| Investments |
(4) Investments
(a) Net Investment Income
Sources of net investment income were as follows for the years
ended December 31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Amounts in millions)
|
|
2015 |
|
|
2014 |
|
|
2013 |
|
|
Fixed maturity securities—taxable
|
|
$ |
2,558 |
|
|
$ |
2,598 |
|
|
$ |
2,603 |
|
|
Fixed maturity securities—non-taxable
|
|
|
12 |
|
|
|
12 |
|
|
|
9 |
|
|
Commercial mortgage loans
|
|
|
337 |
|
|
|
333 |
|
|
|
335 |
|
|
Restricted commercial mortgage loans related to securitization
entities (1)
|
|
|
14 |
|
|
|
14 |
|
|
|
23 |
|
|
Equity securities
|
|
|
15 |
|
|
|
14 |
|
|
|
17 |
|
|
Other invested assets (2)
|
|
|
135 |
|
|
|
105 |
|
|
|
108 |
|
|
Restricted other invested assets related to securitization
entities (1)
|
|
|
5 |
|
|
|
5 |
|
|
|
4 |
|
|
Policy loans
|
|
|
137 |
|
|
|
129 |
|
|
|
129 |
|
|
Cash, cash equivalents and short-term investments
|
|
|
13 |
|
|
|
24 |
|
|
|
19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross investment income before expenses and fees
|
|
|
3,226 |
|
|
|
3,234 |
|
|
|
3,247 |
|
|
Expenses and fees
|
|
|
(88 |
) |
|
|
(92 |
) |
|
|
(92 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$ |
3,138 |
|
|
$ |
3,142 |
|
|
$ |
3,155 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
See note 17 for additional
information related to consolidated securitization entities. |
| (2) |
Included in other invested assets was
$9 million, $8 million and $13 million of net investment income
related to trading securities for the years ended December 31,
2015, 2014 and 2013, respectively. |
(b) Net Investment Gains (Losses)
The following table sets forth net investment gains (losses) for
the years ended December 31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Amounts in millions)
|
|
2015 |
|
|
2014 |
|
|
2013 |
|
|
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized gains
|
|
$ |
102 |
|
|
$ |
72 |
|
|
$ |
149 |
|
|
Realized losses
|
|
|
(82 |
) |
|
|
(46 |
) |
|
|
(184 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on available-for-sale securities
|
|
|
20 |
|
|
|
26 |
|
|
|
(35 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impairments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total other-than-temporary impairments
|
|
|
(28 |
) |
|
|
(9 |
) |
|
|
(16 |
) |
|
Portion of other-than-temporary impairments included in other
comprehensive income (loss)
|
|
|
1 |
|
|
|
— |
|
|
|
(9 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net other-than-temporary impairments
|
|
|
(27 |
) |
|
|
(9 |
) |
|
|
(25 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading securities
|
|
|
(7 |
) |
|
|
39 |
|
|
|
(23 |
) |
|
Commercial mortgage loans
|
|
|
7 |
|
|
|
11 |
|
|
|
4 |
|
|
Net gains (losses) related to securitization entities (1)
|
|
|
5 |
|
|
|
16 |
|
|
|
69 |
|
|
Derivative instruments (2)
|
|
|
(76 |
) |
|
|
(103 |
) |
|
|
(49 |
) |
|
Contingent consideration adjustment
|
|
|
2 |
|
|
|
(2 |
) |
|
|
— |
|
|
Other
|
|
|
1 |
|
|
|
— |
|
|
|
(5 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment gains (losses)
|
|
$ |
(75 |
) |
|
$ |
(22 |
) |
|
$ |
(64 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
See note 17 for additional
information related to consolidated securitization entities. |
| (2) |
See note 5 for additional information
on the impact of derivative instruments included in net investment
gains (losses). |
We generally intend to hold securities in unrealized loss positions
until they recover. However, from time to time, our intent on an
individual security may change, based upon market or other
unforeseen developments. In such instances, we sell securities in
the ordinary course of managing our portfolio to meet
diversification, credit quality, yield and liquidity requirements.
If a loss is recognized from a sale subsequent to a balance sheet
date due to these unexpected developments, the loss is recognized
in the period in which we determined that we have the intent to
sell the securities or it is more likely than not that we will be
required to sell the securities prior to recovery. The aggregate
fair value of securities sold at a loss during the years ended
December 31, 2015, 2014 and 2013 was $1,827 million, $857
million and $1,743 million, respectively, which was approximately
96%, 95% and 91%, respectively, of book value.
The following represents the activity for credit losses recognized
in net income (loss) on debt securities where an
other-than-temporary impairment was identified and a portion of
other-than-temporary impairments was included in OCI as of and for
the years ended December 31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Amounts in millions)
|
|
2015 |
|
|
2014 |
|
|
2013 |
|
|
Beginning balance
|
|
$ |
83 |
|
|
$ |
101 |
|
|
$ |
387 |
|
|
Additions:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other-than-temporary impairments not previously recognized
|
|
|
— |
|
|
|
1 |
|
|
|
4 |
|
|
Increases related to other-than-temporary impairments previously
recognized
|
|
|
— |
|
|
|
1 |
|
|
|
11 |
|
|
Reductions:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities sold, paid down or disposed
|
|
|
(19 |
) |
|
|
(20 |
) |
|
|
(301 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ending balance
|
|
$ |
64 |
|
|
$ |
83 |
|
|
$ |
101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(c) Unrealized Investment Gains and Losses
Net unrealized gains and losses on available-for-sale investment
securities reflected as a separate component of accumulated other
comprehensive income (loss) were as follows as of
December 31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Amounts in millions)
|
|
2015 |
|
|
2014 |
|
|
2013 |
|
|
Net unrealized gains (losses) on investment securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed maturity securities
|
|
$ |
3,140 |
|
|
$ |
5,560 |
|
|
$ |
2,346 |
|
|
Equity securities
|
|
|
(10 |
) |
|
|
32 |
|
|
|
23 |
|
|
Other invested assets
|
|
|
— |
|
|
|
(2 |
) |
|
|
(4 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
|
3,130 |
|
|
|
5,590 |
|
|
|
2,365 |
|
|
Adjustments to DAC, PVFP, sales inducements and benefit
reserves
|
|
|
(1,070 |
) |
|
|
(1,656 |
) |
|
|
(869 |
) |
|
Income taxes, net
|
|
|
(711 |
) |
|
|
(1,372 |
) |
|
|
(517 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized investment gains (losses)
|
|
|
1,349 |
|
|
|
2,562 |
|
|
|
979 |
|
|
Less: net unrealized investment gains (losses) attributable to
noncontrolling interests
|
|
|
95 |
|
|
|
109 |
|
|
|
53 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized investment gains (losses) attributable to Genworth
Financial, Inc.
