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



	As of March 31, 2022
							Allowance
	Amortized		Gross Unrealized				for Credit		Fair
	Cost		Gains		Losses		Losses		Value
Fixed maturity AFS securities:
Corporate bonds	$	88,091	$	4,983	$	2,497	$	16	$	90,561
U.S. government bonds		392		31		5		-		418
State and municipal bonds		5,380		775		154		-		6,001
Foreign government bonds		358		43		18		-		383
RMBS		2,290		92		42		2		2,338
CMBS		1,656		8		72		-		1,592
ABS		9,046		73		189		1		8,929
Hybrid and redeemable preferred securities		409		86		21		1		473
Total fixed maturity AFS securities	$	107,622	$	6,091	$	2,998	$	20	$	110,695



	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 March 31, 2022, were as follows:



	Amortized		Fair
	Cost		Value
Due in one year or less	$	3,095	$	3,096
Due after one year through five years		16,078		16,061
Due after five years through ten years		19,211		19,096
Due after ten years		56,246		59,583
Subtotal		94,630		97,836
Structured securities (RMBS, CMBS, ABS)		12,992		12,859
Total fixed maturity AFS securities	$	107,622	$	110,695

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 March 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	$	30,470		$	1,936	$	3,411		$	561	$	33,881		$	2,497
U.S. government bonds		36			1		24			4		60			5
State and municipal bonds		1,296			141		73			13		1,369			154
Foreign government bonds		74			7		82			11		156			18
RMBS		960			39		32			3		992			42
CMBS		1,000			44		223			28		1,223			72
ABS		6,938			169		475			20		7,413			189
Hybrid and redeemable
preferred securities		95			5		70			16		165			21
Total fixed maturity AFS securities	$	40,869		$	2,342	$	4,390		$	656	$	45,259		$	2,998

Total number of fixed maturity AFS securities in an unrealized loss position															5,093



	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 March 31, 2022, and December 31, 2021, we recognized $8 million of gross unrealized losses in other comprehensive income (loss) (“OCI”) for fixed maturity AFS securities for which an allowance for credit losses has been recorded.

The fair value, gross unrealized losses (in millions) and number of fixed maturity AFS securities where the fair value had declined and remained below amortized cost by greater than 20% were as follows:



	As of March 31, 2022
			Gross			Number
	Fair		Unrealized			of
	Value		Losses		Securities⁽¹⁾
Less than six months	$	640	$	178			83
Twelve months or greater		38		6			21
Total	$	678	$	184			104


	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 $2.5 billion for the three months ended March 31, 2022. As discussed further below, we believe the unrealized loss position as of March 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 March 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 March 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 widening credit spreads and rising interest rates 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 March 31, 2022, and December 31, 2021, 96% of the fair value of our corporate bond portfolio was rated investment grade. As of March 31, 2022, and December 31, 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 $3.6 billion and $3.8 billion, respectively. Based upon the analysis discussed above, we believe that as of March 31, 2022, and December 31, 2021, we would have recovered the amortized cost of each corporate bond.

As of March 31, 2022, the unrealized losses associated with our mortgage-backed securities and ABS were attributable primarily to widening credit spreads and rising interest rates 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 March 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. Changes in the allowance for credit losses on fixed maturity AFS securities (in millions), aggregated by investment category, were as follows:



	For the Three
	Months Ended
	March 31, 2022
	Corporate
	Bonds			RMBS		Other		Total
Balance as of beginning-of-year	$	17		$	1	$	1	$	19
Additions for securities for which credit losses were not
previously recognized		-			1		1		2
Additions from purchases of PCD debt securities ⁽¹⁾		-			-		-		-
Reductions for securities disposed		(1	)		-		-		(1	)
Balance as of end-of-period ⁽²⁾	$	16		$	2	$	2	$	20



	For the Three
	Months Ended
	March 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 (reductions) for securities for which credit losses
were previously recognized		1		-		-		1
Balance as of end-of-period ⁽²⁾	$	13	$	1	$	-	$	14

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

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

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 March 31, 2022									As of December 31, 2021
	Commercial			Residential			Total			Commercial			Residential			Total
Current	$	16,774		$	1,015		$	17,789		$	17,167		$	837		$	18,004
30 to 59 days past due		90			23			113			15			21			36
60 to 89 days past due		16			9			25			-			5			5
90 or more days past due		-			26			26			-			29			29
Allowance for credit losses		(59	)		(18	)		(77	)		(79	)		(17	)		(96	)
Unamortized premium (discount)		(10	)		32			22			(11	)		27			16
Mark-to-market gains (losses) ⁽¹⁾		(6	)		-			(6	)		(3	)		-			(3	)
Total carrying value	$	16,805		$	1,087		$	17,892		$	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 13 for additional information.

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

Our residential mortgage loan portfolio has the largest concentrations in California, which accounted for 21% and 22% of residential mortgage loans on real estate as of March 31, 2022, and December 31, 2021, respectively, and Florida, which accounted for 12% and 14% of residential mortgage loans on real estate as of March 31, 2022, and December 31, 2021, respectively.

As of March 31, 2022, and December 31, 2021, we had 63 and 65 residential mortgage loans, respectively, that were either delinquent or in foreclosure. As of March 31, 2022, and December 31, 2021, we had 38 and 34 residential mortgage loans in foreclosure, respectively, with an aggregate carrying value of $17 million and $15 million, respectively.

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

As of March 31, 2022, and December 31, 2021, there were 46 and 50 specifically identified impaired residential mortgage loans, respectively, with an aggregate carrying value of $18 million and $22 million, respectively.

