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Investments | 12 Months Ended
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Dec. 31, 2021
Investments [Abstract] |
Investments | INVESTMENTS Fixed Maturity Securities Available-for-Sale The Company holds various types of fixed maturity securities available-for-sale and classifies them as corporate securities (“Corporate”), Canadian and Canadian provincial government securities (“Canadian government”), residential mortgage-backed securities (“RMBS”), asset-backed securities (“ABS”), commercial mortgage-backed securities (“CMBS”), U.S. government and agencies (“U.S. government”), state and political subdivisions, and other foreign government, supranational and foreign government-sponsored enterprises (“Other foreign government”). RMBS, ABS and CMBS are collectively “structured securities.” The following tables provide information relating to investments in fixed maturity securities by type as of December 31, 2021 and 2020 (dollars in millions):
December 31, 2021: |  | Amortized Cost |  | Allowance for Credit Losses |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value |  | % of Total
Available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | $ | 35,239 |  |  | $ | 26 |  |  | $ | 3,084 |  |  | $ | 194 |  |  | $ | 38,103 |  |  | 62.8 | %
Canadian government |  | 3,339 |  |  | — |  |  | 1,606 |  |  | 1 |  |  | 4,944 |  |  | 8.1 |
RMBS |  | 1,020 |  |  | — |  |  | 37 |  |  | 7 |  |  | 1,050 |  |  | 1.7 |
ABS |  | 4,024 |  |  | — |  |  | 22 |  |  | 41 |  |  | 4,005 |  |  | 6.6 |
CMBS |  | 1,790 |  |  | 1 |  |  | 66 |  |  | 6 |  |  | 1,849 |  |  | 3.0 |
U.S. government |  | 2,082 |  |  | — |  |  | 31 |  |  | 8 |  |  | 2,105 |  |  | 3.5 |
State and political subdivisions |  | 1,191 |  |  | — |  |  | 137 |  |  | 5 |  |  | 1,323 |  |  | 2.2 |
Other foreign government |  | 7,188 |  |  | 4 |  |  | 273 |  |  | 87 |  |  | 7,370 |  |  | 12.1 |
Total fixed maturity securities |  | $ | 55,873 |  |  | $ | 31 |  |  | $ | 5,256 |  |  | $ | 349 |  |  | $ | 60,749 |  |  | 100.0 | %
December 31, 2020: |  | Amortized Cost |  | Allowance for Credit Losses |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value |  | % of Total |  |
Available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | $ | 31,963 |  |  | $ | 17 |  |  | $ | 4,356 |  |  | $ | 94 |  |  | $ | 36,208 |  |  | 63.9 | % |  |
Canadian government |  | 3,145 |  |  | — |  |  | 1,995 |  |  | — |  |  | 5,140 |  |  | 9.1 |  |  |
RMBS |  | 1,735 |  |  | — |  |  | 84 |  |  | 2 |  |  | 1,817 |  |  | 3.2 |  |  |
ABS |  | 3,099 |  |  | — |  |  | 35 |  |  | 42 |  |  | 3,092 |  |  | 5.4 |  |  |
CMBS |  | 1,790 |  |  | 3 |  |  | 102 |  |  | 21 |  |  | 1,868 |  |  | 3.3 |  |  |
U.S. government |  | 1,242 |  |  | — |  |  | 196 |  |  | 1 |  |  | 1,437 |  |  | 2.5 |  |  |
State and political subdivisions |  | 1,237 |  |  | — |  |  | 157 |  |  | 4 |  |  | 1,390 |  |  | 2.4 |  |  |
Other foreign government |  | 5,337 |  |  | — |  |  | 479 |  |  | 33 |  |  | 5,783 |  |  | 10.2 |  |  |
Total fixed maturity securities |  | $ | 49,548 |  |  | $ | 20 |  |  | $ | 7,404 |  |  | $ | 197 |  |  | $ | 56,735 |  |  | 100.0 | % |  |
The Company enters into various collateral arrangements with counterparties that require both the pledging and acceptance of fixed maturity securities as collateral. Pledged fixed maturity securities are included in fixed maturity securities, available-for-sale in the consolidated balance sheets. Fixed maturity securities received as collateral are held in separate custodial accounts and are not recorded on the Company’s consolidated balance sheets. Subject to certain constraints, the Company is permitted by contract to sell or repledge collateral it receives; however, as of December 31, 2021 and 2020, none of the collateral received had been sold or repledged. The Company also holds assets in trust to satisfy collateral requirements under derivative transactions and certain third-party reinsurance treaties. The following table includes fixed maturity securities pledged and received as collateral and assets in trust held to satisfy collateral requirements under derivative transactions and certain third-party reinsurance treaties as of December 31, 2021 and 2020 (dollars in millions):
