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 earnings (loss). The Company’s consolidated investments are summarized as follows (in millions):


	December 31, 2022
	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Available-for-sale securities
Asset-backed securities	$	12,209	$	(8)	$	36	$	(770)	$	11,467
Commercial mortgage-backed securities	3,337		(1)		11		(284)		3,063
Corporates	17,396		(22)		32		(3,069)		14,337
Hybrids	806		—		9		(84)		731
Municipals	1,749		—		4		(293)		1,460
Residential mortgage-backed securities	1,638		(8)		6		(109)		1,527
U.S. Government	287		—		—		(16)		271
Foreign Governments	286		—		—		(47)		239
Total available-for-sale securities	$	37,708	$	(39)	$	98	$	(4,672)	$	33,095


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

As of December 31, 2022, we held $27 million of investments that were non-income producing for a period greater than twelve months. As of December 31, 2021, we held no material investments that were non-income producing for a period greater than twelve months.

As of December 31, 2022 and December 31, 2021, the Company's accrued interest receivable balance was $365 million and $253 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 $3,387 million and $2,469 million at December 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.


	December 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	$	536	$	527	$	426	$	431
Due after one year through five years	3,288		3,089		2,998		3,051
Due after five years through ten years	2,171		1,939		2,389		2,458
Due after ten years	14,503		11,457		12,930		13,608
	20,498		17,012		18,743		19,548
Other securities, which provide for periodic payments:
Asset-backed securities	12,209		11,467		8,516		8,695
Commercial mortgage-backed securities	3,337		3,063		2,684		2,979
Structured hybrids	26		26		31		37
Residential mortgage-backed securities	1,638		1,527		731		731
	17,210		16,083		11,962		12,442
Total fixed maturity available-for-sale securities	$	37,708	$	33,095	$	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 Interest and investment income when collectability concerns arise.

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, 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	$	7,001	$	(410)	$	3,727	$	(360)	$	10,728	$	(770)
Commercial mortgage-backed securities	2,079		(169)		475		(116)		2,554		(285)
Corporates	9,913		(1,735)		3,523		(1,330)		13,436		(3,065)
Hybrids	628		(83)		3		(1)		631		(84)
Municipals	998		(180)		352		(113)		1,350		(293)
Residential mortgage-backed securities	992		(51)		184		(22)		1,176		(73)
U.S. Government	130		(7)		140		(8)		270		(15)
Foreign Government	119		(32)		59		(14)		178		(46)
Total available-for-sale securities	$	21,860	$	(2,667)	$	8,463	$	(1,964)	$	30,323	$	(4,631)
Total number of available-for-sale securities in an unrealized loss position less than twelve months											3,114
Total number of available-for-sale securities in an unrealized loss position twelve months or longer											1,296
Total number of available-for-sale securities in an unrealized loss position											4,410


	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 December 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. For securities in an unrealized loss position as of December 31, 2022, our allowance for expected credit loss was $39 million. We believe that the unrealized loss position for which we have not recorded an allowance for expected credit loss as of December 31, 2022 was primarily attributable to interest rate increases, near-term illiquidity, and other macroeconomic uncertainties as opposed to issuer specific credit concerns.

Commercial mortgage loans ("CMLs") represented approximately 6% of our total investments at December 31, 2022 and December 31, 2021. The mortgage loans in our investment portfolio, are generally comprised of high quality commercial first lien and mezzanine real estate loans. Mortgage loans are primarily on income producing properties including 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, 2022				December 31, 2021
	Amortized Cost		% of Total		Amortized Cost		% of Total
Property Type:


Hotel	$	18	1	%	$	19	1	%
Industrial	520		22	%	497		23	%
Mixed Use	12		1	%	13		1	%
Multifamily	1,013		42	%	894		41	%
Office	330		14	%	343		16	%
Retail	105		4	%	121		6	%
Student Housing	83		3	%	83		4	%
Other	335		13	%	204		8	%
Total commercial mortgage loans, gross of valuation allowance	$	2,416	100	%	$	2,174	100	%
Allowance for expected credit loss	(10)				(6)
Total commercial mortgage loans, net of valuation allowance	$	2,406			$	2,168

U.S. Region:
East North Central	$	151	6	%	$	137	6	%
East South Central	76		3	%	79		4	%
Middle Atlantic	326		13	%	293		13	%
Mountain	355		15	%	236		11	%
New England	158		7	%	149		7	%
Pacific	708		28	%	649		30	%
South Atlantic	521		22	%	459		21	%
West North Central	4		1	%	12		1	%
West South Central	117		5	%	160		7	%

Total commercial mortgage loans, gross of valuation allowance	$	2,416	100	%	$	2,174	100	%
Allowance for expected credit loss	(10)				(6)
Total commercial mortgage loans, net of valuation allowance	$	2,406			$	2,168

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.

