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INVESTMENTS (Tables)
 9 Months Ended
Sep. 30, 2018
Investments, Debt and Equity Securities [Abstract]  
Available-for-sale Securities by Classification
The following tables provide information relating to fixed maturities classified as AFS. As a result of the adoption of the Financial Instruments - Recognition and Measurement of Financial Assets and Financial Liabilities (ASU 2016-01) standard on January 1, 2018 (see Note 2), equity securities are no longer classified and accounted for as available-for-sale securities.
Available-for-Sale Securities by Classification 
 
Amortized
Cost
 
Gross Unrealized
Gains
 
Gross Unrealized
Losses
 
Fair
Value
 
OTTI
in AOCI (3)
 
(in millions)
September 30, 2018:
 
 
 
 
 
 
 
 
 
Fixed Maturities:
 
 
 
 
 
 
 
 
 
Corporate
$
24,796

 
$
397

 
$
591

 
$
24,602

 
$
—

U.S. Treasury, government and agency
13,621

 
58

 
728

 
12,951

 
—

States and political subdivisions
409

 
43

 
1

 
451

 
—

Foreign governments
431

 
17

 
10

 
438

 
—

Residential mortgage-backed(1)
200

 
8

 
—

 
208

 
—

Asset-backed(2)
613

 
1

 
6

 
608

 
2

Redeemable preferred stock
472

 
31

 
7

 
496

 
—

Total at September 30, 2018
$
40,542

 
$
555

 
$
1,343

 
$
39,754

 
$
2

 
 
Amortized
Cost
 
Gross Unrealized
Gains
 
Gross Unrealized
Losses
 
Fair
Value
 
OTTI
in AOCI (3)
 
(in millions)
December 31, 2017:
 
 
 
 
 
 
 
 
 
Fixed Maturities:
 
 
 
 
 
 
 
 
 
Corporate
$
20,596

 
$
942

 
$
56

 
$
21,482

 
$
—

U.S. Treasury, government and agency
12,644

 
676

 
185

 
13,135

 
—

States and political subdivisions
414

 
67

 
—

 
481

 
—

Foreign governments
387

 
27

 
5

 
409

 
—

Residential mortgage-backed(1)
236

 
15

 
—

 
251

 
—

Asset-backed(2)
93

 
3

 
—

 
96

 
2

Redeemable preferred stock
461

 
44

 
1

 
504

 
—

Total Fixed Maturities
$
34,831

 
$
1,774

 
$
247

 
$
36,358

 
$
2

Equity securities
157

 
—

 
—

 
157

 
—

Total at December 31, 2017
$
34,988

 
$
1,774

 
$
247

 
$
36,515

 
$
2

_____________
(1)
Includes publicly traded agency pass-through securities and collateralized 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 income (loss) in accordance with current accounting guidance.
Available-for-sale Securities Fixed Maturities Contractual Maturities
The contractual maturities of AFS fixed maturities at September 30, 2018 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 September 30, 2018 
 
Amortized
Cost
 
Fair Value
 
(in millions)
Due in one year or less
$
1,908

 
$
1,915

Due in years two through five
7,755

 
7,816

Due in years six through ten
12,941

 
12,719

Due after ten years
16,653

 
15,992

Subtotal
$
39,257

 
$
38,442

Residential mortgage-backed securities
200

 
208

Asset-backed securities
613

 
608

Redeemable preferred stock
472

 
496

Total
$
40,542

 
$
39,754
Proceeds from Sales, Gross Gains (Losses) and OTTI for AFS Fixed Maturities
The following table shows proceeds from sales, gross gains (losses) from sales and OTTI for AFS fixed maturities during the three and nine months ended September 30, 2018 and 2017: 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
2018
 
2017
 
2018
 
2017
 
(in millions)
Proceeds from sales
$
973

 
$
1,287

 
$
4,774

 
$
1,822

Gross gains on sales
$
6

 
$
5

 
$
140

 
$
34

Gross losses on sales
$
(4
)
 
$
(2
)
 
$
(59
)
 
$
(29
)
 
