
	For The Three Months Ended March 31,
	2021		2020
	(Dollars In Millions)
Fixed maturities	$	30	$	39
Equity securities	(8)		(43)
Modco trading portfolios	(137)		(124)
Change in net expected credit losses - fixed maturities	5		(52)
Commercial mortgage loans	56		(95)
Other investments	—		(1)
Realized gains (losses) - investments	(54)		(276)
Realized gains (losses) - derivatives(1)	181		(25)
Realized gains (losses)	$	127	$	(301)

(1) See Note 5, Derivative Financial Instruments


	For The Three Months Ended March 31,
	2021		2020
	(Dollars In Millions)
Gross realized gains	$	31	$	40
Gross realized losses:
Change in net expected credit losses - fixed maturities	$	5	$	(52)
Other realized losses	$	(1)	$	(1)

The chart below summarizes the fair value proceeds and the gains (losses) realized on securities the Company sold that were in an unrealized gain position and an unrealized loss position.


	For The Three Months Ended March 31,
	2021		2020
	(Dollars In Millions)
Securities in an unrealized gain position:
Fair value proceeds	$	1,090	$	506
Gains realized	$	31	$	40

Securities in an unrealized loss position:
Fair value proceeds	$	8	$	—
Losses realized	$	(1)	$	(1)

The chart below summarizes the realized gains (losses) on equity securities sold during the period and equity securities still held at the reporting date.


	For The Three Months Ended March 31,
	2021		2020
	(Dollars In Millions)
Net gains (losses) recognized during the period on equity securities still held	$	(8)	$	(43)
Net gains (losses) recognized on equity securities sold during the period	—		—
Net gains (losses) recognized during the period on equity securities	$	(8)	$	(43)

The amortized cost, gross unrealized gains, losses, allowance for expected credit losses, and fair value of the Company’s investments classified as available-for-sale are as follows:


As of March 31, 2021	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Expected Credit Losses		Fair Value
	(Dollars In Millions)
Fixed maturities:
Residential mortgage-backed securities	$	6,872	$	89	$	(58)	$	—	$	6,903
Commercial mortgage-backed securities	2,346		92		(11)		(2)		2,425
Other asset-backed securities	1,505		36		(4)		(1)		1,536
U.S. government-related securities	980		17		(37)		—		960
Other government-related securities	591		54		(3)		—		642
States, municipals, and political subdivisions	3,821		301		(3)		—		4,119
Corporate securities	47,342		3,364		(348)		(1)		50,357
Redeemable preferred stocks	213		4		(1)		—		216
	63,670		3,957		(465)		(4)		67,158
Short-term investments	552		—		—		—		552
	$	64,222	$	3,957	$	(465)	$	(4)	$	67,710


As of December 31, 2020	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Expected Credit Losses		Fair Value
	(Dollars In Millions)
Fixed maturities:
Residential mortgage-backed securities	$	6,510	$	159	$	(1)	$	—	$	6,668
Commercial mortgage-backed securities	2,429		128		(19)		(4)		2,534
Other asset-backed securities	1,546		40		(7)		(1)		1,578
U.S. government-related securities	1,492		26		(3)		—		1,515
Other government-related securities	622		96		(1)		—		717
States, municipals, and political subdivisions	3,902		519		(1)		—		4,420
Corporate securities	46,150		6,074		(99)		(18)		52,107
Redeemable preferred stocks	183		11		—		—		194
	62,834		7,053		(131)		(23)		69,733
Short-term investments	386		—		—		—		386
	$	63,220	$	7,053	$	(131)	$	(23)	$	70,119

The Company holds certain investments pursuant to certain modified coinsurance (“Modco”) arrangements. The fixed maturities, equity securities, and short-term investments held as part of these arrangements are classified as trading securities. The fair value of the investments held pursuant to these Modco arrangements are as follows:


	As of
	March 31, 2021		December 31, 2020
	(Dollars In Millions)
Fixed maturities:
Residential mortgage-backed securities	$	181	$	209
Commercial mortgage-backed securities	213		214
Other asset-backed securities	175		163
U.S. government-related securities	35		91
Other government-related securities	32		30
States, municipals, and political subdivisions	282		282
Corporate securities	1,772		1,860
Redeemable preferred stocks	11		13
	2,701		2,862
Equity securities	23		20
Short-term investments	109		76
	$	2,833	$	2,958

The amortized cost and fair value of available-for-sale fixed maturities as of March 31, 2021, by expected maturity, are shown below. Expected maturities of securities without a single maturity date are allocated based on estimated rates of prepayment that may differ from actual rates of prepayment.


