INVESTMENTS

Fixed Maturities

The following tables provide information relating to fixed maturities classified as available-for-sale (“AFS”).

Available-for-Sale Fixed Maturities by Classification



	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		OTTI in AOCI (4)
	(in millions)
December 31, 2019:
Fixed Maturities:
Corporate (1)	$	42,347	$	2,178	$	61	$	44,464	$	—
U.S. Treasury, government and agency	14,385		1,151		305		15,231		—
States and political subdivisions	584		68		3		649		—
Foreign governments	460		35		5		490		—
Residential mortgage-backed (2)	161		12		—		173		—
Asset-backed (3)	843		3		2		844		—
Redeemable preferred stock	498		18		5		511		—
Total at December 31, 2019	$	59,278	$	3,465	$	381	$	62,362	$	—

December 31, 2018:
Fixed Maturities:
Corporate (1)	$	26,690	$	385	$	699	$	26,376	$	—
U.S. Treasury, government and agency	13,646		143		454		13,335		—
States and political subdivisions	408		47		1		454		—
Foreign governments	515		17		13		519		—
Residential mortgage-backed (2)	193		9		—		202		—
Asset-backed (3)	600		1		11		590		2
Redeemable preferred stock	440		16		17		439		—
Total at December 31, 2018	$	42,492	$	618	$	1,195	$	41,915	$	2

______________


(1)	Corporate fixed maturities include both public and private issues.


(2)	Includes publicly traded agency pass-through securities and collateralized obligations.


(3)	Includes credit-tranched securities collateralized by sub-prime mortgages and other asset types and credit tenant loans.


(4)	Amounts represent OTTI losses in AOCI, which were not included in Net income (loss).

The contractual maturities of AFS fixed maturities at December 31, 2019 are shown in the table below. Bonds not due at a single maturity date have been included in the table in the final year of maturity. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Contractual Maturities of Available-for-Sale Fixed Maturities



	Amortized Cost		Fair Value
	(in millions)
December 31, 2019:
Due in one year or less	$	3,729	$	3,745
Due in years two through five	13,266		13,663
Due in years six through ten	16,527		17,606
Due after ten years	24,254		25,820
Subtotal	57,776		60,834
Residential mortgage-backed securities	161		173
Asset-backed securities	843		844
Redeemable preferred stock	498		511
Total at December 31, 2019	$	59,278	$	62,362

The following table shows proceeds from sales, gross gains (losses) from sales for AFS fixed maturities for the years ended December 31, 2019, 2018 and 2017:

Proceeds and Gains (Losses) on Sales for Available-for-Sale Fixed Maturities



	Years Ended December 31,
	2019			2018			2017
	(in millions)
Proceeds from sales	$	8,702		$	7,136		$	7,232
Gross gains on sales	$	229		$	145		$	98
Gross losses on sales	$	(28	)	$	(103	)	$	211

Total OTTI	$	—		$	(37	)	$	(13	)
Non-credit losses recognized in OCI	—			—			—
Credit losses recognized in net income (loss)	$	—		$	(37	)	$	(13	)

The following table sets forth the amount of credit loss impairments on AFS fixed maturities held by the Company at the dates indicated and the corresponding changes in such amounts:

Available-for-Sale Fixed Maturities - Credit Loss Impairments



	Years Ended December 31,
	2019			2018
	(in millions)
Balance at January 1,	$	(46	)	$	(10	)
Previously recognized impairments on securities that matured, paid, prepaid or sold	31			1
Recognized impairments on securities impaired to fair value this period (1)	—			—
Impairments recognized this period on securities not previously impaired	—			(37		)
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	—			—
Balance at December 31,	$	(15	)	$	(46	)

______________


(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 classified as AFS are included in the consolidated balance sheets as a component of AOCI.

Changes in net unrealized investment gains (losses) recognized in AOCI include reclassification adjustments to reflect amounts realized in Net income (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:

Net Unrealized Gains (Losses) on Available-for-Sale Fixed Maturities



	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, 2019	$	(577	)	$	39		$	(55	)	$	125		$	(468	)
Net investment gains (losses) arising during the period	3,872			—			—			—			3,872
Reclassification adjustment:
Included in Net income (loss)	(211		)	—			—			—			(211		)
Excluded from Net income (loss) (1)	—			—			—			—			—
Impact of net unrealized investment gains (losses) on:
DAC	—			(870		)	—			—			(870		)
Deferred income taxes	—			—			—			(558		)	(558		)
Policyholders’ liabilities	—			—			(137		)	—			(137		)
Net unrealized investment gains (losses) excluding OTTI losses	3,084			(831		)	(192		)	(433		)	1,628
Net unrealized investment gains (losses) with OTTI losses	—			—			—			—			—
Balance, December 31, 2019	$	3,084		$	(831	)	$	(192	)	$	(433	)	$	1,628

