
Years ended December 31
(In millions)	2020		2019		2018
Fixed maturity securities	$	1,728	$	1,817	$	1,795
Equity securities	65		85		18
Limited partnership investments	121		180		(22)
Mortgage loans	57		51		50
Short term investments	9		34		26
Trading portfolio	18		9		7
Other	1		5		4
Gross investment income	1,999		2,181		1,878
Investment expense	(64)		(63)		(61)
Net investment income	$	1,935	$	2,118	$	1,817

For the years ended December 31, 2020 and 2019, $34 million and $38 million of Net investment income was recognized due to the change in fair value of common stock still held as of December 31, 2020 and 2019.

As of December 31, 2020 and 2019, the Company held less than $1 million of non-income producing fixed maturity securities. As of December 31, 2020 and 2019, no investments in a single issuer exceeded 10% of stockholders' equity, other than investments in securities issued by the U.S. Treasury and obligations of government-sponsored enterprises.


Years ended December 31
(In millions)	2020		2019		2018
Net investment gains (losses):
Fixed maturity securities:
Gross gains	$	220	$	125	$	168
Gross losses	(220)		(131)		(164)
Net investment gains (losses) on fixed maturity securities	—		(6)		4
Equity securities	(3)		66		(74)
Derivatives	(10)		(11)		9
Mortgage loans	(21)		—		—
Short term investments and other	(20)		(20)		9
Net investment gains (losses)	$	(54)	$	29	$	(52)

For the years ended December 31, 2020 and 2019, $3 million of losses and $66 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 December 31, 2020 and 2019. Short term investments and other included a $20 million loss for the year ended December 31, 2020 related to the redemption of the Company's $400 million senior notes due August 2021 and a $21 million loss for the year ended December 31, 2019 related to the redemption of the Company's $500 million senior notes due August 2020.

The following table presents 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 $371 million and is excluded from the estimate of expected credit losses and the amortized cost basis in the table included within this Note.


Year ended December 31, 2020
(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
Securities for which credit losses were not previously recorded	67		12		79
Available-for-sale securities accounted for as PCD assets	5		—		5

Reductions to the allowance for credit losses:
Securities sold during the period (realized)	22		—		22
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	(32)		5		(27)
Ending balance	$	23	$	17	$	40

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.


Years ended December 31
(In millions)	2020		2019		2018
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	87	$	33	$	12
Asset-backed	24		11		9
Impairment losses recognized in earnings	$	111	$	44	$	21

The net change in unrealized gains on investments, which consists solely of the change in unrealized gains on fixed maturity securities, was $1,637 million, $2,620 million and $(1,811) million for the years ended December 31, 2020, 2019 and 2018.


December 31, 2020	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses(1)		Estimated Fair Value
(In millions)
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	20,792	$	3,578	$	22	$	23	$	24,325
States, municipalities and political subdivisions	9,729		1,863		—		—		11,592
Asset-backed:
Residential mortgage-backed	3,442		146		1		—		3,587
Commercial mortgage-backed	1,933		93		42		17		1,967
Other asset-backed	2,179		81		9		—		2,251
Total asset-backed	7,554		320		52		17		7,805
U.S. Treasury and obligations of government-sponsored enterprises	339		2		3		—		338
Foreign government	512		32		—		—		544
Redeemable preferred stock	—		—		—		—		—
Total fixed maturity securities available-for-sale	38,926		5,795		77		40		44,604
Total fixed maturity securities trading	27		—		—		—		27
Total fixed maturity securities	$	38,953	$	5,795	$	77	$	40	$	44,631

(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)
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 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
December 31, 2020	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
(In millions)
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	609	$	21	$	12	$	1	$	621	$	22
States, municipalities and political subdivisions	33		—		—		—		33		—
Asset-backed:
Residential mortgage-backed	71		1		11		—		82		1
Commercial mortgage-backed	533		40		28		2		561		42
Other asset-backed	344		9		13		—		357		9
Total asset-backed	948		50		52		2		1,000		52
U.S. Treasury and obligations of government-sponsored enterprises	63		3		—		—		63		3
Foreign government	13		—		—		—		13		—
Total	$	1,666	$	74	$	64	$	3	$	1,730	$	77


	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)
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 December 31, 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 December 31, 2020.


December 31	2020				2019
(In millions)	Cost or Amortized Cost		Estimated Fair Value		Cost or Amortized Cost		Estimated Fair Value
Due in one year or less	$	1,456	$	1,458	$	1,334	$	1,356
Due after one year through five years	12,304		13,098		9,746		10,186
Due after five years through ten years	12,319		13,878		14,892		15,931
Due after ten years	12,847		16,170		12,134		14,714
Total	$	38,926	$	44,604	$	38,106	$	42,187

The carrying value of limited partnerships as of December 31, 2020 and 2019 was $1,619 million and $1,752 million, which includes net undistributed earnings of $235 million and $229 million. Limited partnerships comprising 49% of the total carrying value are reported on a current basis through December 31, 2020 with no reporting lag, 10% are reported on a one month lag and the remainder are reported on more than a one month lag. The number of limited partnerships held and the strategies employed provide diversification to the limited partnership portfolio and the overall invested asset portfolio.

