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INVESTMENTS
 9 Months Ended
Sep. 30, 2016
Investments, Debt and Equity Securities [Abstract]  
Investments
INVESTMENTS
Fixed Maturities and Equity 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)
September 30, 2016:
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
Public corporate
$
13,181

 
$
1,089

 
$
10

 
$
14,260

 
$
—

Private corporate
6,945

 
410

 
20

 
7,335

 
—

U.S. Treasury, government and agency
10,915

 
1,462

 
20

 
12,357

 
—

States and political subdivisions
432

 
93

 
1

 
524

 
—

Foreign governments
361

 
41

 
8

 
394

 
—

Commercial mortgage-backed
454

 
24

 
82

 
396

 
7

Residential mortgage-backed(1)
519

 
33

 
—

 
552

 
—

Asset-backed(2)
52

 
10

 
1

 
61

 
3

Redeemable preferred stock
541

 
60

 
—

 
601

 
—

Total Fixed Maturities
33,400

 
3,222

 
142

 
36,480

 
10

Equity securities
86

 
—

 
—

 
86

 
—

Total at September 30, 2016
$
33,486

 
$
3,222

 
$
142

 
$
36,566

 
$
10

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.

The contractual maturities of AFS fixed maturities at September 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 September 30, 2016 
 
Amortized
Cost
 
Fair Value
 
(In Millions)
Due in one year or less
$
1,361

 
$
1,378

Due in years two through five
7,668

 
8,201

Due in years six through ten
9,855

 
10,434

Due after ten years
12,950

 
14,857

Subtotal
31,834

 
34,870

Commercial mortgage-backed securities
454

 
396

Residential mortgage-backed securities
519

 
552

Asset-backed securities
52

 
61

Redeemable preferred stock
541

 
601

Total
$
33,400

 
$
36,480


The following table shows proceeds from sales, gross gains (losses) from sales and OTTI for AFS fixed maturities during the third quarter and first nine months of 2016 and 2015:
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
2016
 
2015
 
2016
 
2015
 
(In Millions)
Proceeds from sales
$
1,080

 
$
182

 
$
2,866

 
$
807

Gross gains on sales
$
9

 
$
14

 
$
94

 
$
21

Gross losses on sales
$
(1
)
 
$
(2
)
 
$
(47
)
 
$
(7
)
Total OTTI
$
(10
)
 
$
(14
)
 
$
(35
)
 
$
(32
)
Non-credit losses recognized in OCI
—

 
—

 
—

 
—

Credit losses recognized in earnings (loss)
$
(10
)
 
$
(14
)
 
$
(35
)
 
$
(32
)


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 September 30,
 
Nine Months Ended September 30,
 
2016
 
2015
 
2016
 
2015
 
(In Millions)
Balances, beginning of period
$
(166
)
 
$
(238
)
 
$
(198
)
 
$
(254
)
Previously recognized impairments on securities that matured, paid, prepaid or sold
8

 
35

 
65

 
69

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

 
—

 
(17
)
 
—

Impairments recognized this period on securities not previously impaired
(8
)
 
(14
)
 
(16
)
 
(32
)
Additional impairments this period on securities previously impaired
(2
)
 
—

 
(2
)
 
—

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 September 30,
$
(168
)
 
$
(217
)
 
$
(168
)
 
$
(217
)
(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 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:
 
September 30,
2016
 
December 31, 2015
 
(In Millions)
AFS Securities:
 
 
 
Fixed maturities:
 
 
 
With OTTI loss
$
18

 
$
16

All other
3,062

 
676

Equity securities
—

 
(2
)
Net Unrealized Gains (Losses)
$
3,080

 
$
690



Changes in net unrealized investment gains (losses) recognized in AOCI include reclassification adjustments to reflect amounts realized in Net earnings (loss) for the current period that had been part of OCI in earlier periods. 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, July 1, 2016
$
15

 
$
—

 
$
—

 
$
(6
)
 
$
9

Net investment gains (losses) arising during the period
2

 
—

 
—

 
—

 
2

Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
1

 
—

 
—

 
—

 
1

Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

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

 
—

 
—

 
—

 
—

Deferred income taxes
—

 
—

 
—

 
(1
)
 
(1
)
Policyholders’ liabilities
—

 
—

 
—

 
—

 
—

Balance, September 30, 2016
$
18

 
$
—

 
$
—

 
$
(7
)
 
$
11

Balance, July 1, 2015
$
7

 
$
1

 
$
(1
)
 
$
(3
)
 
$
4

Net investment gains (losses) arising during the period
1

 
—

 
—

 
—

 
1

Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
6

 
—

 
—

 
—

 
6

Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

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

 
(1
)
 
—

 
—

 
(1
)
Deferred income taxes
—

 
—

 
—

 
(2
)
 
(2
)
Policyholders’ liabilities
—

 
—

 
(1
)
 
