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”).



December 31, 2019:	Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value		% of Total		Other-than- temporary impairments in AOCI
Available-for-sale:
Corporate	$	29,205	$	2,269	$	81	$	31,393	61.4	%	$	—
Canadian government	3,016		1,596		—		4,612		9.0		—
RMBS	2,339		62		3		2,398		4.7		—
ABS	2,973		19		14		2,978		5.8		—
CMBS	1,841		61		3		1,899		3.7		—
U.S. government	2,096		57		1		2,152		4.2		—
State and political subdivisions	1,074		93		3		1,164		2.3		—
Other foreign government	4,209		321		5		4,525		8.9		—
Total fixed maturity securities	$	46,753	$	4,478	$	110	$	51,121	100.0	%	$	—



December 31, 2018:	Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value		% of Total		Other-than- temporary impairments in AOCI
Available-for-sale:
Corporate	$	24,006	$	531	$	555	$	23,982	59.9	%	$	—
Canadian government	2,768		1,126		2		3,892		9.7		—
RMBS	1,872		22		25		1,869		4.7		—
ABS	2,172		11		33		2,150		5.4		—
CMBS	1,428		9		18		1,419		3.5		—
U.S. government	2,234		10		58		2,186		5.5		—
State and political subdivisions	721		40		9		752		1.9		—
Other foreign government	3,681		109		48		3,742		9.4		—
Total fixed maturity securities	$	38,882	$	1,858	$	748	$	39,992	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, 2019 and 2018, 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, 2019 and 2018 (dollars in millions):



	2019				2018
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities pledged as collateral	$	113	$	116	$	81	$	84
Fixed maturity securities received as collateral	n/a		727		n/a		617
Assets in trust held to satisfy collateral requirements	27,290		29,239		20,073		20,366

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, 2019 and 2018 (dollars in millions):



	2019				2018
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities guaranteed or issued by:
Canadian province of Quebec	$	1,205	$	2,163	$	1,091	$	1,757
Canadian province of Ontario	1,014		1,379		914		1,188

The amortized cost and estimated fair value of fixed maturity securities classified as available-for-sale as of December 31, 2019 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. Asset and mortgage-backed 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	$	1,267	$	1,281
Due after one year through five years	9,056		9,387
Due after five years through ten years	9,641		10,416
Due after ten years	19,636		22,762
Asset and mortgage-backed securities	7,153		7,275
Total	$	46,753	$	51,121



December 31, 2019:	Amortized Cost		Estimated Fair Value		% of Total
Finance	$	10,896	$	11,653	37.2	%
Industrial	14,692		15,803		50.3
Utility	3,617		3,937		12.5
Total	$	29,205	$	31,393	100.0	%

December 31, 2018:	Amortized Cost		Estimated Fair Value		% of Total
Finance	$	8,794	$	8,731	36.3	%
Industrial	12,337		12,342		51.6
Utility	2,875		2,909		12.1
Total	$	24,006	$	23,982	100.0	%

As discussed in Note 2 – “Significant Accounting Policies and Pronouncements,” a portion of certain OTTI on fixed maturity securities is recognized in AOCI. For these securities, the net amount recognized in the consolidated statements of income (“credit loss impairments”) 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 debt security prior to impairment. Any remaining difference between the fair value and amortized cost is recognized in AOCI. The following table sets forth the amount of pre-tax credit loss impairments on fixed maturity securities held by the Company as of the dates indicated, for which a portion of the OTTI was recognized in AOCI, and the corresponding changes in such amounts (dollars in millions):



	2019			2018		2017
Balance, beginning of period	$	4		$	4	$	6
Credit loss impairments previously recognized on securities impaired to fair value during the period	—			—		(2		)
Credit loss previously recognized on securities that matured, paid down, prepaid or were sold during the period	(2		)	—		—
Balance, end of period	$	2		$	4	$	4

The following table presents the total gross unrealized losses for the 1,072 and 3,109 fixed maturity securities as of December 31, 2019 and 2018, where the estimated fair value had declined and remained below amortized cost by the indicated amount (dollars in millions):



	2019				2018
	Gross Unrealized Losses		% of Total		Gross Unrealized Losses		% of Total
Less than 20%	$	76	69.1	%	$	721	96.4	%
20% or more for less than six months	20		18.2		21		2.8
20% or more for six months or greater	14		12.7		6		0.8
Total	$	110	100.0	%	$	748	100.0	%

The Company’s determination of whether a decline in value is other-than-temporary includes an analysis of the underlying credit and the extent and duration of a decline in value. The Company’s credit analysis of an investment includes determining 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 tables present the estimated fair values and gross unrealized losses, including OTTI reported in AOCI, for fixed maturity securities that have estimated fair values below amortized cost as of December 31, 2019 and 2018 (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 remained below amortized cost.



