The amortized cost, gross unrealized gains, losses, allowance for credit losses and fair value of fixed maturity available-for-sale (“AFS”) securities (in millions) were as follows:



	As of March 31, 2021
							Allowance
	Amortized		Gross Unrealized				for Credit		Fair
	Cost		Gains		Losses		Losses		Value
Fixed maturity AFS securities:
Corporate bonds	$	86,879	$	10,397	$	693	$	13	$	96,570
U.S. government bonds		393		54		3		-		444
State and municipal bonds		5,474		1,185		34		-		6,625
Foreign government bonds		428		63		6		-		485
RMBS		2,820		261		3		1		3,077
CMBS		1,464		68		16		-		1,516
ABS		7,880		143		27		-		7,996
Hybrid and redeemable preferred securities		528		93		21		-		600
Total fixed maturity AFS securities	$	105,866	$	12,264	$	803	$	14	$	117,313



	As of December 31, 2020
							Allowance
	Amortized		Gross Unrealized				for Credit		Fair
	Cost		Gains		Losses		Losses		Value
Fixed maturity AFS securities:
Corporate bonds	$	86,289	$	16,662	$	150	$	12	$	102,789
U.S. government bonds		397		88		1		-		484
State and municipal bonds		5,360		1,561		-		-		6,921
Foreign government bonds		384		87		1		-		470
RMBS		2,765		313		1		1		3,076
CMBS		1,390		115		-		-		1,505
ABS		7,041		158		15		-		7,184
Hybrid and redeemable preferred securities		548		97		30		-		615
Total fixed maturity AFS securities	$	104,174	$	19,081	$	198	$	13	$	123,044

The amortized cost and fair value of fixed maturity AFS securities by contractual maturities (in millions) as of March 31, 2021, were as follows:

Actual maturities may differ from contractual maturities because issuers may have the right to call or pre-pay obligations.

The fair value and gross unrealized losses of fixed maturity AFS securities (dollars in millions) 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, were as follows:



	As of March 31, 2021
	Less Than or Equal					Greater Than
	to Twelve Months					Twelve Months					Total
			Gross					Gross					Gross
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
	Value			Losses		Value			Losses		Value			Losses ⁽¹⁾
Fixed maturity AFS securities:
Corporate bonds	$	12,029		$	633	$	709		$	60	$	12,738		$	693
U.S. government bonds		25			3		-			-		25			3
State and municipal bonds		767			34		-			-		767			34
Foreign government bonds		99			6		-			-		99			6
RMBS		200			3		7			-		207			3
CMBS		371			16		-			-		371			16
ABS		2,401			24		167			3		2,568			27
Hybrid and redeemable
preferred securities		124			8		91			13		215			21
Total fixed maturity AFS securities	$	16,016		$	727	$	974		$	76	$	16,990		$	803

Total number of fixed maturity AFS securities in an unrealized loss position															1,749



	As of December 31, 2020
	Less Than or Equal					Greater Than
	to Twelve Months					Twelve Months					Total
				Gross					Gross					Gross
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
	Value			Losses		Value			Losses		Value			Losses ⁽¹⁾
Fixed maturity AFS securities:
Corporate bonds	$	3,039		$	92	$	607		$	58	$	3,646		$	150
U.S. government bonds		28			1		-			-		28			1
Foreign government bonds		57			1		-			-		57			1
RMBS		45			1		7			-		52			1
ABS		1,527			9		358			6		1,885			15
Hybrid and redeemable
preferred securities		112			13		96			17		208			30
Total fixed maturity AFS securities	$	4,808		$	117	$	1,068		$	81	$	5,876		$	198

Total number of fixed maturity AFS securities in an unrealized loss position															802

⁽¹⁾As of March 31, 2021, and December 31, 2020, we recognized $2 million and $1 million, respectively, of gross unrealized losses in other comprehensive income (loss) (“OCI”) for fixed maturity AFS securities for which an allowance for credit losses has been recorded.

