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Investments | 12 Months Ended
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Dec. 31, 2023
Investments [Abstract] |
Investments | INVESTMENTS Fixed Maturity Securities Available-for-Sale The Company holds various types of fixed maturity securities available-for-sale and classifies them as corporate securities (“Corporate”), Canadian and Canadian provincial government securities (“Canadian government”), Japanese government and agencies (“Japanese government”), asset-backed securities (“ABS”), commercial mortgage-backed securities (“CMBS”), residential mortgage-backed securities (“RMBS”), U.S. government and agencies (“U.S. government”), state and political subdivisions, and other foreign government, supranational and foreign government-sponsored enterprises (“Other foreign government”). ABS, CMBS, and RMBS are collectively “structured securities.” The following tables provide information relating to investments in fixed maturity securities by type as of December 31, 2023 and 2022 (dollars in millions):
December 31, 2023: |  | Amortized Cost |  | Allowance for Credit Losses |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value |  | % of Total
Available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | $ | 42,014 |  |  | $ | 62 |  |  | $ | 554 |  |  | $ | 3,751 |  |  | $ | 38,755 |  |  | 64.1 | %
Canadian government |  | 3,477 |  |  | — |  |  | 473 |  |  | 33 |  |  | 3,917 |  |  | 6.5 |
Japanese government |  | 3,630 |  |  | — |  |  | 3 |  |  | 502 |  |  | 3,131 |  |  | 5.2 |
ABS |  | 4,661 |  |  | 12 |  |  | 19 |  |  | 239 |  |  | 4,429 |  |  | 7.3 |
CMBS |  | 1,969 |  |  | 1 |  |  | 7 |  |  | 202 |  |  | 1,773 |  |  | 2.9 |
RMBS |  | 1,173 |  |  | — |  |  | 8 |  |  | 102 |  |  | 1,079 |  |  | 1.8 |
U.S. government |  | 2,725 |  |  | — |  |  | 9 |  |  | 214 |  |  | 2,520 |  |  | 4.2 |
State and political subdivisions |  | 1,236 |  |  | — |  |  | 7 |  |  | 129 |  |  | 1,114 |  |  | 1.8 |
Other foreign government |  | 4,092 |  |  | — |  |  | 45 |  |  | 388 |  |  | 3,749 |  |  | 6.2 |
Total fixed maturity securities |  | $ | 64,977 |  |  | $ | 75 |  |  | $ | 1,125 |  |  | $ | 5,560 |  |  | $ | 60,467 |  |  | 100.0 | %
December 31, 2022: |  | Amortized Cost |  | Allowance for Credit Losses |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value |  | % of Total |  |
Available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | $ | 38,963 |  |  | $ | 27 |  |  | $ | 168 |  |  | $ | 5,135 |  |  | $ | 33,969 |  |  | 64.2 | % |  |
Canadian government |  | 3,311 |  |  | — |  |  | 381 |  |  | 66 |  |  | 3,626 |  |  | 6.9 |  |  |
Japanese government |  | 3,033 |  |  | — |  |  | 4 |  |  | 478 |  |  | 2,559 |  |  | 4.8 |  |  |
ABS |  | 4,324 |  |  | 10 |  |  | 4 |  |  | 440 |  |  | 3,878 |  |  | 7.3 |  |  |
CMBS |  | 1,835 |  |  | — |  |  | — |  |  | 212 |  |  | 1,623 |  |  | 3.1 |  |  |
RMBS |  | 1,054 |  |  | — |  |  | 1 |  |  | 114 |  |  | 941 |  |  | 1.8 |  |  |
U.S. government |  | 1,690 |  |  | — |  |  | 4 |  |  | 212 |  |  | 1,482 |  |  | 2.8 |  |  |
State and political subdivisions |  | 1,282 |  |  | — |  |  | 10 |  |  | 173 |  |  | 1,119 |  |  | 2.1 |  |  |
Other foreign government |  | 4,171 |  |  | — |  |  | 22 |  |  | 489 |  |  | 3,704 |  |  | 7.0 |  |  |
Total fixed maturity securities |  | $ | 59,663 |  |  | $ | 37 |  |  | $ | 594 |  |  | $ | 7,319 |  |  | $ | 52,901 |  |  | 100.0 | % |  |
The Company enters into various collateral arrangements with counterparties that require both the pledging and acceptance of fixed maturity securities as collateral. Pledged fixed maturity securities are included in fixed maturity securities, available-for-sale in the consolidated balance sheets. Fixed maturity securities received as collateral are held in separate custodial accounts and are not recorded on the Company’s consolidated balance sheets. Subject to certain constraints, the Company is permitted by contract to sell or repledge collateral it receives; however, as of December 31, 2023 and 2022, none of the collateral received had been sold or repledged. The Company also holds assets in trust to satisfy collateral requirements under derivative transactions and certain third-party reinsurance treaties. The following table includes fixed maturity securities pledged and received as collateral and assets in trust held to satisfy collateral requirements under derivative transactions and certain third-party reinsurance treaties as of December 31, 2023 and 2022 (dollars in millions):
