XML 45 R32.htm IDEA: XBRL DOCUMENT v3.3.1.900
INVESTMENTS (Tables)
 12 Months Ended
Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]  
Available-for-sale Securities
The following table provides information relating to fixed maturities and equity securities classified as AFS:
Available-for-Sale Securities by Classification
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Value    
 
OTTI
in AOCI(3)
 
 
 
 
 
(In Millions)
 
 
 
 
December 31, 2015
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
Public corporate
$
12,890

 
$
688

 
$
202

 
$
13,376

 
$
—

Private corporate
6,818

 
232

 
124

 
6,926

 
—

U.S. Treasury, government and agency
8,800

 
280

 
305

 
8,775

 
—

States and political subdivisions
437

 
68

 
1

 
504

 
—

Foreign governments
397

 
36

 
18

 
415

 
—

Commercial mortgage-backed
591

 
29

 
87

 
533

 
9

Residential mortgage-backed(1)
608

 
32

 
—

 
640

 
—

Asset-backed(2)
68

 
10

 
1

 
77

 
3

Redeemable preferred stock
592

 
57

 
2

 
647

 
—

Total Fixed Maturities
31,201

 
1,432

 
740

 
31,893

 
12

Equity securities
34

 
—

 
2

 
32

 
—

Total at December 31, 2015
$
31,235

 
$
1,432

 
$
742

 
$
31,925

 
$
12

December 31, 2014:
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
Public corporate
$
13,808

 
$
1,140

 
$
51

 
$
14,897

 
$
—

Private corporate
6,934

 
409

 
20

 
7,323

 
—

U.S. Treasury, government and agency
6,685

 
672

 
26

 
7,331

 
—

States and political subdivisions
441

 
78

 
—

 
519

 
—

Foreign governments
405

 
48

 
7

 
446

 
—

Commercial mortgage-backed
855

 
22

 
142

 
735

 
10

Residential mortgage-backed(1)
752

 
43

 
—

 
795

 
—

Asset-backed(2)
86

 
14

 
1

 
99

 
3

Redeemable preferred stock
829

 
70

 
10

 
889

 
—

Total Fixed Maturities
30,795

 
2,496

 
257

 
33,034

 
13

Equity securities
36

 
2

 
—

 
38

 
—

Total at December 31, 2014
$
30,831

 
$
2,498

 
$
257

 
$
33,072

 
$
13

(1)
Includes publicly traded agency pass-through securities and collateralized mortgage obligations.
(2)
Includes credit-tranched securities collateralized by sub-prime mortgages and other asset types and credit tenant loans.
(3)
Amounts represent OTTI losses in AOCI, which were not included in earnings (loss) in accordance with current accounting guidance.
Investments Classified by Contractual Maturity Date
The contractual maturities of AFS fixed maturities (excluding redeemable preferred stock) at December 31, 2015 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.
Available-for-Sale Fixed Maturities
Contractual Maturities at December 31, 2015
 
Amortized Cost
 
Fair Value
 
 
(In Millions)
Due in one year or less
$
1,469

 
$
1,486

Due in years two through five
7,012

 
7,395

Due in years six through ten
10,429

 
10,406

Due after ten years
10,432

 
10,709

Subtotal
29,342

 
29,996

Commercial mortgage-backed securities
591

 
533

Residential mortgage-backed securities
608

 
640

Asset-backed securities
68

 
77

Total
$
30,609

 
$
31,246
Available For Sale Fixed Maturities Proceeds Gross Gains And Gross Losses From Sales And Other Than Temporary Impairments
The following table shows proceeds from sales, gross gains (losses) from sales and OTTI for AFS fixed maturities during 2015, 2014 and 2013:
 
December 31,
 
2015
 
2014
 
2013
 
 
(In Millions)
Proceeds from sales
$
979

 
$
716

 
$
3,220

Gross gains on sales
$
33

 
$
21

 
$
71

Gross losses on sales
$
(8
)
 
$
(9
)
 
$
(88
)
Total OTTI
$
(41
)
 
$
(72
)
 
$
(81
)
Non-credit losses recognized in OCI
—

 
—

 
15

Credit losses recognized in earnings (loss)
$
(41
)
 
$
(72
)
 
$
(66
)
Fixed Maturities Credit Loss Impairments
The following table sets forth the amount of credit loss impairments on fixed maturity securities held by the Company at the dates indicated and the corresponding changes in such amounts.
Fixed Maturities - Credit Loss Impairments
 
