

Periods ended September 30	Three Months						Nine Months
(In millions)	2020			2019			2020			2019
Fixed maturity securities	$	432		$	452		$	1,300		$	1,362
Equity securities	18			16			24			62
Limited partnership investments	64			12			38			125
Mortgage loans	14			13			42			37
Short term investments	1			8			9			27
Trading portfolio	4			2			13			6
Other	—			—			2			2
Gross investment income	533			503			1,428			1,621
Investment expense	(16		)	(16		)	(48		)	(48		)
Net investment income	$	517		$	487		$	1,380		$	1,573

During the three and nine months ended September 30, 2020, $4 million and $9 million of Net investment income was recognized due to the change in fair value of common stock still held as of September 30, 2020. During the three and nine months ended September 30, 2019, $5 million and $26 million of Net investment income was recognized due to the change in fair value of common stock still held as of September 30, 2019.



Periods ended September 30	Three Months						Nine Months
(In millions)	2020			2019			2020			2019
Net investment gains (losses):
Fixed maturity securities:
Gross gains	$	44		$	34		$	175		$	98
Gross losses	(18		)	(31		)	(207		)	(104		)
Net investment gains (losses) on fixed maturity securities	26			3			(32		)	(6		)
Equity securities	25			7			(45		)	60
Derivatives	(2		)	(2		)	(7		)	(13		)
Mortgage loans	(3		)	—			(16		)	—
Short term investments and other	(19		)	(1		)	(20		)	(21		)
Net investment gains (losses)	$	27		$	7		$	(120	)	$	20

During the three and nine months ended September 30, 2020, $25 million of gains and $44 million of losses were recognized in Net investment gains (losses) due to the change in fair value of non-redeemable preferred stock still held as of September 30, 2020. During the three and nine months ended September 30, 2019, $7 million and $60 million of gains were recognized in Net investment gains (losses) due to the change in fair value of non-redeemable preferred stock still held as of September 30, 2019. Short term investments and other included a $20 million loss for the three and nine months ended September 30, 2020 related to the third quarter 2020 redemption of the Company's $400 million senior notes due August 2021 and a $21 million loss for the nine months ended September 30, 2019 related to the second quarter 2019 redemption of the Company's $500 million senior notes due August 2020.

For available-for-sale fixed maturity securities, a credit loss exists if the present value of cash flows expected to be collected is less than the amortized cost basis. The allowance for credit loss related to available-for-sale fixed maturity securities is the difference between present value of cash flows expected to be collected and the amortized cost basis, limited by the amount that the fair value is less than the amortized cost basis. The Company considers all available evidence when determining whether an investment requires a credit loss write-down or allowance to be recorded. Examples of such evidence may include the financial condition and near term prospects of the issuer, whether the issuer is current with interest and principal payments, credit ratings on the security or changes in ratings

over time, general market conditions and industry, sector or other specific factors and whether it is likely that the Company will recover its amortized cost through the collection of cash flows. Changes in the allowance since acquisition are presented as a component of Net investment gains (losses) on the Condensed Consolidated Statements of Operations.

The following tables present the activity related to the allowance on available-for-sale securities with credit impairments and PCD assets. Accrued interest receivable on available-for-sale fixed maturity securities totaled $390 million and is excluded from the estimate of expected credit losses and the amortized cost basis in the tables included within this Note.



Three months ended September 30
(In millions)	Corporate and other bonds			Asset-backed		Total
Allowance for credit losses:
Beginning balance	$	39		$	12	$	51
Additions to the allowance for credit losses:
For securities for which credit losses were not previously recorded	4			—		4
For available-for-sale securities accounted for as PCD assets	1			—		1

Reductions to the allowance for credit losses:
Securities sold during the period (realized)	9			—		9
Intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost basis	—			—		—
Write-offs charged against the allowance	—			—		—
Recoveries of amounts previously written off	—			—		—

Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period	(1		)	1		—
Ending balance as of September 30, 2020	$	34		$	13	$	47



Nine months ended September 30
(In millions)	Corporate and other bonds			Asset-backed		Total
Allowance for credit losses:
Beginning balance	$	—		$	—	$	—
Additions to the allowance for credit losses:
Impact of adopting ASC 326	6			—		6
For securities for which credit losses were not previously recorded	62			12		74
For available-for-sale securities accounted for as PCD assets	3			—		3

Reductions to the allowance for credit losses:
Securities sold during the period (realized)	15			—		15
Intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost basis	1			—		1
Write-offs charged against the allowance	—			—		—
Recoveries of amounts previously written off	—			—		—

Additional increases or (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period	(21		)	1		(20		)
Ending balance as of September 30, 2020	$	34		$	13	$	47

The components of available-for-sale impairment losses recognized in earnings by asset type are presented in the following table. The table includes losses on securities with an intention to sell and changes in the allowance for credit losses on securities since acquisition date.



