XML 43 R32.htm IDEA: XBRL DOCUMENT v3.20.2
Investments (Tables)
 9 Months Ended
Sep. 30, 2020
Investments, Debt and Equity Securities [Abstract]  
Consolidated Investments The Company’s consolidated investments at September 30, 2020 and December 31, 2019 are summarized as follows (in millions):
September 30, 2020
 Amortized CostAllowance for Expected Credit LossesGross Unrealized GainsGross Unrealized LossesFair ValueCarrying Value
Available-for-sale securities
Asset-backed securities$5,527 $— $221 $(8)$5,739 $5,739 
Commercial mortgage-backed securities2,501 — 275 (4)2,772 2,772 
Corporates13,340 (18)687 (45)13,965 13,965 
Hybrids951 — 45 (3)993 993 
Municipals1,408 — 59 (1)1,466 1,466 
Residential mortgage-backed securities878 (4)9 (1)882 882 
U.S. Government394 — 11 — 405 405 
Foreign Governments179 — 9 — 188 188 
Total available-for-sale securities$25,178 $(22)$1,316 $(62)$26,410 $26,410 
December 31, 2019
 Amortized CostGross Unrealized GainsGross Unrealized LossesFair ValueCarrying Value
Available-for-sale securities
Commercial mortgage-backed/asset-backed securities$22 $— $— $22 $22 
Corporates1,510 49 (3)1,556 1,556 
Hybrids26 5 — 31 31 
Municipals90 3 — 93 93 
Residential mortgage-backed securities38 2 — 40 40 
U.S. Government282 7 (1)288 288 
Foreign Governments61 1 (2)60 60 
Total available-for-sale securities$2,029 $67 $(6)$2,090 $2,090 
Investments Classified by Contractual Maturity Date
The amortized cost and fair value of fixed maturity available-for-sale securities by contractual maturities, as applicable, are shown below. Actual maturities may differ from contractual maturities because issuers may have the right to call or pre-pay obligations.
September 30, 2020
(in millions)
Amortized Cost Fair Value
Corporates, Non-structured Hybrids, Municipal and Government securities:
Due in one year or less$569 $571 
Due after one year through five years2,104 2,188 
Due after five years through ten years2,257 2,360 
Due after ten years11,316 11,868 
Subtotal16,246 16,987 
Other securities which provide for periodic payments:
Asset-backed securities5,527 5,739 
Commercial mortgage-backed securities2,501 2,772 
Structured hybrids26 30 
Residential mortgage-backed securities878 882 
Subtotal8,932 9,423 
Total fixed maturity available-for-sale securities$25,178 $26,410 
Activity in Allowance for Credit Loses of Available-for-sale Securities Aggregated by Investment Category
The activity in the allowance for expected credit losses of available-for-sale securities aggregated by investment category were as follows for the three and nine months ended September 30, 2020 (in millions):
Three Months Ended September 30, 2020
AdditionsReductions
Balance at Beginning of PeriodFor credit losses on securities for which losses were not previously recordedFor initial credit losses on purchased securities accounted for as PCD financial assets (1)(Additions) reductions in allowance recorded on previously impaired securitiesFor securities sold during the periodFor securities intended/required to be sold prior to recovery of amortized cost basisWriteoffs charged against the allowanceBalance at End of Period
Available-for-sale securities
Asset-backed securities$(2)$— $— $2 $— $— $— $— 
Corporates(21)(3)— 6 — — — (18)
Hybrids— — — — — — — — 
Residential mortgage-backed securities(5)— — 1 — — — (4)
Total available-for-sale securities$(28)$(3)$— $9 $— $— $— $— $(22)
(1) Purchased credit deteriorated financial assets ("PCD")
Nine Months Ended September 30, 2020
AdditionsReductions
Balance at Beginning of PeriodFor credit losses on securities for which losses were not previously recordedFor initial credit losses on purchased securities accounted for as PCD financial assets (1)(Additions) reductions in allowance recorded on previously impaired securitiesFor securities sold during the periodFor securities intended/required to be sold prior to recovery of amortized cost basisWriteoffs charged against the allowanceBalance at End of Period
Available-for-sale securities
Asset-backed securities$— $7 $(9)$2 — $— $— $— $— 
Corporates— (15)(16)6 — 3 4 — (18)
Hybrids— — (3)— — 3 — — — 
Residential mortgage-backed securities— 2 (7)1 — — — — (4)
Total available-for-sale securities$— $(6)$(35)$9 $— $6 $4 $— $(22)
(1) Purchased credit deteriorated financial assets ("PCD")
Debt Securities, Available-for-sale, Purchased with Credit Deterioration Purchased credit-deteriorated available-for-sale debt securities ("PCD"s) are AFS securities purchased at a discount, where part of that discount is attributable to credit . Credit loss allowances are calculated for these securities as of the date of their acquisition, with the initial allowance serving to increase amortized cost. The following table summarizes year to date PCD AFS security purchases (in millions).
