INVESTMENTS (Tables)

6 Months Ended

Jun. 30, 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.

	June 30, 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	$	32,004	$	0	$	4,199	$	45	$	36,158
Municipalities	994		0		226		8		1,212
Mortgage- and asset-backed securities	334		0		28		1		361
Public utilities	4,550		0		643		15		5,178
Sovereign and supranational	1,035		0		46		5		1,076
Banks/financial institutions	7,412		0		529		319		7,622
Other corporate	7,798		0		1,054		153		8,699
Total yen-denominated	54,127		0		6,725		546		60,306
U.S. dollar-denominated:
U.S. government and agencies	309		0		20		0		329
Municipalities	1,119		0		161		0		1,280
Mortgage- and asset-backed securities	175		0		10		0		185
Public utilities	3,880		0		899		15		4,764
Sovereign and supranational	240		0		68		7		301
Banks/financial institutions	2,876		0		722		6		3,592
Other corporate	25,451		38		4,086		297		29,202
Total U.S. dollar-denominated	34,050		38		5,966		325		39,653
Total securities available for sale	$	88,177	$	38	$	12,691	$	871	$	99,959

	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

	June 30, 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	$	22,531	$	3	$	22,528	$	5,502	$	0	$	28,030
Municipalities	364		0		364		117		0		481
Public utilities	46		1		45		14		0		59
Sovereign and supranational	554		5		549		143		0		692
Other corporate	23		0		23		8		0		31
Total yen-denominated	23,518		9		23,509		5,784		0		29,293
Total securities held to maturity	$	23,518	$	9	$	23,509	$	5,784	$	0	$	29,293

	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)	June 30, 2020			December 31, 2019
Equity securities, carried at fair value through net earnings:	Fair Value			Fair Value
Equity securities:
Yen-denominated		$	609		$	658
U.S. dollar-denominated		140			144
Total equity securities		$	749		$	802

Investments Classified by Contractual Maturity Date

The contractual and economic maturities of the Company's investments in fixed maturity securities at June 30, 2020, were as follows:

(In millions)	Amortized Cost (1)			Fair Value
Available for sale:
Due in one year or less		$	957		$	994
Due after one year through five years		8,899			9,108
Due after five years through 10 years		12,751			14,450
Due after 10 years		65,023			74,861
Mortgage- and asset-backed securities		509			546
Total fixed maturity securities available for sale		$	88,139		$	99,959
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		107			123
Due after 10 years		23,402			29,170
Mortgage- and asset-backed securities		0			0
Total fixed maturity securities held to maturity		$	23,509		$	29,293

⁽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:

	June 30, 2020			December 31, 2019
(In millions)	Credit Rating	Amortized Cost	Fair Value	Credit Rating	Amortized Cost	Fair Value
Japan National Government(1)	A+	$53,145	$62,513	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 June 30,						Six Months Ended June 30,
(In millions)	2020			2019			2020			2019
Net investment gains (losses):
Sales and redemptions:
Fixed maturity securities available for sale:
Gross gains from sales	$	14		$	32		$	21		$	44
Gross losses from sales	(46		)	(3		)	(46		)	(11		)
Foreign currency gains (losses) on sales and redemptions	(20		)	(4		)	(34		)	9
Total sales and redemptions	(52		)	25			(59		)	42
Equity securities	31			(11		)	(118		)	47
Loan loss reserves (1)	0			(2		)	0			(4		)
Credit losses:
Fixed maturity securities available for sale	(12		)	0			(75		)	0
Fixed maturity securities held to maturity	0			0			1			0
Commercial mortgage and other loans	(127		)	0			(164		)	0
Loan commitments	(35		)	0			(81		)	0
Reinsurance recoverables and other	(2		)	0			(2		)	0
Total credit losses	(176		)	0			(321		)	0
Derivatives and other:
Derivative gains (losses)	120			122			35			122
Foreign currency gains (losses)	(93		)	(200		)	(170		)	(202		)
Total derivatives and other	27			(78		)	(135		)	(80		)
Total net investment gains (losses)	$	(170	)	$	(66	)	$	(633	)	$	5

⁽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)	June 30, 2020				December 31, 2019
Unrealized gains (losses) on securities available for sale		$	11,820			$	11,891
Deferred income taxes		(3,288		)		(3,343		)
Shareholders’ equity, unrealized gains (losses) on fixed maturity securities		$	8,532			$	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 period ended June 30, 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.

