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INVESTMENTS (Tables)
3 Months Ended
Mar. 31, 2020
Available-for-Sale Debt Securities
The amortized cost for the Company's investments in fixed maturity securities, the cost for equity securities and the fair values of these investments are shown in the following tables.
  
March 31, 2020
(In millions)

Amortized
Cost
Allowance for Credit Losses
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
$
31,853

$
0

$
4,766

$
14

$
36,605

Municipalities
984

0

228

1

1,211

Mortgage- and asset-backed securities
306

0

31

0

337

Public utilities
4,412

0

430

93

4,749

Sovereign and supranational
1,300

0

33

27

1,306

Banks/financial institutions
7,159

0

404

557

7,006

Other corporate
7,817

0

753

389

8,181

Total yen-denominated
53,831

0

6,645

1,081

59,395

  U.S. dollar-denominated:
 
 
 
 
 
U.S. government and agencies
350

0

23

0

373

Municipalities
1,084

0

145

0

1,229

Mortgage- and asset-backed securities
152

0

8

0

160

Public utilities
3,844

0

649

50

4,443

Sovereign and supranational
239

0

65

1

303

Banks/financial institutions
2,848

0

545

21

3,372

Other corporate
25,533

63

2,531

988

27,013

Total U.S. dollar-denominated
34,050

63

3,966

1,060

36,893

Total securities available for sale
$
87,881

$
63

$
10,611

$
2,141

$
96,288




  
December 31, 2019
(In millions)

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
$
30,929

$
5,169

$
0

$
36,098

Municipalities
516

116

3

629

Mortgage- and asset-backed securities
229

25

0

254

Public utilities
1,855

406

0

2,261

Sovereign and supranational
680

50

0

730

Banks/financial institutions
6,152

700

86

6,766

Other corporate
5,323

944

24

6,243

Total yen-denominated
45,684

7,410

113

52,981

  U.S dollar-denominated:
 
 
 
 
U.S. government and agencies
293

9

0

302

Municipalities
1,077

141

0

1,218

Mortgage- and asset-backed securities
149

7

0

156

Public utilities
3,804

725

10

4,519

Sovereign and supranational
239

73

0

312

Banks/financial institutions
2,879

646

4

3,521

Other corporate
25,246

3,255

248

28,253

Total U.S. dollar-denominated
33,687

4,856

262

38,281

Total securities available for sale
$
79,371

$
12,266

$
375

$
91,262


Held-to-maturity Securities
  
March 31, 2020
(In millions)

Amortized
Cost
Allowance for Credit Losses
Net Carrying Amount
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
$
22,387

$
3

$
22,384

$
5,810

$
0

$
28,194

Municipalities
362

0

362

122

0

484

Public utilities
46

1

45

14

0

59

Sovereign and supranational
469

5

464

114

0

578

Other corporate
23

0

23

9

0

32

Total yen-denominated
23,287

9

23,278

6,069

0

29,347

Total securities held to maturity
$
23,287

$
9

$
23,278

$
6,069

$
0

$
29,347




  
December 31, 2019
(In millions)

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
$
22,241

$
6,050

$
0

$
28,291

Municipalities
821

262

0

1,083

Mortgage- and asset-backed securities
16

1

0

17

Public utilities
2,535

419

0

2,954

Sovereign and supranational
1,123

197

0

1,320

Banks/financial institutions
916

105

3

1,018

Other corporate
2,433

485

7

2,911

Total yen-denominated
30,085

7,519

10

37,594

Total securities held to maturity
$
30,085

$
7,519

$
10

$
37,594


Equity securities, FV-NI
(In millions)
March 31, 2020
 
December 31, 2019
Equity securities, carried at fair value through net earnings:
Fair Value
 
Fair Value
Equity securities:
 
 
 
 
 
 
 
      Yen-denominated
 
$
528

 
 
 
$
658

 
      U.S. dollar-denominated
 
132

 
 
 
144

 
Total equity securities
 
$
660

 
 
 
$
802

 


