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Investments (Tables) | 6 Months Ended
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Jun. 30, 2022
Investments, Debt and Equity Securities [Abstract] |
Consolidated Investments | The Company’s consolidated investments at June 30, 2022 and December 31, 2021 are summarized as follows (in millions):
| June 30, 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 | $ | 9,965 |  |  | $ | (2) |  |  | $ | 46 |  |  | $ | (561) |  |  | $ | 9,448 |  |  | $ | 9,448 |
Commercial mortgage-backed securities | 3,123 |  |  | — |  |  | 90 |  |  | (160) |  |  | 3,053 |  |  | 3,053 |
Corporates | 16,639 |  |  | (5) |  |  | 31 |  |  | (2,481) |  |  | 14,184 |  |  | 14,184 |
Hybrids | 827 |  |  | — |  |  | 6 |  |  | (64) |  |  | 769 |  |  | 769 |
Municipals | 1,489 |  |  | — |  |  | 3 |  |  | (181) |  |  | 1,311 |  |  | 1,311 |
Residential mortgage-backed securities | 977 |  |  | (4) |  |  | 2 |  |  | (73) |  |  | 902 |  |  | 902 |
U.S. Government | 544 |  |  | — |  |  | 1 |  |  | (15) |  |  | 530 |  |  | 530 |
Foreign Governments | 272 |  |  | — |  |  | — |  |  | (37) |  |  | 235 |  |  | 235 |
Total available-for-sale securities | $ | 33,836 |  |  | $ | (11) |  |  | $ | 179 |  |  | $ | (3,572) |  |  | $ | 30,432 |  |  | $ | 30,432 |
| 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 |
Investments Classified by Contractual Maturity Date | 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.
| June 30, 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 | $ | 524 |  |  | $ | 523 |  |  | $ | 426 |  |  | $ | 431 |
Due after one year through five years | 3,386 |  |  | 3,218 |  |  | 2,998 |  |  | 3,051 |
Due after five years through ten years | 2,103 |  |  | 1,918 |  |  | 2,389 |  |  | 2,458 |
Due after ten years | 13,732 |  |  | 11,344 |  |  | 12,930 |  |  | 13,608 |
Subtotal | 19,745 |  |  | 17,003 |  |  | 18,743 |  |  | 19,548 |
Other securities, which provide for periodic payments: |  |  |  |  |  |  |
Asset-backed securities | 9,965 |  |  | 9,448 |  |  | 8,516 |  |  | 8,695 |
Commercial mortgage-backed securities | 3,123 |  |  | 3,053 |  |  | 2,684 |  |  | 2,979 |
Structured hybrids | 26 |  |  | 26 |  |  | 31 |  |  | 37 |
Residential mortgage-backed securities | 977 |  |  | 902 |  |  | 731 |  |  | 731 |
Subtotal | 14,091 |  |  | 13,429 |  |  | 11,962 |  |  | 12,442 |
Total fixed maturity available-for-sale securities | $ | 33,836 |  |  | $ | 30,432 |  |  | $ | 30,705 |  |  | $ | 31,990 |
Activity in Allowance for Credit Loses of Available-for-sale Securities Aggregated by Investment Category |
Fair Value and Gross Unrealized Losses of Available-for-sale Securities | 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 June 30, 2022 and December 31, 2021 were as follows (dollars in millions):
| June 30, 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 | $ | 7,944 |  |  | $ | (490) |  |  | $ | 645 |  |  | $ | (71) |  |  | $ | 8,589 |  |  | $ | (561) |
Commercial mortgage-backed securities | 1,788 |  |  | (153) |  |  | 48 |  |  | (8) |  |  | 1,836 |  |  | (161) |
Corporates | 11,593 |  |  | (1,960) |  |  | 1,414 |  |  | (521) |  |  | 13,007 |  |  | (2,481) |
Hybrids | 677 |  |  | (64) |  |  | 2 |  |  | — |  |  | 679 |  |  | (64) |
Municipals | 1,120 |  |  | (158) |  |  | 119 |  |  | (23) |  |  | 1,239 |  |  | (181) |
Residential mortgage-backed securities | 798 |  |  | (67) |  |  | 27 |  |  | (6) |  |  | 825 |  |  | (73) |
U.S. Government | 334 |  |  | (12) |  |  | 34 |  |  | (2) |  |  | 368 |  |  | (14) |
Foreign Government | 131 |  |  | (31) |  |  | 20 |  |  | (6) |  |  | 151 |  |  | (37) |
Total available-for-sale securities | $ | 24,385 |  |  | $ | (2,935) |  |  | $ | 2,309 |  |  | $ | (637) |  |  | $ | 26,694 |  |  | $ | (3,572) |
Total number of available-for-sale securities in an unrealized loss position less than twelve months |  |  |  |  |  |  |  |  |  |  | 3,441 |
Total number of available-for-sale securities in an unrealized loss position twelve months or longer |  |  |  |  |  |  |  |  |  |  | 291