2015
 
2014
 
(In Millions)
Balances at January 1,
$
(254
)
 
$
(370
)
Previously recognized impairments on securities that matured, paid, prepaid or sold
97

 
188

Recognized impairments on securities impaired to fair value this period(1)
(11
)
 
—

Impairments recognized this period on securities not previously impaired
(22
)
 
(41
)
Additional impairments this period on securities previously impaired
(8
)
 
(31
)
Increases due to passage of time on previously recorded credit losses
—

 
—

Accretion of previously recognized impairments due to increases in expected cash flows
—

 
—

Balances at December 31,
$
(198
)
 
$
(254
)

(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.
Unrealized Gain (Loss) on Investments
Net unrealized investment gains (losses) on fixed maturities and equity securities classified as AFS are included in the consolidated balance sheets as a component of AOCI. The table below presents these amounts as of the dates indicated:

 
December 31,
 
2015
 
2014
 
(In Millions)
AFS Securities:
 
 
 
Fixed maturities:
 
 
 
With OTTI loss
$
16

 
$
10

All other
676

 
2,229

Equity securities
(2
)
 
2

Net Unrealized Gains (Losses)
$
690

 
$
2,241
Unrealized Gain (Loss) On Investments With Other Than Temporary Impairment
Net Unrealized Gains (Losses) on Fixed Maturities with OTTI Losses
 
Net
Unrealized
Gain
(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, 2015
$
10

 
$
—

 
$
—

 
$
(4
)
 
$
6

Net investment gains (losses) arising
    during the period
(7
)
 
—

 
—

 
—

 
(7
)
Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
13

 
—

 
—

 
—

 
13

Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
—

 
—

 
—

 
—

Deferred income taxes
—

 
—

 
—

 
(1
)
 
(1
)
Policyholders liabilities
—

 
—

 
(4
)
 
—

 
(4
)
Balance, December 31, 2015
$
16

 
$
—

 
$
(4
)
 
$
(5
)
 
$
7

Balance, January 1, 2014
$
(28
)
 
$
2

 
$
10

 
$
5

 
$
(11
)
Net investment gains (losses) arising during the period
(1
)
 
—

 
—

 
—

 
(1
)
Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
39

 
—

 
—

 
—

 
39

Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
(2
)
 
—

 
—

 
(2
)
Deferred income taxes
—

 
—

 
—

 
(9
)
 
(9
)
Policyholders liabilities
—

 
—

 
(10
)
 
—

 
(10
)
Balance, December 31, 2014
$
10

 
$
—

 
$
—

 
$
(4
)
 
$
6



(1)
Represents “transfers in” related to the portion of OTTI losses recognized during the period that were not recognized in earnings (loss) for securities with no prior OTTI loss.
Other Net Unrealized Investment Gains Losses In Accumulated Other Comprehensive Income
All Other Net Unrealized Investment Gains (Losses) in AOCI
 
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, 2015
$
2,231

 
$
(122
)
 
$
(368
)
 
$
(610
)
 
$
1,131

Net investment gains (losses) arising during the period
(1,562
)
 
—

 
—

 
—

 
(1,562
)
Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
5

 
—

 
—

 
—

 
5

Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
40

 
—

 
—

 
40

Deferred income taxes
—

 
—

 
—

 
477

 
477

Policyholders liabilities
—

 
—

 
155

 
—

 
155

Balance, December 31, 2015
$
674

 
$
(82
)
 
$
(213
)
 
$
(133
)
 
$
246

Balance, January 1, 2014
$
607

 
$
(107
)
 
$
(245
)
 
$
(90
)
 
$
165

Net investment gains (losses) arising during the period
1,606

 
—

 
—

 
—

 
1,606

Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
18

 
—

 
—

 
—

 
18

Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
(15
)
 
—

 
—

 
(15
)
Deferred income taxes
—

 
—

 
—

 
(520
)
 
(520
)
Policyholders liabilities
—

 
—

 
(123
)
 
—

 
(123
)
Balance, December 31, 2014
$
2,231

 
$
(122
)
 
$
(368
)
 
$
(610
)
 
$
1,131


(1)
Represents “transfers out” related to the portion of OTTI losses during the period that were not recognized in earnings (loss) for securities with no prior OTTI loss.
Schedule of Unrealized Loss on Investments
The following tables disclose the fair values and gross unrealized losses of the 810 issues at December 31, 2015 and the 601 issues at December 31, 2014 of fixed maturities that are not deemed to be other-than-temporarily impaired, 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:
 
