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Investments (Tables)
 6 Months Ended
Jun. 30, 2017
Investments Schedule [Abstract]  
Available-for-sale Securities
The following table represents the cost or amortized cost, gross unrealized gains and losses, fair value and other-than-temporary impairments (OTTI) in AOCI of our AFS investments by asset type:
 
June 30, 2017
(In millions)
Cost or Amortized Cost
 
Gross Unrealized Gains
 
Gross Unrealized Losses
 
Fair Value
 
OTTI
in AOCI
Fixed maturity securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
58

 
$
—

 
$
(1
)
 
$
57

 
$
—

U.S. state, municipal and political subdivisions
1,010

 
147

 
(1
)
 
1,156

 
—

Foreign governments
2,133

 
91

 
(11
)
 
2,213

 
—

Corporate
32,057

 
1,363

 
(200
)
 
33,220

 
5

CLO
5,161

 
38

 
(29
)
 
5,170

 
—

ABS
3,597

 
49

 
(42
)
 
3,604

 
—

CMBS
1,828

 
56

 
(19
)
 
1,865

 
—

RMBS
8,931

 
608

 
(11
)
 
9,528

 
12

Total fixed maturity securities
54,775

 
2,352

 
(314
)
 
56,813

 
17

Equity securities
379

 
51

 
(1
)
 
429

 
—

Total AFS securities
55,154

 
2,403

 
(315
)
 
57,242

 
17

Fixed maturity securities – related party
 
 
 
 
 
 
 
 
 
CLO
280

 
3

 
—

 
283

 
—

ABS
54

 
—

 
—

 
54

 
—

Total fixed maturity securities – related party
334

 
3

 
—

 
337

 
—

Total AFS securities including related party
$
55,488

 
$
2,406

 
$
(315
)
 
$
57,579

 
$
17


 
December 31, 2016
(In millions)
Cost or Amortized Cost
 
Gross Unrealized Gains
 
Gross Unrealized Losses
 
Fair Value
 
OTTI
in AOCI
Fixed maturity securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
59

 
$
1

 
$
—

 
$
60

 
$
—

U.S. state, municipal and political subdivisions
1,024

 
117

 
(1
)
 
1,140

 
—

Foreign governments
2,098

 
143

 
(6
)
 
2,235

 
—

Corporate
29,433

 
901

 
(314
)
 
30,020

 
2

CLO
4,950

 
14

 
(142
)
 
4,822

 
—

ABS
2,980

 
25

 
(69
)
 
2,936

 
—

CMBS
1,835

 
38

 
(26
)
 
1,847

 
—

RMBS
8,731

 
313

 
(71
)
 
8,973

 
15

Total fixed maturity securities
51,110

 
1,552

 
(629
)
 
52,033

 
17

Equity securities
319

 
35

 
(1
)
 
353

 
—

Total AFS securities
51,429

 
1,587

 
(630
)
 
52,386

 
17

Fixed maturity securities – related party
 
 
 
 
 
 
 
 
 
CLO
284

 
1

 
(6
)
 
279

 
—

ABS
57

 
—

 
(1
)
 
56

 
—

Total fixed maturity securities – related party
341

 
1

 
(7
)
 
335

 
—

Equity securities – related party
20

 
—

 
—

 
20

 
—

Total AFS securities – related party
361

 
1

 
(7
)
 
355

 
—

Total AFS securities including related party
$
51,790

 
$
1,588

 
$
(637
)
 
$
52,741

 
$
17
Available-for-sale Securities by Contractual Maturity
The amortized cost and fair value of fixed maturity AFS securities, including related party, are shown by contractual maturity below:    
 
June 30, 2017
(In millions)
Amortized Cost
 
Fair Value
Due in one year or less
$
779

 
$
785

Due after one year through five years
7,781

 
7,950

Due after five years through ten years
11,352

 
11,711

Due after ten years
15,346

 
16,200

CLO, ABS, CMBS and RMBS
19,517

 
20,167

Total AFS fixed maturity securities
54,775

 
56,813

Fixed maturity securities – related party, CLO and ABS
334

 
337

Total AFS fixed maturity securities including related party
$
55,109

 
$
57,150
Fair Values and Unrealized Losses on Available-for-sale Securities
The following summarizes the fair value and gross unrealized losses for AFS securities, including related party, aggregated by class of security and length of time the fair value has remained below cost or amortized cost:
 
June 30, 2017
 
Less than 12 months
 
12 months or greater
 
Total
(In millions)
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross
Unrealized
Losses
Fixed maturity securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
19

 
$
(1
)
 
$
11

 
$
—

 
$
30

 
$
(1
)
U.S. state, municipal and political subdivisions
66

 
(1
)
 
2

 
—

 
68

 
(1
)
Foreign governments
486

 
(11
)
 
12

 
—

 
498

 
(11
)
Corporate
4,893

 
(129
)
 
813

 
(71
)
 
5,706

 
(200
)
CLO
517

 
(3
)
 
1,107

 
(26
)
 
1,624

 
(29
)
ABS
494

 
(3
)
 
632

 
(39
)
 
1,126

 
(42
)
CMBS
383

 
(15
)
 
119

 
(4
)
 
502

 
(19
)
RMBS
421

 
(6
)
 
315

 
(5
)
 
736

 
(11
)
Total fixed maturity securities
7,279

 
(169
)
 
3,011

 
(145
)
 
10,290

 
(314
)
Equity securities
187

 
(1
)
 
—

 
—

 
187

 
(1
)
Total AFS securities
7,466

 
(170
)
 
3,011

 
(145
)
 
10,477

 
(315
)
Fixed maturity securities – related party
 
 
 
 
 
 
 
 
 
 
 
CLO
5

 
—

 
8

 
—

 
13

 
—

ABS
—

 
—

 
49

 
—

 
49

 
—

Total fixed maturity securities – related party
5

 
—

 
57

 
—

 
62

 
—

Total AFS securities including related party
$
7,471

 
$
(170
)
 
$
3,068

 
$
(145
)
 
$
10,539

 
$
(315
)

 
December 31, 2016
 
Less than 12 months
 
12 months or greater
 
Total
(In millions)
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross Unrealized Losses
 
Fair Value
 
Gross Unrealized Losses
Fixed maturity securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
1

 
$
—

 
$
—

 
$
—

 
$
1

 
$
—

U.S. state, municipal and political subdivisions
85

 
(1
)
 
2

 
—

 
87

 
(1
)
Foreign governments
137

 
(5
)
 
9

 
(1
)
 
146

 
(6
)
Corporate
6,136

 
(228
)
 
1,113

 
(86
)
 
7,249

 
(314
)
CLO
388

 
(2
)
 
3,102

 
(140
)
 
3,490

 
(142
)
ABS
865

 
(17
)
 
767

 
(52
)
 
1,632

 
(69
)
CMBS
576

 
(18
)
 
183

 
(8
)
 
759

 
(26
)
RMBS
1,143

 
(19
)
 
1,727

 
(52
)
 
2,870

 
(71
)
Total fixed maturity securities
9,331

 
(290
)
 
6,903

 
(339
)
 
16,234

 
(629
)
Equity securities
179

 
(1
)
 
—

 
—

 
179

 
(1
)
Total AFS securities
9,510

 
(291
)
 
6,903

 
(339
)
 
16,413

 
(630
)
Fixed maturity securities – related party
 
 
 
 
 
 
 
 
 
 
 
CLO
68

 
—

 
100

 
(6
)
 
168

 
(6
)
ABS
—

 
—

 
56

 
(1
)
 
56

 
(1
)
Total fixed maturity securities – related party
68

 
—

 
156

 
(7
)
 
224

 
(7
)
Equity securities – related party
14

 
—

 
—

 
—

 
14

 
—

Total AFS securities – related party
82

 
—

 
156

 
(7
)
 
238

 
(7
)
Total AFS securities including related party
$
9,592

 
$
(291
)
 
$
7,059

 
$
(346
)
 
$
16,651

 
$
(637
)
Other-than-temporary Impairments on Available-for-sale Securities
The following table represents a rollforward of the cumulative amounts recognized on the condensed consolidated statements of income for OTTI related to pre-tax credit loss impairments on AFS fixed maturity securities, for which a portion of the securities' total OTTI was recognized in AOCI:
 
Three months ended June 30,
 
Six months ended June 30,
(In millions)
2017
 
2016
 
2017
 
2016
Beginning balance
$
16

 
$
31

 
$
16

 
$
22

Initial impairments – credit loss OTTI recognized on securities not previously impaired
6

 
1

 
6

 
8

Additional impairments – credit loss OTTI recognized on securities previously impaired
—

 
—

 
—

 
2

Reduction in impairments from securities sold
(6
)
 
—

 
(6
)
 
—

Ending balance
$
16

 
$
32

 
$
16

 
$
32
Net Investment Income
Net investment income by asset type consists of the following:
 
Three months ended June 30,
 
Six months ended June 30,
(In millions)
2017
 
2016
 
2017

2016
AFS securities
 
 
 
 
 
 
 
Fixed maturity securities
$
635

 
$
551

 
$
1,255

 
$
1,140

Equity securities
2

 
2

 
4

 
4

Trading securities
53

 
62

 
104

 
125

Mortgage loans, net of allowances
90

 
88

 
175

 
171

Investment funds
65

 
43

 
120

 
57

Funds withheld at interest
34

 
12

 
70

 
25

Other
21

 
17

 
38

 
29

Investment revenue
900

 
775

 
1,766

 
1,551

Investment expenses
(79
)
 
(75
)
 
(159
)
 
(157
)
Net investment income
$
821

 
$
700

 
$
1,607

 
$
1,394
Investment Related Gains (Losses)
Investment related gains (losses) by asset type consist of the following:
 
Three months ended June 30,
 
Six months ended June 30,
(In millions)
2017
 
2016
 
2017

2016
AFS fixed maturity securities
 
 
 
 
 
 
 
Gross realized gains on investment activity
$
35

 
$
35

 
$
63

 
$
71

Gross realized losses on investment activity
(13
)
 
(10
)
 
(21
)
 
(42
)
Net realized investment gains on fixed maturity securities
22

 
25

 
42


29

Net realized investment gains on trading securities
44

 
53

 
46

 
65

Derivative gains
406

 
145

 
1,060

 
51

Other gains (losses)
(12
)
 
4

 
(6
)
 
(2
)
Investment related gains (losses)
$
460

 
$
227

 
$
1,142

 
$
143
Purchased Credit Impaired (PCI) Investments
The following table summarizes our PCI investments:
 
Fixed maturity securities
 
Mortgage loans
(In millions)
June 30, 2017
 
December 31, 2016
 
June 30, 2017
 
December 31, 2016
Contractually required payments1
$
7,789

 
$
7,761

 
$
1,392

 
$
424

Less: Cash flows expected to be collected2
(5,289
)
 
(5,285
)
 
(975
)
 
(286
)
Non-accretable difference
$
2,500

 
$
2,476

 
$
417

 
$
138

 
 
 
 
 
 
 
 
Cash flows expected to be collected2
$
5,289

 
$
5,285

 
$
975

 
$
286

Less: Amortized cost
(3,935
)
 
(3,892
)
 
(716
)
 
(220
)
Accretable difference
$
1,354

 
$
1,393

 
$
259

 
$
66

 
 
 
 
 
 
 
 
Fair value
$
4,262

 
$
4,029

 
$
736

 
$
221

 
 
 
 
 
 
 
 
1 Includes principal and accrued interest.
2 Represents the undiscounted principal and interest cash flows expected.

During the period, we acquired PCI investments with the following amounts at the time of purchase:
 
Six months ended June 30, 2017
(In millions)
Fixed maturity securities
 
Mortgage loans
Contractually required principal and interest
$
883

 
$
1,003

Expected cash flows
549

 
707

Estimated fair value
397

 
510


The following table summarizes the activity for the accretable yield on PCI investments:
 
Three months ended June 30, 2017
 
Six months ended June 30, 2017
(In millions)
Fixed maturity securities
 
Mortgage loans
 
Fixed maturity securities
 
Mortgage loans
Beginning balance
$
1,403

 
$
113

 
$
1,393

 
$
66

Purchases of PCI investments, net of sales
24

 
141

 
82

 
198

Accretion
(36
)
 
—

 
(66
)
 
—

Changes in expected cash flows
(37
)
 
5

 
(55
)
 
(5
)
Ending balance
$
1,354

 
$
259

 
$
1,354

 
$
259
Mortgage Loans, Net
The distribution of commercial mortgage loans, including those under development, net of valuation allowances, by property type and geographic region, is as follows:
 
June 30, 2017
 
December 31, 2016
(In millions, except for percentages)
Net Carrying Value
 
Percentage of Total
 
Net Carrying Value
 
Percentage of Total
Property type
 
 
 
 
 
 
 
Office building
$
1,277

 
24.6
%
 
$
1,217

 
23.7
%
Retail
1,113

 
21.4
%
 
1,135

 
22.1
%
Hotels
1,040

 
20.0
%
 
1,025

 
20.0
%
Industrial
787

 
15.1
%
 
742

 
14.5
%
Apartment
536

 
10.3
%
 
616

 
12.0
%
Other commercial
445

 
8.6
%
 
397

 
7.7
%
Total commercial mortgage loans
$
5,198

 
100.0
%
 
$
5,132

 
100.0
%
 
 
 
 
 
 
 
 
U.S. Region
 
 
 
 
 
 
 
East North Central
$
576

 
11.1
%
 
$
450

 
8.8
%
East South Central
147

 
2.8
%
 
158

 
3.1
%
Middle Atlantic
769

 
14.8
%
 
628

 
12.2
%
Mountain
609

 
11.7
%
 
543

 
10.6
%
New England
186

 
3.6
%
 
194

 
3.8
%
Pacific
895

 
17.2
%
 
833

 
16.2
%
South Atlantic
1,113

 
21.4
%
 
1,284

 
25.0
%
West North Central
285

 
5.5
%
 
306

 
6.0
%
West South Central
541

 
10.4
%
 
662

 
12.9
%
Total U.S. Region
5,121

 
98.5
%
 
5,058

 
98.6
%
International Region
77

 
1.5
%
 
74

 
1.4
%
Total commercial mortgage loans
$
5,198

 
100.0
%
 
$
5,132

 
100.0
%
Mortgage loans, net of allowances, consist of the following:
(In millions)
June 30, 2017
 
December 31, 2016
Commercial mortgage loans
$
5,125

 
$
5,058

Commercial mortgage loans under development
73

 
74

Total commercial mortgage loans
5,198

 
5,132

Residential mortgage loans
826

 
338

Mortgage loans, net of allowances
$
6,024

 
$
5,470
Aging of the Commercial Mortgage Loan Portfolio
The following provides the aging of our commercial mortgage loan portfolio, including those under development, net of valuation allowances:
(In millions)
June 30, 2017
 
December 31, 2016
Current (less than 30 days past due)
$
5,184

 
$
5,111

Over 90 days past due
14

 
21

Total commercial mortgage loans
$
5,198

 
$
5,132
Credit Quality Indicators of the Commercial Mortgage Portfolio
The following represents the loan-to-value ratio of the commercial mortgage loan portfolio, excluding those under development, net of valuation allowances:
    
(In millions)
June 30, 2017
 
December 31, 2016
Less than 50%
$
1,604

 
$
1,787

50% to 60%
1,277

 
1,337

61% to 70%
1,829

 
1,401

71% to 100%
385

 
492

Greater than 100%
30

 
41

Commercial mortgage loans
$
5,125

 
$
5,058

The following represents the debt service coverage ratio of the commercial mortgage loan portfolio, excluding those under development, net of valuation allowances:
    
(In millions)
June 30, 2017
 
December 31, 2016
Greater than 1.20x
$
4,664

 
$
4,378

1.00x – 1.20x
258

 
353

Less than 1.00x
203

 
327

Commercial mortgage loans
$
5,125

 
$
5,058