XML 35 R22.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investment Holding Level 3 (Tables)
 6 Months Ended
Jun. 30, 2017
Schedule of Investments [Abstract]  
Realized Gain (Loss) on Investments [Table Text Block]
Net Realized Capital Gains (Losses)
 
Three Months Ended June 30,
Six Months Ended June 30,
(Before-tax)
2017
2016
2017
2016
Gross gains on sales
$
63

$
61

$
113

$
91

Gross losses on sales
(11
)
(13
)
(40
)
(60
)
Net other-than-temporary impairment ("OTTI") losses recognized in earnings
(13
)
(1
)
(13
)
(11
)
Valuation allowances on mortgage loans
2

—

2

—

Results of variable annuity hedge program



 
 
GMWB derivatives, net
20

3

38

(14
)
Macro hedge program
(38
)
(20
)
(124
)
(34
)
Total results of variable annuity hedge program
(18
)
(17
)
(86
)
(48
)
Transactional foreign currency revaluation
4

(64
)
(14
)
(108
)
Non-qualifying foreign currency derivatives
(9
)
62

8

96

Other, net [1]
—

(25
)
2

(74
)
Net realized capital gains
$
18

$
3

$
(28
)
$
(114
)

[1]
Includes non-qualifying derivatives, excluding variable annuity hedge program and foreign currency derivatives, of $(5) and $(23), respectively, for the three months ended June 30, 2017 and 2016. For the six months ended June 30, 2017 and 2016, the non-qualifying derivatives, excluding variable annuity hedge program and foreign currency derivatives of $(3) and $(29), respectively.
Net realized capital gains and losses from investment sales are reported as a component of revenues and are determined on a specific identification basis. Before tax, net gains and losses on sales and impairments previously reported as unrealized gains or losses in AOCI were $39 and $60 for the three and six months ended June 30, 2017, respectively, and $47 and $21 for the three and six months ended June 30, 2016, respectively. Proceeds from sales of AFS securities totaled $2.1 billion and $4.5 billion for three and six months ended June 30, 2017, respectively, and $1.7 billion and $3.9 billion for the three and six months ended June 30, 2016, respectively.
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]
Cumulative Credit Impairments
 
Three Months Ended June 30,
 
Six Months Ended June 30,
(Before-tax)
2017
2016
 
2017
2016
Balance as of beginning of period
$
(161
)
$
(215
)
 
$
(170
)
$
(211
)
Additions for credit impairments recognized on [1]:
 
 
 
 
 
Securities not previously impaired
(1
)
—

 
(1
)
(8
)
Securities previously impaired
(12
)
(1
)
 
(12
)
(1
)
Reductions for credit impairments previously recognized on:
 
 
 
 
 
Securities that matured or were sold during the period
28

26

 
33

26

Securities due to an increase in expected cash flows
4

9

 
8

13

Balance as of end of period
$
(142
)
$
(181
)
 
$
(142
)
$
(181
)
[1]
These additions are included in the net OTTI losses recognized in earnings in the Condensed Consolidated Statements of Operations.
Concentration Risk, Credit Risk, Policy [Policy Text Block]
Concentration of Credit Risk
The Company aims to maintain a diversified investment portfolio including issuer, sector and geographic stratification, where applicable, and has established certain exposure limits, diversification standards and review procedures to mitigate credit risk.
The Company had no investment exposure to any credit concentration risk of a single issuer greater than 10% of the Company’s stockholder's equity, other than the U.S. government and certain U.S. government agencies as of June 30, 2017 and December 31, 2016. For further discussion of concentration of credit risk, see the Concentration of Credit Risk section in Note 3 - Investments of Notes to Consolidated Financial Statements in the Company’s 2016 Form 10-K Annual Report.
Schedule of Unrealized Loss on Investments [Table Text Block]
Unrealized Losses on AFS Securities
Unrealized Loss Aging for AFS Securities by Type and Length of Time as of June 30, 2017
 
