
	For The Three Months Ended September 30,				For The Nine Months Ended September 30,
	2021		2020		2021		2020
	(Dollars In Millions)
Fixed maturities	$	5	$	3	$	44	$	45
Equity securities	—		16		3		(1)
Modco trading portfolios	(25)		45		(69)		108
Change in net expected credit losses - fixed maturities	—		(38)		5		(121)
Commercial mortgage loans	37		(2)		129		(101)
Other investments	(1)		(1)		(1)		(2)
Realized gains (losses) - investments	16		23		111		(72)
Realized gains (losses) - derivatives(1)	51		88		50		(152)
Realized gains (losses)	$	67	$	111	$	161	$	(224)

(1) See Note 5, Derivative Financial Instruments


	For The Three Months Ended September 30,				For The Nine Months Ended September 30,
	2021		2020		2021		2020
	(Dollars In Millions)
Securities in an unrealized gain position:
Sales proceeds	$	232	$	515	$	1,443	$	1,454
Realized gains	$	5	$	3	$	45	$	50

Securities in an unrealized loss position:
Sales proceeds	$	12	$	8	$	35	$	33
Realized losses	$	—	$	—	$	(1)	$	(5)

The net gains (losses) from equity securities still held at period end, was $(4) million and $17 million for the three months ended September 30, 2021 and 2020, respectively, and $(1) million and $(1) million for the nine months ended September 30, 2021 and 2020, respectively. The Company recognized gains of $4 million and $4 million on equity securities sold during the period for the three and nine months ended September 30, 2021, respectively, and immaterial gains (losses) on equity securities sold during the three and nine months ended September 30, 2020.

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


As of September 30, 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	$	7,345	$	59	$	(58)	$	—	$	7,346
Commercial mortgage-backed securities	2,196		98		(6)		(1)		2,287
Other asset-backed securities	1,438		39		(1)		—		1,476
U.S. government-related securities	821		15		(24)		—		812
Other government-related securities	688		76		(2)		—		762
States, municipals, and political subdivisions	3,760		414		(1)		—		4,173
Corporate securities	48,935		4,808		(135)		(1)		53,607
Redeemable preferred stocks	297		13		—		—		310
	65,480		5,522		(227)		(2)		70,773
Short-term investments	542		—		—		—		542
	$	66,022	$	5,522	$	(227)	$	(2)	$	71,315


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
	September 30, 2021		December 31, 2020
	(Dollars In Millions)
Fixed maturities:
Residential mortgage-backed securities	$	158	$	209
Commercial mortgage-backed securities	211		214
Other asset-backed securities	181		163
U.S. government-related securities	33		91
Other government-related securities	64		30
States, municipals, and political subdivisions	288		282
Corporate securities	1,900		1,860
Redeemable preferred stocks	8		13
	2,843		2,862
Equity securities	13		20
Short-term investments	87		76
	$	2,943	$	2,958

The amortized cost and fair value of available-for-sale fixed maturities as of September 30, 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	$	1,566	$	1,581
Due after one year through five years	11,358		11,900
Due after five years through ten years	14,469		15,365
Due after ten years	38,087		41,927
	$	65,480	$	70,773


	For The Three Months Ended September 30, 2021								For The Nine Months Ended September 30, 2021
	Corporate Securities		CMBS		ABS		Total		Corporate Securities		CMBS		ABS		Total
	(Dollars In Millions)
Beginning Balance	$	1	$	1	$	—	$	2	$	18	$	4	$	1	$	23
Additions for securities for which an allowance was not previously recorded	—		—		—		—		—		—		—		—
Adjustments on previously recorded allowances due to change in expected cash flows	—		—		—		—		(1)		(3)		—		(4)
Reductions on previously recorded allowances due to disposal of security in the current period	—		—		—		—		—		—		(1)		(1)
Write-offs of previously recorded allowances due to intent or requirement to sell	—		—		—		—		(16)		—		—		(16)
Ending Balance	$	1	$	1	$	—	$	2	$	1	$	1	$	—	$	2


	For The Three Months Ended September 30, 2020								For The Nine Months Ended September 30, 2020
	Corporate Securities		CMBS		ABS		Total		Corporate Securities		CMBS		ABS		Total
	(Dollars In Millions)
Beginning Balance	$	81	$	—	$	1	$	82	$	—	$	—	$	—	$	—
Additions for securities for which an allowance was not previously recorded	—		—		—		—		62		—		1		63
Adjustments on previously recorded allowances due to change in expected cash flows	1		—		—		1		20		—		—		20
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	(64)		—		—		(64)		(64)		—		—		(64)
Ending Balance	$	18	$	—	$	1	$	19	$	18	$	—	$	1	$	19

The following table includes the gross unrealized losses and fair value of the Company’s AFS fixed maturities, for which an allowance for credit losses has not been recorded, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position as of September 30, 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	$	3,460	$	(58)	$	11	$	—	$	3,471	$	(58)
Commercial mortgage-backed securities	50		—		90		(6)		140		(6)
Other asset-backed securities	130		—		54		(1)		184		(1)
U.S. government-related securities	392		(21)		67		(3)		459		(24)
Other government-related securities	76		(2)		—		—		76		(2)
States, municipals, and political subdivisions	35		(1)		4		—		39		(1)
Corporate securities	3,978		(96)		496		(39)		4,474		(135)
Redeemable preferred stocks	20		—		—		—		20		—
	$	8,141	$	(178)	$	722	$	(49)	$	8,863	$	(227)

The corporate securities category had gross unrealized losses greater than twelve months of $39 million as of September 30, 2021, excluding losses of $1 million that were considered credit related. These losses are deemed temporary due to positive factors supporting the recoverability of the respective investments. Positive factors considered include credit ratings, the financial health of the issuer, the continued access of the issuer to capital markets, interest rate movement, and other pertinent information.

As of September 30, 2021, the Company had a total of 558 positions that were in an unrealized loss position, including 5 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.


	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		(15)		30		(4)		293		(19)
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	$	(55)	$	1,106	$	(76)	$	3,328	$	(131)

As of September 30, 2021, the Company had securities in its available-for-sale portfolio which were rated below investment grade of $2.6 billion and had an amortized cost of $2.4 billion. In addition, included in the Company’s trading portfolio, the Company held $139 million of securities which were rated below investment grade. The Company held $548 million of below investment grade securities that were not publicly traded.

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


	For The Three Months Ended September 30,				For The Nine Months Ended September 30,
	2021		2020		2021		2020
	(Dollars In Millions)
Fixed maturities	$	(326)	$	787	$	(1,285)	$	2,158