XML 41 R21.htm IDEA: XBRL DOCUMENT v3.19.2
Investments (Tables)
 6 Months Ended
Jun. 30, 2019
Investments Schedule [Abstract]  
Available-for-sale Securities
 
June 30, 2019
(In millions)
Amortized Cost
 
Gross Unrealized Gains
 
Gross Unrealized Losses
 
Fair Value
 
OTTI
in AOCI
AFS securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
57

 
$
3

 
$
—

 
$
60

 
$
—

U.S. state, municipal and political subdivisions
1,202

 
208

 
(3
)
 
1,407

 
—

Foreign governments
306

 
18

 
—

 
324

 
—

Corporate
40,712

 
2,386

 
(298
)
 
42,800

 
—

CLO
6,760

 
14

 
(133
)
 
6,641

 
—

ABS
5,117

 
142

 
(27
)
 
5,232

 
2

CMBS
2,703

 
94

 
(7
)
 
2,790

 
7

RMBS
7,092

 
544

 
(12
)
 
7,624

 
12

Total AFS securities
63,949

 
3,409

 
(480
)
 
66,878

 
21

AFS securities – related party
 
 
 
 
 
 
 
 
 
Corporate
3

 
—

 
—

 
3

 
—

CLO
793

 
1

 
(12
)
 
782

 
—

ABS
929

 
26

 
—

 
955

 
—

Total AFS securities – related party
1,725

 
27

 
(12
)
 
1,740

 
—

Total AFS securities including related party
$
65,674

 
$
3,436

 
$
(492
)
 
$
68,618

 
$
21



 
December 31, 2018
(In millions)
Amortized Cost
 
Gross Unrealized Gains
 
Gross Unrealized Losses
 
Fair Value
 
OTTI
in AOCI
AFS securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
57

 
$
—

 
$
—

 
$
57

 
$
—

U.S. state, municipal and political subdivisions
1,183

 
117

 
(7
)
 
1,293

 
—

Foreign governments
162

 
2

 
(3
)
 
161

 
—

Corporate
38,018

 
394

 
(1,315
)
 
37,097

 
1

CLO
5,658

 
2

 
(299
)
 
5,361

 
—

ABS
4,915

 
53

 
(48
)
 
4,920

 
—

CMBS
2,390

 
27

 
(60
)
 
2,357

 
7

RMBS
7,642

 
413

 
(36
)
 
8,019

 
11

Total AFS securities
60,025


1,008


(1,768
)

59,265


19

AFS securities – related party
 
 
 
 
 
 
 
 
 
CLO
587

 
—

 
(25
)
 
562

 
—

ABS
875

 
4

 
(4
)
 
875

 
—

Total AFS securities – related party
1,462

 
4

 
(29
)
 
1,437

 
—

Total AFS securities including related party
$
61,487

 
$
1,012

 
$
(1,797
)
 
$
60,702

 
$
19
Available-for-sale Securities by Contractual Maturity
The amortized cost and fair value of AFS securities, including related party, are shown by contractual maturity below:    
 
June 30, 2019
(In millions)
Amortized Cost
 
Fair Value
AFS securities
 
 
 
Due in one year or less
$
1,127

 
$
1,129

Due after one year through five years
8,977

 
9,235

Due after five years through ten years
10,780

 
11,226

Due after ten years
21,393

 
23,001

CLO, ABS, CMBS and RMBS
21,672

 
22,287

Total AFS securities
63,949

 
66,878

AFS securities – related party
 
 
 
Due after five years through ten years
3

 
3

CLO and ABS
1,722

 
1,737

Total AFS securities – related party
1,725

 
1,740

Total AFS securities including related party
$
65,674

 
$
68,618
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 amortized cost:
 
June 30, 2019
 
Less than 12 months
 
12 months or more
 
Total
(In millions)
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross
Unrealized
Losses
AFS securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
—

 
$
—

 
$
2

 
$
—

 
$
2

 
$
—

U.S. state, municipal and political subdivisions
42

 
—

 
43

 
(3
)
 
85

 
(3
)
Foreign governments
33

 
—

 
—

 
—

 
33

 
—

Corporate
2,466

 
(104
)
 
3,587

 
(194
)
 
6,053

 
(298
)
CLO
3,122

 
(65
)
 
1,527

 
(68
)
 
4,649

 
(133
)
ABS
408

 
(9
)
 
287

 
(18
)
 
695

 
(27
)
CMBS
178

 
(3
)
 
142

 
(4
)
 
320

 
(7
)
RMBS
523

 
(10
)
 
141

 
(2
)
 
664

 
(12
)
Total AFS securities
6,772

 
(191
)
 
5,729

 
(289
)
 
12,501

 
(480
)
AFS securities – related party
 
 
 
 
 
 
 
 
 
 
 
CLO
438

 
(7
)
 