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)
December 31, 2015:
 
 
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
 
 
Public corporate
$
3,091

 
$
129

 
$
359

 
$
73

 
$
3,450

 
$
202

Private corporate
1,926

 
102

 
184

 
22

 
2,110

 
124

U.S. Treasury, government and agency
3,538

 
305

 
—

 
—

 
3,538

 
305

States and political subdivisions
19

 
1

 
—

 
—

 
19

 
1

Foreign governments
73

 
7

 
39

 
11

 
112

 
18

Commercial mortgage-backed
67

 
2

 
261

 
85

 
328

 
87

Residential mortgage-backed
11

 
—

 
29

 
—

 
40

 
—

Asset-backed
11

 
—

 
17

 
1

 
28

 
1

Redeemable preferred stock
43

 
—

 
40

 
2

 
83

 
2

Total
$
8,779

 
$
546

 
$
929

 
$
194

 
$
9,708

 
$
740

December 31, 2014:
 
 
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
 
 
Public corporate
$
687

 
$
18

 
$
794

 
$
33

 
$
1,481

 
$
51

Private corporate
627

 
11

 
254

 
9

 
881

 
20

U.S. Treasury, government and agency
280

 
6

 
373

 
20

 
653

 
26

States and political subdivisions
21

 
—

 
—

 
—

 
21

 
—

Foreign governments
27

 
1

 
65

 
6

 
92

 
7

Commercial mortgage-backed
37

 
2

 
355

 
140

 
392

 
142

Residential mortgage-backed
—

 
—

 
35

 
—

 
35

 
—

Asset-backed
—

 
—

 
20

 
1

 
20

 
1

Redeemable preferred stock
42

 
—

 
169

 
10

 
211

 
10

Total
$
1,721

 
$
38

 
$
2,065

 
$
219

 
$
3,786

 
$
257
Trading Securities
Net unrealized and realized gains (losses) on trading account equity securities are included in Net investment income (loss) in the consolidated statements of earnings (loss). The table below shows a breakdown of Net investment income from trading account securities during the year ended 2015 and 2014:

Net Investment Income (Loss) from Trading Securities
 
Twelve Months Ended
 
December 31,
2015
 
December 31,
2014
 
(In Millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period
$
(63
)
 
$
—

Net investment gains (losses) recognized on securities sold during the period
20

 
22

Unrealized and realized gains (losses) on trading securities
(43
)
 
22

Interest and dividend income from trading securities
60

 
41

Net investment income (loss) from trading securities
$
17

 
$
63
Troubled Debt Restructuring on Financing Receivables
Troubled Debt Restructuring - Modifications
December 31, 2015
 
Number
 
Outstanding Recorded Investment
 
of Loans  
 
Pre-Modification    
 
Post - Modification    
 
 
 
(Dollars In Millions)
Commercial mortgage loans
1

 
$
16

 
$
16
Allowance for Credit Losses on Financing Receivable
Allowance for credit losses for mortgage loans for 2015, 2014 and 2013 are as follows:
 
Commercial Mortgage Loans
 
2015
 
2014
 
2013
Allowance for credit losses:
(In Millions)
Beginning Balance, January 1,
$
37

 
$
42

 
$
34

Charge-offs
(32
)
 
(14
)
 
—

Recoveries
(1
)
 
—

 
(2
)
Provision
2

 
9

 
10

Ending Balance, December 31,
$
6

 
$
37

 
$
42

Ending Balance, December 31,:
 
 
 
 
 
Individually Evaluated for Impairment
$
6

 
$
37

 
$
42
Debt Service Coverage Ratio
The following tables provide information relating to the loan-to-value and debt service coverage ratios for commercial and agricultural mortgage loans at December 31, 2015 and 2014, respectively. 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 Loan-to-Value and Debt Service Coverage Ratios
December 31, 2015
 
Debt Service Coverage Ratio
 
 
Loan-to-Value Ratio:(2)
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
Mortgage
Loans
 
(In Millions)
Commercial Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
533