| 2023 |  | 2022
| Amortized Cost |  | Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value
Fixed maturity securities pledged as collateral | $ | 572 |  |  | $ | 517 |  |  | $ | 355 |  |  | $ | 292 |
Fixed maturity securities received as collateral | n/a |  | 1,827 |  |  | n/a |  | 1,428 |
Assets in trust held to satisfy collateral requirements | 32,758 |  |  | 30,359 |  |  | 31,510 |  |  | 27,817 |
The Company monitors its concentrations of financial instruments on an ongoing basis and mitigates credit risk by maintaining a diversified investment portfolio that limits exposure to any one issuer. The Company’s exposure to concentrations of credit risk from single issuers greater than 10% of the Company’s equity included securities of the U.S. government and its agencies and the Japanese government and its agencies, as well as the securities disclosed below, as of December 31, 2023 and 2022 (dollars in millions):
| 2023 |  | 2022
| Amortized Cost |  | Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value
Fixed maturity securities guaranteed or issued by: |  |  |  |  |  |  |
Canadian province of Quebec | $ | 1,467 |  |  | $ | 1,748 |  |  | $ | 1,436 |  |  | $ | 1,649 |
Canadian province of Ontario | 1,019 |  |  | 1,125 |  |  | 982 |  |  | 1,068 |
The amortized cost and estimated fair value of fixed maturity securities classified as available-for-sale as of December 31, 2023, are shown by contractual maturity in the table below (dollars in millions). Actual maturities can differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Structured securities are shown separately in the table below as they are not due at a single maturity date.
|  | Amortized Cost |  | Estimated Fair Value
Available-for-sale: |  |  |  |
Due in one year or less |  | $ | 1,587 |  |  | $ | 1,595 |
Due after one year through five years |  | 11,517 |  |  | 11,294 |
Due after five years through ten years |  | 11,224 |  |  | 10,637 |
Due after ten years |  | 32,846 |  |  | 29,660 |
Structured securities |  | 7,803 |  |  | 7,281 |
Total |  | $ | 64,977 |  |  | $ | 60,467 |
Corporate Fixed Maturity Securities The tables below show the major sectors of the Company’s corporate fixed maturity holdings as of December 31, 2023 and 2022 (dollars in millions):
December 31, 2023: |  | Amortized Cost |  | Estimated Fair Value |  | % of Total
Finance |  | $ | 15,052 |  |  | $ | 13,789 |  |  | 35.6 | %
Industrial |  | 21,413 |  |  | 19,935 |  |  | 51.4 |
Utility |  | 5,549 |  |  | 5,031 |  |  | 13.0 |
Total |  | $ | 42,014 |  |  | $ | 38,755 |  |  | 100.0 | %
December 31, 2022: |  | Amortized Cost |  | Estimated Fair Value |  | % of Total
Finance |  | $ | 14,551 |  |  | $ | 12,680 |  |  | 37.3 | %
Industrial |  | 19,624 |  |  | 17,257 |  |  | 50.8 |
Utility |  | 4,788 |  |  | 4,032 |  |  | 11.9 |
Total |  | $ | 38,963 |  |  | $ | 33,969 |  |  | 100.0 | %
Allowance for Credit Losses and Impairments – Fixed Maturity Securities Available-for-Sale As discussed in Note 2 – “Significant Accounting Policies and Pronouncements,” allowances for credit losses on fixed maturity securities are recognized in investment related gains (losses), net. The amount recognized represents the difference between the amortized cost of the security and the net present value of its projected future cash flows discounted at the effective interest rate implicit in the fixed maturity security prior to the allowance for credit losses. Any remaining difference between the fair value and amortized cost is recognized in OCI. The following tables present the rollforward of the allowance for credit losses in fixed maturity securities by type for the years ended December 31, 2023 and 2022 (dollars in millions):