—

 
(1
)
Balance, September 30, 2015
$
14

 
$
—

 
$
(2
)
 
$
(5
)
 
$
7


 

 
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
(5
)
 
—

 
—

 
—

 
(5
)
Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
7

 
—

 
—

 
—

 
7

Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

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

 
—

 
—

 
—

 
—

Deferred income taxes
—

 
—

 
—

 
(2
)
 
(2
)
Policyholders’ liabilities
—

 
—

 
4

 
—

 
4

Balance, September 30, 2016
$
18

 
$
—

 
$
—

 
$
(7
)
 
$
11

Balance, January 1, 2015
$
10

 
$
—

 
$
—

 
$
(4
)
 
$
6

Net investment gains (losses) arising during the period
(4
)
 
—

 
—

 
—

 
(4
)
Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
8

 
—

 
—

 
—

 
8

Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

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

 
—

 
—

 
—

 
—

Deferred income taxes
—

 
—

 
—

 
(1
)
 
(1
)
Policyholders’ liabilities
—

 
—

 
(2
)
 
—

 
(2
)
Balance, September 30, 2015
$
14

 
$
—

 
$
(2
)
 
$
(5
)
 
$
7


  

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, July 1, 2016
$
3,079

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

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

 
—

 
—

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

 
—

 
—

 
—

 
—

Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
24

 
—

 
—

 
24

Deferred income taxes
—

 
—

 
—

 
(2
)
 
(2
)
Policyholders’ liabilities
—

 
—

 
1

 
—

 
1

Balance, September 30, 2016
$
3,062

 
$
(115
)
 
$
(410
)
 
$
(888
)
 
$
1,649

Balance, July 1, 2015
$
1,093

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

Net investment gains (losses) arising during the period
198

 
—

 
—

 
—

 
198

Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
(3
)
 
—

 
—

 
—

 
(3
)
Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
32

 
—

 
—

 
32

Deferred income taxes
—

 
—

 
—

 
(86
)
 
(86
)
Policyholders’ liabilities
—

 
—

 
24

 
—

 
24

Balance, September 30, 2015
$
1,288

 
$
(70
)
 
$
(276
)
 
$
(329
)
 
$
613


(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
2,417

 
—

 
—

 
—

 
2,417

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
—

 
(33
)
 
—

 
—

 
(33
)
Deferred income taxes
—

 
—

 
—

 
(755
)
 
(755
)
Policyholders’ liabilities
—

 
—

 
(197
)
 
—

 
(197
)
Balance, September 30, 2016
$
3,062

 
$
(115
)
 
$
(410
)
 
$
(888
)
 
$
1,649

Balance, January 1, 2015
$
2,231

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

Net investment gains (losses) arising during the period
(953
)
 
—

 
—

 
—

 
(953
)
Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
10

 
—

 
—

 
—

 
10

Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
52

 
—

 
—

 
52

Deferred income taxes
—

 
—

 
—

 
281

 
281

Policyholders’ liabilities
—

 
—

 
92

 
—

 
92

Balance, September 30, 2015
$
1,288

 
$
(70
)
 
$
(276
)
 
$
(329
)
 
$
613


 
(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.
The following tables disclose the fair values and gross unrealized losses of the 423 issues at September 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)
September 30, 2016:
 
