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Investments
 12 Months Ended
Dec. 31, 2019
Investments Schedule [Abstract]  
Investments
2. Investments

AFS Securities—The following table represents the amortized cost, gross unrealized gains and losses, fair value and OTTI in AOCI of our AFS investments by asset type:
 
December 31, 2019
(In millions)
Amortized Cost
 
Gross Unrealized Gains
 
Gross Unrealized Losses
 
Fair Value
 
OTTI
in AOCI
AFS securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
35

 
$
1

 
$
—

 
$
36

 
$
—

U.S. state, municipal and political subdivisions
1,322

 
220

 
(1
)
 
1,541

 
—

Foreign governments
298

 
29

 
—

 
327

 
—

Corporate
44,106

 
3,332

 
(210
)
 
47,228

 
1

CLO
7,524

 
21

 
(196
)
 
7,349

 
—

ABS
5,018

 
124

 
(24
)
 
5,118

 
4

CMBS
2,304

 
104

 
(8
)
 
2,400

 
1

RMBS
6,872

 
513

 
(10
)
 
7,375

 
19

Total AFS securities
67,479

 
4,344

 
(449
)
 
71,374

 
25

AFS securities – related party
 
 
 
 
 
 
 
 
 
Corporate
18

 
1

 
—

 
19

 
—

CLO
951

 
3

 
(18
)
 
936

 
—

ABS
2,814

 
37

 
(2
)
 
2,849

 
—

Total AFS securities – related party
3,783

 
41

 
(20
)
 
3,804

 
—

Total AFS securities including related party
$
71,262

 
$
4,385

 
$
(469
)
 
$
75,178

 
$
25


 
December 31, 2018
(In millions)
Amortized Cost
 
Gross Unrealized Gains
 
Gross Unrealized Losses
 
Fair Value
 
OTTI
in AOCI
AFS securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
57

 
$
—

 
$
—

 
$
57

 
$
—

U.S. state, municipal and political subdivisions
1,183

 
117

 
(7
)
 
1,293

 
—

Foreign governments
162

 
2

 
(3
)
 
161

 
—

Corporate
38,018

 
394

 
(1,315
)
 
37,097

 
1

CLO
5,658

 
2

 
(299
)
 
5,361

 
—

ABS
4,915

 
53

 
(48
)
 
4,920

 
—

CMBS
2,390

 
27

 
(60
)
 
2,357

 
7

RMBS
7,642

 
413

 
(36
)
 
8,019

 
11

Total AFS securities
60,025


1,008


(1,768
)

59,265


19

AFS securities – related party
 
 
 
 
 
 
 
 
 
CLO
587

 
—

 
(25
)
 
562

 
—

ABS
875

 
4

 
(4
)
 
875

 
—

Total AFS securities – related party
1,462

 
4

 
(29
)
 
1,437

 
—

Total AFS securities including related party
$
61,487

 
$
1,012

 
$
(1,797
)
 
$
60,702

 
$
19



The amortized cost and fair value of AFS securities, including related party, are shown by contractual maturity below:    
 
December 31, 2019
(In millions)
Amortized Cost
 
Fair Value
AFS securities
 
 
 
Due in one year or less
$
1,108

 
$
1,113

Due after one year through five years
9,175

 
9,479

Due after five years through ten years
11,274

 
11,931

Due after ten years
24,204

 
26,609

CLO, ABS, CMBS and RMBS
21,718

 
22,242

Total AFS securities
67,479

 
71,374

AFS securities – related party
 
 
 
Due after one year through five years
18

 
19

CLO and ABS
3,765

 
3,785

Total AFS securities – related party
3,783

 
3,804

Total AFS securities including related party
$
71,262

 
$
75,178



Actual maturities can differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Unrealized Losses on AFS Securities—The following summarizes the fair value and gross unrealized losses for AFS securities, including related party, aggregated by class of security and length of time the fair value has remained below amortized cost:
 
December 31, 2019
 
Less than 12 months
 
12 months or more
 
Total
(In millions)
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross
Unrealized
Losses
AFS securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
3

 
$
—

 
$
—

 
$
—

 
$
3

 
$
—

U.S. state, municipal and political subdivisions
78

 
(1
)
 
10

 
—

 
88

 
(1
)
Corporate
2,898

 
(140
)
 
902

 
(70
)
 
3,800

 
(210
)
CLO
1,959

 
(38
)
 
3,241

 
(158
)
 
