

	June 30, 2019
(In millions)	Cost or Amortized Cost			Gross Unrealized Gains			Gross Unrealized Losses			Fair Value
Securities available for sale, carried at fair value through other comprehensive income:
Fixed maturity securities:
Yen-denominated:
Japan government and agencies		$	32,154		$	5,800		$	0		$	37,954
Municipalities		525			120			1			644
Mortgage- and asset-backed securities		237			29			0			266
Public utilities		1,865			392			0			2,257
Sovereign and supranational		762			60			0			822
Banks/financial institutions		6,126			700			106			6,720
Other corporate		5,333			932			22			6,243
Total yen-denominated		47,002			8,033			129			54,906
U.S. dollar-denominated:
U.S. government and agencies		195			11			0			206
Municipalities		1,198			133			0			1,331
Mortgage- and asset-backed securities		143			7			0			150
Public utilities		3,941			634			27			4,548
Sovereign and supranational		257			73			0			330
Banks/financial institutions		2,880			566			14			3,432
Other corporate		25,579			2,492			539			27,532
Total U.S. dollar-denominated		34,193			3,916			580			37,529
Total securities available for sale		$	81,195		$	11,949		$	709		$	92,435



	December 31, 2018
(In millions)	Cost or Amortized Cost			Gross Unrealized Gains			Gross Unrealized Losses			Fair Value
Securities available for sale, carried at fair value through other comprehensive income:
Fixed maturity securities:
Yen-denominated:
Japan government and agencies		$	30,637		$	3,700		$	140		$	34,197
Municipalities		385			32			9			408
Mortgage- and asset-backed securities		155			22			0			177
Public utilities		1,732			280			4			2,008
Sovereign and supranational		826			123			0			949
Banks/financial institutions		5,440			502			238			5,704
Other corporate		4,852			649			44			5,457
Total yen-denominated		44,027			5,308			435			48,900
U.S dollar-denominated:
U.S. government and agencies		137			9			1			145
Municipalities		1,343			120			8			1,455
Mortgage- and asset-backed securities		155			8			1			162
Public utilities		4,772			496			105			5,163
Sovereign and supranational		251			60			0			311
Banks/financial institutions		2,860			389			35			3,214
Other corporate		23,311			1,343			1,109			23,545
Total U.S. dollar-denominated		32,829			2,425			1,259			33,995
Total securities available for sale		$	76,856		$	7,733		$	1,694		$	82,895



	June 30, 2019
(In millions)	Cost or Amortized Cost			Gross Unrealized Gains			Gross Unrealized Losses			Fair Value
Securities held to maturity, carried at amortized cost:
Fixed maturity securities:
Yen-denominated:
Japan government and agencies		$	22,611		$	6,606		$	0		$	29,217
Municipalities		836			274			0			1,110
Mortgage- and asset-backed securities		19			1			0			20
Public utilities		2,762			386			0			3,148
Sovereign and supranational		1,188			192			0			1,380
Banks/financial institutions		978			110			12			1,076
Other corporate		2,613			477			6			3,084
Total yen-denominated		31,007			8,046			18			39,035
Total securities held to maturity		$	31,007		$	8,046		$	18		$	39,035



	December 31, 2018
(In millions)	Cost or Amortized Cost			Gross Unrealized Gains			Gross Unrealized Losses			Fair Value
Securities held to maturity, carried at amortized cost:
Fixed maturity securities:
Yen-denominated:
Japan government and agencies		$	21,712		$	5,326		$	0		$	27,038
Municipalities		359			110			0			469
Mortgage- and asset-backed securities		14			1			0			15
Public utilities		2,727			254			8			2,973
Sovereign and supranational		1,551			289			0			1,840
Banks/financial institutions		1,445			158			20			1,583
Other corporate		2,510			332			38			2,804
Total yen-denominated		30,318			6,470			66			36,722
Total securities held to maturity		$	30,318		$	6,470		$	66		$	36,722



