities in an unrealized loss position less than twelve months											3,321
Total number of available-for-sale securities in an unrealized loss position twelve months or longer											223
Total number of available-for-sale securities in an unrealized loss position											3,544


	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

We determined the increase in unrealized losses as of March 31, 2022 was caused by higher treasury rates as well as wider spreads. This is in part due to the Federal Reserve's action to increase rates in efforts to combat inflation. Inflation in the first quarter of 2022 has been compounded by supply chain issues stemming from additional COVID-19 restrictions in China, as well as higher energy prices as a result of the Russian-Ukrainian conflict. For securities in an unrealized loss position as of March 31, 2022, our allowance for expected credit loss was $11 million. We believe that unrealized loss position for which we have not recorded an allowance for expected credit loss as of March 31, 2022 was primarily attributable to interest rate increases, near-term illiquidity, and uncertainty caused by Russia's invasion of Ukraine as opposed to issuer specific credit concerns.

Commercial mortgage loans ("CMLs") represented approximately 7% of our total investments as of March 31, 2022. 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):


	March 31, 2022				December 31, 2021
	Gross Carrying Value		% of Total		Gross Carrying Value		% of Total
Property Type:


Hotel	$	19	1	%	$	19	1	%
Industrial - General	486		22	%	497		23	%
Mixed Use	12		1	%	13		1	%
Multifamily	979		43	%	894		41	%
Office	342		15	%	343		16	%
Retail	108		5	%	121		6	%
Student Housing	83		4	%	83		4	%
Other	208		9	%	204		8	%
Total commercial mortgage loans, gross of valuation allowance	$	2,237	100	%	$	2,174	100	%
Allowance for expected credit loss	(6)				(6)
Total commercial mortgage loans	$	2,231			$	2,168

U.S. Region:
East North Central	$	134	6	%	$	137	6	%
East South Central	76		3	%	79		4	%
Middle Atlantic	293		13	%	293		13	%
Mountain	289		13	%	236		11	%
New England	149		7	%	149		7	%
Pacific	648		29	%	649		30	%
South Atlantic	492		22	%	459		21	%
West North Central	4		—	%	12		1	%
West South Central	152		7	%	160		7	%

Total commercial mortgage loans, gross of valuation allowance	$	2,237	100	%	$	2,174	100	%
Allowance for expected credit loss	(6)				(6)
Total commercial mortgage loans	$	2,231			$	2,168

Loan-to-value ("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
March 31, 2022
LTV Ratios:
Less than 50%	$	608	$	21	$	9		$	638	29	%	$	631	29	%
50% to 60%	512		—		—			512		23	%	494		23	%
60% to 75%	1,078		—		—			1,078		48	%	1,016		47	%
75% to 85%	$	—	$	9	$	—		$	9	1	%	6		1	%
Commercial mortgage loans	$	2,198	$	30	$	9		$	2,237	100	%	$	2,147	100	%

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	%

We recognize a mortgage loan as delinquent when payments on the loan are greater than 30 days past due. At March 31, 2022 we had one CML that was delinquent in principal or interest payments as shown in the risk rating exposure table below. At December 31, 2021 we had no CMLs that were delinquent in principal or interest payments.

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 unaudited Condensed Consolidated Statements of Earnings.

Residential mortgage loans ("RMLs") represented approximately 5% of our total investments as of March 31, 2022. 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):


	March 31, 2022
U.S. State:	Gross Carrying Value		% of Total
Florida	$	288	14	%
Texas	218		11	%
New Jersey	170		8	%
California	141		7	%
Pennsylvania	134		7	%
New York	131		7	%
Georgia	115		6	%
All Other States (1)	813		40	%
Total residential mortgage loans	$	2,010	100	%

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 as of March 31, 2022 and December 31, 2021, was as follows (dollars in millions):


	March 31, 2022				December 31, 2021
Performance indicators:	Carrying Value		% of Total		Carrying Value		% of Total
Performing	$	1,947	97	%	$	1,533	95	%
Non-performing	65		3	%	73		5	%
Total residential mortgage loans, gross of valuation allowance	$	2,012	100	%	$	1,606	100	%
Allowance for expected loan loss	(26)		—	%	(25)		—	%
Total residential mortgage loans	$	1,986	100	%	$	1,581	100	%


