Investments | Investments The significant components of Net investment income are presented in the following table. Three months ended March 31 (In millions) 2022 2021 Fixed maturity securities $ 429 $ 428 Equity securities 2 29 Limited partnership investments 18 43 Mortgage loans 15 14 Trading portfolio 1 5 Other — 2 Gross investment income 465 521 Investment expense (17) (17) Net investment income $ 448 $ 504 During the three months ended March 31, 2022 and 2021 , $(5) million and $13 million of Net i nvestment (loss) income was recognized due to the change in fair value of common stock still held as of March 31, 2022 and 2021. Net investment gains (losses) are presented in the following table. Three months ended March 31 (In millions) 2022 2021 Net investment gains (losses): Fixed maturity securities: Gross gains $ 26 $ 58 Gross losses (28) (20) Net investment gains (losses) on fixed maturity securities (2) 38 Equity securities (38) 2 Derivatives 29 17 Net investment gains (losses) $ (11) $ 57 During the three months ended March 31, 2022 and 2021, $38 million of losses and $2 million of gains were recognized in Net investment gains (losses) due to the change in fair value of non-redeemable preferred stock still held as of March 31, 2022 and 2021. The following tables present the activity related to the allowance on available-for-sale securities with credit impairments and purchased credit-deteriorated (PCD) assets. Accrued interest receivable on available-for-sale fixed maturity securities totaled $389 million, $369 million, and $389 million as of March 31, 2022, December 31, 2021 and March 31, 2021 and is excluded from the estimate of expected credit losses and the amortized cost basis in the tables included within this Note. (In millions) Corporate and other bonds Asset-backed Total Allowance for credit losses: Balance as of January 1, 2022 $ 11 $ 7 $ 18 Additions to the allowance for credit losses: Securities for which credit losses were not previously recorded — — — Available-for-sale securities accounted for as PCD assets — — — Reductions to the allowance for credit losses: Securities sold during the period (realized) — — — Intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost basis — — — Write-offs charged against the allowance — — — Recoveries of amounts previously written off — — — Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period 1 (2) (1) Balance as of March 31, 2022 $ 12 $ 5 $ 17 (In millions) Corporate and other bonds Asset-backed Total Allowance for credit losses: Balance as of January 1, 2021 $ 23 $ 17 $ 40 Additions to the allowance for credit losses: Securities for which credit losses were not previously recorded 14 — 14 Available-for-sale securities accounted for as PCD assets 2 — 2 Reductions to the allowance for credit losses: Securities sold during the period (realized) 6 — 6 Intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost basis — — — Write-offs charged against the allowance — — — Recoveries of amounts previously written off — — — Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period (6) (1) (7) Balance as of March 31, 2021 $ 27 $ 16 $ 43 The components of available-for-sale impairment losses recognized in earnings by asset type are presented in the following table. The table includes losses on securities with an intention to sell and changes in the allowance for credit losses on securities since acquisition date. Three months ended March 31 (In millions) 2022 2021 Fixed maturity securities available-for-sale: Corporate and other bonds $ 8 $ 7 Asset-backed 2 (1) Impairment (gains) losses recognized in earnings $ 10 $ 6 There were no losses recognized on mortgage loans during the three months ended March 31, 2022 or 2021. The following tables present a summary of fixed maturity securities. March 31, 2022 Cost or Gross Gross Allowance for Credit Losses Estimated (In millions) Fixed maturity securities available-for-sale: Corporate and other bonds $ 22,001 $ 1,277 $ 486 $ 12 $ 22,780 States, municipalities and political subdivisions 10,516 862 319 — 11,059 Asset-backed: Residential mortgage-backed 2,983 25 160 — 2,848 Commercial mortgage-backed 2,008 13 81 — 1,940 Other asset-backed 2,710 11 93 5 2,623 Total asset-backed 7,701 49 334 5 7,411 U.S. Treasury and obligations of government-sponsored enterprises 125 — 5 — 120 Foreign government 559 3 13 — 549 Redeemable preferred stock 20 — — — 20 Total fixed maturity securities available-for-sale 40,922 2,191 1,157 17 41,939 Total fixed maturity securities trading 6 — — — 6 Total fixed maturity securities $ 40,928 $ 2,191 $ 1,157 $ 17 $ 41,945 December 31, 2021 Cost or Gross Gross Allowance for Credit Losses Estimated (In millions) Fixed maturity securities available-for-sale: Corporate and other bonds $ 21,444 $ 2,755 $ 56 $ 11 $ 24,132 States, municipalities and political subdivisions 10,358 1,599 14 — 11,943 Asset-backed: Residential mortgage-backed 2,893 71 8 — 2,956 Commercial mortgage-backed 1,987 63 19 — 2,031 Other asset-backed 2,561 54 10 7 2,598 Total asset-backed 7,441 188 37 7 7,585 U.S. Treasury and obligations of government-sponsored enterprises 132 1 3 — 130 Foreign government 570 15 2 — 583 Redeemable preferred stock — — — — — Total fixed maturity securities available-for-sale 39,945 4,558 112 18 44,373 Total fixed maturity securities trading 7 — — — 7 Total fixed maturity securities $ 39,952 $ 4,558 $ 112 $ 18 $ 44,380 The net unrealized gains on investments included in the tables above are recorded as a component of Accumulated other comprehensive income (AOCI). When presented in AOCI, these amounts are net of tax and any required Shadow Adjustments. To the extent that unrealized gains on fixed income securities supporting certain products within the Life & Group segment would result in a premium deficiency, or would impact the reserve balance if realized, a related increase in Insurance reserves is recorded, net of tax, as a reduction of net unrealized gains through Other comprehensive income (loss) (Shadow Adjustments). As of March 31, 2022 and December 31, 2021, the net unrealized gains on investments included in AOCI were correspondingly reduced by Shadow Adjustments of $1,394 million and $2,477 million. The following tables present the estimated fair value and gross unrealized losses of fixed maturity securities in a gross unrealized loss position for which an allowance for credit loss has not been recorded, by the length of time in which the securities have continuously been in that position. Less than 12 Months 12 Months or Longer Total March 31, 2022 Estimated Gross Estimated Gross Estimated Gross (In millions) Fixed maturity securities available-for-sale: Corporate and other bonds $ 7,390 $ 441 $ 327 $ 45 $ 7,717 $ 486 States, municipalities and political subdivisions 2,796 314 35 5 2,831 319 Asset-backed: Residential mortgage-backed 2,315 160 — — 2,315 160 Commercial mortgage-backed 1,274 65 151 16 1,425 81 Other asset-backed 1,717 90 67 3 1,784 93 Total asset-backed 5,306 315 218 19 5,524 334 U.S. Treasury and obligations of government-sponsored enterprises 94 5 5 — 99 5 Foreign government 327 11 26 2 353 13 Total $ 15,913 $ 1,086 $ 611 $ 71 $ 16,524 $ 1,157 Less than 12 Months 12 Months or Longer Total December 31, 2021 Estimated Gross Estimated Gross Estimated Gross (In millions) Fixed maturity securities available-for-sale: Corporate and other bonds $ 2,389 $ 48 $ 136 $ 8 $ 2,525 $ 56 States, municipalities and political subdivisions 730 14 — — 730 14 Asset-backed: Residential mortgage-backed 1,043 8 — — 1,043 8 Commercial mortgage-backed 527 7 167 12 694 19 Other asset-backed 840 10 62 — 902 10 Total asset-backed 2,410 25 229 12 2,639 37 U.S. Treasury and obligations of government-sponsored enterprises 69 3 5 — 74 3 Foreign government 97 2 — — 97 2 Total $ 5,695 $ 92 $ 370 $ 20 $ 6,065 $ 112 The following table presents the estimated fair value and gross unrealized losses of fixed maturity securities in a gross unrealized loss position for which an allowance for credit loss has not been recorded, by ratings distribution. March 31, 2022 December 31, 2021 (In millions) Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses U.S. Government, Government agencies and Government-sponsored enterprises $ 2,095 $ 116 $ 898 $ 8 AAA 993 105 368 6 AA 2,809 269 875 17 A 3,300 205 1,516 23 BBB 6,073 392 1,812 42 Non-investment grade 1,254 70 596 16 Total $ 16,524 $ 1,157 $ 6,065 $ 112 Based on current facts and circumstances, the Company believes the unrealized losses presented in the March 31, 2022 securities in a gross unrealized loss position tables above are not indicative of the ultimate collectibility of the current amortized cost of the securities, but rather are primarily attributable to changes in risk-free interest rates, and to a lesser extent credit spreads. In reaching this determination, the Company considered the recent volatility in risk-free rates and spreads as well as the fact that its unrealized losses are concentrated in investment grade issuers. Additionally, the Company has no current intent to sell securities with unrealized losses, nor is it more likely than not that it will be required to sell prior to recovery of amortized cost; accordingly, the Company has determined that there are no additional impairment losses to be recorded as of March 31, 2022. Contractual Maturity The following table presents available-for-sale fixed maturity securities by contractual maturity. March 31, 2022 December 31, 2021 (In millions) Cost or Estimated Cost or Estimated Due in one year or less $ 1,533 $ 1,546 $ 1,603 $ 1,624 Due after one year through five years 10,206 10,337 10,637 11,229 Due after five years through ten years 14,040 14,032 13,294 14,338 Due after ten years 15,143 16,024 14,411 17,182 Total $ 40,922 $ 41,939 $ 39,945 $ 44,373 Actual maturities may differ from contractual maturities because certain securities may be called or prepaid. Securities not due at a single date are allocated based on weighted average life. Derivative Financial Instruments The Company holds an embedded derivative on a funds withheld liability with a notional value of $268 million and $270 million and a fair value of $16 million and $(12) million as of March 31, 2022 and December 31, 2021. The embedded derivative on the funds withheld liability is accounted for separately and reported with the funds withheld liability in Other liabilities on the Condensed Consolidated Balance Sheets. Investment Commitments As part of its overall investment strategy, the Company invests in various assets which require future purchase, sale or funding commitments. These investments are recorded once funded, and the related commitments may include future capital calls from various third-party limited partnerships, signed and accepted mortgage loan applications, and obligations related to private placement securities. As of March 31, 2022, the Company had commitments to purchase or fund approximately $1,280 million and sell approximately $65 million under the terms of these investments. Mortgage Loans The following table presents the amortized cost basis of mortgage loans for each credit quality indicator by year of origination. The primary credit quality indicators utilized are debt service coverage ratios (DSCR) and loan-to-value ratios (LTV). March 31, 2022 Mortgage Loans Amortized Cost Basis by Origination Year (1) (In millions) 2022 2021 2020 2019 2018 Prior Total DSCR ≥1.6x LTV less than 55% $ — $ 9 $ 94 $ 21 $ 54 $ 247 $ 425 LTV 55% to 65% — 5 19 8 — 24 56 LTV greater than 65% 18 11 — — — — 29 DSCR 1.2x - 1.6x LTV less than 55% — 13 14 95 10 56 188 LTV 55% to 65% 21 36 24 — — 8 89 LTV greater than 65% — — — — — — 0 DSCR ≤1.2 LTV less than 55% — — — 52 — 30 82 LTV 55% to 65% — — — 55 — — 55 LTV greater than 65% — 21 — 6 — 7 34 Total $ 39 $ 95 $ 151 $ 237 $ 64 $ 372 $ 958 (1) The values in the table above reflect DSCR on a standardized amortization period and LTV based on the most recent appraised values trended forward using changes in a commercial real estate price index. As of March 31, 2022, accrued interest receivable on mortgage loans totaled $3 million and is excluded from the amortized cost basis disclosed in the table above and the estimate of expected credit losses. |