 
$
—

 
$
102

 
$
12

 
$
24

 
$
—

 
$
671

50% - 70%
1,392

 
353

 
741

 
853

 
77

 
—

 
3,416

70% - 90%
141

 
—

 
206

 
134

 
124

 
46

 
651

90% plus
63

 
—

 
—

 
46

 
—

 
—

 
109

Total Commercial Mortgage Loans
$
2,129

 
$
353

 
$
1,049

 
$
1,045

 
$
225

 
$
46

 
$
4,847

Agricultural Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
204

 
$
116

 
$
277

 
$
432

 
$
256

 
$
51

 
$
1,336

50% - 70%
146

 
80

 
192

 
298

 
225

 
47

 
988

70% - 90%
—

 
—

 
2

 
4

 
—

 
—

 
6

90% plus
—

 
—

 
—

 
—

 
—

 
—

 
—

Total Agricultural Mortgage Loans
$
350

 
$
196

 
$
471

 
$
734

 
$
481

 
$
98

 
$
2,330

Total Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
737

 
$
116

 
$
379

 
$
444

 
$
280

 
$
51

 
$
2,007

50% - 70%
1,538

 
433

 
933

 
1,151

 
302

 
47

 
4,404

70% - 90%
141

 
—

 
208

 
138

 
124

 
46

 
657

90% plus
63

 
—

 
—

 
46

 
—

 
—

 
109

Total Mortgage Loans
$
2,479

 
$
549

 
$
1,520

 
$
1,779

 
$
706

 
$
144

 
$
7,177

(1)
The debt service coverage ratio is calculated using the most recently reported net operating income results from property operations divided by annual debt service.
(2)
The loan-to-value ratio is derived from current loan balance divided by the fair market value of the property. The fair market value of the underlying commercial properties is updated annually.
Mortgage Loans by Loan-to-Value and Debt Service Coverage Ratios
December 31, 2014
 
Debt Service Coverage Ratio
 
 
Loan-to-Value Ratio:(2)
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
Mortgage
Loans
 
(In Millions)
Commercial Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
335

 
$
—

 
$
—

 
$
59

 
$
34

 
$
—

 
$
428

50% - 70%
963

 
440

 
872

 
839

 
54

 
—

 
3,168

70% - 90%
211

 
—

 
61

 
265

 
79

 
—

 
616

90% plus
156

 
—

 
—

 
—

 
—

 
47

 
203

Total Commercial Mortgage Loans
$
1,665

 
$
440

 
$
933

 
$
1,163

 
$
167

 
$
47

 
$
4,415

Agricultural Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
184

 
$
100

 
$
232

 
$
408

 
$
206

 
$
50

 
$
1,180

50% - 70%
143

 
87

 
201

 
223

 
204

 
47

 
905

70% - 90%
—

 
—

 
—

 
—

 
—

 
—

 
—

90% plus
—

 
—

 
—

 
—

 
—

 
—

 
—

Total Agricultural Mortgage Loans
$
327

 
$
187

 
$
433

 
$
631

 
$
410

 
$
97

 
$
2,085

Total Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
519

 
$
100

 
$
232

 
$
467

 
$
240

 
$
50

 
$
1,608

50% - 70%
1,106

 
527

 
1,073

 
1,062

 
258

 
47

 
4,073

70% - 90%
211

 
—

 
61

 
265

 
79

 
—

 
616

90% plus
156

 
—

 
—

 
—

 
—

 
47

 
203

Total Mortgage Loans
$
1,992

 
$
627

 
$
1,366

 
$
1,794

 
$
577

 
$
144

 
$
6,500


(1)
The debt service coverage ratio is calculated using the most recently reported net operating income results from property operations divided by annual debt service.
(2)
The loan-to-value ratio is derived from current loan balance divided by the fair market value of the property. The fair market value of the underlying commercial properties is updated annually.
Age Analysis Of Past Due Mortgage Loans
The following table provides information relating to the aging analysis of past due mortgage loans at December 31, 2015 and 2014, respectively.
Age Analysis of Past Due Mortgage Loan
 
30-59 Days
 
60-89
Days
 
90
Days
Or >
 
Total
 
Current
 
Total
Financing
Receivables
 
Recorded
Investment
> 90 Days
and
Accruing
 
(In Millions)
December 31, 2015:
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial
$
—

 
$
—

 
$
30

 
$
30

 
$
4,817

 
$
4,847

 
$
—

Agricultural
12

 
7

 
4

 
23

 
2,307

 
2,330

 
4

Total Mortgage Loans
$
12

 
$
7

 
$
34

 
$
53

 
$
7,124

 
$
7,177

 
$
4

December 31, 2014:
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial
$
—

 
$
—

 
$
—

 
$
—

 
$
4,415

 
$
4,415

 
$
—

Agricultural
1

 
7

 
3

 
11

 
2,074

 
2,085

 
3

Total Mortgage Loans
$
1

 
$
7

 
$
3

 
$
11

 
$
6,489

 
$
6,500

 
$
3
Impaired Mortgage Loans
The following table provides information relating to impaired mortgage loans at December 31, 2015 and 2014, respectively.
 