 
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
 
 
Public corporate
$
401

 
$
2

 
$
170

 
$
8

 
$
571

 
$
10

Private corporate
302

 
1

 
270

 
19

 
572

 
20

U.S. Treasury, government and agency
907

 
20

 
—

 
—

 
907

 
20

States and political subdivisions
—

 
—

 
19

 
1

 
19

 
1

Foreign governments
2

 
—

 
51

 
8

 
53

 
8

Commercial mortgage-backed
65

 
8

 
207

 
74

 
272

 
82

Residential mortgage-backed
96

 
—

 
5

 
—

 
101

 
—

Asset-backed
—

 
—

 
8

 
1

 
8

 
1

Redeemable preferred stock
—

 
—

 
13

 
—

 
13

 
—

Total
$
1,773

 
$
31


$
743


$
111


$
2,516


$
142

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


The Company’s investments in fixed maturity securities do not include concentrations of credit risk of any single issuer greater than 10% of the consolidated equity of AXA Equitable, other than securities of the U.S. government, U.S. government agencies, and certain securities guaranteed by the U.S. government. The Company maintains a diversified portfolio of corporate securities across industries and issuers and does not have exposure to any single issuer in excess of 0.3% of total investments. The largest exposures to a single issuer of corporate securities held at September 30, 2016 and December 31, 2015 were $166 million and $157 million, respectively. Corporate high yield securities, consisting primarily of public high yield bonds, are classified as other than investment grade by the various rating agencies, i.e., a rating below Baa3/BBB- or the NAIC designation of 3 (medium grade), 4 or 5 (below investment grade) or 6 (in or near default). At September 30, 2016 and December 31, 2015, respectively, approximately $1,628 million and $1,310 million, or 4.9% and 4.2%, of the $33,400 million and $31,201 million aggregate amortized cost of fixed maturities held by the Company were considered to be other than investment grade. These securities had net unrealized losses of $45 million and $97 million at September 30, 2016 and December 31, 2015, respectively. At September 30, 2016 and December 31, 2015, respectively, the $111 million and $194 million of gross unrealized losses of twelve months or more were concentrated in commercial mortgage-backed and corporates securities. In accordance with the policy described in Note 2, the Company concluded that an adjustment to earnings for OTTI for these securities was not warranted at either September 30, 2016 or 2015. At September 30, 2016 and December 31, 2015, the Company did not intend to sell the securities nor will it likely be required to dispose of the securities before the anticipated recovery of their remaining amortized cost basis.
At September 30, 2016, the carrying value of fixed maturities that were non-income producing for the twelve months preceding that date was $6 million.
The Company does not originate, purchase or warehouse residential mortgages and is not in the mortgage servicing business. At September 30, 2016 and December 31, 2015, respectively, the Company owned $6 million and $7 million in RMBS backed by subprime residential mortgage loans and $6 million and $6 million in RMBS backed by Alt-A residential mortgage loans. RMBS backed by subprime and Alt-A residential mortgages are fixed income investments supporting General Account liabilities.
For the third quarter and first nine months of 2016 and 2015, investment income is shown net of investment expenses of $16 million, $47 million, $15 million, and $41 million, respectively.
At September 30, 2016 and December 31, 2015, respectively, the amortized cost of the Company’s trading account securities was $8,611 million and $6,866 million with respective fair values of $8,702 million and $6,805 million. Also at September 30, 2016 and December 31, 2015, respectively, Other equity investments included the General Account’s investment in Separate Accounts, which had carrying values of $65 million and $82 million and costs of $49 million and $72 million, as well as other equity securities with carrying values of $86 million and $32 million and costs of $86 million and $34 million.
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 third quarter and first nine months of 2016 and 2015:

Net investment income (loss) from trading securities 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
2016
 
2015
 
2016
 
2015
 
(In Millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period
$
7

 
$
(56
)
 
$
126

 
$
(49
)
Net investment gains (losses) recognized on securities sold during the period
1

 
2

 
(9
)
 
9

Unrealized and realized gains (losses) on trading securities arising during the period
8

 
(54
)
 
117

 
(40
)
Interest and dividend income from trading securities
34

 
25

 
82

 
53

Net investment income (loss) from trading securities
$
42

 
$
(29
)
 
$
199

 
$
13


Mortgage Loans
Mortgage loans on real estate are placed on nonaccrual status once management determines the collection of accrued interest is doubtful. Once mortgage loans on real estate are classified as nonaccrual loans, interest income is recognized under the cash basis of accounting and the resumption of the interest accrual would commence only after all past due interest has been collected or the mortgage loan on real estate has been restructured to where the collection of interest is considered likely. At September 30, 2016 and December 31, 2015, the carrying values of commercial mortgage loans on real estate that had been classified as nonaccrual loans were $35 million and $72 million, respectively.
Troubled Debt Restructurings
The TDR mortgage loan shown in the table below has been modified four times since 2011. The modifications were to extend the maturity from its original maturity of November 5, 2014 to December 5, 2016 and to extend interest only payments through maturity. In November 2015, the recorded investment was reduced by $45 million in conjunction with the sale of the majority of the underlying collateral and $32 million from a charge-off. The remaining $15 million mortgage loan balance reflects the value of the remaining underlying collateral and cash held in escrow, supporting the mortgage loan. Since the fair market value of the underlying real estate and cash held in escrow collateral is the primary factor in determining the allowance for credit losses, modifications of loan terms typically have no direct impact on the allowance for credit losses, and therefore, no impact on the financial statements.

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

 
15

 
15


There were no default payments on the above loan during the first nine months of 2016.
Valuation Allowances for Mortgage Loans:
Allowance for credit losses for commercial mortgage loans for the first nine 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
(2
)
 
—

Provision
4

 
2

Ending balance, September 30,
$
8

 
$
38

 
 
 
 
September 30, Individually Evaluated for Impairment
$
8

 
$
38


There were no allowances for credit losses for agricultural mortgage loans for the first nine months of 2016 and 2015.
The following tables provide information relating to the loan-to-value and debt service coverage ratios for commercial and agricultural mortgage loans at September 30, 2016 and December 31, 2015, before adjustments for valuation allowance. 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
September 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

