Investments

3 Months Ended

Mar. 31, 2022

Investments, Debt and Equity Securities [Abstract]

Investments

6. Investments

Fixed Maturity Securities Available-for-Sale

Fixed Maturity Securities Available-for-Sale by Sector

The following table presents fixed maturity securities available-for-sale (“AFS”) by sector. U.S. corporate and foreign corporate sectors include redeemable preferred stock. Residential mortgage-backed securities (“RMBS”) includes agency, prime, alternative and sub-prime mortgage-backed securities. Asset-backed securities and collateralized loan obligations (“ABS & CLO”), previously disclosed as ABS in the 2021 Annual Report, includes securities collateralized by consumer loans, corporate loans and broadly syndicated bank loans. Municipals includes taxable and tax-exempt revenue bonds and, to a much lesser extent, general obligations of states, municipalities and political subdivisions. Commercial mortgage-backed securities (“CMBS”) primarily includes securities collateralized by multiple commercial mortgage loans. RMBS, ABS & CLO and CMBS are, collectively, “Structured Products.”

	March 31, 2022										December 31, 2021
	Amortized Cost				Gross Unrealized (1)				Estimated Fair Value		Amortized Cost				Gross Unrealized (1)				Estimated Fair Value
Sector			Allowance for Credit Loss		Gains		Losses						Allowance for Credit Loss		Gains		Losses
	(In millions)
U.S. corporate	$	84,609	$	(13)	$	4,622	$	2,082	$	87,136	$	82,694	$	(30)	$	10,651	$	281	$	93,034
Foreign corporate	61,061		(102)		2,345		2,175		61,129		59,124		(28)		5,275		731		63,640
Foreign government	55,741		(226)		3,754		1,987		57,282		56,848		(19)		5,603		823		61,609
U.S. government and agency	38,166		—		3,312		1,144		40,334		41,068		—		5,807		276		46,599
RMBS	30,541		—		663		1,124		30,080		29,152		—		1,440		188		30,404
ABS & CLO	19,640		—		59		394		19,305		18,443		—		185		59		18,569
Municipals	12,109		—		1,247		398		12,958		11,761		—		2,464		13		14,212
CMBS	12,005		(14)		143		279		11,855		11,794		(14)		476		49		12,207
Total fixed maturity securities AFS	$	313,872	$	(355)	$	16,145	$	9,583	$	320,079	$	310,884	$	(91)	$	31,901	$	2,420	$	340,274

_________________

(1)Excludes gross unrealized gains (losses) related to assets held-for-sale; these unrealized gains (losses) are included in AOCI as no component of equity is held-for-sale. See Note 3 for information on the Company’s business dispositions.

The Company held non-income producing fixed maturity securities AFS with an estimated fair value of $176 million and $22 million at March 31, 2022 and December 31, 2021, respectively, with unrealized gains (losses) of $8 million at both March 31, 2022 and December 31, 2021.

Maturities of Fixed Maturity Securities AFS

The amortized cost, net of allowance for credit loss (“ACL”) and estimated fair value of fixed maturity securities AFS, by contractual maturity date, were as follows at March 31, 2022:

	Due in One Year or Less		Due After One Year Through Five Years		Due After Five Years Through Ten Years		Due After Ten Years		Structured Products		Total Fixed Maturity Securities AFS
	(In millions)
Amortized cost, net of ACL	$	8,804	$	53,049	$	57,391	$	132,101	$	62,172	$	313,517
Estimated fair value	$	8,866	$	53,469	$	58,818	$	137,686	$	61,240	$	320,079

Actual maturities may differ from contractual maturities due to the exercise of call or prepayment options. Fixed maturity securities AFS not due at a single maturity date have been presented in the year of final contractual maturity. Structured Products are shown separately, as they are not due at a single maturity.

Continuous Gross Unrealized Losses for Fixed Maturity Securities AFS by Sector

The following table presents the estimated fair value and gross unrealized losses of fixed maturity securities AFS in an unrealized loss position without an ACL by sector and aggregated by length of time that the securities have been in a continuous unrealized loss position.

	March 31, 2022								December 31, 2021
	Less than 12 Months				Equal to or Greater than 12 Months				Less than 12 Months				Equal to or Greater than 12 Months
Sector & Credit Quality	Estimated Fair Value		Gross Unrealized Losses (1)		Estimated Fair Value		Gross Unrealized Losses (1)		Estimated Fair Value		Gross Unrealized Losses (1)		Estimated Fair Value		Gross Unrealized Losses (1)
	(Dollars in millions)
U.S. corporate	$	28,039	$	1,726	$	2,560	$	355	$	8,076	$	165	$	1,499	$	116
Foreign corporate	24,694		1,679		3,465		487		10,011		404		2,834		327
Foreign government	14,173		886		6,360		1,071		7,812		319		5,377		502
U.S. government and agency	16,795		724		2,225		420		14,419		138		1,571		138
RMBS	16,253		889		2,143		235		10,363		158		417		30
ABS & CLO	14,605		347		1,127		47		8,150		39		804		20
Municipals	4,175		382		84		16		524		10		65		3
CMBS	6,447		240		757		39		2,664		31		657		18
Total fixed maturity securities AFS	$	125,181	$	6,873	$	18,721	$	2,670	$	62,019	$	1,264	$	13,224	$	1,154
Investment grade	$	118,393	$	6,493	$	17,480	$	2,498	$	58,358	$	1,123	$	12,022	$	1,025
Below investment grade	6,788		380		1,241		172		3,661		141		1,202		129
Total fixed maturity securities AFS	$	125,181	$	6,873	$	18,721	$	2,670	$	62,019	$	1,264	$	13,224	$	1,154
Total number of securities in an unrealized loss position	10,263				1,652				4,774				979

________________

(1)Excludes gross unrealized losses related to assets held-for-sale; these unrealized losses are included in AOCI as no component of equity is held-for-sale. See Note 3 for information on the Company’s business dispositions.

