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INVESTMENTS
 6 Months Ended
Jun. 30, 2017
Investments, Debt and Equity Securities [Abstract]  
Investments
INVESTMENTS
Fixed Maturities and Equity Securities
The following table provides information relating to fixed maturities and equity securities classified as AFS:
Available-for-Sale Securities by Classification 
 
Amortized
Cost
 
Gross Unrealized
Gains
 
Gross Unrealized
Losses
 
Fair
Value
 
OTTI
in AOCI (3)
 
(In Millions)
June 30, 2017:
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
Public corporate
$
12,530

 
$
745

 
$
45

 
$
13,230

 
$
—

Private corporate
7,075

 
256

 
44

 
7,287

 
—

U.S. Treasury, government and agency
10,756

 
479

 
386

 
10,849

 
—

States and political subdivisions
419

 
66

 
1

 
484

 
—

Foreign governments
343

 
30

 
6

 
367

 
—

Commercial mortgage-backed
329

 
10

 
36

 
303

 
4

Residential mortgage-backed(1)
264

 
17

 
—

 
281

 
—

Asset-backed(2)
38

 
3

 
1

 
40

 
3

Redeemable preferred stock
485

 
53

 
1

 
537

 
—

Total Fixed Maturities
32,239

 
1,659

 
520

 
33,378

 
7

Equity securities
132

 
—

 
—

 
132

 
—

Total at June 30, 2017
$
32,371

 
$
1,659

 
$
520

 
$
33,510

 
$
7

December 31, 2016:
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
Public corporate
$
12,418

 
$
675

 
$
81

 
$
13,012

 
$
—

Private corporate
6,880

 
215

 
55

 
7,040

 
—

U.S. Treasury, government and agency
10,739

 
221

 
624

 
10,336

 
—

States and political subdivisions
432

 
63

 
2

 
493

 
—

Foreign governments
375

 
29

 
14

 
390

 
—

Commercial mortgage-backed
415

 
28

 
72

 
371

 
7

Residential mortgage-backed(1)
294

 
20

 
—

 
314

 
—

Asset-backed(2)
51

 
10

 
1

 
60

 
3

Redeemable preferred stock
519

 
45

 
10

 
554

 
—

Total Fixed Maturities
32,123

 
1,306

 
859

 
32,570

 
10

Equity securities
113

 
—

 
—

 
113

 
—

Total at December 31, 2016
$
32,236

 
$
1,306

 
$
859

 
$
32,683

 
$
10

 
(1)
Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.
(2)
Includes credit-tranched securities collateralized by sub-prime mortgages and other asset types and credit tenant loans.
(3)
Amounts represent OTTI losses in AOCI, which were not included in earnings (loss) in accordance with current accounting guidance.

The contractual maturities of AFS fixed maturities at June 30, 2017 are shown in the table below. Bonds not due at a single maturity date have been included in the table in the final year of maturity. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Available-for-Sale Fixed Maturities
Contractual Maturities at June 30, 2017 
 
Amortized
Cost
 
Fair Value
 
(In Millions)
Due in one year or less
$
1,778

 
$
1,801

Due in years two through five
7,379

 
7,733

Due in years six through ten
9,315

 
9,557

Due after ten years
12,651

 
13,126

Subtotal
31,123

 
32,217

Commercial mortgage-backed securities
329

 
303

Residential mortgage-backed securities
264

 
281

Asset-backed securities
38

 
40

Redeemable preferred stock
485

 
537

Total
$
32,239

 
$
33,378


The following table shows proceeds from sales, gross gains (losses) from sales and OTTI for AFS fixed maturities during the second quarter and first six months of 2017 and 2016:
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2017
 
2016
 
2017
 
2016
 
(In Millions)
Proceeds from sales
$
121

 
$
1,397

 
$
535

 
$
1,786

Gross gains on sales
$
10

 
$
66

 
$
29

 
$
85

Gross losses on sales
$
(7
)
 
$
(25
)
 
$
(27
)
 
$
(46
)
Total OTTI
$
(13
)
 
$
(8
)
 
$
(13
)
 
$
(25
)
Non-credit losses recognized in OCI
—

 
—

 
—

 
—

Credit losses recognized in earnings (loss)
$
(13
)
 
$
(8
)
 
$
(13
)
 
$
(25
)


The following table sets forth the amount of credit loss impairments on fixed maturity securities held by the Company at the dates indicated and the corresponding changes in such amounts.

Fixed Maturities - Credit Loss Impairments 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2017
 
2016
 
2017
 
2016
 
(In Millions)
Balances, beginning of period
$
(147
)
 
$
(181
)
 
$
(190
)
 
$
(198
)
Previously recognized impairments on securities that matured, paid, prepaid or sold
45

 
23

 
88

 
57

Recognized impairments on securities impaired to fair value this period(1)
—

 
—

 
—

 
(17
)
Impairments recognized this period on securities not previously impaired
(13
)
 
(8
)
 
(13
)
 
(8
)
Additional impairments this period on securities previously impaired
—

 
—

 
—

 
—

Increases due to passage of time on previously recorded credit losses
—

 
—

 
—

 
—

Accretion of previously recognized impairments due to increases in expected cash flows
—

 
—

 
—

 
—

Balances at June 30,
$
(115
)
 
$
(166
)
 
$
(115
)
 
$
(166
)
(1)
Represents circumstances where the Company determined in the current period that it intends to sell the security or it is more likely than not that it will be required to sell the security before recovery of the security’s amortized cost.
Net unrealized investment gains (losses) on fixed maturities and equity securities classified as AFS are included in the consolidated balance sheets as a component of AOCI. The table below presents these amounts as of the dates indicated:
 
June 30,
2017
 
December 31, 2016
 
(In Millions)
AFS Securities:
 
 
 
Fixed maturities:
 
 
 
With OTTI loss
$
(6
)
 
$
19

All other
1,145

 
428

Equity securities
—

 
—

Net Unrealized Gains (Losses)
$
1,139

 
$
447



Changes in net unrealized investment gains (losses) recognized in AOCI include reclassification adjustments to reflect amounts realized in Net earnings (loss) for the current period that had been part of OCI in earlier periods. The tables that follow below present a roll-forward of net unrealized investment gains (losses) recognized in AOCI, split between amounts related to fixed maturity securities on which an OTTI loss has been recognized and all other amounts:

Net Unrealized Gains (Losses) on Fixed Maturities with OTTI Losses

 
Net
Unrealized
Gains
(Losses) on
Investments
 
DAC
 
Policyholders’
Liabilities
 
Deferred
Income
Tax Asset
(Liability)
 
AOCI Gain
(Loss) Related
to Net
Unrealized
Investment
Gains (Losses)
 
(In Millions)
Balance, April 1, 2017
$
20

 
$
—

 
$
(5
)
 
$
(5
)
 
$
10

Net investment gains (losses) arising during the period
(44
)
 
—

 
—

 
—

 
(44
)
Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
18

 
—

 
—

 
—

 
18

Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
2

 
—

 
—

 
2

Deferred income taxes
—

 
—

 
—

 
6

 
6

Policyholders’ liabilities
—

 
—

 
6

 
—

 
6

Balance, June 30, 2017
$
(6
)
 
