XML 34 R24.htm IDEA: XBRL DOCUMENT v3.22.2
INVESTMENTS (Tables)
 6 Months Ended
Jun. 30, 2022
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, 2022
(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$24,916 $0 $1,770 $903 $25,783 
Municipalities1,003 0 195 32 1,166 
Mortgage- and asset-backed securities245 0 11 6 250 
Public utilities3,816 0 375 52 4,139 
Sovereign and supranational639 0 44 2 681 
Banks/financial institutions6,081 0 421 343 6,159 
Other corporate6,136 0 858 187 6,807 
Total yen-denominated42,836 0 3,674 1,525 44,985 
  U.S. dollar-denominated:
U.S. government and agencies180 0 1 5 176 
Municipalities1,274 0 76 48 1,302 
Mortgage- and asset-backed securities1,670 0 85 53 1,702 
Public utilities3,495 0 414 91 3,818 
Sovereign and supranational196 0 48 12 232 
Banks/financial institutions3,091 0 437 62 3,466 
Other corporate21,804 0 2,591 645 23,750 
Total U.S. dollar-denominated31,710 0 3,652 916 34,446 
Total securities available for sale$74,546 $0 $7,326 $2,441 $79,431 
  
December 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$30,335 $0 $3,343 $61 $33,617 
Municipalities1,192 0 322 5 1,509 
Mortgage- and asset-backed securities300 0 19 1 318 
Public utilities4,462 0 906 2 5,366 
Sovereign and supranational760 0 82 0 842 
Banks/financial institutions6,963 0 787 72 7,678 
Other corporate7,148 0 1,535 26 8,657 
Total yen-denominated51,160 0 6,994 167 57,987 
  U.S. dollar-denominated:
U.S. government and agencies196 0 8 1 203 
Municipalities1,340 0 189 2 1,527 
Mortgage- and asset-backed securities897 0 33 2 928 
Public utilities3,781 0 909 5 4,685 
Sovereign and supranational222 0 57 6 273 
Banks/financial institutions3,169 0 747 3 3,913 
Other corporate24,604 0 4,629 53 29,180 
Total U.S. dollar-denominated34,209 0 6,572 72 40,709 
Total securities available for sale$85,369 $0 $13,566 $239 $98,696 
Held-to-maturity Securities
  
June 30, 2022
(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$17,743 $3 $17,740 $2,866 $0 $20,606 
Municipalities280 0 280 66 0 346 
Public utilities37 0 37 6 0 43 
Sovereign and supranational436 4 432 82 0 514 
Other corporate18 0 18 5 0 23 
Total yen-denominated18,514 7 18,507 3,025 0 21,532 
Total securities held to maturity$18,514 $7 $18,507 $3,025 $0 $21,532 
  
December 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$21,089 $3 $21,086 $4,613 $0 $25,699 
Municipalities335 0 335 101 0 436 
Public utilities44 1 43 12 0 55 
Sovereign and supranational518 4 514 136 0 650 
Other corporate22 0 22 7 0 29 
Total yen-denominated22,008 8 22,000 4,869 0 26,869 
Total securities held to maturity$22,008 $8 $22,000 $4,869 $0 $26,869 
Equity securities, FV-NI
(In millions)June 30,
2022		December 31, 2021
Equity securities, carried at fair value through net earnings:Fair ValueFair Value
Equity securities:
      Yen-denominated$636 $744 
      U.S. dollar-denominated466 817 
Other currencies47 42 
Total equity securities$1,149 $1,603 
Investments Classified by Contractual Maturity Date The contractual and economic maturities of the Company's investments in fixed maturity securities at June 30, 2022, were as follows:
(In millions)
Amortized
Cost (1)
Fair
Value
Available for sale:
Due in one year or less$1,291 $1,455 
Due after one year through five years7,265 7,883 
Due after five years through 10 years12,779 14,177 
Due after 10 years51,296 53,964 
Mortgage- and asset-backed securities1,915 1,952 
Total fixed maturity securities available for sale$74,546 $79,431 
Held to maturity:
Due in one year or less$0 $0 
Due after one year through five years39 42 
Due after five years through 10 years9,840 11,171 
Due after 10 years8,628 10,319 
Mortgage- and asset-backed securities0 0 
Total fixed maturity securities held to maturity$18,507 $21,532 
(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, 2022December 31, 2021
(In millions)Credit
Rating		Amortized
Cost		Fair
Value		Credit
Rating		Amortized
Cost		Fair
Value
Japan National Government(1)
A+$41,620$45,262A+$50,186$57,862
(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)2022202120222021
Net investment gains (losses):
Sales and redemptions:
Fixed maturity securities available for sale:
Gross gains from sales$15 $14 $85 $16 
Gross losses from sales(23)(2)(26)(3)
Foreign currency gains (losses)123 (6)133 (18)
Other investments:
Gross gains from sales0 0 9 0 
Total sales and redemptions115 6 201 (5)
Equity securities(135)

