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v3.23.1

INVESTMENTS | 3 Months Ended
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Mar. 31, 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 March 31, 2023 and December 31, 2022 was $616 million and $591 million, respectively. There was no accrued interest written off for AFS fixed maturities for the three months ended March 31, 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)
March 31, 2023 |  |  |  |  |  |  |  |  |
Fixed Maturities: |  |  |  |  |  |  |  |  |
Corporate (1) | $ | 51,030 |  |  | $ | 18 |  |  | $ | 167 |  |  | $ | 6,086 |  |  | $ | 45,093 |
U.S. Treasury, government and agency | 6,991 |  |  | — |  |  | 3 |  |  | 925 |  |  | 6,069 |
States and political subdivisions | 638 |  |  | — |  |  | 12 |  |  | 75 |  |  | 575 |
Foreign governments | 1,028 |  |  | — |  |  | 3 |  |  | 133 |  |  | 898 |
Residential mortgage-backed (2) | 930 |  |  | — |  |  | 1 |  |  | 84 |  |  | 847 |
Asset-backed (3) | 8,548 |  |  | — |  |  | 9 |  |  | 315 |  |  | 8,242 |
Commercial mortgage-backed | 3,856 |  |  | — |  |  | — |  |  | 558 |  |  | 3,298 |
Redeemable preferred stock | 40 |  |  | — |  |  | 3 |  |  | — |  |  | 43 |
Total at March 31, 2023 | $ | 73,061 |  |  | $ | 18 |  |  | $ | 198 |  |  | $ | 8,176 |  |  | $ | 65,065 |
December 31, 2022: |  |  |  |  |  |  |  |  |
Fixed Maturities: |  |  |  |  |  |  |  |  |
Corporate (1) | $ | 50,712 |  |  | $ | 24 |  |  | $ | 89 |  |  | $ | 7,206 |  |  | $ | 43,571 |
U.S. Treasury, government and agency | 7,054 |  |  | — |  |  | 1 |  |  | 1,218 |  |  | 5,837 |
States and political subdivisions | 609 |  |  | — |  |  | 7 |  |  | 89 |  |  | 527 |
Foreign governments | 985 |  |  | — |  |  | 2 |  |  | 151 |  |  | 836 |
Residential mortgage-backed (2) | 908 |  |  | — |  |  | 1 |  |  | 87 |  |  | 822 |
Asset-backed (3) | 8,859 |  |  | — |  |  | 4 |  |  | 373 |  |  | 8,490 |
Commercial mortgage-backed | 3,823 |  |  | — |  |  | — |  |  | 588 |  |  | 3,235 |
Redeemable preferred stock | 41 |  |  | — |  |  | 2 |  |  | — |  |  | 43 |
Total at December 31, 2022 | $ | 72,991 |  |  | $ | 24 |  |  | $ | 106 |  |  | $ | 9,712 |  |  | $ | 63,361 |
______________ (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 March 31, 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)
March 31, 2023 |  |  |
Contractual maturities: |  |  |
Due in one year or less | $ | 1,551 |  |  | $ | 1,533 |
Due in years two through five | 15,798 |  |  | 15,107 |
Due in years six through ten | 16,462 |  |  | 15,023 |
Due after ten years | 25,858 |  |  | 20,972 |
Subtotal | 59,669 |  |  | 52,635 |
Residential mortgage-backed | 930 |  |  | 847 |
Asset-backed | 8,548 |  |  | 8,242 |
Commercial mortgage-backed | 3,856 |  |  | 3,298 |
Redeemable preferred stock | 40 |  |  | 43 |
Total at March 31, 2023 | $ | 73,043 |  |  | $ | 65,065 |
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 March 31,
|  |  |  |  | 2023 |  | 2022 |  |
|  |  |  |  | (in millions) |  |
Proceeds from sales |  |  |  |  | $ | 825 |  |  | $ | 7,391 |  |  |
Gross gains on sales |  |  |  |  | $ | 2 |  |  | $ | 29 |  |  |
Gross losses on sales |  |  |  |  | $ | (26) |  |  | $ | (364) |  |  |
Net (increase) decrease in Allowance for Credit and Intent to Sell losses |  |  |  |  | $ | (56) |  |  | $ | 1 |  |  |
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 March 31,
|  |  |  |  | 2023 |  | 2022 |  |
|  |  |  |  | (in millions) |  |
Balance, beginning of period |  |  |  |  | $ | 36 |  |  | $ | 44 |  |  |