Investments Classified by Contractual Maturity Date
The contractual and economic maturities of the Company's investments in fixed maturity securities at March 31, 2020, were as follows:
(In millions)
Amortized
Cost
(1)
 
Fair
Value
 
Available for sale:
 
 
 
 
 
 
 
 
Due in one year or less
 
$
1,078

 
 
 
$
1,105

 
 
Due after one year through five years
 
8,992

 
 
 
8,806

 
 
Due after five years through 10 years
 
12,399

 
 
 
13,221

 
 
Due after 10 years
 
64,891

 
 
 
72,659

 
 
Mortgage- and asset-backed securities
 
458

 
 
 
497

 
 
Total fixed maturity securities available for sale
 
$
87,818

 
 
 
$
96,288

 
 
Held to maturity:
 
 
 
 
 
 
 
 
Due in one year or less
 
$
0

 
 
 
$
0

 
 
Due after one year through five years
 
0

 
 
 
0

 
 
Due after five years through 10 years
 
49

 
 
 
55

 
 
Due after 10 years
 
23,229

 
 
 
29,292

 
 
Mortgage- and asset-backed securities
 
0

 
 
 
0

 
 
Total fixed maturity securities held to maturity
 
$
23,278

 
 
 
$
29,347

 
 

(1) Net of allowance for credit losses
Investment Exposures Exceeding Ten Percent Shareholders Equity
Investment exposures that individually exceeded 10% of shareholders' equity were as follows:
 
March 31, 2020
 
December 31, 2019
(In millions)
Credit
Rating
 
Amortized
Cost
 
Fair
Value
 
Credit
Rating
 
Amortized
Cost
 
Fair
Value
Japan National Government(1)
A+
 
$52,786
 
$63,020
 
A+
 
$51,726
 
$62,584
(1)Japan Government Bonds (JGBs) or JGB-backed securities


Gain (Loss) on Investments
Information regarding pretax net gains and losses from investments is as follows:
  
 
Three Months Ended
March 31,
 
(In millions)
 
2020
 
2019
 
Net investment gains (losses):
 
 
 
 
 
Sales and redemptions:
 
 
 
 
 
Fixed maturity securities available for sale:
 
 
 
 
 
Gross gains from sales
 
$
7

 
$
12

 
Gross losses from sales
 
0

 
(8
)
 
Foreign currency gains (losses) on sales and redemptions
 
(14
)
 
13

 
Total sales and redemptions
 
(7
)
 
17

 
Equity securities
 
(149
)
 
58

 
Loan loss reserves (1)
 
0

 
(2
)
 
Credit losses:
 
 
 
 
 
Fixed maturity securities available for sale
 
(63
)
 
0

 
Fixed maturity securities held to maturity
 
1

 
0

 
Commercial mortgage and other loans
 
(37
)
 
0

 
Loan commitments
 
(46
)
 
0

 
Total credit losses
 
(145
)
 
0

 
Derivatives and other:
 
 
 
 
 
Derivative gains (losses)
 
(85
)
 
0

 
Foreign currency gains (losses)
 
(77
)
 
(2
)
 
Total derivatives and other
 
(162
)
 
(2
)
 
Total net investment gains (losses)
 
$
(463
)
 
$
71

 

(1) U.S. GAAP guidance adopted as of January 1, 2020 has superseded these losses, included for comparative purposes only.

Net Effect on Shareholders' Equity of Unrealized Gains and Losses from Investment Securities
The net effect on shareholders’ equity of unrealized gains and losses from fixed maturity securities was as follows:
(In millions)
March 31, 2020
 
December 31,
2019
Unrealized gains (losses) on securities available for sale
 
$
8,470

 
 
 
$
11,891

 
Deferred income taxes
 
(2,427
)
 
 
 
(3,343
)
 
Shareholders’ equity, unrealized gains (losses) on fixed maturity securities
 
$
6,043

 
 
 
$
8,548

 


Investments Gross Unrealized Loss Aging
The following tables show the fair values and gross unrealized losses of the Company's available-for-sale investments for the periods ended March 31, 2020 and available-for-sale and held-to-maturity investments for prior periods 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.