Total number of available-for-sale securities in an unrealized loss position |  |  |  |  |  |  |  |  |  |  | 3,732 |
| 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 |
Schedule of Distribution of CMLs, Gross Valuation by Property Type and Geographic Region | The distribution of CMLs, gross of valuation allowances, by property type and geographic region is reflected in the following tables (dollars in millions):
| June 30, 2022 |  | December 31, 2021
| Gross Carrying Value |  | % of Total |  | Gross Carrying Value |  | % of Total
Property Type: |  |  |  |  |  |  |
Hotel | $ | 18 |  |  | 1 | % |  | $ | 19 |  |  | 1 | %
Industrial - General | 486 |  |  | 20 | % |  | 497 |  |  | 23 | %
Mixed Use | 12 |  |  | 1 | % |  | 13 |  |  | 1 | %
Multifamily | 1,013 |  |  | 43 | % |  | 894 |  |  | 41 | %
Office | 332 |  |  | 14 | % |  | 343 |  |  | 16 | %
Retail | 107 |  |  | 5 | % |  | 121 |  |  | 6 | %
Student Housing | 83 |  |  | 4 | % |  | 83 |  |  | 4 | %
Other | 270 |  |  | 12 | % |  | 204 |  |  | 8 | %
Total commercial mortgage loans, gross of valuation allowance | $ | 2,321 |  |  | 100 | % |  | $ | 2,174 |  |  | 100 | %
Allowance for expected credit loss | (6) |  |  |  |  | (6) |  |  |
Total commercial mortgage loans | $ | 2,315 |  |  |  |  | $ | 2,168 |  |  |
U.S. Region: |  |  |  |  |  |  |
East North Central | $ | 130 |  |  | 6 | % |  | $ | 137 |  |  | 6 | %
East South Central | 76 |  |  | 3 | % |  | 79 |  |  | 4 | %
Middle Atlantic | 292 |  |  | 13 | % |  | 293 |  |  | 13 | %
Mountain | 355 |  |  | 15 | % |  | 236 |  |  | 11 | %
New England | 151 |  |  | 7 | % |  | 149 |  |  | 7 | %
Pacific | 699 |  |  | 30 | % |  | 649 |  |  | 30 | %
South Atlantic | 496 |  |  | 21 | % |  | 459 |  |  | 21 | %
West North Central | 4 |  |  | — | % |  | 12 |  |  | 1 | %
West South Central | 118 |  |  | 5 | % |  | 160 |  |  | 7 | %
Total commercial mortgage loans, gross of valuation allowance | $ | 2,321 |  |  | 100 | % |  | $ | 2,174 |  |  | 100 | %
Allowance for expected credit loss | (6) |  |  |  |  | (6) |  |  |
Total commercial mortgage loans | $ | 2,315 |  |  |  |  | $ | 2,168 |  |  |
Schedule of Investment in Mortgage Loans by Loan to Value and Debt Service Coverage Ratios | The following tables present the recorded investment in CMLs by LTV and DSC ratio categories and estimated fair value by the indicated loan-to-value ratios at June 30, 2022 and December 31, 2021 (dollars in millions):
| Debt-Service Coverage Ratios |  | Total Amount |  | % of Total |  | Estimated Fair Value |  | % of Total
| >1.25 |  | 1.00 - 1.25 |  | <1.00 |  |  |  |  |  |
June 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV Ratios: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Less than 50% | $ | 398 |  |  | $ | 4 |  |  | $ | 9 |  |  |  |  | $ | 411 |  |  | 18 | % |  | $ | 401 |  |  | 19 | %
50% to 60% | 771 |  |  | — |  |  | — |  |  |  |  | 771 |  |  | 33 | % |  | 712 |  |  | 34 | %
60% to 75% | 1,130 |  |  | — |  |  | — |  |  |  |  | 1,130 |  |  | 48 | % |  | 1,000 |  |  | 47 | %
75% to 85% | $ | — |  |  | $ | 9 |  |  | $ | — |  |  |  |  | $ | 9 |  |  | 1 | % |  | 6 |  |  | — | %
Commercial mortgage loans | $ | 2,299 |  |  | $ | 13 |  |  | $ | 9 |  |  |  |  | $ | 2,321 |  |  | 100 | % |  | $ | 2,119 |  |  | 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 | %
Schedule of Residential Mortgage Loans by State | The distribution of RMLs by state with highest-to-lowest concentration are reflected in the following tables (dollars in millions):
| June 30, 2022
U.S. State: | Amortized Cost |  | % of Total
Florida | $ | 302 |  |  | 14 | %
Texas | 227 |  |  | 11 | %
New Jersey | 171 |  |  | 8 | %
Pennsylvania | 146 |  |  | 7 | %
California | 145 |  |  | 7 | %
New York | 137 |  |  | 6 | %
Georgia | 117 |  |  | 5 | %
All Other States (1) | 903 |  |  | 42 | %
Total residential mortgage loans | $ | 2,148 |  |  | 100 | %
(1) The individual concentration of each state is equal to or less than 5% as of June 30, 2022.