Previously recognized impairments on securities that matured, paid, prepaid or sold |  |  |  |  | (3) |  |  | (2) |  |  |
Recognized impairments on securities impaired to fair value this period (1) (2) |  |  |  |  | 52 |  |  | — |  |  |
Credit losses recognized this period on securities for which credit losses were not previously recognized |  |  |  |  | 3 |  |  | — |  |  |
Additional credit losses this period on securities previously impaired |  |  |  |  | 1 |  |  | 1 |  |  |
Increases due to passage of time on previously recorded credit losses |  |  |  |  | — |  |  | — |  |  |
Accretion of previously recognized impairments due to increases in expected cash flows (for OTTI securities 2019 and prior) |  |  |  |  | — |  |  | — |  |  |
Balance at March 31, |  |  |  |  | $ | 89 |  |  | $ | 43 |  |  |
______________ (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 three months ended March 31, 2023 represent AFS fixed maturities in an unrealized loss position, which the Company intends to sell in anticipation of Equitable Financial’s ordinary dividend to Holdings. The tables that follow below present a roll-forward of net unrealized investment gains (losses) recognized in AOCI. Net Unrealized Gains (Losses) on AFS Fixed Maturities
| 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, January 1, 2023 | $ | (9,606) |  |  | $ | 41 |  |  | $ | 440 |  |  | $ | (9,125) |
Net investment gains (losses) arising during the period | 1,555 |  |  | — |  |  | — |  |  | 1,555 |
Reclassification adjustment: |  |  |  |  |  |  |
Included in net income (loss) | 80 |  |  | — |  |  | — |  |  | 80 |
Other | — |  |  | — |  |  | — |  |  | — |
Impact of net unrealized investment gains (losses) | — |  |  | (8) |  |  | (342) |  |  | (350) |
Net unrealized investment gains (losses) excluding credit losses | (7,971) |  |  | 33 |  |  | 98 |  |  | (7,840) |
Net unrealized investment gains (losses) with credit losses | (7) |  |  | — |  |  | 1 |  |  | (6) |
Balance, March 31, 2023 | $ | (7,978) |  |  | $ | 33 |  |  | $ | 99 |  |  | $ | (7,846) |
Balance, January 1, 2022 | $ | 4,809 |  |  | $ | (169) |  |  | $ | (974) |  |  | $ | 3,666 |
Net investment gains (losses) arising during the period | (6,425) |  |  | — |  |  | — |  |  | (6,425) |
Reclassification adjustment: |  |  |  |  |  |  |
Included in net income (loss) | 334 |  |  | — |  |  | — |  |  | 334 |
Other | — |  |  | — |  |  | — |  |  | — |
Impact of net unrealized investment gains (losses) | — |  |  | 173 |  |  | 1,242 |  |  | 1,415 |
Net unrealized investment gains (losses) excluding credit losses | (1,282) |  |  | 4 |  |  | 268 |  |  | (1,010) |
Net unrealized investment gains (losses) with credit losses | (5) |  |  | — |  |  | 1 |  |  | (4) |
Balance, March 31, 2022 | $ | (1,287) |  |  | $ | 4 |  |  | $ | 269 |  |  | $ | (1,014) |
The following tables disclose the fair values and gross unrealized losses of the 4,949 issues as of March 31, 2023 and the 5,209 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)
March 31, 2023 |  |  |  |  |  |  |  |  |  |  |
Fixed Maturities: |  |  |  |  |  |  |  |  |  |  |
Corporate | $ | 8,624 |  |  | $ | 401 |  |  | $ | 30,610 |  |  | $ | 5,683 |  |  | $ | 39,234 |  |  | $ | 6,084 |
U.S. Treasury, government and agency | 3,271 |  |  | 277 |  |  | 2,584 |  |  | 648 |  |  | 5,855 |  |  | 925 |
| 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)
States and political subdivisions | 36 |  |  | 2 |  |  | 269 |  |  | 73 |  |  | 305 |  |  | 75 |