5,200

 
(196
)
ABS
642

 
(6
)
 
255

 
(18
)
 
897

 
(24
)
CMBS
220

 
(4
)
 
41

 
(4
)
 
261

 
(8
)
RMBS
445

 
(6
)
 
163

 
(4
)
 
608

 
(10
)
Total AFS securities
6,245

 
(195
)
 
4,612

 
(254
)
 
10,857

 
(449
)
AFS securities – related party
 
 
 
 
 
 
 
 
 
 
 
CLO
362

 
(7
)
 
242

 
(11
)
 
604

 
(18
)
ABS
357

 
(2
)
 
—

 
—

 
357

 
(2
)
Total AFS securities – related party
719

 
(9
)
 
242

 
(11
)
 
961

 
(20
)
Total AFS securities including related party
$
6,964

 
$
(204
)
 
$
4,854

 
$
(265
)
 
$
11,818

 
$
(469
)

 
December 31, 2018
 
Less than 12 months
 
12 months or more
 
Total
(In millions)
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross Unrealized Losses
 
Fair Value
 
Gross Unrealized Losses
AFS securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
32

 
$
—

 
$
2

 
$
—

 
$
34

 
$
—

U.S. state, municipal and political subdivisions
139

 
(2
)
 
82

 
(5
)
 
221

 
(7
)
Foreign governments
97

 
(2
)
 
15

 
(1
)
 
112

 
(3
)
Corporate
20,213

 
(942
)
 
4,118

 
(373
)
 
24,331

 
(1,315
)
CLO
5,054

 
(297
)
 
90

 
(2
)
 
5,144

 
(299
)
ABS
1,336

 
(23
)
 
506

 
(25
)
 
1,842

 
(48
)
CMBS
932

 
(27
)
 
497

 
(33
)
 
1,429

 
(60
)
RMBS
1,417

 
(31
)
 
140

 
(5
)
 
1,557

 
(36
)
Total AFS securities
29,220

 
(1,324
)
 
5,450

 
(444
)
 
34,670

 
(1,768
)
AFS securities – related party
 
 
 
 
 
 
 
 
 
 
 
CLO
534

 
(25
)
 
—

 
—

 
534

 
(25
)
ABS
306

 
(2
)
 
116

 
(2
)
 
422

 
(4
)
Total AFS securities – related party
840

 
(27
)
 
116

 
(2
)
 
956

 
(29
)
Total AFS securities including related party
$
30,060

 
$
(1,351
)
 
$
5,566

 
$
(446
)
 
$
35,626

 
$
(1,797
)


As of December 31, 2019, we held 1,239 AFS securities that were in an unrealized loss position. Of this total, 493 were in an unrealized loss position 12 months or more. As of December 31, 2019, we held 47 related party AFS securities that were in an unrealized loss position. Of this total, fifteen were in an unrealized loss position 12 months or more. The unrealized losses on AFS securities can primarily be attributed to changes in market interest rates since acquisition. We did not recognize the unrealized losses in income as we intend to hold these securities and it is not more likely than not we will be required to sell a security before the recovery of its amortized cost.

Other-Than-Temporary Impairments—For the year ended December 31, 2019, we incurred $38 million of net OTTI, of which $25 million related to intent-to-sell impairments. The net remaining OTTI of $13 million related to credit impairments where a portion was bifurcated in AOCI. Any credit loss impairments not bifurcated in AOCI are excluded from the rollforward below.

The following table represents a rollforward of the cumulative amounts recognized on the consolidated statements of income for OTTI related to pre-tax credit loss impairments on AFS securities, for which a portion of the securities’ total OTTI was recognized in AOCI:
 
Years ended December 31,
(In millions)
2019
 
2018
 
2017
Beginning balance
$
10

 
$
14

 
$
16

Initial impairments – credit loss OTTI recognized on securities not previously impaired
11

 
3

 
17

Additional impairments – credit loss OTTI recognized on securities previously impaired
2

 
2

 
—

Reduction in impairments from securities sold, matured or repaid
—

 
(9
)
 
(13
)
Reduction for credit loss that no longer has a portion of the OTTI loss recognized in AOCI
—

 
—

 
(6
)
Ending balance
$
23

 
$
10

 
$
14



Net Investment Income—Net investment income by asset class consists of the following:
 
