Our fixed maturity securities investments have been designated as AFS, and are carried at fair value, net of allowance for expected credit losses, with unrealized gains and losses included in AOCI, net of 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, 2023 and December 31, 2022 are summarized as follows:


	March 31, 2023
	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Available-for-sale securities	(In millions)
Asset-backed securities	$	12,620	$	(10)	$	43	$	(761)	$	11,892
Commercial mortgage-backed securities	4,048		—		3		(336)		3,715
Corporates	18,426		(3)		64		(2,656)		15,831
Hybrids	853		—		9		(82)		780
Municipals	1,850		—		13		(234)		1,629
Residential mortgage-backed securities	1,770		(7)		13		(107)		1,669
U.S. Government	341		—		—		(12)		329
Foreign Governments	311		—		1		(47)		265
Total available-for-sale securities	$	40,219	$	(20)	$	146	$	(4,235)	$	36,110


	December 31, 2022
	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Available-for-sale securities	(In millions)
Asset-backed securities	$	12,209	$	(8)	$	36	$	(770)	$	11,467
Commercial mortgage-backed/asset-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

As of March 31, 2023 and December 31, 2022, the Company's accrued interest receivable balance was $413 million and $365 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 $3,830 million and $3,387 million as of March 31, 2023 and December 31, 2022, respectively.


	March 31, 2023				December 31, 2022
	(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	$	586	$	574	$	536	$	527
Due after one year through five years	3,921		3,745		3,288		3,089
Due after five years through ten years	2,265		2,079		2,171		1,939
Due after ten years	14,983		12,410		14,503		11,457
Subtotal	21,755		18,808		20,498		17,012
Other securities, which provide for periodic payments:
Asset-backed securities	12,620		11,892		12,209		11,467
Commercial mortgage-backed securities	4,048		3,715		3,337		3,063
Structured hybrids	26		26		26		26
Residential mortgage-backed securities	1,770		1,669		1,638		1,527
Subtotal	18,464		17,302		17,210		16,083
Total fixed maturity available-for-sale securities	$	40,219	$	36,110	$	37,708	$	33,095

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 unaudited Condensed Consolidated Statements of Operations, 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 as we write-off accrued interest through 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 unaudited Condensed Consolidated Statements of Operations. 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 unaudited Condensed Consolidated Statements of Operations. The remainder of unrealized loss is held in AOCI. As of March 31, 2023 and December 31, 2022, our allowance for expected credit losses for AFS securities was $20 million and $39 million, respectively.

Purchased credit deteriorated ("PCD") financial assets 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, 2023 or 2022.

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, 2023 and December 31, 2022 were as follows:


	March 31, 2023
	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	(In millions)
Asset-backed securities	$	5,347	$	(307)	$	4,520	$	(448)	$	9,867	$	(755)
Commercial mortgage-backed securities	2,249		(122)		1,236		(214)		3,485		(336)
Corporates	5,501		(392)		8,553		(2,263)		14,054		(2,655)
Hybrids	346		(29)		321		(53)		667		(82)
Municipals	483		(37)		907		(196)		1,390		(233)
Residential mortgage-backed securities	708		(22)		540		(81)		1,248		(103)
U.S. Government	29		—		206		(11)		235		(11)
Foreign Government	23		(2)		183		(44)		206		(46)
Total available-for-sale securities	$	14,686	$	(911)	$	16,466	$	(3,310)	$	31,152	$	(4,221)
Total number of available-for-sale securities in an unrealized loss position less than twelve months											2,402
Total number of available-for-sale securities in an unrealized loss position twelve months or longer											2,270
Total number of available-for-sale securities in an unrealized loss position											4,672


	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	(In millions)
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

We determined the decrease in unrealized losses as of March 31, 2023, compared to December 31, 2022, was caused by lower treasury rates as well as spread compression. For securities in an unrealized loss position as of March 31, 2023, our allowance for expected credit loss was $20 million. We believe the unrealized loss position for which we have not recorded an allowance for expected credit loss as of March 31, 2023 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 March 31, 2023 and December 31, 2022. 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:


	March 31, 2023				December 31, 2022
	Gross Carrying Value		% of Total		Gross Carrying Value		% of Total
Property Type:	(Dollars in millions)				(Dollars in millions)


Hotel	$	18	1	%	$	18	1	%
Industrial	538		22	%	520		22	%
Mixed Use	12		1	%	12		1	%
Multifamily	1,013		41	%	1,013		42	%
Office	329		13	%	330		14	%
Retail	104		4	%	105		4	%
Student Housing	83		3	%	83		3	%
Other	373		15	%	335		13	%
Total commercial mortgage loans, gross of valuation allowance	$	2,470	100	%	$	2,416	100	%
Allowance for expected credit loss	(12)				(10)
Total commercial mortgage loans, net of valuation allowance	$	2,458			$	2,406

U.S. Region:
East North Central	$	177	7	%	$	151	6	%
East South Central	76		3	%	76		3	%
Middle Atlantic	325		13	%	326		13	%
Mountain	354		14	%	355		15	%
New England	164		7	%	158		7	%
Pacific	700		28	%	708		28	%
South Atlantic	553		22	%	521		22	%
West North Central	4		1	%	4		1	%
West South Central	117		5	%	117		5	%

Total commercial mortgage loans, gross of valuation allowance	$	2,470	100	%	$	2,416	100	%
Allowance for expected credit loss	(12)				(10)
Total commercial mortgage loans, net of valuation allowance	$	2,458			$	2,406


	March 31, 2023

	Amortized Cost by Origination Year
	2023		2022		2021		2020		2019		Prior		Total
Commercial mortgages	(In millions)
Current (less than 30 days past due)	$	53	$	354	$	1,301	$	486	$	—	$	267	$	2,461
30-89 days past due	—		—		—		—		—		—		—
90 days or more past due	—		—		—		—		—		9		9
Total commercial mortgages	$	53	$	354	$	1301	$	486	$	—	$	276	$	2,470


	December 31, 2022

	Amortized Cost by Origination Year
	2022		2021		2020		2019		2018		Prior		Total
Commercial mortgages	(In millions)
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

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, 2023	(In millions)
LTV Ratios:
Less than 50.00%	$	511	$	4	$	11		$	526	21	%	$	493	23	%
50.00% to 59.99%	732		—		—			732		30	%	653		30	%
60.00% to 74.99%	1,170		8		—			1,178		48	%	1,002		46	%
75.00% to 84.99%	—		2		18			20		1	%	17		1	%
Commercial mortgage loans (a)	$	2,413	$	14	$	29		$	2,456	100	%	$	2,165	100	%

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	%


	March 31, 2023

	Amortized Cost by Origination Year
	2023		2022		2021		2020		2019		Prior		Total
Commercial mortgages	(In millions)
LTV
Less than 50.00%	$	4	$	69	$	120	$	206			$	127	$	526
50.00% to 59.99%	27		149		268		158				130		732
60.00% to 74.99%	20		113		913		122				10		1,178
75.00% to 84.99%	3		9		—		—				8		20
Total commercial mortgages (a)	$	54	$	340	$	1301	$	486	$	—	$	275	$	2,456
Commercial mortgages
DSCR
Greater than 1.25x	$	47	$	328	$	1,301	$	486			$	251	$	2,413
1.00x - 1.25x	7		3		—		—				4		14
Less than 1.00x	—		9		—		—				20		29
Total commercial mortgages (a)	$	54	$	340	$	1301	$	486	$	—	$	275	$	2,456


	December 31, 2022

	Amortized Cost by Origination Year
	2022		2021		2020		2019		2017		Prior		Total
Commercial mortgages	(In millions)
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	$	1,300	$	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	$	1,300	$	488	$	—	$	—	$	278	$	2,407

Residential mortgage loans (“RMLs”) represented approximately 6% and 5% of our total investments as of March 31, 2023 and December 31, 2022, respectively. Our RMLs 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:


	December 31, 2022
	(Dollars in millions)
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 (a)	914		42	%
Total residential 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 non-accrual status, which is assessed monthly. The credit quality of RMLs as of March 31, 2023 and December 31, 2022, was as follows :


