Investments (Tables)
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6 Months Ended |
Jun. 30, 2017 |
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| Investments Schedule [Abstract] |
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| 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 |
|
|