 
$
151

 
$
46

 
$
57

 
$
—

 
$
—

 
$
899

50% - 70%
2,644

 
508

 
624

 
818

 
76

 
—

 
4,670

70% - 90%
251

 
64

 
132

 
142

 
28

 
46

 
663

90% plus
33

 
—

 
27

 
15

 
—

 
—

 
75

Total Commercial Mortgage Loans
$
3,573

 
$
723

 
$
829

 
$
1,032

 
$
104

 
$
46

 
$
6,307

Agricultural Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
254

 
$
137

 
$
298

 
$
438

 
$
275

 
$
49

 
$
1,451

50% - 70%
130

 
63

 
197

 
347

 
223

 
50

 
1,010

70% - 90%
3

 
—

 
2

 
4

 
—

 
—

 
9

90% plus
—

 
—

 
—

 
—

 
—

 
—

 
—

Total Agricultural Mortgage Loans
$
387

 
$
200

 
$
497

 
$
789

 
$
498

 
$
99

 
$
2,470

Total Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
899

 
$
288

 
$
344

 
$
495

 
$
275

 
$
49

 
$
2,350

50% - 70%
2,774

 
571

 
821

 
1,165

 
299

 
50

 
5,680

70% - 90%
254

 
64

 
134

 
146

 
28

 
46

 
672

90% plus
33

 
—

 
27

 
15

 
—

 
—

 
75

Total Mortgage Loans
$
3,960

 
$
923

 
$
1,326

 
$
1,821

 
$
602

 
$
145

 
$
8,777



(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.

The following table provides information relating to the aging analysis of past due mortgage loans at September 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)
 
 
 
 
September 30, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial
$
—

 
$
—

 
$
—

 
$
—

 
$
6,307

 
$
6,307

 
$
—

Agricultural
5

 
12

 
19

 
36

 
2,434

 
2,470

 
19

Total Mortgage Loans
$
5

 
$
12

 
$
19

 
$
36

 
$
8,741

 
$
8,777

 
$
19

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



The following table provides information regarding impaired mortgage loans at September 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)
September 30, 2016:
 
 
 
 
 
 
 
 
 
With no related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
15

 
$
15

 
$
—

 
$
23

 
$
—

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
15

 
$
15

 
$
—

 
$
23

 
$
—

With related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
28

 
$
28

 
$
(8
)
 
$
53

 
$
2

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
28

 
$
28

 
$
(8
)
 
$
53

 
$
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 four-quarter average of recorded amortized cost.
Derivatives and Offsetting Assets and Liabilities
The Company uses derivatives as part of its overall asset/liability risk management primarily to reduce exposures to equity market and interest rate risks. Derivative hedging strategies are designed to reduce these risks from an economic perspective and are all executed within the framework of a “Derivative Use Plan” approved by the NYDFS. Operation of these hedging programs is based on models involving numerous estimates and assumptions, including, among others, mortality, lapse, surrender and withdrawal rates, election rates, fund performance, market volatility and interest rates. A wide range of derivative contracts are used in these hedging programs, including exchange traded equity, currency and interest rate futures contracts, total return and/or other equity swaps, interest rate swap and floor contracts, bond and bond-index total return swaps, swaptions, variance swaps, equity options as well as bond and repo transactions to support the hedging, that collectively are managed in an effort to reduce the economic impact of unfavorable changes in guaranteed benefits’ exposures attributable to movements in capital markets.
Derivatives utilized to hedge exposure to Variable Annuities with Guarantee Features
The Company has issued and continues to offer certain variable annuity products with GMDB, GMIB and GIB features. The Company had previously issued certain variable annuity products with GWBL, GMWB and GMAB features (collectively, “GWBL and Other Features”). The risk associated with the GMDB feature is that under-performance of the financial markets could result in GMDB benefits, in the event of death, being higher than what accumulated policyholders’ account balances would support. The risk associated with the GMIB feature is that under-performance of the financial markets could result in the present value of GMIB benefits, in the event of annuitization, being higher than what accumulated policyholders’ account balances would support, taking into account the relationship between current annuity purchase rates and the GMIB guaranteed annuity purchase rates. The risk associated with the GIB and GWBL and Other Features is that under-performance of the financial markets could result in the GIB and GWBL and Other Features’ benefits being higher than what accumulated policyholders’ account balances would support.
For GMDB, GMIB, GIB and GWBL and Other Features, the Company retains certain risks including basis, credit spread and some volatility risk and risk associated with actual versus expected assumptions for mortality, lapse and surrender, withdrawal and contractholder election rates, among other things. The derivative contracts are managed to correlate with changes in the value of the GMDB, GMIB, GIB and GWBL and Other Features that result from financial markets movements. A portion of exposure to realized equity volatility is hedged using equity options and variance swaps and a portion of exposure to credit risk is hedged using total return swaps on fixed income indices. Additionally, the Company is party to total return swaps for which the reference U.S. Treasury securities are contemporaneously purchased from the market and sold to the swap counterparty. As these transactions result in a transfer of control of the U.S. Treasury securities to the swap counterparty, the Company derecognizes these securities with consequent gain or loss from the sale. The Company has also purchased reinsurance contracts to mitigate the risks associated with GMDB features and the impact of potential market fluctuations on future policyholder elections of GMIB features contained in certain annuity contracts issued by the Company.
The Company has in place a hedge program utilizing interest rate swaps to partially protect the overall profitability of future variable annuity sales against declining interest rates.
Derivatives utilized to hedge crediting rate exposure on SCS, SIO, MSO and IUL products/investment options
The Company hedges crediting rates in the SCS variable annuity, SIO in the EQUI-VEST® variable annuity series, MSO in the variable life insurance products and IUL insurance products. These products permit the contract owner to participate in the performance of an index, ETF or commodity price movement up to a cap for a set period of time. They also contain a protection feature, in which the Company will absorb, up to a certain percentage, the loss of value in an index, ETF or commodity price, which varies by product segment.
In order to support the returns associated with these features, the Company enters into derivative contracts whose payouts, in combination with fixed income investments, emulate those of the index, ETF or commodity price, subject to caps and buffers.
Derivatives utilized to hedge risks associated with interest margins on Interest Sensitive Life and Annuity Contracts and interest-rate risk arising from commercial mortgage loans
Margins or “spreads” on interest-sensitive life insurance and annuity contracts are affected by interest rate fluctuations as the yield on portfolio investments, primarily fixed maturities, is intended to support required payments under these contracts, including interest rates credited to their policy and contract holders. From time to time the Company uses interest rate swaptions and other instruments to reduce the risk associated with minimum guarantees on these interest-sensitive contracts.
The Company originates non-recourse commercial real estate mortgage loans, the terms of which may result in short term economic interest rate risk between loan commitment and funding. The company uses forward interest-rate swaps to protect against interest rate fluctuations during this period, which are disposed at loan funding. Realized gains and losses from the disposition are amortized over the life of the loan.
Derivatives utilized to hedge equity market risks associated with the General Account’s seed money investments in Separate Accounts, retail mutual funds and Separate Account fee revenue fluctuations
The Company’s General Account seed money investments in Separate Account equity funds and retail mutual funds exposes the Company to market risk, including equity market risk, which is partially hedged through equity-index futures contracts to minimize such risk.

