| Investments | 3. 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 10, Reinsurance, for more information on the funds withheld invested assets. Fixed Maturities Fixed maturities include bonds, ABS, redeemable preferred stock and certain non-redeemable preferred securities. Equity securities include mutual funds, common stock and non-redeemable preferred stock. We classify fixed maturities as either available-for-sale or trading at the time of the purchase and, accordingly, carry them at fair value. Equity securities are also carried at fair value. See Note 15, Fair Value Measurements, for methodologies related to the determination of fair value. Unrealized gains and losses related to fixed maturities, available-for-sale, excluding those in fair value hedging relationships, are reflected in stockholder’s equity, net of adjustments associated with related actuarial balances, derivatives in cash flow hedge relationships and applicable income taxes. Mark-to-market adjustments on equity securities and mark-to-market adjustments on certain fixed maturities, trading are reflected in net realized capital gains (losses). Mark-to-market adjustments on certain fixed maturities, trading are reflected in market risk benefit remeasurement (gain) loss. Unrealized gains and losses related to hedged portions of fixed maturities, available-for-sale in fair value hedging relationships are reflected in net investment income. Mark-to-market adjustments related to certain securities carried at fair value with an investment objective to realize economic value through mark-to-market changes are reflected in net investment income. The amortized cost of fixed maturities includes cost adjusted for amortization of premiums and discounts, computed using the interest method. The amortized cost of fixed maturities, available-for-sale is adjusted for changes in fair value of the hedged portions of securities in fair value hedging relationships and excludes accrued interest receivable. Accrued interest receivable is reported in accrued investment income on the consolidated statements of financial position. Fixed maturities, available-for-sale are subject to an allowance for credit loss and changes in the allowance are reported in net income as a component of net realized capital gains (losses). Interest income, as well as prepayment fees and the amortization of the related premium or discount, is reported in net investment income. For loan-backed and structured securities, we recognize income using a constant effective yield based on currently anticipated cash flows. 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) June 30, 2024 Fixed maturities, available-for-sale: U.S. government and agencies $ 1,975.1 $ 6.4 $ 274.6 $ — $ 1,706.9 Non-U.S. governments 550.7 13.8 74.8 — 489.7 States and political subdivisions 7,280.1 17.2 1,058.5 — 6,238.8 Corporate 35,732.7 286.1 3,723.8 0.3 32,294.7 Residential mortgage-backed pass-through securities 3,203.0 8.5 200.9 — 3,010.6 Commercial mortgage-backed securities 5,369.1 1.4 515.7 — 4,854.8 Collateralized debt obligations (2) 5,815.1 60.8 8.2 — 5,867.7 Other debt obligations 8,903.9 35.0 620.1 0.1 8,318.7 Total fixed maturities, available-for-sale $ 68,829.7 $ 429.2 $ 6,476.6 $ 0.4 $ 62,781.9 December 31, 2023 Fixed maturities, available-for-sale: U.S. government and agencies $ 1,719.1 $ 19.3 $ 233.5 $ — $ 1,504.9 Non-U.S. governments 522.2 16.9 59.2 — 479.9 States and political subdivisions 7,493.9 45.4 926.0 — 6,613.3 Corporate 35,707.6 433.7 3,059.9 1.9 33,079.5 Residential mortgage-backed pass-through securities 2,959.8 25.7 160.6 — 2,824.9 Commercial mortgage-backed securities 5,391.6 1.6 649.8 — 4,743.4 Collateralized debt obligations (2) 5,379.6 45.0 26.8 — 5,397.8 Other debt obligations 8,447.2 42.2 602.8 0.1 7,886.5 Total fixed maturities, available-for-sale $ 67,621.0 $ 629.8 $ 5,718.6 $ 2.0 $ 62,530.2 (1) Amortized cost excludes accrued interest receivable of $636.4 million and $616.0 million as of June 30, 2024 and December 31, 2023, 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 June 30, 2024, by expected maturity, were as follows: Amortized cost Fair value (in millions) Due in one year or less $ 1,363.2 $ 1,348.2 Due after one year through five years 8,011.1 7,782.9 Due after five years through ten years 9,287.7 8,716.9 Due after ten years 26,876.6 22,882.1 Subtotal 45,538.6 40,730.1 Mortgage-backed and other asset-backed securities 23,291.1 22,051.8 Total $ 68,829.7 $ 62,781.9 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 Realized Capital Gains and Losses Net realized capital gains and losses on sales of investments are