Periods ended September 30	Three Months				Nine Months
(In millions)	2020		2019		2020		2019
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	4	$	12	$	94	$	24
Asset-backed	1		2		14		10
Impairment losses recognized in earnings	$	5	$	14	$	108	$	34



September 30, 2020	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses⁽¹⁾		Estimated Fair Value
(In millions)	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses⁽¹⁾		Estimated Fair Value
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	20,734	$	3,047	$	89	$	34	$	23,658
States, municipalities and political subdivisions	9,459		1,766		1		—		11,224
Asset-backed:
Residential mortgage-backed	3,796		153		1		—		3,948
Commercial mortgage-backed	2,048		85		70		13		2,050
Other asset-backed	2,097		76		19		—		2,154
Total asset-backed	7,941		314		90		13		8,152
U.S. Treasury and obligations of government-sponsored enterprises	347		4		1		—		350
Foreign government	481		29		—		—		510
Redeemable preferred stock	—		—		—		—		—
Total fixed maturity securities available-for-sale	38,962		5,160		181		47		43,894
Total fixed maturity securities trading	7		—		—		—		7
Total fixed maturity securities	$	38,969	$	5,160	$	181	$	47	$	43,901

(1) As of January 1, 2020, the Company adopted ASU 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. The Unrealized OTTI Losses (Gains) column that tracked subsequent valuation changes on securities for which a credit loss had previously been recorded has been replaced with the Allowance for Credit Losses column.



December 31, 2019	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value		Unrealized OTTI Losses (Gains)
(In millions)	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value		Unrealized OTTI Losses (Gains)
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	19,789	$	2,292	$	32	$	22,049	$	—
States, municipalities and political subdivisions	9,093		1,559		—		10,652		—
Asset-backed:
Residential mortgage-backed	4,387		133		1		4,519		(17		)
Commercial mortgage-backed	2,265		86		5		2,346		1
Other asset-backed	1,925		41		4		1,962		(3		)
Total asset-backed	8,577		260		10		8,827		(19		)
U.S. Treasury and obligations of government-sponsored enterprises	146		1		2		145		—
Foreign government	491		14		1		504		—
Redeemable preferred stock	10		—		—		10		—
Total fixed maturity securities available-for-sale	38,106		4,126		45		42,187		$	(19	)
Total fixed maturity securities trading	20		—		—		20
Total fixed maturity securities	$	38,126	$	4,126	$	45	$	42,207

The net unrealized gains on investments included in the tables above are recorded as a component of Accumulated other comprehensive income (AOCI). When presented in AOCI, these amounts are net of tax and any required Shadow Adjustments. To the extent that unrealized gains on fixed income securities supporting certain products within the Life & Group segment would result in a premium deficiency if realized, a related increase in Insurance reserves is recorded, net of tax, as a reduction of net unrealized gains through Other comprehensive income (loss) (Shadow Adjustments). As of September 30, 2020 and December 31, 2019, the net unrealized gains on investments included in AOCI were correspondingly reduced by Shadow Adjustments of $2,559 million and $2,198 million.

The following tables present the estimated fair value and gross unrealized losses of fixed maturity securities in a gross unrealized loss position for which an allowance for credit loss has not been recorded, by the length of time in which the securities have continuously been in that position.