Evaluation of Fixed Maturity Securities AFS for Credit Loss

Evaluation and Measurement Methodologies

Management considers a wide range of factors about the security issuer and uses its best judgment in evaluating the cause of the decline in the estimated fair value of the security and in assessing the prospects for near-term recovery. Inherent in management’s evaluation of the security are assumptions and estimates about the operations of the issuer and its future earnings potential. Considerations used in the credit loss evaluation process include, but are not limited to: (i) the extent to which the estimated fair value has been below amortized cost, (ii) adverse conditions specifically related to a security, an industry sector or sub-sector, or an economically depressed geographic area, adverse change in the financial condition of the issuer of the security, changes in technology, discontinuance of a segment of the business that may affect future earnings, and changes in the quality of credit enhancement, (iii) payment structure of the security and likelihood of the issuer being able to make payments, (iv) failure of the issuer to make scheduled interest and principal payments, (v) whether the issuer, or series of issuers or an industry has suffered a catastrophic loss or has exhausted natural resources, (vi) whether the Company has the intent to sell or will more likely than not be required to sell a particular security before the decline in estimated fair value below amortized cost recovers, (vii) with respect to Structured Products, changes in forecasted cash flows after considering the changes in the financial condition of the underlying loan obligors and quality of underlying collateral, expected prepayment speeds, current and forecasted loss severity, consideration of the payment terms of the underlying assets backing a particular security, and the payment priority within the tranche structure of the security, (viii) changes in the rating of the security by a rating agency, and (ix) other subjective factors, including concentrations and information obtained from regulators.

The methodology and significant inputs used to determine the amount of credit loss are as follows:

•The Company calculates the recovery value by performing a discounted cash flow analysis based on the present value of future cash flows. The discount rate is generally the effective interest rate of the security at the time of purchase for fixed-rate securities and the spot rate at the date of evaluation of credit loss for floating-rate securities.

•When determining collectability and the period over which value is expected to recover, the Company applies considerations utilized in its overall credit loss evaluation process which incorporates information regarding the specific security, fundamentals of the industry and geographic area in which the security issuer operates, and overall macroeconomic conditions. Projected future cash flows are estimated using assumptions derived from management’s single best estimate, the most likely outcome in a range of possible outcomes, after giving consideration to a variety of variables that include, but are not limited to: payment terms of the security; the likelihood that the issuer can service the interest and principal payments; the quality and amount of any credit enhancements; the security’s position within the capital structure of the issuer; possible corporate restructurings or asset sales by the issuer; any private and public sector programs to restructure foreign government securities and municipals; and changes to the rating of the security or the issuer by rating agencies.

•Additional considerations are made when assessing the unique features that apply to certain Structured Products including, but not limited to: the quality of underlying collateral, historical performance of the underlying loan obligors, historical rent and vacancy levels, changes in the financial condition of the underlying loan obligors, expected prepayment speeds, current and forecasted loss severity, consideration of the payment terms of the underlying loans or assets backing a particular security, changes in the quality of credit enhancement and the payment priority within the tranche structure of the security.

With respect to securities that have attributes of debt and equity (“perpetual hybrid securities”), consideration is given in the credit loss analysis as to whether there has been any deterioration in the credit of the issuer and the likelihood of recovery in value of the securities that are in a severe unrealized loss position. Consideration is also given as to whether any perpetual hybrid securities with an unrealized loss, regardless of credit rating, have deferred any dividend payments.

In periods subsequent to the recognition of an initial ACL on a security, the Company reassesses credit loss quarterly. Subsequent increases or decreases in the expected cash flow from the security result in corresponding decreases or increases in the ACL which are recognized in earnings and reported within net investment gains (losses); however, the previously recorded ACL is not reduced to an amount below zero. Full or partial write-offs are deducted from the ACL in the period the security, or a portion thereof, is considered uncollectible. Recoveries of amounts previously written off are recorded to the ACL in the period received. When the Company has the intent-to-sell the security or it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost, any ACL is written off and the amortized cost is written down to estimated fair value through a charge within net investment gains (losses), which becomes the new amortized cost of the security.

Evaluation of Fixed Maturity Securities AFS in an Unrealized Loss Position

Gross unrealized losses on securities without an ACL increased $7.1 billion for the three months ended March 31, 2022 to $9.5 billion primarily due to increases in interest rates, widening credit spreads, and, to a lesser extent, the impact of weakening foreign currencies on certain non-functional currency denominated fixed maturity securities.

Gross unrealized losses on securities without an ACL that have been in a continuous gross unrealized loss position for 12 months or greater were $2.7 billion at March 31, 2022, or 28% of the total gross unrealized losses on securities without an ACL.

Investment Grade Fixed Maturity Securities AFS

Of the $2.7 billion of gross unrealized losses on securities without an ACL that have been in a continuous gross unrealized loss position for 12 months or greater, $2.5 billion, or 93%, were related to 1,462 investment grade securities. Unrealized losses on investment grade securities are principally related to widening credit spreads since purchase and, with respect to fixed-rate securities, rising interest rates since purchase.

Below Investment Grade Fixed Maturity Securities AFS

Of the $2.7 billion of gross unrealized losses on securities without an ACL that have been in a continuous gross unrealized loss position for 12 months or greater, $172 million, or 7%, were related to 190 below investment grade securities. Unrealized losses on below investment grade securities are principally related to U.S. corporate and foreign corporate securities (primarily industrial and consumer) and foreign government securities. These unrealized losses are the result of significantly wider credit spreads resulting from higher risk premiums since purchase, largely due to economic and market uncertainty, as well as, with respect to fixed-rate securities, rising interest rates since purchase. Management evaluates U.S. corporate and foreign corporate securities based on several factors such as expected cash flows, financial condition and near-term and long-term prospects of the issuers. Management evaluates foreign government securities based on factors impacting the issuers such as expected cash flows, financial condition of the issuers and any country specific economic conditions or public sector programs to restructure foreign government securities.

Current Period Evaluation

At March 31, 2022, with respect to securities in an unrealized loss position without an ACL, the Company did not intend to sell these securities, and it was not more likely than not that the Company would be required to sell these securities before the anticipated recovery of the remaining amortized cost. Based on the Company’s current evaluation of its securities in an unrealized loss position without an ACL, the Company concluded that these securities had not incurred a credit loss and should not have an ACL at March 31, 2022.

