
Year Ended December 31	2021		2020		2019
(In millions)

Fixed maturity securities	$	1,707	$	1,728	$	1,817
Limited partnership investments	375		127		204
Short term investments	2		10		52
Equity securities	83		65		85
Income from trading portfolio (a)	106		83		216
Other	61		58		56
Total investment income	2,334		2,071		2,430
Investment expenses	(75)		(76)		(75)
Net investment income	$	2,259	$	1,995	$	2,355


Year Ended December 31	2021		2020		2019
(In millions)

Fixed maturity securities:
Gross gains	$	186	$	220	$	125
Gross losses	(90)		(220)		(131)
Investment gains (losses) on fixed maturity securities	96		—		(6)
Equity securities	4		(3)		66
Derivative instruments	6		(10)		(11)
Short term investments and other	14		(22)
Altium Packaging (see Note 2)	555
Diamond Offshore (see Note 2)	(15)		(1,211)
Investment gains (losses) (a)	$	660	$	(1,246)	$	49

The following tables present the activity related to the allowance on available-for-sale securities with credit impairments and PCD assets. Accrued interest receivable on available-for-sale fixed maturity securities totaled $369 million and $371 million as of December 31, 2021 and December 31, 2020 and is excluded from the estimate of expected credit losses and the amortized cost basis in the tables within this Note.


Year Ended December 31, 2021	Corporate and Other Bonds		Asset-backed		Total
(In millions)

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	5		6		11

Reductions to the allowance for credit losses:
Securities sold during the period (realized)	7		17		24

Write-offs charged against the allowance	16				16

Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period	(8)		1		(7)
Total allowance for credit losses	$	11	$	7	$	18


Year Ended December 31, 2020

Allowance for credit losses:
Balance as of January 1, 2020	$	—	$	—	$	—
Additions to the allowance for credit losses:
Impact of adopting ASC 326	6				6
Securities for which credit losses were not previously recorded	67		12		79
Available-for-sale securities accounted for as PCD assets	5				5

Reductions to the allowance for credit losses:
Securities sold during the period (realized)	22				22
Intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost basis	1				1

Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period	(32)		5		(27)
Total allowance for credit losses	$	23	$	17	$	40

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:

The net change in unrealized gains (losses) on investments, which consists solely of the change in unrealized gains on fixed maturity securities, was $(1.3) billion, $1.6 billion and $2.6 billion for the years ended December 31, 2021, 2020 and 2019.


December 31, 2021	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Estimated Fair Value
(In millions)

Fixed maturity securities:
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
Fixed maturities available-for-sale	39,945		4,558		112		18		44,373
Fixed maturities trading	7								7
Total fixed maturity securities	$	39,952	$	4,558	$	112	$	18	$	44,380


	Less than 12 Months				12 Months or Longer				Total
December 31, 2021	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
(In millions)

Fixed maturity securities:
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 fixed maturity securities	$	5,695	$	92	$	370	$	20	$	6,065	$	112

December 31, 2020

Fixed maturity securities:
Corporate and other bonds	$	609	$	21	$	12	$	1	$	621	$	22
States, municipalities and political subdivisions	33								33
Asset-backed:
Residential mortgage-backed	71		1		11				82		1
Commercial mortgage-backed	533		40		28		2		561		42
Other asset-backed	344		9		13				357		9
Total asset-backed	948		50		52		2		1,000		52
U.S. Treasury and obligations of government-sponsored enterprises	63		3						63		3
Foreign government	13								13
Total fixed maturity securities	$	1,666	$	74	$	64	$	3	$	1,730	$	77

Based on current facts and circumstances, the unrealized losses presented in the December 31, 2021 securities in a gross unrealized loss position table above are not believed to be indicative of the ultimate collectability of the current amortized cost of the securities, but rather are attributable to changes in interest rates, credit spreads and other factors. There is no current intent to sell securities with unrealized losses, nor is it more likely than not that sale will be required prior to recovery of amortized cost; accordingly, it was determined that there are no additional impairment losses to be recorded at December 31, 2021.