(In millions)	Amortized Cost			Fair Value
Available for sale:
Due in one year or less		$	1,093		$	1,153
Due after one year through five years		8,423			8,478
Due after five years through 10 years		9,887			10,961
Due after 10 years		61,412			71,427
Mortgage- and asset-backed securities		380			416
Total fixed maturity securities available for sale		$	81,195		$	92,435
Held to maturity:
Due in one year or less		$	139		$	140
Due after one year through five years		1,284			1,367
Due after five years through 10 years		726			815
Due after 10 years		28,839			36,693
Mortgage- and asset-backed securities		19			20
Total fixed maturity securities held to maturity		$	31,007		$	39,035

Economic maturities are the expected maturity date created by the combination of features in the financial instrument. Expected maturities may differ from contractual maturities because some issuers have the right to call or prepay obligations with or without call or prepayment penalties.

The Company's process for investing in credit-related investments begins with an independent approach to underwriting each issuer's fundamental credit quality. The Company evaluates independently those factors that it believes could influence an issuer's ability to make payments under the contractual terms of the Company's instruments. This includes a thorough analysis of a variety of items including the issuer's country of domicile (including political, legal, and financial considerations); the industry in which the issuer competes (with an analysis of industry structure, end-market dynamics, and regulation); company specific issues (such as management, assets, earnings, cash generation, and capital needs); and contractual provisions of the instrument (such as financial covenants and position in the capital structure). The Company further evaluates the investment considering broad business and portfolio management objectives, including asset/liability needs, portfolio diversification, and expected income.



	Three Months Ended June 30,						Six Months Ended June 30,
(In millions)	2019			2018			2019			2018
Realized investment gains (losses):
Fixed maturity securities:
Available for sale:
Gross gains from sales	$	32		$	12		$	44		$	22
Gross losses from sales	(3		)	(71		)	(11		)	(73		)
Foreign currency gains (losses) on sales and redemptions	(4		)	29			9			24
Other-than-temporary impairment losses	0			(2		)	0			(2		)
Total fixed maturity securities	25			(32		)	42			(29		)
Equity securities	(11		)	18			47			(28		)
Loan receivables:
Loan loss reserves	(2		)	(3		)	(4		)	(10		)
Total loan receivables	(2		)	(3		)	(4		)	(10		)
Derivatives and other:
Derivative gains (losses)	122			(172		)	122			(28		)
Foreign currency gains (losses)	(200		)	192			(202		)	(36		)
Total derivatives and other	(78		)	20			(80		)	(64		)
Total realized investment gains (losses)	$	(66	)	$	3		$	5		$	(131	)

The unrealized holding losses, net of gains, recorded as a component of realized investment gains and losses for the three-month period ended June 30, 2019, that relates to equity securities still held at the June 30, 2019, reporting date was $13 million. The unrealized holding gains, net of losses, recorded as a component of realized investment gains and losses for the six-month period ended June 30, 2019, that relates to equity securities still held at the June 30, 2019, reporting date was $34 million.

The following tables show the fair values and gross unrealized losses of the Company's available-for-sale and held-to-maturity investments that were in an unrealized loss position, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position.



	June 30, 2019
	Total						Less than 12 months						12 months or longer
(In millions)	Fair Value			Unrealized Losses			Fair Value			Unrealized Losses			Fair Value			Unrealized Losses
Fixed maturity securities:
Municipalities:
Yen-denominated		$	14		$	1		$	14		$	1		$	0		$	0
Public utilities:
U.S. dollar-denominated		597			27			116			5			481			22
Banks/financial institutions:
U.S. dollar-denominated		284			14			110			5			174			9
Yen-denominated		1,862			118			1,862			118			0			0
Other corporate:
U.S. dollar-denominated		7,957			539			2,125			143			5,832			396
Yen-denominated		713			28			713			28			0			0
Total		$	11,427		$	727		$	4,940		$	300		$	6,487		$	427



