| Investments | 4. Investments Our investments include assets backing reserves as part of a coinsurance with funds withheld agreement. The funds withheld invested assets are reported within their respective line items, primarily consisting of fixed maturities available-for-sale, mortgage loans and other investments. See Note 9, Reinsurance, for more information on the funds withheld invested assets. Fixed Maturities and Equity Securities The amortized cost, gross unrealized gains and losses, allowance for credit loss and fair value of fixed maturities, available-for-sale were as follows: Gross Gross Allowance Amortized unrealized unrealized for credit cost (1) gains losses loss Fair value (in millions) December 31, 2022 Fixed maturities, available-for-sale: U.S. government and agencies $ 1,990.9 $ 0.1 $ 251.2 $ — $ 1,739.8 Non-U.S. governments 611.2 20.9 64.8 — 567.3 States and political subdivisions 7,355.4 13.7 1,136.8 — 6,232.3 Corporate 40,370.4 461.0 4,640.5 7.7 36,183.2 Residential mortgage-backed pass-through securities 2,420.6 6.2 198.1 — 2,228.7 Commercial mortgage-backed securities 5,572.2 0.5 708.1 — 4,864.6 Collateralized debt obligations (2) 4,705.6 4.5 143.7 — 4,566.4 Other debt obligations 7,236.8 5.7 734.8 0.1 6,507.6 Total fixed maturities, available-for-sale $ 70,263.1 $ 512.6 $ 7,878.0 $ 7.8 $ 62,889.9 Gross Gross Allowance Amortized unrealized unrealized for credit cost (1) gains losses loss Fair value (in millions) December 31, 2021 Fixed maturities, available-for-sale: U.S. government and agencies $ 1,978.0 $ 148.0 $ 37.4 $ — $ 2,088.6 Non-U.S. governments 851.0 133.1 2.1 — 982.0 States and political subdivisions 8,290.7 1,030.3 16.6 — 9,304.4 Corporate 42,139.2 4,044.8 224.5 15.1 45,944.4 Residential mortgage-backed pass-through securities 3,122.3 59.0 28.4 — 3,152.9 Commercial mortgage-backed securities 5,436.2 157.8 31.5 0.3 5,562.2 Collateralized debt obligations (2) 3,564.7 4.5 9.6 — 3,559.6 Other debt obligations 7,487.8 131.1 58.4 0.1 7,560.4 Total fixed maturities, available-for-sale $ 72,869.9 $ 5,708.6 $ 408.5 $ 15.5 $ 78,154.5 (1) Amortized cost excludes accrued interest receivable of $578.0 million and $542.6 million as of December 31, 2022 and December 31, 2021, respectively. (2) Primarily consists of collateralized loan obligations backed by secured corporate loans. The amortized cost and fair value of fixed maturities, available-for-sale as of December 31, 2022, by expected maturity, were as follows: Amortized cost Fair value (in millions) Due in one year or less $ 1,658.8 $ 1,645.6 Due after one year through five years 8,661.8 8,328.4 Due after five years through ten years 11,636.1 10,626.7 Due after ten years 28,371.2 24,121.9 Subtotal 50,327.9 44,722.6 Mortgage-backed and other asset-backed securities 19,935.2 18,167.3 Total $ 70,263.1 $ 62,889.9 Actual maturities may differ because borrowers may have the right to call or prepay obligations. Our portfolio is diversified by industry, issuer and asset class. Credit concentrations are managed to established limits. Net Investment Income The major components of net investment income are shown below and are net of amounts on funds withheld invested assets that are passed directly to the reinsurer. See Note 9, Reinsurance, for further details. For the year ended December 31, 2022 2021 2020 (in millions) Fixed maturities, available-for-sale $ 2,100.3 $ 2,766.3 $ 2,660.5 Fixed maturities, trading 36.8 19.3 18.7 Equity securities 8.9 57.7 62.8 Mortgage loans 771.7 790.2 724.7 Real estate 277.7 194.4 180.8 Policy loans 36.5 38.8 41.6 Cash and cash equivalents 57.4 4.3 17.4 Derivatives 171.3 28.2 (1.8) Other 509.6 622.0 296.5 Total 3,970.2 4,521.2 4,001.2 Investment expenses (139.8) (115.1) (110.6) Net investment income $ 3,830.4 $ 4,406.1 $ 3,890.6 Net Realized Capital Gains and Losses The major components of net realized capital gains (losses) on investments are shown below and are net of amounts on funds withheld invested assets that are passed directly to the reinsurer. See