Investments (Tables)
|
6 Months Ended |
Jun. 30, 2018 |
Investments [Abstract] |
|
Fixed Maturities, Available-for-sale Securities |
The following tables set forth information relating to fixed maturity securities (excluding investments classified as trading), as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | June 30, 2018 | | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Fair Value | | OTTI in AOCI(4) | | (in millions) | Fixed maturities, available-for-sale: | | | | | | | | | | U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 22,471 |
| | $ | 2,987 |
| | $ | 613 |
| | $ | 24,845 |
| | $ | 0 |
| Obligations of U.S. states and their political subdivisions | 9,548 |
| | 771 |
| | 40 |
| | 10,279 |
| | 0 |
| Foreign government bonds | 93,464 |
| | 15,787 |
| | 414 |
| | 108,837 |
| | 0 |
| U.S. corporate public securities | 79,744 |
| | 4,674 |
| | 2,058 |
| | 82,360 |
| | (4 | ) | U.S. corporate private securities(1) | 32,171 |
| | 1,269 |
| | 556 |
| | 32,884 |
| | (11 | ) | Foreign corporate public securities | 26,949 |
| | 2,290 |
| | 355 |
| | 28,884 |
| | (5 | ) | Foreign corporate private securities | 24,099 |
| | 622 |
| | 760 |
| | 23,961 |
| | 0 |
| Asset-backed securities(2) | 12,860 |
| | 195 |
| | 24 |
| | 13,031 |
| | (172 | ) | Commercial mortgage-backed securities | 13,093 |
| | 58 |
| | 305 |
| | 12,846 |
| | 0 |
| Residential mortgage-backed securities(3) | 3,149 |
| | 118 |
| | 43 |
| | 3,224 |
| | (1 | ) | Total fixed maturities, available-for-sale(1) | $ | 317,548 |
| | $ | 28,771 |
| | $ | 5,168 |
| | $ | 341,151 |
| | $ | (193 | ) |
| | (1) | Excludes notes with amortized cost of $3,666 million (fair value, $3,666 million), which have been offset with the associated payables under a netting agreement. |
| | (2) | Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, credit cards, education loans and other asset types. |
| | (3) | Includes publicly-traded agency pass-through securities and collateralized mortgage obligations. |
| | (4) | Represents the amount of unrealized losses remaining in AOCI, from the impairment measurement date. Amount excludes $409 million of net unrealized gains on impaired available-for-sale securities and $1 million of net unrealized gains on impaired held-to-maturity securities relating to changes in the value of such securities subsequent to the impairment measurement date. |
| | (5) | Excludes notes with amortized cost of $4,753 million (fair value, $4,754 million), which have been offset with the associated payables under a netting agreement. |
| | (1) | Excludes notes with amortized cost of $2,660 million (fair value, $2,660 million), which have been offset with the associated payables under a netting agreement. |
| | (2) | Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, credit cards, education loans and other asset types. |
| | (3) | Includes publicly-traded agency pass-through securities and collateralized mortgage obligations. |
| | (4) | Represents the amount of unrealized losses remaining in AOCI, from the impairment measurement date. Amount excludes $553 million of net unrealized gains on impaired available-for-sale securities and $2 million of net unrealized gains on impaired held-to-maturity securities relating to changes in the value of such securities subsequent to the impairment measurement date. |
| | (5) | Excludes notes with amortized cost of $4,627 million (fair value, $4,913 million), which have been offset with the associated payables under a netting agreement. |
| | | | | | | | | | | | | | | | | | | | | | December 31, 2017 | | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Fair Value | | OTTI in AOCI(4) | | (in millions) | Fixed maturities, available-for-sale: | | | | | | | | | | U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 22,837 |
| | $ | 3,647 |
| | $ | 346 |
| | $ | 26,138 |
| | $ | 0 |
| Obligations of U.S. states and their political subdivisions | 9,366 |
| | 1,111 |
| | 6 |
| | 10,471 |
| | 0 |
| Foreign government bonds | 88,062 |
| | 15,650 |
| | 293 |
| | 103,419 |
| | 0 |
| U.S. corporate public securities | 81,967 |
| | 8,671 |
| | 414 |
| | 90,224 |
| | (10 | ) | U.S. corporate private securities(1) | 31,852 |
| | 2,051 |
| | 169 |
| | 33,734 |
| | (13 | ) | Foreign corporate public securities | 26,389 |
| | 3,118 |
| | 99 |
| | 29,408 |
| | (5 | ) | Foreign corporate private securities | 23,322 |
| | 1,242 |
| | 337 |
| | 24,227 |
| | 0 |
| Asset-backed securities(2) | 11,965 |
| | 278 |
| | 10 |
| | 12,233 |
| | (237 | ) | Commercial mortgage-backed securities | 13,134 |
| | 238 |
| | 91 |
| | 13,281 |
| | 0 |
| Residential mortgage-backed securities(3) | 3,491 |
| | 165 |
| | 11 |
| | 3,645 |
| | (2 | ) | Total fixed maturities, available-for-sale(1) | $ | 312,385 |
| | $ | 36,171 |
| | $ | 1,776 |
| | $ | 346,780 |
| | $ | (267 | ) |
|
Fixed Maturities, Held-to-maturity Securities |
| | | | | | | | | | | | | | | | | | June 30, 2018 | | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Fair Value | | (in millions) | Fixed maturities, held-to-maturity: | | | | | | | | Foreign government bonds | $ | 878 |