determined on the basis of specific identification. In general, in addition to realized capital gains and losses on investment sales and periodic settlements on derivatives not designated as hedges, we report gains and losses related to the following in net realized capital gains (losses) on the consolidated statements of operations: mark-to-market adjustments on certain equity securities, mark-to-market adjustments on certain fixed maturities, trading, mark-to-market adjustments on derivatives not designated as hedges, cash flow hedge gains (losses) when the hedged item impacts realized capital gains (losses), changes in the valuation allowance for fixed maturities available-for-sale and certain financing receivables, impairments of real estate held for investment and impairments on equity method investments. Investment gains and losses on sales of certain real estate held for sale due to investment strategy and mark-to-market adjustments on certain securities carried at fair value with an investment objective to realize economic value through mark-to-market changes are reported as net investment income and are excluded from net realized capital gains (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 reinsurers. See Note 10, 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 reinsurers, which are separately reported on the consolidated statements of operations. Net realized capital gains (losses) on funds withheld assets includes gains (losses) realized upon sale of assets put into the funds withheld at the start of a reinsurance transaction for the unrealized gain (losses) on the date of transfer into the funds withheld, the change in the valuation allowance on funds withheld commercial mortgage loans and unrealized gains and losses related to the change in fair value of funds withheld fixed maturities, trading and equity securities. For the six months ended June 30, 2024 2023 (in millions) Fixed maturities, available-for-sale: Gross gains $ 2.7 $ 37.5 Gross losses (34.7) (70.1) Net credit losses (1) (3.8) (24.4) Hedging, net (2) (5.7) (0.6) Fixed maturities, trading (3) 1.2 (0.7) Equity securities (4) 3.1 (0.9) Mortgage loans (47.5) (74.3) Derivatives (2) 22.6 (56.5) Other (9.0) 1.2 Net realized capital losses $ (71.1) $ (188.8) (1) Net credit losses include adjustments to the credit loss valuation allowance, write-offs and recoveries on available-for-sale securities. (2) The change in fair value of fixed maturities, available-for-sale and the change in fair value of derivative hedging instruments in fair value hedging relationships are reported in net investment income with the earnings effect of fixed maturities, available-for-sale. Gains (losses) for fixed maturities, available-for-sale related to terminated cash flow hedges continue to be reflected in net realized capital gains (losses). (3) Unrealized gains (losses) on fixed maturities, trading still held at the reporting date were $0.7 million and $(1.8) million for the six months ended June 30, 2024 and 2023, respectively. This excludes $0.8 million and $1.1 million in unrealized gains (losses) for the six months ended June 30, 2024 and 2023, respectively, that were reported in market risk benefit remeasurement (gain) loss. In addition, this excludes $(2.3) million and $(1.9) million for the six months ended June 30, 2024 and 2023, respectively, that were reported in net realized capital gains (losses) on funds withheld assets. (4) Unrealized gains (losses) on equity securities still held at the reporting date were $3.1 million and $(0.9) million for the six months ended June 30, 2024 and 2023, respectively. This excludes $ 0.0 million and $1.7 million for the six months ended June 30, 2024 and 2023, respectively, that were reported in net realized capital gains (losses) on funds withheld assets. Proceeds from sales of investments (excluding call and maturity proceeds) in fixed maturities, available-for-sale were $1,483.1 million and $2,851.9 million for the six months ended June 30, 2024 and 2023, 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 six months ended June 30, 2024 Residential mortgage- backed Commercial U.S. States and pass- mortgage- Collateralized Other government Non-U.S. political through backed debt debt and agencies governments subdivisions Corporate securities securities obligations (1) obligations Total (in millions) Beginning balance $ — $ — $ — $ 1.9 $ — $ — $ — $ 0.1 $ 2.0 Write-offs charged against allowance — — — (1.6) — — — — (1.6) Ending balance $ — $ — $ — $ 0.3 $ — $ — $ — $ 0.1 $ 0.4 For the six months ended June 30, 2023 Residential mortgage- backed Commercial