Investments (Tables)

9 Months Ended

Sep. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Fixed Maturity Securities by Sector

Fixed maturity securities by sector were as follows at:

	September 30, 2020										December 31, 2019
	Amortized Cost		Allowance for Credit Losses		Gross Unrealized				Estimated Fair Value		Amortized Cost		Allowance for Credit Losses		Gross Unrealized				Estimated Fair Value
					Gains		Losses								Gains		Losses
	(In millions)
U.S. corporate	$	31,303	$	2	$	4,738	$	133	$	35,906	$	28,375	$	—	$	2,852	$	67	$	31,160
Foreign corporate	9,702		1		1,069		110		10,660		9,177		—		741		74		9,844
RMBS	7,807		1		652		9		8,449		8,692		—		438		12		9,118
U.S. government and agency	5,713		—		3,222		—		8,935		5,529		—		1,869		2		7,396
CMBS	5,865		—		569		9		6,425		5,500		—		264		9		5,755
State and political subdivision	3,478		—		953		2		4,429		3,358		—		701		2		4,057
ABS	2,681		—		54		21		2,714		1,945		—		21		11		1,955
Foreign government	1,512		—		314		6		1,820		1,503		—		250		2		1,751
Total fixed maturity securities	$	68,061	$	4	$	11,571	$	290	$	79,338	$	64,079	$	—	$	7,136	$	179	$	71,036

Maturities of Fixed Maturity Securities

The amortized cost and estimated fair value of fixed maturity securities, by contractual maturity date, were as follows at September 30, 2020:

	Due in One Year or Less		Due After One Year Through Five Years		Due After Five Years Through Ten Years		Due After Ten Years		Structured Securities (1)		Total Fixed Maturity Securities
	(In millions)
Amortized cost	$	1,535	$	7,291	$	14,164	$	28,718	$	16,353	$	68,061
Estimated fair value	$	1,549	$	7,729	$	15,661	$	36,811	$	17,588	$	79,338

_______________

(1)Structured securities include residential mortgage-backed securities (“RMBS”), commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”) (collectively, “Structured Securities”).

Continuous Gross Unrealized Losses for Fixed Maturity Securities by Sector

The estimated fair value and gross unrealized losses of fixed maturity securities in an unrealized loss position, by sector and by length of time that the securities have been in a continuous unrealized loss position, were as follows at:

	September 30, 2020								December 31, 2019
	Less than 12 Months				12 Months or Greater				Less than 12 Months				12 Months or Greater
	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
	(Dollars in millions)
U.S. corporate	$	2,993	$	112	$	188	$	21	$	2,017	$	44	$	326	$	23
Foreign corporate	862		37		451		73		576		12		561		62
RMBS	420		9		11		—		857		8		386		4
U.S. government and agency	—		—		—		—		40		2		—		—
CMBS	344		7		59		2		559		7		171		2
State and political subdivision	123		2		—		—		143		2		8		—
ABS	667		8		590		13		362		2		676		9
Foreign government	121		6		6		—		65		2		—		—
Total fixed maturity securities	$	5,530	$	181	$	1,305	$	109	$	4,619	$	79	$	2,128	$	100
Total number of securities in an unrealized loss position	1,069				248				720				302

Rollforward of the Allowance for Credit Losses for Fixed Maturity Securities by Sector

The changes in the allowance for credit losses by sector were as follows:

	U.S. Corporate		RMBS		Foreign Corporate		Total
	(In millions)
Balance at January 1, 2020	$	3	$	—	$	1	$	4
Allowance on securities where credit losses were not previously recorded	3		1		1		5
Reductions for securities sold	(1)		—		—		(1)
Write-offs charged against allowance (1)	(3)		—		(1)		(4)
Balance at September 30, 2020	$	2	$	1	$	1	$	4

_______________

(1)The Company recorded total write-offs of $13 million during the nine months ended September 30, 2020.

Mortgage Loans by Portfolio Segment

Mortgage loans are summarized as follows at:

	September 30, 2020				December 31, 2019
	Carrying Value		% of Total		Carrying Value		% of Total
	(Dollars in millions)
Commercial	$	9,830	62.4	%	$	9,721	61.7	%
Agricultural	3,380		21.5		3,388		21.5
Residential	2,626		16.7		2,708		17.2
Total mortgage loans (1)	15,836		100.6		15,817		100.4
Allowance for credit losses	(90)		(0.6)		(64)		(0.4)
Total mortgage loans, net	$	15,746	100.0	%	$	15,753	100.0	%

_______________

(1)Purchases of mortgage loans from third parties were $47 million and $535 million for the three months and nine months ended September 30, 2020, respectively, and $159 million and $722 million for the three months and nine months ended September 30, 2019, respectively, and were primarily comprised of residential mortgage loans.

