XML 48 R27.htm IDEA: XBRL DOCUMENT v3.20.2
Investments (Tables)
 9 Months Ended
Sep. 30, 2020
Investments [Abstract]  
Portfolio composition
Portfolio composition
 
 
 
($ in millions)
 
September 30, 2020
 
December 31, 2019
Fixed income securities, at fair value
 
$
66,551

 
$
59,044

Equity securities, at fair value
 
4,395

 
8,162

Mortgage loans, net
 
4,655

 
4,817

Limited partnership interests
 
7,232

 
8,078

Short-term investments, at fair value
 
4,559

 
4,256

Other, net
 
3,805

 
4,005

Total
 
$
91,197

 
$
88,362
Schedule for fixed income securities at amortized cost, gross unrealized gains and losses and fair value
Amortized cost, gross unrealized gains (losses) and fair value for fixed income securities
($ in millions)
 
Amortized cost, net
 
Gross unrealized
 
Fair
value
 
 
Gains
 
Losses
 
September 30, 2020
 
 

 
 

 
 

 
 

U.S. government and agencies
 
$
2,737

 
$
114

 
$
(1
)
 
$
2,850

Municipal
 
8,948

 
769

 
(8
)
 
9,709

Corporate
 
48,317

 
3,554

 
(194
)
 
51,677

Foreign government
 
972

 
45

 
—

 
1,017

ABS
 
1,211

 
9

 
(14
)
 
1,206

MBS
 
82

 
10

 
—

 
92

Total fixed income securities
 
$
62,267

 
$
4,501

 
$
(217
)
 
$
66,551

 
 
 
 
 
 
 
 
 
December 31, 2019
 
 

 
 

 
 

 
 

U.S. government and agencies
 
$
4,971

 
$
141

 
$
(26
)
 
$
5,086

Municipal
 
8,080

 
551

 
(11
)
 
8,620

Corporate
 
41,090

 
2,035

 
(47
)
 
43,078

Foreign government
 
968

 
16

 
(5
)
 
979

ABS
 
860

 
8

 
(6
)
 
862

MBS
 
324

 
96

 
(1
)
 
419

Total fixed income securities
 
$
56,293

 
$
2,847

 
$
(96
)
 
$
59,044
Schedule for fixed income securities based on contractual maturities
Scheduled maturities for fixed income securities
($ in millions)
 
September 30, 2020
 
Amortized cost, net
 
Fair value
Due in one year or less
 
$
3,288

 
$
3,333

Due after one year through five years
 
25,165

 
26,373

Due after five years through ten years
 
21,960

 
23,717

Due after ten years
 
10,561

 
11,830

 
 
60,974

 
65,253

ABS and MBS
 
1,293

 
1,298

Total
 
$
62,267

 
$
66,551
Schedule of net investment income
Net investment income
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2020
 
2019
 
2020
 
2019
Fixed income securities
 
$
541

 
$
546

 
$
1,597

 
$
1,627

Equity securities
 
24

 
57

 
61

 
155

Mortgage loans
 
54

 
54

 
165

 
161

Limited partnership interests
 
200

 
197

 
(212
)
 
460

Short-term investments
 
2

 
28

 
21

 
80

Other
 
59

 
66

 
184

 
196

Investment income, before expense
 
880

 
948

 
1,816

 
2,679

Investment expense
 
(48
)
 
(68
)
 
(154
)
 
(209
)
Net investment income 
 
$
832

 
$
880

 
$
1,662

 
$
2,470

Realized capital gains (losses) by asset type
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2020
 
2019
 
2020
 
2019
Fixed income securities
 
$
236

 
$
147

 
$
798

 
$
290

Equity securities
 
202

 
40

 
(68
)
 
771

Mortgage loans
 
1

 
—

 
(40
)
 
—

Limited partnership interests
 
30

 
(18
)
 
(53
)
 
75

Derivatives
 
(34
)
 
40

 
72

 
16

Other
 
5

 
(12
)
 
(27
)
 