| 2021 |  | 2020
| Amortized Cost |  | Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value
Fixed maturity securities pledged as collateral | $ | 100 |  |  | $ | 103 |  |  | $ | 148 |  |  | $ | 162 |
Fixed maturity securities received as collateral | n/a |  | 1,922 |  |  | n/a |  | 1,784 |
Assets in trust held to satisfy collateral requirements | 28,671 |  |  | 31,173 |  |  | 27,675 |  |  | 31,179 |
The Company monitors its concentrations of financial instruments on an ongoing basis and mitigates credit risk by maintaining a diversified investment portfolio that limits exposure to any one issuer. The Company’s exposure to concentrations of credit risk from single issuers greater than 10% of the Company’s stockholders’ equity included securities of the U.S. government and its agencies, as well as the securities disclosed below, as of December 31, 2021 and 2020 (dollars in millions):
| 2021 |  | 2020
| Amortized Cost |  | Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value
Fixed maturity securities guaranteed or issued by: |  |  |  |  |  |  |
Government of Japan | $ | 3,080 |  |  | $ | 3,063 |  |  | $ | 1,493 |  |  | $ | 1,491 |
Canadian province of Quebec | 1,377 |  |  | 2,347 |  |  | 1,303 |  |  | 2,474 |
Canadian province of Ontario | 1,092 |  |  | 1,451 |  |  | 1,054 |  |  | 1,528 |
The amortized cost and estimated fair value of fixed maturity securities classified as available-for-sale as of December 31, 2021, are shown by contractual maturity in the table below (dollars in millions). Actual maturities can differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Structured securities are shown separately in the table below as they are not due at a single maturity date.
|  | Amortized Cost |  | Estimated Fair Value
Available-for-sale: |  |  |  |
Due in one year or less |  | $ | 1,641 |  |  | $ | 1,649 |
Due after one year through five years |  | 9,698 |  |  | 10,115 |
Due after five years through ten years |  | 10,969 |  |  | 11,700 |
Due after ten years |  | 26,731 |  |  | 30,381 |
Structured securities |  | 6,834 |  |  | 6,904 |
Total |  | $ | 55,873 |  |  | $ | 60,749 |
Corporate Fixed Maturity Securities The tables below show the major sectors of the Company’s corporate fixed maturity holdings as of December 31, 2021 and 2020 (dollars in millions):
December 31, 2021: |  | Amortized Cost |  | Estimated Fair Value |  | % of Total
Finance |  | $ | 13,101 |  |  | $ | 14,045 |  |  | 36.9 | %
Industrial |  | 17,857 |  |  | 19,375 |  |  | 50.8 |
Utility |  | 4,281 |  |  | 4,683 |  |  | 12.3 |
Total |  | $ | 35,239 |  |  | $ | 38,103 |  |  | 100.0 | %
December 31, 2020: |  | Amortized Cost |  | Estimated Fair Value |  | % of Total
Finance |  | $ | 11,785 |  |  | $ | 13,236 |  |  | 36.6 | %
Industrial |  | 16,274 |  |  | 18,435 |  |  | 50.9 |
Utility |  | 3,904 |  |  | 4,537 |  |  | 12.5 |
Total |  | $ | 31,963 |  |  | $ | 36,208 |  |  | 100.0 | %
Allowance for Credit Losses and Impairments – Fixed Maturity Securities Available-for-Sale As discussed in Note 2 – “Significant Accounting Policies and Pronouncements,” allowances for credit losses on fixed maturity securities are recognized in investment related gains (losses), net. The amount recognized represents the difference between the amortized cost of the security and the net present value of its projected future cash flows discounted at the effective interest rate implicit in the fixed maturity security prior to the allowance for credit losses. Any remaining difference between the fair value and amortized cost is recognized in AOCI. The following tables present the rollforward of the allowance for credit losses in fixed maturity securities by type for the years ended December 31, 2021 and 2020 (dollars in millions):
For the year ended December 31, 2021: |  | Corporate |  | CMBS |  | Other Foreign Government |  | Total
