XML 34 R23.htm IDEA: XBRL DOCUMENT v3.5.0.2
INVESTMENTS (Tables)
 6 Months Ended
Jun. 30, 2016
Investments, Debt and Equity Securities [Abstract]  
Available-for-sale Securities by Classification
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)
June 30, 2016:
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
Public corporate
$
12,983

 
$
1,098

 
$
17

 
$
14,064

 
$
—

Private corporate
6,691

 
421

 
24

 
7,088

 
—

U.S. Treasury, government and agency
11,849

 
1,475

 
25

 
13,299

 
—

States and political subdivisions
437

 
98

 
—

 
535

 
—

Foreign governments
363

 
42

 
9

 
396

 
—

Commercial mortgage-backed
489

 
25

 
94

 
420

 
8

Residential mortgage-backed(1)
551

 
35

 
—

 
586

 
—

Asset-backed(2)
56

 
11

 
1

 
66

 
3

Redeemable preferred stock
543

 
61

 
2

 
602

 
—

Total Fixed Maturities
33,962

 
3,266

 
172

 
37,056

 
11

Equity securities
80

 
—

 
—

 
80

 
—

Total at June 30, 2016
$
34,042

 
$
3,266

 
$
172

 
$
37,136

 
$
11

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

 
(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.
Available-for-sale Securities Fixed Maturities Contractual Maturities
The contractual maturities of AFS fixed maturities at June 30, 2016 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 June 30, 2016 
 
Amortized
Cost
 
Fair Value
 
(In Millions)
Due in one year or less
$
1,328

 
$
1,344

Due in years two through five
7,525

 
8,078

Due in years six through ten
9,582

 
10,160

Due after ten years
13,888

 
15,800

Subtotal
32,323

 
35,382

Commercial mortgage-backed securities
489

 
420

Residential mortgage-backed securities
551

 
586

Asset-backed securities
56

 
66

Redeemable preferred stock
543

 
602

Total
$
33,962

 
$
37,056
Proceeds from Sales, Gross Gains (Losses) and OTTI for AFS Fixed Maturities
The following table shows proceeds from sales, gross gains (losses) from sales and OTTI for AFS fixed maturities during the second quarter and first six months of 2016 and 2015:
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2016
 
2015
 
2016
 
2015
 
(In Millions)
Proceeds from sales
$
1,397

 
$
265

 
$
1,786

 
$
625

Gross gains on sales
$
66

 
$
2

 
$
85

 
$
7

Gross losses on sales
$
(25
)
 
$
(1
)
 
$
(46
)
 
$
(5
)
Total OTTI
$
(8
)
 
$
(16
)
 
$
(25
)
 
$
(18
)
Non-credit losses recognized in OCI
—

 
—

 
—

 
—

Credit losses recognized in earnings (loss)
$
(8
)
 
$
(16
)
 
$
(25
)
 
$
(18
)
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 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2016
 
2015
 
2016
 
2015
 
(In Millions)
Balances, beginning of period
$
(181
)
 
$
(238
)
 
$
(198
)
 
$
(254
)
Previously recognized impairments on securities that matured, paid, prepaid or sold
23

 
16

 
57

 
34

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

 
—

 
(17
)
 
—

Impairments recognized this period on securities not previously impaired
(8
)
 
(16
)
 
(8
)
 
(18
)
Additional impairments 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
—

 
—

 
—

 
—

Balances at June 30,
$
(166
)
 
$
(238
)
 
$
(166
)
 
$
(238
)
(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 Gain (Loss) on Fixed Maturities and Equity Securities Included in AOCI
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:
 
June 30,
2016
 
December 31, 2015
 
(In Millions)
AFS Securities:
 
 
 
Fixed maturities:
 
 
 
With OTTI loss
$
15

 
$
16

All other
3,079

 
676

Equity securities
—

 
(2
)
Net Unrealized Gains (Losses)
$
3,094

 
$
690
Net Unrealized Gain (Losses) on Fixed Maturities with OTTI Losses
The tables that follow below present a roll-forward of net unrealized investment gains (losses) recognized in AOCI, split between amounts related to fixed maturity securities on which an OTTI loss has been recognized and all other amounts:

Net Unrealized Gains (Losses) on Fixed Maturities with OTTI Losses 
 
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, April 1, 2016
$
9

 
$
—

 
$
—

 
$
(4
)
 
$
5

Net investment gains (losses) arising during the period
(17
)
 
—

 
—

 
—

 
(17
)
Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
23

 
—

 
—

 
—

 
23

Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

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

 
—

 
—

 
—

 
—

Deferred income taxes
—

 
—

 
—

 
(2
)
 
(2
)
Policyholders’ liabilities
—

 
—

 
—

 
—

 
—

Balance, June 30, 2016
$
15

 
$
—

 
$
—

 
$
(6
)
 
$
9

Balance, April 1, 2015
$
6

 
$
—

 
$
1

 
$
(3
)
 
$
4

Net investment gains (losses) arising during the period
1

 
—

 
—

 
—

 
1

Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
—

 
—

 
—

 
—

 
—

Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

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

 
1

 
—

 
—

 
1

Deferred income taxes
—

 
—

 
—

 
—

 
—

Policyholders’ liabilities
—

 
—

 
(2
)
 
—

 
(2
)
Balance, June 30, 2015
$
7

 
$
1

 
$
(1
)
 
$
(3
)
 
$
4


 

 
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, 2016
$
16

 
$
—

 
$
(4
)
 
$
(5
)
 
$
7

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

 
—

 
—

 
(7
)
Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
6

 
—

 
—

 
—

 
6

Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

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

 
—

 
—

 
—

 
—

Deferred income taxes
—

 
—

 
—

 
(1
)
 
(1
)
Policyholders’ liabilities
—

 
—

 
4

 
—

 
4

Balance, June 30, 2016
$
15

 
$
—

 
$
—

 
$
(6
)
 
$
9

Balance, January 1, 2015
$
10

 
$
—

 
$
—

 
$
(4
)
 
$
6

Net investment gains (losses) arising during the period
(5
)
 
—

 
—

 
—

 
(5
)
Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
2

 
—

 
—

 
—

 
2

Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

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

 
1

 
—

 
—

 
1

Deferred income taxes
—

 
—

 
—

 
1

 
1

Policyholders’ liabilities
—

 
—

 
(1
)
 
—

 
(1
)
Balance, June 30, 2015
$
7

 
$
1

 
$
(1
)
 
$
(3
)
 
$
4
All Other Net Unrealized Investment Gains (Losses) in AOCI
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, April 1, 2016
$
1,975

 
$
(57
)
 
$
(306
)
 
$
(565
)
 
$
1,047

Net investment gains (losses) arising during the period
1,172

 
—

 
—

 
—

 
1,172

Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
(45
)
 
—

 
—

 
—

 
(45
)
Excluded from Net earnings (loss)(1)
(23
)
 
—

 
—

 
—

 
(23
)
Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
(82
)
 
—

 
—

 
(82
)
Deferred income taxes
—

 
—

 
—

 
(321
)
 
(321
)
Policyholders’ liabilities
—

 
—

 
(105
)
 
—

 
(105
)
Balance, June 30, 2016
$
3,079

 
$
(139
)
 
$
(411
)
 
$
(886
)
 
$
1,643

Balance, April 1, 2015
$
2,827

 
$
(137
)
 
$
(430
)
 
$
(794
)
 
$
1,466

Net investment gains (losses) arising during the period
(1,752
)
 
—

 
—

 
—

 
(1,752
)
Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
18

 
—

 
—

 
—

 
18

Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
35

 
—

 
—

 
35

Deferred income taxes
—

 
—

 
—

 
551

 
551

Policyholders’ liabilities
—

 
—

 
130

 
—

 
130

Balance, June 30, 2015
$
1,093

 
$
(102
)
 
$
(300
)
 
$
(243
)
 
$
448


(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.


