INVESTMENTS

6 Months Ended

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

INVESTMENTS

INVESTMENTS

Fixed Maturities Available-for-Sale

Accounting for credit impairments of fixed maturities classified as AFS has changed from a direct write-down, or other-than-temporary impairment (“OTTI”) approach, to an allowance for credit loss model starting in 2020 upon adoption of CECL (see Note 2, Significant Accounting Policies — Investments).

The components of fair value and amortized cost for fixed maturities classified as AFS on the consolidated balance sheets excludes accrued interest receivable because the Company elected to present accrued interest receivable within Other assets. Accrued interest receivable on AFS fixed maturities at June 30, 2020 was $514 million.

When the Company determines that there is more than 50% likelihood that it is not going to recover the principal and interest cash flows related to an AFS debt security, the security is placed on nonaccrual status and the Company reverses accrued interest receivable against interest income. Since the nonaccrual policy results in a timely reversal of accrued interest receivable, the Company does not record an allowance for credit losses on accrued interest receivable.

There was no accrued interest written off for AFS fixed maturities for the three and six months ended June 30, 2020.

Comparative tables as of December 31, 2019 include OTTI, reported net of tax in OCI and in AOCI until realized.

The following tables provide information relating to the Company’s fixed maturities classified as AFS.

AFS Fixed Maturities by Classification

	Amortized Cost		Allowance for Credit Losses (4)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	(in millions)
June 30, 2020
Fixed Maturities:
Corporate (1)	$	49,494	$	13	$	4,452	$	156	$	53,777
U.S. Treasury, government and agency	13,135		—		4,242		—		17,377
States and political subdivisions	663		—		112		—		775
Foreign governments	771		—		69		5		835
Residential mortgage-backed (2)	160		—		15		—		175
Asset-backed (3)	2,062		—		24		41		2,045
Commercial mortgage-backed	854		—		25		—		879
Redeemable preferred stock	376		—		15		11		380
Total at June 30, 2020	$	67,515	$	13	$	8,954	$	213	$	76,243
December 31, 2019 (5)
Fixed Maturities:
Corporate (1)	$	45,900	$	—	$	2,361	$	62	$	48,199
U.S. Treasury, government and agency	14,410		—		1,289		305		15,394
States and political subdivisions	638		—		70		3		705
Foreign governments	462		—		35		5		492
Residential mortgage-backed (2)	178		—		13		—		191
Asset-backed (3)	848		—		4		3		849
Redeemable preferred stock	501		—		17		5		513
Total at December 31, 2019	$	62,937	$	—	$	3,789	$	383	$	66,343

______________

(1)Corporate fixed maturities include both public and private issues.

(2)Includes publicly traded agency pass-through securities and collateralized obligations.

(3)Includes credit-tranched securities collateralized by sub-prime mortgages and other asset types and credit tenant loans.

(4)Amounts represent the allowance for credit losses for 2020 (see Note 2 Significant Accounting Policies – Investments).

(5)Excludes amounts reclassified as Held-for-Sale.

The contractual maturities of AFS fixed maturities at June 30, 2020 are shown in the table below. Bonds not due at a single maturity date have been included in the table in the final year of maturity. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Contractual Maturities of AFS Fixed Maturities

	Amortized Cost (Less Allowance for Credit Losses)		Fair Value
	(in millions)
June 30, 2020 (1)
Contractual maturities:
Due in one year or less	$	4,645	$	4,688
Due in years two through five	15,141		15,985
Due in years six through ten	18,394		20,398
Due after ten years	25,870		31,693
Subtotal	64,050		72,764
Residential mortgage-backed	160		175
Asset-backed	2,062		2,045
Commercial mortgage-backed	854		879
Redeemable preferred stock	376		380
Total at June 30, 2020	$	67,502	$	76,243

______________

(1)Net amortized cost is equal to amortized cost, less any allowance for credit losses to the extent applicable.