Years ended December 31,
(In millions)
2019
 
2018
 
2017
AFS securities
$
3,088

 
$
2,855

 
$
2,579

Trading securities
189

 
200

 
200

Equity securities
16

 
12

 
14

Mortgage loans
670

 
457

 
371

Investment funds
308

 
231

 
211

Funds withheld at interest
527

 
492

 
148

Other
159

 
112

 
78

Investment revenue
4,957

 
4,359

 
3,601

Investment expenses
(435
)
 
(355
)
 
(332
)
Net investment income
$
4,522

 
$
4,004

 
$
3,269



Investment Related Gains (Losses)—Investment related gains (losses) by asset class consists of the following:
 
Years ended December 31,
(In millions)
2019
 
2018
 
2017
AFS securities
 
 
 
 
 
Gross realized gains on investment activity
$
178

 
$
165

 
$
169

Gross realized losses on investment activity
(56
)
 
(151
)
 
(72
)
Net realized investment gains on AFS securities
122

 
14

 
97

Net recognized investment gains (losses) on trading securities
152

 
(255
)
 
29

Net recognized investment gains (losses) on equity securities
17

 
(19
)
 
88

Derivative gains (losses)
4,443

 
(1,099
)
 
2,377

Other gains (losses)
18

 
35

 
(19
)
Investment related gains (losses)
$
4,752

 
$
(1,324
)
 
$
2,572



Proceeds from sales of AFS securities were $6,886 million, $6,547 million and $5,720 million for the years ended December 31, 2019, 2018 and 2017, respectively. Proceeds from sales of AFS securities for the years ended December 31, 2018 and 2017 have been revised for immaterial misstatements to be comparable to current year balances.

The following table summarizes the change in unrealized gains (losses) on trading and equity securities, including related party and consolidated VIEs, we held as of the respective year end:
 
Years ended December 31,
(In millions)
2019
 
2018
 
2017
Trading securities
$
193

 
$
(143
)
 
$
107

Trading securities – related party
(21
)
 
(25
)
 
(3
)
VIE trading securities – related party
3

 
—

 
4

Equity securities
19

 
(18
)
 
32

Equity securities – related party
(17
)
 
—

 
—

VIE equity securities – related party
(1
)
 
24

 
25



Purchased Credit Impaired Investments—The following table summarizes our PCI investments:
 
Fixed maturity securities
 
Mortgage loans
 
December 31,
 
December 31,
(In millions)
2019
 
2018
 
2019
 
2018
Contractually required payments receivable
$
6,772

 
$
8,179

 
$
3,647

 
$
2,675

Less: Cash flows expected to be collected1
(6,064
)
 
(7,195
)
 
(3,606
)
 
(2,628
)
Non-accretable difference
$
708

 
$
984

 
$
41

 
$
47

 
 
 
 
 
 
 
 
Cash flows expected to be collected1
$
6,064

 
$
7,195

 
$
3,606

 
$
2,628

Less: Amortized cost
(4,603
)
 
(5,518
)
 
(2,575
)
 
(1,931
)
Accretable difference
$
1,461

 
$
1,677

 
$
1,031

 
$
697

 
 
 
 
 
 
 
 
Fair value
$
5,007

 
$
5,828

 
$
2,756

 
$
1,933

Outstanding balance
5,740

 
6,773

 
2,925

 
2,210

 
 
 
 
 
 
 
 
1 Represents the undiscounted principal and interest cash flows expected.

During the respective years ended December 31, we acquired PCI investments with the following amounts at the time of purchase:
 
Fixed maturity securities
 
Mortgage loans
(In millions)
2019
 
2018
 
2019
 
2018
Contractually required payments receivable
$
176

 
$
623

 
$
1,198

 
$
1,625

Cash flows expected to be collected
146

 
562

 
1,179

 
1,601

Fair value
124

 
454

 
910

 
1,178


The following table summarizes the activity for the accretable yield on PCI investments:
 
Fixed maturity securities
 
Mortgage loans
(In millions)
2019
 
2018
 
2019
 
2018
Beginning balance at January 1
$
1,677

 
$
2,020

 
$
697

 
$
273

Purchases of PCI investments, net of sales
1

 
65

 
191

 
407

Accretion
(307
)
 
(405
)
 
(115
)
 
(48
)
Net reclassification from (to) non-accretable difference
90

 
(3
)
 
258

 
65

Ending balance at December 31
$
1,461

 
$
1,677

 
$
1,031

 
$
697



Repurchase Agreements—The following table summarizes the maturities of our repurchase agreements:
 
