The amortized cost, gross unrealized gains and losses, allowance for credit losses and fair value of fixed maturity AFS securities (in millions) were as follows:



	As of December 31, 2022
							Allowance
	Amortized		Gross Unrealized				for Credit		Fair
	Cost		Gains		Losses		Losses		Value
Fixed maturity AFS securities:
Corporate bonds	$	89,249	$	787	$	11,004	$	9	$	79,023
U.S. government bonds		405		5		31		-		379
State and municipal bonds		5,410		172		512		-		5,070
Foreign government bonds		348		17		47		-		318
RMBS		2,216		22		222		7		2,009
CMBS		1,917		3		246		-		1,674
ABS		11,797		38		926		5		10,904
Hybrid and redeemable preferred securities		365		25		30		1		359
Total fixed maturity AFS securities	$	111,707	$	1,069	$	13,018	$	22	$	99,736



	As of December 31, 2021
							Allowance
	Amortized		Gross Unrealized				for Credit		Fair
	Cost		Gains		Losses		Losses		Value
Fixed maturity AFS securities:
Corporate bonds	$	86,373	$	12,113	$	349	$	17	$	98,120
U.S. government bonds		375		60		2		-		433
State and municipal bonds		5,322		1,311		12		-		6,621
Foreign government bonds		373		64		5		-		432
RMBS		2,334		196		4		1		2,525
CMBS		1,552		61		14		-		1,599
ABS		8,439		127		54		-		8,512
Hybrid and redeemable preferred securities		409		107		11		1		504
Total fixed maturity AFS securities	$	105,177	$	14,039	$	451	$	19	$	118,746

The amortized cost and fair value of fixed maturity AFS securities by contractual maturities (in millions) as of December 31, 2022, were as follows:



	Amortized		Fair
	Cost		Value
Due in one year or less	$	3,386	$	3,352
Due after one year through five years		17,659		16,816
Due after five years through ten years		18,568		16,736
Due after ten years		56,164		48,245
Subtotal		95,777		85,149
Structured securities (RMBS, CMBS, ABS)		15,930		14,587
Total fixed maturity AFS securities	$	111,707	$	99,736

Actual maturities may differ from contractual maturities because issuers may have the right to call or pre-pay obligations.

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 December 31, 2022
	Less Than or Equal					Greater Than
	to Twelve Months					Twelve Months					Total
			Gross					Gross					Gross
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
	Value			Losses		Value			Losses		Value			Losses ⁽¹⁾
Fixed maturity AFS securities:
Corporate bonds	$	59,929		$	9,049	$	7,094		$	1,955	$	67,023		$	11,004
U.S. government bonds		261			25		27			6		288			31
State and municipal bonds		1,958			440		237			72		2,195			512
Foreign government bonds		130			19		58			28		188			47
RMBS		1,490			179		193			43		1,683			222
CMBS		1,224			156		320			90		1,544			246
ABS		6,715			552		3,326			374		10,041			926
Hybrid and redeemable
preferred securities		63			5		97			25		160			30
Total fixed maturity AFS securities	$	71,770		$	10,425	$	11,352		$	2,593	$	83,122		$	13,018

Total number of fixed maturity AFS securities in an unrealized loss position															8,175



	As of December 31, 2021
	Less Than or Equal					Greater Than
	to Twelve Months					Twelve Months					Total
				Gross					Gross					Gross
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
	Value			Losses		Value			Losses		Value			Losses ⁽¹⁾
Fixed maturity AFS securities:
Corporate bonds	$	10,796		$	234	$	1,567		$	115	$	12,363		$	349
U.S. government bonds		6			-		26			2		32			2
State and municipal bonds		522			11		24			1		546			12
Foreign government bonds		61			3		56			2		117			5
RMBS		262			3		22			1		284			4
CMBS		446			12		37			2		483			14
ABS		4,646			49		165			5		4,811			54
Hybrid and redeemable
preferred securities		47			1		76			10		123			11
Total fixed maturity AFS securities	$	16,786		$	313	$	1,973		$	138	$	18,759		$	451

Total number of fixed maturity AFS securities in an unrealized loss position															2,597

⁽¹⁾As of December 31, 2022 and 2021, we recognized $6 million and $8 million of gross unrealized losses, respectively, in 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 December 31, 2022
			Gross			Number
	Fair		Unrealized			of
	Value		Losses		Securities⁽¹⁾
Less than six months	$	11,351	$	3,659			1,500
Six months or greater, but less than nine months		4,411		2,226			650
Nine months or greater, but less than twelve months		447		302			74
Twelve months or greater		2		1			15
Total	$	16,211	$	6,188			2,239


	As of December 31, 2021
			Gross			Number
	Fair		Unrealized			of
	Value		Losses		Securities ⁽¹⁾
Less than six months	$	12	$	3			6
Twelve months or greater		58		8			24
Total	$	70	$	11			30

