INVESTMENTS

9 Months Ended

Sep. 30, 2023

Investments, Debt and Equity Securities [Abstract]

INVESTMENTS

INVESTMENTS

Fixed Maturities AFS

The components of fair value and amortized cost for fixed maturities classified as AFS on the consolidated balance sheets excludes accrued interest receivable because the Company elected to present accrued interest receivable within other assets. Accrued interest receivable on AFS fixed maturities as of September 30, 2023 and December 31, 2022 was $568 million and $550 million, respectively. There was no accrued interest written off for AFS fixed maturities for the three and nine months ended September 30, 2023 and 2022.

The following tables provide information relating to the Company’s fixed maturities classified as AFS:

AFS Fixed Maturities by Classification

	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	(in millions)
September 30, 2023
Fixed Maturities:
Corporate (1)	$	43,440	$	2	$	57	$	7,365	$	36,130
U.S. Treasury, government and agency	5,642		—		—		1,564		4,078
States and political subdivisions	525		—		2		85		442
Foreign governments	791		—		1		160		632
Residential mortgage-backed (2)	982		—		—		115		867
Asset-backed (3)	8,685		—		13		200		8,498
Commercial mortgage-backed	3,747		—		1		658		3,090
Redeemable preferred stock	41		—		2		—		43
Total at September 30, 2023	$	63,853	$	2	$	76	$	10,147	$	53,780
December 31, 2022:
Fixed Maturities:
Corporate (1)	$	46,053	$	24	$	89	$	6,655	$	39,463
U.S. Treasury, government and agency	7,049		—		1		1,312		5,738
States and political subdivisions	540		—		7		76		471
Foreign governments	985		—		2		151		836
Residential mortgage-backed (2)	860		—		1		84		777
Asset-backed (3)	8,817		—		3		371		8,449
Commercial mortgage-backed	3,742		—		—		572		3,170
Redeemable preferred stock	41		—		2		—		43
Total at December 31, 2022	$	68,087	$	24	$	105	$	9,221	$	58,947

______________

(1)Corporate fixed maturities include both public and private issues.

(2)Includes publicly traded agency pass-through securities and collateralized obligations.

(3)Includes credit-tranched securities collateralized by sub-prime mortgages, credit risk transfer securities and other asset types.

The contractual maturities of AFS fixed maturities as of September 30, 2023 are shown in the table below. Bonds not due at a single maturity date have been included in the table in the final year of maturity. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Contractual Maturities of AFS Fixed Maturities

	Amortized Cost (Less Allowance for Credit Losses)		Fair Value
	(in millions)
September 30, 2023:
Contractual maturities:
Due in one year or less	$	1,204	$	1,193
Due in years two through five	12,493		11,722
Due in years six through ten	13,842		12,089
Due after ten years	22,857		16,278
Subtotal	50,396		41,282
Residential mortgage-backed	982		867
Asset-backed	8,685		8,498
Commercial mortgage-backed	3,747		3,090
Redeemable preferred stock	41		43
Total at September 30, 2023	$	63,851	$	53,780

The following table shows proceeds from sales, gross gains (losses) from sales and allowance for credit losses for AFS fixed maturities:

Proceeds from Sales, Gross Gains (Losses) from Sales and Allowance for Credit and Intent to Sell Losses for AFS Fixed Maturities

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
	(in millions)
Proceeds from sales	$	2,352	$	878	$	5,313	$	11,512
Gross gains on sales (1)	$	1	$	—	$	8	$	38
Gross losses on sales (2)	$	(445)	$	(73)	$	(509)	$	(663)
Net (increase) decrease in Allowance for Credit and Intent to Sell losses	$	—	$	(248)	$	(62)	$	(251)

______________

(1)Includes $0 million and $0 million for the three and nine months ended September 30, 2023, respectively, and $0 million and $0 million for the three and nine months ended September 30, 2022, respectively, of gross gains related to funds withheld assets held by the Company in support of Equitable America’s reinsurance obligations to the Company. These realized gains are included in other investment gains (losses), net.