Foreign governments | 106 |  |  | 6 |  |  | 645 |  |  | 127 |  |  | 751 |  |  | 133 |
Residential mortgage-backed | 295 |  |  | 11 |  |  | 517 |  |  | 73 |  |  | 812 |  |  | 84 |
Asset-backed | 1,458 |  |  | 36 |  |  | 5,933 |  |  | 279 |  |  | 7,391 |  |  | 315 |
Commercial mortgage-backed | 425 |  |  | 30 |  |  | 2,805 |  |  | 528 |  |  | 3,230 |  |  | 558 |
Total at March 31, 2023 | $ | 14,215 |  |  | $ | 763 |  |  | $ | 43,363 |  |  | $ | 7,411 |  |  | $ | 57,578 |  |  | $ | 8,174 |
December 31, 2022: |  |  |  |  |  |  |  |  |  |  |
Fixed Maturities: |  |  |  |  |  |  |  |  |  |  |
Corporate | $ | 24,580 |  |  | $ | 2,668 |  |  | $ | 16,534 |  |  | $ | 4,536 |  |  | $ | 41,114 |  |  | $ | 7,204 |
U.S. Treasury, government and agency | 5,564 |  |  | 1,200 |  |  | 204 |  |  | 18 |  |  | 5,768 |  |  | 1,218 |
States and political subdivisions | 130 |  |  | 25 |  |  | 173 |  |  | 64 |  |  | 303 |  |  | 89 |
Foreign governments | 349 |  |  | 42 |  |  | 417 |  |  | 109 |  |  | 766 |  |  | 151 |
Residential mortgage-backed | 671 |  |  | 49 |  |  | 83 |  |  | 38 |  |  | 754 |  |  | 87 |
Asset-backed | 6,298 |  |  | 230 |  |  | 1,765 |  |  | 143 |  |  | 8,063 |  |  | 373 |
Commercial mortgage-backed | 1,577 |  |  | 201 |  |  | 1,640 |  |  | 387 |  |  | 3,217 |  |  | 588 |
Total at December 31, 2022 | $ | 39,169 |  |  | $ | 4,415 |  |  | $ | 20,816 |  |  | $ | 5,295 |  |  | $ | 59,985 |  |  | $ | 9,710 |
The Company’s investments in fixed maturities do not include concentrations of credit risk of any single issuer greater than 10% of the consolidated equity of the Company, other than securities of the U.S. government, U.S. government agencies, and certain securities guaranteed by the U.S. government. 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 0.9% of total corporate securities. The largest exposures to a single issuer of corporate securities held as of March 31, 2023 and December 31, 2022 were $387 million and $327 million, respectively, representing 7.1% and 10.4% of the 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 March 31, 2023 and December 31, 2022, respectively, approximately $2.8 billion and $2.9 billion, or 3.8% and 4.0%, of the $73.1 billion and $73.0 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 $166 million and $208 million as of March 31, 2023 and December 31, 2022, respectively. As of March 31, 2023 and December 31, 2022, respectively, the $7.4 billion and $5.3 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 March 31, 2023 or December 31, 2022. As of March 31, 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 March 31, 2023, the Company determined that the unrealized loss was primarily due to increases in interest rates and credit spreads. Mortgage Loans on Real Estate Accrued interest receivable on commercial and agricultural mortgage loans as of March 31, 2023 and December 31, 2022 was $72 million and $71 million, respectively. There was no accrued interest written off for commercial and agricultural mortgage loans for the three months ended March 31, 2023 and 2022. As of March 31, 2023, 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 mortgage loans and agricultural mortgage loans during the three months ended March 31, 2023 and 2022 were as follows:
|  |  | Three Months Ended March 31, |
|  |  |  |  | 2023 |  | 2022 |  |  |
|  |  |  |  | (in millions)
Allowance for credit losses on mortgage loans: |  |  |  |  |  |  |  |  |  |