 
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, 2016
$
674

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

Net investment gains (losses) arising during the period
2,434

 
—

 
—

 
—

 
2,434

Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
(29
)
 
—

 
—

 
—

 
(29
)
Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
(57
)
 
—

 
—

 
(57
)
Deferred income taxes
—

 
—

 
—

 
(753
)
 
(753
)
Policyholders’ liabilities
—

 
—

 
(198
)
 
—

 
(198
)
Balance, June 30, 2016
$
3,079

 
$
(139
)
 
$
(411
)
 
$
(886
)
 
$
1,643

Balance, January 1, 2015
$
2,231

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

Net investment gains (losses) arising during the period
(1,152
)
 
—

 
—

 
—

 
(1,152
)
Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
14

 
—

 
—

 
—

 
14

Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
20

 
—

 
—

 
20

Deferred income taxes
—

 
—

 
—

 
367

 
367

Policyholders’ liabilities
—

 
—

 
68

 
—

 
68

Balance, June 30, 2015
$
1,093

 
$
(102
)
 
$
(300
)
 
$
(243
)
 
$
448


 
(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 Gross Unrealized Loss on Investments
The following tables disclose the fair values and gross unrealized losses of the 449 issues at June 30, 2016 and the 810 issues at December 31, 2015 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)
June 30, 2016:
 
 
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
 
 
Public corporate
$
244

 
$
1

 
$
441

 
$
16

 
$
685

 
$
17

Private corporate
254

 
3

 
413

 
21

 
667

 
24

U.S. Treasury, government and agency
1,596

 
16

 
326

 
9

 
1,922

 
25

States and political subdivisions
—

 
—

 
19

 
—

 
19

 
—

Foreign governments
9

 
—

 
72

 
9

 
81

 
9

Commercial mortgage-backed
55

 
8

 
214

 
86

 
269

 
94

Residential mortgage-backed
69

 
—

 
3

 
—

 
72

 
—

Asset-backed
1

 
—

 
9

 
1

 
10

 
1

Redeemable preferred stock
44

 
1

 
12

 
1

 
56

 
2

Total
$
2,272

 
$
29


$
1,509


$
143


$
3,781


$
172

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
Net Investment Income (Loss) from Trading Securities
The table below shows a breakdown of Net investment income from trading account securities during the second quarter and first six months of 2016 and 2015:

Net investment income (loss) from trading securities 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2016
 
2015
 
2016
 
2015
 
(In Millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period
$
55

 
$
(31
)
 
$
119

 
$
7

Net investment gains (losses) recognized on securities sold during the period
(4
)
 
—

 
(10
)
 
7

Unrealized and realized gains (losses) on trading securities arising during the period
51

 
(31
)
 
109

 
14

Interest and dividend income from trading securities
29

 
25

 
48

 
28

Net investment income (loss) from trading securities
$
80

 
$
(6
)
 
$
157

 
$
42
Troubled Debt Restructurings - Modifications
Troubled Debt Restructuring - Modifications
June 30, 2016
 
Number
of  Loans
 
Outstanding Recorded Investment
 
Pre-Modification
 
Post - Modification
 
 
 
(In Millions)
Commercial mortgage loans
1

 
16

 
16
Valuation Allowance for Mortgage Loans
Allowance for credit losses for commercial mortgage loans for the first six months of 2016 and 2015 was as follows:
 
2016
 
2015
Allowance for credit losses:
(In Millions)
Beginning balance, January 1,
$
6

 
$
37

Charge-offs
—

 
(1
)
Recoveries
—

 
—

Provision
1

 
—

Ending balance, June 30,
$
7

 
$
36

 
 
 
 
June 30, Individually Evaluated for Impairment
$
7

 
$
36
Mortgage Loans by Loan-To-Value and Debt Service Coverage Ratios
The following tables provide information relating to the loan-to-value and debt service coverage ratios for commercial and agricultural mortgage loans at June 30, 2016 and December 31, 2015, before adjustments for valuation allowance.
Mortgage Loans by Loan-to-Value and Debt Service Coverage Ratios
June 30, 2016
 
