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”). RMBS, ABS and CMBS are collectively “structured securities.”



September 30, 2020:	Amortized Cost		Allowance for Credit Losses		Unrealized Gains		Unrealized Losses		Estimated Fair Value		% of Total		Impairments in AOCI
Available-for-sale:
Corporate	$	31,044	$	19	$	3,455	$	221	$	34,259	62.7	%	$	—
Canadian government	2,985		—		1,912		—		4,897		9.0		—
RMBS	1,927		—		101		1		2,027		3.7		—
ABS	2,966		—		28		72		2,922		5.3		—
CMBS	1,871		—		81		22		1,930		3.5		—
U.S. government	1,392		—		238		—		1,630		3.0		—
State and political subdivisions	1,233		—		154		4		1,383		2.5		—
Other foreign government	5,243		—		411		50		5,604		10.3		—
Total fixed maturity securities	$	48,661	$	19	$	6,380	$	370	$	54,652	100.0	%	$	—



December 31, 2019:	Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value		% of Total		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	%	$	—

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 condensed consolidated balance sheets. Fixed maturity securities received as collateral are held in separate custodial accounts and are not recorded on the Company’s condensed consolidated balance sheets. Subject to certain constraints, the Company is permitted by contract to sell or repledge collateral it receives; however, as of September 30, 2020 and December 31, 2019, 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 September 30, 2020 and December 31, 2019 (dollars in millions):



	September 30, 2020				December 31, 2019
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities pledged as collateral	$	132	$	143	$	113	$	116
Fixed maturity securities received as collateral	n/a		1,421		n/a		727
Assets in trust held to satisfy collateral requirements	27,702		30,432		27,290		29,239



	September 30, 2020				December 31, 2019
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities guaranteed or issued by:
Government of Japan	$	1,429	$	1,430	$	813	$	852
Canadian province of Quebec	1,226		2,347		1,205		2,163
Canadian province of Ontario	1,012		1,470		1,014		1,379

The amortized cost and estimated fair value of fixed maturity securities classified as available-for-sale as of September 30, 2020, 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. Structured 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	$	1,417	$	1,416
Due after one year through five years	8,267		8,751
Due after five years through ten years	10,389		11,456
Due after ten years	21,824		26,150
Structured securities	6,764		6,879
Total	$	48,661	$	54,652



September 30, 2020:			Estimated
	Amortized Cost		Fair Value		% of Total
Finance	$	11,550	$	12,658	37.0	%
Industrial	15,709		17,280		50.4
Utility	3,785		4,321		12.6
Total	$	31,044	$	34,259	100.0	%

December 31, 2019:			Estimated
	Amortized Cost		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	%

As discussed in Note 1 – “Business and Basis of Presentation,” allowances for credit losses on fixed maturity securities are recognized in investment related gains (losses), net on the condensed consolidated statements of income. For these securities, the net amount recognized 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 fixed maturity security prior to the allowance for credit losses. Any remaining difference between the fair value and amortized cost is recognized in AOCI.



	Corporate			Other Foreign Government			Total
Balance, beginning of period	$	—		$	—		$	—
Credit losses recognized on securities for which credit losses were not previously recorded	38			2			40
Reductions for securities sold during the period	(19		)	(2		)	(21		)
Balance, end of period	$	19		$	—		$	19



	September 30, 2020				December 31, 2019
	Gross Unrealized Losses		% of Total		Gross Unrealized Losses		% of Total
Less than 20%	$	276	74.6	%	$	76	69.1	%
20% or more for less than six months	34		9.2		20		18.2
20% or more for six months or greater	60		16.2		14		12.7
Total	$	370	100.0	%	$	110	100.0	%

The Company’s determination of whether a decline in value necessitates the recording of an allowance for credit losses includes an analysis of 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 for fixed maturity securities that have estimated fair values below amortized cost as of September 30, 2020 and December 31, 2019 (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
			Gross				Gross				Gross
September 30, 2020:	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
Investment grade securities:
Corporate	$	2,446	$	108	$	83	$	10	$	2,529	$	118
RMBS	225		1		—		—		225		1
ABS	1,304		37		552		20		1,856		57
CMBS	355		19		—		—		355		19
U.S. government	—		—		—		—		—		—
State and political subdivisions	84		2		15		2		99		4
Other foreign government	955		35		11		2		966		37
Total investment grade securities	5,369		202		661		34		6,030		236
Below investment grade securities:
Corporate	672		94		60		9		732		103
ABS	19		14		4		1		23		15
CMBS	22		3		—		—		22		3
Other foreign government	93		9		13		4		106		13
Total below investment grade securities	806		120		77		14		883		134
Total fixed maturity securities	$	6,175	$	322	$	738	$	48	$	6,913	$	370



