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v3.23.2

Investments | 6 Months Ended
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Jun. 30, 2023
Investments [Abstract] |
Investments | 4. Investments Fixed Maturity AFS Securities 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 June 30, 2023 |
|  |  |  |  |  |  |  |  |  | Allowance |  |  |  |
| Amortized |  | Gross Unrealized |  | for Credit |  | Fair |
| Cost |  | Gains |  | Losses |  | Losses |  | Value |
Fixed maturity AFS securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate bonds | $ | 88,334 |  | $ | 874 |  | $ | 9,888 |  | $ | 13 |  | $ | 79,307 |
U.S. government bonds |  | 396 |  |  | 5 |  |  | 30 |  |  | - |  |  | 371 |
State and municipal bonds |  | 5,268 |  |  | 218 |  |  | 412 |  |  | - |  |  | 5,074 |
Foreign government bonds |  | 312 |  |  | 15 |  |  | 46 |  |  | - |  |  | 281 |
RMBS |  | 2,205 |  |  | 22 |  |  | 206 |  |  | 6 |  |  | 2,015 |
CMBS |  | 1,915 |  |  | 1 |  |  | 232 |  |  | - |  |  | 1,684 |
ABS |  | 12,562 |  |  | 40 |  |  | 804 |  |  | 5 |  |  | 11,793 |
Hybrid and redeemable preferred securities |  | 362 |  |  | 26 |  |  | 22 |  |  | 1 |  |  | 365 |
Total fixed maturity AFS securities | $ | 111,354 |  | $ | 1,201 |  | $ | 11,640 |  | $ | 25 |  | $ | 100,890 |
| 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 |
The amortized cost and fair value of fixed maturity AFS securities by contractual maturities (in millions) as of June 30, 2023, were as follows:
| Amortized |  | Fair |
| Cost |  | Value |
Due in one year or less | $ | 3,546 |  | $ | 3,502 |
Due after one year through five years |  | 18,491 |  |  | 17,580 |
Due after five years through ten years |  | 17,189 |  |  | 15,601 |
Due after ten years |  | 55,446 |  |  | 48,715 |
Subtotal |  | 94,672 |  |  | 85,398 |
Structured securities (RMBS, CMBS, ABS) |  | 16,682 |  |  | 15,492 |
Total fixed maturity AFS securities | $ | 111,354 |  | $ | 100,890 |
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 June 30, 2023 |
| 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 | $ | 22,081 |  | $ | 1,288 |  | $ | 44,158 |  | $ | 8,600 |  | $ | 66,239 |  |  | $ | 9,888 |
U.S. government bonds |  | 115 |  |  | 9 |  |  | 142 |  |  | 21 |  |  | 257 |  |  |  | 30 |
State and municipal bonds |  | 576 |  |  | 25 |  |  | 1,560 |  |  | 387 |  |  | 2,136 |  |  |  | 412 |
Foreign government bonds |  | 72 |  |  | 4 |  |  | 118 |  |  | 42 |  |  | 190 |  |  |  | 46 |
RMBS |  | 770 |  |  | 41 |  |  | 955 |  |  | 165 |  |  | 1,725 |  |  |  | 206 |
CMBS |  | 408 |  |  | 18 |  |  | 1,222 |  |  | 214 |  |  | 1,630 |  |  |  | 232 |
ABS |  | 3,183 |  |  | 115 |  |  | 7,449 |  |  | 689 |  |  | 10,632 |  |  |  | 804 |
Hybrid and redeemable |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
preferred securities |  | 57 |  |  | 5 |  |  | 124 |  |  | 17 |  |  | 181 |  |  |  | 22 |
Total fixed maturity AFS securities | $ | 27,262 |  | $ | 1,505 |  | $ | 55,728 |  | $ | 10,135 |  | $ | 82,990 |  |  | $ | 11,640 |
Total number of fixed maturity AFS securities in an unrealized loss position |  |  |  | 8,331 |
| 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 |
(1)As of June 30, 2023, and December 31, 2022, we recognized $10 million and $6 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 June 30, 2023 |
|  |  |  | Gross |  |  | Number |
| Fair |  | Unrealized |  |  | of |
| Value |  | Losses |  | Securities (1)
Less than six months | $ | 4,669 |  | $ | 1,324 |  |  |  | 674 |
Six months or greater, but less than nine months |  | 208 |  |  | 85 |  |  |  | 34 |
Nine months or greater, but less than twelve months |  | 4,214 |  |  | 1,588 |  |  |  | 697 |
Twelve months or greater |  | 4,687 |  |  | 2,355 |  |  |  | 666 |
Total | $ | 13,778 |  | $ | 5,352 |  |  |  | 2,071 |
| 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 |
