Investments

9 Months Ended

Sep. 30, 2020

security

Schedule of Investments [Abstract]

Debt Securities, Available-for-sale, Unrealized Loss Position, Number of Positions

1,748

Investments

2. Investments

AFS Securities—Our AFS investment portfolio includes bonds, collateralized loan obligations (CLO), asset-backed securities (ABS), commercial mortgage-backed securities (CMBS), RMBS and redeemable preferred stock. Our AFS investment portfolio includes related party investments that are primarily comprised of investments over which Apollo can exercise significant influence. These investments are presented as investments in related parties on the condensed consolidated balance sheets, and are separately disclosed below.

The following table represents the amortized cost, allowance for credit losses, gross unrealized gains and losses and fair value of our AFS investments by asset type:

	September 30, 2020
(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities
US government and agencies	$	71	$	—	$	2	$	—	$	73
US state, municipal and political subdivisions	765		—		163		(1)		927
Foreign governments	311		—		29		—		340
Corporate	46,424		(30)		5,094		(359)		51,129
CLO	8,621		(1)		68		(318)		8,370
ABS	4,255		(3)		136		(188)		4,200
CMBS	2,279		(19)		68		(89)		2,239
RMBS	6,434		(87)		397		(34)		6,710
Total AFS securities	69,160		(140)		5,957		(989)		73,988
AFS securities – related party
Corporate	780		—		4		—		784
CLO	1,365		(2)		11		(30)		1,344
ABS	2,716		—		62		(49)		2,729
Total AFS securities – related party	4,861		(2)		77		(79)		4,857
Total AFS securities including related party	$	74,021	$	(142)	$	6,034	$	(1,068)	$	78,845

The following table represents the amortized cost, gross unrealized gains and losses, fair value and other than temporary impairments (OTTI) in accumulated other comprehensive income (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
US government and agencies	$	35	$	1	$	—	$	36	$	—
US 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

The amortized cost and fair value of AFS securities, including related party, are shown by contractual maturity below:    

	September 30, 2020
(In millions)	Amortized Cost		Fair Value
AFS securities
Due in one year or less	$	876	$	885
Due after one year through five years	7,209		7,636
Due after five years through ten years	11,799		12,771
Due after ten years	27,687		31,177
CLO, ABS, CMBS and RMBS	21,589		21,519
Total AFS securities	69,160		73,988
AFS securities – related party
Due after one year through five years	34		36
Due after ten years	746		748
CLO and ABS	4,081		4,073
Total AFS securities – related party	4,861		4,857
Total AFS securities including related party	$	74,021	$	78,845

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, for which an allowance for credit losses has not been recorded, aggregated by asset type and length of time the fair value has remained below amortized cost:

	September 30, 2020
	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
US government and agencies	$	9	$	—	$	—	$	—	$	9	$	—
US state, municipal and political subdivisions	50		—		8		(1)		58		(1)
Foreign governments	4		—		—		—		4		—
Corporate	5,899		(248)		414		(57)		6,313		(305)
CLO	2,475		(73)		3,118		(232)		5,593		(305)
ABS	1,238		(130)		82		(26)		1,320		(156)
CMBS	685		(60)		23		(20)		708		(80)
RMBS	540		(16)		25		(1)		565		(17)
Total AFS securities	10,900		(527)		3,670		(337)		14,570		(864)
AFS securities – related party
CLO	766		(15)		232		(15)		998		(30)
ABS	1,534		(49)		—		—		1,534		(49)
Total AFS securities – related party	2,300		(64)		232		(15)		2,532		(79)
Total AFS securities including related party	$	13,200	$	(591)	$	3,902	$	(352)	$	17,102	$	(943)

The following summarizes the fair value and gross unrealized losses for AFS securities, including related party, aggregated by asset type 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
US government and agencies	$	3	$	—	$	—	$	—	$	3	$	—
US 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)

As of September 30, 2020, we held 1,748 AFS securities that were in an unrealized loss position. Of this total, 353 were in an unrealized loss position 12 months or more. As of September 30, 2020, we held 60 related party AFS securities that were in an unrealized loss position. Of this total, nine 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.