	June 30, 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		$	2,196		$	45		$	2,196		$	45		$	0		$	0
Municipalities:
Yen-denominated		144			8			131			7			13			1
Mortgage- and asset- backed securities:
Yen-denominated		36			1			36			1			0			0
Public utilities:
U.S. dollar-denominated		301			15			181			8			120			7
Yen-denominated		799			15			799			15			0			0
Sovereign and supranational:
U.S. dollar-denominated		35			7			35			7			0			0
Yen-denominated		219			5			219			5			0			0
Banks/financial institutions:
U.S. dollar-denominated		60			6			23			1			37			5
Yen-denominated		3,584			319			2,753			205			831			114
Other corporate:
U.S. dollar-denominated		3,625			297			1,329			70			2,296			227
Yen-denominated		1,647			153			1,394			128			253			25
Total		$	12,646		$	871		$	9,096		$	492		$	3,550		$	379

	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)	June 30, 2020					December 31, 2019
	Amortized Cost			% of Total		Amortized Cost				% of Total
Commercial Mortgage and other loans:
Transitional real estate loans:
Office	$	2,112		19.3	%	$	1,800			18.7	%
Retail	173			1.6		131				1.4
Apartments/Multi-Family	2,076			18.9		2,085				21.7
Industrial	176			1.6		256				2.7
Hospitality	1,078			9.8		1,036				10.8
Other	78			0.7		164				1.7
Total transitional real estate loans	5,693			51.9		5,472				57.0
Commercial mortgage loans:
Office	405			3.7		410				4.3
Retail	344			3.1		348				3.5
Apartments/Multi-Family	596			5.5		569				5.9
Industrial	395			3.6		383				4.0
Total commercial mortgage loans	1,740			15.9		1,710				17.7
Middle market loans	3,526			32.2		2,432				25.3
Total commercial mortgage and other loans	$	10,959		100.0	%	$	9,614			100.0	%
Allowance for credit losses	(242		)			(45		)	(1)
Total net commercial mortgage and other loans	$	10,717				$	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 six-month period ended June 30, 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	(42		)	(31		)	(90		)	1			(74		)	0
Write-offs, net of recoveries	0			0			9			0			36			0
Balance at June 30, 2020	$	(66	)	$	(42	)	$	(134	)	$	(9	)	$	(38	)	$	(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)	June 30, 2020			December 31, 2019
Other investments:
Policy loans		$	263		$	250
Short-term investments (1)		763			628
Limited partnerships		718			569
Other		27			30
Total other investments		$	1,771		$	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
	June 30, 2020								December 31, 2019
(In millions)	Overnight and Continuous(1)		Up to 30 days		30-90 days		Total		Overnight and Continuous(1)		Up to 30 days		Total
Securities lending transactions:
Fixed maturity securities:
Japan government and agencies	$	0	$	1,720	$	155	$	1,875	$	0	$	1,013	$	1,013
Public utilities	25		0		0		25		35		0		35
Sovereign and supranational	5		0		0		5		2		0		2
Banks/financial institutions	38		0		0		38		48		0		48
Other corporate	332		0		0		332		778		0		778
Total borrowings	$	400	$	1,720	$	155	$	2,275	$	863	$	1,013	$	1,876
Gross amount of recognized liabilities for securities lending transactions							$	2,275					$	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

	June 30, 2020						December 31, 2019
(In millions)	Amortized Cost (1)			Fair Value			Amortized Cost			Fair Value
Assets:
Fixed maturity securities, available for sale		$	3,127		$	4,063		$	3,308		$	4,312
Commercial mortgage and other loans		9,117			9,049			7,956			8,015
Other investments (2)		589			589			494			494
Other assets (3)		87			87			169			169
Total assets of consolidated VIEs		$	12,920		$	13,788		$	11,927		$	12,990
Liabilities:
Other liabilities (3)		$	255		$	255		$	126		$	126
Total liabilities of consolidated VIEs		$	255		$	255		$	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

	June 30, 2020						December 31, 2019
(In millions)	Amortized Cost			Fair Value			Amortized Cost			Fair Value
Assets:
Fixed maturity securities, available for sale		$	5,982		$	6,837		$	4,129		$	4,884
Fixed maturity securities, held to maturity		0			0			1,848			2,236
Other investments (1)		129			129			75			74
Total investments in VIEs not consolidated		$	6,111		$	6,966		$	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%	$	45	$	523	$	417	$	157	$	20	$	57	$	1,219
60%-69.99%	191		790		839		437		0		0		2,257
70%-79.99%	131		816		971		224		14		0		2,156
80% or greater	25		36		0		0		0		0		61
Total	$	392	$	2,165	$	2,227	$	818	$	34	$	57	$	5,693

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%	$	32	$	404	$	101	$	69	$	594	$	0	$	1,200	2.59
60%-69.99%	16		224		70		0		148		0		458		1.92
70%-79.99%	0		33		0		0		23		0		56		1.79
80% or greater	0		0		0		0		26		0		26		1.63
Total	48		661		171		69		791		0		1,740		2.37
Weighted Average DSCR	1.91		2.50		2.23		2.59		2.31		0		2.37

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	$	38	$	121	$	57	$	57	$	13	$	0	$	24	$	310
BB	150		214		235		90		30		24		80		823
B	184		767		303		266		120		41		219		1,900
CCC	21		103		129		58		33		17		90		451
CC	0		1		0		39		0		0		2		42
Total	$	393	$	1,206	$	724	$	510	$	196	$	82	$	415	$	3,526