Future provisions for credit loss will depend primarily on economic fundamentals, issuer performance (including changes in the present value of future cash flows expected to be collected), changes in credit ratings and collateral valuation.

Rollforward of Allowance for Credit Loss for Fixed Maturity Securities AFS By Sector

The rollforward of ACL for fixed maturity securities AFS by sector is as follows:

	U.S.  Corporate		Foreign Corporate		Foreign Government		CMBS		Total
Three Months Ended March 31, 2022	(In millions)
Balance, at beginning of period	$	30	$	28	$	19	$	14	$	91
Additions:
ACL not previously recorded	13		67		207		—		287
Changes for securities with previously recorded ACL	—		7		—		—		7
Reductions:
Securities sold or exchanged	(8)		—		—		—		(8)
Write-offs	(22)		—		—		—		(22)
Balance, at end of period	$	13	$	102	$	226	$	14	$	355
Three Months Ended March 31, 2021
Balance, at beginning of period	$	44	$	16	$	21	$	—	$	81
Additions:
ACL not previously recorded	—		21		—		7		28
Reductions:
Changes for securities with previously recorded ACL	(1)		(4)		—		—		(5)
Securities sold or exchanged	—		—		—		—		—
Write-offs	—		—		—		—		—
Balance, at end of period	$	43	$	33	$	21	$	7	$	104

Equity Securities

The following table presents equity securities by security type. Common stock includes common stock, exchange traded funds, mutual funds and real estate investment trusts.

	March 31, 2022						December 31, 2021
	Cost		Net Unrealized Gains (Losses) (1)		Estimated Fair Value		Cost		Net Unrealized Gains (Losses) (1)		Estimated Fair Value
Security Type
			(In millions)
Common stock	$	550	$	272	$	822	$	784	$	295	$	1,079
Non-redeemable preferred stock	169		(3)		166		189		1		190
Total	$	719	$	269	$	988	$	973	$	296	$	1,269

________________

(1)Represents cumulative changes in estimated fair value, recognized in earnings, and not in Other Comprehensive Income (Loss) (“OCI”).

Contractholder-Directed Equity Securities and FVO Securities

The following table presents these investments by asset type. Contractholder-directed investments supporting unit-linked variable annuity type liabilities (“Unit-linked investments”) are primarily equity securities (including mutual funds) and, to a lesser extent, fixed income investments and cash and cash equivalents.

	March 31, 2022						December 31, 2021
	Cost or Amortized Cost		Net Unrealized Gains (Losses) (1)		Estimated Fair Value		Cost or Amortized Cost		Net Unrealized Gains (Losses) (1)		Estimated Fair Value
Asset Type
			(Dollars in millions)
Unit-linked investments	$	8,509	$	1,332	$	9,841	$	8,643	$	1,897	$	10,540
FVO Securities	1,261		316		1,577		1,243		359		1,602
Total	$	9,770	$	1,648	$	11,418	$	9,886	$	2,256	$	12,142

________________

(1)Represents cumulative changes in estimated fair value, recognized in earnings, and not in OCI.

Mortgage Loans

Mortgage Loans by Portfolio Segment

Mortgage loans are summarized as follows at:

	March 31, 2022				December 31, 2021
Portfolio Segment	Carrying Value		% of Total		Carrying Value		% of Total
	(Dollars in millions)
Commercial	$	51,117	63.9	%	$	50,553	63.7	%
Agricultural	17,882		22.4		18,111		22.8
Residential	11,465		14.4		11,196		14.1
Total amortized cost	80,464		100.7		79,860		100.6
Allowance for credit loss	(615)		(0.8)		(634)		(0.8)
Subtotal mortgage loans, net	79,849		99.9		79,226		99.8
Residential — FVO	119		0.1		127		0.2
Total mortgage loans, net	$	79,968	100.0	%	$	79,353	100.0	%

The Company elects the FVO for certain residential mortgage loans that are managed on a total return basis, with changes in estimated fair value included in net investment income. See Note 8 for further information.

The amount of net (discounts) premiums and deferred (fees) expenses, included within total amortized cost, primarily attributable to residential mortgage loans was ($717) million and ($759) million at March 31, 2022 and December 31, 2021, respectively. The accrued interest income excluded from total amortized cost for commercial, agricultural and residential mortgage loans at March 31, 2022 was $184 million, $124 million and $84 million, respectively. The accrued interest income excluded from total amortized cost for commercial, agricultural and residential mortgage loans at December 31, 2021 was $180 million, $161 million and $86 million, respectively.

Purchases of mortgage loans, consisting primarily of residential mortgage loans, were $841 million and $454 million for the three months ended March 31, 2022 and 2021, respectively.

Rollforward of Allowance for Credit Loss for Mortgage Loans by Portfolio Segment

The rollforward of ACL for mortgage loans, by portfolio segment, is as follows:

	Three Months Ended March 31,
	2022								2021
	Commercial		Agricultural		Residential		Total		Commercial		Agricultural		Residential		Total
	(In millions)
Balance, beginning of period	$	340	$	88	$	206	$	634	$	252	$	106	$	232	$	590
Provision (release)	(12)		15		(21)		(18)		(5)		(14)		(30)		(49)
Charge-offs, net of recoveries	—		—		(1)		(1)		—		(13)		—		(13)
Balance, end of period	$	328	$	103	$	184	$	615	$	247	$	79	$	202	$	528