 
 
Impaired Mortgage Loans
 
 
 
Recorded
Investment
 
Unpaid
Principal
Balance
 
Related
Allowance
 
Average
Recorded
Investment(1)
 
Interest
Income
Recognized
 
(In Millions)
December 31, 2015:
 
 
 
 
 
 
 
 
 
With no related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
46

 
$
46

 
$
—

 
$
15

 
$
—

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
46

 
$
46

 
$
—

 
$
15

 
$
—

With related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
63

 
$
63

 
$
(6
)
 
$
137

 
$
4

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
63

 
$
63

 
$
(6
)
 
$
137

 
$
4

December 31, 2014:
 
 
 
 
 
 
 
 
 
With no related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
—

 
$
—

 
$
—

 
$
—

 
$
—

With related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
156

 
$
156

 
$
(37
)
 
$
148

 
$
2

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
156

 
$
156

 
$
(37
)
 
$
148

 
$
2


(1)
Represents a five-quarter average of recorded amortized cost.
Real Estate Investment Financial Statements, Disclosure
The tables below present quantitative disclosures about the Company’s derivative instruments, including those embedded in other contracts required to be accounted for as derivative instruments.
Derivative Instruments by Category
At or For the Year Ended December 31, 2015
 
 
 
Fair Value
 
 
 
Notional
Amount
 
Asset
Derivatives
 
Liability
Derivatives
 
Gains (Losses)
Reported In
Earnings (Loss)
 
(In Millions)
Freestanding derivatives:
 
 
 
 
 
 
 
Equity contracts:(1)
 
 
 
 
 
 
 
Futures
$
7,089

 
$
2

 
$
3

 
$
(84
)
Swaps
1,359

 
8

 
21

 
(45
)
Options
7,358

 
1,042

 
652

 
14

Interest rate contracts:(1)
 
 
 
 
 
 
 
Floors
1,800

 
61

 
—

 
12

Swaps
13,718

 
351

 
108

 
(8
)
Futures
8,685

 
—

 
—

 
(81
)
Swaptions
—

 
—

 
—

 
118

Credit contracts:(1)
 
 
 
 
 
 
 
Credit default swaps
2,442

 
16

 
38

 
(14
)
Other freestanding contracts:(1)
 
 
 
 
 
 
 
Foreign currency Contracts
263

 
5

 
4

 
7

Net investment income (loss)
 
 
 
 
 
 
(81
)
Embedded derivatives:
 
 
 
 
 
 
 
GMIB reinsurance contracts
—

 
10,570

 
—

 
(141
)
GIB and GWBL and other features(2)
—

 
—

 
184

 
(56
)
SCS, SIO, MSO and IUL indexed features(3)
—

 
—

 
310

 
(38
)
Balances, December 31, 2015
$
42,714

 
$
12,055

 
$
1,320

 
$
(260
)

(1)
Reported in Other invested assets in the consolidated balance sheets.
(2)
Reported in Future policy benefits and other policyholders’ liabilities in the consolidated balance sheets.
(3)
SCS and SIO indexed features are reported in Policyholders’ account balances; MSO and IUL indexed features are reported in Future policyholders’ benefits and other policyholders’ liabilities in the consolidated balance sheets.
Schedule of Derivative Instruments
Derivative Instruments by Category
At or For the Year Ended December 31, 2014
 
 
 
Fair Value
 
 
 
Notional
Amount
 
Asset
Derivatives
 
Liability
Derivatives
 
Gains (Losses)
Reported In
Earnings (Loss)
 
(In Millions)
Freestanding derivatives:
 
 
 
 
 
 
 
Equity contracts:(1)
 
 
 
 
 
 
 
Futures
$
5,933

 
$
1

 
$
2

 
$
(522
)
Swaps
1,169

 
22

 
15

 
(88
)
Options
6,896

 
1,215

 
742

 
196

Interest rate contracts:(1)
 
 
 
 
 
 
 
Floors
2,100

 
120

 
—

 
9

Swaps
11,608

 
605

 
15

 
1,507

Futures
10,647

 
—

 
—

 
459

Swaptions
4,800

 
72

 
—

 
37

Credit contracts:(1)
 
 
 
 
 
 
 
Credit default swaps
1,942

 
9

 
27

 
4

Other freestanding contracts:(1)
 