	December 31, 2018
	Total						Less than 12 months						12 months or longer
(In millions)	Fair Value			Unrealized Losses			Fair Value			Unrealized Losses			Fair Value			Unrealized Losses
Fixed maturity securities:
U.S. government and agencies:
U.S. dollar-denominated		$	67		$	1		$	67		$	1		$	0		$	0
Japan government and agencies:
Yen-denominated		3,604			140			3,604			140			0			0
Municipalities:
U.S. dollar-denominated		515			8			515			8			0			0
Yen-denominated		148			9			148			9			0			0
Mortgage- and asset- backed securities:
U.S. dollar-denominated		74			1			74			1			0			0
Public utilities:
U.S. dollar-denominated		1,585			105			892			48			693			57
Yen-denominated		604			12			604			12			0			0
Banks/financial institutions:
U.S. dollar-denominated		625			35			340			19			285			16
Yen-denominated		3,057			258			3,057			258			0			0
Other corporate:
U.S. dollar-denominated		12,899			1,109			5,782			407			7,117			702
Yen-denominated		1,306			82			1,306			82			0			0
Total		$	24,484		$	1,760		$	16,389		$	985		$	8,095		$	775

The unrealized losses on the Company's fixed maturity securities investments have been primarily related to general market changes in interest rates, foreign exchange rates, and/or the levels of credit spreads rather than specific concerns with the issuer's ability to pay interest and repay principal.

For any significant declines in fair value of its fixed maturity securities, the Company performs a more focused review of the related issuers' credit profile. For corporate issuers, the Company evaluates their assets, business profile including industry dynamics and competitive positioning, financial statements and other available financial data. For non-corporate issuers, the Company analyzes all sources of credit support, including issuer-specific factors. The Company utilizes information available in the public domain and, for certain private placement issuers, from consultations with the issuers directly. The Company also considers ratings from Nationally Recognized Statistical Rating Organizations (NRSROs), as well as the specific characteristics of the security it owns including seniority in the issuer's capital structure, covenant protections, or other relevant features. From these reviews, the Company evaluates the issuers' continued ability to service the Company's investment through payment of interest and principal.

Assuming no credit-related factors develop, unrealized gains and losses on fixed maturity securities are expected to diminish as investments near maturity. Based on its credit analysis, the Company believes that the issuers of its fixed maturity investments in the sectors shown in the table above have the ability to service their obligations to the Company.

The Company classifies its transitional real estate loans (TREs), commercial mortgage loans (CMLs) and middle market loans (MMLs) as held-for-investment and includes them in the commercial mortgage and other loans line on the consolidated balance sheets. The Company carries them on the balance sheet at amortized cost less an estimated allowance for loan losses.



(In millions)	June 30, 2019				December 31, 2018
Commercial mortgage and other loans:
Transitional real estate loans		$	4,592			$	4,394
Commercial mortgage loans		1,161				1,065
Middle market loans		1,900				1,487
Total gross commercial mortgage and other loans		7,653				6,946
Allowance for loan loss		(31		)		(27		)
Total net commercial mortgage and other loans		$	7,622			$	6,919

Transitional real estate loans are commercial mortgage loans that are typically relatively short-term floating rate instruments secured by a first lien on the property. These loans provide funding for properties undergoing a change in their physical characteristics and/or economic profile and do not typically require any principal repayment prior to the maturity date. This loan portfolio has guidelines that limit the average loan-to-value at origination to be 70% or lower with individual loan-to-value limits at origination of 80% or less. As of June 30, 2019, the Company had $767 million in outstanding commitments to fund transitional real estate loans. These commitments are contingent on the final underwriting and due diligence to be performed.

Commercial mortgage loans are typically fixed rate loans on commercial real estate with partial repayment of principal over the life of the loan with the remaining outstanding principal being repaid upon maturity. This loan portfolio has guidelines that limit the average loan-to-value at origination to be 65% or lower with individual loan-to-value limits at origination of 70% or less. As of June 30, 2019, the Company had $95 million in outstanding commitments to fund commercial mortgage loans. These commitments are contingent on the final underwriting and due diligence to be performed.

Middle market loans are typically first lien senior secured cash flow loans to small to mid-size companies for working capital, refinancing, acquisition, and recapitalization. These loans are generally considered to be below investment grade. The carrying value for middle market loans included an unfunded amount of $130 million and $56 million, as of June 30, 2019, and December 31, 2018, respectively, that is reflected in other liabilities on the consolidated balance sheets.

