XML 80 R25.htm IDEA: XBRL DOCUMENT v3.20.1
Investments (Tables)
 3 Months Ended
Mar. 31, 2020
Investments [Abstract]  
Fixed Maturities, Available-for-sale Securities
(1)
Excludes notes with amortized cost of $4,751 million (fair value, $4,757 million), which have been offset with the associated debt under a netting agreement.
(2)
Includes collateralized loan obligations, auto loans, education loans, home equity and other asset types.
(3)
Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.
(4)
Represents the amount of unrealized losses remaining in AOCI, from the impairment measurement date. Amount excludes $362 million of net unrealized gains on impaired available-for-sale securities and $1 million of net unrealized gains on impaired held-to-maturity securities relating to changes in the value of such securities subsequent to the impairment measurement date.
(5)
Excludes notes with amortized cost of $4,998 million (fair value, $5,401 million), which have been offset with the associated debt under a netting agreement.
(1)
Excludes notes with amortized cost of $5,616 million (fair value, $5,616 million), which have been offset with the associated debt under a netting agreement.
(2)
Includes credit-tranched securities collateralized by loan obligations, auto loans, education loans, home equity loans and other asset types.
(3)
Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.
(4)
Excludes notes with amortized cost of $4,998 million (fair value, $5,001 million), which have been offset with the associated debt under a netting agreement.
The following tables set forth the composition of fixed maturity securities (excluding investments classified as trading), as of the dates indicated:
 
 
March 31, 2020
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Allowance for Credit Losses
 
Fair
Value
 
(in millions)
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities and obligations of U.S. government authorities and agencies
$
32,021

 
$
11,622

 
$
0

 
$
0

 
$
43,643

Obligations of U.S. states and their political subdivisions
10,111

 
1,399

 
21

 
0

 
11,489

Foreign government bonds
97,589

 
19,645

 
113

 
38

 
117,083

U.S. public corporate securities
89,101

 
9,465

 
2,588

 
56

 
95,922

U.S. private corporate securities(1)
34,765

 
1,489

 
772

 
37

 
35,445

Foreign public corporate securities
26,308

 
2,395

 
701

 
26

 
27,976

Foreign private corporate securities
27,765

 
359

 
2,313

 
0

 
25,811

Asset-backed securities(2)
13,859

 
98

 
577

 
0

 
13,380

Commercial mortgage-backed securities
14,951

 
653

 
31

 
1

 
15,572

Residential mortgage-backed securities(3)
3,195

 
207

 
9

 
0

 
3,393

       Total fixed maturities, available-for-sale(1)
$
349,665

 
$
47,332

 
$
7,125

 
$
158

 
$
389,714


 
December 31, 2019
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
OTTI in AOCI(4)
 
(in millions)
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities and obligations of U.S. government authorities and agencies
$
30,625

 
$
5,195

 
$
161

 
$
35,659

 
$
0

Obligations of U.S. states and their political subdivisions
10,068

 
1,437

 
8

 
11,497

 
0

Foreign government bonds
98,356

 
20,761

 
63

 
119,054

 
(34
)
U.S. public corporate securities
87,566

 
11,030

 
257

 
98,339

 
(6
)
U.S. private corporate securities(1)
34,410

 
2,243

 
120

 
36,533

 
0

Foreign public corporate securities
26,841

 
3,054

 
70

 
29,825

 
(1
)
Foreign private corporate securities
27,619

 
1,201

 
580

 
28,240

 
0

Asset-backed securities(2)
13,067

 
147

 
40

 
13,174

 
(77
)
Commercial mortgage-backed securities
14,978

 
610

 
14

 
15,574

 
0

Residential mortgage-backed securities(3)
3,044

 
159

 
2

 
3,201

 
(1
)
       Total fixed maturities, available-for-sale(1)
$
346,574

 
$
45,837

 
$
1,315

 
$
391,096

 
$
(119
)
Fixed Maturities, Held-to-maturity Securities
 
March 31, 2020
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
Allowance for Credit Losses
 
Amortized Cost,
Net of Allowance
 
(in millions)
Fixed maturities, held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
Foreign government bonds
$
896

 
$
262

 
$
0

 
$
1,158

 
$
0

 
$
896

Foreign public corporate securities
624

 
58

 
0

 
682

 
9

 
615

Foreign private corporate securities
83

 
2

 
0

 
85

 
0

 
83

Residential mortgage-backed securities(3)
301

 
23

 
0

 
324

 
0

 
301

       Total fixed maturities, held-to-maturity(4)
$
1,904

 
$
345

 
$
0

 
$
2,249

 
$
9

 
$
1,895

__________
(1)
Excludes notes with amortized cost of $5,616 million (fair value, $5,616 million), which have been offset with the associated debt under a netting agreement.
(2)
Includes credit-tranched securities collateralized by loan obligations, auto loans, education loans, home equity loans and other asset types.
(3)
Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.
(4)
Excludes notes with amortized cost of $4,998 million (fair value, $5,001 million), which have been offset with the associated debt under a netting agreement.
 