| | $ | 271 |
| | $ | 0 |
| | $ | 1,149 |
| Foreign corporate public securities | 662 |
| | 67 |
| | 0 |
| | 729 |
| Foreign corporate private securities(5) | 85 |
| | 3 |
| | 0 |
| | 88 |
| Commercial mortgage-backed securities | 0 |
| | 0 |
| | 0 |
| | 0 |
| Residential mortgage-backed securities(3) | 395 |
| | 27 |
| | 0 |
| | 422 |
| Total fixed maturities, held-to-maturity(5) | $ | 2,020 |
| | $ | 368 |
| | $ | 0 |
| | $ | 2,388 |
|
__________ | | (1) | Excludes notes with amortized cost of $3,666 million (fair value, $3,666 million), which have been offset with the associated payables under a netting agreement. |
| | (2) | Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, credit cards, education loans and other asset types. |
| | (3) | Includes publicly-traded agency pass-through securities and collateralized mortgage obligations. |
| | (4) | Represents the amount of unrealized losses remaining in AOCI, from the impairment measurement date. Amount excludes $409 million of net unrealized gains on impaired available-for-sale securities and $1 million of net unrealized gains on impaired held-to-maturity securities relating to changes in the value of such securities subsequent to the impairment measurement date. |
| | (5) | Excludes notes with amortized cost of $4,753 million (fair value, $4,754 million), which have been offset with the associated payables under a netting agreement. |
| | | | | | | | | | | | | | | | | | December 31, 2017 | | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Fair Value | | (in millions) | Fixed maturities, held-to-maturity: | | | | | | | | Foreign government bonds | $ | 865 |
| | $ | 265 |
| | $ | 0 |
| | $ | 1,130 |
| Foreign corporate public securities | 654 |
| | 82 |
| | 0 |
| | 736 |
| Foreign corporate private securities(5) | 84 |
| | 2 |
| | 0 |
| | 86 |
| Commercial mortgage-backed securities | 0 |
| | 0 |
| | 0 |
| | 0 |
| Residential mortgage-backed securities(3) | 446 |
| | 32 |
| | 0 |
| | 478 |
| Total fixed maturities, held-to-maturity(5) | $ | 2,049 |
| | $ | 381 |
| | $ | 0 |
| | $ | 2,430 |
|
__________ | | (1) | Excludes notes with amortized cost of $2,660 million (fair value, $2,660 million), which have been offset with the associated payables under a netting agreement. |
| | (2) | Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, credit cards, education loans and other asset types. |
| | (3) | Includes publicly-traded agency pass-through securities and collateralized mortgage obligations. |
| | (4) | Represents the amount of unrealized losses remaining in AOCI, from the impairment measurement date. Amount excludes $553 million of net unrealized gains on impaired available-for-sale securities and $2 million of net unrealized gains on impaired held-to-maturity securities relating to changes in the value of such securities subsequent to the impairment measurement date. |
| | (5) | Excludes notes with amortized cost of $4,627 million (fair value, $4,913 million), which have been offset with the associated payables under a netting agreement. |
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Duration Of Gross Unrealized Losses On Fixed Maturity Securities |
The following tables set forth the fair value and gross unrealized losses aggregated by investment category and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2018 | | | Less Than Twelve Months | | Twelve Months or More | | Total | | | Fair Value | | Gross Unrealized Losses | | Fair Value | | Gross Unrealized Losses | | Fair Value | | Gross Unrealized Losses | | | (in millions) | Fixed maturities(1): | | | U.S. Treasury securities and obligations of U.S. government authorities and agencies | | $ | 5,105 |
| | $ | 125 |
| | $ | 4,940 |
| | $ | 488 |
| | $ | 10,045 |
| | $ | 613 |
| Obligations of U.S. states and their political subdivisions | | 1,514 |
| | 25 |
| | 252 |
| | 15 |
| | 1,766 |
| | 40 |
| Foreign government bonds | | 5,039 |
| | 221 |
| | 2,737 |
| | 193 |
| | 7,776 |
| | 414 |
| U.S. corporate public securities | | 36,466 |
| | 1,451 |
| | 5,579 |
| | 607 |
| | 42,045 |
| | 2,058 |
| U.S. corporate private securities | | 14,045 |
| | 382 |
| | 2,242 |
| | 174 |
| | 16,287 |
| | 556 |
| Foreign corporate public securities | | 7,626 |
| | 242 |
| | 1,348 |
| | 113 |
| | 8,974 |
| | 355 |
| Foreign corporate private securities | | 9,568 |
| | 357 |
| | 3,161 |
| | 403 |
| | 12,729 |
| | 760 |
| Asset-backed securities | | 6,825 |
| | 19 |
| | 285 |
| | 5 |
| | 7,110 |
| | 24 |
| Commercial mortgage-backed securities | | 6,705 |
| | 165 |
| | 2,057 |
| | 140 |
| | 8,762 |
| | 305 |
| Residential mortgage-backed securities | | 1,149 |
| | 29 |
| | 292 |
| | 14 |
| | 1,441 |
| | 43 |
| Total | | $ | 94,042 |
| | $ | 3,016 |
| | $ | 22,893 |
| | $ | 2,152 |
| | $ | 116,935 |
| | $ | 5,168 |
|