|  | Corporate |  | ABS |  | CMBS |  | Other Foreign Government |  | Total
Year ended December 31, 2023: |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 27 |  |  | $ | 10 |  |  | $ | — |  |  | $ | — |  |  | $ | 37 |
Credit losses recognized on securities for which credit losses were not previously recorded |  | 51 |  |  | — |  |  | 1 |  |  | — |  |  | 52 |
Reductions for securities sold during the period |  | (10) |  |  | — |  |  | — |  |  | — |  |  | (10) |
Reductions for securities the Company intends to sell or more likely than not will be required to sell before recovery of its amortized cost |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Additional increases or decreases for credit losses on securities that had an allowance recorded in a previous period |  | — |  |  | 2 |  |  | — |  |  | — |  |  | 2 |
Write-offs charged against the allowance |  | (6) |  |  | — |  |  | — |  |  | — |  |  | (6) |
Balance, end of period |  | $ | 62 |  |  | $ | 12 |  |  | $ | 1 |  |  | $ | — |  |  | $ | 75 |
|  | Corporate |  | ABS |  | CMBS |  | Other Foreign Government |  | Total
Year ended December 31, 2022: |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 26 |  |  | $ | — |  |  | $ | 1 |  |  | $ | 4 |  |  | $ | 31 |
Credit losses recognized on securities for which credit losses were not previously recorded |  | 31 |  |  | 10 |  |  | — |  |  | 1 |  |  | 42 |
Reductions for securities sold during the period |  | (32) |  |  | — |  |  | — |  |  | (7) |  |  | (39) |
Reductions for securities the Company intends to sell or more likely than not will be required to sell before recovery of its amortized cost |  | (4) |  |  | — |  |  | — |  |  | — |  |  | (4) |
Additional increases or decreases for credit losses on securities that had an allowance recorded in a previous period |  | 6 |  |  | — |  |  | (1) |  |  | 2 |  |  | 7 |
Write-offs charged against the allowance |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Balance, end of period |  | $ | 27 |  |  | $ | 10 |  |  | $ | — |  |  | $ | — |  |  | $ | 37 |
Unrealized Losses for Fixed Maturity Securities Available-for-Sale The Company’s determination of whether a decline in value necessitates the recording of an allowance for credit losses includes an analysis of whether the issuer is current on its contractual payments, evaluating whether it is probable that the Company will be able to collect all amounts due according to the contractual terms of the security and analyzing the overall ability of the Company to recover the amortized cost of the investment. The following tables present the estimated fair value and gross unrealized losses for the 5,788 and 6,441 fixed maturity securities for which an allowance for credit loss has not been recorded as of December 31, 2023 and December 31, 2022, and the estimated fair value had declined and remained below amortized cost (dollars in millions). These investments are presented by class and grade of security, as well as the length of time the related fair value has continuously remained below amortized cost.
|  | Less than 12 months |  | 12 months or greater |  | Total
December 31, 2023: |  | Estimated Fair Value |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Gross Unrealized Losses
Investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | $ | 2,134 |  |  | $ | 70 |  |  | $ | 24,207 |  |  | $ | 3,524 |  |  | $ | 26,341 |  |  | $ | 3,594 |
Canadian government |  | — |  |  | — |  |  | 459 |  |  | 33 |  |  | 459 |  |  | 33 |
Japanese government |  | 876 |  |  | 50 |  |  | 2,193 |  |  | 452 |  |  | 3,069 |  |  | 502 |
ABS |  | 336 |  |  | 5 |  |  | 3,025 |  |  | 223 |  |  | 3,361 |  |  | 228 |
CMBS |  | 160 |  |  | 5 |  |  | 1,328 |  |  | 190 |  |  | 1,488 |  |  | 195 |