December 31, 2019
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
(in millions)
Fixed maturities, held-to-maturity:
 
 
 
 
 
 
 
Foreign government bonds
$
891

 
$
282

 
$
0

 
$
1,173

Foreign public corporate securities
649

 
64

 
0

 
713

Foreign private corporate securities
83

 
2

 
0

 
85

Residential mortgage-backed securities(3)
310

 
21

 
0

 
331

       Total fixed maturities, held-to-maturity(5)
$
1,933

 
$
369

 
$
0

 
$
2,302

__________
(1)
Excludes notes with amortized cost of $4,751 million (fair value, $4,757 million), which have been offset with the associated debt under a netting agreement.
(2)
Includes collateralized loan obligations, auto loans, education loans, home equity and other asset types.
(3)
Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.
(4)
Represents the amount of unrealized losses remaining in AOCI, from the impairment measurement date. Amount excludes $362 million of net unrealized gains on impaired available-for-sale securities and $1 million of net unrealized gains on impaired held-to-maturity securities relating to changes in the value of such securities subsequent to the impairment measurement date.
(5)
Excludes notes with amortized cost of $4,998 million (fair value, $5,401 million), which have been offset with the associated debt under a netting agreement.
Duration Of Gross Unrealized Losses On Fixed Maturity Securities
The following table sets forth the fair value and gross unrealized losses on available-for-sale fixed maturity securities without an allowance for credit losses aggregated by investment category and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of the date indicated:
 
 
 
March 31, 2020
 
 
Less Than
Twelve Months
 
Twelve Months
or More
 
Total
 
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
 
(in millions)
Fixed maturities, available-for-sale:
 
 
U.S. Treasury securities and obligations of U.S. government authorities and agencies
 
$
468

 
$
3

 
$
187

 
$
0

 
$
655

 
$
3

Obligations of U.S. states and their political subdivisions
 
520

 
21

 
0

 
0

 
520

 
21

Foreign government bonds
 
3,869

 
105

 
56

 
7

 
3,925

 
112

U.S. public corporate securities
 
21,011

 
2,127

 
1,256

 
415

 
22,267

 
2,542

U.S. private corporate securities
 
12,201

 
650

 
1,002

 
122

 
13,203

 
772

Foreign public corporate securities
 
7,756

 
562

 
356

 
105

 
8,112

 
667

Foreign private corporate securities
 
14,218

 
1,236

 
4,829

 
1,078

 
19,047

 
2,314

Asset-backed securities
 
8,565

 
393

 
2,952

 
184

 
11,517

 
577

Commercial mortgage-backed securities
 
1,654

 
28

 
79

 
3

 
1,733

 
31

Residential mortgage-backed securities
 
165

 
9

 
2

 
0

 
167

 
9

Total fixed maturities, available-for-sale
 
$
70,427

 
$
5,134

 
$
10,719

 
$
1,914

 
$
81,146

 
$
7,048

 
The following table sets forth the fair value and gross unrealized losses on fixed maturity securities aggregated by investment category and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of the date indicated:

 
 
December 31, 2019
 
 
Less Than
Twelve Months
 
Twelve Months
or More
 
Total
 
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
 
(in millions)
Fixed maturities(1):
 
 
U.S. Treasury securities and obligations of U.S. government authorities and agencies
 