|
|
$ |
1,254 |
|
|
$ |
2,453 |
|
|
$ |
926 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The change in net unrealized gains (losses) on available-for-sale
investment securities reported in accumulated other comprehensive
income (loss) was as follows as of and for the years ended
December 31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Amounts in millions)
|
|
2015 |
|
|
2014 |
|
|
2013 |
|
|
Beginning balance
|
|
$ |
2,453 |
|
|
$ |
926 |
|
|
$ |
2,638 |
|
|
Unrealized gains (losses) arising during the period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized gains (losses) on investment securities
|
|
|
(2,467 |
) |
|
|
3,244 |
|
|
|
(3,780 |
) |
|
Adjustment to DAC
|
|
|
177 |
|
|
|
(172 |
) |
|
|
248 |
|
|
Adjustment to PVFP
|
|
|
89 |
|
|
|
(66 |
) |
|
|
95 |
|
|
Adjustment to sales inducements
|
|
|
30 |
|
|
|
(15 |
) |
|
|
40 |
|
|
Adjustment to benefit reserves
|
|
|
290 |
|
|
|
(534 |
) |
|
|
673 |
|
|
Provision for income taxes
|
|
|
663 |
|
|
|
(862 |
) |
|
|
952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in unrealized gains (losses) on investment securities
|
|
|
(1,218 |
) |
|
|
1,595 |
|
|
|
(1,772 |
) |
|
Reclassification adjustments to net investment (gains) losses, net
of taxes of $(2), $7 and $(12)
|
|
|
5 |
|
|
|
(12 |
) |
|
|
21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in net unrealized investment gains (losses)
|
|
|
(1,213 |
) |
|
|
1,583 |
|
|
|
(1,751 |
) |
|
Less: change in net unrealized investment gains (losses)
attributable to noncontrolling interests
|
|
|
(14 |
) |
|
|
56 |
|
|
|
(39 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ending balance
|
|
$ |
1,254 |
|
|
$ |
2,453 |
|
|
$ |
926 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(d) Fixed Maturity and Equity Securities
As of December 31, 2015, the amortized cost or cost, gross
unrealized gains (losses) and fair value of our fixed maturity and
equity securities classified as available-for-sale were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Amortized
cost or
cost |
|
|
Gross unrealized gains |
|
|
Gross unrealized losses |
|
|
Fair
value |
|
|
(Amounts in millions)
|
|
|
Not other-than-
temporarily
impaired |
|
|
Other-than-
temporarily
impaired |
|
|
Not other-than-
temporarily
impaired |
|
|
Other-than-
temporarily
impaired |
|
|
|
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government, agencies and government-sponsored enterprises
|
|
$ |
5,487 |
|
|
$ |
732 |
|
|
$ |
— |
|
|
$ |
(16 |
) |
|
$ |
— |
|
|
$ |
6,203 |
|
|
State and political subdivisions
|
|
|
2,287 |
|
|
|
181 |
|
|
|
— |
|
|
|
(30 |
) |
|
|
— |
|
|
|
2,438 |
|
|
Non-U.S. government
|
|
|
1,910 |
|
|
|
110 |
|
|
|
— |
|
|
|
(5 |
) |
|
|
— |
|
|
|
2,015 |
|
|
U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities
|
|
|
3,355 |
|
|
|
364 |
|
|
|
— |
|
|
|
(26 |
) |
|
|
— |
|
|
|
3,693 |
|
|
Energy
|
|
|
2,560 |
|
|
|
103 |
|
|
|
— |
|
|
|
(162 |
) |
|
|
— |
|
|
|
2,501 |
|
|
Finance and insurance
|
|
|
5,268 |
|
|
|
392 |
|
|
|
15 |
|
|
|
(43 |
) |
|
|
— |
|
|
|
5,632 |
|
|
Consumer—non-cyclical
|
|
|
3,755 |
|
|
|
371 |
|
|
|
— |
|
|
|
(30 |
) |
|
|
— |
|
|
|
4,096 |
|
|
Technology and communications
|
|
|
2,108 |
|
|
|
123 |
|
|
|
— |
|
|
|
(38 |
) |
|
|
— |
|
|
|
2,193 |
|
|
Industrial
|
|
|
1,164 |
|
|
|
53 |
|
|
|
— |
|
|
|
(44 |
) |
|
|
— |
|
|
|
1,173 |
|
|
Capital goods
|
|
|
1,774 |
|
|
|
188 |
|
|
|
— |
|
|
|
(12 |
) |
|
|
— |
|
|
|
1,950 |
|
|
Consumer—cyclical
|
|
|
1,602 |
|
|
|
95 |
|
|
|
— |
|
|
|
(22 |
) |
|
|
— |
|
|
|
1,675 |
|
|
Transportation
|
|
|
1,023 |
|
|
|
75 |
|
|
|
— |
|
|
|
(12 |
) |
|
|
— |
|
|
|
1,086 |
|
|
Other
|
|
|
385 |
|
|
|
22 |
|
|
|
— |
|
|
|
(5 |
) |
|
|
— |
|
|
|
402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. corporate
|
|
|
22,994 |
|
|
|
1,786 |
|
|
|
15 |
|
|
|
(394 |
) |
|
|
— |
|
|
|
24,401 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities
|
|
|
815 |
|
|
|
37 |
|
|
|
— |
|
|
|
(9 |
) |
|
|
— |
|
|
|
843 |
|
|
Energy
|
|
|
1,700 |
|
|
|
64 |
|
|
|
— |
|
|
|
(78 |
) |
|
|
— |
|
|
|
1,686 |
|
|
Finance and insurance
|
|
|
2,327 |
|
|
|
152 |
|
|
|
2 |
|
|
|
(8 |
) |
|
|
— |
|
|
|
2,473 |
|
|
Consumer—non-cyclical
|
|
|
746 |
|
|
|
24 |
|
|
|
— |
|
|
|
(18 |
) |
|
|
— |
|
|
|
752 |
|
|
Technology and communications
|
|
|
978 |
|
|
|
36 |
|
|
|
— |
|
|
|
(26 |
) |
|
|
— |
|
|
|
988 |
|
|
Industrial
|
|
|
1,063 |
|
|
|
19 |
|
|
|
— |
|
|
|
(96 |
) |
|
|
— |
|
|
|
986 |
|
|
Capital goods
|
|
|
602 |
|
|
|
19 |
|
|
|
— |
|
|
|
(17 |
) |
|
|
— |
|
|
|
604 |
|
|
Consumer—cyclical
|
|
|
522 |
|
|
|
8 |
|
|
|
— |
|
|
|
(4 |
) |
|
|
— |
|
|
|
526 |
|
|
Transportation
|
|
|
559 |
|
|
|
52 |
|
|
|
— |
|
|
|
(6 |
) |
|
|
— |
|
|
|
605 |
|
|
Other
|
|
|
2,574 |
|
|
|
187 |
|
|
|
— |
|
|
|
(25 |
) |
|
|
— |
|
|
|
2,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total non-U.S. corporate
|
|
|
11,886 |
|
|
|
598 |
|
|
|
2 |
|
|
|
(287 |
) |
|
|
— |
|
|
|
12,199 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage-backed
|
|
|
4,777 |
|
|
|
330 |
|
|
|
11 |
|
|
|
(17 |
) |
|
|
— |
|
|
|
5,101 |
|
|
Commercial mortgage-backed
|
|
|
2,492 |
|
|
|
84 |
|
|
|
3 |
|
|
|
(20 |
) |
|
|
— |
|
|
|
2,559 |
|
|
Other asset-backed
|
|
|
3,328 |
|
|
|
11 |
|
|
|
1 |
|
|
|
(59 |
) |
|
|
— |
|
|
|
3,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fixed maturity securities
|
|
|
55,161 |
|
|
|
3,832 |
|
|
|
32 |
|
|
|
(828 |
) |
|
|
— |
|
|
|
58,197 |
|
|
Equity securities
|
|
|
325 |
|
|
|
8 |
|
|
|
— |
|
|
|
(23 |
) |
|
|
— |
|
|
|
310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total available-for-sale securities
|
|
$ |
55,486 |
|
|
$ |
3,840 |
|
|
$ |
32 |
|
|
$ |
(851 |
) |
|
$ |
— |
|
|
$ |
58,507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2014, the amortized cost or cost, gross
unrealized gains (losses) and fair value of our fixed maturity and
equity securities classified as available-for-sale were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Amortized
cost or
cost |
|
|
Gross unrealized gains |
|
|
Gross unrealized losses |
|
|
Fair
value |
|
|
(Amounts in millions)
|
|
|
Not other-than-
temporarily
impaired |
|
|
Other-than-
temporarily
impaired |
|
|
Not other-than-
temporarily
impaired |
|
|
Other-than-
temporarily
impaired |
|
|
|
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government, agencies and government-sponsored enterprises
|
|
$ |
5,006 |
|
|
$ |
995 |
|
|
$ |
— |
|
|
$ |
(1 |
) |
|
$ |
— |
|
|
$ |
6,000 |
|
|
State and political subdivisions
|
|
|
2,013 |
|
|
|
236 |
|
|
|
— |
|
|
|
(27 |
) |
|
|
— |
|
|
|
2,222 |
|
|
Non-U.S. government
|
|
|
1,761 |
|
|
|
143 |
|
|
|
— |
|
|
|
(2 |
) |
|
|
— |
|
|
|
1,902 |
|
|
U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities
|
|
|
3,292 |
|
|
|
577 |
|
|
|
— |
|
|
|
(5 |
) |
|
|
— |
|
|
|
3,864 |
|
|
Energy
|
|
|
2,498 |
|
|
|
265 |
|
|
|
— |
|
|
|
(21 |
) |
|
|
— |
|
|
|
2,742 |
|
|
Finance and insurance
|
|
|
5,102 |
|
|
|
537 |
|
|
|
20 |
|
|
|
(13 |
) |
|
|
— |
|
|
|
5,646 |
|
|
Consumer—non-cyclical
|
|
|
3,483 |
|
|
|
538 |
|
|
|
— |
|
|
|
(8 |
) |
|
|
— |
|
|
|
4,013 |
|
|
Technology and communications
|
|
|
2,112 |
|
|
|
217 |
|
|
|
— |
|
|
|
(4 |
) |
|
|
— |
|
|
|
2,325 |
|
|
Industrial
|
|
|
1,195 |
|
|
|
100 |
|
|
|
— |
|
|
|
(8 |
) |
|
|
— |
|
|
|
1,287 |
|
|
Capital goods
|
|
|
1,748 |
|
|
|
263 |
|
|
|
— |
|
|
|
(5 |
) |
|
|
— |
|
|
|
2,006 |
|
|
Consumer—cyclical
|
|
|
1,750 |
|
|
|
158 |
|
|
|
— |
|
|
|
(8 |
) |
|
|
— |
|
|
|
1,900 |
|
|
Transportation
|
|
|
929 |
|
|
|
114 |
|
|
|
— |
|
|
|
(4 |
) |
|
|
— |
|
|
|
1,039 |
|
|
Other
|
|
|
370 |
|
|
|
31 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
401 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. corporate
|
|
|
22,479 |
|
|
|
2,800 |
|
|
|
20 |
|
|
|
(76 |
) |
|
|
— |
|
|
|
25,223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities
|
|
|
857 |
|
|
|
48 |
|
|
|
— |
|
|
|
(2 |
) |
|
|
— |
|
|
|
903 |
|
|
Energy
|
|
|
1,911 |
|
|
|
163 |
|
|
|
— |
|
|
|
(38 |
) |
|
|
— |
|
|
|
2,036 |
|
|
Finance and insurance
|
|
|
2,757 |
|
|
|
203 |
|
|
|
— |
|
|
|
(3 |
) |
|
|
— |
|
|
|
2,957 |
|
|
Consumer—non-cyclical
|
|
|
764 |
|
|
|
41 |
|
|
|
— |
|
|
|
(9 |
) |
|
|
— |
|