99

 
(5
)
 
537

 
(12
)
Total AFS securities – related party
438

 
(7
)
 
99

 
(5
)
 
537

 
(12
)
Total AFS securities including related party
$
7,210

 
$
(198
)
 
$
5,828

 
$
(294
)
 
$
13,038

 
$
(492
)

 
December 31, 2018
 
Less than 12 months
 
12 months or more
 
Total
(In millions)
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross Unrealized Losses
 
Fair Value
 
Gross Unrealized Losses
AFS securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
32

 
$
—

 
$
2

 
$
—

 
$
34

 
$
—

U.S. state, municipal and political subdivisions
139

 
(2
)
 
82

 
(5
)
 
221

 
(7
)
Foreign governments
97

 
(2
)
 
15

 
(1
)
 
112

 
(3
)
Corporate
20,213

 
(942
)
 
4,118

 
(373
)
 
24,331

 
(1,315
)
CLO
5,054

 
(297
)
 
90

 
(2
)
 
5,144

 
(299
)
ABS
1,336

 
(23
)
 
506

 
(25
)
 
1,842

 
(48
)
CMBS
932

 
(27
)
 
497

 
(33
)
 
1,429

 
(60
)
RMBS
1,417

 
(31
)
 
140

 
(5
)
 
1,557

 
(36
)
Total AFS securities
29,220


(1,324
)

5,450


(444
)

34,670


(1,768
)
AFS securities – related party
 
 
 
 
 
 
 
 
 
 
 
CLO
534

 
(25
)
 
—

 
—

 
534

 
(25
)
ABS
306

 
(2
)
 
116

 
(2
)
 
422

 
(4
)
Total AFS securities – related party
840

 
(27
)
 
116

 
(2
)
 
956

 
(29
)
Total AFS securities including related party
$
30,060

 
$
(1,351
)
 
$
5,566

 
$
(446
)
 
$
35,626

 
$
(1,797
)
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 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)
2019
 
2018
 
2019
 
2018
Beginning balance
$
11

 
$
7

 
$
10

 
$
14

Initial impairments – credit loss OTTI recognized on securities not previously impaired
2

 
—

 
2

 
1

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

 
—

 
1

 
—

Reduction in impairments from securities sold, matured or repaid
—

 
—

 
—

 
(8
)
Ending balance
$
13

 
$
7

 
$
13

 
$
7
Net Investment Income
Net Investment Income—Net investment income by asset class consists of the following:
 
Three months ended June 30,
 
Six months ended June 30,
(In millions)
2019
 
2018
 
2019
 
2018
AFS securities
$
763

 
$
719

 
$
1,516

 
$
1,387

Trading securities
49

 
54

 
91

 
98

Equity securities
4

 
2

 
7

 
4

Mortgage loans
159

 
104

 
310

 
195

Investment funds
102

 
58

 
112

 
123

Funds withheld at interest
134

 
86

 
297

 
132

Other
45

 
23

 
84

 
46

Investment revenue
1,256

 
1,046

 
2,417

 
1,985

Investment expenses
(95
)
 
(88
)
 
(190
)
 
(172
)
Net investment income
$
1,161

 
$
958

 
$
2,227

 
$
1,813
Investment Related Gains (Losses)
Investment Related Gains (Losses)—Investment related gains (losses) by asset class consists of the following:
 
Three months ended June 30,
 
Six months ended June 30,
(In millions)
2019
 
2018
 
2019
 
2018
AFS securities
 
 
 
 
 
 
 
Gross realized gains on investment activity
$
56

 
$
51

 
$
73

 
$
72

Gross realized losses on investment activity
(4
)
 
(37
)
 
(17
)
 
(43
)
Net realized investment gains on AFS securities
52

 
14

 
56

 
29

Net recognized investment gains (losses) on trading securities
79

 
(76
)
 
128

 
(165
)
Net recognized investment gains on equity securities
1

 
3

 
19

 
4

Derivative gains (losses)
1,181

 
46

 
2,873

 
(138
)
Other gains
3

 
11

 
12

 
32

Investment related gains (losses)
$
1,316

 
$
(2
)
 
$
3,088

 
$
(238
)

The following table summarizes the change in unrealized gains (losses) on trading and equity securities, including related party and consolidated VIEs, we held as of the respective period end:
 
Three months ended June 30,
 
Six months ended June 30,
(In millions)
2019
 
2018
 
2019
 
2018
Trading securities
$
98

 
$
(41
)
 
$
169

 
$
(110
)
Trading securities – related party
(13
)
 
(4
)
 
(16
)
 
(6
)
VIE trading securities – related party
—

 
1

 
1

 
1

Equity securities
2

 
4

 
20

 
4

Equity securities – related party
(3
)
 
—

 
—

 
—

VIE equity securities – related party
(2
)
 
