INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Available-for-Sale Fixed Maturities by Classification

The following tables provide information relating to the Company’s fixed maturities classified as AFS.

AFS Fixed Maturities by Classification

	Amortized Cost		Allowance for Credit Losses (4)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	(in millions)
March 31, 2020 (5):
Fixed Maturities:
Corporate (1)	$	47,408	$	2	$	1,760	$	844	$	48,322
U.S. Treasury, government and agency	14,226		—		4,407		—		18,633
States and political subdivisions	661		—		71		7		725
Foreign governments	483		—		27		12		498
Residential mortgage-backed (2)	170		—		14		—		184
Asset-backed (3)	1,514		—		6		124		1,396
Commercial mortgage-backed	37		—		2		—		39
Redeemable preferred stock	545		—		10		31		524
Total at March 31, 2020	$	65,044	$	2	$	6,297	$	1,018	$	70,321
December 31, 2019 (5):
Fixed Maturities:
Corporate (1)	$	45,900	$	—	$	2,361	$	62	$	48,199
U.S. Treasury, government and agency	14,410		—		1,289		305		15,394
States and political subdivisions	638		—		70		3		705
Foreign governments	462		—		35		5		492
Residential mortgage-backed (2)	178		—		13		—		191
Asset-backed (3)	848		—		4		3		849
Redeemable preferred stock	501		—		17		5		513
Total at December 31, 2019	$	62,937	$	—	$	3,789	$	383	$	66,343

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(1) Corporate fixed maturities include both public and private issues.

(2) Includes publicly traded agency pass-through securities and collateralized obligations.

(3) Includes credit-tranched securities collateralized by sub-prime mortgages and other asset types and credit tenant loans.

(4) Amounts represent the allowance for credit losses for 2020 (see Note 2 Significant Accounting Policies – Investments)

(5)

Excludes amounts reclassified as Held-for-Sale.

Contractual Maturities of Available-for-Sale Fixed Maturities

The contractual maturities of AFS fixed maturities at March 31, 2020 are shown in the table below. Bonds not due at a single maturity date have been included in the table in the final year of maturity. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Contractual Maturities of AFS Fixed Maturities

	Amortized Cost (Less Allowance for Credit Losses)		Fair Value
	(in millions)
March 31, 2020 (1) (2):
Contractual maturities:
Due in one year or less	$	4,680	$	4,675
Due in years two through five	14,638		14,733
Due in years six through ten	18,606		19,091
Due after ten years	24,852		29,679
Subtotal	62,776		68,178

	Amortized Cost (Less Allowance for Credit Losses)		Fair Value
Residential mortgage-backed	170		184
Asset-backed	1,514		1,396
Commercial-backed	37		39
Redeemable preferred stock	545		524
Total at March 31, 2020	$	65,042	$	70,321

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(1) Net amortized cost is equal to amortized cost, less any allowance for credit losses to the extent applicable.

(2)

Excludes amounts reclassified as Held-for-Sale.

Proceeds and Gains (Losses) on Sales for Available-for-Sale Fixed Maturities

The following table shows proceeds from sales, gross gains (losses) from sales and credit losses for AFS fixed maturities for the three months ended March 31, 2020 and 2019:

Proceeds from Sales, Gross Gains (Losses) from Sales and Credit Losses for AFS Fixed Maturities

	Three Months Ended March 31,
	2020			2019
	(in millions)
Proceeds from sales	$	1,820		$	1,450
Gross gains on sales	$	70		$	8
Gross losses on sales	$	(6	)	$	(18	)
Credit losses (1)	$	(2	)	$	—

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(1)

Commencing with the Company’s adoption of ASU 2016-13 on January 1, 2020, credit losses on AFS debt securities were recognized as an allowance for credit losses. In 2019 and prior, credit losses on AFS fixed maturities were recognized as OTTI.

AFS Fixed Maturities - Credit Loss Impairments

The following table sets forth the amount of credit loss impairments on AFS fixed maturities held by the Company at the dates indicated and the corresponding changes in such amounts.

AFS Fixed Maturities - Credit Loss Impairments

	Three Months Ended March 31,
	2020			2019
	(in millions)
Balance at January 1,	$	(21	)	$	(58	)
Previously recognized impairments on securities that matured, paid, prepaid or sold	—			32
Recognized impairments on securities impaired to fair value this period (1)	—			—
Credit losses recognized this period on securities for which credit losses were not previously recognized	(2		)	—
Additional credit losses this period on securities previously impaired	—			—
Increases due to passage of time on previously recorded credit losses	—			—
Accretion of previously recognized impairments due to increases in expected cash flows (for OTTI securities 2019 and prior)	—			—
Balance at March 31,	$	(23	)	$	(26	)

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(1)

Represents circumstances where the Company determined in the current period that it intends to sell the security, or it is more likely than not that it will be required to sell the security before recovery of the security’s amortized cost.