U.S. States and pass- mortgage- Collateralized Other government Non-U.S. political through backed debt debt and agencies governments subdivisions Corporate securities securities obligations (1) obligations Total (in millions) Beginning balance $ — $ — $ — $ — $ — $ — $ — $ 0.1 $ 0.1 Additions for credit losses not previously recorded — — — 3.8 — — — — 3.8 Ending balance $ — $ — $ — $ 3.8 $ — $ — $ — $ 0.1 $ 3.9 (1) Primarily consists of collateralized loan obligations backed by secured corporate loans. During 2024 and 2023, 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: June 30, 2024 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 $ 198.4 $ 5.5 $ 1,052.0 $ 269.1 $ 1,250.4 $ 274.6 Non-U.S. governments 41.2 3.1 305.0 71.7 346.2 74.8 States and political subdivisions 701.5 30.8 4,840.2 1,027.7 5,541.7 1,058.5 Corporate 3,924.6 167.3 20,686.1 3,556.5 24,610.7 3,723.8 Residential mortgage-backed pass- through securities 994.9 10.4 1,586.1 190.5 2,581.0 200.9 Commercial mortgage-backed securities 476.5 3.0 4,135.8 512.7 4,612.3 515.7 Collateralized debt obligations (2) 591.6 0.9 403.1 7.3 994.7 8.2 Other debt obligations 1,231.5 13.0 4,536.0 607.1 5,767.5 620.1 Total fixed maturities, available-for-sale $ 8,160.2 $ 234.0 $ 37,544.3 $ 6,242.6 $ 45,704.5 $ 6,476.6 (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 available-for-sale fixed maturities within our consolidated portfolio in a gross unrealized loss position, 97% were investment grade (rated AAA through BBB-) with an average price of 88 (carrying value/amortized cost) as of June 30, 2024. Gross unrealized losses in our fixed maturities portfolio increased during the six months ended June 30, 2024, primarily due to an increase in interest rates, which was partially offset by a tightening of credit spreads. For those securities that had been in a continuous unrealized loss position for less than twelve months, our consolidated portfolio held 1,504 securities reflecting an average price of 97 as of June 30, 2024. Of this portfolio, 97% was investment grade (rated AAA through BBB-) as of June 30, 2024, with associated unrealized losses of $225.4 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, our consolidated portfolio held 6,725 securities reflecting an average price of 86 and an average credit rating of A as of June 30, 2024. Corporate securities with unrealized losses had an average price of 85 and an average credit rating of BBB+. States and political subdivisions securities with unrealized losses had an average price of 82 and an average credit rating of AA - . Commercial mortgage - backed securities with unrealized losses had an average price of 89 and an average credit rating of AA. Collateralized mortgage obligation securities with unrealized losses had an average price of 84 and an average credit rating of AAA. 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 June 30, 2024. 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, 2023 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 $ 315.3 $ 3.1 $ 974.2 $ 230.5 $ 1,289.5 $ 233.6 Non-U.S. governments 41.9 1.7 307.9 57.5 349.8 59.2 States and political subdivisions 596.6 19.0 5,011.7 906.9 5,608.3 925.9 Corporate 2,540.5 89.7 22,305.9 2,968.9 24,846.4 3,058.6 Residential mortgage-backed pass-through securities 472.9 2.9 1,275.6 157.7 1,748.5 160.6 Commercial mortgage-backed securities 280.3 4.1 4,160.3 645.6 4,440.6 649.7 Collateralized debt obligations (2) 404.8 1.5 2,296.3 25.3 2,701.1 26.8 Other debt obligations 1,183.7 18.5 4,386.0 584.2 5,569.7 602.7 Total fixed maturities, available-for-sale $ 5,836.0 $ 140.5 $ 40,717.9 $ 5,576.6 $ 46,553.9 $ 5,717.1 (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 available-for-sale fixed maturities within our consolidated portfolio in a gross unrealized loss position, 94% were investment grade (rated AAA through BBB-) with an average price of 89 (carrying value/amortized cost) as of December 31, 2023. Gross unrealized losses in our fixed maturities portfolio decreased during the year ended December 31, 2023, primarily due to a tightening of credit spreads. For those securities that had been in a continuous unrealized loss position for less than twelve months, our consolidated portfolio held 983 securities reflecting an average price of 98 as of December 31, 2023. Of this portfolio, 91% was investment grade (rated AAA through BBB-) as of December 31, 2023, with associated unrealized losses of $131.2 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, our consolidated portfolio held 7,042 securities reflecting an average price of 88 and an average credit rating of A as of December 31, 2023. Corporate securities with unrealized losses had an average price of 88 and an average credit rating of BBB+. States and political subdivisions securities with unrealized losses had an average price of 85 and an average credit rating of AA-. Commercial mortgage - backed securities with unrealized losses had an average price of 87 and an average credit rating of AA. Collateralized mortgage obligation securities with unrealized losses had an average price of 85 and an average credit rating of AAA. 