$
2

 
$
1

 
$
1

 
$
(2
)
Balance, April 1, 2016
$
9

 
$
—

 
$
—

 
$
(4
)
 
$
5

Net investment gains (losses) arising during the period
(17
)
 
—

 
—

 
—

 
(17
)
Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
23

 
—

 
—

 
—

 
23

Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
—

 
—

 
—

 
—

Deferred income taxes
—

 
—

 
—

 
(2
)
 
(2
)
Policyholders’ liabilities
—

 
—

 
—

 
—

 
—

Balance, June 30, 2016
$
15

 
$
—

 
$
—

 
$
(6
)
 
$
9


 
 
Net
Unrealized
Gains
(Losses) on
Investments
 
DAC
 
Policyholders’
Liabilities
 
Deferred
Income
Tax Asset
(Liability)
 
AOCI Gain
(Loss) Related
to Net
Unrealized
Investment
Gains (Losses)
 
(In Millions)
Balance, January 1, 2017
$
19

 
$
(1
)
 
$
(10
)
 
$
(3
)
 
$
5

Net investment gains (losses) arising during the period
5

 
—

 
—

 
—

 
5

Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
(30
)
 
—

 
—

 
—

 
(30
)
Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
3

 
—

 
—

 
3

Deferred income taxes
—

 
—

 
—

 
4

 
4

Policyholders’ liabilities
—

 
—

 
11

 
—

 
11

Balance, June 30, 2017
$
(6
)
 
$
2

 
$
1

 
$
1

 
$
(2
)
Balance, January 1, 2016
$
16

 
$
—

 
$
(4
)
 
$
(5
)
 
$
7

Net investment gains (losses) arising during the period
(7
)
 
—

 
—

 
—

 
(7
)
Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
6

 
—

 
—

 
—

 
6

Excluded from Net earnings (loss)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
—

 
—

 
—

 
—

Deferred income taxes
—

 
—

 
—

 
(1
)
 
(1
)
Policyholders’ liabilities
—

 
—

 
4

 
—

 
4

Balance, June 30, 2016
$
15

 
$
—

 
$
—

 
$
(6
)
 
$
9


  


All Other Net Unrealized Investment Gains (Losses) in AOCI

 
Net
Unrealized
Gains
(Losses) on
Investments
 
DAC
 
Policyholders’
Liabilities
 
Deferred
Income
Tax Asset
(Liability)
 
AOCI Gain
(Loss) Related
to Net
Unrealized
Investment
Gains (Losses)
 
(In Millions)
Balance, April 1, 2017
$
606

 
$
(108
)
 
$
(135
)
 
$
(127
)
 
$
236

Net investment gains (losses) arising during the period
524

 
—

 
—

 
—

 
524

Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
15

 
—

 
—

 
—

 
15

Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
(33
)
 
—

 
—

 
(33
)
Deferred income taxes
—

 
—

 
—

 
(162
)
 
(162
)
Policyholders’ liabilities
—

 
—

 
(41
)
 
—

 
(41
)
Balance, June 30, 2017
$
1,145

 
$
(141
)
 
$
(176
)
 
$
(289
)
 
$
539

Balance, April 1, 2016
$
1,975

 
$
(57
)
 
$
(306
)
 
$
(565
)
 
$
1,047

Net investment gains (losses) arising during the period
1,172

 
—

 
—

 
—

 
1,172

Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
(45
)
 
—

 
—

 
—

 
(45
)
Excluded from Net earnings (loss)(1)
(23
)
 
—

 
—

 
—

 
(23
)
Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
(82
)
 
—

 
—

 
(82
)
Deferred income taxes
—

 
—

 
—

 
(321
)
 
(321
)
Policyholders’ liabilities
—

 
—

 
(105
)
 
—

 
(105
)
Balance, June 30, 2016
$
3,079

 
$
(139
)
 
$
(411
)
 
$
(886
)
 
$
1,643






 
Net
Unrealized
Gains
(Losses) on
Investments
 
DAC
 
Policyholders’
Liabilities
 
Deferred
Income
Tax Asset
(Liability)
 
AOCI Gain
(Loss) Related
to Net
Unrealized
Investment
Gains (Losses)
 
(In Millions)
Balance, January 1, 2017
$
428

 
$
(87
)
 
$
(189
)
 
$
(53
)
 
$
99

Net investment gains (losses) arising during the period
690

 
—

 
—

 
—

 
690

Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
27

 
—

 
—

 
—

 
27

Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
(54
)
 
—

 
—

 
(54
)
Deferred income taxes
—

 
—

 
—

 
(236
)
 
(236
)
Policyholders’ liabilities
—

 
—

 
13

 
—

 
13

Balance, June 30, 2017
$
1,145

 
$
(141
)
 
$
(176
)
 
$
(289
)
 
$
539

Balance, January 1, 2016
$
674

 
$
(82
)
 
$
(213
)
 
$
(133
)
 
$
246

Net investment gains (losses) arising during the period
2,434

 
—

 
—

 
—

 
2,434

Reclassification adjustment for OTTI losses:
 
 
 
 
 
 
 
 
 
Included in Net earnings (loss)
(29
)
 
—

 
—

 
—

 
(29
)
Excluded from Net earnings (loss)(1)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 
 
DAC
—

 
(57
)
 
—

 
—

 
(57
)
Deferred income taxes
—

 
—

 
—

 
(753
)
 
(753
)
Policyholders’ liabilities
—

 
—

 
(198
)
 
—

 
(198
)
Balance, June 30, 2016
$
3,079

 
$
(139
)
 
$
(411
)
 
$
(886
)
 
$
1,643


 
(1)
Represents “transfers out” related to the portion of OTTI losses during the period that were not recognized in earnings (loss) for securities with no prior OTTI loss.
The following tables disclose the fair values and gross unrealized losses of the 634 issues at June 30, 2017 and the 794 issues at December 31, 2016 of fixed maturities that are not deemed to be other-than-temporarily impaired, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position for the specified periods at the dates indicated:

 
Less Than 12 Months
 
12 Months or Longer
 
Total
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
(In Millions)
June 30, 2017:
 
 
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
 
 
Public corporate
$
2,032

 
$
40

 
$
149

 
$
5

 
$
2,181

 
$
45

Private corporate
1,108

 
26

 
155

 
18

 
1,263

 
44

U.S. Treasury, government and agency
5,153

 
386

 
—

 
—

 
5,153

 
386

States and political subdivisions
—

 
—

 
19

 
1

 
19

 
1

Foreign governments
46

 
1

 
35

 
5

 
81

 
6

Commercial mortgage-backed
39

 
5

 
171

 
31

 
210

 
36

Residential mortgage-backed
13

 
—

 
19

 
—

 
32

 
—

Asset-backed
3

 
—

 
8

 
1

 
11

 
1

Redeemable preferred stock
8

 
—

 
12

 
1

 
20

 
1

Total
$
8,402

 
$
458


$
568


$
62


$
8,970


$
520

December 31, 2016:
 
 
 
 
 
 
 
 
 
 
 
Fixed Maturity Securities:
 
 
 
 
 
 
 
 
 
 
 