  
March 31, 2020
  
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 available
for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  Japan government and
agencies:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  Yen-denominated
 
$
725

 
 
 
$
14

 
 
 
$
725

 
 
 
$
14

 
 
 
$
0

 
 
 
$
0

 
  Municipalities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  Yen-denominated
 
56

 
 
 
1

 
 
 
42

 
 
 
0

 
 
 
14

 
 
 
1

 
  Public utilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  U.S. dollar-denominated
 
825

 
 
 
50

 
 
 
701

 
 
 
38

 
 
 
124

 
 
 
12

 
      Yen-denominated
 
880

 
 
 
93

 
 
 
880

 
 
 
93

 
 
 
0

 
 
 
0

 
  Sovereign and supranational:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  U.S. dollar-denominated
 
18

 
 
 
1

 
 
 
18

 
 
 
1

 
 
 
0

 
 
 
0

 
  Yen-denominated
 
701

 
 
 
27

 
 
 
701

 
 
 
27

 
 
 
0

 
 
 
0

 
  Banks/financial institutions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  U.S. dollar-denominated
 
355

 
 
 
21

 
 
 
321

 
 
 
13

 
 
 
34

 
 
 
8

 
  Yen-denominated
 
3,410

 
 
 
557

 
 
 
2,626

 
 
 
406

 
 
 
784

 
 
 
151

 
  Other corporate:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  U.S. dollar-denominated
 
8,244

 
 
 
988

 
 
 
5,427

 
 
 
527

 
 
 
2,817

 
 
 
461

 
  Yen-denominated
 
2,829

 
 
 
389

 
 
 
2,677

 
 
 
357

 
 
 
152

 
 
 
32

 
  Total
 
$
18,043

 
 
 
$
2,141

 
 
 
$
14,118

 
 
 
$
1,476

 
 
 
$
3,925

 
 
 
$
665

 


  
December 31, 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
 
$
80

 
 
 
$
3

 
 
 
$
80

 
 
 
$
3

 
 
 
$
0

 
 
 
$
0

 
  Public utilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  U.S. dollar-denominated
 
306

 
 
 
10

 
 
 
69

 
 
 
2

 
 
 
237

 
 
 
8

 
  Banks/financial institutions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  U.S. dollar-denominated
 
79

 
 
 
4

 
 
 
18

 
 
 
0

 
 
 
61

 
 
 
4

 
  Yen-denominated
 
1,828

 
 
 
89

 
 
 
1,828

 
 
 
89

 
 
 
0

 
 
 
0

 
  Other corporate:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  U.S. dollar-denominated
 
4,261

 
 
 
248

 
 
 
792

 
 
 
53

 
 
 
3,469

 
 
 
195

 
  Yen-denominated
 
636

 
 
 
31

 
 
 
636

 
 
 
31

 
 
 
0

 
 
 
0

 
  Total
 
$
7,190

 
 
 
$
385

 
 
 
$
3,423

 
 
 
$
178

 
 
 
$
3,767

 
 
 
$
207

 


Composition of the Carrying Value for Commercial Mortgage and Other Loans by Property Type
The following table reflects the composition of the carrying value for commercial mortgage and other loans by property type as of the periods presented.

(In millions)
March 31, 2020
 
December 31, 2019
 
Amortized Cost
 
% of Total
 
Amortized Cost
 
% of Total
Commercial Mortgage and other loans:
 
 
 
 
 
 
 
Transitional real estate loans:
 
 
 
 
 
 
 
Office
$
1,954

 
18.0
%
 
$
1,800

 
18.7
%
Retail
165

 
1.5

 
131

 
1.4

Apartments/Multi-Family
2,065

 
19.0

 
2,085

 
21.7

Industrial
175

 
1.6

 
256

 
2.7

Hospitality
1,024

 
9.4

 
1,036

 
10.8

Other
260

 
2.4

 
164

 
1.7

Total transitional real estate loans
5,643

 
51.9

 
5,472

 
57.0

Commercial mortgage loans:
 