Net Unrealized Gains (Losses) on Available-for-Sale Fixed Maturities

The tables that follow below present a roll-forward of net unrealized investment gains (losses) recognized in AOCI, split between amounts related to fixed maturities on which a credit loss has been recognized, and all other:

Net Unrealized Gains (Losses) on AFS Fixed Maturities

	Net Unrealized Gains (Losses) on Investments			DAC			Policyholders’ Liabilities			Deferred Income Tax Asset (Liability)			AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in millions)
Balance, January 1, 2020	$	3,453		$	(899	)	$	(189	)	$	(497	)	$	1,868
Net investment gains (losses) arising during the period	1,922			—			—			—			1,922
Reclassification adjustment:
Included in Net income (loss)	(62		)	—			—			—			(62		)
Excluded from Net income (loss)	—			—			—			—			—
Impact of net unrealized investment gains (losses) on:
DAC	—			(23		)	—			—			(23		)
Deferred income taxes	—			—			—			(351		)	(351		)
Policyholders’ liabilities	—			—			(165		)	—			(165		)
Net unrealized investment gains (losses) excluding credit losses	5,313			(922		)	(354		)	(848		)	3,189
Net unrealized investment gains (losses) with credit losses	(7		)	1			—			1			(5		)
Balance, March 31, 2020	$	5,306		$	(921	)	$	(354	)	$	(847	)	$	3,184
Balance, January 1, 2019	$	(522	)	$	100		$	(73	)	$	104		$	(391	)
Net investment gains (losses) arising during the period	1,710			—			—			—			1,710
Reclassification adjustment:
Included in Net income (loss)	(1		)	—			—			—			(1		)
Excluded from Net income (loss)	—			—			—			—			—
Impact of net unrealized investment gains (losses) on:
DAC	—			(701		)	—			—			(701		)
Deferred income taxes	—			—			—			(230		)	(230		)
Policyholders’ liabilities	—			—			85			—			85
Net unrealized investment gains (losses) excluding credit losses	1,187			(601		)	12			(126		)	472
Net unrealized investment gains (losses) with credit losses (1)	1			—			—			—			1
Balance, March 31, 2019	$	1,188		$	(601	)	$	12		$	(126	)	$	473

_____________

(1)

Credit losses for 2019 were OTTI losses.

Continuous Gross Unrealized Losses for Available-for-Sale Fixed Maturities

The following tables disclose the fair values and gross unrealized losses of the 1,723 issues at March 31, 2020 and the 413 issues at December 31, 2019 that are not deemed to have credit losses, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position for the specified periods at the dates indicated:

AFS Fixed Maturities in an Unrealized Loss Position for Which No Allowance Is Recorded

	Less Than 12 Months				12 Months or Longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in millions)
March 31, 2020 (1):
Fixed Maturities:
Corporate	$	14,516	$	750	$	265	$	90	$	14,781	$	840
U.S. Treasury, government and agency	—		—		—		—		—		—
States and political subdivisions	188		7		—		—		188		7
Foreign governments	127		5		36		8		163		13
Residential mortgage-backed	17		—		10		—		27		—
Asset-backed	1,202		116		61		7		1,263		123
Commercial mortgage-backed	—		—		—		—		—		—
Redeemable preferred stock	265		25		43		6		308		31
Total at March 31, 2020	$	16,315	$	903	$	415	$	111	$	16,730	$	1,014
December 31, 2019 (1) (2):
Fixed Maturities:
Corporate	$	2,773	$	42	$	373	$	20	$	3,146	$	62
U.S. Treasury, government and agency	4,309		305		2		—		4,311		305
States and political subdivisions	112		3		—		—		112		3
Foreign governments	11		—		47		5		58		5
Residential mortgage-backed	—		—		—		—		—		—
Asset-backed	319		1		201		2		520		3
Commercial mortgage-backed	—		—		—		—		—		—
Redeemable preferred stock	29		—		49		5		78		5
Total at December 31, 2019	$	7,553	$	351	$	672	$	32	$	8,225	$	383

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(1) Excludes amounts reclassified as Held-for-Sale.

