| 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 |
|
|