Allowance for Credit Losses—The following table summarizes the activity in the allowance for credit losses for AFS securities by asset type:

	Three months ended September 30, 2020
			Additions				Reductions
(In millions)	Beginning balance		Initial credit losses		Initial credit losses on PCD securities		Securities sold during the period		Additions (reductions) to previously impaired securities		Ending Balance
AFS securities
Corporate	$	31	$	1	$	—	$	(2)	$	—	$	30
CLO	1		—		—		—		—		1
ABS	2		—		—		—		1		3
CMBS	10		12		—		(1)		(2)		19
RMBS	129		2		—		(12)		(32)		87
Total AFS securities	173		15		—		(15)		(33)		140
AFS securities – related party
CLO	2		1		—		(1)		—		2
Total AFS securities – related party	2		1		—		(1)		—		2
Total AFS securities including related party	$	175	$	16	$	—	$	(16)	$	(33)	$	142

	Nine months ended September 30, 2020
			Additions				Reductions
(In millions)	Beginning balance		Initial credit losses		Initial credit losses on PCD securities		Securities sold during the period		Additions (reductions) to previously impaired securities		Ending Balance
AFS securities
Corporate	$	—	$	32	$	—	$	(2)	$	—	$	30
CLO	—		1		—		—		—		1
ABS	—		5		—		—		(2)		3
CMBS	—		21		—		(1)		(1)		19
RMBS	17		50		61		(14)		(27)		87
Total AFS securities	17		109		61		(17)		(30)		140
AFS securities – related party
CLO	—		2		—		(1)		1		2
Total AFS securities – related party	—		2		—		(1)		1		2
Total AFS securities including related party	$	17	$	111	$	61	$	(18)	$	(29)	$	142

Net Investment Income—Net investment income by asset class consists of the following:

	Three months ended September 30,				Nine months ended September 30,
(In millions)	2020		2019		2020		2019
AFS securities	$	776	$	760	$	2,403	$	2,276
Trading securities	47		48		137		139
Equity securities	4		4		10		11
Mortgage loans	184		173		545		483
Investment funds	148		96		242		245
Funds withheld at interest	81		106		165		403
Other	83		32		158		116
Investment revenue	1,323		1,219		3,660		3,673
Investment expenses	(114)		(129)		(370)		(319)
Net investment income	$	1,209	$	1,090	$	3,290	$	3,354

Investment Related Gains (Losses)—Investment related gains (losses) by asset class consists of the following:

	Three months ended September 30,				Nine months ended September 30,
(In millions)	2020		2019		2020		2019
AFS securities
Gross realized gains on investment activity	$	192	$	47	$	424	$	120
Gross realized losses on investment activity	(178)		(21)		(378)		(38)
Net realized investment gains on AFS securities	14		26		46		82
Net recognized investment gains (losses) on trading securities	24		48		(8)		183
Net recognized investment gains (losses) on equity securities	12		(4)		(8)		15
Derivative gains	1,648		620		959		3,493
Provision for credit losses	84		—		(205)		—
Other gains (losses)	15		(25)		(11)		(19)
Investment related gains (losses)	$	1,797	$	665	$	773	$	3,754

Proceeds from sales of AFS securities were $3,940 million and $852 million for the three months ended September 30, 2020 and 2019, respectively, and $7,525 million and $4,063 million for the nine months ended September 30, 2020 and 2019, respectively.