Balance, January 1, 2018	$	1,526		$	(315	)	$	(232	)	$	(300	)	$	679
Net investment gains (losses) arising during the period	(2,098		)	—			—			—			(2,098		)
Reclassification adjustment:
Included in Net income (loss)	(5		)	—			—			—			(5		)
Excluded from Net income (loss) (1)	—			—			—			—			—
Impact of net unrealized investment gains (losses) on:
DAC	—			354			—			—			354
Deferred income taxes (2)	—			—			—			425			425
Policyholders’ liabilities	—			—			177			—			177
Net unrealized investment gains (losses) excluding OTTI losses	(577		)	39			(55		)	125			(468		)
Net unrealized investment gains (losses) with OTTI losses	—			—			—			—			—
Balance, December 31, 2018	$	(577	)	$	39		$	(55	)	$	125		$	(468	)

______________


(1)	Represents “transfers out” related to the portion of OTTI losses during the period that were not recognized in Net income (loss) for securities with no prior OTTI loss.


(2)	Includes a $86 million income tax benefit from the impact of adoption of ASU 2018-02.

The following tables disclose the fair values and gross unrealized losses of the 390 securities at December 31, 2019 and the 1,471 securities at December 31, 2018 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:

Continuous Gross Unrealized Losses for Available-for-Sale Fixed Maturities



	Less Than 12 Months				12 Months or Longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in millions)
December 31, 2019:
Fixed Maturities:
Corporate	$	2,669	$	41	$	366	$	20	$	3,035	$	61
U.S. Treasury, government and agency	4,245		305		2		—		4,247		305
States and political subdivisions	123		3		—		—		123		3
Foreign governments	11		—		47		5		58		5
Asset-backed	319		—		201		2		520		2
Redeemable preferred stock	29		—		49		5		78		5
Total	$	7,396	$	349	$	665	$	32	$	8,061	$	381

December 31, 2018:
Fixed Maturities:
Corporate	$	8,369	$	306	$	6,161	$	393	$	14,530	$	699
U.S. Treasury, government and agency	2,636		68		3,154		386		5,790		454
States and political subdivisions	—		—		19		1		19		1
Foreign governments	109		3		76		10		185		13
Residential mortgage-backed	—		—		13		—		13		—
Asset-backed	558		11		6		—		564		11
Redeemable preferred stock	160		12		31		5		191		17
Total	$	11,832	$	400	$	9,460	$	795	$	21,292	$	1,195

The Company’s investments in fixed maturities do not include concentrations of credit risk of any single issuer greater than 10% of the consolidated equity of the Company, 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 0.6% of total corporate securities. The largest exposures to a single issuer of corporate securities held at December 31, 2019 and 2018 were $279 million and $210 million, respectively, representing 2.4% and 1.7% of the consolidated equity of the Company.

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 National Association of Insurance Commissioners (“NAIC”) designation of 3 (medium investment grade), 4 or 5 (below investment grade) or 6 (in or near default). At December 31, 2019 and 2018, respectively, approximately $1.4 billion and $1.2 billion, or 2.3% and 2.9%, of the $59.3 billion and $42.5 billion aggregate amortized cost of fixed maturities held by the Company were considered to be other than investment grade. These securities had gross unrealized losses of $21 million and $30 million at December 31, 2019 and 2018, respectively.

At December 31, 2019 and 2018, respectively, the $32 million and $795 million of gross unrealized losses of twelve months or more were concentrated in corporate and U.S. Treasury, government and agency securities. In accordance with the policy described in Note 2, the Company concluded that an adjustment to income for OTTI for these securities was not warranted at either December 31, 2019 or 2018. At December 31, 2019, 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 December 31, 2019 and 2018, respectively, the fair value of the Company’s trading account securities was $6.6 billion and $15.2 billion. At December 31, 2019 and 2018, respectively, trading account securities included the General Account’s investment in Separate Accounts, which had carrying values of $58 million and $48 million.

Mortgage Loans

The payment terms of mortgage loans may from time to time be restructured or modified.

At December 31, 2019 and 2018, the carrying values of problem commercial mortgage loans on real estate that had been classified as non-accrual loans were $0 million and $19 million, respectively.

Allowances for credit losses for commercial mortgage loans were $0 million and $7 million for the years ended December 31, 2019 and 2018, respectively. There were no allowances for credit losses for agricultural mortgage loans in 2019 and 2018.