$
4,950

 
$
161

 
$
267

 
$
0

 
$
5,217

 
$
161

Obligations of U.S. states and their political subdivisions
 
273

 
8

 
0

 
0

 
273

 
8

Foreign government bonds
 
2,332

 
60

 
126

 
3

 
2,458

 
63

U.S. public corporate securities
 
3,944

 
85

 
2,203

 
172

 
6,147

 
257

U.S. private corporate securities
 
2,283

 
44

 
1,563

 
76

 
3,846

 
120

Foreign public corporate securities
 
1,271

 
23

 
496

 
47

 
1,767

 
70

Foreign private corporate securities
 
1,466

 
33

 
5,666

 
547

 
7,132

 
580

Asset-backed securities
 
3,979

 
12

 
4,433

 
28

 
8,412

 
40

Commercial mortgage-backed securities
 
1,193

 
10

 
164

 
4

 
1,357

 
14

Residential mortgage-backed securities
 
207

 
1

 
88

 
1

 
295

 
2

Total
 
$
21,898

 
$
437

 
$
15,006

 
$
878

 
$
36,904

 
$
1,315

__________ 
(1)
As of December 31, 2019, there were no securities classified as held-to-maturity in a gross unrealized loss position.
Fixed Maturities Classified by Contractual Maturity Date
The following tables set forth the amortized cost or amortized cost, net of allowance and fair value of fixed maturities by contractual maturities, as of the date indicated:
 
 
March 31, 2020
 
Available-for-Sale
 
Held-to-Maturity
 
Amortized Cost
 
Fair Value
 
Amortized Cost, Net of Allowance
 
Fair Value
 
(in millions)
Fixed maturities:
 
 
 
 
 
 
 
Due in one year or less
$
20,145

 
$
20,478

 
$
0

 
$
0

Due after one year through five years
50,674

 
51,885

 
114

 
116

Due after five years through ten years
65,012

 
69,429

 
588

 
654

Due after ten years(1)
181,829

 
215,577

 
892

 
1,155

Asset-backed securities
13,859

 
13,380

 
0

 
0

Commercial mortgage-backed securities
14,951

 
15,572

 
0

 
0

Residential mortgage-backed securities
3,195

 
3,393

 
301

 
324

Total
$
349,665

 
$
389,714

 
$
1,895

 
$
2,249

__________
(1)
Excludes available-for-sale notes with amortized cost of $5,616 million (fair value, $5,616 million) and held-to-maturity notes with amortized cost of $4,998 million (fair value, $5,001 million), which have been offset with the associated debt under a netting agreement.
Sources of Fixed Maturity Proceeds and Related Investment Gains (Losses) as well as Losses on Impairments
The following table sets forth the sources of fixed maturity proceeds and related investment gains (losses), as well as losses on write-downs, impairments and the allowance for credit losses of fixed maturities, for the periods indicated:
 
 
Three Months Ended March 31,
 
 
2020
 
2019
 
(in millions)
Fixed maturities, available-for-sale:
 
 
 
 
Proceeds from sales(1)
 
$
5,153

 
$
10,162

Proceeds from maturities/prepayments
 
4,883

 
4,488

Gross investment gains from sales and maturities
 
468

 
483

Gross investment losses from sales and maturities
 
(61
)
 
(188
)
OTTI recognized in earnings(2)
 
N/A

 
(35
)
Write-downs recognized in earnings(3)
 
(91
)
 
N/A

(Addition to) release of allowance for credit losses(4)
 
(158
)
 
N/A

Fixed maturities, held-to-maturity:
 
 
 
 
Proceeds from maturities/prepayments(5)
 
$
41

 
$
14

Allowance for credit losses(4)
 
0

 
N/A

__________ 
(1)
Includes $39 million and $587 million of non-cash related proceeds due to the timing of trade settlements for the three months ended March 31, 2020 and 2019, respectively.
(2)
For the three months ended March 31, 2019, amounts exclude the portion of OTTI amounts remaining in “Other comprehensive income (loss)” (“OCI”), representing any difference between the fair value of the impaired debt security and the net present value of its projected future cash flows at the time of impairment.
(3)
For the three months ended March 31, 2020, amounts represent write-downs on securities approaching maturity related to foreign exchange movements and securities actively marketed for sale.
(4)
Effective January 1, 2020, credit losses on available-for-sale and held-to-maturity fixed maturity securities are recorded within the “allowance for credit losses.”
(5)
Includes $1 million and $0 million of non-cash related proceeds due to the timing of trade settlements for the three months ended March 31, 2020 and 2019, respectively.
Credit Losses Recognized in Earnings on Fixed Maturity Securities Held by the Company for which a Portion of the OTTI Loss was Recognized in OCI
The following tables set forth the activity in the allowance for credit losses for fixed maturity securities, as of the date indicated: 
 