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%
$
645

 
$
138

 
$
57

 
$
33

 
$
24

 
$
—

 
$
897

50% - 70%
2,273

 
330

 
627

 
1,013

 
76

 
—

 
4,319

70% - 90%
141

 
61

 
277

 
132

 
88

 
46

 
745

90% plus
33

 
—

 
28

 
16

 
—

 
—

 
77

Total Commercial Mortgage Loans
$
3,092

 
$
529

 
$
989

 
$
1,194

 
$
188

 
$
46

 
$
6,038

Agricultural Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
246

 
$
133

 
$
288

 
$
446

 
$
272

 
$
47

 
$
1,432

50% - 70%
136

 
70

 
188

 
317

 
231

 
41

 
983

70% - 90%
3

 
—

 
2

 
4

 
—

 
—

 
9

90% plus
—

 
—

 
—

 
—

 
—

 
—

 
—

Total Agricultural Mortgage Loans
$
385

 
$
203

 
$
478

 
$
767

 
$
503

 
$
88

 
$
2,424

Total Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
891

 
$
271

 
$
345

 
$
479

 
$
296

 
$
47

 
$
2,329

50% - 70%
2,409

 
400

 
815

 
1,330

 
307

 
41

 
5,302

70% - 90%
144

 
61

 
279

 
136

 
88

 
46

 
754

90% plus
33

 
—

 
28

 
16

 
—

 
—

 
77

Total Mortgage Loans
$
3,477

 
$
732

 
$
1,467

 
$
1,961

 
$
691

 
$
134

 
$
8,462



(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, 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 to1.5x
 
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.
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, 2016 and December 31, 2015, respectively, before adjustments for valuation allowance.

Age Analysis of Past Due Mortgage Loans
 
30-59
    Days    
 
60-89
    Days    
 
90
    Days    
or >
 
Total    
 
Current    
 
Total
Financing
Receivables
 
Recorded
Investment
> 90 Days
and
Accruing
 
 
 
 
 
 
 
(In Millions)
 
 
 
 
June 30, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial
$
—

 
$
—

 
$
—

 
$
—

 
$
6,038

 
$
6,038

 
$
—

Agricultural
5

 
7

 
18

 
30

 
2,394

 
2,424

 
18

Total Mortgage Loans
$
5

 
$
7

 
$
18

 
$
30

 
$
8,432

 
$
8,462

 
$
18

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
Impaired Mortgage Loans
The following table provides information regarding impaired mortgage loans at June 30, 2016 and December 31, 2015, respectively.

Impaired Mortgage Loans

 
Recorded
Investment
 
Unpaid
Principal
Balance
 
Related
Allowance
 
Average
Recorded
Investment(1)
 
Interest
Income
Recognized
 
(In Millions)
June 30, 2016:
 
 
 
 
 
 
 
 
 
With no related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
16

 
$
16

 
$
—

 
$
26

 
$
—

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
16

 
$
16

 
$
—

 
$
26

 
$
—

With related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
61

 
$
61

 
$
(7
)
 
$
62

 
$
2

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
61

 
$
61

 
$
(7
)
 
$
62

 
$
2

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


 
(1)
Represents a three-quarter average of recorded amortized cost.
Derivative Instruments by Category
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 June 30, 2016
 
Gains (Losses)
Reported In Net
Earnings (Loss)
Six Months Ended June 30, 2016
 
 
 
Fair Value
 
 
Notional
Amount
 
Asset
Derivatives
 
Liability
Derivatives
 
 
(In Millions)
Freestanding derivatives:
 
 
 
 
 
 
 
Equity contracts:(1)
 
 
 
 
 
 
 
Futures
$
6,634

 
$
1

 
$
2

 
$
(264
)
Swaps
2,553

 
11

 
41

 
(39
)
Options
8,879

 
1,302

 
799

 
135

Interest rate contracts:(1)
 
 
 
 
 
 
 
Floors
1,500

 
38

 
—

 
6

Swaps
16,990

 
1,054

 
29

 
1,573

Futures
7,316

 
—

 
—

 
(57
)
Credit contracts:(1)
 
 
 
 
 
 
 
Credit default swaps
2,732

 
17

 
26

 
—

Other freestanding contracts:(1)
 
 
 
 
 
 
 
Foreign currency contracts
334

 
4

 
11

 
(8
)
Net investment income (loss)
 
 
 
 
 
 
1,346

Embedded derivatives:
 
 
 
 
 
 
 
GMIB reinsurance contracts
—

 
13,311

 
—

 
2,741

GIB and GWBL and Other Features(2)
—

 
—

 
330

 
146

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

 
—

 
410

 
(131
)
Total
$
46,938

 
$
15,738

 
$
1,648

 
$
4,102



(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.
 