The following tables provide information relating to the loan-to-value and debt service coverage ratios for commercial and agricultural mortgage loans at December 31, 2019 and 2018. 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



	Debt Service Coverage Ratio (1)
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)
December 31, 2019:
Commercial Mortgage Loans:
0% - 50%	$	887	$	38	$	214	$	24	$	—	$	—	$	1,163
50% - 70%	4,097		1,195		1,118		795		242		—		7,447
70% - 90%	251		98		214		154		46		—		763
90% plus	—		—		—		—		—		—		—
Total Commercial Mortgage Loans	$	5,235	$	1,331	$	1,546	$	973	$	288	$	—	$	9,373
Agricultural Mortgage Loans:
0% - 50%	$	322	$	104	$	241	$	545	$	321	$	50	$	1,583
50% - 70%	82		87		236		426		251		33		1,115
70% - 90%	—		—		—		19		—		—		19
90% plus	—		—		—		—		—		—		—
Total Agricultural Mortgage Loans	$	404	$	191	$	477	$	990	$	572	$	83	$	2,717
Total Mortgage Loans:
0% - 50%	$	1,209	$	142	$	455	$	569	$	321	$	50	$	2,746
50% - 70%	4,179		1,282		1,354		1,221		493		33		8,562
70% - 90%	251		98		214		173		46		—		782
90% plus	—		—		—		—		—		—		—
Total Mortgage Loans	$	5,639	$	1,522	$	2,023	$	1,963	$	860	$	83	$	12,090

December 31, 2018:
Commercial Mortgage Loans:
0% - 50%	$	780	$	21	$	247	$	24	$	—	$	—	$	1,072
50% - 70%	4,908		656		1,146		325		151		—		7,186
70% - 90%	260		—		117		370		98		—		845
90% plus	—		—		—		27		—		—		27
Total Commercial Mortgage Loans	$	5,948	$	677	$	1,510	$	746	$	249	$	—	$	9,130



	Debt Service Coverage Ratio (1)
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)
Agricultural Mortgage Loans:
0% - 50%	$	282	$	147	$	267	$	543	$	321	$	51	$	1,611
50% - 70%	112		46		246		379		224		31		1,038
70% - 90%	—		—		—		19		27		—		46
90% plus	—		—		—		—		—		—		—
Total Agricultural Mortgage Loans	$	394	$	193	$	513	$	941	$	572	$	82	$	2,695
Total Mortgage Loans:
0% - 50%	$	1,062	$	168	$	514	$	567	$	321	$	51	$	2,683
50% - 70%	5,020		702		1,392		704		375		31		8,224
70% - 90%	260		—		117		389		125		—		891
90% plus	—		—		—		27		—		—		27
Total Mortgage Loans	$	6,342	$	870	$	2,023	$	1,687	$	821	$	82	$	11,825

______________


(1)	The debt service coverage ratio is calculated using the most recently reported 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 value of the property. The fair 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 December 31, 2019 and 2018, respectively:

Age Analysis of Past Due Mortgage Loans



	30-59 Days		60-89 Days		90 Days or More		Total		Current		Total Financing Receivables		Recorded Investment 90 Days or More and Accruing
	(in millions)
December 31, 2019:
Commercial	$	—	$	—	$	—	$	—	$	9,373	$	9,373	$	—
Agricultural	57		1		66		124		2,593		2,717		66
Total Mortgage Loans	$	57	$	1	$	66	$	124	$	11,966	$	12,090	$	66

December 31, 2018:
Commercial	$	—	$	—	$	27	$	27	$	9,103	$	9,130	$	—
Agricultural	18		8		42		68		2,627		2,695		40
Total Mortgage Loans	$	18	$	8	$	69	$	95	$	11,730	$	11,825	$	40

Net Investment Income (Loss)

The following table breaks out Net investment income (loss) by asset category:



	Years Ended December 31
	2019			2018			2017
	(in millions)
Fixed maturities	$	1,902		$	1,540		$	1,365
Mortgage loans on real estate	540			494			453
Real estate held for the production of income	(2		)	(6		)	2
Other equity investments	74			123			169
Policy loans	198			201			205
Trading securities	712			128			258
Other investment income	18			69			54
Gross investment income (loss)	3,442			2,549			2,506
Investment expenses	(144		)	(71		)	(65		)
Net investment income (loss)	$	3,298		$	2,478		$	2,441

Net unrealized and realized gains (losses) on trading account equity securities are included in Net investment income (loss) in the Consolidated Statements of Income (Loss). The table below shows a breakdown of Net investment income (loss) from trading account securities during the years ended December 31, 2019, 2018 and 2017:

Net Investment Income (Loss) from Trading Securities



	Years Ended December 31,
	2019		2018			2017
	(in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period	$	422	$	(174	)	$	63
Net investment gains (losses) recognized on securities sold during the period	7		(24		)	(19		)
Unrealized and realized gains (losses) on trading securities	429		(198		)	44
Interest and dividend income from trading securities	283		326			214
Net investment income (loss) from trading securities	$	712	$	128		$	258

Investment Gains (Losses), Net

Investment gains (losses), net including changes in the valuation allowances and OTTI are as follows:



	Years Ended December 31,
	2019			2018			2017
	(in millions)
Fixed maturities	$	203		$	6		$	(130	)
Mortgage loans on real estate	(1		)	—			2
Real estate held for the production of income	3			—			—
Other equity investments	—			—			3
Other	1			(2		)	—
Investment gains (losses), net	$	206		$	4		$	(125	)

For the years ended December 31, 2019, 2018 and 2017, respectively, investment results passed through to certain participating group annuity contracts as Interest credited to policyholders’ account balances totaled $2 million, $3 million and $3 million.