March 31, 2020
 
U.S. Treasury Securities and Obligations of U.S. States
 
Foreign Government Bonds
 
U.S. and Foreign Corporate Securities
 
Asset-Backed Securities
 
Commercial Mortgage-Backed Securities
 
Residential Mortgage-Backed Securities
 
Total
 
(in millions)
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, beginning of year
$
0

 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

Additions to allowance for credit losses not previously recorded
0

 
38

 
119

 
0

 
1

 
0

 
158

Balance, end of period
$
0

 
$
38

 
$
119

 
$
0

 
$
1

 
$
0

 
$
158



 
March 31, 2020
 
U.S. Treasury Securities and Obligations of U.S. States
 
Foreign Government Bonds
 
U.S. and Foreign Corporate Securities
 
Asset-Backed Securities
 
Commercial Mortgage-Backed Securities
 
Residential Mortgage-Backed Securities
 
Total
 
(in millions)
Fixed maturities, held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, beginning of year
$
0

 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

Cumulative effect of adoption of ASU 2016-13
0

 
0

 
9

 
0

 
0

 
0

 
9

Balance, end of period
$
0

 
$
0

 
$
9

 
$
0

 
$
0

 
$
0

 
$
9
Assets Supporting Experience-Rated Contractholder Liabilities
The following table sets forth the composition of “Assets supporting experience-rated contractholder liabilities,” as of the dates indicated:
 
 
 
March 31, 2020
 
December 31, 2019
 
 
Amortized
Cost or Cost
 
Fair
Value
 
Amortized
Cost or Cost
 
Fair
Value
 
 
(in millions)
Short-term investments and cash equivalents
 
$
1,083

 
$
1,083

 
$
277

 
$
277

Fixed maturities:
 
 
 
 
 
 
 
 
Corporate securities
 
13,102

 
13,110

 
13,143

 
13,603

Commercial mortgage-backed securities
 
1,828

 
1,869

 
1,845

 
1,896

Residential mortgage-backed securities(1)
 
1,208

 
1,243

 
1,134

 
1,158

Asset-backed securities(2)
 
1,637

 
1,607

 
1,639

 
1,662

Foreign government bonds
 
785

 
791

 
802

 
814

U.S. government authorities and agencies and obligations of U.S. states
 
343

 
411

 
341

 
397

Total fixed maturities(3)
 
18,903

 
19,031

 
18,904

 
19,530

Equity securities
 
1,485

 
1,466

 
1,465

 
1,790

Total assets supporting experience-rated contractholder liabilities(4)
 
$
21,471

 
$
21,580

 
$
20,646

 
$
21,597


__________ 
(1)
Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.
(2)
Includes collateralized loan obligations, auto loans, education loans, home equity and other asset types. Collateralized loan obligations at fair value were $1,009 million and $1,060 million as of March 31, 2020 and December 31, 2019, respectively, all of which were rated AAA.
(3)
As a percentage of amortized cost, 94% of the portfolio was considered high or highest quality based on NAIC or equivalent ratings, as of both March 31, 2020 and December 31, 2019.
(4)
As a percentage of amortized cost, 78% and 77% of the portfolio consisted of public securities as of March 31, 2020 and December 31, 2019, respectively.
Securities Concentrations of Credit Risk
As of the dates indicated, the Company’s exposure to concentrations of credit risk of single issuers greater than 10% of the Company’s equity included securities of the U.S. government and certain U.S. government agencies and securities guaranteed by the U.S. government, as well as the securities disclosed below:
 
 
 
March 31, 2020
 
December 31, 2019
 
 
Amortized
Cost
 
Fair
Value
 
Amortized
Cost
 
Fair
Value
 
 
(in millions)
Investments in Japanese government and government agency securities:
 
 
 
 
 
 
 
 
Fixed maturities, available-for-sale
 
$
74,584

 
$
89,377

 
$
74,118

 
$
89,546

Fixed maturities, held-to-maturity
 
873

 
1,128

 
869

 
1,143

Fixed maturities, trading
 
22

 
22

 
23

 
23

Assets supporting experience-rated contractholder liabilities
 
652

 
659

 
653

 
664

Total
 
$
76,131

 
$
91,186

 
$
75,663

 
$
91,376

 
 
 
March 31, 2020
 
December 31, 2019
 
 
Amortized
Cost
 
Fair
Value
 
Amortized
Cost
 
Fair
Value
 
 
(in millions)
Investments in South Korean government and government agency securities:
 
 
 