December 31, 2019
 
Remaining Contractual Maturity
(In millions)
Overnight and continuous
 
Up to 30 days
 
30–90 days
 
Greater than 90 days
 
Total
Payables for repurchase agreements1
$
—

 
$
102

 
$
200

 
$
210

 
$
512

 
 
 
 
 
 
 
 
 

1 Included in payables for collateral on derivatives and securities to repurchase on the consolidated balance sheets.

The following table summarizes the securities pledged as collateral for repurchase agreements:
 
December 31, 2019
(In millions)
Amortized Cost
 
Fair Value
AFS securities – Corporate
$
498

 
$
534

Total securities pledged under repurchase agreements
$
498

 
$
534



Reverse Repurchase Agreements—Reverse repurchase agreements represent the purchase of investments from a seller with the agreement that the investments will be repurchased by the seller at a specified price and date or within a specified period of time. The investments purchased, which represent collateral on a secured lending arrangement, are not reflected in our consolidated balance sheets; however, the secured lending arrangement is recorded as a short-term investment for the principal amount loaned under the agreement. As of December 31, 2019 and 2018, amounts loaned under reverse repurchase agreements were $190 million and $0 million, respectively, and collateral received was $630 million and $0 million, respectively.

Mortgage Loans, including related party—Mortgage loans, net of allowances, consists of the following:
 
December 31,
(In millions)
2019
 
2018
Commercial mortgage loans
$
10,412

 
$
7,217

Commercial mortgage loans under development
93

 
80

Total commercial mortgage loans
10,505

 
7,297

Residential mortgage loans
4,454

 
3,334

Mortgage loans, net of allowances
$
14,959

 
$
10,631



We primarily invest in commercial mortgage loans on income producing properties including office and retail buildings, hotels, industrial properties and apartments. We diversify the commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. We evaluate mortgage loans based on relevant current information to confirm if properties are performing at a consistent and acceptable level to secure the related debt.

The distribution of commercial mortgage loans, including those under development, net of valuation allowances, by property type and geographic region, is as follows:
 
December 31,
 
2019
 
2018
(In millions, except for percentages)
Net Carrying Value
 
Percentage of Total
 
Net Carrying Value
 
Percentage of Total
Property type
 
 
 
 
 
 
 
Office building
$
2,899

 
27.6
%
 
$
2,221

 
30.5
%
Retail
2,182

 
20.8
%
 
1,660

 
22.7
%
Apartment
2,142

 
20.4
%
 
791

 
10.8
%
Hotels
1,104

 
10.5
%
 
1,040

 
14.3
%
Industrial
1,448

 
13.8
%
 
1,196

 
16.4
%
Other commercial
730

 
6.9
%
 
389

 
5.3
%
Total commercial mortgage loans
$
10,505

 
100.0
%
 
$
7,297

 
100.0
%
 
 
 
 
 
 
 
 
U.S. Region
 
 
 
 
 
 
 
East North Central
$
1,036

 
9.9
%
 
$
855

 
11.7
%
East South Central
428

 
4.1
%
 
295

 
4.0
%
Middle Atlantic
2,580

 
24.6
%
 
1,131

 
15.5
%
Mountain
528

 
5.0
%
 
616

 
8.4
%
New England
340

 
3.2
%
 
374

 
5.1
%
Pacific
2,502

 
23.8
%
 
1,540

 
21.1
%
South Atlantic
1,920

 
18.3
%
 
1,468

 
20.2
%
West North Central
146

 
1.4
%
 
173

 
2.4
%
West South Central
791

 
7.5
%
 
845

 
11.6
%
Total U.S. Region
10,271

 
97.8
%
 
7,297

 
100.0
%
International Region
234

 
2.2
%
 
—

 
—
%
Total commercial mortgage loans
$
10,505

 
100.0
%
 
$
7,297

 
100.0
%


Our residential mortgage loan portfolio includes first lien residential mortgage loans collateralized by properties and is summarized in the following table:
 
December 31,
 
2019
 
2018
U.S. States
 
 
 
California
27.0
%
 
30.3
%
Florida
12.7
%
 
16.3
%
Texas
6.2
%
 
3.3
%
New York
3.3
%
 
7.7
%
Other1
38.4
%
 
42.4
%
Total U.S. percentage
87.6
%
 
100.0
%
International percentage – Ireland
12.4
%
 
—
%
Total residential mortgage loan percentage
100.0
%
 
100.0
%
 
1 Represents all other states, with each individual state comprising less than 5% of the portfolio.


Mortgage Loan Valuation Allowance—The assessment of mortgage loan impairments and valuation allowances is substantially the same for residential and commercial mortgage loans. As of December 31, 2019 and 2018, the valuation allowance was $11 million and $2 million, respectively. We did not record any material activity in the valuation allowance during the years ended December 31, 2019, 2018 or 2017.