The following table shows proceeds from sales, gross gains (losses) from sales and credit losses for AFS fixed maturities for the three and six months ended June 30, 2020 and 2019:

Proceeds from Sales, Gross Gains (Losses) from Sales and Credit Losses for AFS Fixed Maturities

	Three Months Ended June 30,				Six Months Ended June 30,
	2020		2019		2020		2019
	(in millions)
Proceeds from sales	$	2,947	$	1,614	$	4,767	$	3,064
Gross gains on sales	$	207	$	10	$	277	$	18
Gross losses on sales	$	(28)	$	(7)	$	(34)	$	(25)
Credit losses (1)	$	(11)	$	—	$	(13)	$	—

______________

(1) Commencing with the Company’s adoption of ASU 2016-13 on January 1, 2020, credit losses on AFS debt securities were recognized as an allowance for credit losses. In 2019 and prior, credit losses on AFS fixed maturities were recognized as OTTI.

The following table sets forth the amount of credit loss impairments on AFS fixed maturities held by the Company at the dates indicated and the corresponding changes in such amounts.

AFS Fixed Maturities - Credit Loss Impairments

	Three Months Ended June 30,				Six Months Ended June 30,
	2020		2019		2020		2019
	(in millions)
Balance, beginning of period	$	(23)	$	(26)	$	(21)	$	(58)
Previously recognized impairments on securities that matured, paid, prepaid or sold	2		1		2		33
Recognized impairments on securities impaired to fair value this period (1)	—		—		—		—
Credit losses recognized this period on securities for which credit losses were not previously recognized	(8)		—		(10)		—
Additional credit losses this period on securities previously impaired	(3)		—		(3)		—
Increases due to passage of time on previously recorded credit losses	—		—		—		—
Accretion of previously recognized impairments due to increases in expected cash flows (for OTTI securities 2019 and prior)	—		—		—		—
Balance at June 30,	$	(32)	$	(25)	$	(32)	$	(25)

______________

(1)Represents circumstances where the Company determined in the current period that it intends to sell the security, or it is more likely than not that it will be required to sell the security before recovery of the security’s amortized cost.

Net unrealized investment gains (losses) on AFS fixed maturities are included in the consolidated balance sheets as a component of AOCI.

Changes in net unrealized investment gains (losses) recognized in AOCI include reclassification adjustments to reflect amounts realized in Net income (loss) for the current period that had been part of OCI in earlier periods. The tables that follow below present a roll-forward of net unrealized investment gains (losses) recognized in AOCI, split between amounts related to fixed maturities on which a credit loss has been recognized, and all other.

Net Unrealized Gains (Losses) on AFS Fixed Maturities

	Net Unrealized Gains (Losses) on Investments		DAC		Policyholders’ Liabilities		Deferred Income Tax Asset (Liability)		AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in millions)
Balance, April 1, 2020	$	5,306	$	(921)	$	(354)	$	(847)	$	3,184
Net investment gains (losses) arising during the period	3,614		—		—		—		3,614
Reclassification adjustment:
Included in Net income (loss)	(190)		—		—		—		(190)
Excluded from Net income (loss)	—		—		—		—		—
Impact of net unrealized investment gains (losses) on:
DAC	—		(600)		—		—		(600)
Deferred income taxes	—		—		—		(450)		(450)
Policyholders’ liabilities	—		—		(681)		—		(681)
Net unrealized investment gains (losses) excluding credit losses	8,730		(1,521)		(1,035)		(1,297)		4,877
Net unrealized investment gains (losses) with credit losses	(2)		—		1		—		(1)
Balance, June 30, 2020	$	8,728	$	(1,521)	$	(1,034)	$	(1,297)	$	4,876

	Net Unrealized Gains (Losses) on Investments		DAC		Policyholders’ Liabilities		Deferred Income Tax Asset (Liability)		AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in millions)
Balance, April 1, 2019	$	1,187	$	(601)	$	12	$	(126)	$	472
Net investment gains (losses) arising during the period	1,746		—		—		—		1,746
Reclassification adjustment:
Included in Net income (loss)	(4)		—		—		—		(4)
Excluded from Net income (loss)	—		—		—		—		—
Impact of net unrealized investment gains (losses) on:
DAC	—		49		—		—		49
Deferred income taxes	—		—		—		(355)		(355)
Policyholders’ liabilities	—		—		(100)		—		(100)
Net unrealized investment gains (losses) excluding credit losses	2,929		(552)		(88)		(481)		1,808
Net unrealized investment gains (losses) with credit losses (1)	2		—		—		—		2
Balance, June 30, 2019	$	2,931	$	(552)	$	(88)	$	(481)	$	1,810