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, 2023. 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 stockholder’s 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 actuarial balances, policyholder liabilities, noncontrolling interest and applicable income taxes was as follows: June 30, 2024 December 31, 2023 (in millions) Net unrealized losses on fixed maturities, available-for-sale (1) $ (6,150.9) $ (5,128.4) Net unrealized gains (losses) on derivative instruments 51.1 (1.6) Adjustments for assumed changes in amortization patterns (0.7) (5.2) Adjustments for assumed changes in policyholder liabilities 12.1 1.4 Net unrealized gains on other investments and noncontrolling interest adjustments 2.9 2.9 Provision for deferred income tax benefits 1,296.9 1,099.6 Net unrealized losses on available-for-sale securities and derivative instruments $ (4,788.6) $ (4,031.3) (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. 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.” 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. Other Loans Our other loans include consumer, auto and other loans (“other loans”) of a consolidated VIE for which the fair value option was elected as well as consumer loans for which the fair value option was not elected. Other loans are generally subject to amortized cost accounting and a valuation allowance if the fair value option is not elected. Other loans are reported as a component of other investments in the consolidated statements of financial position. Credit Quality Information for Financing Receivables The amortized cost of our financing receivables by credit risk and vintage was as follows: June 30, 2024 2024 2023 2022 2021 2020 Prior Total (in millions) Commercial mortgage loans: A- and above $ 547.3 $ 815.7 $ 1,219.2 $ 2,182.3 $ 1,508.8 $ 6,996.6 $ 13,269.9 BBB+ thru BBB- 85.9 307.0 293.2 235.4 163.0 1,059.5 2,144.0 BB+ thru BB- 16.7 126.7 151.5 44.1 40.3 239.5 618.8 B+ and below — — — — — 367.6 367.6 Total $ 649.9 $ 1,249.4 $ 1,663.9 $ 2,461.8 $ 1,712.1 $ 8,663.2 $ 16,400.3 Residential mortgage loans: Performing $ 88.4 $ 400.9 $ 980.3 $ 1,227.9 $ 138.9 $ 311.0 $ 3,147.4 Non-performing — 1.2 4.6 3.9 1.2 3.9 14.8 Total $ 88.4 $ 402.1 $ 984.9 $ 1,231.8 $ 140.1 $ 314.9 $ 3,162.2 Other loans: Performing $ 84.5 $ 98.8 $ — $ — $ — $ — $ 183.3 Non-performing 0.1 — — — — 0.1 0.2 Total $ 84.6 $ 98.8 $ — $ — $ — $ 0.1 $ 183.5 Reinsurance recoverable and deposit receivable $ 23,375.0 December 31, 2023 2023 2022 2021 2020 2019 Prior Total (in millions) Commercial mortgage loans: A- and above $ 667.4 $ 1,214.8 $ 2,271.5 $ 1,535.8 $ 1,921.0 $ 5,447.2 $ 13,057.7 BBB+ thru BBB- 282.6 356.8 343.0 203.3 309.9 886.9 2,382.5 BB+ thru BB- 110.6 142.1 — — 35.3 234.6 522.6 B+ and below — — — — 83.5 53.9 137.4 Total $ 1,060.6 $ 1,713.7 $ 2,614.5 $ 1,739.1 $ 2,349.7 $ 6,622.6 $ 16,100.2 Residential mortgage loans: Performing $ 456.3 $ 1,023.4 $ 1,272.5 $ 150.4 $ 86.8 $ 253.6 $ 3,243.0 Non-performing — 2.1 4.0 — 1.8 2.3 10.2 Total $ 456.3 $ 1,025.5 $ 1,276.5 $ 150.4 $ 88.6 $ 255.9 $ 3,253.2 Other loans: Performing $ 168.5 $ — $ — $ — $ — $ — $ 168.5 Non-performing — — — — — 0.1 0.1 Total $ 168.5 $ — $ — $ — $ — $ 0.1 $ 168.6 Reinsurance recoverable and deposit receivable $ 24,427.9 The amortized cost of commercial mortgage loans, residential mortgage loans and other loans excluded accrued interest receivable of $63.5 million, $10.2 million and $1.5 million, respectively, as of June 30, 2024, and $57.1 million, $10.3 million and $1.6 million, respectively, as of December 31, 2023. Financing Receivables Credit Monitoring Commercial Mortgage Loan Credit Risk Profile Based on Internal Rating We actively monitor and manage our commercial mortgage loan portfolio. All commercial mortgage loans 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 commercial mortgage loans. As the credit risk for commercial mortgage loans 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 are updated at least annually and potentially more often for certain loans with material changes in collateral value or occupancy and for loans on an internal “watch list”. Commercial