 
 
 
 
 
 
Foreign currency Contracts
149

 
2

 
—

 
3

Net investment income (loss)
 
 
 
 
 
 
1,605

Embedded derivatives:
 
 
 
 
 
 
 
GMIB reinsurance contracts
—

 
10,711

 
—

 
3,964

GIB and GWBL and other features(2)
—

 
—

 
128

 
(128
)
SCS, SIO, MSO and IUL indexed features(3)
—

 
—

 
380

 
(199
)
Balances, December 31, 2014
$
45,244

 
$
12,757

 
$
1,309

 
$
5,242



(1)
Reported in Other invested assets in the consolidated balance sheets.
(2)
Reported in Future policy benefits and other policyholders’ liabilities in the consolidated balance sheets.
(3)
SCS and SIO indexed features are reported in Policyholders’ account balances; MSO and IUL indexed features are reported in Future policyholders’ benefits and other policyholders’ liabilities in the consolidated balance sheets.
Offsetting Assets And Liabilities
The following table presents information about the Insurance Segment’s offsetting of financial assets and liabilities and derivative instruments at December 31, 2015.
Offsetting of Financial Assets and Liabilities and Derivative Instruments
At December 31, 2015
 
Gross
Amounts
Recognized
 
Gross
Amounts
Offset in the
Balance Sheets
 
Net Amounts
Presented in the
Balance Sheets
 
(In Millions)
ASSETS(1)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
1,049

 
$
673

 
$
376

Interest rate contracts
389

 
104

 
285

Credit contracts
14

 
37

 
(23
)
Total Derivatives, subject to an ISDA Master Agreement
1,452

 
814

 
638

Total Derivatives, not subject to an ISDA Master Agreement
20

 
—

 
20

Total Derivatives
1,472

 
814

 
658

Other financial instruments(2) (4)
1,271

 
—

 
1,271

Other invested assets(2)
$
2,743

 
$
814

 
$
1,929

 
 
 
 
 
 
Securities purchased under agreement to resell
$
79

 
—

 
$
79


 
Gross
Amounts
Recognized
 
Gross
Amounts
Offset in the
Balance Sheets
 
Net Amounts
Presented in the
Balance Sheets
 
(In Millions)
LIABILITIES(3)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
673

 
$
673

 
$
—

Interest rate contracts
104

 
104

 
—

Credit contracts
37

 
37

 
—

Total Derivatives, subject to an ISDA Master Agreement
814

 
814

 
—

Total Derivatives, not subject to an ISDA Master Agreement
—

 
—

 
—

Total Derivatives
814

 
814

 
—

Other financial liabilities
2,586

 
—

 
2,586

Other liabilities
$
3,400

 
$
814

 
$
2,586

 
 
 
 
 
 
Securities sold under agreement to repurchase
$
1,890

 
$
—

 
$
1,890



(1)
Excludes Investment Management segment’s $13 million net derivative assets, $6 million long exchange traded options and $75 million of securities borrowed.
(2)
Includes $141 million of accrued interest related to derivative instruments reported in other assets on the consolidated balance sheets.
(3)
Excludes Investment Management segment’s $12 million net derivative liabilities, $1 million short exchange traded options and $10 million of securities loaned.
(4)
Includes margin of $(2) million related to derivative instruments.
The following table presents information about the Insurance segment’s offsetting of financial assets and liabilities and derivative instruments at December 31, 2014.
Offsetting of Financial Assets and Liabilities and Derivative Instruments
At December 31, 2014
 
Gross
Amounts
Recognized
 
Gross
Amounts
Offset in the
Balance Sheets
 
Net Amounts
Presented in the
Balance Sheets
 
(In Millions)
ASSETS(1)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
1,236

 
$
753

 
$
483

Interest rate contracts
755

 
12

 
743

Credit contracts
7

 
27

 
(20
)
Total Derivatives, subject to an ISDA Master Agreement
1,998

 
792

 
1,206

Total Derivatives, not subject to an ISDA Master Agreement
40

 
—

 
40

Total Derivatives
2,038

 
792

 
1,246

Other financial instruments(2)
852

 
—

 
852

Other invested assets(2)
$
2,890

 
$
792

 
$
2,098

 
Gross
Amounts
Recognized
 
Gross
Amounts
Offset in the
Balance Sheets
 
Net Amounts
Presented in the
Balance Sheets
 
(In Millions)
LIABILITIES(3)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
753

