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INVESTMENTS (Tables)
3 Months Ended
Mar. 31, 2021
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, 2021
(In millions)
Amortized
Cost
Allowance for Credit LossesGross
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$32,013 $0 $3,614 $80 $35,547 
Municipalities1,238 0 331 6 1,563 
Mortgage- and asset-backed securities318 0 23 1 340 
Public utilities4,616 0 970 5 5,581 
Sovereign and supranational902 0 89 0 991 
Banks/financial institutions7,188 0 837 103 7,922 
Other corporate7,452 0 1,577 35 8,994 
Total yen-denominated53,727 0 7,441 230 60,938 
  U.S. dollar-denominated:
U.S. government and agencies234 0 10 0 244 
Municipalities1,188 0 154 4 1,338 
Mortgage- and asset-backed securities816 0 29 1 844 
Public utilities3,867 0 760 9 4,618 
Sovereign and supranational226 0 61 3 284 
Banks/financial institutions2,991 0 668 6 3,653 
Other corporate25,416 27 3,592 156 28,825 
Total U.S. dollar-denominated34,738 27 5,274 179 39,806 
Total securities available for sale$88,465 $27 $12,715 $409 $100,744 
  
December 31, 2020
(In millions)Amortized
Cost
Allowance for Credit LossesGross
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$32,959 $$4,182 $52 $37,089 
Municipalities1,324 374 1,693 
Mortgage- and asset-backed securities342 27 368 
Public utilities4,777 1,096 5,872 
Sovereign and supranational981 108 1,089 
Banks/financial institutions7,552 886 102 8,336 
Other corporate8,114 1,747 37 9,824 
Total yen-denominated56,049 8,420 198 64,271 
  U.S. dollar-denominated:
U.S. government and agencies245 16 261 
Municipalities1,154 173 1,325 
Mortgage- and asset-backed securities667 670 
Public utilities4,013 947 15 4,945 
Sovereign and supranational232 64 293 
Banks/financial institutions2,973 758 3,724 
Other corporate26,297 38 4,385 251 30,393 
Total U.S. dollar-denominated35,581 38 6,351 283 41,611 
Total securities available for sale$91,630 $38 $14,771 $481 $105,882 
Held-to-maturity Securities
  
March 31, 2021
(In millions)
Amortized
Cost
Allowance for Credit LossesNet Carrying AmountGross
Unrealized
Gains
Gross
Unrealized
Losses
Fair  
Value  
Securities held to maturity, carried at
amortized cost:
Fixed maturity securities:
  Yen-denominated:
Japan government and agencies$21,918 $3 $21,915 $4,924 $0 $26,839 
Municipalities352 0 352 108 0 460 
Public utilities45 1 44 13 0 57 
Sovereign and supranational538 4 534 136 0 670 
Other corporate23 0 23 7 0 30 
Total yen-denominated22,876 8 22,868 5,188 0 28,056 
Total securities held to maturity$22,876 $8 $22,868 $5,188 $0 $28,056 
  