Note 9, Reinsurance, for further details. The amounts below do not include net realized capital gains (losses) on funds withheld assets that are not passed to the reinsurer, which are separately reported on the consolidated statements of operations. For the year ended December 31, 2022 2021 2020 (in millions) Fixed maturities, available-for-sale: Gross gains $ 41.5 $ 64.4 $ 134.2 Gross losses (191.5) (29.2) (48.5) Net credit losses (1) (8.9) (45.0) (22.9) Hedging, net (0.7) (9.5) (9.7) Fixed maturities, trading (2) (30.1) (33.3) 3.2 Equity securities (3) (171.9) 100.0 70.5 Mortgage loans (74.6) 6.5 (15.5) Derivatives 177.4 (116.9) 77.3 Other 0.4 65.5 114.0 Net realized capital gains (losses) $ (258.4) $ 2.5 $ 302.6 (1) Net credit losses include adjustments to the credit loss valuation allowance, write-offs and recoveries on available-for-sale securities. (2) Unrealized gains (losses) on fixed maturities, trading still held at the reporting date were $(19.9) million, $(32.2) million and $5.3 million for the years ended December 31, 2022, 2021 and 2020, respectively. This excludes $1.4 million of unrealized losses on fixed maturities, trading still held at the reporting date for the year ended December 31, 2022, that were reported in net realized capital gains (losses) on funds withheld assets. (3) Unrealized gains (losses) on equity securities still held at the reporting date were $(117.1) million, $58.6 million and $64.6 million for the years ended December 31, 2022, 2021 and 2020, respectively. This excludes $(0.7) million, $28.7 million and $35.2 million of unrealized gains on equity securities still held at the reporting date for the years ended December 31, 2022, 2021 and 2020, respectively, that were reported in net investment income and $(1.7) million that were reported in net realized capital gains (losses) on funds withheld assets for the year ended December 31, 2022. Proceeds from sales of investments (excluding call and maturity proceeds) in fixed maturities, available-for-sale were $13,647.0 million, $2,110.9 million and $2,421.9 million in 2022, 2021 and 2020, respectively. Allowance for Credit Loss We have a process in place to identify fixed maturity securities that could potentially require an allowance for credit loss. This process involves monitoring market events that could impact issuers’ credit ratings, business climate, management changes, litigation and government actions and other similar factors. This process also involves monitoring late payments, pricing levels, downgrades by rating agencies, key financial ratios, financial statements, revenue forecasts and cash flow projections as indicators of credit issues. Each reporting period, all securities in an unrealized loss position are reviewed to determine whether a decline in value is due to credit. Relevant facts and circumstances considered include: (1) the extent the fair value is below cost; (2) the reasons for the decline in value; (3) the financial position and access to capital of the issuer, including the current and future impact of any specific events and (4) for structured securities, the adequacy of the expected cash flows. To the extent we determine an unrealized loss is due to credit, an allowance for credit loss is recognized through a reduction to net income. We estimate the amount of the allowance for credit loss as the difference between amortized cost and the present value of the expected cash flows of the security. The present value is determined using the best estimate cash flows discounted at the effective interest rate implicit to the security at the date of purchase or the current yield to accrete an asset-backed or floating rate security. The methodology and assumptions for establishing the best estimate cash flows vary depending on the type of security. The ABS cash flow estimates are based on security specific facts and circumstances that may include collateral characteristics, expectations of delinquency and default rates, loss severity and prepayment