(2)Includes $101 million, and $135 million for the three and nine months ended September 30, 2023, respectively, and $0 million and $0 million for the three and nine months ended September 30, 2022, respectively, of gross losses related to funds withheld assets held by the Company in support of Equitable America’s reinsurance obligations to the Company. These realized losses are included in other investment gains (losses), net.

The following table sets forth the amount of credit loss impairments on AFS fixed maturities held by the Company at the dates indicated and the corresponding changes in such amounts:

AFS Fixed Maturities - Credit and Intent to Sell Loss Impairments

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
	(in millions)
Balance, beginning of period	$	44	$	32	$	36	$	42
Previously recognized impairments on securities that matured, paid, prepaid or sold	(1)		(2)		(56)		(15)
Recognized impairments on securities impaired to fair value this period (1) (2)	—		251		50		251
Credit losses recognized this period on securities for which credit losses were not previously recognized	1		(1)		10		—
Additional credit losses this period on securities previously impaired	—		5		4		7
Balance, end of period	$	44	$	285	$	44	$	285

______________

(1)Represents circumstances where the Company determined in the current period that it intends to sell the security, or it is more likely than not that it will be required to sell the security before recovery of the security’s amortized cost.

(2)Amounts reflected for the nine months ended September 30, 2023 represent AFS fixed maturities in an unrealized loss position, which the Company sold in anticipation of the Company’s ordinary dividend to Holdings.

The tables below present a roll-forward of net unrealized investment gains (losses) recognized in AOCI:

Net Unrealized Gains (Losses) on AFS Fixed Maturities

	Three Months Ended September 30, 2023
	Net Unrealized Gains (Losses) on Investments		Policyholders’ Liabilities		Deferred Income Tax Asset (Liability)		AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in millions)
Balance, beginning of period	$	(8,187)	$	11	$	1,717	$	(6,459)
Net investment gains (losses) arising during the period	(2,329)		—		—		(2,329)
Reclassification adjustment:
Included in net income (loss)	444		—		—		444
Impact of net unrealized investment gains (losses)	—		8		394		402
Net unrealized investment gains (losses) excluding credit losses	(10,072)		19		2,111		(7,942)
Net unrealized investment gains (losses) with credit losses	1		—		—		1
Balance, end of period	$	(10,071)	$	19	$	2,111	$	(7,941)

	Three Months Ended September 30, 2022
	Net Unrealized Gains (Losses) on Investments		Policyholders’ Liabilities		Deferred Income Tax Asset (Liability)		AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in millions)
Balance, beginning of period	$	(6,647)	$	25	$	1,391	$	(5,231)
Net investment gains (losses) arising during the period	(3,811)		—		—		(3,811)
Reclassification adjustment:
Included in net income (loss)	327		—		—		327
Impact of net unrealized investment gains (losses)	—		8		730		738
Net unrealized investment gains (losses) excluding credit losses	(10,131)		33		2,121		(7,977)
Net unrealized investment gains (losses) with credit losses	1		—		—		1
Balance, end of period	$	(10,130)	$	33	$	2,121	$	(7,976)

	Nine Months Ended September 30, 2023
	Net Unrealized Gains (Losses) on Investments		Policyholders’ Liabilities		Deferred Income Tax Asset (Liability)		AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in millions)
Balance, beginning of period	$	(9,116)	$	21	$	420	$	(8,675)
Net investment gains (losses) arising during the period	(1,514)		—		—		(1,514)
Reclassification adjustment:
Included in net income (loss)	564		—		—		564
Impact of net unrealized investment gains (losses)	—		(2)		1,690		1,688
Net unrealized investment gains (losses) excluding credit losses	(10,066)		19		2,110		(7,937)
Net unrealized investment gains (losses) with credit losses	(5)		—		1		(4)
Balance, end of period	$	(10,071)	$	19	$	2,111	$	(7,941)
	Nine Months Ended September 30, 2022
	Net Unrealized Gains (Losses) on Investments		Policyholders’ Liabilities		Deferred Income Tax Asset (Liability)		AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in millions)
Balance, beginning of period	$	4,462	$	(703)	$	(790)	$	2,969
Net investment gains (losses) arising during the period	(15,466)		—		—		(15,466)
Reclassification adjustment:
Included in net income (loss)	881		—		—		881
Impact of net unrealized investment gains (losses)	—		736		2,909		3,645
Net unrealized investment gains (losses) excluding credit losses	(10,123)		33		2,119		(7,971)
Net unrealized investment gains (losses) with credit losses	(7)		—		2		(5)
Balance, end of period	$	(10,130)	$	33	$	2,121	$	(7,976)

The following tables disclose the fair values and gross unrealized losses of the 4,902 issues as of September 30, 2023 and the 4,798 issues as of December 31, 2022 that are not deemed to have credit losses, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position for the specified periods at the dates indicated:

AFS Fixed Maturities in an Unrealized Loss Position for Which No Allowance Is Recorded

	Less Than 12 Months				12 Months or Longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in millions)
September 30, 2023
Fixed Maturities:
Corporate	$	4,098	$	226	$	29,132	$	7,139	$	33,230	$	7,365
U.S. Treasury, government and agency	169		7		3,908		1,557		4,077		1,564
States and political subdivisions	114		1		219		84		333		85
Foreign governments	17		1		556		159		573		160
Residential mortgage-backed	188		5		666		110		854		115
Asset-backed	785		7		6,216		193		7,001		200
Commercial mortgage-backed	129		4		2,899		654		3,028		658
Total at September 30, 2023	$	5,500	$	251	$	43,596	$	9,896	$	49,096	$	10,147
December 31, 2022:
Fixed Maturities:
Corporate	$	22,034	$	2,431	$	15,014	$	4,222	$	37,048	$	6,653
U.S. Treasury, government and agency	5,465		1,294		204		18		5,669		1,312
States and political subdivisions	91		18		158		58		249		76
Foreign governments	349		42		418		109		767		151
Residential mortgage-backed	665		49		79		35		744		84
Asset-backed	6,262		228		1,759		143		8,021		371
Commercial mortgage-backed	1,572		200		1,580		372		3,152		572
Total at December 31, 2022	$	36,438	$	4,262	$	19,212	$	4,957	$	55,650	$	9,219

The Company maintains a diversified portfolio of corporate securities across industries and issuers and does not have exposure to any single issuer in excess of 1.1% of total corporate securities. The largest exposures to a single issuer of corporate securities held as of September 30, 2023 and December 31, 2022 were $400 million and $327 million, respectively, representing 18.5% and 30.4% of the total consolidated equity of the Company.

Corporate high yield securities, consisting primarily of public high yield bonds, are classified as other than investment grade by the various rating agencies, i.e., a rating below Baa3/BBB- or the NAIC designation of 3 (medium investment grade), 4 or 5 (below investment grade) or 6 (in or near default). As of September 30, 2023 and December 31, 2022, respectively, approximately $2.6 billion and $2.9 billion, or 4.1% and 4.3%, of the $63.9 billion and $68.1 billion aggregate amortized cost of fixed maturities held by the Company were considered to be other than investment grade. These securities had gross unrealized losses of $151 million and $208 million as of September 30, 2023 and December 31, 2022, respectively.

As of September 30, 2023 and December 31, 2022, respectively, the $9.9 billion and $5.0 billion of gross unrealized losses of twelve months or more were primarily concentrated in corporate securities. In accordance with the policy described in Note 2 of the Notes to these Consolidated Financial Statements, the Company concluded that an adjustment to the allowance for credit losses for these securities was not warranted at either September 30, 2023 or December 31, 2022. As of September 30, 2023 and December 31, 2022, the Company did not intend to sell the securities nor will it likely be required to dispose of the securities before the anticipated recovery of their remaining amortized cost basis.

Based on the Company’s evaluation both qualitatively and quantitatively of the drivers of the decline in fair value of fixed maturity securities as of September 30, 2023, the Company determined that the unrealized loss was primarily due to increases in interest rates and credit spreads.