 
 
 
 
 
 
Office
408

 
3.8

 
410

 
4.3

Retail
346

 
3.1

 
348

 
3.5

Apartments/Multi-Family
589

 
5.4

 
569

 
5.9

Industrial
397

 
3.7

 
383

 
4.0

Total commercial mortgage loans
1,740

 
16.0

 
1,710

 
17.7

Middle market loans
3,492

 
32.1

 
2,432

 
25.3

Total commercial mortgage and other loans
$
10,875

 
100.0
%
 
$
9,614

 
100.0
%
Allowance for credit losses
(125
)
 
 
 
(45
)
(1) 
 
Total net commercial mortgage and other loans
$
10,750

 
 
 
$
9,569

 
 
(1) U.S. GAAP guidance adopted as of January 1, 2020 has superseded these losses, included for comparative purposes only.

Allowance for Loan Losses by Portfolio Segment
The following table presents the roll forward of the allowance for credit losses by portfolio segment during the three-month period ended March 31, 2020.
(in millions)
Transitional Real Estate Loans
Commercial Mortgage Loans
Middle Market Loans
Held to Maturity Securities
Available for Sale Securities
Reinsurance Recoverables
Balance at December 31, 2019 (1)
$
(22
)
$
(3
)
$
(20
)
$
0

$
0

$
0

Transition impact to retained earnings
(2
)
(8
)
(33
)
(10
)
0

(11
)
(Addition to) release of allowance for credit losses
(3
)
0

(34
)
1

(63
)
0

Balance at March 31, 2020
$
(27
)
$
(11
)
$
(87
)
$
(9
)
$
(63
)
$
(11
)
(1) U.S. GAAP guidance adopted as of January 1, 2020 has superseded these losses, included for comparative purposes only.

Other Investments
The table below reflects the composition of the carrying value for other investments as of the periods presented.
(In millions)
March 31, 2020
 
December 31, 2019
Other investments:
 
 
 
 
 
 
 
Policy loans
 
$
253

 
 
 
$
250

 
Short-term investments (1)
 
892

 
 
 
628

 
Limited partnerships
 
669

 
 
 
569

 
Other
 
29

 
 
 
30

 
Total other investments
 
$
1,843

 
 
 
$
1,477

 
(1) Includes securities lending collateral
Securities Lending Transactions Accounted for as Secured Borrowings
Details of collateral by loaned security type and remaining maturity of the agreements were as follows:
Securities Lending Transactions Accounted for as Secured Borrowings
Remaining Contractual Maturity of the Agreements
 
March 31, 2020
 
December 31, 2019
(In millions)
Overnight
and
Continuous
(1)
 
Up to 30
days
 
Total
 
Overnight
and
Continuous
(1)
 
Up to 30
days
 
Total
Securities lending transactions:
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities:
 
 
 
 
 
 
 
 
 
 
 
Japan government and agencies
$
0

 
$
2,318

 
$
2,318

 
$
0

 
$
1,013

 
$
1,013

Public utilities
35

 
0

 
35

 
35

 
0

 
35

Sovereign and supranational
1

 
0

 
1

 
2

 
0

 
2

Banks/financial institutions
68

 
0

 
68

 
48

 
0

 
48

Other corporate
547

 
0

 
547

 
778

 
0

 
778

          Total borrowings
$
651

 
$
2,318

 
$
2,969

 
$
863

 
$
1,013

 
$
1,876

Gross amount of recognized liabilities for securities lending
transactions
$
2,969

 
 
 
 
 
$
1,876

(1) The related loaned security, under the Company's U.S. securities lending program, can be returned to the Company at the transferee's discretion; therefore, they are classified as Overnight and Continuous.
Variable Interest Entity, Consolidated  
Investments in Variable Interest Entities
VIEs - Consolidated

The following table presents the cost or amortized cost, fair value and balance sheet caption in which the assets and liabilities of consolidated VIEs are reported.
Investments in Consolidated Variable Interest Entities
 
March 31, 2020
 
December 31, 2019
(In millions)
Amortized
Cost
(1)
 