speeds and structural support, including subordination and guarantees. The corporate security cash flow estimates are derived from scenario-based outcomes of expected corporate restructurings or liquidations using bond specific facts and circumstances including timing, security interests and loss severity. We do not measure a credit loss allowance on accrued interest receivable because we write off the accrued interest receivable balance to net investment income in a timely manner when we have concern regarding collectability. Amounts on fixed maturities, available-for-sale deemed to be uncollectible are written off and removed from the allowance for credit loss. A write-off may also occur if we intend to sell a security or whether it is more likely than not we will be required to sell the security before the recovery of its amortized cost which, in some cases, may extend to maturity. A rollforward of the allowance for credit loss by major security type was as follows. For the year ended December 31, 2022 Residential mortgage- backed Commercial Collateralized U.S. States and pass- mortgage- debt Other government Non-U.S. political through backed obligations debt and agencies governments subdivisions Corporate securities securities (1) obligations Total (in millions) Beginning balance $ — $ — $ — $ 15.1 $ — $ 0.3 $ — $ 0.1 $ 15.5 Additions for credit losses not previously recorded — — — 5.8 — — — — 5.8 Reductions for securities sold during the period — — — (8.7) — — — — (8.7) Additional increases (decreases) for credit losses on securities with an allowance recorded in the previous period — — — (4.2) — — — — (4.2) Write-offs charged against allowance — — — — — (0.3) — — (0.3) Foreign currency translation adjustment — — — (0.3) — — — — (0.3) Ending balance $ — $ — $ — $ 7.7 $ — $ — $ — $ 0.1 $ 7.8 For the year ended December 31, 2021 Residential mortgage- backed Commercial Collateralized U.S. States and pass- mortgage- debt Other government Non-U.S. political through backed obligations debt and agencies governments subdivisions Corporate securities securities (1) obligations Total (in millions) Beginning balance $ — $ — $ — $ 0.9 $ — $ 4.3 $ 2.2 $ — $ 7.4 Additions for credit losses not previously recorded — — — 27.5 — 0.4 — 0.1 28.0 Reductions for securities sold during the period — — — (12.4) — — — — (12.4) Additional increases (decreases) for credit losses on securities with an allowance recorded in the previous period — — — — — 2.4 0.4 — 2.8 Write-offs charged against allowance — — — — — (6.8) (2.6) — (9.4) Foreign currency translation adjustment — — — (0.9) — — — — (0.9) Ending balance $ — $ — $ — $ 15.1 $ — $ 0.3 $ — $ 0.1 $ 15.5 Accrued interest written off to net investment income $ — $ — $ — $ 0.2 $ — $ — $ — $ — $ 0.2 For the year ended December 31, 2020 Residential mortgage- backed Commercial Collateralized U.S. States and pass- mortgage- debt Other government Non-U.S. political through backed obligations debt and agencies governments subdivisions Corporate securities securities (1) obligations Total (in millions) Beginning balance (2) $ — $ — $ — $ — $ — $ — $ — $ — $ — Additions for credit losses not previously recorded — — — 13.2 — 2.9 0.1 — 16.2 Reductions for securities sold during the period — — — (7.0) — — — — (7.0) Additional increases (decreases) for credit losses on securities with an allowance recorded in the previous period — — — (5.9) — 4.0 2.1 — 0.2 Write-offs charged against allowance — — — — — (2.6) — — (2.6) Foreign currency translation adjustment — — — 0.6 — — — — 0.6 Ending balance $ — $ — $ — $ 0.9 $ — $ 4.3 $ 2.2 $ — $ 7.4 (1) Primarily consists of collateralized loan obligations backed by secured corporate loans. (2) The allowance for credit loss associated with fixed maturities, available-for-sale was applied prospectively upon adoption of authoritative guidance effective January 1, 2020. During 2022 and 2020, we did not write off any accrued interest to net investment income. Available-for-Sale Securities in Unrealized