 
 
 
 
 
 
 
Total OTTI
$
(4
)
 
$
—

 
$
(4
)
 
$
(13
)
Non-credit losses recognized in OCI
—

 
—

 
—

 
—

Credit losses recognized in net income (loss)
$
(4
)
 
$
—

 
$
(4
)
 
$
(13
)
Fixed Maturities - Credit Loss Impairments
The following table sets forth the amount of credit loss impairments on AFS fixed maturities held by the Company at the dates indicated and the corresponding changes in such amounts:
Fixed Maturities - Credit Loss Impairments 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
2018
 
2017
 
2018
 
2017
 
(in millions)
Balances, beginning of period
$
(9
)
 
$
(115
)
 
$
(10
)
 
$
(190
)
Previously recognized impairments on securities that matured, paid, prepaid or sold
—

 
32

 
1

 
120

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

 
—

 
—

 
—

Impairments recognized this period on securities not previously impaired
(4
)
 
—

 
(4
)
 
(13
)
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 September 30
$
(13
)
 
$
(83
)
 
$
(13
)
 
$
(83
)
_______________
(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 Gain (Loss) on Fixed Maturities and Equity Securities Included in AOCI
Net unrealized investment gains (losses) on fixed maturities 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:
 
September 30,
2018
 
December 31, 2017
 
(in millions)
AFS Securities:
 
 
 
Fixed maturities:
 
 
 
With OTTI loss
$
1

 
$
1

All other
(789
)
 
1,526

Net Unrealized Gains (Losses)
$
(788
)
 
$
1,527
Net Unrealized Gain (Losses) on Fixed Maturities with OTTI Losses
The tables that follow below present a roll-forward of net unrealized investment gains (losses) recognized in AOCI, split between amounts related to fixed maturities on which an OTTI loss has been recognized and all other:
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, July 1, 2018
$
1

 
$
—

 
$
—

 
$
—

 
$
1

Net investment gains (losses) arising during the period
—

 
—

 
—

 
—

 
—

Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net income (loss)
—

 
—

 
—

 
—

 
—

Excluded from Net income (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
—

 
—

 
—

 
—

Deferred income taxes
—

 
—

 
—

 
—

 
—

Policyholders’ liabilities
—

 
—

 
—

 
—

 
—

Balance, September 30, 2018
$
1

 
$
—

 
$
—

 
$
—

 
$
1

 
 
 
 
 
 
 
 
 
 
Balance, July 1, 2017
$
(6
)
 
$
2

 
$
1

 
$
1

 
$
(2
)
Net investment gains (losses) arising during the period
(5
)
 
—

 
—

 
—

 
(5
)
Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net income (loss)
11

 
—

 
—

 
—

 
11

Excluded from Net income (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
(1
)
 
—

 
—

 
(1
)
Deferred income taxes
—

 
—

 
—

 
(1
)
 
(1
)
Policyholders’ liabilities
—

 
—

 
(1
)
 
—

 
(1
)
Balance, September 30, 2017
$
—

 
$
1

 
$
—

 
$
—

 
$
1

____________
(1)
Represents “transfers in” related to the portion of OTTI losses recognized during the period that were not recognized in income (loss) for securities with no prior OTTI loss.


 
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, 2018
$
1

 
$
1

 
$
(1
)
 
$
(5
)
 
$
(4
)
Net investment gains (losses) arising during the period
—

 
—

 
—

 
—

 
—

Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net income (loss)
—

 
—

 
—

 
—

 
—

Excluded from Net income (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
(1
)
 
—

 
—

 
(1
)
Deferred income taxes
—

 
—

 
—

 
5

 
5

Policyholders’ liabilities
—

 
—

 
1

 
—

 
1

Balance, September 30, 2018
$
1

 
$
—

 
$
—

 
$
—

 
$
1

 
 
 
 
 
 
 
 
 
 
Balance, January 1, 2017
$
19

 
$
(1
)
 
$
(10
)
 
$
(3
)
 
$
5

Net investment gains (losses) arising during the period
—

 
—

 
—

 
—

 
—

Reclassification adjustment:
 