RMBS |  | 115 |  |  | 3 |  |  | 681 |  |  | 99 |  |  | 796 |  |  | 102 |
U.S. government |  | 614 |  |  | 10 |  |  | 717 |  |  | 204 |  |  | 1,331 |  |  | 214 |
State and political subdivisions |  | 73 |  |  | 1 |  |  | 864 |  |  | 128 |  |  | 937 |  |  | 129 |
Other foreign government |  | 254 |  |  | 3 |  |  | 2,290 |  |  | 333 |  |  | 2,544 |  |  | 336 |
Total investment grade securities |  | 4,562 |  |  | 147 |  |  | 35,764 |  |  | 5,186 |  |  | 40,326 |  |  | 5,333 |
Below investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | 295 |  |  | 36 |  |  | 649 |  |  | 121 |  |  | 944 |  |  | 157 |
ABS |  | — |  |  | — |  |  | 68 |  |  | 10 |  |  | 68 |  |  | 10 |
CMBS |  | — |  |  | — |  |  | 4 |  |  | 1 |  |  | 4 |  |  | 1 |
Other foreign government |  | — |  |  | — |  |  | 193 |  |  | 52 |  |  | 193 |  |  | 52 |
Total below investment grade securities |  | 295 |  |  | 36 |  |  | 914 |  |  | 184 |  |  | 1,209 |  |  | 220 |
Total fixed maturity securities |  | $ | 4,857 |  |  | $ | 183 |  |  | $ | 36,678 |  |  | $ | 5,370 |  |  | $ | 41,535 |  |  | $ | 5,553 |
|  | Less than 12 months |  | 12 months or greater |  | Total
December 31, 2022: |  | Estimated Fair Value |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Gross Unrealized Losses
Investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | $ | 21,867 |  |  | $ | 2,756 |  |  | $ | 6,840 |  |  | $ | 2,225 |  |  | $ | 28,707 |  |  | $ | 4,981 |
Canadian government |  | 554 |  |  | 42 |  |  | 71 |  |  | 23 |  |  | 625 |  |  | 65 |
Japanese government |  | 815 |  |  | 86 |  |  | 1,694 |  |  | 392 |  |  | 2,509 |  |  | 478 |
ABS |  | 1,596 |  |  | 153 |  |  | 1,931 |  |  | 269 |  |  | 3,527 |  |  | 422 |
CMBS |  | 1,314 |  |  | 144 |  |  | 281 |  |  | 65 |  |  | 1,595 |  |  | 209 |
RMBS |  | 664 |  |  | 62 |  |  | 181 |  |  | 53 |  |  | 845 |  |  | 115 |
U.S. government |  | 1,202 |  |  | 64 |  |  | 253 |  |  | 148 |  |  | 1,455 |  |  | 212 |
State and political subdivisions |  | 819 |  |  | 124 |  |  | 131 |  |  | 50 |  |  | 950 |  |  | 174 |
Other foreign government |  | 1,942 |  |  | 167 |  |  | 1,026 |  |  | 260 |  |  | 2,968 |  |  | 427 |
Total investment grade securities |  | 30,773 |  |  | 3,598 |  |  | 12,408 |  |  | 3,485 |  |  | 43,181 |  |  | 7,083 |
Below investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | 767 |  |  | 87 |  |  | 305 |  |  | 61 |  |  | 1,072 |  |  | 148 |
ABS |  | 52 |  |  | 6 |  |  | 38 |  |  | 9 |  |  | 90 |  |  | 15 |
CMBS |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Other foreign government |  | 39 |  |  | 2 |  |  | 164 |  |  | 60 |  |  | 203 |  |  | 62 |
Total below investment grade securities |  | 858 |  |  | 95 |  |  | 507 |  |  | 130 |  |  | 1,365 |  |  | 225 |
Total fixed maturity securities |  | $ | 31,631 |  |  | $ | 3,693 |  |  | $ | 12,915 |  |  | $ | 3,615 |  |  | $ | 44,546 |  |  | $ | 7,308 |
The Company did not intend to sell, and more likely than not would not be required to sell, the securities outlined in the tables above, as of the dates indicated. However, unforeseen facts and circumstances may cause the Company to sell fixed maturity securities in the ordinary course of managing its portfolio to meet certain diversification, credit quality and liquidity guidelines. Changes in unrealized losses are primarily driven by changes in risk-free interest rates and credit spreads. Net Investment Income Major categories of net investment income consist of the following (dollars in millions):
|  | For the years ended December 31,
|  | 2023 |  | 2022 |  | 2021
Fixed maturity securities available-for-sale |  | $ | 2,753 |  |  | $ | 2,305 |  |  | $ | 2,059 |
Equity securities |  | 6 |  |  | 6 |  |  | 5 |
Mortgage loans |  | 324 |  |  | 298 |  |  | 293 |
Policy loans |  | 54 |  |  | 54 |  |  | 55 |
Funds withheld at interest |  | 317 |  |  | 253 |  |  | 351 |
Limited partnerships and real estate joint ventures |  | 181 |  |  | 331 |  |  | 419 |
Short-term investments and cash and cash equivalents |  | 99 |  |  | 29 |  |  | 3 |
