
	As of September 30, 2024

	Amortized Cost		Gross Unrealized				Allowance for Credit Losses		Fair Value
			Gains		Losses
Fixed maturity AFS securities:
Corporate bonds	$	76,437	$	1,035	$	7,221	$	17	$	70,234
U.S. government bonds	416		7		25		–		398
State and municipal bonds	2,848		52		333		–		2,567
Foreign government bonds	283		16		47		–		252
RMBS	2,009		36		156		7		1,882
CMBS	1,766		12		135		–		1,643
ABS	13,681		126		340		23		13,444
Hybrid and redeemable preferred securities	248		27		12		1		262
Total fixed maturity AFS securities	$	97,688	$	1,311	$	8,269	$	48	$	90,682


	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


	Amortized Cost		Fair Value
Due in one year or less	$	4,724	$	4,697
Due after one year through five years	17,756		17,435
Due after five years through ten years	13,742		13,028
Due after ten years	44,010		38,553
Subtotal	80,232		73,713
Structured securities (RMBS, CMBS, ABS)	17,456		16,969
Total fixed maturity AFS securities	$	97,688	$	90,682

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 September 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	$	26,120	$	3,992	$	26,231	$	3,229	$	52,351	$	7,221
U.S. government bonds	38		2		223		23		261		25
State and municipal bonds	985		192		709		141		1,694		333
Foreign government bonds	49		18		100		29		149		47
RMBS	472		57		764		99		1,236		156
CMBS	731		66		515		69		1,246		135
ABS	2,871		119		3,898		221		6,769		340
Hybrid and redeemable
preferred securities	18		3		89		9		107		12
Total fixed maturity AFS securities	$	31,284	$	4,449	$	32,529	$	3,820	$	63,813	$	8,269

Total number of fixed maturity AFS securities in an unrealized loss position											6,458


	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 September 30, 2024, and December 31, 2023, we recognized $15 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 September 30, 2024

	Fair Value		Gross Unrealized Losses		Number of Securities (1)
Less than six months	$	700	$	254	294
Six months or greater, but less than nine months	80		35		42
Nine months or greater, but less than twelve months	1,658		639		367
Twelve months or greater	3,300		1,285		597
Total	$	5,738	$	2,213	1,300


	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

Our gross unrealized losses on fixed maturity AFS securities decreased by $1.5 billion for the nine months ended September 30, 2024. As discussed further below, we do not believe the unrealized loss position as of September 30, 2024, required 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 September 30, 2024, 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 September 30, 2024, 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 September 30, 2024, and December 31, 2023, 96% of the fair value of our corporate bond portfolio was rated investment grade. As of September 30, 2024, and December 31, 2023, the portion of our corporate bond portfolio rated below investment grade had an amortized cost of $3.0 billion, and a fair value of $2.9 billion and $2.8 billion, respectively. Based upon the analysis discussed above, we believe that as of September 30, 2024, and December 31, 2023, we would have recovered the amortized cost of each corporate bond.

As of September 30, 2024, the unrealized losses associated with our mortgage-backed securities (“MBS”) and asset-backed securities (“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 September 30, 2024, 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.

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 September 30, 2024
	Corporate Bonds		RMBS		ABS		Hybrids		Total
Balance as of beginning-of-period	$	13	$	6	$	19	$	1	$	39
Additions from purchases of PCD debt securities (1)	–		–		–		–		–
Additions for securities for which credit losses were
not previously recognized	6		–		1		–		7
Additions (reductions) for securities for which
credit losses were previously recognized	4		1		3		–		8
Reductions for disposed securities	(1)		–		–		–		(1)
Reductions for securities charged-off	(5)		–		–		–		(5)
Balance as of end-of-period (2)	$	17	$	7	$	23	$	1	$	48


	For the Nine Months Ended September 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	8		–		15		–		23
Additions (reductions) for securities for which
credit losses were previously recognized	12		1		4		–		17
Reductions for disposed securities	–		–		–		–		–
Reductions for securities charged-off	(11)		–		–		–		(11)
Balance as of end-of-period (2)	$	17	$	7	$	23	$	1	$	48


