
	As of June 30, 2024
	Amortized Cost		Gross Unrealized				Allowance for Credit Losses			Fair Value
			Gains		Losses
Fixed maturity AFS securities:
Corporate bonds	$	68,308	$	547	$	6,819		$	13		$	62,023
U.S. government bonds	422		3		37			–			388
State and municipal bonds	2,449		45		254			–			2,240
Foreign government bonds	298		12		54			–			256
RMBS	1,696		20		156			6			1,554
CMBS	1,556		4		158			–			1,402
ABS	13,424		75		533			19			12,947
Hybrid and redeemable preferred securities	218		22		12			1			227
Total fixed maturity AFS securities	$	88,371	$	728	$	8,023		$	39		$	81,037


	As of December 31, 2023
	Amortized Cost		Gross Unrealized				Allowance for Credit Losses			Fair Value
			Gains		Losses
Fixed maturity AFS securities:
Corporate bonds	$	68,811	$	820	$	5,757		$	8		$	63,866
U.S. government bonds	414		7		28			–			393
State and municipal bonds	2,675		97		230			–			2,542
Foreign government bonds	309		15		46			–			278
RMBS	1,719		27		138			6			1,602
CMBS	1,520		5		181			–			1,344
ABS	12,556		62		571			4			12,043
Hybrid and redeemable preferred securities	227		21		15			1			232
Total fixed maturity AFS securities	$	88,231	$	1,054	$	6,966		$	19		$	82,300


	Amortized Cost		Fair Value
Due in one year or less	$	4,818	$	4,766
Due after one year through five years	17,915		17,243
Due after five years through ten years	14,005		12,954
Due after ten years	34,957		30,171
Subtotal	71,695		65,134
Structured securities (RMBS, CMBS, ABS)	16,676		15,903
Total fixed maturity AFS securities	$	88,371	$	81,037

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	$	21,263	$	2,618	$	26,263	$	4,201	$	47,526	$	6,819
U.S. government bonds	88		5		198		32		286		37
State and municipal bonds	689		118		563		136		1,252		254
Foreign government bonds	77		24		89		30		166		54
RMBS	516		37		744		119		1,260		156
CMBS	637		68		555		90		1,192		158
ABS	3,052		158		4,679		375		7,731		533
Hybrid and redeemable
preferred securities	10		2		100		10		110		12
Total fixed maturity AFS securities	$	26,332	$	3,030	$	33,191	$	4,993	$	59,523	$	8,023

Total number of fixed maturity AFS securities in an unrealized loss position											7,077


	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	$	13,439	$	1,744	$	33,285	$	4,013	$	46,724	$	5,757
U.S. government bonds	65		6		194		22		259		28
State and municipal bonds	371		72		814		158		1,185		230
Foreign government bonds	108		31		57		15		165		46
RMBS	355		20		840		118		1,195		138
CMBS	583		56		586		125		1,169		181
ABS	1,898		68		7,212		503		9,110		571
Hybrid and redeemable
preferred securities	32		2		94		13		126		15
Total fixed maturity AFS securities	$	16,851	$	1,999	$	43,082	$	4,967	$	59,933	$	6,966

Total number of fixed maturity AFS securities in an unrealized loss position											7,167

(1) As of June 30, 2024, and December 31, 2023, we recognized $18 million and $7 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	$	3,456	$	1,043	677
Six months or greater, but less than nine months	2,310		961		493
Nine months or greater, but less than twelve months	378		157		124
Twelve months or greater	3,173		1,383		641
Total	$	9,317	$	3,544	1,935


	As of December 31, 2023
	Fair Value		Gross Unrealized Losses		Number of Securities (1)
Less than six months	$	2,480	$	916	529
Six months or greater, but less than nine months	321		90		79
Nine months or greater, but less than twelve months	321		106		87
Twelve months or greater	3,485		1,336		704
Total	$	6,607	$	2,448	1,399

Our gross unrealized losses on fixed maturity AFS securities increased by $1.1 billion for the six months ended June 30, 2024. As discussed further below, we do not believe the unrealized loss position as of June 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 June 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 June 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 June 30, 2024, and December 31, 2023, 96% of the fair value of our corporate bond portfolio was rated investment grade. As of June 30, 2024, and December 31, 2023, the portion of our corporate bond portfolio rated below investment grade had an amortized cost of $2.7 billion and a fair value of $2.6 billion. Based upon the analysis discussed above, we believe that as of June 30, 2024, and December 31, 2023, we would have recovered the amortized cost of each corporate bond.

