

	September 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		$	32,076		$	5,858		$	0		$	37,934
Municipalities		524			125			1			648
Mortgage- and asset-backed securities		235			28			0			263
Public utilities		1,864			395			0			2,259
Sovereign and supranational		717			53			0			770
Banks/financial institutions		6,384			694			98			6,980
Other corporate		5,260			956			20			6,196
Total yen-denominated		47,060			8,109			119			55,050
U.S. dollar-denominated:
U.S. government and agencies		347			15			0			362
Municipalities		1,095			155			0			1,250
Mortgage- and asset-backed securities		139			7			0			146
Public utilities		3,918			785			12			4,691
Sovereign and supranational		240			74			0			314
Banks/financial institutions		3,020			652			8			3,664
Other corporate		25,655			3,205			397			28,463
Total U.S. dollar-denominated		34,414			4,893			417			38,890
Total securities available for sale		$	81,474		$	13,002		$	536		$	93,940



	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



	September 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		$	22,581		$	6,653		$	0		$	29,234
Municipalities		835			279			0			1,114
Mortgage- and asset-backed securities		18			1			0			19
Public utilities		2,573			394			0			2,967
Sovereign and supranational		1,187			197			0			1,384
Banks/financial institutions		930			108			8			1,030
Other corporate		2,609			473			8			3,074
Total yen-denominated		30,733			8,105			16			38,822
Total securities held to maturity		$	30,733		$	8,105		$	16		$	38,822



	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		$	883		$	909
Due after one year through five years		8,415			8,525
Due after five years through 10 years		10,744			12,043
Due after 10 years		61,058			72,054
Mortgage- and asset-backed securities		374			409
Total fixed maturity securities available for sale		$	81,474		$	93,940
Held to maturity:
Due in one year or less		$	194		$	198
Due after one year through five years		1,366			1,471
Due after five years through 10 years		540			610
Due after 10 years		28,615			36,524
Mortgage- and asset-backed securities		18			19
Total fixed maturity securities held to maturity		$	30,733		$	38,822

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 September 30,						Nine Months Ended September 30,
(In millions)	2019			2018			2019			2018
Realized investment gains (losses):
Fixed maturity securities:
Available for sale:
Gross gains from sales	$	11		$	60		$	55		$	81
Gross losses from sales	(18		)	(26		)	(29		)	(99		)
Foreign currency gains (losses) on sales and redemptions	(21		)	3			(12		)	27
Other-than-temporary impairment losses	(13		)	0			(13		)	(2		)
Total fixed maturity securities	(41		)	37			1			7
Equity securities	18			27			65			(1		)
Loan receivables:
Loan loss reserves	(5		)	(5		)	(8		)	(15		)
Total loan receivables	(5		)	(5		)	(8		)	(15		)
Derivatives and other:
Derivative gains (losses)	(146		)	(162		)	(24		)	(190		)
Foreign currency gains (losses)	21			159			(181		)	123
Total derivatives and other	(125		)	(3		)	(205		)	(67		)
Total realized investment gains (losses)	$	(153	)	$	56		$	(147	)	$	(76	)

The unrealized holding gains, net of losses, recorded as a component of realized investment gains and losses for the three-month period ended September 30, 2019, that relates to equity securities still held at the September 30, 2019, reporting date was $21 million. The unrealized holding gains, net of losses, recorded as a component of realized investment gains and losses for the nine-month period ended September 30, 2019, that relates to equity securities still held at the September 30, 2019, reporting date was $38 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.



	September 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		305			12			58			2			247			10
Banks/financial institutions:
U.S. dollar-denominated		223			8			115			5			108			3
Yen-denominated		1,795			106			1,795			106			0			0
Other corporate:
U.S. dollar-denominated		5,447			397			1,369			124			4,078			273
Yen-denominated		462			28			462			28			0			0
Total		$	8,246		$	552		$	3,813		$	266		$	4,433		$	286



	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)	September 30, 2019				December 31, 2018
Commercial mortgage and other loans:
Transitional real estate loans		$	4,853			$	4,394
Commercial mortgage loans		1,387				1,065
Middle market loans		2,079				1,487
Total gross commercial mortgage and other loans		8,319				6,946
Allowance for loan loss		(35		)		(27		)
Total net commercial mortgage and other loans		$	8,284			$	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 is generally considered to be investment grade. As of September 30, 2019, the Company had $1.3 billion 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 is generally considered higher quality investment grade loans. As of September 30, 2019, the Company had $293 million of 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 $36 million and $56 million for a short term credit facility that is reflected in other liabilities on the consolidated balance sheets, as of September 30, 2019, and December 31, 2018, respectively.

As of September 30, 2019, the Company had commitments of approximately $447 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. As of September 30, 2019, the Company had loan loss reserves of $2 million related to a specific middle market loan. There was no specific loan loss reserve as of December 31, 2018. The following table presents the rollforward of the general allowance for loan losses by portfolio segment during the nine-month period ended September 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		(1		)		(2		)		(5		)		(8		)
Allowance for loan losses at September 30, 2019		$	(2	)		$	(19	)		$	(14	)		$	(35	)

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 September 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 September 30, 2019, and December 31, 2018. The Company had no troubled debt restructurings during the nine months ended September 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



	September 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		$	3,594		$	4,562		$	3,849		$	4,466
Equity securities		0			0			160			160
Commercial mortgage and other loans		6,813			6,868			5,528			5,506
Other investments ⁽¹⁾		439			439			328			328
Other assets ⁽²⁾		147			147			182			182
Total assets of consolidated VIEs		$	10,993		$	12,016		$	10,047		$	10,642
Liabilities:
Other liabilities ⁽²⁾		$	139		$	139		$	102		$	102
Total liabilities of consolidated VIEs		$	139		$	139		$	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.



	September 30, 2019						December 31, 2018
(In millions)	Amortized Cost			Fair Value			Amortized Cost			Fair Value
Assets:
Fixed maturity securities, available for sale		$	4,289		$	5,027		$	4,575		$	4,982
Fixed maturity securities, held to maturity		2,016			2,385			2,007			2,254
Other investments ⁽¹⁾		66			66			49			49
Total investments in VIEs not consolidated		$	6,371		$	7,478		$	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
September 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	$	1,176	$	3,973	$	5,149
Public utilities	44		0		0		44
Banks/financial institutions	73		0		0		73
Other corporate	887		0		0		887
Equity securities	9		0		0		9
Total borrowings	$	1,013	$	1,176	$	3,973	$	6,162
Gross amount of recognized liabilities for securities lending transactions							$	2,189
Amounts related to agreements not included in offsetting disclosure in Note 4							$	3,973



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.