__________ | | (1) | Includes $13 million of fair value and less than $1 million of gross unrealized losses, which are not reflected in AOCI, on securities classified as held-to-maturity, as of June 30, 2018. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2017 | | | Less Than Twelve Months | | Twelve Months or More | | Total | | | Fair Value | | Gross Unrealized Losses | | Fair Value | | Gross Unrealized Losses | | Fair Value | | Gross Unrealized Losses | | | (in millions) | Fixed maturities(1): | | | U.S. Treasury securities and obligations of U.S. government authorities and agencies | | $ | 3,450 |
| | $ | 28 |
| | $ | 6,391 |
| | $ | 318 |
| | $ | 9,841 |
| | $ | 346 |
| Obligations of U.S. states and their political subdivisions | | 44 |
| | 0 |
| | 287 |
| | 6 |
| | 331 |
| | 6 |
| Foreign government bonds | | 4,417 |
| | 55 |
| | 2,937 |
| | 238 |
| | 7,354 |
| | 293 |
| U.S. corporate public securities | | 7,914 |
| | 110 |
| | 6,831 |
| | 304 |
| | 14,745 |
| | 414 |
| U.S. corporate private securities | | 4,596 |
| | 76 |
| | 2,009 |
| | 93 |
| | 6,605 |
| | 169 |
| Foreign corporate public securities | | 2,260 |
| | 21 |
| | 1,678 |
| | 78 |
| | 3,938 |
| | 99 |
| Foreign corporate private securities | | 1,213 |
| | 20 |
| | 5,339 |
| | 317 |
| | 6,552 |
| | 337 |
| Asset-backed securities | | 564 |
| | 2 |
| | 366 |
| | 8 |
| | 930 |
| | 10 |
| Commercial mortgage-backed securities | | 2,593 |
| | 17 |
| | 2,212 |
| | 74 |
| | 4,805 |
| | 91 |
| Residential mortgage-backed securities | | 584 |
| | 4 |
| | 286 |
| | 7 |
| | 870 |
| | 11 |
| Total | | $ | 27,635 |
| | $ | 333 |
| | $ | 28,336 |
| | $ | 1,443 |
| | $ | 55,971 |
| | $ | 1,776 |
|
__________ | | (1) | Includes $12 million of fair value and less than $1 million of gross unrealized losses, which are not reflected in AOCI, on securities classified as held-to-maturity, as of December 31, 2017. |
|
Investments Classified by Contractual Maturity Date |
The following table sets forth the amortized cost and fair value of fixed maturities by contractual maturities, as of the date indicated: | | | | | | | | | | | | | | | | | | June 30, 2018 | | Available-for-Sale | | Held-to-Maturity | | Amortized Cost | | Fair Value | | Amortized Cost | | Fair Value | | (in millions) | Fixed maturities: | | | | | | | | Due in one year or less | $ | 10,769 |
| | $ | 11,156 |
| | $ | 7 |
| | $ | 7 |
| Due after one year through five years | 50,932 |
| | 53,917 |
| | 171 |
| | 176 |
| Due after five years through ten years | 63,671 |
| | 66,989 |
| | 572 |
| | 636 |
| Due after ten years(1) | 163,074 |
| | 179,988 |
| | 875 |
| | 1,147 |
| Asset-backed securities | 12,860 |
| | 13,031 |
| | 0 |
| | 0 |
| Commercial mortgage-backed securities | 13,093 |
| | 12,846 |
| | 0 |
| | 0 |
| Residential mortgage-backed securities | 3,149 |
| | 3,224 |
| | 395 |
| | 422 |
| Total | $ | 317,548 |
| | $ | 341,151 |
| | $ | 2,020 |
| | $ | 2,388 |
|
__________ | | (1) | Excludes available-for-sale notes with amortized cost of $3,666 million (fair value, $3,666 million) and held-to-maturity notes with amortized cost of $4,753 million (fair value, $4,754 million), which have been offset with the associated payables under a netting agreement. |
|
Sources of Fixed Maturity Proceeds and Related Investment Gains (Losses) as well as Losses on Impairments |
The following table sets forth the sources of fixed maturity proceeds and related investment gains (losses), as well as losses on impairments of fixed maturities, for the periods indicated: | | | | | | | | | | | | | | | | | | Three Months Ended June 30, | | Six Months Ended June 30, | | 2018 | | 2017 | | 2018 | | 2017 | | (in millions) | Fixed maturities, available-for-sale: | | | | | | | | Proceeds from sales(1) | $ | 9,489 |
| | $ | 8,157 |
| | $ | 19,074 |
| | $ | 15,887 |
| Proceeds from maturities/prepayments | 6,553 |
| | 7,546 |
| | 11,779 |
| | 13,420 |
| Gross investment gains from sales and maturities | 410 |
| | 410 |
| | 784 |
| | 801 |
| Gross investment losses from sales and maturities | (187 | ) | | (135 | ) | | (444 | ) | | (298 | ) | OTTI recognized in earnings(2) | (58 | ) | | (46 | ) | | (97 | ) | | (100 | ) | Fixed maturities, held-to-maturity: | | | | | | | | Proceeds from maturities/prepayments(3) | $ | 23 |
| | $ | 39 |
| | $ | 59 |
| | $ | 89 |
|
__________ | | (1) | Includes $254 million and $317 million of non-cash related proceeds due to the timing of trade settlements for the six months ended June 30, 2018 and 2017, respectively. |
| | (2) | Excludes the portion of OTTI amounts remaining in “Other comprehensive income (loss)” (“OCI”), representing any difference between the fair value of the impaired debt security and the net present value of its projected future cash flows at the time of impairment. |
| | (3) | Includes $3 million and $0 million of non-cash related proceeds due to the timing of trade settlements for the six months ended June 30, 2018 and 2017, respectively. |
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Credit Losses Recognized in Earnings on Fixed Maturity Securities Held by the Company for which a Portion of the OTTI Loss was Recognized in OCI |