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

Our gross unrealized losses on fixed maturity AFS securities increased by $12.6 billion for the year ended December 31, 2022. As discussed further below, we believe the unrealized loss position as of December 31, 2022, did not require 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 December 31, 2022, 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 December 31, 2022, 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 December 31, 2022 and 2021, 96% of the fair value of our corporate bond portfolio was rated investment grade. As of December 31, 2022 and 2021, the portion of our corporate bond portfolio rated below investment grade had an amortized cost of $3.7 billion, and a fair value of $3.5 billion and $3.8 billion, respectively. Based upon the analysis discussed above, we believe that as of December 31, 2022 and 2021, we would have recovered the amortized cost of each corporate bond.

As of December 31, 2022, the unrealized losses associated with our MBS and 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 December 31, 2022, 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.

Credit Loss Impairment on Fixed Maturity AFS Securities

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. See Note 1 for a detailed discussion regarding our accounting policy relating to the allowance for credit losses on our fixed maturity AFS securities.

Changes in the allowance for credit losses on fixed maturity AFS securities (in millions), aggregated by investment category, were as follows:



	For the Year Ended December 31, 2022
	Corporate
	Bonds			RMBS		Other		Total
Balance as of beginning-of-year	$	17		$	1	$	1	$	19
Additions from purchases of PCD debt securities ⁽¹⁾		-			-		-		-
Additions for securities for which credit losses were not
previously recognized		4			3		1		8
Additions (reductions) for securities for which credit losses
were previously recognized		2			3		4		9
Reductions for securities disposed		(2	)		-		-		(2	)
Reductions for securities charged-off		(12	)		-		-		(12	)
Balance as of end-of-year ⁽²⁾	$	9		$	7	$	6	$	22



	For the Year Ended December 31, 2021
	Corporate
	Bonds			RMBS		Other		Total
Balance as of beginning-of-year	$	12		$	1	$	-	$	13
Additions from purchases of PCD debt securities ⁽¹⁾		-			-		-		-
Additions for securities for which credit losses were not
previously recognized		8			-		1		9
Additions (reductions) for securities for which credit losses
were previously recognized		5			-		-		5
Reductions for securities disposed		(2	)		-		-		(2	)
Reductions for securities charged-off		(6	)		-		-		(6	)
Balance as of end-of-year ⁽²⁾	$	17		$	1	$	1	$	19


	For the Year Ended December 31, 2020
	Corporate
	Bonds			RMBS		Other			Total
Balance as of beginning-of-year	$	-		$	-	$	-		$	-
Additions from purchases of PCD debt securities ⁽¹⁾		-			-		-			-
Additions for securities for which credit losses were not
previously recognized		43			1		1			45
Additions (reductions) for securities for which credit losses
were previously recognized		(1	)		-		(1	)		(2	)
Reductions for securities disposed		(17	)		-		-			(17	)
Reductions for securities charged-off		(13	)		-		-			(13	)
Balance as of end-of-year ⁽²⁾	$	12		$	1	$	-		$	13

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

⁽²⁾As of December 31, 2022, 2021 and 2020, accrued investment income on fixed maturity AFS securities totaled $1.1 billion, $972 million and $1.0 billion, respectively, and was excluded from the estimate of credit losses.

Trading Securities

Trading securities at fair value (in millions) consisted of the following:



	As of December 31,
	2022		2021
Fixed maturity securities:
Corporate bonds	$	2,248	$	2,734
U.S. government bonds		-		32
State and municipal bonds		21		27
Foreign government bonds		49		73
RMBS		99		95
CMBS		137		137
ABS		919		1,338
Hybrid and redeemable preferred securities		25		46
Total trading securities	$	3,498	$	4,482

The portion of the market adjustment for trading gains and losses recognized in realized gain (loss) that relate to trading securities still held as of December 31, 2022, 2021 and 2020, was $(632) million, $(51) million and $118 million, respectively.

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 December 31, 2022									As of December 31, 2021
	Commercial			Residential			Total			Commercial			Residential			Total
Current	$	17,003		$	1,315		$	18,318		$	17,167		$	837		$	18,004
30 to 59 days past due		19			23			42			15			21			36
60 to 89 days past due		-			6			6			-			5			5
90 or more days past due		-			33			33			-			29			29
Allowance for credit losses		(84	)		(15	)		(99	)		(79	)		(17	)		(96	)
Unamortized premium (discount)		(8	)		36			28			(11	)		27			16
Mark-to-market gains (losses) ⁽¹⁾		(27	)		-			(27	)		(3	)		-			(3	)
Total carrying value	$	16,903		$	1,398		$	18,301		$	17,089		$	902		$	17,991

⁽¹⁾Represents the mark-to-market on certain mortgage loans on real estate for which we have elected the fair value option. See Note 20 for additional information.