December 31	2021				2020
	Cost or Amortized Cost		Estimated Fair Value		Cost or Amortized Cost		Estimated Fair Value
(In millions)

Due in one year or less	$	1,603	$	1,624	$	1,456	$	1,458
Due after one year through five years	10,637		11,229		12,304		13,098
Due after five years through ten years	13,294		14,338		12,319		13,878
Due after ten years	14,411		17,182		12,847		16,170
Total	$	39,945	$	44,373	$	38,926	$	44,604

The carrying value of limited partnerships as of December 31, 2021 and 2020 was approximately $1.9 billion and $1.8 billion, which includes net undistributed earnings of $266 million and $252 million. Limited partnerships comprising 35% of the total carrying value are reported on a current basis through December 31, 2021 with no reporting lag, 6% of the total carrying value are reported on a one month lag and the remainder are reported on more than a one month lag. The number of limited partnerships held and the strategies employed provide diversification to the limited partnership portfolio and the overall invested asset portfolio.

Limited partnerships comprising 65% and 44% of the carrying value at December 31, 2021 and 2020 were invested in private debt and equity. Limited partnerships comprising 35% and 56% of the carrying value as of December 31, 2021 and 2020 employ hedge fund strategies. Private debt and equity funds cover a broad range of investment strategies including buyout, co-investment, private credit, growth capital and distressed investing. Hedge fund strategies include both long and short positions in fixed income, equity and derivative instruments.

The ten largest limited partnership positions held totaled $665 million and $914 million as of December 31, 2021 and 2020. Based on the most recent information available regarding percentage ownership of the individual limited partnerships, the carrying value reflected on the Consolidated Balance Sheets represents approximately 1% and 2% of the aggregate partnership equity at December 31, 2021 and 2020, and the related income reflected on the Consolidated Statements of Operations represents approximately 2%, 2% and 2% of the changes in aggregate partnership equity for the years ended December 31, 2021, 2020 and 2019.

There are risks inherent in limited partnership investments which may result in losses due to short-selling, derivatives or other speculative investment practices. The use of leverage increases volatility generated by the underlying investment strategies.

Private debt, private equity and other non-hedge fund limited partnership investments generally do not permit voluntary withdrawals. Hedge fund limited partnership investments contain withdrawal provisions that generally limit liquidity for a period of thirty days up to one year or longer. Typically, hedge fund withdrawals require advance written notice of up to 90 days.

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 (“LTV”) ratios.


	Mortgage Loans Amortized Cost Basis by Origination Year (a)
As of December 31, 2021	2021		2020		2019		2018		2017		Prior		Total
(In millions)

DSCR ≥1.6x
LTV less than 55%	$	2	$	75	$	6	$	38	$	99	$	181	$	401
LTV 55% to 65%	5		38		15		17				24		99
LTV greater than 65%	17				8								25
DSCR 1.2x - 1.6x
LTV less than 55%	14		14		95				5		42		170
LTV 55% to 65%	36						24		10				70
LTV greater than 65%			24						8				32
DSCR ≤1.2x
LTV less than 55%					35				30				65
LTV 55% to 65%					28								28
LTV greater than 65%	21		9		62						7		99
Total	$	95	$	160	$	249	$	79	$	152	$	254	$	989

Derivatives may be used in the normal course of business, primarily in an attempt to reduce exposure to market risk (principally interest rate risk, credit risk, equity price risk, commodity price risk and foreign currency risk) stemming from various assets and liabilities. The principal objective under such strategies is to achieve the desired reduction in economic risk, even if the position does not receive hedge accounting treatment.

Interest rate swaps, futures and forward commitments to purchase securities may be entered into to manage interest rate risk. Credit derivatives such as credit default swaps may be entered into to modify the credit risk inherent in certain investments. Forward contracts, futures, swaps and options may be used to manage foreign currency and commodity price risk.

In addition to the derivatives used for risk management purposes described above, derivatives may also be used for purposes of income enhancement. Income enhancement transactions include interest rate swaps, call options, put options, credit default swaps, index futures and foreign currency forwards. See Note 4 for information regarding the fair value of derivative instruments.


December 31	2021					2020
	Contractual/Notional Amount		Estimated Fair Value			Contractual/Notional Amount		Estimated Fair Value
			Asset	(Liability)				Asset		(Liability)
(In millions)

With hedge designation:

Interest rate swaps						$	675			$	(26)

Without hedge designation:

Equity markets:
Options – purchased						135		$	3
Interest rate swaps	$	100				100				(3)
Embedded derivative on funds withheld liability	270			$	(12)	190				(19)

As part of the overall investment strategy, investments are made 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 December 31, 2021, commitments to purchase or fund were approximately $1.2 billion and to sell were approximately $90 million under the terms of these investments.

Cash and securities with carrying values of approximately $1.2 billion and $1.1 billion were deposited with financial institutions in trust accounts or as collateral for letters of credit to secure obligations with various third parties as of December 31, 2021 and 2020.