The amortized cost, gross unrealized gains and losses, allowance for credit losses and fair value of fixed maturity available-for-sale (“AFS”) securities (in millions) were as follows:



	As of March 31, 2023
							Allowance
	Amortized		Gross Unrealized				for Credit		Fair
	Cost		Gains		Losses		Losses		Value
Fixed maturity AFS securities:
Corporate bonds	$	88,713	$	1,139	$	9,377	$	27	$	80,448
U.S. government bonds		399		9		25		-		383
State and municipal bonds		5,386		279		408		-		5,257
Foreign government bonds		334		19		44		-		309
RMBS		2,223		24		191		6		2,050
CMBS		1,905		1		235		-		1,671
ABS		12,205		42		784		5		11,458
Hybrid and redeemable preferred securities		363		25		27		1		360
Total fixed maturity AFS securities	$	111,528	$	1,538	$	11,091	$	39	$	101,936



	As of December 31, 2022
							Allowance
	Amortized		Gross Unrealized				for Credit		Fair
	Cost		Gains		Losses		Losses		Value
Fixed maturity AFS securities:
Corporate bonds	$	89,249	$	787	$	11,004	$	9	$	79,023
U.S. government bonds		405		5		31		-		379
State and municipal bonds		5,410		172		512		-		5,070
Foreign government bonds		348		17		47		-		318
RMBS		2,216		22		222		7		2,009
CMBS		1,917		3		246		-		1,674
ABS		11,797		38		926		5		10,904
Hybrid and redeemable preferred securities		365		25		30		1		359
Total fixed maturity AFS securities	$	111,707	$	1,069	$	13,018	$	22	$	99,736

The amortized cost and fair value of fixed maturity AFS securities by contractual maturities (in millions) as of March 31, 2023, were as follows:

Actual maturities may differ from contractual maturities because issuers may have the right to call or pre-pay obligations.

The fair value and gross unrealized losses of fixed maturity AFS securities (dollars in millions) for which an allowance for credit losses has not been recorded, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, were as follows:



	As of March 31, 2023
	Less Than or Equal					Greater Than
	to Twelve Months					Twelve Months					Total
			Gross					Gross					Gross
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
	Value			Losses		Value			Losses		Value			Losses ⁽¹⁾
Fixed maturity AFS securities:
Corporate bonds	$	45,493		$	4,662	$	19,086		$	4,715	$	64,579		$	9,377
U.S. government bonds		212			18		40			7		252			25
State and municipal bonds		1,115			148		856			260		1,971			408
Foreign government bonds		41			7		98			37		139			44
RMBS		1,251			126		326			65		1,577			191
CMBS		949			83		628			152		1,577			235
ABS		4,686			225		5,888			559		10,574			784
Hybrid and redeemable
preferred securities		64			3		103			24		167			27
Total fixed maturity AFS securities	$	53,811		$	5,272	$	27,025		$	5,819	$	80,836		$	11,091

Total number of fixed maturity AFS securities in an unrealized loss position															8,065



	As of December 31, 2022
	Less Than or Equal					Greater Than
	to Twelve Months					Twelve Months					Total
				Gross					Gross					Gross
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
	Value			Losses		Value			Losses		Value			Losses ⁽¹⁾
Fixed maturity AFS securities:
Corporate bonds	$	59,929		$	9,049	$	7,094		$	1,955	$	67,023		$	11,004
U.S. government bonds		261			25		27			6		288			31
State and municipal bonds		1,958			440		237			72		2,195			512
Foreign government bonds		130			19		58			28		188			47
RMBS		1,490			179		193			43		1,683			222
CMBS		1,224			156		320			90		1,544			246
ABS		6,715			552		3,326			374		10,041			926
Hybrid and redeemable
preferred securities		63			5		97			25		160			30
Total fixed maturity AFS securities	$	71,770		$	10,425	$	11,352		$	2,593	$	83,122		$	13,018

Total number of fixed maturity AFS securities in an unrealized loss position															8,175

⁽¹⁾As of March 31, 2023, and December 31, 2022, we recognized $15 million and $6 million of gross unrealized losses, respectively, in other comprehensive income (loss) (“OCI”) for fixed maturity AFS securities for which an allowance for credit losses has been recorded.