31

Realized capital gains (losses)
 
$
440

 
$
197

 
$
682

 
$
1,183
Schedule of realized capital gains and losses by asset type
Realized capital gains (losses) by asset type
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2020
 
2019
 
2020
 
2019
Fixed income securities
 
$
236

 
$
147

 
$
798

 
$
290

Equity securities
 
202

 
40

 
(68
)
 
771

Mortgage loans
 
1

 
—

 
(40
)
 
—

Limited partnership interests
 
30

 
(18
)
 
(53
)
 
75

Derivatives
 
(34
)
 
40

 
72

 
16

Other
 
5

 
(12
)
 
(27
)
 
31

Realized capital gains (losses)
 
$
440

 
$
197

 
$
682

 
$
1,183


Realized capital gains (losses) by transaction type
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2020
 
2019
 
2020
 
2019
Sales
 
$
233

 
$
147

 
$
800

 
$
359

Credit losses (1)
 
10

 
(14
)
 
(79
)
 
(43
)
Valuation of equity investments (2)
 
231

 
24

 
(111
)
 
851

Valuation and settlements of derivative instruments
 
(34
)
 
40

 
72

 
16

Realized capital gains (losses)
 
$
440

 
$
197

 
$
682

 
$
1,183
Schedule of realized capital gains and losses by transaction type
Realized capital gains (losses) by transaction type
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2020
 
2019
 
2020
 
2019
Sales
 
$
233

 
$
147

 
$
800

 
$
359

Credit losses (1)
 
10

 
(14
)
 
(79
)
 
(43
)
Valuation of equity investments (2)
 
231

 
24

 
(111
)
 
851

Valuation and settlements of derivative instruments
 
(34
)
 
40

 
72

 
16

Realized capital gains (losses)
 
$
440

 
$
197

 
$
682

 
$
1,183


(1) 
Due to the adoption of the measurement of credit losses on financial instruments accounting standard, prior period other-than-temporary impairment write-downs are now presented as credit losses.
(2) 
Includes valuation of equity securities and certain limited partnership interests where the underlying assets are predominately public equity securities.
Gross realized gains (losses) on sales of fixed income securities
Gross realized gains (losses) on sales of fixed income securities
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2020
 
2019
 
2020
 
2019
Gross realized gains
 
$
251

 
$
168

 
$
1,011

 
$
409

Gross realized losses
 
(13
)
 
(20
)
 
(203
)
 
(107
)
Valuation changes included in net income for investments
The following table presents the net pre-tax appreciation (decline) recognized in net income of equity securities and limited partnership interests carried at fair value that are still held as of September 30, 2020 and 2019, respectively.
Net appreciation (decline) recognized in net income
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2020
 
2019
 
2020
 
2019
Equity securities
 
$
184

 
$
107

 
$
116

 
$
736

Limited partnership interests carried at fair value 
 
128

 
49

 
20

 
109

Total
 
$
312

 
$
156

 
$
136

 
$
845


Credit losses recognized in net income (1)
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2020
 
2019
 
2020
 
2019
Assets
 
 
 
 
 
 
 
 
Fixed income securities:
 
 

 
 

 
 

 
 

Municipal
 
$
—

 
$
—

 
$
(3
)
 
$
—

Corporate
 
(1
)
 
—

 
(2
)
 
(7
)
ABS
 
—

 
—

 
(2
)
 
(3
)
MBS
 
(1
)
 
(1
)
 
(3
)
 
(2
)
Total fixed income securities
 
(2
)
 
(1
)
 
(10
)
 
(12
)
Mortgage loans
 
1

 
—

 
(40
)
 
—

Limited partnership interests
 
—

 
(1
)
 
(10
)
 
(4
)
Other investments
 
 
 
 
 
 
 
 
Bank loans
 
10

 
(11
)
 
(20
)
 
(26
)
Agent loans
 
—

 
(1
)
 
—

 
(1
)
Total credit losses by asset type
 
$
9

 
$
(14
)
 
$
(80
)
 