The following tables presents the recorded investment in CMLs by LTV and DSC ratio categories and estimated fair value by the indicated loan-to-value ratios, gross of valuation allowances (dollars in millions):


	Debt-Service Coverage Ratios						Total Amount	% of Total		Estimated Fair Value		% of Total
	>1.25		1.00 - 1.25		<1.00
December 31, 2022
LTV Ratios:
Less than 50.00%	$	511	$	4	$	11		$	526	22	%	$	490	24	%
50.00% to 59.99%	706		—		—			706		29	%	615		30	%
60.00% to 74.99%	1,154		3		—			1,157		48	%	955		45	%
75.00% to 84.99%	—		—		18			18		1	%	14		1	%
Commercial mortgage loans (a)	$	2,371	$	7	$	29		$	2,407	100	%	$	2,074	100	%

December 31, 2021
LTV Ratios:
Less than 50.00%	$	626	$	33	$	9		$	668	31	%	$	745	33	%
50.00% to 59.99%	470		—		—			470		22	%	481		21	%
60.00% to 74.99%	1,036		—		—			1,036		47	%	1,039		46	%

Commercial mortgage loans	$	2,132	$	33	$	9		$	2,174	100	%	$	2,265	100	%

We recognize mortgage loans as delinquent when payments on the loan are greater than 30 days past due. At December 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.

Residential mortgage loans ("RMLs") represented approximately 5% and 4% of our total investments at December 31, 2022 and December 31, 2021, respectively. 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, gross of valuation allowances (dollars in millions):


	December 31, 2022
U.S. State:	Amortized Cost		% of Total
Florida	$	324	15	%
Texas	215		10	%
New Jersey	172		8	%
Pennsylvania	153		7	%
California	139		6	%
New York	138		6	%
Georgia	125		6	%
All Other States (1)	914		42	%
Total mortgage loans	$	2,180	100	%

RMLs have a primary credit quality indicator of either a performing or nonperforming loan. We define non-performing RMLs 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, 2022				December 31, 2021
Performance indicators:	Amortized Cost		% of Total		Amortized Cost		% of Total
Performing	$	2,118	97	%	$	1,533	95	%
Non-performing	62		3	%	73		5	%
Total residential mortgage loans, gross of valuation allowance	$	2,180	100	%	$	1,606	100	%
Allowance for expected loan loss	(32)		—	%	(25)		—	%
Total residential mortgage loans, net of valuation allowance	$	2,148	100	%	$	1,581	100	%


	December 31, 2022

	Amortized Cost by Origination Year
	2022		2021		2020		2019		2018		Prior		Total
Residential mortgages
Current (less than 30 days past due)	$	766	$	884	$	214	$	185	$	23	$	33	$	2,105
30-89 days past due	2		7		—		4		—		—		13
90 days or more past due	3		9		15		34		1		—		62
Total residential mortgages	$	771	$	900	$	229	$	223	$	24	$	33	$	2,180
Commercial mortgages
Current (less than 30 days past due)	$	350	$	1,300	$	488	$	—	$	—	$	269	$	2,407
30-89 days past due	—		—		—		—		—		—		—
90 days or more past due	—		—		—		—		—		9		9
Total commercial mortgages	$	350	$	1,300	$	488	$	—	$	—	$	278	$	2,416


	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
90 days or more 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)	$	1301	$	543	$	—	$	6	$	—	$	324	$	2,174
30-89 days past due	—		—		—		—		—		—		—
90 days or more past due	—		—		—		—		—		—		—
Total commercial mortgages	$	1,301	$	543	$	—	$	6	$	—	$	324	$	2,174


	December 31, 2022

	Amortized Cost by Origination Year
	2022		2021		2020		2019		2018		Prior		Total
Commercial mortgages
LTV
Less than 50.00%	$	70	$	120	$	207	$	—	$	—	$	129	$	526
50.00% to 59.99%	149		268		158		—		—		131		706
60.00% to 74.99%	113		912		123		—		—		9		1,157
75.00% to 84.99%	9		—		—		—		—		9		18
Total commercial mortgages (a)	$	341	$	1300	$	488	$	—	$	—	$	278	$	2,407
Commercial mortgages
DSCR
Greater than 1.25x	$	329	$	1,300	$	488	$	—	$	—	$	254	$	2,371
1.00x - 1.25x	3		—		—		—		—		4		7
Less than 1.00x	9		—		—		—		—		20		29
Total commercial mortgages (a)	$	341	$	1300	$	488	$	—	$	—	$	278	$	2,407