The fair value, gross unrealized losses (in millions) and number of fixed maturity AFS securities where the fair value had declined and remained below amortized cost by greater than 20% were as follows:



	As of March 31, 2023
			Gross			Number
	Fair		Unrealized			of
	Value		Losses		Securities⁽¹⁾
Less than six months	$	2,458	$	780			436
Six months or greater, but less than nine months		4,420		1,503			728
Nine months or greater, but less than twelve months		4,350		1,968			638
Twelve months or greater		425		260			86
Total	$	11,653	$	4,511			1,888


	As of December 31, 2022
			Gross			Number
	Fair		Unrealized			of
	Value		Losses		Securities ⁽¹⁾
Less than six months	$	11,351	$	3,659			1,500
Six months or greater, but less than nine months		4,411		2,226			650
Nine months or greater, but less than twelve months		447		302			74
Twelve months or greater		2		1			15
Total	$	16,211	$	6,188			2,239

⁽¹⁾We may reflect a security in more than one aging category based on various purchase dates.

Our gross unrealized losses on fixed maturity AFS securities decreased by $1.9 billion for the three months ended March 31, 2023. As discussed further below, we believe the unrealized loss position as of March 31, 2023, did not require an impairment recognized in earnings as (i) we did not intend to sell these fixed maturity AFS securities; (ii) it is not more likely than not that we will be required to sell the fixed maturity AFS securities before recovery of their amortized cost basis; and (iii) the difference in the fair value compared to the amortized cost was due to factors other than credit loss. Based upon this evaluation as of March 31, 2023, management believes we have the ability to generate adequate amounts of cash from our normal operations (e.g., insurance premiums, fee income and investment income) to meet cash requirements with a prudent margin of safety without requiring the sale of our impaired securities.

As of March 31, 2023, the unrealized losses associated with our corporate bond, U.S. government bond, state and municipal bond and foreign government bond securities were attributable primarily to rising interest rates and widening credit spreads since purchase. We performed a detailed analysis of the financial performance of the underlying issuers and determined that we expected to recover the entire amortized cost of each impaired security.

Credit ratings express opinions about the credit quality of a security. Securities rated investment grade (those rated BBB- or higher by S&P Global Ratings (“S&P”) or Baa3 or higher by Moody’s Investors Service (“Moody’s”)) are generally considered by the rating agencies and market participants to be low credit risk. As of March 31, 2023, and December 31, 2022, 96% of the fair value of our corporate bond portfolio was rated investment grade. As of March 31, 2023, and December 31, 2022, the portion of our corporate bond portfolio rated below investment grade had an amortized cost of $3.5 billion and $3.7 billion, respectively, and a fair value of $3.3 billion and $3.5 billion, respectively. Based upon the analysis discussed above, we believe that as of March 31, 2023, and December 31, 2022, we would have recovered the amortized cost of each corporate bond.

As of March 31, 2023, the unrealized losses associated with our MBS and ABS were attributable primarily to rising interest rates and widening credit spreads since purchase. We assessed for credit impairment using a cash flow model that incorporates key assumptions including default rates, severities and prepayment rates. We estimated losses for a security by forecasting the underlying loans in each transaction. The forecasted loan performance was used to project cash flows to the various tranches in the structure, as applicable. Our forecasted cash flows also considered, as applicable, independent industry analyst reports and forecasts and other independent market data. Based upon our assessment of the expected credit losses of the security given the performance of the underlying collateral compared to our subordination or other credit enhancement, we expected to recover the entire amortized cost of each impaired security.

As of March 31, 2023, the unrealized losses associated with our hybrid and redeemable preferred securities were attributable primarily to wider credit spreads caused by illiquidity in the market and subordination within the capital structure, as well as credit risk of underlying issuers. For our hybrid and redeemable preferred securities, we evaluated the financial performance of the underlying issuers based upon credit performance and investment ratings and determined that we expected to recover the entire amortized cost of each impaired security.

Credit Loss Impairment on Fixed Maturity AFS Securities

We regularly review our fixed maturity AFS securities for declines in fair value that we determine to be impairment-related, including those attributable to credit risk factors that may require an allowance for credit losses. Changes in the allowance for credit losses on fixed maturity AFS securities (in millions), aggregated by investment category, were as follows:



	For the Three
	Months Ended
	March 31, 2023
	Corporate
	Bonds			RMBS			Other		Total
Balance as of beginning-of-year	$	9		$	7		$	6	$	22
Additions from purchases of PCD debt securities ⁽¹⁾		-			-			-		-
Additions for securities for which credit losses were not
previously recognized		19			-			-		19
Additions (reductions) for securities for which credit losses
were previously recognized		-			(1	)		-		(1	)
Reductions for securities disposed		(1	)		-			-		(1	)
Balance as of end-of-period ⁽²⁾	$	27		$	6		$	6	$	39