(14
)
 
(2
)
 
(39
)
Purchased Credit Impaired (PCI) Investments
Purchased Credit Impaired (PCI) Investments—The following table summarizes our PCI investments:
 
Fixed maturity securities
 
Mortgage loans
(In millions)
June 30, 2019
 
December 31, 2018
 
June 30, 2019
 
December 31, 2018
Contractually required payments receivable
$
7,445

 
$
8,179

 
$
3,506

 
$
2,675

Less: Cash flows expected to be collected1
(6,547
)
 
(7,195
)
 
(3,448
)
 
(2,628
)
Non-accretable difference
$
898

 
$
984

 
$
58

 
$
47

 
 
 
 
 
 
 
 
Cash flows expected to be collected1
$
6,547

 
$
7,195

 
$
3,448

 
$
2,628

Less: Amortized cost
(5,165
)
 
(5,518
)
 
(2,588
)
 
(1,931
)
Accretable difference
$
1,382

 
$
1,677

 
$
860

 
$
697

 
 
 
 
 
 
 
 
Fair value
$
5,604

 
$
5,828

 
$
2,695

 
$
1,933

Outstanding balance
6,360

 
6,773

 
2,916

 
2,210

 
 
 
 
 
 
 
 
1 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:
 
June 30, 2019
(In millions)
Fixed maturity securities
 
Mortgage loans
Contractually required payments receivable
$
92

 
$
1,035

Cash flows expected to be collected
74

 
1,010

Fair value
64

 
800


The following table summarizes the activity for the accretable yield on PCI investments:
 
Three months ended June 30, 2019
 
Six months ended June 30, 2019
(In millions)
Fixed maturity securities
 
Mortgage loans
 
Fixed maturity securities
 
Mortgage loans
Beginning balance
$
1,576

 
$
712

 
$
1,677

 
$
697

Purchases of PCI investments, net of sales
(2
)
 
113

 
6

 
153

Accretion
(81
)
 
(29
)
 
(172
)
 
(61
)
Net reclassification from (to) non-accretable difference
(111
)
 
64

 
(129
)
 
71

Ending balance at June 30
$
1,382

 
$
860

 
$
1,382

 
$
860
Mortgage Loans, Net

Mortgage Loans, including related party—Mortgage loans, net of allowances, consists of the following:
(In millions)
June 30, 2019
 
December 31, 2018
Commercial mortgage loans
$
8,022

 
$
7,217

Commercial mortgage loans under development
95

 
80

Total commercial mortgage loans
8,117

 
7,297

Residential mortgage loans
4,082

 
3,334

Mortgage loans, net of allowances
$
12,199

 
$
10,631


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, 2019
 
December 31, 2018
(In millions, except for percentages)
Net Carrying Value
 
Percentage of Total
 
Net Carrying Value
 
Percentage of Total
Property type
 
 
 
 
 
 
 
Office building
$
2,650

 
32.6
%
 
$
2,221

 
30.5
%
Retail
1,553

 
19.1
%
 
1,660

 
22.7
%
Hotels
959

 
11.8
%
 
1,040

 
14.3
%
Industrial
1,246

 
15.4
%
 
1,196

 
16.4
%
Apartment
1,352

 
16.7
%
 
791

 
10.8
%
Other commercial
357

 
4.4
%
 
389

 
5.3
%
Total commercial mortgage loans
$
8,117

 
100.0
%
 
$
7,297

 
100.0
%
 
 
 
 
 
 
 
 
U.S. Region
 
 
 
 
 
 
 
East North Central
$
895

 
11.0
%
 
$
855

 
11.7
%
East South Central
169

 
2.1
%
 
295

 
4.0
%
Middle Atlantic
1,488

 
18.3
%
 
1,131

 
15.5
%
Mountain
675

 
8.3
%
 
616

 
8.4
%
New England
349

 
4.3
%
 
374

 
5.1
%
Pacific
1,813

 
22.4
%
 
1,540

 
21.1
%
South Atlantic
1,729

 
21.3
%
 
1,468

 
20.2
%
West North Central
177

 
2.2
%
 
173

 
2.4
%
West South Central
822

 
10.1
%
 
845

 
11.6
%
Total U.S. Region
8,117

 
100.0
%
 
7,297

 
100.0
%
Total commercial mortgage loans
$
8,117

 
100.0
%
 
$
7,297

 
100.0
%


Our residential mortgage loan portfolio includes first lien residential mortgage loans collateralized by properties and is summarized in the following table:
 
June 30, 2019
 
December 31, 2018
U.S. States
 
 
 
California
29.6
%
 
30.3
%
Florida
13.6
%
 
16.3
%
Texas
5.5
%
 
3.3
%
New York
3.8
%
 
7.7
%
Other1
36.9
%
 
42.4
%
Total U.S. residential mortgage loan percentage
89.4
%
 
100.0
%
International residential mortgage loan percentage
10.6
%
 
—
%
Total residential mortgage loan percentage
100.0
%
 
100.0
%
 
 
 