Securities Lending

The Company has entered into securities lending agreements with an agent bank whereby blocks of securities are loaned to third parties, primarily major brokerage firms. As of September 30, 2023, the estimated fair value of loaned securities was $84 million. The agreements require a minimum of 102% of the fair value of the loaned securities to be held as cash collateral, calculated daily. To further minimize the credit risks related to these programs, the financial condition of counterparties is monitored on a regular basis. As of September 30, 2023, cash collateral received in the amount of $86 million was invested by the agent bank. A securities lending payable for the overnight and continuous loans is included in other liabilities in the amount of cash collateral received. Securities lending transactions are used to generate income. Income and expenses associated with these transactions are reported as net investment income and were not material for the three and nine months ended September 30, 2023.

Mortgage Loans on Real Estate

In September 2023, the Company began investing in residential mortgage loans. Accrued interest receivable on commercial, agricultural and residential mortgage loans as of September 30, 2023 and December 31, 2022 was $78 million and $71 million, respectively. There was no accrued interest written off for commercial, agricultural and residential mortgage loans for the nine months ended September 30, 2023 and 2022.

As of September 30, 2023 and 2022, the Company had no loans for which foreclosure was probable included within the individually assessed mortgage loans, and accordingly had no associated allowance for credit losses.

Allowance for Credit Losses on Mortgage Loans

The change in the allowance for credit losses for commercial, agricultural and residential mortgage loans were as follows:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
	(in millions)
Allowance for credit losses on mortgage loans:
Commercial mortgages:
Balance, beginning of period	$	140	$	58	123		$	57
Current-period provision for expected credit losses	63		19		80		20
Write-offs charged against the allowance	—		—		—		—
Recoveries of amounts previously written off	—		—		—		—
Net change in allowance	63		19		80		20
Balance, end of period	$	203	$	77	$	203	$	77
Agricultural mortgages:
Balance, beginning of period	$	5	$	6	$	6	$	5
Current-period provision for expected credit losses	1		—		—		1
Write-offs charged against the allowance	—		—		—		—
Recoveries of amounts previously written off	—		—		—		—
Net change in allowance	1		—		—		1
Balance, end of period	$	6	$	6	$	6	$	6

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
	(in millions)
Residential mortgages:
Balance, beginning of period	$	—	$	—	$	—	$	—
Current-period provision for expected credit losses	—		—		—		—
Write-offs charged against the allowance	—		—		—		—
Recoveries of amounts previously written off	—		—		—		—
Net change in allowance	—		—		—		—
Balance, end of period	$	—	$	—	$	—	$	—
Total allowance for credit losses	$	209	$	83	$	209	$	83

The change in the allowance for credit losses is attributable to:

•increases/decreases in the loan balance due to new originations, maturing mortgages, and loan amortization and

•changes in credit quality and economic assumptions.

Credit Quality Information

The Company’s commercial and agricultural mortgage loans segregated by risk rating exposure were as follows:

Loan to Value (“LTV”) Ratios (1) (3)

	September 30, 2023
	Amortized Cost Basis by Origination Year
	2023		2022		2021		2020		2019		Prior		Revolving Loans Amortized Cost Basis		Revolving Loans Converted to Term Loans Amortized Cost Basis		Total
	(in millions)
Commercial and agricultural mortgage loans:
Commercial:
0% - 50%	$	250	$	484	$	130	$	35	$	—	$	1,603	$	—	$	—	$	2,502
50% - 70%	636		2,313		815		869		257		2,618		419		96		8,023
70% - 90%	247		488		1,139		463		289		1,198		6		36		3,866
90% plus	—		—		34		—		92		696		—		—		822
Total commercial	$	1,133	$	3,285	$	2,118	$	1,367	$	638	$	6,115	$	425	$	132	$	15,213
Agricultural:
0% - 50%	$	86	$	163	$	186	$	235	$	134	$	811	$	—	$	—	$	1,615
50% - 70%	46		146		162		204		58		303		—		—		919
70% - 90%	—		—		—		—		—		16		—		—		16
90% plus	—		—		—		—		—		—		—		—		—
Total agricultural	$	132	$	309	$	348	$	439	$	192	$	1,130	$	—	$	—	$	2,550