Balance, beginning of period |  | $ | 17 |  |  | $ | 3 |  |  | $ | — |  |  | $ | 20 |
Credit losses recognized on securities for which credit losses were not previously recorded |  | 21 |  |  | 1 |  |  | 5 |  |  | 27 |
Reductions for securities sold during the period |  | (10) |  |  | (2) |  |  | (1) |  |  | (13) |
Additional increases or decreases for credit losses on securities that had an allowance recorded in a previous period |  | (2) |  |  | (1) |  |  | — |  |  | (3) |
Balance, end of period |  | $ | 26 |  |  | $ | 1 |  |  | $ | 4 |  |  | $ | 31 |
For the year ended December 31, 2020: |  | Corporate |  | CMBS |  | Other Foreign Government |  | Total
Balance, beginning of period |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Credit losses recognized on securities for which credit losses were not previously recorded |  | 36 |  |  | 3 |  |  | 2 |  |  | 41 |
Reductions for securities sold during the period |  | (19) |  |  | — |  |  | (2) |  |  | (21) |
Balance, end of period |  | $ | 17 |  |  | $ | 3 |  |  | $ | — |  |  | $ | 20 |
Unrealized Losses for Fixed Maturity Securities Available-for-Sale The Company’s determination of whether a decline in value necessitates the recording of an allowance for credit losses includes an analysis of whether the issuer is current on its contractual payments, evaluating whether it is probable that the Company will be able to collect all amounts due according to the contractual terms of the security and analyzing the overall ability of the Company to recover the amortized cost of the investment. The following table presents the estimated fair values and gross unrealized losses for the 1,862 fixed maturity securities for which an allowance for credit loss has not been recorded as of December 31, 2021, and the estimated fair value had declined and remained below amortized cost (dollars in millions). These investments are presented by class and grade of security, as well as the length of time the related fair value has continuously remained below amortized cost.
|  | Less than 12 months |  | 12 months or greater |  | Total
December 31, 2021: |  | Estimated Fair Value |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Gross Unrealized Losses
Investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | $ | 4,135 |  |  | $ | 86 |  |  | $ | 946 |  |  | $ | 51 |  |  | $ | 5,081 |  |  | $ | 137 |
Canadian government |  | 20 |  |  | 1 |  |  | — |  |  | — |  |  | 20 |  |  | 1 |
RMBS |  | 132 |  |  | 3 |  |  | 102 |  |  | 4 |  |  | 234 |  |  | 7 |
ABS |  | 1,747 |  |  | 22 |  |  | 589 |  |  | 6 |  |  | 2,336 |  |  | 28 |
CMBS |  | 152 |  |  | 2 |  |  | 35 |  |  | 2 |  |  | 187 |  |  | 4 |
U.S. government |  | 1,513 |  |  | 6 |  |  | 31 |  |  | 2 |  |  | 1,544 |  |  | 8 |
State and political subdivisions |  | 109 |  |  | 3 |  |  | 28 |  |  | 2 |  |  | 137 |  |  | 5 |
Other foreign government |  | 2,237 |  |  | 33 |  |  | 724 |  |  | 37 |  |  | 2,961 |  |  | 70 |
Total investment grade securities |  | 10,045 |  |  | 156 |  |  | 2,455 |  |  | 104 |  |  | 12,500 |  |  | 260 |
Below investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | 463 |  |  | 13 |  |  | 97 |  |  | 44 |  |  | 560 |  |  | 57 |
ABS |  | — |  |  | — |  |  | 13 |  |  | 13 |  |  | 13 |  |  | 13 |
CMBS |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Other foreign government |  | 136 |  |  | 7 |  |  | 75 |  |  | 10 |  |  | 211 |  |  | 17 |
Total below investment grade securities |  | 599 |  |  | 20 |  |  | 185 |  |  | 67 |  |  | 784 |  |  | 87 |
Total fixed maturity securities |  | $ | 10,644 |  |  | $ | 176 |  |  | $ | 2,640 |  |  | $ | 171 |  |  | $ | 13,284 |  |  | $ | 347 |
The following table presents the estimated fair values and gross unrealized losses for the 877 fixed maturity securities that have estimated fair values below amortized cost as of December 31, 2020 (dollars in millions). These investments are presented by class and grade of security, as well as the length of time the related fair value has continuously remained below amortized cost.