 
 
 
 
 
Fixed maturities, available-for-sale
 
$
10,488

 
$
12,926

 
$
10,823

 
$
13,322

Assets supporting experience-rated contractholder liabilities
 
15

 
16

 
15

 
16

Total
 
$
10,503

 
$
12,942

 
$
10,838

 
$
13,338
Commercial Mortgage and Other Loans
The following table sets forth the composition of “Commercial mortgage and other loans,” as of the dates indicated:
 
 
 
March 31, 2020
 
December 31, 2019
 
 
Amount
(in millions)
 
% of
Total
 
Amount
(in millions)
 
% of
Total
Commercial mortgage and agricultural property loans by property type:
 
 
 
 
 
 
 
 
Office
 
$
12,908

 
20.6
%
 
$
13,462

 
21.4
%
Retail
 
7,967

 
12.7

 
8,379

 
13.3

Apartments/Multi-Family
 
18,171

 
28.9

 
17,348

 
27.6

Industrial
 
13,217

 
21.0

 
13,226

 
21.1

Hospitality
 
2,401

 
3.8

 
2,415

 
3.9

Other
 
4,503

 
7.2

 
4,533

 
7.2

Total commercial mortgage loans
 
59,167

 
94.2

 
59,363

 
94.5

Agricultural property loans
 
3,665

 
5.8

 
3,472

 
5.5

Total commercial mortgage and agricultural property loans by property type
 
62,832

 
100.0
%
 
62,835

 
100.0
%
Allowance for credit losses
 
(233
)
 
 
 
(117
)
 
 
Total net commercial mortgage and agricultural property loans by property type
 
62,599

 
 
 
62,718

 
 
Other loans:
 
 
 

 
 
 

Uncollateralized loans
 
660

 

 
656

 

Residential property loans
 
115

 

 
124

 

Other collateralized loans
 
192

 

 
65

 

Total other loans
 
967

 

 
845

 

Allowance for credit losses
 
(7
)
 

 
(4
)
 

Total net other loans
 
960

 

 
841

 

Total commercial mortgage and other loans(1)
 
$
63,559

 

 
$
63,559

 

__________ 
(1)
Includes loans held for sale which are carried at fair value and are collateralized primarily by apartment complexes. As of March 31, 2020 and December 31, 2019, the net carrying value of these loans was $670 million and $228 million, respectively.
Allowance for Credit Losses
The following table sets forth the activity in the allowance for credit losses for commercial mortgage and other loans, as of the dates indicated:
 
 
Commercial
Mortgage
Loans
 
Agricultural
Property
Loans
 
Residential
Property
Loans
 
Other
Collateralized
Loans
 
Uncollateralized
Loans
 
Total
 
 
(in millions)
Balance at December 31, 2018
 
$
120

 
$
3

 
$
0

 
$
0

 
$
5

 
$
128

Addition to (release of) allowance for credit losses
 
(5
)
 
0

 
0

 
0

 
(1
)
 
(6
)
Charge-offs, net of recoveries
 
(1
)
 
0

 
0

 
0

 
0

 
(1
)
Change in foreign exchange
 
0

 
0

 
0

 
0

 
0

 
0

Balance at December 31, 2019
 
114

 
3

 
0

 
0

 
4

 
121

Cumulative effect of adoption of ASU 2016-13
 
110

 
5

 
0

 
0

 
0

 
115

Addition to (release of) allowance for expected losses
 
1

 
0

 
0

 
0

 
0

 
1

Other
 
0

 
0

 
0

 
3

 
0

 
3

Balance at March 31, 2020
 
$
225

 
$
8

 
$
0

 
$
3

 
$
4

 
$
240
Financing Receivable Credit Quality Indicators
The following tables set forth certain key credit quality indicators based upon the recorded investment gross of allowance for credit losses, as of the date indicated:

Commercial mortgage loans 
 
 
December 31, 2019
 
 
Debt Service Coverage Ratio
 
 
 
 
>1.2X
 
1.0X to <1.2X
 
< 1.0X
 
Total
 
 
(in millions)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
 
0%-59.99%
 
$
31,027

 
$
701

 
$
217

 
$
31,945

60%-69.99%
 
17,090

 
1,145

 
42

 
18,277

70%-79.99%
 
8,020

 
719

 
28

 
8,767

80% or greater
 
209

 
143

 
22

 
374

       Total commercial mortgage loans
 
$
56,346

 
$
2,708

 
$
309

 
$
59,363

 
Agricultural property loans
 
 
December 31, 2019
 
 
Debt Service Coverage Ratio
 
 
 
