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INVESTMENTS (Tables)
 3 Months Ended
Mar. 31, 2020
Investments [Line Items]  
Amortized cost or cost and fair value of available for sale securities

 

 

Amortized

 

Allowance

 

Gross

 

Gross

 

 

 

 

Cost or

 

for Credit

 

Unrealized

 

Unrealized

 

Fair

(in millions)

 

Cost

 

Losses(a)

 

Gains

 

Losses

 

Value

March 31, 2020

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

4,664

$

-

$

1,042

$

(17)

$

5,689

Obligations of states, municipalities and political subdivisions

 

14,140

 

-

 

1,375

 

(75)

 

15,440

Non-U.S. governments

 

13,737

 

(7)

 

676

 

(233)

 

14,173

Corporate debt

 

140,356

 

(167)

 

9,073

 

(4,940)

 

144,322

Mortgage-backed, asset-backed and collateralized:

 

 

 

 

 

 

 

 

 

 

RMBS

 

29,433

 

(37)

 

2,069

 

(608)

 

30,857

CMBS

 

13,988

 

-

 

530

 

(292)

 

14,226

CDO/ABS

 

18,268

 

-

 

136

 

(1,335)

 

17,069

Total mortgage-backed, asset-backed and collateralized

 

61,689

 

(37)

 

2,735

 

(2,235)

 

62,152

Total bonds available for sale(c)

$

234,586

$

(211)

$

14,901

$

(7,500)

$

241,776

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other-Than-

 

 

Amortized

 

Gross

 

Gross

 

 

 

Temporary

 

 

Cost or

 

Unrealized

 

Unrealized

 

Fair

 

Impairments

(in millions)

 

Cost

 

Gains

 

Losses

 

Value

 

in AOCI(b)

December 31, 2019

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

5,108

$

316

$

(44)

$

5,380

$

-

Obligations of states, municipalities and political subdivisions

 

13,960

 

1,390

 

(32)

 

15,318

 

-

Non-U.S. governments

 

14,042

 

884

 

(57)

 

14,869

 

(18)

Corporate debt

 

138,046

 

12,090

 

(500)

 

149,636

 

7

Mortgage-backed, asset-backed and collateralized:

 

 

 

 

 

 

 

 

 

 

RMBS

 

29,802

 

3,067

 

(64)

 

32,805

 

1,149

CMBS

 

13,879

 

576

 

(25)

 

14,430

 

34

CDO/ABS

 

18,393

 

348

 

(93)

 

18,648

 

14

Total mortgage-backed, asset-backed and collateralized

 

62,074

 

3,991

 

(182)

 

65,883

 

1,197

Total bonds available for sale(c)

$

233,230

$

18,671

$

(815)

$

251,086

$

1,186

(a)Represents the allowance for credit losses that has been recognized. Changes in the allowance for credit losses are recorded through the statements of income and are not recognized in other comprehensive income.

(b)Represents the amount of other-than-temporary impairments recognized in Accumulated other comprehensive income (loss). Amount includes unrealized gains and losses on impaired securities relating to changes in the fair value of such securities subsequent to the impairment measurement date.

(c)At March 31, 2020 and December 31, 2019, bonds available for sale held by us that were below investment grade or not rated totaled $25.1 billion and $27.8 billion, respectively.
Securities available for sale in a loss position

 

Less than 12 Months

 

12 Months or More

 

Total

 

 

 

 

Gross

 

 

 

 

Gross

 

 

 

 

Gross

 

 

Fair

 

Unrealized

 

 

Fair

 

Unrealized

 

 

Fair

 

Unrealized

(in millions)

 

Value

 

Losses

 

 

Value

 

Losses

 

 

Value

 

Losses

March 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

249

$

17

 

$

4

$

-

 

$

253

$

17

Obligations of states, municipalities and political

 

 

 

 

 

 

 

 

 

 

 

 

 

 

subdivisions

 

1,274

 

63

 

 

181

 

12

 

 

1,455

 

75

Non-U.S. governments

 

2,277

 

156

 

 

197

 

62

 

 

2,474

 

218

Corporate debt

 

45,529

 

4,213

 

 

1,171

 

485

 

 

46,700

 

4,698

RMBS

 

5,743

 

346

 

 

504

 

39

 

 

6,247

 

385

CMBS

 

4,653

 

282

 

 

104

 

10

 

 

4,757

 

292

CDO/ABS

 

11,229

 

950

 

 

2,734

 

385

 

 

13,963

 

1,335

Total bonds available for sale

$

70,954

$

6,027

 

$

4,895

$

993

 

$

75,849

$

7,020

 

Less than 12 Months

 

12 Months or More

 

Total

 

 

 

 

Gross

 

 

 

 