Commercial mortgages: |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  |  |  |  | $ | 123 |  |  | $ | 57 |  |  |  |
Current-period provision for expected credit losses |  |  |  |  | 10 |  |  | (10) |  |  |  |
Write-offs charged against the allowance |  |  |  |  | — |  |  | — |  |  |  |
Recoveries of amounts previously written off |  |  |  |  | — |  |  | — |  |  |  |
Net change in allowance |  |  |  |  | 10 |  |  | (10) |  |  |  |
Balance, end of period |  |  |  |  | $ | 133 |  |  | $ | 47 |  |  |  |
Agricultural mortgages: |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  |  |  |  | $ | 6 |  |  | $ | 5 |  |  |  |
Current-period provision for expected credit losses |  |  |  |  | — |  |  | 1 |  |  |  |
Write-offs charged against the allowance |  |  |  |  | — |  |  | — |  |  |  |
Recoveries of amounts previously written off |  |  |  |  | — |  |  | — |  |  |  |
Net change in allowance |  |  |  |  | — |  |  | 1 |  |  |  |
Balance, end of period |  |  |  |  | $ | 6 |  |  | $ | 6 |  |  |  |
Total allowance for credit losses |  |  |  |  | $ | 139 |  |  | $ | 53 |  |  |  |
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 following tables summarize the Company’s mortgage loans segregated by risk rating exposure as of March 31, 2023 and December 31, 2022. Loan to Value (“LTV”) Ratios (1)
| March 31, 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)
Mortgage loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
0% - 50% | $ | — |  |  | $ | 679 |  |  | $ | 130 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,466 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,275 |
| March 31, 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)
50% - 70% | 237 |  |  | 2,230 |  |  | 1,568 |  |  | 906 |  |  | 312 |  |  | 2,911 |  |  | 268 |  |  | 94 |  |  | 8,526 |
70% - 90% | 243 |  |  | 364 |  |  | 382 |  |  | 463 |  |  | 328 |  |  | 1,635 |  |  | 28 |  |  | 34 |  |  | 3,477 |
90% plus | — |  |  | — |  |  | 33 |  |  | — |  |  | — |  |  | 225 |  |  | — |  |  | — |  |  | 258 |
Total commercial | $ | 480 |  |  | $ | 3,273 |  |  | $ | 2,113 |  |  | $ | 1,369 |  |  | $ | 640 |  |  | $ | 6,237 |  |  | $ | 296 |  |  | $ | 128 |  |  | $ | 14,536 |
Agricultural: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
0% - 50% | $ | 10 |  |  | $ | 164 |  |  | $ | 182 |  |  | $ | 237 |  |  | $ | 128 |  |  | $ | 847 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,568 |
50% - 70% | 11 |  |  | 188 |  |  | 182 |  |  | 208 |  |  | 67 |  |  | 332 |  |  | — |  |  | — |  |  | 988 |
70% - 90% | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 16 |  |  | — |  |  | — |  |  | 16 |
90% plus | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total agricultural | $ | 21 |  |  | $ | 352 |  |  | $ | 364 |  |  | $ | 445 |  |  | $ | 195 |  |  | $ | 1,195 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,572 |
Total mortgage loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
0% - 50% | $ | 10 |  |  | $ | 843 |  |  | $ | 312 |  |  | $ | 237 |  |  | $ | 128 |  |  | $ | 2,313 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,843 |
50% - 70% | 248 |  |  | 2,418 |  |  | 1,750 |  |  | 1,114 |  |  | 379 |  |  | 3,243 |  |  | 268 |  |  | 94 |  |  | 9,514 |
70% - 90% | 243 |  |  | 364 |  |  | 382 |  |  | 463 |  |  | 328 |  |  | 1,651 |  |  | 28 |  |  | 34 |  |  | 3,493 |
90% plus | — |  |  | — |  |  | 33 |  |  | — |  |  | — |  |  | 225 |  |  | — |  |  | — |  |  | 258 |
Total mortgage loans | $ | 501 |  |  | $ | 3,625 |  |  | $ | 2,477 |  |  | $ | 1,814 |  |  | $ | 835 |  |  | $ | 7,432 |  |  | $ | 296 |  |  | $ | 128 |  |  | $ | 17,108 |