The following table sets forth a rollforward of pre-tax amounts remaining in OCI related to fixed maturity securities with credit loss impairments recognized in earnings, for the periods indicated: | | | | | | | | | | | | | | | | | | Three Months Ended June 30, 2018 | | Six Months Ended June 30, 2018 | | Three Months Ended June 30, 2017 | | Six Months Ended June 30, 2017 | | (in millions) | Credit loss impairments: | | | | | | | | Balance, beginning of period | $ | 203 |
| | $ | 319 |
| | $ | 350 |
| | $ | 359 |
| New credit loss impairments | 0 |
| | 0 |
| | 7 |
| | 7 |
| Additional credit loss impairments on securities previously impaired | 0 |
| | 0 |
| | 0 |
| | 1 |
| Increases due to the passage of time on previously recorded credit losses | 4 |
| | 6 |
| | 4 |
| | 7 |
| Reductions for securities which matured, paid down, prepaid or were sold during the period | (42 | ) | | (155 | ) | | (7 | ) | | (16 | ) | Reductions for securities impaired to fair value during the period(1) | 0 |
| | (4 | ) | | (11 | ) | | (14 | ) | Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected | (2 | ) | | (3 | ) | | (2 | ) | | (3 | ) | Balance, end of period | $ | 163 |
| | $ | 163 |
| | $ | 341 |
| | $ | 341 |
|
__________ | | (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. |
|
Assets Supporting Experience-Rated Contractholder Liabilities |
The following table sets forth the composition of “Assets supporting experience-rated contractholder liabilities,” as of the dates indicated: | | | | | | | | | | | | | | | | | | | | June 30, 2018 | | December 31, 2017 | | | Amortized Cost or Cost | | Fair Value | | Amortized Cost or Cost | | Fair Value | | | (in millions) | Short-term investments and cash equivalents | | $ | 340 |
| | $ | 340 |
| | $ | 245 |
| | $ | 245 |
| Fixed maturities: | | | | | | | | | Corporate securities | | 13,263 |
| | 13,140 |
| | 13,816 |
| | 14,073 |
| Commercial mortgage-backed securities | | 2,390 |
| | 2,350 |
| | 2,294 |
| | 2,311 |
| Residential mortgage-backed securities(1) | | 888 |
| | 867 |
| | 961 |
| | 966 |
| Asset-backed securities(2) | | 1,470 |
| | 1,493 |
| | 1,363 |
| | 1,392 |
| Foreign government bonds | | 1,063 |
| | 1,061 |
| | 1,050 |
| | 1,057 |
| U.S. government authorities and agencies and obligations of U.S. states | | 579 |
| | 619 |
| | 357 |
| | 410 |
| Total fixed maturities | | 19,653 |
| | 19,530 |
| | 19,841 |
| | 20,209 |
| Equity securities | | 1,367 |
| | 1,627 |
| | 1,278 |
| | 1,643 |
| Total assets supporting experience-rated contractholder liabilities | | $ | 21,360 |
| | $ | 21,497 |
| | $ | 21,364 |
| | $ | 22,097 |
|
__________ | | (1) | Includes publicly-traded agency pass-through securities and collateralized mortgage obligations. |
| | (2) | Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans and other asset types. |
|
Securities Concentrations of Credit Risk |
As of the dates indicated, the Company’s exposure to concentrations of credit risk of single issuers greater than 10% of the Company’s stockholders’ equity included securities of the U.S. government and certain U.S. government agencies and securities guaranteed by the U.S. government, as well as the securities disclosed below: | | | | | | | | | | | | | | | | | | | | June 30, 2018 | | December 31, 2017 | | | Amortized Cost | | Fair Value | | Amortized Cost | | Fair Value | | | (in millions) | Investments in Japanese government and government agency securities: | | | | | | | | | Fixed maturities, available-for-sale | | $ | 69,248 |
| | $ | 81,731 |
| | $ | 64,628 |
| | $ | 76,311 |
| Fixed maturities, held-to-maturity | | 857 |
| | 1,122 |
| | 844 |
| | 1,103 |
| Fixed maturities, trading | | 23 |
| | 23 |
| | 23 |
| | 23 |
| Assets supporting experience-rated contractholder liabilities | | 676 |
| | 686 |
| | 657 |
| | 667 |
| Total | | $ | 70,804 |
| | $ | 83,562 |
| | $ | 66,152 |
| | $ | 78,104 |
|
| | | | | | | | | | | | | | | | | | | | June 30, 2018 | | December 31, 2017 | | | Amortized Cost | | Fair Value | | Amortized Cost | | Fair Value | | | (in millions) | Investments in South Korean government and government agency securities: | | | | | | | | | Fixed maturities, available-for-sale | | $ | 9,646 |
| | $ | 10,988 |
| | $ | 9,425 |
| | $ | 10,989 |
| Fixed maturities, held-to-maturity | | 0 |
| | 0 |
| | 0 |
| | 0 |
| Fixed maturities, trading | | 0 |
| | 0 |
| | 0 |
| | 0 |
| Assets supporting experience-rated contractholder liabilities | | 15 |
| | 15 |
| | 15 |
| | 15 |
| Total | | $ | 9,661 |
| | $ | 11,003 |
| | $ | 9,440 |
| | $ | 11,004 |
|
|
Commercial Mortgage and Other Loans |
The following table sets forth the composition of “Commercial mortgage and other loans,” as of the dates indicated: | | | | | | | | | | | | | | | | | | June 30, 2018 | | December 31, 2017 | | | Amount (in millions) | | % of Total | | Amount (in millions) | | % of Total | Commercial mortgage and agricultural property loans by property type: | | | | | | | | | Office | | $ | 13,435 |
| | 23.2 | % | | $ | 12,670 |
| | 22.9 | % | Retail | | 8,707 |
| | 15.1 |
| | 8,543 |
| | 15.5 |
| Apartments/Multi-Family | | 16,194 |
| | 28.0 |
| | 15,465 |
| | 28.0 |
| Industrial | | 10,609 |
| | 18.3 |
| | 9,451 |
| | 17.1 |
| Hospitality | | 1,965 |
| | 3.4 |
| | 2,067 |
| | 3.7 |
| Other | | 3,784 |
| | 6.5 |
| | 3,888 |
| | 7.0 |
| Total commercial mortgage loans | | 54,694 |