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



	For the Three
	Months Ended
	March 31,
	2022		2021
Average aggregate carrying value for impaired mortgage loans on real estate	$	21	$	36
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 March 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		-		26		-		30
Total	$	-	$	26	$	-	$	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 March 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	$	329	2.67	$	25	1.57	$	-	-	$	354
2021		2,378	3.05		87	1.50		-	-		2,465
2020		1,355	2.98		20	1.55		-	-		1,375
2019		2,700	2.15		178	1.56		-	-		2,878
2018		2,238	2.14		155	1.56		15	1.02		2,408
2017 and prior		7,040	2.37		302	1.77		48	0.99		7,390
Total	$	16,040		$	767		$	63		$	16,870



	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 March 31, 2022
	Performing		Nonperforming			Total
Origination Year
2022	$	134		$	-	$	134
2021		574			3		577
2020		113			3		116
2019		170			17		187
2018		88			3		91
2017 and prior		-			-		-
Total	$	1,079		$	26	$	1,105


	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.

Changes in the allowance for credit losses on mortgage loans on real estate (in millions) were as follows:


	For the Three
	Months Ended
	March 31, 2022
	Commercial			Residential		Total
Balance as of beginning-of-year	$	79		$	17	$	96
Additions (reductions) from provision for credit loss expense ⁽¹⁾		(20	)		1		(19	)
Additions from purchases of PCD mortgage loans on real estate		-			-		-
Balance as of end-of-period ⁽²⁾	$	59		$	18	$	77



	For the Three
	Months Ended
	March 31, 2021
	Commercial			Residential			Total
Balance as of beginning-of-year	$	187		$	17		$	204
Additions (reductions) from provision for credit loss expense ⁽¹⁾		(15	)		(5	)		(20	)
Additions from purchases of PCD mortgage loans on real estate		-			-			-
Balance as of end-of-period ⁽²⁾	$	172		$	12		$	184

⁽¹⁾Due to improving economic projections, the provision for credit loss expense decreased by $19 million and $20 million for the three months ended March 31, 2022 and 2021, respectively. We recognized $(1) million and $4 million of credit loss benefit (expense) related to unfunded commitments for mortgage loans on real estate for the three months ended March 31, 2022 and 2021, respectively.

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

Alternative Investments

As of March 31, 2022, and December 31, 2021, alternative investments included investments in 318 and 311 different partnerships, respectively, and represented approximately 2% of total investments.

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 Three
	Months Ended
	March 31,
	2022			2021
Credit Loss Benefit (Expense)
Fixed maturity AFS securities:
Corporate bonds	$	1		$	(2	)
RMBS		(1	)		-
ABS		(1	)		-
Gross credit loss benefit (expense)		(1	)		(2	)
Associated amortization of DAC, VOBA, DSI and DFEL ⁽¹⁾		-			-
Net credit loss benefit (expense)	$	(1	)	$	(2	)

⁽¹⁾Deferred acquisition costs (“DAC”), value of business acquired (“VOBA”), deferred sales inducements (“DSI”) and deferred front-end loads (“DFEL”).

Payables for Collateral on Investments

The carrying value of the payables for collateral on investments included on our Consolidated Balance Sheets and the fair value of the related investments or collateral (in millions) consisted of the following:



	As of March 31, 2022				As of December 31, 2021
	Carrying		Fair		Carrying		Fair
	Value		Value		Value		Value
Collateral payable for derivative investments ⁽¹⁾	$	4,789	$	4,789	$	5,575	$	5,575
Securities pledged under securities lending agreements ⁽²⁾		258		250		241		235
Investments pledged for Federal Home Loan Bank of
Indianapolis⁽³⁾		3,880		5,924		3,130		4,876
Total payables for collateral on investments	$	8,927	$	10,963	$	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 4 for additional information.

⁽²⁾Our pledged securities under securities lending agreements are included in fixed maturity AFS securities on our Consolidated Balance Sheets. We generally obtain collateral in an amount equal to 102% and 105% of the fair value of the domestic and foreign securities, respectively. We value collateral daily and obtain additional collateral when deemed appropriate. The cash received in our securities lending program is typically invested in cash and invested cash or fixed maturity AFS securities.

⁽³⁾Our pledged investments for Federal Home Loan Bank (“FHLB”) of Indianapolis (“FHLBI”) are included in fixed maturity AFS securities and mortgage loans on real estate on our 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 March 31, 2022, and December 31, 2021, we were not participating in any open repurchase agreements.

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

We have elected not to offset our securities lending transactions in our 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 March 31, 2022, the fair value of all collateral received that we are permitted to sell or re-pledge was $22 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 March 31, 2022, our investment commitments were $3.1 billion, which included $1.5 billion of LPs, $854 million of private placement securities and $740 million of mortgage loans on real estate.

As of March 31, 2022, and December 31, 2021, our most significant investments in one issuer were our investments in securities issued by the Federal Home Loan Mortgage Corporation with a fair value of $857 million and $953 million, respectively, or 1% of total investments, and our investments in securities issued by the Federal National Mortgage Association with a fair value of $854 million and $926 million, respectively, or 1% of total investments. These concentrations include fixed maturity AFS, trading and equity securities.

As of March 31, 2022, and December 31, 2021, our most significant investments in one industry were our investments in securities in the financial services industry with a fair value of $18.1 billion and $19.2 billion, respectively, or 13% and 12%, respectively, of total investments, and our investments in securities in the consumer non-cyclical industry with a fair value of $17.8 billion and $19.6 billion, respectively, or 12% and 13%, respectively, of total investments. These concentrations include fixed maturity AFS, trading and equity securities.