Loss Positions Without an Allowance for Credit Loss For available-for-sale securities with unrealized losses for which an allowance for credit loss has not been recorded, the gross unrealized losses and fair value, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position were as follows: December 31, 2022 Less than Greater than or twelve months equal to twelve months Total Gross Gross Gross Fair unrealized Fair unrealized Fair unrealized value losses value losses value losses (in millions) Fixed maturities, available-for-sale (1): U.S. government and agencies $ 1,528.3 $ 209.4 $ 181.5 $ 41.8 $ 1,709.8 $ 251.2 Non-U.S. governments 407.5 57.7 19.9 7.1 427.4 64.8 States and political subdivisions 5,303.5 1,008.9 391.9 127.8 5,695.4 1,136.7 Corporate 27,309.5 3,944.6 2,944.1 698.0 30,253.6 4,642.6 Residential mortgage-backed pass-through securities 1,201.7 97.5 574.8 105.7 1,776.5 203.2 Commercial mortgage-backed securities 3,648.5 484.0 1,124.8 222.5 4,773.3 706.5 Collateralized debt obligations (2) 2,832.2 89.0 1,330.1 54.7 4,162.3 143.7 Other debt obligations 3,419.8 292.0 2,283.8 437.6 5,703.6 729.6 Total fixed maturities, available-for-sale $ 45,651.0 $ 6,183.1 $ 8,850.9 $ 1,695.2 $ 54,501.9 $ 7,878.3 (1) Fair value and gross unrealized losses are excluded for available-for-sale securities for which an allowance for credit loss has been recorded. (2) Primarily consists of collateralized loan obligations backed by secured corporate loans. Of the total amounts, Principal Life Insurance Company’s (“Principal Life”) consolidated portfolio represented $53,353.1 million in available-for-sale fixed maturities with gross unrealized losses of $7,741.4 million. Of the available-for-sale fixed maturities within Principal Life’s consolidated portfolio in a gross unrealized loss position, 94% were investment grade (rated AAA through BBB-) with an average price of 87 (carrying value/amortized cost) as of December 31, 2022. Gross unrealized losses in our fixed maturities portfolio increased during the year ended December 31, 2022, primarily due to an increase in interest rates and a widening of credit spreads. For those securities that had been in a continuous unrealized loss position for less than twelve months, Principal Life’s consolidated portfolio held 7,589 securities with a carrying value of $44,857.0 million and unrealized losses of $6,096.3 million reflecting an average price of 88 as of December 31, 2022. Of this portfolio, 95% was investment grade (rated AAA through BBB-) as of December 31, 2022, with associated unrealized losses of $5,920.4 million. The unrealized losses on these securities can primarily be attributed to changes in market interest rates and changes in credit spreads since the securities were acquired. For those securities that had been in a continuous unrealized loss position greater than or equal to twelve months, Principal Life’s consolidated portfolio held 1,654 securities with a carrying value of $8,496.1 million and unrealized losses of $1,645.1 million as of December 31, 2022. The average credit rating of this portfolio was AA- with an average price of 84 as of December 31, 2022. Of the $1,645.1 million in unrealized losses, the corporate sector accounts for $654.9 million in unrealized losses with an average price of 80 and an average credit rating of BBB+. Furthermore, unrealized losses include $320.2 million within the collateralized mortgage obligation security sector with an average price of 81 and an average credit rating of AAA; $220.9 million within the CMBS sector with an average price of 83 and an average credit rating of AA+; and $126.8 million within the states and political subdivision sector with an average price of 75 and an average credit rating of AA-. The unrealized losses on these securities can primarily be attributed to changes in market interest rates and changes in credit spreads since the securities were acquired. Because we expected to recover our amortized cost, we did not record an allowance for credit