Periodically, the Company enters into futures on equity indices to mitigate the impact on net earnings from Separate Account fee revenue fluctuations due to movements in the equity markets. These positions partially cover fees expected to be earned from the Company’s Separate Account products.

Derivatives utilized for General Account Investment Portfolio

Beginning in the second quarter of 2013, the Company implemented a strategy in its General Account investment portfolio to replicate the credit exposure of fixed maturity securities otherwise permissible under its investment guidelines through the sale of CDSs. Under the terms of these swaps, the Company receives quarterly fixed premiums that, together with any initial amount paid or received at trade inception, replicate the credit spread otherwise currently obtainable by purchasing the referenced entity’s bonds of similar maturity. These credit derivatives generally have remaining terms of five years or less and are recorded at fair value with changes in fair value, including the yield component that emerges from initial amounts paid or received, reported in Net investment income (loss). The Company manages its credit exposure taking into consideration both cash and derivatives based positions and selects the reference entities in its replicated credit exposures in a manner consistent with its selection of fixed maturities. In addition, the Company has transacted the sale of CDSs exclusively in single name reference entities of investment grade credit quality and with counterparties subject to collateral posting requirements. If there is an event of default by the reference entity or other such credit event as defined under the terms of the swap contract, the Company is obligated to perform under the credit derivative and, at the counterparty’s option, either pay the referenced amount of the contract less an auction-determined recovery amount or pay the referenced amount of the contract and receive in return the defaulted or similar security of the reference entity for recovery by sale at the contract settlement auction. To date, there have been no events of default or circumstances indicative of a deterioration in the credit quality of the named referenced entities to require or suggest that the Company will have to perform under these CDSs. The maximum potential amount of future payments the Company could be required to make under these credit derivatives is limited to the par value of the referenced securities which is the dollar-equivalent of the derivative notional amount. The Standard North American CDS Contract (“SNAC”) under which the Company executes these CDS sales transactions does not contain recourse provisions for recovery of amounts paid under the credit derivative.
Periodically, the Company purchases TIPS and other sovereign bonds, both inflation linked and non-inflation linked, as General Account investments and enters into asset or cross-currency basis swaps, to result in payment of the given bond’s coupons and principal at maturity in the bond’s specified currency to the swap counterparty, in return for fixed dollar amounts. These swaps, when considered in combination with the bonds, together result in a net position that is intended to replicate a dollar-denominated fixed-coupon cash bond with a yield higher than a term-equivalent U.S. Treasury bond.
The Company implemented a strategy to hedge a portion of the credit exposure in its General Account investment portfolio by buying protection through a swap. These are swaps on the “super senior tranche” of the investment grade CDX index. Under the terms of these swaps, the Company pays quarterly fixed premiums that, together with any initial amount paid or received at trade inception, serve as premiums paid to hedge the risk arising from multiple defaults of bonds referenced in the CDX index. These credit derivatives have terms of five years or less and are recorded at fair value with changes in fair value, including the yield component that emerges from initial amounts paid or received, reported in Net investment income (loss) from derivative instruments.
During third quarter 2016, the Company implemented a program to mitigate duration gap using total return swaps for which the reference U.S. Treasury securities are sold to the swap counterparty under arrangements economically similar to repurchase agreements.  As these transactions result in a transfer of control of the U.S. Treasury securities to the swap counterparty, the Company derecognizes these securities with consequent gain or loss from the sale.  In third quarter 2016, the Company derecognized approximately $951 million U.S. Treasury securities for which the Company received proceeds of approximately $951 million at inception of the total return swap contract.  Under the terms of these swaps, the Company retains ongoing exposure to the total returns of the underlying U.S. Treasury securities in exchange for a financing cost.  Reported in Other invested assets in the Company's balance sheet at September 30, 2016 is approximately $(23) million, representing the fair value of these total return swap contracts.
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 September 30, 2016
 