Less Than 12 Months
 
12 Months or More
 
Total
 
Amortized Cost
Fair Value
Unrealized Losses
 
Amortized Cost
Fair Value
Unrealized Losses
 
Amortized Cost
Fair Value
Unrealized Losses
ABS
$
259

$
258

$
(1
)
 
$
201

$
186

$
(15
)
 
$
460

$
444

$
(16
)
CDOs
602

600

(2
)
 
109

109

—

 
711

709

(2
)
CMBS
785

771

(14
)
 
60

56

(4
)
 
845

827

(18
)
Corporate
1,544

1,519

(25
)
 
435

416

(19
)
 
1,979

1,935

(44
)
Foreign govt./govt. agencies
71

70

(1
)
 
31

28

(3
)
 
102

98

(4
)
Municipal
89

87

(2
)
 
—

—

—

 
89

87

(2
)
RMBS
237

235

(2
)
 
93

92

(1
)
 
330

327

(3
)
U.S. Treasuries
333

329

(4
)
 
—

—

—

 
333

329

(4
)
Total fixed maturities, AFS
3,920

3,869

(51
)
 
929

887

(42
)
 
4,849

4,756

(93
)
Equity securities, AFS
8

8

—

 
4

3

(1
)
 
12

11

(1
)
Total securities in an unrealized loss position
$
3,928

$
3,877

$
(51
)
 
$
933

$
890

$
(43
)
 
$
4,861

$
4,767

$
(94
)
Unrealized Loss Aging for AFS Securities by Type and Length of Time as of December 31, 2016
 
Less Than 12 Months
 
12 Months or More
 
Total
 
Amortized Cost
Fair Value
Unrealized Losses
 
Amortized Cost
Fair Value
Unrealized Losses
 
Amortized Cost
Fair Value
Unrealized Losses
ABS
$
249

$
248

$
(1
)
 
$
265

$
239

$
(26
)
 
$
514

$
487

$
(27
)
CDOs
325

325

—

 
210

208

(2
)
 
535

533

(2
)
CMBS
1,058

1,030

(28
)
 
139

133

(6
)
 
1,197

1,163

(34
)
Corporate
2,535

2,464

(71
)
 
402

378

(24
)
 
2,937

2,842

(95
)
Foreign govt./govt. agencies
164

155

(9
)
 
6

5

(1
)
 
170

160

(10
)
Municipal
166

160

(6
)
 
—

—

—

 
166

160

(6
)
RMBS
548

535

(13
)
 
198

195

(3
)
 
746

730

(16
)
U.S. Treasuries
385

371

(14
)
 
—

—

—

 
385

371

(14
)
Total fixed maturities, AFS
5,430

5,288

(142
)
 
1,220

1,158

(62
)
 
6,650

6,446

(204
)
Equity securities, AFS
59

57

(2
)
 
5

5

—

 
64

62

(2
)
Total securities in an unrealized loss position
$
5,489

$
5,345

$
(144
)
 
$
1,225

$
1,163

$
(62
)
 