Public corporate
$
2,455

 
$
75

 
$
113

 
$
6

 
$
2,568

 
$
81

Private corporate
1,483

 
38

 
277

 
17

 
1,760

 
55

U.S. Treasury, government and agency
5,356

 
624

 
—

 
—

 
5,356

 
624

States and political subdivisions
—

 
—

 
18

 
2

 
18

 
2

Foreign governments
73

 
3

 
49

 
11

 
122

 
14

Commercial mortgage-backed
66

 
5

 
171

 
67

 
237

 
72

Residential mortgage-backed
47

 
—

 
4

 
—

 
51

 
—

Asset-backed
4

 
—

 
8

 
1

 
12

 
1

Redeemable preferred stock
218

 
9

 
12

 
1

 
230

 
10

Total
$
9,702

 
$
754

 
$
652

 
$
105

 
$
10,354

 
$
859


The Company’s investments in fixed maturity securities do not include concentrations of credit risk of any single issuer greater than 10% of the consolidated equity of AXA Equitable, other than securities of the U.S. government, U.S. government agencies, and certain securities guaranteed by the U.S. government. The Company maintains a diversified portfolio of corporate securities across industries and issuers and does not have exposure to any single issuer in excess of 0.3% of total investments. The largest exposures to a single issuer of corporate securities held at June 30, 2017 and December 31, 2016 were $179 million and $169 million, respectively. Corporate high yield securities, consisting primarily of public high yield bonds, are classified as other than investment grade by the various rating agencies, i.e., a rating below Baa3/BBB- or the National Association of Insurance Commissioners (“NAIC”) designation of 3 (medium grade), 4 or 5 (below investment grade) or 6 (in or near default). At June 30, 2017 and December 31, 2016, respectively, approximately $1,527 million and $1,574 million, or 4.7% and 4.9%, of the $32,239 million and $32,123 million aggregate amortized cost of fixed maturities held by the Company were considered to be other than investment grade. These securities had net unrealized losses of $20 million and $28 million at June 30, 2017 and December 31, 2016, respectively. At June 30, 2017 and December 31, 2016, respectively, the $62 million and $105 million of gross unrealized losses of twelve months or more were concentrated in corporate and commercial mortgage-backed securities. In accordance with the policy described in Note 2, the Company concluded that an adjustment to earnings for OTTI for these securities was not warranted at either June 30, 2017 or 2016. At June 30, 2017 and December 31, 2016, the Company did not intend to sell the securities nor will it likely be required to dispose of the securities before the anticipated recovery of their remaining amortized cost basis.
At June 30, 2017, the carrying value of fixed maturities that were non-income producing for the twelve months preceding that date was $2 million.
For the second quarter and first six months of 2017 and 2016, investment income is shown net of investment expenses of $9 million, $29 million, $14 million and $30 million respectively.
At June 30, 2017 and December 31, 2016, respectively, the amortized cost of the Company’s trading account securities was $10,961 million and $9,177 million with respective fair values of $10,969 million and $9,134 million. Also at June 30, 2017 and December 31, 2016, respectively, trading securities included the General Account’s investment in Separate Accounts, which had carrying values of $48 million and $63 million and costs of $30 million and $46 million.
Net unrealized and realized gains (losses) on trading account equity securities are included in Net investment income (loss) in the consolidated statements of earnings (loss). The table below shows a breakdown of Net investment income from trading account securities during the second quarter and first six months of 2017 and 2016:

Net investment income (loss) from trading securities 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2017
 
2016
 
2017
 
2016
 
(In Millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period
$
57

 
$
55

 
$
108

 
$
119

Net investment gains (losses) recognized on securities sold during the period
23

 
(4
)
 
25

 
(10
)
Unrealized and realized gains (losses) on trading securities arising during the period
80

 
51

 
133

 
109

Interest and dividend income from trading securities
49

 
29

 
89

 
48

Net investment income (loss) from trading securities
$
129

 
$
80

 
$
222

 
$
157


Mortgage Loans
Mortgage loans on real estate are placed on nonaccrual status once management determines the collection of accrued interest is doubtful. Once mortgage loans on real estate are classified as nonaccrual loans, interest income is recognized under the cash basis of accounting and the resumption of the interest accrual would commence only after all past due interest has been collected or the mortgage loan on real estate has been restructured to where the collection of interest is considered likely. At June 30, 2017 and December 31, 2016, the carrying values of commercial mortgage loans on real estate that had been classified as nonaccrual loans were $19 million and $34 million, respectively.
Troubled Debt Restructurings
During second quarter 2017, the Company sold the property previously considered a TDR mortgage loan. As of June 30, 2017, no mortgage loan on the Company balance sheet was considered a TDR.



Valuation Allowances for Mortgage Loans:
Allowance for credit losses for commercial mortgage loans for the first six months of 2017 and 2016 was as follows:
 
2017
 
2016
Allowance for credit losses:
(In Millions)
Beginning balance, January 1,
$
8

 
$
6

Charge-offs
—

 
—

Recoveries
—

 
—

Provision
—

 
1

Ending balance, June 30,
$
8

 
$
7

 
 
 
 
June 30, Individually Evaluated for Impairment
$
8

 
$
7


There were no allowances for credit losses for agricultural mortgage loans for the first six months of 2017 and 2016.
The following tables provide information relating to the loan-to-value and debt service coverage ratios for commercial and agricultural mortgage loans at June 30, 2017 and December 31, 2016, before adjustments for valuation allowance. The values used in these ratio calculations were developed as part of the periodic review of the commercial and agricultural mortgage loan portfolio, which includes an evaluation of the underlying collateral value.
Mortgage Loans by Loan-to-Value and Debt Service Coverage Ratios
June 30, 2017
 
Debt Service Coverage Ratio
 
 
Loan-to-Value Ratio:(2)
Greater than 2.0x
 
1.8x to 2.0x
 
1.5x to 1.8x
 
1.2x to 1.5x
 
1.0x to 1.2x
 
Less than 1.0x
 
Total Mortgage
Loans
 
(In Millions)
Commercial Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
681

 
$
45

 
$
321

 
$
74

 
$
—

 
$
—

 
$
1,121

50% - 70%
3,977

 
518

 
695

 
840

 
—

 
—

 
6,030

70% - 90%
249

 
22

 
256

 
104

 
96

 
—

 
727

90% plus
—

 
—

 
27

 
—

 
—

 
—

 
27

Total Commercial Mortgage Loans
$
4,907

 
$
585

 
$
1,299

 
$
1,018

 
$
96

 
$
—

 
$
7,905

Agricultural Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
255

 
$
142

 
$
301

 
$
501

 
$
285

 
$
53

 
$
1,537

50% - 70%
125

 
56

 
212

 
321

 
213

 
38

 
965

70% - 90%
—

 
—

 
—

 
4

 
—

 
—

 
4

90% plus
—

 
—

 
—

 
—

 
—

 
—

 
—

Total Agricultural Mortgage Loans
$
380

 
$
198

 
$
513

 
$
826

 
$
498

 
$
91

 
$
2,506

Total Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
936

 
$
187

 
$
622

 
$
575

 
$
285

 
$
53

 
$
2,658

50% - 70%
4,102

 
574

 
907

 
1,161

 
213

 
38

 
6,995

70% - 90%
249

 
22

 
256

 
108

 
96

 
—

 
731

90% plus
—

 
—

 
27

 
—

 
—

 
—

 
27

Total Mortgage Loans
$
5,287

 
$
783

 
$
1,812

 
$
1,844

 
$
594

 
$
91

 
$
10,411



(1)
The debt service coverage ratio is calculated using the most recently reported net operating income results from property operations divided by annual debt service.
(2)
The loan-to-value ratio is derived from current loan balance divided by the fair market value of the property. The fair market value of the underlying commercial properties is updated annually.
Mortgage Loans by Loan-to-Value and Debt Service Coverage Ratios
December 31, 2016
 