Gross

 

 

 

 

Gross

 

 

Fair

 

Unrealized

 

 

Fair

 

Unrealized

 

 

Fair

 

Unrealized

(in millions)

 

Value

 

Losses

 

 

Value

 

Losses

 

 

Value

 

Losses

December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

1,461

$

44

 

$

63

$

-

 

$

1,524

$

44

Obligations of states, municipalities and political

 

 

 

 

 

 

 

 

 

 

 

 

 

 

subdivisions

 

672

 

21

 

 

246

 

11

 

 

918

 

32

Non-U.S. governments

 

1,105

 

12

 

 

343

 

45

 

 

1,448

 

57

Corporate debt

 

11,868

 

319

 

 

2,405

 

181

 

 

14,273

 

500

RMBS

 

3,428

 

28

 

 

1,367

 

36

 

 

4,795

 

64

CMBS

 

1,877

 

16

 

 

367

 

9

 

 

2,244

 

25

CDO/ABS

 

3,920

 

53

 

 

2,571

 

40

 

 

6,491

 

93

Total bonds available for sale

$

24,331

$

493

 

$

7,362

$

322

 

$

31,693

$

815
Amortized cost and fair value of fixed maturity securities available for sale by contractual maturity

 

Total Fixed Maturity Securities

 

Available for Sale

 

 

Amortized Cost,

 

 

(in millions)

 

Net of Allowance

 

Fair Value

March 31, 2020

 

 

 

 

Due in one year or less

$

10,370

$

10,517

Due after one year through five years

 

42,552

 

42,479

Due after five years through ten years

 

41,923

 

41,993

Due after ten years

 

77,878

 

84,635

Mortgage-backed, asset-backed and collateralized

 

61,652

 

62,152

Total

$

234,375

$

241,776
Gross realized gains and gross realized losses from sales or maturities of available for sale securities

Three Months Ended March 31,

 

 

 

 

 

2020

 

2019

 

 

 

 

 

 

Gross

 

Gross

 

Gross

 

Gross

 

 

 

 

 

Realized

Realized

Realized

Realized

(in millions)

 

 

 

 

 

Gains

 

Losses

 

Gains

 

Losses

Fixed maturity securities

 

 

 

 

$

380

$

166

$

93

$

124
Value of other securities measured at fair value based on election of the fair value option

 

 

March 31, 2020

 

 

 

December 31, 2019

 

 

 

Fair

Percent

 

 

 

Fair

Percent

 

(in millions)

 

Value

of Total

 

 

 

Value

of Total

 

Fixed maturity securities:

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

2,057

34

%

 

$

2,121

28

%

Corporate debt

 

16

-

 

 

 

18

-

 

Mortgage-backed, asset-backed and collateralized:

 

 

 

 

 

 

 

 

 

RMBS

 

467

8

 

 

 

489

7

 

CMBS

 

271

5

 

 

 

322

4

 

CDO/ABS and other collateralized

 

2,542

43

 

 

 

3,732

50

 

Total mortgage-backed, asset-backed and collateralized

 

3,280

56

 

 

 

4,543

61

 

Total fixed maturity securities

 

5,353

90

 

 

 

6,682

89

 

Equity securities

 

624

10

 

 

 

841

11

 

Total

$

5,977

100

%

 

$

7,523

100

%
Carrying amounts values of other invested assets

 

 

March 31,

 

December 31,

(in millions)

 

2020

 

2019

Alternative investments(a) (b)

$

8,158

$

8,845

Investment real estate(c)

 

8,348

 

8,491

All other investments

 

1,460

 

1,456

Total

$

17,966

$

18,792

(a)At March 31, 2020, included hedge funds of $2.2 billion, private equity funds of $5.6 billion and affordable housing partnerships of $282 million. At December 31, 2019, included hedge funds of $3.3 billion, private equity funds of $5.2 billion and affordable housing partnerships of $331 million.

 

(b)At March 31, 2020, approximately 78 percent of our hedge fund portfolio is available for redemption in 2020. The remaining 22 percent will be available for redemption between 2021 and 2027.

 

(c)Net of accumulated depreciation of $720 million and $703 million at March 31, 2020 and December 31, 2019, respectively.
Components of net investment income

Three Months Ended March 31,

 

 

 

 

 

 

(in millions)

 

 

 

2020

 

2019

Available for sale fixed maturity securities, including short-term investments

 

 

$

2,609

$

2,653

Other fixed maturity securities(a)

 

 

 

(60)

 

327

Equity securities

 

 

 

(191)

 

79

Interest on mortgage and other loans

 

 

 

513

 

498

Alternative investments(b)

 

 

 

(59)

 

419

Real estate

 

 

 

59

 

69

Other investments(c)

 

 

 

(215)

 

(52)

Total investment income

 

 

 

2,656

 

3,993

Investment expenses

 

 

 

148

 

114

Net investment income

 

 

$

2,508

$

3,879

(a)Included in the three-month periods ended March, 31 2020 and 2019 is income of $169 million and $28 million, respectively, for fixed maturity securities measured at fair value through income that economically hedge liabilities as described in (c) below.