	Less than 12 months				12 months or greater				Total
			Gross				Gross				Gross
December 31, 2019:	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
Investment grade securities:
Corporate	$	1,936	$	29	$	293	$	7	$	2,229	$	36
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
ABS	—		—		—		—		—		—
CMBS	—		—		—		—		—		—
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

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



	Three months ended September 30,						Nine months ended September 30,
	2020			2019			2020			2019
Fixed maturity securities available-for-sale	$	483		$	464		$	1,437		$	1,307
Equity securities	2			1			5			3
Mortgage loans on real estate	66			67			199			187
Policy loans	13			14			42			43
Funds withheld at interest	95			82			217			210
Short-term investments and cash and cash equivalents	1			7			7			21
Other invested assets	17			67			53			141
Investment income	677			702			1,960			1,912
Investment expense	(23		)	(23		)	(67		)	(69		)
Investment income, net of related expenses	$	654		$	679		$	1,893		$	1,843



	Three months ended September 30,						Nine months ended September 30,
	2020			2019			2020			2019
Fixed maturity securities available-for-sale:
Impairments and change in allowance for credit losses	$	13		$	(9	)	$	(21	)	$	(18	)
Gain on investment activity	16			68			89			116
Loss on investment activity	(22		)	(13		)	(76		)	(39		)
Net gains (losses) on equity securities	4			4			(11		)	11
Other impairment losses and change in mortgage loan provision	(19		)	(4		)	(54		)	(12		)
Derivatives and other, net	74			3			(65		)	11
Total investment related gains (losses), net	$	66		$	49		$	(138	)	$	69

The impairments and change in allowance for credit losses on fixed maturity securities for the nine months ended September 30, 2020, were primarily due to an increase in the allowance for credit losses related to high-yield securities as result of the uncertainty in the global markets due to the novel coronavirus (“COVID-19”) pandemic. The fixed maturity impairment losses for the nine months ended September 30, 2019, were primarily related to a U.S. utility company and high yield securities. The other impairment losses and change in mortgage loan provision for the nine months ended September 30, 2020, were primarily due to an increase in the mortgage loan valuation allowance due to the current market conditions related to the COVID-19 pandemic and impairments on limited partnerships. The other impairment losses and change in mortgage loan provision for the nine months ended September 30, 2019, primarily relates to impairments on real estate joint ventures and limited partnerships. The fluctuations in investment related gains (losses) for derivatives and other for the nine months ended September 30, 2020, compared to the same periods in 2019, were primarily due to the changes in fair value of embedded derivatives related to modified coinsurance and funds withheld treaties as a result of changes in interest rates and credit spreads, both of which are a result of COVID-19.



	September 30, 2020				December 31, 2019
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Borrowed securities	$	273	$	314	$	339	$	369
Securities lending:
Securities loaned	94		104		98		104
Securities received	n/a		102		n/a		107
Repurchase program/reverse repurchase program:
Securities pledged	365		405		356		384
Securities received	n/a		378		n/a		370

The Company held cash collateral for repurchase/reverse repurchase programs of $4 million and $1 million as of September 30, 2020 and December 31, 2019, respectively. No cash or securities have been pledged by the Company for its securities borrowing program as of September 30, 2020 and December 31, 2019.

The following tables present information on the Company’s securities lending and repurchase/reverse repurchase transactions as of September 30, 2020 and December 31, 2019, 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.



	September 30, 2020
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater than 90 Days		Total
Securities lending transactions:
Corporate	$	—	$	—	$	—	$	104	$	104
Total	—		—		—		104		104
Repurchase/reverse repurchase transactions:
Corporate	—		—		—		298		298
Other foreign government	—		—		—		107		107
Total	—		—		—		405		405
Total transactions	$	—	$	—	$	—	$	509	$	509

Gross amount of recognized liabilities for securities lending and repurchase/reverse repurchase transactions in preceding table									$	484
Amounts related to agreements not included in offsetting disclosure									$	25



	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 transactions:
Corporate	$	—	$	—	$	—	$	104	$	104
Total	—		—		—		104		104
Repurchase/reverse repurchase transactions:
Corporate	—		—		—		286		286
Other foreign government	—		—		—		98		98
Total	—		—		—		384		384
Total borrowings	$	—	$	—	$	—	$	488	$	488

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

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 condensed consolidated balance sheets was a liability of $4 million and $1 million as of September 30, 2020 and December 31, 2019, respectively. As of September 30, 2020 and December 31, 2019, the Company recognized payables resulting from cash received as collateral associated with a repurchase/reverse repurchase agreements 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 September 30, 2020, mortgage loans are geographically dispersed throughout the U.S. with the largest concentrations in California (14.6%), Texas (14.5%) and Washington (8.7%). In addition, the Company held mortgage loans secured by properties in Canada (3.0%) and United Kingdom (0.9%). The recorded investment in mortgage loans on real estate presented below is gross of unamortized deferred loan origination fees and expenses and valuation allowances.