December 31, 2020
(In millions)Amortized
Cost
Allowance for Credit LossesNet Carrying AmountGross
Unrealized
Gains
Gross
Unrealized
Losses
Fair  
Value
Securities held to maturity, carried at
amortized cost:
Fixed maturity securities:
  Yen-denominated:
Japan government and agencies$23,448 $$23,445 $5,625 $$29,070 
Municipalities377 377 122 499 
Public utilities48 47 14 61 
Sovereign and supranational577 571 165 736 
Other corporate24 24 33 
Total yen-denominated24,474 10 24,464 5,935 30,399 
Total securities held to maturity$24,474 $10 $24,464 $5,935 $$30,399 
Equity securities, FV-NI
(In millions)March 31, 2021December 31, 2020
Equity securities, carried at fair value through net earnings:Fair ValueFair Value
Equity securities:
      Yen-denominated$727 $680 
      U.S. dollar-denominated405 603 
Other currencies42 
Total equity securities$1,174 $1,283 
Investments Classified by Contractual Maturity Date The contractual and economic maturities of the Company's investments in fixed maturity securities at March 31, 2021, were as follows:
(In millions)
Amortized
Cost
(1)
Fair
Value
Available for sale:
Due in one year or less$907 $922 
Due after one year through five years8,487 9,005 
Due after five years through 10 years13,637 15,827 
Due after 10 years64,274 73,806 
Mortgage- and asset-backed securities1,134 1,184 
Total fixed maturity securities available for sale$88,439 $100,744 
Held to maturity:
Due in one year or less$$
Due after one year through five years45 50 
Due after five years through 10 years4,103 4,788 
Due after 10 years18,720 23,218 
Mortgage- and asset-backed securities
Total fixed maturity securities held to maturity$22,868 $28,056 
(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, 2021December 31, 2020
(In millions)Credit
Rating
Amortized
Cost
Fair
Value
Credit
Rating
Amortized
Cost
Fair
Value
Japan National Government(1)
A+$52,645$60,867A+$55,153$64,657
(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)20212020
Net investment gains (losses):
Sales and redemptions:
Fixed maturity securities available for sale:
Gross gains from sales$2 $
Gross losses from sales(1)
Foreign currency gains (losses) on sales and redemptions(12)(14)
Total sales and redemptions(11)(7)
Equity securities(68)(149)
Credit losses:
Fixed maturity securities available for sale11 (63)
Fixed maturity securities held to maturity1 
Commercial mortgage and other loans27 (37)
Impairment losses(20)
Loan commitments5 (46)
Reinsurance recoverables and other(2)
Total credit losses22 (145)
Derivatives and other:
Derivative gains (losses)(287)(85)
Foreign currency gains (losses)651 (77)
Total derivatives and other364 (162)
Total net investment gains (losses)$307 $(463)
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, 2021December 31,
2020
Unrealized gains (losses) on securities available for sale$12,306 $14,290 
Deferred income taxes(3,512)(3,929)
Shareholders’ equity, unrealized gains (losses) on fixed maturity securities$8,794 $10,361 
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, 2021 and December 31, 2020, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position.
  
March 31, 2021
  
TotalLess than 12 months12 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$3,207 $80 $2,529 $32 $678 $48 
  Municipalities:
  U.S. dollar-denominated147 4 147 4 0 0 
  Yen-denominated193 6 140 3 53 3 
Mortgage- and asset-
backed securities:
  U.S. dollar-denominated55 1 55 1 0 0 
  Yen-denominated34 1 26 1 8 0 
  Public utilities:
  U.S. dollar-denominated323 9 235 6 88 3 
      Yen-denominated314 5 279 5 35 0 
  Sovereign and supranational:
  U.S. dollar-denominated39 3 0 0 39 3 
  Banks/financial institutions:
  U.S. dollar-denominated204 6 145 2 59 4 
  Yen-denominated2,098 103 590 7 1,508 96 
  Other corporate:
  U.S. dollar-denominated3,826 156 2,280 81 1,546 75 
  Yen-denominated 811 35 351 5 460 30 
  Total$11,251 $409 $6,777 $147 $4,474 $262 
  