(b)Includes income from hedge funds, private equity funds and affordable housing partnerships. Hedge funds are recorded as of the balance sheet date. Private equity funds are generally reported on a one-quarter lag.

(c)Included in the three-month periods ended March, 31 2020 and 2019 are losses of $202 million and $15 million, respectively, related to liabilities measured at fair value that are economically hedged with fixed maturity securities as described in (a) above.
Components of net realized capital gains (losses)

Three Months Ended March 31,

 

 

 

 

 

(in millions)

 

2020

 

2019

 

Sales of fixed maturity securities

$

214

$

(31)

 

Other-than-temporary impairments

 

-

 

(83)

 

Change in intent*

 

-

 

-

 

Change in allowance for credit losses on fixed maturity securities

 

(198)

 

-

 

Change in allowance for credit losses on loans

 

(38)

 

(24)

 

Foreign exchange transactions

 

(254)

 

(37)

 

Variable annuity embedded derivatives, net of related hedges

 

2,192

 

(261)

 

All other derivatives and hedge accounting

 

1,559

 

(72)

 

Other

 

44

 

62

 

Net realized capital gains (losses)

$

3,519

$

(446)

 

*For the three months ended March 31, 2019, the change in intent was included in Other-than-temporary impairments.
Schedule of increase (decrease) in unrealized appreciation (depreciation) of available for sale securities and other investments The following table presents the increase (decrease) in unrealized appreciation (depreciation) of our available for sale securities and other investments:

Three Months Ended March 31,

 

 

 

 

(in millions)

 

2020

 

2019

Increase (decrease) in unrealized appreciation (depreciation) of investments:

 

 

 

 

Fixed maturity securities

$

(10,455)

$

5,982

Other investments

 

-

 

(69)

Total increase (decrease) in unrealized appreciation (depreciation) of investments

$

(10,455)

$

5,913

The following table summarizes the unrealized gains and losses recognized in Net Investment Income during the reporting period on equity securities still held at the reporting date:

 

 

 

 

Other Invested

 

 

(in millions)

 

Equities

 

Assets

 

Total

Three Months Ended March 31, 2020

 

 

 

 

 

 

Net gains and losses recognized during the period on equity securities

$

(191)

$

(129)

$

(320)

Less: Net gains and losses recognized during the period on equity securities sold

 

 

 

 

 

 

during the period

 

12

 

2

 

14

Unrealized gains and losses recognized during the reporting period on equity

 

 

 

 

 

 

securities still held at the reporting date

$

(203)

$

(131)

$

(334)

Three Months Ended March 31, 2019

 

 

 

 

 

 

Net gains and losses recognized during the period on equity securities

$

79

$

239

$

318

Less: Net gains and losses recognized during the period on equity securities sold

 

 

 

 

 

 

during the period

 

19

 

10

 

29

Unrealized gains and losses recognized during the reporting period on equity

 

 

 

 

 

 

securities still held at the reporting date

$

60

$

229

$

289
Rollforward of changes in allowance for credit losses on available for sale fixed maturity securities by major ivnvestment category

Three Months Ended March 31, 2020

 

 

 

Non-

 

 

(in millions)

Structured

Structured

 

Total

Balance, beginning of year *

$

7

$

-

$

7

Additions:

 

 

 

 

 

 

Securities for which allowance for credit losses were not previously recorded

 

24

 

174

 

198

Purchases of available for sale debt securities accounted for as

 

 

 

 

 

 

purchased credit deteriorated assets

 

6

 

-

 

6

Reductions:

 

 

 

 

 

 

Securities sold during the period

 

-

 

-

 

-

Intent to sell security or more likely than not will be required to sell the security

 

 

 

 

 

 

before recovery of its amortized cost basis

 

-

 

-

 

-

Additional increases or decreases to the allowance for credit losses on securities

 

 

 

 

 

 

that had an allowance recorded in a previous period, for which there was no intent

 

 

 

 

 

 

to sell before recovery amortized cost basis

 

-

 

-

 

-

Write-offs charged against the allowance

 

-

 

-

 

-

Recoveries of amounts previously written off

 

-

 

-

 

-

Other

 

-

 

-

 

-

Balance, end of period

$

37

$

174

$

211

* The beginning balance incorporates the Day 1 gross up on PCD assets held as of January 1, 2020.
Rollforward of the cumulative credit losses in other-than-temporary impairments recognized in earnings