$
(43
)
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
Commitments to fund commercial mortgage loans, bank loans and agent loans
 
1

 
—

 
1

 
—

Total
 
$
10

 
$
(14
)
 
$
(79
)
 
$
(43
)
Schedule of credit losses on fixed income securities recognized in earnings
Credit losses recognized in net income (1)
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2020
 
2019
 
2020
 
2019
Assets
 
 
 
 
 
 
 
 
Fixed income securities:
 
 

 
 

 
 

 
 

Municipal
 
$
—

 
$
—

 
$
(3
)
 
$
—

Corporate
 
(1
)
 
—

 
(2
)
 
(7
)
ABS
 
—

 
—

 
(2
)
 
(3
)
MBS
 
(1
)
 
(1
)
 
(3
)
 
(2
)
Total fixed income securities
 
(2
)
 
(1
)
 
(10
)
 
(12
)
Mortgage loans
 
1

 
—

 
(40
)
 
—

Limited partnership interests
 
—

 
(1
)
 
(10
)
 
(4
)
Other investments
 
 
 
 
 
 
 
 
Bank loans
 
10

 
(11
)
 
(20
)
 
(26
)
Agent loans
 
—

 
(1
)
 
—

 
(1
)
Total credit losses by asset type
 
$
9

 
$
(14
)
 
$
(80
)
 
$
(43
)
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
Commitments to fund commercial mortgage loans, bank loans and agent loans
 
1

 
—

 
1

 
—

Total
 
$
10

 
$
(14
)
 
$
(79
)
 
$
(43
)

(1) 
Due to the adoption of the measurement of credit losses on financial instruments accounting standard, realized capital losses previously reported as other-than-temporary impairment write-downs are now presented as credit losses.
Schedule of unrealized net capital gains and losses
Unrealized net capital gains and losses included in AOCI
($ in millions)
 
Fair
value
 
Gross unrealized
 
Unrealized net
gains (losses)
September 30, 2020
 
 
Gains
 
Losses
 
Fixed income securities
 
$
66,551

 
$
4,501

 
$
(217
)
 
$
4,284

Short-term investments
 
4,559

 
—

 
—

 
—

Derivative instruments
 
—

 
—

 
(3
)
 
(3
)
Equity method of accounting (“EMA”) limited partnerships (1)
 
 

 
 

 
 

 
(4
)
Unrealized net capital gains and losses, pre-tax
 
 

 
 

 
 

 
4,277

Amounts recognized for:
 
 

 
 

 
 

 
 

Insurance reserves (2)
 
 

 
 

 
 

 
(469
)
DAC and DSI (3)
 
 

 
 

 
 

 
(326
)
Amounts recognized
 
 

 
 

 
 

 
(795
)
Deferred income taxes
 
 

 
 

 
 

 
(738
)
Unrealized net capital gains and losses, after-tax
 
 

 
 

 
 

 
$
2,744

 
 
 
 
 
 
 
 
 
December 31, 2019
 
 
 
 
 
 
 
 
Fixed income securities
 
$
59,044

 
$
2,847

 
$
(96
)
 
$
2,751

Short-term investments
 
4,256

 
—

 
—

 
—

Derivative instruments
 
—

 
—

 
(3
)
 
(3
)
EMA limited partnerships
 
 

 
 

 
 

 
(4
)
Unrealized net capital gains and losses, pre-tax
 
 

 
 

 
 

 
2,744

Amounts recognized for:
 
 

 
 

 
 

 
 

Insurance reserves
 
 

 
 

 
 

 
(126
)
DAC and DSI
 
 

 
 

 
 

 
(224
)
Amounts recognized
 
 

 
 

 
 

 
(350
)
Deferred income taxes
 
 

 
 

 
 

 
(507
)
Unrealized net capital gains and losses, after-tax
 
 

 
 

 
 

