Investments (Tables)

3 Months Ended

Mar. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Fixed Maturity Securities by Sector

Fixed maturity securities by sector were as follows at:

	March 31, 2020										December 31, 2019
	Amortized Cost		Allowance for Credit Losses		Gross Unrealized				Estimated Fair Value		Amortized Cost		Allowance for Credit Losses		Gross Unrealized				Estimated Fair Value
					Gains		Losses								Gains		Losses
	(In millions)
U.S. corporate	$	28,604	$	8	$	2,319	$	791	$	30,124	$	27,841	$	—	$	2,815	$	65	$	30,591
Foreign corporate	9,180		1		350		428		9,101		9,017		—		736		67		9,686
RMBS	8,319		—		545		51		8,813		8,600		—		440		10		9,030
U.S. government and agency	5,530		—		3,214		—		8,744		5,396		—		1,848		—		7,244
CMBS	5,533		—		224		79		5,678		5,460		—		263		9		5,714
State and political subdivision	3,344		—		733		4		4,073		3,326		—		687		2		4,011
ABS	2,165		—		13		156		2,022		1,940		—		21		11		1,950
Foreign government	1,507		1		182		41		1,647		1,503		—		250		2		1,751
Total fixed maturity securities	$	64,182	$	10	$	7,580	$	1,550	$	70,202	$	63,083	$	—	$	7,060	$	166	$	69,977

Maturities of Fixed Maturity Securities

The amortized cost and estimated fair value of fixed maturity securities, by contractual maturity date, were as follows at March 31, 2020:

	Due in One Year or Less		Due After One Year Through Five Years		Due After Five Years Through Ten Years		Due After Ten Years		Structured Securities (1)		Total Fixed Maturity Securities
	(In millions)
Amortized cost	$	1,896	$	7,024	$	12,782	$	26,463	$	16,017	$	64,182
Estimated fair value	$	1,886	$	6,981	$	12,923	$	31,899	$	16,513	$	70,202

_______________

(1)

Structured securities include residential mortgage-backed securities (“RMBS”), commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”) (collectively, “Structured Securities”).

Continuous Gross Unrealized Losses for Fixed Maturity Securities by Sector

The estimated fair value and gross unrealized losses of fixed maturity securities in an unrealized loss position, by sector and by length of time that the securities have been in a continuous unrealized loss position, were as follows at:

	March 31, 2020								December 31, 2019
	Less than 12 Months				12 Months or Greater				Less than 12 Months				12 Months or Greater
	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
	(Dollars in millions)
U.S. corporate	$	8,459	$	736	$	272	$	55	$	1,931	$	43	$	320	$	22
Foreign corporate	3,726		316		503		112		577		12		510		55
RMBS	977		49		19		2		802		6		346		4
U.S. government and agency	73		—		—		—		14		—		—		—
CMBS	1,531		76		143		3		552		7		171		2
State and political subdivision	94		4		—		—		120		2		8		—
ABS	1,192		92		522		64		358		2		676		9
Foreign government	493		40		4		1		65		2		—		—
Total fixed maturity securities	$	16,545	$	1,313	$	1,463	$	237	$	4,419	$	74	$	2,031	$	92
Total number of securities in an unrealized loss position	2,843				272				686				297

Rollforward of the Allowance for Credit Losses for Fixed Maturity Securities by Sector

The changes in the allowance for credit losses by sector were as follows:

	U.S. Corporate			Foreign Corporate			Foreign Government		Total
	(In millions)
Balance at January 1, 2020	$	3		$	1		$	—	$	4
Allowance on securities where credit losses were not previously recorded	8			—			1		9
Allowance on securities that had an allowance recorded in a previous period	—			1			—		1
Write-offs charged against allowance (1)	(3		)	(1		)	—		(4		)
Balance at March 31, 2020	$	8		$	1		$	1	$	10

_______________

(1)

The Company recorded total write-offs of $12 million during the three months ended March 31, 2020.

Mortgage Loans by Portfolio Segment

Mortgage loans are summarized as follows at:

	March 31, 2020					December 31, 2019
	Carrying Value			% of Total		Carrying Value			% of Total
	(Dollars in millions)
Commercial	$	9,484		61.4	%	$	9,694		61.9	%
Agricultural	3,340			21.6		3,326			21.2
Residential	2,701			17.4		2,708			17.3
Total mortgage loans (1)	15,525			100.4		15,728			100.4
Allowance for credit losses	(68		)	(0.4	)	(64		)	(0.4	)
Total mortgage loans, net	$	15,457		100.0	%	$	15,664		100.0	%

_______________

(1)

Purchases of mortgage loans from third parties were $157 million and $477 million for the three months ended March 31, 2020 and 2019, respectively, and were primarily comprised of residential mortgage loans.