Three Months Ended March 31, 2019

 

 

 

 

 

 

(in millions)

 

 

 

 

 

 

Balance, beginning of year

 

 

 

 

$

-

Increases due to:

 

 

 

 

 

 

Credit impairments on new securities subject to impairment losses

 

 

 

 

 

68

Additional credit impairments on previously impaired securities

 

 

 

 

 

6

Reductions due to:

 

 

 

 

 

 

Credit impaired securities fully disposed for which there was no

 

 

 

 

 

 

prior intent or requirement to sell

 

 

 

 

 

(21)

Accretion on securities previously impaired due to credit*

 

 

 

 

 

-

Balance, end of period

 

 

 

 

$

53

Represents both accretion recognized due to changes in cash flows expected to be collected over the remaining expected term of the credit impaired securities and the accretion due to the passage of time.
Reconciliation of purchase price to unpaid principal balance of securities purchased with credit deterioration

(in millions)

March 31, 2020

Unpaid principal balance

$

187

Allowance for expected credit losses at acquisition

 

(6)

Purchase (discount) premium

 

(48)

Purchase price

$

133
Schedule of purchased credit impaired (PCI) securities, at acquisition date

(in millions)

At Date of Acquisition

Contractually required payments (principal and interest)

$

35,139

Cash flows expected to be collected*

 

28,720

Recorded investment in acquired securities

 

19,382

*Represents undiscounted expected cash flows, including both principal and interest.
Schedule of purchased credit impaired (PCI) securities, at reporting date

(in millions)

 

December 31, 2019

Outstanding principal balance

 

 

$

10,476

Amortized cost

 

 

 

6,970

Fair value

 

 

 

8,664
Activity for accretable yield on purchased credit Impaired (PCI) securities The following table presents activity for the accretable yield on PCI securities:

Three Months Ended March 31, 2019

 

 

 

 

(in millions)

 

 

 

 

Balance, beginning of year

 

 

$

7,210

Newly purchased PCI securities

 

 

 

12

Accretion

 

 

 

(172)

Effect of changes in interest rate indices

 

 

 

(134)

Net reclassification from (to) non-accretable difference, including effects of prepayments

 

 

 

(115)

Activities related to businesses reclassified to held for sale

 

 

 

-

Balance, end of period

 

 

$

6,801
Schedule of fair value of securities pledged to counterparties under secured financing transactions

(in millions)

 

March 31, 2020

 

December 31, 2019

Fixed maturity securities available for sale

$

2,759

$

3,030
Schedule of fair value of securities pledged under repurchase agreements by collateral type and by remaining contractual maturity

 

Remaining Contractual Maturity of the Agreements

(in millions)

Overnight and Continuous

 

up to

30 days

 

31 - 90 days

 

91 - 364 days

 

365 days or greater

 

Total

March 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

$

4

$

22

$

-

$

-

$

-

$

26

Corporate debt

 

19

 

104

 

-

 

-

 

-

 

123

Total

$

23

$

126

$

-

$

-

$

-

$

149

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

$

2

$

71

$

-

$

-

$

-

$

73

Corporate debt

 

22

 

55

 

82

 

-

 

-

 

159

Total

$

24

$

126

$

82

$

-

$

-

$

232

 

Remaining Contractual Maturity of the Agreements

(in millions)

 

Overnight and Continuous

 

up to

30 days

 

31 - 90 days

 

91 - 364 days

 

365 days or greater

 

Total

March 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political

 

 

 

 

 

 

 

 

 

 

 

 

subdivisions

$

-

$

234

$

136

$

-

$

-

$

370

Non-U.S. governments

 

-

 

-

 

85

 

-

 

-

 

85

Corporate debt

 

-

 

1,083

 

740

 

-

 

-

 

1,823

RMBS

 

-

 

-

 

-

 

332

 

-

 

332

Total

$

-

$

1,317

$

961

$

332

$

-

$

2,610

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political

 

 

 

 

 

 

 

 

 

 

 

 

subdivisions

$

-

$

-

$

386

$

-

$

-

$

386

Non-U.S. governments

 

-

 

-

 

-

 

-

 

-

 

-

Corporate debt

 

-

 

1,071

 

947

 

-

 

-

 

2,018

RMBS

 

-

 

-

 

-

 

394

 

-

 

394

Total

$

-

$

1,071

$

1,333

$

394

$

-

$

2,798
Schedule of fair value of securities pledged to the entity under reverse repurchase agreements

(in millions)

 

March 31, 2020

 

December 31, 2019

Securities collateral pledged to us

$

3,935

$

2,567

Amount sold or repledged by us

 

-

 

121