	For the Three Months Ended September 30, 2023
	Corporate Bonds		RMBS		ABS		Hybrids		Total
Balance as of beginning-of-period	$	13	$	6	$	5	$	1	$	25
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	–		–		–		–		–
Reductions for securities charged-off	(5)		–		–		–		(5)
Balance as of end-of-period (2)	$	9	$	6	$	5	$	1	$	21


	For the Nine Months Ended September 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	(2)		(1)		–		–		(3)
Reductions for disposed securities	(1)		–		–		–		(1)
Reductions for securities charged-off	(18)		–		–		–		(18)
Balance as of end-of-period (2)	$	9	$	6	$	5	$	1	$	21

(2) As of September 30, 2024 and 2023, accrued investment income on fixed maturity AFS securities totaled $927 million and $1.2 billion, respectively, and was excluded from the estimate of credit losses.

Losses from debt instrument modifications were less than $1 million for the three months ended September 30, 2024 and 2023, and $3 million and less than $1 million for the nine months ended September 30, 2024 and 2023, respectively, reported in realized gain (loss) on the Consolidated Statements of Comprehensive Income (Loss).


	As of September 30, 2024						As of December 31, 2023
	Commercial		Residential		Total		Commercial		Residential		Total
Current	$	17,684	$	3,064	$	20,748	$	17,256	$	1,665	$	18,921
30 to 59 days past due	85		34		119		61		28		89
60 to 89 days past due	–		20		20		–		9		9
90 or more days past due	55		60		115		–		60		60
Allowance for credit losses	(123)		(47)		(170)		(86)		(28)		(114)
Unamortized premium (discount)	(16)		73		57		(7)		43		36
Mark-to-market gains (losses) (1)	(33)		–		(33)		(37)		(1)		(38)
Total carrying value	$	17,652	$	3,204	$	20,856	$	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 September 30, 2024, the amortized cost and fair value of such mortgage loans on real estate that were in nonaccrual status was $30 million and $21 million, respectively. As of December 31, 2023, the amortized cost and fair value of such mortgage loans on real estate that were in nonaccrual status was less than $1 million. As of September 30, 2024 and December 31, 2023, there were no such mortgage loans on real estate that were more than 90 days past due and still accruing interest. See Note 13 for additional information.

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:

We use loan-to-value (“LTV”) 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 September 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	$	1,197	1.64	$	58	1.30	$	–	–	$	1,255
2023	1,378		1.75	45		1.36	–		–	1,423
2022	1,731		2.05	95		1.55	5		1.31	1,831
2021	2,307		3.08	47		1.52	–		–	2,354
2020	1,177		3.16	4		1.53	–		–	1,181
2019 and prior	9,629		2.35	127		1.58	8		1.30	9,764
Total	$	17,419		$	376		$	13		$	17,808


	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

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 September 30, 2024
	Performing		Nonperforming		Total
Origination Year
2024	$	1,260	$	–	$	1,260
2023	790		7		797
2022	498		26		524
2021	435		13		448
2020	70		2		72
2019 and prior	136		14		150
Total	$	3,189	$	62	$	3,251


	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

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.


	For the Three Months Ended September 30, 2024
	Commercial		Residential		Total
Balance as of beginning-of-period	$	93	$	40	$	133
Additions (reductions) from provision for credit loss
expense (1)	40		7		47
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Reductions for mortgage loans on real estate charged-off	(10)		–		(10)
Balance as of end-of-period (2)	$	123	$	47	$	170


	For the Nine Months Ended September 30, 2024
	Commercial		Residential		Total
Balance as of beginning-of-year	$	86	$	28	$	114
Additions (reductions) from provision for credit loss
expense (1)	47		19		66
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Reductions for mortgage loans on real estate charged-off	(10)		–		(10)
Balance as of end-of-period (2)	$	123	$	47	$	170


