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Investments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2024

	Amortized Cost		Gross Unrealized				Allowance for Credit Losses		Fair Value
			Gains		Losses
Fixed maturity AFS securities:
Corporate bonds	$	76,519	$	551	$	9,744	$	13	$	67,313
U.S. government bonds	423		4		38		–		389
State and municipal bonds	2,961		27		424		–		2,564
Foreign government bonds	303		12		55		–		260
RMBS	2,000		20		219		6		1,795
CMBS	1,722		2		182		–		1,542
ABS	13,563		75		547		19		13,072
Hybrid and redeemable preferred securities	232		21		13		1		239
Total fixed maturity AFS securities	$	97,723	$	712	$	11,222	$	39	$	87,174


	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 June 30, 2024, were as follows:


	Amortized Cost		Fair Value
Due in one year or less	$	4,780	$	4,729
Due after one year through five years	17,654		16,949
Due after five years through ten years	13,904		12,645
Due after ten years	44,100		36,442
Subtotal	80,438		70,765
Structured securities (RMBS, CMBS, ABS)	17,285		16,409
Total fixed maturity AFS securities	$	97,723	$	87,174

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 June 30, 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	$	30,140	$	5,345	$	27,155	$	4,399	$	57,295	$	9,744
U.S. government bonds	88		6		198		32		286		38
State and municipal bonds	1,207		278		611		146		1,818		424
Foreign government bonds	81		25		92		30		173		55
RMBS	731		87		785		132		1,516		219
CMBS	796		93		555		89		1,351		182
ABS	3,169		172		4,680		375		7,849		547
Hybrid and redeemable
preferred securities	15		3		101		10		116		13
Total fixed maturity AFS securities	$	36,227	$	6,009	$	34,177	$	5,213	$	70,404	$	11,222

Total number of fixed maturity AFS securities in an unrealized loss position											7,467


	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 June 30, 2024, and December 31, 2023, we recognized $18 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 June 30, 2024

	Fair Value		Gross Unrealized Losses		Number of Securities (1)
Less than six months	$	3,536	$	1,067	690
Six months or greater, but less than nine months	2,352		974		496
Nine months or greater, but less than twelve months	378		156		124
Twelve months or greater	3,321		1,451		653
Total	$	9,587	$	3,648	1,963


	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 June 30, 2024
	Corporate Bonds		RMBS		ABS		Hybrids		Total
Balance as of beginning-of-period	$	10	$	6	$	4	$	1	$	21
Additions from purchases of PCD debt securities (1)	–		–		–		–		–
Additions for securities for which credit losses were
not previously recognized	1		–		15		–		16
Additions (reductions) for securities for which
credit losses were previously recognized	8		–		–		–		8
Reductions for disposed securities	(1)		–		–		–		(1)
Reductions for securities charged-off	(5)		–		–		–		(5)
Balance as of end-of-period (2)	$	13	$	6	$	19	$	1	$	39


	For the Six Months Ended June 30, 2024
	Corporate Bonds		RMBS		ABS		Hybrids		Total
Balance as of beginning-of-year	$	8	$	6	$	4	$	1	$	19
Additions from purchases of PCD debt securities (1)	–		–		–		–		–
Additions for securities for which credit losses were
not previously recognized	2		–		15		–		17
Additions (reductions) for securities for which
credit losses were previously recognized	11		–		–		–		11
Reductions for disposed securities	(3)		–		–		–		(3)
Reductions for securities charged-off	(5)		–		–		–		(5)
Balance as of end-of-period (2)	$	13	$	6	$	19	$	1	$	39


	For the Three Months Ended June 30, 2023
	Corporate Bonds		RMBS		ABS		Hybrids		Total
Balance as of beginning-of-period	$	27	$	6	$	5	$	1	$	39
Additions from purchases of PCD debt securities (1)	–		–		–		–		–
Additions for securities for which credit losses were
not previously recognized	2		–		–		–		2
Additions (reductions) for securities for which
credit losses were previously recognized	(3)		–		–		–		(3)
Reductions for securities charged-off	(13)		–		–		–		(13)
Balance as of end-of-period (2)	$	13	$	6	$	5	$	1	$	25


	For the Six Months Ended June 30, 2023
	Corporate Bonds		RMBS		ABS		Hybrids		Total
Balance as of beginning-of-year	$	9	$	7	$	5	$	1	$	22
Additions from purchases of PCD debt securities (1)	–		–		–		–		–
Additions for securities for which credit losses were							.
not previously recognized	21		–		–		–		21
Additions (reductions) for securities for which
credit losses were previously recognized	(3)		(1)		–		–		(4)
Reductions for disposed securities	(1)		–		–		–		(1)
Reductions for securities charged-off	(13)		–		–		–		(13)
Balance as of end-of-period (2)	$	13	$	6	$	5	$	1	$	25

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

(2) As of June 30, 2024 and 2023, accrued investment income on fixed maturity AFS securities totaled $906 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 June 30, 2024						As of December 31, 2023
	Commercial		Residential		Total		Commercial		Residential		Total
Current	$	17,522	$	2,583	$	20,105	$	17,256	$	1,665	$	18,921
30 to 59 days past due	–		30		30		61		28		89
60 to 89 days past due	22		13		35		–		9		9
90 or more days past due	34		59		93		–		60		60
Allowance for credit losses	(93)		(40)		(133)		(86)		(28)		(114)
Unamortized premium (discount)	(6)		62		56		(7)		43		36
Mark-to-market gains (losses) (1)	(33)		(1)		(34)		(37)		(1)		(38)
Total carrying value	$	17,446	$	2,706	$	20,152	$	17,187	$	1,776	$	18,963