Purchased credit-deteriorated available-for-sale debt securitiesSeptember 30, 2020
Purchase price$265 
Allowance for credit losses at acquisition35 
Discount (or premiums) attributable to other factors84 
AFS purchased credit-deteriorated par value$384 
Fair Value and Gross Unrealized Losses of Available-for-sale Securities The fair value and gross unrealized losses of available-for-sale securities, excluding securities in an unrealized loss position with an allowance for expected credit loss, aggregated by investment category and duration of fair value below amortized cost as of September 30, 2020, and December 31, 2019 were as follows (dollars in millions):
September 30, 2020
Less than 12 months12 months or longerTotal
Fair ValueGross Unrealized
Losses		Fair ValueGross Unrealized
Losses		Fair ValueGross Unrealized
Losses
Available-for-sale securities
Asset-backed securities$426 $(8)$— $— $426 $(8)
Commercial mortgage-backed securities166 (4)— — 166 (4)
Corporates1,809 (44)36 (1)1,845 (45)
Hybrids205 (3)— — 205 (3)
Municipals133 (1)— — 133 (1)
Residential mortgage-backed securities17 (1)— — 17 (1)
U.S. Government49 — — — 49 — 
Foreign Government11 — — — 11 — 
Total available-for-sale securities$2,816 $(61)$36 $(1)$2,852 $(62)
Total number of available-for-sale securities in an unrealized loss position less than twelve months304 
Total number of available-for-sale securities in an unrealized loss position twelve months or longer6
Total number of available-for-sale securities in an unrealized loss position 310 
December 31, 2019
Less than 12 months12 months or longerTotal
Fair ValueGross Unrealized
Losses		Fair ValueGross Unrealized
Losses		Fair ValueGross Unrealized
Losses
Available-for-sale securities
Corporates$98 $(2)$51 $(1)$149 $(3)
U.S. Government62 (1)— — 62 (1)
Foreign Government— — 33 (2)33 (2)
Total available-for-sale securities$160 $(3)$84 $(3)$244 $(6)
Total number of available-for-sale securities in an unrealized loss position less than twelve months19
Total number of available-for-sale securities in an unrealized loss position twelve months or longer10
Total number of available-for-sale securities in an unrealized loss position 29 
Schedule of Distribution of CMLs, Gross Valuation by Property Type and Geographic Region The distribution of CMLs, gross of valuation allowances, by property type and geographic region is reflected in the following tables (dollars in millions):
September 30, 2020
Gross Carrying Value% of Total
Property Type:
Hotel$19 3 %
Industrial - General11 2 %
Industrial - Warehouse12 2 %
Multifamily113 21 %
Office107 20 %
Retail141 26 %
Other143 26 %
Total commercial mortgage loans, gross of valuation allowance$546 100 %
Allowance for expected credit loss(2)
Total commercial mortgage loans$544 
U.S. Region:
East North Central$63 12 %
East South Central51 9 %
Middle Atlantic77 14 %
Mountain48 9 %
New England43 8 %
Pacific126 23 %
South Atlantic67 12 %
West North Central13 2 %
West South Central58 11 %
Total commercial mortgage loans, gross of valuation allowance$546 100 %
Allowance for expected credit loss(2)
Total commercial mortgage loans$544 
Schedule of Investment in Mortgage Loans by Loan to Value and Debt Service Coverage Ratios
The following table presents the recorded investment in CMLs by LTV and DSC ratio categories and estimated fair value by the indicated loan-to-value ratios at September 30, 2020 (dollars in millions):
Debt-Service Coverage RatiosTotal Amount% of TotalEstimated Fair Value% of Total
>1.251.00 - 1.25
September 30, 2020
LTV Ratios:
Less than 50%$413 $7 $420 77 %$430 77 %
50% to 60%94 — 94 17 %96 17 %
60% to 75%32 — 32 6 %34 6 %
Commercial mortgage loans$539 $7 $546 100 %$560 100 %
Schedule of Residential Mortgage Loans by State The distribution of RMLs by state with highest-to-lowest concentration are reflected in the following tables (dollars in millions):
September 30, 2020
U.S. State:Unpaid Principal Balance% of Total
California$189 17 %
Florida186 17 %
New Jersey100 9 %
All Other States (1)621 57 %
Total mortgage loans$1,096 100 %
(1) The individual concentration of each state is less than 8% as of September 30, 2020.