Our commercial mortgage loan portfolio had the largest concentrations in California, which accounted for 27% and 26% of commercial mortgage loans on real estate as of December 31, 2022 and 2021, respectively, and Texas, which accounted for 9% of commercial mortgage loans on real estate as of December 31, 2022 and 2021.

As of December 31, 2022, our residential mortgage loan portfolio had the largest concentrations in California and New Jersey, which accounted for 17% and 12% of residential mortgage loans on real estate, respectively. As of December 31, 2021, our residential mortgage loan portfolio had the largest concentrations in California and Florida, which accounted for 22% and 14% of residential mortgage loans on real estate, respectively.

As of December 31, 2022 and 2021, we had 73 and 65 residential mortgage loans, respectively, that were either delinquent or in foreclosure. As of December 31, 2022 and 2021, we had 49 and 34 residential mortgage loans in foreclosure, respectively, with an aggregate carrying value of $21 million and $15 million, respectively.

As of December 31, 2022 and 2021, there were two and four specifically identified impaired commercial mortgage loans, respectively, with an aggregate carrying value of less than $1 million and $1 million, respectively.

As of December 31, 2022 and 2021, there were 37 and 50 specifically identified impaired residential mortgage loans, respectively, with an aggregate carrying value of $16 million and $22 million, respectively.

Additional information related to impaired mortgage loans on real estate (in millions) was as follows:


	For the Years Ended December 31,
	2022		2021		2020
Average aggregate carrying value for impaired mortgage loans on real estate	$	16	$	32	$	21
Interest income recognized on impaired mortgage loans on real estate		-		-		-
Interest income collected on impaired mortgage loans on real estate		-		-		-

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


	As of December 31, 2022				As of December 31, 2021
	Nonaccrual				Nonaccrual
	with no				with no
	Allowance				Allowance
	for Credit				for Credit
	Losses		Nonaccrual		Losses		Nonaccrual
Commercial mortgage loans on real estate	$	-	$	-	$	-	$	-
Residential mortgage loans on real estate		-		34		-		30
Total	$	-	$	34	$	-	$	30

We use loan-to-value 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 December 31, 2022
			Debt-			Debt-			Debt-
			Service			Service			Service
	Less		Coverage	65%		Coverage	Greater		Coverage
	than 65%		Ratio	to 75%		Ratio	than 75%		Ratio	Total
Origination Year
2022	$	1,769	2.06	$	105	1.50	$	2	1.45	$	1,876
2021		2,354	3.05		72	1.53		-	-		2,426
2020		1,289	3.00		17	1.58		-	-		1,306
2019		2,685	2.18		81	1.50		29	1.58		2,795
2018		2,225	2.17		71	1.62		-	-		2,296
2017 and prior		6,184	2.44		131	1.75		-	-		6,315
Total	$	16,506		$	477		$	31		$	17,014

‎



	As of December 31, 2021
			Debt-			Debt-			Debt-
			Service			Service			Service
	Less		Coverage	65%		Coverage	Greater		Coverage
	than 65%		Ratio	to 75%		Ratio	than 75%		Ratio	Total
Origination Year
2021	$	2,384	3.04	$	136	1.74	$	-	-	$	2,520
2020		1,358	3.03		144	2.06		-	-		1,502
2019		2,917	2.15		188	1.42		-	-		3,105
2018		2,274	2.13		172	1.59		15	1.02		2,461
2017		1,655	2.33		149	1.74		27	0.83		1,831
2016 and prior		5,554	2.41		171	1.76		27	1.08		5,752
Total	$	16,142		$	960		$	69		$	17,171

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 December 31, 2022
	Performing		Nonperforming			Total
Origination Year
2022	$	578		$	5	$	583
2021		527			6		533
2020		90			3		93
2019		119			18		137
2018		65			2		67
2017 and prior		-			-		-
Total	$	1,379		$	34	$	1,413



	As of December 31, 2021
	Performing		Nonperforming			Total
Origination Year
2021	$	467		$	2	$	469
2020		129			2		131
2019		189			21		210
2018		104			5		109
2017		-			-		-
2016 and prior		-			-		-
Total	$	889		$	30	$	919

Credit Losses on Mortgage Loans on Real Estate

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. See Note 1 for a detailed discussion regarding our accounting policy relating to the allowance for credit losses on our 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 Year Ended December 31, 2022
	Commercial		Residential			Total
Balance as of beginning-of-year	$	79	$	17		$	96
Additions (reductions) from provision for credit loss expense ⁽¹⁾		5		(2	)		3
Additions from purchases of PCD mortgage loans on real estate		-		-			-
Balance as of end-of-year ⁽²⁾	$	84	$	15		$	99