The following table summarizes the change in unrealized gains (losses) on trading and equity securities we held as of the respective period end:

	Three months ended September 30,				Nine months ended September 30,
(In millions)	2020		2019		2020		2019
Trading securities	$	19	$	46	$	81	$	215
Trading securities – related party	1		4		(42)		(11)
Equity securities	11		—		(9)		20
Equity securities – related party	—		—		—		(2)

Purchased Financial Assets with Credit Deterioration—The following table summarizes our PCD investment purchases with the following amounts at the time of purchase:

	Three months ended September 30, 2020				Nine months ended September 30, 2020
(In millions)	Fixed maturity securities		Mortgage loans		Fixed maturity securities		Mortgage loans
Purchase price	$	—	$	142	$	239	$	142
Allowance for credit losses at acquisition	—		3		61		3
Discount (premiums) attributable to other factors	—		—		34		—
Par value	$	—	$	145	$	334	$	145

Repurchase Agreements—The following table summarizes the maturities of our repurchase agreements:

	September 30, 2020
	Remaining Contractual Maturity
(In millions)	Overnight and continuous		Less than 30 days		30-90 days		91 days – 1 year		Greater than 1 year		Total
Payables for repurchase agreements1	$	—	$	500	$	—	$	—	$	598	$	1,098
1 Included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets.

	December 31, 2019
	Remaining Contractual Maturity
(In millions)	Overnight and continuous		Less than 30 days		30-90 days		91 days – 1 year		Greater than 1 year		Total
Payables for repurchase agreements1	$	—	$	102	$	200	$	210	$	—	$	512
1 Included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets.

The following table summarizes the securities pledged as collateral for repurchase agreements:

	September 30, 2020				December 31, 2019
(In millions)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
AFS securities – Corporate	$	1,085	$	1,249	$	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 condensed 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 September 30, 2020 and December 31, 2019, amounts loaned under reverse repurchase agreements were $0 million and $190 million, respectively, and collateral backing the agreement was $0 million and $630 million, respectively.

Other Investments—Other investments includes, but is not limited to, term loans collateralized by mortgages on residential and commercial real estate. Mortgage collateralized term loans are stated at unpaid principal balance, adjusted for any unamortized premium or discount, and net of allowance for credit losses. Interest income is accrued on the principal amount of the loan based on its contractual interest rate. We record amortization of premiums and discounts using the effective interest method and contractual cash flows on the underlying loan. We accrue interest on loans until it is probable we will not receive interest or the loan is 90 day past due. Interest income, amortization of premiums and discounts, and prepayment and other fees are reported in net investment income on the consolidated statements of income.

Mortgage Loans, including related party—Mortgage loans, net of allowances, consists of the following:

(In millions)	September 30, 2020		December 31, 2019
Commercial mortgage loans	$	11,194	$	10,422
Commercial mortgage loans under development	196		93
Total commercial mortgage loans	11,390		10,515
Allowance for credit losses on commercial mortgage loans	(232)		(10)
Commercial mortgage loans, net of allowances	11,158		10,505
Residential mortgage loans	4,169		4,455
Allowance for credit losses on residential mortgage loans	(96)		(1)
Residential mortgage loans, net of allowances	4,073		4,454
Mortgage loans, net of allowances	$	15,231	$	14,959

We primarily invest in commercial mortgage loans on income producing properties including office and retail buildings, apartments, hotels and industrial properties. 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 allowances, by property type and geographic region, is as follows:

	September 30, 2020				December 31, 2019
(In millions, except for percentages)	Net Carrying Value		Percentage of Total		Net Carrying Value		Percentage of Total
Property type
Office building	$	3,526	31.6	%	$	2,899	27.6	%
Retail	2,029		18.2	%	2,182		20.8	%
Apartment	2,335		20.9	%	2,142		20.4	%
Hotels	1,182		10.6	%	1,104		10.5	%
Industrial	1,407		12.6	%	1,448		13.8	%
Other commercial	679		6.1	%	730		6.9	%
Total commercial mortgage loans	$	11,158	100.0	%	$	10,505	100.0	%
US Region
East North Central	$	1,176	10.5	%	$	1,036	9.9	%
East South Central	404		3.6	%	428		4.1	%
Middle Atlantic	3,058		27.4	%	2,580		24.6	%
Mountain	482		4.3	%	528		5.0	%
New England	330		3.0	%	340		3.2	%
Pacific	2,577		23.1	%	2,502		23.8	%
South Atlantic	1,848		16.6	%	1,920		18.3	%
West North Central	147		1.3	%	146		1.4	%
West South Central	642		5.8	%	791		7.5	%
Total US Region	10,664		95.6	%	10,271		97.8	%
International Region	494		4.4	%	234		2.2	%
Total commercial mortgage loans	$	11,158	100.0	%	$	10,505	100.0	%