	Less than 12 months				12 months or greater				Total
December 31, 2019:	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
Investment grade securities:
Corporate	$	1,936	$	29	$	293	$	7	$	2,229	$	36
Canadian government	—		—		—		—		—		—
RMBS	367		2		84		1		451		3
ABS	773		5		739		9		1,512		14
CMBS	253		3		—		—		253		3
U.S. government	49		1		—		—		49		1
State and political subdivisions	103		2		12		1		115		3
Other foreign government	278		4		—		—		278		4
Total investment grade securities	3,759		46		1,128		18		4,887		64
Below investment grade securities:
Corporate	220		38		100		7		320		45
Other foreign government	—		—		10		1		10		1
Total below investment grade securities	220		38		110		8		330		46
Total fixed maturity securities	$	3,979	$	84	$	1,238	$	26	$	5,217	$	110



	Less than 12 months				12 months or greater				Total
December 31, 2018:	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
Investment grade securities:
Corporate	$	8,505	$	302	$	3,612	$	195	$	12,117	$	497
Canadian government	—		—		132		2		132		2
RMBS	270		2		836		23		1,106		25
ABS	1,102		24		382		9		1,484		33
CMBS	384		4		415		14		799		18
U.S. government	—		—		1,086		58		1,086		58
State and political subdivisions	104		2		157		7		261		9
Other foreign government	790		25		473		17		1,263		42
Total investment grade securities	11,155		359		7,093		325		18,248		684
Below investment grade securities:
Corporate	756		43		123		15		879		58
Other foreign government	129		6		—		—		129		6
Total below investment grade securities	885		49		123		15		1,008		64
Total fixed maturity securities	$	12,040	$	408	$	7,216	$	340	$	19,256	$	748

The Company has no intention to sell, nor does it expect to be required to sell, the securities outlined in the table 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.



	2019			2018			2017
Fixed maturity securities available-for-sale	$	1,786		$	1,529		$	1,402
Equity securities	8			4			4
Mortgage loans on real estate	255			214			198
Policy loans	58			59			61
Funds withheld at interest	297			310			458
Short-term investments and cash and cash equivalents	28			14			7
Other invested assets	184			99			106
Investment income	2,616			2,229			2,236
Investment expense	(96		)	(90		)	(81		)
Investment income, net of related expenses	$	2,520		$	2,139		$	2,155



	2019			2018			2017
Fixed maturity securities available for sale:
OTTI	$	(31	)	$	(28	)	$	(43	)
Gain on investment activity	151			65			111
Loss on investment activity	(50		)	(159		)	(37		)
Net gains (losses) on equity securities	16			(20		)	(5		)
Other impairment losses and change in mortgage loan provision	(12		)	(12		)	(10		)
Derivatives and other, net	17			(16		)	152
Total investment related gains (losses), net	$	91		$	(170	)	$	168

The OTTI on fixed maturity securities for 2019, 2018 and 2017 are primarily due to emerging market and high-yield debt exposures. The fluctuations in investment related gains (losses) for derivatives and other are primarily due to changes in the fair value of embedded derivatives related to modified coinsurance and funds withheld treaties, as a result of changes in interest rates, driven primarily by credit spreads.

As of December 31, 2019 and 2018, the Company held non-income producing securities with amortized costs of $47 million and $41 million, and estimated fair values of $51 million and $43 million, respectively. 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.

The following table includes the amount of borrowed securities, securities lent and securities collateral received as part of the securities lending program, repurchased/reverse repurchased securities pledged and received and cash received as of December 31, 2019 and 2018 (dollars in millions):



	2019				2018
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Borrowed securities	$	339	$	369	$	336	$	367
Securities lending:
Securities loaned	98		104		102		103
Securities received	n/a		107		n/a		112
Repurchase program/reverse repurchase program:
Securities pledged	356		384		554		554
Securities received	n/a		370		n/a		531

The Company also held cash collateral for securities lending and the repurchase program/reverse repurchase programs of $1 million and $29 million as of December 31, 2019 and 2018, respectively. No cash or securities have been pledged by the Company for its securities borrowing program as of December 31, 2019 and 2018.

The following tables present information on the Company’s securities lending and repurchase transactions as of December 31, 2019 and 2018, 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, 2019
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater than 90 Days		Total
Securities lending transaction:
Corporate	$	—	$	—	$	—	$	104	$	104
Total	—		—		—		104		104
Repurchase transactions:
Corporate	—		—		—		286		286
U.S. government	—		—		—		—		—
Foreign government	—		—		—		98		98
Total	—		—		—		384		384
Total transactions	$	—	$	—	$	—	$	488	$	488

Gross amount of recognized liabilities for securities lending and repurchase transactions in preceding table									$	478
Amounts related to agreements not included in offsetting disclosure									$	10



	December 31, 2018
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater than 90 Days		Total
Securities lending transaction:
Corporate	$	—	$	—	$	—	$	103	$	103
Total	—		—		—		103		103
Repurchase transactions:
Corporate	—		—		—		254		$	254
U.S. government	—		—		—		221		221
Foreign government	—		—		—		79		79
Total	—		—		—		554		554
Total transactions	$	—	$	—	$	—	$	657	$	657