	Net Unrealized Gains (Losses) on Investments		DAC		Policyholders’ Liabilities		Deferred Income Tax Asset (Liability)		AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in millions)
Balance, January 1, 2020	$	3,453	$	(899)	$	(189)	$	(497)	$	1,868
Net investment gains (losses) arising during the period	5,536		—		—		—		5,536
Reclassification adjustment:
Included in Net income (loss)	(252)		—		—		—		(252)
Excluded from Net income (loss)	—		—		—		—		—
Impact of net unrealized investment gains (losses) on:
DAC	—		(624)		—		—		(624)
Deferred income taxes	—		—		—		(801)		(801)
Policyholders’ liabilities	—		—		(846)		—		(846)
Net unrealized investment gains (losses) excluding credit losses	8,737		(1,523)		(1,035)		(1,298)		4,881
Net unrealized investment gains (losses) with credit losses	(9)		2		1		1		(5)
Balance, June 30, 2020	$	8,728	$	(1,521)	$	(1,034)	$	(1,297)	$	4,876

	Net Unrealized Gains (Losses) on Investments		DAC		Policyholders’ Liabilities		Deferred Income Tax Asset (Liability)		AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
Balance, January 1, 2019	$	(522)	$	100	$	(73)	$	104	$	(391)
Net investment gains (losses) arising during the period	3,456		—		—		—		3,456
Reclassification adjustment:
Included in Net income (loss)	(5)		—		—		—		(5)
Excluded from Net income (loss)	—		—		—		—		—
Impact of net unrealized investment gains (losses) on:
DAC	—		(652)		—		—		(652)
Deferred income taxes	—		—		—		(585)		(585)
Policyholders’ liabilities	—		—		(15)		—		(15)
Net unrealized investment gains (losses) excluding credit losses	2,929		(552)		(88)		(481)		1,808
Net unrealized investment gains (losses) with credit losses (1)	2		—		—		—		2
Balance, June 30, 2019	$	2,931	$	(552)	$	(88)	$	(481)	$	1,810

_____________

(1)Credit losses for 2019 were OTTI losses.

The following tables disclose the fair values and gross unrealized losses of the 652 issues at June 30, 2020 and the 413 issues at December 31, 2019 that are not deemed to have credit losses, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position for the specified periods at the dates indicated.

AFS Fixed Maturities in an Unrealized Loss Position for Which No Allowance Is Recorded

	Less Than 12 Months				12 Months or Longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in millions)
June 30, 2020:
Fixed Maturities:
Corporate	$	2,574	$	96	$	277	$	53	$	2,851	$	149
Foreign governments	47		6		—		—		47		6
Asset-backed	1,349		37		73		4		1,422		41
Redeemable preferred stock	123		9		11		2		134		11
Total at June 30, 2020	$	4,093	$	148	$	361	$	59	$	4,454	$	207
December 31, 2019: (1) (2)
Fixed Maturities:
Corporate	$	2,773	$	42	$	373	$	20	$	3,146	$	62
U.S. Treasury, government and agency	4,309		305		2		—		4,311		305
States and political subdivisions	112		3		—		—		112		3
Foreign governments	11		—		47		5		58		5
Asset-backed	319		1		201		2		520		3
Redeemable preferred stock	29		—		49		5		78		5
Total at December 31, 2019	$	7,553	$	351	$	672	$	32	$	8,225	$	383

______________

(1)Amounts represents fixed maturities in an unrealized loss position that are not deemed to be other-than-temporarily impaired for 2019.

(2)Excludes amounts reclassified as Held-for-Sale.