 
>1.2X
 
1.0X to <1.2X
 
< 1.0X
 
Total
 
 
(in millions)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
 
0%-59.99%
 
$
3,289

 
$
57

 
$
14

 
$
3,360

60%-69.99%
 
112

 
0

 
0

 
112

70%-79.99%
 
0

 
0

 
0

 
0

80% or greater
 
0

 
0

 
0

 
0

       Total agricultural property loans
 
$
3,401

 
$
57

 
$
14

 
$
3,472

 
Total commercial mortgage and agricultural property loans
 
 
December 31, 2019
 
 
Debt Service Coverage Ratio
 
 
 
 
>1.2X
 
1.0X to <1.2X
 
< 1.0X
 
Total
 
 
(in millions)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
 
0%-59.99%
 
$
34,316

 
$
758

 
$
231

 
$
35,305

60%-69.99%
 
17,202

 
1,145

 
42

 
18,389

70%-79.99%
 
8,020

 
719

 
28

 
8,767

80% or greater
 
209

 
143

 
22

 
374

       Total commercial mortgage and agricultural property loans
 
$
59,747

 
$
2,765

 
$
323

 
$
62,835


The following table sets forth loan-to-value ratios based upon the recorded investment gross of allowance for credit losses, as of the date indicated:

 
March 31, 2020
 
Amortized Cost by Origination Year
 
2020
 
2019
 
2018
 
2017
 
2016
 
Prior
 
Revolving Loans
 
Total
 
(in millions)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage loans
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
0%-59.99%
$
316

 
$
2,748

 
$
3,046

 
$
3,698

 
$
3,407

 
$
18,365

 
$
0

 
$
31,580

60%-69.99%
859

 
4,060

 
3,319

 
2,381

 
2,805

 
4,704

 
0

 
18,128

70%-79.99%
807

 
3,017

 
2,782

 
1,102

 
573

 
832

 
0

 
9,113

80% or greater
0

 
11

 
0

 
53

 
61

 
221

 
0

 
346

Subtotal
1,982

 
9,836

 
9,147

 
7,234

 
6,846

 
24,122

 
0

 
59,167

Agricultural property loans
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
0%-59.99%
168

 
483

 
379

 
564

 
404

 
1,406

 
0

 
3,404

60%-69.99%
108

 
74

 
38

 
0

 
0

 
41

 
0

 
261

70%-79.99%
0

 
0

 
0

 
0

 
0

 
0

 
0

 
0

80% or greater
0

 
0

 
0

 
0

 
0

 
0

 
0

 
0

Subtotal
276

 
557

 
417

 
564

 
404

 
1,447

 
0

 
3,665

Total commercial mortgage and agricultural property loans
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
0%-59.99%
484

 
3,231

 
3,425

 
4,262

 
3,811

 
19,771

 
0

 
34,984

60%-69.99%
967

 
4,134

 
3,357

 
2,381

 
2,805

 
4,745

 
0

 
18,389

70%-79.99%
807

 
3,017

 
2,782

 
1,102

 
573

 
832

 
0

 
9,113

80% or greater
0

 
11

 
0

 
53

 
61

 
221

 
0

 
346

Total commercial mortgage and agricultural property loans
$
2,258

 
$
10,393

 
$
9,564

 
$
7,798

 
$
7,250

 
$
25,569

 
$
0

 
$
62,832
Aging of Past Due Commercial Mortgage and Other Loans and Nonaccrual Status
The following tables set forth an aging of past due commercial mortgage and other loans based upon the recorded investment gross of allowance for credit losses, as well as the amount of commercial mortgage and other loans on non-accrual status, as of the dates indicated:
 
 
 
March 31, 2020
 
 
Current
 
30-59 Days
Past Due
 
60-89 Days
Past Due
 
90 Days or More Past Due(1)
 
Total Past
Due
 
Total
Loans
 
Non-Accrual
Status(2)
 
 
(in millions)
Commercial mortgage loans
 
$
59,157

 
$
2

 
$
8

 
$
0

 
$
10

 
$
59,167

 
$
44

Agricultural property loans
 
3,642

 
10

 
0

 
13

 
23

 
3,665

 
13

Residential property loans
 
113

 
1

 
0

 
1

 
2

 
115

 
1

Other collateralized loans
 
192

 
0

 
0

 
0

 
0

 
192

 
0

Uncollateralized loans
 
660

 
0

 
0

 
0

 
0

 
660

 
4

Total
 
$
63,764

 
$
13

 
$
8

 
$
14

 
$
35

 
$
63,799

 
$
62

 __________
(1)
As of March 31, 2020, there were no loans in this category accruing interest.
(2)
For additional information regarding the Company’s policies for accruing interest on loans, see Note 2 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019.
 
