XML 40 R28.htm IDEA: XBRL DOCUMENT v3.20.2
INVESTMENTS (Tables)
 6 Months Ended
Jun. 30, 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)
June 30, 2020
Fixed Maturities:
Corporate (1)$49,494  $13  $4,452  $156  $53,777  
U.S. Treasury, government and agency
13,135  —  4,242  —  17,377  
States and political subdivisions
663  —  112  —  775  
Foreign governments
771  —  69  5  835  
Residential mortgage-backed (2)160  —  15  —  175  
Asset-backed (3)2,062  —  24  41  2,045  
Commercial mortgage-backed854  —  25  —  879  
Redeemable preferred stock376  —  15  11  380  
Total at June 30, 2020$67,515  $13  $8,954  $213  $76,243  
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 stock501  —  17  5  513  
Total at December 31, 2019$62,937  $—  $3,789  $383  $66,343  
______________
(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 June 30, 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)
June 30, 2020 (1)
Contractual maturities:
Due in one year or less$4,645  $4,688  
Due in years two through five15,141  15,985  
Due in years six through ten18,394  20,398  
Due after ten years25,870  31,693  
Subtotal64,050  72,764  
Residential mortgage-backed
160  175  
Asset-backed
2,062  2,045  
Commercial mortgage-backed854  879  
Redeemable preferred stock
376  380  
Total at June 30, 2020$67,502  $76,243  
______________
(1)Net amortized cost is equal to amortized cost, less any allowance for credit losses to the extent applicable.
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 and six months ended June 30, 2020 and 2019:
Proceeds from Sales, Gross Gains (Losses) from Sales and Credit Losses for AFS Fixed Maturities
 
Three Months Ended June 30,Six Months Ended June 30,
 
2020201920202019
 
(in millions)
Proceeds from sales$2,947  $1,614  $4,767  $3,064  
Gross gains on sales$207  $10  $277  $18  
Gross losses on sales$(28) $(7) $(34) $(25) 
Credit losses (1)$(11) $—  $(13) $—  
______________
(1) Commencing with the Company’s adoption of ASU 2016-13 on January 1, 2020, credit losses on AFS debt securities were recognized as an allowance for credit losses. In 2019 and prior, credit losses on AFS fixed maturities were recognized as OTTI.
AFS Fixed Maturities - Credit Loss Impairments The following table sets forth the amount of credit loss impairments on AFS fixed maturities held by the Company at the dates indicated and the corresponding changes in such amounts.
AFS Fixed Maturities - Credit Loss Impairments
Three Months Ended June 30,Six Months Ended June 30,
2020201920202019
(in millions)
Balance, beginning of period$(23) $(26) $(21) $(58) 
Previously recognized impairments on securities that matured, paid, prepaid or sold2  1  2  33  
Recognized impairments on securities impaired to fair value this period (1)—  —  —  —  
Credit losses recognized this period on securities for which credit losses were not previously recognized(8) —  (10) —  
Additional credit losses this period on securities previously impaired(3) —  (3) —  
Increases due to passage of time on previously recorded credit losses—  —  —  —  
Accretion of previously recognized impairments due to increases in expected cash flows (for OTTI securities 2019 and prior)—  —  —  —  
Balance at June 30,$(32) $(25) $(32) $(25) 
______________
(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 InvestmentsDACPolicyholders’ LiabilitiesDeferred Income Tax Asset (Liability)AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
(in millions)
Balance, April 1, 2020$5,306  $(921) $(354) $(847) $3,184  
Net investment gains (losses) arising during the period3,614  —  —  —  3,614  
Reclassification adjustment:
Included in Net income (loss)(190) —  —  —  (190) 
Excluded from Net income (loss)—  —  —  —  —  