December 31, 2020
  
TotalLess than 12 months12 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$2,604 $52 $2,604 $52 $$
  Municipalities:
  U.S. dollar-denominated94 94 
  Yen-denominated183 169 14 
Mortgage- and asset-
backed securities:
  U.S. dollar-denominated360 360 
  Yen-denominated37 37 
  Public utilities:
  U.S. dollar-denominated326 15 208 118 
  Yen-denominated135 135 
  Sovereign and supranational:
U.S. dollar-denominated39 39 
  Banks/financial institutions:
  U.S. dollar-denominated82 44 38 
  Yen-denominated1,809 102 765 36 1,044 66 
  Other corporate:
  U.S. dollar-denominated4,499 251 2,157 59 2,342 192 
  Yen-denominated613 37 290 13 323 24 
  Total $10,781 $481 $6,902 $184 $3,879 $297 
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, 2021December 31, 2020
Amortized Cost% of TotalAmortized Cost% of Total
Commercial Mortgage and other loans:
Transitional real estate loans:
Office$1,945 17.7 %$2,115 19.7 %
Retail126 1.1 125 1.2 
Apartments/Multi-Family1,658 15.1 1,782 16.6 
Industrial85 0.8 85 .8 
Hospitality1,112 10.1 1,106 10.3 
Other81 0.7 81 .7 
Total transitional real estate loans5,007 45.5 5,294 49.3 
Commercial mortgage loans:
Office389 3.5 401 3.7 
Retail338 3.1 340 3.2 
Apartments/Multi-Family585 5.3 588 5.5 
Industrial423 3.8 391 3.6 
Other5 0.0 0.0 
Total commercial mortgage loans1,740 15.8 1,720 16.0 
Middle market loans4,254 38.7 3,720 34.7 
Total commercial mortgage and other loans$11,001 100.0 %$10,734 100.0 %
Allowance for credit losses(154)(180)
Total net commercial mortgage and other loans$10,847 $10,554 
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, 2021.
(in millions)Transitional Real Estate LoansCommercial Mortgage LoansMiddle Market LoansHeld to Maturity SecuritiesAvailable for Sale SecuritiesReinsurance Recoverables
Balance at December 31, 2020$(63)$(33)$(85)$(9)$(38)$(11)
(Addition to) release of allowance for credit
losses
16 (2)
Write-offs, net of recoveries11 
Balance at March 31, 2021$(47)$(24)$(83)$(8)$(27)$(13)
Other Investments
The table below reflects the composition of the carrying value for other investments as of the periods presented.
(In millions)March 31, 2021December 31, 2020
Other investments:
Policy loans$242 $260 
Short-term investments (1)
1,295 1,139 
Limited partnerships1,110 1,004 
Other19 26 
Total other investments$2,666 $2,429 
(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, 2021December 31, 2020
(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 $829 $829 $$$
Public utilities44 0 44 57 57 
Sovereign and supranational3 0 3 
Banks/financial institutions89 0 89 63 63 
Other corporate931 0 931 841 841 
          Total borrowings$1,067 $829 $1,896 $964 $$964 
Gross amount of recognized liabilities for securities
lending transactions
$1,896 $964 
(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, 2021December 31, 2020
(In millions)
Amortized
Cost
(1)
Fair
Value
Amortized
Cost (1)
Fair
Value
Assets:
Fixed maturity securities, available for sale$3,291 $4,353 $3,487 $4,596 
Commercial mortgage and other loans9,210 9,247 8,964 9,040 
Other investments (2)
908 908 826 826 
Other assets (3)
138 138 133 133 
Total assets of consolidated VIEs$13,547 $14,646 $13,410 $14,595 
Liabilities:
Other liabilities (3)
$218 $218 $231 $231 
Total liabilities of consolidated VIEs$218 $218 $231 $231 
(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, 2021December 31, 2020
(In millions)Amortized
Cost
Fair
Value
Amortized
Cost
Fair
Value
Assets:
Fixed maturity securities, available for sale$5,142 $6,269 $5,477 $6,767 
Other investments (1)
202 202 178 178 
Total investments in VIEs not consolidated$5,344 $6,471 $5,655 $6,945 
(1) Consists entirely of alternative investments in limited partnerships
Transitional real estate loans  
Financing Receivable Credit Quality Indicators
Transitional Real Estate Loans
(In millions)20212020201920182017Total
Loan-to-Value Ratio:
0%-59.99%$$53 $548 $396 $77 $1,074 
60%-69.99%170 830 766 208 1,974 
70%-79.99%23 259 731 735 185 1,933 
80% or greater26 26 
Total$23 $508 $2,109 $1,897 $470 $5,007 
Commercial mortgage loans  
Financing Receivable Credit Quality Indicators
Commercial Mortgage Loans
(In millions)20212020201920182017PriorTotalWeighted-Average DSCR
Loan-to-Value Ratio:
0%-59.99%$20 $32 $441 $129 $68 $541 $1,231 2.46
60%-69.99%34 16 179 40 160 429 1.97
70%-79.99%32 22 54 1.63
80% or greater26 26 1.62
Total54 48 652 169 68 749 1,740 2.30
Weighted Average DSCR2.981.912.382.162.482.22
Middle market loans  
Financing Receivable Credit Quality Indicators
Middle Market Loans
(In millions)20212020201920182017PriorRevolving LoansTotal
Credit Ratings:
BBB$$70 $73 $30 $10 $$44 $238 
BB62 387 283 207 94 47 123 1,203 
B80 569 714 409 251 156 174 2,353 
CCC85 105 90 59 74 418 
CC32 33 
C and lower
Total$149 $1,039 $1,155 $751 $477 $266 $417 $4,254