|  | Less than 12 months |  | 12 months or greater |  | Total
December 31, 2020: |  | Estimated Fair Value |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Gross Unrealized Losses
Investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | $ | 930 |  |  | $ | 29 |  |  | $ | 70 |  |  | $ | 5 |  |  | $ | 1,000 |  |  | $ | 34 |
Canadian government |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
RMBS |  | 294 |  |  | 2 |  |  | — |  |  | — |  |  | 294 |  |  | 2 |
ABS |  | 1,096 |  |  | 17 |  |  | 570 |  |  | 11 |  |  | 1,666 |  |  | 28 |
CMBS |  | 160 |  |  | 6 |  |  | — |  |  | — |  |  | 160 |  |  | 6 |
U.S. government |  | 27 |  |  | 1 |  |  | — |  |  | — |  |  | 27 |  |  | 1 |
State and political subdivisions |  | 66 |  |  | 1 |  |  | 16 |  |  | 3 |  |  | 82 |  |  | 4 |
Other foreign government |  | 973 |  |  | 27 |  |  | — |  |  | — |  |  | 973 |  |  | 27 |
Total investment grade securities |  | 3,546 |  |  | 83 |  |  | 656 |  |  | 19 |  |  | 4,202 |  |  | 102 |
Below investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate |  | 375 |  |  | 49 |  |  | 81 |  |  | 11 |  |  | 456 |  |  | 60 |
ABS |  | 20 |  |  | 13 |  |  | 4 |  |  | 1 |  |  | 24 |  |  | 14 |
CMBS |  | 91 |  |  | 15 |  |  | — |  |  | — |  |  | 91 |  |  | 15 |
Other foreign government |  | 36 |  |  | 3 |  |  | 28 |  |  | 3 |  |  | 64 |  |  | 6 |
Total below investment grade securities |  | 522 |  |  | 80 |  |  | 113 |  |  | 15 |  |  | 635 |  |  | 95 |
Total fixed maturity securities |  | $ | 4,068 |  |  | $ | 163 |  |  | $ | 769 |  |  | $ | 34 |  |  | $ | 4,837 |  |  | $ | 197 |
The Company has no intention to sell, nor does it expect to be required to sell, the securities outlined in the tables above, as of the dates indicated. However, unforeseen facts and circumstances may cause the Company to sell fixed maturity securities in the ordinary course of managing its portfolio to meet certain diversification, credit quality and liquidity guidelines. Changes in unrealized losses are primarily driven by changes in interest rates. Investment Income and Investment Related Gains (Losses), Net – Accounting Correction During the first quarter of 2021, the Company reclassified approximately $92 million of pre-tax unrealized gains from AOCI to investment income, net of related expenses associated with investments in limited partnerships and private equity funds for which it utilizes the equity method of accounting. The unrealized gains should have been recognized directly in investment income in the same prior periods they were reported by the investees. In addition, the Company recorded approximately $70 million of pre-tax gains in investment related gains (losses), net, associated with investments in limited partnerships considered to be investment companies in order to adjust the carrying value from cost less impairments to a fair value approach, using the net asset value (“NAV”) per share or its equivalent. Had the adjustments been recorded in the years they were reported by the investees, the Company estimates it would have recognized approximately $102 million, $(2) million, $1 million and $10 million of pre-tax income (loss) in the years ended December 31, 2020, 2019, 2018 and 2017, respectively. Investment Income, Net of Related Expenses Major categories of investment income, net of related expenses, consist of the following (dollars in millions):
|  | For the years ended December 31,
|  | 2021 |  | 2020 |  | 2019
Fixed maturity securities available-for-sale |  | $ | 2,059 |  |  | $ | 1,928 |  |  | $ | 1,786 |
Equity securities |  | 5 |  |  | 6 |  |  | 8 |