$
6,714

$
6,508

$
(206
)
Schedule of Accounts, Notes, Loans and Financing Receivable [Table Text Block]
Mortgage Loans
Mortgage Loan Valuation Allowances
Commercial mortgage loans are considered to be impaired when management estimates that, based upon current information and events, it is probable that the Company will be unable to collect amounts due according to the contractual terms of the loan agreement. The Company reviews mortgage loans on a quarterly basis to identify potential credit losses. Among other factors, management reviews current and projected macroeconomic trends, such as unemployment rates, and property-specific factors such as rental rates, occupancy levels, LTV ratios and debt service coverage ratios (“DSCR”). In addition, the Company considers historical, current and projected delinquency rates and property values. Estimates of collectibility require the use of significant management judgment and include the probability and timing of borrower default and loss severity estimates. In addition, cash flow projections may change based upon new information about the borrower's ability to pay and/or the value of underlying collateral such as changes in projected property value estimates.
For mortgage loans that are deemed impaired, a valuation allowance is established for the difference between the carrying amount and estimated value. The mortgage loan's estimated value is most frequently the Company's share of the fair value of the collateral but may also be the Company’s share of either (a) the present value of the expected future cash flows discounted at the loan’s effective interest rate or (b) the loan’s observable market price. A valuation allowance may be recorded for an individual loan or for a group of loans that have an LTV ratio of 90% or greater, a low DSCR or have other lower credit quality characteristics. Changes in valuation allowances are recorded in net realized capital gains and losses. Interest income on impaired loans is accrued to the extent it is deemed collectible and the borrowers continue to make payments under the original or restructured loan terms. The Company stops accruing interest income on loans when it is probable that the Company will not receive interest and principal payments according to the contractual terms of the loan agreement. The company resumes accruing interest income when it determines that sufficient collateral exists to satisfy the full amount of the loan principal and interest payments and when it is probable cash will be received in the foreseeable future. Interest income on defaulted loans is recognized when received.
As of June 30, 2017, commercial mortgage loans had an amortized cost of $2.8 billion, with a valuation allowance of $1 and a carrying value of $2.8 billion. As of December 31, 2016, commercial mortgage loans had an amortized cost of $2.8 billion, with a valuation allowance of $19 and a carrying value of $2.8 billion. Amortized cost represents carrying value prior to valuation allowances, if any.
As of June 30, 2017 and December 31, 2016, the carrying value of mortgage loans that had a valuation allowance was $4 and $31, respectively. There were no mortgage loans held-for-sale as of June 30, 2017 or December 31, 2016. As of June 30, 2017, the Company had an immaterial amount of mortgage loans that have had extensions or restructurings other than what is allowable under the original terms of the contract.
Valuation Allowance Activity
 
Six Months Ended June 30,
 
2017
2016
Balance as of January 1
$
(19
)
$
(19
)
(Additions)/Reversals
(1
)
—

Deductions
19

—

Balance as of March 31
$
(1
)
$
(19
)

Mortgage Loans by Property Type
 
 
 
 
 
 
 
June 30, 2017
 
December 31, 2016
 
Carrying Value
Percent of Total
 
Carrying Value
Percent of Total
Commercial
 
 
 
 
 
Agricultural
$
4

0.1%
 
$
16

0.6%
Industrial
758

27.5%
 
793

28.2%
Lodging
25

0.9%
 
25

0.9%
Multifamily
581

21.1%
 
535

19.0%
Office
608

22.0%
 
605

21.5%
Retail
581

21.1%
 
611

21.8%
Other
201

7.3%
 
226

8.0%
Total mortgage loans
$
2,758

100.0%
 
$
2,811

100.0%
Commercial Mortgage Loans Credit Quality
 
June 30, 2017
 
December 31, 2016
Loan-to-value
Carrying Value
Avg. Debt-Service Coverage Ratio
 
Carrying Value
Avg. Debt-Service Coverage Ratio
Greater than 80%
$
6

1.36x
 
$
20

0.59x
65% - 80%
68

2.70x
 
182

2.17x
Less than 65%
2,684

2.57x
 
2,609

2.61x
Total commercial mortgage loans
$
2,758

2.57x
 
$
2,811

2.55x

Mortgage Loans by Region
 
June 30, 2017
 
December 31, 2016
 
Carrying Value
Percent of Total
 
Carrying Value
Percent of Total
East North Central
$
53

1.9%
 
$
54

1.9%
East South Central
14

0.5%
 
14

0.5%
Middle Atlantic
245

8.9%
 
237

8.4%
New England
92

3.3%
 
93

3.3%
Pacific
851

30.9%
 
814

29.0%
South Atlantic
595

21.6%
 
613

21.8%
West South Central
138

5.0%
 
128

4.6%
Other [1]
770

27.9%
 
858

30.5%
Total mortgage loans
$
2,758

100.0%
 
$
2,811

100.0%
[1]
Primarily represents loans collateralized by multiple properties in various regions.
Valuation Allowance Activity
 
Six Months Ended June 30,
 
2017
2016
Balance as of January 1
$
(19
)
$
(19
)
(Additions)/Reversals
(1
)
—

Deductions
19

—

Balance as of March 31
$
(1
)
$
(19
)
Gain (Loss) on Investments [Table Text Block]
Impairments in Earnings by Type
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2017
2016
 