|
|
796 |
|
|
Technology and communications
|
|
|
986 |
|
|
|
71 |
|
|
|
— |
|
|
|
(4 |
) |
|
|
— |
|
|
|
1,053 |
|
|
Industrial
|
|
|
1,166 |
|
|
|
65 |
|
|
|
— |
|
|
|
(18 |
) |
|
|
— |
|
|
|
1,213 |
|
|
Capital goods
|
|
|
592 |
|
|
|
31 |
|
|
|
— |
|
|
|
(5 |
) |
|
|
— |
|
|
|
618 |
|
|
Consumer—cyclical
|
|
|
520 |
|
|
|
14 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
534 |
|
|
Transportation
|
|
|
521 |
|
|
|
70 |
|
|
|
— |
|
|
|
(1 |
) |
|
|
— |
|
|
|
590 |
|
|
Other
|
|
|
3,153 |
|
|
|
257 |
|
|
|
— |
|
|
|
(15 |
) |
|
|
— |
|
|
|
3,395 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total non-U.S. corporate
|
|
|
13,227 |
|
|
|
963 |
|
|
|
— |
|
|
|
(95 |
) |
|
|
— |
|
|
|
14,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage-backed
|
|
|
4,871 |
|
|
|
362 |
|
|
|
13 |
|
|
|
(17 |
) |
|
|
(1 |
) |
|
|
5,228 |
|
|
Commercial mortgage-backed
|
|
|
2,564 |
|
|
|
143 |
|
|
|
4 |
|
|
|
(9 |
) |
|
|
— |
|
|
|
2,702 |
|
|
Other asset-backed
|
|
|
3,735 |
|
|
|
23 |
|
|
|
1 |
|
|
|
(54 |
) |
|
|
— |
|
|
|
3,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fixed maturity securities
|
|
|
55,656 |
|
|
|
5,665 |
|
|
|
38 |
|
|
|
(281 |
) |
|
|
(1 |
) |
|
|
61,077 |
|
|
Equity securities
|
|
|
250 |
|
|
|
32 |
|
|
|
— |
|
|
|
(7 |
) |
|
|
— |
|
|
|
275 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total available-for-sale securities
|
|
$ |
55,906 |
|
|
$ |
5,697 |
|
|
$ |
38 |
|
|
$ |
(288 |
) |
|
$ |
(1 |
) |
|
$ |
61,352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table presents the gross unrealized losses and fair
values of our investment securities, aggregated by investment type
and length of time that individual investment securities have been
in a continuous unrealized loss position, as of December 31,
2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Less than 12 months |
|
|
12 months or more |
|
|
Total |
|
|
(Dollar amounts in millions)
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
Number of
securities |
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
Number of
securities |
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
Number of
securities |
|
|
Description of Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government, agencies and government-sponsored enterprises
|
|
$ |
883 |
|
|
$ |
(16 |
) |
|
|
32 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
— |
|
|
$ |
883 |
|
|
$ |
(16 |
) |
|
|
32 |
|
|
State and political subdivisions
|
|
|
464 |
|
|
|
(15 |
) |
|
|
81 |
|
|
|
163 |
|
|
|
(15 |
) |
|
|
17 |
|
|
|
627 |
|
|
|
(30 |
) |
|
|
98 |
|
|
Non-U.S. government
|
|
|
366 |
|
|
|
(5 |
) |
|
|
49 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
366 |
|
|
|
(5 |
) |
|
|
49 |
|
|
U.S. corporate
|
|
|
5,836 |
|
|
|
(332 |
) |
|
|
817 |
|
|
|
466 |
|
|
|
(62 |
) |
|
|
83 |
|
|
|
6,302 |
|
|
|
(394 |
) |
|
|
900 |
|
|
Non-U.S. corporate
|
|
|
3,016 |
|
|
|
(170 |
) |
|
|
400 |
|
|
|
486 |
|
|
|
(117 |
) |
|
|
87 |
|
|
|
3,502 |
|
|
|
(287 |
) |
|
|
487 |
|
|
Residential mortgage-backed
|
|
|
756 |
|
|
|
(10 |
) |
|
|
88 |
|
|
|
103 |
|
|
|
(7 |
) |
|
|
38 |
|
|
|
859 |
|
|
|
(17 |
) |
|
|
126 |
|
|
Commercial mortgage-backed
|
|
|
780 |
|
|
|
(19 |
) |
|
|
116 |
|
|
|
39 |
|
|
|
(1 |
) |
|
|
13 |
|
|
|
819 |
|
|
|
(20 |
) |
|
|
129 |
|
|
Other asset-backed
|
|
|
1,944 |
|
|
|
(22 |
) |
|
|
349 |
|
|
|
336 |
|
|
|
(37 |
) |
|
|
55 |
|
|
|
2,280 |
|
|
|
(59 |
) |
|
|
404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal, fixed maturity securities
|
|
|
14,045 |
|
|
|
(589 |
) |
|
|
1,932 |
|
|
|
1,593 |
|
|
|
(239 |
) |
|
|
293 |
|
|
|
15,638 |
|
|
|
(828 |
) |
|
|
2,225 |
|
|
Equity securities
|
|
|
153 |
|
|
|
(23 |
) |
|
|
64 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
153 |
|
|
|
(23 |
) |
|
|
64 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total for securities in an unrealized loss position
|
|
$ |
14,198 |
|
|
$ |
(612 |
) |
|
|
1,996 |
|
|
$ |
1,593 |
|
|
$ |
(239 |
) |
|
|
293 |
|
|
$ |
15,791 |
|
|
$ |
(851 |
) |
|
|
2,289 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% Below cost—fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
<20% Below cost
|
|
$ |
13,726 |
|
|
$ |
(472 |
) |
|
|
1,877 |
|
|
$ |
1,259 |
|
|
$ |
(78 |
) |
|
|
238 |
|
|
$ |
14,985 |
|
|
$ |
(550 |
) |
|
|
2,115 |
|
|
20%-50% Below cost
|
|
|
319 |
|
|
|
(116 |
) |
|
|
54 |
|
|
|
316 |
|
|
|
(139 |
) |
|
|
50 |
|
|
|
635 |
|
|
|
(255 |
) |
|
|
104 |
|
|
>50% Below cost
|
|
|
— |
|
|
|
(1 |
) |
|
|
1 |
|
|
|
18 |
|
|
|
(22 |
) |
|
|
5 |
|
|
|
18 |
|
|
|
(23 |
) |
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fixed maturity securities
|
|
|
14,045 |
|
|
|
(589 |
) |
|
|
1,932 |
|
|
|
1,593 |
|
|
|
(239 |
) |
|
|
293 |
|
|
|
15,638 |
|
|
|
(828 |
) |
|
|
2,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% Below cost—equity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
<20% Below cost
|
|
|
133 |
|
|
|
(18 |
) |
|
|
56 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
133 |
|
|
|
(18 |
) |
|
|
56 |
|
|
20%-50% Below cost
|
|
|
20 |
|
|
|
(5 |
) |
|
|
8 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
20 |
|
|
|
(5 |
) |
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total equity securities
|
|
|
153 |
|
|
|
(23 |
) |
|
|
64 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
153 |
|
|
|
(23 |
) |
|
|
64 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total for securities in an unrealized loss position
|
|
$ |
14,198 |
|
|
$ |
(612 |
) |
|
|
1,996 |
|
|
$ |
1,593 |
|
|
$ |
(239 |
) |
|
|
293 |
|
|
$ |
15,791 |
|
|
$ |
(851 |
) |
|
|
2,289 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade
|
|
$ |
13,342 |
|
|
$ |
(524 |
) |
|
|
1,834 |
|
|
$ |
1,245 |
|
|
$ |
(135 |
) |
|
|
225 |
|
|
$ |
14,587 |
|
|
$ |
(659 |
) |
|
|
2,059 |
|
|
Below investment grade
|
|
|
856 |
|
|
|
(88 |
) |
|
|
162 |
|
|
|
348 |
|
|
|
(104 |
) |
|
|
68 |
|
|
|
1,204 |
|
|
|
(192 |
) |
|
|
230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total for securities in an unrealized loss position
|
|
$ |
14,198 |
|
|
$ |
(612 |
) |
|
|
1,996 |
|
|
$ |
1,593 |
|
|
$ |
(239 |
) |
|
|
293 |
|
|
$ |
15,791 |
|
|
$ |
(851 |
) |
|
|
2,289 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table presents the gross unrealized losses and fair
values of our corporate securities, aggregated by investment type
and length of time that individual investment securities have been
in a continuous unrealized loss position, based on industry, as of
December 31, 2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Less than 12 months |
|
|
12 months or more |
|
|
Total |
|
|
(Dollar amounts in millions)
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
Number of
securities |
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
Number of
securities |
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
Number of
securities |
|
|
Description of Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities
|
|
$ |
485 |
|
|
$ |
(25 |
) |
|
|
74 |
|
|
$ |
14 |
|
|
$ |
(1 |
) |
|
|
7 |
|
|
$ |
499 |
|
|
$ |
(26 |
) |
|
|
81 |
|
|
Energy
|
|
|
1,162 |
|
|
|
(134 |
) |
|
|
163 |
|
|
|
131 |
|
|
|
(28 |
) |
|
|
22 |
|
|
|
1,293 |
|
|
|
(162 |
) |
|
|
185 |
|
|
Finance and insurance
|
|
|
1,142 |
|
|
|
(35 |
) |
|
|
160 |
|
|
|
94 |
|
|
|
(8 |
) |
|
|
15 |
|
|
|
1,236 |
|
|
|
(43 |
) |
|
|
175 |
|
|
Consumer—non-cyclical
|
|
|
836 |
|
|
|
(26 |
) |
|
|
107 |
|
|
|
51 |
|
|
|
(4 |
) |
|
|
10 |
|
|
|
887 |
|
|
|
(30 |
) |
|
|
117 |
|
|
Technology and communications
|
|
|
658 |
|
|
|
(36 |
) |
|
|
95 |
|
|
|
23 |
|
|
|
(2 |
) |
|
|
5 |
|
|
|
681 |
|
|
|
(38 |
) |
|
|
100 |
|
|
Industrial
|
|
|
476 |
|
|
|
(33 |
) |
|
|
64 |
|
|
|
44 |
|
|
|
(11 |
) |
|
|
9 |
|
|
|
520 |
|
|
|
(44 |
) |
|
|
73 |
|
|
Capital goods
|
|
|
293 |
|
|
|
(10 |
) |
|
|
48 |
|
|
|
26 |
|
|
|
(2 |
) |
|
|
4 |
|
|
|
319 |
|
|
|
(12 |
) |
|
|
52 |
|
|
Consumer—cyclical
|
|
|
427 |
|
|
|
(18 |
) |
|
|
60 |
|
|
|
63 |
|
|
|
(4 |
) |
|
|
10 |
|
|
|
490 |
|
|
|
(22 |
) |
|
|
70 |
|
|
Transportation
|
|
|
273 |
|
|
|
(10 |
) |
|
|
38 |
|
|
|
20 |
|
|
|
(2 |
) |
|
|
1 |
|
|
|
293 |
|
|
|
(12 |
) |
|
|
39 |
|
|
Other
|
|
|
84 |
|
|
|
(5 |
) |
|
|
8 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