| December 31, 2021
U.S. State: | Amortized Cost |  | % of Total
Florida | $ | 231 |  |  | 15 | %
Texas | 167 |  |  | 10 | %
New Jersey | 150 |  |  | 10 | %
All other states (1) | 1,027 |  |  | 65 | %
Total residential mortgage loans | $ | 1,575 |  |  | 100 | %
(1) The individual concentration of each state is less than 9% as of December 31, 2021.
Schedule of Loans with Credit Quality Indicators, Performing or Nonperforming | The credit quality of RMLs as of June 30, 2022 and December 31, 2021, was as follows (dollars in millions):
| June 30, 2022 |  | December 31, 2021
Performance indicators: | Carrying Value |  | % of Total |  | Carrying Value |  | % of Total
Performing | $ | 2,083 |  |  | 97 | % |  | $ | 1,533 |  |  | 95 | %
Non-performing | 68 |  |  | 3 | % |  | 73 |  |  | 5 | %
Total residential mortgage loans, gross of valuation allowance | $ | 2,151 |  |  | 100 | % |  | $ | 1,606 |  |  | 100 | %
Allowance for expected loan loss | (29) |  |  | — | % |  | (25) |  |  | — | %
Total residential mortgage loans | $ | 2,122 |  |  | 100 | % |  | $ | 1,581 |  |  | 100 | %
Loans Segregated by Risk Rating Exposure | Loans segregated by risk rating exposure as of June 30, 2022 and December 31, 2021, were as follows (in millions):
| June 30, 2022
| Amortized Cost by Origination Year
| 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Total
Residential mortgages |  |  |  |  |  |  |
Current (less than 30 days past due) | $ | 605 |  | $ | 896 |  | $ | 244 |  | $ | 211 |  | $ | 29 |  | $ | 43 |  | $ | 2,028 |
30-89 days past due | 15 |  | 19 |  | 5 |  | 14 |  | 1 |  | — |  | 54 |
Over 90 days past due | — |  | 6 |  | 16 |  | 46 |  | 1 |  | — |  | 69 |
Total residential mortgages | $ | 620 |  | $ | 921 |  | $ | 265 |  | $ | 271 |  | $ | 31 |  | $ | 43 |  | $ | 2,151 |
Commercial mortgages |  |  |  |  |  |  |
Current (less than 30 days past due) | $ | 229 |  | $ | 1,301 |  | $ | 509 |  | $ | — |  | $ | — |  | $ | 273 |  | $ | 2,312 |
30-89 days past due | — |  | — |  | — |  | — |  | — |  | — |  | — |
Over 90 days past due | — |  | — |  | — |  | — |  | — |  | 9 |  | 9 |
Total commercial mortgages | $ | 229 |  | $ | 1,301 |  | $ | 509 |  | $ | — |  | $ | — |  | $ | 282 |  | $ | 2,321 |
| 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 |
| June 30, 2022
| Amortized Cost by Origination Year
| 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Total
Commercial mortgages |  |  |  |  |  |  |
LTV |  |  |  |  |  |  |
Less than 50% | $ | 14 |  | $ | 121 |  | $ | 153 |  | $ | — |  | $ | — |  | $ | 123 |  | $ | 411 |
50% to 60% | 105 |  | 292 |  | 234 |  | — |  | — |  | 140 |  | 771 |
60% to 75% | 110 |  | 888 |  | 122 |  | — |  | — |  | 10 |  | 1,130 |
75% to 85% | — |  | — |  | — |  | — |  | — |  | 9 |  | 9 |
Total commercial mortgages | $ | 229 |  | $ | 1,301 |  | $ | 509 |  | $ | — |  | $ | — |  | $ | 282 |  | $ | 2,321 |
Commercial mortgages |  |  |  |  |  |  |
DSCR |  |  |  |  |  |  |
Greater than 1.25x | $ | 229 |  | $ | 1,301 |  | $ | 509 |  | $ | — |  | $ | — |  | $ | 260 |  | $ | 2,299 |
1.00x - 1.25x | — |  | — |  | — |  | — |  | — |  | 13 |  | 13 |
Less than 1.00x | — |  | — |  | — |  | — |  | — |  | 9 |  | 9 |
Total commercial mortgages | $ | 229 |  | $ | 1,301 |  | $ | 509 |  | $ | — |  | $ | — |  | $ | 282 |  | $ | 2,321 |
| 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 |