mortgage loans that require more frequent and detailed attention are identified and placed on an internal “watch list”. Among the criteria that may indicate a potential problem are significant negative changes in ratios of loan to value or contract rents to debt service, major tenant vacancies or bankruptcies, borrower sponsorship problems, late payments, delinquent taxes and loan relief/restructuring requests. Residential Mortgage Loan Credit Risk Profile Based on Performance Status Our residential mortgage loan portfolio is monitored based on performance of the loans. Monitoring on a residential mortgage loan increases when the loan is delinquent or earlier if there is an indication of potential impairment. We define non-performing residential mortgage loans as loans 90 days or greater delinquent or on non-accrual status. Other Loans Credit Risk Profile Based on Performance Status Our other loans are monitored based on performance of the loans. Monitoring on other loans increases when the loan is delinquent or earlier if there is an indication of potential impairment. Non-Accrual Financing Receivables Financing receivables are placed on non-accrual status if we have concern regarding the collectability of future payments or if a financing receivable has matured without being paid off or extended. Factors considered may include conversations with the borrower, loss of major tenant, bankruptcy of borrower or major tenant, decreased property cash flow for commercial mortgage loans or number of days past due and other circumstances for residential mo | 5. 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 13, Reinsurance, for more information on the funds withheld invested assets. Fixed Maturities 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, 2023 Fixed maturities, available-for-sale: U.S. government and agencies $ 1,719.1 $ 19.3 $ 233.5 $ — $ 1,504.9 Non-U.S. governments 522.2 16.9 59.2 — 479.9 States and political subdivisions 7,493.9 45.4 926.0 — 6,613.3 Corporate 35,707.6 433.7 3,059.9 1.9 33,079.5 Residential mortgage-backed pass-through securities 2,959.8 25.7 160.6 — 2,824.9 Commercial mortgage-backed securities 5,391.6 1.6 649.8 — 4,743.4 Collateralized debt obligations (2) 5,379.6 45.0 26.8 — 5,397.8 Other debt obligations 8,447.2 42.2 602.8 0.1 7,886.5 Total fixed maturities, available-for-sale $ 67,621.0 $ 629.8 $ 5,718.6 $ 2.0 $ 62,530.2 December 31, 2022 Fixed maturities, available-for-sale: U.S. government and agencies $ 1,964.6 $ 0.1 $ 248.8 $ — $ 1,715.9 Non-U.S. governments 565.3 18.9 63.8 — 520.4 States and political subdivisions 7,280.1 14.8 1,126.6 — 6,168.3 Corporate 37,495.4 219.5 4,530.1 — 33,184.8 Residential mortgage-backed pass-through securities 2,362.1 6.0 197.2 — 2,170.9 Commercial mortgage-backed securities 5,529.7 0.9 703.1 — 4,827.5 Collateralized debt obligations (2) 4,698.9 4.5 143.2 — 4,560.2 Other debt obligations 7,207.8 6.0 730.4 0.1 6,483.3 Total fixed maturities, available-for-sale $ 67,103.9 $ 270.7 $ 7,743.2 $ 0.1 $ 59,631.3 (1) Amortized cost excludes accrued interest receivable of $616.0 million and $575.8 million as of December 31, 2023 and 2022, 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, 2023, by expected maturity, were as follows: Amortized cost Fair value (in millions) Due in one year or less $ 1,298.4 $ 1,282.2 Due after one year through five years 8,486.2 8,285.1 Due after five years through ten years 9,209.3 8,675.0 Due after ten years 26,448.9 23,435.3 Subtotal 45,442.8 41,677.6 Mortgage-backed and other asset-backed securities 22,178.2 20,852.6 Total $ 67,621.0 $ 62,530.2 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 reinsurers. See Note 13, Reinsurance, for further details. For the year ended December 31, 2023 2022 2021 (in millions) Fixed maturities, available-for-sale $ 2,230.0 $ 1,734.4 $ 2,483.8 Fixed maturities, trading 32.4 19.6 8.7 Equity securities 3.5 (35.4) 1.7 Mortgage loans 661.5 619.9 692.4 Real estate 177.2 276.2 194.4 Policy loans 39.1 34.4 36.2 Cash and cash equivalents 148.2 37.6 1.7 Derivatives 38.6 171.3 28.2 Other 231.6 194.8 362.0 Total 3,562.1 3,052.8 3,809.1 Investment expenses (276.6) (200.4) (175.4) Net investment income $ 3,285.5 $ 2,852.4 $ 3,633.7 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 reinsurers. See Note 13, 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 reinsurers, which are separately reported on the consolidated statements of operations. Net realized capital gains (losses) on funds withheld assets includes gains (losses) realized upon sale of assets put into the funds withheld at the start of the Reinsurance Transactions for