Debt Service Coverage Ratio
 
 
Loan-to-Value Ratio:(2)
Greater than 2.0x
 
1.8x to 2.0x
 
1.5x to 1.8x
 
1.2x to1.5x
 
1.0x to 1.2x
 
Less than 1.0x
 
Total Mortgage Loans
 
(In Millions)
Commercial Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
738

 
$
95

 
$
59

 
$
56

 
$
—

 
$
—

 
$
948

50% - 70%
3,217

 
430

 
673

 
1,100

 
76

 
—

 
5,496

70% - 90%
282

 
65

 
229

 
127

 
28

 
46

 
777

90% plus
—

 
—

 
28

 
15

 
—

 
—

 
43

Total Commercial Mortgage Loans
$
4,237

 
$
590

 
$
989

 
$
1,298

 
$
104

 
$
46

 
$
7,264

Agricultural Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
254

 
$
138

 
$
296

 
$
468

 
$
286

 
$
49

 
$
1,491

50% - 70%
141

 
57

 
209

 
333

 
219

 
45

 
1,004

70% - 90%
—

 
—

 
2

 
4

 
—

 
—

 
6

90% plus
—

 
—

 
—

 
—

 
—

 
—

 
—

Total Agricultural Mortgage Loans
$
395

 
$
195

 
$
507

 
$
805

 
$
505

 
$
94

 
$
2,501

Total Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
992

 
$
233

 
$
355

 
$
524

 
$
286

 
$
49

 
$
2,439

50% - 70%
3,358

 
487

 
882

 
1,433

 
295

 
45

 
6,500

70% - 90%
282

 
65

 
231

 
131

 
28

 
46

 
783

90% plus
—

 
—

 
28

 
15

 
—

 
—

 
43

Total Mortgage Loans
$
4,632

 
$
785

 
$
1,496

 
$
2,103

 
$
609

 
$
140

 
$
9,765



(1)
The debt service coverage ratio is calculated using the most recently reported net operating income results from property operations divided by annual debt service.
(2)
The loan-to-value ratio is derived from current loan balance divided by the fair market value of the property. The fair market value of the underlying commercial properties is updated annually.

The following table provides information relating to the aging analysis of past due mortgage loans at June 30, 2017 and December 31, 2016, respectively, before adjustments for valuation allowance.

Age Analysis of Past Due Mortgage Loans
 
30-59
    Days    
 
60-89
    Days    
 
90
    Days    
or >
 
Total    
 
Current    
 
Total
Financing
Receivables
 
Recorded
Investment 90 Days or >
and
Accruing
 
 
 
 
 
 
 
(In Millions)
 
 
 
 
June 30, 2017
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial
$
—

 
$
—

 
$
—

 
$
—

 
$
7,905

 
$
7,905

 
$
—

Agricultural
37

 
6

 
19

 
62

 
2,444

 
2,506

 
19

Total Mortgage Loans
$
37

 
$
6

 
$
19

 
$
62

 
$
10,349

 
$
10,411

 
$
19

December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial
$
—

 
$
—

 
$
—

 
$
—

 
$
7,264

 
$
7,264

 
$
—

Agricultural
9

 
2

 
6

 
17

 
2,484

 
2,501

 
6

Total Mortgage Loans
$
9

 
$
2

 
$
6

 
$
17

 
$
9,748

 
$
9,765

 
$
6



The following table provides information regarding impaired mortgage loans at June 30, 2017 and December 31, 2016, respectively.

Impaired Mortgage Loans

 
Recorded
Investment
 
Unpaid
Principal
Balance
 
Related
Allowance
 
Average
Recorded
Investment(1)
 
Interest
Income
Recognized
 
(In Millions)
June 30, 2017:
 
 
 
 
 
 
 
 
 
With no related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
—

 
$
—

 
$
—

 
$
—

 
$
—

With related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
27

 
$
27

 
$
(8
)
 
$
27

 
$
1

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
27

 
$
27

 
$
(8
)
 
$
27

 
$
1

December 31, 2016:
 
 
 
 
 
 
 
 
 
With no related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
15

 
$
15

 
$
—

 
$
22

 
$
—

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
15

 
$
15

 
$
—

 
$
22

 
$
—

With related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
27

 
$
27

 
$
(8
)
 
$
48

 
$
2

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
27

 
$
27

 
$
(8
)
 