	September 30, 2023
	Amortized Cost Basis by Origination Year
	2023		2022		2021		2020		2019		Prior		Revolving Loans Amortized Cost Basis		Revolving Loans Converted to Term Loans Amortized Cost Basis		Total
	(in millions)
Total commercial and agricultural mortgage loans:
0% - 50%	$	336	$	647	$	316	$	270	$	134	$	2,414	$	—	$	—	$	4,117
50% - 70%	682		2,459		977		1,073		315		2,921		419		96		8,942
70% - 90%	247		488		1,139		463		289		1,214		6		36		3,882
90% plus	—		—		34		—		92		696		—		—		822
Total commercial and agricultural mortgage loans	$	1,265	$	3,594	$	2,466	$	1,806	$	830	$	7,245	$	425	$	132	$	17,763

Debt Service Coverage (“DSC”) Ratios (2) (3)

	September 30, 2023
	Amortized Cost Basis by Origination Year
	2023		2022		2021		2020		2019		Prior		Revolving Loans Amortized Cost Basis		Revolving Loans Converted to Term Loans Amortized Cost Basis		Total
	(in millions)
Commercial and agricultural mortgage loans:
Commercial:
Greater than 2.0x	$	175	$	695	$	1,126	$	1,140	$	157	$	3,110	$	—	$	—	$	6,403
1.8x to 2.0x	—		—		181		167		172		737		256		96		1,609
1.5x to 1.8x	81		799		234		—		236		984		92		—		2,426
1.2x to 1.5x	470		762		455		—		30		761		6		—		2,484
1.0x to 1.2x	400		674		43		—		43		416		71		36		1,683
Less than 1.0x	7		355		79		60		—		107		—		—		608
Total commercial	$	1,133	$	3,285	$	2,118	$	1,367	$	638	$	6,115	$	425	$	132	$	15,213
Agricultural:
Greater than 2.0x	$	7	$	51	$	39	$	60	$	20	$	184	$	—	$	—	$	361
1.8x to 2.0x	16		16		56		32		23		62		—		—		205
1.5x to 1.8x	9		50		31		109		18		199		—		—		416
1.2x to 1.5x	38		111		155		173		99		374		—		—		950
1.0x to 1.2x	33		57		63		57		26		287		—		—		523
Less than 1.0x	29		24		4		8		6		24		—		—		95
Total agricultural	$	132	$	309	$	348	$	439	$	192	$	1,130	$	—	$	—	$	2,550

	September 30, 2023
	Amortized Cost Basis by Origination Year
	2023		2022		2021		2020		2019		Prior		Revolving Loans Amortized Cost Basis		Revolving Loans Converted to Term Loans Amortized Cost Basis		Total
	(in millions)
Total commercial and agricultural mortgage loans:
Greater than 2.0x	$	182	$	746	$	1,165	$	1,200	$	177	$	3,294	$	—	$	—	$	6,764
1.8x to 2.0x	16		16		237		199		195		799		256		96		1,814
1.5x to 1.8x	90		849		265		109		254		1,183		92		—		2,842
1.2x to 1.5x	508		873		610		173		129		1,135		6		—		3,434
1.0x to 1.2x	433		731		106		57		69		703		71		36		2,206
Less than 1.0x	36		379		83		68		6		131		—		—		703
Total commercial and agricultural mortgage loans	$	1,265	$	3,594	$	2,466	$	1,806	$	830	$	7,245	$	425	$	132	$	17,763

_____________

(1)The LTV ratio is derived from current loan balance divided by the fair value of the property. The fair value of the underlying commercial properties is updated annually for each mortgage loan.

(2)The DSC ratio is calculated using the most recently reported operating income results from property operations divided by annual debt service.

(3)Residential mortgage loans are excluded from the above tables.