the unrealized gains (losses) on the date of transfer into the funds withheld, the change in the valuation allowance on funds withheld commercial mortgage loans and unrealized gains and losses related to the change in fair value of funds withheld fixed maturities, trading and equity securities. For the year ended December 31, 2023 2022 2021 (in millions) Fixed maturities, available-for-sale: Gross gains $ 46.8 $ 38.9 $ 50.4 Gross losses (134.8) (120.7) (26.9) Net credit losses (1) (31.3) (11.5) (34.5) Hedging, net 2.2 (0.7) (9.5) Fixed maturities, trading (2) 0.7 (8.6) (6.6) Equity securities (3) 0.7 (7.4) (0.5) Mortgage loans (4) (133.8) (74.1) 5.3 Derivatives (5.3) 154.7 126.4 Other 100.1 112.7 8.0 Net realized capital gains (losses) $ (154.7) $ 83.3 $ 112.1 (1) Net credit losses include adjustments to the credit loss valuation allowance, write-offs and recoveries on available-for-sale securities. (2) Unrealized losses on fixed maturities, trading still held at the reporting date were $(0.2) million, $(7.8) million and $(6.4) million for the years ended December 31, 2023, 2022 and 2021, respectively. This excludes $(2.9) million, $16.6 million and $0.0 million in unrealized gains (losses) for the years ended December 31, 2023, 2022 and 2021, respectively, that were reported in market risk benefit remeasurement (gain) loss and $6.8 million, $(1.4) million and $0.0 million of unrealized gains (losses) for the years ended December 31, 2023, 2022 and 2021, respectively, 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 $0.7 million , $(7.1) million and $(0.1) million for the years ended December 31, 2023, 2022 and 2021, respectively. This excludes $ 1.7 million , $(1.7) million and $0.0 million unrealized gains (losses) for the years ended December 31, 2023, 2022 and 2021, respectively, that were reported in net realized capital gains (losses) on funds withheld assets. (4) Net realized capital gains (losses) on mortgage loans include losses related to the deconsolidation of residential mortgage loan trusts in both 2023 and 2022. Proceeds from sales of investments (excluding call and maturity proceeds) in fixed maturities, available-for-sale were $4,950.4 million, $12,273.0 million and $1,609.0 million in 2023, 2022 and 2021, 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, 2023 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 $ — $ — $ — $ — $ — $ — $ — $ 0.1 $ 0.1 Additions for credit losses not previously recorded — — — 5.7 — — — — 5.7 Write-offs charged against allowance — — — (3.8) — — — — (3.8) Ending balance $ — $ — $ — $ 1.9 $ — $ — $ — $ 0.1 $ 2.0 Accrued interest written off to net investment income $ — $ — $ — $ 0.1 $ — $ — $ — $ — $ 0.1 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 $ — $ — $ — $ 4.5 $ — $ 0.3 $ — $ 0.1 $ 4.9 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) Ending balance $ — $ — $ — $ — $ — $ — $ — $ 0.1 $ 0.1 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 $ — $ — $ — $ — $ — $ 4.3 $ 2.2 $ — $ 6.5 Additions for credit losses not previously recorded — — — 16.9 — 0.4 — 0.1 17.4 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) Ending balance $ — $ — $ — $ 4.5 $ — $ 0.3 $ — $ 0.1 $ 4.9 Accrued interest written off to net investment income $ — $ — $ — $ 0.2 $ — $ — $ — $ — $ 0.2 (1) Primarily consists of collateralized loan obligations backed by secured corporate loans. During 2022, 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, 2023 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 $ 315.3 $ 3.1 $ 974.2 $ 230.5 $ 1,289.5 $ 233.6 Non-U.S. governments 41.9 1.7 307.9 57.5 349.8 59.2 States and political subdivisions 596.6 19.0 5,011.7 906.9 5,608.3 925.9 Corporate 2,540.5 89.7 22,305.9 2,968.9 24,846.4 3,058.6 Residential mortgage-backed pass- through securities 472.9 2.9 1,275.6 157.7 1,748.5 160.6 Commercial mortgage-backed securities 280.3 4.1 4,160.3 645.6 4,440.6 649.7 Collateralized debt obligations (2) 404.8 1.5 2,296.3 25.3 2,701.1 26.8 Other debt obligations 1,183.7 18.5 4,386.0 584.2 5,569.7 602.7 Total fixed maturities, available-for-sale $ 5,836.0 $ 140.5 $ 40,717.9 $ 5,576.6 $ 46,553.9 $ 5,717.1 (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 available-for-sale fixed maturities within our consolidated portfolio in a gross unrealized loss position, 94% were investment grade (rated AAA through BBB-) with an average price of 89 (carrying value/amortized cost) as of December 31, 2023. Gross unrealized losses in our fixed maturities portfolio decreased during the year ended December 31, 2023, primarily due to a tightening of credit spreads. For those securities that had been in a