Gains (Losses)
Reported In Net
Earnings (Loss)
Nine Months Ended September 30, 2016
 
 
 
Fair Value
 
 
Notional
Amount
 
Asset
Derivatives
 
Liability
Derivatives
 
 
(In Millions)
Freestanding derivatives:
 
 
 
 
 
 
 
Equity contracts:(1)
 
 
 
 
 
 
 
Futures
$
5,948

 
$
1

 
$
1

 
$
(581
)
Swaps
3,357

 
5

 
108

 
(193
)
Options
10,124

 
1,657

 
915

 
435

Interest rate contracts:(1)
 
 
 
 
 
 
 
Floors
1,500

 
23

 
—

 
4

Swaps
18,914

 
452

 
272

 
1,460

Futures
7,405

 
—

 
—

 
(23
)
Credit contracts:(1)
 
 
 
 
 
 
 
Credit default swaps
2,758

 
19

 
19

 
9

Other freestanding contracts:(1)
 
 
 
 
 
 
 
Cross currency swaps
487

 
4

 
15

 
(13
)
Net investment income (loss)
 
 
 
 
 
 
1,098

Embedded derivatives:
 
 
 
 
 
 
 
GMIB reinsurance contracts
—

 
13,113

 
—

 
2,543

GIB and GWBL and Other Features(2)
—

 
—

 
301

 
(117
)
SCS, SIO, MSO and IUL indexed features(3)
—

 
—

 
649

 
(441
)
Total
$
50,493

 
$
15,274

 
$
2,280

 
$
3,083



(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)
Nine Months Ended September 30, 2015
 
 
 
Fair Value
 
 
Notional
Amount
 
Asset
Derivatives
 
Liability
Derivatives
 
 
(In Millions)
Freestanding derivatives:
 
 
 
 
 
 
 
Equity contracts:(1)
 
 
 
 
 
 
 
Futures
$
7,089

 
$
2

 
$
3

 
$
303

Swaps
1,359

 
8

 
21

 
54

Options
7,358

 
1,042

 
652

 
(167
)
Interest rate contracts:(1)
 
 
 
 
 
 
 
Floors
1,800

 
61

 
—

 
17

Swaps
13,718

 
351

 
108

 
157

Futures
8,685

 
—

 
—

 
(152
)
Swaptions
—

 
—

 
—

 
118

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

 
16

 
38

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

 
5

 
4

 
8

Net investment income (loss)
 
 
 
 
 
 
337

Embedded derivatives:
 
 
 
 
 
 
 