Mortgage loans on real estate |  | 293 |  |  | 282 |  |  | 255 |
Policy loans |  | 55 |  |  | 56 |  |  | 58 |
Funds withheld at interest |  | 351 |  |  | 279 |  |  | 297 |
Short-term investments and cash and cash equivalents |  | 3 |  |  | 7 |  |  | 28 |
Other invested assets – limited partnerships and real estate joint ventures |  | 419 |  |  | 50 |  |  | 119 |
Other invested assets – all other |  | 61 |  |  | 59 |  |  | 65 |
Investment income |  | 3,246 |  |  | 2,667 |  |  | 2,616 |
Investment expense |  | (108) |  |  | (92) |  |  | (96) |
Investment income, net of related expenses |  | $ | 3,138 |  |  | $ | 2,575 |  |  | $ | 2,520 |
Investment Related Gains (Losses), Net Investment related gains (losses), net, consist of the following (dollars in millions):
|  | For the years ended December 31,
|  | 2021 |  | 2020 |  | 2019
Fixed maturity securities available-for-sale: |  |  |  |  |  |
Change in allowance for credit losses and impairments |  | $ | (12) |  |  | $ | (21) |  |  | $ | (31) |
Realized gains on investment activity |  | 299 |  |  | 114 |  |  | 151 |
Realized losses on investment activity |  | (65) |  |  | (82) |  |  | (50) |
Net gains (losses) on equity securities |  | 25 |  |  | (15) |  |  | 16 |
Other impairment losses and change in mortgage loan allowance for credit losses |  | 29 |  |  | (56) |  |  | (12) |
Change in fair value of certain limited partnership investments and other, net |  | 194 |  |  | 24 |  |  | 13 |
Net gains on derivatives |  | 90 |  |  | 3 |  |  | 4 |
Total investment related gains (losses), net |  | $ | 560 |  |  | $ | (33) |  |  | $ | 91 |
As of December 31, 2021, the Company held non-income producing securities with amortized costs, net of allowances, of $26 million and estimated fair values of $26 million. As of December 31, 2020, the Company held non-income producing securities with amortized costs, net of allowances, of $71 million and estimated fair values of $63 million. Generally, securities are non-income producing when principal or interest is not paid primarily as a result of bankruptcies or credit defaults, but also include securities where amortization has been discontinued. Securities Borrowing, Lending and Repurchase Agreements The following table includes the amount of borrowed securities, loaned securities, and securities received as collateral as part of the securities lending program, and repurchased/reverse repurchased securities pledged, securities received, and cash loaned as of December 31, 2021 and 2020 (dollars in millions):
| 2021 |  | 2020
| Amortized Cost |  | Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value
Borrowed securities | $ | 374 |  |  | $ | 420 |  |  | $ | 118 |  |  | $ | 161 |
Securities lending: |  |  |  |  |  |  |
Securities loaned | 94 |  |  | 102 |  |  | 94 |  |  | 105 |
Securities received | n/a |  | 102 |  |  | n/a |  | 102 |
Repurchase program/reverse repurchase program: |  |  |  |  |  |  |
Securities pledged | 704 |  |  | 736 |  |  | 653 |  |  | 711 |
Securities received | n/a |  | 728 |  |  | n/a |  | 669 |
Cash | 10 |  |  | 10 |  |  | — |  |  | — |
No cash or securities have been pledged by the Company for its securities borrowing program as of December 31, 2021 and 2020. The following tables present information on the Company’s securities lending and repurchase/reverse repurchase transactions as of December 31, 2021 and 2020, respectively (dollars in millions). Collateral associated with certain borrowed securities is not included within the tables as the collateral pledged to each counterparty is the right to reinsurance treaty cash flows.