Rollforward of the Allowance for Credit Losses for Mortgage Loans by Portfolio Segment

The changes in the allowance for credit losses by portfolio segment were as follows:

	Commercial		Agricultural		Residential		Total
	(In millions)
Balance at December 31, 2019	$	47	$	10	$	7	$	64
Cumulative effect of change in accounting principle	(20)		7		15		2
Balance at January 1, 2020	27		17		22		66
Current period provision	17		(1)		8		24
Balance at September 30, 2020	$	44	$	16	$	30	$	90

Purchases of PCD Mortgage Loans

Purchases of PCD mortgage loans are summarized as follows:

	Nine Months Ended September 30, 2020
	(In millions)
Purchase price	$	77
Allowance at acquisition date	$	2
Discount or premium attributable to other factors	$	2
Par value	$	81

Credit Quality of Mortgage Loans by Portfolio Segment

The amortized cost of mortgage loans by year of origination and credit quality indicator was as follows at:

	2020		2019		2018		2017		2016		Prior		Total
	(In millions)
September 30, 2020
Commercial mortgage loans
Loan-to-value ratios:
Less than 65%	$	288	$	1,645	$	1,113	$	572	$	1,124	$	3,210	$	7,952
65% to 75%	114		345		452		340		40		277		1,568
76% to 80%	—		—		—		—		84		—		84
Greater than 80%	—		—		10		13		6		197		226
Total commercial mortgage loans	402		1,990		1,575		925		1,254		3,684		9,830
Agricultural mortgage loans
Loan-to-value ratios:
Less than 65%	202		556		754		438		486		765		3,201
65% to 75%	37		81		10		33		—		18		179
Total agricultural mortgage loans	239		637		764		471		486		783		3,380
Residential mortgage loans
Performing	200		428		478		116		43		1,261		2,526
Nonperforming	1		5		5		1		—		88		100
Total residential mortgage loans	201		433		483		117		43		1,349		2,626
Total	$	842	$	3,060	$	2,822	$	1,513	$	1,783	$	5,816	$	15,836

The amortized cost of commercial mortgage loans by debt-service coverage ratio was as follows at:

	September 30, 2020				December 31, 2019
	Amortized Cost		% of Total		Amortized Cost		% of Total
	(Dollars in millions)
Debt-service coverage ratios:
Greater than 1.20x	$	9,286	94.5	%	$	9,257	95.2	%
1.00x - 1.20x	359		3.6		298		3.1
Less than 1.00x	185		1.9		166		1.7
Total	$	9,830	100.0	%	$	9,721	100.0	%

Past Due Mortgage Loans by Portfolio Segment

The aging of the amortized cost of past due mortgage loans by portfolio segment was as follows at:

	September 30, 2020
	Commercial		Agricultural		Residential		Total
	(In millions)
Current	$	9,830	$	3,379	$	2,461	$	15,670
30-59 days past due	—		—		65		65
60-89 days past due	—		—		69		69
90-179 days past due	—		1		16		17
180+ days past due	—		—		15		15
Total	$	9,830	$	3,380	$	2,626	$	15,836

Mortgage Loans in Nonaccrual Status by Portfolio Segment

The amortized cost of mortgage loans in a nonaccrual status by portfolio segment were as follows at:

	Commercial		Agricultural		Residential		Total
	(In millions)
December 31, 2019	$	—	$	21	$	37	$	58
September 30, 2020 (1)	$	—	$	14	$	100	$	114

_______________

(1)The Company had $8 million of residential mortgage loans in nonaccrual status for which there was no related allowance for credit losses at September 30, 2020.

Net Unrealized Investment Gains (Losses)

The components of net unrealized investment gains (losses), included in AOCI, were as follows at:

	September 30, 2020		December 31, 2019
	(In millions)
Fixed maturity securities	$	11,281	$	6,957
Derivatives	464		245
Other	(17)		(13)
Subtotal	11,728		7,189
Amounts allocated from:
Future policy benefits	(4,376)		(2,692)
DAC, VOBA and DSI	(482)		(341)
Subtotal	(4,858)		(3,033)
Deferred income tax benefit (expense)	(1,443)		(873)
Net unrealized investment gains (losses)	$	5,427	$	3,283

The changes in net unrealized investment gains (losses) were as follows:

	Nine Months Ended September 30, 2020
	(In millions)
Balance at December 31, 2019	$	3,283
Unrealized investment gains (losses) during the period	4,539
Unrealized investment gains (losses) relating to:
Future policy benefits	(1,684)
DAC, VOBA and DSI	(141)
Deferred income tax benefit (expense)	(570)
Balance at September 30, 2020	$	5,427
Change in net unrealized investment gains (losses)	$	2,144

Securities Lending

Elements of the securities lending program are presented below at:

	September 30, 2020		December 31, 2019
	(In millions)
Securities on loan: (1)
Amortized cost	$	2,037	$	2,031
Estimated fair value	$	3,531	$	2,996
Cash collateral received from counterparties (2)	$	3,625	$	3,074
Securities collateral received from counterparties (3)	$	6	$	—
Reinvestment portfolio — estimated fair value	$	3,764	$	3,174

_______________

(1)Included within fixed maturity securities.

