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Investments (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of Available-for-Sale Securities Reconciliation

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, 2024

	Amortized Cost		Gross Unrealized				Allowance for Credit Losses		Fair Value
			Gains		Losses
Fixed maturity AFS securities:
Corporate bonds	$	76,968	$	640	$	9,065	$	10	$	68,533
U.S. government bonds	422		4		35		–		391
State and municipal bonds	3,097		46		400		–		2,743
Foreign government bonds	304		12		53		–		263
RMBS	1,962		20		217		6		1,759
CMBS	1,658		4		178		–		1,484
ABS	12,903		71		621		4		12,349
Hybrid and redeemable preferred securities	232		23		12		1		242
Total fixed maturity AFS securities	$	97,546	$	820	$	10,581	$	21	$	87,764


	As of December 31, 2023
	Amortized Cost		Gross Unrealized				Allowance for Credit Losses		Fair Value
			Gains		Losses
Fixed maturity AFS securities:
Corporate bonds	$	77,085	$	852	$	8,272	$	8	$	69,657
U.S. government bonds	416		6		29		–		393
State and municipal bonds	3,106		101		417		–		2,790
Foreign government bonds	314		16		47		–		283
RMBS	1,948		28		197		6		1,773
CMBS	1,622		5		203		–		1,424
ABS	12,698		62		585		4		12,171
Hybrid and redeemable preferred securities	244		21		17		1		247
Total fixed maturity AFS securities	$	97,433	$	1,091	$	9,767	$	19	$	88,738

Investments Classified by Contractual Maturity Date

The amortized cost and fair value of fixed maturity AFS securities by contractual maturities (in millions) as of March 31, 2024, were as follows:


	Amortized Cost		Fair Value
Due in one year or less	$	4,615	$	4,574
Due after one year through five years	17,551		16,871
Due after five years through ten years	14,424		13,180
Due after ten years	44,433		37,547
Subtotal	81,023		72,172
Structured securities (RMBS, CMBS, ABS)	16,523		15,592
Total fixed maturity AFS securities	$	97,546	$	87,764

Schedule of Available-for-Sale Securities Unrealized Loss Position

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, 2024

	Less Than or Equal to Twelve Months				Greater Than Twelve Months				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses (1)
Fixed maturity AFS securities:
Corporate bonds	$	23,895	$	4,432	$	33,636	$	4,633	$	57,531	$	9,065
U.S. government bonds	102		9		188		26		290		35
State and municipal bonds	894		222		895		178		1,789		400
Foreign government bonds	107		30		66		23		173		53
RMBS	620		76		907		141		1,527		217
CMBS	677		70		621		108		1,298		178
ABS	1,998		91		6,118		530		8,116		621
Hybrid and redeemable preferred securities	18		3		102		9		120		12
Total fixed maturity AFS securities	$	28,311	$	4,933	$	42,533	$	5,648	$	70,844	$	10,581

Total number of fixed maturity AFS securities in an unrealized loss position											7,485


	As of December 31, 2023
	Less Than or Equal to Twelve Months				Greater Than Twelve Months				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses (1)
Fixed maturity AFS securities:
Corporate bonds	$	14,005	$	3,270	$	34,595	$	5,002	$	48,600	$	8,272
U.S. government bonds	65		6		195		23		260		29
State and municipal bonds	371		72		874		345		1,245		417
Foreign government bonds	111		31		57		16		168		47
RMBS	360		20		886		177		1,246		197
CMBS	583		56		589		147		1,172		203
ABS	1,900		68		7,217		517		9,117		585
Hybrid and redeemable preferred securities	32		3		95		14		127		17
Total fixed maturity AFS securities	$	17,427	$	3,526	$	44,508	$	6,241	$	61,935	$	9,767

Total number of fixed maturity AFS securities in an unrealized loss position											7,605

(1) As of March 31, 2024, and December 31, 2023, we recognized $12 million and $8 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, 2024

	Fair Value		Gross Unrealized Losses		Number of Securities (1)
Less than six months	$	3,759	$	1,318	697
Six months or greater, but less than nine months	423		158		131
Nine months or greater, but less than twelve months	275		86		68
Twelve months or greater	3,709		1,517		740
Total	$	8,166	$	3,079	1,636


	As of December 31, 2023
	Fair Value		Gross Unrealized Losses		Number of Securities (1)
Less than six months	$	2,492	$	927	533
Six months or greater, but less than nine months	343		96		79
Nine months or greater, but less than twelve months	336		109		90
Twelve months or greater	4,094		2,922		997
Total	$	7,265	$	4,054	1,699

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

Debt Securities, Available-for-Sale

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, 2024
	Corporate Bonds		RMBS		Other		Total
Balance as of beginning-of-year	$	8	$	6	$	5	$	19
Additions from purchases of PCD debt securities (1)	–		–		–		–
Additions for securities for which credit losses were not
previously recognized	1		–		–		1
Additions (reductions) for securities for which credit losses
were previously recognized	2		–		–		2
Reductions for disposed securities	(1)		–		–		(1)
Balance as of end-of-period (2)	$	10	$	6	$	5	$	21


	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 disposed securities	(1)		–		–		(1)
Balance as of end-of-period (2)	$	27	$	6	$	6	$	39

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

(2) As of March 31, 2024 and 2023, accrued investment income on fixed maturity AFS securities totaled $943 million and $1.1 billion, respectively, and was excluded from the estimate of credit losses.