Our residential mortgage loan portfolio includes first lien residential mortgage loans collateralized by properties in various geographic locations and is summarized by proportion of the portfolio in the following table:

	September 30, 2020		December 31, 2019
US States
California	25.8	%	27.0	%
Florida	13.2	%	12.7	%
Texas	4.8	%	6.2	%
New York	5.2	%	3.3	%
Other1	36.5	%	38.4	%
Total US residential mortgage loan percentage	85.5	%	87.6	%
International – Ireland	13.9	%	12.4	%
International – Other2	0.6	%	—	%
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.
2 Represents all other countries, with each individual country comprising less than 5% of the portfolio.

Loan Valuation Allowance—The allowances for our mortgage loan portfolio and other loans is summarized as follows:

	Three months ended September 30, 2020								Nine months ended September 30, 2020
(In millions)	Commercial Mortgage		Residential Mortgage		Other Investments		Total		Commercial Mortgage		Residential Mortgage		Other Investments		Total
Beginning balance	$	294	$	85	$	20	$	399	$	10	$	1	$	—	$	11
Adoption of accounting standard	—		—		—		—		167		43		11		221
Provision (reversal) for expected credit losses	(62)		8		(7)		(61)		55		50		2		107
Initial credit losses on PCD loans	—		3		—		3		—		3		—		3
Loans charged-off	—		—		—		—		—		(1)		—		(1)
Ending balance	$	232	$	96	$	13	$	341	$	232	$	96	$	13	$	341

Residential mortgage loans – Our allowance model for residential mortgage loans is based on the characteristics of the loans in our portfolio, historical economic data and loss information, and current and forecasted economic conditions. Key loan characteristics affecting the estimate include, among others: time to maturity, delinquency status, original credit scores and loan-to-value ratios. Key macroeconomic variables include unemployment rates and the housing price index. Management reviews and approves forecasted macroeconomic variables, along with the reasonable and supportable forecast period and mean reversion technique. Management also evaluates assumptions from independent third parties and these assumptions have a high degree of subjectivity. The mean reversion technique varies by macroeconomic variable and may vary by geographic location. As of September 30, 2020, our reasonable and supportable forecast period was one year, after which, we revert to the 30-year or greater historical average over a period of up to one year and then continue at those averages through the contractual life of the loan.

Commercial mortgage loans – Our allowance model for commercial mortgage loans is based on the characteristics of the loans in our portfolio, historical economic data and loss information, and current and forecasted economic conditions. Key loan characteristics affecting the estimate include, among others: time to maturity, delinquency status, loan-to-value ratios, debt service coverage ratios, etc. Key macroeconomic variables include unemployment rates, rent growth, capitalization rates, and the housing price index. Management reviews and approves forecasted macroeconomic variables, along with the reasonable and supportable forecast period and mean reversion technique. Management also evaluates assumptions from independent third parties and these assumptions have a high degree of subjectivity. The mean reversion technique varies by macroeconomic variable and may vary by geographic location. As of September 30, 2020, our reasonable and supportable forecast period ranged from one year to two years, after which, we revert to the 30-year or greater historical average over a period of up to eight years.

Other investments – The allowance model for the loans included in other investments and related party other investments derives an estimate based on historical loss data available for similarly rated unsecured corporate debt obligations, while also incorporating management’s expectations around prepayment. See Note 11 – Related Parties for further information on the related party loans.

