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 June 30, 2021
							Allowance
	Amortized		Gross Unrealized				for Credit		Fair
	Cost		Gains		Losses		Losses		Value
Fixed maturity AFS securities:
Corporate bonds	$	87,573	$	13,710	$	272	$	8	$	101,003
U.S. government bonds		383		63		2		-		444
State and municipal bonds		5,513		1,413		7		-		6,919
Foreign government bonds		400		67		3		-		464
RMBS		2,751		278		1		1		3,027
CMBS		1,499		86		7		-		1,578
ABS		8,039		160		22		-		8,177
Hybrid and redeemable preferred securities		510		107		14		-		603
Total fixed maturity AFS securities	$	106,668	$	15,884	$	328	$	9	$	122,215



	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 and fair value of fixed maturity AFS securities by contractual maturities (in millions) as of June 30, 2021, were as follows:

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, 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	$	6,476		$	199	$	1,055		$	73	$	7,531		$	272
U.S. government bonds		26			2		-			-		26			2
State and municipal bonds		389			7		1			-		390			7
Foreign government bonds		86			3		30			-		116			3
RMBS		109			1		19			-		128			1
CMBS		306			7		5			-		311			7
ABS		2,889			19		136			3		3,025			22
Hybrid and redeemable
preferred securities		29			1		148			13		177			14
Total fixed maturity AFS securities	$	10,310		$	239	$	1,394		$	89	$	11,704		$	328

Total number of fixed maturity AFS securities in an unrealized loss position															1,368



	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⁾As of June 30, 2021, we recognized no gross unrealized losses in other comprehensive income (loss) (“OCI”) for fixed maturity AFS securities for which an allowance for credit losses has been recorded. As of December 31, 2020, 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, 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, 2021
			Gross			Number
	Fair		Unrealized			of
	Value		Losses		Securities⁽¹⁾
Less than six months	$	27	$	7			6
Nine months or greater, but less than twelve months		57		18			4
Twelve months or greater		2		1			22
Total	$	86	$	26			32


	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.

Our gross unrealized losses on fixed maturity AFS securities increased by $130 million for the six months ended June 30, 2021. As discussed further below, we believe the unrealized loss position as of June 30, 2021, 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 June 30, 2021, 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 June 30, 2021, 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 June 30, 2021, and December 31, 2020, 96% of the fair value of our corporate bond portfolio was rated investment grade. As of June 30, 2021, and December 31, 2020, the portion of our corporate bond portfolio rated below investment grade had an amortized cost of $3.8 billion and $4.1 billion, respectively, and a fair value of $4.0 billion and $4.2 billion, respectively. Based upon the analysis discussed above, we believe that as of June 30, 2021, and December 31, 2020, we would have recovered the amortized cost of each corporate bond.

As of June 30, 2021, 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 June 30, 2021, 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, 2021
	Corporate
	Bonds			RMBS		ABS		Total
Balance as of beginning-of-period	$	13		$	1	$	-	$	14
Additions from purchases of PCD debt securities ⁽¹⁾		-			-		-		-
Additions (reductions) for securities for which credit losses
were previously recognized		1			-		-		1
Reductions for securities charged-off		(6	)		-		-		(6	)
Balance as of end-of-period ⁽²⁾	$	8		$	1	$	-	$	9



	For the Six
	Months Ended
	June 30, 2021
	Corporate
	Bonds			RMBS		ABS		Total
Balance as of beginning-of-period	$	12		$	1	$	-	$	13
Additions from purchases of PCD debt securities ⁽¹⁾		-			-		-		-
Additions (reductions) for securities for which credit losses
were previously recognized		2			-		-		2
Reductions for securities charged-off		(6	)		-		-		(6	)
Balance as of end-of-period ⁽²⁾	$	8		$	1	$	-	$	9



	For the Three
	Months Ended
	June 30, 2020
	Corporate
	Bonds			RMBS		ABS		Total
Balance as of beginning-of-period	$	20		$	-	$	-	$	20
Additions for securities for which credit losses were not
previously recognized		17			1		1		19
Additions from purchases of PCD debt securities ⁽¹⁾		-			-		-		-
Reductions for securities disposed		(17	)		-		-		(17	)
Balance as of end-of-period ⁽²⁾	$	20		$	1	$	1	$	22



	For the Six
	Months Ended
	June 30, 2020
	Corporate
	Bonds			RMBS		ABS		Total
Balance as of beginning-of-period	$	-		$	-	$	-	$	-
Additions for securities for which credit losses were not
previously recognized		37			1		1		39
Additions from purchases of PCD debt securities ⁽¹⁾		-			-		-		-
Reductions for securities disposed		(17	)		-		-		(17	)
Balance as of end-of-period ⁽²⁾	$	20		$	1	$	1	$	22