Financing Receivable, Nonaccrual | Non-accrual loans by amortized cost as of June 30, 2022 and December 31, 2021, were as follows (in millions):
Amortized cost of loans on non-accrual | June 30, 2022 |  | December 31, 2021 |  |  |
Residential mortgage: | $ | 69 |  |  | $ | 72 |  |  |  |
Commercial mortgage: | — |  |  | — |  |  |  |
Total non-accrual loans | $ | 69 |  |  | $ | 72 |  |  |  |
Allowance for Expected Credit Losses on Loans | The allowances for our mortgage loan portfolio is summarized as follows (in millions):
| Three months ended June 30, 2022 |  | Six months ended June 30, 2022
| Residential Mortgage |  | Commercial Mortgage |  | Total |  | Residential Mortgage |  | Commercial Mortgage |  | Total
Beginning Balance | $ | 26 |  |  | $ | 6 |  |  | $ | 32 |  |  | $ | 25 |  |  | $ | 6 |  |  | $ | 31 |
Provision for loan losses | 3 |  |  | — |  |  | 3 |  |  | 4 |  |  | — |  |  | 4 |
Ending Balance | $ | 29 |  |  | $ | 6 |  |  | $ | 35 |  |  | $ | 29 |  |  | $ | 6 |  |  | $ | 35 |
| Three months ended June 30, 2021 |  | Six months ended June 30, 2021
| Residential Mortgage |  | Commercial Mortgage |  | Total |  | Residential Mortgage |  | Commercial Mortgage |  | Total
Beginning Balance | $ | 31 |  |  | $ | 5 |  |  | $ | 36 |  |  | $ | 37 |  |  | $ | 2 |  |  | $ | 39 |
Provision for loan losses | (3) |  |  | 1 |  |  | (2) |  |  | (9) |  |  | 4 |  |  | (5) |
Ending Balance | $ | 28 |  |  | $ | 6 |  |  | $ | 34 |  |  | $ | 28 |  |  | $ | 6 |  |  | $ | 34 |
Schedule of Sources of Net Investment Income Reported | The major sources of Interest and investment income reported on the accompanying unaudited Condensed Consolidated Statements of Earnings were as follows (in millions):
| Three months ended |  | Six months ended
| June 30, 2022 |  | June 30, 2021 |  | June 30, 2022 |  | June 30, 2021
Fixed maturity securities, available-for-sale | $ | 350 |  |  | $ | 325 |  |  | $ | 682 |  |  | $ | 631 |
Equity securities | 7 |  |  | 5 |  |  | 15 |  |  | 10 |
Preferred securities | 20 |  |  | 18 |  |  | 35 |  |  | 32 |
Mortgage loans | 49 |  |  | 33 |  |  | 88 |  |  | 56 |
Invested cash and short-term investments | 13 |  |  | 1 |  |  | 18 |  |  | 1 |
Limited partnerships | 58 |  |  | 164 |  |  | 171 |  |  | 244 |
Tax deferred property exchange income | 10 |  |  | 4 |  |  | 14 |  |  | 9 |
Other investments | 4 |  |  | 6 |  |  | 13 |  |  | 14 |
Gross investment income | 511 |  |  | 556 |  |  | 1,036 |  |  | 997 |
Investment expense | (48) |  |  | (42) |  |  | (95) |  |  | (81) |
Interest and investment income | $ | 463 |  |  | $ | 514 |  |  | $ | 941 |  |  | $ | 916 |
Recognized Gains and Losses, net Details underlying Recognized gains and losses, net reported on the accompanying unaudited Condensed Consolidated Statements of Earnings were as follows (in millions):
| Three months ended |  | Six months ended
| June 30, 2022 |  | June 30, 2021 |  | June 30, 2022 |  | June 30, 2021
Net realized (losses) gains on fixed maturity available-for-sale securities | $ | (61) |  |  | $ | 13 |  |  | $ | (98) |  |  | $ | 53 |
Net realized/unrealized losses on equity securities (1) | (221) |  |  | (42) |  |  | (370) |  |  | (88) |
Net realized/unrealized (losses) gains on preferred securities (2) | (118) |  |  | 15 |  |  | (208) |  |  | 6 |
Realized (losses) gains on other invested assets | (9) |  |  | 12 |  |  | (10) |  |  | 8 |