‎

The fair value, gross unrealized losses (in millions) and number of fixed maturity AFS securities where the fair value had declined and remained below amortized cost by greater than 20% were as follows:



	As of March 31, 2021
			Gross			Number
	Fair		Unrealized			of
	Value		Losses		Securities⁽¹⁾
Less than six months	$	50	$	16			10
Six months or greater, but less than nine months		52		23			4
Nine months or greater, but less than twelve months		1		1			3
Twelve months or greater		27		8			28
Total	$	130	$	48			45


	As of December 31, 2020
			Gross			Number
	Fair		Unrealized			of
	Value		Losses		Securities ⁽¹⁾
Less than six months	$	63	$	23			14
Six months or greater, but less than nine months		2		1			4
Nine months or greater, but less than twelve months		23		7			14
Twelve months or greater		30		11			20
Total	$	118	$	42			52

⁽¹⁾We may reflect a security in more than one aging category based on various purchase dates.

Our gross unrealized losses on fixed maturity AFS securities increased by $605 million for the three months ended March 31, 2021. As discussed further below, we believe the unrealized loss position as of March 31, 2021, did not require an impairment recognized in earnings as (i) we did not intend to sell these fixed maturity AFS securities; (ii) it is not more likely than not that we will be required to sell the fixed maturity AFS securities before recovery of their amortized cost basis; and (iii) the difference in the fair value compared to the amortized cost was due to factors other than credit loss. Based upon this evaluation as of March 31, 2021, management believes we have the ability to generate adequate amounts of cash from our normal operations (e.g., insurance premiums, fee income and investment income) to meet cash requirements with a prudent margin of safety without requiring the sale of our impaired securities.

As of March 31, 2021, the unrealized losses associated with our corporate bond, U.S. government bond, state and municipal bond and foreign government bond securities were attributable primarily to widening credit spreads and rising interest rates since purchase. We performed a detailed analysis of the financial performance of the underlying issuers and determined that we expected to recover the entire amortized cost of each impaired security.

Credit ratings express opinions about the credit quality of a security. Securities rated investment grade (those rated BBB- or higher by S&P Global Ratings (“S&P”) or Baa3 or higher by Moody’s Investors Service (“Moody’s”)) are generally considered by the rating agencies and market participants to be low credit risk. As of March 31, 2021, and December 31, 2020, 96% of the fair value of our corporate bond portfolio was rated investment grade. As of March 31, 2021, and December 31, 2020, the portion of our corporate bond portfolio rated below investment grade had an amortized cost of $4.0 billion and $4.1 billion, respectively, and a fair value of $4.1 billion and $4.2 billion, respectively. Based upon the analysis discussed above, we believe that as of March 31, 2021, and December 31, 2020, we would have recovered the amortized cost of each corporate bond.

As of March 31, 2021, the unrealized losses associated with our mortgage-backed securities and ABS were attributable primarily to widening credit spreads and rising interest rates since purchase. We assessed for credit impairment using a cash flow model that incorporates key assumptions including default rates, severities and prepayment rates. We estimated losses for a security by forecasting the underlying loans in each transaction. The forecasted loan performance was used to project cash flows to the various tranches in the structure, as applicable. Our forecasted cash flows also considered, as applicable, independent industry analyst reports and forecasts and other independent market data. Based upon our assessment of the expected credit losses of the security given the performance of the underlying collateral compared to our subordination or other credit enhancement, we expected to recover the entire amortized cost of each impaired security.

As of March 31, 2021, the unrealized losses associated with our hybrid and redeemable preferred securities were attributable primarily to wider credit spreads caused by illiquidity in the market and subordination within the capital structure, as well as credit risk of underlying issuers. For our hybrid and redeemable preferred securities, we evaluated the financial performance of the underlying issuers based upon credit performance and investment ratings and determined that we expected to recover the entire amortized cost of each impaired security.

Credit Loss Impairment on Fixed Maturity AFS Securities

We regularly review our fixed maturity AFS securities for declines in fair value that we determine to be impairment-related, including those attributable to credit risk factors that may require an allowance for credit losses.

Changes in the allowance for credit losses on fixed maturity AFS securities (in millions), aggregated by investment category, were as follows:



	For the Three
	Months Ended
	March 31, 2021
	Corporate
	Bonds		RMBS		ABS		Total
Balance as of beginning-of-year	$	12	$	1	$	-	$	13
Additions from purchases of PCD debt securities ⁽¹⁾		-		-		-		-
Additions (reductions) for securities for which credit losses
were previously recognized		1		-		-		1
Balance as of end-of-period ⁽²⁾	$	13	$	1	$	-	$	14



	For the Three
	Months Ended
	March 31, 2020
	Corporate
	Bonds		RMBS		ABS		Total
Balance as of beginning-of-year	$	-	$	-	$	-	$	-
Additions for securities for which credit losses were not
previously recognized		20		-		-		20
Additions from purchases of PCD debt securities ⁽¹⁾		-		-		-		-
Balance as of end-of-period ⁽²⁾	$	20	$	-	$	-	$	20

⁽¹⁾Represents purchased credit-deteriorated (“PCD”) fixed maturity AFS securities.