⁽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 June 30, 2021 and 2020, 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, 2021									As of December 31, 2020
	Commercial			Residential			Total			Commercial			Residential			Total
Current	$	16,979		$	674		$	17,653		$	16,245		$	610		$	16,855
30 to 59 days past due		32			18			50			4			28			32
60 to 89 days past due		-			7			7			-			8			8
90 or more days past due		-			40			40			-			69			69
Allowance for credit losses		(156	)		(14	)		(170	)		(187	)		(17	)		(204	)
Unamortized premium (discount)		(12	)		23			11			(14	)		22			8
Mark-to-market gains (losses) ⁽¹⁾		(5	)		-			(5	)		(5	)		-			(5	)
Total carrying value	$	16,838		$	748		$	17,586		$	16,043		$	720		$	16,763

⁽¹⁾Represents the mark-to-market on certain mortgage loans on real estate for which we have elected the fair value option. See Note 14 for additional information.

Our commercial mortgage loan portfolio has the largest concentrations in California, which accounted for 25% and 24% of commercial mortgage loans on real estate as of June 30, 2021, and December 31, 2020, respectively, and Texas, which accounted for 10% of commercial mortgage loans on real estate as of June 30, 2021, and December 31, 2020.

Our residential mortgage loan portfolio has the largest concentrations in California, which accounted for 27% and 32% of residential mortgage loans on real estate as of June 30, 2021, and December 31, 2020, respectively, and Florida, which accounted for 18% of residential mortgage loans on real estate as of June 30, 2021, and December 31, 2020.

As of June 30, 2021, and December 31, 2020, we had 86 and 147 residential mortgage loans, respectively, that were either delinquent or in foreclosure.

For our commercial mortgage loans, there were eight specifically identified impaired loans with an aggregate carrying value of $3 million as of June 30, 2021. There were four specifically identified impaired loans with an aggregate carrying value of $1 million as of December 31, 2020.

For our residential mortgage loans, there were 71 specifically identified impaired loans with an aggregate carrying value of $33 million as of June 30, 2021. There were 76 specifically identified impaired loans with an aggregate carrying value of $34 million as of December 31, 2020.

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,
	2021		2020		2021		2020
Average aggregate carrying value for impaired
mortgage loans on real estate	$	37	$	16	$	36	$	10
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, 2021				As of December 31, 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		-		41		-		71
Total	$	-	$	41	$	-	$	71

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, 2021
			Debt-			Debt-			Debt-
			Service			Service			Service
	Less		Coverage	65%		Coverage	Greater		Coverage
	than 65%		Ratio	to 74%		Ratio	than 75%		Ratio	Total
Origination Year
2021	$	1,298	3.07	$	81	1.91	$	-	-	$	1,379
2020		1,370	3.02		104	1.46		40	2.21		1,514
2019		3,037	2.19		290	1.78		24	1.79		3,351
2018		2,319	2.14		181	1.50		15	1.02		2,515
2017		1,732	2.32		151	1.75		27	0.96		1,910
2016 and prior		6,059	2.39		232	1.75		38	1.23		6,329
Total	$	15,815		$	1,039		$	144		$	16,998



	As of December 31, 2020
			Debt-			Debt-			Debt-
			Service			Service			Service
	Less		Coverage	65%		Coverage	Greater		Coverage
	than 65%		Ratio	to 74%		Ratio	than 75%		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. 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, 2021
	Performing		Nonperforming			Total
Origination Year
2021	$	148		$	-	$	148
2020		175			4		179
2019		262			31		293
2018		136			6		142
2017		-			-		-
2016 and prior		-			-		-
Total	$	721		$	41	$	762



	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.

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, 2021
	Commercial			Residential		Total
Balance as of beginning-of-period	$	172		$	12	$	184
Additions (reductions) from provision for credit loss expense ⁽¹⁾		(16	)		2		(14	)
Additions from purchases of PCD mortgage loans on real estate		-			-		-
Balance as of end-of-period ⁽²⁾	$	156		$	14	$	170



	For the Six
	Months Ended
	June 30, 2021
	Commercial			Residential			Total
Balance as of beginning-of-period	$	187		$	17		$	204
Additions (reductions) from provision for credit loss expense ⁽¹⁾		(31	)		(3	)		(34	)
Additions from purchases of PCD mortgage loans on real estate		-			-			-
Balance as of end-of-period ⁽²⁾	$	156		$	14		$	170



	For the Three
	Months Ended
	June 30, 2020
	Commercial		Residential		Total
Balance as of beginning-of-period	$	126	$	35	$	161
Additions (reductions) from provision for credit loss expense ⁽³⁾		110		2		112
Additions from purchases of PCD mortgage loans on real estate		-		-		-
Balance as of end-of-period ⁽²⁾	$	236	$	37	$	273



	For the Six
	Months Ended
	June 30, 2020
	Commercial		Residential		Total
Balance as of beginning-of-period	$	-	$	2	$	2
Impact of new accounting standard		62		26		88
Additions (reductions) from provision for credit loss expense ⁽³⁾		174		9		183
Additions from purchases of PCD mortgage loans on real estate		-		-		-
Balance as of end-of-period ⁽²⁾	$	236	$	37	$	273

⁽¹⁾Due to improving economic projections, the provision for credit loss expense decreased by $14 million and $34 million for the three and six months ended June 30, 2021, respectively. For the three months ended June 30, 2021, we recognized $1 million of credit loss expense related to unfunded commitments for mortgage loans on real estate. For the six months ended June 30, 2021, we recognized $2 million of credit loss benefit related to unfunded commitments for mortgage loans on real estate.

⁽²⁾Accrued interest receivable on mortgage loans on real estate totaled $50 million and $52 million as of June 30, 2021 and 2020, respectively, and was excluded from the estimate of credit losses.

⁽³⁾Due to changes in economic projections driven by the impact of the COVID-19 pandemic, the provision for credit loss expense increased by $112 million and $183 million for the three and six months ended June 30, 2020, respectively. For the three months ended June 30, 2020, we recognized $1 million of credit loss expense related to unfunded commitments for mortgage loans on real estate. For the six months ended June 30, 2020, we recognized no credit loss benefit (expense) related to unfunded commitments for mortgage loans on real estate.

Alternative Investments

As of June 30, 2021, and December 31, 2020, alternative investments included investments in 293 and 271 different partnerships, respectively, and represented approximately 2% and 1%, respectively, 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					For the Six
	Months Ended					Months Ended
	June 30,					June 30,
	2021		2020			2021			2020
Credit Loss Benefit (Expense)
Fixed maturity AFS securities:
Corporate bonds	$	1	$	-		$	(1	)	$	(20	)
RMBS		-		(1	)		-			(1	)
ABS		-		(1	)		-			(1	)
Gross credit loss benefit (expense)		1		(2	)		(1	)		(22	)
Associated amortization of DAC, VOBA, DSI and DFEL ⁽¹⁾		-		1			-			1
Net credit loss benefit (expense)	$	1	$	(1	)	$	(1	)	$	(21	)

⁽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 June 30, 2021				As of December 31, 2020
	Carrying		Fair		Carrying		Fair
	Value		Value		Value		Value
Collateral payable for derivative investments ⁽¹⁾	$	4,391	$	4,391	$	2,976	$	2,976
Securities pledged under securities lending agreements ⁽²⁾		228		222		116		112
Investments pledged for Federal Home Loan Bank of
Indianapolis (“FHLBI”)⁽³⁾		3,580		5,525		3,130		5,049
Total payables for collateral on investments	$	8,199	$	10,138	$	6,222	$	8,137

⁽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 5 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 June 30, 2021, and December 31, 2020, 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,
	2021		2020
Collateral payable for derivative investments	$	1,415	$	1,390
Securities pledged under securities lending agreements		112		9
Investments pledged for FHLBI		450		550
Total increase (decrease) in payables for collateral on investments	$	1,977	$	1,949

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:



	As of June 30, 2021
	Overnight and Continuous		Up to 30 Days		30 - 90 ‎Days		Greater Than 90 Days		Total
Securities Lending
Corporate bonds	$	222	$	-	$	-	$	-	$	222
Foreign government bonds		4		-		-		-		4
Equity securities		2		-		-		-		2
Total gross secured borrowings	$	228	$	-	$	-	$	-	$	228

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 June 30, 2021, the fair value of all collateral received that we are permitted to sell or re-pledge was $23 million, and we had not re-pledged any of this collateral to cover initial margin and over-the-counter collateral requirements on certain derivative investments as of June 30, 2021.

As of June 30, 2021, our investment commitments were $2.6 billion, which included $1.5 billion of LPs, $669 million of private placement securities and $446 million of mortgage loans on real estate.

As of June 30, 2021, and December 31, 2020, 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 $1.1 billion and $1.2 billion, respectively, or 1% of total investments, and our investments in securities issued by the Federal National Mortgage Association with a fair value of $1.1 billion and $1.0 billion, respectively, or 1% of total investments. These concentrations include fixed maturity AFS, trading and equity securities.

As of June 30, 2021, and December 31, 2020, our most significant investments in one industry were our investments in securities in the consumer non-cyclical industry with a fair value of $20.0 billion and $20.3 billion, respectively, or 13% of total investments, and our investments in securities in the financial services industry with a fair value of $19.4 billion and $19.6 billion, respectively, or 13% of total investments. These concentrations include fixed maturity AFS, trading and equity securities.