Other invested assets |  | 21 |  |  | 12 |  |  | 61 |
Investment income |  | 3,755 |  |  | 3,288 |  |  | 3,246 |
Investment expense |  | (164) |  |  | (127) |  |  | (108) |
Net investment income |  | $ | 3,591 |  |  | $ | 3,161 |  |  | $ | 3,138 |
As of December 31, 2023, the Company held non-income producing securities with amortized costs, net of allowances, of $88 million and estimated fair values of $46 million. As of December 31, 2022, the Company held non-income producing securities with amortized costs, net of allowances, of $87 million and estimated fair values of $45 million. Generally, securities are non-income producing when principal or interest is not paid primarily as a result of bankruptcies or credit defaults. Investment Related Gains (Losses), Net Investment related gains (losses), net consist of the following (dollars in millions):
|  | For the years ended December 31,
|  | 2023 |  | 2022 |  | 2021
Fixed maturity securities available-for-sale: |  |  |  |  |  |
Change in allowance for credit losses |  | $ | (38) |  |  | $ | (6) |  |  | $ | (11) |
Impairments on fixed maturity securities |  | (3) |  |  | (17) |  |  | (1) |
Realized gains on investment activity |  | 72 |  |  | 192 |  |  | 299 |
Realized losses on investment activity |  | (275) |  |  | (396) |  |  | (65) |
Net gains (losses) on equity securities |  | (1) |  |  | (21) |  |  | 25 |
Change in mortgage loan allowance for credit losses |  | (16) |  |  | (16) |  |  | 29 |
Change in fair value of certain limited partnership investments |  | 48 |  |  | 38 |  |  | 169 |
Net losses on free-standing derivatives |  | (129) |  |  | (166) |  |  | (10) |
Net gains (losses) on embedded derivatives |  | (163) |  |  | (173) |  |  | 107 |
Other, net |  | 24 |  |  | 26 |  |  | 25 |
Total investment related gains (losses), net |  | $ | (481) |  |  | $ | (539) |  |  | $ | 567 |
Securities Lending and Repurchase/Reverse Repurchase Agreements The following table provides information relating to securities lending and repurchase/reverse repurchase agreements as of December 31, 2023 and 2022 (dollars in millions):
| 2023 |  | 2022
| Amortized Cost |  | Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value
Securities borrowing transactions: |  |  |  |  |  |  |
Securities borrowed (1) | n/a |  | $ | 947 |  |  | n/a |  | $ | 852 |
Securities pledged as collateral (2) | $ | 845 |  |  | 676 |  |  | $ | 859 |  |  | 693 |
Securities lending transactions: |  |  |  |  |  |  |
Securities loaned (2) | 60 |  |  | 56 |  |  | 59 |  |  | 55 |
Securities received as collateral (3) | n/a |  | 66 |  |  | n/a |  | 66 |
Repurchase/reverse repurchase transactions: |  |  |  |  |  |  |
Securities sold (2) | 1,486 |  |  | 1,333 |  |  | 898 |  |  | 779 |
Securities purchased (3) | n/a |  | 517 |  |  | n/a |  | 619 |
Cash received (4) | 820 |  |  | 820 |  |  | 149 |  |  | 149 |
(1)Securities borrowed are not reflected on the consolidated balance sheets. Collateral associated with certain borrowed securities is not included within this table as the collateral pledged to the counterparty is the right to reinsurance treaty cash flows. (2)Securities loaned, pledged or sold to counterparties are included within fixed maturity securities. (3)Securities received as collateral or purchased from counterparties are not reflected on the consolidated financial statements. (4)A payable for the cash received by the Company is included within other liabilities. The following tables present information on the remaining contractual maturity of the Company’s securities lending and repurchase agreements as of December 31, 2023 and 2022, respectively (dollars in millions):
| December 31, 2023
| Remaining Contractual Maturity of the Agreements
| Overnight and Continuous |  | Up to 30 Days |  | 30 – 90 Days |  | Greater than 90 Days |  | Total
Securities lending transactions: |  |  |  |  |  |  |  |  |
Corporate | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 40 |  |  | $ | 40 |