(2)

Amounts represents fixed maturities in an unrealized loss position that are not deemed to be other-than-temporarily impaired for 2019

Financing Receivable, Allowance for Credit Loss

The change in the allowance for credit losses for commercial mortgage loans and agricultural mortgage loans during the three months ended March 31, 2020 was as follows:

	Three Months Ended March 31,
	2020
	(in millions)
Allowance for credit losses on mortgage loans (1):
Commercial mortgages:
Beginning Balance, January 1,	$	(33	)
Current-period provision for expected credit losses	(11		)
Write-offs charged against the allowance	—
Recoveries of amounts previously written off	1
Ending Balance, Net change in allowance	$	(10	)
Ending Balance, March 31	$	(43	)

	Three Months Ended March 31,
	2020
	(in millions)
Agricultural mortgages:
Beginning Balance, January 1,	$	(3	)
Current-period provision for expected credit losses	—
Write-offs charged against the allowance	—
Recoveries of amounts previously written off	—
Net change in allowance	—
Ending Balance, March 31	$	(3	)
Total allowance for credit losses	$	(46	)

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(1)

See Note 2 for discussion of the transition balance.

Financing Receivable Credit Quality Indicators

The following tables summarize the Company’s mortgage loans segregated by risk rating exposure for the three months ended March 31, 2020.

LTV Ratios (1)(3)

	At March 31, 2020
	Amortized Cost Basis by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
	(in millions)
Mortgage loans:
Commercial:
0% - 50%	$	—	$	—	$	28	$	324	$	213	$	637	$	1,202
50% - 70%	119		767		1,003		1,072		2,501		2,046		7,508
70% - 90%	—		85		209		10		59		391		754
90% plus	—		—		—		—		—		—		—
Total commercial	$	119	$	852	$	1,240	$	1,406	$	2,773	$	3,074	$	9,464
Agricultural:
0% - 50%	$	30	$	136	$	164	$	171	$	270	$	834	$	1,605
50% - 70%	38		165		187		126		145		420		1,081
70% - 90%	—		—		3		—		—		16		19
90% plus	—		—		—		—		—		—		—
Total agricultural	$	68	$	301	$	354	$	297	$	415	$	1,270	$	2,705
Total mortgage loans:
0% - 50%	$	30	$	136	$	192	$	495	$	483	$	1,471	$	2,807
50% - 70%	157		932		1,190		1,198		2,646		2,466		8,589
70% - 90%	—		85		212		10		59		407		773
90% plus	—		—		—		—		—		—		—
Total mortgage loans	$	187	$	1,153	$	1,594	$	1,703	$	3,188	$	4,344	$	12,169

Debt Service Coverage Ratios (2)(3)

	At March 31, 2020
	Amortized Cost Basis by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
	(in millions)
Mortgage loans:
Commercial:
Greater than 2.0x	$	119	$	373	$	680	$	583	$	2,242	$	1,340	$	5,337
1.8x to 2.0x	—		184		48		379		40		451		1,102
1.5x to 1.8x	—		242		223		332		491		577		1,865
1.2x to 1.5x	—		—		207		75		—		590		872
1.0x to 1.2x	—		53		82		37		—		116		288
Less than 1.0x	—		—		—		—		—		—		—
Total commercial	$	119	$	852	$	1,240	$	1,406	$	2,773	$	3,074	$	9,464
Agricultural
Greater than 2.0x	$	3	$	38	$	41	$	37	$	77	$	189	$	385
1.8x to 2.0x	7		30		15		17		22		102		193
1.5x to 1.8x	26		39		47		49		62		249		472
1.2x to 1.5x	12		127		150		121		174		413		997
1.0x to 1.2x	17		57		92		72		61		276		575
Less than 1.0x	3		10		9		1		19		41		83
Total agricultural	$	68	$	301	$	354	$	297	$	415	$	1,270	$	2,705
Total mortgage loans
Greater than 2.0x	$	122	$	411	$	721	$	620	$	2,319	$	1,529	$	5,722
1.8x to 2.0x	7		214		63		396		62		553		1,295
1.5x to 1.8x	26		281		270		381		553		826		2,337
1.2x to 1.5x	12		127		357		196		174		1,003		1,869
1.0x to 1.2x	17		110		174		109		61		392		863
Less than 1.0x	3		10		9		1		19		41		83
Total mortgage loans	$	187	$	1,153	$	1,594	$	1,703	$	3,188	$	4,344	$	12,169

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(1) The LTV ratio is derived from current loan balance divided by the fair value of the property. The fair value of the underlying commercial properties is updated annually.

(2) The DSC ratio is calculated using the most recently reported operating income results from property operations divided by annual debt service.

(3) Amounts presented at amortized cost basis.

The following tables provide information relating to the LTV and DSC ratios for commercial and agricultural mortgage loans at March 31, 2020 and December 31, 2019. The values used in these ratio calculations were developed as part of the periodic review of the commercial and agricultural mortgage loan portfolio, which includes an evaluation of the underlying collateral value.

