In 2020, we adopted ASU 2016-13, which resulted in a new recognition and measurement of credit losses on most financial assets. See Note 2 for additional information.

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



	As of December 31, 2020
							Allowance
	Amortized		Gross Unrealized				for Credit		Fair
	Cost		Gains		Losses		Losses		Value
Fixed maturity AFS securities:
Corporate bonds	$	86,289	$	16,662	$	150	$	12	$	102,789
U.S. government bonds		397		88		1		-		484
State and municipal bonds		5,360		1,561		-		-		6,921
Foreign government bonds		384		87		1		-		470
RMBS		2,765		313		1		1		3,076
CMBS		1,390		115		-		-		1,505
ABS		7,041		158		15		-		7,184
Hybrid and redeemable preferred securities		548		97		30		-		615
Total fixed maturity AFS securities	$	104,174	$	19,081	$	198	$	13	$	123,044

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



	As of December 31, 2019
	Amortized		Gross Unrealized							Fair
	Cost		Gains		Losses		OTTI ⁽¹⁾			Value
Fixed maturity AFS securities:
Corporate bonds	$	79,417	$	9,479	$	184	$	(4	)	$	88,716
U.S. government bonds		384		51		-		-			435
State and municipal bonds		4,778		1,113		7		-			5,884
Foreign government bonds		329		64		-		-			393
RMBS		3,042		190		10		(19	)		3,241
CMBS		1,038		45		1		(1	)		1,083
ABS		4,810		62		18		(35	)		4,889
Hybrid and redeemable preferred securities		497		82		20		-			559
Total fixed maturity AFS securities	$	94,295	$	11,086	$	240	$	(59	)	$	105,200

⁽¹⁾Prior to the adoption of ASU 2016-13, we recognized the OTTI attributed to noncredit factors as a separate component in OCI referred to as unrealized OTTI on fixed maturity AFS securities. This includes unrealized (gains) and losses on credit-impaired securities related to changes in the fair value of such securities subsequent to the impairment measurement date.

The amortized cost and fair value of fixed maturity AFS securities by contractual maturities (in millions) as of December 31, 2020, were as follows:



	Amortized		Fair
	Cost		Value
Due in one year or less	$	3,319	$	3,344
Due after one year through five years		15,016		16,052
Due after five years through ten years		19,105		21,660
Due after ten years		55,538		70,223
Subtotal		92,978		111,279
Structured securities (RMBS, CMBS, ABS)		11,196		11,765
Total fixed maturity AFS securities	$	104,174	$	123,044

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

The fair value and gross unrealized losses of fixed maturity AFS securities (dollars in millions) for which an allowance for credit losses has not been recorded, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, were as follows:



	As of December 31, 2020
	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	$	3,039		$	92	$	607		$	58	$	3,646		$	150
U.S. government bonds		28			1		-			-		28			1
Foreign government bonds		57			1		-			-		57			1
RMBS		45			1		7			-		52			1
ABS		1,527			9		358			6		1,885			15
Hybrid and redeemable
preferred securities		112			13		96			17		208			30
Total fixed maturity AFS securities	$	4,808		$	117	$	1,068		$	81	$	5,876		$	198

Total number of fixed maturity AFS securities in an unrealized loss position															802

⁽¹⁾We recognized $1 million of gross unrealized losses in OCI for fixed maturity AFS securities for which an allowance for credit losses has been recorded.

The fair value and gross unrealized losses, including the portion of OTTI recognized in OCI, of fixed maturity AFS securities (dollars in millions), aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, were as follows:



	As of December 31, 2019
	Less Than or Equal					Greater Than
	to Twelve Months					Twelve Months					Total
				Gross					Gross					Gross
			Unrealized					Unrealized					Unrealized
	Fair		Losses and			Fair		Losses and			Fair		Losses and
	Value			OTTI		Value			OTTI		Value			OTTI
Fixed maturity AFS securities:
Corporate bonds	$	2,935		$	46	$	1,406		$	141	$	4,341		$	187
State and municipal bonds		333			7		18			-		351			7
RMBS		536			10		15			-		551			10
CMBS		48			1		4			-		52			1
ABS		1,792			8		303			10		2,095			18
Hybrid and redeemable
preferred securities		29			1		102			19		131			20
Total fixed maturity AFS securities	$	5,673		$	73	$	1,848		$	170	$	7,521		$	243

Total number of fixed maturity AFS securities in an unrealized loss position															895

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



	As of December 31, 2020
			Gross			Number
	Fair		Unrealized			of
	Value		Losses		Securities⁽¹⁾
Less than six months	$	63	$	23			14
Six months or greater, but less than nine months		2		1			4
Nine months or greater, but less than twelve months		23		7			14
Twelve months or greater		30		11			20
Total	$	118	$	42			52

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

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



	As of December 31, 2019
								Number
	Fair		Gross Unrealized					of
	Value		Losses		OTTI		Securities ⁽¹⁾
Less than six months	$	15	$	5	$	-			7
Six months or greater, but less than nine months		10		3		-			4
Twelve months or greater		132		76		-			31
Total	$	157	$	84	$	-			42

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

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



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

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

⁽²⁾Accrued interest receivable on fixed maturity AFS securities totaled $1.0 billion as of December 31, 2020, and was excluded from the estimate of credit losses.

Changes in the amount of credit loss of OTTI recognized in net income (loss) where the portion related to other factors was recognized in OCI (in millions) on fixed maturity AFS securities were as follows:



	For the Years Ended
	December 31,
	2019			2018
Balance as of beginning-of-year	$	355		$	378
Increases attributable to:
Credit losses on securities for which an
OTTI was not previously recognized		13			5
Credit losses on securities for which an
OTTI was previously recognized		3			2
Decreases attributable to:
Securities sold, paid down or matured		(160	)		(30	)
Balance as of end-of-year	$	211		$	355

Trading Securities

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



	As of December 31,
	2020		2019
Fixed maturity securities:
Corporate bonds	$	3,107	$	2,947
U.S. government bonds		-		45
State and municipal bonds		28		17
Foreign government bonds		92		44
RMBS		132		170
CMBS		134		163
ABS		966		1,238
Hybrid and redeemable preferred securities		42		49
Total trading securities	$	4,501	$	4,673

The portion of the market adjustment for trading gains and losses recognized in realized gain (loss) that relate to trading securities still held as of December 31, 2020, 2019 and 2018, was $118 million, $228 million and $(58) million, respectively.

Mortgage Loans on Real Estate

The following provides the current and past due composition of our mortgage loans on real estate (in millions):



	As of December 31, 2020									As of December 31, 2019
	Commercial			Residential			Total			Commercial			Residential			Total
Current	$	16,245		$	610		$	16,855		$	15,620		$	659		$	16,279
30 to 59 days past due		4			28			32			3			27			30
60 to 89 days past due		-			8			8			-			10			10
90 or more days past due		-			69			69			-			16			16
Allowance for credit losses		(187	)		(17	)		(204	)		-			(2	)		(2	)
Unamortized premium (discount)		(14	)		22			8			(17	)		23			6
Mark-to-market gains (losses) ⁽¹⁾		(5	)		-			(5	)		-			-			-
Total carrying value	$	16,043		$	720		$	16,763		$	15,606		$	733		$	16,339

⁽¹⁾Represents the mark-to-market on certain commercial mortgage loans on real estate for which we have elected the fair value option. See Note 21 for additional information.

Our commercial mortgage loan portfolio has the largest concentrations in California, which accounted for 24% of commercial mortgage loans on real estate as of December 31, 2020 and 2019, and Texas, which accounted for 10% and 11% of commercial mortgage loans on real estate as of December 31, 2020 and 2019, respectively.

Our residential mortgage loan portfolio has the largest concentrations in California, which accounted for 32% and 34% of residential mortgage loans on real estate as of December 31, 2020 and 2019, respectively, and Florida, which accounted for 18% and 20% of residential mortgage loans on real estate as of December 31, 2020 and 2019, respectively.

As of December 31, 2020 and 2019, we had 147 and 38 residential mortgage loans, respectively, that were either delinquent or in foreclosure.

For our commercial mortgage loans, there were four specifically identified impaired loans with an aggregate carrying value of $1 million as of December 31, 2020. There was one specifically identified impaired loan with a carrying value of less than $1 million as of December 31, 2019.

For our residential mortgage loans, there were 76 specifically identified impaired loans with an aggregate carrying value of $34 million as of December 31, 2020. There were four specifically identified impaired loans with an aggregate carrying value of $1 million as of December 31, 2019.

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


	For the Years Ended December 31,
	2020		2019		2018
Average carrying value for impaired mortgage loans on real estate	$	21	$	-	$	5
Interest income recognized on impaired mortgage loans on real estate		-		-		1
Interest income collected on impaired mortgage loans on real estate		-		-		1

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


	As of December 31, 2020				As of January 1, 2020
	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		-		71		-		17
Total	$	-	$	71	$	-	$	17

We use loan-to-value and debt-service coverage ratios as credit quality indicators for our commercial mortgage loans on real estate (dollars in millions) as follows:



	As of December 31, 2020				As of December 31, 2019
				Debt-				Debt-
				Service				Service
	Amortized		% of	Coverage	Amortized		% of	Coverage
Loan-to-Value Ratio	Cost		Total	Ratio	Cost		Total	Ratio
Less than 65%	$	15,236	93.8%	2.36	$	14,206	91.0%	2.35
65% to 74%		952	5.9%	1.69		1,399	9.0%	1.87
75% to 100%		47	0.3%	1.21		1	0.0%	1.09
Total	$	16,235	100.0%		$	15,606	100.0%

The amortized cost of commercial mortgage loans on real estate (in millions) by year of origination and credit quality indicator was as follows:



	As of December 31, 2020
			Debt-			Debt-			Debt-
			Service			Service			Service
	Less		Coverage	65%		Coverage	75%		Coverage
	than 65%		Ratio	to 74%		Ratio	to 100%		Ratio	Total
Origination Year
2020	$	1,504	2.86	$	32	1.52	$	-	-	$	1,536
2019		3,141	2.25		258	1.78		2	1.74		3,401
2018		2,382	2.16		186	1.49		15	0.71		2,583
2017		1,786	2.34		169	1.73		-	-		1,955
2016		1,713	2.37		174	1.56		22	1.58		1,909
2015 and prior		4,710	2.38		133	1.95		8	1.02		4,851
Total	$	15,236		$	952		$	47		$	16,235

We use loan performance status as the primary credit quality indicator for our residential mortgage loans on real estate (dollars in millions) as follows:



	As of December 31, 2020			As of December 31, 2019
	Amortized		% of	Amortized		% of
Performance Indicator	Cost		Total	Cost ⁽¹⁾		Total
Performing	$	666	90.4%	$	718	97.7%
Nonperforming		71	9.6%		17	2.3%
Total	$	737	100.0%	$	735	100.0%

⁽¹⁾A valuation allowance of $2 million was established on residential mortgage loans on real estate as of December 31, 2019.

The amortized cost of residential mortgage loans on real estate (in millions) by year of origination and credit quality indicator was as follows:



	As of December 31, 2020
	Performing		Nonperforming			Total
Origination Year
2020	$	176		$	8	$	184
2019		315			51		366
2018		175			12		187
2017		-			-		-
2016		-			-		-
2015 and prior		-			-		-
Total	$	666		$	71	$	737

Credit Losses on Mortgage Loans on Real Estate

In connection with our recognition of an allowance for credit losses for mortgage loans on real estate, we perform a quantitative analysis using a probability of default/loss given default/exposure at default approach to estimate expected credit losses in our mortgage loan portfolio as well as unfunded commitments related to commercial mortgage loans, exclusive of certain mortgage loans held at fair value. See Note 1 for a detailed discussion regarding our accounting policy relating to the allowance for credit losses on our mortgage loans on real estate.

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



	For the Year Ended December 31, 2020
	Commercial			Residential			Total
Balance as of beginning-of-year	$	-		$	2		$	2
Impact of adopting ASU 2016-13		62			26			88
Additions from provision for credit loss expense ⁽¹⁾		178			10			188
Additions from purchases of PCD mortgage loans on real estate		-			-			-
Additions (reductions) for mortgage loans on real estate for which
credit losses were previously recognized ⁽¹⁾		(53	)		(21	)		(74	)
Balance as of end-of-year ⁽²⁾	$	187		$	17		$	204

⁽¹⁾Due to changes in economic projections driven by the impact of the COVID-19 pandemic, the provision for credit loss expense increased by $114 million for the year ended December 31, 2020. For the year ended December 31, 2020, we recognized $2 million of credit loss expense related to unfunded commitments for mortgage loans on real estate.

⁽²⁾Accrued interest receivable on mortgage loans on real estate totaled $49 million as of December 31, 2020, and was excluded from the estimate of credit losses.

Changes in the valuation allowance associated with impaired commercial mortgage loans on real estate (in millions) were as follows:



	For the Years Ended
	December 31,
	2019		2018
Balance as of beginning-of-year	$	-	$	3
Additions		-		-
Charge-offs, net of recoveries		-		(3	)
Balance as of end-of-year	$	-	$	-

Alternative Investments

As of December 31, 2020 and 2019, alternative investments included investments in 271 and 258 different partnerships, respectively, and represented approximately 1% of total investments.