Limited partnerships comprising 51% and 61% of the carrying value as of December 31, 2020 and 2019 employ hedge fund strategies. Limited partnerships comprising 40% and 33% of the carrying value as of December 31, 2020 and 2019 were invested in private debt and equity, and the remainder was primarily invested in real estate strategies. Hedge fund strategies include both long and short positions in fixed income, equity and derivative instruments. These hedge fund strategies may seek to generate gains from mispriced or undervalued securities, price differentials between securities, distressed investments, sector rotation or various arbitrage disciplines. Within hedge fund strategies, approximately 55% were equity related, 26% pursued a multi-strategy approach, 14% were focused on distressed investments and 5% were fixed income related as of December 31, 2020.

The ten largest limited partnership positions held totaled $775 million and $893 million as of December 31, 2020 and 2019. Based on the most recent information available regarding the Company’s percentage ownership of the individual limited partnerships, the carrying value reflected on the Consolidated Balance Sheets represents approximately 2% of the aggregate partnership equity as of December 31, 2020 and 2019, and the related income reflected on the Consolidated Statements of Operations represents approximately 2%, 2% and 3% of the changes in aggregate partnership equity for the years ended December 31, 2020, 2019 and 2018.

There are risks inherent in limited partnership investments which may result in losses due to short-selling, derivatives or other speculative investment practices. The use of leverage increases volatility generated by the underlying investment strategies.

The Company’s hedge fund limited partnership investments contain withdrawal provisions that generally limit liquidity for a period of thirty days up to one year or longer. Private equity and other non-hedge funds generally do not permit voluntary withdrawals. Typically, hedge fund withdrawals require advance written notice of up to 90 days.

The Company may use derivatives in the normal course of business, primarily in an attempt to reduce its exposure to market risk (principally interest rate risk and foreign currency risk) stemming from various assets and liabilities. The Company's principal objective under such strategies is to achieve the desired reduction in economic risk, even if the position does not receive hedge accounting treatment.

The Company may enter into interest rate swaps, futures and forward commitments to purchase securities to manage interest rate risk. The Company may use foreign currency forward contracts to manage foreign currency risk.

Credit exposure associated with non-performance by the counterparties to derivative instruments is generally limited to the uncollateralized fair value of the asset related to the instruments recognized on the Consolidated Balance Sheets. The Company generally requires that all over-the-counter derivative contracts be governed by an International Swaps and Derivatives Association Master Agreement, and exchanges collateral under the terms of these agreements with its derivative investment counterparties depending on the amount of the exposure and the credit rating of the counterparty. Gross estimated fair values of derivative positions are presented in Other invested assets and Other liabilities on the Consolidated Balance Sheets. The Company does not offset derivative positions against the fair value of collateral provided or positions subject to netting arrangements. There would be no significant difference in the balance included in such accounts if the estimated fair values were presented net as of December 31, 2020 and 2019.

The Company holds an embedded derivative on a funds withheld liability with a notional value of $190 million and $182 million and a fair value of $(19) million and $(7) million as of December 31, 2020 and 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 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 December 31, 2020, the Company had commitments to purchase or fund approximately $1,210 million and sell approximately $85 million under the terms of these investments.

Securities with carrying values of approximately $3.0 billion and $2.7 billion were deposited by the Company’s insurance subsidiaries under requirements of regulatory authorities and others as of December 31, 2020 and 2019.

Cash and securities with carrying values of approximately $1.1 billion and $1.1 billion were deposited with financial institutions in trust accounts or as collateral for letters of credit to secure obligations with various third parties as of December 31, 2020 and 2019.


December 31, 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	$	36	$	115	$	33	$	156	$	448
LTV 55% to 65%	14		20		14		15		11		—		74
LTV greater than 65%	—		5		—		—		25		—		30
DSCR 1.2x - 1.6x
LTV less than 55%	—		17		—		5		9		68		99
LTV 55% to 65%	20		29		53		27		—		—		129
LTV greater than 65%	52		54		—		8		—		12		126
DSCR ≤1.2
LTV less than 55%	—		50		—		8		7		3		68
LTV 55% to 65%	—		48		—		—		—		—		48
LTV greater than 65%	—		28		—		37		—		7		72
Total	$	161	$	284	$	103	$	215	$	85	$	246	$	1,094

As of December 31, 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.