Gross amount of recognized liabilities for securities lending and repurchase transactions in preceding table									$	671
Amounts related to agreements not included in offsetting disclosure									$	14

The Company has elected to offset amounts recognized as receivables and payables resulting from the repurchase/reverse repurchase programs. After the effect of offsetting, the net amount presented on the consolidated balance sheets was a liability of $1 million and $0 million as of December 31, 2019 and 2018, respectively. As of December 31, 2019 and 2018, the Company recognized payables resulting from cash received as collateral associated with a repurchase agreement as discussed above. Amounts owed to and due from the counterparties may be settled in cash or offset, in accordance with the agreements.

As of December 31, 2019, mortgage loans were geographically dispersed throughout the U.S. with the largest concentrations in California (15.5%), Texas (12.5%) and Washington (8.4%) and include loans secured by properties in Canada (3.2%) and United Kingdom (1.0%). The recorded investment in mortgage loans on real estate presented below is gross of unamortized deferred loan origination fees and expenses, and valuation allowances.



	2019					2018
	Carrying Value			Percentage of Total		Carrying Value			Percentage of Total
Property type:
Office building	$	1,771		31.0	%	$	1,726		34.6	%
Retail	1,686			29.4		1,432			28.7
Industrial	1,169			20.4		962			19.3
Apartment	766			13.4		571			11.5
Other commercial	335			5.8		292			5.9
Recorded investment	5,727			100.0	%	4,983			100.0	%
Unamortized balance of loan origination fees and expenses	(9		)			(6		)
Valuation allowances	(12		)			(11		)
Total mortgage loans on real estate	$	5,706				$	4,966



	2019				2018
	Recorded Investment		% of Total		Recorded Investment		% of Total
Due within five years	$	1,841	32.2	%	$	1,426	28.6	%
Due after five years through ten years	2,944		51.4		2,686		53.9
Due after ten years	942		16.4		871		17.5
Total	$	5,727	100.0	%	$	4,983	100.0	%



	Recorded Investment
	Debt Service Ratios						Construction loans
	>1.20x		1.00x - 1.20x		<1.00x		Construction loans		Total		% of Total
December 31, 2019:
Loan-to-Value Ratio
0% - 59.99%	$	3,025	$	52	$	7	$	—	$	3,084	53.8	%
60% - 69.99%	1,841		53		11		—		1,905		33.3
70% - 79.99%	492		13		39		—		544		9.5
Greater than 80%	96		61		37		—		194		3.4
Total	$	5,454	$	179	$	94	$	—	$	5,727	100.0	%



	Recorded Investment
	Debt Service Ratios						Construction loans
	>1.20x		1.00x - 1.20x		<1.00x		Construction loans		Total		% of Total
December 31, 2018:
Loan-to-Value Ratio
0% - 59.99%	$	2,411	$	61	$	38	$	14	$	2,524	50.6	%
60% - 69.99%	1,618		74		38		19		1,749		35.1
70% - 79.99%	414		48		54		—		516		10.4
Greater than 80%	118		50		26		—		194		3.9
Total	$	4,561	$	233	$	156	$	33	$	4,983	100.0	%



	2019		2018
Mortgage loans:
Individually measured for impairment	$	17	$	31
Collectively measured for impairment	5,710		4,952
Recorded investment	$	5,727	$	4,983
Valuation allowances:
Individually measured for impairment	$	—	$	—
Collectively measured for impairment	12		11
Total valuation allowances	$	12	$	11



	Unpaid Principal Balance		Recorded Investment		Related Allowance		Carrying Value
December 31, 2019:
Impaired mortgage loans with no valuation allowance recorded	$	17	$	17	$	—	$	17
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	17	$	17	$	—	$	17
December 31, 2018:
Impaired mortgage loans with no valuation allowance recorded	$	31	$	31	$	—	$	31
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	31	$	31	$	—	$	31



	2019				2018				2017
	Average Investment⁽¹⁾		Interest Income		Average Investment⁽¹⁾		Interest Income		Average Investment⁽¹⁾		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	20	$	1	$	24	$	1	$	4	$	—
Impaired mortgage loans with valuation allowance recorded	—		—		—		—		—		—
Total	$	20	$	1	$	24	$	1	$	4	$	—

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.

As of December 31, 2019, $3.5 billion of the funds withheld at interest balance is associated with one client. 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 on the Company’s consolidated balance sheets. 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 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. Carrying values of these assets as of December 31, 2019 and 2018 are as follows (dollars in millions):



	2019		2018
Limited partnership interests and real estate joint ventures	$	1,134	$	965
Lifetime mortgages	775		476
Derivatives	117		180
FVO contractholder-directed unit-linked investments	260		198
Other	77		96
Total other invested assets	$	2,363	$	1,915