At December 31, 2015
 
Gains (Losses)
Reported In Net
Earnings (Loss)
Six Months Ended June 30, 2015
 
 
 
Fair Value
 
 
Notional
Amount
 
Asset
Derivatives
 
Liability
Derivatives
 
 
(In Millions)
Freestanding derivatives:
 
 
 
 
 
 
 
Equity contracts:(1)
 
 
 
 
 
 
 
Futures
$
7,089

 
$
2

 
$
3

 
$
(201
)
Swaps
1,359

 
8

 
21

 
(75
)
Options
7,358

 
1,042

 
652

 
103

Interest rate contracts:(1)
 
 
 
 
 
 
 
Floors
1,800

 
61

 
—

 
11

Swaps
13,718

 
351

 
108

 
(376
)
Futures
8,685

 
—

 
—

 
(165
)
Swaptions
—

 
—

 
—

 
118

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

 
16

 
38

 
5

Other freestanding contracts:(1)
 
 
 
 
 
 
 
Foreign currency contracts
263

 
5

 
4

 
2

Net investment income (loss)
 
 
 
 
 
 
(578
)
Embedded derivatives:
 
 
 
 
 
 
 
GMIB reinsurance contracts
—

 
10,570

 
—

 
(760
)
GIB and GWBL and Other Features(2)
—

 
—

 
184

 
(19
)
SCS, SIO, MSO and IUL indexed features(3)
—

 
—

 
310

 
(125
)
Total
$
42,714

 
$
12,055

 
$
1,320

 
$
(1,482
)


(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 Financial Assets and Liabilities and Derivative Instruments
(2)
Excludes expense accrual of $3 million in securities sold under agreement to repurchase.
The following table presents information about the Insurance segment’s offsetting financial assets and liabilities and derivative instruments at December 31, 2015.
Offsetting 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(2)
1,472

 
814

 
658

Other financial instruments(4)
1,271

 
—

 
1,271

Other invested assets
$
2,743

 
$
814

 
$
1,929

Securities purchased under agreement to resell
$
79

 
$
—

 
$
79

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 financial assets and liabilities and derivative instruments at June 30, 2016.
Offsetting Financial Assets and Liabilities and Derivative Instruments
At June 30, 2016
 
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
$
1,312

 
$
839

 
$
473

Interest rate contracts
1,077

 
27

 
1,050

Credit contracts
16

 
26

 
(10
)
Currency
—

 
7

 
(7
)
Total Derivatives, subject to an ISDA Master Agreement
2,405

 
899

 
1,506

Total Derivatives, not subject to an ISDA Master Agreement
13

 
—

 
13

Total Derivatives(2)
2,418

 
899

 
1,519

Other financial instruments(4)
1,116

 
—

 
1,116

Other invested assets
$
3,534

 
$
899

 
$
2,635

Securities purchased under agreement to resell
$
673

 
$
—

 
$
673

LIABILITIES(3)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
839

 
$
839

 
$
—

Interest rate contracts
27

 
27

 
—

Credit contracts
26

 
26

 
—

Currency
7

 
7

 
—

Total Derivatives, subject to an ISDA Master Agreement
899

 
899

 
—

Total Derivatives, not subject to an ISDA Master Agreement
—

 
—

 
—

Total Derivatives
899

 
899

 
—

Other financial liabilities
3,574

 
—

 
3,574

Other liabilities
$
4,473

 
$
899

 
$
3,574

Securities sold under agreement to repurchase(5)
$
2,485

 
$
—

 
$
2,485


 
(1)
Excludes Investment Management segment’s $66 million net derivative assets (including derivative assets of consolidated VIEs), $8 million long exchange traded options and $34 million of securities borrowed.
(2)
Includes $137 million of accrued interest related to derivative instruments reported in other assets on the consolidated balance sheets.
(3)
Excludes Investment Management segment’s $73 million net derivative liabilities (including derivative liabilities of consolidated VIEs), $0 million short exchange traded options and $13 million of securities loaned.
(4)
Includes margin of $(92) million related to derivative instruments.
(5)
Excludes expense accrual of $3 million in securities sold under agreement to repurchase.
Gross Collateral Amounts 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(2)
$
658

 
$
(11
)
 
$
(605
)
 