Impact of net unrealized investment gains (losses) on:
DAC—  (600) —  —  (600) 
Deferred income taxes—  —  —  (450) (450) 
Policyholders’ liabilities—  —  (681) —  (681) 
Net unrealized investment gains (losses) excluding credit losses8,730  (1,521) (1,035) (1,297) 4,877  
Net unrealized investment gains (losses) with credit losses(2) —  1  —  (1) 
Balance, June 30, 2020$8,728  $(1,521) $(1,034) $(1,297) $4,876  
Net Unrealized Gains (Losses) on InvestmentsDACPolicyholders’ LiabilitiesDeferred Income Tax Asset (Liability)AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
(in millions)
Balance, April 1, 2019$1,187  $(601) $12  $(126) $472  
Net investment gains (losses) arising during the period1,746  —  —  —  1,746  
Reclassification adjustment:
Included in Net income (loss)(4) —  —  —  (4) 
Excluded from Net income (loss)—  —  —  —  —  
Impact of net unrealized investment gains (losses) on:
DAC—  49  —  —  49  
Deferred income taxes—  —  —  (355) (355) 
Policyholders’ liabilities—  —  (100) —  (100) 
Net unrealized investment gains (losses) excluding credit losses2,929  (552) (88) (481) 1,808  
Net unrealized investment gains (losses) with credit losses (1)2  —  —  —  2  
Balance, June 30, 2019$2,931  $(552) $(88) $(481) $1,810  

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 period5,536  —  —  —  5,536  
Reclassification adjustment:
Included in Net income (loss)(252) —  —  —  (252) 
Excluded from Net income (loss)—  —  —  —  —  
Impact of net unrealized investment gains (losses) on:
DAC—  (624) —  —  (624) 
Deferred income taxes—  —  —  (801) (801) 
Policyholders’ liabilities—  —  (846) —  (846) 
Net unrealized investment gains (losses) excluding credit losses8,737  (1,523) (1,035) (1,298) 4,881  
Net unrealized investment gains (losses) with credit losses(9) 2  1  1  (5) 
Balance, June 30, 2020$8,728  $(1,521) $(1,034) $(1,297) $4,876  
Net Unrealized Gains (Losses) on Investments
DAC
Policyholders’ Liabilities
Deferred Income Tax Asset (Liability)
AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
Balance, January 1, 2019$(522) $100  $(73) $104  $(391) 
Net investment gains (losses) arising during the period3,456  —  —  —  3,456  
Reclassification adjustment:
Included in Net income (loss)(5) —  —  —  (5) 
Excluded from Net income (loss)—  —  —  —  —  
Impact of net unrealized investment gains (losses) on:
DAC—  (652) —  —  (652) 
Deferred income taxes—  —  —  (585) (585) 
Policyholders’ liabilities—  —  (15) —  (15) 
Net unrealized investment gains (losses) excluding credit losses2,929  (552) (88) (481) 1,808  
Net unrealized investment gains (losses) with credit losses (1)2  —  —  —  2  
Balance, June 30, 2019$2,931  $(552) $(88) $(481) $1,810  
_____________
(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 652 issues at June 30, 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)
June 30, 2020:
Fixed Maturities:
Corporate$2,574  $96  $277  $53  $2,851  $149  
Foreign governments47  6  —  —  47  6  
Asset-backed1,349  37  73  4  1,422  41  
Redeemable preferred stock123  9  11  2  134  11  
Total at June 30, 2020$4,093  $148  $361  $59  $4,454  $207  
December 31, 2019: (1) (2)
Fixed Maturities:
Corporate$2,773  $42  $373  $20  $3,146  $62  
U.S. Treasury, government and agency4,309  305  2  —  4,311  305  
States and political subdivisions112  3  —  —  112  3  
Foreign governments11  —  47  5  58  5  
Asset-backed319  1  201  2  520  3  
Redeemable preferred stock29  —  49  5  78  5  
Total at December 31, 2019$7,553  $351  $672  $32  $8,225  $383  
______________
(1)Amounts represents fixed maturities in an unrealized loss position that are not deemed to be other-than-temporarily impaired for 2019.