 
December 31, 2019
 
 
Current
 
30-59 Days
Past Due
 
60-89 Days
Past Due
 
90 Days or More Past Due(1)
 
Total Past
Due
 
Total
Loans
 
Non-Accrual
Status(2)
 
 
(in millions)
Commercial mortgage loans
 
$
59,363

 
$
0

 
$
0

 
$
0

 
$
0

 
$
59,363

 
$
44

Agricultural property loans
 
3,458

 
1

 
0

 
13

 
14

 
3,472

 
13

Residential property loans
 
121

 
1

 
0

 
2

 
3

 
124

 
2

Other collateralized loans
 
65

 
0

 
0

 
0

 
0

 
65

 
0

Uncollateralized loans
 
656

 
0

 
0

 
0

 
0

 
656

 
0

Total
 
$
63,663

 
$
2

 
$
0

 
$
15

 
$
17

 
$
63,680

 
$
59


__________
(1)
As of December 31, 2019, there were no loans in this category accruing interest.
(2)
For additional information regarding the Company’s policies for accruing interest on loans, see Note 2 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019.
Other Invested Assets
The following table sets forth the composition of “Other invested assets,” as of the dates indicated:

 
 
March 31, 2020
 
December 31, 2019
 
 
(in millions)
LPs/LLCs:
 
 
 
 
Equity method:
 
 
 
 
Private equity
 
$
3,889

 
$
3,625

Hedge funds
 
1,864

 
1,947

Real estate-related
 
1,404

 
1,372

Subtotal equity method
 
7,157

 
6,944

Fair value:
 
 
 
 
Private equity
 
1,769

 
1,705

Hedge funds
 
2,018

 
2,172

Real estate-related
 
344
 
336
Subtotal fair value
 
4,131

 
4,213

Total LPs/LLCs
 
11,288

 
11,157

Real estate held through direct ownership(1)
 
2,410

 
2,388

Derivative instruments
 
3,188

 
877
Other(2)
 
1,185

 
1,184

Total other invested assets
 
$
18,071

 
$
15,606

_________ 
(1)
As of March 31, 2020 and December 31, 2019, real estate held through direct ownership had mortgage debt of $548 million and $537 million, respectively.
(2)
Primarily includes strategic investments made by investment management operations, leveraged leases and member and activity stock held in the Federal Home Loan Banks of New York and Boston. For additional information regarding the Company’s holdings in the Federal Home Loan Banks of New York and Boston, see Note 17 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019.
Accrued Investment Income
The following table sets forth the composition of “Accrued investment income,” as of the date indicated:

 
March 31, 2020
 
(in millions)
Fixed maturities
$
2,642

Equity securities
24

Commercial mortgage and other loans
195

Policy loans
304

Other invested assets
37

Short-term investments and cash equivalents
19

Total accrued investment income
$
3,221
Net Investment Income
The following table sets forth “Net investment income” by investment type, for the periods indicated:
 
 
 
Three Months Ended
March 31,
 
 
2020
 
2019
 
 
(in millions)
Fixed maturities, available-for-sale(1)
 
$
3,112

 
$
3,088

Fixed maturities, held-to-maturity(1)
 
59

 
57

Fixed maturities, trading
 
34

 
34

Assets supporting experience-rated contractholder liabilities
 
184

 
185

Equity securities
 
28

 
30

Commercial mortgage and other loans
 
640

 
600

Policy loans
 
153

 
151

Other invested assets
 
131

 
205

Short-term investments and cash equivalents
 
87

 
118

Gross investment income
 
4,428

 
4,468

Less: investment expenses
 
(226
)
 
(252
)
Net investment income
 
$
4,202

 
$
4,216

__________ 
(1)
Includes income on credit-linked notes which are reported on the same financial statement line item as related surplus notes, as conditions are met for right to offset.
Realized Investment Gains (Losses), Net
The following table sets forth “Realized investment gains (losses), net” by investment type, for the periods indicated:
 