$
48

 
$
2


 
(1)
Represents a three-quarter average of recorded amortized cost.
Derivatives and Offsetting Assets and Liabilities
The Company uses derivatives as part of its overall asset/liability risk management primarily to reduce exposures to equity market and interest rate risks. Derivative hedging strategies are designed to reduce these risks from an economic perspective and are all executed within the framework of a Derivative Use Plan approved by the NYDFS. Operation of these hedging programs is based on models involving numerous estimates and assumptions, including, among others, mortality, lapse, surrender and withdrawal rates, election rates, fund performance, market volatility and interest rates. A wide range of derivative contracts are used in these hedging programs, including exchange traded equity, currency and interest rate futures contracts, total return and/or other equity swaps, interest rate swap and floor contracts, bond and bond-index total return swaps, swaptions, variance swaps and equity options as well as bond and repo transactions to support the hedging. The derivative contracts are collectively managed in an effort to reduce the economic impact of unfavorable changes in guaranteed benefits’ exposures attributable to movements in capital markets.
Derivatives utilized to hedge exposure to Variable Annuities with Guarantee Features
The Company has issued and continues to offer certain variable annuity products with GMDB, GMIB and GIB features. The Company had previously issued certain variable annuity products with GWBL, GMWB and GMAB features (collectively, “GWBL and Other Features”). The risk associated with the GMDB feature is that under-performance of the financial markets could result in GMDB benefits, in the event of death, being higher than what accumulated policyholders’ account balances would support. The risk associated with the GMIB feature is that under-performance of the financial markets could result in the present value of GMIB benefits, in the event of annuitization, being higher than what accumulated policyholders’ account balances would support, taking into account the relationship between current annuity purchase rates and the GMIB guaranteed annuity purchase rates. The risk associated with the GIB and GWBL and Other Features is that under-performance of the financial markets could result in the GIB and GWBL and Other Features’ benefits being higher than what accumulated policyholders’ account balances would support.
For GMDB, GMIB, GIB and GWBL and Other Features, the Company retains certain risks, in whole or in part including basis, credit spread and some volatility risk and risk associated with actual versus expected assumptions for mortality, lapse and surrender, withdrawal and contractholder election rates, among other things. The derivative contracts are managed to correlate with changes in the value of the GMDB, GMIB, GIB and GWBL and Other Features that result from financial markets movements. A portion of exposure to realized equity volatility is hedged using equity options and variance swaps and a portion of exposure to credit risk is hedged using total return swaps on fixed income indices. Additionally, the Company is party to total return swaps for which the reference U.S. Treasury securities are contemporaneously purchased from the market and sold to the swap counterparty. As these transactions result in a transfer of control of the U.S. Treasury securities to the swap counterparty, the Company derecognizes these securities with consequent gain or loss from the sale. The Company has also purchased reinsurance contracts to mitigate the risks associated with GMDB features and the impact of potential market fluctuations on future policyholder elections of GMIB features contained in certain annuity contracts issued by the Company.
The Company maintains a hedge program to protect the profitability of future variable annuity sales against declining interest rates. Factors that determine this program’s activity include expected sales and their impact on the Company’s risk profile.
Derivatives utilized to hedge crediting rate exposure on SCS, SIO, MSO and IUL products/investment options
The Company hedges crediting rates in the SCS variable annuity, SIO in the EQUI-VEST® variable annuity series, MSO in the variable life insurance products and IUL insurance products. These products permit the contract owner to participate in the performance of an index, ETF or commodity price movement up to a cap for a set period of time. They also contain a protection feature, in which the Company will absorb, up to a certain percentage, the loss of value in an index, ETF or commodity price, which varies by product segment.
In order to support the returns associated with these features, the Company enters into derivative contracts whose payouts, in combination with fixed income investments, emulate those of the index, ETF or commodity price, subject to caps and buffers.
Derivatives utilized to hedge risks associated with interest-rate risk arising from issuance of funding agreements
The Company issues fixed and floating rate funding agreements to fund originated non-recourse commercial real estate mortgage loans, the terms of which may result in short term economic interest rate risk between mortgage loan commitment and mortgage loan funding. The company uses forward interest-rate swaps to protect against interest rate fluctuations during this period.  Realized gains and losses from the forward interest rate swaps are amortized over the life of the loan in interest credited to policyholder’s account balances.
Derivatives utilized to hedge equity market risks associated with the General Account’s seed money investments in Separate Accounts, retail mutual funds and Separate Account fee revenue fluctuations
The Company’s General Account seed money investments in Separate Account equity funds and retail mutual funds exposes the Company to market risk, including equity market risk, which is partially hedged through equity-index futures contracts to minimize such risk.

Periodically, the Company enters into derivatives on equity indices to mitigate the impact on net earnings from Separate Account fee revenue fluctuations due to movements in the equity markets. These positions partially cover fees expected to be earned from the Company’s Separate Account products.

Derivatives utilized for General Account Investment Portfolio

The Company maintains a strategy in its General Account investment portfolio to replicate the credit exposure of fixed maturity securities otherwise permissible for investment under its investment guidelines through the sale of CDSs. Under the terms of these swaps, the Company receives quarterly fixed premiums that, together with any initial amount paid or received at trade inception, replicate the credit spread otherwise currently obtainable by purchasing the referenced entity’s bonds of similar maturity. These credit derivatives generally have remaining terms of five years or less and are recorded at fair value with changes in fair value, including the yield component that emerges from initial amounts paid or received, reported in Net investment income (loss). The Company manages its credit exposure taking into consideration both cash and derivatives based positions and selects the reference entities in its replicated credit exposures in a manner consistent with its selection of fixed maturities. In addition, the Company generally transacts the sale of CDSs in single name reference entities of investment grade credit quality and with counterparties subject to collateral posting requirements. If there is an event of default by the reference entity or other such credit event as defined under the terms of the swap contract, the Company is obligated to perform under the credit derivative and, at the counterparty’s option, either pay the referenced amount of the contract less an auction-determined recovery amount or pay the referenced amount of the contract and receive in return the defaulted or similar security of the reference entity for recovery by sale at the contract settlement auction. To date, there have been no events of default or circumstances indicative of a deterioration in the credit quality of the named referenced entities to require or suggest that the Company will have to perform under these CDSs. The maximum potential amount of future payments the Company could be required to make under these credit derivatives is limited to the par value of the referenced securities which is the dollar or euro-equivalent of the derivative notional amount. The Standard North American CDS Contract (“SNAC”) or Standard European Corporate Contract (“STEC”) under which the Company executes these CDS sales transactions does not contain recourse provisions for recovery of amounts paid under the credit derivative.
Periodically, the Company purchases TIPS and other sovereign bonds, both inflation linked and non-inflation linked, as General Account investments and enters into asset or cross-currency basis swaps, to result in payment of the given bond’s coupons and principal at maturity in the bond’s specified currency to the swap counterparty, in return for fixed dollar amounts. These swaps, when considered in combination with the bonds, together result in a net position that is intended to replicate a dollar-denominated fixed-coupon cash bond with a yield higher than a term-equivalent U.S. Treasury bond. At June 30, 2017 and December 31, 2016, respectively, the Company’s unrealized gains related to this program were $31 million and $97 million and reported in AOCI.
The Company hedges a portion of the credit exposure in its General Account investment portfolio by buying protection through a swap. Under the terms of these swaps, the Company pays quarterly fixed premiums that, together with any initial amount paid or received at trade inception, serve as premiums paid to hedge the risk arising from multiple defaults of bonds referenced in the CDX index. These credit derivatives have terms of five years or less and are recorded at fair value with changes in fair value, including the yield component that emerges from initial amounts paid or received, reported in Net investment income (loss) from derivative instruments.
Beginning in 2016, the Company implemented a program to mitigate its duration gap using total return swaps for which the reference U.S. Treasury securities are sold to the swap counterparty under arrangements economically similar to repurchase agreements.  As these transactions result in a transfer of control of the U.S. Treasury securities to the swap counterparty, the Company derecognizes these securities with consequent gain or loss from the sale.  Under this program, the Company derecognized approximately $995 million U.S. Treasury securities for which the Company received proceeds of approximately $1,007 million at inception of the total return swap contracts.  Under the terms of these swaps, the Company retains ongoing exposure to the total returns of the underlying U.S. Treasury securities in exchange for a financing cost. At June 30, 2017, the aggregate fair value of U.S. Treasury securities derecognized under this program was approximately $869 million. Reported in Other invested assets in the Company's balance sheet at June 30, 2017 is approximately $18 million, representing the fair value of the total return swap contracts.
The tables below present quantitative disclosures about the Company’s derivative instruments, including those embedded in other contracts required to be accounted for as derivative instruments.

