Investments

3 Months Ended

Mar. 31, 2021

Schedule of Investments [Abstract]

Investments

2. Investments

AFS Securities—Our AFS investment portfolio includes bonds, collateralized loan obligations (CLO), asset-backed securities (ABS), commercial mortgage-backed securities (CMBS), residential mortgage-backed securities (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:

	March 31, 2021
(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities
US government and agencies	$	375	$	—	$	1	$	(25)	$	351
US state, municipal and political subdivisions	898		—		115		(7)		1,006
Foreign governments	373		—		18		(9)		382
Corporate	55,922		(8)		3,750		(816)		58,848
CLO	11,299		—		94		(121)		11,272
ABS	4,761		(11)		152		(70)		4,832
CMBS	2,218		(14)		66		(64)		2,206
RMBS	6,344		(78)		383		(22)		6,627
Total AFS securities	82,190		(111)		4,579		(1,134)		85,524
AFS securities – related party
Corporate	213		—		8		—		221
CLO	1,864		—		13		(8)		1,869
ABS	4,777		—		78		(40)		4,815
Total AFS securities – related party	6,854		—		99		(48)		6,905
Total AFS securities including related party	$	89,044	$	(111)	$	4,678	$	(1,182)	$	92,429

	December 31, 2020
(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities
US government and agencies	$	349	$	—	$	3	$	(1)	$	351
US state, municipal and political subdivisions	864		—		169		—		1,033
Foreign governments	330		—		38		—		368
Corporate	51,934		(6)		6,368		(116)		58,180
CLO	9,631		(1)		145		(206)		9,569
ABS	4,259		(6)		140		(123)		4,270
CMBS	2,165		(10)		85		(71)		2,169
RMBS	6,568		(80)		447		(22)		6,913
Total AFS securities	76,100		(103)		7,395		(539)		82,853
AFS securities – related party
Corporate	213		—		2		—		215
CLO	1,511		(1)		23		(13)		1,520
ABS	4,720		—		95		(30)		4,785
Total AFS securities – related party	6,444		(1)		120		(43)		6,520
Total AFS securities including related party	$	82,544	$	(104)	$	7,515	$	(582)	$	89,373

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

	March 31, 2021
(In millions)	Amortized Cost		Fair Value
AFS securities
Due in one year or less	$	985	$	1,000
Due after one year through five years	8,603		9,060
Due after five years through ten years	15,913		16,559
Due after ten years	32,067		33,968
CLO, ABS, CMBS and RMBS	24,622		24,937
Total AFS securities	82,190		85,524
AFS securities – related party
Due after one year through five years	18		19
Due after five years through ten years	195		202
CLO and ABS	6,641		6,684
Total AFS securities – related party	6,854		6,905
Total AFS securities including related party	$	89,044	$	92,429

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:

	March 31, 2021
	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	$	312	$	(25)	$	—	$	—	$	312	$	(25)
US state, municipal and political subdivisions	226		(7)		6		—		232		(7)
Foreign governments	211		(9)		1		—		212		(9)
Corporate	15,665		(749)		398		(43)		16,063		(792)
CLO	2,643		(19)		2,873		(89)		5,516		(108)
ABS	752		(21)		524		(40)		1,276		(61)
CMBS	588		(23)		245		(22)		833		(45)
RMBS	562		(7)		124		(4)		686		(11)
Total AFS securities	20,959		(860)		4,171		(198)		25,130		(1,058)
AFS securities – related party
CLO	601		(1)		216		(4)		817		(5)
ABS	2,262		(40)		14		—		2,276		(40)
Total AFS securities – related party	2,863		(41)		230		(4)		3,093		(45)
Total AFS securities including related party	$	23,822	$	(901)	$	4,401	$	(202)	$	28,223	$	(1,103)

	December 31, 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	$	31	$	(1)	$	—	$	—	$	31	$	(1)
US state, municipal and political subdivisions	9		—		6		—		15		—
Foreign governments	2		—		—		—		2		—
Corporate	2,218		(66)		248		(24)		2,466		(90)
CLO	1,649		(33)		3,179		(167)		4,828		(200)
ABS	1,169		(73)		84		(18)		1,253		(91)
CMBS	710		(37)		48		(13)		758		(50)
RMBS	548		(11)		37		(2)		585		(13)
Total AFS securities	6,336		(221)		3,602		(224)		9,938		(445)
AFS securities – related party
CLO	336		(3)		232		(10)		568		(13)
ABS	1,012		(30)		—		—		1,012		(30)
Total AFS securities – related party	1,348		(33)		232		(10)		1,580		(43)
Total AFS securities including related party	$	7,684	$	(254)	$	3,834	$	(234)	$	11,518	$	(488)

The following summarizes the number of AFS securities that were in an unrealized loss position, including related party, for which an allowance for credit losses has not been recorded:

	March 31, 2021
	Unrealized loss position	Unrealized loss position 12 months or more
AFS securities	3,556	480
AFS securities – related party	56	8

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, including Purchase Credit Deteriorated (PCD) securities, by asset type:

	Three months ended March 31, 2021
			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	$	6	$	2	$	—	$	(2)	$	2	$	8
CLO	1		—		—		—		(1)		—
ABS	6		5		—		—		—		11
CMBS	10		2		—		—		2		14
RMBS	80		—		2		(3)		(1)		78
Total AFS securities	103		9		2		(5)		2		111
AFS securities – related party, CLO	1		—		—		(1)		—		—
Total AFS securities including related party	$	104	$	9	$	2	$	(6)	$	2	$	111

	Three months ended March 31, 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	$	—	$	15	$	—	$	—	$	—	$	15
ABS	—		5		—		—		—		5
CMBS	—		4		—		—		—		4
RMBS	17		35		1		(1)		2		54
Total AFS securities	$	17	$	59	$	1	$	(1)	$	2	$	78

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

	Three months ended March 31,
(In millions)	2021		2020
AFS securities	$	860	$	837
Trading securities	63		48
Equity securities	4		4
Mortgage loans	192		186
Investment funds	463		(278)
Funds withheld at interest	206		41
Other	64		37
Investment revenue	1,852		875
Investment expenses	(148)		(130)
Net investment income	$	1,704	$	745

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

	Three months ended March 31,
(In millions)	2021		2020
AFS securities
Gross realized gains on investment activity	$	73	$	164
Gross realized losses on investment activity	(143)		(134)
Net realized investment gains (losses) on AFS securities	(70)		30
Net recognized investment losses on trading securities	(69)		(223)
Net recognized investment gains (losses) on equity securities	17		(50)
Derivative losses	(438)		(3,019)
Provision for credit losses	(8)		(284)
Other gains (losses)	80		(26)
Investment related gains (losses)	$	(488)	$	(3,572)

Proceeds from sales of AFS securities were $892 million and $1,807 million for the three months ended March 31, 2021 and 2020, 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 March 31,
(In millions)	2021		2020
Trading securities	$	(121)	$	(73)
Trading securities – related party	58		(109)
Equity securities	9		(37)
Equity securities – related party	6		—

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 March 31, 2021
(In millions)	Fixed maturity securities		Mortgage loans
Purchase price	$	6	$	335
Allowance for credit losses at acquisition	2		6
Discount (premiums) attributable to other factors	(2)		(26)
Par value	$	6	$	315

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

	March 31, 2021
	Remaining Contractual Maturity
(In millions)	Overnight and continuous		Less than 30 days		30-90 days		91 days to 1 year		Greater than 1 year		Total
Payables for repurchase agreements1	$	—	$	—	$	—	$	—	$	599	$	599
1 Included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets.

	December 31, 2020
	Remaining Contractual Maturity
(In millions)	Overnight and continuous		Less than 30 days		30-90 days		91 days to 1 year		Greater than 1 year		Total
Payables for repurchase agreements1	$	—	$	—	$	—	$	—	$	598	$	598
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:

	March 31, 2021				December 31, 2020
(In millions)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
AFS securities – Corporate	$	553	$	603	$	559	$	644

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

(In millions)	March 31, 2021		December 31, 2020
Commercial mortgage loans	$	12,385	$	11,383
Commercial mortgage loans under development	283		232
Total commercial mortgage loans	12,668		11,615
Allowance for credit losses on commercial mortgage loans	(172)		(167)
Commercial mortgage loans, net of allowances	12,496		11,448
Residential mortgage loans	4,967		4,569
Allowance for credit losses on residential mortgage loans	(78)		(79)
Residential mortgage loans, net of allowances	4,889		4,490
Mortgage loans, net of allowances	$	17,385	$	15,938

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:

	March 31, 2021				December 31, 2020
(In millions, except for percentages)	Net Carrying Value		Percentage of Total		Net Carrying Value		Percentage of Total
Property type
Office building	$	3,817	30.5	%	$	3,589	31.4	%
Retail	2,100		16.8	%	2,083		18.2	%
Apartment	2,770		22.2	%	2,441		21.3	%
Hotels	1,334		10.7	%	1,294		11.3	%
Industrial	1,801		14.4	%	1,362		11.9	%
Other commercial	674		5.4	%	679		5.9	%
Total commercial mortgage loans	$	12,496	100.0	%	$	11,448	100.0	%
US Region
East North Central	$	1,224	9.8	%	$	1,209	10.5	%
East South Central	414		3.3	%	402		3.5	%
Middle Atlantic	3,227		25.8	%	3,069		26.8	%
Mountain	480		3.9	%	487		4.2	%
New England	376		3.0	%	350		3.1	%
Pacific	2,919		23.4	%	2,746		24.0	%
South Atlantic	1,875		15.0	%	1,773		15.5	%
West North Central	141		1.1	%	145		1.3	%
West South Central	674		5.4	%	640		5.6	%
Total US Region	11,330		90.7	%	10,821		94.5	%
International Region
United Kingdom	724		5.8	%	—		—	%
Other International1	442		3.5	%	627		5.5	%
Total International Region	1,166		9.3	%	627		5.5	%
Total commercial mortgage loans	$	12,496	100.0	%	$	11,448	100.0	%
1 Represents all other countries, with each individual country comprising less than 5% of the portfolio.