⁽²⁾Accrued interest receivable on fixed maturity AFS securities totaled $1.1 billion and $1.0 billion as of March 31, 2021 and 2020, respectively, and was excluded from the estimate of credit losses.

Mortgage Loans on Real Estate

The following provides the current and past due composition of our mortgage loans on real estate (in millions):



	As of March 31, 2021									As of December 31, 2020
	Commercial			Residential			Total			Commercial			Residential			Total
Current	$	16,674		$	666		$	17,340		$	16,245		$	610		$	16,855
30 to 59 days past due		6			26			32			4			28			32
60 to 89 days past due		-			8			8			-			8			8
90 or more days past due		-			55			55			-			69			69
Allowance for credit losses		(172	)		(12	)		(184	)		(187	)		(17	)		(204	)
Unamortized premium (discount)		(13	)		23			10			(14	)		22			8
Mark-to-market gains (losses) ⁽¹⁾		(6	)		-			(6	)		(5	)		-			(5	)
Total carrying value	$	16,489		$	766		$	17,255		$	16,043		$	720		$	16,763

⁽¹⁾Represents the mark-to-market on certain mortgage loans on real estate for which we have elected the fair value option. See Note 13 for additional information.

‎

Our commercial mortgage loan portfolio has the largest concentrations in California, which accounted for 25% and 24% of commercial mortgage loans on real estate as of March 31, 2021, and December 31, 2020, respectively, and Texas, which accounted for 10% of commercial mortgage loans on real estate as of March 31, 2021, and December 31, 2020.

Our residential mortgage loan portfolio has the largest concentrations in California, which accounted for 28% and 32% of residential mortgage loans on real estate as of March 31, 2021, and December 31, 2020, respectively, and Florida, which accounted for 19% and 18% of residential mortgage loans on real estate as of March 31, 2021, and December 31, 2020, respectively.

As of March 31, 2021, and December 31, 2020, we had 113 and 147 residential mortgage loans, respectively, that were either delinquent or in foreclosure.

For our commercial mortgage loans, there were nine specifically identified impaired loans with an aggregate carrying value of $3 million as of March 31, 2021. There were four specifically identified impaired loans with an aggregate carrying value of $1 million as of December 31, 2020.

For our residential mortgage loans, there were 74 specifically identified impaired loans with an aggregate carrying value of $34 million as of March 31, 2021. There were 76 specifically identified impaired loans with an aggregate carrying value of $34 million as of December 31, 2020.

Additional information related to impaired mortgage loans on real estate (in millions) was as follows:



	For the Three
	Months Ended
	March 31,
	2021		2020
Average carrying value for impaired mortgage loans on real estate	$	36	$	3
Interest income recognized on impaired mortgage loans on real estate		-		-
Interest income collected on impaired mortgage loans on real estate		-		-

The amortized cost of mortgage loans on real estate on nonaccrual status (in millions) was as follows:


	As of March 31, 2021				As of December 31, 2020
	Nonaccrual				Nonaccrual
	with no				with no
	Allowance				Allowance
	for Credit				for Credit
	Losses		Nonaccrual		Losses		Nonaccrual
Commercial mortgage loans on real estate	$	-	$	-	$	-	$	-
Residential mortgage loans on real estate		-		57		-		71
Total	$	-	$	57	$	-	$	71

We use loan-to-value and debt-service coverage ratios as credit quality indicators for our commercial mortgage loans on real estate. The amortized cost of commercial mortgage loans on real estate (dollars in millions) by year of origination and credit quality indicator was as follows:



	As of March 31, 2021
			Debt-			Debt-			Debt-
			Service			Service			Service
	Less		Coverage	65%		Coverage	Greater		Coverage
	than 65%		Ratio	to 74%		Ratio	than 75%		Ratio	Total
Origination Year
2021	$	679	2.99	$	25	1.95	$	-	-	$	704
2020		1,371	3.02		109	1.47		40	2.21		1,520
2019		3,050	2.21		318	1.96		25	1.79		3,393
2018		2,338	2.15		218	1.55		15	0.76		2,571
2017		1,753	2.34		153	1.74		27	0.67		1,933
2016 and prior		6,253	2.39		263	1.75		30	1.40		6,546
Total	$	15,444		$	1,086		$	137		$	16,667

	As of December 31, 2020
			Debt-			Debt-			Debt-
			Service			Service			Service
	Less		Coverage	65%		Coverage	Greater		Coverage
	than 65%		Ratio	to 74%		Ratio	than 75%		Ratio	Total
Origination Year
2020	$	1,504	2.86	$	32	1.52	$	-	-	$	1,536
2019		3,141	2.25		258	1.78		2	1.74		3,401
2018		2,382	2.16		186	1.49		15	0.71		2,583
2017		1,786	2.34		169	1.73		-	-		1,955
2016		1,713	2.37		174	1.56		22	1.58		1,909
2015 and prior		4,710	2.38		133	1.95		8	1.02		4,851
Total	$	15,236		$	952		$	47		$	16,235

We use loan performance status as the primary credit quality indicator for our residential mortgage loans on real estate. The amortized cost of residential mortgage loans on real estate (in millions) by year of origination and credit quality indicator was as follows:



	As of March 31, 2021
	Performing		Nonperforming			Total
Origination Year
2021	$	71		$	-	$	71
2020		197			6		203
2019		295			42		337
2018		158			9		167
2017		-			-		-
2016 and prior		-			-		-
Total	$	721		$	57	$	778



	As of December 31, 2020
	Performing		Nonperforming			Total
Origination Year
2020	$	176		$	8	$	184
2019		315			51		366
2018		175			12		187
2017		-			-		-
2016		-			-		-
2015 and prior		-			-		-
Total	$	666		$	71	$	737

Credit Losses on Mortgage Loans on Real Estate

In connection with our recognition of an allowance for credit losses for mortgage loans on real estate, we perform a quantitative analysis using a probability of default/loss given default/exposure at default approach to estimate expected credit losses in our mortgage loan portfolio as well as unfunded commitments related to commercial mortgage loans, exclusive of certain mortgage loans held at fair value.

Changes in the allowance for credit losses on mortgage loans on real estate (in millions) were as follows:



	For the Three
	Months Ended
	March 31, 2021
	Commercial			Residential			Total
Balance as of beginning-of-year	$	187		$	17		$	204
Additions from provision for credit loss expense ⁽¹⁾		4			2			6
Additions from purchases of PCD mortgage loans on real estate		-			-			-
Additions (reductions) for mortgage loans on real estate for which credit
losses were previously recognized ⁽¹⁾		(19	)		(7	)		(26	)
Balance as of end-of-period ⁽²⁾	$	172		$	12		$	184



	For the Three
	Months Ended
	March 31, 2020
	Commercial		Residential		Total
Balance as of beginning-of-year	$	-	$	2	$	2
Impact of new accounting standard		62		26		88
Additions from provision for credit loss expense ⁽³⁾		64		7		71
Additions from purchases of PCD mortgage loans on real estate		-		-		-
Balance as of end-of-period ⁽²⁾	$	126	$	35	$	161

⁽¹⁾Due to improving economic projections, the provision for credit loss expense decreased by $20 million for the three months ended March 31, 2021. For the three months ended March 31, 2021, we recognized $4 million of credit loss benefit related to unfunded commitments for mortgage loans on real estate.

⁽²⁾Accrued interest receivable on mortgage loans on real estate totaled $51 million and $50 million as of March 31, 2021 and 2020, respectively, and was excluded from the estimate of credit losses.

⁽³⁾Due to changes in economic projections driven by the impact of the COVID-19 pandemic, the provision for credit loss expense increased by $71 million for the three months ended March 31, 2020. For the three months ended March 31, 2020, we recognized $1 million of credit loss benefit related to unfunded commitments for mortgage loans on real estate.

Alternative Investments

As of March 31, 2021, and December 31, 2020, alternative investments included investments in 279 and 271 different partnerships, respectively, and represented approximately 1% of total investments.