84 |
|
|
|
(5 |
) |
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal, U.S. corporate securities
|
|
|
5,836 |
|
|
|
(332 |
) |
|
|
817 |
|
|
|
466 |
|
|
|
(62 |
) |
|
|
83 |
|
|
|
6,302 |
|
|
|
(394 |
) |
|
|
900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities
|
|
|
130 |
|
|
|
(6 |
) |
|
|
20 |
|
|
|
32 |
|
|
|
(3 |
) |
|
|
6 |
|
|
|
162 |
|
|
|
(9 |
) |
|
|
26 |
|
|
Energy
|
|
|
589 |
|
|
|
(48 |
) |
|
|
71 |
|
|
|
127 |
|
|
|
(30 |
) |
|
|
20 |
|
|
|
716 |
|
|
|
(78 |
) |
|
|
91 |
|
|
Finance and insurance
|
|
|
478 |
|
|
|
(7 |
) |
|
|
77 |
|
|
|
30 |
|
|
|
(1 |
) |
|
|
8 |
|
|
|
508 |
|
|
|
(8 |
) |
|
|
85 |
|
|
Consumer—non-cyclical
|
|
|
261 |
|
|
|
(14 |
) |
|
|
27 |
|
|
|
37 |
|
|
|
(4 |
) |
|
|
4 |
|
|
|
298 |
|
|
|
(18 |
) |
|
|
31 |
|
|
Technology and communications
|
|
|
324 |
|
|
|
(15 |
) |
|
|
37 |
|
|
|
33 |
|
|
|
(11 |
) |
|
|
9 |
|
|
|
357 |
|
|
|
(26 |
) |
|
|
46 |
|
|
Industrial
|
|
|
495 |
|
|
|
(54 |
) |
|
|
67 |
|
|
|
110 |
|
|
|
(42 |
) |
|
|
18 |
|
|
|
605 |
|
|
|
(96 |
) |
|
|
85 |
|
|
Capital goods
|
|
|
154 |
|
|
|
(8 |
) |
|
|
22 |
|
|
|
41 |
|
|
|
(9 |
) |
|
|
9 |
|
|
|
195 |
|
|
|
(17 |
) |
|
|
31 |
|
|
Consumer—cyclical
|
|
|
155 |
|
|
|
(4 |
) |
|
|
20 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
155 |
|
|
|
(4 |
) |
|
|
20 |
|
|
Transportation
|
|
|
147 |
|
|
|
(6 |
) |
|
|
17 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
147 |
|
|
|
(6 |
) |
|
|
17 |
|
|
Other
|
|
|
283 |
|
|
|
(8 |
) |
|
|
42 |
|
|
|
76 |
|
|
|
(17 |
) |
|
|
13 |
|
|
|
359 |
|
|
|
(25 |
) |
|
|
55 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal, non-U.S. corporate securities
|
|
|
3,016 |
|
|
|
(170 |
) |
|
|
400 |
|
|
|
486 |
|
|
|
(117 |
) |
|
|
87 |
|
|
|
3,502 |
|
|
|
(287 |
) |
|
|
487 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total for corporate securities in an unrealized loss position
|
|
$ |
8,852 |
|
|
$ |
(502 |
) |
|
|
1,217 |
|
|
$ |
952 |
|
|
$ |
(179 |
) |
|
|
170 |
|
|
$ |
9,804 |
|
|
$ |
(681 |
) |
|
|
1,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As indicated in the tables above, the majority of the securities in
a continuous unrealized loss position for less than 12 months were
investment grade and less than 20% below cost. These unrealized
losses were primarily attributable to the increase in interest
rates, mostly concentrated in our corporate securities. For
securities that have been in a continuous unrealized loss position
for less than 12 months, the average fair value percentage below
cost was approximately 4% as of December 31, 2015.
Fixed Maturity Securities In A Continuous Unrealized Loss
Position For 12 Months Or More
Of the $78 million of unrealized losses on fixed maturity
securities in a continuous unrealized loss for 12 months or more
that were less than 20% below cost, the weighted-average rating was
“BBB+” and approximately 75% of the unrealized losses
were related to investment grade securities as of December 31,
2015. These unrealized losses were predominantly attributable to
corporate securities and state and political subdivision securities
including fixed rate securities purchased in a lower rate
environment and variable rate securities purchased in a higher rate
and lower spread environment. The average fair value percentage
below cost for these securities was approximately 6% as of
December 31, 2015. See below for additional discussion related
to fixed maturity securities that have been in a continuous
unrealized loss position for 12 months or more with a fair value
that was more than 20% below cost.
The following tables present the concentration of gross unrealized
losses and fair values of fixed maturity securities that were more
than 20% below cost and in a continuous unrealized loss position
for 12 months or more by asset class as of December 31,
2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Investment Grade |
|
| |
|
20% to 50% |
|
|
Greater than 50% |
|
|
(Dollar amounts in millions)
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
% of total
gross
unrealized
losses |
|
|
Number of
securities |
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
% of total
gross
unrealized
losses |
|
|
Number of
securities |
|
|
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
State and political subdivisions
|
|
$ |
9 |
|
|
$ |
(3 |
) |
|
|
— |
% |
|
|
1 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
— |
% |
|
|
— |
|
|
U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
23 |
|
|
|
(8 |
) |
|
|
1 |
|
|
|
4 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Industrial
|
|
|
18 |
|
|
|
(9 |
) |
|
|
1 |
|
|
|
3 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. corporate
|
|
|
41 |
|
|
|
(17 |
) |
|
|
2 |
|
|
|
7 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities
|
|
|
8 |
|
|
|
(2 |
) |
|
|
— |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Energy
|
|
|
21 |
|
|
|
(8 |
) |
|
|
1 |
|
|
|
2 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Industrial
|
|
|
29 |
|
|
|
(14 |
) |
|
|
2 |
|
|
|
4 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Capital goods
|
|
|
6 |
|
|
|
(5 |
) |
|
|
1 |
|
|
|
2 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Other
|
|
|
5 |
|
|
|
(2 |
) |
|
|
— |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total non-U.S. corporate
|
|
|
69 |
|
|
|
(31 |
) |
|
|
4 |
|
|
|
10 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other asset-backed
|
|
|
66 |
|
|
|
(25 |
) |
|
|
3 |
|
|
|
4 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total structured securities
|
|
|
66 |
|
|
|
(25 |
) |
|
|
3 |
|
|
|
4 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
185 |
|
|
$ |
(76 |
) |
|
|
9 |
% |
|
|
22 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
— |
% |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Below Investment Grade |
|
| |
|
20% to 50% |
|
|
Greater than 50% |
|
|
(Dollar amounts in millions)
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
% of total
gross
unrealized
losses |
|
|
Number
of
securities |
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
% of total
gross
unrealized
losses |
|
|
Number
of
securities |
|
|
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
$ |
21 |
|
|
$ |
(9 |
) |
|
|
1 |
% |
|
|
6 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
— |
% |
|
|
— |
|
|
Finance and insurance
|
|
|
7 |
|
|
|
(3 |
) |
|
|
1 |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Technology and communications
|
|
|
5 |
|
|
|
(2 |
) |
|
|
— |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Industrial
|
|
|
4 |
|
|
|
(1 |
) |
|
|
— |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. corporate
|
|
|
37 |
|
|
|
(15 |
) |
|
|
2 |
|
|
|
9 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
44 |
|
|
|
(20 |
) |
|
|
2 |
|
|
|
8 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Technology and communications
|
|
|
5 |
|
|
|
(4 |
) |
|
|
1 |
|
|
|
2 |
|
|
|
4 |
|
|
|
(5 |
) |
|
|
1 |
|
|
|
1 |
|
|
Industrial
|
|
|
10 |
|
|
|
(6 |
) |
|
|
1 |
|
|
|
2 |
|
|
|
14 |
|
|
|
(17 |
) |
|
|
2 |
|
|
|
4 |
|
|
Capital goods
|
|
|
3 |
|
|
|
(2 |
) |
|
|
1 |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Other
|
|
|
24 |
|
|
|
(10 |
) |
|
|
— |
|
|
|
5 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total non-U.S. corporate
|
|
|
86 |
|
|
|
(42 |
) |
|
|
5 |
|
|
|
18 |
|
|
|
18 |
|
|
|
(22 |
) |
|
|
3 |
|
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other asset-backed
|
|
|
8 |
|
|
|
(6 |
) |
|
|
1 |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total structured securities
|
|
|
8 |
|
|
|
(6 |
) |
|
|
1 |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
131 |
|
|
$ |
(63 |
) |
|
|
8 |
% |
|
|
28 |
|
|
$ |
18 |
|
|
$ |
(22 |
) |
|
|
3 |
% |
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For all securities in an unrealized loss position, we expect to
recover the amortized cost based on our estimate of the amount and
timing of cash flows to be collected. We do not intend to sell nor
do we expect that we will be required to sell these securities
prior to recovering our amortized cost. See below for further
discussion of gross unrealized losses by asset class.
Non-U.S. corporate
As indicated above, $95 million of gross unrealized losses were
related to non-U.S. corporate fixed maturity securities that have
been in an unrealized loss position for more than 12 months and
were more than 20% below cost. Of the total unrealized losses for
non-U.S. corporate fixed maturity securities, $37 million, or 39%,
related to the industrial sector and $28 million, or 29%, related
to the energy sector. Reduced overseas demand for metals,
particularly copper and oil, has led to a decline in commodities
pricing, adversely impacting the fair value of these
securities.
We expect that our investments in non-U.S. corporate securities
will continue to perform in accordance with our expectations about
the amount and timing of estimated cash flows. Although we do not
anticipate such events, it is reasonably possible that issuers of
our investments in non-U.S. corporate securities may perform worse
than current expectations. Such events may lead us to recognize
write-downs within our portfolio of non-U.S. corporate securities
in the future.
While we considered the length of time each security had been in an
unrealized loss position, the extent of the unrealized loss
position and any significant declines in fair value subsequent to
the balance sheet date in our evaluation of impairment for each of
these individual securities, the primary factor in our evaluation
of impairment is the expected performance for each of these
securities. Our evaluation of expected performance is based on the
historical performance of the associated securitization trust as
well as the historical performance of the underlying collateral.
Our examination of the historical performance of the securitization
trust included consideration of the following factors for each
class of securities issued by the trust: i) the payment history,
including failure to make scheduled payments; ii) current payment
status; iii) current and historical outstanding balances; iv)
current levels of subordination and losses incurred to date; and v)
characteristics of the underlying collateral. Our examination of
the historical performance of the underlying collateral included:
i) historical default rates, delinquency rates, voluntary and
involuntary prepayments and severity of losses, including recent
trends in this information; ii) current payment status; iii) loan
to collateral value ratios, as applicable; iv) vintage; and v)
other underlying characteristics such as current financial
condition.
We used our assessment of the historical performance of both the
securitization trust and the underlying collateral for each
security, along with third-party sources, when available, to
develop our best estimate of cash flows expected to be collected.
These estimates reflect projections for future delinquencies,
prepayments, defaults and losses for the assets that collateralize
the securitization trust and are used to determine the expected
cash flows for our security, based on the payment structure of the
trust. Our projection of expected cash flows is primarily based on
the expected performance of the underlying assets that
collateralize the securitization trust and is not directly impacted
by the rating of our security. While we consider the rating of the
security as an indicator of the financial condition of the issuer,
this factor does not have a significant impact on our expected cash
flows for each security. In limited circumstances, our expected
cash flows include expected payments from reliable financial
guarantors where we believe the financial guarantor will have
sufficient assets to pay claims under the financial guarantee when
the cash flows from the securitization trust are not sufficient to
make scheduled payments. We then discount the expected cash flows
using the effective yield of each security to determine the present
value of expected cash flows.
Based on this evaluation, the present value of expected cash flows
was greater than or equal to the amortized cost for each security.
Accordingly, we determined that the unrealized losses on each of
our structured securities represented temporary impairments as of
December 31, 2015.
Despite the considerable analysis and rigor employed on our
structured securities, it is reasonably possible that the
underlying collateral of these investments will perform worse than
current market expectations. Such events may lead to adverse
changes in cash flows on our holdings of structured securities and
future write-downs within our portfolio of structured
securities.
The following table presents the gross unrealized losses and fair
values of our investment securities, aggregated by investment type
and length of time that individual investment securities have been
in a continuous unrealized loss position, as of December 31,
2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Less than 12 months |
|
|
12 months or more |
|
|
Total |
|
|
(Dollar amounts in millions)
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
Number of
securities |
|
|
Fair
value |
|
|
Gross
unrealized
losses (1) |
|
|
Number of
securities |
|
|
Fair
value |
|
|
Gross
unrealized
losses (1) |
|
|
Number of
securities |
|
|
Description of Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government, agencies and government-sponsored enterprises
|
|
$ |
— |
|
|
$ |
— |
|
|
|
— |
|
|
$ |
75 |
|
|
$ |
(1 |
) |
|
|
10 |
|
|
$ |
75 |
|
|
$ |
(1 |
) |
|
|
10 |
|
|
State and political subdivision
|
|
|
9 |
|
|
|
— |
|
|
|
7 |
|
|
|
267 |
|
|
|
(27 |
) |
|
|
45 |
|
|
|
276 |
|
|
|
(27 |
) |
|
|
52 |
|
|
Non-U.S. government
|
|
|
64 |
|
|
|
(1 |
) |
|
|
15 |
|
|
|
22 |
|
|
|
(1 |
) |
|
|
4 |
|
|
|
86 |
|
|
|
(2 |
) |
|
|
19 |
|
|
U.S. corporate
|
|
|
1,639 |
|
|
|
(33 |
) |
|
|
231 |
|
|
|
1,201 |
|
|
|
(43 |
) |
|
|
174 |
|
|
|
2,840 |
|
|
|
(76 |
) |
|
|
405 |
|
|
Non-U.S. corporate
|
|
|
1,456 |
|
|
|
(67 |
) |
|
|
199 |
|
|
|
504 |
|
|
|
(28 |
) |
|
|
67 |
|
|
|
1,960 |
|
|
|
(95 |
) |
|
|
266 |
|
|
Residential mortgage-backed
|
|
|
180 |
|
|
|
(1 |
) |
|
|
24 |
|
|
|
249 |
|
|
|
(17 |
) |
|
|
87 |
|
|
|
429 |
|
|
|
(18 |
) |
|
|
111 |
|
|
Commercial mortgage-backed
|
|
|
163 |
|
|
|
— |
|
|
|
21 |
|
|
|
362 |
|
|
|
(9 |
) |
|
|
49 |
|
|
|
525 |
|
|
|
(9 |
) |
|
|
70 |
|
|
Other asset-backed
|
|
|
1,551 |
|
|
|
(12 |
) |
|
|
215 |
|
|
|
487 |
|
|
|
(42 |
) |
|
|
55 |
|
|
|
2,038 |
|
|
|
(54 |
) |
|
|
270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal, fixed maturity securities
|
|
|
5,062 |
|
|
|
(114 |
) |
|
|
712 |
|
|
|
3,167 |
|
|
|
(168 |
) |
|
|
491 |
|
|
|
8,229 |
|
|
|
(282 |
) |
|
|
1,203 |
|
|
Equity securities
|
|
|
30 |
|
|
|
(3 |
) |
|
|
46 |
|
|
|
48 |
|
|
|
(4 |
) |
|
|
6 |
|
|
|
78 |
|
|
|
(7 |
) |
|
|
52 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total for securities in an unrealized loss position
|
|
$ |
5,092 |
|
|
$ |
(117 |
) |
|
|
758 |
|
|
$ |
3,215 |
|
|
$ |
(172 |
) |
|
|
497 |
|
|
$ |
8,307 |
|
|
$ |
(289 |
) |
|
|
1,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% Below cost—fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
<20% Below cost
|
|
$ |
5,025 |
|
|
$ |
(103 |
) |
|
|
708 |
|
|
$ |
3,036 |
|
|
$ |
(114 |
) |
|
|
470 |
|
|
$ |
8,061 |
|
|
$ |
(217 |
) |
|
|
1,178 |
|
|
20%-50% Below cost