continuous unrealized loss position for less than twelve months, our consolidated portfolio held 983 securities reflecting an average price of 98 as of December 31, 2023. Of this portfolio, 91% was investment grade (rated AAA through BBB-) as of December 31, 2023, with associated unrealized losses of $131.2 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, our consolidated portfolio held 7,042 securities reflecting an average price of 88 and an average credit rating of A as of December 31, 2023. Corporate securities with unrealized losses had an average price of 88 and an average credit rating of BBB+. States and political subdivisions securities with unrealized losses had an average price of 85 and an average credit rating of AA-. Commercial mortgage - backed securities with unrealized losses had an average price of 87 and an average credit rating of AA. Collateralized mortgage obligation securities with unrealized losses had an average price of 85 and an average credit rating of AAA. 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, 2023. 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, 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 $ 1,505.5 $ 207.0 $ 180.4 $ 41.8 $ 1,685.9 $ 248.8 Non-U.S. governments 373.0 56.7 19.9 7.1 392.9 63.8 States and political subdivisions 5,243.6 999.7 387.8 126.9 5,631.4 1,126.6 Corporate 26,668.2 3,875.1 2,625.4 654.9 29,293.6 4,530.0 Residential mortgage-backed pass-through securities 1,201.7 97.6 574.8 104.7 1,776.5 202.3 Commercial mortgage-backed securities 3,622.3 480.7 1,113.9 220.9 4,736.2 701.6 Collateralized debt obligations (2) 2,830.1 88.8 1,327.2 54.4 4,157.3 143.2 Other debt obligations 3,412.6 290.7 2,266.7 434.4 5,679.3 725.1 Total fixed maturities, available-for-sale $ 44,857.0 $ 6,096.3 $ 8,496.1 $ 1,645.1 $ 53,353.1 $ 7,741.4 (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 available-for-sale fixed maturities within our 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, our consolidated portfolio held 7,589 securities 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, our consolidated portfolio held 1,654 securities reflecting an average price of 84 and an average credit rating of AA- as of December 31, 2022. Corporate securities with unrealized losses had an average price of 80 and an average credit rating of BBB+. Collateralized mortgage obligation securities with unrealized losses had an average price of 81 and an average credit rating of AAA. Commercial mortgage-backed securities with unrealized losses had an average price of 83 and an average credit rating of AA+. States and political subdivisions securities with unrealized losses had 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. 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 stockholder’s 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 actuarial balances, policyholder liabilities, noncontrolling interest and applicable income taxes was as follows: December 31, 2023 December 31, 2022 (in millions) Net unrealized losses on fixed maturities, available-for-sale (1) $ (5,128.4) $ (7,552.6) Net unrealized gains (losses) on derivative instruments (1.6) 50.7 Adjustments for assumed changes in amortization patterns (5.2) (1.8) Adjustments for assumed changes in policyholder liabilities 1.4 0.5 Net unrealized gains on other investments and noncontrolling interest adjustments 2.9 2.9 Provision for deferred income tax benefits 1,099.6 1,601.5 Net unrealized losses on available-for-sale securities and derivative instruments $ (4,031.3) $ (5,898.8) (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. 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.” 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. Other Loans Our other loans include consumer, auto and other loans (“other loans”) of a consolidated VIE for which the fair value option was elected as well as consumer loans for which the fair value option was not elected. Other loans are generally subject to amortized cost accounting and a valuation allowance if the fair value option is not elected. Other loans are reported as a component of other investments in the consolidated statements of financial position. Credit Quality Information for Financing Receivables The amortized cost of our financing receivables by credit risk and vintage was as follows: December 31, 2023 2023 2022 2021 2020 2019 Prior Total (in millions) Commercial mortgage loans: A- and above $ 667.4 $ 1,214.8 $ 2,271.5 $ 1,535.8 $ 1,921.0 $ 5,447.2 $ 13,057.7 BBB+ thru BBB- 282.6 356.8 343.0 203.3 309.9 886.9 2,382.5 BB+ thru BB- 110.6 142.1 — — 35.3 234.6 522.6 B+ and below — — — — 83.5 