Change in allowance for expected credit losses | (9) |  |  | (4) |  |  | (12) |  |  | 6 |
Derivatives and embedded derivatives: |  |  |  |  |  |  |
Realized (losses) gains on certain derivative instruments | (35) |  |  | 120 |  |  | 15 |  |  | 180 |
Unrealized (losses) gains on certain derivative instruments | (359) |  |  | 142 |  |  | (717) |  |  | 107 |
Change in fair value of reinsurance related embedded derivatives (3) | 141 |  |  | (27) |  |  | 263 |  |  | — |
Change in fair value of other derivatives and embedded derivatives | (5) |  |  | 3 |  |  | (8) |  |  | 3 |
Realized (losses) gains on derivatives and embedded derivatives | (258) |  |  | 238 |  |  | (447) |  |  | 290 |
Recognized gains and losses, net | $ | (676) |  |  | $ | 232 |  |  | $ | (1,145) |  |  | $ | 275 |
(1) Includes net valuation losses of $(222) million and $(46) million for the three months ended June 30, 2022 and 2021, respectively, and net valuation losses of $(388) million and $(92) million for the six months ended June 30, 2022 and 2021, respectively. (2) Includes net valuation (losses) gains of $(118) million and $7 million for the three months ended June 30, 2022 and 2021, respectively, and net valuation (losses) gains of $(207) million and $4 million for the six months ended June 30, 2022 and 2021, respectively. (3) Change in fair value of reinsurance related embedded derivatives is due to activity related to the reinsurance treaties with Kubera (novated from Kubera to Sommerset effective October 31, 2021) and Aspida Re.
Proceeds from Sale of Fixed Maturity Available-for-sale Securities | The proceeds from the sale of fixed-maturity securities and the gross gains and losses associated with those transactions were as follows (in millions):
| Three months ended |  | Six months ended
| June 30, 2022 |  | June 30, 2021 |  | June 30, 2022 |  | June 30, 2021
Proceeds | $ | 802 |  |  | $ | 444 |  |  | $ | 1,835 |  |  | $ | 869 |
Gross gains | 1 |  |  | 36 |  |  | 5 |  |  | 68 |
Gross losses | (61) |  |  | (8) |  |  | (99) |  |  | (16) |
Schedule of Carrying Value and Maximum Loss Exposure, Unconsolidated VIEs | The following table summarizes the carrying value and the maximum loss exposure of our unconsolidated VIEs as of June 30, 2022 and December 31, 2021.
| June 30, 2022 |  | December 31, 2021
| Carrying Value |  | Maximum Loss Exposure |  | Carrying Value |  | Maximum Loss Exposure
Investment in limited partnerships | $ | 2,668 |  |  | $ | 4,343 |  |  | $ | 2,350 |  |  | $ | 3,496 |
Fixed maturity securities | 13,026 |  |  | 14,255 |  |  | 12,382 |  |  | 12,802 |
Total unconsolidated VIE investments | $ | 15,694 |  |  | $ | 18,598 |  |  | $ | 14,732 |  |  | $ | 16,298 |
Schedules of Investment Concentrations | Our underlying investment concentrations that exceed 10% of shareholders equity are as follows (in millions):
| June 30, 2022
Blackstone Wave Asset Holdco (1) | 960 |
Jade 22 (2) | 855 |
(1) Represents a special purpose vehicle that holds investments in numerous limited partnership investments whose underlying investments are further diversified by holding interest in multiple individual investments and industries.
(2) Represents a special purpose vehicle that holds numerous underlying corporate loans across various industries.

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