(2)Included within payables for collateral under securities loaned and other transactions.

(3)Securities collateral received from counterparties is not reported on the consolidated balance sheets and may not be sold or re-pledged unless the counterparty is in default.

The cash collateral liability by loaned security type and remaining tenor of the agreements were as follows at:

	September 30, 2020								December 31, 2019
	Open (1)		1 Month or Less		1 to 6 Months		Total		Open (1)		1 Month or Less		1 to 6 Months		Total
	(In millions)
U.S. government and agency	$	1,229	$	1,801	$	593	$	3,623	$	1,279	$	1,094	$	701	$	3,074
Foreign corporate	2		—		—		2		—		—		—		—
Total	$	1,231	$	1,801	$	593	$	3,625	$	1,279	$	1,094	$	701	$	3,074

_______________

(1)The related loaned security could be returned to the Company on the next business day which would require the Company to immediately return the cash collateral.

Invested Assets on Deposit, Held in Trust and Pledged as Collateral

Invested assets on deposit, held in trust and pledged as collateral at estimated fair value were as follows at:

	September 30, 2020		December 31, 2019
	(In millions)
Invested assets on deposit (regulatory deposits) (1)	$	10,061	$	9,349
Invested assets held in trust (reinsurance agreements) (2)	5,518		4,561
Invested assets pledged as collateral (3)	5,608		3,641
Total invested assets on deposit, held in trust and pledged as collateral	$	21,187	$	17,551

_______________

(1)The Company has assets, primarily fixed maturity securities, on deposit with governmental authorities relating to certain policyholder liabilities, of which $83 million and $69 million of the assets on deposit represents restricted cash and cash equivalents at September 30, 2020 and December 31, 2019, respectively.

(2)The Company has assets, primarily fixed maturity securities, held in trust relating to certain reinsurance transactions, of which $83 million and $124 million of the assets held in trust balance represents restricted cash and cash equivalents at September 30, 2020 and December 31, 2019, respectively.

(3)The Company has pledged invested assets in connection with various agreements and transactions, including funding agreements (see Note 3 of the Notes to the Consolidated Financial Statements included in the 2019 Annual Report) and derivative transactions (see Note 5).

Variable Interest Entities

The carrying amount and maximum exposure to loss related to the VIEs for which the Company has concluded that it holds a variable interest, but is not the primary beneficiary, were as follows at:

	September 30, 2020				December 31, 2019
	Carrying Amount		Maximum Exposure to Loss		Carrying Amount		Maximum Exposure to Loss
	(In millions)
Fixed maturity securities	$	13,446	$	12,393	$	13,094	$	12,454
Limited partnerships and LLCs	2,083		3,351		1,907		3,080
Total	$	15,529	$	15,744	$	15,001	$	15,534

Components of Net Investment Income

The components of net investment income were as follows:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
	(In millions)
Investment income:
Fixed maturity securities	$	676	$	665	$	2,021	$	1,997
Equity securities	1		2		4		6
Mortgage loans	166		172		498		507
Policy loans	15		18		40		51
Limited partnerships and LLCs (1)	155		79		48		175
Cash, cash equivalents and short-term investments	7		30		44		67
Other	14		12		39		31
Total investment income	1,034		978		2,694		2,834
Less: Investment expenses	38		50		130		153
Net investment income	$	996	$	928	$	2,564	$	2,681

_______________

(1)Includes net investment income pertaining to other limited partnership interests of $153 million and $34 million for the three months and nine months ended September 30, 2020, respectively, and $67 million and $143 million for the three months and nine months ended September 30, 2019, respectively.

Components of Net Investment Gains (Losses)

The components of net investment gains (losses) were as follows:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
	(In millions)
Fixed maturity securities	$	1	$	28	$	(26)	$	81
Equity securities	4		3		(3)		14
Mortgage loans	3		(1)		(23)		(8)
Limited partnerships and LLCs	(1)		(3)		(4)		(8)
Other	(2)		—		8		—
Total net investment gains (losses)	$	5	$	27	$	(48)	$	79

Sales or Disposals of Fixed Maturity Securities

Proceeds from sales or disposals of fixed maturity securities and the components of fixed maturity securities net investment gains (losses) were as follows:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
	(In millions)
Proceeds	$	897	$	1,628	$	2,168	$	8,586
Gross investment gains	$	30	$	45	$	62	$	218
Gross investment losses	(29)		(17)		(72)		(137)
Net investment gains (losses)	$	1	$	28	$	(10)	$	81