 
 
 
 
 
 
 
 
Included in Net income (loss)
(19
)
 
—

 
—

 
—

 
(19
)
Excluded from Net income (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
2

 
—

 
—

 
2

Deferred income taxes
—

 
—

 
—

 
3

 
3

Policyholders’ liabilities
—

 
—

 
10

 
—

 
10

Balance, September 30, 2017
$
—

 
$
1

 
$
—

 
$
—

 
$
1


____________
(1)
Represents “transfers in” related to the portion of OTTI losses recognized during the period that were not recognized in income (loss) for securities with no prior OTTI loss.
All Other Net Unrealized Investment Gains (Losses) in AOCI
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, July 1, 2018
$
(245
)
 
$
11

 
$
(110
)
 
$
(27
)
 
$
(371
)
Net investment gains (losses) arising during the period
(554
)
 
—

 
—

 
—

 
(554
)
Reclassification adjustment:
 
 
 
 
 
 
 
 
—

Included in Net income (loss)
10

 
—

 
—

 
—

 
10

Excluded from Net income (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
72

 
—

 
—

 
72

Deferred income taxes
—

 
—

 
—

 
112

 
112

Policyholders’ liabilities
—

 
—

 
(62
)
 
—

 
(62
)
Balance, September 30, 2018
$
(789
)
 
$
83

 
$
(172
)
 
$
85

 
$
(793
)
 
 
 
 
 
 
 
 
 
 
Balance, July 1, 2017
$
1,145

 
$
(200
)
 
$
(191
)
 
$
(263
)
 
$
491

Net investment gains (losses) arising during the period
18

 
—

 
—

 
—

 
18

Reclassification adjustment:
 
 
 
 
 
 
 
 

Included in Net income (loss)
(2
)
 
—

 
—

 
—

 
(2
)
Excluded from Net income (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
(48
)
 
—

 


 
(48
)
Deferred income taxes
—

 
—

 
—

 
29

 
29

Policyholders’ liabilities
—

 
—

 
(53
)
 


 
(53
)
Balance, September 30, 2017
$
1,161

 
$
(248
)
 
$
(244
)
 
$
(234
)
 
$
435

_______________
(1)
Represents “transfers out” related to the portion of OTTI losses during the period that were not recognized in income (loss) for securities with no prior OTTI loss.

 
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, 2018
$
1,526

 
$
(315
)
 
$
(232
)
 
$
(300
)
 
$
679

Net investment gains (losses) arising during the period
(2,240
)
 
—

 
—

 
—

 
(2,240
)
Reclassification adjustment:
 
 
 
 
 
 
 
 
—

Included in Net income (loss)
(75
)
 
—

 
—

 
—

 
(75
)
Excluded from Net income (loss)(1)
—

 
—

 
—

 
—

 
—

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

 
398

 
—

 
—

 
398

Deferred income taxes
—

 
—

 
—

 
385

 
385

Policyholders’ liabilities
—

 
—

 
60

 
—

 
60

Balance, September 30, 2018
$
(789
)
 
$
83

 
$
(172
)
 
$
85

 
$
(793
)
 
 
 
 
 
 
 
 
 
 
Balance, January 1, 2017
$
428

 
$
(104
)
 
$
(188
)
 
$
(47
)
 
$
89

Net investment gains (losses) arising during the period
705

 
—

 
—

 
—

 
705

Reclassification adjustment:
 
 
 
 
 
 
 
 

Included in Net income (loss)
28

 
—

 
—

 
—

 
28

Excluded from Net income (loss)(1)
—

 
—

 
—

 
—

 
—

Impact of net unrealized investment gains (losses) on:
 
 
 
 
 
 
 
 

DAC
—

 
(144
)
 
—

 
—

 
(144
)
Deferred income taxes
—

 
—

 
—

 
(187
)
 
(187
)
Policyholders’ liabilities
—

 
—

 
(56
)
 
—

 
(56
)
Balance, September 30, 2017
$
1,161

 
$
(248
)
 
$
(244
)
 