Derivative Instruments by Category
 
At June 30, 2017
 
Gains (Losses)
Reported In Net
Earnings (Loss)
Six Months Ended June 30, 2017
 
 
 
Fair Value
 
 
Notional
Amount
 
Asset
Derivatives
 
Liability
Derivatives
 
 
(In Millions)
Freestanding derivatives:
 
 
 
 
 
 
 
Equity contracts:(1)
 
 
 
 
 
 
 
Futures
$
4,542

 
$
1

 
$
1

 
$
(328
)
Swaps
4,162

 
7

 
128

 
(403
)
Options
13,844

 
2,446

 
1,197

 
477

Interest rate contracts:(1)
 
 
 
 
 
 
 
Floors
—

 
—

 
—

 
—

Swaps
18,865

 
405

 
195

 
452

Futures
8,218

 
—

 
—

 
22

Credit contracts:(1)
 
 
 
 
 
 
 
Credit default swaps
3,300

 
33

 
13

 
9

Other freestanding contracts:(1)
 
 
 
 
 
 
 
Foreign currency contracts
1,237

 
33

 
11

 
(1
)
Margin
—

 
57

 
—

 
—

Collateral
—

 
2

 
1,475

 
—

Net investment income (loss)
 
 
 
 
 
 
228

Embedded derivatives:
 
 
 
 
 
 
 
GMIB reinsurance contracts
—

 
11,290

 
—

 
981

GIB and GWBL and Other Features(2)
—

 
—

 
121

 
(43
)
SCS, SIO, MSO and IUL indexed features(3)
—

 
—

 
1,169

 
(480
)
Total
$
54,168

 
$
14,274

 
$
4,310

 
$
686



(1)
Reported in Other invested assets in the consolidated balance sheets.
(2)
Reported in Future policy benefits and other policyholders’ liabilities in the consolidated balance sheets.
(3)
SCS and SIO indexed features are reported in Policyholders’ account balances; MSO and IUL indexed features are reported in Future policyholders’ benefits and other policyholders’ liabilities in the consolidated balance sheets.
 
At December 31, 2016
 
Gains (Losses)
Reported In Net
Earnings (Loss)
Six Months Ended June 30, 2016
 
 
 
Fair Value
 
 
Notional
Amount
 
Asset
Derivatives
 
Liability
Derivatives
 
 
(In Millions)
Freestanding derivatives:
 
 
 
 
 
 
 
Equity contracts:(1)
 
 
 
 
 
 
 
Futures
$
5,086

 
$
1

 
$
1

 
$
(264
)
Swaps
3,529

 
13

 
67

 
(39
)
Options
11,465

 
2,114

 
1,154

 
135

Interest rate contracts:(1)
 
 
 
 
 
 
 
Floors
1,500

 
11

 
—

 
6

Swaps
18,933

 
246

 
1,163

 
1,573

Futures
6,926

 
—

 
—

 
(57
)
Swaptions
—

 
—

 
—

 
—

Credit contracts:(1)
 
 
 
 
 
 
 
Credit default swaps
2,757

 
20

 
15

 
—

Other freestanding contracts:(1)
 
 
 
 
 
 
 
Foreign currency contracts
730

 
52

 
6

 
(8
)
Margin
 
 
107

 
6

 
—

Collateral
 
 
712

 
748

 
—

Net investment income (loss)
 
 
 
 
 
 
1,346

Embedded derivatives:
 
 
 
 
 
 
 
GMIB reinsurance contracts
—

 
10,309

 
—

 
2,741

GIB and GWBL and Other Features(2)
—

 
—

 
164

 
146

SCS, SIO, MSO and IUL indexed features(3)
—

 
—

 
887

 
(131
)
Total
$
50,926

 
$
13,585

 
$
4,211

 
$
4,102



(1)
Reported in Other invested assets in the consolidated balance sheets.
(2)
Reported in Future policy benefits and other policyholders’ liabilities in the consolidated balance sheets.
(3)
SCS and SIO indexed features are reported in Policyholders’ account balances; MSO and IUL indexed features are reported in Future policyholders’ benefits and other policyholders’ liabilities in the consolidated balance sheets
Equity-Based and Treasury Futures Contracts
All outstanding equity-based and treasury futures contracts at June 30, 2017 are exchange-traded and net settled daily in cash. At June 30, 2017, the Company had open exchange-traded futures positions on: (i) the S&P 500, Russell 2000, and Emerging Market indices, having initial margin requirements of $161 million, (ii) the 2-year, 5-year and 10-year U.S. Treasury Notes on U.S. Treasury bonds and ultra-long bonds, having initial margin requirements of $16 million and (iii) the Euro Stoxx, FTSE 100, Topix, ASX 200, and European, Australasia, and Far East (“EAFE”) indices as well as corresponding currency futures on the Euro/U.S. dollar, Pound/U.S. dollar, Australian dollar/U.S. dollar, and Yen/U.S. dollar, having initial margin requirements of $15 million.
Credit Risk
Although notional amount is the most commonly used measure of volume in the derivatives market, it is not used as a measure of credit risk. A derivative with positive fair value (a derivative asset) indicates existence of credit risk because the counterparty would owe money to the Company if the contract were closed at the reporting date. Alternatively, a derivative contract with negative fair value (a derivative liability) indicates the Company would owe money to the counterparty if the contract were closed at the reporting date. To reduce credit exposures in OTC derivative transactions the Company generally enters into master agreements that provide for a netting of financial exposures with the counterparty and allow for collateral arrangements as further described below under “ISDA Master Agreements.” The Company further controls and minimizes its counterparty exposure through a credit appraisal and approval process.
ISDA Master Agreements
Netting Provisions. The standardized “ISDA Master Agreement” under which the Company conducts its OTC derivative transactions includes provisions for payment netting. In the normal course of business activities, if there is more than one derivative transaction with a single counterparty, the Company will set-off the cash flows of those derivatives into a single amount to be exchanged in settlement of the resulting net payable or receivable with that counterparty. In the event of default, insolvency, or other similar event pre-defined under the ISDA Master Agreement that would result in termination of OTC derivatives transactions before their maturity, netting procedures would be applied to calculate a single net payable or receivable with the counterparty.
Collateral Arrangements. The Company generally has executed a CSA under the ISDA Master Agreement it maintains with each of its OTC derivative counterparties that requires both posting and accepting collateral either in the form of cash or high-quality securities, such as U.S. Treasury securities, U.S. government and government agency securities and investment grade corporate bonds. These CSAs are bilateral agreements that require collateral postings by the party “out-of-the-money” or in a net derivative liability position. Various thresholds for the amount and timing of collateralization of net liability positions are applicable. Consequently, the credit exposure of the Company’s OTC derivative contracts is limited to the net positive estimated fair value of those contracts at the reporting date after taking into consideration the existence of netting agreements and any collateral received pursuant to CSAs. Derivatives are recognized at fair value in the consolidated balance sheets and are reported either as assets in Other invested assets or as liabilities in Other liabilities, except for embedded insurance-related derivatives as described above and derivatives transacted with a related counterparty. The Company nets the fair value of all derivative financial instruments with counterparties for which an ISDA Master Agreement and related CSA have been executed.
At June 30, 2017 and December 31, 2016, respectively, the Company held $1,473 million and $755 million in cash and securities collateral delivered by trade counterparties, representing the fair value of the related derivative agreements. This unrestricted cash collateral is reported in Cash and cash equivalents. The aggregate fair value of all collateralized derivative transactions that were in a liability position with trade counterparties at June 30, 2017 and December 31, 2016, respectively, were $1 million and $700 million, for which the Company posted collateral of $2 million and $820 million at June 30, 2017 and December 31, 2016, respectively, in the normal operation of its collateral arrangements. Certain of the Company’s ISDA Master Agreements contain contingent provisions that permit the counterparty to terminate the ISDA Master Agreement if the Company’s credit rating falls below a specified threshold, however, the occurrence of such credit event would not impose additional collateral requirements.
Margin
Effective January 3, 2017, the Chicago Mercantile Exchange (“CME”) amended its rulebook, resulting in the characterization of variation margin transfers as settlement payments, as opposed to adjustments to collateral. These amendments impacted the accounting treatment of the Company’s centrally cleared derivatives for which the CME serves as the central clearing party. As of the effective date, the application of the amended rulebook reduced gross derivative assets by $57 million and gross derivative liabilities by $0 million.
Securities Repurchase and Reverse Repurchase Transactions
Securities repurchase and reverse repurchase transactions are conducted by the Company under a standardized securities industry master agreement, amended to suit the specificities of each respective counterparty. These agreements generally provide detail as to the nature of the transaction, including provisions for payment netting, establish parameters concerning the ownership and custody of the collateral securities, including the right to substitute collateral during the term of the agreement, and provide for remedies in the event of default by either party. Amounts due to/from the same counterparty under these arrangements generally would be netted in the event of default and subject to rights of set-off in bankruptcy. The Company’s securities repurchase and reverse repurchase agreements are accounted for as secured borrowing or lending arrangements, respectively and are reported in the consolidated balance sheets on a gross basis. The Company obtains or posts collateral generally in the form of cash and U.S. Treasury, corporate and government agency securities. The fair value of the securities to be repurchased or resold are monitored on a daily basis with additional collateral posted or obtained as necessary. Securities to be repurchased or resold are the same, or substantially the same, as those initially transacted under the arrangement. At June 30, 2017 and December 31, 2016, there were no balances outstanding under reverse repurchase transactions. At June 30, 2017 and December 31, 2016, the balance outstanding under securities repurchase transactions was $1,797 million and $1,996 million, respectively. The Company utilized these repurchase and reverse repurchase agreements for asset liability and cash management purposes. For other instruments used for asset liability management purposes, see “Obligation under funding agreements” included in Note 12.
The following table presents information about the Insurance Segment’s offsetting of financial assets and liabilities and derivative instruments at June 30, 2017.
Offsetting Financial Assets and Liabilities and Derivative Instruments
At June 30, 2017
 