(1) Represents the mark-to-market on certain mortgage loans on real estate that support our modified coinsurance agreements where the investment results are passed directly to the reinsurers, and for which we have elected the fair value option. As of June 30, 2024, and December 31, 2023, $30 million and less than $1 million, respectively, of such mortgage loans on real estate were 90 or more days past due. 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, excluding certain mortgage loans on real estate that support our modified coinsurance agreements where the investment results are passed directly to the reinsurers:


	As of June 30, 2024		As of December 31, 2023

Commercial mortgage loans on real estate	$	26	$	–
Residential mortgage loans on real estate	60		–
Total	$	86	$	–

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 June 30, 2024
	LTV Less Than 65%		Debt-Service Coverage Ratio	LTV 65% to 75%		Debt-Service Coverage Ratio	LTV Greater Than 75%		Debt-Service Coverage Ratio	Total
Origination Year
2024	$	746	1.47	$	31	1.32	$	–	–	$	777
2023	1,377		1.63	47		1.33	–		–	1,424
2022	1,735		1.74	100		1.41	1		1.17	1,836
2021	2,314		2.04	49		1.47	–		–	2,363
2020	1,185		2.47	4		1.05	–		–	1,189
2019 and prior	9,849		2.72	134		1.32	–		–	9,983
Total	$	17,206		$	365		$	1		$	17,572


	As of December 31, 2023
	LTV Less Than 65%		Debt-Service Coverage Ratio	LTV 65% to 75%		Debt-Service Coverage Ratio	LTV 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 June 30, 2024
	Performing		Nonperforming		Total
Origination Year
2024	$	957	$	–	$	957
2023	556		4		560
2022	512		24		536
2021	448		15		463
2020	73		3		76
2019 and prior	141		14		155
Total	$	2,687	$	60	$	2,747


	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 June 30, 2024
	Commercial		Residential		Total
Balance as of beginning-of-period	$	84	$	31	$	115
Additions (reductions) from provision for credit loss
expense (1)	9		9		18
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Balance as of end-of-period (2)	$	93	$	40	$	133


	For the Six Months Ended June 30, 2024
	Commercial		Residential		Total
Balance as of beginning-of-year	$	86	$	28	$	114
Additions (reductions) from provision for credit loss
expense (1)	7		12		19
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Balance as of end-of-period (2)	$	93	$	40	$	133


	For the Three Months Ended June 30, 2023
	Commercial		Residential		Total
Balance as of beginning-of-period	$	83	$	20	$	103
Additions (reductions) from provision for credit loss
expense (1)	(1)		3		2
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Balance as of end-of-period (2)	$	82	$	23	$	105


	For the Six Months Ended June 30, 2023
	Commercial		Residential		Total
Balance as of beginning-of-year	$	84	$	15	$	99
Additions (reductions) from provision for credit loss
expense (1)	(2)		8		6
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Balance as of end-of-period (2)	$	82	$	23	$	105

(1) We recognized less than $1 million and $(1) million of credit loss benefit (expense) related to unfunded commitments for mortgage loans on real estate for the three months ended June 30, 2024 and 2023, respectively, and $1 million and $(1) million for the six months ended June 30, 2024 and 2023, respectively.

(2) Accrued investment income on mortgage loans on real estate totaled $81 million and $53 million as of June 30, 2024 and 2023, respectively, and was excluded from the estimate of credit losses.

Credit Loss Expense Incurred

Details underlying intent to sell impairments and 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 June 30,				For the Six Months Ended June 30,
	2024		2023		2024		2023
Intent to Sell Impairments (1)
Fixed maturity AFS securities:
Corporate bonds	$	–	$	(518)	$	–	$	(518)
State and municipal bonds	–		(20)		–		(20)
RMBS	–		(19)		–		(19)
CMBS	–		(31)		–		(31)
ABS	–		(35)		–		(35)
Hybrid and redeemable preferred securities	–		(1)		–		(1)
Total intent to sell impairments	$	–	$	(624)	$	–	$	(624)

Credit Loss Benefit (Expense)
Fixed maturity AFS securities:
Corporate bonds	$	(8)	$	1	$	(10)	$	(17)
RMBS	–		–		–		1
ABS	(15)		–		(15)		–
Total credit loss benefit (expense)	$	(23)	$	1	$	(25)	$	(16)

(1) The three and six months ended June 30, 2023, include impairments of certain fixed maturity AFS securities in an unrealized loss position, resulting from the Company's intent to sell these securities as part of the fourth quarter 2023 reinsurance transaction.

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 June 30, 2024				As of December 31, 2023
	Carrying Value		Fair Value		Carrying Value		Fair Value
Collateral payable for derivative investments (1)	$	7,712	$	7,712	$	5,250	$	5,250
Securities pledged under securities lending agreements (2)	202		194		205		197
Investments pledged for FHLBI (3)	3,200		4,396		2,650		3,603
Total payables for collateral on investments	$	11,114	$	12,302	$	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 Six Months Ended June 30,
	2024		2023
Collateral payable for derivative investments	$	2,462	$	1,338
Securities pledged under securities
lending agreements	(3)		(8)
Investments pledged for FHLBI	550		(980)
Total increase (decrease) in payables for
collateral on investments	$	3,009	$	350

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 June 30, 2024
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater Than 90 Days		Total
Securities Lending
Corporate bonds	$	180	$	–	$	–	$	–	$	180

Equity securities	7		–		–		–		7
U.S. government bonds	15		–		–		–		15
Total gross secured borrowings	$	202	$	–	$	–	$	–	$	202


	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