| | 94.5 |
| | 52,084 |
| | 94.2 |
| Agricultural property loans | | 3,206 |
| | 5.5 |
| | 3,203 |
| | 5.8 |
| Total commercial mortgage and agricultural property loans by property type | | 57,900 |
| | 100.0 | % | | 55,287 |
| | 100.0 | % | Valuation allowance | | (119 | ) | | | | (100 | ) | | | Total net commercial mortgage and agricultural property loans by property type | | 57,781 |
| | | | 55,187 |
| | | Other loans: | | | |
| | | |
| Uncollateralized loans | | 666 |
| |
| | 663 |
| |
| Residential property loans | | 176 |
| |
| | 196 |
| |
| Other collateralized loans | | 4 |
| |
| | 5 |
| |
| Total other loans | | 846 |
| |
| | 864 |
| |
| Valuation allowance | | (5 | ) | |
| | (6 | ) | |
| Total net other loans | | 841 |
| |
| | 858 |
| |
| Total commercial mortgage and other loans(1) | | $ | 58,622 |
| |
| | $ | 56,045 |
| |
|
__________ | | (1) | Includes loans held for sale which are carried at fair value and are collateralized primarily by apartment complexes. As of June 30, 2018 and December 31, 2017, the net carrying value of these loans was $330 million and $593 million, respectively. |
|
Allowance for Credit Losses |
The following tables set forth the activity in the allowance for credit losses for commercial mortgage and other loans, as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2018 | | | Commercial Mortgage Loans | | Agricultural Property Loans | | Residential Property Loans | | Other Collateralized Loans | | Uncollateralized Loans | | Total | | | (in millions) | Allowance for credit losses: | | | | | | | | | | | | | Balance, beginning of year | | $ | 97 |
| | $ | 3 |
| | $ | 1 |
| | $ | 0 |
| | $ | 5 |
| | $ | 106 |
| Addition to (release of) allowance for losses | | 19 |
| | 0 |
| | 0 |
| | 0 |
| | (1 | ) | | 18 |
| Charge-offs, net of recoveries | | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| Change in foreign exchange | | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| Total ending balance | | $ | 116 |
| | $ | 3 |
| | $ | 1 |
| | $ | 0 |
| | $ | 4 |
| | $ | 124 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2017 | | | Commercial Mortgage Loans | | Agricultural Property Loans | | Residential Property Loans | | Other Collateralized Loans | | Uncollateralized Loans | | Total | | | (in millions) | Allowance for credit losses: | | | | | | | | | | | | | Balance, beginning of year | | $ | 96 |
| | $ | 2 |
| | $ | 2 |
| | $ | 0 |
| | $ | 6 |
|
| $ | 106 |
| Addition to (release of) allowance for losses | | 2 |
| | 1 |
| | (1 | ) | | 0 |
| | (1 | ) | | 1 |
| Charge-offs, net of recoveries | | (1 | ) | | 0 |
| | 0 |
| | 0 |
| | 0 |
| | (1 | ) | Change in foreign exchange | | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| Total ending balance | | $ | 97 |
| | $ | 3 |
| | $ | 1 |
| | $ | 0 |
| | $ | 5 |
| | $ | 106 |
|
|
Allowance for Credit Losses and Recorded Investment in Commercial Mortgage and Other Loans |
The following tables set forth the allowance for credit losses and the recorded investment in commercial mortgage and other loans, as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2018 | | | Commercial Mortgage Loans | | Agricultural Property Loans | | Residential Property Loans | | Other Collateralized Loans | | Uncollateralized Loans | | Total | | | (in millions) | Allowance for credit losses: | | | | | | | | | | | | | Individually evaluated for impairment | | $ | 20 |
| | $ | 0 |
| | $ | 0 |
| | $ | 0 |
| | $ | 0 |
| | $ | 20 |
| Collectively evaluated for impairment | | 96 |
| | 3 |
| | 1 |
| | 0 |
| | 4 |
| | 104 |
| Total ending balance(1) | | $ | 116 |
| | $ | 3 |
| | $ | 1 |
| | $ | 0 |
| | $ | 4 |
| | $ | 124 |
| | | | | | | | | | | | | | Recorded investment(2): | | | | | | | | | | | | | Individually evaluated for impairment | | $ | 70 |
| | $ | 35 |
| | $ | 0 |
| | $ | 0 |
| | $ | 2 |
| | $ | 107 |
| Collectively evaluated for impairment | | 54,624 |
| | 3,171 |
| | 176 |
| | 4 |
| | 664 |
| | 58,639 |
| Total ending balance(1) | | $ | 54,694 |
| | $ | 3,206 |
| | $ | 176 |
| | $ | 4 |
| | $ | 666 |
| | $ | 58,746 |
|
__________ | | (1) | As of June 30, 2018, there were no loans acquired with deteriorated credit quality. |
| | (2) | Recorded investment reflects the carrying value gross of related allowance. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2017 | | | Commercial Mortgage Loans | | Agricultural Property Loans | | Residential Property Loans | | Other Collateralized Loans | | Uncollateralized Loans | | Total | | | (in millions) | Allowance for credit losses: | | | | | | | | | | | | | Individually evaluated for impairment | | $ | 7 |
| | $ | 0 |
| | $ | 0 |
| | $ | 0 |
| | $ | 0 |
| | $ | 7 |
| Collectively evaluated for impairment | | 90 |
| | 3 |
| | 1 |
| | 0 |
| | 5 |
| | 99 |
| Total ending balance(1) | | $ | 97 |
| | $ | 3 |
| | $ | 1 |
| | $ | 0 |
| | $ | 5 |
| | $ | 106 |
| | | | | | | | | | | | | | Recorded investment(2): | | | | | | | | | | | | | Individually evaluated for impairment | | $ | 75 |
| | $ | 39 |
| | $ | 0 |
| | $ | 0 |
| | $ | 2 |
| | $ | 116 |
| Collectively evaluated for impairment | | 52,009 |