|
|
|
37 |
|
|
|
(11 |
) |
|
|
4 |
|
|
|
131 |
|
|
|
(53 |
) |
|
|
15 |
|
|
|
168 |
|
|
|
(64 |
) |
|
|
19 |
|
|
>50% Below cost
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1 |
) |
|
|
6 |
|
|
|
— |
|
|
|
(1 |
) |
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fixed maturity securities
|
|
|
5,062 |
|
|
|
(114 |
) |
|
|
712 |
|
|
|
3,167 |
|
|
|
(168 |
) |
|
|
491 |
|
|
|
8,229 |
|
|
|
(282 |
) |
|
|
1,203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% Below cost—equity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
<20% Below cost
|
|
|
26 |
|
|
|
(2 |
) |
|
|
40 |
|
|
|
48 |
|
|
|
(4 |
) |
|
|
6 |
|
|
|
74 |
|
|
|
(6 |
) |
|
|
46 |
|
|
20%-50% Below cost
|
|
|
4 |
|
|
|
(1 |
) |
|
|
6 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
4 |
|
|
|
(1 |
) |
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total equity securities
|
|
|
30 |
|
|
|
(3 |
) |
|
|
46 |
|
|
|
48 |
|
|
|
(4 |
) |
|
|
6 |
|
|
|
78 |
|
|
|
(7 |
) |
|
|
52 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total for securities in an unrealized loss position
|
|
$ |
5,092 |
|
|
$ |
(117 |
) |
|
|
758 |
|
|
$ |
3,215 |
|
|
$ |
(172 |
) |
|
|
497 |
|
|
$ |
8,307 |
|
|
$ |
(289 |
) |
|
|
1,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade
|
|
$ |
4,501 |
|
|
$ |
(75 |
) |
|
|
631 |
|
|
$ |
2,918 |
|
|
$ |
(145 |
) |
|
|
424 |
|
|
$ |
7,419 |
|
|
$ |
(220 |
) |
|
|
1,055 |
|
|
Below investment grade (2)
|
|
|
591 |
|
|
|
(42 |
) |
|
|
127 |
|
|
|
297 |
|
|
|
(27 |
) |
|
|
73 |
|
|
|
888 |
|
|
|
(69 |
) |
|
|
200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total for securities in an unrealized loss position
|
|
$ |
5,092 |
|
|
$ |
(117 |
) |
|
|
758 |
|
|
$ |
3,215 |
|
|
$ |
(172 |
) |
|
|
497 |
|
|
$ |
8,307 |
|
|
$ |
(289 |
) |
|
|
1,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Amounts included $1 million of
unrealized losses on other-than-temporarily impaired
securities. |
| (2) |
Amounts that have been in a
continuous unrealized loss position for 12 months or more included
$1 million of unrealized losses on other-than-temporarily impaired
securities. |
The following table presents the gross unrealized losses and fair
values of our corporate securities, aggregated by investment type
and length of time that individual investment securities have been
in a continuous unrealized loss position, based on industry, as of
December 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Less than 12 months |
|
|
12 months or more |
|
|
Total |
|
|
(Dollar amounts in millions)
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
Number of
securities |
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
Number of
securities |
|
|
Fair
value |
|
|
Gross
unrealized
losses |
|
|
Number of
securities |
|
|
Description of Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities
|
|
$ |
55 |
|
|
$ |
— |
|
|
|
10 |
|
|
$ |
164 |
|
|
$ |
(5 |
) |
|
|
23 |
|
|
$ |
219 |
|
|
$ |
(5 |
) |
|
|
33 |
|
|
Energy
|
|
|
404 |
|
|
|
(16 |
) |
|
|
56 |
|
|
|
96 |
|
|
|
(5 |
) |
|
|
15 |
|
|
|
500 |
|
|
|
(21 |
) |
|
|
71 |
|
|
Finance and insurance
|
|
|
399 |
|
|
|
(3 |
) |
|
|
56 |
|
|
|
257 |
|
|
|
(10 |
) |
|
|
35 |
|
|
|
656 |
|
|
|
(13 |
) |
|
|
91 |
|
|
Consumer—non-cyclical
|
|
|
160 |
|
|
|
(3 |
) |
|
|
20 |
|
|
|
182 |
|
|
|
(5 |
) |
|
|
32 |
|
|
|
342 |
|
|
|
(8 |
) |
|
|
52 |
|
|
Technology and communications
|
|
|
181 |
|
|
|
(3 |
) |
|
|
27 |
|
|
|
97 |
|
|
|
(1 |
) |
|
|
15 |
|
|
|
278 |
|
|
|
(4 |
) |
|
|
42 |
|
|
Industrial
|
|
|
151 |
|
|
|
(4 |
) |
|
|
21 |
|
|
|
80 |
|
|
|
(4 |
) |
|
|
11 |
|
|
|
231 |
|
|
|
(8 |
) |
|
|
32 |
|
|
Capital goods
|
|
|
85 |
|
|
|
— |
|
|
|
13 |
|
|
|
122 |
|
|
|
(5 |
) |
|
|
18 |
|
|
|
207 |
|
|
|
(5 |
) |
|
|
31 |
|
|
Consumer—cyclical
|
|
|
132 |
|
|
|
(2 |
) |
|
|
17 |
|
|
|
139 |
|
|
|
(6 |
) |
|
|
18 |
|
|
|
271 |
|
|
|
(8 |
) |
|
|
35 |
|
|
Transportation
|
|
|
52 |
|
|
|
(2 |
) |
|
|
9 |
|
|
|
57 |
|
|
|
(2 |
) |
|
|
6 |
|
|
|
109 |
|
|
|
(4 |
) |
|
|
15 |
|
|
Other
|
|
|
20 |
|
|
|
— |
|
|
|
2 |
|
|
|
7 |
|
|
|
— |
|
|
|
1 |
|
|
|
27 |
|
|
|
— |
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal, U.S. corporate securities
|
|
|
1,639 |
|
|
|
(33 |
) |
|
|
231 |
|
|
|
1,201 |
|
|
|
(43 |
) |
|
|
174 |
|
|
|
2,840 |
|
|
|
(76 |
) |
|
|
405 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. corporate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities
|
|
|
79 |
|
|
|
— |
|
|
|
13 |
|
|
|
43 |
|
|
|
(2 |
) |
|
|
5 |
|
|
|
122 |
|
|
|
(2 |
) |
|
|
18 |
|
|
Energy
|
|
|
442 |
|
|
|
(33 |
) |
|
|
57 |
|
|
|
58 |
|
|
|
(5 |
) |
|
|
13 |
|
|
|
500 |
|
|
|
(38 |
) |
|
|
70 |
|
|
Finance and insurance
|
|
|
237 |
|
|
|
(2 |
) |
|
|
32 |
|
|
|
29 |
|
|
|
(1 |
) |
|
|
6 |
|
|
|
266 |
|
|
|
(3 |
) |
|
|
38 |
|
|
Consumer—non-cyclical
|
|
|
134 |
|
|
|
(6 |
) |
|
|
10 |
|
|
|
83 |
|
|
|
(3 |
) |
|
|
9 |
|
|
|
217 |
|
|
|
(9 |
) |
|
|
19 |
|
|
Technology and communications
|
|
|
77 |
|
|
|
(2 |
) |
|
|
13 |
|
|
|
81 |
|
|
|
(2 |
) |
|
|
8 |
|
|
|
158 |
|
|
|
(4 |
) |
|
|
21 |
|
|
Industrial
|
|
|
214 |
|
|
|
(9 |
) |
|
|
30 |
|
|
|
116 |
|
|
|
(9 |
) |
|
|
15 |
|
|
|
330 |
|
|
|
(18 |
) |
|
|
45 |
|
|
Capital goods
|
|
|
63 |
|
|
|
(2 |
) |
|
|
7 |
|
|
|
38 |
|
|
|
(3 |
) |
|
|
4 |
|
|
|
101 |
|
|
|
(5 |
) |
|
|
11 |
|
|
Consumer—cyclical
|
|
|
8 |
|
|
|
— |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
8 |
|
|
|
— |
|
|
|
1 |
|
|
Transportation
|
|
|
30 |
|
|
|
— |
|
|
|
6 |
|
|
|
14 |
|
|
|
(1 |
) |
|
|
1 |
|
|
|
44 |
|
|
|
(1 |
) |
|
|
7 |
|
|
Other
|
|
|
172 |
|
|
|
(13 |
) |
|
|
30 |
|
|
|
42 |
|
|
|
(2 |
) |
|
|
6 |
|
|
|
214 |
|
|
|
(15 |
) |
|
|
36 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal, non-U.S. corporate securities
|
|
|
1,456 |
|
|
|
(67 |
) |
|
|
199 |
|
|
|
504 |
|
|
|
(28 |
) |
|
|
67 |
|
|
|
1,960 |
|
|
|
(95 |
) |
|
|
266 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total for corporate securities in an unrealized loss position
|
|
$ |
3,095 |
|
|
$ |
(100 |
) |
|
|
430 |
|
|
$ |
1,705 |
|
|
$ |
(71 |
) |
|
|
241 |
|
|
$ |
4,800 |
|
|
$ |
(171 |
) |
|
|
671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The scheduled maturity distribution of fixed maturity securities as
of December 31, 2015 is set forth below. Actual maturities may
differ from contractual maturities because issuers of securities
may have the right to call or prepay obligations with or without
call or prepayment penalties.
|
|
|
|
|
|
|
|
|
|
(Amounts in millions)
|
|
Amortized
cost or
cost |
|
|
Fair
value |
|
|
Due one year or less
|
|
$ |
1,729 |
|
|
$ |
1,744 |
|
|
Due after one year through five years
|
|
|
9,814 |
|
|
|
10,192 |
|
|
Due after five years through ten years
|
|
|
11,772 |
|
|
|
11,917 |
|
|
Due after ten years
|
|
|
21,249 |
|
|
|
23,403 |
|
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
|
44,564 |
|
|
|
47,256 |
|
|
Residential mortgage-backed
|
|
|
4,777 |
|
|
|
5,101 |
|
|
Commercial mortgage-backed
|
|
|
2,492 |
|
|
|
2,559 |
|
|
Other asset-backed
|
|
|
3,328 |
|
|
|
3,281 |
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
55,161 |
|
|
$ |
58,197 |
|
|
|
|
|
|
|
|
|
|
As of December 31, 2015, $7,730 million of our investments
(excluding mortgage-backed and asset-backed securities) were
subject to certain call provisions.