	December 31, 2021

	Amortized Cost by Origination Year
	2021		2020		2019		2018		2017		Prior		Total
Commercial mortgages
LTV
Less than 50.00%	$	120	$	229	$	—	$	6	$	—	$	313	$	668
50.00% to 59.99%	267		192		—		—		—		11		470
60.00% to 74.99%	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 90 days or more 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 90 days or more delinquent, it is our general policy to initiate foreclosure proceedings unless a workout arrangement to bring the loan current is in place. As of December 31, 2022 and December 31, 2021, we had $71 million and $72 million, respectively, of mortgage loans that were over 90 days past due, of which $38 million and $39 million was in the process of foreclosure as of December 31, 2022 and December 31, 2021, respectively.

We estimate expected credit losses for our CML and RML portfolios using a probability of default/loss given default model. Significant inputs to this model include, where applicable, the loans' current performance, underlying collateral type, location, contractual life, LTV, DSC 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, 2022			Year ended December 31, 2021

		Residential Mortgage		Commercial Mortgage		Total		Residential Mortgage		Commercial Mortgage		Total
Beginning Balance		$	25	$	6	$	31	$	37	$	2	$	39
Provision for loan losses		7		4		11		(12)		4		(8)




Ending Balance		$	32	$	10	$	42	$	25	$	6	$	31



	Seven months ended December 31, 2020

		Residential Mortgage		Commercial Mortgage		Total
Beginning Balance		—		—		—
Provision for loan losses		30		2		32
For initial credit losses on purchased loans accounted for as PCD financial assets		7		—		7



Ending Balance		$	37	$	2	$	39

An allowance for expected credit loss is not measured on accrued interest income for CMLs as we have a process to write-off interest on loans that enter into non-accrual status (90 days or more past due). Allowances for expected credit losses are measured on accrued interest income for RMLs and were immaterial as of December 31, 2022 and December 31, 2021.


	Year ended
		December 31, 2022		December 31, 2021		December 31, 2020
Fixed maturity securities, available-for-sale		$	1,489	$	1,267	$	708
Equity securities		31		23		19
Preferred securities		67		63		59
Mortgage loans		186		131		50

Invested cash and short-term investments		61		7		8

Limited partnerships		110		589		76
Tax deferred property exchange income		103		16		33
Other investments		41		32		25
Gross investment income		2,088		2,128		978
Investment expense		(197)		(167)		(78)
Interest and investment income		$	1,891	$	1,961	$	900

The Company’s Interest and investment income is shown net of amounts attributable to certain funds withheld reinsurance agreements which is passed along to the reinsurer in accordance with the terms of these agreements. Interest and Investment Income attributable to these agreements, and thus excluded from the totals in the table above, was $109 million, $53 million and $21 million for the years ended December 31, 2022 and 2021 and for the period from June 1 to December 31, 2020.


	Year ended
		December 31, 2022		December 31, 2021		December 31, 2020
Net realized (losses) gains on fixed maturity available-for-sale securities		$	(253)	$	111	$	102
Net realized/unrealized (losses) gains on equity securities (2)		(386)		(434)		241
Net realized/unrealized (losses) gains on preferred securities (3)		(230)		(14)		15
Realized (losses) gains on other invested assets		(68)		8		(25)
Change in allowance for expected credit losses		(41)		8		(37)
Derivatives and embedded derivatives:
Realized (losses) gains on certain derivative instruments		(164)		456		76
Unrealized (losses) gains on certain derivative instruments		(693)		159		161
Change in fair value of reinsurance related embedded derivatives (1)		352		34		(53)
Change in fair value of other derivatives and embedded derivatives		(10)		6		8
Realized (losses) gains on derivatives and embedded derivatives		(515)		655		192
Recognized gains and losses, net		$	(1,493)	$	334	$	488

(1) Change in fair value of reinsurance related embedded derivatives is due to activity related to the reinsurance treaties with Kubera (novated from Kubera to Somerset effective October 31, 2021) and Aspida Re.

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 that 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, 2022				December 31, 2021
	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure
Investments in unconsolidated affiliates	$	2,427	$	4,030	$	2,350	$	3,496
Fixed maturity securities	15,680		17,404		12,382		12,802
Total unconsolidated VIE investments	$	18,107	$	21,434	$	14,732	$	16,298

(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.

Included in equity securities as of December 31, 2021 were 5,775,598 shares of Cannae common stock (NYSE: CNNE). The fair value of this investment based on quoted market prices was $203 million as of December 31, 2021. During the year ended December 31, 2022, we sold all 5,775,598 shares of CNNE common stock back to Cannae for approximately $109 million in the aggregate. As of December 31, 2022, we held no shares of CNNE common stock.