The Company’s investments in fixed maturities do not include concentrations of credit risk of any single issuer greater than 10% of the consolidated equity of the Company, other than securities of the U.S. government, U.S. government agencies, and certain securities guaranteed by the U.S. government. The Company maintains a diversified portfolio of corporate securities across industries and issuers and does not have exposure to any single issuer in excess of 0.7% of total corporate securities. The largest exposures to a single issuer of corporate securities held at June 30, 2020 and December 31, 2019 were $367 million and $309 million, respectively, representing 1.9% and 2.0% of the consolidated equity of the Company.

Corporate high yield securities, consisting primarily of public high yield bonds, are classified as other than investment grade by the various rating agencies, i.e., a rating below Baa3/BBB- or the National Association of Insurance Commissioners (“NAIC”) designation of 3 (medium investment grade), 4 or 5 (below investment grade) or 6 (in or near default). At June 30, 2020 and December 31, 2019, respectively, approximately $1.9 billion and $1.4 billion, or 2.9% and 2.3%, of the $67.5 billion and $62.9 billion aggregate amortized cost of fixed maturities held by the Company were considered to be other than investment grade. These securities had gross unrealized losses of $113 million and $21 million at June 30, 2020 and December 31, 2019, respectively.

At June 30, 2020 and December 31, 2019, respectively, the $59 million and $32 million of gross unrealized losses of twelve months or more were concentrated in corporate securities, as applicable. In accordance with the policy described in Note 2, the Company concluded that an adjustment to income for OTTI (prior to January 1, 2020) nor an allowance for credit losses (after January 1, 2020) for these securities was not warranted at either June 30, 2020 or December 31, 2019. At June 30, 2020 and December 31, 2019, the Company did not intend to sell the securities nor will it likely be required to dispose of the securities before the anticipated recovery of their remaining amortized cost basis.

Based on the Company’s evaluation both qualitatively and quantitatively of the drivers of the decline in fair value of fixed maturity securities as of June 30, 2020, the Company determined that the unrealized loss was primarily due to increases in credit spreads and changes in credit ratings due to the impact of the COVID-19 pandemic on financial markets and assessments of fundamental risks.

Mortgage Loans

The Company utilizes a PD/LGD model, configured in accordance with the Company’s policies that meet the concepts in the CECL framework, to estimate expected credit losses for mortgage loans as a product of PD, LGD and the exposure at default across various economic scenarios. The PD and LGD are estimated at the loan-level based on loans’ current and forecasted risk characteristics as well as macroeconomic forecasts. The PD is estimated using both macroeconomic conditions as well as individual loan risk characteristics including LTV ratios, DSC ratios, seasoning, collateral type, geography, and underlying credit. The LGD is driven primarily by the type and value of collateral, and secondarily by expected liquidation costs and time to recovery.

The model also incorporates the Company’s reasonable and supportable forecasts of the macroeconomic variables deemed to be correlated to the credit risk of its loans. The length of the reasonable and supportable forecast period is reassessed on a quarterly basis and may be adjusted as appropriate over time to be consistent with macroeconomic conditions and the environment as of the reporting date. Reversion to historical loss information is performed for periods beyond the reasonable and supportable forecast period.

The components of amortized cost for mortgage loans on the consolidated balance sheets excludes accrued interest amounts because the Company presents accrued interest receivables within Other assets. Accrued interest receivable on commercial and agricultural mortgage loans at June 30, 2020 was $28 million and $29 million, respectively. Accrued interest of $1 million was written off for the three and six months ended June 30, 2020 for commercial mortgage loans. There was no accrued interest written off for agricultural mortgage loans for the three and six months ended June 30, 2020.

Once mortgage loans are placed on nonaccrual status, the Company reverses accrued interest receivable against interest income. Since the nonaccrual policy results in the timely reversal of accrued interest receivable, the Company does not record an allowance for credit losses on accrued interest receivable.

At June 30, 2020, the Company had no loans for which foreclosure was probable included within the individually assessed mortgage loans, and accordingly had no associated allowance for credit losses.