Net Investment Income

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



	For the Years Ended December 31,
	2020			2019			2018
Fixed maturity AFS securities	$	4,334		$	4,281		$	4,209
Trading securities		202			191			84
Equity securities		3			4			4
Mortgage loans on real estate		677			629			496
Real estate		1			1			1
Policy loans		125			129			123
Invested cash		12			40			26
Commercial mortgage loan prepayment
and bond make-whole premiums		82			119			79
Alternative investments		197			22			222
Consent fees		7			8			4
Other investments		45			30			23
Investment income		5,685			5,454			5,271
Investment expense		(175	)		(231	)		(186	)
Net investment income	$	5,510		$	5,223		$	5,085

Impairments on Fixed Maturity AFS Securities

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



	For the Years Ended December 31,
	2020			2019			2018
Credit Loss Expense Recognized in Net Income (Loss) ⁽¹⁾
Fixed maturity AFS securities:
Corporate bonds	$	(25	)	$	(14	)	$	(5	)
RMBS		(1	)		(1	)		(1	)
ABS		-			(1	)		(1	)
Gross credit loss expense recognized in net income (loss)		(26	)		(16	)		(7	)
Associated amortization of DAC, VOBA, DSI and DFEL		1			1			-
Net credit loss expense recognized in net income (loss)	$	(25	)	$	(15	)	$	(7	)

⁽¹⁾For the year ended December 31, 2020, we recognized credit loss expense incurred and write-downs taken as a result of impairments through net income (loss), pursuant to ASU 2016-13. For the years ended December 31, 2019 and 2018, prior to the adoption of ASU 2016-13, we recognized write-downs taken as a result of OTTI through net income (loss).

During the year ended December 31, 2019, we recorded $15 million of OTTI recognized in OCI. During the year ended December 31, 2018, we recorded no OTTI recognized in OCI.

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 December 31, 2020				As of December 31, 2019
	Carrying		Fair		Carrying		Fair
	Value		Value		Value		Value
Collateral payable for derivative investments ⁽¹⁾	$	2,976	$	2,976	$	1,388	$	1,388
Securities pledged under securities lending agreements ⁽²⁾		116		112		114		110
Investments pledged for Federal Home Loan Bank of
Indianapolis (“FHLBI”)⁽³⁾		3,130		5,049		3,580		5,480
Total payables for collateral on investments	$	6,222	$	8,137	$	5,082	$	6,978

⁽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. See Note 6 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 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 December 31, 2020 and 2019, we were not participating in any open repurchase agreements.

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


	For the Years Ended December 31,
	2020			2019			2018
Collateral payable for derivative investments	$	1,588		$	751		$	(128	)
Securities pledged under securities lending agreements		2			26			(134	)
Securities pledged under repurchase agreements		-			(150	)		(380	)
Investments pledged for FHLBI		(450	)		(350	)		1,030
Total increase (decrease) in payables for collateral on investments	$	1,140		$	277		$	388

We have elected not to offset our securities lending transactions in our financial statements. The remaining contractual maturities of securities lending transactions accounted for as secured borrowings (in millions) were as follows:



	As of December 31, 2020
	Overnight and Continuous		Up to 30 Days		30 - 90 ‎Days		Greater Than 90 Days		Total
Securities Lending
Corporate bonds	$	114	$	-	$	-	$	-	$	114
Foreign government bonds		2		-		-		-		2
Total gross secured borrowings	$	116	$	-	$	-	$	-	$	116

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 financial statements. In addition, we receive securities in connection with securities borrowing agreements that we are permitted to sell or re-pledge. As of December 31, 2020, the fair value of all collateral received that we are permitted to sell or re-pledge was $25 million, and we did not re-pledge any of this collateral to cover initial margin and over-the-counter collateral requirements on certain derivative investments as of December 31, 2020.

As of December 31, 2020, our investment commitments were $2.9 billion, which included $1.4 billion of LPs, $989 million of mortgage loans on real estate and $508 million of private placement securities.

As of December 31, 2020 and 2019, 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 $1.2 billion and $1.3 billion, respectively, or 1% of total investments, and our investments in securities issued by the Federal National Mortgage Association with a fair value of $1.0 billion, or 1% of total investments. These concentrations include fixed maturity AFS, trading and equity securities.