	Less than 12 Months				12 Months or Longer				Total
September 30, 2020	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
(In millions)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	1,579	$	86	$	56	$	3	$	1,635	$	89
States, municipalities and political subdivisions	154		1		—		—		154		1
Asset-backed:
Residential mortgage-backed	98		1		13		—		111		1
Commercial mortgage-backed	693		69		19		1		712		70
Other asset-backed	432		18		13		1		445		19
Total asset-backed	1,223		88		45		2		1,268		90
U.S. Treasury and obligations of government-sponsored enterprises	25		1		—		—		25		1
Foreign government	20		—		—		—		20		—
Total	$	3,001	$	176	$	101	$	5	$	3,102	$	181



	Less than 12 Months				12 Months or Longer				Total
December 31, 2019	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
(In millions)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	914	$	21	$	186	$	11	$	1,100	$	32
States, municipalities and political subdivisions	34		—		—		—		34		—
Asset-backed:
Residential mortgage-backed	249		1		30		—		279		1
Commercial mortgage-backed	381		3		20		2		401		5
Other asset-backed	449		3		33		1		482		4
Total asset-backed	1,079		7		83		3		1,162		10
U.S. Treasury and obligations of government-sponsored enterprises	62		2		2		—		64		2
Foreign government	59		1		1		—		60		1
Total	$	2,148	$	31	$	272	$	14	$	2,420	$	45

Based on current facts and circumstances, the Company believes the unrealized losses presented in the September 30, 2020 securities in a gross unrealized loss position table above are not indicative of the ultimate collectibility of the current amortized cost of the securities, but rather are attributable to changes in interest rates, credit spreads and other factors. The Company has no current intent to sell securities with unrealized losses, nor is it more likely than not that it will be required to sell prior to recovery of amortized cost; accordingly, the Company has determined that there are no additional impairment losses to be recorded as of September 30, 2020.



	September 30, 2020				December 31, 2019
(In millions)	Cost or Amortized Cost		Estimated Fair Value		Cost or Amortized Cost		Estimated Fair Value
Due in one year or less	$	1,372	$	1,392	$	1,334	$	1,356
Due after one year through five years	11,955		12,625		9,746		10,186
Due after five years through ten years	13,026		14,359		14,892		15,931
Due after ten years	12,609		15,518		12,134		14,714
Total	$	38,962	$	43,894	$	38,106	$	42,187

The Company holds an embedded derivative on a funds withheld liability with a notional value of $193 million and $182 million as of September 30, 2020 and December 31, 2019 and a fair value of $(16) million and $(7) million as of September 30, 2020 and December 31, 2019. The embedded derivative on the funds withheld liability is accounted for separately and reported with the funds withheld liability in Other liabilities on the Condensed Consolidated Balance Sheets.

As part of its overall investment strategy, the Company invests in various assets which require future purchase, sale or funding commitments. These investments are recorded once funded, and the related commitments may include future capital calls from various third-party limited partnerships, signed and accepted mortgage loan applications, and obligations related to private placement securities. As of September 30, 2020, the Company had commitments to purchase or fund approximately $1,170 million and sell approximately $55 million under the terms of these investments.

The allowance for expected credit losses is developed by assessing the credit quality of pools of mortgage loans in good standing using debt service coverage ratios (DSCR) and loan-to-value ratios (LTV). The DSCR compares a property’s net operating income to its debt service payments, including principal and interest. The LTV ratio compares the current unpaid principal balance of the loan to the estimated fair value of the underlying property collateralizing the loan. The pools developed to measure the credit loss allowance use increments of DSCR and LTV to draw distinctions between risk levels. Changes in the allowance for mortgage loans are presented as a component of Net investment gains (losses) on the Condensed Consolidated Statements of Operations.



September 30, 2020	Mortgage Loans Amortized Cost Basis by Origination Year ⁽¹⁾
(In millions)	2020		2019		2018		2017		2016		Prior		Total
DSCR ≥1.6x
LTV less than 55%	$	75	$	33	$	19	$	85	$	33	$	161	$	406
LTV 55% to 65%	—		33		29		55		12		—		129
LTV greater than 65%	—		5		—		—		—		12		17
DSCR 1.2x - 1.6x
LTV less than 55%	—		31		10		13		16		79		149
LTV 55% to 65%	20		54		32		24		—		—		130
LTV greater than 65%	48		103		—		—		—		—		151
DSCR ≤1.2
LTV less than 55%	—		—		—		—		—		—		—
LTV 55% to 65%	—		14		14		—		—		—		28
LTV greater than 65%	—		23		—		45		24		7		99
Total	$	143	$	296	$	104	$	222	$	85	$	259	$	1,109

As of September 30, 2020, accrued interest receivable on mortgage loans totaled $4 million and is excluded from the amortized cost basis disclosed in the table above and the estimate of expected credit losses.