Allowance for Credit Losses on Mortgage Loans

The change in the allowance for credit losses for commercial mortgage loans and agricultural mortgage loans during the three and six months ended June 30, 2020 was as follows:

	Three Months Ended June 30, 2020		Six Months Ended June 30, 2020
	(in millions)
Allowance for credit losses on mortgage loans (1):
Commercial mortgages:
Balance, beginning of period	$	(43)	$	(33)
Current-period provision for expected credit losses	(19)		(29)
Write-offs charged against the allowance	—		—
Recoveries of amounts previously written off	—		—
Net change in allowance	$	(19)	$	(29)
Ending Balance, June 30,	$	(62)	$	(62)
Agricultural mortgages:
Balance, beginning of period	$	(3)	$	(3)
Current-period provision for expected credit losses	(1)		(1)
Write-offs charged against the allowance	—		—
Recoveries of amounts previously written off	—		—
Net change in allowance	$	(1)	$	(1)
Ending Balance, June 30,	$	(4)	$	(4)
Total allowance for credit losses	$	(66)	$	(66)

_______________

(1)See Note 2 for discussion of the transition balance.

The change in the allowance for credit losses is attributable to:

•increases/decreases in the loan balance due to new originations, maturing mortgages, and loan amortization;

•changes in credit quality; and

•changes in market assumptions primarily related to COVID-19 driven economic changes.

Credit Quality Information

The following tables summarize the Company’s mortgage loans segregated by risk rating exposure at June 30, 2020.

LTV Ratios (1)(3)

	At June 30, 2020
	Amortized Cost Basis by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
	(in millions)
Mortgage loans:
Commercial:
0% - 50%	$	—	$	—	$	29	$	324	$	213	$	748	$	1,314
50% - 70%	656		613		915		759		2,501		1,714		7,158
70% - 90%	90		184		304		113		58		464		1,213
90% plus	—		—		—		5		—		156		161
Total commercial	$	746	$	797	$	1,248	$	1,201	$	2,772	$	3,082	$	9,846
Agricultural:
0% - 50%	$	106	$	139	$	159	$	167	$	254	$	733	$	1,558

	At June 30, 2020
	Amortized Cost Basis by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
	(in millions)
50% - 70%	204		139		186		112		129		394		1,164
70% - 90%	—		—		3		—		—		18		21
90% plus	—		—		—		—		—		—		—
Total agricultural	$	310	$	278	$	348	$	279	$	383	$	1,145	$	2,743
Total mortgage loans:
0% - 50%	$	106	$	139	$	188	$	491	$	467	$	1,481	$	2,872
50% - 70%	860		752		1,101		871		2,630		2,108		8,322
70% - 90%	90		184		307		113		58		482		1,234
90% plus	—		—		—		5		—		156		161
Total mortgage loans	$	1,056	$	1,075	$	1,596	$	1,480	$	3,155	$	4,227	$	12,589

Debt Service Coverage Ratios (2)(3)

	At June 30, 2020
	Amortized Cost Basis by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
	(in millions)
Mortgage loans:
Commercial:
Greater than 2.0x	$	621	$	373	$	801	$	377	$	2,151	$	1,315	$	5,638
1.8x to 2.0x	90		187		123		409		70		484		1,363
1.5x to 1.8x	35		183		230		302		551		610		1,911
1.2x to 1.5x	—		12		11		76		—		673		772
1.0x to 1.2x	—		42		83		37		—		—		162
Less than 1.0x	—		—		—		—		—		—		—
Total commercial	$	746	$	797	$	1,248	$	1,201	$	2,772	$	3,082	$	9,846
Agricultural
Greater than 2.0x	$	43	$	28	$	39	$	37	$	76	$	162	$	385
1.8x to 2.0x	11		36		15		17		21		91		191
1.5x to 1.8x	75		39		46		43		52		232		487
1.2x to 1.5x	110		126		148		110		158		349		1,001
1.0x to 1.2x	67		39		92		71		58		275		602
Less than 1.0x	4		10		8		1		18		36		77
Total agricultural	$	310	$	278	$	348	$	279	$	383	$	1,145	$	2,743
Total mortgage loans
Greater than 2.0x	$	664	$	401	$	840	$	414	$	2,227	$	1,477	$	6,023
1.8x to 2.0x	101		223		138		426		91		575		1,554
1.5x to 1.8x	110		222		276		345		603		842		2,398
1.2x to 1.5x	110		138		159		186		158		1,022		1,773
1.0x to 1.2x	67		81		175		108		58		275		764
Less than 1.0x	4		10		8		1		18		36		77
Total mortgage loans	$	1,056	$	1,075	$	1,596	$	1,480	$	3,155	$	4,227	$	12,589

______________

(1)The LTV ratio is derived from current loan balance divided by the fair value of the property. The fair value of the underlying commercial properties is updated annually for each mortgage loan.

