Investments (Tables)

6 Months Ended

Jun. 30, 2022

Investments, Debt and Equity Securities [Abstract]

Fixed maturity securities by sector were as follows at:


	June 30, 2022										December 31, 2021
	Amortized Cost		Allowance for Credit Losses		Gross Unrealized				Estimated Fair Value		Amortized Cost		Allowance for Credit Losses		Gross Unrealized				Estimated Fair Value
					Gains		Losses								Gains		Losses
	(In millions)
U.S. corporate	$	2,271	$	—	$	3	$	250	$	2,024	$	2,315	$	—	$	143	$	15	$	2,443
Foreign corporate	727		—		—		81		646		669		—		31		7		693
CMBS	331		—		—		23		308		333		—		18		2		349
ABS	304		—		—		14		290		312		—		1		—		313
State and political subdivision	300		—		3		37		266		290		—		15		2		303
U.S. government and agency	221		—		5		6		220		252		—		40		—		292
RMBS	271		—		3		18		256		270		—		11		2		279
Foreign government	16		—		—		2		14		23		—		2		—		25
Total fixed maturity securities	$	4,441	$	—	$	14	$	431	$	4,024	$	4,464	$	—	$	261	$	28	$	4,697

Maturities of Fixed Maturity Securities

The amortized cost and estimated fair value of fixed maturity securities, by contractual maturity date, were as follows at June 30, 2022:


	Due in One Year or Less		Due After One Year Through Five Years		Due After Five Years Through Ten Years		Due After Ten Years		Structured Securities (1)		Total Fixed Maturity Securities
	(In millions)
Amortized cost	$	73	$	841	$	1,478	$	1,143	$	906	$	4,441
Estimated fair value	$	73	$	802	$	1,314	$	981	$	854	$	4,024

_______________

(1)Structured securities include residential mortgage-backed securities (“RMBS”), commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”) (collectively, “Structured Securities”).

Continuous Gross Unrealized Losses for Fixed Maturity Securities by Sector

The estimated fair value and gross unrealized losses of fixed maturity securities in an unrealized loss position, by sector and by length of time that the securities have been in a continuous unrealized loss position, were as follows at:


	June 30, 2022								December 31, 2021
	Less than 12 Months				12 Months or Greater				Less than 12 Months				12 Months or Greater
	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
	(Dollars in millions)
U.S. corporate	$	1,777	$	219	$	106	$	31	$	583	$	13	$	21	$	2
Foreign corporate	571		73		32		8		193		5		11		2
CMBS	265		15		39		8		72		2		10		—
ABS	256		12		20		2		138		—		2		—
State and political subdivision	230		37		2		—		107		2		—		—
U.S. government and agency	166		6		—		—		—		—		—		—
RMBS	188		13		40		5		114		2		—		—
Foreign government	14		2		—		—		6		—		2		—
Total fixed maturity securities	$	3,467	$	377	$	239	$	54	$	1,213	$	24	$	46	$	4




Total number of securities in an unrealized loss position	1,579				151				602				20

Mortgage Loans by Portfolio Segment

Mortgage loans are summarized as follows at:


	June 30, 2022				December 31, 2021
	Carrying Value		% of Total		Carrying Value		% of Total
	(Dollars in millions)
Commercial	$	899	78.5	%	$	593	73.1	%
Agricultural	250		21.8		220		27.1

Total mortgage loans	1,149		100.3		813		100.2
Allowance for credit losses	(4)		(0.3)		(2)		(0.2)
Total mortgage loans, net	$	1,145	100.0	%	$	811	100.0	%

As of December 31, 2021, the forbearance period granted on all COVID-19 pandemic impacted loans have ended and all impacted loans were in good standing.

Rollforward of the Allowance for Credit Losses for Mortgage Loans by Portfolio Segment

The changes in the allowance for credit losses by portfolio segment were as follows:


	Commercial		Agricultural		Total
	(In millions)
Six Months Ended June 30, 2022
Balance, beginning of period	$	1	$	1	$	2
Current period provision	2		—		2
Balance, end of period	$	3	$	1	$	4
Six Months Ended June 30, 2021
Balance, beginning of period	$	1	$	1	$	2
Current period provision	—		—		—
Balance, end of period	$	1	$	1	$	2

Credit Quality of Mortgage Loans by Portfolio Segment

The amortized cost of mortgage loans by year of origination and credit quality indicator was as follows at:


	2022		2021		2020		2019		2018		Prior		Total
	(In millions)
June 30, 2022
Commercial mortgage loans
Loan-to-value ratios:
Less than 65%	$	285	$	121	$	31	$	95	$	10	$	166	$	708
65% to 75%	37		50		—		52		13		23		175
76% to 80%	—		—		—		—		—		1		1
Greater than 80%	—		—		—		—		5		10		15
Total commercial mortgage loans	322		171		31		147		28		200		899
Agricultural mortgage loans
Loan-to-value ratios:
Less than 65%	39		41		43		32		16		37		208
65% to 75%	—		35		—		6		1		—		42