GMIB reinsurance contracts
—

 
10,570

 
—

 
1,503

GIB and GWBL and Other Features(2)
—

 
—

 
184

 
(97
)
SCS, SIO, MSO and IUL indexed features(3)
—

 
—

 
310

 
137

Total
$
42,714

 
$
12,055

 
$
1,320

 
$
1,880



(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
Equity-Based and Treasury Futures Contracts
All outstanding equity-based and treasury futures contracts at September 30, 2016 are exchange-traded and net settled daily in cash. At September 30, 2016, the Company had open exchange-traded futures positions on: (i) the S&P 500, Russell 2000, and Emerging Market indices, having initial margin requirements of $240 million, (ii) the 2-year, 5-year and 10-year U.S. Treasury Notes on U.S. Treasury bonds and ultra-long bonds, having initial margin requirements of $31 million and (iii) the Euro Stoxx, FTSE 100, Topix, ASX 200, and European, Australasia, and Far East (“EAFE”) indices as well as corresponding currency futures on the Euro/U.S. dollar, Pound/U.S. dollar, Australian dollar/U.S. dollar, and Yen/U.S. dollar, having initial margin requirements of $20 million.
Credit Risk
Although notional amount is the most commonly used measure of volume in the derivatives market, it is not used as a measure of credit risk. A derivative with positive fair value (a derivative asset) indicates existence of credit risk because the counterparty would owe money to the Company if the contract were closed at the reporting date. Alternatively, a derivative contract with negative fair value (a derivative liability) indicates the Company would owe money to the counterparty if the contract were closed at the reporting date. To reduce credit exposures in OTC derivative transactions the Company generally enters into master agreements that provide for a netting of financial exposures with the counterparty and allow for collateral arrangements as further described below under “ISDA Master Agreements.” The Company further controls and minimizes its counterparty exposure through a credit appraisal and approval process.
ISDA Master Agreements
Netting Provisions. The standardized “ISDA Master Agreement” under which the Company conducts its OTC derivative transactions includes provisions for payment netting. In the normal course of business activities, if there is more than one derivative transaction with a single counterparty, the Company will set-off the cash flows of those derivatives into a single amount to be exchanged in settlement of the resulting net payable or receivable with that counterparty. In the event of default, insolvency, or other similar event pre-defined under the ISDA Master Agreement that would result in termination of OTC derivatives transactions before their maturity, netting procedures would be applied to calculate a single net payable or receivable with the counterparty.
Collateral Arrangements. The Company generally has executed a CSA under the ISDA Master Agreement it maintains with each of its OTC derivative counterparties that requires both posting and accepting collateral either in the form of cash or high-quality securities, such as U.S. Treasury securities, U.S. government and government agency securities and investment grade corporate bonds. These CSAs are bilateral agreements that require collateral postings by the party “out-of-the-money” or in a net derivative liability position. Various thresholds for the amount and timing of collateralization of net liability positions are applicable. Consequently, the credit exposure of the Company’s OTC derivative contracts is limited to the net positive estimated fair value of those contracts at the reporting date after taking into consideration the existence of netting agreements and any collateral received pursuant to CSAs. Derivatives are recognized at fair value in the consolidated balance sheets and are reported either as assets in Other invested assets or as liabilities in Other liabilities, except for embedded insurance-related derivatives as described above and derivatives transacted with a related counterparty. The Company nets the fair value of all derivative financial instruments with counterparties for which an ISDA Master Agreement and related CSA have been executed.
At September 30, 2016 and December 31, 2015, respectively, the Company held $938 million and $655 million in cash and securities collateral delivered by trade counterparties, representing the fair value of the related derivative agreements. This unrestricted cash collateral is reported in Cash and cash equivalents, and the obligation to return it is reported in Other liabilities in the consolidated balance sheets. The aggregate fair value of all collateralized derivative transactions that were in a liability position with trade counterparties at September 30, 2016 and December 31, 2015, respectively, were $67 million and $5 million, for which the Company posted collateral of $53 million and $5 million at September 30, 2016 and December 31, 2015, respectively, in the normal operation of its collateral arrangements. Certain of the Company’s ISDA Master Agreements contain contingent provisions that permit the counterparty to terminate the ISDA Master Agreement if the Company’s credit rating falls below a specified threshold, however, the occurrence of such credit event would not impose additional collateral requirements.
Securities Repurchase and Reverse Repurchase Transactions
Securities repurchase and reverse repurchase transactions are conducted by the Company under a standardized securities industry master agreement, amended to suit the specificities of each respective counterparty. These agreements generally provide detail as to the nature of the transaction, including provisions for payment netting, establish parameters concerning the ownership and custody of the collateral securities, including the right to substitute collateral during the term of the agreement, and provide for remedies in the event of default by either party. Amounts due to/from the same counterparty under these arrangements generally would be netted in the event of default and subject to rights of set-off in bankruptcy. The Company’s securities repurchase and reverse repurchase agreements are accounted for as secured borrowing or lending arrangements, respectively and are reported in the consolidated balance sheets on a gross basis. The Company obtains or posts collateral generally in the form of cash and U.S. Treasury, corporate and government agency securities. The fair value of the securities to be repurchased or resold are monitored on a daily basis with additional collateral posted or obtained as necessary. Securities to be repurchased or resold are the same, or substantially the same, as those initially transacted under the arrangement. At September 30, 2016 and December 31, 2015, the balance outstanding under reverse repurchase transactions was $0 million and $79 million, respectively. At September 30, 2016 and December 31, 2015, the balance outstanding under securities repurchase transactions was $2,145 million and $1,890 million, respectively. The Company utilized these repurchase and reverse repurchase agreements for asset liability and cash management purposes. For other instruments used for asset liability management purposes, see “Obligation under funding agreements” included in Note 13.
The following table presents information about the Insurance Segment’s offsetting financial assets and liabilities and derivative instruments at September 30, 2016.
Offsetting Financial Assets and Liabilities and Derivative Instruments
At September 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
$
1,661

 
$
1,022

 
$
639

Interest rate contracts
467

 
270

 
197

Credit contracts
18

 
19

 
(1
)
Currency
1

 
11

 
(10
)
Total Derivatives, subject to an ISDA Master Agreement
2,147

 
1,322

 
825

Total Derivatives, not subject to an ISDA Master Agreement
8

 
—

 
8

Total Derivatives(2)
2,155

 
1,322

 
833

Other financial instruments(4)
1,242

 
—

 
1,242

Other invested assets
$
3,397

 
$
1,322

 
$
2,075

Securities purchased under agreement to resell
$
—

 
$
—

 
$
—

LIABILITIES(3)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
1,022

 
$
1,022

 
$
—

Interest rate contracts
270

 
270

 
—

Credit contracts
19

 
19

 
—

Currency
11

 
11

 
—

Total Derivatives, subject to an ISDA Master Agreement
1,322

 
1,322

 
—

Total Derivatives, not subject to an ISDA Master Agreement
—

 
—

 
—

Total Derivatives
1,322

 
1,322

 
—

Other financial liabilities
2,919

 
—

 
2,919

Other liabilities
$
4,241

 
$
1,322

 
$
2,919

Securities sold under agreement to repurchase(5)
$
2,142

 
$
—

 
$
2,142


 
(1)
Excludes Investment Management segment’s $11 million net derivative assets (including derivative assets of consolidated VIEs), $4 million long exchange traded options and $43 million of securities borrowed.
(2)
Includes $129 million of accrued interest related to derivative instruments reported in other assets on the consolidated balance sheets. Excludes Investment Management segment’s $11 million net derivative liabilities (including derivative liabilities of consolidated VIEs), $4 million short exchange traded options and $5 million of securities loaned.
(3)
Includes margin of $(41) million related to derivative instruments.
(4)
Excludes expense accrual of $3 million in securities sold under agreement to repurchase.

The following table presents information about the Insurance segment’s gross collateral amounts that are not offset in the consolidated balance sheets at September 30, 2016.
Gross Collateral Amounts Not Offset in the Consolidated Balance Sheets
At September 30, 2016
 
Net Amounts Presented in the Balance Sheets
 
Collateral (Received)/Held
 
 
 
Financial
Instruments
 
Cash
 
Net
Amounts
 
(In Millions)
ASSETS:(1)
 
 
 
 
 
 
Counterparty A
$
64

 
$
—

 
$
(63
)
 
$
1

Counterparty B
(43
)
 
—

 
43

 
—

Counterparty C
44

 
—

 
(44
)
 
—

Counterparty D
239

 
—

 
(239
)
 
—

Counterparty E
19

 
—

 
(19
)
 
—

Counterparty F
40

 
—

 
(40
)
 
—

Counterparty G
213

 
—

 
(213
)
 
—

Counterparty H
56

 
(51
)
 
—

 
5

Counterparty I
(8
)
 
—

 
8

 
—

Counterparty J
77

 
—

 
(77
)
 
—

Counterparty K
67

 
—

 
(67
)
 
—

Counterparty L
2

 
—

 
(2
)
 
—

Counterparty M
12

 
—

 
(12
)
 
—

Counterparty N
8

 
—

 
—

 
8

Counterparty Q
6

 
—

 
(6
)
 
—

Counterparty T
(1
)
 
—

 
1

 
—

Counterparty U
(16
)
 
—

 
16

 
—

Counterparty V
54

 
—

 
(51
)
 
$
3

Total derivatives(2)
$
833

 
$
(51
)
 
$
(765
)
 
$
17

Other financial instruments(4)
1,242

 
—

 
—

 
1,242

Other invested assets
$
2,075

 
$
(51
)
 
$
(765
)
 
$
1,259

Securities purchased under agreement to resell
$
—

 
$
—

 
$
—

 
$
—

LIABILITIES:(3)
 
 
 
 
 
 

Counterparty D
$
834

 
$
(802
)
 
$
(20
)
 
$
12

Counterparty M
518

 
(508
)
 
(5
)
 
5

Counterparty H
236

 
(227
)
 
(6
)
 
3

Counterparty W
554

 
(529
)
 
(16
)
 
9

Securities sold under agreement to repurchase (5)
$
2,142

 
$
(2,066
)
 
$
(47
)
 
$
29


 
(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 $43 million related to securities borrowed.
(2)
Includes $129 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 $8 million related to derivative liabilities (including those related to derivative liabilities of consolidated VIEs) and $5 million related to securities loaned.
(4)
Includes margin of $(41) million related to derivative instruments.
(5)
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 September 30, 2016.
Repurchase Agreement Accounted for as Secured Borrowings(1)
 
At September 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
$
—

 
$
2,142

 
$
—

 
$
—

 
$
2,142

Total
$
—

 
$
2,142

 
$
—

 
$
—

 
$
2,142

Securities purchased under agreement to resell
 
 
 
 
 
 
 
 
 
Corporate securities
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Total
$
—

 
$
—

 
$
—

 
$
—

 
$
—


 
(1)
Excludes Investment Management segment’s $43 million of securities borrowed and $5 million of securities loaned.
(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 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 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.