(2)Excludes amounts reclassified as Held-for-Sale.
Financing Receivable, Allowance for Credit Loss
The change in the allowance for credit losses for commercial mortgage loans and agricultural mortgage loans during the three and six months ended June 30, 2020 was as follows:
Three Months Ended June 30, 2020Six Months Ended June 30, 2020
(in millions)
Allowance for credit losses on mortgage loans (1):
Commercial mortgages:
Balance, beginning of period$(43) $(33) 
Current-period provision for expected credit losses(19) (29) 
Write-offs charged against the allowance—  —  
Recoveries of amounts previously written off—  —  
Net change in allowance$(19) $(29) 
Ending Balance, June 30,$(62) $(62) 
Agricultural mortgages:
Balance, beginning of period$(3) $(3) 
Current-period provision for expected credit losses(1) (1) 
Write-offs charged against the allowance—  —  
Recoveries of amounts previously written off—  —  
Net change in allowance$(1) $(1) 
Ending Balance, June 30,$(4) $(4) 
Total allowance for credit losses$(66) $(66) 
_______________
(1)See Note 2 for discussion of the transition balance.
Financing Receivable Credit Quality Indicators
The following tables summarize the Company’s mortgage loans segregated by risk rating exposure at June 30, 2020.
LTV Ratios (1)(3)
At June 30, 2020
Amortized Cost Basis by Origination Year
20202019201820172016
Prior
Total
(in millions)
Mortgage loans:
Commercial:
0% - 50%$—  $—  $29  $324  $213  $748  $1,314  
50% - 70%656  613  915  759  2,501  1,714  7,158  
70% - 90%90  184  304  113  58  464  1,213  
90% plus—  —  —  5  —  156  161  
Total commercial$746  $797  $1,248  $1,201  $2,772  $3,082  $9,846  
Agricultural:
0% - 50%$106  $139  $159  $167  $254  $733  $1,558  
At June 30, 2020
Amortized Cost Basis by Origination Year
20202019201820172016
Prior
Total
(in millions)
50% - 70%204  139  186  112  129  394  1,164  
70% - 90%—  —  3  —  —  18  21  
90% plus—  —  —  —  —  —  —  
Total agricultural$310  $278  $348  $279  $383  $1,145  $2,743  
Total mortgage loans:
0% - 50%$106  $139  $188  $491  $467  $1,481  $2,872  
50% - 70%860  752  1,101  871  2,630  2,108  8,322  
70% - 90%90  184  307  113  58  482  1,234  
90% plus—  —  —  5  —  156  161  
Total mortgage loans$1,056  $1,075  $1,596  $1,480  $3,155  $4,227  $12,589  

Debt Service Coverage Ratios (2)(3)
At June 30, 2020
Amortized Cost Basis by Origination Year
20202019201820172016
Prior
Total
(in millions)
Mortgage loans:
Commercial:
Greater than 2.0x$621  $373  $801  $377  $2,151  $1,315  $5,638  
1.8x to 2.0x90  187  123  409  70  484  1,363  
1.5x to 1.8x35  183  230  302  551  610  1,911  
1.2x to 1.5x—  12  11  76  —  673  772  
1.0x to 1.2x—  42  83  37  —  —  162  
Less than 1.0x—  —  —  —  —  —  —  
Total commercial$746  $797  $1,248  $1,201  $2,772  $3,082  $9,846  
Agricultural
Greater than 2.0x$43  $28  $39  $37  $76  $162  $385  
1.8x to 2.0x11  36  15  17  21  91  191  
1.5x to 1.8x75  39  46  43  52  232  487  
1.2x to 1.5x110  126  148  110  158  349  1,001  
1.0x to 1.2x67  39  92  71  58  275  602  
Less than 1.0x4  10  8  1  18  36  77  
Total agricultural$310  $278  $348  $279  $383  $1,145  $2,743  
Total mortgage loans
Greater than 2.0x$664  $401  $840  $414  $2,227  $1,477  $6,023  
1.8x to 2.0x101  223  138  426  91  575  1,554  
1.5x to 1.8x110  222  276  345  603  842  2,398  
1.2x to 1.5x110  138  159  186  158  1,022  1,773  
1.0x to 1.2x67  81  175  108  58  275  764  
Less than 1.0x4  10  8  1  18  36  77  
Total mortgage loans$1,056  $1,075  $1,596  $1,480  $3,155  $4,227  $12,589  
______________
(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 for each mortgage loan.