loss on these securities as of December 31, 2022. Because it was not our intent to sell the fixed maturity available-for-sale securities with unrealized losses and it was not more likely than not that we would be required to sell these securities before recovery of the amortized cost, which may be at maturity, we did not write down these investments to fair value. December 31, 2021 Less than Greater than or twelve months equal to twelve months Total Gross Gross Gross Fair unrealized Fair unrealized Fair unrealized value losses value losses value losses (in millions) Fixed maturities, available-for-sale (1): U.S. government and agencies $ 129.3 $ 3.4 $ 482.9 $ 34.0 $ 612.2 $ 37.4 Non-U.S. governments 57.8 2.0 — — 57.8 2.0 States and political subdivisions 690.2 10.5 102.3 6.1 792.5 16.6 Corporate 5,281.6 121.2 1,327.5 101.5 6,609.1 222.7 Residential mortgage-backed pass- through securities 1,562.6 22.2 194.9 6.3 1,757.5 28.5 Commercial mortgage-backed securities 1,297.4 15.6 299.6 15.7 1,597.0 31.3 Collateralized debt obligations (2) 1,592.5 2.8 424.4 6.7 2,016.9 9.5 Other debt obligations 3,949.9 49.4 211.0 9.0 4,160.9 58.4 Total fixed maturities, available-for-sale $ 14,561.3 $ 227.1 $ 3,042.6 $ 179.3 $ 17,603.9 $ 406.4 (1) Fair value and gross unrealized losses are excluded for available-for-sale securities for which an allowance for credit loss has been recorded. (2) Primarily consists of collateralized loan obligations backed by secured corporate loans. Of the total amounts, Principal Life’s consolidated portfolio represented $15,792.6 million in available-for-sale fixed maturities with gross unrealized losses of $288.0 million. Of the available-for-sale fixed maturities within Principal Life’s consolidated portfolio in a gross unrealized loss position, 91% were investment grade (rated AAA through BBB-) with an average price of 98 (carrying value/amortized cost) as of December 31, 2021. Gross unrealized losses in our fixed maturities portfolio increased during the year ended December 31, 2021, primarily due to an increase in interest rates, partially offset by tightening of credit spreads. For those securities that had been in a continuous unrealized loss position for less than twelve months, Principal Life’s consolidated portfolio held 1,805 securities with a carrying value of $13,052.3 million and unrealized losses of $150.9 million reflecting an average price of 99 as of December 31, 2021. Of this portfolio, 90% was investment grade (rated AAA through BBB-) as of December 31, 2021, with associated unrealized losses of $138.9 million. The unrealized losses on these securities can primarily be attributed to changes in market interest rates and changes in credit spreads since the securities were acquired. For those securities that had been in a continuous unrealized loss position greater than or equal to twelve months, Principal Life’s consolidated portfolio held 459 securities with a carrying value of $2,740.3 million and unrealized losses of $137.1 million as of December 31, 2021. The average credit rating of this portfolio was A+ with an average price of 95 as of December 31, 2021. Of the $137.1 million in unrealized losses, the corporate sector accounts for $67.1 million in unrealized losses with an average price of 95 and an average credit rating of BBB+. Furthermore, unrealized losses include $30.9 million within the U.S. government and agency security sector with an average price of 93 and an average credit rating of AAA, $15.3 million within the commercial mortgage-backed security sector with an average price of 95 and an average credit rating of AAA and $6.7 million within the collateralized debt obligation sector with an average price of 98 and an average credit rating of AA+. The unrealized losses on these securities can primarily be attributed to changes in market interest rates and changes in credit spreads since the securities were acquired. Because we expected to recover our amortized cost, we did not record an allowance for credit