$
(234
)
 
$
435


____________
(1)
Represents “transfers out” related to the portion of OTTI losses during the period that were not recognized in income (loss) for securities with no prior OTTI loss.
Schedule of Gross Unrealized Loss on Investments
The following tables disclose the fair values and gross unrealized losses of the 1,461 issues at September 30, 2018 and the 620 issues at December 31, 2017 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)
September 30, 2018:
 
 
 
 
 
 
 
 
 
 
 
Fixed Maturities:
 
 
 
 
 
 
 
 
 
 
 
Corporate
$
12,410

 
$
466

 
$
2,006

 
$
125

 
$
14,416

 
$
591

U.S. Treasury, government and agency
8,316

 
251

 
2,952

 
477

 
11,268

 
728

States and political subdivisions
19

 
1

 
—

 
—

 
19

 
1

Foreign governments
68

 
2

 
73

 
8

 
141

 
10

Residential mortgage-backed
13

 
—

 
—

 
—

 
13

 
—

Asset-backed
399

 
6

 
—

 
—

 
399

 
6

Redeemable preferred stock
177

 
6

 
12

 
1

 
189

 
7

Total
$
21,402

 
$
732


$
5,043


$
611


$
26,445


$
1,343

 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2017:
 
 
 
 
 
 
 
 
 
 
 
Fixed Maturities:
 
 
 
 
 
 
 
 
 
 
 
Corporate
$
2,102

 
$
17

 
$
1,163

 
$
39

 
$
3,265

 
$
56

U.S. Treasury, government and agency
2,150

 
6

 
3,005

 
179

 
5,155

 
185

States and political subdivisions
20

 
—

 
—

 
—

 
20

 
—

Foreign governments
11

 
—

 
73

 
5

 
84

 
5

Residential mortgage-backed
18

 
—

 
—

 
—

 
18

 
—

Asset-backed
7

 
—

 
2

 
—

 
9

 
—

Redeemable preferred stock
7

 
—

 
12

 
1

 
19

 
1

Total
$
4,315

 
$
23

 
$
4,255

 
$
224

 
$
8,570

 
$
247
Net Investment Income (Loss) from Trading Securities
The table below shows a breakdown of Net investment income from trading account securities during the three and nine months ended September 30, 2018 and 2017:
Net Investment Income (Loss) from Trading Securities 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
2018
 
2017
 
2018
 
2017
 
(in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period
$
(20
)
 
$
45

 
$
(192
)
 
$
153

Net investment gains (losses) recognized on securities sold during the period
$
(5
)
 
$
10

 
(14
)
 
35

Unrealized and realized gains (losses) on trading securities arising during the period
(25
)
 
55

 
(206
)
 
188

Interest and dividend income from trading securities
82

 
54

 
228

 
143

Net investment income (loss) from trading securities
$
57

 
$
109

 
$
22

 
$
331
Valuation Allowance for Mortgage Loans
Allowance for credit losses for mortgage loans for the nine months ended September 30, 2018 and 2017 are as follows:
 
Nine Months Ended September 30,
 
2018
 
2017
 
(in millions)
Allowance for credit losses:
 
 
 
Beginning balance, January 1
$
8

 
$
8

Charge-offs
—

 
—

Recoveries
(1
)
 
—

Provision
—

 
—

Ending balance, September 30,
$
7

 
$
8

 
 
 
 
September 30, Individually Evaluated for Impairment
$
7

 
$
8
Mortgage Loans by Loan-To-Value and Debt Service Coverage Ratios

Mortgage Loans by Loan-to-Value and Debt Service Coverage Ratios
September 30, 2018
 
Debt Service Coverage Ratio(1)
 
 
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%
$
806

 
$
21

 
$
351

 
$
24

 
$
—

 
$
—

 
$
1,202

50% - 70%
4,739

 
649

 
1,192

 
603

 
151

 
—

 
7,334

70% - 90%
221

 
110

 
169

 
298

 
27

 
—

 
825

90% plus
—

 
—

 
27

 
—

 
—

 
—

 
27

Total Commercial Mortgage Loans
$
5,766

 
$
780

 
$
1,739

 
$
925

 
$
178

 
$
—

 
$
9,388

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agricultural Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
271