 
 
Three Months Ended
March 31,
 
 
2020
 
2019
 
 
(in millions)
Fixed maturities(1)
 
$
158

 
$
260

Commercial mortgage and other loans
 
22

 
10

Investment real estate
 
(1
)
 
0

LPs/LLCs
 
(3
)
 
(5
)
Derivatives
 
1,492

 
(1,032
)
Other
 
(1
)
 
1

Realized investment gains (losses), net
 
$
1,667

 
$
(766
)
__________ 
(1)
Includes fixed maturity securities classified as available-for-sale and held-to-maturity and excludes fixed maturity securities classified as trading.
Net Unrealized Gains (Losses) on Investment
The following table sets forth net unrealized gains (losses) on investments, as of the dates indicated:
 
March 31,
2020
 
December 31,
2019
 
(in millions)
Fixed maturity securities, available-for-sale—with OTTI(1)
N/A

 
$
243

Fixed maturity securities, available-for-sale—all other(1)
N/A

 
44,279

Fixed maturity securities, available-for-sale with an allowance
(118
)
 
N/A

Fixed maturity securities, available-for-sale without an allowance
40,325

 
N/A

Derivatives designated as cash flow hedges(2)
3,186

 
832

Other investments(3)
(22
)
 
(15
)
       Net unrealized gains (losses) on investments
$
43,371

 
$
45,339

__________ 
(1)
Effective January 1, 2020, per ASU 2016-13, fixed maturity securities, available-for-sale are no longer required to be disclosed “with OTTI” and “all other.”
(2)
For additional information on cash flow hedges, see Note 5.
(3)
As of March 31, 2020, there were no net unrealized losses on held-to-maturity securities that were previously transferred from available-for-sale. Includes net unrealized gains on certain joint ventures that are strategic in nature and are included in “Other assets.”


Repurchase Agreements and Securities Lending The following table sets forth the composition of “Securities sold under agreements to repurchase,” as of the dates indicated:

 
March 31, 2020
 
December 31, 2019
 
Remaining Contractual Maturities of the Agreements
 
 
 
Remaining Contractual Maturities of the Agreements
 
 
 
 Overnight & Continuous
 
Up to 30 Days
 
Total
 
 Overnight & Continuous
 
Up to 30 Days
 
Total
 
(in millions)
U.S. Treasury securities and obligations of U.S.
government authorities and agencies
$
9,586

 
$
553

 
$
10,139

 
$
9,431

 
$
0

 
$
9,431

U.S. public corporate securities
0

 
0

 
0

 
0

 
0

 
0

Residential mortgage-backed securities
418

 
0

 
418

 
250

 
0

 
250

Total securities sold under agreements to repurchase(1)
$
10,004

 
$
553

 
$
10,557

 
$
9,681

 
$
0

 
$
9,681

__________ 
(1)
The Company did not have any agreements with remaining contractual maturities greater than thirty days, as of the dates indicated.

The following table sets forth the composition of “Cash collateral for loaned securities,” which represents the liability to return cash collateral received for the following types of securities loaned, as of the dates indicated:

 
March 31, 2020
 
December 31, 2019
 
Remaining Contractual Maturities of the Agreements
 
 
 
Remaining Contractual Maturities of the Agreements
 
 
 
 Overnight & Continuous
 
Up to 30 Days
 
Total
 
 Overnight & Continuous
 
Up to 30 Days
 
Total
 
(in millions)
U.S. Treasury securities and obligations of U.S.
government authorities and agencies
$
0

 
$
0

 
$
0

 
$
9

 
$
0

 
$
9

Obligations of U.S. states and their political
subdivisions
69

 
0

 
69

 
33

 
0

 
33

Foreign government bonds
484

 
0

 
484

 
244

 
0

 
244

U.S. public corporate securities
2,208

 
0

 
2,208

 
2,996

 
0

 
2,996

Foreign public corporate securities
546

 
0

 
546

 
762

 
0

 
762

Commercial mortgage-backed securities
2

 
0

 
2

 
2

 
0

 
2

Equity securities
87

 
0

 
87

 
167

 
0

 
167

       Total cash collateral for loaned securities(1)
$
3,396

 
$
0

 
$
3,396

 
$
4,213

 
$
0

 
$
4,213


__________ 
(1)
The Company did not have any agreements with remaining contractual maturities greater than thirty days, as of the dates indicated.