Debt Service Coverage (“DSC”) Ratios (2)
| March 31, 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)
Mortgage loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Greater than 2.0x | $ | — |  |  | $ | 783 |  |  | $ | 1,160 |  |  | $ | 1,113 |  |  | $ | 102 |  |  | $ | 2,634 |  |  | $ | — |  |  | $ | — |  |  | $ | 5,792 |
1.8x to 2.0x | — |  |  | 94 |  |  | 180 |  |  | 164 |  |  | 288 |  |  | 605 |  |  | 242 |  |  | 94 |  |  | 1,667 |
1.5x to 1.8x | — |  |  | 400 |  |  | 490 |  |  | 32 |  |  | 195 |  |  | 1,234 |  |  | — |  |  | — |  |  | 2,351 |
1.2x to 1.5x | 307 |  |  | 1,041 |  |  | 194 |  |  | — |  |  | — |  |  | 854 |  |  | — |  |  | — |  |  | 2,396 |
1.0x to 1.2x | 166 |  |  | 496 |  |  | 41 |  |  | 60 |  |  | 55 |  |  | 840 |  |  | 54 |  |  | 34 |  |  | 1,746 |
Less than 1.0x | 7 |  |  | 459 |  |  | 48 |  |  | — |  |  | — |  |  | 70 |  |  | — |  |  | — |  |  | 584 |
Total commercial | $ | 480 |  |  | $ | 3,273 |  |  | $ | 2,113 |  |  | $ | 1,369 |  |  | $ | 640 |  |  | $ | 6,237 |  |  | $ | 296 |  |  | $ | 128 |  |  | $ | 14,536 |
Agricultural: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Greater than 2.0x | $ | 2 |  |  | $ | 51 |  |  | $ | 40 |  |  | $ | 61 |  |  | $ | 21 |  |  | $ | 189 |  |  | $ | — |  |  | $ | — |  |  | $ | 364 |
| March 31, 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)
1.8x to 2.0x | — |  |  | 16 |  |  | 57 |  |  | 33 |  |  | 24 |  |  | 67 |  |  | — |  |  | — |  |  | 197 |
1.5x to 1.8x | 6 |  |  | 69 |  |  | 31 |  |  | 110 |  |  | 18 |  |  | 213 |  |  | — |  |  | — |  |  | 447 |
1.2x to 1.5x | 4 |  |  | 107 |  |  | 156 |  |  | 177 |  |  | 97 |  |  | 391 |  |  | — |  |  | — |  |  | 932 |
1.0x to 1.2x | 5 |  |  | 90 |  |  | 80 |  |  | 60 |  |  | 29 |  |  | 310 |  |  | — |  |  | — |  |  | 574 |
Less than 1.0x | 4 |  |  | 19 |  |  | — |  |  | 4 |  |  | 6 |  |  | 25 |  |  | — |  |  | — |  |  | 58 |
Total agricultural | $ | 21 |  |  | $ | 352 |  |  | $ | 364 |  |  | $ | 445 |  |  | $ | 195 |  |  | $ | 1,195 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,572 |
Total mortgage loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Greater than 2.0x | $ | 2 |  |  | $ | 834 |  |  | $ | 1,200 |  |  | $ | 1,174 |  |  | $ | 123 |  |  | $ | 2,823 |  |  | $ | — |  |  | $ | — |  |  | $ | 6,156 |
1.8x to 2.0x | — |  |  | 110 |  |  | 237 |  |  | 197 |  |  | 312 |  |  | 672 |  |  | 242 |  |  | 94 |  |  | 1,864 |
1.5x to 1.8x | 6 |  |  | 469 |  |  | 521 |  |  | 142 |  |  | 213 |  |  | 1,447 |  |  | — |  |  | — |  |  | 2,798 |
1.2x to 1.5x | 311 |  |  | 1,148 |  |  | 350 |  |  | 177 |  |  | 97 |  |  | 1,245 |  |  | — |  |  | — |  |  | 3,328 |
1.0x to 1.2x | 171 |  |  | 586 |  |  | 121 |  |  | 120 |  |  | 84 |  |  | 1,150 |  |  | 54 |  |  | 34 |  |  | 2,320 |
Less than 1.0x | 11 |  |  | 478 |  |  | 48 |  |  | 4 |  |  | 6 |  |  | 95 |  |  | — |  |  | — |  |  | 642 |
Total mortgage loans | $ | 501 |  |  | $ | 3,625 |  |  | $ | 2,477 |  |  | $ | 1,814 |  |  | $ | 835 |  |  | $ | 7,432 |  |  | $ | 296 |  |  | $ | 128 |  |  | $ | 17,108 |
______________ (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. LTV Ratios (1)
| 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)
Mortgage loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
0% - 50% | $ | 624 |  |  | $ | 130 |  |  | $ | — |  |  | $ | — |  |  | $ | 119 |  |  | $ | 1,259 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,132 |