As of June 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 June 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 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	$	26	$	6	$	4	$	1	$	37
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)		–		1		–		(2)

Reductions for securities charged-off	(12)		–		–		–		(12)
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	$	4	$	1	$	21
Additions from purchases of PCD debt securities (1)	–		–		–		–		–
Additions for securities for which credit losses were
not previously recognized	20		–		–		–		20
Additions (reductions) for securities for which
credit losses were previously recognized	(3)		(1)		1		–		(3)
Reductions for disposed securities	(1)		–		–		–		(1)
Reductions for securities charged-off	(12)		–		–		–		(12)
Balance as of end-of-period (2)	$	13	$	6	$	5	$	1	$	25


	As of June 30, 2024						As of December 31, 2023
	Commercial		Residential		Total		Commercial		Residential		Total
Current	$	17,377	$	2,583	$	19,960	$	17,165	$	1,665	$	18,830
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	(92)		(40)		(132)		(86)		(28)		(114)
Unamortized premium (discount)	(6)		62		56		(7)		43		36
Mark-to-market gains (losses) (1)	(33)		(1)		(34)		(36)		(1)		(37)
Total carrying value	$	17,302	$	2,706	$	20,008	$	17,097	$	1,776	$	18,873

(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 12 for additional information.

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

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 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	1,345		1.58	47		1.33	–		–	1,392
2022	1,732		1.74	100		1.41	1		1.17	1,833
2021	2,296		2.03	49		1.47	–		–	2,345
2020	1,176		2.46	4		1.05	–		–	1,180
2019 and prior	9,766		2.72	134		1.32	–		–	9,900
Total	$	17,061		$	365		$	1		$	17,427


	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	$	1,366	1.90	$	54	1.38	$	–	–	$	1,420
2022	1,709		2.07	140		1.54	–		–	1,849
2021	2,317		3.34	61		1.55	–		–	2,378
2020	1,205		3.23	11		1.38	–		–	1,216
2019	2,404		2.39	80		1.56	10		2.33	2,494
2018 and prior	7,770		2.39	78		1.60	14		0.87	7,862
Total	$	16,771		$	424		$	24		$	17,219

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 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

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 June 30, 2024
	Commercial		Residential		Total
Balance as of beginning-of-period	$	84	$	31	$	115
Additions (reductions) from provision for credit loss
expense (1)	8		9		17
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Balance as of end-of-period (2)	$	92	$	40	$	132


	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)	6		12		18
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Balance as of end-of-period (2)	$	92	$	40	$	132


	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)	(2)		3		1
Additions from purchases of PCD mortgage loans on
real estate	–		–		–
Balance as of end-of-period (2)	$	81	$	23	$	104


	For the Six Months Ended June 30, 2023
	Commercial		Residential		Total
Balance as of beginning-of-year	$	83	$	15	$	98
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)	$	81	$	23	$	104

(1) We recognized less than $1 million and $(2) 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.

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	$	–	$	(2,748)	$	–	$	(2,748)
State and municipal bonds	–		(151)		–		(151)
RMBS	–		(55)		–		(55)
CMBS	–		(52)		–		(52)
ABS	–		(53)		–		(53)
Hybrid and redeemable preferred securities	–		(3)		–		(3)
Total intent to sell impairments	$	–	$	(3,062)	$	–	$	(3,062)

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

(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.

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)	$	7,608	$	7,608	$	5,127	$	5,127
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	$	11,010	$	12,198	$	7,982	$	8,927

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


	For the Six Months Ended June 30,
	2024		2023
Collateral payable for derivative investments	$	2,481	$	1,312
Securities pledged under securities
lending agreements	(3)		(8)
Investments pledged for FHLBI	550		(980)
Total increase (decrease) in payables for
collateral on investments	$	3,028	$	324

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 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

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 June 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 June 30, 2024, the fair value of this collateral received that we are permitted to sell or re-pledge was $1.0 billion, and we had re-pledged $60 million of this collateral to cover our collateral requirements.

As of June 30, 2024, our investment commitments were $4.1 billion, which included $3.1 billion of limited partnerships (“LPs”), $595 million of mortgage loans on real estate and $398 million of private placement securities.

As of June 30, 2024, our most significant investments in one issuer were our investments in securities issued by White Chapel V LLC and White Chapel LLC with a fair value of $1.5 billion and $1.1 billion, respectively, or 1% of total investments. As of December 31, 2023, our most significant investments in one issuer were our investments in securities issued by White Chapel V LLC and White Chapel LLC with a fair value of $1.3 billion and $1.0 billion, respectively, or 1% of total investments. These concentrations include fixed maturity AFS, trading and equity securities.