| December 31, 2021
| Remaining Contractual Maturity of the Agreements
| Overnight and Continuous |  | Up to 30 Days |  | 30 – 90 Days |  | Greater than 90 Days |  | Total
Securities lending transactions: |  |  |  |  |  |  |  |  |
Corporate | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 94 |  |  | $ | 94 |
State and political subdivisions | — |  |  | — |  |  | — |  |  | 3 |  |  | 3 |
Other foreign government | — |  |  | — |  |  | — |  |  | 5 |  |  | 5 |
Total | — |  |  | — |  |  | — |  |  | 102 |  |  | 102 |
Repurchase/reverse repurchase transactions: |  |  |  |  |  |  |  |  |
Corporate | — |  |  | — |  |  | — |  |  | 366 |  |  | 366 |
Other foreign government | — |  |  | — |  |  | — |  |  | 370 |  |  | 370 |
Cash | — |  |  | — |  |  | — |  |  | 10 |  |  | 10 |
Total | — |  |  | — |  |  | — |  |  | 746 |  |  | 746 |
Total transactions | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 848 |  |  | $ | 848 |
Gross amount of recognized liabilities for securities lending and repurchase/reverse repurchase transactions in preceding table |  | $ | 830 |
Amounts related to agreements not included in offsetting disclosure |  | $ | 18 |
| December 31, 2020
| Remaining Contractual Maturity of the Agreements
| Overnight and Continuous |  | Up to 30 Days |  | 30 – 90 Days |  | Greater than 90 Days |  | Total
Securities lending transactions: |  |  |  |  |  |  |  |  |
Corporate | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 105 |  |  | $ | 105 |
Total | — |  |  | — |  |  | — |  |  | 105 |  |  | 105 |
Repurchase/reverse repurchase transactions: |  |  |  |  |  |  |  |  |
Corporate | — |  |  | — |  |  | — |  |  | 417 |  |  | 417 |
Other foreign government | — |  |  | — |  |  | — |  |  | 294 |  |  | 294 |
Total | — |  |  | — |  |  | — |  |  | 711 |  |  | 711 |
Total transactions | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 816 |  |  | $ | 816 |
Gross amount of recognized liabilities for securities lending and repurchase/reverse repurchase transactions in preceding table |  | $ | 771 |
Amounts related to agreements not included in offsetting disclosure |  | $ | 45 |
The Company has elected to offset amounts recognized as receivables and payables resulting from the repurchase/reverse repurchase programs, excluding any cash received or paid. After the effect of offsetting, there was no liability presented on the consolidated balance sheets as of December 31, 2021 and December 31, 2020. As of December 31, 2021 and December 31, 2020, the Company did not have payables resulting from cash received as collateral associated with a repurchase/reverse repurchase agreements. Amounts owed to and due from the counterparties may be settled in cash or offset, in accordance with the agreements. Mortgage Loans on Real Estate As of December 31, 2021, mortgage loans were geographically dispersed throughout the U.S. with the largest concentrations in California (13.4%), Texas (12.5%) and Washington (7.8%), in addition to loans secured by properties in Canada (3.0%) and United Kingdom (2.3%). The recorded investment in mortgage loans on real estate presented below is gross of unamortized deferred loan origination fees and expenses, and allowance for credit losses. The following table presents the distribution of the Company’s recorded investment in mortgage loans by property type as of December 31, 2021 and 2020 (dollars in millions):
|  | 2021 |  | 2020
|  | Carrying Value |  | Percentage of Total |  | Carrying Value |  | Percentage of Total
Property type: |  |  |  |  |  |  |  |
Office |  | $ | 1,683 |  |  | 26.6 | % |  | $ | 1,702 |  |  | 29.0 | %
Retail |  | 2,090 |  |  | 33.0 |  |  | 1,711 |  |  | 29.3 |
Industrial |  | 1,249 |  |  | 19.7 |  |  | 1,210 |  |  | 20.6 |
Apartment |  | 801 |  |  | 12.7 |  |  | 808 |  |  | 13.8 |
Other commercial |  | 506 |  |  | 8.0 |  |  | 430 |  |  | 7.3 |
Recorded investment |  | 6,329 |  |  | 100.0 | % |  | 5,861 |  |  | 100.0 | %
Unamortized balance of loan origination fees and expenses |  | (11) |  |  |  |  | (10) |  |  |
Allowance for credit losses |  | (35) |  |  |  |  | (64) |  |  |