170 (291)102 
Credit losses:
Fixed maturity securities available for sale0 0 0 11 
Fixed maturity securities held to maturity0 0 0 1 
Commercial mortgage and other loans(12)17 4 44 
Impairment losses(17)0 (17)(20)
Loan commitments(5)(5)2 0 
Reinsurance recoverables and other0 0 2 (2)
Total credit losses(34)12 (9)34 
Derivatives and other:
Derivative gains (losses)(558)(96)(1,024)(383)
Foreign currency gains (losses)1,176 (3)1,809 648 
Total derivatives and other618 (99)785 265 
Total net investment gains (losses)$564 $89 $686 $396 
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,
2022		December 31,
2021
Unrealized gains (losses) on securities available for sale$4,885 $13,330 
Deferred income taxes(1,955)(3,728)
Shareholders’ equity, unrealized gains (losses) on fixed maturity securities$2,930 $9,602 
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 June 30, 2022 and December 31, 2021, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position.
  
June 30, 2022
  
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:
  U.S. government and
      agencies:
  U.S. dollar-denominated$1 $5 $0 $5 $1 $0 
  Japan government and
      agencies:
  Yen-denominated8,816 903 5,552 454 3,264 449 
  Municipalities:
  U.S. dollar-denominated719 48 701 43 18 5 
  Yen-denominated306 32 205 16 101 16 
Mortgage- and asset-
    backed securities:
  U.S. dollar-denominated784 53 758 51 26 2 
  Yen-denominated65 6 40 3 25 3 
  Public utilities:
  U.S. dollar-denominated1,044 91 1,005 86 39 5 
      Yen-denominated761 52 716 47 45 5 
  Sovereign and supranational:
  U.S. dollar-denominated31 12 5 2 26 10 
  Yen-denominated71 2 35 2 36 0 
  Banks/financial institutions:
  U.S. dollar-denominated754 62 684 53 70 9 
  Yen-denominated3,421 343 2,576 246 845 97 
  Other corporate:
  U.S. dollar-denominated6,549 645 5,912 515 637 130 
  Yen-denominated 1,662 187 1,453 149 209 38 
  Total$24,984 $2,441 $19,642 $1,672 $5,342 $769 
  