For the Year Ended December 31, 2021

	Commercial			Residential		Total
Balance as of beginning-of-year	$	187		$	17	$	204
Additions (reductions) from provision for credit loss expense ⁽¹⁾		(108	)		-		(108	)
Additions from purchases of PCD mortgage loans on real estate		-			-		-
Balance as of end-of-year ⁽²⁾	$	79		$	17	$	96


	For the Year Ended December 31, 2020
	Commercial		Residential			Total
Balance as of beginning-of-year	$	-	$	2		$	2
Impact of adopting new accounting standard		62		26			88
Additions (reductions) from provision for credit loss expense ⁽¹⁾		125		(11	)		114
Additions from purchases of PCD mortgage loans on real estate		-		-			-
Balance as of end-of-year ⁽²⁾	$	187	$	17		$	204

⁽¹⁾We did not recognize any credit loss benefit (expense) related to unfunded commitments for mortgage loans on real estate for the year ended December 31, 2022. We recognized $4 million and $(2) million of credit loss benefit (expense) related to unfunded commitments for mortgage loans on real estate for the years ended December 31, 2021 and 2020, respectively.

⁽²⁾Accrued investment income on mortgage loans on real estate totaled $51 million, $49 million and $49 million as of December 31, 2022, 2021 and 2020, respectively, and was excluded from the estimate of credit losses.

Alternative Investments

As of December 31, 2022 and 2021, alternative investments included investments in 337 and 311 different partnerships, respectively, and represented approximately 2% of total investments.

Net Investment Income

The major categories of net investment income (in millions) on the Consolidated Statements of Comprehensive Income (Loss) were as follows:



	For the Years Ended December 31,
	2022			2021			2020
Fixed maturity AFS securities	$	4,469		$	4,351		$	4,334
Trading securities		182			167			202
Equity securities		11			3			3
Mortgage loans on real estate		689			680			677
Policy loans		101			115			125
Cash and invested cash		13			-			12
Commercial mortgage loan prepayment
and bond make-whole premiums		105			199			82
Alternative investments		66			679			197
Consent fees		8			10			7
Other investments		79			64			46
Investment income		5,723			6,268			5,685
Investment expense		(212	)		(153	)		(175	)
Net investment income	$	5,511		$	6,115		$	5,510

‎

Impairments on Fixed Maturity AFS Securities

Details underlying credit loss benefit (expense) incurred as a result of impairments that were recognized in net income (loss) and included in realized gain (loss) on fixed maturity AFS securities (in millions) were as follows:



	For the Years Ended December 31,
	2022			2021			2020
Credit Loss Benefit (Expense)
Fixed maturity AFS securities:
Corporate bonds	$	(5	)	$	(10	)	$	(25	)
RMBS		(6	)		-			(1	)
ABS		(4	)		-			-
Hybrid and redeemable preferred securities		-			(1	)		-
Gross credit loss benefit (expense)		(15	)		(11	)		(26	)
Associated amortization of DAC, VOBA, DSI and DFEL		-			-			1
Net credit loss benefit (expense)	$	(15	)	$	(11	)	$	(25	)

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 December 31, 2022				As of December 31, 2021
	Carrying		Fair		Carrying		Fair
	Value		Value		Value		Value
Collateral payable for derivative investments ⁽¹⁾	$	3,284	$	3,284	$	5,575	$	5,575
Securities pledged under securities lending agreements ⁽²⁾		298		287		241		235
Investments pledged for FHLBI ⁽³⁾		3,130		3,925		3,130		4,876
Total payables for collateral on investments	$	6,712	$	7,496	$	8,946	$	10,686

⁽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. 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 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 December 31, 2022 and 2021, we were not participating in any open repurchase agreements.

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


	For the Years Ended December 31,
	2022			2021		2020
Collateral payable for derivative investments	$	(2,291	)	$	2,599	$	1,588
Securities pledged under securities lending agreements		57			125		2
Investments pledged for FHLBI		-			-		(450	)
Total increase (decrease) in payables for collateral on investments	$	(2,234	)	$	2,724	$	1,140

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:

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 December 31, 2022, the fair value of all collateral received that we are permitted to sell or re-pledge was $25 million, and we had re-pledged all of this collateral to cover initial margin and over-the-counter collateral requirements on certain derivative investments.

As of December 31, 2022, our investment commitments were $2.4 billion, which included $1.9 billion of LPs, $310 million of private placement securities and $226 million of mortgage loans on real estate.

As of December 31, 2022 and 2021, our most significant investments in one issuer were our investments in securities issued by the Federal National Mortgage Association with a fair value of $745 million and $926 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 $720 million and $953 million, respectively, or 1% of total investments. These concentrations include fixed maturity AFS, trading and equity securities.