Rollforward of the Allowance for Credit Losses for Mortgage Loans by Portfolio Segment

The changes in the allowance for credit losses by portfolio segment were as follows:

	Commercial			Agricultural		Residential		Total
	(In millions)
Balance at December 31, 2019	$	47		$	10	$	7	$	64
Cumulative effect of change in accounting principle	(20		)	6		14		—
Balance at January 1, 2020	27			16		21		64
Current period provision	—			1		3		4
Balance at March 31, 2020	$	27		$	17	$	24	$	68

Credit Quality of Mortgage Loans by Portfolio Segment

	March 31, 2020				December 31, 2019
	Amortized Cost		% of Total		Amortized Cost		% of Total
	(Dollars in millions)
Debt-Service Coverage Ratios:
Greater than 1.20x	$	9,114	96.1	%	$	9,230	95.2	%
1.00x - 1.20x	298		3.1		298		3.1
Less than 1.00x	72		0.8		166		1.7
Total	$	9,484	100.0	%	$	9,694	100.0	%

	2020		2019		2018		2017		2016		Prior		Total
	(In millions)
March 31, 2020
Commercial mortgage loans
Loan-to-value ratios:
Less than 65%	$	—	$	1,829	$	1,409	$	716	$	1,123	$	3,425	$	8,502
65% to 75%	—		161		200		195		100		143		799
76% to 80%	—		—		—		12		30		141		183
Total commercial mortgage loans	—		1,990		1,609		923		1,253		3,709		9,484
Agricultural mortgage loans
Loan-to-value ratios:
Less than 65%	63		563		815		424		454		803		3,122
65% to 75%	2		86		15		61		36		7		207
Greater than 80%	—		—		11		—		—		—		11
Total agricultural mortgage loans	65		649		841		485		490		810		3,340
Residential mortgage loans
Performing	50		476		637		144		45		1,309		2,661
Nonperforming	—		—		1		—		1		38		40
Total residential mortgage loans	50		476		638		144		46		1,347		2,701
Total	$	115	$	3,115	$	3,088	$	1,552	$	1,789	$	5,866	$	15,525

Past Due Mortgage Loans by Portfolio Segment

The aging of the amortized cost of past due mortgage loans by portfolio segment was as follows at:

	March 31, 2020
	Commercial		Agricultural		Residential		Total
	(In millions)
Current	$	9,484	$	3,311	$	2,659	$	15,454
30-59 days past due	—		5		2		7
60-89 days past due	—		3		13		16
90-179 days past due	—		—		13		13
180+ days past due	—		21		14		35
Total	$	9,484	$	3,340	$	2,701	$	15,525

Mortgage Loans in Nonaccrual Status by Portfolio Segment

Mortgage loans in a nonaccrual status by portfolio segment were as follows at:

	Commercial (2)		Agricultural (2)		Residential (2)		Total (2)
	(In millions)
Amortized cost at December 31, 2019	$	—	$	21	$	37	$	58
Amortized cost at March 31, 2020 (1)	$	—	$	1	$	40	$	41

_______________

(1) All mortgage loans in nonaccrual status had a related allowance for credit losses.

(2)

The Company had $20 million of agricultural mortgage loans that were 90 days or more past due but were not in a nonaccrual status for the three months ended March 31, 2020.

Net Unrealized Investment Gains (Losses)

The components of net unrealized investment gains (losses), included in AOCI, were as follows at:

	March 31, 2020			December 31, 2019
	(In millions)
Fixed maturity securities	$	6,030		$	6,894
Derivatives	783			232
Other	(21		)	(15		)
Subtotal	6,792			7,111
Amounts allocated from:
Future policy benefits	(3,425		)	(2,691		)
DAC, VOBA and DSI	(247		)	(332		)
Subtotal	(3,672		)	(3,023		)
Deferred income tax benefit (expense)	(655		)	(859		)
Net unrealized investment gains (losses)	$	2,465		$	3,229

The changes in net unrealized investment gains (losses) were as follows:

	Three Months Ended   March 31, 2020
	(In millions)
Balance at December 31, 2019	$	3,229
Unrealized investment gains (losses) during the period	(319		)
Unrealized investment gains (losses) relating to:
Future policy benefits	(734		)
DAC, VOBA and DSI	85
Deferred income tax benefit (expense)	204
Balance at March 31, 2020	$	2,465
Change in net unrealized investment gains (losses)	$	(764	)

Securities Lending

Elements of the securities lending program are presented below at:

	March 31, 2020		December 31, 2019
	(In millions)
Securities on loan: (1)
Amortized cost	$	1,961	$	2,031
Estimated fair value	$	3,468	$	2,996
Cash collateral received from counterparties (2)	$	3,584	$	3,074
Reinvestment portfolio — estimated fair value	$	3,642	$	3,174

_______________

(1) Included within fixed maturity securities.