 
1Represents all other states, with each individual state comprising less than 5% of the portfolio.
Credit Quality Indicators of the Commercial Mortgage Portfolio
The loan-to-value ratio is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A loan-to-value ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. 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, 2019
 
December 31, 2018
Less than 50%
$
2,110

 
$
1,883

50% to 60%
2,138

 
1,988

61% to 70%
3,024

 
2,394

71% to 80%
747

 
898

81% to 100%
3

 
54

Commercial mortgage loans
$
8,022

 
$
7,217


The debt service coverage ratio, based upon the most recent financial statements, is expressed as a percentage of a property’s net operating income to its debt service payments. A debt service ratio of less than 1.0 indicates a property’s operations do not generate enough income to cover debt payments. 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, 2019
 
December 31, 2018
Greater than 1.20x
$
7,220

 
$
6,576

1.00x – 1.20x
394

 
474

Less than 1.00x
408

 
167

Commercial mortgage loans
$
8,022

 
$
7,217
Investment Funds
The following summarizes our investment funds, including related party and those owned by consolidated VIEs:
 
June 30, 2019
 
December 31, 20181
(In millions, except for percentages and years)
Carrying value
 
Percent of total
 
Carrying value
 
Percent of total
Investment funds
 
 
 
 
 
 
 
Real estate
$
249

 
34.5
%
 
$
215

 
30.6
%
Credit funds
169

 
23.4
%
 
172

 
24.5
%
Private equity
246

 
34.1
%
 
253

 
36.0
%
Real assets
57

 
7.9
%
 
56

 
7.9
%
Natural resources
1

 
0.1
%
 
4

 
0.6
%
Other
—

 
—
%
 
3

 
0.4
%
Total investment funds
722

 
100.0
%
 
703

 
100.0
%
Investment funds – related parties
 
 
 
 
 
 
 
Differentiated investments
 
 
 
 
 
 
 
AmeriHome Mortgage Company, LLC (AmeriHome)2
452

 
17.5
%
 
463

 
20.7
%
Catalina Holdings Ltd. (Catalina)
262

 
10.2
%
 
233

 
10.4
%
Athora Holding Ltd. (Athora)2
127

 
4.9
%
 
105

 
4.7
%
Venerable Holdings, Inc. (Venerable)2
98

 
3.8
%
 
92

 
4.1
%
Other
221

 
8.6
%
 
196

 
8.8
%
Total differentiated investments
1,160

 
45.0
%
 
1,089

 
48.7
%
Real estate
614

 
23.8
%
 
497

 
22.3
%
Credit funds
352

 
13.7
%
 
316

 
14.2
%
Private equity
67

 
2.6
%
 
18

 
0.8
%
Real assets
150

 
5.8
%
 
145

 
6.5
%
Natural resources
144

 
5.6
%
 
104

 
4.7
%
Public equities
91

 
3.5
%
 
63

 
2.8
%
Total investment funds – related parties
2,578

 
100.0
%
 
2,232

 
100.0
%
Investment funds owned by consolidated VIEs
 
 
 
 
 
 
 
MidCap FinCo Designated Activity Company (MidCap)2
554

 
90.5
%
 
553

 
88.6
%
Real estate
41

 
6.7
%
 
30

 
4.8
%
Real assets
17

 
2.8
%
 
41

 
6.6
%
Total investment funds owned by consolidated VIEs
612

 
100.0
%
 
624

 
100.0
%
Total investment funds including related parties and funds owned by consolidated VIEs
$
3,912

 
 
 
$
3,559

 
 
 
 
 
 
 
 
 
 
1 Certain reclassifications have been made to conform with current year presentation.
2 See further discussions on AmeriHome, Athora, Venerable and MidCap in Note 8 – Related Parties.
Schedule of Variable Interest Entities
The following summarizes the carrying value and maximum loss exposure of these non-consolidated investments:
 
June 30, 2019
 
December 31, 2018
(In millions)
Carrying Value
 
Maximum Loss Exposure
 
Carrying Value
 
Maximum Loss Exposure
Investment funds
$
722

 
$
1,274

 
$
703

 
$
1,329

Investment in related parties – investment funds
2,578

 
4,527

 
2,232

 
4,331

Assets of consolidated VIEs – investment funds
612

 
703

 
624

 
727

Investment in fixed maturity securities
22,833

 
22,218

 
21,188

 
21,139

Investment in related parties – fixed maturity securities
2,048

 
2,110

 
1,686

 
1,788

Investment in related parties – equity securities
344

 
344

 
120

 
120

Total non-consolidated investments
$
29,137

 
$
31,176

 
$
26,553

 
$
29,434