	For the Three
	Months Ended
	March 31, 2022
	Corporate
	Bonds			RMBS		Other		Total
Balance as of beginning-of-year	$	17		$	1	$	1	$	19
Additions from purchases of PCD debt securities ⁽¹⁾		-			-		-		-
Additions for securities for which credit losses were not
previously recognized		-			1		1		2
Reductions for securities disposed		(1	)		-		-		(1	)
Balance as of end-of-period ⁽²⁾	$	16		$	2	$	2	$	20

⁽¹⁾Represents purchased credit-deteriorated (“PCD”) fixed maturity AFS securities.

⁽²⁾As of March 31, 2023 and 2022, accrued investment income on fixed maturity AFS securities totaled $1.1 billion and $1.0 billion, respectively, and was excluded from the estimate of credit losses.

Mortgage Loans on Real Estate

The following provides the current and past due composition of our mortgage loans on real estate (in millions):



	As of March 31, 2023									As of December 31, 2022
	Commercial			Residential			Total			Commercial			Residential			Total
Current	$	17,008		$	1,330		$	18,338		$	17,003		$	1,315		$	18,318
30 to 59 days past due		-			29			29			19			23			42
60 to 89 days past due		19			10			29			-			6			6
90 or more days past due		-			31			31			-			33			33
Allowance for credit losses		(83	)		(20	)		(103	)		(84	)		(15	)		(99	)
Unamortized premium (discount)		(8	)		36			28			(8	)		36			28
Mark-to-market gains (losses) ⁽¹⁾		(25	)		-			(25	)		(27	)		-			(27	)
Total carrying value	$	16,911		$	1,416		$	18,327		$	16,903		$	1,398		$	18,301

⁽¹⁾Represents the mark-to-market on certain mortgage loans on real estate for which we have elected the fair value option. See Note 12 for additional information.

Our commercial mortgage loan portfolio had the largest concentrations in California, which accounted for 28% and 27% of commercial mortgage loans on real estate as of March 31, 2023, and December 31, 2022, respectively, and Texas, which accounted for 9% of commercial mortgage loans on real estate as of March 31, 2023, and December 31, 2022.

Our residential mortgage loan portfolio had the largest concentrations in California, which accounted for 16% and 17% of residential mortgage loans on real estate as of March 31, 2023, and December 31, 2022, respectively, and New Jersey, which accounted for 12% of residential mortgage loans on real estate as of March 31, 2023, and December 31, 2022.

As of March 31, 2023, and December 31, 2022, we had 74 and 73 residential mortgage loans, respectively, that were either delinquent or in foreclosure. As of March 31, 2023, and December 31, 2022, we had 36 and 49 residential mortgage loans in foreclosure, respectively, with an aggregate carrying value of $15 million and $21 million, respectively.

As of March 31, 2023, and December 31, 2022, there were three and two specifically identified impaired commercial mortgage loans, respectively, with an aggregate carrying value of less than $1 million.

As of March 31, 2023, and December 31, 2022, there were 47 and 37 specifically identified impaired residential mortgage loans, respectively, with an aggregate carrying value of $19 million and $16 million, respectively.

Additional information related to impaired mortgage loans on real estate (in millions) was as follows:



	For the Three
	Months Ended
	March 31,
	2023		2022
Average aggregate carrying value for impaired mortgage loans on real estate	$	18	$	21
Interest income recognized on impaired mortgage loans on real estate		-		-
Interest income collected on impaired mortgage loans on real estate		-		-

The amortized cost of mortgage loans on real estate on nonaccrual status (in millions) was as follows:


	As of March 31, 2023				As of December 31, 2022
	Nonaccrual				Nonaccrual
	with no				with no
	Allowance				Allowance
	for Credit				for Credit
	Losses		Nonaccrual		Losses		Nonaccrual
Commercial mortgage loans on real estate	$	-	$	-	$	-	$	-
Residential mortgage loans on real estate		-		32		-		34
Total	$	-	$	32	$	-	$	34

We use loan-to-value and debt-service coverage ratios as credit quality indicators for our commercial mortgage loans on real estate. The amortized cost of commercial mortgage loans on real estate (dollars in millions) by year of origination and credit quality indicator was as follows:



	As of March 31, 2023
			Debt-			Debt-			Debt-
			Service			Service			Service
	Less		Coverage	65%		Coverage	Greater		Coverage
	than 65%		Ratio	to 75%		Ratio	than 75%		Ratio	Total
Origination Year
2023	$	155	1.61	$	-	-	$	-	-	$	155
2022		1,769	2.06		97	2.02		1	1.13		1,867
2021		2,349	3.05		70	1.51		-	-		2,419
2020		1,284	2.86		14	1.54		-	-		1,298
2019		2,673	2.23		93	1.50		18	1.43		2,784
2018 and prior		8,192	2.40		221	1.54		83	1.33		8,496
Total	$	16,422		$	495		$	102		$	17,019

‎



	As of December 31, 2022
			Debt-			Debt-			Debt-
			Service			Service			Service
	Less		Coverage	65%		Coverage	Greater		Coverage
	than 65%		Ratio	to 75%		Ratio	than 75%		Ratio	Total
Origination Year
2022	$	1,769	2.06	$	105	1.50	$	2	1.45	$	1,876
2021		2,354	3.05		72	1.53		-	-		2,426
2020		1,289	3.00		17	1.58		-	-		1,306
2019		2,685	2.18		81	1.50		29	1.58		2,795
2018		2,225	2.17		71	1.62		-	-		2,296
2017 and prior		6,184	2.44		131	1.75		-	-		6,315
Total	$	16,506		$	477		$	31		$	17,014

We use loan performance status as the primary credit quality indicator for our residential mortgage loans on real estate. The amortized cost of residential mortgage loans on real estate (in millions) by year of origination and credit quality indicator was as follows:



	As of March 31, 2023
	Performing		Nonperforming			Total
Origination Year
2023	$	13		$	-	$	13
2022		613			7		620
2021		513			6		519
2020		89			2		91
2019		116			14		130
2018 and prior		60			3		63
Total	$	1,404		$	32	$	1,436



	As of December 31, 2022
	Performing		Nonperforming			Total
Origination Year
2022	$	578		$	5	$	583
2021		527			6		533
2020		90			3		93
2019		119			18		137
2018		65			2		67
2017 and prior		-			-		-
Total	$	1,379		$	34	$	1,413

Credit Losses on Mortgage Loans on Real Estate

In connection with our recognition of an allowance for credit losses for mortgage loans on real estate, we perform a quantitative analysis using a probability of default/loss given default/exposure at default approach to estimate expected credit losses in our mortgage loan portfolio as well as unfunded commitments related to commercial mortgage loans, exclusive of certain mortgage loans held at fair value.

Changes in the allowance for credit losses on mortgage loans on real estate (in millions) were as follows:


	For the Three
	Months Ended
	March 31, 2023
	Commercial			Residential		Total
Balance as of beginning-of-year	$	84		$	15	$	99
Additions (reductions) from provision for credit loss expense ⁽¹⁾		(1	)		5		4
Additions from purchases of PCD mortgage loans on real estate		-			-		-
Balance as of end-of-period ⁽²⁾	$	83		$	20	$	103

‎



	For the Three
	Months Ended
	March 31, 2022
	Commercial			Residential		Total
Balance as of beginning-of-year	$	79		$	17	$	96
Additions (reductions) from provision for credit loss expense ⁽¹⁾		(20	)		1		(19	)
Additions from purchases of PCD mortgage loans on real estate		-			-		-
Balance as of end-of-period ⁽²⁾	$	59		$	18	$	77

⁽¹⁾We did not recognize any credit loss benefit (expense) related to unfunded commitments for mortgage loans on real estate for the three months ended March 31, 2023. We recognized $(1) million of credit loss benefit (expense) related to unfunded commitments for mortgage loans on real estate for the three months ended March 31, 2022.

⁽²⁾Accrued investment income on mortgage loans on real estate totaled $52 million and $49 million as of March 31, 2023 and 2022, respectively, and was excluded from the estimate of credit losses.

Alternative Investments

As of March 31, 2023, and December 31, 2022, alternative investments included investments in 330 and 337 different partnerships, respectively, and represented approximately 2% of total investments.