(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 decreased by $1.4 billion for the six months ended June 30, 2023, due in part to the impairment on certain fixed maturity AFS securities intended to be sold as part of the previously announced Fortitude Reinsurance Company Ltd. (“Fortitude Re”) reinsurance transaction. We do not believe the unrealized loss position as of June 30, 2023, required an impairment recognized in earnings as: (i) we did not intend to sell these fixed maturity AFS securities; (ii) it is not more likely than not that we will be required to sell the fixed maturity AFS securities before recovery of their amortized cost basis; and (iii) the difference in the fair value compared to the amortized cost was due to factors other than credit loss. Based upon this evaluation as of June 30, 2023, 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. For additional information related to the intent to sell impairments, see “Impairments on Fixed Maturity AFS Securities” below. As of June 30, 2023, the unrealized losses associated with our corporate bond, U.S. government bond, state and municipal bond and foreign government bond securities were attributable primarily to rising interest rates and widening credit spreads since purchase. We performed a detailed analysis of the financial performance of the underlying issuers and determined that we expected to recover the entire amortized cost of each impaired security. Credit ratings express opinions about the credit quality of a security. Securities rated investment grade (those rated BBB- or higher by S&P Global Ratings (“S&P”) or Baa3 or higher by Moody’s Investors Service (“Moody’s”)) are generally considered by the rating agencies and market participants to be low credit risk. As of June 30, 2023, and December 31, 2022, 96% of the fair value of our corporate bond portfolio was rated investment grade. As of June 30, 2023, and December 31, 2022, the portion of our corporate bond portfolio rated below investment grade had an amortized cost of $3.3 billion and $3.7 billion, respectively, and a fair value of $3.1 billion and $3.5 billion, respectively. Based upon the analysis discussed above, we believe that as of June 30, 2023, and December 31, 2022, we would have recovered the amortized cost of each corporate bond. As of June 30, 2023, 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 June 30, 2023, 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 |
| June 30, 2023 |
| Corporate |  |  |  |  |  |  |  |  |  |
| Bonds |  | RMBS |  | Other |  | Total |
Balance as of beginning-of-period | $ | 27 |  | $ | 6 |  | $ | 6 |  | $ | 39 |
Additions from purchases of PCD debt securities (1) |  | - |  |  | - |  |  | - |  |  | - |
Additions for securities for which credit losses were not |  |  |  |  |  |  |  |  |  |  |  |
previously recognized |  | 2 |  |  | - |  |  | - |  |  | 2 |
Additions (reductions) for securities for which credit losses |  |  |  |  |  |  |  |  |  |  |  |
were previously recognized |  | (3 | ) |  | - |  |  | - |  |  | (3 | )
Reductions for securities charged-off |  | (13 | ) |  | - |  |  | - |  |  | (13 | )
Balance as of end-of-period (2) | $ | 13 |  | $ | 6 |  | $ | 6 |  | $ | 25 |
| For the Six |
| Months Ended |
| June 30, 2023 |
| Corporate |  |  |  |  |  |  |  |  |  |
| Bonds |  | RMBS |  | Other |  | Total |
Balance as of beginning-of-year | $ | 9 |  | $ | 7 |  | $ | 6 |  | $ | 22 |
Additions from purchases of PCD debt securities (1) |  | - |  |  | - |  |  | - |  |  | - |
Additions for securities for which credit losses were not |  |  |  |  |  |  |  |  |  |  |  |
previously recognized |  | 21 |  |  | - |  |  | - |  |  | 21 |
Additions (reductions) for securities for which credit losses |  |  |  |  |  |  |  |  |  |  |  |
were previously recognized |  | (3 | ) |  | (1 | ) |  | - |  |  | (4 | )
Reductions for securities disposed |  | (1 | ) |  | - |  |  | - |  |  | (1 | )
Reductions for securities charged-off |  | (13 | ) |  | - |  |  | - |  |  | (13 | )
Balance as of end-of-period (2) | $ | 13 |  | $ | 6 |  | $ | 6 |  | $ | 25 |
| For the Three |
| Months Ended |
| June 30, 2022 |
| Corporate |  |  |  |  |  |  |  |  |  |
| Bonds |  | RMBS |  | Other |  | Total |