As of June 30, 2019, the Company had commitments of approximately $489 million to fund potential future loan originations related to this investment program. These commitments are contingent upon the availability of middle market loans that meet the Company's underwriting criteria.

The Company's allowance for loan losses is established using both general and specific allowances. The general allowance is used for loans grouped by similar risk characteristics where a loan-specific or market-specific risk has not been identified, but for which the Company estimates probable incurred losses. The specific allowance is used on an individual loan basis when it is probable that a loss has been incurred. There was no specific loan loss reserve as of June 30, 2019, and December 31, 2018. The following table presents the rollforward of the general allowance for loan losses by portfolio segment during the six-month period ended June 30.



(In millions)	Commercial Mortgage Loans				Transitional Real Estate Loans				Middle Market Loans				Total
Allowance for loan losses at December 31, 2018		$	(1	)		$	(17	)		$	(9	)		$	(27	)
Addition to (release of) allowance for credit losses		0				(1		)		(3		)		(4		)
Allowance for loan losses at June 30, 2019		$	(1	)		$	(18	)		$	(12	)		$	(31	)

The key credit quality indicators used by the Company in establishing the general and specific loan loss reserves, as well as in determining whether or not a loan should be impaired, include loan-to-value and debt service coverage ratios for CMLs and TREs and ratings for our middle market loan portfolio. Given that transitional real estate loans involve properties undergoing renovation or construction, loan-to-value provides the most insight on the credit risk of the property. The performance of the loans are monitored and reviewed periodically, but not less than quarterly.

As of June 30, 2019, and December 31, 2018, the Company had no loans that were past due in regards to principal and/or interest payments. Additionally, the Company held no loans that were on nonaccrual status or considered impaired as of June 30, 2019, and December 31, 2018. The Company had no troubled debt restructurings during the six months ended June 30, 2019 and 2018.

The Company's ownership interest in VIEs is limited to holding the obligations issued by them. The Company has no direct or contingent obligations to fund the limited activities of these VIEs, nor does it have any direct or indirect financial guarantees related to the limited activities of these VIEs. The Company has not provided any assistance or any other type of financing support to any of the VIEs it invests in, nor does it have any intention to do so in the future. For those VIEs in which the Company holds debt obligations, the weighted-average lives of the Company's notes are very similar to the underlying collateral held by these VIEs where applicable.

Investments in Consolidated Variable Interest Entities



	June 30, 2019						December 31, 2018
(In millions)	Cost or Amortized Cost			Fair Value			Cost or Amortized Cost			Fair Value
Assets:
Fixed maturity securities, available for sale		$	3,729		$	4,599		$	3,849		$	4,466
Equity securities		187			187			160			160
Commercial mortgage and other loans		6,233			6,259			5,528			5,506
Other investments ⁽¹⁾		410			410			328			328
Other assets ⁽²⁾		201			201			182			182
Total assets of consolidated VIEs		$	10,760		$	11,656		$	10,047		$	10,642
Liabilities:
Other liabilities ⁽²⁾		$	107		$	107		$	102		$	102
Total liabilities of consolidated VIEs		$	107		$	107		$	102		$	102

The Company is substantively the only investor in the consolidated VIEs listed in the table above. As the sole investor in these VIEs, the Company has the power to direct the activities of a variable interest entity that most significantly impact the entity's economic performance and is therefore considered to be the primary beneficiary of the VIEs that it consolidates. The Company also participates in substantially all of the variability created by these VIEs. The activities of these VIEs are limited to holding invested assets and foreign currency swaps, as appropriate, and utilizing the cash flows from these securities to service its investment. Neither the Company nor any of its creditors are able to obtain the underlying collateral of the VIEs unless there is an event of default or other specified event. For those VIEs that contain a swap, the Company is not a direct counterparty to the swap contracts and has no control over them. The Company's loss exposure to these VIEs is limited to its original investment. The Company's consolidated VIEs do not rely on outside or ongoing sources of funding to support their activities beyond the underlying collateral and swap contracts, if applicable. With the exception of its investment in unit trust structures, the underlying collateral assets and funding of the Company's consolidated VIEs are generally static in nature.