	Available-for-Sale
	Amortized Cost		Fair Value
	(Dollars In Millions)
Due in one year or less	$	1,626	$	1,642
Due after one year through five years	12,386		12,921
Due after five years through ten years	13,803		14,580
Due after ten years	35,855		38,015
	$	63,670	$	67,158


	For The Three Months Ended March 31,
	2021								2020
	Corporate Securities		CMBS		ABS		Total		Corporate Securities		ABS		Total
	(Dollars In Millions)
Beginning Balance	$	18	$	4	$	1	$	23	$	—	$	—	$	—
Additions for securities for which allowance was not previously recorded	—		—		—		—		52		—		52
Adjustments on previously recorded allowances due to change in expected cash flows	(1)		(2)		—		(3)		—		—		—
Reductions on previously recorded allowances due to disposal of security in the current period	—		—		—		—		—		—		—
Write-offs of previously recorded allowances due to intent or requirement to sell	(16)		—		—		(16)		—		—		—
Ending Balance	$	1	$	2	$	1	$	4	$	52	$	—	$	52

The following table includes the gross unrealized losses, for which an allowance for credit losses has not been recorded, and fair value of the Company’s AFS fixed maturities, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position as of March 31, 2021:


	Less Than 12 Months				12 Months or More				Total
	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
	(Dollars In Millions)
Residential mortgage-backed securities	$	2,586	$	(58)	$	12	$	—	$	2,598	$	(58)
Commercial mortgage-backed securities	247		(9)		29		(2)		276		(11)
Other asset-backed securities	182		(3)		137		(1)		319		(4)
U.S. government-related securities	438		(37)		—		—		438		(37)
Other government-related securities	65		(3)		—		—		65		(3)
States, municipals, and political subdivisions	78		(3)		4		—		82		(3)
Corporate securities	7,213		(280)		702		(68)		7,915		(348)
Redeemable preferred stocks	14		(1)		—		—		14		(1)
	$	10,823	$	(394)	$	884	$	(71)	$	11,707	$	(465)

Commercial mortgage-backed securities (“CMBS”) had gross unrealized losses greater than twelve months of $2 million as of March 31, 2021. Factors such as the credit enhancement within the deal structure, the average life of the securities, and the performance of the underlying collateral support the recoverability of these investments.

The other asset-backed securities have a gross unrealized loss greater than twelve months of $1 million as of March 31, 2021. This category predominately includes student loan backed auction rate securities (“ARS”) whose underlying collateral is at least 97% guaranteed by the Federal Family Education Loan Program (“FFELP”). At this time, the Company has no reason to believe that the U.S. Department of Education would not honor the FFELP guarantee, if it were necessary.

The corporate securities category had gross unrealized losses greater than twelve months of $68 million as of March 31, 2021, excluding losses of $1 million that were considered credit related. These losses are deemed temporary due to the delayed uneven recoveries from the COVID-19 pandemic, and the recent increase in treasury rates as of March 31, 2021.

As of March 31, 2021, the Company had a total of 845 positions that were in an unrealized loss position, including 6 positions for which an allowance for credit losses was established. For unrealized losses for which an allowance for credit losses was not established, the Company does not consider these unrealized loss positions to be credit-related. This is based on the aggregate factors discussed previously and because the Company has the ability and intent to hold these investments until the fair values recover. The Company does not intend to sell or expect to be required to sell the securities before recovering the Company’s amortized cost of the securities.

The following table includes the gross unrealized losses and fair value of the Company’s investments that are not deemed to be other-than-temporarily impaired, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position as of December 31, 2020:


	Less Than 12 Months				12 Months or More				Total
	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
	(Dollars In Millions)
Residential mortgage-backed securities	$	386	$	(1)	$	9	$	—	$	395	$	(1)
Commercial mortgage-backed securities	263		(16)		30		(4)		293		(20)
Other asset-backed securities	146		(2)		326		(5)		472		(7)
U.S. government-related securities	311		(3)		1		—		312		(3)
Other government-related securities	19		—		7		(1)		26		(1)
States, municipals, and political subdivisions	34		(1)		5		—		39		(1)
Corporate securities	1,063		(33)		728		(66)		1,791		(99)
Redeemable preferred stocks	—		—		—		—		—		—
	$	2,222	$	(56)	$	1,106	$	(76)	$	3,328	$	(132)

As of March 31, 2021, the Company had securities in its available-for-sale portfolio which were rated below investment grade of $3 billion and had an amortized cost of $3 billion. In addition, included in the Company’s trading portfolio, the Company held $134 million of securities which were rated below investment grade. The Company held $508 million of below investment grade securities that were not publicly traded.

The change in unrealized gains (losses), excluding the allowance for expected credit losses, net of income tax, on fixed maturities, classified as available-for-sale is summarized as follows: