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Investments (Tables)
 6 Months Ended
Jun. 30, 2020
Investments, Debt and Equity Securities [Abstract]  
Consolidated Investments The Company’s consolidated investments at June 30, 2020 and December 31, 2019 are summarized as follows (in millions):
June 30, 2020
 Amortized CostAllowance for Expected Credit LossesGross Unrealized GainsGross Unrealized LossesFair ValueCarrying Value
Available-for-sale securities
Asset-backed securities$5,501  $(2) $125  $(14) $5,610  $5,610  
Commercial mortgage-backed securities2,444  —  141  (3) 2,582  2,582  
Corporates12,643  (21) 420  (28) 13,014  13,014  
Hybrids996  —  15  (8) 1,003  1,003  
Municipals1,426  —  43  (1) 1,468  1,468  
Residential mortgage-backed securities941  (5) 5  (14) 927  927  
U.S. Government299  —  12  —  311  311  
Foreign Governments195  —  5  (1) 199  199  
Total available-for-sale securities24,445  (28) 766  (69) 25,114  25,114  
December 31, 2019
 Amortized CostGross Unrealized GainsGross Unrealized LossesFair ValueCarrying Value
Available-for-sale securities
Commercial mortgage-backed/asset-backed securities22  —  —  22  22  
Corporates1,510  49  (3) 1,556  1,556  
Hybrids26  5  —  31  31  
Municipals90  3  —  93  93  
Residential mortgage-backed securities38  2  —  40  40  
U.S. Government282  7  (1) 288  288  
Foreign Governments61  1  (2) 60  60  
Total available-for-sale securities2,029  67  (6) 2,090  2,090  
Investments Classified by Contractual Maturity Date
The amortized cost and fair value of fixed maturity available-for-sale securities by contractual maturities, as applicable, are shown below. Actual maturities may differ from contractual maturities because issuers may have the right to call or pre-pay obligations.
June 30, 2020
(in millions)
Amortized Cost Fair Value
Corporates, Non-structured Hybrids, Municipal and Government securities:
Due in one year or less$417  $416  
Due after one year through five years2,104  2,164  
Due after five years through ten years2,236  2,307  
Due after ten years10,776  11,080  
Subtotal15,533  15,967  
Other securities which provide for periodic payments:
Asset-backed securities5,501  5,610  
Commercial mortgage-backed securities2,444  2,582  
Structured hybrids26  28  
Residential mortgage-backed securities941  927  
Subtotal8,912  9,147  
Total fixed maturity available-for-sale securities$24,445  $25,114  
Activity in Allowance for Credit Loses of Available-for-sale Securities Aggregated by Investment Category
The activity in the allowance for expected credit losses of available-for-sale securities aggregated by investment category were as follows for the three and six months ended June 30, 2020 (in millions):
For the three-months ended June 30, 2020
AdditionsReductions
Balance at Beginning of PeriodFor credit losses on securities for which losses were not previously recordedFor initial credit losses on purchased securities accounted for as PCD financial assets (1)(Additions) reductions in allowance recorded on previously impaired securitiesFor securities sold during the periodFor securities intended/required to be sold prior to recovery of amortized cost basisWriteoffs charged against the allowanceBalance at End of Period
Available-for-sale securities
Asset-backed securities$—  $7  $(9) $—  $—  $—  $—  $(2) 
Corporates(11) (2) (16) —  3  5  —  (21) 
Hybrids—  —  (3) —  3  —  —  —  
Residential mortgage-backed securities—  2  (7) —  —  —  —  (5) 
Total available-for-sale securities$(11) $7  $(35) $—  $—  $6  $5  $—  $(28) 
(1) Purchased credit deteriorated financial assets ("PCD")
For the six-months ended June 30, 2020
AdditionsReductions
Balance at Beginning of PeriodFor credit losses on securities for which losses were not previously recordedFor initial credit losses on purchased securities accounted for as PCD financial assets (1)(Additions) reductions in allowance recorded on previously impaired securitiesFor securities sold during the periodFor securities intended/required to be sold prior to recovery of amortized cost basisWriteoffs charged against the allowanceBalance at End of Period
Available-for-sale securities
Asset-backed securities$—  $7  $(9) $—  —  $—  $—  $—  $(2) 
Corporates—  (10) (16) (3) —  3  5  —  (21) 
Hybrids—  —  (3) —  —  3  —  —  —  
Residential mortgage-backed securities—  2  (7) —  —  —  —  —  (5) 
Total available-for-sale securities$—  $(1) $(35) $(3) $—  $6  $5  $—  $(28) 
(1) Purchased credit deteriorated financial assets ("PCD")
Debt Securities, Available-for-sale, Purchased with Credit Deterioration Purchased credit-deteriorated available-for-sale debt securities ("PCD"s) are AFS securities purchased at a discount, where part of that discount is attributable to credit . Credit loss allowances are calculated for these securities as of the date of their acquisition, with the initial allowance serving to increase amortized cost. The following table summarizes year to date PCD AFS security purchases (in millions).