Allowance for Credit Loss Methodology

The Company records an allowance for expected lifetime credit loss in earnings within net investment gains (losses) in an amount that represents the portion of the amortized cost basis of mortgage loans that the Company does not expect to collect, resulting in mortgage loans being presented at the net amount expected to be collected. In determining the Company’s ACL, management applies significant judgment to estimate expected lifetime credit loss, including: (i) pooling mortgage loans that share similar risk characteristics, (ii) considering expected lifetime credit loss over the contractual term of its mortgage loans adjusted for expected prepayments and any extensions, and (iii) considering past events and current and forecasted economic conditions. Each of the Company’s commercial, agricultural and residential mortgage loan portfolio segments are evaluated separately. The ACL is calculated for each mortgage loan portfolio segment based on inputs unique to each loan portfolio segment. On a quarterly basis, mortgage loans within a portfolio segment that share similar risk characteristics, such as internal risk ratings or consumer credit scores, are pooled for calculation of ACL. On an ongoing basis, mortgage loans with dissimilar risk characteristics (i.e., loans with significant declines in credit quality), collateral dependent mortgage loans (i.e., when the borrower is experiencing financial difficulty, including when foreclosure is reasonably possible or probable) and reasonably expected TDRs (i.e., the Company grants concessions to borrower that is experiencing financial difficulties) are evaluated individually for credit loss. The ACL for loans evaluated individually are established using the same methodologies for all three portfolio segments. For example, the ACL for a collateral dependent loan is established as the excess of amortized cost over the estimated fair value of the loan’s underlying collateral, less selling cost when foreclosure is probable. Accordingly, the change in the estimated fair value of collateral dependent loans, which are evaluated individually for credit loss, is recorded as a change in the ACL which is recorded on a quarterly basis as a charge or credit to earnings in net investment gains (losses).

Commercial and Agricultural Mortgage Loan Portfolio Segments

Commercial and agricultural mortgage loan ACL are calculated in a similar manner. Within each loan portfolio segment, commercial and agricultural, loans are pooled by internal risk rating. Estimated lifetime loss rates, which vary by internal risk rating, are applied to the amortized cost of each loan, excluding accrued investment income, on a quarterly basis to develop the ACL. Internal risk ratings are based on an assessment of the loan’s credit quality, which can change over time. The estimated lifetime loss rates are based on several loan portfolio segment-specific factors, including (i) the Company’s experience with defaults and loss severity, (ii) expected default and loss severity over the forecast period, (iii) current and forecasted economic conditions including growth, inflation, interest rates and unemployment levels, (iv) loan specific characteristics including loan-to-value (“LTV”) ratios, and (v) internal risk ratings. These evaluations are revised as conditions change and new information becomes available. The Company uses its several decades of historical default and loss severity experience which capture multiple economic cycles. The Company uses a forecast of economic assumptions for a two-year period for most of its commercial and agricultural mortgage loans, while a one-year period is used for loans originated in certain markets. After the applicable forecast period, the Company reverts to its historical loss experience using a straight-line basis over two years. For evaluations of commercial mortgage loans, in addition to historical experience, management considers factors that include the impact of a rapid change to the economy, which may not be reflected in the loan portfolio, recent loss and recovery trend experience as compared to historical loss and recovery experience, and loan specific characteristics including debt service coverage ratios (“DSCR”). In estimating expected lifetime credit loss over the term of its commercial mortgage loans, the Company adjusts for expected prepayment and extension experience during the forecast period using historical prepayment and extension experience considering the expected position in the economic cycle and the loan profile (i.e., floating rate, shorter-term fixed rate and longer-term fixed rate) and after the forecast period using long-term historical prepayment experience. For evaluations of agricultural mortgage loans, in addition to historical experience, management considers factors that include increased stress in certain sectors, which may be evidenced by higher delinquency rates, or a change in the number of higher risk loans. In estimating expected lifetime credit loss over the term of its agricultural mortgage loans, the Company’s experience is much less sensitive to the position in the economic cycle and by loan profile; accordingly, historical prepayment experience is used, while extension terms are not prevalent with the Company’s agricultural mortgage loans.

Commercial mortgage loans are reviewed on an ongoing basis, which review includes, but is not limited to, an analysis of the property financial statements and rent roll, lease rollover analysis, property inspections, market analysis, estimated valuations of the underlying collateral, LTV ratios, DSCR and tenant creditworthiness. The monitoring process focuses on higher risk loans, which include those that are classified as restructured, delinquent or in foreclosure, as well as loans with higher LTV ratios and lower DSCR. Agricultural mortgage loans are reviewed on an ongoing basis, which review includes, but is not limited to, property inspections, market analysis, estimated valuations of the underlying collateral, LTV ratios and borrower creditworthiness, as well as reviews on a geographic and property-type basis. The monitoring process for agricultural mortgage loans also focuses on higher risk loans.

For commercial mortgage loans, the primary credit quality indicator is the DSCR, which compares a property’s net operating income to amounts needed to service the principal and interest due under the loan. Generally, the lower the DSCR, the higher the risk of experiencing a credit loss. The Company also reviews the LTV ratio of its commercial mortgage loan portfolio. LTV ratios compare the unpaid principal balance of the loan to the estimated fair value of the underlying collateral. Generally, the higher the LTV ratio, the higher the risk of experiencing a credit loss. The DSCR and the values utilized in calculating the ratio are updated routinely. In addition, the LTV ratio is routinely updated for all but the lowest risk loans as part of the Company’s ongoing review of its commercial mortgage loan portfolio.

For agricultural mortgage loans, the Company’s primary credit quality indicator is the LTV ratio. The values utilized in calculating this ratio are developed in connection with the ongoing review of the agricultural mortgage loan portfolio and are routinely updated.

Commitments to lend: After loans are approved, the Company makes commitments to lend and, typically, borrowers draw down on some or all of the commitments. The timing of mortgage loan funding is based on the commitment expiration dates. A liability for credit loss for unfunded commercial and agricultural mortgage loan commitments that are not unconditionally cancellable is recognized in earnings and is reported within net investment gains (losses). The liability is based on estimated lifetime loss rates as described above and the amount of the outstanding commitments, which for lines of credit, considers estimated utilization rates. When the commitment is funded or expires, the liability is adjusted accordingly.

Residential Mortgage Loan Portfolio Segment

The Company’s residential mortgage loan portfolio is comprised primarily of purchased closed end, amortizing residential mortgage loans, including both performing loans purchased within 12 months of origination and reperforming loans purchased after they have been performing for at least 12 months post-modification. Residential mortgage loans are pooled by loan type (i.e., new origination and reperforming) and pooled by similar risk profiles (including consumer credit score and LTV ratios). Estimated lifetime loss rates, which vary by loan type and risk profile, are applied to the amortized cost of each loan excluding accrued investment income on a quarterly basis to develop the ACL. The estimated lifetime loss rates are based on several factors, including (i) industry historical experience and expected results over the forecast period for defaults, (ii) loss severity, (iii) prepayment rates, (iv) current and forecasted economic conditions including growth, inflation, interest rates and unemployment levels, and (v) loan pool specific characteristics including consumer credit scores, LTV ratios, payment history and home prices. These evaluations are revised as conditions change and new information becomes available. The Company uses industry historical experience which captures multiple economic cycles as the Company has purchased most of its residential mortgage loans in the last five years. The Company uses a forecast of economic assumptions for a two-year period for most of its residential mortgage loans. After the applicable forecast period, the Company immediately reverts to industry historical loss experience.