State and political subdivisions | — |  |  | — |  |  | — |  |  | 11 |  |  | 11 |
Other foreign government | — |  |  | — |  |  | — |  |  | 5 |  |  | 5 |
Total | — |  |  | — |  |  | — |  |  | 56 |  |  | 56 |
Repurchase/reverse repurchase transactions: |  |  |  |  |  |  |  |  |
Corporate | — |  |  | — |  |  | — |  |  | 553 |  |  | 553 |
Japanese government | — |  |  | — |  |  | — |  |  | 158 |  |  | 158 |
ABS | — |  |  | — |  |  | — |  |  | 229 |  |  | 229 |
CMBS | — |  |  | — |  |  | — |  |  | 221 |  |  | 221 |
RMBS | — |  |  | — |  |  | — |  |  | 52 |  |  | 52 |
U.S. government and agencies | — |  |  | — |  |  | — |  |  | 14 |  |  | 14 |
Other foreign government | — |  |  | — |  |  | — |  |  | 106 |  |  | 106 |
Total | — |  |  | — |  |  | — |  |  | 1,333 |  |  | 1,333 |
Total transactions | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,389 |  |  | $ | 1,389 |
| December 31, 2022
| Remaining Contractual Maturity of the Agreements
| Overnight and Continuous |  | Up to 30 Days |  | 30 – 90 Days |  | Greater than 90 Days |  | Total
Securities lending transactions: |  |  |  |  |  |  |  |  |
Corporate | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 42 |  |  | $ | 42 |
Canadian government | — |  |  | — |  |  | — |  |  | 5 |  |  | 5 |
State and political subdivisions | — |  |  | — |  |  | — |  |  | 3 |  |  | 3 |
Other foreign government | — |  |  | — |  |  | — |  |  | 5 |  |  | 5 |
Total | — |  |  | — |  |  | — |  |  | 55 |  |  | 55 |
Repurchase/reverse repurchase transactions: |  |  |  |  |  |  |  |  |
Corporate | — |  |  | — |  |  | — |  |  | 279 |  |  | 279 |
Japanese government | — |  |  | — |  |  | — |  |  | 278 |  |  | 278 |
ABS | — |  |  | — |  |  | — |  |  | 54 |  |  | 54 |
CMBS | — |  |  | — |  |  | — |  |  | 63 |  |  | 63 |
RMBS | — |  |  | — |  |  | — |  |  | 10 |  |  | 10 |
Other foreign government | — |  |  | — |  |  | — |  |  | 95 |  |  | 95 |
Total | — |  |  | — |  |  | — |  |  | 779 |  |  | 779 |
Total transactions | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 834 |  |  | $ | 834 |
Mortgage Loans As of December 31, 2023, mortgage loans were geographically dispersed throughout the U.S. with the largest concentrations in Californ ia (13.4%), Texas (11.0%) and Washington (7.5%), in addition to loans secured by properties in Canada (4.0%) and the United Kingdom (2.4%). The recorded investment in mortgage loans presented below is gross of unamortized deferred loan origination fees and expenses, and allowance for credit losses. The following table presents the distribution of the Company’s recorded investment in mortgage loans by property type as of December 31, 2023 and 2022 (dollars in millions):
|  | 2023 |  | 2022
|  | Carrying Value |  | % of Total |  | Carrying Value |  | % of Total
Property type: |  |  |  |  |  |  |  |
Office |  | $ | 1,700 |  |  | 22.8 | % |  | $ | 1,706 |  |  | 25.6 | %
Retail |  | 2,437 |  |  | 32.7 |  |  | 2,290 |  |  | 34.4 |
Industrial |  | 1,947 |  |  | 26.1 |  |  | 1,518 |  |  | 22.8 |
Apartment |  | 913 |  |  | 12.2 |  |  | 763 |  |  | 11.5 |
Hotel |  | 413 |  |  | 5.5 |  |  | 319 |  |  | 4.8 |
Other commercial |  | 49 |  |  | 0.7 |  |  | 57 |  |  | 0.9 |
Recorded investment |  | 7,459 |  |  | 100.0 | % |  | 6,653 |  |  | 100.0 | %
Unamortized balance of loan origination fees and expenses |  | (15) |  |  |  |  | (12) |  |  |
Allowance for credit losses |  | (67) |  |  |  |  | (51) |  |  |
Total mortgage loans |  | $ | 7,377 |  |  |  |  | $ | 6,590 |  |  |
The following table presents the maturities of the Company’s recorded investment in mortgage loans as of December 31, 2023 and 2022 (dollars in millions):
|  | 2023 |  | 2022
|  | Recorded Investment |  | % of Total |  | Recorded Investment |  | % of Total
Due within five years |  | $ | 3,228 |  |  | 43.3 | % |  | $ | 2,652 |  |  | 39.9 | %
Due after five years through ten years |  | 3,334 |  |  | 44.7 |  |  | 2,930 |  |  | 44.0 |
Due after ten years |  | 897 |  |  | 12.0 |  |  | 1,071 |  |  | 16.1 |