Schedule of Loans with Credit Quality Indicators, Performing or Nonperforming The credit quality of RMLs as at September 30, 2020, was as follows (dollars in millions):
September 30, 2020
Performance indicators:Carrying Value% of Total
Performing$997 91 %
Non-performing99 9 %
Total residential mortgage loans, gross of valuation allowance$1,096 100 %
Allowance for expected loan loss(33)— %
Total residential mortgage loans$1,063 100 %
Loans Segregated by Risk Rating Exposure
Loans segregated by risk rating exposure as of September 30, 2020, were as follows (in millions):
September 30, 2020
Amortized Cost by Origination Year
20202019201820172016PriorTotal
Residential mortgages
Current (less than 30 days past due)$244 $536 $66 $46 $62 $2 $956 
30-89 days past due17 74 5 1 2 — 99 
Over 90 days past due9 29 3 — — — 41 
Total residential mortgages$270 $639 $74 $47 $64 $2 $1,096 
Commercial mortgages
Current (less than 30 days past due)$174 $— $6 $— $11 $355 $546 
30-89 days past due— — — — — — — 
Over 90 days past due— — — — — — — 
Total commercial mortgage$174 $— $6 $— $11 $355 $546 
September 30, 2020
Amortized Cost by Origination Year
20202019201820172016PriorTotal
Commercial mortgages
LTV
Less than 50%$107 $— $6 $— $— $306 $419 
50% to 60%34 — — — 11 49 94 
60% to 75%33 — — — — — 33 
Total commercial mortgages$174 $— $6 $— $11 $355 $546 
Commercial mortgages
DSCR
Greater than 1.25x$174 $— $6 $— $11 $349 $540 
1.00x - 1.25x— — — — — 6 6 
Less than 1.00x— — — — — — — 
Total commercial mortgages$174 $— $6 $— $11 $355 $546 
Financing Receivable, Nonaccrual
Non-accrual loans by amortized cost as of September 30, 2020, was as follows:
Amortized cost of loans on non-accrualSeptember 30, 2020
Residential mortgage:$64 
Commercial mortgage:— 
Total non-accrual loans$64 
Allowance for Expected Credit Losses on Loans Changes in our allowance for expected credit losses on mortgage loans are recognized in Recognized gains and losses, net in the accompanying unaudited Condensed Consolidated Statements of Earnings. Credit losses on purchase credit deteriorated (“PCD”) financial assets were recognized on the opening balance sheet for the amounts shown in the table below (in millions).
September 30, 2020
Credit Losses on PCD Financial Assets
Residential MortgageCommercial MortgageTotal
Provision for loan losses$26 $2 $28 
For initial credit losses on purchased loans accounted for as PCD financial assets7 — 7 
Balance, September 30, 2020$33 $2 $35 
An allowance for expected credit loss is not measured on accrued interest income for commercial mortgage loans as we have a process to write-off interest on loans that enter into non-accrual status (over 90 days past due). Allowances for expected credit losses are measured on accrued interest income for residential mortgage loans as seen in the table below (in millions).

September 30, 2020
Residential Mortgage$— 
Commercial Mortgage— 
Total loans that are 90 days past due and still accruing$— 
Schedule of Sources of Net Investment Income Reported
The major sources of Interest and investment income reported on the accompanying unaudited Condensed Consolidated Statements of Earnings were as follows (in millions):
Three months endedNine months ended
September 30, 2020September 30, 2019September 30, 2020September 30, 2019
Fixed maturity securities, available-for-sale$286 $18 $419 $54 
Equity securities5 3 14 7 
Preferred securities15 5 40 17 
Mortgage loans24 — 31 — 
Invested cash and short-term investments— 9 8 24 
Limited partnerships25 — 25 — 
Tax deferred property exchange income5 20 28 55 
Other investments7 3 19 16 
Gross investment income367 58 584 173 
Investment expense(31)(1)(43)(3)
Net investment income$336 $57 $541 $170 

Recognized Gains and Losses, net
Details underlying Recognized gains and losses, net reported on the accompanying unaudited Condensed Consolidated Statements of Earnings were as follows (in millions):
Three months endedNine months ended
September 30, 2020September 30, 2019September 30, 2020September 30, 2019
Net realized gains on fixed maturity available-for-sale securities$20 $1 $36 $2 
Net realized/unrealized gains (losses) on equity securities (2)(6)(2)(63)171 
Net realized/unrealized gains (losses) on preferred securities (3)46 4 (28)23 
Realized losses on other invested assets(10)1 (23)(9)
Change in allowance for expected credit losses(11)— (35)— 
Derivatives and embedded derivatives:
Realized gains on certain derivative instruments30 — 39 — 
Unrealized gains on certain derivative instruments16 — 21 — 
Change in fair value of reinsurance related embedded derivatives (1)(14)— (35)— 
Change in fair value of other derivatives and embedded derivatives2 — 3 — 
Realized losses on derivatives and embedded derivatives34 — 28 — 
Recognized gains and losses, net$73 $4 $(85)$187 
(1) Change in fair value of reinsurance related embedded derivatives is due to held for sale unaffiliated third party business under the fair value option election, and activity related to the FGL Insurance and Kubera reinsurance treaty.
(2) Includes valuation losses of less than $1 million and $56 million for the three and nine months ended September 30, 2020, respectively, and valuation (losses) gains of $(1) million and $167 million for the three and nine months ended September 30, 2019, respectively.
(3) Includes valuation gains (losses) of $18 million and $(55) million for the three and nine months ended September 30, 2020, respectively, and valuation gains of $4 million and $23 million for the three and nine months ended September 30, 2019, respectively.
Proceeds from Sale of Fixed Maturity Available-for-sale Securities
The proceeds from the sale of fixed-maturity available for-sale-securities and the gross gains and losses associated with those transactions were as follows (in millions):
Three months endedNine months ended
September 30, 2020September 30, 2019September 30, 2020September 30, 2019
Proceeds$493 $78 $1,007 $450 
Gross gains24 1 53 3 
Gross losses(5)— (12)(1)