Gross
Amounts
Recognized
 
Gross
Amounts
Offset in the
Balance Sheets
 
Net Amounts
Presented in the
Balance Sheets
 
(In Millions)
ASSETS(1)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
2,453

 
$
1,325

 
$
1,128

Interest rate contracts
404

 
194

 
210

Credit contracts
32

 
13

 
19

Currency
27

 
6

 
21

Margin
57

 
—

 
57

Collateral
2

 
1,475

 
(1,473
)
Total Derivatives, subject to an ISDA Master Agreement
2,975

 
3,013

 
(38
)
Total Derivatives, not subject to an ISDA Master Agreement
—

 
—

 
—

Total Derivatives
2,975

 
3,013

 
(38
)
Other financial instruments
2,660

 
—

 
2,660

Other invested assets
$
5,635

 
$
3,013

 
$
2,622

Securities purchased under agreement to resell
$
—

 
$
—

 
$
—

LIABILITIES(2)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
1,325

 
$
1,325

 
$
—

Interest rate contracts
194

 
194

 
—

Credit contracts
13

 
13

 
—

Currency
6

 
6

 
—

Margin
—

 
—

 
—

Collateral
1,475

 
1,475

 
—

Total Derivatives, subject to an ISDA Master Agreement
3,013

 
3,013

 
—

Total Derivatives, not subject to an ISDA Master Agreement
—

 
—

 
—

Total Derivatives
3,013

 
3,013

 
—

Other financial liabilities
2,531

 
—

 
2,531

Other liabilities
$
5,544

 
$
3,013

 
$
2,531

Securities sold under agreement to repurchase(3)
$
1,791

 
$
—

 
$
1,791


 
(1)
Excludes Investment Management segment’s $22 million net derivative assets (including derivative assets of consolidated VIEs), $8 million long exchange traded options and $55 million of securities borrowed.
(2)
Excludes Investment Management segment’s $11 million net derivative liabilities (including derivative liabilities of consolidated VIEs), $8 million short exchange traded options and $29 million of securities loaned.
(3)
Excludes expense of $6 million in securities sold under agreement to repurchase.

The following table presents information about the Insurance segment’s gross collateral amounts that are not offset in the consolidated balance sheets at June 30, 2017.
Gross Collateral Amounts Not Offset in the Consolidated Balance Sheets
At June 30, 2017
 
Net Amounts Presented in the Balance Sheets
 
Collateral (Received)/Held
 
 
 
Financial
Instruments
 
Cash
 
Net
Amounts
 
(In Millions)
ASSETS:(1)
 
 
 
 
 
 
Counterparty A
$
49

 
$
—

 
$
(50
)
 
$
(1
)
Counterparty B
(1
)
 
—

 
2

 
1

Counterparty C
94

 
—

 
(94
)
 
—

Counterparty D
176

 
—

 
(178
)
 
(2
)
Counterparty E
33

 
—

 
(38
)
 
(5
)
Counterparty F
103

 
—

 
(114
)
 
(11
)
Counterparty G
282

 
—

 
(290
)
 
(8
)
Counterparty H
223

 
—

 
(225
)
 
(2
)
Counterparty I
43

 
—

 
(53
)
 
(10
)
Counterparty J
(50
)
 
—

 
53

 
3

Counterparty K
105

 
—

 
(116
)
 
(11
)
Counterparty L
3

 
—

 
(7
)
 
(4
)
Counterparty M
124

 
—

 
(117
)
 
7

Counterparty N
—

 
—

 
—

 
—

Counterparty Q
13

 
—

 
(12
)
 
1

Counterparty T
24

 
—

 
(24
)
 
—

Counterparty U
30

 
—

 
(27
)
 
3

Counterparty V
127

 
—

 
(126
)
 
$
1

Total derivatives
$
1,378

 
$
—

 
$
(1,416
)
 
$
(38
)
Other financial instruments
1,244

 
—

 
—

 
1,244

Other invested assets
$
2,622

 
$
—

 
$
(1,416
)
 
$
1,206

Securities purchased under agreement to resell
$
—

 
$
—

 
$
—

 
$
—

LIABILITIES:(2)
 
 
 
 
 
 

Counterparty D
$
972

 
$
(1,076
)
 
$
—

 
$
(104
)
Counterparty M
191

 
(234
)
 
—

 
(43
)
Counterparty W
628

 
(641
)
 
—

 
(13
)
Securities sold under agreement to repurchase (3)
$
1,791

 
$
(1,951
)
 
$
—

 
$
(160
)

 
(1)
Excludes Investment Management segment’s cash collateral received of $0 million related to derivative assets (including those related to derivative assets of consolidated VIEs) and $55 million related to securities borrowed.
(2)
Excludes Investment Management segment’s cash collateral pledged of $8 million related to derivative liabilities (including those related to derivative liabilities of consolidated VIEs) and $29 million of securities loaned.
(3)
Excludes expense of $6 million in securities sold under agreement to repurchase.