 
$
142

 
$
257

 
$
555

 
$
322

 
$
33

 
$
1,580

50% - 70%
127

 
53

 
231

 
378

 
235

 
49

 
1,073

70% - 90%
—

 
—

 
—

 
19

 
—

 
—

 
19

90% plus
—

 
—

 
—

 
—

 
—

 
—

 
—

Total Agricultural Mortgage Loans
$
398

 
$
195

 
$
488

 
$
952

 
$
557

 
$
82

 
$
2,672

 
Debt Service Coverage Ratio(1)
 
 
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)
Total Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
1,077

 
$
163

 
$
608

 
$
579

 
$
322

 
$
33

 
$
2,782

50% - 70%
4,866

 
702

 
1,423

 
981

 
386

 
49

 
8,407

70% - 90%
221

 
110

 
169

 
317

 
27

 
—

 
844

90% plus
—

 
—

 
27

 
—

 
—

 
—

 
27

Total Mortgage Loans
$
6,164

 
$
975

 
$
2,227

 
$
1,877

 
$
735

 
$
82

 
$
12,060


_______________
(1)
The debt service coverage ratio is calculated using the most recently reported 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, 2017
 
Debt Service Coverage Ratio(1)
 
 
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%
$
742

 
$
—

 
$
320

 
$
74

 
$
—

 
$
—

 
$
1,136

50% - 70%
4,088

 
682

 
1,066

 
428

 
145

 
—

 
6,409

70% - 90%
169

 
110

 
196

 
272

 
50

 
—

 
797

90% plus
—

 
—

 
27

 
—

 
—

 
—

 
27

Total Commercial Mortgage Loans
$
4,999

 
$
792

 
$
1,609

 
$
774

 
$
195

 
$
—

 
$
8,369

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agricultural Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
272

 
$
149

 
$
275

 
$
515

 
$
316

 
$
30

 
$
1,557

50% - 70%
111

 
46

 
227

 
359

 
221

 
49

 
1,013

70% - 90%
—

 
—

 
—

 
4

 
—

 
—

 
4

90% plus
—

 
—

 
—

 
—

 
—

 
—

 
—

Total Agricultural Mortgage Loans
$
383

 
$
195

 
$
502

 
$
878

 
$
537

 
$
79

 
$
2,574

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Mortgage Loans(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
0% - 50%
$
1,014

 
$
149

 
$
595

 
$
589

 
$
316

 
$
30

 
$
2,693

50% - 70%
4,199

 
728

 
1,293

 
787

 
366

 
49

 
7,422

70% - 90%
169

 
110

 
196

 
276

 
50

 
—

 
801

90% plus
—

 
—

 
27

 
—

 
—

 
—

 
27

Total Mortgage Loans
$
5,382

 
$
987

 
$
2,111

 
$
1,652

 
$
732

 
$
79

 
$
10,943

______________
(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.
Age Analysis of Past Due Mortgage Loans
The following table provides information relating to the aging analysis of past due mortgage loans at September 30, 2018 and December 31, 2017, respectively.
Age Analysis of Past Due Mortgage Loan
 
30-59 Days
 
60-89 Days
 
90 Days
or More
 
Total
 
Current
 
Total Financing Receivables
 
Recorded Investment 90 Days or More and Accruing
 
 
 
 
 
 
 
(in millions)
 
 
 
 
September 30, 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial
$
—

 
$
—

 
$
27

 
$
27

 
$
9,361

 
$
9,388

 
$
—

Agricultural
5

 
12

 
57

 
74

 
2,598

 
2,672

 
57

Total Mortgage Loans
$
5

 
$
12

 
$
84

 
$
101

 
$
11,959

 
$
12,060

 
$
57

December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial
$
27

 
$
—

 
$
—

 
$
27

 
$
8,342

 
$
8,369

 
$
—

Agricultural
49

 
3

 
22

 
74

 
2,500

 
2,574

 
22

Total Mortgage Loans
$
76

 
$
3

 
$
22

 
$
101

 
$
10,842

 
$
10,943

 
$
22
Impaired Mortgage Loans
The following table provides information relating to impaired mortgage loans at September 30, 2018 and December 31, 2017, respectively:
Impaired Mortgage Loans
 