Impairments on Fixed Maturity AFS Securities

Details underlying credit loss expense incurred as a result of impairments that were recognized in net income (loss) and included in realized gain (loss) on fixed maturity AFS securities (in millions) were as follows:



	For the Three
	Months Ended
	March 31,
	2021			2020
Credit Loss Expense
Fixed maturity AFS securities:
Corporate bonds	$	(2	)	$	(20	)
RMBS		-			-
ABS		-			-
Gross credit loss expense		(2	)		(20	)
Associated amortization of DAC, VOBA, DSI and DFEL ⁽¹⁾		-			-
Net credit loss expense	$	(2	)	$	(20	)

⁽¹⁾Deferred acquisition costs (“DAC”), value of business acquired (“VOBA”), deferred sales inducements (“DSI”) and deferred front-end loads (“DFEL”).

Payables for Collateral on Investments

The carrying value of the payables for collateral on investments included on our Consolidated Balance Sheets and the fair value of the related investments or collateral (in millions) consisted of the following:



	As of March 31, 2021				As of December 31, 2020
	Carrying		Fair		Carrying		Fair
	Value		Value		Value		Value
Collateral payable for derivative investments ⁽¹⁾	$	3,222	$	3,222	$	2,976	$	2,976
Securities pledged under securities lending agreements ⁽²⁾		145		140		116		112
Investments pledged for Federal Home Loan Bank of
Indianapolis (“FHLBI”)⁽³⁾		4,230		6,819		3,130		5,049
Total payables for collateral on investments	$	7,597	$	10,181	$	6,222	$	8,137

⁽¹⁾We obtain collateral based upon contractual provisions with our counterparties. These agreements take into consideration the counterparties’ credit rating as compared to ours, the fair value of the derivative investments and specified thresholds that if exceeded result in the receipt of cash that is typically invested in cash and invested cash. See Note 5 for additional information.

⁽²⁾Our pledged securities under securities lending agreements are included in fixed maturity AFS securities on our Consolidated Balance Sheets. We generally obtain collateral in an amount equal to 102% and 105% of the fair value of the domestic and foreign securities, respectively. We value collateral daily and obtain additional collateral when deemed appropriate. The cash received in our securities lending program is typically invested in cash and invested cash or fixed maturity AFS securities.

⁽³⁾Our pledged investments for FHLBI are included in fixed maturity AFS securities and mortgage loans on real estate on our Consolidated Balance Sheets. The collateral requirements are generally 105% to 115% of the fair value for fixed maturity AFS securities and 155% to 175% of the fair value for mortgage loans on real estate. The cash received in these transactions is primarily invested in cash and invested cash or fixed maturity AFS securities.

We have repurchase agreements through which we can obtain liquidity by pledging securities. The collateral requirements are generally 80% to 95% of the fair value of the securities, and our agreements with third parties contain contractual provisions to allow for additional collateral to be obtained when necessary. The cash received in our repurchase program is typically invested in fixed maturity AFS securities. As of March 31, 2021, and December 31, 2020, we were not participating in any open repurchase agreements.

Increase (decrease) in payables for collateral on investments (in millions) consisted of the following:

We have elected not to offset our securities lending transactions in our consolidated financial statements. The remaining contractual maturities of securities lending transactions accounted for as secured borrowings (in millions) were as follows:

We accept collateral in the form of securities in connection with repurchase agreements. In instances where we are permitted to sell or re-pledge the securities received, we report the fair value of the collateral received and a related obligation to return the collateral in the financial statements. In addition, we receive securities in connection with securities borrowing agreements that we are permitted to sell or re-pledge. As of March 31, 2021, the fair value of all collateral received that we are permitted to sell or re-pledge was $21 million, and we had not re-pledged any of this collateral to cover initial margin and over-the-counter collateral requirements on certain derivative investments as of March 31, 2021.

As of March 31, 2021, our investment commitments were $2.0 billion, which included $1.1 billion of LPs, $420 million of mortgage loans on real estate and $413 million of private placement securities.

As of March 31, 2021, and December 31, 2020, our most significant investments in one issuer were our investments in securities issued by the Federal Home Loan Mortgage Corporation with a fair value of $1.2 billion, or 1% of total investments, and our investments in securities issued by the Federal National Mortgage Association with a fair value of $1.1 billion and $1.0 billion, respectively, or 1% of total investments. These concentrations include fixed maturity AFS, trading and equity securities.