LTV Ratios (1) (3)

	December 31, 2022
	Amortized Cost Basis by Origination Year
	2022		2021		2020		2019		2018		Prior		Revolving Loans Amortized Cost Basis		Revolving Loans Converted to Term Loans Amortized Cost Basis		Total
	(in millions)
Commercial and agricultural mortgage loans:
Commercial:
0% - 50%	$	624	$	130	$	—	$	—	$	119	$	1,242	$	—	$	—	$	2,115
50% - 70%	2,285		1,569		906		313		623		2,254		328		—		8,278
70% - 90%	363		415		463		329		424		1,314		—		34		3,342
90% plus	—		—		—		—		35		233		—		—		268
Total commercial	$	3,272	$	2,114	$	1,369	$	642	$	1,201	$	5,043	$	328	$	34	$	14,003
Agricultural:
0% - 50%	$	163	$	182	$	228	$	129	$	132	$	725	$	—	$	—	$	1,559
50% - 70%	190		185		222		68		83		267		—		—		1,015
70% - 90%	—		—		—		—		—		16		—		—		16
90% plus	—		—		—		—		—		—		—		—		—
Total agricultural	$	353	$	367	$	450	$	197	$	215	$	1,008	$	—	$	—	$	2,590

	December 31, 2022
	Amortized Cost Basis by Origination Year
	2022		2021		2020		2019		2018		Prior		Revolving Loans Amortized Cost Basis		Revolving Loans Converted to Term Loans Amortized Cost Basis		Total
	(in millions)
Total commercial and agricultural mortgage loans:
0% - 50%	$	787	$	312	$	228	$	129	$	251	$	1,967	$	—	$	—	$	3,674
50% - 70%	2,475		1,754		1,128		381		706		2,521		328		—		9,293
70% - 90%	363		415		463		329		424		1,330		—		34		3,358
90% plus	—		—		—		—		35		233		—		—		268
Total commercial and agricultural mortgage loans	$	3,625	$	2,481	$	1,819	$	839	$	1,416	$	6,051	$	328	$	34	$	16,593

DSC Ratios (2) (3)

	December 31, 2022
	Amortized Cost Basis by Origination Year
	2022		2021		2020		2019		2018		Prior		Revolving Loans Amortized Cost Basis		Revolving Loans Converted to Term Loans Amortized Cost Basis		Total
	(in millions)
Commercial and agricultural mortgage loans:
Commercial:
Greater than 2.0x	$	771	$	1,159	$	1,113	$	102	$	571	$	1,911	$	—	$	—	$	5,627
1.8x to 2.0x	158		215		164		197		186		477		279		—		1,676
1.5x to 1.8x	337		390		32		153		176		1,175		4		—		2,267
1.2x to 1.5x	1,041		259		—		92		73		917		—		—		2,382
1.0x to 1.2x	507		43		60		98		160		492		45		34		1,439
Less than 1.0x	458		48		—		—		35		71		—		—		612
Total commercial	$	3,272	$	2,114	$	1,369	$	642	$	1,201	$	5,043	$	328	$	34	$	14,003
Agricultural:
Greater than 2.0x	$	51	$	40	$	62	$	21	$	12	$	193	$	—	$	—	$	379
1.8x to 2.0x	16		58		35		24		14		51		—		—		198
1.5x to 1.8x	69		42		111		18		19		196		—		—		455
1.2x to 1.5x	107		147		177		98		99		298		—		—		926
1.0x to 1.2x	91		80		61		30		60		257		—		—		579
Less than 1.0x	19		—		4		6		11		13		—		—		53
Total agricultural	$	353	$	367	$	450	$	197	$	215	$	1,008	$	—	$	—	$	2,590

	December 31, 2022
	Amortized Cost Basis by Origination Year
	2022		2021		2020		2019		2018		Prior		Revolving Loans Amortized Cost Basis		Revolving Loans Converted to Term Loans Amortized Cost Basis		Total
	(in millions)
Total commercial and agricultural mortgage loans:
Greater than 2.0x	$	822	$	1,199	$	1,175	$	123	$	583	$	2,104	$	—	$	—	$	6,006
1.8x to 2.0x	174		273		199		221		200		528		279		—		1,874
1.5x to 1.8x	406		432		143		171		195		1,371		4		—		2,722
1.2x to 1.5x	1,148		406		177		190		172		1,215		—		—		3,308
1.0x to 1.2x	598		123		121		128		220		749		45		34		2,018
Less than 1.0x	477		48		4		6		46		84		—		—		665
Total commercial and agricultural mortgage loans	$	3,625	$	2,481	$	1,819	$	839	$	1,416	$	6,051	$	328	$	34	$	16,593

_____________

(1)The LTV ratio is derived from current loan balance divided by the fair value of the property. The fair value of the underlying commercial properties is updated annually for each mortgage loan.

(2)The DSC ratio is calculated using the most recently reported operating income results from property operations divided by annual debt service.

(3)Residential mortgage loans are excluded from the above tables.

The amortized cost of residential mortgage loans by credit quality indicator and origination year was as follows:

	September 30, 2023
	Amortized Cost Basis by Origination Year
	2023		2022		2021		2020		2019		Prior		Total
	(in millions)
Performance indicators:
Performing	$	21	$	11	$	—	$	—	$	—	$	—	$	32
Nonperforming	—		—		—		—		—		—		—
Total	$	21	$	11	$	—	$	—	$	—	$	—	$	32

Past-Due and Nonaccrual Mortgage Loan Status

The aging analysis of past-due mortgage loans were as follows:

Age Analysis of Past Due Mortgage Loans (1)

	Accruing Loans												Non-accruing Loans		Total Loans		Non-accruing Loans with No Allowance		Interest Income on Non-accruing Loans
	Past Due								Current		Total
	30-59 Days		60-89 Days		90 Days or More		Total
	(in millions)
September 30, 2023:
Mortgage loans:
Commercial	$	—	$	—	$	—	$	—	$	15,179	$	15,179	$	34	$	15,213	$	—	$	1
Agricultural	18		4		42		64		2,467		2,531		19		2,550		3		—
Residential	—		—		—		—		32		32		—		32		—		—
Total	$	18	$	4	$	42	$	64	$	17,678	$	17,742	$	53	$	17,795	$	3	$	1
December 31, 2022:
Mortgage loans:
Commercial	$	56	$	—	$	—	$	56	$	13,947	$	14,003	$	—	$	14,003	$	—	$	—
Agricultural	3		5		13		21		2,553		2,574		16		2,590		—		—
Residential	—		—		—		—		—		—		—		—		—		—
Total	$	59	$	5	$	13	$	77	$	16,500	$	16,577	$	16	$	16,593	$	—	$	—

_______________

(1)Amounts presented at amortized cost basis.

As of September 30, 2023 and December 31, 2022, the amortized cost of problem mortgage loans that had been classified as non-accrual loans were $19 million and $16 million, respectively.

Troubled Debt Restructuring

During the first quarter of 2023, the Company granted a modification to a $56 million commercial real estate loan. The modification reflects a pay and accrue structure where the loan was converted to interest only, and the pay rate is lower than the current rate beginning in 2023; 0.35% in 2023 and stepping up annually until it reaches the existing coupon of 5.0% in 2027. Interest between the pay rate and the coupon rate will be accrued and added to the loan monthly. Additionally, any excess cash flow above the pay rate will be applied to the loan. For the accounting policy pertaining to our TDRs see Note 2 of the Notes to these Consolidated Financial Statements.

During the three and nine months ended September 30, 2023 and 2022 the Company identified an immaterial amount of TDRs.

Equity Securities

The breakdown of unrealized and realized gains and (losses) on equity securities was as follows:

Unrealized and Realized Gains (Losses) from Equity Securities

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
	(in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period	$	(11)	$	(31)	$	(5)	$	(138)
Net investment gains (losses) recognized on securities sold during the period	(6)		(2)		(8)		(12)
Unrealized and realized gains (losses) on equity securities	$	(17)	$	(33)	$	(13)	$	(150)

Trading Securities

As of September 30, 2023 and December 31, 2022, respectively, the fair value of the Company’s trading securities was $293 million and $283 million. As of September 30, 2023 and December 31, 2022, respectively, trading securities included the General Account’s investment in Separate Accounts had carrying values of $44 million and $38 million.

The breakdown of net investment income (loss) from trading securities was as follows:

Net Investment Income (Loss) from Trading Securities

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
	(in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period	$	(9)	$	(8)	$	8	$	(53)
Net investment gains (losses) recognized on securities sold during the period	(1)		1		(3)		—
Unrealized and realized gains (losses) on trading securities	(10)		(7)		5		(53)
Interest and dividend income from trading securities	1		1		6		6
Net investment income (loss) from trading securities	$	(9)	$	(6)	$	11	$	(47)

Net Investment Income

The following tables provide the components of net investment income by investment type:

	Three Months Ended September 30,
	2023						2022
	Excluding (1) Funds Withheld and NI Modco		Funds Withheld and NI Modco		Total		Excluding Funds Withheld and NI Modco		Funds Withheld and NI Modco		Total
	(in millions)
Fixed maturities	$	401	$	282	$	683	$	663	$	—	$	663
Mortgage loans on real estate	136		88		224		147		—		147
Policy loans	43		7		50		50		—		50
Other equity investments	30		—		30		(1)		—		(1)
Trading securities	(9)		—		(9)		(6)		—		(6)
Other investment income	(4)		6		2		14		—		14
Gross investment income (loss)	597		383		980		867		—		867
Investment expenses	(49)		(38)		(87)		(79)		—		(79)
Net investment income (loss)	$	548	$	345	$	893	$	788	$	—	$	788

_______________

(1)“NI Modco” represents modco arrangement on non-insulated Separate Accounts as part of the Reinsurance Treaty with Equitable America.

	Nine Months Ended September 30,
	2023						2022
	Excluding Funds Withheld and NI Modco		Funds Withheld and NI Modco		Total		Excluding Funds Withheld and NI Modco		Funds Withheld and NI Modco		Total
	(in millions)
Fixed maturities	$	1,488	$	554	$	2,042	$	1,830	$	—	$	1,830
Mortgage loans on real estate	424		175		599		423		—		423
Policy loans	140		7		147		151		—		151
Other equity investments	100		(35)		65		57		—		57
Trading securities	11		—		11		(47)		—		(47)
Other investment income	7		7		14		44		—		44
Gross investment income (loss)	2,170		708		2,878		2,458		—		2,458
Investment expenses	(174)		(68)		(242)		(220)		—		(220)
Net investment income (loss)	$	1,996	$	640	$	2,636	$	2,238	$	—	$	2,238

Investment Gains (Losses), Net

Investment gains (losses), net, including changes in the valuation allowances and credit losses were as follows:

	Three Months Ended September 30,
	2023						2022
	Excluding Funds Withheld and NI Modco		Funds Withheld and NI Modco		Total		Excluding Funds Withheld and NI Modco		Funds Withheld and NI Modco		Total
	(in millions)
Fixed maturities	$	(344)	$	(101)	$	(445)	$	(327)	$	—	$	(327)
Mortgage loans on real estate	(22)		(42)		(64)		(19)		—		(19)
Other	1		—		1		(2)		—		(2)
Investment gains (losses), net	$	(365)	$	(143)	$	(508)	$	(348)	$	—	$	(348)

	Nine Months Ended September 30,
	2023						2022
	Excluding Funds Withheld and NI Modco		Funds Withheld Assets and NI Modco		Total		Excluding Funds Withheld and NI Modco		Funds Withheld and NI Modco		Total
	(in millions)
Fixed maturities	$	(430)	$	(135)	$	(565)	$	(881)	$	—	$	(881)
Mortgage loans on real estate	(36)		(44)		(80)		(21)		—		(21)
Other	1		—		1		(10)		—		(10)
Investment gains (losses), net	$	(465)	$	(179)	$	(644)	$	(912)	$	—	$	(912)

Investment results passed through to certain participating group annuity contracts as interest credited to policyholders’ account balances totaled $0 million and $1 million for the three and nine months ended September 30, 2023, respectively and $0 million and $1 million for the three and nine months ended September 30, 2022 respectively.