 
$
753

 
$
—

Interest rate contracts
12

 
12

 
—

Total Derivatives, subject to an ISDA Master Agreement
765

 
765

 
—

Total Derivatives, not subject to an ISDA Master Agreement
—

 
—

 
—

Total Derivatives
765

 
765

 
—

Other financial liabilities
2,939

 
—

 
2,939

Other liabilities
$
3,704

 
$
765

 
$
2,939

 
 
 
 
 
 
Securities sold under agreement to repurchase
$
950

 
$
—

 
$
950



(1)
Excludes Investment Management segment’s $8 million net derivative assets, $22 million long exchange traded options and $158 million of securities borrowed.
(2)
Includes $120 million related to accrued interest related to derivative instruments reported in other assets on the consolidated balance sheets.
(3)
Excludes Investment Management segment’s $9 million net derivative liabilities, $7 million short exchange traded options and $34 million of securities loaned.
Collateral Arrangements By Counterparty Not Offset In Consolidated Balance Sheets
The following table presents information about the Insurance segment’s gross collateral amounts that are not offset in the consolidated balance sheets at December 31, 2015.
Gross Collateral Amounts Not Offset in the Consolidated Balance Sheets
At December 31, 2015
 
Net Amounts
Presented in the
Balance Sheets
 
Collateral (Received)/Held
 
 
 
Financial
Instruments
 
Cash
 
Net  
Amounts  
 
(In Millions)
ASSETS(1)
 
 
 
 
 
 
 
Counterparty A
$
52

 
$
—

 
$
(52
)
 
$
—

Counterparty B
9

 
—

 
(7
)
 
2

Counterparty C
61

 
—

 
(58
)
 
3

Counterparty D
222

 
—

 
(218
)
 
4

Counterparty E
53

 
—

 
(53
)
 
—

Counterparty F
(2
)
 
—

 
2

 
—

Counterparty G
129

 
—

 
(129
)
 
—

Counterparty H
16

 
(11
)
 
(5
)
 
—

Counterparty I
44

 
—

 
(39
)
 
5

Counterparty J
19

 
—

 
(13
)
 
6

Counterparty K
17

 
—

 
(17
)
 
—

Counterparty L
7

 
—

 
(7
)
 
—

Counterparty M
11

 
—

 
(10
)
 
1

Counterparty N
20

 
—

 
—

 
20

Counterparty Q
—

 
—

 
—

 
—

Counterparty T
(3
)
 
—

 
3

 
—

Counterparty U
—

 
—

 
1

 
1

Counterparty V
3

 
—

 
(3
)
 
—

Total Derivatives
$
658

 
$
(11
)
 
$
(605
)
 
$
42

Other financial instruments(2) (4)
1,271

 
—

 
—

 
1,271

Other invested assets(2)
$
1,929

 
$
(11
)
 
$
(605
)
 
$
1,313

 
 
 
 
 
 
 
 
Counterparty M
$
28

 
$
(28
)
 
$
—

 
$
—

Counterparty V
51

 
(51
)
 
—

 
—

Securities purchased under agreement to resell
$
79

 
$
(79
)
 
$
—

 
$
—

 
Net Amounts
Presented in the
Balance Sheets
 
Collateral (Received)/Held
 
 
 
Financial
Instruments
 
Cash
 
Net  
Amounts  
 
(In Millions)
LIABILITIES(3)
 
 
 
 
 
 
 
Counterparty D
$
234

 
$
(234
)
 
$
—

 
—

Counterparty C
1,033

 
(1,016
)
 
(17
)
 
—

Counterparty M
623

 
(611
)
 
(12
)
 
—

Securities sold under agreement to repurchase
$
1,890

 
$
(1,861
)
 
$
(29
)
 
$
—


(1)
Excludes Investment Management segment’s cash collateral received of $2 million related to derivative assets and $75 million related to securities borrowed.
(2)
Includes $141 million of accrued interest related to derivative instruments reported in other assets on the consolidated balance sheets.
(3)
Excludes Investment Management segment’s cash collateral pledged of $12 million related to derivative liabilities and $10 million related to securities loaned.
(4)
Includes margin of $(2) million related to derivative instruments.
The following table presents information about the Insurance segment’s gross collateral amounts that are not offset in the consolidated balance sheets at December 31, 2014.
Gross Collateral Amounts Not Offset in the Consolidated Balance Sheets
At December 31, 2014
 
Net Amounts
Presented in the
Balance Sheets
 
Collateral (Received)/Held
 
 
 