Credit Quality Indicators

Residential mortgage loans – The underwriting process for our residential mortgage loans includes an evaluation of relevant credit information including past loan performance, credit scores, loan-to-value and other relevant information. Subsequent to purchase or origination, we closely monitor economic conditions and loan performance to manage and evaluate our exposure to credit risk in our residential mortgage loan portfolio. The primary credit quality indicator monitored for residential mortgage loans is loan performance. Nonperforming residential mortgage loans are 90 days or more past due and/or are in non-accrual status.

The following represents our residential loan portfolio by origination year and performance status:

	September 30, 2020
(In millions)	2020		2019		2018		2017		2016		Prior		Total
Current (less than 30 days past due)	$	384	$	1,016	$	1,852	$	507	$	144	$	7	$	3,910
30 to 59 days past due	23		20		35		39		8		—		125
60 to 89 days past due	6		11		21		9		6		—		53
Over 90 days past due	1		12		21		32		13		2		81
Total residential mortgages	$	414	$	1,059	$	1,929	$	587	$	171	$	9	$	4,169

As of December 31, 2019, $67 million of our residential mortgage loans were nonperforming.

The following represents our residential loan portfolio in non-accrual status:

(In millions)	September 30, 2020
Beginning amortized cost of residential mortgage loans in non-accrual status	$	67
Ending amortized cost of residential mortgage loans in non-accrual status	81
Amortized cost of residential mortgage loans in non-accrual status without a related allowance for credit losses	8

During the three months and nine months ended September 30, 2020, we recognized $2 million and $3 million, respectively, of interest income on residential mortgage loans in non-accrual status.

Commercial mortgage loans – The following represents our commercial mortgage loan portfolio by origination year and loan performance status:

	September 30, 2020
(In millions)	2020		2019		2018		2017		2016		Prior		Total
Current (less than 30 days past due)	$	1,398	$	4,399	$	2,750	$	1,047	$	131	$	1,546	$	11,271
30 to 59 days past due	98		—		—		—		—		—		98
60 to 89 days past due	—		—		—		—		—		21		21
Total commercial mortgages	$	1,496	$	4,399	$	2,750	$	1,047	$	131	$	1,567	$	11,390

As of December 31, 2019, none of our commercial loans were 30 days or more past due.

The following represents our commercial mortgage loan portfolio in non-accrual status:

(In millions)	September 30, 2020
Beginning amortized cost of commercial mortgage loans in non-accrual status	$	—
Ending amortized cost of commercial mortgage loans in non-accrual status	39
Amortized cost of commercial mortgage loans in non-accrual status without a related allowance for credit losses	—

During the three months and nine months ended September 30, 2020, no interest income was recognized on commercial mortgage loans in non-accrual status.

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 value of the underlying collateral. Loan-to-value information is updated annually as part of the re-underwriting process supporting the NAIC risk based capital rating criteria. The following represents the loan-to-value ratio of the commercial mortgage loan portfolio, excluding those under development, by origination year:    

	September 30, 2020
(In millions)	2020		2019		2018		2017		2016		Prior		Total
Less than 50%	$	282	$	611	$	207	$	200	$	45	$	1,250	$	2,595
50% to 60%	249		1,215		733		277		40		162		2,676
61% to 70%	539		1,978		1,430		475		46		71		4,539
71% to 80%	331		574		287		95		—		45		1,332
81% to 100%	13		—		—		—		—		—		13
Greater than 100%	—		—		—		—		—		39		39
Commercial mortgage loans	$	1,414	$	4,378	$	2,657	$	1,047	$	131	$	1,567	$	11,194

The following represents the loan-to-value ratio of the commercial mortgage loan portfolio, excluding those under development, net of valuation allowances:    

(In millions)	December 31, 2019
Less than 50%	$	2,640
50% to 60%	2,486
61% to 70%	4,093
71% to 80%	1,162
81% to 100%	31
Commercial mortgage loans	$	10,412