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:

	March 31, 2021		December 31, 2020
US States
California	23.3	%	24.8	%
Florida	12.6	%	13.3	%
New York	6.7	%	6.2	%
Other1	43.1	%	41.1	%
Total US residential mortgage loan percentage	85.7	%	85.4	%
International
Ireland	11.1	%	12.9	%
Other2	3.2	%	1.7	%
Total International residential mortgage loan percentage	14.3	%	14.6	%
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 March 31, 2021
(In millions)	Commercial Mortgage		Residential Mortgage		Other Investments		Total
Beginning balance	$	167	$	79	$	7	$	253
Provision (reversal) for expected credit losses	5		(7)		(5)		(7)
Initial credit losses on PCD loans	—		6		—		6
Ending balance	$	172	$	78	$	2	$	252

	Three months ended March 31, 2020
(In millions)	Commercial Mortgage		Residential Mortgage		Other Investments		Total
Beginning balance	$	10	$	1	$	—	$	11
Adoption of accounting standard	167		43		11		221
Provision for expected credit losses	166		37		1		204
Ending balance	$	343	$	81	$	12	$	436

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 March 31, 2021, our reasonable and supportable forecast period was one year, after which, we revert to the 30-year or greater historical average or the 10-year US Department of the Treasury (Treasury) constant maturity rate over a period of up to eight years.

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 March 31, 2021, 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.

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 9 – 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:

	March 31, 2021
(In millions)	2021		2020		2019		2018		2017		Prior		Total
Current (less than 30 days past due)	$	542	$	911	$	789	$	1,594	$	458	$	121	$	4,415
30 to 59 days past due	49		90		38		31		24		10		242
60 to 89 days past due	—		16		66		15		8		3		108
90 days or more past due	—		17		45		61		51		28		202
Total residential mortgages	$	591	$	1,034	$	938	$	1,701	$	541	$	162	$	4,967
	December 31, 2020
(In millions)	2020		2019		2018		2017		2016		Prior		Total
Current (less than 30 days past due)	$	955	$	942	$	1,730	$	485	$	141	$	6	$	4,259
30 to 59 days past due	68		16		34		26		8		1		153
60 to 89 days past due	15		7		16		9		3		—		50
90 days or more past due	3		26		22		43		12		1		107
Total residential mortgages	$	1,041	$	991	$	1,802	$	563	$	164	$	8	$	4,569

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

(In millions)	March 31, 2021		December 31, 2020
Beginning amortized cost of residential mortgage loans in non-accrual status	$	107	$	67
Ending amortized cost of residential mortgage loans in non-accrual status	199		107
Amortized cost of residential mortgage loans in non-accrual status without a related allowance for credit losses	38		13

During the three months ended March 31, 2021 and 2020, we recognized $2 million and $1 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:

	March 31, 2021
(In millions)	2021		2020		2019		2018		2017		Prior		Total
Current (less than 30 days past due)	$	1,043	$	1,982	$	4,424	$	2,653	$	985	$	1,529	$	12,616
30 to 59 days past due	—		—		5		22		—		—		27
90 days or more past due	—		—		—		—		25		—		25
Total commercial mortgages	$	1,043	$	1,982	$	4,429	$	2,675	$	1,010	$	1,529	$	12,668
	December 31, 2020
(In millions)	2020		2019		2018		2017		2016		Prior		Total
Current (less than 30 days past due)	$	1,913	$	4,400	$	2,617	$	987	$	130	$	1,452	$	11,499
30 to 59 days past due	—		20		45		25		—		5		95
90 days or more past due	—		—		—		—		—		21		21
Total commercial mortgages	$	1,913	$	4,420	$	2,662	$	1,012	$	130	$	1,478	$	11,615

As of March 31, 2021 and December 31, 2020, we had $25 million and $0 million, respectively, of commercial mortgage loans that were 90 days or more past due and still accruing interest.