For residential mortgage loans, the Company’s primary credit quality indicator is whether the loan is performing or nonperforming. The Company generally defines nonperforming residential mortgage loans as those that are 60 or more days past due and/or in nonaccrual status which is assessed monthly. Generally, nonperforming residential mortgage loans have a higher risk of experiencing a credit loss.

Credit Quality of Mortgage Loans by Portfolio Segment

The amortized cost of commercial mortgage loans by credit quality indicator and vintage year was as follows at March 31, 2022:

Credit Quality Indicator	2022		2021		2020		2019		2018		Prior		Revolving Loans		Total		% of Total
	(Dollars in millions)
LTV ratios:
Less than 65%	$	1,134	$	5,671	$	4,841	$	5,306	$	5,547	$	14,767	$	2,300	$	39,566	77.4	%
65% to 75%	528		1,528		744		2,577		1,404		2,177		—		8,958		17.5
76% to 80%	5		29		52		411		201		309		—		1,007		2.0
Greater than 80%	8		—		—		4		79		1,495		—		1,586		3.1
Total	$	1,675	$	7,228	$	5,637	$	8,298	$	7,231	$	18,748	$	2,300	$	51,117	100.0	%
DSCR:
> 1.20x	$	1,652	$	6,503	$	5,325	$	7,582	$	6,689	$	15,547	$	2,300	$	45,598	89.2	%
1.00x - 1.20x	—		297		18		76		258		907		—		1,556		3.0
<1.00x	23		428		294		640		284		2,294		—		3,963		7.8
Total	$	1,675	$	7,228	$	5,637	$	8,298	$	7,231	$	18,748	$	2,300	$	51,117	100.0	%

The amortized cost of agricultural mortgage loans by credit quality indicator and vintage year was as follows at March 31, 2022:

Credit Quality Indicator	2022		2021		2020		2019		2018		Prior		Revolving Loans		Total		% of Total
	(Dollars in millions)
LTV ratios:
Less than 65%	$	437	$	2,524	$	2,765	$	1,790	$	2,497	$	4,855	$	1,045	$	15,913	89.0	%
65% to 75%	100		328		377		233		116		602		82		1,838		10.3
76% to 80%	—		—		—		—		—		11		—		11		—
Greater than 80%	—		—		—		76		—		42		2		120		0.7
Total	$	537	$	2,852	$	3,142	$	2,099	$	2,613	$	5,510	$	1,129	$	17,882	100.0	%

The amortized cost of residential mortgage loans by credit quality indicator and vintage year was as follows at March 31, 2022:

Credit Quality Indicator	2022		2021		2020		2019		2018		Prior		Revolving Loans		Total		% of Total
	(Dollars in millions)
Performance indicators:
Performing	$	238	$	1,296	$	421	$	1,125	$	530	$	7,305	$	—	$	10,915	95.2	%
Nonperforming (1)	—		3		9		62		22		454		—		550		4.8
Total	$	238	$	1,299	$	430	$	1,187	$	552	$	7,759	$	—	$	11,465	100.0	%

__________________

(1)Includes residential mortgage loans in process of foreclosure of $80 million and $70 million at March 31, 2022 and December 31, 2021, respectively.

LTV ratios compare the unpaid principal balance of the loan to the estimated fair value of the underlying collateral. The amortized cost of commercial and agricultural mortgage loans with an LTV ratio in excess of 100% was $808 million, or 1% of total commercial and agricultural mortgage loans, at March 31, 2022.

Past Due and Nonaccrual Mortgage Loans

The Company has a high quality, well performing mortgage loan portfolio, with 99% of all mortgage loans classified as performing at both March 31, 2022 and December 31, 2021. The Company defines delinquency consistent with industry practice, when mortgage loans are past due more than two or more months, as applicable, by portfolio segment. The past due and nonaccrual mortgage loans at amortized cost, prior to ACL, by portfolio segment, were as follows:

	Past Due				Greater than 90 Days Past Due  and Still Accruing Interest				Nonaccrual
Portfolio Segment	March 31, 2022		December 31, 2021		March 31, 2022		December 31, 2021		March 31, 2022		December 31, 2021
	(In millions)
Commercial	$	3	$	13	$	3	$	13	$	155	$	155
Agricultural	169		124		61		16		225		225
Residential	550		450		13		8		537		442
Total	$	722	$	587	$	77	$	37	$	917	$	822

The amortized cost for nonaccrual commercial, agricultural and residential mortgage loans at beginning of year 2021 was $317 million, $266 million and $534 million, respectively. The amortized cost for nonaccrual agricultural mortgage loans with no ACL was $134 million at both March 31, 2022 and December 31, 2021. There were no nonaccrual commercial or residential mortgage loans without an ACL at either March 31, 2022 or December 31, 2021.

Real Estate and Real Estate Joint Ventures

The Company’s real estate investment portfolio is diversified by property type, geography and income stream, including income from operating leases, operating income and equity in earnings from equity method real estate joint ventures. Real estate investments, by income type, as well as income earned, were as follows at and for the periods indicated:

	March 31, 2022		December 31, 2021		Three Months Ended March 31,
					2022		2021
Income Type	Carrying Value				Income
	(In millions)
Leased real estate investments	$	5,028	$	5,146	$	106	$	111
Other real estate investments	473		474		32		42
Real estate joint ventures	6,878		6,596		190		23
Total real estate and real estate joint ventures	$	12,379	$	12,216	$	328	$	176

The carrying value of real estate investments acquired through foreclosure was $181 million at both March 31, 2022 and December 31, 2021. Depreciation expense on real estate investments was $28 million and $30 million for the three months ended March 31, 2022 and 2021, respectively. Real estate investments were net of accumulated depreciation of $901 million and $883 million at March 31, 2022 and December 31, 2021, respectively.