Total agricultural mortgage loans	39		76		43		38		17		37		250
Total	$	361	$	247	$	74	$	185	$	45	$	237	$	1,149


	2021		2020		2019		2018		2017		Prior		Total
	(In millions)
December 31, 2021
Commercial mortgage loans
Loan-to-value ratios:
Less than 65%	$	121	$	31	$	100	$	16	$	13	$	158	$	439
65% to 75%	50		—		52		13		7		16		138
76% to 80%	—		—		—		—		—		1		1
Greater than 80%	—		—		—		5		—		10		15
Total commercial mortgage loans	171		31		152		34		20		185		593
Agricultural mortgage loans
Loan-to-value ratios:
Less than 65%	42		45		33		17		6		35		178
65% to 75%	34		—		7		1		—		—		42

Total agricultural mortgage loans	76		45		40		18		6		35		220
Total	$	247	$	76	$	192	$	52	$	26	$	220	$	813

The amortized cost of commercial mortgage loans by debt-service coverage ratio was as follows at:


	June 30, 2022				December 31, 2021
	Amortized Cost		% of Total		Amortized Cost		% of Total
	(Dollars in millions)
Debt-service coverage ratios:
Greater than 1.20x	$	836	93.0	%	$	510	86.0	%
1.00x - 1.20x	30		3.3		46		7.8
Less than 1.00x	33		3.7		37		6.2
Total	$	899	100.0	%	$	593	100.0	%

Net Unrealized Investment Gains (Losses)

The components of net unrealized investment gains (losses), included in AOCI, were as follows at:


	June 30, 2022		December 31, 2021
	(In millions)
Fixed maturity securities	$	(417)	$	233



Derivatives	18		7

Subtotal	(399)		240
Amounts allocated from:
Future policy benefits	—		(35)

DAC and DSI	23		(34)
Subtotal	23		(69)
Deferred income tax benefit (expense)	80		(36)
Net unrealized investment gains (losses)	$	(296)	$	135

The changes in net unrealized investment gains (losses) were as follows:


	Six Months Ended June 30, 2022
	(In millions)
Balance at December 31, 2021	$	135

Unrealized investment gains (losses) during the period	(639)
Unrealized investment gains (losses) relating to:
Future policy benefits	35

DAC and DSI	57

Deferred income tax benefit (expense)	116
Balance at June 30, 2022	$	(296)
Change in net unrealized investment gains (losses)	$	(431)

Invested Assets on Deposit and Pledged as Collateral

Invested assets on deposit and pledged as collateral at estimated fair value were as follows at:


	June 30, 2022		December 31, 2021
	(In millions)
Invested assets on deposit (regulatory deposits)	$	1	$	2
Invested assets pledged as collateral (1)	261		161
Total invested assets on deposit and pledged as collateral (2)	$	262	$	163

_______________

(1)The Company has pledged invested assets in connection with derivative transactions (see Note 5).

(2)The Company did not hold any restricted cash and cash equivalents at either June 30, 2022 or December 31, 2021.

Variable Interest Entities

The carrying amount and maximum exposure to loss related to the VIEs for which the Company has concluded that it holds a variable interest, but is not the primary beneficiary, were as follows at:


	June 30, 2022				December 31, 2021
	Carrying Amount		Maximum Exposure to Loss		Carrying Amount		Maximum Exposure to Loss
	(In millions)
Fixed maturity securities	$	315	$	329	$	326	$	308

Components of Net Investment Income

The components of net investment income were as follows:


	Three Months Ended June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
	(In millions)
Investment income:
Fixed maturity securities	$	35	$	33	$	71	$	65

Mortgage loans	11		7		19		13




Other	1		1		2		1
Total investment income	47		41		92		79
Less: Investment expenses	2		2		4		3
Net investment income	$	45	$	39	$	88	$	76

Components of Net Investment Gains (Losses)

The components of net investment gains (losses) were as follows:


	Three Months Ended June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
	(In millions)
Fixed maturity securities	$	(1)	$	—	$	(7)	$	1
Mortgage loans	(1)		(1)		(2)		(1)


Total net investment gains (losses)	$	(2)	$	(1)	$	(9)	$	—

Sales or Disposals of Fixed Maturity Securities

Proceeds from sales or disposals of fixed maturity securities and the components of fixed maturity securities net investment gains (losses) were as follows:


	Three Months Ended June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
	(In millions)
Proceeds	$	30	$	4	$	432	$	39
Gross investment gains	$	—	$	—	$	6	$	1
Gross investment losses	(1)		—		(13)		—
Net investment gains (losses)	$	(1)	$	—	$	(7)	$	1

BRIGHTHOUSE LIFE INSURANCE Co OF NY 10-Q