Financial
Instruments
 
Cash
 
Net
   Amounts  
 
(In Millions)
ASSETS(1)
 
 
 
 
 
 
 
Counterparty A
$
62

 
$
—

 
$
(62
)
 
$
—

Counterparty B
102

 
—

 
(95
)
 
7

Counterparty C
111

 
—

 
(110
)
 
1

Counterparty D
228

 
—

 
(224
)
 
4

Counterparty E
60

 
—

 
(59
)
 
1

Counterparty F
63

 
—

 
(60
)
 
3

Counterparty G
145

 
(145
)
 
—

 
—

Counterparty H
31

 
(31
)
 
—

 
—

Counterparty I
136

 
—

 
(134
)
 
2

Counterparty J
28

 
—

 
(22
)
 
6

Counterparty K
44

 
—

 
(44
)
 
—

Counterparty L
113

 
(113
)
 
—

 
—

Counterparty M
76

 
—

 
(68
)
 
8

Counterparty N
40

 
—

 
—

 
40

Counterparty Q
4

 
—

 
(4
)
 
—

Counterparty T
3

 
—

 
(3
)
 
—

Total Derivatives
$
1,246

 
$
(289
)
 
$
(885
)
 
$
72

Other financial instruments(2)
852

 
—

 
—

 
852

Other invested assets(2)
$
2,098

 
$
(289
)
 
$
(885
)
 
$
924

 
 
 
 
 
 
 
 
LIABILITIES(3)
 
 
 
 
 
 
 
Counterparty D
$
450

 
$
(450
)
 
$
—

 
—

Counterparty C
500

 
(500
)
 
—

 
—

Securities sold under agreement to repurchase
$
950

 
$
(950
)
 
$
—

 
$
—



(1)
Excludes Investment Management segment’s cash collateral received of $1 million related to derivative assets and $158 million related to securities borrowed.
(2)
Includes $120 million of accrued interest related to derivative instruments reported in other assets on the consolidated balance sheets.
(3)
Excludes Investment Management segment’s cash collateral pledged of $10 million related to derivative liabilities and $34 million related to securities loaned.
Transfer Of Financial Assets Accounted For As Sales
The following table presents information about repurchase agreements accounted for as secured borrowings in the consolidated balance sheets at December 31, 2015.

Repurchase Agreement Accounted for as Secured Borrowings(1) 
 
At December 31, 2015
 
Remaining Contractual Maturity of the Agreements
 
Overnight and
Continuous
 
Up to 30 days
 
30-90
days
 
Greater Than
90 days
 
Total
 
 
(In Millions)
Securities sold under agreement to repurchase
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency securities
$
—

 
$
1,865

 
$
25

 
$
—

 
$
1,890

Total
$
—

 
$
1,865

 
$
25

 
$
—

 
$
1,890

Securities purchased under agreement to resell
 
 
 
 
 
 
 
 
 
Corporate securities
$
—

 
$
79

 
$
—

 
$
—

 
$
79

Total
$
—

 
$
79

 
$
—

 
$
—

 
$
79


(1)
Excludes Investment Management segment’s $75 million of securities borrowed.
Investment Income
The following table breaks out Net investment income (loss) by asset category:
 
2015
 
2014
 
2013
 
(In Millions)
Fixed maturities
$
1,420

 
$
1,431

 
$
1,462

Mortgage loans on real estate
338

 
306

 
284

Repurchase agreement
1

 
—

 
—

Other equity investments
84

 
200

 
228

Policy loans
213

 
216

 
219

Derivative investments
(81
)
 
1,605

 
(2,866
)
Trading securities
17

 
63

 
54

Other investment income
40

 
49

 
50

Gross investment income (loss)
2,032

 
3,870

 
(569
)
Investment expenses
(53
)
 
(53
)
 
(57
)
Interest expense
(3
)
 
(2
)
 
(3
)
Net Investment Income (Loss)
$
1,976

 
$
3,815

 
$
(629
)
Investment Gains Losses Net Including Changes In Valuation Allowances
Investment gains (losses), net including changes in the valuation allowances and OTTI are as follows:
 
2015
 
2014
 
2013
 
(In Millions)
Fixed maturities
$
(17
)
 
$
(54
)
 
$
(75
)
Mortgage loans on real estate
(1
)
 
(3
)
 
(7
)
Other equity investments
(5
)
 
(2
)
 
(17
)
Other
3

 
1

 
—

Investment Gains (Losses), Net
$
(20
)
 
$
(58
)
 
$
(99
)