| | 3,164 |
| | 196 |
| | 5 |
| | 661 |
| | 56,035 |
| Total ending balance(1) | | $ | 52,084 |
| | $ | 3,203 |
| | $ | 196 |
| | $ | 5 |
| | $ | 663 |
| | $ | 56,151 |
|
__________ | | (1) | As of December 31, 2017, there were no loans acquired with deteriorated credit quality. |
| | (2) | Recorded investment reflects the carrying value gross of related allowance. |
|
Financing Receivable Credit Quality Indicators |
The following tables set forth certain key credit quality indicators based upon the recorded investment gross of allowance for credit losses, as of the date indicated: Commercial mortgage loans | | | | | | | | | | | | | | | | | | | | June 30, 2018 | | | Debt Service Coverage Ratio | | | | | >1.2X | | 1.0X to <1.2X | | < 1.0X | | Total | | | (in millions) | Loan-to-Value Ratio: | | | | | | | | | 0%-59.99% | | $ | 29,292 |
| | $ | 520 |
| | $ | 281 |
| | $ | 30,093 |
| 60%-69.99% | | 16,737 |
| | 579 |
| | 155 |
| | 17,471 |
| 70%-79.99% | | 6,047 |
| | 807 |
| | 11 |
| | 6,865 |
| 80% or greater | | 60 |
| | 182 |
| | 23 |
| | 265 |
| Total commercial mortgage loans | | $ | 52,136 |
| | $ | 2,088 |
| | $ | 470 |
| | $ | 54,694 |
|
Agricultural property loans | | | | | | | | | | | | | | | | | | | | June 30, 2018 | | | Debt Service Coverage Ratio | | | | | >1.2X | | 1.0X to <1.2X | | < 1.0X | | Total | | | (in millions) | Loan-to-Value Ratio: | | | | | | | | | 0%-59.99% | | $ | 2,955 |
| | $ | 176 |
| | $ | 0 |
| | $ | 3,131 |
| 60%-69.99% | | 75 |
| | 0 |
| | 0 |
| | 75 |
| 70%-79.99% | | 0 |
| | 0 |
| | 0 |
| | 0 |
| 80% or greater | | 0 |
| | 0 |
| | 0 |
| | 0 |
| Total agricultural property loans | | $ | 3,030 |
| | $ | 176 |
| | $ | 0 |
| | $ | 3,206 |
|
Total commercial mortgage and agricultural property loans
| | | | | | | | | | | | | | | | | | | | June 30, 2018 | | | Debt Service Coverage Ratio | | | | | >1.2X | | 1.0X to <1.2X | | < 1.0X | | Total | | | (in millions) | Loan-to-Value Ratio: | | | | | | | | | 0%-59.99% | | $ | 32,247 |
| | $ | 696 |
| | $ | 281 |
| | $ | 33,224 |
| 60%-69.99% | | 16,812 |
| | 579 |
| | 155 |
| | 17,546 |
| 70%-79.99% | | 6,047 |
| | 807 |
| | 11 |
| | 6,865 |
| 80% or greater | | 60 |
| | 182 |
| | 23 |
| | 265 |
| Total commercial mortgage and agricultural property loans | | $ | 55,166 |
| | $ | 2,264 |
| | $ | 470 |
| | $ | 57,900 |
|
The following tables set forth certain key credit quality indicators based upon the recorded investment gross of allowance for credit losses, as of the date indicated:
Commercial mortgage loans | | | | | | | | | | | | | | | | | | | | December 31, 2017 | | | Debt Service Coverage Ratio | | | | | >1.2X | | 1.0X to <1.2X | | < 1.0X | | Total | | | (in millions) | Loan-to-Value Ratio: | | | | | | | | | 0%-59.99% | | $ | 30,082 |
| | $ | 639 |
| | $ | 251 |
| | $ | 30,972 |
| 60%-69.99% | | 13,658 |
| | 530 |
| | 121 |
| | 14,309 |
| 70%-79.99% | | 5,994 |
| | 514 |
| | 29 |
| | 6,537 |
| 80% or greater | | 93 |
| | 54 |
| | 119 |
| | 266 |
| Total commercial mortgage loans | | $ | 49,827 |
| | $ | 1,737 |
| | $ | 520 |
| | $ | 52,084 |
|
Agricultural property loans | | | | | | | | | | | | | | | | | | | | December 31, 2017 | | | Debt Service Coverage Ratio | | | | | >1.2X | | 1.0X to <1.2X | | < 1.0X | | Total | | | (in millions) | Loan-to-Value Ratio: | | | | | | | | | 0%-59.99% | | $ | 2,988 |
| | $ | 170 |
| | $ | 5 |
| | $ | 3,163 |
| 60%-69.99% | | 40 |
| | 0 |
| | 0 |
| | 40 |
| 70%-79.99% | | 0 |
| | 0 |
| | 0 |
| | 0 |
| 80% or greater | | 0 |
| | 0 |
| | 0 |
| | 0 |
| Total agricultural property loans | | $ | 3,028 |
| | $ | 170 |
| | $ | 5 |
| | $ | 3,203 |
|
Total commercial mortgage and agricultural property loans | | | | | | | | | | | | | | | | | | | | December 31, 2017 | | | Debt Service Coverage Ratio | | | | | >1.2X | | 1.0X to <1.2X | | < 1.0X | | Total | | | (in millions) | Loan-to-Value Ratio: | | | | | | | | | 0%-59.99% | | $ | 33,070 |
| | $ | 809 |
| | $ | 256 |
| | $ | 34,135 |
| 60%-69.99% | | 13,698 |
| | 530 |
| | 121 |
| | 14,349 |
| 70%-79.99% | | 5,994 |
| | 514 |
| | 29 |
| | 6,537 |
| 80% or greater | | 93 |
| | 54 |
| | 119 |
| | 266 |
| Total commercial mortgage and agricultural property loans | | $ | 52,855 |
| | $ | 1,907 |
| | $ | 525 |
| | $ | 55,287 |
|
|
Aging of Past Due Commercial Mortgage and Other Loans and Nonaccrual Status |
The following tables set forth an aging of past due commercial mortgage and other loans based upon the recorded investment gross of allowance for credit losses, as well as the amount of commercial mortgage and other loans on non-accrual status, as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2018 | | | Current | | 30-59 Days Past Due | | 60-89 Days Past Due | | 90 Days or More Past Due(1) | | Total Past Due | | Total Loans | | Non-Accrual Status(2) | | | (in millions) | Commercial mortgage loans | | $ | 54,694 |
| | $ | 0 |
| | $ | 0 |
| | $ | 0 |
| | $ | 0 |
| | $ | 54,694 |
| | $ | 70 |
| Agricultural property loans | | 3,190 |
| | 0 |
| | 0 |
| | 16 |
| | 16 |
| | 3,206 |
| | 23 |
| Residential property loans | | 172 |
| | 1 |
| | 1 |
| | 2 |
| | 4 |
| | 176 |
| | 2 |