Leases

Leased Real Estate Investments - Operating Leases

The Company, as lessor, leases investment real estate, principally commercial real estate for office and retail use, through a variety of operating lease arrangements, which typically include tenant reimbursement for property operating costs and options to renew or extend the lease. In some circumstances, leases may include an option for the lessee to purchase the property. In addition, certain leases of retail space may stipulate that a portion of the income earned is contingent upon the level of the tenants’ revenues. The Company has elected a practical expedient of not separating non-lease components related to reimbursement of property operating costs from associated lease components. These property operating costs have the same timing and pattern of transfer as the related lease component, because they are incurred over the same period of time as the operating lease. Therefore, the combined component is accounted for as a single operating lease. Risk is managed through lessee credit analysis, property type diversification, and geographic diversification.

See Note 8 of the Notes to the Consolidated Financial Statements included in the 2021 Annual Report for a summary of leased real estate investments and income earned, by property type.

Leveraged and Direct Financing Leases

The Company has diversified leveraged and direct financing lease portfolios. Its leveraged leases principally include renewable energy generation facilities, rail cars, commercial real estate and commercial aircraft, and its direct financing leases principally include commercial real estate. These assets are leased through a variety of lease arrangements, which may include options to renew or extend the lease and options for the lessee to purchase the property. Residual values are estimated using available third-party data at inception of the lease. Risk is managed through lessee credit analysis, asset allocation, geographic diversification, and ongoing reviews of estimated residual values, using available third-party data and, in certain leases, linking the amount of future rental receipts to changes in inflation rates. Generally, estimated residual values are not guaranteed by the lessee or a third-party.

Lease receivables are generally due in periodic installments. The payment periods for leveraged leases generally range from one to 10 years, but in certain circumstances can be over 10 years, while the payment periods for direct financing leases generally range from one to 25 years but in certain circumstances can be over 25 years.

The Company records an allowance for expected lifetime credit loss in earnings within investment gains (losses) in an amount that represents the portion of the investment in leases that the Company does not expect to collect, resulting in the investment in leases being presented at the net amount expected to be collected. In determining the ACL, management applies significant judgment to estimate expected lifetime credit loss, including: (i) pooling leases that share similar risk characteristics, (ii) considering expected lifetime credit loss over the contractual term of the lease, and (iii) considering past events and current and forecasted economic conditions. Leases with dissimilar risk characteristics are evaluated individually for credit loss. Expected lifetime credit loss on leveraged lease receivables is estimated using a probability of default and loss given default model, where the probability of default incorporates third party credit ratings of the lessee and the related historical default data. Direct financing leases principally relate to leases of commercial real estate; accordingly, expected lifetime credit loss is estimated on such lease receivables consistent with the methodology for commercial mortgage loans (see “— Mortgage Loans — Allowance for Credit Loss Methodology”). The Company also assesses the non-guaranteed residual values for recoverability by comparison to the current estimated fair value of the leased asset and considers other relevant market information such as independent third-party forecasts, consulting, asset brokerage and investment banking reports and data, comparable market transactions, and factors such as the competitive dynamics impacting specific industries, technological change and obsolescence, government and regulatory rules, tax policy, potential environmental liabilities and litigation.

The investment in leveraged and direct financing leases, net of ACL, was $776 million and $1.2 billion, respectively, at March 31, 2022 and $787 million and $1.1 billion, respectively, at December 31, 2021. The ACL for leveraged and direct financing leases was $37 million and $40 million at March 31, 2022 and December 31, 2021, respectively.

Cash Equivalents

Cash equivalents, which includes securities and other investments with an original or remaining maturity of three months or less at the time of purchase, was $13.4 billion and $9.0 billion, principally at estimated fair value, at March 31, 2022 and December 31, 2021, respectively.

Net Unrealized Investment Gains (Losses)

Unrealized investment gains (losses) on fixed maturity securities AFS and derivatives and the effect on policyholder liabilities, DAC, VOBA and deferred sales inducements (“DSI”) that would result from the realization of the unrealized gains (losses), are included in net unrealized investment gains (losses) in AOCI.

The components of net unrealized investment gains (losses), included in AOCI, were as follows:

	March 31, 2022		December 31, 2021
	(In millions)
Fixed maturity securities AFS	$	6,413	$	29,461
Derivatives	1,861		2,061
Other	337		389
Subtotal	8,611		31,911
Amounts allocated from:
Policyholder liabilities	(427)		(4,978)
DAC, VOBA and DSI	(743)		(3,208)
Subtotal	(1,170)		(8,186)
Deferred income tax benefit (expense)	(2,237)		(6,031)
Net unrealized investment gains (losses)	5,204		17,694
Net unrealized investment gains (losses) attributable to noncontrolling interests	(22)		(23)
Net unrealized investment gains (losses) attributable to MetLife, Inc.	$	5,182	$	17,671

The changes in net unrealized investment gains (losses) were as follows:

	Three Months Ended March 31, 2022
	(In millions)
Balance, beginning of period	$	17,671
Unrealized investment gains (losses) during the period	(23,300)
Unrealized investment gains (losses) relating to:
Policyholder liabilities	4,551
DAC, VOBA and DSI	2,465
Deferred income tax benefit (expense)	3,794
Net unrealized investment gains (losses)	5,181
Net unrealized investment gains (losses) attributable to noncontrolling interests	1
Balance, end of period	$	5,182
Change in net unrealized investment gains (losses)	$	(12,490)
Change in net unrealized investment gains (losses) attributable to noncontrolling interests	1
Change in net unrealized investment gains (losses) attributable to MetLife, Inc.	$	(12,489)

Concentrations of Credit Risk

Investments in any counterparty that were greater than 10% of the Company’s equity, other than the U.S. government and its agencies, at estimated fair value at March 31, 2022 and December 31, 2021, were in fixed income securities of the Japanese government and its agencies of $30.1 billion and $32.7 billion, respectively, and in fixed income securities of the South Korean government and its agencies of $6.5 billion and $7.1 billion, respectively.

