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INVESTMENTS

12 Months Ended

Dec. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Fixed Maturities AFS

Accounting for credit impairments of fixed maturities classified as AFS has changed from a direct write-down, or OTTI approach to an allowance for credit loss model starting in 2020 upon adoption of CECL (see Note 2, Significant Accounting Policies – Investments).

The components of fair value and amortized cost for fixed maturities classified as AFS on the consolidated balance sheets excludes accrued interest receivable because the Company elected to present accrued interest receivable within other assets. Accrued interest receivable on AFS fixed maturities as of December 31, 2020 was $499 million. There was no accrued interest written off for AFS fixed maturities for the year ended December 31, 2020.

The following tables provide information relating to the Company’s fixed maturities classified as AFS. Comparative tables as of December 31, 2019 include OTTI, reported net of tax in OCI and in AOCI until realized.

AFS Fixed Maturities by Classification


	Amortized Cost		Allowance for Credit Losses (4)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	(in millions)
December 31, 2020:
Fixed Maturities:
Corporate (1)	$	48,501	$	13	$	4,703	$	89	$	53,102
U.S. Treasury, government and agency	12,644		—		3,304		5		15,943
States and political subdivisions	482		—		92		—		574
Foreign governments	1,011		—		98		6		1,103
Residential mortgage-backed (2)	119		—		12		—		131
Asset-backed (3)	3,633		—		28		5		3,656
Commercial mortgage-backed	1,148		—		55		—		1,203
Redeemable preferred stock	598		—		46		3		641
Total at December 31, 2020	$	68,136	$	13	$	8,338	$	108	$	76,353

December 31, 2019:
Fixed Maturities:
Corporate (1)	$	42,347	$	—	$	2,178	$	61	$	44,464
U.S. Treasury, government and agency	14,385		—		1,151		305		15,231
States and political subdivisions	584		—		68		3		649
Foreign governments	460		—		35		5		490
Residential mortgage-backed (2)	161		—		12		—		173
Asset-backed (3)	843		—		3		2		844
Redeemable preferred stock	498		—		18		5		511
Total at December 31, 2019	$	59,278	$	—	$	3,465	$	381	$	62,362

______________

(1)Corporate fixed maturities include both public and private issues.

(2)Includes publicly traded agency pass-through securities and collateralized obligations.

(3)Includes credit-tranched securities collateralized by sub-prime mortgages, credit risk transfer securities. and other asset types.

(4)Amounts represent the allowance for credit losses for 2020 - (see Note 2 Significant Accounting Policies - Investments).

The contractual maturities of AFS fixed maturities as of December 31, 2020 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.

Contractual Maturities of AFS Fixed Maturities


	Amortized Cost (Less Allowance for Credit Losses)		Fair Value
	(in millions)
December 31, 2020:
Contractual maturities:
Due in one year or less	$	3,342	$	3,362
Due in years two through five	15,037		16,026
Due in years six through ten	17,786		19,607
Due after ten years	26,460		31,727
Subtotal	62,625		70,722
Residential mortgage-backed	119		131
Asset-backed	3,633		3,656
Commercial mortgage-backed	1,148		1,203
Redeemable preferred stock	598		641
Total at December 31, 2020	$	68,123	$	76,353

The following table shows proceeds from sales, gross gains (losses) from sales and credit losses for AFS fixed maturities for the years ended December 31, 2020, 2019 and 2018:

Proceeds from Sales, Gross Gains (Losses) from Sales and Credit Losses for AFS Fixed Maturities


	Year Ended December 31,
		2020		2019		2018
		(in millions)
Proceeds from sales		$	12,670	$	8,702	$	7,136
Gross gains on sales		$	854	$	229	$	145
Gross losses on sales		$	(34)	$	(28)	$	(103)

Credit losses (1)		$	(13)	$	—	$	(37)

______________

(1)Commencing with the Company’s adoption of ASU 2016-13 on January 1, 2020, credit losses on AFS debt securities were recognized as an allowance for credit losses. Prior to this, credit losses on AFS fixed maturities were recognized as OTTI.

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.

AFS Fixed Maturities - Credit Loss Impairments


	Year Ended December 31,
		2020		2019
		(in millions)
Balance, beginning of period		$	15	$	46
Previously recognized impairments on securities that matured, paid, prepaid or sold		—		(31)
Recognized impairments on securities impaired to fair value this period (1)		—		—
Credit losses recognized this period on securities for which credit losses were not previously recognized		6		—
Additional credit losses this period on securities previously impaired		7		—


Increases due to passage of time on previously recorded credit losses	—		—
Accretion of previously recognized impairments due to increases in expected cash flows (for OTTI securities 2019 and prior)	—		—
Balance, end of period	$	28	$	15

______________

(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.

The tables that follow below present a roll-forward of net unrealized investment gains (losses) recognized in AOCI.

Net Unrealized Gains (Losses) on AFS Fixed Maturities


	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, 2020	$	3,084	$	(826)	$	(192)	$	(433)	$	1,633
Net investment gains (losses) arising during the period	5,953		—		—		—		5,953
Reclassification adjustment:									—
Included in net income (loss)	(802)		—		—		—		(802)
Excluded from net income (loss)	—		—		—		—		—
Impact of net unrealized investment gains (losses)	—		360		(1,623)		(818)		(2,081)
Net unrealized investment gains (losses) excluding credit losses	8,235		(466)		(1,815)		(1,251)		4,703
Net unrealized investment gains (losses) with credit losses	(5)		—		1		1		(3)
Balance, December 31, 2020	$	8,230	$	(466)	$	(1,814)	$	(1,250)	$	4,700

Balance, January 1, 2019	$	(577)	$	37	$	(69)	$	125	$	(484)
Net investment gains (losses) arising during the period	3,872		—		—		—		3,872
Reclassification adjustment:
Included in net income (loss)	(211)		—		—		—		(211)
Excluded from net income (loss)	—		—		—		—		—
Impact of net unrealized investment gains (losses)	—		(863)		(123)		(558)		(1,544)
Net unrealized investment gains (losses) excluding credit losses	3,084		(826)		(192)		(433)		1,633
Net unrealized investment gains (losses) with credit losses (1)	—		—		—		—		—
Balance, December 31, 2019	$	3,084	$	(826)	$	(192)	$	(433)	$	1,633

______________

(1)Credit losses for 2019 were OTTI losses.

The following tables disclose the fair values and gross unrealized losses of the 537 issues as of December 31, 2020 and the 390 issues as of December 31, 2019 that are not deemed to have credit losses, 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:

AFS Fixed Maturities in an Unrealized Loss Position for Which No Allowance Is Recorded


	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)
December 31, 2020:
Fixed Maturities:
Corporate	$	2,773	$	52	$	332	$	32	$	3,105	$	84
U.S. Treasury, government and agency	881		5		—		—		881		5

Foreign governments	153		2		20		4		173		6

Asset-backed	809		4		76		1		885		5

Redeemable preferred stock	53		1		11		2		64		3
Total at December 31, 2020	$	4,669	$	64	$	439	$	39	$	5,108	$	103

December 31, 2019: (1)
Fixed Maturities:
Corporate	$	2,669	$	41	$	366	$	20	$	3,035	$	61
U.S. Treasury, government and agency	4,245		305		2		—		4,247		305
States and political subdivisions	123		3		—		—		123		3
Foreign governments	11		—		47		5		58		5

Asset-backed	319		—		201		2		520		2

Redeemable preferred stock	29		—		49		5		78		5
Total at December 31, 2019	$	7,396	$	349	$	665	$	32	$	8,061	$	381

______________

(1)Amounts represents fixed maturities in an unrealized loss position that are not deemed to be OTTI for 2019.

The Company’s investments in fixed maturities do not include concentrations of credit risk of any single issuer greater than 10% of the consolidated equity of the Company, 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 0.6% of total corporate securities. The largest exposures to a single issuer of corporate securities held as of December 31, 2020 and 2019 were $338 million and $279 million, respectively, representing 2.9% and 2.4% of the consolidated equity of the Company.

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 NAIC designation of 3 (medium investment grade), 4 or 5 (below investment grade) or 6 (in or near default). As of December 31, 2020 and 2019, respectively, approximately $2.4 billion and $1.4 billion, or 3.6% and 2.3%, of the $68.1 billion and $59.3 billion aggregate amortized cost of fixed maturities held by the Company were considered to be other than investment grade. These securities had gross unrealized losses of $48 million and $21 million as of December 31, 2020 and 2019, respectively.

As of December 31, 2020 and 2019, respectively, the $39 million and $32 million of gross unrealized losses of twelve months or more were primarily concentrated in corporate securities. In accordance with the policy described in Note 2, the Company concluded that neither an adjustment to income for OTTI (prior to January 1, 2020) nor an allowance for credit losses (after January 1, 2020) for these securities was warranted at either December 31, 2020 or 2019. As of December 31, 2020 and 2019, 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.

Based on the Company’s evaluation both qualitatively and quantitatively of the drivers of the decline in fair value of fixed maturity securities as of December 31, 2020, the Company determined that the unrealized loss was primarily due to increases in credit spreads and changes in credit ratings.

Mortgage Loans on Real Estate

Accrued interest receivable on commercial and agricultural mortgage loans as of December 31, 2020 was $30 million and $28 million, respectively. There was no accrued interest written off for commercial and agricultural mortgage loans for the year ended December 31, 2020.

As of December 31, 2020, the Company had no loans for which foreclosure was probable included within the individually assessed mortgage loans, and accordingly had no associated allowance for credit losses.

Allowance for Credit Losses on Mortgage Loans

The change in the allowance for credit losses for commercial mortgage loans and agricultural mortgage loans during the year ended December 31, 2020 was as follows:


	Year Ended December 31, 2020
	(in millions)
Allowance for credit losses on mortgage loans (1):
Commercial mortgages:
Balance, beginning of period	$	33
Current-period provision for expected credit losses	44
Write-offs charged against the allowance	—
Recoveries of amounts previously written off	—
Net change in allowance	44
Balance, end of period	$	77

Agricultural mortgages:
Balance, beginning of period	$	3
Current-period provision for expected credit losses	1
Write-offs charged against the allowance	—
Recoveries of amounts previously written off	—
Net change in allowance	1
Balance, end of period	$	4

Total allowance for credit losses	$	81

____________

(1) See Note 2 for discussion of the allowance of credit losses transition balance, which is included in the Balance, beginning of period.

The change in the allowance for credit losses is attributable to:

•increases/decreases in the loan balance due to new originations, maturing mortgages, and loan amortization;

•changes in credit quality; and

•changes in market assumptions primarily related to COVID-19 driven economic changes.

Credit Quality Information

The following tables summarize the Company’s mortgage loans segregated by risk rating exposure as of December 31, 2020.

LTV Ratios (1)


	December 31, 2020
	Amortized Cost Basis by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
	(in millions)
Mortgage loans:
Commercial:
0% - 50%	$	—	$	—	$	—	$	324	$	170	$	505	$	999
50% - 70%	1,294		357		803		656		2,190		1,697		6,997
70% - 90%	321		457		452		219		203		538		2,190
90% plus	—		—		12		5		—		288		305
Total commercial	$	1,615	$	814	$	1,267	$	1,204	$	2,563	$	3,028	$	10,491

Agricultural:
0% - 50%	$	218	$	135	$	169	$	157	$	236	$	652	$	1,567
50% - 70%	277		129		161		102		124		351		1,144
70% - 90%	—		—		3		—		—		18		21
90% plus	—		—		—		—		—		—		—
Total agricultural	$	495	$	264	$	333	$	259	$	360	$	1,021	$	2,732

Total mortgage loans:
0% - 50%	$	218	$	135	$	169	$	481	$	406	$	1,157	$	2,566
50% - 70%	1,571		486		964		758		2,314		2,048		8,141
70% - 90%	321		457		455		219		203		556		2,211
90% plus	—		—		12		5		—		288		305
Total mortgage loans	$	2,110	$	1,078	$	1,600	$	1,463	$	2,923	$	4,049	$	13,223

Debt Service Coverage Ratios (2)


	December 31, 2020
	Amortized Cost Basis by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
	(in millions)
Mortgage loans:
Commercial:
Greater than 2.0x	$	1,230	$	492	$	772	$	268	$	1,942	$	1,230	$	5,934
1.8x to 2.0x	227		83		118		378		184		329		1,319
1.5x to 1.8x	98		138		187		479		437		616		1,955
1.2x to 1.5x	60		57		154		79		—		658		1,008
1.0x to 1.2x	—		44		—		—		—		123		167
Less than 1.0x	—		—		36		—		—		72		108
Total commercial	$	1,615	$	814	$	1,267	$	1,204	$	2,563	$	3,028	$	10,491

Agricultural
Greater than 2.0x	$	67	$	26	$	36	$	38	$	71	$	167	$	405
1.8x to 2.0x	38		35		14		15		20		82		204
1.5x to 1.8x	117		38		41		45		52		209		502
1.2x to 1.5x	183		120		141		90		142		313		989
1.0x to 1.2x	86		35		93		70		57		233		574


	December 31, 2020
	Amortized Cost Basis by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
	(in millions)
Less than 1.0x	4		10		8		1		18		17		58
Total agricultural	$	495	$	264	$	333	$	259	$	360	$	1,021	$	2,732

Total mortgage loans
Greater than 2.0x	$	1,297	$	518	$	808	$	306	$	2,013	$	1,397	$	6,339
1.8x to 2.0x	265		118		132		393		204		411		1,523
1.5x to 1.8x	215		176		228		524		489		825		2,457
1.2x to 1.5x	243		177		295		169		142		971		1,997
1.0x to 1.2x	86		79		93		70		57		356		741
Less than 1.0x	4		10		44		1		18		89		166
Total mortgage loans	$	2,110	$	1,078	$	1,600	$	1,463	$	2,923	$	4,049	$	13,223

_____________

(1)The LTV ratio is derived from current loan balance divided by the fair value of the property. The fair value of the underlying commercial properties is updated annually for each mortgage loan.

(2)The DSC ratio is calculated using the most recently reported operating income results from property operations divided by annual debt service.

The following tables provide information relating to the LTV and DSC ratios for commercial and agricultural mortgage loans as of December 31, 2020 and 2019. 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 LTV and DSC Ratios


	DSC Ratio (2) (3)
LTV Ratio (1) (3):	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
	(in millions)
December 31, 2020:
Mortgage loans:
Commercial:
0% - 50%	$	839	$	—	$	160	$	—	$	—	$	—	$	999
50% - 70%	4,095		870		1,452		555		25		—		6,997
70% - 90%	844		449		343		376		142		36		2,190
90% plus	156		—		—		77		—		72		305
Total commercial	$	5,934	$	1,319	$	1,955	$	1,008	$	167	$	108	$	10,491

Agricultural:
0% - 50%	$	297	$	108	$	291	$	520	$	317	$	34	$	1,567
50% - 70%	108		94		211		450		257		24		1,144
70% - 90%	—		2		—		19		—		—		21
90% plus	—		—		—		—		—		—		—
Total agricultural	$	405	$	204	$	502	$	989	$	574	$	58	$	2,732

Total mortgage loans:
0% - 50%	$	1,136	$	108	$	451	$	520	$	317	$	34	$	2,566
50% - 70%	4,203		964		1,663		1,005		282		24		8,141
70% - 90%	844		451		343		395		142		36		2,211
90% plus	156		—		—		77		—		72		305


	DSC Ratio (2) (3)
LTV Ratio (1) (3):	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
	(in millions)
Total mortgage loans	$	6,339	$	1,523	$	2,457	$	1,997	$	741	$	166	$	13,223

December 31, 2019:
Mortgage loans:
Commercial:
0% - 50%	$	887	$	38	$	214	$	24	$	—	$	—	$	1,163
50% - 70%	4,097		1,195		1,118		795		242		—		7,447
70% - 90%	251		98		214		154		46		—		763
90% plus	—		—		—		—		—		—		—
Total commercial	$	5,235	$	1,331	$	1,546	$	973	$	288	$	—	$	9,373

Agricultural:
0% - 50%	$	322	$	104	$	241	$	545	$	321	$	50	$	1,583
50% - 70%	82		87		236		426		251		33		1,115
70% - 90%	—		—		—		19		—		—		19
90% plus	—		—		—		—		—		—		—
Total agricultural	$	404	$	191	$	477	$	990	$	572	$	83	$	2,717

Total mortgage loans:
0% - 50%	$	1,209	$	142	$	455	$	569	$	321	$	50	$	2,746
50% - 70%	4,179		1,282		1,354		1,221		493		33		8,562
70% - 90%	251		98		214		173		46		—		782
90% plus	—		—		—		—		—		—		—
Total mortgage loans	$	5,639	$	1,522	$	2,023	$	1,963	$	860	$	83	$	12,090

______________

(1)The LTV ratio is derived from current loan balance divided by the fair value of the property. The fair value of the underlying commercial properties is updated annually for each mortgage loan.

(2)The DSC ratio is calculated using the most recently reported operating income results from property operations divided by annual debt service.

(3)Amounts presented at amortized cost basis.

Past-Due and Nonaccrual Mortgage Loan Status

The following table provides information relating to the aging analysis of past-due mortgage loans as of December 31, 2020 and 2019, respectively:

Age Analysis of Past Due Mortgage Loans (1)


	Accruing Loans												Non-accruing Loans		Total Loans		Non-accruing Loans with No Allowance		Interest Income on Non-accruing Loans
	Past Due								Current		Total
	30-59 Days		60-89 Days		90 Days or More		Total
	(in millions)
December 31, 2020:
Mortgage loans:
Commercial	$	162	$	—	$	—	$	162	$	10,329	$	10,491	$	—	$	10,491	$	—	$	—
Agricultural	76		7		29		112		2,620		2,732		—		2,732		—		—
Total	$	238	$	7	$	29	$	274	$	12,949	$	13,223	$	—	$	13,223	$	—	$	—
December 31, 2019:


	Accruing Loans												Non-accruing Loans		Total Loans		Non-accruing Loans with No Allowance		Interest Income on Non-accruing Loans
	Past Due								Current		Total
	30-59 Days		60-89 Days		90 Days or More		Total
	(in millions)
Mortgage loans:
Commercial	$	—	$	—	$	—	$	—	$	9,373	$	9,373	$	—	$	9,373	$	—	$	—
Agricultural	57		1		66		124		2,593		2,717		—		2,717		—		—
Total	$	57	$	1	$	66	$	124	$	11,966	$	12,090	$	—	$	12,090	$	—	$	—

_______________

(1)Amounts presented at amortized cost basis.

As of December 31, 2020 and 2019, the carrying values of problem mortgage loans that had been classified as non-accrual loans were $0 million and $0 million, respectively.

Troubled Debt Restructuring

For the year ended December 31, 2020, the Company had one commercial mortgage loan on real estate accounted for as a TDR with a pre-modification cost basis of $75 million and post-modification carrying value of $75 million. The one commercial mortgage loan TDR is 0.07% of the Company’s total invested assets. For the year ended December 31, 2020, the Company had seven new privately negotiated fixed maturity TDRs with a pre-modification cost basis of $54 million and post-modification carrying value of $48 million. These TDRs did not have subsequent payment defaults nor additional commitments to lend. The seven privately negotiated fixed maturity TDRs are 0.05% of the Company’s total invested assets. There were no mortgage loan on real estate or fixed maturities accounted for as a TDR during 2019.

Trading Securities

As of December 31, 2020 and 2019, respectively, the fair value of the Company’s trading securities was $5.3 billion and $6.6 billion. As of December 31, 2020 and 2019, respectively, trading securities included the General Account’s investment in Separate Accounts, which had carrying values of $43 million and $58 million.

The table below shows a breakdown of net investment income (loss) from trading securities during the years ended December 31, 2020, 2019 and 2018:

Net Investment Income (Loss) from Trading Securities


	Year Ended December 31,
		2020		2019		2018
		(in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period		$	96	$	422	$	(174)
Net investment gains (losses) recognized on securities sold during the period		10		7		(24)
Unrealized and realized gains (losses) on trading securities		106		429		(198)
Interest and dividend income from trading securities		206		283		326
Net investment income (loss) from trading securities		$	312	$	712	$	128

Net Investment Income (Loss)

The following table breaks out net investment income (loss) by asset category:


	Year Ended December 31,
	2020		2019		2018
	(in millions)
Fixed maturities	$	2,193	$	1,902	$	1,540
Mortgage loans on real estate	516		540		494
Other equity investments	79		72		117
Policy loans	198		198		201


Trading securities	312		712		128
Other investment income	49		18		69
Gross investment income (loss)	3,347		3,442		2,549
Investment expenses	(139)		(144)		(71)

Net investment income (loss)	$	3,208	$	3,298	$	2,478

Investment Gains (Losses), Net

Investment gains (losses), net including changes in the valuation allowances and credit losses are as follows:


	Year Ended December 31,
	2020		2019		2018
	(in millions)
Fixed maturities	$	801	$	203	$	6
Mortgage loans on real estate	(45)		(1)		—
Other equity investments	30		3		—
Other	1		1		(2)
Investment gains (losses), net	$	787	$	206	$	4

For the years ended December 31, 2020, 2019 and 2018, respectively, investment results passed through to certain participating group annuity contracts as interest credited to policyholders’ account balances totaled $2 million, $2 million and $3 million.