 
$
1,887


(1) 
Unrealized net capital gains and losses for limited partnership interests represent the Company’s share of EMA limited partnerships’ OCI. Fair value and gross unrealized gains and losses are not applicable.
(2) 
The insurance reserves adjustment represents the amount by which the reserve balance would increase if the net unrealized gains in the applicable product portfolios were realized and reinvested at lower interest rates, resulting in a premium deficiency. This adjustment primarily relates to structured settlement annuities with life contingencies (a type of immediate fixed annuity).
(3) 
The DAC and DSI adjustment balance represents the amount by which the amortization of DAC and DSI would increase or decrease if the unrealized gains or losses in the respective product portfolios were realized.
Schedule of change in unrealized net capital gains and losses
Change in unrealized net capital gains (losses)
($ in millions)
 
Nine months ended September 30, 2020
Fixed income securities
 
$
1,533

Short-term investments
 
—

Derivative instruments
 
—

EMA limited partnerships
 
—

Total
 
1,533

Amounts recognized for:
 
 

Insurance reserves
 
(343
)
DAC and DSI
 
(102
)
Amounts recognized
 
(445
)
Deferred income taxes
 
(231
)
Increase in unrealized net capital gains and losses, after-tax
 
$
857
Carrying value for limited partnership interests
Carrying value for limited partnership interests
($ in millions)
 
September 30, 2020
 
December 31, 2019
 
EMA
 
Fair Value
 
Total
 
EMA
 
Fair Value
 
Total
Private equity
 
$
4,180

 
$
1,648

 
$
5,828

 
$
4,463

 
$
1,668

 
$
6,131

Real estate
 
997

 
120

 
1,117

 
899

 
142

 
1,041

Other (1)
 
287

 
—

 
287

 
902

 
4

 
906

Total
 
$
5,464

 
$
1,768

 
$
7,232

 
$
6,264

 
$
1,814

 
$
8,078

(1) 
Other consists of certain limited partnership interests where the underlying assets are predominately public equity securities.
Schedule of other investments by type
Other investments by asset type
($ in millions)
 
September 30, 2020
 
December 31, 2019
Bank loans, net
 
$
1,040

 
$
1,204

Real estate
 
1,027

 
1,005

Policy loans
 
856

 
894

Agent loans, net
 
643

 
666

Derivatives and other
 
239

 
236

Total
 
$
3,805

 
$
4,005
Schedule of gross unrealized losses and fair value of available for sale securities by length of time
Gross unrealized losses and fair value by type and length of time held in a continuous unrealized loss position
($ in millions)
 
Less than 12 months
 
12 months or more
 
Total
unrealized
losses
 
Number
of 
issues
 
Fair
value
 
Unrealized
losses
 
Number
of 
issues
 
Fair
value
 
Unrealized
losses
 
September 30, 2020
 
 

 
 

 
 

 
 

 
 

 
 

 
 

Fixed income securities
 
 

 
 

 
 

 
 

 
 

 
 

 
 

U.S. government and agencies
 
17

 
$
350

 
$
(1
)
 
—

 
$
—

 
$
—

 
$
(1
)
Municipal
 
246

 
511

 
(8
)
 
—

 
—

 
—

 
(8
)
Corporate
 
428

 
3,969

 
(155
)
 
33

 
200

 
(39
)
 
(194
)
Foreign government
 
7

 
14

 
—

 
—

 
—

 
—

 
—

ABS
 
36

 
392

 
(7
)
 
17

 
67

 
(7
)
 
(14
)
MBS
 
12

 
1

 
—

 
80

 
—

 
—

 
—

Total fixed income securities
 
746

 
$
5,237

 
$
(171
)
 
130

 
$
267

 
$
(46
)
 
$
(217
)
Investment grade fixed income securities
 
508

 
$
3,485

 
$
(63
)
 
99

 
$
119

 
$
(20
)
 
$
(83
)
Below investment grade fixed income securities
 
238

 
1,752

 
(108
)
 
31

 
148

 
(26
)
 
(134
)
Total fixed income securities
 
746

 
$
5,237

 
$
(171
)
 
130

 
$
267

 
$
(46
)
 