December 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:
  U.S. government and
      agencies:
  U.S. dollar-denominated$1 $1 $0 $1 $1 $0 
  Japan government and
      agencies:
  Yen-denominated2,868 61 445 3 2,423 58 
  Municipalities:
  U.S. dollar-denominated82 2 79 2 3 0 
  Yen-denominated187 5 53 0 134 5 
Mortgage- and asset-
    backed securities:
  U.S. dollar-denominated278 2 278 2 0 0 
  Yen-denominated33 1 0 0 33 1 
  Public utilities:
  U.S. dollar-denominated130 5 70 2 60 3 
  Yen-denominated26 2 0 0 26 2 
  Sovereign and supranational:
  U.S. dollar-denominated37 6 6 1 31 5 
  Banks/financial institutions:
  U.S. dollar-denominated292 3 274 3 18 0 
  Yen-denominated2,074 72 1,011 16 1,063 56 
  Other corporate:
  U.S. dollar-denominated1,365 53 458 8 907 45 
  Yen-denominated541 26 274 4 267 22 
  Total $7,914 $239 $2,948 $42 $4,966 $197 
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, 2022December 31, 2021
Amortized Cost% of TotalAmortized Cost% of Total
Commercial Mortgage and other loans:
Transitional real estate loans:
Office$2,057 15.5 %$2,001 16.7 %
Retail348 2.6 267 2.2 
Apartments/Multi-Family2,560 19.4 1,893 15.8 
Industrial154 1.2 94 .8 
Hospitality843 6.4 876 7.3 
Other298 2.3 228 1.9 
Total transitional real estate loans6,260 47.4 5,359 44.7 
Commercial mortgage loans:
Office388 2.9 398 3.3 
Retail315 2.4 332 2.8 
Apartments/Multi-Family640 4.8 649 5.4 
Industrial533 4.0 525 4.4 
Total commercial mortgage loans1,876 14.1 1,904 15.9 
Middle market loans5,087 38.5 4,697 39.4 
Total commercial mortgage and other loans$13,223 100.0 %$11,960 100.0 %
Allowance for credit losses(170)(174)
Total net commercial mortgage and other loans$13,053 $11,786 
Allowance for Loan Losses by Portfolio Segment
The following table presents the roll forward of the allowance for credit losses by portfolio segment.
(in millions)Transitional Real Estate LoansCommercial Mortgage LoansMiddle Market LoansHeld to Maturity SecuritiesAvailable for Sale SecuritiesReinsurance Recoverables
Three Months Ended June 30, 2022:
Balance at March 31, 2022$(52)$(8)$(98)$(8)$0 $(9)
(Addition to) release of allowance for credit
   losses		(1)0 (16)0 0 0 
Write-offs, net of recoveries0 0 5 0 0 0 
Change in foreign exchange0 0 0 1 0 1 
Balance at June 30, 2022
$(53)$(8)$(109)$(7)$0 $(8)
Three Months Ended June 30, 2021:
Balance at March 31, 2021
$(47)$(24)$(83)$(8)$(27)$(13)
(Addition to) release of allowance for credit
   losses		6 2 7 0 1 0 
Balance at June 30, 2021
$(41)$(22)$(76)$(8)$(26)$(13)
Six Months Ended June 30, 2022:
Balance at December 31, 2021
$(68)$(10)$(96)$(8)$0 $(13)
(Addition to) release of allowance for credit
   losses		15 2 (18)0 0 2 
Write-offs, net of recoveries0 0 5 0 0 0 
Change in foreign exchange0 0 0 1 0 3 
Balance at June 30, 2022
$(53)$(8)$(109)$(7)$0 $(8)
Six Months Ended June 30, 2021:
Balance at December 31, 2020$(63)$(33)$(85)$(9)$(38)$(11)
(Addition to) release of allowance for credit
   losses		22 11 9 1 0 (2)
Write-offs, net of recoveries0 0 0 0 12 0 
Balance at June 30, 2021
$(41)$(22)$(76)$(8)$(26)$(13)
Other Investments
The table below reflects the composition of the carrying value for other investments as of the periods presented.
(In millions)June 30,
2022		December 31, 2021
Other investments:
Policy loans$204 $236 
Short-term investments (1)
1,695 1,726 
Limited partnerships2,173 1,858 
Other30 22 
Total other investments$4,102 $3,842 
(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, 2022December 31, 2021
(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 $2,245 $2,245 $0 $920 $920 
Public utilities17 0 17 40 0 40 
Sovereign and supranational1 0 1 2 0 2 
Banks/financial institutions86 0 86 88 0 88 
Other corporate864 0 864 1,112 0 1,112 
Equity securities48 0 48 0 0 0 
          Total borrowings$1,016 $2,245 $3,261 $1,242 $920 $2,162 
Gross amount of recognized liabilities for securities
   lending transactions		$3,261 $2,162 
(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, 2022December 31, 2021
(In millions)
Amortized
Cost (1)
Fair
Value
Amortized
Cost (1)
Fair
Value
Assets:
Fixed maturity securities, available for sale$2,995 $3,820 $3,264 $4,490 
Commercial mortgage and other loans10,630 10,575 9,740 9,910 
Other investments (2)
1,823 1,823 1,535 1,535 
Other assets (3)
65 65 78 78 
Total assets of consolidated VIEs$15,513 $16,283 $14,617 $16,013 
Liabilities:
Other liabilities (3)
$457 $457 $414 $414 
Total liabilities of consolidated VIEs$457 $457 $414 $414 
(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, 2022December 31, 2021
(In millions)Amortized
Cost		Fair
Value		Amortized
Cost		Fair
Value
Assets:
Fixed maturity securities, available for sale$4,118 $4,643 $4,779 $5,864 
Other investments (1)
350 350 323 323 
Total investments in VIEs not consolidated$4,468 $4,993 $5,102 $6,187 
(1) Consists entirely of alternative investments in limited partnerships
Transitional real estate loans  
Financing Receivable Credit Quality Indicators
Transitional Real Estate Loans
(In millions)20222021202020192018PriorTotal
Loan-to-Value Ratio:
0%-59.99%$452 $630 $36 $268 $86 $0 $1,472 
60%-69.99%423 732 138 524 430 50 2,297 
70%-79.99%672 936 125 412 207 1 2,353 
80% or greater0 138 0 0 0 0 138 
Total$1,547 $2,436 $299 $1,204 $723 $51 $6,260 
Commercial mortgage loans  
Financing Receivable Credit Quality Indicators
Commercial Mortgage Loans
(In millions)20222021202020192018PriorTotalWeighted-Average DSCR
Loan-to-Value Ratio:
0%-59.99%$54 $299 $46 $516 $153 $586 $1,654 2.52
60%-69.99%0 34 0 46 0 77 157 2.08
70%-79.99%0 0 0 40 0 25 65 1.18
80% or greater0 0 0 0 0 0 0 0.00
Total$54 $333 $46 $602 $153 $688 $1,876 2.43
Weighted Average DSCR0.002.841.942.552.082.25
Middle market loans  
Financing Receivable Credit Quality Indicators
Middle Market Loans
(In millions)20222021202020192018PriorRevolving LoansTotal
Credit Ratings:
BBB$38 $184 $67 $37 $19 $0 $104 $449 
BB120 437 333 240 86 69 325 1,610 
B196 722 467 525 259 225 291 2,685 
CCC0 0 21 83 70 91 55 320 
CC0 0 0 0 14 8 1 23 
C and lower0 0 0 0 0 0 0 0 
Total$354 $1,343 $888 $885 $448 $393 $776 $5,087