(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 June 30, 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)
June 30, 2020:
Mortgage loans:
Commercial:
0% - 50%$1,033  $20  $237  $24  $—  $—  $1,314  
50% - 70%4,208  1,080  1,353  485  32  —  7,158  
70% - 90%312  263  321  187  130  —  1,213  
90% plus85  —  —  76  —  —  161  
Total commercial$5,638  $1,363  $1,911  $772  $162  $—  $9,846  
Agricultural:
0% - 50%$292  $106  $255  $520  $333  $52  $1,558  
50% - 70%93  83  232  462  269  25  1,164  
70% - 90%—  2  —  19  —  —  21  
90% plus—  —  —  —  —  —  —  
Total agricultural$385  $191  $487  $1,001  $602  $77  $2,743  
Total mortgage loans:
0% - 50%$1,325  $126  $492  $544  $333  $52  $2,872  
50% - 70%4,301  1,163  1,585  947  301  25  8,322  
70% - 90%312  265  321  206  130  —  1,234  
90% plus85  —  —  76  —  —  161  
Total mortgage loans$6,023  $1,554  $2,398  $1,773  $764  $77  $12,589  
 
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)
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  $12,107  
______________
(1)The LTV ratio is derived from current loan balance divided by the fair value of the property. The fair value of the underlying commercial properties is updated annually for each mortgage loan.
(2)The DSC ratio is calculated using the most recently reported operating income results from property operations divided by annual debt service.
(3)Amounts presented at amortized cost basis.
Age Analysis Of Past Due Mortgage Loans
The following table provides information relating to the aging analysis of past-due mortgage loans at June 30, 2020 and December 31, 2019, respectively.
Age Analysis of Past Due Mortgage Loans (1)
Accruing Loans
Non-accruing Loans
Total Loans
Non-accruing Loans with No AllowanceInterest Income on Non-accruing Loans (2)
Past Due
Current
Total
30-59 Days
60-89 Days
90 Days or More
Total
(in millions)
June 30, 2020:
Mortgage loans:
Commercial$—  $—  $—  $—  $9,771  $9,771  $75  $9,846  $75  $1  
Agricultural67  9  49  125  2,618  2,743  —  2,743  —  —  
Total$67  $9  $49  $125  $12,389  $12,514  $75  $12,589  $75  $1  
December 31, 2019:
Mortgage loans:
Commercial$—  $—  $—  $—  $9,390  $9,390  $—  $9,390  $—  $—  
Agricultural57  1  66  124  2,593  2,717  —  2,717  —  —  
Total$57  $1  $66  $124  $11,983  $12,107  $—  $12,107  $—  $—  
_______________
(1) Amounts presented at amortized cost basis.
(2) Amounts for 2020 represent results for both the three and six months ended June 30, 2020.
Net Investment Income (Loss) from Trading Securities The table below shows a breakdown of Net investment income (loss) from trading securities during the three and six months ended June 30, 2020 and 2019.
Net Investment Income (Loss) from Trading Securities
Three Months Ended June 30,Six Months Ended June 30,
2020201920202019
(in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period$287  $159  $101  $477  
Net investment gains (losses) recognized on securities sold during the period25  3  29  (21) 
Unrealized and realized gains (losses) on trading securities312  162  130  456  
Interest and dividend income from trading securities48  73  99  165  
Net investment income (loss) from trading securities$360  $235  $229  $621