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

(In millions)	March 31, 2021		December 31, 2020
Beginning amortized cost of commercial mortgage loans in non-accrual status	$	38	$	—
Ending amortized cost of commercial mortgage loans in non-accrual status	37		38
Amortized cost of commercial mortgage loans in non-accrual status without a related allowance for credit losses	—		—

During the three months ended March 31, 2021 and 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:    

	March 31, 2021
(In millions)	2021		2020		2019		2018		2017		Prior		Total
Less than 50%	$	252	$	453	$	606	$	201	$	151	$	1,140	$	2,803
50% to 59%	67		291		1,332		715		325		196		2,926
60% to 69%	595		646		1,990		1,282		440		138		5,091
70% to 79%	113		459		470		374		94		18		1,528
100% or greater	—		—		—		—		—		37		37
Commercial mortgage loans	$	1,027	$	1,849	$	4,398	$	2,572	$	1,010	$	1,529	$	12,385
	December 31, 2020
(In millions)	2020		2019		2018		2017		2016		Prior		Total
Less than 50%	$	431	$	600	$	201	$	152	$	44	$	1,153	$	2,581
50% to 59%	315		1,320		765		300		40		147		2,887
60% to 69%	583		1,988		1,222		440		46		106		4,385
70% to 79%	478		485		375		95		—		13		1,446
80% to 99%	—		—		—		25		—		21		46
100% or greater	—		—		—		—		—		38		38
Commercial mortgage loans	$	1,807	$	4,393	$	2,563	$	1,012	$	130	$	1,478	$	11,383

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:    

	March 31, 2021
(In millions)	2021		2020		2019		2018		2017		Prior		Total
Greater than 1.20x	$	714	$	1,068	$	2,814	$	2,224	$	861	$	1,399	$	9,080
1.00x – 1.20x	313		524		1,187		62		53		94		2,233
Less than 1.00x	—		257		397		286		96		36		1,072
Commercial mortgage loans	$	1,027	$	1,849	$	4,398	$	2,572	$	1,010	$	1,529	$	12,385
	December 31, 2020
(In millions)	2020		2019		2018		2017		2016		Prior		Total
Greater than 1.20x	$	1,274	$	2,964	$	2,440	$	846	$	129	$	1,369	$	9,022
1.00x – 1.20x	533		1,122		36		70		1		101		1,863
Less than 1.00x	—		307		87		96		—		8		498
Commercial mortgage loans	$	1,807	$	4,393	$	2,563	$	1,012	$	130	$	1,478	$	11,383

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:

	March 31, 2021				December 31, 2020
(In millions, except for percentages)	Carrying value		Percent of total		Carrying value		Percent of total
Investment funds
Real estate	$	462	47.8	%	$	348	43.3	%
Credit funds	122		12.6	%	107		13.3	%
Private equity	300		31.1	%	267		33.3	%
Real assets	82		8.5	%	81		10.1	%
Total investment funds	966		100.0	%	803		100.0	%
Investment funds – related parties
Differentiated investments
AmeriHome Mortgage Company, LLC (AmeriHome)1	583		9.9	%	444		8.4	%
Catalina Holdings Ltd. (Catalina)	344		5.8	%	334		6.3	%
Athora Holding Ltd. (Athora)1	689		11.7	%	709		13.4	%
Venerable Holdings, Inc. (Venerable)1	316		5.4	%	123		2.3	%
Other	308		5.2	%	279		5.3	%
Total differentiated investments	2,240		38.0	%	1,889		35.7	%
Real estate	942		16.0	%	828		15.7	%
Credit funds	398		6.7	%	375		7.1	%
Private equity	689		11.7	%	473		8.9	%
Real assets	139		2.3	%	172		3.3	%
Natural resources	110		1.9	%	113		2.1	%
Public equities	100		1.7	%	110		2.1	%
Investment in Apollo1	1,281		21.7	%	1,324		25.1	%
Total investment funds – related parties	5,899		100.0	%	5,284		100.0	%
Total investment funds including related party	$	6,865			$	6,087
1 Our AmeriHome investment was held indirectly through A-A Mortgage Opportunities, L.P. (A-A Mortgage). Our Venerable investment is in its parent company, VA Capital Company LLC (VA Capital). See further discussion on these investments and our investments in Apollo and Athora in Note 9 – Related Parties.

Summarized Ownership of Equity Method Investees—The following is the summarized income statement information of our equity method investees, A-A Mortgage and VA Capital:

	Three months ended March 31,
(In millions)	2021		2020
Net income – VA Capital	$	913	$	48
Net income – A-A Mortgage	261		39

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:

	March 31, 2021				December 31, 2020
(In millions)	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure
Investment funds	$	966	$	1,605	$	803	$	1,265
Investment in related parties – investment funds	5,899		8,664		5,284		7,989
Investment in fixed maturity securities	25,324		25,009		23,325		23,027
Investment in related parties – fixed maturity securities	8,394		9,738		7,834		8,126
Investment in related parties – equity securities	114		114		72		72
Total non-consolidated investments	$	40,697	$	45,130	$	37,318	$	40,479