Impairments on Fixed Maturity AFS Securities

Details underlying credit loss benefit (expense) incurred as a result of impairments that were recognized in net income (loss) and included in realized gain (loss) on fixed maturity AFS securities (in millions) were as follows:



	For the Three
	Months Ended
	March 31,
	2023			2022
Credit Loss Benefit (Expense)
Fixed maturity AFS securities:
Corporate bonds	$	(18	)	$	1
RMBS		1			(1	)
ABS		-			(1	)
Total credit loss benefit (expense)	$	(17	)	$	(1	)

Payables for Collateral on Investments

The carrying value of the payables for collateral on investments included on the Consolidated Balance Sheets and the fair value of the related investments or collateral (in millions) consisted of the following:



	As of March 31, 2023				As of December 31, 2022
	Carrying		Fair		Carrying		Fair
	Value		Value		Value		Value
Collateral payable for derivative investments ⁽¹⁾	$	3,552	$	3,552	$	3,284	$	3,284
Securities pledged under securities lending agreements ⁽²⁾		296		288		298		287
Investments pledged for FHLBI ⁽³⁾		2,955		3,649		3,130		3,925
Total payables for collateral on investments	$	6,803	$	7,489	$	6,712	$	7,496

⁽¹⁾We obtain collateral based upon contractual provisions with our counterparties. These agreements take into consideration the counterparties’ credit rating as compared to ours, the fair value of the derivative investments and specified thresholds that if exceeded result in the receipt of cash that is typically invested in cash and invested cash. This also includes interest payable on collateral. See Note 6 for additional information.

⁽²⁾Our pledged securities under securities lending agreements are included in fixed maturity AFS securities on the Consolidated Balance Sheets. We generally obtain collateral in an amount equal to 102% and 105% of the fair value of the domestic and foreign securities, respectively. We value collateral daily and obtain additional collateral when deemed appropriate. The cash received in our securities lending program is typically invested in cash and invested cash or fixed maturity AFS securities.

⁽³⁾Our pledged investments for Federal Home Loan Bank (“FHLB”) of Indianapolis (“FHLBI”) are included in fixed maturity AFS securities and mortgage loans on real estate on the Consolidated Balance Sheets. The collateral requirements are generally 105% to 115% of the fair value for fixed maturity AFS securities and 155% to 175% of the fair value for mortgage loans on real estate. The cash received in these transactions is primarily invested in cash and invested cash or fixed maturity AFS securities.

We have repurchase agreements through which we can obtain liquidity by pledging securities. The collateral requirements are generally 80% to 95% of the fair value of the securities, and our agreements with third parties contain contractual provisions to allow for additional collateral to be obtained when necessary. The cash received in our repurchase program is typically invested in fixed maturity AFS securities. As of March 31, 2023, and December 31, 2022, we were not participating in any open repurchase agreements.

Increase (decrease) in payables for collateral on investments (in millions) consisted of the following:



	For the Three
	Months Ended
	March 31,
	2023			2022
Collateral payable for derivative investments	$	268		$	(786	)
Securities pledged under securities lending agreements		(2	)		17
Investments pledged for FHLBI		(175	)		750
Total increase (decrease) in payables for collateral on investments	$	91		$	(19	)

We have elected not to offset our securities lending transactions in the consolidated financial statements. The remaining contractual maturities of securities lending transactions accounted for as secured borrowings (in millions) were as follows:



	As of March 31, 2023
	Overnight and Continuous		Up to 30 Days		30 - 90 ‎Days		Greater Than 90 Days		Total
Securities Lending
Corporate bonds	$	279	$	-	$	-	$	-	$	279
Foreign government bonds		8		-		-		-		8
Equity securities		9		-		-		-		9
Total gross secured borrowings	$	296	$	-	$	-	$	-	$	296

‎

We accept collateral in the form of securities in connection with repurchase agreements. In instances where we are permitted to sell or re-pledge the securities received, we report the fair value of the collateral received and a related obligation to return the collateral in the consolidated financial statements. In addition, we receive securities in connection with securities borrowing agreements that we are permitted to sell or re-pledge. As of March 31, 2023, the fair value of all collateral received that we are permitted to sell or re-pledge was $26 million, and we had re-pledged all of this collateral to cover initial margin and over-the-counter collateral requirements on certain derivative investments.

As of March 31, 2023, our investment commitments were $2.5 billion, which included $1.8 billion of LPs, $405 million of private placement securities and $277 million of mortgage loans on real estate.

As of March 31, 2023, and December 31, 2022, our most significant investments in one issuer were our investments in securities issued by the Federal National Mortgage Association with a fair value of $780 million and $745 million, respectively, or 1% of total investments, and our investments in securities issued by the Federal Home Loan Mortgage Corporation with a fair value of $716 million and $720 million, respectively, or 1% of total investments. These concentrations include fixed maturity AFS, trading and equity securities.