loss on these securities as of December 31, 2021. Because it was not our intent to sell the fixed maturity available-for-sale securities with unrealized losses and it was not more likely than not that we would be required to sell these securities before recovery of the amortized cost, which may be at maturity, we did not write down these investments to fair value. Net Unrealized Gains and Losses on Available-for-Sale Securities and Derivative Instruments The net unrealized gains and losses on investments in available-for-sale securities and the net unrealized gains and losses on derivative instruments in cash flow hedge relationships are reported as separate components of stockholders’ equity. The cumulative amount of net unrealized gains and losses on available-for-sale securities and derivative instruments in cash flow hedge relationships net of adjustments related to DAC and related actuarial balances, policyholder liabilities, noncontrolling interest and applicable income taxes was as follows: December 31, 2022 December 31, 2021 (in millions) Net unrealized gains (losses) on fixed maturities, available-for-sale (1) $ (7,445.7) $ 5,289.9 Net unrealized gains on derivative instruments 50.7 80.1 Adjustments for assumed changes in amortization patterns 649.7 (266.1) Adjustments for assumed changes in policyholder liabilities (77.1) (689.2) Net unrealized gains on other investments and noncontrolling interest adjustments 7.9 40.5 Provision for deferred income tax benefits (taxes) 1,456.9 (936.0) Net unrealized gains (losses) on available-for-sale securities and derivative instruments $ (5,357.6) $ 3,519.2 (1) Excludes net unrealized gains (losses) on fixed maturities, available-for-sale included in fair value hedging relationships. Financing Receivables Mortgage Loans Mortgage loans consist of commercial and residential mortgage loans. Our commercial mortgage loan portfolio consists primarily of non-recourse, fixed rate mortgages on stabilized properties. Our residential mortgage loan portfolio is composed of first lien and home equity mortgages concentrated in Chile and the United States. Commercial and residential mortgage loans are generally reported at cost adjusted for amortization of premiums and accrual of discounts, computed using the interest method and net of valuation allowances. Amortized cost excludes accrued interest receivable. Interest income is accrued on the principal amount of the loan based on the loan’s contractual interest rate. Interest income, as well as prepayment of fees and the amortization of the related premium or discount, is reported in net investment income on the consolidated statements of operations. Accrued interest receivable is reported in accrued investment income on the consolidated statements of financial position. Any changes in the loan valuation allowances are reported in net realized capital gains (losses) on the consolidated statements of operations. Further details relating to our valuation allowance are included under the caption “Financing Receivables Valuation Allowance.” Direct Financing Leases Our direct financing leases are concentrated in Chile. Our Chilean operations enter into private placement contracts for commercial, industrial and office space properties whereby our Chilean operations purchase the real estate and/or building from the seller-lessee but then lease the property back to the seller-lessee. Ownership of the property is transferred to the lessee by the end of the lease term. Direct financing leases are reported as a component of other investments in the consolidated statements of financial position. Reinsurance Recoverable and Deposit Receivable Our reinsurance recoverables include amounts due from reinsurers for paid or unpaid claims, claims incurred but not reported or policy benefits. We cede life, disability, medical and long-term care insurance as well as fixed annuity contracts with significant life insurance risk to other insurance companies through reinsurance. Deposit receivables