| Other collateralized loans | | 4 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 4 |
| | 0 |
| Uncollateralized loans | | 666 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 666 |
| | 0 |
| Total | | $ | 58,726 |
| | $ | 1 |
| | $ | 1 |
| | $ | 18 |
| | $ | 20 |
| | $ | 58,746 |
| | $ | 95 |
|
__________ | | (1) | As of June 30, 2018, there were no loans in this category accruing interest. |
| | (2) | For additional information regarding the Company’s policies for accruing interest on loans, see Note 2 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2017. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2017 | | | Current | | 30-59 Days Past Due | | 60-89 Days Past Due | | 90 Days or More Past Due(1) | | Total Past Due | | Total Loans | | Non-Accrual Status(2) | | | (in millions) | Commercial mortgage loans | | $ | 52,084 |
| | $ | 0 |
| | $ | 0 |
| | $ | 0 |
| | $ | 0 |
| | $ | 52,084 |
| | $ | 71 |
| Agricultural property loans | | 3,201 |
| | 0 |
| | 0 |
| | 2 |
| | 2 |
| | 3,203 |
| | 23 |
| Residential property loans | | 191 |
| | 3 |
| | 0 |
| | 2 |
| | 5 |
| | 196 |
| | 2 |
| Other collateralized loans | | 5 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 5 |
| | 0 |
| Uncollateralized loans | | 663 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 663 |
| | 0 |
| Total | | $ | 56,144 |
| | $ | 3 |
| | $ | 0 |
| | $ | 4 |
| | $ | 7 |
| | $ | 56,151 |
| | $ | 96 |
|
__________ | | (1) | As of December 31, 2017, there were no loans in this category accruing interest. |
| | (2) | For additional information regarding the Company’s policies for accruing interest on loans, see Note 2 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2017. |
|
Other Invested Assets |
The following table sets forth the composition of “Other invested assets,” as of the dates indicated:
| | | | | | | | | | | | June 30, 2018 | | December 31, 2017 | | | (in millions) | LPs/LLCs: | | | | | Equity method: | | | | | Private equity | | $ | 2,927 |
| | $ | 2,954 |
| Hedge funds | | 1,021 |
| | 803 |
| Real estate-related | | 1,171 |
| | 972 |
| Subtotal equity method | | 5,119 |
| | 4,729 |
| Fair value: | | | | | Private equity | | 1,608 |
| | 1,325 |
| Hedge funds | | 2,307 |
| | 2,419 |
| Real estate-related | | 293 | | 247 | Subtotal fair value(1) | | 4,208 |
| | 3,991 |
| Total LPs/LLCs | | 9,327 |
| | 8,720 |
| Real estate held through direct ownership(2) | | 2,278 |
| | 2,409 |
| Derivative instruments | | 820 |
| | 1,214 | Other(3) | | 1,034 |
| | 1,030 |
| Total other invested assets(4) | | $ | 13,459 |
| | $ | 13,373 |
|
_________ | | (1) | As of December 31, 2017, $1,572 million was accounted for using the cost method. |
| | (2) | As of June 30, 2018 and December 31, 2017, real estate held through direct ownership had mortgage debt of $751 million and $799 million, respectively. |
| | (3) | Primarily includes strategic investments made by investment management operations, leveraged leases and member and activity stock held in the Federal Home Loan Banks of New York and Boston. For additional information regarding the Company’s holdings in the Federal Home Loan Banks of New York and Boston, see Note 14 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2017. |
| | (4) | Prior period amounts have been reclassified to conform to current period presentation. For additional information, see Note 2. |
|
Net Investment Income |
The following table sets forth “Net investment income” by investment type, for the periods indicated: | | | | | | | | | | | | | | | | | | Three Months Ended June 30, | | Six Months Ended June 30, | | 2018 | | 2017 | | 2018 | | 2017 | | (in millions) | Fixed maturities, available-for-sale(1) | $ | 3,001 |
| | $ | 2,856 |
| | $ | 5,955 |
| | $ | 5,651 |
| Fixed maturities, held-to-maturity(1) | 57 |
| | 54 |
| | 112 |
| | 108 |
| Fixed maturities, trading | 30 |
| | 45 |
| | 61 |
| | 87 |
| Assets supporting experience-rated contractholder liabilities, at fair value | 181 |
| | 177 |
| | 372 |
| | 372 |
| Equity securities, at fair value | 59 |
| | 114 |
| | 94 |
| | 204 |
| Commercial mortgage and other loans | 594 |
| | 583 |
| | 1,163 |
| | 1,120 |
| Policy loans | 156 |
| | 155 |
| | 308 |
| | 307 |
| Other invested assets | 163 |
| | 248 |
| | 304 |
| | 580 |
| Short-term investments and cash equivalents | 82 |
| | 46 |
| | 154 |
| | 90 |
| Gross investment income | 4,323 |
| | 4,278 |
| | 8,523 |
| | 8,519 |
| Less: investment expenses | (227 | ) | | (189 | ) | | (429 | ) | | (369 | ) | Net investment income(2) | $ | 4,096 |
| | $ | 4,089 |
| | $ | 8,094 |
| | $ | 8,150 |
|
__________ | | (1) | Includes income on credit-linked notes which are reported on the same financial statement line item as related surplus notes, as conditions are met for right to offset. |
| | (2) | Prior period amounts have been reclassified to conform to current period presentation. |
|
Realized Investment Gains (Losses), Net |
The following table sets forth “Realized investment gains (losses), net,” by investment type, for the periods indicated: | | | | | | | | | | | | | | | | | | Three Months Ended June 30, | | Six Months Ended June 30, | | 2018 | | 2017 | | 2018 | | 2017 | | (in millions) | Fixed maturities(1) | $ | 165 |