Recorded
Investment
 
Unpaid
Principal
Balance
 
Related
Allowance
 
Average
Recorded
Investment(1)
 
Interest
Income
Recognized
 
(in millions)
September 30, 2018:
 
 
 
 
 
 
 
 
 
With no related allowance recorded:
 
 
 
 
 
 
 
 
 
Commercial mortgage loans - other
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
—

 
$
—

 
$
—

 
$
—

 
$
—

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

 
$
27

 
$
(7
)
 
$
27

 
$
—

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
27

 
$
27

 
$
(7
)
 
$
27

 
$
—

 
 
 
 
 
 
 
 
 
 
December 31, 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

 
$
2

Agricultural mortgage loans
—

 
—

 
—

 
—

 
—

Total
$
27

 
$
27

 
$
(8
)
 
$
27

 
$
2


_______________
(1)
Represents a three-quarter average of recorded amortized cost.
Derivative Instruments by Category
The Company utilizes various derivative instruments and strategies to manage its risk. Commonly used derivative instruments include, but are not necessarily limited to, 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 credit and foreign exchange derivatives as well as bond and repo transactions to support the hedging. The Company also uses foreign exchange derivatives to reduce exposure to currency fluctuations that may arise from non-U.S.-dollar denominated financial instruments. The Company had a currency swap contract with AXA to hedge foreign exchange exposure from affiliated loans, which matured in March 2018.
For detailed information on these derivative instruments and strategies, see Note 3 to the consolidated financial statements included in the 2017 Form 10-K.
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 September 30, 2018
 
Gains (Losses)
Reported In Net
Earnings (Loss)
Nine Months Ended September 30, 2018
 
 
 
Fair Value
 
 
Notional
Amount
 
Asset
Derivatives
 
Liability
Derivatives
 
 
(in millions)
Freestanding derivatives:
 
 
 
 
 
 
 
Equity contracts:(1,4)
 
 
 
 
 
 
 
Futures
$
7,307

 
$
1

 
$
1

 
$
(487
)
Swaps
7,900

 
12

 
189

 
(488
)
Options
24,248

 
4,119

 
1,619

 
674

Interest rate contracts:(1,4)
 
 
 
 
 
 
 
Swaps
25,761

 
330

 
653

 
(1,012
)
Futures
17,172

 
—

 
—

 
52

Credit contracts:(1,4)
 
 
 
 
 
 
 
Credit default swaps
1,935

 
28

 
3

 
3

Other freestanding contracts:(1,4)
 
 
 
 
 
 
 
Foreign currency contracts
2,110

 
75

 
9

 
60

Margin
—

 
27

 
—

 
—

Collateral
—

 
65

 
2,135

 
—

Embedded derivatives:
 
 
 
 
 
 
 
GMIB reinsurance contracts(4)
—

 
1,571

 
—

 
(1,488
)
GMxB derivative features liability(2,4)
—

 
—

 
4,157

 
394

SCS, SIO, MSO and IUL indexed features(3,4)
—

 
—

 
2,357

 
(814
)
Total
$
86,433

 
$
6,228

 
$
11,123

 
$
(3,106
)

_______________
(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 the Future policyholders’ benefits and other policyholders’ liabilities in the consolidated balance sheets.
(4)
Reported in Net derivative gains (losses) in the consolidated statements of income (loss).
 