Total mortgage loans on real estate |  | $ | 6,283 |  |  |  |  | $ | 5,787 |  |  |
The following table presents the maturities of the Company’s recorded investment in mortgage loans as of December 31, 2021 and 2020 (dollars in millions):
|  | 2021 |  | 2020
|  | Recorded Investment |  | % of Total |  | Recorded Investment |  | % of Total
Due within five years |  | $ | 2,660 |  |  | 42.0 | % |  | $ | 2,276 |  |  | 38.8 | %
Due after five years through ten years |  | 2,593 |  |  | 41.0 |  |  | 2,768 |  |  | 47.3 |
Due after ten years |  | 1,076 |  |  | 17.0 |  |  | 817 |  |  | 13.9 |
Total |  | $ | 6,329 |  |  | 100.0 | % |  | $ | 5,861 |  |  | 100.0 | %
The following tables set forth certain key credit quality indicators of the Company’s recorded investment in mortgage loans as of December 31, 2021 and 2020 (dollars in millions):
| Recorded Investment
| Debt Service Ratios |  | Construction loans |  |  |  |
| >1.20x |  | 1.00x – 1.20x |  | <1.00x |  |  | Total |  | % of Total
December 31, 2021: |  |  |  |  |  |  |  |  |  |  |
Loan-to-Value Ratio |  |  |  |  |  |  |  |  |  |  |
0% – 59.99% | $ | 3,111 |  |  | $ | 238 |  |  | $ | 51 |  |  | $ | 6 |  |  | $ | 3,406 |  |  | 53.8 | %
60% – 69.99% | 1,906 |  |  | 190 |  |  | 46 |  |  | — |  |  | 2,142 |  |  | 33.8 |
70% – 79.99% | 520 |  |  | 41 |  |  | 12 |  |  | — |  |  | 573 |  |  | 9.1 |
80% or greater | 148 |  |  | — |  |  | 60 |  |  | — |  |  | 208 |  |  | 3.3 |
Total | $ | 5,685 |  |  | $ | 469 |  |  | $ | 169 |  |  | $ | 6 |  |  | $ | 6,329 |  |  | 100.0 | %
| Recorded Investment
| Debt Service Ratios |  | Construction loans |  |  |  |
| >1.20x |  | 1.00x – 1.20x |  | <1.00x |  |  | Total |  | % of Total
December 31, 2020: |  |  |  |  |  |  |  |  |  |  |
Loan-to-Value Ratio |  |  |  |  |  |  |  |  |  |  |
0% – 59.99% | $ | 2,774 |  |  | $ | 106 |  |  | $ | 17 |  |  | $ | 12 |  |  | $ | 2,909 |  |  | 49.6 | %
60% – 69.99% | 2,013 |  |  | 62 |  |  | 33 |  |  | — |  |  | 2,108 |  |  | 36.0 |
70% – 79.99% | 555 |  |  | 49 |  |  | 13 |  |  | — |  |  | 617 |  |  | 10.5 |
80% or greater | 189 |  |  | 21 |  |  | 17 |  |  | — |  |  | 227 |  |  | 3.9 |
Total | $ | 5,531 |  |  | $ | 238 |  |  | $ | 80 |  |  | $ | 12 |  |  | $ | 5,861 |  |  | 100.0 | %
The following table sets forth credit quality grades by year of origination of the Company’s recorded investment in mortgage loans as of December 31, 2021 and 2020 (dollars in millions):
| Recorded Investment
| Year of Origination |  |
December 31, 2021: | 2021 |  | 2020 |  | 2019 |  | 2018 |  | 2017 |  | Prior |  | Total
Internal credit quality grade: |  |  |  |  |  |  |  |  |  |  |  |  |
High investment grade | $ | 725 |  |  | $ | 402 |  |  | $ | 645 |  |  | $ | 461 |  |  | $ | 344 |  |  | $ | 1,534 |  |  | $ | 4,111 |
Investment grade | 367 |  |  | 272 |  |  | 331 |  |  | 301 |  |  | 296 |  |  | 502 |  |  | 2,069 |
Average | 6 |  |  | — |  |  | 27 |  |  | 39 |  |  | 5 |  |  | 32 |  |  | 109 |
Watch list | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 4 |  |  | 4 |
In or near default | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 36 |  |  | 36 |
Total | $ | 1,098 |  |  | $ | 674 |  |  | $ | 1,003 |  |  | $ | 801 |  |  | $ | 645 |  |  | $ | 2,108 |  |  | $ | 6,329 |
| Recorded Investment
| Year of Origination |  |
December 31, 2020: | 2020 |  | 2019 |  | 2018 |  | 2017 |  | 2016 |  | Prior |  | Total
Internal credit quality grade: |  |  |  |  |  |  |  |  |  |  |  |  |
High investment grade | $ | 411 |  |  | $ | 616 |  |  | $ | 493 |  |  | $ | 336 |  |  | $ | 574 |  |  | $ | 1,008 |  |  | $ | 3,438 |
Investment grade | 352 |  |  | 496 |  |  | 399 |  |  | 407 |  |  | 249 |  |  | 368 |  |  | 2,271 |
Average | — |  |  | — |  |  | — |  |  | 19 |  |  | 37 |  |  | 55 |  |  | 111 |
Watch list | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 4 |  |  | 4 |
In or near default | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 37 |  |  | 37 |
Total | $ | 763 |  |  | $ | 1,112 |  |  | $ | 892 |  |  | $ | 762 |  |  | $ | 860 |  |  | $ | 1,472 |  |  | $ | 5,861 |