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 |  |  | $ | 5,060 |  |  | $ | 328 |  |  | $ | 34 |  |  | $ | 14,020 |
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 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
| 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 agricultural | $ | 353 |  |  | $ | 367 |  |  | $ | 450 |  |  | $ | 197 |  |  | $ | 215 |  |  | $ | 1,008 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,590 |
Total mortgage loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
0% - 50% | $ | 787 |  |  | $ | 312 |  |  | $ | 228 |  |  | $ | 129 |  |  | $ | 251 |  |  | $ | 1,984 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,691 |
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 mortgage loans | $ | 3,625 |  |  | $ | 2,481 |  |  | $ | 1,819 |  |  | $ | 839 |  |  | $ | 1,416 |  |  | $ | 6,068 |  |  | $ | 328 |  |  | $ | 34 |  |  | $ | 16,610 |
DSC Ratios (2)
| 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)
Mortgage loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Greater than 2.0x | $ | 771 |  |  | $ | 1,159 |  |  | $ | 1,113 |  |  | $ | 102 |  |  | $ | 571 |  |  | $ | 1,923 |  |  | $ | — |  |  | $ | — |  |  | $ | 5,639 |
1.8x to 2.0x | 158 |  |  | 215 |  |  | 164 |  |  | 197 |  |  | 186 |  |  | 482 |  |  | 279 |  |  | — |  |  | 1,681 |
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 |  |  | $ | 5,060 |  |  | $ | 328 |  |  | $ | 34 |  |  | $ | 14,020 |
| 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)
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 |
Total mortgage loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Greater than 2.0x | $ | 822 |  |  | $ | 1,199 |  |  | $ | 1,175 |  |  | $ | 123 |  |  | $ | 583 |  |  | $ | 2,116 |  |  | $ | — |  |  | $ | — |  |  | $ | 6,018 |
1.8x to 2.0x | 174 |  |  | 273 |  |  | 199 |  |  | 221 |  |  | 200 |  |  | 533 |  |  | 279 |  |  | — |  |  | 1,879 |
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 mortgage loans | $ | 3,625 |  |  | $ | 2,481 |  |  | $ | 1,819 |  |  | $ | 839 |  |  | $ | 1,416 |  |  | $ | 6,068 |  |  | $ | 328 |  |  | $ | 34 |  |  | $ | 16,610 |
______________ (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. Past-Due and Nonaccrual Mortgage Loan Status The following table provides information relating to the aging analysis of past-due mortgage loans as of March 31, 2023 and December 31, 2022, respectively. 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)
March 31, 2023: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial | $ | 62 |  |  | $ | — |  |  | $ | — |  |  | $ | 62 |  |  | $ | 14,383 |  |  | $ | 14,445 |  |  | $ | 91 |  |  | $ | 14,536 |  |  | $ | — |  |  | $ | 1 |
Agricultural | 17 |  |  | 11 |  |  | 15 |  |  | 43 |  |  | 2,510 |  |  | 2,553 |  |  | 19 |  |  | 2,572 |  |  | 3 |  |  | — |
Total | $ | 79 |  |  | $ | 11 |  |  | $ | 15 |  |  | $ | 105 |  |  | $ | 16,893 |  |  | $ | 16,998 |  |  | $ | 110 |  |  | $ | 17,108 |  |  | $ | 3 |  |  | $ | 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)
December 31, 2022: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial | $ | 56 |  |  | $ | — |  |  | $ | — |  |  | $ | 56 |  |  | $ | 13,964 |  |  | $ | 14,020 |  |  | $ | — |  |  | $ | 14,020 |  |  | $ | — |  |  | $ | — |
Agricultural | 3 |  |  | 5 |  |  | 13 |  |  | 21 |  |  | 2,553 |  |  | 2,574 |  |  | 16 |  |  | 2,590 |  |  | — |  |  | — |
Total | $ | 59 |  |  | $ | 5 |  |  | $ | 13 |  |  | $ | 77 |  |  | $ | 16,517 |  |  | $ | 16,594 |  |  | $ | 16 |  |  | $ | 16,610 |  |  | $ | — |  |  | $ | — |