Mortgage Loans by LTV and DSC Ratios

	DSC Ratio (2) (3)
LTV Ratio (1) (3):	Greater than 2.0x		1.8x to 2.0x		1.5x to 1.8x		1.2x to 1.5x		1.0x to 1.2x		Less than 1.0x		Total
	(in millions)
March 31, 2020:
Mortgage loans:
Commercial:
0% - 50%	$	942	$	21	$	214	$	25	$	—	$	—	$	1,202
50% - 70%	4,143		983		1,437		704		241		—		7,508
70% - 90%	252		98		214		143		47		—		754
90% plus	—		—		—		—		—		—		—
Total commercial	$	5,337	$	1,102	$	1,865	$	872	$	288	$	—	$	9,464
Agricultural:
0% - 50%	$	304	$	110	$	252	$	558	$	333	$	48	$	1,605
50% - 70%	81		83		220		420		242		35		1,081
70% - 90%	—		—		—		19		—		—		19
90% plus	—		—		—		—		—		—		—
Total agricultural	$	385	$	193	$	472	$	997	$	575	$	83	$	2,705
Total mortgage loans:
0% - 50%	$	1,246	$	131	$	466	$	583	$	333	$	48	$	2,807
50% - 70%	4,224		1,066		1,657		1,124		483		35		8,589
70% - 90%	252		98		214		162		47		—		773
90% plus	—		—		—		—		—		—		—
Total mortgage loans	$	5,722	$	1,295	$	2,337	$	1,869	$	863	$	83	$	12,169
December 31, 2019:
Mortgage loans:
Commercial:
0% - 50%	$	903	$	38	$	214	$	25	$	—	$	—	$	1,180
50% - 70%	4,097		1,195		1,118		795		242		—		7,447
70% - 90%	251		98		214		154		46		—		763
90% plus	—		—		—		—		—		—		—
Total commercial	$	5,251	$	1,331	$	1,546	$	974	$	288	$	—	$	9,390
Agricultural:
0% - 50%	$	322	$	104	$	241	$	545	$	321	$	50	$	1,583
50% - 70%	82		87		236		426		251		33		1,115
70% - 90%	—		—		—		19		—		—		19
90% plus	—		—		—		—		—		—		—
Total agricultural	$	404	$	191	$	477	$	990	$	572	$	83	$	2,717
Total mortgage loans:
0% - 50%	$	1,225	$	142	$	455	$	570	$	321	$	50	$	2,763
50% - 70%	4,179		1,282		1,354		1,221		493		33		8,562
70% - 90%	251		98		214		173		46		—		782
90% plus	—		—		—		—		—		—		—
Total mortgage loans	$	5,655	$	1,522	$	2,023	$	1,964	$	860	$	83	$	12,107

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(1) The LTV ratio is derived from current loan balance divided by the fair value of the property. The fair value of the underlying commercial properties is updated annually.

(2) The DSC ratio is calculated using the most recently reported operating income results from property operations divided by annual debt service.

(3)

Amounts presented at amortized cost basis.

Age Analysis Of Past Due Mortgage Loans

The following table provides information relating to the aging analysis of past-due mortgage loans at March 31, 2020 and December 31, 2019, respectively.

Age Analysis of Past Due Mortgage Loans (1)

	Accruing Loans												Non-accruing Loans		Total Loans		Non-accruing Loans with No allowance		Interest Income on Non-accruing Loans
	Past Due								Current		Total
	30-59 Days		60-89 Days		90 Days or More		Total
	(in millions)
March 31, 2020:
Mortgage loans:
Commercial	$	—	$	—	$	—	$	—	$	9,464	$	9,464	$	—	$	9,464	$	—	$	—
Agricultural	7		17		63		87		2,618		2,705		—		2,705		—		—
Total	$	7	$	17	$	63	$	87	$	12,082	$	12,169	$	—	$	12,169	$	—	$	—
December 31, 2019:
Mortgage loans:
Commercial	$	—	$	—	$	—	$	—	$	9,390	$	9,390	$	—	$	9,390	$	—	$	—
Agricultural	57		1		66		124		2,593		2,717		—		2,717		—		—
Total	$	57	$	1	$	66	$	124	$	11,983	$	12,107	$	—	$	12,107	$	—	$	—

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(1) Amounts presented at amortized cost basis.

Net Investment Income (Loss) from Trading Securities

The table below shows a breakdown of Net investment income (loss) from trading securities during the three months ended March 31, 2020 and 2019:

Net Investment Income (Loss) from Trading Securities

	Three Months Ended March 31,
	2020			2019
	(in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period	$	(186	)	$	318
Net investment gains (losses) recognized on securities sold during the period	4			(24		)
Unrealized and realized gains (losses) on trading securities	(182		)	294
Interest and dividend income from trading securities	51			92
Net investment income (loss) from trading securities	$	(131	)	$	386