At December 31, 2017
 
Gains (Losses)
Reported In Net
Earnings (Loss)
Nine Months Ended September 30, 2017
 
 
 
Fair Value
 
 
Notional
Amount
 
Asset
Derivatives
 
Liability
Derivatives
 
 
(in millions)
Freestanding derivatives:
 
 
 
 
 
 
 
Equity contracts:(1,4)
 
 
 
 
 
 
 
Futures
$
3,113

 
$
1

 
$
3

 
$
(512
)
Swaps
4,655

 
3

 
126

 
(596
)
Options
20,630

 
3,334

 
1,426

 
831

Interest rate contracts:(1,4)
 
 
 
 
 
 
 
Swaps
19,032

 
320

 
191

 
523

Futures
11,032

 
—

 
—

 
28

Swaptions
—

 
—

 
—

 
—

Credit contracts:(1,4)
 
 
 
 
 
 
 
Credit default swaps
2,131

 
35

 
3

 
16

Other freestanding contracts:(1,4)
 
 
 
 
 
 
 
Foreign currency contracts
1,423

 
19

 
10

 
(40
)
Margin
—

 
24

 
—

 
—

Collateral
—

 
4

 
1,855

 
—

Embedded derivatives:
 
 
 
 
 
 
 
GMIB reinsurance contracts(4)
—

 
10,488

 
—

 
500

GMxB derivative features liability(2,4)
—

 
—

 
4,256

 
1,169

SCS, SIO, MSO and IUL indexed features(3,4)
—

 
—

 
1,698

 
(871
)
Total
$
62,016

 
$
14,228

 
$
9,568

 
$
1,048

_______________
(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 the Future policyholders’ benefits and other policyholders’ liabilities in the consolidated balance sheets.
(4)
Reported in Net derivative gains (losses) in the consolidated statements of income (loss).
Offsetting Financial Assets and Liabilities and Derivative Instruments
The following table presents information about the Company’s offsetting financial assets and liabilities and derivative instruments at December 31, 2017.
Offsetting of Financial Assets and Liabilities and Derivative Instruments
At December 31, 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
$
3,338

 
$
1,555

 
$
1,783

Interest rate contracts
320

 
191

 
129

Credit contracts
35

 
3

 
32

Currency
19

 
10

 
9

Collateral
4

 
1,855

 
(1,851
)
Margin
24

 
—

 
24

Total Derivatives, subject to an ISDA Master Agreement
$
3,740

 
$
3,614

 
$
126

Other financial instruments
2,995

 
—

 
2,995

Other invested assets
$
6,735

 
$
3,614

 
$
3,121

 
Gross Amounts Recognized
 
Gross Amounts Offset in the Balance Sheets
 
Net Amounts Presented in the Balance Sheets
 
(in millions)
LIABILITIES(2)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
1,555

 
$
1,555

 
$
—

Interest rate contracts
191

 
191

 
—

Credit contracts
3

 
3

 
—

Currency
10

 
10

 
—

Margin
—

 
—

 
—

Collateral
1,855

 
1,855

 
—

Total Derivatives, subject to an ISDA Master Agreement
$
3,614

 
$
3,614

 
$
—

Other financial liabilities
2,663

 
—

 
2,663

Other liabilities
$
6,277

 
$
3,614

 
$
2,663

Securities sold under agreement to repurchase(3)
$
1,882

 
$
—

 
$
1,882


_____________
(1)
Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.
(2)
Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.
(3)
Excludes expense of $5 million in securities sold under agreement to repurchase.
The following table presents information about the Company’s offsetting of financial assets and liabilities and derivative instruments at September 30, 2018.
Offsetting of Financial Assets and Liabilities and Derivative Instruments
At September 30, 2018
 
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
$
4,132

 
$
1,810

 
$
2,322

Interest rate contracts
330

 
653

 
(323
)
Credit contracts
28

 
3

 
25

Currency
75

 
8

 
67

Margin
27

 
—

 
27

Collateral
65

 
2,134

 
(2,069
)
Total Derivatives, subject to an ISDA Master Agreement
$
4,657

 
$
4,608

 
$
49

Other financial instruments
1,795

 
—

 
1,795

Other invested assets
$
6,452

 
$
4,608

 
$
1,844

 
Gross Amounts
Recognized
 
Gross Amounts
Offset in the Balance Sheets
 
Net Amounts
Presented in the
Balance Sheets
 
(in millions)
LIABILITIES(2)
 
 
 