(2) Included within payables for collateral under securities loaned and other transactions.

The cash collateral liability by loaned security type and remaining tenor of the agreements were as follows at:

	March 31, 2020								December 31, 2019
	Remaining Tenor of Securities Lending Agreements								Remaining Tenor of Securities Lending Agreements
	Open (1)		1 Month or Less		1 to 6 Months		Total		Open (1)		1 Month or Less		1 to 6 Months		Total
	(In millions)
U.S. government and agency	$	1,197	$	1,511	$	876	$	3,584	$	1,279	$	1,094	$	701	$	3,074

_______________

(1)

The related loaned security could be returned to the Company on the next business day which would require the Company to immediately return the cash collateral.

Invested Assets on Deposit, Held in Trust and Pledged as Collateral

Invested assets on deposit, held in trust and pledged as collateral at estimated fair value were as follows at:

	March 31, 2020		December 31, 2019
	(In millions)
Invested assets on deposit (regulatory deposits) (1)	$	9,386	$	9,345
Invested assets held in trust (reinsurance agreements) (2)	5,052		4,561
Invested assets pledged as collateral (3)	3,277		3,640
Total invested assets on deposit, held in trust and pledged as collateral	$	17,715	$	17,546

_______________

(1) The Company has assets, primarily fixed maturity securities, on deposit with governmental authorities relating to certain policyholder liabilities, of which $70 million and $69 million of the assets on deposit represents restricted cash and cash equivalents at March 31, 2020 and December 31, 2019, respectively.

(2) The Company has assets, primarily fixed maturity securities, held in trust relating to certain reinsurance transactions, of which $77 million and $124 million of the assets held in trust balance represents restricted cash and cash equivalents at March 31, 2020 and December 31, 2019, respectively.

(3)

The Company has pledged invested assets in connection with various agreements and transactions, including funding agreements (see Note 4 of the Notes to the Consolidated Financial Statements included in the 2019 Annual Report) and derivative transactions (see Note 5).

Variable Interest Entities

The carrying amount and maximum exposure to loss related to the VIEs for which the Company has concluded that it holds a variable interest, but is not the primary beneficiary, were as follows at:

	March 31, 2020				December 31, 2019
	Carrying Amount		Maximum Exposure to Loss		Carrying Amount		Maximum Exposure to Loss
	(In millions)
Fixed maturity securities	$	12,537	$	12,092	$	12,959	$	12,317
Limited partnerships and LLCs	2,007		3,222		1,892		3,065
Total	$	14,544	$	15,314	$	14,851	$	15,382

Components of Net Investment Income

The components of net investment income were as follows:

	Three Months Ended   March 31,
	2020		2019
	(In millions)
Investment income:
Fixed maturity securities	$	658	$	642
Equity securities	2		3
Mortgage loans	166		158
Policy loans	6		10
Limited partnerships and LLCs (1)	82		8
Cash, cash equivalents and short-term investments	20		10
Other	13		11
Total investment income	947		842
Less: Investment expenses	51		54
Net investment income	$	896	$	788

_______________

(1)

Includes net investment income pertaining to other limited partnership interests of $73 million and $0 for the three months ended March 31, 2020 and 2019, respectively.

Components of Net Investment Gains (Losses)

The components of net investment gains (losses) were as follows:

	Three Months Ended   March 31,
	2020			2019
	(In millions)
Fixed maturity securities	$	(6	)	$	(15	)
Equity securities	(14		)	10
Mortgage loans	(4		)	(4		)
Limited partnerships and LLCs	(1		)	(2		)
Other	6			1
Total net investment gains (losses)	$	(19	)	$	(10	)

Sales or Disposals of Fixed Maturity Securities

Proceeds from sales or disposals of fixed maturity securities and the components of fixed maturity securities net investment gains (losses) were as follows:

	Three Months Ended   March 31,
	2020			2019
	(In millions)
Proceeds	$	647		$	3,220
Gross investment gains	$	17		$	64
Gross investment losses	(6		)	(79		)
Net investment gains (losses)	$	11		$	(15	)