The following table presents information about repurchase agreements accounted for as secured borrowings in the consolidated balance sheets at June 30, 2017.
Repurchase Agreement Accounted for as Secured Borrowings(1)
 
At June 30, 2017
 
Remaining Contractual Maturity of the Agreements
 
Overnight and
Continuous
 
Up to 30
days
 
30–90
days
 
Greater Than
90 days
 
Total
 
(In Millions)
Securities sold under agreement to repurchase(2)
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency securities
$
—

 
$
1,791

 
$
—

 
$
—

 
$
1,791

Total
$
—

 
$
1,791

 
$
—

 
$
—

 
$
1,791

Securities purchased under agreement to resell
 
 
 
 
 
 
 
 
 
Corporate securities
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Total
$
—

 
$
—

 
$
—

 
$
—

 
$
—


 
(1)
Excludes Investment Management segment’s $55 million of securities borrowed.
(2)
Excludes expense accrual of $6 million in securities sold under agreement to repurchase.
The following table presents information about the Insurance segment’s offsetting financial assets and liabilities and derivative instruments at December 31, 2016.
Offsetting Financial Assets and Liabilities and Derivative Instruments
At December 31, 2016
 
Gross
Amounts
Recognized
 
Gross
Amounts
Offset in the
Balance Sheets
 
Net Amounts
Presented in the
Balance Sheets
 
(In Millions)
ASSETS(1)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
2,128

 
$
1,219

 
$
909

Interest rate contracts
253

 
1,162

 
(909
)
Credit contracts
20

 
14

 
6

Currency
48

 
1

 
47

Margin
107

 
6

 
101

Collateral
712

 
747

 
(35
)
Total Derivatives, subject to an ISDA Master Agreement
3,268

 
3,149

 
119

Total Derivatives, not subject to an ISDA Master Agreement
4

 
—

 
4

Total Derivatives
3,272

 
3,149

 
123

Other financial instruments
2,063

 
—

 
2,063

Other invested assets
$
5,335

 
$
3,149

 
$
2,186

Securities purchased under agreement to resell
$
—

 
$
—

 
$
—

LIABILITIES(2)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
1,219

 
$
1,219

 
$
—

Interest rate contracts
1,162

 
1,162

 
—

Credit contracts
14

 
14

 
—

Currency
1

 
1

 
—

Margin
6

 
6

 
—

Collateral
747

 
747

 
—

Total Derivatives, subject to an ISDA Master Agreement
3,149

 
3,149

 
—

Total Derivatives, not subject to an ISDA Master Agreement
—

 
—

 
—

Total Derivatives
3,149

 
3,149

 
—

Other financial liabilities
2,108

 
—

 
2,108

Other liabilities
$
5,257

 
$
3,149

 
$
2,108

Securities sold under agreement to repurchase(3)
$
1,992

 
$
—

 
$
1,992


 
(1)
Excludes Investment Management segment’s $13 million net derivative assets (including derivative assets of consolidated VIEs), $3 million long exchange traded options and $83 million of securities borrowed.
(2)
Excludes Investment Management segment’s $11 million net derivative liabilities (including derivative liabilities of consolidated VIEs), $1 million short exchange traded options and $10 million of securities loaned.
(3)
Excludes expense of $4 million in securities sold under agreement to repurchase.

The following table presents information about the Insurance segment’s gross collateral amounts that are not offset in the consolidated balance sheets at December 31, 2016.
Gross Collateral Amounts Not Offset in the Consolidated Balance Sheets
At December 31, 2016
 
 
Net Amounts Presented in the Balance Sheets
 
Collateral (Received)/Held
 
 
 
Financial
Instruments
 
Cash
 
Net
Amounts
 
(In Millions)
ASSETS:(1)
 
 
 
 
 
 
 
Counterparty A
$
46

 
$
—

 
$
(48
)
 
$
(2
)
Counterparty B
(128
)
 
—

 
132

 
4

Counterparty C
(116
)
 
—

 
138

 
22

Counterparty D
182

 
—

 
(176
)
 
6

Counterparty E
(65
)
 
—

 
83

 
18

Counterparty F
(3
)
 
—

 
16

 
13

Counterparty G
219

 
—

 
(214
)
 
5

Counterparty H
104

 
—

 
(110
)
 
(6
)
Counterparty I
(188
)
 
—

 
203

 
15

Counterparty J
(93
)
 
—

 
115

 
22

Counterparty K
92

 
—

 
(96
)
 
(4
)
Counterparty L
(3
)
 
—

 
3

 
—

Counterparty M
(105
)
 
—

 
120

 
15

Counterparty N
4

 
—

 
—

 
4

Counterparty Q
10

 
—

 
(11
)
 
(1
)
Counterparty T
—

 
—

 
2

 
2

Counterparty U
1

 
—

 
10

 
11

Counterparty V
96

 
—

 
(101
)
 
(5
)
Total Derivatives
$
53

 
$
—

 
$
66

 
$
119

Other financial instruments
2,067

 
—

 
—

 
2,067

Other invested assets
$
2,120

 
$
—

 
$
66

 
$
2,186

Counterparty M
$
—

 
$
—

 
$
—

 
$
—

Counterparty V
—

 
—

 
—

 
—

Securities purchased under agreement to resell
$
—

 
$
—

 
$
—

 
$
—

LIABILITIES(2)
 
 
 
 
 
 
 
Counterparty D
$
767

 
$
(767
)
 
$
—

 
$
—

Counterparty M
410

 
(410
)
 
—

 
—

Counterparty C
302

 
(296
)
 
(2
)
 
4

Counterparty W
513

 
(513
)
 
—

 
—

Securities sold under agreement to repurchase(3)
$
1,992

 
$
(1,986
)
 
$
(2
)
 
$
4


 
(1)
Excludes Investment Management segment’s cash collateral received of $1 million related to derivative assets (including those related to derivative assets of consolidated VIEs) and $83 million related to securities borrowed.
(2)
Excludes Investment Management segment’s cash collateral pledged of $8 million related to derivative liabilities (including those related to derivative liabilities of consolidated VIEs).
(3)
Excludes expense of $4 million in securities sold under agreement to repurchase.

The following table presents information about repurchase agreements accounted for as secured borrowings in the consolidated balance sheets at December 31, 2016.
Repurchase Agreement Accounted for as Secured Borrowings(1) 

 
At December 31, 2016
 
Remaining Contractual Maturity of the Agreements
 
Overnight and
Continuous
 
Up to 30
days
 
30–90
days
 
Greater 
Than
90 days
 
Total
 
(In Millions)
Securities sold under agreement to repurchase(2)
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency securities
$
—

 
$
1,992

 
$
—

 
$
—

 
$
1,992

Total
$
—

 
$
1,992

 
$
—

 
$
—

 
$
1,992


(1)
Excludes Investment Management segment’s $83 million of securities borrowed.
(2)
Excludes expense of $4 million in securities sold under agreement to repurchase.