Total |  | $ | 7,459 |  |  | 100.0 | % |  | $ | 6,653 |  |  | 100.0 | %
The following tables set forth certain key credit quality indicators of the Company’s recorded investment in mortgage loans as of December 31, 2023 and 2022 (dollars in millions):
| Recorded Investment
| Debt Service Ratios |  | Construction loans |  |  |  |
| >1.20x |  | 1.00x – 1.20x |  | <1.00x |  |  | Total |  | % of Total
December 31, 2023: |  |  |  |  |  |  |  |  |  |  |
Loan-to-Value Ratio |  |  |  |  |  |  |  |  |  |  |
0% – 59.99% | $ | 3,672 |  |  | $ | 272 |  |  | $ | 27 |  |  | $ | 46 |  |  | $ | 4,017 |  |  | 53.9 | %
60% – 69.99% | 1,947 |  |  | 154 |  |  | 44 |  |  | — |  |  | 2,145 |  |  | 28.8 |
70% – 79.99% | 843 |  |  | 52 |  |  | 34 |  |  | — |  |  | 929 |  |  | 12.4 |
80% or greater | 198 |  |  | 70 |  |  | 100 |  |  | — |  |  | 368 |  |  | 4.9 |
Total | $ | 6,660 |  |  | $ | 548 |  |  | $ | 205 |  |  | $ | 46 |  |  | $ | 7,459 |  |  | 100.0 | %
| Recorded Investment
| Debt Service Ratios |  | Construction loans |  |  |  |
| >1.20x |  | 1.00x – 1.20x |  | <1.00x |  |  | Total |  | % of Total
December 31, 2022: |  |  |  |  |  |  |  |  |  |  |
Loan-to-Value Ratio |  |  |  |  |  |  |  |  |  |  |
0% – 59.99% | $ | 3,466 |  |  | $ | 215 |  |  | $ | 56 |  |  | $ | 18 |  |  | $ | 3,755 |  |  | 56.4 | %
60% – 69.99% | 1,894 |  |  | 119 |  |  | 71 |  |  | — |  |  | 2,084 |  |  | 31.3 |
70% – 79.99% | 475 |  |  | 49 |  |  | 91 |  |  | — |  |  | 615 |  |  | 9.3 |
80% or greater | 81 |  |  | — |  |  | 118 |  |  | — |  |  | 199 |  |  | 3.0 |
Total | $ | 5,916 |  |  | $ | 383 |  |  | $ | 336 |  |  | $ | 18 |  |  | $ | 6,653 |  |  | 100.0 | %
The following table sets forth credit quality grades by year of origination of the Company’s recorded investment in mortgage loans as of December 31, 2023 and 2022 (dollars in millions):
| Recorded Investment
| Year of Origination |  |
December 31, 2023: | 2023 |  | 2022 |  | 2021 |  | 2020 |  | 2019 |  | Prior |  | Total
Internal credit quality grade: |  |  |  |  |  |  |  |  |  |  |  |  |
High investment grade | $ | 475 |  |  | $ | 635 |  |  | $ | 573 |  |  | $ | 304 |  |  | $ | 491 |  |  | $ | 1,734 |  |  | $ | 4,212 |
Investment grade | 754 |  |  | 668 |  |  | 384 |  |  | 245 |  |  | 313 |  |  | 564 |  |  | 2,928 |
Average | 12 |  |  | — |  |  | — |  |  | 18 |  |  | 63 |  |  | 203 |  |  | 296 |
Watch list | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 16 |  |  | 16 |
In or near default | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 7 |  |  | 7 |
Total | $ | 1,241 |  |  | $ | 1,303 |  |  | $ | 957 |  |  | $ | 567 |  |  | $ | 867 |  |  | $ | 2,524 |  |  | $ | 7,459 |
| Recorded Investment
| Year of Origination |  |
December 31, 2022: | 2022 |  | 2021 |  | 2020 |  | 2019 |  | 2018 |  | Prior |  | Total
Internal credit quality grade: |  |  |  |  |  |  |  |  |  |  |  |  |
High investment grade | $ | 698 |  |  | $ | 684 |  |  | $ | 327 |  |  | $ | 561 |  |  | $ | 422 |  |  | $ | 1,565 |  |  | $ | 4,257 |
Investment grade | 586 |  |  | 284 |  |  | 248 |  |  | 279 |  |  | 252 |  |  | 531 |  |  | 2,180 |
Average | — |  |  | 6 |  |  | — |  |  | 39 |  |  | 52 |  |  | 83 |  |  | 180 |
Watch list | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
In or near default | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 36 |  |  | 36 |
Total | $ | 1,284 |  |  | $ | 974 |  |  | $ | 575 |  |  | $ | 879 |  |  | $ | 726 |  |  | $ | 2,215 |  |  | $ | 6,653 |
The following table presents the current and past due composition of the Company’s recorded investment in mortgage loans as of December 31, 2023 and 2022 (dollars in millions):
|  | 2023 |  | 2022
Current |  | $ | 7,431 |  |  | $ | 6,617 |
31 – 60 days past due |  | 28 |  |  | — |
Greater than 90 days |  | — |  |  | 36 |
Total |  | $ | 7,459 |  |  | $ | 6,653 |
The following table presents information regarding the Company’s allowance for credit losses for mortgage loans as of December 31, 2023, 2022 and 2021 (dollars in millions):
|  | 2023 |  | 2022 |  | 2021
Balance, beginning of period |  | $ | 51 |  |  | $ | 35 |  |  | $ | 64 |
Change in allowance for credit losses |  | 16 |  |  | 16 |  |  | (29) |
Balance, end of period |  | $ | 67 |  |  | $ | 51 |  |  | $ | 35 |
During 2023, the Company modified ten mortgage loans for borrowers experiencing financial difficulty providing interest only payments and maturity extensions, two of which were paid in full as of December 31, 2023. The total recorded investment before allowance for credit losses for the remaining modified loans was $92 million as of December 31, 2023. During 2022, the company modified three mortgage loans to interest only payments, one of which was paid in full as of December 31, 2022. During 2022, the total recorded investment before allowance for credit losses for mortgage loans that were modified and met the criteria of Troubled Debt Restructuring (“TDR”) was $67 million. During 2021, the Company did not have any significant loans that were modified and met the criteria of a TDR. The Company had one mortgage loan in the amount of $7 million on nonaccrual status as of December 31, 2023. The Company had two mortgage loans in the amount of $36 million that were on nonaccrual status as of December 31, 2022. During 2023, the Company converted three mortgage loans tota lin g $62 million at the time of foreclosure to owned properties as a result of foreclosures. The Company did not acquire any impaired mortgage loans during 2023, 2022 and 2021. Policy Loans The majority of policy loans are associated with one client. These policy loans present no credit risk as the amount of the loan cannot exceed the obligation due to the ceding company upon the death of the insured or surrender of the underlying policy. The provisions of the treaties in force and the underlying policies determine the policy loan interest rates. The Company earns a spread between the interest rate earned on policy loans and the interest rate credited to corresponding liabilities. Funds Withheld at Interest As of December 31, 2023, $3.3 billion of the funds withheld at interest balance is primarily associated with two clients. For reinsurance agreements written on a modco basis and certain agreements written on a coinsurance funds withheld basis, assets equal to the net statutory reserves are withheld and legally owned and managed by the ceding company and are reflected as funds withheld at interest. In the event of a ceding company’s insolvency, the Company would need to assert a claim on the assets supporting its reserve liabilities. However, the risk of loss to the Company is mitigated by its ability to offset amounts it owes the ceding company for claims or allowances against amounts owed to the Company from the ceding company. Limited Partnerships and Real Estate Joint Ventures The carrying values of limited partnerships and real estate joint ventures as of December 31, 2023 and 2022 are as follows (dollars in millions):
|  | 2023 |  | 2022
Limited partnerships – equity method |  | $ | 925 |  |  | $ | 934 |
Limited partnerships – fair value |  | 856 |  |  | 683 |
Limited partnerships – cost method |  | 71 |  |  | 49 |
Real estate joint ventures |  | 783 |  |  | 661 |
Total limited partnerships and real estate joint ventures |  | $ | 2,635 |  |  | $ | 2,327 |
Other Invested Assets Other invested assets include lifetime mortgages and derivative contracts. Other invested assets also includes FHLB common stock and real estate held for investment, which are included in “Other” in the table below. As of December 31, 2023 and 2022, the allowance for credit losses for lifetime mortgages was not material. The carrying values of other invested assets as of December 31, 2023 and 2022 are as follows (dollars in millions):
|  | 2023 |  | 2022
Lifetime mortgages |  | $ | 944 |  |  | $ | 868 |
Derivatives |  | 97 |  |  | 170 |
Other |  | 130 |  |  | 102 |
Total other invested assets |  | $ | 1,171 |  |  | $ | 1,140 |

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