2017
2016
Credit impairments
$
13

$
1

 
$
13

$
9

Intent-to-sell impairments
—

—

 
—

1

Impairments on equity securities
—

—

 
—

1

Total impairments
$
13

$
1

 
$
13

$
11
Schedule of Available-for-sale Securities Reconciliation [Table Text Block]
Available-for-Sale Securities
AFS Securities by Type
 
June 30, 2017
December 31, 2016
 
Cost or Amortized Cost
Gross Unrealized Gains
Gross Unrealized Losses
Fair Value
Non-Credit OTTI [1]
Cost or Amortized Cost
Gross Unrealized Gains
Gross Unrealized Losses
Fair Value
Non-Credit OTTI [1]
ABS
$
1,021

$
10

$
(16
)
$
1,015

$
—

$
1,011

$
9

$
(27
)
$
993

$
—

CDOs
995

18

(2
)
1,011

—

893

49

(2
)
940

—

CMBS
2,232

52

(18
)
2,266

(1
)
2,135

45

(34
)
2,146

(1
)
Corporate
13,448

1,375

(44
)
14,779

—

13,677

1,111

(95
)
14,693

—

Foreign govt./govt. agencies
354

25

(4
)
375

—

337

18

(10
)
345

—

Municipal
1,097

115

(2
)
1,210

—

1,098

97

(6
)
1,189

—

RMBS
1,604

41

(3
)
1,642

—

1,742

34

(16
)
1,760

—

U.S. Treasuries
1,628

192

(4
)
1,816

—

1,614

153

(14
)
1,753

—

Total fixed maturities, AFS
22,379

1,828

(93
)
24,114

(1
)
22,507

1,516

(204
)
23,819

(1
)
Equity securities, AFS
138

17

(1
)
154

—

142

12

(2
)
152

—

Total AFS securities
$
22,517

$
1,845

$
(94
)
$
24,268

$
(1
)
$
22,649

$
1,528

$
(206
)
$
23,971

$
(1
)
[1]
Represents the amount of cumulative non-credit OTTI losses recognized in OCI on securities that also had credit impairments. These losses are included in gross unrealized losses as of June 30, 2017 and December 31, 2016.
Fixed maturities, AFS, by Contractual Maturity Year
 
June 30, 2017
 
December 31, 2016
Contractual Maturity
Amortized Cost
Fair Value
 
Amortized Cost
Fair Value
One year or less
$
862

$
868

 
$
722

$
727

Over one year through five years
3,998

4,110

 
4,184

4,301

Over five years through ten years
3,333

3,474

 
3,562

3,649

Over ten years
8,334

9,728

 
8,258

9,303

Subtotal
16,527

18,180

 
16,726

17,980

Mortgage-backed and asset-backed securities
5,852

5,934

 
5,781

5,839

Total fixed maturities, AFS
$
22,379

$
24,114

 
$
22,507

$
23,819
Investments Classified by Contractual Maturity Date [Table Text Block]
Fixed maturities, AFS, by Contractual Maturity Year
 
June 30, 2017
 
December 31, 2016
Contractual Maturity
Amortized Cost
Fair Value
 
Amortized Cost
Fair Value
One year or less
$
862

$
868

 
$
722

$
727

Over one year through five years
3,998

4,110

 
4,184

4,301

Over five years through ten years
3,333

3,474

 
3,562

3,649

Over ten years
8,334

9,728

 
8,258

9,303

Subtotal
16,527

18,180

 
16,726

17,980

Mortgage-backed and asset-backed securities
5,852

5,934

 
5,781

5,839

Total fixed maturities, AFS
$
22,379

$
24,114

 
$
22,507

$
23,819


Estimated maturities may differ from contractual maturities due to security call or prepayment provisions. Due to the potential for variability in payment speeds (i.e. prepayments or extensions), mortgage-backed and asset-backed securities are not categorized by contractual maturity.