Fair
Value
 
Amortized
Cost
 
Fair
Value
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities, available for sale
 
$
3,208

 
 
 
$
3,786

 
 
 
$
3,308

 
 
 
$
4,312

 
Commercial mortgage and other loans
 
9,051

 
 
 
8,737

 
 
 
7,956

 
 
 
8,015

 
Other investments (2)
 
550

 
 
 
550

 
 
 
494

 
 
 
494

 
Other assets (3)
 
89

 
 
 
89

 
 
 
169

 
 
 
169

 
Total assets of consolidated VIEs
 
$
12,898

 
 
 
$
13,162

 
 
 
$
11,927

 
 
 
$
12,990

 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities (3)
 
$
235

 
 
 
$
235

 
 
 
$
126

 
 
 
$
126

 
Total liabilities of consolidated VIEs
 
$
235

 
 
 
$
235

 
 
 
$
126

 
 
 
$
126

 

(1) Net of allowance for credit losses
(2) Consists entirely of alternative investments in limited partnerships
(3) Consists entirely of derivatives
Variable Interest Entity, Not Consolidated  
Investments in Variable Interest Entities
VIEs - Not Consolidated
The table below reflects the amortized cost, fair value and balance sheet caption in which the Company's investment in VIEs not consolidated are reported.
Investments in Variable Interest Entities Not Consolidated
  
March 31, 2020
 
December 31, 2019
(In millions)
Amortized
Cost
 
Fair
Value
 
Amortized
Cost
 
Fair
Value
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities, available for sale
 
$
5,999

 
 
 
$
6,397

 
 
 
$
4,129

 
 
 
$
4,884

 
Fixed maturity securities, held to maturity
 
0

 
 
 
0

 
 
 
1,848

 
 
 
2,236

 
Other investments (1)
 
119

 
 
 
119

 
 
 
75

 
 
 
74

 
Total investments in VIEs not consolidated
 
$
6,118

 
 
 
$
6,516

 
 
 
$
6,052

 
 
 
$
7,194

 

(1) Consists entirely of alternative investments in limited partnerships
Transitional real estate loans  
Financing Receivable Credit Quality Indicators
Transitional Real Estate Loans
(In millions)
2020
2019
2018
2017
2016
Prior
Total
Loan-to-Value Ratio:
 
 
 
 
 
 
 
0%-59.99%
$
33

$
471

$
409

$
155

$
20

$
57

$
1,145

60%-69.99%
190

777

834

436

0

0

2,237

70%-79.99%
81

858

997

250

14

0

2,200

80% or greater
25

36

0

0

0

0

61

Total
$
329

$
2,142

$
2,240

$
841

$
34

$
57

$
5,643


Commercial mortgage loans  
Financing Receivable Credit Quality Indicators
Commercial Mortgage Loans
(In millions)
2020
2019
2018
2017
2016
Prior
Total
Weighted-Average DSCR
Loan-to-Value Ratio:
 
 
 
 
 
 
 
 
0%-59.99%
$
12

$
474

$
156

$
69

$
683

$
0

$
1,394

2.43
60%-69.99%
27

190

16

0

90

0

323

1.74

70%-79.99%
0

0

0

0

23

0

23

1.32

Total
39

664

172

69

796

0

1,740

2.29

Weighted Average DSCR
1.84
2.33
2.16
2.37
2.30
0
2.29
 

Middle market loans  
Financing Receivable Credit Quality Indicators
Middle Market Loans
(In millions)
2020
2019
2018
2017
2016
Prior
Revolving Loans
Total
Credit Ratings:
 
 
 
 
 
 
 
 
BBB
$
9

$
57

$
52

$
22

$
12

$
0

$
15

$
167

BB
86

277

187

140

56

20

84

850

B
210

827

466

309

98

58

338

2,306

CCC
0

58

10

34

25

4

15

146

CC
0

1

0

18

0

2

2

23

Total
$
305

$
1,220

$
715

$
523

$
191

$
84

$
454

$
3,492