$
42

Other financial instruments(4)
1,271

 
—

 
—

 
1,271

Other invested assets
$
1,929

 
$
(11
)
 
$
(605
)
 
$
1,313

Counterparty M
$
28

 
$
(28
)
 
$
—

 
$
—

Counterparty V
51

 
(51
)
 
—

 
—

Securities purchased under agreement to resell
$
79

 
$
(79
)
 
$
—

 
$
—

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 June 30, 2016.
Gross Collateral Amounts Not Offset in the Consolidated Balance Sheets
At June 30, 2016
 
Net Amounts Presented in the Balance Sheets
 
Collateral (Received)/Held
 
 
 
Financial
Instruments
 
Cash
 
Net
Amounts
 
(In Millions)
ASSETS:(1)
 
 
 
 
 
 
Counterparty A
$
67

 
$
—

 
$
(53
)
 
$
14

Counterparty B
73

 
—

 
(73
)
 
—

Counterparty C
160

 
—

 
(160
)
 
—

Counterparty D
271

 
—

 
(271
)
 
—

Counterparty E
106

 
—

 
(106
)
 
—

Counterparty F
100

 
—

 
(100
)
 
—

Counterparty G
196

 
—

 
(171
)
 
25

Counterparty H
25

 
(22
)
 
—

 
3

Counterparty I
160

 
—

 
(160
)
 
—

Counterparty J
106

 
—

 
(106
)
 
—

Counterparty K
39

 
—

 
(18
)
 
21

Counterparty L
7

 
—

 
(7
)
 
—

Counterparty M
141

 
—

 
(141
)
 
—

Counterparty N
13

 
—

 
—

 
13

Counterparty Q
2

 
—

 
(2
)
 
—

Counterparty T
19

 
—

 
(18
)
 
1

Counterparty U
19

 
—

 
(17
)
 
2

Counterparty V
15

 
—

 
2

 
$
17

Total derivatives(2)
$
1,519

 
$
(22
)
 
$
(1,401
)
 
$
96

Other financial instruments(4)
1,116

 
—

 
—

 
1,116

Other invested assets
$
2,635

 
$
(22
)
 
$
(1,401
)
 
$
1,212

Counterparty M
$
137

 
$
(82
)
 
$
—

 
$
55

Counterparty H
536

 
(536
)
 
—

 
—

Securities purchased under agreement to resell
$
673

 
$
(618
)
 
$
—

 
$
55

LIABILITIES:(3)
 
 
 
 
 
 
—

Counterparty D
$
735

 
$
(735
)
 
$
—

 
$
—

Counterparty M
1,272

 
(1,272
)
 
—

 
—

Counterparty H
478

 
(478
)
 
—

 
—

Securities sold under agreement to repurchase (5)
$
2,485

 
$
(2,485
)
 
$
—

 
$
—


 
(1)
Excludes Investment Management segment’s cash collateral received of $1 million related to derivative assets (including those related to derivative assets of consolidated VIEs) and $34 million related to securities borrowed.
(2)
Includes $137 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 $15 million related to derivative liabilities (including those related to derivative liabilities of consolidated VIEs) and $13 million related to securities loaned.
(4)
Includes margin of $(92) million related to derivative instruments.
(5)
Excludes expense accrual of $3 million in securities sold under agreement to repurchase.
Repurchase Agreements Accounted for as Secured Borrowings
The following table presents information about repurchase agreements accounted for as secured borrowings in the consolidated balance sheets at June 30, 2016.
Repurchase Agreement Accounted for as Secured Borrowings(1)
 
At June 30, 2016
 
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(2)
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency securities
$
—

 
$
2,485

 
$
—

 
$
—

 
$
2,485

Total
$
—

 
$
2,485

 
$
—

 
$
—

 
$
2,485

Securities purchased under agreement to resell
 
 
 
 
 
 
 
 
 
Corporate securities
$
—

 
$
590

 
$
83

 
$
—

 
$
673

Total
$
—

 
$
590

 
$
83

 
$
—

 
$
673


 
(1)
Excludes Investment Management segment’s $34 million of securities borrowed and $13 million of securities loaned.
(2)
Excludes expense accrual of $3 million in securities sold under agreement to repurchase.
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 and $10 million of securities loaned.