include amounts due from the reinsurer for fixed annuity contracts without significant life insurance risk recorded using the deposit method of accounting. Credit Quality Information for Financing Receivables The amortized cost of our financing receivables by credit risk and vintage was as follows: December 31, 2022 2022 2021 2020 2019 2018 Prior Total (in millions) Commercial mortgage loans: A- and above $ 1,036.4 $ 2,277.9 $ 1,807.3 $ 2,210.2 $ 2,187.9 $ 4,624.9 $ 14,144.6 BBB+ thru BBB- 385.6 439.6 156.8 418.7 238.9 691.7 2,331.3 BB+ thru BB- 104.0 16.8 3.0 — 8.9 71.7 204.4 B+ and below — — — — 8.3 41.7 50.0 Total $ 1,526.0 $ 2,734.3 $ 1,967.1 $ 2,628.9 $ 2,444.0 $ 5,430.0 $ 16,730.3 Direct financing leases: A- and above $ 110.5 $ 13.0 $ 39.9 $ 1.4 $ 42.9 $ 167.3 $ 375.0 BBB+ thru BBB- 33.9 21.9 62.4 11.9 11.7 70.4 212.2 BB+ thru BB- 2.7 57.3 12.1 2.0 — 2.1 76.2 B+ and below — 1.6 — — — — 1.6 Total $ 147.1 $ 93.8 $ 114.4 $ 15.3 $ 54.6 $ 239.8 $ 665.0 Residential mortgage loans: Performing $ 1,144.8 $ 1,740.7 $ 447.1 $ 133.0 $ 75.4 $ 417.8 $ 3,958.8 Non-performing 8.0 4.7 2.2 1.7 0.6 7.0 24.2 Total $ 1,152.8 $ 1,745.4 $ 449.3 $ 134.7 $ 76.0 $ 424.8 $ 3,983.0 Reinsurance recoverable and deposit receivable $ 22,032.3 December 31, 2021 2021 2020 2019 2018 2017 Prior Total (in millions) Commercial mortgage loans: A- and above $ 2,275.9 $ 1,722.7 $ 2,412.9 $ 2,383.3 $ 1,437.2 $ 4,334.2 $ 14,566.2 BBB+ thru BBB- 278.6 305.6 294.0 131.4 302.1 380.0 1,691.7 BB+ thru BB- 32.8 5.3 — — — 55.4 93.5 B+ and below — — — 8.8 — 34.5 43.3 Total $ 2,587.3 $ 2,033.6 $ 2,706.9 $ 2,523.5 $ 1,739.3 $ 4,804.1 $ 16,394.7 Direct financing leases: A- and above $ 11.7 $ 41.8 $ 1.4 $ 39.4 $ 16.6 $ 235.6 $ 346.5 BBB+ thru BBB- 30.2 57.9 22.0 17.9 15.5 50.2 193.7 BB+ thru BB- 50.8 13.4 1.9 — — 2.1 68.2 B+ and below 1.5 — — — — — 1.5 Total $ 94.2 $ 113.1 $ 25.3 $ 57.3 $ 32.1 $ 287.9 $ 609.9 Residential mortgage loans: Performing $ 2,039.1 $ 510.1 $ 155.6 $ 91.2 $ 102.4 $ 415.6 $ 3,314.0 Non-performing — 1.8 0.6 — 0.8 2.7 5.9 Total $ 2,039.1 $ 511.9 $ 156.2 $ 91.2 $ 103.2 $ 418.3 $ 3,319.9 Reinsurance recoverable and deposit receivable $ 1,189.2 The amortized cost of commercial mortgage loans, direct financing leases and residential mortgage loans excluded accrued interest receivable of $57.7 million, $0.0 million and $19.6 million, respectively, as of December 31, 2022, and $60.7 million, $1.2 million and $16.7 million, respectively, as of December 31, 2021. Financing Receivables Credit Monitoring Commercial Mortgage Loan Credit Risk Profile Based on Internal Rating We actively monitor and manage our commercial mortgage loan and direct financing lease portfolios. All commercial mortgage loans and direct financing leases are analyzed regularly and substantially all are internally rated, based on a proprietary risk rating cash flow model, in order to monitor the financial quality of these assets. The models stress expected cash flows at various levels and at different points in time depending on the durability of the income stream, which includes our assessment of factors such as location (macro and micro markets), tenant quality and lease expirations. Our internal rating analysis presents expected losses in terms of an S&P Global (“S&P”) bond equivalent rating for domestic commercial mortgage loans and Feller rate equivalent for Chilean commercial mortgage loans and direct financing leases. As the credit risk for commercial mortgage loans and direct financing leases increases, we adjust our internal ratings downward with loans in the category “B+ and below” having the highest risk for credit loss. Internal ratings on commercial mortgage loans and direct financing leases are updated at least annually and potentially more often for certain investments with material changes in collateral value or occupancy and for investments on an internal “watch list”. Commercial mortgage loans and direct financing leases that require more frequent and detailed attention are identified and placed |