$
(217
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
 

 
 

 
 

 
 

 
 

 
 

 
 

Fixed income securities
 
 

 
 

 
 

 
 

 
 

 
 

 
 

U.S. government and agencies
 
31

 
$
1,713

 
$
(26
)
 
10

 
$
26

 
$
—

 
$
(26
)
Municipal
 
307

 
576

 
(9
)
 
1

 
14

 
(2
)
 
(11
)
Corporate
 
186

 
1,392

 
(20
)
 
65

 
485

 
(27
)
 
(47
)
Foreign government
 
55

 
412

 
(4
)
 
6

 
102

 
(1
)
 
(5
)
ABS
 
36

 
193

 
(2
)
 
23

 
160

 
(4
)
 
(6
)
MBS
 
27

 
15

 
—

 
123

 
14

 
(1
)
 
(1
)
Total fixed income securities
 
642

 
$
4,301

 
$
(61
)
 
228

 
$
801

 
$
(35
)
 
$
(96
)
Investment grade fixed income securities
 
581

 
$
3,878

 
$
(41
)
 
185

 
$
594

 
$
(20
)
 
$
(61
)
Below investment grade fixed income securities
 
61

 
423

 
(20
)
 
43

 
207

 
(15
)
 
(35
)
Total fixed income securities
 
642

 
$
4,301

 
$
(61
)
 
228

 
$
801

 
$
(35
)
 
$
(96
)
Carrying value of non-impaired fixed and variable rate mortgage loans by debt service coverage ratio distribution
Gross unrealized losses by unrealized loss position and credit quality as of September 30, 2020
($ in millions)
 
Investment
grade
 
Below investment grade
 
Total
Fixed income securities with unrealized loss position less than 20% of amortized cost, net (1) (2)
 
$
(66
)
 
$
(70
)
 
$
(136
)
Fixed income securities with unrealized loss position greater than or equal to 20% of amortized cost, net (3) (4)
 
(17
)
 
(64
)
 
(81
)
Total unrealized losses
 
$
(83
)
 
$
(134
)
 
$
(217
)
(1) 
Below investment grade fixed income securities include $53 million that have been in an unrealized loss position for less than twelve months.
(2) 
Related to securities with an unrealized loss position less than 20% of amortized cost, net, the degree of which suggests that these securities do not pose a high risk of having credit losses.
(3) 
No below investment grade fixed income securities have been in an unrealized loss position for a period of twelve or more consecutive months.
(4) 
Evaluated based on factors such as discounted cash flows and the financial condition and near-term and long-term prospects of the issue or issuer and were determined to have adequate resources to fulfill contractual obligations.
Mortgage loans amortized cost by debt service coverage ratio distribution and year of origination
Mortgage loans amortized cost by debt service coverage ratio distribution and year of origination
($ in millions)
 
September 30, 2020
 
December 31, 2019
 
 
2015 and prior
 
2016
 
2017
 
2018
 
2019
 
Current
 
Total
 
Total
Below 1.0
 
$
42

 
$
1

 
$
33

 
$
—

 
$
—

 
$
—

 
$
76

 
$
56

1.0 - 1.25
 
131

 
27

 
36

 
110

 
49

 
40

 
393

 
225

1.26 - 1.50
 
513

 
41

 
166

 
207

 
317

 
6

 
1,250

 
1,237

Above 1.50
 
1,201

 
476

 
317

 
368

 
516

 
143

 
3,021

 
3,302

Amortized cost before allowance
 
$
1,887


$
545


$
552


$
685


$
882


$
189


$
4,740


$
4,820

Allowance (1)
 
 
 
 
 
 
 
 
 
 
 
 
 
(85
)
 
(3
)
Amortized cost, net
 
 
 
 
 
 
 
 
 
 
 
 
 
$
4,655

 
$
4,817

(1) 
Due to the adoption of the measurement of credit losses on financial instruments accounting standard, prior valuation allowance is now presented as an allowance for expected credit losses.
Allowance for credit loss
Allowance for credit losses
 