The debt service coverage ratio 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. Debt service coverage ratios are updated as more recent financial statements become available, at least annually or as frequently as quarterly in some cases. The following represents the debt service coverage ratio of the commercial mortgage loan portfolio, excluding those under development, by origination year:    

	September 30, 2020
(In millions)	2020		2019		2018		2017		2016		Prior		Total
Greater than 1.20x	$	1,039	$	3,413	$	2,657	$	993	$	130	$	1,494	$	9,726
1.00x – 1.20x	375		965		—		31		1		66		1,438
Less than 1.00x	—		—		—		23		—		7		30
Commercial mortgage loans	$	1,414	$	4,378	$	2,657	$	1,047	$	131	$	1,567	$	11,194

The following represents the debt service coverage ratio of the commercial mortgage loan portfolio, excluding those under development, net of valuation allowances:    

(In millions)	December 31, 2019
Greater than 1.20x	$	9,212
1.00x – 1.20x	1,166
Less than 1.00x	34
Commercial mortgage loans	$	10,412

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. Our investment funds do not specify timing of distributions on the funds’ underlying assets.

The following summarizes our investment funds, including related party:

	September 30, 2020				December 31, 2019
(In millions, except for percentages)	Carrying value		Percent of total		Carrying value		Percent of total
Investment funds
Real estate	$	290	40.2	%	$	277	36.9	%
Credit funds	110		15.2	%	153		20.4	%
Private equity	257		35.5	%	236		31.5	%
Real assets	66		9.1	%	83		11.1	%
Natural resources	—		—	%	1		0.1	%
Total investment funds	723		100.0	%	750		100.0	%
Investment funds – related parties
Differentiated investments
MidCap FinCo Designated Activity Company (MidCap)1	—		—	%	547		15.4	%
AmeriHome Mortgage Company, LLC (AmeriHome)2	666		13.9	%	487		13.7	%
Catalina Holdings Ltd. (Catalina)	317		6.6	%	271		7.6	%
Athora Holding Ltd. (Athora)1	572		11.9	%	132		3.7	%
Venerable Holdings, Inc. (Venerable)1	108		2.2	%	99		2.8	%
Other	272		5.7	%	222		6.3	%
Total differentiated investments	1,935		40.3	%	1,758		49.5	%
Real estate	686		14.3	%	853		24.0	%
Credit funds	373		7.7	%	370		10.4	%
Private equity	257		5.3	%	105		3.0	%
Real assets	196		4.1	%	182		5.1	%
Natural resources	101		2.1	%	163		4.6	%
Public equities	62		1.3	%	119		3.4	%
Investment in Apollo1	1,198		24.9	%	—		—	%
Total investment funds – related parties	4,808		100.0	%	3,550		100.0	%
Total investment funds including related party	$	5,531			$	4,300
1 See further discussion on MidCap, Athora, Venerable and our investment in Apollo in Note 11 – Related Parties.
2 Our AmeriHome investment is held indirectly through A-A Mortgage Opportunities, L.P. (A-A Mortgage). See further discussion on A-A Mortgage and AmeriHome in Note 11 – Related Parties.

Summarized Ownership of A-A Mortgage—The following is the summarized income statement information of our equity method investee, A-A Mortgage:

	Nine months ended September 30,
(In millions)	2020		2019
Net income	$	334	$	88

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:

	September 30, 2020				December 31, 2019
(In millions)	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure
Investment funds	$	723	$	1,183	$	750	$	1,265
Investment in related parties – investment funds	4,808		7,256		3,550		5,955
Investment in fixed maturity securities	21,930		22,000		22,694		22,170
Investment in related parties – fixed maturity securities	6,218		6,586		4,570		4,878
Investment in related parties – equity securities	50		50		58		58
Total non-consolidated investments	$	33,729	$	37,075	$	31,622	$	34,326