53.9 137.4 Total $ 1,060.6 $ 1,713.7 $ 2,614.5 $ 1,739.1 $ 2,349.7 $ 6,622.6 $ 16,100.2 Residential mortgage loans: Performing $ 456.3 $ 1,023.4 $ 1,272.5 $ 150.4 $ 86.8 $ 253.6 $ 3,243.0 Non-performing — 2.1 4.0 — 1.8 2.3 10.2 Total $ 456.3 $ 1,025.5 $ 1,276.5 $ 150.4 $ 88.6 $ 255.9 $ 3,253.2 Other loans: Performing $ 168.5 $ — $ — $ — $ — $ — $ 168.5 Non-performing — — — — — 0.1 0.1 Total $ 168.5 $ — $ — $ — $ — $ 0.1 $ 168.6 Reinsurance recoverable and deposit receivable $ 24,427.9 December 31, 2022 2022 2021 2020 2019 2018 Prior Total (in millions) Commercial mortgage loans: A- and above $ 995.9 $ 2,182.5 $ 1,753.8 $ 2,177.2 $ 2,130.8 $ 4,555.1 $ 13,795.3 BBB+ thru BBB- 371.8 412.8 149.7 391.6 222.6 676.4 2,224.9 BB+ thru BB- 104.0 — — — 8.9 66.5 179.4 B+ and below — — — — 8.3 35.5 43.8 Total $ 1,471.7 $ 2,595.3 $ 1,903.5 $ 2,568.8 $ 2,370.6 $ 5,333.5 $ 16,243.4 Residential mortgage loans: Performing $ 1,101.4 $ 1,669.1 $ 364.5 $ 99.2 $ 51.2 $ 253.6 $ 3,539.0 Non-performing 8.0 4.7 1.8 1.0 0.6 4.4 20.5 Total $ 1,109.4 $ 1,673.8 $ 366.3 $ 100.2 $ 51.8 $ 258.0 $ 3,559.5 Reinsurance recoverable and deposit receivable $ 21,445.0 The amortized cost of commercial mortgage loans, residential mortgage loans and other loans excluded accrued interest receivable of $57.1 million, $10.3 million and $1.6 million, respectively, as of December 31, 2023, and $55.9 million, $9.8 million and $0.0 million, respectively, as of December 31, 2022. Financing Receivables Credit Monitoring Commercial Mortgage Loan Credit Risk Profile Based on Internal Rating We actively monitor and manage our commercial mortgage loan portfolio. All commercial mortgage loans 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 model stresses 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 commercial mortgage loans. As the credit risk for commercial mortgage loans 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 are updated at least annually and potentially more often for certain loans with material changes in collateral value or occupancy and for loans on an internal “watch list”. Commercial mortgage loans that require more frequent and detailed attention are identified and placed on an internal “watch list”. Among the criteria that may indicate a potential problem are significant negative changes in ratios of loan to value or contract rents to debt service, major tenant vacancies or bankruptcies, borrower sponsorship problems, late payments, delinquent taxes and loan relief/restructuring requests. Residential Mortgage Loan Credit Risk Profile Based on Performance Status Our residential mortgage loan portfolio is monitored based on performance of the loans. Monitoring on a residential mortgage loan increases when the loan is delinquent or earlier if there is an indication of potential impairment. We define non-performing residential mortgage loans as loans 90 days or greater delinquent or on non-accrual status. Other Loans Credit Risk Profile Based on Performance Status Our other loans are monitored based on performance of the loans. Monitoring on other loans increases when the loan is delinquent or earlier if there is an indication of potential impairment. Non-Accrual Financing Receivables Financing receivables are placed on non-accrual status if we have concern regarding the collectability of future payments or if a financing receivable has matured without being paid off or extended. Factors considered may include conversations with the borrower, loss of major tenant, bankruptcy of borrower or major tenant, decreased property cash flow for commercial mortgage loans or number of days past due and other circumstances for residential mortgage loans. Based on an assessment as to the collectability of the principal, a determination is made to apply any payments received either against the principal, against the valuation allowance or according to the contractual terms. When a financing receivable is placed on non-accrual status, the accrued unpaid interest receivable is reversed against interest income. Accrual of interest resumes after factors resulting in doubts about collectability have improved. The amortized cost of financing receivables on non-accrual status was as follows: December 31, 2023 Amortized cost Beginning Ending of nonaccrual amortized cost amortized cost assets without on nonaccrual on nonaccrual a valuation status status allowance (in millions) Commercial mortgage loans $ 43.8 $ 53.9 $ — Residential mortgage loans 16.0 8.2 0.5 Total $ 59.8 $ 62.1 $ 0.5 December 31, 2022 Amortized cost Beginning Ending of nonaccrual amortized cost amortized cost assets without on nonaccrual on |