_______________ (1)Amounts presented at amortized cost basis. As of March 31, 2023 and December 31, 2022, the carrying values of problem mortgage loans that had been classified as non-accrual loans were $17 million and $14 million, respectively. The carrying values of those mortgage loans are presented net of an allowance of $2 million and $2 million, respectively, as of March 31, 2023 and December 31, 2022. Troubled Debt Restructuring During the three months ended March 31, 2023, we granted a modification to a $56 million commercial real estate loan, which is 0.3% of the mortgage loans on real estate. 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 months ended March 31, 2022, the Company identified an immaterial amount of TDRs. Equity Securities The table below presents a breakdown of unrealized and realized gains and (losses) on equity securities during the three months ended March 31, 2023 and 2022. Unrealized and Realized Gains (Losses) from Equity Securities
|  | Three Months Ended March 31,
|  |  |  | 2023 |  | 2022 |
|  |  |  | (in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period |  |  |  | $ | (3) |  |  | $ | (40) |  |
Net investment gains (losses) recognized on securities sold during the period |  |  |  | — |  |  | (13) |  |
Unrealized and realized gains (losses) on equity securities |  |  |  | $ | (3) |  |  | $ | (53) |  |
Trading Securities As of March 31, 2023 and December 31, 2022, respectively, the fair value of the Company’s trading securities was $828 million and $677 million. As of March 31, 2023 and December 31, 2022, respectively, trading securities included the General Account’s investment in Separate Accounts had carrying values of $46 million and $39 million. The table below shows a breakdown of net investment income (loss) from trading securities during the three months ended March 31, 2023 and 2022. Net Investment Income (Loss) from Trading Securities
|  |  | Three Months Ended March 31,
|  |  |  |  | 2023 |  | 2022 |  |
|  |  |  |  | (in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period |  |  |  |  | $ | 35 |  |  | $ | (94) |  |  |
Net investment gains (losses) recognized on securities sold during the period |  |  |  |  | (1) |  |  | 2 |  |  |
Unrealized and realized gains (losses) on trading securities |  |  |  |  | 34 |  |  | (92) |  |  |
Interest and dividend income from trading securities |  |  |  |  | 5 |  |  | 16 |  |  |
Net investment income (loss) from trading securities |  |  |  |  | $ | 39 |  |  | $ | (76) |  |  |
Fixed maturities, at fair value using the fair value option The table below shows a breakdown of net investment income (loss) from fixed maturities, at fair value using the fair value option during the three months ended March 31, 2023 and 2022. Net Investment Income (Loss) from Fixed Maturities, at Fair Value using the Fair Value Option
|  |  | Three Months Ended March 31,
|  |  |  |  | 2023 |  | 2022
|  |  |  |  | (in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period |  |  |  |  | $ | 4 |  |  | $ | (5) |
Net investment gains (losses) recognized on securities sold during the period |  |  |  |  | (2) |  |  | 6 |
Unrealized and realized gains (losses) from fixed maturities |  |  |  |  | 2 |  |  | 1 |
Interest and dividend income from fixed maturities |  |  |  |  | 7 |  |  | 16 |
Net investment income (loss) from fixed maturities |  |  |  |  | $ | 9 |  |  | $ | 17 |

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