Residential mortgage loans – The primary credit quality indicator of residential mortgage loans is loan performance. Nonperforming residential mortgage loans are 90 days or more past due and/or are in non-accrual status. As of December 31, 2019 and 2018, $67 million and $48 million, respectively, of our residential mortgage loans were nonperforming.

Commercial mortgage loans – As of December 31, 2019 and 2018, none of our commercial loans were 30 days or more past due.

Loan-to-value and debt service coverage ratios are measures we use to assess the risk and quality of commercial mortgage loans other than those under development. Loans under development are not evaluated using these ratios as the properties underlying these loans are generally not yet income-producing and the value of the underlying property significantly fluctuates based on the progress of construction. Therefore, the risk and quality of loans under development are evaluated based on the aging and geographical distribution of such loans as shown above.

The loan-to-value ratio is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A loan-to-value ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The following represents the loan-to-value ratio of the commercial mortgage loan portfolio, excluding those under development, net of valuation allowances:    
 
December 31,
(In millions)
2019
 
2018
Less than 50%
$
2,640

 
$
1,883

50% to 60%
2,486

 
1,988

61% to 70%
4,093

 
2,394

71% to 80%
1,162

 
898

81% to 100%
31

 
54

Commercial mortgage loans
$
10,412

 
$
7,217



The debt service coverage ratio, based upon the most recent financial statements, is expressed as a percentage of a property’s net operating income to its debt service payments. A debt service ratio of less than 1.0 indicates a property’s operations do not generate enough income to cover debt payments. The following represents the debt service coverage ratio of the commercial mortgage loan portfolio, excluding those under development, net of valuation allowances:    
 
December 31,
(In millions)
2019
 
2018
Greater than 1.20x
$
9,212

 
$
6,576

1.00x – 1.20x
1,166

 
474

Less than 1.00x
34

 
167

Commercial mortgage loans
$
10,412

 
$
7,217



Investment Funds—Our investment fund portfolio consists of funds that employ various strategies and include investments in real estate, real assets, credit, equity and natural resources. Investment funds can meet the definition of VIEs, which are discussed further in Note 4 – Variable Interest Entities. Our investment funds do not specify timing of distributions on the funds’ underlying assets.

The following summarizes our investment funds, including related party and those owned by consolidated VIEs:
 
December 31, 2019
 
December 31, 20181
(In millions, except for percentages and years)
Carrying Value
 
Percent of Total
 
Carrying Value
 
Percent of Total
Investment funds
 
 
 
 
 
 
 
Real estate
$
277

 
37.9
%
 
$
215

 
30.6
%
Credit funds
153

 
20.9
%
 
172

 
24.5
%
Private equity
236

 
32.3
%
 
253

 
36.0
%
Real assets
64

 
8.8
%
 
56

 
7.9
%
Natural resources
1

 
0.1
%
 
4

 
0.6
%
Other
—

 
—
%
 
3

 
0.4
%
Total investment funds
731

 
100.0
%
 
703

 
100.0
%
Investment funds – related parties
 
 
 
 
 
 
 
Differentiated investments
 
 
 
 
 
 
 
AmeriHome Mortgage Company, LLC (AmeriHome)2
487

 
16.9
%
 
463

 
20.7
%
Catalina Holdings Ltd. (Catalina)
271

 
9.4
%
 
233

 
10.4
%
Athora Holding Ltd. (Athora)2
132

 
4.6
%
 
105

 
4.7
%
Venerable Holdings, Inc. (Venerable)2
99

 
3.4
%
 
92

 
4.1
%
Other
222

 
7.7
%
 
196

 
8.8
%
Total differentiated investments
1,211

 
42.0
%
 
1,089

 
48.7
%
Real estate
736

 
25.6
%
 
497

 
22.3
%
Credit funds
370

 
12.8
%
 
316

 
14.2
%
Private equity
105

 
3.6
%
 
18

 
0.8
%
Real assets
182

 
6.3
%
 
145

 
6.5
%
Natural resources
163

 
5.6
%
 
104

 
4.7
%
Public equities
119

 
4.1
%
 
63

 
2.8
%
Total investment funds – related parties
2,886


100.0
%

2,232


100.0
%
Investment funds owned by consolidated VIEs
 
 
 