	March 31, 2023				December 31, 2022
	(Dollars in millions)				(Dollars in millions)
Performance indicators:	Amortized Cost		% of Total		Amortized Cost		% of Total
Performing	$	2,511	98	%	$	2,118	97	%
Non-performing	63		2	%	62		3	%
Total residential mortgage loans, gross of valuation allowance	$	2,574	100	%	$	2,180	100	%
Allowance for expected loan loss	(48)		—	%	(32)		—	%
Total residential mortgage loans, net of valuation allowance	$	2,526	100	%	$	2,148	100	%


	March 31, 2023

	Amortized Cost by Origination Year
	2023		2022		2021		2020		2019		Prior		Total
Residential mortgages	(In millions)
Current (less than 30 days past due)	$	35	$	950	$	889	$	209	$	199	$	209	$	2,491
30-89 days past due	—		3		8		3		4		2		20
90 days or more past due	—		3		18		13		28		1		63
Total residential mortgages	$	35	$	956	$	915	$	225	$	231	$	212	$	2,574


	December 31, 2022

	Amortized Cost by Origination Year
	(In millions)
	2022		2021		2020		2019		2018		Prior		Total
Residential mortgages	(In millions)
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

Non-accrual loans by amortized cost as of March 31, 2023 and December 31, 2022, were as follows:


	March 31, 2023		December 31, 2022
Amortized cost of loans on non-accrual	(In millions)
Residential mortgage:	$	63	$	62
Commercial mortgage:	9		9
Total non-accrual mortgages	$	72	$	71

Immaterial interest income was recognized on non-accrual financing receivables for the three months ended March 31, 2023 and March 31, 2022.

It is our policy to cease to accrue interest on loans that are delinquent for 90 days or more. 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 March 31, 2023 and December 31, 2022, we had $72 million and $71 million, respectively, of RMLs that were over 90 days past due, of which $32 million and $38 million were in the process of foreclosure as of March 31, 2023 and December 31, 2022, respectively.

We estimate expected credit losses for our commercial and residential mortgage loan 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 unaudited Condensed Consolidated Statements of Earnings.

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 March 31, 2023 and March 31, 2022.


	Three months ended
	March 31, 2023		March 31, 2022
	(In millions)
Fixed maturity securities, available-for-sale	$	447	$	332
Equity securities	8		8
Preferred securities	13		15
Mortgage loans	51		39

Invested cash and short-term investments	33		5

Limited partnerships	57		113
Tax deferred property exchange income	45		3
Other investments	19		9
Gross investment income	673		524
Investment expense	(62)		(46)
Interest and investment income	$	611	$	478


	Three months ended
	March 31, 2023		March 31, 2022
	(In millions)
Net realized losses on fixed maturity available-for-sale securities	$	(50)	$	(36)
Net realized/unrealized gains (losses) on equity securities (1)	33		(148)
Net realized/unrealized losses on preferred securities (2)	(10)		(91)
Realized losses on other invested assets	(5)		(1)
Change in allowance for expected credit losses	(4)		(4)
Derivatives and embedded derivatives:
Realized (losses) gains on certain derivative instruments	(89)		50
Unrealized gains (losses) on certain derivative instruments	147		(358)
Change in fair value of reinsurance related embedded derivatives (3)	(19)		122
Change in fair value of other derivatives and embedded derivatives	2		(3)
Realized gains (losses) on derivatives and embedded derivatives	41		(189)
Recognized gains and losses, net	$	5	$	(469)

Recognized gains and losses, net 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. Recognized (losses) gains attributable to these agreements, and thus excluded from the totals in the table above, was $(22) million and $128 million for the three months ended March 31, 2023 and March 31, 2022, respectively.

We own investments in variable interest entities ("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, 2023				December 31, 2022
	(In millions)				(In millions)
	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure
Investment in limited partnerships	$	2,558	$	4,268	$	2,427	$	4,030
Fixed maturity securities	16,890		18,590		15,680		17,404
Total unconsolidated VIE investments	$	19,448	$	22,858	$	18,107	$	21,434


	March 31, 2023
	(In millions)
Blackstone Wave Asset Holdco (1)	$	760

(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.