Securities Lending Transactions and Repurchase Agreements

Securities, Collateral and Reinvestment Portfolio

A summary of these transactions and agreements accounted for as secured borrowings were as follows:

		March 31, 2022						December 31, 2021
		Securities (1)						Securities (1)
Agreement Type		Estimated Fair Value		Cash Collateral Received from Counterparties (2)		Reinvestment Portfolio at Estimated Fair Value		Estimated Fair Value		Cash Collateral Received from Counterparties (2)		Reinvestment Portfolio at Estimated Fair Value
	(In millions)
Securities lending		$	20,687	$	21,077	$	20,900	$	20,654	$	21,055	$	21,319
Repurchase agreements		$	3,392	$	3,325	$	3,288	$	3,416	$	3,325	$	3,357

__________________

(1)These securities were included within fixed maturity securities AFS, short-term investments and cash equivalents at March 31, 2022 and within fixed maturity securities AFS at December 31, 2021.

(2)The liability for cash collateral is included within payables for collateral under securities loaned and other transactions.

Contractual Maturities

Contractual maturities of these transactions and agreements accounted for as secured borrowings were as follows:

	March 31, 2022										December 31, 2021
	Remaining Maturities										Remaining Maturities
Security Type	Open (1)		1 Month or Less		Over 1 Month  to 6 Months		Over 6 Months to 1 Year		Total		Open (1)		1 Month or Less		Over 1 Month  to 6 Months		Over 6 Months to 1 Year		Total
	(In millions)
Cash collateral liability by security type:
Securities lending:
U.S. government and agency	$	5,873	$	6,392	$	7,720	$	—	$	19,985	$	5,900	$	7,052	$	7,055	$	—	$	20,007
Foreign government	—		328		715		—		1,043		—		285		762		—		1,047
Agency RMBS	—		—		49		—		49		—		—		—		—		—
U.S. corporate	—		—		—		—		—		1		—		—		—		1
Total	$	5,873	$	6,720	$	8,484	$	—	$	21,077	$	5,901	$	7,337	$	7,817	$	—	$	21,055
Repurchase agreements:
U.S. government and agency	$	—	$	3,325	$	—	$	—	$	3,325	$	—	$	3,325	$	—	$	—	$	3,325

__________________

(1)The related security could be returned to the Company on the next business day, which would require the Company to immediately return the cash collateral.

If the Company is required to return significant amounts of cash collateral on short notice and is forced to sell investments to meet the return obligation, it may have difficulty selling such collateral that is invested in a timely manner, be forced to sell investments in a volatile or illiquid market for less than what otherwise would have been realized under normal market conditions, or both.

The securities lending and repurchase agreements reinvestment portfolios consist principally of high quality, liquid, publicly-traded fixed maturity securities AFS, short-term investments, cash equivalents or cash. If the securities, or the reinvestment portfolio become less liquid, liquidity resources within the general account are available to meet any potential cash demands when securities are put back by the counterparty.

Invested Assets on Deposit, Held in Trust and Pledged as Collateral

Invested assets on deposit, held in trust and pledged as collateral are presented below at estimated fair value for all asset classes, except mortgage loans, which are presented at carrying value and were as follows at:

	March 31, 2022		December 31, 2021
	(In millions)
Invested assets on deposit (regulatory deposits)	$	1,744	$	1,872
Invested assets held in trust (external reinsurance agreements) (1)	1,008		1,114
Invested assets pledged as collateral (2)	26,267		24,261
Total invested assets on deposit, held in trust and pledged as collateral	$	29,019	$	27,247

__________________

(1)    Represents assets held in trust related to third-party reinsurance agreements. Excludes assets held in trust related to reinsurance agreements between wholly-owned subsidiaries of $2.0 billion and $2.1 billion at March 31, 2022 and December 31, 2021, respectively.

(2)     The Company has pledged invested assets in connection with various agreements and transactions, including funding agreements, secured debt and short-term debt related to repurchase agreements and a collateral financing arrangement (see Notes 4, 13 and 14 of the Notes to the Consolidated Financial Statements included in the 2021 Annual Report) and derivative transactions (see Note 7).

See “— Securities Lending Transactions and Repurchase Agreements” for information regarding securities supporting securities lending transactions and repurchase agreements and Note 5 for information regarding investments designated to the closed block. In addition, the Company’s investment in Federal Home Loan Bank common stock, included within other invested assets, which is considered restricted until redeemed by the issuers, was $791 million and $769 million, at redemption value, at March 31, 2022 and December 31, 2021, respectively.

Variable Interest Entities

The Company has invested in legal entities that are VIEs. In certain instances, the Company holds both the power to direct the most significant activities of the entity, as well as an economic interest in the entity and, as such, is deemed to be the primary beneficiary or consolidator of the entity. The determination of the VIE’s primary beneficiary requires an evaluation of the contractual and implied rights and obligations associated with each party’s relationship with or involvement in the entity.

Consolidated VIEs

Creditors or beneficial interest holders of VIEs where the Company is the primary beneficiary have no recourse to the general credit of the Company, as the Company’s obligation to the VIEs is limited to the amount of its committed investment.

The following table presents the total assets and total liabilities relating to investment related VIEs for which the Company has concluded that it is the primary beneficiary and which are consolidated at:

	March 31, 2022				December 31, 2021
Asset Type	Total Assets		Total Liabilities		Total Assets		Total Liabilities
	(In millions)
Investment funds (primarily other invested assets)	$	293	$	1	$	292	$	1
Renewable energy partnership (primarily other invested assets)	80		1		79		—
Other investments (primarily other assets)	1		—		1		—
Total	$	374	$	2	$	372	$	1

Unconsolidated VIEs

The carrying amount and maximum exposure to loss relating to VIEs in which the Company holds a significant variable interest but is not the primary beneficiary and which have not been consolidated were as follows at:

	March 31, 2022				December 31, 2021
Asset Type	Carrying Amount		Maximum Exposure to Loss (1)		Carrying Amount		Maximum Exposure to Loss (1)
	(In millions)
Fixed maturity securities AFS (2)	$	61,959	$	61,959	$	62,654	$	62,654
Other limited partnership interests	13,285		19,396		13,287		20,720
Other invested assets	1,456		1,510		1,257		1,314
Other investments	910		932		776		926
Total	$	77,610	$	83,797	$	77,974	$	85,614

__________________

(1)The maximum exposure to loss relating to fixed maturity securities AFS is equal to their carrying amounts or the carrying amounts of retained interests. The maximum exposure to loss relating to other limited partnership interests is equal to the carrying amounts plus any unfunded commitments. For certain of its investments in other invested assets, the Company’s return is in the form of income tax credits which are guaranteed by creditworthy third parties. For such investments, the maximum exposure to loss is equal to the carrying amounts plus any unfunded commitments, reduced by income tax credits guaranteed by third parties of $6 million and $5 million at March 31, 2022 and December 31, 2021, respectively. Such a maximum loss would be expected to occur only upon bankruptcy of the issuer or investee.

(2)For variable interests in Structured Products included within fixed maturity securities AFS, the Company’s involvement is limited to that of a passive investor in mortgage-backed or asset-backed securities issued by trusts that do not have substantial equity.

As described in Note 14, the Company makes commitments to fund partnership investments in the normal course of business. Excluding these commitments, the Company did not provide financial or other support to investees designated as VIEs for either the three months ended March 31, 2022 or 2021.

Net Investment Income

The composition of net investment income by asset type was as follows:

	Three Months Ended March 31,
Asset Type	2022		2021
	(In millions)
Fixed maturity securities AFS	$	2,714	$	2,753
Equity securities	7		11
FVO Securities	(65)		36
Mortgage loans	824		863
Policy loans	116		121
Real estate and real estate joint ventures	328		176
Other limited partnership interests	926		1,282
Cash, cash equivalents and short-term investments	31		25
Operating joint ventures	18		23
Other	126		54
Subtotal investment income	5,025		5,344
Less: Investment expenses	242		237
Subtotal, net	4,783		5,107
Unit-linked investments	(499)		207
Net investment income	$	4,284	$	5,314

Net investment income included realized and unrealized gains (losses) recognized in earnings of ($523) million and $261 million for the three months ended March 31, 2022 and 2021, respectively. The amount includes realized gains (losses) on sales and disposals, primarily related to FVO securities (“FVO Securities”) and Unit-linked investments, of $69 million and $167 million for the three months ended March 31, 2022 and 2021, respectively. The amount also includes unrealized gains (losses), representing changes in estimated fair value, recognized in earnings, primarily related to FVO Securities and Unit-linked investments, of ($592) million and $94 million for the three months ended March 31, 2022 and 2021, respectively.

Changes in estimated fair value subsequent to purchase of FVO Securities and Unit-linked investments still held as of the end of the respective periods and included in net investment income were ($507) million and $197 million for the three months ended March 31, 2022 and 2021, respectively.

Net investment income from equity method investments, comprised primarily of real estate joint ventures, other limited partnership interests, tax credit and renewable energy partnerships and operating joint ventures, was $1.1 billion and $1.3 billion for the three months ended March 31, 2022 and 2021, respectively.

Net Investment Gains (Losses)

Net Investment Gains (Losses) by Asset Type and Transaction Type

The composition of net investment gains (losses) by asset type and transaction type was as follows:

	Three Months Ended March 31,
Asset Type	2022		2021
	(In millions)
Fixed maturity securities AFS	$	(598)	$	(67)
Equity securities	(50)		75
Mortgage loans	44		60
Real estate and real estate joint ventures (excluding changes in estimated fair value)	4		48
Other limited partnership interests (excluding changes in estimated fair value)	18		(5)
Other gains (losses)	66		23
Subtotal	(516)		134
Change in estimated fair value of other limited partnership interests and real estate joint ventures	7		9
Non-investment portfolio gains (losses)	(9)		(9)
Subtotal	(2)		—
Net investment gains (losses)	$	(518)	$	134
Transaction Type
Realized gains (losses) on investments sold or disposed	$	(211)	$	3
Impairments	(40)		—
Recognized gains (losses):
Change in allowance for credit loss recognized in earnings	(243)		22
Unrealized net gains (losses) recognized in earnings	(15)		118
Total recognized gains (losses)	(258)		140
Non-investment portfolio gains (losses)	(9)		(9)
Net investment gains (losses)	$	(518)	$	134

Net realized investment gains (losses) of ($142) million and $170 million for the three months ended March 31, 2022 and 2021, respectively, represent realized gains (losses) on sales and disposals from all invested asset classes, including realized gains (losses) on sales and disposals recognized in net investment income, primarily related to FVO Securities and Unit-linked investments.

Changes in estimated fair value subsequent to purchase of equity securities still held as of the end of the period included in net investment gains (losses) were ($24) million and $71 million for the three months ended March 31, 2022 and 2021, respectively.

Other gains (losses) included $18 million and $29 million reclassified from AOCI to earnings due to the sale of certain investments that were hedged in qualifying cash flow hedges for the three months ended March 31, 2022 and 2021, respectively.

Net investment gains (losses) includes gains (losses) from foreign currency transactions of $123 million and $9 million for the three months ended March 31, 2022 and 2021, respectively.

Fixed Maturity Securities AFS and Equity Securities – Composition of Net Investment Gains (Losses)

The composition of net investment gains (losses) for these securities is as follows:

	Three Months Ended March 31,
Fixed Maturity Securities AFS	2022		2021
	(In millions)
Proceeds	$	14,024	$	15,640
Gross investment gains	$	109	$	218
Gross investment (losses)	(403)		(259)
Realized gains (losses) on sales and disposals	(294)		(41)
Net credit loss (provision) release (change in ACL recognized in earnings)	(264)		(26)
Impairment (loss)	(40)		—
Net credit loss (provision) release and impairment (loss)	(304)		(26)
Net investment gains (losses)	$	(598)	$	(67)
Equity Securities
Realized gains (losses) on sales and disposals	$	(30)	$	(32)
Unrealized net gains (losses) recognized in earnings	(20)		107
Net investment gains (losses)	$	(50)	$	75