(2)The DSC ratio is calculated using the most recently reported operating income results from property operations divided by annual debt service.

(3)Amounts presented at amortized cost basis.

The following tables provide information relating to the LTV and DSC ratios for commercial and agricultural mortgage loans at June 30, 2020 and December 31, 2019. The values used in these ratio calculations were developed as part of the periodic review of the commercial and agricultural mortgage loan portfolio, which includes an evaluation of the underlying collateral value.

Mortgage Loans by LTV and DSC Ratios

	DSC Ratio (2) (3)
LTV Ratio (1) (3):	Greater than 2.0x		1.8x to 2.0x		1.5x to 1.8x		1.2x to 1.5x		1.0x to 1.2x		Less than 1.0x		Total
	(in millions)
June 30, 2020:
Mortgage loans:
Commercial:
0% - 50%	$	1,033	$	20	$	237	$	24	$	—	$	—	$	1,314
50% - 70%	4,208		1,080		1,353		485		32		—		7,158
70% - 90%	312		263		321		187		130		—		1,213
90% plus	85		—		—		76		—		—		161
Total commercial	$	5,638	$	1,363	$	1,911	$	772	$	162	$	—	$	9,846
Agricultural:
0% - 50%	$	292	$	106	$	255	$	520	$	333	$	52	$	1,558
50% - 70%	93		83		232		462		269		25		1,164
70% - 90%	—		2		—		19		—		—		21
90% plus	—		—		—		—		—		—		—
Total agricultural	$	385	$	191	$	487	$	1,001	$	602	$	77	$	2,743
Total mortgage loans:
0% - 50%	$	1,325	$	126	$	492	$	544	$	333	$	52	$	2,872
50% - 70%	4,301		1,163		1,585		947		301		25		8,322
70% - 90%	312		265		321		206		130		—		1,234
90% plus	85		—		—		76		—		—		161
Total mortgage loans	$	6,023	$	1,554	$	2,398	$	1,773	$	764	$	77	$	12,589

	DSC Ratio (2) (3)
LTV Ratio (1) (3):	Greater than 2.0x		1.8x to 2.0x		1.5x to 1.8x		1.2x to 1.5x		1.0x to 1.2x		Less than 1.0x		Total
	(in millions)
December 31, 2019:
Mortgage loans:
Commercial:
0% - 50%	$	903	$	38	$	214	$	25	$	—	$	—	$	1,180
50% - 70%	4,097		1,195		1,118		795		242		—		7,447
70% - 90%	251		98		214		154		46		—		763
90% plus	—		—		—		—		—		—		—
Total commercial	$	5,251	$	1,331	$	1,546	$	974	$	288	$	—	$	9,390
Agricultural:
0% - 50%	$	322	$	104	$	241	$	545	$	321	$	50	$	1,583
50% - 70%	82		87		236		426		251		33		1,115
70% - 90%	—		—		—		19		—		—		19
90% plus	—		—		—		—		—		—		—
Total agricultural	$	404	$	191	$	477	$	990	$	572	$	83	$	2,717
Total mortgage loans:
0% - 50%	$	1,225	$	142	$	455	$	570	$	321	$	50	$	2,763
50% - 70%	4,179		1,282		1,354		1,221		493		33		8,562
70% - 90%	251		98		214		173		46		—		782
90% plus	—		—		—		—		—		—		—
Total mortgage loans	$	5,655	$	1,522	$	2,023	$	1,964	$	860	$	83	$	12,107

______________

(1)The LTV ratio is derived from current loan balance divided by the fair value of the property. The fair value of the underlying commercial properties is updated annually for each mortgage loan.

(2)The DSC ratio is calculated using the most recently reported operating income results from property operations divided by annual debt service.

(3)Amounts presented at amortized cost basis.

Past-Due and Nonaccrual Mortgage Loan Status

The following table provides information relating to the aging analysis of past-due mortgage loans at June 30, 2020 and December 31, 2019, respectively.

Age Analysis of Past Due Mortgage Loans (1)

	Accruing Loans												Non-accruing Loans		Total Loans		Non-accruing Loans with No Allowance		Interest Income on Non-accruing Loans (2)
	Past Due								Current		Total
	30-59 Days		60-89 Days		90 Days or More		Total
	(in millions)
June 30, 2020:
Mortgage loans:
Commercial	$	—	$	—	$	—	$	—	$	9,771	$	9,771	$	75	$	9,846	$	75	$	1
Agricultural	67		9		49		125		2,618		2,743		—		2,743		—		—
Total	$	67	$	9	$	49	$	125	$	12,389	$	12,514	$	75	$	12,589	$	75	$	1

December 31, 2019:
Mortgage loans:
Commercial	$	—	$	—	$	—	$	—	$	9,390	$	9,390	$	—	$	9,390	$	—	$	—
Agricultural	57		1		66		124		2,593		2,717		—		2,717		—		—
Total	$	57	$	1	$	66	$	124	$	11,983	$	12,107	$	—	$	12,107	$	—	$	—

_______________

(1) Amounts presented at amortized cost basis.

(2) Amounts for 2020 represent results for both the three and six months ended June 30, 2020.

At June 30, 2020 and December 31, 2019, the carrying values of problem mortgage loans that had been classified as non-accrual loans were $75 million and $0 million, respectively.

Troubled Debt Restructuring

The Company invests in commercial and agricultural mortgage loans included in the balance sheet as Mortgage loans on real estate and privately negotiated fixed maturities included in the balance sheet as Fixed maturities AFS. Under certain circumstances, modifications are granted to these contracts. Each modification is evaluated as to whether a troubled debt restructuring has occurred. A modification is a troubled debt restructuring when the borrower is in financial difficulty and the creditor makes concessions. Generally, the types of concessions may include reducing the face amount or maturity amount of the debt as originally stated, reducing the contractual interest rate, extending the maturity date at an interest rate lower than current market interest rates and/or reducing accrued interest. The Company considers the amount, timing and extent of the concession granted in determining any impairment or changes in the specific credit allowance recorded in connection with the troubled debt restructuring. A credit allowance may have been recorded prior to the quarter when the loan is modified in a troubled debt restructuring. Accordingly, the carrying value (net of the allowance) before and after modification through a troubled debt restructuring may not change significantly, or may increase if the expected recovery is higher than the pre-modification recovery assessment. At June 30, 2020, the Company did not have any commercial or agricultural mortgage loans accounted for as troubled debt restructurings. At June 30, 2020, the Company had four new privately negotiated fixed maturity troubled debt restructurings with a pre-modification cost basis of $42 million and post-modification carrying value of $37 million, these troubled debt restructurings did not have subsequent payment defaults nor additional commitments to lend. The four privately negotiated fixed maturity troubled debt restructurings are 0.04% of the Company’s total invested assets.

Trading Securities

At June 30, 2020 and December 31, 2019, respectively, the fair value of the Company’s trading securities was $6.6 billion and $7.0 billion. At June 30, 2020 and December 31, 2019, respectively, trading securities included the General Account’s investment in Separate Accounts which had carrying values of $38 million and $58 million.

Net unrealized and realized gains (losses) on trading securities are included in Net investment income (loss) in the Consolidated Statements of Income (Loss). The table below shows a breakdown of Net investment income (loss) from trading securities during the three and six months ended June 30, 2020 and 2019.

Net Investment Income (Loss) from Trading Securities

	Three Months Ended June 30,				Six Months Ended June 30,
	2020		2019		2020		2019
	(in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period	$	287	$	159	$	101	$	477
Net investment gains (losses) recognized on securities sold during the period	25		3		29		(21)
Unrealized and realized gains (losses) on trading securities	312		162		130		456
Interest and dividend income from trading securities	48		73		99		165
Net investment income (loss) from trading securities	$	360	$	235	$	229	$	621