Balance as of beginning-of-period | $ | 16 |  | $ | 2 |  | $ | 2 |  | $ | 20 |
Additions from purchases of PCD debt securities (1) |  | - |  |  | - |  |  | - |  |  | - |
Additions for securities for which credit losses were not |  |  |  |  |  |  |  |  |  |  |  |
previously recognized |  | 1 |  |  | - |  |  | - |  |  | 1 |
Additions (reductions) for securities for which credit losses |  |  |  |  |  |  |  |  |  |  |  |
were previously recognized |  | 2 |  |  | 1 |  |  | - |  |  | 3 |
Reductions for securities charged-off |  | (12 | ) |  | - |  |  | - |  |  | (12 | )
Balance as of end-of-period (2) | $ | 7 |  | $ | 3 |  | $ | 2 |  | $ | 12 |
‎
| For the Six |
| Months Ended |
| June 30, 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 |  | 1 |  |  | - |  |  | 1 |  |  | 2 |
Additions (reductions) for securities for which credit losses |  |  |  |  |  |  |  |  |  |  |  |
were previously recognized |  | 2 |  |  | 2 |  |  | - |  |  | 4 |
Reductions for securities disposed |  | (1 | ) |  | - |  |  | - |  |  | (1 | )
Reductions for securities charged-off |  | (12 | ) |  | - |  |  | - |  |  | (12 | )
Balance as of end-of-period (2) | $ | 7 |  | $ | 3 |  | $ | 2 |  | $ | 12 |
(1)Represents purchased credit-deteriorated (“PCD”) fixed maturity AFS securities. (2)As of June 30, 2023 and 2022, accrued investment income on fixed maturity AFS securities totaled $1.1 billion and $1.0 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 June 30, 2023 |  | As of December 31, 2022 |
| Commercial |  | Residential |  | Total |  | Commercial |  | Residential |  | Total |
Current | $ | 17,021 |  | $ | 1,471 |  | $ | 18,492 |  | $ | 17,003 |  | $ | 1,315 |  | $ | 18,318 |
30 to 59 days past due |  | - |  |  | 20 |  |  | 20 |  |  | 19 |  |  | 23 |  |  | 42 |
60 to 89 days past due |  | - |  |  | 4 |  |  | 4 |  |  | - |  |  | 6 |  |  | 6 |
90 or more days past due |  | - |  |  | 45 |  |  | 45 |  |  | - |  |  | 33 |  |  | 33 |
Allowance for credit losses |  | (82 | ) |  | (23 | ) |  | (105 | ) |  | (84 | ) |  | (15 | ) |  | (99 | )
Unamortized premium (discount) |  | (7 | ) |  | 39 |  |  | 32 |  |  | (8 | ) |  | 36 |  |  | 28 |
Mark-to-market gains (losses) (1) |  | (27 | ) |  | (1 | ) |  | (28 | ) |  | (27 | ) |  | - |  |  | (27 | )
Total carrying value | $ | 16,905 |  | $ | 1,555 |  | $ | 18,460 |  | $ | 16,903 |  | $ | 1,398 |  | $ | 18,301 |
(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 had the largest concentrations in California, which accounted for 28% and 27% of commercial mortgage loans on real estate as of June 30, 2023, and December 31, 2022, respectively, and Texas, which accounted for 9% of commercial mortgage loans on real estate as of June 30, 2023, and December 31, 2022. As of June 30, 2023, our residential mortgage loan portfolio had the largest concentrations in California and New York, which accounted for 15% and 13% of residential mortgage loans on real estate, respectively. 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 June 30, 2023, and December 31, 2022, we had 90 and 73 residential mortgage loans, respectively, that were either delinquent or in foreclosure. As of June 30, 2023, and December 31, 2022, we had 67 and 49 residential mortgage loans in foreclosure, respectively, with an aggregate carrying value of $28 million and $21 million, respectively. We adopted ASU 2022-02, Troubled Debt Restructurings and Vintage Disclosures as of January 1, 2023, and accordingly no longer identify certain debt modifications as troubled debt restructurings. Losses from loan modifications for the three and six months ended June 30, 2023, were less than $1 million and reported in realized gain (loss) on the Consolidated Statements of Comprehensive Income (Loss). As of June 30, 2023, and December 31, 2022, there were two specifically identified impaired commercial mortgage loans, with an aggregate carrying value of less than $1 million. As of June 30, 2023, and December 31, 2022, there were 64 and 37 specifically identified impaired residential mortgage loans, respectively, with an aggregate carrying value of $29 million and $16 million, respectively. Additional information related to impaired mortgage loans on real estate (in millions) was as follows:
| For the Three |  | For the Six |
| Months Ended |  | Months Ended |
| June 30, |  | June 30, |
| 2023 |  | 2022 |  | 2023 |  | 2022 |
Average aggregate carrying value for impaired mortgage loans on real estate | $ | 24 |  | $ | 15 |  | $ | 21 |  | $ | 18 |
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 June 30, 2023 |  | As of December 31, 2022 |
| 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 |  | - |  |  | 47 |  |  | - |  |  | 34 |
Total | $ | - |  | $ | 47 |  | $ | - |  | $ | 34 |
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 June 30, 2023 |
|  |  |  | Debt- |  |  |  |  | Debt- |  |  |  |  | Debt- |  |  |  |
|  |  |  | Service |  |  |  |  | Service |  |  |  |  | Service |  |  |  |
| Less |  | Coverage |  | 65% |  | Coverage |  | Greater |  | Coverage |  |  |
| than 65% |  | Ratio |  | to 75% |  | Ratio |  | than 75% |  | Ratio |  | Total |
Origination Year |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2023 | $ | 427 |  | 1.80 |  | $ | 32 |  | 1.45 |  | $ | - |  | - |  | $ | 459 |
2022 |  | 1,770 |  | 2.07 |  |  | 91 |  | 2.05 |  |  | 1 |  | 1.13 |  |  | 1,862 |
2021 |  | 2,344 |  | 3.06 |  |  | 67 |  | 1.51 |  |  | - |  | - |  |  | 2,411 |
2020 |  | 1,252 |  | 2.90 |  |  | 12 |  | 1.55 |  |  | - |  | - |  |  | 1,264 |
2019 |  | 2,593 |  | 2.23 |  |  | 87 |  | 1.50 |  |  | 18 |  | 1.43 |  |  | 2,698 |
2018 and prior |  | 7,910 |  | 2.39 |  |  | 248 |  | 1.67 |  |  | 162 |  | 1.57 |  |  | 8,320 |
Total | $ | 16,296 |  |  |  | $ | 537 |  |  |  | $ | 181 |  |  |  | $ | 17,014 |
| 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 |
We use loan performance status as the primary credit quality indicator for our residential mortgage loans on real estate. The amortized cost of residential mortgage loans on real estate (in millions) by year of origination and credit quality indicator was as follows:
| As of June 30, 2023 |
| Performing |  | Nonperforming |  | Total |
Origination Year |  |  |  |  |  |  |  |  |  |  |
2023 | $ | 185 |  |  | $ | - |  |  | $ | 185 |
2022 |  | 602 |  |  |  | 14 |  |  |  | 616 |
2021 |  | 496 |  |  |  | 10 |  |  |  | 506 |
2020 |  | 87 |  |  |  | 1 |  |  |  | 88 |
2019 |  | 105 |  |  |  | 19 |  |  |  | 124 |
2018 and prior |  | 57 |  |  |  | 3 |  |  |  | 60 |
Total | $ | 1,532 |  |  | $ | 47 |  |  | $ | 1,579 |
| 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 |
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 |
| June 30, 2023 |
| Commercial |  | Residential |  | Total |
Balance as of beginning-of-period | $ | 83 |  | $ | 20 |  | $ | 103 |
Additions (reductions) from provision for credit loss expense (1) |  | (1 | ) |  | 3 |  |  | 2 |
Additions from purchases of PCD mortgage loans on real estate |  | - |  |  | - |  |  | - |
Balance as of end-of-period (2) | $ | 82 |  | $ | 23 |  | $ | 105 |
| For the Six |
| Months Ended |
| June 30, 2023 |
| Commercial |  | Residential |  | Total |
Balance as of beginning-of-year | $ | 84 |  | $ | 15 |  | $ | 99 |
Additions (reductions) from provision for credit loss expense (1) |  | (2 | ) |  | 8 |  |  | 6 |
Additions from purchases of PCD mortgage loans on real estate |  | - |  |  | - |  |  | - |
Balance as of end-of-period (2) | $ | 82 |  | $ | 23 |  | $ | 105 |
| For the Three |
| Months Ended |
| June 30, 2022 |
| Commercial |  | Residential |  | Total |
Balance as of beginning-of-period | $ | 59 |  | $ | 18 |  | $ | 77 |
Additions (reductions) from provision for credit loss expense (1) |  | 13 |  |  | (9 | ) |  | 4 |
Additions from purchases of PCD mortgage loans on real estate |  | - |  |  | - |  |  | - |
Balance as of end-of-period (2) | $ | 72 |  | $ | 9 |  | $ | 81 |
| For the Six |
| Months Ended |
| June 30, 2022 |
| Commercial |  | Residential |  | Total |
Balance as of beginning-of-year | $ | 79 |  | $ | 17 |  | $ | 96 |
Additions (reductions) from provision for credit loss expense (1) |  | (7 | ) |  | (8 | ) |  | (15 | )