 
 
 
 
 
 
 
($ in millions)
 
September 30, 2020
 
June 30, 2020
 
March 31, 2020
 
January 1, 2020
Fixed income securities
 
$
8

 
$
7

 
$
4

 
$
—

Mortgage loans
 
85

 
86

 
85

 
45

Other investments
 
 
 
 
 
 
 


Bank loans
 
61

 
76

 
79

 
53

Agent loans
 
5

 
5

 
5

 
5

Investments
 
159

 
174

 
173

 
103

Premium installment receivables
 
153

 
139

 
96

 
91

Reinsurance recoverables
 
75

 
74

 
74

 
74

Other assets
 
22

 
23

 
18

 
18

Assets
 
409

 
410

 
361

 
286

 
 
 
 
 
 
 
 
 
Commitments to fund mortgage loans, bank loans and agent loans
 
2

 
3

 
4

 
3

Liabilities
 
2


3

 
4

 
3

Total
 
$
411

 
$
413

 
$
365

 
$
289


Rollforward of credit loss allowance for premium installment receivables
 
 
($ in millions)
 
Three months ended September 30, 2020
 
Nine months ended September 30, 2020
Beginning balance
 
$
139

 
$
91

Increase in the provision for credit losses
 
65

 
201

Write-off of uncollectible premium installment receivable amounts
 
(51
)
 
(139
)
Ending balance
 
$
153

 
$
153


Rollforward of credit loss allowance for fixed income securities
 
 
 
 
($ in millions)
 
Three months ended
September 30, 2020
 
Nine months ended September 30, 2020
Beginning balance
 
$
(7
)
 
$
—

Credit losses on securities for which credit losses not previously reported
 
(1
)
 
(10
)
Net increases related to credit losses previously reported
 
(1
)
 
—

Reduction of allowance related to sales
 
1

 
2

Ending balance (1)
 
$
(8
)
 
$
(8
)
(1) 
Allowance for fixed income securities as of September 30, 2020 comprised $3 million, $2 million, $2 million and $1 million of municipal bonds, corporate bonds, ABS and MBS, respectively.
Rollforward of credit loss allowance for bank loans
 
 
 
 
($ in millions)
 
Three months ended September 30, 2020
 
Nine months ended September 30, 2020
Beginning balance
 
$
(76
)
 
$
—

Cumulative effect of change in accounting principle
 
—

 
(53
)
Net decreases (increases) related to credit losses
 
10

 
(20
)
Reduction of allowance related to sales
 
5

 
7

Write-offs
 
—

 
5

Ending balance
 
$
(61
)
 
$
(61
)

Rollforward of credit loss allowance for mortgage loans
 
 
 
 
($ in millions)
 
Three months ended September 30, 2020
 
Nine months ended September 30, 2020
Beginning balance
 
$
(86
)
 
$
(3
)
Cumulative effect of change in accounting principle
 
—

 
(42
)
Net decreases (increases) related to credit losses
 
1

 
(40
)
Ending balance
 
$
(85
)
 
$
(85
)
Bank loans amortized cost by credit quality and year of origination
Bank loans amortized cost by credit rating and year of origination
 
 
($ in millions)
 
September 30, 2020
 
 
 
 
2015 and prior
 
2016
 
2017
 
2018
 
2019
 
Current
 
Total
BBB
 
$
—

 
$
—

 
$
9

 
$
9

 
$
14

 
$
12

 
$
44

BB
 
30

 
2

 
37

 
58

 
58

 
52

 
237

B
 
6

 
33

 
116

 
168

 
138

 
149

 
610

CCC and below
 
7

 
9

 
44

 
55

 
74

 
21

 
210

Amortized cost before allowance
 
43

 
44

 
206

 
290

 
284

 
234

 
1,101

Allowance
 
 
 
 
 
 
 
 
 
 
 
 
 
(61
)
Amortized cost, net
 
 
 
 
 
 
 
 
 
 
 
 
 
$
1,040