Purchased credit-deteriorated available-for-sale debt securities6/30/2020
Purchase price$265  
Allowance for credit losses at acquisition35  
Discount (or premiums) attributable to other factors84  
AFS purchased credit-deteriorated par value$384  
Fair Value and Gross Unrealized Losses of Available-for-sale Securities The fair value and gross unrealized losses of available-for-sale securities, excluding securities in an unrealized loss position with an allowance for expected credit loss, aggregated by investment category and duration of fair value below amortized cost as of June 30, 2020, and December 31, 2019 were as follows (dollars in millions):
June 30, 2020
Less than 12 months12 months or longerTotal
Fair ValueGross Unrealized
Losses		Fair ValueGross Unrealized
Losses		Fair ValueGross Unrealized
Losses
Available-for-sale securities
Asset-backed securities$900  $(14) $—  $—  $900  $(14) 
Commercial mortgage-backed securities70  (3) —  —  70  (3) 
Corporates1,610  (25) 44  (3) 1,654  (28) 
Hybrids422  (8) —  —  422  (8) 
Municipals160  (1) —  —  160  (1) 
Residential mortgage-backed securities570  (14) —  —  570  (14) 
Foreign Government35  —  6  (1) 41  (1) 
Total available-for-sale securities$3,767  $(65) $50  $(4) $3,817  $(69) 
Total number of available-for-sale securities in an unrealized loss position less than twelve months443  
Total number of available-for-sale securities in an unrealized loss position twelve months or longer6
Total number of available-for-sale securities in an unrealized loss position 449  
December 31, 2019
Less than 12 months12 months or longerTotal
Fair ValueGross Unrealized
Losses		Fair ValueGross Unrealized
Losses		Fair ValueGross Unrealized
Losses
Available-for-sale securities
Corporates$98  $(2) $51  $(1) $149  $(3) 
U.S. Government62  (1) —  —  62  (1) 
Foreign Government—  —  33  (2) 33  (2) 
Total available-for-sale securities$160  $(3) $84  $(3) $244  $(6) 
Total number of available-for-sale securities in an unrealized loss position less than twelve months19
Total number of available-for-sale securities in an unrealized loss position twelve months or longer10
Total number of available-for-sale securities in an unrealized loss position 29  
Schedule of Distribution of CMLs, Gross Valuation by Property Type and Geographic Region The distribution of CMLs, gross of valuation allowances, by property type and geographic region is reflected in the following tables (dollars in millions):
June 30, 2020
Gross Carrying Value% of Total
Property Type:
Hotel$19  3 %
Industrial - General37  6 %
Industrial - Warehouse12  2 %
Multifamily120  21 %
Office142  25 %
Retail150  26 %
Other96  17 %
Total commercial mortgage loans, gross of valuation allowance$576  100 %
Allowance for expected credit loss(2) 
Total commercial mortgage loans$574  
U.S. Region:
East North Central$63  11 %
East South Central51  9 %
Middle Atlantic77  13 %
Mountain48  9 %
New England43  7 %
Pacific149  26 %
South Atlantic73  13 %
West North Central13  2 %
West South Central59  10 %
Total commercial mortgage loans, gross of valuation allowance$576  100 %
Allowance for expected credit loss(2) 
Total commercial mortgage loans$574  
Schedule of Investment in Mortgage Loans by Loan to Value and Debt Service Coverage Ratios
The following table presents the recorded investment in CMLs by LTV and DSC ratio categories and estimated fair value by the indicated loan-to-value ratios at June 30, 2020 (dollars in millions):
Debt-Service Coverage RatiosTotal Amount% of TotalEstimated Fair Value% of Total
>1.251.00 - 1.25
June 30, 2020
LTV Ratios:
Less than 50%$415  $26  $441  77 %$447  77 %
50% to 60%102  —  102  18 %103  18 %
60% to 75%33  —  33  5 %33  5 %
Commercial mortgage loans$550  $26  $576  100 %$583  100 %
Schedule of Residential Mortgage Loans by State The distribution of RMLs by state with highest-to-lowest concentration are reflected in the following tables (dollars in millions):
June 30, 2020
U.S. State:Unpaid Principal Balance% of Total
California$216  18 %
Florida198  17 %
New Jersey113  9 %
All Other States (1)664  56 %
Total mortgage loans$1,191  100 %
(1) The individual concentration of each state is less than 8% as of June 30, 2020.