The following table presents the current and past due composition of the Company’s recorded investment in mortgage loans as of December 31, 2021 and 2020 (dollars in millions):
|  | 2021 |  | 2020
Current |  | $ | 6,329 |  |  | $ | 5,846 |
31 – 60 days past due |  | — |  |  | 15 |
Total |  | $ | 6,329 |  |  | $ | 5,861 |
The following table presents information regarding the Company’s allowance for credit losses for mortgage loans as of December 31, 2021, 2020 and 2019 (dollars in millions):
|  | 2021 |  | 2020 |  | 2019
Balance, beginning of period |  | $ | 64 |  |  | $ | 12 |  |  | $ | 11 |
Adoption of new accounting standard |  | — |  |  | 14 |  |  | — |
Change in allowance for credit losses |  | (29) |  |  | 38 |  |  | 1 |
Balance, end of period |  | $ | 35 |  |  | $ | 64 |  |  | $ | 12 |
The Company did not acquire any impaired mortgage loans during the years ended December 31, 2021 and 2020. The Company had no mortgage loans that were on a nonaccrual status as of December 31, 2021 and 2020. For the years ended December 31, 2021 and 2020, the Company modified the payment terms of 1 and 52 commercial mortgage loans, with a carrying value of approximately $10 million and $660 million, respectively, in response to COVID-19. These loans met the criteria established in the Coronavirus Aid, Relief, and Economic Security Act (the “CARES Act”) and were not considered a troubled debt restructuring. In accordance with the CARES Act criteria, these loans were not more than 30 days past due at December 31, 2019, and the modifications included deferral or delayed payments of principal or interest on the loan. The Company did not have any significant loans that were modified and met the criteria of a Troubled Debt Restructuring for the years ended December 31, 2021 and 2020. Policy Loans The majority of policy loans are associated with one client. These policy loans present no credit risk as the amount of the loan cannot exceed the obligation due to the ceding company upon the death of the insured or surrender of the underlying policy. The provisions of the treaties in force and the underlying policies determine the policy loan interest rates. The Company earns a spread between the interest rate earned on policy loans and the interest rate credited to corresponding liabilities. Funds Withheld at Interest As of December 31, 2021, $4.6 billion of the funds withheld at interest balance is primarily associated with two clients. For reinsurance agreements written on a modco basis and certain agreements written on a coinsurance funds withheld basis, assets equal to the net statutory reserves are withheld and legally owned and managed by the ceding company and are reflected as funds withheld at interest. In the event of a ceding company’s insolvency, the Company would need to assert a claim on the assets supporting its reserve liabilities. However, the risk of loss to the Company is mitigated by its ability to offset amounts it owes the ceding company for claims or allowances against amounts owed to the Company from the ceding company. Other Invested Assets Other invested assets include limited partnership interests, joint ventures (other than operating joint ventures), lifetime mortgages, derivative contracts and fair value option (“FVO”) contractholder-directed unit-linked investments. Other invested assets also include FHLB common stock, which is included in Other in the table below. As of December 31, 2021 and 2020, the allowance for credit losses for lifetime mortgages was not material. The carrying values of other invested assets as of December 31, 2021 and 2020 are as follows (dollars in millions):
|  | 2021 |  | 2020
Limited partnership interests and real estate joint ventures |  | $ | 1,996 |  |  | $ | 1,367 |
Lifetime mortgages |  | 758 |  |  | 935 |
Derivatives |  | 175 |  |  | 140 |
FVO contractholder-directed unit-linked investments |  | 52 |  |  | 289 |
Other |  | 89 |  |  | 98 |
Total other invested assets |  | $ | 3,070 |  |  | $ | 2,829 |

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- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
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