As of December 31, 2015, securities issued by finance and
insurance, consumer—non-cyclical , utilities and energy
industry groups represented approximately 22%, 13%, 12% and 11%,
respectively, of our domestic and foreign corporate fixed maturity
securities portfolio. No other industry group comprised more than
10% of our investment portfolio.
As of December 31, 2015, we did not hold any fixed maturity
securities in any single issuer, other than securities issued or
guaranteed by the U.S. government, which exceeded 10% of
stockholders’ equity.
As of December 31, 2015 and 2014, $44 million and $49 million,
respectively, of securities were on deposit with various state or
foreign government insurance departments in order to comply with
relevant insurance regulations.
(e) Commercial Mortgage Loans
Our mortgage loans are collateralized by commercial properties,
including multi-family residential buildings. The carrying value of
commercial mortgage loans is stated at original cost net of
principal payments, amortization and allowance for loan losses.
We diversify our commercial mortgage loans by both property type
and geographic region. The following tables set forth the
distribution across property type and geographic region for
commercial mortgage loans as of December 31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
2015 |
|
|
2014 |
|
|
(Amounts in millions)
|
|
Carrying
value |
|
|
% of
total |
|
|
Carrying
value |
|
|
% of
total |
|
|
Property type:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail
|
|
$ |
2,355 |
|
|
|
38 |
% |
|
$ |
2,150 |
|
|
|
35 |
% |
|
Industrial
|
|
|
1,562 |
|
|
|
25 |
|
|
|
1,597 |
|
|
|
26 |
|
|
Office
|
|
|
1,516 |
|
|
|
24 |
|
|
|
1,643 |
|
|
|
27 |
|
|
Apartments
|
|
|
465 |
|
|
|
8 |
|
|
|
494 |
|
|
|
8 |
|
|
Mixed use/other
|
|
|
289 |
|
|
|
5 |
|
|
|
239 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
|
6,187 |
|
|
|
100 |
% |
|
|
6,123 |
|
|
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unamortized balance of loan origination fees and costs
|
|
|
(2 |
) |
|
|
|
|
|
|
(1 |
) |
|
|
|
|
|
Allowance for losses
|
|
|
(15 |
) |
|
|
|
|
|
|
(22 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
6,170 |
|
|
|
|
|
|
$ |
6,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
2015 |
|
|
2014 |
|
|
(Amounts in millions)
|
|
Carrying
value |
|
|
% of
total |
|
|
Carrying
value |
|
|
% of
total |
|
|
Geographic region:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pacific
|
|
$ |
1,581 |
|
|
|
26 |
% |
|
$ |
1,636 |
|
|
|
27 |
% |
|
South Atlantic
|
|
|
1,574 |
|
|
|
25 |
|
|
|
1,673 |
|
|
|
27 |
|
|
Middle Atlantic
|
|
|
890 |
|
|
|
14 |
|
|
|
826 |
|
|
|
14 |
|
|
Mountain
|
|
|
585 |
|
|
|
10 |
|
|
|
536 |
|
|
|
9 |
|
|
West North Central
|
|
|
416 |
|
|
|
7 |
|
|
|
382 |
|
|
|
6 |
|
|
East North Central
|
|
|
386 |
|
|
|
6 |
|
|
|
397 |
|
|
|
7 |
|
|
West South Central
|
|
|
294 |
|
|
|
5 |
|
|
|
268 |
|
|
|
4 |
|
|
New England
|
|
|
268 |
|
|
|
4 |
|
|
|
264 |
|
|
|
4 |
|
|
East South Central
|
|
|
193 |
|
|
|
3 |
|
|
|
141 |
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
|
6,187 |
|
|
|
100 |
% |
|
|
6,123 |
|
|
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unamortized balance of loan origination fees and costs
|
|
|
(2 |
) |
|
|
|
|
|
|
(1 |
) |
|
|
|
|
|
Allowance for losses
|
|
|
(15 |
) |
|
|
|
|
|
|
(22 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
6,170 |
|
|
|
|
|
|
$ |
6,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following tables set forth the aging of past due commercial
mortgage loans by property type as of December 31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
2015 |
|
|
(Amounts in millions)
|
|
31 - 60 days
past due |
|
|
61 - 90 days
past due |
|
|
Greater than
90 days past
due |
|
|
Total
past due |
|
|
Current |
|
|
Total |
|
|
Property type:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,355 |
|
|
$ |
2,355 |
|
|
Industrial
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,562 |
|
|
|
1,562 |
|
|
Office
|
|
|
6 |
|
|
|
— |
|
|
|
5 |
|
|
|
11 |
|
|
|
1,505 |
|
|
|
1,516 |
|
|
Apartments
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
465 |
|
|
|
465 |
|
|
Mixed use/other
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
289 |
|
|
|
289 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total recorded investment
|
|
$ |
6 |
|
|
$ |
— |
|
|
$ |
5 |
|
|
$ |
11 |
|
|
$ |
6,176 |
|
|
$ |
6,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of total commercial mortgage loans
|
|
|
— |
% |
|
|
— |
% |
|
|
— |
% |
|
|
— |
% |
|
|
100 |
% |
|
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
2014 |
|
|
(Amounts in millions)
|
|
31 - 60 days
past due |
|
|
61 - 90 days
past due |
|
|
Greater than
90 days past
due |
|
|
Total
past due |
|
|
Current |
|
|
Total |
|
|
Property type:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,150 |
|
|
$ |
2,150 |
|
|
Industrial
|
|
|
— |
|
|
|
— |
|
|
|
2 |
|
|
|
2 |
|
|
|
1,595 |
|
|
|
1,597 |
|
|
Office
|
|
|
— |
|
|
|
— |
|
|
|
6 |
|
|
|
6 |
|
|
|
1,637 |
|
|
|
1,643 |
|
|
Apartments
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
494 |
|
|
|
494 |
|
|
Mixed use/other
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
239 |
|
|
|
239 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total recorded investment
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
8 |
|
|
$ |
8 |
|
|
$ |
6,115 |
|
|
$ |
6,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of total commercial mortgage loans
|
|
|
— |
% |
|
|
— |
% |
|
|
— |
% |
|
|
— |
% |
|
|
100 |
% |
|
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2015 and 2014, we had no commercial
mortgage loans that were past due for more than 90 days and still
accruing interest. We also did not have any commercial mortgage
loans that were past due for less than 90 days on non-accrual
status as of December 31, 2015 and 2014.
We evaluate the impairment of commercial mortgage loans on an
individual loan basis. As of December 31, 2015 and 2014, our
commercial mortgage loans greater than 90 days past due included
loans with appraised values in excess of the recorded investment
and the current recorded investment of these loans was expected to
be recoverable.
During the years ended December 31, 2015 and 2014, we modified
or extended 21 and 28 commercial mortgage loans, respectively, with
a total carrying value of $110 million and $254 million,
respectively. All of these modifications or extensions were based
on current market interest rates, did not result in any forgiveness
in the outstanding principal amount owed by the borrower and were
not considered troubled debt restructurings.
The following table sets forth the allowance for credit losses and
recorded investment in commercial mortgage loans as of or for the
years ended December 31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Amounts in millions)
|
|
2015 |
|
|
2014 |
|
|
2013 |
|
|
Allowance for credit losses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning balance
|
|
$ |
22 |
|
|
$ |
33 |
|
|
$ |
42 |
|
|
Charge-offs
|
|
|
(4 |
) |
|
|
(1 |
) |
|
|
(2 |
) |
|
Recoveries
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Provision
|
|
|
(3 |
) |
|
|
(10 |
) |
|
|
(7 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ending balance
|
|
$ |
15 |
|
|
$ |
22 |
|
|
$ |
33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ending allowance for individually impaired loans
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ending allowance for loans not individually impaired that were
evaluated collectively for impairment
|
|
$ |
15 |
|
|
$ |
22 |
|
|
$ |
33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Recorded investment:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ending balance
|
|
$ |
6,187 |
|
|
$ |
6,123 |
|
|
$ |
5,932 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ending balance of individually impaired loans
|
|
$ |
19 |
|
|
$ |
15 |
|
|
$ |
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ending balance of loans not individually impaired that were
evaluated collectively for impairment
|
|
$ |
6,168 |
|
|
$ |
6,108 |
|
|
$ |
5,930 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2015, we had an individually impaired
commercial mortgage loan included within the office property type
with a recorded investment of $5 million, an unpaid principal
balance of $6 million and charge-offs of $1 million. As of
December 31, 2014, we had an individually impaired commercial
mortgage loan included within the industrial property type with a
recorded investment of $15 million, an unpaid principal balance of
$16 million and charge-offs of $1 million. As of December 31,
2015, this loan had a recorded investment of $14 million, an unpaid
principal balance of $15 million and interest income of $1
million.