 
 
Description
 
 
 
 
 
Derivatives:
 
 
 
 
 
Equity contracts
$
1,810

 
$
1,810

 
$
—

Interest rate contracts
653

 
653

 
—

Credit contracts
3

 
3

 
—

Currency
9

 
9

 
—

Margin
—

 
—

 
—

Collateral
2,135

 
2,135

 
—

Total Derivatives, subject to an ISDA Master Agreement
4,610

 
4,610

 
—

Other financial liabilities
2,205

 
—

 
2,205

Other liabilities
$
6,815

 
$
4,610

 
$
2,205

Securities sold under agreement to repurchase(3)
$
1,891

 
$
—

 
$
1,891


_______________
(1)
Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.
(2)
Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.
(3)
Excludes expense of $9 million in securities sold under agreement to repurchase.
Gross Collateral Amounts Not Offset in Consolidated Balance Sheets
The following table presents information about the Company’s gross collateral amounts that are not offset in the consolidated balance sheets at September 30, 2018.
Collateral Amounts Not Offset in the Consolidated Balance Sheets
At September 30, 2018
 
Fair Value of Assets
 
Collateral (Received)/Held
 
 
 
Financial
Instruments
 
Cash
 
Net
Amounts
 
(in millions)
ASSETS:(1)
 
 
 
 
 
 
Total derivatives
$
2,091

 
$
—

 
$
(2,042
)
 
$
49

Other financial instruments
1,795

 
—

 
—

 
1,795

Other invested assets
$
3,886

 
$
—

 
$
(2,042
)
 
$
1,844

LIABILITIES:(2)
 
 
 
 
 
 

Securities sold under agreement to repurchase(3)
$
1,891

 
$
(1,891
)
 
$
—

 
$
—

______________
(1)
Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.
(2)
Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.
(3)
Excludes expense of $9 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, 2017.
Collateral Amounts Not Offset in the Consolidated Balance Sheets
At December 31, 2017  
 
Net Amounts Presented in the Balance Sheets
 
Collateral (Received)/Held
 
 
 
Financial
Instruments
 
Cash
 
Net
Amounts
 
(in millions)
Assets:(1)
 
 
 
 
 
 
 
Total Derivatives
$
1,954

 
$
—

 
$
(1,828
)
 
$
126

Other financial instruments
2,995

 
—

 
—

 
2,995

Other invested assets
$
4,949

 
$
—

 
$
(1,828
)
 
$
3,121

Liabilities:(2)
 
 
 
 
 
 
 
Other financial liabilities
$
2,663

 
$
—

 
$
—

 
$
2,663

Other liabilities
$
2,663

 
$
—

 
$
—

 
$
2,663

 
 
 
 
 
 
 
 
Securities sold under agreement to repurchase(3)
$
1,882

 
$
(1,988
)
 
$
(21
)
 
$
(127
)
______________
(1)
Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.
(2)
Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.
(3)
Excludes expense of $5 million in securities sold under agreement to repurchase.
Repurchase Agreements Accounted for as Secured Borrowings
The following table presents information about repurchase agreements accounted for as secured borrowings in the consolidated balance sheets at September 30, 2018.
Repurchase Agreement Accounted for as Secured Borrowings
At September 30, 2018
 
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(1)
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency securities
$
—

 
$
1,891

 
$
—

 
$
—

 
$
1,891

Total
$
—

 
$
1,891

 
$
—

 
$
—

 
$
1,891

______________
(1)
Excludes expense accrual of $9 million included in securities sold under agreements to repurchase on the consolidated balance sheets.
The following table presents information about repurchase agreements accounted for as secured borrowings in the consolidated balance sheets at December 31, 2017.
Repurchase Agreement Accounted for as Secured Borrowings
At December 31, 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:(1)
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency securities
$
—

 
$
1,882

 
$
—

 
$
—

 
$
1,882

Total
$
—

 
$
1,882

 
$
—

 
$
—

 
$
1,882

______________
(1)
Excludes expense of $5 million in securities sold under agreement to repurchase on the consolidated balance sheets.