Additions from purchases of PCD mortgage loans on real estate |  | - |  |  | - |  |  | - |
Balance as of end-of-period (2) | $ | 72 |  | $ | 9 |  | $ | 81 |
(1)We recognized $(1) million and less than $(1) million of credit loss benefit (expense) related to unfunded commitments for mortgage loans on real estate for the three months ended June 30, 2023 and 2022, respectively. We recognized $(1) million of credit loss benefit (expense) related to unfunded commitments for mortgage loans on real estate for the six months ended June 30, 2023 and 2022. (2)Accrued investment income on mortgage loans on real estate totaled $53 million and $49 million as of June 30, 2023 and 2022, respectively, and was excluded from the estimate of credit losses. Alternative Investments As of June 30, 2023, and December 31, 2022, alternative investments included investments in 338 and 337 different partnerships, respectively, and represented approximately 2% of total investments. Impairments on Fixed Maturity AFS Securities Details underlying intent to sell impairments and credit loss benefit (expense) incurred 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 |  | For the Six |
| Months Ended |  | Months Ended |
| June 30, |  | June 30, |
| 2023 |  | 2022 |  | 2023 |  | 2022 |
Intent to Sell Impairments (1) |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity AFS securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate bonds | $ | (518 | ) | $ | - |  | $ | (518 | ) | $ | - |
State and municipal bonds |  | (20 | ) |  | - |  |  | (20 | ) |  | - |
RMBS |  | (19 | ) |  | - |  |  | (19 | ) |  | - |
CMBS |  | (31 | ) |  | - |  |  | (31 | ) |  | - |
ABS |  | (35 | ) |  | - |  |  | (35 | ) |  | - |
Hybrid and redeemable preferred securities |  | (1 | ) |  | - |  |  | (1 | ) |  | - |
Total intent to sell impairments | $ | (624 | ) | $ | - |  | $ | (624 | ) | $ | - |
Credit Loss Benefit (Expense) |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity AFS securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate bonds | $ | 1 |  | $ | (3 | ) | $ | (17 | ) | $ | (2 | )
RMBS |  | - |  |  | (1 | ) |  | 1 |  |  | (2 | )
ABS |  | - |  |  | - |  |  | - |  |  | (1 | )
Total credit loss benefit (expense) | $ | 1 |  | $ | (4 | ) | $ | (16 | ) | $ | (5 | )
(1)Represents impairment of certain fixed maturity AFS securities in an unrealized loss position, resulting from the Company's intent to sell these securities as part of the previously announced Fortitude Re reinsurance transaction. Within the investment portfolio anticipated to be sold in the transaction, there are additional fixed maturity AFS securities in an unrealized gain position of approximately $473 million pre-tax as of June 30, 2023. Pursuant to the applicable accounting guidance, the Company impaired the securities in a loss position down to fair market value upon entry into the agreement in the second quarter and will recognize a gain for any securities in an unrealized gain position at the time when the transaction closes. See Note 8 for additional information. 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 June 30, 2023 |  | As of December 31, 2022 |
| Carrying |  | Fair |  | Carrying |  | Fair |
| Value |  | Value |  | Value |  | Value |
Collateral payable for derivative investments (1) | $ | 4,622 |  | $ | 4,622 |  | $ | 3,284 |  | $ | 3,284 |
Securities pledged under securities lending agreements (2) |  | 290 |  |  | 282 |  |  | 298 |  |  | 287 |
Investments pledged for FHLBI (3) |  | 2,150 |  |  | 2,725 |  |  | 3,130 |  |  | 3,925 |
Total payables for collateral on investments | $ | 7,062 |  | $ | 7,629 |  | $ | 6,712 |  | $ | 7,496 |