 
 
 
 
MidCap FinCo Designated Activity Company (MidCap)2
547

 
80.1
%
 
553

 
88.6
%
Real estate
117

 
17.1
%
 
30

 
4.8
%
Real assets
19

 
2.8
%
 
41

 
6.6
%
Total investment funds owned by consolidated VIEs
683

 
100.0
%
 
624

 
100.0
%
Total investment funds including related parties and funds owned by consolidated VIEs
$
4,300

 
 
 
$
3,559

 
 
 
 
 
 
 
 
 
 
1 Certain reclassifications have been made to conform with current year presentation.
2 See further discussion on AmeriHome, Athora, Venerable and MidCap in Note 14 – Related Parties.


Summarized Ownership of Investment Funds—The following is the aggregated summarized financial information of equity method investees, including those for which we elected the fair value option and would otherwise be accounted for as an equity method investment, and may be presented on a lag due to the availability of financial information from the investee:
 
December 31,
(In millions)
2019
 
2018
Assets
$
50,563

 
$
40,630

Liabilities
31,821

 
24,241

Equity
18,742

 
16,389


 
Years ended December 31,
(In millions)
2019
 
2018
 
2017
Net income
$
817

 
$
1,159

 
$
1,587



The following table presents the carrying value by ownership percentage of equity method investment funds, including related party investment funds and investment funds owned by consolidated VIEs:
 
December 31,
(In millions)
2019
 
2018
Ownership Percentage
 
 
 
100%
$
11

 
$
17

50% – 99%
1,378

 
1,044

3% – 49%
1,938

 
1,617

Equity method investment funds
$
3,327

 
$
2,678



The following table presents the carrying value by ownership percentage of investment funds held at fair value, either due to election of the fair value option or requirement, including related party investment funds and investment funds owned by consolidated VIEs:
 
December 31,
(In millions)
2019
 
2018
Ownership Percentage
 
 
 
50% – 99%
$
28

 
$
—

3% – 49%
772

 
687

Less than 3%
173

 
194

Fair value investment funds
$
973

 
$
881



Non-Consolidated Securities and Investment Funds

Fixed maturity securities – We invest in securitization entities as a debt holder or an investor in the residual interest of the securitization vehicle. These entities are deemed VIEs due to insufficient equity within the structure and lack of control by the equity investors over the activities that significantly impact the economics of the entity. In general, we are a debt investor within these entities and, as such, hold a variable interest; however, due to the debt holders’ lack of ability to control the decisions within the trust that significantly impact the entity, and the fact the debt holders are protected from losses due to the subordination of the equity tranche, the debt holders are not deemed the primary beneficiary. Securitization vehicles in which we hold the residual tranche are not consolidated because we do not unilaterally have substantive rights to remove the general partner, or when assessing related party interests, we are not under common control, as defined by GAAP, with the related party, nor are substantially all of the activities conducted on our behalf; therefore, we are not deemed the primary beneficiary. Debt investments and investments in the residual tranche of securitization entities are considered debt instruments and are held at fair value on the balance sheet and classified as AFS or trading.

Investment funds – Investment funds include non-fixed income, alternative investments in the form of limited partnerships or similar legal structures.

Equity securities – We invest in preferred equity securities issued by entities deemed to be VIEs due to insufficient equity within the structure.

Our risk of loss associated with our non-consolidated investments depends on the investment. Investment funds, equity securities and trading securities are limited to the carrying value plus unfunded commitments. AFS securities are limited to amortized cost plus unfunded commitments.

The following summarizes the carrying value and maximum loss exposure of these non-consolidated investments:
 
December 31,
 
2019
 
2018
(In millions)
Carrying Value
 
Maximum Loss Exposure
 
Carrying Value
 
Maximum Loss Exposure
Investment funds
$
731

 
$
1,246

 
$
703

 
$
1,329

Investment in related parties – investment funds
2,886

 
5,113

 
2,232

 
4,331

Assets of consolidated VIEs – investment funds
683

 
861

 
624

 
727

Investment in fixed maturity securities
22,694

 
22,170

 
21,188

 
21,139

Investment in related parties – fixed maturity securities
4,570

 
4,878

 
1,686

 
1,788

Investment in related parties – equity securities
58

 
58

 
120

 
120

Total non-consolidated investments
$
31,622

 
$
34,326

 
$
26,553

 
$
29,434