Schedule of Loans with Credit Quality Indicators, Performing or Nonperforming The credit quality of RMLs as at June 30, 2020, was as follows (dollars in millions):
June 30, 2020
Performance indicators:Carrying Value% of Total
Performing$1,142  95 %
Non-performing59  5 %
Total residential mortgage loans, gross of valuation allowance$1,201  100 %
Allowance for expected loan loss(26) — %
Total residential mortgage loans$1,175  100 %
Loans Segregated by Risk Rating Exposure
Loans segregated by risk rating exposure as of June 30, 2020, were as follows (in millions):
June 30, 2020
Amortized Cost by Origination Year
20202019201820172016PriorTotal
Residential mortgages
Current (less than 30 days past due)$231  $408  $51  $47  $62  $2  $801  
30-89 days past due72  241  25  1  2  —  341  
Over 90 days past due1  55  2  —  1  —  59  
Total residential mortgages$304  $704  $78  $48  $65  $2  $1,201  
Commercial mortgages
Current (less than 30 days past due)$163  $—  $6  $—  $11  $396  $576  
30-89 days past due—  —  —  —  —  —  —  
Over 90 days past due—  —  —  —  —  —  —  
Total commercial mortgage$163  $—  $6  $—  $11  $396  $576  
June 30, 2020
Amortized Cost by Origination Year
20202019201820172016PriorTotal
Commercial mortgages
LTV
Less than 50%$96  $—  $6  $—  $—  $339  $441  
50% to 60%34  —  —  —  11  57  102  
60% to 75%33  —  —  —  —  —  33  
Total commercial mortgages$163  $—  $6  $—  $11  $396  $576  
Commercial mortgages
DSCR
Greater than 1.25x$144  $—  $6  $—  $11  $389  $550  
1.00x - 1.25x19  —  —  —  —  7  26  
Less than 1.00x—  —  —  —  —  —  —  
Total commercial mortgages$163  $—  $6  $—  $11  $396  $576  
Financing Receivable, Nonaccrual
Non-accrual loans by amortized cost as at June 30, 2020, was as follows:
Amortized cost of loans on non-accrual6/30/2020
Residential mortgage:$39  
Commercial mortgage:—  
Total non-accrual loans$39  
Allowance for Expected Credit Losses on Loans Changes in our allowance for expected credit losses on mortgage loans are recognized in Realized gains and losses, net in the accompanying unaudited Condensed Consolidated Statements of Earnings. Credit losses on purchase credit deteriorated (“PCD”) financial assets were recognized on the opening balance sheet for the amounts shown in the table below (in millions).
June 30, 2020
Credit Losses on PCD Financial Assets
Residential MortgageCommercial MortgageTotal
Provision for loan losses$19  $2  $21  
For initial credit losses on purchased loans accounted for as PCD financial assets7  —  7  
Balance, June 30, 2020$26  $2  $28  
An allowance for expected credit loss is not measured on accrued interest income for commercial mortgage loans as we have a process to write-off interest on loans that enter into non-accrual status (over 90 days past due). Allowances for expected credit losses are measured on accrued interest income for residential mortgage loans as seen in the table below (in millions).

6/30/2020
Residential Mortgage$20  
Commercial Mortgage—  
Total loans that are 90 days past due and still accruing$20  
Schedule of Sources of Net Investment Income Reported
The major sources of Interest and investment income reported on the accompanying unaudited Condensed Consolidated Statements of Earnings were as follows (in millions):
Three months endedSix months ended
June 30, 2020June 30, 2019June 30, 2020June 30, 2019
Fixed maturity securities, available-for-sale$117  $18  $134  $35  
Equity securities13  2  17  4  
Preferred securities11  7  17  12  
Mortgage loans7  —  7  —  
Invested cash and short-term investments8  9  33  18  
Other investments7  24  8  46  
Gross investment income163  60  216  115  
Investment expense(11) (1) (11) (2) 
Net investment income$152  $59  $205  $113  

Realized Gains and Losses, net
Details underlying Realized gains and losses, net reported on the accompanying unaudited Condensed Consolidated Statements of Earnings were as follows (in millions):
Three months endedSix months ended
June 30, 2020June 30, 2019June 30, 2020June 30, 2019
Net realized gains on fixed maturity available-for-sale securities$14  $1  $24  $—  
Net realized/unrealized gains (losses) on equity securities145  42  (58) 173  
Net realized/unrealized gains (losses) on preferred securities33  4  (74) 20  
Realized losses on other invested assets(3) (6) (13) (10) 
Change in allowance for expected credit losses(21) —  (31) —  
Derivatives and embedded derivatives:
Realized gains on certain derivative instruments10  —  10  —  
Unrealized gains on certain derivative instruments4  —  4  —  
Change in fair value of reinsurance related embedded derivatives (1)(21) —  (21) —  
Change in fair value of other derivatives and embedded derivatives1  —  1  —  
Realized losses on derivatives and embedded derivatives(6) —  (6) —  
Net investment gains (losses)$162  $41  $(158) $183  
(1) Change in fair value of reinsurance related embedded derivatives is due to held for sale unaffiliated third party business under the fair value option election, and activity related to the FGL Insurance and Kubera reinsurance treaty.
Proceeds from Sale of Fixed Maturity Available-for-sale Securities
The proceeds from the sale of fixed-maturity available for-sale-securities and the gross gains and losses associated with those transactions were as follows (in millions):
Three months endedSix months ended
June 30, 2020June 30, 2019June 30, 2020June 30, 2019
Proceeds$320  $137  $497  $372  
Gross gains17  1  29  2  
Gross losses(5) —  (7) (1)