| | $ | 229 |
| | $ | 243 |
| | $ | 403 |
| Equity securities(2) | 0 |
| | 164 |
| | 0 |
| | 420 |
| Commercial mortgage and other loans | 5 |
| | 14 |
| | 17 |
| | 28 |
| Investment real estate | 60 |
| | 6 |
| | 62 |
| | 12 |
| LPs/LLCs | 10 |
| | (10 | ) | | 16 |
| | (21 | ) | Derivatives(3) | 445 |
| | (1,496 | ) | | 773 |
| | (1,507 | ) | Other | 0 |
| | 1 |
| | (1 | ) | | 0 |
| Realized investment gains (losses), net | $ | 685 |
| | $ | (1,092 | ) | | $ | 1,110 |
| | $ | (665 | ) |
__________ | | (1) | Includes fixed maturity securities classified as available-for-sale and held-to-maturity and excludes fixed maturity securities classified as trading. |
| | (2) | Effective January 1, 2018, realized gains (losses) on equity securities are recorded within “Other income.” |
| | (3) | Includes the hedged items offset in qualifying fair value hedge accounting relationships. |
|
Net Unrealized Gains (Losses) on Investment |
The following table sets forth net unrealized gains (losses) on investments, as of the dates indicated: | | | | | | | | | | June 30, 2018 | | December 31, 2017 | | (in millions) | Fixed maturity securities, available-for-sale—with OTTI | $ | 216 |
| | $ | 286 |
| Fixed maturity securities, available-for-sale—all other | 23,387 |
| | 34,109 |
| Equity securities, available-for-sale(1) | 0 |
| | 2,027 |
| Derivatives designated as cash flow hedges(2) | 99 |
| | (39 | ) | Other investments(3) | (9 | ) | | 15 |
| Net unrealized gains (losses) on investments | $ | 23,693 |
| | $ | 36,398 |
|
__________ | | (1) | Effective January 1, 2018, unrealized gains (losses) on equity securities are recorded within “Other income.” |
| | (2) | For more information on cash flow hedges, see Note 5. |
| | (3) | As of June 30, 2018, there were no net unrealized losses on held-to-maturity securities that were previously transferred from available-for-sale. Includes net unrealized gains on certain joint ventures that are strategic in nature and are included in “Other assets.” |
|
Repurchase Agreements and Securities Lending |
In the normal course of business, the Company sells securities under agreements to repurchase and enters into securities lending transactions. The following table sets forth the composition of “Securities sold under agreements to repurchase,” as of the dates indicated:
| | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2018 | | December 31, 2017 | | Remaining Contractual Maturities of the Agreements | | | | Remaining Contractual Maturities of the Agreements | | | | Overnight & Continuous | | Up to 30 Days | | Total | | Overnight & Continuous | | Up to 30 Days | | Total | | (in millions) | U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 8,394 |
| | $ | 775 |
| | $ | 9,169 |
| | $ | 911 |
| | $ | 7,349 |
| | $ | 8,260 |
| U.S. corporate public securities | 20 |
| | 0 |
| | 20 |
| | 1 |
| | 0 |
| | 1 |
| Foreign corporate public securities | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| Residential mortgage-backed securities | 351 |
| | 0 |
| | 351 |
| | 0 |
| | 139 |
| | 139 |
| Equity securities | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| Total securities sold under agreements to repurchase(1) | $ | 8,765 |
| | $ | 775 |
| | $ | 9,540 |
| | $ | 912 |
| | $ | 7,488 |
| | $ | 8,400 |
|
__________ | | (1) | The Company did not have any agreements with remaining contractual maturities of thirty days or greater, as of the dates indicated. |
The following table sets forth the composition of “Cash collateral for loaned securities” which represents the liability to return cash collateral received for the following types of securities loaned, as of the dates indicated:
| | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2018 | | December 31, 2017 | | Remaining Contractual Maturities of the Agreements | | | | Remaining Contractual Maturities of the Agreements | | | | Overnight & Continuous | | Up to 30 Days | | Total | | Overnight & Continuous | | Up to 30 Days | | Total | | (in millions) | U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 142 |
| | $ | 161 |
| | $ | 303 |
| | $ | 87 |
| | $ | 35 |
| | $ | 122 |
| Obligations of U.S. states and their political subdivisions | 139 |
| | 0 |
| | 139 |
| | 103 |
| | 0 |
| | 103 |
| Foreign government bonds | 368 |
| | 0 |
| | 368 |
| | 335 |
| | 0 |
| | 335 |
| U.S. corporate public securities | 2,749 |
| | 0 |
| | 2,749 |
| | 2,961 |
| | 0 |
| | 2,961 |
| Foreign corporate public securities | 612 |
| | 0 |
| | 612 |
| | 655 |
| | 0 |
| | 655 |
| Residential mortgage-backed securities | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| | 0 |
| Equity securities | 136 |
| | 0 |
| | 136 |
| | 178 |
| | 0 |
| | 178 |
| Total cash collateral for loaned securities(1) | $ | 4,146 |
| | $ | 161 |
| | $ | 4,307 |
| | $ | 4,319 |
| | $ | 35 |
| | $ | 4,354 |
|
__________ | | (1) | The Company did not have any agreements with remaining contractual maturities of thirty days or greater, as of the dates indicated. |
|