	September 30, 2020					December 31, 2019
Property type:	Carrying Value			% of Total		Carrying Value			% of Total
Office	$	1,736		29.0	%	$	1,771		31.0	%
Retail	1,700			28.4		1,686			29.4
Industrial	1,235			20.7		1,169			20.4
Apartment	870			14.5		766			13.4
Other commercial	440			7.4		335			5.8
Recorded investment	5,981			100.0	%	5,727			100.0	%
Unamortized balance of loan origination fees and expenses	(10		)			(9		)
Valuation allowances	(64		)			(12		)
Total mortgage loans on real estate	$	5,907				$	5,706



	September 30, 2020				December 31, 2019
	Recorded Investment		% of Total		Recorded Investment		% of Total
Due within five years	$	2,315	38.7	%	$	1,841	32.2	%
Due after five years through ten years	2,739		45.8		2,944		51.4
Due after ten years	927		15.5		942		16.4
Total	$	5,981	100.0	%	$	5,727	100.0	%



	Recorded Investment
	Debt Service Ratios						Construction Loans
	>1.20x		1.00x - 1.20x		<1.00x		Construction Loans		Total		% of Total
September 30, 2020:
Loan-to-Value Ratio
0% - 59.99%	$	2,884	$	137	$	19	$	4	$	3,044	50.9	%
60% - 69.99%	1,965		48		30		—		2,043		34.2
70% - 79.99%	581		67		27		—		675		11.3
80% or greater	180		22		17		—		219		3.6
Total	$	5,610	$	274	$	93	$	4	$	5,981	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
80% or greater	96		61		37		—		194		3.4
Total	$	5,454	$	179	$	94	$	—	$	5,727	100.0	%



	Recorded Investment
	Year of Origination
	2020		2019		2018		2017		2016		Prior		Total
September 30, 2020:
Internal credit quality grade:
High investment grade	$	331	$	656	$	522	$	360	$	588	$	1,068	$	3,525
Investment grade	285		525		407		360		279		406		2,262
Average	—		—		9		43		27		74		153
Watch list	—		—		—		—		—		4		4
In or near default	—		—		—		—		—		37		37
Total	$	616	$	1,181	$	938	$	763	$	894	$	1,589	$	5,981



	September 30, 2020		December 31, 2019
Mortgage loans:
Individually measured for impairment	$	37	$	17
Collectively measured for impairment	5,944		5,710
Recorded investment	$	5,981	$	5,727
Valuation allowances:
Individually measured for impairment	$	—	$	—
Collectively measured for impairment	64		12
Total valuation allowances	$	64	$	12



	Unpaid Principal Balance		Recorded Investment		Related Allowance		Carrying Value
September 30, 2020:
Impaired mortgage loans with no valuation allowance recorded	$	37	$	37	$	—	$	37
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	37	$	37	$	—	$	37
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

The Company’s average investment balance of impaired mortgage loans and the related interest income are reflected in the table below for the periods indicated (dollars in millions):
	Three months ended September 30,
	2020				2019
	Average Recorded Investment⁽¹⁾		Interest Income		Average Recorded Investment⁽¹⁾		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	27	$	—	$	17	$	1
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	27	$	—	$	17	$	1

	Nine months ended September 30,
	2020				2019
	Average Recorded Investment⁽¹⁾		Interest Income		Average Recorded Investment⁽¹⁾		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	22	$	—	$	20	$	1
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	22	$	—	$	20	$	1

The Company did not acquire any impaired mortgage loans during the nine months ended September 30, 2020 and 2019. The Company had $20 million of mortgage loans, gross of valuation allowances, that were on nonaccrual status as of September 30, 2020. The Company had no mortgage loans that were on a nonaccrual status as of December 31, 2019.

For the nine months ended September 30, 2020, the Company modified the payment terms of approximately 50 commercial mortgage loans, with a carrying value of approximately $620 million in response to COVID-19. These loans met the criteria established in the Coronavirus Aid, Relief, and Economic Security Act (the “CARES Act”) and were not considered a troubled debt restructuring. In accordance with the CARES Act criteria, these loans were not more than 30 days past due at December 31, 2019, and the modifications included deferral or delayed payments of principal or interest on the loan.

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 September 30, 2020, $3.2 billion of the funds withheld at interest balance is associated with one client. For reinsurance agreements written on a modified coinsurance (“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 condensed 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 includes FHLB common stock, which is included in Other in the table below. The allowance for credit losses for lifetime mortgages as of both September 30, 2020 and December 31, 2019, was $2 million. Carrying values of these assets as of September 30, 2020 and December 31, 2019 are as follows (dollars in millions):