Composition of Current and Past Due 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, 2024						As of December 31, 2023
	Commercial		Residential		Total		Commercial		Residential		Total
Current	$	17,372	$	1,833	$	19,205	$	17,256	$	1,665	$	18,921
30 to 59 days past due	4		37		41		61		28		89
60 to 89 days past due	2		10		12		–		9		9
90 or more days past due	60		59		119		–		60		60
Allowance for credit losses	(84)		(31)		(115)		(86)		(28)		(114)
Unamortized premium (discount)	(7)		48		41		(7)		43		36
Mark-to-market gains (losses) (1)	(38)		1		(37)		(37)		(1)		(38)
Total carrying value	$	17,309	$	1,957	$	19,266	$	17,187	$	1,776	$	18,963

(1) Represents the mark-to-market on certain mortgage loans on real estate for which we have elected the fair value option. See Note 13 for additional information.

Amortized Cost of Mortgage Loans on Real Estate on Nonaccrual Status

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


	As of March 31, 2024				As of December 31, 2023
	Nonaccrual with no Allowance for Credit Losses		Nonaccrual		Nonaccrual with no Allowance for Credit Losses		Nonaccrual
Commercial mortgage loans on real estate	$	60	$	–	$	–	$	–
Residential mortgage loans on real estate	–		61		–		62
Total	$	60	$	61	$	–	$	62

Financing Receivable Credit Quality Indicators

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, 2024
	Less than 65%		Debt-Service Coverage Ratio	65% to 75%		Debt-Service Coverage Ratio	Greater than 75%		Debt-Service Coverage Ratio	Total
Origination Year
2024	$	333	2.64	$	18	1.31	$	–	–	$	351
2023	1,373		1.90	50		1.35	–		–	1,423
2022	1,735		2.05	104		1.59	5		1.33	1,844
2021	2,335		3.34	53		1.54	–		–	2,388
2020	1,190		3.22	6		1.43	–		–	1,196
2019 and prior	10,079		2.57	142		1.59	8		1.30	10,229
Total	$	17,045		$	373		$	13		$	17,431


	As of December 31, 2023
	Less than 65%		Debt-Service Coverage Ratio	65% to 75%		Debt-Service Coverage Ratio	Greater than 75%		Debt-Service Coverage Ratio	Total
Origination Year
2023	$	1,368	1.90	$	54	1.38	$	–	–	$	1,422
2022	1,710		2.06	140		1.54	–		–	1,850
2021	2,335		3.34	61		1.55	–		–	2,396
2020	1,214		3.24	11		1.38	–		–	1,225
2019	2,446		2.40	80		1.56	10		2.33	2,536
2018 and prior	7,789		2.39	78		1.60	14		0.87	7,881
Total	$	16,862		$	424		$	24		$	17,310

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, 2024
	Performing		Nonperforming		Total
Origination Year
2024	$	54	$	–	$	54
2023	665		5		670
2022	525		23		548
2021	459		16		475
2020	76		2		78
2019 and prior	147		15		162
Total	$	1,926	$	61	$	1,987


	As of December 31, 2023
	Performing		Nonperforming		Total
Origination Year
2023	$	515	$	2	$	517
2022	533		22		555
2021	465		18		483
2020	78		3		81
2019	99		13		112
2018 and prior	53		4		57
Total	$	1,743	$	62	$	1,805

Changes in Allowance for Credit Losses on Mortgage Loans on Real Estate

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, 2024
	Commercial		Residential		Total
Balance as of beginning-of-year	$	86	$	28	$	114
Additions (reductions) from provision for credit loss
expense (1)	(2)		3		1
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Balance as of end-of-period (2)	$	84	$	31	$	115


	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

(1) 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, 2024. 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.

(2) Accrued investment income on mortgage loans on real estate totaled $69 million and $52 million as of March 31, 2024 and 2023, respectively, and was excluded from the estimate of credit losses.

Credit Loss Expense Incurred

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,
	2024		2023










Credit Loss Benefit (Expense)
Fixed maturity AFS securities:
Corporate bonds	$	(2)	$	(18)
RMBS	–		1

Total credit loss benefit (expense)	$	(2)	$	(17)

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, 2024				As of December 31, 2023
	Carrying Value		Fair Value		Carrying Value		Fair Value
Collateral payable for derivative investments (1)	$	6,934	$	6,934	$	5,250	$	5,250
Securities pledged under securities lending agreements (2)	283		274		205		197
Investments pledged for FHLBI (3)	2,900		4,032		2,650		3,603
Total payables for collateral on investments	$	10,117	$	11,240	$	8,105	$	9,050

(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 or fixed maturity AFS securities. This also includes interest payable on collateral. See Note 5 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.

Schedule of Increase (Decrease) in Payables for Collateral on Investments

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


	For the Three Months Ended March 31,
	2024		2023
Collateral payable for derivative investments	$	1,684	$	268
Securities pledged under securities lending agreements	78		(2)
Investments pledged for FHLBI	250		(175)
Total increase (decrease) in payables for collateral
on investments	$	2,012	$	91

Schedule of Securities Pledged by Contractual Maturity

The remaining contractual maturities of securities lending transactions accounted for as secured borrowings (in millions) were as follows:


	As of March 31, 2024
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater Than 90 Days		Total
Securities Lending
Corporate bonds	$	276	$	–	$	–	$	–	$	276
Foreign government bonds	1		–		–		–		1
Equity securities	6		–		–		–		6
Total gross secured borrowings	$	283	$	–	$	–	$	–	$	283


	As of December 31, 2023
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater Than 90 Days		Total
Securities Lending
Corporate bonds	$	202	$	–	$	–	$	–	$	202

Equity securities	3		–		–		–		3
Total gross secured borrowings	$	205	$	–	$	–	$	–	$	205