	June 30, 2019						December 31, 2018
(In millions)	Amortized Cost			Fair Value			Amortized Cost			Fair Value
Assets:
Fixed maturity securities, available for sale		$	4,309		$	4,961		$	4,575		$	4,982
Fixed maturity securities, held to maturity		2,019			2,389			2,007			2,254
Other investments ⁽¹⁾		61			61			49			49
Total investments in VIEs not consolidated		$	6,389		$	7,411		$	6,631		$	7,285

The Company holds alternative investments in limited partnerships that have been determined to be VIEs. These partnerships invest in private equity and structured investments. The Company’s maximum exposure to loss on these investments is limited to the amount of its investment. The Company is not the primary beneficiary of these VIEs and is therefore not required to consolidate them. The Company classifies these investments as Other investments in the consolidated balance sheets.

Certain investments in VIEs that the Company is not required to consolidate are investments that are in the form of debt obligations from the VIEs that are irrevocably and unconditionally guaranteed by their corporate parents or sponsors. These VIEs are the primary financing vehicles used by their corporate sponsors to raise financing in the capital markets. The variable interests created by these VIEs are principally or solely a result of the debt instruments issued by them. The Company does not have the power to direct the activities that most significantly impact the entity's economic performance, nor does it have the obligation to absorb losses of the entity or the right to receive benefits from the entity. As such, the Company is not the primary beneficiary of these VIEs and is therefore not required to consolidate them.

The Company lends fixed maturity and public equity securities to financial institutions in short-term security-lending transactions. These short-term security-lending arrangements increase investment income with minimal risk. The Company receives cash or other securities as collateral for such loans. The Company's security lending policy requires that the fair value of the securities received as collateral be 102% or more of the fair value of the loaned securities and that unrestricted cash received as collateral be 100% or more of the fair value of the loaned securities. The securities loaned continue to be carried as investment assets on the Company's balance sheet during the terms of the loans and are

not reported as sales. For loans involving unrestricted cash or securities as collateral, the collateral is reported as an asset with a corresponding liability for the return of the collateral. For loans where the Company receives as collateral securities that the Company is not permitted to sell or repledge, the collateral is not reflected on the consolidated financial statements.



Securities Lending Transactions Accounted for as Secured Borrowings
June 30, 2019
Remaining Contractual Maturity of the Agreements
(In millions)	Overnight and Continuous⁽¹⁾		Up to 30 days		Greater than 90 days		Total
Securities lending transactions:
Fixed maturity securities:
Japan government and agencies	$	0	$	605	$	2,539	$	3,144
Public utilities	56		0		0		56
Banks/financial institutions	78		0		0		78
Other corporate	804		0		0		804
Equity securities	14		0		0		14
Total borrowings	$	952	$	605	$	2,539	$	4,096
Gross amount of recognized liabilities for securities lending transactions							$	1,557
Amounts related to agreements not included in offsetting disclosure in Note 4							$	2,539



Securities Lending Transactions Accounted for as Secured Borrowings
December 31, 2018
Remaining Contractual Maturity of the Agreements
(In millions)	Overnight and Continuous⁽¹⁾		Up to 30 days		Greater than 90 days		Total
Securities lending transactions:
Fixed maturity securities:
Japan government and agencies	$	0	$	387	$	1,190	$	1,577
Municipalities	5		0		0		5
Public utilities	27		0		0		27
Banks/financial institutions	74		0		0		74
Other corporate	549		0		0		549
Equity securities	10		0		0		10
Total borrowings	$	665	$	387	$	1,190	$	2,242
Gross amount of recognized liabilities for securities lending transactions							$	1,052
Amounts related to agreements not included in offsetting disclosure in Note 4							$	1,190

Certain fixed maturity securities can be pledged as collateral as part of derivative transactions, or pledged to support state deposit requirements or certain investment programs. For additional information regarding pledged securities related to derivative transactions, see Note 4.