In evaluating the credit quality of commercial mortgage loans, we
assess the performance of the underlying loans using both
quantitative and qualitative criteria. Certain risks associated
with commercial mortgage loans can be evaluated by reviewing both
the loan-to-value and debt service coverage ratio to understand
both the probability of the borrower not being able to make the
necessary loan payments as well as the ability to sell the
underlying property for an amount that would enable us to recover
our unpaid principal balance in the event of default by the
borrower. The average loan-to-value ratio is based on our most
recent estimate of the fair value for the underlying property which
is evaluated at least annually and updated more frequently if
necessary to better indicate risk associated with the loan. A lower
loan-to-value indicates that our loan value is more likely to be
recovered in the event of default by the borrower if the property
was sold. The debt service coverage ratio is based on
“normalized” annual net operating income of the
property compared to the payments required under the terms of the
loan. Normalization allows for the removal of annual one-time
events such as capital expenditures, prepaid or late real estate
tax payments or non-recurring third-party fees (such as legal,
consulting or contract fees). This ratio is evaluated at least
annually and updated more frequently if necessary to better
indicate risk associated with the loan. A higher debt service
coverage ratio indicates the borrower is less likely to default on
the loan. The debt service coverage ratio should not be used
without considering other factors associated with the borrower,
such as the borrower’s liquidity or access to other resources
that may result in our expectation that the borrower will continue
to make the future scheduled payments.
The following tables set forth the loan-to-value of commercial
mortgage loans by property type as of December 31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
2015 |
|
|
(Amounts in millions)
|
|
0%-50% |
|
|
51%-60% |
|
|
61%-75% |
|
|
76%-100% |
|
|
Greater
than 100% (1) |
|
|
Total |
|
|
Property type:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail
|
|
$ |
846 |
|
|
$ |
465 |
|
|
$ |
924 |
|
|
$ |
106 |
|
|
$ |
14 |
|
|
$ |
2,355 |
|
|
Industrial
|
|
|
515 |
|
|
|
478 |
|
|
|
499 |
|
|
|
65 |
|
|
|
5 |
|
|
|
1,562 |
|
|
Office
|
|
|
493 |
|
|
|
341 |
|
|
|
580 |
|
|
|
83 |
|
|
|
19 |
|
|
|
1,516 |
|
|
Apartments
|
|
|
196 |
|
|
|
66 |
|
|
|
182 |
|
|
|
21 |
|
|
|
— |
|
|
|
465 |
|
|
Mixed use/other
|
|
|
49 |
|
|
|
55 |
|
|
|
185 |
|
|
|
— |
|
|
|
— |
|
|
|
289 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total recorded investment
|
|
$ |
2,099 |
|
|
$ |
1,405 |
|
|
$ |
2,370 |
|
|
$ |
275 |
|
|
$ |
38 |
|
|
$ |
6,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of total
|
|
|
34 |
% |
|
|
23 |
% |
|
|
38 |
% |
|
|
4 |
% |
|
|
1 |
% |
|
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted-average debt service coverage ratio
|
|
|
2.13 |
|
|
|
1.82 |
|
|
|
1.57 |
|
|
|
1.12 |
|
|
|
0.55 |
|
|
|
1.79 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Included $38 million of loans in good
standing, where borrowers continued to make timely payments, with a
total weighted-average loan-to-value of 123%. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
2014 |
|
|
(Amounts in millions)
|
|
0%-50% |
|
|
51%-60% |
|
|
61%-75% |
|
|
76%-100% |
|
|
Greater
than 100% (1) |
|
|
Total |
|
|
Property type:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail
|
|
$ |
671 |
|
|
$ |
419 |
|
|
$ |
967 |
|
|
$ |
75 |
|
|
$ |
18 |
|
|
$ |
2,150 |
|
|
Industrial
|
|
|
451 |
|
|
|
285 |
|
|
|
778 |
|
|
|
60 |
|
|
|
23 |
|
|
|
1,597 |
|
|
Office
|
|
|
383 |
|
|
|
278 |
|
|
|
782 |
|
|
|
164 |
|
|
|
36 |
|
|
|
1,643 |
|
|
Apartments
|
|
|
211 |
|
|
|
76 |
|
|
|
199 |
|
|
|
8 |
|
|
|
— |
|
|
|
494 |
|
|
Mixed use/other
|
|
|
45 |
|
|
|
43 |
|
|
|
145 |
|
|
|
6 |
|
|
|
— |
|
|
|
239 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total recorded investment
|
|
$ |
1,761 |
|
|
$ |
1,101 |
|
|
$ |
2,871 |
|
|
$ |
313 |
|
|
$ |
77 |
|
|
$ |
6,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of total
|
|
|
29 |
% |
|
|
18 |
% |
|
|
47 |
% |
|
|
5 |
% |
|
|
1 |
% |
|
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted-average debt service coverage ratio
|
|
|
2.27 |
|
|
|
1.75 |
|
|
|
1.61 |
|
|
|
1.02 |
|
|
|
0.72 |
|
|
|
1.78 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Included $15 million of impaired
loans, $6 million of loans past due and not individually impaired
and $56 million of loans in good standing, where borrowers
continued to make timely payments, with a total weighted-average
loan-to-value of 120%. |
The following tables set forth the debt service coverage ratio for
fixed rate commercial mortgage loans by property type as of
December 31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
2015 |
|
|
(Amounts in millions)
|
|
Less than 1.00 |
|
|
1.00-1.25 |
|
|
1.26-1.50 |
|
|
1.51-2.00 |
|
|
Greater
than 2.00 |
|
|
Total |
|
|
Property type:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail
|
|
$ |
70 |
|
|
$ |
232 |
|
|
$ |
466 |
|
|
$ |
1,017 |
|
|
$ |
570 |
|
|
$ |
2,355 |
|
|
Industrial
|
|
|
94 |
|
|
|
181 |
|
|
|
208 |
|
|
|
672 |
|
|
|
407 |
|
|
|
1,562 |
|
|
Office
|
|
|
85 |
|
|
|
114 |
|
|
|
265 |
|
|
|
699 |
|
|
|
346 |
|
|
|
1,509 |
|
|
Apartments
|
|
|
6 |
|
|
|
41 |
|
|
|
74 |
|
|
|
199 |
|
|
|
145 |
|
|
|
465 |
|
|
Mixed use/other
|
|
|
— |
|
|
|
58 |
|
|
|
141 |
|
|
|
60 |
|
|
|
30 |
|
|
|
289 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total recorded investment
|
|
$ |
255 |
|
|
$ |
626 |
|
|
$ |
1,154 |
|
|
$ |
2,647 |
|
|
$ |
1,498 |
|
|
$ |
6,180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of total
|
|
|
4 |
% |
|
|
10 |
% |
|
|
19 |
% |
|
|
43 |
% |
|
|
24 |
% |
|
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted-average loan-to-value
|
|
|
74 |
% |
|
|
64 |
% |
|
|
58 |
% |
|
|
58 |
% |
|
|
43 |
% |
|
|
56 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
2014 |
|
|
(Amounts in millions)
|
|
Less than 1.00 |
|
|
1.00-1.25 |
|
|
1.26-1.50 |
|
|
1.51-2.00 |
|
|
Greater
than 2.00 |
|
|
Total |
|
|
Property type:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail
|
|
$ |
80 |
|
|
$ |
253 |
|
|
$ |
524 |
|
|
$ |
870 |
|
|
$ |
423 |
|
|
$ |
2,150 |
|
|
Industrial
|
|
|
158 |
|
|
|
142 |
|
|
|
246 |
|
|
|
706 |
|
|
|
343 |
|
|
|
1,595 |
|
|
Office
|
|
|
119 |
|
|
|
101 |
|
|
|
247 |
|
|
|
780 |
|
|
|
389 |
|
|
|
1,636 |
|
|
Apartments
|
|
|
1 |
|
|
|
48 |
|
|
|
88 |
|
|
|
186 |
|
|
|
171 |
|
|
|
494 |
|
|
Mixed use/other
|
|
|
6 |
|
|
|
1 |
|
|
|
61 |
|
|
|
135 |
|
|
|
36 |
|
|
|
239 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total recorded investment
|
|
$ |
364 |
|
|
$ |
545 |
|
|
$ |
1,166 |
|
|
$ |
2,677 |
|
|
$ |
1,362 |
|
|
$ |
6,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of total
|
|
|
6 |
% |
|
|
9 |
% |
|
|
19 |
% |
|
|
44 |
% |
|
|
22 |
% |
|
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted-average loan-to-value
|
|
|
77 |
% |
|
|
64 |
% |
|
|
64 |
% |
|
|
59 |
% |
|
|
45 |
% |
|
|
59 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2015 and 2014, we had floating rate
commercial mortgage loans of $7 million and $9 million,
respectively.
(f) Restricted Commercial Mortgage Loans Related To
Securitization Entities
We have a consolidated securitization entity that holds commercial
mortgage loans that are recorded as restricted commercial mortgage
loans related to securitization entities. See note 17 for
additional information related to consolidated securitization
entities.
(g) Restricted Other Invested Assets Related To Securitization
Entities
We have consolidated securitization entities that hold certain
investments that are recorded as restricted other invested assets
related to securitization entities. The consolidated securitization
entities hold certain investments as trading securities whereby the
changes in fair value are recorded in current period income (loss).
The trading securities comprise asset-backed securities, including
residual interest in certain policy loan securitization entities
and highly rated bonds that are primarily backed by credit card
receivables. See note 17 for additional information related to
consolidated securitization entities.
|