	March 31, 2022

	Amortized Cost by Origination Year
	2022		2021		2020		2019		2018		Prior		Total
Residential mortgages
Current (less than 30 days past due)	$	377	$	916	$	264	$	276	$	38	$	48	$	1,919
30-89 days past due	—		10		6		12		—		—		28
Over 90 days past due	—		1		15		45		2		—		63
Total residential mortgages	$	377	$	927	$	285	$	333	$	40	$	48	$	2,010
Commercial mortgages
Current (less than 30 days past due)	$	89	$	1,301	$	543	$	—	$	—	$	295	$	2,228
30-89 days past due	—		—		—		—		—		9		9
Over 90 days past due	—		—		—		—		—		—		—
Total commercial mortgages	$	89	$	1,301	$	543	$	—	$	—	$	304	$	2,237


	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 mortgage	$	1,301	$	543	$	—	$	6	$	—	$	324	$	2,174


	March 31, 2022

	Amortized Cost by Origination Year
	2022		2021		2020		2019		2018		Prior		Total
Commercial mortgages
LTV
Less than 50%	$	4	$	120	$	229	$	—	$	—	$	285	$	638
50% to 60%	43		267		192		—		—		10		512
60% to 75%	42		914		122		—		—		—		1,078
75% to 85%	—		—		—		—		—		9		9
Total commercial mortgages	$	89	$	1,301	$	543	$	—	$	—	$	304	$	2,237
Commercial mortgages
DSCR
Greater than 1.25x	$	89	$	1,301	$	543	$	—	$	—	$	265	$	2,198
1.00x - 1.25x	—		—		—		—		—		30		30
Less than 1.00x	—		—		—		—		—		9		9
Total commercial mortgages	$	89	$	1,301	$	543	$	—	$	—	$	304	$	2,237


	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	$	1,301	$	543	$	—	$	6	$	—	$	324	$	2,174
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	$	1,301	$	543	$	—	$	6	$	—	$	324	$	2,174

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. As of March 31, 2022 and December 31, 2021, we had $63 million and $72 million, respectively, of mortgage loans that were over 90 days past due, of which $39 million was in the process of foreclosure for both periods. 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 unaudited Condensed Consolidated Statements of Earnings.

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 March 31, 2022 and December 31, 2021.


	Three months ended
	March 31, 2022		March 31, 2021
Fixed maturity securities, available-for-sale	$	332	$	307
Equity securities	8		5
Preferred securities	15		14
Mortgage loans	39		23

Invested cash and short-term investments	5		—

Limited partnerships	113		80
Tax deferred property exchange income	3		4
Other investments	9		8
Gross investment income	524		441
Investment expense	(46)		(39)
Interest and investment income	$	478	$	402


	Three months ended
	March 31, 2022		March 31, 2021
Net realized (losses) gains on fixed maturity available-for-sale securities	$	(36)	$	40
Net realized/unrealized losses on equity securities (1)	(148)		(46)
Net realized/unrealized losses on preferred securities (2)	(91)		(10)
Realized losses on other invested assets	(1)		(3)
Change in allowance for expected credit losses	(4)		10
Derivatives and embedded derivatives:
Realized gains on certain derivative instruments	50		60
Unrealized losses on certain derivative instruments	(358)		(35)
Change in fair value of reinsurance related embedded derivatives (3)	122		27
Change in fair value of other derivatives and embedded derivatives	(3)		—
Realized gains (losses) on derivatives and embedded derivatives	(189)		52
Recognized gains and losses, net	$	(469)	$	43

We own 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 we participate in the benefits from VIEs in which we invest, but do not consolidate, the substantive power to make the key economic decisions for each respective VIE resides with entities not under our common control. It is for this reason that we are 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 unaudited Condensed 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 unaudited Condensed Consolidated Balance Sheets.

Our maximum exposure to loss with respect to these VIEs is limited to the investment carrying amounts reported in our unaudited Condensed 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 F Commitments and Contingencies).


	March 31, 2022				December 31, 2021
	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure
Investment in limited partnerships	$	2,675	$	3,751	$	2,350	$	3,496
Fixed maturity securities	12,849		13,591		12,382		12,802
Total unconsolidated VIE investments	$	15,524	$	17,342	$	14,732	$	16,298

Included in equity securities as of March 31, 2022 and December 31, 2021 are 4,775,598 and 5,775,598 shares, respectively, of Cannae common stock (NYSE: CNNE). The fair value of this investment based on quoted market prices is $114 million and $203 million as of March 31, 2022 and December 31, 2021, respectively. During the three months ended March 31, 2022, we sold 1 million shares of CNNE common stock back to Cannae for approximately $24 million in the aggregate. In order to maintain the tax-free treatment of the November 17, 2017 split-off of Cannae from us, we are obligated to dispose of our remaining shares of CNNE common stock by November 17, 2022.