(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 6 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 FHLB of Indianapolis (“FHLBI”) are included in fixed maturity AFS securities and mortgage loans on real estate on the Consolidated Balance Sheets. The collateral requirements are generally 105% to 115% of the fair value for fixed maturity AFS securities and 155% to 175% of the fair value for mortgage loans on real estate. The cash received in these transactions is primarily invested in cash and invested cash or fixed maturity AFS securities. We have repurchase agreements through which we can obtain liquidity by pledging securities. The collateral requirements are generally 80% to 95% of the fair value of the securities, and our agreements with third parties contain contractual provisions to allow for additional collateral to be obtained when necessary. The cash received in our repurchase program is typically invested in fixed maturity AFS securities. As of June 30, 2023, and December 31, 2022, 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 Six |
| Months Ended |
| June 30, |
| 2023 |  | 2022 |
Collateral payable for derivative investments | $ | 1,338 |  | $ | (2,280 | )
Securities pledged under securities lending agreements |  | (8 | ) |  | 58 |
Investments pledged for FHLBI |  | (980 | ) |  | 800 |
Total increase (decrease) in payables for collateral on investments | $ | 350 |  | $ | (1,422 | )
We have elected not to offset our securities lending transactions in the consolidated financial statements. The remaining contractual maturities of securities lending transactions accounted for as secured borrowings (in millions) were as follows:
| As of June 30, 2023 |
| Overnight and Continuous |  | Up to 30 Days |  | 30 - 90 ‎Days |  | Greater Than 90 Days |  | Total |
Securities Lending |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate bonds | $ | 285 |  | $ | - |  | $ | - |  | $ | - |  | $ | 285 |
Equity securities |  | 5 |  |  | - |  |  | - |  |  | - |  |  | 5 |
Total gross secured borrowings | $ | 290 |  | $ | - |  | $ | - |  | $ | - |  | $ | 290 |
| As of December 31, 2022 |
| Overnight and Continuous |  | Up to 30 Days |  | 30 - 90 ‎Days |  | Greater Than 90 Days |  | Total |
Securities Lending |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate bonds | $ | 288 |  | $ | - |  | $ | - |  | $ | - |  | $ | 288 |
Foreign government bonds |  | 2 |  |  | - |  |  | - |  |  | - |  |  | 2 |
Equity securities |  | 8 |  |  | - |  |  | - |  |  | - |  |  | 8 |
Total gross secured borrowings | $ | 298 |  | $ | - |  | $ | - |  | $ | - |  | $ | 298 |
We accept collateral in the form of securities in connection with repurchase agreements. In instances where we are permitted to sell or re-pledge the securities received, we report the fair value of the collateral received and a related obligation to return the collateral in the consolidated financial statements. In addition, we receive securities in connection with securities borrowing agreements that we are permitted to sell or re-pledge. As of June 30, 2023, 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. Investment Commitments As of June 30, 2023, our investment commitments were $2.6 billion, which included $1.9 billion of LPs, $418 million of private placement securities and $226 million of mortgage loans on real estate. Concentrations of Financial Instruments As of June 30, 2023, and December 31, 2022, our most significant investments in one issuer were our investments in securities issued by the Federal National Mortgage Association with a fair value of $768 million and $745 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 $683 million and $720 million, respectively, or 1% of total investments. These concentrations include fixed maturity AFS, trading and equity securities. As of June 30, 2023, and December 31, 2022, our most significant investments in one industry were our investments in securities in the financial services industry with a fair value of $16.2 billion and $16.6 billion, respectively, or 12% and 13%, respectively, of total investments, and our investments in securities in the consumer non-cyclical industry with a fair value of $15.5 billion and $15.1 billion, respectively, or 12% and 11%, respectively, of total investments. These concentrations include fixed maturity AFS, trading and equity securities.

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