	For the Three Months Ended September 30, 2023
	Commercial		Residential		Total
Balance as of beginning-of-period	$	82	$	23	$	105
Additions (reductions) from provision for credit loss
expense (1)	7		1		8
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Balance as of end-of-period (2)	$	89	$	24	$	113


	For the Nine Months Ended September 30, 2023
	Commercial		Residential		Total
Balance as of beginning-of-year	$	84	$	15	$	99
Additions (reductions) from provision for credit loss
expense (1)	5		9		14
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Balance as of end-of-period (2)	$	89	$	24	$	113

(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 September 30, 2024 and 2023, respectively, and $1 million and $(2) million for the nine months ended September 30, 2024 and 2023, respectively.

As of September 30, 2024, and December 31, 2023, alternative investments included investments in 361 and 352 different partnerships, respectively, and represented approximately 3% of total investments.

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 September 30,				For the Nine Months Ended September 30,
	2024		2023		2024		2023
Intent to Sell Impairments (1)
Fixed maturity AFS securities:
Corporate bonds	$	–	$	(422)	$	–	$	(941)
State and municipal bonds	–		(28)		–		(48)
RMBS	–		(9)		–		(28)
CMBS	–		(5)		–		(36)
ABS	–		(2)		–		(37)
Hybrid and redeemable preferred securities	–		(1)		–		(1)
Total intent to sell impairments	$	–	$	(467)	$	–	$	(1,091)

Credit Loss Benefit (Expense)
Fixed maturity AFS securities:
Corporate bonds	$	(9)	$	(1)	$	(20)	$	(18)
RMBS	(1)		–		(1)		1
ABS	(4)		–		(19)		–
Total credit loss benefit (expense)	$	(14)	$	(1)	$	(40)	$	(17)

(1) The three and nine months ended September 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.

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 September 30, 2024				As of December 31, 2023
	Carrying Value		Fair Value		Carrying Value		Fair Value
Collateral payable for derivative investments (1)	$	7,185	$	7,185	$	5,250	$	5,250
Securities pledged under securities lending agreements (2)	185		178		205		197
Investments pledged for FHLBI (3)	3,200		4,548		2,650		3,603
Total payables for collateral on investments	$	10,570	$	11,911	$	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.

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 September 30, 2024, and December 31, 2023, we were not participating in any open repurchase agreements.


	For the Nine Months Ended September 30,
	2024		2023
Collateral payable for derivative investments	$	1,935	$	1,552
Securities pledged under securities
lending agreements	(20)		(8)
Investments pledged for FHLBI	550		(210)
Total increase (decrease) in payables for
collateral on investments	$	2,465	$	1,334

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 September 30, 2024
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater Than 90 Days		Total
Securities Lending
Corporate bonds	$	168	$	–	$	–	$	–	$	168

Equity securities	17		–		–		–		17

Total gross secured borrowings	$	185	$	–	$	–	$	–	$	185


	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

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 September 30, 2024, the fair value of this collateral received that we are permitted to sell or re-pledge was $25 million, and we had not re-pledged any of this collateral to cover our collateral requirements.

We also accept collateral from derivative counterparties in the form of securities that we are permitted to sell or re-pledge. As of September 30, 2024, the fair value of this collateral received that we are permitted to sell or re-pledge was $2.3 billion, and we had re-pledged $11 million of this collateral to cover our collateral requirements.

As of September 30, 2024, our investment commitments were $5.0 billion, which included $3.2 billion of limited partnerships (“LPs”), $1.5 billion of mortgage loans on real estate and $287 million of private placement securities.

As of September 30, 2024, and December 31, 2023, our most significant investments in one issuer were our investments in securities issued by the Federal National Mortgage Association with a fair value of $854 million and $739 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 $573 million and $570 million, respectively, or less than 1% and 1%, respectively, of total investments. These concentrations include fixed maturity AFS, trading and equity securities.